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) (Zip code)
Timothy D. Barto, Esq.
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-610-676-1000
Date of fiscal year end: September 30, 2024
Date of reporting period: September 30, 2024
Item 1. Reports to Stockholders.
| (a) | A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Act”) (17 CFR § 270.30e-1), is attached hereto. |
0000804239sei:Russell2000ValueIndexUSD166AdditionalIndexMember2022-09-300000804239sei:C000085250Membersei:ATIInc8214002CTIMember2024-09-30
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SLGAX
This annual shareholder report contains important information about Class F Shares of the Large Cap Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Large Cap Fund, Class F Shares | $103 | 0.89% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Large Cap Fund, Class F Shares - $273003 | S&P 500® Index (TR)* - $350980 | Russell 1000 Index (USD) - $342568 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $98272 | $99385 | $99386 |
| Sep/16 | $108246 | $114721 | $114226 |
| Sep/17 | $127598 | $136070 | $135402 |
| Sep/18 | $149038 | $160441 | $159456 |
| Sep/19 | $150787 | $167266 | $165632 |
| Sep/20 | $162349 | $192605 | $192155 |
| Sep/21 | $210948 | $250396 | $251653 |
| Sep/22 | $174560 | $211654 | $208330 |
| Sep/23 | $206310 | $257408 | $252483 |
| Sep/24 | $273003 | $350980 | $342568 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, the Russell 1000 Index, for the 12-month period ending September 30, 2024.
The Fund recorded a positive absolute return for the reporting period, but underperformed the benchmark due to its tilt toward value stocks and away from the mega-cap growth stocks that led the market upturn. The Fund’s underweight exposure to the information technology sector also weighed on performance.
Among the Fund’s sub-advisors, Brandywine Global Investment Management, LLC lagged the benchmark due to its value orientation and stock selection within the energy and consumer discretionary sectors. LSV Asset Management lagged the benchmark due to its value orientation, an overweight allocation to the energy sector, an underweight to the information technology sector, and security selection within the industrials sector. Fred Alger Management, LLC outperformed the benchmark due to its growth orientation, a large weight in the information technology sector, and stock selection within the information technology sector. Mar Vista Investment Partners, LLC’s underperformance was attributable to its lower-beta (a measure of an investment’s volatility relative to a benchmark) tilt, underweights to the mega-cap growth stocks that led the market upturn over the period, and stock selection within the information technology sector. SEI’s Quantitative Investment Management (QIM) team’s factor-based momentum strategy outperformed due to security selection within the industrials and information technology sectors. The QIM Team’s factor-based quality strategy lagged the benchmark due to security selection within the information technology sector. Copeland Capital Management LLC’s (Copeland) performance lagged during the portion of the reporting period that it was a Fund sub-advisor because of its lower-beta tilt and stock selection within the consumer discretionary and financials sectors.
Regarding the use of derivatives during the reporting period, the Fund employed equity index futures in an effort to provide stock-like performance to the liquidity reserve account, which contained cash available for fund withdrawals. This contributed positively to the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Large Cap Fund, Class F Shares | 32.33% | 12.61% | 10.56% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 1000 Index (USD) | 35.68% | 15.64% | 13.10% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,652,125 | 307 | $5,980 | 34% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.0% |
| Real Estate | 1.6% |
| Utilities | 2.9% |
| Materials | 3.2% |
| Energy | 3.4% |
| Consumer Staples | 6.1% |
| Communication Services | 8.6% |
| Consumer Discretionary | 9.3% |
| Industrials | 11.0% |
| Health Care | 13.1% |
| Financials | 13.4% |
| Information Technology | 26.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Microsoft Corp | | | 4.6% |
| Apple Inc | | | 3.9% |
| NVIDIA Corp | | | 2.6% |
| Meta Platforms Inc, Cl A | | | 2.4% |
| Amazon.com Inc, Cl A | | | 2.0% |
| Visa Inc, Cl A | | | 1.6% |
| Broadcom Inc | | | 1.6% |
| Johnson & Johnson | | | 1.5% |
| Eli Lilly & Co | | | 1.2% |
| TransDigm Group Inc | | | 1.2% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
During the reporting period, Ceredex Value Advisors LLC and Coho Partners, Ltd. were terminated as Fund sub-advisers, while Copeland was hired as a manager.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SLGAX
Annual Shareholder Report - September 30, 2024
SLGAX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SLYCX
This annual shareholder report contains important information about Class Y Shares of the Large Cap Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Large Cap Fund, Class Y Shares | $76 | 0.65% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Large Cap Fund, Class Y Shares - $267921 | S&P 500® Index (TR)* - $334481 | Russell 1000 Index (USD) - $326625 |
|---|
| Dec/14 | $100000 | $100000 | $100000 |
| Sep/15 | $94260 | $94714 | $94761 |
| Sep/16 | $104156 | $109328 | $108910 |
| Sep/17 | $123066 | $129674 | $129101 |
| Sep/18 | $144087 | $152899 | $152035 |
| Sep/19 | $146160 | $159403 | $157923 |
| Sep/20 | $157652 | $183551 | $183212 |
| Sep/21 | $205464 | $238625 | $239941 |
| Sep/22 | $170365 | $201705 | $198634 |
| Sep/23 | $202031 | $245308 | $240732 |
| Sep/24 | $267921 | $334481 | $326625 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, the Russell 1000 Index, for the 12-month period ending September 30, 2024.
The Fund recorded a positive absolute return for the reporting period, but underperformed the benchmark due to its tilt toward value stocks and away from the mega-cap growth stocks that led the market upturn. The Fund’s underweight exposure to the information technology sector also weighed on performance.
Among the Fund’s sub-advisors, Brandywine Global Investment Management, LLC lagged the benchmark due to its value orientation and stock selection within the energy and consumer discretionary sectors. LSV Asset Management lagged the benchmark due to its value orientation, an overweight allocation to the energy sector, an underweight to the information technology sector, and security selection within the industrials sector. Fred Alger Management, LLC outperformed the benchmark due to its growth orientation, a large weight in the information technology sector, and stock selection within the information technology sector. Mar Vista Investment Partners, LLC’s underperformance was attributable to its lower-beta (a measure of an investment’s volatility relative to a benchmark) tilt, underweights to the mega-cap growth stocks that led the market upturn over the period, and stock selection within the information technology sector. SEI’s Quantitative Investment Management (QIM) team’s factor-based momentum strategy outperformed due to security selection within the industrials and information technology sectors. The QIM Team’s factor-based quality strategy lagged the benchmark due to security selection within the information technology sector. Copeland Capital Management LLC’s (Copeland) performance lagged during the portion of the reporting period that it was a Fund sub-advisor because of its lower-beta tilt and stock selection within the consumer discretionary and financials sectors.
Regarding the use of derivatives during the reporting period, the Fund employed equity index futures in an effort to provide stock-like performance to the liquidity reserve account, which contained cash available for fund withdrawals. This contributed positively to the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Large Cap Fund, Class Y Shares | 32.61% | 12.88% | 10.83% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Russell 1000 Index (USD) | 35.68% | 15.64% | 13.10% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,652,125 | 307 | $5,980 | 34% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.0% |
| Real Estate | 1.6% |
| Utilities | 2.9% |
| Materials | 3.2% |
| Energy | 3.4% |
| Consumer Staples | 6.1% |
| Communication Services | 8.6% |
| Consumer Discretionary | 9.3% |
| Industrials | 11.0% |
| Health Care | 13.1% |
| Financials | 13.4% |
| Information Technology | 26.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Microsoft Corp | | | 4.6% |
| Apple Inc | | | 3.9% |
| NVIDIA Corp | | | 2.6% |
| Meta Platforms Inc, Cl A | | | 2.4% |
| Amazon.com Inc, Cl A | | | 2.0% |
| Visa Inc, Cl A | | | 1.6% |
| Broadcom Inc | | | 1.6% |
| Johnson & Johnson | | | 1.5% |
| Eli Lilly & Co | | | 1.2% |
| TransDigm Group Inc | | | 1.2% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
During the reporting period, Ceredex Value Advisors LLC and Coho Partners, Ltd. were terminated as Fund sub-advisers, while Copeland was hired as a manager.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SLYCX
Annual Shareholder Report - September 30, 2024
SLYCX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - TRMVX
This annual shareholder report contains important information about Class F Shares of the Large Cap Value Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Large Cap Value Fund, Class F Shares | $100 | 0.89% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Large Cap Value Fund, Class F Shares - $214916 | S&P 500® Index (TR)* - $350980 | Russell 1000 Value Index (USD) - $241835 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $93854 | $99385 | $95576 |
| Sep/16 | $103385 | $114721 | $111055 |
| Sep/17 | $122124 | $136070 | $127849 |
| Sep/18 | $136214 | $160441 | $139931 |
| Sep/19 | $134975 | $167266 | $145529 |
| Sep/20 | $121536 | $192605 | $138216 |
| Sep/21 | $167970 | $250396 | $186608 |
| Sep/22 | $150669 | $211654 | $165405 |
| Sep/23 | $171805 | $257408 | $189286 |
| Sep/24 | $214916 | $350980 | $241835 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, the Russell 1000 Value Index, for the 12-month period ending September 30, 2024.
The Fund’s more significant value tilt compared to that of the benchmark detracted from performance during the reporting period as relatively cheaper stocks underperformed more expensive shares. Stock selection within the health care and industrials sectors also weighed on Fund performance. However, stock selection within the utilities sector benefited performance.
Among the Fund’s sub-advisors, Cullen Capital Management, LLC lagged the benchmark over the reporting period due to an underweight to the financials sector, as well as stock selection within the energy and health care sectors. LSV Asset Management’s underperformance was attributable to its strong value tilt, an overweight allocation to the energy sector, and stock selection within the industrials sector. Brandywine Global Investment Management, LLC (Brandywine) lagged the benchmark due its strong value tilt, as well as stock selection and an overweight position in the health care sector. Stock selection within the financials sector also detracted from Brandywine’s performance, while holdings in the utilities sector had a positive impact. SEI’s Quantitative Investment Management (QIM) Team’s factor-based value strategy underperformed during the period due to its strong value tilt, stock selection within the consumer staples sector, and an overweight to the energy sector.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Large Cap Value Fund, Class F Shares | 25.09% | 9.75% | 7.95% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 1000 Value Index (USD) | 27.76% | 10.69% | 9.23% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,365,522 | 217 | $4,250 | 15% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.0% |
| Real Estate | 3.2% |
| Materials | 3.9% |
| Utilities | 5.0% |
| Consumer Discretionary | 5.6% |
| Energy | 7.0% |
| Communication Services | 7.5% |
| Information Technology | 9.0% |
| Consumer Staples | 9.8% |
| Industrials | 12.3% |
| Health Care | 15.5% |
| Financials | 20.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| AT&T Inc | | | 2.5% |
| Citigroup Inc | | | 2.4% |
| JPMorgan Chase & Co | | | 2.0% |
| Exxon Mobil Corp | | | 2.0% |
| Johnson & Johnson | | | 1.9% |
| Merck & Co Inc | | | 1.7% |
| Bank of America Corp | | | 1.6% |
| Comcast Corp, Cl A | | | 1.6% |
| Kroger Co/The | | | 1.5% |
| RTX Corp | | | 1.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - TRMVX
Annual Shareholder Report - September 30, 2024
TRMVX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class I Shares - SEUIX
This annual shareholder report contains important information about Class I Shares of the Large Cap Value Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Large Cap Value Fund, Class I Shares | $125 | 1.11% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Large Cap Value Fund, Class I Shares - $210220 | S&P 500® Index (TR)* - $350980 | Russell 1000 Value Index (USD) - $241835 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $93664 | $99385 | $95576 |
| Sep/16 | $102966 | $114721 | $111055 |
| Sep/17 | $121336 | $136070 | $127849 |
| Sep/18 | $135050 | $160441 | $139931 |
| Sep/19 | $133517 | $167266 | $145529 |
| Sep/20 | $119933 | $192605 | $138216 |
| Sep/21 | $165422 | $250396 | $186608 |
| Sep/22 | $148023 | $211654 | $165405 |
| Sep/23 | $168429 | $257408 | $189286 |
| Sep/24 | $210220 | $350980 | $241835 |
How did the Fund perform in the last year?
Class I Shares underperformed its benchmark, the Russell 1000 Value Index, for the 12-month period ending September 30, 2024.
The Fund’s more significant value tilt compared to that of the benchmark detracted from performance during the reporting period as relatively cheaper stocks underperformed more expensive shares. Stock selection within the health care and industrials sectors also weighed on Fund performance. However, stock selection within the utilities sector benefited performance.
Among the Fund’s sub-advisors, Cullen Capital Management, LLC lagged the benchmark over the reporting period due to an underweight to the financials sector, as well as stock selection within the energy and health care sectors. LSV Asset Management’s underperformance was attributable to its strong value tilt, an overweight allocation to the energy sector, and stock selection within the industrials sector. Brandywine Global Investment Management, LLC (Brandywine) lagged the benchmark due its strong value tilt, as well as stock selection and an overweight position in the health care sector. Stock selection within the financials sector also detracted from Brandywine’s performance, while holdings in the utilities sector had a positive impact. SEI’s Quantitative Investment Management (QIM) Team’s factor-based value strategy underperformed during the period due to its strong value tilt, stock selection within the consumer staples sector, and an overweight to the energy sector.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Large Cap Value Fund, Class I Shares | 24.81% | 9.50% | 7.71% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 1000 Value Index (USD) | 27.76% | 10.69% | 9.23% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,365,522 | 217 | $4,250 | 15% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.0% |
| Real Estate | 3.2% |
| Materials | 3.9% |
| Utilities | 5.0% |
| Consumer Discretionary | 5.6% |
| Energy | 7.0% |
| Communication Services | 7.5% |
| Information Technology | 9.0% |
| Consumer Staples | 9.8% |
| Industrials | 12.3% |
| Health Care | 15.5% |
| Financials | 20.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| AT&T Inc | | | 2.5% |
| Citigroup Inc | | | 2.4% |
| JPMorgan Chase & Co | | | 2.0% |
| Exxon Mobil Corp | | | 2.0% |
| Johnson & Johnson | | | 1.9% |
| Merck & Co Inc | | | 1.7% |
| Bank of America Corp | | | 1.6% |
| Comcast Corp, Cl A | | | 1.6% |
| Kroger Co/The | | | 1.5% |
| RTX Corp | | | 1.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class I Shares - SEUIX
Annual Shareholder Report - September 30, 2024
SEUIX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SVAYX
This annual shareholder report contains important information about Class Y Shares of the Large Cap Value Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Large Cap Value Fund, Class Y Shares | $72 | 0.64% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Large Cap Value Fund, Class Y Shares - $219640 | S&P 500® Index (TR)* - $350980 | Russell 1000 Value Index (USD) - $241835 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $93854 | $99385 | $95576 |
| Sep/16 | $103624 | $114721 | $111055 |
| Sep/17 | $122656 | $136070 | $127849 |
| Sep/18 | $137149 | $160441 | $139931 |
| Sep/19 | $136303 | $167266 | $145529 |
| Sep/20 | $122998 | $192605 | $138216 |
| Sep/21 | $170408 | $250396 | $186608 |
| Sep/22 | $153257 | $211654 | $165405 |
| Sep/23 | $175204 | $257408 | $189286 |
| Sep/24 | $219640 | $350980 | $241835 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, the Russell 1000 Value Index, for the 12-month period ending September 30, 2024.
The Fund’s more significant value tilt compared to that of the benchmark detracted from performance during the reporting period as relatively cheaper stocks underperformed more expensive shares. Stock selection within the health care and industrials sectors also weighed on Fund performance. However, stock selection within the utilities sector benefited performance.
Among the Fund’s sub-advisors, Cullen Capital Management, LLC lagged the benchmark over the reporting period due to an underweight to the financials sector, as well as stock selection within the energy and health care sectors. LSV Asset Management’s underperformance was attributable to its strong value tilt, an overweight allocation to the energy sector, and stock selection within the industrials sector. Brandywine Global Investment Management, LLC (Brandywine) lagged the benchmark due its strong value tilt, as well as stock selection and an overweight position in the health care sector. Stock selection within the financials sector also detracted from Brandywine’s performance, while holdings in the utilities sector had a positive impact. SEI’s Quantitative Investment Management (QIM) Team’s factor-based value strategy underperformed during the period due to its strong value tilt, stock selection within the consumer staples sector, and an overweight to the energy sector.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Large Cap Value Fund, Class Y Shares | 25.36% | 10.01% | 8.19% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Russell 1000 Value Index (USD) | 27.76% | 10.69% | 9.23% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on October 30, 2015. For periods prior to October 30, 2015, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,365,522 | 217 | $4,250 | 15% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.0% |
| Real Estate | 3.2% |
| Materials | 3.9% |
| Utilities | 5.0% |
| Consumer Discretionary | 5.6% |
| Energy | 7.0% |
| Communication Services | 7.5% |
| Information Technology | 9.0% |
| Consumer Staples | 9.8% |
| Industrials | 12.3% |
| Health Care | 15.5% |
| Financials | 20.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| AT&T Inc | | | 2.5% |
| Citigroup Inc | | | 2.4% |
| JPMorgan Chase & Co | | | 2.0% |
| Exxon Mobil Corp | | | 2.0% |
| Johnson & Johnson | | | 1.9% |
| Merck & Co Inc | | | 1.7% |
| Bank of America Corp | | | 1.6% |
| Comcast Corp, Cl A | | | 1.6% |
| Kroger Co/The | | | 1.5% |
| RTX Corp | | | 1.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SVAYX
Annual Shareholder Report - September 30, 2024
SVAYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SELCX
This annual shareholder report contains important information about Class F Shares of the Large Cap Growth Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Large Cap Growth Fund, Class F Shares | $108 | 0.89% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Large Cap Growth Fund, Class F Shares - $388831 | S&P 500® Index (TR)* - $350980 | Russell 1000 Growth Index (USD) (TR) - $461454 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $102873 | $99385 | $103173 |
| Sep/16 | $112928 | $114721 | $117371 |
| Sep/17 | $132003 | $136070 | $143123 |
| Sep/18 | $164660 | $160441 | $180759 |
| Sep/19 | $168660 | $167266 | $187459 |
| Sep/20 | $226126 | $192605 | $257816 |
| Sep/21 | $284455 | $250396 | $328245 |
| Sep/22 | $216443 | $211654 | $254095 |
| Sep/23 | $272465 | $257408 | $324533 |
| Sep/24 | $388831 | $350980 | $461454 |
How did the Fund perform in the last year?
Class F Shares modestly outperformed its benchmark, the Russell 1000 Growth Index, for the 12-month period ending September 30, 2024.
Fund performance for the reporting period was enhanced by favorable security selection within the industrials, consumer discretionary, and health care sectors. This was partially offset by the negative impact of an underweight position and stock selection in the semiconductor industry.
Among the Fund’s sub-advisors, Fred Alger Management, LLC outperformed the benchmark due to stock selection within the information technology, industrials, and health care sectors. PineStone Asset Management Inc.’s performance lagged due to an underweight to the information technology sector and holdings in the communication services, financials and health care sectors. Mackenzie Investments Corporation outperformed the benchmark due to an overweight to the utilities sector and favorable stock selection in the consumer discretionary sector. The outperformance of SEI’s Quantitative Investment Management (QIM) Team’s factor-based momentum strategy was attributable to stock selection in the industrials and information technology sectors.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Large Cap Growth Fund, Class F Shares | 42.71% | 18.18% | 14.54% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 1000 Growth Index (USD) (TR) | 42.19% | 19.74% | 16.52% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,541,858 | 189 | $4,733 | 65% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.2% |
| Energy | 0.2% |
| Real Estate | 0.7% |
| Utilities | 1.2% |
| Cash Equivalent | 2.0% |
| Materials | 2.0% |
| U.S. Treasury Obligation | 3.0% |
| Consumer Staples | 3.6% |
| Financials | 7.0% |
| Industrials | 7.8% |
| Health Care | 9.9% |
| Communication Services | 11.0% |
| Consumer Discretionary | 11.9% |
| Information Technology | 39.6% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Microsoft Corp | | | 10.1% |
| Apple Inc | | | 7.7% |
| NVIDIA Corp | | | 4.8% |
| Meta Platforms Inc, Cl A | | | 4.3% |
| Amazon.com Inc, Cl A | | | 4.2% |
| Alphabet Inc, Cl A | | | 3.3% |
| U.S. Treasury Bill, 5.02%, 11/29/2024 | | | 3.0% |
| Broadcom Inc | | | 2.6% |
| Eli Lilly & Co | | | 1.9% |
| UnitedHealth Group Inc | | | 1.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SELCX
Annual Shareholder Report - September 30, 2024
SELCX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class I Shares - SPGIX
This annual shareholder report contains important information about Class I Shares of the Large Cap Growth Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Large Cap Growth Fund, Class I Shares | $135 | 1.11% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Large Cap Growth Fund, Class I Shares - $380305 | S&P 500® Index (TR)* - $350980 | Russell 1000 Growth Index (USD) (TR) - $461454 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $102653 | $99385 | $103173 |
| Sep/16 | $112450 | $114721 | $117371 |
| Sep/17 | $131147 | $136070 | $143123 |
| Sep/18 | $163179 | $160441 | $180759 |
| Sep/19 | $166806 | $167266 | $187459 |
| Sep/20 | $223096 | $192605 | $257816 |
| Sep/21 | $280057 | $250396 | $328245 |
| Sep/22 | $212624 | $211654 | $254095 |
| Sep/23 | $267083 | $257408 | $324533 |
| Sep/24 | $380305 | $350980 | $461454 |
How did the Fund perform in the last year?
Class I Shares modestly outperformed its benchmark, the Russell 1000 Growth Index, for the 12-month period ending September 30, 2024.
Fund performance for the reporting period was enhanced by favorable security selection within the industrials, consumer discretionary, and health care sectors. This was partially offset by the negative impact of an underweight position and stock selection in the semiconductor industry.
Among the Fund’s sub-advisors, Fred Alger Management, LLC outperformed the benchmark due to stock selection within the information technology, industrials, and health care sectors. PineStone Asset Management Inc.’s performance lagged due to an underweight to the information technology sector and holdings in the communication services, financials and health care sectors. Mackenzie Investments Corporation outperformed the benchmark due to an overweight to the utilities sector and favorable stock selection in the consumer discretionary sector. The outperformance of SEI’s Quantitative Investment Management (QIM) Team’s factor-based momentum strategy was attributable to stock selection in the industrials and information technology sectors.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Large Cap Growth Fund, Class I Shares | 42.39% | 17.92% | 14.29% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 1000 Growth Index (USD) (TR) | 42.19% | 19.74% | 16.52% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,541,858 | 189 | $4,733 | 65% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.2% |
| Energy | 0.2% |
| Real Estate | 0.7% |
| Utilities | 1.2% |
| Cash Equivalent | 2.0% |
| Materials | 2.0% |
| U.S. Treasury Obligation | 3.0% |
| Consumer Staples | 3.6% |
| Financials | 7.0% |
| Industrials | 7.8% |
| Health Care | 9.9% |
| Communication Services | 11.0% |
| Consumer Discretionary | 11.9% |
| Information Technology | 39.6% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Microsoft Corp | | | 10.1% |
| Apple Inc | | | 7.7% |
| NVIDIA Corp | | | 4.8% |
| Meta Platforms Inc, Cl A | | | 4.3% |
| Amazon.com Inc, Cl A | | | 4.2% |
| Alphabet Inc, Cl A | | | 3.3% |
| U.S. Treasury Bill, 5.02%, 11/29/2024 | | | 3.0% |
| Broadcom Inc | | | 2.6% |
| Eli Lilly & Co | | | 1.9% |
| UnitedHealth Group Inc | | | 1.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class I Shares - SPGIX
Annual Shareholder Report - September 30, 2024
SPGIX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SLRYX
This annual shareholder report contains important information about Class Y Shares of the Large Cap Growth Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Large Cap Growth Fund, Class Y Shares | $78 | 0.64% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Large Cap Growth Fund, Class Y Shares - $397577 | S&P 500® Index (TR)* - $350980 | Russell 1000 Growth Index (USD) (TR) - $461454 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $102873 | $99385 | $103173 |
| Sep/16 | $113222 | $114721 | $117371 |
| Sep/17 | $132662 | $136070 | $143123 |
| Sep/18 | $165880 | $160441 | $180759 |
| Sep/19 | $170355 | $167266 | $187459 |
| Sep/20 | $228943 | $192605 | $257816 |
| Sep/21 | $288690 | $250396 | $328245 |
| Sep/22 | $220191 | $211654 | $254095 |
| Sep/23 | $277917 | $257408 | $324533 |
| Sep/24 | $397577 | $350980 | $461454 |
How did the Fund perform in the last year?
Class Y Shares modestly outperformed its benchmark, the Russell 1000 Growth Index, for the 12-month period ending September 30, 2024.
Fund performance for the reporting period was enhanced by favorable security selection within the industrials, consumer discretionary, and health care sectors. This was partially offset by the negative impact of an underweight position and stock selection in the semiconductor industry.
Among the Fund’s sub-advisors, Fred Alger Management, LLC outperformed the benchmark due to stock selection within the information technology, industrials, and health care sectors. PineStone Asset Management Inc.’s performance lagged due to an underweight to the information technology sector and holdings in the communication services, financials and health care sectors. Mackenzie Investments Corporation outperformed the benchmark due to an overweight to the utilities sector and favorable stock selection in the consumer discretionary sector. The outperformance of SEI’s Quantitative Investment Management (QIM) Team’s factor-based momentum strategy was attributable to stock selection in the industrials and information technology sectors.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Large Cap Growth Fund, Class Y Shares | 43.06% | 18.47% | 14.80% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Russell 1000 Growth Index (USD) (TR) | 42.19% | 19.74% | 16.52% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on October 30, 2015. For periods prior to October 30, 2015, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,541,858 | 189 | $4,733 | 65% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.2% |
| Energy | 0.2% |
| Real Estate | 0.7% |
| Utilities | 1.2% |
| Cash Equivalent | 2.0% |
| Materials | 2.0% |
| U.S. Treasury Obligation | 3.0% |
| Consumer Staples | 3.6% |
| Financials | 7.0% |
| Industrials | 7.8% |
| Health Care | 9.9% |
| Communication Services | 11.0% |
| Consumer Discretionary | 11.9% |
| Information Technology | 39.6% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Microsoft Corp | | | 10.1% |
| Apple Inc | | | 7.7% |
| NVIDIA Corp | | | 4.8% |
| Meta Platforms Inc, Cl A | | | 4.3% |
| Amazon.com Inc, Cl A | | | 4.2% |
| Alphabet Inc, Cl A | | | 3.3% |
| U.S. Treasury Bill, 5.02%, 11/29/2024 | | | 3.0% |
| Broadcom Inc | | | 2.6% |
| Eli Lilly & Co | | | 1.9% |
| UnitedHealth Group Inc | | | 1.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SLRYX
Annual Shareholder Report - September 30, 2024
SLRYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SLGFX
This annual shareholder report contains important information about Class F Shares of the Large Cap Index Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Large Cap Index Fund, Class F Shares | $29 | 0.25% |
How did the Fund perform since inception?
Total Return Based on $100,000 Investment
| Large Cap Index Fund, Class F Shares - $221065 | S&P 500® Index (TR)* - $228771 | Russell 1000 Index (USD) - $225011 |
|---|
| Jan/18 | $100000 | $100000 | $100000 |
| Sep/18 | $104469 | $104576 | $104737 |
| Sep/19 | $108239 | $109025 | $108793 |
| Sep/20 | $125201 | $125541 | $126214 |
| Sep/21 | $163559 | $163210 | $165294 |
| Sep/22 | $135139 | $137958 | $136839 |
| Sep/23 | $163388 | $167780 | $165840 |
| Sep/24 | $221065 | $228771 | $225011 |
How did the Fund perform in the last year?
Class F Shares achieved its objective of tracking, before fees and expenses, the performance of its benchmark, the Russell 1000 Index, for the 12-month period ending September 30, 2024.
The Fund uses a sub-advisor to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corporation. The sole sub-advisor as of September 30, 2024, was SSGA Funds Management, Inc.
The U.S. stock market rallied sharply during the reporting period, led by mega-cap growth stocks. The gains were concentrated in the higher-beta (a measure of an investment’s volatility relative to a benchmark) stocks, and low-beta stocks generally lagged in the bull market. The strongest-performing sector was information technology. The energy sector was the primary market laggard for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | Annualized Since Inception |
|---|
| Large Cap Index Fund, Class F Shares | 35.30% | 15.35% | 12.63% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.21% |
| Russell 1000 Index (USD) | 35.68% | 15.64% | 12.93% |
Since its inception on January 31, 2018. The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund since inception. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,183,715 | 1,018 | $221 | 4% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Right | 0.0% |
| Cash Collateral | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.8% |
| Utilities | 2.4% |
| Materials | 2.5% |
| Real Estate | 2.6% |
| Energy | 3.3% |
| Consumer Staples | 5.6% |
| Communication Services | 8.5% |
| Industrials | 9.3% |
| Consumer Discretionary | 10.2% |
| Health Care | 11.3% |
| Financials | 13.2% |
| Information Technology | 29.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Apple Inc | | | 6.3% |
| Microsoft Corp | | | 5.9% |
| NVIDIA Corp | | | 5.3% |
| Amazon.com Inc, Cl A | | | 3.2% |
| Meta Platforms Inc, Cl A | | | 2.3% |
| Alphabet Inc, Cl A | | | 1.8% |
| Berkshire Hathaway Inc, Cl B | | | 1.6% |
| Alphabet Inc, Cl C | | | 1.5% |
| Broadcom Inc | | | 1.5% |
| Tesla Inc | | | 1.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SLGFX
Annual Shareholder Report - September 30, 2024
SLGFX-AR-24
Annual Shareholder Report - September 30, 2024
Tax-Managed Large Cap Fund
SEI Institutional Managed Trust/Class F Shares - TMLCX
This annual shareholder report contains important information about Class F Shares of the Tax-Managed Large Cap Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Tax-Managed Large Cap Fund, Class F Shares | $102 | 0.89% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Tax-Managed Large Cap Fund, Class F Shares - $275767 | S&P 500® Index (TR)* - $350980 | Russell 1000 Index (USD) - $342568 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $98013 | $99385 | $99386 |
| Sep/16 | $107250 | $114721 | $114226 |
| Sep/17 | $125683 | $136070 | $135402 |
| Sep/18 | $147033 | $160441 | $159456 |
| Sep/19 | $149118 | $167266 | $165632 |
| Sep/20 | $160807 | $192605 | $192155 |
| Sep/21 | $212005 | $250396 | $251653 |
| Sep/22 | $180806 | $211654 | $208330 |
| Sep/23 | $214152 | $257408 | $252483 |
| Sep/24 | $275767 | $350980 | $342568 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, the Russell 1000 Index, for the 12-month period ending September 30, 2024.
The Fund garnered a positive return for the reporting period, but underperformed the benchmark due to its tilt toward value stocks and away from the mega-cap growth stocks that led the market upturn over the period. An underweight to the information technology sector also was a detractor.
Among the Fund’s sub-advisors, Brandywine Global Investment Management, LLC lagged the benchmark due to its value orientation and stock selection within the energy and consumer discretionary sectors. LSV Asset Management lagged the benchmark due to its value orientation, an overweight allocation to the energy sector, an underweight to the information technology sector, and security selection within the industrials sector. PineStone Asset Management Inc.’s underperformance was attributable to its lower-beta (a measure of the volatility of an investment relative to a benchmark) tilt and security selection within the information technology and financials sectors. Mar Vista Investment Partners, LLC lagged the benchmark due to its lower-beta tilt, underweights to the mega-cap growth stocks that led the market upturn over the period, and stock selection within the information technology sector. SEI Investments Management Corporation’s (SIMC) factor-based momentum strategy outperformed the benchmark due to stock selection within the industrials and information technology sectors. SIMC’s factor-based quality strategy lagged the benchmark because of stock selection within the information technology sector.
Regarding the use of derivatives during the reporting period, the Fund employed equity index futures to provide stock-like performance to the liquidity reserve account, which contained cash available for fund withdrawals. This contributed positively to the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Tax-Managed Large Cap Fund, Class F Shares | 28.77% | 13.08% | 10.68% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 1000 Index (USD) | 35.68% | 15.64% | 13.10% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $4,351,207 | 269 | $16,393 | 15% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Real Estate | 1.5% |
| Utilities | 2.0% |
| Energy | 3.4% |
| Materials | 4.3% |
| Cash Equivalent | 4.6% |
| Consumer Staples | 6.5% |
| Communication Services | 7.3% |
| Industrials | 10.2% |
| Consumer Discretionary | 10.4% |
| Health Care | 13.5% |
| Financials | 15.7% |
| Information Technology | 23.0% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Microsoft Corp | | | 4.8% |
| Apple Inc | | | 3.7% |
| Johnson & Johnson | | | 1.9% |
| Lowe's Cos Inc | | | 1.8% |
| Oracle Corp, Cl B | | | 1.8% |
| Alphabet Inc, Cl A | | | 1.8% |
| Alphabet Inc, Cl C | | | 1.7% |
| Moody's Corp | | | 1.7% |
| JPMorgan Chase & Co | | | 1.6% |
| UnitedHealth Group Inc | | | 1.6% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
Coho Partners, Ltd. was terminated as a Fund sub-advisor during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Tax-Managed Large Cap Fund
SEI Institutional Managed Trust/Class F Shares - TMLCX
Annual Shareholder Report - September 30, 2024
TMLCX-AR-24
Annual Shareholder Report - September 30, 2024
Tax-Managed Large Cap Fund
SEI Institutional Managed Trust/Class Y Shares - STLYX
This annual shareholder report contains important information about Class Y Shares of the Tax-Managed Large Cap Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Tax-Managed Large Cap Fund, Class Y Shares | $73 | 0.64% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Tax-Managed Large Cap Fund, Class Y Shares - $282512 | S&P 500® Index (TR)* - $350980 | Russell 1000 Index (USD) - $342568 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $98137 | $99385 | $99386 |
| Sep/16 | $107704 | $114721 | $114226 |
| Sep/17 | $126573 | $136070 | $135402 |
| Sep/18 | $148369 | $160441 | $159456 |
| Sep/19 | $150849 | $167266 | $165632 |
| Sep/20 | $163084 | $192605 | $192155 |
| Sep/21 | $215572 | $250396 | $251653 |
| Sep/22 | $184343 | $211654 | $208330 |
| Sep/23 | $218802 | $257408 | $252483 |
| Sep/24 | $282512 | $350980 | $342568 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, the Russell 1000 Index, for the 12-month period ending September 30, 2024.
The Fund garnered a positive return for the reporting period, but underperformed the benchmark due to its tilt toward value stocks and away from the mega-cap growth stocks that led the market upturn over the period. An underweight to the information technology sector also was a detractor.
Among the Fund’s sub-advisors, Brandywine Global Investment Management, LLC lagged the benchmark due to its value orientation and stock selection within the energy and consumer discretionary sectors. LSV Asset Management lagged the benchmark due to its value orientation, an overweight allocation to the energy sector, an underweight to the information technology sector, and security selection within the industrials sector. PineStone Asset Management Inc.’s underperformance was attributable to its lower-beta (a measure of the volatility of an investment relative to a benchmark) tilt and security selection within the information technology and financials sectors. Mar Vista Investment Partners, LLC lagged the benchmark due to its lower-beta tilt, underweights to the mega-cap growth stocks that led the market upturn over the period, and stock selection within the information technology sector. SEI Investments Management Corporation’s (SIMC) factor-based momentum strategy outperformed the benchmark due to stock selection within the industrials and information technology sectors. SIMC’s factor-based quality strategy lagged the benchmark because of stock selection within the information technology sector.
Regarding the use of derivatives during the reporting period, the Fund employed equity index futures to provide stock-like performance to the liquidity reserve account, which contained cash available for fund withdrawals. This contributed positively to the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Tax-Managed Large Cap Fund, Class Y Shares | 29.12% | 13.37% | 10.94% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Russell 1000 Index (USD) | 35.68% | 15.64% | 13.10% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $4,351,207 | 269 | $16,393 | 15% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Real Estate | 1.5% |
| Utilities | 2.0% |
| Energy | 3.4% |
| Materials | 4.3% |
| Cash Equivalent | 4.6% |
| Consumer Staples | 6.5% |
| Communication Services | 7.3% |
| Industrials | 10.2% |
| Consumer Discretionary | 10.4% |
| Health Care | 13.5% |
| Financials | 15.7% |
| Information Technology | 23.0% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Microsoft Corp | | | 4.8% |
| Apple Inc | | | 3.7% |
| Johnson & Johnson | | | 1.9% |
| Lowe's Cos Inc | | | 1.8% |
| Oracle Corp, Cl B | | | 1.8% |
| Alphabet Inc, Cl A | | | 1.8% |
| Alphabet Inc, Cl C | | | 1.7% |
| Moody's Corp | | | 1.7% |
| JPMorgan Chase & Co | | | 1.6% |
| UnitedHealth Group Inc | | | 1.6% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
Coho Partners, Ltd. was terminated as a Fund sub-advisor during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Tax-Managed Large Cap Fund
SEI Institutional Managed Trust/Class Y Shares - STLYX
Annual Shareholder Report - September 30, 2024
STLYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SSPIX
This annual shareholder report contains important information about Class F Shares of the S&P 500 Index Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| S&P 500 Index Fund, Class F Shares | $29 | 0.25% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| S&P 500 Index Fund, Class F Shares - $340656 | S&P 500® Index (TR) - $350980 |
|---|
| Sep/14 | $100000 | $100000 |
| Sep/15 | $99027 | $99385 |
| Sep/16 | $113807 | $114721 |
| Sep/17 | $134433 | $136070 |
| Sep/18 | $158005 | $160441 |
| Sep/19 | $164436 | $167266 |
| Sep/20 | $188802 | $192605 |
| Sep/21 | $244932 | $250396 |
| Sep/22 | $206521 | $211654 |
| Sep/23 | $250527 | $257408 |
| Sep/24 | $340656 | $350980 |
How did the Fund perform in the last year?
Class F Shares achieved its objective of tracking, before fees and expenses, the performance of its benchmark, the S&P 500 Index, for the 12-month period ending September 30, 2024.
The Fund uses a sub-advisor to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corporation. The sole sub-advisor as of September 30, 2024, was SSGA Funds Management, Inc.
The U.S. stock market rallied sharply during the reporting period, led by mega-cap growth stocks. The gains were concentrated in the higher-beta (a measure of an investment’s volatility relative to a benchmark) stocks, and low-beta stocks generally lagged in the bull market. The strongest-performing sector was information technology. The energy sector was the primary market laggard for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| S&P 500 Index Fund, Class F Shares | 35.98% | 15.68% | 13.04% |
S&P 500® Index (TR) | 36.35% | 15.98% | 13.38% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,029,295 | 505 | $197 | 3% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Cash Collateral | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.9% |
| Materials | 2.2% |
| Real Estate | 2.3% |
| Utilities | 2.5% |
| Energy | 3.2% |
| Consumer Staples | 5.8% |
| Industrials | 8.3% |
| Communication Services | 8.7% |
| Consumer Discretionary | 9.9% |
| Health Care | 11.4% |
| Financials | 12.6% |
| Information Technology | 31.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Apple Inc | | | 7.1% |
| Microsoft Corp | | | 6.4% |
| NVIDIA Corp | | | 6.0% |
| Amazon.com Inc, Cl A | | | 3.5% |
| Meta Platforms Inc, Cl A | | | 2.5% |
| Alphabet Inc, Cl A | | | 2.0% |
| Berkshire Hathaway Inc, Cl B | | | 1.7% |
| Alphabet Inc, Cl C | | | 1.6% |
| Broadcom Inc | | | 1.6% |
| Tesla Inc | | | 1.5% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SSPIX
Annual Shareholder Report - September 30, 2024
SSPIX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class I Shares - SPIIX
This annual shareholder report contains important information about Class I Shares of the S&P 500 Index Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| S&P 500 Index Fund, Class I Shares | $77 | 0.65% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| S&P 500 Index Fund, Class I Shares - $329281 | S&P 500® Index (TR) - $350980 |
|---|
| Sep/14 | $100000 | $100000 |
| Sep/15 | $98810 | $99385 |
| Sep/16 | $113305 | $114721 |
| Sep/17 | $133549 | $136070 |
| Sep/18 | $156431 | $160441 |
| Sep/19 | $162151 | $167266 |
| Sep/20 | $185446 | $192605 |
| Sep/21 | $239608 | $250396 |
| Sep/22 | $201211 | $211654 |
| Sep/23 | $243122 | $257408 |
| Sep/24 | $329281 | $350980 |
How did the Fund perform in the last year?
Class I Shares achieved its objective of tracking, before fees and expenses, the performance of its benchmark, the S&P 500 Index, for the 12-month period ending September 30, 2024.
The Fund uses a sub-advisor to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corporation. The sole sub-advisor as of September 30, 2024, was SSGA Funds Management, Inc.
The U.S. stock market rallied sharply during the reporting period, led by mega-cap growth stocks. The gains were concentrated in the higher-beta (a measure of an investment’s volatility relative to a benchmark) stocks, and low-beta stocks generally lagged in the bull market. The strongest-performing sector was information technology. The energy sector was the primary market laggard for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| S&P 500 Index Fund, Class I Shares | 35.44% | 15.22% | 12.66% |
S&P 500® Index (TR) | 36.35% | 15.98% | 13.38% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,029,295 | 505 | $197 | 3% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Cash Collateral | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.9% |
| Materials | 2.2% |
| Real Estate | 2.3% |
| Utilities | 2.5% |
| Energy | 3.2% |
| Consumer Staples | 5.8% |
| Industrials | 8.3% |
| Communication Services | 8.7% |
| Consumer Discretionary | 9.9% |
| Health Care | 11.4% |
| Financials | 12.6% |
| Information Technology | 31.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Apple Inc | | | 7.1% |
| Microsoft Corp | | | 6.4% |
| NVIDIA Corp | | | 6.0% |
| Amazon.com Inc, Cl A | | | 3.5% |
| Meta Platforms Inc, Cl A | | | 2.5% |
| Alphabet Inc, Cl A | | | 2.0% |
| Berkshire Hathaway Inc, Cl B | | | 1.7% |
| Alphabet Inc, Cl C | | | 1.6% |
| Broadcom Inc | | | 1.6% |
| Tesla Inc | | | 1.5% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class I Shares - SPIIX
Annual Shareholder Report - September 30, 2024
SPIIX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SLLAX
This annual shareholder report contains important information about Class F Shares of the Small Cap Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Small Cap Fund, Class F Shares | $129 | 1.14% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Small Cap Fund, Class F Shares - $214953 | S&P 500® Index (TR)* - $350980 | Russell 2000 Index (USD) - $232101 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $99755 | $99385 | $101246 |
| Sep/16 | $107496 | $114721 | $116906 |
| Sep/17 | $122853 | $136070 | $141155 |
| Sep/18 | $141967 | $160441 | $162664 |
| Sep/19 | $126568 | $167266 | $148205 |
| Sep/20 | $123279 | $192605 | $148783 |
| Sep/21 | $187216 | $250396 | $219719 |
| Sep/22 | $153552 | $211654 | $168090 |
| Sep/23 | $170224 | $257408 | $183100 |
| Sep/24 | $214953 | $350980 | $232101 |
How did the Fund perform in the last year?
Class F Shares modestly underperformed its benchmark, the Russell 2000 Index, for the 12-month period ending September 30, 2024.
Los Angeles Capital Management LLC (LA Capital) was the top performing Fund sub-advisor over the reporting period. LA Capital’s trend-following approach benefited from momentum style tailwinds, as well as positive stock selection in the health care sector. Easterly Investment Partners LLC also outperformed the Fund’s benchmark, the Russell 2000 Index, bucking relatively modest returns from its value factor position through the merits of positive stock selection—namely in the financials and technology sectors. EAM Investors, LLC also outperformed the benchmark by a significant margin during the period, as the manager also benefited from momentum style tailwinds over the period. For the period in which they managed the Fund, both the quantitative investment management (QIM) team within SIMC and Hillsdale Investment Management (Hillsdale) contributed positively to Fund performance on momentum tailwinds as well. Leeward Investments LLC underperformed over this time frame due to the relatively modest returns from its the value factor position and quality headwinds. Copeland Capital Management, LLC also faced quality headwinds, though the sub-advisor surprisingly underperformed in the latter half of the reporting period when low-volatility strategies saw positive returns. This was attributable largely to poor performance in the energy sector.
On a sector basis, overall allocation effects had a somewhat negative effect on Fund performance due largely to a modest overweight allocation towards the end of the reporting period when the sector dramatically underperformed. Overall, stock selection bolstered Fund performance, however, particularly in the industrials and financials sectors. This was partially offset by the negative stock selection in technology.
The Fund’s substantial bias towards valuation was a prominent headwind to performance over the reporting period, as the factor failed to outperform. A similar dynamic emerged with the Fund’s higher-quality exposure as well. Momentum contributed modestly to Fund performance over the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Small Cap Fund, Class F Shares | 26.28% | 11.17% | 7.95% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 2000 Index (USD) | 26.76% | 9.39% | 8.78% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $601,695 | 676 | $3,234 | 106% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 0.7% |
| Utilities | 1.3% |
| Communication Services | 1.8% |
| Consumer Staples | 4.0% |
| Materials | 4.7% |
| Real Estate | 5.1% |
| Energy | 5.2% |
| Information Technology | 9.8% |
| Consumer Discretionary | 12.3% |
| Health Care | 14.5% |
| Industrials | 18.2% |
| Financials | 22.3% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Columbia Banking System Inc | | | 1.1% |
| Hamilton Lane Inc, Cl A | | | 1.1% |
| Modine Manufacturing Co | | | 1.0% |
| Old National Bancorp/IN, Cl A | | | 0.9% |
| Sprouts Farmers Market Inc | | | 0.8% |
| Jackson Financial Inc, Cl A | | | 0.8% |
| CNO Financial Group Inc | | | 0.8% |
| Photronics Inc | | | 0.7% |
| Urban Outfitters Inc | | | 0.7% |
| Encompass Health Corp | | | 0.7% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
During the reporting period, Hillsdale was terminated and the QIM team was added to directly manage a sleeve of the Fund.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SLLAX
Annual Shareholder Report - September 30, 2024
SLLAX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SMYFX
This annual shareholder report contains important information about Class Y Shares of the Small Cap Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Small Cap Fund, Class Y Shares | $101 | 0.89% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Small Cap Fund, Class Y Shares - $220111 | S&P 500® Index (TR)* - $350980 | Russell 2000 Index (USD) - $232101 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $99922 | $99385 | $101246 |
| Sep/16 | $107996 | $114721 | $116906 |
| Sep/17 | $123670 | $136070 | $141155 |
| Sep/18 | $143252 | $160441 | $162664 |
| Sep/19 | $127984 | $167266 | $148205 |
| Sep/20 | $125129 | $192605 | $148783 |
| Sep/21 | $190379 | $250396 | $219719 |
| Sep/22 | $156521 | $211654 | $168090 |
| Sep/23 | $174021 | $257408 | $183100 |
| Sep/24 | $220111 | $350980 | $232101 |
How did the Fund perform in the last year?
Class Y Shares modestly underperformed its benchmark, the Russell 2000 Index, for the 12-month period ending September 30, 2024.
Los Angeles Capital Management LLC (LA Capital) was the top performing Fund sub-advisor over the reporting period. LA Capital’s trend-following approach benefited from momentum style tailwinds, as well as positive stock selection in the health care sector. Easterly Investment Partners LLC also outperformed the Fund’s benchmark, the Russell 2000 Index, bucking relatively modest returns from its value factor position through the merits of positive stock selection—namely in the financials and technology sectors. EAM Investors, LLC also outperformed the benchmark by a significant margin during the period, as the manager also benefited from momentum style tailwinds over the period. For the period in which they managed the Fund, both the quantitative investment management (QIM) team within SIMC and Hillsdale Investment Management (Hillsdale) contributed positively to Fund performance on momentum tailwinds as well. Leeward Investments LLC underperformed over this time frame due to the relatively modest returns from its the value factor position and quality headwinds. Copeland Capital Management, LLC also faced quality headwinds, though the sub-advisor surprisingly underperformed in the latter half of the reporting period when low-volatility strategies saw positive returns. This was attributable largely to poor performance in the energy sector.
On a sector basis, overall allocation effects had a somewhat negative effect on Fund performance due largely to a modest overweight allocation towards the end of the reporting period when the sector dramatically underperformed. Overall, stock selection bolstered Fund performance, however, particularly in the industrials and financials sectors. This was partially offset by the negative stock selection in technology.
The Fund’s substantial bias towards valuation was a prominent headwind to performance over the reporting period, as the factor failed to outperform. A similar dynamic emerged with the Fund’s higher-quality exposure as well. Momentum contributed modestly to Fund performance over the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Small Cap Fund, Class Y Shares | 26.49% | 11.45% | 8.21% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Russell 2000 Index (USD) | 26.76% | 9.39% | 8.78% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $601,695 | 676 | $3,234 | 106% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 0.7% |
| Utilities | 1.3% |
| Communication Services | 1.8% |
| Consumer Staples | 4.0% |
| Materials | 4.7% |
| Real Estate | 5.1% |
| Energy | 5.2% |
| Information Technology | 9.8% |
| Consumer Discretionary | 12.3% |
| Health Care | 14.5% |
| Industrials | 18.2% |
| Financials | 22.3% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Columbia Banking System Inc | | | 1.1% |
| Hamilton Lane Inc, Cl A | | | 1.1% |
| Modine Manufacturing Co | | | 1.0% |
| Old National Bancorp/IN, Cl A | | | 0.9% |
| Sprouts Farmers Market Inc | | | 0.8% |
| Jackson Financial Inc, Cl A | | | 0.8% |
| CNO Financial Group Inc | | | 0.8% |
| Photronics Inc | | | 0.7% |
| Urban Outfitters Inc | | | 0.7% |
| Encompass Health Corp | | | 0.7% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
During the reporting period, Hillsdale was terminated and the QIM team was added to directly manage a sleeve of the Fund.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SMYFX
Annual Shareholder Report - September 30, 2024
SMYFX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SESVX
This annual shareholder report contains important information about Class F Shares of the Small Cap Value Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Small Cap Value Fund, Class F Shares | $127 | 1.14% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Small Cap Value Fund, Class F Shares - $194094 | S&P 500® Index (TR)* - $350980 | Russell 2000 Value Index (USD) - $220417 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $99245 | $99385 | $98398 |
| Sep/16 | $110761 | $114721 | $116905 |
| Sep/17 | $128054 | $136070 | $140928 |
| Sep/18 | $136771 | $160441 | $154074 |
| Sep/19 | $123615 | $167266 | $141370 |
| Sep/20 | $103803 | $192605 | $120334 |
| Sep/21 | $165496 | $250396 | $197257 |
| Sep/22 | $138044 | $211654 | $162370 |
| Sep/23 | $157344 | $257408 | $175103 |
| Sep/24 | $194094 | $350980 | $220417 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, the Russell 2000 Value Index, for the 12-month period ending September 30, 2024.
Easterly Investment Partners LLC (Easterly) was the top performer among the Fund’s sub-advisors during the reporting period. Easterly outperformed the benchmark Russell 2000 Value Index due largely to positive stock selection within the information technology and financials sectors. Positions in Brinker International, Jackson Financial, and Super Micro Computer comprised a significant amount of Easterly’s outperformance relative to the benchmark. Easterly exited the position in Super Micro during the reporting period following the stock’s strong performance. During its time in the Fund, Leeward Investments LLC (Leeward) performed roughly in line with the benchmark. The manager faced quality style headwinds, but benefited from positive returns for low-volatility stocks in the latter half of the reporting period. For the period of time in which Cardinal Capital Management, L.L.C. (Cardinal) was in the Fund, the sub-advisor underperformed due to weak stock selection in the consumer discretionary, health care, and materials sectors. The value strategies of both LSV Asset Management and the Quantitative investment management (QIM) team within SIMC underperformed on value style headwinds.
The Fund’s overall sector allocation detracted modestly from performance, particularly an underweight allocation to financials and an overweight to consumer staples. This was partially offset by the positive impact of an underweight to utilities. Stock selection also weighed on performance, primarily within the health care sector, as the Fund did not hold several strong-performing biotechnology stocks—an industry in which the Fund’s sub-advisors are perennially underweight—as well as weak stock selection in health care providers and services.
At the factor level, Fund performance was hampered by a large overweight to the cheapest, highest-quality stocks in the Russell 2000 Value Index. Although there were modest tailwinds from the underperformance of expensive, low-quality stocks, there was a more significant headwind from the lagging performance of cheap, high-quality names.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Small Cap Value Fund, Class F Shares | 23.36% | 9.44% | 6.86% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 2000 Value Index (USD) | 25.88% | 9.29% | 8.22% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $367,694 | 446 | $2,027 | 57% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.1% |
| Utilities | 1.8% |
| Communication Services | 2.0% |
| Consumer Staples | 3.9% |
| Materials | 6.1% |
| Real Estate | 6.5% |
| Information Technology | 6.7% |
| Health Care | 7.1% |
| Energy | 8.1% |
| Consumer Discretionary | 13.2% |
| Industrials | 15.2% |
| Financials | 28.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| CNO Financial Group Inc | | | 1.8% |
| Jackson Financial Inc, Cl A | | | 1.7% |
| Columbia Banking System Inc | | | 1.2% |
| Old National Bancorp/IN, Cl A | | | 1.2% |
| Photronics Inc | | | 1.0% |
| Commercial Metals Co, Cl A | | | 0.9% |
| Zions Bancorp NA | | | 0.9% |
| Highwoods Properties Inc | | | 0.9% |
| Sanmina Corp | | | 0.8% |
| OFG Bancorp | | | 0.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
During the reporting period, Cardinal was removed as a Fund sub-advisor, while Leeward was added as a Fund sub-advisor.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SESVX
Annual Shareholder Report - September 30, 2024
SESVX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class I Shares - SMVIX
This annual shareholder report contains important information about Class I Shares of the Small Cap Value Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Small Cap Value Fund, Class I Shares | $152 | 1.36% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Small Cap Value Fund, Class I Shares - $189789 | S&P 500® Index (TR)* - $350980 | Russell 2000 Value Index (USD) - $220417 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $99013 | $99385 | $98398 |
| Sep/16 | $110238 | $114721 | $116905 |
| Sep/17 | $127177 | $136070 | $140928 |
| Sep/18 | $135561 | $160441 | $154074 |
| Sep/19 | $122239 | $167266 | $141370 |
| Sep/20 | $102438 | $192605 | $120334 |
| Sep/21 | $162926 | $250396 | $197257 |
| Sep/22 | $135609 | $211654 | $162370 |
| Sep/23 | $154194 | $257408 | $175103 |
| Sep/24 | $189789 | $350980 | $220417 |
How did the Fund perform in the last year?
Class I Shares underperformed its benchmark, the Russell 2000 Value Index, for the 12-month period ending September 30, 2024.
Easterly Investment Partners LLC (Easterly) was the top performer among the Fund’s sub-advisors during the reporting period. Easterly outperformed the benchmark Russell 2000 Value Index due largely to positive stock selection within the information technology and financials sectors. Positions in Brinker International, Jackson Financial, and Super Micro Computer comprised a significant amount of Easterly’s outperformance relative to the benchmark. Easterly exited the position in Super Micro during the reporting period following the stock’s strong performance. During its time in the Fund, Leeward Investments LLC (Leeward) performed roughly in line with the benchmark. The manager faced quality style headwinds, but benefited from positive returns for low-volatility stocks in the latter half of the reporting period. For the period of time in which Cardinal Capital Management, L.L.C. (Cardinal) was in the Fund, the sub-advisor underperformed due to weak stock selection in the consumer discretionary, health care, and materials sectors. The value strategies of both LSV Asset Management and the Quantitative investment management (QIM) team within SIMC underperformed on value style headwinds.
The Fund’s overall sector allocation detracted modestly from performance, particularly an underweight allocation to financials and an overweight to consumer staples. This was partially offset by the positive impact of an underweight to utilities. Stock selection also weighed on performance, primarily within the health care sector, as the Fund did not hold several strong-performing biotechnology stocks—an industry in which the Fund’s sub-advisors are perennially underweight—as well as weak stock selection in health care providers and services.
At the factor level, Fund performance was hampered by a large overweight to the cheapest, highest-quality stocks in the Russell 2000 Value Index. Although there were modest tailwinds from the underperformance of expensive, low-quality stocks, there was a more significant headwind from the lagging performance of cheap, high-quality names.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Small Cap Value Fund, Class I Shares | 23.08% | 9.20% | 6.62% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 2000 Value Index (USD) | 25.88% | 9.29% | 8.22% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $367,694 | 446 | $2,027 | 57% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.1% |
| Utilities | 1.8% |
| Communication Services | 2.0% |
| Consumer Staples | 3.9% |
| Materials | 6.1% |
| Real Estate | 6.5% |
| Information Technology | 6.7% |
| Health Care | 7.1% |
| Energy | 8.1% |
| Consumer Discretionary | 13.2% |
| Industrials | 15.2% |
| Financials | 28.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| CNO Financial Group Inc | | | 1.8% |
| Jackson Financial Inc, Cl A | | | 1.7% |
| Columbia Banking System Inc | | | 1.2% |
| Old National Bancorp/IN, Cl A | | | 1.2% |
| Photronics Inc | | | 1.0% |
| Commercial Metals Co, Cl A | | | 0.9% |
| Zions Bancorp NA | | | 0.9% |
| Highwoods Properties Inc | | | 0.9% |
| Sanmina Corp | | | 0.8% |
| OFG Bancorp | | | 0.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
During the reporting period, Cardinal was removed as a Fund sub-advisor, while Leeward was added as a Fund sub-advisor.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class I Shares - SMVIX
Annual Shareholder Report - September 30, 2024
SMVIX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SPVYX
This annual shareholder report contains important information about Class Y Shares of the Small Cap Value Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Small Cap Value Fund, Class Y Shares | $100 | 0.89% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Small Cap Value Fund, Class Y Shares - $198457 | S&P 500® Index (TR)* - $350980 | Russell 2000 Value Index (USD) - $220417 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $99245 | $99385 | $98398 |
| Sep/16 | $111009 | $114721 | $116905 |
| Sep/17 | $128704 | $136070 | $140928 |
| Sep/18 | $137801 | $160441 | $154074 |
| Sep/19 | $124824 | $167266 | $141370 |
| Sep/20 | $105107 | $192605 | $120334 |
| Sep/21 | $168006 | $250396 | $197257 |
| Sep/22 | $140455 | $211654 | $162370 |
| Sep/23 | $160565 | $257408 | $175103 |
| Sep/24 | $198457 | $350980 | $220417 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, the Russell 2000 Value Index, for the 12-month period ending September 30, 2024.
Easterly Investment Partners LLC (Easterly) was the top performer among the Fund’s sub-advisors during the reporting period. Easterly outperformed the benchmark Russell 2000 Value Index due largely to positive stock selection within the information technology and financials sectors. Positions in Brinker International, Jackson Financial, and Super Micro Computer comprised a significant amount of Easterly’s outperformance relative to the benchmark. Easterly exited the position in Super Micro during the reporting period following the stock’s strong performance. During its time in the Fund, Leeward Investments LLC (Leeward) performed roughly in line with the benchmark. The manager faced quality style headwinds, but benefited from positive returns for low-volatility stocks in the latter half of the reporting period. For the period of time in which Cardinal Capital Management, L.L.C. (Cardinal) was in the Fund, the sub-advisor underperformed due to weak stock selection in the consumer discretionary, health care, and materials sectors. The value strategies of both LSV Asset Management and the Quantitative investment management (QIM) team within SIMC underperformed on value style headwinds.
The Fund’s overall sector allocation detracted modestly from performance, particularly an underweight allocation to financials and an overweight to consumer staples. This was partially offset by the positive impact of an underweight to utilities. Stock selection also weighed on performance, primarily within the health care sector, as the Fund did not hold several strong-performing biotechnology stocks—an industry in which the Fund’s sub-advisors are perennially underweight—as well as weak stock selection in health care providers and services.
At the factor level, Fund performance was hampered by a large overweight to the cheapest, highest-quality stocks in the Russell 2000 Value Index. Although there were modest tailwinds from the underperformance of expensive, low-quality stocks, there was a more significant headwind from the lagging performance of cheap, high-quality names.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Small Cap Value Fund, Class Y Shares | 23.60% | 9.72% | 7.09% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Russell 2000 Value Index (USD) | 25.88% | 9.29% | 8.22% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on October 30, 2015. For periods prior to October 30, 2015, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $367,694 | 446 | $2,027 | 57% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.1% |
| Utilities | 1.8% |
| Communication Services | 2.0% |
| Consumer Staples | 3.9% |
| Materials | 6.1% |
| Real Estate | 6.5% |
| Information Technology | 6.7% |
| Health Care | 7.1% |
| Energy | 8.1% |
| Consumer Discretionary | 13.2% |
| Industrials | 15.2% |
| Financials | 28.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| CNO Financial Group Inc | | | 1.8% |
| Jackson Financial Inc, Cl A | | | 1.7% |
| Columbia Banking System Inc | | | 1.2% |
| Old National Bancorp/IN, Cl A | | | 1.2% |
| Photronics Inc | | | 1.0% |
| Commercial Metals Co, Cl A | | | 0.9% |
| Zions Bancorp NA | | | 0.9% |
| Highwoods Properties Inc | | | 0.9% |
| Sanmina Corp | | | 0.8% |
| OFG Bancorp | | | 0.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
During the reporting period, Cardinal was removed as a Fund sub-advisor, while Leeward was added as a Fund sub-advisor.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SPVYX
Annual Shareholder Report - September 30, 2024
SPVYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SSCGX
This annual shareholder report contains important information about Class F Shares of the Small Cap Growth Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Small Cap Growth Fund, Class F Shares | $127 | 1.11% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Small Cap Growth Fund, Class F Shares - $220817 | S&P 500® Index (TR)* - $350980 | Russell 2000 Growth Index (USD) - $235600 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $102505 | $99385 | $104044 |
| Sep/16 | $111214 | $114721 | $116658 |
| Sep/17 | $132640 | $136070 | $141134 |
| Sep/18 | $166130 | $160441 | $170863 |
| Sep/19 | $143049 | $167266 | $154402 |
| Sep/20 | $151175 | $192605 | $178666 |
| Sep/21 | $212804 | $250396 | $238099 |
| Sep/22 | $159137 | $211654 | $168403 |
| Sep/23 | $170771 | $257408 | $184556 |
| Sep/24 | $220817 | $350980 | $235600 |
How did the Fund perform in the last year?
Class F Shares outperformed its benchmark, the Russell 2000 Growth Index, for the 12-month period ending September 30, 2024.
The momentum managers garnered the highest returns among the Fund’s sub-advisors, as the momentum factor saw strong performance over the reporting period. The SIMC quantitative investment management (QIM) team’s momentum strategy benefited from tailwinds to the momentum factor as well as strong stock selection within the consumer discretionary sector. Jackson Creek Investment Advisors LLC outperformed on momentum tailwinds, and later in the period benefited from the positive returns of the lower-volatility factor. Stock selection in the consumer discretionary and health care sectors also enhanced performance. EAM Investors, LLC moderately outperformed the Fund’s benchmark due to momentum style tailwinds. However, the manager also faced moderate headwinds later in the reporting period due to the portfolio’s higher-volatility posture. For the period in which the sub-advisor was in the Fund, ArrowMark Colorado Holdings, LLC (ArrowMark) contributed positively to Fund performance due largely to a strength in the biotechnology space. For the period in which the manager was in the Fund, Polen Capital Management, LLC (Polen) underperformed the benchmark amid quality style headwinds and weak stock selection within the health care and consumer discretionary sectors.
Regarding sector allocation, Fund performance was hampered by an overweight allocation to the energy sector, which sold off late in the period, and an overall underweight to information technology, which performed well until late in the period. Performance benefited from stock selection in industrials, health care, consumer discretionary, and financials. This was only partially offset by weak stock selection in information technology.
Regarding factors, the Fund’s bias towards the cheapest names in the Russell 2000 Growth Index and its tilt towards the highest-quality names in the index hampered performance. The Fund’s positive momentum exposure had a positive impact. A slightly lower beta posture enhanced Fund performance over the period, while its somewhat smaller market-cap exposure was a modest detractor.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Small Cap Growth Fund, Class F Shares | 29.31% | 9.07% | 8.24% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 2000 Growth Index (USD) | 27.66% | 8.82% | 8.95% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $364,360 | 360 | $1,817 | 192% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.0% |
| Utilities | 1.1% |
| Communication Services | 1.4% |
| Materials | 2.8% |
| Energy | 3.1% |
| Real Estate | 3.7% |
| Consumer Staples | 4.1% |
| Consumer Discretionary | 13.9% |
| Financials | 14.9% |
| Information Technology | 15.1% |
| Industrials | 17.9% |
| Health Care | 20.9% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Hamilton Lane Inc, Cl A | | | 1.7% |
| Sprouts Farmers Market Inc | | | 1.5% |
| ExlService Holdings Inc | | | 1.2% |
| Modine Manufacturing Co | | | 1.1% |
| Mr Cooper Group Inc | | | 1.0% |
| Fabrinet | | | 1.0% |
| CommVault Systems | | | 1.0% |
| KB Home | | | 1.0% |
| Badger Meter Inc | | | 0.9% |
| Medpace Holdings Inc | | | 0.9% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
Over the reporting period, ArrowMark was removed from the Fund’s sub-advisors, while Polen was added as a manager.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SSCGX
Annual Shareholder Report - September 30, 2024
SSCGX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class I Shares - SPWIX
This annual shareholder report contains important information about Class I Shares of the Small Cap Growth Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Small Cap Growth Fund, Class I Shares | $156 | 1.36% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Small Cap Growth Fund, Class I Shares - $215312 | S&P 500® Index (TR)* - $350980 | Russell 2000 Growth Index (USD) - $235600 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $102227 | $99385 | $104044 |
| Sep/16 | $110656 | $114721 | $116658 |
| Sep/17 | $131650 | $136070 | $141134 |
| Sep/18 | $164455 | $160441 | $170863 |
| Sep/19 | $141224 | $167266 | $154402 |
| Sep/20 | $148910 | $192605 | $178666 |
| Sep/21 | $209102 | $250396 | $238099 |
| Sep/22 | $155967 | $211654 | $168403 |
| Sep/23 | $166939 | $257408 | $184556 |
| Sep/24 | $215312 | $350980 | $235600 |
How did the Fund perform in the last year?
Class I Shares outperformed its benchmark, the Russell 2000 Growth Index, for the 12-month period ending September 30, 2024.
The momentum managers garnered the highest returns among the Fund’s sub-advisors, as the momentum factor saw strong performance over the reporting period. The SIMC quantitative investment management (QIM) team’s momentum strategy benefited from tailwinds to the momentum factor as well as strong stock selection within the consumer discretionary sector. Jackson Creek Investment Advisors LLC outperformed on momentum tailwinds, and later in the period benefited from the positive returns of the lower-volatility factor. Stock selection in the consumer discretionary and health care sectors also enhanced performance. EAM Investors, LLC moderately outperformed the Fund’s benchmark due to momentum style tailwinds. However, the manager also faced moderate headwinds later in the reporting period due to the portfolio’s higher-volatility posture. For the period in which the sub-advisor was in the Fund, ArrowMark Colorado Holdings, LLC (ArrowMark) contributed positively to Fund performance due largely to a strength in the biotechnology space. For the period in which the manager was in the Fund, Polen Capital Management, LLC (Polen) underperformed the benchmark amid quality style headwinds and weak stock selection within the health care and consumer discretionary sectors.
Regarding sector allocation, Fund performance was hampered by an overweight allocation to the energy sector, which sold off late in the period, and an overall underweight to information technology, which performed well until late in the period. Performance benefited from stock selection in industrials, health care, consumer discretionary, and financials. This was only partially offset by weak stock selection in information technology.
Regarding factors, the Fund’s bias towards the cheapest names in the Russell 2000 Growth Index and its tilt towards the highest-quality names in the index hampered performance. The Fund’s positive momentum exposure had a positive impact. A slightly lower beta posture enhanced Fund performance over the period, while its somewhat smaller market-cap exposure was a modest detractor.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Small Cap Growth Fund, Class I Shares | 28.98% | 8.80% | 7.97% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 2000 Growth Index (USD) | 27.66% | 8.82% | 8.95% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $364,360 | 360 | $1,817 | 192% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.0% |
| Utilities | 1.1% |
| Communication Services | 1.4% |
| Materials | 2.8% |
| Energy | 3.1% |
| Real Estate | 3.7% |
| Consumer Staples | 4.1% |
| Consumer Discretionary | 13.9% |
| Financials | 14.9% |
| Information Technology | 15.1% |
| Industrials | 17.9% |
| Health Care | 20.9% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Hamilton Lane Inc, Cl A | | | 1.7% |
| Sprouts Farmers Market Inc | | | 1.5% |
| ExlService Holdings Inc | | | 1.2% |
| Modine Manufacturing Co | | | 1.1% |
| Mr Cooper Group Inc | | | 1.0% |
| Fabrinet | | | 1.0% |
| CommVault Systems | | | 1.0% |
| KB Home | | | 1.0% |
| Badger Meter Inc | | | 0.9% |
| Medpace Holdings Inc | | | 0.9% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
Over the reporting period, ArrowMark was removed from the Fund’s sub-advisors, while Polen was added as a manager.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class I Shares - SPWIX
Annual Shareholder Report - September 30, 2024
SPWIX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SMAYX
This annual shareholder report contains important information about Class Y Shares of the Small Cap Growth Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Small Cap Growth Fund, Class Y Shares | $99 | 0.86% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Small Cap Growth Fund, Class Y Shares - $225802 | S&P 500® Index (TR)* - $350980 | Russell 2000 Growth Index (USD) - $235600 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $102505 | $99385 | $104044 |
| Sep/16 | $111484 | $114721 | $116658 |
| Sep/17 | $133297 | $136070 | $141134 |
| Sep/18 | $167329 | $160441 | $170863 |
| Sep/19 | $144433 | $167266 | $154402 |
| Sep/20 | $153050 | $192605 | $178666 |
| Sep/21 | $215965 | $250396 | $238099 |
| Sep/22 | $161953 | $211654 | $168403 |
| Sep/23 | $174227 | $257408 | $184556 |
| Sep/24 | $225802 | $350980 | $235600 |
How did the Fund perform in the last year?
Class Y Shares outperformed its benchmark, the Russell 2000 Growth Index, for the 12-month period ending September 30, 2024.
The momentum managers garnered the highest returns among the Fund’s sub-advisors, as the momentum factor saw strong performance over the reporting period. The SIMC quantitative investment management (QIM) team’s momentum strategy benefited from tailwinds to the momentum factor as well as strong stock selection within the consumer discretionary sector. Jackson Creek Investment Advisors LLC outperformed on momentum tailwinds, and later in the period benefited from the positive returns of the lower-volatility factor. Stock selection in the consumer discretionary and health care sectors also enhanced performance. EAM Investors, LLC moderately outperformed the Fund’s benchmark due to momentum style tailwinds. However, the manager also faced moderate headwinds later in the reporting period due to the portfolio’s higher-volatility posture. For the period in which the sub-advisor was in the Fund, ArrowMark Colorado Holdings, LLC (ArrowMark) contributed positively to Fund performance due largely to a strength in the biotechnology space. For the period in which the manager was in the Fund, Polen Capital Management, LLC (Polen) underperformed the benchmark amid quality style headwinds and weak stock selection within the health care and consumer discretionary sectors.
Regarding sector allocation, Fund performance was hampered by an overweight allocation to the energy sector, which sold off late in the period, and an overall underweight to information technology, which performed well until late in the period. Performance benefited from stock selection in industrials, health care, consumer discretionary, and financials. This was only partially offset by weak stock selection in information technology.
Regarding factors, the Fund’s bias towards the cheapest names in the Russell 2000 Growth Index and its tilt towards the highest-quality names in the index hampered performance. The Fund’s positive momentum exposure had a positive impact. A slightly lower beta posture enhanced Fund performance over the period, while its somewhat smaller market-cap exposure was a modest detractor.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Small Cap Growth Fund, Class Y Shares | 29.60% | 9.35% | 8.49% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Russell 2000 Growth Index (USD) | 27.66% | 8.82% | 8.95% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on October 30, 2015. For periods prior to October 30, 2015, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $364,360 | 360 | $1,817 | 192% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Cash Equivalent | 1.0% |
| Utilities | 1.1% |
| Communication Services | 1.4% |
| Materials | 2.8% |
| Energy | 3.1% |
| Real Estate | 3.7% |
| Consumer Staples | 4.1% |
| Consumer Discretionary | 13.9% |
| Financials | 14.9% |
| Information Technology | 15.1% |
| Industrials | 17.9% |
| Health Care | 20.9% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Hamilton Lane Inc, Cl A | | | 1.7% |
| Sprouts Farmers Market Inc | | | 1.5% |
| ExlService Holdings Inc | | | 1.2% |
| Modine Manufacturing Co | | | 1.1% |
| Mr Cooper Group Inc | | | 1.0% |
| Fabrinet | | | 1.0% |
| CommVault Systems | | | 1.0% |
| KB Home | | | 1.0% |
| Badger Meter Inc | | | 0.9% |
| Medpace Holdings Inc | | | 0.9% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
Over the reporting period, ArrowMark was removed from the Fund’s sub-advisors, while Polen was added as a manager.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SMAYX
Annual Shareholder Report - September 30, 2024
SMAYX-AR-24
Annual Shareholder Report - September 30, 2024
Tax-Managed Small/Mid Cap Fund
SEI Institutional Managed Trust/Class F Shares - STMSX
This annual shareholder report contains important information about Class F Shares of the Tax-Managed Small/Mid Cap Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Tax-Managed Small/Mid Cap Fund, Class F Shares | $126 | 1.11% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Tax-Managed Small/Mid Cap Fund, Class F Shares - $209997 | S&P 500® Index (TR)* - $350980 | Russell 2500 Index (USD) - $247726 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $100579 | $99385 | $100379 |
| Sep/16 | $109181 | $114721 | $114869 |
| Sep/17 | $127643 | $136070 | $135307 |
| Sep/18 | $147281 | $160441 | $157218 |
| Sep/19 | $135104 | $167266 | $150859 |
| Sep/20 | $127710 | $192605 | $154207 |
| Sep/21 | $184567 | $250396 | $223644 |
| Sep/22 | $149574 | $211654 | $176438 |
| Sep/23 | $164850 | $257408 | $196348 |
| Sep/24 | $209997 | $350980 | $247726 |
How did the Fund perform in the last year?
Class F Shares outperformed its benchmark, the Russell 2500 Index, for the 12-month period ending September 30, 2024.
Hillsdale Investment Management Inc. was the top-performing Fund manager over the reporting period, benefiting mainly from positive momentum tailwinds. Easterly Investment Partners LLC also outperformed due to positive stock selection—namely in the financials and information technology sectors. Martingale Asset Management, LP bolstered Fund performance due to a positive trend for low-volatility stocks that developed in the latter half of the reporting period. During its tenure as a Fund manager, Geneva Capital Management LLC (Geneva) contributed positively to performance, attributable to tailwinds to low volatility, as well as positive stock selection within the information technology and consumer discretionary sectors. Additionally, the quantitative investment management (QIM) team’s momentum strategy outperformed due to momentum style tailwinds, partially offset by the strategy’s bias towards higher-quality names. Rice Hall James & Associates, LLC (Rice Hall) performed in line with the benchmark during its tenure as a Fund manager, while Cardinal Capital Management, LLC (Cardinal) underperformed on stock-specific results. QIM’s value strategy also underperformed as value remained largely out of favor.
Overall sector allocation hampered Fund performance for the reporting period due largely to an underweight allocation to the utilities and energy sectors. Stock selection bolstered Fund performance. Stock selection in the financials, information technology, consumer staples, and industrials sectors contributed to Fund performance, partially offset by holdings in health care.
The negative impact of an overweight allocation to the cheapest names in the index was offset by the positive contribution of an underweight to the most expensive stocks. The Fund’s high-quality exposure detracted from performance, while the exposure to the momentum factor had a positive impact. An underweight to the largest companies in the index detracted modestly from Fund performance.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Tax-Managed Small/Mid Cap Fund, Class F Shares | 27.39% | 9.22% | 7.70% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 2500 Index (USD) | 26.17% | 10.43% | 9.50% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $887,533 | 646 | $4,767 | 57% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Rights | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Utilities | 1.0% |
| Cash Equivalent | 1.1% |
| Communication Services | 2.2% |
| Energy | 3.9% |
| Real Estate | 4.0% |
| Consumer Staples | 5.0% |
| Materials | 6.1% |
| Consumer Discretionary | 10.3% |
| Health Care | 10.9% |
| Information Technology | 13.6% |
| Industrials | 20.4% |
| Financials | 21.4% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Jackson Financial Inc, Cl A | | | 1.7% |
| Columbia Banking System Inc | | | 1.2% |
| CNO Financial Group Inc | | | 1.2% |
| Commercial Metals Co, Cl A | | | 1.1% |
| Modine Manufacturing Co | | | 1.0% |
| Pilgrim's Pride Corp | | | 1.0% |
| Lincoln National Corp | | | 1.0% |
| Axon Enterprise Inc | | | 0.8% |
| Highwoods Properties Inc | | | 0.8% |
| Delek US Holdings Inc | | | 0.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
During the reporting period, Rice Hall and Cardinal were removed as Fund managers, while Geneva was added. In addition, the QIM team was added to directly manage a sleeve of the Fund.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Tax-Managed Small/Mid Cap Fund
SEI Institutional Managed Trust/Class F Shares - STMSX
Annual Shareholder Report - September 30, 2024
STMSX-AR-24
Annual Shareholder Report - September 30, 2024
Tax-Managed Small/Mid Cap Fund
SEI Institutional Managed Trust/Class Y Shares - STMPX
This annual shareholder report contains important information about Class Y Shares of the Tax-Managed Small/Mid Cap Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Tax-Managed Small/Mid Cap Fund, Class Y Shares | $101 | 0.89% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Tax-Managed Small/Mid Cap Fund, Class Y Shares - $214554 | S&P 500® Index (TR)* - $350980 | Russell 2500 Index (USD) - $247726 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $100746 | $99385 | $100379 |
| Sep/16 | $109603 | $114721 | $114869 |
| Sep/17 | $128392 | $136070 | $135307 |
| Sep/18 | $148543 | $160441 | $157218 |
| Sep/19 | $136480 | $167266 | $150859 |
| Sep/20 | $129389 | $192605 | $154207 |
| Sep/21 | $187367 | $250396 | $223644 |
| Sep/22 | $152120 | $211654 | $176438 |
| Sep/23 | $168077 | $257408 | $196348 |
| Sep/24 | $214554 | $350980 | $247726 |
How did the Fund perform in the last year?
Class Y Shares outperformed its benchmark, the Russell 2500 Index, for the 12-month period ending September 30, 2024.
Hillsdale Investment Management Inc. was the top-performing Fund manager over the reporting period, benefiting mainly from positive momentum tailwinds. Easterly Investment Partners LLC also outperformed due to positive stock selection—namely in the financials and information technology sectors. Martingale Asset Management, LP bolstered Fund performance due to a positive trend for low-volatility stocks that developed in the latter half of the reporting period. During its tenure as a Fund manager, Geneva Capital Management LLC (Geneva) contributed positively to performance, attributable to tailwinds to low volatility, as well as positive stock selection within the information technology and consumer discretionary sectors. Additionally, the quantitative investment management (QIM) team’s momentum strategy outperformed due to momentum style tailwinds, partially offset by the strategy’s bias towards higher-quality names. Rice Hall James & Associates, LLC (Rice Hall) performed in line with the benchmark during its tenure as a Fund manager, while Cardinal Capital Management, LLC (Cardinal) underperformed on stock-specific results. QIM’s value strategy also underperformed as value remained largely out of favor.
Overall sector allocation hampered Fund performance for the reporting period due largely to an underweight allocation to the utilities and energy sectors. Stock selection bolstered Fund performance. Stock selection in the financials, information technology, consumer staples, and industrials sectors contributed to Fund performance, partially offset by holdings in health care.
The negative impact of an overweight allocation to the cheapest names in the index was offset by the positive contribution of an underweight to the most expensive stocks. The Fund’s high-quality exposure detracted from performance, while the exposure to the momentum factor had a positive impact. An underweight to the largest companies in the index detracted modestly from Fund performance.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Tax-Managed Small/Mid Cap Fund, Class Y Shares | 27.65% | 9.47% | 7.93% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Russell 2500 Index (USD) | 26.17% | 10.43% | 9.50% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $887,533 | 646 | $4,767 | 57% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Rights | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Utilities | 1.0% |
| Cash Equivalent | 1.1% |
| Communication Services | 2.2% |
| Energy | 3.9% |
| Real Estate | 4.0% |
| Consumer Staples | 5.0% |
| Materials | 6.1% |
| Consumer Discretionary | 10.3% |
| Health Care | 10.9% |
| Information Technology | 13.6% |
| Industrials | 20.4% |
| Financials | 21.4% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Jackson Financial Inc, Cl A | | | 1.7% |
| Columbia Banking System Inc | | | 1.2% |
| CNO Financial Group Inc | | | 1.2% |
| Commercial Metals Co, Cl A | | | 1.1% |
| Modine Manufacturing Co | | | 1.0% |
| Pilgrim's Pride Corp | | | 1.0% |
| Lincoln National Corp | | | 1.0% |
| Axon Enterprise Inc | | | 0.8% |
| Highwoods Properties Inc | | | 0.8% |
| Delek US Holdings Inc | | | 0.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
During the reporting period, Rice Hall and Cardinal were removed as Fund managers, while Geneva was added. In addition, the QIM team was added to directly manage a sleeve of the Fund.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Tax-Managed Small/Mid Cap Fund
SEI Institutional Managed Trust/Class Y Shares - STMPX
Annual Shareholder Report - September 30, 2024
STMPX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SEMCX
This annual shareholder report contains important information about Class F Shares of the Mid-Cap Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Mid-Cap Fund, Class F Shares | $112 | 0.98% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Mid-Cap Fund, Class F Shares - $243497 | S&P 500® Index (TR)* - $350980 | Russell Midcap Index (USD) - $263963 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $100673 | $99385 | $99752 |
| Sep/16 | $114869 | $114721 | $113966 |
| Sep/17 | $134988 | $136070 | $131430 |
| Sep/18 | $153091 | $160441 | $149804 |
| Sep/19 | $148342 | $167266 | $154576 |
| Sep/20 | $144081 | $192605 | $161613 |
| Sep/21 | $200983 | $250396 | $223200 |
| Sep/22 | $169480 | $211654 | $179912 |
| Sep/23 | $189421 | $257408 | $204103 |
| Sep/24 | $243497 | $350980 | $263963 |
How did the Fund perform in the last year?
Class F Shares modestly underperformed its benchmark, the Russell Midcap Index, for the 12-month period ending September 30, 2024.
Regarding the Fund’s sub-advisors, Los Angeles Capital Management LLC (LA Capital) outperformed the benchmark Russell Midcap Index over the reporting period. The trend-following manager’s performance benefited from positive results for the momentum factor and stock selection in the industrials, consumer discretionary, and energy sectors. LA Capital’s performance also was bolstered by sector positioning, namely underweight allocations to consumer staples and materials, and an overweight to financials. Leeward Investments, LLC underperformed the benchmark for the period, attributable largely to value and quality style headwinds. Weak stock selection in the consumer discretionary sector also detracted from the manager’s performance.
On a sector basis, Fund performance was enhanced by an overweight position in financials and underweight in materials. This was partially offset by the negative impact of a small overweight to energy. Fund performance benefited from stock selection in the industrials sector, though this was partially offset by weak selection in financials.
The Fund performance generally was bolstered by positive momentum exposure over the reporting period, as this factor garnered the highest returns. A more moderate overweight to the value style had no significant impact on Fund performance, as both the cheapest and most expensive stocks in the Russell Midcap Index underperformed. The Fund’s bias towards high-quality stocks within the index detracted somewhat from performance for the reporting period, while an active underweight allocation to the most volatile stocks in the index had a modestly positive impact.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Mid-Cap Fund, Class F Shares | 28.55% | 10.42% | 9.31% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell Midcap Index (USD) | 29.33% | 11.30% | 10.19% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $84,078 | 321 | $329 | 61% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Rights | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Exchange Traded Fund | 0.4% |
| Cash Equivalent | 1.5% |
| Communication Services | 2.6% |
| Materials | 3.5% |
| Consumer Staples | 3.6% |
| Energy | 4.6% |
| Utilities | 7.2% |
| Real Estate | 8.4% |
| Health Care | 10.0% |
| Consumer Discretionary | 11.1% |
| Information Technology | 11.8% |
| Industrials | 17.2% |
| Financials | 18.0% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Howmet Aerospace Inc | | | 1.2% |
| Ross Stores Inc | | | 1.0% |
| Omnicom Group Inc | | | 1.0% |
| Allstate Corp/The | | | 1.0% |
| NetApp Inc | | | 0.9% |
| PulteGroup Inc | | | 0.9% |
| Cboe Global Markets Inc | | | 0.8% |
| Genpact Ltd | | | 0.8% |
| Public Service Enterprise Group Inc | | | 0.8% |
| Clean Harbors Inc | | | 0.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SEMCX
Annual Shareholder Report - September 30, 2024
SEMCX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class I Shares - SIPIX
This annual shareholder report contains important information about Class I Shares of the Mid-Cap Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Mid-Cap Fund, Class I Shares | $137 | 1.20% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Mid-Cap Fund, Class I Shares - $238156 | S&P 500® Index (TR)* - $350980 | Russell Midcap Index (USD) - $263963 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $100432 | $99385 | $99752 |
| Sep/16 | $114335 | $114721 | $113966 |
| Sep/17 | $134134 | $136070 | $131430 |
| Sep/18 | $151721 | $160441 | $149804 |
| Sep/19 | $146756 | $167266 | $154576 |
| Sep/20 | $142169 | $192605 | $161613 |
| Sep/21 | $197885 | $250396 | $223200 |
| Sep/22 | $166461 | $211654 | $179912 |
| Sep/23 | $185604 | $257408 | $204103 |
| Sep/24 | $238156 | $350980 | $263963 |
How did the Fund perform in the last year?
Class I Shares modestly underperformed its benchmark, the Russell Midcap Index, for the 12-month period ending September 30, 2024.
Regarding the Fund’s sub-advisors, Los Angeles Capital Management LLC (LA Capital) outperformed the benchmark Russell Midcap Index over the reporting period. The trend-following manager’s performance benefited from positive results for the momentum factor and stock selection in the industrials, consumer discretionary, and energy sectors. LA Capital’s performance also was bolstered by sector positioning, namely underweight allocations to consumer staples and materials, and an overweight to financials. Leeward Investments, LLC underperformed the benchmark for the period, attributable largely to value and quality style headwinds. Weak stock selection in the consumer discretionary sector also detracted from the manager’s performance.
On a sector basis, Fund performance was enhanced by an overweight position in financials and underweight in materials. This was partially offset by the negative impact of a small overweight to energy. Fund performance benefited from stock selection in the industrials sector, though this was partially offset by weak selection in financials.
The Fund performance generally was bolstered by positive momentum exposure over the reporting period, as this factor garnered the highest returns. A more moderate overweight to the value style had no significant impact on Fund performance, as both the cheapest and most expensive stocks in the Russell Midcap Index underperformed. The Fund’s bias towards high-quality stocks within the index detracted somewhat from performance for the reporting period, while an active underweight allocation to the most volatile stocks in the index had a modestly positive impact.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Mid-Cap Fund, Class I Shares | 28.31% | 10.17% | 9.07% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell Midcap Index (USD) | 29.33% | 11.30% | 10.19% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $84,078 | 321 | $329 | 61% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Rights | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Exchange Traded Fund | 0.4% |
| Cash Equivalent | 1.5% |
| Communication Services | 2.6% |
| Materials | 3.5% |
| Consumer Staples | 3.6% |
| Energy | 4.6% |
| Utilities | 7.2% |
| Real Estate | 8.4% |
| Health Care | 10.0% |
| Consumer Discretionary | 11.1% |
| Information Technology | 11.8% |
| Industrials | 17.2% |
| Financials | 18.0% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Howmet Aerospace Inc | | | 1.2% |
| Ross Stores Inc | | | 1.0% |
| Omnicom Group Inc | | | 1.0% |
| Allstate Corp/The | | | 1.0% |
| NetApp Inc | | | 0.9% |
| PulteGroup Inc | | | 0.9% |
| Cboe Global Markets Inc | | | 0.8% |
| Genpact Ltd | | | 0.8% |
| Public Service Enterprise Group Inc | | | 0.8% |
| Clean Harbors Inc | | | 0.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class I Shares - SIPIX
Annual Shareholder Report - September 30, 2024
SIPIX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SFDYX
This annual shareholder report contains important information about Class Y Shares of the Mid-Cap Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Mid-Cap Fund, Class Y Shares | $84 | 0.73% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Mid-Cap Fund, Class Y Shares - $249009 | S&P 500® Index (TR)* - $350980 | Russell Midcap Index (USD) - $263963 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $100673 | $99385 | $99752 |
| Sep/16 | $115126 | $114721 | $113966 |
| Sep/17 | $135664 | $136070 | $131430 |
| Sep/18 | $154219 | $160441 | $149804 |
| Sep/19 | $149820 | $167266 | $154576 |
| Sep/20 | $145917 | $192605 | $161613 |
| Sep/21 | $203999 | $250396 | $223200 |
| Sep/22 | $172418 | $211654 | $179912 |
| Sep/23 | $193174 | $257408 | $204103 |
| Sep/24 | $249009 | $350980 | $263963 |
How did the Fund perform in the last year?
Class Y Shares modestly underperformed its benchmark, the Russell Midcap Index, for the 12-month period ending September 30, 2024.
Regarding the Fund’s sub-advisors, Los Angeles Capital Management LLC (LA Capital) outperformed the benchmark Russell Midcap Index over the reporting period. The trend-following manager’s performance benefited from positive results for the momentum factor and stock selection in the industrials, consumer discretionary, and energy sectors. LA Capital’s performance also was bolstered by sector positioning, namely underweight allocations to consumer staples and materials, and an overweight to financials. Leeward Investments, LLC underperformed the benchmark for the period, attributable largely to value and quality style headwinds. Weak stock selection in the consumer discretionary sector also detracted from the manager’s performance.
On a sector basis, Fund performance was enhanced by an overweight position in financials and underweight in materials. This was partially offset by the negative impact of a small overweight to energy. Fund performance benefited from stock selection in the industrials sector, though this was partially offset by weak selection in financials.
The Fund performance generally was bolstered by positive momentum exposure over the reporting period, as this factor garnered the highest returns. A more moderate overweight to the value style had no significant impact on Fund performance, as both the cheapest and most expensive stocks in the Russell Midcap Index underperformed. The Fund’s bias towards high-quality stocks within the index detracted somewhat from performance for the reporting period, while an active underweight allocation to the most volatile stocks in the index had a modestly positive impact.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Mid-Cap Fund, Class Y Shares | 28.90% | 10.70% | 9.55% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Russell Midcap Index (USD) | 29.33% | 11.30% | 10.19% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on October 30, 2015. For periods prior to October 30, 2015, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $84,078 | 321 | $329 | 61% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Rights | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Exchange Traded Fund | 0.4% |
| Cash Equivalent | 1.5% |
| Communication Services | 2.6% |
| Materials | 3.5% |
| Consumer Staples | 3.6% |
| Energy | 4.6% |
| Utilities | 7.2% |
| Real Estate | 8.4% |
| Health Care | 10.0% |
| Consumer Discretionary | 11.1% |
| Information Technology | 11.8% |
| Industrials | 17.2% |
| Financials | 18.0% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Howmet Aerospace Inc | | | 1.2% |
| Ross Stores Inc | | | 1.0% |
| Omnicom Group Inc | | | 1.0% |
| Allstate Corp/The | | | 1.0% |
| NetApp Inc | | | 0.9% |
| PulteGroup Inc | | | 0.9% |
| Cboe Global Markets Inc | | | 0.8% |
| Genpact Ltd | | | 0.8% |
| Public Service Enterprise Group Inc | | | 0.8% |
| Clean Harbors Inc | | | 0.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SFDYX
Annual Shareholder Report - September 30, 2024
SFDYX-AR-24
Annual Shareholder Report - September 30, 2024
U.S. Managed Volatility Fund
SEI Institutional Managed Trust/Class F Shares - SVOAX
This annual shareholder report contains important information about Class F Shares of the U.S. Managed Volatility Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| U.S. Managed Volatility Fund, Class F Shares | $101 | 0.90% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| U.S. Managed Volatility Fund, Class F Shares - $234492 | S&P 500® Index (TR)* - $350980 | Russell 3000 ™ Index (USD) - $334317 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $104612 | $99385 | $99505 |
| Sep/16 | $117177 | $114721 | $114395 |
| Sep/17 | $131067 | $136070 | $135795 |
| Sep/18 | $146577 | $160441 | $159667 |
| Sep/19 | $158142 | $167266 | $164326 |
| Sep/20 | $150445 | $192605 | $188977 |
| Sep/21 | $181122 | $250396 | $249214 |
| Sep/22 | $170289 | $211654 | $205284 |
| Sep/23 | $187712 | $257408 | $247288 |
| Sep/24 | $234492 | $350980 | $334317 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, the Russell 3000 ™ Index, for the 12-month period ending September 30, 2024.
The Fund recorded a positive absolute return for the reporting period, but underperformed the benchmark. Exposure to low-volatility and value stocks detracted from performance. Underweights to the mega-cap growth stocks that led the market upturn during the period, as well as defensive sector positioning, also weighed on performance. Exposure to relatively smaller-cap stocks was a common headwind among the Fund’s sub-advisors.
Among the Fund’s sub-advisors, Allspring Global Investments, LLC’s performance for the reporting period was bolstered by its less pronounced tilt toward value stocks; however, tilts toward low-volatility stocks detracted from performance. An overweight to consumer staples and an underweight to information technology weighed on performance, while an underweight to consumer discretionary was a contributor. Performance was hampered by stock selection in health care, while holdings in industrials and consumer staples had a slightly positive impact.
LSV Asset Management’s underperformance for the period was attributable largely to the manager’s tilt toward value stocks within the low-volatility segment of the market. An overweight to consumer staples and an underweight to information technology detracted from performance, while an underweight to consumer discretionary had a positive impact. Performance also was hampered by stock selection in information technology and health care. Holdings in utilities bolstered performance.
The quantitative investment management (QIM) team within SIMC outperformed the benchmark since it started to directly manage a sleeve of the Fund in June 2024. Tilts toward low-volatility and value stocks contributed slightly to performance as both asset classes performed well in the third quarter of 2024. QIM also benefited from an overweight to industrials, while an overweight to consumer staples was a detractor.
The Fund employed equity index futures to provide stock-like performance to a portion of the liquidity reserve account, which contained cash available for fund withdrawals. This enhanced the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| U.S. Managed Volatility Fund, Class F Shares | 24.92% | 8.20% | 8.90% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 3000 ™ Index (USD) | 35.19% | 15.26% | 12.83% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $648,141 | 365 | $2,577 | 54% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Real Estate | 0.1% |
| Cash Equivalent | 1.3% |
| Materials | 2.4% |
| Energy | 2.7% |
| Utilities | 3.6% |
| Consumer Discretionary | 8.5% |
| Communication Services | 8.5% |
| Financials | 11.9% |
| Industrials | 13.6% |
| Information Technology | 15.0% |
| Health Care | 16.1% |
| Consumer Staples | 16.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Verizon Communications Inc | | | 1.8% |
| Amdocs Ltd | | | 1.8% |
| AT&T Inc | | | 1.7% |
| Cisco Systems Inc | | | 1.7% |
| Gilead Sciences Inc | | | 1.6% |
| Comcast Corp, Cl A | | | 1.6% |
| Lockheed Martin Corp | | | 1.6% |
| International Business Machines Corp | | | 1.6% |
| Merck & Co Inc | | | 1.4% |
| Bank of New York Mellon Corp/The | | | 1.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
The QIM team was added to directly manage a portion of the Fund’s assets in June 2024. In addition, the advisory fee was reduced during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
U.S. Managed Volatility Fund
SEI Institutional Managed Trust/Class F Shares - SVOAX
Annual Shareholder Report - September 30, 2024
SVOAX-AR-24
Annual Shareholder Report - September 30, 2024
U.S. Managed Volatility Fund
SEI Institutional Managed Trust/Class I Shares - SEVIX
This annual shareholder report contains important information about Class I Shares of the U.S. Managed Volatility Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| U.S. Managed Volatility Fund, Class I Shares | $129 | 1.15% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| U.S. Managed Volatility Fund, Class I Shares - $228735 | S&P 500® Index (TR)* - $350980 | Russell 3000 ™ Index (USD) - $334317 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $104425 | $99385 | $99505 |
| Sep/16 | $116706 | $114721 | $114395 |
| Sep/17 | $130215 | $136070 | $135795 |
| Sep/18 | $145257 | $160441 | $159667 |
| Sep/19 | $156324 | $167266 | $164326 |
| Sep/20 | $148248 | $192605 | $188977 |
| Sep/21 | $178146 | $250396 | $249214 |
| Sep/22 | $167000 | $211654 | $205284 |
| Sep/23 | $183512 | $257408 | $247288 |
| Sep/24 | $228735 | $350980 | $334317 |
How did the Fund perform in the last year?
Class I Shares underperformed its benchmark, the Russell 3000 ™ Index, for the 12-month period ending September 30, 2024.
The Fund recorded a positive absolute return for the reporting period, but underperformed the benchmark. Exposure to low-volatility and value stocks detracted from performance. Underweights to the mega-cap growth stocks that led the market upturn during the period, as well as defensive sector positioning, also weighed on performance. Exposure to relatively smaller-cap stocks was a common headwind among the Fund’s sub-advisors.
Among the Fund’s sub-advisors, Allspring Global Investments, LLC’s performance for the reporting period was bolstered by its less pronounced tilt toward value stocks; however, tilts toward low-volatility stocks detracted from performance. An overweight to consumer staples and an underweight to information technology weighed on performance, while an underweight to consumer discretionary was a contributor. Performance was hampered by stock selection in health care, while holdings in industrials and consumer staples had a slightly positive impact.
LSV Asset Management’s underperformance for the period was attributable largely to the manager’s tilt toward value stocks within the low-volatility segment of the market. An overweight to consumer staples and an underweight to information technology detracted from performance, while an underweight to consumer discretionary had a positive impact. Performance also was hampered by stock selection in information technology and health care. Holdings in utilities bolstered performance.
The quantitative investment management (QIM) team within SIMC outperformed the benchmark since it started to directly manage a sleeve of the Fund in June 2024. Tilts toward low-volatility and value stocks contributed slightly to performance as both asset classes performed well in the third quarter of 2024. QIM also benefited from an overweight to industrials, while an overweight to consumer staples was a detractor.
The Fund employed equity index futures to provide stock-like performance to a portion of the liquidity reserve account, which contained cash available for fund withdrawals. This enhanced the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| U.S. Managed Volatility Fund, Class I Shares | 24.64% | 7.91% | 8.63% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 3000 ™ Index (USD) | 35.19% | 15.26% | 12.83% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $648,141 | 365 | $2,577 | 54% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Real Estate | 0.1% |
| Cash Equivalent | 1.3% |
| Materials | 2.4% |
| Energy | 2.7% |
| Utilities | 3.6% |
| Consumer Discretionary | 8.5% |
| Communication Services | 8.5% |
| Financials | 11.9% |
| Industrials | 13.6% |
| Information Technology | 15.0% |
| Health Care | 16.1% |
| Consumer Staples | 16.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Verizon Communications Inc | | | 1.8% |
| Amdocs Ltd | | | 1.8% |
| AT&T Inc | | | 1.7% |
| Cisco Systems Inc | | | 1.7% |
| Gilead Sciences Inc | | | 1.6% |
| Comcast Corp, Cl A | | | 1.6% |
| Lockheed Martin Corp | | | 1.6% |
| International Business Machines Corp | | | 1.6% |
| Merck & Co Inc | | | 1.4% |
| Bank of New York Mellon Corp/The | | | 1.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
The QIM team was added to directly manage a portion of the Fund’s assets in June 2024. In addition, the advisory fee was reduced during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
U.S. Managed Volatility Fund
SEI Institutional Managed Trust/Class I Shares - SEVIX
Annual Shareholder Report - September 30, 2024
SEVIX-AR-24
Annual Shareholder Report - September 30, 2024
U.S. Managed Volatility Fund
SEI Institutional Managed Trust/Class Y Shares - SUSYX
This annual shareholder report contains important information about Class Y Shares of the U.S. Managed Volatility Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| U.S. Managed Volatility Fund, Class Y Shares | $73 | 0.65% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| U.S. Managed Volatility Fund, Class Y Shares - $240172 | S&P 500® Index (TR)* - $350980 | Russell 3000 ™ Index (USD) - $334317 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $104809 | $99385 | $99505 |
| Sep/16 | $117681 | $114721 | $114395 |
| Sep/17 | $131957 | $136070 | $135795 |
| Sep/18 | $147937 | $160441 | $159667 |
| Sep/19 | $160002 | $167266 | $164326 |
| Sep/20 | $152614 | $192605 | $188977 |
| Sep/21 | $184181 | $250396 | $249214 |
| Sep/22 | $173625 | $211654 | $205284 |
| Sep/23 | $191752 | $257408 | $247288 |
| Sep/24 | $240172 | $350980 | $334317 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, the Russell 3000 ™ Index, for the 12-month period ending September 30, 2024.
The Fund recorded a positive absolute return for the reporting period, but underperformed the benchmark. Exposure to low-volatility and value stocks detracted from performance. Underweights to the mega-cap growth stocks that led the market upturn during the period, as well as defensive sector positioning, also weighed on performance. Exposure to relatively smaller-cap stocks was a common headwind among the Fund’s sub-advisors.
Among the Fund’s sub-advisors, Allspring Global Investments, LLC’s performance for the reporting period was bolstered by its less pronounced tilt toward value stocks; however, tilts toward low-volatility stocks detracted from performance. An overweight to consumer staples and an underweight to information technology weighed on performance, while an underweight to consumer discretionary was a contributor. Performance was hampered by stock selection in health care, while holdings in industrials and consumer staples had a slightly positive impact.
LSV Asset Management’s underperformance for the period was attributable largely to the manager’s tilt toward value stocks within the low-volatility segment of the market. An overweight to consumer staples and an underweight to information technology detracted from performance, while an underweight to consumer discretionary had a positive impact. Performance also was hampered by stock selection in information technology and health care. Holdings in utilities bolstered performance.
The quantitative investment management (QIM) team within SIMC outperformed the benchmark since it started to directly manage a sleeve of the Fund in June 2024. Tilts toward low-volatility and value stocks contributed slightly to performance as both asset classes performed well in the third quarter of 2024. QIM also benefited from an overweight to industrials, while an overweight to consumer staples was a detractor.
The Fund employed equity index futures to provide stock-like performance to a portion of the liquidity reserve account, which contained cash available for fund withdrawals. This enhanced the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| U.S. Managed Volatility Fund, Class Y Shares | 25.25% | 8.46% | 9.16% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Russell 3000 ™ Index (USD) | 35.19% | 15.26% | 12.83% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $648,141 | 365 | $2,577 | 54% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Affiliated Partnership | 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Real Estate | 0.1% |
| Cash Equivalent | 1.3% |
| Materials | 2.4% |
| Energy | 2.7% |
| Utilities | 3.6% |
| Consumer Discretionary | 8.5% |
| Communication Services | 8.5% |
| Financials | 11.9% |
| Industrials | 13.6% |
| Information Technology | 15.0% |
| Health Care | 16.1% |
| Consumer Staples | 16.2% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Verizon Communications Inc | | | 1.8% |
| Amdocs Ltd | | | 1.8% |
| AT&T Inc | | | 1.7% |
| Cisco Systems Inc | | | 1.7% |
| Gilead Sciences Inc | | | 1.6% |
| Comcast Corp, Cl A | | | 1.6% |
| Lockheed Martin Corp | | | 1.6% |
| International Business Machines Corp | | | 1.6% |
| Merck & Co Inc | | | 1.4% |
| Bank of New York Mellon Corp/The | | | 1.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
The QIM team was added to directly manage a portion of the Fund’s assets in June 2024. In addition, the advisory fee was reduced during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
U.S. Managed Volatility Fund
SEI Institutional Managed Trust/Class Y Shares - SUSYX
Annual Shareholder Report - September 30, 2024
SUSYX-AR-24
Annual Shareholder Report - September 30, 2024
Global Managed Volatility Fund
SEI Institutional Managed Trust/Class F Shares - SVTAX
This annual shareholder report contains important information about Class F Shares of the Global Managed Volatility Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Global Managed Volatility Fund, Class F Shares | $123 | 1.11% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Global Managed Volatility Fund, Class F Shares - $205597 | MSCI ACWI ex-USA Index (Net) (USD)* - $166302 | MSCI World Index (Net) (USD) - $261136 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $105869 | $87837 | $94909 |
| Sep/16 | $119715 | $95968 | $105688 |
| Sep/17 | $133077 | $114787 | $124887 |
| Sep/18 | $143884 | $116810 | $138921 |
| Sep/19 | $150721 | $115375 | $141460 |
| Sep/20 | $144199 | $118838 | $156182 |
| Sep/21 | $164969 | $147259 | $201195 |
| Sep/22 | $149816 | $110199 | $161695 |
| Sep/23 | $168145 | $132667 | $197193 |
| Sep/24 | $205597 | $166302 | $261136 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, the MSCI World Index (Net), for the 12-month period ending September 30, 2024.
The Fund recorded a positive absolute return for the reporting period, but underperformed the benchmark. The Fund’s exposure to low-volatility stocks and value stocks detracted from performance. Underweight allocations to the mega-cap growth stocks that led the market upturn over the period, as well as defensive sector positioning, also weighed on Fund performance. Exposure to relatively smaller-cap stocks was a common headwind among the Fund’s sub-advisors.
Acadian Asset Management LLC’s (Acadian) performance benefited from its multi-factor model which dampened some headwinds over the reporting period. Acadian’s overweight allocation to the consumer staples sector and underweights to financials and information technology detracted from its performance, while underweights to energy and consumer discretionary bolstered performance.
Allspring Global Investments, LLC (Allspring) underperformed the benchmark largely due to its greater emphasis on defensive sector positioning and tilts toward low-volatility and value stocks. Overweights to consumer staples and health care, and an underweight to information technology, also detracted from performance. Allspring benefited from underweights to energy and consumer discretionary, and an overweight to communication services.
The quantitative investment management (QIM) team within SIMC performed in line with the benchmark since it started to directly manage a sleeve of the Fund in February 2024. Tilts toward low-volatility and value stocks slightly detracted from performance as both asset classes performed well in the third quarter of 2024. QIM benefited from an underweight to consumer discretionary and an overweight to utilities, and stock selection in consumer staples. An underweight to financials and stock selection in communication services hampered performance.
The Fund employed equity index futures to provide stock-like performance to a portion of the liquidity reserve account, which contained cash available for fund withdrawals. This enhanced the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Global Managed Volatility Fund, Class F Shares | 22.27% | 6.41% | 7.47% |
| MSCI ACWI ex-USA Index (Net) (USD)* | 25.35% | 7.59% | 5.22% |
| MSCI World Index (Net) (USD) | 32.43% | 13.04% | 10.07% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $845,086 | 479 | $4,420 | 85% |
What did the Fund invest in?
Country WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | -0.1% |
| Other Countries | 3.7% |
| Germany | 1.1% |
| Norway | 1.2% |
| Sweden | 1.4% |
| Israel | 1.8% |
| Canada | 2.0% |
| France | 2.6% |
| Hong Kong | 2.7% |
| Netherlands | 2.7% |
| Switzerland | 4.2% |
| United Kingdom | 5.1% |
| Japan | 10.5% |
| United States | 60.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Kimberly-Clark Corp | | | 1.7% |
| AT&T Inc | | | 1.7% |
| Johnson & Johnson | | | 1.6% |
| Electronic Arts Inc | | | 1.5% |
| Walmart Inc | | | 1.3% |
| Check Point Software Technologies Ltd | | | 1.3% |
| Koninklijke Ahold Delhaize NV | | | 1.3% |
| Novartis AG | | | 1.3% |
| Motorola Solutions Inc | | | 1.3% |
| Lockheed Martin Corp | | | 1.3% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
The QIM team was added to directly manage a portion of the Fund’s assets during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Global Managed Volatility Fund
SEI Institutional Managed Trust/Class F Shares - SVTAX
Annual Shareholder Report - September 30, 2024
SVTAX-AR-24
Annual Shareholder Report - September 30, 2024
Global Managed Volatility Fund
SEI Institutional Managed Trust/Class I Shares - SGMIX
This annual shareholder report contains important information about Class I Shares of the Global Managed Volatility Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Global Managed Volatility Fund, Class I Shares | $152 | 1.37% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Global Managed Volatility Fund, Class I Shares - $200353 | MSCI ACWI ex-USA Index (Net) (USD)* - $166302 | MSCI World Index (Net) (USD) - $261136 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $105428 | $87837 | $94909 |
| Sep/16 | $119106 | $95968 | $105688 |
| Sep/17 | $131965 | $114787 | $124887 |
| Sep/18 | $142356 | $116810 | $138921 |
| Sep/19 | $148696 | $115375 | $141460 |
| Sep/20 | $141983 | $118838 | $156182 |
| Sep/21 | $161870 | $147259 | $201195 |
| Sep/22 | $146710 | $110199 | $161695 |
| Sep/23 | $164413 | $132667 | $197193 |
| Sep/24 | $200353 | $166302 | $261136 |
How did the Fund perform in the last year?
Class I Shares underperformed its benchmark, the MSCI World Index (Net), for the 12-month period ending September 30, 2024.
The Fund recorded a positive absolute return for the reporting period, but underperformed the benchmark. The Fund’s exposure to low-volatility stocks and value stocks detracted from performance. Underweight allocations to the mega-cap growth stocks that led the market upturn over the period, as well as defensive sector positioning, also weighed on Fund performance. Exposure to relatively smaller-cap stocks was a common headwind among the Fund’s sub-advisors.
Acadian Asset Management LLC’s (Acadian) performance benefited from its multi-factor model which dampened some headwinds over the reporting period. Acadian’s overweight allocation to the consumer staples sector and underweights to financials and information technology detracted from its performance, while underweights to energy and consumer discretionary bolstered performance.
Allspring Global Investments, LLC (Allspring) underperformed the benchmark largely due to its greater emphasis on defensive sector positioning and tilts toward low-volatility and value stocks. Overweights to consumer staples and health care, and an underweight to information technology, also detracted from performance. Allspring benefited from underweights to energy and consumer discretionary, and an overweight to communication services.
The quantitative investment management (QIM) team within SIMC performed in line with the benchmark since it started to directly manage a sleeve of the Fund in February 2024. Tilts toward low-volatility and value stocks slightly detracted from performance as both asset classes performed well in the third quarter of 2024. QIM benefited from an underweight to consumer discretionary and an overweight to utilities, and stock selection in consumer staples. An underweight to financials and stock selection in communication services hampered performance.
The Fund employed equity index futures to provide stock-like performance to a portion of the liquidity reserve account, which contained cash available for fund withdrawals. This enhanced the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Global Managed Volatility Fund, Class I Shares | 21.86% | 6.14% | 7.20% |
| MSCI ACWI ex-USA Index (Net) (USD)* | 25.35% | 7.59% | 5.22% |
| MSCI World Index (Net) (USD) | 32.43% | 13.04% | 10.07% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $845,086 | 479 | $4,420 | 85% |
What did the Fund invest in?
Country WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | -0.1% |
| Other Countries | 3.7% |
| Germany | 1.1% |
| Norway | 1.2% |
| Sweden | 1.4% |
| Israel | 1.8% |
| Canada | 2.0% |
| France | 2.6% |
| Hong Kong | 2.7% |
| Netherlands | 2.7% |
| Switzerland | 4.2% |
| United Kingdom | 5.1% |
| Japan | 10.5% |
| United States | 60.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Kimberly-Clark Corp | | | 1.7% |
| AT&T Inc | | | 1.7% |
| Johnson & Johnson | | | 1.6% |
| Electronic Arts Inc | | | 1.5% |
| Walmart Inc | | | 1.3% |
| Check Point Software Technologies Ltd | | | 1.3% |
| Koninklijke Ahold Delhaize NV | | | 1.3% |
| Novartis AG | | | 1.3% |
| Motorola Solutions Inc | | | 1.3% |
| Lockheed Martin Corp | | | 1.3% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
The QIM team was added to directly manage a portion of the Fund’s assets during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Global Managed Volatility Fund
SEI Institutional Managed Trust/Class I Shares - SGMIX
Annual Shareholder Report - September 30, 2024
SGMIX-AR-24
Annual Shareholder Report - September 30, 2024
Global Managed Volatility Fund
SEI Institutional Managed Trust/Class Y Shares - SGLYX
This annual shareholder report contains important information about Class Y Shares of the Global Managed Volatility Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Global Managed Volatility Fund, Class Y Shares | $96 | 0.86% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Global Managed Volatility Fund, Class Y Shares - $210732 | MSCI ACWI ex-USA Index (Net) (USD)* - $166302 | MSCI World Index (Net) (USD) - $261136 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $106065 | $87837 | $94909 |
| Sep/16 | $120371 | $95968 | $105688 |
| Sep/17 | $133996 | $114787 | $124887 |
| Sep/18 | $145332 | $116810 | $138921 |
| Sep/19 | $152527 | $115375 | $141460 |
| Sep/20 | $146311 | $118838 | $156182 |
| Sep/21 | $167752 | $147259 | $201195 |
| Sep/22 | $152740 | $110199 | $161695 |
| Sep/23 | $172011 | $132667 | $197193 |
| Sep/24 | $210732 | $166302 | $261136 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, the MSCI World Index (Net), for the 12-month period ending September 30, 2024.
The Fund recorded a positive absolute return for the reporting period, but underperformed the benchmark. The Fund’s exposure to low-volatility stocks and value stocks detracted from performance. Underweight allocations to the mega-cap growth stocks that led the market upturn over the period, as well as defensive sector positioning, also weighed on Fund performance. Exposure to relatively smaller-cap stocks was a common headwind among the Fund’s sub-advisors.
Acadian Asset Management LLC’s (Acadian) performance benefited from its multi-factor model which dampened some headwinds over the reporting period. Acadian’s overweight allocation to the consumer staples sector and underweights to financials and information technology detracted from its performance, while underweights to energy and consumer discretionary bolstered performance.
Allspring Global Investments, LLC (Allspring) underperformed the benchmark largely due to its greater emphasis on defensive sector positioning and tilts toward low-volatility and value stocks. Overweights to consumer staples and health care, and an underweight to information technology, also detracted from performance. Allspring benefited from underweights to energy and consumer discretionary, and an overweight to communication services.
The quantitative investment management (QIM) team within SIMC performed in line with the benchmark since it started to directly manage a sleeve of the Fund in February 2024. Tilts toward low-volatility and value stocks slightly detracted from performance as both asset classes performed well in the third quarter of 2024. QIM benefited from an underweight to consumer discretionary and an overweight to utilities, and stock selection in consumer staples. An underweight to financials and stock selection in communication services hampered performance.
The Fund employed equity index futures to provide stock-like performance to a portion of the liquidity reserve account, which contained cash available for fund withdrawals. This enhanced the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Global Managed Volatility Fund, Class Y Shares | 22.51% | 6.68% | 7.74% |
MSCI ACWI ex-USA Index (Net) (USD)Footnote Reference* | 25.35% | 7.59% | 5.22% |
| MSCI World Index (Net) (USD) | 32.43% | 13.04% | 10.07% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $845,086 | 479 | $4,420 | 85% |
What did the Fund invest in?
Country WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | -0.1% |
| Other Countries | 3.7% |
| Germany | 1.1% |
| Norway | 1.2% |
| Sweden | 1.4% |
| Israel | 1.8% |
| Canada | 2.0% |
| France | 2.6% |
| Hong Kong | 2.7% |
| Netherlands | 2.7% |
| Switzerland | 4.2% |
| United Kingdom | 5.1% |
| Japan | 10.5% |
| United States | 60.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Kimberly-Clark Corp | | | 1.7% |
| AT&T Inc | | | 1.7% |
| Johnson & Johnson | | | 1.6% |
| Electronic Arts Inc | | | 1.5% |
| Walmart Inc | | | 1.3% |
| Check Point Software Technologies Ltd | | | 1.3% |
| Koninklijke Ahold Delhaize NV | | | 1.3% |
| Novartis AG | | | 1.3% |
| Motorola Solutions Inc | | | 1.3% |
| Lockheed Martin Corp | | | 1.3% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
The QIM team was added to directly manage a portion of the Fund’s assets during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Global Managed Volatility Fund
SEI Institutional Managed Trust/Class Y Shares - SGLYX
Annual Shareholder Report - September 30, 2024
SGLYX-AR-24
Annual Shareholder Report - September 30, 2024
Tax-Managed Managed Volatility Fund
SEI Institutional Managed Trust/Class F Shares - TMMAX
This annual shareholder report contains important information about Class F Shares of the Tax-Managed Managed Volatility Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Tax-Managed Managed Volatility Fund, Class F Shares | $115 | 1.00% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Tax-Managed Managed Volatility Fund, Class F Shares - $268476 | S&P 500® Index (TR)* - $350980 | Russell 3000 ™ Index (USD) - $334317 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $105916 | $99385 | $99505 |
| Sep/16 | $118879 | $114721 | $114395 |
| Sep/17 | $134138 | $136070 | $135795 |
| Sep/18 | $150582 | $160441 | $159667 |
| Sep/19 | $161360 | $167266 | $164326 |
| Sep/20 | $158887 | $192605 | $188977 |
| Sep/21 | $191873 | $250396 | $249214 |
| Sep/22 | $187123 | $211654 | $205284 |
| Sep/23 | $207672 | $257408 | $247288 |
| Sep/24 | $268476 | $350980 | $334317 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, the Russell 3000 TM Index, for the 12-month period ending September 30, 2024.
The Fund’s exposure to low-volatility and value stocks detracted from performance for the reporting period. Underweights to the mega-cap growth stocks that led the market upturn during the period, as well as defensive sector positioning, also weighed on performance. Exposure to relatively smaller-cap stocks was a common headwind among the Fund’s sub-advisors.
Among the Fund’s sub-advisors, LSV Asset Management outperformed the benchmark due to select holdings among the strong-performing “Magnificent Seven” mega-cap tech stocks. The strategy’s tilt toward value stocks within the low-volatility segment of the market weighed on performance. An overweight to consumer staples also was a detractor, while an underweight to consumer discretionary had a positive impact. Performance was hampered by stock selection in information technology, and benefited from holdings in industrials.
Allspring Global Investments, LLC underperformed over the period largely due to tilts toward low-volatility and value stocks, as well as greater emphasis on defensive sector positioning. An overweight to consumer staples and an underweight to information technology detracted from performance. Underweights to consumer discretionary and energy enhanced performance. Stock selection in health care and information technology weighed on performance, while holdings in energy had a positive impact.
The quantitative investment management (QIM) team within SIMC outperformed the benchmark since it started to directly manage a sleeve of the Fund in July 2024. Tilts toward low-volatility and value stocks contributed slightly to performance as both asset classes performed well in the third quarter of 2024. QIM benefited from an underweight to and stock selection in information technology, while stock selection in health care was a detractor.
The Fund employed equity index futures to provide stock-like performance to a portion of the liquidity reserve account, which contained cash available for fund withdrawals. This enhanced the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Tax-Managed Managed Volatility Fund, Class F Shares | 29.28% | 10.72% | 10.38% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Russell 3000 ™ Index (USD) | 35.19% | 15.26% | 12.83% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $846,039 | 131 | $3,516 | 24% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Real Estate | 0.3% |
| Energy | 1.6% |
| Cash Equivalent | 1.7% |
| Materials | 2.0% |
| Utilities | 4.1% |
| Consumer Discretionary | 5.7% |
| Communication Services | 6.7% |
| Industrials | 14.4% |
| Financials | 14.5% |
| Consumer Staples | 15.6% |
| Health Care | 16.1% |
| Information Technology | 17.3% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Progressive Corp/The | | | 3.7% |
| Apple Inc | | | 3.1% |
| Microsoft Corp | | | 3.1% |
| Motorola Solutions Inc | | | 2.9% |
| Elevance Health Inc | | | 2.5% |
| Republic Services Inc | | | 2.5% |
| UnitedHealth Group Inc | | | 2.3% |
| Oracle Corp, Cl B | | | 2.2% |
| Eli Lilly & Co | | | 2.1% |
| Synopsys Inc | | | 2.0% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
The QIM team was added to directly manage a portion of the Fund’s assets in July 2024. In addition, the advisory fee was reduced during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Tax-Managed Managed Volatility Fund
SEI Institutional Managed Trust/Class F Shares - TMMAX
Annual Shareholder Report - September 30, 2024
TMMAX-AR-24
Annual Shareholder Report - September 30, 2024
Tax-Managed Managed Volatility Fund
SEI Institutional Managed Trust/Class Y Shares - STVYX
This annual shareholder report contains important information about Class Y Shares of the Tax-Managed Managed Volatility Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Tax-Managed Managed Volatility Fund, Class Y Shares | $86 | 0.75% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Tax-Managed Managed Volatility Fund, Class Y Shares - $274756 | S&P 500® Index (TR)* - $350980 | Russell 3000 ™ Index (USD) - $334317 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $106062 | $99385 | $99505 |
| Sep/16 | $119239 | $114721 | $114395 |
| Sep/17 | $134885 | $136070 | $135795 |
| Sep/18 | $151883 | $160441 | $159667 |
| Sep/19 | $163160 | $167266 | $164326 |
| Sep/20 | $160981 | $192605 | $188977 |
| Sep/21 | $194976 | $250396 | $249214 |
| Sep/22 | $190531 | $211654 | $205284 |
| Sep/23 | $211989 | $257408 | $247288 |
| Sep/24 | $274756 | $350980 | $334317 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, the Russell 3000 TM Index, for the 12-month period ending September 30, 2024.
The Fund’s exposure to low-volatility and value stocks detracted from performance for the reporting period. Underweights to the mega-cap growth stocks that led the market upturn during the period, as well as defensive sector positioning, also weighed on performance. Exposure to relatively smaller-cap stocks was a common headwind among the Fund’s sub-advisors.
Among the Fund’s sub-advisors, LSV Asset Management outperformed the benchmark due to select holdings among the strong-performing “Magnificent Seven” mega-cap tech stocks. The strategy’s tilt toward value stocks within the low-volatility segment of the market weighed on performance. An overweight to consumer staples also was a detractor, while an underweight to consumer discretionary had a positive impact. Performance was hampered by stock selection in information technology, and benefited from holdings in industrials.
Allspring Global Investments, LLC underperformed over the period largely due to tilts toward low-volatility and value stocks, as well as greater emphasis on defensive sector positioning. An overweight to consumer staples and an underweight to information technology detracted from performance. Underweights to consumer discretionary and energy enhanced performance. Stock selection in health care and information technology weighed on performance, while holdings in energy had a positive impact.
The quantitative investment management (QIM) team within SIMC outperformed the benchmark since it started to directly manage a sleeve of the Fund in July 2024. Tilts toward low-volatility and value stocks contributed slightly to performance as both asset classes performed well in the third quarter of 2024. QIM benefited from an underweight to and stock selection in information technology, while stock selection in health care was a detractor.
The Fund employed equity index futures to provide stock-like performance to a portion of the liquidity reserve account, which contained cash available for fund withdrawals. This enhanced the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Tax-Managed Managed Volatility Fund, Class Y Shares | 29.61% | 10.99% | 10.64% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Russell 3000 ™ Index (USD) | 35.19% | 15.26% | 12.83% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on April 30, 2015. For periods prior to April 30, 2015, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $846,039 | 131 | $3,516 | 24% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| 0.0% |
| Derivative Contracts (Net) | 0.0% |
| Real Estate | 0.3% |
| Energy | 1.6% |
| Cash Equivalent | 1.7% |
| Materials | 2.0% |
| Utilities | 4.1% |
| Consumer Discretionary | 5.7% |
| Communication Services | 6.7% |
| Industrials | 14.4% |
| Financials | 14.5% |
| Consumer Staples | 15.6% |
| Health Care | 16.1% |
| Information Technology | 17.3% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Progressive Corp/The | | | 3.7% |
| Apple Inc | | | 3.1% |
| Microsoft Corp | | | 3.1% |
| Motorola Solutions Inc | | | 2.9% |
| Elevance Health Inc | | | 2.5% |
| Republic Services Inc | | | 2.5% |
| UnitedHealth Group Inc | | | 2.3% |
| Oracle Corp, Cl B | | | 2.2% |
| Eli Lilly & Co | | | 2.1% |
| Synopsys Inc | | | 2.0% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
The QIM team was added to directly manage a portion of the Fund’s assets in July 2024. In addition, the advisory fee was reduced during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Tax-Managed Managed Volatility Fund
SEI Institutional Managed Trust/Class Y Shares - STVYX
Annual Shareholder Report - September 30, 2024
STVYX-AR-24
Annual Shareholder Report - September 30, 2024
Tax-Managed International Managed Volatility Fund
SEI Institutional Managed Trust/Class F Shares - SMINX
This annual shareholder report contains important information about Class F Shares of the Tax-Managed International Managed Volatility Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Tax-Managed International Managed Volatility Fund, Class F Shares | $123 | 1.11% |
How did the Fund perform since inception?
Total Return Based on $100,000 Investment
| Tax-Managed International Managed Volatility Fund, Class F Shares - $145299 | MSCI ACWI ex-USA Index (Net) (USD)* - $175816 | MSCI EAFE Index (Net) (USD) - $183827 |
|---|
| Oct/16 | $100000 | $100000 | $100000 |
| Sep/17 | $115647 | $121355 | $122295 |
| Sep/18 | $116724 | $123493 | $125642 |
| Sep/19 | $113504 | $121976 | $123959 |
| Sep/20 | $110007 | $125637 | $124572 |
| Sep/21 | $124565 | $155684 | $156625 |
| Sep/22 | $98811 | $116504 | $117264 |
| Sep/23 | $119406 | $140257 | $147338 |
| Sep/24 | $145299 | $175816 | $183827 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, the MSCI EAFE Index, for the 12-month period ending September 30, 2024.
The Fund recorded a positive absolute return for the reporting period, but underperformed the benchmark. Exposure to low-volatility and value stocks detracted from performance. Underweight allocations to the mega-cap growth stocks that led the market upturn over the period, as well as defensive sector positioning, also weighed on Fund performance. Defensive sector positioning and exposure to relatively smaller-cap stocks was a common headwind among the Fund’s sub-advisors.
Acadian Asset Management LLC’s performance benefited from its multi-factor model, which dampened some headwinds over the reporting period. An overweight to consumer staples and an underweight to financials, along with stock selection in communication services, detracted from performance, while underweights to energy and consumer discretionary, and stock selection in consumer staples and consumer discretionary, had a positive impact.
LSV Asset Management (LSV) underperformed largely due to its tilt toward low volatility and value stocks. An overweight to consumer staples and energy as well as an underweight to information technology detracted from performance, though this was partially offset by underweights to financials and consumer discretionary. LSV’s performance was hampered by stock selection in industrials and health care, but benefited from holdings in consumer staples.
Allspring Global Investments, LLC underperformed the benchmark largely due to its greater emphasis on defensive sector positioning and tilts toward low-volatility and value stocks. An overweight to consumer staples and stock selection in industrials also detracted from performance. Performance benefited from an underweight to energy and stock selection in consumer staples.
The Fund employed equity index futures to provide stock-like performance to a portion of the liquidity reserve account, which contained cash available for fund withdrawals. This enhanced the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | Annualized Since Inception |
|---|
| Tax-Managed International Managed Volatility Fund, Class F Shares | 21.68% | 5.06% | 4.81% |
| MSCI ACWI ex-USA Index (Net) (USD)* | 25.35% | 7.59% | 7.44% |
| MSCI EAFE Index (Net) (USD) | 24.77% | 8.20% | 7.95% |
Since its inception on October 17, 2016. The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund since inception. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $306,517 | 423 | $1,241 | 59% |
What did the Fund invest in?
Country WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 0.0% |
| Other Countries | 12.4% |
| Canada | 2.4% |
| Denmark | 2.8% |
| Sweden | 2.9% |
| Netherlands | 3.6% |
| Singapore | 3.6% |
| Hong Kong | 3.6% |
| Australia | 5.4% |
| Germany | 5.9% |
| France | 8.4% |
| Switzerland | 9.1% |
| United Kingdom | 13.9% |
| Japan | 24.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Novartis AG | | | 1.8% |
| Koninklijke Ahold Delhaize NV | | | 1.7% |
| GSK PLC | | | 1.3% |
| Tesco PLC | | | 1.3% |
| Deutsche Telekom AG | | | 1.2% |
| BAE Systems PLC | | | 1.2% |
| Orange SA | | | 1.2% |
| Sanofi SA | | | 1.1% |
| Imperial Brands PLC | | | 1.1% |
| Henkel AG & Co KGaA | | | 0.9% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
The administration fee was reduced during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Tax-Managed International Managed Volatility Fund
SEI Institutional Managed Trust/Class F Shares - SMINX
Annual Shareholder Report - September 30, 2024
SMINX-AR-24
Annual Shareholder Report - September 30, 2024
Tax-Managed International Managed Volatility Fund
SEI Institutional Managed Trust/Class Y Shares - SIMYX
This annual shareholder report contains important information about Class Y Shares of the Tax-Managed International Managed Volatility Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Tax-Managed International Managed Volatility Fund, Class Y Shares | $95 | 0.86% |
How did the Fund perform since inception?
Total Return Based on $100,000 Investment
| Tax-Managed International Managed Volatility Fund, Class Y Shares - $148083 | MSCI ACWI ex-USA Index (Net) (USD)* - $175816 | MSCI EAFE Index (Net) (USD) - $183827 |
|---|
| Oct/16 | $100000 | $100000 | $100000 |
| Sep/17 | $115904 | $121355 | $122295 |
| Sep/18 | $117245 | $123493 | $125642 |
| Sep/19 | $114350 | $121976 | $123959 |
| Sep/20 | $111101 | $125637 | $124572 |
| Sep/21 | $126076 | $155684 | $156625 |
| Sep/22 | $100308 | $116504 | $117264 |
| Sep/23 | $121392 | $140257 | $147338 |
| Sep/24 | $148083 | $175816 | $183827 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, the MSCI EAFE Index, for the 12-month period ending September 30, 2024.
The Fund recorded a positive absolute return for the reporting period, but underperformed the benchmark. Exposure to low-volatility and value stocks detracted from performance. Underweight allocations to the mega-cap growth stocks that led the market upturn over the period, as well as defensive sector positioning, also weighed on Fund performance. Defensive sector positioning and exposure to relatively smaller-cap stocks was a common headwind among the Fund’s sub-advisors.
Acadian Asset Management LLC’s performance benefited from its multi-factor model, which dampened some headwinds over the reporting period. An overweight to consumer staples and an underweight to financials, along with stock selection in communication services, detracted from performance, while underweights to energy and consumer discretionary, and stock selection in consumer staples and consumer discretionary, had a positive impact.
LSV Asset Management (LSV) underperformed largely due to its tilt toward low volatility and value stocks. An overweight to consumer staples and energy as well as an underweight to information technology detracted from performance, though this was partially offset by underweights to financials and consumer discretionary. LSV’s performance was hampered by stock selection in industrials and health care, but benefited from holdings in consumer staples.
Allspring Global Investments, LLC underperformed the benchmark largely due to its greater emphasis on defensive sector positioning and tilts toward low-volatility and value stocks. An overweight to consumer staples and stock selection in industrials also detracted from performance. Performance benefited from an underweight to energy and stock selection in consumer staples.
The Fund employed equity index futures to provide stock-like performance to a portion of the liquidity reserve account, which contained cash available for fund withdrawals. This enhanced the Fund’s absolute return for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | Annualized Since Inception |
|---|
| Tax-Managed International Managed Volatility Fund, Class Y Shares | 21.99% | 5.31% | 5.06% |
| MSCI ACWI ex-USA Index (Net) (USD)* | 25.35% | 7.59% | 7.44% |
| MSCI EAFE Index (Net) (USD) | 24.77% | 8.20% | 7.95% |
Since its inception on October 17, 2016. The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund since inception. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $306,517 | 423 | $1,241 | 59% |
What did the Fund invest in?
Country WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 0.0% |
| Other Countries | 12.4% |
| Canada | 2.4% |
| Denmark | 2.8% |
| Sweden | 2.9% |
| Netherlands | 3.6% |
| Singapore | 3.6% |
| Hong Kong | 3.6% |
| Australia | 5.4% |
| Germany | 5.9% |
| France | 8.4% |
| Switzerland | 9.1% |
| United Kingdom | 13.9% |
| Japan | 24.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Novartis AG | | | 1.8% |
| Koninklijke Ahold Delhaize NV | | | 1.7% |
| GSK PLC | | | 1.3% |
| Tesco PLC | | | 1.3% |
| Deutsche Telekom AG | | | 1.2% |
| BAE Systems PLC | | | 1.2% |
| Orange SA | | | 1.2% |
| Sanofi SA | | | 1.1% |
| Imperial Brands PLC | | | 1.1% |
| Henkel AG & Co KGaA | | | 0.9% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
The administration fee was reduced during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Tax-Managed International Managed Volatility Fund
SEI Institutional Managed Trust/Class Y Shares - SIMYX
Annual Shareholder Report - September 30, 2024
SIMYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SETAX
This annual shareholder report contains important information about Class F Shares of the Real Estate Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Real Estate Fund, Class F Shares | $135 | 1.15% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Real Estate Fund, Class F Shares - $218444 | S&P 500® Index (TR)* - $350980 | Wilshire US Real Estate Securities Index (RESI) (USD) - $214326 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $111436 | $99385 | $112006 |
| Sep/16 | $130520 | $114721 | $132670 |
| Sep/17 | $129773 | $136070 | $133734 |
| Sep/18 | $136310 | $160441 | $139224 |
| Sep/19 | $159964 | $167266 | $164665 |
| Sep/20 | $137230 | $192605 | $135438 |
| Sep/21 | $189943 | $250396 | $187023 |
| Sep/22 | $156882 | $211654 | $154186 |
| Sep/23 | $161110 | $257408 | $160477 |
| Sep/24 | $218444 | $350980 | $214326 |
How did the Fund perform in the last year?
Class F Shares outperformed its benchmark, the Wilshire U.S. Real Estate Securities Index, for the 12-month period ending September 30, 2024.
Over the reporting period, the Fund’s sole sub-advisor—CenterSquare Investment Management (CenterSquare)—outperformed the benchmark for the reporting period. The manager modestly outperformed the index over the first three quarters of the reporting period, but this quickly accelerated in the third quarter of 2024, as the Federal Reserve (Fed) implemented its first rate cut since its rate-hiking regime began in March 2022, and investors diversified away from the concentrated technology sector into lower-volatility, “bond proxy” sectors of the market, including real estate.
CenterSquare’s performance benefited from both positive sector allocation and security selection during the reporting period. Overweight positions in telecommunications towers, banks, and specialized real estate investment trusts (REITs), as well as an underweight to industrial REITs, also had a positive impact on performance. Security selection in health care REITs was the largest contributor to the sub-advisor’s performance for the period.
At the security level, holdings in Prologis Inc., American Healthcare REIT, American Tower Corp., and Ventas Inc., were the largest contributors to CenterSquare’s performance for the period while positions in Welltower Inc., and Rexford Industrial Realty Inc., were the most notable detractors from performance.
As of the end of the reporting period, CenterSquare’s portfolio was most overweight to data center REITs, and the largest underweight was in multi-family residential REITs.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Real Estate Fund, Class F Shares | 35.59% | 6.43% | 8.13% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Wilshire US Real Estate Securities Index (RESI) (USD) | 33.56% | 5.41% | 7.92% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $77,938 | 44 | $404 | 46% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Cash Equivalent | 0.9% |
| Real Estate | 99.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Equinix Inc | | | 9.5% |
| Prologis Inc | | | 8.2% |
| Digital Realty Trust Inc, Cl A | | | 5.1% |
| Welltower Inc | | | 4.8% |
| Extra Space Storage Inc | | | 4.6% |
| Ventas Inc | | | 4.4% |
| Simon Property Group Inc | | | 4.2% |
| Equity Residential | | | 4.2% |
| UDR Inc | | | 3.9% |
| Public Storage | | | 3.7% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SETAX
Annual Shareholder Report - September 30, 2024
SETAX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class I Shares - SEIRX
This annual shareholder report contains important information about Class I Shares of the Real Estate Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Real Estate Fund, Class I Shares | $161 | 1.37% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Real Estate Fund, Class I Shares - $213677 | S&P 500® Index (TR)* - $350980 | Wilshire US Real Estate Securities Index (RESI) (USD) - $214326 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $111160 | $99385 | $112006 |
| Sep/16 | $129951 | $114721 | $132670 |
| Sep/17 | $128908 | $136070 | $133734 |
| Sep/18 | $135093 | $160441 | $139224 |
| Sep/19 | $158137 | $167266 | $164665 |
| Sep/20 | $135392 | $192605 | $135438 |
| Sep/21 | $187031 | $250396 | $187023 |
| Sep/22 | $154234 | $211654 | $154186 |
| Sep/23 | $157990 | $257408 | $160477 |
| Sep/24 | $213677 | $350980 | $214326 |
How did the Fund perform in the last year?
Class I Shares outperformed its benchmark, the Wilshire U.S. Real Estate Securities Index, for the 12-month period ending September 30, 2024.
Over the reporting period, the Fund’s sole sub-advisor—CenterSquare Investment Management (CenterSquare)—outperformed the benchmark for the reporting period. The manager modestly outperformed the index over the first three quarters of the reporting period, but this quickly accelerated in the third quarter of 2024, as the Federal Reserve (Fed) implemented its first rate cut since its rate-hiking regime began in March 2022, and investors diversified away from the concentrated technology sector into lower-volatility, “bond proxy” sectors of the market, including real estate.
CenterSquare’s performance benefited from both positive sector allocation and security selection during the reporting period. Overweight positions in telecommunications towers, banks, and specialized real estate investment trusts (REITs), as well as an underweight to industrial REITs, also had a positive impact on performance. Security selection in health care REITs was the largest contributor to the sub-advisor’s performance for the period.
At the security level, holdings in Prologis Inc., American Healthcare REIT, American Tower Corp., and Ventas Inc., were the largest contributors to CenterSquare’s performance for the period while positions in Welltower Inc., and Rexford Industrial Realty Inc., were the most notable detractors from performance.
As of the end of the reporting period, CenterSquare’s portfolio was most overweight to data center REITs, and the largest underweight was in multi-family residential REITs.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Real Estate Fund, Class I Shares | 35.25% | 6.20% | 7.89% |
S&P 500® Index (TR)* | 36.35% | 15.98% | 13.38% |
| Wilshire US Real Estate Securities Index (RESI) (USD) | 33.56% | 5.41% | 7.92% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $77,938 | 44 | $404 | 46% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Cash Equivalent | 0.9% |
| Real Estate | 99.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Equinix Inc | | | 9.5% |
| Prologis Inc | | | 8.2% |
| Digital Realty Trust Inc, Cl A | | | 5.1% |
| Welltower Inc | | | 4.8% |
| Extra Space Storage Inc | | | 4.6% |
| Ventas Inc | | | 4.4% |
| Simon Property Group Inc | | | 4.2% |
| Equity Residential | | | 4.2% |
| UDR Inc | | | 3.9% |
| Public Storage | | | 3.7% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class I Shares - SEIRX
Annual Shareholder Report - September 30, 2024
SEIRX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SREYX
This annual shareholder report contains important information about Class Y Shares of the Real Estate Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Real Estate Fund, Class Y Shares | $106 | 0.90% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Real Estate Fund, Class Y Shares - $223704 | S&P 500® Index (TR)* - $350980 | Wilshire US Real Estate Securities Index (RESI) (USD) - $214326 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $111577 | $99385 | $112006 |
| Sep/16 | $131094 | $114721 | $132670 |
| Sep/17 | $130613 | $136070 | $133734 |
| Sep/18 | $137542 | $160441 | $139224 |
| Sep/19 | $161815 | $167266 | $164665 |
| Sep/20 | $139098 | $192605 | $135438 |
| Sep/21 | $193083 | $250396 | $187023 |
| Sep/22 | $159912 | $211654 | $154186 |
| Sep/23 | $164617 | $257408 | $160477 |
| Sep/24 | $223704 | $350980 | $214326 |
How did the Fund perform in the last year?
Class Y Shares outperformed its benchmark, the Wilshire U.S. Real Estate Securities Index, for the 12-month period ending September 30, 2024.
Over the reporting period, the Fund’s sole sub-advisor—CenterSquare Investment Management (CenterSquare)—outperformed the benchmark for the reporting period. The manager modestly outperformed the index over the first three quarters of the reporting period, but this quickly accelerated in the third quarter of 2024, as the Federal Reserve (Fed) implemented its first rate cut since its rate-hiking regime began in March 2022, and investors diversified away from the concentrated technology sector into lower-volatility, “bond proxy” sectors of the market, including real estate.
CenterSquare’s performance benefited from both positive sector allocation and security selection during the reporting period. Overweight positions in telecommunications towers, banks, and specialized real estate investment trusts (REITs), as well as an underweight to industrial REITs, also had a positive impact on performance. Security selection in health care REITs was the largest contributor to the sub-advisor’s performance for the period.
At the security level, holdings in Prologis Inc., American Healthcare REIT, American Tower Corp., and Ventas Inc., were the largest contributors to CenterSquare’s performance for the period while positions in Welltower Inc., and Rexford Industrial Realty Inc., were the most notable detractors from performance.
As of the end of the reporting period, CenterSquare’s portfolio was most overweight to data center REITs, and the largest underweight was in multi-family residential REITs.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Real Estate Fund, Class Y Shares | 35.89% | 6.69% | 8.38% |
S&P 500® Index (TR)Footnote Reference* | 36.35% | 15.98% | 13.38% |
| Wilshire US Real Estate Securities Index (RESI) (USD) | 33.56% | 5.41% | 7.92% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $77,938 | 44 | $404 | 46% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Cash Equivalent | 0.9% |
| Real Estate | 99.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Equinix Inc | | | 9.5% |
| Prologis Inc | | | 8.2% |
| Digital Realty Trust Inc, Cl A | | | 5.1% |
| Welltower Inc | | | 4.8% |
| Extra Space Storage Inc | | | 4.6% |
| Ventas Inc | | | 4.4% |
| Simon Property Group Inc | | | 4.2% |
| Equity Residential | | | 4.2% |
| UDR Inc | | | 3.9% |
| Public Storage | | | 3.7% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SREYX
Annual Shareholder Report - September 30, 2024
SREYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - TRLVX
This annual shareholder report contains important information about Class F Shares of the Core Fixed Income Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Core Fixed Income Fund, Class F Shares | $70 | 0.66% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Core Fixed Income Fund, Class F Shares - $119880 | Bloomberg U.S. Aggregate Bond Index (USD) - $120044 |
|---|
| Sep/14 | $100000 | $100000 |
| Sep/15 | $102364 | $102941 |
| Sep/16 | $108135 | $108286 |
| Sep/17 | $109241 | $108364 |
| Sep/18 | $107567 | $107047 |
| Sep/19 | $118806 | $118068 |
| Sep/20 | $128018 | $126315 |
| Sep/21 | $127912 | $125184 |
| Sep/22 | $106555 | $106908 |
| Sep/23 | $107026 | $107597 |
| Sep/24 | $119880 | $120044 |
How did the Fund perform in the last year?
Class F Shares outperformed its benchmark, the Bloomberg US Aggregate Bond Index, for the 12-month period ending September 30, 2024.
The reporting period began with the Federal Reserve (Fed) pausing after hiking short-term interest rates 11 times for a cumulative 525 basis points (5.25%) during 2022 and early 2023. Despite some bumps in the road, inflation largely moderated during the first nine months of 2024, and the Fed began its rate-cutting cycle with an aggressive 50-basis-point (0.50%) reduction at its September 2024 meeting. Spread sectors benefited from moderating inflation, the Fed pivoting to easing, and solid fundamentals for both corporations and consumers.
A long duration posture contributed to the Fund’s outperformance versus the benchmark for the reporting period as yields fell across the U.S. Treasury yield curve. A steepening bias (which employs derivatives to benefit from escalating yield differences that occur as a result of increases in the yield spread between two Treasury securities of different maturities) bolstered Fund performance as short-term yields declined more sharply than long-term yields. An overweight position and security selection in the credit sector was a positive contributor to performance as corporate fundamentals remained relatively strong. An overweight allocation to agency mortgage-backed securities (MBS) also enhanced Fund performance for the period. Additionally, Fund performance was bolstered by both security selection and positioning within high-quality prime credit cards and auto asset-backed securities (ABS), as well as an allocation to AAA rated collateralized loan obligations (CLOs).
Among the Fund’s sub-advisors, Metropolitan West Asset Management LLC benefited from a long duration posture and an overweight to agency MBS. Western Asset Management Company Limited’s performance was boosted by a long duration posture and an overweight to corporate credit. Allspring Global Investments, LLC and MetLife Investment Management, LLC benefited from security selection in corporate bonds and securitized assets. Jennison Associates LLC’s steepening yield curve bias enhanced its performance.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Core Fixed Income Fund, Class F Shares | 12.01% | 0.18% | 1.83% |
| Bloomberg U.S. Aggregate Bond Index (USD) | 11.57% | 0.33% | 1.84% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $3,643,395 | 4,263 | $7,009 | 333% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | -0.1% |
| Affiliated Partnership | 0.0% |
| Loan Participations | 0.2% |
| Municipal Bonds | 0.2% |
| U.S. Government Agency Obligations | 0.3% |
| Real Estate | 0.8% |
| Materials | 0.8% |
| Sovereign Debt | 0.9% |
| Cash Equivalent | 1.0% |
| Consumer Staples | 1.3% |
| Consumer Discretionary | 1.4% |
| Information Technology | 1.4% |
| Industrials | 2.2% |
| Utilities | 2.2% |
| Communication Services | 2.3% |
| Energy | 2.5% |
| Health Care | 2.7% |
| Asset-Backed Securities | 8.7% |
| Financials | 9.2% |
| U.S. Treasury Obligations | 26.7% |
| Mortgage-Backed Securities | 39.7% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| U.S. Treasury Notes | 3.500% | 09/30/29 | 5.2% |
| U.S. Treasury Notes | 3.875% | 08/15/34 | 2.4% |
| U.S. Treasury Bonds | 4.125% | 08/15/44 | 2.1% |
| U.S. Treasury Notes | 3.500% | 09/30/26 | 1.8% |
| U.S. Treasury Notes | 3.375% | 09/15/27 | 1.5% |
| U.S. Treasury Bonds | 4.250% | 08/15/54 | 1.4% |
| U.S. Treasury Notes | 4.250% | 02/28/31 | 1.4% |
| U.S. Treasury Bonds | 1.750% | 08/15/41 | 0.9% |
| U.S. Treasury Bonds | 2.000% | 11/15/41 | 0.8% |
| FNMA | 3.500% | 10/15/54 | 0.7% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
In the upcoming reporting period, Western Asset Management Company, LLC and Western Asset Management Company Limited will be removed from the Fund.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - TRLVX
Annual Shareholder Report - September 30, 2024
TRLVX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class I Shares - SCXIX
This annual shareholder report contains important information about Class I Shares of the Core Fixed Income Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Core Fixed Income Fund, Class I Shares | $93 | 0.88% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Core Fixed Income Fund, Class I Shares - $117324 | Bloomberg U.S. Aggregate Bond Index (USD) - $120044 |
|---|
| Sep/14 | $100000 | $100000 |
| Sep/15 | $102139 | $102941 |
| Sep/16 | $107663 | $108286 |
| Sep/17 | $108522 | $108364 |
| Sep/18 | $106715 | $107047 |
| Sep/19 | $117506 | $118068 |
| Sep/20 | $126425 | $126315 |
| Sep/21 | $126039 | $125184 |
| Sep/22 | $104629 | $106908 |
| Sep/23 | $104966 | $107597 |
| Sep/24 | $117324 | $120044 |
How did the Fund perform in the last year?
Class I Shares outperformed its benchmark, the Bloomberg US Aggregate Bond Index, for the 12-month period ending September 30, 2024.
The reporting period began with the Federal Reserve (Fed) pausing after hiking short-term interest rates 11 times for a cumulative 525 basis points (5.25%) during 2022 and early 2023. Despite some bumps in the road, inflation largely moderated during the first nine months of 2024, and the Fed began its rate-cutting cycle with an aggressive 50-basis-point (0.50%) reduction at its September 2024 meeting. Spread sectors benefited from moderating inflation, the Fed pivoting to easing, and solid fundamentals for both corporations and consumers.
A long duration posture contributed to the Fund’s outperformance versus the benchmark for the reporting period as yields fell across the U.S. Treasury yield curve. A steepening bias (which employs derivatives to benefit from escalating yield differences that occur as a result of increases in the yield spread between two Treasury securities of different maturities) bolstered Fund performance as short-term yields declined more sharply than long-term yields. An overweight position and security selection in the credit sector was a positive contributor to performance as corporate fundamentals remained relatively strong. An overweight allocation to agency mortgage-backed securities (MBS) also enhanced Fund performance for the period. Additionally, Fund performance was bolstered by both security selection and positioning within high-quality prime credit cards and auto asset-backed securities (ABS), as well as an allocation to AAA rated collateralized loan obligations (CLOs).
Among the Fund’s sub-advisors, Metropolitan West Asset Management LLC benefited from a long duration posture and an overweight to agency MBS. Western Asset Management Company Limited’s performance was boosted by a long duration posture and an overweight to corporate credit. Allspring Global Investments, LLC and MetLife Investment Management, LLC benefited from security selection in corporate bonds and securitized assets. Jennison Associates LLC’s steepening yield curve bias enhanced its performance.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Core Fixed Income Fund, Class I Shares | 11.77% | -0.03% | 1.61% |
| Bloomberg U.S. Aggregate Bond Index (USD) | 11.57% | 0.33% | 1.84% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $3,643,395 | 4,263 | $7,009 | 333% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | -0.1% |
| Affiliated Partnership | 0.0% |
| Loan Participations | 0.2% |
| Municipal Bonds | 0.2% |
| U.S. Government Agency Obligations | 0.3% |
| Real Estate | 0.8% |
| Materials | 0.8% |
| Sovereign Debt | 0.9% |
| Cash Equivalent | 1.0% |
| Consumer Staples | 1.3% |
| Consumer Discretionary | 1.4% |
| Information Technology | 1.4% |
| Industrials | 2.2% |
| Utilities | 2.2% |
| Communication Services | 2.3% |
| Energy | 2.5% |
| Health Care | 2.7% |
| Asset-Backed Securities | 8.7% |
| Financials | 9.2% |
| U.S. Treasury Obligations | 26.7% |
| Mortgage-Backed Securities | 39.7% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| U.S. Treasury Notes | 3.500% | 09/30/29 | 5.2% |
| U.S. Treasury Notes | 3.875% | 08/15/34 | 2.4% |
| U.S. Treasury Bonds | 4.125% | 08/15/44 | 2.1% |
| U.S. Treasury Notes | 3.500% | 09/30/26 | 1.8% |
| U.S. Treasury Notes | 3.375% | 09/15/27 | 1.5% |
| U.S. Treasury Bonds | 4.250% | 08/15/54 | 1.4% |
| U.S. Treasury Notes | 4.250% | 02/28/31 | 1.4% |
| U.S. Treasury Bonds | 1.750% | 08/15/41 | 0.9% |
| U.S. Treasury Bonds | 2.000% | 11/15/41 | 0.8% |
| FNMA | 3.500% | 10/15/54 | 0.7% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
In the upcoming reporting period, Western Asset Management Company, LLC and Western Asset Management Company Limited will be removed from the Fund.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class I Shares - SCXIX
Annual Shareholder Report - September 30, 2024
SCXIX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SCFYX
This annual shareholder report contains important information about Class Y Shares of the Core Fixed Income Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Core Fixed Income Fund, Class Y Shares | $44 | 0.41% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Core Fixed Income Fund, Class Y Shares - $122736 | Bloomberg U.S. Aggregate Bond Index (USD) - $120044 |
|---|
| Sep/14 | $100000 | $100000 |
| Sep/15 | $102429 | $102941 |
| Sep/16 | $108475 | $108286 |
| Sep/17 | $109855 | $108364 |
| Sep/18 | $108539 | $107047 |
| Sep/19 | $120169 | $118068 |
| Sep/20 | $129758 | $126315 |
| Sep/21 | $129971 | $125184 |
| Sep/22 | $108445 | $106908 |
| Sep/23 | $109314 | $107597 |
| Sep/24 | $122736 | $120044 |
How did the Fund perform in the last year?
Class Y Shares outperformed its benchmark, the Bloomberg US Aggregate Bond Index, for the 12-month period ending September 30, 2024.
The reporting period began with the Federal Reserve (Fed) pausing after hiking short-term interest rates 11 times for a cumulative 525 basis points (5.25%) during 2022 and early 2023. Despite some bumps in the road, inflation largely moderated during the first nine months of 2024, and the Fed began its rate-cutting cycle with an aggressive 50-basis-point (0.50%) reduction at its September 2024 meeting. Spread sectors benefited from moderating inflation, the Fed pivoting to easing, and solid fundamentals for both corporations and consumers.
A long duration posture contributed to the Fund’s outperformance versus the benchmark for the reporting period as yields fell across the U.S. Treasury yield curve. A steepening bias (which employs derivatives to benefit from escalating yield differences that occur as a result of increases in the yield spread between two Treasury securities of different maturities) bolstered Fund performance as short-term yields declined more sharply than long-term yields. An overweight position and security selection in the credit sector was a positive contributor to performance as corporate fundamentals remained relatively strong. An overweight allocation to agency mortgage-backed securities (MBS) also enhanced Fund performance for the period. Additionally, Fund performance was bolstered by both security selection and positioning within high-quality prime credit cards and auto asset-backed securities (ABS), as well as an allocation to AAA rated collateralized loan obligations (CLOs).
Among the Fund’s sub-advisors, Metropolitan West Asset Management LLC benefited from a long duration posture and an overweight to agency MBS. Western Asset Management Company Limited’s performance was boosted by a long duration posture and an overweight to corporate credit. Allspring Global Investments, LLC and MetLife Investment Management, LLC benefited from security selection in corporate bonds and securitized assets. Jennison Associates LLC’s steepening yield curve bias enhanced its performance.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Core Fixed Income Fund, Class Y Shares | 12.28% | 0.42% | 2.07% |
| Bloomberg U.S. Aggregate Bond Index (USD) | 11.57% | 0.33% | 1.84% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on June 30, 2015. For periods prior to June 30, 2015, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $3,643,395 | 4,263 | $7,009 | 333% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | -0.1% |
| Affiliated Partnership | 0.0% |
| Loan Participations | 0.2% |
| Municipal Bonds | 0.2% |
| U.S. Government Agency Obligations | 0.3% |
| Real Estate | 0.8% |
| Materials | 0.8% |
| Sovereign Debt | 0.9% |
| Cash Equivalent | 1.0% |
| Consumer Staples | 1.3% |
| Consumer Discretionary | 1.4% |
| Information Technology | 1.4% |
| Industrials | 2.2% |
| Utilities | 2.2% |
| Communication Services | 2.3% |
| Energy | 2.5% |
| Health Care | 2.7% |
| Asset-Backed Securities | 8.7% |
| Financials | 9.2% |
| U.S. Treasury Obligations | 26.7% |
| Mortgage-Backed Securities | 39.7% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| U.S. Treasury Notes | 3.500% | 09/30/29 | 5.2% |
| U.S. Treasury Notes | 3.875% | 08/15/34 | 2.4% |
| U.S. Treasury Bonds | 4.125% | 08/15/44 | 2.1% |
| U.S. Treasury Notes | 3.500% | 09/30/26 | 1.8% |
| U.S. Treasury Notes | 3.375% | 09/15/27 | 1.5% |
| U.S. Treasury Bonds | 4.250% | 08/15/54 | 1.4% |
| U.S. Treasury Notes | 4.250% | 02/28/31 | 1.4% |
| U.S. Treasury Bonds | 1.750% | 08/15/41 | 0.9% |
| U.S. Treasury Bonds | 2.000% | 11/15/41 | 0.8% |
| FNMA | 3.500% | 10/15/54 | 0.7% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
In the upcoming reporting period, Western Asset Management Company, LLC and Western Asset Management Company Limited will be removed from the Fund.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SCFYX
Annual Shareholder Report - September 30, 2024
SCFYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SHYAX
This annual shareholder report contains important information about Class F Shares of the High Yield Bond Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| High Yield Bond Fund, Class F Shares | $95 | 0.89% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| High Yield Bond Fund, Class F Shares - $162100 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | ICE BofA U.S. High Yield Constrained Index (USD) - $162087 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $96789 | $102941 | $96465 |
| Sep/16 | $106895 | $108286 | $108835 |
| Sep/17 | $117318 | $108364 | $118688 |
| Sep/18 | $121878 | $107047 | $122183 |
| Sep/19 | $127056 | $118068 | $129879 |
| Sep/20 | $126640 | $126315 | $132764 |
| Sep/21 | $149235 | $125184 | $147977 |
| Sep/22 | $129858 | $106908 | $127165 |
| Sep/23 | $141907 | $107597 | $140130 |
| Sep/24 | $162100 | $120044 | $162087 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, the ICE BofA U.S. High Yield Constrained Index, for the 12-month period ending September 30, 2024.
Detractors from Fund performance for the reporting period included security selection within the transportation, technology and electronics, and retail sectors. A longstanding allocation to structured credit, which is managed by SEI Investments Management Corporation, boosted Fund performance. Additional contributors to Fund performance included an underweight position and security selection within the leisure sector, and an overweight and security selection within the health care sector.
Among Fund managers, Ares Capital Management II LLC underperformed the Fund’s benchmark due to an underweight and selection within the telecommunications sector and security selection within basic industry. Benefit Street Partners, LLC underperformed due to security selection within the telecommunications sector and underweight exposure and security selection within technology and electronics. Brigade Capital Management, LP’s underperformance was attributable to security selection within the transportation and technology and electronics sectors. J.P. Morgan Investment Management, Inc. outperformed due to security selection within the capital goods and telecommunications sectors. T Rowe Price Associates, Inc.’s underperformance resulted from security selection within the capital goods sector and an underweight position and security selection within health care.
Regarding the use of derivatives during the reporting period, the Fund employed currency forwards to hedge the currency risk of a position. The currency forwards did not have a significant impact on Fund performance.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| High Yield Bond Fund, Class F Shares | 14.23% | 4.99% | 4.95% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 0.33% | 1.84% |
| ICE BofA U.S. High Yield Constrained Index (USD) | 15.67% | 4.53% | 4.95% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,169,671 | 1,258 | $4,950 | 63% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 0.0% |
| Warrants | 0.1% |
| Preferred Stock | 1.1% |
| Cash Equivalent | 1.8% |
| Utilities | 2.2% |
| Consumer Staples | 2.2% |
| Real Estate | 2.3% |
| Information Technology | 3.7% |
| Health Care | 7.2% |
| Asset-Backed Securities | 7.3% |
| Materials | 8.1% |
| Industrials | 8.5% |
| Financials | 8.6% |
| Loan Participations | 9.9% |
| Energy | 11.3% |
| Communication Services | 11.7% |
| Consumer Discretionary | 13.7% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| TCP Whitney CLO, Ser 2017-1I, Cl SUB | 0.000% | 08/20/29 | 0.5% |
| DISH Network | 11.750% | 11/15/27 | 0.5% |
| Benefit Street Partners CLO V-B | 0.000% | 04/20/31 | 0.5% |
| Team Health Holdings, Inc., Extended Term Loan, 1st Lien, CME Term SOFR + 5.250% | 10.502% | 03/02/27 | 0.4% |
| Zayo Group Holdings Inc | 4.000% | 03/01/27 | 0.4% |
| CCO Holdings | 4.500% | 08/15/30 | 0.4% |
| Sabre GLBL | 11.250% | 12/15/27 | 0.4% |
| Benefit Street Partners CLO X, Ser 2016-10A, Cl SUB | 0.000% | 04/20/34 | 0.4% |
| CCO Holdings | 4.250% | 02/01/31 | 0.4% |
| Tronox | 4.625% | 03/15/29 | 0.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SHYAX
Annual Shareholder Report - September 30, 2024
SHYAX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class I Shares - SEIYX
This annual shareholder report contains important information about Class I Shares of the High Yield Bond Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| High Yield Bond Fund, Class I Shares | $120 | 1.12% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| High Yield Bond Fund, Class I Shares - $157629 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | ICE BofA U.S. High Yield Constrained Index (USD) - $162087 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $96093 | $102941 | $96465 |
| Sep/16 | $105655 | $108286 | $108835 |
| Sep/17 | $115853 | $108364 | $118688 |
| Sep/18 | $120034 | $107047 | $122183 |
| Sep/19 | $124583 | $118068 | $129879 |
| Sep/20 | $124006 | $126315 | $132764 |
| Sep/21 | $145977 | $125184 | $147977 |
| Sep/22 | $126791 | $106908 | $127165 |
| Sep/23 | $138336 | $107597 | $140130 |
| Sep/24 | $157629 | $120044 | $162087 |
How did the Fund perform in the last year?
Class I Shares underperformed its benchmark, the ICE BofA U.S. High Yield Constrained Index, for the 12-month period ending September 30, 2024.
Detractors from Fund performance for the reporting period included security selection within the transportation, technology and electronics, and retail sectors. A longstanding allocation to structured credit, which is managed by SEI Investments Management Corporation, boosted Fund performance. Additional contributors to Fund performance included an underweight position and security selection within the leisure sector, and an overweight and security selection within the health care sector.
Among Fund managers, Ares Capital Management II LLC underperformed the Fund’s benchmark due to an underweight and selection within the telecommunications sector and security selection within basic industry. Benefit Street Partners, LLC underperformed due to security selection within the telecommunications sector and underweight exposure and security selection within technology and electronics. Brigade Capital Management, LP’s underperformance was attributable to security selection within the transportation and technology and electronics sectors. J.P. Morgan Investment Management, Inc. outperformed due to security selection within the capital goods and telecommunications sectors. T Rowe Price Associates, Inc.’s underperformance resulted from security selection within the capital goods sector and an underweight position and security selection within health care.
Regarding the use of derivatives during the reporting period, the Fund employed currency forwards to hedge the currency risk of a position. The currency forwards did not have a significant impact on Fund performance.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| High Yield Bond Fund, Class I Shares | 13.95% | 4.82% | 4.66% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 0.33% | 1.84% |
| ICE BofA U.S. High Yield Constrained Index (USD) | 15.67% | 4.53% | 4.95% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,169,671 | 1,258 | $4,950 | 63% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 0.0% |
| Warrants | 0.1% |
| Preferred Stock | 1.1% |
| Cash Equivalent | 1.8% |
| Utilities | 2.2% |
| Consumer Staples | 2.2% |
| Real Estate | 2.3% |
| Information Technology | 3.7% |
| Health Care | 7.2% |
| Asset-Backed Securities | 7.3% |
| Materials | 8.1% |
| Industrials | 8.5% |
| Financials | 8.6% |
| Loan Participations | 9.9% |
| Energy | 11.3% |
| Communication Services | 11.7% |
| Consumer Discretionary | 13.7% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| TCP Whitney CLO, Ser 2017-1I, Cl SUB | 0.000% | 08/20/29 | 0.5% |
| DISH Network | 11.750% | 11/15/27 | 0.5% |
| Benefit Street Partners CLO V-B | 0.000% | 04/20/31 | 0.5% |
| Team Health Holdings, Inc., Extended Term Loan, 1st Lien, CME Term SOFR + 5.250% | 10.502% | 03/02/27 | 0.4% |
| Zayo Group Holdings Inc | 4.000% | 03/01/27 | 0.4% |
| CCO Holdings | 4.500% | 08/15/30 | 0.4% |
| Sabre GLBL | 11.250% | 12/15/27 | 0.4% |
| Benefit Street Partners CLO X, Ser 2016-10A, Cl SUB | 0.000% | 04/20/34 | 0.4% |
| CCO Holdings | 4.250% | 02/01/31 | 0.4% |
| Tronox | 4.625% | 03/15/29 | 0.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class I Shares - SEIYX
Annual Shareholder Report - September 30, 2024
SEIYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SIYYX
This annual shareholder report contains important information about Class Y Shares of the High Yield Bond Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| High Yield Bond Fund, Class Y Shares | $70 | 0.65% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| High Yield Bond Fund, Class Y Shares - $165944 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | ICE BofA U.S. High Yield Constrained Index (USD) - $162087 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $96915 | $102941 | $96465 |
| Sep/16 | $107303 | $108286 | $108835 |
| Sep/17 | $117898 | $108364 | $118688 |
| Sep/18 | $122937 | $107047 | $122183 |
| Sep/19 | $128476 | $118068 | $129879 |
| Sep/20 | $128368 | $126315 | $132764 |
| Sep/21 | $151647 | $125184 | $147977 |
| Sep/22 | $132286 | $106908 | $127165 |
| Sep/23 | $144916 | $107597 | $140130 |
| Sep/24 | $165944 | $120044 | $162087 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, the ICE BofA U.S. High Yield Constrained Index, for the 12-month period ending September 30, 2024.
Detractors from Fund performance for the reporting period included security selection within the transportation, technology and electronics, and retail sectors. A longstanding allocation to structured credit, which is managed by SEI Investments Management Corporation, boosted Fund performance. Additional contributors to Fund performance included an underweight position and security selection within the leisure sector, and an overweight and security selection within the health care sector.
Among Fund managers, Ares Capital Management II LLC underperformed the Fund’s benchmark due to an underweight and selection within the telecommunications sector and security selection within basic industry. Benefit Street Partners, LLC underperformed due to security selection within the telecommunications sector and underweight exposure and security selection within technology and electronics. Brigade Capital Management, LP’s underperformance was attributable to security selection within the transportation and technology and electronics sectors. J.P. Morgan Investment Management, Inc. outperformed due to security selection within the capital goods and telecommunications sectors. T Rowe Price Associates, Inc.’s underperformance resulted from security selection within the capital goods sector and an underweight position and security selection within health care.
Regarding the use of derivatives during the reporting period, the Fund employed currency forwards to hedge the currency risk of a position. The currency forwards did not have a significant impact on Fund performance.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| High Yield Bond Fund, Class Y Shares | 14.51% | 5.25% | 5.20% |
Bloomberg U.S. Aggregate Bond Index (USD)Footnote Reference* | 11.57% | 0.33% | 1.84% |
| ICE BofA U.S. High Yield Constrained Index (USD) | 15.67% | 4.53% | 4.95% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,169,671 | 1,258 | $4,950 | 63% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 0.0% |
| Warrants | 0.1% |
| Preferred Stock | 1.1% |
| Cash Equivalent | 1.8% |
| Utilities | 2.2% |
| Consumer Staples | 2.2% |
| Real Estate | 2.3% |
| Information Technology | 3.7% |
| Health Care | 7.2% |
| Asset-Backed Securities | 7.3% |
| Materials | 8.1% |
| Industrials | 8.5% |
| Financials | 8.6% |
| Loan Participations | 9.9% |
| Energy | 11.3% |
| Communication Services | 11.7% |
| Consumer Discretionary | 13.7% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| TCP Whitney CLO, Ser 2017-1I, Cl SUB | 0.000% | 08/20/29 | 0.5% |
| DISH Network | 11.750% | 11/15/27 | 0.5% |
| Benefit Street Partners CLO V-B | 0.000% | 04/20/31 | 0.5% |
| Team Health Holdings, Inc., Extended Term Loan, 1st Lien, CME Term SOFR + 5.250% | 10.502% | 03/02/27 | 0.4% |
| Zayo Group Holdings Inc | 4.000% | 03/01/27 | 0.4% |
| CCO Holdings | 4.500% | 08/15/30 | 0.4% |
| Sabre GLBL | 11.250% | 12/15/27 | 0.4% |
| Benefit Street Partners CLO X, Ser 2016-10A, Cl SUB | 0.000% | 04/20/34 | 0.4% |
| CCO Holdings | 4.250% | 02/01/31 | 0.4% |
| Tronox | 4.625% | 03/15/29 | 0.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SIYYX
Annual Shareholder Report - September 30, 2024
SIYYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - COIAX
This annual shareholder report contains important information about Class F Shares of the Conservative Income Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Conservative Income Fund, Class F Shares | $31 | 0.30% |
How did the Fund perform since inception?
Total Return Based on $100,000 Investment
| Conservative Income Fund, Class F Shares - $117724 | Bloomberg U.S. Aggregate Bond Index (USD)* - $113850 | ICE BofA U.S. 3-Month Treasury Bill Index (USD) - $117596 |
|---|
| Apr/16 | $100000 | $100000 | $100000 |
| Sep/16 | $100160 | $102698 | $100153 |
| Sep/17 | $100996 | $102773 | $100810 |
| Sep/18 | $102611 | $101523 | $102414 |
| Sep/19 | $104989 | $111976 | $104857 |
| Sep/20 | $105995 | $119797 | $106010 |
| Sep/21 | $106005 | $118725 | $106084 |
| Sep/22 | $106697 | $101391 | $106738 |
| Sep/23 | $111615 | $102045 | $111511 |
| Sep/24 | $117724 | $113850 | $117596 |
How did the Fund perform in the last year?
Class F Shares performed in line with its benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index, for the 12-month period ending September 30, 2024.
The reporting period began with the Federal Reserve (Fed) pausing after hiking short-term interest rates 11 times for a cumulative 525 basis points (5.25%) during 2022 and early 2023. Despite some bumps in the road, inflation largely moderated during the first nine months of 2024, and the Fed began its rate-cutting cycle with an aggressive 50-basis-point (0.50%) cut at its September 2024 meeting. The supply of U.S. Treasury bills during the reporting period remained elevated, with the Treasury decreasing the weighted average maturity of its issuance given demand at the front end of the yield curve. Government money market assets under management reached peak levels as the yield curve remain inverted (short-term yields exceeded longer-term yields). Fundamentals for banks, the primary issuers of certificates of deposit (CDs) and commercial paper, remained strong, with healthy balance sheets and reduced leverage profiles supporting the sector.
BlackRock Advisors, LLC (BlackRock) is the Fund’s sole sub-advisor. BlackRock’s performance for the reporting period benefited from positions in commercial paper and CDs, both of which offered higher yield relative to comparable-duration U.S. Treasurys. Fund performance over the full reporting period reflected the higher interest-rate environment. BlackRock adjusted the Fund’s weighted average maturity throughout the period as the Fed moved from being on hold to an interest-rate cut. BlackRock also reduced the Fund’s positions in floating-rate paper given the Fed’s pivot to easing monetary policy.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | Annualized Since Inception |
|---|
| Conservative Income Fund, Class F Shares | 5.47% | 2.32% | 1.95% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 0.33% | 1.55% |
| ICE BofA U.S. 3-Month Treasury Bill Index (USD) | 5.46% | 2.32% | 1.94% |
Since its inception on April 22, 2016. The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund since inception. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) |
|---|
| $721,772 | 144 | $374 |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| U.S. Treasury Obligation | 0.1% |
| Consumer Staples | 0.2% |
| Financials | 0.3% |
| Consumer Discretionary | 0.5% |
| Certificates of Deposit | 15.0% |
| Repurchase Agreements | 20.2% |
| Commercial Paper | 63.5% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net Assets |
|---|
| Bank of America Securities | 4.880% | 10/01/24 | 12.5% |
| Goldman Sachs & Co | 4.900% | 10/01/24 | 6.9% |
| Landesbank Baden-Wuerttemberg NY | 4.841% | 10/01/24 | 4.7% |
| Overwatch Alpha Funding | 4.841% | 10/01/24 | 3.5% |
| Automatic Data Processing | 4.831% | 10/02/24 | 2.8% |
| Chesham Finance | 4.851% | 10/01/24 | 2.6% |
| Bayerische Landesbank | 4.835% | 10/01/24 | 1.9% |
| MUFG Bank | 4.850% | 10/01/24 | 1.8% |
| Cabot Trail Funding | 4.831% | 10/01/24 | 1.4% |
| Lime Funding | 4.845% | 10/02/24 | 1.4% |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - COIAX
Annual Shareholder Report - September 30, 2024
COIAX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - COIYX
This annual shareholder report contains important information about Class Y Shares of the Conservative Income Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Conservative Income Fund, Class Y Shares | $21 | 0.20% |
How did the Fund perform since inception?
Total Return Based on $100,000 Investment
| Conservative Income Fund, Class Y Shares - $118732 | Bloomberg U.S. Aggregate Bond Index (USD)* - $113850 | ICE BofA U.S. 3-Month Treasury Bill Index (USD) - $117596 |
|---|
| Apr/16 | $100000 | $100000 | $100000 |
| Sep/16 | $100203 | $102698 | $100153 |
| Sep/17 | $101147 | $102773 | $100810 |
| Sep/18 | $102867 | $101523 | $102414 |
| Sep/19 | $105357 | $111976 | $104857 |
| Sep/20 | $106469 | $119797 | $106010 |
| Sep/21 | $106586 | $118725 | $106084 |
| Sep/22 | $107329 | $101391 | $106738 |
| Sep/23 | $112457 | $102045 | $111511 |
| Sep/24 | $118732 | $113850 | $117596 |
How did the Fund perform in the last year?
Class Y Shares performed in line with its benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index, for the 12-month period ending September 30, 2024.
The reporting period began with the Federal Reserve (Fed) pausing after hiking short-term interest rates 11 times for a cumulative 525 basis points (5.25%) during 2022 and early 2023. Despite some bumps in the road, inflation largely moderated during the first nine months of 2024, and the Fed began its rate-cutting cycle with an aggressive 50-basis-point (0.50%) cut at its September 2024 meeting. The supply of U.S. Treasury bills during the reporting period remained elevated, with the Treasury decreasing the weighted average maturity of its issuance given demand at the front end of the yield curve. Government money market assets under management reached peak levels as the yield curve remain inverted (short-term yields exceeded longer-term yields). Fundamentals for banks, the primary issuers of certificates of deposit (CDs) and commercial paper, remained strong, with healthy balance sheets and reduced leverage profiles supporting the sector.
BlackRock Advisors, LLC (BlackRock) is the Fund’s sole sub-advisor. BlackRock’s performance for the reporting period benefited from positions in commercial paper and CDs, both of which offered higher yield relative to comparable-duration U.S. Treasurys. Fund performance over the full reporting period reflected the higher interest-rate environment. BlackRock adjusted the Fund’s weighted average maturity throughout the period as the Fed moved from being on hold to an interest-rate cut. BlackRock also reduced the Fund’s positions in floating-rate paper given the Fed’s pivot to easing monetary policy.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | Annualized Since Inception |
|---|
| Conservative Income Fund, Class Y Shares | 5.58% | 2.42% | 2.05% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 0.33% | 1.55% |
| ICE BofA U.S. 3-Month Treasury Bill Index (USD) | 5.46% | 2.32% | 1.94% |
Since its inception on April 22, 2016. The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund since inception. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) |
|---|
| $721,772 | 144 | $374 |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| U.S. Treasury Obligation | 0.1% |
| Consumer Staples | 0.2% |
| Financials | 0.3% |
| Consumer Discretionary | 0.5% |
| Certificates of Deposit | 15.0% |
| Repurchase Agreements | 20.2% |
| Commercial Paper | 63.5% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net Assets |
|---|
| Bank of America Securities | 4.880% | 10/01/24 | 12.5% |
| Goldman Sachs & Co | 4.900% | 10/01/24 | 6.9% |
| Landesbank Baden-Wuerttemberg NY | 4.841% | 10/01/24 | 4.7% |
| Overwatch Alpha Funding | 4.841% | 10/01/24 | 3.5% |
| Automatic Data Processing | 4.831% | 10/02/24 | 2.8% |
| Chesham Finance | 4.851% | 10/01/24 | 2.6% |
| Bayerische Landesbank | 4.835% | 10/01/24 | 1.9% |
| MUFG Bank | 4.850% | 10/01/24 | 1.8% |
| Cabot Trail Funding | 4.831% | 10/01/24 | 1.4% |
| Lime Funding | 4.845% | 10/02/24 | 1.4% |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - COIYX
Annual Shareholder Report - September 30, 2024
COIYX-AR-24
Annual Shareholder Report - September 30, 2024
Tax-Free Conservative Income Fund
SEI Institutional Managed Trust/Class F Shares - TFCAX
This annual shareholder report contains important information about Class F Shares of the Tax-Free Conservative Income Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Tax-Free Conservative Income Fund, Class F Shares | $31 | 0.30% |
How did the Fund perform since inception?
Total Return Based on $100,000 Investment
| Tax-Free Conservative Income Fund, Class F Shares - $110612 | Bloomberg U.S. Aggregate Bond Index (USD)* - $113850 | ICE BofA U.S. 3-Month Treasury Bill Index (USD) - $117596 |
|---|
| Apr/16 | $100000 | $100000 | $100000 |
| Sep/16 | $100116 | $102698 | $100153 |
| Sep/17 | $100631 | $102773 | $100810 |
| Sep/18 | $101626 | $101523 | $102414 |
| Sep/19 | $103019 | $111976 | $104857 |
| Sep/20 | $103683 | $119797 | $106010 |
| Sep/21 | $103693 | $118725 | $106084 |
| Sep/22 | $103990 | $101391 | $106738 |
| Sep/23 | $107027 | $102045 | $111511 |
| Sep/24 | $110612 | $113850 | $117596 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index, for the 12-month period ending September 30, 2024. Although the Fund’s performance is benchmarked against the return of the ICE BofA U.S. 3-Month Treasury Bill Index, an investment in the Fund differs from an investment in U.S. Treasury bills as the Fund invests in tax-exempt securities issued by state governments and local municipalities. Among other things, Treasury bills are backed by the full faith and credit of the U.S. government and have a fixed rate of return. Investors in Treasury bills do not risk losing their investment, whereas loss of money is a risk of investing in the Fund.
The reporting period began with the Federal Reserve (Fed) pausing after hiking short-term interest rates 11 times for a cumulative 525 basis points (5.25%) during 2022 and early 2023. Despite some bumps in the road, inflation largely moderated during the first nine months of 2024, and the Fed began its rate-cutting cycle with an aggressive 50-basis-point (0.50%) reduction at its September 2024 meeting. Yields on municipal bonds moved lower along with Treasury yields during the period. The municipal sector continued to benefit from healthy labor and real estate markets, which resulted in strong tax receipts, combined with budget surpluses that were accumulated during the COVID-19 pandemic of the early 2020s.
BlackRock Advisors, LLC, the Fund’s sole sub-advisor, recorded a positive absolute return during the reporting period, benefiting from a position in municipal commercial paper and certificates of deposit. The manager increased these allocations during the period as the Fund moved to extend its weighted average maturity. The Fund’s positions in variable-rate demand notes (VRDNs) linked to the SIFMA Municipal Swap Index (which tracks the performance of tax-exempt 7-day floating-rate municipal notes) also had a slightly positive impact on performance. Given their floating-rate structure, the Fund’s holdings in VRDNs were reduced over the period as yields moved lower.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | Annualized Since Inception |
|---|
| Tax-Free Conservative Income Fund, Class F Shares | 3.35% | 1.43% | 1.20% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 0.33% | 1.55% |
| ICE BofA U.S. 3-Month Treasury Bill Index (USD) | 5.46% | 2.32% | 1.94% |
Since its inception on April 22, 2016. The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund since inception. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) |
|---|
| $191,097 | 97 | $106 |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Tax-Exempt Commercial Paper | 17.0% |
| Municipal Bonds | 84.6% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net Assets |
|---|
| Iowa State, Finance Authority, Disaster Area Economic Development, CJ Bio America Project | 3.310% | 12/01/41 | 3.9% |
| Lucie County, Florida Power & Light Project, Ser R | 3.250% | 09/01/28 | 3.7% |
| Little Falls | 5.000% | 12/13/24 | 3.2% |
| Colorado Springs, Utilities System Revenue, Ser C-REMK | 3.130% | 11/01/28 | 3.0% |
| Port Arthur, Navigation District, Industrial Development, Petrochemicals USA Project | 3.210% | 03/01/39 | 2.8% |
| Lincoln, Electrical System Revenue | 3.280% | 11/13/24 | 2.6% |
| New York City, Sub-Ser D-4 | 2.200% | 08/01/40 | 2.6% |
| University of Texas | 3.150% | 01/14/25 | 2.4% |
| Colorado State, Health Facilities Authority, Intermountain Healthcare, Ser S | 3.150% | 05/15/62 | 2.4% |
| Northampton County, General Purpose Authority, St. Luke's University Health Network Project | 2.200% | 08/15/54 | 2.2% |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Tax-Free Conservative Income Fund
SEI Institutional Managed Trust/Class F Shares - TFCAX
Annual Shareholder Report - September 30, 2024
TFCAX-AR-24
Annual Shareholder Report - September 30, 2024
Tax-Free Conservative Income Fund
SEI Institutional Managed Trust/Class Y Shares - TFCYX
This annual shareholder report contains important information about Class Y Shares of the Tax-Free Conservative Income Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Tax-Free Conservative Income Fund, Class Y Shares | $20 | 0.20% |
How did the Fund perform since inception?
Total Return Based on $100,000 Investment
| Tax-Free Conservative Income Fund, Class Y Shares - $111583 | Bloomberg U.S. Aggregate Bond Index (USD)* - $113850 | ICE BofA U.S. 3-Month Treasury Bill Index (USD) - $117596 |
|---|
| Apr/16 | $100000 | $100000 | $100000 |
| Sep/16 | $100159 | $102698 | $100153 |
| Sep/17 | $100761 | $102773 | $100810 |
| Sep/18 | $101861 | $101523 | $102414 |
| Sep/19 | $103360 | $111976 | $104857 |
| Sep/20 | $104119 | $119797 | $106010 |
| Sep/21 | $104234 | $118725 | $106084 |
| Sep/22 | $104694 | $101391 | $106738 |
| Sep/23 | $107751 | $102045 | $111511 |
| Sep/24 | $111583 | $113850 | $117596 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index, for the 12-month period ending September 30, 2024. Although the Fund’s performance is benchmarked against the return of the ICE BofA U.S. 3-Month Treasury Bill Index, an investment in the Fund differs from an investment in U.S. Treasury bills as the Fund invests in tax-exempt securities issued by state governments and local municipalities. Among other things, Treasury bills are backed by the full faith and credit of the U.S. government and have a fixed rate of return. Investors in Treasury bills do not risk losing their investment, whereas loss of money is a risk of investing in the Fund.
The reporting period began with the Federal Reserve (Fed) pausing after hiking short-term interest rates 11 times for a cumulative 525 basis points (5.25%) during 2022 and early 2023. Despite some bumps in the road, inflation largely moderated during the first nine months of 2024, and the Fed began its rate-cutting cycle with an aggressive 50-basis-point (0.50%) reduction at its September 2024 meeting. Yields on municipal bonds moved lower along with Treasury yields during the period. The municipal sector continued to benefit from healthy labor and real estate markets, which resulted in strong tax receipts, combined with budget surpluses that were accumulated during the COVID-19 pandemic of the early 2020s.
BlackRock Advisors, LLC, the Fund’s sole sub-advisor, recorded a positive absolute return during the reporting period, benefiting from a position in municipal commercial paper and certificates of deposit. The manager increased these allocations during the period as the Fund moved to extend its weighted average maturity. The Fund’s positions in variable-rate demand notes (VRDNs) linked to the SIFMA Municipal Swap Index (which tracks the performance of tax-exempt 7-day floating-rate municipal notes) also had a slightly positive impact on performance. Given their floating-rate structure, the Fund’s holdings in VRDNs were reduced over the period as yields moved lower.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | Annualized Since Inception |
|---|
| Tax-Free Conservative Income Fund, Class Y Shares | 3.56% | 1.54% | 1.31% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 0.33% | 1.55% |
| ICE BofA U.S. 3-Month Treasury Bill Index (USD) | 5.46% | 2.32% | 1.94% |
Since its inception on April 22, 2016. The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund since inception. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) |
|---|
| $191,097 | 97 | $106 |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Tax-Exempt Commercial Paper | 17.0% |
| Municipal Bonds | 84.6% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net Assets |
|---|
| Iowa State, Finance Authority, Disaster Area Economic Development, CJ Bio America Project | 3.310% | 12/01/41 | 3.9% |
| Lucie County, Florida Power & Light Project, Ser R | 3.250% | 09/01/28 | 3.7% |
| Little Falls | 5.000% | 12/13/24 | 3.2% |
| Colorado Springs, Utilities System Revenue, Ser C-REMK | 3.130% | 11/01/28 | 3.0% |
| Port Arthur, Navigation District, Industrial Development, Petrochemicals USA Project | 3.210% | 03/01/39 | 2.8% |
| Lincoln, Electrical System Revenue | 3.280% | 11/13/24 | 2.6% |
| New York City, Sub-Ser D-4 | 2.200% | 08/01/40 | 2.6% |
| University of Texas | 3.150% | 01/14/25 | 2.4% |
| Colorado State, Health Facilities Authority, Intermountain Healthcare, Ser S | 3.150% | 05/15/62 | 2.4% |
| Northampton County, General Purpose Authority, St. Luke's University Health Network Project | 2.200% | 08/15/54 | 2.2% |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Tax-Free Conservative Income Fund
SEI Institutional Managed Trust/Class Y Shares - TFCYX
Annual Shareholder Report - September 30, 2024
TFCYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SRAAX
This annual shareholder report contains important information about Class F Shares of the Real Return Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Real Return Fund, Class F Shares | $47 | 0.45% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Real Return Fund, Class F Shares - $121094 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | Bloomberg 1-5 Year U.S. TIPS Index (USD) - $126533 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $98435 | $102941 | $98781 |
| Sep/16 | $100719 | $108286 | $101624 |
| Sep/17 | $100747 | $108364 | $102038 |
| Sep/18 | $100987 | $107047 | $102787 |
| Sep/19 | $104157 | $118068 | $106566 |
| Sep/20 | $109340 | $126315 | $112279 |
| Sep/21 | $115092 | $125184 | $118858 |
| Sep/22 | $109887 | $106908 | $114001 |
| Sep/23 | $112572 | $107597 | $117240 |
| Sep/24 | $121094 | $120044 | $126533 |
How did the Fund perform in the last year?
Class F Shares modestly underperformed its benchmark, the Bloomberg 1-5 Year U.S. TIPS Index, for the 12-month period ending September 30, 2024.
The Fund’s positioning was closely aligned with that of its benchmark over the reporting period. Inflation continued to ease during the period, but remained above the Federal Reserve’s 2% target, and the macroeconomic focus shifted to economic growth and the health of the labor market. Tentative signs of cyclical moderation signaled the onset of a synchronized global monetary policy easing cycle.
Against this backdrop, real yields rallied sharply across the yield curve and Treasury Inflation-Protected Securities (TIPS) delivered strong total returns. Inflation breakeven rates— the difference between the nominal yield on a fixed-rate bond and the real yield (an adjusted yield that takes into account the impact of inflation) on an inflation-linked bond of similar maturity and credit quality—tightened over the period, preventing real yields from keeping pace with the sharp rally in nominal yields. This led TIPS to underperform comparable-duration conventional Treasurys.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Real Return Fund, Class F Shares | 7.57% | 3.06% | 1.93% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 0.33% | 1.84% |
| Bloomberg 1-5 Year U.S. TIPS Index (USD) | 7.93% | 3.49% | 2.38% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $384,120 | 23 | $400 | 41% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Cash Equivalent | 0.1% |
| U.S. Treasury Obligations | 99.6% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| U.S. Treasury Inflation Protected Securities | 2.125% | 04/15/29 | 6.6% |
| U.S. Treasury Inflation Protected Securities | 2.375% | 10/15/28 | 6.4% |
| U.S. Treasury Inflation Protected Securities | 1.625% | 10/15/27 | 6.1% |
| U.S. Treasury Inflation Protected Securities | 1.250% | 04/15/28 | 5.9% |
| U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/27 | 5.8% |
| U.S. Treasury Inflation Protected Securities | 0.125% | 10/15/26 | 5.7% |
| U.S. Treasury Inflation Protected Securities | 0.125% | 10/15/25 | 5.4% |
| U.S. Treasury Inflation Protected Securities | 0.500% | 01/15/28 | 5.3% |
| U.S. Treasury Inflation Protected Securities | 0.375% | 07/15/27 | 5.2% |
| U.S. Treasury Inflation Protected Securities | 0.125% | 07/15/26 | 5.1% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SRAAX
Annual Shareholder Report - September 30, 2024
SRAAX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SRYRX
This annual shareholder report contains important information about Class Y Shares of the Real Return Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Real Return Fund, Class Y Shares | $36 | 0.35% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Real Return Fund, Class Y Shares - $122318 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | Bloomberg 1-5 Year U.S. TIPS Index (USD) - $126533 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $98534 | $102941 | $98781 |
| Sep/16 | $101017 | $108286 | $101624 |
| Sep/17 | $101125 | $108364 | $102038 |
| Sep/18 | $101417 | $107047 | $102787 |
| Sep/19 | $104773 | $118068 | $106566 |
| Sep/20 | $110020 | $126315 | $112279 |
| Sep/21 | $116038 | $125184 | $118858 |
| Sep/22 | $110936 | $106908 | $114001 |
| Sep/23 | $113638 | $107597 | $117240 |
| Sep/24 | $122318 | $120044 | $126533 |
How did the Fund perform in the last year?
Class Y Shares modestly underperformed its benchmark, the Bloomberg 1-5 Year U.S. TIPS Index, for the 12-month period ending September 30, 2024.
The Fund’s positioning was closely aligned with that of its benchmark over the reporting period. Inflation continued to ease during the period, but remained above the Federal Reserve’s 2% target, and the macroeconomic focus shifted to economic growth and the health of the labor market. Tentative signs of cyclical moderation signaled the onset of a synchronized global monetary policy easing cycle.
Against this backdrop, real yields rallied sharply across the yield curve and Treasury Inflation-Protected Securities (TIPS) delivered strong total returns. Inflation breakeven rates— the difference between the nominal yield on a fixed-rate bond and the real yield (an adjusted yield that takes into account the impact of inflation) on an inflation-linked bond of similar maturity and credit quality—tightened over the period, preventing real yields from keeping pace with the sharp rally in nominal yields. This led TIPS to underperform comparable-duration conventional Treasurys.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Real Return Fund, Class Y Shares | 7.64% | 3.15% | 2.03% |
Bloomberg U.S. Aggregate Bond Index (USD)Footnote Reference* | 11.57% | 0.33% | 1.84% |
| Bloomberg 1-5 Year U.S. TIPS Index (USD) | 7.93% | 3.49% | 2.38% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $384,120 | 23 | $400 | 41% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Cash Equivalent | 0.1% |
| U.S. Treasury Obligations | 99.6% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | Coupon Rate | Maturity Date | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| U.S. Treasury Inflation Protected Securities | 2.125% | 04/15/29 | 6.6% |
| U.S. Treasury Inflation Protected Securities | 2.375% | 10/15/28 | 6.4% |
| U.S. Treasury Inflation Protected Securities | 1.625% | 10/15/27 | 6.1% |
| U.S. Treasury Inflation Protected Securities | 1.250% | 04/15/28 | 5.9% |
| U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/27 | 5.8% |
| U.S. Treasury Inflation Protected Securities | 0.125% | 10/15/26 | 5.7% |
| U.S. Treasury Inflation Protected Securities | 0.125% | 10/15/25 | 5.4% |
| U.S. Treasury Inflation Protected Securities | 0.500% | 01/15/28 | 5.3% |
| U.S. Treasury Inflation Protected Securities | 0.375% | 07/15/27 | 5.2% |
| U.S. Treasury Inflation Protected Securities | 0.125% | 07/15/26 | 5.1% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SRYRX
Annual Shareholder Report - September 30, 2024
SRYRX-AR-24
Annual Shareholder Report - September 30, 2024
Dynamic Asset Allocation Fund
SEI Institutional Managed Trust/Class F Shares - SDYAX
This annual shareholder report contains important information about Class F Shares of the Dynamic Asset Allocation Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Dynamic Asset Allocation Fund, Class F Shares | $87 | 0.75% |
How did the Fund perform since inception?
Total Return Based on $100,000 Investment
| Dynamic Asset Allocation Fund, Class F Shares - $283676 | S&P 500® Index (TR) - $322900 |
|---|
| Jul/15 | $100000 | $100000 |
| Sep/15 | $90900 | $91434 |
| Sep/16 | $102163 | $105543 |
| Sep/17 | $122543 | $125184 |
| Sep/18 | $135959 | $147605 |
| Sep/19 | $138864 | $153884 |
| Sep/20 | $159794 | $177195 |
| Sep/21 | $212078 | $230363 |
| Sep/22 | $183314 | $194721 |
| Sep/23 | $215657 | $236814 |
| Sep/24 | $283676 | $322900 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, the S&P 500 Index (Gross), for the 12-month period ending September 30, 2024.
The largest detractor from Fund performance for the reporting period was a relative value position that was long the S&P 500 Equal Weight Index and short the S&P 500 Index. The position sought to benefit from a potential broadening of performance beyond the “Magnificent Seven” mega-cap tech companies which dominated the performance of the S&P 500 Index. However, the position weighed on Fund performance as these companies continued to lead the market. Other detractors included put option (which gives the holder the right to sell a stock at a specified price) spreads on the S&P 500 Index, which were intended to provide downside protection against a decline in the U.S. equity market. Given the resilience of the U.S. equity market, these positions expired at a loss. A position in broad commodities via a Bloomberg Commodity Index total return swap detracted as the commodities market came under pressure amid weakness in the energy sector on demand concerns.
Positive contributors to Fund performance over the period included two U.S. yield-curve steepeners which benefit from a steepening of the U.S. yield curve (an increase in the difference between short-term yields and long-term yields). As short-term yields declined with market pricing of Federal Reserve interest-rate cuts, the yield curve steepened. Fund performance also benefited from a relative value position between U.S. and European short-term rates. The position benefited from a greater decline in European short-term rates versus U.S. short-term rates.
Derivatives had a significant impact on Fund performance for the reporting period. Interest-rate swaps in aggregate detracted from performance as they were positioned for a rise in interest rates; global interest rates declined over the period. Put options on the U.S. equity market and Cboe Volatility Index (VIX) declined as equities performed well over the period. Put options on currencies hampered Fund performance during the period. Positions in consumer-price index (CPI) swaps detracted during the period as inflation expectations eased.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | Annualized Since Inception |
|---|
| Dynamic Asset Allocation Fund, Class F Shares | 31.54% | 15.36% | 12.03% |
S&P 500® Index (TR) | 36.35% | 15.98% | 13.62% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund since inception. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $828,111 | 526 | $1,423 | 14% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Cash Equivalent | 0.5% |
| Derivative Contracts (Net) | 0.9% |
| Materials | 1.8% |
| Real Estate | 1.9% |
| Utilities | 2.0% |
| Energy | 2.7% |
| Consumer Staples | 4.7% |
| Cash Collateral | 4.7% |
| Industrials | 6.9% |
| Communication Services | 7.1% |
| Consumer Discretionary | 8.1% |
| Health Care | 9.4% |
| Financials | 10.4% |
| Information Technology | 25.5% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Apple Inc | | | 5.9% |
| McKesson | | | 5.3% |
| Microsoft Corp | | | 5.3% |
| NVIDIA Corp | | | 4.9% |
| Amazon.com Inc, Cl A | | | 2.9% |
| MARGIN DEPOSIT COUNTERPARTY: GOLDMAN SACHS FUTURES COLLATERAL | | | 2.1% |
| Meta Platforms Inc, Cl A | | | 2.1% |
| RECV OIS 4.35 11/02/2031 | | | 2.0% |
| Alphabet Inc, Cl A | | | 1.6% |
| Berkshire Hathaway Inc, Cl B | | | 1.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Dynamic Asset Allocation Fund
SEI Institutional Managed Trust/Class F Shares - SDYAX
Annual Shareholder Report - September 30, 2024
SDYAX-AR-24
Annual Shareholder Report - September 30, 2024
Dynamic Asset Allocation Fund
SEI Institutional Managed Trust/Class Y Shares - SDYYX
This annual shareholder report contains important information about Class Y Shares of the Dynamic Asset Allocation Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Dynamic Asset Allocation Fund, Class Y Shares | $58 | 0.50% |
How did the Fund perform since inception?
Total Return Based on $100,000 Investment
| Dynamic Asset Allocation Fund, Class Y Shares - $289829 | S&P 500® Index (TR) - $322900 |
|---|
| Jul/15 | $100000 | $100000 |
| Sep/15 | $90900 | $91434 |
| Sep/16 | $102421 | $105543 |
| Sep/17 | $123076 | $125184 |
| Sep/18 | $136930 | $147605 |
| Sep/19 | $140257 | $153884 |
| Sep/20 | $161732 | $177195 |
| Sep/21 | $215184 | $230363 |
| Sep/22 | $186270 | $194721 |
| Sep/23 | $219697 | $236814 |
| Sep/24 | $289829 | $322900 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, the S&P 500 Index (Gross), for the 12-month period ending September 30, 2024.
The largest detractor from Fund performance for the reporting period was a relative value position that was long the S&P 500 Equal Weight Index and short the S&P 500 Index. The position sought to benefit from a potential broadening of performance beyond the “Magnificent Seven” mega-cap tech companies which dominated the performance of the S&P 500 Index. However, the position weighed on Fund performance as these companies continued to lead the market. Other detractors included put option (which gives the holder the right to sell a stock at a specified price) spreads on the S&P 500 Index, which were intended to provide downside protection against a decline in the U.S. equity market. Given the resilience of the U.S. equity market, these positions expired at a loss. A position in broad commodities via a Bloomberg Commodity Index total return swap detracted as the commodities market came under pressure amid weakness in the energy sector on demand concerns.
Positive contributors to Fund performance over the period included two U.S. yield-curve steepeners which benefit from a steepening of the U.S. yield curve (an increase in the difference between short-term yields and long-term yields). As short-term yields declined with market pricing of Federal Reserve interest-rate cuts, the yield curve steepened. Fund performance also benefited from a relative value position between U.S. and European short-term rates. The position benefited from a greater decline in European short-term rates versus U.S. short-term rates.
Derivatives had a significant impact on Fund performance for the reporting period. Interest-rate swaps in aggregate detracted from performance as they were positioned for a rise in interest rates; global interest rates declined over the period. Put options on the U.S. equity market and Cboe Volatility Index (VIX) declined as equities performed well over the period. Put options on currencies hampered Fund performance during the period. Positions in consumer-price index (CPI) swaps detracted during the period as inflation expectations eased.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | Annualized Since Inception |
|---|
| Dynamic Asset Allocation Fund, Class Y Shares | 31.92% | 15.62% | 12.29% |
S&P 500® Index (TR) | 36.35% | 15.98% | 13.62% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund since inception. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $828,111 | 526 | $1,423 | 14% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Cash Equivalent | 0.5% |
| Derivative Contracts (Net) | 0.9% |
| Materials | 1.8% |
| Real Estate | 1.9% |
| Utilities | 2.0% |
| Energy | 2.7% |
| Consumer Staples | 4.7% |
| Cash Collateral | 4.7% |
| Industrials | 6.9% |
| Communication Services | 7.1% |
| Consumer Discretionary | 8.1% |
| Health Care | 9.4% |
| Financials | 10.4% |
| Information Technology | 25.5% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Apple Inc | | | 5.9% |
| McKesson | | | 5.3% |
| Microsoft Corp | | | 5.3% |
| NVIDIA Corp | | | 4.9% |
| Amazon.com Inc, Cl A | | | 2.9% |
| MARGIN DEPOSIT COUNTERPARTY: GOLDMAN SACHS FUTURES COLLATERAL | | | 2.1% |
| Meta Platforms Inc, Cl A | | | 2.1% |
| RECV OIS 4.35 11/02/2031 | | | 2.0% |
| Alphabet Inc, Cl A | | | 1.6% |
| Berkshire Hathaway Inc, Cl B | | | 1.4% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Dynamic Asset Allocation Fund
SEI Institutional Managed Trust/Class Y Shares - SDYYX
Annual Shareholder Report - September 30, 2024
SDYYX-AR-24
Annual Shareholder Report - September 30, 2024
Multi-Strategy Alternative Fund
SEI Institutional Managed Trust/Class F Shares - SMSAX
This annual shareholder report contains important information about Class F Shares of the Multi-Strategy Alternative Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Multi-Strategy Alternative Fund, Class F Shares | $285 | 2.70% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Multi-Strategy Alternative Fund, Class F Shares - $132135 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | ICE BofA U.S. 3-Month Treasury Bill Index (USD) - $117767 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $97024 | $102941 | $100025 |
| Sep/16 | $100327 | $108286 | $100299 |
| Sep/17 | $104966 | $108364 | $100957 |
| Sep/18 | $107180 | $107047 | $102563 |
| Sep/19 | $106992 | $118068 | $105009 |
| Sep/20 | $112232 | $126315 | $106165 |
| Sep/21 | $121853 | $125184 | $106239 |
| Sep/22 | $113030 | $106908 | $106894 |
| Sep/23 | $119136 | $107597 | $111674 |
| Sep/24 | $132135 | $120044 | $117767 |
How did the Fund perform in the last year?
Class F Shares outperformed its benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index, for the 12-month period ending September 30, 2024.
All of the Fund’s sub-advisors performed well over the reporting period. The strongest performers were the two equity hedge sub-advisors: Kettle Hill Capital Management and Mountaineer Partners Management. Both managers benefited from rising equity markets and positive security selection in mid-cap U.S. stocks and the materials and industrials sectors, respectively. The relative value strategy was the second-largest contributor to Fund performance. Brigade Capital Management’s (Brigade) performance was bolstered by investments in several high-yield bond and loan issues, as well as the sub-adviser’s ability to minimize losses from hedges. Global Credit Advisers (GCA) recorded more modest gains due to its sizable short portfolio, which detracted from Fund performance. Finally, the event-driven strategy, which is composed of a fund focused on merger arbitrage, underperformed the Fund’s benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index, for the reporting period. The environment for merger arbitrage proved to be difficult over the period as U.S. regulators challenged numerous transactions.
During the reporting period, GCA and Brigade were the two sub-advisors accounting for the vast majority of the Fund’s derivative exposure which consisted primarily of long credit protection through credit default swaps (CDS) on individual corporate bond issuers or baskets of issuers. The managers employ CDS protection for hedging or to express a negative view on the creditworthiness of a specific issuer. Overall, derivatives detracted from Fund performance for the period as credit spreads generally narrowed, resulting in market-to-market losses (a measure of the unrealized losses on a financial instrument that has been marked to its current market value) on CDS positions. However, these losses were more than offset by gains on bond and loan holdings in the remainder of the Fund’s portfolio.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Multi-Strategy Alternative Fund, Class F Shares | 10.91% | 4.31% | 2.83% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 0.33% | 1.84% |
| ICE BofA U.S. 3-Month Treasury Bill Index (USD) | 5.46% | 2.32% | 1.65% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $269,029 | 480 | $2,351 | 277% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| U.S. Treasury Obligations | -0.1% |
| Derivative Contracts (Net) | 0.0% |
| Warrants | 0.0% |
| Preferred Stock | 0.2% |
| Mortgage-Backed Securities | 0.2% |
| Utilities | 0.5% |
| Real Estate | 0.5% |
| Financials | 1.3% |
| Consumer Staples | 1.4% |
| Health Care | 2.6% |
| Information Technology | 4.7% |
| Industrials | 4.7% |
| Loan Participations | 5.2% |
| Communication Services | 5.3% |
| Energy | 6.5% |
| Materials | 7.3% |
| Cash Equivalent | 7.5% |
| Consumer Discretionary | 8.9% |
| Registered Investment Companies | 18.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Merger Fund, Cl I | | | 20.3% |
| United Parcel Service Inc, Cl B | | | 1.1% |
| AT&T Inc | | | 0.9% |
| Allied Universal Holdco | | | 0.9% |
| Verizon Communications Inc | | | 0.9% |
| Penn Entertainment Inc | | | 0.9% |
| Cloud Software Group | | | 0.9% |
| Century Aluminum Co | | | 0.8% |
| Materion Corp | | | 0.8% |
| ATI Inc | | | 0.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Multi-Strategy Alternative Fund
SEI Institutional Managed Trust/Class F Shares - SMSAX
Annual Shareholder Report - September 30, 2024
SMSAX-AR-24
Annual Shareholder Report - September 30, 2024
Multi-Strategy Alternative Fund
SEI Institutional Managed Trust/Class Y Shares - SMUYX
This annual shareholder report contains important information about Class Y Shares of the Multi-Strategy Alternative Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Multi-Strategy Alternative Fund, Class Y Shares | $258 | 2.44% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Multi-Strategy Alternative Fund, Class Y Shares - $135349 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | ICE BofA U.S. 3-Month Treasury Bill Index (USD) - $117767 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $97024 | $102941 | $100025 |
| Sep/16 | $100677 | $108286 | $100299 |
| Sep/17 | $105608 | $108364 | $100957 |
| Sep/18 | $108101 | $107047 | $102563 |
| Sep/19 | $108093 | $118068 | $105009 |
| Sep/20 | $113671 | $126315 | $106165 |
| Sep/21 | $123830 | $125184 | $106239 |
| Sep/22 | $115046 | $106908 | $106894 |
| Sep/23 | $121584 | $107597 | $111674 |
| Sep/24 | $135349 | $120044 | $117767 |
How did the Fund perform in the last year?
Class Y Shares outperformed its benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index, for the 12-month period ending September 30, 2024.
All of the Fund’s sub-advisors performed well over the reporting period. The strongest performers were the two equity hedge sub-advisors: Kettle Hill Capital Management and Mountaineer Partners Management. Both managers benefited from rising equity markets and positive security selection in mid-cap U.S. stocks and the materials and industrials sectors, respectively. The relative value strategy was the second-largest contributor to Fund performance. Brigade Capital Management’s (Brigade) performance was bolstered by investments in several high-yield bond and loan issues, as well as the sub-adviser’s ability to minimize losses from hedges. Global Credit Advisers (GCA) recorded more modest gains due to its sizable short portfolio, which detracted from Fund performance. Finally, the event-driven strategy, which is composed of a fund focused on merger arbitrage, underperformed the Fund’s benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index, for the reporting period. The environment for merger arbitrage proved to be difficult over the period as U.S. regulators challenged numerous transactions.
During the reporting period, GCA and Brigade were the two sub-advisors accounting for the vast majority of the Fund’s derivative exposure which consisted primarily of long credit protection through credit default swaps (CDS) on individual corporate bond issuers or baskets of issuers. The managers employ CDS protection for hedging or to express a negative view on the creditworthiness of a specific issuer. Overall, derivatives detracted from Fund performance for the period as credit spreads generally narrowed, resulting in market-to-market losses (a measure of the unrealized losses on a financial instrument that has been marked to its current market value) on CDS positions. However, these losses were more than offset by gains on bond and loan holdings in the remainder of the Fund’s portfolio.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Multi-Strategy Alternative Fund, Class Y Shares | 11.32% | 4.60% | 3.07% |
Bloomberg U.S. Aggregate Bond Index (USD)Footnote Reference* | 11.57% | 0.33% | 1.84% |
| ICE BofA U.S. 3-Month Treasury Bill Index (USD) | 5.46% | 2.32% | 1.65% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on April 30, 2015. For periods prior to April 30, 2015, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $269,029 | 480 | $2,351 | 277% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| U.S. Treasury Obligations | -0.1% |
| Derivative Contracts (Net) | 0.0% |
| Warrants | 0.0% |
| Preferred Stock | 0.2% |
| Mortgage-Backed Securities | 0.2% |
| Utilities | 0.5% |
| Real Estate | 0.5% |
| Financials | 1.3% |
| Consumer Staples | 1.4% |
| Health Care | 2.6% |
| Information Technology | 4.7% |
| Industrials | 4.7% |
| Loan Participations | 5.2% |
| Communication Services | 5.3% |
| Energy | 6.5% |
| Materials | 7.3% |
| Cash Equivalent | 7.5% |
| Consumer Discretionary | 8.9% |
| Registered Investment Companies | 18.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net AssetsFootnote Reference(A) |
|---|
| Merger Fund, Cl I | | | 20.3% |
| United Parcel Service Inc, Cl B | | | 1.1% |
| AT&T Inc | | | 0.9% |
| Allied Universal Holdco | | | 0.9% |
| Verizon Communications Inc | | | 0.9% |
| Penn Entertainment Inc | | | 0.9% |
| Cloud Software Group | | | 0.9% |
| Century Aluminum Co | | | 0.8% |
| Materion Corp | | | 0.8% |
| ATI Inc | | | 0.8% |
| Footnote | Description |
Footnote(A) | Cash Equivalents are not shown in the top ten chart. |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Multi-Strategy Alternative Fund
SEI Institutional Managed Trust/Class Y Shares - SMUYX
Annual Shareholder Report - September 30, 2024
SMUYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - LLOBX
This annual shareholder report contains important information about Class F Shares of the Liquid Alternative Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Liquid Alternative Fund, Class F Shares | $108 | 1.04% |
How did the Fund perform since inception?
Total Return Based on $100,000 Investment
| Liquid Alternative Fund, Class F Shares - $109107 | Bloomberg U.S. Aggregate Bond Index (USD)* - $107964 | ICE BofA U.S. 3-Month Treasury Bill Index (USD) - $106842 |
|---|
| Jun/23 | $100000 | $100000 | $100000 |
| Sep/23 | $101600 | $96769 | $101314 |
| Sep/24 | $109107 | $107964 | $106842 |
How did the Fund perform in the last year?
Class F Shares outperformed its benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index, for the 12-month period ending September 30, 2024.
The Fund’s balance sheet consists of cash equivalents, which generated positive interest income over the reporting period. The Fund generates its active return through positions in exchange traded futures contracts. The largest contributors to the Fund’s relative performance were long positions in several equity market indices, most notably the MSCI EAFE Index and the Nasdaq 100 Index, which benefited from rising stock prices over the period. Equity index exposure peaked during the first quarter of 2024, and has since been reduced, but remains significant. Currencies were a small positive contributor to the Fund’s relative performance, driven by a short position in the Japanese yen. Fixed-income trading was a detractor from performance for the reporting period. The Fund maintained a short position in 10- and 30 year government bond futures, which weighed on performance as yields declined over the period (and bond prices rose).
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | Annualized Since Inception |
|---|
| Liquid Alternative Fund, Class F Shares | 7.39% | 7.19% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 6.30% |
| ICE BofA U.S. 3-Month Treasury Bill Index (USD) | 5.46% | 5.42% |
Since its inception on June 30, 2023. The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund since inception. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) |
|---|
| $203,733 | 19 | $602 |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 1.4% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net Assets |
|---|
| AUDUSD CRNCY FUT DEC24 | | | 1.4% |
| MSCI EMGMKT DEC24 | | | 0.5% |
| MSCI EAFE DEC24 | | | 0.3% |
| NASDAQ 100 E-MINI DEC24 | | | 0.3% |
| S&P MID 400 EMINI DEC24 | | | 0.2% |
| S&P500 EMINI FUT DEC24 | | | 0.2% |
| E-MINI RUSS 2000 DEC24 | | | 0.2% |
| JPN YEN CURR FUT DEC24 | | | 0.1% |
| US LONG BOND(CBT) DEC24 | | | 0.0% |
| DOLLAR INDEX DEC24 | | | 0.0% |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - LLOBX
Annual Shareholder Report - September 30, 2024
LLOBX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - LLOAX
This annual shareholder report contains important information about Class Y Shares of the Liquid Alternative Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Liquid Alternative Fund, Class Y Shares | $83 | 0.80% |
How did the Fund perform since inception?
Total Return Based on $100,000 Investment
| Liquid Alternative Fund, Class Y Shares - $109349 | Bloomberg U.S. Aggregate Bond Index (USD)* - $107964 | ICE BofA U.S. 3-Month Treasury Bill Index (USD) - $106842 |
|---|
| Jun/23 | $100000 | $100000 | $100000 |
| Sep/23 | $101700 | $96769 | $101314 |
| Sep/24 | $109349 | $107964 | $106842 |
How did the Fund perform in the last year?
Class Y Shares outperformed its benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index, for the 12-month period ending September 30, 2024.
The Fund’s balance sheet consists of cash equivalents, which generated positive interest income over the reporting period. The Fund generates its active return through positions in exchange traded futures contracts. The largest contributors to the Fund’s relative performance were long positions in several equity market indices, most notably the MSCI EAFE Index and the Nasdaq 100 Index, which benefited from rising stock prices over the period. Equity index exposure peaked during the first quarter of 2024, and has since been reduced, but remains significant. Currencies were a small positive contributor to the Fund’s relative performance, driven by a short position in the Japanese yen. Fixed-income trading was a detractor from performance for the reporting period. The Fund maintained a short position in 10- and 30 year government bond futures, which weighed on performance as yields declined over the period (and bond prices rose).
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | Annualized Since Inception |
|---|
| Liquid Alternative Fund, Class Y Shares | 7.52% | 7.38% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 6.30% |
| ICE BofA U.S. 3-Month Treasury Bill Index (USD) | 5.46% | 5.42% |
Since its inception on June 30, 2023. The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund since inception. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) |
|---|
| $203,733 | 19 | $602 |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 1.4% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net Assets |
|---|
| AUDUSD CRNCY FUT DEC24 | | | 1.4% |
| MSCI EMGMKT DEC24 | | | 0.5% |
| MSCI EAFE DEC24 | | | 0.3% |
| NASDAQ 100 E-MINI DEC24 | | | 0.3% |
| S&P MID 400 EMINI DEC24 | | | 0.2% |
| S&P500 EMINI FUT DEC24 | | | 0.2% |
| E-MINI RUSS 2000 DEC24 | | | 0.2% |
| JPN YEN CURR FUT DEC24 | | | 0.1% |
| US LONG BOND(CBT) DEC24 | | | 0.0% |
| DOLLAR INDEX DEC24 | | | 0.0% |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - LLOAX
Annual Shareholder Report - September 30, 2024
LLOAX-AR-24
Annual Shareholder Report - September 30, 2024
Multi-Asset Accumulation Fund
SEI Institutional Managed Trust/Class F Shares - SAAAX
This annual shareholder report contains important information about Class F Shares of the Multi-Asset Accumulation Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Multi-Asset Accumulation Fund, Class F Shares | $127 | 1.17% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Multi-Asset Accumulation Fund, Class F Shares - $140726 | MSCI ACWI ex-USA Index (Net) (USD)* - $166302 | 60% MSCI World Index (Net)(Hedged)(USD) / 40% Bloomberg Global Aggregate Index (Hedged) (USD) - $213690 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $96017 | $87837 | $100835 |
| Sep/16 | $106925 | $95968 | $110212 |
| Sep/17 | $111559 | $114787 | $121992 |
| Sep/18 | $114829 | $116810 | $131883 |
| Sep/19 | $128544 | $115375 | $140991 |
| Sep/20 | $130484 | $118838 | $151939 |
| Sep/21 | $148406 | $147259 | $177362 |
| Sep/22 | $117557 | $110199 | $153239 |
| Sep/23 | $120600 | $132667 | $174005 |
| Sep/24 | $140726 | $166302 | $213690 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, a hybrid of 60% MSCI World Index (Net) (USD Hedged) and 40% Bloomberg Global Aggregate Index (USD Hedged) for the 12-month period ending September 30, 2024.
The Fund's underweight position in global equities detracted from performance for the reporting period, while its broad exposure to commodities and overweight allocation to global sovereign bonds, including global inflation-linked bonds, contributed to relative performance.
Among the Fund’s sub-advisors, AQR Capital Management, LLC and PanAgora Asset Management Inc. underperformed the hybrid benchmark during the reporting period due mainly to their underweight allocations to global equities, which performed well, driven by resilient corporate earnings and improving economic sentiment, particularly in the U.S. Overweights to inflation-related assets and nominal bonds benefited both managers. Commodities saw mixed performance but generally ended the period with positive returns; energy prices declined, while precious metals outperformed. Nominal bonds benefited from the anticipation of interest-rate cuts by central banks, and, despite signs of moderating inflation, Treasury Inflation-Protected Securities (TIPS) were supported by attractive yields relative to nominal Treasuries. SEI Investments Management Corporation (SIMC) replaced PanAgora Asset Management Inc. after the sub-advisor was terminated late in the reporting period. SIMC’s performance was bolstered by inflation-related assets such as TIPS, and positions in commodities, which performed well in August and September, despite signs of moderating inflation.
Derivatives had a significant impact on Fund performance for the reporting period. Sovereign bond index futures, interest-rate swaps, and sovereign bond total-return swaps produced positive returns as global interest rates declined. Developed and emerging-market equity futures contributed positively to performance. The Fund's strategic commodity exposure through futures and swaps also benefited performance. Forward-currency contracts on emerging-market currencies detracted from the Fund’s absolute and relative performance, while developed-market currency forward contracts, used to hedge foreign-currency risk against the U.S. dollar, had a positive impact for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Multi-Asset Accumulation Fund, Class F Shares | 16.69% | 1.83% | 3.48% |
| MSCI ACWI ex-USA Index (Net) (USD)* | 25.35% | 7.59% | 5.22% |
| 60% MSCI World Index (Net)(Hedged)(USD) / 40% Bloomberg Global Aggregate Index (Hedged) (USD) | 22.81% | 8.67% | 7.89% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,328,151 | 301 | $9,985 | 75% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Warrant | 0.0% |
| Foreign Common Stock | 0.0% |
| Rights | 0.0% |
| Derivative Contracts (Net) | 1.8% |
| Sovereign Debt | 7.1% |
| U.S. Treasury Obligations | 64.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net Assets |
|---|
| U.S. Treasury Bills, 4.61%, 10/8/2024 | | | 8.3% |
| U.S. Treasury Bills, 5.30%, 11/14/2024 | | | 8.0% |
| U.S. Treasury Bills, 5.29%, 12/5/2024 | | | 6.7% |
| U.S. Treasury Bills, 4.69%, 10/29/2024 | | | 4.5% |
| U.S. Treasury Bills, 4.66%, 10/15/2024 | | | 3.8% |
| U.S. Treasury Inflation Protected Securities, 0.13%, 1/15/2032 | | | 2.0% |
| U.S. Treasury Inflation Protected Securities, 1.75%, 1/15/2034 | | | 2.0% |
| U.S. Treasury Bills, 5.28%, 12/26/2024 | | | 2.0% |
| U.S. Treasury Inflation Protected Securities, 1.38%, 7/15/2033 | | | 2.0% |
| U.S. Treasury Inflation Protected Securities, 0.13%, 7/15/2031 | | | 1.9% |
PanAgora Asset Management Inc. was terminated as a sub-advisor to the Fund, and SIMC was added to directly manage a portion of the Fund’s assets during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Multi-Asset Accumulation Fund
SEI Institutional Managed Trust/Class F Shares - SAAAX
Annual Shareholder Report - September 30, 2024
SAAAX-AR-24
Annual Shareholder Report - September 30, 2024
Multi-Asset Accumulation Fund
SEI Institutional Managed Trust/Class Y Shares - SMOYX
This annual shareholder report contains important information about Class Y Shares of the Multi-Asset Accumulation Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Multi-Asset Accumulation Fund, Class Y Shares | $100 | 0.92% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Multi-Asset Accumulation Fund, Class Y Shares - $143938 | MSCI ACWI ex-USA Index (Net) (USD)* - $166302 | 60% MSCI World Index (Net)(Hedged)(USD) / 40% Bloomberg Global Aggregate Index (Hedged) (USD) - $213690 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $96219 | $87837 | $100835 |
| Sep/16 | $107434 | $95968 | $110212 |
| Sep/17 | $112325 | $114787 | $121992 |
| Sep/18 | $115836 | $116810 | $131883 |
| Sep/19 | $129922 | $115375 | $140991 |
| Sep/20 | $132188 | $118838 | $151939 |
| Sep/21 | $150634 | $147259 | $177362 |
| Sep/22 | $119648 | $110199 | $153239 |
| Sep/23 | $122910 | $132667 | $174005 |
| Sep/24 | $143938 | $166302 | $213690 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, a hybrid of 60% MSCI World Index (Net) (USD Hedged) and 40% Bloomberg Global Aggregate Index (USD Hedged) for the 12-month period ending September 30, 2024.
The Fund's underweight position in global equities detracted from performance for the reporting period, while its broad exposure to commodities and overweight allocation to global sovereign bonds, including global inflation-linked bonds, contributed to relative performance.
Among the Fund’s sub-advisors, AQR Capital Management, LLC and PanAgora Asset Management Inc. underperformed the hybrid benchmark during the reporting period due mainly to their underweight allocations to global equities, which performed well, driven by resilient corporate earnings and improving economic sentiment, particularly in the U.S. Overweights to inflation-related assets and nominal bonds benefited both managers. Commodities saw mixed performance but generally ended the period with positive returns; energy prices declined, while precious metals outperformed. Nominal bonds benefited from the anticipation of interest-rate cuts by central banks, and, despite signs of moderating inflation, Treasury Inflation-Protected Securities (TIPS) were supported by attractive yields relative to nominal Treasuries. SEI Investments Management Corporation (SIMC) replaced PanAgora Asset Management Inc. after the sub-advisor was terminated late in the reporting period. SIMC’s performance was bolstered by inflation-related assets such as TIPS, and positions in commodities, which performed well in August and September, despite signs of moderating inflation.
Derivatives had a significant impact on Fund performance for the reporting period. Sovereign bond index futures, interest-rate swaps, and sovereign bond total-return swaps produced positive returns as global interest rates declined. Developed and emerging-market equity futures contributed positively to performance. The Fund's strategic commodity exposure through futures and swaps also benefited performance. Forward-currency contracts on emerging-market currencies detracted from the Fund’s absolute and relative performance, while developed-market currency forward contracts, used to hedge foreign-currency risk against the U.S. dollar, had a positive impact for the period.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Multi-Asset Accumulation Fund, Class Y Shares | 17.11% | 2.07% | 3.71% |
MSCI ACWI ex-USA Index (Net) (USD)Footnote Reference* | 25.35% | 7.59% | 5.22% |
| 60% MSCI World Index (Net)(Hedged)(USD) / 40% Bloomberg Global Aggregate Index (Hedged) (USD) | 22.81% | 8.67% | 7.89% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $1,328,151 | 301 | $9,985 | 75% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Warrant | 0.0% |
| Foreign Common Stock | 0.0% |
| Rights | 0.0% |
| Derivative Contracts (Net) | 1.8% |
| Sovereign Debt | 7.1% |
| U.S. Treasury Obligations | 64.1% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net Assets |
|---|
| U.S. Treasury Bills, 4.61%, 10/8/2024 | | | 8.3% |
| U.S. Treasury Bills, 5.30%, 11/14/2024 | | | 8.0% |
| U.S. Treasury Bills, 5.29%, 12/5/2024 | | | 6.7% |
| U.S. Treasury Bills, 4.69%, 10/29/2024 | | | 4.5% |
| U.S. Treasury Bills, 4.66%, 10/15/2024 | | | 3.8% |
| U.S. Treasury Inflation Protected Securities, 0.13%, 1/15/2032 | | | 2.0% |
| U.S. Treasury Inflation Protected Securities, 1.75%, 1/15/2034 | | | 2.0% |
| U.S. Treasury Bills, 5.28%, 12/26/2024 | | | 2.0% |
| U.S. Treasury Inflation Protected Securities, 1.38%, 7/15/2033 | | | 2.0% |
| U.S. Treasury Inflation Protected Securities, 0.13%, 7/15/2031 | | | 1.9% |
PanAgora Asset Management Inc. was terminated as a sub-advisor to the Fund, and SIMC was added to directly manage a portion of the Fund’s assets during the reporting period.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Multi-Asset Accumulation Fund
SEI Institutional Managed Trust/Class Y Shares - SMOYX
Annual Shareholder Report - September 30, 2024
SMOYX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class F Shares - SIOAX
This annual shareholder report contains important information about Class F Shares of the Multi-Asset Income Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Multi-Asset Income Fund, Class F Shares | $87 | 0.80% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Multi-Asset Income Fund, Class F Shares - $153741 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | 45% Bloomberg U.S. Aggregate Bond Index / 40% ICE BofA U.S. High Yield Constrained Index / 15% MSCI ACWI (Net) - $159889 | 45% Bloomberg U.S. Aggregate Bond Index/ 40% ICE BofA U.S. High Yield Constrained Index/ 15% S&P 500 Index - $138238 |
|---|
| Sep/14 | $100000 | $100000 | $100000 | $100000 |
| Sep/15 | $103331 | $102941 | $99870 | $99870 |
| Sep/16 | $110961 | $108286 | $109697 | $109697 |
| Sep/17 | $118615 | $108364 | $116600 | $116600 |
| Sep/18 | $120466 | $107047 | $120329 | $120329 |
| Sep/19 | $130456 | $118068 | $129956 | $129956 |
| Sep/20 | $132880 | $126315 | $138596 | $138596 |
| Sep/21 | $145599 | $125184 | $150138 | $150138 |
| Sep/22 | $121977 | $106908 | $128583 | $128583 |
| Sep/23 | $131903 | $107597 | $137710 | $138238 |
| Sep/24 | $153741 | $120044 | $159889 | $138238 |
How did the Fund perform in the last year?
Class F Shares modestly outperformed its benchmark, a hybrid of 45% Bloomberg U.S. Aggregate Bond Index, 40% ICE BofA U.S. High Yield Constrained Index, and 15% MSCI ACWI Index (Net), for the 12-month period ending September 30, 2024.
The Fund’s holdings in dividend-paying stocks enhanced performance for the reporting period. An overweight allocation to emerging-market debt also contributed to Fund performance, benefiting from lower financing costs as interest rates declined. Overweights to bank loans and collateralized loan obligations (CLOs) further boosted Fund performance. Default rates in the leveraged loan market remained low, supporting the performance of both bank loans and CLOs as they offered higher yields without significantly increased credit risk.
SEI Investments Management Corporation, the Fund’s dividend equity manager, outperformed the hybrid benchmark for the reporting period, driven by healthy corporate earnings and improving economic sentiment. Among the Fund’s sub-advisors, Goldman Sachs Asset Management, L.P. benefited from an overweight allocation to emerging-market debt, which outperformed developed-market bonds over the reporting period. Western Asset Management Company underperformed the Fund’s benchmark, attributable to its underweight in high-yield debt, which outpaced investment-grade credit due to investor confidence in low default rates and healthy corporate balance sheets. Barings LLC outperformed after it was hired as a Fund sub-advisor in the second half of the period, and benefited from an overweight to the securitized sector (mainly asset-backed securities and commercial mortgage-backed securities).
The Fund’s use of derivatives during the period included total-return swaps on bond futures, interest-rate swaps, futures and options on exchange-traded funds, equity indexes, credit default swaps, and currency forwards. These were employed for fixed-income relative value, option income-generation, and interest-rate risk hedging. Interest-rate futures benefited Fund performance as yields declined. Interest-rate swaps weighed on performance. Currency forwards and exposure to investment-grade credit and high-yield bonds through credit default swaps had a slightly positive effect on Fund performance.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Multi-Asset Income Fund, Class F Shares | 16.56% | 3.34% | 4.39% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 0.33% | 1.84% |
| 45% Bloomberg U.S. Aggregate Bond Index / 40% ICE BofA U.S. High Yield Constrained Index / 15% MSCI ACWI (Net) | 16.11% | 4.23% | 4.80% |
| 45% Bloomberg U.S. Aggregate Bond Index/ 40% ICE BofA U.S. High Yield Constrained Index/ 15% S&P 500 Index | 16.72% | 4.42% | 4.90% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $556,021 | 1,196 | $2,497 | 68% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 0.0% |
| Warrants | 0.0% |
| Municipal Bond | 0.0% |
| Utilities | 0.2% |
| Materials | 0.3% |
| Convertible Bonds | 0.4% |
| Real Estate | 0.6% |
| Industrials | 0.7% |
| Communication Services | 1.0% |
| Consumer Discretionary | 1.2% |
| Information Technology | 1.2% |
| Energy | 1.8% |
| U.S. Treasury Obligations | 1.9% |
| Health Care | 2.9% |
| Consumer Staples | 3.0% |
| Financials | 4.2% |
| Loan Participations | 5.1% |
| Sovereign Debt | 8.7% |
| Mortgage-Backed Securities | 11.1% |
| Asset-Backed Securities | 12.6% |
| Corporate Obligations | 38.7% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net Assets |
|---|
| U.S. Treasury Bills, 4.90%, 2/6/2025 | | | 1.1% |
| U.S. Treasury Bills, 5.19%, 11/26/2024 | | | 0.8% |
| AbbVie Inc | | | 0.4% |
| Oracle | | | 0.4% |
| Verizon Communications Inc | | | 0.4% |
| Johnson & Johnson | | | 0.4% |
| Altria Group Inc | | | 0.4% |
| Oversea-Chinese Banking Corp Ltd | | | 0.4% |
| Coca-Cola Co/The | | | 0.4% |
| Philip Morris International Inc | | | 0.4% |
Barings LLC was added as a Fund sub-advisor during the reporting period. In the upcoming reporting period, Western Asset Management Company, LLC, Western Asset Management Company Limited and Western Asset Management Company PTE Ltd will be removed from the Fund.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class F Shares - SIOAX
Annual Shareholder Report - September 30, 2024
SIOAX-AR-24
Annual Shareholder Report - September 30, 2024
SEI Institutional Managed Trust/Class Y Shares - SLIYX
This annual shareholder report contains important information about Class Y Shares of the Multi-Asset Income Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000. This annual shareholder report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Multi-Asset Income Fund, Class Y Shares | $76 | 0.70% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Multi-Asset Income Fund, Class Y Shares - $155214 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | 45% Bloomberg U.S. Aggregate Bond Index / 40% ICE BofA U.S. High Yield Constrained Index / 15% MSCI ACWI (Net) - $159889 | 45% Bloomberg U.S. Aggregate Bond Index/ 40% ICE BofA U.S. High Yield Constrained Index/ 15% S&P 500 Index - $138238 |
|---|
| Sep/14 | $100000 | $100000 | $100000 | $100000 |
| Sep/15 | $103399 | $102941 | $99870 | $99870 |
| Sep/16 | $111139 | $108286 | $109697 | $109697 |
| Sep/17 | $118923 | $108364 | $116600 | $116600 |
| Sep/18 | $120901 | $107047 | $120329 | $120329 |
| Sep/19 | $131045 | $118068 | $129956 | $129956 |
| Sep/20 | $133613 | $126315 | $138596 | $138596 |
| Sep/21 | $146553 | $125184 | $150138 | $150138 |
| Sep/22 | $122899 | $106908 | $128583 | $128583 |
| Sep/23 | $133034 | $107597 | $137710 | $138238 |
| Sep/24 | $155214 | $120044 | $159889 | $138238 |
How did the Fund perform in the last year?
Class Y Shares modestly outperformed its benchmark, a hybrid of 45% Bloomberg U.S. Aggregate Bond Index, 40% ICE BofA U.S. High Yield Constrained Index, and 15% MSCI ACWI Index (Net), for the 12-month period ending September 30, 2024.
The Fund’s holdings in dividend-paying stocks enhanced performance for the reporting period. An overweight allocation to emerging-market debt also contributed to Fund performance, benefiting from lower financing costs as interest rates declined. Overweights to bank loans and collateralized loan obligations (CLOs) further boosted Fund performance. Default rates in the leveraged loan market remained low, supporting the performance of both bank loans and CLOs as they offered higher yields without significantly increased credit risk.
SEI Investments Management Corporation, the Fund’s dividend equity manager, outperformed the hybrid benchmark for the reporting period, driven by healthy corporate earnings and improving economic sentiment. Among the Fund’s sub-advisors, Goldman Sachs Asset Management, L.P. benefited from an overweight allocation to emerging-market debt, which outperformed developed-market bonds over the reporting period. Western Asset Management Company underperformed the Fund’s benchmark, attributable to its underweight in high-yield debt, which outpaced investment-grade credit due to investor confidence in low default rates and healthy corporate balance sheets. Barings LLC outperformed after it was hired as a Fund sub-advisor in the second half of the period, and benefited from an overweight to the securitized sector (mainly asset-backed securities and commercial mortgage-backed securities).
The Fund’s use of derivatives during the period included total-return swaps on bond futures, interest-rate swaps, futures and options on exchange-traded funds, equity indexes, credit default swaps, and currency forwards. These were employed for fixed-income relative value, option income-generation, and interest-rate risk hedging. Interest-rate futures benefited Fund performance as yields declined. Interest-rate swaps weighed on performance. Currency forwards and exposure to investment-grade credit and high-yield bonds through credit default swaps had a slightly positive effect on Fund performance.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Multi-Asset Income Fund, Class Y Shares | 16.67% | 3.44% | 4.49% |
Bloomberg U.S. Aggregate Bond Index (USD)Footnote Reference* | 11.57% | 0.33% | 1.84% |
| 45% Bloomberg U.S. Aggregate Bond Index / 40% ICE BofA U.S. High Yield Constrained Index / 15% MSCI ACWI (Net) | 16.11% | 4.23% | 4.80% |
| 45% Bloomberg U.S. Aggregate Bond Index/ 40% ICE BofA U.S. High Yield Constrained Index/ 15% S&P 500 Index | 16.72% | 4.42% | 4.90% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $556,021 | 1,196 | $2,497 | 68% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 0.0% |
| Warrants | 0.0% |
| Municipal Bond | 0.0% |
| Utilities | 0.2% |
| Materials | 0.3% |
| Convertible Bonds | 0.4% |
| Real Estate | 0.6% |
| Industrials | 0.7% |
| Communication Services | 1.0% |
| Consumer Discretionary | 1.2% |
| Information Technology | 1.2% |
| Energy | 1.8% |
| U.S. Treasury Obligations | 1.9% |
| Health Care | 2.9% |
| Consumer Staples | 3.0% |
| Financials | 4.2% |
| Loan Participations | 5.1% |
| Sovereign Debt | 8.7% |
| Mortgage-Backed Securities | 11.1% |
| Asset-Backed Securities | 12.6% |
| Corporate Obligations | 38.7% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net Assets |
|---|
| U.S. Treasury Bills, 4.90%, 2/6/2025 | | | 1.1% |
| U.S. Treasury Bills, 5.19%, 11/26/2024 | | | 0.8% |
| AbbVie Inc | | | 0.4% |
| Oracle | | | 0.4% |
| Verizon Communications Inc | | | 0.4% |
| Johnson & Johnson | | | 0.4% |
| Altria Group Inc | | | 0.4% |
| Oversea-Chinese Banking Corp Ltd | | | 0.4% |
| Coca-Cola Co/The | | | 0.4% |
| Philip Morris International Inc | | | 0.4% |
Barings LLC was added as a Fund sub-advisor during the reporting period. In the upcoming reporting period, Western Asset Management Company, LLC, Western Asset Management Company Limited and Western Asset Management Company PTE Ltd will be removed from the Fund.
This is a summary of certain changes to the Fund as of September 30, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by January 28, 2025, at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports or upon request at 1-800-DIAL-SEI.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
SEI Institutional Managed Trust/Class Y Shares - SLIYX
Annual Shareholder Report - September 30, 2024
SLIYX-AR-24
Annual Shareholder Report - September 30, 2024
Multi-Asset Inflation Managed Fund
SEI Institutional Managed Trust/Class F Shares - SIFAX
This annual shareholder report contains important information about Class F Shares of the Multi-Asset Inflation Managed Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Multi-Asset Inflation Managed Fund, Class F Shares | $196 | 1.90% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Multi-Asset Inflation Managed Fund, Class F Shares - $116167 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | Bloomberg 1-5 Year U.S. TIPS Index (70%)/Bloomberg Commodity Index Total Return Index (20%)/S&P 500 Index (10%) - $137184 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $93184 | $102941 | $93804 |
| Sep/16 | $94168 | $108286 | $97014 |
| Sep/17 | $92222 | $108364 | $98739 |
| Sep/18 | $93184 | $107047 | $101501 |
| Sep/19 | $92608 | $118068 | $103324 |
| Sep/20 | $89448 | $126315 | $107305 |
| Sep/21 | $102609 | $125184 | $123264 |
| Sep/22 | $107841 | $106908 | $120929 |
| Sep/23 | $109411 | $107597 | $125649 |
| Sep/24 | $116167 | $120044 | $137184 |
How did the Fund perform in the last year?
Class F Shares underperformed its benchmark, a hybrid of 70% Bloomberg 1-5 Year U.S. TIPS Index, 20% Bloomberg Commodity Index, and 10% S&P 500 Index (Gross).
The Fund’s underperformance over the reporting period was due mainly to its commodities exposure, which saw mixed performance. Precious metals, especially gold and silver, led other sectors due to demand for “safe-haven” investments, central bank purchases, and periods of U.S. dollar weakness. The energy sector lagged the overall market as oil and natural gas prices fell amid declining global demand and milder weather. The Fund’s equity long/short strategy detracted from performance as inflation moderated, with less inflation-sensitive sectors outperforming those with greater inflation-sensitivity. Holdings in the energy sector detracted from Fund performance due to pressured crude oil prices. Treasury Inflation-Protected Securities (TIPS) contributed positively to Fund performance, supported by expectations of Federal Reserve interest-rate cuts and stabilizing inflation, and improving yields versus U.S. Treasurys.
Columbia Management Investment Advisers, LLC and Credit Suisse Asset Management, LLC (the Fund’s commodities sub-advisors) underperformed the Fund’s hybrid benchmark due to mixed performance for commodities. Franklin Advisers, Inc. (equity long/short sub-advisor) underperformed the benchmark as less inflation-sensitive sectors outperformed. AllianceBernstein L.P. outperformed, benefiting from its mandate’s overweight credit exposure amid tighter credit spreads, especially in below-investment-grade bonds.
Regarding the use of derivatives during the reporting period, the Fund employed equity-index futures to hedge broad equity-market exposure; bond futures and interest-rate swaps for duration hedging; credit default swaps (CDS) to hedge credit risk; and commodity futures for diversified strategic commodities exposure. Commodity and bond futures contributed positively to Fund performance, while equity-index futures, interest-rate swaps, and CDS were detractors but provided intended hedging.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Multi-Asset Inflation Managed Fund, Class F Shares | 6.18% | 4.64% | 1.51% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 0.33% | 1.84% |
| Bloomberg 1-5 Year U.S. TIPS Index (70%)/Bloomberg Commodity Index Total Return Index (20%)/S&P 500 Index (10%) | 9.18% | 5.83% | 3.21% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $580,285 | 1,502 | $2,068 | 43% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Reverse Repurchase Agreement | -12.3% |
| Rights | 0.0% |
| Real Estate | 0.1% |
| Foreign Common Stock | 0.1% |
| Materials | 0.1% |
| Health Care | 0.2% |
| Sovereign Debt | 0.2% |
| Information Technology | 0.3% |
| Communication Services | 0.5% |
| Derivative Contracts (Net) | 0.6% |
| Utilities | 0.7% |
| Consumer Staples | 0.8% |
| Consumer Discretionary | 0.8% |
| Industrials | 0.8% |
| Energy | 0.9% |
| U.S. Government Agency Obligations | 1.7% |
| Financials | 3.8% |
| Asset-Backed Securities | 4.1% |
| Mortgage-Backed Securities | 4.4% |
| Common Stock | 15.1% |
| U.S. Treasury Obligations | 62.3% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net Assets |
|---|
| U.S. Treasury Inflation Protected Securities, 0.38%, 7/15/2027 | | | 25.7% |
| U.S. Treasury Inflation Protected Securities, 0.75%, 7/15/2028 | | | 11.1% |
| U.S. Treasury Inflation Protected Securities, 0.25%, 7/15/2029 | | | 7.0% |
| Exxon Mobil Corp | | | 1.9% |
| U.S. Treasury Notes, 4.80%, 1/31/2026 | | | 1.7% |
| U.S. Treasury Notes, 4.72%, 4/30/2025 | | | 1.2% |
| U.S. Treasury Bills, 5.30%, 11/14/2024 | | | 1.2% |
| U.S. Treasury Bills, 5.24%, 11/21/2024 | | | 1.2% |
| U.S. Treasury Bills, 4.60%, 11/29/2024 | | | 1.2% |
| U.S. Treasury Notes, 4.72%, 10/31/2025 | | | 1.2% |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Multi-Asset Inflation Managed Fund
SEI Institutional Managed Trust/Class F Shares - SIFAX
Annual Shareholder Report - September 30, 2024
SIFAX-AR-24
Annual Shareholder Report - September 30, 2024
Multi-Asset Inflation Managed Fund
SEI Institutional Managed Trust/Class Y Shares - SLFYX
This annual shareholder report contains important information about Class Y Shares of the Multi-Asset Inflation Managed Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Multi-Asset Inflation Managed Fund, Class Y Shares | $169 | 1.64% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Multi-Asset Inflation Managed Fund, Class Y Shares - $119045 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | Bloomberg 1-5 Year U.S. TIPS Index (70%)/Bloomberg Commodity Index Total Return Index (20%)/S&P 500 Index (10%) - $137184 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $93397 | $102941 | $93804 |
| Sep/16 | $94609 | $108286 | $97014 |
| Sep/17 | $92811 | $108364 | $98739 |
| Sep/18 | $94009 | $107047 | $101501 |
| Sep/19 | $93677 | $118068 | $103324 |
| Sep/20 | $90708 | $126315 | $107305 |
| Sep/21 | $104302 | $125184 | $123264 |
| Sep/22 | $109890 | $106908 | $120929 |
| Sep/23 | $111812 | $107597 | $125649 |
| Sep/24 | $119045 | $120044 | $137184 |
How did the Fund perform in the last year?
Class Y Shares underperformed its benchmark, a hybrid of 70% Bloomberg 1-5 Year U.S. TIPS Index, 20% Bloomberg Commodity Index, and 10% S&P 500 Index (Gross).
The Fund’s underperformance over the reporting period was due mainly to its commodities exposure, which saw mixed performance. Precious metals, especially gold and silver, led other sectors due to demand for “safe-haven” investments, central bank purchases, and periods of U.S. dollar weakness. The energy sector lagged the overall market as oil and natural gas prices fell amid declining global demand and milder weather. The Fund’s equity long/short strategy detracted from performance as inflation moderated, with less inflation-sensitive sectors outperforming those with greater inflation-sensitivity. Holdings in the energy sector detracted from Fund performance due to pressured crude oil prices. Treasury Inflation-Protected Securities (TIPS) contributed positively to Fund performance, supported by expectations of Federal Reserve interest-rate cuts and stabilizing inflation, and improving yields versus U.S. Treasurys.
Columbia Management Investment Advisers, LLC and Credit Suisse Asset Management, LLC (the Fund’s commodities sub-advisors) underperformed the Fund’s hybrid benchmark due to mixed performance for commodities. Franklin Advisers, Inc. (equity long/short sub-advisor) underperformed the benchmark as less inflation-sensitive sectors outperformed. AllianceBernstein L.P. outperformed, benefiting from its mandate’s overweight credit exposure amid tighter credit spreads, especially in below-investment-grade bonds.
Regarding the use of derivatives during the reporting period, the Fund employed equity-index futures to hedge broad equity-market exposure; bond futures and interest-rate swaps for duration hedging; credit default swaps (CDS) to hedge credit risk; and commodity futures for diversified strategic commodities exposure. Commodity and bond futures contributed positively to Fund performance, while equity-index futures, interest-rate swaps, and CDS were detractors but provided intended hedging.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Multi-Asset Inflation Managed Fund, Class Y Shares | 6.47% | 4.91% | 1.76% |
Bloomberg U.S. Aggregate Bond Index (USD)Footnote Reference* | 11.57% | 0.33% | 1.84% |
| Bloomberg 1-5 Year U.S. TIPS Index (70%)/Bloomberg Commodity Index Total Return Index (20%)/S&P 500 Index (10%) | 9.18% | 5.83% | 3.21% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $580,285 | 1,502 | $2,068 | 43% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Reverse Repurchase Agreement | -12.3% |
| Rights | 0.0% |
| Real Estate | 0.1% |
| Foreign Common Stock | 0.1% |
| Materials | 0.1% |
| Health Care | 0.2% |
| Sovereign Debt | 0.2% |
| Information Technology | 0.3% |
| Communication Services | 0.5% |
| Derivative Contracts (Net) | 0.6% |
| Utilities | 0.7% |
| Consumer Staples | 0.8% |
| Consumer Discretionary | 0.8% |
| Industrials | 0.8% |
| Energy | 0.9% |
| U.S. Government Agency Obligations | 1.7% |
| Financials | 3.8% |
| Asset-Backed Securities | 4.1% |
| Mortgage-Backed Securities | 4.4% |
| Common Stock | 15.1% |
| U.S. Treasury Obligations | 62.3% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net Assets |
|---|
| U.S. Treasury Inflation Protected Securities, 0.38%, 7/15/2027 | | | 25.7% |
| U.S. Treasury Inflation Protected Securities, 0.75%, 7/15/2028 | | | 11.1% |
| U.S. Treasury Inflation Protected Securities, 0.25%, 7/15/2029 | | | 7.0% |
| Exxon Mobil Corp | | | 1.9% |
| U.S. Treasury Notes, 4.80%, 1/31/2026 | | | 1.7% |
| U.S. Treasury Notes, 4.72%, 4/30/2025 | | | 1.2% |
| U.S. Treasury Bills, 5.30%, 11/14/2024 | | | 1.2% |
| U.S. Treasury Bills, 5.24%, 11/21/2024 | | | 1.2% |
| U.S. Treasury Bills, 4.60%, 11/29/2024 | | | 1.2% |
| U.S. Treasury Notes, 4.72%, 10/31/2025 | | | 1.2% |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Multi-Asset Inflation Managed Fund
SEI Institutional Managed Trust/Class Y Shares - SLFYX
Annual Shareholder Report - September 30, 2024
SLFYX-AR-24
Annual Shareholder Report - September 30, 2024
Multi-Asset Capital Stability Fund
SEI Institutional Managed Trust/Class F Shares - SCLAX
This annual shareholder report contains important information about Class F Shares of the Multi-Asset Capital Stability Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Multi-Asset Capital Stability Fund, Class F Shares | $65 | 0.62% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Multi-Asset Capital Stability Fund, Class F Shares - $127784 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | 95% Bloomberg 1-3 Year U.S. Government/Credit Index / 5% S&P 500 Index - $125022 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $100571 | $102941 | $101127 |
| Sep/16 | $102052 | $108286 | $103161 |
| Sep/17 | $103872 | $108364 | $104714 |
| Sep/18 | $105686 | $107047 | $105810 |
| Sep/19 | $109851 | $118068 | $110786 |
| Sep/20 | $112650 | $126315 | $115665 |
| Sep/21 | $116337 | $125184 | $117588 |
| Sep/22 | $111402 | $106908 | $111086 |
| Sep/23 | $116075 | $107597 | $115199 |
| Sep/24 | $127784 | $120044 | $125022 |
How did the Fund perform in the last year?
Class F Shares outperformed its blended benchmark (95% Bloomberg 1-3 Year U.S. Government/Credit Index /5% S&P 500 Index) for the 12 months ending September 30, 2024, with positive absolute performance meeting mandate expectations.
An overweight allocation to global equities enhanced Fund performance for the reporting period. Equities were the top-performing asset class over the period. A tactical U.S. Treasury Inflation-Protected Securities (TIPS) overweight benefited Fund performance, supported by Federal Reserve rate-cut expectations and improved real yields versus nominal Treasurys. An underweight to nominal bonds detracted from performance, as returns on cash (the Fund's primary risk-mitigation asset) lagged those of major developed bond markets.
Among the Fund’s sub-advisors, Janus Henderson Investors US LLC (Janus) and AllianceBernstein L.P. (AllianceBernstein) outperformed the hybrid benchmark over the reporting period. Both managers benefited from overweights to equities, driven by strong corporate earnings, improving economic sentiment, and innovations such as artificial intelligence (AI) fueling market growth, especially in the U.S. AllianceBernstein was bolstered by its overweight to TIPS, which benefited from attractive real yields. Both Janus and AllianceBernstein were challenged by underweights to U.S. Treasurys, which outperformed cash as bond yields moderated during the period.
During the reporting period, the Fund employed various derivatives: credit-default swaps, equity-index futures, bond-index futures, interest-rate swaps, equity options, interest-rate swaptions, and currency forwards. Stock index futures in developed-market equities contributed positively to performance, while interest-rate futures and swaps benefited as global rates generally declined. Fund performance also benefited from small credit-default swap positions in high-yield and investment-grade credit, as well as forward-currency contracts on developed-market currencies, used to hedge foreign-currency risk against the U.S. dollar.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Multi-Asset Capital Stability Fund, Class F Shares | 10.09% | 3.07% | 2.48% |
| Bloomberg U.S. Aggregate Bond Index (USD)* | 11.57% | 0.33% | 1.84% |
| 95% Bloomberg 1-3 Year U.S. Government/Credit Index / 5% S&P 500 Index | 8.53% | 2.45% | 2.26% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $507,841 | 305 | $1,943 | 203% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 0.8% |
| Common Stock | 0.9% |
| Cash Collateral | 1.0% |
| Registered Investment Companies | 1.2% |
| U.S. Government Agency Obligations | 2.3% |
| Sovereign Debt | 15.3% |
| Commercial Paper | 36.2% |
| U.S. Treasury Obligations | 40.5% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net Assets |
|---|
| U.S. Treasury Bills, 5.23%, 10/24/2024 | | | 15.7% |
| Japan Treasury Discount Bill | | | 15.3% |
| U.S. Treasury Bills, 5.18%, 10/31/2024 | | | 8.7% |
| Intesa Sanpaolo | | | 1.9% |
| Brookfield Infrastructure | | | 1.9% |
| Becton, Dickinson and Company | | | 1.9% |
| DENTSPLY SIRONA Inc | | | 1.9% |
| Glencore plc | | | 1.9% |
| Oglethorpe Power | | | 1.9% |
| U.S. Treasury Bills, 5.27%, 10/10/2024 | | | 1.9% |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Multi-Asset Capital Stability Fund
SEI Institutional Managed Trust/Class F Shares - SCLAX
Annual Shareholder Report - September 30, 2024
SCLAX-AR-24
Annual Shareholder Report - September 30, 2024
Multi-Asset Capital Stability Fund
SEI Institutional Managed Trust/Class Y Shares - SMLYX
This annual shareholder report contains important information about Class Y Shares of the Multi-Asset Capital Stability Fund (the "Fund") for the period from October 1, 2023 to September 30, 2024. You can find additional information about the Fund at https://www.seic.com/mutual-fund-documentation/prospectuses-and-reports. You can also request this information by contacting us at 610-676-1000.
What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Multi-Asset Capital Stability Fund, Class Y Shares | $55 | 0.52% |
How did the Fund perform during the last 10 years?
Total Return Based on $100,000 Investment
| Multi-Asset Capital Stability Fund, Class Y Shares - $129145 | Bloomberg U.S. Aggregate Bond Index (USD)* - $120044 | 95% Bloomberg 1-3 Year U.S. Government/Credit Index / 5% S&P 500 Index - $125022 |
|---|
| Sep/14 | $100000 | $100000 | $100000 |
| Sep/15 | $100670 | $102941 | $101127 |
| Sep/16 | $102252 | $108286 | $103161 |
| Sep/17 | $104170 | $108364 | $104714 |
| Sep/18 | $106091 | $107047 | $105810 |
| Sep/19 | $110380 | $118068 | $110786 |
| Sep/20 | $113297 | $126315 | $115665 |
| Sep/21 | $117223 | $125184 | $117588 |
| Sep/22 | $112269 | $106908 | $111086 |
| Sep/23 | $117094 | $107597 | $115199 |
| Sep/24 | $129145 | $120044 | $125022 |
How did the Fund perform in the last year?
Class Y Shares outperformed its blended benchmark (95% Bloomberg 1-3 Year U.S. Government/Credit Index /5% S&P 500 Index) for the 12 months ending September 30, 2024, with positive absolute performance meeting mandate expectations.
An overweight allocation to global equities enhanced Fund performance for the reporting period. Equities were the top-performing asset class over the period. A tactical U.S. Treasury Inflation-Protected Securities (TIPS) overweight benefited Fund performance, supported by Federal Reserve rate-cut expectations and improved real yields versus nominal Treasurys. An underweight to nominal bonds detracted from performance, as returns on cash (the Fund's primary risk-mitigation asset) lagged those of major developed bond markets.
Among the Fund’s sub-advisors, Janus Henderson Investors US LLC (Janus) and AllianceBernstein L.P. (AllianceBernstein) outperformed the hybrid benchmark over the reporting period. Both managers benefited from overweights to equities, driven by strong corporate earnings, improving economic sentiment, and innovations such as artificial intelligence (AI) fueling market growth, especially in the U.S. AllianceBernstein was bolstered by its overweight to TIPS, which benefited from attractive real yields. Both Janus and AllianceBernstein were challenged by underweights to U.S. Treasurys, which outperformed cash as bond yields moderated during the period.
During the reporting period, the Fund employed various derivatives: credit-default swaps, equity-index futures, bond-index futures, interest-rate swaps, equity options, interest-rate swaptions, and currency forwards. Stock index futures in developed-market equities contributed positively to performance, while interest-rate futures and swaps benefited as global rates generally declined. Fund performance also benefited from small credit-default swap positions in high-yield and investment-grade credit, as well as forward-currency contracts on developed-market currencies, used to hedge foreign-currency risk against the U.S. dollar.
Average Annual Total Returns as of September 30, 2024
| Fund/Index Name | 1 Year | 5 Years | 10 Years |
|---|
| Multi-Asset Capital Stability Fund, Class Y Shares | 10.29% | 3.19% | 2.59% |
Bloomberg U.S. Aggregate Bond Index (USD)Footnote Reference* | 11.57% | 0.33% | 1.84% |
| 95% Bloomberg 1-3 Year U.S. Government/Credit Index / 5% S&P 500 Index | 8.53% | 2.45% | 2.26% |
The line graph represents historical performance of a hypothetical investment of $100,000 in the Fund during the last 10 years. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund Shares. Past performance is not indicative of future performance. Class Y Shares commenced operations on December 31, 2014. For periods prior to December 31, 2014, the performance of the Fund’s Class F Shares has been used. Returns for Class Y Shares would have been substantially similar to those of Class F Shares and would have differed only to the extent that Class Y Shares have lower total annual fund operating expenses than Class F Shares.
* As of September 30, 2024, pursuant to the new regulatory requirements, this index has been added to represent the broad-based securities market index.
Key Fund Statistics as of September 30, 2024
| Total Net Assets (000's) | Number of Holdings | Total Advisory Fees Paid (000's) | Portfolio Turnover Rate |
|---|
| $507,841 | 305 | $1,943 | 203% |
What did the Fund invest in?
Asset WeightingsFootnote Reference*
| Value | Value |
|---|
| Derivative Contracts (Net) | 0.8% |
| Common Stock | 0.9% |
| Cash Collateral | 1.0% |
| Registered Investment Companies | 1.2% |
| U.S. Government Agency Obligations | 2.3% |
| Sovereign Debt | 15.3% |
| Commercial Paper | 36.2% |
| U.S. Treasury Obligations | 40.5% |
| Footnote | Description |
Footnote* | Percentages are calculated based on total net assets. |
| Holding Name | | | Percentage of Total Net Assets |
|---|
| U.S. Treasury Bills, 5.23%, 10/24/2024 | | | 15.7% |
| Japan Treasury Discount Bill | | | 15.3% |
| U.S. Treasury Bills, 5.18%, 10/31/2024 | | | 8.7% |
| Intesa Sanpaolo | | | 1.9% |
| Brookfield Infrastructure | | | 1.9% |
| Becton, Dickinson and Company | | | 1.9% |
| DENTSPLY SIRONA Inc | | | 1.9% |
| Glencore plc | | | 1.9% |
| Oglethorpe Power | | | 1.9% |
| U.S. Treasury Bills, 5.27%, 10/10/2024 | | | 1.9% |
There were no material changes during the reporting period.
Changes in and Disagreements with Accountants
There were no changes in or disagreements with accountants during the reporting period.
For additional information about the Fund; including its prospectus, financial information, holdings, and proxy voting information, call or visit:
Multi-Asset Capital Stability Fund
SEI Institutional Managed Trust/Class Y Shares - SMLYX
Annual Shareholder Report - September 30, 2024
SMLYX-AR-24
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, principal accounting officer or controller, or persons performing similar functions.
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 expert is Susan C. Cote. Ms. Cote is independent 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 the fiscal years 2024 and 2023 as follows:
| | Fiscal Year 2024 | Fiscal Year 2023 |
| | | 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) | $1,090,060 | S0 | N/A | $1,090,060 | $0 | N/A |
| (b) | Audit-Related Fees | $0 | $0 | $0 | $0 | $0 | $0 |
| (c) | Tax Fees | $0 | $0 | $0 | $0 | $0 | $0 |
| (d) | All Other Fees(2) | $0 | $359,174 | $0 | $0 | $354,196 | $0 |
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) | See Item 4(g) for a description of the services comprising the fees disclosed in this category. |
(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules on auditor independence and whether the provision of such services would compromise the auditor’s independence.
The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The 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 pursuant to the Policy; 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 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.
Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval. The Audit Committee will annually review and pre-approve the services that may be provided by the independent auditor during the following twelve months without obtaining specific pre-approval from the Audit Committee.
The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor.
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 (or the manner of their determination) 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:
| | Fiscal 2024 | Fiscal 2023 |
| 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 years 2024 and 2023 were $359,174 and $354,196, respectively. Non-audit fees consist of a SSAE No. 16 review of fund accounting and administration operations and an attestation report in accordance with Rule 17Ad-13.
(h) During the past fiscal year, the Registrant’s principal accountant provided certain non-audit services to the Registrant’s investment adviser or to entities controlling, controlled by, or under common control with the Registrant’s investment adviser that provide ongoing services to the 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 the Registrant’s Board of Trustees reviewed and considered these non-audit services provided by the Registrant’s principal accountant to the Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.
(i) Not Applicable.
(j) Not Applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) The Schedules of Investments and Consolidated Schedules of Investments are included as part of the Financial Statements and Financial Highlights filed under Item 7 of this form.
(b) Not applicable.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Financial Statements and Financial Highlights filed herein.
September 30, 2024
ANNUAL FINANCIALS AND OTHER INFORMATION
SEI Institutional Managed Trust
❯ | Tax-Managed Large Cap Fund |
❯ | Tax-Managed Small/Mid Cap Fund |
❯ | U.S. Managed Volatility Fund |
❯ | Global Managed Volatility Fund |
❯ | Tax-Managed Managed Volatility Fund |
❯ | Tax-Managed International Managed Volatility Fund |
❯ | Conservative Income Fund |
❯ | Tax-Free Conservative Income Fund |
❯ | Dynamic Asset Allocation Fund |
❯ | Multi-Strategy Alternative Fund |
❯ | Multi-Asset Accumulation Fund |
❯ | Multi-Asset Inflation Managed Fund |
❯ | Multi-Asset Capital Stability Fund |
seic.com
TABLE OF CONTENTS
| Financial Statements (Form N-CSR Item 7) | |
| Schedules of Investments/Consolidated Schedules of Investments | 1 |
| Glossary | 276 |
| Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities | 278 |
| Statements of Operations/Consolidated Statements of Operations | 290 |
| Statements of Changes in Net Assets/Consolidated Statements of Changes in Net Assets | 296 |
| Consolidated Statement of Cash Flows | 304 |
| Financial Highlights/Consolidated Financial Highlights | 305 |
| Notes to Financial Statements/Notes to Consolidated Financial Statements | 318 |
| Report of Independent Registered Public Accounting Firm | 364 |
| Notice to Shareholders | 366 |
| Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreement (Form N-CSR Item 11) | 369 |
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† — 98.8% |
| | | | | | | | | |
Communication Services — 8.6% | | | | |
Alphabet Inc, Cl A | | | 73,857 | | | $ | 12,249 | |
Alphabet Inc, Cl C | | | 110,998 | | | | 18,558 | |
AT&T Inc | | | 518,069 | | | | 11,398 | |
Comcast Corp, Cl A | | | 142,077 | | | | 5,935 | |
Electronic Arts Inc | | | 2,171 | | | | 311 | |
Fox Corp, Cl A | | | 57,265 | | | | 2,424 | |
Liberty Media Corp-Liberty Formula One, Cl C * | | | 4,722 | | | | 366 | |
Meta Platforms Inc, Cl A | | | 68,738 | | | | 39,348 | |
Netflix Inc * | | | 11,750 | | | | 8,334 | |
Nexstar Media Group Inc, Cl A | | | 28,996 | | | | 4,795 | |
Pinterest Inc, Cl A * | | | 100,548 | | | | 3,255 | |
Sirius XM Holdings Inc | | | 42,706 | | | | 1,010 | |
Spotify Technology SA * | | | 1,623 | | | | 598 | |
TEGNA Inc | | | 84,878 | | | | 1,339 | |
T-Mobile US Inc | | | 52,672 | | | | 10,869 | |
Verizon Communications Inc | | | 139,906 | | | | 6,283 | |
Walt Disney Co/The | | | 153,616 | | | | 14,776 | |
| | | | | | | | | |
| | | | | | | | 141,848 | |
Consumer Discretionary — 9.3% | | | | |
Amazon.com Inc, Cl A * | | | 173,631 | | | | 32,353 | |
AutoNation Inc * | | | 13,760 | | | | 2,462 | |
AutoZone Inc * | | | 166 | | | | 523 | |
Bloomin' Brands Inc | | | 119,609 | | | | 1,977 | |
Booking Holdings Inc | | | 490 | | | | 2,064 | |
BorgWarner Inc | | | 51,591 | | | | 1,872 | |
Burlington Stores Inc * | | | 5,837 | | | | 1,538 | |
Coupang Inc, Cl A * | | | 24,641 | | | | 605 | |
Deckers Outdoor Corp * | | | 29,226 | | | | 4,660 | |
Dick's Sporting Goods Inc | | | 18,814 | | | | 3,927 | |
Domino's Pizza Inc | | | 5,404 | | | | 2,325 | |
DraftKings Inc, Cl A * | | | 81,183 | | | | 3,182 | |
eBay Inc | | | 60,408 | | | | 3,933 | |
Ford Motor Co | | | 65,375 | | | | 690 | |
Garmin Ltd | | | 1,864 | | | | 328 | |
General Motors Co | | | 290,119 | | | | 13,009 | |
Goodyear Tire & Rubber Co/The * | | | 61,552 | | | | 545 | |
H&R Block Inc | | | 10,407 | | | | 661 | |
Harley-Davidson Inc, Cl A | | | 49,267 | | | | 1,898 | |
Home Depot Inc/The | | | 28,067 | | | | 11,373 | |
KB Home | | | 12,094 | | | | 1,036 | |
Lennar Corp, Cl A | | | 27,882 | | | | 5,227 | |
Lululemon Athletica Inc * | | | 8,286 | | | | 2,248 | |
Magna International Inc, Cl A | | | 53,219 | | | | 2,184 | |
Marriott International Inc/MD, Cl A | | | 23,478 | | | | 5,837 | |
McDonald's Corp | | | 2,668 | | | | 812 | |
MercadoLibre Inc * | | | 2,027 | | | | 4,159 | |
O'Reilly Automotive Inc * | | | 1,277 | | | | 1,471 | |
Penske Automotive Group Inc, Cl A | | | 14,922 | | | | 2,424 | |
Phinia Inc | | | 12,286 | | | | 566 | |
Pool Corp | | | 10,294 | | | | 3,879 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
PulteGroup Inc | | | 75,993 | | | $ | 10,907 | |
PVH Corp | | | 14,325 | | | | 1,444 | |
Ross Stores Inc | | | 42,423 | | | | 6,385 | |
SharkNinja Inc | | | 3,144 | | | | 342 | |
Tesla Inc * | | | 7,109 | | | | 1,860 | |
Texas Roadhouse Inc, Cl A | | | 1,839 | | | | 325 | |
Whirlpool Corp | | | 16,375 | | | | 1,752 | |
Williams-Sonoma Inc | | | 32,414 | | | | 5,022 | |
Wingstop Inc, Cl A | | | 9,962 | | | | 4,145 | |
Yum! Brands Inc | | | 13,030 | | | | 1,820 | |
| | | | | | | | | |
| | | | | | | | 153,770 | |
Consumer Staples — 6.1% | | | | |
Altria Group Inc | | | 112,161 | | | | 5,725 | |
Ambev ADR | | | 622,330 | | | | 1,518 | |
Archer-Daniels-Midland Co | | | 32,708 | | | | 1,954 | |
Bunge Global SA | | | 12,997 | | | | 1,256 | |
Casey's General Stores Inc | | | 18,037 | | | | 6,777 | |
Coca-Cola Co/The | | | 26,856 | | | | 1,930 | |
Colgate-Palmolive Co | | | 48,476 | | | | 5,032 | |
Conagra Brands Inc | | | 263,174 | | | | 8,558 | |
Constellation Brands Inc, Cl A | | | 16,587 | | | | 4,274 | |
Costco Wholesale Corp | | | 8,803 | | | | 7,804 | |
Dollar General Corp | | | 23,927 | | | | 2,024 | |
Ingredion Inc | | | 38,715 | | | | 5,321 | |
Kenvue Inc | | | 202,799 | | | | 4,691 | |
Kraft Heinz Co/The | | | 8,297 | | | | 291 | |
Kroger Co/The | | | 274,585 | | | | 15,734 | |
Molson Coors Beverage Co, Cl B | | | 47,270 | | | | 2,719 | |
PepsiCo Inc | | | 60,534 | | | | 10,294 | |
Philip Morris International Inc | | | 22,541 | | | | 2,736 | |
Procter & Gamble Co/The | | | 8,586 | | | | 1,487 | |
Target Corp, Cl A | | | 22,289 | | | | 3,474 | |
Tyson Foods Inc, Cl A | | | 105,363 | | | | 6,275 | |
Walmart Inc | | | 21,402 | | | | 1,728 | |
| | | | | | | | | |
| | | | | | | | 101,602 | |
Energy — 3.4% | | | | |
APA Corp | | | 18,507 | | | | 453 | |
BP PLC ADR | | | 175,357 | | | | 5,504 | |
Canadian Natural Resources Ltd | | | 121,883 | | | | 4,048 | |
Cheniere Energy Inc | | | 17,498 | | | | 3,147 | |
Chevron Corp | | | 30,425 | | | | 4,481 | |
ConocoPhillips | | | 80,276 | | | | 8,451 | |
Devon Energy Corp | | | 71,669 | | | | 2,804 | |
Diamondback Energy Inc, Cl A | | | 30,355 | | | | 5,233 | |
Exxon Mobil Corp | | | 24,695 | | | | 2,895 | |
Halliburton Co | | | 9,856 | | | | 286 | |
HF Sinclair Corp | | | 31,449 | | | | 1,402 | |
Marathon Oil Corp | | | 45,524 | | | | 1,212 | |
Marathon Petroleum Corp | | | 20,563 | | | | 3,350 | |
Phillips 66 | | | 23,171 | | | | 3,046 | |
Scorpio Tankers Inc | | | 18,257 | | | | 1,302 | |
Shell PLC ADR | | | 69,710 | | | | 4,597 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Valero Energy Corp | | | 27,262 | | | $ | 3,681 | |
| | | | | | | | | |
| | | | | | | | 55,892 | |
Financials — 13.4% | | | | |
Aflac Inc | | | 52,945 | | | | 5,919 | |
Allstate Corp/The | | | 47,438 | | | | 8,997 | |
American Financial Group Inc/OH | | | 10,346 | | | | 1,393 | |
American International Group Inc | | | 7,816 | | | | 572 | |
Ameriprise Financial Inc | | | 15,882 | | | | 7,462 | |
Annaly Capital Management Inc ‡ | | | 133,373 | | | | 2,677 | |
Bank of America Corp | | | 133,254 | | | | 5,287 | |
Bank of New York Mellon Corp/The | | | 23,028 | | | | 1,655 | |
Berkshire Hathaway Inc, Cl B * | | | 31,086 | | | | 14,308 | |
Capital One Financial Corp | | | 20,410 | | | | 3,056 | |
Citigroup Inc | | | 295,297 | | | | 18,486 | |
Citizens Financial Group Inc | | | 9,142 | | | | 375 | |
Discover Financial Services | | | 30,417 | | | | 4,267 | |
East West Bancorp Inc | | | 23,532 | | | | 1,947 | |
Everest Group Ltd | | | 2,104 | | | | 824 | |
Fifth Third Bancorp | | | 58,545 | | | | 2,508 | |
First Horizon Corp | | | 78,064 | | | | 1,212 | |
Fiserv Inc, Cl A * | | | 7,135 | | | | 1,282 | |
Global Payments Inc | | | 82,982 | | | | 8,499 | |
Goldman Sachs Group Inc/The | | | 996 | | | | 493 | |
Hartford Financial Services Group Inc/The | | | 60,105 | | | | 7,069 | |
JPMorgan Chase & Co | | | 58,542 | | | | 12,344 | |
Kinsale Capital Group Inc | | | 13,464 | | | | 6,268 | |
M&T Bank Corp | | | 6,166 | | | | 1,098 | |
Mastercard Inc, Cl A | | | 3,450 | | | | 1,704 | |
MetLife Inc | | | 5,123 | | | | 423 | |
MGIC Investment Corp | | | 37,006 | | | | 947 | |
Moody's Corp | | | 24,024 | | | | 11,402 | |
Morgan Stanley | | | 56,533 | | | | 5,893 | |
MSCI Inc, Cl A | | | 15,807 | | | | 9,214 | |
NU Holdings Ltd, Cl A * | | | 101,358 | | | | 1,384 | |
Radian Group Inc | | | 47,300 | | | | 1,641 | |
Regions Financial Corp | | | 112,708 | | | | 2,629 | |
S&P Global Inc | | | 13,485 | | | | 6,967 | |
Starwood Property Trust Inc ‡ | | | 37,558 | | | | 765 | |
State Street Corp | | | 81,247 | | | | 7,188 | |
Stifel Financial Corp | | | 18,871 | | | | 1,772 | |
Synchrony Financial | | | 77,838 | | | | 3,883 | |
Truist Financial Corp | | | 8,968 | | | | 384 | |
Unum Group | | | 36,845 | | | | 2,190 | |
Visa Inc, Cl A | | | 97,986 | | | | 26,941 | |
Voya Financial Inc | | | 4,799 | | | | 380 | |
Wells Fargo & Co | | | 140,038 | | | | 7,911 | |
Willis Towers Watson PLC | | | 29,932 | | | | 8,816 | |
Zions Bancorp NA | | | 17,984 | | | | 849 | |
| | | | | | | | | |
| | | | | | | | 221,281 | |
Health Care — 13.1% | | | | |
AbbVie Inc | | | 10,480 | | | | 2,070 | |
Amgen Inc, Cl A | | | 16,147 | | | | 5,203 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Baxter International Inc | | | 112,272 | | | $ | 4,263 | |
Boston Scientific Corp * | | | 80,538 | | | | 6,749 | |
Bristol-Myers Squibb Co | | | 155,447 | | | | 8,043 | |
Cardinal Health Inc | | | 43,510 | | | | 4,809 | |
Cencora Inc, Cl A | | | 1,260 | | | | 284 | |
Centene Corp * | | | 9,478 | | | | 714 | |
Cigna Group/The | | | 4,286 | | | | 1,485 | |
CVS Health Corp | | | 180,969 | | | | 11,379 | |
Danaher Corp, Cl A | | | 42,146 | | | | 11,717 | |
DaVita Inc * | | | 11,100 | | | | 1,820 | |
DENTSPLY SIRONA Inc | | | 124,353 | | | | 3,365 | |
Eli Lilly & Co | | | 22,937 | | | | 20,321 | |
Exelixis Inc * | | | 12,179 | | | | 316 | |
Gilead Sciences Inc | | | 56,933 | | | | 4,773 | |
GSK PLC ADR | | | 124,130 | | | | 5,074 | |
HCA Healthcare Inc | | | 22,058 | | | | 8,965 | |
IDEXX Laboratories Inc * | | | 3,416 | | | | 1,726 | |
Incyte Corp * | | | 11,124 | | | | 735 | |
Intuitive Surgical Inc * | | | 2,274 | | | | 1,117 | |
Jazz Pharmaceuticals PLC * | | | 51,232 | | | | 5,708 | |
Johnson & Johnson | | | 152,472 | | | | 24,710 | |
Lantheus Holdings Inc * | | | 10,655 | | | | 1,169 | |
McKesson Corp | | | 18,175 | | | | 8,986 | |
Medtronic PLC | | | 79,267 | | | | 7,136 | |
Merck & Co Inc | | | 71,749 | | | | 8,148 | |
Mettler-Toledo International Inc * | | | 9,334 | | | | 13,998 | |
Natera Inc * | | | 27,088 | | | | 3,439 | |
Organon & Co | | | 153,308 | | | | 2,933 | |
Pfizer Inc | | | 230,147 | | | | 6,660 | |
Regeneron Pharmaceuticals Inc * | | | 522 | | | | 549 | |
Royalty Pharma PLC, Cl A | | | 14,878 | | | | 421 | |
Sanofi ADR | | | 40,173 | | | | 2,315 | |
STERIS PLC | | | 16,539 | | | | 4,011 | |
United Therapeutics Corp * | | | 4,772 | | | | 1,710 | |
UnitedHealth Group Inc | | | 20,614 | | | | 12,053 | |
Vaxcyte Inc * | | | 5,657 | | | | 646 | |
Viatris Inc, Cl W | | | 302,646 | | | | 3,514 | |
Zoetis Inc, Cl A | | | 19,297 | | | | 3,770 | |
| | | | | | | | | |
| | | | | | | | 216,804 | |
Industrials — 11.0% | | | | |
AerCap Holdings NV | | | 101,841 | | | | 9,646 | |
AGCO Corp | | | 28,514 | | | | 2,790 | |
Allison Transmission Holdings Inc | | | 37,699 | | | | 3,622 | |
Automatic Data Processing Inc | | | 12,773 | | | | 3,535 | |
Carlisle Cos Inc | | | 1,005 | | | | 452 | |
Caterpillar Inc, Cl A | | | 1,327 | | | | 519 | |
Chart Industries Inc * | | | 23,419 | | | | 2,907 | |
CNH Industrial NV | | | 22,669 | | | | 252 | |
Cummins Inc | | | 20,395 | | | | 6,604 | |
Delta Air Lines Inc, Cl A | | | 140,692 | | | | 7,146 | |
Eaton Corp PLC | | | 15,098 | | | | 5,004 | |
Equifax Inc | | | 15,282 | | | | 4,491 | |
Fastenal Co, Cl A | | | 11,163 | | | | 797 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
FedEx Corp | | | 35,324 | | | $ | 9,667 | |
GFL Environmental Inc | | | 159,309 | | | | 6,353 | |
GXO Logistics Inc * | | | 166,959 | | | | 8,694 | |
HEICO Corp | | | 38,369 | | | | 10,033 | |
Huntington Ingalls Industries Inc, Cl A | | | 10,975 | | | | 2,902 | |
Lockheed Martin Corp | | | 7,087 | | | | 4,143 | |
ManpowerGroup Inc | | | 45,042 | | | | 3,311 | |
Old Dominion Freight Line Inc, Cl A | | | 26,268 | | | | 5,218 | |
Oshkosh Corp | | | 3,063 | | | | 307 | |
Otis Worldwide Corp | | | 65,609 | | | | 6,819 | |
Owens Corning | | | 34,317 | | | | 6,058 | |
Parker-Hannifin Corp, Cl A | | | 1,448 | | | | 915 | |
Paychex Inc | | | 2,388 | | | | 320 | |
Republic Services Inc | | | 1,597 | | | | 321 | |
Robert Half Inc | | | 28,935 | | | | 1,951 | |
Rollins Inc | | | 40,075 | | | | 2,027 | |
Ryder System Inc | | | 18,537 | | | | 2,703 | |
Snap-on Inc | | | 9,818 | | | | 2,844 | |
Textron Inc | | | 56,360 | | | | 4,992 | |
Timken Co/The | | | 57,812 | | | | 4,873 | |
Trane Technologies PLC | | | 6,682 | | | | 2,597 | |
TransDigm Group Inc | | | 13,413 | | | | 19,142 | |
United Airlines Holdings Inc * | | | 25,256 | | | | 1,441 | |
Veralto Corp | | | 65,384 | | | | 7,314 | |
Verisk Analytics Inc, Cl A | | | 6,945 | | | | 1,861 | |
Vertiv Holdings Co, Cl A | | | 64,656 | | | | 6,433 | |
Waste Connections Inc | | | 42,033 | | | | 7,516 | |
Westinghouse Air Brake Technologies Corp | | | 2,318 | | | | 421 | |
WW Grainger Inc | | | 2,327 | | | | 2,417 | |
| | | | | | | | | |
| | | | | | | | 181,358 | |
Information Technology — 26.2% | | | | |
Accenture PLC, Cl A | | | 1,931 | | | | 683 | |
Adobe Inc * | | | 29,168 | | | | 15,103 | |
Advanced Micro Devices Inc * | | | 11,432 | | | | 1,876 | |
Amdocs Ltd | | | 51,821 | | | | 4,533 | |
Amkor Technology Inc | | | 51,908 | | | | 1,588 | |
Amphenol Corp, Cl A | | | 192,002 | | | | 12,511 | |
Analog Devices Inc | | | 25,977 | | | | 5,979 | |
Apple Inc | | | 279,620 | | | | 65,151 | |
Applied Materials Inc | | | 25,593 | | | | 5,171 | |
AppLovin Corp, Cl A * | | | 78,060 | | | | 10,191 | |
Arista Networks Inc * | | | 8,987 | | | | 3,449 | |
Arrow Electronics Inc, Cl A * | | | 20,514 | | | | 2,725 | |
Astera Labs Inc * | | | 19,460 | | | | 1,020 | |
Broadcom Inc | | | 149,386 | | | | 25,769 | |
Cadence Design Systems Inc * | | | 28,723 | | | | 7,785 | |
CDW Corp/DE | | | 5,941 | | | | 1,344 | |
Cirrus Logic Inc * | | | 12,623 | | | | 1,568 | |
Cisco Systems Inc | | | 120,415 | | | | 6,409 | |
Dell Technologies Inc, Cl C | | | 28,722 | | | | 3,405 | |
Dropbox Inc, Cl A * | | | 59,923 | | | | 1,524 | |
DXC Technology Co * | | | 58,737 | | | | 1,219 | |
F5 Inc, Cl A * | | | 1,578 | | | | 348 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Fair Isaac Corp * | | | 1,172 | | | $ | 2,278 | |
Flex Ltd * | | | 73,140 | | | | 2,445 | |
Fortinet Inc * | | | 14,092 | | | | 1,093 | |
Gartner Inc * | | | 639 | | | | 324 | |
Hewlett Packard Enterprise Co | | | 163,973 | | | | 3,355 | |
HP Inc | | | 114,844 | | | | 4,119 | |
HubSpot Inc * | | | 1,255 | | | | 667 | |
International Business Machines Corp | | | 24,273 | | | | 5,366 | |
Intuit Inc | | | 21,136 | | | | 13,125 | |
Jabil Inc | | | 31,517 | | | | 3,777 | |
Manhattan Associates Inc * | | | 14,447 | | | | 4,065 | |
Marvell Technology Inc | | | 20,985 | | | | 1,513 | |
Microchip Technology Inc | | | 81,064 | | | | 6,509 | |
Micron Technology Inc | | | 35,515 | | | | 3,683 | |
Microsoft Corp | | | 175,580 | | | | 75,552 | |
Monolithic Power Systems Inc | | | 3,396 | | | | 3,140 | |
Motorola Solutions Inc | | | 32,536 | | | | 14,629 | |
NetApp Inc | | | 4,870 | | | | 602 | |
NVIDIA Corp | | | 356,135 | | | | 43,249 | |
ON Semiconductor Corp * | | | 51,287 | | | | 3,724 | |
Oracle Corp, Cl B | | | 61,550 | | | | 10,488 | |
QUALCOMM Inc | | | 43,642 | | | | 7,421 | |
Roper Technologies Inc | | | 16,601 | | | | 9,237 | |
Salesforce Inc | | | 41,041 | | | | 11,233 | |
SAP SE ADR | | | 49,596 | | | | 11,362 | |
ServiceNow Inc * | | | 5,002 | | | | 4,474 | |
Skyworks Solutions Inc | | | 3,042 | | | | 300 | |
Taiwan Semiconductor Manufacturing Co Ltd ADR | | | 10,858 | | | | 1,886 | |
Vontier Corp | | | 142,409 | | | | 4,805 | |
| | | | | | | | | |
| | | | | | | | 433,772 | |
Materials — 3.2% | | | | |
Berry Global Group Inc | | | 31,426 | | | | 2,136 | |
Crown Holdings Inc | | | 63,953 | | | | 6,132 | |
Eastman Chemical Co | | | 47,089 | | | | 5,272 | |
FMC Corp | | | 92,162 | | | | 6,077 | |
Freeport-McMoRan Inc, Cl B | | | 9,431 | | | | 471 | |
Graphic Packaging Holding Co | | | 13,677 | | | | 405 | |
Linde PLC | | | 26,069 | | | | 12,431 | |
LyondellBasell Industries NV, Cl A | | | 3,410 | | | | 327 | |
Martin Marietta Materials Inc, Cl A | | | 4,861 | | | | 2,616 | |
Mosaic Co/The | | | 15,728 | | | | 421 | |
Reliance Inc | | | 21,607 | | | | 6,249 | |
Sherwin-Williams Co/The, Cl A | | | 11,377 | | | | 4,342 | |
Steel Dynamics Inc | | | 15,976 | | | | 2,014 | |
Sylvamo Corp | | | 38,038 | | | | 3,266 | |
| | | | | | | | | |
| | | | | | | | 52,159 | |
Real Estate — 1.6% | | | | |
American Tower Corp, Cl A ‡ | | | 55,725 | | | | 12,959 | |
Equinix Inc ‡ | | | 4,672 | | | | 4,147 | |
Host Hotels & Resorts Inc ‡ | | | 128,264 | | | | 2,258 | |
Howard Hughes Holdings Inc * | | | 21,893 | | | | 1,695 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Fund (Concluded)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Omega Healthcare Investors Inc ‡ | | | 100,607 | | | $ | 4,095 | |
Sabra Health Care REIT Inc ‡ | | | 86,576 | | | | 1,611 | |
| | | | | | | | | |
| | | | | | | | 26,765 | |
Utilities — 2.9% | | | | |
Constellation Energy Corp | | | 4,349 | | | | 1,131 | |
Edison International | | | 104,559 | | | | 9,106 | |
Exelon Corp | | | 19,614 | | | | 795 | |
FirstEnergy Corp | | | 180,214 | | | | 7,992 | |
NextEra Energy Inc | | | 39,355 | | | | 3,327 | |
NRG Energy Inc | | | 141,170 | | | | 12,861 | |
UGI Corp | | | 108,137 | | | | 2,706 | |
Vistra Corp | | | 57,259 | | | | 6,787 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Xcel Energy Inc | | | 50,916 | | | $ | 3,325 | |
| | | | | | | | | |
| | | | | | | | 48,030 | |
Total Common Stock | | | | | | | | |
(Cost $897,033) ($ Thousands) | | | | | | | 1,633,281 | |
| | | | | | | | | |
CASH EQUIVALENT — 1.0% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 15,863,850 | | | | 15,864 | |
Total Cash Equivalent | | | | | | | | |
(Cost $15,864) ($ Thousands) | | | | | | | 15,864 | |
Total Investments in Securities — 99.8% | | | | | | | | |
(Cost $912,897) ($ Thousands) | | $ | 1,649,145 | |
| | | | | | | | | |
| | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index E-MINI | | | 40 | | | | Dec-2024 | | | $ | 11,538 | | | $ | 11,628 | | | $ | 90 | |
S&P Mid Cap 400 Index E-MINI | | | 7 | | | | Dec-2024 | | | | 2,182 | | | | 2,204 | | | | 22 | |
| | | | | | | | | | | $ | 13,720 | | | $ | 13,832 | | | $ | 112 | |
| Percentages are based on Net Assets of $1,652,125 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 1,633,281 | | | | – | | | | – | | | | 1,633,281 | |
Cash Equivalent | | | 15,864 | | | | – | | | | – | | | | 15,864 | |
Total Investments in Securities | | | 1,649,145 | | | | – | | | | – | | | | 1,649,145 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 112 | | | | – | | | | – | | | | 112 | |
Total Other Financial Instruments | | | 112 | | | | – | | | | – | | | | 112 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | — | | | $ | 33,884 | | | $ | (33,883 | ) | | $ | (1 | ) | | $ | — | | | $ | — | | | $ | 31 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 19,610 | | | | 411,039 | | | | (414,785 | ) | | | — | | | | — | | | | 15,864 | | | | 715 | | | | — | |
Totals | | $ | 19,610 | | | $ | 444,923 | | | $ | (448,668 | ) | | $ | (1 | ) | | $ | — | | | $ | 15,864 | | | $ | 746 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Value Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK — 99.0% |
| | | | | | | | | |
Communication Services — 7.5% | | | | |
Alphabet Inc, Cl A | | | 15,208 | | | $ | 2,522 | |
AT&T Inc | | | 1,527,589 | | | | 33,607 | |
BCE Inc | | | 247,288 | | | | 8,606 | |
Comcast Corp, Cl A | | | 513,953 | | | | 21,468 | |
Fox Corp, Cl A | | | 130,663 | | | | 5,531 | |
Meta Platforms Inc, Cl A | | | 6,057 | | | | 3,467 | |
Nexstar Media Group Inc, Cl A | | | 7,119 | | | | 1,177 | |
Omnicom Group Inc | | | 2,730 | | | | 282 | |
Sirius XM Holdings Inc | | | 107,158 | | | | 2,534 | |
TEGNA Inc | | | 94,393 | | | | 1,490 | |
T-Mobile US Inc | | | 45,852 | | | | 9,462 | |
Verizon Communications Inc | | | 163,590 | | | | 7,347 | |
Walt Disney Co/The | | | 52,590 | | | | 5,059 | |
| | | | | | | | | |
| | | | | | | | 102,552 | |
Consumer Discretionary — 5.6% | | | | |
AutoNation Inc * | | | 12,701 | | | | 2,273 | |
Best Buy Co Inc | | | 3,213 | | | | 332 | |
Bloomin' Brands Inc | | | 22,868 | | | | 378 | |
BorgWarner Inc | | | 70,506 | | | | 2,559 | |
Dick's Sporting Goods Inc | | | 11,202 | | | | 2,338 | |
eBay Inc | | | 99,566 | | | | 6,483 | |
Ford Motor Co | | | 185,547 | | | | 1,959 | |
General Motors Co | | | 369,298 | | | | 16,559 | |
Genuine Parts Co | | | 80,618 | | | | 11,261 | |
Goodyear Tire & Rubber Co/The * | | | 124,130 | | | | 1,099 | |
Harley-Davidson Inc, Cl A | | | 31,143 | | | | 1,200 | |
Kohl's Corp | | | 23,092 | | | | 487 | |
Lennar Corp, Cl A | | | 27,173 | | | | 5,094 | |
Lowe's Cos Inc | | | 39,865 | | | | 10,797 | |
Magna International Inc, Cl A | | | 80,912 | | | | 3,321 | |
Penske Automotive Group Inc, Cl A | | | 13,566 | | | | 2,203 | |
Phinia Inc | | | 8,975 | | | | 413 | |
PulteGroup Inc | | | 40,367 | | | | 5,794 | |
PVH Corp | | | 22,060 | | | | 2,224 | |
Whirlpool Corp | | | 3,533 | | | | 378 | |
| | | | | | | | | |
| | | | | | | | 77,152 | |
Consumer Staples — 9.8% | | | | |
Altria Group Inc | | | 213,204 | | | | 10,882 | |
Ambev ADR | | | 1,594,997 | | | | 3,892 | |
Archer-Daniels-Midland Co | | | 124,339 | | | | 7,428 | |
Bunge Global SA | | | 37,595 | | | | 3,633 | |
Conagra Brands Inc | | | 183,730 | | | | 5,975 | |
Diageo PLC ADR | | | 43,307 | | | | 6,078 | |
Dollar General Corp | | | 31,496 | | | | 2,664 | |
Ingredion Inc | | | 43,021 | | | | 5,912 | |
Kenvue Inc | | | 564,325 | | | | 13,053 | |
Kraft Heinz Co/The | | | 56,221 | | | | 1,974 | |
Kroger Co/The | | | 361,681 | | | | 20,724 | |
Molson Coors Beverage Co, Cl B | | | 102,466 | | | | 5,894 | |
Philip Morris International Inc | | | 120,441 | | | | 14,621 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Target Corp, Cl A | | | 91,822 | | | $ | 14,311 | |
Tyson Foods Inc, Cl A | | | 101,205 | | | | 6,028 | |
Unilever PLC ADR | | | 158,208 | | | | 10,277 | |
| | | | | | | | | |
| | | | | | | | 133,346 | |
Energy — 7.0% | | | | |
APA Corp | | | 66,252 | | | | 1,620 | |
BP PLC ADR | | | 147,347 | | | | 4,625 | |
Canadian Natural Resources Ltd | | | 60,884 | | | | 2,022 | |
Chevron Corp | | | 124,308 | | | | 18,307 | |
ConocoPhillips | | | 143,034 | | | | 15,059 | |
Devon Energy Corp | | | 57,836 | | | | 2,262 | |
Exxon Mobil Corp | | | 236,331 | | | | 27,703 | |
Halliburton Co | | | 38,228 | | | | 1,110 | |
HF Sinclair Corp | | | 32,366 | | | | 1,443 | |
Marathon Oil Corp | | | 127,324 | | | | 3,391 | |
Marathon Petroleum Corp | | | 37,616 | | | | 6,128 | |
Phillips 66 | | | 6,459 | | | | 849 | |
Scorpio Tankers Inc | | | 15,445 | | | | 1,101 | |
Shell PLC ADR | | | 61,589 | | | | 4,062 | |
Valero Energy Corp | | | 45,125 | | | | 6,093 | |
| | | | | | | | | |
| | | | | | | | 95,775 | |
Financials — 20.2% | | | | |
Aflac Inc | | | 22,989 | | | | 2,570 | |
Allstate Corp/The | | | 21,451 | | | | 4,068 | |
Ally Financial Inc | | | 31,400 | | | | 1,117 | |
American Express Co | | | 1,907 | | | | 517 | |
American Financial Group Inc/OH | | | 14,591 | | | | 1,964 | |
American International Group Inc | | | 29,934 | | | | 2,192 | |
Ameriprise Financial Inc | | | 9,891 | | | | 4,647 | |
Annaly Capital Management Inc ‡ | | | 91,473 | | | | 1,836 | |
Bank of America Corp | | | 563,730 | | | | 22,369 | |
Bank of New York Mellon Corp/The | | | 181,889 | | | | 13,071 | |
Berkshire Hathaway Inc, Cl B * | | | 24,115 | | | | 11,099 | |
Capital One Financial Corp | | | 31,351 | | | | 4,694 | |
Chubb Ltd | | | 57,755 | | | | 16,656 | |
Citigroup Inc | | | 518,826 | | | | 32,478 | |
Citizens Financial Group Inc | | | 36,990 | | | | 1,519 | |
Discover Financial Services | | | 28,824 | | | | 4,044 | |
East West Bancorp Inc | | | 9,104 | | | | 753 | |
Everest Group Ltd | | | 3,207 | | | | 1,257 | |
Fidelity National Information Services Inc, Cl B | | | 3,244 | | | | 272 | |
Fifth Third Bancorp | | | 107,240 | | | | 4,594 | |
First Horizon Corp | | | 89,989 | | | | 1,397 | |
Global Payments Inc | | | 77,972 | | | | 7,986 | |
Goldman Sachs Group Inc/The | | | 6,045 | | | | 2,993 | |
Hartford Financial Services Group Inc/The | | | 27,860 | | | | 3,277 | |
JPMorgan Chase & Co | | | 132,062 | | | | 27,847 | |
Lincoln National Corp | | | 44,524 | | | | 1,403 | |
M&T Bank Corp | | | 4,431 | | | | 789 | |
MetLife Inc | | | 85,353 | | | | 7,040 | |
MGIC Investment Corp | | | 70,662 | | | | 1,809 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Value Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Morgan Stanley | | | 130,228 | | | $ | 13,575 | |
Prudential Financial Inc | | | 25,969 | | | | 3,145 | |
Radian Group Inc | | | 78,204 | | | | 2,713 | |
Regions Financial Corp | | | 180,126 | | | | 4,202 | |
State Street Corp | | | 47,517 | | | | 4,204 | |
Stifel Financial Corp | | | 15,183 | | | | 1,426 | |
Synchrony Financial | | | 143,384 | | | | 7,152 | |
T Rowe Price Group Inc | | | 16,986 | | | | 1,850 | |
Travelers Cos Inc/The | | | 38,707 | | | | 9,062 | |
Truist Financial Corp | | | 200,321 | | | | 8,568 | |
Unum Group | | | 64,517 | | | | 3,835 | |
Voya Financial Inc | | | 73,296 | | | | 5,806 | |
Wells Fargo & Co | | | 296,003 | | | | 16,721 | |
Western Union Co/The | | | 80,189 | | | | 957 | |
Willis Towers Watson PLC | | | 11,952 | | | | 3,520 | |
Zions Bancorp NA | | | 57,094 | | | | 2,696 | |
| | | | | | | | | |
| | | | | | | | 275,690 | |
Health Care — 15.5% | | | | |
Amgen Inc, Cl A | | | 14,602 | | | | 4,705 | |
Baxter International Inc | | | 185,251 | | | | 7,034 | |
Bristol-Myers Squibb Co | | | 184,917 | | | | 9,568 | |
Cardinal Health Inc | | | 67,710 | | | | 7,483 | |
Centene Corp * | | | 107,861 | | | | 8,120 | |
Cigna Group/The | | | 18,672 | | | | 6,469 | |
CVS Health Corp | | | 231,714 | | | | 14,570 | |
DaVita Inc * | | | 8,992 | | | | 1,474 | |
DENTSPLY SIRONA Inc | | | 211,280 | | | | 5,717 | |
Exelixis Inc * | | | 22,836 | | | | 593 | |
Gilead Sciences Inc | | | 118,904 | | | | 9,969 | |
GSK PLC ADR | | | 105,791 | | | | 4,325 | |
HCA Healthcare Inc | | | 8,699 | | | | 3,536 | |
Incyte Corp * | | | 25,573 | | | | 1,690 | |
Jazz Pharmaceuticals PLC * | | | 54,706 | | | | 6,095 | |
Johnson & Johnson | | | 157,673 | | | | 25,552 | |
Lantheus Holdings Inc * | | | 11,065 | | | | 1,214 | |
McKesson Corp | | | 15,388 | | | | 7,608 | |
Medtronic PLC | | | 178,084 | | | | 16,033 | |
Merck & Co Inc | | | 204,045 | | | | 23,171 | |
Novartis AG ADR | | | 88,044 | | | | 10,127 | |
Organon & Co | | | 211,459 | | | | 4,045 | |
Pfizer Inc | | | 529,776 | | | | 15,332 | |
Royalty Pharma PLC, Cl A | | | 192,659 | | | | 5,450 | |
Sanofi ADR | | | 48,458 | | | | 2,793 | |
United Therapeutics Corp * | | | 8,241 | | | | 2,953 | |
Viatris Inc, Cl W | | | 511,249 | | | | 5,936 | |
| | | | | | | | | |
| | | | | | | | 211,562 | |
Industrials — 12.3% | | | | |
3M Co | | | 21,457 | | | | 2,933 | |
AerCap Holdings NV | | | 80,574 | | | | 7,632 | |
AGCO Corp | | | 38,974 | | | | 3,814 | |
Allison Transmission Holdings Inc | | | 63,525 | | | | 6,103 | |
Caterpillar Inc, Cl A | | | 7,394 | | | | 2,892 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Chart Industries Inc * | | | 21,777 | | | $ | 2,703 | |
CNH Industrial NV | | | 153,085 | | | | 1,699 | |
Cummins Inc | | | 20,041 | | | | 6,489 | |
Delta Air Lines Inc, Cl A | | | 213,458 | | | | 10,842 | |
FedEx Corp | | | 36,398 | | | | 9,961 | |
General Dynamics Corp | | | 57,726 | | | | 17,445 | |
Huntington Ingalls Industries Inc, Cl A | | | 15,488 | | | | 4,095 | |
Johnson Controls International PLC | | | 188,922 | | | | 14,662 | |
Lockheed Martin Corp | | | 4,733 | | | | 2,767 | |
ManpowerGroup Inc | | | 42,383 | | | | 3,116 | |
Mueller Industries Inc | | | 14,053 | | | | 1,041 | |
Oshkosh Corp | | | 21,732 | | | | 2,178 | |
Owens Corning | | | 30,368 | | | | 5,361 | |
PACCAR Inc | | | 22,328 | | | | 2,203 | |
RTX Corp | | | 154,022 | | | | 18,661 | |
Ryder System Inc | | | 29,884 | | | | 4,357 | |
Siemens AG ADR | | | 102,863 | | | | 10,394 | |
Snap-on Inc | | | 18,096 | | | | 5,243 | |
Textron Inc | | | 59,630 | | | | 5,282 | |
Timken Co/The | | | 47,421 | | | | 3,997 | |
United Airlines Holdings Inc * | | | 38,423 | | | | 2,193 | |
United Parcel Service Inc, Cl B | | | 69,337 | | | | 9,453 | |
| | | | | | | | | |
| | | | | | | | 167,516 | |
Information Technology — 9.0% | | | | |
Amdocs Ltd | | | 64,832 | | | | 5,671 | |
Amkor Technology Inc | | | 97,184 | | | | 2,974 | |
Applied Materials Inc | | | 15,694 | | | | 3,171 | |
Arrow Electronics Inc, Cl A * | | | 29,256 | | | | 3,886 | |
Broadcom Inc | | | 94,010 | | | | 16,217 | |
Cirrus Logic Inc * | | | 18,558 | | | | 2,305 | |
Cisco Systems Inc | | | 341,952 | | | | 18,199 | |
Cognizant Technology Solutions Corp, Cl A | | | 20,821 | | | | 1,607 | |
Dell Technologies Inc, Cl C | | | 35,462 | | | | 4,204 | |
Dropbox Inc, Cl A * | | | 13,143 | | | | 334 | |
DXC Technology Co * | | | 112,302 | | | | 2,330 | |
Flex Ltd * | | | 72,201 | | | | 2,414 | |
Hewlett Packard Enterprise Co | | | 373,639 | | | | 7,645 | |
HP Inc | | | 257,060 | | | | 9,221 | |
International Business Machines Corp | | | 21,746 | | | | 4,807 | |
Jabil Inc | | | 40,507 | | | | 4,854 | |
Micron Technology Inc | | | 21,970 | | | | 2,278 | |
Microsoft Corp | | | 25,507 | | | | 10,976 | |
ON Semiconductor Corp * | | | 60,270 | | | | 4,376 | |
QUALCOMM Inc | | | 42,218 | | | | 7,179 | |
Skyworks Solutions Inc | | | 38,844 | | | | 3,837 | |
Vontier Corp | | | 94,752 | | | | 3,197 | |
Xerox Holdings Corp | | | 60,688 | | | | 630 | |
| | | | | | | | | |
| | | | | | | | 122,312 | |
Materials — 3.9% | | | | |
Berry Global Group Inc | | | 26,280 | | | | 1,787 | |
Crown Holdings Inc | | | 45,761 | | | | 4,388 | |
Dow Inc | | | 316,364 | | | | 17,283 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Value Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Eastman Chemical Co | | | 43,029 | | | $ | 4,817 | |
FMC Corp | | | 107,936 | | | | 7,117 | |
Freeport-McMoRan Inc, Cl B | | | 22,090 | | | | 1,103 | |
Graphic Packaging Holding Co | | | 51,887 | | | | 1,535 | |
LyondellBasell Industries NV, Cl A | | | 46,631 | | | | 4,472 | |
Mosaic Co/The | | | 68,084 | | | | 1,823 | |
O-I Glass Inc, Cl I * | | | 56,355 | | | | 740 | |
Steel Dynamics Inc | | | 41,467 | | | | 5,228 | |
Sylvamo Corp | | | 31,045 | | | | 2,665 | |
| | | | | | | | | |
| | | | | | | | 52,958 | |
Real Estate — 3.2% | | | | |
Crown Castle Inc ‡ | | | 59,770 | | | | 7,090 | |
Healthpeak Properties Inc ‡ | | | 552,456 | | | | 12,635 | |
Host Hotels & Resorts Inc ‡ | | | 233,058 | | | | 4,102 | |
Howard Hughes Holdings Inc * | | | 44,213 | | | | 3,423 | |
Omega Healthcare Investors Inc ‡ | | | 77,424 | | | | 3,151 | |
Sabra Health Care REIT Inc ‡ | | | 143,789 | | | | 2,676 | |
VICI Properties Inc, Cl A ‡ | | | 340,826 | | | | 11,353 | |
| | | | | | | | | |
| | | | | | | | 44,430 | |
Utilities — 5.0% | | | | |
Duke Energy Corp | | | 122,415 | | | | 14,114 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Edison International | | | 88,155 | | | $ | 7,677 | |
Exelon Corp | | | 70,449 | | | | 2,857 | |
FirstEnergy Corp | | | 162,155 | | | | 7,192 | |
NextEra Energy Inc | | | 182,109 | | | | 15,394 | |
NRG Energy Inc | | | 125,469 | | | | 11,430 | |
UGI Corp | | | 125,169 | | | | 3,132 | |
Vistra Corp | | | 32,736 | | | | 3,880 | |
Xcel Energy Inc | | | 34,714 | | | | 2,267 | |
| | | | | | | | | |
| | | | | | | | 67,943 | |
Total Common Stock | | | | | | | | |
(Cost $876,227) ($ Thousands) | | | | | | | 1,351,236 | |
| | | | | | | | | |
CASH EQUIVALENT — 1.0% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 13,973,419 | | | | 13,973 | |
Total Cash Equivalent | | | | | | | | |
(Cost $13,973) ($ Thousands) | | | | | | | 13,973 | |
Total Investments in Securities — 100.0% | | | | | | | | |
(Cost $890,200) ($ Thousands) | | $ | 1,365,209 | |
| | | | | | | | | |
| | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index E-MINI | | | 14 | | | | Dec-2024 | | | $ | 4,055 | | | $ | 4,070 | | | $ | 15 | |
S&P Mid Cap 400 Index E-MINI | | | 16 | | | | Dec-2024 | | | | 5,034 | | | | 5,038 | | | | 4 | |
| | | | | | | | | | | $ | 9,089 | | | $ | 9,108 | | | $ | 19 | |
| Percentages are based on Net Assets of $1,365,522 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 1,351,236 | | | | – | | | | – | | | | 1,351,236 | |
Cash Equivalent | | | 13,973 | | | | – | | | | – | | | | 13,973 | |
Total Investments in Securities | | | 1,365,209 | | | | – | | | | – | | | | 1,365,209 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 19 | | | | – | | | | – | | | | 19 | |
Total Other Financial Instruments | | | 19 | | | | – | | | | – | | | | 19 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Value Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 38 | | | $ | 37,423 | | | $ | (37,463 | ) | | $ | (3 | ) | | $ | 5 | | | $ | — | | | $ | 18 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 9,541 | | | | 213,232 | | | | (208,800 | ) | | | — | | | | — | | | | 13,973 | | | | 582 | | | | — | |
Totals | | $ | 9,579 | | | $ | 250,655 | | | $ | (246,263 | ) | | $ | (3 | ) | | $ | 5 | | | $ | 13,973 | | | $ | 600 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Growth Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† — 94.9% |
| | | | | | | | | |
Communication Services — 11.0% | | | | |
Alphabet Inc, Cl A | | | 308,405 | | | $ | 51,149 | |
Alphabet Inc, Cl C | | | 95,166 | | | | 15,911 | |
Liberty Media Corp-Liberty Formula One, Cl C * | | | 45,971 | | | | 3,559 | |
Meta Platforms Inc, Cl A | | | 116,464 | | | | 66,669 | |
Netflix Inc * | | | 27,360 | | | | 19,406 | |
Pinterest Inc, Cl A * | | | 127,348 | | | | 4,122 | |
Roku Inc, Cl A * | | | 7,372 | | | | 550 | |
Spotify Technology SA * | | | 21,453 | | | | 7,906 | |
| | | | | | | | | |
| | | | | | | | 169,272 | |
Consumer Discretionary — 11.9% | | | | |
ADT Inc | | | 37,795 | | | | 273 | |
Amazon.com Inc, Cl A * | | | 347,549 | | | | 64,759 | |
AutoZone Inc * | | | 7,985 | | | | 25,153 | |
Booking Holdings Inc | | | 1,392 | | | | 5,863 | |
Burlington Stores Inc * | | | 8,465 | | | | 2,230 | |
Carnival Corp * | | | 10,508 | | | | 194 | |
Coupang Inc, Cl A * | | | 121,177 | | | | 2,975 | |
Deckers Outdoor Corp * | | | 30,090 | | | | 4,798 | |
DoorDash Inc, Cl A * | | | 3,940 | | | | 562 | |
DR Horton Inc | | | 6,663 | | | | 1,271 | |
DraftKings Inc, Cl A * | | | 96,224 | | | | 3,772 | |
Expedia Group Inc * | | | 7,385 | | | | 1,093 | |
Gap Inc/The | | | 47,853 | | | | 1,055 | |
Garmin Ltd | | | 5,713 | | | | 1,006 | |
General Motors Co | | | 34,529 | | | | 1,548 | |
H&R Block Inc | | | 20,109 | | | | 1,278 | |
Hilton Worldwide Holdings Inc | | | 25,834 | | | | 5,955 | |
Home Depot Inc/The | | | 1,179 | | | | 478 | |
Lowe's Cos Inc | | | 53,342 | | | | 14,448 | |
MercadoLibre Inc * | | | 2,842 | | | | 5,832 | |
MGM Resorts International * | | | 7,480 | | | | 292 | |
NIKE Inc, Cl B | | | 60,575 | | | | 5,355 | |
Phinia Inc | | | 5,260 | | | | 242 | |
PVH Corp | | | 11,143 | | | | 1,124 | |
SharkNinja Inc | | | 9,782 | | | | 1,063 | |
Skechers USA Inc, Cl A * | | | 2,894 | | | | 194 | |
Tesla Inc * | | | 19,769 | | | | 5,172 | |
Texas Roadhouse Inc, Cl A | | | 3,784 | | | | 668 | |
TJX Cos Inc/The | | | 171,250 | | | | 20,129 | |
Williams-Sonoma Inc | | | 16,942 | | | | 2,625 | |
Wingstop Inc, Cl A | | | 5,699 | | | | 2,371 | |
| | | | | | | | | |
| | | | | | | | 183,778 | |
Consumer Staples — 3.6% | | | | |
Colgate-Palmolive Co | | | 152,721 | | | | 15,854 | |
Costco Wholesale Corp | | | 2,272 | | | | 2,014 | |
Freshpet Inc * | | | 15,197 | | | | 2,078 | |
Kraft Heinz Co/The | | | 42,998 | | | | 1,510 | |
Kroger Co/The | | | 26,432 | | | | 1,514 | |
PepsiCo Inc | | | 107,991 | | | | 18,364 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Performance Food Group Co * | | | 6,453 | | | $ | 506 | |
Philip Morris International Inc | | | 5,543 | | | | 673 | |
Procter & Gamble Co/The | | | 15,904 | | | | 2,755 | |
Target Corp, Cl A | | | 14,977 | | | | 2,334 | |
Walmart Inc | | | 87,617 | | | | 7,075 | |
| | | | | | | | | |
| | | | | | | | 54,677 | |
Energy — 0.2% | | | | |
Cameco Corp | | | 43,956 | | | | 2,099 | |
Ovintiv Inc | | | 4,138 | | | | 159 | |
PBF Energy Inc, Cl A | | | 5,698 | | | | 177 | |
SM Energy Co | | | 22,149 | | | | 885 | |
| | | | | | | | | |
| | | | | | | | 3,320 | |
Financials — 7.0% | | | | |
BlackRock Inc | | | 879 | | | | 835 | |
Block Inc, Cl A * | | | 28,099 | | | | 1,886 | |
Capital One Financial Corp | | | 15,146 | | | | 2,268 | |
CME Group Inc, Cl A | | | 58,884 | | | | 12,993 | |
Everest Group Ltd | | | 1,645 | | | | 645 | |
FactSet Research Systems Inc | | | 13,059 | | | | 6,005 | |
Fidelity National Information Services Inc, Cl B | | | 25,424 | | | | 2,129 | |
Fiserv Inc, Cl A * | | | 34,676 | | | | 6,230 | |
JPMorgan Chase & Co | | | 14,870 | | | | 3,135 | |
Mastercard Inc, Cl A | | | 39,543 | | | | 19,526 | |
MGIC Investment Corp | | | 30,495 | | | | 781 | |
Moody's Corp | | | 51,991 | | | | 24,674 | |
MSCI Inc, Cl A | | | 16,015 | | | | 9,336 | |
S&P Global Inc | | | 13,317 | | | | 6,880 | |
Visa Inc, Cl A | | | 27,181 | | | | 7,473 | |
Wells Fargo & Co | | | 53,124 | | | | 3,001 | |
| | | | | | | | | |
| | | | | | | | 107,797 | |
Health Care — 9.9% | | | | |
10X Genomics Inc, Cl A * | | | 30,081 | | | | 679 | |
agilon health Inc * | | | 21,767 | | | | 86 | |
Alnylam Pharmaceuticals Inc * | | | 3,018 | | | | 830 | |
Amgen Inc, Cl A | | | 7,585 | | | | 2,444 | |
Apellis Pharmaceuticals Inc * | | | 30,085 | | | | 868 | |
Becton Dickinson & Co | | | 24,141 | | | | 5,820 | |
Boston Scientific Corp * | | | 214,892 | | | | 18,008 | |
Danaher Corp, Cl A | | | 16,174 | | | | 4,497 | |
Edwards Lifesciences Corp, Cl A * | | | 4,981 | | | | 329 | |
Eli Lilly & Co | | | 33,540 | | | | 29,714 | |
Gilead Sciences Inc | | | 9,775 | | | | 820 | |
HCA Healthcare Inc | | | 13,542 | | | | 5,504 | |
Intuitive Surgical Inc * | | | 15,597 | | | | 7,662 | |
Johnson & Johnson | | | 54,045 | | | | 8,758 | |
Madrigal Pharmaceuticals Inc * | | | 2,479 | | | | 526 | |
McKesson Corp | | | 11,748 | | | | 5,808 | |
Merck & Co Inc | | | 23,790 | | | | 2,702 | |
Mettler-Toledo International Inc * | | | 5,652 | | | | 8,476 | |
Natera Inc * | | | 61,566 | | | | 7,816 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Growth Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Neurocrine Biosciences Inc * | | | 139 | | | $ | 16 | |
Regeneron Pharmaceuticals Inc * | | | 2,548 | | | | 2,679 | |
ResMed Inc | | | 9,253 | | | | 2,259 | |
Sarepta Therapeutics Inc * | | | 2,310 | | | | 288 | |
Stryker Corp | | | 8,082 | | | | 2,920 | |
UnitedHealth Group Inc | | | 46,509 | | | | 27,193 | |
Universal Health Services Inc, Cl B | | | 12,683 | | | | 2,905 | |
Vaxcyte Inc * | | | 24,940 | | | | 2,850 | |
Vertex Pharmaceuticals Inc * | | | 1,104 | | | | 513 | |
| | | | | | | | | |
| | | | | | | | 152,970 | |
Industrials — 7.8% | | | | |
Allison Transmission Holdings Inc | | | 14,986 | | | | 1,440 | |
Boeing Co/The * | | | 5,157 | | | | 784 | |
Carrier Global Corp | | | 186,102 | | | | 14,979 | |
Core & Main Inc, Cl A * | | | 56,514 | | | | 2,509 | |
Eaton Corp PLC | | | 12,170 | | | | 4,034 | |
FedEx Corp | | | 319 | | | | 87 | |
General Electric Co | | | 1,824 | | | | 344 | |
GFL Environmental Inc | | | 228,460 | | | | 9,111 | |
Graco Inc | | | 81,505 | | | | 7,133 | |
HEICO Corp, Cl A | | | 36,225 | | | | 7,381 | |
Howmet Aerospace Inc | | | 57,228 | | | | 5,737 | |
Lennox International Inc | | | 5,695 | | | | 3,441 | |
Lockheed Martin Corp | | | 7,168 | | | | 4,190 | |
Masco Corp | | | 12,015 | | | | 1,009 | |
Middleby Corp/The * | | | 11,387 | | | | 1,584 | |
Northrop Grumman Corp | | | 1,591 | | | | 840 | |
Otis Worldwide Corp | | | 87,666 | | | | 9,112 | |
RTX Corp | | | 18,435 | | | | 2,234 | |
Trane Technologies PLC | | | 29,965 | | | | 11,648 | |
TransDigm Group Inc | | | 4,955 | | | | 7,071 | |
TransUnion | | | 11,420 | | | | 1,196 | |
Vertiv Holdings Co, Cl A | | | 179,481 | | | | 17,857 | |
WESCO International Inc | | | 1,373 | | | | 231 | |
Westinghouse Air Brake Technologies Corp | | | 36,187 | | | | 6,578 | |
| | | | | | | | | |
| | | | | | | | 120,530 | |
Information Technology — 39.6% | | | | |
Adobe Inc * | | | 34,341 | | | | 17,781 | |
Advanced Micro Devices Inc * | | | 34,720 | | | | 5,697 | |
Allegro MicroSystems Inc * | | | 5,471 | | | | 127 | |
Amphenol Corp, Cl A | | | 200,970 | | | | 13,095 | |
Analog Devices Inc | | | 57,952 | | | | 13,339 | |
Apple Inc | | | 512,791 | | | | 119,480 | |
Applied Materials Inc | | | 52,176 | | | | 10,542 | |
AppLovin Corp, Cl A * | | | 169,377 | | | | 22,112 | |
Arista Networks Inc * | | | 37,440 | | | | 14,370 | |
Astera Labs Inc * | | | 118,258 | | | | 6,196 | |
Atlassian Corp, Cl A * | | | 3,890 | | | | 618 | |
Broadcom Inc | | | 228,853 | | | | 39,477 | |
Cadence Design Systems Inc * | | | 12,334 | | | | 3,343 | |
Cloudflare Inc, Cl A * | | | 35,926 | | | | 2,906 | |
Crowdstrike Holdings Inc, Cl A * | | | 11,535 | | | | 3,235 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Dell Technologies Inc, Cl C | | | 35,351 | | | $ | 4,190 | |
DocuSign Inc, Cl A * | | | 18,409 | | | | 1,143 | |
DoubleVerify Holdings Inc * | | | 6,817 | | | | 115 | |
Dropbox Inc, Cl A * | | | 18,231 | | | | 464 | |
GoDaddy Inc, Cl A * | | | 5,573 | | | | 874 | |
Hewlett Packard Enterprise Co | | | 100,028 | | | | 2,047 | |
Intel Corp | | | 21,948 | | | | 515 | |
Intuit Inc | | | 9,149 | | | | 5,682 | |
Jabil Inc | | | 13,438 | | | | 1,610 | |
KLA Corp | | | 6,469 | | | | 5,010 | |
Kyndryl Holdings Inc * | | | 67,553 | | | | 1,552 | |
Manhattan Associates Inc * | | | 19,876 | | | | 5,593 | |
Marvell Technology Inc | | | 65,611 | | | | 4,732 | |
Micron Technology Inc | | | 55,441 | | | | 5,750 | |
Microsoft Corp | | | 362,839 | | | | 156,130 | |
Monolithic Power Systems Inc | | | 7,072 | | | | 6,538 | |
Motorola Solutions Inc | | | 24,269 | | | | 10,912 | |
Nutanix Inc, Cl A * | | | 8,175 | | | | 484 | |
NVIDIA Corp | | | 607,168 | | | | 73,734 | |
Oracle Corp, Cl B | | | 104,255 | | | | 17,765 | |
Palantir Technologies Inc, Cl A * | | | 56,303 | | | | 2,094 | |
Pegasystems Inc | | | 20,421 | | | | 1,493 | |
Pure Storage Inc, Cl A * | | | 4,231 | | | | 213 | |
QUALCOMM Inc | | | 10,975 | | | | 1,866 | |
Salesforce Inc | | | 17,766 | | | | 4,863 | |
Samsara, Cl A * | | | 12,266 | | | | 590 | |
ServiceNow Inc * | | | 6,390 | | | | 5,715 | |
Taiwan Semiconductor Manufacturing Co Ltd ADR | | | 73,516 | | | | 12,767 | |
TE Connectivity PLC * | | | 2,309 | | | | 349 | |
UiPath Inc, Cl A * | | | 161,252 | | | | 2,064 | |
Workday Inc, Cl A * | | | 4,872 | | | | 1,191 | |
| | | | | | | | | |
| | | | | | | | 610,363 | |
Materials — 2.0% | | | | |
Freeport-McMoRan Inc, Cl B | | | 32,714 | | | | 1,633 | |
Linde PLC | | | 30,419 | | | | 14,505 | |
Martin Marietta Materials Inc, Cl A | | | 1,393 | | | | 750 | |
PPG Industries Inc | | | 981 | | | | 130 | |
Sherwin-Williams Co/The, Cl A | | | 37,826 | | | | 14,437 | |
| | | | | | | | | |
| | | | | | | | 31,455 | |
Real Estate — 0.7% | | | | |
Brixmor Property Group Inc ‡ | | | 86,665 | | | | 2,414 | |
Equinix Inc ‡ | | | 2,627 | | | | 2,332 | |
Invitation Homes Inc ‡ | | | 51,847 | | | | 1,828 | |
Lamar Advertising Co, Cl A ‡ | | | 12,275 | | | | 1,640 | |
Ventas Inc ‡ | | | 40,466 | | | | 2,595 | |
| | | | | | | | | |
| | | | | | | | 10,809 | |
Utilities — 1.2% | | | | |
Constellation Energy Corp | | | 19,957 | | | | 5,189 | |
Dominion Energy Inc | | | 49,818 | | | | 2,879 | |
NRG Energy Inc | | | 28,719 | | | | 2,616 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Growth Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
PG&E Corp | | | 13,983 | | | $ | 277 | |
Talen Energy Corp * | | | 1,202 | | | | 214 | |
Vistra Corp | | | 62,465 | | | | 7,405 | |
| | | | | | | | | |
| | | | | | | | 18,580 | |
Total Common Stock | | | | | | | | |
(Cost $657,295) ($ Thousands) | | | | | | | 1,463,551 | |
| | | Face Amount
(Thousands) | | | | | |
U.S. TREASURY OBLIGATION — 3.0% |
U.S. Treasury Bill | | | | | | | | |
5.021%, 11/29/2024 (A) | | $ | 46,000 | | | | 45,646 | |
| | | | | | | | | |
Total U.S. Treasury Obligation | | | | | | | | |
(Cost $45,626) ($ Thousands) | | | 45,646 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
CASH EQUIVALENT — 2.0% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 31,080,047 | | | | 31,080 | |
Total Cash Equivalent | | | | | | | | |
(Cost $31,080) ($ Thousands) | | | | | | | 31,080 | |
Total Investments in Securities — 99.9% | | | | | | | | |
(Cost $734,001) ($ Thousands) | | $ | 1,540,277 | |
| | | | | | | | | |
| | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
NASDAQ 100 Index E-MINI | | | 10 | | | | Dec-2024 | | | $ | 3,958 | | | $ | 4,052 | | | $ | 94 | |
S&P 500 Index E-MINI | | | 14 | | | | Dec-2024 | | | | 3,997 | | | | 4,070 | | | | 73 | |
| | | | | | | | | | | $ | 7,955 | | | $ | 8,122 | | | $ | 167 | |
A list of the open OTC swap agreements held by the Fund at September 30, 2024, is as follows:
Total Return Swap |
Counterparty | | Reference Entity/ Obligation | | | Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional
Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/
Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
Bank of America | | United States Custom Basket of Securities | | | New York Federal Overnight Bank Fund Rate + 0.40% | | | | Asset Returns | | | | Annually | | | | 09/15/2025 | | | | USD | | | $ | 60,294 | | | $ | 2,309 | | | $ | – | | | $ | 2,309 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 2,309 | | | $ | – | | | $ | 2,309 | |
The following table represents the top 50 individual stock exposures or those exceeding 1% of the Custom Basket Total Return Swap as of September 30, 2024:
United States Custom Basket of Long Securities
| | Shares | | Description | | Notional Amount (Thousands) | | | Value (Thousands) | | | | Percentage of Basket | |
| | | | | | | | | | | | | | | | | |
| | | 6,193 | | LAM RESEARCH CORP | | $ | 4,697 | | | $ | 361 | | | | 7.8 | % |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Growth Fund (Continued)
| | Shares | | Description | | Notional Amount (Thousands) | | | Value (Thousands) | | | | Percentage of Basket | |
| | | | | | | | | | | | | | | | | |
| | | 22,708 | | ROYAL CARIBBEAN CRUISES LTD | | $ | 3,854 | | | $ | 181 | | | | 6.4 | % |
| | | 12,492 | | EQUIFAX INC | | | 3,799 | | | | (136 | ) | | | 6.3 | |
| | | 7,690 | | GOLDMAN SACHS GROUP INC | | | 3,731 | | | | 92 | | | | 6.2 | |
| | | 20,407 | | GENERAL ELECTRIC CO | | | 3,703 | | | | 144 | | | | 6.1 | |
| | | 22,081 | | SIMON PROPERTY GROUP INC | | | 3,641 | | | | 129 | | | | 6.0 | |
| | | 21,994 | | INTERCONTINENTAL EXCHANGE INC | | | 3,561 | | | | (25 | ) | | | 5.9 | |
| | | 41,083 | | EDISON INTERNATIONAL | | | 3,543 | | | | 27 | | | | 5.9 | |
| | | 71,154 | | SYNCHRONY FINANCIAL | | | 3,368 | | | | 174 | | | | 5.6 | |
| | | 23,684 | | PULTEGROUP INC | | | 3,317 | | | | 80 | | | | 5.5 | |
| | | 19,436 | | ORACLE CORP | | | 3,289 | | | | 18 | | | | 5.5 | |
| | | 21,554 | | TOLL BROTHERS INC | | | 3,234 | | | | 89 | | | | 5.4 | |
| | | 18,764 | | ATLASSIAN CORP -A- | | | 3,099 | | | | (125 | ) | | | 5.1 | |
| | | 24,190 | | TERADYNE INC | | | 3,096 | | | | 140 | | | | 5.1 | |
| | | 51,789 | | NUTANIX INC -A- | | | 3,073 | | | | (11 | ) | | | 5.1 | |
| | | 6,832 | | MICROSOFT CORP | | | 2,947 | | | | (13 | ) | | | 4.9 | |
| | | 17,543 | | WESCO INTERNATIONAL INC | | | 2,876 | | | | 72 | | | | 4.8 | |
| | | 3,210 | | MONOLITHIC POWER SYSTEMS INC | | | 2,842 | | | | 124 | | | | 4.7 | |
| | | 135,443 | | INTEL CORP | | | 2,832 | | | | 340 | | | | 4.7 | |
| | | 20,478 | | EXPEDIA GROUP INC | | | 2,781 | | | | 245 | | | | 4.6 | |
| | | 6,871 | | HCA HEALTHCARE INC | | | 2,769 | | | | 22 | | | | 4.6 | |
| | | 106,208 | | DROPBOX INC | | | 2,642 | | | | 53 | | | | 4.4 | |
| | | 16,449 | | BOEING CO | | | 2,561 | | | | (65 | ) | | | 4.2 | |
| | | 139,277 | | CARNIVAL CORPORATION | | | 2,483 | | | | 85 | | | | 4.1 | |
| | | 24,280 | | TRANSUNION | | | 2,457 | | | | 80 | | | | 4.1 | |
| | | 14,639 | | TENET HEALTHCARE CORP | | | 2,410 | | | | 18 | | | | 4.0 | |
| | | 12,607 | | ALLSTATE CORP | | | 2,402 | | | | (5 | ) | | | 4.0 | |
| | | 6,150 | | EVEREST GROUP LTD | | | 2,395 | | | | 22 | | | | 4.0 | |
| | | 119,867 | | NORWEGIAN CRUISE LINE HOLDINGS LTD | | | 2,379 | | | | 74 | | | | 3.9 | |
| | | 47,534 | | PURE STORAGE INC | | | 2,357 | | | | 26 | | | | 3.9 | |
| | | 90,138 | | NEWS CORP | | | 2,352 | | | | 53 | | | | 3.9 | |
| | | 1,220 | | FAIR ISAAC CORP | | | 2,312 | | | | 54 | | | | 3.8 | |
| | | 4,300 | | NORTHROP GRUMMAN CORP | | | 2,241 | | | | 33 | | | | 3.7 | |
| | | 7,644 | | FEDEX CORP | | | 2,237 | | | | (139 | ) | | | 3.7 | |
| | | 27,886 | | NIKE INC | | | 2,229 | | | | 238 | | | | 3.7 | |
| | | 22,104 | | SKYWORKS SOLUTIONS INC | | | 2,150 | | | | 29 | | | | 3.6 | |
| | | 123,691 | | DOUBLEVERIFY HOLDINGS INC | | | 2,114 | | | | (35 | ) | | | 3.5 | |
| | | 8,688 | | TRAVELERS COMPANIES INC | | | 2,105 | | | | (66 | ) | | | 3.5 | |
| | | 96,817 | | GAP INC | | | 1,985 | | | | 147 | | | | 3.3 | |
| | | 2,629 | | UNITED RENTALS INC | | | 1,951 | | | | 174 | | | | 3.2 | |
| | | 226,707 | | WARNER BROS. DISCOVERY INC | | | 1,941 | | | | (75 | ) | | | 3.2 | |
| | | 10,837 | | PROCTER & GAMBLE CO | | | 1,921 | | | | (48 | ) | | | 3.2 | |
| | | 11,843 | | ALPHABET INC | | | 1,872 | | | | 92 | | | | 3.1 | |
| | | 17,817 | | POPULAR INC | | | 1,752 | | | | 42 | | | | 2.9 | |
| | | 21,364 | | MASCO CORP | | | 1,731 | | | | 58 | | | | 2.9 | |
| | | 23,718 | | UBER TECHNOLOGIES INC | | | 1,696 | | | | 83 | | | | 2.8 | |
| | | 25,000 | | INCYTE CORP | | | 1,660 | | | | (11 | ) | | | 2.8 | |
| | | 23,018 | | PAYPAL HOLDINGS INC | | | 1,636 | | | | 193 | | | | 2.7 | |
| | | 14,068 | | DELL TECHNOLOGIES INC | | | 1,627 | | | | 38 | | | | 2.7 | |
| | | 2,269 | | NETFLIX INC | | | 1,580 | | | | 23 | | | | 2.6 | |
| | | 25,490 | | US FOODS HOLDING CORP | | | 1,555 | | | | 19 | | | | 2.6 | |
| | | 88,865 | | HEWLETT PACKARD ENTERPRISE CO | | | 1,531 | | | | 295 | | | | 2.5 | |
| | | 214,412 | | ADT INC | | | 1,509 | | | | 49 | | | | 2.5 | |
| | | 17,739 | | FIDELITY NATIONAL INFORMATION SERVICES INC | | | 1,508 | | | | (19 | ) | | | 2.5 | |
| | | 10,947 | | SAREPTA THERAPEUTICS INC | | | 1,361 | | | | 3 | | | | 2.3 | |
| | | 7,998 | | QUALCOMM INC | | | 1,360 | | | | (1 | ) | | | 2.3 | |
| | | 1,507 | | BLACKROCK INC | | | 1,349 | | | | 87 | | | | 2.2 | |
| | | 2,538 | | S&P GLOBAL INC | | | 1,338 | | | | (30 | ) | | | 2.2 | |
| | | 4,668 | | MONGODB INC | | | 1,338 | | | | (78 | ) | | | 2.2 | |
| | | 66,658 | | PG&E CORPORATION | | | 1,334 | | | | (18 | ) | | | 2.2 | |
| | | 48,537 | | EXELIXIS INC | | | 1,333 | | | | (77 | ) | | | 2.2 | |
| | | 11,236 | | NVIDIA CORP | | | 1,317 | | | | 71 | | | | 2.2 | |
| | | 5,214 | | RESMED INC | | | 1,313 | | | | (40 | ) | | | 2.2 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Growth Fund (Continued)
| | Shares | | Description | | Notional Amount (Thousands) | | | Value (Thousands) | | | | Percentage of Basket | |
| | | | | | | | | | | | | | | | | |
| | | 5,732 | | TESLA INC | | $ | 1,300 | | | $ | 197 | | | | 2.2 | % |
| | | 16,602 | | ELASTIC N.V. BEARER | | | 1,271 | | | | 1 | | | | 2.1 | |
| | | 49,468 | | MGIC INVESTMENT CORP | | | 1,264 | | | | (0 | ) | | | 2.1 | |
| | | 6,173 | | UNIVERSAL DISPLAY CORP | | | 1,256 | | | | 40 | | | | 2.1 | |
| | | 33,345 | | INVITATION HOMES INC | | | 1,226 | | | | (44 | ) | | | 2.0 | |
| | | 16,255 | | PERFORMANCE FOOD GROUP CO | | | 1,224 | | | | 48 | | | | 2.0 | |
| | | 9,934 | | NEUROCRINE BIOSCIENCES INC | | | 1,210 | | | | (68 | ) | | | 2.0 | |
| | | 1,284 | | ELI LILLY & CO | | | 1,186 | | | | (52 | ) | | | 2.0 | |
| | | 92,475 | | UIPATH INC | | | 1,154 | | | | 27 | | | | 1.9 | |
| | | 12,711 | | VERTIV HOLDINGS CO | | | 1,106 | | | | 157 | | | | 1.8 | |
| | | 4,610 | | UNIVERSAL HEALTH SERVICES INC | | | 1,083 | | | | (29 | ) | | | 1.8 | |
| | | 13,387 | | WALMART INC | | | 1,078 | | | | 0 | | | | 1.8 | |
| | | 11,652 | | MEDTRONIC PLC | | | 1,050 | | | | 5 | | | | 1.7 | |
| | | 45,264 | | SLM CORP | | | 961 | | | | 72 | | | | 1.6 | |
| | | 3,627 | | WORKDAY INC | | | 904 | | | | (19 | ) | | | 1.5 | |
| | | 6,208 | | CAPITAL ONE FINANCIAL CORP | | | 875 | | | | 53 | | | | 1.5 | |
| | | 5,091 | | PAYCOM SOFTWARE INC | | | 862 | | | | (16 | ) | | | 1.4 | |
| | | 7,536 | | CARDINAL HEALTH INC | | | 854 | | | | (23 | ) | | | 1.4 | |
| | | 5,864 | | LAMAR ADVERTISING CO | | | 769 | | | | 21 | | | | 1.3 | |
| | | 17,965 | | CORE & MAIN INC | | | 742 | | | | 55 | | | | 1.2 | |
| | | 10,714 | | DEXCOM INC | | | 739 | | | | (22 | ) | | | 1.2 | |
| | | 11,422 | | VENTAS INC | | | 739 | | | | (8 | ) | | | 1.2 | |
| | | 11,703 | | DOMINION ENERGY INC | | | 685 | | | | (2 | ) | | | 1.1 | |
| | | 4,393 | | TARGET CORP | | | 671 | | | | 12 | | | | 1.1 | |
| | | 16,555 | | SM ENERGY CO | | | 659 | | | | 1 | | | | 1.1 | |
| | | 31,515 | | LIBERTY GLOBAL LTD | | | 656 | | | | 27 | | | | 1.1 | |
| | | 23,127 | | ALKERMES PLC | | | 644 | | | | 2 | | | | 1.1 | |
| | | 13,250 | | SAMSARA INC | | | 639 | | | | (2 | ) | | | 1.1 | |
| | | 5,378 | | MERCK & CO INC | | | 634 | | | | (21 | ) | | | 1.1 | |
| | | 12,175 | | UNITED AIRLINES HOLDINGS INC | | | 625 | | | | 68 | | | | 1.0 | |
| | | 2,745 | | VEEVA SYSTEMS INC | | | 585 | | | | (10 | ) | | | 1.0 | |
| | | 8,567 | | PEGASYSTEMS INC | | | 578 | | | | 47 | | | | 1.0 | |
United States Custom Basket of Short Securities
| | Shares | | Description | | Notional Amount (Thousands) | | | Value (Thousands) | | | | Percentage of Basket | |
| | | | | | | | | | | | | | | | | |
| | | (7,466 | ) | RH | | $ | (2,463 | ) | | $ | (30 | ) | | | (4.1 | )% |
| | | (56,638 | ) | FIFTH THIRD BANCORP | | | (2,400 | ) | | | (43 | ) | | | (4.0 | ) |
| | | (16,022 | ) | AMERICAN WATER WORKS CO INC | | | (2,389 | ) | | | 50 | | | | (4.0 | ) |
| | | (29,950 | ) | CF INDUSTRIES HOLDINGS INC | | | (2,388 | ) | | | (178 | ) | | | (4.0 | ) |
| | | (6,428 | ) | POOL CORP | | | (2,304 | ) | | | (114 | ) | | | (3.8 | ) |
| | | (208,613 | ) | AMERICAN AIRLINES GROUP INC | | | (2,255 | ) | | | (86 | ) | | | (3.7 | ) |
| | | (28,896 | ) | COSTAR GROUP INC | | | (2,251 | ) | | | 75 | | | | (3.7 | ) |
| | | (3,624 | ) | TYLER TECHNOLOGIES INC | | | (2,123 | ) | | | 11 | | | | (3.5 | ) |
| | | (23,581 | ) | NORTHERN TRUST CORP | | | (2,116 | ) | | | (21 | ) | | | (3.5 | ) |
| | | (6,147 | ) | ZEBRA TECHNOLOGIES CORP | | | (2,113 | ) | | | (159 | ) | | | (3.5 | ) |
| | | (187,955 | ) | AMCOR PLC | | | (2,090 | ) | | | (59 | ) | | | (3.5 | ) |
| | | (14,731 | ) | GENERAC HOLDINGS INC | | | (2,084 | ) | | | (253 | ) | | | (3.5 | ) |
| | | (93,794 | ) | ROBINHOOD MARKETS INC | | | (2,083 | ) | | | (110 | ) | | | (3.5 | ) |
| | | (38,070 | ) | CIVITAS RESOURCES INC | | | (2,028 | ) | | | 67 | | | | (3.4 | ) |
| | | (16,642 | ) | EXPEDITORS INTERNATIONAL OF WASHINGTON | | | (2,015 | ) | | | (168 | ) | | | (3.3 | ) |
| | | (23,428 | ) | PRINCIPAL FINANCIAL GROUP INC | | | (1,925 | ) | | | (101 | ) | | | (3.2 | ) |
| | | (39,166 | ) | WAYFAIR INC | | | (1,909 | ) | | | (288 | ) | | | (3.2 | ) |
| | | (24,865 | ) | AGREE REALTY CORP | | | (1,907 | ) | | | 31 | | | | (3.2 | ) |
| | | (5,335 | ) | MEDPACE HOLDINGS INC | | | (1,903 | ) | | | 125 | | | | (3.2 | ) |
| | | (8,949 | ) | CHARLES RIVER LABORATORIES INTERNATIONAL INC | | | (1,823 | ) | | | 69 | | | | (3.0 | ) |
| | | (21,967 | ) | WESTERN ALLIANCE BANCORP | | | (1,809 | ) | | | (88 | ) | | | (3.0 | ) |
| | | (11,480 | ) | HOULIHAN LOKEY INC | | | (1,800 | ) | | | (11 | ) | | | (3.0 | ) |
| | | (44,687 | ) | ESSENTIAL UTILITIES INC | | | (1,764 | ) | | | 43 | | | | (2.9 | ) |
| | | (12,373 | ) | REPLIGEN CORP | | | (1,732 | ) | | | (106 | ) | | | (2.9 | ) |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Growth Fund (Concluded)
| | Shares | | Description | | Notional Amount (Thousands) | | | Value (Thousands) | | | | Percentage of Basket | |
| | | | | | | | | | | | | | | | | |
| | | (185,810 | ) | WALGREENS BOOTS ALLIANCE INC | | $ | (1,676 | ) | | $ | 23 | | | | (2.8 | )% |
| | | (7,368 | ) | ASPEN TECHNOLOGY INC | | | (1,666 | ) | | | (91 | ) | | | (2.8 | ) |
| | | (80,076 | ) | UNITY SOFTWARE INC | | | (1,626 | ) | | | (183 | ) | | | (2.7 | ) |
| | | (7,240 | ) | FABRINET BEARER | | | (1,623 | ) | | | (91 | ) | | | (2.7 | ) |
| | | (8,854 | ) | PNC FINANCIAL SERVICES GROUP INC | | | (1,620 | ) | | | (14 | ) | | | (2.7 | ) |
| | | (47,315 | ) | DUTCH BROS INC | | | (1,606 | ) | | | 90 | | | | (2.7 | ) |
| | | (11,841 | ) | CHORD ENERGY CORPORATION | | | (1,592 | ) | | | 52 | | | | (2.6 | ) |
| | | (16,458 | ) | PINNACLE FINANCIAL PARTNERS INC | | | (1,570 | ) | | | (40 | ) | | | (2.6 | ) |
| | | (7,609 | ) | HEICO CORP | | | (1,552 | ) | | | 5 | | | | (2.6 | ) |
| | | (8,683 | ) | JACK HENRY & ASSOCIATES INC | | | (1,537 | ) | | | 4 | | | | (2.5 | ) |
| | | (27,013 | ) | FIRST INDUSTRIAL REALTY TRUST INC | | | (1,531 | ) | | | 11 | | | | (2.5 | ) |
| | | (14,495 | ) | MACOM TECHNOLOGY SOLUTIONS HOLDINGS INC | | | (1,526 | ) | | | (85 | ) | | | (2.5 | ) |
| | | (12,994 | ) | CHART INDUSTRIES INC | | | (1,524 | ) | | | (86 | ) | | | (2.5 | ) |
| | | (15,459 | ) | SOUTHSTATE CORPORATION | | | (1,510 | ) | | | 11 | | | | (2.5 | ) |
| | | (15,026 | ) | FIVE BELOW INC | | | (1,486 | ) | | | 189 | | | | (2.5 | ) |
| | | (5,179 | ) | RBC BEARINGS INC | | | (1,485 | ) | | | (62 | ) | | | (2.5 | ) |
| | | (3,260 | ) | KINSALE CAPITAL GROUP INC | | | (1,479 | ) | | | (37 | ) | | | (2.5 | ) |
| | | (10,444 | ) | CHURCHILL DOWNS INC | | | (1,468 | ) | | | 58 | | | | (2.4 | ) |
| | | (20,218 | ) | MUELLER INDUSTRIES INC | | | (1,425 | ) | | | (73 | ) | | | (2.4 | ) |
| | | (8,214 | ) | AUTONATION INC | | | (1,411 | ) | | | (57 | ) | | | (2.3 | ) |
| | | (7,122 | ) | SPS COMMERCE INC | | | (1,377 | ) | | | (4 | ) | | | (2.3 | ) |
| | | (8,804 | ) | SPX TECHNOLOGIES INC | | | (1,358 | ) | | | (43 | ) | | | (2.3 | ) |
| | | (2,526 | ) | ERIE INDEMNITY CO | | | (1,333 | ) | | | (28 | ) | | | (2.2 | ) |
| | | (121,843 | ) | CCC INTELLIGENT SOLUTIONS HOLDINGS INC | | | (1,330 | ) | | | (15 | ) | | | (2.2 | ) |
| | | (5,888 | ) | FTI CONSULTING INC | | | (1,318 | ) | | | (20 | ) | | | (2.2 | ) |
| | | (8,340 | ) | CRANE COMPANY | | | (1,275 | ) | | | (43 | ) | | | (2.1 | ) |
| | | (18,318 | ) | TERRENO REALTY CORP | | | (1,274 | ) | | | 43 | | | | (2.1 | ) |
| | | (18,389 | ) | WESTERN DIGITAL CORP | | | (1,254 | ) | | | (1 | ) | | | (2.1 | ) |
| | | (83,682 | ) | NU HOLDINGS LIMITED - | | | (1,246 | ) | | | 116 | | | | (2.1 | ) |
| | | (2,861 | ) | SAIA INC | | | (1,244 | ) | | | (5 | ) | | | (2.1 | ) |
| | | (68,386 | ) | THE CHEMOURS CO | | | (1,234 | ) | | | (154 | ) | | | (2.0 | ) |
| | | (19,552 | ) | COMMERCE BANCSHARES INC | | | (1,217 | ) | | | 53 | | | | (2.0 | ) |
| | | (58,720 | ) | ARES CAPITAL CORP | | | (1,209 | ) | | | (24 | ) | | | (2.0 | ) |
| | | (38,333 | ) | BLACKSTONE SECURED LENDING FUND | | | (1,168 | ) | | | 17 | | | | (1.9 | ) |
| | | (26,638 | ) | VIPER ENERGY INC | | | (1,154 | ) | | | (56 | ) | | | (1.9 | ) |
| | | (7,336 | ) | RLI CORP | | | (1,117 | ) | | | (20 | ) | | | (1.9 | ) |
| | | (7,654 | ) | WESTLAKE CORPORATION | | | (1,093 | ) | | | (55 | ) | | | (1.8 | ) |
| | | (6,309 | ) | NOVANTA INC | | | (1,084 | ) | | | (43 | ) | | | (1.8 | ) |
| | | (4,978 | ) | F5 INC | | | (1,062 | ) | | | (36 | ) | | | (1.8 | ) |
| | | (16,769 | ) | REALTY INCOME CORP | | | (1,051 | ) | | | (11 | ) | | | (1.7 | ) |
| | | (31,194 | ) | CELSIUS HOLDINGS INC | | | (1,035 | ) | | | 74 | | | | (1.7 | ) |
| | | (51,258 | ) | XP INCORPORATION | | | (997 | ) | | | 115 | | | | (1.7 | ) |
| | | (6,097 | ) | DIGITAL REALTY TRUST INC | | | (981 | ) | | | (12 | ) | | | (1.6 | ) |
| | | (4,821 | ) | WATTS WATER TECHNOLOGIES INC | | | (958 | ) | | | (40 | ) | | | (1.6 | ) |
| | | (9,041 | ) | IDACORP INC | | | (945 | ) | | | 14 | | | | (1.6 | ) |
| | | (6,472 | ) | SUN COMMUNITIES INC | | | (944 | ) | | | 65 | | | | (1.6 | ) |
| | | (8,913 | ) | CONSOLIDATED EDISON INC | | | (935 | ) | | | 8 | | | | (1.5 | ) |
| | | (16,226 | ) | CYTOKINETICS INC | | | (921 | ) | | | 66 | | | | (1.5 | ) |
| | | (8,008 | ) | VAXCYTE INC | | | (915 | ) | | | 1 | | | | (1.5 | ) |
| | | (12,382 | ) | PROSPERITY BANCSHARES INC | | | (904 | ) | | | (1 | ) | | | (1.5 | ) |
| | | (74,341 | ) | ROIVANT SCIENCES LIMITED | | | (895 | ) | | | 39 | | | | (1.5 | ) |
| | | (4,942 | ) | LANCASTER COLONY CORP | | | (886 | ) | | | 11 | | | | (1.5 | ) |
| | | (19,032 | ) | REVOLUTION MEDICINES INC | | | (848 | ) | | | (14 | ) | | | (1.4 | ) |
| | | (168,298 | ) | AURORA INNOVATION INC | | | (821 | ) | | | (301 | ) | | | (1.4 | ) |
| | | (11,890 | ) | VIKING THERAPEUTICS INC | | | (798 | ) | | | 46 | | | | (1.3 | ) |
| | | (4,224 | ) | LANDSTAR SYSTEM INC | | | (776 | ) | | | (22 | ) | | | (1.3 | ) |
| | | (3,740 | ) | GLOBANT S.A. | | | (737 | ) | | | (3 | ) | | | (1.2 | ) |
| | | (17,647 | ) | NOBLE HOLDING CORPORATION PLC | | | (626 | ) | | | (20 | ) | | | (1.0 | ) |
| | | (4,115 | ) | ARES MANAGEMENT CORPORATION | | | (615 | ) | | | (38 | ) | | | (1.0 | ) |
| | | (2,741 | ) | CDW CORPORATION | | | (607 | ) | | | (12 | ) | | | (1.0 | ) |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Growth Fund (Concluded)
| Percentages are based on Net Assets of $1,541,858 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ | Real Estate Investment Trust. |
(A) | Interest rate represents the security's effective yield at the time of purchase. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 1,463,551 | | | | – | | | | – | | | | 1,463,551 | |
U.S. Treasury Obligation | | | – | | | | 45,646 | | | | – | | | | 45,646 | |
Cash Equivalent | | | 31,080 | | | | – | | | | – | | | | 31,080 | |
Total Investments in Securities | | | 1,494,631 | | | | 45,646 | | | | – | | | | 1,540,277 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 167 | | | | – | | | | – | | | | 167 | |
| | OTC Swap | | | | | | | | | | | | | | | | |
| | Total Return Swap* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 2,309 | | | | – | | | | 2,309 | |
Total Other Financial Instruments | | | 167 | | | | 2,309 | | | | – | | | | 2,476 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | — | | | $ | 12,537 | | | $ | (12,537 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | 3 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 16,819 | | | | 425,924 | | | | (411,663 | ) | | | — | | | | — | | | | 31,080 | | | | 1,106 | | | | — | |
Totals | | $ | 16,819 | | | $ | 438,461 | | | $ | (424,200 | ) | | $ | – | | | $ | — | | | $ | 31,080 | | | $ | 1,109 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Index Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† — 98.1% |
| | | | | | | | | |
Communication Services — 8.5% | | | | |
Alphabet Inc, Cl A | | | 129,210 | | | $ | 21,430 | |
Alphabet Inc, Cl C | | | 108,275 | | | | 18,103 | |
AT&T Inc | | | 157,651 | | | | 3,468 | |
Charter Communications Inc, Cl A * | | | 2,072 | | | | 672 | |
Comcast Corp, Cl A | | | 84,376 | | | | 3,524 | |
Electronic Arts Inc | | | 5,906 | | | | 847 | |
Fox Corp, Cl A | | | 5,031 | | | | 213 | |
Fox Corp, Cl B | | | 3,100 | | | | 120 | |
Frontier Communications Parent Inc * | | | 5,500 | | | | 195 | |
GCI Liberty Inc * | | | 2,200 | | | | — | |
IAC Inc * | | | 1,648 | | | | 89 | |
Interpublic Group of Cos Inc/The | | | 8,300 | | | | 263 | |
Iridium Communications Inc | | | 2,700 | | | | 82 | |
Liberty Broadband Corp, Cl A * | | | 400 | | | | 31 | |
Liberty Broadband Corp, Cl C * | | | 2,408 | | | | 186 | |
Liberty Global Ltd, Cl A * | | | 3,800 | | | | 80 | |
Liberty Global PLC * | | | 3,900 | | | | 84 | |
Liberty Media Corp-Liberty Formula One, Cl A * | | | 500 | | | | 36 | |
Liberty Media Corp-Liberty Formula One, Cl C * | | | 4,400 | | | | 341 | |
Liberty Media Corp-Liberty Live, Cl A * | | | 400 | | | | 20 | |
Liberty Media Corp-Liberty Live, Cl C * | | | 1,009 | | | | 52 | |
Live Nation Entertainment Inc * | | | 3,490 | | | | 382 | |
Madison Square Garden Sports Corp * | | | 396 | | | | 83 | |
Match Group Inc * | | | 5,899 | | | | 223 | |
Meta Platforms Inc, Cl A | | | 48,124 | | | | 27,548 | |
Netflix Inc * | | | 9,379 | | | | 6,652 | |
New York Times Co/The, Cl A | | | 3,612 | | | | 201 | |
News Corp, Cl A | | | 8,600 | | | | 229 | |
News Corp, Cl B | | | 2,800 | | | | 78 | |
Nexstar Media Group Inc, Cl A | | | 700 | | | | 116 | |
Omnicom Group Inc | | | 4,326 | | | | 447 | |
Paramount Global, Cl A | | | 200 | | | | 4 | |
Paramount Global, Cl B | | | 12,953 | | | | 138 | |
Pinterest Inc, Cl A * | | | 13,376 | | | | 433 | |
Playtika Holding Corp | | | 1,600 | | | | 13 | |
ROBLOX Corp, Cl A * | | | 10,700 | | | | 474 | |
Roku Inc, Cl A * | | | 2,845 | | | | 212 | |
Sirius XM Holdings Inc | | | 5,704 | | | | 135 | |
Spotify Technology SA * | | | 3,160 | | | | 1,165 | |
Take-Two Interactive Software Inc, Cl A * | | | 3,704 | | | | 569 | |
TKO Group Holdings Inc, Cl A * | | | 1,400 | | | | 173 | |
T-Mobile US Inc | | | 10,614 | | | | 2,190 | |
Trade Desk Inc/The, Cl A * | | | 9,651 | | | | 1,058 | |
TripAdvisor Inc * | | | 2,600 | | | | 38 | |
Trump Media & Technology Group Corp * | | | 1,306 | | | | 21 | |
Verizon Communications Inc | | | 92,729 | | | | 4,164 | |
Walt Disney Co/The | | | 40,394 | | | | 3,886 | |
Warner Bros Discovery Inc * | | | 50,220 | | | | 414 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
ZoomInfo Technologies Inc, Cl A * | | | 6,800 | | | $ | 70 | |
| | | | | | | | | |
| | | | | | | | 100,952 | |
Consumer Discretionary — 10.2% | | | | |
ADT Inc | | | 5,828 | | | | 42 | |
Advance Auto Parts Inc | | | 1,417 | | | | 55 | |
Airbnb Inc, Cl A * | | | 9,600 | | | | 1,217 | |
Amazon.com Inc, Cl A * | | | 204,292 | | | | 38,066 | |
Amer Sports Inc * | | | 1,145 | | | | 18 | |
Aptiv PLC * | | | 6,103 | | | | 440 | |
Aramark | | | 5,991 | | | | 232 | |
AutoNation Inc * | | | 594 | | | | 106 | |
AutoZone Inc * | | | 378 | | | | 1,191 | |
Bath & Body Works Inc | | | 5,200 | | | | 166 | |
Best Buy Co Inc | | | 4,680 | | | | 483 | |
Birkenstock Holding PLC * | | | 550 | | | | 27 | |
Booking Holdings Inc | | | 756 | | | | 3,184 | |
BorgWarner Inc | | | 5,300 | | | | 192 | |
Boyd Gaming Corp | | | 1,600 | | | | 103 | |
Bright Horizons Family Solutions Inc * | | | 1,300 | | | | 182 | |
Brunswick Corp/DE | | | 1,600 | | | | 134 | |
Burlington Stores Inc * | | | 1,353 | | | | 357 | |
Caesars Entertainment Inc * | | | 4,700 | | | | 196 | |
Capri Holdings Ltd * | | | 2,500 | | | | 106 | |
CarMax Inc * | | | 3,600 | | | | 279 | |
Carnival Corp * | | | 21,827 | | | | 403 | |
Carter's Inc | | | 800 | | | | 52 | |
Carvana Co, Cl A * | | | 2,400 | | | | 418 | |
Cava Group Inc * | | | 1,700 | | | | 211 | |
Chipotle Mexican Grill Inc, Cl A * | | | 29,750 | | | | 1,714 | |
Choice Hotels International Inc | | | 628 | | | | 82 | |
Churchill Downs Inc | | | 1,522 | | | | 206 | |
Columbia Sportswear Co | | | 800 | | | | 67 | |
Coupang Inc, Cl A * | | | 24,900 | | | | 611 | |
Crocs Inc * | | | 1,350 | | | | 196 | |
Darden Restaurants Inc | | | 2,599 | | | | 427 | |
Deckers Outdoor Corp * | | | 3,406 | | | | 543 | |
Dick's Sporting Goods Inc | | | 1,192 | | | | 249 | |
Dillard's Inc, Cl A | | | 70 | | | | 27 | |
Domino's Pizza Inc | | | 799 | | | | 344 | |
DoorDash Inc, Cl A * | | | 7,564 | | | | 1,080 | |
DR Horton Inc | | | 6,538 | | | | 1,247 | |
DraftKings Inc, Cl A * | | | 9,500 | | | | 372 | |
Duolingo Inc, Cl A * | | | 800 | | | | 226 | |
Dutch Bros Inc, Cl A * | | | 2,100 | | | | 67 | |
eBay Inc | | | 11,056 | | | | 720 | |
Etsy Inc * | | | 2,654 | | | | 147 | |
Expedia Group Inc * | | | 2,824 | | | | 418 | |
Five Below Inc * | | | 1,233 | | | | 109 | |
Floor & Decor Holdings Inc, Cl A * | | | 2,400 | | | | 298 | |
Ford Motor Co | | | 86,085 | | | | 909 | |
GameStop Corp, Cl A * | | | 6,300 | | | | 144 | |
Gap Inc/The | | | 4,600 | | | | 101 | |
Garmin Ltd | | | 3,457 | | | | 609 | |
SEI Institutional Managed Trust
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September 30, 2024
Large Cap Index Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
General Motors Co | | | 24,549 | | | $ | 1,101 | |
Gentex Corp | | | 5,335 | | | | 158 | |
Genuine Parts Co | | | 3,076 | | | | 430 | |
Grand Canyon Education Inc * | | | 700 | | | | 99 | |
H&R Block Inc | | | 3,100 | | | | 197 | |
Harley-Davidson Inc, Cl A | | | 2,600 | | | | 100 | |
Hasbro Inc | | | 2,902 | | | | 210 | |
Hilton Worldwide Holdings Inc | | | 5,434 | | | | 1,253 | |
Home Depot Inc/The | | | 21,796 | | | | 8,832 | |
Hyatt Hotels Corp, Cl A | | | 994 | | | | 151 | |
Kohl's Corp | | | 2,625 | | | | 55 | |
Las Vegas Sands Corp | | | 7,946 | | | | 400 | |
Lear Corp | | | 1,294 | | | | 141 | |
Leggett & Platt Inc | | | 3,200 | | | | 44 | |
Lennar Corp, Cl A | | | 5,189 | | | | 973 | |
Lennar Corp, Cl B | | | 250 | | | | 43 | |
Light & Wonder Inc, Cl A * | | | 2,000 | | | | 181 | |
Lithia Motors Inc, Cl A | | | 630 | | | | 200 | |
LKQ Corp | | | 5,688 | | | | 227 | |
Lowe's Cos Inc | | | 12,514 | | | | 3,389 | |
Lucid Group Inc * | | | 17,500 | | | | 62 | |
Lululemon Athletica Inc * | | | 2,698 | | | | 732 | |
Macy's Inc | | | 6,400 | | | | 100 | |
Marriott International Inc/MD, Cl A | | | 5,055 | | | | 1,257 | |
Marriott Vacations Worldwide Corp | | | 800 | | | | 59 | |
Mattel Inc * | | | 7,900 | | | | 151 | |
McDonald's Corp | | | 15,861 | | | | 4,830 | |
MGM Resorts International * | | | 5,453 | | | | 213 | |
Mohawk Industries Inc * | | | 1,132 | | | | 182 | |
Murphy USA Inc | | | 445 | | | | 219 | |
Newell Brands Inc, Cl B | | | 8,970 | | | | 69 | |
NIKE Inc, Cl B | | | 26,244 | | | | 2,320 | |
Nordstrom Inc | | | 2,500 | | | | 56 | |
Norwegian Cruise Line Holdings Ltd * | | | 9,563 | | | | 196 | |
NVR Inc * | | | 64 | | | | 628 | |
Ollie's Bargain Outlet Holdings Inc * | | | 1,361 | | | | 132 | |
O'Reilly Automotive Inc * | | | 1,250 | | | | 1,440 | |
Penn Entertainment Inc * | | | 3,300 | | | | 62 | |
Penske Automotive Group Inc, Cl A | | | 400 | | | | 65 | |
Planet Fitness Inc, Cl A * | | | 2,000 | | | | 162 | |
Polaris Inc | | | 1,231 | | | | 102 | |
Pool Corp | | | 769 | | | | 290 | |
PulteGroup Inc | | | 4,500 | | | | 646 | |
PVH Corp | | | 1,149 | | | | 116 | |
QuantumScape Corp, Cl A * | | | 6,600 | | | | 38 | |
Ralph Lauren Corp, Cl A | | | 884 | | | | 171 | |
RH * | | | 353 | | | | 118 | |
Rivian Automotive Inc, Cl A * | | | 18,600 | | | | 209 | |
Ross Stores Inc | | | 6,994 | | | | 1,053 | |
Royal Caribbean Cruises Ltd | | | 5,223 | | | | 926 | |
Service Corp International/US | | | 3,200 | | | | 253 | |
SharkNinja Inc | | | 1,500 | | | | 163 | |
Skechers USA Inc, Cl A * | | | 3,053 | | | | 204 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Starbucks Corp | | | 24,901 | | | $ | 2,428 | |
Tapestry Inc | | | 5,208 | | | | 245 | |
Tempur Sealy International Inc | | | 3,750 | | | | 205 | |
Tesla Inc * | | | 61,123 | | | | 15,992 | |
Texas Roadhouse Inc, Cl A | | | 1,500 | | | | 265 | |
Thor Industries Inc | | | 1,200 | | | | 132 | |
TJX Cos Inc/The | | | 24,759 | | | | 2,910 | |
Toll Brothers Inc | | | 2,250 | | | | 348 | |
TopBuild Corp * | | | 708 | | | | 288 | |
Tractor Supply Co | | | 2,351 | | | | 684 | |
Travel + Leisure Co | | | 1,563 | | | | 72 | |
Ulta Beauty Inc * | | | 1,080 | | | | 420 | |
Under Armour Inc, Cl A * | | | 4,200 | | | | 37 | |
Under Armour Inc, Cl C * | | | 4,500 | | | | 38 | |
Vail Resorts Inc | | | 870 | | | | 152 | |
Valvoline Inc * | | | 2,900 | | | | 121 | |
VF Corp | | | 7,764 | | | | 155 | |
Wayfair Inc, Cl A * | | | 1,823 | | | | 102 | |
Wendy's Co/The | | | 3,700 | | | | 65 | |
Whirlpool Corp | | | 1,238 | | | | 132 | |
Williams-Sonoma Inc | | | 2,800 | | | | 434 | |
Wingstop Inc, Cl A | | | 650 | | | | 270 | |
Wyndham Hotels & Resorts Inc | | | 1,663 | | | | 130 | |
Wynn Resorts Ltd | | | 2,315 | | | | 222 | |
YETI Holdings Inc * | | | 1,900 | | | | 78 | |
Yum! Brands Inc | | | 5,959 | | | | 833 | |
| | | | | | | | | |
| | | | | | | | 120,939 | |
Consumer Staples — 5.6% | | | | |
Albertsons Cos Inc, Cl A | | | 9,400 | | | | 174 | |
Altria Group Inc | | | 37,300 | | | | 1,904 | |
Archer-Daniels-Midland Co | | | 10,488 | | | | 627 | |
BellRing Brands Inc * | | | 3,000 | | | | 182 | |
BJ's Wholesale Club Holdings Inc * | | | 3,000 | | | | 247 | |
Boston Beer Co Inc/The, Cl A * | | | 190 | | | | 55 | |
Brown-Forman Corp, Cl A | | | 1,040 | | | | 50 | |
Brown-Forman Corp, Cl B | | | 2,722 | | | | 134 | |
Bunge Global SA | | | 3,100 | | | | 300 | |
Campbell Soup Co | | | 4,300 | | | | 210 | |
Casey's General Stores Inc | | | 852 | | | | 320 | |
Celsius Holdings Inc * | | | 3,300 | | | | 104 | |
Church & Dwight Co Inc | | | 5,310 | | | | 556 | |
Clorox Co/The | | | 2,771 | | | | 451 | |
Coca-Cola Co/The | | | 85,294 | | | | 6,129 | |
Coca-Cola Consolidated Inc | | | 100 | | | | 132 | |
Colgate-Palmolive Co | | | 17,679 | | | | 1,835 | |
Conagra Brands Inc | | | 10,849 | | | | 353 | |
Constellation Brands Inc, Cl A | | | 3,536 | | | | 911 | |
Costco Wholesale Corp | | | 9,760 | | | | 8,652 | |
Coty Inc, Cl A * | | | 8,539 | | | | 80 | |
Darling Ingredients Inc * | | | 3,623 | | | | 135 | |
Dollar General Corp | | | 4,945 | | | | 418 | |
Dollar Tree Inc * | | | 4,456 | | | | 313 | |
elf Beauty Inc * | | | 1,200 | | | | 131 | |
SEI Institutional Managed Trust
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September 30, 2024
Large Cap Index Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Estee Lauder Cos Inc/The, Cl A | | | 5,180 | | | $ | 516 | |
Flowers Foods Inc | | | 4,150 | | | | 96 | |
Freshpet Inc * | | | 1,000 | | | | 137 | |
General Mills Inc | | | 12,261 | | | | 906 | |
Grocery Outlet Holding Corp * | | | 2,300 | | | | 40 | |
Hershey Co/The | | | 3,192 | | | | 612 | |
Hormel Foods Corp | | | 6,537 | | | | 207 | |
Ingredion Inc | | | 1,510 | | | | 208 | |
J M Smucker Co/The | | | 2,354 | | | | 285 | |
Kellanova | | | 5,885 | | | | 475 | |
Kenvue Inc | | | 42,604 | | | | 985 | |
Keurig Dr Pepper Inc | | | 23,585 | | | | 884 | |
Kimberly-Clark Corp | | | 7,140 | | | | 1,016 | |
Kraft Heinz Co/The | | | 19,749 | | | | 693 | |
Kroger Co/The | | | 14,588 | | | | 836 | |
Lamb Weston Holdings Inc | | | 3,300 | | | | 214 | |
Maplebear Inc * | | | 3,900 | | | | 159 | |
McCormick & Co Inc/MD | | | 5,482 | | | | 451 | |
Molson Coors Beverage Co, Cl B | | | 3,995 | | | | 230 | |
Mondelez International Inc, Cl A | | | 29,146 | | | | 2,147 | |
Monster Beverage Corp * | | | 15,678 | | | | 818 | |
PepsiCo Inc | | | 30,180 | | | | 5,132 | |
Performance Food Group Co * | | | 3,500 | | | | 274 | |
Philip Morris International Inc | | | 34,213 | | | | 4,153 | |
Pilgrim's Pride Corp * | | | 900 | | | | 41 | |
Post Holdings Inc * | | | 1,107 | | | | 128 | |
Procter & Gamble Co/The | | | 51,857 | | | | 8,982 | |
Reynolds Consumer Products Inc | | | 1,200 | | | | 37 | |
Seaboard Corp | | | 6 | | | | 19 | |
Spectrum Brands Holdings Inc | | | 657 | | | | 63 | |
Sysco Corp, Cl A | | | 10,963 | | | | 856 | |
Target Corp, Cl A | | | 10,143 | | | | 1,581 | |
Tyson Foods Inc, Cl A | | | 6,308 | | | | 376 | |
US Foods Holding Corp * | | | 5,097 | | | | 314 | |
Walgreens Boots Alliance Inc | | | 16,341 | | | | 146 | |
Walmart Inc | | | 95,413 | | | | 7,705 | |
| | | | | | | | | |
| | | | | | | | 66,125 | |
Energy — 3.3% | | | | |
Antero Midstream Corp | | | 7,550 | | | | 114 | |
Antero Resources Corp * | | | 6,400 | | | | 183 | |
APA Corp | | | 8,200 | | | | 201 | |
Baker Hughes Co, Cl A | | | 22,202 | | | | 803 | |
Cheniere Energy Inc | | | 5,023 | | | | 903 | |
Chevron Corp | | | 37,849 | | | | 5,574 | |
Chord Energy Corp | | | 1,400 | | | | 182 | |
Civitas Resources Inc | | | 2,300 | | | | 117 | |
ConocoPhillips | | | 25,704 | | | | 2,706 | |
Coterra Energy Inc | | | 16,514 | | | | 395 | |
Devon Energy Corp | | | 14,061 | | | | 550 | |
Diamondback Energy Inc, Cl A | | | 3,929 | | | | 677 | |
DT Midstream Inc | | | 2,156 | | | | 170 | |
EOG Resources Inc | | | 12,482 | | | | 1,534 | |
EQT Corp | | | 13,067 | | | | 479 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Expand Energy Corp | | | 2,800 | | | $ | 230 | |
Exxon Mobil Corp | | | 98,656 | | | | 11,564 | |
Halliburton Co | | | 19,745 | | | | 574 | |
Hess Corp | | | 6,199 | | | | 842 | |
HF Sinclair Corp | | | 3,700 | | | | 165 | |
Kinder Morgan Inc | | | 42,534 | | | | 940 | |
Marathon Oil Corp | | | 12,192 | | | | 325 | |
Marathon Petroleum Corp | | | 7,750 | | | | 1,263 | |
Matador Resources Co | | | 2,700 | | | | 133 | |
New Fortress Energy Inc, Cl A | | | 1,500 | | | | 14 | |
NOV Inc | | | 8,800 | | | | 141 | |
Occidental Petroleum Corp | | | 14,223 | | | | 733 | |
ONEOK Inc | | | 12,761 | | | | 1,163 | |
Ovintiv Inc | | | 5,800 | | | | 222 | |
Permian Resources Corp, Cl A | | | 14,200 | | | | 193 | |
Phillips 66 | | | 9,162 | | | | 1,204 | |
Range Resources Corp | | | 5,250 | | | | 161 | |
Schlumberger NV, Cl A | | | 30,825 | | | | 1,293 | |
Southwestern Energy Co * | | | 24,800 | | | | 176 | |
Targa Resources Corp | | | 4,900 | | | | 725 | |
TechnipFMC PLC | | | 9,800 | | | | 257 | |
Texas Pacific Land Corp | | | 397 | | | | 351 | |
Valero Energy Corp | | | 6,974 | | | | 942 | |
Viper Energy Inc, Cl A | | | 2,100 | | | | 95 | |
Weatherford International PLC | | | 1,600 | | | | 136 | |
Williams Cos Inc/The | | | 26,673 | | | | 1,218 | |
| | | | | | | | | |
| | | | | | | | 39,648 | |
Financials — 13.2% | | | | |
Affiliated Managers Group Inc | | | 671 | | | | 119 | |
Affirm Holdings Inc, Cl A * | | | 5,200 | | | | 212 | |
Aflac Inc | | | 12,246 | | | | 1,369 | |
AGNC Investment Corp ‡ | | | 16,228 | | | | 170 | |
Allstate Corp/The | | | 5,780 | | | | 1,096 | |
Ally Financial Inc | | | 6,158 | | | | 219 | |
American Express Co | | | 12,364 | | | | 3,353 | |
American Financial Group Inc/OH | | | 1,643 | | | | 221 | |
American International Group Inc | | | 14,203 | | | | 1,040 | |
Ameriprise Financial Inc | | | 2,174 | | | | 1,021 | |
Annaly Capital Management Inc ‡ | | | 11,193 | | | | 225 | |
Aon PLC, Cl A | | | 4,297 | | | | 1,487 | |
Apollo Global Management Inc | | | 11,447 | | | | 1,430 | |
Arch Capital Group Ltd * | | | 7,889 | | | | 883 | |
Ares Management Corp, Cl A | | | 3,800 | | | | 592 | |
Arthur J Gallagher & Co | | | 4,655 | | | | 1,310 | |
Assurant Inc | | | 1,200 | | | | 239 | |
Assured Guaranty Ltd | | | 1,214 | | | | 97 | |
Axis Capital Holdings Ltd | | | 1,823 | | | | 145 | |
Bank of America Corp | | | 149,202 | | | | 5,920 | |
Bank of New York Mellon Corp/The | | | 16,185 | | | | 1,163 | |
Bank OZK | | | 2,400 | | | | 103 | |
Berkshire Hathaway Inc, Cl B * | | | 40,270 | | | | 18,535 | |
BlackRock Inc | | | 3,251 | | | | 3,087 | |
Blackstone Inc, Cl A | | | 15,549 | | | | 2,381 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Index Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Block Inc, Cl A * | | | 12,353 | | | $ | 829 | |
Blue Owl Capital Inc, Cl A | | | 10,300 | | | | 199 | |
BOK Financial Corp | | | 500 | | | | 52 | |
Brighthouse Financial Inc * | | | 1,500 | | | | 68 | |
Brown & Brown Inc | | | 5,200 | | | | 539 | |
Capital One Financial Corp | | | 8,313 | | | | 1,245 | |
Carlyle Group Inc/The | | | 4,800 | | | | 207 | |
Cboe Global Markets Inc | | | 2,300 | | | | 471 | |
Charles Schwab Corp/The | | | 32,727 | | | | 2,121 | |
Chubb Ltd | | | 8,810 | | | | 2,541 | |
Cincinnati Financial Corp | | | 3,400 | | | | 463 | |
Citigroup Inc | | | 41,980 | | | | 2,628 | |
Citizens Financial Group Inc | | | 10,159 | | | | 417 | |
CME Group Inc, Cl A | | | 7,933 | | | | 1,750 | |
CNA Financial Corp | | | 552 | | | | 27 | |
Coinbase Global Inc, Cl A * | | | 4,400 | | | | 784 | |
Columbia Banking System Inc | | | 4,966 | | | | 130 | |
Comerica Inc | | | 3,053 | | | | 183 | |
Commerce Bancshares Inc/MO | | | 2,665 | | | | 158 | |
Corebridge Financial Inc | | | 5,000 | | | | 146 | |
Corpay Inc * | | | 1,511 | | | | 473 | |
Credit Acceptance Corp, Cl A * | | | 136 | | | | 60 | |
Cullen/Frost Bankers Inc | | | 1,314 | | | | 147 | |
Discover Financial Services | | | 5,571 | | | | 782 | |
East West Bancorp Inc | | | 3,100 | | | | 256 | |
Equitable Holdings Inc | | | 7,300 | | | | 307 | |
Euronet Worldwide Inc * | | | 1,000 | | | | 99 | |
Evercore Inc, Cl A | | | 783 | | | | 198 | |
Everest Group Ltd | | | 966 | | | | 379 | |
FactSet Research Systems Inc | | | 785 | | | | 361 | |
Fidelity National Financial Inc | | | 5,710 | | | | 354 | |
Fidelity National Information Services Inc, Cl B | | | 12,319 | | | | 1,032 | |
Fifth Third Bancorp | | | 15,200 | | | | 651 | |
First American Financial Corp | | | 2,250 | | | | 149 | |
First Citizens BancShares Inc/NC, Cl A | | | 259 | | | | 477 | |
First Hawaiian Inc | | | 3,000 | | | | 69 | |
First Horizon Corp | | | 12,500 | | | | 194 | |
Fiserv Inc, Cl A * | | | 12,578 | | | | 2,260 | |
FNB Corp/PA | | | 7,950 | | | | 112 | |
Franklin Resources Inc | | | 6,300 | | | | 127 | |
Global Payments Inc | | | 5,677 | | | | 581 | |
Globe Life Inc | | | 1,501 | | | | 159 | |
Goldman Sachs Group Inc/The | | | 6,940 | | | | 3,436 | |
Hanover Insurance Group Inc/The, Cl A | | | 826 | | | | 122 | |
Hartford Financial Services Group Inc/The | | | 6,459 | | | | 760 | |
Houlihan Lokey Inc, Cl A | | | 1,150 | | | | 182 | |
Huntington Bancshares Inc/OH | | | 28,438 | | | | 418 | |
Interactive Brokers Group Inc, Cl A | | | 2,321 | | | | 323 | |
Intercontinental Exchange Inc | | | 12,512 | | | | 2,010 | |
Invesco Ltd | | | 8,162 | | | | 143 | |
Jack Henry & Associates Inc | | | 1,644 | | | | 290 | |
Janus Henderson Group PLC | | | 2,950 | | | | 112 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Jefferies Financial Group Inc | | | 3,800 | | | $ | 234 | |
JPMorgan Chase & Co | | | 63,036 | | | | 13,292 | |
Kemper Corp, Cl A | | | 1,455 | | | | 89 | |
KeyCorp | | | 20,488 | | | | 343 | |
Kinsale Capital Group Inc | | | 500 | | | | 233 | |
KKR & Co Inc | | | 14,800 | | | | 1,933 | |
Lazard Inc, Cl A | | | 2,600 | | | | 131 | |
Lincoln National Corp | | | 3,777 | | | | 119 | |
Loews Corp | | | 3,989 | | | | 315 | |
LPL Financial Holdings Inc | | | 1,592 | | | | 370 | |
M&T Bank Corp | | | 3,677 | | | | 655 | |
Markel Group Inc * | | | 280 | | | | 439 | |
MarketAxess Holdings Inc | | | 825 | | | | 211 | |
Marsh & McLennan Cos Inc | | | 10,839 | | | | 2,418 | |
Mastercard Inc, Cl A | | | 18,136 | | | | 8,956 | |
MetLife Inc | | | 12,915 | | | | 1,065 | |
MGIC Investment Corp | | | 5,900 | | | | 151 | |
Moody's Corp | | | 3,503 | | | | 1,662 | |
Morgan Stanley | | | 25,462 | | | | 2,654 | |
Morningstar Inc, Cl A | | | 600 | | | | 191 | |
MSCI Inc, Cl A | | | 1,734 | | | | 1,011 | |
Nasdaq Inc, Cl A | | | 9,133 | | | | 667 | |
Northern Trust Corp | | | 4,450 | | | | 401 | |
NU Holdings Ltd, Cl A * | | | 69,800 | | | | 953 | |
Old Republic International Corp | | | 5,600 | | | | 198 | |
OneMain Holdings Inc, Cl A | | | 2,481 | | | | 117 | |
PayPal Holdings Inc * | | | 22,420 | | | | 1,749 | |
Pinnacle Financial Partners Inc | | | 1,700 | | | | 167 | |
PNC Financial Services Group Inc/The | | | 8,556 | | | | 1,582 | |
Popular Inc | | | 1,600 | | | | 160 | |
Primerica Inc | | | 781 | | | | 207 | |
Principal Financial Group Inc, Cl A | | | 5,034 | | | | 432 | |
Progressive Corp/The | | | 12,857 | | | | 3,263 | |
Prosperity Bancshares Inc | | | 2,000 | | | | 144 | |
Prudential Financial Inc | | | 7,862 | | | | 952 | |
Raymond James Financial Inc | | | 4,205 | | | | 515 | |
Regions Financial Corp | | | 20,362 | | | | 475 | |
Reinsurance Group of America Inc, Cl A | | | 1,424 | | | | 310 | |
RenaissanceRe Holdings Ltd | | | 1,075 | | | | 293 | |
Rithm Capital Corp ‡ | | | 10,840 | | | | 123 | |
RLI Corp | | | 900 | | | | 139 | |
Robinhood Markets Inc, Cl A * | | | 14,400 | | | | 337 | |
Rocket Cos Inc, Cl A * | | | 2,800 | | | | 54 | |
Ryan Specialty Holdings Inc, Cl A | | | 2,200 | | | | 146 | |
S&P Global Inc | | | 6,894 | | | | 3,562 | |
SEI Investments Co † | | | 2,300 | | | | 159 | |
Shift4 Payments Inc, Cl A * | | | 1,200 | | | | 106 | |
SLM Corp | | | 4,940 | | | | 113 | |
SoFi Technologies Inc * | | | 21,100 | | | | 166 | |
Starwood Property Trust Inc ‡ | | | 6,600 | | | | 135 | |
State Street Corp | | | 6,709 | | | | 594 | |
Stifel Financial Corp | | | 2,200 | | | | 207 | |
Synchrony Financial | | | 8,618 | | | | 430 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Index Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Synovus Financial Corp | | | 3,400 | | | $ | 151 | |
T Rowe Price Group Inc | | | 4,771 | | | | 520 | |
TFS Financial Corp | | | 1,417 | | | | 18 | |
Toast Inc, Cl A * | | | 10,050 | | | | 285 | |
TPG Inc, Cl A | | | 1,500 | | | | 86 | |
Tradeweb Markets Inc, Cl A | | | 2,600 | | | | 322 | |
Travelers Cos Inc/The | | | 5,070 | | | | 1,187 | |
Truist Financial Corp | | | 29,327 | | | | 1,254 | |
Unum Group | | | 4,025 | | | | 239 | |
US Bancorp | | | 33,780 | | | | 1,545 | |
UWM Holdings Corp | | | 2,800 | | | | 24 | |
Virtu Financial Inc, Cl A | | | 1,900 | | | | 58 | |
Visa Inc, Cl A | | | 34,619 | | | | 9,518 | |
Voya Financial Inc | | | 2,200 | | | | 174 | |
W R Berkley Corp | | | 6,425 | | | | 364 | |
Webster Financial Corp | | | 3,868 | | | | 180 | |
Wells Fargo & Co | | | 77,015 | | | | 4,351 | |
Western Alliance Bancorp | | | 2,400 | | | | 208 | |
Western Union Co/The | | | 8,200 | | | | 98 | |
WEX Inc * | | | 895 | | | | 188 | |
White Mountains Insurance Group Ltd | | | 60 | | | | 102 | |
Willis Towers Watson PLC | | | 2,204 | | | | 649 | |
Wintrust Financial Corp | | | 1,400 | | | | 152 | |
XP Inc, Cl A | | | 7,300 | | | | 131 | |
Zions Bancorp NA | | | 3,300 | | | | 156 | |
| | | | | | | | | |
| | | | | | | | 155,686 | |
Health Care — 11.3% | | | | |
10X Genomics Inc, Cl A * | | | 2,198 | | | | 50 | |
Abbott Laboratories | | | 37,983 | | | | 4,330 | |
AbbVie Inc | | | 38,935 | | | | 7,689 | |
Acadia Healthcare Co Inc, Cl A * | | | 2,000 | | | | 127 | |
Agilent Technologies Inc | | | 6,454 | | | | 958 | |
Align Technology Inc * | | | 1,651 | | | | 420 | |
Alnylam Pharmaceuticals Inc * | | | 2,727 | | | | 750 | |
Amedisys Inc * | | | 700 | | | | 68 | |
Amgen Inc, Cl A | | | 11,830 | | | | 3,812 | |
Apellis Pharmaceuticals Inc * | | | 2,400 | | | | 69 | |
Avantor Inc * | | | 15,320 | | | | 396 | |
Azenta Inc * | | | 1,200 | | | | 58 | |
Baxter International Inc | | | 11,165 | | | | 424 | |
Becton Dickinson & Co | | | 6,359 | | | | 1,533 | |
Biogen Inc * | | | 3,259 | | | | 632 | |
BioMarin Pharmaceutical Inc * | | | 4,267 | | | | 300 | |
Bio-Rad Laboratories Inc, Cl A * | | | 456 | | | | 153 | |
Bio-Techne Corp | | | 3,496 | | | | 279 | |
Boston Scientific Corp * | | | 32,288 | | | | 2,706 | |
Bristol-Myers Squibb Co | | | 44,186 | | | | 2,286 | |
Bruker Corp | | | 2,300 | | | | 159 | |
Cardinal Health Inc | | | 5,400 | | | | 597 | |
Catalent Inc * | | | 4,023 | | | | 244 | |
Cencora Inc, Cl A | | | 3,695 | | | | 832 | |
Centene Corp * | | | 11,481 | | | | 864 | |
Certara Inc * | | | 2,600 | | | | 30 | |
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK†† (continued) |
Charles River Laboratories International Inc * | | | 1,161 | | | $ | 229 | |
Chemed Corp | | | 336 | | | | 202 | |
Cigna Group/The | | | 6,100 | | | | 2,113 | |
Cooper Cos Inc/The * | | | 4,248 | | | | 469 | |
CVS Health Corp | | | 27,258 | | | | 1,714 | |
Danaher Corp, Cl A | | | 14,134 | | | | 3,930 | |
DaVita Inc * | | | 1,100 | | | | 180 | |
DENTSPLY SIRONA Inc | | | 4,700 | | | | 127 | |
Dexcom Inc * | | | 8,772 | | | | 588 | |
Doximity Inc, Cl A * | | | 2,500 | | | | 109 | |
Edwards Lifesciences Corp, Cl A * | | | 13,147 | | | | 868 | |
Elanco Animal Health Inc * | | | 11,077 | | | | 163 | |
Elevance Health Inc | | | 5,082 | | | | 2,643 | |
Eli Lilly & Co | | | 17,618 | | | | 15,608 | |
Encompass Health Corp | | | 2,200 | | | | 213 | |
Enovis Corp * | | | 1,266 | | | | 55 | |
Envista Holdings Corp * | | | 3,800 | | | | 75 | |
Exact Sciences Corp * | | | 4,100 | | | | 279 | |
Exelixis Inc * | | | 6,300 | | | | 163 | |
Fortrea Holdings Inc * | | | 2,001 | | | | 40 | |
GE HealthCare Technologies Inc | | | 9,504 | | | | 892 | |
Gilead Sciences Inc | | | 27,444 | | | | 2,301 | |
Globus Medical Inc, Cl A * | | | 2,450 | | | | 175 | |
GRAIL Inc * | | | 604 | | | | 8 | |
HCA Healthcare Inc | | | 4,104 | | | | 1,668 | |
Henry Schein Inc * | | | 2,947 | | | | 215 | |
Hologic Inc * | | | 5,100 | | | | 415 | |
Humana Inc | | | 2,654 | | | | 841 | |
IDEXX Laboratories Inc * | | | 1,766 | | | | 892 | |
Illumina Inc * | | | 3,528 | | | | 460 | |
Incyte Corp * | | | 3,443 | | | | 228 | |
Inspire Medical Systems Inc * | | | 650 | | | | 137 | |
Insulet Corp * | | | 1,569 | | | | 365 | |
Intra-Cellular Therapies Inc, Cl A * | | | 2,300 | | | | 168 | |
Intuitive Surgical Inc * | | | 7,733 | | | | 3,799 | |
Ionis Pharmaceuticals Inc * | | | 3,200 | | | | 128 | |
IQVIA Holdings Inc * | | | 4,005 | | | | 949 | |
Jazz Pharmaceuticals PLC * | | | 1,380 | | | | 154 | |
Johnson & Johnson | | | 53,006 | | | | 8,590 | |
Labcorp Holdings Inc | | | 1,901 | | | | 425 | |
Masimo Corp * | | | 1,000 | | | | 133 | |
McKesson Corp | | | 2,842 | | | | 1,405 | |
Medpace Holdings Inc * | | | 500 | | | | 167 | |
Medtronic PLC | | | 28,153 | | | | 2,535 | |
Merck & Co Inc | | | 55,772 | | | | 6,333 | |
Mettler-Toledo International Inc * | | | 470 | | | | 705 | |
Moderna Inc * | | | 7,231 | | | | 483 | |
Molina Healthcare Inc * | | | 1,295 | | | | 446 | |
Natera Inc * | | | 2,500 | | | | 317 | |
Neurocrine Biosciences Inc * | | | 2,184 | | | | 252 | |
Organon & Co | | | 5,770 | | | | 110 | |
Penumbra Inc * | | | 800 | | | | 155 | |
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| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK†† (continued) |
Perrigo Co PLC | | | 3,193 | | | $ | 84 | |
Pfizer Inc | | | 124,325 | | | | 3,598 | |
Premier Inc, Cl A | | | 2,800 | | | | 56 | |
QIAGEN NV | | | 5,035 | | | | 229 | |
Quest Diagnostics Inc | | | 2,441 | | | | 379 | |
QuidelOrtho Corp * | | | 1,300 | | | | 59 | |
R1 RCM Inc * | | | 3,300 | | | | 47 | |
Regeneron Pharmaceuticals Inc * | | | 2,249 | | | | 2,364 | |
Repligen Corp * | | | 1,250 | | | | 186 | |
ResMed Inc | | | 3,195 | | | | 780 | |
Revvity Inc | | | 2,741 | | | | 350 | |
Roivant Sciences Ltd * | | | 7,600 | | | | 88 | |
Royalty Pharma PLC, Cl A | | | 8,400 | | | | 238 | |
Sarepta Therapeutics Inc * | | | 2,000 | | | | 250 | |
Solventum Corp * | | | 3,188 | | | | 222 | |
Sotera Health Co * | | | 3,000 | | | | 50 | |
STERIS PLC | | | 2,140 | | | | 519 | |
Stryker Corp | | | 7,948 | | | | 2,871 | |
Teleflex Inc | | | 1,039 | | | | 257 | |
Tenet Healthcare Corp * | | | 2,100 | | | | 349 | |
Thermo Fisher Scientific Inc | | | 8,347 | | | | 5,163 | |
Ultragenyx Pharmaceutical Inc * | | | 1,700 | | | | 94 | |
United Therapeutics Corp * | | | 922 | | | | 330 | |
UnitedHealth Group Inc | | | 20,185 | | | | 11,802 | |
Universal Health Services Inc, Cl B | | | 1,225 | | | | 281 | |
Veeva Systems Inc, Cl A * | | | 3,268 | | | | 686 | |
Vertex Pharmaceuticals Inc * | | | 5,646 | | | | 2,626 | |
Viatris Inc, Cl W | | | 26,330 | | | | 306 | |
Viking Therapeutics Inc * | | | 2,400 | | | | 152 | |
Waters Corp * | | | 1,299 | | | | 468 | |
West Pharmaceutical Services Inc | | | 1,578 | | | | 474 | |
Zimmer Biomet Holdings Inc | | | 4,522 | | | | 488 | |
Zoetis Inc, Cl A | | | 10,025 | | | | 1,959 | |
| | | | | | | | | |
| | | | | | | | 133,190 | |
Industrials — 9.3% | | | | |
3M Co | | | 12,152 | | | | 1,661 | |
A O Smith Corp | | | 2,700 | | | | 243 | |
AAON Inc | | | 1,500 | | | | 162 | |
Acuity Brands Inc | | | 719 | | | | 198 | |
Advanced Drainage Systems Inc | | | 1,500 | | | | 236 | |
AECOM | | | 3,000 | | | | 310 | |
AGCO Corp | | | 1,400 | | | | 137 | |
Air Lease Corp, Cl A | | | 2,300 | | | | 104 | |
Alaska Air Group Inc * | | | 2,800 | | | | 127 | |
Allegion plc | | | 1,950 | | | | 284 | |
Allison Transmission Holdings Inc | | | 2,000 | | | | 192 | |
Amentum Holdings Inc * | | | 2,745 | | | | 89 | |
American Airlines Group Inc * | | | 14,672 | | | | 165 | |
AMETEK Inc | | | 5,083 | | | | 873 | |
API Group Corp * | | | 5,200 | | | | 172 | |
Armstrong World Industries Inc | | | 1,000 | | | | 131 | |
Automatic Data Processing Inc | | | 8,974 | | | | 2,483 | |
Avis Budget Group Inc | | | 400 | | | | 35 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Axon Enterprise Inc * | | | 1,593 | | | $ | 637 | |
AZEK Co Inc/The, Cl A * | | | 3,300 | | | | 154 | |
Boeing Co/The * | | | 12,738 | | | | 1,937 | |
Booz Allen Hamilton Holding Corp, Cl A | | | 2,840 | | | | 462 | |
Broadridge Financial Solutions Inc | | | 2,625 | | | | 565 | |
Builders FirstSource Inc * | | | 2,650 | | | | 514 | |
BWX Technologies Inc | | | 2,100 | | | | 228 | |
CACI International Inc, Cl A * | | | 492 | | | | 248 | |
Carlisle Cos Inc | | | 974 | | | | 438 | |
Carrier Global Corp | | | 18,452 | | | | 1,485 | |
Caterpillar Inc, Cl A | | | 10,767 | | | | 4,211 | |
CH Robinson Worldwide Inc | | | 2,555 | | | | 282 | |
Cintas Corp | | | 7,404 | | | | 1,524 | |
Clarivate PLC * | | | 8,800 | | | | 63 | |
Clean Harbors Inc * | | | 1,100 | | | | 266 | |
CNH Industrial NV | | | 19,400 | | | | 215 | |
Comfort Systems USA Inc | | | 800 | | | | 312 | |
Concentrix Corp | | | 1,000 | | | | 51 | |
Copart Inc * | | | 19,156 | | | | 1,004 | |
Core & Main Inc, Cl A * | | | 3,700 | | | | 164 | |
Crane Co | | | 1,100 | | | | 174 | |
CSX Corp | | | 41,850 | | | | 1,445 | |
Cummins Inc | | | 2,968 | | | | 961 | |
Curtiss-Wright Corp | | | 850 | | | | 279 | |
Dayforce Inc * | | | 3,355 | | | | 206 | |
Deere & Co | | | 5,562 | | | | 2,321 | |
Delta Air Lines Inc, Cl A | | | 14,321 | | | | 727 | |
Donaldson Co Inc, Cl A | | | 2,700 | | | | 199 | |
Dover Corp | | | 3,051 | | | | 585 | |
Dun & Bradstreet Holdings Inc | | | 6,000 | | | | 69 | |
Eaton Corp PLC | | | 8,811 | | | | 2,920 | |
EMCOR Group Inc | | | 1,050 | | | | 452 | |
Emerson Electric Co | | | 12,546 | | | | 1,372 | |
Equifax Inc | | | 2,679 | | | | 787 | |
Esab Corp | | | 1,266 | | | | 135 | |
Expeditors International of Washington Inc | | | 3,100 | | | | 407 | |
Fastenal Co, Cl A | | | 12,587 | | | | 899 | |
FedEx Corp | | | 4,960 | | | | 1,358 | |
Ferguson Enterprises Inc | | | 4,500 | | | | 894 | |
Flowserve Corp | | | 2,900 | | | | 150 | |
Fortive Corp | | | 7,859 | | | | 620 | |
Fortune Brands Innovations Inc | | | 2,661 | | | | 238 | |
FTI Consulting Inc * | | | 752 | | | | 171 | |
Gates Industrial Corp PLC * | | | 3,800 | | | | 67 | |
GE Vernova Inc * | | | 5,978 | | | | 1,524 | |
Generac Holdings Inc * | | | 1,350 | | | | 215 | |
General Dynamics Corp | | | 5,955 | | | | 1,800 | |
General Electric Co | | | 23,914 | | | | 4,510 | |
Genpact Ltd | | | 3,950 | | | | 155 | |
Graco Inc | | | 3,800 | | | | 333 | |
GXO Logistics Inc * | | | 2,633 | | | | 137 | |
Hayward Holdings Inc * | | | 3,300 | | | | 51 | |
HEICO Corp | | | 1,000 | | | | 262 | |
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Large Cap Index Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
HEICO Corp, Cl A | | | 1,800 | | | $ | 367 | |
Hexcel Corp, Cl A | | | 1,900 | | | | 118 | |
Honeywell International Inc | | | 14,201 | | | | 2,936 | |
Howmet Aerospace Inc | | | 9,000 | | | | 902 | |
Hubbell Inc, Cl B | | | 1,205 | | | | 516 | |
Huntington Ingalls Industries Inc, Cl A | | | 877 | | | | 232 | |
IDEX Corp | | | 1,703 | | | | 365 | |
Illinois Tool Works Inc | | | 6,389 | | | | 1,674 | |
Ingersoll Rand Inc | | | 8,949 | | | | 878 | |
ITT Inc | | | 1,848 | | | | 276 | |
Jacobs Solutions Inc | | | 2,745 | | | | 359 | |
JB Hunt Transport Services Inc | | | 1,860 | | | | 321 | |
Johnson Controls International PLC | | | 14,626 | | | | 1,135 | |
KBR Inc | | | 3,000 | | | | 195 | |
Kirby Corp * | | | 1,300 | | | | 159 | |
Knight-Swift Transportation Holdings Inc, Cl A | | | 3,527 | | | | 190 | |
L3Harris Technologies Inc | | | 4,197 | | | | 998 | |
Landstar System Inc | | | 792 | | | | 150 | |
Leidos Holdings Inc | | | 3,000 | | | | 489 | |
Lennox International Inc | | | 631 | | | | 381 | |
Lincoln Electric Holdings Inc | | | 1,242 | | | | 239 | |
Loar Holdings Inc * | | | 235 | | | | 18 | |
Lockheed Martin Corp | | | 4,688 | | | | 2,740 | |
Lyft Inc, Cl A * | | | 7,700 | | | | 98 | |
ManpowerGroup Inc | | | 1,088 | | | | 80 | |
Masco Corp | | | 4,900 | | | | 411 | |
MasTec Inc * | | | 1,400 | | | | 172 | |
MDU Resources Group Inc | | | 4,500 | | | | 123 | |
Middleby Corp/The * | | | 1,239 | | | | 172 | |
MSA Safety Inc | | | 858 | | | | 152 | |
MSC Industrial Direct Co Inc, Cl A | | | 1,079 | | | | 93 | |
Nordson Corp | | | 1,293 | | | | 340 | |
Norfolk Southern Corp | | | 4,958 | | | | 1,232 | |
Northrop Grumman Corp | | | 3,011 | | | | 1,590 | |
nVent Electric PLC | | | 3,700 | | | | 260 | |
Old Dominion Freight Line Inc, Cl A | | | 4,366 | | | | 867 | |
Oshkosh Corp | | | 1,500 | | | | 150 | |
Otis Worldwide Corp | | | 8,826 | | | | 917 | |
Owens Corning | | | 1,960 | | | | 346 | |
PACCAR Inc | | | 11,282 | | | | 1,113 | |
Parker-Hannifin Corp, Cl A | | | 2,801 | | | | 1,770 | |
Parsons Corp * | | | 1,000 | | | | 104 | |
Paychex Inc | | | 7,090 | | | | 951 | |
Paycom Software Inc | | | 1,166 | | | | 194 | |
Paycor HCM Inc * | | | 1,600 | | | | 23 | |
Paylocity Holding Corp * | | | 935 | | | | 154 | |
Pentair PLC | | | 3,700 | | | | 362 | |
Quanta Services Inc | | | 3,150 | | | | 939 | |
RB Global Inc | | | 3,990 | | | | 321 | |
RBC Bearings Inc * | | | 600 | | | | 180 | |
Regal Rexnord Corp | | | 1,500 | | | | 249 | |
Republic Services Inc | | | 4,488 | | | | 901 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Robert Half Inc | | | 2,300 | | | $ | 155 | |
Rockwell Automation Inc | | | 2,499 | | | | 671 | |
Rollins Inc | | | 5,800 | | | | 293 | |
RTX Corp | | | 29,247 | | | | 3,544 | |
Ryder System Inc | | | 1,000 | | | | 146 | |
Saia Inc * | | | 600 | | | | 262 | |
Schneider National Inc, Cl B | | | 1,100 | | | | 31 | |
Science Applications International Corp | | | 1,200 | | | | 167 | |
Sensata Technologies Holding PLC | | | 3,400 | | | | 122 | |
Simpson Manufacturing Co Inc | | | 900 | | | | 172 | |
SiteOne Landscape Supply Inc * | | | 1,002 | | | | 151 | |
Snap-on Inc | | | 1,179 | | | | 342 | |
Southwest Airlines Co, Cl A | | | 13,044 | | | | 387 | |
Spirit AeroSystems Holdings Inc, Cl A * | | | 2,700 | | | | 88 | |
SS&C Technologies Holdings Inc | | | 4,700 | | | | 349 | |
Stanley Black & Decker Inc | | | 3,457 | | | | 381 | |
Stericycle Inc, Cl A * | | | 2,050 | | | | 125 | |
Tetra Tech Inc | | | 6,000 | | | | 283 | |
Textron Inc | | | 4,238 | | | | 375 | |
Timken Co/The | | | 1,400 | | | | 118 | |
Toro Co/The | | | 2,400 | | | | 208 | |
Trane Technologies PLC | | | 4,970 | | | | 1,932 | |
TransDigm Group Inc | | | 1,213 | | | | 1,731 | |
TransUnion | | | 4,200 | | | | 440 | |
Trex Co Inc * | | | 2,500 | | | | 166 | |
Uber Technologies Inc * | | | 44,129 | | | | 3,317 | |
U-Haul Holding Co * | | | 200 | | | | 16 | |
U-Haul Holding Co, Cl B | | | 2,333 | | | | 168 | |
Union Pacific Corp | | | 13,436 | | | | 3,312 | |
United Airlines Holdings Inc * | | | 7,173 | | | | 409 | |
United Parcel Service Inc, Cl B | | | 16,120 | | | | 2,198 | |
United Rentals Inc | | | 1,443 | | | | 1,168 | |
Valmont Industries Inc | | | 459 | | | | 133 | |
Veralto Corp | | | 5,511 | | | | 617 | |
Verisk Analytics Inc, Cl A | | | 3,149 | | | | 844 | |
Vertiv Holdings Co, Cl A | | | 7,800 | | | | 776 | |
Vestis Corp | | | 2,945 | | | | 44 | |
Waste Management Inc | | | 8,850 | | | | 1,837 | |
Watsco Inc | | | 776 | | | | 382 | |
WESCO International Inc | | | 1,000 | | | | 168 | |
Westinghouse Air Brake Technologies Corp | | | 3,866 | | | | 703 | |
WillScot Holdings Inc, Cl A * | | | 4,300 | | | | 162 | |
Woodward Inc | | | 1,342 | | | | 230 | |
WW Grainger Inc | | | 911 | | | | 946 | |
XPO Inc * | | | 2,533 | | | | 272 | |
Xylem Inc/NY | | | 5,388 | | | | 728 | |
| | | | | | | | | |
| | | | | | | | 109,756 | |
Information Technology — 29.2% | | | | |
Accenture PLC, Cl A | | | 13,829 | | | | 4,888 | |
Adobe Inc * | | | 9,744 | | | | 5,045 | |
Advanced Micro Devices Inc * | | | 35,373 | | | | 5,804 | |
Akamai Technologies Inc * | | | 3,400 | | | | 343 | |
Allegro MicroSystems Inc * | | | 1,800 | | | | 42 | |
SEI Institutional Managed Trust
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Large Cap Index Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK†† (continued) |
Amdocs Ltd | | | 2,600 | | | $ | 227 | |
Amkor Technology Inc | | | 2,600 | | | | 80 | |
Amphenol Corp, Cl A | | | 25,364 | | | | 1,653 | |
Analog Devices Inc | | | 10,887 | | | | 2,506 | |
ANSYS Inc * | | | 1,875 | | | | 597 | |
Appfolio Inc, Cl A * | | | 500 | | | | 118 | |
Apple Inc | | | 319,577 | | | | 74,461 | |
Applied Materials Inc | | | 18,347 | | | | 3,707 | |
AppLovin Corp, Cl A * | | | 5,700 | | | | 744 | |
Arista Networks Inc * | | | 5,592 | | | | 2,146 | |
Arrow Electronics Inc, Cl A * | | | 1,231 | | | | 164 | |
Aspen Technology Inc * | | | 631 | | | | 151 | |
Astera Labs Inc * | | | 499 | | | | 26 | |
Atlassian Corp, Cl A * | | | 3,443 | | | | 547 | |
Autodesk Inc, Cl A * | | | 4,682 | | | | 1,290 | |
Avnet Inc | | | 2,100 | | | | 114 | |
Bentley Systems Inc, Cl B | | | 3,200 | | | | 163 | |
BILL Holdings Inc * | | | 2,291 | | | | 121 | |
Broadcom Inc | | | 100,000 | | | | 17,250 | |
Cadence Design Systems Inc * | | | 5,937 | | | | 1,609 | |
CCC Intelligent Solutions Holdings Inc * | | | 7,800 | | | | 86 | |
CDW Corp/DE | | | 2,945 | | | | 666 | |
Ciena Corp * | | | 3,300 | | | | 203 | |
Cirrus Logic Inc * | | | 1,200 | | | | 149 | |
Cisco Systems Inc | | | 89,131 | | | | 4,744 | |
Cloudflare Inc, Cl A * | | | 6,700 | | | | 542 | |
Cognex Corp | | | 3,900 | | | | 158 | |
Cognizant Technology Solutions Corp, Cl A | | | 10,861 | | | | 838 | |
Coherent Corp * | | | 2,885 | | | | 257 | |
Confluent Inc, Cl A * | | | 4,200 | | | | 86 | |
Corning Inc, Cl B | | | 17,114 | | | | 773 | |
Crane NXT Co | | | 1,100 | | | | 62 | |
Crowdstrike Holdings Inc, Cl A * | | | 4,836 | | | | 1,356 | |
Datadog Inc, Cl A * | | | 6,500 | | | | 748 | |
Dell Technologies Inc, Cl C | | | 6,000 | | | | 711 | |
DocuSign Inc, Cl A * | | | 4,620 | | | | 287 | |
Dolby Laboratories Inc, Cl A | | | 1,353 | | | | 104 | |
DoubleVerify Holdings Inc * | | | 3,300 | | | | 56 | |
Dropbox Inc, Cl A * | | | 5,200 | | | | 132 | |
DXC Technology Co * | | | 3,981 | | | | 83 | |
Dynatrace Inc * | | | 5,800 | | | | 310 | |
Elastic NV * | | | 1,800 | | | | 138 | |
Enphase Energy Inc * | | | 2,940 | | | | 332 | |
Entegris Inc | | | 3,400 | | | | 383 | |
EPAM Systems Inc * | | | 1,242 | | | | 247 | |
F5 Inc, Cl A * | | | 1,331 | | | | 293 | |
Fair Isaac Corp * | | | 555 | | | | 1,079 | |
First Solar Inc * | | | 2,300 | | | | 574 | |
Five9 Inc * | | | 1,700 | | | | 49 | |
Fortinet Inc * | | | 13,885 | | | | 1,077 | |
Gartner Inc * | | | 1,607 | | | | 814 | |
Gen Digital Inc | | | 11,901 | | | | 326 | |
Gitlab Inc, Cl A * | | | 2,100 | | | | 108 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
GLOBALFOUNDRIES Inc * | | | 1,900 | | | $ | 76 | |
Globant SA * | | | 953 | | | | 189 | |
GoDaddy Inc, Cl A * | | | 3,125 | | | | 490 | |
Guidewire Software Inc, Cl Z * | | | 1,782 | | | | 326 | |
HashiCorp Inc, Cl A * | | | 2,150 | | | | 73 | |
Hewlett Packard Enterprise Co | | | 28,907 | | | | 591 | |
HP Inc | | | 21,801 | | | | 782 | |
HubSpot Inc * | | | 1,071 | | | | 569 | |
Informatica Inc, Cl A * | | | 900 | | | | 23 | |
Intel Corp | | | 93,626 | | | | 2,196 | |
International Business Machines Corp | | | 20,137 | | | | 4,452 | |
Intuit Inc | | | 5,999 | | | | 3,725 | |
IPG Photonics Corp * | | | 672 | | | | 50 | |
Jabil Inc | | | 2,400 | | | | 288 | |
Juniper Networks Inc | | | 7,200 | | | | 281 | |
Keysight Technologies Inc * | | | 3,832 | | | | 609 | |
KLA Corp | | | 2,970 | | | | 2,300 | |
Kyndryl Holdings Inc * | | | 5,177 | | | | 119 | |
Lam Research Corp | | | 2,864 | | | | 2,337 | |
Lattice Semiconductor Corp * | | | 3,100 | | | | 165 | |
Littelfuse Inc | | | 500 | | | | 133 | |
Lumentum Holdings Inc * | | | 1,600 | | | | 101 | |
MACOM Technology Solutions Holdings Inc * | | | 1,300 | | | | 145 | |
Manhattan Associates Inc * | | | 1,305 | | | | 367 | |
Marvell Technology Inc | | | 18,759 | | | | 1,353 | |
Microchip Technology Inc | | | 11,650 | | | | 935 | |
Micron Technology Inc | | | 24,123 | | | | 2,502 | |
Microsoft Corp | | | 163,475 | | | | 70,342 | |
MicroStrategy Inc, Cl A * | | | 3,450 | | | | 582 | |
MKS Instruments Inc | | | 1,500 | | | | 163 | |
MongoDB Inc, Cl A * | | | 1,514 | | | | 409 | |
Monolithic Power Systems Inc | | | 1,034 | | | | 956 | |
Motorola Solutions Inc | | | 3,664 | | | | 1,647 | |
nCino inc * | | | 1,600 | | | | 51 | |
NetApp Inc | | | 4,600 | | | | 568 | |
Nutanix Inc, Cl A * | | | 5,259 | | | | 312 | |
NVIDIA Corp | | | 514,570 | | | | 62,489 | |
Okta Inc, Cl A * | | | 3,516 | | | | 261 | |
ON Semiconductor Corp * | | | 9,557 | | | | 694 | |
Onto Innovation Inc * | | | 1,100 | | | | 228 | |
Oracle Corp, Cl B | | | 34,493 | | | | 5,878 | |
Palantir Technologies Inc, Cl A * | | | 44,120 | | | | 1,641 | |
Palo Alto Networks Inc * | | | 6,723 | | | | 2,298 | |
Pegasystems Inc | | | 900 | | | | 66 | |
Procore Technologies Inc * | | | 1,750 | | | | 108 | |
PTC Inc * | | | 2,565 | | | | 463 | |
Pure Storage Inc, Cl A * | | | 6,500 | | | | 327 | |
Qorvo Inc * | | | 2,124 | | | | 219 | |
QUALCOMM Inc | | | 24,607 | | | | 4,184 | |
RingCentral Inc, Cl A * | | | 1,855 | | | | 59 | |
Roper Technologies Inc | | | 2,317 | | | | 1,289 | |
Salesforce Inc | | | 20,654 | | | | 5,653 | |
SentinelOne Inc, Cl A * | | | 5,500 | | | | 132 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Index Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
ServiceNow Inc * | | | 4,514 | | | $ | 4,037 | |
Skyworks Solutions Inc | | | 3,626 | | | | 358 | |
Smartsheet Inc, Cl A * | | | 3,000 | | | | 166 | |
Snowflake Inc, Cl A * | | | 6,900 | | | | 793 | |
Super Micro Computer Inc * | | | 1,100 | | | | 458 | |
Synopsys Inc * | | | 3,367 | | | | 1,705 | |
TD SYNNEX Corp | | | 1,700 | | | | 204 | |
Teledyne Technologies Inc * | | | 1,044 | | | | 457 | |
Teradata Corp * | | | 2,147 | | | | 65 | |
Teradyne Inc | | | 3,404 | | | | 456 | |
Texas Instruments Inc | | | 20,007 | | | | 4,133 | |
Trimble Inc * | | | 5,400 | | | | 335 | |
Twilio Inc, Cl A * | | | 3,858 | | | | 252 | |
Tyler Technologies Inc * | | | 960 | | | | 560 | |
Ubiquiti Inc | | | 100 | | | | 22 | |
UiPath Inc, Cl A * | | | 8,600 | | | | 110 | |
Unity Software Inc * | | | 6,553 | | | | 148 | |
Universal Display Corp | | | 1,042 | | | | 219 | |
VeriSign Inc * | | | 1,898 | | | | 361 | |
Vontier Corp | | | 3,463 | | | | 117 | |
Western Digital Corp * | | | 7,092 | | | | 484 | |
Wolfspeed Inc * | | | 2,930 | | | | 28 | |
Workday Inc, Cl A * | | | 4,654 | | | | 1,137 | |
Zebra Technologies Corp, Cl A * | | | 1,134 | | | | 420 | |
Zoom Video Communications Inc, Cl A * | | | 5,600 | | | | 391 | |
Zscaler Inc * | | | 1,964 | | | | 336 | |
| | | | | | | | | |
| | | | | | | | 345,515 | |
Materials — 2.5% | | | | |
Air Products and Chemicals Inc | | | 4,835 | | | | 1,440 | |
Albemarle Corp | | | 2,620 | | | | 248 | |
Alcoa Corp | | | 5,555 | | | | 214 | |
Amcor PLC | | | 31,400 | | | | 356 | |
AptarGroup Inc | | | 1,500 | | | | 240 | |
Ardagh Metal Packaging SA | | | 1,250 | | | | 5 | |
Ashland Inc | | | 1,100 | | | | 96 | |
ATI Inc * | | | 2,800 | | | | 187 | |
Avery Dennison Corp | | | 1,816 | | | | 401 | |
Axalta Coating Systems Ltd * | | | 5,000 | | | | 181 | |
Ball Corp | | | 6,735 | | | | 457 | |
Berry Global Group Inc | | | 2,677 | | | | 182 | |
Celanese Corp, Cl A | | | 2,438 | | | | 332 | |
CF Industries Holdings Inc | | | 4,137 | | | | 355 | |
Chemours Co/The | | | 3,300 | | | | 67 | |
Cleveland-Cliffs Inc * | | | 10,400 | | | | 133 | |
Corteva Inc | | | 15,334 | | | | 902 | |
CRH PLC | | | 15,100 | | | | 1,400 | |
Crown Holdings Inc | | | 2,400 | | | | 230 | |
Dow Inc | | | 15,375 | | | | 840 | |
DuPont de Nemours Inc | | | 9,138 | | | | 814 | |
Eagle Materials Inc | | | 759 | | | | 218 | |
Eastman Chemical Co | | | 2,632 | | | | 295 | |
Ecolab Inc | | | 5,438 | | | | 1,389 | |
Element Solutions Inc | | | 5,000 | | | | 136 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
FMC Corp | | | 2,810 | | | $ | 185 | |
Freeport-McMoRan Inc, Cl B | | | 31,402 | | | | 1,568 | |
Graphic Packaging Holding Co | | | 6,900 | | | | 204 | |
Huntsman Corp | | | 3,655 | | | | 88 | |
International Flavors & Fragrances Inc | | | 5,569 | | | | 584 | |
International Paper Co | | | 7,591 | | | | 371 | |
Linde PLC | | | 10,600 | | | | 5,055 | |
Louisiana-Pacific Corp | | | 1,400 | | | | 150 | |
LyondellBasell Industries NV, Cl A | | | 5,761 | | | | 553 | |
Martin Marietta Materials Inc, Cl A | | | 1,316 | | | | 708 | |
Mosaic Co/The | | | 7,400 | | | | 198 | |
MP Materials Corp * | | | 2,400 | | | | 42 | |
NewMarket Corp | | | 132 | | | | 73 | |
Newmont Corp | | | 25,355 | | | | 1,355 | |
Nucor Corp | | | 5,341 | | | | 803 | |
Olin Corp | | | 2,700 | | | | 130 | |
Packaging Corp of America | | | 1,964 | | | | 423 | |
PPG Industries Inc | | | 5,188 | | | | 687 | |
Reliance Inc | | | 1,279 | | | | 370 | |
Royal Gold Inc, Cl A | | | 1,447 | | | | 203 | |
RPM International Inc | | | 2,800 | | | | 339 | |
Scotts Miracle-Gro Co/The, Cl A | | | 877 | | | | 76 | |
Sealed Air Corp | | | 3,400 | | | | 123 | |
Sherwin-Williams Co/The, Cl A | | | 5,192 | | | | 1,982 | |
Silgan Holdings Inc | | | 1,830 | | | | 96 | |
Smurfit WestRock PLC | | | 11,500 | | | | 568 | |
Sonoco Products Co | | | 2,200 | | | | 120 | |
Southern Copper Corp | | | 1,929 | | | | 223 | |
Steel Dynamics Inc | | | 3,349 | | | | 422 | |
United States Steel Corp | | | 5,000 | | | | 177 | |
Vulcan Materials Co | | | 2,889 | | | | 724 | |
Westlake Corp | | | 732 | | | | 110 | |
| | | | | | | | | |
| | | | | | | | 29,828 | |
Real Estate — 2.6% | | | | |
Agree Realty Corp ‡ | | | 2,300 | | | | 173 | |
Alexandria Real Estate Equities Inc ‡ | | | 3,848 | | | | 457 | |
American Homes 4 Rent, Cl A ‡ | | | 7,600 | | | | 292 | |
American Tower Corp, Cl A ‡ | | | 10,284 | | | | 2,392 | |
Americold Realty Trust Inc ‡ | | | 6,400 | | | | 181 | |
AvalonBay Communities Inc ‡ | | | 3,109 | | | | 700 | |
Brixmor Property Group Inc ‡ | | | 7,000 | | | | 195 | |
BXP Inc ‡ | | | 3,562 | | | | 287 | |
Camden Property Trust ‡ | | | 2,369 | | | | 293 | |
CBRE Group Inc, Cl A * | | | 6,750 | | | | 840 | |
CoStar Group Inc * | | | 9,000 | | | | 679 | |
Cousins Properties Inc ‡ | | | 3,600 | | | | 106 | |
Crown Castle Inc ‡ | | | 9,536 | | | | 1,131 | |
CubeSmart ‡ | | | 5,100 | | | | 275 | |
Digital Realty Trust Inc, Cl A ‡ | | | 7,173 | | | | 1,161 | |
EastGroup Properties Inc ‡ | | | 1,000 | | | | 187 | |
EPR Properties, Cl A ‡ | | | 1,700 | | | | 83 | |
Equinix Inc ‡ | | | 2,119 | | | | 1,881 | |
Equity LifeStyle Properties Inc ‡ | | | 4,000 | | | | 285 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Index Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Equity Residential ‡ | | | 8,283 | | | $ | 617 | |
Essex Property Trust Inc ‡ | | | 1,417 | | | | 419 | |
Extra Space Storage Inc ‡ | | | 4,565 | | | | 823 | |
Federal Realty Investment Trust ‡ | | | 1,846 | | | | 212 | |
First Industrial Realty Trust Inc ‡ | | | 3,100 | | | | 174 | |
Gaming and Leisure Properties Inc ‡ | | | 5,810 | | | | 299 | |
Healthcare Realty Trust Inc, Cl A ‡ | | | 8,600 | | | | 156 | |
Healthpeak Properties Inc ‡ | | | 15,270 | | | | 349 | |
Highwoods Properties Inc ‡ | | | 2,378 | | | | 80 | |
Host Hotels & Resorts Inc ‡ | | | 15,402 | | | | 271 | |
Howard Hughes Holdings Inc * | | | 763 | | | | 59 | |
Invitation Homes Inc ‡ | | | 13,400 | | | | 472 | |
Iron Mountain Inc ‡ | | | 6,500 | | | | 772 | |
Jones Lang LaSalle Inc * | | | 1,053 | | | | 284 | |
Kilroy Realty Corp ‡ | | | 2,800 | | | | 108 | |
Kimco Realty Corp ‡ | | | 14,905 | | | | 346 | |
Lamar Advertising Co, Cl A ‡ | | | 2,000 | | | | 267 | |
Lineage Inc ‡ | | | 1,400 | | | | 110 | |
Medical Properties Trust Inc ‡ | | | 13,835 | | | | 81 | |
Mid-America Apartment Communities Inc ‡ | | | 2,600 | | | | 413 | |
National Storage Affiliates Trust ‡ | | | 1,700 | | | | 82 | |
NNN REIT Inc ‡ | | | 4,100 | | | | 199 | |
Omega Healthcare Investors Inc ‡ | | | 5,645 | | | | 230 | |
Park Hotels & Resorts Inc ‡ | | | 4,550 | | | | 64 | |
Prologis Inc ‡ | | | 20,312 | | | | 2,565 | |
Public Storage ‡ | | | 3,456 | | | | 1,258 | |
Rayonier Inc ‡ | | | 3,500 | | | | 113 | |
Realty Income Corp ‡ | | | 18,913 | | | | 1,199 | |
Regency Centers Corp ‡ | | | 4,100 | | | | 296 | |
Rexford Industrial Realty Inc ‡ | | | 4,750 | | | | 239 | |
SBA Communications Corp, Cl A ‡ | | | 2,337 | | | | 563 | |
Seaport Entertainment Group Inc * | | | 84 | | | | 2 | |
Simon Property Group Inc ‡ | | | 7,135 | | | | 1,206 | |
STAG Industrial Inc ‡ | | | 4,100 | | | | 160 | |
Sun Communities Inc ‡ | | | 2,783 | | | | 376 | |
UDR Inc ‡ | | | 7,400 | | | | 336 | |
Ventas Inc ‡ | | | 8,790 | | | | 564 | |
VICI Properties Inc, Cl A ‡ | | | 23,094 | | | | 769 | |
Vornado Realty Trust ‡ | | | 3,800 | | | | 150 | |
Welltower Inc ‡ | | | 13,200 | | | | 1,690 | |
Weyerhaeuser Co ‡ | | | 16,197 | | | | 548 | |
WP Carey Inc ‡ | | | 4,790 | | | | 298 | |
Zillow Group Inc, Cl A * | | | 1,200 | | | | 74 | |
Zillow Group Inc, Cl C * | | | 3,500 | | | | 223 | |
| | | | | | | | | |
| | | | | | | | 31,114 | |
Utilities — 2.4% | | | | |
AES Corp/The | | | 15,200 | | | | 305 | |
Alliant Energy Corp | | | 5,721 | | | | 347 | |
Ameren Corp | | | 5,925 | | | | 518 | |
American Electric Power Co Inc | | | 11,529 | | | | 1,183 | |
American Water Works Co Inc | | | 4,315 | | | | 631 | |
Atmos Energy Corp | | | 3,316 | | | | 460 | |
Avangrid Inc | | | 1,600 | | | | 57 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Brookfield Renewable Corp, Cl A | | | 3,100 | | | $ | 101 | |
CenterPoint Energy Inc | | | 13,855 | | | | 408 | |
Clearway Energy Inc, Cl A | | | 900 | | | | 26 | |
Clearway Energy Inc, Cl C | | | 1,800 | | | | 55 | |
CMS Energy Corp | | | 6,610 | | | | 467 | |
Consolidated Edison Inc | | | 7,679 | | | | 800 | |
Constellation Energy Corp | | | 6,913 | | | | 1,798 | |
Dominion Energy Inc | | | 18,402 | | | | 1,063 | |
DTE Energy Co | | | 4,613 | | | | 592 | |
Duke Energy Corp | | | 16,762 | | | | 1,933 | |
Edison International | | | 8,349 | | | | 727 | |
Entergy Corp | | | 4,689 | | | | 617 | |
Essential Utilities Inc | | | 5,700 | | | | 220 | |
Evergy Inc | | | 5,017 | | | | 311 | |
Eversource Energy | | | 7,898 | | | | 537 | |
Exelon Corp | | | 22,239 | | | | 902 | |
FirstEnergy Corp | | | 12,800 | | | | 568 | |
IDACORP Inc, Cl A | | | 1,200 | | | | 124 | |
National Fuel Gas Co | | | 2,100 | | | | 127 | |
NextEra Energy Inc | | | 45,205 | | | | 3,821 | |
NiSource Inc | | | 9,400 | | | | 326 | |
NRG Energy Inc | | | 4,550 | | | | 414 | |
OGE Energy Corp | | | 4,500 | | | | 185 | |
PG&E Corp | | | 47,406 | | | | 937 | |
Pinnacle West Capital Corp | | | 2,600 | | | | 230 | |
PPL Corp | | | 16,403 | | | | 543 | |
Public Service Enterprise Group Inc | | | 10,904 | | | | 973 | |
Sempra | | | 13,862 | | | | 1,159 | |
Southern Co/The | | | 24,012 | | | | 2,165 | |
UGI Corp | | | 4,630 | | | | 116 | |
Vistra Corp | | | 7,519 | | | | 891 | |
WEC Energy Group Inc | | | 6,884 | | | | 662 | |
Xcel Energy Inc | | | 12,190 | | | | 796 | |
| | | | | | | | | |
| | | | | | | | 28,095 | |
Total Common Stock | | | | | | | | |
(Cost $566,983) ($ Thousands) | | | | | | | 1,160,848 | |
| | | | Number of
Rights | | | | | |
RIGHTS — 0.0% |
Seaport Entertainment Group, Expires 10/13/2024 * | | | 84 | | | | – | |
Total Rights | | | | | | | | |
(Cost $—) ($ Thousands) | | | | | | | – | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Index Fund (Concluded)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
CASH EQUIVALENT — 1.8% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 21,666,169 | | | $ | 21,666 | |
Total Cash Equivalent | | | | | | | | |
(Cost $21,666) ($ Thousands) | | | | | | | 21,666 | |
Total Investments in Securities — 99.9% | | | | | | | | |
(Cost $588,649) ($ Thousands) | | $ | 1,182,514 | |
| | | | | | | | | |
| | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index E-MINI | | | 64 | | | | Dec-2024 | | | $ | 18,293 | | | $ | 18,606 | | | $ | 313 | |
S&P Mid Cap 400 Index E-MINI | | | 13 | | | | Dec-2024 | | | | 4,002 | | | | 4,093 | | | | 91 | |
| | | | | | | | | | | $ | 22,295 | | | $ | 22,699 | | | $ | 404 | |
| Percentages are based on Net Assets of $1,183,715 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 1,160,848 | | | | – | | | | – | | | | 1,160,848 | |
Rights | | | – | ^ | | | – | | | | – | | | | – | |
Cash Equivalent | | | 21,666 | | | | – | | | | – | | | | 21,666 | |
Total Investments in Securities | | | 1,182,514 | | | | – | | | | – | | | | 1,182,514 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 404 | | | | – | | | | – | | | | 404 | |
Total Other Financial Instruments | | | 404 | | | | – | | | | – | | | | 404 | |
| | | | | | | | | | | | | | | | | | |
^ This category includes securities with a value less than $500.
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Large Cap Index Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Investments Co | | $ | 151 | | | $ | — | | | $ | (13 | ) | | $ | (2 | ) | | $ | 23 | | | $ | 159 | | | $ | 2 | | | $ | — | |
SEI Liquidity Fund, LP | | | 567 | | | | 1,301 | | | | (1,870 | ) | | | — | | | | 2 | | | | — | | | | 21 | | | | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 32,499 | | | | 173,783 | | | | (184,616 | ) | | | — | | | | — | | | | 21,666 | | | | 1,190 | | | | — | |
Totals | | $ | 33,217 | | | $ | 175,084 | | | $ | (186,499 | ) | | $ | (2 | ) | | $ | 25 | | | $ | 21,825 | | | $ | 1,213 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Large Cap Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK — 97.8% |
| | | | | | | | | |
Communication Services — 7.3% | | | | |
Alphabet Inc, Cl A | | | 464,064 | | | $ | 76,965 | |
Alphabet Inc, Cl C | | | 441,960 | | | | 73,891 | |
AT&T Inc | | | 1,675,226 | | | | 36,855 | |
BCE Inc | | | 202,648 | | | | 7,052 | |
Charter Communications Inc, Cl A * | | | 12,696 | | | | 4,115 | |
Comcast Corp, Cl A | | | 237,447 | | | | 9,918 | |
Electronic Arts Inc | | | 50,445 | | | | 7,236 | |
Meta Platforms Inc, Cl A | | | 111,272 | | | | 63,697 | |
Nexstar Media Group Inc, Cl A | | | 15,656 | | | | 2,589 | |
Omnicom Group Inc | | | 73,971 | | | | 7,648 | |
Paramount Global, Cl B | | | 612,257 | | | | 6,502 | |
Sirius XM Holdings Inc | | | 269,384 | | | | 6,371 | |
Verizon Communications Inc | | | 97,068 | | | | 4,359 | |
Walt Disney Co/The | | | 113,697 | | | | 10,936 | |
Warner Bros Discovery Inc * | | | 14,202 | | | | 117 | |
| | | | | | | | | |
| | | | | | | | 318,251 | |
Consumer Discretionary — 10.4% | | | | |
Amazon.com Inc, Cl A * | | | 368,960 | | | | 68,748 | |
AutoZone Inc * | | | 16,513 | | | | 52,017 | |
Best Buy Co Inc | | | 66,137 | | | | 6,832 | |
Booking Holdings Inc | | | 2,537 | | | | 10,686 | |
BorgWarner Inc | | | 89,239 | | | | 3,238 | |
Brinker International Inc * | | | 57,140 | | | | 4,373 | |
Darden Restaurants Inc | | | 3,127 | | | | 513 | |
Dick's Sporting Goods Inc | | | 68,312 | | | | 14,257 | |
Domino's Pizza Inc | | | 16,892 | | | | 7,266 | |
DR Horton Inc | | | 16,198 | | | | 3,090 | |
eBay Inc | | | 127,055 | | | | 8,273 | |
General Motors Co | | | 176,428 | | | | 7,911 | |
Genuine Parts Co | | | 79,642 | | | | 11,124 | |
Goodyear Tire & Rubber Co/The * | | | 406,438 | | | | 3,597 | |
Harley-Davidson Inc, Cl A | | | 88,020 | | | | 3,391 | |
Home Depot Inc/The | | | 28,380 | | | | 11,500 | |
Lear Corp | | | 45,049 | | | | 4,917 | |
Lowe's Cos Inc | | | 297,050 | | | | 80,456 | |
Magna International Inc, Cl A | | | 19,822 | | | | 813 | |
NIKE Inc, Cl B | | | 354,956 | | | | 31,378 | |
O'Reilly Automotive Inc * | | | 1,906 | | | | 2,195 | |
Phinia Inc | | | 17,847 | | | | 822 | |
PulteGroup Inc | | | 228,380 | | | | 32,779 | |
PVH Corp | | | 35,794 | | | | 3,609 | |
Ross Stores Inc | | | 42,237 | | | | 6,357 | |
Royal Caribbean Cruises Ltd | | | 41,865 | | | | 7,425 | |
Starbucks Corp | | | 68,046 | | | | 6,634 | |
TJX Cos Inc/The | | | 374,562 | | | | 44,026 | |
TopBuild Corp * | | | 14,748 | | | | 6,000 | |
Whirlpool Corp | | | 64,521 | | | | 6,904 | |
| | | | | | | | | |
| | | | | | | | 451,131 | |
Consumer Staples — 6.5% | | | | |
Altria Group Inc | | | 266,855 | | | | 13,620 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Archer-Daniels-Midland Co | | | 50,878 | | | $ | 3,039 | |
Coca-Cola Co/The | | | 108,858 | | | | 7,823 | |
Colgate-Palmolive Co | | | 91,538 | | | | 9,503 | |
Conagra Brands Inc | | | 220,559 | | | | 7,173 | |
Constellation Brands Inc, Cl A | | | 10,975 | | | | 2,828 | |
Costco Wholesale Corp | | | 9,292 | | | | 8,238 | |
Dollar General Corp | | | 45,559 | | | | 3,853 | |
Hershey Co/The | | | 26,426 | | | | 5,068 | |
Ingredion Inc | | | 26,094 | | | | 3,586 | |
Kenvue Inc | | | 117,326 | | | | 2,714 | |
Kimberly-Clark Corp | | | 41,873 | | | | 5,958 | |
Kroger Co/The | | | 798,798 | | | | 45,771 | |
Lamb Weston Holdings Inc | | | 16,377 | | | | 1,060 | |
Molson Coors Beverage Co, Cl B | | | 246,452 | | | | 14,176 | |
Mondelez International Inc, Cl A | | | 24,475 | | | | 1,803 | |
Monster Beverage Corp * | | | 27,454 | | | | 1,432 | |
PepsiCo Inc | | | 208,587 | | | | 35,470 | |
Philip Morris International Inc | | | 245,614 | | | | 29,818 | |
Post Holdings Inc * | | | 38,960 | | | | 4,510 | |
Procter & Gamble Co/The | | | 233,806 | | | | 40,495 | |
Target Corp, Cl A | | | 53,833 | | | | 8,390 | |
Tyson Foods Inc, Cl A | | | 253,116 | | | | 15,076 | |
Unilever PLC ADR | | | 37,785 | | | | 2,454 | |
Walmart Inc | | | 127,956 | | | | 10,332 | |
| | | | | | | | | |
| | | | | | | | 284,190 | |
Energy — 3.4% | | | | |
Canadian Natural Resources Ltd | | | 494,012 | | | | 16,406 | |
Chevron Corp | | | 178,499 | | | | 26,287 | |
ConocoPhillips | | | 179,580 | | | | 18,906 | |
Devon Energy Corp | | | 357,504 | | | | 13,986 | |
Exxon Mobil Corp | | | 126,838 | | | | 14,868 | |
HF Sinclair Corp | | | 40,846 | | | | 1,820 | |
Marathon Petroleum Corp | | | 152,241 | | | | 24,802 | |
Phillips 66 | | | 95,701 | | | | 12,580 | |
Valero Energy Corp | | | 143,915 | | | | 19,433 | |
| | | | | | | | | |
| | | | | | | | 149,088 | |
Financials — 15.7% | | | | |
Aflac Inc | | | 136,144 | | | | 15,221 | |
Allstate Corp/The | | | 49,660 | | | | 9,418 | |
American Financial Group Inc/OH | | | 11,100 | | | | 1,494 | |
Ameriprise Financial Inc | | | 35,951 | | | | 16,890 | |
Assurant Inc | | | 33,412 | | | | 6,644 | |
Assured Guaranty Ltd | | | 31,872 | | | | 2,534 | |
Bank of America Corp | | | 1,284,336 | | | | 50,962 | |
Berkshire Hathaway Inc, Cl B * | | | 93,247 | | | | 42,918 | |
Capital One Financial Corp | | | 43,778 | | | | 6,555 | |
Chubb Ltd | | | 26,127 | | | | 7,535 | |
Citigroup Inc | | | 330,151 | | | | 20,667 | |
CME Group Inc, Cl A | | | 77,815 | | | | 17,170 | |
Discover Financial Services | | | 126,480 | | | | 17,744 | |
Everest Group Ltd | | | 38,172 | | | | 14,957 | |
Fifth Third Bancorp | | | 487,076 | | | | 20,866 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Large Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Goldman Sachs Group Inc/The | | | 21,644 | | | $ | 10,716 | |
Hartford Financial Services Group Inc/The | | | 66,936 | | | | 7,872 | |
Intercontinental Exchange Inc | | | 50,750 | | | | 8,153 | |
JPMorgan Chase & Co | | | 338,857 | | | | 71,451 | |
KKR & Co Inc | | | 53,993 | | | | 7,050 | |
Marsh & McLennan Cos Inc | | | 26,931 | | | | 6,008 | |
Mastercard Inc, Cl A | | | 117,450 | | | | 57,997 | |
Moody's Corp | | | 154,010 | | | | 73,092 | |
Morgan Stanley | | | 311,935 | | | | 32,516 | |
MSCI Inc, Cl A | | | 64,006 | | | | 37,311 | |
Navient Corp | | | 91,251 | | | | 1,423 | |
PNC Financial Services Group Inc/The | | | 36,433 | | | | 6,735 | |
Progressive Corp/The | | | 4,956 | | | | 1,258 | |
Prudential Financial Inc | | | 17,700 | | | | 2,144 | |
Regions Financial Corp | | | 507,300 | | | | 11,835 | |
S&P Global Inc | | | 10,324 | | | | 5,334 | |
Travelers Cos Inc/The | | | 118,288 | | | | 27,694 | |
Truist Financial Corp | | | 28,769 | | | | 1,230 | |
Visa Inc, Cl A | | | 182,933 | | | | 50,297 | |
Voya Financial Inc | | | 91,410 | | | | 7,242 | |
Wells Fargo & Co | | | 92,870 | | | | 5,246 | |
| | | | | | | | | |
| | | | | | | | 684,179 | |
Health Care — 13.5% | | | | |
AbbVie Inc | | | 92,048 | | | | 18,178 | |
Amgen Inc, Cl A | | | 107,470 | | | | 34,628 | |
Baxter International Inc | | | 229,622 | | | | 8,719 | |
Becton Dickinson & Co | | | 108,547 | | | | 26,171 | |
Cardinal Health Inc | | | 36,074 | | | | 3,987 | |
Cencora Inc, Cl A | | | 137,635 | | | | 30,979 | |
Centene Corp * | | | 19,739 | | | | 1,486 | |
Cigna Group/The | | | 27,340 | | | | 9,472 | |
CVS Health Corp | | | 115,701 | | | | 7,275 | |
Danaher Corp, Cl A | | | 26,004 | | | | 7,230 | |
DENTSPLY SIRONA Inc | | | 160,988 | | | | 4,356 | |
Edwards Lifesciences Corp, Cl A * | | | 61,914 | | | | 4,086 | |
Elevance Health Inc | | | 10,844 | | | | 5,639 | |
Eli Lilly & Co | | | 17,885 | | | | 15,845 | |
Gilead Sciences Inc | | | 97,950 | | | | 8,212 | |
HCA Healthcare Inc | | | 101,291 | | | | 41,168 | |
Humana Inc | | | 11,818 | | | | 3,743 | |
IDEXX Laboratories Inc * | | | 12,340 | | | | 6,234 | |
Intuitive Surgical Inc * | | | 21,300 | | | | 10,464 | |
Jazz Pharmaceuticals PLC * | | | 1,815 | | | | 202 | |
Johnson & Johnson | | | 497,177 | | | | 80,572 | |
McKesson Corp | | | 12,923 | | | | 6,389 | |
Medtronic PLC | | | 86,580 | | | | 7,795 | |
Merck & Co Inc | | | 555,614 | | | | 63,096 | |
Mettler-Toledo International Inc * | | | 28,371 | | | | 42,548 | |
Novartis AG ADR | | | 32,225 | | | | 3,706 | |
Novo Nordisk A/S ADR | | | 51,225 | | | | 6,099 | |
Organon & Co | | | 640,657 | | | | 12,256 | |
Pfizer Inc | | | 706,138 | | | | 20,436 | |
Royalty Pharma PLC, Cl A | | | 7,094 | | | | 201 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
United Therapeutics Corp * | | | 22,931 | | | $ | 8,217 | |
UnitedHealth Group Inc | | | 117,739 | | | | 68,840 | |
Vertex Pharmaceuticals Inc * | | | 2,576 | | | | 1,198 | |
Viatris Inc, Cl W | | | 1,101,584 | | | | 12,789 | |
Zoetis Inc, Cl A | | | 33,352 | | | | 6,516 | |
| | | | | | | | | |
| | | | | | | | 588,732 | |
Industrials — 10.2% | | | | |
AerCap Holdings NV | | | 111,610 | | | | 10,572 | |
AGCO Corp | | | 67,443 | | | | 6,600 | |
Allison Transmission Holdings Inc | | | 24,603 | | | | 2,364 | |
Carlisle Cos Inc | | | 6,137 | | | | 2,760 | |
Carrier Global Corp | | | 357,041 | | | | 28,738 | |
Caterpillar Inc, Cl A | | | 25,261 | | | | 9,880 | |
Chart Industries Inc * | | | 29,522 | | | | 3,665 | |
Cummins Inc | | | 8,214 | | | | 2,660 | |
Deere & Co | | | 14,637 | | | | 6,108 | |
Delta Air Lines Inc, Cl A | | | 128,832 | | | | 6,543 | |
Eaton Corp PLC | | | 27,035 | | | | 8,960 | |
Equifax Inc | | | 62,566 | | | | 18,386 | |
FedEx Corp | | | 20,626 | | | | 5,645 | |
Fortive Corp | | | 67,655 | | | | 5,340 | |
Graco Inc | | | 351,903 | | | | 30,795 | |
GXO Logistics Inc * | | | 266,043 | | | | 13,853 | |
HEICO Corp | | | 22,070 | | | | 5,771 | |
Huntington Ingalls Industries Inc, Cl A | | | 41,706 | | | | 11,026 | |
Illinois Tool Works Inc | | | 47,481 | | | | 12,443 | |
Johnson Controls International PLC | | | 464,470 | | | | 36,047 | |
L3Harris Technologies Inc | | | 25,220 | | | | 5,999 | |
Lockheed Martin Corp | | | 15,688 | | | | 9,171 | |
ManpowerGroup Inc | | | 80,218 | | | | 5,898 | |
Middleby Corp/The * | | | 51,919 | | | | 7,223 | |
Northrop Grumman Corp | | | 12,855 | | | | 6,788 | |
Oshkosh Corp | | | 61,954 | | | | 6,208 | |
PACCAR Inc | | | 59,000 | | | | 5,822 | |
Republic Services Inc | | | 14,382 | | | | 2,888 | |
Rollins Inc | | | 48,391 | | | | 2,448 | |
RTX Corp | | | 247,761 | | | | 30,019 | |
Ryder System Inc | | | 43,138 | | | | 6,289 | |
Siemens AG ADR | | | 170,436 | | | | 17,223 | |
Southwest Airlines Co, Cl A | | | 86,460 | | | | 2,562 | |
Textron Inc | | | 190,528 | | | | 16,877 | |
Timken Co/The | | | 75,884 | | | | 6,396 | |
TransDigm Group Inc | | | 26,258 | | | | 37,474 | |
United Airlines Holdings Inc * | | | 21,156 | | | | 1,207 | |
Veralto Corp | | | 118,306 | | | | 13,234 | |
Verisk Analytics Inc, Cl A | | | 14,997 | | | | 4,019 | |
Waste Management Inc | | | 18,232 | | | | 3,785 | |
WW Grainger Inc | | | 22,097 | | | | 22,955 | |
| | | | | | | | | |
| | | | | | | | 442,641 | |
Information Technology — 23.0% | | | | |
Adobe Inc * | | | 127,506 | | | | 66,020 | |
Amphenol Corp, Cl A | | | 209,248 | | | | 13,635 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Large Cap Fund (Concluded)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Analog Devices Inc | | | 114,008 | | | $ | 26,241 | |
Apple Inc | | | 681,912 | | | | 158,885 | |
Applied Materials Inc | | | 88,030 | | | | 17,786 | |
Arista Networks Inc * | | | 81,411 | | | | 31,247 | |
Broadcom Inc | | | 261,108 | | | | 45,041 | |
Cirrus Logic Inc * | | | 1,924 | | | | 239 | |
Cisco Systems Inc | | | 582,795 | | | | 31,016 | |
Cognizant Technology Solutions Corp, Cl A | | | 8,912 | | | | 688 | |
Corning Inc, Cl B | | | 155,038 | | | | 7,000 | |
Dolby Laboratories Inc, Cl A | | | 100,624 | | | | 7,701 | |
Dropbox Inc, Cl A * | | | 302,090 | | | | 7,682 | |
F5 Inc, Cl A * | | | 25,439 | | | | 5,602 | |
Fair Isaac Corp * | | | 6,258 | | | | 12,163 | |
Hewlett Packard Enterprise Co | | | 294,388 | | | | 6,023 | |
HP Inc | | | 364,323 | | | | 13,068 | |
International Business Machines Corp | | | 6,932 | | | | 1,533 | |
Intuit Inc | | | 88,384 | | | | 54,886 | |
Juniper Networks Inc | | | 7,046 | | | | 275 | |
Lam Research Corp | | | 6,481 | | | | 5,289 | |
Marvell Technology Inc | | | 74,923 | | | | 5,403 | |
Microchip Technology Inc | | | 353,874 | | | | 28,413 | |
Micron Technology Inc | | | 155,731 | | | | 16,151 | |
Microsoft Corp | | | 486,353 | | | | 209,278 | |
Motorola Solutions Inc | | | 25,067 | | | | 11,271 | |
NetApp Inc | | | 45,929 | | | | 5,673 | |
NVIDIA Corp | | | 313,639 | | | | 38,088 | |
Oracle Corp, Cl B | | | 453,993 | | | | 77,360 | |
QUALCOMM Inc | | | 67,431 | | | | 11,467 | |
Roper Technologies Inc | | | 51,458 | | | | 28,633 | |
Salesforce Inc | | | 27,652 | | | | 7,569 | |
SAP SE ADR | | | 63,283 | | | | 14,498 | |
Seagate Technology Holdings PLC | | | 67,318 | | | | 7,373 | |
ServiceNow Inc * | | | 7,793 | | | | 6,970 | |
Texas Instruments Inc | | | 34,041 | | | | 7,032 | |
Western Digital Corp * | | | 33,750 | | | | 2,305 | |
Xerox Holdings Corp | | | 850,856 | | | | 8,832 | |
| | | | | | | | | |
| | | | | | | | 998,336 | |
Materials — 4.3% | | | | |
Celanese Corp, Cl A | | | 28,298 | | | | 3,847 | |
Corteva Inc | | | 64,004 | | | | 3,763 | |
Dow Inc | | | 162,912 | | | | 8,900 | |
DuPont de Nemours Inc | | | 8,453 | | | | 753 | |
Eastman Chemical Co | | | 95,433 | | | | 10,684 | |
Ecolab Inc | | | 28,841 | | | | 7,364 | |
Huntsman Corp | | | 278,086 | | | | 6,730 | |
Ingevity Corp * | | | 14,131 | | | | 551 | |
Linde PLC | | | 123,959 | | | | 59,111 | |
LyondellBasell Industries NV, Cl A | | | 74,826 | | | | 7,176 | |
O-I Glass Inc, Cl I * | | | 48,098 | | | | 631 | |
Reliance Inc | | | 11,055 | | | | 3,197 | |
Sherwin-Williams Co/The, Cl A | | | 154,074 | | | | 58,805 | |
Steel Dynamics Inc | | | 95,252 | | | | 12,009 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Sylvamo Corp | | | 12,276 | | | $ | 1,054 | |
| | | | | | | | | |
| | | | | | | | 184,575 | |
Real Estate — 1.5% | | | | |
American Tower Corp, Cl A ‡ | | | 101,757 | | | | 23,665 | |
Brandywine Realty Trust ‡ | | | 24,300 | | | | 132 | |
CBRE Group Inc, Cl A * | | | 41,173 | | | | 5,125 | |
Crown Castle Inc ‡ | | | 34,157 | | | | 4,052 | |
Equinix Inc ‡ | | | 1,986 | | | | 1,763 | |
Healthpeak Properties Inc ‡ | | | 395,734 | | | | 9,050 | |
Howard Hughes Holdings Inc * | | | 30,087 | | | | 2,330 | |
Omega Healthcare Investors Inc ‡ | | | 53,394 | | | | 2,173 | |
Public Storage ‡ | | | 4,106 | | | | 1,494 | |
Sabra Health Care REIT Inc ‡ | | | 320,419 | | | | 5,963 | |
SBA Communications Corp, Cl A ‡ | | | 18,373 | | | | 4,422 | |
Welltower Inc ‡ | | | 48,149 | | | | 6,165 | |
| | | | | | | | | |
| | | | | | | | 66,334 | |
Utilities — 2.0% | | | | |
Ameren Corp | | | 64,109 | | | | 5,607 | |
American Electric Power Co Inc | | | 57,553 | | | | 5,905 | |
Constellation Energy Corp | | | 28,651 | | | | 7,450 | |
Edison International | | | 98,283 | | | | 8,559 | |
Exelon Corp | | | 132,096 | | | | 5,357 | |
FirstEnergy Corp | | | 57,748 | | | | 2,561 | |
NextEra Energy Inc | | | 123,716 | | | | 10,458 | |
NRG Energy Inc | | | 264,927 | | | | 24,135 | |
UGI Corp | | | 295,445 | | | | 7,392 | |
Vistra Corp | | | 79,393 | | | | 9,411 | |
| | | | | | | | | |
| | | | | | | | 86,835 | |
Total Common Stock | | | | | | | | |
(Cost $1,215,626) ($ Thousands) | | | | | | | 4,254,292 | |
| | | | | | | | | |
CASH EQUIVALENT — 4.6% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 200,234,573 | | | | 200,235 | |
Total Cash Equivalent | | | | | | | | |
(Cost $200,235) ($ Thousands) | | | | | | | 200,235 | |
Total Investments in Securities — 102.4% | | | | | | | | |
(Cost $1,415,861) ($ Thousands) | | $ | 4,454,527 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Large Cap Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index E-MINI | | | 236 | | | | Dec-2024 | | | $ | 68,090 | | | $ | 68,608 | | | $ | 518 | |
S&P Mid Cap 400 Index E-MINI | | | 49 | | | | Dec-2024 | | | | 15,411 | | | | 15,428 | | | | 17 | |
| | | | | | | | | | | $ | 83,501 | | | $ | 84,036 | | | $ | 535 | |
| Percentages are based on Net Assets of $4,351,207 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 4,254,292 | | | | – | | | | – | | | | 4,254,292 | |
Cash Equivalent | | | 200,235 | | | | – | | | | – | | | | 200,235 | |
Total Investments in Securities | | | 4,454,527 | | | | – | | | | – | | | | 4,454,527 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 535 | | | | – | | | | – | | | | 535 | |
Total Other Financial Instruments | | | 535 | | | | – | | | | – | | | | 535 | |
| | | | | | | | | | | | | | | | | | |
* | 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 following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 3,657 | | | $ | 88,023 | | | $ | (91,661 | ) | | $ | 3 | | | $ | (22 | ) | | $ | — | | | $ | 539 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 26,387 | | | | 822,891 | | | | (649,043 | ) | | | — | | | | — | | | | 200,235 | | | | 1,288 | | | | — | |
Totals | | $ | 30,044 | | | $ | 910,914 | | | $ | (740,704 | ) | | $ | 3 | | | $ | (22 | ) | | $ | 200,235 | | | $ | 1,827 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
S&P 500 Index Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† — 98.0% |
| | | | | | | | | |
Communication Services — 8.7% | | | | |
Alphabet Inc, Cl A | | | 121,340 | | | $ | 20,124 | |
Alphabet Inc, Cl C | | | 99,405 | | | | 16,620 | |
AT&T Inc | | | 148,367 | | | | 3,264 | |
Charter Communications Inc, Cl A * | | | 2,032 | | | | 659 | |
Comcast Corp, Cl A | | | 79,955 | | | | 3,340 | |
Electronic Arts Inc | | | 4,978 | | | | 714 | |
Fox Corp, Cl A | | | 4,636 | | | | 196 | |
Fox Corp, Cl B | | | 2,731 | | | | 106 | |
Interpublic Group of Cos Inc/The | | | 7,851 | | | | 248 | |
Live Nation Entertainment Inc * | | | 2,950 | | | | 323 | |
Match Group Inc * | | | 5,250 | | | | 199 | |
Meta Platforms Inc, Cl A | | | 45,237 | | | | 25,895 | |
Netflix Inc * | | | 8,887 | | | | 6,303 | |
News Corp, Cl A | | | 7,875 | | | | 210 | |
News Corp, Cl B | | | 2,400 | | | | 67 | |
Omnicom Group Inc | | | 4,104 | | | | 424 | |
Paramount Global, Cl B | | | 10,317 | | | | 110 | |
Take-Two Interactive Software Inc, Cl A * | | | 3,300 | | | | 507 | |
T-Mobile US Inc | | | 10,126 | | | | 2,090 | |
Verizon Communications Inc | | | 87,163 | | | | 3,914 | |
Walt Disney Co/The | | | 37,574 | | | | 3,614 | |
Warner Bros Discovery Inc * | | | 46,424 | | | | 383 | |
| | | | | | | | | |
| | | | | | | | 89,310 | |
Consumer Discretionary — 9.9% | | | | |
Airbnb Inc, Cl A * | | | 9,100 | | | | 1,154 | |
Amazon.com Inc, Cl A * | | | 193,389 | | | | 36,034 | |
Aptiv PLC * | | | 5,470 | | | | 394 | |
AutoZone Inc * | | | 365 | | | | 1,150 | |
Best Buy Co Inc | | | 4,054 | | | | 419 | |
Booking Holdings Inc | | | 694 | | | | 2,923 | |
BorgWarner Inc | | | 4,753 | | | | 172 | |
Caesars Entertainment Inc * | | | 4,500 | | | | 188 | |
CarMax Inc * | | | 3,300 | | | | 255 | |
Carnival Corp * | | | 21,034 | | | | 389 | |
Chipotle Mexican Grill Inc, Cl A * | | | 28,300 | | | | 1,631 | |
Darden Restaurants Inc | | | 2,468 | | | | 405 | |
Deckers Outdoor Corp * | | | 3,146 | | | | 502 | |
Domino's Pizza Inc | | | 695 | | | | 299 | |
DR Horton Inc | | | 6,058 | | | | 1,156 | |
eBay Inc | | | 10,099 | | | | 657 | |
Expedia Group Inc * | | | 2,555 | | | | 378 | |
Ford Motor Co | | | 80,670 | | | | 852 | |
Garmin Ltd | | | 3,221 | | | | 567 | |
General Motors Co | | | 23,247 | | | | 1,042 | |
Genuine Parts Co | | | 2,896 | | | | 404 | |
Hasbro Inc | | | 2,746 | | | | 199 | |
Hilton Worldwide Holdings Inc | | | 5,100 | | | | 1,175 | |
Home Depot Inc/The | | | 20,558 | | | | 8,330 | |
Las Vegas Sands Corp | | | 7,300 | | | | 367 | |
Lennar Corp, Cl A | | | 5,024 | | | | 942 | |
LKQ Corp | | | 5,550 | | | | 222 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Lowe's Cos Inc | | | 11,809 | | | $ | 3,198 | |
Lululemon Athletica Inc * | | | 2,400 | | | | 651 | |
Marriott International Inc/MD, Cl A | | | 4,800 | | | | 1,193 | |
McDonald's Corp | | | 14,811 | | | | 4,510 | |
MGM Resorts International * | | | 4,750 | | | | 186 | |
Mohawk Industries Inc * | | | 1,100 | | | | 177 | |
NIKE Inc, Cl B | | | 24,850 | | | | 2,197 | |
Norwegian Cruise Line Holdings Ltd * | | | 8,950 | | | | 184 | |
NVR Inc * | | | 62 | | | | 608 | |
O'Reilly Automotive Inc * | | | 1,238 | | | | 1,426 | |
Pool Corp | | | 772 | | | | 291 | |
PulteGroup Inc | | | 4,299 | | | | 617 | |
Ralph Lauren Corp, Cl A | | | 805 | | | | 156 | |
Ross Stores Inc | | | 6,869 | | | | 1,034 | |
Royal Caribbean Cruises Ltd | | | 4,850 | | | | 860 | |
Starbucks Corp | | | 23,404 | | | | 2,282 | |
Tapestry Inc | | | 4,769 | | | | 224 | |
Tesla Inc * | | | 57,488 | | | | 15,041 | |
TJX Cos Inc/The | | | 23,386 | | | | 2,749 | |
Tractor Supply Co | | | 2,230 | | | | 649 | |
Ulta Beauty Inc * | | | 1,000 | | | | 389 | |
Wynn Resorts Ltd | | | 1,979 | | | | 190 | |
Yum! Brands Inc | | | 5,870 | | | | 820 | |
| | | | | | | | | |
| | | | | | | | 101,838 | |
Consumer Staples — 5.8% | | | | |
Altria Group Inc | | | 35,273 | | | | 1,800 | |
Archer-Daniels-Midland Co | | | 9,868 | | | | 590 | |
Brown-Forman Corp, Cl B | | | 3,715 | | | | 183 | |
Bunge Global SA | | | 2,950 | | | | 285 | |
Campbell Soup Co | | | 4,084 | | | | 200 | |
Church & Dwight Co Inc | | | 5,076 | | | | 532 | |
Clorox Co/The | | | 2,602 | | | | 424 | |
Coca-Cola Co/The | | | 80,248 | | | | 5,767 | |
Colgate-Palmolive Co | | | 16,895 | | | | 1,754 | |
Conagra Brands Inc | | | 9,965 | | | | 324 | |
Constellation Brands Inc, Cl A | | | 3,257 | | | | 839 | |
Costco Wholesale Corp | | | 9,179 | | | | 8,137 | |
Dollar General Corp | | | 4,581 | | | | 387 | |
Dollar Tree Inc * | | | 4,154 | | | | 292 | |
Estee Lauder Cos Inc/The, Cl A | | | 4,850 | | | | 484 | |
General Mills Inc | | | 11,536 | | | | 852 | |
Hershey Co/The | | | 3,062 | | | | 587 | |
Hormel Foods Corp | | | 6,058 | | | | 192 | |
J M Smucker Co/The | | | 2,203 | | | | 267 | |
Kellanova | | | 5,467 | | | | 441 | |
Kenvue Inc | | | 39,910 | | | | 923 | |
Keurig Dr Pepper Inc | | | 21,750 | | | | 815 | |
Kimberly-Clark Corp | | | 7,003 | | | | 996 | |
Kraft Heinz Co/The | | | 18,258 | | | | 641 | |
Kroger Co/The | | | 13,736 | | | | 787 | |
Lamb Weston Holdings Inc | | | 3,000 | | | | 194 | |
McCormick & Co Inc/MD | | | 5,232 | | | | 431 | |
Molson Coors Beverage Co, Cl B | | | 3,601 | | | | 207 | |
SEI Institutional Managed Trust
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S&P 500 Index Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK†† (continued) |
Mondelez International Inc, Cl A | | | 27,620 | | | $ | 2,035 | |
Monster Beverage Corp * | | | 14,558 | | | | 759 | |
PepsiCo Inc | | | 28,429 | | | | 4,834 | |
Philip Morris International Inc | | | 32,177 | | | | 3,906 | |
Procter & Gamble Co/The | | | 48,772 | | | | 8,447 | |
Sysco Corp, Cl A | | | 10,170 | | | | 794 | |
Target Corp, Cl A | | | 9,528 | | | | 1,485 | |
Tyson Foods Inc, Cl A | | | 6,003 | | | | 358 | |
Walgreens Boots Alliance Inc | | | 14,907 | | | | 134 | |
Walmart Inc | | | 89,869 | | | | 7,257 | |
| | | | | | | | | |
| | | | | | | | 59,340 | |
Energy — 3.2% | | | | |
APA Corp | | | 7,481 | | | | 183 | |
Baker Hughes Co, Cl A | | | 20,499 | | | | 741 | |
Chevron Corp | | | 35,179 | | | | 5,181 | |
ConocoPhillips | | | 23,978 | | | | 2,524 | |
Coterra Energy Inc | | | 15,613 | | | | 374 | |
Devon Energy Corp | | | 12,963 | | | | 507 | |
Diamondback Energy Inc, Cl A | | | 3,701 | | | | 638 | |
EOG Resources Inc | | | 11,757 | | | | 1,445 | |
EQT Corp | | | 12,350 | | | | 453 | |
Exxon Mobil Corp | | | 91,937 | | | | 10,777 | |
Halliburton Co | | | 18,442 | | | | 536 | |
Hess Corp | | | 5,775 | | | | 784 | |
Kinder Morgan Inc | | | 40,232 | | | | 889 | |
Marathon Oil Corp | | | 11,556 | | | | 308 | |
Marathon Petroleum Corp | | | 6,938 | | | | 1,130 | |
Occidental Petroleum Corp | | | 14,012 | | | | 722 | |
ONEOK Inc | | | 12,159 | | | | 1,108 | |
Phillips 66 | | | 8,637 | | | | 1,135 | |
Schlumberger NV, Cl A | | | 29,350 | | | | 1,231 | |
Targa Resources Corp | | | 4,500 | | | | 666 | |
Valero Energy Corp | | | 6,603 | | | | 892 | |
Williams Cos Inc/The | | | 25,369 | | | | 1,158 | |
| | | | | | | | | |
| | | | | | | | 33,382 | |
Financials — 12.6% | | | | |
Aflac Inc | | | 10,384 | | | | 1,161 | |
Allstate Corp/The | | | 5,409 | | | | 1,026 | |
American Express Co | | | 11,645 | | | | 3,158 | |
American International Group Inc | | | 13,335 | | | | 977 | |
Ameriprise Financial Inc | | | 2,045 | | | | 961 | |
Aon PLC, Cl A | | | 4,451 | | | | 1,540 | |
Arch Capital Group Ltd * | | | 7,800 | | | | 873 | |
Arthur J Gallagher & Co | | | 4,549 | | | | 1,280 | |
Assurant Inc | | | 1,105 | | | | 220 | |
Bank of America Corp | | | 139,709 | | | | 5,544 | |
Bank of New York Mellon Corp/The | | | 15,299 | | | | 1,099 | |
Berkshire Hathaway Inc, Cl B * | | | 37,890 | | | | 17,439 | |
BlackRock Inc | | | 2,896 | | | | 2,750 | |
Blackstone Inc, Cl A | | | 14,900 | | | | 2,282 | |
Brown & Brown Inc | | | 4,950 | | | | 513 | |
Capital One Financial Corp | | | 7,949 | | | | 1,190 | |
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK†† (continued) |
Cboe Global Markets Inc | | | 2,200 | | | $ | 451 | |
Charles Schwab Corp/The | | | 30,909 | | | | 2,003 | |
Chubb Ltd | | | 7,751 | | | | 2,235 | |
Cincinnati Financial Corp | | | 3,283 | | | | 447 | |
Citigroup Inc | | | 39,448 | | | | 2,469 | |
Citizens Financial Group Inc | | | 9,250 | | | | 380 | |
CME Group Inc, Cl A | | | 7,412 | | | | 1,635 | |
Corpay Inc * | | | 1,479 | | | | 463 | |
Discover Financial Services | | | 5,208 | | | | 731 | |
Erie Indemnity Co, Cl A | | | 500 | | | | 270 | |
Everest Group Ltd | | | 887 | | | | 348 | |
FactSet Research Systems Inc | | | 750 | | | | 345 | |
Fidelity National Information Services Inc, Cl B | | | 11,265 | | | | 943 | |
Fifth Third Bancorp | | | 13,961 | | | | 598 | |
Fiserv Inc, Cl A * | | | 11,905 | | | | 2,139 | |
Franklin Resources Inc | | | 6,438 | | | | 130 | |
Global Payments Inc | | | 5,333 | | | | 546 | |
Globe Life Inc | | | 1,739 | | | | 184 | |
Goldman Sachs Group Inc/The | | | 6,518 | | | | 3,227 | |
Hartford Financial Services Group Inc/The | | | 6,036 | | | | 710 | |
Huntington Bancshares Inc/OH | | | 30,414 | | | | 447 | |
Intercontinental Exchange Inc | | | 11,855 | | | | 1,904 | |
Invesco Ltd | | | 9,366 | | | | 164 | |
Jack Henry & Associates Inc | | | 1,500 | | | | 265 | |
JPMorgan Chase & Co | | | 58,908 | | | | 12,421 | |
KeyCorp | | | 19,633 | | | | 329 | |
KKR & Co Inc | | | 13,850 | | | | 1,809 | |
Loews Corp | | | 3,762 | | | | 297 | |
M&T Bank Corp | | | 3,484 | | | | 621 | |
MarketAxess Holdings Inc | | | 806 | | | | 207 | |
Marsh & McLennan Cos Inc | | | 10,159 | | | | 2,266 | |
Mastercard Inc, Cl A | | | 17,113 | | | | 8,450 | |
MetLife Inc | | | 12,139 | | | | 1,001 | |
Moody's Corp | | | 3,271 | | | | 1,552 | |
Morgan Stanley | | | 25,786 | | | | 2,688 | |
MSCI Inc, Cl A | | | 1,634 | | | | 953 | |
Nasdaq Inc, Cl A | | | 8,327 | | | | 608 | |
Northern Trust Corp | | | 4,109 | | | | 370 | |
PayPal Holdings Inc * | | | 21,179 | | | | 1,653 | |
PNC Financial Services Group Inc/The | | | 8,213 | | | | 1,518 | |
Principal Financial Group Inc, Cl A | | | 4,407 | | | | 379 | |
Progressive Corp/The | | | 12,085 | | | | 3,067 | |
Prudential Financial Inc | | | 7,366 | | | | 892 | |
Raymond James Financial Inc | | | 3,808 | | | | 466 | |
Regions Financial Corp | | | 19,263 | | | | 449 | |
S&P Global Inc | | | 6,655 | | | | 3,438 | |
State Street Corp | | | 6,195 | | | | 548 | |
Synchrony Financial | | | 8,163 | | | | 407 | |
T Rowe Price Group Inc | | | 4,593 | | | | 500 | |
Travelers Cos Inc/The | | | 4,756 | | | | 1,113 | |
Truist Financial Corp | | | 27,856 | | | | 1,191 | |
US Bancorp | | | 32,288 | | | | 1,477 | |
SEI Institutional Managed Trust
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September 30, 2024
S&P 500 Index Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK†† (continued) |
Visa Inc, Cl A | | | 34,599 | | | $ | 9,513 | |
W R Berkley Corp | | | 6,350 | | | | 360 | |
Wells Fargo & Co | | | 70,423 | | | | 3,978 | |
Willis Towers Watson PLC | | | 2,119 | | | | 624 | |
| | | | | | | | | |
| | | | | | | | 130,192 | |
Health Care — 11.4% | | | | |
Abbott Laboratories | | | 35,962 | | | | 4,100 | |
AbbVie Inc | | | 36,563 | | | | 7,220 | |
Agilent Technologies Inc | | | 6,015 | | | | 893 | |
Align Technology Inc * | | | 1,436 | | | | 365 | |
Amgen Inc, Cl A | | | 11,072 | | | | 3,567 | |
Baxter International Inc | | | 10,635 | | | | 404 | |
Becton Dickinson & Co | | | 5,928 | | | | 1,429 | |
Biogen Inc * | | | 3,056 | | | | 592 | |
Bio-Techne Corp | | | 3,302 | | | | 264 | |
Boston Scientific Corp * | | | 30,426 | | | | 2,550 | |
Bristol-Myers Squibb Co | | | 41,903 | | | | 2,168 | |
Cardinal Health Inc | | | 5,059 | | | | 559 | |
Catalent Inc * | | | 3,750 | | | | 227 | |
Cencora Inc, Cl A | | | 3,446 | | | | 776 | |
Centene Corp * | | | 10,839 | | | | 816 | |
Charles River Laboratories International Inc * | | | 1,060 | | | | 209 | |
Cigna Group/The | | | 5,793 | | | | 2,007 | |
Cooper Cos Inc/The * | | | 4,116 | | | | 454 | |
CVS Health Corp | | | 26,126 | | | | 1,643 | |
Danaher Corp, Cl A | | | 13,312 | | | | 3,701 | |
DaVita Inc * | | | 906 | | | | 149 | |
Dexcom Inc * | | | 8,322 | | | | 558 | |
Edwards Lifesciences Corp, Cl A * | | | 12,542 | | | | 828 | |
Elevance Health Inc | | | 4,823 | | | | 2,508 | |
Eli Lilly & Co | | | 16,335 | | | | 14,472 | |
GE HealthCare Technologies Inc | | | 8,862 | | | | 832 | |
Gilead Sciences Inc | | | 25,764 | | | | 2,160 | |
HCA Healthcare Inc | | | 3,831 | | | | 1,557 | |
Henry Schein Inc * | | | 2,650 | | | | 193 | |
Hologic Inc * | | | 4,900 | | | | 399 | |
Humana Inc | | | 2,531 | | | | 802 | |
IDEXX Laboratories Inc * | | | 1,742 | | | | 880 | |
Incyte Corp * | | | 3,300 | | | | 218 | |
Insulet Corp * | | | 1,450 | | | | 337 | |
Intuitive Surgical Inc * | | | 7,307 | | | | 3,590 | |
IQVIA Holdings Inc * | | | 3,596 | | | | 852 | |
Johnson & Johnson | | | 49,843 | | | | 8,078 | |
Labcorp Holdings Inc | | | 1,760 | | | | 393 | |
McKesson Corp | | | 2,693 | | | | 1,331 | |
Medtronic PLC | | | 26,579 | | | | 2,393 | |
Merck & Co Inc | | | 52,464 | | | | 5,958 | |
Mettler-Toledo International Inc * | | | 450 | | | | 675 | |
Moderna Inc * | | | 7,000 | | | | 468 | |
Molina Healthcare Inc * | | | 1,236 | | | | 426 | |
Pfizer Inc | | | 117,260 | | | | 3,393 | |
Quest Diagnostics Inc | | | 2,324 | | | | 361 | |
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK†† (continued) |
Regeneron Pharmaceuticals Inc * | | | 2,187 | | | $ | 2,299 | |
ResMed Inc | | | 3,059 | | | | 747 | |
Revvity Inc | | | 2,548 | | | | 325 | |
Solventum Corp * | | | 2,892 | | | | 202 | |
STERIS PLC | | | 2,045 | | | | 496 | |
Stryker Corp | | | 7,076 | | | | 2,556 | |
Teleflex Inc | | | 979 | | | | 242 | |
Thermo Fisher Scientific Inc | | | 7,876 | | | | 4,872 | |
UnitedHealth Group Inc | | | 19,120 | | | | 11,179 | |
Universal Health Services Inc, Cl B | | | 1,250 | | | | 286 | |
Vertex Pharmaceuticals Inc * | | | 5,377 | | | | 2,501 | |
Viatris Inc, Cl W | | | 24,807 | | | | 288 | |
Waters Corp * | | | 1,222 | | | | 440 | |
West Pharmaceutical Services Inc | | | 1,526 | | | | 458 | |
Zimmer Biomet Holdings Inc | | | 4,274 | | | | 461 | |
Zoetis Inc, Cl A | | | 9,395 | | | | 1,836 | |
| | | | | | | | | |
| | | | | | | | 116,943 | |
Industrials — 8.3% | | | | |
3M Co | | | 11,321 | | | | 1,548 | |
A O Smith Corp | | | 2,500 | | | | 225 | |
Allegion plc | | | 1,820 | | | | 265 | |
Amentum Holdings Inc * | | | 2,612 | | | | 84 | |
AMETEK Inc | | | 4,800 | | | | 824 | |
Automatic Data Processing Inc | | | 8,415 | | | | 2,329 | |
Axon Enterprise Inc * | | | 1,500 | | | | 599 | |
Boeing Co/The * | | | 12,005 | | | | 1,825 | |
Broadridge Financial Solutions Inc | | | 2,384 | | | | 513 | |
Builders FirstSource Inc * | | | 2,450 | | | | 475 | |
Carrier Global Corp | | | 17,431 | | | | 1,403 | |
Caterpillar Inc, Cl A | | | 9,993 | | | | 3,909 | |
CH Robinson Worldwide Inc | | | 2,455 | | | | 271 | |
Cintas Corp | | | 7,078 | | | | 1,457 | |
Copart Inc * | | | 18,250 | | | | 956 | |
CSX Corp | | | 40,099 | | | | 1,385 | |
Cummins Inc | | | 2,825 | | | | 915 | |
Dayforce Inc * | | | 3,300 | | | | 202 | |
Deere & Co | | | 5,311 | | | | 2,216 | |
Delta Air Lines Inc, Cl A | | | 13,213 | | | | 671 | |
Dover Corp | | | 2,787 | | | | 534 | |
Eaton Corp PLC | | | 8,220 | | | | 2,724 | |
Emerson Electric Co | | | 11,925 | | | | 1,304 | |
Equifax Inc | | | 2,589 | | | | 761 | |
Expeditors International of Washington Inc | | | 2,927 | | | | 385 | |
Fastenal Co, Cl A | | | 11,918 | | | | 851 | |
FedEx Corp | | | 4,611 | | | | 1,262 | |
Fortive Corp | | | 7,187 | | | | 567 | |
GE Vernova Inc * | | | 5,697 | | | | 1,453 | |
Generac Holdings Inc * | | | 1,254 | | | | 199 | |
General Dynamics Corp | | | 5,344 | | | | 1,615 | |
General Electric Co | | | 22,488 | | | | 4,241 | |
Honeywell International Inc | | | 13,470 | | | | 2,784 | |
Howmet Aerospace Inc | | | 8,078 | | | | 810 | |
Hubbell Inc, Cl B | | | 1,100 | | | | 471 | |
SEI Institutional Managed Trust
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S&P 500 Index Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK†† (continued) |
Huntington Ingalls Industries Inc, Cl A | | | 797 | | | $ | 211 | |
IDEX Corp | | | 1,600 | | | | 343 | |
Illinois Tool Works Inc | | | 5,565 | | | | 1,458 | |
Ingersoll Rand Inc | | | 8,383 | | | | 823 | |
Jacobs Solutions Inc | | | 2,612 | | | | 342 | |
JB Hunt Transport Services Inc | | | 1,701 | | | | 293 | |
Johnson Controls International PLC | | | 13,822 | | | | 1,073 | |
L3Harris Technologies Inc | | | 3,959 | | | | 942 | |
Leidos Holdings Inc | | | 2,793 | | | | 455 | |
Lockheed Martin Corp | | | 4,392 | | | | 2,567 | |
Masco Corp | | | 4,584 | | | | 385 | |
Nordson Corp | | | 1,150 | | | | 302 | |
Norfolk Southern Corp | | | 4,686 | | | | 1,165 | |
Northrop Grumman Corp | | | 2,880 | | | | 1,521 | |
Old Dominion Freight Line Inc, Cl A | | | 3,688 | | | | 733 | |
Otis Worldwide Corp | | | 8,300 | | | | 863 | |
PACCAR Inc | | | 10,900 | | | | 1,076 | |
Parker-Hannifin Corp, Cl A | | | 2,659 | | | | 1,680 | |
Paychex Inc | | | 6,669 | | | | 895 | |
Paycom Software Inc | | | 1,009 | | | | 168 | |
Pentair PLC | | | 3,466 | | | | 339 | |
Quanta Services Inc | | | 3,068 | | | | 915 | |
Republic Services Inc | | | 4,183 | | | | 840 | |
Rockwell Automation Inc | | | 2,376 | | | | 638 | |
Rollins Inc | | | 5,850 | | | | 296 | |
RTX Corp | | | 27,478 | | | | 3,329 | |
Snap-on Inc | | | 1,107 | | | | 321 | |
Southwest Airlines Co, Cl A | | | 12,562 | | | | 372 | |
Stanley Black & Decker Inc | | | 3,208 | | | | 353 | |
Textron Inc | | | 3,807 | | | | 337 | |
Trane Technologies PLC | | | 4,620 | | | | 1,796 | |
TransDigm Group Inc | | | 1,170 | | | | 1,670 | |
Uber Technologies Inc * | | | 43,550 | | | | 3,273 | |
Union Pacific Corp | | | 12,591 | | | | 3,103 | |
United Airlines Holdings Inc * | | | 6,850 | | | | 391 | |
United Parcel Service Inc, Cl B | | | 15,218 | | | | 2,075 | |
United Rentals Inc | | | 1,364 | | | | 1,105 | |
Veralto Corp | | | 5,070 | | | | 567 | |
Verisk Analytics Inc, Cl A | | | 2,976 | | | | 797 | |
Waste Management Inc | | | 7,584 | | | | 1,574 | |
Westinghouse Air Brake Technologies Corp | | | 3,571 | | | | 649 | |
WW Grainger Inc | | | 922 | | | | 958 | |
Xylem Inc/NY | | | 5,050 | | | | 682 | |
| | | | | | | | | |
| | | | | | | | 85,708 | |
Information Technology — 31.1% | | | | |
Accenture PLC, Cl A | | | 13,006 | | | | 4,597 | |
Adobe Inc * | | | 9,147 | | | | 4,736 | |
Advanced Micro Devices Inc * | | | 33,475 | | | | 5,493 | |
Akamai Technologies Inc * | | | 3,204 | | | | 323 | |
Amphenol Corp, Cl A | | | 25,020 | | | | 1,630 | |
Analog Devices Inc | | | 10,222 | | | | 2,353 | |
ANSYS Inc * | | | 1,807 | | | | 576 | |
Apple Inc | | | 314,843 | | | | 73,358 | |
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK†† (continued) |
Applied Materials Inc | | | 17,143 | | | $ | 3,464 | |
Arista Networks Inc * | | | 5,270 | | | | 2,023 | |
Autodesk Inc, Cl A * | | | 4,455 | | | | 1,227 | |
Broadcom Inc | | | 96,340 | | | | 16,619 | |
Cadence Design Systems Inc * | | | 5,651 | | | | 1,532 | |
CDW Corp/DE | | | 2,797 | | | | 633 | |
Cisco Systems Inc | | | 83,428 | | | | 4,440 | |
Cognizant Technology Solutions Corp, Cl A | | | 10,355 | | | | 799 | |
Corning Inc, Cl B | | | 16,058 | | | | 725 | |
Crowdstrike Holdings Inc, Cl A * | | | 4,800 | | | | 1,346 | |
Dell Technologies Inc, Cl C | | | 5,900 | | | | 699 | |
Enphase Energy Inc * | | | 2,850 | | | | 322 | |
EPAM Systems Inc * | | | 1,200 | | | | 239 | |
F5 Inc, Cl A * | | | 1,210 | | | | 266 | |
Fair Isaac Corp * | | | 521 | | | | 1,013 | |
First Solar Inc * | | | 2,250 | | | | 561 | |
Fortinet Inc * | | | 13,190 | | | | 1,023 | |
Gartner Inc * | | | 1,606 | | | | 814 | |
Gen Digital Inc | | | 11,097 | | | | 304 | |
GoDaddy Inc, Cl A * | | | 2,950 | | | | 463 | |
Hewlett Packard Enterprise Co | | | 27,291 | | | | 558 | |
HP Inc | | | 20,172 | | | | 724 | |
Intel Corp | | | 88,687 | | | | 2,081 | |
International Business Machines Corp | | | 19,018 | | | | 4,205 | |
Intuit Inc | | | 5,809 | | | | 3,607 | |
Jabil Inc | | | 2,300 | | | | 276 | |
Juniper Networks Inc | | | 6,750 | | | | 263 | |
Keysight Technologies Inc * | | | 3,632 | | | | 577 | |
KLA Corp | | | 2,827 | | | | 2,189 | |
Lam Research Corp | | | 2,728 | | | | 2,226 | |
Microchip Technology Inc | | | 11,063 | | | | 888 | |
Micron Technology Inc | | | 22,969 | | | | 2,382 | |
Microsoft Corp | | | 153,934 | | | | 66,238 | |
Monolithic Power Systems Inc | | | 1,000 | | | | 925 | |
Motorola Solutions Inc | | | 3,482 | | | | 1,566 | |
NetApp Inc | | | 4,285 | | | | 529 | |
NVIDIA Corp | | | 509,330 | | | | 61,853 | |
NXP Semiconductors NV | | | 5,226 | | | | 1,254 | |
ON Semiconductor Corp * | | | 8,800 | | | | 639 | |
Oracle Corp, Cl B | | | 33,121 | | | | 5,644 | |
Palantir Technologies Inc, Cl A * | | | 41,600 | | | | 1,548 | |
Palo Alto Networks Inc * | | | 6,709 | | | | 2,293 | |
PTC Inc * | | | 2,507 | | | | 453 | |
Qorvo Inc * | | | 2,000 | | | | 207 | |
QUALCOMM Inc | | | 23,082 | | | | 3,925 | |
Roper Technologies Inc | | | 2,213 | | | | 1,231 | |
Salesforce Inc | | | 20,012 | | | | 5,478 | |
Seagate Technology Holdings PLC | | | 4,100 | | | | 449 | |
ServiceNow Inc * | | | 4,285 | | | | 3,832 | |
Skyworks Solutions Inc | | | 3,316 | | | | 328 | |
Super Micro Computer Inc * | | | 1,041 | | | | 433 | |
Synopsys Inc * | | | 3,171 | | | | 1,606 | |
TE Connectivity PLC * | | | 6,259 | | | | 945 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
S&P 500 Index Fund (Concluded)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Teledyne Technologies Inc * | | | 968 | | | $ | 424 | |
Teradyne Inc | | | 3,265 | | | | 437 | |
Texas Instruments Inc | | | 18,944 | | | | 3,913 | |
Trimble Inc * | | | 5,100 | | | | 317 | |
Tyler Technologies Inc * | | | 870 | | | | 508 | |
VeriSign Inc * | | | 1,695 | | | | 322 | |
Western Digital Corp * | | | 6,824 | | | | 466 | |
Zebra Technologies Corp, Cl A * | | | 1,073 | | | | 397 | |
| | | | | | | | | |
| | | | | | | | 319,714 | |
Materials — 2.2% | | | | |
Air Products and Chemicals Inc | | | 4,621 | | | | 1,376 | |
Albemarle Corp | | | 2,457 | | | | 233 | |
Amcor PLC | | | 30,132 | | | | 341 | |
Avery Dennison Corp | | | 1,664 | | | | 367 | |
Ball Corp | | | 6,272 | | | | 426 | |
Celanese Corp, Cl A | | | 2,102 | | | | 286 | |
CF Industries Holdings Inc | | | 3,750 | | | | 322 | |
Corteva Inc | | | 14,323 | | | | 842 | |
Dow Inc | | | 14,456 | | | | 790 | |
DuPont de Nemours Inc | | | 8,699 | | | | 775 | |
Eastman Chemical Co | | | 2,470 | | | | 277 | |
Ecolab Inc | | | 5,216 | | | | 1,332 | |
FMC Corp | | | 2,600 | | | | 171 | |
Freeport-McMoRan Inc, Cl B | | | 29,913 | | | | 1,493 | |
International Flavors & Fragrances Inc | | | 5,326 | | | | 559 | |
International Paper Co | | | 7,252 | | | | 354 | |
Linde PLC | | | 9,996 | | | | 4,767 | |
LyondellBasell Industries NV, Cl A | | | 5,374 | | | | 515 | |
Martin Marietta Materials Inc, Cl A | | | 1,269 | | | | 683 | |
Mosaic Co/The | | | 6,709 | | | | 180 | |
Newmont Corp | | | 23,725 | | | | 1,268 | |
Nucor Corp | | | 4,877 | | | | 733 | |
Packaging Corp of America | | | 1,850 | | | | 399 | |
PPG Industries Inc | | | 4,805 | | | | 637 | |
Sherwin-Williams Co/The, Cl A | | | 4,845 | | | | 1,849 | |
Smurfit WestRock PLC | | | 10,184 | | | | 503 | |
Steel Dynamics Inc | | | 3,000 | | | | 378 | |
Vulcan Materials Co | | | 2,749 | | | | 688 | |
| | | | | | | | | |
| | | | | | | | 22,544 | |
Real Estate — 2.3% | | | | |
Alexandria Real Estate Equities Inc ‡ | | | 3,273 | | | | 389 | |
American Tower Corp, Cl A ‡ | | | 9,647 | | | | 2,243 | |
AvalonBay Communities Inc ‡ | | | 2,978 | | | | 671 | |
BXP Inc ‡ | | | 3,000 | | | | 241 | |
Camden Property Trust ‡ | | | 2,200 | | | | 272 | |
CBRE Group Inc, Cl A * | | | 6,209 | | | | 773 | |
CoStar Group Inc * | | | 8,500 | | | | 641 | |
Crown Castle Inc ‡ | | | 8,964 | | | | 1,063 | |
Digital Realty Trust Inc, Cl A ‡ | | | 6,369 | | | | 1,031 | |
Equinix Inc ‡ | | | 2,001 | | | | 1,776 | |
Equity Residential ‡ | | | 6,994 | | | | 521 | |
Essex Property Trust Inc ‡ | | | 1,321 | | | | 390 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Extra Space Storage Inc ‡ | | | 4,399 | | | $ | 793 | |
Federal Realty Investment Trust ‡ | | | 1,550 | | | | 178 | |
Healthpeak Properties Inc ‡ | | | 14,800 | | | | 338 | |
Host Hotels & Resorts Inc ‡ | | | 14,674 | | | | 258 | |
Invitation Homes Inc ‡ | | | 11,700 | | | | 413 | |
Iron Mountain Inc ‡ | | | 6,038 | | | | 717 | |
Kimco Realty Corp ‡ | | | 13,913 | | | | 323 | |
Mid-America Apartment Communities Inc ‡ | | | 2,440 | | | | 388 | |
Prologis Inc ‡ | | | 19,180 | | | | 2,422 | |
Public Storage ‡ | | | 3,287 | | | | 1,196 | |
Realty Income Corp ‡ | | | 18,128 | | | | 1,150 | |
Regency Centers Corp ‡ | | | 3,399 | | | | 246 | |
SBA Communications Corp, Cl A ‡ | | | 2,249 | | | | 541 | |
Simon Property Group Inc ‡ | | | 6,306 | | | | 1,066 | |
UDR Inc ‡ | | | 6,300 | | | | 286 | |
Ventas Inc ‡ | | | 8,432 | | | | 541 | |
VICI Properties Inc, Cl A ‡ | | | 21,750 | | | | 724 | |
Welltower Inc ‡ | | | 11,959 | | | | 1,531 | |
Weyerhaeuser Co ‡ | | | 15,261 | | | | 517 | |
| | | | | | | | | |
| | | | | | | | 23,639 | |
Utilities — 2.5% | | | | |
AES Corp/The | | | 14,790 | | | | 297 | |
Alliant Energy Corp | | | 5,400 | | | | 328 | |
Ameren Corp | | | 5,553 | | | | 486 | |
American Electric Power Co Inc | | | 10,965 | | | | 1,125 | |
American Water Works Co Inc | | | 4,057 | | | | 593 | |
Atmos Energy Corp | | | 3,150 | | | | 437 | |
CenterPoint Energy Inc | | | 13,385 | | | | 394 | |
CMS Energy Corp | | | 6,201 | | | | 438 | |
Consolidated Edison Inc | | | 7,136 | | | | 743 | |
Constellation Energy Corp | | | 6,451 | | | | 1,677 | |
Dominion Energy Inc | | | 17,480 | | | | 1,010 | |
DTE Energy Co | | | 4,326 | | | | 555 | |
Duke Energy Corp | | | 15,991 | | | | 1,844 | |
Edison International | | | 8,057 | | | | 702 | |
Entergy Corp | | | 4,476 | | | | 589 | |
Evergy Inc | | | 4,799 | | | | 298 | |
Eversource Energy | | | 7,335 | | | | 499 | |
Exelon Corp | | | 20,855 | | | | 846 | |
FirstEnergy Corp | | | 10,773 | | | | 478 | |
NextEra Energy Inc | | | 42,521 | | | | 3,594 | |
NiSource Inc | | | 9,244 | | | | 320 | |
NRG Energy Inc | | | 4,281 | | | | 390 | |
PG&E Corp | | | 44,500 | | | | 880 | |
Pinnacle West Capital Corp | | | 2,349 | | | | 208 | |
PPL Corp | | | 15,471 | | | | 512 | |
Public Service Enterprise Group Inc | | | 10,330 | | | | 921 | |
Sempra | | | 13,190 | | | | 1,103 | |
Southern Co/The | | | 22,569 | | | | 2,035 | |
Vistra Corp | | | 6,800 | | | | 806 | |
WEC Energy Group Inc | | | 6,571 | | | | 632 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
S&P 500 Index Fund (Concluded)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Xcel Energy Inc | | | 11,636 | | | $ | 760 | |
| | | | | | | | | |
| | | | | | | | 25,500 | |
Total Common Stock | | | | | | | | |
(Cost $211,081) ($ Thousands) | | | | | | | 1,008,110 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
CASH EQUIVALENT — 1.9% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 19,985,312 | | | $ | 19,985 | |
Total Cash Equivalent | | | | | | | | |
(Cost $19,985) ($ Thousands) | | | | | | | 19,985 | |
Total Investments in Securities — 99.9% | | | | | | | | |
(Cost $231,066) ($ Thousands) | | $ | 1,028,095 | |
| | | | | | | | | |
| | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index E-MINI | | | 73 | | | | Dec-2024 | | | $ | 20,799 | | | $ | 21,222 | | | $ | 423 | |
| | | | | | | | | | | | | | | | | | | | | |
| Percentages are based on Net Assets of $1,029,295 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 1,008,110 | | | | – | | | | – | | | | 1,008,110 | |
Cash Equivalent | | | 19,985 | | | | – | | | | – | | | | 19,985 | |
Total Investments in Securities | | | 1,028,095 | | | | – | | | | – | | | | 1,028,095 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 423 | | | | – | | | | – | | | | 423 | |
Total Other Financial Instruments | | | 423 | | | | – | | | | – | | | | 423 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | $ | 19,012 | | | $ | 163,759 | | | $ | (162,786 | ) | | $ | — | | | $ | — | | | $ | 19,985 | | | $ | 952 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK — 99.2% |
| | | | | | | | | |
Communication Services — 1.8% | | | | |
Anterix Inc * | | | 3,310 | | | $ | 125 | |
AST SpaceMobile Inc, Cl A * | | | 10,384 | | | | 272 | |
Bandwidth Inc, Cl A * | | | 7,790 | | | | 136 | |
Cinemark Holdings Inc * | | | 73,130 | | | | 2,036 | |
Cogent Communications Holdings Inc | | | 13,765 | | | | 1,045 | |
EverQuote Inc, Cl A * | | | 17,130 | | | | 361 | |
EW Scripps Co/The, Cl A * | | | 66,180 | | | | 149 | |
fuboTV Inc * | | | 48,162 | | | | 68 | |
Gannett Co Inc * | | | 38,247 | | | | 215 | |
Gogo Inc * | | | 34,010 | | | | 244 | |
Grindr Inc * | | | 30,838 | | | | 368 | |
IDT Corp, Cl B | | | 9,880 | | | | 377 | |
Lions Gate Entertainment Corp, Cl A * | | | 62,952 | | | | 493 | |
MediaAlpha Inc, Cl A * | | | 19,970 | | | | 362 | |
Nexstar Media Group Inc, Cl A | | | 7,446 | | | | 1,231 | |
Playstudios Inc * | | | 81,286 | | | | 123 | |
Shutterstock Inc | | | 25,090 | | | | 887 | |
Sinclair Inc | | | 11,340 | | | | 174 | |
Spok Holdings Inc | | | 19,150 | | | | 288 | |
Thryv Holdings Inc * | | | 11,610 | | | | 200 | |
Vimeo Inc * | | | 103,500 | | | | 523 | |
Ziff Davis Inc * | | | 19,463 | | | | 947 | |
| | | | | | | | | |
| | | | | | | | 10,624 | |
Consumer Discretionary — 12.3% | | | | |
Aaron's Co Inc/The | | | 32,593 | | | | 324 | |
Abercrombie & Fitch Co, Cl A * | | | 20,496 | | | | 2,867 | |
Accel Entertainment Inc, Cl A * | | | 11,730 | | | | 136 | |
Adtalem Global Education Inc * | | | 28,633 | | | | 2,161 | |
Advance Auto Parts Inc | | | 25,789 | | | | 1,006 | |
American Eagle Outfitters Inc | | | 11,358 | | | | 254 | |
American Public Education Inc * | | | 7,760 | | | | 114 | |
Aramark | | | 10,500 | | | | 407 | |
Arko Corp | | | 18,190 | | | | 128 | |
Biglari Holdings Inc, Cl B * | | | 2,258 | | | | 388 | |
Bloomin' Brands Inc | | | 206,426 | | | | 3,412 | |
Boot Barn Holdings Inc * | | | 2,293 | | | | 384 | |
Brinker International Inc * | | | 27,611 | | | | 2,113 | |
Brunswick Corp/DE | | | 15,034 | | | | 1,260 | |
Build-A-Bear Workshop Inc | | | 26,790 | | | | 921 | |
Carter's Inc | | | 21,890 | | | | 1,422 | |
Cava Group Inc * | | | 4,792 | | | | 593 | |
Century Communities Inc | | | 3,696 | | | | 381 | |
Cheesecake Factory Inc/The | | | 16,468 | | | | 668 | |
Churchill Downs Inc | | | 10,165 | | | | 1,374 | |
Cooper-Standard Holdings Inc * | | | 9,243 | | | | 128 | |
Cricut Inc, Cl A | | | 20,950 | | | | 145 | |
Denny's Corp, Cl A * | | | 22,870 | | | | 148 | |
Designer Brands Inc, Cl A | | | 17,520 | | | | 129 | |
Destination XL Group Inc * | | | 43,470 | | | | 128 | |
Dick's Sporting Goods Inc | | | 6,236 | | | | 1,301 | |
Dine Brands Global Inc | | | 5,100 | | | | 159 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Domino's Pizza Inc | | | 2,989 | | | $ | 1,286 | |
Dorman Products Inc * | | | 10,232 | | | | 1,157 | |
Funko Inc, Cl A * | | | 17,070 | | | | 209 | |
Gentex Corp | | | 33,924 | | | | 1,007 | |
Goodyear Tire & Rubber Co/The * | | | 33,133 | | | | 293 | |
Green Brick Partners Inc * | | | 6,221 | | | | 520 | |
H&R Block Inc | | | 6,000 | | | | 381 | |
Hooker Furnishings Corp | | | 32,016 | | | | 579 | |
Hovnanian Enterprises Inc, Cl A * | | | 2,476 | | | | 506 | |
Inspired Entertainment Inc * | | | 23,158 | | | | 215 | |
Installed Building Products Inc | | | 5,167 | | | | 1,272 | |
J Jill Inc | | | 5,150 | | | | 127 | |
KB Home | | | 37,674 | | | | 3,228 | |
Kontoor Brands Inc | | | 22,438 | | | | 1,835 | |
Landsea Homes Corp * | | | 13,435 | | | | 166 | |
Latham Group Inc * | | | 127,036 | | | | 864 | |
Legacy Housing Corp * | | | 13,785 | | | | 377 | |
Life Time Group Holdings Inc * | | | 15,743 | | | | 384 | |
Lindblad Expeditions Holdings Inc * | | | 37,220 | | | | 344 | |
M/I Homes Inc * | | | 5,579 | | | | 956 | |
Marine Products Corp | | | 19,968 | | | | 193 | |
MasterCraft Boat Holdings Inc * | | | 8,172 | | | | 149 | |
Meritage Homes Corp | | | 3,763 | | | | 772 | |
Modine Manufacturing Co * | | | 46,116 | | | | 6,124 | |
Movado Group Inc | | | 5,312 | | | | 99 | |
Murphy USA Inc | | | 4,044 | | | | 1,993 | |
OneSpaWorld Holdings Ltd | | | 34,566 | | | | 571 | |
Oxford Industries Inc, Cl A | | | 4,458 | | | | 387 | |
PlayAGS Inc * | | | 82,138 | | | | 936 | |
Pool Corp | | | 3,728 | | | | 1,405 | |
Potbelly Corp * | | | 64,560 | | | | 538 | |
Revolve Group Inc, Cl A * | | | 5,932 | | | | 147 | |
Rocky Brands Inc | | | 7,896 | | | | 252 | |
Rush Street Interactive Inc * | | | 90,668 | | | | 984 | |
SharkNinja Inc | | | 4,039 | | | | 439 | |
Signet Jewelers Ltd | | | 9,929 | | | | 1,024 | |
Steven Madden Ltd | | | 21,967 | | | | 1,076 | |
Stitch Fix Inc, Cl A * | | | 187,763 | | | | 530 | |
Stride Inc * | | | 31,679 | | | | 2,703 | |
Sweetgreen Inc, Cl A * | | | 12,493 | | | | 443 | |
Travel + Leisure Co | | | 25,902 | | | | 1,194 | |
Tri Pointe Homes Inc * | | | 43,921 | | | | 1,990 | |
Urban Outfitters Inc * | | | 108,619 | | | | 4,161 | |
Valvoline Inc * | | | 26,162 | | | | 1,095 | |
Whirlpool Corp | | | 32,914 | | | | 3,522 | |
Wingstop Inc, Cl A | | | 5,443 | | | | 2,265 | |
Xponential Fitness Inc, Cl A * | | | 36,528 | | | | 453 | |
YETI Holdings Inc * | | | 10,113 | | | | 415 | |
| | | | | | | | | |
| | | | | | | | 74,017 | |
Consumer Staples — 4.0% | | | | |
BellRing Brands Inc * | | | 38,613 | | | | 2,345 | |
Casey's General Stores Inc | | | 3,776 | | | | 1,419 | |
Central Garden & Pet Co, Cl A * | | | 3,300 | | | | 120 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Dole PLC | | | 19,368 | | | $ | 315 | |
elf Beauty Inc * | | | 6,244 | | | | 681 | |
Hain Celestial Group Inc/The * | | | 52,945 | | | | 457 | |
Ingles Markets Inc, Cl A | | | 4,580 | | | | 342 | |
Ingredion Inc | | | 10,278 | | | | 1,412 | |
Inter Parfums Inc | | | 1,754 | | | | 227 | |
Lancaster Colony Corp | | | 3,780 | | | | 667 | |
Lifeway Foods Inc * | | | 17,976 | | | | 466 | |
MGP Ingredients Inc | | | 6,177 | | | | 514 | |
Natural Grocers by Vitamin Cottage Inc | | | 40,546 | | | | 1,204 | |
Performance Food Group Co * | | | 17,510 | | | | 1,372 | |
Pilgrim's Pride Corp * | | | 53,760 | | | | 2,476 | |
PriceSmart Inc | | | 1,457 | | | | 134 | |
Primo Water Corp | | | 66,993 | | | | 1,692 | |
Sprouts Farmers Market Inc * | | | 43,296 | | | | 4,780 | |
TreeHouse Foods Inc * | | | 29,294 | | | | 1,230 | |
Turning Point Brands Inc | | | 5,649 | | | | 244 | |
Village Super Market Inc, Cl A | | | 18,159 | | | | 577 | |
Vital Farms Inc * | | | 32,085 | | | | 1,125 | |
| | | | | | | | | |
| | | | | | | | 23,799 | |
Energy — 5.2% | | | | |
Archrock Inc | | | 21,874 | | | | 443 | |
Berry Corp | | | 110,820 | | | | 570 | |
Cactus Inc, Cl A | | | 20,340 | | | | 1,214 | |
Centrus Energy Corp, Cl A * | | | 5,857 | | | | 321 | |
ChampionX Corp | | | 87,127 | | | | 2,627 | |
Chord Energy Corp | | | 6,102 | | | | 795 | |
Civitas Resources Inc | | | 42,526 | | | | 2,155 | |
Clean Energy Fuels Corp * | | | 50,690 | | | | 158 | |
CNX Resources Corp * | | | 73,582 | | | | 2,396 | |
Delek US Holdings Inc | | | 212,517 | | | | 3,985 | |
DMC Global Inc * | | | 10,413 | | | | 135 | |
Dorian LPG Ltd | | | 4,322 | | | | 149 | |
DT Midstream Inc | | | 3,910 | | | | 307 | |
Excelerate Energy Inc, Cl A | | | 28,710 | | | | 632 | |
FutureFuel Corp | | | 146,630 | | | | 843 | |
Golar LNG Ltd | | | 9,614 | | | | 353 | |
HF Sinclair Corp | | | 20,867 | | | | 930 | |
Matador Resources Co | | | 20,409 | | | | 1,009 | |
Northern Oil & Gas Inc | | | 29,189 | | | | 1,034 | |
Oceaneering International Inc, Cl A * | | | 1,122 | | | | 28 | |
Permian Resources Corp, Cl A | | | 112,227 | | | | 1,527 | |
Ranger Energy Services Inc, Cl A | | | 50,928 | | | | 606 | |
REX American Resources Corp * | | | 8,894 | | | | 412 | |
Riley Exploration Permian Inc | | | 24,969 | | | | 661 | |
SFL Corp Ltd, Cl B | | | 37,566 | | | | 435 | |
SM Energy Co | | | 7,070 | | | | 283 | |
Teekay Corp * | | | 118,931 | | | | 1,094 | |
Texas Pacific Land Corp | | | 440 | | | | 389 | |
Tidewater Inc * | | | 9,137 | | | | 656 | |
VAALCO Energy Inc | | | 128,230 | | | | 736 | |
Veren Inc | | | 277,092 | | | | 1,704 | |
Viper Energy Inc, Cl A | | | 9,500 | | | | 428 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Weatherford International PLC | | | 25,562 | | | $ | 2,171 | |
| | | | | | | | | |
| | | | | | | | 31,186 | |
Financials — 22.3% | | | | |
Acacia Research Corp * | | | 28,335 | | | | 132 | |
AFC Gamma Inc ‡ | | | 41,875 | | | | 428 | |
Alerus Financial Corp | | | 29,454 | | | | 674 | |
Amalgamated Financial Corp | | | 46,192 | | | | 1,449 | |
Atlanticus Holdings Corp * | | | 12,263 | | | | 430 | |
Baldwin Insurance Group Inc/The, Cl A * | | | 8,000 | | | | 398 | |
Banco Latinoamericano de Comercio Exterior SA, Cl E | | | 29,147 | | | | 947 | |
Bancorp Inc/The * | | | 24,726 | | | | 1,323 | |
Bank7 Corp | | | 8,533 | | | | 320 | |
BankUnited Inc | | | 55,658 | | | | 2,028 | |
BayCom Corp | | | 9,656 | | | | 229 | |
BGC Group Inc, Cl A | | | 116,739 | | | | 1,072 | |
Business First Bancshares Inc | | | 8,300 | | | | 213 | |
Camden National Corp | | | 5,884 | | | | 243 | |
Capital Bancorp Inc | | | 7,934 | | | | 204 | |
Capital City Bank Group Inc | | | 3,840 | | | | 136 | |
Carter Bankshares Inc * | | | 15,138 | | | | 263 | |
Cass Information Systems Inc | | | 9,586 | | | | 398 | |
Chimera Investment Corp ‡ | | | 41,532 | | | | 657 | |
City Holding Co | | | 6,427 | | | | 755 | |
Civista Bancshares Inc | | | 7,497 | | | | 134 | |
CNO Financial Group Inc | | | 135,101 | | | | 4,742 | |
Coastal Financial Corp/WA * | | | 20,992 | | | | 1,133 | |
Cohen & Steers Inc | | | 22,927 | | | | 2,200 | |
Colony Bankcorp Inc | | | 24,573 | | | | 381 | |
Columbia Banking System Inc | | | 252,777 | | | | 6,600 | |
Comerica Inc | | | 62,233 | | | | 3,728 | |
Community Trust Bancorp Inc | | | 3,280 | | | | 163 | |
ConnectOne Bancorp Inc | | | 27,052 | | | | 678 | |
Crawford & Co, Cl A | | | 31,655 | | | | 347 | |
CrossFirst Bankshares Inc * | | | 15,103 | | | | 252 | |
Diamond Hill Investment Group Inc | | | 6,330 | | | | 1,023 | |
Donegal Group Inc, Cl A | | | 17,500 | | | | 258 | |
Donnelley Financial Solutions Inc * | | | 15,829 | | | | 1,042 | |
Enova International Inc * | | | 14,331 | | | | 1,201 | |
Esquire Financial Holdings Inc | | | 16,438 | | | | 1,072 | |
Evercore Inc, Cl A | | | 1,578 | | | | 400 | |
FactSet Research Systems Inc | | | 2,495 | | | | 1,147 | |
Farmers National Banc Corp | | | 10,414 | | | | 158 | |
Financial Institutions Inc | | | 9,760 | | | | 249 | |
First American Financial Corp | | | 16,188 | | | | 1,069 | |
First Commonwealth Financial Corp | | | 131,862 | | | | 2,261 | |
First Community Bankshares Inc | | | 12,350 | | | | 533 | |
First Financial Corp/IN | | | 3,980 | | | | 175 | |
First Horizon Corp | | | 93,774 | | | | 1,456 | |
First Interstate BancSystem Inc, Cl A | | | 47,142 | | | | 1,446 | |
FNB Corp/PA | | | 225,756 | | | | 3,185 | |
Fulton Financial Corp | | | 36,814 | | | | 667 | |
Great Southern Bancorp Inc | | | 6,000 | | | | 344 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Guaranty Bancshares Inc/TX | | | 5,504 | | | $ | 189 | |
Hamilton Lane Inc, Cl A | | | 37,765 | | | | 6,359 | |
Hanover Insurance Group Inc/The, Cl A | | | 11,111 | | | | 1,646 | |
HBT Financial Inc | | | 24,003 | | | | 525 | |
HCI Group Inc | | | 4,589 | | | | 491 | |
Home BancShares Inc/AR | | | 53,745 | | | | 1,456 | |
HomeTrust Bancshares Inc | | | 14,394 | | | | 491 | |
Independent Bank Corp | | | 13,387 | | | | 792 | |
Independent Bank Corp/MI | | | 10,940 | | | | 365 | |
Jack Henry & Associates Inc | | | 6,741 | | | | 1,190 | |
Jackson Financial Inc, Cl A | | | 52,043 | | | | 4,748 | |
James River Group Holdings Ltd | | | 20,438 | | | | 128 | |
Jefferies Financial Group Inc | | | 8,138 | | | | 501 | |
Kinsale Capital Group Inc | | | 3,575 | | | | 1,664 | |
Lemonade Inc * | | | 27,178 | | | | 448 | |
LendingTree Inc * | | | 18,096 | | | | 1,050 | |
Lincoln National Corp | | | 123,441 | | | | 3,890 | |
Mercantile Bank Corp | | | 10,432 | | | | 456 | |
Merchants Bancorp/IN | | | 2,587 | | | | 116 | |
Metrocity Bankshares Inc | | | 5,646 | | | | 173 | |
MGIC Investment Corp | | | 53,002 | | | | 1,357 | |
Midland States Bancorp Inc | | | 6,930 | | | | 155 | |
Moelis & Co, Cl A | | | 6,500 | | | | 445 | |
Moneylion Inc * | | | 10,550 | | | | 438 | |
Morningstar Inc, Cl A | | | 4,140 | | | | 1,321 | |
Mr Cooper Group Inc * | | | 38,149 | | | | 3,517 | |
National Bank Holdings Corp, Cl A | | | 16,751 | | | | 705 | |
NBT Bancorp Inc | | | 23,599 | | | | 1,044 | |
NerdWallet Inc, Cl A * | | | 10,630 | | | | 135 | |
New York Mortgage Trust Inc ‡ | | | 46,650 | | | | 295 | |
NMI Holdings Inc, Cl A * | | | 32,807 | | | | 1,351 | |
Northrim BanCorp Inc | | | 6,277 | | | | 447 | |
OFG Bancorp | | | 23,876 | | | | 1,073 | |
Old National Bancorp/IN, Cl A | | | 287,747 | | | | 5,369 | |
Old Republic International Corp | | | 10,600 | | | | 376 | |
Old Second Bancorp Inc | | | 26,200 | | | | 409 | |
OppFi Inc | | | 36,505 | | | | 173 | |
Orrstown Financial Services Inc | | | 39,111 | | | | 1,406 | |
Palomar Holdings Inc, Cl A * | | | 2,898 | | | | 274 | |
Park National Corp | | | 1,948 | | | | 327 | |
Pathward Financial Inc | | | 8,249 | | | | 545 | |
Paysafe Ltd * | | | 33,190 | | | | 744 | |
PennyMac Financial Services Inc | | | 7,133 | | | | 813 | |
Peoples Bancorp Inc/OH | | | 4,720 | | | | 142 | |
Peoples Financial Services Corp | | | 3,000 | | | | 141 | |
Pinnacle Financial Partners Inc | | | 17,635 | | | | 1,728 | |
Piper Sandler Cos | | | 7,451 | | | | 2,115 | |
Ponce Financial Group Inc * | | | 28,382 | | | | 332 | |
Primis Financial Corp | | | 2,754 | | | | 34 | |
Princeton Bancorp Inc | | | 164 | | | | 6 | |
PROG Holdings Inc | | | 27,911 | | | | 1,353 | |
Prosperity Bancshares Inc | | | 17,794 | | | | 1,282 | |
QCR Holdings Inc | | | 11,352 | | | | 840 | |
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK (continued) |
Regional Management Corp | | | 18,347 | | | $ | 600 | |
Republic Bancorp Inc/KY, Cl A | | | 15,882 | | | | 1,037 | |
S&T Bancorp Inc | | | 9,700 | | | | 407 | |
Selectquote Inc * | | | 182,020 | | | | 395 | |
Sezzle Inc * | | | 2,191 | | | | 374 | |
Sierra Bancorp | | | 22,745 | | | | 657 | |
Southern Missouri Bancorp Inc | | | 13,305 | | | | 752 | |
Southern States Bancshares Inc | | | 7,220 | | | | 222 | |
Stellar Bancorp Inc | | | 5,650 | | | | 146 | |
StepStone Group Inc, Cl A | | | 39,771 | | | | 2,260 | |
Sunrise Realty Trust Inc *‡ | | | 13,136 | | | | 189 | |
Timberland Bancorp Inc/WA | | | 1,202 | | | | 36 | |
TPG RE Finance Trust Inc ‡ | | | 67,970 | | | | 580 | |
UMB Financial Corp | | | 31,344 | | | | 3,295 | |
United Fire Group Inc | | | 20,643 | | | | 432 | |
Unity Bancorp Inc | | | 164 | | | | 6 | |
Universal Insurance Holdings Inc | | | 48,105 | | | | 1,066 | |
Univest Financial Corp | | | 45,173 | | | | 1,271 | |
Valley National Bancorp | | | 138,231 | | | | 1,252 | |
Victory Capital Holdings Inc, Cl A | | | 25,110 | | | | 1,391 | |
Voya Financial Inc | | | 17,000 | | | | 1,347 | |
WaFd Inc | | | 49,991 | | | | 1,742 | |
Waterstone Financial Inc | | | 10,183 | | | | 150 | |
Westamerica BanCorp | | | 11,961 | | | | 591 | |
Wintrust Financial Corp | | | 20,772 | | | | 2,254 | |
World Acceptance Corp * | | | 7,393 | | | | 872 | |
Zions Bancorp NA | | | 67,917 | | | | 3,207 | |
| | | | | | | | | |
| | | | | | | | 134,244 | |
Health Care — 14.5% | | | | |
Accuray Inc * | | | 50,429 | | | | 91 | |
ACELYRIN Inc * | | | 59,684 | | | | 294 | |
Actinium Pharmaceuticals Inc * | | | 63,760 | | | | 120 | |
Addus HomeCare Corp * | | | 4,963 | | | | 660 | |
ADMA Biologics Inc * | | | 25,303 | | | | 506 | |
Agios Pharmaceuticals Inc * | | | 7,433 | | | | 330 | |
Aldeyra Therapeutics Inc * | | | 132,072 | | | | 712 | |
Alector Inc * | | | 27,041 | | | | 126 | |
Altimmune Inc * | | | 25,960 | | | | 159 | |
ALX Oncology Holdings Inc * | | | 67,740 | | | | 123 | |
Amphastar Pharmaceuticals Inc * | | | 13,484 | | | | 654 | |
ANI Pharmaceuticals Inc * | | | 7,017 | | | | 419 | |
Anika Therapeutics Inc * | | | 5,130 | | | | 127 | |
Annexon Inc * | | | 34,103 | | | | 202 | |
Arcturus Therapeutics Holdings Inc * | | | 6,530 | | | | 152 | |
Arcutis Biotherapeutics Inc * | | | 45,910 | | | | 427 | |
Ardelyx Inc * | | | 131,833 | | | | 908 | |
ARS Pharmaceuticals Inc * | | | 45,166 | | | | 655 | |
Arvinas Inc * | | | 14,475 | | | | 357 | |
Aveanna Healthcare Holdings Inc * | | | 39,483 | | | | 205 | |
Avidity Biosciences Inc * | | | 8,413 | | | | 386 | |
Axogen Inc * | | | 34,414 | | | | 482 | |
Bioventus Inc, Cl A * | | | 90,924 | | | | 1,087 | |
Blueprint Medicines Corp * | | | 16,900 | | | | 1,563 | |
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| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Brookdale Senior Living Inc, Cl A * | | | 71,784 | | | $ | 487 | |
CareDx Inc * | | | 55,121 | | | | 1,721 | |
Catalyst Pharmaceuticals Inc * | | | 40,761 | | | | 810 | |
CG oncology Inc * | | | 4,580 | | | | 173 | |
Chemed Corp | | | 1,983 | | | | 1,192 | |
Codexis Inc * | | | 63,298 | | | | 195 | |
Coherus Biosciences Inc * | | | 405,164 | | | | 421 | |
Collegium Pharmaceutical Inc * | | | 68,292 | | | | 2,639 | |
Community Health Systems Inc * | | | 97,242 | | | | 590 | |
Corcept Therapeutics Inc * | | | 18,670 | | | | 864 | |
CorVel Corp * | | | 1,217 | | | | 398 | |
Crinetics Pharmaceuticals Inc * | | | 6,672 | | | | 341 | |
Doximity Inc, Cl A * | | | 11,072 | | | | 482 | |
Edgewise Therapeutics Inc * | | | 18,100 | | | | 483 | |
Editas Medicine Inc, Cl A * | | | 55,882 | | | | 191 | |
Embecta Corp | | | 22,550 | | | | 318 | |
Encompass Health Corp | | | 42,894 | | | | 4,145 | |
Enhabit Inc * | | | 15,640 | | | | 124 | |
Ensign Group Inc/The | | | 17,922 | | | | 2,578 | |
Entrada Therapeutics Inc * | | | 16,705 | | | | 267 | |
Envista Holdings Corp * | | | 25,417 | | | | 502 | |
Evolus Inc * | | | 34,672 | | | | 562 | |
Fate Therapeutics Inc * | | | 75,356 | | | | 264 | |
Generation Bio Co * | | | 142,595 | | | | 352 | |
Geron Corp * | | | 85,000 | | | | 386 | |
Glaukos Corp * | | | 4,385 | | | | 571 | |
Globus Medical Inc, Cl A * | | | 17,009 | | | | 1,217 | |
Haemonetics Corp * | | | 4,576 | | | | 368 | |
Halozyme Therapeutics Inc * | | | 7,855 | | | | 450 | |
Harrow Inc * | | | 21,925 | | | | 986 | |
Health Catalyst Inc * | | | 70,618 | | | | 575 | |
HealthEquity Inc * | | | 25,624 | | | | 2,097 | |
HealthStream Inc | | | 5,460 | | | | 157 | |
Heron Therapeutics Inc * | | | 74,561 | | | | 148 | |
Hims & Hers Health Inc * | | | 67,313 | | | | 1,240 | |
ICU Medical Inc * | | | 5,536 | | | | 1,009 | |
Inmode Ltd * | | | 119,165 | | | | 2,020 | |
Insmed Inc * | | | 10,750 | | | | 785 | |
Integra LifeSciences Holdings Corp * | | | 92,172 | | | | 1,675 | |
iRadimed Corp | | | 19,045 | | | | 958 | |
iTeos Therapeutics Inc * | | | 11,124 | | | | 114 | |
Joint Corp/The * | | | 32,036 | | | | 366 | |
Kiniksa Pharmaceuticals International Plc, Cl A * | | | 20,627 | | | | 515 | |
Kodiak Sciences Inc * | | | 51,290 | | | | 134 | |
Krystal Biotech Inc * | | | 1,245 | | | | 227 | |
Lantheus Holdings Inc * | | | 20,548 | | | | 2,255 | |
LeMaitre Vascular Inc | | | 36,422 | | | | 3,383 | |
LifeMD Inc * | | | 40,600 | | | | 213 | |
Longboard Pharmaceuticals Inc * | | | 8,600 | | | | 287 | |
Lyell Immunopharma Inc * | | | 137,984 | | | | 190 | |
MannKind Corp * | | | 55,000 | | | | 346 | |
Medpace Holdings Inc * | | | 6,269 | | | | 2,093 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
MeiraGTx Holdings plc * | | | 38,683 | | | $ | 161 | |
Merit Medical Systems Inc * | | | 7,418 | | | | 733 | |
Mersana Therapeutics Inc * | | | 92,590 | | | | 175 | |
Mesa Laboratories Inc | | | 1,670 | | | | 217 | |
Mirum Pharmaceuticals Inc * | | | 9,000 | | | | 351 | |
Myriad Genetics Inc * | | | 7,163 | | | | 196 | |
Nkarta Inc * | | | 18,179 | | | | 82 | |
Nurix Therapeutics Inc * | | | 48,700 | | | | 1,094 | |
Nuvalent Inc, Cl A * | | | 3,800 | | | | 389 | |
Nuvation Bio Inc * | | | 124,444 | | | | 285 | |
Option Care Health Inc * | | | 30,810 | | | | 964 | |
OraSure Technologies Inc * | | | 168,272 | | | | 719 | |
Organogenesis Holdings Inc, Cl A * | | | 160,742 | | | | 460 | |
ORIC Pharmaceuticals Inc * | | | 11,442 | | | | 117 | |
Pacira BioSciences Inc * | | | 57,790 | | | | 870 | |
PACS Group Inc * | | | 10,239 | | | | 409 | |
Pennant Group Inc/The * | | | 37,805 | | | | 1,350 | |
Perrigo Co PLC | | | 40,519 | | | | 1,063 | |
PetIQ Inc, Cl A * | | | 17,667 | | | | 544 | |
Phathom Pharmaceuticals Inc * | | | 20,857 | | | | 377 | |
Phibro Animal Health Corp, Cl A | | | 24,469 | | | | 551 | |
Poseida Therapeutics Inc, Cl A * | | | 52,719 | | | | 151 | |
Prestige Consumer Healthcare Inc, Cl A * | | | 29,184 | | | | 2,104 | |
PROCEPT BioRobotics Corp * | | | 5,472 | | | | 438 | |
Puma Biotechnology Inc * | | | 94,007 | | | | 240 | |
Quest Diagnostics Inc | | | 7,499 | | | | 1,164 | |
QuidelOrtho Corp * | | | 16,613 | | | | 758 | |
RadNet Inc * | | | 5,752 | | | | 399 | |
RAPT Therapeutics Inc * | | | 93,530 | | | | 188 | |
Recursion Pharmaceuticals Inc, Cl A * | | | 21,151 | | | | 139 | |
Relay Therapeutics Inc * | | | 47,325 | | | | 335 | |
Replimune Group Inc, Cl Rights * | | | 27,740 | | | | 304 | |
Revance Therapeutics Inc * | | | 37,750 | | | | 196 | |
REVOLUTION Medicines Inc * | | | 8,011 | | | | 363 | |
Rigel Pharmaceuticals Inc * | | | 28,414 | | | | 460 | |
SIGA Technologies Inc | | | 51,189 | | | | 346 | |
Solid Biosciences Inc * | | | 20,290 | | | | 141 | |
STERIS PLC | | | 6,226 | | | | 1,510 | |
Stoke Therapeutics Inc * | | | 38,985 | | | | 479 | |
Surmodics Inc * | | | 13,652 | | | | 529 | |
Tactile Systems Technology Inc * | | | 65,361 | | | | 955 | |
Tandem Diabetes Care Inc * | | | 5,584 | | | | 237 | |
Tarsus Pharmaceuticals Inc * | | | 18,635 | | | | 613 | |
Taysha Gene Therapies Inc * | | | 54,176 | | | | 109 | |
Tenet Healthcare Corp * | | | 3,050 | | | | 507 | |
TG Therapeutics Inc * | | | 16,943 | | | | 396 | |
TransMedics Group Inc * | | | 8,775 | | | | 1,378 | |
Travere Therapeutics Inc * | | | 13,410 | | | | 188 | |
Twist Bioscience Corp * | | | 9,326 | | | | 421 | |
UFP Technologies Inc * | | | 1,625 | | | | 515 | |
Ultragenyx Pharmaceutical Inc * | | | 5,500 | | | | 306 | |
US Physical Therapy Inc | | | 11,855 | | | | 1,003 | |
Utah Medical Products Inc | | | 13,096 | | | | 876 | |
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| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Vanda Pharmaceuticals Inc * | | | 134,417 | | | $ | 630 | |
Vaxcyte Inc * | | | 7,199 | | | | 823 | |
Veracyte Inc * | | | 7,287 | | | | 248 | |
Verve Therapeutics Inc * | | | 125,880 | | | | 609 | |
Waystar Holding Corp * | | | 14,500 | | | | 404 | |
XOMA Royalty Corp * | | | 5,400 | | | | 143 | |
| | | | | | | | | |
| | | | | | | | 87,321 | |
Industrials — 18.2% | | | | |
AAON Inc | | | 4,000 | | | | 431 | |
ABM Industries Inc | | | 41,280 | | | | 2,178 | |
ACCO Brands Corp | | | 149,850 | | | | 820 | |
AerSale Corp * | | | 21,960 | | | | 111 | |
Air Lease Corp, Cl A | | | 29,389 | | | | 1,331 | |
Allison Transmission Holdings Inc | | | 10,947 | | | | 1,052 | |
American Superconductor Corp * | | | 44,379 | | | | 1,047 | |
Argan Inc | | | 5,688 | | | | 577 | |
Aris Water Solutions Inc, Cl A | | | 43,854 | | | | 740 | |
Astec Industries Inc | | | 40,837 | | | | 1,304 | |
Astronics Corp * | | | 20,550 | | | | 400 | |
Atmus Filtration Technologies Inc | | | 37,146 | | | | 1,394 | |
AZEK Co Inc/The, Cl A * | | | 12,514 | | | | 586 | |
AZZ Inc | | | 6,711 | | | | 554 | |
Barnes Group Inc | | | 41,295 | | | | 1,669 | |
Barrett Business Services Inc | | | 14,922 | | | | 560 | |
Blue Bird Corp * | | | 5,785 | | | | 277 | |
Boise Cascade Co | | | 1,793 | | | | 253 | |
Booz Allen Hamilton Holding Corp, Cl A | | | 10,258 | | | | 1,670 | |
Brady Corp, Cl A | | | 4,724 | | | | 362 | |
BrightView Holdings Inc * | | | 36,500 | | | | 575 | |
Brink's Co/The | | | 2,609 | | | | 302 | |
Broadridge Financial Solutions Inc | | | 6,059 | | | | 1,303 | |
Brookfield Business Corp, Cl A | | | 13,654 | | | | 346 | |
BWX Technologies Inc | | | 19,299 | | | | 2,098 | |
CACI International Inc, Cl A * | | | 4,430 | | | | 2,235 | |
Carlisle Cos Inc | | | 3,110 | | | | 1,399 | |
CECO Environmental Corp * | | | 7,971 | | | | 225 | |
Cimpress PLC * | | | 9,362 | | | | 767 | |
Clean Harbors Inc * | | | 8,404 | | | | 2,031 | |
Commercial Vehicle Group Inc * | | | 48,694 | | | | 158 | |
Concentrix Corp | | | 16,363 | | | | 839 | |
Construction Partners Inc, Cl A * | | | 4,621 | | | | 323 | |
Costamare Inc | | | 70,402 | | | | 1,107 | |
CSW Industrials Inc | | | 1,546 | | | | 566 | |
Curtiss-Wright Corp | | | 1,412 | | | | 464 | |
DXP Enterprises Inc/TX * | | | 9,359 | | | | 499 | |
Dycom Industries Inc * | | | 12,917 | | | | 2,546 | |
EMCOR Group Inc | | | 1,217 | | | | 524 | |
Enerpac Tool Group Corp, Cl A | | | 22,181 | | | | 929 | |
Ennis Inc | | | 11,614 | | | | 282 | |
Enpro Inc | | | 9,648 | | | | 1,565 | |
Enviri Corp * | | | 123,485 | | | | 1,277 | |
ExlService Holdings Inc * | | | 101,032 | | | | 3,854 | |
Franklin Covey Co * | | | 19,132 | | | | 787 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
FTAI Aviation Ltd | | | 19,013 | | | $ | 2,527 | |
Gates Industrial Corp PLC * | | | 94,726 | | | | 1,662 | |
Genco Shipping & Trading Ltd | | | 22,923 | | | | 447 | |
GFL Environmental Inc | | | 36,845 | | | | 1,469 | |
Global Industrial Co | | | 17,146 | | | | 582 | |
Graham Corp, Cl A * | | | 4,150 | | | | 123 | |
Greenbrier Cos Inc/The | | | 2,787 | | | | 142 | |
Griffon Corp | | | 13,570 | | | | 950 | |
Heidrick & Struggles International Inc | | | 6,576 | | | | 256 | |
Hexcel Corp, Cl A | | | 32,775 | | | | 2,026 | |
HNI Corp | | | 33,924 | | | | 1,826 | |
Hudson Technologies Inc * | | | 41,100 | | | | 343 | |
Huntington Ingalls Industries Inc, Cl A | | | 3,155 | | | | 834 | |
Huron Consulting Group Inc * | | | 18,227 | | | | 1,981 | |
Hyster-Yale Inc | | | 6,993 | | | | 446 | |
IBEX Holdings Ltd * | | | 19,506 | | | | 390 | |
IES Holdings Inc * | | | 1,626 | | | | 325 | |
Innodata Inc * | | | 9,480 | | | | 159 | |
Insperity Inc, Cl A | | | 8,639 | | | | 760 | |
Interface Inc, Cl A | | | 70,246 | | | | 1,333 | |
ITT Inc | | | 14,069 | | | | 2,103 | |
Karat Packaging Inc | | | 21,470 | | | | 556 | |
Kelly Services Inc, Cl A | | | 20,559 | | | | 440 | |
Kennametal Inc | | | 17,731 | | | | 460 | |
Korn Ferry | | | 22,413 | | | | 1,686 | |
L B Foster Co, Cl A * | | | 5,743 | | | | 117 | |
Landstar System Inc | | | 6,407 | | | | 1,210 | |
Limbach Holdings Inc * | | | 8,718 | | | | 660 | |
Loar Holdings Inc * | | | 5,600 | | | | 418 | |
LSI Industries Inc | | | 32,470 | | | | 524 | |
Luxfer Holdings PLC ADR | | | 24,490 | | | | 317 | |
Manitowoc Co Inc/The * | | | 11,988 | | | | 115 | |
Matson Inc | | | 2,371 | | | | 338 | |
Moog Inc, Cl A | | | 1,765 | | | | 357 | |
Mueller Industries Inc | | | 7,259 | | | | 538 | |
Mueller Water Products Inc, Cl A | | | 20,208 | | | | 439 | |
NEXTracker Inc, Cl A * | | | 12,980 | | | | 487 | |
Nordson Corp | | | 4,687 | | | | 1,231 | |
Omega Flex Inc | | | 2,730 | | | | 136 | |
PAM Transportation Services Inc * | | | 7,513 | | | | 139 | |
Pangaea Logistics Solutions Ltd | | | 14,028 | | | | 101 | |
Park-Ohio Holdings Corp | | | 19,511 | | | | 599 | |
Parsons Corp * | | | 30,085 | | | | 3,119 | |
Powell Industries Inc | | | 2,069 | | | | 459 | |
Preformed Line Products Co | | | 2,650 | | | | 339 | |
Primoris Services Corp | | | 3,903 | | | | 227 | |
Regal Rexnord Corp | | | 6,746 | | | | 1,119 | |
REV Group Inc | | | 15,749 | | | | 442 | |
Rush Enterprises Inc, Cl A | | | 16,761 | | | | 886 | |
Safe Bulkers Inc | | | 199,465 | | | | 1,033 | |
Sensata Technologies Holding PLC | | | 61,521 | | | | 2,206 | |
Shyft Group Inc/The | | | 9,270 | | | | 116 | |
SkyWest Inc * | | | 16,053 | | | | 1,365 | |
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Small Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
SPX Technologies Inc * | | | 4,828 | | | $ | 770 | |
Standex International Corp | | | 17,748 | | | | 3,244 | |
Steelcase Inc, Cl A | | | 36,903 | | | | 498 | |
Sterling Infrastructure Inc * | | | 13,386 | | | | 1,941 | |
Sun Country Airlines Holdings Inc * | | | 42,290 | | | | 474 | |
Terex Corp | | | 23,594 | | | | 1,248 | |
Tetra Tech Inc | | | 28,030 | | | | 1,322 | |
TransUnion | | | 12,607 | | | | 1,320 | |
Tutor Perini Corp * | | | 44,823 | | | | 1,217 | |
UFP Industries Inc | | | 9,351 | | | | 1,227 | |
UL Solutions Inc, Cl A | | | 8,493 | | | | 419 | |
UniFirst Corp/MA | | | 6,087 | | | | 1,209 | |
V2X Inc * | | | 2,680 | | | | 150 | |
Valmont Industries Inc | | | 9,918 | | | | 2,876 | |
Verra Mobility Corp, Cl A * | | | 4,948 | | | | 138 | |
Viad Corp * | | | 10,336 | | | | 370 | |
Virco Mfg. Corp | | | 35,450 | | | | 490 | |
WESCO International Inc | | | 13,491 | | | | 2,266 | |
Willdan Group Inc * | | | 26,006 | | | | 1,065 | |
Willis Lease Finance Corp | | | 1,020 | | | | 152 | |
| | | | | | | | | |
| | | | | | | | 109,576 | |
Information Technology — 9.8% | | | | |
8x8 Inc * | | | 196,820 | | | | 402 | |
ACI Worldwide Inc * | | | 11,667 | | | | 594 | |
Agilysys Inc * | | | 3,813 | | | | 416 | |
Alkami Technology Inc * | | | 23,272 | | | | 734 | |
Appfolio Inc, Cl A * | | | 456 | | | | 107 | |
Applied Digital Corp * | | | 46,000 | | | | 380 | |
Arlo Technologies Inc * | | | 23,220 | | | | 281 | |
AvePoint Inc * | | | 37,872 | | | | 446 | |
Aviat Networks Inc * | | | 8,972 | | | | 194 | |
Backblaze Inc, Cl A * | | | 43,590 | | | | 279 | |
Badger Meter Inc | | | 11,997 | | | | 2,620 | |
Belden Inc | | | 17,694 | | | | 2,073 | |
Benchmark Electronics Inc | | | 8,500 | | | | 377 | |
Bentley Systems Inc, Cl B | | | 25,456 | | | | 1,293 | |
Braze Inc, Cl A * | | | 16,052 | | | | 519 | |
Cirrus Logic Inc * | | | 3,126 | | | | 388 | |
Clearfield Inc * | | | 12,953 | | | | 505 | |
Clearwater Analytics Holdings Inc, Cl A * | | | 16,800 | | | | 424 | |
Cognex Corp | | | 28,987 | | | | 1,174 | |
Coherent Corp * | | | 3,500 | | | | 311 | |
CommScope Holding Co Inc * | | | 75,682 | | | | 462 | |
CommVault Systems Inc * | | | 14,032 | | | | 2,159 | |
Consensus Cloud Solutions Inc * | | | 29,790 | | | | 702 | |
Couchbase Inc * | | | 24,958 | | | | 402 | |
Credo Technology Group Holding Ltd * | | | 9,524 | | | | 293 | |
Digital Turbine Inc * | | | 101,700 | | | | 312 | |
Diodes Inc * | | | 14,143 | | | | 906 | |
Fabrinet * | | | 10,974 | | | | 2,595 | |
Freshworks Inc, Cl A * | | | 10,599 | | | | 122 | |
Hackett Group Inc/The | | | 21,235 | | | | 558 | |
Harmonic Inc, Cl A * | | | 140,069 | | | | 2,041 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Immersion Corp | | | 78,233 | | | $ | 698 | |
Impinj Inc * | | | 6,783 | | | | 1,469 | |
Intapp Inc * | | | 16,672 | | | | 797 | |
Itron Inc * | | | 3,704 | | | | 396 | |
Kulicke & Soffa Industries Inc | | | 25,779 | | | | 1,163 | |
Littelfuse Inc | | | 4,185 | | | | 1,110 | |
LiveRamp Holdings Inc * | | | 27,214 | | | | 674 | |
Lumentum Holdings Inc * | | | 33,037 | | | | 2,094 | |
Methode Electronics Inc | | | 54,793 | | | | 655 | |
NETGEAR Inc * | | | 43,370 | | | | 870 | |
Olo Inc, Cl A * | | | 118,600 | | | | 588 | |
ON24 Inc * | | | 92,848 | | | | 568 | |
OneSpan Inc * | | | 67,061 | | | | 1,118 | |
Open Text Corp | | | 57,391 | | | | 1,910 | |
PC Connection Inc | | | 7,267 | | | | 548 | |
Photronics Inc * | | | 173,036 | | | | 4,284 | |
Power Integrations Inc | | | 20,390 | | | | 1,307 | |
Progress Software Corp | | | 6,877 | | | | 463 | |
Q2 Holdings Inc * | | | 25,949 | | | | 2,070 | |
Red Violet Inc * | | | 22,526 | | | | 641 | |
Ribbon Communications Inc * | | | 39,100 | | | | 127 | |
Rimini Street Inc * | | | 125,425 | | | | 232 | |
Rogers Corp * | | | 8,300 | | | | 938 | |
SEMrush Holdings Inc, Cl A * | | | 9,790 | | | | 154 | |
Semtech Corp * | | | 9,300 | | | | 425 | |
Silicon Laboratories Inc * | | | 6,433 | | | | 744 | |
Silicon Motion Technology Corp ADR | | | 46,978 | | | | 2,853 | |
SiTime Corp * | | | 2,650 | | | | 455 | |
SolarWinds Corp | | | 75,730 | | | | 988 | |
SPS Commerce Inc * | | | 3,426 | | | | 665 | |
Turtle Beach Corp * | | | 26,530 | | | | 407 | |
Universal Display Corp | | | 6,880 | | | | 1,444 | |
Viavi Solutions Inc * | | | 122,935 | | | | 1,109 | |
Yext Inc * | | | 71,880 | | | | 497 | |
Zeta Global Holdings Corp, Cl A * | | | 21,822 | | | | 651 | |
| | | | | | | | | |
| | | | | | | | 59,181 | |
Materials — 4.7% | | | | |
Alpha Metallurgical Resources Inc | | | 1,122 | | | | 265 | |
American Vanguard Corp, Cl B | | | 7,268 | | | | 39 | |
Arcadium Lithium PLC * | | | 157,170 | | | | 448 | |
Aspen Aerogels Inc * | | | 15,253 | | | | 422 | |
ATI Inc * | | | 4,633 | | | | 310 | |
Axalta Coating Systems Ltd * | | | 22,907 | | | | 829 | |
Cabot Corp | | | 17,909 | | | | 2,002 | |
Caledonia Mining Corp PLC | | | 31,132 | | | | 466 | |
Chemours Co/The | | | 57,467 | | | | 1,168 | |
Cleveland-Cliffs Inc * | | | 212,483 | | | | 2,713 | |
Commercial Metals Co, Cl A | | | 50,707 | | | | 2,787 | |
Ecovyst Inc * | | | 43,000 | | | | 295 | |
FMC Corp | | | 58,931 | | | | 3,886 | |
Greif Inc, Cl B | | | 5,233 | | | | 365 | |
Ingevity Corp * | | | 14,619 | | | | 570 | |
Innospec Inc | | | 6,141 | | | | 694 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Fund (Concluded)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Kronos Worldwide Inc | | | 70,060 | | | $ | 872 | |
Louisiana-Pacific Corp | | | 3,153 | | | | 339 | |
Minerals Technologies Inc | | | 10,332 | | | | 798 | |
O-I Glass Inc, Cl I * | | | 47,500 | | | | 623 | |
Olympic Steel Inc | | | 3,264 | | | | 127 | |
Pactiv Evergreen Inc | | | 7,944 | | | | 91 | |
Quaker Chemical Corp | | | 6,380 | | | | 1,075 | |
Ranpak Holdings Corp, Cl A * | | | 50,670 | | | | 331 | |
Rayonier Advanced Materials Inc * | | | 51,874 | | | | 444 | |
Reliance Inc | | | 5,534 | | | | 1,601 | |
Silgan Holdings Inc | | | 13,245 | | | | 695 | |
SunCoke Energy Inc | | | 43,283 | | | | 376 | |
Sylvamo Corp | | | 26,265 | | | | 2,255 | |
Universal Stainless & Alloy Products Inc * | | | 25,491 | | | | 985 | |
Warrior Met Coal Inc | | | 6,056 | | | | 387 | |
| | | | | | | | | |
| | | | | | | | 28,258 | |
Real Estate — 5.1% | | | | |
Agree Realty Corp ‡ | | | 28,463 | | | | 2,144 | |
Alexander's Inc ‡ | | | 4,303 | | | | 1,043 | |
Alpine Income Property Trust Inc ‡ | | | 9,648 | | | | 176 | |
American Healthcare REIT Inc ‡ | | | 13,900 | | | | 363 | |
Braemar Hotels & Resorts Inc ‡ | | | 60,465 | | | | 187 | |
Brixmor Property Group Inc ‡ | | | 13,800 | | | | 384 | |
CareTrust REIT Inc ‡ | | | 14,213 | | | | 439 | |
CBL & Associates Properties Inc ‡ | | | 9,920 | | | | 250 | |
COPT Defense Properties ‡ | | | 42,190 | | | | 1,280 | |
CTO Realty Growth Inc ‡ | | | 45,900 | | | | 873 | |
CubeSmart ‡ | | | 22,637 | | | | 1,219 | |
eXp World Holdings Inc | | | 64,474 | | | | 908 | |
Farmland Partners Inc ‡ | | | 69,920 | | | | 731 | |
FirstService Corp | | | 5,240 | | | | 956 | |
Forestar Group Inc * | | | 28,138 | | | | 911 | |
Gladstone Commercial Corp ‡ | | | 59,253 | | | | 962 | |
Healthpeak Properties Inc ‡ | | | 23,913 | | | | 547 | |
Highwoods Properties Inc ‡ | | | 108,030 | | | | 3,620 | |
National Storage Affiliates Trust ‡ | | | 29,134 | | | | 1,404 | |
Newmark Group Inc, Cl A | | | 216,615 | | | | 3,364 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Orion Office REIT Inc ‡ | | | 188,880 | | | $ | 755 | |
Piedmont Office Realty Trust Inc, Cl A ‡ | | | 13,669 | | | | 138 | |
Postal Realty Trust Inc, Cl A ‡ | | | 17,713 | | | | 259 | |
Real Brokerage Inc/The * | | | 27,914 | | | | 155 | |
Redfin Corp * | | | 25,760 | | | | 323 | |
RMR Group Inc/The, Cl A | | | 33,688 | | | | 855 | |
Ryman Hospitality Properties Inc ‡ | | | 13,939 | | | | 1,495 | |
Sabra Health Care REIT Inc ‡ | | | 22,846 | | | | 425 | |
Safehold Inc ‡ | | | 4,961 | | | | 130 | |
Saul Centers Inc ‡ | | | 17,917 | | | | 752 | |
STAG Industrial Inc ‡ | | | 37,464 | | | | 1,464 | |
Terreno Realty Corp ‡ | | | 18,313 | | | | 1,224 | |
Universal Health Realty Income Trust ‡ | | | 12,360 | | | | 565 | |
Vornado Realty Trust ‡ | | | 11,246 | | | | 443 | |
Whitestone REIT, Cl B ‡ | | | 10,040 | | | | 136 | |
| | | | | | | | | |
| | | | | | | | 30,880 | |
Utilities — 1.3% | | | | |
Black Hills Corp, Cl A | | | 12,405 | | | | 758 | |
Brookfield Infrastructure Corp, Cl A | | | 33,177 | | | | 1,441 | |
Chesapeake Utilities Corp | | | 10,402 | | | | 1,292 | |
IDACORP Inc, Cl A | | | 10,057 | | | | 1,037 | |
Portland General Electric Co | | | 38,998 | | | | 1,868 | |
Pure Cycle Corp * | | | 12,450 | | | | 134 | |
Spire Inc | | | 8,952 | | | | 602 | |
Talen Energy Corp * | | | 2,550 | | | | 454 | |
| | | | | | | | | |
| | | | | | | | 7,586 | |
Total Common Stock | | | | | | | | |
(Cost $460,514) ($ Thousands) | | | | | | | 596,672 | |
| | | | | | | | | |
CASH EQUIVALENT — 0.7% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 4,409,117 | | | | 4,409 | |
Total Cash Equivalent | | | | | | | | |
(Cost $4,409) ($ Thousands) | | | | | | | 4,409 | |
Total Investments in Securities — 99.9% | | | | | | | | |
(Cost $464,923) ($ Thousands) | | $ | 601,081 | |
| | | | | | | | | |
| | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Russell 2000 Index E-MINI | | | 11 | | | | Dec-2024 | | | $ | 1,213 | | | $ | 1,237 | | | $ | 24 | |
| | | | | | | | | | | | | | | | | | | | | |
| Percentages are based on Net Assets of $601,695 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Fund (Concluded)
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 596,672 | | | | – | | | | – | | | | 596,672 | |
Cash Equivalent | | | 4,409 | | | | – | | | | – | | | | 4,409 | |
Total Investments in Securities | | | 601,081 | | | | – | | | | – | | | | 601,081 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 24 | | | | – | | | | – | | | | 24 | |
Total Other Financial Instruments | | | 24 | | | | – | | | | – | | | | 24 | |
| | | | | | | | | | | | | | | | | | |
* | 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 following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 381 | | | $ | 6,659 | | | $ | (7,039 | ) | | $ | — | | | $ | (1 | ) | | $ | — | | | $ | 10 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 5,314 | | | | 196,377 | | | | (197,282 | ) | | | — | | | | — | | | | 4,409 | | | | 285 | | | | — | |
Totals | | $ | 5,695 | | | $ | 203,036 | | | $ | (204,321 | ) | | $ | – | | | $ | (1 | ) | | $ | 4,409 | | | $ | 295 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Value Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† — 98.8% |
| | | | | | | | | |
Communication Services — 2.0% | | | | |
Advantage Solutions Inc * | | | 31,702 | | | $ | 109 | |
AMC Networks Inc, Cl A * | | | 13,846 | | | | 120 | |
Bumble Inc, Cl A * | | | 24,692 | | | | 158 | |
Cinemark Holdings Inc * | | | 38,955 | | | | 1,085 | |
Entravision Communications Corp, Cl A | | | 16,827 | | | | 35 | |
Nexstar Media Group Inc, Cl A | | | 7,159 | | | | 1,184 | |
Outbrain Inc * | | | 16,293 | | | | 79 | |
Playstudios Inc * | | | 47,870 | | | | 72 | |
Playtika Holding Corp | | | 48,000 | | | | 380 | |
Scholastic Corp, Cl B | | | 10,347 | | | | 331 | |
Shutterstock Inc | | | 11,577 | | | | 409 | |
TEGNA Inc | | | 80,099 | | | | 1,264 | |
Telephone and Data Systems Inc | | | 21,559 | | | | 501 | |
Yelp Inc, Cl A * | | | 5,471 | | | | 192 | |
Ziff Davis Inc * | | | 30,843 | | | | 1,501 | |
| | | | | | | | | |
| | | | | | | | 7,420 | |
Consumer Discretionary — 13.2% | | | | |
Aaron's Co Inc/The | | | 16,885 | | | | 168 | |
Academy Sports & Outdoors Inc | | | 9,753 | | | | 569 | |
Adient PLC * | | | 36,577 | | | | 826 | |
ADT Inc | | | 63,464 | | | | 459 | |
Advance Auto Parts Inc | | | 16,919 | | | | 660 | |
American Eagle Outfitters Inc | | | 8,321 | | | | 186 | |
American Public Education Inc * | | | 6,500 | | | | 96 | |
Biglari Holdings Inc, Cl B * | | | 257 | | | | 44 | |
Bloomin' Brands Inc | | | 178,258 | | | | 2,947 | |
Brinker International Inc * | | | 18,557 | | | | 1,420 | |
Build-A-Bear Workshop Inc | | | 2,889 | | | | 99 | |
Capri Holdings Ltd * | | | 9,676 | | | | 411 | |
Carriage Services Inc, Cl A | | | 10,044 | | | | 330 | |
Carter's Inc | | | 14,752 | | | | 959 | |
Cheesecake Factory Inc/The | | | 12,906 | | | | 523 | |
Chegg Inc * | | | 49,047 | | | | 87 | |
Despegar.com * | | | 19,029 | | | | 236 | |
Dick's Sporting Goods Inc | | | 2,031 | | | | 424 | |
Dillard's Inc, Cl A | | | 168 | | | | 64 | |
Dorman Products Inc * | | | 7,468 | | | | 845 | |
Genesco Inc * | | | 4,400 | | | | 120 | |
Gentex Corp | | | 24,604 | | | | 730 | |
G-III Apparel Group Ltd * | | | 32,354 | | | | 987 | |
Goodyear Tire & Rubber Co/The * | | | 178,018 | | | | 1,575 | |
Group 1 Automotive Inc | | | 5,788 | | | | 2,217 | |
Guess? inc, Cl 3 | | | 26,295 | | | | 529 | |
H&R Block Inc | | | 20,813 | | | | 1,323 | |
Harley-Davidson Inc, Cl A | | | 16,857 | | | | 650 | |
Haverty Furniture Cos Inc | | | 22,645 | | | | 622 | |
Installed Building Products Inc | | | 3,850 | | | | 948 | |
Jack in the Box Inc | | | 6,109 | | | | 284 | |
JAKKS Pacific Inc * | | | 3,144 | | | | 80 | |
KB Home | | | 16,783 | | | | 1,438 | |
La-Z-Boy Inc, Cl Z | | | 40,294 | | | | 1,730 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Macy's Inc | | | 26,059 | | | $ | 409 | |
Meritage Homes Corp | | | 9,181 | | | | 1,883 | |
Modine Manufacturing Co * | | | 9,148 | | | | 1,215 | |
Movado Group Inc | | | 6,975 | | | | 130 | |
Murphy USA Inc | | | 3,019 | | | | 1,488 | |
ODP Corp/The * | | | 27,310 | | | | 812 | |
Oxford Industries Inc, Cl A | | | 3,532 | | | | 306 | |
Perdoceo Education Corp | | | 24,440 | | | | 544 | |
Playa Hotels & Resorts NV * | | | 45,820 | | | | 355 | |
Polaris Inc | | | 7,294 | | | | 607 | |
PVH Corp | | | 7,655 | | | | 772 | |
Sally Beauty Holdings Inc * | | | 39,279 | | | | 533 | |
Signet Jewelers Ltd | | | 18,188 | | | | 1,876 | |
Steven Madden Ltd | | | 17,128 | | | | 839 | |
Super Group SGHC Ltd | | | 61,000 | | | | 221 | |
Taylor Morrison Home Corp, Cl A * | | | 15,937 | | | | 1,120 | |
Travel + Leisure Co | | | 10,483 | | | | 483 | |
Tri Pointe Homes Inc * | | | 65,049 | | | | 2,947 | |
Upbound Group Inc | | | 17,303 | | | | 554 | |
Urban Outfitters Inc * | | | 70,890 | | | | 2,716 | |
Valvoline Inc * | | | 19,695 | | | | 824 | |
Vera Bradley Inc * | | | 9,000 | | | | 49 | |
Weyco Group Inc | | | 1,784 | | | | 61 | |
Whirlpool Corp | | | 22,142 | | | | 2,369 | |
Winnebago Industries Inc | | | 10,665 | | | | 620 | |
YETI Holdings Inc * | | | 7,408 | | | | 304 | |
| | | | | | | | | |
| | | | | | | | 48,623 | |
Consumer Staples — 3.9% | | | | |
Andersons Inc/The | | | 12,000 | | | | 602 | |
Cal-Maine Foods Inc | | | 15,028 | | | | 1,125 | |
Dole PLC | | | 31,637 | | | | 515 | |
Edgewell Personal Care Co | | | 3,400 | | | | 124 | |
Energizer Holdings Inc | | | 17,122 | | | | 544 | |
Hain Celestial Group Inc/The * | | | 24,806 | | | | 214 | |
Herbalife Ltd * | | | 41,319 | | | | 297 | |
Ingles Markets Inc, Cl A | | | 14,259 | | | | 1,064 | |
Ingredion Inc | | | 17,146 | | | | 2,356 | |
Lancaster Colony Corp | | | 2,931 | | | | 518 | |
Medifast Inc | | | 4,438 | | | | 85 | |
MGP Ingredients Inc | | | 4,835 | | | | 402 | |
Nature's Sunshine Products Inc * | | | 5,531 | | | | 75 | |
Nu Skin Enterprises Inc, Cl A | | | 21,481 | | | | 158 | |
Performance Food Group Co * | | | 13,223 | | | | 1,036 | |
Pilgrim's Pride Corp * | | | 31,704 | | | | 1,460 | |
PriceSmart Inc | | | 8,245 | | | | 757 | |
SpartanNash Co | | | 16,998 | | | | 381 | |
Spectrum Brands Holdings Inc | | | 6,833 | | | | 650 | |
Sprouts Farmers Market Inc * | | | 4,244 | | | | 469 | |
TreeHouse Foods Inc * | | | 21,163 | | | | 888 | |
USANA Health Sciences Inc * | | | 4,571 | | | | 173 | |
Village Super Market Inc, Cl A | | | 11,753 | | | | 374 | |
| | | | | | | | | |
| | | | | | | | 14,267 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Value Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Energy — 8.1% | | | | |
Berry Corp | | | 23,570 | | | $ | 121 | |
Cactus Inc, Cl A | | | 15,004 | | | | 895 | |
California Resources Corp | | | 25,345 | | | | 1,330 | |
ChampionX Corp | | | 37,624 | | | | 1,134 | |
Chord Energy Corp | | | 4,833 | | | | 629 | |
Civitas Resources Inc | | | 20,158 | | | | 1,021 | |
CNX Resources Corp * | | | 91,942 | | | | 2,995 | |
CONSOL Energy Inc | | | 9,995 | | | | 1,046 | |
CVR Energy Inc | | | 12,815 | | | | 295 | |
Delek US Holdings Inc | | | 156,436 | | | | 2,933 | |
DHT Holdings Inc | | | 42,923 | | | | 473 | |
FutureFuel Corp | | | 8,129 | | | | 47 | |
Gulfport Energy Corp * | | | 4,891 | | | | 740 | |
Helmerich & Payne Inc | | | 64,088 | | | | 1,950 | |
HF Sinclair Corp | | | 42,229 | | | | 1,882 | |
International Seaways Inc | | | 2,474 | | | | 128 | |
Liberty Energy Inc, Cl A | | | 70,226 | | | | 1,341 | |
Murphy Oil Corp | | | 27,404 | | | | 925 | |
Par Pacific Holdings Inc * | | | 22,991 | | | | 405 | |
Patterson-UTI Energy Inc | | | 33,965 | | | | 260 | |
PBF Energy Inc, Cl A | | | 64,493 | | | | 1,996 | |
Peabody Energy Corp | | | 33,902 | | | | 900 | |
Permian Resources Corp, Cl A | | | 83,783 | | | | 1,140 | |
ProPetro Holding Corp * | | | 15,260 | | | | 117 | |
Ranger Energy Services Inc, Cl A | | | 5,347 | | | | 64 | |
REX American Resources Corp * | | | 4,082 | | | | 189 | |
RPC Inc | | | 37,502 | | | | 238 | |
SandRidge Energy Inc | | | 12,826 | | | | 157 | |
Scorpio Tankers Inc | | | 13,604 | | | | 970 | |
SM Energy Co | | | 11,443 | | | | 457 | |
Teekay Corp * | | | 27,556 | | | | 253 | |
VAALCO Energy Inc | | | 43,000 | | | | 247 | |
Veren Inc | | | 185,473 | | | | 1,141 | |
World Kinect Corp | | | 46,654 | | | | 1,442 | |
| | | | | | | | | |
| | | | | | | | 29,861 | |
Financials — 28.2% | | | | |
AFC Gamma Inc ‡ | | | 6,041 | | | | 62 | |
Amalgamated Financial Corp | | | 7,854 | | | | 246 | |
Apollo Commercial Real Estate Finance Inc ‡ | | | 20,183 | | | | 185 | |
Arbor Realty Trust Inc ‡ | | | 49,972 | | | | 778 | |
Associated Banc-Corp | | | 52,671 | | | | 1,135 | |
Axis Capital Holdings Ltd | | | 11,389 | | | | 907 | |
Axos Financial Inc * | | | 15,326 | | | | 964 | |
Banco Latinoamericano de Comercio Exterior SA, Cl E | | | 39,446 | | | | 1,282 | |
Bank of NT Butterfield & Son Ltd/The | | | 37,593 | | | | 1,386 | |
Bank OZK | | | 18,682 | | | | 803 | |
BankUnited Inc | | | 38,307 | | | | 1,396 | |
Bankwell Financial Group Inc | | | 2,799 | | | | 84 | |
Banner Corp | | | 9,299 | | | | 554 | |
BayCom Corp | | | 4,440 | | | | 105 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
BCB Bancorp Inc | | | 4,520 | | | $ | 56 | |
Berkshire Hills Bancorp Inc | | | 25,494 | | | | 687 | |
Bread Financial Holdings Inc | | | 20,426 | | | | 972 | |
Camden National Corp | | | 15,398 | | | | 636 | |
Capital Bancorp Inc | | | 2,753 | | | | 71 | |
Carlyle Secured Lending Inc | | | 27,478 | | | | 466 | |
Carter Bankshares Inc * | | | 9,500 | | | | 165 | |
Cathay General Bancorp | | | 27,435 | | | | 1,178 | |
Central Pacific Financial Corp | | | 31,755 | | | | 937 | |
Chimera Investment Corp ‡ | | | 33,086 | | | | 524 | |
ChoiceOne Financial Services | | | 2,800 | | | | 87 | |
City Holding Co | | | 5,043 | | | | 592 | |
Civista Bancshares Inc | | | 6,714 | | | | 120 | |
CNB Financial Corp/PA | | | 5,063 | | | | 122 | |
CNO Financial Group Inc | | | 185,105 | | | | 6,497 | |
Columbia Banking System Inc | | | 174,099 | | | | 4,546 | |
Comerica Inc | | | 41,727 | | | | 2,500 | |
Community Trust Bancorp Inc | | | 10,574 | | | | 525 | |
Crawford & Co, Cl A | | | 5,301 | | | | 58 | |
CrossFirst Bankshares Inc * | | | 15,268 | | | | 255 | |
Customers Bancorp Inc * | | | 7,424 | | | | 345 | |
Diamond Hill Investment Group Inc | | | 780 | | | | 126 | |
Employers Holdings Inc | | | 16,658 | | | | 799 | |
Enova International Inc * | | | 6,230 | | | | 522 | |
Fidelis Insurance Holdings Ltd | | | 26,269 | | | | 474 | |
Financial Institutions Inc | | | 4,854 | | | | 124 | |
First American Financial Corp | | | 11,778 | | | | 777 | |
First BanCorp/Puerto Rico | | | 86,946 | | | | 1,841 | |
First Bank/Hamilton NJ | | | 7,370 | | | | 112 | |
First Busey Corp | | | 35,112 | | | | 914 | |
First Business Financial Services Inc | | | 3,336 | | | | 152 | |
First Commonwealth Financial Corp | | | 135,986 | | | | 2,332 | |
First Financial Corp/IN | | | 11,262 | | | | 494 | |
First Horizon Corp | | | 137,240 | | | | 2,131 | |
First Interstate BancSystem Inc, Cl A | | | 34,426 | | | | 1,056 | |
Flushing Financial Corp | | | 20,926 | | | | 305 | |
FNB Corp/PA | | | 213,282 | | | | 3,009 | |
FS KKR Capital Corp | | | 33,040 | | | | 652 | |
Fulton Financial Corp | | | 82,905 | | | | 1,503 | |
Genworth Financial Inc, Cl A * | | | 308,456 | | | | 2,113 | |
Golub Capital BDC Inc | | | 36,235 | | | | 548 | |
Great Southern Bancorp Inc | | | 4,977 | | | | 285 | |
Greenlight Capital Re Ltd, Cl A * | | | 532 | | | | 7 | |
Hamilton Insurance Group, Cl B * | | | 5,000 | | | | 97 | |
Hancock Whitney Corp, Cl A | | | 22,383 | | | | 1,145 | |
Hanmi Financial Corp | | | 33,468 | | | | 623 | |
Hanover Insurance Group Inc/The, Cl A | | | 8,274 | | | | 1,225 | |
Hope Bancorp Inc | | | 63,947 | | | | 803 | |
Independent Bank Corp | | | 9,962 | | | | 589 | |
Independent Bank Corp/MI | | | 7,901 | | | | 264 | |
Invesco Mortgage Capital Inc ‡ | | | 14,900 | | | | 140 | |
Jackson Financial Inc, Cl A | | | 68,564 | | | | 6,255 | |
James River Group Holdings Ltd | | | 16,619 | | | | 104 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Value Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Ladder Capital Corp, Cl A ‡ | | | 45,193 | | | $ | 524 | |
Lincoln National Corp | | | 82,050 | | | | 2,585 | |
MGIC Investment Corp | | | 93,074 | | | | 2,383 | |
Midland States Bancorp Inc | | | 8,359 | | | | 187 | |
Mr Cooper Group Inc * | | | 9,279 | | | | 855 | |
National Bank Holdings Corp, Cl A | | | 13,210 | | | | 556 | |
Navient Corp | | | 44,183 | | | | 689 | |
NCR Atleos Corp * | | | 12,988 | | | | 371 | |
New Mountain Finance Corp | | | 27,794 | | | | 333 | |
NMI Holdings Inc, Cl A * | | | 17,417 | | | | 717 | |
Northeast Community Bancorp | | | 4,400 | | | | 116 | |
Northrim BanCorp Inc | | | 1,300 | | | | 93 | |
OceanFirst Financial Corp | | | 21,938 | | | | 408 | |
OFG Bancorp | | | 68,531 | | | | 3,078 | |
Old National Bancorp/IN, Cl A | | | 227,880 | | | | 4,252 | |
Orrstown Financial Services Inc | | | 3,530 | | | | 127 | |
Pagseguro Digital Ltd, Cl A * | | | 79,836 | | | | 687 | |
Pathward Financial Inc | | | 9,971 | | | | 658 | |
PCB Bancorp | | | 5,397 | | | | 101 | |
PennantPark Investment Corp | | | 44,828 | | | | 313 | |
PennyMac Financial Services Inc | | | 5,559 | | | | 634 | |
Peoples Bancorp Inc/OH | | | 11,912 | | | | 358 | |
Pinnacle Financial Partners Inc | | | 12,877 | | | | 1,262 | |
Popular Inc | | | 13,364 | | | | 1,340 | |
PROG Holdings Inc | | | 18,407 | | | | 893 | |
Radian Group Inc | | | 30,397 | | | | 1,054 | |
RBB Bancorp | | | 4,906 | | | | 113 | |
Rithm Capital Corp ‡ | | | 82,722 | | | | 939 | |
Sierra Bancorp | | | 4,509 | | | | 130 | |
Silvercrest Asset Management Group Inc, Cl A | | | 5,443 | | | | 94 | |
Simmons First National Corp, Cl A | | | 21,486 | | | | 463 | |
SiriusPoint Ltd * | | | 12,973 | | | | 186 | |
Sixth Street Specialty Lending Inc | | | 26,115 | | | | 536 | |
South Plains Financial Inc | | | 3,417 | | | | 116 | |
Synovus Financial Corp | | | 22,998 | | | | 1,023 | |
TPG RE Finance Trust Inc ‡ | | | 10,223 | | | | 87 | |
Trustmark Corp | | | 19,548 | | | | 622 | |
Universal Insurance Holdings Inc | | | 11,024 | | | | 244 | |
Univest Financial Corp | | | 21,934 | | | | 617 | |
Valley National Bancorp | | | 158,483 | | | | 1,436 | |
Veritex Holdings Inc | | | 24,798 | | | | 653 | |
Victory Capital Holdings Inc, Cl A | | | 15,220 | | | | 843 | |
Voya Financial Inc | | | 12,800 | | | | 1,014 | |
WaFd Inc | | | 37,480 | | | | 1,306 | |
Westamerica BanCorp | | | 9,490 | | | | 469 | |
Western Union Co/The | | | 48,000 | | | | 573 | |
Wintrust Financial Corp | | | 14,773 | | | | 1,603 | |
Zions Bancorp NA | | | 71,637 | | | | 3,383 | |
| | | | | | | | | |
| | | | | | | | 103,771 | |
Health Care — 7.1% | | | | |
Alkermes PLC * | | | 82,783 | | | | 2,317 | |
AMN Healthcare Services Inc * | | | 9,275 | | | | 393 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Avanos Medical Inc * | | | 10,285 | | | $ | 247 | |
Collegium Pharmaceutical Inc * | | | 48,421 | | | | 1,871 | |
Cross Country Healthcare Inc * | | | 31,936 | | | | 429 | |
Encompass Health Corp | | | 17,254 | | | | 1,667 | |
Envista Holdings Corp * | | | 20,332 | | | | 402 | |
Exelixis Inc * | | | 51,000 | | | | 1,324 | |
Globus Medical Inc, Cl A * | | | 12,855 | | | | 920 | |
Halozyme Therapeutics Inc * | | | 25,818 | | | | 1,478 | |
Harmony Biosciences Holdings Inc * | | | 27,636 | | | | 1,106 | |
Inmode Ltd * | | | 80,061 | | | | 1,357 | |
Innoviva Inc * | | | 24,046 | | | | 464 | |
Integra LifeSciences Holdings Corp * | | | 64,453 | | | | 1,171 | |
Ironwood Pharmaceuticals Inc, Cl A * | | | 87,438 | | | | 360 | |
Jazz Pharmaceuticals PLC * | | | 8,000 | | | | 891 | |
Lantheus Holdings Inc * | | | 8,504 | | | | 933 | |
Option Care Health Inc * | | | 23,200 | | | | 726 | |
OraSure Technologies Inc * | | | 31,902 | | | | 136 | |
Organon & Co | | | 76,606 | | | | 1,466 | |
Owens & Minor Inc * | | | 31,178 | | | | 489 | |
Pacira BioSciences Inc * | | | 7,597 | | | | 114 | |
Patterson Cos Inc | | | 34,391 | | | | 751 | |
Pediatrix Medical Group Inc * | | | 31,915 | | | | 370 | |
Premier Inc, Cl A | | | 33,245 | | | | 665 | |
Prestige Consumer Healthcare Inc, Cl A * | | | 35,627 | | | | 2,569 | |
QuidelOrtho Corp * | | | 12,958 | | | | 591 | |
Select Medical Holdings Corp | | | 16,418 | | | | 573 | |
SIGA Technologies Inc | | | 62 | | | | — | |
Tactile Systems Technology Inc * | | | 9,500 | | | | 139 | |
Vanda Pharmaceuticals Inc * | | | 17,148 | | | | 80 | |
Varex Imaging Corp * | | | 14,589 | | | | 174 | |
| | | | | | | | | |
| | | | | | | | 26,173 | |
Industrials — 15.2% | | | | |
ABM Industries Inc | | | 40,922 | | | | 2,159 | |
ACCO Brands Corp | | | 190,904 | | | | 1,044 | |
Alaska Air Group Inc * | | | 11,939 | | | | 540 | |
Allison Transmission Holdings Inc | | | 17,820 | | | | 1,712 | |
American Woodmark Corp * | | | 6,300 | | | | 589 | |
Apogee Enterprises Inc | | | 15,137 | | | | 1,060 | |
ArcBest Corp | | | 9,383 | | | | 1,018 | |
Argan Inc | | | 1,080 | | | | 110 | |
Astec Industries Inc | | | 27,407 | | | | 875 | |
Atkore Inc | | | 10,476 | | | | 888 | |
AZEK Co Inc/The, Cl A * | | | 9,454 | | | | 442 | |
Barnes Group Inc | | | 27,786 | | | | 1,123 | |
BlueLinx Holdings Inc * | | | 3,291 | | | | 347 | |
Boise Cascade Co | | | 11,346 | | | | 1,600 | |
BrightView Holdings Inc * | | | 17,919 | | | | 282 | |
BWX Technologies Inc | | | 6,706 | | | | 729 | |
CACI International Inc, Cl A * | | | 2,710 | | | | 1,367 | |
Clean Harbors Inc * | | | 6,184 | | | | 1,495 | |
Commercial Vehicle Group Inc * | | | 19,327 | | | | 63 | |
Conduent Inc * | | | 63,000 | | | | 254 | |
CoreCivic Inc *‡ | | | 8,107 | | | | 103 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Value Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Costamare Inc | | | 20,025 | | | $ | 315 | |
CSG Systems International Inc | | | 11,758 | | | | 572 | |
Deluxe Corp | | | 28,534 | | | | 556 | |
EMCOR Group Inc | | | 921 | | | | 397 | |
Enerpac Tool Group Corp, Cl A | | | 17,113 | | | | 717 | |
Ennis Inc | | | 16,161 | | | | 393 | |
Enpro Inc | | | 7,305 | | | | 1,185 | |
Enviri Corp * | | | 50,414 | | | | 521 | |
ExlService Holdings Inc * | | | 19,325 | | | | 737 | |
Fluor Corp * | | | 10,404 | | | | 496 | |
Gates Industrial Corp PLC * | | | 123,274 | | | | 2,163 | |
Griffon Corp | | | 11,577 | | | | 810 | |
Heidrick & Struggles International Inc | | | 7,527 | | | | 293 | |
Hexcel Corp, Cl A | | | 10,686 | | | | 661 | |
Huron Consulting Group Inc * | | | 11,980 | | | | 1,302 | |
Hyster-Yale Inc | | | 4,696 | | | | 300 | |
Interface Inc, Cl A | | | 37,252 | | | | 707 | |
ITT Inc | | | 10,503 | | | | 1,570 | |
Kelly Services Inc, Cl A | | | 28,888 | | | | 619 | |
Kennametal Inc | | | 12,177 | | | | 316 | |
Korn Ferry | | | 13,177 | | | | 991 | |
ManpowerGroup Inc | | | 5,196 | | | | 382 | |
Masterbrand Inc * | | | 17,425 | | | | 323 | |
MillerKnoll Inc | | | 2,992 | | | | 74 | |
Moog Inc, Cl A | | | 2,317 | | | | 468 | |
MRC Global Inc * | | | 24,540 | | | | 313 | |
Mueller Industries Inc | | | 39,070 | | | | 2,895 | |
Oshkosh Corp | | | 12,487 | | | | 1,251 | |
Pangaea Logistics Solutions Ltd | | | 13,000 | | | | 94 | |
Park-Ohio Holdings Corp | | | 7,641 | | | | 235 | |
Primoris Services Corp | | | 12,901 | | | | 749 | |
Radiant Logistics Inc * | | | 8,313 | | | | 53 | |
Regal Rexnord Corp | | | 5,136 | | | | 852 | |
Resideo Technologies Inc * | | | 58,889 | | | | 1,186 | |
Resources Connection Inc | | | 14,890 | | | | 144 | |
Rush Enterprises Inc, Cl A | | | 10,885 | | | | 575 | |
Ryder System Inc | | | 15,023 | | | | 2,190 | |
Safe Bulkers Inc | | | 28,781 | | | | 149 | |
Sensata Technologies Holding PLC | | | 20,450 | | | | 733 | |
SkyWest Inc * | | | 12,390 | | | | 1,053 | |
Standex International Corp | | | 7,294 | | | | 1,333 | |
Steelcase Inc, Cl A | | | 39,342 | | | | 531 | |
Terex Corp | | | 29,364 | | | | 1,554 | |
Timken Co/The | | | 11,139 | | | | 939 | |
Titan International Inc * | | | 20,295 | | | | 165 | |
Tutor Perini Corp * | | | 14,384 | | | | 391 | |
Universal Logistics Holdings Inc | | | 3,140 | | | | 135 | |
Valmont Industries Inc | | | 3,349 | | | | 971 | |
Wabash National Corp | | | 49,666 | | | | 953 | |
WESCO International Inc | | | 10,688 | | | | 1,795 | |
| | | | | | | | | |
| | | | | | | | 55,907 | |
Information Technology — 6.7% | | | | |
Amkor Technology Inc | | | 46,898 | | | | 1,435 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Avnet Inc | | | 21,894 | | | $ | 1,189 | |
Belden Inc | | | 4,182 | | | | 490 | |
Cirrus Logic Inc * | | | 9,582 | | | | 1,190 | |
Clearfield Inc * | | | 7,986 | | | | 311 | |
Diodes Inc * | | | 8,641 | | | | 554 | |
Harmonic Inc, Cl A * | | | 106,167 | | | | 1,547 | |
Lumentum Holdings Inc * | | | 20,261 | | | | 1,284 | |
NetScout Systems Inc * | | | 7,694 | | | | 168 | |
Open Text Corp | | | 38,100 | | | | 1,268 | |
Photronics Inc * | | | 146,532 | | | | 3,628 | |
Rimini Street Inc * | | | 11,454 | | | | 21 | |
Rogers Corp * | | | 6,214 | | | | 702 | |
Sanmina Corp * | | | 45,150 | | | | 3,091 | |
ScanSource Inc * | | | 20,598 | | | | 989 | |
Silicon Laboratories Inc * | | | 4,994 | | | | 577 | |
Silicon Motion Technology Corp ADR | | | 31,533 | | | | 1,915 | |
TD SYNNEX Corp | | | 6,744 | | | | 810 | |
TTM Technologies Inc * | | | 53,625 | | | | 979 | |
Unisys Corp * | | | 28,178 | | | | 160 | |
Viavi Solutions Inc * | | | 89,386 | | | | 806 | |
Vishay Intertechnology Inc | | | 13,192 | | | | 250 | |
Vontier Corp | | | 18,208 | | | | 614 | |
Xerox Holdings Corp | | | 49,283 | | | | 512 | |
| | | | | | | | | |
| | | | | | | | 24,490 | |
Materials — 6.1% | | | | |
AdvanSix Inc | | | 18,902 | | | | 574 | |
Alpha Metallurgical Resources Inc | | | 3,338 | | | | 788 | |
Arcadium Lithium PLC * | | | 117,224 | | | | 334 | |
Axalta Coating Systems Ltd * | | | 17,325 | | | | 627 | |
Berry Global Group Inc | | | 13,313 | | | | 905 | |
Cabot Corp | | | 9,130 | | | | 1,020 | |
Chemours Co/The | | | 53,549 | | | | 1,088 | |
Cleveland-Cliffs Inc * | | | 142,371 | | | | 1,818 | |
Commercial Metals Co, Cl A | | | 61,656 | | | | 3,389 | |
Ecovyst Inc * | | | 30,000 | | | | 206 | |
FMC Corp | | | 39,599 | | | | 2,611 | |
Greif Inc, Cl A | | | 19,521 | | | | 1,223 | |
Ingevity Corp * | | | 18,227 | | | | 711 | |
Innospec Inc | | | 4,620 | | | | 523 | |
Koppers Holdings Inc | | | 17,951 | | | | 656 | |
LSB Industries Inc * | | | 23,649 | | | | 190 | |
Metallus Inc * | | | 13,000 | | | | 193 | |
Minerals Technologies Inc | | | 1,133 | | | | 88 | |
O-I Glass Inc, Cl I * | | | 80,245 | | | | 1,053 | |
Rayonier Advanced Materials Inc * | | | 27,135 | | | | 232 | |
Ryerson Holding Corp | | | 17,240 | | | | 343 | |
Silgan Holdings Inc | | | 20,394 | | | | 1,071 | |
SSR Mining Inc | | | 16,036 | | | | 91 | |
SunCoke Energy Inc | | | 74,883 | | | | 650 | |
Sylvamo Corp | | | 7,378 | | | | 633 | |
Valhi Inc | | | 1,055 | | | | 35 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Value Fund (Concluded)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Warrior Met Coal Inc | | | 18,112 | | | $ | 1,157 | |
| | | | | | | | | |
| | | | | | | | 22,209 | |
Real Estate — 6.5% | | | | |
Agree Realty Corp ‡ | | | 17,843 | | | | 1,344 | |
American Assets Trust Inc ‡ | | | 35,004 | | | | 935 | |
Apple Hospitality REIT Inc ‡ | | | 36,183 | | | | 537 | |
Brandywine Realty Trust ‡ | | | 41,989 | | | | 228 | |
Brixmor Property Group Inc ‡ | | | 22,151 | | | | 617 | |
Chatham Lodging Trust ‡ | | | 23,302 | | | | 199 | |
COPT Defense Properties ‡ | | | 31,270 | | | | 948 | |
Cousins Properties Inc ‡ | | | 30,000 | | | | 884 | |
Cushman & Wakefield PLC * | | | 14,667 | | | | 200 | |
DiamondRock Hospitality Co ‡ | | | 82,866 | | | | 723 | |
Diversified Healthcare Trust ‡ | | | 62,259 | | | | 261 | |
EPR Properties, Cl A ‡ | | | 18,410 | | | | 903 | |
Forestar Group Inc * | | | 7,100 | | | | 230 | |
Healthpeak Properties Inc ‡ | | | 18,714 | | | | 428 | |
Highwoods Properties Inc ‡ | | | 99,115 | | | | 3,321 | |
Kilroy Realty Corp ‡ | | | 21,628 | | | | 837 | |
Kite Realty Group Trust ‡ | | | 28,357 | | | | 753 | |
National Storage Affiliates Trust ‡ | | | 21,489 | | | | 1,036 | |
Newmark Group Inc, Cl A | | | 101,341 | | | | 1,574 | |
Orion Office REIT Inc ‡ | | | 26,669 | | | | 107 | |
Paramount Group Inc ‡ | | | 15,000 | | | | 74 | |
Park Hotels & Resorts Inc ‡ | | | 45,000 | | | | 635 | |
Pebblebrook Hotel Trust ‡ | | | 47,282 | | | | 626 | |
Piedmont Office Realty Trust Inc, Cl A ‡ | | | 32,149 | | | | 325 | |
RLJ Lodging Trust ‡ | | | 121,948 | | | | 1,119 | |
Sabra Health Care REIT Inc ‡ | | | 65,926 | | | | 1,227 | |
Service Properties Trust ‡ | | | 36,912 | | | | 168 | |
SITE Centers ‡ | | | 8,700 | | | | 526 | |
STAG Industrial Inc ‡ | | | 28,520 | | | | 1,115 | |
Summit Hotel Properties Inc ‡ | | | 4,100 | | | | 28 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Sunstone Hotel Investors Inc ‡ | | | 82,103 | | | $ | 847 | |
Uniti Group Inc ‡ | | | 98,864 | | | | 558 | |
Xenia Hotels & Resorts Inc ‡ | | | 43,163 | | | | 638 | |
| | | | | | | | | |
| | | | | | | | 23,951 | |
Utilities — 1.8% | | | | |
Black Hills Corp, Cl A | | | 9,683 | | | | 592 | |
Genie Energy Ltd, Cl B | | | 7,319 | | | | 119 | |
Hawaiian Electric Industries Inc | | | 45,500 | | | | 440 | |
IDACORP Inc, Cl A | | | 7,389 | | | | 762 | |
National Fuel Gas Co | | | 19,951 | | | | 1,209 | |
Northwest Natural Holding Co | | | 4,103 | | | | 168 | |
Portland General Electric Co | | | 29,486 | | | | 1,412 | |
Southwest Gas Holdings Inc | | | 3,200 | | | | 236 | |
Spire Inc | | | 7,114 | | | | 479 | |
UGI Corp | | | 47,039 | | | | 1,177 | |
| | | | | | | | | |
| | | | | | | | 6,594 | |
Total Common Stock | | | | | | | | |
(Cost $279,943) ($ Thousands) | | | | | | | 363,266 | |
| | | | | | | | | |
CASH EQUIVALENT — 1.1% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 3,907,920 | | | | 3,908 | |
Total Cash Equivalent | | | | | | | | |
(Cost $3,908) ($ Thousands) | | | | | | | 3,908 | |
Total Investments in Securities — 99.9% | | | | | | | | |
(Cost $283,851) ($ Thousands) | | $ | 367,174 | |
| | | | | | | | | |
| | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Russell 2000 Index E-MINI | | | 21 | | | | Dec-2024 | | | $ | 2,317 | | | $ | 2,362 | | | $ | 45 | |
| | | | | | | | | | | | | | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Value Fund (Concluded)
| Percentages are based on Net Assets of $367,694 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 363,266 | | | | – | | | | – | | | | 363,266 | |
Cash Equivalent | | | 3,908 | | | | – | | | | – | | | | 3,908 | |
Total Investments in Securities | | | 367,174 | | | | – | | | | – | | | | 367,174 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 45 | | | | – | | | | – | | | | 45 | |
Total Other Financial Instruments | | | 45 | | | | – | | | | – | | | | 45 | |
| | | | | | | | | | | | | | | | | | |
* | 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 following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 1,689 | | | $ | 6,725 | | | $ | (8,413 | ) | | $ | 2 | | | $ | (3 | ) | | $ | — | | | $ | 61 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 3,706 | | | | 71,069 | | | | (70,867 | ) | | | — | | | | — | | | | 3,908 | | | | 181 | | | | — | |
Totals | | $ | 5,395 | | | $ | 77,794 | | | $ | (79,280 | ) | | $ | 2 | | | $ | (3 | ) | | $ | 3,908 | | | $ | 242 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Growth Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK — 98.9% |
| | | | | | | | | |
Communication Services — 1.4% | | | | |
AST SpaceMobile Inc, Cl A * | | | 28,613 | | | $ | 748 | |
Cinemark Holdings Inc * | | | 50,896 | | | | 1,417 | |
Gannett Co Inc * | | | 31,546 | | | | 177 | |
Grindr Inc * | | | 53,255 | | | | 636 | |
IMAX Corp * | | | 28,926 | | | | 593 | |
Madison Square Garden Entertainment, Cl A * | | | 18,809 | | | | 800 | |
MediaAlpha Inc, Cl A * | | | 37,000 | | | | 670 | |
| | | | | | | | | |
| | | | | | | | 5,041 | |
Consumer Discretionary — 13.9% | | | | |
Abercrombie & Fitch Co, Cl A * | | | 21,416 | | | | 2,996 | |
Adtalem Global Education Inc * | | | 34,354 | | | | 2,593 | |
American Eagle Outfitters Inc | | | 26,370 | | | | 590 | |
Aramark | | | 14,322 | | | | 555 | |
Boot Barn Holdings Inc * | | | 5,258 | | | | 880 | |
Brinker International Inc * | | | 11,024 | | | | 844 | |
Cava Group Inc * | | | 8,059 | | | | 998 | |
Century Communities Inc | | | 17,137 | | | | 1,765 | |
Dorman Products Inc * | | | 6,657 | | | | 753 | |
Etsy Inc * | | | 21,242 | | | | 1,180 | |
Floor & Decor Holdings Inc, Cl A * | | | 7,504 | | | | 932 | |
Fox Factory Holding Corp * | | | 19,762 | | | | 820 | |
Frontdoor Inc * | | | 17,632 | | | | 846 | |
Funko Inc, Cl A * | | | 41,208 | | | | 504 | |
G-III Apparel Group Ltd * | | | 29,312 | | | | 895 | |
Green Brick Partners Inc * | | | 10,443 | | | | 872 | |
H&R Block Inc | | | 11,900 | | | | 756 | |
KB Home | | | 40,622 | | | | 3,481 | |
Kontoor Brands Inc | | | 18,787 | | | | 1,536 | |
Latham Group Inc * | | | 18,064 | | | | 123 | |
Life Time Group Holdings Inc * | | | 29,474 | | | | 720 | |
M/I Homes Inc * | | | 9,513 | | | | 1,630 | |
Meritage Homes Corp | | | 3,277 | | | | 672 | |
Modine Manufacturing Co * | | | 31,529 | | | | 4,187 | |
Newell Brands Inc, Cl B | | | 66,865 | | | | 513 | |
Pool Corp | | | 2,648 | | | | 998 | |
Revolve Group Inc, Cl A * | | | 76,693 | | | | 1,900 | |
Rocky Brands Inc | | | 8,564 | | | | 273 | |
Rush Street Interactive Inc * | | | 120,522 | | | | 1,308 | |
SharkNinja Inc | | | 9,215 | | | | 1,002 | |
Signet Jewelers Ltd | | | 7,631 | | | | 787 | |
Stride Inc * | | | 34,413 | | | | 2,936 | |
Sweetgreen Inc, Cl A * | | | 22,431 | | | | 795 | |
Taylor Morrison Home Corp, Cl A * | | | 9,465 | | | | 665 | |
TopBuild Corp * | | | 2,178 | | | | 886 | |
TRI Pointe Homes Inc * | | | 45,293 | | | | 2,052 | |
Upbound Group Inc | | | 19,050 | | | | 609 | |
Urban Outfitters Inc * | | | 34,400 | | | | 1,318 | |
Warby Parker, Cl A * | | | 82,317 | | | | 1,344 | |
Wingstop Inc, Cl A | | | 1,419 | | | | 590 | |
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK (continued) |
YETI Holdings Inc * | | | 32,932 | | | $ | 1,351 | |
| | | | | | | | | |
| | | | | | | | 50,455 | |
Consumer Staples — 4.1% | | | | |
BellRing Brands Inc * | | | 41,969 | | | | 2,548 | |
Dole PLC | | | 15,961 | | | | 260 | |
Edgewell Personal Care Co | | | 20,870 | | | | 758 | |
elf Beauty Inc * | | | 16,003 | | | | 1,745 | |
Natural Grocers by Vitamin Cottage Inc | | | 11,402 | | | | 339 | |
Pilgrim's Pride Corp * | | | 18,450 | | | | 850 | |
Primo Water Corp | | | 57,350 | | | | 1,448 | |
Sprouts Farmers Market Inc * | | | 50,846 | | | | 5,614 | |
Turning Point Brands Inc | | | 2,353 | | | | 102 | |
Vital Farms Inc * | | | 40,587 | | | | 1,423 | |
| | | | | | | | | |
| | | | | | | | 15,087 | |
Energy — 3.1% | | | | |
Archrock Inc | | | 15,284 | | | | 309 | |
Ardmore Shipping Corp | | | 37,424 | | | | 677 | |
Delek US Holdings Inc | | | 19,867 | | | | 372 | |
DT Midstream Inc | | | 11,706 | | | | 921 | |
Golar LNG Ltd | | | 17,652 | | | | 649 | |
Helmerich & Payne Inc | | | 23,495 | | | | 715 | |
International Seaways Inc | | | 13,648 | | | | 704 | |
Matador Resources Co | | | 9,086 | | | | 449 | |
Northern Oil & Gas Inc | | | 14,700 | | | | 520 | |
Oceaneering International Inc, Cl A * | | | 13,738 | | | | 342 | |
Scorpio Tankers Inc | | | 10,951 | | | | 781 | |
SM Energy Co | | | 18,604 | | | | 744 | |
Texas Pacific Land Corp | | | 880 | | | | 779 | |
Tidewater Inc * | | | 7,595 | | | | 545 | |
Viper Energy Inc, Cl A | | | 15,878 | | | | 716 | |
Weatherford International PLC | | | 24,146 | | | | 2,050 | |
| | | | | | | | | |
| | | | | | | | 11,273 | |
Financials — 14.9% | | | | |
1st Source Corp | | | 9,302 | | | | 557 | |
Amalgamated Financial Corp | | | 3,047 | | | | 96 | |
Baldwin Insurance Group Inc/The, Cl A * | | | 10,560 | | | | 526 | |
Bancorp Inc/The * | | | 15,795 | | | | 845 | |
BankUnited Inc | | | 58,058 | | | | 2,116 | |
BGC Group Inc, Cl A | | | 71,684 | | | | 658 | |
Camden National Corp | | | 6,311 | | | | 261 | |
CNO Financial Group Inc | | | 11,100 | | | | 390 | |
Cohen & Steers Inc | | | 4,729 | | | | 454 | |
ConnectOne Bancorp Inc | | | 11,713 | | | | 293 | |
Donnelley Financial Solutions Inc * | | | 9,668 | | | | 636 | |
Enact Holdings Inc | | | 9,835 | | | | 357 | |
Enova International Inc * | | | 18,617 | | | | 1,560 | |
Enterprise Financial Services Corp | | | 4,429 | | | | 227 | |
Euronet Worldwide Inc * | | | 6,499 | | | | 645 | |
Evercore Inc, Cl A | | | 2,196 | | | | 556 | |
First BanCorp/Puerto Rico | | | 16,674 | | | | 353 | |
First Financial Bancorp | | | 20,422 | | | | 515 | |
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September 30, 2024
Small Cap Growth Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK (continued) |
Fulton Financial Corp | | | 79,919 | | | $ | 1,449 | |
Goosehead Insurance Inc, Cl A * | | | 21,005 | | | | 1,876 | |
Hamilton Lane Inc, Cl A | | | 36,662 | | | | 6,173 | |
Hancock Whitney Corp, Cl A | | | 4,092 | | | | 209 | |
HCI Group Inc | | | 3,490 | | | | 374 | |
Houlihan Lokey Inc, Cl A | | | 9,875 | | | | 1,560 | |
Independent Bank Corp | | | 5,838 | | | | 345 | |
Jefferies Financial Group Inc | | | 10,084 | | | | 621 | |
Kinsale Capital Group Inc | | | 1,798 | | | | 837 | |
Lemonade Inc * | | | 9,883 | | | | 163 | |
MarketAxess Holdings Inc | | | 3,430 | | | | 879 | |
Moelis & Co, Cl A | | | 9,388 | | | | 643 | |
Morningstar Inc, Cl A | | | 4,687 | | | | 1,496 | |
Mr Cooper Group Inc * | | | 38,422 | | | | 3,542 | |
NBT Bancorp Inc | | | 16,036 | | | | 709 | |
NMI Holdings Inc, Cl A * | | | 28,436 | | | | 1,171 | |
OFG Bancorp | | | 21,670 | | | | 973 | |
Old Republic International Corp | | | 13,878 | | | | 492 | |
Orrstown Financial Services Inc | | | 9,681 | | | | 348 | |
Palomar Holdings Inc, Cl A * | | | 6,152 | | | | 582 | |
Park National Corp | | | 8,193 | | | | 1,376 | |
Pathward Financial Inc | | | 13,160 | | | | 869 | |
Paysafe Ltd * | | | 5,706 | | | | 128 | |
PennyMac Financial Services Inc | | | 5,345 | | | | 609 | |
Piper Sandler Cos | | | 7,367 | | | | 2,091 | |
PJT Partners Inc, Cl A | | | 2,585 | | | | 345 | |
PROG Holdings Inc | | | 33,756 | | | | 1,637 | |
QCR Holdings Inc | | | 8,195 | | | | 607 | |
S&T Bancorp Inc | | | 30,169 | | | | 1,266 | |
Sezzle Inc * | | | 3,490 | | | | 595 | |
Skyward Specialty Insurance Group Inc * | | | 6,492 | | | | 264 | |
StepStone Group Inc, Cl A | | | 29,521 | | | | 1,678 | |
Trustmark Corp | | | 8,134 | | | | 259 | |
UMB Financial Corp | | | 29,204 | | | | 3,070 | |
Unity Bancorp Inc | | | 135 | | | | 5 | |
Victory Capital Holdings Inc, Cl A | | | 21,964 | | | | 1,217 | |
Virtu Financial Inc, Cl A | | | 13,490 | | | | 411 | |
WaFd Inc | | | 40,531 | | | | 1,412 | |
WisdomTree Inc | | | 82,979 | | | | 829 | |
WSFS Financial Corp | | | 5,728 | | | | 292 | |
| | | | | | | | | |
| | | | | | | | 54,447 | |
Health Care — 20.9% | | | | |
Addus HomeCare Corp * | | | 8,811 | | | | 1,172 | |
ADMA Biologics Inc * | | | 93,987 | | | | 1,879 | |
Agios Pharmaceuticals Inc * | | | 17,242 | | | | 766 | |
Align Technology Inc * | | | 3,898 | | | | 991 | |
Amneal Pharmaceuticals Inc * | | | 85,379 | | | | 710 | |
Amphastar Pharmaceuticals Inc * | | | 15,559 | | | | 755 | |
ANI Pharmaceuticals Inc * | | | 10,258 | | | | 612 | |
Ardelyx Inc * | | | 135,225 | | | | 932 | |
ARS Pharmaceuticals Inc * | | | 63,578 | | | | 922 | |
Arvinas Inc * | | | 15,687 | | | | 386 | |
Avidity Biosciences Inc * | | | 19,493 | | | | 895 | |
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK (continued) |
Axogen Inc * | | | 7,247 | | | $ | 102 | |
Bio-Techne Corp | | | 27,767 | | | | 2,219 | |
Bioventus Inc, Cl A * | | | 16,131 | | | | 193 | |
Blueprint Medicines Corp * | | | 22,787 | | | | 2,108 | |
CareDx Inc * | | | 67,772 | | | | 2,116 | |
Catalyst Pharmaceuticals Inc * | | | 67,179 | | | | 1,335 | |
Charles River Laboratories International Inc * | | | 6,178 | | | | 1,217 | |
Collegium Pharmaceutical Inc * | | | 15,700 | | | | 607 | |
Corcept Therapeutics Inc * | | | 26,148 | | | | 1,210 | |
CorVel Corp * | | | 1,832 | | | | 599 | |
Crinetics Pharmaceuticals Inc * | | | 12,876 | | | | 658 | |
Doximity Inc, Cl A * | | | 13,766 | | | | 600 | |
Edgewise Therapeutics Inc * | | | 21,156 | | | | 565 | |
Ensign Group Inc/The | | | 11,438 | | | | 1,645 | |
Geron Corp * | | | 179,057 | | | | 813 | |
Glaukos Corp * | | | 9,538 | | | | 1,243 | |
Haemonetics Corp * | | | 7,868 | | | | 632 | |
Halozyme Therapeutics Inc * | | | 14,511 | | | | 831 | |
Harrow Inc * | | | 12,010 | | | | 540 | |
HealthEquity Inc * | | | 30,229 | | | | 2,474 | |
Hims & Hers Health Inc * | | | 75,762 | | | | 1,396 | |
ICU Medical Inc * | | | 2,519 | | | | 459 | |
Insmed Inc * | | | 22,934 | | | | 1,674 | |
iTeos Therapeutics Inc * | | | 15,338 | | | | 157 | |
Kiniksa Pharmaceuticals International Plc, Cl A * | | | 32,121 | | | | 803 | |
Krystal Biotech Inc * | | | 5,595 | | | | 1,018 | |
Lantheus Holdings Inc * | | | 25,745 | | | | 2,825 | |
LeMaitre Vascular Inc | | | 23,113 | | | | 2,147 | |
Ligand Pharmaceuticals Inc * | | | 8,817 | | | | 882 | |
LivaNova PLC * | | | 6,468 | | | | 340 | |
Longboard Pharmaceuticals Inc * | | | 24,485 | | | | 816 | |
Lyell Immunopharma Inc * | | | 152,069 | | | | 210 | |
MannKind Corp * | | | 68,604 | | | | 432 | |
Medpace Holdings Inc * | | | 9,391 | | | | 3,135 | |
Merit Medical Systems Inc * | | | 18,088 | | | | 1,788 | |
Mirum Pharmaceuticals Inc * | | | 22,606 | | | | 882 | |
Myriad Genetics Inc * | | | 16,954 | | | | 464 | |
NeoGenomics Inc * | | | 19,518 | | | | 288 | |
Nkarta Inc * | | | 29,215 | | | | 132 | |
Nurix Therapeutics Inc * | | | 59,845 | | | | 1,345 | |
Nuvalent Inc, Cl A * | | | 5,169 | | | | 529 | |
Nuvation Bio Inc * | | | 73,343 | | | | 168 | |
Omnicell Inc * | | | 14,000 | | | | 610 | |
Option Care Health Inc * | | | 25,862 | | | | 809 | |
OraSure Technologies Inc * | | | 62,237 | | | | 266 | |
Organon & Co | | | 37,723 | | | | 722 | |
ORIC Pharmaceuticals Inc * | | | 18,349 | | | | 188 | |
PACS Group Inc * | | | 28,854 | | | | 1,153 | |
Pennant Group Inc/The * | | | 14,136 | | | | 505 | |
Phathom Pharmaceuticals Inc * | | | 34,738 | | | | 628 | |
Poseida Therapeutics Inc, Cl A * | | | 69,897 | | | | 200 | |
SEI Institutional Managed Trust
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September 30, 2024
Small Cap Growth Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
PROCEPT BioRobotics Corp * | | | 11,816 | | | $ | 947 | |
Progyny Inc * | | | 54,845 | | | | 919 | |
Protagonist Therapeutics Inc * | | | 18,046 | | | | 812 | |
RadNet Inc * | | | 25,922 | | | | 1,799 | |
Relay Therapeutics Inc * | | | 41,169 | | | | 291 | |
Repligen Corp * | | | 9,028 | | | | 1,344 | |
REVOLUTION Medicines Inc * | | | 16,656 | | | | 755 | |
Tandem Diabetes Care Inc * | | | 15,963 | | | | 677 | |
Tarsus Pharmaceuticals Inc * | | | 22,713 | | | | 747 | |
Tenet Healthcare Corp * | | | 7,548 | | | | 1,254 | |
TG Therapeutics Inc * | | | 57,120 | | | | 1,336 | |
TransMedics Group Inc * | | | 8,555 | | | | 1,343 | |
Twist Bioscience Corp * | | | 7,723 | | | | 349 | |
UFP Technologies Inc * | | | 3,531 | | | | 1,118 | |
Ultragenyx Pharmaceutical Inc * | | | 6,699 | | | | 372 | |
Vaxcyte Inc * | | | 14,197 | | | | 1,622 | |
Veracyte Inc * | | | 18,600 | | | | 633 | |
Vericel Corp * | | | 14,720 | | | | 622 | |
Waystar Holding Corp * | | | 14,742 | | | | 411 | |
| | | | | | | | | |
| | | | | | | | 76,049 | |
Industrials — 17.9% | | | | |
AAON Inc | | | 11,920 | | | | 1,285 | |
American Superconductor Corp * | | | 41,224 | | | | 973 | |
Applied Industrial Technologies Inc, Cl A | | | 3,195 | | | | 713 | |
Argan Inc | | | 15,545 | | | | 1,577 | |
Armstrong World Industries Inc | | | 4,944 | | | | 650 | |
Atmus Filtration Technologies Inc | | | 23,694 | | | | 889 | |
AZZ Inc | | | 17,877 | | | | 1,477 | |
Blue Bird Corp * | | | 25,570 | | | | 1,226 | |
Boise Cascade Co | | | 2,368 | | | | 334 | |
Booz Allen Hamilton Holding Corp, Cl A | | | 3,625 | | | | 590 | |
Brady Corp, Cl A | | | 8,269 | | | | 634 | |
Brink's Co/The | | | 5,289 | | | | 612 | |
CACI International Inc, Cl A * | | | 1,842 | | | | 929 | |
CECO Environmental Corp * | | | 18,922 | | | | 534 | |
Cimpress PLC * | | | 9,930 | | | | 813 | |
Comfort Systems USA Inc | | | 2,595 | | | | 1,013 | |
Construction Partners Inc, Cl A * | | | 20,628 | | | | 1,440 | |
Core & Main Inc, Cl A * | | | 22,024 | | | | 978 | |
CSW Industrials Inc | | | 2,111 | | | | 773 | |
Curtiss-Wright Corp | | | 2,957 | | | | 972 | |
Douglas Dynamics Inc | | | 29,258 | | | | 807 | |
Dycom Industries Inc * | | | 15,007 | | | | 2,958 | |
Enviri Corp * | | | 38,078 | | | | 394 | |
ExlService Holdings Inc * | | | 116,572 | | | | 4,447 | |
FTAI Aviation Ltd | | | 21,166 | | | | 2,813 | |
GATX Corp | | | 4,105 | | | | 544 | |
Generac Holdings Inc * | | | 10,113 | | | | 1,607 | |
Greenbrier Cos Inc/The | | | 19,243 | | | | 979 | |
Griffon Corp | | | 14,389 | | | | 1,007 | |
Heidrick & Struggles International Inc | | | 8,671 | | | | 337 | |
HNI Corp | | | 42,088 | | | | 2,266 | |
Huron Consulting Group Inc * | | | 6,268 | | | | 681 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
IES Holdings Inc * | | | 3,123 | | | $ | 623 | |
Interface Inc, Cl A | | | 40,902 | | | | 776 | |
Kelly Services Inc, Cl A | | | 16,187 | | | | 347 | |
Korn Ferry | | | 11,454 | | | | 862 | |
Limbach Holdings Inc * | | | 4,751 | | | | 360 | |
Loar Holdings Inc * | | | 9,400 | | | | 701 | |
Matson Inc | | | 6,936 | | | | 989 | |
Moog Inc, Cl A | | | 7,009 | | | | 1,416 | |
Mueller Industries Inc | | | 13,928 | | | | 1,032 | |
Mueller Water Products Inc, Cl A | | | 71,432 | | | | 1,550 | |
NEXTracker Inc, Cl A * | | | 16,520 | | | | 619 | |
Pangaea Logistics Solutions Ltd | | | 27,625 | | | | 200 | |
Parsons Corp * | | | 23,277 | | | | 2,413 | |
Paycom Software Inc | | | 9,094 | | | | 1,515 | |
Powell Industries Inc | | | 2,094 | | | | 465 | |
Primoris Services Corp | | | 20,727 | | | | 1,204 | |
REV Group Inc | | | 18,543 | | | | 520 | |
Rush Enterprises Inc, Cl A | | | 20,241 | | | | 1,069 | |
Safe Bulkers Inc | | | 46,057 | | | | 239 | |
SkyWest Inc * | | | 24,558 | | | | 2,088 | |
SPX Technologies Inc * | | | 8,891 | | | | 1,418 | |
Sterling Infrastructure Inc * | | | 16,566 | | | | 2,402 | |
Tetra Tech Inc | | | 16,050 | | | | 757 | |
Trex Co Inc * | | | 5,920 | | | | 394 | |
Trinity Industries Inc | | | 15,852 | | | | 552 | |
Tutor Perini Corp * | | | 38,769 | | | | 1,053 | |
UL Solutions Inc, Cl A | | | 16,077 | | | | 793 | |
UniFirst Corp/MA | | | 4,034 | | | | 801 | |
Verra Mobility Corp, Cl A * | | | 11,408 | | | | 317 | |
Zurn Elkay Water Solutions | | | 18,301 | | | | 658 | |
| | | | | | | | | |
| | | | | | | | 65,385 | |
Information Technology — 15.1% | | | | |
ACI Worldwide Inc * | | | 38,104 | | | | 1,940 | |
ACM Research Inc, Cl A * | | | 41,061 | | | | 834 | |
Agilysys Inc * | | | 6,812 | | | | 742 | |
Alarm.com Holdings Inc * | | | 23,129 | | | | 1,265 | |
Alkami Technology Inc * | | | 21,073 | | | | 665 | |
Appfolio Inc, Cl A * | | | 4,005 | | | | 943 | |
Applied Digital Corp * | | | 72,697 | | | | 600 | |
Aspen Technology Inc * | | | 6,554 | | | | 1,565 | |
AvePoint Inc * | | | 77,500 | | | | 912 | |
Badger Meter Inc | | | 15,820 | | | | 3,455 | |
Belden Inc | | | 17,446 | | | | 2,043 | |
Benchmark Electronics Inc | | | 14,300 | | | | 634 | |
Braze Inc, Cl A * | | | 15,594 | | | | 504 | |
CCC Intelligent Solutions Holdings Inc * | | | 125,804 | | | | 1,390 | |
Cirrus Logic Inc * | | | 6,653 | | | | 826 | |
Clear Secure, Cl A | | | 20,036 | | | | 664 | |
Clearwater Analytics Holdings Inc, Cl A * | | | 112,919 | | | | 2,851 | |
Coherent Corp * | | | 10,607 | | | | 943 | |
CommScope Holding Co Inc * | | | 88,883 | | | | 543 | |
CommVault Systems * | | | 22,672 | | | | 3,488 | |
Couchbase Inc * | | | 19,474 | | | | 314 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Growth Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK (continued) |
Credo Technology Group Holding Ltd * | | | 29,063 | | | $ | 895 | |
Dynatrace Inc * | | | 34,965 | | | | 1,870 | |
Fabrinet * | | | 14,928 | | | | 3,530 | |
FormFactor Inc * | | | 12,700 | | | | 584 | |
Globant SA * | | | 13,220 | | | | 2,619 | |
Impinj Inc * | | | 6,736 | | | | 1,459 | |
Intapp Inc * | | | 28,316 | | | | 1,354 | |
InterDigital Inc | | | 5,912 | | | | 837 | |
Itron Inc * | | | 13,635 | | | | 1,456 | |
LiveRamp Holdings Inc * | | | 36,338 | | | | 900 | |
Lumentum Holdings Inc * | | | 6,223 | | | | 394 | |
OneSpan Inc * | | | 22,889 | | | | 382 | |
Onto Innovation Inc * | | | 4,370 | | | | 907 | |
OSI Systems Inc * | | | 4,518 | | | | 686 | |
Progress Software Corp | | | 8,209 | | | | 553 | |
Q2 Holdings Inc * | | | 29,236 | | | | 2,332 | |
Semtech Corp * | | | 12,822 | | | | 585 | |
SiTime Corp * | | | 5,612 | | | | 963 | |
SolarWinds Corp | | | 53,232 | | | | 695 | |
SPS Commerce Inc * | | | 2,970 | | | | 577 | |
Tenable Holdings Inc * | | | 8,994 | | | | 364 | |
TTM Technologies Inc * | | | 33,021 | | | | 603 | |
Tyler Technologies Inc * | | | 3,141 | | | | 1,834 | |
Zeta Global Holdings Corp, Cl A * | | | 51,621 | | | | 1,540 | |
| | | | | | | | | |
| | | | | | | | 55,040 | |
Materials — 2.8% | | | | |
Alpha Metallurgical Resources Inc | | | 2,305 | | | | 544 | |
Aspen Aerogels Inc * | | | 33,817 | | | | 936 | |
ATI Inc * | | | 13,229 | | | | 885 | |
Balchem Corp | | | 4,181 | | | | 736 | |
Cabot Corp | | | 6,576 | | | | 735 | |
Caledonia Mining Corp PLC | | | 7,692 | | | | 115 | |
Carpenter Technology Corp | | | 2,412 | | | | 385 | |
Knife River Corp * | | | 4,502 | | | | 403 | |
Louisiana-Pacific Corp | | | 6,990 | | | | 751 | |
Minerals Technologies Inc | | | 12,936 | | | | 999 | |
Rayonier Advanced Materials Inc * | | | 30,933 | | | | 265 | |
Sealed Air Corp | | | 20,912 | | | | 759 | |
Sylvamo Corp | | | 27,677 | | | | 2,376 | |
Warrior Met Coal Inc | | | 2,929 | | | | 187 | |
Worthington Steel | | | 7,099 | | | | 242 | |
| | | | | | | | | |
| | | | | | | | 10,318 | |
Real Estate — 3.7% | | | | |
Acadia Realty Trust ‡ | | | 37,854 | | | | 889 | |
Agree Realty Corp ‡ | | | 10,233 | | | | 771 | |
American Healthcare REIT Inc ‡ | | | 36,352 | | | | 949 | |
Braemar Hotels & Resorts Inc ‡ | | | 27,100 | | | | 84 | |
Brixmor Property Group Inc ‡ | | | 18,078 | | | | 504 | |
CareTrust REIT Inc ‡ | | | 17,344 | | | | 535 | |
COPT Defense Properties ‡ | | | 23,348 | | | | 708 | |
Essential Properties Realty Trust Inc ‡ | | | 20,051 | | | | 685 | |
Getty Realty Corp ‡ | | | 28,219 | | | | 897 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Innovative Industrial Properties Inc, Cl A ‡ | | | 6,939 | | | $ | 934 | |
InvenTrust Properties Corp ‡ | | | 29,980 | | | | 850 | |
Newmark Group Inc, Cl A | | | 68,983 | | | | 1,071 | |
Piedmont Office Realty Trust Inc, Cl A ‡ | | | 41,460 | | | | 419 | |
Plymouth Industrial REIT Inc ‡ | | | 32,434 | | | | 733 | |
Sabra Health Care REIT Inc ‡ | | | 69,037 | | | | 1,285 | |
Safehold Inc ‡ | | | 36,093 | | | | 947 | |
Terreno Realty Corp ‡ | | | 7,423 | | | | 496 | |
Vornado Realty Trust ‡ | | | 14,828 | | | | 584 | |
| | | | | | | | | |
| | | | | | | | 13,341 | |
Utilities — 1.1% | | | | |
Black Hills Corp, Cl A | | | 15,121 | | | | 924 | |
New Jersey Resources Corp | | | 16,676 | | | | 787 | |
Otter Tail Corp | | | 9,678 | | | | 757 | |
Portland General Electric Co | | | 18,003 | | | | 862 | |
Talen Energy Corp * | | | 3,308 | | | | 590 | |
| | | | | | | | | |
| | | | | | | | 3,920 | |
Total Common Stock | | | | | | | | |
(Cost $287,206) ($ Thousands) | | | | | | | 360,356 | |
| | | | | | | | | |
CASH EQUIVALENT — 1.0% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 3,594,398 | | | | 3,594 | |
Total Cash Equivalent | | | | | | | | |
(Cost $3,594) ($ Thousands) | | | | | | | 3,594 | |
Total Investments in Securities — 99.9% | | | | | | | | |
(Cost $290,800) ($ Thousands) | | $ | 363,950 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Small Cap Growth Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Russell 2000 Index E-MINI | | | 20 | | | | Dec-2024 | | | $ | 2,206 | | | $ | 2,249 | | | $ | 43 | |
| | | | | | | | | | | | | | | | | | | | | |
| Percentages are based on Net Assets of $364,360 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 360,356 | | | | – | | | | – | | | | 360,356 | |
Cash Equivalent | | | 3,594 | | | | – | | | | – | | | | 3,594 | |
Total Investments in Securities | | | 363,950 | | | | – | | | | – | | | | 363,950 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 43 | | | | – | | | | – | | | | 43 | |
Total Other Financial Instruments | | | 43 | | | | – | | | | – | | | | 43 | |
| | | | | | | | | | | | | | | | | | |
* | 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 following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 2,403 | | | $ | 9,567 | | | $ | (11,974 | ) | | $ | — | | | $ | 4 | | | $ | — | | | $ | 85 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 3,887 | | | | 74,315 | | | | (74,608 | ) | | | — | | | | — | | | | 3,594 | | | | 195 | | | | — | |
Totals | | $ | 6,290 | | | $ | 83,882 | | | $ | (86,582 | ) | | $ | – | | | $ | 4 | | | $ | 3,594 | | | $ | 280 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations. The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Small/Mid Cap Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK — 98.8% |
| | | | | | | | | |
Communication Services — 2.2% | | | | |
Advantage Solutions Inc * | | | 54,054 | | | $ | 185 | |
Bumble Inc, Cl A * | | | 164,764 | | | | 1,051 | |
Cinemark Holdings Inc * | | | 187,837 | | | | 5,229 | |
Cogent Communications Holdings Inc | | | 12,431 | | | | 944 | |
Electronic Arts Inc | | | 2,290 | | | | 329 | |
Entravision Communications Corp, Cl A | | | 140,000 | | | | 290 | |
EverQuote Inc, Cl A * | | | 27,124 | | | | 572 | |
IAC Inc * | | | 3,105 | | | | 167 | |
Interpublic Group of Cos Inc/The | | | 24,754 | | | | 783 | |
Lions Gate Entertainment Corp, Cl A * | | | 17,833 | | | | 140 | |
Match Group Inc * | | | 1,449 | | | | 55 | |
MediaAlpha Inc, Cl A * | | | 29,133 | | | | 528 | |
Nexstar Media Group Inc, Cl A | | | 11,655 | | | | 1,927 | |
Outbrain Inc * | | | 42,919 | | | | 209 | |
Playstudios Inc * | | | 340,307 | | | | 514 | |
QuinStreet Inc * | | | 40,619 | | | | 777 | |
Take-Two Interactive Software Inc, Cl A * | | | 3,431 | | | | 527 | |
TEGNA Inc | | | 13,996 | | | | 221 | |
Telephone and Data Systems Inc | | | 29,477 | | | | 685 | |
TKO Group Holdings Inc, Cl A * | | | 7,252 | | | | 897 | |
Yelp Inc, Cl A * | | | 17,000 | | | | 596 | |
Ziff Davis Inc * | | | 57,668 | | | | 2,806 | |
| | | | | | | | | |
| | | | | | | | 19,432 | |
Consumer Discretionary — 10.3% | | | | |
Aaron's Co Inc/The | | | 28,301 | | | | 282 | |
Abercrombie & Fitch Co, Cl A * | | | 18,712 | | | | 2,618 | |
Adient PLC * | | | 72,566 | | | | 1,638 | |
Adtalem Global Education Inc * | | | 10,912 | | | | 824 | |
Advance Auto Parts Inc | | | 38,639 | | | | 1,507 | |
American Eagle Outfitters Inc | | | 12,590 | | | | 282 | |
Asbury Automotive Group Inc * | | | 3,907 | | | | 932 | |
AutoNation Inc * | | | 1,730 | | | | 310 | |
Bloomin' Brands Inc | | | 260,077 | | | | 4,299 | |
Bright Horizons Family Solutions Inc * | | | 1,538 | | | | 215 | |
Brinker International Inc * | | | 85,882 | | | | 6,573 | |
Burlington Stores Inc * | | | 12,800 | | | | 3,373 | |
Carter's Inc | | | 13,757 | | | | 894 | |
Carvana Co, Cl A * | | | 1 | | | | — | |
Chegg Inc * | | | 304,101 | | | | 538 | |
Cricut Inc, Cl A | | | 34,092 | | | | 236 | |
Dave & Buster's Entertainment Inc * | | | 30,440 | | | | 1,036 | |
Deckers Outdoor Corp * | | | 10,032 | | | | 1,600 | |
Dorman Products Inc * | | | 5,097 | | | | 577 | |
Duolingo Inc, Cl A * | | | 3,265 | | | | 921 | |
Etsy Inc * | | | 6,503 | | | | 361 | |
G-III Apparel Group Ltd * | | | 21,132 | | | | 645 | |
Goodyear Tire & Rubber Co/The * | | | 63,775 | | | | 564 | |
Group 1 Automotive Inc | | | 4,472 | | | | 1,713 | |
Haverty Furniture Cos Inc | | | 17,831 | | | | 490 | |
JAKKS Pacific Inc * | | | 8,206 | | | | 209 | |
KB Home | | | 22,517 | | | | 1,929 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
LCI Industries | | | 8,009 | | | $ | 965 | |
Lithia Motors Inc, Cl A | | | 6,947 | | | | 2,207 | |
LKQ Corp | | | 22,533 | | | | 899 | |
M/I Homes Inc * | | | 2,769 | | | | 474 | |
Meritage Homes Corp | | | 2,132 | | | | 437 | |
Modine Manufacturing Co * | | | 67,133 | | | | 8,915 | |
Murphy USA Inc | | | 5,255 | | | | 2,590 | |
ODP Corp/The * | | | 14,475 | | | | 431 | |
Ollie's Bargain Outlet Holdings Inc * | | | 23,498 | | | | 2,284 | |
OneSpaWorld Holdings Ltd | | | 24,468 | | | | 404 | |
Perdoceo Education Corp | | | 39,401 | | | | 876 | |
PlayAGS Inc * | | | 34,259 | | | | 390 | |
Pool Corp | | | 13,752 | | | | 5,182 | |
Signet Jewelers Ltd | | | 13,227 | | | | 1,364 | |
Skechers USA Inc, Cl A * | | | 19,536 | | | | 1,307 | |
Standard Motor Products Inc | | | 15,126 | | | | 502 | |
Stride Inc * | | | 38,570 | | | | 3,290 | |
Super Group SGHC Ltd | | | 152,999 | | | | 555 | |
Taylor Morrison Home Corp, Cl A * | | | 64,334 | | | | 4,520 | |
Tri Pointe Homes Inc * | | | 99,120 | | | | 4,491 | |
Universal Technical Institute Inc * | | | 45,729 | | | | 744 | |
Urban Outfitters Inc * | | | 159,847 | | | | 6,124 | |
Vail Resorts Inc | | | 7,682 | | | | 1,339 | |
Vera Bradley Inc * | | | 47,865 | | | | 261 | |
Whirlpool Corp | | | 47,259 | | | | 5,057 | |
Williams-Sonoma Inc | | | 5,278 | | | | 818 | |
Winmark Corp | | | 1,329 | | | | 509 | |
| | | | | | | | | |
| | | | | | | | 91,501 | |
Consumer Staples — 5.0% | | | | |
Andersons Inc/The | | | 3,842 | | | | 193 | |
BellRing Brands Inc * | | | 10,378 | | | | 630 | |
BJ's Wholesale Club Holdings Inc * | | | 12,598 | | | | 1,039 | |
Cal-Maine Foods Inc | | | 15,659 | | | | 1,172 | |
Casey's General Stores Inc | | | 3,155 | | | | 1,185 | |
Central Garden & Pet Co, Cl A * | | | 19,370 | | | | 608 | |
Church & Dwight Co Inc | | | 6,935 | | | | 726 | |
Coca-Cola Consolidated Inc | | | 2,372 | | | | 3,123 | |
Darling Ingredients Inc * | | | 16,819 | | | | 625 | |
elf Beauty Inc * | | | 10,935 | | | | 1,192 | |
Flowers Foods Inc | | | 23,770 | | | | 548 | |
Fresh Del Monte Produce Inc | | | 22,329 | | | | 660 | |
Freshpet Inc * | | | 6,858 | | | | 938 | |
Honest Co Inc/The * | | | 198,985 | | | | 710 | |
Ingles Markets Inc, Cl A | | | 6,621 | | | | 494 | |
Ingredion Inc | | | 14,851 | | | | 2,041 | |
J & J Snack Foods Corp | | | 7,030 | | | | 1,210 | |
John B Sanfilippo & Son Inc | | | 5,357 | | | | 505 | |
Kroger Co/The | | | 6,156 | | | | 353 | |
Medifast Inc | | | 27,878 | | | | 534 | |
Nu Skin Enterprises Inc, Cl A | | | 184,731 | | | | 1,361 | |
Performance Food Group Co * | | | 5,000 | | | | 392 | |
Pilgrim's Pride Corp * | | | 192,176 | | | | 8,850 | |
PriceSmart Inc | | | 12,015 | | | | 1,103 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Small/Mid Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Primo Water Corp | | | 86,629 | | | $ | 2,187 | |
Reynolds Consumer Products Inc | | | 12,000 | | | | 373 | |
Seneca Foods Corp, Cl A * | | | 315 | | | | 20 | |
Spectrum Brands Holdings Inc | | | 22,198 | | | | 2,112 | |
Sprouts Farmers Market Inc * | | | 29,819 | | | | 3,292 | |
Universal Corp/VA | | | 18,077 | | | | 960 | |
US Foods Holding Corp * | | | 10,313 | | | | 634 | |
USANA Health Sciences Inc * | | | 15,707 | | | | 596 | |
Village Super Market Inc, Cl A | | | 16,517 | | | | 525 | |
Vital Farms Inc * | | | 43,854 | | | | 1,538 | |
WD-40 Co | | | 1,950 | | | | 503 | |
Weis Markets Inc | | | 26,233 | | | | 1,808 | |
| | | | | | | | | |
| | | | | | | | 44,740 | |
Energy — 3.9% | | | | |
Archrock Inc | | | 26,874 | | | | 544 | |
ChampionX Corp | | | 14,821 | | | | 447 | |
CNX Resources Corp * | | | 105,025 | | | | 3,421 | |
Coterra Energy Inc | | | 69,602 | | | | 1,667 | |
Delek US Holdings Inc | | | 374,940 | | | | 7,030 | |
DHT Holdings Inc | | | 83,305 | | | | 919 | |
Diamondback Energy Inc, Cl A | | | 9,885 | | | | 1,704 | |
DT Midstream Inc | | | 26,965 | | | | 2,121 | |
Exxon Mobil Corp | | | 5,528 | | | | 648 | |
Golar LNG Ltd | | | 5,175 | | | | 190 | |
Gulfport Energy Corp * | | | 10,152 | | | | 1,537 | |
Helmerich & Payne Inc | | | 24,629 | | | | 749 | |
HF Sinclair Corp | | | 40,000 | | | | 1,783 | |
International Seaways Inc | | | 20,216 | | | | 1,042 | |
Marathon Petroleum Corp | | | 7,296 | | | | 1,189 | |
Natural Gas Services Group Inc * | | | 20,929 | | | | 400 | |
Par Pacific Holdings Inc * | | | 8,699 | | | | 153 | |
PBF Energy Inc, Cl A | | | 44,326 | | | | 1,372 | |
ProPetro Holding Corp * | | | 26,510 | | | | 203 | |
Ranger Energy Services Inc, Cl A | | | 17,482 | | | | 208 | |
RPC Inc | | | 42,190 | | | | 268 | |
TechnipFMC PLC | | | 14,605 | | | | 383 | |
Teekay Corp * | | | 107,083 | | | | 985 | |
Teekay Tankers Ltd, Cl A | | | 19,615 | | | | 1,143 | |
Tidewater Inc * | | | 15,597 | | | | 1,120 | |
Veren Inc | | | 227,363 | | | | 1,398 | |
Viper Energy Inc, Cl A | | | 44,665 | | | | 2,015 | |
| | | | | | | | | |
| | | | | | | | 34,639 | |
Financials — 21.4% | | | | |
1st Source Corp | | | 7,047 | | | | 422 | |
AFC Gamma Inc ‡ | | | 51,867 | | | | 530 | |
Allstate Corp/The | | | 990 | | | | 188 | |
American Financial Group Inc/OH | | | 13,674 | | | | 1,840 | |
Ameriprise Financial Inc | | | 4,587 | | | | 2,155 | |
AMERISAFE Inc | | | 1,257 | | | | 61 | |
Arch Capital Group Ltd * | | | 10,008 | | | | 1,120 | |
Assurant Inc | | | 3,300 | | | | 656 | |
Axos Financial Inc * | | | 48,113 | | | | 3,025 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Banc of California Inc | | | 23,591 | | | $ | 347 | |
Banco Latinoamericano de Comercio Exterior SA, Cl E | | | 49,383 | | | | 1,604 | |
Bancorp Inc/The * | | | 4,263 | | | | 228 | |
Bank of NT Butterfield & Son Ltd/The | | | 10,000 | | | | 369 | |
Bank OZK | | | 31,830 | | | | 1,368 | |
BankUnited Inc | | | 12,225 | | | | 445 | |
BCB Bancorp Inc | | | 30,233 | | | | 373 | |
BGC Group Inc, Cl A | | | 352,876 | | | | 3,239 | |
Bread Financial Holdings Inc | | | 28,428 | | | | 1,353 | |
Capital City Bank Group Inc | | | 9,652 | | | | 341 | |
Carter Bankshares Inc * | | | 11,919 | | | | 207 | |
Cboe Global Markets Inc | | | 3,600 | | | | 738 | |
Central Pacific Financial Corp | | | 24,027 | | | | 709 | |
City Holding Co | | | 1,207 | | | | 142 | |
Civista Bancshares Inc | | | 27,268 | | | | 486 | |
CNB Financial Corp/PA | | | 7,651 | | | | 184 | |
CNO Financial Group Inc | | | 301,615 | | | | 10,587 | |
Columbia Banking System Inc | | | 405,555 | | | | 10,589 | |
Comerica Inc | | | 58,983 | | | | 3,534 | |
Community Trust Bancorp Inc | | | 21,646 | | | | 1,075 | |
CrossFirst Bankshares Inc * | | | 21,000 | | | | 350 | |
Customers Bancorp Inc * | | | 15,613 | | | | 725 | |
Diamond Hill Investment Group Inc | | | 2,001 | | | | 323 | |
Donegal Group Inc, Cl A | | | 19,009 | | | | 280 | |
Donnelley Financial Solutions Inc * | | | 39,415 | | | | 2,595 | |
Eagle Bancorp Inc | | | 21,162 | | | | 478 | |
Eastern Bankshares Inc | | | 10,477 | | | | 172 | |
Employers Holdings Inc | | | 17,888 | | | | 858 | |
Enact Holdings Inc | | | 7,491 | | | | 272 | |
Enova International Inc * | | | 9,200 | | | | 771 | |
Enstar Group Ltd * | | | 314 | | | | 101 | |
Essent Group Ltd | | | 17,254 | | | | 1,109 | |
Euronet Worldwide Inc * | | | 30,732 | | | | 3,050 | |
Everest Group Ltd | | | 6,060 | | | | 2,374 | |
EVERTEC Inc | | | 53,668 | | | | 1,819 | |
Federal Agricultural Mortgage Corp, Cl C | | | 1,256 | | | | 235 | |
Fidelis Insurance Holdings Ltd | | | 9,801 | | | | 177 | |
Financial Institutions Inc | | | 80,765 | | | | 2,057 | |
First American Financial Corp | | | 3,200 | | | | 211 | |
First Citizens BancShares Inc/NC, Cl A | | | 775 | | | | 1,427 | |
First Commonwealth Financial Corp | | | 316,920 | | | | 5,435 | |
First Community Bankshares Inc | | | 66,479 | | | | 2,869 | |
First Financial Corp/IN | | | 5,524 | | | | 242 | |
First Internet Bancorp | | | 40,160 | | | | 1,376 | |
First Interstate BancSystem Inc, Cl A | | | 51,000 | | | | 1,565 | |
First Merchants Corp | | | 43,616 | | | | 1,622 | |
FirstCash Holdings Inc | | | 11,094 | | | | 1,274 | |
FNB Corp/PA | | | 494,669 | | | | 6,980 | |
GCM Grosvenor Inc, Cl A | | | 162,801 | | | | 1,843 | |
Genworth Financial Inc, Cl A * | | | 191,151 | | | | 1,309 | |
Global Payments Inc | | | 1,009 | | | | 103 | |
Great Southern Bancorp Inc | | | 12,053 | | | | 691 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Small/Mid Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Green Dot Corp, Cl A * | | | 57,949 | | | $ | 679 | |
Hamilton Lane Inc, Cl A | | | 9,000 | | | | 1,515 | |
Hanmi Financial Corp | | | 19,000 | | | | 353 | |
Hanover Insurance Group Inc/The, Cl A | | | 25,705 | | | | 3,807 | |
Heritage Insurance Holdings Inc * | | | 32,445 | | | | 397 | |
HomeTrust Bancshares Inc | | | 4,975 | | | | 170 | |
Horace Mann Educators Corp, Cl A | | | 66,934 | | | | 2,339 | |
Independent Bank Corp/MI | | | 12,857 | | | | 429 | |
Jackson Financial Inc, Cl A | | | 160,532 | | | | 14,645 | |
James River Group Holdings Ltd | | | 73,769 | | | | 463 | |
KeyCorp | | | 95,715 | | | | 1,603 | |
Kinsale Capital Group Inc | | | 8,604 | | | | 4,006 | |
LendingClub Corp * | | | 46,881 | | | | 536 | |
Lincoln National Corp | | | 278,790 | | | | 8,785 | |
MarketAxess Holdings Inc | | | 4,814 | | | | 1,233 | |
Merchants Bancorp/IN | | | 47,570 | | | | 2,139 | |
Mercury General Corp | | | 11,638 | | | | 733 | |
Mid Penn Bancorp Inc | | | 7,599 | | | | 227 | |
Midland States Bancorp Inc | | | 22,104 | | | | 495 | |
MidWestOne Financial Group Inc | | | 30,180 | | | | 861 | |
Moneylion Inc * | | | 9,175 | | | | 381 | |
Mr Cooper Group Inc * | | | 20,000 | | | | 1,844 | |
Nelnet Inc, Cl A | | | 5,472 | | | | 620 | |
NMI Holdings Inc, Cl A * | | | 16,031 | | | | 660 | |
OceanFirst Financial Corp | | | 13,623 | | | | 253 | |
OFG Bancorp | | | 133,441 | | | | 5,994 | |
Old National Bancorp/IN, Cl A | | | 232,633 | | | | 4,341 | |
Orrstown Financial Services Inc | | | 11,000 | | | | 396 | |
Oscar Health Inc, Cl A * | | | 81,691 | | | | 1,733 | |
Pacific Premier Bancorp Inc | | | 53,049 | | | | 1,335 | |
Pagseguro Digital Ltd, Cl A * | | | 74,662 | | | | 643 | |
Palomar Holdings Inc, Cl A * | | | 2,542 | | | | 241 | |
Paymentus Holdings Inc, Cl A * | | | 76,458 | | | | 1,531 | |
PCB Bancorp | | | 11,293 | | | | 212 | |
Perella Weinberg Partners, Cl A | | | 12,000 | | | | 232 | |
Piper Sandler Cos | | | 5,000 | | | | 1,419 | |
PJT Partners Inc, Cl A | | | 14,364 | | | | 1,915 | |
Popular Inc | | | 11,261 | | | | 1,129 | |
PRA Group Inc * | | | 40,859 | | | | 914 | |
Preferred Bank/Los Angeles CA | | | 13,055 | | | | 1,048 | |
PROG Holdings Inc | | | 42,454 | | | | 2,059 | |
QCR Holdings Inc | | | 7,500 | | | | 555 | |
RBB Bancorp | | | 8,628 | | | | 199 | |
Reinsurance Group of America Inc, Cl A | | | 7,938 | | | | 1,729 | |
RenaissanceRe Holdings Ltd | | | 4,308 | | | | 1,173 | |
Republic Bancorp Inc/KY, Cl A | | | 17,019 | | | | 1,111 | |
Ryan Specialty Holdings Inc, Cl A | | | 47,725 | | | | 3,168 | |
Safety Insurance Group Inc | | | 2,574 | | | | 210 | |
Selective Insurance Group Inc | | | 19,688 | | | | 1,837 | |
Sierra Bancorp | | | 17,491 | | | | 505 | |
Starwood Property Trust Inc ‡ | | | 30,266 | | | | 617 | |
StepStone Group Inc, Cl A | | | 30,545 | | | | 1,736 | |
Stifel Financial Corp | | | 12,200 | | | | 1,146 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
StoneX Group Inc * | | | 5,500 | | | $ | 450 | |
United Fire Group Inc | | | 23,336 | | | | 488 | |
Universal Insurance Holdings Inc | | | 24,324 | | | | 539 | |
Victory Capital Holdings Inc, Cl A | | | 24,732 | | | | 1,370 | |
Virtus Investment Partners Inc | | | 1,832 | | | | 384 | |
Westamerica BanCorp | | | 22,421 | | | | 1,108 | |
Zions Bancorp NA | | | 106,979 | | | | 5,052 | |
| | | | | | | | | |
| | | | | | | | 190,300 | |
Health Care — 10.9% | | | | |
Addus HomeCare Corp * | | | 5,000 | | | | 665 | |
ADMA Biologics Inc * | | | 165,344 | | | | 3,305 | |
Agios Pharmaceuticals Inc * | | | 25,779 | | | | 1,145 | |
Akero Therapeutics Inc * | | | 10,349 | | | | 297 | |
Alkermes PLC * | | | 77,916 | | | | 2,181 | |
AMN Healthcare Services Inc * | | | 2,483 | | | | 105 | |
Amphastar Pharmaceuticals Inc * | | | 30,342 | | | | 1,473 | |
ANI Pharmaceuticals Inc * | | | 27,687 | | | | 1,652 | |
Anika Therapeutics Inc * | | | 33,441 | | | | 826 | |
Ardelyx Inc * | | | 26,421 | | | | 182 | |
Artivion Inc * | | | 7,347 | | | | 196 | |
Ascendis Pharma A/S ADR * | | | 2,864 | | | | 428 | |
Avanos Medical Inc * | | | 28,044 | | | | 674 | |
BioCryst Pharmaceuticals Inc * | | | 25,253 | | | | 192 | |
Biohaven Ltd * | | | 6,410 | | | | 320 | |
Bio-Techne Corp | | | 22,896 | | | | 1,830 | |
Bioventus Inc, Cl A * | | | 193,110 | | | | 2,308 | |
Blueprint Medicines Corp * | | | 20,272 | | | | 1,875 | |
CareDx Inc * | | | 43,161 | | | | 1,348 | |
Castle Biosciences Inc * | | | 39,159 | | | | 1,117 | |
Catalyst Pharmaceuticals Inc * | | | 32,000 | | | | 636 | |
Cencora Inc, Cl A | | | 4,713 | | | | 1,061 | |
Certara Inc * | | | 59,933 | | | | 702 | |
Charles River Laboratories International Inc * | | | 7,525 | | | | 1,482 | |
Chemed Corp | | | 5,665 | | | | 3,404 | |
Codexis Inc * | | | 38,000 | | | | 117 | |
Collegium Pharmaceutical Inc * | | | 138,720 | | | | 5,360 | |
CorVel Corp * | | | 3,132 | | | | 1,024 | |
Crinetics Pharmaceuticals Inc * | | | 6,227 | | | | 318 | |
Cross Country Healthcare Inc * | | | 15,399 | | | | 207 | |
Cullinan Therapeutics Inc * | | | 9,439 | | | | 158 | |
Doximity Inc, Cl A * | | | 16,887 | | | | 736 | |
Edgewise Therapeutics Inc * | | | 13,201 | | | | 352 | |
Encompass Health Corp | | | 19,928 | | | | 1,926 | |
Enovis Corp * | | | 5,518 | | | | 238 | |
Ensign Group Inc/The | | | 4,885 | | | | 703 | |
Establishment Labs Holdings Inc * | | | 6,153 | | | | 266 | |
Fate Therapeutics Inc * | | | 112,473 | | | | 394 | |
Globus Medical Inc, Cl A * | | | 14,804 | | | | 1,059 | |
GoodRx Holdings Inc, Cl A * | | | 21,916 | | | | 152 | |
Haemonetics Corp * | | | 3,842 | | | | 309 | |
Harmony Biosciences Holdings Inc * | | | 9,936 | | | | 397 | |
HealthEquity Inc * | | | 15,081 | | | | 1,234 | |
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| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK (continued) |
HealthStream Inc | | | 61,213 | | | $ | 1,765 | |
Hims & Hers Health Inc * | | | 104,175 | | | | 1,919 | |
ICON PLC ADR * | | | 5,210 | | | | 1,497 | |
ICU Medical Inc * | | | 5,669 | | | | 1,033 | |
IDEXX Laboratories Inc * | | | 458 | | | | 231 | |
Incyte Corp * | | | 3,300 | | | | 218 | |
Inmode Ltd * | | | 150,507 | | | | 2,551 | |
Insmed Inc * | | | 14,589 | | | | 1,065 | |
Ionis Pharmaceuticals Inc * | | | 6,047 | | | | 242 | |
Iovance Biotherapeutics Inc * | | | 22,456 | | | | 211 | |
iRadimed Corp | | | 6,407 | | | | 322 | |
Kiniksa Pharmaceuticals International Plc, Cl A * | | | 31,021 | | | | 775 | |
Lantheus Holdings Inc * | | | 1,895 | | | | 208 | |
LeMaitre Vascular Inc | | | 21,975 | | | | 2,041 | |
Ligand Pharmaceuticals Inc * | | | 17,194 | | | | 1,721 | |
Lyell Immunopharma Inc * | | | 260,043 | | | | 359 | |
Masimo Corp * | | | 3,863 | | | | 515 | |
Medpace Holdings Inc * | | | 9,317 | | | | 3,110 | |
Merit Medical Systems Inc * | | | 17,000 | | | | 1,680 | |
Mettler-Toledo International Inc * | | | 411 | | | | 616 | |
Myriad Genetics Inc * | | | 19,582 | | | | 536 | |
National HealthCare Corp | | | 4,888 | | | | 615 | |
NeoGenomics Inc * | | | 6,928 | | | | 102 | |
Neurocrine Biosciences Inc * | | | 11,777 | | | | 1,357 | |
Nkarta Inc * | | | 37,594 | | | | 170 | |
OmniAB Inc * | | | 11,714 | | | | — | |
Omnicell Inc * | | | 15,315 | | | | 668 | |
OraSure Technologies Inc * | | | 115,386 | | | | 493 | |
Owens & Minor Inc * | | | 39,484 | | | | 620 | |
Pacira BioSciences Inc * | | | 35,375 | | | | 532 | |
Pediatrix Medical Group Inc * | | | 56,139 | | | | 651 | |
Pennant Group Inc/The * | | | 81,388 | | | | 2,906 | |
Penumbra Inc * | | | 1,427 | | | | 277 | |
PetIQ Inc, Cl A * | | | 40,015 | | | | 1,231 | |
Phibro Animal Health Corp, Cl A | | | 66,898 | | | | 1,507 | |
Poseida Therapeutics Inc, Cl A * | | | 39,169 | | | | 112 | |
Prestige Consumer Healthcare Inc, Cl A * | | | 30,980 | | | | 2,234 | |
Protagonist Therapeutics Inc * | | | 2,767 | | | | 125 | |
PTC Therapeutics Inc * | | | 12,404 | | | | 460 | |
Relay Therapeutics Inc * | | | 45,331 | | | | 321 | |
Repligen Corp * | | | 20,023 | | | | 2,980 | |
Revvity Inc | | | 12,707 | | | | 1,623 | |
RxSight Inc * | | | 13,728 | | | | 679 | |
Select Medical Holdings Corp | | | 17,097 | | | | 596 | |
SpringWorks Therapeutics Inc * | | | 16,370 | | | | 524 | |
Supernus Pharmaceuticals Inc * | | | 8,694 | | | | 271 | |
Surmodics Inc * | | | 8,423 | | | | 327 | |
Teleflex Inc | | | 3,980 | | | | 984 | |
Tenet Healthcare Corp * | | | 6,108 | | | | 1,015 | |
Theravance Biopharma Inc * | | | 30,242 | | | | 244 | |
UFP Technologies Inc * | | | 6,094 | | | | 1,930 | |
United Therapeutics Corp * | | | 6,841 | | | | 2,451 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Vanda Pharmaceuticals Inc * | | | 39,841 | | | $ | 187 | |
Varex Imaging Corp * | | | 64,714 | | | | 771 | |
Voyager Therapeutics Inc * | | | 29,525 | | | | 173 | |
WaVe Life Sciences Ltd * | | | 64,413 | | | | 528 | |
| | | | | | | | | |
| | | | | | | | 96,633 | |
Industrials — 20.4% | | | | |
A O Smith Corp | | | 4,400 | | | | 395 | |
AAON Inc | | | 49,539 | | | | 5,342 | |
AAR Corp * | | | 3,502 | | | | 229 | |
ABM Industries Inc | | | 64,862 | | | | 3,422 | |
ACCO Brands Corp | | | 410,269 | | | | 2,244 | |
Acuity Brands Inc | | | 2,320 | | | | 639 | |
Advanced Drainage Systems Inc | | | 21,586 | | | | 3,392 | |
AECOM | | | 13,579 | | | | 1,402 | |
AeroVironment Inc * | | | 6,024 | | | | 1,208 | |
American Superconductor Corp * | | | 32,857 | | | | 775 | |
Apogee Enterprises Inc | | | 8,561 | | | | 599 | |
Applied Industrial Technologies Inc, Cl A | | | 12,000 | | | | 2,678 | |
ArcBest Corp | | | 1,215 | | | | 132 | |
Astec Industries Inc | | | 57,192 | | | | 1,827 | |
Axon Enterprise Inc * | | | 18,404 | | | | 7,354 | |
Barnes Group Inc | | | 83,927 | | | | 3,391 | |
Barrett Business Services Inc | | | 8,704 | | | | 326 | |
BlueLinx Holdings Inc * | | | 3,071 | | | | 324 | |
Boise Cascade Co | | | 14,972 | | | | 2,111 | |
Brink's Co/The | | | 1,514 | | | | 175 | |
Broadridge Financial Solutions Inc | | | 1,700 | | | | 366 | |
Builders FirstSource Inc * | | | 9,855 | | | | 1,910 | |
BWX Technologies Inc | | | 42,375 | | | | 4,606 | |
CACI International Inc, Cl A * | | | 1,073 | | | | 541 | |
Casella Waste Systems Inc, Cl A * | | | 5,000 | | | | 497 | |
CBIZ Inc * | | | 13,842 | | | | 931 | |
CECO Environmental Corp * | | | 52,254 | | | | 1,474 | |
Cimpress PLC * | | | 6,477 | | | | 531 | |
Cintas Corp | | | 10,124 | | | | 2,084 | |
Civeo Corp | | | 17,019 | | | | 466 | |
Clean Harbors Inc * | | | 7,022 | | | | 1,697 | |
Comfort Systems USA Inc | | | 766 | | | | 299 | |
Commercial Vehicle Group Inc * | | | 58,139 | | | | 189 | |
Construction Partners Inc, Cl A * | | | 5,914 | | | | 413 | |
Copart Inc * | | | 75,068 | | | | 3,934 | |
CRA International Inc | | | 11,678 | | | | 2,047 | |
CSG Systems International Inc | | | 16,685 | | | | 812 | |
CSW Industrials Inc | | | 1,824 | | | | 668 | |
Curtiss-Wright Corp | | | 12,804 | | | | 4,209 | |
DNOW Inc * | | | 13,441 | | | | 174 | |
Ducommun Inc * | | | 8,335 | | | | 549 | |
Dycom Industries Inc * | | | 3,890 | | | | 767 | |
EMCOR Group Inc | | | 13,656 | | | | 5,879 | |
Enerpac Tool Group Corp, Cl A | | | 7,241 | | | | 303 | |
EnerSys | | | 5,874 | | | | 599 | |
Enviri Corp * | | | 20,959 | | | | 217 | |
Esab Corp | | | 19,244 | | | | 2,046 | |
SEI Institutional Managed Trust
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Tax-Managed Small/Mid Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK (continued) |
ExlService Holdings Inc * | | | 173,942 | | | $ | 6,636 | |
Exponent Inc | | | 45,085 | | | | 5,197 | |
Federal Signal Corp | | | 4,000 | | | | 374 | |
Fluor Corp * | | | 4,213 | | | | 201 | |
Franklin Covey Co * | | | 648 | | | | 27 | |
FTI Consulting Inc * | | | 6,375 | | | | 1,451 | |
Gibraltar Industries Inc * | | | 8,523 | | | | 596 | |
Gorman-Rupp Co/The | | | 13,217 | | | | 515 | |
Griffon Corp | | | 27,277 | | | | 1,909 | |
GXO Logistics Inc * | | | 38,843 | | | | 2,023 | |
H&E Equipment Services Inc | | | 2,651 | | | | 129 | |
Heidrick & Struggles International Inc | | | 5,115 | | | | 199 | |
HNI Corp | | | 25,813 | | | | 1,390 | |
Hub Group Inc, Cl A | | | 14,919 | | | | 678 | |
Hudson Technologies Inc * | | | 24,891 | | | | 208 | |
Huntington Ingalls Industries Inc, Cl A | | | 1,235 | | | | 327 | |
Huron Consulting Group Inc * | | | 1,476 | | | | 160 | |
Hyster-Yale Inc | | | 10,524 | | | | 671 | |
IDEX Corp | | | 4,000 | | | | 858 | |
Interface Inc, Cl A | | | 38,000 | | | | 721 | |
Kadant Inc | | | 6,194 | | | | 2,094 | |
Kelly Services Inc, Cl A | | | 27,646 | | | | 592 | |
Kennametal Inc | | | 59,550 | | | | 1,544 | |
Kforce Inc | | | 10,057 | | | | 618 | |
L3Harris Technologies Inc | | | 2,036 | | | | 484 | |
Landstar System Inc | | | 8,600 | | | | 1,624 | |
Limbach Holdings Inc * | | | 4,412 | | | | 334 | |
LSI Industries Inc | | | 40,693 | | | | 657 | |
Luxfer Holdings PLC ADR | | | 23,229 | | | | 301 | |
Marten Transport Ltd | | | 22,304 | | | | 395 | |
Masterbrand Inc * | | | 11,998 | | | | 222 | |
Miller Industries Inc/TN | | | 36,016 | | | | 2,197 | |
Mistras Group Inc * | | | 68,352 | | | | 777 | |
MRC Global Inc * | | | 14,327 | | | | 183 | |
MSA Safety Inc | | | 10,698 | | | | 1,897 | |
Mueller Industries Inc | | | 35,099 | | | | 2,601 | |
MYR Group Inc * | | | 14,511 | | | | 1,483 | |
National Presto Industries Inc | | | 7,176 | | | | 539 | |
Old Dominion Freight Line Inc, Cl A | | | 10,526 | | | | 2,091 | |
OPENLANE Inc * | | | 86,704 | | | | 1,464 | |
Park Aerospace Corp | | | 81,129 | | | | 1,057 | |
Parsons Corp * | | | 9,334 | | | | 968 | |
Powell Industries Inc | | | 10,755 | | | | 2,388 | |
Primoris Services Corp | | | 27,827 | | | | 1,616 | |
RB Global Inc | | | 20,757 | | | | 1,671 | |
RBC Bearings Inc * | | | 11,906 | | | | 3,564 | |
Resideo Technologies Inc * | | | 125,078 | | | | 2,519 | |
Resources Connection Inc | | | 91,182 | | | | 884 | |
Rush Enterprises Inc, Cl A | | | 58,383 | | | | 3,084 | |
RXO Inc * | | | 45,232 | | | | 1,267 | |
Science Applications International Corp | | | 13,698 | | | | 1,908 | |
Sensata Technologies Holding PLC | | | 80,128 | | | | 2,873 | |
Simpson Manufacturing Co Inc | | | 7,500 | | | | 1,435 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
SkyWest Inc * | | | 36,792 | | | $ | 3,128 | |
Standex International Corp | | | 5,842 | | | | 1,068 | |
Steelcase Inc, Cl A | | | 97,370 | | | | 1,314 | |
Sterling Infrastructure Inc * | | | 3,328 | | | | 483 | |
Tennant Co | | | 12,618 | | | | 1,212 | |
Terex Corp | | | 34,236 | | | | 1,811 | |
Tetra Tech Inc | | | 117,240 | | | | 5,529 | |
Titan International Inc * | | | 58,486 | | | | 475 | |
Toro Co/The | | | 2,800 | | | | 243 | |
Trex Co Inc * | | | 5,890 | | | | 392 | |
Tutor Perini Corp * | | | 52,269 | | | | 1,420 | |
UFP Industries Inc | | | 9,396 | | | | 1,233 | |
United Rentals Inc | | | 2,719 | | | | 2,202 | |
Verra Mobility Corp, Cl A * | | | 78,740 | | | | 2,190 | |
Wabash National Corp | | | 17,973 | | | | 345 | |
Watsco Inc | | | 7,838 | | | | 3,855 | |
WESCO International Inc | | | 27,460 | | | | 4,613 | |
Willdan Group Inc * | | | 6,197 | | | | 254 | |
XPO Inc * | | | 11,482 | | | | 1,234 | |
Xylem Inc/NY | | | 4,342 | | | | 586 | |
| | | | | | | | | |
| | | | | | | | 181,361 | |
Information Technology — 13.6% | | | | |
A10 Networks Inc | | | 113,184 | | | | 1,634 | |
ACI Worldwide Inc * | | | 87,620 | | | | 4,460 | |
Agilysys Inc * | | | 17,117 | | | | 1,865 | |
Alarm.com Holdings Inc * | | | 14,535 | | | | 795 | |
Alkami Technology Inc * | | | 53,937 | | | | 1,701 | |
Amdocs Ltd | | | 6,162 | | | | 539 | |
Amkor Technology Inc | | | 28,193 | | | | 863 | |
ANSYS Inc * | | | 2,600 | | | | 828 | |
Appfolio Inc, Cl A * | | | 3,684 | | | | 867 | |
Arista Networks Inc * | | | 4,900 | | | | 1,881 | |
Arlo Technologies Inc * | | | 64,073 | | | | 776 | |
Arrow Electronics Inc, Cl A * | | | 3,000 | | | | 399 | |
Aspen Technology Inc * | | | 8,071 | | | | 1,928 | |
Axcelis Technologies Inc * | | | 14,005 | | | | 1,468 | |
Badger Meter Inc | | | 4,980 | | | | 1,088 | |
Bel Fuse Inc, Cl B | | | 16,932 | | | | 1,329 | |
Belden Inc | | | 6,000 | | | | 703 | |
Benchmark Electronics Inc | | | 9,000 | | | | 399 | |
Blackbaud Inc, Cl A * | | | 13,912 | | | | 1,178 | |
Cadence Design Systems Inc * | | | 6,328 | | | | 1,715 | |
Calix Inc * | | | 22,676 | | | | 880 | |
Clearfield Inc * | | | 16,240 | | | | 633 | |
CommVault Systems Inc * | | | 19,305 | | | | 2,970 | |
Couchbase Inc * | | | 11,142 | | | | 180 | |
Credo Technology Group Holding Ltd * | | | 14,506 | | | | 447 | |
Descartes Systems Group Inc/The * | | | 12,844 | | | | 1,322 | |
Diodes Inc * | | | 15,000 | | | | 961 | |
Entegris Inc | | | 14,246 | | | | 1,603 | |
EPAM Systems Inc * | | | 4,643 | | | | 924 | |
ePlus Inc * | | | 6,300 | | | | 620 | |
Fabrinet * | | | 6,741 | | | | 1,594 | |
SEI Institutional Managed Trust
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Tax-Managed Small/Mid Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
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COMMON STOCK (continued) |
Fair Isaac Corp * | | | 2,251 | | | $ | 4,375 | |
Gartner Inc * | | | 1,518 | | | | 769 | |
GoDaddy Inc, Cl A * | | | 9,246 | | | | 1,450 | |
Hackett Group Inc/The | | | 37,239 | | | | 978 | |
Ichor Holdings Ltd * | | | 10,411 | | | | 331 | |
Impinj Inc * | | | 3,454 | | | | 748 | |
Insight Enterprises Inc * | | | 21,641 | | | | 4,661 | |
Intapp Inc * | | | 9,684 | | | | 463 | |
Iteris Inc * | | | 140,521 | | | | 1,003 | |
Itron Inc * | | | 10,084 | | | | 1,077 | |
Keysight Technologies Inc * | | | 7,616 | | | | 1,210 | |
Kyndryl Holdings Inc * | | | 21,829 | | | | 502 | |
Lattice Semiconductor Corp * | | | 14,532 | | | | 771 | |
LiveRamp Holdings Inc * | | | 21,398 | | | | 530 | |
MACOM Technology Solutions Holdings Inc * | | | 5,522 | | | | 614 | |
Manhattan Associates Inc * | | | 10,280 | | | | 2,893 | |
Monolithic Power Systems Inc | | | 5,554 | | | | 5,135 | |
Novanta Inc * | | | 12,299 | | | | 2,201 | |
Olo Inc, Cl A * | | | 181,505 | | | | 900 | |
ON Semiconductor Corp * | | | 27,012 | | | | 1,961 | |
Open Text Corp | | | 63,160 | | | | 2,102 | |
OSI Systems Inc * | | | 3,229 | | | | 490 | |
Palo Alto Networks Inc * | | | 2,358 | | | | 806 | |
PC Connection Inc | | | 6,500 | | | | 490 | |
Perficient Inc * | | | 12,505 | | | | 944 | |
Photronics Inc * | | | 253,542 | | | | 6,278 | |
Plexus Corp * | | | 5,600 | | | | 766 | |
Progress Software Corp | | | 5,788 | | | | 390 | |
PTC Inc * | | | 11,879 | | | | 2,146 | |
Q2 Holdings Inc * | | | 27,295 | | | | 2,177 | |
Qualys Inc * | | | 12,281 | | | | 1,578 | |
Rambus Inc * | | | 12,784 | | | | 540 | |
Rimini Street Inc * | | | 136,732 | | | | 253 | |
RingCentral Inc, Cl A * | | | 773 | | | | 24 | |
Sanmina Corp * | | | 33,296 | | | | 2,279 | |
Sapiens International Corp NV | | | 25,074 | | | | 935 | |
ScanSource Inc * | | | 6,359 | | | | 305 | |
Silicon Motion Technology Corp ADR | | | 84,982 | | | | 5,162 | |
SolarWinds Corp | | | 151,165 | | | | 1,973 | |
SPS Commerce Inc * | | | 16,563 | | | | 3,216 | |
Squarespace Inc, Cl A * | | | 13,378 | | | | 621 | |
Super Micro Computer Inc * | | | 865 | | | | 360 | |
Synopsys Inc * | | | 2,761 | | | | 1,398 | |
Teledyne Technologies Inc * | | | 4,854 | | | | 2,124 | |
Teradyne Inc | | | 11,312 | | | | 1,515 | |
TTM Technologies Inc * | | | 45,610 | | | | 832 | |
Turtle Beach Corp * | | | 55,188 | | | | 847 | |
Tyler Technologies Inc * | | | 7,022 | | | | 4,099 | |
Unisys Corp * | | | 42,105 | | | | 239 | |
Verint Systems Inc * | | | 6,537 | | | | 166 | |
Vertex Inc, Cl A * | | | 37,775 | | | | 1,455 | |
Wix.com Ltd * | | | 7,796 | | | | 1,303 | |
Xerox Holdings Corp | | | 103,689 | | | | 1,076 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Zeta Global Holdings Corp, Cl A * | | | 10,700 | | | $ | 319 | |
| | | | | | | | | |
| | | | | | | | 120,330 | |
Materials — 6.1% | | | | |
AdvanSix Inc | | | 22,534 | | | | 685 | |
Alamos Gold Inc, Cl A | | | 47,569 | | | | 948 | |
Albemarle Corp | | | 3,497 | | | | 331 | |
Alpha Metallurgical Resources Inc | | | 1,320 | | | | 312 | |
Ashland Inc | | | 20,865 | | | | 1,815 | |
Aspen Aerogels Inc * | | | 43,252 | | | | 1,198 | |
Avery Dennison Corp | | | 2,472 | | | | 546 | |
Axalta Coating Systems Ltd * | | | 58,337 | | | | 2,111 | |
Balchem Corp | | | 26,772 | | | | 4,712 | |
Carpenter Technology Corp | | | 9,684 | | | | 1,545 | |
Century Aluminum Co * | | | 27,215 | | | | 442 | |
Chemours Co/The | | | 63,688 | | | | 1,294 | |
Cleveland-Cliffs Inc * | | | 228,030 | | | | 2,912 | |
Coeur Mining Inc * | | | 104,637 | | | | 720 | |
Commercial Metals Co, Cl A | | | 177,556 | | | | 9,758 | |
Crown Holdings Inc | | | 4,800 | | | | 460 | |
Ecovyst Inc * | | | 71,046 | | | | 487 | |
FMC Corp | | | 94,649 | | | | 6,241 | |
Fortitude Gold Corp | | | 40,846 | | | | 209 | |
Hawkins Inc | | | 12,136 | | | | 1,547 | |
Kronos Worldwide Inc | | | 57,481 | | | | 716 | |
LSB Industries Inc * | | | 29,272 | | | | 235 | |
Materion Corp | | | 9,421 | | | | 1,054 | |
Minerals Technologies Inc | | | 17,530 | | | | 1,354 | |
NewMarket Corp | | | 1,035 | | | | 571 | |
Packaging Corp of America | | | 2,600 | | | | 560 | |
Rayonier Advanced Materials Inc * | | | 220,506 | | | | 1,887 | |
Reliance Inc | | | 1,282 | | | | 371 | |
Royal Gold Inc, Cl A | | | 2,923 | | | | 410 | |
Silgan Holdings Inc | | | 40,073 | | | | 2,104 | |
SSR Mining Inc | | | 70,167 | | | | 398 | |
Sylvamo Corp | | | 28,641 | | | | 2,459 | |
Universal Stainless & Alloy Products Inc * | | | 72,129 | | | | 2,786 | |
Warrior Met Coal Inc | | | 15,816 | | | | 1,011 | |
| | | | | | | | | |
| | | | | | | | 54,189 | |
Real Estate — 4.0% | | | | |
Alexander's Inc ‡ | | | 5,898 | | | | 1,429 | |
Braemar Hotels & Resorts Inc ‡ | | | 54,201 | | | | 167 | |
CBL & Associates Properties Inc ‡ | | | 25,547 | | | | 644 | |
Centerspace ‡ | | | 14,377 | | | | 1,013 | |
Compass Inc, Cl A * | | | 120,724 | | | | 738 | |
CoStar Group Inc * | | | 25,721 | | | | 1,940 | |
Cushman & Wakefield PLC * | | | 18,177 | | | | 248 | |
Diversified Healthcare Trust ‡ | | | 66,445 | | | | 278 | |
EastGroup Properties Inc ‡ | | | 14,800 | | | | 2,765 | |
Equity Commonwealth *‡ | | | 40,790 | | | | 812 | |
Forestar Group Inc * | | | 9,018 | | | | 292 | |
FRP Holdings Inc * | | | 9,150 | | | | 273 | |
Gaming and Leisure Properties Inc ‡ | | | 113,604 | | | | 5,845 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Small/Mid Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Gladstone Commercial Corp ‡ | | | 24,848 | | | $ | 404 | |
Highwoods Properties Inc ‡ | | | 213,161 | | | | 7,143 | |
Howard Hughes Holdings Inc * | | | 1,339 | | | | 104 | |
Independence Realty Trust Inc ‡ | | | 67,618 | | | | 1,386 | |
Invitation Homes Inc ‡ | | | 23,648 | | | | 834 | |
Newmark Group Inc, Cl A | | | 243,007 | | | | 3,774 | |
One Liberty Properties Inc ‡ | | | 20,367 | | | | 561 | |
Orion Office REIT Inc ‡ | | | 195,977 | | | | 784 | |
Pebblebrook Hotel Trust ‡ | | | 43,818 | | | | 580 | |
Regency Centers Corp ‡ | | | 1,254 | | | | 91 | |
RLJ Lodging Trust ‡ | | | 36,754 | | | | 337 | |
Ryman Hospitality Properties Inc ‡ | | | 10,995 | | | | 1,179 | |
Saul Centers Inc ‡ | | | 8,238 | | | | 346 | |
Seaport Entertainment Group Inc * | | | 148 | | | | 4 | |
Sun Communities Inc ‡ | | | 1,400 | | | | 189 | |
Universal Health Realty Income Trust ‡ | | | 7,566 | | | | 346 | |
Ventas Inc ‡ | | | 7,436 | | | | 477 | |
Xenia Hotels & Resorts Inc ‡ | | | 14,914 | | | | 220 | |
| | | | | | | | | |
| | | | | | | | 35,203 | |
Utilities — 1.0% | | | | |
California Water Service Group, Cl A | | | 28,200 | | | | 1,529 | |
Consolidated Water Co Ltd | | | 11,014 | | | | 278 | |
IDACORP Inc, Cl A | | | 10,909 | | | | 1,125 | |
Middlesex Water Co | | | 8,501 | | | | 555 | |
Northwest Natural Holding Co | | | 5,083 | | | | 207 | |
NRG Energy Inc | | | 5,000 | | | | 455 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Otter Tail Corp | | | 19,000 | | | $ | 1,485 | |
Portland General Electric Co | | | 42,335 | | | | 2,028 | |
Southwest Gas Holdings Inc | | | 5,500 | | | | 406 | |
UGI Corp | | | 6,450 | | | | 161 | |
Unitil Corp | | | 12,924 | | | | 783 | |
York Water Co/The | | | 5,499 | | | | 206 | |
| | | | | | | | | |
| | | | | | | | 9,218 | |
Total Common Stock | | | | | | | | |
(Cost $479,904) ($ Thousands) | | | | | | | 877,546 | |
| | | | Number of Rights | | | | | |
RIGHTS — 0.0% |
Abiomed Inc *‡‡ | | | 967 | | | | – | |
Total Rights | | | | | | | | |
(Cost $—) ($ Thousands) | | | | | | | – | |
| | | | | | | | | |
| | | | | | | | | |
| | | Shares | | | | | |
CASH EQUIVALENT — 1.1% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 9,348,645 | | | | 9,349 | |
Total Cash Equivalent | | | | | | | | |
(Cost $9,349) ($ Thousands) | | | | | | | 9,349 | |
Total Investments in Securities — 99.9% | | | | | | | | |
(Cost $489,253) ($ Thousands) | | $ | 886,895 | |
| | | | | | | | | |
| | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Russell 2000 Index E-MINI | | | 39 | | | | Dec-2024 | | | $ | 4,361 | | | $ | 4,386 | | | $ | 25 | |
S&P Mid Cap 400 Index E-MINI | | | 14 | | | | Dec-2024 | | | | 4,375 | | | | 4,408 | | | | 33 | |
| | | | | | | | | | | $ | 8,736 | | | $ | 8,794 | | | $ | 58 | |
| Percentages are based on Net Assets of $887,533 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
† | Investment in Affiliated Security (see Note 6). |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 877,546 | | | | – | | | | – | | | | 877,546 | |
Rights | | | – | ^ | | | – | | | | – | | | | – | ^ |
Cash Equivalent | | | 9,349 | | | | – | | | | – | | | | 9,349 | |
Total Investments in Securities | | | 886,895 | | | | – | | | | – | | | | 886,895 | |
| ^ | This category includes securities with a value of $0. |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Small/Mid Cap Fund (Concluded)
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 58 | | | | – | | | | – | | | | 58 | |
Total Other Financial Instruments | | | 58 | | | | – | | | | – | | | | 58 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | — | | | $ | 3,198 | | | $ | (3,189 | ) | | $ | (9 | ) | | $ | — | | | $ | — | | | $ | 9 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 9,783 | | | | 157,389 | | | | (157,823 | ) | | | — | | | | — | | | | 9,349 | | | | 452 | | | | — | |
Totals | | $ | 9,783 | | | $ | 160,587 | | | $ | (161,012 | ) | | $ | (9 | ) | | $ | — | | | $ | 9,349 | | | $ | 461 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Mid-Cap Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK — 98.0% |
| | | | | | | | | |
Communication Services — 2.6% | | | | |
Charter Communications Inc, Cl A * | | | 840 | | | $ | 272 | |
Iridium Communications Inc | | | 10,510 | | | | 320 | |
New York Times Co/The, Cl A | | | 1,920 | | | | 107 | |
Omnicom Group Inc | | | 8,506 | | | | 879 | |
Playtika Holding Corp | | | 10,490 | | | | 83 | |
Trade Desk Inc/The, Cl A * | | | 4,740 | | | | 520 | |
| | | | | | | | | |
| | | | | | | | 2,181 | |
Consumer Discretionary — 11.1% | | | | |
Advance Auto Parts Inc | | | 1,006 | | | | 39 | |
Aramark | | | 5,438 | | | | 211 | |
AutoZone Inc * | | | 93 | | | | 293 | |
Bath & Body Works Inc | | | 3,390 | | | | 108 | |
BorgWarner Inc | | | 3,774 | | | | 137 | |
Burlington Stores Inc * | | | 1,773 | | | | 467 | |
Carvana Co, Cl A * | | | 974 | | | | 170 | |
Chipotle Mexican Grill Inc, Cl A * | | | 2,200 | | | | 127 | |
Columbia Sportswear Co | | | 2,647 | | | | 220 | |
Coupang Inc, Cl A * | | | 12,150 | | | | 298 | |
Darden Restaurants Inc | | | 740 | | | | 122 | |
Deckers Outdoor Corp * | | | 600 | | | | 96 | |
Dick's Sporting Goods Inc | | | 590 | | | | 123 | |
Domino's Pizza Inc | | | 270 | | | | 116 | |
DR Horton Inc | | | 1,040 | | | | 198 | |
eBay Inc | | | 6,750 | | | | 440 | |
Gap Inc/The | | | 4,590 | | | | 101 | |
Gentex Corp | | | 6,545 | | | | 194 | |
Grand Canyon Education Inc * | | | 2,635 | | | | 374 | |
H&R Block Inc | | | 2,450 | | | | 156 | |
Hasbro Inc | | | 3,783 | | | | 274 | |
Lennar Corp, Cl A | | | 2,180 | | | | 409 | |
Lennar Corp, Cl B | | | 1,585 | | | | 274 | |
LKQ Corp | | | 6,405 | | | | 256 | |
Mohawk Industries Inc * | | | 500 | | | | 80 | |
Newell Brands Inc, Cl B | | | 8,480 | | | | 65 | |
NVR Inc * | | | 10 | | | | 98 | |
Ollie's Bargain Outlet Holdings Inc * | | | 3,338 | | | | 324 | |
O'Reilly Automotive Inc * | | | 260 | | | | 299 | |
PulteGroup Inc | | | 5,142 | | | | 738 | |
Ross Stores Inc | | | 5,850 | | | | 881 | |
Skechers USA Inc, Cl A * | | | 2,990 | | | | 200 | |
Texas Roadhouse Inc, Cl A | | | 640 | | | | 113 | |
Toll Brothers Inc | | | 860 | | | | 133 | |
TopBuild Corp * | | | 300 | | | | 122 | |
Travel + Leisure Co | | | 1,498 | | | | 69 | |
Ulta Beauty Inc * | | | 280 | | | | 109 | |
Valvoline Inc * | | | 6,003 | | | | 251 | |
Williams-Sonoma Inc | | | 1,820 | | | | 282 | |
Wynn Resorts Ltd | | | 1,040 | | | | 100 | |
YETI Holdings Inc * | | | 2,340 | | | | 96 | |
Yum! Brands Inc | | | 1,140 | | | | 159 | |
| | | | | | | | | |
| | | | | | | | 9,322 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Consumer Staples — 3.6% | | | | |
Boston Beer Co Inc/The, Cl A * | | | 270 | | | $ | 78 | |
Casey's General Stores Inc | | | 498 | | | | 187 | |
Celsius Holdings Inc * | | | 2,720 | | | | 85 | |
Clorox Co/The | | | 670 | | | | 109 | |
Coca-Cola Consolidated Inc | | | 143 | | | | 188 | |
Constellation Brands Inc, Cl A | | | 908 | | | | 234 | |
Darling Ingredients Inc * | | | 5,856 | | | | 218 | |
Dollar Tree Inc * | | | 1,540 | | | | 108 | |
Ingredion Inc | | | 2,172 | | | | 299 | |
Kroger Co/The | | | 4,270 | | | | 245 | |
Lamb Weston Holdings Inc | | | 2,758 | | | | 179 | |
Molson Coors Beverage Co, Cl B | | | 1,500 | | | | 86 | |
Performance Food Group Co * | | | 1,730 | | | | 136 | |
Spectrum Brands Holdings Inc | | | 1,100 | | | | 105 | |
TreeHouse Foods Inc * | | | 5,648 | | | | 237 | |
Tyson Foods Inc, Cl A | | | 5,948 | | | | 354 | |
US Foods Holding Corp * | | | 2,300 | | | | 141 | |
| | | | | | | | | |
| | | | | | | | 2,989 | |
Energy — 4.6% | | | | |
Antero Midstream Corp | | | 12,967 | | | | 195 | |
Baker Hughes Co, Cl A | | | 3,830 | | | | 138 | |
ChampionX Corp | | | 9,626 | | | | 290 | |
Cheniere Energy Inc | | | 3,324 | | | | 598 | |
Coterra Energy Inc | | | 13,078 | | | | 313 | |
Devon Energy Corp | | | 5,903 | | | | 231 | |
Diamondback Energy Inc, Cl A | | | 2,923 | | | | 504 | |
DT Midstream Inc | | | 1,835 | | | | 144 | |
Kinder Morgan Inc | | | 5,050 | | | | 112 | |
Matador Resources Co | | | 1,370 | | | | 68 | |
Permian Resources Corp, Cl A | | | 15,702 | | | | 214 | |
Targa Resources Corp | | | 3,986 | | | | 590 | |
TechnipFMC PLC | | | 13,880 | | | | 364 | |
Williams Cos Inc/The | | | 3,002 | | | | 137 | |
| | | | | | | | | |
| | | | | | | | 3,898 | |
Financials — 18.0% | | | | |
Affiliated Managers Group Inc | | | 590 | | | | 105 | |
Aflac Inc | | | 2,910 | | | | 325 | |
Allstate Corp/The | | | 4,502 | | | | 854 | |
Ally Financial Inc | | | 8,020 | | | | 285 | |
American International Group Inc | | | 4,413 | | | | 323 | |
Ameriprise Financial Inc | | | 460 | | | | 216 | |
Assured Guaranty Ltd | | | 849 | | | | 68 | |
Axis Capital Holdings Ltd | | | 5,320 | | | | 424 | |
Bank of New York Mellon Corp/The | | | 5,130 | | | | 369 | |
Bank OZK | | | 3,330 | | | | 143 | |
Block Inc, Cl A * | | | 5,596 | | | | 376 | |
Brown & Brown Inc | | | 2,780 | | | | 288 | |
Cboe Global Markets Inc | | | 3,353 | | | | 687 | |
Chimera Investment Corp ‡ | | | 6,744 | | | | 107 | |
Cincinnati Financial Corp | | | 780 | | | | 106 | |
Coinbase Global Inc, Cl A * | | | 520 | | | | 93 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Mid-Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Commerce Bancshares Inc/MO | | | 5,850 | | | $ | 347 | |
Discover Financial Services | | | 2,823 | | | | 396 | |
Equitable Holdings Inc | | | 8,440 | | | | 355 | |
Euronet Worldwide Inc * | | | 1,790 | | | | 178 | |
Everest Group Ltd | | | 637 | | | | 250 | |
Fifth Third Bancorp | | | 5,240 | | | | 224 | |
First Hawaiian Inc | | | 3,920 | | | | 91 | |
First Horizon Corp | | | 27,291 | | | | 424 | |
FNB Corp/PA | | | 6,230 | | | | 88 | |
Global Payments Inc | | | 3,788 | | | | 388 | |
Hartford Financial Services Group Inc/The | | | 2,100 | | | | 247 | |
Janus Henderson Group PLC | | | 10,759 | | | | 410 | |
KeyCorp | | | 13,162 | | | | 220 | |
M&T Bank Corp | | | 3,660 | | | | 652 | |
MGIC Investment Corp | | | 21,150 | | | | 541 | |
MSCI Inc, Cl A | | | 1,061 | | | | 618 | |
Pinnacle Financial Partners Inc | | | 4,902 | | | | 480 | |
Popular Inc | | | 5,170 | | | | 518 | |
Primerica Inc | | | 1,673 | | | | 444 | |
Prosperity Bancshares Inc | | | 1,660 | | | | 120 | |
Reinsurance Group of America Inc, Cl A | | | 1,740 | | | | 379 | |
Rithm Capital Corp ‡ | | | 7,330 | | | | 83 | |
Rocket Cos Inc, Cl A * | | | 5,060 | | | | 97 | |
SLM Corp | | | 13,568 | | | | 310 | |
Stifel Financial Corp | | | 4,442 | | | | 417 | |
Synchrony Financial | | | 12,240 | | | | 611 | |
Virtu Financial Inc, Cl A | | | 8,160 | | | | 249 | |
Voya Financial Inc | | | 3,470 | | | | 275 | |
W R Berkley Corp | | | 3,168 | | | | 180 | |
Webster Financial Corp | | | 3,651 | | | | 170 | |
Western Union Co/The | | | 14,370 | | | | 171 | |
Willis Towers Watson PLC | | | 1,074 | | | | 316 | |
Zions Bancorp NA | | | 2,530 | | | | 119 | |
| | | | | | | | | |
| | | | | | | | 15,137 | |
Health Care — 10.0% | | | | |
Align Technology Inc * | | | 398 | | | | 101 | |
Alnylam Pharmaceuticals Inc * | | | 890 | | | | 245 | |
Cencora Inc, Cl A | | | 1,416 | | | | 319 | |
Chemed Corp | | | 484 | | | | 291 | |
Dexcom Inc * | | | 1,040 | | | | 70 | |
Doximity Inc, Cl A * | | | 2,210 | | | | 96 | |
Elanco Animal Health Inc * | | | 6,030 | | | | 89 | |
Encompass Health Corp | | | 5,785 | | | | 559 | |
Envista Holdings Corp * | | | 5,336 | | | | 105 | |
Exact Sciences Corp * | | | 1,640 | | | | 112 | |
Exelixis Inc * | | | 14,756 | | | | 383 | |
Hologic Inc * | | | 4,992 | | | | 407 | |
Humana Inc | | | 888 | | | | 281 | |
IDEXX Laboratories Inc * | | | 850 | | | | 429 | |
Illumina Inc * | | | 2,244 | | | | 293 | |
Incyte Corp * | | | 4,193 | | | | 277 | |
Inspire Medical Systems Inc * | | | 330 | | | | 70 | |
Insulet Corp * | | | 1,016 | | | | 236 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
IQVIA Holdings Inc * | | | 1,778 | | | $ | 421 | |
Labcorp Holdings Inc | | | 1,430 | | | | 320 | |
Medpace Holdings Inc * | | | 1,690 | | | | 564 | |
Mettler-Toledo International Inc * | | | 241 | | | | 361 | |
Molina Healthcare Inc * | | | 620 | | | | 214 | |
Neurocrine Biosciences Inc * | | | 1,840 | | | | 212 | |
Organon & Co | | | 14,100 | | | | 270 | |
Penumbra Inc * | | | 660 | | | | 128 | |
Quest Diagnostics Inc | | | 490 | | | | 76 | |
Repligen Corp * | | | 650 | | | | 97 | |
ResMed Inc | | | 1,720 | | | | 420 | |
Royalty Pharma PLC, Cl A | | | 2,713 | | | | 77 | |
Tenet Healthcare Corp * | | | 390 | | | | 65 | |
United Therapeutics Corp * | | | 330 | | | | 118 | |
Universal Health Services Inc, Cl B | | | 800 | | | | 183 | |
Veeva Systems Inc, Cl A * | | | 1,314 | | | | 276 | |
Zimmer Biomet Holdings Inc | | | 2,533 | | | | 273 | |
| | | | | | | | | |
| | | | | | | | 8,438 | |
Industrials — 17.2% | | | | |
Acuity Brands Inc | | | 280 | | | | 77 | |
AECOM | | | 4,870 | | | | 503 | |
AerCap Holdings NV | | | 3,448 | | | | 327 | |
Allegion plc | | | 2,858 | | | | 416 | |
Allison Transmission Holdings Inc | | | 2,950 | | | | 283 | |
AMETEK Inc | | | 427 | | | | 73 | |
Armstrong World Industries Inc | | | 1,932 | | | | 254 | |
Axon Enterprise Inc * | | | 170 | | | | 68 | |
AZEK Co Inc/The, Cl A * | | | 3,310 | | | | 155 | |
Cintas Corp | | | 1,528 | | | | 315 | |
Clean Harbors Inc * | | | 2,783 | | | | 673 | |
Comfort Systems USA Inc | | | 630 | | | | 246 | |
Curtiss-Wright Corp | | | 330 | | | | 108 | |
Dover Corp | | | 2,449 | | | | 470 | |
EMCOR Group Inc | | | 690 | | | | 297 | |
Esab Corp | | | 472 | | | | 50 | |
Expeditors International of Washington Inc | | | 950 | | | | 125 | |
Fastenal Co, Cl A | | | 6,447 | | | | 460 | |
Flowserve Corp | | | 4,560 | | | | 236 | |
Genpact Ltd | | | 17,338 | | | | 680 | |
Hexcel Corp, Cl A | | | 3,002 | | | | 186 | |
Howmet Aerospace Inc | | | 9,830 | | | | 985 | |
L3Harris Technologies Inc | | | 852 | | | | 203 | |
Leidos Holdings Inc | | | 3,085 | | | | 503 | |
Lyft Inc, Cl A * | | | 8,160 | | | | 104 | |
MasTec Inc * | | | 1,820 | | | | 224 | |
Otis Worldwide Corp | | | 4,585 | | | | 477 | |
Owens Corning | | | 680 | | | | 120 | |
Parker-Hannifin Corp, Cl A | | | 991 | | | | 626 | |
Parsons Corp * | | | 670 | | | | 69 | |
Paychex Inc | | | 2,510 | | | | 337 | |
Quanta Services Inc | | | 370 | | | | 110 | |
Regal Rexnord Corp | | | 2,891 | | | | 480 | |
Republic Services Inc | | | 1,344 | | | | 270 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Mid-Cap Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Snap-on Inc | | | 522 | | | $ | 151 | |
Tetra Tech Inc | | | 8,350 | | | | 394 | |
Textron Inc | | | 4,202 | | | | 372 | |
Trane Technologies PLC | | | 413 | | | | 160 | |
TransDigm Group Inc | | | 170 | | | | 243 | |
United Rentals Inc | | | 718 | | | | 581 | |
Verisk Analytics Inc, Cl A | | | 1,270 | | | | 340 | |
WESCO International Inc | | | 2,144 | | | | 360 | |
Westinghouse Air Brake Technologies Corp | | | 1,489 | | | | 271 | |
Woodward Inc | | | 1,510 | | | | 259 | |
WW Grainger Inc | | | 633 | | | | 658 | |
Xylem Inc/NY | | | 1,268 | | | | 171 | |
| | | | | | | | | |
| | | | | | | | 14,470 | |
Information Technology — 11.8% | | | | |
Akamai Technologies Inc * | | | 3,202 | | | | 323 | |
Amdocs Ltd | | | 1,246 | | | | 109 | |
Amphenol Corp, Cl A | | | 1,870 | | | | 122 | |
Appfolio Inc, Cl A * | | | 1,240 | | | | 292 | |
AppLovin Corp, Cl A * | | | 1,800 | | | | 235 | |
Arrow Electronics Inc, Cl A * | | | 480 | | | | 64 | |
Cirrus Logic Inc * | | | 2,590 | | | | 322 | |
Cloudflare Inc, Cl A * | | | 1,698 | | | | 137 | |
Cognizant Technology Solutions Corp, Cl A | | | 1,620 | | | | 125 | |
Corning Inc, Cl B | | | 11,920 | | | | 538 | |
Datadog Inc, Cl A * | | | 2,325 | | | | 267 | |
DocuSign Inc, Cl A * | | | 4,560 | | | | 283 | |
Elastic NV * | | | 1,610 | | | | 124 | |
Entegris Inc | | | 670 | | | | 75 | |
F5 Inc, Cl A * | | | 2,462 | | | | 542 | |
Fair Isaac Corp * | | | 103 | | | | 200 | |
Gen Digital Inc | | | 11,399 | | | | 313 | |
Gitlab Inc, Cl A * | | | 4,230 | | | | 218 | |
HP Inc | | | 4,740 | | | | 170 | |
HubSpot Inc * | | | 377 | | | | 200 | |
Keysight Technologies Inc * | | | 4,030 | | | | 640 | |
Lattice Semiconductor Corp * | | | 1,510 | | | | 80 | |
Manhattan Associates Inc * | | | 1,335 | | | | 376 | |
Microchip Technology Inc | | | 4,676 | | | | 375 | |
Monolithic Power Systems Inc | | | 130 | | | | 120 | |
Motorola Solutions Inc | | | 220 | | | | 99 | |
NetApp Inc | | | 6,328 | | | | 782 | |
ON Semiconductor Corp * | | | 1,400 | | | | 102 | |
Onto Innovation Inc * | | | 340 | | | | 71 | |
Palantir Technologies Inc, Cl A * | | | 9,860 | | | | 367 | |
Pegasystems Inc | | | 3,281 | | | | 240 | |
PTC Inc * | | | 1,612 | | | | 291 | |
Pure Storage Inc, Cl A * | | | 1,350 | | | | 68 | |
Qorvo Inc * | | | 2,925 | | | | 302 | |
Smartsheet Inc, Cl A * | | | 9,856 | | | | 546 | |
Synopsys Inc * | | | 264 | | | | 134 | |
TD SYNNEX Corp | | | 2,110 | | | | 253 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
VeriSign Inc * | | | 2,360 | | | $ | 448 | |
| | | | | | | | | |
| | | | | | | | 9,953 | |
Materials — 3.5% | | | | |
Alcoa Corp | | | 3,100 | | | | 120 | |
AptarGroup Inc | | | 1,530 | | | | 245 | |
Arcadium Lithium PLC * | | | 24,370 | | | | 69 | |
Ashland Inc | | | 1,630 | | | | 142 | |
Axalta Coating Systems Ltd * | | | 5,194 | | | | 188 | |
Berry Global Group Inc | | | 3,229 | | | | 219 | |
DuPont de Nemours Inc | | | 1,220 | | | | 109 | |
Eagle Materials Inc | | | 1,220 | | | | 351 | |
FMC Corp | | | 4,710 | | | | 311 | |
International Flavors & Fragrances Inc | | | 2,506 | | | | 263 | |
NewMarket Corp | | | 423 | | | | 233 | |
Packaging Corp of America | | | 630 | | | | 136 | |
PPG Industries Inc | | | 650 | | | | 86 | |
Royal Gold Inc, Cl A | | | 1,210 | | | | 170 | |
Scotts Miracle-Gro Co/The, Cl A | | | 1,148 | | | | 99 | |
SSR Mining Inc | | | 17,966 | | | | 102 | |
Vulcan Materials Co | | | 410 | | | | 103 | |
| | | | | | | | | |
| | | | | | | | 2,946 | |
Real Estate — 8.4% | | | | |
Agree Realty Corp ‡ | | | 4,330 | | | | 326 | |
Alexandria Real Estate Equities Inc ‡ | | | 2,889 | | | | 343 | |
BXP Inc ‡ | | | 5,010 | | | | 403 | |
Camden Property Trust ‡ | | | 1,190 | | | | 147 | |
CoStar Group Inc * | | | 1,850 | | | | 140 | |
Cousins Properties Inc ‡ | | | 7,770 | | | | 229 | |
CubeSmart ‡ | | | 1,790 | | | | 96 | |
EPR Properties, Cl A ‡ | | | 7,190 | | | | 353 | |
Equity LifeStyle Properties Inc ‡ | | | 2,280 | | | | 163 | |
Equity Residential ‡ | | | 5,251 | | | | 391 | |
Essex Property Trust Inc ‡ | | | 771 | | | | 228 | |
Federal Realty Investment Trust ‡ | | | 956 | | | | 110 | |
First Industrial Realty Trust Inc ‡ | | | 1,560 | | | | 87 | |
Healthpeak Properties Inc ‡ | | | 8,940 | | | | 204 | |
Host Hotels & Resorts Inc ‡ | | | 6,136 | | | | 108 | |
Invitation Homes Inc ‡ | | | 2,600 | | | | 92 | |
Kilroy Realty Corp ‡ | | | 3,460 | | | | 134 | |
Lamar Advertising Co, Cl A ‡ | | | 1,038 | | | | 139 | |
Mid-America Apartment Communities Inc ‡ | | | 2,442 | | | | 388 | |
National Storage Affiliates Trust ‡ | | | 7,330 | | | | 353 | |
Park Hotels & Resorts Inc ‡ | | | 25,510 | | | | 360 | |
Rexford Industrial Realty Inc ‡ | | | 4,790 | | | | 241 | |
SBA Communications Corp, Cl A ‡ | | | 1,260 | | | | 303 | |
Simon Property Group Inc ‡ | | | 3,533 | | | | 597 | |
STAG Industrial Inc ‡ | | | 7,100 | | | | 277 | |
UDR Inc ‡ | | | 4,880 | | | | 221 | |
Ventas Inc ‡ | | | 2,974 | | | | 191 | |
VICI Properties Inc, Cl A ‡ | | | 4,260 | | | | 142 | |
Welltower Inc ‡ | | | 2,345 | | | | 300 | |
| | | | | | | | | |
| | | | | | | | 7,066 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Mid-Cap Fund (Concluded)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Utilities — 7.2% | | | | |
Alliant Energy Corp | | | 1,490 | | | $ | 91 | |
Ameren Corp | | | 1,340 | | | | 117 | |
American Water Works Co Inc | | | 730 | | | | 107 | |
Brookfield Renewable Corp, Cl A | | | 7,280 | | | | 238 | |
CenterPoint Energy Inc | | | 5,173 | | | | 152 | |
Clearway Energy Inc, Cl A | | | 2,830 | | | | 81 | |
Clearway Energy Inc, Cl C | | | 7,950 | | | | 244 | |
CMS Energy Corp | | | 1,770 | | | | 125 | |
Consolidated Edison Inc | | | 810 | | | | 84 | |
Constellation Energy Corp | | | 410 | | | | 107 | |
DTE Energy Co | | | 2,503 | | | | 321 | |
Entergy Corp | | | 4,841 | | | | 637 | |
Evergy Inc | | | 5,828 | | | | 361 | |
Eversource Energy | | | 6,090 | | | | 414 | |
Exelon Corp | | | 2,860 | | | | 116 | |
FirstEnergy Corp | | | 1,760 | | | | 78 | |
IDACORP Inc, Cl A | | | 972 | | | | 100 | |
NiSource Inc | | | 14,267 | | | | 494 | |
NRG Energy Inc | | | 4,255 | | | | 388 | |
PPL Corp | | | 3,760 | | | | 124 | |
Public Service Enterprise Group Inc | | | 7,560 | | | | 675 | |
Vistra Corp | | | 1,780 | | | | 211 | |
WEC Energy Group Inc | | | 4,662 | | | | 448 | |
Xcel Energy Inc | | | 4,880 | | | | 319 | |
| | | | | | | | | |
| | | | | | | | 6,032 | |
Total Common Stock | | | | | | | | |
(Cost $66,512) ($ Thousands) | | | | | | | 82,432 | |
| | | | | | | | | |
EXCHANGE TRADED FUND — 0.4% |
| | | | | | | | | |
iShares Russell Mid-Cap Value ETF | | | 2,532 | | | | 335 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Total Exchange Traded Fund | | | | | | | | |
(Cost $278) ($ Thousands) | | | | | | | 335 | |
| | | | Number of
Rights | | | | | |
RIGHTS — 0.0% |
Abiomed Inc *‡‡ | | | 160 | | | | – | |
Total Rights | | | | | | | | |
(Cost $—) ($ Thousands) | | | | | | | – | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
CASH EQUIVALENT — 1.5% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 1,256,685 | | | $ | 1,257 | |
Total Cash Equivalent | | | | | | | | |
(Cost $1,257) ($ Thousands) | | | | | | | 1,257 | |
Total Investments in Securities — 99.9% | | | | | | | | |
(Cost $68,047) ($ Thousands) | | $ | 84,024 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Mid-Cap Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
S&P Mid Cap 400 Index E-MINI | | | 2 | | | | Dec-2024 | | | $ | 622 | | | $ | 630 | | | $ | 8 | |
| | | | | | | | | | | | | | | | | | | | | |
| Percentages are based on Net Assets of $84,078 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 82,432 | | | | – | | | | – | | | | 82,432 | |
Exchange Traded Fund | | | 335 | | | | – | | | | – | | | | 335 | |
Rights | | | – | ^ | | | – | | | | – | | | | – | ^ |
Cash Equivalent | | | 1,257 | | | | – | | | | – | | | | 1,257 | |
Total Investments in Securities | | | 84,024 | | | | – | | | | – | | | | 84,024 | |
| ^ | This category includes securities with a value of $0. |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 8 | | | | – | | | | – | | | | 8 | |
Total Other Financial Instruments | | | 8 | | | | – | | | | – | | | | 8 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | $ | 1,512 | | | $ | 13,553 | | | $ | (13,808 | ) | | $ | — | | | $ | — | | | $ | 1,257 | | | $ | 78 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
U.S. Managed Volatility Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK — 98.6% |
| | | | | | | | | |
Communication Services — 8.5% | | | | |
Alphabet Inc, Cl C | | | 14,557 | | | $ | 2,434 | |
AT&T Inc | | | 507,635 | | | | 11,168 | |
Comcast Corp, Cl A | | | 253,616 | | | | 10,594 | |
Electronic Arts Inc | | | 17,262 | | | | 2,476 | |
EverQuote Inc, Cl A * | | | 1,177 | | | | 25 | |
Fox Corp, Cl A | | | 76,686 | | | | 3,246 | |
Fox Corp, Cl B | | | 23,590 | | | | 915 | |
IDT Corp, Cl B | | | 3,584 | | | | 137 | |
New York Times Co/The, Cl A | | | 25,984 | | | | 1,447 | |
Omnicom Group Inc | | | 22,329 | | | | 2,309 | |
Scholastic Corp, Cl B | | | 1,757 | | | | 56 | |
SK Telecom Co Ltd ADR | | | 58,950 | | | | 1,401 | |
Spok Holdings Inc | | | 9,424 | | | | 142 | |
Spotify Technology SA * | | | 6,574 | | | | 2,423 | |
TEGNA Inc | | | 120,120 | | | | 1,895 | |
T-Mobile US Inc | | | 13,600 | | | | 2,806 | |
Verizon Communications Inc | | | 265,574 | | | | 11,927 | |
| | | | | | | | | |
| | | | | | | | 55,401 | |
Consumer Discretionary — 8.5% | | | | |
Amazon.com Inc, Cl A * | | | 10,836 | | | | 2,019 | |
AutoZone Inc * | | | 1,090 | | | | 3,434 | |
BorgWarner Inc | | | 33,200 | | | | 1,205 | |
Canadian Tire Corp Ltd, Cl A | | | 13,300 | | | | 1,596 | |
Chipotle Mexican Grill Inc, Cl A * | | | 3,950 | | | | 228 | |
Coupang Inc, Cl A * | | | 8,594 | | | | 211 | |
Domino's Pizza Inc | | | 2,422 | | | | 1,042 | |
eBay Inc | | | 60,099 | | | | 3,913 | |
Garmin Ltd | | | 10,656 | | | | 1,876 | |
Gentex Corp | | | 121,864 | | | | 3,618 | |
Genuine Parts Co | | | 25,453 | | | | 3,555 | |
Graham Holdings Co, Cl B | | | 44 | | | | 36 | |
Grand Canyon Education Inc * | | | 18,921 | | | | 2,684 | |
H&R Block Inc | | | 68,440 | | | | 4,349 | |
Honda Motor Co Ltd ADR | | | 84,980 | | | | 2,696 | |
JAKKS Pacific Inc * | | | 1,549 | | | | 40 | |
Murphy USA Inc | | | 9,918 | | | | 4,888 | |
O'Reilly Automotive Inc * | | | 3,406 | | | | 3,922 | |
Ross Stores Inc | | | 13,669 | | | | 2,057 | |
Smith & Wesson Brands Inc | | | 1,270 | | | | 16 | |
Sturm Ruger & Co Inc | | | 614 | | | | 26 | |
Texas Roadhouse Inc, Cl A | | | 20,479 | | | | 3,617 | |
TJX Cos Inc/The | | | 22,040 | | | | 2,591 | |
Toyota Motor Corp ADR | | | 5,200 | | | | 929 | |
Tractor Supply Co | | | 7,495 | | | | 2,180 | |
Yum! Brands Inc | | | 15,722 | | | | 2,196 | |
| | | | | | | | | |
| | | | | | | | 54,924 | |
Consumer Staples — 16.2% | | | | |
Altria Group Inc | | | 118,392 | | | | 6,043 | |
Andersons Inc/The | | | 1,683 | | | | 84 | |
Archer-Daniels-Midland Co | | | 87,440 | | | | 5,224 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
BellRing Brands Inc * | | | 1,174 | | | $ | 71 | |
Bunge Global SA | | | 27,854 | | | | 2,692 | |
Cal-Maine Foods Inc | | | 8,086 | | | | 605 | |
Campbell Soup Co | | | 38,996 | | | | 1,908 | |
Casey's General Stores Inc | | | 773 | | | | 290 | |
Central Garden & Pet Co, Cl A * | | | 5,226 | | | | 164 | |
Church & Dwight Co Inc | | | 14,087 | | | | 1,475 | |
Clorox Co/The | | | 17,463 | | | | 2,845 | |
Coca-Cola Co/The | | | 15,271 | | | | 1,097 | |
Coca-Cola Consolidated Inc | | | 1,743 | | | | 2,294 | |
Colgate-Palmolive Co | | | 60,665 | | | | 6,298 | |
Conagra Brands Inc | | | 155,837 | | | | 5,068 | |
Costco Wholesale Corp | | | 461 | | | | 409 | |
Dole PLC | | | 25,513 | | | | 416 | |
Energizer Holdings Inc | | | 11,045 | | | | 351 | |
Flowers Foods Inc | | | 144,021 | | | | 3,323 | |
Fresh Del Monte Produce Inc | | | 13,662 | | | | 404 | |
General Mills Inc | | | 69,631 | | | | 5,142 | |
Herbalife Ltd * | | | 2,010 | | | | 14 | |
Hormel Foods Corp | | | 4,472 | | | | 142 | |
Ingles Markets Inc, Cl A | | | 3,562 | | | | 266 | |
Ingredion Inc | | | 47,426 | | | | 6,518 | |
J & J Snack Foods Corp | | | 2,665 | | | | 459 | |
John B Sanfilippo & Son Inc | | | 3,271 | | | | 308 | |
Kellanova | | | 55,920 | | | | 4,513 | |
Keurig Dr Pepper Inc | | | 28,443 | | | | 1,066 | |
Kimberly-Clark Corp | | | 11,991 | | | | 1,706 | |
Kraft Heinz Co/The | | | 209,308 | | | | 7,349 | |
Kroger Co/The | | | 92,600 | | | | 5,306 | |
Lancaster Colony Corp | | | 2,223 | | | | 392 | |
Loblaw Cos Ltd | | | 8,500 | | | | 1,133 | |
Mama's Creations * | | | 17,381 | | | | 127 | |
Molson Coors Beverage Co, Cl B | | | 74,840 | | | | 4,305 | |
National Beverage Corp, Cl A | | | 397 | | | | 19 | |
Oil-Dri Corp of America | | | 2,422 | | | | 167 | |
PepsiCo Inc | | | 5,521 | | | | 939 | |
Philip Morris International Inc | | | 17,588 | | | | 2,135 | |
Pilgrim's Pride Corp * | | | 41,303 | | | | 1,902 | |
Post Holdings Inc * | | | 23,919 | | | | 2,769 | |
Primo Water Corp | | | 10,761 | | | | 272 | |
Procter & Gamble Co/The | | | 13,441 | | | | 2,328 | |
Reynolds Consumer Products Inc | | | 27,925 | | | | 868 | |
Seaboard Corp | | | 418 | | | | 1,311 | |
Simply Good Foods Co/The * | | | 2,339 | | | | 81 | |
SpartanNash Co | | | 5,106 | | | | 114 | |
Sprouts Farmers Market Inc * | | | 3,445 | | | | 380 | |
Sysco Corp, Cl A | | | 25,376 | | | | 1,981 | |
TreeHouse Foods Inc * | | | 5,680 | | | | 238 | |
Tyson Foods Inc, Cl A | | | 28,895 | | | | 1,721 | |
Universal Corp/VA | | | 4,615 | | | | 245 | |
USANA Health Sciences Inc * | | | 4,346 | | | | 165 | |
Vector Group Ltd | | | 1,314 | | | | 20 | |
Village Super Market Inc, Cl A | | | 7,497 | | | | 238 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
U.S. Managed Volatility Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Vita Coco Co Inc/The * | | | 6,139 | | | $ | 174 | |
Vital Farms Inc * | | | 5,411 | | | | 190 | |
Walmart Inc | | | 78,701 | | | | 6,355 | |
WD-40 Co | | | 934 | | | | 241 | |
Weis Markets Inc | | | 2,961 | | | | 204 | |
WK Kellogg Co | | | 16,258 | | | | 278 | |
| | | | | | | | | |
| | | | | | | | 105,142 | |
Energy — 2.7% | | | | |
Chevron Corp | | | 35,987 | | | | 5,300 | |
CONSOL Energy Inc | | | 915 | | | | 96 | |
Dorian LPG Ltd | | | 1,020 | | | | 35 | |
DT Midstream Inc | | | 37,946 | | | | 2,985 | |
Expand Energy Corp | | | 8,581 | | | | 706 | |
Exxon Mobil Corp | | | 63,017 | | | | 7,387 | |
Gulfport Energy Corp * | | | 1,648 | | | | 249 | |
International Seaways Inc | | | 421 | | | | 22 | |
Teekay Corp * | | | 18,506 | | | | 170 | |
Teekay Tankers Ltd, Cl A | | | 4,653 | | | | 271 | |
| | | | | | | | | |
| | | | | | | | 17,221 | |
Financials — 11.9% | | | | |
Aflac Inc | | | 64,544 | | | | 7,216 | |
Allstate Corp/The | | | 24,454 | | | | 4,638 | |
American Express Co | | | 7,625 | | | | 2,068 | |
American Financial Group Inc/OH | | | 4,961 | | | | 668 | |
Ameriprise Financial Inc | | | 3,785 | | | | 1,778 | |
Axis Capital Holdings Ltd | | | 21,800 | | | | 1,735 | |
Banco Latinoamericano de Comercio Exterior SA, Cl E | | | 2,297 | | | | 75 | |
Bank of New York Mellon Corp/The | | | 124,417 | | | | 8,941 | |
Berkshire Hathaway Inc, Cl B * | | | 7,701 | | | | 3,544 | |
Canadian Imperial Bank of Commerce | | | 26,100 | | | | 1,602 | |
Cboe Global Markets Inc | | | 27,314 | | | | 5,596 | |
Chicago Atlantic Real Estate Finance Inc ‡ | | | 4,043 | | | | 63 | |
CME Group Inc, Cl A | | | 11,301 | | | | 2,494 | |
Corpay Inc * | | | 4,246 | | | | 1,328 | |
Diamond Hill Investment Group Inc | | | 26 | | | | 4 | |
Employers Holdings Inc | | | 8,170 | | | | 392 | |
Everest Group Ltd | | | 5,600 | | | | 2,194 | |
Hartford Financial Services Group Inc/The | | | 55,679 | | | | 6,548 | |
Mastercard Inc, Cl A | | | 5,096 | | | | 2,516 | |
Mercury General Corp | | | 4,338 | | | | 273 | |
MetLife Inc | | | 11,900 | | | | 981 | |
Northeast Community Bancorp | | | 10,956 | | | | 290 | |
OceanFirst Financial Corp | | | 62,727 | | | | 1,166 | |
Old Republic International Corp | | | 80,355 | | | | 2,846 | |
Palomar Holdings Inc, Cl A * | | | 576 | | | | 55 | |
Popular Inc | | | 5,521 | | | | 554 | |
Progressive Corp/The | | | 10,192 | | | | 2,586 | |
Reinsurance Group of America Inc, Cl A | | | 3,710 | | | | 808 | |
Safety Insurance Group Inc | | | 2,571 | | | | 210 | |
Selective Insurance Group Inc | | | 2,111 | | | | 197 | |
Sixth Street Specialty Lending Inc | | | 63,350 | | | | 1,301 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Skyward Specialty Insurance Group Inc * | | | 6,943 | | | $ | 283 | |
Travelers Cos Inc/The | | | 1,620 | | | | 379 | |
Universal Insurance Holdings Inc | | | 9,331 | | | | 207 | |
Unum Group | | | 3,064 | | | | 182 | |
Visa Inc, Cl A | | | 8,030 | | | | 2,208 | |
W R Berkley Corp | | | 10,567 | | | | 599 | |
Western Union Co/The | | | 356,544 | | | | 4,254 | |
Willis Towers Watson PLC | | | 14,498 | | | | 4,270 | |
| | | | | | | | | |
| | | | | | | | 77,049 | |
Health Care — 16.1% | | | | |
AbbVie Inc | | | 14,157 | | | | 2,796 | |
ACADIA Pharmaceuticals Inc * | | | 7,730 | | | | 119 | |
Addus HomeCare Corp * | | | 1,482 | | | | 197 | |
ADMA Biologics Inc * | | | 7,500 | | | | 150 | |
Alkermes PLC * | | | 12,143 | | | | 340 | |
Amgen Inc, Cl A | | | 4,200 | | | | 1,353 | |
Amphastar Pharmaceuticals Inc * | | | 1,288 | | | | 63 | |
ANI Pharmaceuticals Inc * | | | 2,408 | | | | 144 | |
Anika Therapeutics Inc * | | | 9,827 | | | | 243 | |
Arcellx Inc * | | | 290 | | | | 24 | |
Ardelyx Inc * | | | 6,387 | | | | 44 | |
Boston Scientific Corp * | | | 27,242 | | | | 2,283 | |
Bristol-Myers Squibb Co | | | 169,909 | | | | 8,791 | |
Cardinal Health Inc | | | 73,854 | | | | 8,162 | |
Catalyst Pharmaceuticals Inc * | | | 10,561 | | | | 210 | |
Cencora Inc, Cl A | | | 26,932 | | | | 6,062 | |
Cigna Group/The | | | 23,162 | | | | 8,024 | |
Corcept Therapeutics Inc * | | | 2,132 | | | | 99 | |
CVS Health Corp | | | 67,200 | | | | 4,226 | |
Elevance Health Inc | | | 278 | | | | 145 | |
Entrada Therapeutics Inc * | | | 1,271 | | | | 20 | |
Exelixis Inc * | | | 112,964 | | | | 2,931 | |
Gilead Sciences Inc | | | 126,739 | | | | 10,626 | |
Haemonetics Corp * | | | 519 | | | | 42 | |
Halozyme Therapeutics Inc * | | | 4,843 | | | | 277 | |
Harmony Biosciences Holdings Inc * | | | 2,434 | | | | 97 | |
HealthStream Inc | | | 9,574 | | | | 276 | |
Hims & Hers Health Inc * | | | 6,292 | | | | 116 | |
Hologic Inc * | | | 34,605 | | | | 2,819 | |
Incyte Corp * | | | 56,979 | | | | 3,766 | |
Innoviva Inc * | | | 10,789 | | | | 208 | |
iRadimed Corp | | | 2,534 | | | | 127 | |
Ironwood Pharmaceuticals Inc, Cl A * | | | 6,894 | | | | 28 | |
Jazz Pharmaceuticals PLC * | | | 30,632 | | | | 3,413 | |
Johnson & Johnson | | | 18,349 | | | | 2,974 | |
Kiniksa Pharmaceuticals International Plc, Cl A * | | | 6,445 | | | | 161 | |
Krystal Biotech Inc * | | | 712 | | | | 130 | |
Lantheus Holdings Inc * | | | 905 | | | | 99 | |
LeMaitre Vascular Inc | | | 507 | | | | 47 | |
Ligand Pharmaceuticals Inc * | | | 581 | | | | 58 | |
McKesson Corp | | | 15,109 | | | | 7,470 | |
Medpace Holdings Inc * | | | 1,253 | | | | 418 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
U.S. Managed Volatility Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Merck & Co Inc | | | 81,740 | | | $ | 9,282 | |
Mesa Laboratories Inc | | | 367 | | | | 48 | |
MiMedx Group Inc * | | | 20,128 | | | | 119 | |
Myriad Genetics Inc * | | | 683 | | | | 19 | |
National HealthCare Corp | | | 793 | | | | 100 | |
Neurocrine Biosciences Inc * | | | 13,941 | | | | 1,606 | |
Option Care Health Inc * | | | 4,476 | | | | 140 | |
OraSure Technologies Inc * | | | 23,120 | | | | 99 | |
Organon & Co | | | 17,388 | | | | 333 | |
Pfizer Inc | | | 40,110 | | | | 1,161 | |
Prestige Consumer Healthcare Inc, Cl A * | | | 4,537 | | | | 327 | |
Protagonist Therapeutics Inc * | | | 4,043 | | | | 182 | |
Quipt Home Medical Corp * | | | 2,750 | | | | 8 | |
Regeneron Pharmaceuticals Inc * | | | 1,647 | | | | 1,731 | |
Royalty Pharma PLC, Cl A | | | 25,749 | | | | 729 | |
SIGA Technologies Inc | | | 6,550 | | | | 44 | |
Stryker Corp | | | 5,576 | | | | 2,014 | |
Supernus Pharmaceuticals Inc * | | | 3,306 | | | | 103 | |
Tactile Systems Technology Inc * | | | 4,668 | | | | 68 | |
UFP Technologies Inc * | | | 594 | | | | 188 | |
United Therapeutics Corp * | | | 11,441 | | | | 4,100 | |
Utah Medical Products Inc | | | 203 | | | | 14 | |
Vanda Pharmaceuticals Inc * | | | 17,009 | | | | 80 | |
Vertex Pharmaceuticals Inc * | | | 5,520 | | | | 2,567 | |
| | | | | | | | | |
| | | | | | | | 104,640 | |
Industrials — 13.6% | | | | |
A O Smith Corp | | | 6,095 | | | | 547 | |
ABM Industries Inc | | | 2,590 | | | | 137 | |
Allison Transmission Holdings Inc | | | 40,482 | | | | 3,889 | |
Argan Inc | | | 2,711 | | | | 275 | |
Armstrong World Industries Inc | | | 1,533 | | | | 201 | |
Barrett Business Services Inc | | | 5,876 | | | | 220 | |
CACI International Inc, Cl A * | | | 1,529 | | | | 771 | |
Carlisle Cos Inc | | | 2,905 | | | | 1,307 | |
Cintas Corp | | | 10,964 | | | | 2,257 | |
CSG Systems International Inc | | | 40,530 | | | | 1,972 | |
CSW Industrials Inc | | | 1,060 | | | | 388 | |
Cummins Inc | | | 13,200 | | | | 4,274 | |
Curtiss-Wright Corp | | | 2,644 | | | | 869 | |
Donaldson Co Inc, Cl A | | | 19,446 | | | | 1,433 | |
Eaton Corp PLC | | | 5,520 | | | | 1,830 | |
EMCOR Group Inc | | | 9,363 | | | | 4,031 | |
Emerson Electric Co | | | 16,161 | | | | 1,768 | |
Enerpac Tool Group Corp, Cl A | | | 456 | | | | 19 | |
Ennis Inc | | | 642 | | | | 16 | |
Expeditors International of Washington Inc | | | 29,758 | | | | 3,910 | |
Fastenal Co, Cl A | | | 29,423 | | | | 2,101 | |
Ferguson Enterprises Inc | | | 9,842 | | | | 1,954 | |
Franklin Electric Co Inc | | | 1,334 | | | | 140 | |
FTI Consulting Inc * | | | 481 | | | | 109 | |
General Dynamics Corp | | | 9,632 | | | | 2,911 | |
Genpact Ltd | | | 7,434 | | | | 291 | |
Golden Ocean Group Ltd | | | 9,943 | | | | 133 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Huntington Ingalls Industries Inc, Cl A | | | 4,685 | | | $ | 1,239 | |
Huron Consulting Group Inc * | | | 1,535 | | | | 167 | |
Hyster-Yale Inc | | | 152 | | | | 10 | |
IBEX Holdings Ltd * | | | 6,424 | | | | 128 | |
Illinois Tool Works Inc | | | 8,118 | | | | 2,127 | |
Landstar System Inc | | | 11,724 | | | | 2,214 | |
Leidos Holdings Inc | | | 17,623 | | | | 2,873 | |
Lennox International Inc | | | 2,216 | | | | 1,339 | |
Lockheed Martin Corp | | | 17,469 | | | | 10,212 | |
LSI Industries Inc | | | 6,132 | | | | 99 | |
ManpowerGroup Inc | | | 15,771 | | | | 1,159 | |
Maximus Inc | | | 5,096 | | | | 475 | |
Miller Industries Inc/TN | | | 916 | | | | 56 | |
Mueller Industries Inc | | | 454 | | | | 34 | |
Mueller Water Products Inc, Cl A | | | 10,762 | | | | 234 | |
Northrop Grumman Corp | | | 7,848 | | | | 4,144 | |
Otis Worldwide Corp | | | 21,810 | | | | 2,267 | |
PACCAR Inc | | | 44,405 | | | | 4,382 | |
Paychex Inc | | | 14,741 | | | | 1,978 | |
Republic Services Inc | | | 4,028 | | | | 809 | |
Robert Half Inc | | | 4,224 | | | | 285 | |
Science Applications International Corp | | | 2,749 | | | | 383 | |
Snap-on Inc | | | 11,346 | | | | 3,287 | |
SS&C Technologies Holdings Inc | | | 12,518 | | | | 929 | |
Tennant Co | | | 43 | | | | 4 | |
Textron Inc | | | 24,710 | | | | 2,189 | |
Trane Technologies PLC | | | 8,553 | | | | 3,325 | |
Waste Management Inc | | | 4,122 | | | | 856 | |
Watts Water Technologies Inc, Cl A | | | 1,881 | | | | 390 | |
WW Grainger Inc | | | 2,635 | | | | 2,737 | |
| | | | | | | | | |
| | | | | | | | 88,084 | |
Information Technology — 15.0% | | | | |
A10 Networks Inc | | | 11,954 | | | | 173 | |
ACI Worldwide Inc * | | | 3,369 | | | | 171 | |
Amdocs Ltd | | | 132,311 | | | | 11,574 | |
Amphenol Corp, Cl A | | | 33,280 | | | | 2,168 | |
Apple Inc | | | 9,275 | | | | 2,161 | |
Arrow Electronics Inc, Cl A * | | | 30,337 | | | | 4,030 | |
Avnet Inc | | | 54,960 | | | | 2,985 | |
Badger Meter Inc | | | 178 | | | | 39 | |
Box Inc, Cl A * | | | 2,639 | | | | 86 | |
Canon Inc ADR | | | 83,200 | | | | 2,737 | |
Cisco Systems Inc | | | 201,217 | | | | 10,709 | |
Cognizant Technology Solutions Corp, Cl A | | | 77,577 | | | | 5,987 | |
CommVault Systems Inc * | | | 3,314 | | | | 510 | |
Crane NXT Co | | | 3,335 | | | | 187 | |
Daktronics Inc * | | | 4,054 | | | | 52 | |
Dolby Laboratories Inc, Cl A | | | 4,049 | | | | 310 | |
Dropbox Inc, Cl A * | | | 71,200 | | | | 1,811 | |
F5 Inc, Cl A * | | | 9,240 | | | | 2,035 | |
Gartner Inc * | | | 10,405 | | | | 5,273 | |
Gen Digital Inc | | | 8,991 | | | | 247 | |
GoDaddy Inc, Cl A * | | | 25,224 | | | | 3,955 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
U.S. Managed Volatility Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Hackett Group Inc/The | | | 4,228 | | | $ | 111 | |
Hewlett Packard Enterprise Co | | | 292,670 | | | | 5,988 | |
HP Inc | | | 150,287 | | | | 5,391 | |
InterDigital Inc | | | 2,666 | | | | 378 | |
International Business Machines Corp | | | 45,955 | | | | 10,160 | |
Juniper Networks Inc | | | 32,600 | | | | 1,271 | |
LiveRamp Holdings Inc * | | | 3,899 | | | | 97 | |
Motorola Solutions Inc | | | 7,766 | | | | 3,492 | |
NetApp Inc | | | 20,180 | | | | 2,492 | |
NVE Corp | | | 866 | | | | 69 | |
OneSpan Inc * | | | 1,078 | | | | 18 | |
Ooma Inc * | | | 1,077 | | | | 12 | |
Open Text Corp | | | 42,600 | | | | 1,420 | |
Oracle Corp, Cl B | | | 14,512 | | | | 2,473 | |
PC Connection Inc | | | 3,927 | | | | 296 | |
Pegasystems Inc | | | 4,517 | | | | 330 | |
Photronics Inc * | | | 934 | | | | 23 | |
Progress Software Corp | | | 292 | | | | 20 | |
Qorvo Inc * | | | 5,341 | | | | 552 | |
QUALCOMM Inc | | | 4,702 | | | | 799 | |
Qualys Inc * | | | 1,304 | | | | 167 | |
Skyworks Solutions Inc | | | 4,610 | | | | 455 | |
TD SYNNEX Corp | | | 20,800 | | | | 2,498 | |
Teradata Corp * | | | 15,921 | | | | 483 | |
VeriSign Inc * | | | 5,115 | | | | 972 | |
Weave Communications Inc * | | | 1,592 | | | | 20 | |
| | | | | | | | | |
| | | | | | | | 97,187 | |
Materials — 2.4% | | | | |
Amcor PLC | | | 99,906 | | | | 1,132 | |
AptarGroup Inc | | | 4,535 | | | | 726 | |
Avery Dennison Corp | | | 4,731 | | | | 1,044 | |
Berry Global Group Inc | | | 21,955 | | | | 1,492 | |
CF Industries Holdings Inc | | | 17,990 | | | | 1,544 | |
Core Molding Technologies Inc * | | | 1,933 | | | | 33 | |
Graphic Packaging Holding Co | | | 44,500 | | | | 1,317 | |
Innospec Inc | | | 238 | | | | 27 | |
NewMarket Corp | | | 5,419 | | | | 2,991 | |
Packaging Corp of America | | | 9,892 | | | | 2,131 | |
Reliance Inc | | | 2,700 | | | | 781 | |
Royal Gold Inc, Cl A | | | 6,083 | | | | 853 | |
Sonoco Products Co | | | 28,236 | | | | 1,543 | |
Southern Copper Corp | | | 2,158 | | | | 250 | |
| | | | | | | | | |
| | | | | | | | 15,864 | |
Real Estate — 0.1% | | | | |
Equity Commonwealth *‡ | | | 14,547 | | | | 289 | |
Forestar Group Inc * | | | 4,021 | | | | 130 | |
RMR Group Inc/The, Cl A | | | 9,646 | | | | 245 | |
| | | | | | | | | |
| | | | | | | | 664 | |
Utilities — 3.6% | | | | |
American Electric Power Co Inc | | | 16,310 | | | | 1,673 | |
American States Water Co | | | 3,319 | | | | 276 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Avista Corp | | | 3,241 | | | $ | 126 | |
Black Hills Corp, Cl A | | | 1,342 | | | | 82 | |
California Water Service Group, Cl A | | | 6,096 | | | | 331 | |
Consolidated Water Co Ltd | | | 7,350 | | | | 185 | |
Edison International | | | 755 | | | | 66 | |
Entergy Corp | | | 7,900 | | | | 1,040 | |
Evergy Inc | | | 28,770 | | | | 1,784 | |
Genie Energy Ltd, Cl B | | | 11,156 | | | | 181 | |
National Fuel Gas Co | | | 99,547 | | | | 6,034 | |
New Jersey Resources Corp | | | 2,497 | | | | 118 | |
Northwest Natural Holding Co | | | 3,946 | | | | 161 | |
NRG Energy Inc | | | 32,904 | | | | 2,998 | |
ONE Gas Inc | | | 1,487 | | | | 111 | |
PG&E Corp | | | 189,614 | | | | 3,749 | |
Portland General Electric Co | | | 775 | | | | 37 | |
PPL Corp | | | 54,700 | | | | 1,809 | |
SJW Group | | | 4,700 | | | | 273 | |
Spire Inc | | | 3,969 | | | | 267 | |
Unitil Corp | | | 204 | | | | 12 | |
Vistra Corp | | | 15,700 | | | | 1,861 | |
| | | | | | | | | |
| | | | | | | | 23,174 | |
Total Common Stock | | | | | | | | |
(Cost $508,681) ($ Thousands) | | | | | | | 639,350 | |
| | | | | | | | | |
CASH EQUIVALENT — 1.3% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 8,433,279 | | | | 8,433 | |
Total Cash Equivalent | | | | | | | | |
(Cost $8,433) ($ Thousands) | | | | | | | 8,433 | |
Total Investments in Securities — 99.9% | | | | | | | | |
(Cost $517,114) ($ Thousands) | | $ | 647,783 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
U.S. Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index E-MINI | | | 9 | | | | Dec-2024 | | | $ | 2,557 | | | $ | 2,617 | | | $ | 60 | |
| | | | | | | | | | | | | | | | | | | | | |
| Percentages are based on a Net Assets of $648,141 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 639,350 | | | | – | | | | – | | | | 639,350 | |
Cash Equivalent | | | 8,433 | | | | – | | | | – | | | | 8,433 | |
Total Investments in Securities | | | 647,783 | | | | – | | | | – | | | | 647,783 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 60 | | | | – | | | | – | | | | 60 | |
Total Other Financial Instruments | | | 60 | | | | – | | | | – | | | | 60 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 2,813 | | | $ | 21,533 | | | $ | (24,347 | ) | | $ | 1 | | | $ | — | | | $ | — | | | $ | 18 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 15,573 | | | | 181,542 | | | | (188,682 | ) | | | — | | | | — | | | | 8,433 | | | | 502 | | | | — | |
Totals | | $ | 18,386 | | | $ | 203,075 | | | $ | (213,029 | ) | | $ | 1 | | | $ | — | | | $ | 8,433 | | | $ | 520 | | | $ | — | |
Amounts designated as “—” are $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Global Managed Volatility Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK — 95.2% |
Australia — 0.9% |
Computershare Ltd | | | 7,868 | | | $ | 138 | |
Fortescue Ltd | | | 8,880 | | | | 127 | |
Origin Energy Ltd | | | 42,215 | | | | 293 | |
Rio Tinto Ltd | | | 75,959 | | | | 6,805 | |
| | | | | | | | 7,363 | |
| | | | | | | | | |
Austria — 0.1% |
Oberbank AG | | | 162 | | | | 13 | |
Telekom Austria AG, Cl A | | | 44,848 | | | | 440 | |
UNIQA Insurance Group AG | | | 30,730 | | | | 254 | |
| | | | | | | | 707 | |
| | | | | | | | | |
Belgium — 0.0% |
Ageas SA/NV | | | 4,495 | | | | 240 | |
Colruyt Group N.V | | | 580 | | | | 27 | |
| | | | | | | | 267 | |
| | | | | | | | | |
Canada — 2.0% |
Barrick Gold Corp | | | 77,399 | | | | 1,541 | |
Canadian Utilities Ltd, Cl A | | | 10,743 | | | | 285 | |
CGI Inc, Cl A * | | | 9,200 | | | | 1,060 | |
Dollarama Inc | | | 7,276 | | | | 746 | |
Empire Co Ltd, Cl A | | | 92,423 | | | | 2,828 | |
Enbridge | | | 5,910 | | | | 240 | |
Fairfax Financial Holdings Ltd | | | 1,144 | | | | 1,446 | |
George Weston Ltd | | | 19,264 | | | | 3,237 | |
Kinross Gold Corp | | | 119,153 | | | | 1,117 | |
Loblaw Cos Ltd | | | 27,041 | | | | 3,605 | |
Metro Inc/CN, Cl A | | | 10,456 | | | | 662 | |
| | | | | | | | 16,767 | |
| | | | | | | | | |
China — 0.1% |
APT Satellite Holdings Ltd | | | 202,000 | | | | 56 | |
BOC Hong Kong Holdings Ltd | | | 55,903 | | | | 179 | |
TE Connectivity PLC * | | | 2,656 | | | | 401 | |
Wilmar International Ltd | | | 20,080 | | | | 53 | |
| | | | | | | | 689 | |
| | | | | | | | | |
Denmark — 0.3% |
Danske Bank A/S | | | 8,045 | | | | 242 | |
Novo Nordisk A/S, Cl B | | | 11,399 | | | | 1,343 | |
Pandora A/S | | | 4,488 | | | | 741 | |
Schouw & Co A/S | | | 1,793 | | | | 156 | |
| | | | | | | | 2,482 | |
| | | | | | | | | |
Finland — 0.2% |
Elisa Oyj | | | 36,070 | | | | 1,917 | |
Orion Oyj, Cl A | | | 259 | | | | 14 | |
| | | | | | | | 1,931 | |
| | | | | | | | | |
France — 2.6% |
Bureau Veritas SA | | | 5,122 | | | | 170 | |
Carrefour SA | | | 166,867 | | | | 2,851 | |
Danone SA | | | 18,096 | | | | 1,320 | |
Eiffage SA | | | 1,151 | | | | 111 | |
Engie SA | | | 129,883 | | | | 2,249 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Legrand SA | | | 14,887 | | | $ | 1,716 | |
Orange SA | | | 619,226 | | | | 7,108 | |
Sanofi SA | | | 3,574 | | | | 411 | |
TotalEnergies SE | | | 92,299 | | | | 6,026 | |
Vivendi SE | | | 31,055 | | | | 360 | |
| | | | | | | | 22,322 | |
| | | | | | | | | |
Germany — 0.0% |
Deutsche Telekom AG | | | 2,594 | | | | 77 | |
Heidelberg Materials AG | | | 800 | | | | 87 | |
| | | | | | | | 164 | |
| | | | | | | | | |
Hong Kong — 2.7% |
CK Asset Holdings Ltd | | | 128,500 | | | | 566 | |
CK Hutchison Holdings Ltd | | | 1,026,827 | | | | 5,909 | |
CK Infrastructure Holdings Ltd | | | 6,500 | | | | 44 | |
CLP Holdings Ltd, Cl B | | | 93,616 | | | | 830 | |
Dah Sing Banking Group Ltd | | | 108,898 | | | | 98 | |
Ferretti | | | 16,900 | | | | 52 | |
HK Electric Investments & HK Electric Investments Ltd | | | 258,500 | | | | 176 | |
HKT Trust & HKT Ltd | | | 3,108,689 | | | | 3,982 | |
Miramar Hotel & Investment | | | 49,000 | | | | 60 | |
PCCW Ltd | | | 4,056,000 | | | | 2,230 | |
Power Assets Holdings Ltd | | | 601,216 | | | | 3,855 | |
Regal Hotels International Holdings Ltd * | | | 77,509 | | | | 28 | |
Swire Pacific Ltd, Cl A | | | 107,448 | | | | 918 | |
VTech Holdings Ltd | | | 42,069 | | | | 294 | |
WH Group Ltd | | | 5,278,320 | | | | 4,186 | |
| | | | | | | | 23,228 | |
| | | | | | | | | |
Israel — 1.8% |
Check Point Software Technologies Ltd * | | | 58,709 | | | | 11,320 | |
First International Bank Of Israel Ltd/The | | | 17,337 | | | | 718 | |
Isracard Ltd | | | 5 | | | | – | |
Nice Ltd * | | | 4,393 | | | | 766 | |
Nova Ltd * | | | 3,415 | | | | 712 | |
Radware Ltd * | | | 24,814 | | | | 553 | |
Rami Levy Chain Stores Hashikma Marketing 2006 Ltd | | | 2,532 | | | | 142 | |
Sapiens International Corp NV | | | 7,575 | | | | 282 | |
Shufersal Ltd | | | 12,281 | | | | 109 | |
Tower Semiconductor Ltd * | | | 9,245 | | | | 409 | |
| | | | | | | | 15,011 | |
| | | | | | | | | |
Japan — 10.5% |
Achilles Corp | | | 2,500 | | | | 26 | |
Aeon Delight | | | 1,300 | | | | 37 | |
Aisin Corp | | | 121,800 | | | | 1,343 | |
Albis Co Ltd | | | 1,600 | | | | 31 | |
Amano Corp | | | 17,500 | | | | 527 | |
Anritsu Corp | | | 176,600 | | | | 1,342 | |
Arcs Co Ltd | | | 53,500 | | | | 958 | |
Artience | | | 15,300 | | | | 414 | |
Asahi Co Ltd | | | 44,600 | | | | 537 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Global Managed Volatility Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Asante Inc | | | 10,700 | | | $ | 122 | |
Autobacs Seven Co Ltd | | | 8,900 | | | | 92 | |
Axial Retailing Inc | | | 3,900 | | | | 26 | |
Belc Co Ltd | | | 4,100 | | | | 184 | |
Brother Industries Ltd | | | 43,029 | | | | 836 | |
Canon Inc | | | 184,298 | | | | 6,059 | |
Canon Marketing Japan Inc | | | 5,100 | | | | 166 | |
Cawachi Ltd | | | 23,500 | | | | 443 | |
Central Japan Railway Co | | | 91,314 | | | | 2,117 | |
Chubu Electric Power Co Inc | | | 261,392 | | | | 3,072 | |
Create Medic Co Ltd | | | 5,677 | | | | 38 | |
Daiken Medical | | | 6,500 | | | | 24 | |
Daito Trust Construction Co Ltd | | | 10,700 | | | | 1,302 | |
Daiwa House Industry Co Ltd | | | 6,200 | | | | 195 | |
Earth Corp | | | 14,800 | | | | 551 | |
Eco's | | | 1,800 | | | | 27 | |
Eizo Corp | | | 11,200 | | | | 170 | |
ENEOS Holdings Inc | | | 116,800 | | | | 636 | |
EXEO Group | | | 13,400 | | | | 146 | |
Ezaki Glico Co Ltd | | | 36,500 | | | | 1,120 | |
FTGroup Co Ltd | | | 2,900 | | | | 22 | |
Fujicco Co Ltd | | | 18,100 | | | | 217 | |
FUJIFILM Holdings Corp | | | 133,451 | | | | 3,441 | |
Fujiya Co Ltd | | | 2,900 | | | | 56 | |
Gakken Holdings Co Ltd | | | 9,200 | | | | 65 | |
Gakkyusha Co Ltd | | | 3,600 | | | | 49 | |
Heiwado Co Ltd | | | 64,400 | | | | 1,076 | |
Hitachi Ltd | | | 1,255 | | | | 33 | |
Hokuto Corp | | | 49,800 | | | | 634 | |
House Foods Group Inc | | | 48,300 | | | | 1,029 | |
Idemitsu Kosan Co Ltd | | | 130,700 | | | | 939 | |
Japan Oil Transportation Co Ltd | | | 2,100 | | | | 42 | |
Japan Post Bank Co Ltd | | | 101,056 | | | | 945 | |
Japan Post Holdings Co Ltd | | | 88,824 | | | | 848 | |
Japan Post Insurance Co Ltd | | | 7,454 | | | | 136 | |
Japan Tobacco Inc | | | 217,823 | | | | 6,364 | |
J-Oil Mills | | | 11,100 | | | | 163 | |
JSP Corp | | | 21,600 | | | | 293 | |
Kaken Pharmaceutical Co Ltd | | | 15,200 | | | | 406 | |
Kansai Electric Power Co Inc/The | | | 74,345 | | | | 1,232 | |
Kato Sangyo Co Ltd | | | 23,900 | | | | 708 | |
KDDI Corp | | | 60,940 | | | | 1,957 | |
Kewpie Corp | | | 50,100 | | | | 1,254 | |
Key Coffee Inc | | | 4,000 | | | | 56 | |
Kirin Holdings Co Ltd | | | 27,400 | | | | 419 | |
Kobe Electric Railway | | | 1,800 | | | | 32 | |
Komeri Co Ltd | | | 1,500 | | | | 39 | |
Konami Group Corp | | | 18,096 | | | | 1,840 | |
Kuriyama Holdings | | | 4,200 | | | | 35 | |
Kyorin Pharmaceutical | | | 97,500 | | | | 1,036 | |
LAC | | | 9,400 | | | | 50 | |
Lion Corp | | | 106,500 | | | | 1,202 | |
Marudai Food Co Ltd | | | 3,000 | | | | 38 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
McDonald's Holdings Co Japan Ltd | | | 19,780 | | | $ | 946 | |
Medical System Network, Cl A | | | 7,000 | | | | 21 | |
Megmilk Snow Brand Co Ltd | | | 21,600 | | | | 409 | |
MEIJI Holdings Co Ltd | | | 85,277 | | | | 2,140 | |
Ministop Co Ltd | | | 4,700 | | | | 53 | |
Miroku Jyoho Service Co Ltd | | | 2,200 | | | | 28 | |
Mitsubishi Chemical Group Corp, Cl B | | | 70,017 | | | | 450 | |
Mitsubishi Shokuhin Co Ltd | | | 12,600 | | | | 463 | |
Miyoshi Oil & Fat Co Ltd | | | 15,100 | | | | 170 | |
MrMax Holdings Ltd | | | 8,400 | | | | 42 | |
MS&AD Insurance Group Holdings Inc | | | 39,058 | | | | 909 | |
Musashi Co Ltd | | | 2,400 | | | | 32 | |
Nagase Brothers | | | 7,200 | | | | 89 | |
Nihon Chouzai Co Ltd | | | 21,100 | | | | 200 | |
Nihon Denkei Co Ltd | | | 2,000 | | | | 24 | |
Nikko Co Ltd/Hyogo | | | 12,400 | | | | 60 | |
Nintendo Co Ltd | | | 42,500 | | | | 2,269 | |
Nippn Corp | | | 95,034 | | | | 1,474 | |
Nippon Air Conditioning Services Co Ltd | | | 4,900 | | | | 36 | |
NIPPON EXPRESS HOLDINGS INC | | | 31,083 | | | | 1,639 | |
Nippon Kanzai Holdings | | | 2,100 | | | | 39 | |
Nippon Telegraph & Telephone Corp | | | 815,642 | | | | 837 | |
Nisshin Oillio Group Ltd/The | | | 8,652 | | | | 319 | |
Nitto Denko | | | 4,000 | | | | 67 | |
Nittoc Construction Co Ltd | | | 7,000 | | | | 50 | |
Noevir Holdings | | | 2,600 | | | | 94 | |
Oiles Corp | | | 25,300 | | | | 360 | |
Okinawa Cellular Telephone Co | | | 7,900 | | | | 218 | |
Okuwa Co Ltd | | | 31,500 | | | | 195 | |
Oracle Corp Japan | | | 5,400 | | | | 557 | |
Osaka Gas Co Ltd | | | 36,328 | | | | 819 | |
Otsuka Holdings Co Ltd | | | 1,761 | | | | 99 | |
OUG Holdings Inc | | | 2,236 | | | | 40 | |
Pigeon | | | 10,700 | | | | 126 | |
Prima Meat Packers | | | 5,900 | | | | 98 | |
Sakata Seed Corp | | | 1,900 | | | | 47 | |
Sala | | | 4,300 | | | | 25 | |
SAMTY HOLDINGS | | | 5,500 | | | | 107 | |
San-A Co Ltd, Cl A | | | 73,200 | | | | 1,318 | |
Sanki Engineering Co Ltd | | | 16,500 | | | | 277 | |
Sanyo Chemical Industries | | | 9,800 | | | | 284 | |
SCSK Corp | | | 27,617 | | | | 571 | |
Secom Co Ltd | | | 16,682 | | | | 617 | |
Seiko Epson Corp | | | 58,461 | | | | 1,079 | |
SG Holdings Co Ltd | | | 11,500 | | | | 124 | |
Showa Sangyo Co Ltd | | | 18,900 | | | | 386 | |
SoftBank Corp | | | 3,757,070 | | | | 4,917 | |
Software Service | | | 600 | | | | 60 | |
SRA Holdings | | | 5,000 | | | | 149 | |
ST Corp | | | 5,400 | | | | 56 | |
Step Co Ltd | | | 9,200 | | | | 124 | |
Studio Alice Co Ltd | | | 3,500 | | | | 50 | |
Sumitomo Electric Industries | | | 19,300 | | | | 310 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Global Managed Volatility Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Sundrug Co Ltd | | | 55,500 | | | $ | 1,643 | |
Takamatsu Construction Group Co Ltd | | | 4,900 | | | | 101 | |
Takasago International Corp | | | 1,000 | | | | 38 | |
Takeda Pharmaceutical Co Ltd | | | 26,900 | | | | 772 | |
TOKAI Holdings Corp | | | 119,200 | | | | 809 | |
Tokio Marine Holdings Inc | | | 88,874 | | | | 3,250 | |
Tokyo Electric Power Co Holdings Inc * | | | 37,200 | | | | 166 | |
Tokyo Individualized Educational Institute Inc | | | 8,500 | | | | 24 | |
Trend Micro Inc/Japan | | | 70,151 | | | | 4,162 | |
Unicafe Inc | | | 6,400 | | | | 42 | |
United Super Markets Holdings Inc | | | 64,600 | | | | 383 | |
Uoriki Co Ltd | | | 5,800 | | | | 99 | |
Valor Holdings Co Ltd | | | 14,200 | | | | 219 | |
Vital KSK Holdings Inc | | | 12,900 | | | | 108 | |
Wowow Inc | | | 19,124 | | | | 138 | |
Yamaya Corp | | | 1,300 | | | | 27 | |
Yaoko Co Ltd | | | 19,800 | | | | 1,346 | |
Zenrin Co Ltd | | | 17,500 | | | | 107 | |
ZERIA Pharmaceutical | | | 2,500 | | | | 40 | |
| | | | | | | | 88,544 | |
| | | | | | | | | |
Netherlands — 2.8% |
Koninklijke Ahold Delhaize NV | | | 322,750 | | | | 11,177 | |
Koninklijke KPN NV | | | 1,082,594 | | | | 4,433 | |
Wolters Kluwer NV | | | 45,438 | | | | 7,673 | |
| | | | | | | | 23,283 | |
| | | | | | | | | |
New Zealand — 0.1% |
Spark New Zealand Ltd | | | 250,636 | | | | 483 | |
| | | | | | | | | |
Norway — 1.2% |
AMSC ASA | | | 29,261 | | | | 74 | |
DNB Bank ASA | | | 16,799 | | | | 345 | |
Equinor ASA | | | 5,210 | | | | 132 | |
Orkla ASA | | | 266,262 | | | | 2,514 | |
Sparebank 1 Oestlandet | | | 3,854 | | | | 53 | |
SpareBank 1 SMN | | | 13,153 | | | | 192 | |
SpareBank 1 Sorost-Norge | | | 3,479 | | | | 22 | |
Sparebanken Vest | | | 26,910 | | | | 321 | |
Telenor ASA | | | 463,104 | | | | 5,936 | |
Veidekke ASA | | | 19,659 | | | | 231 | |
| | | | | | | | 9,820 | |
| | | | | | | | | |
Portugal — 0.2% |
Jeronimo Martins SGPS SA | | | 66,987 | | | | 1,319 | |
| | | | | | | | | |
Singapore — 0.6% |
Haw Par | | | 3,200 | | | | 27 | |
Jardine Matheson Holdings Ltd | | | 36,799 | | | | 1,437 | |
Kimly Ltd | | | 85,900 | | | | 22 | |
Oversea-Chinese Banking Corp Ltd | | | 73,659 | | | | 868 | |
Sembcorp Industries Ltd | | | 33,893 | | | | 146 | |
Sheng Siong Group Ltd | | | 1,367,374 | | | | 1,632 | |
Singapore Airlines Ltd | | | 47,030 | | | | 249 | |
Singapore Exchange Ltd | | | 114,416 | | | | 1,019 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
StarHub Ltd | | | 45,500 | | | $ | 44 | |
| | | | | | | | 5,444 | |
| | | | | | | | | |
Spain — 1.1% |
ACS Actividades de Construccion y Servicios SA | | | 40,395 | | | | 1,870 | |
Aena SME SA | | | 10,572 | | | | 2,331 | |
Ebro Foods SA | | | 9,388 | | | | 167 | |
Iberdrola SA | | | 91,503 | | | | 1,419 | |
Logista Integral | | | 30,628 | | | | 925 | |
Puig Brands, Cl B * | | | 14,096 | | | | 324 | |
Redeia Corp SA | | | 131,003 | | | | 2,554 | |
| | | | | | | | 9,590 | |
| | | | | | | | | |
Sweden — 1.4% |
Essity AB, Cl B | | | 168,158 | | | | 5,257 | |
Industrivarden AB, Cl C | | | 32,902 | | | | 1,212 | |
Telefonaktiebolaget LM Ericsson, Cl B | | | 50,163 | | | | 380 | |
Volvo AB, Cl A | | | 31,438 | | | | 840 | |
Volvo AB, Cl B | | | 163,676 | | | | 4,330 | |
| | | | | | | | 12,019 | |
| | | | | | | | | |
Switzerland — 4.2% |
ABB Ltd | | | 23,666 | | | | 1,374 | |
Galderma Group * | | | 31,986 | | | | 2,980 | |
Givaudan SA | | | 825 | | | | 4,538 | |
Holcim AG | | | 2,812 | | | | 275 | |
Logitech International SA | | | 677 | | | | 61 | |
Novartis AG | | | 93,728 | | | | 10,795 | |
Plazza AG | | | 133 | | | | 50 | |
Roche Holding AG | | | 26,876 | | | | 8,704 | |
Schindler Holding AG | | | 2,629 | | | | 770 | |
Swatch Group AG/The | | | 7,743 | | | | 333 | |
Swisscom AG | | | 7,500 | | | | 4,912 | |
UBS Group AG | | | 29,439 | | | | 910 | |
| | | | | | | | 35,702 | |
| | | | | | | | | |
United Kingdom — 5.1% |
Auto Trader Group PLC | | | 163,357 | | | | 1,902 | |
BAE Systems PLC | | | 62,748 | | | | 1,042 | |
Centrica PLC | | | 542,879 | | | | 849 | |
Coca-Cola Europacific Partners PLC | | | 7,993 | | | | 629 | |
Coca-Cola HBC AG | | | 5,037 | | | | 180 | |
GSK PLC | | | 507,585 | | | | 10,325 | |
Haleon PLC | | | 173,382 | | | | 914 | |
Imperial Brands PLC | | | 17,924 | | | | 522 | |
J Sainsbury PLC | | | 366,886 | | | | 1,454 | |
RELX PLC | | | 62,788 | | | | 2,955 | |
Sage Group PLC/The | | | 447,725 | | | | 6,153 | |
Shell PLC | | | 85,106 | | | | 2,768 | |
Spirent Communications PLC | | | 148,008 | | | | 339 | |
Tesco PLC | | | 838,724 | | | | 4,035 | |
Unilever PLC | | | 65,343 | | | | 4,241 | |
Vodafone Group PLC | | | 4,929,635 | | | | 4,962 | |
| | | | | | | | 43,270 | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Global Managed Volatility Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
United States — 57.3% |
A O Smith Corp | | | 5,334 | | | $ | 479 | |
Abbott Laboratories | | | 18,961 | | | | 2,162 | |
AbbVie Inc | | | 19,352 | | | | 3,822 | |
Allstate Corp/The | | | 18,101 | | | | 3,433 | |
Alphabet Inc, Cl A | | | 27,744 | | | | 4,601 | |
Alphabet Inc, Cl C | | | 19,876 | | | | 3,323 | |
Altria Group Inc | | | 93,131 | | | | 4,753 | |
Amazon.com Inc, Cl A * | | | 6,118 | | | | 1,140 | |
Amdocs Ltd | | | 31,241 | | | | 2,733 | |
American Business Bank * | | | 1,369 | | | | 52 | |
American Electric Power Co Inc | | | 3,194 | | | | 328 | |
Amphenol Corp, Cl A | | | 117,321 | | | | 7,645 | |
Apple Inc | | | 35,202 | | | | 8,202 | |
AptarGroup Inc | | | 25,383 | | | | 4,066 | |
AT&T Inc | | | 645,185 | | | | 14,194 | |
Automatic Data Processing Inc | | | 8,813 | | | | 2,439 | |
AutoZone Inc * | | | 88 | | | | 277 | |
Bank of New York Mellon Corp/The | | | 100,525 | | | | 7,224 | |
Baxter International Inc | | | 3,891 | | | | 148 | |
Becton Dickinson & Co | | | 3,206 | | | | 773 | |
Berkshire Hathaway Inc, Cl B * | | | 11,714 | | | | 5,392 | |
Booking Holdings Inc | | | 1,322 | | | | 5,568 | |
Boston Scientific Corp * | | | 87,320 | | | | 7,317 | |
Box Inc, Cl A * | | | 32,436 | | | | 1,062 | |
Bristol-Myers Squibb Co | | | 26,897 | | | | 1,392 | |
CACI International Inc, Cl A * | | | 4,502 | | | | 2,272 | |
Campbell Soup Co | | | 22,888 | | | | 1,120 | |
Cardinal Health Inc | | | 11,411 | | | | 1,261 | |
Carlisle Cos Inc | | | 8,091 | | | | 3,639 | |
Cboe Global Markets Inc | | | 39,228 | | | | 8,037 | |
Cencora Inc, Cl A | | | 15,280 | | | | 3,439 | |
Centene Corp * | | | 32,243 | | | | 2,427 | |
CH Robinson Worldwide Inc | | | 964 | | | | 106 | |
Chemed Corp | | | 7,722 | | | | 4,641 | |
Chevron Corp | | | 41 | | | | 6 | |
Chipotle Mexican Grill Inc, Cl A * | | | 3,271 | | | | 188 | |
Church & Dwight Co Inc | | | 42,155 | | | | 4,414 | |
Cigna Group/The | | | 13,761 | | | | 4,767 | |
Cintas Corp | | | 32,123 | | | | 6,613 | |
Cisco Systems Inc | | | 136,499 | | | | 7,264 | |
Clorox Co/The | | | 24,094 | | | | 3,925 | |
CME Group Inc, Cl A | | | 9,996 | | | | 2,206 | |
Coca-Cola Co/The | | | 88,515 | | | | 6,361 | |
Colgate-Palmolive Co | | | 91,061 | | | | 9,453 | |
Comcast Corp, Cl A | | | 126,370 | | | | 5,278 | |
CommVault Systems Inc * | | | 22,103 | | | | 3,401 | |
Conagra Brands Inc | | | 42,962 | | | | 1,397 | |
Consolidated Edison Inc | | | 30,336 | | | | 3,159 | |
Costco Wholesale Corp | | | 11,859 | | | | 10,513 | |
CVS Health Corp | | | 36,593 | | | | 2,301 | |
CyberArk Software Ltd * | | | 180 | | | | 53 | |
DaVita Inc * | | | 2,036 | | | | 334 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Dolby Laboratories Inc, Cl A | | | 44,397 | | | $ | 3,398 | |
Domino's Pizza Inc | | | 1,982 | | | | 853 | |
Donaldson Co Inc, Cl A | | | 5,457 | | | | 402 | |
Dropbox Inc, Cl A * | | | 49,128 | | | | 1,249 | |
DTE Energy Co | | | 2,303 | | | | 296 | |
Duke Energy Corp | | | 7,446 | | | | 859 | |
eBay Inc | | | 39,244 | | | | 2,555 | |
Ecolab Inc | | | 22,832 | | | | 5,830 | |
Electronic Arts Inc | | | 90,730 | | | | 13,014 | |
EMCOR Group Inc | | | 2,292 | | | | 987 | |
Entergy Corp | | | 300 | | | | 39 | |
Everest Group Ltd | | | 7,141 | | | | 2,798 | |
Evergy Inc | | | 2,187 | | | | 136 | |
Expeditors International of Washington Inc | | | 14,106 | | | | 1,854 | |
Exxon Mobil Corp | | | 84 | | | | 10 | |
F5 Inc, Cl A * | | | 31,152 | | | | 6,860 | |
Fair Isaac Corp * | | | 133 | | | | 259 | |
Ferguson Enterprises Inc | | | 185 | | | | 37 | |
Fox Corp, Cl A | | | 61,955 | | | | 2,623 | |
Fox Corp, Cl B | | | 32,014 | | | | 1,242 | |
General Dynamics Corp | | | 7,584 | | | | 2,292 | |
General Mills Inc | | | 33,388 | | | | 2,466 | |
Gilead Sciences Inc | | | 65,159 | | | | 5,463 | |
Grand Canyon Education Inc * | | | 7,381 | | | | 1,047 | |
HealthStream Inc | | | 11,410 | | | | 329 | |
Hologic Inc * | | | 12,409 | | | | 1,011 | |
Huntington Ingalls Industries Inc, Cl A | | | 11,958 | | | | 3,161 | |
Incyte Corp * | | | 29,987 | | | | 1,982 | |
Ingredion Inc | | | 21,454 | | | | 2,948 | |
Intercontinental Exchange Inc | | | 14,372 | | | | 2,309 | |
International Business Machines Corp | | | 23,954 | | | | 5,296 | |
Intuit Inc | | | 4,066 | | | | 2,525 | |
Ituran Location and Control | | | 654 | | | | 17 | |
Johnson & Johnson | | | 83,100 | | | | 13,467 | |
Kimberly-Clark Corp | | | 100,366 | | | | 14,280 | |
Kraft Heinz Co/The | | | 95,395 | | | | 3,349 | |
Leidos Holdings Inc | | | 29,062 | | | | 4,737 | |
Lockheed Martin Corp | | | 18,378 | | | | 10,743 | |
Manhattan Associates Inc * | | | 3,271 | | | | 920 | |
Marathon Petroleum Corp | | | 2,311 | | | | 376 | |
Marsh & McLennan Cos Inc | | | 32,780 | | | | 7,313 | |
Mastercard Inc, Cl A | | | 823 | | | | 406 | |
McKesson Corp | | | 17,301 | | | | 8,554 | |
Medtronic PLC | | | 25,994 | | | | 2,340 | |
Merck & Co Inc | | | 31,595 | | | | 3,588 | |
Meta Platforms Inc, Cl A | | | 2,856 | | | | 1,635 | |
Microsoft Corp | | | 23,003 | | | | 9,898 | |
Molina Healthcare Inc * | | | 2,303 | | | | 794 | |
Molson Coors Beverage Co, Cl B | | | 36,654 | | | | 2,108 | |
Mondelez International Inc, Cl A | | | 21,846 | | | | 1,609 | |
Moody's Corp | | | 6,286 | | | | 2,983 | |
Motorola Solutions Inc | | | 23,945 | | | | 10,766 | |
NetApp Inc | | | 45,691 | | | | 5,643 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Global Managed Volatility Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Neurocrine Biosciences Inc * | | | 8,964 | | | $ | 1,033 | |
Northrop Grumman Corp | | | 10,157 | | | | 5,364 | |
NRG Energy Inc | | | 16,330 | | | | 1,488 | |
Nuveen Churchill Direct Lending | | | 8,673 | | | | 151 | |
NVIDIA Corp | | | 35,291 | | | | 4,286 | |
Omnicom Group Inc | | | 878 | | | | 91 | |
O'Reilly Automotive Inc * | | | 1,052 | | | | 1,211 | |
PACCAR Inc | | | 42,791 | | | | 4,223 | |
Packaging Corp of America | | | 1,508 | | | | 325 | |
PepsiCo Inc | | | 11,484 | | | | 1,953 | |
Pfizer Inc | | | 23,745 | | | | 687 | |
Philip Morris International Inc | | | 34,293 | | | | 4,163 | |
Phillips 66 | | | 4,794 | | | | 630 | |
Procter & Gamble Co/The | | | 39,153 | | | | 6,781 | |
Progressive Corp/The | | | 18,866 | | | | 4,787 | |
Quest Diagnostics Inc | | | 2,307 | | | | 358 | |
Regeneron Pharmaceuticals Inc * | | | 3,159 | | | | 3,321 | |
Reliance Inc | | | 4,338 | | | | 1,255 | |
Republic Services Inc | | | 37,893 | | | | 7,610 | |
Rollins Inc | | | 1,927 | | | | 97 | |
Roper Technologies Inc | | | 6,077 | | | | 3,382 | |
Royal Gold Inc, Cl A | | | 14,636 | | | | 2,053 | |
Royalty Pharma PLC, Cl A | | | 24,155 | | | | 683 | |
RPM International Inc | | | 8,307 | | | | 1,005 | |
Sherwin-Williams Co/The, Cl A | | | 982 | | | | 375 | |
Southern Co/The | | | 4,345 | | | | 392 | |
SS&C Technologies Holdings Inc | | | 5,475 | | | | 406 | |
TJX Cos Inc/The | | | 19,391 | | | | 2,279 | |
T-Mobile US Inc | | | 19,264 | | | | 3,975 | |
Tyson Foods Inc, Cl A | | | 11,443 | | | | 682 | |
UL Solutions Inc, Cl A | | | 48,368 | | | | 2,385 | |
United Therapeutics Corp * | | | 8,989 | | | | 3,221 | |
Valero Energy Corp | | | 438 | | | | 59 | |
Veeva Systems Inc, Cl A * | | | 1,824 | | | | 383 | |
Veralto Corp | | | 18,768 | | | | 2,099 | |
VeriSign Inc * | | | 8,860 | | | | 1,683 | |
Verisk Analytics Inc, Cl A | | | 4,250 | | | | 1,139 | |
Verizon Communications Inc | | | 233,263 | | | | 10,476 | |
Vertex Pharmaceuticals Inc * | | | 354 | | | | 165 | |
Viatris Inc, Cl W | | | 61,948 | | | | 719 | |
Visa Inc, Cl A | | | 4,817 | | | | 1,324 | |
W R Berkley Corp | | | 1,050 | | | | 60 | |
Walmart Inc | | | 140,826 | | | | 11,372 | |
Waste Connections Inc | | | 15,404 | | | | 2,755 | |
Waste Management Inc | | | 25,936 | | | | 5,384 | |
Willis Towers Watson PLC | | | 10,521 | | | | 3,099 | |
| | | | | | | | 484,125 | |
| | | | | | | | | |
Total Common Stock | | | | | | | | |
(Cost $682,411) ($ Thousands) | | | | | | | 804,530 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
PREFERRED STOCK — 1.1% |
Germany — 1.1% |
Bayerische Motoren Werke AG, 7.000% | | | 7,212 | | | $ | 598 | |
Henkel AG & Co KGaA (A) | | | 93,797 | | | | 8,835 | |
| | | | | | | | | |
Total Preferred Stock | | | | | | | | |
(Cost $8,066) ($ Thousands) | | | | | | | 9,433 | |
| | | | | | | | | |
CASH EQUIVALENT — 2.8% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 23,798,203 | | | | 23,798 | |
Total Cash Equivalent | | | | | | | | |
(Cost $23,798) ($ Thousands) | | | | | | | 23,798 | |
Total Investments in Securities — 99.1% | | | | | | | | |
(Cost $714,275) ($ Thousands) | | $ | 837,761 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Global Managed Volatility Fund (Continued)
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Euro STOXX 50 | | | 24 | | | | Dec-2024 | | | $ | 1,328 | | | $ | 1,348 | | | $ | 16 | |
FTSE 100 Index | | | 8 | | | | Dec-2024 | | | | 890 | | | | 889 | | | | (9 | ) |
Hang Seng Index | | | 3 | | | | Oct-2024 | | | | 390 | | | | 410 | | | | 20 | |
S&P 500 Index E-MINI | | | 26 | | | | Dec-2024 | | | | 7,511 | | | | 7,558 | | | | 47 | |
SPI 200 Index | | | 7 | | | | Dec-2024 | | | | 985 | | | | 1,009 | | | | 8 | |
TOPIX Index | | | 5 | | | | Dec-2024 | | | | 909 | | | | 926 | | | | 14 | |
| | | | | | | | | | | $ | 12,013 | | | $ | 12,140 | | | $ | 96 | |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2024, is as follows: |
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Barclays PLC | | | 10/15/24 | | | | NZD | | | | 1,436 | | | | USD | | | | 883 | | | $ | (31 | ) |
Barclays PLC | | | 10/15/24 | | | | EUR | | | | 31,873 | | | | USD | | | | 35,267 | | | | (324 | ) |
BNP Paribas | | | 10/15/24 | | | | SGD | | | | 4,006 | | | | USD | | | | 3,081 | | | | (46 | ) |
BNP Paribas | | | 10/15/24 | | | | AUD | | | | 4,743 | | | | USD | | | | 3,165 | | | | (125 | ) |
BNP Paribas | | | 10/15/24 | | | | GBP | | | | 17,573 | | | | USD | | | | 23,007 | | | | (562 | ) |
BNP Paribas | | | 10/15/24 | | | | DKK | | | | 21,905 | | | | USD | | | | 3,249 | | | | (33 | ) |
BNP Paribas | | | 10/15/24 | | | | HKD | | | | 91,401 | | | | USD | | | | 11,738 | | | | (31 | ) |
Brown Brothers Harriman | | | 10/15/24 | | | | NZD | | | | 12 | | | | USD | | | | 7 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | SGD | | | | 15 | | | | USD | | | | 12 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | SGD | | | | 27 | | | | USD | | | | 21 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | AUD | | | | 53 | | | | USD | | | | 36 | | | | (1 | ) |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 141 | | | | AUD | | | | 207 | | | | 3 | |
Brown Brothers Harriman | | | 10/15/24 | | | | DKK | | | | 144 | | | | USD | | | | 22 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | GBP | | | | 84 | | | | USD | | | | 113 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | GBP | | | | 83 | | | | USD | | | | 109 | | | | (2 | ) |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 168 | | | | HKD | | | | 1,305 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 175 | | | | SEK | | | | 1,790 | | | | 1 | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 52 | | | | SEK | | | | 523 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | CAD | | | | 45 | | | | USD | | | | 33 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | CAD | | | | 209 | | | | USD | | | | 154 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 195 | | | | CAD | | | | 264 | | | | 1 | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 68 | | | | CAD | | | | 92 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 202 | | | | NOK | | | | 2,174 | | | | 4 | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 137 | | | | NOK | | | | 1,439 | | | | (1 | ) |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 393 | | | | NZD | | | | 641 | | | | 15 | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 4 | | | | NZD | | | | 7 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | CHF | | | | 470 | | | | USD | | | | 555 | | | | (3 | ) |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 558 | | | | SGD | | | | 725 | | | | 8 | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 7 | | | | SGD | | | | 9 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 538 | | | | EUR | | | | 485 | | | | 3 | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 137 | | | | EUR | | | | 123 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 1,162 | | | | GBP | | | | 884 | | | | 24 | |
Brown Brothers Harriman | | | 10/15/24 | | | | EUR | | | | 49 | | | | USD | | | | 55 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | EUR | | | | 1,278 | | | | USD | | | | 1,415 | | | | (13 | ) |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Global Managed Volatility Fund (Continued)
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 99 | | | | JPY | | | | 14,242 | | | $ | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 1,229 | | | | JPY | | | | 173,920 | | | | (10 | ) |
Brown Brothers Harriman | | | 10/15/24 | | | | NOK | | | | 969 | | | | USD | | | | 92 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | NOK | | | | 647 | | | | USD | | | | 61 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 1,790 | | | | DKK | | | | 12,104 | | | | 23 | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 5 | | | | DKK | | | | 35 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | HKD | | | | 2,033 | | | | USD | | | | 261 | | | | (1 | ) |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 2,015 | | | | CHF | | | | 1,707 | | | | 13 | |
Brown Brothers Harriman | | | 10/15/24 | | | | USD | | | | 138 | | | | CHF | | | | 116 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | SEK | | | | 61 | | | | USD | | | | 6 | | | | — | |
Brown Brothers Harriman | | | 10/15/24 | | | | SEK | | | | 2,144 | | | | USD | | | | 209 | | | | (2 | ) |
Brown Brothers Harriman | | | 10/15/24 | | | | JPY | | | | 593,275 | | | | USD | | | | 4,198 | | | | 42 | |
Brown Brothers Harriman | | | 10/15/24 | | | | JPY | | | | 158,967 | | | | USD | | | | 1,104 | | | | (9 | ) |
Standard Chartered | | | 10/15/24 | | | | NOK | | | | 56,092 | | | | USD | | | | 5,194 | | | | (133 | ) |
Standard Chartered | | | 10/15/24 | | | | SEK | | | | 58,938 | | | | USD | | | | 5,705 | | | | (114 | ) |
Standard Chartered | | | 10/15/24 | | | | JPY | | | | 6,119,864 | | | | USD | | | | 43,430 | | | | 557 | |
Westpac Banking | | | 10/15/24 | | | | CAD | | | | 11,438 | | | | USD | | | | 8,433 | | | | (37 | ) |
Westpac Banking | | | 10/15/24 | | | | CHF | | | | 17,406 | | | | USD | | | | 20,652 | | | | (17 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | (801 | ) |
| Percentages are based on Net Assets of $845,086 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
† | Investment in Affiliated Security (see Note 6). |
(A) | No interest rate available. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 804,530 | | | | – | | | | – | | | | 804,530 | |
Preferred Stock | | | 9,433 | | | | – | | | | – | | | | 9,433 | |
Cash Equivalent | | | 23,798 | | | | – | | | | – | | | | 23,798 | |
Total Investments in Securities | | | 837,761 | | | | – | | | | – | | | | 837,761 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 105 | | | | – | | | | – | | | | 105 | |
| | Unrealized Depreciation | | | (9 | ) | | | – | | | | – | | | | (9 | ) |
| | Forward Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 694 | | | | – | | | | 694 | |
| | Unrealized Depreciation | | | – | | | | (1,495 | ) | | | – | | | | (1,495 | ) |
Total Other Financial Instruments | | | 96 | | | | (801 | ) | | | – | | | | (705 | ) |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts and forward contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 5,171 | | | $ | 71,532 | | | $ | (76,700 | ) | | $ | (4 | ) | | $ | 1 | | | $ | — | | | $ | 66 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 8,088 | | | | 286,739 | | | | (271,029 | ) | | | — | | | | — | | | | 23,798 | | | | 421 | | | | — | |
Totals | | $ | 13,259 | | | $ | 358,271 | | | $ | (347,729 | ) | | $ | (4 | ) | | $ | 1 | | | $ | 23,798 | | | $ | 487 | | | $ | — | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Global Managed Volatility Fund (Concluded)
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Managed Volatility Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK — 98.3% |
| | | | | | | | | |
Communication Services — 6.7% | | | | |
AT&T Inc | | | 477,204 | | | $ | 10,498 | |
Comcast Corp, Cl A | | | 94,035 | | | | 3,928 | |
Fox Corp, Cl A | | | 188,840 | | | | 7,994 | |
Fox Corp, Cl B | | | 103,911 | | | | 4,032 | |
Madison Square Garden Sports Corp * | | | 8,894 | | | | 1,852 | |
New York Times Co/The, Cl A | | | 90,194 | | | | 5,021 | |
SK Telecom Co Ltd ADR | | | 165,516 | | | | 3,934 | |
T-Mobile US Inc | | | 31,074 | | | | 6,412 | |
Verizon Communications Inc | | | 297,517 | | | | 13,362 | |
| | | | | | | | | |
| | | | | | | | 57,033 | |
Consumer Discretionary — 5.7% | | | | |
AutoZone Inc * | | | 4,900 | | | | 15,435 | |
Darden Restaurants Inc | | | 32,531 | | | | 5,339 | |
Gentex Corp | | | 121,135 | | | | 3,597 | |
Honda Motor Co Ltd ADR | | | 124,419 | | | | 3,948 | |
McDonald's Corp | | | 24,019 | | | | 7,314 | |
Murphy USA Inc | | | 6,300 | | | | 3,105 | |
Texas Roadhouse Inc, Cl A | | | 37,143 | | | | 6,560 | |
Toyota Motor Corp ADR | | | 13,700 | | | | 2,446 | |
| | | | | | | | | |
| | | | | | | | 47,744 | |
Consumer Staples — 15.6% | | | | |
Altria Group Inc | | | 133,531 | | | | 6,816 | |
Archer-Daniels-Midland Co | | | 61,048 | | | | 3,647 | |
Campbell Soup Co | | | 94,966 | | | | 4,646 | |
Casey's General Stores Inc | | | 2,654 | | | | 997 | |
Church & Dwight Co Inc | | | 67,498 | | | | 7,068 | |
Coca-Cola Co/The | | | 58,844 | | | | 4,229 | |
Coca-Cola Europacific Partners PLC | | | 49,400 | | | | 3,890 | |
Colgate-Palmolive Co | | | 59,487 | | | | 6,175 | |
Costco Wholesale Corp | | | 9,748 | | | | 8,642 | |
General Mills Inc | | | 94,060 | | | | 6,946 | |
Hershey Co/The | | | 32,131 | | | | 6,162 | |
Hormel Foods Corp | | | 111,668 | | | | 3,540 | |
Ingredion Inc | | | 31,661 | | | | 4,351 | |
Kellanova | | | 71,953 | | | | 5,807 | |
Kimberly-Clark Corp | | | 34,699 | | | | 4,937 | |
Kraft Heinz Co/The | | | 261,686 | | | | 9,188 | |
Kroger Co/The | | | 129,500 | | | | 7,420 | |
Lamb Weston Holdings Inc | | | 28,333 | | | | 1,834 | |
McCormick & Co Inc/MD | | | 71,893 | | | | 5,917 | |
Metro Inc/CN, Cl A | | | 36,800 | | | | 2,329 | |
PepsiCo Inc | | | 54,885 | | | | 9,333 | |
Procter & Gamble Co/The | | | 25,294 | | | | 4,381 | |
Target Corp, Cl A | | | 4,597 | | | | 717 | |
Tyson Foods Inc, Cl A | | | 16,292 | | | | 970 | |
Walmart Inc | | | 143,221 | | | | 11,565 | |
WK Kellogg Co | | | 42,187 | | | | 722 | |
| | | | | | | | | |
| | | | | | | | 132,229 | |
Energy — 1.6% | | | | |
DT Midstream Inc | | | 7,200 | | | | 566 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Exxon Mobil Corp | | | 21,000 | | | $ | 2,462 | |
Marathon Petroleum Corp | | | 19,475 | | | | 3,173 | |
Shell PLC ADR | | | 48,400 | | | | 3,192 | |
Williams Cos Inc/The | | | 96,414 | | | | 4,401 | |
| | | | | | | | | |
| | | | | | | | 13,794 | |
Financials — 14.5% | | | | |
Aflac Inc | | | 112,800 | | | | 12,611 | |
Allstate Corp/The | | | 40,900 | | | | 7,757 | |
American Financial Group Inc/OH | | | 17,700 | | | | 2,382 | |
Berkshire Hathaway Inc, Cl B * | | | 7,600 | | | | 3,498 | |
Cboe Global Markets Inc | | | 46,588 | | | | 9,544 | |
Chubb Ltd | | | 12,399 | | | | 3,576 | |
Cullen/Frost Bankers Inc | | | 13,486 | | | | 1,509 | |
Everest Group Ltd | | | 31,579 | | | | 12,374 | |
Hanover Insurance Group Inc/The, Cl A | | | 19,700 | | | | 2,918 | |
Jack Henry & Associates Inc | | | 10,939 | | | | 1,931 | |
Morningstar Inc, Cl A | | | 14,569 | | | | 4,649 | |
National Bank of Canada | | | 25,300 | | | | 2,392 | |
Progressive Corp/The | | | 124,292 | | | | 31,540 | |
RenaissanceRe Holdings Ltd | | | 31,431 | | | | 8,562 | |
Travelers Cos Inc/The | | | 24,347 | | | | 5,700 | |
Unum Group | | | 78,804 | | | | 4,684 | |
Western Union Co/The | | | 306,209 | | | | 3,653 | |
White Mountains Insurance Group Ltd | | | 2,113 | | | | 3,584 | |
| | | | | | | | | |
| | | | | | | | 122,864 | |
Health Care — 16.1% | | | | |
AbbVie Inc | | | 59,362 | | | | 11,723 | |
Amgen Inc, Cl A | | | 16,800 | | | | 5,413 | |
AstraZeneca PLC ADR | | | 60,600 | | | | 4,721 | |
Cencora Inc, Cl A | | | 31,681 | | | | 7,131 | |
Chemed Corp | | | 6,327 | | | | 3,802 | |
Elevance Health Inc | | | 41,000 | | | | 21,320 | |
Eli Lilly & Co | | | 20,462 | | | | 18,128 | |
Exelixis Inc * | | | 160,259 | | | | 4,159 | |
Gilead Sciences Inc | | | 40,018 | | | | 3,355 | |
Humana Inc | | | 11,900 | | | | 3,769 | |
Incyte Corp * | | | 64,591 | | | | 4,270 | |
Johnson & Johnson | | | 14,300 | | | | 2,317 | |
McKesson Corp | | | 8,957 | | | | 4,429 | |
Merck & Co Inc | | | 104,862 | | | | 11,908 | |
Neurocrine Biosciences Inc * | | | 46,715 | | | | 5,383 | |
United Therapeutics Corp * | | | 14,228 | | | | 5,099 | |
UnitedHealth Group Inc | | | 33,000 | | | | 19,294 | |
| | | | | | | | | |
| | | | | | | | 136,221 | |
Industrials — 14.4% | | | | |
Automatic Data Processing Inc | | | 11,453 | | | | 3,169 | |
Carrier Global Corp | | | 50,700 | | | | 4,081 | |
CH Robinson Worldwide Inc | | | 31,279 | | | | 3,452 | |
CSG Systems International Inc | | | 37,600 | | | | 1,829 | |
Cummins Inc | | | 8,000 | | | | 2,590 | |
EMCOR Group Inc | | | 13,372 | | | | 5,757 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Managed Volatility Fund (Concluded)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
General Dynamics Corp | | | 17,335 | | | $ | 5,239 | |
L3Harris Technologies Inc | | | 22,600 | | | | 5,376 | |
Landstar System Inc | | | 11,414 | | | | 2,156 | |
Lockheed Martin Corp | | | 21,356 | | | | 12,484 | |
Northrop Grumman Corp | | | 31,841 | | | | 16,814 | |
Quanta Services Inc | | | 32,700 | | | | 9,750 | |
Republic Services Inc | | | 105,173 | | | | 21,123 | |
Rollins Inc | | | 59,391 | | | | 3,004 | |
RTX Corp | | | 94,000 | | | | 11,389 | |
Waste Management Inc | | | 63,511 | | | | 13,185 | |
| | | | | | | | | |
| | | | | | | | 121,398 | |
Information Technology — 17.3% | | | | |
Amdocs Ltd | | | 115,839 | | | | 10,134 | |
Apple Inc | | | 113,423 | | | | 26,428 | |
Avnet Inc | | | 68,845 | | | | 3,739 | |
Cisco Systems Inc | | | 79,394 | | | | 4,225 | |
Cognizant Technology Solutions Corp, Cl A | | | 51,408 | | | | 3,968 | |
F5 Inc, Cl A * | | | 17,475 | | | | 3,848 | |
International Business Machines Corp | | | 9,600 | | | | 2,122 | |
Microsoft Corp | | | 60,400 | | | | 25,990 | |
Motorola Solutions Inc | | | 54,098 | | | | 24,324 | |
NetApp Inc | | | 46,296 | | | | 5,718 | |
Oracle Corp, Cl B | | | 109,920 | | | | 18,730 | |
Synopsys Inc * | | | 34,184 | | | | 17,311 | |
| | | | | | | | | |
| | | | | | | | 146,537 | |
Materials — 2.0% | | | | |
AptarGroup Inc | | | 6,262 | | | | 1,003 | |
Avery Dennison Corp | | | 26,300 | | | | 5,806 | |
NewMarket Corp | | | 7,800 | | | | 4,305 | |
Royal Gold Inc, Cl A | | | 11,548 | | | | 1,620 | |
Sealed Air Corp | | | 58,400 | | | | 2,120 | |
Silgan Holdings Inc | | | 37,000 | | | | 1,942 | |
| | | | | | | | | |
| | | | | | | | 16,796 | |
Real Estate — 0.3% | | | | |
Equity LifeStyle Properties Inc ‡ | | | 29,390 | | | | 2,097 | |
| | | | | | | | | |
| | | | | | | | | |
Utilities — 4.1% | | | | |
Ameren Corp | | | 21,800 | | | | 1,907 | |
American Electric Power Co Inc | | | 23,100 | | | | 2,370 | |
DTE Energy Co | | | 38,099 | | | | 4,892 | |
Duke Energy Corp | | | 26,843 | | | | 3,095 | |
Entergy Corp | | | 17,400 | | | | 2,290 | |
National Fuel Gas Co | | | 153,536 | | | | 9,306 | |
NextEra Energy Inc | | | 25,080 | | | | 2,120 | |
Portland General Electric Co | | | 39,600 | | | | 1,897 | |
Public Service Enterprise Group Inc | | | 27,400 | | | | 2,444 | |
Southern Co/The | | | 19,305 | | | | 1,741 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
WEC Energy Group Inc | | | 29,250 | | | $ | 2,813 | |
| | | | | | | | | |
| | | | | | | | 34,875 | |
Total Common Stock | | | | | | | | |
(Cost $326,012) ($ Thousands) | | | | | | | 831,588 | |
| | | | | | | | | |
CASH EQUIVALENT — 1.7% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 14,348,092 | | | | 14,348 | |
Total Cash Equivalent | | | | | | | | |
(Cost $14,348) ($ Thousands) | | | | | | | 14,348 | |
Total Investments in Securities — 100.0% | | | | | | | | |
(Cost $340,360) ($ Thousands) | | $ | 845,936 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index E-MINI | | | 10 | | | | Dec-2024 | | | $ | 2,845 | | | $ | 2,907 | | | $ | 62 | |
| | | | | | | | | | | | | | | | | | | | | |
| Percentages are based on a Net Assets of $846,039 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 831,588 | | | | – | | | | – | | | | 831,588 | |
Cash Equivalent | | | 14,348 | | | | – | | | | – | | | | 14,348 | |
Total Investments in Securities | | | 845,936 | | | | – | | | | – | | | | 845,936 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 62 | | | | – | | | | – | | | | 62 | |
Total Other Financial Instruments | | | 62 | | | | – | | | | – | | | | 62 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 3,171 | | | $ | 5,862 | | | $ | (9,038 | ) | | $ | — | | | $ | 5 | | | $ | — | | | $ | 13 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 18,107 | | | | 162,534 | | | | (166,293 | ) | | | — | | | | — | | | | 14,348 | | | | 650 | | | | — | |
Totals | | $ | 21,278 | | | $ | 168,396 | | | $ | (175,331 | ) | | $ | – | | | $ | 5 | | | $ | 14,348 | | | $ | 663 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed International Managed Volatility Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK — 96.7% |
Australia — 5.4% |
a2 Milk * | | | 38,118 | | | $ | 165 | |
Abacus Storage King ‡ | | | 104,047 | | | | 96 | |
AGL Energy Ltd | | | 179,385 | | | | 1,472 | |
ANZ Group Holdings Ltd | | | 64,071 | | | | 1,355 | |
Aurizon Holdings Ltd | | | 41,061 | | | | 101 | |
Bendigo & Adelaide Bank Ltd | | | 52,109 | | | | 421 | |
BlueScope Steel Ltd | | | 17,019 | | | | 262 | |
Brambles Ltd | | | 143,679 | | | | 1,897 | |
Capral | | | 11,489 | | | | 79 | |
CAR Group Ltd | | | 4,561 | | | | 119 | |
Cochlear Ltd | | | 1,506 | | | | 295 | |
Coles Group Ltd | | | 13,130 | | | | 164 | |
Computershare Ltd | | | 51,273 | | | | 899 | |
CSL Ltd | | | 3,288 | | | | 653 | |
Fortescue Ltd | | | 35,406 | | | | 508 | |
Harvey Norman Holdings Ltd | | | 270,643 | | | | 929 | |
JB Hi-Fi Ltd | | | 4,152 | | | | 230 | |
Metcash Ltd, Cl A | | | 128,616 | | | | 319 | |
Northern Star Resources Ltd | | | 12,917 | | | | 143 | |
Orica Ltd | | | 44,639 | | | | 574 | |
Origin Energy Ltd | | | 295,918 | | | | 2,055 | |
QBE Insurance Group Ltd | | | 32,906 | | | | 378 | |
REA Group Ltd | | | 2,613 | | | | 364 | |
Rio Tinto Ltd | | | 8,069 | | | | 723 | |
Rio Tinto PLC ADR | | | 2,651 | | | | 189 | |
Telstra Group Ltd, Cl B | | | 138,665 | | | | 373 | |
Ventia Services Group Pty Ltd | | | 289,406 | | | | 913 | |
Wesfarmers Ltd | | | 14,176 | | | | 693 | |
Woolworths Group Ltd | | | 12,536 | | | | 290 | |
| | | | | | | | 16,659 | |
| | | | | | | | | |
Austria — 0.5% |
ANDRITZ AG | | | 5,069 | | | | 360 | |
CA Immobilien Anlagen AG | | | 4,737 | | | | 142 | |
Eurotelesites AG * | | | 20,380 | | | | 109 | |
Telekom Austria AG, Cl A | | | 81,520 | | | | 800 | |
| | | | | | | | 1,411 | |
| | | | | | | | | |
Belgium — 1.0% |
Ageas SA/NV | | | 20,951 | | | | 1,121 | |
Colruyt Group N.V | | | 23,555 | | | | 1,099 | |
Proximus SADP | | | 95,584 | | | | 747 | |
| | | | | | | | 2,967 | |
| | | | | | | | | |
Canada — 2.4% |
Atco Ltd/Canada, Cl I | | | 16,499 | | | | 585 | |
Bank of Nova Scotia/The, Cl C | | | 7,692 | | | | 420 | |
Canadian Imperial Bank of Commerce | | | 21,343 | | | | 1,310 | |
Canadian Tire Corp Ltd, Cl A | | | 6,704 | | | | 804 | |
Cogeco Communications Inc | | | 15,863 | | | | 840 | |
iA Financial Corp Inc | | | 5,289 | | | | 439 | |
Loblaw Cos Ltd | | | 15,335 | | | | 2,044 | |
Power Corp of Canada | | | 19,831 | | | | 626 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Stella-Jones Inc | | | 2,928 | | | $ | 192 | |
| | | | | | | | 7,260 | |
| | | | | | | | | |
China — 0.4% |
BOC Hong Kong Holdings Ltd | | | 168,000 | | | | 538 | |
Wilmar International Ltd | | | 291,500 | | | | 762 | |
| | | | | | | | 1,300 | |
| | | | | | | | | |
Denmark — 2.9% |
Carlsberg AS, Cl B | | | 7,177 | | | | 857 | |
Coloplast A/S, Cl B | | | 3,674 | | | | 481 | |
Danske Bank A/S | | | 56,057 | | | | 1,691 | |
DSV A/S | | | 407 | | | | 84 | |
Genmab A/S * | | | 966 | | | | 234 | |
Jyske Bank A/S | | | 2,041 | | | | 160 | |
Novo Nordisk A/S, Cl B | | | 20,585 | | | | 2,425 | |
Scandinavian Tobacco Group A/S | | | 48,809 | | | | 751 | |
Solar A/S, Cl B | | | 2,119 | | | | 112 | |
Sydbank AS | | | 20,564 | | | | 1,016 | |
Tryg A/S | | | 31,616 | | | | 752 | |
UIE PLC | | | 5,640 | | | | 232 | |
| | | | | | | | 8,795 | |
| | | | | | | | | |
Finland — 0.8% |
Elisa Oyj | | | 4,576 | | | | 243 | |
Kemira Oyj | | | 37,668 | | | | 943 | |
Kesko Oyj, Cl B | | | 17,591 | | | | 376 | |
Orion Oyj, Cl B | | | 7,782 | | | | 428 | |
TietoEVRY Oyj | | | 19,086 | | | | 395 | |
| | | | | | | | 2,385 | |
| | | | | | | | | |
France — 8.5% |
Air Liquide SA | | | 4,269 | | | | 826 | |
AXA SA | | | 35,579 | | | | 1,371 | |
BNP Paribas SA | | | 3,209 | | | | 221 | |
Bouygues SA | | | 25,537 | | | | 857 | |
Bureau Veritas SA | | | 20,051 | | | | 667 | |
Carrefour SA | | | 145,454 | | | | 2,485 | |
Cie Generale des Etablissements Michelin SCA | | | 39,227 | | | | 1,596 | |
Credit Agricole SA | | | 29,263 | | | | 448 | |
Danone SA | | | 27,197 | | | | 1,983 | |
Dassault Systemes SE | | | 2,546 | | | | 101 | |
Eiffage SA | | | 13,280 | | | | 1,284 | |
Engie SA | | | 114,065 | | | | 1,975 | |
Legrand SA | | | 6,561 | | | | 756 | |
L'Oreal SA | | | 465 | | | | 209 | |
Metropole Television SA | | | 37,383 | | | | 508 | |
Orange SA | | | 317,289 | | | | 3,642 | |
Rallye SA * | | | 776,984 | | | | 38 | |
Sanofi SA | | | 29,412 | | | | 3,378 | |
Societe BIC SA | | | 19,150 | | | | 1,291 | |
SPIE SA | | | 3,271 | | | | 125 | |
Thales SA, Cl A | | | 4,226 | | | | 672 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed International Managed Volatility Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
TotalEnergies SE | | | 22,396 | | | $ | 1,462 | |
| | | | | | | | 25,895 | |
| | | | | | | | | |
Germany — 4.9% |
Bayer AG | | | 30,706 | | | | 1,039 | |
Bayerische Motoren Werke AG | | | 1,376 | | | | 122 | |
Beiersdorf AG | | | 11,565 | | | | 1,744 | |
Deutsche Boerse AG | | | 2,569 | | | | 604 | |
Deutsche Post AG | | | 26,653 | | | | 1,191 | |
Deutsche Telekom AG | | | 128,525 | | | | 3,785 | |
E.ON SE | | | 10,939 | | | | 163 | |
Fresenius Medical Care AG | | | 3,728 | | | | 159 | |
Fresenius SE & Co KGaA * | | | 3,549 | | | | 136 | |
Hannover Rueck SE | | | 1,509 | | | | 431 | |
Henkel AG & Co KGaA | | | 1,777 | | | | 152 | |
Hornbach Holding AG & Co KGaA | | | 11,109 | | | | 1,094 | |
Knorr-Bremse AG | | | 2,220 | | | | 198 | |
Merck KGaA | | | 1,146 | | | | 202 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 4,317 | | | | 2,382 | |
Pfeiffer Vacuum Technology | | | 1,044 | | | | 180 | |
SAP SE | | | 2,500 | | | | 570 | |
Sirius Real Estate Ltd | | | 87,389 | | | | 114 | |
Suedzucker AG | | | 7,412 | | | | 93 | |
Talanx AG | | | 7,341 | | | | 619 | |
| | | | | | | | 14,978 | |
| | | | | | | | | |
Hong Kong — 3.6% |
Bank of East Asia | | | 126,800 | | | | 163 | |
CK Asset Holdings Ltd | | | 246,500 | | | | 1,085 | |
CK Hutchison Holdings Ltd | | | 314,500 | | | | 1,810 | |
CLP Holdings Ltd, Cl B | | | 169,000 | | | | 1,498 | |
Dah Sing Banking Group Ltd | | | 750,400 | | | | 673 | |
HK Electric Investments & HK Electric Investments Ltd | | | 827,500 | | | | 563 | |
HKT Trust & HKT Ltd | | | 444,000 | | | | 569 | |
MTR Corp Ltd | | | 87,000 | | | | 329 | |
PCCW Ltd | | | 721,704 | | | | 397 | |
Power Assets Holdings Ltd | | | 119,500 | | | | 766 | |
SmarTone Telecommunications Holdings Ltd | | | 214,500 | | | | 114 | |
Swire Pacific Ltd, Cl A | | | 9,500 | | | | 81 | |
VTech Holdings Ltd | | | 201,600 | | | | 1,409 | |
WH Group Ltd | | | 2,095,000 | | | | 1,662 | |
| | | | | | | | 11,119 | |
| | | | | | | | | |
Indonesia — 0.2% |
First Resources Ltd | | | 500,700 | | | | 574 | |
| | | | | | | | | |
Ireland — 0.1% |
Glanbia PLC | | | 20,384 | | | | 360 | |
| | | | | | | | | |
Israel — 2.2% |
Bank Hapoalim BM | | | 44,762 | | | | 449 | |
Bank Leumi Le-Israel BM | | | 58,139 | | | | 570 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Bezeq The Israeli Telecommunication Corp Ltd | | | 502,445 | | | $ | 579 | |
Check Point Software Technologies Ltd * | | | 14,217 | | | | 2,741 | |
Elbit Systems Ltd | | | 1,000 | | | | 199 | |
FIBI Holdings Ltd | | | 3,633 | | | | 160 | |
First International Bank Of Israel Ltd/The | | | 3,372 | | | | 140 | |
Isracard Ltd | | | 29,937 | | | | 110 | |
Mizrahi Tefahot Bank Ltd | | | 12,013 | | | | 470 | |
Nice Ltd ADR * | | | 1,988 | | | | 345 | |
Nova Ltd * | | | 853 | | | | 178 | |
Oil Refineries Ltd | | | 888,130 | | | | 229 | |
Radware Ltd * | | | 5,518 | | | | 123 | |
Shufersal Ltd | | | 26,493 | | | | 236 | |
Tower Semiconductor Ltd * | | | 4,373 | | | | 193 | |
| | | | | | | | 6,722 | |
| | | | | | | | | |
Italy — 1.2% |
A2A SpA | | | 582,186 | | | | 1,348 | |
ACEA SpA | | | 16,169 | | | | 317 | |
Enel SpA | | | 38,590 | | | | 309 | |
Eni SpA | | | 65,456 | | | | 999 | |
Generali | | | 15,478 | | | | 448 | |
Leonardo SpA | | | 5,397 | | | | 121 | |
Terna - Rete Elettrica Nazionale | | | 27,136 | | | | 245 | |
| | | | | | | | 3,787 | |
| | | | | | | | | |
Japan — 24.0% |
AEON REIT Investment Corp ‡ | | | 684 | | | | 628 | |
AGC Inc/Japan | | | 3,300 | | | | 107 | |
Aica Kogyo | | | 12,100 | | | | 287 | |
Anritsu Corp | | | 22,500 | | | | 171 | |
Arcs Co Ltd | | | 26,600 | | | | 476 | |
Asahi Kasei Corp | | | 41,100 | | | | 311 | |
Bandai Namco Holdings Inc | | | 6,900 | | | | 158 | |
Bridgestone Corp | | | 21,900 | | | | 842 | |
Brother Industries Ltd | | | 65,900 | | | | 1,281 | |
Canon Inc | | | 72,500 | | | | 2,384 | |
Central Japan Railway Co | | | 20,900 | | | | 485 | |
Chubu Electric Power Co Inc | | | 54,600 | | | | 642 | |
Citizen Watch Co Ltd | | | 84,800 | | | | 540 | |
Daicel Corp | | | 75,100 | | | | 700 | |
Daiichi Sankyo Co Ltd | | | 7,500 | | | | 247 | |
Daiki Aluminium Industry Co Ltd | | | 9,800 | | | | 74 | |
Daito Trust Construction Co Ltd | | | 1,700 | | | | 207 | |
Daiwa Securities Group Inc | | | 35,400 | | | | 249 | |
EDION Corp | | | 46,500 | | | | 597 | |
ENEOS Holdings Inc | | | 407,800 | | | | 2,220 | |
Ezaki Glico Co Ltd | | | 13,300 | | | | 408 | |
Fuji Nihon Seito Corp | | | 7,600 | | | | 55 | |
FUJIFILM Holdings Corp | | | 24,300 | | | | 627 | |
Heiwado Co Ltd | | | 7,900 | | | | 132 | |
Hirose Electric Co Ltd | | | 1,300 | | | | 166 | |
Honda Motor Co Ltd | | | 112,600 | | | | 1,187 | |
Hoya Corp | | | 1,500 | | | | 207 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed International Managed Volatility Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Inpex Corp | | | 82,700 | | | $ | 1,120 | |
Isuzu Motors | | | 24,000 | | | | 324 | |
ITOCHU Corp | | | 30,900 | | | | 1,659 | |
Itochu Enex Co Ltd | | | 67,200 | | | | 732 | |
Itoham Yonekyu Holdings Inc | | | 17,980 | | | | 486 | |
Japan Post Bank Co Ltd | | | 34,900 | | | | 326 | |
Japan Post Holdings Co Ltd | | | 182,800 | | | | 1,746 | |
Japan Real Estate Investment Corp ‡ | | | 58 | | | | 232 | |
Japan Tobacco Inc | | | 89,700 | | | | 2,621 | |
JFE Holdings Inc | | | 10,800 | | | | 145 | |
Kajima Corp | | | 48,900 | | | | 915 | |
Kaken Pharmaceutical Co Ltd | | | 11,400 | | | | 305 | |
Kamigumi Co Ltd | | | 5,400 | | | | 123 | |
Kaneka Corp | | | 10,500 | | | | 286 | |
Kansai Electric Power Co Inc/The | | | 47,000 | | | | 779 | |
Kao Corp | | | 13,300 | | | | 661 | |
Kato Sangyo Co Ltd | | | 5,400 | | | | 160 | |
KDDI Corp | | | 58,300 | | | | 1,872 | |
Keihanshin Building Co Ltd | | | 14,200 | | | | 159 | |
Keisei Electric Railway Co Ltd | | | 4,674 | | | | 139 | |
Kewpie Corp | | | 12,300 | | | | 308 | |
Kinden Corp | | | 15,600 | | | | 344 | |
Kirin Holdings Co Ltd | | | 28,200 | | | | 431 | |
Komeri Co Ltd | | | 5,200 | | | | 135 | |
K's Holdings Corp | | | 17,900 | | | | 193 | |
Kuraray Co Ltd | | | 117,000 | | | | 1,734 | |
Kurimoto Ltd | | | 5,300 | | | | 152 | |
Kyorin Pharmaceutical | | | 9,400 | | | | 100 | |
Lintec Corp | | | 33,800 | | | | 781 | |
Lion Corp | | | 25,400 | | | | 287 | |
Marubeni Corp | | | 17,400 | | | | 285 | |
Maruichi Steel Tube Ltd | | | 4,400 | | | | 103 | |
McDonald's Holdings Co Japan Ltd | | | 5,000 | | | | 239 | |
Megmilk Snow Brand Co Ltd | | | 25,000 | | | | 473 | |
MEIJI Holdings Co Ltd | | | 31,100 | | | | 781 | |
MIRAIT ONE corp | | | 41,700 | | | | 619 | |
Mitsubishi Chemical Group Corp, Cl B | | | 261,100 | | | | 1,677 | |
Mitsubishi Electric Corp | | | 12,400 | | | | 200 | |
Mitsubishi Shokuhin Co Ltd | | | 23,100 | | | | 849 | |
Mitsubishi UFJ Financial Group Inc | | | 139,800 | | | | 1,421 | |
Mitsui & Co Ltd | | | 17,300 | | | | 384 | |
Mitsui Chemicals Inc | | | 11,500 | | | | 306 | |
Mizuho Financial Group Inc | | | 115,880 | | | | 2,379 | |
Morinaga & Co Ltd/Japan | | | 21,600 | | | | 433 | |
Morishita Jintan Co Ltd | | | 4,200 | | | | 62 | |
MS&AD Insurance Group Holdings Inc | | | 11,300 | | | | 263 | |
NEC Corp | | | 2,200 | | | | 211 | |
NGK Insulators | | | 34,700 | | | | 454 | |
NH Foods Ltd | | | 9,100 | | | | 339 | |
Nichirei Corp | | | 6,500 | | | | 203 | |
Nippn Corp | | | 17,100 | | | | 265 | |
Nippon BS Broadcasting Corp | | | 42,600 | | | | 264 | |
Nippon Building Fund Inc ‡ | | | 280 | | | | 258 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
NIPPON EXPRESS HOLDINGS INC | | | 13,800 | | | $ | 728 | |
Nippon Light Metal Holdings Co Ltd | | | 23,500 | | | | 267 | |
Nippon Telegraph & Telephone Corp | | | 1,383,900 | | | | 1,420 | |
Nippon Television Holdings Inc | | | 27,900 | | | | 438 | |
Nipro | | | 48,400 | | | | 482 | |
Nisshin Seifun Group Inc | | | 31,300 | | | | 398 | |
Niterra Co Ltd | | | 19,800 | | | | 553 | |
Nitto Fuji Flour Milling Co Ltd | | | 5,000 | | | | 244 | |
Obayashi Corp | | | 11,500 | | | | 146 | |
Obic Co Ltd | | | 8,000 | | | | 282 | |
Oji Holdings Corp | | | 33,000 | | | | 132 | |
Okinawa Cellular Telephone Co | | | 6,200 | | | | 171 | |
Ono Pharmaceutical Co Ltd | | | 38,400 | | | | 513 | |
Oracle Corp Japan | | | 1,400 | | | | 144 | |
Osaka Gas Co Ltd | | | 38,600 | | | | 870 | |
Otsuka Corp | | | 18,200 | | | | 451 | |
Otsuka Holdings Co Ltd | | | 13,700 | | | | 774 | |
Rengo Co Ltd | | | 72,200 | | | | 504 | |
Sankyo Co Ltd | | | 122,300 | | | | 1,801 | |
Sankyu Inc | | | 3,200 | | | | 108 | |
Secom Co Ltd | | | 22,400 | | | | 829 | |
Seiko Epson Corp | | | 82,700 | | | | 1,526 | |
Seino Holdings Co Ltd | | | 58,300 | | | | 981 | |
Sekisui Chemical Co Ltd | | | 10,800 | | | | 168 | |
Sekisui House Ltd | | | 36,600 | | | | 1,017 | |
Senko Group Holdings Co Ltd | | | 58,300 | | | | 508 | |
Shionogi & Co Ltd | | | 65,700 | | | | 943 | |
Showa Sangyo Co Ltd | | | 5,500 | | | | 112 | |
SoftBank Corp | | | 476,000 | | | | 623 | |
Sompo Holdings Inc | | | 7,200 | | | | 161 | |
Subaru Corp | | | 16,100 | | | | 279 | |
Sumitomo Corp | | | 38,800 | | | | 866 | |
Sumitomo Heavy Industries Ltd | | | 18,700 | | | | 450 | |
Sumitomo Mitsui Financial Group Inc | | | 54,600 | | | | 1,162 | |
Sumitomo Mitsui Trust Holdings Inc | | | 55,400 | | | | 1,313 | |
Sumitomo Rubber Industries Ltd | | | 29,900 | | | | 328 | |
Sundrug Co Ltd | | | 19,000 | | | | 562 | |
Takeda Pharmaceutical Co Ltd | | | 14,000 | | | | 402 | |
Toho Holdings Co Ltd | | | 5,000 | | | | 159 | |
TOPPAN Holdings Inc | | | 10,000 | | | | 297 | |
Toyota Boshoku Corp | | | 20,100 | | | | 262 | |
Trend Micro Inc/Japan | | | 10,000 | | | | 593 | |
USS Co Ltd | | | 53,900 | | | | 511 | |
Valor Holdings Co Ltd | | | 29,600 | | | | 456 | |
Yamada Holdings Co Ltd | | | 109,700 | | | | 344 | |
Yamaguchi Financial Group Inc | | | 83,900 | | | | 909 | |
Yamato Holdings Co Ltd | | | 9,100 | | | | 104 | |
Zaoh Co Ltd | | | 8,700 | | | | 152 | |
| | | | | | | | 73,554 | |
| | | | | | | | | |
Jordan — 0.3% |
Hikma Pharmaceuticals PLC | | | 39,776 | | | | 1,020 | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed International Managed Volatility Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Netherlands — 3.5% |
ABN AMRO Bank NV | | | 11,695 | | | $ | 212 | |
DSM-Firmenich AG | | | 1,112 | | | | 153 | |
EXOR | | | 7,690 | | | | 825 | |
Koninklijke Ahold Delhaize NV | | | 151,940 | | | | 5,262 | |
Koninklijke KPN NV | | | 394,088 | | | | 1,614 | |
NN Group NV | | | 29,146 | | | | 1,457 | |
Shell PLC | | | 3,555 | | | | 117 | |
Wolters Kluwer NV | | | 7,314 | | | | 1,235 | |
| | | | | | | | 10,875 | |
| | | | | | | | | |
New Zealand — 0.7% |
Channel Infrastructure NZ | | | 266,336 | | | | 288 | |
Contact Energy Ltd | | | 34,847 | | | | 181 | |
Fisher & Paykel Healthcare Corp Ltd | | | 19,131 | | | | 423 | |
Fletcher Building Ltd * | | | 114,876 | | | | 216 | |
Genesis Energy Ltd | | | 146,183 | | | | 196 | |
Mercury NZ Ltd | | | 109,078 | | | | 448 | |
Meridian Energy Ltd | | | 35,190 | | | | 133 | |
Spark New Zealand Ltd | | | 132,000 | | | | 254 | |
| | | | | | | | 2,139 | |
| | | | | | | | | |
Norway — 1.7% |
DNB Bank ASA | | | 47,448 | | | | 975 | |
Norsk Hydro ASA | | | 28,454 | | | | 185 | |
Olav Thon Eiendomsselskap ASA | | | 8,266 | | | | 177 | |
Orkla ASA | | | 216,054 | | | | 2,040 | |
Sparebank 1 Oestlandet | | | 8,506 | | | | 117 | |
SpareBank 1 SR-Bank ASA | | | 17,208 | | | | 222 | |
Telenor ASA | | | 109,352 | | | | 1,402 | |
| | | | | | | | 5,118 | |
| | | | | | | | | |
Portugal — 0.5% |
Jeronimo Martins SGPS SA | | | 23,528 | | | | 463 | |
Navigator Co SA/The | | | 50,727 | | | | 209 | |
NOS SGPS SA | | | 88,787 | | | | 362 | |
REN - Redes Energeticas Nacionais SGPS SA | | | 41,729 | | | | 113 | |
Sonae SGPS SA | | | 383,487 | | | | 406 | |
| | | | | | | | 1,553 | |
| | | | | | | | | |
Singapore — 3.6% |
ComfortDelGro Corp Ltd | | | 344,000 | | | | 405 | |
DBS Group Holdings Ltd | | | 87,670 | | | | 2,602 | |
Jardine Cycle & Carriage Ltd | | | 118,400 | | | | 2,549 | |
Jardine Matheson Holdings Ltd | | | 12,200 | | | | 477 | |
Mapletree Logistics Trust ‡ | | | 154,270 | | | | 176 | |
Oversea-Chinese Banking Corp Ltd | | | 132,400 | | | | 1,559 | |
Sheng Siong Group Ltd | | | 292,300 | | | | 349 | |
Singapore Exchange Ltd | | | 79,400 | | | | 707 | |
Singapore Technologies Engineering Ltd | | | 110,400 | | | | 401 | |
United Overseas Bank Ltd | | | 70,700 | | | | 1,774 | |
Venture Corp Ltd | | | 8,100 | | | | 89 | |
| | | | | | | | 11,088 | |
| | | | | | | | | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
South Africa — 0.0% |
Thungela Resources Ltd | | | 1,394 | | | $ | 9 | |
| | | | | | | | | |
Spain — 2.2% |
ACS Actividades de Construccion y Servicios SA | | | 11,658 | | | | 540 | |
Aena SME SA | | | 693 | | | | 153 | |
CaixaBank SA | | | 14,847 | | | | 89 | |
Endesa SA | | | 14,923 | | | | 327 | |
Faes Farma SA | | | 27,579 | | | | 114 | |
Iberdrola SA | | | 62,325 | | | | 966 | |
Indra Sistemas | | | 23,422 | | | | 431 | |
Industria de Diseno Textil SA | | | 5,193 | | | | 308 | |
Logista Integral | | | 87,106 | | | | 2,631 | |
Repsol SA, Cl A | | | 63,539 | | | | 840 | |
Telefonica SA | | | 61,390 | | | | 301 | |
| | | | | | | | 6,700 | |
| | | | | | | | | |
Sweden — 2.9% |
Axfood AB | | | 13,229 | | | | 373 | |
Betsson, Cl B | | | 22,582 | | | | 278 | |
Epiroc AB, Cl B | | | 14,793 | | | | 281 | |
Essity AB, Cl B | | | 65,311 | | | | 2,042 | |
Industrivarden, Cl A | | | 7,672 | | | | 284 | |
Industrivarden AB, Cl C | | | 21,625 | | | | 796 | |
KNOW IT AB | | | 7,589 | | | | 118 | |
Nyfosa AB | | | 18,745 | | | | 223 | |
Securitas AB, Cl B | | | 52,616 | | | | 669 | |
Skandinaviska Enskilda Banken AB, Cl A | | | 47,192 | | | | 723 | |
Svenska Cellulosa AB SCA, Cl B | | | 11,438 | | | | 167 | |
Swedbank AB, Cl A | | | 32,836 | | | | 697 | |
Swedish Orphan Biovitrum AB * | | | 9,866 | | | | 318 | |
Telia Co AB | | | 271,983 | | | | 881 | |
Volvo AB, Cl B | | | 39,988 | | | | 1,058 | |
| | | | | | | | 8,908 | |
| | | | | | | | | |
Switzerland — 9.1% |
ABB Ltd | | | 11,765 | | | | 683 | |
Alcon Inc | | | 3,282 | | | | 328 | |
ALSO Holding AG | | | 606 | | | | 195 | |
Baloise Holding AG | | | 3,366 | | | | 688 | |
Basellandschaftliche Kantonalbank | | | 260 | | | | 261 | |
Berner Kantonalbank AG | | | 473 | | | | 128 | |
BKW AG | | | 6,357 | | | | 1,156 | |
Chocoladefabriken Lindt & Spruengli AG | | | 74 | | | | 957 | |
EFG International AG | | | 36,769 | | | | 495 | |
Emmi AG | | | 489 | | | | 501 | |
EMS-Chemie Holding AG | | | 206 | | | | 173 | |
Galderma Group * | | | 3,636 | | | | 339 | |
Givaudan SA | | | 46 | | | | 253 | |
Holcim AG | | | 12,184 | | | | 1,193 | |
Landis+Gyr Group AG | | | 1,298 | | | | 121 | |
Logitech International SA | | | 4,454 | | | | 399 | |
Nestle SA | | | 9,262 | | | | 933 | |
Novartis AG | | | 49,204 | | | | 5,667 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed International Managed Volatility Fund (Concluded)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
PSP Swiss Property AG | | | 3,886 | | | $ | 571 | |
Roche Holding AG | | | 8,844 | | | | 2,837 | |
Romande Energie Holding SA | | | 1,900 | | | | 110 | |
Sandoz Group AG | | | 4,317 | | | | 181 | |
Schindler Holding AG | | | 1,177 | | | | 346 | |
Sika AG | | | 1,337 | | | | 444 | |
Sonova Holding AG | | | 1,708 | | | | 615 | |
Swiss Life Holding AG | | | 1,571 | | | | 1,315 | |
Swiss Prime Site AG | | | 1,190 | | | | 134 | |
Swiss Re AG | | | 14,993 | | | | 2,074 | |
Swisscom AG | | | 2,718 | | | | 1,780 | |
Thurgauer Kantonalbank | | | 927 | | | | 137 | |
TX Group AG | | | 559 | | | | 94 | |
Valiant Holding AG | | | 8,563 | | | | 1,009 | |
Zurich Insurance Group AG | | | 2,861 | | | | 1,729 | |
| | | | | | | | 27,846 | |
| | | | | | | | | |
United Kingdom — 13.9% |
3i Group PLC | | | 15,611 | | | | 692 | |
Atalaya Mining PLC | | | 22,294 | | | | 121 | |
Aviva PLC | | | 15,164 | | | | 98 | |
B&M European Value Retail SA | | | 72,344 | | | | 403 | |
BAE Systems PLC | | | 220,242 | | | | 3,656 | |
Balfour Beatty PLC | | | 63,348 | | | | 366 | |
Bank of Georgia Group PLC | | | 10,762 | | | | 531 | |
BP PLC | | | 198,991 | | | | 1,046 | |
British American Tobacco PLC | | | 39,725 | | | | 1,451 | |
Britvic PLC | | | 61,970 | | | | 1,060 | |
BT Group PLC, Cl A | | | 485,618 | | | | 963 | |
Bunzl PLC | | | 17,859 | | | | 847 | |
Centamin PLC | | | 91,997 | | | | 181 | |
Centrica PLC | | | 339,442 | | | | 531 | |
Coca-Cola Europacific Partners PLC | | | 11,497 | | | | 905 | |
Coca-Cola HBC AG | | | 37,736 | | | | 1,348 | |
Computacenter PLC | | | 10,852 | | | | 360 | |
DCC PLC | | | 1,124 | | | | 77 | |
Diageo PLC | | | 3,992 | | | | 139 | |
Endeavour Mining PLC | | | 6,089 | | | | 145 | |
Ferguson Enterprises | | | 1,009 | | | | 199 | |
GSK PLC | | | 195,695 | | | | 3,981 | |
GSK PLC ADR | | | 9,074 | | | | 371 | |
Haleon PLC | | | 92,943 | | | | 490 | |
Howden Joinery Group PLC | | | 31,799 | | | | 387 | |
HSBC Holdings PLC | | | 111,428 | | | | 1,000 | |
Imperial Brands PLC | | | 111,853 | | | | 3,260 | |
Inchcape PLC | | | 12,434 | | | | 133 | |
J Sainsbury PLC | | | 514,865 | | | | 2,040 | |
Kingfisher PLC | | | 155,257 | | | | 671 | |
Pearson PLC | | | 53,237 | | | | 724 | |
Premier Foods PLC | | | 325,003 | | | | 800 | |
QinetiQ Group PLC | | | 291,526 | | | | 1,757 | |
RELX PLC | | | 23,211 | | | | 1,092 | |
Sage Group PLC/The | | | 82,555 | | | | 1,134 | |
Serco Group PLC | | | 347,382 | | | | 829 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Shell PLC | | | 69,558 | | | $ | 2,263 | |
Spirent Communications PLC | | | 75,809 | | | | 173 | |
Tesco PLC | | | 804,451 | | | | 3,871 | |
Unilever PLC | | | 24,439 | | | | 1,586 | |
Vodafone Group PLC | | | 760,283 | | | | 765 | |
Woodside Energy Group Ltd | | | 11,317 | | | | 198 | |
| | | | | | | | 42,644 | |
| | | | | | | | | |
United States — 0.2% |
Ferguson Enterprises Inc | | | 1,103 | | | | 219 | |
Spotify Technology SA * | | | 1,283 | | | | 473 | |
| | | | | | | | 692 | |
| | | | | | | | | |
Total Common Stock | | | | | | | | |
(Cost $208,249) ($ Thousands) | | | | | | | 296,358 | |
| | | | | | | | | |
PREFERRED STOCK — 1.0% |
Germany — 1.0% |
Henkel AG & Co KGaA (A) | | | 30,256 | | | | 2,850 | |
| | | | | | | | | |
Total Preferred Stock | | | | | | | | |
(Cost $1,993) ($ Thousands) | | | | | | | 2,850 | |
| | | | Number of
Rights | | | | | |
RIGHT — 0.0% |
New Zealand — 0.0% | | | | |
Fletcher Building Ltd, Expires 10/11/2024 * | | | 25,585 | | | | 9 | |
Total Right | | | | | | | | |
(Cost $—) ($ Thousands) | | | | | | | 9 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
CASH EQUIVALENT — 0.4% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 1,366,922 | | | | 1,367 | |
Total Cash Equivalent | | | | | | | | |
(Cost $1,367) ($ Thousands) | | | | | | | 1,367 | |
Total Investments in Securities — 98.1% | | | | | | | | |
(Cost $211,609) ($ Thousands) | | $ | 300,584 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Managed International Managed Volatility Fund (Concluded)
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Euro STOXX 50 | | | 3 | | | | Dec-2024 | | | $ | 163 | | | $ | 168 | | | $ | 5 | |
FTSE 100 Index | | | 1 | | | | Dec-2024 | | | | 111 | | | | 111 | | | | – | |
SPI 200 Index | | | 1 | | | | Dec-2024 | | | | 139 | | | | 144 | | | | 1 | |
TOPIX Index | | | 1 | | | | Dec-2024 | | | | 185 | | | | 185 | | | | (1 | ) |
| | | | | | | | | | | $ | 598 | | | $ | 608 | | | $ | 5 | |
| Percentages are based on Net Assets of $306,517 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
(A) | No interest rate available. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 296,358 | | | | — | | | | — | | | | 296,358 | |
Preferred Stock | | | 2,850 | | | | — | | | | — | | | | 2,850 | |
Cash Equivalent | | | 1,367 | | | | — | | | | — | | | | 1,367 | |
Right | | | 9 | | | | — | | | | — | | | | 9 | |
Total Investments in Securities | | | 300,584 | | | | — | | | | — | | | | 300,584 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 6 | | | | – | | | | – | | | | 6 | |
| | Unrealized Depreciation | | | (1 | ) | | | – | | | | – | | | | (1 | ) |
Total Other Financial Instruments | | | 5 | | | | – | | | | – | | | | 5 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 2,591 | | | $ | 51,733 | | | $ | (54,318 | ) | | $ | (3 | ) | | $ | (3 | ) | | $ | — | | | $ | 41 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 1,096 | | | | 65,654 | | | | (65,383 | ) | | | — | | | | — | | | | 1,367 | | | | 157 | | | | — | |
Totals | | $ | 3,687 | | | $ | 117,387 | | | $ | (119,701 | ) | | $ | (3 | ) | | $ | (3 | ) | | $ | 1,367 | | | $ | 198 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Real Estate Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† — 99.1% |
| | | | | | | | | |
Real Estate — 99.1% | | | | |
Alexandria Real Estate Equities Inc ‡ | | | 11,640 | | | $ | 1,382 | |
American Healthcare REIT Inc ‡ | | | 30,650 | | | | 800 | |
Apple Hospitality REIT Inc ‡ | | | 23,790 | | | | 353 | |
Brixmor Property Group Inc ‡ | | | 64,130 | | | | 1,787 | |
BXP Inc ‡ | | | 21,790 | | | | 1,753 | |
Camden Property Trust ‡ | | | 19,650 | | | | 2,427 | |
CareTrust REIT Inc ‡ | | | 8,410 | | | | 260 | |
Cousins Properties Inc ‡ | | | 40,910 | | | | 1,206 | |
CubeSmart ‡ | | | 16,236 | | | | 874 | |
DiamondRock Hospitality Co ‡ | | | 59,254 | | | | 517 | |
Digital Realty Trust Inc, Cl A ‡ | | | 24,560 | | | | 3,975 | |
Douglas Emmett Inc ‡ | | | 29,520 | | | | 519 | |
EastGroup Properties Inc ‡ | | | 5,150 | | | | 962 | |
Equinix Inc ‡ | | | 8,365 | | | | 7,425 | |
Equity Residential ‡ | | | 43,626 | | | | 3,248 | |
Extra Space Storage Inc ‡ | | | 20,070 | | | | 3,616 | |
First Industrial Realty Trust Inc ‡ | | | 33,030 | | | | 1,849 | |
Healthpeak Properties Inc ‡ | | | 85,370 | | | | 1,952 | |
Host Hotels & Resorts Inc ‡ | | | 100,790 | | | | 1,774 | |
InvenTrust Properties Corp ‡ | | | 12,949 | | | | 367 | |
Invitation Homes Inc ‡ | | | 78,000 | | | | 2,750 | |
Iron Mountain Inc ‡ | | | 16,780 | | | | 1,994 | |
Kilroy Realty Corp ‡ | | | 12,770 | | | | 494 | |
Kimco Realty Corp ‡ | | | 112,320 | | | | 2,608 | |
Lineage Inc ‡ | | | 8,430 | | | | 661 | |
Macerich Co/The ‡ | | | 26,950 | | | | 492 | |
National Health Investors Inc ‡ | | | 2,930 | | | | 246 | |
Omega Healthcare Investors Inc ‡ | | | 26,930 | | | | 1,096 | |
Pebblebrook Hotel Trust ‡ | | | 9,900 | | | | 131 | |
Phillips Edison & Co Inc ‡ | | | 16,087 | | | | 607 | |
Prologis Inc ‡ | | | 50,890 | | | | 6,426 | |
Public Storage ‡ | | | 7,930 | | | | 2,885 | |
Retail Opportunity Investments Corp ‡ | | | 64,378 | | | | 1,013 | |
Rexford Industrial Realty Inc ‡ | | | 29,060 | | | | 1,462 | |
Ryman Hospitality Properties Inc ‡ | | | 2,301 | | | | 247 | |
SBA Communications Corp, Cl A ‡ | | | 3,290 | | | | 792 | |
Simon Property Group Inc ‡ | | | 19,256 | | | | 3,255 | |
Sun Communities Inc ‡ | | | 15,930 | | | | 2,153 | |
UDR Inc ‡ | | | 67,350 | | | | 3,054 | |
Ventas Inc ‡ | | | 53,050 | | | | 3,402 | |
Vornado Realty Trust ‡ | | | 13,850 | | | | 546 | |
Welltower Inc ‡ | | | 29,310 | | | | 3,753 | |
Xenia Hotels & Resorts Inc ‡ | | | 8,372 | | | | 124 | |
| | | | | | | | | |
| | | | | | | | 77,237 | |
Total Common Stock | | | | | | | | |
(Cost $50,891) ($ Thousands) | | | | | | | 77,237 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
CASH EQUIVALENT — 0.9% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 699,867 | | | $ | 700 | |
Total Cash Equivalent | | | | | | | | |
(Cost $700) ($ Thousands) | | | | | | | 700 | |
Total Investments in Securities — 100.0% | | | | | | | | |
(Cost $51,591) ($ Thousands) | | $ | 77,937 | |
| | | | | | | | | |
| | | | | | | | | |
| Percentages are based on Net Assets of $77,938 ($ Thousands). |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
As of September 30, 2024, all of the Fund's investments were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP. |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Real Estate Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 4 | | | $ | 1,020 | | | $ | (1,025 | ) | | $ | — | | | $ | 1 | | | $ | — | | | $ | 1 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 973 | | | | 17,980 | | | | (18,253 | ) | | | — | | | | — | | | | 700 | | | | 38 | | | | — | |
Totals | | $ | 977 | | | $ | 19,000 | | | $ | (19,278 | ) | | $ | – | | | $ | 1 | | | $ | 700 | | | $ | 39 | | | $ | — | |
Amounts designated as “-” are either $0 or have been rounded to be $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES — 39.7% |
Agency Mortgage-Backed Obligations — 35.2% | | | | |
FHLMC | | | | | | | | |
7.500%, 05/01/2031 to 02/01/2038 | | $ | 154 | | | $ | 158 | |
7.000%, 04/01/2031 to 03/01/2039 | | | 44 | | | | 46 | |
6.500%, 10/01/2031 to 09/01/2054 | | | 5,517 | | | | 5,713 | |
6.000%, 02/01/2032 to 09/01/2054 | | | 25,266 | | | | 26,191 | |
5.500%, 11/01/2052 to 07/01/2054 | | | 17,913 | | | | 18,237 | |
5.000%, 06/01/2033 to 05/01/2053 | | | 11,117 | | | | 11,182 | |
4.500%, 04/01/2035 to 08/01/2053 | | | 18,900 | | | | 18,700 | |
4.000%, 08/01/2041 to 02/01/2053 | | | 27,100 | | | | 26,250 | |
3.500%, 01/01/2038 to 05/01/2052 | | | 20,244 | | | | 19,231 | |
3.000%, 10/01/2032 to 06/01/2052 | | | 56,056 | | | | 51,128 | |
2.500%, 10/01/2031 to 07/01/2052 | | | 64,740 | | | | 56,646 | |
2.000%, 01/01/2037 to 05/01/2052 | | | 69,441 | | | | 59,187 | |
1.500%, 11/01/2040 to 05/01/2051 | | | 11,303 | | | | 9,146 | |
0.000%, 07/15/2031(A) | | | 265 | | | | 201 | |
FHLMC ARM | | | | | | | | |
4.220%, SOFR30A + 2.304%, 05/01/2053(B) | | | 1,388 | | | | 1,375 | |
3.964%, SOFR30A + 2.140%, 08/01/2052(B) | | | 512 | | | | 499 | |
3.151%, RFUCCT1Y + 1.640%, 11/01/2048(B) | | | 373 | | | | 376 | |
3.100%, RFUCCT1Y + 1.621%, 02/01/2050(B) | | | 201 | | | | 198 | |
3.008%, RFUCCT1Y + 1.627%, 11/01/2048(B) | | | 1,099 | | | | 1,073 | |
2.931%, RFUCCT1Y + 1.619%, 11/01/2047(B) | | | 366 | | | | 366 | |
2.635%, RFUCCT1Y + 1.634%, 12/01/2050(B) | | | 455 | | | | 430 | |
FHLMC CMO, Ser 2001-2277, Cl B | | | | | | | | |
7.500%, 01/15/2031 | | | 14 | | | | 15 | |
FHLMC CMO, Ser 2002-2399, Cl XG | | | | | | | | |
6.500%, 01/15/2032 | | | 116 | | | | 121 | |
FHLMC CMO, Ser 2006-R007, Cl ZA | | | | | | | | |
6.000%, 05/15/2036 | | | 347 | | | | 364 | |
FHLMC CMO, Ser 2007-3281, Cl AI, IO | | | | | | | | |
0.974%, 02/15/2037(B) | | | 26 | | | | 3 | |
FHLMC CMO, Ser 2007-3294, Cl CB | | | | | | | | |
5.500%, 03/15/2037 | | | 81 | | | | 86 | |
FHLMC CMO, Ser 2007-3316, Cl JO, PO | | | | | | | | |
0.000%, 05/15/2037(A) | | | 1 | | | | 1 | |
FHLMC CMO, Ser 2008-3451, Cl SB, IO | | | | | | | | |
0.574%, 05/15/2038(B) | | | 3 | | | | – | |
FHLMC CMO, Ser 2010-3621, Cl SB, IO | | | | | | | | |
0.774%, 01/15/2040(B) | | | 19 | | | | 2 | |
FHLMC CMO, Ser 2010-3693, Cl FC | | | | | | | | |
5.957%, SOFR30A + 0.614%, 07/15/2040(B) | | | 199 | | | | 198 | |
FHLMC CMO, Ser 2011-3919, Cl FA | | | | | | | | |
5.957%, SOFR30A + 0.614%, 09/15/2041(B) | | | 189 | | | | 188 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FHLMC CMO, Ser 2011-3947, Cl SG, IO | | | | | | | | |
0.494%, 10/15/2041(B) | | $ | 161 | | | $ | 20 | |
FHLMC CMO, Ser 2011-3951, Cl FN | | | | | | | | |
5.907%, SOFR30A + 0.564%, 11/15/2041(B) | | | 145 | | | | 145 | |
FHLMC CMO, Ser 2011-3958, Cl AF | | | | | | | | |
5.907%, SOFR30A + 0.564%, 11/15/2041(B) | | | 180 | | | | 180 | |
FHLMC CMO, Ser 2011-3975, Cl CF | | | | | | | | |
5.947%, SOFR30A + 0.604%, 12/15/2041(B) | | | 143 | | | | 143 | |
FHLMC CMO, Ser 2011-3975, Cl FA | | | | | | | | |
5.947%, SOFR30A + 0.604%, 12/15/2041(B) | | | 172 | | | | 172 | |
FHLMC CMO, Ser 2012-264, Cl 30 | | | | | | | | |
3.000%, 07/15/2042 | | | 790 | | | | 737 | |
FHLMC CMO, Ser 2012-271, Cl F5 | | | | | | | | |
5.957%, SOFR30A + 0.614%, 08/15/2042(B) | | | 257 | | | | 256 | |
FHLMC CMO, Ser 2012-271, Cl 30 | | | | | | | | |
3.000%, 08/15/2042 | | | 208 | | | | 196 | |
FHLMC CMO, Ser 2012-272, Cl F1 | | | | | | | | |
5.957%, SOFR30A + 0.614%, 08/15/2042(B) | | | 410 | | | | 407 | |
FHLMC CMO, Ser 2012-280, Cl F1 | | | | | | | | |
5.957%, SOFR30A + 0.614%, 09/15/2042(B) | | | 420 | | | | 417 | |
FHLMC CMO, Ser 2012-283, Cl IO, IO | | | | | | | | |
3.500%, 10/15/2027 | | | 59 | | | | 2 | |
FHLMC CMO, Ser 2012-3990, Cl FG | | | | | | | | |
5.907%, SOFR30A + 0.564%, 01/15/2042(B) | | | 212 | | | | 211 | |
FHLMC CMO, Ser 2012-4047, Cl CX | | | | | | | | |
3.500%, 05/15/2042 | | | 821 | | | | 770 | |
FHLMC CMO, Ser 2012-4054, Cl SA, IO | | | | | | | | |
0.594%, 08/15/2039(B) | | | 280 | | | | 30 | |
FHLMC CMO, Ser 2012-4059, Cl FP | | | | | | | | |
5.907%, SOFR30A + 0.564%, 06/15/2042(B) | | | 235 | | | | 234 | |
FHLMC CMO, Ser 2012-4091, Cl MX | | | | | | | | |
3.250%, 02/15/2042 | | | 317 | | | | 298 | |
FHLMC CMO, Ser 2012-4091, Cl BX | | | | | | | | |
3.250%, 10/15/2041 | | | 400 | | | | 378 | |
FHLMC CMO, Ser 2012-4091, Cl FN | | | | | | | | |
5.857%, SOFR30A + 0.514%, 08/15/2042(B) | | | 232 | | | | 230 | |
FHLMC CMO, Ser 2012-4091, Cl EX | | | | | | | | |
3.375%, 07/15/2042 | | | 256 | | | | 242 | |
FHLMC CMO, Ser 2012-4117, Cl HB | | | | | | | | |
2.500%, 10/15/2042 | | | 283 | | | | 251 | |
FHLMC CMO, Ser 2012-4122, Cl FP | | | | | | | | |
5.857%, SOFR30A + 0.514%, 10/15/2042(B) | | | 288 | | | | 285 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FHLMC CMO, Ser 2012-4146, Cl DI, IO | | | | | | | | |
3.000%, 12/15/2031 | | $ | 159 | | | $ | 6 | |
FHLMC CMO, Ser 2013-4160, Cl HP | | | | | | | | |
2.500%, 01/15/2033 | | | 280 | | | | 269 | |
FHLMC CMO, Ser 2013-4194, Cl BI, IO | | | | | | | | |
3.500%, 04/15/2043 | | | 42 | | | | 7 | |
FHLMC CMO, Ser 2013-4203, Cl PS, IO | | | | | | | | |
0.794%, 09/15/2042(B) | | | 147 | | | | 12 | |
FHLMC CMO, Ser 2013-4205, Cl PA | | | | | | | | |
1.750%, 05/15/2043 | | | 255 | | | | 221 | |
FHLMC CMO, Ser 2013-4210, Cl Z | | | | | | | | |
3.000%, 05/15/2043 | | | 75 | | | | 63 | |
FHLMC CMO, Ser 2013-4239, Cl IO, IO | | | | | | | | |
3.500%, 06/15/2027 | | | 28 | | | | 1 | |
FHLMC CMO, Ser 2013-4240, Cl FA | | | | | | | | |
5.957%, SOFR30A + 0.614%, 08/15/2043(B) | | | 751 | | | | 742 | |
FHLMC CMO, Ser 2013-4286, Cl VF | | | | | | | | |
5.907%, SOFR30A + 0.564%, 12/15/2043(B) | | | 553 | | | | 548 | |
FHLMC CMO, Ser 2014-328, Cl S4, IO | | | | | | | | |
0.902%, 02/15/2038(B) | | | 8 | | | | – | |
FHLMC CMO, Ser 2014-4335, Cl SW, IO | | | | | | | | |
0.544%, 05/15/2044(B) | | | 32 | | | | 4 | |
FHLMC CMO, Ser 2014-4391, Cl MZ | | | | | | | | |
3.000%, 09/15/2044 | | | 135 | | | | 123 | |
FHLMC CMO, Ser 2014-4415, Cl IO, IO | | | | | | | | |
0.959%, 04/15/2041(B) | | | 96 | | | | 5 | |
FHLMC CMO, Ser 2015-4427, Cl CE | | | | | | | | |
3.000%, 02/15/2034 | | | 85 | | | | 84 | |
FHLMC CMO, Ser 2015-4446, Cl CP | | | | | | | | |
2.250%, 03/15/2045 | | | 347 | | | | 309 | |
FHLMC CMO, Ser 2015-4527, Cl GA | | | | | | | | |
3.000%, 02/15/2044 | | | 484 | | | | 466 | |
FHLMC CMO, Ser 2015-4533, Cl AB | | | | | | | | |
3.000%, 06/15/2044 | | | 741 | | | | 712 | |
FHLMC CMO, Ser 2016-353, Cl S1, IO | | | | | | | | |
0.544%, 12/15/2046(B) | | | 222 | | | | 26 | |
FHLMC CMO, Ser 2016-4544, Cl P | | | | | | | | |
2.500%, 01/15/2046 | | | 1,562 | | | | 1,385 | |
FHLMC CMO, Ser 2016-4582, Cl HA | | | | | | | | |
3.000%, 09/15/2045 | | | 1,268 | | | | 1,207 | |
FHLMC CMO, Ser 2016-4587, Cl AF | | | | | | | | |
5.807%, SOFR30A + 0.464%, 06/15/2046(B) | | | 379 | | | | 376 | |
FHLMC CMO, Ser 2016-4604, Cl FB | | | | | | | | |
5.857%, SOFR30A + 0.514%, 08/15/2046(B) | | | 658 | | | | 652 | |
FHLMC CMO, Ser 2016-4611, Cl BF | | | | | | | | |
5.857%, SOFR30A + 0.514%, 06/15/2041(B) | | | 2,499 | | | | 2,476 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FHLMC CMO, Ser 2016-4620, Cl LF | | | | | | | | |
5.857%, SOFR30A + 0.514%, 10/15/2046(B) | | $ | 363 | | | $ | 360 | |
FHLMC CMO, Ser 2016-4628, Cl KF | | | | | | | | |
5.957%, SOFR30A + 0.614%, 01/15/2055(B) | | | 381 | | | | 377 | |
FHLMC CMO, Ser 2016-4639, Cl HZ | | | | | | | | |
3.250%, 04/15/2053(C) | | | 1,939 | | | | 1,640 | |
FHLMC CMO, Ser 2017-356, Cl 300 | | | | | | | | |
3.000%, 09/15/2047 | | | 1,045 | | | | 962 | |
FHLMC CMO, Ser 2017-4709, Cl FA | | | | | | | | |
5.757%, SOFR30A + 0.414%, 08/15/2047(B) | | | 265 | | | | 261 | |
FHLMC CMO, Ser 2017-4719, Cl LM | | | | | | | | |
3.000%, 09/15/2047 | | | 287 | | | | 260 | |
FHLMC CMO, Ser 2017-4719, Cl LA | | | | | | | | |
3.500%, 09/15/2047 | | | 362 | | | | 337 | |
FHLMC CMO, Ser 2017-4742, Cl PA | | | | | | | | |
3.000%, 10/15/2047 | | | 773 | | | | 713 | |
FHLMC CMO, Ser 2018-4753, Cl BD | | | | | | | | |
3.000%, 01/15/2048 | | | 292 | | | | 263 | |
FHLMC CMO, Ser 2018-4813, Cl CJ | | | | | | | | |
3.000%, 08/15/2048 | | | 170 | | | | 151 | |
FHLMC CMO, Ser 2018-4818, Cl CA | | | | | | | | |
3.000%, 04/15/2048 | | | 368 | | | | 334 | |
FHLMC CMO, Ser 2018-4826, Cl KF | | | | | | | | |
5.757%, SOFR30A + 0.414%, 09/15/2048(B) | | | 241 | | | | 237 | |
FHLMC CMO, Ser 2018-4846, Cl PA | | | | | | | | |
4.000%, 06/15/2047 | | | 19 | | | | 19 | |
FHLMC CMO, Ser 2018-4854, Cl FB | | | | | | | | |
5.757%, SOFR30A + 0.414%, 01/15/2049(B) | | | 698 | | | | 690 | |
FHLMC CMO, Ser 2018-4857, Cl JA | | | | | | | | |
3.350%, 01/15/2049 | | | 1,124 | | | | 1,082 | |
FHLMC CMO, Ser 2019-4880, Cl DA | | | | | | | | |
3.000%, 05/15/2050 | | | 540 | | | | 501 | |
FHLMC CMO, Ser 2019-4903, Cl NF | | | | | | | | |
5.795%, SOFR30A + 0.514%, 08/25/2049(B) | | | 228 | | | | 225 | |
FHLMC CMO, Ser 2019-4927, Cl BG | | | | | | | | |
3.000%, 11/25/2049 | | | 498 | | | | 463 | |
FHLMC CMO, Ser 2019-4937, Cl MD | | | | | | | | |
2.500%, 10/25/2049 | | | 503 | | | | 451 | |
FHLMC CMO, Ser 2019-4940, Cl AG | | | | | | | | |
3.000%, 05/15/2040 | | | 312 | | | | 297 | |
FHLMC CMO, Ser 2019-4941, Cl GA | | | | | | | | |
2.000%, 12/15/2047 | | | 285 | | | | 243 | |
FHLMC CMO, Ser 2020-4954, Cl LB | | | | | | | | |
2.500%, 02/25/2050 | | | 311 | | | | 276 | |
FHLMC CMO, Ser 2020-4957, Cl MY | | | | | | | | |
3.000%, 02/25/2050 | | | 312 | | | | 264 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FHLMC CMO, Ser 2020-4979, Cl UC | | | | | | | | |
1.500%, 06/25/2050 | | $ | 918 | | | $ | 741 | |
FHLMC CMO, Ser 2020-4988, Cl KF | | | | | | | | |
5.745%, SOFR30A + 0.464%, 07/25/2050(B) | | | 380 | | | | 378 | |
FHLMC CMO, Ser 2020-4991, Cl QV | | | | | | | | |
2.000%, 09/25/2045 | | | 273 | | | | 229 | |
FHLMC CMO, Ser 2020-4993, Cl KF | | | | | | | | |
5.845%, SOFR30A + 0.564%, 07/25/2050(B) | | | 2,196 | | | | 2,146 | |
FHLMC CMO, Ser 2020-4995, Cl IC, IO | | | | | | | | |
4.500%, 07/25/2050 | | | 639 | | | | 99 | |
FHLMC CMO, Ser 2020-5004, Cl FM | | | | | | | | |
5.745%, SOFR30A + 0.464%, 08/25/2050(B) | | | 449 | | | | 436 | |
FHLMC CMO, Ser 2020-5010, Cl JI, IO | | | | | | | | |
2.500%, 09/25/2050 | | | 673 | | | | 107 | |
FHLMC CMO, Ser 2020-5010, Cl IK, IO | | | | | | | | |
2.500%, 09/25/2050 | | | 311 | | | | 47 | |
FHLMC CMO, Ser 2020-5012, Cl BI, IO | | | | | | | | |
4.000%, 09/25/2050 | | | 2,392 | | | | 496 | |
FHLMC CMO, Ser 2020-5013, Cl IN, IO | | | | | | | | |
2.500%, 09/25/2050 | | | 382 | | | | 60 | |
FHLMC CMO, Ser 2020-5018, Cl MI, IO | | | | | | | | |
2.000%, 10/25/2050 | | | 467 | | | | 61 | |
FHLMC CMO, Ser 2020-5020, Cl ET | | | | | | | | |
3.500%, 10/25/2050 | | | 424 | | | | 393 | |
FHLMC CMO, Ser 2020-5040, Cl IB, IO | | | | | | | | |
2.500%, 11/25/2050 | | | 130 | | | | 18 | |
FHLMC CMO, Ser 2020-5050, Cl IE, IO | | | | | | | | |
2.000%, 12/25/2050 | | | 1,938 | | | | 224 | |
FHLMC CMO, Ser 2020-5058, Cl BC | | | | | | | | |
5.000%, 11/25/2050 | | | 301 | | | | 304 | |
FHLMC CMO, Ser 2020-5059, Cl IB, IO | | | | | | | | |
2.500%, 01/25/2051 | | | 706 | | | | 113 | |
FHLMC CMO, Ser 2020-5068, Cl AI, IO | | | | | | | | |
3.000%, 11/25/2050 | | | 584 | | | | 97 | |
FHLMC CMO, Ser 2021-5070, Cl DI, IO | | | | | | | | |
4.000%, 02/25/2051 | | | 2,077 | | | | 430 | |
FHLMC CMO, Ser 2021-5071, Cl IH, IO | | | | | | | | |
2.500%, 02/25/2051 | | | 467 | | | | 58 | |
FHLMC CMO, Ser 2021-5085, Cl NI, IO | | | | | | | | |
2.000%, 03/25/2051 | | | 960 | | | | 113 | |
FHLMC CMO, Ser 2021-5091, Cl AB | | | | | | | | |
1.500%, 03/25/2051 | | | 853 | | | | 700 | |
FHLMC CMO, Ser 2021-5092, Cl AP | | | | | | | | |
2.000%, 04/25/2041 | | | 370 | | | | 325 | |
FHLMC CMO, Ser 2021-5092, Cl HE | | | | | | | | |
2.000%, 02/25/2051 | | | 502 | | | | 421 | |
FHLMC CMO, Ser 2021-5093, Cl IY, IO | | | | | | | | |
4.500%, 12/25/2050 | | | 914 | | | | 191 | |
FHLMC CMO, Ser 2021-5115, Cl IO, IO | | | | | | | | |
4.500%, 10/25/2049 | | | 466 | | | | 100 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FHLMC CMO, Ser 2021-5116, Cl PB | | | | | | | | |
2.250%, 02/25/2051 | | $ | 522 | | | $ | 464 | |
FHLMC CMO, Ser 2021-5118, Cl CA | | | | | | | | |
1.500%, 10/15/2033 | | | 473 | | | | 432 | |
FHLMC CMO, Ser 2021-5118, Cl NI, IO | | | | | | | | |
2.000%, 02/25/2051 | | | 1,474 | | | | 185 | |
FHLMC CMO, Ser 2021-5119, Cl QF | | | | | | | | |
5.480%, SOFR30A + 0.200%, 06/25/2051(B) | | | 662 | | | | 630 | |
FHLMC CMO, Ser 2021-5119, Cl AB | | | | | | | | |
1.500%, 08/25/2049 | | | 408 | | | | 330 | |
FHLMC CMO, Ser 2021-5140, Cl NI, IO | | | | | | | | |
2.500%, 05/25/2049 | | | 921 | | | | 128 | |
FHLMC CMO, Ser 2021-5143, Cl GA | | | | | | | | |
2.000%, 06/25/2049 | | | 335 | | | | 280 | |
FHLMC CMO, Ser 2021-5159, Cl IP, IO | | | | | | | | |
3.000%, 11/25/2051 | | | 688 | | | | 96 | |
FHLMC CMO, Ser 2021-5161, Cl IO, IO | | | | | | | | |
2.000%, 03/25/2051 | | | 775 | | | | 106 | |
FHLMC CMO, Ser 2021-5178, Cl TP | | | | | | | | |
2.500%, 04/25/2049 | | | 740 | | | | 661 | |
FHLMC CMO, Ser 2021-5182, Cl M | | | | | | | | |
2.500%, 05/25/2049 | | | 448 | | | | 404 | |
FHLMC CMO, Ser 2021-5184, Cl AB | | | | | | | | |
2.500%, 05/25/2048 | | | 310 | | | | 283 | |
FHLMC CMO, Ser 2022-5201, Cl CA | | | | | | | | |
2.500%, 07/25/2048 | | | 635 | | | | 583 | |
FHLMC CMO, Ser 2022-5201, Cl MN | | | | | | | | |
3.000%, 04/25/2048 | | | 301 | | | | 285 | |
FHLMC CMO, Ser 2022-5202, Cl KA | | | | | | | | |
2.500%, 06/25/2049 | | | 439 | | | | 395 | |
FHLMC CMO, Ser 2022-5202, Cl LA | | | | | | | | |
2.500%, 05/25/2049 | | | 678 | | | | 604 | |
FHLMC CMO, Ser 2022-5202, Cl TA | | | | | | | | |
2.500%, 12/25/2048 | | | 912 | | | | 846 | |
FHLMC CMO, Ser 2022-5202, Cl MB | | | | | | | | |
3.000%, 11/25/2048 | | | 797 | | | | 737 | |
FHLMC CMO, Ser 2022-5202, Cl BH | | | | | | | | |
2.000%, 12/25/2047 | | | 329 | | | | 303 | |
FHLMC CMO, Ser 2022-5202, Cl IN, IO | | | | | | | | |
3.000%, 01/25/2047 | | | 688 | | | | 86 | |
FHLMC CMO, Ser 2022-5206, Cl CD | | | | | | | | |
3.500%, 05/25/2049 | | | 611 | | | | 577 | |
FHLMC CMO, Ser 2022-5207, Cl PA | | | | | | | | |
3.000%, 06/25/2051 | | | 679 | | | | 614 | |
FHLMC CMO, Ser 2022-5209, Cl EA | | | | | | | | |
3.000%, 08/25/2050 | | | 505 | | | | 468 | |
FHLMC CMO, Ser 2022-5209, Cl EJ | | | | | | | | |
3.000%, 08/25/2050 | | | 505 | | | | 468 | |
FHLMC CMO, Ser 2022-5210, Cl DC | | | | | | | | |
3.000%, 09/25/2051 | | | 472 | | | | 444 | |
FHLMC CMO, Ser 2022-5214, Cl BY | | | | | | | | |
3.000%, 04/25/2052 | | | 480 | | | | 406 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FHLMC CMO, Ser 2022-5217, Cl CD | | | | | | | | |
2.500%, 07/25/2049 | | $ | 540 | | | $ | 507 | |
FHLMC CMO, Ser 2022-5220, Cl QK | | | | | | | | |
3.500%, 09/25/2050 | | | 984 | | | | 945 | |
FHLMC CMO, Ser 2022-5224, Cl HL | | | | | | | | |
4.000%, 04/25/2052 | | | 2,100 | | | | 1,969 | |
FHLMC CMO, Ser 2022-5228, Cl TN | | | | | | | | |
3.500%, 07/25/2039 | | | 335 | | | | 324 | |
FHLMC CMO, Ser 2022-5274, Cl IO, IO | | | | | | | | |
2.500%, 01/25/2051 | | | 624 | | | | 103 | |
FHLMC CMO, Ser 2022-5282, Cl GI, IO | | | | | | | | |
4.000%, 02/25/2050 | | | 501 | | | | 102 | |
FHLMC CMO, Ser 2023-390, Cl C14, IO | | | | | | | | |
4.000%, 11/15/2052 | | | 466 | | | | 109 | |
FHLMC CMO, Ser 2023-400, Cl C9, IO | | | | | | | | |
2.000%, 03/25/2052 | | | 751 | | | | 102 | |
FHLMC CMO, Ser 2023-5293, Cl CI, IO | | | | | | | | |
2.500%, 04/25/2051 | | | 1,529 | | | | 229 | |
FHLMC CMO, Ser 2023-5293, Cl KI, IO | | | | | | | | |
2.000%, 02/25/2051 | | | 1,833 | | | | 238 | |
FHLMC CMO, Ser 2023-5293, Cl IO, IO | | | | | | | | |
2.000%, 03/25/2051 | | | 2,692 | | | | 320 | |
FHLMC CMO, Ser 2023-5335, Cl FB | | | | | | | | |
6.157%, SOFR30A + 0.814%, 10/15/2039(B) | | | 825 | | | | 828 | |
FHLMC CMO, Ser 2023-5338, Cl FH | | | | | | | | |
5.757%, SOFR30A + 0.414%, 04/15/2045(B) | | | 818 | | | | 805 | |
FHLMC CMO, Ser 2023-5377, Cl IO, IO | | | | | | | | |
2.500%, 12/25/2051 | | | 850 | | | | 105 | |
FHLMC CMO, Ser 2024-5386, Cl DM | | | | | | | | |
2.000%, 03/25/2044 | | | 532 | | | | 395 | |
FHLMC CMO, Ser 2024-5389, Cl IC, IO | | | | | | | | |
4.500%, 11/25/2051 | | | 943 | | | | 207 | |
FHLMC CMO, Ser 2024-5396, Cl HF | | | | | | | | |
6.230%, SOFR30A + 0.950%, 04/25/2054(B) | | | 1,164 | | | | 1,168 | |
FHLMC CMO, Ser 2024-5399, Cl FB | | | | | | | | |
6.180%, SOFR30A + 0.900%, 04/25/2054(B) | | | 656 | | | | 655 | |
FHLMC CMO, Ser 2024-5410, Cl JY | | | | | | | | |
3.000%, 03/15/2044 | | | 462 | | | | 406 | |
FHLMC CMO, Ser 2024-5452, Cl KY | | | | | | | | |
3.000%, 03/15/2044 | | | 489 | | | | 435 | |
FHLMC Multiclass Certificates, Ser P009, Cl A2 | | | | | | | | |
1.878%, 01/25/2031 | | | 500 | | | | 439 | |
FHLMC Multifamily Structured Pass Through Certificates, Ser 150, Cl X1, IO | | | | | | | | |
0.446%, 09/25/2032(B) | | | 8,496 | | | | 194 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser 152, Cl X1, IO | | | | | | | | |
0.301%, 11/25/2032(B) | | | 15,288 | | | | 214 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FHLMC Multifamily Structured Pass-Through Certificates, Ser 154, Cl X1, IO | | | | | | | | |
0.527%, 01/25/2033(B) | | $ | 13,695 | | | $ | 386 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser 155, Cl X1, IO | | | | | | | | |
0.421%, 04/25/2033(B) | | | 8,986 | | | | 200 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser 160, Cl X1, IO | | | | | | | | |
0.383%, 08/25/2033(B) | | | 4,999 | | | | 97 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K047, Cl A2 | | | | | | | | |
3.329%, 05/25/2025(B) | | | 277 | | | | 275 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K064, Cl X1, IO | | | | | | | | |
0.729%, 03/25/2027(B) | | | 4,428 | | | | 55 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl X1, IO | | | | | | | | |
1.012%, 06/25/2029(B) | | | 1,968 | | | | 68 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl XAM, IO | | | | | | | | |
1.282%, 06/25/2029(B) | | | 4,850 | | | | 235 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K095, Cl XAM, IO | | | | | | | | |
1.376%, 06/25/2029(B) | | | 700 | | | | 36 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K106, Cl X1, IO | | | | | | | | |
1.439%, 01/25/2030(B) | | | 3,294 | | | | 194 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K110, Cl X1, IO | | | | | | | | |
1.811%, 04/25/2030(B) | | | 1,880 | | | | 138 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K120, Cl X1, IO | | | | | | | | |
1.128%, 10/25/2030(B) | | | 5,426 | | | | 267 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K128, Cl X1, IO | | | | | | | | |
0.609%, 03/25/2031(B) | | | 9,002 | | | | 240 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K136, Cl X1, IO | | | | | | | | |
0.494%, 12/25/2031(B) | | | 12,031 | | | | 250 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K149, Cl X1, IO | | | | | | | | |
0.404%, 08/25/2032(B) | | | 11,261 | | | | 233 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K736, Cl X1, IO | | | | | | | | |
1.403%, 07/25/2026(B) | | | 945 | | | | 17 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K741, Cl X1, IO | | | | | | | | |
0.648%, 12/25/2027(B) | | | 2,971 | | | | 45 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser K743, Cl X1, IO | | | | | | | | |
1.019%, 05/25/2028(B) | | | 3,960 | | | | 115 | |
FHLMC Multifamily Structured Pass-Through Certificates, Ser KC05, Cl X1, IO | | | | | | | | |
1.362%, 06/25/2027(B) | | | 1,420 | | | | 32 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FHLMC Multifamily Structured Pass-Through Certificates, Ser S8FX, Cl A2 | | | | | | | | |
3.291%, 03/25/2027 | | $ | 320 | | | $ | 313 | |
FHLMC Reference REMIC CMO, Ser 2006-R006, Cl ZA | | | | | | | | |
6.000%, 04/15/2036 | | | 222 | | | | 236 | |
FHLMC REMIC CMO, Ser 2020-4980, Cl KI, IO | | | | | | | | |
4.500%, 06/25/2050 | | | 1,672 | | | | 369 | |
FHLMC STACR Debt Notes, Ser 2023-DNA2, Cl M1A | | | | | | | | |
7.363%, SOFR30A + 2.100%, 04/25/2043(B)(D) | | | 1,365 | | | | 1,385 | |
FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl B1 | | | | | | | | |
8.680%, SOFR30A + 3.400%, 10/25/2041(B)(D) | | | 920 | | | | 949 | |
FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2 | | | | | | | | |
6.780%, SOFR30A + 1.500%, 10/25/2041(B)(D) | | | 5,746 | | | | 5,777 | |
FHLMC STACR REMIC Trust, Ser 2022-DNA2, Cl M1B | | | | | | | | |
7.680%, SOFR30A + 2.400%, 02/25/2042(B)(D) | | | 1,220 | | | | 1,248 | |
FHLMC STACR REMIC Trust, Ser 2022-DNA2, Cl M2 | | | | | | | | |
9.030%, SOFR30A + 3.750%, 02/25/2042(B)(D) | | | 440 | | | | 462 | |
FHLMC STACR REMIC Trust, Ser 2022-DNA3, Cl B1 | | | | | | | | |
10.930%, SOFR30A + 5.650%, 04/25/2042(B)(D) | | | 420 | | | | 453 | |
FHLMC Structured Pass-Through Certificates, Ser 2007-76, Cl 2A | | | | | | | | |
2.358%, 10/25/2037(B) | | | 54 | | | | 49 | |
FNMA | | | | | | | | |
7.500%, 10/01/2037 to 01/01/2054 | | | 1,564 | | | | 1,644 | |
7.000%, 09/01/2026 to 01/01/2054 | | | 2,852 | | | | 2,985 | |
6.500%, 05/01/2027 to 09/01/2054 | | | 6,875 | | | | 7,193 | |
6.000%, 02/01/2034 to 09/01/2054 | | | 16,024 | | | | 16,554 | |
5.500%, 02/01/2035 to 09/01/2056 | | | 17,007 | | | | 17,284 | |
5.000%, 06/01/2038 to 05/01/2054 | | | 13,727 | | | | 13,854 | |
4.500%, 06/01/2035 to 08/01/2058 | | | 37,154 | | | | 36,771 | |
4.200%, 01/01/2029 | | | 775 | | | | 780 | |
4.000%, 01/01/2027 to 06/01/2057 | | | 31,299 | | | | 30,514 | |
3.500%, 05/01/2033 to 05/01/2052 | | | 36,649 | | | | 34,733 | |
3.020%, 05/01/2026 | | | 550 | | | | 540 | |
3.000%, 12/01/2031 to 07/01/2060 | | | 107,886 | | | | 99,040 | |
2.820%, 07/01/2027 | | | 538 | | | | 522 | |
2.500%, 03/01/2035 to 09/01/2061 | | | 73,460 | | | | 64,783 | |
2.000%, 05/01/2036 to 04/01/2052 | | | 139,519 | | | | 118,279 | |
1.850%, 09/01/2035 | | | 508 | | | | 446 | |
1.500%, 04/01/2041 to 03/01/2051 | | | 6,242 | | | | 5,033 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FNMA ARM | | | | | | | | |
7.096%, 12MTA + 1.952%, 11/01/2035(B) | | $ | 111 | | | $ | 114 | |
7.066%, 12MTA + 1.854%, 10/01/2035(B) | | | 119 | | | | 121 | |
7.026%, 12MTA + 1.848%, 10/01/2035(B) | | | 34 | | | | 35 | |
7.005%, 12MTA + 1.859%, 11/01/2035(B) | | | 27 | | | | 28 | |
4.648%, SOFR30A + 2.130%, 08/01/2052(B) | | | 851 | | | | 849 | |
4.609%, SOFR30A + 2.123%, 08/01/2052(B) | | | 1,807 | | | | 1,796 | |
4.361%, SOFR30A + 2.125%, 07/01/2052(B) | | | 935 | | | | 927 | |
4.186%, SOFR30A + 2.128%, 11/01/2052(B) | | | 582 | | | | 578 | |
4.132%, SOFR30A + 2.132%, 10/01/2052(B) | | | 1,815 | | | | 1,800 | |
4.112%, SOFR30A + 2.120%, 07/01/2052(B) | | | 733 | | | | 718 | |
4.110%, SOFR30A + 2.120%, 09/01/2052(B) | | | 706 | | | | 700 | |
3.943%, SOFR30A + 2.120%, 08/01/2052(B) | | | 212 | | | | 207 | |
3.826%, RFUCCT1Y + 1.603%, 03/01/2050(B) | | | 803 | | | | 817 | |
2.772%, RFUCCT1Y + 1.606%, 06/01/2050(B) | | | 358 | | | | 342 | |
FNMA CMO, Ser 1999-11, Cl Z | | | | | | | | |
5.500%, 03/25/2029 | | | 41 | | | | 40 | |
FNMA CMO, Ser 2005-29, Cl ZA | | | | | | | | |
5.500%, 04/25/2035 | | | 100 | | | | 105 | |
FNMA CMO, Ser 2006-112, Cl ST, IO | | | | | | | | |
1.305%, 11/25/2036(B) | | | 191 | | | | 11 | |
FNMA CMO, Ser 2009-103, Cl MB | | | | | | | | |
7.145%, 12/25/2039(B) | | | 14 | | | | 14 | |
FNMA CMO, Ser 2009-86, Cl BO, PO | | | | | | | | |
0.000%, 03/25/2037(A) | | | 259 | | | | 229 | |
FNMA CMO, Ser 2010-107, Cl FB | | | | | | | | |
5.805%, SOFR30A + 0.524%, 09/25/2040(B) | | | 189 | | | | 189 | |
FNMA CMO, Ser 2011-111, Cl DB | | | | | | | | |
4.000%, 11/25/2041 | | | 368 | | | | 360 | |
FNMA CMO, Ser 2011-117, Cl FA | | | | | | | | |
5.845%, SOFR30A + 0.564%, 11/25/2041(B) | | | 384 | | | | 383 | |
FNMA CMO, Ser 2011-117, Cl AF | | | | | | | | |
5.845%, SOFR30A + 0.564%, 11/25/2041(B) | | | 168 | | | | 167 | |
FNMA CMO, Ser 2011-127, Cl FC | | | | | | | | |
5.845%, SOFR30A + 0.564%, 12/25/2041(B) | | | 177 | | | | 177 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FNMA CMO, Ser 2011-142, Cl EF | | | | | | | | |
5.895%, SOFR30A + 0.614%, 01/25/2042(B) | | $ | 201 | | | $ | 201 | |
FNMA CMO, Ser 2011-59, Cl NZ | | | | | | | | |
5.500%, 07/25/2041 | | | 718 | | | | 746 | |
FNMA CMO, Ser 2011-87, Cl SG, IO | | | | | | | | |
1.155%, 04/25/2040(B) | | | 16 | | | | – | |
FNMA CMO, Ser 2011-96, Cl SA, IO | | | | | | | | |
1.155%, 10/25/2041(B) | | | 340 | | | | 29 | |
FNMA CMO, Ser 2012-101, Cl AI, IO | | | | | | | | |
3.000%, 06/25/2027 | | | 15 | | | | – | |
FNMA CMO, Ser 2012-101, Cl BI, IO | | | | | | | | |
4.000%, 09/25/2027 | | | 1 | | | | – | |
FNMA CMO, Ser 2012-106, Cl FA | | | | | | | | |
5.735%, SOFR30A + 0.454%, 10/25/2042(B) | | | 163 | | | | 161 | |
FNMA CMO, Ser 2012-118, Cl VZ | | | | | | | | |
3.000%, 11/25/2042 | | | 360 | | | | 331 | |
FNMA CMO, Ser 2012-12, Cl FA | | | | | | | | |
5.895%, SOFR30A + 0.614%, 02/25/2042(B) | | | 175 | | | | 175 | |
FNMA CMO, Ser 2012-133, Cl JF | | | | | | | | |
5.745%, SOFR30A + 0.464%, 12/25/2042(B) | | | 338 | | | | 333 | |
FNMA CMO, Ser 2012-133, Cl CS, IO | | | | | | | | |
0.755%, 12/25/2042(B) | | | 101 | | | | 11 | |
FNMA CMO, Ser 2012-151, Cl NX | | | | | | | | |
1.500%, 01/25/2043 | | | 268 | | | | 230 | |
FNMA CMO, Ser 2012-28, Cl B | | | | | | | | |
6.500%, 06/25/2039 | | | 2 | | | | 2 | |
FNMA CMO, Ser 2012-35, Cl FL | | | | | | | | |
5.895%, SOFR30A + 0.614%, 04/25/2042(B) | | | 143 | | | | 143 | |
FNMA CMO, Ser 2012-35, Cl SC, IO | | | | | | | | |
1.105%, 04/25/2042(B) | | | 84 | | | | 10 | |
FNMA CMO, Ser 2012-46, Cl BA | | | | | | | | |
6.000%, 05/25/2042 | | | 86 | | | | 91 | |
FNMA CMO, Ser 2012-47, Cl JF | | | | | | | | |
5.895%, SOFR30A + 0.614%, 05/25/2042(B) | | | 236 | | | | 235 | |
FNMA CMO, Ser 2012-74, Cl SA, IO | | | | | | | | |
1.255%, 03/25/2042(B) | | | 89 | | | | 7 | |
FNMA CMO, Ser 2012-74, Cl OA, PO | | | | | | | | |
0.000%, 03/25/2042(A) | | | 7 | | | | 6 | |
FNMA CMO, Ser 2012-75, Cl AO, PO | | | | | | | | |
0.000%, 03/25/2042(A) | | | 14 | | | | 12 | |
FNMA CMO, Ser 2012-9, Cl WF | | | | | | | | |
5.895%, SOFR30A + 0.614%, 02/25/2042(B) | | | 138 | | | | 138 | |
FNMA CMO, Ser 2012-9, Cl FA | | | | | | | | |
5.895%, SOFR30A + 0.614%, 02/25/2042(B) | | | 134 | | | | 134 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FNMA CMO, Ser 2013-11, Cl AP | | | | | | | | |
1.500%, 01/25/2043 | | $ | 809 | | | $ | 746 | |
FNMA CMO, Ser 2013-111, Cl PL | | | | | | | | |
2.000%, 12/25/2042 | | | 224 | | | | 205 | |
FNMA CMO, Ser 2013-124, Cl SB, IO | | | | | | | | |
0.555%, 12/25/2043(B) | | | 164 | | | | 20 | |
FNMA CMO, Ser 2013-126, Cl CS, IO | | | | | | | | |
0.755%, 09/25/2041(B) | | | 119 | | | | 8 | |
FNMA CMO, Ser 2013-15, Cl FA | | | | | | | | |
5.745%, SOFR30A + 0.464%, 03/25/2043(B) | | | 408 | | | | 403 | |
FNMA CMO, Ser 2013-35, Cl CL | | | | | | | | |
3.000%, 02/25/2043 | | | 6,674 | | | | 6,456 | |
FNMA CMO, Ser 2013-43, Cl BP | | | | | | | | |
1.750%, 05/25/2043 | | | 314 | | | | 272 | |
FNMA CMO, Ser 2013-49, Cl AP | | | | | | | | |
1.750%, 05/25/2043 | | | 197 | | | | 167 | |
FNMA CMO, Ser 2013-54, Cl BS, IO | | | | | | | | |
0.755%, 06/25/2043(B) | | | 60 | | | | 8 | |
FNMA CMO, Ser 2013-73, Cl IB, IO | | | | | | | | |
3.500%, 07/25/2028 | | | 14 | | | | – | |
FNMA CMO, Ser 2013-73, Cl IA, IO | | | | | | | | |
3.000%, 09/25/2032 | | | 123 | | | | 5 | |
FNMA CMO, Ser 2013-9, Cl SA, IO | | | | | | | | |
0.755%, 03/25/2042(B) | | | 110 | | | | 7 | |
FNMA CMO, Ser 2013-9, Cl CB | | | | | | | | |
5.500%, 04/25/2042 | | | 811 | | | | 839 | |
FNMA CMO, Ser 2013-9, Cl BC | | | | | | | | |
6.500%, 07/25/2042 | | | 103 | | | | 111 | |
FNMA CMO, Ser 2014-17, Cl DY | | | | | | | | |
3.500%, 04/25/2044 | | | 514 | | | | 477 | |
FNMA CMO, Ser 2014-25, Cl EL | | | | | | | | |
3.000%, 05/25/2044 | | | 394 | | | | 368 | |
FNMA CMO, Ser 2014-47, Cl AI, IO | | | | | | | | |
0.892%, 08/25/2044(B) | | | 63 | | | | 4 | |
FNMA CMO, Ser 2014-6, Cl Z | | | | | | | | |
2.500%, 02/25/2044 | | | 261 | | | | 232 | |
FNMA CMO, Ser 2015-26, Cl GF | | | | | | | | |
5.695%, SOFR30A + 0.414%, 05/25/2045(B) | | | 595 | | | | 586 | |
FNMA CMO, Ser 2015-32, Cl FA | | | | | | | | |
5.695%, SOFR30A + 0.414%, 05/25/2045(B) | | | 369 | | | | 362 | |
FNMA CMO, Ser 2015-48, Cl FB | | | | | | | | |
5.695%, SOFR30A + 0.414%, 07/25/2045(B) | | | 447 | | | | 440 | |
FNMA CMO, Ser 2015-55, Cl IO, IO | | | | | | | | |
0.675%, 08/25/2055(B) | | | 150 | | | | 7 | |
FNMA CMO, Ser 2015-56, Cl AS, IO | | | | | | | | |
0.755%, 08/25/2045(B) | | | 25 | | | | 3 | |
FNMA CMO, Ser 2015-65, Cl CZ | | | | | | | | |
3.500%, 09/25/2045 | | | 275 | | | | 244 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FNMA CMO, Ser 2015-72, Cl GL | | | | | | | | |
3.000%, 10/25/2045 | | $ | 234 | | | $ | 206 | |
FNMA CMO, Ser 2015-8, Cl AP | | | | | | | | |
2.000%, 03/25/2045 | | | 694 | | | | 625 | |
FNMA CMO, Ser 2015-84, Cl PA | | | | | | | | |
1.700%, 08/25/2033 | | | 469 | | | | 442 | |
FNMA CMO, Ser 2016-11, Cl FG | | | | | | | | |
5.745%, SOFR30A + 0.464%, 03/25/2046(B) | | | 254 | | | | 251 | |
FNMA CMO, Ser 2016-11, Cl CF | | | | | | | | |
5.745%, SOFR30A + 0.464%, 03/25/2046(B) | | | 185 | | | | 183 | |
FNMA CMO, Ser 2016-19, Cl FD | | | | | | | | |
5.795%, SOFR30A + 0.514%, 04/25/2046(B) | | | 1,202 | | | | 1,194 | |
FNMA CMO, Ser 2016-22, Cl FG | | | | | | | | |
5.795%, SOFR30A + 0.514%, 04/25/2046(B) | | | 412 | | | | 408 | |
FNMA CMO, Ser 2016-22, Cl FA | | | | | | | | |
5.795%, SOFR30A + 0.514%, 04/25/2046(B) | | | 479 | | | | 475 | |
FNMA CMO, Ser 2016-3, Cl PL | | | | | | | | |
2.500%, 02/25/2046 | | | 2,503 | | | | 2,179 | |
FNMA CMO, Ser 2016-37, Cl MJ | | | | | | | | |
3.500%, 08/25/2043 | | | 18 | | | | 18 | |
FNMA CMO, Ser 2016-45, Cl PB | | | | | | | | |
3.000%, 07/25/2046 | | | 282 | | | | 225 | |
FNMA CMO, Ser 2016-48, Cl MA | | | | | | | | |
2.000%, 06/25/2038 | | | 990 | | | | 926 | |
FNMA CMO, Ser 2016-57, Cl PC | | | | | | | | |
1.750%, 06/25/2046 | | | 2,131 | | | | 1,832 | |
FNMA CMO, Ser 2016-69, Cl BF | | | | | | | | |
5.795%, SOFR30A + 0.514%, 10/25/2046(B) | | | 386 | | | | 383 | |
FNMA CMO, Ser 2016-75, Cl FE | | | | | | | | |
5.795%, SOFR30A + 0.514%, 10/25/2046(B) | | | 301 | | | | 298 | |
FNMA CMO, Ser 2016-78, Cl FA | | | | | | | | |
5.795%, SOFR30A + 0.514%, 03/25/2044(B) | | | 196 | | | | 195 | |
FNMA CMO, Ser 2016-79, Cl FH | | | | | | | | |
5.795%, SOFR30A + 0.514%, 11/25/2046(B) | | | 299 | | | | 297 | |
FNMA CMO, Ser 2016-82, Cl FH | | | | | | | | |
5.795%, SOFR30A + 0.514%, 11/25/2046(B) | | | 612 | | | | 607 | |
FNMA CMO, Ser 2016-82, Cl FE | | | | | | | | |
5.795%, SOFR30A + 0.514%, 11/25/2046(B) | | | 678 | | | | 674 | |
FNMA CMO, Ser 2016-84, Cl FB | | | | | | | | |
5.795%, SOFR30A + 0.514%, 11/25/2046(B) | | | 293 | | | | 290 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FNMA CMO, Ser 2016-86, Cl FE | | | | | | | | |
5.795%, SOFR30A + 0.514%, 11/25/2046(B) | | $ | 747 | | | $ | 741 | |
FNMA CMO, Ser 2016-88, Cl CF | | | | | | | | |
5.845%, SOFR30A + 0.564%, 12/25/2046(B) | | | 519 | | | | 515 | |
FNMA CMO, Ser 2016-91, Cl AF | | | | | | | | |
5.795%, SOFR30A + 0.514%, 12/25/2046(B) | | | 281 | | | | 279 | |
FNMA CMO, Ser 2017-12, Cl FD | | | | | | | | |
5.795%, SOFR30A + 0.514%, 03/25/2047(B) | | | 314 | | | | 312 | |
FNMA CMO, Ser 2017-13, Cl PA | | | | | | | | |
3.000%, 08/25/2046 | | | 427 | | | | 400 | |
FNMA CMO, Ser 2017-23, Cl FA | | | | | | | | |
5.795%, SOFR30A + 0.514%, 04/25/2047(B) | | | 335 | | | | 332 | |
FNMA CMO, Ser 2017-24, Cl PG | | | | | | | | |
2.625%, 04/25/2047 | | | 1,055 | | | | 935 | |
FNMA CMO, Ser 2017-26, Cl FA | | | | | | | | |
5.745%, SOFR30A + 0.464%, 04/25/2047(B) | | | 809 | | | | 802 | |
FNMA CMO, Ser 2017-76, Cl SB, IO | | | | | | | | |
0.705%, 10/25/2057(B) | | | 703 | | | | 101 | |
FNMA CMO, Ser 2017-79, Cl FB | | | | | | | | |
5.645%, SOFR30A + 0.364%, 10/25/2047(B) | | | 631 | | | | 625 | |
FNMA CMO, Ser 2017-85, Cl SC, IO | | | | | | | | |
0.805%, 11/25/2047(B) | | | 197 | | | | 19 | |
FNMA CMO, Ser 2017-9, Cl DF | | | | | | | | |
5.795%, SOFR30A + 0.514%, 03/25/2047(B) | | | 262 | | | | 260 | |
FNMA CMO, Ser 2017-9, Cl BF | | | | | | | | |
5.795%, SOFR30A + 0.514%, 03/25/2047(B) | | | 358 | | | | 355 | |
FNMA CMO, Ser 2017-96, Cl FB | | | | | | | | |
5.695%, SOFR30A + 0.414%, 12/25/2047(B) | | | 467 | | | | 462 | |
FNMA CMO, Ser 2018-14, Cl KC | | | | | | | | |
3.000%, 03/25/2048 | | | 728 | | | | 700 | |
FNMA CMO, Ser 2018-36, Cl FD | | | | | | | | |
5.645%, SOFR30A + 0.364%, 06/25/2048(B) | | | 662 | | | | 655 | |
FNMA CMO, Ser 2018-38, Cl MA | | | | | | | | |
3.300%, 06/25/2048 | | | 565 | | | | 542 | |
FNMA CMO, Ser 2018-43, Cl CT | | | | | | | | |
3.000%, 06/25/2048 | | | 605 | | | | 549 | |
FNMA CMO, Ser 2018-45, Cl TM | | | | | | | | |
3.000%, 06/25/2048 | | | 428 | | | | 393 | |
FNMA CMO, Ser 2018-54, Cl KA | | | | | | | | |
3.500%, 01/25/2047 | | | 165 | | | | 163 | |
FNMA CMO, Ser 2018-55, Cl GA | | | | | | | | |
3.375%, 08/25/2048 | | | 423 | | | | 405 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FNMA CMO, Ser 2018-64, Cl A | | | | | | | | |
3.000%, 09/25/2048 | | $ | 382 | | | $ | 341 | |
FNMA CMO, Ser 2018-8, Cl KL | | | | | | | | |
2.500%, 03/25/2047 | | | 206 | | | | 186 | |
FNMA CMO, Ser 2018-85, Cl EA | | | | | | | | |
3.500%, 12/25/2048 | | | 318 | | | | 311 | |
FNMA CMO, Ser 2019-13, Cl PE | | | | | | | | |
3.000%, 03/25/2049 | | | 258 | | | | 238 | |
FNMA CMO, Ser 2019-15, Cl FA | | | | | | | | |
5.895%, SOFR30A + 0.614%, 04/25/2049(B) | | | 230 | | | | 227 | |
FNMA CMO, Ser 2019-25, Cl PA | | | | | | | | |
3.000%, 05/25/2048 | | | 674 | | | | 631 | |
FNMA CMO, Ser 2019-41, Cl FG | | | | | | | | |
5.895%, SOFR30A + 0.614%, 08/25/2059(B) | | | 540 | | | | 535 | |
FNMA CMO, Ser 2019-43, Cl FC | | | | | | | | |
5.795%, SOFR30A + 0.514%, 08/25/2049(B) | | | 439 | | | | 434 | |
FNMA CMO, Ser 2019-67, Cl FB | | | | | | | | |
5.845%, SOFR30A + 0.564%, 11/25/2049(B) | | | 235 | | | | 233 | |
FNMA CMO, Ser 2019-79, Cl FA | | | | | | | | |
5.895%, SOFR30A + 0.614%, 01/25/2050(B) | | | 1,166 | | | | 1,152 | |
FNMA CMO, Ser 2019-81, Cl LH | | | | | | | | |
3.000%, 12/25/2049 | | | 298 | | | | 271 | |
FNMA CMO, Ser 2020-25, Cl BI, IO | | | | | | | | |
3.500%, 01/25/2047 | | | 551 | | | | 105 | |
FNMA CMO, Ser 2020-37, Cl DA | | | | | | | | |
1.500%, 06/25/2050 | | | 226 | | | | 203 | |
FNMA CMO, Ser 2020-45, Cl JL | | | | | | | | |
3.000%, 07/25/2040 | | | 883 | | | | 827 | |
FNMA CMO, Ser 2020-47, Cl GZ | | | | | | | | |
2.000%, 07/25/2050 | | | 435 | | | | 273 | |
FNMA CMO, Ser 2020-48, Cl AB | | | | | | | | |
2.000%, 07/25/2050 | | | 349 | | | | 303 | |
FNMA CMO, Ser 2020-48, Cl DA | | | | | | | | |
2.000%, 07/25/2050 | | | 1,077 | | | | 923 | |
FNMA CMO, Ser 2020-56, Cl AQ | | | | | | | | |
2.000%, 08/25/2050 | | | 900 | | | | 728 | |
FNMA CMO, Ser 2020-56, Cl DI, IO | | | | | | | | |
2.500%, 08/25/2050 | | | 289 | | | | 45 | |
FNMA CMO, Ser 2020-57, Cl TA | | | | | | | | |
2.000%, 04/25/2050 | | | 904 | | | | 797 | |
FNMA CMO, Ser 2020-57, Cl LJ | | | | | | | | |
2.000%, 08/25/2050 | | | 3,167 | | | | 2,358 | |
FNMA CMO, Ser 2020-59, Cl NC | | | | | | | | |
3.000%, 08/25/2040 | | | 481 | | | | 449 | |
FNMA CMO, Ser 2020-61, Cl NI, IO | | | | | | | | |
3.500%, 09/25/2050 | | | 1,226 | | | | 201 | |
FNMA CMO, Ser 2020-62, Cl AI, IO | | | | | | | | |
2.500%, 09/25/2050 | | | 671 | | | | 108 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FNMA CMO, Ser 2020-64, Cl IB, IO | | | | | | | | |
4.000%, 09/25/2050 | | $ | 786 | | | $ | 164 | |
FNMA CMO, Ser 2020-65, Cl EI, IO | | | | | | | | |
4.000%, 09/25/2050 | | | 1,346 | | | | 265 | |
FNMA CMO, Ser 2020-65, Cl DI, IO | | | | | | | | |
4.000%, 09/25/2050 | | | 909 | | | | 189 | |
FNMA CMO, Ser 2020-70, Cl AD | | | | | | | | |
1.500%, 10/25/2050 | | | 1,271 | | | | 1,034 | |
FNMA CMO, Ser 2020-73, Cl KI, IO | | | | | | | | |
3.000%, 10/25/2050 | | | 592 | | | | 107 | |
FNMA CMO, Ser 2020-96, Cl IN, IO | | | | | | | | |
3.000%, 01/25/2051 | | | 665 | | | | 112 | |
FNMA CMO, Ser 2021-1, Cl IG, IO | | | | | | | | |
2.500%, 02/25/2051 | | | 159 | | | | 26 | |
FNMA CMO, Ser 2021-22, Cl MN | | | | | | | | |
2.750%, 10/25/2050 | | | 538 | | | | 490 | |
FNMA CMO, Ser 2021-27, Cl EC | | | | | | | | |
1.500%, 05/25/2051 | | | 1,548 | | | | 1,271 | |
FNMA CMO, Ser 2021-3, Cl NI, IO | | | | | | | | |
2.500%, 02/25/2051 | | | 1,387 | | | | 198 | |
FNMA CMO, Ser 2021-33, Cl AV | | | | | | | | |
2.500%, 03/25/2048 | | | 224 | | | | 171 | |
FNMA CMO, Ser 2021-40, Cl DW | | | | | | | | |
2.000%, 06/25/2041 | | | 103 | | | | 91 | |
FNMA CMO, Ser 2021-42, Cl AC | | | | | | | | |
2.000%, 02/25/2051 | | | 423 | | | | 371 | |
FNMA CMO, Ser 2021-42, Cl DC | | | | | | | | |
2.000%, 11/25/2050 | | | 1,029 | | | | 893 | |
FNMA CMO, Ser 2021-43, Cl IO, IO | | | | | | | | |
2.500%, 06/25/2051 | | | 1,404 | | | | 211 | |
FNMA CMO, Ser 2021-52, Cl CI, IO | | | | | | | | |
2.500%, 12/25/2047 | | | 805 | | | | 108 | |
FNMA CMO, Ser 2021-62, Cl GI, IO | | | | | | | | |
2.500%, 10/25/2047 | | | 765 | | | | 106 | |
FNMA CMO, Ser 2021-65, Cl JA | | | | | | | | |
2.000%, 01/25/2046 | | | 272 | | | | 242 | |
FNMA CMO, Ser 2021-73, Cl DJ | | | | | | | | |
2.000%, 03/25/2049 | | | 579 | | | | 500 | |
FNMA CMO, Ser 2021-76, Cl KB | | | | | | | | |
1.250%, 11/25/2051 | | | 245 | | | | 208 | |
FNMA CMO, Ser 2021-77, Cl WI, IO | | | | | | | | |
3.000%, 08/25/2050 | | | 709 | | | | 109 | |
FNMA CMO, Ser 2021-78, Cl ND | | | | | | | | |
1.500%, 11/25/2051 | | | 867 | | | | 718 | |
FNMA CMO, Ser 2021-86, Cl MA | | | | | | | | |
2.500%, 11/25/2047 | | | 901 | | | | 823 | |
FNMA CMO, Ser 2021-91, Cl AB | | | | | | | | |
2.500%, 09/25/2049 | | | 535 | | | | 477 | |
FNMA CMO, Ser 2021-95, Cl CP | | | | | | | | |
1.500%, 08/25/2051 | | | 240 | | | | 203 | |
FNMA CMO, Ser 2022-11, Cl D | | | | | | | | |
3.000%, 01/25/2050 | | | 581 | | | | 540 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FNMA CMO, Ser 2022-18, Cl PI, IO | | | | | | | | |
4.000%, 11/25/2051 | | $ | 972 | | | $ | 195 | |
FNMA CMO, Ser 2022-18, Cl DL | | | | | | | | |
3.250%, 07/25/2046 | | | 739 | | | | 696 | |
FNMA CMO, Ser 2022-22, Cl IO, IO | | | | | | | | |
2.500%, 10/25/2051 | | | 1,323 | | | | 215 | |
FNMA CMO, Ser 2022-3, Cl N | | | | | | | | |
2.000%, 10/25/2047 | | | 1,600 | | | | 1,418 | |
FNMA CMO, Ser 2022-4, Cl MH | | | | | | | | |
3.000%, 09/25/2048 | | | 593 | | | | 556 | |
FNMA CMO, Ser 2022-49, Cl NQ | | | | | | | | |
3.000%, 02/25/2052 | | | 282 | | | | 253 | |
FNMA CMO, Ser 2022-62, Cl KA | | | | | | | | |
3.250%, 09/25/2052 | | | 312 | | | | 294 | |
FNMA CMO, Ser 2022-86, Cl IO, IO | | | | | | | | |
2.500%, 05/25/2050 | | | 721 | | | | 100 | |
FNMA CMO, Ser 2022-89, Cl AY | | | | | | | | |
3.000%, 02/25/2048 | | | 604 | | | | 523 | |
FNMA CMO, Ser 2022-9, Cl DJ | | | | | | | | |
3.250%, 03/25/2049 | | | 419 | | | | 394 | |
FNMA CMO, Ser 2023-14, Cl EJ | | | | | | | | |
2.750%, 04/25/2049 | | | 504 | | | | 467 | |
FNMA CMO, Ser 2023-2, Cl CI, IO | | | | | | | | |
2.000%, 10/25/2050 | | | 2,777 | | | | 338 | |
FNMA CMO, Ser 2023-37, Cl FH | | | | | | | | |
5.795%, SOFR30A + 0.514%, 01/25/2050(B) | | | 899 | | | | 888 | |
FNMA CMO, Ser 2023-38, Cl FC | | | | | | | | |
5.945%, SOFR30A + 0.664%, 06/25/2040(B) | | | 573 | | | | 572 | |
FNMA CMO, Ser 2024-26, Cl KY | | | | | | | | |
3.000%, 12/25/2043 | | | 462 | | | | 405 | |
FNMA CMO, Ser 2024-5, Cl DI, IO | | | | | | | | |
3.000%, 10/25/2051 | | | 2,098 | | | | 347 | |
FNMA CMO, Ser 2024-64, Cl KY | | | | | | | | |
3.000%, 12/25/2043 | | | 284 | | | | 252 | |
FNMA Interest CMO, Ser 2005-360, Cl 2, IO | | | | | | | | |
5.000%, 08/25/2035 | | | 377 | | | | 59 | |
FNMA Interest CMO, Ser 2012-409, Cl C22, IO | | | | | | | | |
4.500%, 11/25/2039 | | | 116 | | | | 22 | |
FNMA Interest CMO, Ser 2012-409, Cl C2, IO | | | | | | | | |
3.000%, 04/25/2027 | | | 55 | | | | 1 | |
FNMA Interest CMO, Ser 2012-409, Cl C13, IO | | | | | | | | |
3.500%, 11/25/2041 | | | 97 | | | | 14 | |
FNMA Interest CMO, Ser 2012-411, Cl A3 | | | | | | | | |
3.000%, 08/25/2042 | | | 496 | | | | 460 | |
FNMA Interest CMO, Ser 2012-414, Cl A35 | | | | | | | | |
3.500%, 10/25/2042 | | | 758 | | | | 729 | |
FNMA Interest CMO, Ser 2022-427, Cl C21, IO | | | | | | | | |
2.000%, 03/25/2050 | | | 1,575 | | | | 186 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FNMA Interest CMO, Ser 2022-427, Cl C73, IO | | | | | | | | |
3.000%, 12/25/2048 | | $ | 1,659 | | | $ | 267 | |
FNMA Interest CMO, Ser 2023-428, Cl C14, IO | | | | | | | | |
2.500%, 01/25/2048 | | | 848 | | | | 97 | |
FNMA Interest CMO, Ser 2023-436, Cl C32, IO | | | | | | | | |
2.000%, 10/25/2052 | | | 1,687 | | | | 198 | |
FNMA Interest CMO, Ser 2024-440, Cl C6, IO | | | | | | | | |
2.000%, 10/25/2052 | | | 1,822 | | | | 212 | |
FNMA TBA | | | | | | | | |
6.000%, 10/15/2054 | | | 6,600 | | | | 6,745 | |
5.500%, 10/15/2054 | | | 19,450 | | | | 19,675 | |
5.000%, 10/15/2054 | | | 19,935 | | | | 19,922 | |
4.500%, 10/15/2054 | | | 13,000 | | | | 12,779 | |
4.000%, 10/15/2054 | | | 12,825 | | | | 12,316 | |
3.500%, 10/15/2054 | | | 28,985 | | | | 26,990 | |
3.000%, 10/15/2054 | | | 6,625 | | | | 5,946 | |
2.500%, 10/01/2042 | | | 14,250 | | | | 12,299 | |
2.000%, 10/15/2054 | | | 15,900 | | | | 13,142 | |
FNMA, Ser M15, Cl 1A2 | | | | | | | | |
3.700%, 01/25/2036 | | | 100 | | | | 96 | |
FNMA, Ser M36, Cl X1, IO | | | | | | | | |
1.543%, 09/25/2034(B) | | | 522 | | | | 31 | |
FREMF Mortgage Trust, Ser 2019-KF58, Cl B | | | | | | | | |
7.611%, SOFR30A + 2.264%, 01/25/2026(B)(D) | | | 709 | | | | 697 | |
GNMA | | | | | | | | |
8.000%, 11/15/2029 to 09/15/2030 | | | 19 | | | | 20 | |
7.500%, 03/15/2029 to 10/15/2037 | | | 23 | | | | 24 | |
7.000%, 09/15/2031 | | | 9 | | | | 9 | |
6.500%, 07/15/2028 to 01/20/2054 | | | 6,741 | | | | 6,983 | |
6.000%, 01/15/2029 to 02/20/2054 | | | 6,991 | | | | 7,202 | |
5.500%, 11/20/2052 to 08/20/2053 | | | 4,815 | | | | 4,869 | |
5.000%, 07/20/2040 to 08/20/2053 | | | 10,086 | | | | 10,163 | |
4.700%, 09/20/2061(B) | | | 27 | | | | 26 | |
4.625%, H15T1Y + 1.500%, 02/20/2034(B) | | | 63 | | | | 64 | |
4.500%, 04/20/2041 to 10/20/2052 | | | 13,238 | | | | 13,157 | |
4.386%, 01/20/2069(B) | | | 2 | | | | 2 | |
4.000%, 06/20/2047 to 10/20/2052 | | | 11,868 | | | | 11,551 | |
3.500%, 04/20/2045 to 08/20/2052 | | | 13,828 | | | | 13,090 | |
3.000%, 09/15/2042 to 04/20/2053 | | | 16,170 | | | | 14,824 | |
2.500%, 12/20/2037 to 03/20/2052 | | | 25,592 | | | | 22,515 | |
2.000%, 08/20/2050 to 10/20/2051 | | | 25,762 | | | | 21,652 | |
GNMA CMO, Ser 2007-17, Cl IB, IO | | | | | | | | |
1.175%, 04/20/2037(B) | | | 182 | | | | 8 | |
GNMA CMO, Ser 2007-51, Cl SG, IO | | | | | | | | |
1.505%, 08/20/2037(B) | | | 27 | | | | 1 | |
GNMA CMO, Ser 2007-78, Cl SA, IO | | | | | | | | |
1.319%, 12/16/2037(B) | | | 254 | | | | 13 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
GNMA CMO, Ser 2009-66, Cl XS, IO | | | | | | | | |
1.589%, 07/16/2039(B) | | $ | 110 | | | $ | 6 | |
GNMA CMO, Ser 2010-163, Cl NC | | | | | | | | |
4.000%, 12/20/2040 | | | 438 | | | | 437 | |
GNMA CMO, Ser 2010-4, Cl NS, IO | | | | | | | | |
1.179%, 01/16/2040(B) | | | 1,769 | | | | 211 | |
GNMA CMO, Ser 2010-H11, Cl FA | | | | | | | | |
6.391%, TSFR1M + 1.114%, 06/20/2060(B) | | | 232 | | | | 233 | |
GNMA CMO, Ser 2010-H27, Cl FA | | | | | | | | |
5.847%, TSFR1M + 0.494%, 12/20/2060(B) | | | 333 | | | | 332 | |
GNMA CMO, Ser 2010-H28, Cl FE | | | | | | | | |
5.867%, TSFR1M + 0.514%, 12/20/2060(B) | | | 115 | | | | 114 | |
GNMA CMO, Ser 2011-H08, Cl FD | | | | | | | | |
5.967%, TSFR1M + 0.614%, 02/20/2061(B) | | | 56 | | | | 56 | |
GNMA CMO, Ser 2011-H08, Cl FG | | | | | | | | |
5.947%, TSFR1M + 0.594%, 03/20/2061(B) | | | 109 | | | | 109 | |
GNMA CMO, Ser 2011-H09, Cl AF | | | | | | | | |
5.967%, TSFR1M + 0.614%, 03/20/2061(B) | | | 63 | | | | 63 | |
GNMA CMO, Ser 2012-34, Cl SA, IO | | | | | | | | |
0.975%, 03/20/2042(B) | | | 201 | | | | 22 | |
GNMA CMO, Ser 2012-43, Cl SN, IO | | | | | | | | |
1.389%, 04/16/2042(B) | | | 35 | | | | 6 | |
GNMA CMO, Ser 2012-98, Cl SA, IO | | | | | | | | |
0.889%, 08/16/2042(B) | | | 87 | | | | 12 | |
GNMA CMO, Ser 2012-H25, Cl FA | | | | | | | | |
6.167%, TSFR1M + 0.814%, 12/20/2061(B) | | | 6 | | | | 6 | |
GNMA CMO, Ser 2012-H27, Cl AI, IO | | | | | | | | |
1.741%, 10/20/2062(B) | | | 215 | | | | 7 | |
GNMA CMO, Ser 2013-152, Cl HA | | | | | | | | |
2.500%, 06/20/2043 | | | 489 | | | | 453 | |
GNMA CMO, Ser 2013-53, Cl OI, IO | | | | | | | | |
3.500%, 04/20/2043 | | | 54 | | | | 6 | |
GNMA CMO, Ser 2013-69, Cl AI, IO | | | | | | | | |
3.500%, 05/20/2043 | | | 219 | | | | 34 | |
GNMA CMO, Ser 2014-181, Cl L | | | | | | | | |
3.000%, 12/20/2044 | | | 334 | | | | 304 | |
GNMA CMO, Ser 2014-5, Cl SP, IO | | | | | | | | |
0.939%, 06/16/2043(B) | | | 50 | | | | 3 | |
GNMA CMO, Ser 2014-H10, Cl TA | | | | | | | | |
6.067%, TSFR1M + 0.714%, 04/20/2064(B) | | | 383 | | | | 383 | |
GNMA CMO, Ser 2015-144, Cl CA | | | | | | | | |
2.500%, 10/20/2045 | | | 519 | | | | 463 | |
GNMA CMO, Ser 2015-167, Cl OI, IO | | | | | | | | |
4.000%, 04/16/2045 | | | 56 | | | | 10 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
GNMA CMO, Ser 2015-H10, Cl FC | | | | | | | | |
5.947%, TSFR1M + 0.594%, 04/20/2065(B) | | $ | 188 | | | $ | 188 | |
GNMA CMO, Ser 2015-H18, Cl FA | | | | | | | | |
5.917%, TSFR1M + 0.564%, 06/20/2065(B) | | | 59 | | | | 59 | |
GNMA CMO, Ser 2015-H20, Cl FA | | | | | | | | |
5.937%, TSFR1M + 0.584%, 08/20/2065(B) | | | 164 | | | | 164 | |
GNMA CMO, Ser 2016-135, Cl SB, IO | | | | | | | | |
0.889%, 10/16/2046(B) | | | 368 | | | | 64 | |
GNMA CMO, Ser 2016-136, Cl A | | | | | | | | |
3.000%, 07/20/2044 | | | 272 | | | | 247 | |
GNMA CMO, Ser 2016-93, Cl AB | | | | | | | | |
1.750%, 07/20/2044 | | | 606 | | | | 499 | |
GNMA CMO, Ser 2016-99, Cl TL | | | | | | | | |
2.000%, 04/16/2044 | | | 181 | | | | 151 | |
GNMA CMO, Ser 2017-139, Cl GA | | | | | | | | |
3.000%, 09/20/2047 | | | 1,159 | | | | 1,060 | |
GNMA CMO, Ser 2017-167, Cl BQ | | | | | | | | |
2.500%, 08/20/2044 | | | 402 | | | | 375 | |
GNMA CMO, Ser 2017-H15, Cl KI, IO | | | | | | | | |
2.336%, 07/20/2067(B) | | | 423 | | | | 27 | |
GNMA CMO, Ser 2017-H18, Cl BI, IO | | | | | | | | |
0.555%, 09/20/2067(B) | | | 2,594 | | | | 91 | |
GNMA CMO, Ser 2017-H20, Cl IB, IO | | | | | | | | |
0.402%, 10/20/2067(B) | | | 178 | | | | 8 | |
GNMA CMO, Ser 2017-H22, Cl IC, IO | | | | | | | | |
1.066%, 11/20/2067(B) | | | 72 | | | | 3 | |
GNMA CMO, Ser 2018-65, Cl DC | | | | | | | | |
3.500%, 05/20/2048 | | | 414 | | | | 384 | |
GNMA CMO, Ser 2018-H06, Cl PF | | | | | | | | |
5.767%, TSFR1M + 0.414%, 02/20/2068(B) | | | 92 | | | | 92 | |
GNMA CMO, Ser 2018-H07, Cl FD | | | | | | | | |
5.767%, TSFR1M + 0.414%, 05/20/2068(B) | | | 196 | | | | 196 | |
GNMA CMO, Ser 2019-90, Cl AB | | | | | | | | |
3.000%, 07/20/2049 | | | 244 | | | | 223 | |
GNMA CMO, Ser 2020-123, Cl NI, IO | | | | | | | | |
2.500%, 08/20/2050 | | | 556 | | | | 77 | |
GNMA CMO, Ser 2020-123, Cl IL, IO | | | | | | | | |
2.500%, 08/20/2050 | | | 187 | | | | 26 | |
GNMA CMO, Ser 2020-127, Cl IN, IO | | | | | | | | |
2.500%, 08/20/2050 | | | 271 | | | | 38 | |
GNMA CMO, Ser 2020-129, Cl IE, IO | | | | | | | | |
2.500%, 09/20/2050 | | | 212 | | | | 30 | |
GNMA CMO, Ser 2020-133, Cl GA | | | | | | | | |
1.000%, 09/20/2050 | | | 601 | | | | 517 | |
GNMA CMO, Ser 2020-138, Cl LE | | | | | | | | |
1.500%, 09/20/2050 | | | 1,392 | | | | 1,136 | |
GNMA CMO, Ser 2020-160, Cl IH, IO | | | | | | | | |
2.500%, 10/20/2050 | | | 146 | | | | 21 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
GNMA CMO, Ser 2020-160, Cl VI, IO | | | | | | | | |
2.500%, 10/20/2050 | | $ | 213 | | | $ | 30 | |
GNMA CMO, Ser 2020-175, Cl GI, IO | | | | | | | | |
2.000%, 11/20/2050 | | | 269 | | | | 30 | |
GNMA CMO, Ser 2020-181, Cl WI, IO | | | | | | | | |
2.000%, 12/20/2050 | | | 1,888 | | | | 219 | |
GNMA CMO, Ser 2020-47, Cl MI, IO | | | | | | | | |
3.500%, 04/20/2050 | | | 448 | | | | 83 | |
GNMA CMO, Ser 2020-47, Cl NI, IO | | | | | | | | |
3.500%, 04/20/2050 | | | 195 | | | | 36 | |
GNMA CMO, Ser 2020-H09, Cl NF | | | | | | | | |
6.717%, TSFR1M + 1.364%, 04/20/2070(B) | | | 173 | | | | 175 | |
GNMA CMO, Ser 2020-H09, Cl FL | | | | | | | | |
6.617%, TSFR1M + 1.264%, 05/20/2070(B) | | | 534 | | | | 541 | |
GNMA CMO, Ser 2020-H12, Cl F | | | | | | | | |
5.967%, TSFR1M + 0.614%, 07/20/2070(B) | | | 48 | | | | 48 | |
GNMA CMO, Ser 2020-H13, Cl FA | | | | | | | | |
5.917%, TSFR1M + 0.564%, 07/20/2070(B) | | | 736 | | | | 724 | |
GNMA CMO, Ser 2021-115, Cl MI, IO | | | | | | | | |
2.500%, 05/20/2051 | | | 427 | | | | 47 | |
GNMA CMO, Ser 2021-135, Cl A | | | | | | | | |
2.000%, 08/20/2051 | | | 346 | | | | 291 | |
GNMA CMO, Ser 2021-138, Cl IK, IO | | | | | | | | |
3.000%, 07/20/2051 | | | 852 | | | | 107 | |
GNMA CMO, Ser 2021-160, Cl NE | | | | | | | | |
2.000%, 09/20/2051 | | | 2,669 | | | | 2,289 | |
GNMA CMO, Ser 2021-176, Cl IN, IO | | | | | | | | |
2.500%, 10/20/2051 | | | 1,191 | | | | 167 | |
GNMA CMO, Ser 2021-188, Cl PA | | | | | | | | |
2.000%, 10/20/2051 | | | 1,551 | | | | 1,301 | |
GNMA CMO, Ser 2021-191, Cl NI, IO | | | | | | | | |
3.000%, 10/20/2051 | | | 605 | | | | 115 | |
GNMA CMO, Ser 2021-215, Cl GA | | | | | | | | |
2.000%, 12/20/2051 | | | 2,354 | | | | 2,057 | |
GNMA CMO, Ser 2021-24, Cl BC | | | | | | | | |
1.250%, 02/20/2051 | | | 803 | | | | 632 | |
GNMA CMO, Ser 2021-27, Cl NT | | | | | | | | |
5.000%, 02/20/2051 | | | 478 | | | | 479 | |
GNMA CMO, Ser 2021-27, Cl Q | | | | | | | | |
5.000%, 02/20/2051 | | | 421 | | | | 427 | |
GNMA CMO, Ser 2021-27, Cl CW | | | | | | | | |
5.001%, 02/20/2051(B) | | | 599 | | | | 606 | |
GNMA CMO, Ser 2021-27, Cl BD | | | | | | | | |
5.000%, 02/20/2051 | | | 456 | | | | 462 | |
GNMA CMO, Ser 2021-29, Cl TI, IO | | | | | | | | |
2.500%, 02/20/2051 | | | 437 | | | | 75 | |
GNMA CMO, Ser 2021-57, Cl BI, IO | | | | | | | | |
3.000%, 03/20/2051 | | | 1,310 | | | | 204 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
GNMA CMO, Ser 2021-8, Cl CY | | | | | | | | |
5.000%, 01/20/2051 | | $ | 407 | | | $ | 412 | |
GNMA CMO, Ser 2021-89, Cl LK | | | | | | | | |
2.000%, 05/20/2051 | | | 823 | | | | 712 | |
GNMA CMO, Ser 2021-96, Cl VI, IO | | | | | | | | |
2.500%, 06/20/2051 | | | 798 | | | | 110 | |
GNMA CMO, Ser 2021-97, Cl QK | | | | | | | | |
2.000%, 06/20/2051 | | | 2,014 | | | | 1,705 | |
GNMA CMO, Ser 2022-107, Cl C | | | | | | | | |
2.500%, 06/20/2051 | | | 1,980 | | | | 1,704 | |
GNMA CMO, Ser 2022-153, Cl KA | | | | | | | | |
4.000%, 12/20/2049 | | | 497 | | | | 489 | |
GNMA CMO, Ser 2022-189, Cl AL | | | | | | | | |
3.000%, 07/20/2051 | | | 370 | | | | 308 | |
GNMA CMO, Ser 2022-189, Cl PT | | | | | | | | |
2.500%, 10/20/2051 | | | 802 | | | | 683 | |
GNMA CMO, Ser 2022-197, Cl LF | | | | | | | | |
6.045%, SOFR30A + 0.700%, 11/20/2052(B) | | | 1,806 | | | | 1,793 | |
GNMA CMO, Ser 2022-205, Cl A | | | | | | | | |
2.000%, 09/20/2051 | | | 722 | | | | 591 | |
GNMA CMO, Ser 2022-24, Cl AH | | | | | | | | |
2.500%, 02/20/2052 | | | 424 | | | | 373 | |
GNMA CMO, Ser 2022-31, Cl GH | | | | | | | | |
2.500%, 12/20/2049 | | | 1,257 | | | | 1,139 | |
GNMA CMO, Ser 2022-34, Cl DN | | | | | | | | |
3.500%, 09/20/2041 | | | 939 | | | | 889 | |
GNMA CMO, Ser 2022-5, Cl BA | | | | | | | | |
2.000%, 10/20/2049 | | | 2,287 | | | | 1,998 | |
GNMA CMO, Ser 2022-50, Cl CA | | | | | | | | |
3.000%, 03/20/2052 | | | 1,613 | | | | 1,460 | |
GNMA CMO, Ser 2022-66, Cl CG | | | | | | | | |
3.500%, 04/20/2052 | | | 1,060 | | | | 1,017 | |
GNMA CMO, Ser 2022-78, Cl HW | | | | | | | | |
2.500%, 04/20/2052 | | | 327 | | | | 261 | |
GNMA CMO, Ser 2022-81, Cl CI, IO | | | | | | | | |
3.000%, 09/20/2050 | | | 732 | | | | 104 | |
GNMA CMO, Ser 2022-84, Cl A | | | | | | | | |
2.500%, 01/20/2052 | | | 3,842 | | | | 3,288 | |
GNMA CMO, Ser 2022-9, Cl GA | | | | | | | | |
2.000%, 01/20/2052 | | | 1,031 | | | | 873 | |
GNMA CMO, Ser 2022-99, Cl JW | | | | | | | | |
2.500%, 01/20/2052 | | | 200 | | | | 167 | |
GNMA CMO, Ser 2023-196, Cl E | | | | | | | | |
3.000%, 09/20/2048 | | | 661 | | | | 626 | |
GNMA CMO, Ser 2023-80, Cl IA, IO | | | | | | | | |
4.500%, 10/20/2047 | | | 1,304 | | | | 235 | |
GNMA CMO, Ser 2023-81, Cl YJ | | | | | | | | |
3.500%, 06/20/2053 | | | 1,920 | | | | 1,696 | |
GNMA CMO, Ser 2024-110, Cl JC | | | | | | | | |
3.000%, 09/20/2047 | | | 2,551 | | | | 2,432 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
GNMA CMO, Ser 2024-30, Cl AF | | | | | | | | |
6.650%, SOFR30A + 1.250%, 02/20/2054(B) | | $ | 345 | | | $ | 347 | |
GNMA CMO, Ser 2024-30, Cl DF | | | | | | | | |
6.500%, SOFR30A + 1.300%, 02/20/2054(B) | | | 844 | | | | 850 | |
GNMA CMO, Ser 2024-45, Cl BD | | | | | | | | |
2.000%, 03/20/2054 | | | 369 | | | | 336 | |
GNMA CMO, Ser 2024-97, Cl FW | | | | | | | | |
6.495%, SOFR30A + 1.150%, 06/20/2054(B) | | | 1,460 | | | | 1,465 | |
GNMA TBA | | | | | | | | |
6.500%, 10/15/2054 | | | 3,200 | | | | 3,274 | |
5.500%, 11/01/2034 | | | 7,775 | | | | 7,850 | |
5.000%, 10/01/2033 | | | 14,575 | | | | 14,598 | |
4.500%, 10/15/2054 | | | 10,475 | | | | 10,343 | |
4.000%, 10/15/2054 | | | 11,925 | | | | 11,529 | |
2.500%, 10/15/2054 | | | 17,350 | | | | 15,289 | |
GNMA, Ser 107, Cl AD | | | | | | | | |
2.797%, 11/16/2047(B) | | | 192 | | | | 175 | |
GNMA, Ser 11, Cl IX, IO | | | | | | | | |
1.161%, 12/16/2062(B) | | | 3,081 | | | | 256 | |
GNMA, Ser 110, Cl IO, IO | | | | | | | | |
0.874%, 11/16/2063(B) | | | 2,321 | | | | 154 | |
GNMA, Ser 113, Cl Z | | | | | | | | |
2.000%, 09/16/2061 | | | 2,301 | | | | 1,267 | |
GNMA, Ser 118, Cl IO, IO | | | | | | | | |
0.883%, 06/16/2062(B) | | | 3,623 | | | | 218 | |
GNMA, Ser 14, Cl AB | | | | | | | | |
1.340%, 06/16/2063 | | | 496 | | | | 378 | |
GNMA, Ser 14, Cl IO, IO | | | | | | | | |
1.327%, 06/16/2063(B) | | | 2,623 | | | | 241 | |
GNMA, Ser 147, Cl KI | | | | | | | | |
1.144%, 06/16/2061(B) | | | 2,587 | | | | 209 | |
GNMA, Ser 169, Cl IO, IO | | | | | | | | |
1.112%, 06/16/2061(B) | | | 2,875 | | | | 236 | |
GNMA, Ser 171, Cl IO, IO | | | | | | | | |
0.653%, 09/16/2059(B) | | | 5,325 | | | | 218 | |
GNMA, Ser 179, Cl IO, IO | | | | | | | | |
0.611%, 09/16/2063(B) | | | 8,250 | | | | 347 | |
GNMA, Ser 181, Cl IO, IO | | | | | | | | |
0.968%, 07/16/2063(B) | | | 3,076 | | | | 221 | |
GNMA, Ser 196, Cl BE | | | | | | | | |
3.000%, 10/16/2064(B) | | | 600 | | | | 455 | |
GNMA, Ser 2012-112, Cl IO, IO | | | | | | | | |
0.108%, 02/16/2053(B) | | | 324 | | | | 1 | |
GNMA, Ser 2012-152, Cl IO, IO | | | | | | | | |
0.682%, 01/16/2054(B) | | | 1,722 | | | | 42 | |
GNMA, Ser 2012-27, Cl IO, IO | | | | | | | | |
0.218%, 04/16/2053(B) | | | 356 | | | | 1 | |
GNMA, Ser 2013-96, Cl IO, IO | | | | | | | | |
0.051%, 10/16/2054(B) | | | 610 | | | | 1 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
GNMA, Ser 2014-47, Cl IA, IO | | | | | | | | |
0.157%, 02/16/2048(B) | | $ | 42 | | | $ | – | |
GNMA, Ser 2014-50, Cl IO, IO | | | | | | | | |
0.627%, 09/16/2055(B) | | | 233 | | | | 6 | |
GNMA, Ser 2014-92, Cl IX, IO | | | | | | | | |
0.085%, 05/16/2054(B) | | | 2,662 | | | | 8 | |
GNMA, Ser 2015-5, Cl IK, IO | | | | | | | | |
0.251%, 11/16/2054(B) | | | 1,992 | | | | 13 | |
GNMA, Ser 2019-71, Cl PT | | | | | | | | |
3.000%, 06/20/2049 | | | 139 | | | | 128 | |
GNMA, Ser 21, Cl AH | | | | | | | | |
1.400%, 06/16/2063 | | | 85 | | | | 65 | |
GNMA, Ser 210, Cl IO, IO | | | | | | | | |
0.699%, 07/16/2064(B) | | | 1,469 | | | | 93 | |
GNMA, Ser 216, Cl IO, IO | | | | | | | | |
0.749%, 07/16/2065(B) | | | 1,479 | | | | 98 | |
GNMA, Ser 220, Cl E | | | | | | | | |
3.000%, 10/16/2064(B) | | | 500 | | | | 379 | |
GNMA, Ser 3, Cl IO, IO | | | | | | | | |
0.640%, 02/16/2061(B) | | | 665 | | | | 33 | |
GNMA, Ser 3, Cl B | | | | | | | | |
1.850%, 02/16/2061 | | | 300 | | | | 165 | |
GNMA, Ser 41, Cl IO, IO | | | | | | | | |
0.567%, 07/16/2058(B) | | | 428 | | | | 11 | |
GNMA, Ser 45, Cl IO, IO | | | | | | | | |
0.542%, 03/16/2059(B) | | | 7,028 | | | | 246 | |
GNMA, Ser 59, Cl IO, IO | | | | | | | | |
0.571%, 02/16/2062(B) | | | 3,346 | | | | 157 | |
GNMA, Ser 60, Cl IO, IO | | | | | | | | |
0.826%, 05/16/2063(B) | | | 2,304 | | | | 142 | |
GNMA, Ser 68, Cl IO, IO | | | | | | | | |
1.615%, 05/16/2060(B) | | | 2,516 | | | | 263 | |
GNMA, Ser 89, Cl IA, IO | | | | | | | | |
1.168%, 04/16/2062(B) | | | 3,023 | | | | 242 | |
GNMA, Ser 92, Cl IA, IO | | | | | | | | |
0.611%, 06/16/2064(B) | | | 1,998 | | | | 117 | |
GNMA, Ser 92, Cl AH | | | | | | | | |
2.000%, 06/16/2064 | | | 2,098 | | | | 1,643 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 1,282,661 | |
Non-Agency Mortgage-Backed Obligations — 4.5% | | | | |
1211 Avenue of the Americas Trust, Ser 2015-1211, Cl A1A2 | | | | | | | | |
3.901%, 08/10/2035(D) | | | 2,276 | | | | 2,235 | |
Alternative Loan Trust, Ser 2006-18CB, Cl A6 | | | | | | | | |
8.723%, 07/25/2036(B) | | | 137 | | | | 141 | |
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A | | | | | | | | |
7.183%, TSFR6M + 2.428%, 06/25/2045(B) | | | 213 | | | | 212 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A | | | | | | | | |
6.877%, TSFR6M + 2.178%, 11/25/2045(B) | | $ | 623 | | | $ | 252 | |
American Home Mortgage Investment Trust, Ser 2006-1, Cl 12A1 | | | | | | | | |
5.369%, TSFR1M + 0.514%, 03/25/2046(B) | | | 1,769 | | | | 1,545 | |
Angel Oak Mortgage Trust, Ser 2020-2, Cl A1A | | | | | | | | |
2.531%, 01/26/2065(B)(D) | | | 226 | | | | 213 | |
Angel Oak Mortgage Trust, Ser 2020-5, Cl A1 | | | | | | | | |
1.373%, 05/25/2065(B)(D) | | | 59 | | | | 56 | |
Angel Oak Mortgage Trust, Ser 2021-6, Cl A1 | | | | | | | | |
1.458%, 09/25/2066(B)(D) | | | 438 | | | | 366 | |
Angel Oak Mortgage Trust, Ser 2022-2, Cl A1 | | | | | | | | |
3.353%, 01/25/2067(B)(D) | | | 4,231 | | | | 4,021 | |
Angel Oak Mortgage Trust, Ser 2023-1, Cl A1 | | | | | | | | |
4.750%, 09/26/2067(C)(D) | | | 1,845 | | | | 1,834 | |
Arbor Multifamily Mortgage Securities Trust, Ser MF2, Cl B | | | | | | | | |
2.560%, 06/15/2054(B)(D) | | | 615 | | | | 522 | |
AREIT, Ser 2022-CRE7, Cl A | | | | | | | | |
7.325%, TSFR1M + 2.242%, 06/17/2039(B)(D) | | | 2,050 | | | | 2,062 | |
BAMLL Commercial Mortgage Securities Trust, Ser 2018-PARK, Cl A | | | | | | | | |
4.227%, 08/10/2038(B)(D) | | | 1,790 | | | | 1,716 | |
BANK, Ser BNK40, Cl A4 | | | | | | | | |
3.506%, 03/15/2064(B) | | | 605 | | | | 562 | |
BANK, Ser BNK44, Cl A5 | | | | | | | | |
5.936%, 11/15/2055(B) | | | 430 | | | | 465 | |
BANK, Ser BNK46, Cl A4 | | | | | | | | |
5.745%, 08/15/2056 | | | 440 | | | | 475 | |
BANK, Ser BNK48, Cl ASB | | | | | | | | |
4.971%, 07/15/2034 | | | 680 | | | | 696 | |
BANK, Ser BNK48 | | | | | | | | |
5.053%, 09/15/2034 | | | 279 | | | | 288 | |
Bayview MSR Opportunity Master Fund Trust, Ser 2021-5, Cl A5 | | | | | | | | |
2.500%, 11/25/2051(B)(D) | | | 2,833 | | | | 2,534 | |
Bayview Opportunity Master Fund VI Trust, Ser 2021-6, Cl A5 | | | | | | | | |
2.500%, 10/25/2051(B)(D) | | | 5,462 | | | | 4,853 | |
BBCMS Mortgage Trust, Ser C18, Cl A5 | | | | | | | | |
5.710%, 12/15/2055(B) | | | 675 | | | | 722 | |
BBCMS Mortgage Trust, Ser C2, Cl ASB | | | | | | | | |
4.236%, 12/15/2051 | | | 171 | | | | 170 | |
BBCMS Mortgage Trust, Ser C6, Cl A2 | | | | | | | | |
2.690%, 02/15/2053 | | | 660 | | | | 630 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
BBCMS Trust, Ser 2015-SRCH, Cl A1 | | | | | | | | |
3.312%, 08/10/2035(D) | | $ | 319 | | | $ | 307 | |
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A | | | | | | | | |
4.558%, 05/25/2034(B) | | | 4 | | | | 4 | |
Bear Stearns ARM Trust, Ser 2003-7, Cl 9A | | | | | | | | |
5.748%, 10/25/2033(B) | | | 183 | | | | 169 | |
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC6, Cl 1A3 | | | | | | | | |
5.500%, 09/25/2035(B) | | | 460 | | | | 441 | |
Bear Stearns Mortgage Funding Trust, Ser 2007-AR3, Cl 1A1 | | | | | | | | |
5.109%, TSFR1M + 0.254%, 03/25/2037(B) | | | 2,147 | | | | 1,970 | |
Benchmark Mortgage Trust, Ser B33, Cl A5 | | | | | | | | |
3.458%, 03/15/2055 | | | 800 | | | | 738 | |
Benchmark Mortgage Trust, Ser B35, Cl AS | | | | | | | | |
4.592%, 05/15/2055(B) | | | 530 | | | | 488 | |
Benchmark Mortgage Trust, Ser B35, Cl A5 | | | | | | | | |
4.592%, 05/15/2055(B) | | | 485 | | | | 469 | |
Benchmark Mortgage Trust, Ser B38, Cl A4 | | | | | | | | |
5.525%, 04/15/2056 | | | 450 | | | | 479 | |
Benchmark Mortgage Trust, Ser V3, Cl A3 | | | | | | | | |
6.363%, 07/15/2056(B) | | | 450 | | | | 477 | |
BLP Commercial Mortgage Trust, Ser IND, Cl A | | | | | | | | |
6.789%, TSFR1M + 1.692%, 03/15/2040(B)(D) | | | 450 | | | | 449 | |
BMO Mortgage Trust, Ser C1, Cl A1 | | | | | | | | |
2.198%, 02/15/2055 | | | 424 | | | | 412 | |
BPR Trust, Ser STAR, Cl A | | | | | | | | |
8.329%, TSFR1M + 3.232%, 08/15/2039(B)(D) | | | 1,785 | | | | 1,777 | |
BPR Trust, Ser TY, Cl A | | | | | | | | |
6.262%, TSFR1M + 1.164%, 09/15/2038(B)(D) | | | 415 | | | | 411 | |
Bunker Hill Loan Depositary Trust, Ser 2019-2, Cl A1 | | | | | | | | |
2.879%, 07/25/2049(C)(D) | | | 223 | | | | 218 | |
Bunker Hill Loan Depositary Trust, Ser 2019-3, Cl A1 | | | | | | | | |
2.724%, 11/25/2059(C)(D) | | | 94 | | | | 92 | |
BX Commercial Mortgage Trust, Ser VIV4, Cl A | | | | | | | | |
2.843%, 03/09/2044(D) | | | 3,110 | | | | 2,819 | |
BX Commercial Mortgage Trust, Ser VOLT, Cl A | | | | | | | | |
5.911%, TSFR1M + 0.814%, 09/15/2036(B)(D) | | | 2,057 | | | | 2,044 | |
BX Commercial Mortgage Trust, Ser XL3, Cl A | | | | | | | | |
6.858%, TSFR1M + 1.761%, 12/09/2040(B)(D) | | | 658 | | | | 660 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
BX Trust, Ser 2019-OC11, Cl A | | | | | | | | |
3.202%, 12/09/2041(D) | | $ | 1,200 | | | $ | 1,115 | |
BX Trust, Ser LBA, Cl AV | | | | | | | | |
6.012%, TSFR1M + 0.914%, 02/15/2036(B)(D) | | | 356 | | | | 353 | |
CD Commercial Mortgage Trust, Ser 2017-CD3, Cl A4 | | | | | | | | |
3.631%, 02/10/2050 | | | 480 | | | | 455 | |
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl ASB | | | | | | | | |
3.367%, 06/15/2050 | | | 149 | | | | 146 | |
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl A4 | | | | | | | | |
3.572%, 06/15/2050 | | | 371 | | | | 359 | |
CFCRE Commercial Mortgage Trust, Ser C4, Cl AM | | | | | | | | |
3.691%, 05/10/2058 | | | 2,502 | | | | 2,431 | |
CFK Trust, Ser 2020-MF2, Cl E | | | | | | | | |
3.573%, 03/15/2039(B)(D) | | | 1,200 | | | | 858 | |
CFK Trust, Ser MF2, Cl F | | | | | | | | |
3.573%, 03/15/2039(B)(D) | | | 1,860 | | | | 939 | |
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1 | | | | | | | | |
6.209%, 02/25/2037(B) | | | 3 | | | | 3 | |
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1 | | | | | | | | |
6.673%, 02/25/2037(B) | | | 4 | | | | 4 | |
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1 | | | | | | | | |
7.157%, 06/25/2035(B) | | | 2 | | | | 2 | |
Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5 | | | | | | | | |
4.747%, 03/25/2037(C) | | | 214 | | | | 213 | |
Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl A | | | | | | | | |
3.251%, 05/10/2035(D) | | | 220 | | | | 214 | |
Citigroup Commercial Mortgage Trust, Ser 2019-GC41, Cl A5 | | | | | | | | |
2.869%, 08/10/2056 | | | 2,680 | | | | 2,461 | |
Citigroup Commercial Mortgage Trust, Ser C5, Cl AS | | | | | | | | |
4.408%, 06/10/2051(B) | | | 2,229 | | | | 2,173 | |
Citigroup Global Markets Mortgage Securities VII, Ser 2003-HYB1, Cl A | | | | | | | | |
7.740%, 09/25/2033(B) | | | 3 | | | | 3 | |
COLT Mortgage Loan Trust, Ser 2021-2, Cl A1 | | | | | | | | |
0.924%, 08/25/2066(B)(D) | | | 582 | | | | 487 | |
COLT Mortgage Loan Trust, Ser 2021-4, Cl A1 | | | | | | | | |
1.397%, 10/25/2066(B)(D) | | | 607 | | | | 519 | |
COMM Mortgage Trust, Ser 2014-UBS3, Cl AM | | | | | | | | |
4.012%, 06/10/2047 | | | 285 | | | | 268 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
COMM Mortgage Trust, Ser 2015-LC19, Cl XA, IO | | | | | | | | |
1.198%, 02/10/2048(B) | | $ | 4,184 | | | $ | – | |
COMM Mortgage Trust, Ser 2017-PANW, Cl A | | | | | | | | |
3.244%, 10/10/2029(D) | | | 410 | | | | 398 | |
COMM Mortgage Trust, Ser CBM, Cl A2 | | | | | | | | |
2.896%, 02/10/2037(D) | | | 1,085 | | | | 1,066 | |
COMM Mortgage Trust, Ser COR3, Cl B | | | | | | | | |
4.669%, 05/10/2051(B) | | | 540 | | | | 467 | |
COMM Mortgage Trust, Ser CR14, Cl B | | | | | | | | |
3.795%, 02/10/2047(B) | | | 477 | | | | 456 | |
COMM Mortgage Trust, Ser CR26, Cl C | | | | | | | | |
4.612%, 10/10/2048(B) | | | 870 | | | | 763 | |
COMM Mortgage Trust, Ser LC23, Cl A3 | | | | | | | | |
3.521%, 10/10/2048 | | | 353 | | | | 347 | |
Connecticut Avenue Securities Trust, Ser 2019-R03, Cl 1B1 | | | | | | | | |
9.495%, SOFR30A + 4.214%, 09/25/2031(B)(D) | | | 679 | | | | 721 | |
Connecticut Avenue Securities Trust, Ser 2022-R07, Cl 1M1 | | | | | | | | |
8.213%, SOFR30A + 2.950%, 06/25/2042(B)(D) | | | 358 | | | | 369 | |
Connecticut Avenue Securities Trust, Ser 2023-R06, Cl 1M2 | | | | | | | | |
7.980%, SOFR30A + 2.700%, 07/25/2043(B)(D) | | | 1,920 | | | | 1,983 | |
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1 | | | | | | | | |
7.000%, 12/25/2033 | | | 7 | | | | 7 | |
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 | | | | | | | | |
7.615%, 10/25/2033(B) | | | 196 | | | | 191 | |
Credit Suisse Mortgage Trust, Ser 2022-7R, Cl 1A1 | | | | | | | | |
9.824%, SOFR30A + 3.500%, 10/25/2066(B)(D) | | | 4 | | | | 4 | |
Cross Mortgage Trust, Ser 2024-H2, Cl A1 | | | | | | | | |
6.093%, 04/25/2069(C)(D) | | | 1,746 | | | | 1,769 | |
CSAIL Commercial Mortgage Trust, Ser 2015-C3, Cl A3 | | | | | | | | |
3.447%, 08/15/2048 | | | 330 | | | | 327 | |
CSAIL Commercial Mortgage Trust, Ser C20, Cl A3 | | | | | | | | |
2.805%, 03/15/2054 | | | 810 | | | | 724 | |
CSAIL Commercial Mortgage Trust, Ser C3, Cl ASB | | | | | | | | |
3.448%, 08/15/2048 | | | 73 | | | | 73 | |
CSMC Trust, Ser 2014-USA, Cl E | | | | | | | | |
4.373%, 09/15/2037(D) | | | 290 | | | | 146 | |
CSMC Trust, Ser 2017-CHOP, Cl G | | | | | | | | |
10.794%, PRIME + 5.350%, 07/15/2032(B)(D) | | | 1,000 | | | | 926 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
CSMC Trust, Ser 2017-PFHP, Cl A | | | | | | | | |
6.094%, TSFR1M + 0.997%, 12/15/2030(B)(D) | | $ | 1,190 | | | $ | 1,147 | |
CSMC Trust, Ser 2017-RPL1, Cl M2 | | | | | | | | |
2.976%, 07/25/2057(B)(D) | | | 1,760 | | | | 1,402 | |
CSMC Trust, Ser 2018-J1, Cl A2 | | | | | | | | |
3.500%, 02/25/2048(B)(D) | | | 1,590 | | | | 1,460 | |
CSMC Trust, Ser 2020-RPL4, Cl A1 | | | | | | | | |
2.000%, 01/25/2060(B)(D) | | | 481 | | | | 431 | |
CSMC Trust, Ser 2021-RPL3, Cl A1 | | | | | | | | |
2.000%, 01/25/2060(B)(D) | | | 1,049 | | | | 933 | |
CSMC, Ser 2014-11R, Cl 9A2 | | | | | | | | |
5.672%, TSFR1M + 0.254%, 10/27/2036(B)(D) | | | 1,574 | | | | 1,218 | |
CSMC, Ser 2014-USA, Cl A2 | | | | | | | | |
3.953%, 09/15/2037(D) | | | 780 | | | | 696 | |
CSMC, Ser 2022-ATH2, Cl A1 | | | | | | | | |
4.547%, 05/25/2067(B)(D) | | | 2,536 | | | | 2,512 | |
DC Office Trust, Ser 2019-MTC, Cl A | | | | | | | | |
2.965%, 09/15/2045(D) | | | 1,240 | | | | 1,099 | |
DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B | | | | | | | | |
5.879%, TSFR1M + 0.914%, 11/19/2044(B) | | | 188 | | | | 175 | |
DTP Commercial Mortgage Trust, Ser STE2, Cl A | | | | | | | | |
6.038%, 01/15/2041(B)(D) | | | 870 | | | | 892 | |
EFMT, Ser 2023-1, Cl A3 | | | | | | | | |
6.544%, 02/25/2068(C)(D) | | | 1,275 | | | | 1,281 | |
ELP Commercial Mortgage Trust, Ser ELP, Cl C | | | | | | | | |
6.531%, TSFR1M + 1.434%, 11/15/2038(B)(D) | | | 2,497 | | | | 2,486 | |
EQUS Mortgage Trust, Ser EQAZ, Cl B | | | | | | | | |
6.312%, TSFR1M + 1.214%, 10/15/2038(B)(D) | | | 790 | | | | 784 | |
EverBank Mortgage Loan Trust, Ser 2018-1, Cl A22 | | | | | | | | |
3.500%, 02/25/2048(B)(D) | | | 118 | | | | 109 | |
FHLMC STACR REMIC Trust 2022-DNA6, Ser 2022-DNA6, Cl M2 | | | | | | | | |
11.030%, SOFR30A + 5.750%, 09/25/2042(B)(D) | | | 410 | | | | 455 | |
Flagstar Mortgage Trust, Ser 2018-2, Cl A4 | | | | | | | | |
3.500%, 04/25/2048(B)(D) | | | 19 | | | | 19 | |
GNMA | | | | | | | | |
3.000%, 03/20/2052 | | | 1,141 | | | | 1,031 | |
2.500%, 12/20/2050 to 12/20/2051 | | | 3,612 | | | | 3,124 | |
GPMT, Ser 2021-FL3, Cl A | | | | | | | | |
6.379%, TSFR1M + 1.364%, 07/16/2035(B)(D) | | | 416 | | | | 410 | |
GS Mortgage Securities II Trust, Ser 2024-70P, Cl E | | | | | | | | |
9.263%, 03/10/2041(B)(D) | | | 1,020 | | | | 1,062 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
GS Mortgage Securities II, Ser 2017-SLP, Cl C | | | | | | | | |
3.924%, 10/10/2032(D) | | $ | 722 | | | $ | 716 | |
GS Mortgage Securities II, Ser ARDN, Cl B | | | | | | | | |
6.861%, TSFR1M + 1.764%, 11/15/2036(B)(D) | | | 1,623 | | | | 1,608 | |
GS Mortgage Securities II, Ser GC30, Cl B | | | | | | | | |
4.159%, 05/10/2050(B) | | | 480 | | | | 455 | |
GS Mortgage Securities II, Ser SHIP, Cl A | | | | | | | | |
4.466%, 09/10/2038(B)(D) | | | 1,235 | | | | 1,225 | |
GS Mortgage Securities II, Ser SRP5, Cl A | | | | | | | | |
6.944%, TSFR1M + 1.800%, 09/15/2031(B)(D) | | | 1,059 | | | | 758 | |
GS Mortgage Securities Trust, Ser 2014-GC26, Cl B | | | | | | | | |
4.215%, 11/10/2047(B) | | | 680 | | | | 638 | |
GS Mortgage Securities Trust, Ser GC32, Cl A3 | | | | | | | | |
3.498%, 07/10/2048 | | | 311 | | | | 308 | |
GS Mortgage Securities Trust, Ser GSA2, Cl A4 | | | | | | | | |
1.721%, 12/12/2053 | | | 1,055 | | | | 913 | |
GS Mortgage Securities Trust, Ser ROSS, Cl A | | | | | | | | |
6.512%, TSFR1M + 1.264%, 05/15/2026(B)(D) | | | 2,170 | | | | 2,004 | |
GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A | | | | | | | | |
3.750%, 10/25/2057(D) | | | 1,439 | | | | 1,412 | |
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A | | | | | | | | |
8.000%, 09/19/2027(B)(D) | | | 9 | | | | 9 | |
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 | | | | | | | | |
6.396%, 10/25/2033(B) | | | 81 | | | | 81 | |
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3 | | | | | | | | |
6.000%, 09/25/2034 | | | 6 | | | | 6 | |
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4 | | | | | | | | |
5.500%, 01/25/2037 | | | 1 | | | | 1 | |
HarborView Mortgage Loan, Ser 2004-3, Cl 1A | | | | | | | | |
5.674%, 05/19/2034(B) | | | 313 | | | | 300 | |
HIT Trust, Ser HI32, Cl A | | | | | | | | |
7.488%, TSFR1M + 2.391%, 07/09/2025(B)(D) | | | 1,512 | | | | 1,516 | |
Hudson Yards Mortgage Trust, Ser 2019-30HY, Cl A | | | | | | | | |
3.228%, 07/10/2039(D) | | | 1,225 | | | | 1,133 | |
Hudson Yards Mortgage Trust, Ser 2019-55HY, Cl A | | | | | | | | |
3.041%, 12/10/2041(B)(D) | | | 1,240 | | | | 1,126 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
Impact Funding, Ser 2010-1, Cl A1 | | | | | | | | |
5.314%, 01/25/2051(D) | | $ | 138 | | | $ | 137 | |
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3 | | | | | | | | |
2.912%, 10/15/2048 | | | 556 | | | | 554 | |
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl A5 | | | | | | | | |
3.822%, 07/15/2048 | | | 568 | | | | 555 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl C | | | | | | | | |
4.682%, 07/15/2047(B) | | | 380 | | | | 351 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2019-OSB, Cl A | | | | | | | | |
3.397%, 06/05/2039(D) | | | 1,500 | | | | 1,381 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Ser JP4, Cl A3 | | | | | | | | |
3.393%, 12/15/2049 | | | 206 | | | | 201 | |
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3 | | | | | | | | |
6.581%, 11/25/2033(B) | | | 4 | | | | 4 | |
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1 | | | | | | | | |
7.298%, 08/25/2034(B) | | | 17 | | | | 17 | |
JPMorgan Mortgage Trust, Ser 2018-4, Cl A1 | | | | | | | | |
3.500%, 10/25/2048(B)(D) | | | 84 | | | | 77 | |
JPMorgan Mortgage Trust, Ser 2018-5, Cl A1 | | | | | | | | |
3.500%, 10/25/2048(B)(D) | | | 267 | | | | 245 | |
JPMorgan Mortgage Trust, Ser 2020-1, Cl A3A | | | | | | | | |
3.000%, 06/25/2050(B)(D) | | | 126 | | | | 111 | |
LAQ Mortgage Trust, Ser LAQ, Cl A | | | | | | | | |
7.188%, TSFR1M + 2.091%, 03/15/2036(B)(D) | | | 62 | | | | 62 | |
Legacy Mortgage Asset Trust, Ser 2021-GS2, Cl A1 | | | | | | | | |
4.750%, 04/25/2061(C)(D) | | | 406 | | | | 409 | |
Lehman XS Trust, Ser 2007-16N, Cl 2A2 | | | | | | | | |
6.669%, TSFR1M + 1.814%, 09/25/2047(B) | | | 3,322 | | | | 2,994 | |
LEX Mortgage Trust, Ser 2024-BBG, Cl A | | | | | | | | |
4.874%, 10/13/2033(B)(D) | | | 1,335 | | | | 1,336 | |
Master Resecuritization Trust, Ser 2005, Cl 3, PO | | | | | | | | |
0.000%, 05/28/2035(A)(D) | | | 1 | | | | 1 | |
MASTR Reperforming Loan Trust, Ser 2005-1, Cl 1A1 | | | | | | | | |
6.000%, 08/25/2034(D) | | | 936 | | | | 588 | |
Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A | | | | | | | | |
7.322%, 07/25/2033(B) | | | 5 | | | | 5 | |
MFA Trust, Ser 2021-NQM2, Cl A1 | | | | | | | | |
1.029%, 11/25/2064(B)(D) | | | 226 | | | | 200 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
MFA Trust, Ser 2021-RPL1, Cl A1 | | | | | | | | |
1.131%, 07/25/2060(B)(D) | | $ | 414 | | | $ | 375 | |
MHC Trust, Ser MHC2, Cl A | | | | | | | | |
6.062%, TSFR1M + 0.964%, 05/15/2038(B)(D) | | | 567 | | | | 564 | |
Mill City Mortgage Loan Trust, Ser 2021-NMR1, Cl A1 | | | | | | | | |
1.125%, 11/25/2060(B)(D) | | | 409 | | | | 389 | |
Morgan Stanley BAML Trust, Ser 2012-CKSV, Cl A2 | | | | | | | | |
3.277%, 10/15/2030(D) | | | 650 | | | | 591 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl A5 | | | | | | | | |
3.635%, 10/15/2048 | | | 250 | | | | 246 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C34, Cl B | | | | | | | | |
4.111%, 11/15/2052(B) | | | 1,030 | | | | 939 | |
Morgan Stanley Capital I Trust, Ser 2016-BNK2, Cl XA, IO | | | | | | | | |
1.080%, 11/15/2049(B) | | | 2,719 | | | | 39 | |
Morgan Stanley Capital I Trust, Ser 2017-ASHF, Cl A | | | | | | | | |
6.244%, TSFR1M + 1.022%, 11/15/2034(B)(D) | | | 35 | | | | 35 | |
Morgan Stanley Capital I Trust, Ser HR8, Cl A3 | | | | | | | | |
1.790%, 07/15/2053 | | | 392 | | | | 343 | |
Morgan Stanley Capital I Trust, Ser L8, Cl AS | | | | | | | | |
3.920%, 04/15/2055(B) | | | 580 | | | | 531 | |
Morgan Stanley Residential Mortgage Loan Trust, Ser 2021-2, Cl A3 | | | | | | | | |
2.500%, 05/25/2051(B)(D) | | | 4,849 | | | | 4,088 | |
MSCG Trust, Ser 2015-ALDR, Cl A2 | | | | | | | | |
3.577%, 06/07/2035(B)(D) | | | 620 | | | | 601 | |
MSWF Commercial Mortgage Trust, Ser 2, Cl XA, IO | | | | | | | | |
1.141%, 12/15/2056(B) | | | 5,217 | | | | 335 | |
MSWF Commercial Mortgage Trust, Ser 2, Cl A5 | | | | | | | | |
6.014%, 12/15/2056(B) | | | 1,510 | | | | 1,663 | |
New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1 | | | | | | | | |
2.492%, 09/25/2059(B)(D) | | | 108 | | | | 103 | |
New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A3 | | | | | | | | |
1.516%, 11/27/2056(B)(D) | | | 289 | | | | 256 | |
New Residential Mortgage Loan Trust, Ser 2022-NQM4, Cl A1 | | | | | | | | |
5.000%, 06/25/2062(C)(D) | | | 1,569 | | | | 1,559 | |
New Residential Mortgage Loan Trust, Ser 2024-NQM1, Cl A1 | | | | | | | | |
6.129%, 03/25/2064(C)(D) | | | 1,441 | | | | 1,457 | |
NJ Trust, Ser GSP, Cl A | | | | | | | | |
6.697%, 01/06/2029(B)(D) | | | 780 | | | | 827 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
OBX Trust, Ser 2019-EXP1, Cl 1A3 | | | | | | | | |
4.000%, 01/25/2059(B)(D) | | $ | 18 | | | $ | 17 | |
OBX Trust, Ser 2021-NQM2, Cl A1 | | | | | | | | |
1.101%, 05/25/2061(B)(D) | | | 446 | | | | 368 | |
OBX Trust, Ser 2021-NQM3, Cl A3 | | | | | | | | |
1.362%, 07/25/2061(B)(D) | | | 944 | | | | 786 | |
OBX Trust, Ser 2023-NQM3, Cl A1 | | | | | | | | |
5.949%, 02/25/2063(C)(D) | | | 1,269 | | | | 1,281 | |
OBX Trust, Ser 2024-NQM1, Cl A1 | | | | | | | | |
5.928%, 11/25/2063(C)(D) | | | 1,757 | | | | 1,775 | |
OBX Trust, Ser 2024-NQM10, Cl A3 | | | | | | | | |
6.433%, 05/25/2064(C)(D) | | | 440 | | | | 447 | |
Oceanview Mortgage Trust, Ser 2021-3, Cl A5 | | | | | | | | |
2.500%, 07/25/2051(B)(D) | | | 3,366 | | | | 3,015 | |
One Bryant Park Trust, Ser 2019-OBP, Cl A | | | | | | | | |
2.516%, 09/15/2054(D) | | | 1,570 | | | | 1,397 | |
PHH Alternative Mortgage Trust, Ser 2007-3, Cl A3 | | | | | | | | |
5.569%, TSFR1M + 0.714%, 07/25/2037(B) | | | 2,129 | | | | 2,050 | |
Prime Mortgage Trust, Ser 2004-CL1, Cl 1, PO | | | | | | | | |
0.000%, 02/25/2034(A) | | | 1 | | | | 1 | |
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1 | | | | | | | | |
6.000%, 02/25/2034 | | | 5 | | | | 5 | |
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1 | | | | | | | | |
5.500%, 05/25/2035(D) | | | 463 | | | | 416 | |
PRKCM Trust, Ser 2022-AFC1, Cl A1A | | | | | | | | |
4.100%, 04/25/2057(B)(D) | | | 1,435 | | | | 1,409 | |
PRKCM Trust, Ser 2023-AFC1, Cl A1 | | | | | | | | |
6.598%, 02/25/2058(C)(D) | | | 1,265 | | | | 1,277 | |
RCKT Mortgage Trust, Ser 2021-3, Cl A1 | | | | | | | | |
2.500%, 07/25/2051(B)(D) | | | 437 | | | | 369 | |
RCKT Mortgage Trust, Ser 2022-2, Cl A2 | | | | | | | | |
2.500%, 02/25/2052(B)(D) | | | 545 | | | | 458 | |
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 | | | | | | | | |
4.000%, 12/25/2034(B) | | | 171 | | | | 154 | |
SCOTT Trust, Ser SFS, Cl A | | | | | | | | |
5.910%, 03/10/2040(D) | | | 1,110 | | | | 1,144 | |
Seasoned Credit Risk Transfer Trust, Ser 2016-1, Cl M2 | | | | | | | | |
3.750%, 09/25/2055(B)(D) | | | 1,923 | | | | 1,803 | |
Seasoned Credit Risk Transfer Trust, Ser 2019-1, Cl M | | | | | | | | |
4.750%, 07/25/2058(B)(D) | | | 2,701 | | | | 2,622 | |
Sequoia Mortgage Trust, Ser 2018-CH4, Cl B1B | | | | | | | | |
5.005%, 10/25/2048(B)(D) | | | 943 | | | | 945 | |
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A2B | | | | | | | | |
4.144%, 01/05/2043(B)(D) | | | 75 | | | | 66 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A1 | | | | | | | | |
3.872%, 01/05/2043(B)(D) | | $ | 390 | | | $ | 338 | |
SG Commercial Mortgage Securities Trust, Ser C5, Cl A3 | | | | | | | | |
2.779%, 10/10/2048 | | | 407 | | | | 395 | |
STAR Trust, Ser 2021-1, Cl A1 | | | | | | | | |
1.219%, 05/25/2065(B)(D) | | | 177 | | | | 165 | |
Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1 | | | | | | | | |
2.275%, 02/25/2050(B)(D) | | | 39 | | | | 37 | |
Starwood Mortgage Residential Trust, Ser 2020-3, Cl A1 | | | | | | | | |
1.486%, 04/25/2065(B)(D) | | | 113 | | | | 109 | |
Starwood Mortgage Residential Trust, Ser 2020-INV1, Cl A1 | | | | | | | | |
1.027%, 11/25/2055(B)(D) | | | 126 | | | | 119 | |
Starwood Mortgage Residential Trust, Ser 2021-4, Cl A1 | | | | | | | | |
1.162%, 08/25/2056(B)(D) | | | 530 | | | | 467 | |
Structured Asset Mortgage Investments II Trust, Ser 2007-AR3, Cl 2A1 | | | | | | | | |
5.159%, TSFR1M + 0.304%, 09/25/2047(B) | | | 1,816 | | | | 1,662 | |
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2002-AL1, Cl A2 | | | | | | | | |
3.450%, 02/25/2032 | | | 1 | | | | 1 | |
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-24A, Cl 3A2 | | | | | | | | |
7.649%, 07/25/2033(B) | | | 17 | | | | 16 | |
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-37A, Cl 2A | | | | | | | | |
6.032%, 12/25/2033(B) | | | 6 | | | | 6 | |
Towd Point Mortgage Trust, Ser 2017-4, Cl A1 | | | | | | | | |
2.750%, 06/25/2057(B)(D) | | | 382 | | | | 371 | |
Towd Point Mortgage Trust, Ser 2017-5, Cl A1 | | | | | | | | |
5.569%, TSFR1M + 0.714%, 02/25/2057(B)(D) | | | 86 | | | | 89 | |
Towd Point Mortgage Trust, Ser 2020-3, Cl A1 | | | | | | | | |
3.088%, 02/25/2063(B)(D) | | | 583 | | | | 562 | |
Towd Point Mortgage Trust, Ser 2021-1, Cl A1 | | | | | | | | |
2.250%, 11/25/2061(B)(D) | | | 385 | | | | 359 | |
UBS Commercial Mortgage Trust, Ser C4, Cl A3 | | | | | | | | |
3.301%, 10/15/2050 | | | 401 | | | | 384 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
Verus Securitization Trust, Ser 2019-INV3, Cl A1 | | | | | | | | |
3.692%, 11/25/2059(B)(D) | | $ | 105 | | | $ | 104 | |
Verus Securitization Trust, Ser 2020-2, Cl A1 | | | | | | | | |
3.226%, 05/25/2060(B)(D) | | | 10 | | | | 10 | |
Verus Securitization Trust, Ser 2021-1, Cl A1 | | | | | | | | |
0.815%, 01/25/2066(B)(D) | | | 234 | | | | 212 | |
Verus Securitization Trust, Ser 2021-2, Cl A1 | | | | | | | | |
1.031%, 02/25/2066(B)(D) | | | 453 | | | | 409 | |
Verus Securitization Trust, Ser 2021-3, Cl A1 | | | | | | | | |
1.046%, 06/25/2066(B)(D) | | | 391 | | | | 342 | |
Verus Securitization Trust, Ser 2021-4, Cl A1 | | | | | | | | |
0.938%, 07/25/2066(B)(D) | | | 490 | | | | 419 | |
Verus Securitization Trust, Ser 2021-5, Cl A1 | | | | | | | | |
1.013%, 09/25/2066(B)(D) | | | 1,237 | | | | 1,058 | |
Verus Securitization Trust, Ser 2021-7, Cl A1 | | | | | | | | |
1.829%, 10/25/2066(C)(D) | | | 586 | | | | 525 | |
Verus Securitization Trust, Ser 2021-8, Cl A1 | | | | | | | | |
1.824%, 11/25/2066(B)(D) | | | 537 | | | | 490 | |
Verus Securitization Trust, Ser 2021-R1, Cl A1 | | | | | | | | |
0.820%, 10/25/2063(B)(D) | | | 161 | | | | 152 | |
Verus Securitization Trust, Ser 2021-R3, Cl A1 | | | | | | | | |
1.020%, 04/25/2064(B)(D) | | | 216 | | | | 200 | |
Visio Trust, Ser 2020-1R, Cl A1 | | | | | | | | |
1.312%, 11/25/2055(D) | | | 129 | | | | 123 | |
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7 | | | | | | | | |
6.048%, 10/25/2033(B) | | | 14 | | | | 14 | |
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6 | | | | | | | | |
6.577%, 09/25/2033(B) | | | 16 | | | | 15 | |
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10 | | | | | | | | |
3.797%, 06/25/2033(B) | | | 2 | | | | 2 | |
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8 | | | | | | | | |
5.250%, 10/25/2033 | | | 36 | | | | 35 | |
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 | | | | | | | | |
5.712%, 06/25/2034(B) | | | 9 | | | | 8 | |
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A3 | | | | | | | | |
6.529%, TSFR1M + 1.674%, 10/25/2045(B) | | | 120 | | | | 118 | |
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A1 | | | | | | | | |
5.489%, TSFR1M + 0.634%, 11/25/2045(B) | | | 3,008 | | | | 2,844 | |
WaMu Mortgage Pass-Through Certificates, Ser 2007-OA1, Cl A1A | | | | | | | | |
5.823%, 12MTA + 0.700%, 02/25/2047(B) | | | 870 | | | | 752 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
Wells Fargo Commercial Mortgage Trust, Ser 2014-LC18, Cl A5 | | | | | | | | |
3.405%, 12/15/2047 | | $ | 570 | | | $ | 567 | |
Wells Fargo Commercial Mortgage Trust, Ser 2016-C36, Cl XA, IO | | | | | | | | |
1.297%, 11/15/2059(B) | | | 4,327 | | | | 75 | |
Wells Fargo Commercial Mortgage Trust, Ser C26, Cl AS | | | | | | | | |
3.580%, 02/15/2048 | | | 1,840 | | | | 1,822 | |
Wells Fargo Mortgage Backed Securities Trust, Ser 2005-AR7, Cl B1 | | | | | | | | |
6.181%, 05/25/2035(B) | | | 1,211 | | | | 940 | |
WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl B | | | | | | | | |
4.213%, 08/15/2047(B) | | | 300 | | | | 290 | |
WFRBS Commercial Mortgage Trust, Ser C22, Cl B | | | | | | | | |
4.371%, 09/15/2057(B) | | | 245 | | | | 219 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 164,468 | |
Total Mortgage-Backed Securities | | | | | | | | |
(Cost $1,474,096) ($ Thousands) | | | | | | | 1,447,129 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
CORPORATE OBLIGATIONS — 26.8% |
Communication Services — 2.3% | | | | |
Alphabet | | | | | | | | |
1.900%, 08/15/2040 | | | 250 | | | | 178 | |
1.100%, 08/15/2030 | | | 240 | | | | 207 | |
AT&T | | | | | | | | |
5.550%, 08/15/2041 | | | 130 | | | | 133 | |
5.350%, 09/01/2040 | | | 130 | | | | 132 | |
5.150%, 03/15/2042 | | | 25 | | | | 25 | |
4.500%, 05/15/2035 | | | 370 | | | | 360 | |
4.350%, 06/15/2045 | | | 350 | | | | 309 | |
3.800%, 12/01/2057 | | | 1,017 | | | | 770 | |
3.650%, 09/15/2059 | | | 386 | | | | 280 | |
3.550%, 09/15/2055 | | | 2,040 | | | | 1,492 | |
3.500%, 06/01/2041 | | | 251 | | | | 205 | |
3.500%, 09/15/2053 | | | 2,412 | | | | 1,772 | |
2.550%, 12/01/2033 | | | 290 | | | | 245 | |
2.300%, 06/01/2027 | | | 750 | | | | 716 | |
2.250%, 02/01/2032 | | | 60 | | | | 52 | |
1.650%, 02/01/2028 | | | 20 | | | | 18 | |
CCO Holdings | | | | | | | | |
4.750%, 02/01/2032 (D) | | | 300 | | | | 265 | |
4.500%, 05/01/2032 | | | 1,240 | | | | 1,072 | |
Charter Communications Operating | | | | | | | | |
6.834%, 10/23/2055 | | | 70 | | | | 70 | |
6.550%, 06/01/2034 | | | 927 | | | | 964 | |
6.484%, 10/23/2045 | | | 110 | | | | 106 | |
6.150%, 11/10/2026 | | | 1,985 | | | | 2,040 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
6.100%, 06/01/2029 | | $ | 2,394 | | | $ | 2,478 | |
5.750%, 04/01/2048 | | | 1,097 | | | | 958 | |
5.500%, 04/01/2063 | | | 457 | | | | 372 | |
5.375%, 04/01/2038 | | | 543 | | | | 495 | |
5.375%, 05/01/2047 | | | 191 | | | | 160 | |
5.250%, 04/01/2053 | | | 318 | | | | 260 | |
5.125%, 07/01/2049 | | | 160 | | | | 129 | |
4.908%, 07/23/2025 | | | 266 | | | | 266 | |
4.800%, 03/01/2050 | | | 3,110 | | | | 2,381 | |
4.400%, 04/01/2033 | | | 800 | | | | 732 | |
4.200%, 03/15/2028 | | | 1,263 | | | | 1,228 | |
3.900%, 06/01/2052 | | | 1,349 | | | | 884 | |
3.750%, 02/15/2028 | | | 85 | | | | 82 | |
3.700%, 04/01/2051 | | | 1,250 | | | | 798 | |
3.500%, 06/01/2041 | | | 135 | | | | 95 | |
3.500%, 03/01/2042 | | | 839 | | | | 583 | |
Comcast | | | | | | | | |
7.050%, 03/15/2033 | | | 90 | | | | 105 | |
5.650%, 06/01/2054 | | | 537 | | | | 573 | |
5.350%, 11/15/2027 | | | 516 | | | | 537 | |
5.300%, 06/01/2034 | | | 519 | | | | 547 | |
4.950%, 10/15/2058 | | | 60 | | | | 58 | |
4.400%, 08/15/2035 | | | 1,770 | | | | 1,725 | |
4.250%, 10/15/2030 | | | 730 | | | | 729 | |
4.200%, 08/15/2034 | | | 220 | | | | 213 | |
4.150%, 10/15/2028 | | | 2,220 | | | | 2,223 | |
4.000%, 08/15/2047 | | | 90 | | | | 76 | |
4.000%, 03/01/2048 | | | 70 | | | | 59 | |
3.999%, 11/01/2049 | | | 259 | | | | 216 | |
3.969%, 11/01/2047 | | | 418 | | | | 349 | |
3.950%, 10/15/2025 | | | 90 | | | | 90 | |
3.750%, 04/01/2040 | | | 200 | | | | 173 | |
3.450%, 02/01/2050 | | | 140 | | | | 106 | |
3.400%, 04/01/2030 | | | 280 | | | | 269 | |
3.400%, 07/15/2046 | | | 60 | | | | 46 | |
3.300%, 04/01/2027 | | | 190 | | | | 187 | |
3.250%, 11/01/2039 | | | 60 | | | | 49 | |
3.150%, 03/01/2026 | | | 390 | | | | 385 | |
2.987%, 11/01/2063 | | | 294 | | | | 186 | |
2.937%, 11/01/2056 | | | 832 | | | | 544 | |
2.887%, 11/01/2051 | | | 410 | | | | 276 | |
2.800%, 01/15/2051 | | | 280 | | | | 186 | |
1.500%, 02/15/2031 | | | 1,060 | | | | 894 | |
DISH DBS | | | | | | | | |
7.750%, 07/01/2026 | | | 110 | | | | 96 | |
5.875%, 11/15/2024 | | | 410 | | | | 408 | |
5.750%, 12/01/2028 (D) | | | 30 | | | | 26 | |
5.250%, 12/01/2026 (D) | | | 170 | | | | 157 | |
5.125%, 06/01/2029 | | | 260 | | | | 174 | |
Fox | | | | | | | | |
6.500%, 10/13/2033 | | | 390 | | | | 427 | |
5.476%, 01/25/2039 | | | 520 | | | | 524 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Meta Platforms | | | | | | | | |
5.550%, 08/15/2064 | | $ | 1,670 | | | $ | 1,784 | |
5.400%, 08/15/2054 | | | 1,317 | | | | 1,380 | |
4.750%, 08/15/2034 | | | 1,452 | | | | 1,482 | |
4.550%, 08/15/2031 | | | 409 | | | | 418 | |
4.450%, 08/15/2052 | | | 777 | | | | 717 | |
4.300%, 08/15/2029 | | | 545 | | | | 553 | |
Netflix | | | | | | | | |
5.400%, 08/15/2054 | | | 451 | | | | 478 | |
4.900%, 08/15/2034 | | | 1,088 | | | | 1,125 | |
Paramount Global | | | | | | | | |
6.875%, 04/30/2036 | | | 620 | | | | 628 | |
5.900%, 10/15/2040 | | | 455 | | | | 403 | |
Rogers Communications | | | | | | | | |
5.300%, 02/15/2034 | | | 470 | | | | 478 | |
SES GLOBAL Americas Holdings | | | | | | | | |
5.300%, 03/25/2044 (D) | | | 1,200 | | | | 965 | |
Sprint Spectrum | | | | | | | | |
5.152%, 03/20/2028 (D) | | | 2,486 | | | | 2,511 | |
4.738%, 03/20/2025 (D) | | | 673 | | | | 671 | |
Take-Two Interactive Software | | | | | | | | |
4.000%, 04/14/2032 | | | 1,265 | | | | 1,211 | |
Telefonica Emisiones | | | | | | | | |
5.213%, 03/08/2047 | | | 150 | | | | 142 | |
Time Warner Cable | | | | | | | | |
4.500%, 09/15/2042 | | | 155 | | | | 119 | |
T-Mobile USA | | | | | | | | |
5.150%, 04/15/2034 | | | 340 | | | | 350 | |
4.700%, 01/15/2035 | | | 1,345 | | | | 1,340 | |
4.500%, 04/15/2050 | | | 590 | | | | 525 | |
3.875%, 04/15/2030 | | | 2,095 | | | | 2,037 | |
3.750%, 04/15/2027 | | | 2,195 | | | | 2,169 | |
3.500%, 04/15/2025 | | | 1,910 | | | | 1,897 | |
3.500%, 04/15/2031 | | | 710 | | | | 668 | |
3.400%, 10/15/2052 | | | 1,230 | | | | 900 | |
3.375%, 04/15/2029 | | | 270 | | | | 259 | |
2.875%, 02/15/2031 | | | 240 | | | | 218 | |
2.700%, 03/15/2032 | | | 70 | | | | 62 | |
2.625%, 02/15/2029 | | | 330 | | | | 308 | |
2.550%, 02/15/2031 | | | 690 | | | | 615 | |
2.250%, 02/15/2026 | | | 100 | | | | 97 | |
Verizon Communications | | | | | | | | |
5.500%, 03/16/2047 | | | 60 | | | | 64 | |
5.500%, 02/23/2054 | | | 477 | | | | 500 | |
5.250%, 03/16/2037 | | | 260 | | | | 270 | |
4.862%, 08/21/2046 | | | 50 | | | | 49 | |
4.780%, 02/15/2035 (D) | | | 2,595 | | | | 2,591 | |
4.500%, 08/10/2033 | | | 500 | | | | 494 | |
4.400%, 11/01/2034 | | | 1,827 | | | | 1,784 | |
4.016%, 12/03/2029 | | | 714 | | | | 704 | |
4.000%, 03/22/2050 | | | 140 | | | | 117 | |
3.875%, 02/08/2029 | | | 210 | | | | 207 | |
3.850%, 11/01/2042 | | | 610 | | | | 521 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
3.400%, 03/22/2041 | | $ | 130 | | | $ | 106 | |
3.150%, 03/22/2030 | | | 360 | | | | 339 | |
2.650%, 11/20/2040 | | | 430 | | | | 317 | |
2.550%, 03/21/2031 | | | 779 | | | | 696 | |
1.750%, 01/20/2031 | | | 410 | | | | 350 | |
Vmed O2 UK Financing I | | | | | | | | |
4.750%, 07/15/2031 (D) | | | 630 | | | | 561 | |
Walt Disney | | | | | | | | |
6.650%, 11/15/2037 | | | 235 | | | | 278 | |
3.500%, 05/13/2040 | | | 980 | | | | 834 | |
Warnermedia Holdings | | | | | | | | |
6.412%, 03/15/2026 | | | 390 | | | | 390 | |
5.391%, 03/15/2062 | | | 130 | | | | 100 | |
5.141%, 03/15/2052 | | | 6,559 | | | | 5,059 | |
5.050%, 03/15/2042 | | | 2,700 | | | | 2,204 | |
4.279%, 03/15/2032 | | | 1,520 | | | | 1,350 | |
4.054%, 03/15/2029 | | | 270 | | | | 256 | |
3.755%, 03/15/2027 | | | 200 | | | | 193 | |
| | | | | | | | | |
| | | | | | | | 82,769 | |
| | | | | | | | | |
Consumer Discretionary — 1.4% | | | | |
Amazon.com | | | | | | | | |
4.950%, 12/05/2044 | | | 500 | | | | 519 | |
4.250%, 08/22/2057 | | | 110 | | | | 100 | |
3.875%, 08/22/2037 | | | 920 | | | | 865 | |
3.600%, 04/13/2032 | | | 1,240 | | | | 1,198 | |
3.450%, 04/13/2029 | | | 310 | | | | 305 | |
3.300%, 04/13/2027 | | | 150 | | | | 148 | |
3.150%, 08/22/2027 | | | 680 | | | | 668 | |
2.500%, 06/03/2050 | | | 550 | | | | 363 | |
2.100%, 05/12/2031 | | | 300 | | | | 266 | |
1.500%, 06/03/2030 | | | 350 | | | | 306 | |
1.200%, 06/03/2027 | | | 672 | | | | 628 | |
AutoZone | | | | | | | | |
6.250%, 11/01/2028 | | | 470 | | | | 503 | |
Caesars Entertainment | | | | | | | | |
7.000%, 02/15/2030 (D) | | | 460 | | | | 481 | |
Comcast | | | | | | | | |
4.049%, 11/01/2052 | | | 253 | | | | 210 | |
CSC Holdings | | | | | | | | |
4.500%, 11/15/2031 (D) | | | 1,200 | | | | 873 | |
4.125%, 12/01/2030 (D) | | | 590 | | | | 430 | |
3.375%, 02/15/2031 (D) | | | 200 | | | | 142 | |
Ford Motor | | | | | | | | |
6.100%, 08/19/2032 | | | 380 | | | | 389 | |
3.250%, 02/12/2032 | | | 480 | | | | 409 | |
Ford Motor Credit | | | | | | | | |
7.350%, 03/06/2030 | | | 1,090 | | | | 1,180 | |
6.050%, 03/05/2031 | | | 755 | | | | 775 | |
5.303%, 09/06/2029 | | | 636 | | | | 633 | |
5.125%, 06/16/2025 | | | 400 | | | | 400 | |
4.950%, 05/28/2027 | | | 850 | | | | 848 | |
4.125%, 08/17/2027 | | | 200 | | | | 195 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.000%, 11/13/2030 | | $ | 1,240 | | | $ | 1,146 | |
3.815%, 11/02/2027 | | | 261 | | | | 251 | |
3.625%, 06/17/2031 | | | 380 | | | | 337 | |
2.900%, 02/16/2028 | | | 200 | | | | 186 | |
2.900%, 02/10/2029 | | | 1,651 | | | | 1,499 | |
General Motors | | | | | | | | |
6.600%, 04/01/2036 | | | 40 | | | | 43 | |
6.250%, 10/02/2043 | | | 260 | | | | 267 | |
6.125%, 10/01/2025 | | | 320 | | | | 323 | |
5.950%, 04/01/2049 | | | 80 | | | | 79 | |
5.600%, 10/15/2032 | | | 150 | | | | 155 | |
5.150%, 04/01/2038 | | | 240 | | | | 230 | |
General Motors Financial | | | | | | | | |
5.950%, 04/04/2034 | | | 1,205 | | | | 1,247 | |
5.450%, 09/06/2034 | | | 409 | | | | 408 | |
4.350%, 01/17/2027 | | | 110 | | | | 110 | |
2.700%, 06/10/2031 | | | 424 | | | | 365 | |
Hilton Domestic Operating | | | | | | | | |
6.125%, 04/01/2032 (D) | | | 270 | | | | 278 | |
3.625%, 02/15/2032 (D) | | | 530 | | | | 479 | |
Home Depot | | | | | | | | |
5.300%, 06/25/2054 | | | 200 | | | | 210 | |
4.850%, 06/25/2031 | | | 265 | | | | 275 | |
4.750%, 06/25/2029 | | | 399 | | | | 411 | |
4.250%, 04/01/2046 | | | 48 | | | | 44 | |
3.900%, 12/06/2028 | | | 40 | | | | 40 | |
3.900%, 06/15/2047 | | | 60 | | | | 51 | |
3.625%, 04/15/2052 | | | 255 | | | | 205 | |
3.350%, 04/15/2050 | | | 710 | | | | 546 | |
3.300%, 04/15/2040 | | | 350 | | | | 292 | |
2.700%, 04/15/2030 | | | 320 | | | | 298 | |
2.500%, 04/15/2027 | | | 280 | | | | 271 | |
Hyundai Capital America | | | | | | | | |
5.600%, 03/30/2028 (D) | | | 817 | | | | 844 | |
5.400%, 01/08/2031 (D) | | | 435 | | | | 450 | |
5.400%, 06/24/2031 (D) | | | 263 | | | | 273 | |
5.300%, 06/24/2029 (D) | | | 739 | | | | 761 | |
4.550%, 09/26/2029 (D) | | | 655 | | | | 653 | |
Hyundai Capital America MTN | | | | | | | | |
1.300%, 01/08/2026 (D) | | | 495 | | | | 475 | |
Las Vegas Sands | | | | | | | | |
6.000%, 08/15/2029 | | | 260 | | | | 270 | |
3.900%, 08/08/2029 | | | 150 | | | | 143 | |
2.900%, 06/25/2025 | | | 210 | | | | 207 | |
Lennar | | | | | | | | |
4.750%, 11/29/2027 | | | 410 | | | | 415 | |
Lowe's | | | | | | | | |
5.850%, 04/01/2063 | | | 132 | | | | 140 | |
5.750%, 07/01/2053 | | | 397 | | | | 419 | |
5.625%, 04/15/2053 | | | 127 | | | | 132 | |
5.000%, 04/15/2040 | | | 725 | | | | 717 | |
4.500%, 04/15/2030 | | | 200 | | | | 203 | |
4.250%, 04/01/2052 | | | 636 | | | | 538 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
McDonald's | | | | | | | | |
5.450%, 08/14/2053 | | $ | 652 | | | $ | 680 | |
4.800%, 08/14/2028 | | | 268 | | | | 275 | |
McDonald's MTN | | | | | | | | |
6.300%, 03/01/2038 | | | 400 | | | | 457 | |
4.875%, 12/09/2045 | | | 260 | | | | 253 | |
4.450%, 03/01/2047 | | | 240 | | | | 219 | |
4.450%, 09/01/2048 | | | 72 | | | | 66 | |
4.200%, 04/01/2050 | | | 530 | | | | 458 | |
3.800%, 04/01/2028 | | | 170 | | | | 168 | |
3.700%, 01/30/2026 | | | 220 | | | | 219 | |
3.625%, 09/01/2049 | | | 60 | | | | 47 | |
3.600%, 07/01/2030 | | | 290 | | | | 281 | |
3.500%, 03/01/2027 | | | 510 | | | | 504 | |
3.500%, 07/01/2027 | | | 200 | | | | 197 | |
1.450%, 09/01/2025 | | | 80 | | | | 78 | |
MDC Holdings | | | | | | | | |
6.000%, 01/15/2043 | | | 30 | | | | 32 | |
Melco Resorts Finance | | | | | | | | |
7.625%, 04/17/2032 (D) | | | 360 | | | | 371 | |
NCL | | | | | | | | |
8.125%, 01/15/2029 (D) | | | 320 | | | | 342 | |
Newell Brands | | | | | | | | |
5.700%, 04/01/2026 | | | 110 | | | | 110 | |
NIKE | | | | | | | | |
3.375%, 03/27/2050 | | | 230 | | | | 181 | |
3.250%, 03/27/2040 | | | 210 | | | | 176 | |
2.850%, 03/27/2030 | | | 150 | | | | 141 | |
2.750%, 03/27/2027 | | | 410 | | | | 400 | |
Nissan Motor | | | | | | | | |
4.345%, 09/17/2027 (D) | | | 1,100 | | | | 1,073 | |
3.522%, 09/17/2025 (D) | | | 1,190 | | | | 1,170 | |
Royal Caribbean Cruises | | | | | | | | |
6.250%, 03/15/2032 (D) | | | 210 | | | | 218 | |
6.000%, 02/01/2033 (D) | | | 800 | | | | 820 | |
5.500%, 04/01/2028 (D) | | | 80 | | | | 81 | |
Sands China | | | | | | | | |
5.400%, 08/08/2028 | | | 320 | | | | 323 | |
5.125%, 08/08/2025 | | | 1,580 | | | | 1,577 | |
3.800%, 01/08/2026 | | | 420 | | | | 413 | |
2.850%, 03/08/2029 | | | 690 | | | | 627 | |
2.300%, 03/08/2027 | | | 460 | | | | 430 | |
Starbucks | | | | | | | | |
3.500%, 11/15/2050 | | | 435 | | | | 332 | |
Time Warner Cable | | | | | | | | |
7.300%, 07/01/2038 | | | 530 | | | | 557 | |
6.750%, 06/15/2039 | | | 10 | | | | 10 | |
6.550%, 05/01/2037 | | | 268 | | | | 265 | |
5.875%, 11/15/2040 | | | 1,405 | | | | 1,274 | |
5.500%, 09/01/2041 | | | 1,599 | | | | 1,387 | |
Time Warner Entertainment | | | | | | | | |
8.375%, 07/15/2033 | | | 270 | | | | 311 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Toyota Motor Credit | | | | | | | | |
5.100%, 03/21/2031 | | $ | 1,190 | | | $ | 1,240 | |
Viking Cruises | | | | | | | | |
7.000%, 02/15/2029 (D) | | | 670 | | | | 678 | |
Virgin Media Secured Finance | | | | | | | | |
5.500%, 05/15/2029 (D) | | | 250 | | | | 240 | |
VOC Escrow | | | | | | | | |
5.000%, 02/15/2028 (D) | | | 380 | | | | 376 | |
Wynn Macau | | | | | | | | |
5.625%, 08/26/2028 (D) | | | 500 | | | | 485 | |
Wynn Resorts Finance | | | | | | | | |
7.125%, 02/15/2031 (D) | | | 310 | | | | 334 | |
ZF North America Capital | | | | | | | | |
6.875%, 04/23/2032 (D) | | | 640 | | | | 642 | |
| | | | | | | | | |
| | | | | | | | 50,038 | |
| | | | | | | | | |
Consumer Staples — 1.3% | | | | |
Altria Group | | | | | | | | |
6.200%, 02/14/2059 | | | 76 | | | | 81 | |
5.950%, 02/14/2049 | | | 960 | | | | 1,007 | |
5.800%, 02/14/2039 | | | 630 | | | | 662 | |
4.800%, 02/14/2029 | | | 28 | | | | 28 | |
4.400%, 02/14/2026 | | | 514 | | | | 513 | |
3.875%, 09/16/2046 | | | 240 | | | | 188 | |
3.400%, 02/04/2041 | | | 600 | | | | 468 | |
2.450%, 02/04/2032 | | | 770 | | | | 657 | |
2.350%, 05/06/2025 | | | 130 | | | | 128 | |
Anheuser-Busch | | | | | | | | |
4.900%, 02/01/2046 | | | 2,140 | | | | 2,107 | |
4.700%, 02/01/2036 | | | 2,383 | | | | 2,393 | |
Anheuser-Busch InBev Worldwide | | | | | | | | |
5.800%, 01/23/2059 | | | 196 | | | | 221 | |
5.550%, 01/23/2049 | | | 120 | | | | 130 | |
5.450%, 01/23/2039 | | | 912 | | | | 976 | |
5.000%, 06/15/2034 | | | 480 | | | | 500 | |
4.750%, 01/23/2029 | | | 120 | | | | 123 | |
4.375%, 04/15/2038 | | | 340 | | | | 328 | |
4.350%, 06/01/2040 | | | 560 | | | | 529 | |
3.500%, 06/01/2030 | | | 200 | | | | 194 | |
Bacardi | | | | | | | | |
4.450%, 05/15/2025 (D) | | | 1,545 | | | | 1,538 | |
BAT Capital | | | | | | | | |
6.000%, 02/20/2034 | | | 372 | | | | 398 | |
5.834%, 02/20/2031 | | | 1,475 | | | | 1,564 | |
5.650%, 03/16/2052 | | | 370 | | | | 361 | |
5.282%, 04/02/2050 | | | 1,260 | | | | 1,180 | |
4.758%, 09/06/2049 | | | 81 | | | | 70 | |
4.540%, 08/15/2047 | | | 1,190 | | | | 1,005 | |
4.390%, 08/15/2037 | | | 268 | | | | 244 | |
3.734%, 09/25/2040 | | | 10 | | | | 8 | |
3.557%, 08/15/2027 | | | 791 | | | | 775 | |
Bunge Finance | | | | | | | | |
4.650%, 09/17/2034 | | | 1,091 | | | | 1,089 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.200%, 09/17/2029 | | $ | 545 | | | $ | 543 | |
1.630%, 08/17/2025 | | | 269 | | | | 262 | |
Coca-Cola | | | | | | | | |
5.400%, 05/13/2064 | | | 135 | | | | 145 | |
5.200%, 01/14/2055 | | | 546 | | | | 573 | |
4.650%, 08/14/2034 | | | 631 | | | | 646 | |
2.500%, 06/01/2040 | | | 20 | | | | 15 | |
Constellation Brands | | | | | | | | |
4.350%, 05/09/2027 | | | 320 | | | | 321 | |
2.250%, 08/01/2031 | | | 80 | | | | 69 | |
Costco Wholesale | | | | | | | | |
3.000%, 05/18/2027 | | | 284 | | | | 279 | |
1.600%, 04/20/2030 | | | 450 | | | | 397 | |
1.375%, 06/20/2027 | | | 780 | | | | 732 | |
General Mills | | | | | | | | |
5.500%, 10/17/2028 | | | 660 | | | | 691 | |
Haleon US Capital | | | | | | | | |
3.625%, 03/24/2032 | | | 859 | | | | 808 | |
3.375%, 03/24/2027 | | | 410 | | | | 403 | |
3.375%, 03/24/2029 | | | 290 | | | | 280 | |
Imperial Brands Finance | | | | | | | | |
3.500%, 07/26/2026 (D) | | | 635 | | | | 622 | |
Imperial Brands Finance MTN | | | | | | | | |
5.500%, 02/01/2030 (D) | | | 455 | | | | 470 | |
JBS USA Holding Lux Sarl | | | | | | | | |
7.250%, 11/15/2053 (D) | | | 649 | | | | 757 | |
6.500%, 12/01/2052 | | | 2,188 | | | | 2,334 | |
3.750%, 12/01/2031 | | | 187 | | | | 172 | |
3.625%, 01/15/2032 | | | 267 | | | | 244 | |
3.000%, 02/02/2029 | | | 60 | | | | 56 | |
3.000%, 05/15/2032 | | | 1,385 | | | | 1,201 | |
JBS USA LUX | | | | | | | | |
6.750%, 03/15/2034 (D) | | | 1,337 | | | | 1,481 | |
Kenvue | | | | | | | | |
4.900%, 03/22/2033 | | | 560 | | | | 580 | |
Keurig Dr Pepper | | | | | | | | |
5.300%, 03/15/2034 | | | 1,075 | | | | 1,125 | |
Kraft Heinz Foods | | | | | | | | |
5.200%, 07/15/2045 | | | 360 | | | | 355 | |
Kroger | | | | | | | | |
5.500%, 09/15/2054 | | | 575 | | | | 579 | |
5.000%, 09/15/2034 | | | 390 | | | | 393 | |
Mars | | | | | | | | |
3.200%, 04/01/2030 (D) | | | 210 | | | | 199 | |
2.375%, 07/16/2040 (D) | | | 300 | | | | 213 | |
Mondelez International | | | | | | | | |
1.500%, 05/04/2025 | | | 660 | | | | 647 | |
PepsiCo | | | | | | | | |
3.900%, 07/18/2032 | | | 657 | | | | 647 | |
Philip Morris International | | | | | | | | |
5.750%, 11/17/2032 | | | 323 | | | | 347 | |
5.500%, 09/07/2030 | | | 367 | | | | 388 | |
5.375%, 02/15/2033 | | | 1,075 | | | | 1,124 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.250%, 09/07/2028 | | $ | 314 | | | $ | 326 | |
5.250%, 02/13/2034 | | | 180 | | | | 187 | |
5.125%, 02/15/2030 | | | 1,155 | | | | 1,198 | |
5.125%, 02/13/2031 | | | 500 | | | | 520 | |
5.000%, 11/17/2025 | | | 554 | | | | 558 | |
4.875%, 02/15/2028 | | | 754 | | | | 771 | |
4.875%, 02/13/2029 | | | 240 | | | | 246 | |
4.500%, 03/20/2042 | | | 130 | | | | 120 | |
2.100%, 05/01/2030 | | | 290 | | | | 259 | |
Pilgrim's Pride | | | | | | | | |
3.500%, 03/01/2032 | | | 350 | | | | 311 | |
Procter & Gamble | | | | | | | | |
3.000%, 03/25/2030 | | | 240 | | | | 230 | |
Reynolds American | | | | | | | | |
8.125%, 05/01/2040 | | | 570 | | | | 695 | |
7.250%, 06/15/2037 | | | 310 | | | | 358 | |
5.850%, 08/15/2045 | | | 1,380 | | | | 1,381 | |
Walmart | | | | | | | | |
1.800%, 09/22/2031 | | | 110 | | | | 96 | |
1.500%, 09/22/2028 | | | 230 | | | | 211 | |
| | | | | | | | | |
| | | | | | | | 47,030 | |
| | | | | | | | | |
Energy — 2.5% | | | | |
Apache | | | | | | | | |
7.750%, 12/15/2029 | | | 140 | | | | 156 | |
5.350%, 07/01/2049 | | | 230 | | | | 199 | |
5.100%, 09/01/2040 | | | 105 | | | | 93 | |
4.750%, 04/15/2043 | | | 190 | | | | 157 | |
4.250%, 01/15/2044 | | | 890 | | | | 675 | |
Blue Racer Midstream | | | | | | | | |
7.250%, 07/15/2032 (D) | | | 230 | | | | 241 | |
BP Capital Markets America | | | | | | | | |
5.017%, 11/17/2027 | | | 173 | | | | 178 | |
4.893%, 09/11/2033 | | | 715 | | | | 727 | |
4.812%, 02/13/2033 | | | 1,135 | | | | 1,150 | |
3.633%, 04/06/2030 | | | 320 | | | | 311 | |
3.410%, 02/11/2026 | | | 1,110 | | | | 1,101 | |
3.119%, 05/04/2026 | | | 230 | | | | 226 | |
3.000%, 02/24/2050 | | | 940 | | | | 651 | |
Cameron LNG | | | | | | | | |
3.302%, 01/15/2035 (D) | | | 660 | | | | 569 | |
2.902%, 07/15/2031 (D) | | | 140 | | | | 126 | |
Canadian Natural Resources | | | | | | | | |
6.450%, 06/30/2033 | | | 50 | | | | 54 | |
Cheniere Corpus Christi Holdings | | | | | | | | |
3.700%, 11/15/2029 | | | 938 | | | | 902 | |
Cheniere Energy | | | | | | | | |
4.625%, 10/15/2028 | | | 260 | | | | 258 | |
Cheniere Energy Partners | | | | | | | | |
4.000%, 03/01/2031 | | | 100 | | | | 95 | |
3.250%, 01/31/2032 | | | 530 | | | | 474 | |
Chevron | | | | | | | | |
1.995%, 05/11/2027 | | | 180 | | | | 172 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Chevron USA | | | | | | | | |
3.850%, 01/15/2028 | | $ | 200 | | | $ | 201 | |
3.250%, 10/15/2029 | | | 50 | | | | 48 | |
Columbia Pipelines Operating | | | | | | | | |
6.544%, 11/15/2053 (D) | | | 190 | | | | 214 | |
6.036%, 11/15/2033 (D) | | | 940 | | | | 1,003 | |
Conoco Funding | | | | | | | | |
7.250%, 10/15/2031 | | | 180 | | | | 209 | |
ConocoPhillips | | | | | | | | |
5.900%, 10/15/2032 | | | 10 | | | | 11 | |
5.900%, 05/15/2038 | | | 420 | | | | 462 | |
4.150%, 11/15/2034 | | | 80 | | | | 78 | |
Continental Resources | | | | | | | | |
5.750%, 01/15/2031 (D) | | | 370 | | | | 379 | |
4.900%, 06/01/2044 | | | 80 | | | | 68 | |
4.375%, 01/15/2028 | | | 520 | | | | 513 | |
2.268%, 11/15/2026 (D) | | | 2,295 | | | | 2,175 | |
Coterra Energy | | | | | | | | |
4.375%, 03/15/2029 | | | 780 | | | | 770 | |
3.900%, 05/15/2027 | | | 970 | | | | 956 | |
DCP Midstream Operating | | | | | | | | |
6.450%, 11/03/2036 (D) | | | 110 | | | | 119 | |
Devon Energy | | | | | | | | |
7.875%, 09/30/2031 | | | 600 | | | | 699 | |
5.875%, 06/15/2028 | | | 40 | | | | 41 | |
5.850%, 12/15/2025 | | | 50 | | | | 51 | |
5.750%, 09/15/2054 | | | 743 | | | | 723 | |
5.600%, 07/15/2041 | | | 490 | | | | 480 | |
5.250%, 10/15/2027 | | | 46 | | | | 46 | |
5.200%, 09/15/2034 | | | 1,606 | | | | 1,599 | |
5.000%, 06/15/2045 | | | 1,232 | | | | 1,100 | |
4.750%, 05/15/2042 | | | 187 | | | | 166 | |
4.500%, 01/15/2030 | | | 304 | | | | 301 | |
Diamondback Energy | | | | | | | | |
6.250%, 03/15/2033 | | | 1,595 | | | | 1,720 | |
5.900%, 04/18/2064 | | | 518 | | | | 522 | |
5.750%, 04/18/2054 | | | 726 | | | | 732 | |
5.400%, 04/18/2034 | | | 361 | | | | 369 | |
5.200%, 04/18/2027 | | | 265 | | | | 270 | |
5.150%, 01/30/2030 | | | 494 | | | | 507 | |
3.500%, 12/01/2029 | | | 500 | | | | 476 | |
3.250%, 12/01/2026 | | | 30 | | | | 29 | |
Ecopetrol | | | | | | | | |
5.875%, 05/28/2045 | | | 1,276 | | | | 958 | |
5.375%, 06/26/2026 | | | 166 | | | | 166 | |
4.625%, 11/02/2031 | | | 160 | | | | 137 | |
Enbridge | | | | | | | | |
6.200%, 11/15/2030 | | | 392 | | | | 427 | |
6.000%, 11/15/2028 | | | 392 | | | | 416 | |
5.950%, 04/05/2054 | | | 133 | | | | 141 | |
5.625%, 04/05/2034 | | | 396 | | | | 415 | |
Energy Transfer | | | | | | | | |
7.125%, H15T5Y + 5.306%(B)(E) | | | 580 | | | | 593 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
6.750%, H15T5Y + 5.134%(B)(E) | | $ | 500 | | | $ | 497 | |
6.550%, 12/01/2033 | | | 490 | | | | 541 | |
6.500%, H15T5Y + 5.694%(B)(E) | | | 200 | | | | 200 | |
6.400%, 12/01/2030 | | | 1,530 | | | | 1,667 | |
6.250%, 04/15/2049 | | | 130 | | | | 137 | |
6.050%, 09/01/2054 | | | 401 | | | | 415 | |
5.950%, 05/15/2054 | | | 1,383 | | | | 1,415 | |
5.600%, 09/01/2034 | | | 667 | | | | 693 | |
5.550%, 05/15/2034 | | | 370 | | | | 383 | |
5.500%, 06/01/2027 | | | 118 | | | | 121 | |
5.300%, 04/01/2044 | | | 640 | | | | 612 | |
5.300%, 04/15/2047 | | | 267 | | | | 252 | |
5.250%, 04/15/2029 | | | 815 | | | | 838 | |
5.250%, 07/01/2029 | | | 668 | | | | 688 | |
4.950%, 06/15/2028 | | | 180 | | | | 183 | |
4.000%, 10/01/2027 | | | 600 | | | | 594 | |
3.750%, 05/15/2030 | | | 1,250 | | | | 1,194 | |
Eni | | | | | | | | |
5.950%, 05/15/2054 (D) | | | 200 | | | | 206 | |
Enterprise Products Operating | | | | | | | | |
7.550%, 04/15/2038 | | | 40 | | | | 49 | |
6.650%, 10/15/2034 | | | 220 | | | | 250 | |
5.700%, 02/15/2042 | | | 40 | | | | 42 | |
5.550%, 02/16/2055 | | | 477 | | | | 493 | |
5.375%, TSFR3M + 2.832%, 02/15/2078 (B) | | | 150 | | | | 143 | |
4.950%, 02/15/2035 | | | 1,099 | | | | 1,116 | |
4.850%, 01/31/2034 | | | 870 | | | | 883 | |
4.850%, 03/15/2044 | | | 430 | | | | 410 | |
4.150%, 10/16/2028 | | | 1,605 | | | | 1,604 | |
3.950%, 01/31/2060 | | | 220 | | | | 173 | |
3.700%, 01/31/2051 | | | 270 | | | | 210 | |
3.125%, 07/31/2029 | | | 170 | | | | 162 | |
2.800%, 01/31/2030 | | | 540 | | | | 504 | |
EOG Resources | | | | | | | | |
4.950%, 04/15/2050 | | | 400 | | | | 386 | |
4.375%, 04/15/2030 | | | 120 | | | | 121 | |
4.150%, 01/15/2026 | | | 340 | | | | 340 | |
3.900%, 04/01/2035 | | | 390 | | | | 365 | |
EQM Midstream Partners | | | | | | | | |
5.500%, 07/15/2028 | | | 480 | | | | 486 | |
EQT | | | | | | | | |
5.000%, 01/15/2029 | | | 150 | | | | 152 | |
3.900%, 10/01/2027 | | | 1,020 | | | | 1,002 | |
3.625%, 05/15/2031 (D) | | | 320 | | | | 294 | |
3.125%, 05/15/2026 (D) | | | 10 | | | | 10 | |
Exxon Mobil | | | | | | | | |
4.327%, 03/19/2050 | | | 60 | | | | 54 | |
4.114%, 03/01/2046 | | | 533 | | | | 475 | |
3.482%, 03/19/2030 | | | 460 | | | | 447 | |
3.452%, 04/15/2051 | | | 200 | | | | 155 | |
Galaxy Pipeline Assets Bidco | | | | | | | | |
2.625%, 03/31/2036 (D) | | | 458 | | | | 391 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
2.160%, 03/31/2034 (D) | | $ | 557 | | | $ | 494 | |
1.750%, 09/30/2027 (D) | | | 502 | | | | 480 | |
Greensaif Pipelines Bidco Sarl | | | | | | | | |
6.103%, 08/23/2042 (D) | | | 965 | | | | 999 | |
Halliburton | | | | | | | | |
5.000%, 11/15/2045 | | | 80 | | | | 77 | |
4.850%, 11/15/2035 | | | 60 | | | | 60 | |
Hess | | | | | | | | |
6.000%, 01/15/2040 | | | 1,125 | | | | 1,213 | |
5.800%, 04/01/2047 | | | 770 | | | | 812 | |
HF Sinclair | | | | | | | | |
5.875%, 04/01/2026 | | | 620 | | | | 629 | |
5.000%, 02/01/2028 | | | 970 | | | | 965 | |
KazMunayGas National JSC | | | | | | | | |
5.750%, 04/19/2047 (D) | | | 340 | | | | 314 | |
Kinder Morgan | | | | | | | | |
5.200%, 03/01/2048 | | | 205 | | | | 192 | |
5.050%, 02/15/2046 | | | 170 | | | | 157 | |
4.300%, 06/01/2025 | | | 360 | | | | 358 | |
4.300%, 03/01/2028 | | | 150 | | | | 150 | |
Kinder Morgan Energy Partners | | | | | | | | |
5.500%, 03/01/2044 | | | 415 | | | | 408 | |
5.400%, 09/01/2044 | | | 20 | | | | 19 | |
MEG Energy | | | | | | | | |
5.875%, 02/01/2029 (D) | | | 80 | | | | 78 | |
MPLX | | | | | | | | |
4.875%, 12/01/2024 | | | 320 | | | | 319 | |
4.800%, 02/15/2029 | | | 330 | | | | 335 | |
4.700%, 04/15/2048 | | | 430 | | | | 375 | |
4.500%, 04/15/2038 | | | 520 | | | | 481 | |
Northwest Pipeline | | | | | | | | |
4.000%, 04/01/2027 | | | 219 | | | | 217 | |
Occidental Petroleum | | | | | | | | |
7.875%, 09/15/2031 | | | 610 | | | | 706 | |
7.500%, 05/01/2031 | | | 870 | | | | 989 | |
6.600%, 03/15/2046 | | | 360 | | | | 387 | |
6.450%, 09/15/2036 | | | 280 | | | | 303 | |
5.550%, 03/15/2026 | | | 110 | | | | 111 | |
4.625%, 06/15/2045 | | | 280 | | | | 232 | |
4.400%, 04/15/2046 | | | 120 | | | | 97 | |
4.200%, 03/15/2048 | | | 170 | | | | 134 | |
4.100%, 02/15/2047 | | | 600 | | | | 456 | |
3.400%, 04/15/2026 | | | 270 | | | | 264 | |
3.000%, 02/15/2027 | | | 300 | | | | 290 | |
ONEOK | | | | | | | | |
6.625%, 09/01/2053 | | | 450 | | | | 499 | |
6.050%, 09/01/2033 | | | 500 | | | | 534 | |
5.850%, 11/01/2064 | | | 105 | | | | 104 | |
5.800%, 11/01/2030 | | | 290 | | | | 309 | |
5.700%, 11/01/2054 | | | 759 | | | | 755 | |
5.550%, 11/01/2026 | | | 180 | | | | 184 | |
5.050%, 11/01/2034 | | | 396 | | | | 394 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Parsley Energy | | | | | | | | |
4.125%, 02/15/2028 (D) | | $ | 60 | | | $ | 59 | |
Permian Resources Operating | | | | | | | | |
6.250%, 02/01/2033 (D) | | | 230 | | | | 234 | |
Pertamina Persero | | | | | | | | |
6.000%, 05/03/2042 (D) | | | 300 | | | | 317 | |
Petrobras Global Finance BV | | | | | | | | |
6.850%, 06/05/2115 | | | 790 | | | | 761 | |
5.299%, 01/27/2025 | | | 1,278 | | | | 1,274 | |
Petroleos Mexicanos | | | | | | | | |
6.350%, 02/12/2048 | | | 155 | | | | 107 | |
2.460%, 12/15/2025 | | | 277 | | | | 266 | |
2.378%, 04/15/2025 | | | 102 | | | | 100 | |
Petroleos Mexicanos MTN | | | | | | | | |
6.875%, 08/04/2026 | | | 120 | | | | 119 | |
6.750%, 09/21/2047 | | | 421 | | | | 302 | |
Phillips 66 | | | | | | | | |
1.300%, 02/15/2026 | | | 405 | | | | 389 | |
Pioneer Natural Resources | | | | | | | | |
2.150%, 01/15/2031 | | | 660 | | | | 580 | |
1.900%, 08/15/2030 | | | 240 | | | | 210 | |
1.125%, 01/15/2026 | | | 110 | | | | 106 | |
Range Resources | | | | | | | | |
4.875%, 05/15/2025 | | | 120 | | | | 119 | |
Reliance Industries | | | | | | | | |
3.625%, 01/12/2052 (D) | | | 870 | | | | 659 | |
2.875%, 01/12/2032 (D) | | | 320 | | | | 283 | |
Rockies Express Pipeline | | | | | | | | |
4.950%, 07/15/2029 (D) | | | 1,098 | | | | 1,050 | |
Sabine Pass Liquefaction | | | | | | | | |
5.000%, 03/15/2027 | | | 1,650 | | | | 1,671 | |
Schlumberger Holdings | | | | | | | | |
3.900%, 05/17/2028 (D) | | | 475 | | | | 470 | |
Shell International Finance BV | | | | | | | | |
4.550%, 08/12/2043 | | | 280 | | | | 264 | |
4.375%, 05/11/2045 | | | 350 | | | | 318 | |
4.125%, 05/11/2035 | | | 1,356 | | | | 1,318 | |
3.250%, 04/06/2050 | | | 710 | | | | 527 | |
2.750%, 04/06/2030 | | | 440 | | | | 409 | |
Southern Natural Gas | | | | | | | | |
8.000%, 03/01/2032 | | | 170 | | | | 200 | |
Southwestern Energy | | | | | | | | |
5.375%, 02/01/2029 | | | 20 | | | | 20 | |
5.375%, 03/15/2030 | | | 80 | | | | 79 | |
4.750%, 02/01/2032 | | | 190 | | | | 182 | |
Targa Resources | | | | | | | | |
4.200%, 02/01/2033 | | | 250 | | | | 237 | |
Targa Resources Partners | | | | | | | | |
5.500%, 03/01/2030 | | | 130 | | | | 132 | |
5.000%, 01/15/2028 | | | 100 | | | | 100 | |
4.875%, 02/01/2031 | | | 370 | | | | 367 | |
4.000%, 01/15/2032 | | | 40 | | | | 38 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Tennessee Gas Pipeline | | | | | | | | |
8.375%, 06/15/2032 | | $ | 1,140 | | | $ | 1,355 | |
2.900%, 03/01/2030 (D) | | | 1,450 | | | | 1,328 | |
TotalEnergies Capital | | | | | | | | |
5.638%, 04/05/2064 | | | 133 | | | | 139 | |
5.488%, 04/05/2054 | | | 264 | | | | 273 | |
5.425%, 09/10/2064 | | | 136 | | | | 137 | |
5.275%, 09/10/2054 | | | 273 | | | | 273 | |
5.150%, 04/05/2034 | | | 264 | | | | 274 | |
TransCanada PipeLines | | | | | | | | |
4.625%, 03/01/2034 | | | 860 | | | | 849 | |
Transcontinental Gas Pipe Line | | | | | | | | |
7.850%, 02/01/2026 | | | 60 | | | | 62 | |
Venture Global Calcasieu Pass | | | | | | | | |
3.875%, 11/01/2033 (D) | | | 290 | | | | 260 | |
Venture Global LNG | | | | | | | | |
7.000%, 01/15/2030 (D) | | | 580 | | | | 593 | |
Western Midstream Operating | | | | | | | | |
5.300%, 03/01/2048 | | | 162 | | | | 147 | |
5.250%, 02/01/2050 | | | 210 | | | | 190 | |
4.650%, 07/01/2026 | | | 40 | | | | 40 | |
4.500%, 03/01/2028 | | | 60 | | | | 60 | |
4.050%, 02/01/2030 | | | 1,200 | | | | 1,155 | |
3.100%, 02/01/2025 | | | 390 | | | | 387 | |
Williams | | | | | | | | |
7.750%, 06/15/2031 | | | 841 | | | | 959 | |
7.500%, 01/15/2031 | | | 100 | | | | 114 | |
5.750%, 06/24/2044 | | | 51 | | | | 53 | |
5.400%, 03/04/2044 | | | 84 | | | | 83 | |
5.150%, 03/15/2034 | | | 680 | | | | 687 | |
3.750%, 06/15/2027 | | | 1,044 | | | | 1,029 | |
| | | | | | | | | |
| | | | | | | | 89,752 | |
| | | | | | | | | |
Financials — 9.2% | | | | |
ABN AMRO Bank MTN | | | | | | | | |
4.750%, 07/28/2025 (D) | | | 360 | | | | 358 | |
Agree | | | | | | | | |
4.800%, 10/01/2032 | | | 245 | | | | 243 | |
AIB Group MTN | | | | | | | | |
5.871%, SOFRRATE + 1.910%, 03/28/2035 (B)(D) | | | 755 | | | | 796 | |
Ally Financial | | | | | | | | |
6.184%, SOFRRATE + 2.290%, 07/26/2035 (B) | | | 615 | | | | 629 | |
American Express | | | | | | | | |
5.389%, SOFRRATE + 0.970%, 07/28/2027 (B) | | | 3,465 | | | | 3,534 | |
4.050%, 05/03/2029 | | | 530 | | | | 531 | |
American International Group | | | | | | | | |
3.875%, 01/15/2035 | | | 210 | | | | 197 | |
Aon | | | | | | | | |
6.250%, 09/30/2040 | | | 19 | | | | 21 | |
2.600%, 12/02/2031 | | | 2,080 | | | | 1,838 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Aon North America | | | | | | | | |
5.450%, 03/01/2034 | | $ | 2,775 | | | $ | 2,914 | |
Apollo Global Management | | | | | | | | |
5.800%, 05/21/2054 | | | 402 | | | | 429 | |
Ares Strategic Income Fund | | | | | | | | |
5.600%, 02/15/2030 (D) | | | 392 | | | | 389 | |
Arthur J Gallagher | | | | | | | | |
3.050%, 03/09/2052 | | | 1,370 | | | | 908 | |
Athene Global Funding | | | | | | | | |
3.205%, 03/08/2027 (D) | | | 635 | | | | 609 | |
2.950%, 11/12/2026 (D) | | | 1,350 | | | | 1,308 | |
1.608%, 06/29/2026 (D) | | | 1,880 | | | | 1,789 | |
Athene Holding | | | | | | | | |
4.125%, 01/12/2028 | | | 605 | | | | 597 | |
Avolon Holdings Funding | | | | | | | | |
6.375%, 05/04/2028 (D) | | | 680 | | | | 711 | |
5.750%, 03/01/2029 (D) | | | 680 | | | | 701 | |
5.750%, 11/15/2029 (D) | | | 1,375 | | | | 1,419 | |
2.875%, 02/15/2025 (D) | | | 975 | | | | 965 | |
2.528%, 11/18/2027 (D) | | | 779 | | | | 727 | |
Banco Bilbao Vizcaya Argentaria | | | | | | | | |
7.883%, H15T1Y + 3.300%, 11/15/2034 (B) | | | 600 | | | | 689 | |
6.033%, H15T1Y + 1.950%, 03/13/2035 (B) | | | 600 | | | | 636 | |
Banco Santander | | | | | | | | |
6.938%, 11/07/2033 | | | 1,000 | | | | 1,158 | |
6.607%, 11/07/2028 | | | 400 | | | | 434 | |
6.527%, H15T1Y + 1.650%, 11/07/2027 (B) | | | 400 | | | | 417 | |
4.175%, H15T1Y + 2.000%, 03/24/2028 (B) | | | 200 | | | | 198 | |
2.746%, 05/28/2025 | | | 1,200 | | | | 1,182 | |
Bank of America | | | | | | | | |
5.933%, SOFRRATE + 1.340%, 09/15/2027 (B) | | | 137 | | | | 141 | |
5.468%, SOFRRATE + 1.650%, 01/23/2035 (B) | | | 1,040 | | | | 1,094 | |
4.571%, SOFRRATE + 1.830%, 04/27/2033 (B) | | | 2,155 | | | | 2,145 | |
3.419%, TSFR3M + 1.302%, 12/20/2028 (B) | | | 3,052 | | | | 2,969 | |
2.592%, SOFRRATE + 2.150%, 04/29/2031 (B) | | | 530 | | | | 481 | |
2.572%, SOFRRATE + 1.210%, 10/20/2032 (B) | | | 1,010 | | | | 885 | |
2.299%, SOFRRATE + 1.220%, 07/21/2032 (B) | | | 45 | | | | 39 | |
1.734%, SOFRRATE + 0.960%, 07/22/2027 (B) | | | 4,908 | | | | 4,685 | |
1.658%, SOFRRATE + 0.910%, 03/11/2027 (B) | | | 3,355 | | | | 3,225 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Bank of America MTN | | | | | | | | |
5.425%, SOFRRATE + 1.913%, 08/15/2035 (B) | | $ | 1,209 | | | $ | 1,239 | |
5.000%, 01/21/2044 | | | 830 | | | | 844 | |
4.450%, 03/03/2026 | | | 432 | | | | 433 | |
4.376%, SOFRRATE + 1.580%, 04/27/2028 (B) | | | 1,140 | | | | 1,142 | |
4.330%, TSFR3M + 1.782%, 03/15/2050 (B) | | | 260 | | | | 236 | |
4.250%, 10/22/2026 | | | 80 | | | | 80 | |
4.244%, TSFR3M + 2.076%, 04/24/2038 (B) | | | 179 | | | | 170 | |
4.083%, TSFR3M + 3.412%, 03/20/2051 (B) | | | 1,630 | | | | 1,416 | |
4.000%, 01/22/2025 | | | 1,070 | | | | 1,067 | |
3.974%, TSFR3M + 1.472%, 02/07/2030 (B) | | | 1,900 | | | | 1,867 | |
3.970%, TSFR3M + 1.332%, 03/05/2029 (B) | | | 625 | | | | 618 | |
3.824%, TSFR3M + 1.837%, 01/20/2028 (B) | | | 631 | | | | 624 | |
3.593%, TSFR3M + 1.632%, 07/21/2028 (B) | | | 1,364 | | | | 1,339 | |
3.500%, 04/19/2026 | | | 780 | | | | 772 | |
3.093%, TSFR3M + 1.352%, 10/01/2025 (B) | | | 965 | | | | 965 | |
2.972%, SOFRRATE + 1.330%, 02/04/2033 (B) | | | 690 | | | | 618 | |
2.884%, TSFR3M + 1.452%, 10/22/2030 (B) | | | 265 | | | | 246 | |
2.496%, TSFR3M + 1.252%, 02/13/2031 (B) | | | 695 | | | | 630 | |
2.087%, SOFRRATE + 1.060%, 06/14/2029 (B) | | | 5,495 | | | | 5,074 | |
1.922%, SOFRRATE + 1.370%, 10/24/2031 (B) | | | 500 | | | | 431 | |
1.197%, SOFRRATE + 1.010%, 10/24/2026 (B) | | | 720 | | | | 695 | |
Bank of Montreal MTN | | | | | | | | |
1.850%, 05/01/2025 | | | 880 | | | | 866 | |
Bank of New York Mellon | | | | | | | | |
4.543%, SOFRRATE + 1.169%, 02/01/2029 (B) | | | 800 | | | | 809 | |
Bank of New York Mellon MTN | | | | | | | | |
1.600%, 04/24/2025 | | | 260 | | | | 256 | |
Bank of Nova Scotia | | | | | | | | |
4.900%, H15T5Y + 4.551%(B)(E) | | | 510 | | | | 503 | |
4.588%, H15T5Y + 2.050%, 05/04/2037 (B) | | | 390 | | | | 371 | |
1.300%, 06/11/2025 | | | 480 | | | | 470 | |
Barclays | | | | | | | | |
5.690%, SOFRRATE + 1.740%, 03/12/2030 (B) | | | 855 | | | | 889 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.674%, SOFRRATE + 1.490%, 03/12/2028 (B) | | $ | 855 | | | $ | 879 | |
5.088%, US0003M + 3.054%, 06/20/2030 (B) | | | 750 | | | | 752 | |
4.942%, SOFRRATE + 1.560%, 09/10/2030 (B) | | | 957 | | | | 965 | |
4.837%, SOFRRATE + 1.340%, 09/10/2028 (B) | | | 688 | | | | 694 | |
4.375%, 01/12/2026 | | | 2,270 | | | | 2,266 | |
Barclays MTN | | | | | | | | |
4.972%, US0003M + 1.902%, 05/16/2029 (B) | | | 310 | | | | 314 | |
BBVA Bancomer | | | | | | | | |
5.250%, 09/10/2029 (D) | | | 576 | | | | 585 | |
Berkshire Hathaway Finance | | | | | | | | |
4.250%, 01/15/2049 | | | 870 | | | | 806 | |
BlackRock Funding | | | | | | | | |
5.350%, 01/08/2055 | | | 396 | | | | 417 | |
5.250%, 03/14/2054 | | | 140 | | | | 145 | |
4.900%, 01/08/2035 | | | 546 | | | | 564 | |
BNP Paribas | | | | | | | | |
5.894%, SOFRRATE + 1.866%, 12/05/2034 (B)(D) | | | 1,570 | | | | 1,695 | |
5.497%, SOFRRATE + 1.590%, 05/20/2030 (B)(D) | | | 1,095 | | | | 1,135 | |
5.176%, SOFRRATE + 1.520%, 01/09/2030 (B)(D) | | | 845 | | | | 867 | |
5.125%, H15T1Y + 1.450%, 01/13/2029 (B)(D) | | | 1,670 | | | | 1,705 | |
4.625%, 03/13/2027 (D) | | | 200 | | | | 199 | |
4.400%, 08/14/2028 (D) | | | 1,087 | | | | 1,082 | |
3.375%, 01/09/2025 (D) | | | 290 | | | | 288 | |
2.219%, SOFRRATE + 2.074%, 06/09/2026 (B)(D) | | | 600 | | | | 589 | |
BNP Paribas MTN | | | | | | | | |
4.375%, USSW5 + 1.483%, 03/01/2033 (B)(D) | | | 400 | | | | 390 | |
BPCE MTN | | | | | | | | |
5.975%, SOFRRATE + 2.100%, 01/18/2027 (B)(D) | | | 1,560 | | | | 1,583 | |
Canadian Imperial Bank of Commerce | | | | | | | | |
4.631%, SOFRRATE + 1.335%, 09/11/2030 (B) | | | 819 | | | | 824 | |
Cantor Fitzgerald | | | | | | | | |
4.500%, 04/14/2027 (D) | | | 795 | | | | 787 | |
Capital One Financial | | | | | | | | |
5.884%, SOFRRATE + 1.990%, 07/26/2035 (B) | | | 543 | | | | 568 | |
5.463%, SOFRRATE + 1.560%, 07/26/2030 (B) | | | 814 | | | | 836 | |
Charles Schwab | | | | | | | | |
6.196%, SOFRRATE + 1.878%, 11/17/2029 (B) | | | 720 | | | | 770 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
6.136%, SOFRRATE + 2.010%, 08/24/2034 (B) | | $ | 200 | | | $ | 218 | |
5.875%, 08/24/2026 | | | 1,020 | | | | 1,049 | |
5.643%, SOFRRATE + 2.210%, 05/19/2029 (B) | | | 1,330 | | | | 1,389 | |
Chubb INA Holdings | | | | | | | | |
3.350%, 05/03/2026 | | | 200 | | | | 198 | |
3.150%, 03/15/2025 | | | 74 | | | | 73 | |
Chubb INA Holdings MTN | | | | | | | | |
5.000%, 03/15/2034 | | | 685 | | | | 711 | |
CI Financial | | | | | | | | |
3.200%, 12/17/2030 | | | 930 | | | | 788 | |
Citadel | | | | | | | | |
4.875%, 01/15/2027 (D) | | | 660 | | | | 659 | |
Citibank | | | | | | | | |
5.570%, 04/30/2034 | | | 1,760 | | | | 1,877 | |
5.488%, 12/04/2026 | | | 945 | | | | 972 | |
4.838%, 08/06/2029 | | | 1,396 | | | | 1,429 | |
Citigroup | | | | | | | | |
8.125%, 07/15/2039 | | | 625 | | | | 829 | |
6.675%, 09/13/2043 | | | 70 | | | | 83 | |
6.625%, 06/15/2032 | | | 100 | | | | 111 | |
6.174%, SOFRRATE + 2.661%, 05/25/2034 (B) | | | 1,032 | | | | 1,101 | |
5.950%, TSFR3M + 4.167%(B)(E) | | | 590 | | | | 591 | |
5.827%, SOFRRATE + 2.056%, 02/13/2035 (B) | | | 291 | | | | 304 | |
5.610%, SOFRRATE + 1.546%, 09/29/2026 (B) | | | 1,765 | | | | 1,780 | |
5.500%, 09/13/2025 | | | 690 | | | | 694 | |
5.300%, 05/06/2044 | | | 225 | | | | 229 | |
5.174%, SOFRRATE + 1.364%, 02/13/2030 (B) | | | 2,530 | | | | 2,599 | |
4.910%, SOFRRATE + 2.086%, 05/24/2033 (B) | | | 370 | | | | 373 | |
4.750%, 05/18/2046 | | | 100 | | | | 94 | |
4.658%, SOFRRATE + 1.887%, 05/24/2028 (B) | | | 340 | | | | 343 | |
4.650%, 07/30/2045 | | | 903 | | | | 859 | |
4.542%, SOFRRATE + 1.338%, 09/19/2030 (B) | | | 1,092 | | | | 1,093 | |
4.450%, 09/29/2027 | | | 1,005 | | | | 1,006 | |
4.412%, SOFRRATE + 3.914%, 03/31/2031 (B) | | | 640 | | | | 636 | |
4.400%, 06/10/2025 | | | 1,080 | | | | 1,076 | |
4.300%, 11/20/2026 | | | 240 | | | | 240 | |
4.125%, 07/25/2028 | | | 210 | | | | 208 | |
4.075%, TSFR3M + 1.454%, 04/23/2029 (B) | | | 81 | | | | 80 | |
3.980%, TSFR3M + 1.600%, 03/20/2030 (B) | | | 1,860 | | | | 1,822 | |
3.878%, TSFR3M + 1.430%, 01/24/2039 (B) | | | 59 | | | | 53 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
3.785%, SOFRRATE + 1.939%, 03/17/2033 (B) | | $ | 970 | | | $ | 909 | |
3.300%, 04/27/2025 | | | 120 | | | | 119 | |
3.106%, SOFRRATE + 2.842%, 04/08/2026 (B) | | | 350 | | | | 347 | |
2.976%, SOFRRATE + 1.422%, 11/05/2030 (B) | | | 715 | | | | 665 | |
2.666%, SOFRRATE + 1.146%, 01/29/2031 (B) | | | 570 | | | | 519 | |
2.572%, SOFRRATE + 2.107%, 06/03/2031 (B) | | | 1,575 | | | | 1,417 | |
2.561%, SOFRRATE + 1.167%, 05/01/2032 (B) | | | 2,195 | | | | 1,929 | |
2.520%, SOFRRATE + 1.177%, 11/03/2032 (B) | | | 360 | | | | 312 | |
Citizens Financial Group | | | | | | | | |
5.718%, SOFRRATE + 1.910%, 07/23/2032 (B) | | | 819 | | | | 849 | |
Constellation Insurance | | | | | | | | |
6.800%, 01/24/2030 (D) | | | 625 | | | | 629 | |
Cooperatieve Rabobank UA | | | | | | | | |
4.375%, 08/04/2025 | | | 1,780 | | | | 1,771 | |
3.758%, H15T1Y + 1.420%, 04/06/2033 (B)(D) | | | 1,790 | | | | 1,668 | |
3.649%, H15T1Y + 1.220%, 04/06/2028 (B)(D) | | | 420 | | | | 412 | |
Credit Agricole MTN | | | | | | | | |
4.000%, USSW5 + 1.644%, 01/10/2033 (B)(D) | | | 250 | | | | 241 | |
1.907%, SOFRRATE + 1.676%, 06/16/2026 (B)(D) | | | 400 | | | | 391 | |
Danske Bank | | | | | | | | |
3.244%, US0003M + 1.591%, 12/20/2025 (B)(D) | | | 220 | | | | 219 | |
Danske Bank MTN | | | | | | | | |
6.259%, H15T1Y + 1.180%, 09/22/2026 (B)(D) | | | 250 | | | | 254 | |
4.375%, 06/12/2028 (D) | | | 200 | | | | 199 | |
Deutsche Bank NY | | | | | | | | |
6.819%, SOFRRATE + 2.510%, 11/20/2029 (B) | | | 730 | | | | 786 | |
5.414%, 05/10/2029 | | | 979 | | | | 1,017 | |
5.403%, SOFRRATE + 2.050%, 09/11/2035 (B) | | | 551 | | | | 555 | |
4.999%, SOFRRATE + 1.700%, 09/11/2030 (B) | | | 1,210 | | | | 1,217 | |
3.742%, SOFRRATE + 2.257%, 01/07/2033 (B) | | | 1,110 | | | | 971 | |
F&G Global Funding | | | | | | | | |
1.750%, 06/30/2026 (D) | | | 810 | | | | 768 | |
Farmers Exchange Capital | | | | | | | | |
7.200%, 07/15/2048 (D) | | | 1,021 | | | | 1,021 | |
7.050%, 07/15/2028 (D) | | | 1,000 | | | | 1,053 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Farmers Exchange Capital II | | | | | | | | |
6.151%, TSFR3M + 4.006%, 11/01/2053 (B)(D) | | $ | 1,650 | | | $ | 1,572 | |
Fifth Third Bancorp | | | | | | | | |
4.895%, SOFRRATE + 1.486%, 09/06/2030 (B) | | | 409 | | | | 414 | |
Goldman Sachs Bank USA NY | | | | | | | | |
5.414%, SOFRRATE + 0.750%, 05/21/2027 (B) | | | 1,341 | | | | 1,363 | |
5.283%, SOFRRATE + 0.777%, 03/18/2027 (B) | | | 818 | | | | 828 | |
Goldman Sachs Capital II | | | | | | | | |
6.045%, TSFR3M + 1.029%(B)(E) | | | 10 | | | | 8 | |
Goldman Sachs Group | | | | | | | | |
6.750%, 10/01/2037 | | | 30 | | | | 35 | |
6.250%, 02/01/2041 | | | 1,050 | | | | 1,194 | |
5.330%, SOFRRATE + 1.550%, 07/23/2035 (B) | | | 818 | | | | 847 | |
5.150%, 05/22/2045 | | | 820 | | | | 820 | |
5.049%, SOFRRATE + 1.210%, 07/23/2030 (B) | | | 1,091 | | | | 1,119 | |
4.750%, 10/21/2045 | | | 370 | | | | 360 | |
4.250%, 10/21/2025 | | | 850 | | | | 847 | |
4.223%, TSFR3M + 1.563%, 05/01/2029 (B) | | | 1,300 | | | | 1,292 | |
3.814%, TSFR3M + 1.420%, 04/23/2029 (B) | | | 350 | | | | 343 | |
3.750%, 02/25/2026 | | | 345 | | | | 343 | |
3.691%, TSFR3M + 1.772%, 06/05/2028 (B) | | | 380 | | | | 374 | |
3.615%, SOFRRATE + 1.846%, 03/15/2028 (B) | | | 170 | | | | 167 | |
3.500%, 04/01/2025 | | | 540 | | | | 537 | |
3.500%, 11/16/2026 | | | 900 | | | | 886 | |
3.210%, SOFRRATE + 1.513%, 04/22/2042 (B) | | | 120 | | | | 96 | |
2.908%, SOFRRATE + 1.472%, 07/21/2042 (B) | | | 260 | | | | 198 | |
2.650%, SOFRRATE + 1.264%, 10/21/2032 (B) | | | 1,305 | | | | 1,146 | |
2.383%, SOFRRATE + 1.248%, 07/21/2032 (B) | | | 2,650 | | | | 2,298 | |
1.542%, SOFRRATE + 0.818%, 09/10/2027 (B) | | | 5,430 | | | | 5,146 | |
1.431%, SOFRRATE + 0.798%, 03/09/2027 (B) | | | 1,150 | | | | 1,100 | |
Golub Capital Private Credit Fund | | | | | | | | |
5.800%, 09/12/2029 (D) | | | 415 | | | | 413 | |
Guardian Life Global Funding | | | | | | | | |
1.100%, 06/23/2025 (D) | | | 190 | | | | 186 | |
Guardian Life Global Funding MTN | | | | | | | | |
4.179%, 09/26/2029 (D) | | | 1,445 | | | | 1,440 | |
Healthcare Realty Holdings | | | | | | | | |
3.875%, 05/01/2025 | | | 15 | | | | 15 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
2.400%, 03/15/2030 | | $ | 170 | | | $ | 148 | |
HSBC Bank USA | | | | | | | | |
7.000%, 01/15/2039 | | | 275 | | | | 327 | |
HSBC Holdings | | | | | | | | |
5.887%, SOFRRATE + 1.570%, 08/14/2027 (B) | | | 485 | | | | 498 | |
5.733%, SOFRRATE + 1.520%, 05/17/2032 (B) | | | 1,610 | | | | 1,696 | |
5.597%, SOFRRATE + 1.060%, 05/17/2028 (B) | | | 880 | | | | 905 | |
4.762%, SOFRRATE + 2.530%, 03/29/2033 (B) | | | 420 | | | | 414 | |
4.755%, SOFRRATE + 2.110%, 06/09/2028 (B) | | | 220 | | | | 222 | |
4.583%, TSFR3M + 1.796%, 06/19/2029 (B) | | | 260 | | | | 260 | |
4.375%, 11/23/2026 | | | 345 | | | | 344 | |
4.250%, 08/18/2025 | | | 560 | | | | 557 | |
2.804%, SOFRRATE + 1.187%, 05/24/2032 (B) | | | 365 | | | | 323 | |
2.357%, SOFRRATE + 1.947%, 08/18/2031 (B) | | | 370 | | | | 325 | |
2.099%, SOFRRATE + 1.929%, 06/04/2026 (B) | | | 2,640 | | | | 2,590 | |
HSBC USA | | | | | | | | |
5.294%, 03/04/2027 | | | 208 | | | | 213 | |
ILFC E-Capital Trust II | | | | | | | | |
6.815%, TSFR3M + 2.062%, 12/21/2065 (B)(D) | | | 400 | | | | 319 | |
Inter-American Development Bank MTN | | | | | | | | |
7.350%, 10/06/2030 | | INR | 478,000 | | | | 5,827 | |
Intercontinental Exchange | | | | | | | | |
5.250%, 06/15/2031 | | $ | 705 | | | | 741 | |
4.600%, 03/15/2033 | | | 710 | | | | 718 | |
Invitation Homes Operating Partnership | | | | | | | | |
2.000%, 08/15/2031 | | | 1,537 | | | | 1,290 | |
Jackson Financial | | | | | | | | |
3.125%, 11/23/2031 | | | 1,405 | | | | 1,227 | |
Jane Street Group | | | | | | | | |
7.125%, 04/30/2031 (D) | | | 310 | | | | 329 | |
JPMorgan Chase | | | | | | | | |
8.750%, 09/01/2030 | | | 970 | | | | 1,176 | |
6.060%, TSFR3M + 0.812%, 02/01/2027 (B) | | | 1,590 | | | | 1,551 | |
5.766%, SOFRRATE + 1.490%, 04/22/2035 (B) | | | 3,038 | | | | 3,274 | |
5.581%, SOFRRATE + 1.160%, 04/22/2030 (B) | | | 956 | | | | 1,003 | |
5.571%, SOFRRATE + 0.930%, 04/22/2028 (B) | | | 1,993 | | | | 2,055 | |
5.299%, SOFRRATE + 1.450%, 07/24/2029 (B) | | | 1,910 | | | | 1,976 | |
5.294%, SOFRRATE + 1.460%, 07/22/2035 (B) | | | 1,159 | | | | 1,209 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.979%, SOFRRATE + 0.930%, 07/22/2028 (B) | | $ | 682 | | | $ | 695 | |
4.950%, 06/01/2045 | | | 70 | | | | 70 | |
4.452%, TSFR3M + 1.592%, 12/05/2029 (B) | | | 300 | | | | 301 | |
4.260%, TSFR3M + 1.842%, 02/22/2048 (B) | | | 84 | | | | 76 | |
4.250%, 10/01/2027 | | | 720 | | | | 725 | |
4.203%, TSFR3M + 1.522%, 07/23/2029 (B) | | | 1,705 | | | | 1,699 | |
3.882%, TSFR3M + 1.622%, 07/24/2038 (B) | | | 325 | | | | 297 | |
3.625%, 12/01/2027 | | | 230 | | | | 227 | |
3.109%, SOFRRATE + 2.440%, 04/22/2051 (B) | | | 130 | | | | 96 | |
2.956%, TSFR3M + 2.515%, 05/13/2031 (B) | | | 300 | | | | 276 | |
2.950%, 10/01/2026 | | | 377 | | | | 370 | |
2.947%, SOFRRATE + 1.170%, 02/24/2028 (B) | | | 650 | | | | 630 | |
2.739%, TSFR3M + 1.510%, 10/15/2030 (B) | | | 855 | | | | 792 | |
2.545%, SOFRRATE + 1.180%, 11/08/2032 (B) | | | 1,380 | | | | 1,214 | |
2.522%, SOFRRATE + 2.040%, 04/22/2031 (B) | | | 450 | | | | 409 | |
2.182%, SOFRRATE + 1.890%, 06/01/2028 (B) | | | 410 | | | | 389 | |
2.083%, SOFRRATE + 1.850%, 04/22/2026 (B) | | | 830 | | | | 817 | |
2.069%, SOFRRATE + 1.015%, 06/01/2029 (B) | | | 1,285 | | | | 1,189 | |
2.005%, TSFR3M + 1.585%, 03/13/2026 (B) | | | 660 | | | | 651 | |
1.953%, SOFRRATE + 1.065%, 02/04/2032 (B) | | | 1,360 | | | | 1,169 | |
1.578%, SOFRRATE + 0.885%, 04/22/2027 (B) | | | 4,085 | | | | 3,913 | |
1.561%, SOFRRATE + 0.605%, 12/10/2025 (B) | | | 2,070 | | | | 2,054 | |
1.045%, SOFRRATE + 0.800%, 11/19/2026 (B) | | | 1,255 | | | | 1,206 | |
1.040%, TSFR3M + 0.695%, 02/04/2027 (B) | | | 105 | | | | 100 | |
KKR Group Finance II | | | | | | | | |
5.500%, 02/01/2043 (D) | | | 80 | | | | 81 | |
Lloyds Banking Group | | | | | | | | |
4.375%, 03/22/2028 | | | 390 | | | | 389 | |
4.344%, 01/09/2048 | | | 200 | | | | 170 | |
Mastercard | | | | | | | | |
4.550%, 01/15/2035 | | | 819 | | | | 823 | |
4.350%, 01/15/2032 | | | 955 | | | | 959 | |
Mercury General | | | | | | | | |
4.400%, 03/15/2027 | | | 935 | | | | 925 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
MetLife | | | | | | | | |
6.400%, 12/15/2036 | | $ | 420 | | | $ | 445 | |
5.700%, 06/15/2035 | | | 15 | | | | 17 | |
MetLife Capital Trust IV | | | | | | | | |
7.875%, 12/15/2037 (D) | | | 800 | | | | 890 | |
Metropolitan Life Global Funding I | | | | | | | | |
3.450%, 12/18/2026 (D) | | | 1,955 | | | | 1,931 | |
Metropolitan Life Global Funding I MTN | | | | | | | | |
5.150%, 03/28/2033 (D) | | | 700 | | | | 727 | |
5.000%, 01/06/2026 (D) | | | 335 | | | | 338 | |
3.300%, 03/21/2029 (D) | | | 500 | | | | 482 | |
Mitsubishi UFJ Financial Group | | | | | | | | |
5.719%, H15T1Y + 1.080%, 02/20/2026 (B) | | | 1,760 | | | | 1,764 | |
4.080%, H15T1Y + 1.300%, 04/19/2028 (B) | | | 400 | | | | 398 | |
3.837%, H15T1Y + 1.125%, 04/17/2026 (B) | | | 380 | | | | 378 | |
Morgan Stanley | | | | | | | | |
5.466%, SOFRRATE + 1.730%, 01/18/2035 (B) | | | 1,585 | | | | 1,657 | |
5.449%, SOFRRATE + 1.630%, 07/20/2029 (B) | | | 948 | | | | 985 | |
5.320%, SOFRRATE + 1.555%, 07/19/2035 (B) | | | 2,037 | | | | 2,115 | |
5.042%, SOFRRATE + 1.215%, 07/19/2030 (B) | | | 1,226 | | | | 1,260 | |
1.593%, SOFRRATE + 0.879%, 05/04/2027 (B) | | | 770 | | | | 737 | |
Morgan Stanley MTN | | | | | | | | |
5.831%, SOFRRATE + 1.580%, 04/19/2035 (B) | | | 3,388 | | | | 3,639 | |
5.656%, SOFRRATE + 1.260%, 04/18/2030 (B) | | | 1,795 | | | | 1,888 | |
5.250%, SOFRRATE + 1.870%, 04/21/2034 (B) | | | 1,610 | | | | 1,663 | |
5.164%, SOFRRATE + 1.590%, 04/20/2029 (B) | | | 705 | | | | 725 | |
4.431%, TSFR3M + 1.890%, 01/23/2030 (B) | | | 10 | | | | 10 | |
3.971%, US0003M + 1.455%, 07/22/2038 (B) | | | 119 | | | | 108 | |
3.772%, TSFR3M + 1.402%, 01/24/2029 (B) | | | 1,080 | | | | 1,062 | |
3.622%, SOFRRATE + 3.120%, 04/01/2031 (B) | | | 1,920 | | | | 1,844 | |
2.699%, SOFRRATE + 1.143%, 01/22/2031 (B) | | | 520 | | | | 476 | |
2.511%, SOFRRATE + 1.200%, 10/20/2032 (B) | | | 1,145 | | | | 999 | |
2.239%, SOFRRATE + 1.178%, 07/21/2032 (B) | | | 105 | | | | 90 | |
2.188%, SOFRRATE + 1.990%, 04/28/2026 (B) | | | 1,300 | | | | 1,280 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
1.794%, SOFRRATE + 1.034%, 02/13/2032 (B) | | $ | 915 | | | $ | 775 | |
1.164%, SOFRRATE + 0.560%, 10/21/2025 (B) | | | 4,740 | | | | 4,730 | |
Morgan Stanley Bank | | | | | | | | |
4.968%, SOFRRATE + 0.930%, 07/14/2028 (B) | | | 975 | | | | 995 | |
4.952%, SOFRRATE + 1.080%, 01/14/2028 (B) | | | 1,428 | | | | 1,449 | |
Nasdaq | | | | | | | | |
5.550%, 02/15/2034 | | | 1,080 | | | | 1,139 | |
National Securities Clearing | | | | | | | | |
1.500%, 04/23/2025 (D) | | | 330 | | | | 324 | |
Nationwide Building Society MTN | | | | | | | | |
2.972%, SOFRRATE + 1.290%, 02/16/2028 (B)(D) | | | 735 | | | | 709 | |
Nationwide Mutual Insurance | | | | | | | | |
7.498%, US0003M + 2.290%, 12/15/2024 (B)(D) | | | 3,735 | | | | 3,741 | |
NatWest Group | | | | | | | | |
7.472%, H15T1Y + 2.850%, 11/10/2026 (B) | | | 1,085 | | | | 1,117 | |
4.892%, US0003M + 1.754%, 05/18/2029 (B) | | | 200 | | | | 202 | |
1.642%, H15T1Y + 0.900%, 06/14/2027 (B) | | | 920 | | | | 877 | |
New York Life Global Funding | | | | | | | | |
0.950%, 06/24/2025 (D) | | | 340 | | | | 331 | |
Nordea Bank Abp | | | | | | | | |
4.375%, 09/10/2029 (D) | | | 1,227 | | | | 1,233 | |
Nordea Bank Abp MTN | | | | | | | | |
6.300%, H15T5Y + 2.660%(B)(D)(E) | | | 960 | | | | 952 | |
Northwestern Mutual Global Funding | | | | | | | | |
5.160%, 05/28/2031 (D) | | | 1,285 | | | | 1,348 | |
Northwestern Mutual Life Insurance | | | | | | | | |
3.850%, 09/30/2047 (D) | | | 606 | | | | 488 | |
3.625%, 09/30/2059 (D) | | | 580 | | | | 431 | |
PayPal Holdings | | | | | | | | |
5.150%, 06/01/2034 | | | 150 | | | | 157 | |
PNC Bank | | | | | | | | |
3.875%, 04/10/2025 | | | 430 | | | | 428 | |
PNC Financial Services Group | | | | | | | | |
6.875%, SOFRRATE + 2.284%, 10/20/2034 (B) | | | 870 | | | | 996 | |
5.812%, SOFRRATE + 1.322%, 06/12/2026 (B) | | | 250 | | | | 252 | |
5.676%, SOFRRATE + 1.902%, 01/22/2035 (B) | | | 200 | | | | 212 | |
5.582%, SOFRRATE + 1.841%, 06/12/2029 (B) | | | 690 | | | | 718 | |
Principal Life Global Funding II | | | | | | | | |
2.250%, 11/21/2024 (D) | | | 1,465 | | | | 1,459 | |
1.250%, 06/23/2025 (D) | | | 160 | | | | 157 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Prudential Financial MTN | | | | | | | | |
5.625%, 05/12/2041 | | $ | 10 | | | $ | 10 | |
Royal Bank of Canada MTN | | | | | | | | |
5.150%, 02/01/2034 | | | 140 | | | | 146 | |
4.969%, SOFRRATE + 1.100%, 08/02/2030 (B) | | | 955 | | | | 980 | |
1.150%, 06/10/2025 | | | 460 | | | | 449 | |
Santander Holdings USA | | | | | | | | |
6.342%, SOFRRATE + 2.138%, 05/31/2035 (B) | | | 1,025 | | | | 1,075 | |
5.353%, SOFRRATE + 1.940%, 09/06/2030 (B) | | | 955 | | | | 965 | |
4.500%, 07/17/2025 | | | 80 | | | | 80 | |
Santander UK Group Holdings | | | | | | | | |
2.469%, SOFRRATE + 1.220%, 01/11/2028 (B) | | | 510 | | | | 486 | |
1.673%, SOFRRATE + 0.989%, 06/14/2027 (B) | | | 1,055 | | | | 1,003 | |
1.532%, H15T1Y + 1.250%, 08/21/2026 (B) | | | 235 | | | | 228 | |
Shift4 Payments | | | | | | | | |
6.750%, 08/15/2032 (D) | | | 420 | | | | 439 | |
Societe Generale MTN | | | | | | | | |
7.367%, 01/10/2053 (D) | | | 525 | | | | 548 | |
2.625%, 01/22/2025 (D) | | | 735 | | | | 729 | |
State Street | | | | | | | | |
4.530%, SOFRRATE + 1.018%, 02/20/2029 (B) | | | 823 | | | | 831 | |
3.300%, 12/16/2024 | | | 70 | | | | 70 | |
Sumitomo Mitsui Trust Bank MTN | | | | | | | | |
4.850%, 09/10/2034 (D) | | | 426 | | | | 431 | |
4.500%, 09/10/2029 (D) | | | 557 | | | | 560 | |
Teachers Insurance & Annuity Association of America | | | | | | | | |
6.850%, 12/16/2039 (D) | | | 124 | | | | 148 | |
4.900%, 09/15/2044 (D) | | | 240 | | | | 229 | |
3.300%, 05/15/2050 (D) | | | 2,455 | | | | 1,796 | |
Toronto-Dominion Bank MTN | | | | | | | | |
4.456%, 06/08/2032 | | | 240 | | | | 238 | |
2.800%, 03/10/2027 | | | 570 | | | | 553 | |
1.150%, 06/12/2025 | | | 460 | | | | 449 | |
Truist Financial MTN | | | | | | | | |
6.047%, SOFRRATE + 2.050%, 06/08/2027 (B) | | | 470 | | | | 482 | |
5.711%, SOFRRATE + 1.922%, 01/24/2035 (B) | | | 275 | | | | 290 | |
5.435%, SOFRRATE + 1.620%, 01/24/2030 (B) | | | 930 | | | | 963 | |
4.260%, SOFRRATE + 1.456%, 07/28/2026 (B) | | | 1,265 | | | | 1,260 | |
UBS | | | | | | | | |
7.950%, 01/09/2025 | | | 1,220 | | | | 1,229 | |
7.500%, 02/15/2028 | | | 1,240 | | | | 1,362 | |
5.650%, 09/11/2028 | | | 649 | | | | 681 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.500%, 06/26/2048 | | $ | 440 | | | $ | 419 | |
2.950%, 04/09/2025 | | | 520 | | | | 515 | |
UBS MTN | | | | | | | | |
3.700%, 02/21/2025 | | | 1,320 | | | | 1,314 | |
UBS Group | | | | | | | | |
9.250%, H15T5Y + 4.745%(B)(D)(E) | | | 1,030 | | | | 1,139 | |
9.250%, H15T5Y + 4.758%(B)(D)(E) | | | 230 | | | | 271 | |
9.016%, SOFRRATE + 5.020%, 11/15/2033 (B)(D) | | | 300 | | | | 379 | |
7.750%, USISSO05 + 4.160%(B)(D)(E) | | | 220 | | | | 235 | |
5.699%, H15T1Y + 1.770%, 02/08/2035 (B)(D) | | | 306 | | | | 323 | |
5.617%, USISSO01 + 1.340%, 09/13/2030 (B)(D) | | | 1,122 | | | | 1,173 | |
5.379%, USISSO01 + 1.860%, 09/06/2045 (B)(D) | | | 426 | | | | 436 | |
4.751%, H15T1Y + 1.750%, 05/12/2028 (B)(D) | | | 360 | | | | 362 | |
4.488%, H15T1Y + 1.550%, 05/12/2026 (B)(D) | | | 320 | | | | 319 | |
4.282%, 01/09/2028 (D) | | | 625 | | | | 621 | |
4.253%, 03/23/2028 (D) | | | 350 | | | | 347 | |
4.194%, SOFRRATE + 3.730%, 04/01/2031 (B)(D) | | | 1,200 | | | | 1,172 | |
4.125%, 09/24/2025 (D) | | | 200 | | | | 199 | |
3.750%, 03/26/2025 | | | 1,085 | | | | 1,079 | |
3.091%, SOFRRATE + 1.730%, 05/14/2032 (B)(D) | | | 444 | | | | 401 | |
2.746%, H15T1Y + 1.100%, 02/11/2033 (B)(D) | | | 210 | | | | 182 | |
2.193%, SOFRRATE + 2.044%, 06/05/2026 (B)(D) | | | 1,070 | | | | 1,050 | |
US Bancorp | | | | | | | | |
5.850%, SOFRRATE + 2.090%, 10/21/2033 (B) | | | 785 | | | | 837 | |
5.836%, SOFRRATE + 2.260%, 06/12/2034 (B) | | | 200 | | | | 214 | |
5.775%, SOFRRATE + 2.020%, 06/12/2029 (B) | | | 490 | | | | 513 | |
5.678%, SOFRRATE + 1.860%, 01/23/2035 (B) | | | 385 | | | | 408 | |
5.384%, SOFRRATE + 1.560%, 01/23/2030 (B) | | | 580 | | | | 602 | |
5.100%, SOFRRATE + 1.250%, 07/23/2030 (B) | | | 956 | | | | 984 | |
4.839%, SOFRRATE + 1.600%, 02/01/2034 (B) | | | 300 | | | | 300 | |
4.653%, SOFRRATE + 1.230%, 02/01/2029 (B) | | | 1,635 | | | | 1,651 | |
1.450%, 05/12/2025 | | | 780 | | | | 766 | |
US Bancorp MTN | | | | | | | | |
2.215%, SOFRRATE + 0.730%, 01/27/2028 (B) | | | 70 | | | | 67 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
WEA Finance | | | | | | | | |
4.750%, 09/17/2044 (D) | | $ | 230 | | | $ | 192 | |
Wells Fargo | | | | | | | | |
7.950%, 11/15/2029 | | | 495 | | | | 569 | |
6.491%, SOFRRATE + 2.060%, 10/23/2034 (B) | | | 1,066 | | | | 1,191 | |
6.303%, SOFRRATE + 1.790%, 10/23/2029 (B) | | | 402 | | | | 430 | |
6.063%, TSFR3M + 0.762%, 01/15/2027 (B) | | | 1,200 | | | | 1,182 | |
5.389%, SOFRRATE + 2.020%, 04/24/2034 (B) | | | 450 | | | | 467 | |
5.375%, 11/02/2043 | | | 340 | | | | 343 | |
3.000%, 10/23/2026 | | | 1,030 | | | | 1,007 | |
2.188%, SOFRRATE + 2.000%, 04/30/2026 (B) | | | 1,200 | | | | 1,180 | |
Wells Fargo MTN | | | | | | | | |
5.707%, SOFRRATE + 1.070%, 04/22/2028 (B) | | | 1,594 | | | | 1,646 | |
5.574%, SOFRRATE + 1.740%, 07/25/2029 (B) | | | 761 | | | | 792 | |
5.557%, SOFRRATE + 1.990%, 07/25/2034 (B) | | | 620 | | | | 650 | |
5.198%, SOFRRATE + 1.500%, 01/23/2030 (B) | | | 2,667 | | | | 2,749 | |
5.013%, TSFR3M + 4.502%, 04/04/2051 (B) | | | 3,550 | | | | 3,481 | |
4.900%, 11/17/2045 | | | 839 | | | | 787 | |
4.897%, SOFRRATE + 2.100%, 07/25/2033 (B) | | | 2,689 | | | | 2,720 | |
4.750%, 12/07/2046 | | | 650 | | | | 596 | |
4.650%, 11/04/2044 | | | 241 | | | | 220 | |
4.478%, TSFR3M + 4.032%, 04/04/2031 (B) | | | 1,880 | | | | 1,882 | |
4.400%, 06/14/2046 | | | 1,270 | | | | 1,112 | |
4.150%, 01/24/2029 | | | 1,010 | | | | 1,007 | |
3.526%, SOFRRATE + 1.510%, 03/24/2028 (B) | | | 2,075 | | | | 2,036 | |
3.350%, SOFRRATE + 1.500%, 03/02/2033 (B) | | | 2,450 | | | | 2,240 | |
3.196%, TSFR3M + 1.432%, 06/17/2027 (B) | | | 195 | | | | 191 | |
2.879%, TSFR3M + 1.432%, 10/30/2030 (B) | | | 20 | | | | 19 | |
2.393%, SOFRRATE + 2.100%, 06/02/2028 (B) | | | 75 | | | | 71 | |
2.164%, TSFR3M + 1.012%, 02/11/2026 (B) | | | 1,165 | | | | 1,152 | |
| | | | | | | | | |
| | | | | | | | 333,815 | |
| | | | | | | | | |
Health Care — 2.7% | | | | |
Abbott Laboratories | | | | | | | | |
4.750%, 11/30/2036 | | | 260 | | | | 267 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
AbbVie | | | | | | | | |
5.500%, 03/15/2064 | | $ | 225 | | | $ | 240 | |
5.400%, 03/15/2054 | | | 305 | | | | 323 | |
5.050%, 03/15/2034 | | | 1,032 | | | | 1,078 | |
4.950%, 03/15/2031 | | | 657 | | | | 683 | |
4.875%, 11/14/2048 | | | 70 | | | | 69 | |
4.800%, 03/15/2027 | | | 662 | | | | 675 | |
4.800%, 03/15/2029 | | | 1,262 | | | | 1,299 | |
4.625%, 10/01/2042 | | | 38 | | | | 36 | |
4.550%, 03/15/2035 | | | 653 | | | | 653 | |
4.500%, 05/14/2035 | | | 1,364 | | | | 1,360 | |
4.250%, 11/21/2049 | | | 1,970 | | | | 1,765 | |
4.050%, 11/21/2039 | | | 277 | | | | 256 | |
3.800%, 03/15/2025 | | | 460 | | | | 458 | |
3.600%, 05/14/2025 | | | 210 | | | | 209 | |
3.200%, 11/21/2029 | | | 2,146 | | | | 2,052 | |
2.950%, 11/21/2026 | | | 380 | | | | 372 | |
2.600%, 11/21/2024 | | | 1,820 | | | | 1,814 | |
Aetna | | | | | | | | |
3.875%, 08/15/2047 | | | 90 | | | | 70 | |
Alcon Finance | | | | | | | | |
5.375%, 12/06/2032 (D) | | | 725 | | | | 758 | |
3.000%, 09/23/2029 (D) | | | 1,975 | | | | 1,862 | |
2.600%, 05/27/2030 (D) | | | 200 | | | | 182 | |
Amgen | | | | | | | | |
6.375%, 06/01/2037 | | | 910 | | | | 1,030 | |
5.650%, 03/02/2053 | | | 1,754 | | | | 1,845 | |
5.600%, 03/02/2043 | | | 382 | | | | 401 | |
5.150%, 11/15/2041 | | | 332 | | | | 333 | |
4.663%, 06/15/2051 | | | 269 | | | | 246 | |
4.400%, 05/01/2045 | | | 375 | | | | 337 | |
3.150%, 02/21/2040 | | | 190 | | | | 152 | |
2.770%, 09/01/2053 | | | 263 | | | | 171 | |
2.000%, 01/15/2032 | | | 1,515 | | | | 1,287 | |
AstraZeneca | | | | | | | | |
3.000%, 05/28/2051 | | | 137 | | | | 100 | |
Astrazeneca Finance | | | | | | | | |
5.000%, 02/26/2034 | | | 535 | | | | 559 | |
Bausch Health | | | | | | | | |
7.250%, 05/30/2029 (D) | | | 170 | | | | 104 | |
6.250%, 02/15/2029 (D) | | | 500 | | | | 306 | |
5.500%, 11/01/2025 (D) | | | 20 | | | | 20 | |
Bayer US Finance | | | | | | | | |
6.875%, 11/21/2053 (D) | | | 500 | | | | 560 | |
6.500%, 11/21/2033 (D) | | | 270 | | | | 292 | |
3.375%, 10/08/2024 (D) | | | 800 | | | | 800 | |
Bayer US Finance II | | | | | | | | |
4.875%, 06/25/2048 (D) | | | 1,795 | | | | 1,556 | |
4.625%, 06/25/2038 (D) | | | 420 | | | | 382 | |
4.375%, 12/15/2028 (D) | | | 3,688 | | | | 3,640 | |
Becton Dickinson | | | | | | | | |
5.081%, 06/07/2029 | | | 534 | | | | 552 | |
4.685%, 12/15/2044 | | | 264 | | | | 247 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
3.734%, 12/15/2024 | | $ | 287 | | | $ | 286 | |
3.700%, 06/06/2027 | | | 121 | | | | 119 | |
Bristol-Myers Squibb | | | | | | | | |
5.750%, 02/01/2031 | | | 1,105 | | | | 1,197 | |
5.650%, 02/22/2064 | | | 110 | | | | 117 | |
5.550%, 02/22/2054 | | | 160 | | | | 169 | |
5.200%, 02/22/2034 | | | 810 | | | | 854 | |
5.100%, 02/22/2031 | | | 290 | | | | 304 | |
4.350%, 11/15/2047 | | | 51 | | | | 46 | |
3.400%, 07/26/2029 | | | 124 | | | | 120 | |
Centene | | | | | | | | |
4.625%, 12/15/2029 | | | 390 | | | | 382 | |
4.250%, 12/15/2027 | | | 260 | | | | 255 | |
3.375%, 02/15/2030 | | | 230 | | | | 212 | |
3.000%, 10/15/2030 | | | 1,938 | | | | 1,735 | |
2.625%, 08/01/2031 | | | 40 | | | | 34 | |
Cigna Group | | | | | | | | |
4.900%, 12/15/2048 | | | 830 | | | | 782 | |
4.800%, 08/15/2038 | | | 500 | | | | 487 | |
4.375%, 10/15/2028 | | | 810 | | | | 813 | |
3.400%, 03/01/2027 | | | 380 | | | | 373 | |
3.400%, 03/15/2051 | | | 588 | | | | 430 | |
CommonSpirit Health | | | | | | | | |
4.350%, 11/01/2042 | | | 110 | | | | 98 | |
3.347%, 10/01/2029 | | | 245 | | | | 233 | |
2.782%, 10/01/2030 | | | 1,135 | | | | 1,033 | |
CVS Health | | | | | | | | |
6.050%, 06/01/2054 | | | 893 | | | | 932 | |
5.125%, 07/20/2045 | | | 670 | | | | 624 | |
5.050%, 03/25/2048 | | | 2,105 | | | | 1,921 | |
5.000%, 02/20/2026 | | | 1,295 | | | | 1,304 | |
4.780%, 03/25/2038 | | | 565 | | | | 533 | |
4.300%, 03/25/2028 | | | 809 | | | | 807 | |
4.250%, 04/01/2050 | | | 30 | | | | 24 | |
4.125%, 04/01/2040 | | | 160 | | | | 137 | |
3.875%, 07/20/2025 | | | 515 | | | | 511 | |
3.750%, 04/01/2030 | | | 540 | | | | 518 | |
3.625%, 04/01/2027 | | | 140 | | | | 138 | |
3.250%, 08/15/2029 | | | 130 | | | | 123 | |
2.700%, 08/21/2040 | | | 500 | | | | 355 | |
2.125%, 09/15/2031 | | | 370 | | | | 313 | |
1.875%, 02/28/2031 | | | 1,660 | | | | 1,398 | |
CVS Pass-Through Trust | | | | | | | | |
5.926%, 01/10/2034 (D) | | | 56 | | | | 57 | |
DH Europe Finance II Sarl | | | | | | | | |
2.200%, 11/15/2024 | | | 642 | | | | 640 | |
Elevance Health | | | | | | | | |
5.375%, 06/15/2034 | | | 403 | | | | 424 | |
5.150%, 06/15/2029 | | | 577 | | | | 599 | |
4.625%, 05/15/2042 | | | 41 | | | | 38 | |
4.550%, 05/15/2052 | | | 250 | | | | 223 | |
4.100%, 05/15/2032 | | | 270 | | | | 263 | |
3.650%, 12/01/2027 | | | 220 | | | | 217 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
3.350%, 12/01/2024 | | $ | 745 | | | $ | 743 | |
Eli Lilly | | | | | | | | |
5.100%, 02/09/2064 | | | 874 | | | | 893 | |
5.000%, 02/09/2054 | | | 80 | | | | 81 | |
4.700%, 02/09/2034 | | | 1,266 | | | | 1,294 | |
4.600%, 08/14/2034 | | | 1,159 | | | | 1,177 | |
4.200%, 08/14/2029 | | | 832 | | | | 840 | |
Fresenius Medical Care US Finance III | | | | | | | | |
1.875%, 12/01/2026 (D) | | | 1,345 | | | | 1,266 | |
Gilead Sciences | | | | | | | | |
5.650%, 12/01/2041 | | | 35 | | | | 38 | |
4.750%, 03/01/2046 | | | 380 | | | | 364 | |
4.500%, 02/01/2045 | | | 10 | | | | 9 | |
4.000%, 09/01/2036 | | | 267 | | | | 251 | |
3.650%, 03/01/2026 | | | 460 | | | | 456 | |
HCA | | | | | | | | |
5.900%, 06/01/2053 | | | 332 | | | | 346 | |
5.875%, 02/01/2029 | | | 410 | | | | 430 | |
5.625%, 09/01/2028 | | | 60 | | | | 62 | |
5.500%, 06/15/2047 | | | 60 | | | | 60 | |
5.375%, 02/01/2025 | | | 160 | | | | 160 | |
5.375%, 09/01/2026 | | | 155 | | | | 157 | |
5.250%, 04/15/2025 | | | 820 | | | | 821 | |
5.250%, 06/15/2026 | | | 650 | | | | 655 | |
5.250%, 06/15/2049 | | | 1,437 | | | | 1,365 | |
4.500%, 02/15/2027 | | | 20 | | | | 20 | |
4.125%, 06/15/2029 | | | 1,403 | | | | 1,381 | |
3.625%, 03/15/2032 | | | 423 | | | | 391 | |
3.500%, 09/01/2030 | | | 1,630 | | | | 1,536 | |
3.500%, 07/15/2051 | | | 672 | | | | 484 | |
2.375%, 07/15/2031 | | | 751 | | | | 649 | |
Humana | | | | | | | | |
4.950%, 10/01/2044 | | | 60 | | | | 56 | |
4.800%, 03/15/2047 | | | 30 | | | | 27 | |
4.625%, 12/01/2042 | | | 170 | | | | 152 | |
4.500%, 04/01/2025 | | | 80 | | | | 80 | |
3.950%, 03/15/2027 | | | 70 | | | | 69 | |
3.700%, 03/23/2029 | | | 3,205 | | | | 3,119 | |
2.150%, 02/03/2032 | | | 130 | | | | 109 | |
Johnson & Johnson | | | | | | | | |
3.625%, 03/03/2037 | | | 260 | | | | 242 | |
3.400%, 01/15/2038 | | | 173 | | | | 155 | |
Medline Borrower | | | | | | | | |
6.250%, 04/01/2029 (D) | | | 370 | | | | 381 | |
Merck | | | | | | | | |
2.750%, 12/10/2051 | | | 276 | | | | 187 | |
2.350%, 06/24/2040 | | | 553 | | | | 405 | |
1.450%, 06/24/2030 | | | 300 | | | | 260 | |
New York and Presbyterian Hospital | | | | | | | | |
3.563%, 08/01/2036 | | | 730 | | | | 659 | |
Pfizer | | | | | | | | |
4.000%, 12/15/2036 | | | 705 | | | | 672 | |
2.625%, 04/01/2030 | | | 440 | | | | 408 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
1.700%, 05/28/2030 | | $ | 420 | | | $ | 370 | |
Pfizer Investment Enterprises Pte | | | | | | | | |
5.340%, 05/19/2063 | | | 523 | | | | 537 | |
5.300%, 05/19/2053 | | | 1,222 | | | | 1,264 | |
4.750%, 05/19/2033 | | | 2,178 | | | | 2,220 | |
Royalty Pharma | | | | | | | | |
1.200%, 09/02/2025 | | | 535 | | | | 518 | |
Solventum | | | | | | | | |
5.900%, 04/30/2054 (D) | | | 660 | | | | 684 | |
5.600%, 03/23/2034 (D) | | | 830 | | | | 860 | |
5.450%, 03/13/2031 (D) | | | 630 | | | | 649 | |
5.400%, 03/01/2029 (D) | | | 630 | | | | 648 | |
Teva Pharmaceutical Finance Netherlands III BV | | | | | | | | |
8.125%, 09/15/2031 | | | 200 | | | | 229 | |
7.125%, 01/31/2025 | | | 390 | | | | 390 | |
5.125%, 05/09/2029 | | | 1,780 | | | | 1,766 | |
4.750%, 05/09/2027 | | | 200 | | | | 197 | |
3.150%, 10/01/2026 | | | 1,580 | | | | 1,519 | |
UnitedHealth Group | | | | | | | | |
5.875%, 02/15/2053 | | | 1,167 | | | | 1,292 | |
5.800%, 03/15/2036 | | | 280 | | | | 309 | |
5.750%, 07/15/2064 | | | 278 | | | | 300 | |
5.625%, 07/15/2054 | | | 141 | | | | 151 | |
5.500%, 07/15/2044 | | | 139 | | | | 147 | |
5.375%, 04/15/2054 | | | 930 | | | | 967 | |
5.150%, 07/15/2034 | | | 2,000 | | | | 2,087 | |
5.000%, 04/15/2034 | | | 460 | | | | 475 | |
4.625%, 07/15/2035 | | | 163 | | | | 165 | |
4.600%, 04/15/2027 | | | 547 | | | | 557 | |
4.450%, 12/15/2048 | | | 90 | | | | 82 | |
4.250%, 04/15/2047 | | | 450 | | | | 398 | |
4.250%, 06/15/2048 | | | 110 | | | | 97 | |
4.200%, 05/15/2032 | | | 290 | | | | 288 | |
4.000%, 05/15/2029 | | | 420 | | | | 419 | |
3.875%, 12/15/2028 | | | 170 | | | | 169 | |
3.875%, 08/15/2059 | | | 360 | | | | 287 | |
3.700%, 08/15/2049 | | | 150 | | | | 121 | |
3.125%, 05/15/2060 | | | 50 | | | | 34 | |
3.050%, 05/15/2041 | | | 124 | | | | 98 | |
2.300%, 05/15/2031 | | | 80 | | | | 71 | |
2.000%, 05/15/2030 | | | 140 | | | | 125 | |
1.250%, 01/15/2026 | | | 170 | | | | 164 | |
Universal Health Services | | | | | | | | |
1.650%, 09/01/2026 | | | 685 | | | | 649 | |
Wyeth | | | | | | | | |
5.950%, 04/01/2037 | | | 470 | | | | 521 | |
| | | | | | | | | |
| | | | | | | | 98,313 | |
| | | | | | | | | |
Industrials — 2.2% | | | | |
Adani International Container Terminal Pvt | | | | | | | | |
3.000%, 02/16/2031 (D) | | | 232 | | | | 205 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
AerCap Ireland Capital DAC | | | | | | | | |
6.450%, 04/15/2027 | | $ | 929 | | | $ | 973 | |
4.950%, 09/10/2034 | | | 2,680 | | | | 2,665 | |
3.500%, 01/15/2025 | | | 232 | | | | 231 | |
3.300%, 01/30/2032 | | | 1,590 | | | | 1,435 | |
3.000%, 10/29/2028 | | | 5,245 | | | | 4,955 | |
2.450%, 10/29/2026 | | | 3,530 | | | | 3,390 | |
1.650%, 10/29/2024 | | | 365 | | | | 364 | |
Air Lease | | | | | | | | |
3.625%, 04/01/2027 | | | 221 | | | | 216 | |
3.625%, 12/01/2027 | | | 216 | | | | 212 | |
3.375%, 07/01/2025 | | | 310 | | | | 306 | |
3.250%, 03/01/2025 | | | 1,645 | | | | 1,632 | |
Air Lease MTN | | | | | | | | |
3.000%, 02/01/2030 | | | 1,320 | | | | 1,217 | |
2.300%, 02/01/2025 | | | 355 | | | | 351 | |
American Airlines | | | | | | | | |
8.500%, 05/15/2029 (D) | | | 350 | | | | 371 | |
BAE Systems | | | | | | | | |
5.250%, 03/26/2031 (D) | | | 1,185 | | | | 1,232 | |
Boeing | | | | | | | | |
7.008%, 05/01/2064 (D) | | | 109 | | | | 120 | |
6.528%, 05/01/2034 (D) | | | 1,086 | | | | 1,166 | |
6.388%, 05/01/2031 (D) | | | 1,025 | | | | 1,090 | |
6.298%, 05/01/2029 (D) | | | 1,155 | | | | 1,215 | |
5.805%, 05/01/2050 | | | 1,841 | | | | 1,779 | |
5.150%, 05/01/2030 | | | 90 | | | | 90 | |
4.875%, 05/01/2025 | | | 2,075 | | | | 2,067 | |
3.750%, 02/01/2050 | | | 273 | | | | 192 | |
3.550%, 03/01/2038 | | | 196 | | | | 152 | |
3.250%, 02/01/2035 | | | 120 | | | | 98 | |
3.200%, 03/01/2029 | | | 420 | | | | 389 | |
3.100%, 05/01/2026 | | | 160 | | | | 155 | |
2.800%, 03/01/2027 | | | 190 | | | | 180 | |
2.700%, 02/01/2027 | | | 140 | | | | 133 | |
2.196%, 02/04/2026 | | | 1,120 | | | | 1,078 | |
Builders FirstSource | | | | | | | | |
4.250%, 02/01/2032 (D) | | | 80 | | | | 74 | |
Burlington Northern Santa Fe | | | | | | | | |
7.290%, 06/01/2036 | | | 90 | | | | 112 | |
5.400%, 06/01/2041 | | | 50 | | | | 53 | |
5.200%, 04/15/2054 | | | 278 | | | | 287 | |
4.450%, 01/15/2053 | | | 106 | | | | 98 | |
4.150%, 12/15/2048 | | | 150 | | | | 132 | |
4.050%, 06/15/2048 | | | 124 | | | | 108 | |
2.875%, 06/15/2052 | | | 120 | | | | 83 | |
Canadian Pacific Railway | | | | | | | | |
6.125%, 09/15/2115 | | | 44 | | | | 48 | |
Caterpillar Financial Services | | | | | | | | |
4.500%, 01/08/2027 | | | 655 | | | | 664 | |
4.450%, 10/16/2026 | | | 546 | | | | 553 | |
4.375%, 08/16/2029 | | | 546 | | | | 554 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Caterpillar Financial Services MTN | | | | | | | | |
5.000%, 05/14/2027 | | $ | 796 | | | $ | 818 | |
4.850%, 02/27/2029 | | | 525 | | | | 543 | |
Cintas No. 2 | | | | | | | | |
4.000%, 05/01/2032 | | | 1,190 | | | | 1,167 | |
3.700%, 04/01/2027 | | | 400 | | | | 397 | |
Crowley Conro | | | | | | | | |
4.181%, 08/15/2043 | | | 376 | | | | 351 | |
Deere | | | | | | | | |
3.750%, 04/15/2050 | | | 190 | | | | 162 | |
3.100%, 04/15/2030 | | | 100 | | | | 95 | |
Delta Air Lines | | | | | | | | |
7.375%, 01/15/2026 | | | 580 | | | | 597 | |
4.750%, 10/20/2028 (D) | | | 1,302 | | | | 1,300 | |
4.500%, 10/20/2025 (D) | | | 204 | | | | 203 | |
4.375%, 04/19/2028 | | | 153 | | | | 151 | |
2.900%, 10/28/2024 | | | 60 | | | | 60 | |
Delta Air Lines Pass-Through Trust, Ser 2020-1, Cl AA | | | | | | | | |
2.000%, 06/10/2028 | | | 3,043 | | | | 2,846 | |
DP World MTN | | | | | | | | |
5.625%, 09/25/2048 (D) | | | 990 | | | | 990 | |
Eaton | | | | | | | | |
4.150%, 11/02/2042 | | | 140 | | | | 128 | |
Emerson Electric | | | | | | | | |
2.800%, 12/21/2051 | | | 280 | | | | 193 | |
General Dynamics | | | | | | | | |
4.250%, 04/01/2040 | | | 330 | | | | 309 | |
4.250%, 04/01/2050 | | | 200 | | | | 181 | |
General Electric MTN | | | | | | | | |
5.860%, TSFR3M + 0.742%, 08/15/2036 (B) | | | 2,400 | | | | 2,271 | |
GFL Environmental | | | | | | | | |
6.750%, 01/15/2031 (D) | | | 330 | | | | 346 | |
Honeywell International | | | | | | | | |
5.000%, 03/01/2035 | | | 800 | | | | 833 | |
Howmet Aerospace | | | | | | | | |
4.850%, 10/15/2031 | | | 354 | | | | 361 | |
John Deere Capital | | | | | | | | |
4.500%, 01/08/2027 | | | 916 | | | | 928 | |
4.500%, 01/16/2029 | | | 916 | | | | 933 | |
John Deere Capital MTN | | | | | | | | |
5.150%, 09/08/2026 | | | 908 | | | | 929 | |
5.100%, 04/11/2034 | | | 662 | | | | 693 | |
5.050%, 06/12/2034 | | | 839 | | | | 876 | |
4.950%, 07/14/2028 | | | 208 | | | | 215 | |
4.900%, 06/11/2027 | | | 801 | | | | 821 | |
4.850%, 06/11/2029 | | | 530 | | | | 548 | |
4.150%, 09/15/2027 | | | 522 | | | | 526 | |
L3Harris Technologies | | | | | | | | |
5.054%, 04/27/2045 | | | 180 | | | | 177 | |
4.854%, 04/27/2035 | | | 80 | | | | 80 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Lockheed Martin | | | | | | | | |
5.200%, 02/15/2064 | | $ | 541 | | | $ | 560 | |
4.800%, 08/15/2034 | | | 546 | | | | 560 | |
4.500%, 05/15/2036 | | | 90 | | | | 90 | |
4.150%, 06/15/2053 | | | 1,220 | | | | 1,075 | |
4.070%, 12/15/2042 | | | 91 | | | | 83 | |
3.900%, 06/15/2032 | | | 230 | | | | 225 | |
Mileage Plus Holdings | | | | | | | | |
6.500%, 06/20/2027 (D) | | | 281 | | | | 284 | |
Northrop Grumman | | | | | | | | |
5.250%, 05/01/2050 | | | 350 | | | | 357 | |
4.030%, 10/15/2047 | | | 192 | | | | 165 | |
3.250%, 01/15/2028 | | | 1,074 | | | | 1,044 | |
2.930%, 01/15/2025 | | | 810 | | | | 805 | |
Otis Worldwide | | | | | | | | |
3.112%, 02/15/2040 | | | 315 | | | | 253 | |
2.056%, 04/05/2025 | | | 220 | | | | 217 | |
Owens Corning | | | | | | | | |
5.950%, 06/15/2054 | | | 242 | | | | 257 | |
Parker-Hannifin | | | | | | | | |
4.250%, 09/15/2027 | | | 760 | | | | 762 | |
Prime Security Services Borrower | | | | | | | | |
5.750%, 04/15/2026 (D) | | | 320 | | | | 321 | |
Protective Life Global Funding | | | | | | | | |
1.618%, 04/15/2026 (D) | | | 2,170 | | | | 2,086 | |
Republic Services | | | | | | | | |
5.000%, 11/15/2029 | | | 534 | | | | 553 | |
3.950%, 05/15/2028 | | | 335 | | | | 333 | |
1.450%, 02/15/2031 | | | 1,285 | | | | 1,077 | |
RR Donnelley & Sons | | | | | | | | |
9.500%, 08/01/2029 (D) | | | 450 | | | | 454 | |
RTX | | | | | | | | |
6.400%, 03/15/2054 | | | 540 | | | | 638 | |
6.000%, 03/15/2031 | | | 410 | | | | 446 | |
RTX Corp | | | | | | | | |
4.625%, 11/16/2048 | | | 51 | | | | 47 | |
4.500%, 06/01/2042 | | | 320 | | | | 298 | |
4.450%, 11/16/2038 | | | 63 | | | | 60 | |
4.150%, 05/15/2045 | | | 59 | | | | 52 | |
4.125%, 11/16/2028 | | | 280 | | | | 279 | |
3.950%, 08/16/2025 | | | 190 | | | | 189 | |
3.150%, 12/15/2024 | | | 200 | | | | 199 | |
3.030%, 03/15/2052 | | | 430 | | | | 300 | |
2.250%, 07/01/2030 | | | 420 | | | | 377 | |
Siemens Financieringsmaatschappij | | | | | | | | |
1.200%, 03/11/2026 (D) | | | 250 | | | | 240 | |
Spirit Loyalty Cayman | | | | | | | | |
8.000%, 09/20/2025 (D) | | | 375 | | | | 206 | |
TransDigm | | | | | | | | |
7.125%, 12/01/2031 (D) | | | 330 | | | | 349 | |
6.625%, 03/01/2032 (D) | | | 220 | | | | 229 | |
6.375%, 03/01/2029 (D) | | | 200 | | | | 206 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Uber Technologies | | | | | | | | |
5.350%, 09/15/2054 | | $ | 314 | | | $ | 311 | |
4.800%, 09/15/2034 | | | 2,324 | | | | 2,321 | |
Union Pacific | | | | | | | | |
3.839%, 03/20/2060 | | | 1,030 | | | | 823 | |
3.750%, 02/05/2070 | | | 230 | | | | 174 | |
3.250%, 02/05/2050 | | | 480 | | | | 362 | |
2.891%, 04/06/2036 | | | 1,595 | | | | 1,372 | |
2.800%, 02/14/2032 | | | 338 | | | | 308 | |
2.375%, 05/20/2031 | | | 249 | | | | 224 | |
United Airlines | | | | | | | | |
4.625%, 04/15/2029 (D) | | | 510 | | | | 493 | |
4.375%, 04/15/2026 (D) | | | 300 | | | | 295 | |
United Airlines Class A Pass-Through Trust | | | | | | | | |
5.800%, 01/15/2036 | | | 2,053 | | | | 2,155 | |
United Parcel Service | | | | | | | | |
5.200%, 04/01/2040 | | | 240 | | | | 248 | |
United Rentals North America | | | | | | | | |
6.125%, 03/15/2034 (D) | | | 660 | | | | 682 | |
4.875%, 01/15/2028 | | | 150 | | | | 149 | |
3.875%, 02/15/2031 | | | 920 | | | | 856 | |
3.750%, 01/15/2032 | | | 300 | | | | 274 | |
US Airways Pass-Through Trust, Ser 2012-2, Cl A | | | | | | | | |
4.625%, 06/03/2025 | | | 365 | | | | 363 | |
Waste Connections | | | | | | | | |
5.000%, 03/01/2034 | | | 440 | | | | 452 | |
| | | | | | | | | |
| | | | | | | | 80,991 | |
| | | | | | | | | |
Information Technology — 1.4% | | | | |
Adobe | | | | | | | | |
4.950%, 04/04/2034 | | | 792 | | | | 826 | |
Analog Devices | | | | | | | | |
5.300%, 04/01/2054 | | | 478 | | | | 500 | |
5.050%, 04/01/2034 | | | 531 | | | | 556 | |
Apple | | | | | | | | |
3.950%, 08/08/2052 | | | 501 | | | | 441 | |
3.200%, 05/13/2025 | | | 64 | | | | 63 | |
2.650%, 05/11/2050 | | | 207 | | | | 143 | |
2.650%, 02/08/2051 | | | 160 | | | | 110 | |
2.375%, 02/08/2041 | | | 190 | | | | 143 | |
Applied Materials | | | | | | | | |
4.800%, 06/15/2029 | | | 267 | | | | 275 | |
Broadcom | | | | | | | | |
5.150%, 11/15/2031 | | | 818 | | | | 849 | |
5.050%, 07/12/2027 | | | 682 | | | | 697 | |
5.050%, 07/12/2029 | | | 955 | | | | 984 | |
4.926%, 05/15/2037 (D) | | | 1,142 | | | | 1,141 | |
4.800%, 10/15/2034 | | | 2,375 | | | | 2,373 | |
4.550%, 02/15/2032 | | | 653 | | | | 653 | |
4.150%, 11/15/2030 | | | 370 | | | | 365 | |
3.419%, 04/15/2033 (D) | | | 529 | | | | 481 | |
3.187%, 11/15/2036 (D) | | | 10 | | | | 8 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
3.150%, 11/15/2025 | | $ | 307 | | | $ | 303 | |
3.137%, 11/15/2035 (D) | | | 1,040 | | | | 889 | |
2.450%, 02/15/2031 (D) | | | 409 | | | | 362 | |
Cadence Design Systems | | | | | | | | |
4.700%, 09/10/2034 | | | 955 | | | | 961 | |
4.300%, 09/10/2029 | | | 1,365 | | | | 1,370 | |
4.200%, 09/10/2027 | | | 491 | | | | 494 | |
Cisco Systems | | | | | | | | |
5.050%, 02/26/2034 | | | 1,050 | | | | 1,103 | |
CommScope | | | | | | | | |
4.750%, 09/01/2029 (D) | | | 140 | | | | 118 | |
Dell International | | | | | | | | |
6.020%, 06/15/2026 | | | 29 | | | | 30 | |
Foundry JV Holdco | | | | | | | | |
5.900%, 01/25/2030 (D) | | | 820 | | | | 849 | |
5.875%, 01/25/2034 (D) | | | 550 | | | | 560 | |
Global Payments | | | | | | | | |
4.450%, 06/01/2028 | | | 1,845 | | | | 1,838 | |
Hewlett Packard Enterprise | | | | | | | | |
5.000%, 10/15/2034 | | | 1,525 | | | | 1,510 | |
Intel | | | | | | | | |
5.900%, 02/10/2063 | | | 365 | | | | 366 | |
5.700%, 02/10/2053 | | | 522 | | | | 514 | |
5.625%, 02/10/2043 | | | 150 | | | | 149 | |
5.600%, 02/21/2054 | | | 260 | | | | 254 | |
5.125%, 02/10/2030 | | | 320 | | | | 327 | |
5.000%, 02/21/2031 | | | 398 | | | | 404 | |
4.750%, 03/25/2050 | | | 170 | | | | 147 | |
3.050%, 08/12/2051 | | | 905 | | | | 580 | |
2.800%, 08/12/2041 | | | 225 | | | | 157 | |
1.600%, 08/12/2028 | | | 540 | | | | 483 | |
Intuit | | | | | | | | |
5.500%, 09/15/2053 | | | 520 | | | | 559 | |
5.250%, 09/15/2026 | | | 649 | | | | 665 | |
5.200%, 09/15/2033 | | | 518 | | | | 546 | |
5.125%, 09/15/2028 | | | 519 | | | | 541 | |
KLA | | | | | | | | |
4.700%, 02/01/2034 | | | 528 | | | | 539 | |
3.300%, 03/01/2050 | | | 214 | | | | 162 | |
Kyndryl Holdings | | | | | | | | |
2.050%, 10/15/2026 | | | 925 | | | | 879 | |
Mastercard | | | | | | | | |
3.850%, 03/26/2050 | | | 80 | | | | 68 | |
Micron Technology | | | | | | | | |
5.875%, 02/09/2033 | | | 240 | | | | 256 | |
5.375%, 04/15/2028 | | | 1,310 | | | | 1,349 | |
5.300%, 01/15/2031 | | | 350 | | | | 364 | |
Microsoft | | | | | | | | |
3.450%, 08/08/2036 | | | 1,030 | | | | 960 | |
2.921%, 03/17/2052 | | | 105 | | | | 77 | |
NVIDIA | | | | | | | | |
3.700%, 04/01/2060 | | | 310 | | | | 255 | |
2.850%, 04/01/2030 | | | 230 | | | | 218 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
NXP BV | | | | | | | | |
2.700%, 05/01/2025 | | $ | 280 | | | $ | 276 | |
Open Text | | | | | | | | |
6.900%, 12/01/2027 (D) | | | 304 | | | | 321 | |
Oracle | | | | | | | | |
6.900%, 11/09/2052 | | | 290 | | | | 350 | |
5.500%, 09/27/2064 | | | 269 | | | | 268 | |
5.375%, 09/27/2054 | | | 859 | | | | 858 | |
4.650%, 05/06/2030 | | | 330 | | | | 336 | |
4.000%, 07/15/2046 | | | 454 | | | | 377 | |
3.950%, 03/25/2051 | | | 1,596 | | | | 1,284 | |
3.900%, 05/15/2035 | | | 1,615 | | | | 1,493 | |
3.800%, 11/15/2037 | | | 2,255 | | | | 1,995 | |
3.600%, 04/01/2040 | | | 130 | | | | 108 | |
3.600%, 04/01/2050 | | | 140 | | | | 107 | |
2.950%, 11/15/2024 | | | 315 | | | | 314 | |
2.950%, 04/01/2030 | | | 860 | | | | 800 | |
2.875%, 03/25/2031 | | | 1,040 | | | | 946 | |
1.650%, 03/25/2026 | | | 890 | | | | 856 | |
PayPal Holdings | | | | | | | | |
2.300%, 06/01/2030 | | | 1,685 | | | | 1,527 | |
1.650%, 06/01/2025 | | | 400 | | | | 393 | |
Prosus | | | | | | | | |
3.832%, 02/08/2051 (D) | | | 320 | | | | 225 | |
Prosus MTN | | | | | | | | |
4.027%, 08/03/2050 (D) | | | 730 | | | | 534 | |
3.061%, 07/13/2031 (D) | | | 2,100 | | | | 1,853 | |
Roper Technologies | | | | | | | | |
1.000%, 09/15/2025 | | | 420 | | | | 407 | |
Salesforce | | | | | | | | |
3.700%, 04/11/2028 | | | 670 | | | | 666 | |
Sprint Capital | | | | | | | | |
8.750%, 03/15/2032 | | | 1,435 | | | | 1,779 | |
Texas Instruments | | | | | | | | |
5.150%, 02/08/2054 | | | 264 | | | | 271 | |
5.000%, 03/14/2053 | | | 576 | | | | 581 | |
4.150%, 05/15/2048 | | | 300 | | | | 267 | |
1.750%, 05/04/2030 | | | 290 | | | | 256 | |
TSMC Global | | | | | | | | |
1.375%, 09/28/2030 (D) | | | 675 | | | | 572 | |
Visa | | | | | | | | |
4.300%, 12/14/2045 | | | 690 | | | | 643 | |
3.650%, 09/15/2047 | | | 235 | | | | 196 | |
Vontier | | | | | | | | |
1.800%, 04/01/2026 | | | 495 | | | | 474 | |
| | | | | | | | | |
| | | | | | | | 53,147 | |
| | | | | | | | | |
Materials — 0.8% | | | | |
Amcor Finance USA | | | | | | | | |
3.625%, 04/28/2026 | | | 2,425 | | | | 2,392 | |
Anglo American Capital | | | | | | | | |
5.750%, 04/05/2034 (D) | | | 910 | | | | 950 | |
4.750%, 04/10/2027 (D) | | | 720 | | | | 723 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.000%, 09/11/2027 (D) | | $ | 200 | | | $ | 197 | |
ArcelorMittal | | | | | | | | |
7.000%, 10/15/2039 | | | 120 | | | | 136 | |
6.350%, 06/17/2054 | | | 458 | | | | 478 | |
Ball | | | | | | | | |
3.125%, 09/15/2031 | | | 370 | | | | 329 | |
Barrick North America Finance | | | | | | | | |
5.750%, 05/01/2043 | | | 290 | | | | 308 | |
5.700%, 05/30/2041 | | | 509 | | | | 537 | |
Berry Global | | | | | | | | |
5.650%, 01/15/2034 (D) | | | 450 | | | | 462 | |
1.650%, 01/15/2027 | | | 2,985 | | | | 2,802 | |
BHP Billiton Finance USA | | | | | | | | |
5.000%, 09/30/2043 | | | 410 | | | | 411 | |
4.125%, 02/24/2042 | | | 40 | | | | 36 | |
Celanese US Holdings | | | | | | | | |
6.550%, 11/15/2030 | | | 1,836 | | | | 1,979 | |
6.379%, 07/15/2032 | | | 608 | | | | 650 | |
6.050%, 03/15/2025 | | | 345 | | | | 346 | |
Dow Chemical | | | | | | | | |
5.600%, 02/15/2054 | | | 396 | | | | 409 | |
5.250%, 11/15/2041 | | | 25 | | | | 25 | |
4.800%, 05/15/2049 | | | 360 | | | | 328 | |
DuPont de Nemours | | | | | | | | |
4.493%, 11/15/2025 | | | 830 | | | | 829 | |
First Quantum Minerals | | | | | | | | |
9.375%, 03/01/2029 (D) | | | 200 | | | | 212 | |
6.875%, 10/15/2027 (D) | | | 220 | | | | 218 | |
Freeport-McMoRan | | | | | | | | |
5.450%, 03/15/2043 | | | 785 | | | | 788 | |
4.625%, 08/01/2030 | | | 180 | | | | 180 | |
4.550%, 11/14/2024 | | | 40 | | | | 40 | |
Glencore Funding | | | | | | | | |
5.893%, 04/04/2054 (D) | | | 110 | | | | 115 | |
5.634%, 04/04/2034 (D) | | | 435 | | | | 454 | |
4.000%, 03/27/2027 (D) | | | 1,200 | | | | 1,189 | |
3.875%, 10/27/2027 (D) | | | 220 | | | | 217 | |
International Flavors & Fragrances | | | | | | | | |
5.000%, 09/26/2048 | | | 640 | | | | 589 | |
4.375%, 06/01/2047 | | | 230 | | | | 193 | |
3.468%, 12/01/2050 (D) | | | 55 | | | | 39 | |
3.268%, 11/15/2040 (D) | | | 535 | | | | 410 | |
2.300%, 11/01/2030 (D) | | | 1,425 | | | | 1,250 | |
1.832%, 10/15/2027 (D) | | | 130 | | | | 121 | |
LYB International Finance III | | | | | | | | |
5.500%, 03/01/2034 | | | 564 | | | | 586 | |
3.625%, 04/01/2051 | | | 535 | | | | 399 | |
MEGlobal BV MTN | | | | | | | | |
4.250%, 11/03/2026 (D) | | | 680 | | | | 671 | |
Newmont | | | | | | | | |
5.350%, 03/15/2034 | | | 386 | | | | 405 | |
OCP | | | | | | | | |
7.500%, 05/02/2054 (D) | | | 230 | | | | 250 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
6.750%, 05/02/2034 (D) | | $ | 1,510 | | | $ | 1,621 | |
5.125%, 06/23/2051 (D) | | | 360 | | | | 293 | |
4.500%, 10/22/2025 (D) | | | 400 | | | | 396 | |
3.750%, 06/23/2031 (D) | | | 410 | | | | 367 | |
Orbia Advance | | | | | | | | |
2.875%, 05/11/2031 (D) | | | 780 | | | | 660 | |
1.875%, 05/11/2026 (D) | | | 820 | | | | 776 | |
Sonoco Products | | | | | | | | |
5.000%, 09/01/2034 | | | 327 | | | | 322 | |
Southern Copper | | | | | | | | |
5.250%, 11/08/2042 | | | 2,620 | | | | 2,558 | |
Suzano Austria GmbH | | | | | | | | |
3.750%, 01/15/2031 | | | 1,280 | | | | 1,180 | |
Teck Resources | | | | | | | | |
6.250%, 07/15/2041 | | | 5 | | | | 5 | |
6.000%, 08/15/2040 | | | 30 | | | | 31 | |
| | | | | | | | | |
| | | | | | | | 30,862 | |
| | | | | | | | | |
Real Estate — 0.8% | | | | |
Agree | | | | | | | | |
2.600%, 06/15/2033 | | | 111 | | | | 92 | |
2.000%, 06/15/2028 | | | 408 | | | | 373 | |
American Assets Trust | | | | | | | | |
3.375%, 02/01/2031 | | | 1,370 | | | | 1,191 | |
American Homes 4 Rent | | | | | | | | |
5.500%, 07/15/2034 | | | 534 | | | | 552 | |
4.300%, 04/15/2052 | | | 697 | | | | 577 | |
3.625%, 04/15/2032 | | | 1,469 | | | | 1,358 | |
American Tower | | | | | | | | |
5.650%, 03/15/2033 | | | 1,143 | | | | 1,208 | |
5.550%, 07/15/2033 | | | 1,280 | | | | 1,341 | |
2.700%, 04/15/2031 | | | 1,900 | | | | 1,696 | |
1.875%, 10/15/2030 | | | 880 | | | | 758 | |
AvalonBay Communities MTN | | | | | | | | |
2.450%, 01/15/2031 | | | 505 | | | | 451 | |
Boston Properties | | | | | | | | |
3.400%, 06/21/2029 | | | 720 | | | | 673 | |
Brandywine Operating Partnership | | | | | | | | |
3.950%, 11/15/2027 | | | 17 | | | | 16 | |
Brixmor Operating Partnership | | | | | | | | |
2.500%, 08/16/2031 | | | 431 | | | | 374 | |
Camden Property Trust | | | | | | | | |
2.800%, 05/15/2030 | | | 265 | | | | 245 | |
Crown Castle | | | | | | | | |
5.800%, 03/01/2034 | | | 809 | | | | 858 | |
5.200%, 09/01/2034 | | | 544 | | | | 551 | |
2.900%, 04/01/2041 | | | 239 | | | | 177 | |
2.100%, 04/01/2031 | | | 443 | | | | 379 | |
DOC DR | | | | | | | | |
3.950%, 01/15/2028 | | | 30 | | | | 30 | |
Equinix | | | | | | | | |
3.900%, 04/15/2032 | | | 1,715 | | | | 1,642 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
ERP Operating | | | | | | | | |
4.650%, 09/15/2034 | | $ | 355 | | | $ | 353 | |
Essex Portfolio | | | | | | | | |
5.500%, 04/01/2034 | | | 275 | | | | 286 | |
2.550%, 06/15/2031 | | | 232 | | | | 203 | |
Extra Space Storage | | | | | | | | |
3.900%, 04/01/2029 | | | 226 | | | | 221 | |
2.550%, 06/01/2031 | | | 260 | | | | 226 | |
2.400%, 10/15/2031 | | | 525 | | | | 452 | |
2.200%, 10/15/2030 | | | 371 | | | | 325 | |
GLP Capital | | | | | | | | |
5.375%, 04/15/2026 | | | 645 | | | | 647 | |
5.250%, 06/01/2025 | | | 80 | | | | 80 | |
4.000%, 01/15/2030 | | | 68 | | | | 65 | |
4.000%, 01/15/2031 | | | 50 | | | | 47 | |
Healthcare Realty Holdings | | | | | | | | |
3.625%, 01/15/2028 | | | 115 | | | | 110 | |
3.100%, 02/15/2030 | | | 1,010 | | | | 928 | |
2.050%, 03/15/2031 | | | 273 | | | | 225 | |
Hudson Pacific Properties | | | | | | | | |
4.650%, 04/01/2029 | | | 470 | | | | 390 | |
3.950%, 11/01/2027 | | | 1,173 | | | | 1,060 | |
3.250%, 01/15/2030 | | | 15 | | | | 12 | |
Invitation Homes Operating Partnership | | | | | | | | |
5.500%, 08/15/2033 | | | 189 | | | | 194 | |
4.875%, 02/01/2035 | | | 393 | | | | 388 | |
4.150%, 04/15/2032 | | | 589 | | | | 563 | |
Kimco Realty OP | | | | | | | | |
4.850%, 03/01/2035 | | | 355 | | | | 353 | |
LXP Industrial Trust | | | | | | | | |
6.750%, 11/15/2028 | | | 295 | | | | 316 | |
Mid-America Apartments | | | | | | | | |
5.300%, 02/15/2032 | | | 131 | | | | 136 | |
Realty Income | | | | | | | | |
5.625%, 10/13/2032 | | | 198 | | | | 210 | |
5.125%, 02/15/2034 | | | 565 | | | | 578 | |
4.900%, 07/15/2033 | | | 388 | | | | 392 | |
3.400%, 01/15/2030 | | | 270 | | | | 257 | |
2.850%, 12/15/2032 | | | 326 | | | | 285 | |
2.100%, 03/15/2028 | | | 253 | | | | 235 | |
Regency Centers | | | | | | | | |
5.250%, 01/15/2034 | | | 529 | | | | 546 | |
2.950%, 09/15/2029 | | | 617 | | | | 577 | |
Rexford Industrial Realty | | | | | | | | |
2.150%, 09/01/2031 | | | 512 | | | | 431 | |
Sabra Health Care | | | | | | | | |
3.900%, 10/15/2029 | | | 715 | | | | 677 | |
Service Properties Trust | | | | | | | | |
8.375%, 06/15/2029 | | | 350 | | | | 350 | |
Simon Property Group | | | | | | | | |
4.750%, 09/26/2034 | | | 500 | | | | 496 | |
Store Capital | | | | | | | | |
4.625%, 03/15/2029 | | | 288 | | | | 282 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.500%, 03/15/2028 | | $ | 259 | | | $ | 254 | |
2.750%, 11/18/2030 | | | 399 | | | | 349 | |
2.700%, 12/01/2031 | | | 157 | | | | 134 | |
Sun Communities Operating | | | | | | | | |
4.200%, 04/15/2032 | | | 586 | | | | 554 | |
VICI Properties | | | | | | | | |
4.950%, 02/15/2030 | | | 160 | | | | 161 | |
4.625%, 06/15/2025 (D) | | | 75 | | | | 75 | |
4.500%, 01/15/2028 (D) | | | 208 | | | | 205 | |
4.125%, 08/15/2030 (D) | | | 39 | | | | 37 | |
3.875%, 02/15/2029 (D) | | | 305 | | | | 292 | |
| | | | | | | | | |
| | | | | | | | 29,499 | |
| | | | | | | | | |
Utilities — 2.2% | | | | |
AEP Texas | | | | | | | | |
6.650%, 02/15/2033 | | | 500 | | | | 551 | |
AEP Transmission | | | | | | | | |
5.150%, 04/01/2034 | | | 2,230 | | | | 2,311 | |
Alabama Power | | | | | | | | |
3.700%, 12/01/2047 | | | 965 | | | | 780 | |
Alliant Energy Finance | | | | | | | | |
3.600%, 03/01/2032 (D) | | | 300 | | | | 272 | |
American Electric Power | | | | | | | | |
5.699%, 08/15/2025 | | | 875 | | | | 882 | |
American Transmission Systems | | | | | | | | |
2.650%, 01/15/2032 (D) | | | 1,383 | | | | 1,215 | |
Baltimore Gas and Electric | | | | | | | | |
2.250%, 06/15/2031 | | | 349 | | | | 307 | |
Berkshire Hathaway Energy | | | | | | | | |
2.850%, 05/15/2051 | | | 1,060 | | | | 717 | |
Boston Gas | | | | | | | | |
4.487%, 02/15/2042 (D) | | | 35 | | | | 31 | |
Brooklyn Union Gas | | | | | | | | |
6.415%, 07/18/2054 (D) | | | 1,100 | | | | 1,199 | |
6.388%, 09/15/2033 (D) | | | 200 | | | | 218 | |
CenterPoint Energy Houston Electric | | | | | | | | |
5.150%, 03/01/2034 | | | 2,200 | | | | 2,278 | |
3.600%, 03/01/2052 | | | 258 | | | | 200 | |
Chile Electricity Lux MPC Sarl | | | | | | | | |
6.010%, 01/20/2033 (D) | | | 854 | | | | 884 | |
Cleco Power | | | | | | | | |
6.000%, 12/01/2040 | | | 700 | | | | 735 | |
Comision Federal de Electricidad | | | | | | | | |
3.875%, 07/26/2033 (D) | | | 270 | | | | 228 | |
Consolidated Edison of New York | | | | | | | | |
5.700%, 05/15/2054 | | | 267 | | | | 289 | |
5.500%, 03/15/2034 | | | 667 | | | | 714 | |
5.375%, 05/15/2034 | | | 402 | | | | 427 | |
4.450%, 03/15/2044 | | | 805 | | | | 739 | |
3.950%, 04/01/2050 | | | 130 | | | | 111 | |
3.350%, 04/01/2030 | | | 180 | | | | 173 | |
3.200%, 12/01/2051 | | | 79 | | | | 56 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Constellation Energy Generation | | | | | | | | |
5.600%, 03/01/2028 | | $ | 935 | | | $ | 976 | |
Consumers 2023 Securitization Funding | | | | | | | | |
5.550%, 03/01/2028 | | | 623 | | | | 630 | |
Consumers Energy | | | | | | | | |
4.700%, 01/15/2030 | | | 407 | | | | 417 | |
DTE Electric | | | | | | | | |
3.650%, 03/01/2052 | | | 187 | | | | 149 | |
2.950%, 03/01/2050 | | | 408 | | | | 288 | |
DTE Energy | | | | | | | | |
5.850%, 06/01/2034 | | | 375 | | | | 402 | |
2.529%, 10/01/2024 (C) | | | 830 | | | | 830 | |
1.050%, 06/01/2025 | | | 1,055 | | | | 1,030 | |
Duke Energy | | | | | | | | |
3.500%, 06/15/2051 | | | 216 | | | | 160 | |
0.900%, 09/15/2025 | | | 705 | | | | 681 | |
Duke Energy Carolinas | | | | | | | | |
5.400%, 01/15/2054 | | | 262 | | | | 273 | |
5.350%, 01/15/2053 | | | 773 | | | | 798 | |
4.950%, 01/15/2033 | | | 1,050 | | | | 1,082 | |
4.250%, 12/15/2041 | | | 878 | | | | 796 | |
4.000%, 09/30/2042 | | | 385 | | | | 336 | |
3.550%, 03/15/2052 | | | 316 | | | | 243 | |
2.850%, 03/15/2032 | | | 434 | | | | 392 | |
2.550%, 04/15/2031 | | | 159 | | | | 143 | |
Duke Energy Florida | | | | | | | | |
5.875%, 11/15/2033 | | | 140 | | | | 153 | |
3.200%, 01/15/2027 | | | 295 | | | | 290 | |
2.400%, 12/15/2031 | | | 348 | | | | 305 | |
Duke Energy Indiana | | | | | | | | |
4.200%, 03/15/2042 | | | 30 | | | | 26 | |
2.750%, 04/01/2050 | | | 280 | | | | 184 | |
Duke Energy Ohio | | | | | | | | |
5.250%, 04/01/2033 | | | 990 | | | | 1,033 | |
Duke Energy Progress | | | | | | | | |
4.100%, 05/15/2042 | | | 425 | | | | 374 | |
2.500%, 08/15/2050 | | | 352 | | | | 223 | |
Electricite de France | | | | | | | | |
6.000%, 04/22/2064 (D) | | | 840 | | | | 853 | |
Entergy Arkansas | | | | | | | | |
5.150%, 01/15/2033 | | | 524 | | | | 545 | |
2.650%, 06/15/2051 | | | 314 | | | | 201 | |
Entergy Louisiana | | | | | | | | |
5.150%, 09/15/2034 | | | 220 | | | | 227 | |
Evergy Metro | | | | | | | | |
5.300%, 10/01/2041 | | | 100 | | | | 101 | |
Eversource Energy | | | | | | | | |
5.950%, 02/01/2029 | | | 3,520 | | | | 3,725 | |
5.950%, 07/15/2034 | | | 319 | | | | 343 | |
5.850%, 04/15/2031 | | | 531 | | | | 564 | |
Exelon | | | | | | | | |
5.625%, 06/15/2035 | | | 760 | | | | 807 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
FirstEnergy | | | | | | | | |
3.900%, 07/15/2027 | | $ | 940 | | | $ | 930 | |
1.600%, 01/15/2026 | | | 180 | | | | 174 | |
FirstEnergy Pennsylvania Electric | | | | | | | | |
5.200%, 04/01/2028 (D) | | | 269 | | | | 276 | |
5.150%, 03/30/2026 (D) | | | 262 | | | | 264 | |
4.300%, 01/15/2029 (D) | | | 410 | | | | 408 | |
3.250%, 03/15/2028 (D) | | | 340 | | | | 327 | |
FirstEnergy Transmission | | | | | | | | |
5.450%, 07/15/2044 (D) | | | 35 | | | | 35 | |
Florida Power & Light | | | | | | | | |
4.400%, 05/15/2028 | | | 1,275 | | | | 1,290 | |
Indiana Michigan Power | | | | | | | | |
4.550%, 03/15/2046 | | | 325 | | | | 294 | |
Interstate Power and Light | | | | | | | | |
5.700%, 10/15/2033 | | | 1,755 | | | | 1,867 | |
5.450%, 09/30/2054 | | | 1,140 | | | | 1,179 | |
Jersey Central Power & Light | | | | | | | | |
2.750%, 03/01/2032 (D) | | | 1,809 | | | | 1,584 | |
KeySpan Gas East | | | | | | | | |
5.994%, 03/06/2033 (D) | | | 55 | | | | 58 | |
3.586%, 01/18/2052 (D) | | | 2,595 | | | | 1,886 | |
2.742%, 08/15/2026 (D) | | | 1,025 | | | | 990 | |
Louisville Gas and Electric | | | | | | | | |
5.450%, 04/15/2033 | | | 1,120 | | | | 1,181 | |
MidAmerican Energy | | | | | | | | |
4.800%, 09/15/2043 | | | 830 | | | | 803 | |
2.700%, 08/01/2052 | | | 303 | | | | 199 | |
Mid-Atlantic Interstate Transmission | | | | | | | | |
4.100%, 05/15/2028 (D) | | | 162 | | | | 161 | |
Mississippi Power | | | | | | | | |
4.250%, 03/15/2042 | | | 178 | | | | 157 | |
3.100%, 07/30/2051 | | | 419 | | | | 290 | |
National Rural Utilities Cooperative Finance MTN | | | | | | | | |
1.875%, 02/07/2025 | | | 275 | | | | 272 | |
NextEra Energy Capital Holdings | | | | | | | | |
6.051%, 03/01/2025 | | | 1,095 | | | | 1,100 | |
5.250%, 03/15/2034 | | | 1,015 | | | | 1,054 | |
NiSource | | | | | | | | |
5.800%, 02/01/2042 | | | 149 | | | | 153 | |
5.350%, 04/01/2034 | | | 1,240 | | | | 1,287 | |
Northern States Power | | | | | | | | |
5.400%, 03/15/2054 | | | 211 | | | | 223 | |
NSTAR Electric | | | | | | | | |
5.400%, 06/01/2034 | | | 403 | | | | 425 | |
Oncor Electric Delivery | | | | | | | | |
5.550%, 06/15/2054 (D) | | | 453 | | | | 482 | |
Pacific Gas and Electric | | | | | | | | |
6.100%, 01/15/2029 | | | 1,540 | | | | 1,626 | |
5.800%, 05/15/2034 | | | 480 | | | | 507 | |
4.950%, 07/01/2050 | | | 1,116 | | | | 1,015 | |
4.750%, 02/15/2044 | | | 118 | | | | 105 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.200%, 06/01/2041 | | $ | 203 | | | $ | 171 | |
3.950%, 12/01/2047 | | | 790 | | | | 622 | |
3.500%, 08/01/2050 | | | 262 | | | | 190 | |
3.300%, 08/01/2040 | | | 60 | | | | 47 | |
2.500%, 02/01/2031 | | | 1,595 | | | | 1,397 | |
2.100%, 08/01/2027 | | | 1,705 | | | | 1,598 | |
PacifiCorp | | | | | | | | |
2.900%, 06/15/2052 | | | 1,330 | | | | 860 | |
PECO Energy | | | | | | | | |
4.150%, 10/01/2044 | | | 900 | | | | 800 | |
2.850%, 09/15/2051 | | | 421 | | | | 285 | |
Perusahaan Perseroan Persero Perusahaan Listrik Negara MTN | | | | | | | | |
6.150%, 05/21/2048 (D) | | | 500 | | | | 525 | |
Piedmont Natural Gas | | | | | | | | |
5.400%, 06/15/2033 | | | 250 | | | | 262 | |
3.500%, 06/01/2029 | | | 736 | | | | 712 | |
3.350%, 06/01/2050 | | | 1,396 | | | | 1,008 | |
PPL Capital Funding | | | | | | | | |
5.250%, 09/01/2034 | | | 274 | | | | 282 | |
Public Service Electric and Gas MTN | | | | | | | | |
5.125%, 03/15/2053 | | | 545 | | | | 555 | |
2.700%, 05/01/2050 | | | 163 | | | | 110 | |
2.050%, 08/01/2050 | | | 98 | | | | 57 | |
1.900%, 08/15/2031 | | | 600 | | | | 511 | |
Public Service Enterprise Group | | | | | | | | |
5.450%, 04/01/2034 | | | 449 | | | | 468 | |
Public Service of Colorado | | | | | | | | |
5.250%, 04/01/2053 | | | 1,090 | | | | 1,099 | |
Public Service of Oklahoma | | | | | | | | |
3.150%, 08/15/2051 | | | 236 | | | | 164 | |
Southern California Edison | | | | | | | | |
4.125%, 03/01/2048 | | | 689 | | | | 582 | |
4.050%, 03/15/2042 | | | 5 | | | | 4 | |
3.700%, 08/01/2025 | | | 99 | | | | 98 | |
Southern California Gas | | | | | | | | |
2.550%, 02/01/2030 | | | 900 | | | | 825 | |
Southern Gas Capital | | | | | | | | |
5.150%, 09/15/2032 | | | 500 | | | | 518 | |
4.400%, 05/30/2047 | | | 500 | | | | 434 | |
Southwestern Electric Power | | | | | | | | |
5.300%, 04/01/2033 | | | 925 | | | | 954 | |
3.250%, 11/01/2051 | | | 400 | | | | 277 | |
1.650%, 03/15/2026 | | | 1,575 | | | | 1,519 | |
Southwestern Public Service | | | | | | | | |
3.750%, 06/15/2049 | | | 845 | | | | 663 | |
Texas Electric Market Stabilization Funding | | | | | | | | |
4.265%, 08/01/2034 (D) | | | 922 | | | | 922 | |
Union Electric | | | | | | | | |
5.200%, 04/01/2034 | | | 1,025 | | | | 1,071 | |
Virginia Electric and Power | | | | | | | | |
5.550%, 08/15/2054 | | | 470 | | | | 494 | |
5.050%, 08/15/2034 | | | 274 | | | | 281 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.000%, 04/01/2033 | | $ | 1,041 | | | $ | 1,067 | |
5.000%, 01/15/2034 | | | 870 | | | | 891 | |
4.650%, 08/15/2043 | | | 585 | | | | 551 | |
2.950%, 11/15/2051 | | | 349 | | | | 238 | |
Virginia Power Fuel Securitization | | | | | | | | |
5.088%, 05/01/2027 | | | 485 | | | | 492 | |
Wisconsin Electric Power | | | | | | | | |
1.700%, 06/15/2028 | | | 255 | | | | 234 | |
| | | | | | | | | |
| | | | | | | | 81,337 | |
| | | | | | | | | |
Total Corporate Obligations | | | | | | | | |
(Cost $998,067) ($ Thousands) | | | | | | | 977,553 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
U.S. TREASURY OBLIGATIONS — 26.7% |
U.S. Treasury Bills | | | | | | | | |
4.685%, 10/29/2024 (F) | | | 11,950 | | | | 11,906 | |
U.S. Treasury Bonds | | | | | | | | |
4.750%, 11/15/2043 | | | 5,430 | | | | 5,857 | |
4.750%, 11/15/2053 | | | 11,610 | | | | 12,824 | |
4.625%, 05/15/2044 | | | 11,345 | | | | 12,024 | |
4.625%, 05/15/2054 | | | 11,957 | | | | 12,970 | |
4.500%, 02/15/2044 | | | 620 | | | | 647 | |
4.375%, 08/15/2043 | | | 720 | | | | 740 | |
4.250%, 02/15/2054 (G) | | | 11,510 | | | | 11,729 | |
4.250%, 08/15/2054 | | | 50,701 | | | | 51,770 | |
4.125%, 08/15/2044 | | | 77,994 | | | | 77,385 | |
4.125%, 08/15/2053 | | | 3,020 | | | | 3,007 | |
3.875%, 05/15/2043 | | | 1,210 | | | | 1,165 | |
3.625%, 08/31/2029 | | | 5,439 | | | | 5,455 | |
3.625%, 08/15/2043 | | | 5,310 | | | | 4,918 | |
3.625%, 02/15/2044 | | | 50 | | | | 46 | |
3.375%, 11/15/2048 | | | 14,638 | | | | 12,686 | |
3.125%, 08/15/2044 | | | 280 | | | | 239 | |
3.125%, 05/15/2048 | | | 9,279 | | | | 7,707 | |
3.000%, 02/15/2049 | | | 2,600 | | | | 2,105 | |
2.875%, 05/15/2049 | | | 3,588 | | | | 2,832 | |
2.875%, 05/15/2052 | | | 5,660 | | | | 4,433 | |
2.375%, 02/15/2042 | | | 5,491 | | | | 4,277 | |
2.375%, 11/15/2049 | | | 9,759 | | | | 6,937 | |
2.375%, 05/15/2051 | | | 12,200 | | | | 8,607 | |
2.250%, 05/15/2041 | | | 12,562 | | | | 9,736 | |
2.250%, 08/15/2049 | | | 5,096 | | | | 3,530 | |
2.000%, 11/15/2041 | | | 37,378 | | | | 27,482 | |
2.000%, 02/15/2050 | | | 1,817 | | | | 1,184 | |
2.000%, 08/15/2051 | | | 6,600 | | | | 4,251 | |
1.875%, 02/15/2041 | | | 8,933 | | | | 6,550 | |
1.875%, 02/15/2051 | | | 2,570 | | | | 1,610 | |
1.875%, 11/15/2051 | | | 8,331 | | | | 5,190 | |
1.750%, 08/15/2041 (G) | | | 43,832 | | | | 31,078 | |
1.625%, 11/15/2050 | | | 6,820 | | | | 4,012 | |
1.375%, 11/15/2040 | | | 3,313 | | | | 2,248 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
U.S. TREASURY OBLIGATIONS (continued) |
1.375%, 08/15/2050 | | $ | 2,500 | | | $ | 1,377 | |
1.125%, 05/15/2040 | | | 869 | | | | 574 | |
0.000%, 05/15/2049 (A) | | | 5,380 | | | | 1,891 | |
U.S. Treasury Inflation Protected Securities | | | | | | | | |
1.875%, 07/15/2034 | | | 10,485 | | | | 10,741 | |
1.125%, 01/15/2033 | | | 2,503 | | | | 2,415 | |
U.S. Treasury Notes | | | | | | | | |
4.875%, 11/30/2025 | | | 5,240 | | | | 5,297 | |
4.750%, 07/31/2025 | | | 40 | | | | 40 | |
4.625%, 02/28/2026 | | | 5,035 | | | | 5,091 | |
4.625%, 11/15/2026 | | | 6,905 | | | | 7,043 | |
4.500%, 11/30/2024 | | | 42 | | | | 42 | |
4.500%, 05/15/2027 | | | 4,355 | | | | 4,453 | |
4.375%, 07/31/2026 | | | 5,170 | | | | 5,232 | |
4.375%, 07/15/2027 | | | 2,975 | | | | 3,037 | |
4.375%, 08/31/2028 | | | 639 | | | | 657 | |
4.375%, 11/30/2030 | | | 870 | | | | 905 | |
4.250%, 10/15/2025 | | | 3,430 | | | | 3,440 | |
4.250%, 01/31/2026 | | | 5,435 | | | | 5,464 | |
4.250%, 02/28/2031 | | | 47,940 | | | | 49,579 | |
4.125%, 02/15/2027 | | | 7,055 | | | | 7,137 | |
4.125%, 08/31/2030 | | | 80 | | | | 82 | |
4.000%, 07/31/2029 | | | 820 | | | | 835 | |
4.000%, 02/15/2034 | | | 410 | | | | 417 | |
3.875%, 08/15/2034 | | | 85,941 | | | | 86,545 | |
3.750%, 08/31/2026 | | | 10,529 | | | | 10,544 | |
3.750%, 08/15/2027 | | | 5,338 | | | | 5,363 | |
3.750%, 12/31/2028 | | | 260 | | | | 262 | |
3.750%, 08/31/2031 | | | 24 | | | | 24 | |
3.625%, 03/31/2030 | | | 1,581 | | | | 1,582 | |
3.625%, 09/30/2031 | | | 15,465 | | | | 15,436 | |
3.500%, 09/30/2026 | | | 65,333 | | | | 65,152 | |
3.500%, 09/30/2029 | | | 188,374 | | | | 187,815 | |
3.375%, 09/15/2027 | | | 54,614 | | | | 54,337 | |
2.875%, 04/30/2029 | | | 2,306 | | | | 2,238 | |
2.625%, 07/31/2029 | | | 11,827 | | | | 11,327 | |
2.375%, 05/15/2027 | | | 10,586 | | | | 10,265 | |
2.375%, 03/31/2029 | | | 586 | | | | 557 | |
1.875%, 02/28/2027 | | | 338 | | | | 325 | |
1.375%, 10/31/2028 | | | 3,346 | | | | 3,067 | |
1.250%, 04/30/2028 | | | 8,069 | | | | 7,441 | |
1.250%, 06/30/2028 | | | 1,482 | | | | 1,362 | |
1.250%, 08/15/2031 | | | 30 | | | | 26 | |
1.125%, 08/31/2028 | | | 4,467 | | | | 4,069 | |
1.000%, 07/31/2028 | | | 8,662 | | | | 7,867 | |
0.750%, 03/31/2026 | | | 1,496 | | | | 1,431 | |
0.750%, 01/31/2028 | | | 2,009 | | | | 1,832 | |
0.500%, 10/31/2027 | | | 1,826 | | | | 1,663 | |
0.250%, 08/31/2025 | | | 16,070 | | | | 15,526 | |
0.250%, 09/30/2025 | | | 2,040 | | | | 1,966 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
U.S. TREASURY OBLIGATIONS (continued) |
0.250%, 10/31/2025 | | $ | 1,010 | | | $ | 971 | |
| | | | | |
Total U.S. Treasury Obligations | | | | |
(Cost $986,326) ($ Thousands) | | | 973,879 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
ASSET-BACKED SECURITIES — 8.7% |
Automotive — 1.8% | | | | |
| | | | | |
Ally Auto Receivables Trust, Ser 2022-3, Cl A4 | | | | | | | | |
5.070%, 10/16/2028 | | | 336 | | | | 340 | |
Ally Auto Receivables Trust, Ser 2024-2, Cl A3 | | | | | | | | |
4.140%, 07/16/2029 | | | 969 | | | | 969 | |
Ally Auto Receivables Trust, Ser 2024-2, Cl A4 | | | | | | | | |
4.140%, 10/15/2030 | | | 377 | | | | 376 | |
AmeriCredit Automobile Receivables Trust, Ser 2022-2, Cl A3 | | | | | | | | |
4.380%, 04/18/2028 | | | 453 | | | | 452 | |
Americredit Automobile Receivables Trust, Ser 2023-1, Cl A3 | | | | | | | | |
5.620%, 11/18/2027 | | | 295 | | | | 298 | |
AmeriCredit Automobile Receivables Trust, Ser 2023-2, Cl A3 | | | | | | | | |
5.810%, 05/18/2028 | | | 586 | | | | 597 | |
ARI Fleet Lease Trust, Ser 2022-A, Cl A2 | | | | | | | | |
3.120%, 01/15/2031 (D) | | | 43 | | | | 43 | |
ARI Fleet Lease Trust, Ser 2024-A, Cl A2 | | | | | | | | |
5.300%, 11/15/2032 (D) | | | 850 | | | | 856 | |
Avis Budget Rental Car Funding AESOP, Ser 2024-3A, Cl A | | | | | | | | |
5.230%, 12/20/2030 (D) | | | 480 | | | | 493 | |
Avis Budget Rental Car Funding AESOP, Ser 2024-3A, Cl C | | | | | | | | |
6.110%, 12/20/2030 (D) | | | 2,400 | | | | 2,443 | |
BMW Vehicle Lease Trust, Ser 2023-1, Cl A3 | | | | | | | | |
5.160%, 11/25/2025 | | | 120 | | | | 120 | |
BMW Vehicle Owner Trust, Ser 2023-A, Cl A3 | | | | | | | | |
5.470%, 02/25/2028 | | | 320 | | | | 324 | |
Capital One Prime Auto Receivables Trust, Ser 2022-2, Cl A3 | | | | | | | | |
3.660%, 05/17/2027 | | | 928 | | | | 921 | |
CarMax Auto Owner Trust, Ser 2024-1, Cl A3 | | | | | | | | |
4.920%, 10/16/2028 | | | 695 | | | | 704 | |
Chase Auto Owner Trust, Ser 2022-AA, Cl A4 | | | | | | | | |
3.990%, 03/27/2028 (D) | | | 439 | | | | 437 | |
Enterprise Fleet Financing, Ser 2023-3, Cl A2 | | | | | | | | |
6.400%, 03/20/2030 (D) | | | 675 | | | | 690 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Enterprise Fleet Financing, Ser 2024-1, Cl A2 | | | | | | | | |
5.230%, 03/20/2030 (D) | | $ | 190 | | | $ | 192 | |
Enterprise Fleet Financing, Ser 2024-3, Cl A2 | | | | | | | | |
5.310%, 04/20/2027 (D) | | | 555 | | | | 561 | |
Enterprise Fleet Funding, Ser 2021-1, Cl A3 | | | | | | | | |
0.700%, 12/21/2026 (D) | | | 221 | | | | 221 | |
Ford Credit Auto Lease Trust, Ser 2024-A, Cl A4 | | | | | | | | |
5.050%, 06/15/2027 | | | 292 | | | | 295 | |
Ford Credit Auto Owner Trust, Ser 2022-D, Cl A4 | | | | | | | | |
5.300%, 03/15/2028 | | | 307 | | | | 313 | |
Ford Credit Auto Owner Trust, Ser 2023-2, Cl B | | | | | | | | |
5.920%, 02/15/2036 (D) | | | 1,230 | | | | 1,287 | |
Ford Credit Auto Owner Trust, Ser 2023-2, Cl C | | | | | | | | |
6.160%, 02/15/2036 (D) | | | 1,280 | | | | 1,332 | |
Ford Credit Auto Owner Trust, Ser 2023-A, Cl A3 | | | | | | | | |
4.650%, 02/15/2028 | | | 1,286 | | | | 1,289 | |
Ford Credit Auto Owner Trust, Ser 2024-1, Cl A | | | | | | | | |
4.870%, 08/15/2036 (C)(D) | | | 1,420 | | | | 1,450 | |
GM Financial Automobile Leasing Trust, Ser 2023-2, Cl A4 | | | | | | | | |
5.090%, 05/20/2027 | | | 417 | | | | 419 | |
GM Financial Automobile Leasing Trust, Ser 2023-3, Cl A4 | | | | | | | | |
5.440%, 08/20/2027 | | | 264 | | | | 268 | |
GM Financial Consumer Automobile Receivables Trust, Ser 2022-4, Cl A3 | | | | | | | | |
4.820%, 08/16/2027 | | | 479 | | | | 480 | |
GM Financial Revolving Receivables Trust, Ser 2024-1, Cl A | | | | | | | | |
4.980%, 12/11/2036 (D) | | | 419 | | | | 430 | |
GM Financial Revolving Receivables Trust, Ser 2024-2, Cl A | | | | | | | | |
4.520%, 03/11/2037 (D) | | | 680 | | | | 686 | |
Hertz Vehicle Financing III, Ser 2023-3A, Cl A | | | | | | | | |
5.940%, 02/25/2028 (D) | | | 460 | | | | 472 | |
Honda Auto Receivables Owner Trust, Ser 2022-2, Cl A3 | | | | | | | | |
3.730%, 07/20/2026 | | | 401 | | | | 399 | |
Honda Auto Receivables Owner Trust, Ser 2024-2, Cl A3 | | | | | | | | |
5.270%, 11/20/2028 | | | 1,209 | | | | 1,235 | |
Honda Auto Receivables Owner Trust, Ser 2024-3, Cl A3 | | | | | | | | |
4.570%, 03/21/2029 | | | 1,975 | | | | 1,994 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Honda Auto Receivables Owner Trust, Ser 2024-3, Cl A4 | | | | | | | | |
4.510%, 11/21/2030 | | $ | 311 | | | $ | 315 | |
Hyundai Auto Lease Securitization Trust, Ser 2022-C, Cl A3 | | | | | | | | |
4.380%, 10/15/2025 (D) | | | 221 | | | | 221 | |
Hyundai Auto Lease Securitization Trust, Ser 2023-B, Cl A4 | | | | | | | | |
5.170%, 04/15/2027 (D) | | | 663 | | | | 667 | |
Hyundai Auto Lease Securitization Trust, Ser 2023-C, Cl A4 | | | | | | | | |
5.840%, 09/15/2027 (D) | | | 632 | | | | 644 | |
Hyundai Auto Lease Securitization Trust, Ser 2024-C, Cl A3 | | | | | | | | |
4.620%, 04/17/2028 (D) | | | 1,820 | | | | 1,839 | |
Hyundai Auto Lease Securitization Trust, Ser 2024-C, Cl A4 | | | | | | | | |
4.650%, 09/15/2028 (D) | | | 641 | | | | 646 | |
Hyundai Auto Receivables Trust, Ser 2021-C, Cl A4 | | | | | | | | |
1.030%, 12/15/2027 | | | 566 | | | | 550 | |
Hyundai Auto Receivables Trust, Ser 2022-A, Cl A3 | | | | | | | | |
2.220%, 10/15/2026 | | | 500 | | | | 495 | |
Hyundai Auto Receivables Trust, Ser 2022-A, Cl A4 | | | | | | | | |
2.350%, 04/17/2028 | | | 361 | | | | 352 | |
Hyundai Auto Receivables Trust, Ser 2023-A, Cl A4 | | | | | | | | |
4.480%, 07/17/2028 | | | 604 | | | | 606 | |
Hyundai Auto Receivables Trust, Ser 2023-B, Cl A3 | | | | | | | | |
5.480%, 04/17/2028 | | | 342 | | | | 347 | |
JPMorgan Chase Bank, Ser 2021-2, Cl B | | | | | | | | |
0.889%, 12/26/2028 (D) | | | 19 | | | | 18 | |
JPMorgan Chase Bank, Ser 2021-3, Cl B | | | | | | | | |
0.760%, 02/26/2029 (D) | | | 181 | | | | 178 | |
Mercedes-Benz Auto Receivables Trust, Ser 2022-1, Cl A4 | | | | | | | | |
5.250%, 02/15/2029 | | | 711 | | | | 725 | |
Nissan Auto Lease Trust, Ser 2023-B, Cl A4 | | | | | | | | |
5.610%, 11/15/2027 | | | 586 | | | | 593 | |
Nissan Auto Receivables Owner Trust, Ser 2022-B, Cl A4 | | | | | | | | |
4.450%, 11/15/2029 | | | 434 | | | | 436 | |
Nissan Auto Receivables Owner Trust, Ser 2024-A, Cl A3 | | | | | | | | |
5.280%, 12/15/2028 | | | 1,295 | | | | 1,323 | |
OCCU Auto Receivables Trust, Ser 2023-1A, Cl A3 | | | | | | | | |
6.230%, 06/15/2028 (D) | | | 645 | | | | 657 | |
PenFed Auto Receivables Owner Trust, Ser 2022-A, Cl A3 | | | | | | | | |
3.960%, 04/15/2026 (D) | | | 183 | | | | 182 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
PenFed Auto Receivables Owner Trust, Ser 2022-A, Cl A4 | | | | | | | | |
4.180%, 12/15/2028 (D) | | $ | 318 | | | $ | 317 | |
Santander Drive Auto Receivables Trust, Ser 2022-4, Cl A3 | | | | | | | | |
4.140%, 02/16/2027 | | | 113 | | | | 113 | |
Santander Drive Auto Receivables Trust, Ser 2022-6, Cl A3 | | | | | | | | |
4.490%, 11/16/2026 | | | 157 | | | | 157 | |
Santander Drive Auto Receivables Trust, Ser 2022-7, Cl A3 | | | | | | | | |
5.750%, 04/15/2027 | | | 176 | | | | 176 | |
Santander Drive Auto Receivables Trust, Ser 2024-3, Cl A3 | | | | | | | | |
5.630%, 01/16/2029 | | | 632 | | | | 643 | |
Santander Drive Auto Receivables Trust, Ser 2024-4, Cl A3 | | | | | | | | |
4.850%, 01/16/2029 | | | 603 | | | | 606 | |
Santander Retail Auto Lease Trust, Ser 2022-B, Cl A3 | | | | | | | | |
3.280%, 11/20/2025 (D) | | | 123 | | | | 123 | |
SBNA Auto Lease Trust, Ser 2024-A, Cl A3 | | | | | | | | |
5.390%, 11/20/2026 (D) | | | 893 | | | | 901 | |
SBNA Auto Lease Trust, Ser 2024-A, Cl A4 | | | | | | | | |
5.240%, 01/22/2029 (D) | | | 799 | | | | 809 | |
SBNA Auto Lease Trust, Ser 2024-B, Cl A3 | | | | | | | | |
5.560%, 11/22/2027 (D) | | | 915 | | | | 931 | |
SBNA Auto Lease Trust, Ser 2024-C, Cl A3 | | | | | | | | |
4.560%, 02/22/2028 (D) | | | 1,401 | | | | 1,404 | |
SBNA Auto Lease Trust, Ser 2024-C, Cl A4 | | | | | | | | |
4.420%, 03/20/2029 (D) | | | 365 | | | | 366 | |
SBNA Auto Receivables Trust, Ser 2024-A, Cl A3 | | | | | | | | |
5.320%, 12/15/2028 (D) | | | 2,067 | | | | 2,088 | |
SBNA Auto Receivables Trust, Ser 2024-A, Cl A4 | | | | | | | | |
5.210%, 04/16/2029 (D) | | | 169 | | | | 172 | |
SCCU Auto Receivables Trust, Ser 2024-1A, Cl A2 | | | | | | | | |
5.450%, 12/15/2027 (D) | | | 820 | | | | 824 | |
SCCU Auto Receivables Trust, Ser 2024-1A, Cl A3 | | | | | | | | |
5.110%, 06/15/2029 (D) | | | 520 | | | | 527 | |
SFS Auto Receivables Securitization Trust, Ser 2024-1A, Cl A3 | | | | | | | | |
4.950%, 05/21/2029 (D) | | | 872 | | | | 881 | |
SFS Auto Receivables Securitization Trust, Ser 2024-1A, Cl A4 | | | | | | | | |
4.940%, 01/21/2031 (D) | | | 148 | | | | 150 | |
SFS Auto Receivables Securitization Trust, Ser 2024-2A, Cl A3 | | | | | | | | |
5.330%, 11/20/2029 (D) | | | 547 | | | | 560 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Toyota Auto Loan Extended Note Trust, Ser 2020-1A, Cl A | | | | | | | | |
1.350%, 05/25/2033 (D) | | $ | 4,410 | | | $ | 4,316 | |
Toyota Auto Loan Extended Note Trust, Ser 2021-1A, Cl A | | | | | | | | |
1.070%, 02/27/2034 (D) | | | 2,920 | | | | 2,788 | |
Toyota Auto Loan Extended Note Trust, Ser 2023-1A, Cl A | | | | | | | | |
4.930%, 06/25/2036 (D) | | | 1,890 | | | | 1,938 | |
Toyota Auto Loan Extended Note Trust, Ser 2024-1A, Cl A | | | | | | | | |
5.160%, 11/25/2036 (D) | | | 3,886 | | | | 4,040 | |
Toyota Auto Receivables Owner Trust, Ser 2022-D, Cl A4 | | | | | | | | |
5.430%, 04/17/2028 | | | 389 | | | | 399 | |
Toyota Auto Receivables Owner Trust, Ser 2023-B, Cl A3 | | | | | | | | |
4.710%, 02/15/2028 | | | 774 | | | | 778 | |
Toyota Auto Receivables Owner Trust, Ser 2023-C, Cl A3 | | | | | | | | |
5.160%, 04/17/2028 | | | 895 | | | | 906 | |
Toyota Lease Owner Trust, Ser 2024-B, Cl A3 | | | | | | | | |
4.210%, 09/20/2027 (D) | | | 1,095 | | | | 1,096 | |
Veridian Auto Receivables Trust, Ser 2023-1A, Cl A3 | | | | | | | | |
5.560%, 03/15/2028 (D) | | | 1,195 | | | | 1,205 | |
Volkswagen Auto Loan Enhanced Trust, Ser 2023-1, Cl A3 | | | | | | | | |
5.020%, 06/20/2028 | | | 857 | | | | 866 | |
Wheels Fleet Lease Funding 1, Ser 2024-2A, Cl A1 | | | | | | | | |
4.870%, 06/21/2039 (D) | | | 700 | | | | 706 | |
World Omni Auto Receivables Trust, Ser 2024-B, Cl A3 | | | | | | | | |
5.270%, 09/17/2029 | | | 1,030 | | | | 1,056 | |
World Omni Automobile Lease Securitization Trust, Ser 2023-A, Cl A3 | | | | | | | | |
5.070%, 09/15/2026 | | | 440 | | | | 441 | |
World Omni Select Auto Trust, Ser 2023-A, Cl A2A | | | | | | | | |
5.920%, 03/15/2027 | | | 215 | | | | 215 | |
| | | | | | | | 66,678 | |
| | | | | | | | | |
Credit Cards — 0.7% | | | | |
| | | | | |
American Express Credit Account Master Trust, Ser 2022-2, Cl A | | | | | | | | |
3.390%, 05/15/2027 | | | 785 | | | | 779 | |
American Express Credit Account Master Trust, Ser 2023-4, Cl A | | | | | | | | |
5.150%, 09/15/2030 | | | 337 | | | | 351 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
American Express Credit Account Master Trust, Ser 2024-1, Cl A | | | | | | | | |
5.230%, 04/15/2029 | | $ | 1,325 | | | $ | 1,365 | |
American Express Credit Account Master Trust, Ser 2024-2, Cl A | | | | | | | | |
5.240%, 04/15/2031 | | | 3,920 | | | | 4,117 | |
American Express Credit Account Master Trust, Ser 2024-3, Cl A | | | | | | | | |
4.650%, 07/15/2029 | | | 2,065 | | | | 2,105 | |
BA Credit Card Trust, Ser 2023-A1, Cl A1 | | | | | | | | |
4.790%, 05/15/2028 | | | 320 | | | | 323 | |
BA Credit Card Trust, Ser 2023-A2, Cl A2 | | | | | | | | |
4.980%, 11/15/2028 | | | 3,736 | | | | 3,811 | |
BA Credit Card Trust, Ser 2024-A1, Cl A | | | | | | | | |
4.930%, 05/15/2029 | | | 1,622 | | | | 1,660 | |
CARDS II Trust, Ser 2024-1A, Cl A | | | | | | | | |
5.755%, SOFRRATE + 0.680%, 07/15/2029 (B)(D) | | | 1,735 | | | | 1,736 | |
Discover Card Execution Note Trust, Ser 2023-A1, Cl A | | | | | | | | |
4.310%, 03/15/2028 | | | 837 | | | | 838 | |
Discover Card Execution Note Trust, Ser 2023-A2, Cl A | | | | | | | | |
4.930%, 06/15/2028 | | | 2,639 | | | | 2,672 | |
Synchrony Card Funding, Ser 2023-A1, Cl A | | | | | | | | |
5.540%, 07/15/2029 | | | 1,382 | | | | 1,411 | |
Synchrony Card Funding, Ser 2024-A2, Cl A | | | | | | | | |
4.930%, 07/15/2030 | | | 199 | | | | 203 | |
WF Card Issuance Trust, Ser 2024-A1, Cl A | | | | | | | | |
4.940%, 02/15/2029 | | | 1,705 | | | | 1,741 | |
World Financial Network Credit Card Master Note Trust, Ser 2024-B, Cl A | | | | | | | | |
4.620%, 05/15/2031 | | | 544 | | | | 549 | |
World Financial Network Credit Card Master Trust, Ser 2024-A, Cl A | | | | | | | | |
5.470%, 02/15/2031 | | | 267 | | | | 275 | |
| | | | | | | | 23,936 | |
| | | | | | | | | |
Mortgage Related Securities — 0.3% | | | | |
| | | | | |
Accredited Mortgage Loan Trust, Ser 2007-1, Cl M2 | | | | | | | | |
5.239%, TSFR1M + 0.384%, 02/25/2037 (B) | | | 5,000 | | | | 4,689 | |
Aegis Asset-Backed Securities Mortgage Pass-Through Certificates, Ser 2003-3, Cl M1 | | | | | | | | |
6.019%, TSFR1M + 1.164%, 01/25/2034 (B) | | | 358 | | | | 359 | |
Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4 | | | | | | | | |
5.249%, TSFR1M + 0.394%, 05/25/2037 (B) | | | 5,500 | | | | 4,619 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Morgan Stanley ABS Capital I Trust, Ser 2005-HE1, Cl M1 | | | | | | | | |
5.644%, TSFR1M + 0.789%, 12/25/2034 (B) | | $ | 129 | | | $ | 126 | |
| | | | | | | | 9,793 | |
| | | | | | | | | |
Non-Agency Mortgage-Backed Obligations — 1.1% | | | | |
| | | | | |
BAMLL Commercial Mortgage Securities Trust, Ser 200P, Cl A | | | | | | | | |
3.218%, 04/14/2033 (D) | | | 2,000 | | | | 1,969 | |
BANK5, Ser 5YR7, Cl A3 | | | | | | | | |
5.769%, 06/15/2057 | | | 276 | | | | 289 | |
Benchmark Mortgage Trust, Ser V9, Cl A3 | | | | | | | | |
5.602%, 08/15/2057 | | | 638 | | | | 664 | |
BMO Mortgage Trust, Ser 5C4, Cl A3 | | | | | | | | |
6.526%, 05/15/2057 (B) | | | 549 | | | | 592 | |
BMO Mortgage Trust, Ser C8, Cl A5 | | | | | | | | |
5.598%, 03/15/2057 (B) | | | 450 | | | | 482 | |
BMP, Ser MF23, Cl D | | | | | | | | |
7.711%, TSFR1M + 2.390%, 06/15/2041 (B)(D) | | | 780 | | | | 777 | |
BRAVO Residential Funding Trust, Ser 2024-NQM5, Cl A1 | | | | | | | | |
5.803%, 06/25/2064 (C)(D) | | | 1,548 | | | | 1,564 | |
BX Commercial Mortgage Trust, Ser AIRC, Cl A | | | | | | | | |
6.788%, TSFR1M + 1.691%, 08/15/2039 (B)(D) | | | 140 | | | | 140 | |
BX Commercial Mortgage Trust, Ser BIO2, Cl D | | | | | | | | |
7.970%, 08/13/2041 (B)(D) | | | 560 | | | | 564 | |
BX Commercial Mortgage Trust, Ser XL5, Cl A | | | | | | | | |
6.488%, TSFR1M + 1.392%, 03/15/2041 (B)(D) | | | 666 | | | | 666 | |
Chase Home Lending Mortgage Trust Series, Ser 2024-3, Cl A4 | | | | | | | | |
6.000%, 02/25/2055 (B)(D) | | | 1,101 | | | | 1,114 | |
Chase Home Lending Mortgage Trust Series, Ser 2024-7, Cl A4 | | | | | | | | |
6.000%, 06/25/2055 (B)(D) | | | 1,154 | | | | 1,166 | |
Chase Mortgage Finance, Ser 2016-SH2, Cl M4 | | | | | | | | |
3.750%, 12/25/2045 (B)(D) | | | 642 | | | | 591 | |
COLT 2024-4 Mortgage Loan Trust, Ser 2024-4, Cl A1 | | | | | | | | |
5.949%, 07/25/2069 (C)(D) | | | 1,807 | | | | 1,831 | |
Connecticut Avenue Securities Trust, Ser 2021-R01, Cl 1M2 | | | | | | | | |
6.830%, SOFR30A + 1.550%, 10/25/2041 (B)(D) | | | 1,882 | | | | 1,890 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Connecticut Avenue Securities Trust, Ser 2022-R01, Cl 1B1 | | | | | | | | |
8.430%, SOFR30A + 3.150%, 12/25/2041 (B)(D) | | $ | 460 | | | $ | 475 | |
Connecticut Avenue Securities Trust, Ser 2023-R01, Cl 1M2 | | | | | | | | |
9.013%, SOFR30A + 3.750%, 12/25/2042 (B)(D) | | | 460 | | | | 493 | |
Connecticut Avenue Securities Trust, Ser 2023-R05, Cl 1M2 | | | | | | | | |
8.363%, SOFR30A + 3.100%, 06/25/2043 (B)(D) | | | 1,570 | | | | 1,646 | |
GS Mortgage-Backed Securities Trust, Ser 2024-RPL4, Cl A1 | | | | | | | | |
3.900%, 09/25/2061 (C)(D) | | | 2,419 | | | | 2,356 | |
Houston Galleria Mall Trust, Ser HGLR, Cl A1A2 | | | | | | | | |
3.087%, 03/05/2037 (D) | | | 3,400 | | | | 3,357 | |
JP Morgan Mortgage Trust, Ser 2021-10, Cl A3 | | | | | | | | |
2.500%, 12/25/2051 (B)(D) | | | 6,821 | | | | 5,749 | |
KIND Trust, Ser KIND, Cl A | | | | | | | | |
6.165%, TSFR1M + 1.064%, 08/15/2038 (B)(D) | | | 724 | | | | 712 | |
Morgan Stanley Residential Mortgage Loan Trust, Ser 2024-INV2, Cl A1 | | | | | | | | |
6.500%, 02/25/2054 (B)(D) | | | 1,715 | | | | 1,743 | |
NRTH Mortgage Trust, Ser PARK, Cl A | | | | | | | | |
6.941%, TSFR1M + 1.641%, 03/15/2039 (B)(D) | | | 3,350 | | | | 3,352 | |
NYC Trust, Ser 3ELV, Cl A | | | | | | | | |
7.088%, TSFR1M + 1.991%, 08/15/2029 (B)(D) | | | 560 | | | | 562 | |
OBX Trust, Ser 2024-NQM11, Cl A3 | | | | | | | | |
6.230%, 06/25/2064 (C)(D) | | | 960 | | | | 970 | |
ONNI Commerical Mortgage Trust, Ser APT, Cl A | | | | | | | | |
5.753%, 07/15/2039 (B)(D) | | | 1,470 | | | | 1,503 | |
RCKT Mortgage Trust, Ser 2024-INV1, Cl A1 | | | | | | | | |
6.500%, 06/25/2054 (B)(D) | | | 194 | | | | 196 | |
SREIT Trust, Ser MFP2, Cl A | | | | | | | | |
6.033%, TSFR1M + 0.936%, 11/15/2036 (B)(D) | | | 1,880 | | | | 1,868 | |
Verus Securitization Trust, Ser 2024-6, Cl A3 | | | | | | | | |
6.154%, 07/25/2069 (C)(D) | | | 460 | | | | 465 | |
Wells Fargo Commercial Mortgage Trust, Ser C63, Cl A5 | | | | | | | | |
5.309%, 08/15/2057 | | | 640 | | | | 673 | |
| | | | | | | | 40,419 | |
| | | | | | | | | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Other Asset-Backed Securities — 4.8% | | | | |
| | | | | |
Academic Loan Funding Trust, Ser 2012-1A, Cl A2 | | | | | | | | |
6.495%, SOFR30A + 1.214%, 12/27/2044 (B)(D) | | $ | 639 | | | $ | 631 | |
ACRES Commercial Realty, Ser 2021-FL1, Cl A | | | | | | | | |
6.397%, TSFR1M + 1.314%, 06/15/2036 (B)(D) | | | 1,393 | | | | 1,385 | |
AIMCO CLO 22, Ser 2024-22A, Cl A | | | | | | | | |
6.827%, TSFR3M + 1.500%, 04/19/2037 (B)(D) | | | 1,330 | | | | 1,334 | |
American Homes 4 Rent Trust, Ser 2015-SFR1, Cl A | | | | | | | | |
3.467%, 04/17/2052 (D) | | | 1,796 | | | | 1,781 | |
AMMC CLO 15, Ser 2021-15A, Cl BR3 | | | | | | | | |
7.213%, TSFR3M + 1.912%, 01/15/2032 (B)(D) | | | 1,100 | | | | 1,100 | |
Applebee's Funding, Ser 2023-1A, Cl A2 | | | | | | | | |
7.824%, 03/05/2053 (D) | | | 1,790 | | | | 1,874 | |
Arbor Realty Commercial Real Estate Notes, Ser 2021-FL3, Cl A | | | | | | | | |
6.281%, TSFR1M + 1.184%, 08/15/2034 (B)(D) | | | 1,668 | | | | 1,661 | |
Ares Loan Funding IV, Ser 2023-ALF4A, Cl A1 | | | | | | | | |
7.051%, TSFR3M + 1.750%, 10/15/2036 (B)(D) | | | 1,280 | | | | 1,287 | |
Barings CLO, Ser 2024-4A, Cl A1R | | | | | | | | |
6.451%, TSFR3M + 1.150%, 10/15/2030 (B)(D) | | | 3,037 | | | | 3,038 | |
Birch Grove CLO 4, Ser 2024-4A, Cl A1R | | | | | | | | |
6.781%, TSFR3M + 1.480%, 07/15/2037 (B)(D) | | | 750 | | | | 750 | |
Birch Grove CLO 7, Ser 2023-7A, Cl A1 | | | | | | | | |
7.082%, TSFR3M + 1.800%, 10/20/2036 (B)(D) | | | 790 | | | | 796 | |
BSL CLO 4, Ser 2023-4A, Cl A | | | | | | | | |
7.282%, TSFR3M + 2.000%, 04/20/2036 (B)(D) | | | 790 | | | | 795 | |
Carrington Mortgage Loan Trust Series, Ser 2006-FRE1, Cl A4 | | | | | | | | |
5.219%, TSFR1M + 0.364%, 04/25/2036 (B) | | | 2,526 | | | | 2,313 | |
CarVal CLO XI C, Ser 2024-3A, Cl A1 | | | | | | | | |
5.961%, TSFR3M + 1.390%, 10/20/2037 (B)(D) | | | 1,770 | | | | 1,772 | |
Cedar Funding XII CLO, Ser 2021-12A, Cl BR | | | | | | | | |
7.146%, TSFR3M + 1.862%, 10/25/2034 (B)(D) | | | 3,000 | | | | 2,997 | |
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5 | | | | | | | | |
4.855%, 11/25/2034 (C) | | | 20 | | | | 20 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
CIFC Funding, Ser 2021-7A, Cl A1 | | | | | | | | |
6.675%, TSFR3M + 1.392%, 01/23/2035 (B)(D) | | $ | 3,500 | | | $ | 3,503 | |
CIT Education Loan Trust, Ser 2007-1, Cl A | | | | | | | | |
5.701%, SOFR90A + 0.352%, 03/25/2042 (B)(D) | | | 479 | | | | 467 | |
Clover CLO, Ser 2024-1A, Cl A1RR | | | | | | | | |
6.833%, TSFR3M + 1.530%, 04/20/2037 (B)(D) | | | 3,000 | | | | 3,005 | |
CNH Equipment Trust, Ser 2022-B, Cl A3 | | | | | | | | |
3.890%, 08/16/2027 | | | 570 | | | | 567 | |
CNH Equipment Trust, Ser 2022-C, Cl A3 | | | | | | | | |
5.150%, 04/17/2028 | | | 1,255 | | | | 1,267 | |
College Ave Student Loans, Ser 2021-C, Cl A2 | | | | | | | | |
2.320%, 07/26/2055 (D) | | | 587 | | | | 534 | |
College Avenue Student Loans, Ser 2017-A, Cl A1 | | | | | | | | |
6.619%, TSFR1M + 1.764%, 11/26/2046 (B)(D) | | | 222 | | | | 222 | |
College Avenue Student Loans, Ser 2018-A, Cl A2 | | | | | | | | |
4.130%, 12/26/2047 (D) | | | 156 | | | | 150 | |
College Avenue Student Loans, Ser 2019-A, Cl A2 | | | | | | | | |
3.280%, 12/28/2048 (D) | | | 304 | | | | 286 | |
College Avenue Student Loans, Ser 2021-B, Cl A2 | | | | | | | | |
1.760%, 06/25/2052 (D) | | | 277 | | | | 248 | |
Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 1A | | | | | | | | |
5.469%, TSFR1M + 0.614%, 10/25/2034 (B) | | | 250 | | | | 247 | |
Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1 | | | | | | | | |
5.509%, TSFR1M + 0.654%, 12/25/2034 (B) | | | 174 | | | | 170 | |
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2 | | | | | | | | |
5.769%, TSFR1M + 0.914%, 10/25/2047 (B) | | | 1,005 | | | | 944 | |
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A | | | | | | | | |
5.351%, TSFR1M + 0.254%, 07/15/2036 (B) | | | 134 | | | | 124 | |
CWABS Asset-backed Certificates Series, Ser 2007-12, Cl 2A4 | | | | | | | | |
6.319%, TSFR1M + 1.464%, 08/25/2047 (B) | | | 5,062 | | | | 4,735 | |
CyrusOne Data Centers Issuer I, Ser 2024-1A, Cl A2 | | | | | | | | |
4.760%, 03/22/2049 (D) | | | 3,000 | | | | 2,912 | |
DB Master Finance, Ser 2019-1A, Cl A23 | | | | | | | | |
4.352%, 05/20/2049 (D) | | | 485 | | | | 473 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Dividend Solar Loans, Ser 2019-1, Cl A | | | | | | | | |
3.670%, 08/22/2039 (D) | | $ | 868 | | | $ | 777 | |
DLLAA, Ser 2023-1A, Cl A3 | | | | | | | | |
5.640%, 02/22/2028 (D) | | | 300 | | | | 307 | |
Dllad, Ser 2024-1A, Cl A3 | | | | | | | | |
5.300%, 07/20/2029 (D) | | | 885 | | | | 909 | |
DLLMT, Ser 2024-1A, Cl A4 | | | | | | | | |
4.980%, 04/20/2032 (D) | | | 490 | | | | 498 | |
DLLST, Ser 2024-1A, Cl A3 | | | | | | | | |
5.050%, 08/20/2027 (D) | | | 285 | | | | 287 | |
Dryden 55 CLO, Ser 2018-55A, Cl A1 | | | | | | | | |
6.583%, TSFR3M + 1.282%, 04/15/2031 (B)(D) | | | 463 | | | | 463 | |
Dryden XXVI Senior Loan Fund, Ser 2018-26A, Cl AR | | | | | | | | |
6.463%, TSFR3M + 1.162%, 04/15/2029 (B)(D) | | | 667 | | | | 668 | |
EDvestinU Private Education Loan Issue No. 4, Ser 2022-A, Cl A | | | | | | | | |
5.250%, 11/25/2040 (D) | | | 508 | | | | 510 | |
Elevation CLO, Ser 2021-13A, Cl A1 | | | | | | | | |
6.753%, TSFR3M + 1.452%, 07/15/2034 (B)(D) | | | 530 | | | | 529 | |
Elmwood CLO 29, Ser 2024-5A, Cl AR1 | | | | | | | | |
6.841%, TSFR3M + 1.520%, 04/20/2037 (B)(D) | | | 760 | | | | 764 | |
Elmwood CLO I, Ser 2024-1A, Cl A1RR | | | | | | | | |
6.802%, TSFR3M + 1.520%, 04/20/2037 (B)(D) | | | 550 | | | | 553 | |
First Franklin Mortgage Loan Trust, Ser 2004-FF5, Cl A3C | | | | | | | | |
5.969%, TSFR1M + 1.114%, 08/25/2034 (B) | | | 201 | | | | 184 | |
FNMA Grantor Trust, Ser 2017-T1, Cl A | | | | | | | | |
2.898%, 06/25/2027 | | | 198 | | | | 191 | |
Ford Credit Floorplan Master Owner Trust A, Ser 2018-4, Cl A | | | | | | | | |
4.060%, 11/15/2030 | | | 1,860 | | | | 1,844 | |
Fremont Home Loan Trust, Ser 2005-E, Cl 2A4 | | | | | | | | |
5.629%, TSFR1M + 0.774%, 01/25/2036 (B) | | | 3,200 | | | | 3,064 | |
Goldentree Loan Management US CLO 7, Ser 2021-7A, Cl AR | | | | | | | | |
6.614%, TSFR3M + 1.332%, 04/20/2034 (B)(D) | | | 660 | | | | 660 | |
GSAMP Trust, Ser 2003-SEA, Cl A1 | | | | | | | | |
5.769%, TSFR1M + 0.914%, 02/25/2033 (B) | | | 198 | | | | 196 | |
GSAMP Trust, Ser 2005-WMC3, Cl A2C | | | | | | | | |
5.629%, TSFR1M + 0.774%, 12/25/2035 (B) | | | 3,869 | | | | 3,782 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
GSAMP Trust, Ser 2006-HE3, Cl A2D | | | | | | | | |
5.469%, TSFR1M + 0.614%, 05/25/2046 (B) | | $ | 3,628 | | | $ | 3,447 | |
Hildene Community Funding CDO, Ser 2021-1A, Cl ARR | | | | | | | | |
2.600%, 11/01/2035 (D) | | | 961 | | | | 834 | |
Hilton Grand Vacations Trust, Ser 2020-AA, Cl A | | | | | | | | |
2.740%, 02/25/2039 (D) | | | 301 | | | | 292 | |
HPEFS Equipment Trust, Ser 2024-1A, Cl A3 | | | | | | | | |
5.180%, 05/20/2031 (D) | | | 570 | | | | 575 | |
HPS Loan Management, Ser 2022-19, Cl A1R | | | | | | | | |
6.602%, TSFR3M + 1.320%, 01/22/2035 (B)(D) | | | 400 | | | | 400 | |
Invitation Homes Trust, Ser 2024-SFR1, Cl A | | | | | | | | |
4.000%, 09/17/2041 (D) | | | 1,580 | | | | 1,534 | |
JGWPT XXX, Ser 2013-3A, Cl A | | | | | | | | |
4.080%, 01/17/2073 (D) | | | 606 | | | | 583 | |
JGWPT XXXII, Ser 2014-2A, Cl A | | | | | | | | |
3.610%, 01/17/2073 (D) | | | 800 | | | | 739 | |
John Deere Owner Trust, Ser 2024-A, Cl A3 | | | | | | | | |
4.960%, 11/15/2028 | | | 1,425 | | | | 1,449 | |
Kings Park CLO, Ser 2021-1A, Cl A | | | | | | | | |
6.674%, TSFR3M + 1.392%, 01/21/2035 (B)(D) | | | 400 | | | | 400 | |
Lunar Structured Aircraft Portfolio Notes, Ser 2021-1, Cl A | | | | | | | | |
2.636%, 10/15/2046 (D) | | | 875 | | | | 801 | |
M&T Equipment Notes, Ser 2024-1A, Cl A4 | | | | | | | | |
4.940%, 08/18/2031 (D) | | | 470 | | | | 476 | |
Madison Park Funding XXIX, Ser 2024-29A, Cl AR | | | | | | | | |
6.459%, TSFR3M + 1.180%, 10/18/2030 (B)(D) | | | 2,516 | | | | 2,519 | |
Madison Park Funding XXVII, Ser 2018-27A, Cl A2 | | | | | | | | |
6.894%, TSFR3M + 1.612%, 04/20/2030 (B)(D) | | | 1,550 | | | | 1,550 | |
Magnetite XII, Ser 2024-12A, Cl AR4 | | | | | | | | |
6.451%, TSFR3M + 1.150%, 10/15/2031 (B)(D) | | | 1,952 | | | | 1,953 | |
MF1, Ser 2020-FL4, Cl A | | | | | | | | |
6.897%, TSFR1M + 1.814%, 12/15/2035 (B)(D) | | | 266 | | | | 266 | |
MF1, Ser 2021-FL7, Cl A | | | | | | | | |
6.209%, TSFR1M + 1.194%, 10/16/2036 (B)(D) | | | 403 | | | | 401 | |
MF1, Ser 2022-FL8, Cl A | | | | | | | | |
6.315%, TSFR1M + 1.350%, 02/19/2037 (B)(D) | | | 2,305 | | | | 2,291 | |
Mid-State Trust XI, Ser 2003-11, Cl A1 | | | | | | | | |
4.864%, 07/15/2038 | | | 585 | | | | 582 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Morgan Stanley Resecuritization Trust, Ser 2015-R7, Cl 1BXA | | | | | | | | |
7.060%, 02/26/2029 (B)(D) | | $ | 539 | | | $ | 495 | |
MVW, Ser 2021-1WA, Cl B | | | | | | | | |
1.440%, 01/22/2041 (D) | | | 130 | | | | 123 | |
MVW, Ser 2023-2A, Cl A | | | | | | | | |
6.180%, 11/20/2040 (D) | | | 431 | | | | 446 | |
Navient Private Education Loan Trust, Ser 2014-AA, Cl A3 | | | | | | | | |
6.811%, TSFR1M + 1.714%, 10/15/2031 (B)(D) | | | 120 | | | | 120 | |
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2B | | | | | | | | |
7.361%, TSFR1M + 2.264%, 12/15/2045 (B)(D) | | | 95 | | | | 96 | |
Navient Private Education Loan Trust, Ser 2018-BA, Cl A2A | | | | | | | | |
3.610%, 12/15/2059 (D) | | | 102 | | | | 101 | |
Navient Private Education Refi Loan Trust, Ser 2018-DA, Cl A2A | | | | | | | | |
4.000%, 12/15/2059 (D) | | | 842 | | | | 833 | |
Navient Private Education Refi Loan Trust, Ser 2019-A, Cl A2A | | | | | | | | |
3.420%, 01/15/2043 (D) | | | 256 | | | | 252 | |
Navient Private Education Refi Loan Trust, Ser 2019-CA, Cl A2 | | | | | | | | |
3.130%, 02/15/2068 (D) | | | 469 | | | | 459 | |
Navient Private Education Refi Loan Trust, Ser 2019-D, Cl A2A | | | | | | | | |
3.010%, 12/15/2059 (D) | | | 753 | | | | 732 | |
Navient Private Education Refi Loan Trust, Ser 2019-FA, Cl A2 | | | | | | | | |
2.600%, 08/15/2068 (D) | | | 1,120 | | | | 1,073 | |
Navient Private Education Refi Loan Trust, Ser 2020-DA, Cl A | | | | | | | | |
1.690%, 05/15/2069 (D) | | | 99 | | | | 93 | |
Navient Private Education Refi Loan Trust, Ser 2020-GA, Cl A | | | | | | | | |
1.170%, 09/16/2069 (D) | | | 696 | | | | 645 | |
Navient Private Education Refi Loan Trust, Ser 2021-A, Cl A | | | | | | | | |
0.840%, 05/15/2069 (D) | | | 1,107 | | | | 1,006 | |
Navient Private Education Refi Loan Trust, Ser 2021-BA, Cl A | | | | | | | | |
0.940%, 07/15/2069 (D) | | | 188 | | | | 170 | |
Navient Private Education Refi Loan Trust, Ser 2021-CA, Cl A | | | | | | | | |
1.060%, 10/15/2069 (D) | | | 798 | | | | 719 | |
Navient Private Education Refi Loan Trust, Ser 2021-EA, Cl A | | | | | | | | |
0.970%, 12/16/2069 (D) | | | 1,645 | | | | 1,454 | |
Navient Private Education Refi Loan Trust, Ser 2021-FA, Cl A | | | | | | | | |
1.110%, 02/18/2070 (D) | | | 727 | | | | 647 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Navient Private Education Refi Loan Trust, Ser 2021-GA, Cl A | | | | | | | | |
1.580%, 04/15/2070 (D) | | $ | 173 | | | $ | 155 | |
Navient Private Education Refi Loan Trust, Ser 2022-A, Cl A | | | | | | | | |
2.230%, 07/15/2070 (D) | | | 533 | | | | 486 | |
Navient Student Loan Trust, Ser 2014-1, Cl A3 | | | | | | | | |
5.905%, SOFR30A + 0.624%, 06/25/2031 (B) | | | 1,172 | | | | 1,158 | |
Navient Student Loan Trust, Ser 2016-2A, Cl A3 | | | | | | | | |
6.895%, SOFR30A + 1.614%, 06/25/2065 (B)(D) | | | 789 | | | | 800 | |
Navient Student Loan Trust, Ser 2017-1A, Cl A3 | | | | | | | | |
6.545%, SOFR30A + 1.264%, 07/26/2066 (B)(D) | | | 584 | | | | 585 | |
Navient Student Loan Trust, Ser 2019-BA, Cl A2A | | | | | | | | |
3.390%, 12/15/2059 (D) | | | 192 | | | | 188 | |
Navient Student Loan Trust, Ser 2021-3A, Cl A1A | | | | | | | | |
1.770%, 08/25/2070 (D) | | | 691 | | | | 624 | |
Navient Student Loan Trust, Ser 2023-BA, Cl A1A | | | | | | | | |
6.480%, 03/15/2072 (D) | | | 258 | | | | 267 | |
Nelnet Student Loan Trust, Ser 2004-3, Cl A5 | | | | | | | | |
5.801%, SOFR90A + 0.442%, 10/27/2036 (B) | | | 192 | | | | 191 | |
Nelnet Student Loan Trust, Ser 2004-4, Cl A5 | | | | | | | | |
5.781%, SOFR90A + 0.422%, 01/25/2037 (B) | | | 255 | | | | 254 | |
Nelnet Student Loan Trust, Ser 2005-1, Cl A5 | | | | | | | | |
5.731%, SOFR90A + 0.372%, 10/25/2033 (B) | | | 1,199 | | | | 1,187 | |
Nelnet Student Loan Trust, Ser 2005-2, Cl A5 | | | | | | | | |
5.733%, SOFR90A + 0.362%, 03/23/2037 (B) | | | 943 | | | | 935 | |
Nelnet Student Loan Trust, Ser 2005-3, Cl A5 | | | | | | | | |
5.753%, SOFR90A + 0.382%, 12/24/2035 (B) | | | 902 | | | | 895 | |
Nelnet Student Loan Trust, Ser 2005-4, Cl A4 | | | | | | | | |
5.813%, SOFR90A + 0.442%, 03/22/2032 (B) | | | 164 | | | | 159 | |
Nelnet Student Loan Trust, Ser 2021-A, Cl APT1 | | | | | | | | |
1.360%, 04/20/2062 (D) | | | 313 | | | | 290 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Nelnet Student Loan Trust, Ser 2021-CA, Cl AFX | | | | | | | | |
1.320%, 04/20/2062 (D) | | $ | 608 | | | $ | 564 | |
Neuberger Berman CLO XX, Ser 2021-20A, Cl ARR | | | | | | | | |
6.723%, TSFR3M + 1.422%, 07/15/2034 (B)(D) | | | 530 | | | | 530 | |
Oak Street Investment Grade Net Lease Fund, Ser 2020-1A, Cl A1 | | | | | | | | |
1.850%, 11/20/2050 (D) | | | 1,030 | | | | 988 | |
Octagon 53, Ser 2021-1A, Cl A | | | | | | | | |
6.593%, TSFR3M + 1.292%, 04/15/2034 (B)(D) | | | 3,750 | | | | 3,749 | |
Octagon 66, Ser 2023-1A, Cl A1R | | | | | | | | |
6.846%, TSFR3M + 1.750%, 11/16/2036 (B)(D) | | | 1,350 | | | | 1,359 | |
Octagon Investment Partners XIV, Ser 2021-1A, Cl AARR | | | | | | | | |
6.513%, TSFR3M + 1.212%, 07/15/2029 (B)(D) | | | 394 | | | | 394 | |
Octane Receivables Trust, Ser 2023-1A, Cl A | | | | | | | | |
5.870%, 05/21/2029 (D) | | | 345 | | | | 347 | |
Octane Receivables Trust, Ser 2024-2A, Cl A2 | | | | | | | | |
5.800%, 07/20/2032 (D) | | | 510 | | | | 517 | |
Owl Rock CLO III, Ser 2024-3A, Cl AR | | | | | | | | |
7.149%, TSFR3M + 1.850%, 04/20/2036 (B)(D) | | | 1,180 | | | | 1,185 | |
Palmer Square Loan Funding, Ser 2024-3A, Cl A1BR | | | | | | | | |
6.701%, TSFR3M + 1.400%, 04/15/2031 (B)(D) | | | 2,270 | | | | 2,271 | |
Park Blue CLO, Ser 2024-2A, Cl A1R | | | | | | | | |
6.702%, TSFR3M + 1.420%, 07/20/2037 (B)(D) | | | 1,410 | | | | 1,410 | |
Rad CLO 22, Ser 2023-22A, Cl A1 | | | | | | | | |
7.112%, TSFR3M + 1.830%, 01/20/2037 (B)(D) | | | 1,580 | | | | 1,592 | |
SBA Small Business Investment, Ser 2018-10B, Cl 1 | | | | | | | | |
3.548%, 09/10/2028 | | | 429 | | | | 420 | |
SBA Small Business Investment, Ser 2022-10A, Cl 1 | | | | | | | | |
2.938%, 03/10/2032 | | | 726 | | | | 688 | |
SBA Small Business Investment, Ser 2022-10B, Cl 1 | | | | | | | | |
4.262%, 09/10/2032 | | | 424 | | | | 422 | |
SBA Small Business Investment, Ser 2024-10B, Cl 1 | | | | | | | | |
4.380%, 09/10/2034 | | | 650 | | | | 649 | |
Sequoia Infrastructure Funding I Ltd., Ser 2021-1A, Cl A | | | | | | | | |
6.963%, TSFR3M + 1.662%, 04/15/2031 (B)(D) | | | 26 | | | | 26 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Sierra Timeshare Receivables Funding, Ser 2021-2A, Cl A | | | | | | | | |
1.350%, 09/20/2038 (D) | | $ | 161 | | | $ | 155 | |
SLM Private Credit Student Loan Trust, Ser 2005-A, Cl A4 | | | | | | | | |
5.518%, TSFR3M + 0.572%, 12/15/2038 (B) | | | 608 | | | | 599 | |
SLM Student Loan Trust, Ser 2003-7A, Cl A5A | | | | | | | | |
6.831%, SOFR90A + 1.462%, 12/15/2033 (B)(D) | | | 1,055 | | | | 1,042 | |
SLM Student Loan Trust, Ser 2005-4, Cl A4 | | | | | | | | |
5.791%, SOFR90A + 0.432%, 07/25/2040 (B) | | | 2,195 | | | | 2,164 | |
SLM Student Loan Trust, Ser 2006-8, Cl A6 | | | | | | | | |
5.781%, SOFR90A + 0.422%, 01/25/2041 (B) | | | 1,426 | | | | 1,381 | |
SLM Student Loan Trust, Ser 2007-7, Cl B | | | | | | | | |
6.371%, SOFR90A + 1.012%, 10/27/2070 (B) | | | 1,050 | | | | 1,050 | |
SLM Student Loan Trust, Ser 2008-2, Cl B | | | | | | | | |
6.821%, SOFR90A + 1.462%, 01/25/2083 (B) | | | 685 | | | | 704 | |
SLM Student Loan Trust, Ser 2008-3, Cl B | | | | | | | | |
6.821%, SOFR90A + 1.462%, 04/26/2083 (B) | | | 685 | | | | 699 | |
SLM Student Loan Trust, Ser 2008-4, Cl A4 | | | | | | | | |
7.271%, SOFR90A + 1.912%, 07/25/2022 (B) | | | 250 | | | | 250 | |
SLM Student Loan Trust, Ser 2008-4, Cl B | | | | | | | | |
7.471%, SOFR90A + 2.112%, 04/25/2073 (B) | | | 685 | | | | 711 | |
SLM Student Loan Trust, Ser 2008-5, Cl A4 | | | | | | | | |
7.321%, SOFR90A + 1.962%, 07/25/2023 (B) | | | 40 | | | | 40 | |
SLM Student Loan Trust, Ser 2008-5, Cl B | | | | | | | | |
7.471%, SOFR90A + 2.112%, 07/25/2073 (B) | | | 685 | | | | 700 | |
SLM Student Loan Trust, Ser 2008-6, Cl A4 | | | | | | | | |
6.721%, SOFR90A + 1.362%, 07/25/2023 (B) | | | 1,494 | | | | 1,489 | |
SLM Student Loan Trust, Ser 2008-6, Cl B | | | | | | | | |
7.471%, SOFR90A + 2.112%, 07/26/2083 (B) | | | 685 | | | | 701 | |
SLM Student Loan Trust, Ser 2008-7, Cl B | | | | | | | | |
7.471%, SOFR90A + 2.112%, 07/26/2083 (B) | | | 685 | | | | 695 | |
SLM Student Loan Trust, Ser 2018-9, Cl A7A | | | | | | | | |
6.221%, SOFR90A + 0.862%, 01/25/2041 (B) | | | 1,143 | | | | 1,132 | |
SLM Student Loan Trust, Ser 2021-10A, Cl A4 | | | | | | | | |
6.300%, SOFR90A + 0.931%, 12/17/2068 (B)(D) | | | 554 | | | | 551 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
SMB Private Education Loan Trust, Ser 2016-B, Cl A2A | | | | | | | | |
2.430%, 02/17/2032 (D) | | $ | 35 | | | $ | 35 | |
SMB Private Education Loan Trust, Ser 2016-C, Cl A2B | | | | | | | | |
6.311%, TSFR1M + 1.214%, 09/15/2034 (B)(D) | | | 30 | | | | 30 | |
SMB Private Education Loan Trust, Ser 2020-PTA, Cl A2A | | | | | | | | |
1.600%, 09/15/2054 (D) | | | 771 | | | | 718 | |
SMB Private Education Loan Trust, Ser 2021-A, Cl A2B | | | | | | | | |
1.590%, 01/15/2053 (D) | | | 334 | | | | 306 | |
SMB Private Education Loan Trust, Ser 2021-A, Cl APT1 | | | | | | | | |
1.070%, 01/15/2053 (D) | | | 974 | | | | 877 | |
SMB Private Education Loan Trust, Ser 2021-B, Cl A | | | | | | | | |
1.310%, 07/17/2051 (D) | | | 1,267 | | | | 1,176 | |
SMB Private Education Loan Trust, Ser 2021-D, Cl A1A | | | | | | | | |
1.340%, 03/17/2053 (D) | | | 816 | | | | 755 | |
SMB Private Education Loan Trust, Ser 2024-D, Cl A1A | | | | | | | | |
5.380%, 07/15/2053 (D) | | | 278 | | | | 285 | |
SMB Private Education Loan Trust, Ser 2024-E, Cl A1A | | | | | | | | |
5.090%, 10/16/2056 (D) | | | 730 | | | | 740 | |
SoFi Consumer Loan Program Trust, Ser 2023-1S, Cl A | | | | | | | | |
5.810%, 05/15/2031 (D) | | | 4 | | | | 4 | |
SoFi Professional Loan Program Trust, Ser 2020-C, Cl AFX | | | | | | | | |
1.950%, 02/15/2046 (D) | | | 64 | | | | 60 | |
SoFi Professional Loan Program Trust, Ser 2021-B, Cl AFX | | | | | | | | |
1.140%, 02/15/2047 (D) | | | 560 | | | | 493 | |
South Carolina Student Loan, Ser 2015-A, Cl A | | | | | | | | |
6.469%, TSFR1M + 1.614%, 01/25/2036 (B) | | | 352 | | | | 352 | |
Stack Infrastructure Issuer, Ser 2021-1A, Cl A2 | | | | | | | | |
1.877%, 03/26/2046 (D) | | | 2,775 | | | | 2,651 | |
Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2 | | | | | | | | |
5.519%, TSFR1M + 0.664%, 09/25/2034 (B) | | | 295 | | | | 283 | |
Structured Asset Securities Mortgage Loan Trust, Ser 2007-WF1, Cl A1 | | | | | | | | |
5.389%, TSFR1M + 0.534%, 02/25/2037 (B) | | | 1,642 | | | | 1,607 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Symphony CLO 40, Ser 2023-40A, Cl A1 | | | | | | | | |
6.941%, TSFR3M + 1.640%, 01/14/2034 (B)(D) | | $ | 1,530 | | | $ | 1,533 | |
T-Mobile US Trust, Ser 2022-1A, Cl A | | | | | | | | |
4.910%, 05/22/2028 (D) | | | 684 | | | | 684 | |
T-Mobile US Trust, Ser 2024-1A, Cl A | | | | | | | | |
5.050%, 09/20/2029 (D) | | | 873 | | | | 886 | |
Trestles CLO IV, Ser 2021-4A, Cl B1 | | | | | | | | |
7.244%, TSFR3M + 1.962%, 07/21/2034 (B)(D) | | | 3,445 | | | | 3,452 | |
United States Small Business Administration, Ser 2019-20D, Cl 1 | | | | | | | | |
2.980%, 04/01/2039 | | | 134 | | | | 126 | |
United States Small Business Administration, Ser 2019-25G, Cl 1 | | | | | | | | |
2.690%, 07/01/2044 | | | 242 | | | | 218 | |
United States Small Business Administration, Ser 2022-25E, Cl 1 | | | | | | | | |
3.940%, 05/01/2047 | | | 463 | | | | 449 | |
United States Small Business Administration, Ser 2022-25F, Cl 1 | | | | | | | | |
4.010%, 06/01/2047 | | | 681 | | | | 663 | |
United States Small Business Administration, Ser 2024-25C, Cl 1 | | | | | | | | |
4.970%, 03/01/2049 | | | 472 | | | | 485 | |
Verizon Master Trust Series, Ser 2024-5, Cl A | | | | | | | | |
5.000%, 06/21/2032 (D) | | | 370 | | | | 382 | |
Verizon Master Trust, Ser 2022-4, Cl A | | | | | | | | |
3.400%, 11/20/2028 | | | 806 | | | | 800 | |
Verizon Master Trust, Ser 2022-6, Cl A | | | | | | | | |
3.670%, 01/22/2029 | | | 388 | | | | 385 | |
Verizon Master Trust, Ser 2023-1, Cl A | | | | | | | | |
4.490%, 01/22/2029 | | | 2,664 | | | | 2,671 | |
Verizon Master Trust, Ser 2023-2, Cl A | | | | | | | | |
4.890%, 04/13/2028 | | | 434 | | | | 434 | |
Verizon Master Trust, Ser 2023-4, Cl A1A | | | | | | | | |
5.160%, 06/20/2029 | | | 1,987 | | | | 2,017 | |
Verizon Master Trust, Ser 2023-6, Cl A | | | | | | | | |
5.350%, 09/22/2031 (D) | | | 2,530 | | | | 2,639 | |
Verizon Master Trust, Ser 2023-7, Cl A1A | | | | | | | | |
5.670%, 11/20/2029 | | | 1,410 | | | | 1,454 | |
Verizon Master Trust, Ser 2024-1, Cl A1A | | | | | | | | |
5.000%, 12/20/2028 | | | 2,142 | | | | 2,158 | |
Verizon Master Trust, Ser 2024-2, Cl A | | | | | | | | |
4.830%, 12/22/2031 (D) | | | 745 | | | | 762 | |
Verizon Master Trust, Ser 2024-6, Cl A1A | | | | | | | | |
4.170%, 08/20/2030 | | | 2,698 | | | | 2,702 | |
Verizon Master Trust, Ser 2024-7, Cl A | | | | | | | | |
4.350%, 08/20/2032 (D) | | | 3,308 | | | | 3,303 | |
Voya CLO, Ser 2024-3A, Cl A1R2 | | | | | | | | |
6.429%, TSFR3M + 1.150%, 10/18/2031 (B)(D) | | | 2,371 | | | | 2,372 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2006-2, Cl M2 | | | | | | | | |
5.259%, TSFR1M + 0.404%, 07/25/2036 (B) | | $ | 2,910 | | | $ | 2,893 | |
WISE CLO, Ser 2023-2A, Cl A | | | | | | | | |
7.101%, TSFR3M + 1.800%, 01/15/2037 (B)(D) | | | 460 | | | | 464 | |
| | | | | | | | 173,782 | |
| | | | | | | | | |
Total Asset-Backed Securities | | | | | | | | |
(Cost $312,974) ($ Thousands) | | | | | | | 314,608 | |
| | | | | | | | | |
| | | | | | | | | |
SOVEREIGN DEBT — 0.9% |
| | | | | | | | | |
Argentine Republic Government International Bond | | | | | | | | |
3.500%, 07/09/2041(C) | | | 1,460 | | | | 665 | |
1.000%, 07/09/2029 | | | 203 | | | | 132 | |
0.750%, 07/09/2030(C) | | | 732 | | | | 443 | |
Bank Gospodarstwa Krajowego | | | | | | | | |
6.250%, 07/09/2054(D) | | | 496 | | | | 535 | |
Brazil Letras do Tesouro Nacional | | | | | | | | |
0.000%, 01/01/2026(A) | | BRL | 3,484 | | | | 553 | |
Brazilian Government International Bond | | | | | | | | |
4.750%, 01/14/2050 | | $ | 740 | | | | 565 | |
Colombia Government International Bond | | | | | | | | |
5.625%, 02/26/2044 | | | 660 | | | | 531 | |
5.000%, 06/15/2045 | | | 830 | | | | 611 | |
4.125%, 02/22/2042 | | | 680 | | | | 468 | |
3.250%, 04/22/2032 | | | 970 | | | | 781 | |
Export Finance & Insurance | | | | | | | | |
4.625%, 10/26/2027(D) | | | 879 | | | | 902 | |
Export-Import Bank of India | | | | | | | | |
3.375%, 08/05/2026(D) | | | 350 | | | | 344 | |
Israel Government International Bond | | | | | | | | |
5.500%, 03/12/2034 | | | 802 | | | | 804 | |
4.500%, 01/17/2033 | | | 651 | | | | 612 | |
3.875%, 07/03/2050 | | | 282 | | | | 206 | |
3.375%, 01/15/2050 | | | 280 | | | | 190 | |
2.750%, 07/03/2030 | | | 470 | | | | 412 | |
Kenya Government International Bond | | | | | | | | |
7.250%, 02/28/2028(D) | | | 200 | | | | 192 | |
6.300%, 01/23/2034(D) | | | 960 | | | | 785 | |
Mexico Government International Bond | | | | | | | | |
6.050%, 01/11/2040 | | | 1,210 | | | | 1,222 | |
4.750%, 04/27/2032 | | | 298 | | | | 286 | |
4.750%, 03/08/2044 | | | 10,244 | | | | 8,664 | |
4.600%, 01/23/2046 | | | 528 | | | | 430 | |
4.600%, 02/10/2048 | | | 339 | | | | 273 | |
3.750%, 01/11/2028 | | | 390 | | | | 380 | |
3.500%, 02/12/2034 | | | 1,441 | | | | 1,226 | |
3.250%, 04/16/2030 | | | 313 | | | | 287 | |
2.659%, 05/24/2031 | | | 6,537 | | | | 5,612 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
SOVEREIGN DEBT (continued) |
Nigeria Government International Bond | | | | | | | | |
7.143%, 02/23/2030(D) | | $ | 240 | | | $ | 218 | |
6.500%, 11/28/2027(D) | | | 220 | | | | 206 | |
Oriental Republic of Uruguay | | | | | | | | |
5.250%, 09/10/2060 | | | 409 | | | | 409 | |
Paraguay Government International Bond | | | | | | | | |
5.400%, 03/30/2050(D) | | | 342 | | | | 319 | |
Peruvian Government International Bond | | | | | | | | |
5.625%, 11/18/2050 | | | 340 | | | | 350 | |
5.375%, 02/08/2035 | | | 680 | | | | 697 | |
2.780%, 12/01/2060 | | | 430 | | | | 259 | |
Provincia de Buenos Aires Government Bond MTN | | | | | | | | |
6.625%, 09/01/2037(C)(D) | | | 3,068 | | | | 1,457 | |
Republic of Kenya Government International Bond | | | | | | | | |
9.750%, 02/16/2031(D) | | | 200 | | | | 202 | |
| | | | | | | | | |
Total Sovereign Debt | | | | |
(Cost $35,297) ($ Thousands) | | | 32,228 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.3% |
FHLB | | | | | | | | |
1.500%, 09/30/2031(C) | | | 1,065 | | | | 955 | |
FHLMC MTN | | | | | | | | |
0.000%, 12/14/2029(A) | | | 1,213 | | | | 998 | |
FNMA | | | | | | | | |
5.500%, 11/15/2054 | | | 5,300 | | | | 5,363 | |
0.000%, 11/15/2030(A) | | | 3,564 | | | | 2,810 | |
Resolution Funding Interest | | | | | | | | |
0.000%, 01/15/2030(A) | | | 905 | | | | 739 | |
Resolution Funding Principal | | | | | | | | |
0.000%, 04/15/2030(A) | | | 1,660 | | | | 1,340 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | |
Total U.S. Government Agency Obligations | | | | |
(Cost $13,036) ($ Thousands) | | | 12,205 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
MUNICIPAL BONDS — 0.2% |
California — 0.1% | | | | |
California State University, Ser B, RB | | | | | | | | |
2.374%, 11/01/2035 | | | 635 | | | | 516 | |
California State, Health Facilities Financing Authority, RB | | | | | | | | |
3.000%, 08/15/2051 | | | 650 | | | | 526 | |
Regents of the University of California, Medical Center Pooled Revenue, Ser N, RB | | | | | | | | |
3.256%, 05/15/2060 | | | 740 | | | | 533 | |
| | | | | | | | | |
| | | | | | | | 1,575 | |
| | | | | | | | | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MUNICIPAL BONDS (continued) |
Nevada — 0.0% | | | | |
Clark County, Department of Aviation, Ser C, RB | | | | | | | | |
6.820%, 07/01/2045 | | $ | 728 | | | $ | 868 | |
| | | | | | | | | |
| | | | | | | | | |
New York — 0.1% | | | | |
New York and New Jersey, Port Authority, RB | | | | | | | | |
4.458%, 10/01/2062 | | | 505 | | | | 466 | |
New York City, Transitional Finance Authority Future Tax Secured Revenue, Sub-Ser B-3, RB | | | | | | | | |
2.000%, 08/01/2035 | | | 1,000 | | | | 779 | |
New York City, Transitional Finance Authority Future Tax Secured Revenue, Sub-Ser D-3, RB | | | | | | | | |
2.400%, 11/01/2032 | | | 300 | | | | 260 | |
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Sub-Ser, RB | | | | | | | | |
5.508%, 08/01/2037 | | | 325 | | | | 340 | |
New York State, Dormitory Authority, RB | | | | | | | | |
5.628%, 03/15/2039 | | | 400 | | | | 417 | |
5.289%, 03/15/2033 | | | 850 | | | | 865 | |
| | | | | | | | | |
| | | | | | | | 3,127 | |
| | | | | | | | | |
Ohio — 0.0% | | | | |
Ohio State University, Ser A, RB | | | | | | | | |
4.800%, 06/01/2111 | | | 433 | | | | 410 | |
| | | | | | | | | |
| | | | | | | | | |
Texas — 0.0% | | | | |
Board of Regents of the University of Texas System, Ser B, RB | | | | | | | | |
2.439%, 08/15/2049 | | | 295 | | | | 197 | |
North Texas, Tollway Authority, Ser B, RB | | | | | | | | |
6.718%, 01/01/2049 | | | 632 | | | | 750 | |
| | | | | | | | | |
| | | | | | | | 947 | |
| | | | | | | | | |
Virginia — 0.0% | | | | |
University of Virginia, RB | | | | | | | | |
2.256%, 09/01/2050 | | | 480 | | | | 300 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Total Municipal Bonds | | | | | | | | |
(Cost $7,988) ($ Thousands) | | | | | | | 7,227 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS — 0.2% |
| | | | | | | | |
Allied Universal Holdco, LLC (f/k/a USAGM Holdco, LLC), Initial U.S. Dollar Term Loan, 1st Lien | | | | | | | | |
9.097%, CME Term SOFR + 3.750%, 05/12/2028 (B) | | $ | 3 | | | $ | 3 | |
Athena Health Group, Initial Term Loan | | | | | | | | |
8.497%, 02/15/2029 (B) | | | 851 | | | | 844 | |
Avolon TLB | | | | | | | | |
6.961%, 06/22/2028 | | | 123 | | | | 123 | |
Boost Newco Borrower, LLC, Term B-1 Loan, 1st Lien | | | | | | | | |
7.104%, 01/31/2031 (B) | | | 532 | | | | 532 | |
Citadel Securities, LP, Term Loan, 1st Lien | | | | | | | | |
7.497%, 07/29/2030 (B) | | | 1 | | | | 1 | |
Cotiviti, Inc, Initial Floating Rate Term Loan, 1st Lien | | | | | | | | |
8.451%, 05/01/2031 (B)(H) | | | 1,470 | | | | 1,468 | |
Gainwell Acquisition, Corp, Term B Loan, 1st Lien | | | | | | | | |
8.704%, CME Term SOFR + 4.000%, 10/01/2027 (B)(H) | | | 1,312 | | | | 1,246 | |
Project Sky, Term Loan, 1st Lien | | | | | | | | |
9.248%, 10/08/2028 (B) | | | 244 | | | | 237 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
Sotera Health Holdings, LLC, Term B Loan, 1st Lien | | | | | | | | |
8.095%, 05/30/2031 | | $ | 800 | | | $ | 797 | |
| | | | | | | | | |
| | | | | | | | | |
Total Loan Participations | | | | | | | | |
(Cost $5,317) ($ Thousands) | | | | | | | 5,251 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
CASH EQUIVALENT — 1.0% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 37,735,685 | | | | 37,736 | |
Total Cash Equivalent | | | | | | | | |
(Cost $37,736) ($ Thousands) | | | | | | | 37,736 | |
| | | | | | | | | |
PURCHASED OPTIONS — 0.0% |
Total Purchased Options | | | | | | | | |
(Cost $82) ($ Thousands) | | | | | | | 80 | |
| | | | | | | | | |
Total Investments in Securities — 104.5% | | | | | | | | |
(Cost $3,870,919) ($ Thousands) | | $ | 3,807,896 | |
| | | | | | | | | |
| | | | | | | | | |
WRITTEN OPTIONS — (0.0)% |
Total Written Options | | | | | | | | |
(Premiums Received $1,272) ($ Thousands) | | | | | | $ | (1,247 | ) |
| | | | | | | | | |
| | | | | | | | | |
A list of open exchange traded options contracts for the Fund at September 30, 2024, is as follows: |
Description | | Number of Contracts | | | Notional Amount
(Thousands) | | | Exercise Price | | | Expiration Date | | | Value
(Thousands) | |
PURCHASED OPTIONS — 0.0% | | | | | | | | | | | | | | | | |
Put Options | | | | | | | | | | | | | | | | | | | | |
October 2024, U.S. 6-7 Year Future Option | | | 300 | | | $ | 34,050 | | | $ | 113.50 | | | | 10/19/2024 | | | $ | 28 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Call Options | | | | | | | – | | | | | | | | | | | | – | |
October 2024, U.S. 6-7 Year Future Option | | | 300 | | | | 34,500 | | | | 115.00 | | | | 10/19/2024 | | | | 52 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | | | | $ | 68,550 | | | | | | | | | | | $ | 80 | |
WRITTEN OPTIONS — (0.0)% | | | | | | | | | | | | | | | | |
Put Options | | | | | | | | | | | | | | | | | | | | |
December 2024, U.S. 10 Year Future Option | | | (200 | ) | | $ | (22,700 | ) | | | 113.50 | | | | 11/16/2024 | | | $ | (166 | ) |
December 2024, U.S. 5 Year Future Option | | | (133 | ) | | | (14,564 | ) | | | 109.50 | | | | 11/16/2024 | | | | (81 | ) |
October 2024, U.S. 6-7 Year Future Option | | | (100 | ) | | | (11,425 | ) | | | 114.25 | | | | 10/19/2024 | | | | (37 | ) |
December 2024, U.S. Bond Future Option | | | (82 | ) | | | (10,004 | ) | | | 122.00 | | | | 11/16/2024 | | | | (118 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (58,693 | ) | | | | | | | | | | | (402 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Call Options | | | | | | | | | | | | | | | | | | | | |
December 2024, 3 Month SOFR OPT Dec24C 97.13 | | | (102 | ) | | | (24,767 | ) | | | 97.13 | | | | 12/21/2024 | | | | (3 | ) |
June 2025, 3 Month SOFR OPT Jun25C 97 | | | (691 | ) | | | (167,567 | ) | | | 97.00 | | | | 06/21/2025 | | | | (484 | ) |
December 2024, U.S. 10 Year Future Option | | | (200 | ) | | | (22,900 | ) | | | 114.50 | | | | 11/16/2024 | | | | (215 | ) |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
Description | | Number of Contracts | | | Notional Amount
(Thousands) | | | Exercise Price | | | Expiration Date | | | Value
(Thousands) | |
WRITTEN OPTIONS (continued) | | | | | | | | | | | | | | | | |
October 2024, U.S. 6-7 Year Future Option | | | (100 | ) | | $ | (11,425 | ) | | $ | 114.25 | | | | 10/19/2024 | | | $ | (44 | ) |
December 2024, U.S. Bond Future Option | | | (82 | ) | | | (10,414 | ) | | | 127.00 | | | | 11/16/2024 | | | | (99 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (237,073 | ) | | | | | | | | | | | (845 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total Written Options | | | | | | $ | (295,766 | ) | | | | | | | | | | $ | (1,247 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
3 Month SOFR | | | 577 | | | | Mar-2026 | | | $ | 138,779 | | | $ | 139,923 | | | $ | 1,144 | |
U.S. 2-Year Treasury Note | | | 2,239 | | | | Dec-2024 | | | | 464,958 | | | | 466,254 | | | | 1,296 | |
U.S. 5-Year Treasury Note | | | 1,060 | | | | Dec-2024 | | | | 116,121 | | | | 116,476 | | | | 355 | |
U.S. 10-Year Treasury Note | | | 1,757 | | | | Dec-2024 | | | | 200,758 | | | | 200,792 | | | | 34 | |
U.S. 10-Year Treasury Note | | | 96 | | | | Dec-2024 | | | | 10,973 | | | | 10,971 | | | | (2 | ) |
U.S. Long Treasury Bond | | | 315 | | | | Dec-2024 | | | | 39,349 | | | | 39,119 | | | | (230 | ) |
U.S. Ultra Long Treasury Bond | | | 174 | | | | Dec-2024 | | | | 23,310 | | | | 23,158 | | | | (152 | ) |
Ultra 10-Year U.S. Treasury Note | | | 18 | | | | Dec-2024 | | | | 2,123 | | | | 2,129 | | | | 6 | |
| | | | | | | | | | | | 996,371 | | | | 998,822 | | | | 2,451 | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. 5-Year Treasury Note | | | (49 | ) | | | Dec-2024 | | | $ | (5,390 | ) | | $ | (5,384 | ) | | $ | 6 | |
U.S. Long Treasury Bond | | | (190 | ) | | | Dec-2024 | | | | (23,596 | ) | | | (23,595 | ) | | | 1 | |
Ultra 10-Year U.S. Treasury Note | | | (782 | ) | | | Dec-2024 | | | | (92,433 | ) | | | (92,508 | ) | | | (75 | ) |
| | | | | | | | | | | | (121,419 | ) | | | (121,487 | ) | | | (68 | ) |
| | | | | | | | | | | $ | 874,952 | | | $ | 877,335 | | | $ | 2,383 | |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2024, is as follows: |
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
BNP Paribas | | | 10/18/24 | | | | USD | | | | 1,198 | | | | CHF | | | | 1,010 | | | $ | 2 | |
BNP Paribas | | | 10/18/24 | | | | CHF | | | | 1,670 | | | | USD | | | | 1,953 | | | | (31 | ) |
BNP Paribas | | | 10/18/24 | | | | USD | | | | 3,761 | | | | NOK | | | | 41,420 | | | | 173 | |
BNP Paribas | | | 10/18/24 | | | | EUR | | | | 6,283 | | | | USD | | | | 6,833 | | | | (184 | ) |
BNP Paribas | | | 10/18/24 | | | | NOK | | | | 9,090 | | | | USD | | | | 850 | | | | (13 | ) |
Citigroup | | | 10/02/24 | | | | USD | | | | 2,323 | | | | BRL | | | | 13,000 | | | | 64 | |
Citigroup | | | 10/18/24 | | | | USD | | | | 927 | | | | INR | | | | 77,630 | | | | (1 | ) |
Citigroup | | | 10/18/24 | | | | USD | | | | 4,956 | | | | CNH | | | | 34,990 | | | | 51 | |
Citigroup | | | 10/18/24 | | | | USD | | | | 4,027 | | | | EUR | | | | 3,620 | | | | 16 | |
Citigroup | | | 10/18/24 | | | | USD | | | | 1,977 | | | | EUR | | | | 1,770 | | | | (1 | ) |
Citigroup | | | 10/18/24 | | | | AUD | | | | 6,290 | | | | USD | | | | 4,250 | | | | (114 | ) |
Citigroup | | | 10/18/24 | | | | EUR | | | | 6,330 | | | | USD | | | | 6,926 | | | | (144 | ) |
Citigroup | | | 10/18/24 | | | | USD | | | | 10,588 | | | | JPY | | | | 1,641,276 | | | | 919 | |
Citigroup | | | 10/18/24 | | | | USD | | | | 11,445 | | | | AUD | | | | 17,119 | | | | 434 | |
Citigroup | | | 10/18/24 | | | | CNH | | | | 136,362 | | | | USD | | | | 19,059 | | | | (458 | ) |
Citigroup | | | 10/18/24 | | | | JPY | | | | 956,340 | | | | USD | | | | 6,198 | | | | (507 | ) |
Goldman Sachs | | | 10/02/24 | | | | USD | | | | 14,380 | | | | BRL | | | | 79,280 | | | | 178 | |
Goldman Sachs | | | 10/02/24 | | | | BRL | | | | 92,280 | | | | USD | | | | 16,843 | | | | (103 | ) |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Continued)
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Goldman Sachs | | | 10/18/24 | | | | USD | | | | 1,794 | | | | NOK | | | | 19,753 | | | $ | 83 | |
Goldman Sachs | | | 10/18/24 | | | | AUD | | | | 3,960 | | | | USD | | | | 2,673 | | | | (75 | ) |
Goldman Sachs | | | 10/18/24 | | | | USD | | | | 1,829 | | | | CHF | | | | 1,540 | | | | 1 | |
Goldman Sachs | | | 10/18/24 | | | | USD | | | | 2,627 | | | | CHF | | | | 2,210 | | | | (1 | ) |
Goldman Sachs | | | 10/18/24 | | | | GBP | | | | 7,104 | | | | USD | | | | 9,133 | | | | (394 | ) |
Goldman Sachs | | | 10/18/24 | | | | CHF | | | | 10,370 | | | | USD | | | | 11,707 | | | | (616 | ) |
Goldman Sachs | | | 10/18/24 | | | | NOK | | | | 52,080 | | | | USD | | | | 4,863 | | | | (84 | ) |
Goldman Sachs | | | 11/04/24 | | | | USD | | | | 16,782 | | | | BRL | | | | 92,280 | | | | 95 | |
| | | | | | | | | | | | | | | | | | | | | | | $ | (710 | ) |
A list of the open OTC swap agreements held by the Fund at September 30, 2024, is as follows:
Interest Rate Swap |
Counterparty | | Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
Citigroup Global Markets | | | 1D OVERNIGHT BRAZIL INTERBANK DEPOSIT (CETIP) | | | | 10.2375% | | | | Annual | | | | 01/02/2029 | | | | BRL | | | | 70,430 | | | $ | (677 | ) | | $ | – | | | $ | (677 | ) |
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2024, is as follows:
| | Interest Rate Swaps | |
| | Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
| | | | | | | 4.2% | | | Secured Overnight Financing Rate - SOFR | | | | Annual | | | | 04/30/2031 | | | | USD | | | | 80,113 | | | $ | (4,373 | ) | | $ | (1,141 | ) | | $ | (3,232 | ) |
| | | | | | | FIXED 3.52% | | | Secured Overnight Financing Rate - SOFR | | | | Annual | | | | 12/20/2053 | | | | USD | | | | 7,131 | | | | (272 | ) | | | – | | | | (272 | ) |
| | | | | | | 3.15% | | | Secured Overnight Financing Rate - SOFR | | | | Annual | | | | 05/15/2048 | | | | USD | | | | 11,954 | | | | 474 | | | | 1,249 | | | | (775 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (4,171 | ) | | $ | 108 | | | $ | (4,279 | ) |
Credit Default Swap - Buy Protection | | | |
Reference Entity/ Obligation | | Pay Rate | | | Payment Frequency | | | Termination Date | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
CDS-CDX.NA.HY.4312 | | | 5.00% | | | | Quarterly | | | | 12/20/2029 | | | $ | 2,121 | | | $ | (154 | ) | | $ | (156 | ) | | $ | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Default Swap - Sell Protection | | | |
Reference Entity/ Obligation | | Receive Rate | | | Payment Frequency | | | Termination Date | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
CDS-NA.IG.4312 | | | 1.00% | | | | Quarterly | | | | 12/20/2029 | | | $ | 153,927 | | | $ | 3,421 | | | $ | 3,478 | | | $ | (57 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ** | The rate reported is the 7-day effective yield as of September 30, 2024. |
| | † | Investment in Affiliated Security (see Note 6). |
| | Percentages are based on Net Assets of $3,643,395 ($ Thousands). | (A) | Zero coupon security. |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Concluded)
(B) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(C) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(D) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2024, the value of these securities amounted to $483,635 ($ Thousands), representing 13.3% of the Net Assets of the Fund. |
(E) | Perpetual security with no stated maturity date. |
(F) | Interest rate represents the security's effective yield at the time of purchase. |
(G) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. The total market value of such securities as of September 30, 2024 was $1,771 ($ Thousands). |
(H) | Unsettled bank loan. Interest rate may not be available. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Mortgage-Backed Securities | | | – | | | | 1,447,129 | | | | – | | | | 1,447,129 | |
Corporate Obligations | | | – | | | | 977,553 | | | | – | | | | 977,553 | |
U.S. Treasury Obligations | | | – | | | | 973,879 | | | | – | | | | 973,879 | |
Asset-Backed Securities | | | – | | | | 314,608 | | | | – | | | | 314,608 | |
Sovereign Debt | | | – | | | | 32,228 | | | | – | | | | 32,228 | |
U.S. Government Agency Obligations | | | – | | | | 12,205 | | | | – | | | | 12,205 | |
Municipal Bonds | | | – | | | | 7,227 | | | | – | | | | 7,227 | |
Loan Participations | | | – | | | | 5,251 | | | | – | | | | 5,251 | |
Cash Equivalent | | | 37,736 | | | | – | | | | – | | | | 37,736 | |
Purchased Options | | | 80 | | | | – | | | | – | | | | 80 | |
Total Investments in Securities | | | 37,816 | | | | 3,770,080 | | | | – | | | | 3,807,896 | |
| |
| |
| |
| |
| |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Written Options | | | (1,247 | ) | | | – | | | | – | | | | (1,247 | ) |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 2,842 | | | | – | | | | 2,842 | |
| | Unrealized Depreciation | | | – | | | | (459 | ) | | | – | | | | (459 | ) |
| | Forward Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 2,016 | | | | – | | | | 2,016 | |
| | Unrealized Depreciation | | | – | | | | (2,726 | ) | | | – | | | | (2,726 | ) |
| | OTC Swap | | | | | | | | | | | | | | | | |
| | Interest Rate Swap* | | | | | | | | | | | | | | | | |
| | Unrealized Depreciation | | | – | | | | (677 | ) | | | – | | | | (677 | ) |
| | Centrally Cleared Swaps | | | | | | | | | | | | | | | | |
| | Interest Rate Swaps* | | | | | | | | | | | | | | | | |
| | Unrealized Depreciation | | | – | | | | (4,279 | ) | | | – | | | | (4,279 | ) |
| | Credit Default Swaps* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 2 | | | | – | | | | 2 | |
| | Unrealized Depreciation | | | – | | | | (57 | ) | | | – | | | | (57 | ) |
Total Other Financial Instruments | | | (1,247 | ) | | | (3,338 | ) | | | – | | | | (4,585 | ) |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Core Fixed Income Fund (Concluded)
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 53,339 | | | $ | 748,169 | | | $ | (801,296 | ) | | $ | (141 | ) | | $ | (71 | ) | | $ | — | | | $ | 312 | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 241,390 | | | | 3,743,640 | | | | (3,947,294 | ) | | | — | | | | — | | | | 37,736 | | | | 5,221 | | | | — | |
Totals | | $ | 294,729 | | | $ | 4,491,809 | | | $ | (4,748,590 | ) | | $ | (141 | ) | | $ | (71 | ) | | $ | 37,736 | | | $ | 5,533 | | | $ | — | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS — 77.1% |
Communication Services — 11.5% | | | | |
Altice Financing | | | | | | | | |
5.750%, 08/15/2029 (A) | | $ | 1,979 | | | $ | 1,590 | |
5.000%, 01/15/2028 (A) | | | 3,791 | | | | 3,207 | |
Altice France | | | | | | | | |
8.125%, 02/01/2027 (A) | | | 380 | | | | 311 | |
5.500%, 01/15/2028 (A) | | | 1,086 | | | | 790 | |
5.500%, 10/15/2029 (A) | | | 937 | | | | 656 | |
5.125%, 07/15/2029 (A) | | | 2,326 | | | | 1,635 | |
Altice France Holding | | | | | | | | |
10.500%, 05/15/2027 (A) | | | 1,101 | | | | 380 | |
AMC Entertainment Holdings | | | | | | | | |
10.000% cash/0% PIK, 06/15/2026 (A) | | | 384 | | | | 384 | |
AMC Networks | | | | | | | | |
10.250%, 01/15/2029 (A) | | | 356 | | | | 366 | |
ANGI Group | | | | | | | | |
3.875%, 08/15/2028 (A) | | | 1,979 | | | | 1,815 | |
Audacy Capital | | | | | | | | |
6.750%, 03/31/2029 (A)(B) | | | 3,784 | | | | 76 | |
6.500%, 05/01/2027 (A)(B) | | | 1,717 | | | | 34 | |
Beasley Mezzanine Holdings | | | | | | | | |
8.625%, 02/01/2026 (A) | | | 4,200 | | | | 2,415 | |
Belo | | | | | | | | |
7.250%, 09/15/2027 | | | 250 | | | | 258 | |
C&W Senior Finance | | | | | | | | |
6.875%, 09/15/2027 (A) | | | 569 | | | | 567 | |
CCO Holdings | | | | | | | | |
7.375%, 03/01/2031 (A) | | | 895 | | | | 916 | |
5.375%, 06/01/2029 (A) | | | 1,088 | | | | 1,049 | |
5.125%, 05/01/2027 (A) | | | 3,600 | | | | 3,543 | |
5.000%, 02/01/2028 (A) | | | 2,719 | | | | 2,645 | |
4.750%, 03/01/2030 (A) | | | 1,930 | | | | 1,775 | |
4.500%, 08/15/2030 (A) | | | 5,377 | | | | 4,874 | |
4.500%, 05/01/2032 | | | 2,115 | | | | 1,829 | |
4.250%, 02/01/2031 (A) | | | 5,179 | | | | 4,566 | |
4.250%, 01/15/2034 (A) | | | 815 | | | | 669 | |
Charter Communications Operating | | | | | | | | |
6.550%, 06/01/2034 | | | 1,995 | | | | 2,075 | |
6.384%, 10/23/2035 | | | 1,080 | | | | 1,103 | |
Cinemark USA | | | | | | | | |
7.000%, 08/01/2032 (A) | | | 64 | | | | 67 | |
5.250%, 07/15/2028 (A) | | | 140 | | | | 137 | |
Clear Channel Outdoor Holdings | | | | | | | | |
5.125%, 08/15/2027 (A) | | | 2,147 | | | | 2,111 | |
Clear Channel Outdoor Holdings Inc | | | | | | | | |
9.000%, 09/15/2028 (A) | | | 105 | | | | 112 | |
7.750%, 04/15/2028 (A) | | | 295 | | | | 264 | |
7.500%, 06/01/2029 (A) | | | 539 | | | | 464 | |
CMG Media | | | | | | | | |
8.875%, 12/15/2027 (A)(C) | | | 4,350 | | | | 2,545 | |
Connect Finco SARL | | | | | | | | |
9.000%, 09/15/2029 (A) | | | 1,086 | | | | 1,051 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Consolidated Communications | | | | | | | | |
6.500%, 10/01/2028 (A) | | $ | 539 | | | $ | 509 | |
CSC Holdings | | | | | | | | |
7.500%, 04/01/2028 (A) | | | 815 | | | | 545 | |
6.500%, 02/01/2029 (A) | | | 2,718 | | | | 2,251 | |
Diamond Sports Group | | | | | | | | |
6.625%, 08/15/2027 (A)(B) | | | 1,993 | | | | 25 | |
5.375%, 08/15/2026 (A)(B) | | | 2,955 | | | | 37 | |
DISH DBS | | | | | | | | |
7.750%, 07/01/2026 | | | 3,314 | | | | 2,876 | |
7.375%, 07/01/2028 | | | 405 | | | | 303 | |
5.875%, 11/15/2024 | | | 2,982 | | | | 2,965 | |
5.750%, 12/01/2028 (A) | | | 1,627 | | | | 1,422 | |
5.250%, 12/01/2026 (A) | | | 2,577 | | | | 2,381 | |
5.125%, 06/01/2029 | | | 1,085 | | | | 728 | |
Frontier Communications Holdings | | | | | | | | |
8.750%, 05/15/2030 (A) | | | 211 | | | | 225 | |
6.750%, 05/01/2029 (A) | | | 1,444 | | | | 1,454 | |
6.000%, 01/15/2030 (A) | | | 1,727 | | | | 1,724 | |
5.875%, 10/15/2027 (A) | | | 22 | | | | 22 | |
5.875%, 11/01/2029 | | | 511 | | | | 507 | |
5.000%, 05/01/2028 (A) | | | 695 | | | | 689 | |
Gannett Holdings | | | | | | | | |
6.000%, 11/01/2026 (A) | | | 138 | | | | 138 | |
Gray Television | | | | | | | | |
10.500%, 07/15/2029 (A) | | | 1,491 | | | | 1,557 | |
7.000%, 05/15/2027 (A) | | | 1,209 | | | | 1,189 | |
5.375%, 11/15/2031 (A) | | | 4,114 | | | | 2,573 | |
4.750%, 10/15/2030 (A) | | | 5,195 | | | | 3,305 | |
iHeartCommunications | | | | | | | | |
8.375%, 05/01/2027 | | | 795 | | | | 425 | |
6.375%, 05/01/2026 | | | 1,139 | | | | 997 | |
5.250%, 08/15/2027 (A) | | | 300 | | | | 205 | |
Iliad Holding SASU | | | | | | | | |
8.500%, 04/15/2031 (A) | | | 935 | | | | 1,006 | |
Intelsat Jackson Holdings | | | | | | | | |
6.500%, 03/15/2030 (A) | | | 1,482 | | | | 1,418 | |
Level 3 Financing | | | | | | | | |
11.000%, 11/15/2029 (A) | | | 863 | | | | 956 | |
10.500%, 04/15/2029 (A) | | | 3,654 | | | | 3,983 | |
10.500%, 05/15/2030 (A) | | | 2,439 | | | | 2,625 | |
4.875%, 06/15/2029 (A) | | | 2,700 | | | | 2,268 | |
4.500%, 04/01/2030 (A) | | | 1,335 | | | | 1,034 | |
3.875%, 10/15/2030 (A) | | | 1,464 | | | | 1,072 | |
3.750%, 07/15/2029 (A) | | | 2,260 | | | | 1,537 | |
3.625%, 01/15/2029 | | | 1,190 | | | | 830 | |
Live Nation Entertainment | | | | | | | | |
6.500%, 05/15/2027 (A) | | | 911 | | | | 929 | |
5.625%, 03/15/2026 (A) | | | 309 | | | | 308 | |
4.750%, 10/15/2027 (A) | | | 766 | | | | 755 | |
3.750%, 01/15/2028 (A) | | | 668 | | | | 642 | |
Lumen Technologies | | | | | | | | |
5.625%, 04/01/2025 | | | 274 | | | | 272 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.375%, 06/15/2029 (A) | | $ | 263 | | | $ | 181 | |
4.500%, 01/15/2029 (A) | | | 95 | | | | 65 | |
4.125%, 04/15/2029 (A) | | | 211 | | | | 177 | |
4.125%, 04/15/2030 (A) | | | 1,469 | | | | 1,185 | |
McGraw-Hill Education | | | | | | | | |
7.375%, 09/01/2031 (A) | | | 120 | | | | 124 | |
5.750%, 08/01/2028 (A) | | | 2,645 | | | | 2,614 | |
Midcontinent Communications | | | | | | | | |
8.000%, 08/15/2032 (A) | | | 1,749 | | | | 1,780 | |
Nexstar Media | | | | | | | | |
5.625%, 07/15/2027 (A) | | | 710 | | | | 703 | |
4.750%, 11/01/2028 (A) | | | 1,794 | | | | 1,714 | |
Paramount Global | | | | | | | | |
6.375%, H15T5Y + 3.999%, 03/30/2062 (D) | | | 569 | | | | 526 | |
4.950%, 01/15/2031 | | | 2,583 | | | | 2,437 | |
Sable International Finance | | | | | | | | |
7.125%, 10/15/2032 (A) | | | 540 | | | | 542 | |
5.750%, 09/07/2027 (A) | | | 854 | | | | 850 | |
Scripps Escrow | | | | | | | | |
5.875%, 07/15/2027 (A) | | | 1,957 | | | | 1,703 | |
Scripps Escrow II | | | | | | | | |
3.875%, 01/15/2029 (A) | | | 2,641 | | | | 1,968 | |
Sinclair Television Group | | | | | | | | |
5.125%, 02/15/2027 (A) | | | 215 | | | | 187 | |
4.125%, 12/01/2030 (A) | | | 100 | | | | 78 | |
Sirius XM Radio | | | | | | | | |
5.500%, 07/01/2029 (A) | | | 1,059 | | | | 1,035 | |
5.000%, 08/01/2027 (A) | | | 515 | | | | 507 | |
4.125%, 07/01/2030 (A) | | | 85 | | | | 77 | |
4.000%, 07/15/2028 (A) | | | 612 | | | | 577 | |
3.125%, 09/01/2026 (A) | | | 501 | | | | 484 | |
Spanish Broadcasting System | | | | | | | | |
9.750%, 03/01/2026 (A) | | | 3,120 | | | | 2,044 | |
Stagwell Global | | | | | | | | |
5.625%, 08/15/2029 (A) | | | 363 | | | | 351 | |
TEGNA | | | | | | | | |
4.625%, 03/15/2028 | | | 1,104 | | | | 1,053 | |
Telesat Canada | | | | | | | | |
6.500%, 10/15/2027 (A) | | | 1,393 | | | | 462 | |
5.625%, 12/06/2026 (A) | | | 2,325 | | | | 1,107 | |
United States Cellular | | | | | | | | |
6.700%, 12/15/2033 | | | 255 | | | | 284 | |
Urban One | | | | | | | | |
7.375%, 02/01/2028 (A) | | | 4,640 | | | | 3,349 | |
Vmed O2 UK Financing I | | | | | | | | |
4.250%, 01/31/2031 (A) | | | 2,170 | | | | 1,921 | |
Windstream Escrow | | | | | | | | |
8.250%, 10/01/2031 (A) | | | 806 | | | | 819 | |
7.750%, 08/15/2028 (A) | | | 1,565 | | | | 1,567 | |
Zayo Group Holdings Inc | | | | | | | | |
6.125%, 03/01/2028 (A) | | | 2,489 | | | | 2,066 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.000%, 03/01/2027 (A) | | $ | 5,766 | | | $ | 5,157 | |
| | | | | | | | | |
| | | | | | | | 134,660 | |
| | | | | | | | | |
Consumer Discretionary — 13.0% | | | | |
1011778 BC ULC | | | | | | | | |
5.625%, 09/15/2029 (A) | | | 1,089 | | | | 1,105 | |
4.375%, 01/15/2028 (A) | | | 1,010 | | | | 981 | |
3.875%, 01/15/2028 (A) | | | 180 | | | | 173 | |
Academy | | | | | | | | |
6.000%, 11/15/2027 (A) | | | 1,010 | | | | 1,012 | |
Adient Global Holdings Ltd | | | | | | | | |
8.250%, 04/15/2031 (A) | | | 1,427 | | | | 1,514 | |
7.000%, 04/15/2028 (A) | | | 17 | | | | 18 | |
4.875%, 08/15/2026 (A) | | | 525 | | | | 520 | |
Adtalem Global Education | | | | | | | | |
5.500%, 03/01/2028 (A) | | | 1,461 | | | | 1,447 | |
Amer Sports | | | | | | | | |
6.750%, 02/16/2031 (A) | | | 1,274 | | | | 1,306 | |
American Axle & Manufacturing | | | | | | | | |
6.500%, 04/01/2027 | | | 605 | | | | 606 | |
6.250%, 03/15/2026 | | | 22 | | | | 22 | |
5.000%, 10/01/2029 | | | 4 | | | | 4 | |
Aramark Services | | | | | | | | |
5.000%, 04/01/2025 (A) | | | 465 | | | | 464 | |
5.000%, 02/01/2028 (A) | | | 287 | | | | 286 | |
Asbury Automotive Group | | | | | | | | |
4.625%, 11/15/2029 (A) | | | 919 | | | | 876 | |
4.500%, 03/01/2028 | | | 1,661 | | | | 1,617 | |
Ashton Woods USA | | | | | | | | |
6.625%, 01/15/2028 (A) | | | 2,072 | | | | 2,091 | |
4.625%, 08/01/2029 (A) | | | 400 | | | | 384 | |
4.625%, 04/01/2030 (A) | | | 620 | | | | 594 | |
Aston Martin Capital Holdings | | | | | | | | |
10.000%, 03/31/2029 (A) | | | 1,750 | | | | 1,717 | |
Aventine (Escrow Security) | | | | | | | | |
0.000%, 10/15/2049 (B)(E)(F) | | | 2,750 | | | | – | |
Bath & Body Works | | | | | | | | |
7.600%, 07/15/2037 | | | 370 | | | | 369 | |
7.500%, 06/15/2029 | | | 271 | | | | 280 | |
6.875%, 11/01/2035 | | | 634 | | | | 661 | |
6.750%, 07/01/2036 | | | 2,590 | | | | 2,669 | |
6.625%, 10/01/2030 (A) | | | 1,669 | | | | 1,701 | |
5.250%, 02/01/2028 | | | 349 | | | | 349 | |
Boyne USA | | | | | | | | |
4.750%, 05/15/2029 (A) | | | 774 | | | | 744 | |
Brookfield Residential Properties | | | | | | | | |
5.000%, 06/15/2029 (A) | | | 135 | | | | 129 | |
4.875%, 02/15/2030 (A) | | | 1,800 | | | | 1,695 | |
Caesars Entertainment | | | | | | | | |
8.125%, 07/01/2027 (A) | | | 430 | | | | 439 | |
7.000%, 02/15/2030 (A) | | | 1,585 | | | | 1,656 | |
6.500%, 02/15/2032 (A) | | | 210 | | | | 217 | |
4.625%, 10/15/2029 (A) | | | 166 | | | | 158 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Carnival | | | | | | | | |
7.000%, 08/15/2029 (A) | | $ | 102 | | | $ | 108 | |
6.000%, 05/01/2029 (A) | | | 4,169 | | | | 4,224 | |
5.750%, 03/01/2027 (A) | | | 418 | | | | 423 | |
4.000%, 08/01/2028 (A) | | | 888 | | | | 858 | |
Carnival Holdings Bermuda | | | | | | | | |
10.375%, 05/01/2028 (A) | | | 1,654 | | | | 1,785 | |
Carvana, Strike Price Fixed | | | | | | | | |
14.000% cash/0% PIK, 06/01/2031 (A) | | | 1,895 | | | | 2,232 | |
CD&R Smokey Buyer | | | | | | | | |
9.500%, 10/15/2029 (A) | | | 228 | | | | 228 | |
6.750%, 07/15/2025 (A) | | | 514 | | | | 514 | |
Cedar Fair | | | | | | | | |
5.375%, 04/15/2027 | | | 140 | | | | 140 | |
5.250%, 07/15/2029 | | | 275 | | | | 270 | |
Churchill Downs | | | | | | | | |
4.750%, 01/15/2028 (A) | | | 685 | | | | 672 | |
Clarios Global | | | | | | | | |
8.500%, 05/15/2027 (A) | | | 3,830 | | | | 3,843 | |
6.750%, 05/15/2028 (A) | | | 203 | | | | 209 | |
6.250%, 05/15/2026 (A) | | | 486 | | | | 486 | |
Cooper-Standard Automotive | | | | | | | | |
13.500% cash/0% PIK, 03/31/2027 (A) | | | 1,613 | | | | 1,733 | |
5.625% cash/0% PIK, 05/15/2027 (A) | | | 970 | | | | 793 | |
Cougar JV Subsidiary | | | | | | | | |
8.000%, 05/15/2032 (A) | | | 2,033 | | | | 2,149 | |
CSC Holdings | | | | | | | | |
11.250%, 05/15/2028 (A) | | | 2,699 | | | | 2,605 | |
5.750%, 01/15/2030 (A) | | | 2,674 | | | | 1,384 | |
4.625%, 12/01/2030 (A) | | | 1,370 | | | | 695 | |
4.500%, 11/15/2031 (A) | | | 299 | | | | 218 | |
4.125%, 12/01/2030 (A) | | | 123 | | | | 90 | |
3.375%, 02/15/2031 (A) | | | 463 | | | | 328 | |
Dana | | | | | | | | |
5.625%, 06/15/2028 | | | 205 | | | | 201 | |
DirecTV Financing | | | | | | | | |
8.875%, 02/01/2030 (A) | | | 880 | | | | 885 | |
5.875%, 08/15/2027 (A) | | | 269 | | | | 264 | |
DISH Network | | | | | | | | |
11.750%, 11/15/2027 (A) | | | 5,585 | | | | 5,862 | |
Dornoch Debt Merger Sub | | | | | | | | |
6.625%, 10/15/2029 (A) | | | 390 | | | | 343 | |
eG Global Finance | | | | | | | | |
12.000%, 11/30/2028 (A) | | | 1,315 | | | | 1,468 | |
Empire Resorts | | | | | | | | |
7.750%, 11/01/2026 (A) | | | 1,960 | | | | 1,887 | |
Fertitta Entertainment | | | | | | | | |
4.625%, 01/15/2029 (A) | | | 1,165 | | | | 1,112 | |
Fontainebleau Las Vegas Holdings | | | | | | | | |
11.000%, 06/15/2015 (A)(B)(E) | | | 3,108 | | | | – | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Ford Motor Credit | | | | | | | | |
7.200%, 06/10/2030 | | $ | 200 | | | $ | 215 | |
7.122%, 11/07/2033 | | | 200 | | | | 216 | |
6.950%, 06/10/2026 | | | 200 | | | | 206 | |
6.800%, 05/12/2028 | | | 200 | | | | 210 | |
4.687%, 06/09/2025 | | | 455 | | | | 453 | |
4.542%, 08/01/2026 | | | 530 | | | | 526 | |
4.000%, 11/13/2030 | | | 200 | | | | 185 | |
Ford Motor Credit MTN | | | | | | | | |
4.389%, 01/08/2026 | | | 200 | | | | 198 | |
Foundation Building Materials | | | | | | | | |
6.000%, 03/01/2029 (A) | | | 883 | | | | 778 | |
Gap | | | | | | | | |
3.625%, 10/01/2029 (A) | | | 507 | | | | 459 | |
GCI | | | | | | | | |
4.750%, 10/15/2028 (A) | | | 639 | | | | 614 | |
Genting New York | | | | | | | | |
7.250%, 10/01/2029 (A) | | | 815 | | | | 825 | |
Goodyear Tire & Rubber | | | | | | | | |
5.250%, 04/30/2031 | | | 122 | | | | 110 | |
5.250%, 07/15/2031 | | | 304 | | | | 274 | |
5.000%, 07/15/2029 | | | 327 | | | | 301 | |
Group 1 Automotive | | | | | | | | |
6.375%, 01/15/2030 (A) | | | 82 | | | | 83 | |
GrubHub Holdings | | | | | | | | |
5.500%, 07/01/2027 (A) | | | 2,160 | | | | 2,003 | |
Hilton Domestic Operating | | | | | | | | |
6.125%, 04/01/2032 (A) | | | 87 | | | | 90 | |
5.875%, 04/01/2029 (A) | | | 87 | | | | 89 | |
5.875%, 03/15/2033 (A) | | | 186 | | | | 189 | |
5.750%, 05/01/2028 (A) | | | 246 | | | | 247 | |
4.875%, 01/15/2030 | | | 50 | | | | 49 | |
4.000%, 05/01/2031 (A) | | | 2,640 | | | | 2,469 | |
3.750%, 05/01/2029 (A) | | | 1,159 | | | | 1,099 | |
International Game Technology | | | | | | | | |
5.250%, 01/15/2029 (A) | | | 860 | | | | 857 | |
Jacobs Entertainment | | | | | | | | |
6.750%, 02/15/2029 (A) | | | 1,685 | | | | 1,639 | |
Landsea Homes | | | | | | | | |
8.875%, 04/01/2029 (A) | | | 870 | | | | 917 | |
LBM Acquisition | | | | | | | | |
6.250%, 01/15/2029 (A) | | | 1,374 | | | | 1,299 | |
LCM Investments Holdings II | | | | | | | | |
8.250%, 08/01/2031 (A) | | | 1,530 | | | | 1,625 | |
4.875%, 05/01/2029 (A) | | | 1,094 | | | | 1,051 | |
LCPR Senior Secured Financing DAC | | | | | | | | |
6.750%, 10/15/2027 (A) | | | 1,015 | | | | 929 | |
LGI Homes | | | | | | | | |
8.750%, 12/15/2028 (A) | | | 1,530 | | | | 1,638 | |
Liberty Interactive | | | | | | | | |
8.500%, 07/15/2029 | | | 324 | | | | 174 | |
8.250%, 02/01/2030 | | | 4,975 | | | | 2,561 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Life Time | | | | | | | | |
5.750%, 01/15/2026 (A) | | $ | 515 | | | $ | 515 | |
Lithia Motors | | | | | | | | |
3.875%, 06/01/2029 (A) | | | 341 | | | | 318 | |
MGM Resorts International | | | | | | | | |
6.500%, 04/15/2032 | | | 176 | | | | 180 | |
6.125%, 09/15/2029 | | | 990 | | | | 1,002 | |
5.750%, 06/15/2025 | | | 674 | | | | 676 | |
4.750%, 10/15/2028 | | | 1,891 | | | | 1,853 | |
Midwest Gaming Borrower | | | | | | | | |
4.875%, 05/01/2029 (A) | | | 1,227 | | | | 1,177 | |
Monitronics International (Escrow Security) | | | | | | | | |
9.125%, 04/01/2020 (B)(E) | | | 5,936 | | | | – | |
NCL | | | | | | | | |
8.375%, 02/01/2028 (A) | | | 1,430 | | | | 1,502 | |
NESCO Holdings II | | | | | | | | |
5.500%, 04/15/2029 (A) | | | 271 | | | | 250 | |
Newell Brands | | | | | | | | |
6.875%, 04/01/2036 | | | 70 | | | | 67 | |
6.625%, 09/15/2029 | | | 70 | | | | 71 | |
6.375%, 09/15/2027 | | | 200 | | | | 202 | |
5.700%, 04/01/2026 | | | 420 | | | | 421 | |
Nordstrom | | | | | | | | |
4.375%, 04/01/2030 | | | 563 | | | | 516 | |
Papa John's International | | | | | | | | |
3.875%, 09/15/2029 (A) | | | 519 | | | | 480 | |
PetSmart | | | | | | | | |
7.750%, 02/15/2029 (A) | | | 250 | | | | 247 | |
4.750%, 02/15/2028 (A) | | | 1,335 | | | | 1,280 | |
PM General Purchaser | | | | | | | | |
9.500%, 10/01/2028 (A) | | | 348 | | | | 354 | |
QVC | | | | | | | | |
6.875%, 04/15/2029 (A) | | | 831 | | | | 690 | |
Rakuten Group | | | | | | | | |
11.250%, 02/15/2027 (A) | | | 958 | | | | 1,048 | |
Real Hero Merger Sub 2 | | | | | | | | |
6.250%, 02/01/2029 (A) | | | 1,255 | | | | 1,092 | |
Royal Caribbean Cruises | | | | | | | | |
6.250%, 03/15/2032 (A) | | | 167 | | | | 173 | |
6.000%, 02/01/2033 (A) | | | 1,169 | | | | 1,199 | |
5.625%, 09/30/2031 (A) | | | 164 | | | | 166 | |
Service International | | | | | | | | |
7.500%, 04/01/2027 | | | 352 | | | | 367 | |
5.750%, 10/15/2032 | | | 865 | | | | 871 | |
Shea Homes | | | | | | | | |
4.750%, 04/01/2029 | | | 825 | | | | 799 | |
Shutterfly Finance | | | | | | | | |
9.750%, 10/01/2027 (A) | | | 83 | | | | 83 | |
8.500% cash/0% PIK, 10/01/2027 (A) | | | 539 | | | | 463 | |
Six Flags Entertainment | | | | | | | | |
7.250%, 05/15/2031 (A) | | | 3,126 | | | | 3,238 | |
6.625%, 05/01/2032 (A) | | | 984 | | | | 1,019 | |
5.500%, 04/15/2027 (A) | | | 20 | | | | 20 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Six Flags Theme Parks | | | | | | | | |
7.000%, 07/01/2025 (A) | | $ | 46 | | | $ | 46 | |
Sonic Automotive | | | | | | | | |
4.625%, 11/15/2029 (A) | | | 341 | | | | 320 | |
Specialty Building Products Holdings | | | | | | | | |
6.375%, 09/30/2026 (A) | | | 2,394 | | | | 2,385 | |
Staples | | | | | | | | |
12.750%, 01/15/2030 (A) | | | 435 | | | | 357 | |
10.750%, 09/01/2029 (A) | | | 1,139 | | | | 1,105 | |
Station Casinos | | | | | | | | |
6.625%, 03/15/2032 (A) | | | 1,380 | | | | 1,411 | |
4.625%, 12/01/2031 (A) | | | 205 | | | | 190 | |
4.500%, 02/15/2028 (A) | | | 585 | | | | 565 | |
StoneMor | | | | | | | | |
8.500%, 05/15/2029 (A) | | | 2,370 | | | | 2,115 | |
Studio City Finance | | | | | | | | |
5.000%, 01/15/2029 (A) | | | 1,835 | | | | 1,687 | |
Superior Plus | | | | | | | | |
4.500%, 03/15/2029 (A) | | | 202 | | | | 192 | |
SWF Holdings I | | | | | | | | |
6.500%, 10/01/2029 (A)(C) | | | 495 | | | | 314 | |
Taylor Morrison Communities | | | | | | | | |
5.125%, 08/01/2030 (A) | | | 1,768 | | | | 1,757 | |
Telenet Finance Luxembourg Notes Sarl | | | | | | | | |
5.500%, 03/01/2028 (A) | | | 1,800 | | | | 1,746 | |
Tempur Sealy International | | | | | | | | |
4.000%, 04/15/2029 (A) | | | 540 | | | | 504 | |
3.875%, 10/15/2031 (A) | | | 126 | | | | 112 | |
Time Warner Entertainment | | | | | | | | |
8.375%, 07/15/2033 | | | 1,028 | | | | 1,183 | |
Univision Communications | | | | | | | | |
8.000%, 08/15/2028 (A) | | | 1,809 | | | | 1,850 | |
7.375%, 06/30/2030 (A) | | | 326 | | | | 315 | |
4.500%, 05/01/2029 (A) | | | 810 | | | | 724 | |
Vail Resorts | | | | | | | | |
6.500%, 05/15/2032 (A) | | | 123 | | | | 129 | |
Victoria's Secret | | | | | | | | |
4.625%, 07/15/2029 (A) | | | 2,866 | | | | 2,531 | |
Viking Cruises | | | | | | | | |
5.875%, 09/15/2027 (A) | | | 2,030 | | | | 2,029 | |
Virgin Media Finance | | | | | | | | |
5.000%, 07/15/2030 (A) | | | 493 | | | | 434 | |
Virgin Media Secured Finance | | | | | | | | |
4.500%, 08/15/2030 (A) | | | 690 | | | | 614 | |
Virgin Media Vendor Financing Notes IV DAC | | | | | | | | |
5.000%, 07/15/2028 (A) | | | 2,135 | | | | 2,058 | |
Vista Outdoor | | | | | | | | |
4.500%, 03/15/2029 (A) | | | 408 | | | | 405 | |
Wand NewCo 3 | | | | | | | | |
7.625%, 01/30/2032 (A) | | | 1,156 | | | | 1,218 | |
Wayfair | | | | | | | | |
7.250%, 10/31/2029 (A) | | | 1,164 | | | | 1,192 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
White Capital Parent | | | | | | | | |
8.250% cash/0% PIK, 03/15/2026 (A) | | $ | 1,765 | | | $ | 1,766 | |
Wolverine World Wide | | | | | | | | |
4.000%, 08/15/2029 (A) | | | 1,717 | | | | 1,515 | |
WW International | | | | | | | | |
4.500%, 04/15/2029 (A) | | | 1,410 | | | | 311 | |
Wynn Las Vegas | | | | | | | | |
5.250%, 05/15/2027 (A) | | | 1,163 | | | | 1,164 | |
Wynn Macau | | | | | | | | |
5.125%, 12/15/2029 (A) | | | 1,125 | | | | 1,057 | |
Wynn Resorts Finance | | | | | | | | |
7.125%, 02/15/2031 (A) | | | 758 | | | | 818 | |
6.250%, 03/15/2033 (A) | | | 576 | | | | 584 | |
5.125%, 10/01/2029 (A) | | | 394 | | | | 389 | |
Yum! Brands | | | | | | | | |
6.875%, 11/15/2037 | | | 850 | | | | 963 | |
5.375%, 04/01/2032 | | | 1,174 | | | | 1,170 | |
3.625%, 03/15/2031 | | | 570 | | | | 526 | |
| | | | | | | | | |
| | | | | | | | 152,481 | |
| | | | | | | | | |
Consumer Staples — 2.2% | | | | |
Albertsons | | | | | | | | |
5.875%, 02/15/2028 (A) | | | 295 | | | | 296 | |
4.875%, 02/15/2030 (A) | | | 1,145 | | | | 1,127 | |
3.500%, 03/15/2029 (A) | | | 463 | | | | 432 | |
3.250%, 03/15/2026 (A) | | | 201 | | | | 194 | |
Central Garden & Pet | | | | | | | | |
5.125%, 02/01/2028 | | | 350 | | | | 347 | |
4.125%, 10/15/2030 | | | 242 | | | | 225 | |
4.125%, 04/30/2031 (A) | | | 168 | | | | 154 | |
Chobani | | | | | | | | |
7.625%, 07/01/2029 (A) | | | 588 | | | | 618 | |
Coty | | | | | | | | |
6.625%, 07/15/2030 (A) | | | 1,561 | | | | 1,622 | |
Edgewell Personal Care | | | | | | | | |
5.500%, 06/01/2028 (A) | | | 315 | | | | 313 | |
4.125%, 04/01/2029 (A) | | | 192 | | | | 182 | |
Energizer Holdings | | | | | | | | |
4.750%, 06/15/2028 (A) | | | 484 | | | | 470 | |
4.375%, 03/31/2029 (A) | | | 642 | | | | 608 | |
Garda World Security | | | | | | | | |
6.000%, 06/01/2029 (A) | | | 242 | | | | 232 | |
High Ridge Brands Co. (Escrow Security) | | | | | | | | |
8.875%, 03/15/2025 (A)(B) | | | 445 | | | | – | |
HLF Financing Sarl | | | | | | | | |
12.250%, 04/15/2029 (A) | | | 1,626 | | | | 1,621 | |
Lamb Weston Holdings | | | | | | | | |
4.125%, 01/31/2030 (A) | | | 1,430 | | | | 1,341 | |
New Albertsons | | | | | | | | |
8.700%, 05/01/2030 | | | 705 | | | | 780 | |
8.000%, 05/01/2031 | | | 910 | | | | 975 | |
Performance Food Group | | | | | | | | |
6.125%, 09/15/2032 (A) | | | 1,344 | | | | 1,373 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.500%, 10/15/2027 (A) | | $ | 370 | | | $ | 369 | |
4.250%, 08/01/2029 (A) | | | 859 | | | | 817 | |
Post Holdings | | | | | | | | |
6.375%, 03/01/2033 (A) | | | 688 | | | | 699 | |
6.250%, 02/15/2032 (A) | | | 61 | | | | 63 | |
5.625%, 01/15/2028 (A) | | | 190 | | | | 192 | |
5.500%, 12/15/2029 (A) | | | 1,170 | | | | 1,161 | |
RAD (Escrow Security) | | | | | | | | |
8.000%, 10/18/2024 (A)(B)(C)(E) | | | 853 | | | | – | |
8.000%, 11/15/2026 (A)(B)(C)(E) | | | 2,195 | | | | – | |
7.500%, 07/01/2025 (A)(B)(C)(E) | | | 846 | | | | – | |
Rite Aid | | | | | | | | |
15.000% cash/0% PIK, 08/30/2031 (C)(E) | | | 1,255 | | | | 695 | |
12.057% ash/0% PIK, TSFR3M + 7.000%, 08/30/2031 (A)(C)(D)(E) | | | 299 | | | | 278 | |
Sigma Holdco BV | | | | | | | | |
7.875%, 05/15/2026 (A) | | | 1,599 | | | | 1,590 | |
Simmons Foods | | | | | | | | |
4.625%, 03/01/2029 (A) | | | 2,144 | | | | 2,034 | |
Triton Water Holdings | | | | | | | | |
6.250%, 04/01/2029 (A) | | | 1,707 | | | | 1,705 | |
US Foods | | | | | | | | |
6.875%, 09/15/2028 (A) | | | 83 | | | | 87 | |
4.625%, 06/01/2030 (A) | | | 230 | | | | 222 | |
Victra Holdings | | | | | | | | |
8.750%, 09/15/2029 (A) | | | 1,410 | | | | 1,480 | |
Walgreens Boots Alliance | | | | | | | | |
8.125%, 08/15/2029 | | | 1,405 | | | | 1,402 | |
4.800%, 11/18/2044 | | | 140 | | | | 105 | |
| | | | | | | | | |
| | | | | | | | 25,809 | |
| | | | | | | | | |
Energy — 11.2% | | | | |
Aethon United BR | | | | | | | | |
8.250%, 02/15/2026 (A) | | | 1,216 | | | | 1,230 | |
7.500%, 10/01/2029 (A) | | | 3,395 | | | | 3,440 | |
Antero Midstream Partners | | | | | | | | |
5.750%, 03/01/2027 (A) | | | 50 | | | | 50 | |
5.750%, 01/15/2028 (A) | | | 300 | | | | 301 | |
5.375%, 06/15/2029 (A) | | | 1,116 | | | | 1,104 | |
Antero Resources | | | | | | | | |
8.375%, 07/15/2026 (A) | | | 260 | | | | 267 | |
7.625%, 02/01/2029 (A) | | | 160 | | | | 165 | |
Apache | | | | | | | | |
5.100%, 09/01/2040 | | | 2,111 | | | | 1,877 | |
Archrock Partners | | | | | | | | |
6.875%, 04/01/2027 (A) | | | 99 | | | | 99 | |
6.625%, 09/01/2032 (A) | | | 723 | | | | 742 | |
6.250%, 04/01/2028 (A) | | | 1,079 | | | | 1,084 | |
Ascent Resources Utica Holdings | | | | | | | | |
8.250%, 12/31/2028 (A) | | | 2,368 | | | | 2,426 | |
7.000%, 11/01/2026 (A) | | | 1,301 | | | | 1,302 | |
5.875%, 06/30/2029 (A) | | | 240 | | | | 237 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Baytex Energy | | | | | | | | |
8.500%, 04/30/2030 (A) | | $ | 320 | | | $ | 332 | |
7.375%, 03/15/2032 (A) | | | 1,305 | | | | 1,300 | |
Blue Racer Midstream | | | | | | | | |
7.250%, 07/15/2032 (A) | | | 578 | | | | 606 | |
7.000%, 07/15/2029 (A) | | | 609 | | | | 633 | |
6.625%, 07/15/2026 (A) | | | 115 | | | | 115 | |
Buckeye Partners | | | | | | | | |
4.500%, 03/01/2028 (A) | | | 400 | | | | 388 | |
4.125%, 03/01/2025 (A) | | | 155 | | | | 154 | |
4.125%, 12/01/2027 | | | 135 | | | | 130 | |
Cheniere Energy Partners | | | | | | | | |
4.000%, 03/01/2031 | | | 389 | | | | 368 | |
3.250%, 01/31/2032 | | | 260 | | | | 233 | |
Chord Energy Corp | | | | | | | | |
6.375%, 06/01/2026 (A) | | | 379 | | | | 380 | |
CITGO Petroleum | | | | | | | | |
8.375%, 01/15/2029 (A) | | | 1,355 | | | | 1,410 | |
6.375%, 06/15/2026 (A) | | | 2,025 | | | | 2,026 | |
Civitas Resources | | | | | | | | |
8.750%, 07/01/2031 (A) | | | 1,679 | | | | 1,777 | |
8.625%, 11/01/2030 (A) | | | 1,822 | | | | 1,930 | |
8.375%, 07/01/2028 (A) | | | 319 | | | | 332 | |
Comstock Resources | | | | | | | | |
6.750%, 03/01/2029 (A) | | | 4,238 | | | | 4,138 | |
5.875%, 01/15/2030 (A) | | | 195 | | | | 182 | |
Crescent Energy Finance | | | | | | | | |
9.250%, 02/15/2028 (A) | | | 459 | | | | 479 | |
7.625%, 04/01/2032 (A) | | | 154 | | | | 154 | |
7.375%, 01/15/2033 (A) | | | 135 | | | | 133 | |
CVR Energy | | | | | | | | |
8.500%, 01/15/2029 (A) | | | 1,525 | | | | 1,542 | |
Diamond Foreign Asset | | | | | | | | |
8.500%, 10/01/2030 (A) | | | 203 | | | | 212 | |
DT Midstream | | | | | | | | |
4.375%, 06/15/2031 (A) | | | 103 | | | | 97 | |
4.125%, 06/15/2029 (A) | | | 210 | | | | 201 | |
Enbridge | | | | | | | | |
8.250%, H15T5Y + 3.785%, 01/15/2084 (D) | | | 2,675 | | | | 2,834 | |
Encino Acquisition Partners Holdings | | | | | | | | |
8.750%, 05/01/2031 (A) | | | 2,425 | | | | 2,550 | |
8.500%, 05/01/2028 (A) | | | 437 | | | | 445 | |
Energy Transfer | | | | | | | | |
8.000%, H15T5Y + 4.020%, 05/15/2054 (D) | | | 1,572 | | | | 1,691 | |
6.750%, H15T5Y + 5.134%(D)(G) | | | 300 | | | | 299 | |
6.625%, US0003M + 4.155%(D)(G) | | | 855 | | | | 843 | |
6.500%, H15T5Y + 5.694%(D)(G) | | | 1,535 | | | | 1,531 | |
5.500%, 06/01/2027 | | | 1,564 | | | | 1,602 | |
EnLink Midstream | | | | | | | | |
6.500%, 09/01/2030 (A) | | | 740 | | | | 798 | |
5.375%, 06/01/2029 | | | 1,225 | | | | 1,256 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
EnLink Midstream Partners | | | | | | | | |
5.600%, 04/01/2044 | | $ | 1,695 | | | $ | 1,620 | |
5.450%, 06/01/2047 | | | 1,157 | | | | 1,094 | |
Enviva Partners | | | | | | | | |
6.500%, 01/15/2026 (A)(B) | | | 2,139 | | | | 91 | |
EQM Midstream Partners | | | | | | | | |
7.500%, 06/01/2027 (A) | | | 170 | | | | 175 | |
7.500%, 06/01/2030 (A) | | | 139 | | | | 153 | |
6.500%, 07/01/2027 (A) | | | 150 | | | | 154 | |
6.500%, 07/15/2048 | | | 1,735 | | | | 1,794 | |
6.000%, 07/01/2025 (A) | | | 67 | | | | 67 | |
4.500%, 01/15/2029 (A) | | | 439 | | | | 429 | |
Expand Energy Corp | | | | | | | | |
7.500%, 10/01/2026 (B)(E) | | | 2,515 | | | | 44 | |
7.000%, 10/01/2024 (B)(E) | | | 1,135 | | | | 21 | |
6.750%, 04/15/2029 (A) | | | 1,648 | | | | 1,679 | |
Genesis Energy | | | | | | | | |
8.875%, 04/15/2030 | | | 1,715 | | | | 1,803 | |
8.250%, 01/15/2029 | | | 68 | | | | 71 | |
8.000%, 01/15/2027 | | | 102 | | | | 104 | |
7.875%, 05/15/2032 | | | 778 | | | | 792 | |
7.750%, 02/01/2028 | | | 315 | | | | 319 | |
Greenfire Resources | | | | | | | | |
12.000%, 10/01/2028 (A) | | | 968 | | | | 1,047 | |
Gulfport Energy Corp | | | | | | | | |
6.750%, 09/01/2029 (A) | | | 1,258 | | | | 1,273 | |
Harvest Midstream I | | | | | | | | |
7.500%, 09/01/2028 (A) | | | 1,000 | | | | 1,023 | |
7.500%, 05/15/2032 (A) | | | 109 | | | | 115 | |
Hess Midstream Operations | | | | | | | | |
6.500%, 06/01/2029 (A) | | | 122 | | | | 126 | |
5.625%, 02/15/2026 (A) | | | 340 | | | | 340 | |
4.250%, 02/15/2030 (A) | | | 117 | | | | 112 | |
Hilcorp Energy I | | | | | | | | |
6.250%, 04/15/2032 (A) | | | 85 | | | | 83 | |
6.000%, 04/15/2030 (A) | | | 101 | | | | 99 | |
6.000%, 02/01/2031 (A) | | | 1,421 | | | | 1,379 | |
Howard Midstream Energy Partners | | | | | | | | |
8.875%, 07/15/2028 (A) | | | 210 | | | | 223 | |
7.375%, 07/15/2032 (A) | | | 2,268 | | | | 2,349 | |
ITT Holdings | | | | | | | | |
6.500%, 08/01/2029 (A) | | | 1,938 | | | | 1,836 | |
Kinetik Holdings | | | | | | | | |
6.625%, 12/15/2028 (A) | | | 935 | | | | 970 | |
Kodiak Gas Services | | | | | | | | |
7.250%, 02/15/2029 (A) | | | 595 | | | | 616 | |
Kraken Oil & Gas Partners | | | | | | | | |
7.625%, 08/15/2029 (A) | | | 827 | | | | 826 | |
Matador Resources | | | | | | | | |
6.500%, 04/15/2032 (A) | | | 987 | | | | 985 | |
6.250%, 04/15/2033 (A) | | | 191 | | | | 188 | |
Moss Creek Resources Holdings | | | | | | | | |
8.250%, 09/01/2031 (A) | | | 1,885 | | | | 1,861 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
New Fortress Energy | | | | | | | | |
8.750%, 03/15/2029 (A) | | $ | 1,250 | | | $ | 941 | |
6.750%, 09/15/2025 (A) | | | 1,104 | | | | 1,058 | |
6.500%, 09/30/2026 (A) | | | 827 | | | | 695 | |
NGL Energy Operating | | | | | | | | |
8.375%, 02/15/2032 (A) | | | 172 | | | | 177 | |
8.125%, 02/15/2029 (A) | | | 1,683 | | | | 1,726 | |
Noble Finance II | | | | | | | | |
8.000%, 04/15/2030 (A) | | | 941 | | | | 971 | |
Northern Oil & Gas | | | | | | | | |
8.750%, 06/15/2031 (A) | | | 565 | | | | 589 | |
8.125%, 03/01/2028 (A) | | | 1,084 | | | | 1,092 | |
Northriver Midstream Finance | | | | | | | | |
6.750%, 07/15/2032 (A) | | | 938 | | | | 968 | |
NuStar Logistics | | | | | | | | |
6.375%, 10/01/2030 | | | 134 | | | | 139 | |
6.000%, 06/01/2026 | | | 255 | | | | 257 | |
5.750%, 10/01/2025 | | | 119 | | | | 119 | |
5.625%, 04/28/2027 | | | 546 | | | | 548 | |
PBF Holding | | | | | | | | |
7.875%, 09/15/2030 (A) | | | 1,500 | | | | 1,545 | |
Permian Resources Operating | | | | | | | | |
9.875%, 07/15/2031 (A) | | | 325 | | | | 363 | |
8.000%, 04/15/2027 (A) | | | 130 | | | | 134 | |
7.000%, 01/15/2032 (A) | | | 1,787 | | | | 1,859 | |
6.250%, 02/01/2033 (A) | | | 961 | | | | 976 | |
Prairie Acquiror | | | | | | | | |
9.000%, 08/01/2029 (A) | | | 86 | | | | 89 | |
Precision Drilling | | | | | | | | |
7.125%, 01/15/2026 (A) | | | 206 | | | | 206 | |
Range Resources | | | | | | | | |
8.250%, 01/15/2029 | | | 417 | | | | 432 | |
4.875%, 05/15/2025 | | | 290 | | | | 288 | |
Rockies Express Pipeline | | | | | | | | |
4.800%, 05/15/2030 (A) | | | 1,428 | | | | 1,346 | |
Seventy Seven Operating (Escrow Security) | | | | | | | | |
6.625%, 01/15/2020 (B)(E) | | | 1,869 | | | | – | |
Sitio Royalties Operating Partnership | | | | | | | | |
7.875%, 11/01/2028 (A) | | | 1,765 | | | | 1,846 | |
SM Energy | | | | | | | | |
7.000%, 08/01/2032 (A) | | | 3,449 | | | | 3,462 | |
6.750%, 09/15/2026 | | | 205 | | | | 205 | |
6.750%, 08/01/2029 (A) | | | 140 | | | | 141 | |
6.625%, 01/15/2027 | | | 278 | | | | 278 | |
6.500%, 07/15/2028 | | | 113 | | | | 113 | |
South Bow Canadian Infrastructure Holdings | | | | | | | | |
7.500%, H15T5Y + 3.667%, 03/01/2055 (A)(D) | | | 1,550 | | | | 1,628 | |
Southwestern Energy | | | | | | | | |
8.375%, 09/15/2028 | | | 170 | | | | 175 | |
5.375%, 02/01/2029 | | | 32 | | | | 32 | |
5.375%, 03/15/2030 | | | 239 | | | | 238 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.750%, 02/01/2032 | | $ | 38 | | | $ | 36 | |
Summit Midstream Holdings | | | | | | | | |
8.625%, 10/31/2029 (A) | | | 880 | | | | 920 | |
Sunoco | | | | | | | | |
7.250%, 05/01/2032 (A) | | | 570 | | | | 604 | |
7.000%, 05/01/2029 (A) | | | 1,638 | | | | 1,712 | |
4.500%, 05/15/2029 | | | 253 | | | | 243 | |
4.500%, 04/30/2030 | | | 327 | | | | 313 | |
Tallgrass Energy Partners | | | | | | | | |
7.375%, 02/15/2029 (A) | | | 592 | | | | 598 | |
6.000%, 03/01/2027 (A) | | | 270 | | | | 270 | |
6.000%, 12/31/2030 (A) | | | 2,365 | | | | 2,247 | |
6.000%, 09/01/2031 (A) | | | 722 | | | | 684 | |
5.500%, 01/15/2028 (A) | | | 1,485 | | | | 1,438 | |
TerraForm Power Operating | | | | | | | | |
5.000%, 01/31/2028 (A) | | | 2,407 | | | | 2,381 | |
4.750%, 01/15/2030 (A) | | | 375 | | | | 359 | |
TGNR Intermediate Holdings | | | | | | | | |
5.500%, 10/15/2029 (A) | | | 1,999 | | | | 1,899 | |
Transocean | | | | | | | | |
8.750%, 02/15/2030 (A) | | | 1,336 | | | | 1,393 | |
8.250%, 05/15/2029 (A) | | | 151 | | | | 150 | |
6.800%, 03/15/2038 | | | 2,089 | | | | 1,705 | |
Transocean Titan Financing | | | | | | | | |
8.375%, 02/01/2028 (A) | | | 58 | | | | 60 | |
Valaris | | | | | | | | |
8.375%, 04/30/2030 (A) | | | 94 | | | | 97 | |
Venture Global Calcasieu Pass | | | | | | | | |
4.125%, 08/15/2031 (A) | | | 1,205 | | | | 1,120 | |
3.875%, 08/15/2029 (A) | | | 5 | | | | 5 | |
3.875%, 11/01/2033 (A) | | | 1,365 | | | | 1,224 | |
Venture Global LNG | | | | | | | | |
9.875%, 02/01/2032 (A) | | | 2,987 | | | | 3,319 | |
9.500%, 02/01/2029 (A) | | | 140 | | | | 158 | |
9.000%, H15T5Y + 5.440%(A)(D)(G) | | | 3,651 | | | | 3,701 | |
8.125%, 06/01/2028 (A) | | | 1,557 | | | | 1,623 | |
7.000%, 01/15/2030 (A) | | | 741 | | | | 757 | |
Vital Energy | | | | | | | | |
7.875%, 04/15/2032 (A) | | | 157 | | | | 152 | |
Weatherford International | | | | | | | | |
8.625%, 04/30/2030 (A) | | | 1,512 | | | | 1,575 | |
Western Midstream Operating | | | | | | | | |
5.250%, 02/01/2050 | | | 1,936 | | | | 1,756 | |
| | | | | | | | | |
| | | | | | | | 130,421 | |
| | | | | | | | | |
Financials — 8.4% | | | | |
Acrisure | | | | | | | | |
8.250%, 02/01/2029 (A) | | | 2,278 | | | | 2,351 | |
7.500%, 11/06/2030 (A) | | | 551 | | | | 567 | |
4.250%, 02/15/2029 (A) | | | 354 | | | | 334 | |
AG Issuer | | | | | | | | |
6.250%, 03/01/2028 (A) | | | 1,208 | | | | 1,181 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Alliant Holdings Intermediate | | | | | | | | |
7.375%, 10/01/2032 (A) | | $ | 271 | | | $ | 275 | |
7.000%, 01/15/2031 (A) | | | 3,749 | | | | 3,852 | |
4.250%, 10/15/2027 (A) | | | 476 | | | | 456 | |
Ally Financial | | | | | | | | |
4.750%, 06/09/2027 | | | 651 | | | | 650 | |
AmWINS Group | | | | | | | | |
6.375%, 02/15/2029 (A) | | | 876 | | | | 897 | |
Ardonagh Finco | | | | | | | | |
7.750%, 02/15/2031 (A) | | | 671 | | | | 694 | |
Ardonagh Group Finance | | | | | | | | |
8.875%, 02/15/2032 (A) | | | 584 | | | | 604 | |
Aretec Group | | | | | | | | |
10.000%, 08/15/2030 (A) | | | 2,742 | | | | 2,918 | |
Blackstone Private Credit Fund | | | | | | | | |
2.625%, 12/15/2026 | | | 2,248 | | | | 2,126 | |
Block | | | | | | | | |
6.500%, 05/15/2032 (A) | | | 1,684 | | | | 1,753 | |
2.750%, 06/01/2026 | | | 140 | | | | 136 | |
Blue Owl Capital | | | | | | | | |
3.400%, 07/15/2026 | | | 1,587 | | | | 1,536 | |
Citigroup | | | | | | | | |
3.875%, H15T5Y + 3.417%(D)(G) | | | 1,129 | | | | 1,087 | |
Coinbase Global | | | | | | | | |
3.375%, 10/01/2028 (A) | | | 551 | | | | 495 | |
CPI CG | | | | | | | | |
10.000%, 07/15/2029 (A) | | | 930 | | | | 979 | |
Credit Acceptance | | | | | | | | |
9.250%, 12/15/2028 (A) | | | 1,475 | | | | 1,577 | |
Encore Capital Group | | | | | | | | |
9.250%, 04/01/2029 (A) | | | 1,675 | | | | 1,802 | |
Finance of America Funding | | | | | | | | |
7.875%, 11/15/2025 (A) | | | 3,840 | | | | 3,103 | |
FirstCash | | | | | | | | |
6.875%, 03/01/2032 (A) | | | 1,545 | | | | 1,590 | |
Focus Financial Partners | | | | | | | | |
6.750%, 09/15/2031 (A) | | | 695 | | | | 702 | |
Freedom Mortgage | | | | | | | | |
12.000%, 10/01/2028 (A) | | | 1,458 | | | | 1,593 | |
Freedom Mortgage Holdings | | | | | | | | |
9.250%, 02/01/2029 (A) | | | 2,295 | | | | 2,386 | |
Genworth Holdings | | | | | | | | |
6.500%, 06/15/2034 | | | 1,565 | | | | 1,569 | |
GGAM Finance | | | | | | | | |
6.875%, 04/15/2029 (A) | | | 488 | | | | 508 | |
HAT Holdings I | | | | | | | | |
3.750%, 09/15/2030 (A) | | | 415 | | | | 374 | |
3.375%, 06/15/2026 (A) | | | 577 | | | | 559 | |
Howden UK Refinance | | | | | | | | |
8.125%, 02/15/2032 (A) | | | 292 | | | | 300 | |
7.250%, 02/15/2031 (A) | | | 1,105 | | | | 1,147 | |
HUB International | | | | | | | | |
7.250%, 06/15/2030 (A) | | | 1,313 | | | | 1,368 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Jane Street Group | | | | | | | | |
7.125%, 04/30/2031 (A) | | $ | 1,968 | | | $ | 2,085 | |
Ladder Capital Finance Holdings LLLP | | | | | | | | |
7.000%, 07/15/2031 (A) | | | 1,220 | | | | 1,293 | |
5.250%, 10/01/2025 (A) | | | 647 | | | | 645 | |
4.750%, 06/15/2029 (A) | | | 3,255 | | | | 3,179 | |
4.250%, 02/01/2027 (A) | | | 579 | | | | 565 | |
LD Holdings Group | | | | | | | | |
8.750%, 11/01/2027 (A) | | | 275 | | | | 267 | |
6.125%, 04/01/2028 (A) | | | 970 | | | | 858 | |
LPL Holdings | | | | | | | | |
4.625%, 11/15/2027 (A) | | | 568 | | | | 564 | |
Macquarie Airfinance Holdings | | | | | | | | |
6.500%, 03/26/2031 (A) | | | 180 | | | | 190 | |
6.400%, 03/26/2029 (A) | | | 180 | | | | 187 | |
Midcap Financial Issuer Trust | | | | | | | | |
6.500%, 05/01/2028 (A) | | | 2,435 | | | | 2,359 | |
5.625%, 01/15/2030 (A) | | | 1,451 | | | | 1,337 | |
MPH Acquisition Holdings | | | | | | | | |
5.750%, 11/01/2028 (A) | | | 414 | | | | 190 | |
5.500%, 09/01/2028 (A) | | | 271 | | | | 195 | |
Nationstar Mortgage Holdings | | | | | | | | |
7.125%, 02/01/2032 (A) | | | 140 | | | | 146 | |
6.000%, 01/15/2027 (A) | | | 60 | | | | 60 | |
5.750%, 11/15/2031 (A) | | | 275 | | | | 270 | |
5.500%, 08/15/2028 (A) | | | 2,346 | | | | 2,322 | |
5.125%, 12/15/2030 (A) | | | 143 | | | | 137 | |
Navient | | | | | | | | |
5.500%, 03/15/2029 | | | 150 | | | | 145 | |
Navient MTN | | | | | | | | |
5.625%, 08/01/2033 | | | 1,440 | | | | 1,278 | |
OneMain Finance | | | | | | | | |
9.000%, 01/15/2029 | | | 404 | | | | 428 | |
7.875%, 03/15/2030 | | | 1,515 | | | | 1,584 | |
7.500%, 05/15/2031 | | | 880 | | | | 906 | |
7.125%, 03/15/2026 | | | 193 | | | | 197 | |
7.125%, 11/15/2031 | | | 1,055 | | | | 1,068 | |
5.375%, 11/15/2029 | | | 2,705 | | | | 2,599 | |
4.000%, 09/15/2030 | | | 1,049 | | | | 934 | |
3.875%, 09/15/2028 | | | 253 | | | | 235 | |
3.500%, 01/15/2027 | | | 995 | | | | 951 | |
Osaic Holdings | | | | | | | | |
10.750%, 08/01/2027 (A) | | | 4,196 | | | | 4,272 | |
Panther Escrow Issuer | | | | | | | | |
7.125%, 06/01/2031 (A) | | | 3,411 | | | | 3,578 | |
PennyMac Financial Services | | | | | | | | |
7.875%, 12/15/2029 (A) | | | 1,484 | | | | 1,582 | |
5.750%, 09/15/2031 (A) | | | 2,871 | | | | 2,814 | |
4.250%, 02/15/2029 (A) | | | 1,665 | | | | 1,589 | |
PRA Group | | | | | | | | |
8.375%, 02/01/2028 (A) | | | 1,675 | | | | 1,734 | |
Rithm Capital | | | | | | | | |
8.000%, 04/01/2029 (A) | | | 1,683 | | | | 1,703 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Rocket Mortgage | | | | | | | | |
4.000%, 10/15/2033 (A) | | $ | 32 | | | $ | 28 | |
3.625%, 03/01/2029 (A) | | | 977 | | | | 919 | |
2.875%, 10/15/2026 (A) | | | 185 | | | | 178 | |
Sabre GLBL | | | | | | | | |
11.250%, 12/15/2027 (A) | | | 4,580 | | | | 4,752 | |
Shift4 Payments | | | | | | | | |
6.750%, 08/15/2032 (A) | | | 1,355 | | | | 1,415 | |
Starwood Property Trust | | | | | | | | |
7.250%, 04/01/2029 (A) | | | 2,511 | | | | 2,633 | |
UniCredit | | | | | | | | |
5.861%, USISDA05 + 3.703%, 06/19/2032 (A)(D) | | | 875 | | | | 880 | |
United Wholesale Mortgage | | | | | | | | |
5.500%, 11/15/2025 (A) | | | 347 | | | | 346 | |
VFH Parent | | | | | | | | |
7.500%, 06/15/2031 (A) | | | 1,104 | | | | 1,158 | |
| | | | | | | | | |
| | | | | | | | 98,224 | |
| | | | | | | | | |
Health Care — 6.8% | | | | |
AHP Health Partners | | | | | | | | |
5.750%, 07/15/2029 (A) | | | 251 | | | | 246 | |
Akumin | | | | | | | | |
9.000% cash/0% PIK, 08/01/2027 (A) | | | 2,020 | | | | 1,793 | |
8.000%, 08/01/2028 (A) | | | 1,340 | | | | 1,095 | |
AthenaHealth Group | | | | | | | | |
6.500%, 02/15/2030 (A) | | | 2,726 | | | | 2,619 | |
Avantor Funding | | | | | | | | |
4.625%, 07/15/2028 (A) | | | 564 | | | | 551 | |
Bausch + Lomb | | | | | | | | |
8.375%, 10/01/2028 (A) | | | 855 | | | | 904 | |
Bausch Health | | | | | | | | |
14.000%, 10/15/2030 (A) | | | 542 | | | | 495 | |
11.000%, 09/30/2028 (A) | | | 1,760 | | | | 1,641 | |
5.750%, 08/15/2027 (A) | | | 220 | | | | 187 | |
5.500%, 11/01/2025 (A) | | | 990 | | | | 967 | |
5.250%, 01/30/2030 (A) | | | 614 | | | | 344 | |
5.250%, 02/15/2031 (A) | | | 193 | | | | 106 | |
5.000%, 01/30/2028 (A) | | | 215 | | | | 140 | |
5.000%, 02/15/2029 (A) | | | 445 | | | | 257 | |
4.875%, 06/01/2028 (A) | | | 485 | | | | 379 | |
Bausch Health Americas | | | | | | | | |
9.250%, 04/01/2026 (A) | | | 390 | | | | 366 | |
8.500%, 01/31/2027 (A) | | | 387 | | | | 316 | |
Charles River Laboratories International | | | | | | | | |
4.250%, 05/01/2028 (A) | | | 1,633 | | | | 1,588 | |
4.000%, 03/15/2031 (A) | | | 930 | | | | 857 | |
CHS | | | | | | | | |
10.875%, 01/15/2032 (A) | | | 2,416 | | | | 2,662 | |
8.000%, 12/15/2027 (A) | | | 2,370 | | | | 2,378 | |
6.125%, 04/01/2030 (A) | | | 2,101 | | | | 1,796 | |
6.000%, 01/15/2029 (A) | | | 260 | | | | 252 | |
5.625%, 03/15/2027 (A) | | | 2,224 | | | | 2,189 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.250%, 05/15/2030 (A) | | $ | 307 | | | $ | 283 | |
4.750%, 02/15/2031 (A) | | | 278 | | | | 244 | |
DaVita | | | | | | | | |
6.875%, 09/01/2032 (A) | | | 302 | | | | 312 | |
4.625%, 06/01/2030 (A) | | | 1,570 | | | | 1,497 | |
3.750%, 02/15/2031 (A) | | | 1,138 | | | | 1,026 | |
Embecta | | | | | | | | |
6.750%, 02/15/2030 (A) | | | 1,665 | | | | 1,577 | |
5.000%, 02/15/2030 (A) | | | 395 | | | | 363 | |
Emergent BioSolutions | | | | | | | | |
3.875%, 08/15/2028 (A) | | | 247 | | | | 188 | |
Encompass Health | | | | | | | | |
4.625%, 04/01/2031 | | | 450 | | | | 431 | |
4.500%, 02/01/2028 | | | 440 | | | | 432 | |
Endo | | | | | | | | |
9.500%, 12/31/2049 (E) | | | 1,406 | | | | – | |
6.125%, 12/31/2049 (E) | | | 1,485 | | | | – | |
6.000%, 12/31/2049 (E) | | | 1,302 | | | | 10 | |
0.000%, 04/01/2027 (E)(F) | | | 1,373 | | | | – | |
Endo Finance Holdings | | | | | | | | |
8.500%, 04/15/2031 (A) | | | 1,163 | | | | 1,246 | |
Envision Healthcare Corp | | | | | | | | |
8.750%, 10/15/2026 (B)(E) | | | 1,825 | | | | – | |
Fortrea Holdings | | | | | | | | |
7.500%, 07/01/2030 (A) | | | 896 | | | | 902 | |
Global Medical Response | | | | | | | | |
10.000% cash/0% PIK, 10/31/2028 (A) | | | 3,965 | | | | 3,975 | |
Grifols | | | | | | | | |
4.750%, 10/15/2028 (A) | | | 1,818 | | | | 1,703 | |
HCA | | | | | | | | |
3.500%, 09/01/2030 | | | 1,065 | | | | 1,004 | |
Heartland Dental | | | | | | | | |
10.500%, 04/30/2028 (A) | | | 2,736 | | | | 2,927 | |
IQVIA | | | | | | | | |
6.500%, 05/15/2030 (A) | | | 1,615 | | | | 1,685 | |
5.000%, 10/15/2026 (A) | | | 805 | | | | 803 | |
Legacy LifePoint Health | | | | | | | | |
4.375%, 02/15/2027 (A) | | | 764 | | | | 749 | |
LifePoint Health | | | | | | | | |
11.000%, 10/15/2030 (A) | | | 1,225 | | | | 1,383 | |
10.000%, 06/01/2032 (A) | | | 826 | | | | 908 | |
9.875%, 08/15/2030 (A) | | | 369 | | | | 406 | |
Mallinckrodt International Finance | | | | | | | | |
14.750%, 11/14/2028 (A) | | | 319 | | | | 348 | |
Medline Borrower | | | | | | | | |
6.250%, 04/01/2029 (A) | | | 285 | | | | 294 | |
3.875%, 04/01/2029 (A) | | | 4,539 | | | | 4,297 | |
Molina Healthcare | | | | | | | | |
4.375%, 06/15/2028 (A) | | | 1,641 | | | | 1,595 | |
3.875%, 11/15/2030 (A) | | | 1,295 | | | | 1,203 | |
Option Care Health | | | | | | | | |
4.375%, 10/31/2029 (A) | | | 2,892 | | | | 2,748 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Organon | | | | | | | | |
5.125%, 04/30/2031 (A) | | $ | 1,742 | | | $ | 1,641 | |
4.125%, 04/30/2028 (A) | | | 466 | | | | 448 | |
Owens & Minor | | | | | | | | |
6.625%, 04/01/2030 (A) | | | 185 | | | | 180 | |
4.500%, 03/31/2029 (A) | | | 397 | | | | 359 | |
Perrigo Finance Unlimited | | | | | | | | |
6.125%, 09/30/2032 | | | 794 | | | | 800 | |
Radiology Partners | | | | | | | | |
9.781% cash/0% PIK, 02/15/2030 (A) | | | 2,137 | | | | 2,019 | |
7.775% cash/0% PIK, 01/31/2029 (A) | | | 4,520 | | | | 4,486 | |
Sotera Health Holdings | | | | | | | | |
7.375%, 06/01/2031 (A) | | | 160 | | | | 166 | |
Surgery Center Holdings | | | | | | | | |
7.250%, 04/15/2032 (A) | | | 758 | | | | 791 | |
Team Health Holdings | | | | | | | | |
13.500% cash/0% PIK, 06/30/2028 (A) | | | 159 | | | | 177 | |
Tenet Healthcare | | | | | | | | |
6.750%, 05/15/2031 | | | 1,042 | | | | 1,086 | |
6.250%, 02/01/2027 | | | 1,465 | | | | 1,467 | |
6.125%, 06/15/2030 | | | 2,336 | | | | 2,374 | |
5.125%, 11/01/2027 | | | 688 | | | | 685 | |
4.625%, 06/15/2028 | | | 1,299 | | | | 1,275 | |
4.375%, 01/15/2030 | | | 800 | | | | 768 | |
4.250%, 06/01/2029 | | | 961 | | | | 927 | |
US Acute Care Solutions | | | | | | | | |
9.750%, 05/15/2029 (A) | | | 1,103 | | | | 1,143 | |
| | | | | | | | | |
| | | | | | | | 79,459 | |
| | | | | | | | | |
Industrials — 8.3% | | | | |
AAR Escrow Issuer | | | | | | | | |
6.750%, 03/15/2029 (A) | | | 1,630 | | | | 1,695 | |
ACCO Brands | | | | | | | | |
4.250%, 03/15/2029 (A) | | | 545 | | | | 510 | |
Allied Universal Holdco | | | | | | | | |
4.625%, 06/01/2028 (A) | | | 1,427 | | | | 1,339 | |
Allison Transmission | | | | | | | | |
5.875%, 06/01/2029 (A) | | | 210 | | | | 211 | |
4.750%, 10/01/2027 (A) | | | 1,821 | | | | 1,792 | |
3.750%, 01/30/2031 (A) | | | 255 | | | | 232 | |
American Airlines | | | | | | | | |
5.750%, 04/20/2029 (A) | | | 3,661 | | | | 3,655 | |
5.500%, 04/20/2026 (A) | | | 583 | | | | 581 | |
American Builders & Contractors Supply | | | | | | | | |
4.000%, 01/15/2028 (A) | | | 1,636 | | | | 1,574 | |
Amsted Industries | | | | | | | | |
4.625%, 05/15/2030 (A) | | | 302 | | | | 288 | |
APi Group DE | | | | | | | | |
4.750%, 10/15/2029 (A) | | | 135 | | | | 130 | |
4.125%, 07/15/2029 (A) | | | 214 | | | | 201 | |
Arcosa | | | | | | | | |
6.875%, 08/15/2032 (A) | | | 688 | | | | 720 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Avis Budget Car Rental | | | | | | | | |
8.250%, 01/15/2030 (A) | | $ | 1,847 | | | $ | 1,889 | |
8.000%, 02/15/2031 (A) | | | 200 | | | | 205 | |
5.750%, 07/15/2027 (A) | | | 280 | | | | 277 | |
5.375%, 03/01/2029 (A) | | | 558 | | | | 522 | |
4.750%, 04/01/2028 (A) | | | 60 | | | | 56 | |
Bombardier | | | | | | | | |
8.750%, 11/15/2030 (A) | | | 102 | | | | 112 | |
7.875%, 04/15/2027 (A) | | | 180 | | | | 181 | |
7.500%, 02/01/2029 (A) | | | 853 | | | | 903 | |
7.250%, 07/01/2031 (A) | | | 1,738 | | | | 1,837 | |
7.000%, 06/01/2032 (A) | | | 947 | | | | 990 | |
Builders FirstSource | | | | | | | | |
6.375%, 06/15/2032 (A) | | | 246 | | | | 255 | |
6.375%, 03/01/2034 (A) | | | 635 | | | | 659 | |
4.250%, 02/01/2032 (A) | | | 1,518 | | | | 1,403 | |
BWX Technologies | | | | | | | | |
4.125%, 06/30/2028 (A) | | | 1,233 | | | | 1,189 | |
4.125%, 04/15/2029 (A) | | | 1,099 | | | | 1,056 | |
Camelot Return Merger Sub | | | | | | | | |
8.750%, 08/01/2028 (A) | | | 1,495 | | | | 1,513 | |
Chart Industries | | | | | | | | |
9.500%, 01/01/2031 (A) | | | 1,362 | | | | 1,485 | |
7.500%, 01/01/2030 (A) | | | 244 | | | | 257 | |
Conduent Business Services | | | | | | | | |
6.000%, 11/01/2029 (A) | | | 310 | | | | 299 | |
CoreCivic | | | | | | | | |
8.250%, 04/15/2029 | | | 305 | | | | 323 | |
CP Atlas Buyer | | | | | | | | |
7.000%, 12/01/2028 (A) | | | 1,518 | | | | 1,405 | |
Deluxe | | | | | | | | |
8.000%, 06/01/2029 (A) | | | 1,070 | | | | 1,015 | |
EMRLD Borrower | | | | | | | | |
6.750%, 07/15/2031 (A) | | | 83 | | | | 86 | |
6.625%, 12/15/2030 (A) | | | 3,750 | | | | 3,867 | |
Enviri | | | | | | | | |
5.750%, 07/31/2027 (A) | | | 465 | | | | 456 | |
First Student Bidco | | | | | | | | |
4.000%, 07/31/2029 (A) | | | 15 | | | | 14 | |
Fortress Transportation and Infrastructure Investors | | | | | | | | |
7.000%, 05/01/2031 (A) | | | 735 | | | | 775 | |
Garda World Security | | | | | | | | |
9.500%, 11/01/2027 (A) | | | 320 | | | | 321 | |
8.250%, 08/01/2032 (A) | | | 188 | | | | 192 | |
Gates | | | | | | | | |
6.875%, 07/01/2029 (A) | | | 1,262 | | | | 1,307 | |
GEO Group | | | | | | | | |
8.625%, 04/15/2029 | | | 150 | | | | 156 | |
GFL Environmental | | | | | | | | |
5.125%, 12/15/2026 (A) | | | 335 | | | | 334 | |
4.750%, 06/15/2029 (A) | | | 352 | | | | 343 | |
4.375%, 08/15/2029 (A) | | | 146 | | | | 140 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.000%, 08/01/2028 (A) | | $ | 694 | | | $ | 667 | |
3.500%, 09/01/2028 (A) | | | 1,415 | | | | 1,347 | |
Global Infrastructure Solutions | | | | | | | | |
7.500%, 04/15/2032 (A) | | | 175 | | | | 180 | |
5.625%, 06/01/2029 (A) | | | 332 | | | | 326 | |
GN Bondco | | | | | | | | |
9.500%, 10/15/2031 (A) | | | 342 | | | | 360 | |
GrafTech Global Enterprises | | | | | | | | |
9.875%, 12/15/2028 (A) | | | 828 | | | | 663 | |
Griffon | | | | | | | | |
5.750%, 03/01/2028 | | | 500 | | | | 494 | |
H&E Equipment Services | | | | | | | | |
3.875%, 12/15/2028 (A) | | | 1,535 | | | | 1,441 | |
Herc Holdings | | | | | | | | |
6.625%, 06/15/2029 (A) | | | 156 | | | | 162 | |
Hertz | | | | | | | | |
12.625%, 07/15/2029 (A) | | | 160 | | | | 175 | |
5.000%, 12/01/2029 (A) | | | 663 | | | | 438 | |
4.625%, 12/01/2026 (A) | | | 272 | | | | 214 | |
Hertz (Escrow Security) | | | | | | | | |
7.125%, 08/01/2026 (A)(B) | | | 465 | | | | 79 | |
6.000%, 01/15/2028 (A)(B) | | | 450 | | | | 77 | |
5.500%, 10/15/2024 (A)(B) | | | 559 | | | | 21 | |
Icahn Enterprises | | | | | | | | |
9.000%, 06/15/2030 (A) | | | 930 | | | | 938 | |
5.250%, 05/15/2027 | | | 1,145 | | | | 1,097 | |
JELD-WEN | | | | | | | | |
7.000%, 09/01/2032 (A) | | | 120 | | | | 121 | |
4.875%, 12/15/2027 (A) | | | 250 | | | | 245 | |
JetBlue Airways | | | | | | | | |
9.875%, 09/20/2031 (A) | | | 3,234 | | | | 3,407 | |
Korn Ferry | | | | | | | | |
4.625%, 12/15/2027 (A) | | | 2,197 | | | | 2,147 | |
Madison IAQ | | | | | | | | |
5.875%, 06/30/2029 (A) | | | 1,689 | | | | 1,644 | |
4.125%, 06/30/2028 (A) | | | 175 | | | | 169 | |
Masterbrand | | | | | | | | |
7.000%, 07/15/2032 (A) | | | 53 | | | | 56 | |
Mileage Plus Holdings | | | | | | | | |
6.500%, 06/20/2027 (A) | | | 413 | | | | 418 | |
Miter Brands Acquisition Holdco | | | | | | | | |
6.750%, 04/01/2032 (A) | | | 832 | | | | 862 | |
MIWD Holdco II | | | | | | | | |
5.500%, 02/01/2030 (A) | | | 221 | | | | 215 | |
Pitney Bowes | | | | | | | | |
7.250%, 03/15/2029 (A) | | | 2,160 | | | | 2,109 | |
Prime Security Services Borrower | | | | | | | | |
5.750%, 04/15/2026 (A) | | | 150 | | | | 151 | |
3.375%, 08/31/2027 (A) | | | 314 | | | | 298 | |
Resideo Funding | | | | | | | | |
6.500%, 07/15/2032 (A) | | | 204 | | | | 209 | |
Ritchie Bros Holdings | | | | | | | | |
7.750%, 03/15/2031 (A) | | | 715 | | | | 762 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
6.750%, 03/15/2028 (A) | | $ | 780 | | | $ | 806 | |
Science Applications International | | | | | | | | |
4.875%, 04/01/2028 (A) | | | 1,596 | | | | 1,563 | |
Sensata Technologies | | | | | | | | |
6.625%, 07/15/2032 (A) | | | 235 | | | | 245 | |
4.000%, 04/15/2029 (A) | | | 1,380 | | | | 1,316 | |
3.750%, 02/15/2031 (A) | | | 20 | | | | 18 | |
Signature Aviation US Holdings | | | | | | | | |
4.000%, 03/01/2028 (A) | | | 1,133 | | | | 1,014 | |
Spirit AeroSystems | | | | | | | | |
9.750%, 11/15/2030 (A) | | | 828 | | | | 923 | |
9.375%, 11/30/2029 (A) | | | 175 | | | | 190 | |
Spirit Loyalty Cayman | | | | | | | | |
8.000%, 09/20/2025 (A) | | | 2,466 | | | | 1,355 | |
SS&C Technologies | | | | | | | | |
6.500%, 06/01/2032 (A) | | | 1,424 | | | | 1,472 | |
5.500%, 09/30/2027 (A) | | | 622 | | | | 622 | |
Standard Building Solutions | | | | | | | | |
6.500%, 08/15/2032 (A) | | | 76 | | | | 79 | |
Standard Industries | | | | | | | | |
5.000%, 02/15/2027 (A) | | | 1,135 | | | | 1,125 | |
4.750%, 01/15/2028 (A) | | | 798 | | | | 782 | |
4.375%, 07/15/2030 (A) | | | 1,910 | | | | 1,808 | |
3.375%, 01/15/2031 (A) | | | 88 | | | | 78 | |
Terex | | | | | | | | |
6.250%, 10/15/2032 (A) | | | 127 | | | | 127 | |
5.000%, 05/15/2029 (A) | | | 335 | | | | 327 | |
TK Elevator US Newco | | | | | | | | |
5.250%, 07/15/2027 (A) | | | 1,548 | | | | 1,531 | |
TransDigm | | | | | | | | |
7.125%, 12/01/2031 (A) | | | 2,420 | | | | 2,560 | |
6.875%, 12/15/2030 (A) | | | 680 | | | | 712 | |
6.750%, 08/15/2028 (A) | | | 1,485 | | | | 1,528 | |
6.625%, 03/01/2032 (A) | | | 1,278 | | | | 1,331 | |
6.375%, 03/01/2029 (A) | | | 373 | | | | 385 | |
TriNet Group | | | | | | | | |
7.125%, 08/15/2031 (A) | | | 172 | | | | 179 | |
Triumph Group | | | | | | | | |
9.000%, 03/15/2028 (A) | | | 92 | | | | 96 | |
Uber Technologies | | | | | | | | |
7.500%, 09/15/2027 (A) | | | 140 | | | | 143 | |
United Airlines | | | | | | | | |
4.625%, 04/15/2029 (A) | | | 2,763 | | | | 2,669 | |
4.375%, 04/15/2026 (A) | | | 291 | | | | 287 | |
United Rentals North America | | | | | | | | |
6.125%, 03/15/2034 (A) | | | 176 | | | | 182 | |
5.250%, 01/15/2030 | | | 1,070 | | | | 1,071 | |
4.000%, 07/15/2030 | | | 1,435 | | | | 1,356 | |
VistaJet Malta Finance | | | | | | | | |
9.500%, 06/01/2028 (A) | | | 1,750 | | | | 1,711 | |
6.375%, 02/01/2030 (A) | | | 2,058 | | | | 1,768 | |
Wesco Aircraft Holdings | | | | | | | | |
13.125%, 11/15/2027 (A)(B) | | | 100 | | | | 4 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
9.000%, 11/15/2026 (A)(B) | | $ | 599 | | | $ | 246 | |
WESCO Distribution | | | | | | | | |
7.250%, 06/15/2028 (A) | | | 483 | | | | 494 | |
6.625%, 03/15/2032 (A) | | | 120 | | | | 125 | |
6.375%, 03/15/2029 (A) | | | 330 | | | | 341 | |
Williams Scotsman | | | | | | | | |
7.375%, 10/01/2031 (A) | | | 2,425 | | | | 2,563 | |
6.625%, 06/15/2029 (A) | | | 78 | | | | 80 | |
Wilsonart | | | | | | | | |
11.000%, 08/15/2032 (A) | | | 848 | | | | 848 | |
Wrangler Holdco | | | | | | | | |
6.625%, 04/01/2032 (A) | | | 78 | | | | 81 | |
XPO | | | | | | | | |
7.125%, 02/01/2032 (A) | | | 678 | | | | 714 | |
| | | | | | | | | |
| | | | | | | | 97,097 | |
| | | | | | | | | |
Information Technology — 3.6% | | | | |
Ahead DB Holdings | | | | | | | | |
6.625%, 05/01/2028 (A) | | | 987 | | | | 955 | |
Amentum Holdings | | | | | | | | |
7.250%, 08/01/2032 (A) | | | 455 | | | | 475 | |
ams-OSRAM | | | | | | | | |
12.250%, 03/30/2029 (A) | | | 190 | | | | 202 | |
Arches Buyer | | | | | | | | |
6.125%, 12/01/2028 (A) | | | 1,580 | | | | 1,353 | |
4.250%, 06/01/2028 (A) | | | 223 | | | | 205 | |
Ciena | | | | | | | | |
4.000%, 01/31/2030 (A) | | | 1,140 | | | | 1,078 | |
Clarivate Science Holdings | | | | | | | | |
4.875%, 07/01/2029 (A) | | | 189 | | | | 182 | |
Cloud Software Group, Strike Price Fixed | | | | | | | | |
8.250%, 06/30/2032 (A) | | | 2,367 | | | | 2,474 | |
6.500%, 03/31/2029 (A) | | | 717 | | | | 714 | |
Coherent | | | | | | | | |
5.000%, 12/15/2029 (A) | | | 2,775 | | | | 2,713 | |
CommScope | | | | | | | | |
8.250%, 03/01/2027 (A) | | | 510 | | | | 460 | |
7.125%, 07/01/2028 (A) | | | 2,264 | | | | 1,877 | |
6.000%, 03/01/2026 (A) | | | 2,103 | | | | 2,045 | |
4.750%, 09/01/2029 (A) | | | 1,669 | | | | 1,402 | |
CommScope Technologies | | | | | | | | |
6.000%, 06/15/2025 (A) | | | 906 | | | | 877 | |
5.000%, 03/15/2027 (A) | | | 200 | | | | 167 | |
Elastic | | | | | | | | |
4.125%, 07/15/2029 (A) | | | 1,183 | | | | 1,105 | |
Entegris | | | | | | | | |
5.950%, 06/15/2030 (A) | | | 467 | | | | 476 | |
4.375%, 04/15/2028 (A) | | | 182 | | | | 176 | |
3.625%, 05/01/2029 (A) | | | 786 | | | | 734 | |
Entegris Escrow | | | | | | | | |
4.750%, 04/15/2029 (A) | | | 1,285 | | | | 1,266 | |
EquipmentShare.com | | | | | | | | |
9.000%, 05/15/2028 (A) | | | 437 | | | | 456 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
8.625%, 05/15/2032 (A) | | $ | 52 | | | $ | 55 | |
8.000%, 03/15/2033 (A) | | | 92 | | | | 94 | |
Go Daddy Operating | | | | | | | | |
3.500%, 03/01/2029 (A) | | | 1,568 | | | | 1,471 | |
Imola Merger | | | | | | | | |
4.750%, 05/15/2029 (A) | | | 233 | | | | 227 | |
McAfee | | | | | | | | |
7.375%, 02/15/2030 (A) | | | 3,056 | | | | 2,981 | |
NCR Atleos | | | | | | | | |
9.500%, 04/01/2029 (A) | | | 419 | | | | 461 | |
NCR Voyix | | | | | | | | |
5.125%, 04/15/2029 (A) | | | 96 | | | | 94 | |
5.000%, 10/01/2028 (A) | | | 252 | | | | 247 | |
Newfold Digital Holdings Group | | | | | | | | |
11.750%, 10/15/2028 (A) | | | 539 | | | | 530 | |
6.000%, 02/15/2029 (A) | | | 404 | | | | 271 | |
ON Semiconductor | | | | | | | | |
3.875%, 09/01/2028 (A) | | | 2,703 | | | | 2,577 | |
Open Text | | | | | | | | |
6.900%, 12/01/2027 (A) | | | 1,916 | | | | 2,021 | |
Open Text Holdings | | | | | | | | |
4.125%, 02/15/2030 (A) | | | 2,342 | | | | 2,198 | |
PTC | | | | | | | | |
4.000%, 02/15/2028 (A) | | | 1,038 | | | | 1,007 | |
RingCentral | | | | | | | | |
8.500%, 08/15/2030 (A) | | | 209 | | | | 224 | |
Seagate HDD Cayman | | | | | | | | |
8.500%, 07/15/2031 | | | 40 | | | | 44 | |
8.250%, 12/15/2029 | | | 162 | | | | 176 | |
3.375%, 07/15/2031 | | | 1,341 | | | | 1,146 | |
Synaptics | | | | | | | | |
4.000%, 06/15/2029 (A) | | | 1,959 | | | | 1,856 | |
UKG | | | | | | | | |
6.875%, 02/01/2031 (A) | | | 1,102 | | | | 1,139 | |
Viasat | | | | | | | | |
7.500%, 05/30/2031 (A) | | | 1,710 | | | | 1,177 | |
6.500%, 07/15/2028 (A) | | | 435 | | | | 342 | |
Xerox Holdings | | | | | | | | |
8.875%, 11/30/2029 (A) | | | 165 | | | | 153 | |
| | | | | | | | | |
| | | | | | | | 41,883 | |
| | | | | | | | | |
Materials — 7.8% | | | | |
ARD Finance | | | | | | | | |
6.500% cash/0% PIK, 06/30/2027 (A) | | | 1,039 | | | | 230 | |
Ardagh Packaging Finance | | | | | | | | |
5.250%, 08/15/2027 (A) | | | 3,668 | | | | 2,734 | |
4.125%, 08/15/2026 (A) | | | 490 | | | | 442 | |
ASP Unifrax Holdings | | | | | | | | |
5.250%, 09/30/2028 (A) | | | 2,325 | | | | 1,160 | |
ATI | | | | | | | | |
7.250%, 08/15/2030 | | | 147 | | | | 156 | |
5.875%, 12/01/2027 | | | 174 | | | | 174 | |
5.125%, 10/01/2031 | | | 80 | | | | 78 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.875%, 10/01/2029 | | $ | 160 | | | $ | 155 | |
Avient | | | | | | | | |
6.250%, 11/01/2031 (A) | | | 420 | | | | 430 | |
Axalta Coating Systems | | | | | | | | |
4.750%, 06/15/2027 (A) | | | 397 | | | | 394 | |
3.375%, 02/15/2029 (A) | | | 1,441 | | | | 1,349 | |
Axalta Coating Systems Dutch Holding B BV | | | | | | | | |
7.250%, 02/15/2031 (A) | | | 1,812 | | | | 1,935 | |
Baffinland Iron Mines | | | | | | | | |
8.750%, 07/15/2026 (A) | | | 3,355 | | | | 3,015 | |
Ball | | | | | | | | |
6.000%, 06/15/2029 | | | 1,168 | | | | 1,209 | |
3.125%, 09/15/2031 | | | 2,105 | | | | 1,869 | |
2.875%, 08/15/2030 | | | 1,751 | | | | 1,558 | |
Big River Steel | | | | | | | | |
6.625%, 01/31/2029 (A) | | | 298 | | | | 302 | |
Carpenter Technology | | | | | | | | |
7.625%, 03/15/2030 | | | 60 | | | | 63 | |
6.375%, 07/15/2028 | | | 184 | | | | 185 | |
CF Industries | | | | | | | | |
5.150%, 03/15/2034 | | | 869 | | | | 879 | |
Chemours | | | | | | | | |
5.750%, 11/15/2028 (A) | | | 1,854 | | | | 1,761 | |
4.625%, 11/15/2029 (A) | | | 1,208 | | | | 1,082 | |
Cleveland-Cliffs Inc | | | | | | | | |
7.000%, 03/15/2032 (A) | | | 924 | | | | 934 | |
6.750%, 04/15/2030 (A) | | | 154 | | | | 157 | |
4.625%, 03/01/2029 (A) | | | 213 | | | | 201 | |
Clydesdale Acquisition Holdings | | | | | | | | |
8.750%, 04/15/2030 (A) | | | 772 | | | | 784 | |
Compass Minerals International | | | | | | | | |
6.750%, 12/01/2027 (A) | | | 625 | | | | 622 | |
Constellium | | | | | | | | |
3.750%, 04/15/2029 (A) | | | 580 | | | | 542 | |
Cornerstone Chemical | | | | | | | | |
15.000%, 12/06/2028 (E) | | | 3,159 | | | | 3,159 | |
10.250%, 09/01/2027 (A)(B)(E) | | | 343 | | | | 343 | |
CVR Partners | | | | | | | | |
6.125%, 06/15/2028 (A) | | | 1,097 | | | | 1,074 | |
Domtar | | | | | | | | |
6.750%, 10/01/2028 (A) | | | 2,605 | | | | 2,382 | |
Element Solutions | | | | | | | | |
3.875%, 09/01/2028 (A) | | | 447 | | | | 426 | |
ERO Copper | | | | | | | | |
6.500%, 02/15/2030 (A) | | | 1,605 | | | | 1,598 | |
First Quantum Minerals | | | | | | | | |
9.375%, 03/01/2029 (A) | | | 200 | | | | 212 | |
8.625%, 06/01/2031 (A) | | | 1,600 | | | | 1,603 | |
6.875%, 10/15/2027 (A) | | | 1,449 | | | | 1,433 | |
FMG Resources August 2006 Pty | | | | | | | | |
4.500%, 09/15/2027 (A) | | | 1,070 | | | | 1,053 | |
4.375%, 04/01/2031 (A) | | | 474 | | | | 443 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Freeport-McMoRan | | | | | | | | |
5.450%, 03/15/2043 | | $ | 550 | | | $ | 553 | |
5.400%, 11/14/2034 | | | 925 | | | | 959 | |
Graham Packaging | | | | | | | | |
7.125%, 08/15/2028 (A) | | | 185 | | | | 183 | |
Graphic Packaging International | | | | | | | | |
3.750%, 02/01/2030 (A) | | | 500 | | | | 468 | |
INEOS Finance | | | | | | | | |
7.500%, 04/15/2029 (A) | | | 1,128 | | | | 1,179 | |
6.750%, 05/15/2028 (A) | | | 200 | | | | 202 | |
INEOS Quattro Finance 2 | | | | | | | | |
9.625%, 03/15/2029 (A) | | | 200 | | | | 214 | |
Innophos Holdings | | | | | | | | |
9.375%, 02/15/2028 (A) | | | 2,970 | | | | 2,766 | |
LABL | | | | | | | | |
10.500%, 07/15/2027 (A) | | | 1,198 | | | | 1,200 | |
8.625%, 10/01/2031 (A) | | | 250 | | | | 248 | |
6.750%, 07/15/2026 (A) | | | 1,177 | | | | 1,176 | |
Mauser Packaging Solutions Holding | | | | | | | | |
9.250%, 04/15/2027 (A) | | | 500 | | | | 513 | |
7.875%, 04/15/2027 (A) | | | 1,055 | | | | 1,090 | |
Methanex | | | | | | | | |
5.250%, 12/15/2029 | | | 1,015 | | | | 1,002 | |
5.125%, 10/15/2027 | | | 1,361 | | | | 1,347 | |
Mineral Resources MTN | | | | | | | | |
8.500%, 05/01/2030 (A) | | | 1,170 | | | | 1,219 | |
Mountain Province Diamonds | | | | | | | | |
9.000%, 12/15/2025 (A)(C)(E) | | | 1,989 | | | | 1,876 | |
Neiman Marcus Group (Escrow Security) | | | | | | | | |
8.750%, 10/15/2022 (A)(B)(E) | | | 762 | | | | 26 | |
8.000%, 10/15/2022 (A)(B)(E) | | | 820 | | | | 29 | |
NMG Holding | | | | | | | | |
8.500%, 10/01/2028 (A) | | | 630 | | | | 641 | |
Northwest Acquisitions ULC | | | | | | | | |
7.125%, 11/01/2022 (A)(B)(C)(E) | | | 2,115 | | | | – | |
NOVA Chemicals | | | | | | | | |
9.000%, 02/15/2030 (A) | | | 1,029 | | | | 1,114 | |
8.500%, 11/15/2028 (A) | | | 133 | | | | 142 | |
5.250%, 06/01/2027 (A) | | | 295 | | | | 292 | |
5.000%, 05/01/2025 (A) | | | 176 | | | | 175 | |
4.250%, 05/15/2029 (A) | | | 213 | | | | 198 | |
Novelis | | | | | | | | |
4.750%, 01/30/2030 (A) | | | 632 | | | | 613 | |
3.250%, 11/15/2026 (A) | | | 769 | | | | 742 | |
OCI | | | | | | | | |
6.700%, 03/16/2033 (A) | | | 1,034 | | | | 1,083 | |
4.625%, 10/15/2025 (A) | | | 330 | | | | 330 | |
OI European Group BV | | | | | | | | |
4.750%, 02/15/2030 (A) | | | 1,250 | | | | 1,182 | |
Olympus Water US Holding | | | | | | | | |
9.750%, 11/15/2028 (A) | | | 1,438 | | | | 1,535 | |
Owens-Brockway Glass Container | | | | | | | | |
6.625%, 05/13/2027 (A) | | | 63 | | | | 63 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Rain Carbon | | | | | | | | |
12.250%, 09/01/2029 (A) | | $ | 2,120 | | | $ | 2,290 | |
Rain CII Carbon | | | | | | | | |
7.250%, 04/01/2025 (A) | | | 33 | | | | 33 | |
SCIH Salt Holdings | | | | | | | | |
6.625%, 05/01/2029 (A) | | | 1,845 | | | | 1,774 | |
4.875%, 05/01/2028 (A) | | | 1,324 | | | | 1,276 | |
Scotts Miracle-Gro | | | | | | | | |
4.500%, 10/15/2029 | | | 420 | | | | 404 | |
4.375%, 02/01/2032 | | | 212 | | | | 196 | |
4.000%, 04/01/2031 | | | 470 | | | | 431 | |
Sealed Air | | | | | | | | |
6.500%, 07/15/2032 (A) | | | 1,105 | | | | 1,140 | |
6.125%, 02/01/2028 (A) | | | 1,809 | | | | 1,839 | |
Smyrna Ready Mix Concrete | | | | | | | | |
8.875%, 11/15/2031 (A) | | | 660 | | | | 712 | |
6.000%, 11/01/2028 (A) | | | 790 | | | | 793 | |
Summit Materials | | | | | | | | |
7.250%, 01/15/2031 (A) | | | 609 | | | | 645 | |
5.250%, 01/15/2029 (A) | | | 1,340 | | | | 1,325 | |
Tacora Resources | | | | | | | | |
13.000% cash/0% PIK, 11/03/2023 (A)(B)(C)(E) | | | 127 | | | | – | |
8.250%, 05/15/2026 (A)(B)(C)(E) | | | 870 | | | | 304 | |
Taseko Mines | | | | | | | | |
8.250%, 05/01/2030 (A) | | | 1,272 | | | | 1,335 | |
Trident TPI Holdings | | | | | | | | |
12.750%, 12/31/2028 (A) | | | 877 | | | | 973 | |
TriMas | | | | | | | | |
4.125%, 04/15/2029 (A) | | | 294 | | | | 281 | |
Trinseo Materials Operating | | | | | | | | |
5.375%, 09/01/2025 (A) | | | 104 | | | | 92 | |
5.125%, 04/01/2029 (A) | | | 1,016 | | | | 493 | |
Trivium Packaging Finance BV | | | | | | | | |
8.500%, 08/15/2027 (A) | | | 1,665 | | | | 1,669 | |
5.500%, 08/15/2026 (A) | | | 1,299 | | | | 1,294 | |
Tronox | | | | | | | | |
4.625%, 03/15/2029 (A) | | | 4,878 | | | | 4,557 | |
WR Grace Holdings | | | | | | | | |
5.625%, 08/15/2029 (A) | | | 4,251 | | | | 3,993 | |
4.875%, 06/15/2027 (A) | | | 310 | | | | 306 | |
| | | | | | | | | |
| | | | | | | | 90,641 | |
| | | | | | | | | |
Real Estate — 2.1% | | | | |
Anywhere Real Estate Group | | | | | | | | |
5.250%, 04/15/2030 (A) | | | 372 | | | | 297 | |
Brookfield Property REIT | | | | | | | | |
5.750%, 05/15/2026 (A) | | | 40 | | | | 40 | |
4.500%, 04/01/2027 (A) | | | 3,877 | | | | 3,773 | |
Diversified Healthcare Trust | | | | | | | | |
4.750%, 02/15/2028 | | | 520 | | | | 470 | |
4.375%, 03/01/2031 | | | 2,955 | | | | 2,433 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Iron Mountain | | | | | | | | |
5.250%, 03/15/2028 (A) | | $ | 756 | | | $ | 753 | |
5.250%, 07/15/2030 (A) | | | 865 | | | | 854 | |
5.000%, 07/15/2028 (A) | | | 294 | | | | 290 | |
4.875%, 09/15/2029 (A) | | | 1,876 | | | | 1,837 | |
4.500%, 02/15/2031 (A) | | | 20 | | | | 19 | |
Outfront Media Capital | | | | | | | | |
7.375%, 02/15/2031 (A) | | | 1,577 | | | | 1,683 | |
4.625%, 03/15/2030 (A) | | | 370 | | | | 352 | |
Park Intermediate Holdings | | | | | | | | |
4.875%, 05/15/2029 (A) | | | 1,090 | | | | 1,058 | |
RHP Hotel Properties | | | | | | | | |
7.250%, 07/15/2028 (A) | | | 77 | | | | 80 | |
6.500%, 04/01/2032 (A) | | | 206 | | | | 213 | |
4.750%, 10/15/2027 | | | 663 | | | | 655 | |
4.500%, 02/15/2029 (A) | | | 529 | | | | 512 | |
RLJ Lodging Trust | | | | | | | | |
4.000%, 09/15/2029 (A) | | | 330 | | | | 304 | |
3.750%, 07/01/2026 (A) | | | 189 | | | | 185 | |
Service Properties Trust | | | | | | | | |
8.625%, 11/15/2031 (A) | | | 883 | | | | 960 | |
5.500%, 12/15/2027 | | | 460 | | | | 438 | |
4.950%, 02/15/2027 | | | 1,520 | | | | 1,439 | |
4.375%, 02/15/2030 | | | 1,530 | | | | 1,158 | |
3.950%, 01/15/2028 | | | 215 | | | | 186 | |
Uniti Group | | | | | | | | |
10.500%, 02/15/2028 (A) | | | 1,272 | | | | 1,358 | |
6.500%, 02/15/2029 (A) | | | 530 | | | | 460 | |
6.000%, 01/15/2030 (A) | | | 1,816 | | | | 1,549 | |
VICI Properties | | | | | | | | |
4.625%, 06/15/2025 (A) | | | 261 | | | | 259 | |
4.625%, 12/01/2029 (A) | | | 153 | | | | 150 | |
4.500%, 09/01/2026 (A) | | | 125 | | | | 124 | |
3.750%, 02/15/2027 (A) | | | 910 | | | | 888 | |
| | | | | | | | | |
| | | | | | | | 24,777 | |
| | | | | | | | | |
Utilities — 2.2% | | | | |
Alpha Generation | | | | | | | | |
6.750%, 10/15/2032 (A) | | | 1,250 | | | | 1,268 | |
AmeriGas Partners | | | | | | | | |
9.375%, 06/01/2028 (A) | | | 147 | | | | 154 | |
5.875%, 08/20/2026 | | | 125 | | | | 124 | |
5.750%, 05/20/2027 | | | 110 | | | | 108 | |
Calpine | | | | | | | | |
5.000%, 02/01/2031 (A) | | | 180 | | | | 174 | |
4.625%, 02/01/2029 (A) | | | 907 | | | | 876 | |
4.500%, 02/15/2028 (A) | | | 3,273 | | | | 3,196 | |
NextEra Energy Operating Partners | | | | | | | | |
7.250%, 01/15/2029 (A) | | | 1,481 | | | | 1,562 | |
NRG Energy | | | | | | | | |
10.250%, H15T5Y + 5.920%(A)(D)(G) | | | 1,223 | | | | 1,380 | |
7.000%, 03/15/2033 (A) | | | 264 | | | | 293 | |
6.625%, 01/15/2027 | | | 49 | | | | 49 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.250%, 06/15/2029 (A) | | $ | 350 | | | $ | 349 | |
3.875%, 02/15/2032 (A) | | | 33 | | | | 30 | |
3.625%, 02/15/2031 (A) | | | 2,716 | | | | 2,461 | |
3.375%, 02/15/2029 (A) | | | 145 | | | | 135 | |
Pattern Energy Operations | | | | | | | | |
4.500%, 08/15/2028 (A) | | | 1,337 | | | | 1,293 | |
PG&E | | | | | | | | |
5.250%, 07/01/2030 | | | 1,552 | | | | 1,542 | |
5.000%, 07/01/2028 | | | 294 | | | | 291 | |
Pike | | | | | | | | |
8.625%, 01/31/2031 (A) | | | 71 | | | | 76 | |
5.500%, 09/01/2028 (A) | | | 202 | | | | 198 | |
Talen Energy Supply | | | | | | | | |
8.625%, 06/01/2030 (A) | | | 1,430 | | | | 1,558 | |
Vistra | | | | | | | | |
8.000%, H15T5Y + 6.930%(A)(D)(G) | | | 2,999 | | | | 3,142 | |
7.000%, H15T5Y + 5.740%(A)(D)(G) | | | 250 | | | | 255 | |
Vistra Operations | | | | | | | | |
7.750%, 10/15/2031 (A) | | | 370 | | | | 398 | |
6.875%, 04/15/2032 (A) | | | 995 | | | | 1,047 | |
5.625%, 02/15/2027 (A) | | | 215 | | | | 215 | |
5.000%, 07/31/2027 (A) | | | 1,426 | | | | 1,419 | |
4.375%, 05/01/2029 (A) | | | 1,867 | | | | 1,807 | |
4.300%, 07/15/2029 (A) | | | 375 | | | | 367 | |
| | | | | | | | | |
| | | | | | | | 25,767 | |
| | | | | | | | | |
Total Corporate Obligations | | | | | | | | |
(Cost $913,256) ($ Thousands) | | | | | | | 901,219 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
LOAN PARTICIPATIONS — 9.9% |
AAdvantage Loyality IP Ltd. (American Airlines, Inc.), Initial Term Loan, 1st Lien | | | | | | | | |
10.294%, CME Term SOFR + 4.750%, 04/20/2028 (D) | | | 430 | | | | 441 | |
Access CIG, LLC, 2023 Refinancing Term Loan, 1st Lien | | | | | | | | |
10.252%, CME Term SOFR + 5.000%, 08/18/2028 (D) | | | 900 | | | | 902 | |
ACProducts Holdings, Inc., Initial Term Loan, 1st Lien | | | | | | | | |
9.115%, CME Term SOFR + 4.250%, 05/17/2028 (D) | | | 324 | | | | 270 | |
Adient Global Holding Ltd., Term B-2 Loan | | | | | | | | |
7.595%, CME Term SOFR + 2.750%, 01/31/2031 (D) | | | 179 | | | | 179 | |
Ahead DB Holdings, LLC, Term B-3 Loan, 1st Lien | | | | | | | | |
8.104%, CME Term SOFR + 3.500%, 02/01/2031 (D) | | | 308 | | | | 308 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
Alvogen Pharma US, Inc., June 2022 Loan, 1st Lien | | | | | | | | |
12.445%, CME Term SOFR + 7.500%, 06/30/2025 (D) | | $ | 1,564 | | | $ | 1,388 | |
Applied Systems, Inc., Tranche B-1 Term Loan, 1st Lien | | | | | | | | |
7.604%, CME Term SOFR + 3.000%, 02/24/2031 (D) | | | 1,571 | | | | 1,571 | |
Arctic Canadian Diamond Company, Ltd, Term Loan, 2nd Lien | | | | | | | | |
10.000%, 06/30/2026 (E) | | | 785 | | | | 785 | |
Aruba Investments Holdings, LLC, Initial Dollar Term Loan, 1st Lien | | | | | | | | |
8.945%, CME Term SOFR + 4.000%, 11/24/2027 (D) | | | 280 | | | | 278 | |
Asurion, LLC, New B-8 Term Loan, 1st Lien | | | | | | | | |
8.611%, CME Term SOFR + 3.250%, 12/23/2026 (D) | | | 563 | | | | 562 | |
Avaya Inc., Initial Term Loan, 1st Lien | | | | | | | | |
12.345%, CME Term SOFR + 7.500%, 08/01/2028 (C)(D)(H) | | | 4,229 | | | | 3,717 | |
AVSC Holding Corp., 2020 B-1 Term Loan, 1st Lien | | | | | | | | |
8.195%, CME Term SOFR + 3.250%, 03/03/2025 (D)(H) | | | 1,192 | | | | 1,185 | |
AVSC Holding Corp., 2020 B-2 Term Loan, 1st Lien | | | | | | | | |
9.445%, CME Term SOFR + 4.500%, 10/15/2026 (D) | | | 100 | | | | 100 | |
Bally's Corporation, Term B Facility Loan, 1st Lien | | | | | | | | |
8.794%, CME Term SOFR + 3.250%, 10/02/2028 (D) | | | 839 | | | | 798 | |
BYJU's Alpha, Inc., Initial Term Loan | | | | | | | | |
15.500%, CME Term SOFR + 6.000%, 11/24/2026 (B)(D) | | | 2,767 | | | | 595 | |
BYJU's Alpha, Inc., Term Loan, 1st Lien | | | | | | | | |
13.334%, 04/24/2026 | | | 24 | | | | 24 | |
Caesars Entertainment, Inc., Incremental Term B-1 Loan, 1st Lien | | | | | | | | |
7.595%, CME Term SOFR + 2.750%, 02/06/2031 (D)(H) | | | 844 | | | | 843 | |
Carestream Health, Inc., Term Loan, 1st Lien | | | | | | | | |
12.935%, CME Term SOFR + 7.500%, 09/30/2027 (D)(H) | | | 1,609 | | | | 1,466 | |
Castle US Holding Corp., Dollar Term B-2 Loan, 1st Lien | | | | | | | | |
9.319%, CME Term SOFR + 4.000%, 01/29/2027 (D) | | | 1,088 | | | | 707 | |
Castle US Holding Corp., Initial Dollar Term Loan, 1st Lien | | | | | | | | |
9.069%, CME Term SOFR + 3.750%, 01/29/2027 (D)(H) | | | 1,065 | | | | 704 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
CHPPR Midco Inc. , Amendment No. 1 Term Loan, 1st Lien | | | | | | | | |
13.418%, CME Term SOFR + 8.750%, 12/31/2029 (D)(E) | | $ | 1,086 | | | $ | 1,086 | |
Claire's Stores, Inc., Initial Term Loan, 1st Lien | | | | | | | | |
11.445%, CME Term SOFR + 6.500%, 12/18/2026 (D) | | | 1,088 | | | | 906 | |
Clear Channel Outdoor Holdings, Inc., 2024 Refinancing Term Loan | | | | | | | | |
8.960%, CME Term SOFR + 4.000%, 08/21/2028 (D) | | | 32 | | | | 32 | |
Cloud Software Group, Inc., Fourth Amendment Incremental Term Loan, 1st Lien | | | | | | | | |
8.604%, CME Term SOFR + 4.000%, 03/30/2029 (D)(H) | | | 1,545 | | | | 1,538 | |
Cloud Software Group, Inc., Third Amendment Term Loan, 1st Lien | | | | | | | | |
9.104%, CME Term SOFR + 4.500%, 03/21/2031 (D) | | | 700 | | | | 702 | |
ClubCorp Holdings, Inc., Term B-2 Loan, 1st Lien | | | | | | | | |
9.865%, CME Term SOFR + 5.000%, 09/18/2026 (D) | | | 771 | | | | 771 | |
Conair Holdings LLC, Initial Term Loan, 1st Lien | | | | | | | | |
8.710%, CME Term SOFR + 3.750%, 05/17/2028 (D) | | | 218 | | | | 199 | |
Consolidated Communications, Inc., Term B-1 Loan, 1st Lien | | | | | | | | |
8.460%, CME Term SOFR + 3.500%, 10/02/2027 (D) | | | 1,470 | | | | 1,427 | |
CP Atlas Buyer, Inc., Term B Loan, 1st Lien | | | | | | | | |
8.695%, CME Term SOFR + 3.750%, 11/23/2027 (D) | | | 670 | | | | 660 | |
CSC Holdings, LLC, 2022 Refinancing Term Loan, 1st Lien | | | | | | | | |
9.597%, CME Term SOFR + 4.500%, 01/18/2028 (D) | | | 99 | | | | 96 | |
Curia Global, Inc., 2021 Term Loan, 1st Lien | | | | | | | | |
9.102%, CME Term SOFR + 3.750%, 08/30/2026 (D) | | | 924 | | | | 877 | |
9.097%, CME Term SOFR + 3.750%, 08/30/2026 (D) | | | 2 | | | | 2 | |
DexKo Global Inc., Closing Date Dollar Term Loan, 1st Lien | | | | | | | | |
8.615%, CME Term SOFR + 3.750%, 10/04/2028 (D) | | | 336 | | | | 324 | |
Diamond Sports Group, LLC, Dip Term Loan, 1st Lien | | | | | | | | |
10.167%, 12/02/2024 | | | 281 | | | | 335 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
DIRECTV Financing, LLC, Closing Date Term Loan, 1st Lien | | | | | | | | |
9.960%, CME Term SOFR + 5.000%, 08/02/2027 (D) | | $ | 211 | | | $ | 211 | |
East Valley Tourist Development Authority , Term Loan, 1st Lien | | | | | | | | |
12.460%, CME Term SOFR + 7.500%, 11/23/2026 (D)(E) | | | 2,342 | | | | 2,297 | |
Eastman Tire, Term Loan B, 1st Lien | | | | | | | | |
10.115%, 11/01/2028 (D)(H) | | | 911 | | | | 765 | |
Emrld Borrower, LP, Second Amendment Incremental Term Loan, 1st Lien | | | | | | | | |
7.557%, 08/04/2031 | | | 137 | | | | 137 | |
Endo Finance Holdings, Inc., Initial Term Loan, 1st Lien | | | | | | | | |
9.783%, CME Term SOFR + 4.500%, 04/23/2031 (D) | | | 795 | | | | 794 | |
Envestnet/BCPE Pequod, Term Loan, 1st Lien | | | | | | | | |
0.000%, 09/19/2031 (F)(H) | | | 228 | | | | 227 | |
Envision Healthcare Operating, Inc., Initial Term Loan | | | | | | | | |
13.368%, CME Term SOFR + 8.250%, 12/30/2027 (D) | | | 787 | | | | 787 | |
Enviva Inc., Initial Note | | | | | | | | |
13.301%, CME Term SOFR + 8.000%, 12/13/2024 (D) | | | 291 | | | | 328 | |
Enviva Inc., Term Loan A1 DDTL | | | | | | | | |
13.016%, CME Term SOFR + 8.000%, 12/13/2024 (D) | | | 194 | | | | 219 | |
Enviva, Inc. | | | | | | | | |
0.000%, 06/30/2027 (D)(E)(F) | | | 2 | | | | — | |
Enviva, Inc., Term Loan B1 DDTL | | | | | | | | |
13.282%, CME Term SOFR + 8.000%, 12/13/2024 (D) | | | 194 | | | | 195 | |
10.579%, 12/13/2024 | | | 291 | | | | 3 | |
Enviva, Inc., Term Loan, 1st Lien | | | | | | | | |
12.250%, CME Term SOFR + 2.750%, 06/30/2027 (D)(E) | | | 629 | | | | 629 | |
Epic Crude Services, LP, Term Loan, 1st Lien | | | | | | | | |
10.361%, CME Term SOFR + 5.000%, 03/02/2026 (D) | | | 892 | | | | 893 | |
eResearchTechnology, Inc., Tranche B-1 Term Loan, 1st Lien | | | | | | | | |
8.845%, CME Term SOFR + 4.000%, 02/04/2027 (D) | | | 1,365 | | | | 1,371 | |
First Advantage, Term Loan, 1st Lien | | | | | | | | |
0.000%, 09/19/2031 (F)(H) | | | 209 | | | | 208 | |
First Student Bidco Inc., Initial Term B Loan, 1st Lien | | | | | | | | |
7.865%, CME Term SOFR + 3.000%, 07/21/2028 (D) | | | 238 | | | | 238 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
First Student Bidco Inc., Initial Term C Loan, 1st Lien | | | | | | | | |
7.865%, CME Term SOFR + 3.000%, 07/21/2028 (D) | | $ | 73 | | | $ | 73 | |
First Student Bidco Inc., TLB-2 Loan, 1st Lien | | | | | | | | |
7.704%, CME Term SOFR + 3.000%, 07/21/2028 (D) | | | 250 | | | | 250 | |
Fitness International, LLC, Term B Loan | | | | | | | | |
10.505%, CME Term SOFR + 5.250%, 02/05/2029 (D) | | | 675 | | | | 672 | |
10.497%, CME Term SOFR + 5.250%, 02/05/2029 (D) | | | 2 | | | | 2 | |
Freeport LNG Investments, LLLP, 1st Lien | | | | | | | | |
8.544%, 11/16/2026 (H) | | | 1,060 | | | | 1,054 | |
Gainwell Acquisition Corp, Term B Loan, 1st Lien | | | | | | | | |
8.704%, CME Term SOFR + 4.000%, 10/01/2027 (D)(H) | | | 96 | | | | 91 | |
GatesAir, Term Loan | | | | | | | | |
14.862%, 08/01/2027 (C)(E) | | | 1,156 | | | | 1,156 | |
Genesys Cloud Services Holdings I, LLC, 2024 Incremental Dollar Term Loan, 1st Lien | | | | | | | | |
8.710%, CME Term SOFR + 3.750%, 12/01/2027 (D) | | | 831 | | | | 831 | |
Genesys Cloud Services Holdings I, LLC, 2024 Incremental No. 2 Dollar Term Loan, 1st Lien | | | | | | | | |
8.345%, CME Term SOFR + 3.500%, 12/01/2027 (D) | | | 275 | | | | 276 | |
GIP III Stetson I, L.P. (GIP III Stetson II, L.P.), Initial Term Loan (2023), 1st Lien | | | | | | | | |
8.345%, CME Term SOFR + 3.500%, 10/31/2028 (D) | | | 1,512 | | | | 1,510 | |
Global Medical Response, Inc, 2024 Extended Term Loan, 1st Lien | | | | | | | | |
9.711%, CME Term SOFR + 4.750%, 10/31/2028 (D)(H) | | | 3,809 | | | | 3,781 | |
Graham Packaging Company Inc., Initial Term Loan | | | | | | | | |
7.345%, CME Term SOFR + 2.500%, 08/04/2027 (D) | | | 336 | | | | 335 | |
Grifols Worldwide Operations Limited, Dollar Tranche B Term Loan, 1st Lien | | | | | | | | |
7.402%, CME Term SOFR + 2.000%, 11/15/2027 (D) | | | 640 | | | | 621 | |
Hertz Corporation, Initial Term B Loan, 1st Lien | | | | | | | | |
8.882%, CME Term SOFR + 3.500%, 06/30/2028 (D)(H) | | | 2 | | | | 2 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
HIG Finance 2 Limited, 2024 Dollar Term Loan, 1st Lien | | | | | | | | |
8.345%, CME Term SOFR + 3.500%, 02/15/2031 (D) | | $ | 1,204 | | | $ | 1,204 | |
Instructure/Icon Parent, Term Loan, 1st Lien | | | | | | | | |
0.000%, 09/11/2031 (F)(H) | | | 185 | | | | 184 | |
Instructure/Icon Parent, Term Loan, 2nd Lien | | | | | | | | |
0.000%, 09/10/2032 (F)(H) | | | 1,110 | | | | 1,112 | |
J & J Ventures Gaming, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
8.960%, CME Term SOFR + 4.000%, 04/26/2028 (D) | | | 885 | | | | 882 | |
J.C. Penney Corporation Inc., Term Loan, 1st Lien | | | | | | | | |
5.250%, 06/21/2024 (B)(D)(E) | | | 2,253 | | | | — | |
Johnstone Supply, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
8.174%, CME Term SOFR + 3.000%, 06/09/2031 (D) | | | 395 | | | | 394 | |
Journey Personal Care Corp., Initial Term Loan, 1st Lien | | | | | | | | |
9.210%, CME Term SOFR + 4.250%, 03/01/2028 (D) | | | 1,652 | | | | 1,648 | |
Jump Financial, LLC, Term Loan, 1st Lien | | | | | | | | |
9.365%, CME Term SOFR + 4.500%, 08/07/2028 (D) | | | 3,137 | | | | 3,098 | |
KNS Acquistion Corp., Initial Term Loan, 1st Lien | | | | | | | | |
11.210%, CME Term SOFR + 6.250%, 04/21/2027 (C)(D)(H) | | | 1,615 | | | | 985 | |
LABL, Inc., Initial Dollar Term Loan, 1st Lien | | | | | | | | |
9.945%, CME Term SOFR + 5.000%, 10/29/2028 (D) | | | 976 | | | | 952 | |
Lannett Takeback Exit Term Loan, 1st Lien | | | | | | | | |
2.000%, 06/16/2030 (E) | | | 577 | | | | 577 | |
Libbey Glass LLC, Incremental Term Loan, 1st Lien | | | | | | | | |
11.929%, CME Term SOFR + 6.500%, 11/22/2027 (D) | | | 1,732 | | | | 1,709 | |
LifeScan Global Corporation, Initial Term Loan, 1st Lien | | | | | | | | |
11.728%, CME Term SOFR + 6.500%, 12/31/2026 (C)(D)(H) | | | 8,243 | | | | 3,297 | |
Lightstone Holdco LLC, Extended Term B Loan, 1st Lien | | | | | | | | |
11.002%, CME Term SOFR + 5.750%, 01/29/2027 (D) | | | 2,372 | | | | 2,401 | |
Lightstone Holdco LLC, Extended Term C Loan, 1st Lien | | | | | | | | |
11.002%, CME Term SOFR + 5.750%, 01/29/2027 (D) | | | 134 | | | | 136 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
Lumen Technologies Inc., Term B-2 Loan | | | | | | | | |
7.319%, CME Term SOFR + 2.350%, 04/15/2030 (D)(H) | | $ | 545 | | | $ | 471 | |
Madison IAQ, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
7.889%, CME Term SOFR + 2.750%, 06/21/2028 (D) | | | 302 | | | | 302 | |
Magenta Security Holdings LLC, First Out Term Loan, 1st Lien | | | | | | | | |
12.126%, CME Term SOFR + 6.750%, 07/27/2028 (D)(H) | | | 1,834 | | | | 1,733 | |
Magenta Security Holdings LLC, Second Out Term Loan, 1st Lien | | | | | | | | |
12.116%, CME Term SOFR + 7.000%, 07/27/2028 (D)(H) | | | 2,022 | | | | 1,385 | |
Magenta Security Holdings LLC, Super Priority Term Loan, 1st Lien | | | | | | | | |
11.366%, CME Term SOFR + 6.250%, 07/27/2028 (D)(H) | | | 410 | | | | 417 | |
Magenta Security Holdings LLC, Third Out Term Loan, 1st Lien | | | | | | | | |
11.626%, CME Term SOFR + 6.250%, 07/27/2028 (D)(E) | | | 588 | | | | 172 | |
Magnite Inc., Term Loan B | | | | | | | | |
8.766%, CME Term SOFR + 4.000%, 02/06/2031 (D) | | | 1,666 | | | | 1,676 | |
Mavenir Systems, Inc., Initial Term Loan, 1st Lien | | | | | | | | |
10.811%, CME Term SOFR + 5.750%, 08/18/2028 (C)(D)(E) | | | 522 | | | | 327 | |
10.073%, CME Term SOFR + 4.750%, 08/18/2028 (C)(D)(E) | | | 5,040 | | | | 3,286 | |
Medline Borrower, LP, Refinancing Term Loan, 1st Lien | | | | | | | | |
7.595%, CME Term SOFR + 2.750%, 10/23/2028 (D) | | | 646 | | | | 646 | |
MH Sub I, LLC (Micro Holding Corp.), 2023 May Incremental Term Loan, 1st Lien | | | | | | | | |
9.095%, CME Term SOFR + 4.250%, 05/03/2028 (D) | | | 678 | | | | 673 | |
MI Opco Holdings, Inc., 2023 Term Loan | | | | | | | | |
12.195%, 03/31/2028 | | | 760 | | | | 745 | |
MI Windows and Doors, LLC, 2024 Incremental Term Loan, 1st Lien | | | | | | | | |
8.345%, CME Term SOFR + 3.500%, 03/28/2031 (D) | | | 135 | | | | 135 | |
MLN US HoldCo LLC, Term B Loan, 1st Lien | | | | | | | | |
9.414%, CME Term SOFR + 4.500%, 11/30/2025 (D) | | | 647 | | | | 29 | |
Mountaineer Merger Corp., Initial Term Loan, 1st Lien | | | | | | | | |
12.169%, CME Term SOFR + 7.000%, 10/26/2028 (C)(D) | | | 1,924 | | | | 1,559 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
MPH Acquisition Holdings LLC, Initial Term Loan, 1st Lien | | | | | | | | |
9.569%, CME Term SOFR + 4.250%, 09/01/2028 (D) | | $ | 230 | | | $ | 173 | |
Naked Juice LLC, Initial Loan, 2nd Lien | | | | | | | | |
10.704%, CME Term SOFR + 6.000%, 01/24/2030 (D)(H) | | | 1,080 | | | | 655 | |
Naked Juice/Tropicana, Term Loan, 1st Lien | | | | | | | | |
8.685%, CME Term SOFR + 3.250%, 01/24/2029 (D)(H) | | | 976 | | | | 796 | |
Neon Maple/Pivotal Pay/Nuvei Tech, Term Loan B1, 1st Lien | | | | | | | | |
0.000%, 07/18/2031 (F)(H) | | | 307 | | | | 304 | |
NEP Group, Inc., Extended 2021 Dollar Term Loan, 1st Lien | | | | | | | | |
8.865%, CME Term SOFR + 4.000%, 08/19/2026 (D) | | | 143 | | | | 137 | |
NEP Group, Inc., Extended Initial Dollar Term Loan, 1st Lien | | | | | | | | |
8.115%, CME Term SOFR + 3.250%, 08/19/2026 (D) | | | 1,423 | | | | 1,361 | |
Neptune BidCo US Inc., Dollar Term B Loan, 1st Lien | | | | | | | | |
10.404%, CME Term SOFR + 5.000%, 04/11/2029 (D) | | | 1,166 | | | | 1,092 | |
Nexus Buyer LLC, Initial Term Loan, 2nd Lien | | | | | | | | |
11.195%, CME Term SOFR + 6.250%, 11/05/2029 (D) | | | 1,167 | | | | 1,161 | |
Obra TL, 1st Lien | | | | | | | | |
12.530%, 06/21/2029 (E) | | | 1,088 | | | | 1,056 | |
Osaic Holdings, Inc., Term B-3 Loan, 1st Lien | | | | | | | | |
8.845%, CME Term SOFR + 4.000%, 08/17/2028 (D) | | | 803 | | | | 793 | |
Ovation Parent, Inc., Initial Term Loan, 1st Lien | | | | | | | | |
8.104%, CME Term SOFR + 3.500%, 04/21/2031 (D) | | | 485 | | | | 486 | |
Packaging Coordinators Midco, Inc., 2024 Replacement Term Loan, 1st Lien | | | | | | | | |
8.095%, CME Term SOFR + 3.250%, 11/30/2027 (D) | | | 632 | | | | 632 | |
Parexel International Inc., Fifth Amendment Term Loan, 1st Lien | | | | | | | | |
7.845%, CME Term SOFR + 3.000%, 11/15/2028 (D) | | | 215 | | | | 215 | |
Park River Holdings Inc., Initial Term Loan, 1st Lien | | | | | | | | |
8.843%, CME Term SOFR + 3.250%, 12/28/2027 (D) | | | 124 | | | | 121 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
Petco Health and Wellness Co., Inc., Initial Term Loan, 1st Lien | | | | | | | | |
8.115%, CME Term SOFR + 3.250%, 03/03/2028 (D) | | $ | 433 | | | $ | 412 | |
Polar US Borrower, LLC, Term B-1-A Loan | | | | | | | | |
0.000%, 10/16/2028 (D)(F) | | | 1,477 | | | | 1,085 | |
Premier Brands Group Holdings LLC, Initial Loan, 1st Lien | | | | | | | | |
15.352%, CME Term SOFR + 10.000%, 03/20/2026 (C)(D)(E) | | | 936 | | | | 861 | |
Pretium PKG Holdings, Inc., Initial Third Amendment Tranche A-1 Term Loan, 1st Lien | | | | | | | | |
8.445%, CME Term SOFR + 3.197%, 10/02/2028 (D) | | | 1,088 | | | | 867 | |
Quest Software US Holdings Inc., Initial Term Loan, 1st Lien | | | | | | | | |
9.652%, CME Term SOFR + 4.250%, 02/01/2029 (D)(H) | | | 1,278 | | | | 850 | |
Radiology Partners, Inc., Term B Loan, 1st Lien | | | | | | | | |
10.383%, CME Term SOFR + 5.000%, 01/31/2029 (D)(H) | | | 925 | | | | 904 | |
Rocket Software, Inc., Extended Dollar Term Loan, 1st Lien | | | | | | | | |
9.595%, CME Term SOFR + 4.750%, 11/28/2028 (D) | | | 174 | | | | 174 | |
Serta Simmons Bedding, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
12.218%, CME Term SOFR + 7.500%, 06/29/2028 (D) | | | 48 | | | | 39 | |
Shutterfly Finance, LLC, Term B Loan, 2nd Lien | | | | | | | | |
5.604%, CME Term SOFR + 1.000%, 10/01/2027 (D) | | | 173 | | | | 147 | |
Sinclair Television Group, Inc., Term B-3 Loan | | | | | | | | |
8.514%, CME Term SOFR + 3.000%, 04/01/2028 (D)(H) | | | 903 | | | | 664 | |
SPX Flow, Inc., 2024 Refinancing Term Loan, 1st Lien | | | | | | | | |
8.345%, CME Term SOFR + 3.500%, 04/05/2029 (D) | | | 141 | | | | 141 | |
Star Parent, Inc., Term Loan, 1st Lien | | | | | | | | |
8.354%, CME Term SOFR + 3.750%, 09/27/2030 (D) | | | 114 | | | | 111 | |
Station Casinos LLC, Term B Facility, 1st Lien | | | | | | | | |
7.095%, CME Term SOFR + 2.250%, 03/14/2031 (D) | | | 1,022 | | | | 1,017 | |
Stubhub Holdco Sub, LLC, Extended USD Term B Loan, 1st Lien | | | | | | | | |
9.595%, CME Term SOFR + 4.750%, 03/15/2030 (D) | | | 574 | | | | 572 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
Surgery Center Holdings, Inc., 2024 Refinancing Term Loan, 1st Lien | | | | | | | | |
7.670%, CME Term SOFR + 2.750%, 12/19/2030 (D) | | $ | 1,657 | | | $ | 1,657 | |
SWF Holdings I Corp., Initial Term Loan, 1st Lien | | | | | | | | |
8.960%, CME Term SOFR + 4.000%, 10/06/2028 (C)(D)(H) | | | 683 | | | | 561 | |
Team Health Holdings, Inc., Extended Term Loan, 1st Lien | | | | | | | | |
10.502%, CME Term SOFR + 5.250%, 03/02/2027 (D) | | | 5,448 | | | | 5,198 | |
10.497%, CME Term SOFR + 5.250%, 03/02/2027 (D) | | | 16 | | | | 15 | |
Terrier Media Buyer, Term B Loan, 1st Lien | | | | | | | | |
8.204%, CME Term SOFR + 3.500%, 12/17/2026 (C)(D) | | | 324 | | | | 284 | |
Thunder Generation, Term Loan, 1st Lien | | | | | | | | |
0.000%, 09/27/2031 (E)(F)(H) | | | 830 | | | | 829 | |
Topgolf, Term Loan, 1st Lien | | | | | | | | |
7.845%, CME Term SOFR + 3.000%, 03/15/2030 (D) | | | 109 | | | | 108 | |
TortoiseEcofin, Term Loan, 1st Lien | | | | | | | | |
8.861%, 10/27/2028 | | | 194 | | | | 175 | |
Traverse Midstream Partners LLC, Advance, 1st Lien | | | | | | | | |
8.752%, CME Term SOFR + 3.500%, 02/16/2028 (D) | | | 968 | | | | 968 | |
Triton Water Holdings, Inc., Initial Term Loan, 1st Lien | | | | | | | | |
8.115%, CME Term SOFR + 3.250%, 03/31/2028 (D) | | | 200 | | | | 199 | |
U.S. Renal Care, Inc., Closing Date Term Loan | | | | | | | | |
10.361%, CME Term SOFR + 5.000%, 06/20/2028 (D) | | | 65 | | | | 59 | |
U.S. Renal Care, Inc., Closing Date Term Loan, 1st Lien | | | | | | | | |
10.361%, CME Term SOFR + 5.000%, 06/20/2028 (D) | | | 331 | | | | 301 | |
UKG Inc., 2024 Refinancing Term Loan, 1st Lien | | | | | | | | |
8.555%, CME Term SOFR + 3.250%, 02/10/2031 (D) | | | 105 | | | | 105 | |
Varsity Brands, Inc, Initial Term Loan, 1st Lien | | | | | | | | |
8.821%, CME Term SOFR + 3.750%, 08/26/2031 (D) | | | 1,911 | | | | 1,897 | |
Venator Materials PLC, Term Loan, 1st Lien | | | | | | | | |
7.299%, 10/12/2028 | | | 208 | | | | 207 | |
Venator, Term Loan, 1st Lien | | | | | | | | |
15.286%, 01/16/2026 | | | 127 | | | | 127 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
VeriFone Systems, Inc., Initial Term Loan, 1st Lien | | | | | | | | |
9.333%, CME Term SOFR + 4.000%, 08/20/2025 (D) | | $ | 1,708 | | | $ | 1,561 | |
Victra Holdings, LLC, Third Amendment Incremental Term Loan, 1st Lien | | | | | | | | |
9.854%, CME Term SOFR + 5.250%, 03/31/2029 (D)(H) | | | 1,551 | | | | 1,563 | |
WarHorse Gaming, LLC, Closing Date Term Loan, 1st Lien | | | | | | | | |
14.195%, CME Term SOFR + 9.250%, 06/30/2028 (D)(E) | | | 1,615 | | | | 1,672 | |
WEC US Holdings Ltd., Initial Term Loan, 1st Lien | | | | | | | | |
7.595%, CME Term SOFR + 2.750%, 01/27/2031 (D) | | | 900 | | | | 900 | |
White Cap Supply Holdings, LLC, Tranche C Term Loan | | | | | | | | |
8.095%, CME Term SOFR + 3.250%, 10/19/2029 (D) | | | 429 | | | | 425 | |
Xplornet Communications, Inc., Refinancing Term Loan, 1st Lien | | | | | | | | |
9.571%, CME Term SOFR + 4.000%, 10/02/2028 (B)(C)(D)(E) | | | 3,603 | | | | 599 | |
Zayo Group Holdings, Inc., 2022 Incremental Term Loan | | | | | | | | |
9.095%, CME Term SOFR + 4.250%, 03/09/2027 (D)(H) | | | 1,659 | | | | 1,526 | |
Zelis Cost Management Buyer, Inc., Term B-2 Loan, 1st Lien | | | | | | | | |
7.595%, CME Term SOFR + 2.750%, 09/28/2029 (D) | | | 496 | | | | 496 | |
| | | | | | | | | |
| | | | | | | | | |
Total Loan Participations | | | | | | | | |
(Cost $126,370) ($ Thousands) | | | | | | | 116,127 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
ASSET-BACKED SECURITIES — 7.3% |
Other Asset-Backed Securities — 7.3% | | | | |
| | | | | |
Ares XXXIV CLO, Ser 2020-2A, Cl FR | | | | | | | | |
14.147%, TSFR3M + 8.862%, 04/17/2033 (A)(D) | | | 1,446 | | | | 1,416 | |
Atlas Senior Loan Fund XX, Ser 2024-20A, Cl D1R | | | | | | | | |
0.000%, 10/19/2037 (A)(D)(F) | | | 1,530 | | | | 1,530 | |
Battalion CLO VII, Ser 2014-7A, Cl SUB | | | | | | | | |
0.000%, 07/17/2028 (A)(D)(E)(F) | | | 4,490 | | | | 1 | |
Battalion CLO VIII, Ser 2015-8A, Cl SUB | | | | | | | | |
0.000%, 07/18/2030 (A)(D)(E)(F) | | | 3,390 | | | | 744 | |
Battalion CLO X, Ser 2016-10A, Cl SUB | | | | | | | | |
0.000%, 01/25/2035 (A)(D)(E)(F) | | | 4,450 | | | | 2,214 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Battalion CLO XI, Ser 2017-11A, Cl SUB | | | | | | | | |
0.000%, 04/24/2034 (A)(D)(E)(F) | | $ | 5,857 | | | $ | 2,226 | |
Battalion CLO XII, Ser 2018-12A, Cl SUB | | | | | | | | |
0.000%, 05/17/2031 (A)(D)(E)(F) | | | 4,663 | | | | 734 | |
Battalion CLO XIV, Ser 2019-14A | | | | | | | | |
0.000%, 04/20/2032 (D)(E)(F) | | | 3,427 | | | | 1,648 | |
Battalion CLO XVI, Ser 2019-16A, Cl SUB | | | | | | | | |
0.000%, 12/19/2032 (A)(D)(E)(F) | | | 2,128 | | | | 894 | |
Battalion CLO XX, Ser 2021-20A | | | | | | | | |
0.000%, 07/15/2034 (D)(E)(F) | | | 4,839 | | | | 2,420 | |
Benefit Street Partners CLO III, Ser 2013-IIIA, Cl SUB | | | | | | | | |
0.000%, 07/20/2029 (A)(D)(E)(F) | | | 2,531 | | | | 101 | |
Benefit Street Partners CLO V-B | | | | | | | | |
0.000%, 04/20/2031 (E)(F) | | | 13,726 | | | | 5,662 | |
Benefit Street Partners CLO V-B, Ser 2024-5BA, Cl FR | | | | | | | | |
13.097%, TSFR3M + 7.800%, 07/20/2037 (A)(D) | | | 100 | | | | 96 | |
Benefit Street Partners CLO VI, Ser 2015-VIA, Cl SUB | | | | | | | | |
0.000%, 10/18/2029 (A)(D)(E)(F) | | | 7,502 | | | | 3,065 | |
Benefit Street Partners CLO VII, Ser 2015-VIII, Cl SUB | | | | | | | | |
0.000%, 07/18/2027 (D)(E)(F) | | | 6,715 | | | | 26 | |
Benefit Street Partners CLO VIII | | | | | | | | |
0.000%, 01/20/2028 (E)(F) | | | 6,720 | | | | 1,297 | |
Benefit Street Partners CLO X, Ser 2016-10A, Cl SUB | | | | | | | | |
0.000%, 04/20/2034 (A)(D)(E)(F) | | | 7,631 | | | | 4,600 | |
Benefit Street Partners CLO XIV, Ser 2018-14A, Cl SUB | | | | | | | | |
0.000%, 10/20/2037 (A)(D)(E)(F) | | | 9,932 | | | | 3,506 | |
Benefit Street Partners CLO XVIII, Ser 2019-18A, Cl SUB | | | | | | | | |
0.000%, 10/15/2034 (A)(D)(E)(F) | | | 3,486 | | | | 2,336 | |
Benefit Street Partners CLO XX, Ser 2020-20A, Cl SUB | | | | | | | | |
0.000%, 07/15/2034 (A)(D)(E)(F) | | | 2,261 | | | | 1,812 | |
Benefit Street Partners CLO XXIII, Ser 2021-23A | | | | | | | | |
0.000%, 04/25/2034 (E)(F) | | | 3,157 | | | | 2,028 | |
Cathedral Lake CLO III, Ser 2015-3A, Cl SUB | | | | | | | | |
0.000%, 01/15/2026 (A)(D)(E)(F) | | | 2,725 | | | | 559 | |
Cathedral Lake V, Ser 2018-5A, Cl SUB | | | | | | | | |
0.000%, 10/21/2030 (A)(D)(E)(F) | | | 3,139 | | | | 471 | |
Great Lakes CLO, Ser 2015-1A, Cl ER | | | | | | | | |
12.936%, TSFR3M + 7.622%, 01/16/2030 (A)(D) | | | 3,253 | | | | 3,232 | |
Great Lakes CLO, Ser 2015-1A, Cl FR | | | | | | | | |
15.576%, TSFR3M + 10.262%, 01/16/2030 (A)(D) | | | 1,198 | | | | 1,121 | |
Great Lakes CLO, Ser 2015-1A, Cl SUB | | | | | | | | |
0.000%, 01/16/2030 (A)(D)(E)(F) | | | 4,519 | | | | 2,061 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Ivy Hill Middle Market Credit Fund VII, Ser 2013-7A, Cl SUB | | | | | | | | |
0.000%, 10/15/2036 (A)(D)(E)(F) | | $ | 4,293 | | | $ | 2,533 | |
Ivy Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl SUB | | | | | | | | |
0.000%, 07/20/2033 (A)(D)(E)(F) | | | 651 | | | | 462 | |
LCM CLO, Ser 31A | | | | | | | | |
0.000%, 01/20/2032 (E)(F) | | | 1,115 | | | | 493 | |
Lockwood Grove CLO, Ser 2014-1A, Cl SUB | | | | | | | | |
0.000%, 01/25/2030 (A)(D)(E)(F) | | | 3,797 | | | | 4 | |
MidOcean Credit CLO XVI, Ser 2024-16A, Cl SUB | | | | | | | | |
0.000%, 10/20/2037 (A)(D)(E)(F) | | | 1,755 | | | | 1,404 | |
Neuberger Berman CLO XXII, Ser 2016-22A, Cl SUB | | | | | | | | |
0.000%, 10/17/2030 (A)(D)(E)(F) | | | 3,640 | | | | 1,383 | |
Neuberger Berman Loan Advisers CLO XLI, Ser 2021-41 | | | | | | | | |
0.000%, 04/15/2034 (E)(F) | | | 1,924 | | | | 1,102 | |
Neuberger Berman Loan Advisers CLO XXXIX, Ser 2020-39 | | | | | | | | |
0.000%, 01/20/2032 (E)(F) | | | 3,294 | | | | 2,261 | |
Neuberger Berman Loan Advisers CLO, Ser 2020-36A, Cl INC | | | | | | | | |
0.000%, 04/20/2033 (A)(D)(E)(F) | | | 1,095 | | | | 534 | |
Neuberger Berman Loan Advisers CLO, Ser 2020-36A, Cl SPIN | | | | | | | | |
0.114%, 04/20/2033 (A)(D)(E) | | | 14 | | | | 5 | |
NewStar Fairfield Fund CLO, Ser 2015-2A, Cl SUB | | | | | | | | |
0.000%, 04/20/2030 (A)(D)(E)(F) | | | 7,983 | | | | 1,756 | |
OCP CLO, Ser 2017-14A, Cl SUB | | | | | | | | |
0.000%, 07/20/2037 (A)(D)(E)(F) | | | 2,086 | | | | 834 | |
OCP CLO, Ser 2020-19A, Cl SUB | | | | | | | | |
0.000%, 10/20/2034 (A)(D)(E)(F) | | | 1,224 | | | | 854 | |
OCP CLO, Ser 2021-21A | | | | | | | | |
0.000%, 07/20/2034 (E)(F) | | | 4,413 | | | | 2,476 | |
TCP Whitney CLO, Ser 2017-1I, Cl SUB | | | | | | | | |
0.000%, 08/20/2029 (D)(E)(F) | | | 9,085 | | | | 6,165 | |
TCW CLO Warehouse Note, Ser 2018-1 | | | | | | | | |
0.000%, (E)(F) | | | 702 | | | | 702 | |
TCW CLO, Ser 2017-1A, Cl SUB | | | | | | | | |
0.000%, 10/29/2034 (A)(D)(E)(F) | | | 4,194 | | | | 1,845 | |
TCW CLO, Ser 2018-1A, Cl SUB | | | | | | | | |
0.000%, 04/25/2031 (A)(D)(E)(F) | | | 5,076 | | | | 1,726 | |
TCW CLO, Ser 2019-2A, Cl SUB | | | | | | | | |
0.000%, 10/20/2032 (A)(D)(E)(F) | | | 3,528 | | | | 1,905 | |
TCW CLO, Ser 2020-1 | | | | | | | | |
0.000%, 04/20/2028 (E)(F) | | | 5,352 | | | | 2,596 | |
TCW CLO, Ser 2024-1A, Cl ER3 | | | | | | | | |
0.000%, 10/25/2035 (A)(D)(F) | | | 936 | | | | 936 | |
Venture CLO, Ser 2018-35A, Cl SUB | | | | | | | | |
0.000%, 10/22/2031 (A)(D)(E)(F) | | | 11,892 | | | | 1,605 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Venture XXV CLO, Ser 2016-25A, Cl SUB | | | | | | | | |
0.000%, 04/20/2029 (A)(D)(E)(F) | | $ | 2,030 | | | $ | 20 | |
Venture XXVI CLO, Ser 2017-26A, Cl SUB | | | | | | | | |
0.000%, 01/20/2029 (A)(D)(E)(F) | | | 1,609 | | | | – | |
Venture XXVIII CLO, Ser 2017-28A, Cl SUB | | | | | | | | |
0.000%, 07/20/2030 (A)(D)(E)(F) | | | 3,228 | | | | 129 | |
Voya CLO, Ser 2020-2 | | | | | | | | |
0.000%, 07/19/2034 (E)(F) | | | 3,959 | | | | 2,758 | |
Wind River CLO, Ser 2021-3 | | | | | | | | |
0.000%, 07/20/2033 (E)(F) | | | 6,577 | | | | 3,042 | |
| | | | | | | | | |
| | | | | | | | | |
Total Asset-Backed Securities | | | | | | | | |
(Cost $29,691) ($ Thousands) | | | | | | | 85,330 | |
| | | | | | | | | |
| | |
Shares
| | | | | |
COMMON STOCK — 1.6% |
21st Century Oncology Private Company *(E) | | | 15,311 | | | | 249 | |
Air Methods *(E) | | | 2,219 | | | | 237 | |
Aquity Holdings Inc *(E) | | | 85,745 | | | | 13 | |
Arctic Canadian Diamond Company Ltd *(E) | | | 1,054 | | | | 155 | |
AVAYA Inc *(C)(E) | | | 127,790 | | | | 831 | |
Burgundy Diamond Mines Ltd * | | | 2,083,693 | | | | 195 | |
Carestream Health Holdings Inc *(E) | | | 69,956 | | | | 1,306 | |
CHC Group LLC * | | | 399 | | | | — | |
Clear Channel Outdoor Holdings Inc, Cl A * | | | 39,771 | | | | 64 | |
Copper Property CTL Pass Through Trust (E) | | | 103,694 | | | | 1,246 | |
Cornerstone Chemical *(E) | | | 162,678 | | | | 3,335 | |
Endo * | | | 36,558 | | | | 941 | |
Envision Healthcare Corp * | | | 174,150 | | | | 1,807 | |
Expand Energy Corp | | | 3,418 | | | | 281 | |
Frontier Communications Parent Inc * | | | 4,909 | | | | 174 | |
Guitar Center *(C)(E) | | | 13,905 | | | | 1,700 | |
Gulfport Energy Corp * | | | 1,056 | | | | 160 | |
Gymboree Holding Corp *(C)(E) | | | 40,312 | | | | — | |
iHeartMedia Inc * | | | 8,286 | | | | 15 | |
Intelsat Jackson Holdings Inc *(E) | | | 26,351 | | | | 830 | |
Lannett *(E) | | | 93,813 | | | | 206 | |
Mallinckrodt PLC *(E) | | | 4,647 | | | | 348 | |
Medical Card Systems *(E) | | | 284,758 | | | | 89 | |
Monitronics International *(E) | | | 5,065 | | | | 81 | |
MYT Holding LLC, Ser B *(E) | | | 274,755 | | | | 69 | |
National CineMedia Inc * | | | 14,231 | | | | 100 | |
Neiman Marcus Group *(E) | | | 6,554 | | | | 885 | |
Nine West FKA Premier Brands *(C)(E) | | | 92,548 | | | | 131 | |
Parker Drilling Co *(C)(E) | | | 79,089 | | | | 1,107 | |
Quad/Graphics Inc | | | 54 | | | | — | |
Rite Aid *(C)(E) | | | 2,995 | | | | — | |
SandRidge Energy Inc | | | 20 | | | | — | |
Serta Simmons Bedding * | | | 11,559 | | | | 65 | |
SSB Equipment Company *(E) | | | 11,559 | | | | — | |
Venator Materials PLC * | | | 453 | | | | 238 | |
VICI Properties Inc, Cl A ‡ | | | 21,829 | | | | 727 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
WeWork Inc *(E) | | | 84,062 | | | $ | 1,090 | |
| | | | | | | | | |
Total Common Stock | | | | | | | | |
(Cost $25,604) ($ Thousands) | | | | | | | 18,675 | |
| | | | | | | | | |
PREFERRED STOCK — 1.1% |
Ares LXXIV CLO, Ser 2024-74A, Cl SUB, 0.000% *(D)(E)(F)(G) | | | 2,276,000 | | | | 1,938 | |
Benefit Street Partners CLO IV, 0.000% *(E)(G)(I) | | | 6,657,000 | | | | 3,328 | |
Benefit Street Partners CLO IX, 0.000% *(E)(G)(I) | | | 2,293,000 | | | | 734 | |
Claire's Stores, 0.000% *(E)(F)(G) | | | 936 | | | | 801 | |
FHLMC, 5.919% (D)(G) | | | 16,903 | | | | 101 | |
FNMA, 0.000% *(D)(F)(G) | | | 24,650 | | | | 148 | |
Foresight, 0.000% *(E)(F)(G) | | | 32,601 | | | | 391 | |
Guitar Center, 0.000% *(C)(E)(F)(G) | | | 365 | | | | 35 | |
Gulfport Energy Corp, 10.000% cash/0% PIK *(E)(G) | | | 28 | | | | 303 | |
MYT Holding LLC, 10.000% (G) | | | 325,766 | | | | 208 | |
Osaic Financial Services, 6.500% (G) | | | 65,290 | | | | 1,280 | |
Qurate Retail, 8.000% (G) | | | 6,998 | | | | 304 | |
Syniverse, 0.000% *(E)(F)(G) | | | 3,438,050 | | | | 3,380 | |
| | | | | | | | | |
Total Preferred Stock | | | | | | | | |
(Cost $9,498) ($ Thousands) | | | | | | | 12,951 | |
| | | Face Amount
(Thousands) | | | | | |
CONVERTIBLE BONDS — 0.8% |
Anywhere Real Estate Group | | | | | | | | |
0.250%, 06/15/2026 | | $ | 815 | | | | 712 | |
Authentic Brands | | | | | | | | |
5.000%, 09/01/2029(E) | | | 280 | | | | 208 | |
Blackstone Mortgage Trust | | | | | | | | |
5.500%, 03/15/2027 | | | 824 | | | | 781 | |
DISH Network | | | | | | | | |
0.000%, 12/15/2025(I) | | | 1,470 | | | | 1,272 | |
3.375%, 08/15/2026 | | | 465 | | | | 373 | |
Expand Energy Corp (Escrow Security) | | | | | | | | |
5.500%, 09/15/2026(B) | | | 100 | | | | 2 | |
JetBlue Airways | | | | | | | | |
2.500%, 09/01/2029(A) | | | 542 | | | | 681 | |
Liberty Interactive | | | | | | | | |
4.000%, 11/15/2029 | | | 122 | | | | 43 | |
3.750%, 02/15/2030 | | | 3,022 | | | | 1,043 | |
Liberty TripAdvisor Holdings | | | | | | | | |
0.500%, 06/30/2051(A) | | | 539 | | | | 502 | |
MicroStrategy | | | | | | | | |
0.625%, 09/15/2028(A) | | | 540 | | | | 649 | |
MKS Instruments | | | | | | | | |
1.250%, 06/01/2030(A) | | | 542 | | | | 540 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CONVERTIBLE BONDS (continued) |
Multiplan | | | | | | | | |
6.000%, 10/15/2027(A) | | $ | 589 | | | $ | 362 | |
North Sea Natural Resources | | | | | | | | |
0.000%, 01/23/2028(E)(F) | | | 570 | | | | 57 | |
0.000%, 01/23/2028(E)(F) | | | 82 | | | | 8 | |
0.000%, 01/23/2028(E)(F) | | | 40 | | | | 4 | |
Rite Aid | | | | | | | | |
12.000%, 12/31/2025(C)(E) | | | 183 | | | | 183 | |
0.000%, 12/31/2049(C)(E)(F) | | | 299 | | | | 172 | |
Silver Airways LLC | | | | | | | | |
15.000%, 12/31/2027(E) | | | 4,285 | | | | – | |
15.000%, 01/07/2028(E) | | | 705 | | | | 18 | |
15.000% cash/0% PIK, 01/07/2028(E) | | | 1,047 | | | | 719 | |
Tacora Restructure | | | | | | | | |
13.000%, 09/19/2031(C)(E) | | | 62 | | | | 62 | |
TripAdvisor | | | | | | | | |
0.250%, 04/01/2026 | | | 270 | | | | 251 | |
Wayfair | | | | | | | | |
0.625%, 10/01/2025 | | | 815 | | | | 775 | |
| | | | | | | | | |
Total Convertible Bonds | | | | | | | | |
(Cost $15,663) ($ Thousands) | | | | | | | 9,417 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | Number of
Warrants | | | | | |
WARRANTS — 0.1% |
Air Methods | | | | | | | | |
Strike Price $– *‡‡(E) | | | 19,546 | | | | 1,030 | |
Guitar Center, Expires 12/22/2070 | | | | | | | | |
Strike Price $100.00 *(C)(E) | | | 3,680 | | | | 171 | |
Guitar Center, Expires 12/22/2070 | | | | | | | | |
Strike Price $160.00 *(C)(E) | | | 3,681 | | | | 83 | |
Intelsat Jackson Holdings | | | | | | | | |
Strike Price $– *‡‡(C)(E) | | | 4 | | | | – | |
Neiman Marcus Group | | | | | | | | |
Strike Price $– *‡‡(E) | | | 3,938 | | | | 40 | |
Silver Airways LLC | | | | | | | | |
Strike Price $– *‡‡(E) | | | 2 | | | | – | |
Tacora Resources | | | | | | | | |
Strike Price $– *‡‡(C)(E) | | | 17,105 | | | | 17 | |
Windstream | | | | | | | | |
Strike Price $– *‡‡(E) | | | 104 | | | | 2 | |
| | | | | | | | | |
| | | | | | | | | |
Total Warrants | | | | | | | | |
(Cost $663) ($ Thousands) | | | | | | | 1,343 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
CASH EQUIVALENT — 1.8% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 20,844,339 | | | $ | 20,844 | |
Total Cash Equivalent | | | | | | | | |
(Cost $20,844) ($ Thousands) | | | | | | | 20,844 | |
Total Investments in Securities — 99.7% | | | | | | | | |
(Cost $1,141,589) ($ Thousands) | | $ | 1,165,906 | |
| | | | | | | | | |
| | | | | | | | | |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2024, is as follows: |
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized
Depreciation
(Thousands) | |
Barclays PLC | | | 12/12/24 | | | | AUD | | | | 448 | | | | USD | | | | 301 | | | $ | (10 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Percentages are based on Net Assets of $1,169,671 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2024, the value of these securities amounted to $828,061 ($ Thousands), representing 70.8% of the Net Assets of the Fund. |
(B) | Security is in default on interest payment. |
(C) | Security considered restricted, excluding 144A. The total market value of such securities as of September 30, 2024 was $27,136 ($ Thousands) and represented 2.3% of the Net Assets of the Fund. See table below for acquisition dates and acquisition cost. |
(D) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(E) | Level 3 security in accordance with fair value hierarchy. |
(F) | No interest rate available. |
(G) | Perpetual security with no stated maturity date. |
(H) | Unsettled bank loan. Interest rate may not be available. |
(I) | Zero coupon security. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Corporate Obligations | | | – | | | | 894,433 | | | | 6,786 | | | | 901,219 | |
Loan Participations | | | – | | | | 100,796 | | | | 15,331 | | | | 116,127 | |
Asset-Backed Securities | | | – | | | | 8,331 | | | | 76,999 | | | | 85,330 | |
Common Stock | | | 1,955 | | | | 2,813 | | | | 13,907 | | | | 18,675 | |
Preferred Stock | | | 1,833 | | | | 208 | | | | 10,910 | | | | 12,951 | |
Convertible Bonds | | | – | | | | 7,986 | | | | 1,431 | | | | 9,417 | |
Warrants | | | – | | | | – | | | | 1,343 | | | | 1,343 | |
Cash Equivalent | | | 20,844 | | | | – | | | | – | | | | 20,844 | |
Total Investments in Securities | | | 24,632 | | | | 1,014,567 | | | | 126,707 | | | | 1,165,906 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Forward Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Depreciation | | | – | | | | (10 | ) | | | – | | | | (10 | ) |
Total Other Financial Instruments | | | – | | | | (10 | ) | | | – | | | | (10 | ) |
| | | | | | | | | | | | | | | | | | |
* | Forward contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
| | | Investments in Corporate Obligations | | | Investments in Loan Participations | | | Investments in Asset-Backed Securities | | | Investments in Common Stock | | | Investments in Preferred Stock | | | Investments in Convertible Bonds | | | Investments in Warrants | | | Investments in Rights | |
Balance as of September 30, 2023 | | $ | 7,295 | | | $ | 6,921 | | | $ | 98,517 | | | $ | 8,440 | | | $ | 5,423 | | | $ | 4,114 | | | $ | 378 | | | $ | – | ^ |
Accrued discounts/premiums | | | 38 | | | | 6 | | | | (89 | ) | | | – | | | | – | | | | 3 | | | | – | | | | – | |
Realized gain/(loss) | | | (2,883 | ) | | | 45 | | | | 13,567 | | | | 5,833 | | | | 163 | | | | – | | | | – | | | | – | |
Change in unrealized appreciation/(depreciation) | | | 2,618 | | | | (38 | ) | | | 3,584 | | | | (2,699 | ) | | | (23 | ) | | | (5,805 | ) | | | 187 | | | | – | |
Purchases | | | 3,895 | | | | 1,922 | | | | 9,009 | | | | 2,148 | | | | 6,273 | | | | 2,776 | | | | – | | | | – | |
Sales | | | (5,455 | ) | | | (449 | ) | | | (40,195 | ) | | | (2,080 | ) | | | (927 | ) | | | (40 | ) | | | – | | | | – | |
Net transfer into Level 3 | | | 1,278 | | | | 8,631 | | | | – | | | | 2,265 | | | | – | | | | 383 | | | | 778 | | | | – | |
Net transfer out of Level 3 | | | – | | | | (1,707 | ) | | | (7,394 | ) | | | – | | | | – | | | | – | | | | – | | | | – | |
Ending Balance as of September 30, 2024(1) | | $ | 6,786 | | | $ | 15,331 | | | $ | 76,999 | | | $ | 13,907 | | | $ | 10,909 | | | $ | 1,431 | | | $ | 1,343 | | | $ | – | |
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | | $ | (713 | ) | | $ | (3,395 | ) | | $ | 5,383 | | | $ | (3,691 | ) | | $ | (164 | ) | | $ | (4,960 | ) | | $ | 211 | | | $ | – | |
(1) Of the $126,706 ($ Thousands) in Level 3 securities as of September 30, 2024, $27,242 ($ Thousands) or 2.3% of the Net Assets of the Fund are not valued via third party pricing vendors and broker quotes. When significant, the disclosure of the unobservable inputs and the interrelationships and sensitivity between these inputs are required for those Level 3 securities that are not valued by third party pricing vendors or broker quotes.
^ This category includes securities with a value of $0.
For the year ended September 30, 2024, there were transfers between Level 2 and Level 3 assets and liabilities due to the availability of observable inputs to determine fair value.
| | | Category | | | Market Value at September 30, 2024 ($ Thousands) | | Valuation Technique | | Unobservable Inputs | | | Range Input Value(s) (Average Input Value) | |
| | | Corporate Bonds | | | $ | 5,425 | | Enterprise Value Coverage Analysis | | | EBITDA | | | | 74m | |
| | | | | | | | | | | | EBITDA multiple | | | | 5.5x - 7.5x | |
| | | | | | | | | Enterprise Value Coverage Analysis | | | EBITDA | | | | 74m | |
| | | | | | | | | | | | EBITDA multiple | | | | 5.5x - 7.5x | |
| | | | | | | | | Estimated recovery model | | Pref B Shares | | | | 11.9m | |
| | | | | | | | | Estimated recovery model | | Pref B Shares | | | | 11.9m | |
| | | | | | | | | Discounted cash flow model | | | Implied total yield | | | | 13.67% - 14.67% | |
| | | | | | | | | | | | | | | | | |
| | | Loan Participations | | | | 7,050 | | Discounted cash flow model | | | Implied total yield | | | | 9.80% - 10.20% | |
| | | | | | | | | Discounted cash flow model | | | Implied total credit spread | | | | 10.73% - 11.73% | |
| | | | | | | | | Discounted cash flow model | | | Implied credit spread | | | | 8.05% - 9.05% | |
| | | | | | | | | Enterprise Value Coverage Analysis | | | NFY Net Revenue | | | | $255.4m | |
| | | | | | | | | | | | Multiple | | | | 0.30x - 0.35x | |
| | | | | | | | | Discounted cash flow model | | | Implied total credit spread | | | | 7.99% - 8.99% | |
| | | | | | | | | Recent transaction price | | | N/A | | | | N/A | |
| | | | | | | | | | | | | | | | | |
| | | Common Stock | | | | 8,283 | | Comparable multiple analysis using an average forward EBITDA multiple of publicly traded peers, discounted to account for smaller scale of operations ownership | | | None | | | | N/A | |
| | | | | | | | | Market Approach | | | EBITDA Multiple | | | | 6.5x | |
| | | | | | | | | Estimated recovery model | | Equity Value | | | | $240m | |
| | | | | | | | | | | Oustanding Shares | | | | 12m | |
| | | | | | | | | | | | Illiquidity Discount | | | | 0.2 | |
| | | | | | | | | Comparable company analysis | | | EBITDA | | | | $163m | |
| | | | | | | | | | | | EBITDA multiple | | | | 3.50x - 4.00x | |
| | | | | | | | | Weighted valuation techniques | | | EBITDA | | | | $114.4m - $150.8m | |
| | | | | | | | | | | | EBITDA multiple | | | | 5.50x - 9.50x | |
| | | | | | | | | | | Weighted Average Cost of Capital | | | | 0.135 | |
| | | | | | | | | | | Valuation case probability weighting | | | | 50% | |
| | | | | | | | | Comparable company analysis | | | NFY Net Revenue | | | | $255.4m | |
| | | | | | | | | | | | Multiple | | | | 0.30x - 0.35x | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | Category | | | Market Value at September 30, 2024 ($ Thousands) | | Valuation Technique | | Unobservable Inputs | | | Range Input Value(s) (Average Input Value) | |
| | | | | | | | | Comparable company analysis | | | EBITDA | | | | 74m | |
| | | | | | | | | | | | EBITDA multiple | | | | 5.5x - 7.5x | |
| | | | | | | | | Estimated recovery Model | | | Estimated Excess RBC | | | | $13.7m | |
| | | | | | | | | | | | Estimated Indemnity escrow | | | | $24.5m | |
| | | | | | | | | | | Discount Rate | | | | 0.45 | |
| | | | | | | | | Estimated recovery model | | | Earnout Realization Probability | | | | 0.05 | |
| | | | | | | | | | | | Discount Factor | | | | 4.68% - 6% | |
| | | | | | | | | Estimated recovery Model | | | Escrow | | | | $2.5m | |
| | | | | | | | | | | Discount Rate | | | | 0.35 | |
| | | | | | | | | Estimated recovery model | | Equity Value | | | | $765m | |
| | | | | | | | | | | Oustanding Shares | | | | 51.9m | |
| | | | | | | | | | | | Illiquidity Discount | | | | 0.12 | |
| | | | | | | | | | | | | | | | | |
| | | Preferred Stock | | | | 3,689 | | Priced base off conversion value to the common stock. Details: $1,000 par value per preferred share is convertible into GPOR common stock at $14.00 per share conversion price, therefore each preferred share is convertible into ~71.43 GPOR common shares. Valuation methodology is 1 GPOR preferred share equals 71.43 x GPOR common stock price. | | | None | | | | N/A | |
| | | | | | | | | Weighted valuation techniques | | | EBITDA | | | | $114.4m - $150.8m | |
| | | | | | | | | | | | EBITDA multiple | | | | 5.50x - 9.50x | |
| | | | | | | | | | | Weighted Average Cost of Capital | | | | 0.135 | |
| | | | | | | | | | | Valuation case probability weighting | | | | 0.5 | |
| | | | | | | | | Discounted cash flow model | | | Implied total yield | | | | 11.88% - 13.88% | |
| | | | | | | | | | | | | | | | | |
| | | Convertible Bonds | | | | 1,479 | | Milestone Approach | | | Success probability | | | | 0% - 39% | |
| | | | | | | | | | | Price per barrel | | | | $60 | |
| | | | | | | | | Milestone Approach | | | Success probability | | | | 0% - 39% | |
| | | | | | | | | | | Price per barrel | | | | $60 | |
| | | | | | | | | Milestone Approach | | | Success probability | | | | 0% - 39% | |
| | | | | | | | | | | Price per barrel | | | | $60 | |
| | | | | | | | | Net recovery approach | | | LTM Revenue | | | | $109.4m | |
| | | | | | | | | | | | EBITDA multiple | | | | 0.15x-0.20x | |
| | | | | | | | | Enterprise Value Coverage Analysis | | | Mine valuation | | | | $366m | |
| | | | | | | | | | | | EBITDA | | | | $70.4m | |
| | | | | | | | | | | | EBITDA multiple | | | | 4.0x-6.0x | |
| | | | | | | | | Estimated recovery model | | Trust Proceeds | | | | $350m | |
| | | | | | | | | Estimated recovery model | | Trust Proceeds | | | | $350m | |
| | | | | | | | | | | | | | | | | |
| | | Warrants | | | | 1,039 | | Weighted valuation techniques | | | EBITDA | | | | $114.4m - $150.8m | |
| | | | | | | | | | | | EBITDA multiple | | | | 5.50x - 9.50x | |
| | | | | | | | | | | Weighted Average Cost of Capital | | | | 0.135 | |
| | | | | | | | | | | Valuation case probability weighting | | | | 0.5 | |
| | | | | | | | | Weighted valuation techniques | | | EBITDA | | | | $114.4m - $150.8m | |
| | | | | | | | | | | | EBITDA multiple | | | | 5.50x - 9.50x | |
| | | | | | | | | | | Weighted Average Cost of Capital | | | | 0.135 | |
| | | | | | | | | | | Valuation case probability weighting | | | | 0.5 | |
| | | | | | | | | Weighted valuation techniques | | | EBITDA | | | | $114.4m - $150.8m | |
| | | | | | | | | | | | EBITDA multiple | | | | 5.50x - 9.50x | |
| | | | | | | | | | | Weighted Average Cost of Capital | | | | 0.135 | |
| | | | | | | | | | | Valuation case probability weighting | | | | 0.5 | |
| | | | | | | | | Asset & Income Approach | | | Mine valuation | | | | $366m | |
| | | | | | | | | | | | EBITDA | | | | $70.4m | |
| | | | | | | | | | | | EBITDA multiple | | | | 4.0x-6.0x | |
| | | | | | | | | Black-Scholes Model | | | Volatility | | | | 0.4 | |
| | | | | | | | | | | | Risk-free rate | | | | 0.03561 | |
| | | | | | | | | | | Share Price | | | | 106.83 | |
| | | | | | | | | Black-Scholes Model | | | Volatility | | | | 0.4 | |
| | | | | | | | | | | | Risk-free rate | | | | 0.03561 | |
| | | | | | | | | | | Share Price | | | | 106.83 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Continued)
| | | Category | | | Market Value at September 30, 2024 ($ Thousands) | | Valuation Technique | | Unobservable Inputs | | | Range Input Value(s) (Average Input Value) | |
| | | | | | | | | Market Approach | | | EBITDA Multiple | | | | 6.5x | |
| | | | | | | | | Market Approach | | | EBITDA Multiple | | | | 6.5x | |
| | | | | | | | | | | | | | | | | |
| | Total | | | $ | 26,965 | | | | | | | | | | |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Liquidity Fund, LP | | $ | 1 | | | $ | 73 | | | $ | (74 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | | 13,031 | | | | 558,412 | | | | (550,599 | ) | | | — | | | | — | | | | 20,844 | | | | 1,549 | | | | — | |
Totals | | $ | 13,032 | | | $ | 558,485 | | | $ | (550,673 | ) | | $ | – | | | $ | — | | | $ | 20,844 | | | $ | 1,549 | | | $ | — | |
A list of the restricted securities, excluding 144a, held by the Fund at September 30, 2024, is as follows: |
Description | | Face Amount ($ Thousands)/ Shares/ Number of Warrants | | | Acquisition Date | | | Cost ($ Thousands) | | | Market Value
($ Thousands) | |
Corporate Obligations | | | | | | | | | | | | | | | | |
CMG Media | | $ | 4,350 | | | | 12/12/2019 | | | $ | 3,909 | | | $ | 2,545 | |
Mountain Province Diamonds | | | 1,989 | | | | 12/14/2022 | | | | 1,962 | | | | 1,876 | |
Northwest Acquisitions ULC | | | 2,115 | | | | 10/1/2019 | | | | 1,493 | | | | – | |
RAD (Escrow Security) | | | 3,894 | | | | 9/4/2024 | | | | – | | | | – | |
Rite Aid | | | 1,554 | | | | 9/4/2024 | | | | 966 | | | | 973 | |
SWF Holdings I | | | 495 | | | | 5/28/2024 | | | | 511 | | | | 314 | |
Tacora Resources | | | 997 | | | | 9/19/2024 | | | | – | | | | 304 | |
Loan Participations | | | | | | | | | | | | | | | | |
Avaya Inc., Initial Term Loan, 1st Lien | | | 4,229 | | | | 5/1/2023 | | | | 3,960 | | | | 3,717 | |
GatesAir, Term Loan | | | 1,156 | | | | 7/29/2022 | | | | 1,134 | | | | 1,156 | |
KNS Acquistion Corp., Initial Term Loan, 1st Lien | | | 1,615 | | | | 7/13/2023 | | | | 1,292 | | | | 985 | |
LifeScan Global Corporation, Initial Term Loan, 1st Lien | | | 8,243 | | | | 6/19/2018 | | | | 7,297 | | | | 3,297 | |
Mavenir Systems, Inc., Initial Term Loan, 1st Lien | | | 522 | | | | 7/8/2022 | | | | 491 | | | | 327 | |
Mavenir Systems, Inc., Initial Term Loan, 1st Lien | | | 5,040 | | | | 8/13/2021 | | | | 4,232 | | | | 3,286 | |
Mountaineer Merger Corp., Initial Term Loan, 1st Lien | | | 1,924 | | | | 10/22/2021 | | | | 1,780 | | | | 1,559 | |
Premier Brands Group Holdings LLC, Initial Loan, 1st Lien | | | 936 | | | | 3/19/2019 | | | | 895 | | | | 861 | |
SWF Holdings I Corp., Initial Term Loan, 1st Lien | | | 683 | | | | 5/30/2024 | | | | 580 | | | | 561 | |
Terrier Media Buyer, Term B Loan, 1st Lien | | | 324 | | | | 6/6/2024 | | | | 264 | | | | 284 | |
Xplornet Communications, Inc., Refinancing Term Loan, 1st Lien | | | 3,603 | | | | 1/26/2023 | | | | 3,048 | | | | 599 | |
Common Stock | | | | | | | | | | | | | | | | |
AVAYA Inc | | | 127,790 | | | | 5/1/2023 | | | | 1,894 | | | | 831 | |
Guitar Center | | | 13,905 | | | | 1/8/2021 | | | | 1,762 | | | | 1,700 | |
Gymboree Holding Corp | | | 40,312 | | | | 10/2/2017 | | | | 672 | | | | – | |
Nine West FKA Premier Brands | | | 92,548 | | | | 4/5/2019 | | | | 1,967 | | | | 131 | |
Parker Drilling Co | | | 79,089 | | | | 3/26/2019 | | | | 1,000 | | | | 1,107 | |
Rite Aid | | | 2,995 | | | | 9/4/2024 | | | | – | | | | – | |
Preferred Stock | | | | | | | | | | | | | | | | |
Guitar Center | | | 365 | | | | 1/8/2021 | | | | 34 | | | | 35 | |
Convertible Bond | | | | | | | | | | | | | | | | |
Rite Aid | | $ | 183 | | | | 8/27/2024 | | | | 150 | | | | 183 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
High Yield Bond Fund (Concluded)
Description | | Face Amount ($ Thousands)/ Shares/ Number of Warrants | | | Acquisition Date | | | Cost ($ Thousands) | | | Market Value
($ Thousands) | |
Rite Aid | | $ | 299 | | | | 9/4/2024 | | | $ | 174 | | | $ | 172 | |
Tacora Restructure | | | 62 | | | | 9/19/2024 | | | | 62 | | | | 62 | |
Warrant | | | | | | | | | | | | | | | | |
Guitar Center | | | 3,680 | | | | 1/8/2021 | | | | 197 | | | | 171 | |
Guitar Center | | | 3,681 | | | | 1/8/2021 | | | | 132 | | | | 83 | |
Intelsat Jackson Holdings | | | 4 | | | | 3/3/2022 | | | | – | | | | – | |
Tacora Resources | | | 17,105 | | | | 9/19/2024 | | | | 17 | | | | 17 | |
| | | | | | | | | | | $ | 41,875 | | | $ | 27,136 | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Conservative Income Fund
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
COMMERCIAL PAPER — 63.5% |
Consumer Discretionary — 1.0% | | | | |
Mercedes-Benz Finance North America | | | | | | | | |
5.265%, 10/07/2024 (A) | | $ | 6,000 | | | $ | 5,994 | |
5.226%, 10/30/2024 (A) | | | 1,500 | | | | 1,494 | |
| | | | | | | | | |
| | | | | | | | 7,488 | |
| | | | | | | | | |
Financials — 58.3% | | | | |
ABN AMRO Bank | | | | | | | | |
4.964%, 04/21/2025 (A) | | | 2,000 | | | | 1,951 | |
Alinghi Funding | | | | | | | | |
5.516%, 10/04/2024 (A) | | | 4,000 | | | | 3,998 | |
5.508%, 11/20/2024 (A) | | | 3,000 | | | | 2,980 | |
5.472%, 02/07/2025 (A) | | | 5,000 | | | | 4,918 | |
ANZ New Zealand International | | | | | | | | |
5.188%, 02/28/2025 (A) | | | 3,000 | | | | 2,944 | |
Aquitaine Funding | | | | | | | | |
5.401%, 11/01/2024 (A) | | | 9,000 | | | | 8,961 | |
5.191%, 10/11/2024 (A) | | | 5,000 | | | | 4,993 | |
4.899%, 10/18/2024 (A) | | | 8,000 | | | | 7,980 | |
Australia & New Zealand Banking Group | | | | | | | | |
5.419%, 12/16/2024 (A) | | | 3,500 | | | | 3,466 | |
5.071%, 01/06/2025 (A) | | | 2,000 | | | | 1,975 | |
Bank of America Securities | | | | | | | | |
5.544%, 06/06/2025 (A) | | | 2,000 | | | | 1,941 | |
Bank of Montreal | | | | | | | | |
5.718%, 11/07/2024 (A) | | | 2,000 | | | | 1,990 | |
5.399%, 03/31/2025 (A) | | | 2,000 | | | | 1,956 | |
Bank of New York Mellon | | | | | | | | |
5.180%, 05/09/2025 (A) | | | 2,000 | | | | 2,000 | |
Barton Capital | | | | | | | | |
5.345%, 10/18/2024 (A) | | | 1,000 | | | | 998 | |
Bay Square Funding | | | | | | | | |
5.070%, 10/01/2024 (A) | | | 6,000 | | | | 6,000 | |
Bayerische Landesbank | | | | | | | | |
4.835%, 10/01/2024 (A) | | | 14,000 | | | | 13,998 | |
Bedford Row Funding | | | | | | | | |
4.855%, 10/01/2024 (A)(B) | | | 5,000 | | | | 4,999 | |
BPCE | | | | | | | | |
5.080%, 03/03/2025 (A) | | | 2,500 | | | | 2,501 | |
4.970%, 03/03/2025 (A)(B) | | | 2,500 | | | | 2,452 | |
Brighthouse Financial | | | | | | | | |
5.158%, 04/29/2025 (A) | | | 3,000 | | | | 2,922 | |
5.057%, 01/07/2025 (A) | | | 4,000 | | | | 3,949 | |
Britannia Funding | | | | | | | | |
5.125%, 02/12/2025 (A) | | | 6,000 | | | | 5,897 | |
Cabot Trail Funding | | | | | | | | |
4.831%, 10/01/2024 (A) | | | 10,396 | | | | 10,395 | |
Cancara Asset Securitization | | | | | | | | |
5.031%, 02/10/2025 (A) | | | 1,500 | | | | 1,475 | |
CDP Financial | | | | | | | | |
5.223%, 04/28/2025 (A) | | | 3,000 | | | | 2,925 | |
Chariot Funding | | | | | | | | |
5.434%, 10/09/2024 (A) | | | 3,500 | | | | 3,496 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
COMMERCIAL PAPER (continued) |
5.425%, 10/18/2024 (A) | | $ | 3,000 | | | $ | 2,993 | |
Charta | | | | | | | | |
5.449%, 10/25/2024 (A) | | | 7,000 | | | | 6,976 | |
Chesham Finance | | | | | | | | |
4.903%, 10/28/2024 (A) | | | 7,000 | | | | 6,974 | |
4.851%, 10/01/2024 (A) | | | 18,900 | | | | 18,897 | |
Columbia Funding | | | | | | | | |
5.525%, 12/09/2024 (A) | | | 3,500 | | | | 3,467 | |
5.453%, 01/16/2025 (A) | | | 8,000 | | | | 7,888 | |
4.608%, 03/26/2025 (A) | | | 4,000 | | | | 3,912 | |
4.511%, 03/27/2025 (A) | | | 1,500 | | | | 1,467 | |
Commonwealth Bank of Australia | | | | | | | | |
5.030%, 11/07/2024 (A) | | | 1,000 | | | | 1,000 | |
Concord Minutemen Capital | | | | | | | | |
5.518%, 10/17/2024 (A) | | | 3,000 | | | | 2,993 | |
DNB Bank | | | | | | | | |
5.525%, 12/05/2024 (A) | | | 2,500 | | | | 2,478 | |
5.384%, 04/01/2025 (A) | | | 2,500 | | | | 2,445 | |
5.173%, 01/22/2025 (A) | | | 2,000 | | | | 1,971 | |
4.933%, 02/24/2025 (A) | | | 4,000 | | | | 3,928 | |
Endeavour Funding | | | | | | | | |
5.274%, 02/04/2025 (A) | | | 6,000 | | | | 5,903 | |
Federation des Caisses Desjardins | | | | | | | | |
5.056%, 12/05/2024 (A) | | | 7,000 | | | | 6,939 | |
ING US Funding | | | | | | | | |
5.501%, 10/02/2024 (A) | | | 3,000 | | | | 2,999 | |
5.293%, 02/18/2025 (A) | | | 3,000 | | | | 2,947 | |
5.130%, 02/10/2025 (A) | | | 1,550 | | | | 1,551 | |
Ionic Funding | | | | | | | | |
4.777%, 11/14/2024 (A) | | | 7,000 | | | | 6,957 | |
4.754%, 12/03/2024 (A) | | | 3,000 | | | | 2,974 | |
Korea Development Bank | | | | | | | | |
5.511%, 11/07/2024 (A) | | | 2,000 | | | | 1,990 | |
5.490%, 10/29/2024 (A) | | | 4,000 | | | | 3,984 | |
Landesbank Baden-Wuerttemberg NY | | | | | | | | |
4.841%, 10/01/2024 (A) | | | 34,000 | | | | 33,995 | |
Liberty Street Funding | | | | | | | | |
5.489%, 01/06/2025 (A) | | | 2,500 | | | | 2,468 | |
Lime Funding | | | | | | | | |
5.340%, 10/03/2024 (A) | | | 5,850 | | | | 5,848 | |
4.845%, 10/02/2024 (A) | | | 10,000 | | | | 9,997 | |
LMA-Americas | | | | | | | | |
4.972%, 02/27/2025 (A) | | | 1,500 | | | | 1,472 | |
Longship Funding | | | | | | | | |
4.862%, 10/15/2024 (A) | | | 5,000 | | | | 4,990 | |
4.859%, 10/03/2024 (A) | | | 7,000 | | | | 6,997 | |
4.857%, 10/04/2024 (A) | | | 4,300 | | | | 4,298 | |
Mackinac Funding | | | | | | | | |
5.452%, 01/16/2025 (A) | | | 3,000 | | | | 2,958 | |
5.088%, 01/07/2025 (A) | | | 5,000 | | | | 4,936 | |
Macquarie Bank | | | | | | | | |
5.486%, 01/21/2025 (A) | | | 2,500 | | | | 2,464 | |
5.325%, 02/07/2025 (A) | | | 2,200 | | | | 2,164 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Conservative Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
COMMERCIAL PAPER (continued) |
5.309%, 01/13/2025 (A) | | $ | 3,000 | | | $ | 2,960 | |
5.216%, 03/03/2025 (A) | | | 1,500 | | | | 1,472 | |
5.200%, 08/15/2025 (A) | | | 2,000 | | | | 2,000 | |
5.100%, 02/18/2025 (A) | | | 1,500 | | | | 1,500 | |
Mainbeach Funding | | | | | | | | |
4.855%, 10/03/2024 (A) | | | 6,000 | | | | 5,998 | |
National Australia Bank | | | | | | | | |
5.292%, 10/04/2024 (A) | | | 2,900 | | | | 2,899 | |
5.020%, 10/21/2024 (A) | | | 2,500 | | | | 2,500 | |
National Bank of Canada | | | | | | | | |
5.236%, 04/16/2025 (A) | | | 3,000 | | | | 2,928 | |
5.197%, 01/22/2025 (A) | | | 2,000 | | | | 1,971 | |
National Securities Clearing | | | | | | | | |
5.218%, 02/03/2025 (A) | | | 3,000 | | | | 2,953 | |
National Westminster Bank | | | | | | | | |
4.830%, 10/03/2024 (A) | | | 10,000 | | | | 9,996 | |
Old Line Funding | | | | | | | | |
5.260%, 02/14/2025 (A) | | | 2,000 | | | | 1,966 | |
Oversea-Chinese Banking | | | | | | | | |
5.030%, 01/21/2025 (A) | | | 4,000 | | | | 4,000 | |
Overwatch Alpha Funding | | | | | | | | |
4.914%, 10/21/2024 (A) | | | 3,000 | | | | 2,991 | |
4.841%, 10/01/2024 (A) | | | 25,000 | | | | 24,997 | |
Paradelle Funding | | | | | | | | |
5.479%, 06/06/2025 (A) | | | 3,500 | | | | 3,398 | |
5.196%, 07/16/2025 (A) | | | 2,500 | | | | 2,416 | |
Podium Funding Trust | | | | | | | | |
5.448%, 02/03/2025 (A) | | | 3,000 | | | | 2,952 | |
5.115%, 12/04/2024 (A) | | | 3,000 | | | | 2,975 | |
Ridgefield Funding | | | | | | | | |
4.978%, 02/10/2025 (A) | | | 4,000 | | | | 3,933 | |
Royal Bank of Canada | | | | | | | | |
5.801%, 11/06/2024 (A) | | | 2,000 | | | | 1,990 | |
5.187%, 04/09/2025 (A) | | | 2,200 | | | | 2,150 | |
5.080%, 02/18/2025 (A) | | | 2,000 | | | | 2,000 | |
Starbird Funding | | | | | | | | |
5.020%, 10/07/2024 (A) | | | 2,700 | | | | 2,700 | |
Svenska Handelsbanken | | | | | | | | |
5.442%, 10/21/2024 (A) | | | 3,000 | | | | 2,992 | |
United Overseas Bank | | | | | | | | |
5.521%, 10/24/2024 (A) | | | 6,500 | | | | 6,500 | |
Versailles Commercial Paper | | | | | | | | |
5.297%, 10/11/2024 (A) | | | 2,000 | | | | 1,997 | |
Washington Morgan Capital | | | | | | | | |
5.143%, 02/14/2025 (A) | | | 8,500 | | | | 8,354 | |
Westpac Banking | | | | | | | | |
5.691%, 11/14/2024 (A) | | | 2,000 | | | | 1,988 | |
5.690%, 11/07/2024 (A) | | | 1,500 | | | | 1,493 | |
Westpac Securities | | | | | | | | |
5.479%, 05/16/2025 (A) | | | 2,000 | | | | 1,946 | |
| | | | | | | | | |
| | | | | | | | 421,195 | |
| | | | | | | | | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
COMMERCIAL PAPER (continued) |
Industrials — 2.8% | | | | |
Automatic Data Processing | | | | | | | | |
4.831%, 10/02/2024 (A) | | $ | 20,000 | | | $ | 19,995 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Information Technology — 1.4% | | | | |
Accenture Capital | | | | | | | | |
4.889%, 10/25/2024 (A) | | | 10,000 | | | | 9,967 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Total Commercial Paper | | | | |
(Cost $458,372) ($ Thousands) | | | 458,645 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
CORPORATE OBLIGATIONS — 1.0% |
Consumer Discretionary — 0.5% | | | | |
Jets Stadium Development | | | | | | | | |
5.920%, 04/01/2047 (B)(C) | | | 3,800 | | | | 3,800 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Consumer Staples — 0.2% | | | | |
PepsiCo | | | | | | | | |
5.587%, SOFRINDX + 0.400%, 11/12/2024 (C) | | | 1,185 | | | | 1,185 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Financials — 0.3% | | | | |
ANZ New Zealand International | | | | | | | | |
5.721%, SOFRRATE + 0.600%, 02/18/2025 (B)(C) | | | 2,202 | | | | 2,204 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Total Corporate Obligations | | | | | | | | |
(Cost $7,189) ($ Thousands) | | | | | | | 7,189 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
U.S. TREASURY OBLIGATION — 0.1% |
U.S. Treasury Note | | | | | | | | |
4.721%, USBMMY3M + 0.169%, 04/30/2025 (C) | | | 500 | | | | 500 | |
| | | | | | | | | |
Total U.S. Treasury Obligation | | | | | | | | |
(Cost $500) ($ Thousands) | | | 500 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
CERTIFICATES OF DEPOSIT — 15.0% |
Bank of America | | | | | | | | |
5.750%, 11/14/2024 | | | 2,500 | | | | 2,500 | |
5.600%, 11/14/2024 | | | 4,000 | | | | 4,001 | |
5.220%, 02/06/2025 | | | 1,839 | | | | 1,842 | |
Bank of Montreal IL | | | | | | | | |
5.600%, 11/29/2024 | | | 2,000 | | | | 2,002 | |
5.500%, 06/11/2025 | | | 2,000 | | | | 2,016 | |
Bank of Nova Scotia | | | | | | | | |
5.800%, 11/08/2024 | | | 1,500 | | | | 1,500 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Conservative Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CERTIFICATES OF DEPOSIT (continued) |
Barclays Bank | | | | | | | | |
5.400%, 10/01/2024 | | $ | 1,000 | | | $ | 1,000 | |
5.220%, 10/04/2024 | | | 1,250 | | | | 1,250 | |
BMO | | | | | | | | |
5.500%, 12/06/2024 | | | 2,000 | | | | 2,002 | |
BNP Paribas NY | | | | | | | | |
5.280%, 12/31/2024 | | | 1,500 | | | | 1,502 | |
5.230%, 12/18/2024 | | | 3,000 | | | | 3,000 | |
Canadian Imperial Bank of Commerce NY | | | | | | | | |
5.190%, 09/23/2025 | | | 1,600 | | | | 1,600 | |
5.170%, 02/07/2025 | | | 2,500 | | | | 2,504 | |
Commonwealth Bank of Australia | | | | | | | | |
5.700%, 11/27/2024 | | | 1,500 | | | | 1,500 | |
5.130%, 01/31/2025 | | | 2,000 | | | | 2,001 | |
Concord Minutemen Capital | | | | | | | | |
5.130%, 03/04/2025 | | | 1,500 | | | | 1,500 | |
Cooperative Rabobank | | | | | | | | |
5.170%, 06/24/2025 | | | 2,000 | | | | 2,012 | |
Credit Industriel et Commercial | | | | | | | | |
5.500%, 05/12/2025 | | | 2,000 | | | | 2,012 | |
Korea Development Bank | | | | | | | | |
5.070%, 10/17/2024 | | | 6,000 | | | | 6,000 | |
Lloyds Bank | | | | | | | | |
5.180%, 02/14/2025 | | | 2,000 | | | | 2,001 | |
5.100%, 07/25/2025 | | | 2,000 | | | | 2,000 | |
Mizuho Bank | | | | | | | | |
5.080%, 11/06/2024 | | | 3,500 | | | | 3,501 | |
MUFG Bank | | | | | | | | |
5.070%, 02/20/2025 | | | 3,500 | | | | 3,501 | |
4.850%, 10/01/2024 | | | 13,000 | | | | 13,000 | |
Raobank | | | | | | | | |
5.270%, 02/05/2025 | | | 2,300 | | | | 2,300 | |
Sumitomo Mitsui Banking | | | | | | | | |
5.070%, 02/05/2025 | | | 3,500 | | | | 3,501 | |
5.070%, 03/05/2025 | | | 3,500 | | | | 3,500 | |
Sumitomo Mitsui Trust Bank | | | | | | | | |
5.210%, 02/05/2025 | | | 6,000 | | | | 6,013 | |
Svenska Handelsbanken | | | | | | | | |
5.100%, 02/05/2025 | | | 2,500 | | | | 2,501 | |
Swedbank | | | | | | | | |
5.340%, 04/09/2025 | | | 2,000 | | | | 2,009 | |
Toronto-Dominion Bank | | | | | | | | |
6.000%, 10/02/2024 | | | 2,000 | | | | 2,000 | |
5.330%, 03/18/2025 | | | 2,500 | | | | 2,498 | |
5.180%, 09/22/2025 | | | 2,000 | | | | 2,000 | |
5.100%, 08/25/2025 | | | 2,500 | | | | 2,519 | |
UBS | | | | | | | | |
5.767%, 08/06/2025 | | | 2,000 | | | | 2,002 | |
5.663%, 02/05/2025 | | | 2,000 | | | | 2,000 | |
Wells Fargo Bank | | | | | | | | |
5.180%, 02/07/2025 | | | 3,000 | | | | 3,006 | |
Westpac Banking | | | | | | | | |
5.400%, 06/06/2025 | | | 3,300 | | | | 3,324 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CERTIFICATES OF DEPOSIT (continued) |
5.250%, 01/22/2025 | | $ | 2,000 | | | $ | 2,003 | |
5.140%, 01/31/2025 | | | 1,000 | | | | 1,000 | |
Total Certificates of Deposit | | | | |
(Cost $107,787) ($ Thousands) | | | 107,923 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
REPURCHASE AGREEMENTS(D) — 20.2% |
Bank of America Securities | | | | | | | | |
4.880%, dated 9/30/2024, to be repurchased on 10/1/2024, repurchase price $90,012,200 (collateralized by various GNMA obligations, ranging in par value $25,244 - $57,544,448, 2.500% - 7.500%, 2/15/2033 - 9/20/2054; with total market value $91,800,000) | | | 90,000 | | | | 90,000 | |
Goldman Sachs & Co | | | | | | | | |
4.900%, dated 9/30/2024, to be repurchased on 10/1/2024, repurchase price $50,006,806 (collateralized by various GNMA and U.S. Treasury obligations, ranging in par value $64,100 - $21,985,600, 0.000% - 6.500%, 1/15/2026 - 7/15/2058; with total market value $51,000,001) | | | 50,000 | | | | 50,000 | |
TD Securities | | | | | | | | |
4.900%, dated 9/30/2024, to be repurchased on 10/1/2024, repurchase price $6,000,817 (collateralized by U.S. Treasury obligations, ranging in par value $1,908,200 - $4,456,300, 1.375% - 1.500%, 8/15/2026 - 8/31/2026; with total market value $6,120,034) | | | 6,000 | | | | 6,000 | |
| | | | | | | | | |
Total Repurchase Agreements | | | | | | | | |
(Cost $146,000) ($ Thousands) | | | | | | | 146,000 | |
| | | | | | | | | |
| | | | | | | | | |
Total Investments in Securities — 99.8% | | | | | | | | |
(Cost $719,848) ($ Thousands) | | $ | 720,257 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Conservative Income Fund (Concluded)
| Percentages are based on Net Assets of $721,772 ($ Thousands). |
(A) | Interest rate represents the security's effective yield at the time of purchase. |
(B) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2024, the value of these securities amounted to $13,455 ($ Thousands), representing 1.9% of the Net Assets of the Fund. |
(C) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(D) | Tri-Party Repurchase Agreement. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Commercial Paper | | | – | | | | 458,645 | | | | – | | | | 458,645 | |
Corporate Obligations | | | – | | | | 7,189 | | | | – | | | | 7,189 | |
U.S. Treasury Obligation | | | – | | | | 500 | | | | – | | | | 500 | |
Certificates of Deposit | | | – | | | | 107,923 | | | | – | | | | 107,923 | |
Repurchase Agreements | | | – | | | | 146,000 | | | | – | | | | 146,000 | |
Total Investments in Securities | | | – | | | | 720,257 | | | | – | | | | 720,257 | |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | $ | 107 | | | $ | 10,014 | | | $ | (10,121 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | 23 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Free Conservative Income Fund
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MUNICIPAL BONDS — 84.6% |
Alabama — 1.5% | | | | |
Mobile, Industrial Development Board, Alabama Power Company, Barry Plant Project, RB | | | | | | | | |
2.450%, 06/01/2034 (A) | | $ | 2,900 | | | $ | 2,900 | |
| | | | | | | | | |
| | | | | | | | | |
Arizona — 0.8% | | | | |
Yavapai County, Industrial Development Authority, Drake Cement Project, Ser A, RB | | | | | | | | |
3.200%, 09/01/2035 (A)(B) | | | 1,500 | | | | 1,500 | |
| | | | | | | | | |
| | | | | | | | | |
California — 1.3% | | | | |
Los Angeles, RB | | | | | | | | |
5.000%, 06/26/2025 | | | 2,500 | | | | 2,543 | |
| | | | | | | | | |
| | | | | | | | | |
Colorado — 5.3% | | | | |
Colorado Springs, Utilities System Revenue, Ser C-REMK, RB | | | | | | | | |
3.130%, 11/01/2028 (A) | | | 5,655 | | | | 5,655 | |
Colorado State, Health Facilities Authority, Intermountain Healthcare, Ser S, RB | | | | | | | | |
3.150%, 05/15/2062 (A) | | | 4,500 | | | | 4,500 | |
| | | | | | | | | |
| | | | | | | | 10,155 | |
| | | | | | | | | |
Connecticut — 0.5% | | | | |
Connecticut State, Housing Finance Authority, Mortgage Finance Program, Sub-Ser B-3, RB | | | | | | | | |
3.150%, 11/15/2048 (A) | | | 1,025 | | | | 1,025 | |
| | | | | | | | | |
| | | | | | | | | |
District of Columbia — 0.0% | | | | |
Tender Option Bond Trust Receipts, Ser 2019-XG0267, RB | | | | | | | | |
3.200%, 10/01/2053 (A)(B)(C) | | | 95 | | | | 95 | |
| | | | | | | | | |
| | | | | | | | | |
Florida — 7.5% | | | | |
JEA, Electric System Revenue, Ser THREE-C-1, RB | | | | | | | | |
3.200%, 10/01/2034 (A) | | | 200 | | | | 200 | |
Lucie County, Florida Power & Light Project, Ser R, RB | | | | | | | | |
3.250%, 09/01/2028 (A) | | | 7,050 | | | | 7,050 | |
Miami-Dade County, School Board, RB | | | | | | | | |
4.500%, 01/07/2025 | | | 3,000 | | | | 3,010 | |
Monroe County, School District, RB | | | | | | | | |
4.000%, 05/29/2025 | | | 3,000 | | | | 3,016 | |
Pinellas County, Housing Finance Authority, Bayside Court, RB, FHLMC | | | | | | | | |
3.150%, 10/01/2048 (A)(B) | | | 1,070 | | | | 1,070 | |
| | | | | | | | | |
| | | | | | | | 14,346 | |
| | | | | | | | | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MUNICIPAL BONDS (continued) |
Indiana — 0.9% | | | | |
Tender Option Bond Trust Receipts, Ser 2016-XL0019, RB | | | | | | | | |
3.300%, 04/01/2030 (A)(C) | | $ | 1,770 | | | $ | 1,770 | |
| | | | | | | | | |
| | | | | | | | | |
Iowa — 5.2% | | | | |
Iowa State, Finance Authority, Disaster Area Economic Development, CJ Bio America Project, RB | | | | | | | | |
3.310%, 12/01/2041 (A)(B)(C) | | | 7,500 | | | | 7,500 | |
Iowa State, Finance Authority, Mortgage-Backed Securities Program, RB, GNMA/FNMA/FHLMC | | | | | | | | |
3.150%, 01/01/2047 (A) | | | 900 | | | | 900 | |
Iowa State, Finance Authority, Pollution Control Facilities, MidAmerican Energy Project, RB | | | | | | | | |
3.000%, 09/01/2036 (A) | | | 1,600 | | | | 1,600 | |
| | | | | | | | | |
| | | | | | | | 10,000 | |
| | | | | | | | | |
Louisiana — 1.4% | | | | |
Louisiana State, Public Facilities Authority, Louisiana Children's Medical Center Project, RB | | | | | | | | |
3.130%, 09/01/2057 (A)(B) | | | 1,100 | | | | 1,100 | |
Saint James Parish, Nucor Steel Louisiana LLC Project, Ser 2010A-1, RB | | | | | | | | |
3.190%, 11/01/2040 (A) | | | 1,500 | | | | 1,500 | |
| | | | | | | | | |
| | | | | | | | 2,600 | |
| | | | | | | | | |
Maryland — 0.6% | | | | |
Maryland State, Community Development Administration, Department of Housing and Community Development, Crusader Arms Apartments Project, Ser D, RB | | | | | | | | |
3.180%, 02/01/2041 (A) | | | 1,070 | | | | 1,070 | |
| | | | | | | | | |
| | | | | | | | | |
Massachusetts — 1.1% | | | | |
Sharon, GO | | | | | | | | |
4.500%, 02/27/2025 | | | 2,000 | | | | 2,009 | |
| | | | | | | | | |
| | | | | | | | | |
Michigan — 0.1% | | | | |
Walled Lake, Consolidated School District, GO, Q-SBLF | | | | | | | | |
5.000%, 05/01/2025 | | | 110 | | | | 111 | |
| | | | | | | | | |
| | | | | | | | | |
Mississippi — 1.1% | | | | |
Mississippi State, Business Finance, Chevron USA Project, Ser A, RB | | | | | | | | |
2.250%, 12/01/2030 (A) | | | 600 | | | | 600 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Free Conservative Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MUNICIPAL BONDS (continued) |
Mississippi State, Development Bank, Jackson County, Industrial Water System Project, RB | | | | | | | | |
2.250%, 12/01/2039 (A) | | $ | 1,425 | | | $ | 1,425 | |
| | | | | | | | | |
| | | | | | | | 2,025 | |
| | | | | | | | | |
Missouri — 3.6% | | | | |
Kansas City, Special Obligation, H Roe Bartle Project, Ser E, RB | | | | | | | | |
3.160%, 04/15/2034 (A)(B) | | | 3,300 | | | | 3,300 | |
RBC Municipal Products Trust, Ser C-16, RB | | | | | | | | |
3.200%, 09/01/2039 (A)(B)(C) | | | 3,500 | | | | 3,500 | |
| | | | | | | | | |
| | | | | | | | 6,800 | |
| | | | | | | | | |
New Hampshire — 0.8% | | | | |
New Hampshire State, Housing Finance Authority, Ser D, RB, GNMA/FNMA/FHLMC | | | | | | | | |
3.580%, 07/01/2056 (A) | | | 1,550 | | | | 1,556 | |
| | | | | | | | | |
| | | | | | | | | |
New Jersey — 10.9% | | | | |
Bordentown, GO | | | | | | | | |
4.500%, 04/01/2025 | | | 2,000 | | | | 2,010 | |
Egg Harbor Township, GO | | | | | | | | |
4.000%, 08/07/2025 | | | 2,850 | | | | 2,869 | |
Essex County, Improvement Authority, Family Court Building Project, RB | | | | | | | | |
5.000%, 06/18/2025 | | | 2,215 | | | | 2,245 | |
Haledon, Ser A, GO | | | | | | | | |
4.000%, 09/25/2025 | | | 900 | | | | 906 | |
Jersey City, Municipal Utilities Authority, Sewer Project, Ser B, RB | | | | | | | | |
5.000%, 05/01/2025 | | | 1,050 | | | | 1,059 | |
Little Falls, GO | | | | | | | | |
5.000%, 12/13/2024 | | | 6,154 | | | | 6,168 | |
Manasquan, GO | | | | | | | | |
4.000%, 10/01/2025 | | | 800 | | | | 808 | |
Maplewood, GO | | | | | | | | |
4.000%, 10/07/2025 | | | 1,300 | | | | 1,312 | |
Mount Holly, Ser A, GO | | | | | | | | |
4.000%, 09/24/2025 | | | 1,000 | | | | 1,007 | |
Pemberton, GO | | | | | | | | |
4.500%, 05/27/2025 | | | 1,000 | | | | 1,008 | |
Pompton Lakes, GO | | | | | | | | |
4.500%, 06/06/2025 | | | 1,500 | | | | 1,512 | |
| | | | | | | | | |
| | | | | | | | 20,904 | |
| | | | | | | | | |
New York — 15.5% | | | | |
Babylon, Union Free School District, GO | | | | | | | | |
4.000%, 06/24/2025 | | | 900 | | | | 906 | |
Lafayette, Central School District, GO | | | | | | | | |
4.500%, 06/20/2025 | | | 3,000 | | | | 3,029 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MUNICIPAL BONDS (continued) |
Metropolitan New York, Transportation Authority, Ser A-1-REMK, RB | | | | | | | | |
2.200%, 11/01/2031 (A)(B) | | $ | 3,600 | | | $ | 3,600 | |
Metropolitan New York, Transportation Authority, Sub-Ser E-1-REMK, RB | | | | | | | | |
2.150%, 11/15/2050 (A)(B) | | | 800 | | | | 800 | |
New York City, Sub-Ser A-3, GO | | | | | | | | |
2.250%, 10/01/2040 (A)(B) | | | 1,480 | | | | 1,480 | |
New York City, Sub-Ser D-4, GO | | | | | | | | |
2.200%, 08/01/2040 (A)(B) | | | 4,900 | | | | 4,900 | |
New York City, Transitional Finance Authority, Future Tax Secured Revenue, RB | | | | | | | | |
3.140%, 11/01/2041 (A)(B) | | | 2,000 | | | | 2,000 | |
New York City, Transitional Finance Authority, Future Tax Secured Revenue, Sub-Ser, RB | | | | | | | | |
2.200%, 08/01/2052 (A) | | | 400 | | | | 400 | |
2.150%, 11/01/2042 (A) | | | 1,100 | | | | 1,100 | |
2.150%, 11/01/2044 (A) | | | 500 | | | | 500 | |
New York State, Housing Finance Agency, Ser A, RB | | | | | | | | |
3.070%, 11/01/2050 (A)(B) | | | 2,500 | | | | 2,500 | |
Ossining, GO | | | | | | | | |
4.500%, 08/01/2025 | | | 1,000 | | | | 1,010 | |
Palmyra-Macedon, Central School District, GO | | | | | | | | |
4.500%, 06/17/2025 | | | 1,000 | | | | 1,009 | |
Schodack, Central School District, GO | | | | | | | | |
4.000%, 07/15/2025 | | | 3,850 | | | | 3,873 | |
Union-Endicott, Central School District, GO | | | | | | | | |
4.500%, 06/27/2025 | | | 1,200 | | | | 1,211 | |
Webutuck, Central School District, GO | | | | | | | | |
4.500%, 06/20/2025 | | | 1,300 | | | | 1,311 | |
| | | | | | | | | |
| | | | | | | | 29,629 | |
| | | | | | | | | |
North Carolina — 0.2% | | | | |
North Carolina State, Housing Finance Agency, RB, GNMA/FNMA/FHLMC | | | | | | | | |
3.375%, 07/01/2048 (A) | | | 390 | | | | 390 | |
| | | | | | | | | |
| | | | | | | | | |
Ohio — 0.7% | | | | |
Ohio State, Infrastructure Improvement, Ser A, GO | | | | | | | | |
5.000%, 03/01/2025 | | | 1,335 | | | | 1,346 | |
| | | | | | | | | |
| | | | | | | | | |
Oklahoma — 0.2% | | | | |
Oklahoma State, Industries Authority, Educational Facilities Lease, Oklahoma City Public Schools Project, RB | | | | | | | | |
5.000%, 04/01/2025 | | | 375 | | | | 379 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Free Conservative Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MUNICIPAL BONDS (continued) |
Pennsylvania — 3.2% | | | | |
Allegheny County, Sanitary Authority, RB | | | | | | | | |
5.000%, 12/01/2024 | | $ | 570 | | | $ | 571 | |
Montgomery County, Industrial Development Authority, Acts Retirement Life Communities, RB, AGC | | | | | | | | |
2.250%, 11/15/2029 (A) | | | 150 | | | | 150 | |
Northampton County, General Purpose Authority, St. Luke's University Health Network Project, RB | | | | | | | | |
2.200%, 08/15/2054 (A)(B) | | | 4,250 | | | | 4,250 | |
Pennsylvania State, Turnpike Commission, RB | | | | | | | | |
3.190%, 12/01/2038 (A)(B) | | | 1,100 | | | | 1,100 | |
| | | | | | | | | |
| | | | | | | | 6,071 | |
| | | | | | | | | |
South Carolina — 5.6% | | | | |
Charleston, Educational Excellence Finance, RB | | | | | | | | |
5.000%, 12/01/2024 | | | 3,000 | | | | 3,007 | |
South Carolina State, Jobs-Economic Development Authority, Silver Station Apartment Homes Project, RB, FHLB | | | | | | | | |
3.170%, 03/01/2063 (A)(B) | | | 3,000 | | | | 3,000 | |
South Carolina State, Public Service Authority, Ser A, RB | | | | | | | | |
3.200%, 01/01/2036 (A)(B) | | | 4,100 | | | | 4,100 | |
Tender Option Bond Trust Receipts, Ser 2022-XG0398, RB, BAM | | | | | | | | |
3.270%, 12/01/2055 (A)(C) | | | 500 | | | | 500 | |
| | | | | | | | | |
| | | | | | | | 10,607 | |
| | | | | | | | | |
South Dakota — 2.6% | | | | |
South Dakota State, Housing Development Authority, RB | | | | | | | | |
3.150%, 11/01/2046 (A) | | | 2,200 | | | | 2,200 | |
South Dakota State, Housing Development Authority, Ser A, RB | | | | | | | | |
3.150%, 11/01/2062 (A) | | | 2,815 | | | | 2,815 | |
| | | | | | | | | |
| | | | | | | | 5,015 | |
| | | | | | | | | |
Tennessee — 0.1% | | | | |
Clarksville, Public Building Authority, Pooled Financing, RB | | | | | | | | |
3.230%, 06/01/2029 (A)(B) | | | 185 | | | | 185 | |
| | | | | | | | | |
| | | | | | | | | |
Texas — 7.8% | | | | |
Bowie County, Industrial Development Corporation, Texarkana Newspapers, RB | | | | | | | | |
2.260%, 11/01/2025 (A)(B) | | | 200 | | | | 200 | |
Houston, Combined Utility System Revenue, Ser C-, RB | | | | | | | | |
3.230%, 05/15/2034 (A)(B) | | | 2,100 | | | | 2,100 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MUNICIPAL BONDS (continued) |
Midland, Independent School District, GO, PSF-GTD | | | | | | | | |
5.000%, 02/15/2025 | | $ | 1,065 | | | $ | 1,072 | |
Port Arthur, Navigation District, Industrial Development, Petrochemicals USA Project, RB | | | | | | | | |
3.210%, 03/01/2039 (A) | | | 5,300 | | | | 5,300 | |
Texas State, University System, Board of Regents, RB | | | | | | | | |
5.000%, 03/15/2025 | | | 770 | | | | 777 | |
Texas State, Veterans Bonds, GO | | | | | | | | |
3.070%, 12/01/2046 (A) | | | 1,700 | | | | 1,700 | |
Texas State, Veterans Bonds, Ser B, GO | | | | | | | | |
3.100%, 12/01/2042 (A) | | | 2,000 | | | | 2,000 | |
Texas State, Veterans Bonds, Ser B-REMK, GO | | | | | | | | |
3.100%, 12/01/2043 (A) | | | 1,750 | | | | 1,750 | |
| | | | | | | | | |
| | | | | | | | 14,899 | |
| | | | | | | | | |
Utah — 1.0% | | | | |
Utah State, Water Finance Agency, Ser B-2-REMK, RB | | | | | | | | |
3.200%, 10/01/2035 (A) | | | 1,955 | | | | 1,955 | |
| | | | | | | | | |
| | | | | | | | | |
Virginia — 1.0% | | | | |
Fairfax County, Industrial Development Authority, Inova Health System Project, RB | | | | | | | | |
3.200%, 05/15/2042 (A) | | | 1,955 | | | | 1,955 | |
| | | | | | | | | |
| | | | | | | | | |
Washington — 0.8% | | | | |
Washington State, Housing Finance Commission, Ser VR, RB | | | | | | | | |
3.150%, 12/01/2046 (A) | | | 1,585 | | | | 1,585 | |
| | | | | | | | | |
| | | | | | | | | |
West Virginia — 0.5% | | | | |
West Virginia State, Hospital Finance Authority, West Virginia University, RB | | | | | | | | |
3.150%, 06/01/2034 (A)(B) | | | 980 | | | | 980 | |
| | | | | | | | | |
| | | | | | | | | |
Wisconsin — 2.8% | | | | |
Wisconsin State, Housing & Economic Development Authority, Ser B, RB | | | | | | | | |
3.150%, 03/01/2041 (A) | | | 2,320 | | | | 2,320 | |
Wisconsin State, Housing & Economic Development Authority, Ser C, RB, FNMA | | | | | | | | |
3.150%, 03/01/2038 (A) | | | 1,400 | | | | 1,400 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Tax-Free Conservative Income Fund (Concluded)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MUNICIPAL BONDS (continued) |
Wisconsin State, Ser 2024-2, GO | | | | | | | | |
5.000%, 05/01/2025 | | $ | 1,545 | | | $ | 1,565 | |
| | | | | | | | | |
| | | | | | | | 5,285 | |
| | | | | | | | | |
| | | | | | | | | |
Total Municipal Bonds | | | | | | | | |
(Cost $161,603) ($ Thousands) | | | | | | | 161,690 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
TAX-EXEMPT COMMERCIAL PAPER — 17.0% |
Dallas-Fort Worth, International Airport Revenue | | | | | | | | |
3.800%, 10/25/2024 | | | 2,000 | | | | 2,000 | |
3.700%, 10/24/2024 | | | 1,000 | | | | 1,000 | |
El Paso, Water & Sewer Revenue | | | | | | | | |
3.550%, 12/09/2024 | | | 900 | | | | 900 | |
3.500%, 12/16/2024 | | | 900 | | | | 900 | |
Lincoln, Electrical System Revenue | | | | | | | | |
3.280%, 11/13/2024 | | | 5,000 | | | | 5,000 | |
Massachusetts Bay, Transportation Authority | | | | | | | | |
3.350%, 10/01/2024 | | | 2,150 | | | | 2,150 | |
3.200%, 11/05/2024 | | | 1,300 | | | | 1,300 | |
Nashville & Davidson County, Metropolitan Government | | | | | | | | |
3.600%, 12/16/2024 | | | 1,500 | | | | 1,500 | |
0.000%, 10/24/2024 (D) | | | 3,000 | | | | 3,000 | |
Omaha, Public Power District | | | | | | | | |
3.700%, 10/08/2024 | | | 2,000 | | | | 2,000 | |
University of Texas | | | | | | | | |
3.480%, 10/18/2024 | | | 1,200 | | | | 1,200 | |
3.280%, 02/05/2025 | | | 1,000 | | | | 1,001 | |
3.150%, 01/14/2025 | | | 4,500 | | | | 4,501 | |
3.100%, 02/13/2025 | | | 3,000 | | | | 3,001 | |
0.000%, 01/14/2025 (D) | | | 3,000 | | | | 3,000 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Total Tax-Exempt Commercial Paper | | | | |
(Cost $32,450) ($ Thousands) | | | 32,453 | |
| | | | | | | | | |
| | | | | | | | | |
Total Investments in Securities — 101.6% | | | | | | | | |
(Cost $194,053) ($ Thousands) | | $ | 194,143 | |
| | | | | | | | | |
| | | | | | | | | |
| Percentages are based on Net Assets of $191,097 ($ Thousands). |
(A) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(B) | Securities are held in connection with a letter of credit issued by a major bank. |
(C) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2024, the value of these securities amounted to $13,365 ($ Thousands), representing 7.0% of the Net Assets of the Fund. |
(D) | No interest rate available. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Municipal Bonds | | | – | | | | 161,690 | | | | – | | | | 161,690 | |
Tax-Exempt Commercial Paper | | | – | | | | 32,453 | | | | – | | | | 32,453 | |
Total Investments in Securities | | | – | | | | 194,143 | | | | – | | | | 194,143 | |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Real Return Fund
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
U.S. TREASURY OBLIGATIONS — 99.6% |
U.S. Treasury Inflation Protected Securities | | | | | | | | |
3.875%, 04/15/2029 | | $ | 10,376 | | | $ | 11,451 | |
3.625%, 04/15/2028 | | | 8,802 | | | | 9,432 | |
2.500%, 01/15/2029 | | | 8,274 | | | | 8,629 | |
2.375%, 01/15/2027 | | | 9,090 | | | | 9,238 | |
2.375%, 10/15/2028 | | | 23,771 | | | | 24,687 | |
2.125%, 04/15/2029 | | | 24,795 | | | | 25,482 | |
2.000%, 01/15/2026 | | | 9,399 | | | | 9,381 | |
1.750%, 01/15/2028 | | | 8,581 | | | | 8,650 | |
1.625%, 10/15/2027 | | | 23,159 | | | | 23,311 | |
1.250%, 04/15/2028 | | | 22,854 | | | | 22,637 | |
0.875%, 01/15/2029 | | | 15,998 | | | | 15,618 | |
0.750%, 07/15/2028 | | | 18,568 | | | | 18,155 | |
0.625%, 01/15/2026 | | | 19,831 | | | | 19,450 | |
0.500%, 01/15/2028 | | | 20,966 | | | | 20,300 | |
0.375%, 01/15/2027 | | | 18,536 | | | | 18,008 | |
0.375%, 07/15/2027 | | | 20,501 | | | | 19,935 | |
0.250%, 07/15/2029 | | | 18,872 | | | | 17,903 | |
0.125%, 10/15/2025 | | | 21,129 | | | | 20,719 | |
0.125%, 04/15/2026 | | | 16,272 | | | | 15,819 | |
0.125%, 07/15/2026 | | | 19,989 | | | | 19,485 | |
0.125%, 10/15/2026 | | | 22,597 | | | | 21,972 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
U.S. TREASURY OBLIGATIONS (continued) |
0.125%, 04/15/2027 | | $ | 23,086 | | | $ | 22,224 | |
| | | | | |
Total U.S. Treasury Obligations | | | | |
(Cost $381,415) ($ Thousands) | | | 382,486 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
CASH EQUIVALENT — 0.1% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 419,412 | | | | 419 | |
Total Cash Equivalent | | | | | | | | |
(Cost $419) ($ Thousands) | | | | | | | 419 | |
Total Investments in Securities — 99.7% | | | | | | | | |
(Cost $381,834) ($ Thousands) | | $ | 382,905 | |
| | | | | | | | | |
| | | | | | | | | |
| Percentages are based on Net Assets of $384,120 ($ Thousands). |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
† | Investment in Affiliated Security (see Note 6). |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
U.S. Treasury Obligations | | | – | | | | 382,486 | | | | – | | | | 382,486 | |
Cash Equivalent | | | 419 | | | | – | | | | – | | | | 419 | |
Total Investments in Securities | | | 419 | | | | 382,486 | | | | – | | | | 382,905 | |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | $ | 1,547 | | | $ | 41,016 | | | $ | (42,144 | ) | | $ | — | | | $ | — | | | $ | 419 | | | $ | 50 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Dynamic Asset Allocation Fund
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† — 80.0% |
| | | | | | | | | |
Communication Services — 7.1% | | | | |
Alphabet Inc, Cl A | | | 80,196 | | | $ | 13,301 | |
Alphabet Inc, Cl C | | | 65,711 | | | | 10,986 | |
AT&T Inc | | | 98,154 | | | | 2,159 | |
Charter Communications Inc, Cl A * | | | 1,343 | | | | 435 | |
Comcast Corp, Cl A | | | 52,854 | | | | 2,208 | |
Electronic Arts Inc | | | 3,325 | | | | 477 | |
Fox Corp, Cl A | | | 3,071 | | | | 130 | |
Fox Corp, Cl B | | | 1,866 | | | | 72 | |
Interpublic Group of Cos Inc/The | | | 5,127 | | | | 162 | |
Live Nation Entertainment Inc * | | | 1,907 | | | | 209 | |
Match Group Inc * | | | 3,706 | | | | 140 | |
Meta Platforms Inc, Cl A | | | 29,939 | | | | 17,138 | |
Netflix Inc * | | | 5,909 | | | | 4,191 | |
News Corp, Cl A | | | 5,162 | | | | 137 | |
News Corp, Cl B | | | 1,517 | | | | 42 | |
Omnicom Group Inc | | | 2,643 | | | | 273 | |
Paramount Global, Cl B | | | 6,771 | | | | 72 | |
Take-Two Interactive Software Inc, Cl A * | | | 2,121 | | | | 326 | |
T-Mobile US Inc | | | 6,671 | | | | 1,377 | |
Verizon Communications Inc | | | 57,686 | | | | 2,591 | |
Walt Disney Co/The | | | 24,916 | | | | 2,397 | |
Warner Bros Discovery Inc * | | | 30,264 | | | | 250 | |
| | | | | | | | | |
| | | | | | | | 59,073 | |
Consumer Discretionary — 8.1% | | | | |
Airbnb Inc, Cl A * | | | 6,000 | | | | 761 | |
Amazon.com Inc, Cl A * | | | 128,008 | | | | 23,852 | |
Aptiv PLC * | | | 3,672 | | | | 264 | |
AutoZone Inc * | | | 241 | | | | 759 | |
Best Buy Co Inc | | | 2,630 | | | | 272 | |
Booking Holdings Inc | | | 459 | | | | 1,933 | |
BorgWarner Inc | | | 3,037 | | | | 110 | |
Caesars Entertainment Inc * | | | 2,954 | | | | 123 | |
CarMax Inc * | | | 2,145 | | | | 166 | |
Carnival Corp * | | | 13,726 | | | | 254 | |
Chipotle Mexican Grill Inc, Cl A * | | | 18,700 | | | | 1,078 | |
Darden Restaurants Inc | | | 1,642 | | | | 270 | |
Deckers Outdoor Corp * | | | 2,100 | | | | 335 | |
Domino's Pizza Inc | | | 484 | | | | 208 | |
DR Horton Inc | | | 3,997 | | | | 763 | |
eBay Inc | | | 6,868 | | | | 447 | |
Expedia Group Inc * | | | 1,712 | | | | 253 | |
Ford Motor Co | | | 53,408 | | | | 564 | |
Garmin Ltd | | | 2,100 | | | | 370 | |
General Motors Co | | | 15,562 | | | | 698 | |
Genuine Parts Co | | | 1,925 | | | | 269 | |
Hasbro Inc | | | 1,909 | | | | 138 | |
Hilton Worldwide Holdings Inc | | | 3,386 | | | | 781 | |
Home Depot Inc/The | | | 13,549 | | | | 5,490 | |
Las Vegas Sands Corp | | | 4,919 | | | | 248 | |
Lennar Corp, Cl A | | | 3,290 | | | | 617 | |
LKQ Corp | | | 3,616 | | | | 144 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Lowe's Cos Inc | | | 7,767 | | | $ | 2,104 | |
Lululemon Athletica Inc * | | | 1,595 | | | | 433 | |
Marriott International Inc/MD, Cl A | | | 3,223 | | | | 801 | |
McDonald's Corp | | | 9,837 | | | | 2,995 | |
MGM Resorts International * | | | 3,542 | | | | 138 | |
Mohawk Industries Inc * | | | 720 | | | | 116 | |
NIKE Inc, Cl B | | | 16,484 | | | | 1,457 | |
Norwegian Cruise Line Holdings Ltd * | | | 6,214 | | | | 127 | |
NVR Inc * | | | 44 | | | | 432 | |
O'Reilly Automotive Inc * | | | 783 | | | | 902 | |
Pool Corp | | | 516 | | | | 194 | |
PulteGroup Inc | | | 2,846 | | | | 409 | |
Ralph Lauren Corp, Cl A | | | 528 | | | | 102 | |
Ross Stores Inc | | | 4,485 | | | | 675 | |
Royal Caribbean Cruises Ltd | | | 3,266 | | | | 579 | |
Starbucks Corp | | | 15,426 | | | | 1,504 | |
Tapestry Inc | | | 3,153 | | | | 148 | |
Tesla Inc * | | | 37,915 | | | | 9,920 | |
TJX Cos Inc/The | | | 15,470 | | | | 1,818 | |
Tractor Supply Co | | | 1,524 | | | | 443 | |
Ulta Beauty Inc * | | | 673 | | | | 262 | |
Wynn Resorts Ltd | | | 1,345 | | | | 129 | |
Yum! Brands Inc | | | 3,860 | | | | 539 | |
| | | | | | | | | |
| | | | | | | | 67,394 | |
Consumer Staples — 4.7% | | | | |
Altria Group Inc | | | 23,332 | | | | 1,191 | |
Archer-Daniels-Midland Co | | | 6,721 | | | | 401 | |
Brown-Forman Corp, Cl B | | | 2,460 | | | | 121 | |
Bunge Global SA | | | 1,900 | | | | 184 | |
Campbell Soup Co | | | 2,834 | | | | 139 | |
Church & Dwight Co Inc | | | 3,285 | | | | 344 | |
Clorox Co/The | | | 1,635 | | | | 266 | |
Coca-Cola Co/The | | | 53,204 | | | | 3,823 | |
Colgate-Palmolive Co | | | 11,149 | | | | 1,157 | |
Conagra Brands Inc | | | 6,463 | | | | 210 | |
Constellation Brands Inc, Cl A | | | 2,121 | | | | 547 | |
Costco Wholesale Corp | | | 6,075 | | | | 5,386 | |
Dollar General Corp | | | 2,971 | | | | 251 | |
Dollar Tree Inc * | | | 2,796 | | | | 197 | |
Estee Lauder Cos Inc/The, Cl A | | | 3,170 | | | | 316 | |
General Mills Inc | | | 7,690 | | | | 568 | |
Hershey Co/The | | | 1,976 | | | | 379 | |
Hormel Foods Corp | | | 4,023 | | | | 127 | |
J M Smucker Co/The | | | 1,430 | | | | 173 | |
Kellanova | | | 3,519 | | | | 284 | |
Kenvue Inc | | | 27,174 | | | | 629 | |
Keurig Dr Pepper Inc | | | 14,192 | | | | 532 | |
Kimberly-Clark Corp | | | 4,579 | | | | 651 | |
Kraft Heinz Co/The | | | 12,093 | | | | 425 | |
Kroger Co/The | | | 9,088 | | | | 521 | |
Lamb Weston Holdings Inc | | | 2,001 | | | | 130 | |
McCormick & Co Inc/MD | | | 3,380 | | | | 278 | |
Molson Coors Beverage Co, Cl B | | | 2,495 | | | | 143 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Dynamic Asset Allocation Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Mondelez International Inc, Cl A | | | 18,248 | | | $ | 1,344 | |
Monster Beverage Corp * | | | 9,644 | | | | 503 | |
PepsiCo Inc | | | 18,858 | | | | 3,207 | |
Philip Morris International Inc | | | 21,258 | | | | 2,581 | |
Procter & Gamble Co/The | | | 32,202 | | | | 5,577 | |
Sysco Corp, Cl A | | | 6,811 | | | | 532 | |
Target Corp, Cl A | | | 6,352 | | | | 990 | |
Tyson Foods Inc, Cl A | | | 3,875 | | | | 231 | |
Walgreens Boots Alliance Inc | | | 10,224 | | | | 92 | |
Walmart Inc | | | 59,397 | | | | 4,796 | |
| | | | | | | | | |
| | | | | | | | 39,226 | |
Energy — 2.7% | | | | |
APA Corp | | | 4,452 | | | | 109 | |
Baker Hughes Co, Cl A | | | 13,568 | | | | 490 | |
Chevron Corp | | | 23,303 | | | | 3,432 | |
ConocoPhillips | | | 15,849 | | | | 1,669 | |
Coterra Energy Inc | | | 10,141 | | | | 243 | |
Devon Energy Corp | | | 8,595 | | | | 336 | |
Diamondback Energy Inc, Cl A | | | 2,423 | | | | 418 | |
EOG Resources Inc | | | 7,799 | | | | 959 | |
EQT Corp | | | 8,300 | | | | 304 | |
Exxon Mobil Corp | | | 60,834 | | | | 7,131 | |
Halliburton Co | | | 12,078 | | | | 351 | |
Hess Corp | | | 3,796 | | | | 516 | |
Kinder Morgan Inc | | | 26,240 | | | | 580 | |
Marathon Oil Corp | | | 7,659 | | | | 204 | |
Marathon Petroleum Corp | | | 4,587 | | | | 747 | |
Occidental Petroleum Corp | | | 9,615 | | | | 496 | |
ONEOK Inc | | | 7,906 | | | | 720 | |
Phillips 66 | | | 5,785 | | | | 760 | |
Schlumberger NV, Cl A | | | 19,478 | | | | 817 | |
Targa Resources Corp | | | 3,000 | | | | 444 | |
Valero Energy Corp | | | 4,424 | | | | 597 | |
Williams Cos Inc/The | | | 16,416 | | | | 749 | |
| | | | | | | | | |
| | | | | | | | 22,072 | |
Financials — 10.4% | | | | |
Aflac Inc | | | 7,021 | | | | 785 | |
Allstate Corp/The | | | 3,590 | | | | 681 | |
American Express Co | | | 7,697 | | | | 2,087 | |
American International Group Inc | | | 9,019 | | | | 660 | |
Ameriprise Financial Inc | | | 1,391 | | | | 654 | |
Aon PLC, Cl A | | | 2,997 | | | | 1,037 | |
Arch Capital Group Ltd * | | | 5,125 | | | | 573 | |
Arthur J Gallagher & Co | | | 3,009 | | | | 847 | |
Assurant Inc | | | 743 | | | | 148 | |
Bank of America Corp | | | 92,400 | | | | 3,666 | |
Bank of New York Mellon Corp/The | | | 10,213 | | | | 734 | |
Berkshire Hathaway Inc, Cl B * | | | 25,103 | | | | 11,554 | |
BlackRock Inc | | | 1,923 | | | | 1,826 | |
Blackstone Inc, Cl A | | | 10,000 | | | | 1,531 | |
Brown & Brown Inc | | | 3,239 | | | | 336 | |
Capital One Financial Corp | | | 5,198 | | | | 778 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Cboe Global Markets Inc | | | 1,427 | | | $ | 292 | |
Charles Schwab Corp/The | | | 20,416 | | | | 1,323 | |
Chubb Ltd | | | 5,091 | | | | 1,468 | |
Cincinnati Financial Corp | | | 2,103 | | | | 286 | |
Citigroup Inc | | | 26,125 | | | | 1,635 | |
Citizens Financial Group Inc | | | 6,208 | | | | 255 | |
CME Group Inc, Cl A | | | 4,972 | | | | 1,097 | |
Corpay Inc * | | | 944 | | | | 295 | |
Discover Financial Services | | | 3,408 | | | | 478 | |
Erie Indemnity Co, Cl A | | | 300 | | | | 162 | |
Everest Group Ltd | | | 573 | | | | 225 | |
FactSet Research Systems Inc | | | 524 | | | | 241 | |
Fidelity National Information Services Inc, Cl B | | | 7,585 | | | | 635 | |
Fifth Third Bancorp | | | 9,319 | | | | 399 | |
Fiserv Inc, Cl A * | | | 7,919 | | | | 1,423 | |
Franklin Resources Inc | | | 4,243 | | | | 86 | |
Global Payments Inc | | | 3,509 | | | | 359 | |
Globe Life Inc | | | 1,200 | | | | 127 | |
Goldman Sachs Group Inc/The | | | 4,316 | | | | 2,137 | |
Hartford Financial Services Group Inc/The | | | 3,999 | | | | 470 | |
Huntington Bancshares Inc/OH | | | 19,662 | | | | 289 | |
Intercontinental Exchange Inc | | | 8,008 | | | | 1,286 | |
Invesco Ltd | | | 6,078 | | | | 107 | |
Jack Henry & Associates Inc | | | 950 | | | | 168 | |
JPMorgan Chase & Co | | | 38,889 | | | | 8,200 | |
KeyCorp | | | 12,812 | | | | 215 | |
KKR & Co Inc | | | 9,320 | | | | 1,217 | |
Loews Corp | | | 2,555 | | | | 202 | |
M&T Bank Corp | | | 2,276 | | | | 405 | |
MarketAxess Holdings Inc | | | 553 | | | | 142 | |
Marsh & McLennan Cos Inc | | | 6,692 | | | | 1,493 | |
Mastercard Inc, Cl A | | | 11,297 | | | | 5,578 | |
MetLife Inc | | | 8,161 | | | | 673 | |
Moody's Corp | | | 2,112 | | | | 1,002 | |
Morgan Stanley | | | 17,055 | | | | 1,778 | |
MSCI Inc, Cl A | | | 1,091 | | | | 636 | |
Nasdaq Inc, Cl A | | | 5,905 | | | | 431 | |
Northern Trust Corp | | | 2,865 | | | | 258 | |
PayPal Holdings Inc * | | | 14,009 | | | | 1,093 | |
PNC Financial Services Group Inc/The | | | 5,376 | | | | 994 | |
Principal Financial Group Inc, Cl A | | | 2,967 | | | | 255 | |
Progressive Corp/The | | | 8,002 | | | | 2,031 | |
Prudential Financial Inc | | | 4,860 | | | | 589 | |
Raymond James Financial Inc | | | 2,493 | | | | 305 | |
Regions Financial Corp | | | 12,384 | | | | 289 | |
S&P Global Inc | | | 4,394 | | | | 2,270 | |
Synchrony Financial | | | 5,444 | | | | 272 | |
T Rowe Price Group Inc | | | 2,989 | | | | 326 | |
Travelers Cos Inc/The | | | 3,104 | | | | 727 | |
Truist Financial Corp | | | 18,248 | | | | 780 | |
US Bancorp | | | 21,370 | | | | 977 | |
Visa Inc, Cl A | | | 22,818 | | | | 6,274 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Dynamic Asset Allocation Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
W R Berkley Corp | | | 4,135 | | | $ | 235 | |
Wells Fargo & Co | | | 46,561 | | | | 2,630 | |
Willis Towers Watson PLC | | | 1,435 | | | | 423 | |
| | | | | | | | | |
| | | | | | | | 85,840 | |
Health Care — 9.4% | | | | |
Abbott Laboratories | | | 23,853 | | | | 2,720 | |
AbbVie Inc | | | 24,292 | | | | 4,797 | |
Agilent Technologies Inc | | | 4,004 | | | | 595 | |
Align Technology Inc * | | | 988 | | | | 251 | |
Amgen Inc, Cl A | | | 7,354 | | | | 2,370 | |
Baxter International Inc | | | 6,949 | | | | 264 | |
Becton Dickinson & Co | | | 4,047 | | | | 976 | |
Biogen Inc * | | | 1,936 | | | | 375 | |
Bio-Techne Corp | | | 2,192 | | | | 175 | |
Boston Scientific Corp * | | | 20,184 | | | | 1,691 | |
Bristol-Myers Squibb Co | | | 27,913 | | | | 1,444 | |
Cardinal Health Inc | | | 3,323 | | | | 367 | |
Catalent Inc * | | | 2,577 | | | | 156 | |
Cencora Inc, Cl A | | | 2,383 | | | | 536 | |
Centene Corp * | | | 7,282 | | | | 548 | |
Charles River Laboratories International Inc * | | | 665 | | | | 131 | |
Cigna Group/The | | | 3,804 | | | | 1,318 | |
Cooper Cos Inc/The * | | | 2,664 | | | | 294 | |
CVS Health Corp | | | 17,016 | | | | 1,070 | |
Danaher Corp, Cl A | | | 8,762 | | | | 2,436 | |
DaVita Inc * | | | 715 | | | | 117 | |
Dexcom Inc * | | | 5,366 | | | | 360 | |
Edwards Lifesciences Corp, Cl A * | | | 8,251 | | | | 545 | |
Elevance Health Inc | | | 3,200 | | | | 1,664 | |
Eli Lilly & Co | | | 10,797 | | | | 9,566 | |
GE HealthCare Technologies Inc | | | 5,743 | | | | 539 | |
Gilead Sciences Inc | | | 17,055 | | | | 1,430 | |
HCA Healthcare Inc | | | 2,581 | | | | 1,049 | |
Henry Schein Inc * | | | 1,849 | | | | 135 | |
Hologic Inc * | | | 3,129 | | | | 255 | |
Humana Inc | | | 1,715 | | | | 543 | |
IDEXX Laboratories Inc * | | | 1,089 | | | | 550 | |
Incyte Corp * | | | 1,971 | | | | 130 | |
Insulet Corp * | | | 900 | | | | 210 | |
Intuitive Surgical Inc * | | | 4,882 | | | | 2,398 | |
IQVIA Holdings Inc * | | | 2,352 | | | | 557 | |
Johnson & Johnson | | | 33,054 | | | | 5,357 | |
Labcorp Holdings Inc | | | 1,153 | | | | 258 | |
McKesson Corp | | | 1,808 | | | | 894 | |
Medtronic PLC | | | 17,565 | | | | 1,581 | |
Merck & Co Inc | | | 34,811 | | | | 3,953 | |
Mettler-Toledo International Inc * | | | 297 | | | | 445 | |
Moderna Inc * | | | 4,581 | | | | 306 | |
Molina Healthcare Inc * | | | 760 | | | | 262 | |
Pfizer Inc | | | 77,622 | | | | 2,246 | |
Quest Diagnostics Inc | | | 1,496 | | | | 232 | |
Regeneron Pharmaceuticals Inc * | | | 1,475 | | | | 1,551 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
ResMed Inc | | | 1,964 | | | $ | 479 | |
Revvity Inc | | | 1,683 | | | | 215 | |
Solventum Corp * | | | 1,879 | | | | 131 | |
STERIS PLC | | | 1,374 | | | | 333 | |
Stryker Corp | | | 4,737 | | | | 1,711 | |
Teleflex Inc | | | 600 | | | | 148 | |
Thermo Fisher Scientific Inc | | | 5,246 | | | | 3,245 | |
UnitedHealth Group Inc | | | 12,654 | | | | 7,399 | |
Universal Health Services Inc, Cl B | | | 792 | | | | 181 | |
Vertex Pharmaceuticals Inc * | | | 3,495 | | | | 1,625 | |
Viatris Inc, Cl W | | | 16,083 | | | | 187 | |
Waters Corp * | | | 864 | | | | 311 | |
West Pharmaceutical Services Inc | | | 1,041 | | | | 313 | |
Zimmer Biomet Holdings Inc | | | 2,823 | | | | 305 | |
Zoetis Inc, Cl A | | | 6,217 | | | | 1,215 | |
| | | | | | | | | |
| | | | | | | | 77,445 | |
Industrials — 6.9% | | | | |
3M Co | | | 7,517 | | | | 1,028 | |
A O Smith Corp | | | 1,710 | | | | 154 | |
Allegion plc | | | 1,233 | | | | 180 | |
Amentum Holdings Inc * | | | 1,732 | | | | 56 | |
AMETEK Inc | | | 3,110 | | | | 534 | |
Automatic Data Processing Inc | | | 5,592 | | | | 1,548 | |
Axon Enterprise Inc * | | | 1,024 | | | | 409 | |
Boeing Co/The * | | | 8,087 | | | | 1,230 | |
Broadridge Financial Solutions Inc | | | 1,634 | | | | 351 | |
Builders FirstSource Inc * | | | 1,700 | | | | 330 | |
Carrier Global Corp | | | 11,442 | | | | 921 | |
Caterpillar Inc, Cl A | | | 6,662 | | | | 2,606 | |
CH Robinson Worldwide Inc | | | 1,598 | | | | 176 | |
Cintas Corp | | | 4,796 | | | | 987 | |
Copart Inc * | | | 12,010 | | | | 629 | |
CSX Corp | | | 26,514 | | | | 916 | |
Cummins Inc | | | 1,928 | | | | 624 | |
Dayforce Inc * | | | 2,106 | | | | 129 | |
Deere & Co | | | 3,552 | | | | 1,482 | |
Delta Air Lines Inc, Cl A | | | 8,787 | | | | 446 | |
Dover Corp | | | 1,841 | | | | 353 | |
Eaton Corp PLC | | | 5,492 | | | | 1,820 | |
Emerson Electric Co | | | 7,820 | | | | 855 | |
Equifax Inc | | | 1,665 | | | | 489 | |
Expeditors International of Washington Inc | | | 1,892 | | | | 249 | |
Fastenal Co, Cl A | | | 7,818 | | | | 558 | |
FedEx Corp | | | 3,111 | | | | 851 | |
Fortive Corp | | | 4,770 | | | | 377 | |
GE Vernova Inc * | | | 3,746 | | | | 955 | |
Generac Holdings Inc * | | | 783 | | | | 124 | |
General Dynamics Corp | | | 3,564 | | | | 1,077 | |
General Electric Co | | | 14,882 | | | | 2,807 | |
Honeywell International Inc | | | 8,932 | | | | 1,846 | |
Howmet Aerospace Inc | | | 5,632 | | | | 565 | |
Hubbell Inc, Cl B | | | 750 | | | | 321 | |
Huntington Ingalls Industries Inc, Cl A | | | 573 | | | | 152 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Dynamic Asset Allocation Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
IDEX Corp | | | 1,048 | | | $ | 225 | |
Illinois Tool Works Inc | | | 3,663 | | | | 960 | |
Ingersoll Rand Inc | | | 5,479 | | | | 538 | |
Jacobs Solutions Inc | | | 1,732 | | | | 227 | |
JB Hunt Transport Services Inc | | | 1,087 | | | | 187 | |
Johnson Controls International PLC | | | 9,135 | | | | 709 | |
L3Harris Technologies Inc | | | 2,587 | | | | 615 | |
Leidos Holdings Inc | | | 1,804 | | | | 294 | |
Lockheed Martin Corp | | | 2,940 | | | | 1,719 | |
Masco Corp | | | 2,959 | | | | 248 | |
Nordson Corp | | | 763 | | | | 200 | |
Norfolk Southern Corp | | | 3,071 | | | | 763 | |
Northrop Grumman Corp | | | 1,861 | | | | 983 | |
Old Dominion Freight Line Inc, Cl A | | | 2,626 | | | | 522 | |
Otis Worldwide Corp | | | 5,535 | | | | 575 | |
PACCAR Inc | | | 7,150 | | | | 706 | |
Parker-Hannifin Corp, Cl A | | | 1,734 | | | | 1,096 | |
Paychex Inc | | | 4,391 | | | | 589 | |
Paycom Software Inc | | | 687 | | | | 114 | |
Pentair PLC | | | 2,264 | | | | 221 | |
Quanta Services Inc | | | 1,983 | | | | 591 | |
Republic Services Inc | | | 2,798 | | | | 562 | |
Rockwell Automation Inc | | | 1,555 | | | | 418 | |
Rollins Inc | | | 3,820 | | | | 193 | |
RTX Corp | | | 18,231 | | | | 2,209 | |
Snap-on Inc | | | 718 | | | | 208 | |
Southwest Airlines Co, Cl A | | | 8,127 | | | | 241 | |
Stanley Black & Decker Inc | | | 2,099 | | | | 231 | |
Textron Inc | | | 2,686 | | | | 238 | |
Trane Technologies PLC | | | 3,137 | | | | 1,219 | |
TransDigm Group Inc | | | 778 | | | | 1,110 | |
Uber Technologies Inc * | | | 28,600 | | | | 2,150 | |
Union Pacific Corp | | | 8,380 | | | | 2,066 | |
United Airlines Holdings Inc * | | | 4,578 | | | | 261 | |
United Parcel Service Inc, Cl B | | | 10,044 | | | | 1,369 | |
United Rentals Inc | | | 926 | | | | 750 | |
Veralto Corp | | | 3,420 | | | | 383 | |
Verisk Analytics Inc, Cl A | | | 1,915 | | | | 513 | |
Waste Management Inc | | | 5,026 | | | | 1,043 | |
Westinghouse Air Brake Technologies Corp | | | 2,362 | | | | 429 | |
WW Grainger Inc | | | 608 | | | | 632 | |
Xylem Inc/NY | | | 3,266 | | | | 441 | |
| | | | | | | | | |
| | | | | | | | 56,883 | |
Information Technology — 25.0% | | | | |
Adobe Inc * | | | 6,114 | | | | 3,166 | |
Advanced Micro Devices Inc * | | | 22,158 | | | | 3,636 | |
Akamai Technologies Inc * | | | 2,063 | | | | 208 | |
Amphenol Corp, Cl A | | | 16,850 | | | | 1,098 | |
Analog Devices Inc | | | 6,820 | | | | 1,570 | |
ANSYS Inc * | | | 1,240 | | | | 395 | |
Apple Inc | | | 208,355 | | | | 48,547 | |
Applied Materials Inc | | | 11,347 | | | | 2,293 | |
Arista Networks Inc * | | | 3,500 | | | | 1,343 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Autodesk Inc, Cl A * | | | 2,910 | | | $ | 802 | |
Broadcom Inc | | | 63,700 | | | | 10,988 | |
Cadence Design Systems Inc * | | | 3,664 | | | | 993 | |
CDW Corp/DE | | | 1,878 | | | | 425 | |
Cisco Systems Inc | | | 55,480 | | | | 2,953 | |
Cognizant Technology Solutions Corp, Cl A | | | 6,807 | | | | 525 | |
Corning Inc, Cl B | | | 10,434 | | | | 471 | |
Crowdstrike Holdings Inc, Cl A * | | | 3,150 | | | | 884 | |
Dell Technologies Inc, Cl C | | | 3,900 | | | | 462 | |
Enphase Energy Inc * | | | 1,888 | | | | 213 | |
EPAM Systems Inc * | | | 818 | | | | 163 | |
F5 Inc, Cl A * | | | 749 | | | | 165 | |
Fair Isaac Corp * | | | 344 | | | | 669 | |
First Solar Inc * | | | 1,489 | | | | 371 | |
Fortinet Inc * | | | 8,580 | | | | 665 | |
Gartner Inc * | | | 1,071 | | | | 543 | |
Gen Digital Inc | | | 7,509 | | | | 206 | |
GoDaddy Inc, Cl A * | | | 1,900 | | | | 298 | |
Hewlett Packard Enterprise Co | | | 17,624 | | | | 361 | |
HP Inc | | | 13,421 | | | | 481 | |
Intel Corp | | | 58,362 | | | | 1,369 | |
International Business Machines Corp | | | 12,628 | | | | 2,792 | |
Intuit Inc | | | 3,792 | | | | 2,355 | |
Jabil Inc | | | 1,700 | | | | 204 | |
Juniper Networks Inc | | | 4,454 | | | | 174 | |
Keysight Technologies Inc * | | | 2,387 | | | | 379 | |
KLA Corp | | | 1,842 | | | | 1,426 | |
Lam Research Corp | | | 1,818 | | | | 1,484 | |
Microchip Technology Inc | | | 7,339 | | | | 589 | |
Micron Technology Inc | | | 15,144 | | | | 1,571 | |
Microsoft Corp | | | 101,861 | | | | 43,831 | |
Monolithic Power Systems Inc | | | 670 | | | | 619 | |
Motorola Solutions Inc | | | 2,314 | | | | 1,040 | |
NetApp Inc | | | 2,776 | | | | 343 | |
NVIDIA Corp | | | 337,115 | | | | 40,939 | |
ON Semiconductor Corp * | | | 5,799 | | | | 421 | |
Oracle Corp, Cl B | | | 21,817 | | | | 3,718 | |
Palantir Technologies Inc, Cl A * | | | 27,600 | | | | 1,027 | |
Palo Alto Networks Inc * | | | 4,422 | | | | 1,511 | |
PTC Inc * | | | 1,628 | | | | 294 | |
Qorvo Inc * | | | 1,331 | | | | 138 | |
QUALCOMM Inc | | | 15,303 | | | | 2,602 | |
Roper Technologies Inc | | | 1,499 | | | | 834 | |
Salesforce Inc | | | 13,328 | | | | 3,648 | |
Seagate Technology Holdings PLC | | | 2,605 | | | | 285 | |
ServiceNow Inc * | | | 2,808 | | | | 2,511 | |
Skyworks Solutions Inc | | | 2,246 | | | | 222 | |
Super Micro Computer Inc * | | | 700 | | | | 291 | |
Synopsys Inc * | | | 2,141 | | | | 1,084 | |
Teledyne Technologies Inc * | | | 690 | | | | 302 | |
Teradyne Inc | | | 2,088 | | | | 280 | |
Texas Instruments Inc | | | 12,504 | | | | 2,583 | |
Trimble Inc * | | | 3,278 | | | | 204 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Dynamic Asset Allocation Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Tyler Technologies Inc * | | | 590 | | | $ | 344 | |
VeriSign Inc * | | | 1,212 | | | | 230 | |
Western Digital Corp * | | | 4,424 | | | | 302 | |
Zebra Technologies Corp, Cl A * | | | 677 | | | | 251 | |
| | | | | | | | | |
| | | | | | | | 207,091 | |
Materials — 1.8% | | | | |
Air Products and Chemicals Inc | | | 3,119 | | | | 929 | |
Albemarle Corp | | | 1,590 | | | | 151 | |
Amcor PLC | | | 19,572 | | | | 222 | |
Avery Dennison Corp | | | 1,119 | | | | 247 | |
Ball Corp | | | 4,090 | | | | 278 | |
Celanese Corp, Cl A | | | 1,426 | | | | 194 | |
CF Industries Holdings Inc | | | 2,436 | | | | 209 | |
Corteva Inc | | | 9,504 | | | | 559 | |
Dow Inc | | | 9,517 | | | | 520 | |
DuPont de Nemours Inc | | | 5,645 | | | | 503 | |
Eastman Chemical Co | | | 1,610 | | | | 180 | |
Ecolab Inc | | | 3,510 | | | | 896 | |
FMC Corp | | | 1,662 | | | | 110 | |
Freeport-McMoRan Inc, Cl B | | | 19,612 | | | | 979 | |
International Flavors & Fragrances Inc | | | 3,482 | | | | 365 | |
International Paper Co | | | 4,708 | | | | 230 | |
Linde PLC | | | 6,583 | | | | 3,139 | |
LyondellBasell Industries NV, Cl A | | | 3,575 | | | | 343 | |
Martin Marietta Materials Inc, Cl A | | | 809 | | | | 435 | |
Mosaic Co/The | | | 4,356 | | | | 117 | |
Newmont Corp | | | 15,709 | | | | 840 | |
Nucor Corp | | | 3,262 | | | | 490 | |
Packaging Corp of America | | | 1,235 | | | | 266 | |
PPG Industries Inc | | | 3,189 | | | | 422 | |
Sherwin-Williams Co/The, Cl A | | | 3,241 | | | | 1,237 | |
Smurfit WestRock PLC | | | 6,812 | | | | 337 | |
Steel Dynamics Inc | | | 2,001 | | | | 252 | |
Vulcan Materials Co | | | 1,831 | | | | 458 | |
| | | | | | | | | |
| | | | | | | | 14,908 | |
Real Estate — 1.9% | | | | |
Alexandria Real Estate Equities Inc ‡ | | | 2,095 | | | | 249 | |
American Tower Corp, Cl A ‡ | | | 6,440 | | | | 1,498 | |
AvalonBay Communities Inc ‡ | | | 1,945 | | | | 438 | |
BXP Inc ‡ | | | 1,911 | | | | 154 | |
Camden Property Trust ‡ | | | 1,400 | | | | 173 | |
CBRE Group Inc, Cl A * | | | 4,257 | | | | 530 | |
CoStar Group Inc * | | | 5,509 | | | | 416 | |
Crown Castle Inc ‡ | | | 5,963 | | | | 707 | |
Digital Realty Trust Inc, Cl A ‡ | | | 4,241 | | | | 686 | |
Equinix Inc ‡ | | | 1,319 | | | | 1,171 | |
Equity Residential ‡ | | | 4,709 | | | | 351 | |
Essex Property Trust Inc ‡ | | | 923 | | | | 273 | |
Extra Space Storage Inc ‡ | | | 2,841 | | | | 512 | |
Federal Realty Investment Trust ‡ | | | 1,052 | | | | 121 | |
Healthpeak Properties Inc ‡ | | | 9,961 | | | | 228 | |
Host Hotels & Resorts Inc ‡ | | | 9,523 | | | | 168 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK†† (continued) |
Invitation Homes Inc ‡ | | | 7,700 | | | $ | 271 | |
Iron Mountain Inc ‡ | | | 3,978 | | | | 473 | |
Kimco Realty Corp ‡ | | | 9,074 | | | | 211 | |
Mid-America Apartment Communities Inc ‡ | | | 1,639 | | | | 260 | |
Prologis Inc ‡ | | | 12,637 | | | | 1,596 | |
Public Storage ‡ | | | 2,169 | | | | 789 | |
Realty Income Corp ‡ | | | 11,874 | | | | 753 | |
Regency Centers Corp ‡ | | | 2,294 | | | | 166 | |
SBA Communications Corp, Cl A ‡ | | | 1,481 | | | | 356 | |
Simon Property Group Inc ‡ | | | 4,202 | | | | 710 | |
UDR Inc ‡ | | | 4,295 | | | | 195 | |
Ventas Inc ‡ | | | 5,537 | | | | 355 | |
VICI Properties Inc, Cl A ‡ | | | 14,156 | | | | 471 | |
Welltower Inc ‡ | | | 7,891 | | | | 1,010 | |
Weyerhaeuser Co ‡ | | | 9,905 | | | | 335 | |
| | | | | | | | | |
| | | | | | | | 15,626 | |
Utilities — 2.0% | | | | |
AES Corp/The | | | 9,455 | | | | 190 | |
Alliant Energy Corp | | | 3,529 | | | | 214 | |
Ameren Corp | | | 3,729 | | | | 326 | |
American Electric Power Co Inc | | | 7,487 | | | | 768 | |
American Water Works Co Inc | | | 2,623 | | | | 384 | |
Atmos Energy Corp | | | 2,107 | | | | 292 | |
CenterPoint Energy Inc | | | 8,682 | | | | 255 | |
CMS Energy Corp | | | 4,187 | | | | 296 | |
Consolidated Edison Inc | | | 4,728 | | | | 492 | |
Constellation Energy Corp | | | 4,260 | | | | 1,108 | |
Dominion Energy Inc | | | 11,448 | | | | 662 | |
DTE Energy Co | | | 2,795 | | | | 359 | |
Duke Energy Corp | | | 10,485 | | | | 1,209 | |
Edison International | | | 5,227 | | | | 455 | |
Entergy Corp | | | 2,947 | | | | 388 | |
Evergy Inc | | | 3,143 | | | | 195 | |
Eversource Energy | | | 4,801 | | | | 327 | |
Exelon Corp | | | 13,609 | | | | 552 | |
FirstEnergy Corp | | | 7,073 | | | | 314 | |
NextEra Energy Inc | | | 28,121 | | | | 2,377 | |
NiSource Inc | | | 6,044 | | | | 209 | |
NRG Energy Inc | | | 2,946 | | | | 268 | |
PG&E Corp | | | 29,027 | | | | 574 | |
Pinnacle West Capital Corp | | | 1,617 | | | | 143 | |
PPL Corp | | | 10,044 | | | | 332 | |
Public Service Enterprise Group Inc | | | 6,740 | | | | 601 | |
Sempra | | | 8,622 | | | | 721 | |
Southern Co/The | | | 14,913 | | | | 1,345 | |
Vistra Corp | | | 4,400 | | | | 522 | |
WEC Energy Group Inc | | | 4,279 | | | | 411 | |
Xcel Energy Inc | | | 7,559 | | | | 494 | |
| | | | | | | | | |
| | | | | | | | 16,783 | |
Total Common Stock | | | | | | | | |
(Cost $237,588) ($ Thousands) | | | | | | | 662,341 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Dynamic Asset Allocation Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
FOREIGN COMMON STOCK†† — 0.5% |
| | | | | | | | | |
China — 0.2% | | | | |
Information Technology — 0.2% | | | | |
NXP Semiconductors NV | | | 3,435 | | | $ | 825 | |
TE Connectivity PLC * | | | 4,161 | | | | 628 | |
| | | | | | | | | |
| | | | | | | | 1,453 | |
| | | | | | | | | |
| | | | | | | | | |
Ireland — 0.3% | | | | |
Information Technology — 0.3% | | | | |
Accenture PLC, Cl A | | | 8,553 | | | | 3,023 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Total Foreign Common Stock | | | | | | | | |
(Cost $1,840) ($ Thousands) | | | | | | | 4,476 | |
| | | | | | | | | |
CASH EQUIVALENT — 0.5% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 3,882,350 | | | | 3,882 | |
Total Cash Equivalent | | | | | | | | |
(Cost $3,882) ($ Thousands) | | | | | | | 3,882 | |
| | | | | | | |
Description | | | | | | Market Value
($ Thousands) | |
PURCHASED OPTIONS — 0.1% |
Total Purchased Options | | | | | | | | |
(Cost $4,458) ($ Thousands) | | | | | | $ | 1,177 | |
| | | | | | | | | |
| | | | | | | | | |
PURCHASED SWAPTIONS — 0.2% |
Total Purchased Swaptions | | | | | | | | |
(Cost $1,420) ($ Thousands) | | | | | | | 1,727 | |
| | | | | | | | | |
Total Investments in Securities — 81.3% | | | | | | | | |
(Cost $249,188) ($ Thousands) | | $ | 673,603 | |
| | | | | | | | | |
| | | | | | | | | |
WRITTEN OPTIONS — (0.4)% |
Total Written Options | | | | | | | | |
(Premiums Received $2,300) ($ Thousands) | | | | | | $ | (3,533 | ) |
| | | | | | | | | |
| | | | | | | | | |
WRITTEN SWAPTIONS — (0.0)% |
Total Written Swaptions | | | | | | | | |
(Premiums Received $300) ($ Thousands) | | | | | | $ | (162 | ) |
| | | | | | | | | |
| | | | | | | | | |
A list of open exchange traded options contracts for the Fund at September 30, 2024, is as follows: |
Description | | Number of Contracts | | | Notional Amount
(Thousands) | | | Exercise Price | | | Expiration Date | | | Value
(Thousands) | |
PURCHASED OPTIONS — 0.1% | | | | | | | | | | | | | | | | |
Call Options | | | | | | | | | | | | | | | | | | | | |
EUR PUT/USD CALL | | | 202,000,000 | | | $ | 212,100 | | | $ | 1.05 | | | | 10/09/2024 | | | $ | – | |
USD CALL / CNH PUT | | | 160,000,000 | | | | 1,160,000 | | | | 7.25 | | | | 8/01/2025 | | | | 1,177 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | | | | $ | 1,372,100 | | | | | | | | | | | $ | 1,177 | |
WRITTEN OPTIONS — (0.4)% | | | | | | | | | | | | | | | | |
Put Options | | | | | | | | | | | | | | | | | | | | |
CNH CALL / USD PUT | | | (160,000,000 | ) | | $ | (1,096,000 | ) | | | 6.85 | | | | 08/01/2025 | | | $ | (3,174 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Call Options | | | | | | | | | | | | | | | | | | | | |
USD CALL / CNH PUT | | | (160,000,000 | ) | | | (1,236,960 | ) | | | 7.73 | | | | 08/01/2025 | | | | (359 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total Written Options | | | | | | $ | (2,332,960 | ) | | | | | | | | | | $ | (3,533 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Dynamic Asset Allocation Fund (Concluded)
A list of open over the counter swaptions contracts for the Fund at September 30, 2024, is as follows: |
Description | | Counterparty | | | Number of Contracts/ Notional Amount | | | Exercise Price | | | Expiration Date | | | Value
(Thousands) | |
PURCHASED SWAPTIONS — 0.2% | | | | | | | | | | | | |
Call Swaptions | | | | | | | | | | | | | | | | |
Swaption Payer | | | Bank of America Merrill Lynch | | | $ | 800,000,000 | | | $ | 0.12 | | | | 05/27/2025 | | | $ | 1,727 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
WRITTEN SWAPTIONS — 0.0% | | | | | | | | | | | | |
Call Swaptions | | | | | | | | | | | | | | | | |
Swaption Payer | | | Bank of America Merrill Lynch | | | $ | (800,000,000 | ) | | | 0.87 | | | | 05/27/2025 | | | $ | (162 | ) |
| | | | | | | | | | | | | | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index E-MINI^ | | | 554 | | | | Dec-2024 | | | $ | 157,638 | | | $ | 161,055 | | | $ | 3,417 | |
| | | | | | | | | | | $ | 157,638 | | | $ | 161,055 | | | $ | 3,417 | |
A list of the open OTC swap agreements held by the Fund at September 30, 2024, is as follows:
Total Return Swap |
Counterparty | | Reference Entity/ Obligation | | | Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional
Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/
Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
Goldman Sachs^ | | | BCOMTR | | | | 3-MONTH TREASURY BILL RATE + 7.5 BPS | | | | Index Return | | | | Annually | | | | 10/12/2024 | | | | USD | | | | 32,020 | | | $ | 1,544 | | | $ | – | | | $ | 1,544 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,544 | | | $ | – | | | $ | 1,544 | |
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2024, is as follows:
Interest Rate Swaps | |
Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
| | | | | | 2.659%^ | | | | CPI | | | | Annually | | | | 2/27/2033 | | | | USD | | | | 103,200 | | | $ | 2,913 | | | $ | – | | | $ | 2,913 | |
| | | | | | FIXED 0.280960% | | | | FLOATING (MUTKCALM Index) | | | | Annually | | | | 05/15/2026 | | | | JPY | | | | 102,200,000 | | | | 1,537 | | | | – | | | | 1,537 | |
| | | | | | 0.29283% | | | | TONAR | | | | Annually | | | | 05/15/2026 | | | | JPY | | | | 81,000,000 | | | | 1,152 | | | | – | | | | 1,152 | |
| | | | | | SOFR | | | | 3.41% | | | | Annually | | | | 12/11/2028 | | | | USD | | | | 399,757 | | | | 2,128 | | | | – | | | | 2,128 | |
| | | | | | 3.432% | | | | SOFR | | | | Annually | | | | 12/11/2056 | | | | USD | | | | 42,027 | | | | (1,219 | ) | | | – | | | | (1,219 | ) |
| | | | | | 3.707% | | | | SOFR | | | | Annually | | | | 03/05/2034 | | | | USD | | | | 160,000 | | | | (2,109 | ) | | | – | | | | (2,109 | ) |
| | | | | | FIXED 3.726% | | | | SOFR | | | | Annually | | | | 06/18/2034 | | | | USD | | | | 76,000 | | | | (990 | ) | | | – | | | | (990 | ) |
| | | | | | FIXED 3.745% | | | | SOFR | | | | Annually | | | | 06/11/2034 | | | | USD | | | | 80,000 | | | | (1,106 | ) | | | – | | | | (1,106 | ) |
| | | | | | FIXED 4.161% | | | | SOFR | | | | Annually | | | | 11/02/2056 | | | | USD | | | | 84,588 | | | | (13,288 | ) | | | – | | | | (13,288 | ) |
| | | | | | FIXED 4.35% | | | | SOFR | | | | Annually | | | | 11/02/2031 | | | | USD | | | | 330,000 | | | | 16,156 | | | | – | | | | 16,156 | |
| | | | | | 2.385%^ | | | | CPI | | | | Annually | | | | 07/31/2029 | | | | USD | | | | 125,000 | | | | (3 | ) | | | – | | | | (3 | ) |
| | | | | | 2.39%^ | | | | CPI | | | | Annually | | | | 07/31/2029 | | | | USD | | | | 125,000 | | | | (32 | ) | | | – | | | | (32 | ) |
| | | | | | 2.4%^ | | | | CPI | | | | Annually | | | | 08/01/2029 | | | | USD | | | | 92,000 | | | | (68 | ) | | | – | | | | (68 | ) |
| | | | | | 4.2725% | | | | SOFR | | | | Annually | | | | 07/22/2025 | | | | USD | | | | 461,000 | | | | (825 | ) | | | – | | | | (825 | ) |
| | | | | | FIXED 4.36% | | | | SOFR | | | | Annually | | | | 07/26/2025 | | | | USD | | | | 207,450 | | | | (540 | ) | | | – | | | | (540 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 3,706 | | | $ | – | | | $ | 3,706 | |
| Percentages are based on Net Assets of $828,111 ($ Thousands). |
^ | Security, or a portion thereof, is held by the Dynamic Commodity Strategy Subsidiary Ltd. as of September 30, 2024. |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
† | Investment in Affiliated Security (see Note 6). |
†† | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Dynamic Asset Allocation Fund (Concluded)
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Common Stock | | | 662,341 | | | | – | | | | – | | | | 662,341 | |
Foreign Common Stock | | | 4,476 | | | | – | | | | – | | | | 4,476 | |
Cash Equivalent | | | 3,882 | | | | – | | | | – | | | | 3,882 | |
Purchased Options | | | 1,177 | | | | – | | | | – | | | | 1,177 | |
Purchased Swaptions | | | – | | | | 1,727 | | | | – | | | | 1,727 | |
Total Investments in Securities | | | 671,876 | | | | 1,727 | | | | – | | | | 673,603 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Written Options | | | (3,533 | ) | | | – | | | | – | | | | (3,533 | ) |
| | Written Swaptions | | | – | | | | (162 | ) | | | – | | | | (162 | ) |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 3,417 | | | | – | | | | – | | | | 3,417 | |
| | OTC Swap | | | | | | | | | | | | | | | | |
| | Total Return Swap* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 1,544 | | | | – | | | | 1,544 | |
| | Centrally Cleared Swaps | | | | | | | | | | | | | | | | |
| | Interest Rate Swaps* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 23,886 | | | | – | | | | 23,886 | |
| | Unrealized Depreciation | | | – | | | | (20,180 | ) | | | – | | | | (20,180 | ) |
Total Other Financial Instruments | | | (116 | ) | | | 5,088 | | | | – | | | | 4,972 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | $ | 2,779 | | | $ | 197,532 | | | $ | (196,429 | ) | | $ | — | | | $ | — | | | $ | 3,882 | | | $ | 323 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS — 29.7% |
Communication Services — 2.1% | | | | |
Altice Financing | | | | | | | | |
5.750%, 08/15/2029 (A) | | $ | 225 | | | $ | 181 | |
Altice France | | | | | | | | |
5.500%, 10/15/2029 (A) | | | 130 | | | | 91 | |
Audacy Capital | | | | | | | | |
6.750%, 03/31/2029 (A)(B) | | | 335 | | | | 7 | |
6.500%, 05/01/2027 (A)(B) | | | 220 | | | | 4 | |
Beasley Mezzanine Holdings | | | | | | | | |
8.625%, 02/01/2026 (A) | | | 900 | | | | 517 | |
CCO Holdings | | | | | | | | |
4.500%, 08/15/2030 (A) | | | 260 | | | | 236 | |
4.250%, 02/01/2031 (A) | | | 125 | | | | 110 | |
Charter Communications Operating | | | | | | | | |
6.550%, 06/01/2034 | | | 205 | | | | 213 | |
3.950%, 06/30/2062 | | | 155 | | | | 96 | |
CSC Holdings | | | | | | | | |
7.500%, 04/01/2028 (A) | | | 135 | | | | 90 | |
6.500%, 02/01/2029 (A) | | | 225 | | | | 187 | |
DISH DBS | | | | | | | | |
7.750%, 07/01/2026 | | | 135 | | | | 117 | |
7.375%, 07/01/2028 | | | 30 | | | | 22 | |
5.750%, 12/01/2028 (A) | | | 170 | | | | 149 | |
5.250%, 12/01/2026 (A) | | | 205 | | | | 189 | |
5.125%, 06/01/2029 | | | 220 | | | | 148 | |
Gray Television | | | | | | | | |
10.500%, 07/15/2029 (A) | | | 145 | | | | 152 | |
5.375%, 11/15/2031 (A) | | | 370 | | | | 231 | |
4.750%, 10/15/2030 (A) | | | 495 | | | | 315 | |
Level 3 Financing | | | | | | | | |
10.750%, 12/15/2030 (A) | | | 290 | | | | 318 | |
4.500%, 04/01/2030 (A) | | | 150 | | | | 116 | |
3.875%, 10/15/2030 (A) | | | 105 | | | | 77 | |
3.750%, 07/15/2029 (A) | | | 145 | | | | 99 | |
3.625%, 01/15/2029 | | | 5 | | | | 3 | |
Lumen Technologies | | | | | | | | |
4.125%, 04/15/2029 (A) | | | 43 | | | | 36 | |
4.125%, 04/15/2030 (A) | | | 119 | | | | 96 | |
Spanish Broadcasting System | | | | | | | | |
9.750%, 03/01/2026 (A) | | | 575 | | | | 377 | |
Univision Communications | | | | | | | | |
8.500%, 07/31/2031 (A) | | | 384 | | | | 386 | |
Urban One | | | | | | | | |
7.375%, 02/01/2028 (A) | | | 800 | | | | 577 | |
Vmed O2 UK Financing I | | | | | | | | |
4.250%, 01/31/2031 (A) | | | 170 | | | | 150 | |
Zayo Group Holdings Inc | | | | | | | | |
6.125%, 03/01/2028 (A) | | | 205 | | | | 170 | |
4.000%, 03/01/2027 (A) | | | 80 | | | | 72 | |
| | | | | | | | | |
| | | | | | | | 5,532 | |
| | | | | | | | | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Communications — 0.3% | | | | |
CMG Media | | | | | | | | |
8.875%, 12/15/2027 (A)(C) | | $ | 680 | | | $ | 398 | |
Diamond Sports Group | | | | | | | | |
6.625%, 08/15/2027 (A)(B) | | | 312 | | | | 4 | |
5.375%, 08/15/2026 (A)(B) | | | 480 | | | | 6 | |
McGraw-Hill Education | | | | | | | | |
7.375%, 09/01/2031 (A) | | | 160 | | | | 166 | |
5.750%, 08/01/2028 (A) | | | 130 | | | | 128 | |
| | | | | | | | | |
| | | | | | | | 702 | |
| | | | | | | | | |
Consumer Discretionary — 7.9% | | | | |
Academy | | | | | | | | |
6.000%, 11/15/2027 (A) | | | 328 | | | | 329 | |
Adient Global Holdings Ltd | | | | | | | | |
4.875%, 08/15/2026 (A) | | | 1,062 | | | | 1,052 | |
Bath & Body Works | | | | | | | | |
6.750%, 07/01/2036 | | | 235 | | | | 242 | |
Brookfield Residential Properties | | | | | | | | |
5.000%, 06/15/2029 (A) | | | 20 | | | | 19 | |
4.875%, 02/15/2030 (A) | | | 110 | | | | 104 | |
Caesars Entertainment | | | | | | | | |
7.000%, 02/15/2030 (A) | | | 130 | | | | 136 | |
Carnival | | | | | | | | |
10.500%, 06/01/2030 (A) | | | 1,836 | | | | 1,994 | |
6.000%, 05/01/2029 (A) | | | 165 | | | | 167 | |
4.000%, 08/01/2028 (A) | | | 50 | | | | 48 | |
Carnival Holdings Bermuda | | | | | | | | |
10.375%, 05/01/2028 (A) | | | 397 | | | | 428 | |
CEC Entertainment | | | | | | | | |
6.750%, 05/01/2026 (A) | | | 1,549 | | | | 1,536 | |
Clarios Global | | | | | | | | |
6.250%, 05/15/2026 (A) | | | 764 | | | | 764 | |
Dave & Buster's | | | | | | | | |
7.625%, 11/01/2025 (A) | | | 1,698 | | | | 1,699 | |
Empire Resorts | | | | | | | | |
7.750%, 11/01/2026 (A) | | | 470 | | | | 453 | |
Garrett Motion Holdings | | | | | | | | |
7.750%, 05/31/2032 (A) | | | 416 | | | | 426 | |
Genting New York | | | | | | | | |
7.250%, 10/01/2029 (A) | | | 125 | | | | 126 | |
GrubHub Holdings | | | | | | | | |
5.500%, 07/01/2027 (A) | | | 350 | | | | 325 | |
Hilton Domestic Operating | | | | | | | | |
4.000%, 05/01/2031 (A) | | | 200 | | | | 187 | |
Jacobs Entertainment | | | | | | | | |
6.750%, 02/15/2029 (A) | | | 270 | | | | 263 | |
Liberty Interactive | | | | | | | | |
8.250%, 02/01/2030 | | | 730 | | | | 376 | |
Life Time | | | | | | | | |
8.000%, 04/15/2026 (A) | | | 1,341 | | | | 1,354 | |
5.750%, 01/15/2026 (A) | | | 1,550 | | | | 1,551 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Monitronics International (Escrow Security) | | | | | | | | |
9.125%, 04/01/2020 (B)(D) | | $ | 495 | | | $ | – | |
NCL | | | | | | | | |
7.750%, 02/15/2029 (A) | | | 461 | | | | 494 | |
6.250%, 03/01/2030 (A) | | | 556 | | | | 556 | |
5.875%, 03/15/2026 (A) | | | 366 | | | | 366 | |
3.625%, 12/15/2024 (A) | | | 767 | | | | 763 | |
Newell Brands | | | | | | | | |
4.875%, 06/01/2025 | | | 1,076 | | | | 1,070 | |
Phinia | | | | | | | | |
6.625%, 10/15/2032 (A) | | | 1,209 | | | | 1,219 | |
QVC | | | | | | | | |
6.875%, 04/15/2029 (A) | | | 189 | | | | 157 | |
Royal Caribbean Cruises | | | | | | | | |
5.625%, 09/30/2031 (A) | | | 959 | | | | 971 | |
S&S Holdings | | | | | | | | |
8.375%, 10/01/2031 (A) | | | 230 | | | | 231 | |
StoneMor | | | | | | | | |
8.500%, 05/15/2029 (A) | | | 360 | | | | 321 | |
Studio City Finance | | | | | | | | |
5.000%, 01/15/2029 (A) | | | 215 | | | | 198 | |
Sugarhouse HSP Gaming Prop Mezz | | | | | | | | |
5.875%, 05/15/2025 (A) | | | 507 | | | | 505 | |
SWF Holdings I | | | | | | | | |
6.500%, 10/01/2029 (A)(C) | | | 80 | | | | 51 | |
Victoria's Secret | | | | | | | | |
4.625%, 07/15/2029 (A) | | | 225 | | | | 199 | |
WW International | | | | | | | | |
4.500%, 04/15/2029 (A) | | | 225 | | | | 50 | |
Wynn Macau | | | | | | | | |
5.125%, 12/15/2029 (A) | | | 150 | | | | 141 | |
Wynn Resorts Finance | | | | | | | | |
7.125%, 02/15/2031 (A) | | | 150 | | | | 162 | |
6.250%, 03/15/2033 (A) | | | 15 | | | | 15 | |
Yum! Brands | | | | | | | | |
5.375%, 04/01/2032 | | | 160 | | | | 159 | |
| | | | | | | | | |
| | | | | | | | 21,207 | |
| | | | | | | | | |
Consumer Staples — 1.2% | | | | |
B&G Foods | | | | | | | | |
5.250%, 04/01/2025 | | | 1,028 | | | | 1,026 | |
Herbalife Nutrition | | | | | | | | |
7.875%, 09/01/2025 (A) | | | 377 | | | | 376 | |
HLF Financing Sarl | | | | | | | | |
12.250%, 04/15/2029 (A) | | | 692 | | | | 690 | |
New Albertsons | | | | | | | | |
8.700%, 05/01/2030 | | | 200 | | | | 221 | |
8.000%, 05/01/2031 | | | 40 | | | | 43 | |
Post Holdings | | | | | | | | |
6.375%, 03/01/2033 (A) | | | 418 | | | | 425 | |
6.250%, 10/15/2034 (A) | | | 308 | | | | 310 | |
5.625%, 01/15/2028 (A) | | | 55 | | | | 55 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
RAD (Escrow Security) | | | | | | | | |
8.000%, 10/18/2024 (A)(B)(C)(D) | | $ | 108 | | | $ | – | |
8.000%, 11/15/2026 (A)(B)(C)(D) | | | 312 | | | | – | |
7.500%, 07/01/2025 (A)(B)(C)(D) | | | 75 | | | | – | |
Rite Aid | | | | | | | | |
15.000%, 08/30/2031 (C)(D) | | | 159 | | | | 88 | |
12.057%, TSFR3M + 7.000%, 08/30/2031 (A)(C)(D)(E) | | | 38 | | | | 35 | |
| | | | | | | | | |
| | | | | | | | 3,269 | |
| | | | | | | | | |
Energy — 4.2% | | | | |
Aethon United BR | | | | | | | | |
8.250%, 02/15/2026 (A) | | | 1,487 | | | | 1,505 | |
7.500%, 10/01/2029 (A) | | | 1,005 | | | | 1,018 | |
Ascent Resources Utica Holdings | | | | | | | | |
9.000%, 11/01/2027 (A) | | | 301 | | | | 360 | |
8.250%, 12/31/2028 (A) | | | 202 | | | | 207 | |
Baytex Energy | | | | | | | | |
7.375%, 03/15/2032 (A) | | | 140 | | | | 140 | |
Blue Racer Midstream | | | | | | | | |
7.250%, 07/15/2032 (A) | | | 85 | | | | 89 | |
7.000%, 07/15/2029 (A) | | | 85 | | | | 89 | |
Civitas Resources | | | | | | | | |
8.625%, 11/01/2030 (A) | | | 135 | | | | 143 | |
Crescent Energy Finance | | | | | | | | |
9.250%, 02/15/2028 (A) | | | 254 | | | | 265 | |
7.375%, 01/15/2033 (A) | | | 786 | | | | 773 | |
Encino Acquisition Partners Holdings | | | | | | | | |
8.750%, 05/01/2031 (A) | | | 83 | | | | 87 | |
Expand Energy Corp | | | | | | | | |
7.500%, 10/01/2026 (D) | | | 170 | | | | 3 | |
7.000%, 10/01/2024 (D) | | | 55 | | | | 1 | |
Genesis Energy | | | | | | | | |
8.000%, 01/15/2027 | | | 145 | | | | 148 | |
7.875%, 05/15/2032 | | | 110 | | | | 112 | |
Greenfire Resources | | | | | | | | |
12.000%, 10/01/2028 (A) | | | 88 | | | | 95 | |
Gulfport Energy Corp | | | | | | | | |
6.750%, 09/01/2029 (A) | | | 384 | | | | 389 | |
Howard Midstream Energy Partners | | | | | | | | |
7.375%, 07/15/2032 (A) | | | 125 | | | | 129 | |
Moss Creek Resources Holdings | | | | | | | | |
8.250%, 09/01/2031 (A) | | | 1,419 | | | | 1,401 | |
Nabors Industries | | | | | | | | |
8.875%, 08/15/2031 (A) | | | 919 | | | | 874 | |
New Fortress Energy | | | | | | | | |
8.750%, 03/15/2029 (A) | | | 200 | | | | 151 | |
Permian Resources Operating | | | | | | | | |
8.000%, 04/15/2027 (A) | | | 1,715 | | | | 1,766 | |
Transocean | | | | | | | | |
7.500%, 04/15/2031 | | | 95 | | | | 88 | |
Venture Global Calcasieu Pass | | | | | | | | |
4.125%, 08/15/2031 (A) | | | 170 | | | | 158 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Venture Global LNG | | | | | | | | |
9.000%, H15T5Y + 5.440%(A)(E)(F) | | $ | 1,347 | | | $ | 1,365 | |
| | | | | | | | | |
| | | | | | | | 11,356 | |
| | | | | | | | | |
Financials — 1.2% | | | | |
CPI CG | | | | | | | | |
10.000%, 07/15/2029 (A) | | | 145 | | | | 153 | |
Finance of America Funding | | | | | | | | |
7.875%, 11/15/2025 (A) | | | 680 | | | | 550 | |
Freedom Mortgage | | | | | | | | |
12.000%, 10/01/2028 (A) | | | 90 | | | | 98 | |
6.625%, 01/15/2027 (A) | | | 230 | | | | 231 | |
Freedom Mortgage Holdings | | | | | | | | |
9.250%, 02/01/2029 (A) | | | 55 | | | | 57 | |
Ladder Capital Finance Holdings LLLP | | | | | | | | |
4.750%, 06/15/2029 (A) | | | 155 | | | | 151 | |
4.250%, 02/01/2027 (A) | | | 135 | | | | 132 | |
LD Holdings Group | | | | | | | | |
6.125%, 04/01/2028 (A) | | | 235 | | | | 208 | |
Midcap Financial Issuer Trust | | | | | | | | |
6.500%, 05/01/2028 (A) | | | 140 | | | | 136 | |
5.625%, 01/15/2030 (A) | | | 155 | | | | 143 | |
Navient | | | | | | | | |
5.500%, 03/15/2029 | | | 60 | | | | 58 | |
Navient MTN | | | | | | | | |
5.625%, 08/01/2033 | | | 130 | | | | 115 | |
OneMain Finance | | | | | | | | |
7.500%, 05/15/2031 | | | 65 | | | | 67 | |
7.125%, 11/15/2031 | | | 165 | | | | 167 | |
3.875%, 09/15/2028 | | | 260 | | | | 241 | |
PennyMac Financial Services | | | | | | | | |
5.750%, 09/15/2031 (A) | | | 285 | | | | 279 | |
4.250%, 02/15/2029 (A) | | | 100 | | | | 96 | |
Starwood Property Trust | | | | | | | | |
3.625%, 07/15/2026 (A) | | | 220 | | | | 212 | |
| | | | | | | | | |
| | | | | | | | 3,094 | |
| | | | | | | | | |
Health Care — 2.8% | | | | |
Akumin | | | | | | | | |
9.000%, 08/01/2027 (A) | | | 425 | | | | 377 | |
8.000%, 08/01/2028 (A) | | | 155 | | | | 127 | |
DaVita | | | | | | | | |
6.875%, 09/01/2032 (A) | | | 35 | | | | 36 | |
3.750%, 02/15/2031 (A) | | | 150 | | | | 135 | |
Embecta | | | | | | | | |
6.750%, 02/15/2030 (A) | | | 235 | | | | 223 | |
5.000%, 02/15/2030 (A) | | | 70 | | | | 64 | |
Emergent BioSolutions | | | | | | | | |
3.875%, 08/15/2028 (A) | | | 1,305 | | | | 995 | |
Endo | | | | | | | | |
9.500%, 12/31/2049 (D) | | | 194 | | | | – | |
6.125%, 12/31/2049 (D) | | | 165 | | | | – | |
6.000%, 12/31/2049 (D) | | | 193 | | | | 1 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.875%, 12/31/2049 (D) | | $ | 85 | | | $ | – | |
0.000%, 04/01/2027 (D)(G) | | | 85 | | | | – | |
Envision Healthcare Corp | | | | | | | | |
8.750%, 10/15/2026 (B)(D) | | | 145 | | | | – | |
Global Medical Response | | | | | | | | |
10.000%, 10/31/2028 (A) | | | 748 | | | | 750 | |
HAH Group Holding | | | | | | | | |
9.750%, 10/01/2031 (A) | | | 615 | | | | 620 | |
LifePoint Health | | | | | | | | |
10.000%, 06/01/2032 (A) | | | 591 | | | | 650 | |
Medline Borrower | | | | | | | | |
3.875%, 04/01/2029 (A) | | | 130 | | | | 123 | |
Molina Healthcare | | | | | | | | |
4.375%, 06/15/2028 (A) | | | 175 | | | | 170 | |
3.875%, 11/15/2030 (A) | | | 60 | | | | 56 | |
Radiology Partners | | | | | | | | |
9.781%, 02/15/2030 (A) | | | 336 | | | | 317 | |
7.775%, 01/31/2029 (A) | | | 519 | | | | 516 | |
Select Medical | | | | | | | | |
6.250%, 08/15/2026 (A) | | | 1,966 | | | | 1,978 | |
Team Health Holdings | | | | | | | | |
13.500%, 06/30/2028 (A) | | | 127 | | | | 142 | |
Tenet Healthcare | | | | | | | | |
6.750%, 05/15/2031 | | | 15 | | | | 16 | |
6.125%, 06/15/2030 | | | 90 | | | | 91 | |
4.375%, 01/15/2030 | | | 170 | | | | 163 | |
| | | | | | | | | |
| | | | | | | | 7,550 | |
| | | | | | | | | |
Industrials — 4.2% | | | | |
Allied Universal Holdco | | | | | | | | |
9.750%, 07/15/2027 (A) | | | 242 | | | | 243 | |
7.875%, 02/15/2031 (A) | | | 2,419 | | | | 2,471 | |
Builders FirstSource | | | | | | | | |
4.250%, 02/01/2032 (A) | | | 140 | | | | 129 | |
Cimpress | | | | | | | | |
7.375%, 09/15/2032 (A) | | | 461 | | | | 465 | |
Delta Air Lines | | | | | | | | |
7.000%, 05/01/2025 (A) | | | 1,071 | | | | 1,082 | |
GFL Environmental | | | | | | | | |
3.750%, 08/01/2025 (A) | | | 1,715 | | | | 1,701 | |
3.500%, 09/01/2028 (A) | | | 169 | | | | 161 | |
Icahn Enterprises | | | | | | | | |
9.000%, 06/15/2030 (A) | | | 150 | | | | 151 | |
Park-Ohio Industries | | | | | | | | |
6.625%, 04/15/2027 | | | 575 | | | | 564 | |
Pitney Bowes | | | | | | | | |
7.250%, 03/15/2029 (A) | | | 185 | | | | 180 | |
6.875%, 03/15/2027 (A) | | | 45 | | | | 45 | |
TransDigm | | | | | | | | |
7.125%, 12/01/2031 (A) | | | 903 | | | | 955 | |
6.000%, 01/15/2033 (A) | | | 486 | | | | 493 | |
Uber Technologies | | | | | | | | |
8.000%, 11/01/2026 (A) | | | 1,332 | | | | 1,334 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
United Airlines | | | | | | | | |
4.625%, 04/15/2029 (A) | | $ | 150 | | | $ | 145 | |
United Rentals North America | | | | | | | | |
4.000%, 07/15/2030 | | | 150 | | | | 142 | |
Waste Pro USA | | | | | | | | |
5.500%, 02/15/2026 (A) | | | 713 | | | | 710 | |
Wrangler Holdco | | | | | | | | |
6.625%, 04/01/2032 (A) | | | 379 | | | | 394 | |
| | | | | | | | | |
| | | | | | | | 11,365 | |
| | | | | | | | | |
Information Technology — 2.6% | | | | |
Acuris Finance US | | | | | | | | |
9.000%, 08/01/2029 (A) | | | 712 | | | | 716 | |
Cloud Software Group | | | | | | | | |
8.250%, 06/30/2032 (A) | | | 2,307 | | | | 2,411 | |
Coherent | | | | | | | | |
5.000%, 12/15/2029 (A) | | | 145 | | | | 142 | |
CommScope | | | | | | | | |
8.250%, 03/01/2027 (A) | | | 45 | | | | 41 | |
7.125%, 07/01/2028 (A) | | | 280 | | | | 232 | |
6.000%, 03/01/2026 (A) | | | 70 | | | | 68 | |
CommScope Technologies | | | | | | | | |
6.000%, 06/15/2025 (A) | | | 21 | | | | 20 | |
5.000%, 03/15/2027 (A) | | | 35 | | | | 29 | |
EquipmentShare.com | | | | | | | | |
8.000%, 03/15/2033 (A) | | | 806 | | | | 825 | |
Intel | | | | | | | | |
5.600%, 02/21/2054 | | | 703 | | | | 685 | |
5.150%, 02/21/2034 | | | 505 | | | | 510 | |
3.050%, 08/12/2051 | | | 606 | | | | 388 | |
Sabre GLBL | | | | | | | | |
8.625%, 06/01/2027 (A) | | | 751 | | | | 739 | |
Viasat | | | | | | | | |
7.500%, 05/30/2031 (A) | | | 250 | | | | 172 | |
6.500%, 07/15/2028 (A) | | | 85 | | | | 67 | |
| | | | | | | | | |
| | | | | | | | 7,045 | |
| | | | | | | | | |
Materials — 1.9% | | | | |
Arsenal AIC Parent | | | | | | | | |
11.500%, 10/01/2031 (A) | | | 561 | | | | 634 | |
Axalta Coating Systems | | | | | | | | |
3.375%, 02/15/2029 (A) | | | 150 | | | | 141 | |
Baffinland Iron Mines | | | | | | | | |
8.750%, 07/15/2026 (A) | | | 585 | | | | 526 | |
Cleveland-Cliffs Inc | | | | | | | | |
7.000%, 03/15/2032 (A) | | | 145 | | | | 147 | |
Cornerstone Chemical | | | | | | | | |
15.000%, 12/06/2028 (D) | | | 514 | | | | 514 | |
10.250%, 09/01/2027 (A)(B)(D) | | | 56 | | | | 56 | |
Domtar | | | | | | | | |
6.750%, 10/01/2028 (A) | | | 360 | | | | 329 | |
First Quantum Minerals | | | | | | | | |
9.375%, 03/01/2029 (A) | | | 50 | | | | 53 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
8.625%, 06/01/2031 (A) | | $ | 150 | | | $ | 150 | |
INEOS Finance | | | | | | | | |
7.500%, 04/15/2029 (A) | | | 125 | | | | 131 | |
Innophos Holdings | | | | | | | | |
9.375%, 02/15/2028 (A) | | | 360 | | | | 335 | |
Iris Holdings | | | | | | | | |
8.750%, 02/15/2026 (A) | | | 5 | | | | 5 | |
Mountain Province Diamonds | | | | | | | | |
9.000%, 12/15/2025 (A)(C)(D) | | | 223 | | | | 210 | |
Northwest Acquisitions ULC | | | | | | | | |
7.125%, 11/01/2022 (A)(B)(C)(D) | | | 460 | | | | – | |
Rain Carbon | | | | | | | | |
12.250%, 09/01/2029 (A) | | | 315 | | | | 340 | |
Rain CII Carbon | | | | | | | | |
7.250%, 04/01/2025 (A) | | | 6 | | | | 6 | |
Tacora Resources | | | | | | | | |
13.000%, 11/03/2023 (A)(B)(C)(D) | | | 23 | | | | – | |
8.250%, 05/15/2026 (A)(B)(C)(D) | | | 175 | | | | 61 | |
Trivium Packaging Finance BV | | | | | | | | |
5.500%, 08/15/2026 (A) | | | 1,256 | | | | 1,251 | |
Tronox | | | | | | | | |
4.625%, 03/15/2029 (A) | | | 355 | | | | 332 | |
| | | | | | | | | |
| | | | | | | | 5,221 | |
| | | | | | | | | |
Real Estate — 0.8% | | | | |
Diversified Healthcare Trust | | | | | | | | |
4.750%, 02/15/2028 | | | 35 | | | | 32 | |
4.375%, 03/01/2031 | | | 635 | | | | 523 | |
Service Properties Trust | | | | | | | | |
5.500%, 12/15/2027 | | | 180 | | | | 171 | |
4.375%, 02/15/2030 | | | 40 | | | | 30 | |
3.950%, 01/15/2028 | | | 40 | | | | 35 | |
Uniti Group | | | | | | | | |
10.500%, 02/15/2028 (A) | | | 125 | | | | 133 | |
6.500%, 02/15/2029 (A) | | | 60 | | | | 52 | |
6.000%, 01/15/2030 (A) | | | 110 | | | | 94 | |
VICI Properties | | | | | | | | |
4.625%, 06/15/2025 (A) | | | 641 | | | | 637 | |
3.500%, 02/15/2025 (A) | | | 454 | | | | 450 | |
| | | | | | | | | |
| | | | | | | | 2,157 | |
| | | | | | | | | |
Utilities — 0.5% | | | | |
Lightning Power | | | | | | | | |
7.250%, 08/15/2032 (A) | | | 594 | | | | 624 | |
Vistra Operations | | | | | | | | |
5.625%, 02/15/2027 (A) | | | 90 | | | | 90 | |
5.500%, 09/01/2026 (A) | | | 55 | | | | 55 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.125%, 05/13/2025 (A) | | $ | 536 | | | $ | 535 | |
| | | | | | | | | |
| | | | | | | | 1,304 | |
| | | | | | | | | |
Total Corporate Obligations | | | | | | | | |
(Cost $83,235) ($ Thousands) | | | | | | | 79,802 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
COMMON STOCK — 23.7% |
| | | | | | | | | |
Communication Services — 3.9% | | | | |
AT&T Inc | | | 112,650 | | | | 2,478 | |
AVAYA Inc *(C)(D) | | | 14,995 | | | | 98 | |
Cable One Inc | | | 5,281 | | | | 1,847 | |
Match Group Inc * | | | 48,474 | | | | 1,834 | |
TKO Group Holdings Inc, Cl A * | | | 15,378 | | | | 1,903 | |
Verizon Communications Inc | | | 54,740 | | | | 2,458 | |
| | | | | | | | | |
| | | | | | | | 10,618 | |
Consumer Discretionary — 4.3% | | | | |
Abercrombie & Fitch Co, Cl A * | | | 1,797 | | | | 251 | |
ADT Inc | | | 7,740 | | | | 56 | |
Aquity Holdings Inc *(D) | | | 3,945 | | | | 1 | |
Caesars Entertainment Inc * | | | 4,395 | | | | 184 | |
DR Horton Inc | | | 10,774 | | | | 2,055 | |
Fox Factory Holding Corp * | | | 8,998 | | | | 374 | |
Golden Entertainment Inc | | | 5,445 | | | | 173 | |
Guitar Center *(C)(D) | | | 2,167 | | | | 265 | |
Las Vegas Sands Corp | | | 28,747 | | | | 1,447 | |
Monitronics International *(D) | | | 443 | | | | 7 | |
Penn Entertainment Inc * | | | 128,618 | | | | 2,426 | |
RH * | | | 721 | | | | 241 | |
Shake Shack Inc, Cl A * | | | 12,366 | | | | 1,276 | |
VF Corp | | | 80,202 | | | | 1,600 | |
WeWork Inc *(D) | | | 13,016 | | | | 169 | |
Wynn Resorts Ltd | | | 10,036 | | | | 962 | |
| | | | | | | | | |
| | | | | | | | 11,487 | |
Consumer Staples — 0.7% | | | | |
Dollar Tree Inc * | | | 25,293 | | | | 1,779 | |
Rite Aid *(C)(D) | | | 381 | | | | — | |
| | | | | | | | | |
| | | | | | | | 1,779 | |
Energy — 1.2% | | | | |
APA Corp | | | 50,595 | | | | 1,238 | |
Crescent Energy, Cl A | | | 9,512 | | | | 104 | |
Nabors Industries Ltd * | | | 3,334 | | | | 215 | |
Parker Drilling Co *(C)(D) | | | 4,414 | | | | 62 | |
San Juan Basin Royalty Trust | | | 168,427 | | | | 623 | |
Transocean Ltd * | | | 264,694 | | | | 1,125 | |
| | | | | | | | | |
| | | | | | | | 3,367 | |
Financials — 1.8% | | | | |
Comerica Inc | | | 12,329 | | | | 739 | |
Copper Property CTL Pass Through Trust (D) | | | 16,286 | | | | 196 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Fifth Third Bancorp | | | 17,145 | | | $ | 734 | |
Marqeta Inc, Cl A * | | | 240,892 | | | | 1,185 | |
New York Community Bancorp | | | 105,893 | | | | 1,189 | |
Western Alliance Bancorp | | | 8,544 | | | | 739 | |
| | | | | | | | | |
| | | | | | | | 4,782 | |
Health Care — 0.3% | | | | |
Carestream Health Holdings Inc *(D) | | | 5,876 | | | | 110 | |
Elanco Animal Health Inc * | | | 20,967 | | | | 308 | |
Endo * | | | 3,939 | | | | 101 | |
Envision Healthcare Corp * | | | 28,581 | | | | 297 | |
Lannett *(D) | | | 15,243 | | | | 33 | |
| | | | | | | | | |
| | | | | | | | 849 | |
Industrials — 2.8% | | | | |
AGCO Corp | | | 417 | | | | 41 | |
Air Transport Services Group Inc * | | | 5,230 | | | | 84 | |
Builders FirstSource Inc * | | | 10,647 | | | | 2,064 | |
GE Vernova Inc * | | | 8,530 | | | | 2,175 | |
United Parcel Service Inc, Cl B | | | 22,618 | | | | 3,084 | |
| | | | | | | | | |
| | | | | | | | 7,448 | |
Information Technology — 2.8% | | | | |
Calix Inc * | | | 11,531 | | | | 447 | |
Elastic NV * | | | 15,889 | | | | 1,220 | |
Entegris Inc | | | 18,495 | | | | 2,081 | |
FormFactor Inc * | | | 5,191 | | | | 239 | |
Lattice Semiconductor Corp * | | | 4,634 | | | | 246 | |
Vishay Intertechnology Inc | | | 103,353 | | | | 1,954 | |
Zoom Video Communications Inc, Cl A * | | | 17,677 | | | | 1,233 | |
| | | | | | | | | |
| | | | | | | | 7,420 | |
Materials — 5.0% | | | | |
Alcoa Corp | | | 56,478 | | | | 2,179 | |
Arctic Canadian Diamond Company Ltd *(D) | | | 228 | | | | 33 | |
ATI Inc * | | | 32,664 | | | | 2,186 | |
Century Aluminum Co * | | | 136,352 | | | | 2,213 | |
Constellium, Cl A * | | | 126,073 | | | | 2,050 | |
Cornerstone Chemical *(D) | | | 26,482 | | | | 543 | |
Freeport-McMoRan Inc, Cl B | | | 42,737 | | | | 2,133 | |
Libbey Glass Inc. *(D) | | | 1,227 | | | | 5 | |
Materion Corp | | | 19,720 | | | | 2,206 | |
| | | | | | | | | |
| | | | | | | | 13,548 | |
Real Estate — 0.9% | | | | |
Healthcare Realty Trust Inc, Cl A ‡ | | | 66,796 | | | | 1,212 | |
Kimco Realty Corp ‡ | | | 52,372 | | | | 1,216 | |
| | | | | | | | | |
| | | | | | | | 2,428 | |
Total Common Stock | | | | | | | | |
(Cost $60,147) ($ Thousands) | | | | | | | 63,726 | |
| | | | | | | | | |
REGISTERED INVESTMENT COMPANIES — 20.4% |
Merger Fund , Cl I * | | | 3,148,221 | | | | 54,684 | |
Sprott Physical Uranium Trust * | | | 16,246 | | | | 315 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
REGISTERED INVESTMENT COMPANIES (continued) |
| | | | | | | | | |
Total Registered Investment Companies | | | | | | | | |
(Cost $52,095) ($ Thousands) | | | | | | $ | 54,999 | |
| | | | | | | | | |
| | | | | | | | | |
| | | Face Amount
(Thousands) | | | | | |
LOAN PARTICIPATIONS — 5.2% |
Acrisure, LLC, Refinancing Term Loan | | | | | | | | |
8.211%, CME Term SOFR + 3.250%, 11/06/2030 (E) | | $ | 190 | | | | 188 | |
Arctic Canadian Diamond Company, Ltd, Term Loan, 1st Lien | | | | | | | | |
10.000%, 06/30/2026 (D) | | | 170 | | | | 170 | |
Asurion, LLC, New B-12 Term Loan, 1st Lien | | | | | | | | |
9.215%, CME Term SOFR + 4.250%, 09/13/2030 (E) | | | 49 | | | | 48 | |
Asurion, LLC, Term B-9 Loan, 1st Lien | | | | | | | | |
8.611%, CME Term SOFR + 3.250%, 07/31/2027 (E) | | | 170 | | | | 167 | |
Avaya Inc., Initial Term Loan, 1st Lien | | | | | | | | |
12.345%, CME Term SOFR + 7.500%, 08/01/2028 (C)(E)(H) | | | 634 | | | | 557 | |
BCP V Everise Acquisition LLC, Term B Loan, 1st Lien | | | | | | | | |
11.335%, CME Term SOFR + 6.000%, 12/14/2029 (E) | | | 316 | | | | 308 | |
BL Spencer, Term Loan B, 1st Lien | | | | | | | | |
10.741%, 07/15/2031 | | | 230 | | | | 230 | |
Carestream Health, Inc., Term Loan, 1st Lien | | | | | | | | |
12.935%, CME Term SOFR + 7.500%, 09/30/2027 (E)(H) | | | 709 | | | | 646 | |
Castle US Holding Corp, Initial Dollar Term Loan | | | | | | | | |
9.111%, CME Term SOFR + 3.750%, 01/29/2027 (E) | | | – | | | | — | |
Castle US Holding Corp., Dollar Term B-2 Loan, 1st Lien | | | | | | | | |
9.319%, CME Term SOFR + 4.000%, 01/29/2027 (E) | | | 182 | | | | 118 | |
Castle US Holding Corp., Initial Dollar Term Loan, 1st Lien | | | | | | | | |
9.069%, CME Term SOFR + 3.750%, 01/29/2027 (E)(H) | | | 247 | | | | 163 | |
Coopers Hawk Intermediate Holding, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
11.861%, CME Term SOFR + 0.050%, 10/31/2026 (E) | | | 231 | | | | 224 | |
Delivery Hero, LLC, Term Loan B, 1st Lien | | | | | | | | |
0.000%, 12/12/2029 | | | 134 | | | | 135 | |
Diamond Sports Group, LLC, Dip Term Loan, 1st Lien | | | | | | | | |
10.167%, 12/02/2024 | | | 45 | | | | 54 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
East Valley Tourist Development Authority , Term Loan, 1st Lien | | | | | | | | |
12.460%, CME Term SOFR + 7.500%, 11/23/2026 (D)(E) | | $ | 146 | | | $ | 143 | |
Envision Healthcare Operating, Inc., Initial Term Loan | | | | | | | | |
13.368%, CME Term SOFR + 8.250%, 12/30/2027 (E) | | | 512 | | | | 512 | |
Epic Y-Grade, Term B Loan, 1st Lien | | | | | | | | |
11.068%, CME Term SOFR + 5.750%, 06/29/2029 (E) | | | 296 | | | | 295 | |
Global Medical Response Inc., Extended Term Loan, 1st Lien | | | | | | | | |
10.461%, CME Term SOFR + 4.750%, 10/31/2028 (E)(H) | | | 928 | | | | 922 | |
Hubbard Radio, Term Loan B-EXT, 1st Lien | | | | | | | | |
9.747%, 09/30/2027 | | | 222 | | | | 174 | |
J.C. Penney Corporation Inc., Term Loan, 1st Lien | | | | | | | | |
5.250%, 06/21/2024 (B)(D)(E) | | | 378 | | | | — | |
KNS Acquistion Corp., Initial Term Loan, 1st Lien | | | | | | | | |
11.210%, CME Term SOFR + 6.250%, 04/21/2027 (C)(E)(H) | | | 577 | | | | 352 | |
Lannett Takeback Exit Term Loan, 1st Lien | | | | | | | | |
2.000%, 06/16/2030 (D) | | | 94 | | | | 94 | |
Libbey Glass LLC, Incremental Term Loan, 1st Lien | | | | | | | | |
11.929%, CME Term SOFR + 6.500%, 11/22/2027 (E) | | | 443 | | | | 437 | |
LifeScan Global Corporation, Initial Term Loan, 1st Lien | | | | | | | | |
11.728%, CME Term SOFR + 6.500%, 12/31/2026 (C)(E)(H) | | | 1,781 | | | | 713 | |
LifeScan Global Corporation, Initial Term Loan, 2nd Lien | | | | | | | | |
14.728%, CME Term SOFR + 9.500%, 03/31/2027 (C)(E) | | | 85 | | | | 3 | |
Mad Engine Term Loan, 1st Lien | | | | | | | | |
12.596%, 07/15/2027 | | | 217 | | | | 175 | |
Magenta Security Holdings LLC, First Out Term Loan, 1st Lien | | | | | | | | |
12.126%, CME Term SOFR + 6.750%, 07/27/2028 (E)(H) | | | 339 | | | | 320 | |
Magenta Security Holdings LLC, Second Out Term Loan, 1st Lien | | | | | | | | |
12.116%, CME Term SOFR + 7.000%, 07/27/2028 (E)(H) | | | 379 | | | | 259 | |
Magenta Security Holdings LLC, Super Priority Term Loan, 1st Lien | | | | | | | | |
11.366%, CME Term SOFR + 6.250%, 07/27/2028 (E)(H) | | | 99 | | | | 100 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
Magenta Security Holdings LLC, Third Out Term Loan, 1st Lien | | | | | | | | |
11.626%, CME Term SOFR + 6.250%, 07/27/2028 (D)(E) | | $ | 120 | | | $ | 35 | |
Matrix Parent Inc., Tranche B Loan | | | | | | | | |
11.278%, 01/23/2025 | | | 14 | | | | 14 | |
Matrix Parent, Inc., Initial Term Loan, 1st Lien | | | | | | | | |
10.459%, CME Term SOFR + 5.000%, 03/01/2029 (B)(D)(E) | | | 489 | | | | 156 | |
Mavenir Systems, Inc., Initial Term Loan, 1st Lien | | | | | | | | |
10.811%, CME Term SOFR + 5.750%, 08/18/2028 (C)(D)(E) | | | 77 | | | | 48 | |
10.073%, CME Term SOFR + 4.750%, 08/18/2028 (C)(D)(E) | | | 875 | | | | 571 | |
Max US Bidco Inc., Initial Term Loan, 1st Lien | | | | | | | | |
10.247%, CME Term SOFR + 5.000%, 10/02/2030 (E) | | | 165 | | | | 155 | |
MI Opco Holdings, Inc., 2023 Term Loan | | | | | | | | |
12.195%, 03/31/2028 | | | 98 | | | | 96 | |
Mountaineer Merger Corp., Initial Term Loan, 1st Lien | | | | | | | | |
12.169%, CME Term SOFR + 7.000%, 10/26/2028 (C)(E) | | | 424 | | | | 343 | |
Naked Juice/Tropicana, Term Loan, 1st Lien | | | | | | | | |
8.685%, CME Term SOFR + 3.250%, 01/24/2029 (E)(H) | | | 308 | | | | 251 | |
Obra TL, 1st Lien | | | | | | | | |
12.530%, 06/21/2029 (D) | | | 325 | | | | 315 | |
Petco Health and Wellness Co., Inc., Initial Term Loan, 1st Lien | | | | | | | | |
8.115%, CME Term SOFR + 3.250%, 03/03/2028 (E) | | | 161 | | | | 153 | |
Pixelle Specialty, 1st Lien | | | | | | | | |
12.752%, 05/19/2028 | | | 324 | | | | 256 | |
Pixelle, 1st Lien | | | | | | | | |
12.016%, 06/12/2025 (D) | | | 14 | | | | 14 | |
Pluto Acquisition I, Inc., Tranche B Term Loan, 1st Lien | | | | | | | | |
9.132%, CME Term SOFR + 4.000%, 09/20/2028 (E) | | | 209 | | | | 190 | |
Premier Brands Group Holdings LLC, Initial Loan, 1st Lien | | | | | | | | |
15.352%, CME Term SOFR + 10.000%, 03/20/2026 (C)(D)(E) | | | 221 | | | | 203 | |
Procera Networks, Inc., Initial Term Loan, 1st Lien | | | | | | | | |
2.000%, 10/31/2025 (D)(E) | | | 684 | | | | 106 | |
Quest Software US Holdings Inc., Initial Term Loan, 1st Lien | | | | | | | | |
9.652%, CME Term SOFR + 4.250%, 02/01/2029 (E)(H) | | | 406 | | | | 270 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
Radiology Partners, Inc., Term B Loan, 1st Lien | | | | | | | | |
10.383%, CME Term SOFR + 5.000%, 01/31/2029 (E)(H) | | $ | 144 | | | $ | 141 | |
Reorg Mobileum Acquistion, LLC, 1st Lien | | | | | | | | |
10.949%, CME Term SOFR + 1.000%, 09/11/2029 (E) | | | 229 | | | | 219 | |
Sabre GLBL Inc., 2021 Other Term B-1 Loan, 1st Lien | | | | | | | | |
8.861%, CME Term SOFR + 3.500%, 12/17/2027 (E) | | | 84 | | | | 79 | |
Sabre GLBL Inc., 2021 Other Term B-2 Loan, 1st Lien | | | | | | | | |
8.861%, CME Term SOFR + 3.500%, 12/17/2027 (E) | | | 133 | | | | 124 | |
Sabre GLBL Inc., 2022 Other Term B Loan, 1st Lien | | | | | | | | |
9.597%, CME Term SOFR + 4.250%, 06/30/2028 (E) | | | 230 | | | | 215 | |
SWF Holdings I Corp., Initial Term Loan, 1st Lien | | | | | | | | |
8.960%, CME Term SOFR + 4.000%, 10/06/2028 (C)(E)(H) | | | 138 | | | | 114 | |
Syniverse Holdings, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
12.335%, CME Term SOFR + 7.000%, 05/13/2027 (E) | | | 227 | | | | 224 | |
Team Health Holdings, Inc., Extended Term Loan, 1st Lien | | | | | | | | |
10.502%, CME Term SOFR + 5.250%, 03/02/2027 (E) | | | 944 | | | | 901 | |
10.497%, CME Term SOFR + 5.250%, 03/02/2027 (E) | | | 3 | | | | 2 | |
Tenneco Inc., Term B Loan, 1st Lien | | | | | | | | |
10.435%, CME Term SOFR + 5.000%, 11/17/2028 (E) | | | – | | | | 1 | |
10.228%, CME Term SOFR + 5.000%, 11/17/2028 (E) | | | 228 | | | | 216 | |
Terrier Media Buyer, Term B Loan, 1st Lien | | | | | | | | |
8.204%, CME Term SOFR + 3.500%, 12/17/2026 (C)(E) | | | 118 | | | | 104 | |
Trinseo Materials Operating S.C.A., Incremental Term Loan | | | | | | | | |
7.819%, CME Term SOFR + 2.500%, 05/03/2028 (E) | | | 171 | | | | 135 | |
Upstream Newco, Inc., August 2021 Incremental Term Loan, 1st Lien | | | | | | | | |
9.764%, CME Term SOFR + 4.250%, 11/20/2026 (E) | | | – | | | | — | |
WarHorse Gaming, LLC, Closing Date Term Loan, 1st Lien | | | | | | | | |
14.195%, CME Term SOFR + 9.250%, 06/30/2028 (D)(E) | | | 269 | | | | 279 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
Xplornet Communications, Inc., Refinancing Term Loan, 1st Lien | | | | | | | | |
9.571%, CME Term SOFR + 4.000%, 10/02/2028 (B)(C)(D)(E) | | $ | 843 | | | $ | 140 | |
Zayo Group Holdings, Inc., Initial Dollar Term Loan, 1st Lien | | | | | | | | |
7.960%, CME Term SOFR + 3.000%, 03/09/2027 (E) | | | 409 | | | | 373 | |
| | | | | | | | | |
| | | | | | | | | |
Total Loan Participations | | | | | | | | |
(Cost $16,263) ($ Thousands) | | | | | | | 13,950 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
FOREIGN COMMON STOCK — 2.6% |
| | | | | | | | | |
Australia — 0.4% | | | | |
Materials — 0.4% | | | | |
Burgundy Diamond Mines Ltd * | | | 450,932 | | | | 42 | |
Lynas Rare Earths * | | | 196,311 | | | | 1,092 | |
| | | | | | | | | |
| | | | | | | | 1,134 | |
| | | | | | | | | |
| | | | | | | | | |
Belgium — 0.2% | | | | |
Information Technology — 0.2% | | | | |
X-Fab Silicon Foundries * | | | 86,075 | | | | 487 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Canada — 1.2% | | | | |
Energy — 0.4% | | | | |
Greenfire Resources * | | | 27,132 | | | | 202 | |
NexGen Energy * | | | 129,471 | | | | 845 | |
| | | | | | | | | |
| | | | | | | | 1,047 | |
| | | | | | | | | |
Materials — 0.8% | | | | |
Hudbay Minerals | | | 235,006 | | | | 2,160 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 3,207 | |
| | | | | | | | | |
Monaco — 0.7% | | | | |
Energy — 0.7% | | | | |
Scorpio Tankers Inc | | | 27,879 | | | | 1,988 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Norway — 0.1% | | | | |
Energy — 0.1% | | | | |
OKEA | | | 59,035 | | | | 122 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Total Foreign Common Stock | | | | | | | | |
(Cost $6,467) ($ Thousands) | | | | | | | 6,938 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
U.S. TREASURY OBLIGATION — 0.4% |
U.S. Treasury Bill | | | | | | | | |
4.683%, 11/12/2024 (I) | | $ | 1,000 | | | $ | 995 | |
| | | | | | | | | |
Total U.S. Treasury Obligation | | | | | | | | |
(Cost $995) ($ Thousands) | | | 995 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
MORTGAGE-BACKED SECURITIES — 0.2% |
Non-Agency Mortgage-Backed Obligations — 0.2% | | | | |
BX Commercial Mortgage Trust, Ser 2022-CSMO, Cl D | | | | | | | | |
9.434%, TSFR1M + 4.337%, 06/15/2027(A)(E) | | | 245 | | | | 246 | |
STWD, Ser 2021-FL2, Cl D | | | | | | | | |
7.929%, TSFR1M + 2.914%, 04/18/2038(A)(E) | | | 100 | | | | 94 | |
STWD, Ser 2021-FL2, Cl E | | | | | | | | |
8.679%, TSFR1M + 3.664%, 04/18/2038(A)(E) | | | 100 | | | | 92 | |
TRTX, Ser 2021-FL4, Cl D | | | | | | | | |
8.797%, TSFR1M + 3.714%, 03/15/2038(A)(E) | | | 100 | | | | 96 | |
TRTX, Ser 2021-FL4, Cl E | | | | | | | | |
9.547%, TSFR1M + 4.464%, 03/15/2038(A)(E) | | | 100 | | | | 94 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 622 | |
Total Mortgage-Backed Securities | | | | | | | | |
(Cost $644) ($ Thousands) | | | | | | | 622 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
PREFERRED STOCK — 0.2% |
| | | | | | | | | |
Consumer Discretionary — 0.0% | | | | |
Guitar Center *(C)(D)(F)(G) | | | 39 | | | | 3 | |
| | | | | | | | | |
| | | | | | | | | |
Information Technology — 0.2% | | | | |
Syniverse *(D)(F)(G) | | | 560,381 | | | | 551 | |
| | | | | | | | | |
| | | | | | | | | |
Total Preferred Stock | | | | | | | | |
(Cost $555) ($ Thousands) | | | | | | | 554 | |
| | | Face Amount
(Thousands) | | | | | |
CONVERTIBLE BONDS — 0.1% |
Authentic Brands | | | | | | | | |
5.000%, 09/01/2029(D) | | $ | 33 | | | | 25 | |
Liberty Interactive | | | | | | | | |
4.000%, 11/15/2029 | | | 54 | | | | 19 | |
3.750%, 02/15/2030 | | | 522 | | | | 180 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CONVERTIBLE BONDS (continued) |
North Sea Natural Resources | | | | | | | | |
0.000%, 01/23/2028(D)(G) | | $ | 94 | | | $ | 9 | |
0.000%, 01/23/2028(D)(G) | | | 15 | | | | 2 | |
0.000%, 01/23/2028(D)(G) | | | 7 | | | | 1 | |
Rite Aid | | | | | | | | |
12.000%, 12/31/2025(C)(D) | | | 34 | | | | 34 | |
0.000%, 12/31/2049(C)(D)(G) | | | 38 | | | | 22 | |
Silver Airways LLC | | | | | | | | |
15.000%, 12/31/2027(D) | | | 820 | | | | – | |
Tacora Restructure | | | | | | | | |
13.000%, 09/19/2031(C)(D) | | | 12 | | | | 12 | |
| | | | | | | | | |
Total Convertible Bonds | | | | | | | | |
(Cost $1,253) ($ Thousands) | | | | | | | 304 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | Number of
Warrants | | | | | |
WARRANTS — 0.0% |
Greenfire RES, Expires 09/20/2028 | | | | | | | | |
Strike Price $– * | | | 1,088 | | | | 3 | |
Guitar Center, Expires 12/22/2070 | | | | | | | | |
Strike Price $100.00 *(C)(D) | | | 574 | | | | 27 | |
Guitar Center, Expires 12/22/2070 | | | | | | | | |
Strike Price $160.00 *(C)(D) | | | 574 | | | | 13 | |
Silver Airways LLC | | | | | | | | |
Strike Price $– *‡‡(D) | | | – | | | | – | |
Tacora Resources | | | | | | | | |
Strike Price $– *‡‡(C)(D) | | | 3,403 | | | | 3 | |
| | | | | | | | | |
| | | | | | | | | |
Total Warrants | | | | | | | | |
(Cost $55) ($ Thousands) | | | | | | | 46 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
CASH EQUIVALENT — 7.5% |
SEI Daily Income Trust, Government Fund, Institutional Class | | | | | | | | |
4.890%**† | | | 20,100,123 | | | | 20,100 | |
Total Cash Equivalent | | | | | | | | |
(Cost $20,100) ($ Thousands) | | | | | | | 20,100 | |
| | | | | | | | | |
PURCHASED OPTIONS — 0.0% |
Total Purchased Options | | | | | | | | |
(Cost $39) ($ Thousands) | | | | | | | 33 | |
| | | | | | | | | |
Total Investments in Securities — 90.0% | | | | | | | | |
(Cost $241,848) ($ Thousands) | | $ | 242,069 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
COMMON STOCK SOLD SHORT— (8.7)% |
Communication Services — (0.6)% | | | | |
Magnite * | | | (22,950 | ) | | | (318 | ) |
Reddit, Cl A * | | | (6,843 | ) | | | (451 | ) |
Yelp Inc, Cl A * | | | (22,006 | ) | | | (772 | ) |
| | | | | | | | | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK SOLD SHORT (continued) |
| | | | | | | | | |
| | | | | | | | (1,541 | ) |
| | | | | | | | | |
Consumer Discretionary — (2.4)% | | | | |
Cheesecake Factory Inc/The | | | (11,068 | ) | | $ | (449 | ) |
Columbia Sportswear Co | | | (8,817 | ) | | | (733 | ) |
Crocs Inc * | | | (5,020 | ) | | | (727 | ) |
Floor & Decor Holdings Inc, Cl A * | | | (3,902 | ) | | | (484 | ) |
Hilton Grand Vacations Inc * | | | (15,592 | ) | | | (566 | ) |
iRobot * | | | (66,049 | ) | | | (574 | ) |
Sweetgreen Inc, Cl A * | | | (13,000 | ) | | | (461 | ) |
Toll Brothers Inc | | | (3,942 | ) | | | (609 | ) |
Urban Outfitters Inc * | | | (16,087 | ) | | | (616 | ) |
Williams-Sonoma Inc | | | (3,115 | ) | | | (483 | ) |
Wyndham Hotels & Resorts Inc | | | (9,721 | ) | | | (760 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | (6,462 | ) |
| | | | | | | | | |
Consumer Staples — (0.4)% | | | | |
elf Beauty Inc * | | | (2,133 | ) | | | (232 | ) |
Target Corp, Cl A | | | (5,939 | ) | | | (926 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | (1,158 | ) |
| | | | | | | | | |
Financials — (1.4)% | | | | |
Block Inc, Cl A * | | | (7,017 | ) | | | (471 | ) |
Evercore Inc, Cl A | | | (3,056 | ) | | | (774 | ) |
Goldman Sachs Group Inc/The | | | (2,124 | ) | | | (1,052 | ) |
JPMorgan Chase & Co | | | (5,024 | ) | | | (1,059 | ) |
Runway Growth Finance | | | (46,254 | ) | | | (476 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | (3,832 | ) |
| | | | | | | | | |
Industrials — (1.6)% | | | | |
ArcBest Corp | | | (5,011 | ) | | | (544 | ) |
Caterpillar Inc, Cl A | | | (1,159 | ) | | | (453 | ) |
CH Robinson Worldwide Inc | | | (5,890 | ) | | | (650 | ) |
Expeditors International of Washington Inc | | | (6,307 | ) | | | (829 | ) |
Matson Inc | | | (6,487 | ) | | | (925 | ) |
Mueller Industries Inc | | | (2,117 | ) | | | (157 | ) |
United Rentals Inc | | | (742 | ) | | | (601 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | (4,159 | ) |
| | | | | | | | | |
Information Technology — (0.9)% | | | | |
Badger Meter Inc | | | (703 | ) | | | (154 | ) |
Crowdstrike Holdings Inc, Cl A * | | | (1,617 | ) | | | (453 | ) |
Microchip Technology Inc | | | (1,880 | ) | | | (151 | ) |
NVIDIA Corp | | | (2,589 | ) | | | (314 | ) |
ON Semiconductor Corp * | | | (2,042 | ) | | | (148 | ) |
Procore Technologies Inc * | | | (4,967 | ) | | | (307 | ) |
Xerox Holdings Corp | | | (81,881 | ) | | | (850 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | (2,377 | ) |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK SOLD SHORT (continued) |
Materials — (0.6)% | | | | |
Ball Corp | | | (9,050 | ) | | $ | (615 | ) |
Crown Holdings Inc | | | (4,921 | ) | | | (472 | ) |
PureCycle Technologies * | | | (59,707 | ) | | | (567 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | (1,654 | ) |
| | | | | | | | | |
Real Estate — (0.8)% | | | | |
Lamar Advertising Co, Cl A | | | (10,040 | ) | | | (1,341 | ) |
Regency Centers Corp | | | (8,486 | ) | | | (613 | ) |
Zillow Group Inc, Cl A * | | | (4,986 | ) | | | (309 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | (2,263 | ) |
| | | | | | | | | |
Total Common Stock Sold Short | | | | | | | | |
(Proceeds $22,499) ($ Thousands) | | | | | | | (23,446 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | Face Amount
(Thousands) | | | | | |
CORPORATE OBLIGATIONS SOLD SHORT — (3.4)% |
Communication Services — (0.3)% | | | | |
CCO Holdings | | | | | | | | |
5.000%, 02/01/2028 (A) | | $ | (304 | ) | | | (296 | ) |
Midcontinent Communications | | | | | | | | |
8.000%, 08/15/2032 (A) | | | (205 | ) | | | (208 | ) |
Sirius XM Radio | | | | | | | | |
5.500%, 07/01/2029 (A) | | | (346 | ) | | | (338 | ) |
| | | | | | | | (842 | ) |
Consumer Discretionary — (1.0)% | | | | |
Caesars Entertainment | | | | | | | | |
4.625%, 10/15/2029 (A) | | | (220 | ) | | | (209 | ) |
Dana | | | | | | | | |
5.625%, 06/15/2028 | | | (335 | ) | | | (328 | ) |
4.250%, 09/01/2030 | | | (140 | ) | | | (126 | ) |
Fertitta Entertainment | | | | | | | | |
6.750%, 01/15/2030 (A) | | | (525 | ) | | | (489 | ) |
Global Auto Holdings | | | | | | | | |
8.375%, 01/15/2029 (A) | | | (315 | ) | | | (305 | ) |
Newell Brands | | | | | | | | |
6.375%, 09/15/2027 | | | (210 | ) | | | (212 | ) |
PetSmart | | | | | | | | |
7.750%, 02/15/2029 (A) | | | (725 | ) | | | (716 | ) |
Tempur Sealy International | | | | | | | | |
4.000%, 04/15/2029 (A) | | | (245 | ) | | | (228 | ) |
3.875%, 10/15/2031 (A) | | | (115 | ) | | | (103 | ) |
| | | | | | | | (2,716 | ) |
Consumer Staples — (0.1)% | | | | |
Garda World Security | | | | | | | | |
6.000%, 06/01/2029 (A) | | | (244 | ) | | | (234 | ) |
| | | | | | | | | |
Energy — (0.1)% | | | | |
Nabors Industries | | | | | | | | |
9.125%, 01/31/2030 (A) | | | (178 | ) | | | (184 | ) |
| | | | | | | | | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS SOLD SHORT (continued) |
Financials — (0.3)% | | | | |
Champions Financing | | | | | | | | |
8.750%, 02/15/2029 (A) | | $ | (625 | ) | | $ | (636 | ) |
CoreLogic | | | | | | | | |
4.500%, 05/01/2028 (A) | | | (345 | ) | | | (326 | ) |
| | | | | | | | (962 | ) |
Health Care — (0.2)% | | | | |
Fortrea Holdings | | | | | | | | |
7.500%, 07/01/2030 (A) | | | (568 | ) | | | (572 | ) |
| | | | | | | | | |
Industrials — (0.7)% | | | | |
ACCO Brands | | | | | | | | |
4.250%, 03/15/2029 (A) | | | (355 | ) | | | (332 | ) |
Alta Equipment Group | | | | | | | | |
9.000%, 06/01/2029 (A) | | | (210 | ) | | | (188 | ) |
Artera Services | | | | | | | | |
8.500%, 02/15/2031 (A) | | | (630 | ) | | | (624 | ) |
Husky Injection Molding Systems | | | | | | | | |
9.000%, 02/15/2029 (A) | | | (475 | ) | | | (496 | ) |
Madison IAQ | | | | | | | | |
4.125%, 06/30/2028 (A) | | | (202 | ) | | | (195 | ) |
| | | | | | | | (1,835 | ) |
Materials — (0.3)% | | | | |
SCIH Salt Holdings | | | | | | | | |
4.875%, 05/01/2028 (A) | | | (375 | ) | | | (362 | ) |
Scotts Miracle-Gro | | | | | | | | |
4.500%, 10/15/2029 | | | (378 | ) | | | (363 | ) |
| | | | | | | | (725 | ) |
Real Estate — (0.4)% | | | | |
Service Properties Trust | | | | | | | | |
8.375%, 06/15/2029 | | | (770 | ) | | | (769 | ) |
4.950%, 02/15/2027 | | | (210 | ) | | | (199 | ) |
| | | | | | | | (968 | ) |
Total Corporate Obligations Sold Short | | | | | | | | |
(Proceeds $8,821) ($ Thousands) | | | | | | | (9,038 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
REGISTERED INVESTMENT COMPANIES — (2.3)% |
iShares Russell 2000 ETF | | | (13,889 | ) | | | (3,068 | ) |
SPDR S&P 500 ETF Trust | | | (5,359 | ) | | | (3,075 | ) |
| | | | | | | | | |
Total Registered Investment Companies | | | | | | | | |
(Proceeds $6,134) ($ Thousands) | | | | | | | (6,143 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | Face Amount
(Thousands) | | | | | |
U.S. TREASURY OBLIGATIONS SOLD SHORT — (0.5)% |
U.S. Treasury Bonds | | | | | | | | |
4.625%, 05/15/2054 | | $ | (870 | ) | | | (944 | ) |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
U.S. TREASURY OBLIGATIONS (continued) |
U.S. Treasury Notes | | | | | | | | |
3.875%, 08/15/2034 | | $ | (444 | ) | | $ | (447 | ) |
Total U.S. Treasury Obligations Sold Short | | | | |
(Proceeds $1,417) ($ Thousands) | | | (1,391 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
FOREIGN COMMON STOCK SOLD SHORT —(0.3)% |
Germany — (0.3)% | | | | |
Health Care — (0.3)% | | | | |
Demant * | | | (24,004 | ) | | | (955 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Total Foreign Common Stock Sold Short | | | | | | | | |
(Proceeds $812) ($ Thousands) | | | | | | | (955 | ) |
| | | | | | | | | |
| | | | | | | | | |
Total Investments Sold Short — (15.2)% | | | | | | | | |
(Proceeds $39,683) ($ Thousands) | | $ | (40,973 | ) |
| | | | | | | | | |
| | | | | | | | | |
WRITTEN OPTION — (0.0)% |
Total Written Option | | | | | | | | |
(Premiums Received $3) ($ Thousands) | | | | | | $ | – | |
| | | | | | | | | |
| | | | | | | | | |
A list of open exchange traded options contracts for the Fund at September 30, 2024, is as follows: |
Description | | Number of Contracts | | | Notional Amount
(Thousands) | | | Exercise Price | | | Expiration Date | | | Value
(Thousands) | |
PURCHASED OPTIONS — 0.0% | | | | | | | | | | | | | | | | |
Put Options | | | | | | | | | | | | | | | | | | | | |
Marathon Petroleum Corp | | | 33 | | | $ | 544 | | | $ | 165.00 | | | | 11/16/2024 | | | $ | 29 | |
Tesla Inc | | | 25 | | | | 275 | | | | 110.00 | | | | 10/19/2024 | | | | – | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 819 | | | | | | | | | | | | 29 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Call Options | | | | | | | – | | | | | | | | | | | | – | |
New Fortress Energy Inc | | | 81 | | | | 122 | | | | 15.00 | | | | 11/16/2024 | | | | 4 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | | | | $ | 941 | | | | | | | | | | | $ | 33 | |
WRITTEN OPTION — 0.0% | | | | | | | | | | | | | | | | |
Put Options | | | | | | | | | | | | | | | | | | | | |
Tesla Inc | | | (25 | ) | | $ | (200 | ) | | | 80.00 | | | | 10/19/2024 | | | $ | – | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total Written Option | | | | | | $ | (200 | ) | | | | | | | | | | $ | – | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Continued)
A list of the open forward foreign currency contracts held by the Fund at September 30, 2024, is as follows: |
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Barclays PLC | | | 12/12/24 | | | | AUD | | | | 97 | | | | USD | | | | 65 | | | $ | (2 | ) |
BNYMellon | | | 12/18/24 | | | | USD | | | | 338 | | | | CAD | | | | 458 | | | | 2 | |
BNYMellon | | | 12/18/24 | | | | CAD | | | | 458 | | | | USD | | | | 338 | | | | (2 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | (2 | ) |
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2024 is as follows:
Credit Default Swaps - Buy Protection | | | |
Reference Entity/ Obligation | | Pay Rate | | | Payment Frequency | | | Termination Date | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
CDX HY43 500 12/29 | | | 5.00% | | | | Quarterly | | | | 12/20/2029 | | | $ | 980 | | | $ | (71 | ) | | $ | (70 | ) | | $ | (1 | ) |
CDX IG43 100 12/29 | | | 1.00% | | | | Quarterly | | | | 12/20/2029 | | | | 1,915 | | | | (43 | ) | | | (43 | ) | | | – | |
CDX IG43 100 12/29 | | | 1.00% | | | | Quarterly | | | | 12/20/2029 | | | | 11,538 | | | | (256 | ) | | | (260 | ) | | | 4 | |
| | | | | | | | | | | | | | | | | | | $ | (370 | ) | | $ | (373 | ) | | $ | 3 | |
| Percentages are based on Net Assets of $269,029 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
† | Investment in Affiliated Security (see Note 6). |
(A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2024, the value of these securities amounted to $65,181 ($ Thousands), representing 24.2% of the Net Assets of the Fund. |
(B) | Security is in default on interest payment. |
(C) | Security considered restricted, excluding 144A. The total market value of such securities as of September 30, 2024 was $4,530 ($ Thousands) and represented 1.7% of the Net Assets of the Fund. See table below for acquisition dates and acquisition cost. |
(D) | Level 3 security in accordance with fair value hierarchy. |
(E) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(F) | Perpetual security with no stated maturity date. |
(G) | No interest rate available. |
(H) | Unsettled bank loan. Interest rate may not be available. |
(I) | Interest rate represents the security's effective yield at the time of purchase. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
Corporate Obligations | | | – | | | | 78,833 | | | | 969 | | | | 79,802 | |
Common Stock | | | 61,806 | | | | 398 | | | | 1,522 | | | | 63,726 | |
Registered Investment Companies | | | 54,999 | | | | – | | | | – | | | | 54,999 | |
Loan Participations | | | – | | | | 11,676 | | | | 2,274 | | | | 13,950 | |
Foreign Common Stock | | | 6,938 | | | | – | | | | – | | | | 6,938 | |
U.S. Treasury Obligation | | | – | | | | 995 | | | | – | | | | 995 | |
Mortgage-Backed Securities | | | – | | | | 622 | | | | – | | | | 622 | |
Preferred Stock | | | – | | | | – | | | | 554 | | | | 554 | |
Convertible Bonds | | | – | | | | 199 | | | | 105 | | | | 304 | |
Warrants | | | 3 | | | | – | | | | 43 | | | | 46 | |
Cash Equivalent | | | 20,100 | | | | – | | | | – | | | | 20,100 | |
Purchased Options | | | 33 | | | | – | | | | – | | | | 33 | |
Total Investments in Securities | | | 143,879 | | | | 92,723 | | | | 5,467 | | | | 242,069 | |
Securities Sold Short | | | | | | | | | | | | | | | | |
Common Stock | | | (23,446 | ) | | | – | | | | – | | | | (23,446 | ) |
Corporate Obligations | | | – | | | | (9,038 | ) | | | – | | | | (9,038 | ) |
Registered Investment Companies | | | (6,143 | ) | | | – | | | | – | | | | (6,143 | ) |
U.S. Treasury Obligations | | | – | | | | (1,391 | ) | | | – | | | | (1,391 | ) |
Foreign Common Stock | | | (955 | ) | | | – | | | | – | | | | (955 | ) |
Total Securities Sold Short | | | (30,544 | ) | | | (10,429 | ) | | | – | | | | (40,973 | ) |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Written Options | | | – | ^ | | | – | | | | – | | | | – | |
| | Forward Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 2 | | | | – | | | | 2 | |
| | Unrealized Depreciation | | | – | | | | (4 | ) | | | – | | | | (4 | ) |
| | Centrally Cleared Swaps | | | | | | | | | | | | | | | | |
| | Credit Default Swaps* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 4 | | | | – | | | | 4 | |
| | Unrealized Depreciation | | | – | | | | (1 | ) | | | – | | | | (1 | ) |
Total Other Financial Instruments | | | – | | | | 1 | | | | – | | | | 1 | |
| | | | | | | | | | | | | | | | | | |
* | Forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
^ This category includes other Financial Instruments with a value less than $500.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Concluded)
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
| | | Investments in Common Stock | | | Investments in Corporate Obligations | | | Investments in Loan Participations | | | Investments in Convertible Bond | | | Investments in Preferred Stock | | | Investments in Warrants | |
Balance as of October 1, 2023 | | $ | 651 | | | $ | 1,052 | | | $ | 1,414 | | | $ | 734 | | | $ | 479 | | | $ | 49 | |
Accrued discounts/premiums | | | – | | | | 5 | | | | (2 | ) | | | 1 | | | | – | | | | – | |
Realized gain/(loss) | | | 751 | | | | (654 | ) | | | (5 | ) | | | – | | | | – | | | | – | |
Change in unrealized appreciation/(depreciation) | | | (438 | ) | | | 452 | | | | 10 | | | | (896 | ) | | | 11 | | | | (9 | ) |
Purchases | | | 323 | | | | 587 | | | | 317 | | | | 211 | | | | 64 | | | | – | |
Sales | | | (58 | ) | | | (658 | ) | | | (1,012 | ) | | | (7 | ) | | | – | | | | – | |
Net transfer into Level 3 | | | 293 | | | | 185 | | | | 1,552 | | | | 62 | | | | – | | | | 3 | |
Net transfer out of Level 3 | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
Ending Balance as of September 31, 2024(1) | | $ | 1,522 | | | $ | 969 | | | $ | 2,274 | | | $ | 105 | | | $ | 554 | | | $ | 43 | |
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date | | $ | (569 | ) | | $ | 514 | | | $ | (1,316 | ) | | $ | (896 | ) | | $ | 11 | | | $ | (9 | ) |
(1) Of the $5,467 ($ Thousands) in Level 3 securities as of September 30, 2024, $3,365 ($ Thousands) or 1.3% of the Net Assets of the Fund are not valued via third party pricing vendors and broker quotes. If significant, the disclosure of the unobservable inputs and the interrelationships and sensitivity between these inputs are required for those Level 3 securities that are not valued by third party pricing vendors or broker quotes. The value of these securities is immaterial and no further disclosure is required.
For the year ended September 30, 2024, there were transfers between Level 2 and Level 3 assets and liabilities due to the availability of observable inputs to determine fair value.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the Fund’s transactions with affiliates for the year ended September 30, 2024 ($ Thousands): |
| |
Security Description | | Value
9/30/2023 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Realized Gain (Loss) | | | Change in Unrealized Appreciation (Depreciation) | | | Value
9/30/2024 | | | Income | | | Capital Gains | |
SEI Daily Income Trust, Government Fund,
Institutional Class | | $ | 92,197 | | | $ | 445,411 | | | $ | (517,508 | ) | | $ | — | | | $ | — | | | $ | 20,100 | | | $ | 2,502 | | | $ | — | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Strategy Alternative Fund (Concluded)
A list of the restricted securities, excluding 144a, held by the Fund at September 30, 2024, is as follows: |
Description | | Face Amount ($ Thousands)/ Shares/ Number of Warrants | | | Acquisition Date | | | Cost ($ Thousands) | | | Market Value
($ Thousands) | |
Corporate Obligations | | | | | | | | | | | | | | | | |
CMG Media | | $ | 680 | | | | 12/12/2019 | | | $ | 593 | | | $ | 398 | |
Mountain Province Diamonds | | | 223 | | | | 12/16/2022 | | | | 220 | | | | 210 | |
Northwest Acquisitions ULC | | | 460 | | | | 10/1/2019 | | | | 419 | | | | – | |
RAD (Escrow Security) | | | 495 | | | | 9/4/2024 | | | | – | | | | – | |
Rite Aid | | | 197 | | | | 9/4/2024 | | | | 123 | | | | 123 | |
SWF Holdings I | | | 80 | | | | 5/28/2024 | | | | 83 | | | | 51 | |
Tacora Resources | | | 23 | | | | 5/24/2023 | | | | – | | | | – | |
Tacora Resources | | | 175 | | | | 5/7/2021 | | | | – | | | | 61 | |
Common Stock | | | | | | | | | | | | | | | | |
AVAYA Inc | | | 14,995 | | | | 5/5/2023 | | | | 225 | | | | 98 | |
Guitar Center | | | 2,167 | | | | 1/8/2021 | | | | 275 | | | | 265 | |
Parker Drilling Co | | | 4,414 | | | | 3/26/2019 | | | | 56 | | | | 62 | |
Rite Aid | | | 381 | | | | 9/4/2024 | | | | – | | | | – | |
Loan Participations | | | | | | | | | | | | | | | | |
Avaya Inc., Initial Term Loan, 1st Lien | | | 634 | | | | 5/1/2023 | | | | 585 | | | | 557 | |
KNS Acquistion Corp., Initial Term Loan, 1st Lien | | | 577 | | | | 7/13/2023 | | | | 537 | | | | 352 | |
LifeScan Global Corporation, Initial Term Loan, 1st Lien | | | 1,781 | | | | 6/19/2018 | | | | 1,560 | | | | 713 | |
LifeScan Global Corporation, Initial Term Loan, 2nd Lien | | | 85 | | | | 9/1/2021 | | | | 82 | | | | 3 | |
Mavenir Systems, Inc., Initial Term Loan, 1st Lien | | | 77 | | | | 7/8/2022 | | | | 73 | | | | 48 | |
Mavenir Systems, Inc., Initial Term Loan, 1st Lien | | | 875 | | | | 8/13/2021 | | | | 765 | | | | 571 | |
Mountaineer Merger Corp., Initial Term Loan, 1st Lien | | | 424 | | | | 10/22/2021 | | | | 353 | | | | 343 | |
Premier Brands Group Holdings LLC, Initial Loan, 1st Lien | | | 221 | | | | 3/21/2019 | | | | 201 | | | | 203 | |
SWF Holdings I Corp., Initial Term Loan, 1st Lien | | | 138 | | | | 5/30/2024 | | | | 117 | | | | 114 | |
Terrier Media Buyer, Term B Loan, 1st Lien | | | 118 | | | | 6/6/2024 | | | | 104 | | | | 104 | |
Xplornet Communications, Inc., Refinancing Term Loan, 1st Lien | | | 843 | | | | 1/26/2023 | | | | 702 | | | | 140 | |
Preferred Stock | | | | | | | | | | | | | | | | |
Guitar Center | | | 39 | | | | 1/8/2021 | | | | 4 | | | | 3 | |
Convertible Bond | | | | | | | | | | | | | | | | |
Rite Aid | | | 38 | | | | 9/4/2024 | | | | 22 | | | | 22 | |
Rite Aid | | | 34 | | | | 8/27/2024 | | | | 28 | | | | 34 | |
Tacora Restructure | | | 12 | | | | 9/19/2024 | | | | 12 | | | | 12 | |
Warrant | | | | | | | | | | | | | | | | |
Guitar Center | | | 1,148 | | | | 1/8/2021 | | | | 52 | | | | 40 | |
Tacora Resources | | | 3,403 | | | | 9/19/2024 | | | | 3 | | | | 3 | |
| | | | | | | | | | | $ | 7,194 | | | $ | 4,530 | |
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Liquid Alternative Fund
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
3 Month SOFR | | | 816 | | | | Jun-2026 | | | $ | 198,267 | | | $ | 197,931 | | | $ | (336 | ) |
AUD Currency | | | 101 | | | | Dec-2024 | | | | 6,828 | | | | 6,994 | | | | 166 | |
Japanese Yen | | | 173 | | | | Dec-2024 | | | | 15,334 | | | | 15,204 | | | | (130 | ) |
MSCI EAFE Index | | | 220 | | | | Dec-2024 | | | | 26,804 | | | | 27,382 | | | | 578 | |
MSCI Emerging Markets | | | 355 | | | | Dec-2024 | | | | 19,826 | | | | 20,844 | | | | 1,018 | |
NASDAQ 100 Index E-MINI | | | 37 | | | | Dec-2024 | | | | 14,434 | | | | 14,993 | | | | 559 | |
Russell 2000 Index E-MINI | | | 54 | | | | Dec-2024 | | | | 5,742 | | | | 6,073 | | | | 331 | |
S&P 500 Index E-MINI | | | 66 | | | | Dec-2024 | | | | 18,752 | | | | 19,187 | | | | 435 | |
S&P Mid Cap 400 Index E-MINI | | | 32 | | | | Dec-2024 | | | | 9,570 | | | | 10,075 | | | | 505 | |
U.S. 10-Year Treasury Note | | | 370 | | | | Dec-2024 | | | | 42,443 | | | | 42,284 | | | | (159 | ) |
U.S. Dollar Index | | | 424 | | | | Dec-2024 | | | | 42,931 | | | | 42,620 | | | | (311 | ) |
U.S. Long Treasury Bond | | | 31 | | | | Dec-2024 | | | | 3,849 | | | | 3,850 | | | | 1 | |
| | | | | | | | | | | | 404,780 | | | | 407,437 | | | | 2,657 | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
AUD Currency | | | (15) | | | | Dec-2024 | | | $ | (1,015 | ) | | $ | (1,039 | ) | | $ | (24 | ) |
CAD Currency | | | (147) | | | | Dec-2024 | | | | (10,875 | ) | | | (10,891 | ) | | | (16 | ) |
Euro FX | | | (43) | | | | Dec-2024 | | | | (5,999 | ) | | | (6,002 | ) | | | (3 | ) |
Japanese Yen | | | (203) | | | | Dec-2024 | | | | (18,068 | ) | | | (17,840 | ) | | | 228 | |
Russell 2000 Index E-MINI | | | (4) | | | | Dec-2024 | | | | (425 | ) | | | (449 | ) | | | (24 | ) |
U.S. Dollar Index | | | (34) | | | | Dec-2024 | | | | (3,442 | ) | | | (3,417 | ) | | | 25 | |
U.S. Long Treasury Bond | | | (86) | | | | Dec-2024 | | | | (10,781 | ) | | | (10,681 | ) | | | 100 | |
| | | | | | | | | | | | (50,605 | ) | | | (50,319 | ) | | | 286 | |
| | | | | | | | | | | $ | 354,175 | | | $ | 357,118 | | | $ | 2,943 | |
Percentages are based on Net Assets of $203,733 ($ Thousands).
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's other financial instruments carried at value ($ Thousands):
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 3,946 | | | | – | | | | – | | | | 3,946 | |
| | Unrealized Depreciation | | | (1,003 | ) | | | – | | | | – | | | | (1,003 | ) |
Total Other Financial Instruments | | | 2,943 | | | | – | | | | – | | | | 2,943 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Accumulation Fund
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
U.S. TREASURY OBLIGATIONS — 64.1% |
U.S. Treasury Bills | | | | | | | | |
5.303%, 11/14/2024 ^(A) | | $ | 106,194 | | | $ | 105,589 | |
5.293%, 12/05/2024 (A) | | | 90,000 | | | | 89,265 | |
5.278%, 12/12/2024 ^(A) | | | 2,919 | | | | 2,893 | |
5.277%, 12/26/2024 ^(A) | | | 27,021 | | | | 26,730 | |
5.256%, 10/10/2024 ^(A) | | | 4,624 | | | | 4,619 | |
5.214%, 01/09/2025 ^(A) | | | 1,725 | | | | 1,704 | |
4.914%, 02/13/2025 ^(A) | | | 3,799 | | | | 3,736 | |
4.888%, 02/20/2025 ^(A) | | | 1,880 | | | | 1,848 | |
4.815%, 02/06/2025 ^(A) | | | 22,853 | | | | 22,496 | |
4.685%, 10/29/2024 ^(A) | | | 60,000 | | | | 59,779 | |
4.656%, 10/15/2024 (A) | | | 50,000 | | | | 49,908 | |
4.606%, 10/08/2024 ^(A) | | | 110,000 | | | | 109,900 | |
4.346%, 03/27/2025 ^(A) | | | 6,315 | | | | 6,183 | |
0.000%, 04/03/2025 ^(A) | | | 2,112 | | | | 2,067 | |
U.S. Treasury Inflation Protected Securities | | | | | | | | |
3.875%, 04/15/2029 | | | 5,807 | | | | 6,409 | |
3.625%, 04/15/2028 | | | 3,417 | | | | 3,661 | |
3.375%, 04/15/2032 | | | 1,088 | | | | 1,229 | |
2.500%, 01/15/2029 | | | 2,351 | | | | 2,452 | |
2.375%, 01/15/2027 | | | 2,698 | | | | 2,742 | |
2.375%, 10/15/2028 | | | 22,292 | | | | 23,151 | |
2.125%, 04/15/2029 | | | 19,551 | | | | 20,093 | |
2.000%, 01/15/2026 | | | 3,816 | | | | 3,809 | |
1.875%, 07/15/2034 | | | 6,215 | | | | 6,367 | |
1.750%, 01/15/2028 | | | 2,546 | | | | 2,567 | |
1.750%, 01/15/2034 | | | 26,488 | | | | 26,782 | |
1.625%, 10/15/2027 | | | 6,780 | | | | 6,824 | |
1.375%, 07/15/2033 | | | 26,495 | | | | 26,115 | |
1.250%, 04/15/2028 | | | 20,677 | | | | 20,481 | |
1.125%, 01/15/2033 | | | 7,926 | | | | 7,647 | |
1.000%, 02/15/2049 | | | 1,250 | | | | 1,019 | |
0.875%, 01/15/2029 | | | 4,588 | | | | 4,479 | |
0.750%, 07/15/2028 | | | 5,348 | | | | 5,229 | |
0.625%, 01/15/2026 | | | 6,629 | | | | 6,502 | |
0.625%, 07/15/2032 | | | 25,877 | | | | 24,227 | |
0.500%, 01/15/2028 | | | 4,566 | | | | 4,421 | |
0.375%, 07/15/2025 | | | 6,774 | | | | 6,677 | |
0.375%, 01/15/2027 | | | 5,439 | | | | 5,284 | |
0.375%, 07/15/2027 | | | 6,016 | | | | 5,850 | |
0.250%, 07/15/2029 | | | 4,107 | | | | 3,896 | |
0.125%, 10/15/2025 | | | 6,527 | | | | 6,400 | |
0.125%, 04/15/2026 | | | 4,781 | | | | 4,648 | |
0.125%, 07/15/2026 | | | 5,860 | | | | 5,713 | |
0.125%, 10/15/2026 | | | 6,361 | | | | 6,185 | |
0.125%, 04/15/2027 | | | 6,405 | | | | 6,165 | |
0.125%, 01/15/2030 | | | 5,376 | | | | 5,015 | |
0.125%, 07/15/2030 | | | 26,877 | | | | 24,991 | |
0.125%, 01/15/2031 | | | 27,079 | | | | 24,880 | |
0.125%, 07/15/2031 | | | 27,895 | | | | 25,517 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
U.S. TREASURY OBLIGATIONS (continued) |
0.125%, 01/15/2032 | | $ | 29,956 | | | $ | 27,071 | |
| | | | | |
Total U.S. Treasury Obligations | | | | |
(Cost $846,535) ($ Thousands) | | | 851,215 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
SOVEREIGN DEBT — 7.1% |
| | | | | | | | | |
Deutsche Bundesrepublik Inflation Linked Bond | | | | | | | | |
0.500%, 04/15/2030 | | EUR | 2,672 | | | | 3,011 | |
French Republic Government Bond OAT | | | | | | | | |
0.100%, 03/01/2029(B) | | | 15,968 | | | | 17,336 | |
0.100%, 07/25/2031(B) | | | 8,655 | | | | 9,274 | |
0.100%, 03/01/2032(B) | | | 5,161 | | | | 5,417 | |
0.100%, 03/01/2036(B) | | | 7,318 | | | | 7,312 | |
0.100%, 07/25/2036(B) | | | 10,386 | | | | 10,458 | |
United Kingdom Gilt Inflation Linked | | | | | | | | |
1.250%, 11/22/2032 | | GBP | 9,815 | | | | 14,040 | |
0.750%, 11/22/2033 | | | 4,476 | | | | 6,122 | |
0.750%, 03/22/2034 | | | 9,010 | | | | 12,257 | |
0.125%, 03/22/2029 | | | 2,448 | | | | 3,263 | |
0.125%, 08/10/2031 | | | 4,487 | | | | 5,960 | |
| | | | | | | | | |
Total Sovereign Debt | | | | |
(Cost $91,866) ($ Thousands) | | | 94,450 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | Number of
Warrants | | | | | |
WARRANTS — 0.0% |
Constellation Software Inc.‡‡(C) | | | 100 | | | | – | |
| | | | | | | | | |
| | | | | | | | | |
Total Warrants | | | | | | | | |
(Cost $—) ($ Thousands) | | | | | | | – | |
| | | | | | | | | |
| | |
Shares
| | | | | |
FOREIGN COMMON STOCK — 0.0% |
| | | | | | | | | |
United Kingdom — 0.0% | | | | |
Health Care — 0.0% | | | | |
NMC Health PLC | | | 12,179 | | | | — | |
| | | | | | | | | |
Total Foreign Common Stock | | | | | | | | |
(Cost $324) ($ Thousands) | | | | | | | — | |
| | | | Number of
Rights | | | | | |
RIGHTS — 0.0% |
Abiomed Inc *‡‡ | | | 422 | | | | – | |
Total Rights | | | | | | | | |
(Cost $—) ($ Thousands) | | | | | | | – | |
| | | | | | | | | |
Total Investments in Securities — 71.2% | | | | | | | | |
(Cost $938,725) ($ Thousands) | | $ | 945,665 | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Accumulation Fund (Continued)
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Australian 10-Year Bond | | | 510 | | | | Dec-2024 | | | $ | 39,811 | | | $ | 41,183 | | | $ | (324 | ) |
Australian 3-Year Bond | | | 159 | | | | Dec-2024 | | | | 11,383 | | | | 11,823 | | | | (19 | ) |
Brent Crude^ | | | 191 | | | | Jan-2025 | | | | 13,780 | | | | 13,649 | | | | (131 | ) |
Canadian 10-Year Bond | | | 528 | | | | Dec-2024 | | | | 48,684 | | | | 48,858 | | | | 357 | |
Coffee C^ | | | 65 | | | | Dec-2024 | | | | 5,863 | | | | 6,588 | | | | 725 | |
Corn^ | | | 282 | | | | Dec-2024 | | | | 5,721 | | | | 5,989 | | | | 268 | |
Cotton No. 2^ | | | 35 | | | | Dec-2024 | | | | 1,248 | | | | 1,288 | | | | 40 | |
DAX Index | | | 8 | | | | Dec-2024 | | | | 4,232 | | | | 4,354 | | | | 111 | |
Euro STOXX 50 | | | 336 | | | | Dec-2024 | | | | 18,293 | | | | 18,861 | | | | 509 | |
Euro-Bobl | | | 1,131 | | | | Dec-2024 | | | | 148,752 | | | | 151,532 | | | | 1,270 | |
Euro-BTP | | | 158 | | | | Dec-2024 | | | | 20,853 | | | | 21,419 | | | | 396 | |
Euro-Bund 10-Year Bond | | | 785 | | | | Dec-2024 | | | | 115,987 | | | | 118,204 | | | | 1,127 | |
Euro-Buxl | | | 184 | | | | Dec-2024 | | | | 27,519 | | | | 27,984 | | | | 215 | |
Euro-OAT | | | 204 | | | | Dec-2024 | | | | 28,538 | | | | 28,879 | | | | 102 | |
Euro-Schatz | | | 62 | | | | Dec-2024 | | | | 7,343 | | | | 7,416 | | | | 22 | |
Feeder Cattle^ | | | 6 | | | | Jan-2025 | | | | 712 | | | | 716 | | | | 4 | |
Feeder Cattle^ | | | 2 | | | | Nov-2024 | | | | 236 | | | | 245 | | | | 9 | |
FTSE 100 Index | | | 161 | | | | Dec-2024 | | | | 17,764 | | | | 17,900 | | | | (154 | ) |
FTSE KLCI | | | 3 | | | | Oct-2024 | | | | 60 | | | | 60 | | | | – | |
FTSE MIB Index | | | 40 | | | | Dec-2024 | | | | 7,505 | | | | 7,620 | | | | 90 | |
FTSE Taiwan Index | | | 47 | | | | Oct-2024 | | | | 3,563 | | | | 3,508 | | | | (55 | ) |
FTSE/JSE Top 40 Index | | | 6 | | | | Dec-2024 | | | | 279 | | | | 277 | | | | (1 | ) |
Gasoline^ | | | 31 | | | | Nov-2024 | | | | 2,519 | | | | 2,482 | | | | (37 | ) |
Gold^ | | | 103 | | | | Dec-2024 | | | | 25,464 | | | | 27,392 | | | | 1,928 | |
Hang Seng Index | | | 12 | | | | Oct-2024 | | | | 1,499 | | | | 1,644 | | | | 142 | |
IBEX | | | 42 | | | | Oct-2024 | | | | 5,508 | | | | 5,573 | | | | 55 | |
IFSC Nifty50 Index | | | 292 | | | | Oct-2024 | | | | 15,255 | | | | 15,188 | | | | (67 | ) |
Japanese 10-Year Bond | | | 33 | | | | Dec-2024 | | | | 33,490 | | | | 33,372 | | | | 40 | |
KC HRW Wheat^ | | | 5 | | | | Dec-2024 | | | | 146 | | | | 146 | | | | – | |
KOSPI 200 Index | | | 35 | | | | Dec-2024 | | | | 2,215 | | | | 2,329 | | | | 57 | |
Lean Hogs^ | | | 42 | | | | Dec-2024 | | | | 1,214 | | | | 1,231 | | | | 17 | |
Live Cattle^ | | | 55 | | | | Dec-2024 | | | | 3,920 | | | | 4,066 | | | | 146 | |
LME Copper^ | | | 77 | | | | Dec-2024 | | | | 19,086 | | | | 18,904 | | | | (182 | ) |
LME Lead^ | | | 32 | | | | Dec-2024 | | | | 1,698 | | | | 1,673 | | | | (25 | ) |
LME Primary Aluminum^ | | | 77 | | | | Dec-2024 | | | | 4,848 | | | | 5,030 | | | | 182 | |
LME Zinc^ | | | 56 | | | | Dec-2024 | | | | 4,111 | | | | 4,329 | | | | 218 | |
Long Gilt 10-Year Bond | | | 796 | | | | Dec-2024 | | | | 104,229 | | | | 105,096 | | | | (373 | ) |
Low Sulphur Gasoil^ | | | 45 | | | | Dec-2024 | | | | 2,893 | | | | 2,954 | | | | 61 | |
MSCI EAFE Index | | | 579 | | | | Dec-2024 | | | | 70,686 | | | | 72,065 | | | | 1,379 | |
MSCI Emerging Markets | | | 290 | | | | Dec-2024 | | | | 15,903 | | | | 17,027 | | | | 1,124 | |
Natural Gas^ | | | 46 | | | | Nov-2024 | | | | 1,411 | | | | 1,538 | | | | 127 | |
NY Harbor ULSD^ | | | 24 | | | | Nov-2024 | | | | 2,152 | | | | 2,181 | | | | 29 | |
NYMEX Cocoa^ | | | 16 | | | | Dec-2024 | | | | 1,129 | | | | 1,236 | | | | 107 | |
NYMEX Cocoa^ | | | 3 | | | | Dec-2024 | | | | 212 | | | | 210 | | | | (5 | ) |
OMX Stockholm 30 | | | 45 | | | | Oct-2024 | | | | 1,175 | | | | 1,165 | | | | (6 | ) |
Platinum^ | | | 7 | | | | Aug-2025 | | | | 109 | | | | 111 | | | | 2 | |
Russell 2000 Index E-MINI | | | 290 | | | | Dec-2024 | | | | 31,683 | | | | 32,614 | | | | 931 | |
S&P 500 Index E-MINI | | | 1,277 | | | | Dec-2024 | | | | 362,543 | | | | 371,240 | | | | 8,697 | |
S&P Mid Cap 400 Index E-MINI | | | 50 | | | | Dec-2024 | | | | 15,209 | | | | 15,743 | | | | 534 | |
S&P TSX 60 Index | | | 74 | | | | Dec-2024 | | | | 15,489 | | | | 15,824 | | | | 239 | |
Silver^ | | | 39 | | | | Dec-2024 | | | | 5,699 | | | | 6,135 | | | | 436 | |
Soybean^ | | | 119 | | | | Nov-2024 | | | | 6,270 | | | | 6,289 | | | | 19 | |
Soybean^ | | | 23 | | | | Jan-2025 | | | | 1,201 | | | | 1,237 | | | | 36 | |
Soybean Meal^ | | | 116 | | | | Dec-2024 | | | | 3,942 | | | | 3,962 | | | | 20 | |
Soybean Oil^ | | | 30 | | | | Dec-2024 | | | | 744 | | | | 779 | | | | 35 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Accumulation Fund (Continued)
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
SPI 200 Index | | | 51 | | | | Dec-2024 | | | $ | 7,055 | | | $ | 7,346 | | | $ | 103 | |
Sugar No. 11^ | | | 241 | | | | Mar-2025 | | | | 5,163 | | | | 6,065 | | | | 902 | |
TOPIX Index | | | 52 | | | | Dec-2024 | | | | 9,343 | | | | 9,625 | | | | 279 | |
U.S. 2-Year Treasury Note | | | 111 | | | | Dec-2024 | | | | 23,091 | | | | 23,115 | | | | 24 | |
U.S. 5-Year Treasury Note | | | 2,232 | | | | Dec-2024 | | | | 244,965 | | | | 245,259 | | | | 294 | |
U.S. 10-Year Treasury Note | | | 2,725 | | | | Dec-2024 | | | | 311,704 | | | | 311,417 | | | | (287 | ) |
U.S. Long Treasury Bond | | | 857 | | | | Dec-2024 | | | | 106,929 | | | | 106,428 | | | | (501 | ) |
U.S. Ultra Long Treasury Bond | | | 219 | | | | Dec-2024 | | | | 29,370 | | | | 29,147 | | | | (223 | ) |
Wheat^ | | | 41 | | | | Dec-2024 | | | | 1,147 | | | | 1,197 | | | | 50 | |
WTI Crude Oil^ | | | 131 | | | | Oct-2024 | | | | 9,097 | | | | 8,930 | | | | (167 | ) |
WTI Crude Oil^ | | | 100 | | | | Nov-2024 | | | | 6,747 | | | | 6,777 | | | | 30 | |
| | | | | | | | | | | | 2,046,389 | | | | 2,074,424 | | | | 20,931 | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
Aluminum^ | | | (2) | | | | Jan-2025 | | | $ | (123 | ) | | $ | (128 | ) | | $ | (5 | ) |
Brent Crude^ | | | (40) | | | | Oct-2024 | | | | (2,871 | ) | | | (2,868 | ) | | | 3 | |
CAC40 10 Euro Index | | | (7) | | | | Oct-2024 | | | | (592 | ) | | | (597 | ) | | | (4 | ) |
Copper^ | | | (2) | | | | Dec-2024 | | | | (213 | ) | | | (227 | ) | | | (14 | ) |
Gasoline^ | | | (4) | | | | Oct-2024 | | | | (339 | ) | | | (325 | ) | | | 14 | |
Hang Seng China Enterprises Index | | | (14) | | | | Oct-2024 | | | | (650 | ) | | | (680 | ) | | | (30 | ) |
LME Nickel^ | | | (4) | | | | Dec-2024 | | | | (384 | ) | | | (420 | ) | | | (36 | ) |
Low Sulphur Gasoil^ | | | (5) | | | | Nov-2024 | | | | (326 | ) | | | (330 | ) | | | (4 | ) |
MSCI Singapore Index | | | (56) | | | | Oct-2024 | | | | (1,499 | ) | | | (1,500 | ) | | | 3 | |
Natural Gas^ | | | (7) | | | | Oct-2024 | | | | (198 | ) | | | (204 | ) | | | (6 | ) |
NY Harbor ULSD^ | | | (13) | | | | Oct-2024 | | | | (1,163 | ) | | | (1,177 | ) | | | (14 | ) |
SET 50 | | | (116) | | | | Dec-2024 | | | | (654 | ) | | | (660 | ) | | | 5 | |
| | | | | | | | | | | | (9,012 | ) | | | (9,116 | ) | | | (88 | ) |
| | | | | | | | | | | $ | 2,037,377 | | | $ | 2,065,308 | | | $ | 20,843 | |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2024, is as follows: |
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Citigroup | | | 12/18/24 | | | | USD | | | | 90 | | | | PHP | | | | 5,000 | | | $ | (1 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 127 | | | | IDR | | | | 1,977,778 | | | | 3 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 208 | | | | ILS | | | | 768 | | | | (2 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 98 | | | | COP | | | | 415,928 | | | | — | |
Citigroup | | | 12/18/24 | | | | USD | | | | 386 | | | | COP | | | | 1,596,155 | | | | (7 | ) |
Citigroup | | | 12/18/24 | | | | THB | | | | 500 | | | | USD | | | | 15 | | | | (1 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 595 | | | | THB | | | | 20,000 | | | | 30 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 625 | | | | PLN | | | | 2,419 | | | | 4 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 385 | | | | PLN | | | | 1,480 | | | | (1 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 904 | | | | SGD | | | | 1,168 | | | | 11 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 130 | | | | SGD | | | | 166 | | | | — | |
Citigroup | | | 12/18/24 | | | | USD | | | | 1,170 | | | | CLP | | | | 1,080,543 | | | | 33 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 903 | | | | EUR | | | | 808 | | | | 1 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 328 | | | | EUR | | | | 293 | | | | — | |
Citigroup | | | 12/18/24 | | | | USD | | | | 1,702 | | | | TWD | | | | 53,650 | | | | 12 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 284 | | | | TWD | | | | 8,850 | | | | (1 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 1,127 | | | | CZK | | | | 25,513 | | | | 4 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 1,046 | | | | CZK | | | | 23,519 | | | | (3 | ) |
Citigroup | | | 12/18/24 | | | | PLN | | | | 998 | | | | USD | | | | 260 | | | | — | |
Citigroup | | | 12/18/24 | | | | PLN | | | | 1,721 | | | | USD | | | | 446 | | | | (1 | ) |
Citigroup | | | 12/18/24 | | | | ILS | | | | 2,247 | | | | USD | | | | 610 | | | | 4 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Accumulation Fund (Continued)
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Citigroup | | | 12/18/24 | | | | ILS | | | | 623 | | | | USD | | | | 167 | | | $ | (1 | ) |
Citigroup | | | 12/18/24 | | | | SGD | | | | 4,188 | | | | USD | | | | 3,231 | | | | (50 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 236 | | | | HUF | | | | 85,000 | | | | 2 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 5,971 | | | | HUF | | | | 2,120,496 | | | | (26 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 6,804 | | | | KRW | | | | 8,978,881 | | | | 65 | |
Citigroup | | | 12/18/24 | | | | CNH | | | | 9,798 | | | | USD | | | | 1,391 | | | | (18 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 10,095 | | | | ZAR | | | | 181,379 | | | | 361 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 58 | | | | ZAR | | | | 1,000 | | | | (1 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 10,795 | | | | BRL | | | | 60,385 | | | | 192 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 187 | | | | BRL | | | | 1,025 | | | | (1 | ) |
Citigroup | | | 12/18/24 | | | | TWD | | | | 975 | | | | USD | | | | 31 | | | | — | |
Citigroup | | | 12/18/24 | | | | TWD | | | | 10,025 | | | | USD | | | | 317 | | | | (4 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 13,787 | | | | CNH | | | | 97,084 | | | | 177 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 350 | | | | CNH | | | | 2,428 | | | | (1 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 5,496 | | | | MXN | | | | 110,560 | | | | 77 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 9,418 | | | | MXN | | | | 185,768 | | | | (54 | ) |
Citigroup | | | 12/18/24 | | | | GBP | | | | 15,284 | | | | USD | | | | 20,107 | | | | (386 | ) |
Citigroup | | | 12/18/24 | | | | ZAR | | | | 15,375 | | | | USD | | | | 856 | | | | (31 | ) |
Citigroup | | | 12/18/24 | | | | USD | | | | 19,594 | | | | INR | | | | 1,651,292 | | | | 42 | |
Citigroup | | | 12/18/24 | | | | USD | | | | 357 | | | | INR | | | | 30,000 | | | | — | |
Citigroup | | | 12/18/24 | | | | INR | | | | 25,000 | | | | USD | | | | 298 | | | | — | |
Citigroup | | | 12/18/24 | | | | INR | | | | 5,000 | | | | USD | | | | 59 | | | | — | |
Citigroup | | | 12/18/24 | | | | CZK | | | | 27,367 | | | | USD | | | | 1,217 | | | | 3 | |
Citigroup | | | 12/18/24 | | | | CZK | | | | 8,633 | | | | USD | | | | 382 | | | | (1 | ) |
Citigroup | | | 12/18/24 | | | | MXN | | | | 500 | | | | USD | | | | 25 | | | | — | |
Citigroup | | | 12/18/24 | | | | MXN | | | | 36,000 | | | | USD | | | | 1,782 | | | | (33 | ) |
Citigroup | | | 12/18/24 | | | | PHP | | | | 625 | | | | USD | | | | 11 | | | | — | |
Citigroup | | | 12/18/24 | | | | PHP | | | | 39,375 | | | | USD | | | | 699 | | | | (3 | ) |
Citigroup | | | 12/18/24 | | | | EUR | | | | 16,064 | | | | USD | | | | 18,022 | | | | 38 | |
Citigroup | | | 12/18/24 | | | | EUR | | | | 47,741 | | | | USD | | | | 53,191 | | | | (257 | ) |
Citigroup | | | 12/18/24 | | | | HUF | | | | 80,000 | | | | USD | | | | 225 | | | | 1 | |
Citigroup | | | 12/18/24 | | | | HUF | | | | 10,000 | | | | USD | | | | 28 | | | | — | |
Citigroup | | | 12/18/24 | | | | CLP | | | | 100,000 | | | | USD | | | | 112 | | | | — | |
Citigroup | | | 12/18/24 | | | | CLP | | | | 377,422 | | | | USD | | | | 415 | | | | (6 | ) |
Citigroup | | | 12/18/24 | | | | COP | | | | 650,000 | | | | USD | | | | 153 | | | | (1 | ) |
Citigroup | | | 12/18/24 | | | | KRW | | | | 150,000 | | | | USD | | | | 115 | | | | — | |
Citigroup | | | 12/18/24 | | | | KRW | | | | 2,700,000 | | | | USD | | | | 2,035 | | | | (31 | ) |
Goldman Sachs | | | 10/08/24 | | | | CHF | | | | 10,086 | | | | USD | | | | 11,924 | | | | (45 | ) |
Goldman Sachs | | | 10/08/24 | | | | USD | | | | 11,924 | | | | PHP | | | | 673,456 | | | | 91 | |
Goldman Sachs | | | 10/08/24 | | | | USD | | | | 11,924 | | | | MXN | | | | 237,683 | | | | 186 | |
Goldman Sachs | | | 10/08/24 | | | | USD | | | | 11,924 | | | | INR | | | | 1,002,136 | | | | 31 | |
Goldman Sachs | | | 10/08/24 | | | | USD | | | | 11,924 | | | | HUF | | | | 4,261,623 | | | | 49 | |
Goldman Sachs | | | 10/08/24 | | | | USD | | | | 11,924 | | | | COP | | | | 50,020,341 | | | | 49 | |
Goldman Sachs | | | 10/08/24 | | | | USD | | | | 11,924 | | | | BRL | | | | 67,484 | | | | 457 | |
Goldman Sachs | | | 10/08/24 | | | | USD | | | | 11,924 | | | | IDR | | | | 185,367,395 | | | | 307 | |
Goldman Sachs | | | 10/08/24 | | | | USD | | | | 11,924 | | | | ZAR | | | | 214,736 | | | | 529 | |
Goldman Sachs | | | 10/08/24 | | | | AUD | | | | 17,749 | | | | USD | | | | 11,941 | | | | (373 | ) |
Goldman Sachs | | | 10/08/24 | | | | ILS | | | | 43,871 | | | | USD | | | | 11,924 | | | | 126 | |
Goldman Sachs | | | 10/08/24 | | | | PLN | | | | 46,276 | | | | USD | | | | 11,924 | | | | (138 | ) |
Goldman Sachs | | | 10/08/24 | | | | CNH | | | | 84,629 | | | | USD | | | | 11,924 | | | | (177 | ) |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Accumulation Fund (Continued)
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Goldman Sachs | | | 10/08/24 | | | | SEK | | | | 122,581 | | | | USD | | | | 11,924 | | | $ | (175 | ) |
Goldman Sachs | | | 10/08/24 | | | | NOK | | | | 127,397 | | | | USD | | | | 11,924 | | | | (174 | ) |
Goldman Sachs | | | 10/08/24 | | | | TWD | | | | 381,204 | | | | USD | | | | 11,924 | | | | (136 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 90 | | | | PHP | | | | 5,000 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 127 | | | | IDR | | | | 1,977,778 | | | | 2 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 208 | | | | ILS | | | | 768 | | | | (1 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 98 | | | | COP | | | | 415,928 | | | | 1 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 386 | | | | COP | | | | 1,596,155 | | | | (7 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | THB | | | | 500 | | | | USD | | | | 15 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 595 | | | | THB | | | | 20,000 | | | | 30 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 625 | | | | PLN | | | | 2,419 | | | | 5 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 385 | | | | PLN | | | | 1,480 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 904 | | | | SGD | | | | 1,168 | | | | 11 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 130 | | | | SGD | | | | 166 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 1,170 | | | | CLP | | | | 1,080,543 | | | | 33 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 903 | | | | EUR | | | | 808 | | | | 2 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 328 | | | | EUR | | | | 293 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 1,702 | | | | TWD | | | | 53,650 | | | | 13 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 284 | | | | TWD | | | | 8,850 | | | | (1 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 1,127 | | | | CZK | | | | 25,513 | | | | 5 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 1,046 | | | | CZK | | | | 23,519 | | | | (2 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | PLN | | | | 997 | | | | USD | | | | 260 | | | | 1 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | PLN | | | | 1,721 | | | | USD | | | | 446 | | | | (1 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | ILS | | | | 2,247 | | | | USD | | | | 610 | | | | 5 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | ILS | | | | 623 | | | | USD | | | | 167 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | SGD | | | | 4,188 | | | | USD | | | | 3,231 | | | | (49 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 236 | | | | HUF | | | | 85,000 | | | | 2 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 5,971 | | | | HUF | | | | 2,120,496 | | | | (26 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 6,804 | | | | KRW | | | | 8,978,881 | | | | 65 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | CNH | | | | 9,798 | | | | USD | | | | 1,391 | | | | (18 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 10,095 | | | | ZAR | | | | 181,379 | | | | 362 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 58 | | | | ZAR | | | | 1,000 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 10,795 | | | | BRL | | | | 60,385 | | | | 192 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 187 | | | | BRL | | | | 1,025 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | TWD | | | | 975 | | | | USD | | | | 31 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | TWD | | | | 10,025 | | | | USD | | | | 317 | | | | (3 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 13,786 | | | | CNH | | | | 97,084 | | | | 178 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 350 | | | | CNH | | | | 2,428 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 5,496 | | | | MXN | | | | 110,560 | | | | 77 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 9,418 | | | | MXN | | | | 185,768 | | | | (53 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | GBP | | | | 15,284 | | | | USD | | | | 20,107 | | | | (386 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | ZAR | | | | 15,375 | | | | USD | | | | 856 | | | | (31 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 19,594 | | | | INR | | | | 1,651,292 | | | | 42 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | USD | | | | 357 | | | | INR | | | | 30,000 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | INR | | | | 25,000 | | | | USD | | | | 298 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | INR | | | | 5,000 | | | | USD | | | | 59 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | CZK | | | | 27,367 | | | | USD | | | | 1,217 | | | | 3 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | CZK | | | | 8,633 | | | | USD | | | | 382 | | | | (1 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | MXN | | | | 500 | | | | USD | | | | 25 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | MXN | | | | 36,000 | | | | USD | | | | 1,782 | | | | (32 | ) |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Accumulation Fund (Concluded)
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
JPMorgan Chase Bank | | | 12/18/24 | | | | PHP | | | | 625 | | | | USD | | | | 11 | | | $ | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | PHP | | | | 39,375 | | | | USD | | | | 699 | | | | (3 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | EUR | | | | 16,064 | | | | USD | | | | 18,022 | | | | 38 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | EUR | | | | 47,741 | | | | USD | | | | 53,191 | | | | (257 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | HUF | | | | 80,000 | | | | USD | | | | 225 | | | | 1 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | HUF | | | | 10,000 | | | | USD | | | | 28 | | | | — | |
JPMorgan Chase Bank | | | 12/18/24 | | | | CLP | | | | 100,000 | | | | USD | | | | 112 | | | | 1 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | CLP | | | | 377,422 | | | | USD | | | | 415 | | | | (5 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | COP | | | | 650,000 | | | | USD | | | | 153 | | | | (1 | ) |
JPMorgan Chase Bank | | | 12/18/24 | | | | KRW | | | | 150,000 | | | | USD | | | | 115 | | | | 1 | |
JPMorgan Chase Bank | | | 12/18/24 | | | | KRW | | | | 2,700,000 | | | | USD | | | | 2,035 | | | | (30 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | 908 | |
A list of the open OTC swap agreements held by the Fund at September 30, 2024, is as follows:
Total Return Swaps |
Counterparty | | Reference Entity/ Obligation | | | Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional Amount ($ Thousands) | | | Value
($ Thousands) | | | Upfront Payments
($ Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
($ Thousands) | |
Bank of America | | | BOVESPA Index | | | Positive Price Return | | | Positive Price Return | | | At Maturity | | | | 10/19/2024 | | | | BRL | | | $ | 3,763 | | | $ | 3,774 | | | $ | – | | | $ | 10 | |
Bank of America | | | TAIEX Index | | | Negative Price Return | | | Positive Price Return | | | At Maturity | | | | 10/19/2024 | | | | TWD | | | | 9,258 | | | | 9,595 | | | | – | | | | 337 | |
JPMorgan Chase | | | BOVESPA Index | | | Positive Price Return | | | Positive Price Return | | | At Maturity | | | | 10/19/2024 | | | | BRL | | | | 2,484 | | | | 2,483 | | | | – | | | | – | |
JPMorgan Chase | | | AEX Index | | | Negative Price Return | | | Positive Price Return | | | At Maturity | | | | 10/21/2024 | | | | EUR | | | | (4,416 | ) | | | (4,478 | ) | | | – | | | | (62 | ) |
Goldman Sachs^ | | | Bloomberg Commodity Index | | | 3 Month Treasury Bill Rate + 7.5 BPS | | | | Index Return | | | | Monthly | | | | 11/01/2024 | | | | USD | | | | (150,000 | ) | | | – | | | | – | | | | – | |
Bank of America | | | HSCEI Index | | | Positive Price Return | | | | Asset Return | | | At Maturity | | | | 11/02/2024 | | | | HKD | | | | 4,357 | | | | 4,863 | | | | – | | | | 506 | |
JPMorgan Chase | | | HSCEI Index | | | Positive Price Return | | | | Asset Return | | | At Maturity | | | | 11/02/2024 | | | | HKD | | | | 13,256 | | | | 14,687 | | | | – | | | | 1,431 | |
JPMorgan Chase | | | KOSPI 200 Index | | | Negative Price Return | | | Positive Price Return | | | At Maturity | | | | 12/15/2024 | | | | KRW | | | | 6,646 | | | | 6,917 | | | | – | | | | 271 | |
Citigroup | | | MSCI INTERNATIONAL SOUTH AFRICA Index | | | | Asset Return | | | | JIBA1M Index | | | | Monthly | | | | 12/18/2024 | | | | ZAR | | | | 29,628 | | | | (119 | ) | | | – | | | | (119 | ) |
Citigroup | | | MSCI TAIWAN NET Index | | | | NDEUSTW Index | | | | Asset Return | | | | Annually | | | | 12/18/2024 | | | | USD | | | | 201 | | | | 15 | | | | – | | | | 15 | |
Citigroup | | | MSCI THAILAND NET Index | | | | Asset Return | | | | NDEUTHF Index | | | | Annually | | | | 12/18/2024 | | | | USD | | | | 1,134 | | | | (70 | ) | | | – | | | | (70 | ) |
Citigroup | | | MSCI INTERNATIONAL SWEDEN Index | | | | STIB1M Index | | | | Asset Return | | | | Monthly | | | | 12/18/2024 | | | | SEK | | | | 7,527 | | | | (3 | ) | | | – | | | | (3 | ) |
Citigroup | | | MSCI INTERNATIONAL MEXICO Index | | | | MXIBTIIE Index | | | | Asset Return | | | | Monthly | | | | 12/18/2024 | | | | MXN | | | | 2,008 | | | | – | | | | – | | | | – | |
Citigroup | | | TEL AVIV 35 Index | | | | TELBOR01 Index | | | | Asset Return | | | | Monthly | | | | 12/18/2024 | | | | ILS | | | | 2,444 | | | | 28 | | | | – | | | | 28 | |
Citigroup | | | MSCI INTERNATIONAL HONG KONG Index | | | | HIHD01M Index | | | | Asset Return | | | | Monthly | | | | 12/18/2024 | | | | HKD | | | | 3,598 | | | | 94 | | | | – | | | | 94 | |
Citigroup | | | MSCI INTERNATIONAL SPAIN Index | | | | ESTRON Index | | | | Asset Return | | | | Monthly | | | | 12/18/2024 | | | | EUR | | | | 2,481 | | | | 16 | | | | – | | | | 16 | |
Citigroup | | | MSCI INTERNATIONAL NETHERLANDS Index | | | | Asset Return | | | | ESTRON Index | | | | Monthly | | | | 12/18/2024 | | | | EUR | | | | 1,777 | | | | (69 | ) | | | – | | | | (69 | ) |
Citigroup | | | MSCI INTERNATIONAL FRANCE Index | | | | Asset Return | | | | ESTRON Index | | | | Monthly | | | | 12/18/2024 | | | | EUR | | | | 963 | | | | (33 | ) | | | – | | | | (33 | ) |
Citigroup | | | MSCI INTERNATIONAL SWITZERLAND Index | | | | Asset Return | | | | SSARON Index | | | | Monthly | | | | 12/18/2024 | | | | CHF | | | | 2,131 | | | | (58 | ) | | | – | | | | (58 | ) |
Citigroup | | | MSCI INTERNATIONAL CANADA NET Index | | | | Asset Return | | | | CAONREPO Index | | | | Monthly | | | | 12/18/2024 | | | | CAD | | | | 3,257 | | | | (76 | ) | | | – | | | | (76 | ) |
Citigroup | | | MSCI INTERNATIONAL SINGAPORE Index | | | | Asset Return | | | | SIBCSORA Index | | | | Monthly | | | | 12/18/2024 | | | | SGD | | | | 819 | | | | (21 | ) | | | – | | | | (21 | ) |
Citigroup | | | MSCI INTERNATIONAL BRAZIL NET Index | | | | BZDIOVRA Index | | | | Asset Return | | | | Monthly | | | | 12/18/2024 | | | | BRL | | | | 14,801 | | | | (96 | ) | | | – | | | | (96 | ) |
Bank of America | | | FTSE/JSE Index | | | Positive Price Return | | | Positive Price Return | | | At Maturity | | | | 12/22/2024 | | | | ZAR | | | | (8 | ) | | | (9 | ) | | | – | | | | – | |
Bank of America | | | WIG 20 Index | | | Negative Price Return | | | Positive Price Return | | | At Maturity | | | | 12/23/2024 | | | | PLN | | | | (292 | ) | | | (295 | ) | | | – | | | | (3 | ) |
Bank of America | | | SWISS Market Index | | | Negative Price Return | | | Positive Price Return | | | At Maturity | | | | 12/23/2024 | | | | CHF | | | | 999 | | | | 1,013 | | | | – | | | | 14 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 38,158 | | | $ | – | | | $ | 2,112 | |
| Percentages are based on Net Assets of $1,328,151 ($ Thousands). |
^ | Security, or a portion thereof, is held by the Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2024. |
* | Non-income producing security. |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Accumulation Fund (Concluded)
‡‡ | Expiration date not available. |
(A) | Interest rate represents the security's effective yield at the time of purchase. |
(B) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2024, the value of these securities amounted to $49,797 ($ Thousands), representing 3.7% of the Net Assets of the Fund. |
(C) | Level 3 security in accordance with fair value hierarchy. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
U.S. Treasury Obligations | | | – | | | | 851,215 | | | | – | | | | 851,215 | |
Sovereign Debt | | | – | | | | 94,450 | | | | – | | | | 94,450 | |
Warrant | | | – | | | | – | | | | – | ^ | | | – | |
Foreign Common Stock | | | – | | | | – | | | | – | ^ | | | – | |
Rights | | | – | | | | – | | | | – | ^ | | | – | |
Total Investments in Securities | | | – | | | | 945,665 | | | | – | | | | 945,665 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 23,513 | | | | – | | | | – | | | | 23,513 | |
| | Unrealized Depreciation | | | (2,670 | ) | | | – | | | | – | | | | (2,670 | ) |
| | Forward Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 3,955 | | | | – | | | | 3,955 | |
| | Unrealized Depreciation | | | – | | | | (3,047 | ) | | | – | | | | (3,047 | ) |
| | OTC Swaps | | | | | | | | | | | | | | | | |
| | Total Return Swaps* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 2,722 | | | | – | | | | 2,722 | |
| | Unrealized Depreciation | | | – | | | | (610 | ) | | | – | | | | (610 | ) |
Total Other Financial Instruments | | | 20,843 | | | | 3,020 | | | | – | | | | 23,863 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
^ This category includes securities with a value less than $500.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
See “Glossary” for abbreviations.
Amounts designated as “—” are either $0 or have been rounded to $0.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS — 38.7% |
Communication Services — 2.8% | | | | |
Altice Financing | | | | | | | | |
5.000%, 01/15/2028 (A) | | $ | 335 | | | $ | 283 | |
Altice France | | | | | | | | |
5.500%, 10/15/2029 (A) | | | 1,319 | | | | 924 | |
Altice France Holding | | | | | | | | |
10.500%, 05/15/2027 (A) | | | 920 | | | | 317 | |
AMC Entertainment Holdings | | | | | | | | |
7.500%, 02/15/2029 (A) | | | 442 | | | | 348 | |
5.750%, 06/15/2025 | | | 70 | | | | 68 | |
AMC Networks | | | | | | | | |
10.250%, 01/15/2029 (A) | | | 190 | | | | 195 | |
ANGI Group | | | | | | | | |
3.875%, 08/15/2028 (A) | | | 507 | | | | 465 | |
AT&T | | | | | | | | |
3.500%, 06/01/2041 | | | 330 | | | | 270 | |
2.750%, 06/01/2031 | | | 355 | | | | 321 | |
2.550%, 12/01/2033 | | | 1,338 | | | | 1,128 | |
Bharti Airtel | | | | | | | | |
3.250%, 06/03/2031 (A) | | | 1,160 | | | | 1,060 | |
CCO Holdings | | | | | | | | |
4.750%, 03/01/2030 (A) | | | 530 | | | | 487 | |
4.750%, 02/01/2032 (A) | | | 1,140 | | | | 1,005 | |
4.250%, 02/01/2031 (A) | | | 280 | | | | 247 | |
Charter Communications Operating | | | | | | | | |
4.908%, 07/23/2025 | | | 690 | | | | 689 | |
3.750%, 02/15/2028 | | | 610 | | | | 585 | |
Cinemark USA | | | | | | | | |
7.000%, 08/01/2032 (A) | | | 205 | | | | 214 | |
5.250%, 07/15/2028 (A) | | | 364 | | | | 358 | |
Clear Channel Outdoor Holdings | | | | | | | | |
7.875%, 04/01/2030 (A) | | | 610 | | | | 638 | |
5.125%, 08/15/2027 (A) | | | 290 | | | | 285 | |
Connect Finco SARL | | | | | | | | |
9.000%, 09/15/2029 (A) | | | 200 | | | | 194 | |
Diamond Sports Group | | | | | | | | |
6.625%, 08/15/2027 (A)(B) | | | 500 | | | | 6 | |
5.375%, 08/15/2026 (A)(B) | | | 330 | | | | 4 | |
DISH DBS | | | | | | | | |
5.875%, 11/15/2024 | | | 190 | | | | 189 | |
5.750%, 12/01/2028 (A) | | | 110 | | | | 96 | |
5.250%, 12/01/2026 (A) | | | 465 | | | | 430 | |
Gray Television | | | | | | | | |
7.000%, 05/15/2027 (A) | | | 130 | | | | 128 | |
Hughes Satellite Systems | | | | | | | | |
6.625%, 08/01/2026 | | | 230 | | | | 200 | |
iHeartCommunications | | | | | | | | |
8.375%, 05/01/2027 | | | 590 | | | | 316 | |
6.375%, 05/01/2026 | | | 70 | | | | 61 | |
IHS Holding | | | | | | | | |
6.250%, 11/29/2028 (A) | | | 350 | | | | 328 | |
Millicom International Cellular | | | | | | | | |
6.250%, 03/25/2029 (A) | | | 297 | | | | 296 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
4.500%, 04/27/2031 (A) | | $ | 219 | | | $ | 197 | |
Nexstar Media | | | | | | | | |
5.625%, 07/15/2027 (A) | | | 350 | | | | 347 | |
Scripps Escrow | | | | | | | | |
5.875%, 07/15/2027 (A) | | | 167 | | | | 145 | |
Sinclair Television Group | | | | | | | | |
5.125%, 02/15/2027 (A) | | | 100 | | | | 87 | |
Sirius XM Radio | | | | | | | | |
4.000%, 07/15/2028 (A) | | | 805 | | | | 760 | |
T-Mobile USA | | | | | | | | |
4.500%, 04/15/2050 | | | 1,416 | | | | 1,259 | |
Turk Telekomunikasyon | | | | | | | | |
7.375%, 05/20/2029 (A) | | | 300 | | | | 307 | |
Ziff Davis | | | | | | | | |
4.625%, 10/15/2030 (A) | | | 220 | | | | 207 | |
ZipRecruiter | | | | | | | | |
5.000%, 01/15/2030 (A) | | | 210 | | | | 190 | |
| | | | | | | | | |
| | | | | | | | 15,634 | |
| | | | | | | | | |
Consumer Discretionary — 4.3% | | | | |
Allen Media | | | | | | | | |
10.500%, 02/15/2028 (A) | | | 370 | | | | 159 | |
Asbury Automotive Group | | | | | | | | |
5.000%, 02/15/2032 (A) | | | 195 | | | | 185 | |
4.625%, 11/15/2029 (A) | | | 360 | | | | 343 | |
Caesars Entertainment | | | | | | | | |
4.625%, 10/15/2029 (A) | | | 875 | | | | 832 | |
CalAtlantic Group | | | | | | | | |
5.250%, 06/01/2026 | | | 330 | | | | 319 | |
Carnival | | | | | | | | |
7.000%, 08/15/2029 (A) | | | 145 | | | | 154 | |
4.000%, 08/01/2028 (A) | | | 70 | | | | 68 | |
Carnival Holdings Bermuda | | | | | | | | |
10.375%, 05/01/2028 (A) | | | 100 | | | | 108 | |
Cirsa Finance International Sarl | | | | | | | | |
6.500%, 03/15/2029 (A) | | EUR | 131 | | | | 153 | |
Cougar JV Subsidiary | | | | | | | | |
8.000%, 05/15/2032 (A) | | $ | 618 | | | | 653 | |
CSC Holdings | | | | | | | | |
11.750%, 01/31/2029 (A) | | | 800 | | | | 773 | |
5.750%, 01/15/2030 (A) | | | 250 | | | | 129 | |
5.500%, 04/15/2027 (A) | | | 200 | | | | 176 | |
5.375%, 02/01/2028 (A) | | | 430 | | | | 362 | |
4.125%, 12/01/2030 (A) | | | 300 | | | | 219 | |
3.375%, 02/15/2031 (A) | | | 225 | | | | 160 | |
DirecTV Financing | | | | | | | | |
5.875%, 08/15/2027 (A) | | | 905 | | | | 889 | |
DISH Network | | | | | | | | |
11.750%, 11/15/2027 (A) | | | 530 | | | | 556 | |
Empire Communities | | | | | | | | |
9.750%, 05/01/2029 (A) | | | 140 | | | | 149 | |
Foot Locker | | | | | | | | |
4.000%, 10/01/2029 (A) | | | 370 | | | | 322 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Ford Motor Credit | | | | | | | | |
5.850%, 05/17/2027 | | $ | 343 | | | $ | 349 | |
Foundation Building Materials | | | | | | | | |
6.000%, 03/01/2029 (A) | | | 625 | | | | 550 | |
Full House Resorts | | | | | | | | |
8.250%, 02/15/2028 (A) | | | 450 | | | | 451 | |
General Motors | | | | | | | | |
5.950%, 04/01/2049 | | | 36 | | | | 36 | |
General Motors Financial | | | | | | | | |
5.650%, 01/17/2029 | | | 165 | | | | 170 | |
Genting New York | | | | | | | | |
7.250%, 10/01/2029 (A) | | | 860 | | | | 870 | |
Getty Images | | | | | | | | |
9.750%, 03/01/2027 (A) | | | 242 | | | | 242 | |
Global Auto Holdings | | | | | | | | |
8.750%, 01/15/2032 (A) | | | 260 | | | | 243 | |
Group 1 Automotive | | | | | | | | |
6.375%, 01/15/2030 (A) | | | 95 | | | | 97 | |
Hilton Grand Vacations Borrower Escrow | | | | | | | | |
5.000%, 06/01/2029 (A) | | | 710 | | | | 675 | |
Historic TW | | | | | | | | |
8.300%, 01/15/2036 (C) | | | 310 | | | | 344 | |
Hyundai Capital America | | | | | | | | |
6.200%, 09/21/2030 (A) | | | 735 | | | | 793 | |
KB Home | | | | | | | | |
7.250%, 07/15/2030 | | | 380 | | | | 397 | |
LCM Investments Holdings II | | | | | | | | |
4.875%, 05/01/2029 (A) | | | 845 | | | | 812 | |
MajorDrive Holdings IV | | | | | | | | |
6.375%, 06/01/2029 (A) | | | 740 | | | | 720 | |
Marks & Spencer | | | | | | | | |
7.125%, 12/01/2037 (A) | | | 120 | | | | 132 | |
Match Group Holdings II | | | | | | | | |
5.625%, 02/15/2029 (A) | | | 155 | | | | 155 | |
3.625%, 10/01/2031 (A) | | | 115 | | | | 103 | |
McClatchy | | | | | | | | |
11.000%, 07/15/2027 (A) | | | 242 | | | | 267 | |
Mclaren Finance | | | | | | | | |
7.500%, 08/01/2026 (A) | | | 380 | | | | 351 | |
Melco Resorts Finance | | | | | | | | |
7.625%, 04/17/2032 (A) | | | 525 | | | | 541 | |
MercadoLibre | | | | | | | | |
3.125%, 01/14/2031 | | | 240 | | | | 217 | |
Michaels | | | | | | | | |
5.250%, 05/01/2028 (A) | | | 120 | | | | 89 | |
Mohegan Tribal Gaming Authority | | | | | | | | |
8.000%, 02/01/2026 (A) | | | 216 | | | | 214 | |
NCL | | | | | | | | |
8.125%, 01/15/2029 (A) | | | 230 | | | | 246 | |
5.875%, 03/15/2026 (A) | | | 50 | | | | 50 | |
Newell Brands | | | | | | | | |
6.375%, 09/15/2027 | | | 70 | | | | 71 | |
5.700%, 04/01/2026 | | | 230 | | | | 230 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Penske Automotive Group | | | | | | | | |
3.750%, 06/15/2029 | | $ | 593 | | | $ | 553 | |
Phinia | | | | | | | | |
6.750%, 04/15/2029 (A) | | | 250 | | | | 258 | |
6.625%, 10/15/2032 (A) | | | 180 | | | | 182 | |
PM General Purchaser | | | | | | | | |
9.500%, 10/01/2028 (A) | | | 520 | | | | 529 | |
Royal Caribbean Cruises | | | | | | | | |
6.250%, 03/15/2032 (A) | | | 325 | | | | 337 | |
6.000%, 02/01/2033 (A) | | | 250 | | | | 256 | |
5.625%, 09/30/2031 (A) | | | 500 | | | | 507 | |
4.250%, 07/01/2026 (A) | | | 140 | | | | 138 | |
Sally Holdings | | | | | | | | |
6.750%, 03/01/2032 | | | 120 | | | | 123 | |
Sands China | | | | | | | | |
5.400%, 08/08/2028 | | | 240 | | | | 242 | |
3.250%, 08/08/2031 | | | 200 | | | | 176 | |
2.850%, 03/08/2029 | | | 200 | | | | 182 | |
SeaWorld Parks & Entertainment | | | | | | | | |
5.250%, 08/15/2029 (A) | | | 622 | | | | 607 | |
Specialty Building Products Holdings | | | | | | | | |
6.375%, 09/30/2026 (A) | | | 445 | | | | 443 | |
TKC Holdings | | | | | | | | |
10.500%, 05/15/2029 (A) | | | 60 | | | | 60 | |
6.875%, 05/15/2028 (A) | | | 370 | | | | 366 | |
TUI Cruises GmbH | | | | | | | | |
6.500%, 05/15/2026 (A) | | EUR | 339 | | | | 384 | |
Viking Cruises | | | | | | | | |
9.125%, 07/15/2031 (A) | | $ | 370 | | | | 405 | |
VOC Escrow | | | | | | | | |
5.000%, 02/15/2028 (A) | | | 250 | | | | 247 | |
Vortex Opco | | | | | | | | |
10.842%, TSFR3M + 6.250%, 04/30/2030 (A)(D) | | | 33 | | | | 33 | |
8.000%, 04/30/2030 (A) | | | 144 | | | | 56 | |
VZ Secured Financing BV | | | | | | | | |
5.000%, 01/15/2032 (A) | | | 485 | | | | 446 | |
Wand NewCo 3 | | | | | | | | |
7.625%, 01/30/2032 (A) | | | 15 | | | | 16 | |
Winnebago Industries | | | | | | | | |
6.250%, 07/15/2028 (A) | | | 360 | | | | 360 | |
WW International | | | | | | | | |
4.500%, 04/15/2029 (A) | | | 260 | | | | 57 | |
Wynn Resorts Finance | | | | | | | | |
7.125%, 02/15/2031 (A) | | | 70 | | | | 76 | |
Yum! Brands | | | | | | | | |
4.750%, 01/15/2030 (A) | | | 79 | | | | 78 | |
ZF North America Capital | | | | | | | | |
7.125%, 04/14/2030 (A) | | | 280 | | | | 290 | |
6.875%, 04/23/2032 (A) | | | 310 | | | | 311 | |
| | | | | | | | | |
| | | | | | | | 23,842 | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Consumer Staples — 0.7% | | | | |
Constellation Brands | | | | | | | | |
3.150%, 08/01/2029 | | $ | 560 | | | $ | 531 | |
H-Food Holdings | | | | | | | | |
8.500%, 06/01/2026 (A) | | | 1,090 | | | | 78 | |
Kraft Heinz Foods | | | | | | | | |
4.375%, 06/01/2046 | | | 1,561 | | | | 1,382 | |
Kronos Acquisition Holdings | | | | | | | | |
8.250%, 06/30/2031 (A) | | | 100 | | | | 100 | |
Post Holdings | | | | | | | | |
6.375%, 03/01/2033 (A) | | | 730 | | | | 742 | |
Simmons Foods | | | | | | | | |
4.625%, 03/01/2029 (A) | | | 90 | | | | 85 | |
Triton Water Holdings | | | | | | | | |
6.250%, 04/01/2029 (A) | | | 70 | | | | 70 | |
United Natural Foods | | | | | | | | |
6.750%, 10/15/2028 (A) | | | 420 | | | | 401 | |
US Foods | | | | | | | | |
4.750%, 02/15/2029 (A) | | | 461 | | | | 449 | |
| | | | | | | | | |
| | | | | | | | 3,838 | |
| | | | | | | | | |
Energy — 5.8% | | | | |
Aethon United BR | | | | | | | | |
7.500%, 10/01/2029 (A) | | | 185 | | | | 187 | |
Antero Midstream Partners | | | | | | | | |
6.625%, 02/01/2032 (A) | | | 455 | | | | 471 | |
Archrock Partners | | | | | | | | |
6.625%, 09/01/2032 (A) | | | 340 | | | | 349 | |
Berry Petroleum | | | | | | | | |
7.000%, 02/15/2026 (A) | | | 270 | | | | 262 | |
Blue Racer Midstream | | | | | | | | |
7.250%, 07/15/2032 (A) | | | 320 | | | | 336 | |
7.000%, 07/15/2029 (A) | | | 130 | | | | 135 | |
Buckeye Partners | | | | | | | | |
6.875%, 07/01/2029 (A) | | | 430 | | | | 441 | |
Chord Energy Corp | | | | | | | | |
6.375%, 06/01/2026 (A) | | | 430 | | | | 431 | |
Civitas Resources | | | | | | | | |
8.375%, 07/01/2028 (A) | | | 245 | | | | 255 | |
CNX Midstream Partners | | | | | | | | |
4.750%, 04/15/2030 (A) | | | 300 | | | | 280 | |
CNX Resources | | | | | | | | |
7.250%, 03/01/2032 (A) | | | 220 | | | | 231 | |
Columbia Pipelines Operating | | | | | | | | |
6.036%, 11/15/2033 (A) | | | 595 | | | | 635 | |
CQP Holdco | | | | | | | | |
5.500%, 06/15/2031 (A) | | | 689 | | | | 676 | |
Crescent Energy Finance | | | | | | | | |
9.250%, 02/15/2028 (A) | | | 230 | | | | 240 | |
7.625%, 04/01/2032 (A) | | | 60 | | | | 60 | |
7.375%, 01/15/2033 (A) | | | 705 | | | | 694 | |
Delek Logistics Partners | | | | | | | | |
8.625%, 03/15/2029 (A) | | | 285 | | | | 300 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Ecopetrol | | | | | | | | |
8.375%, 01/19/2036 | | $ | 340 | | | $ | 348 | |
6.875%, 04/29/2030 | | | 810 | | | | 809 | |
Energy Transfer | | | | | | | | |
7.125%, H15T5Y + 5.306%(D)(E) | | | 50 | | | | 51 | |
EnLink Midstream Partners | | | | | | | | |
9.313%, TSFR3M + 4.372%(D)(E) | | | 669 | | | | 670 | |
EQM Midstream Partners | | | | | | | | |
7.500%, 06/01/2030 (A) | | | 160 | | | | 176 | |
Genesis Energy | | | | | | | | |
7.875%, 05/15/2032 | | | 495 | | | | 504 | |
Global Partners | | | | | | | | |
6.875%, 01/15/2029 | | | 380 | | | | 381 | |
Hilcorp Energy I | | | | | | | | |
8.375%, 11/01/2033 (A) | | | 300 | | | | 323 | |
Howard Midstream Energy Partners | | | | | | | | |
8.875%, 07/15/2028 (A) | | | 430 | | | | 456 | |
7.375%, 07/15/2032 (A) | | | 415 | | | | 430 | |
Kinetik Holdings | | | | | | | | |
5.875%, 06/15/2030 (A) | | | 545 | | | | 549 | |
Kodiak Gas Services | | | | | | | | |
7.250%, 02/15/2029 (A) | | | 618 | | | | 640 | |
Marathon Petroleum | | | | | | | | |
3.800%, 04/01/2028 | | | 305 | | | | 300 | |
Matador Resources | | | | | | | | |
6.875%, 04/15/2028 (A) | | | 540 | | | | 549 | |
6.500%, 04/15/2032 (A) | | | 260 | | | | 259 | |
6.250%, 04/15/2033 (A) | | | 378 | | | | 372 | |
MPLX | | | | | | | | |
4.800%, 02/15/2029 | | | 230 | | | | 234 | |
Murphy Oil | | | | | | | | |
6.000%, 10/01/2032 | | | 276 | | | | 272 | |
Nabors Industries | | | | | | | | |
7.375%, 05/15/2027 (A) | | | 353 | | | | 354 | |
Noble Finance II | | | | | | | | |
8.000%, 04/15/2030 (A) | | | 900 | | | | 929 | |
Northern Oil & Gas | | | | | | | | |
8.125%, 03/01/2028 (A) | | | 250 | | | | 252 | |
NuStar Logistics | | | | | | | | |
6.375%, 10/01/2030 | | | 475 | | | | 493 | |
Occidental Petroleum | | | | | | | | |
7.950%, 06/15/2039 | | | 600 | | | | 720 | |
7.150%, 05/15/2028 | | | 190 | | | | 203 | |
6.625%, 09/01/2030 | | | 650 | | | | 701 | |
4.400%, 08/15/2049 | | | 20 | | | | 16 | |
ONEOK | | | | | | | | |
6.350%, 01/15/2031 | | | 305 | | | | 330 | |
Pan American Energy | | | | | | | | |
8.500%, 04/30/2032 (A) | | | 350 | | | | 370 | |
Permian Resources Operating | | | | | | | | |
9.875%, 07/15/2031 (A) | | | 490 | | | | 547 | |
7.000%, 01/15/2032 (A) | | | 200 | | | | 208 | |
6.250%, 02/01/2033 (A) | | | 285 | | | | 289 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.875%, 07/01/2029 (A) | | $ | 210 | | | $ | 210 | |
Petrobras Global Finance BV | | | | | | | | |
5.299%, 01/27/2025 | | | 290 | | | | 289 | |
Petroleos de Venezuela | | | | | | | | |
6.000%, 05/16/2024 (B) | | | 3,790 | | | | 358 | |
6.000%, 11/15/2026 (B) | | | 1,110 | | | | 105 | |
5.500%, 04/12/2037 (B) | | | 130 | | | | 12 | |
5.375%, 04/12/2027 (B) | | | 2,570 | | | | 244 | |
Petroleos Mexicanos | | | | | | | | |
7.690%, 01/23/2050 | | | 406 | | | | 317 | |
6.950%, 01/28/2060 | | | 207 | | | | 148 | |
6.490%, 01/23/2027 | | | 73 | | | | 72 | |
5.350%, 02/12/2028 | | | 180 | | | | 168 | |
4.500%, 01/23/2026 | | | 40 | | | | 39 | |
Petroleos Mexicanos MTN | | | | | | | | |
6.750%, 09/21/2047 | | | 16 | | | | 11 | |
Plains All American Pipeline | | | | | | | | |
9.490%, TSFR3M + 4.372%(D)(E) | | | 560 | | | | 558 | |
Prairie Acquiror | | | | | | | | |
9.000%, 08/01/2029 (A) | | | 665 | | | | 687 | |
Puma International Financing | | | | | | | | |
7.750%, 04/25/2029 (A) | | | 350 | | | | 360 | |
QazaqGaz NC JSC | | | | | | | | |
4.375%, 09/26/2027 (A) | | | 300 | | | | 292 | |
Range Resources | | | | | | | | |
8.250%, 01/15/2029 | | | 50 | | | | 52 | |
4.750%, 02/15/2030 (A) | | | 380 | | | | 366 | |
Rockies Express Pipeline | | | | | | | | |
7.500%, 07/15/2038 (A) | | | 90 | | | | 94 | |
6.875%, 04/15/2040 (A) | | | 60 | | | | 58 | |
Shelf Drilling Holdings | | | | | | | | |
9.625%, 04/15/2029 (A) | | | 350 | | | | 323 | |
Sitio Royalties Operating Partnership | | | | | | | | |
7.875%, 11/01/2028 (A) | | | 410 | | | | 429 | |
SM Energy | | | | | | | | |
7.000%, 08/01/2032 (A) | | | 290 | | | | 291 | |
6.750%, 08/01/2029 (A) | | | 180 | | | | 181 | |
Southwestern Energy | | | | | | | | |
8.375%, 09/15/2028 | | | 70 | | | | 72 | |
4.750%, 02/01/2032 | | | 865 | | | | 827 | |
Summit Midstream Holdings | | | | | | | | |
9.500%, 10/15/2026 (A)(C) | | | 140 | | | | 143 | |
8.625%, 10/31/2029 (A) | | | 825 | | | | 863 | |
Sunoco | | | | | | | | |
7.250%, 05/01/2032 (A) | | | 230 | | | | 244 | |
7.000%, 05/01/2029 (A) | | | 300 | | | | 313 | |
4.500%, 05/15/2029 | | | 200 | | | | 192 | |
Tallgrass Energy Partners | | | | | | | | |
7.375%, 02/15/2029 (A) | | | 365 | | | | 369 | |
6.000%, 12/31/2030 (A) | | | 165 | | | | 157 | |
TechnipFMC | | | | | | | | |
6.500%, 02/01/2026 (A) | | | 740 | | | | 742 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Transocean | | | | | | | | |
8.750%, 02/15/2030 (A) | | $ | 60 | | | $ | 62 | |
8.500%, 05/15/2031 (A) | | | 120 | | | | 119 | |
8.250%, 05/15/2029 (A) | | | 120 | | | | 119 | |
Transocean Poseidon | | | | | | | | |
6.875%, 02/01/2027 (A) | | | 213 | | | | 213 | |
Transocean Titan Financing | | | | | | | | |
8.375%, 02/01/2028 (A) | | | 190 | | | | 196 | |
USA Compression Partners | | | | | | | | |
7.125%, 03/15/2029 (A) | | | 440 | | | | 453 | |
Venture Global Calcasieu Pass | | | | | | | | |
6.250%, 01/15/2030 (A) | | | 400 | | | | 419 | |
4.125%, 08/15/2031 (A) | | | 200 | | | | 186 | |
Venture Global LNG | | | | | | | | |
9.875%, 02/01/2032 (A) | | | 220 | | | | 244 | |
9.000%, H15T5Y + 5.440%(A)(D)(E) | | | 330 | | | | 334 | |
8.125%, 06/01/2028 (A) | | | 750 | | | | 782 | |
7.000%, 01/15/2030 (A) | | | 400 | | | | 409 | |
Wildfire Intermediate Holdings | | | | | | | | |
7.500%, 10/15/2029 (A) | | | 185 | | | | 182 | |
| | | | | | | | | |
| | | | | | | | 32,022 | |
| | | | | | | | | |
Financials — 10.4% | | | | |
Accelerate360 Holdings | | | | | | | | |
8.000%, 03/01/2028 (A) | | | 1,154 | | | | 1,189 | |
Acrisure | | | | | | | | |
8.250%, 02/01/2029 (A) | | | 180 | | | | 186 | |
6.000%, 08/01/2029 (A) | | | 645 | | | | 622 | |
4.250%, 02/15/2029 (A) | | | 430 | | | | 406 | |
AG Issuer | | | | | | | | |
6.250%, 03/01/2028 (A) | | | 786 | | | | 768 | |
AG TTMT Escrow Issuer | | | | | | | | |
8.625%, 09/30/2027 (A) | | | 90 | | | | 92 | |
Alliant Holdings Intermediate | | | | | | | | |
6.750%, 10/15/2027 (A) | | | 420 | | | | 418 | |
Ally Financial | | | | | | | | |
4.700%, H15T7Y + 3.481%(D)(E) | | | 1,235 | | | | 1,009 | |
American International Group | | | | | | | | |
3.400%, 06/30/2030 | | | 215 | | | | 203 | |
Ardonagh Group Finance | | | | | | | | |
8.875%, 02/15/2032 (A) | | | 826 | | | | 854 | |
Aviation Capital Group | | | | | | | | |
1.950%, 01/30/2026 (A) | | | 330 | | | | 318 | |
Avolon Holdings Funding | | | | | | | | |
4.250%, 04/15/2026 (A) | | | 90 | | | | 89 | |
2.875%, 02/15/2025 (A) | | | 1,170 | | | | 1,158 | |
B3 - Brasil Bolsa Balcao | | | | | | | | |
4.125%, 09/20/2031 (A) | | | 300 | | | | 277 | |
Banco do Brasil | | | | | | | | |
8.748%, H15T10Y + 4.398%(D)(E) | | | 349 | | | | 354 | |
Banco Mercantil del Norte | | | | | | | | |
7.500%, H15T10Y + 5.470%(A)(D)(E) | | | 570 | | | | 575 | |
5.875%, H15T5Y + 4.643%(A)(D)(E) | | | 1,340 | | | | 1,316 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Banco Santander | | | | | | | | |
6.921%, 08/08/2033 | | $ | 600 | | | $ | 664 | |
4.250%, 04/11/2027 | | | 200 | | | | 199 | |
3.306%, 06/27/2029 | | | 400 | | | | 383 | |
2.746%, 05/28/2025 | | | 600 | | | | 591 | |
Bank of America | | | | | | | | |
5.202%, SOFRRATE + 1.630%, 04/25/2029 (D) | | | 995 | | | | 1,023 | |
3.419%, TSFR3M + 1.302%, 12/20/2028 (D) | | | 1,975 | | | | 1,921 | |
Bank of America MTN | | | | | | | | |
5.015%, SOFRRATE + 2.160%, 07/22/2033 (D) | | | 525 | | | | 539 | |
3.824%, TSFR3M + 1.837%, 01/20/2028 (D) | | | 1,425 | | | | 1,409 | |
Bank of New York Mellon MTN | | | | | | | | |
4.596%, SOFRRATE + 1.755%, 07/26/2030 (D) | | | 75 | | | | 76 | |
Bank of Nova Scotia | | | | | | | | |
8.000%, H15T5Y + 4.017%, 01/27/2084 (D) | | | 300 | | | | 321 | |
Barclays | | | | | | | | |
7.125%, GUKG5 + 6.579%(D)(E) | | GBP | 700 | | | | 939 | |
2.852%, SOFRRATE + 2.714%, 05/07/2026 (D) | | $ | 725 | | | | 716 | |
BNP Paribas | | | | | | | | |
7.750%, H15T5Y + 4.899%(A)(D)(E) | | | 270 | | | | 284 | |
BPCE | | | | | | | | |
4.625%, 09/12/2028 (A) | | | 250 | | | | 249 | |
2.277%, SOFRRATE + 1.312%, 01/20/2032 (A)(D) | | | 375 | | | | 320 | |
BroadStreet Partners | | | | | | | | |
5.875%, 04/15/2029 (A) | | | 840 | | | | 801 | |
Burford Capital Global Finance | | | | | | | | |
9.250%, 07/01/2031 (A) | | | 370 | | | | 398 | |
Citigroup | | | | | | | | |
4.910%, SOFRRATE + 2.086%, 05/24/2033 (D) | | | 535 | | | | 539 | |
4.125%, 07/25/2028 | | | 1,360 | | | | 1,349 | |
4.000%, H15T5Y + 3.597%(D)(E) | | | 250 | | | | 245 | |
Cooperatieve Rabobank UA | | | | | | | | |
4.625%, EUSA5 + 4.098%(D)(E) | | EUR | 800 | | | | 884 | |
Credit Agricole | | | | | | | | |
8.125%, USSW5 + 6.185%(A)(D)(E) | | $ | 300 | | | | 309 | |
Deutsche Bank | | | | | | | | |
6.000%, H15T5Y + 4.524%(D)(E) | | | 200 | | | | 196 | |
First Horizon National | | | | | | | | |
4.000%, 05/26/2025 | | | 585 | | | | 580 | |
FirstCash | | | | | | | | |
5.625%, 01/01/2030 (A) | | | 140 | | | | 139 | |
Focus Financial Partners | | | | | | | | |
6.750%, 09/15/2031 (A) | | | 430 | | | | 434 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Freedom Mortgage | | | | | | | | |
6.625%, 01/15/2027 (A) | | $ | 710 | | | $ | 712 | |
Freedom Mortgage Holdings | | | | | | | | |
9.250%, 02/01/2029 (A) | | | 240 | | | | 249 | |
HSBC Holdings | | | | | | | | |
4.950%, 03/31/2030 | | | 226 | | | | 232 | |
1.645%, SOFRRATE + 1.538%, 04/18/2026 (D) | | | 1,000 | | | | 981 | |
HUB International | | | | | | | | |
7.375%, 01/31/2032 (A) | | | 300 | | | | 310 | |
Inter-American Development Bank MTN | | | | | | | | |
7.350%, 10/06/2030 | | INR | 116,000 | | | | 1,414 | |
Intercontinental Exchange | | | | | | | | |
2.100%, 06/15/2030 | | $ | 750 | | | | 671 | |
Intesa Sanpaolo | | | | | | | | |
7.800%, 11/28/2053 (A) | | | 530 | | | | 635 | |
Intesa Sanpaolo MTN | | | | | | | | |
5.710%, 01/15/2026 (A) | | | 330 | | | | 333 | |
Itau Unibanco Holding | | | | | | | | |
4.625%, H15T5Y + 3.222%(A)(D)(E) | | | 720 | | | | 702 | |
Jane Street Group | | | | | | | | |
7.125%, 04/30/2031 (A) | | | 310 | | | | 328 | |
JPMorgan Chase | | | | | | | | |
4.912%, SOFRRATE + 2.080%, 07/25/2033 (D) | | | 530 | | | | 541 | |
4.323%, SOFRRATE + 1.560%, 04/26/2028 (D) | | | 1,870 | | | | 1,874 | |
2.956%, TSFR3M + 2.515%, 05/13/2031 (D) | | | 230 | | | | 212 | |
Ladder Capital Finance Holdings LLLP | | | | | | | | |
7.000%, 07/15/2031 (A) | | | 350 | | | | 371 | |
Lloyds Banking Group | | | | | | | | |
8.500%, GUKG5 + 5.143%(D)(E) | | GBP | 240 | | | | 338 | |
M&T Bank | | | | | | | | |
5.053%, SOFRRATE + 1.850%, 01/27/2034 (D) | | $ | 495 | | | | 491 | |
Midcap Financial Issuer Trust | | | | | | | | |
6.500%, 05/01/2028 (A) | | | 612 | | | | 593 | |
Morgan Stanley | | | | | | | | |
4.210%, SOFRRATE + 1.610%, 04/20/2028 (D) | | | 1,820 | | | | 1,816 | |
Morgan Stanley MTN | | | | | | | | |
5.164%, SOFRRATE + 1.590%, 04/20/2029 (D) | | | 815 | | | | 838 | |
4.889%, SOFRRATE + 2.076%, 07/20/2033 (D) | | | 525 | | | | 532 | |
3.950%, 04/23/2027 | | | 565 | | | | 559 | |
1.794%, SOFRRATE + 1.034%, 02/13/2032 (D) | | | 585 | | | | 495 | |
Nationstar Mortgage Holdings | | | | | | | | |
5.500%, 08/15/2028 (A) | | | 185 | | | | 183 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Nationwide Building Society | | | | | | | | |
3.960%, US0003M + 1.855%, 07/18/2030 (A)(D) | | $ | 450 | | | $ | 438 | |
NatWest Group | | | | | | | | |
4.500%, GUKG5 + 3.992%(D)(E) | | GBP | 760 | | | | 928 | |
3.754%, H15T5Y + 2.100%, 11/01/2029 (D) | | $ | 225 | | | | 224 | |
Navient | | | | | | | | |
9.375%, 07/25/2030 | | | 420 | | | | 466 | |
5.500%, 03/15/2029 | | | 329 | | | | 319 | |
Oxford Finance | | | | | | | | |
6.375%, 02/01/2027 (A) | | | 330 | | | | 328 | |
PNC Financial Services Group | | | | | | | | |
6.200%, H15T5Y + 3.238%(D)(E) | | | 1,260 | | | | 1,283 | |
Rocket Mortgage | | | | | | | | |
3.625%, 03/01/2029 (A) | | | 360 | | | | 338 | |
Saga | | | | | | | | |
5.500%, 07/15/2026 | | GBP | 260 | | | | 329 | |
SBA Tower Trust | | | | | | | | |
4.831%, 10/15/2029 (A) | | $ | 750 | | | | 746 | |
Shift4 Payments | | | | | | | | |
6.750%, 08/15/2032 (A) | | | 150 | | | | 157 | |
Starwood Property Trust | | | | | | | | |
7.250%, 04/01/2029 (A) | | | 160 | | | | 168 | |
State Street | | | | | | | | |
6.700%, H15T5Y + 2.613%(D)(E) | | | 100 | | | | 104 | |
StoneX Group | | | | | | | | |
7.875%, 03/01/2031 (A) | | | 445 | | | | 474 | |
Toronto-Dominion Bank | | | | | | | | |
8.125%, H15T5Y + 4.075%, 10/31/2082 (D) | | | 200 | | | | 215 | |
Truist Financial | | | | | | | | |
6.669%, H15T5Y + 3.003%(D)(E) | | | 1,025 | | | | 1,019 | |
UBS Group | | | | | | | | |
9.250%, H15T5Y + 4.745%(A)(D)(E) | | | 480 | | | | 531 | |
7.750%, USISSO05 + 4.160%(A)(D)(E) | | | 270 | | | | 289 | |
4.550%, 04/17/2026 | | | 802 | | | | 804 | |
3.875%, H15T5Y + 3.098%(A)(D)(E) | | | 1,232 | | | | 1,172 | |
3.869%, US0003M + 1.410%, 01/12/2029 (A)(D) | | | 600 | | | | 587 | |
2.746%, H15T1Y + 1.100%, 02/11/2033 (A)(D) | | | 340 | | | | 294 | |
UniCredit MTN | | | | | | | | |
5.459%, H15T5Y + 4.750%, 06/30/2035 (A)(D) | | | 240 | | | | 236 | |
United Wholesale Mortgage | | | | | | | | |
5.500%, 04/15/2029 (A) | | | 451 | | | | 439 | |
USI | | | | | | | | |
7.500%, 01/15/2032 (A) | | | 230 | | | | 238 | |
VFH Parent | | | | | | | | |
7.500%, 06/15/2031 (A) | | | 285 | | | | 299 | |
Wells Fargo | | | | | | | | |
7.625%, H15T5Y + 3.606%(D)(E) | | | 500 | | | | 545 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
6.850%, H15T5Y + 2.767%(D)(E) | | $ | 425 | | | $ | 444 | |
5.875%(D)(E) | | | 495 | | | | 496 | |
Wells Fargo MTN | | | | | | | | |
4.897%, SOFRRATE + 2.100%, 07/25/2033 (D) | | | 1,155 | | | | 1,168 | |
4.100%, 06/03/2026 | | | 1,475 | | | | 1,470 | |
Yapi ve Kredi Bankasi | | | | | | | | |
9.250%, H15T5Y + 5.278%, 01/17/2034 (A)(D) | | | 340 | | | | 362 | |
| | | | | | | | | |
| | | | | | | | 57,662 | |
| | | | | | | | | |
Health Care — 2.9% | | | | |
AdaptHealth | | | | | | | | |
6.125%, 08/01/2028 (A) | | | 475 | | | | 475 | |
5.125%, 03/01/2030 (A) | | | 265 | | | | 248 | |
4.625%, 08/01/2029 (A) | | | 205 | | | | 190 | |
Akumin | | | | | | | | |
9.000%cash/0% PIK, 08/01/2027 (A) | | | 750 | | | | 666 | |
Amgen | | | | | | | | |
5.250%, 03/02/2033 | | | 840 | | | | 874 | |
APX Group | | | | | | | | |
5.750%, 07/15/2029 (A) | | | 711 | | | | 704 | |
AthenaHealth Group | | | | | | | | |
6.500%, 02/15/2030 (A) | | | 865 | | | | 831 | |
Bausch Health | | | | | | | | |
7.000%, 01/15/2028 (A) | | | 130 | | | | 89 | |
5.500%, 11/01/2025 (A) | | | 310 | | | | 303 | |
5.000%, 02/15/2029 (A) | | | 390 | | | | 225 | |
Bayer US Finance II | | | | | | | | |
4.375%, 12/15/2028 (A) | | | 300 | | | | 296 | |
4.250%, 12/15/2025 (A) | | | 500 | | | | 496 | |
Becton Dickinson | | | | | | | | |
2.823%, 05/20/2030 | | | 585 | | | | 540 | |
CAB SELAS | | | | | | | | |
3.375%, 02/01/2028 (A) | | EUR | 325 | | | | 335 | |
CHS | | | | | | | | |
10.875%, 01/15/2032 (A) | | $ | 270 | | | | 297 | |
6.875%, 04/15/2029 (A) | | | 100 | | | | 91 | |
6.125%, 04/01/2030 (A) | | | 200 | | | | 171 | |
5.625%, 03/15/2027 (A) | | | 510 | | | | 502 | |
CVS Health | | | | | | | | |
4.300%, 03/25/2028 | | | 890 | | | | 888 | |
3.750%, 04/01/2030 | | | 550 | | | | 527 | |
DaVita | | | | | | | | |
3.750%, 02/15/2031 (A) | | | 759 | | | | 685 | |
Endo Finance Holdings | | | | | | | | |
8.500%, 04/15/2031 (A) | | | 170 | | | | 182 | |
LifePoint Health | | | | | | | | |
9.875%, 08/15/2030 (A) | | | 310 | | | | 342 | |
5.375%, 01/15/2029 (A) | | | 830 | | | | 784 | |
Medline Borrower | | | | | | | | |
6.250%, 04/01/2029 (A) | | | 120 | | | | 124 | |
5.250%, 10/01/2029 (A) | | | 610 | | | | 598 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
3.875%, 04/01/2029 (A) | | $ | 850 | | | $ | 805 | |
Option Care Health | | | | | | | | |
4.375%, 10/31/2029 (A) | | | 280 | | | | 266 | |
Perrigo Finance Unlimited | | | | | | | | |
6.125%, 09/30/2032 | | | 165 | | | | 166 | |
Prime Healthcare Services | | | | | | | | |
9.375%, 09/01/2029 (A) | | | 310 | | | | 320 | |
Sotera Health Holdings | | | | | | | | |
7.375%, 06/01/2031 (A) | | | 300 | | | | 311 | |
Team Health Holdings | | | | | | | | |
13.500%cash/0% PIK, 06/30/2028 (A) | | | 530 | | | | 590 | |
Tenet Healthcare | | | | | | | | |
6.125%, 06/15/2030 | | | 311 | | | | 316 | |
Teva Pharmaceutical Finance Netherlands III BV | | | | | | | | |
4.100%, 10/01/2046 | | | 700 | | | | 520 | |
US Renal Care | | | | | | | | |
10.625%, 06/28/2028 (A) | | | 151 | | | | 131 | |
Verisure Holding | | | | | | | | |
3.250%, 02/15/2027 (A) | | EUR | 375 | | | | 411 | |
Zoetis | | | | | | | | |
2.000%, 05/15/2030 | | $ | 1,030 | | | | 910 | |
| | | | | | | | | |
| | | | | | | | 16,209 | |
| | | | | | | | | |
Industrials — 6.3% | | | | |
Adani Ports & Special Economic Zone | | | | | | | | |
4.000%, 07/30/2027 | | | 1,825 | | | | 1,746 | |
Advanced Drainage Systems | | | | | | | | |
6.375%, 06/15/2030 (A) | | | 200 | | | | 204 | |
AerCap Holdings | | | | | | | | |
5.875%, H15T5Y + 4.535%, 10/10/2079 (D) | | | 150 | | | | 150 | |
AerCap Ireland Capital DAC | | | | | | | | |
6.950%, H15T5Y + 2.720%, 03/10/2055 (D) | | | 150 | | | | 156 | |
Aeropuerto Internacional de Tocumen | | | | | | | | |
5.125%, 08/11/2061 (A) | | | 520 | | | | 411 | |
4.000%, 08/11/2041 (A) | | | 640 | | | | 516 | |
Air Lease MTN | | | | | | | | |
3.750%, 06/01/2026 | | | 560 | | | | 554 | |
American Airlines | | | | | | | | |
8.500%, 05/15/2029 (A) | | | 250 | | | | 266 | |
5.750%, 04/20/2029 (A) | | | 511 | | | | 510 | |
5.500%, 04/20/2026 (A) | | | 97 | | | | 97 | |
American News | | | | | | | | |
8.500%cash/0% PIK, 09/01/2026 (A) | | | 1,127 | | | | 1,263 | |
APi Group DE | | | | | | | | |
4.125%, 07/15/2029 (A) | | | 906 | | | | 852 | |
Arcosa | | | | | | | | |
6.875%, 08/15/2032 (A) | | | 120 | | | | 126 | |
4.375%, 04/15/2029 (A) | | | 355 | | | | 340 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
BCPE Empire Holdings | | | | | | | | |
7.625%, 05/01/2027 (A) | | $ | 430 | | | $ | 431 | |
Boeing | | | | | | | | |
5.805%, 05/01/2050 | | | 330 | | | | 319 | |
5.150%, 05/01/2030 | | | 140 | | | | 140 | |
3.450%, 11/01/2028 | | | 355 | | | | 334 | |
3.250%, 03/01/2028 | | | 395 | | | | 373 | |
Bombardier | | | | | | | | |
7.875%, 04/15/2027 (A) | | | 102 | | | | 102 | |
7.000%, 06/01/2032 (A) | | | 280 | | | | 293 | |
Cargo Aircraft Management | | | | | | | | |
4.750%, 02/01/2028 (A) | | | 225 | | | | 216 | |
Carriage Purchaser | | | | | | | | |
7.875%, 10/15/2029 (A) | | | 400 | | | | 372 | |
CoreCivic | | | | | | | | |
4.750%, 10/15/2027 | | | 570 | | | | 544 | |
Cornerstone Building Brands | | | | | | | | |
6.125%, 01/15/2029 (A) | | | 397 | | | | 351 | |
Dealer Tire | | | | | | | | |
8.000%, 02/01/2028 (A) | | | 1,224 | | | | 1,219 | |
DP World MTN | | | | | | | | |
5.625%, 09/25/2048 (A) | | | 250 | | | | 250 | |
Esab | | | | | | | | |
6.250%, 04/15/2029 (A) | | | 130 | | | | 134 | |
Garda World Security | | | | | | | | |
8.250%, 08/01/2032 (A) | | | 195 | | | | 200 | |
7.750%, 02/15/2028 (A) | | | 175 | | | | 181 | |
Gatwick Airport Finance | | | | | | | | |
4.375%, 04/07/2026 | | GBP | 510 | | | | 669 | |
GEO Group | | | | | | | | |
10.250%, 04/15/2031 | | $ | 430 | | | | 458 | |
8.625%, 04/15/2029 | | | 200 | | | | 208 | |
GFL Environmental | | | | | | | | |
6.750%, 01/15/2031 (A) | | | 210 | | | | 220 | |
4.000%, 08/01/2028 (A) | | | 713 | | | | 685 | |
Global Infrastructure Solutions | | | | | | | | |
7.500%, 04/15/2032 (A) | | | 320 | | | | 329 | |
5.625%, 06/01/2029 (A) | | | 620 | | | | 609 | |
GYP Holdings III | | | | | | | | |
4.625%, 05/01/2029 (A) | | | 335 | | | | 319 | |
Hertz | | | | | | | | |
12.625%, 07/15/2029 (A) | | | 218 | | | | 238 | |
Hillenbrand | | | | | | | | |
6.250%, 02/15/2029 | | | 217 | | | | 221 | |
3.750%, 03/01/2031 | | | 414 | | | | 370 | |
Husky Injection Molding Systems | | | | | | | | |
9.000%, 02/15/2029 (A) | | | 590 | | | | 616 | |
Johnson Controls International | | | | | | | | |
4.900%, 12/01/2032 | | | 140 | | | | 143 | |
Madison IAQ | | | | | | | | |
5.875%, 06/30/2029 (A) | | | 330 | | | | 321 | |
Mexico City Airport Trust | | | | | | | | |
5.500%, 10/31/2046 | | | 200 | | | | 172 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.500%, 07/31/2047 | | $ | 892 | | | $ | 770 | |
4.250%, 10/31/2026 (A) | | | 210 | | | | 207 | |
3.875%, 04/30/2028 (A) | | | 1,190 | | | | 1,147 | |
MHP Lux | | | | | | | | |
6.950%, 04/03/2026 | | | 984 | | | | 860 | |
MV24 Capital BV | | | | | | | | |
6.748%, 06/01/2034 | | | 1,963 | | | | 1,919 | |
Otis Worldwide | | | | | | | | |
2.565%, 02/15/2030 | | | 1,335 | | | | 1,223 | |
Railworks Holdings | | | | | | | | |
8.250%, 11/15/2028 (A) | | | 370 | | | | 383 | |
Rand Parent | | | | | | | | |
8.500%, 02/15/2030 (A) | | | 590 | | | | 602 | |
Regal Rexnord | | | | | | | | |
6.300%, 02/15/2030 | | | 535 | | | | 569 | |
RR Donnelley & Sons | | | | | | | | |
9.500%, 08/01/2029 (A) | | | 270 | | | | 272 | |
RXO | | | | | | | | |
7.500%, 11/15/2027 (A) | | | 365 | | | | 376 | |
Spirit AeroSystems | | | | | | | | |
9.750%, 11/15/2030 (A) | | | 525 | | | | 585 | |
Spirit Loyalty Cayman | | | | | | | | |
8.000%, 09/20/2025 (A) | | | 693 | | | | 381 | |
Standard Building Solutions | | | | | | | | |
6.500%, 08/15/2032 (A) | | | 335 | | | | 347 | |
Standard Industries | | | | | | | | |
4.375%, 07/15/2030 (A) | | | 455 | | | | 431 | |
Stanley Black & Decker | | | | | | | | |
4.250%, 11/15/2028 | | | 610 | | | | 609 | |
Terex | | | | | | | | |
6.250%, 10/15/2032 (A) | | | 205 | | | | 205 | |
TK Elevator Holdco GmbH | | | | | | | | |
7.625%, 07/15/2028 (A) | | | 1,146 | | | | 1,153 | |
TK Elevator US Newco | | | | | | | | |
5.250%, 07/15/2027 (A) | | | 380 | | | | 376 | |
TransDigm | | | | | | | | |
7.125%, 12/01/2031 (A) | | | 15 | | | | 16 | |
6.750%, 08/15/2028 (A) | | | 380 | | | | 391 | |
6.625%, 03/01/2032 (A) | | | 250 | | | | 260 | |
4.875%, 05/01/2029 | | | 479 | | | | 466 | |
4.625%, 01/15/2029 | | | 95 | | | | 92 | |
Triumph Group | | | | | | | | |
9.000%, 03/15/2028 (A) | | | 282 | | | | 295 | |
Tutor Perini | | | | | | | | |
11.875%, 04/30/2029 (A) | | | 300 | | | | 334 | |
Vertiv Group | | | | | | | | |
4.125%, 11/15/2028 (A) | | | 230 | | | | 222 | |
VistaJet Malta Finance | | | | | | | | |
7.875%, 05/01/2027 (A) | | | 1,250 | | | | 1,220 | |
VT Topco | | | | | | | | |
8.500%, 08/15/2030 (A) | | | 455 | | | | 485 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
XPO | | | | | | | | |
7.125%, 02/01/2032 (A) | | $ | 270 | | | $ | 284 | |
| | | | | | | | | |
| | | | | | | | 34,708 | |
| | | | | | | | | |
Information Technology — 2.4% | | | | |
Amentum Holdings | | | | | | | | |
7.250%, 08/01/2032 (A) | | | 130 | | | | 136 | |
Broadcom | | | | | | | | |
3.500%, 02/15/2041 (A) | | | 495 | | | | 407 | |
3.469%, 04/15/2034 (A) | | | 165 | | | | 149 | |
3.419%, 04/15/2033 (A) | | | 1,080 | | | | 981 | |
3.187%, 11/15/2036 (A) | | | 53 | | | | 45 | |
Castle US Holding | | | | | | | | |
9.500%, 02/15/2028 (A) | | | 1,334 | | | | 573 | |
Central Parent | | | | | | | | |
7.250%, 06/15/2029 (A) | | | 200 | | | | 204 | |
Clarivate Science Holdings | | | | | | | | |
4.875%, 07/01/2029 (A) | | | 656 | | | | 631 | |
Cloud Software Group | | | | | | | | |
8.250%, 06/30/2032 (A) | | | 610 | | | | 638 | |
CommScope | | | | | | | | |
6.000%, 03/01/2026 (A) | | | 300 | | | | 292 | |
Dell International | | | | | | | | |
6.020%, 06/15/2026 | | | 1,017 | | | | 1,041 | |
5.300%, 10/01/2029 | | | 75 | | | | 78 | |
Elastic | | | | | | | | |
4.125%, 07/15/2029 (A) | | | 485 | | | | 453 | |
EquipmentShare.com | | | | | | | | |
8.625%, 05/15/2032 (A) | | | 200 | | | | 210 | |
Gen Digital | | | | | | | | |
7.125%, 09/30/2030 (A) | | | 280 | | | | 294 | |
Imola Merger | | | | | | | | |
4.750%, 05/15/2029 (A) | | | 494 | | | | 482 | |
ION Trading Technologies Sarl | | | | | | | | |
9.500%, 05/30/2029 (A) | | | 200 | | | | 205 | |
McAfee | | | | | | | | |
7.375%, 02/15/2030 (A) | | | 650 | | | | 634 | |
MEGlobal Canada ULC MTN | | | | | | | | |
5.875%, 05/18/2030 (A) | | | 260 | | | | 272 | |
NXP BV | | | | | | | | |
3.400%, 05/01/2030 | | | 215 | | | | 203 | |
Oracle | | | | | | | | |
6.250%, 11/09/2032 | | | 2,035 | | | | 2,252 | |
2.950%, 04/01/2030 | | | 98 | | | | 91 | |
2.875%, 03/25/2031 | | | 510 | | | | 464 | |
Prosus MTN | | | | | | | | |
4.027%, 08/03/2050 (A) | | | 560 | | | | 409 | |
3.061%, 07/13/2031 (A) | | | 300 | | | | 265 | |
SNF Group | | | | | | | | |
3.375%, 03/15/2030 (A) | | | 310 | | | | 279 | |
Sprint Capital | | | | | | | | |
8.750%, 03/15/2032 | | | 480 | | | | 595 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
TeamSystem | | | | | | | | |
3.500%, 02/15/2028 (A) | | EUR | 300 | | | $ | 323 | |
United Group BV | | | | | | | | |
4.625%, 08/15/2028 (A) | | | 450 | | | | 495 | |
Vericast | | | | | | | | |
13.000%cash/0% PIK, 12/15/2030 (A) | | $ | 62 | | | | 73 | |
Viasat | | | | | | | | |
5.625%, 04/15/2027 (A) | | | 140 | | | | 132 | |
Virtusa | | | | | | | | |
7.125%, 12/15/2028 (A) | | | 190 | | | | 180 | |
| | | | | | | | | |
| | | | | | | | 13,486 | |
| | | | | | | | | |
Materials — 1.5% | | | | |
Anglo American Capital | | | | | | | | |
5.625%, 04/01/2030 (A) | | | 500 | | | | 520 | |
AngloGold Ashanti Holdings | | | | | | | | |
3.750%, 10/01/2030 | | | 730 | | | | 675 | |
ARD Finance | | | | | | | | |
6.500%cash/0% PIK, 06/30/2027 (A) | | | 1,065 | | | | 235 | |
Ardagh Metal Packaging Finance USA | | | | | | | | |
6.000%, 06/15/2027 (A) | | | 210 | | | | 212 | |
Ardagh Packaging Finance | | | | | | | | |
5.250%, 08/15/2027 (A) | | | 509 | | | | 379 | |
Avient | | | | | | | | |
7.125%, 08/01/2030 (A) | | | 355 | | | | 370 | |
Axalta Coating Systems | | | | | | | | |
3.375%, 02/15/2029 (A) | | | 642 | | | | 601 | |
Berry Global | | | | | | | | |
1.570%, 01/15/2026 | | | 305 | | | | 293 | |
Cerdia Finanz GmbH | | | | | | | | |
9.375%, 10/03/2031 (A) | | | 50 | | | | 51 | |
Chemours | | | | | | | | |
4.625%, 11/15/2029 (A) | | | 455 | | | | 407 | |
First Quantum Minerals | | | | | | | | |
9.375%, 03/01/2029 (A) | | | 510 | | | | 541 | |
6.875%, 10/15/2027 (A) | | | 230 | | | | 227 | |
Huntsman International | | | | | | | | |
4.500%, 05/01/2029 | | | 355 | | | | 348 | |
Ingevity | | | | | | | | |
3.875%, 11/01/2028 (A) | | | 515 | | | | 484 | |
LABL | | | | | | | | |
8.625%, 10/01/2031 (A) | | | 575 | | | | 571 | |
Newmont | | | | | | | | |
3.250%, 05/13/2030 | | | 150 | | | | 142 | |
OCP | | | | | | | | |
6.750%, 05/02/2034 (A) | | | 330 | | | | 354 | |
Olympus Water US Holding | | | | | | | | |
7.250%, 06/15/2031 (A) | | | 365 | | | | 380 | |
Sasol Financing USA | | | | | | | | |
5.500%, 03/18/2031 | | | 240 | | | | 214 | |
Scotts Miracle-Gro | | | | | | | | |
4.000%, 04/01/2031 | | | 586 | | | | 537 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Smyrna Ready Mix Concrete | | | | | | | | |
8.875%, 11/15/2031 (A) | | $ | 70 | | | $ | 76 | |
Suzano Austria GmbH | | | | | | | | |
3.125%, 01/15/2032 | | | 290 | | | | 252 | |
WR Grace Holdings | | | | | | | | |
5.625%, 08/15/2029 (A) | | | 475 | | | | 446 | |
| | | | | | | | | |
| | | | | | | | 8,315 | |
| | | | | | | | | |
Real Estate — 0.7% | | | | |
Agree | | | | | | | | |
2.900%, 10/01/2030 | | | 165 | | | | 150 | |
Alexandria Real Estate Equities | | | | | | | | |
3.375%, 08/15/2031 | | | 355 | | | | 331 | |
Anywhere Real Estate Group | | | | | | | | |
5.750%, 01/15/2029 (A) | | | 230 | | | | 192 | |
CoStar Group | | | | | | | | |
2.800%, 07/15/2030 (A) | | | 585 | | | | 527 | |
Cushman & Wakefield US Borrower | | | | | | | | |
8.875%, 09/01/2031 (A) | | | 125 | | | | 136 | |
Essex Portfolio | | | | | | | | |
3.000%, 01/15/2030 | | | 370 | | | | 344 | |
Five Point Operating | | | | | | | | |
10.500%, 11/15/2024 (A)(C) | | | 128 | | | | 131 | |
MPT Operating Partnership | | | | | | | | |
5.250%, 08/01/2026 | | | 340 | | | | 324 | |
5.000%, 10/15/2027 | | | 270 | | | | 242 | |
Prologis | | | | | | | | |
1.750%, 07/01/2030 | | | 280 | | | | 244 | |
Realty Income | | | | | | | | |
3.200%, 01/15/2027 | | | 560 | | | | 548 | |
2.850%, 12/15/2032 | | | 355 | | | | 310 | |
WP Carey | | | | | | | | |
4.250%, 10/01/2026 | | | 650 | | | | 647 | |
| | | | | | | | | |
| | | | | | | | 4,126 | |
| | | | | | | | | |
Utilities — 0.9% | | | | |
Alliant Energy Finance | | | | | | | | |
4.250%, 06/15/2028 (A) | | | 115 | | | | 113 | |
Alpha Generation | | | | | | | | |
6.750%, 10/15/2032 (A) | | | 70 | | | | 71 | |
American Electric Power | | | | | | | | |
2.300%, 03/01/2030 | | | 280 | | | | 252 | |
Berkshire Hathaway Energy | | | | | | | | |
4.250%, 10/15/2050 | | | 165 | | | | 141 | |
Edison International | | | | | | | | |
5.375%, H15T5Y + 4.698%(D)(E) | | | 510 | | | | 505 | |
Eskom Holdings SOC MTN | | | | | | | | |
6.350%, 08/10/2028 | | | 300 | | | | 305 | |
Lightning Power | | | | | | | | |
7.250%, 08/15/2032 (A) | | | 390 | | | | 410 | |
NiSource | | | | | | | | |
3.600%, 05/01/2030 | | | 50 | | | | 48 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Pampa Energia | | | | | | | | |
7.950%, 09/10/2031 (A) | | $ | 210 | | | $ | 213 | |
Pike | | | | | | | | |
8.625%, 01/31/2031 (A) | | | 50 | | | | 53 | |
5.500%, 09/01/2028 (A) | | | 693 | | | | 679 | |
Sempra | | | | | | | | |
3.400%, 02/01/2028 | | | 1,005 | | | | 975 | |
Southern California Edison | | | | | | | | |
4.200%, 03/01/2029 | | | 420 | | | | 419 | |
Sunnova Energy | | | | | | | | |
5.875%, 09/01/2026 (A) | | | 370 | | | | 345 | |
TransAlta | | | | | | | | |
7.750%, 11/15/2029 | | | 180 | | | | 190 | |
6.500%, 03/15/2040 | | | 150 | | | | 159 | |
Vistra Operations | | | | | | | | |
6.875%, 04/15/2032 (A) | | | 200 | | | | 210 | |
| | | | | | | | | |
| | | | | | | | 5,088 | |
| | | | | | | | | |
Total Corporate Obligations | | | | | | | | |
(Cost $224,764) ($ Thousands) | | | | | | | 214,930 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
ASSET-BACKED SECURITIES — 12.6% |
Automotive — 2.1% | | | | |
| | | | | |
Ally Bank Auto Credit-Linked Notes, Ser 2024-A, Cl E | | | | | | | | |
7.917%, 05/17/2032(A) | | | 872 | | | | 887 | |
American Credit Acceptance Receivables Trust, Ser 2022-1, Cl D | | | | | | | | |
2.460%, 03/13/2028(A) | | | 868 | | | | 858 | |
Carmax Select Receivables Trust, Ser 2024-A, Cl D | | | | | | | | |
6.270%, 12/16/2030 | | | 1,000 | | | | 1,033 | |
Exeter Automobile Receivables Trust, Ser 2024-3A, Cl E | | | | | | | | |
7.840%, 10/15/2031(A) | | | 1,156 | | | | 1,190 | |
Exeter Automobile Receivables Trust, Ser 2024-4A, Cl D | | | | | | | | |
5.810%, 12/16/2030 | | | 1,000 | | | | 1,023 | |
Exeter Automobile Receivables Trust, Ser 2024-4A, Cl E | | | | | | | | |
7.650%, 02/17/2032(A) | | | 1,480 | | | | 1,508 | |
FCCU Auto Receivables Trust, Ser 2024-1A, Cl C | | | | | | | | |
6.000%, 10/15/2030(A) | | | 1,000 | | | | 1,035 | |
FCCU Auto Receivables Trust, Ser 2024-1A, Cl D | | | | | | | | |
6.780%, 07/15/2032(A) | | | 1,000 | | | | 1,033 | |
LAD Auto Receivables Trust, Ser 2024-2A, Cl D | | | | | | | | |
6.370%, 10/15/2031(A) | | | 1,200 | | | | 1,237 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
PenFed Auto Receivables Owner Trust, Ser 2024-A, Cl D | | | | | | | | |
5.780%, 09/15/2032(A) | | $ | 685 | | | $ | 690 | |
SCCU Auto Receivables Trust, Ser 2024-1A, Cl D | | | | | | | | |
6.250%, 07/15/2032(A) | | | 1,000 | | | | 1,019 | |
Tricolor Auto Securitization Trust, Ser 2024-2A, Cl C | | | | | | | | |
6.930%, 04/17/2028(A) | | | 250 | | | | 255 | |
| | | | | | | | 11,768 | |
| | | | | | | | | |
Mortgage Related Securities — 0.9% | | | | |
| | | | | |
ACE Securities Home Equity Loan Trust, Ser 2004-HE3, Cl M1 | | | | | | | | |
5.899%, TSFR1M + 1.044%, 11/25/2034(D) | | | 254 | | | | 256 | |
Towd Point Mortgage Trust, Ser 2024-CES3, Cl A1 | | | | | | | | |
6.290%, 05/25/2064(A)(D) | | | 950 | | | | 961 | |
Towd Point Mortgage Trust, Ser 2024-CES3, Cl A2 | | | | | | | | |
6.413%, 05/25/2064(A)(D) | | | 1,000 | | | | 1,017 | |
Unlock HEA Trust, Ser 2024-1, Cl A | | | | | | | | |
7.000%, 04/25/2039(A) | | | 1,056 | | | | 1,060 | |
Unlock HEA Trust, Ser 2024-2, Cl B | | | | | | | | |
7.500%, 10/25/2039(A) | | | 500 | | | | 496 | |
Unlock HEA Trust, Ser 2024-2, Cl C | | | | | | | | |
6.000%, 10/25/2039(A) | | | 500 | | | | 369 | |
Vista Point Securitization Trust, Ser 2024-CES1, Cl M1 | | | | | | | | |
7.482%, 05/25/2054(A)(C) | | | 1,000 | | | | 1,020 | |
| | | | | | | | 5,179 | |
| | | | | | | | | |
Other Asset-Backed Securities — 9.6% | | | | |
| | | | | |
Affirm Asset Securitization Trust, Ser 2024-A, Cl 1C | | | | | | | | |
6.160%, 02/15/2029(A) | | | 2,000 | | | | 2,042 | |
ALLO Issuer, Ser 2024-1A, Cl B | | | | | | | | |
7.150%, 07/20/2054(A) | | | 1,000 | | | | 1,028 | |
ALLO Issuer, Ser 2024-1A, Cl C | | | | | | | | |
11.190%, 07/20/2054(A) | | | 1,000 | | | | 1,066 | |
AMMC CLO, Ser 2024-30A, Cl D | | | | | | | | |
9.791%, TSFR3M + 4.500%, 01/15/2037(A)(D) | | | 250 | | | | 255 | |
Apidos CLO XXII, Ser 2020-22A, Cl DR | | | | | | | | |
12.294%, TSFR3M + 7.012%, 04/20/2031(A)(D) | | | 1,380 | | | | 1,377 | |
Apidos Loan Fund, Ser 2024-1A, Cl D | | | | | | | | |
8.520%, TSFR3M + 3.200%, 04/25/2035(A)(D) | | | 200 | | | | 200 | |
Applebee's Funding, Ser 2023-1A, Cl A2 | | | | | | | | |
7.824%, 03/05/2053(A) | | | 530 | | | | 555 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Bayview Opportunity Master Fund VII, Ser 2024-EDU1, Cl C | | | | | | | | |
7.080%, SOFR30A + 1.800%, 06/25/2047(A)(D) | | $ | 1,082 | | | $ | 1,082 | |
Birch Grove CLO, Ser 2024-19A, Cl D1RR | | | | | | | | |
9.172%, TSFR3M + 3.850%, 07/17/2037(A)(D) | | | 220 | | | | 222 | |
Buckhorn Park CLO, Ser 2021-1A, Cl DR | | | | | | | | |
8.641%, TSFR3M + 3.362%, 07/18/2034(A)(D) | | | 400 | | | | 399 | |
Canyon Capital CLO, Ser 2021-1A, Cl E | | | | | | | | |
11.973%, TSFR3M + 6.672%, 04/15/2034(A)(D) | | | 280 | | | | 270 | |
Capital Automotive REIT, Ser 2024-2A, Cl A2 | | | | | | | | |
5.250%, 05/15/2054(A) | | | 996 | | | | 995 | |
CARS-DB7, Ser 2023-1A, Cl B | | | | | | | | |
7.750%, 09/15/2053(A) | | | 1,300 | | | | 1,334 | |
CIFC Funding, Ser 2024-3A, Cl D1R | | | | | | | | |
8.982%, TSFR3M + 3.700%, 04/20/2037(A)(D) | | | 210 | | | | 213 | |
College Ave Student Loans, Ser 2024-B, Cl B | | | | | | | | |
6.080%, 08/25/2054(A) | | | 1,000 | | | | 1,029 | |
CQS US CLO, Ser 2021-1A, Cl D1 | | | | | | | | |
9.094%, TSFR3M + 3.812%, 01/20/2035(A)(D) | | | 1,850 | | | | 1,843 | |
Dryden XLIII Senior Loan Fund, Ser 2021-43A, Cl ER3 | | | | | | | | |
11.944%, TSFR3M + 6.662%, 04/20/2034(A)(D) | | | 330 | | | | 315 | |
Fortress Credit BSL XII, Ser 2021-4A, Cl E | | | | | | | | |
12.693%, TSFR3M + 7.392%, 10/15/2034(A)(D) | | | 250 | | | | 239 | |
Frontier Issuer, Ser 2024-1, Cl A2 | | | | | | | | |
6.190%, 06/20/2054(A) | | | 1,000 | | | | 1,041 | |
Frontier Issuer, Ser 2024-1, Cl B | | | | | | | | |
7.020%, 06/20/2054(A) | | | 1,000 | | | | 1,049 | |
GBX Leasing, Ser 2023-1A, Cl A | | | | | | | | |
6.420%, 11/20/2053(A) | | | 984 | | | | 1,033 | |
Goddard Funding, Ser 2024-1A, Cl A2 | | | | | | | | |
6.834%, 10/30/2054(A) | | | 1,000 | | | | 1,021 | |
Goldentree Loan Management US CLO, Ser 2018-3A, Cl D | | | | | | | | |
8.394%, TSFR3M + 3.112%, 04/20/2030(A)(D) | | | 500 | | | | 500 | |
GoodLeap Sustainable Home Solutions Trust, Ser 2022-1GS, Cl B | | | | | | | | |
2.940%, 01/20/2049(A) | | | 86 | | | | 67 | |
GreenSky Home Improvement Trust, Ser 2024-1, Cl D | | | | | | | | |
7.330%, 06/25/2059(A) | | | 1,000 | | | | 1,028 | |
GreenSky Home Improvement Trust, Ser 2024-1, Cl E | | | | | | | | |
9.000%, 06/25/2059(A) | | | 1,000 | | | | 1,014 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Greystone CRE Notes, Ser 2024-HC3, Cl D | | | | | | | | |
10.429%, TSFR1M + 5.333%, 03/15/2041(A)(D) | | $ | 250 | | | $ | 249 | |
Halsey Point CLO I, Ser 2019-1A, Cl F | | | | | | | | |
13.744%, TSFR3M + 8.462%, 01/20/2033(A)(D) | | | 290 | | | | 274 | |
Hayfin US XV, Ser 2024-15A, Cl D1 | | | | | | | | |
9.597%, TSFR3M + 4.260%, 04/28/2037(A)(D) | | | 300 | | | | 304 | |
Hilton Grand Vacations Trust, Ser 2024-2A, Cl C | | | | | | | | |
5.990%, 03/25/2038(A) | | | 888 | | | | 911 | |
Hilton Grand Vacations Trust, Ser 2024-2A, Cl D | | | | | | | | |
6.910%, 03/25/2038(A) | | | 888 | | | | 914 | |
HINNT, Ser 2024-A, Cl D | | | | | | | | |
7.000%, 03/15/2043(A) | | | 869 | | | | 861 | |
Mariner Finance Issuance Trust, Ser 2024-AA, Cl C | | | | | | | | |
6.000%, 09/22/2036(A) | | | 1,000 | | | | 1,020 | |
Mariner Finance Issuance Trust, Ser 2024-AA, Cl D | | | | | | | | |
6.770%, 09/22/2036(A) | | | 1,000 | | | | 1,022 | |
Marlette Funding Trust, Ser 2024-1A, Cl B | | | | | | | | |
6.070%, 07/17/2034(A) | | | 1,000 | | | | 1,020 | |
Navient Private Education Refi Loan Trust, Ser 2024-A, Cl B | | | | | | | | |
6.070%, 10/15/2072(A) | | | 1,000 | | | | 1,048 | |
NBC Funding, Ser 2024-1A, Cl A2 | | | | | | | | |
6.750%, 07/30/2054(A) | | | 1,000 | | | | 1,034 | |
Neuberger Berman Loan Advisers CLO, Ser 2021-33A, Cl DR | | | | | | | | |
8.448%, TSFR3M + 3.162%, 10/16/2033(A)(D) | | | 500 | | | | 500 | |
Neuberger Berman Loan Advisers CLO, Ser 2021-44A, Cl E | | | | | | | | |
11.548%, TSFR3M + 6.262%, 10/16/2034(A)(D) | | | 490 | | | | 475 | |
Ocean Trails CLO IX, Ser 2021-9A, Cl DR | | | | | | | | |
9.313%, TSFR3M + 4.012%, 10/15/2034(A)(D) | | | 500 | | | | 499 | |
OCP CLO, Ser 2024-27A, Cl DR | | | | | | | | |
8.674%, TSFR3M + 3.350%, 07/16/2035(A)(D) | | | 360 | | | | 363 | |
Octagon Investment Partners 32, Ser 2017-1A, Cl D | | | | | | | | |
8.963%, TSFR3M + 3.662%, 07/15/2029(A)(D) | | | 250 | | | | 250 | |
Octane Receivables Trust, Ser 2024-2A, Cl C | | | | | | | | |
5.900%, 07/20/2032(A) | | | 1,000 | | | | 1,026 | |
OHA Credit Funding 11, Ser 2024-11A, Cl D1R | | | | | | | | |
8.056%, TSFR3M + 2.850%, 07/19/2037(A)(D) | | | 210 | | | | 211 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Oxford Finance Credit Fund III, Ser 2024-A, Cl A2 | | | | | | | | |
6.675%, 01/14/2032(A) | | $ | 400 | | | $ | 407 | |
OZLM XI, Ser 2017-11A, Cl BR | | | | | | | | |
7.817%, TSFR3M + 2.562%, 10/30/2030(A)(D) | | | 600 | | | | 599 | |
Pagaya AI Debt Trust, Ser 2023-8, Cl B | | | | | | | | |
7.958%, 06/16/2031(A) | | | 711 | | | | 729 | |
Palmer Square Loan Funding, Ser 2024-3A, Cl CR | | | | | | | | |
8.301%, TSFR3M + 3.000%, 04/15/2031(A)(D) | | | 430 | | | | 429 | |
Parallel, Ser 2020-1A, Cl CR | | | | | | | | |
7.544%, TSFR3M + 2.262%, 07/20/2029(A)(D) | | | 750 | | | | 749 | |
Peace Park CLO, Ser 2021-1A, Cl E | | | | | | | | |
11.544%, TSFR3M + 6.262%, 10/20/2034(A)(D) | | | 400 | | | | 397 | |
Planet Fitness Master Issuer, Ser 2024-1A, Cl A2I | | | | | | | | |
5.765%, 06/05/2054(A) | | | 1,000 | | | | 1,023 | |
PVOne, Ser 2023-1A, Cl A | | | | | | | | |
7.250%, 07/16/2035(A) | | | 513 | | | | 515 | |
Rad CLO, Ser 2023-22A, Cl B | | | | | | | | |
7.952%, TSFR3M + 2.670%, 01/20/2037(A)(D) | | | 950 | | | | 955 | |
Rockford Tower CLO, Ser 2023-1A, Cl C | | | | | | | | |
8.482%, TSFR3M + 3.200%, 01/20/2036(A)(D) | | | 800 | | | | 806 | |
Sculptor CLO XXVI, Ser 2021-26A, Cl E | | | | | | | | |
12.794%, TSFR3M + 7.512%, 07/20/2034(A)(D) | | | 450 | | | | 448 | |
Sierra Timeshare 2024-2 Receivables Funding, Ser 2024-2A, Cl C | | | | | | | | |
5.830%, 06/20/2041(A) | | | 895 | | | | 900 | |
Sierra Timeshare 2024-2 Receivables Funding, Ser 2024-2A, Cl D | | | | | | | | |
7.480%, 06/20/2041(A) | | | 448 | | | | 455 | |
Signal Rail I, Ser 2024-1A, Cl A | | | | | | | | |
5.670%, 05/17/2054(A) | | | 997 | | | | 1,017 | |
Signal Rail I, Ser 2024-1A, Cl B | | | | | | | | |
6.110%, 05/17/2054(A) | | | 997 | | | | 1,013 | |
SMB Private Education Loan Trust, Ser 2021-A, Cl D1 | | | | | | | | |
3.860%, 01/15/2053(A) | | | 284 | | | | 255 | |
Store Master Funding I-VII XIV XIX XX XXIV, Ser 2023-1A, Cl A2 | | | | | | | | |
6.920%, 06/20/2053(A) | | | 1,093 | | | | 1,121 | |
Stream Innovations Issuer Trust, Ser 2024-1A, Cl A | | | | | | | | |
6.270%, 07/15/2044(A) | | | 883 | | | | 906 | |
Subway Funding, Ser 2024-1A, Cl A2I | | | | | | | | |
6.028%, 07/30/2054(A) | | | 1,000 | | | | 1,031 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Subway Funding, Ser 2024-1A, Cl A2II | | | | | | | | |
6.268%, 07/30/2054(A) | | $ | 1,000 | | | $ | 1,032 | |
Sunnova Helios II Issuer, Ser 2019-AA, Cl C | | | | | | | | |
5.320%, 06/20/2046(A) | | | 376 | | | | 318 | |
Sunnova Hestia II Issuer, Ser 2024-GRID1, Cl 1A | | | | | | | | |
5.630%, 07/20/2051(A) | | | 974 | | | | 1,001 | |
Sunrun Atlas Issuer, Ser 2019-2, Cl A | | | | | | | | |
3.610%, 02/01/2055(A) | | | 368 | | | | 344 | |
Thor, Ser 2024-A, Cl B | | | | | | | | |
5.710%, 08/15/2041(A) | | | 500 | | | | 500 | |
Thor, Ser 2024-A, Cl C | | | | | | | | |
7.660%, 08/15/2041(A) | | | 500 | | | | 500 | |
Trinitas CLO XXVI, Ser 2024-26A, Cl C | | | | | | | | |
8.232%, TSFR3M + 2.950%, 01/20/2035(A)(D) | | | 430 | | | | 431 | |
Triumph Rail Holdings, Ser 2021-2, Cl A | | | | | | | | |
2.150%, 06/19/2051(A) | | | 846 | | | | 789 | |
Voya CLO, Ser 2021-3A, Cl DR | | | | | | | | |
12.494%, TSFR3M + 7.212%, 04/20/2034(A)(D) | | | 260 | | | | 259 | |
VR Funding, Ser 2020-1A, Cl B | | | | | | | | |
4.220%, 11/15/2050(A) | | | 196 | | | | 187 | |
Whitebox CLO IV, Ser 2023-4A, Cl A1 | | | | | | | | |
7.432%, TSFR3M + 2.150%, 04/20/2036(A)(D) | | | 770 | | | | 773 | |
| | | | | | | | 53,087 | |
| | | | | | | | | |
Total Asset-Backed Securities | | | | | | | | |
(Cost $68,789) ($ Thousands) | | | | | | | 70,034 | |
| | | | | | | | | |
| | | | | | | | | |
MORTGAGE-BACKED SECURITIES — 11.1% |
Agency Mortgage-Backed Obligations — 1.0% | | | | |
FHLMC | | | | | | | | |
6.000%, 12/01/2052 | | | 72 | | | | 74 | |
FHLMC REMIC CMO, Ser 2020-5012, Cl DI, IO | | | | | | | | |
4.000%, 09/25/2050 | | | 487 | | | | 98 | |
FHLMC REMIC CMO, Ser 2020-5020, Cl IH, IO | | | | | | | | |
3.000%, 08/25/2050 | | | 427 | | | | 73 | |
FHLMC STACR REMIC Trust, Ser 2020-DNA5, Cl B1 | | | | | | | | |
10.080%, SOFR30A + 4.800%, 10/25/2050(A)(D) | | | 210 | | | | 240 | |
FHLMC STACR REMIC Trust, Ser 2020-DNA6, Cl B1 | | | | | | | | |
8.280%, SOFR30A + 3.000%, 12/25/2050(A)(D) | | | 630 | | | | 681 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FHLMC STACR REMIC Trust, Ser 2021-DNA1, Cl M2 | | | | | | | | |
7.080%, SOFR30A + 1.800%, 01/25/2051(A)(D) | | $ | 102 | | | $ | 103 | |
FHLMC STACR REMIC Trust, Ser 2021-DNA5, Cl B1 | | | | | | | | |
8.330%, SOFR30A + 3.050%, 01/25/2034(A)(D) | | | 590 | | | | 633 | |
FHLMC STACR REMIC Trust, Ser 2022-DNA2, Cl B1 | | | | | | | | |
10.030%, SOFR30A + 4.750%, 02/25/2042(A)(D) | | | 510 | | | | 540 | |
FHLMC STACR REMIC Trust, Ser 2022-DNA2, Cl M2 | | | | | | | | |
9.030%, SOFR30A + 3.750%, 02/25/2042(A)(D) | | | 500 | | | | 525 | |
FHLMC STACR REMIC Trust, Ser 2022-DNA4, Cl M1A | | | | | | | | |
7.480%, SOFR30A + 2.200%, 05/25/2042(A)(D) | | | 416 | | | | 423 | |
FNMA REMIC CMO, Ser 2015-30, Cl SJ, IO | | | | | | | | |
0.205%, 05/25/2045(D) | | | 1,116 | | | | 128 | |
FNMA REMIC CMO, Ser 2017-104, Cl SB, IO | | | | | | | | |
0.755%, 01/25/2048(D) | | | 779 | | | | 109 | |
FNMA REMIC CMO, Ser 2020-62, Cl GI, IO | | | | | | | | |
4.000%, 06/25/2048 | | | 867 | | | | 175 | |
GNMA REMIC CMO, Ser 2010-9, Cl XD, IO | | | | | | | | |
1.389%, 01/16/2040(D) | | | 876 | | | | 121 | |
GNMA REMIC CMO, Ser 2013-124, Cl CS, IO | | | | | | | | |
0.975%, 08/20/2043(D) | | | 94 | | | | 12 | |
GNMA REMIC CMO, Ser 2015-111, Cl IM, IO | | | | | | | | |
4.000%, 08/20/2045 | | | 1,075 | | | | 169 | |
GNMA REMIC CMO, Ser 2016-109, Cl IH, IO | | | | | | | | |
4.000%, 10/20/2045 | | | 607 | | | | 94 | |
GNMA REMIC CMO, Ser 2016-27, Cl IA, IO | | | | | | | | |
4.000%, 06/20/2045 | | | 231 | | | | 30 | |
GNMA REMIC CMO, Ser 2017-112, Cl SJ, IO | | | | | | | | |
0.585%, 07/20/2047(D) | | | 946 | | | | 105 | |
GNMA REMIC CMO, Ser 2018-122, Cl SE, IO | | | | | | | | |
1.125%, 09/20/2048(D) | | | 361 | | | | 47 | |
GNMA REMIC CMO, Ser 2018-122, Cl HS, IO | | | | | | | | |
1.125%, 09/20/2048(D) | | | 258 | | | | 39 | |
GNMA REMIC CMO, Ser 2018-124, Cl SN, IO | | | | | | | | |
1.125%, 09/20/2048(D) | | | 1,197 | | | | 158 | |
GNMA REMIC CMO, Ser 2018-67, Cl PS, IO | | | | | | | | |
1.125%, 05/20/2048(D) | | | 1,120 | | | | 147 | |
GNMA REMIC CMO, Ser 2018-7, Cl DS, IO | | | | | | | | |
0.625%, 01/20/2048(D) | | | 2,136 | | | | 249 | |
GNMA REMIC CMO, Ser 2019-1, Cl SN, IO | | | | | | | | |
0.975%, 01/20/2049(D) | | | 187 | | | | 23 | |
GNMA REMIC CMO, Ser 2019-110, Cl SD, IO | | | | | | | | |
1.025%, 09/20/2049(D) | | | 530 | | | | 68 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
GNMA REMIC CMO, Ser 2019-110, Cl SE, IO | | | | | | | | |
1.025%, 09/20/2049(D) | | $ | 697 | | | $ | 94 | |
GNMA REMIC CMO, Ser 2019-151, Cl NI, IO | | | | | | | | |
3.500%, 10/20/2049 | | | 1,708 | | | | 288 | |
GNMA REMIC CMO, Ser 2019-6, Cl SA, IO | | | | | | | | |
0.975%, 01/20/2049(D) | | | 149 | | | | 19 | |
GNMA REMIC CMO, Ser 2019-78, Cl SE, IO | | | | | | | | |
1.025%, 06/20/2049(D) | | | 118 | | | | 15 | |
GNMA REMIC CMO, Ser 2020-78, Cl DI, IO | | | | | | | | |
4.000%, 06/20/2050 | | | 641 | | | | 133 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 5,613 | |
Non-Agency Mortgage-Backed Obligations — 10.1% | | | | |
280 Park Avenue Mortgage Trust, Ser 2017-280P, Cl D | | | | | | | | |
6.955%, TSFR1M + 1.836%, 09/15/2034(A)(D) | | | 280 | | | | 262 | |
A&D Mortgage Trust, Ser 2024-NQM3, Cl A1 | | | | | | | | |
6.451%, 07/25/2069(A)(C) | | | 970 | | | | 987 | |
Alternative Loan Trust, Ser 2005-81, Cl A1 | | | | | | | | |
5.529%, TSFR1M + 0.674%, 02/25/2037(D) | | | 396 | | | | 327 | |
Banc of America Commercial Mortgage Trust, Ser 2015-UBS7, Cl AS | | | | | | | | |
3.989%, 09/15/2048(D) | | | 450 | | | | 443 | |
BANK, Ser 2022-BNK43, Cl D | | | | | | | | |
3.000%, 08/15/2055(A) | | | 234 | | | | 171 | |
BANK, Ser 2022-BNK44, Cl D | | | | | | | | |
4.000%, 11/15/2032(A)(D) | | | 600 | | | | 477 | |
BANK, Ser 2023-BNK46, Cl XA, IO | | | | | | | | |
0.749%, 08/15/2056(D) | | | 3,406 | | | | 133 | |
BBCMS 2018-TALL Mortgage Trust, Ser 2018-TALL, Cl A | | | | | | | | |
6.016%, TSFR1M + 0.919%, 03/15/2037(A)(D) | | | 1,100 | | | | 1,039 | |
Benchmark Mortgage Trust, Ser 2019-B11, Cl XA, IO | | | | | | | | |
1.117%, 05/15/2052(D) | | | 9,780 | | | | 335 | |
Benchmark Mortgage Trust, Ser 2023-V3, Cl D | | | | | | | | |
4.000%, 07/15/2056(A) | | | 500 | | | | 430 | |
BIG Commercial Mortgage Trust, Ser 2022-BIG, Cl F | | | | | | | | |
10.532%, TSFR1M + 5.436%, 02/15/2039(A)(D) | | | 480 | | | | 471 | |
BRAVO Residential Funding Trust, Ser 2022-NQM2, Cl A1 | | | | | | | | |
4.272%, 11/25/2061(A)(D) | | | 1,009 | | | | 990 | |
BRAVO Residential Funding Trust, Ser 2022-R1, Cl A | | | | | | | | |
3.125%, 01/29/2070(A)(C) | | | 634 | | | | 629 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
BX Commercial Mortgage Trust, Ser 2021-XL2, Cl J | | | | | | | | |
9.102%, TSFR1M + 4.004%, 10/15/2038(A)(D) | | $ | 350 | | | $ | 344 | |
BX Commercial Mortgage Trust, Ser 2024-AIRC, Cl C | | | | | | | | |
7.687%, TSFR1M + 2.590%, 08/15/2039(A)(D) | | | 1,000 | | | | 1,002 | |
BX Commercial Mortgage Trust, Ser 2024-BIO2, Cl B | | | | | | | | |
6.096%, 08/13/2041(A)(D) | | | 1,000 | | | | 1,016 | |
BX Commercial Mortgage Trust, Ser 2024-BIO2, Cl C | | | | | | | | |
6.847%, 08/13/2041(A)(D) | | | 1,000 | | | | 1,018 | |
BX Trust, Ser 2021-ARIA, Cl E | | | | | | | | |
7.456%, TSFR1M + 2.359%, 10/15/2036(A)(D) | | | 550 | | | | 545 | |
BX Trust, Ser 2021-SDMF, Cl F | | | | | | | | |
7.149%, TSFR1M + 2.051%, 09/15/2034(A)(D) | | | 363 | | | | 349 | |
BX Trust, Ser 2024-CNYN, Cl D | | | | | | | | |
7.787%, TSFR1M + 2.690%, 04/15/2041(A)(D) | | | 534 | | | | 534 | |
CAFL Issuer, Ser 2023-RTL1, Cl A1 | | | | | | | | |
7.553%, 12/28/2030(A)(C) | | | 520 | | | | 533 | |
Citigroup Commercial Mortgage Trust, Ser 2015-GC33, Cl B | | | | | | | | |
4.727%, 09/10/2058(D) | | | 300 | | | | 275 | |
COLT 2024-INV3 Mortgage Loan Trust, Ser 2024-INV3, Cl M1 | | | | | | | | |
5.924%, 09/25/2069(A)(D) | | | 750 | | | | 754 | |
COLT 2024-INV3 Mortgage Loan Trust, Ser 2024-INV3, Cl A3 | | | | | | | | |
5.746%, 09/25/2069(A)(C) | | | 738 | | | | 743 | |
Connecticut Avenue Securities Trust, Ser 2019-R05, Cl 1B1 | | | | | | | | |
9.495%, SOFR30A + 4.214%, 07/25/2039(A)(D) | | | 431 | | | | 449 | |
Connecticut Avenue Securities Trust, Ser 2021-R01, Cl 1B1 | | | | | | | | |
8.380%, SOFR30A + 3.100%, 10/25/2041(A)(D) | | | 1,020 | | | | 1,051 | |
Connecticut Avenue Securities Trust, Ser 2021-R03, Cl 1B1 | | | | | | | | |
8.030%, SOFR30A + 2.750%, 12/25/2041(A)(D) | | | 680 | | | | 696 | |
Connecticut Avenue Securities Trust, Ser 2022-R05, Cl 2M2 | | | | | | | | |
8.280%, SOFR30A + 3.000%, 04/25/2042(A)(D) | | | 386 | | | | 399 | |
Connecticut Avenue Securities Trust, Ser 2023-R02, Cl 1B1 | | | | | | | | |
10.830%, SOFR30A + 5.550%, 01/25/2043(A)(D) | | | 300 | | | | 331 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
CSMC Trust, Ser 2014-USA, Cl E | | | | | | | | |
4.373%, 09/15/2037(A) | | $ | 320 | | | $ | 161 | |
CSMC Trust, Ser 2017-RPL1, Cl M2 | | | | | | | | |
2.976%, 07/25/2057(A)(D) | | | 1,190 | | | | 948 | |
Ellington Financial Mortgage Trust, Ser 2020-1, Cl B1 | | | | | | | | |
5.092%, 05/25/2065(A)(D) | | | 600 | | | | 622 | |
ELM Trust, Ser 2024-ELM, Cl B15 | | | | | | | | |
6.195%, 06/10/2039(A)(D) | | | 1,000 | | | | 1,022 | |
ELM Trust, Ser 2024-ELM, Cl D15 | | | | | | | | |
6.897%, 06/10/2039(A)(D) | | | 1,000 | | | | 1,023 | |
ELM Trust, Ser 2024-ELM, Cl C15 | | | | | | | | |
6.396%, 06/10/2039(A)(D) | | | 1,000 | | | | 1,022 | |
ELM Trust, Ser 2024-ELM, Cl A15 | | | | | | | | |
5.994%, 06/10/2039(A)(D) | | | 1,000 | | | | 1,022 | |
FNMA Connecticut Avenue Securities, Ser 2018-C01, Cl 1B1 | | | | | | | | |
8.945%, SOFR30A + 3.664%, 07/25/2030(D) | | | 570 | | | | 614 | |
FS Commercial Mortgage Trust, Ser 2023-4SZN, Cl B | | | | | | | | |
7.795%, 11/10/2039(A)(D) | | | 380 | | | | 402 | |
GCAT Trust, Ser 2024-INV2, Cl A14 | | | | | | | | |
6.000%, 06/25/2054(A)(D) | | | 949 | | | | 954 | |
GS Mortgage Securities Corportation Trust, Ser 2021-IP, Cl E | | | | | | | | |
8.762%, TSFR1M + 3.664%, 10/15/2036(A)(D) | | | 1,000 | | | | 989 | |
GS Mortgage Securities II Trust, Ser 2024-70P, Cl E | | | | | | | | |
9.263%, 03/10/2041(A)(D) | | | 400 | | | | 416 | |
GS Mortgage Securities Trust, Ser 2015-GC30, Cl C | | | | | | | | |
4.203%, 05/10/2050(D) | | | 240 | | | | 214 | |
GS Mortgage Securities Trust, Ser 2015-GC32, Cl D | | | | | | | | |
3.345%, 07/10/2048 | | | 380 | | | | 352 | |
GS Mortgage Securities Trust, Ser 2018-LUAU, Cl G | | | | | | | | |
9.844%, TSFR1M + 4.747%, 11/15/2032(A)(D) | | | 500 | | | | 489 | |
GS Mortgage Securities Trust, Ser 2020-DUNE, Cl F | | | | | | | | |
8.615%, TSFR1M + 3.514%, 12/15/2036(A)(D) | | | 595 | | | | 581 | |
Harvest Commercial Capital Loan Trust, Ser 2024-1, Cl M1 | | | | | | | | |
6.560%, 10/25/2056(D) | | | 998 | | | | 1,023 | |
Harvest Commercial Capital Loan Trust, Ser 2024-1, Cl A | | | | | | | | |
6.164%, 10/25/2056 | | | 998 | | | | 1,023 | |
Impac CMB Trust, Ser 2005-4, Cl 1M1 | | | | | | | | |
5.614%, TSFR1M + 0.544%, 05/25/2035(D) | | | 471 | | | | 435 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
Imperial Fund Mortgage Trust, Ser 2022-NQM4, Cl A2 | | | | | | | | |
5.040%, 06/25/2067(A)(C) | | $ | 809 | | | $ | 805 | |
JP Morgan Mortgage Trust, Ser 2024-5, Cl A9A | | | | | | | | |
6.000%, 11/25/2054(A)(D) | | | 959 | | | | 964 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-WPT, Cl FFL | | | | | | | | |
8.313%, TSFR1M + 3.139%, 07/05/2033(A)(D) | | | 910 | | | | 575 | |
Legacy Mortgage Asset Trust, Ser 2021-GS1, Cl A2 | | | | | | | | |
6.844%, 10/25/2066(A)(C) | | | 691 | | | | 691 | |
LEX Mortgage Trust, Ser 2024-BBG, Cl A | | | | | | | | |
4.874%, 10/13/2033(A)(D) | | | 500 | | | | 500 | |
Morgan Stanley Capital I Trust, Ser 2015-BS8, Cl C | | | | | | | | |
4.729%, 12/15/2048(D) | | | 190 | | | | 170 | |
Morgan Stanley Re-REMIC Trust, Ser 2010-R5, Cl 4B | | | | | | | | |
5.308%, 06/26/2036(A)(C) | | | 148 | | | | 141 | |
MSWF Commercial Mortgage Trust, Ser 2023-2, Cl C | | | | | | | | |
7.252%, 12/15/2056(D) | | | 290 | | | | 313 | |
Multifamily Connecticut Avenue Securities Trust, Ser 2019-01, Cl M10 | | | | | | | | |
8.645%, SOFR30A + 3.364%, 10/25/2049(A)(D) | | | 483 | | | | 486 | |
Multifamily Connecticut Avenue Securities Trust, Ser 2020-01, Cl M10 | | | | | | | | |
9.145%, SOFR30A + 3.864%, 03/25/2050(A)(D) | | | 464 | | | | 470 | |
New Residential Mortgage Loan Trust, Ser 2018-4A, Cl B1 | | | | | | | | |
6.019%, TSFR1M + 1.164%, 01/25/2048(A)(D) | | | 222 | | | | 219 | |
Nomura Resecuritization Trust, Ser 2015-4R, Cl 5A1 | | | | | | | | |
2.707%, TSFR1M + 0.544%, 03/26/2036(A)(D) | | | 146 | | | | 141 | |
OBX Trust, Ser 2024-NQM8, Cl A2 | | | | | | | | |
6.436%, 05/25/2064(A)(C) | | | 944 | | | | 959 | |
OBX Trust, Ser 2024-NQM8, Cl A3 | | | | | | | | |
6.588%, 05/25/2064(A)(C) | | | 944 | | | | 960 | |
PMT Credit Risk Transfer Trust, Ser 2019-3R, Cl A | | | | | | | | |
9.062%, SOFR30A + 3.814%, 11/27/2031(A)(D) | | | 149 | | | | 149 | |
PRKCM Trust, Ser 2023-AFC1, Cl A3 | | | | | | | | |
7.304%, 02/25/2058(A)(C) | | | 234 | | | | 236 | |
PRKCM Trust, Ser 2024-HOME1, Cl M1 | | | | | | | | |
6.861%, 05/25/2059(A)(D) | | | 1,000 | | | | 1,026 | |
PRKCM Trust, Ser 2024-HOME1, Cl B1 | | | | | | | | |
7.788%, 05/25/2059(A)(D) | | | 1,000 | | | | 1,016 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
PRKCM Trust, Ser 2024-HOME1, Cl A3 | | | | | | | | |
6.785%, 05/25/2059(A)(C) | | $ | 944 | | | $ | 960 | |
RALI Series Trust, Ser 2007-QO2, Cl A1 | | | | | | | | |
5.119%, TSFR1M + 0.264%, 02/25/2047(D) | | | 788 | | | | 270 | |
Seasoned Credit Risk Transfer Trust, Ser 2020-2, Cl M | | | | | | | | |
4.250%, 11/25/2059(A)(D) | | | 830 | | | | 793 | |
Seasoned Credit Risk Transfer Trust, Ser 2020-3, Cl M | | | | | | | | |
4.250%, 05/25/2060(A)(D) | | | 640 | | | | 609 | |
Seasoned Credit Risk Transfer Trust, Ser 2022-1, Cl M | | | | | | | | |
4.500%, 11/25/2061(A)(D) | | | 320 | | | | 265 | |
SMRT, Ser 2022-MINI, Cl D | | | | | | | | |
7.047%, TSFR1M + 1.950%, 01/15/2039(A)(D) | | | 550 | | | | 540 | |
Soho Trust, Ser 2021-SOHO, Cl D | | | | | | | | |
2.787%, 08/10/2038(A)(D) | | | 440 | | | | 159 | |
Starwood Mortgage Residential Trust, Ser 2021-3, Cl A2 | | | | | | | | |
1.395%, 06/25/2056(A)(D) | | | 937 | | | | 812 | |
Starwood Mortgage Residential Trust, Ser 2022-3, Cl A1 | | | | | | | | |
4.161%, 03/25/2067(A)(D) | | | 804 | | | | 791 | |
Towd Point Mortgage Trust, Ser 2019-4, Cl B1B | | | | | | | | |
3.500%, 10/25/2059(A)(D) | | | 640 | | | | 509 | |
Trust, Ser 2023-MIC, Cl B | | | | | | | | |
9.863%, 12/05/2038(A)(D) | | | 270 | | | | 297 | |
UBS Commercial Mortgage Trust, Ser 2017-C2, Cl AS | | | | | | | | |
3.740%, 08/15/2050(D) | | | 603 | | | | 581 | |
Velocity Commercial Capital Loan Trust, Ser 2019-3, Cl M5 | | | | | | | | |
4.730%, 10/25/2049(A)(D) | | | 1,210 | | | | 980 | |
Velocity Commercial Capital Loan Trust, Ser 2024-3, Cl A | | | | | | | | |
6.650%, 06/25/2054(A)(D) | | | 950 | | | | 971 | |
Velocity Commercial Capital Loan Trust, Ser 2024-3, Cl M2 | | | | | | | | |
7.230%, 06/25/2054(A)(D) | | | 991 | | | | 1,018 | |
Velocity Commercial Capital Loan Trust, Ser 2024-3, Cl M1 | | | | | | | | |
6.870%, 06/25/2054(A)(D) | | | 980 | | | | 1,002 | |
Verus Securitization Trust, Ser 2022-INV1, Cl B1 | | | | | | | | |
5.820%, 08/25/2067(A)(D) | | | 321 | | | | 319 | |
Verus Securitization Trust, Ser 2023-8, Cl A3 | | | | | | | | |
6.968%, 12/25/2068(A)(C) | | | 294 | | | | 299 | |
Verus Securitization Trust, Ser 2024-1, Cl A3 | | | | | | | | |
6.118%, 01/25/2069(A)(C) | | | 588 | | | | 592 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
Verus Securitization Trust, Ser 2024-4, Cl A3 | | | | | | | | |
6.674%, 06/25/2069(A)(C) | | $ | 953 | | | $ | 970 | |
Verus Securitization Trust, Ser 2024-4, Cl B1 | | | | | | | | |
7.643%, 06/25/2069(A)(D) | | | 360 | | | | 367 | |
Verus Securitization Trust, Ser 2024-4, Cl A2 | | | | | | | | |
6.572%, 06/25/2069(A)(C) | | | 953 | | | | 970 | |
Verus Securitization Trust, Ser 2024-INV2, Cl M1 | | | | | | | | |
5.787%, 08/26/2069(A)(D) | | | 1,000 | | | | 1,003 | |
WaMu Mortgage Pass-Through Certificates Trust, Ser 2006-AR16, Cl 2A2 | | | | | | | | |
4.317%, 12/25/2036(D) | | | 451 | | | | 396 | |
Wells Fargo Commercial Mortgage Trust, Ser 2014-LC18, Cl B | | | | | | | | |
3.959%, 12/15/2047 | | | 390 | | | | 387 | |
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1 | | | | | | | | |
6.574%, 04/25/2036(D) | | | 264 | | | | 254 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 55,980 | |
Total Mortgage-Backed Securities | | | | | | | | |
(Cost $60,811) ($ Thousands) | | | | | | | 61,593 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
COMMON STOCK — 9.4% |
| | | | | | | | | |
Communication Services — 0.6% | | | | |
iHeartMedia Inc * | | | 168,843 | | | | 312 | |
Intelsat Jackson Holdings Inc *(F) | | | 22,561 | | | | 711 | |
Verizon Communications Inc | | | 49,970 | | | | 2,244 | |
| | | | | | | | | |
| | | | | | | | 3,267 | |
Consumer Discretionary — 0.3% | | | | |
Best Buy Co Inc | | | 11,005 | | | | 1,137 | |
McDonald's Corp | | | 1,109 | | | | 337 | |
| | | | | | | | | |
| | | | | | | | 1,474 | |
Consumer Staples — 2.2% | | | | |
Altria Group Inc | | | 43,030 | | | | 2,196 | |
Coca-Cola Co/The | | | 28,995 | | | | 2,084 | |
Flowers Foods Inc | | | 10,839 | | | | 250 | |
General Mills Inc | | | 20,018 | | | | 1,478 | |
Kimberly-Clark Corp | | | 12,398 | | | | 1,764 | |
Mondelez International Inc, Cl A | | | 2,052 | | | | 151 | |
PepsiCo Inc | | | 10,058 | | | | 1,711 | |
Philip Morris International Inc | | | 17,026 | | | | 2,067 | |
Procter & Gamble Co/The | | | 3,592 | | | | 622 | |
Vector Group Ltd | | | 6,784 | | | | 101 | |
| | | | | | | | | |
| | | | | | | | 12,424 | |
Energy — 1.2% | | | | |
Chevron Corp | | | 9,666 | | | | 1,423 | |
Chord Energy Corp | | | 2,163 | | | | 282 | |
Diamondback Energy Inc, Cl A | | | 7,303 | | | | 1,259 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
DT Midstream Inc | | | 4,865 | | | $ | 383 | |
International Seaways Inc | | | 1,872 | | | | 97 | |
Noble Corp PLC | | | 7,982 | | | | 288 | |
Summit Midstream Corp * | | | 24,250 | | | | 849 | |
Williams Cos Inc/The | | | 41,679 | | | | 1,903 | |
| | | | | | | | | |
| | | | | | | | 6,484 | |
Financials — 1.2% | | | | |
American Financial Group Inc/OH | | | 4,029 | | | | 542 | |
Bank OZK | | | 5,526 | | | | 238 | |
CME Group Inc, Cl A | | | 8,803 | | | | 1,943 | |
Cohen & Steers Inc | | | 1,416 | | | | 136 | |
Federated Hermes Inc, Cl B | | | 4,518 | | | | 166 | |
Franklin Resources Inc | | | 17,832 | | | | 359 | |
Independent Bank Corp | | | 2,215 | | | | 131 | |
OneMain Holdings Inc, Cl A | | | 5,990 | | | | 282 | |
Regions Financial Corp | | | 49,458 | | | | 1,154 | |
T Rowe Price Group Inc | | | 12,964 | | | | 1,412 | |
Victory Capital Holdings Inc, Cl A | | | 1,734 | | | | 96 | |
| | | | | | | | | |
| | | | | | | | 6,459 | |
Health Care — 2.0% | | | | |
AbbVie Inc | | | 11,566 | | | | 2,284 | |
Amgen Inc, Cl A | | | 4,051 | | | | 1,305 | |
Bristol-Myers Squibb Co | | | 31,318 | | | | 1,621 | |
Gilead Sciences Inc | | | 19,811 | | | | 1,661 | |
Johnson & Johnson | | | 13,700 | | | | 2,220 | |
Medtronic PLC | | | 16,428 | | | | 1,479 | |
Merck & Co Inc | | | 3,836 | | | | 436 | |
Premier Inc, Cl A | | | 6,956 | | | | 139 | |
| | | | | | | | | |
| | | | | | | | 11,145 | |
Industrials — 0.4% | | | | |
Automatic Data Processing Inc | | | 645 | | | | 179 | |
Illinois Tool Works Inc | | | 417 | | | | 109 | |
MSC Industrial Direct Co Inc, Cl A | | | 2,443 | | | | 210 | |
PACCAR Inc | | | 15,962 | | | | 1,575 | |
Watsco Inc | | | 687 | | | | 338 | |
| | | | | | | | | |
| | | | | | | | 2,411 | |
Information Technology — 0.6% | | | | |
Cisco Systems Inc | | | 26,711 | | | | 1,422 | |
Qlik Parent Inc, Cl A *(F) | | | 56 | | | | 91 | |
Qlik Parent Inc, Cl B *(F) | | | 13,812 | | | | — | |
Texas Instruments Inc | | | 7,708 | | | | 1,592 | |
| | | | | | | | | |
| | | | | | | | 3,105 | |
Materials — 0.3% | | | | |
Arctic Canadian Diamond Company Ltd *(F) | | | 824 | | | | 121 | |
LyondellBasell Industries NV, Cl A | | | 14,513 | | | | 1,392 | |
Sonoco Products Co | | | 4,872 | | | | 266 | |
| | | | | | | | | |
| | | | | | | | 1,779 | |
Real Estate — 0.6% | | | | |
Essential Properties Realty Trust Inc ‡ | | | 8,712 | | | | 298 | |
Gaming and Leisure Properties Inc ‡ | | | 14,040 | | | | 722 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Innovative Industrial Properties Inc, Cl A ‡ | | | 1,511 | | | $ | 203 | |
Lamar Advertising Co, Cl A ‡ | | | 4,685 | | | | 626 | |
VICI Properties Inc, Cl A ‡ | | | 53,843 | | | | 1,794 | |
| | | | | | | | | |
| | | | | | | | 3,643 | |
Total Common Stock | | | | | | | | |
(Cost $44,744) ($ Thousands) | | | | | | | 52,191 | |
| | | Face Amount
(Thousands) | | | | | |
SOVEREIGN DEBT — 8.7% |
| | | | | | | | | |
Abu Dhabi Government International Bond MTN | | | | | | | | |
3.875%, 04/16/2050(A) | | $ | 1,430 | | | | 1,199 | |
Angolan Government International Bond | | | | | | | | |
9.375%, 05/08/2048 | | | 200 | | | | 169 | |
9.125%, 11/26/2049(A) | | | 1,170 | | | | 968 | |
8.750%, 04/14/2032(A) | | | 210 | | | | 188 | |
8.000%, 11/26/2029(A) | | | 220 | | | | 200 | |
Argentine Republic Government International Bond | | | | | | | | |
4.125%, 07/09/2027(C) | | | 1,246 | | | | 598 | |
1.000%, 07/09/2029 | | | 262 | | | | 171 | |
0.750%, 07/09/2030(C) | | | 2,506 | | | | 1,516 | |
0.500%, 07/09/2029 | | EUR | 6 | | | | 4 | |
Bahrain Government International Bond MTN | | | | | | | | |
5.625%, 05/18/2034(A) | | $ | 740 | | | | 708 | |
Benin Government International Bond | | | | | | | | |
4.875%, 01/19/2032(A) | | EUR | 1,280 | | | | 1,275 | |
Brazil Government International Bond | | | | | | | | |
5.333%, 02/15/2028 | | $ | 80 | | | | 80 | |
Brazil Letras do Tesouro Nacional | | | | | | | | |
0.000%, 01/01/2026(G) | | BRL | 1,312 | | | | 208 | |
Brazil Notas do Tesouro Nacional, Ser F | | | | | | | | |
10.000%, 01/01/2031 | | | 3,679 | | | | 608 | |
CAB SELAS | | | | | | | | |
3.375%, 02/01/2028 | | EUR | 119 | | | | 123 | |
Colombia Government International Bond | | | | | | | | |
4.125%, 05/15/2051 | | $ | 630 | | | | 397 | |
3.125%, 04/15/2031 | | | 530 | | | | 437 | |
3.000%, 01/30/2030 | | | 730 | | | | 625 | |
Country Garden Holdings | | | | | | | | |
8.000%, 01/27/2024(B) | | | 200 | | | | 12 | |
Dominican Republic International Bond | | | | | | | | |
7.450%, 04/30/2044 | | | 600 | | | | 680 | |
6.850%, 01/27/2045 | | | 460 | | | | 490 | |
6.500%, 02/15/2048(A) | | | 1,270 | | | | 1,305 | |
4.875%, 09/23/2032 | | | 260 | | | | 247 | |
4.500%, 01/30/2030 | | | 550 | | | | 525 | |
Ecuador Government International Bond | | | | | | | | |
5.000%, 07/31/2026(A)(C) | | | 1,128 | | | | 580 | |
0.000%, 07/31/2030(A)(G) | | | 329 | | | | 183 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
SOVEREIGN DEBT (continued) |
Egypt Government International Bond | | | | | | | | |
8.875%, 05/29/2050(A) | | $ | 710 | | | $ | 586 | |
8.700%, 03/01/2049(A) | | | 320 | | | | 261 | |
8.500%, 01/31/2047 | | | 450 | | | | 363 | |
5.875%, 02/16/2031 | | | 430 | | | | 359 | |
El Salvador Government International Bond | | | | | | | | |
9.250%, 04/17/2030(A) | | | 170 | | | | 169 | |
Ethiopia International Bond | | | | | | | | |
6.625%, 12/11/2024(B) | | | 210 | | | | 162 | |
Guatemala Government Bond | | | | | | | | |
6.125%, 06/01/2050(A) | | | 530 | | | | 506 | |
4.900%, 06/01/2030(A) | | | 280 | | | | 273 | |
4.875%, 02/13/2028 | | | 590 | | | | 581 | |
Indonesia Government International Bond | | | | | | | | |
2.850%, 02/14/2030 | | | 900 | | | | 838 | |
1.100%, 03/12/2033 | | EUR | 400 | | | | 367 | |
Iraq Government International Bond | | | | | | | | |
5.800%, 01/15/2028 | | $ | 123 | | | | 119 | |
Ivory Coast Government International Bond | | | | | | | | |
7.625%, 01/30/2033(A) | | | 420 | | | | 431 | |
6.625%, 03/22/2048 | | EUR | 320 | | | | 294 | |
5.250%, 03/22/2030 | | | 390 | | | | 415 | |
4.875%, 01/30/2032(A) | | | 1,210 | | | | 1,191 | |
Jamaica Government International Bond | | | | | | | | |
9.625%, 11/03/2030 | | JMD | 30,000 | | | | 203 | |
7.875%, 07/28/2045 | | $ | 740 | | | | 914 | |
Jordan Government International Bond | | | | | | | | |
7.750%, 01/15/2028(A) | | | 300 | | | | 308 | |
Laboratoire Eimer Selas | | | | | | | | |
5.000%, 02/01/2029 | | EUR | 128 | | | | 122 | |
Mexican Bonos | | | | | | | | |
8.500%, 03/01/2029 | | MXN | 4,000 | | | | 199 | |
8.500%, 05/31/2029 | | | 5,950 | | | | 296 | |
7.750%, 11/23/2034 | | | 41,410 | | | | 1,894 | |
5.750%, 03/05/2026 | | | 9,770 | | | | 474 | |
Mexico Government International Bond | | | | | | | | |
6.000%, 05/07/2036 | | $ | 290 | | | | 296 | |
3.771%, 05/24/2061 | | | 520 | | | | 339 | |
2.659%, 05/24/2031 | | | 720 | | | | 618 | |
Morocco Government International Bond | | | | | | | | |
3.000%, 12/15/2032(A) | | | 730 | | | | 626 | |
National Bank of Uzbekistan | | | | | | | | |
4.850%, 10/21/2025 | | | 200 | | | | 197 | |
Nigeria Government International Bond | | | | | | | | |
8.747%, 01/21/2031 | | | 1,280 | | | | 1,231 | |
7.696%, 02/23/2038(A) | | | 690 | | | | 563 | |
Oman Government International Bond | | | | | | | | |
6.250%, 01/25/2031(A) | | | 773 | | | | 825 | |
Pakistan Government International Bond MTN | | | | | | | | |
6.000%, 04/08/2026(A) | | | 340 | | | | 318 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
SOVEREIGN DEBT (continued) |
Paraguay Government International Bond | | | | | | | | |
6.100%, 08/11/2044 | | $ | 300 | | | $ | 308 | |
5.600%, 03/13/2048 | | | 480 | | | | 459 | |
5.400%, 03/30/2050(A) | | | 320 | | | | 298 | |
Perusahaan Penerbit SBSN Indonesia III MTN | | | | | | | | |
4.450%, 02/20/2029(A) | | | 330 | | | | 333 | |
Provincia de Buenos Aires Government Bond MTN | | | | | | | | |
6.625%, 09/01/2037(A)(C) | | | 1,312 | | | | 623 | |
Provincia de Cordoba | | | | | | | | |
6.990%, 06/01/2027(A)(C) | | | 226 | | | | 208 | |
Qatar Government International Bond | | | | | | | | |
5.103%, 04/23/2048(A) | | | 620 | | | | 637 | |
4.817%, 03/14/2049(A) | | | 690 | | | | 681 | |
4.625%, 06/02/2046 | | | 280 | | | | 271 | |
4.400%, 04/16/2050(A) | | | 450 | | | | 418 | |
Republic of Kenya Government International Bond | | | | | | | | |
9.750%, 02/16/2031(A) | | | 540 | | | | 546 | |
Republic of South Africa Government International Bond | | | | | | | | |
9.000%, 01/31/2040 | | ZAR | 3,170 | | | | 161 | |
8.500%, 01/31/2037 | | | 3,190 | | | | 161 | |
6.500%, 02/28/2041 | | | 4,040 | | | | 162 | |
5.650%, 09/27/2047 | | $ | 950 | | | | 791 | |
4.850%, 09/27/2027 | | | 890 | | | | 888 | |
4.300%, 10/12/2028 | | | 200 | | | | 193 | |
Republic of Uzbekistan International Bond MTN | | | | | | | | |
3.700%, 11/25/2030(A) | | | 460 | | | | 396 | |
Romanian Government International Bond | | | | | | | | |
7.125%, 01/17/2033 | | | 550 | | | | 602 | |
6.375%, 01/30/2034 | | | 500 | | | | 519 | |
3.375%, 01/28/2050(A) | | EUR | 90 | | | | 68 | |
2.875%, 05/26/2028 | | | 650 | | | | 700 | |
2.875%, 03/11/2029 | | | 1,290 | | | | 1,371 | |
2.124%, 07/16/2031(A) | | | 250 | | | | 234 | |
Saudi Government International Bond MTN | | | | | | | | |
4.500%, 04/22/2060(A) | | $ | 1,070 | | | | 901 | |
3.250%, 10/22/2030(A) | | | 430 | | | | 404 | |
Sri Lanka Government International Bond | | | | | | | | |
7.550%, 03/28/2030(A)(B) | | | 710 | | | | 398 | |
6.850%, 11/03/2025(B) | | | 570 | | | | 320 | |
6.750%, 04/18/2028(A)(B) | | | 360 | | | | 201 | |
Turkey Government International Bond | | | | | | | | |
6.875%, 03/17/2036 | | | 60 | | | | 60 | |
6.500%, 09/20/2033 | | | 900 | | | | 890 | |
4.250%, 04/14/2026 | | | 530 | | | | 526 | |
Turkiye Government International Bond | | | | | | | | |
7.625%, 04/26/2029 | | | 560 | | | | 597 | |
7.125%, 07/17/2032 | | | 380 | | | | 392 | |
6.000%, 01/14/2041 | | | 1,980 | | | | 1,742 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
SOVEREIGN DEBT (continued) |
Ukraine Government International Bond | | | | | | | | |
1.750%, 08/01/2025(A)(C) | | $ | 1,213 | | | $ | 577 | |
0.000%, 02/01/2027(A)(C)(H) | | | 698 | | | | 279 | |
United Group BV | | | | | | | | |
7.792%, EUR003M + 4.250%, 02/15/2031(D) | | EUR | 215 | | | | 240 | |
Uruguay Government International Bond | | | | | | | | |
3.875%, 07/02/2040 | | UYU | 6,307 | | | | 157 | |
| | | | | | | | | |
Total Sovereign Debt | | | | |
(Cost $52,772) ($ Thousands) | | | 48,546 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
FOREIGN COMMON STOCK — 7.7% |
| | | | | | | | | |
Australia — 0.3% | | | | |
Financials — 0.3% | | | | |
Westpac Banking Corp | | | 77,004 | | | | 1,695 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Canada — 0.6% | | | | |
Communication Services — 0.0% | | | | |
BCE Inc | | | 4,069 | | | | 142 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Energy — 0.5% | | | | |
Enbridge Inc | | | 35,158 | | | | 1,430 | |
Pembina Pipeline Corp, Cl Common Subs. Receipt | | | 30,275 | | | | 1,249 | |
Peyto Exploration & Development Corp, Cl Common Subs. Receipt | | | 10,308 | | | | 118 | |
Topaz Energy | | | 4,980 | | | | 95 | |
| | | | | | | | | |
| | | | | | | | 2,892 | |
| | | | | | | | | |
Financials — 0.1% | | | | |
Great-West Lifeco Inc | | | 14,862 | | | | 507 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 3,541 | |
| | | | | | | | | |
Denmark — 0.0% | | | | |
Financials — 0.0% | | | | |
Sydbank AS | | | 3,293 | | | | 163 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
France — 0.5% | | | | |
Consumer Discretionary — 0.0% | | | | |
La Francaise des Jeux SAEM | | | 5,369 | | | | 221 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Energy — 0.1% | | | | |
Gaztransport Et Technigaz SA | | | 1,884 | | | | 267 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
FOREIGN COMMON STOCK (continued) |
Health Care — 0.3% | | | | |
Sanofi SA | | | 12,140 | | | $ | 1,394 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Industrials — 0.1% | | | | |
Bureau Veritas SA | | | 16,559 | | | | 550 | |
Societe BIC SA | | | 1,198 | | | | 81 | |
| | | | | | | | | |
| | | | | | | | 631 | |
| | | | | | | | | |
| | | | | | | | 2,513 | |
| | | | | | | | | |
Germany — 0.3% | | | | |
Communication Services — 0.0% | | | | |
Freenet AG | | | 7,110 | | | | 212 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Consumer Discretionary — 0.3% | | | | |
Mercedes-Benz Group AG | | | 25,044 | | | | 1,622 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 1,834 | |
| | | | | | | | | |
Hong Kong — 0.6% | | | | |
Communication Services — 0.1% | | | | |
HKT Trust & HKT Ltd | | | 197,586 | | | | 253 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Consumer Discretionary — 0.0% | | | | |
Bosideng International Holdings Ltd | | | 183,920 | | | | 106 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Consumer Staples — 0.0% | | | | |
Want Want China Holdings Ltd | | | 274,457 | | | | 189 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Financials — 0.4% | | | | |
China CITIC Bank Corp Ltd, Cl H | | | 489,770 | | | | 313 | |
China Construction Bank Corp, Cl H | | | 2,476,157 | | | | 1,874 | |
| | | | | | | | | |
| | | | | | | | 2,187 | |
| | | | | | | | | |
Industrials — 0.0% | | | | |
SITC International Holdings Co Ltd | | | 71,531 | | | | 193 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Utilities — 0.1% | | | | |
CK Infrastructure Holdings Ltd | | | 34,145 | | | | 234 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 3,162 | |
| | | | | | | | | |
India — 0.2% | | | | |
Information Technology — 0.2% | | | | |
HCL Technologies Ltd | | | 50,333 | | | | 1,079 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
FOREIGN COMMON STOCK (continued) |
Indonesia — 0.2% | | | | |
Financials — 0.2% | | | | |
Bank Mandiri Persero Tbk PT | | | 1,846,204 | | | $ | 845 | |
Bank Rakyat Indonesia Persero Tbk PT | | | 1,003,843 | | | | 328 | |
| | | | | | | | | |
| | | | | | | | 1,173 | |
| | | | | | | | | |
| | | | | | | | | |
Italy — 0.3% | | | | |
Financials — 0.3% | | | | |
Azimut Holding SpA | | | 5,958 | | | | 154 | |
Banca Generali SpA | | | 3,138 | | | | 141 | |
FinecoBank Banca Fineco SpA | | | 14,896 | | | | 256 | |
Poste Italiane SpA | | | 28,394 | | | | 399 | |
Unipol Gruppo SpA | | | 22,332 | | | | 266 | |
| | | | | | | | | |
| | | | | | | | 1,216 | |
| | | | | | | | | |
Utilities — 0.0% | | | | |
Italgas SpA | | | 25,503 | | | | 154 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 1,370 | |
| | | | | | | | | |
Japan — 0.4% | | | | |
Communication Services — 0.0% | | | | |
SoftBank Corp | | | 155,730 | | | | 204 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Consumer Discretionary — 0.1% | | | | |
USS Co Ltd | | | 22,224 | | | | 211 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Consumer Staples — 0.3% | | | | |
Japan Tobacco Inc | | | 57,222 | | | | 1,672 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Industrials — 0.0% | | | | |
COMSYS Holdings Corp | | | 6,029 | | | | 131 | |
Kamigumi Co Ltd | | | 4,560 | | | | 104 | |
| | | | | | | | | |
| | | | | | | | 235 | |
| | | | | | | | | |
Materials — 0.0% | | | | |
Yamato Kogyo Co Ltd | | | 1,949 | | | | 97 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 2,419 | |
| | | | | | | | | |
Malaysia — 0.3% | | | | |
Energy — 0.0% | | | | |
Petronas Dagangan Bhd | | | 15,538 | | | | 67 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Financials — 0.3% | | | | |
Malayan Banking Bhd | | | 284,010 | | | | 722 | |
Public Bank Bhd | | | 678,626 | | | | 750 | |
| | | | | | | | | |
| | | | | | | | 1,472 | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
FOREIGN COMMON STOCK (continued) |
Utilities — 0.0% | | | | |
Petronas Gas Bhd | | | 43,248 | | | $ | 189 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 1,728 | |
| | | | | | | | | |
Netherlands — 0.2% | | | | |
Communication Services — 0.1% | | | | |
Koninklijke KPN NV | | | 209,198 | | | | 857 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Financials — 0.1% | | | | |
ASR Nederland NV | | | 8,665 | | | | 425 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 1,282 | |
| | | | | | | | | |
Singapore — 0.8% | | | | |
Consumer Discretionary — 0.1% | | | | |
Genting Singapore Ltd | | | 336,507 | | | | 230 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Financials — 0.7% | | | | |
DBS Group Holdings Ltd | | | 62,482 | | | | 1,854 | |
Oversea-Chinese Banking Corp Ltd | | | 185,421 | | | | 2,184 | |
| | | | | | | | | |
| | | | | | | | 4,038 | |
| | | | | | | | | |
Industrials — 0.0% | | | | |
ComfortDelGro Corp Ltd | | | 114,449 | | | | 135 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Information Technology — 0.0% | | | | |
Venture Corp Ltd | | | 15,875 | | | | 174 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 4,577 | |
| | | | | | | | | |
South Korea — 0.1% | | | | |
Consumer Staples — 0.1% | | | | |
KT&G Corp | | | 5,369 | | | | 447 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Spain — 0.6% | | | | |
Consumer Discretionary — 0.3% | | | | |
Industria de Diseno Textil SA | | | 29,941 | | | | 1,776 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Financials — 0.0% | | | | |
Mapfre SA | | | 47,313 | | | | 126 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Industrials — 0.2% | | | | |
Aena SME SA | | | 3,863 | | | | 852 | |
Logista Integral SA | | | 3,662 | | | | 110 | |
| | | | | | | | | |
| | | | | | | | 962 | |
| | | | | | | | | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
FOREIGN COMMON STOCK (continued) |
Utilities — 0.1% | | | | |
Enagas SA | | | 13,317 | | | $ | 205 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 3,069 | |
| | | | | | | | | |
Switzerland — 0.9% | | | | |
Financials — 0.3% | | | | |
Zurich Insurance Group AG | | | 2,808 | | | | 1,697 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Health Care — 0.6% | | | | |
Novartis AG | | | 14,483 | | | | 1,668 | |
Roche Holding AG | | | 4,964 | | | | 1,625 | |
| | | | | | | | | |
| | | | | | | | 3,293 | |
| | | | | | | | | |
| | | | | | | | 4,990 | |
| | | | | | | | | |
Taiwan — 0.7% | | | | |
Communication Services — 0.2% | | | | |
Chunghwa Telecom Co Ltd | | | 204,369 | | | | 810 | |
Far EasTone Telecommunications Co Ltd | | | 81,995 | | | | 235 | |
| | | | | | | | | |
| | | | | | | | 1,045 | |
| | | | | | | | | |
Consumer Staples — 0.1% | | | | |
President Chain Store Corp | | | 28,953 | | | | 270 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Information Technology — 0.4% | | | | |
MediaTek Inc | | | 48,792 | | | | 1,812 | |
Novatek Microelectronics Corp | | | 32,550 | | | | 533 | |
| | | | | | | | | |
| | | | | | | | 2,345 | |
| | | | | | | | | |
| | | | | | | | 3,660 | |
| | | | | | | | | |
United Kingdom — 0.7% | | | | |
Communication Services — 0.0% | | | | |
4imprint Group PLC | | | 1,567 | | | | 105 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Consumer Discretionary — 0.1% | | | | |
Dunelm Group PLC | | | 6,416 | | | | 99 | |
Games Workshop Group PLC | | | 1,821 | | | | 262 | |
Taylor Wimpey PLC | | | 186,486 | | | | 411 | |
| | | | | | | | | |
| | | | | | | | 772 | |
| | | | | | | | | |
Consumer Staples — 0.3% | | | | |
Imperial Brands PLC | | | 49,536 | | | | 1,444 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Financials — 0.3% | | | | |
Aviva PLC | | | 137,502 | | | | 892 | |
Hargreaves Lansdown PLC | | | 19,337 | | | | 289 | |
Lancashire Holdings Ltd | | | 12,145 | | | | 112 | |
OSB Group PLC | | | 22,742 | | | | 119 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
FOREIGN COMMON STOCK (continued) |
Schroders PLC | | | 45,634 | | | $ | 214 | |
| | | | | | | | | |
| | | | | | | | 1,626 | |
| | | | | | | | | |
| | | | | | | | | |
Total Foreign Common Stock | | | | | | | | |
(Cost $35,983) ($ Thousands) | | | | | | | 42,649 | |
| | | Face Amount
(Thousands) | | | | | |
LOAN PARTICIPATIONS — 5.1% |
19th Holdings Golf, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
8.513%, CME Term SOFR + 3.000%, 02/07/2029 (D)(F) | | $ | 452 | | | | 443 | |
AAL Delaware Holdco, Inc, Initial Term Loan, 1st Lien | | | | | | | | |
8.345%, 07/30/2031 | | | 850 | | | | 853 | |
A-AP Buyer, Inc, Initial Term, 1st Lien | | | | | | | | |
7.854%, 09/09/2031 | | | 100 | | | | 100 | |
Accession Risk Management Group, Inc, 2022 Delayed Draw Tranche 2 Term Loan, 1st Lien | | | | | | | | |
10.902%, 11/01/2029 | | | 13 | | | | 13 | |
9.807%, 11/01/2029 | | | 28 | | | | 28 | |
9.354%, 11/01/2029 | | | 23 | | | | 22 | |
Accession Risk Management Group, Inc, Term Loan, 1st Lien | | | | | | | | |
10.902%, 11/01/2029 | | | 110 | | | | 110 | |
9.807%, 11/01/2029 | | | 4 | | | | 4 | |
9.354%, 11/01/2029 | | | 7 | | | | 7 | |
Accession Risk Management Group, Inc, Tranche B Term Loan, 1st Lien | | | | | | | | |
10.902%, 11/01/2029 | | | 27 | | | | 27 | |
9.807%, 11/01/2029 | | | 3 | | | | 2 | |
9.354%, 11/01/2029 | | | 12 | | | | 12 | |
Accession Risk Management Group, Inc, Tranche C Term Loan, 1st Lien | | | | | | | | |
10.902%, 11/01/2029 | | | 20 | | | | 20 | |
9.807%, 11/01/2029 | | | 6 | | | | 5 | |
9.354%, 11/01/2029 | | | 61 | | | | 61 | |
AL GCX Holdings, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
7.868%, 05/17/2029 | | | 175 | | | | 175 | |
Alliance Laundry Systems, LLC, Initial Term B Loan, 1st Lien | | | | | | | | |
8.345%, 08/19/2031 (D) | | | 310 | | | | 310 | |
Alterra Mountain Company, Term B-4 Loan, 1st Lien | | | | | | | | |
8.095%, 08/17/2028 | | | 268 | | | | 269 | |
Apollo Commercial Real Estate Finance, Inc, Initial Term Loan, 1st Lien | | | | | | | | |
7.710%, 05/15/2026 (D) | | | 19 | | | | 19 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
Apollo Commercial Real Estate Finance, Inc, Term B-1 Loan, 1st Lien | | | | | | | | |
8.460%, CME Term SOFR + 3.500%, 03/11/2028 (D)(F) | | $ | 315 | | | $ | 306 | |
AqGen Island Holdings, Inc, Initial Term Loan, 1st Lien | | | | | | | | |
8.460%, 08/02/2028 (D) | | | 453 | | | | 452 | |
Arcis Golf, LLC, Term Loan, 1st Lien | | | | | | | | |
9.111%, 11/24/2028 | | | 684 | | | | 686 | |
Arctic Canadian Diamond Company, Ltd, Term Loan, 2nd Lien | | | | | | | | |
10.000%, 06/30/2026 (F) | | | 814 | | | | 815 | |
Autokiniton Group, Term Loan, 1st Lien | | | | | | | | |
8.960%, 04/06/2028 | | | 213 | | | | 213 | |
BHN Merger, Additional Term B-1 Loan, 1st Lien | | | | | | | | |
9.845%, 03/12/2029 (D) | | | 259 | | | | 260 | |
Blackstone Mortgage Trust, Inc, Initial Term Loan, 1st Lien | | | | | | | | |
7.210%, 04/23/2026 (F) | | | 258 | | | | 254 | |
Bleriot US Bidco, Inc, Term Loan, 1st Lien | | | | | | | | |
7.854%, 10/31/2030 | | | 224 | | | | 224 | |
Boost Newco Borrower, LLC, Term B-1 Loan, 1st Lien | | | | | | | | |
7.104%, 01/31/2031 (D) | | | 320 | | | | 320 | |
Caesars Entertainment, Inc, 2023 Incremental Term B Loan, 1st Lien | | | | | | | | |
7.595%, 02/06/2030 (D) | | | 208 | | | | 208 | |
CBS Radio/Entercom Media, Term Loan, 1st Lien | | | | | | | | |
11.361%, 08/19/2024 | | | 33 | | | | 33 | |
Chariot Buyer, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
8.195%, 11/03/2028 (D) | | | 559 | | | | 556 | |
Chromalloy Corp, Term Loan, 1st Lien | | | | | | | | |
9.082%, 03/27/2031 | | | 169 | | | | 160 | |
Cloudera, Inc, Initial Term Loan, 2nd Lien | | | | | | | | |
10.945%, 10/08/2029 (D) | | | 140 | | | | 131 | |
Community Brands, Term Loan, 1st Lien | | | | | | | | |
10.582%, 06/13/2029 (F) | | | 109 | | | | 108 | |
Cotiviti, Inc, Initial Floating Rate Term Loan, 1st Lien | | | | | | | | |
8.451%, 05/01/2031 (D) | | | 278 | | | | 278 | |
Cotiviti, Inc, Term Loan, 1st Lien | | | | | | | | |
7.625%, 05/01/2031 | | | 90 | | | | 90 | |
DCert Buyer, Inc, First Amendment Refinancing Loan, 2nd Lien | | | | | | | | |
11.845%, CME Term SOFR + 7.000%, 02/19/2029 (D) | | | 490 | | | | 418 | |
Diamond Sports Group, LLC, Dip Term Loan, 1st Lien | | | | | | | | |
10.167%, 12/02/2024 | | | 46 | | | | 55 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
DIRECTV Financing, LLC, Closing Date Term Loan, 1st Lien | | | | | | | | |
9.960%, CME Term SOFR + 5.000%, 08/02/2027 (D) | | $ | 341 | | | $ | 340 | |
Doosan Bobcat/Doosan Infracore, Term Loan, 1st Lien | | | | | | | | |
7.313%, 04/20/2029 | | | 86 | | | | 86 | |
DS Admiral Bidco, LLC, Initial Term, 1st Lien | | | | | | | | |
9.095%, 06/26/2031 | | | 800 | | | | 768 | |
DS Parent, Inc, Term Loan B, 1st Lien | | | | | | | | |
10.104%, 01/31/2031 (D) | | | 618 | | | | 598 | |
Emrld Borrower, LP, Second Amendment Incremental Term Loan, 1st Lien | | | | | | | | |
7.557%, 08/04/2031 | | | 50 | | | | 50 | |
Engineered Machinery Holdings, Inc, Incremental Amendment No. 4 Term Loan, 1st Lien | | | | | | | | |
7.472%, EURIBOR + 3.750%, 05/21/2028 (D) | | | 315 | | | | 353 | |
Engineered Machinery Holdings, Inc, Incremental Amendment No. 5 Term Loan, 1st Lien | | | | | | | | |
8.615%, 05/19/2028 (D) | | | 704 | | | | 705 | |
Entercom Media Corp, Term B-2 Loan, 1st Lien | | | | | | | | |
8.091%, CME Term SOFR + 2.500%, 11/18/2024 (B)(D) | | | 1,140 | | | | 501 | |
Epic Y-Grade Services, LP, Term Loan, 1st Lien | | | | | | | | |
11.068%, CME Term SOFR + 5.750%, 06/29/2029 (D) | | | 875 | | | | 872 | |
EyeCare Partners, Third Out Term Loan, 1st Lien | | | | | | | | |
12.130%, 11/30/2028 | | | 67 | | | | 11 | |
First Brands Group, LLC, 2021 Term Loan, 1st Lien | | | | | | | | |
10.514%, CME Term SOFR + 5.000%, 03/30/2027 (D) | | | 572 | | | | 565 | |
First Brands Group, LLC, 2021 Term Loan, 2nd Lien | | | | | | | | |
14.014%, 03/30/2028 | | | 1,200 | | | | 1,134 | |
First Brands Group, LLC, 2022-II Incremental Term Loan, 1st Lien | | | | | | | | |
10.514%, 03/30/2027 | | | 537 | | | | 530 | |
Gainwell Acquisition, Corp, Term B Loan, 1st Lien | | | | | | | | |
8.704%, CME Term SOFR + 4.000%, 10/01/2027 (D) | | | 219 | | | | 208 | |
Global Medical Response, Inc, 2024 Extended Term Loan, 1st Lien | | | | | | | | |
9.711%, CME Term SOFR + 4.750%, 10/31/2028 (D) | | | 401 | | | | 398 | |
Gray Television, Inc, Term B Loan, 1st Lien | | | | | | | | |
10.451%, 06/04/2029 | | | 110 | | | | 105 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
Gray Television, Inc, Term D Loan, 1st Lien | | | | | | | | |
8.315%, 12/01/2028 | | $ | 376 | | | $ | 346 | |
Harbor Freight Tools USA, Inc, Replacement Term Loan, 1st Lien | | | | | | | | |
7.345%, 06/11/2031 (D) | | | 247 | | | | 243 | |
7.241%, 06/11/2031 | | | 33 | | | | 33 | |
Icebox Holdco III, Inc, Initial Term Loan, 1st Lien | | | | | | | | |
8.615%, 12/22/2028 | | | 756 | | | | 758 | |
Icebox Holdco III, Inc, Initial Term Loan, 2nd Lien | | | | | | | | |
11.615%, 12/21/2029 | | | 225 | | | | 226 | |
Indy US Holdco, LLC, Ninth Amendment Dollar Refinancing Term Loan, 1st Lien | | | | | | | | |
9.595%, 03/06/2028 | | | 209 | | | | 208 | |
Isolved, Inc, Term B-1 Loan, 1st Lien | | | | | | | | |
8.747%, 10/15/2030 | | | 319 | | | | 320 | |
LABL, Inc., Initial Dollar Term Loan, 1st Lien | | | | | | | | |
9.945%, CME Term SOFR + 5.000%, 10/29/2028 (D) | | | 383 | | | | 374 | |
LC Ahab US Bidco, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
8.345%, 05/01/2031 (D) | | | 200 | | | | 201 | |
Learsfield Communications, LLC, 2023 Term Loan, 1st Lien | | | | | | | | |
10.345%, 06/30/2028 | | | 624 | | | | 622 | |
Lifepoint Health, Inc, Term Loan, 1st Lien | | | | | | | | |
8.965%, 05/17/2031 | | | 100 | | | | 100 | |
LRS Holdings, LLC, Intial Term Loan, 1st Lien | | | | | | | | |
9.210%, 08/31/2028 | | | 403 | | | | 382 | |
LTR Intermediate Holdings, Inc, Initial Term Loan, 1st Lien | | | | | | | | |
9.460%, 05/05/2028 | | | 308 | | | | 298 | |
Medline Borrower, LP, Refinancing Term Loan, 1st Lien | | | | | | | | |
7.595%, CME Term SOFR + 2.750%, 10/23/2028 (D) | | | 198 | | | | 198 | |
MRI Software, LLC, Closing Date Term Loan, 1st Lien | | | | | | | | |
9.354%, 02/10/2027 | | | 417 | | | | 408 | |
MRI Software, LLC, Second Amendment Term Loan, 1st Lien | | | | | | | | |
9.354%, 02/10/2027 | | | 115 | | | | 112 | |
Neptune BidCo US, Inc, Term A Loan, 1st Lien | | | | | | | | |
10.154%, 10/11/2028 (D) | | | 780 | | | | 728 | |
Nexus Buyer, LLC, Amendment No. 7 Refinancing Term Loan, 1st Lien | | | | | | | | |
8.845%, 07/31/2031 (D) | | | 678 | | | | 672 | |
NGP XI Midstream Holdings, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
8.604%, 07/25/2031 (D) | | | 540 | | | | 539 | |
Peer Holdings III BV, Facility B4, 1st Lien | | | | | | | | |
7.854%, 10/28/2030 | | | 438 | | | | 439 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
LOAN PARTICIPATIONS (continued) |
Perficient/Plano, Term B Loan, 1st Lien | | | | | | | | |
0.000%, 08/15/2031 (H) | | $ | 600 | | | $ | 600 | |
Planview Parent, Inc, 2024-A Incremental Term Loan, 1st Lien | | | | | | | | |
8.354%, 12/17/2027 | | | 470 | | | | 470 | |
SkyMiles IP, Ltd (Delta Air Lines, Inc), Initial Term Loan, 1st Lien | | | | | | | | |
9.032%, CME Term SOFR + 3.750%, 10/20/2027 (D) | | | 191 | | | | 195 | |
Soltera Health Holdings, LLC, Term B Loan, 1st Lien | | | | | | | | |
8.095%, 05/30/2031 | | | 430 | | | | 428 | |
Spencer Spirit IH, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
10.741%, 07/15/2031 | | | 400 | | | | 400 | |
Tanzania Private, Term B Loan, 1st Lien | | | | | | | | |
10.764%, 04/30/2031 (F) | | | 270 | | | | 267 | |
Team Services Group, LLC, Incremental Term B Loan, Lien 1 | | | | | | | | |
0.000%, 12/20/2027 (H) | | | 60 | | | | 59 | |
The GEO Group, Inc, Term Loan, 1st Lien | | | | | | | | |
10.095%, 04/13/2029 | | | 191 | | | | 194 | |
TRC Companies, LLC, Initial Term Loan, 1st Lien | | | | | | | | |
8.710%, 12/08/2028 (D) | | | 1,160 | | | | 1,158 | |
Univision Communications, Inc, 2024 Replacement Converted Term Loan, 1st Lien | | | | | | | | |
8.460%, 01/31/2029 | | | 40 | | | | 39 | |
Varsity Brands, Inc, Initial Term Loan, 1st Lien | | | | | | | | |
8.821%, CME Term SOFR + 3.750%, 08/26/2031 (D) | | | 160 | | | | 159 | |
Vericast Corp, 2024 Extended Term Loan, 1st Lien | | | | | | | | |
12.354%, 06/16/2026 | | | 253 | | | | 246 | |
VFH Parent, LLC, Term B-1 Loan, 1st Lien | | | | | | | | |
7.595%, 06/21/2031 (D) | | | 240 | | | | 240 | |
Virgin Media Bristol, LLC, N Facility, 1st Lien | | | | | | | | |
7.711%, CME Term SOFR + 2.500%, 01/31/2028 (D) | | | 300 | | | | 287 | |
Virtusa Corporation, Term B-2 Loan, 1st Lien | | | | | | | | |
8.497%, 02/15/2029 | | | 900 | | | | 899 | |
WW International, Inc, Initial Term Loan, 1st Lien | | | | | | | | |
8.460%, CME Term SOFR + 3.500%, 04/13/2028 (D) | | | 80 | | | | 21 | |
| | | | | | | | | |
| | | | | | | | | |
Total Loan Participations | | | | | | | | |
(Cost $28,957) ($ Thousands) | | | | | | | 28,140 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
U.S. TREASURY OBLIGATIONS — 1.9% |
U.S. Treasury Bills | | | | | | | | |
5.187%, 11/26/2024 (I) | | $ | 4,700 | | | $ | 4,666 | |
4.903%, 02/06/2025 (I) | | | 6,000 | | | | 5,906 | |
3.625%, 08/31/2029 | | | 260 | | | | 261 | |
| | | | | |
Total U.S. Treasury Obligations | | | | |
(Cost $10,823) ($ Thousands) | | | 10,833 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
CONVERTIBLE BONDS — 0.4% |
Alarm.com Holdings | | | | | | | | |
0.000%, 01/15/2026(G) | | | 57 | | | | 53 | |
DISH Network | | | | | | | | |
0.000%, 12/15/2025(G) | | | 1,370 | | | | 1,185 | |
DraftKings Holdings | | | | | | | | |
0.000%, 03/15/2028(G) | | | 680 | | | | 589 | |
Gannett | | | | | | | | |
6.000%, 12/01/2027(A) | | | 170 | | | | 215 | |
Multiplan | | | | | | | | |
6.000%, 10/15/2027(A) | | | 420 | | | | 258 | |
| | | | | | | | | |
Total Convertible Bonds | | | | | | | | |
(Cost $2,219) ($ Thousands) | | | | | | | 2,300 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
MUNICIPAL BOND — 0.0% |
Illinois — 0.0% | | | | |
Illinois State, Build America Bonds, GO | | | | | | | | |
7.350%, 07/01/2035 | | | 177 | | | | 194 | |
| | | | | | | | | |
| | | | | | | | | |
Total Municipal Bond | | | | | | | | |
| | | | | | | | | |
(Cost $193) ($ Thousands) | | | | | | | 194 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | Number of
Warrants | | | | | |
WARRANTS — 0.0% |
Noble Corp PLC, Expires 02/07/2028 | | | | | | | | |
Strike Price $19.27 * | | | 2,787 | | | | 40 | |
Noble Corp PLC, Expires 02/07/2028 | | | | | | | | |
Strike Price $23.13 * | | | 2,787 | | | | 31 | |
| | | | | | | | | |
| | | | | | | | | |
Total Warrants | | | | | | | | |
(Cost $12) ($ Thousands) | | | | | | | 71 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
PURCHASED OPTIONS — 0.0% |
Total Purchased Options | | | | | | | | |
(Cost $14) ($ Thousands) | | | | | | | 18 | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
| | | | | | | |
Description | | | | | | Market Value
($ Thousands) | |
PURCHASED SWAPTIONS — 0.0% |
Total Purchased Swaptions | | | | | | | | |
(Cost $22) ($ Thousands) | | | | | | $ | 8 | |
| | | | | | | | | |
Total Investments in Securities — 95.6% | | | | | | | | |
(Cost $530,103) ($ Thousands) | | $ | 531,507 | |
| | | | | | | | | |
| | | | | | | | | |
WRITTEN SWAPTIONS — (0.0)% |
Total Written Swaptions | | | | | | | | |
(Premiums Received $22) ($ Thousands) | | | | | | $ | (8 | ) |
| | | | | | | | | |
| | | | | | | | | |
A list of open exchange traded options contracts for the Fund at September 30, 2024, is as follows: |
Description | | Number of Contracts | | | Notional Amount
(Thousands) | | | Exercise Price | | | Expiration Date | | | Value
(Thousands) | |
PURCHASED OPTIONS — 0.0% | | | | | | | | | | | | | | | | |
Put Options | | | | | | | | | | | | | | | | | | | | |
USD PUT/CAD CALL | | | 1,166,000 | | | $ | 1,597 | | | $ | 1.37 | | | | 10/19/2024 | | | $ | 17 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Call Options | | | | | | | – | | | | | | | | | | | | – | |
USD CALL/EUR PUT | | | 1,250,000 | | | | 1,366 | | | | 1.09 | | | | 10/19/2024 | | | | 1 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | | | | $ | 2,963 | | | | | | | | | | | $ | 18 | |
A list of over the counter swaptions contracts for the Fund at September 30, 2024, is as follows: |
Description | | Counterparty | | | Number of Contracts/ Notional Amount | | | Exercise Price | | | Expiration Date | | | Value
(Thousands) | |
PURCHASED SWAPTIONS — 0.0% | | | | | | | | | | | | |
Put Swaptions | | | | | | | | | | | | | | | | |
Swaption | | | Bank of America Merrill Lynch | | | $ | 6,000,000 | | | $ | 60.00 | | | | 11/16/2024 | | | $ | 3 | |
Swaption | | | Bank of America Merrill Lynch | | | | 1,050,000 | | | | 104.50 | | | | 12/21/2024 | | | | 5 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total Purchased Swaptions | | | | | | $ | 7,050,000 | | | | | | | | | | | $ | 8 | |
WRITTEN SWAPTIONS — 0.0% | | | | | | | | | | | | |
Put Swaptions | | | | | | | | | | | | | | | | |
Swaption | | | Bank of America Merrill Lynch | | | $ | (12,000,000 | ) | | | 80.00 | | | | 11/16/2024 | | | $ | (3 | ) |
Swaption | | | Bank of America Merrill Lynch | | | | (4,700,000 | ) | | | 65.00 | | | | 12/21/2024 | | | | (5 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Total Written Swaptions | | | | | | $ | (16,700,000 | ) | | | | | | | | | | $ | (8 | ) |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Australian 10-Year Bond | | | 14 | | | | Dec-2024 | | | $ | 1,100 | | | $ | 1,130 | | | $ | (10 | ) |
Euro-Bobl | | | 4 | | | | Dec-2024 | | | | 524 | | | | 536 | | | | 6 | |
Euro-Bund 10-Year Bond | | | 38 | | | | Dec-2024 | | | | 5,576 | | | | 5,722 | | | | 86 | |
ICE 3-Month SONIA | | | 1 | | | | Mar-2025 | | | | 303 | | | | 320 | | | | 2 | |
Long Gilt 10-Year Bond | | | 24 | | | | Dec-2024 | | | | 3,139 | | | | 3,169 | | | | (14 | ) |
U.S. 2-Year Treasury Note | | | 300 | | | | Dec-2024 | | | | 62,305 | | | | 62,473 | | | | 168 | |
U.S. 5-Year Treasury Note | | | 117 | | | | Dec-2024 | | | | 12,877 | | | | 12,857 | | | | (20 | ) |
U.S. 5-Year Treasury Note | | | 24 | | | | Dec-2024 | | | | 2,631 | | | | 2,637 | | | | 6 | |
U.S. 10-Year Treasury Note | | | 68 | | | | Dec-2024 | | | | 7,766 | | | | 7,771 | | | | 5 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
U.S. Long Treasury Bond | | | 26 | | | | Dec-2024 | | | $ | 3,256 | | | $ | 3,229 | | | $ | (27 | ) |
U.S. Ultra Long Treasury Bond | | | 49 | | | | Dec-2024 | | | | 6,588 | | | | 6,522 | | | | (66 | ) |
Ultra 10-Year U.S. Treasury Note | | | 63 | | | | Dec-2024 | | | | 7,454 | | | | 7,453 | | | | (1 | ) |
| | | | | | | | | | | | 113,519 | | | | 113,819 | | | | 135 | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. 5-Year Treasury Note | | | (58) | | | | Dec-2024 | | | $ | (6,369 | ) | | $ | (6,374 | ) | | $ | (5 | ) |
U.S. 10-Year Treasury Note | | | (20) | | | | Dec-2024 | | | | (2,274 | ) | | | (2,286 | ) | | | (12 | ) |
U.S. Long Treasury Bond | | | (12) | | | | Dec-2024 | | | | (1,498 | ) | | | (1,491 | ) | | | 7 | |
Ultra 10-Year U.S. Treasury Note | | | (18) | | | | Dec-2024 | | | | (2,128 | ) | | | (2,129 | ) | | | (1 | ) |
Ultra 10-Year U.S. Treasury Note | | | (45) | | | | Dec-2024 | | | | (5,326 | ) | | | (5,323 | ) | | | 3 | |
| | | | | | | | | | | | (17,595 | ) | | | (17,603 | ) | | | (8 | ) |
| | | | | | | | | | | $ | 95,924 | | | $ | 96,216 | | | $ | 127 | |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2024, is as follows: |
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
BNP Paribas | | | 10/18/24 | | | | USD | | | | 141 | | | | EUR | | | | 129 | | | $ | 3 | |
BNP Paribas | | | 10/18/24 | | | | CHF | | | | 180 | | | | USD | | | | 210 | | | | (4 | ) |
BNP Paribas | | | 10/18/24 | | | | USD | | | | 190 | | | | CHF | | | | 160 | | | | — | |
BNP Paribas | | | 10/18/24 | | | | USD | | | | 586 | | | | NOK | | | | 6,450 | | | | 27 | |
BNP Paribas | | | 10/18/24 | | | | NOK | | | | 1,340 | | | | USD | | | | 125 | | | | (2 | ) |
BNP Paribas | | | 10/18/24 | | | | EUR | | | | 1,936 | | | | USD | | | | 2,106 | | | | (57 | ) |
Citigroup | | | 10/18/24 | | | | JPY | | | | 3 | | | | USD | | | | 0 | | | | — | |
Citigroup | | | 10/18/24 | | | | USD | | | | 130 | | | | INR | | | | 10,910 | | | | — | |
Citigroup | | | 10/18/24 | | | | USD | | | | 316 | | | | JPY | | | | 45,090 | | | | — | |
Citigroup | | | 10/18/24 | | | | USD | | | | 400 | | | | CAD | | | | 550 | | | | 7 | |
Citigroup | | | 10/18/24 | | | | USD | | | | 489 | | | | EUR | | | | 440 | | | | 2 | |
Citigroup | | | 10/18/24 | | | | USD | | | | 89 | | | | EUR | | | | 80 | | | | — | |
Citigroup | | | 10/18/24 | | | | CAD | | | | 798 | | | | USD | | | | 587 | | | | (4 | ) |
Citigroup | | | 10/18/24 | | | | EUR | | | | 1,160 | | | | USD | | | | 1,269 | | | | (26 | ) |
Citigroup | | | 10/18/24 | | | | AUD | | | | 1,160 | | | | USD | | | | 785 | | | | (20 | ) |
Citigroup | | | 10/18/24 | | | | USD | | | | 1,525 | | | | AUD | | | | 2,276 | | | | 54 | |
Deutsche Bank | | | 12/16/24 | | | | GBP | | | | 695 | | | | USD | | | | 929 | | | | (3 | ) |
Goldman Sachs | | | 10/02/24 | | | | USD | | | | 1,947 | | | | BRL | | | | 10,736 | | | | 24 | |
Goldman Sachs | | | 10/18/24 | | | | USD | | | | 271 | | | | NOK | | | | 2,985 | | | | 12 | |
Goldman Sachs | | | 10/18/24 | | | | USD | | | | 297 | | | | CHF | | | | 250 | | | | — | |
Goldman Sachs | | | 10/18/24 | | | | USD | | | | 416 | | | | CHF | | | | 350 | | | | — | |
Goldman Sachs | | | 10/18/24 | | | | USD | | | | 717 | | | | GBP | | | | 540 | | | | 7 | |
Goldman Sachs | | | 10/18/24 | | | | AUD | | | | 720 | | | | USD | | | | 485 | | | | (15 | ) |
Goldman Sachs | | | 10/18/24 | | | | CHF | | | | 1,625 | | | | USD | | | | 1,833 | | | | (98 | ) |
Goldman Sachs | | | 10/18/24 | | | | GBP | | | | 3,125 | | | | USD | | | | 4,027 | | | | (165 | ) |
Goldman Sachs | | | 10/18/24 | | | | MXN | | | | 3,590 | | | | USD | | | | 189 | | | | 6 | |
Goldman Sachs | | | 10/18/24 | | | | NOK | | | | 8,100 | | | | USD | | | | 756 | | | | (13 | ) |
Goldman Sachs | | | 11/04/24 | | | | USD | | | | 1,952 | | | | BRL | | | | 10,736 | | | | 11 | |
JPMorgan Chase Bank | | | 10/15/24 | | | | USD | | | | 404 | | | | EUR | | | | 366 | | | | 5 | |
JPMorgan Chase Bank | | | 10/18/24 | | | | USD | | | | 50 | | | | MXN | | | | 920 | | | | (4 | ) |
JPMorgan Chase Bank | | | 10/18/24 | | | | USD | | | | 378 | | | | JPY | | | | 54,050 | | | | 1 | |
JPMorgan Chase Bank | | | 10/18/24 | | | | CAD | | | | 550 | | | | USD | | | | 405 | | | | (2 | ) |
JPMorgan Chase Bank | | | 10/18/24 | | | | USD | | | | 1,497 | | | | CNH | | | | 10,570 | | | | 16 | |
JPMorgan Chase Bank | | | 10/18/24 | | | | USD | | | | 185 | | | | CNH | | | | 1,290 | | | | — | |
JPMorgan Chase Bank | | | 10/18/24 | | | | MXN | | | | 12,223 | | | | USD | | | | 632 | | | | 10 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Continued)
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
JPMorgan Chase Bank | | | 10/18/24 | | | | CNH | | | | 20,344 | | | | USD | | | | 2,831 | | | $ | (81 | ) |
JPMorgan Chase Bank | | | 10/31/24 | | | | USD | | | | 428 | | | | CAD | | | | 592 | | | | 10 | |
JPMorgan Chase Bank | | | 10/31/24 | | | | CAD | | | | 592 | | | | USD | | | | 429 | | | | (10 | ) |
Morgan Stanley | | | 12/19/24 | | | | MXN | | | | 4,268 | | | | USD | | | | 215 | | | | — | |
State Street | | | 10/02/24 | | | | ZAR | | | | 3,428 | | | | USD | | | | 195 | | | | (4 | ) |
State Street | | | 10/24/24 | | | | EUR | | | | 358 | | | | USD | | | | 397 | | | | (4 | ) |
State Street | | | 12/30/24 | | | | ZAR | | | | 9,053 | | | | USD | | | | 522 | | | | 1 | |
UBS | | | 10/24/24 | | | | EUR | | | | 8,015 | | | | USD | | | | 8,739 | | | | (214 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | (530 | ) |
A list of the open OTC swap agreements held by the Fund at September 30, 2024 is as follows:
Interest Rate Swap |
Counterparty | | Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
JPMorgan Chase | | | 1-Day CETIP | | | | 0.23% | | | | Annually | | | | 01/02/2029 | | | | BRL | | | | 23,190 | | | $ | (224 | ) | | $ | – | | | $ | (224 | ) |
Total Return Swap |
Counterparty | | Reference Entity/ Obligation | | | Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional
Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/
Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
JPMorgan Chase | | INDEX SWAP | | | | JPEIFNTR INDEX | | | | SOFR | | | | Quarterly | | | | 11/02/2024 | | | | USD | | | | 683 | | | $ | 22 | | | $ | – | | | $ | 22 | |
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2024 is as follows:
Credit Default Swaps - Buy Protection | | | |
Reference Entity/ Obligation | | Pay Rate | | | Payment Frequency | | | Termination Date | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
CDS-DAIGR@100BP5.1Y | | | 1.00% | | | | Quarterly | | | | 12/20/2024 | | | $ | 1,290 | | | $ | (2 | ) | | $ | (1 | ) | | $ | (1 | ) |
CDS-GM@500BP4.9Y | | | 5.00% | | | | Quarterly | | | | 06/20/2026 | | | | 760 | | | | (59 | ) | | | (51 | ) | | | (8 | ) |
CDS-GM@500BP5.3Y | | | 5.00% | | | | Quarterly | | | | 06/20/2029 | | | | 690 | | | | (111 | ) | | | (111 | ) | | | – | |
CDS-MDC@100BP5.2Y | | | 0.00% | | | | Quarterly | | | | 12/20/2029 | | | | 360 | | | | (11 | ) | | | (10 | ) | | | (1 | ) |
CDS-RIG@100BP5.2Y | | | 1.00% | | | | Quarterly | | | | 06/20/2029 | | | | 420 | | | | 65 | | | | 47 | | | | 18 | |
| | | | | | | | | | | | | | | | | | | $ | (118 | ) | | $ | (126 | ) | | $ | 8 | |
Credit Default Swaps - Sell Protection | | | |
Reference Entity/ Obligation | | Receive Rate | | | Payment Frequency | | | Termination Date | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
CDS-CDX.NA.HY.42 | | | 5.00% | | | | Quarterly | | | | 06/20/2029 | | | $ | 5,076 | | | $ | 390 | | | $ | 383 | | | $ | 7 | |
CDS-CDX.NA.HY.43 | | | 5.00% | | | | Quarterly | | | | 12/20/2029 | | | | 7,676 | | | | 555 | | | | 559 | | | | (4 | ) |
CDS-CDX.NA.IG.43 | | | 1.00% | | | | Quarterly | | | | 12/20/2029 | | | | 325 | | | | 7 | | | | 7 | | | | – | |
CDS-F@500BP5.3Y | | | 5.00% | | | | Quarterly | | | | 06/20/2029 | | | | 690 | | | | 96 | | | | 95 | | | | 1 | |
CDS-F@500BPS 4.9Y | | | 5.00% | | | | Quarterly | | | | 06/20/2026 | | | | 760 | | | | 56 | | | | 38 | | | | 18 | |
CDS-LEN@100BP5.2Y | | | 0.00% | | | | Quarterly | | | | 12/20/2029 | | | | 360 | | | | 5 | | | | 5 | | | | – | |
CDS-NBR@100BP5.2Y | | | 1.00% | | | | Quarterly | | | | 06/20/2029 | | | | 420 | | | | (86 | ) | | | (66 | ) | | | (20 | ) |
CDS-VW@100BP5.1Y | | | 1.00% | | | | Quarterly | | | | 12/20/2024 | | | | 1,290 | | | | 2 | | | | 1 | | | | 1 | |
ICE CD | | | 1.00% | | | | Quarterly | | | | 06/20/2029 | | | | 980 | | | | 13 | | | | 14 | | | | (1 | ) |
ICE CD | | | 1.00% | | | | Quarterly | | | | 06/20/2029 | | | | 210 | | | | 5 | | | | 4 | | | | 1 | |
ICE CD | | | 1.00% | | | | Quarterly | | | | 06/20/2029 | | | | 390 | | | | 8 | | | | 7 | | | | 1 | |
ICE CD CDX.IG.533 | | | 1.00% | | | | Quarterly | | | | 12/20/2024 | | | | 2,375 | | | | 5 | | | | 3 | | | | 2 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Concluded)
Reference Entity/ Obligation | | Receive Rate | | | Payment Frequency | | | Termination Date | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
ICE CD CDX.IG.541 | | | 1.00% | | | | Quarterly | | | | 12/20/2028 | | | $ | 8,505 | | | $ | 194 | | | $ | 131 | | | $ | 63 | |
ICE CD CXP.HY.534 | | | 5.00% | | | | Quarterly | | | | 06/25/2025 | | | | 6,092 | | | | 178 | | | | (34 | ) | | | 212 | |
ICE CD GE | | | 1.00% | | | | Quarterly | | | | 06/20/2026 | | | | 1,175 | | | | 18 | | | | 6 | | | | 12 | |
| | | | | | | | | | | | | | | | | | | $ | 1,446 | | | $ | 1,153 | | | $ | 293 | |
| | Interest Rate Swaps | |
| | Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
| | | | | | | 10.25% | | | | BZDIOVRA | | | | Monthly | | | | 01/02/2029 | | | | BRL | | | | 5,550 | | | $ | 66 | | | $ | 43 | | | $ | 23 | |
| | | | | | | BZDIOVRA | | | | 9.75% | | | | Monthly | | | | 01/02/2026 | | | | BRL | | | | 15,340 | | | | (75 | ) | | | (74 | ) | | | (1 | ) |
| | | | | | | CLICP | | | | 4.5% | | | | Semi-Annually | | | | 12/18/2026 | | | | CLP | | | | 728,780 | | | | 5 | | | | 4 | | | | 1 | |
| | | | | | | 5.0% | | | | CLICP | | | | Semi-Annually | | | | 12/18/2034 | | | | CLP | | | | 218,400 | | | | (5 | ) | | | (7 | ) | | | 2 | |
| | | | | | | COLOMBIA OVERNIGHT INTERBANK REFERENCE RATE | | | | 7.25% | | | | Quarterly | | | | 12/18/2026 | | | | COP | | | | 2,278,540 | | | | 3 | | | | 6 | | | | (3 | ) |
| | | | | | | COLOMBIA OVERNIGHT INTERBANK REFERENCE RATE | | | | 7.75% | | | | Quarterly | | | | 12/18/2034 | | | | COP | | | | 1,137,810 | | | | 4 | | | | – | | | | 4 | |
| | | | | | | MXIBTIIE | | | | 9.25% | | | | Monthly | | | | 12/16/2026 | | | | MXN | | | | 55,840 | | | | 29 | | | | 20 | | | | 9 | |
| | | | | | | MXIBTIIE | | | | 9.2194% | | | | Monthly | | | | 06/30/2034 | | | | MXN | | | | 48,639 | | | | 90 | | | | – | | | | 90 | |
| | | | | | | CNRR007 | | | | 1.75% | | | | Quarterly | | | | 12/18/2026 | | | | CNY | | | | 7,750 | | | | 3 | | | | 1 | | | | 2 | |
| | | | | | | 1.75% | | | | CNRR007 | | | | Quarterly | | | | 12/18/2029 | | | | CNY | | | | 2,140 | | | | 1 | | | | (2 | ) | | | 3 | |
| | | | | | | 6-Month PRIBOR | | | | 3.25% | | | | Semi-Annually | | | | 12/18/2026 | | | | CZK | | | | 20,740 | | | | 4 | | | | – | | | | 4 | |
| | | | | | | 6-Month PRIBOR | | | | 3.5% | | | | Semi-Annually | | | | 12/18/2034 | | | | CZK | | | | 4,590 | | | | 4 | | | | 2 | | | | 2 | |
| | | | | | | EUR006M | | | | 2.5% | | | | Semi-Annually | | | | 12/18/2034 | | | | EUR | | | | 540 | | | | 9 | | | | 6 | | | | 3 | |
| | | | | | | 2.5% | | | | EUR006M | | | | Annually | | | | 12/18/2031 | | | | EUR | | | | 2,760 | | | | (54 | ) | | | (36 | ) | | | (18 | ) |
| | | | | | | 2.5% | | | | EUR006M | | | | Annually | | | | 12/18/2029 | | | | EUR | | | | 940 | | | | (17 | ) | | | (11 | ) | | | (6 | ) |
| | | | | | | 2.5% | | | | EUR006M | | | | Annually | | | | 12/18/2027 | | | | EUR | | | | 1,880 | | | | (23 | ) | | | (15 | ) | | | (8 | ) |
| | | | | | | 3.75% | | | | SONIA | | | | Annually | | | | 12/18/2034 | | | | GBP | | | | 380 | | | | (6 | ) | | | (7 | ) | | | 1 | |
| | | | | | | BUBOR | | | | 5.5% | | | | Semi-Annually | | | | 12/18/2026 | | | | HUF | | | | 49,760 | | | | 1 | | | | – | | | | 1 | |
| | | | | | | 6.0% | | | | BUBOR | | | | Annually | | | | 12/18/2034 | | | | HUF | | | | 70,250 | | | | (3 | ) | | | – | | | | (3 | ) |
| | | | | | | 6.0% | | | | IN00O/N | | | | Semi-Annually | | | | 12/18/2029 | | | | INR | | | | 74,120 | | | | 2 | | | | 1 | | | | 1 | |
| | | | | | | 6.0% | | | | IN00O/N | | | | Semi-Annually | | | | 12/18/2026 | | | | INR | | | | 167,690 | | | | 1 | | | | 2 | | | | (1 | ) |
| | | | | | | KWCDC | | | | 2.75% | | | | Quarterly | | | | 12/18/2026 | | | | KRW | | | | 2,659,750 | | | | – | | | | (5 | ) | | | 5 | |
| | | | | | | KWCDC | | | | 2.75% | | | | Quarterly | | | | 12/18/2034 | | | | KRW | | | | 225,100 | | | | (1 | ) | | | (2 | ) | | | 1 | |
| | | | | | | 2.0% | | | | THOR | | | | Quarterly | | | | 12/18/2029 | | | | THB | | | | 29,900 | | | | 4 | | | | 4 | | | | – | |
| | | | | | | SOFRRATE | | | | 3.75% | | | | Annually | | | | 12/18/2026 | | | | USD | | | | 18,806 | | | | 175 | | | | 188 | | | | (13 | ) |
| | | | | | | 7.25% | | | | JIBAR | | | | Quarterly | | | | 12/18/2026 | | | | ZAR | | | | 18,820 | | | | (4 | ) | | | (3 | ) | | | (1 | ) |
| | | | | | | JIBAR | | | | 8.75% | | | | Quarterly | | | | 12/18/2034 | | | | ZAR | | | | 8,300 | | | | 9 | | | | 4 | | | | 5 | |
| | | | | | | 3.75% | | | | SOFRRATE | | | | Annually | | | | 12/18/2034 | | | | USD | | | | 3,982 | | | | (150 | ) | | | (153 | ) | | | 3 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 72 | | | $ | (34 | ) | | $ | 106 | |
| Percentages are based on Net Assets of $556,021 ($ Thousands). |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
(A) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2024, the value of these securities amounted to $269,995 ($ Thousands), representing 48.6% of the Net Assets of the Fund. |
(B) | Security is in default on interest payment. |
(C) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(D) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(E) | Perpetual security with no stated maturity date. |
(F) | Level 3 security in accordance with fair value hierarchy. |
(G) | Zero coupon security. |
(H) | No interest rate available. |
(I) | Interest rate represents the security's effective yield at the time of purchase. |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Income Fund (Concluded)
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($)(1) | | | Total
($) | |
Corporate Obligations | | | – | | | | 214,930 | | | | – | | | | 214,930 | |
Asset-Backed Securities | | | – | | | | 70,034 | | | | – | | | | 70,034 | |
Mortgage-Backed Securities | | | – | | | | 61,593 | | | | – | | | | 61,593 | |
Common Stock | | | 51,268 | | | | – | | | | 923 | | | | 52,191 | |
Sovereign Debt | | | – | | | | 48,546 | | | | – | | | | 48,546 | |
Foreign Common Stock | | | 42,649 | | | | – | | | | – | | | | 42,649 | |
Loan Participations | | | – | | | | 25,947 | | | | 2,193 | | | | 28,140 | |
U.S. Treasury Obligations | | | – | | | | 10,833 | | | | – | | | | 10,833 | |
Convertible Bonds | | | – | | | | 2,300 | | | | – | | | | 2,300 | |
Municipal Bond | | | – | | | | 194 | | | | – | | | | 194 | |
Warrants | | | – | | | | 71 | | | | – | | | | 71 | |
Purchased Options | | | 18 | | | | – | | | | – | | | | 18 | |
Purchased Swaptions | | | – | | | | 8 | | | | – | | | | 8 | |
Total Investments in Securities | | | 93,935 | | | | 434,456 | | | | 3,116 | | | | 531,507 | |
| |
| |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Written Swaptions | | | – | | | | (8 | ) | | | – | | | | (8 | ) |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 283 | | | | – | | | | – | | | | 283 | |
| | Unrealized Depreciation | | | (156 | ) | | | – | | | | – | | | | (156 | ) |
| | Forward Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 196 | | | | – | | | | 196 | |
| | Unrealized Depreciation | | | – | | | | (726 | ) | | | – | | | | (726 | ) |
| | OTC Swaps | | | | | | | | | | | | | | | | |
| | Interest Rate Swap* | | | | | | | | | | | | | | | | |
| | Unrealized Depreciation | | | – | | | | (224 | ) | | | – | | | | (224 | ) |
| | Total Return Swap* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 22 | | | | – | | | | 22 | |
| | Centrally Cleared Swaps | | | | | | | | | | | | | | | | |
| | Credit Default Swaps* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 336 | | | | – | | | | 336 | |
| | Unrealized Depreciation | | | – | | | | (35 | ) | | | – | | | | (35 | ) |
| | Interest Rate Swaps* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 160 | | | | – | | | | 160 | |
| | Unrealized Depreciation | | | – | | | | (54 | ) | | | – | | | | (54 | ) |
Total Other Financial Instruments | | | 127 | | | | (333 | ) | | | – | | | | (206 | ) |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
U.S. TREASURY OBLIGATIONS — 62.3% |
U.S. Treasury Bills ^ | | | | | | | | |
5.297%, 11/14/2024 (A) | | $ | 7,000 | | | $ | 6,960 | |
5.296%, 10/24/2024 (A) | | | 3,000 | | | | 2,991 | |
5.292%, 11/07/2024 (A) | | | 6,500 | | | | 6,469 | |
5.288%, 10/17/2024 (A) | | | 6,000 | | | | 5,988 | |
5.272%, 10/10/2024 (A) | | | 6,000 | | | | 5,993 | |
5.246%, 10/31/2024 (A) | | | 5,700 | | | | 5,678 | |
5.240%, 11/21/2024 (A) | | | 7,000 | | | | 6,954 | |
5.213%, 10/03/2024 (A) | | | – | | | | – | |
4.600%, 11/29/2024 (A) | | | 7,000 | | | | 6,946 | |
4.503%, 12/05/2024 (A) | | | 6,000 | | | | 5,951 | |
U.S. Treasury Inflation Protected Securities | | | | | | | | |
0.750%, 07/15/2028 (B) | | | 66,014 | | | | 64,547 | |
0.375%, 07/15/2027 (B) | | | 153,187 | | | | 148,956 | |
0.250%, 07/15/2029 | | | 42,668 | | | | 40,478 | |
0.125%, 07/15/2026 (B) | | | 6,672 | | | | 6,504 | |
U.S. Treasury Notes ^ | | | | | | | | |
5.000%, 08/31/2025 | | | 900 | | | | 908 | |
4.875%, 05/31/2026 | | | 600 | | | | 611 | |
4.797%, USBMMY3M + 0.245%, 01/31/2026 (C) | | | 9,600 | | | | 9,601 | |
4.752%, USBMMY3M + 0.200%, 01/31/2025 (C) | | | 6,300 | | | | 6,298 | |
4.750%, 07/31/2025 | | | 1,000 | | | | 1,005 | |
4.722%, USBMMY3M + 0.170%, 10/31/2025 (C)(H) | | | 6,800 | | | | 6,797 | |
4.721%, USBMMY3M + 0.169%, 04/30/2025 (C) | | | 7,100 | | | | 7,095 | |
4.702%, USBMMY3M + 0.150%, 04/30/2026 (C) | | | 700 | | | | 699 | |
4.692%, USBMMY3M + 0.140%, 10/31/2024 (C) | | | 6,200 | | | | 6,198 | |
4.677%, USBMMY3M + 0.125%, 07/31/2025 (C) | | | 4,200 | | | | 4,197 | |
4.625%, 02/28/2025 | | | 400 | | | | 400 | |
4.500%, 04/15/2027 | | | 500 | | | | 511 | |
4.375%, 08/15/2026 | | | 700 | | | | 709 | |
4.375%, 07/15/2027 | | | 600 | | | | 613 | |
4.000%, 02/15/2026 | | | 600 | | | | 602 | |
3.750%, 08/31/2026 | | | 300 | | | | 300 | |
3.375%, 09/15/2027 | | | 600 | | | | 597 | |
| | | | | |
Total U.S. Treasury Obligations | | | | |
(Cost $358,510) ($ Thousands) | | | 361,556 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
COMMON STOCK — 28.4% |
| | | | | | | | | |
Communication Services — 2.4% | | | | |
Alphabet Inc, Cl A | | | 9,847 | | | | 1,633 | |
Alphabet Inc, Cl C | | | 8,253 | | | | 1,380 | |
AST SpaceMobile Inc, Cl A * | | | 1,222 | | | | 32 | |
AT&T Inc (D) | | | 78,918 | | | | 1,736 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Cogent Communications Holdings Inc | | | 527 | | | $ | 40 | |
Electronic Arts Inc | | | 1,309 | | | | 188 | |
Frontier Communications Parent Inc * | | | 2,349 | | | | 83 | |
GCI Liberty Inc * | | | 1,700 | | | | — | |
Iridium Communications Inc | | | 1,267 | | | | 39 | |
Liberty Media Corp-Liberty Formula One, Cl C * | | | 980 | | | | 76 | |
Live Nation Entertainment Inc * | | | 693 | | | | 76 | |
Lumen Technologies Inc * | | | 11,200 | | | | 79 | |
Madison Square Garden Sports Corp * | | | 121 | | | | 25 | |
Match Group Inc * | | | 615 | | | | 23 | |
Meta Platforms Inc, Cl A | | | 3,669 | | | | 2,100 | |
Netflix Inc * | | | 2,044 | | | | 1,450 | |
Pinterest Inc, Cl A * | | | 908 | | | | 29 | |
ROBLOX Corp, Cl A * | | | 2,752 | | | | 122 | |
Roku Inc, Cl A * | | | 491 | | | | 37 | |
Shenandoah Telecommunications Co | | | 1,000 | | | | 14 | |
Spotify Technology SA * | | | 671 | | | | 247 | |
Take-Two Interactive Software Inc, Cl A * | | | 799 | | | | 123 | |
Telephone and Data Systems Inc | | | 1,500 | | | | 35 | |
TKO Group Holdings Inc, Cl A * | | | 400 | | | | 49 | |
T-Mobile US Inc | | | 5,319 | | | | 1,098 | |
Verizon Communications Inc | | | 46,328 | | | | 2,081 | |
Walt Disney Co/The | | | 8,814 | | | | 848 | |
Warner Bros Discovery Inc *(D) | | | 12,315 | | | | 102 | |
| | | | | | | | | |
| | | | | | | | 13,745 | |
Consumer Staples — 7.2% | | | | |
Albertsons Cos Inc, Cl A | | | 5,448 | | | | 101 | |
Altria Group Inc (D) | | | 23,188 | | | | 1,183 | |
Andersons Inc/The | | | 700 | | | | 35 | |
Archer-Daniels-Midland Co | | | 6,563 | | | | 392 | |
BellRing Brands Inc * | | | 1,575 | | | | 96 | |
BJ's Wholesale Club Holdings Inc * | | | 1,666 | | | | 137 | |
Boston Beer Co Inc/The, Cl A * | | | 129 | | | | 37 | |
Brown-Forman Corp, Cl A | | | 805 | | | | 39 | |
Brown-Forman Corp, Cl B | | | 2,418 | | | | 119 | |
Bunge Global SA | | | 1,882 | | | | 182 | |
Cal-Maine Foods Inc | | | 472 | | | | 35 | |
Campbell Soup Co | | | 2,507 | | | | 123 | |
Casey's General Stores Inc | | | 518 | | | | 195 | |
Celsius Holdings Inc * | | | 2,510 | | | | 79 | |
Central Garden & Pet Co, Cl A * | | | 1,000 | | | | 31 | |
Chefs' Warehouse Inc/The * | | | 278 | | | | 12 | |
Church & Dwight Co Inc | | | 3,290 | | | | 345 | |
Clorox Co/The | | | 1,628 | | | | 265 | |
Coca-Cola Co/The (D) | | | 52,378 | | | | 3,764 | |
Coca-Cola Consolidated Inc | | | 85 | | | | 112 | |
Colgate-Palmolive Co | | | 10,963 | | | | 1,138 | |
Conagra Brands Inc | | | 6,693 | | | | 218 | |
Constellation Brands Inc, Cl A | | | 2,149 | | | | 554 | |
Costco Wholesale Corp (D) | | | 5,985 | | | | 5,306 | |
Coty Inc, Cl A * | | | 5,808 | | | | 55 | |
Darling Ingredients Inc * | | | 2,028 | | | | 75 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Dollar General Corp | | | 2,870 | | | $ | 243 | |
Dollar Tree Inc * | | | 2,639 | | | | 186 | |
Edgewell Personal Care Co | | | 821 | | | | 30 | |
elf Beauty Inc * | | | 777 | | | | 85 | |
Energizer Holdings Inc | | | 727 | | | | 23 | |
Estee Lauder Cos Inc/The, Cl A | | | 3,264 | | | | 325 | |
Flowers Foods Inc | | | 2,255 | | | | 52 | |
Freshpet Inc * | | | 728 | | | | 100 | |
General Mills Inc | | | 7,617 | | | | 562 | |
Grocery Outlet Holding Corp * | | | 1,388 | | | | 24 | |
Herbalife Ltd * | | | 1,741 | | | | 12 | |
Hershey Co/The | | | 1,990 | | | | 382 | |
Hormel Foods Corp | | | 3,604 | | | | 114 | |
Ingles Markets Inc, Cl A | | | 244 | | | | 18 | |
Ingredion Inc | | | 881 | | | | 121 | |
Inter Parfums Inc | | | 162 | | | | 21 | |
J & J Snack Foods Corp | | | 289 | | | | 50 | |
J M Smucker Co/The | | | 1,330 | | | | 161 | |
John B Sanfilippo & Son Inc | | | 266 | | | | 25 | |
Kellanova | | | 3,487 | | | | 281 | |
Kenvue Inc | | | 26,101 | | | | 604 | |
Keurig Dr Pepper Inc | | | 14,528 | | | | 544 | |
Kimberly-Clark Corp | | | 4,536 | | | | 645 | |
Kraft Heinz Co/The | | | 12,069 | | | | 424 | |
Kroger Co/The | | | 8,948 | | | | 513 | |
Lamb Weston Holdings Inc | | | 2,047 | | | | 133 | |
Lancaster Colony Corp | | | 244 | | | | 43 | |
Maplebear Inc * | | | 2,414 | | | | 98 | |
McCormick & Co Inc/MD | | | 3,562 | | | | 293 | |
MGP Ingredients Inc | | | 172 | | | | 14 | |
Molson Coors Beverage Co, Cl B | | | 2,486 | | | | 143 | |
Mondelez International Inc, Cl A | | | 18,066 | | | | 1,331 | |
Monster Beverage Corp * | | | 10,042 | | | | 524 | |
PepsiCo Inc (D) | | | 18,549 | | | | 3,154 | |
Performance Food Group Co * | | | 2,024 | | | | 159 | |
Philip Morris International Inc (D) | | | 20,975 | | | | 2,546 | |
Pilgrim's Pride Corp * | | | 745 | | | | 34 | |
Post Holdings Inc * | | | 597 | | | | 69 | |
PriceSmart Inc | | | 400 | | | | 37 | |
Primo Water Corp | | | 1,959 | | | | 49 | |
Procter & Gamble Co/The (D) | | | 31,837 | | | | 5,514 | |
Reynolds Consumer Products Inc | | | 1,125 | | | | 35 | |
Simply Good Foods Co/The * | | | 1,631 | | | | 57 | |
SpartanNash Co | | | 1,239 | | | | 28 | |
Spectrum Brands Holdings Inc | | | 378 | | | | 36 | |
Sprouts Farmers Market Inc * | | | 1,325 | | | | 146 | |
Sysco Corp, Cl A | | | 6,718 | | | | 524 | |
Target Corp, Cl A | | | 6,327 | | | | 986 | |
TreeHouse Foods Inc * | | | 904 | | | | 38 | |
Tyson Foods Inc, Cl A (D) | | | 3,678 | | | | 219 | |
United Natural Foods Inc * | | | 1,213 | | | | 20 | |
Universal Corp/VA | | | 297 | | | | 16 | |
US Foods Holding Corp * | | | 2,903 | | | | 179 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Vector Group Ltd | | | 1,726 | | | $ | 26 | |
Vita Coco Co Inc/The * | | | 966 | | | | 27 | |
Vital Farms Inc * | | | 396 | | | | 14 | |
Walgreens Boots Alliance Inc | | | 10,578 | | | | 95 | |
Walmart Inc (D) | | | 58,560 | | | | 4,729 | |
WD-40 Co | | | 161 | | | | 41 | |
Weis Markets Inc | | | 430 | | | | 30 | |
WK Kellogg Co | | | 1,163 | | | | 20 | |
| | | | | | | | | |
| | | | | | | | 41,580 | |
Energy — 6.8% | | | | |
Antero Midstream Corp | | | 6,534 | | | | 98 | |
Antero Resources Corp * | | | 6,220 | | | | 178 | |
APA Corp | | | 7,626 | | | | 187 | |
Archrock Inc | | | 3,190 | | | | 65 | |
Atlas Energy Solutions, Cl A | | | 1,496 | | | | 33 | |
Baker Hughes Co, Cl A | | | 20,603 | | | | 745 | |
Berry Corp | | | 3,100 | | | | 16 | |
Bristow Group Inc * | | | 800 | | | | 28 | |
Cactus Inc, Cl A | | | 1,180 | | | | 70 | |
California Resources Corp | | | 1,438 | | | | 75 | |
Centrus Energy Corp, Cl A * | | | 300 | | | | 16 | |
ChampionX Corp | | | 4,221 | | | | 127 | |
Cheniere Energy Inc | | | 4,741 | | | | 853 | |
Chevron Corp (D) | | | 35,579 | | | | 5,240 | |
Chord Energy Corp | | | 1,213 | | | | 158 | |
Civitas Resources Inc | | | 2,104 | | | | 107 | |
Clean Energy Fuels Corp * | | | 5,002 | | | | 16 | |
CNX Resources Corp * | | | 2,819 | | | | 92 | |
Comstock Resources Inc | | | 2,287 | | | | 25 | |
ConocoPhillips (D) | | | 24,196 | | | | 2,547 | |
CONSOL Energy Inc | | | 615 | | | | 64 | |
Core Laboratories | | | 900 | | | | 17 | |
Coterra Energy Inc | | | 15,796 | | | | 378 | |
Crescent Energy, Cl A | | | 3,788 | | | | 41 | |
CVR Energy Inc | | | 994 | | | | 23 | |
Delek US Holdings Inc | | | 1,529 | | | | 29 | |
Devon Energy Corp | | | 13,242 | | | | 518 | |
DHT Holdings Inc | | | 3,600 | | | | 40 | |
Diamondback Energy Inc, Cl A | | | 3,671 | | | | 633 | |
Dorian LPG Ltd | | | 593 | | | | 20 | |
DT Midstream Inc | | | 2,011 | | | | 158 | |
Energy Fuels Inc/Canada * | | | 4,600 | | | | 25 | |
EOG Resources Inc | | | 11,880 | | | | 1,460 | |
EQT Corp | | | 12,532 | | | | 459 | |
Expand Energy Corp | | | 2,857 | | | | 235 | |
Expro Group Holdings NV * | | | 2,400 | | | | 41 | |
Exxon Mobil Corp (D) | | | 92,678 | | | | 10,864 | |
Green Plains Inc * | | | 1,400 | | | | 19 | |
Gulfport Energy Corp * | | | 338 | | | | 51 | |
Halliburton Co | | | 18,583 | | | | 540 | |
Helix Energy Solutions Group Inc * | | | 3,440 | | | | 38 | |
Helmerich & Payne Inc | | | 2,114 | | | | 64 | |
Hess Corp | | | 5,767 | | | | 783 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
HF Sinclair Corp | | | 3,327 | | | $ | 148 | |
Innovex International * | | | 1,031 | | | | 15 | |
International Seaways Inc | | | 672 | | | | 35 | |
Kinder Morgan Inc | | | 40,017 | | | | 884 | |
Kinetik Holdings, Cl A | | | 1,071 | | | | 49 | |
Liberty Energy Inc, Cl A | | | 3,093 | | | | 59 | |
Magnolia Oil & Gas Corp, Cl A | | | 3,449 | | | | 84 | |
Marathon Oil Corp | | | 11,557 | | | | 308 | |
Marathon Petroleum Corp (D) | | | 7,272 | | | | 1,185 | |
Matador Resources Co | | | 2,517 | | | | 124 | |
Murphy Oil Corp | | | 3,091 | | | | 104 | |
Nabors Industries Ltd * | | | 221 | | | | 14 | |
New Fortress Energy Inc, Cl A | | | 1,810 | | | | 16 | |
Newpark Resources Inc, Cl A * | | | 3,000 | | | | 21 | |
NextDecade * | | | 3,610 | | | | 17 | |
Noble Corp PLC | | | 2,826 | | | | 102 | |
Nordic American Tankers Ltd | | | 7,200 | | | | 26 | |
Northern Oil & Gas Inc | | | 2,318 | | | | 82 | |
NOV Inc | | | 8,099 | | | | 129 | |
Occidental Petroleum Corp | | | 13,765 | | | | 709 | |
Oceaneering International Inc, Cl A * | | | 1,660 | | | | 41 | |
ONEOK Inc | | | 12,045 | | | | 1,098 | |
Ovintiv Inc | | | 5,542 | | | | 212 | |
Par Pacific Holdings Inc * | | | 1,614 | | | | 28 | |
Patterson-UTI Energy Inc | | | 7,317 | | | | 56 | |
PBF Energy Inc, Cl A | | | 2,318 | | | | 72 | |
Peabody Energy Corp | | | 2,841 | | | | 75 | |
Permian Resources Corp, Cl A | | | 12,452 | | | | 169 | |
Phillips 66 | | | 8,748 | | | | 1,150 | |
ProPetro Holding Corp * | | | 3,200 | | | | 25 | |
Range Resources Corp | | | 4,707 | | | | 145 | |
REX American Resources Corp * | | | 327 | | | | 15 | |
SandRidge Energy Inc | | | 1,300 | | | | 16 | |
Schlumberger NV, Cl A | | | 29,560 | | | | 1,240 | |
Select Water Solutions Inc, Cl A | | | 2,495 | | | | 28 | |
Sitio Royalties Corp, Cl A | | | 2,300 | | | | 48 | |
SM Energy Co | | | 2,471 | | | | 99 | |
Southwestern Energy Co * | | | 24,549 | | | | 175 | |
Talos Energy Inc * | | | 2,600 | | | | 27 | |
Targa Resources Corp | | | 4,544 | | | | 673 | |
Texas Pacific Land Corp | | | 388 | | | | 343 | |
Tidewater Inc * | | | 969 | | | | 70 | |
Transocean Ltd * | | | 16,840 | | | | 72 | |
Uranium Energy * | | | 9,782 | | | | 61 | |
VAALCO Energy Inc | | | 4,100 | | | | 24 | |
Valaris * | | | 1,119 | | | | 62 | |
Valero Energy Corp (D) | | | 6,731 | | | | 909 | |
Viper Energy Inc, Cl A | | | 1,849 | | | | 83 | |
Vital Energy * | | | 438 | | | | 12 | |
Vitesse Energy Inc | | | 1,000 | | | | 24 | |
Weatherford International PLC | | | 1,587 | | | | 135 | |
Williams Cos Inc/The | | | 25,122 | | | | 1,147 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
World Kinect Corp | | | 961 | | | $ | 30 | |
| | | | | | | | | |
| | | | | | | | 39,651 | |
Financials — 0.0% | | | | |
DigitalBridge Group | | | 2,616 | | | | 37 | |
| | | | | | | | | |
| | | | | | | | | |
Health Care — 5.6% | | | | |
10X Genomics Inc, Cl A * | | | 859 | | | | 19 | |
Abbott Laboratories | | | 8,550 | | | | 975 | |
AbbVie Inc | | | 8,764 | | | | 1,731 | |
Acadia Healthcare Co Inc, Cl A * | | | 322 | | | | 20 | |
ACADIA Pharmaceuticals Inc * | | | 1,368 | | | | 21 | |
Addus HomeCare Corp * | | | 190 | | | | 25 | |
ADMA Biologics Inc * | | | 2,014 | | | | 40 | |
Agilent Technologies Inc | | | 1,525 | | | | 226 | |
Agios Pharmaceuticals Inc * | | | 715 | | | | 32 | |
Align Technology Inc * | | | 346 | | | | 88 | |
Alkermes PLC * | | | 624 | | | | 17 | |
Alnylam Pharmaceuticals Inc * | | | 617 | | | | 170 | |
Amedisys Inc * | | | 244 | | | | 24 | |
Amgen Inc, Cl A (D) | | | 2,668 | | | | 860 | |
Amicus Therapeutics Inc * | | | 2,000 | | | | 21 | |
AMN Healthcare Services Inc * | | | 330 | | | | 14 | |
Apellis Pharmaceuticals Inc * | | | 667 | | | | 19 | |
Arcellx Inc * | | | 390 | | | | 33 | |
Arrowhead Pharmaceuticals Inc * | | | 530 | | | | 10 | |
Avantor Inc * | | | 3,344 | | | | 87 | |
Avidity Biosciences Inc * | | | 662 | | | | 30 | |
Axonics Inc * | | | 316 | | | | 22 | |
Axsome Therapeutics Inc * | | | 300 | | | | 27 | |
Azenta Inc * | | | 500 | | | | 24 | |
Baxter International Inc (D) | | | 2,345 | | | | 89 | |
Beam Therapeutics * | | | 1,031 | | | | 25 | |
Becton Dickinson & Co | | | 1,429 | | | | 345 | |
Biogen Inc * | | | 701 | | | | 136 | |
Biohaven Ltd * | | | 524 | | | | 26 | |
BioMarin Pharmaceutical Inc * | | | 917 | | | | 64 | |
Bio-Rad Laboratories Inc, Cl A * | | | 142 | | | | 48 | |
Bio-Techne Corp | | | 800 | | | | 64 | |
Blueprint Medicines Corp * | | | 389 | | | | 36 | |
Boston Scientific Corp * | | | 7,261 | | | | 608 | |
Bridgebio Pharma Inc * | | | 700 | | | | 18 | |
Bristol-Myers Squibb Co | | | 9,831 | | | | 509 | |
Bruker Corp | | | 410 | | | | 28 | |
Cardinal Health Inc | | | 1,204 | | | | 133 | |
Catalent Inc * | | | 956 | | | | 58 | |
Celldex Therapeutics Inc * | | | 689 | | | | 23 | |
Cencora Inc, Cl A | | | 809 | | | | 182 | |
Centene Corp * | | | 2,626 | | | | 198 | |
Certara Inc * | | | 1,200 | | | | 14 | |
Charles River Laboratories International Inc * | | | 256 | | | | 50 | |
Chemed Corp | | | 80 | | | | 48 | |
Cigna Group/The | | | 1,366 | | | | 473 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Cooper Cos Inc/The * | | | 1,100 | | | $ | 121 | |
Corcept Therapeutics Inc * | | | 800 | | | | 37 | |
CorVel Corp * | | | 79 | | | | 26 | |
Crinetics Pharmaceuticals Inc * | | | 500 | | | | 26 | |
CVS Health Corp | | | 6,062 | | | | 381 | |
Cytokinetics Inc * | | | 767 | | | | 40 | |
Danaher Corp, Cl A | | | 3,307 | | | | 919 | |
DaVita Inc * | | | 285 | | | | 47 | |
Denali Therapeutics Inc * | | | 876 | | | | 26 | |
DENTSPLY SIRONA Inc | | | 1,315 | | | | 36 | |
Dexcom Inc * | | | 2,054 | | | | 138 | |
Doximity Inc, Cl A * | | | 945 | | | | 41 | |
Dynavax Technologies Corp * | | | 1,400 | | | | 16 | |
Dyne Therapeutics Inc * | | | 678 | | | | 24 | |
Edwards Lifesciences Corp, Cl A * | | | 4,101 | | | | 271 | |
Elanco Animal Health Inc * | | | 3,057 | | | | 45 | |
Elevance Health Inc | | | 1,150 | | | | 598 | |
Eli Lilly & Co | | | 4,216 | | | | 3,735 | |
Encompass Health Corp | | | 577 | | | | 56 | |
Enovis Corp * | | | 659 | | | | 28 | |
Ensign Group Inc/The | | | 243 | | | | 35 | |
Envista Holdings Corp * | | | 1,312 | | | | 26 | |
Evolent Health Inc, Cl A * | | | 900 | | | | 25 | |
Exact Sciences Corp * | | | 827 | | | | 56 | |
Exelixis Inc * | | | 1,535 | | | | 40 | |
GE HealthCare Technologies Inc | | | 2,212 | | | | 208 | |
Gilead Sciences Inc (D) | | | 6,249 | | | | 524 | |
Glaukos Corp * | | | 300 | | | | 39 | |
Globus Medical Inc, Cl A * | | | 616 | | | | 44 | |
Guardant Health Inc * | | | 1,000 | | | | 23 | |
Haemonetics Corp * | | | 158 | | | | 13 | |
Halozyme Therapeutics Inc * | | | 837 | | | | 48 | |
HCA Healthcare Inc | | | 932 | | | | 379 | |
HealthEquity Inc * | | | 544 | | | | 45 | |
Henry Schein Inc * | | | 773 | | | | 56 | |
Hims & Hers Health Inc * | | | 884 | | | | 16 | |
Hologic Inc * | | | 1,096 | | | | 89 | |
Humana Inc | | | 605 | | | | 192 | |
ICU Medical Inc * | | | 196 | | | | 36 | |
Ideaya Biosciences Inc * | | | 212 | | | | 7 | |
IDEXX Laboratories Inc * | | | 421 | | | | 213 | |
Illumina Inc * | | | 765 | | | | 100 | |
Inari Medical * | | | 438 | | | | 18 | |
Incyte Corp * | | | 1,138 | | | | 75 | |
Insmed Inc * | | | 648 | | | | 47 | |
Inspire Medical Systems Inc * | | | 203 | | | | 43 | |
Insulet Corp * | | | 331 | | | | 77 | |
Integer Holdings Corp * | | | 165 | | | | 21 | |
Intellia Therapeutics * | | | 968 | | | | 20 | |
Intra-Cellular Therapies Inc, Cl A * | | | 567 | | | | 41 | |
Intuitive Surgical Inc * | | | 1,747 | | | | 858 | |
Ionis Pharmaceuticals Inc * | | | 841 | | | | 34 | |
Iovance Biotherapeutics Inc * | | | 2,168 | | | | 20 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
IQVIA Holdings Inc * | | | 932 | | | $ | 221 | |
iRhythm Technologies Inc * | | | 262 | | | | 19 | |
Jazz Pharmaceuticals PLC * | | | 367 | | | | 41 | |
Johnson & Johnson | | | 11,925 | | | | 1,933 | |
Krystal Biotech Inc * | | | 200 | | | | 36 | |
Kymera Therapeutics * | | | 557 | | | | 26 | |
Labcorp Holdings Inc | | | 389 | | | | 87 | |
Lantheus Holdings Inc * | | | 298 | | | | 33 | |
LivaNova PLC * | | | 414 | | | | 22 | |
Madrigal Pharmaceuticals Inc * | | | 145 | | | | 31 | |
Masimo Corp * | | | 123 | | | | 16 | |
McKesson Corp | | | 649 | | | | 321 | |
Medpace Holdings Inc * | | | 166 | | | | 55 | |
Medtronic PLC | | | 6,570 | | | | 591 | |
Merck & Co Inc | | | 12,537 | | | | 1,424 | |
Merit Medical Systems Inc * | | | 444 | | | | 44 | |
Mettler-Toledo International Inc * | | | 102 | | | | 153 | |
Mirati Therapeutics * | | | 600 | | | | — | |
Moderna Inc * | | | 1,787 | | | | 119 | |
Molina Healthcare Inc * | | | 296 | | | | 102 | |
Myriad Genetics Inc * | | | 892 | | | | 24 | |
Natera Inc * | | | 559 | | | | 71 | |
Neogen Corp, Cl B * | | | 1,762 | | | | 30 | |
Neurocrine Biosciences Inc * | | | 478 | | | | 55 | |
Nuvalent Inc, Cl A * | | | 301 | | | | 31 | |
Option Care Health Inc * | | | 1,055 | | | | 33 | |
Organon & Co | | | 1,600 | | | | 31 | |
Patterson Cos Inc | | | 900 | | | | 20 | |
Penumbra Inc * | | | 187 | | | | 36 | |
Perrigo Co PLC | | | 900 | | | | 24 | |
Pfizer Inc | | | 28,392 | | | | 822 | |
Prestige Consumer Healthcare Inc, Cl A * | | | 315 | | | | 23 | |
Privia Health Group Inc * | | | 1,100 | | | | 20 | |
PROCEPT BioRobotics Corp * | | | 113 | | | | 9 | |
Progyny Inc * | | | 716 | | | | 12 | |
PTC Therapeutics Inc * | | | 419 | | | | 16 | |
QIAGEN NV | | | 953 | | | | 43 | |
Quest Diagnostics Inc | | | 574 | | | | 89 | |
QuidelOrtho Corp * | | | 400 | | | | 18 | |
R1 RCM Inc * | | | 1,448 | | | | 21 | |
RadNet Inc * | | | 251 | | | | 17 | |
Regeneron Pharmaceuticals Inc * | | | 520 | | | | 547 | |
Repligen Corp * | | | 337 | | | | 50 | |
ResMed Inc | | | 747 | | | | 182 | |
REVOLUTION Medicines Inc * | | | 855 | | | | 39 | |
Revvity Inc | | | 669 | | | | 85 | |
Rhythm Pharmaceuticals Inc * | | | 585 | | | | 31 | |
Roivant Sciences Ltd * | | | 2,000 | | | | 23 | |
Royalty Pharma PLC, Cl A | | | 1,606 | | | | 45 | |
Sarepta Therapeutics Inc * | | | 411 | | | | 51 | |
Select Medical Holdings Corp | | | 800 | | | | 28 | |
Solventum Corp * | | | 804 | | | | 56 | |
SpringWorks Therapeutics Inc * | | | 699 | | | | 22 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
STERIS PLC | | | 449 | | | $ | 109 | |
Stryker Corp | | | 1,789 | | | | 646 | |
Surgery Partners Inc * | | | 836 | | | | 27 | |
Syndax Pharmaceuticals Inc * | | | 1,612 | | | | 31 | |
Tandem Diabetes Care Inc * | | | 581 | | | | 25 | |
Teleflex Inc | | | 219 | | | | 54 | |
Tenet Healthcare Corp * | | | 545 | | | | 91 | |
TG Therapeutics Inc * | | | 1,158 | | | | 27 | |
Thermo Fisher Scientific Inc | | | 1,914 | | | | 1,184 | |
TransMedics Group Inc * | | | 170 | | | | 27 | |
Twist Bioscience Corp * | | | 39 | | | | 2 | |
Ultragenyx Pharmaceutical Inc * | | | 500 | | | | 28 | |
United Therapeutics Corp * | | | 218 | | | | 78 | |
UnitedHealth Group Inc (D) | | | 4,546 | | | | 2,658 | |
Universal Health Services Inc, Cl B | | | 288 | | | | 66 | |
Vaxcyte Inc * | | | 425 | | | | 49 | |
Veeva Systems Inc, Cl A * | | | 743 | | | | 156 | |
Veracyte Inc * | | | 943 | | | | 32 | |
Vericel Corp * | | | 522 | | | | 22 | |
Vertex Pharmaceuticals Inc * | | | 1,288 | | | | 599 | |
Viatris Inc, Cl W | | | 5,110 | | | | 59 | |
Viking Therapeutics Inc * | | | 707 | | | | 45 | |
Waters Corp * | | | 319 | | | | 115 | |
West Pharmaceutical Services Inc | | | 370 | | | | 111 | |
Zimmer Biomet Holdings Inc | | | 1,101 | | | | 119 | |
Zoetis Inc, Cl A | | | 2,256 | | | | 441 | |
| | | | | | | | | |
| | | | | | | | 32,468 | |
Information Technology — 2.0% | | | | |
ACI Worldwide Inc * | | | 591 | | | | 30 | |
Adobe Inc * | | | 879 | | | | 455 | |
Akamai Technologies Inc * | | | 400 | | | | 40 | |
Amdocs Ltd | | | 208 | | | | 18 | |
ANSYS Inc * | | | 203 | | | | 65 | |
AppLovin Corp, Cl A * | | | 651 | | | | 85 | |
Aspen Technology Inc * | | | 108 | | | | 26 | |
Atlassian Corp, Cl A * | | | 308 | | | | 49 | |
Autodesk Inc, Cl A * | | | 417 | | | | 115 | |
Bentley Systems Inc, Cl B | | | 500 | | | | 25 | |
Cadence Design Systems Inc * | | | 553 | | | | 150 | |
Cloudflare Inc, Cl A * | | | 632 | | | | 51 | |
Cognizant Technology Solutions Corp, Cl A | | | 929 | | | | 72 | |
CommVault Systems Inc * | | | 227 | | | | 35 | |
Confluent Inc, Cl A * | | | 600 | | | | 12 | |
Crowdstrike Holdings Inc, Cl A * | | | 387 | | | | 109 | |
Datadog Inc, Cl A * | | | 559 | | | | 64 | |
DocuSign Inc, Cl A * | | | 226 | | | | 14 | |
Dropbox Inc, Cl A * | | | 1,005 | | | | 26 | |
Dynatrace Inc * | | | 616 | | | | 33 | |
Elastic NV * | | | 300 | | | | 23 | |
EPAM Systems Inc * | | | 131 | | | | 26 | |
Fair Isaac Corp * | | | 41 | | | | 80 | |
Fortinet Inc * | | | 1,220 | | | | 95 | |
Gartner Inc * | | | 156 | | | | 79 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Gen Digital Inc | | | 1,074 | | | $ | 29 | |
Globant SA * | | | 100 | | | | 20 | |
GoDaddy Inc, Cl A * | | | 235 | | | | 37 | |
Guidewire Software Inc, Cl Z * | | | 128 | | | | 23 | |
HubSpot Inc * | | | 81 | | | | 43 | |
International Business Machines Corp | | | 1,735 | | | | 384 | |
Intuit Inc | | | 521 | | | | 324 | |
Manhattan Associates Inc * | | | 178 | | | | 50 | |
Microsoft Corp (D) | | | 14,163 | | | | 6,094 | |
MicroStrategy Inc, Cl A * | | | 340 | | | | 57 | |
MongoDB Inc, Cl A * | | | 182 | | | | 49 | |
Nutanix Inc, Cl A * | | | 339 | | | | 20 | |
Okta Inc, Cl A * | | | 416 | | | | 31 | |
Oracle Corp, Cl B | | | 3,042 | | | | 518 | |
Palantir Technologies Inc, Cl A * | | | 3,816 | | | | 142 | |
Palo Alto Networks Inc * | | | 602 | | | | 206 | |
Procore Technologies Inc * | | | 508 | | | | 31 | |
PTC Inc * | | | 238 | | | | 43 | |
Roper Technologies Inc | | | 182 | | | | 101 | |
Salesforce Inc | | | 1,753 | | | | 480 | |
ServiceNow Inc * | | | 389 | | | | 348 | |
Smartsheet Inc, Cl A * | | | 532 | | | | 29 | |
Snowflake Inc, Cl A * | | | 698 | | | | 80 | |
SPS Commerce Inc * | | | 169 | | | | 33 | |
Synopsys Inc * | | | 309 | | | | 157 | |
Tenable Holdings Inc * | | | 633 | | | | 26 | |
Twilio Inc, Cl A * | | | 500 | | | | 33 | |
Tyler Technologies Inc * | | | 71 | | | | 41 | |
UiPath Inc, Cl A * | | | 1,200 | | | | 15 | |
Varonis Systems Inc, Cl B * | | | 517 | | | | 29 | |
VeriSign Inc * | | | 214 | | | | 41 | |
Workday Inc, Cl A * | | | 432 | | | | 106 | |
Zoom Video Communications Inc, Cl A * | | | 390 | | | | 27 | |
Zscaler Inc * | | | 134 | | | | 23 | |
| | | | | | | | | |
| | | | | | | | 11,447 | |
Real Estate — 2.9% | | | | |
Acadia Realty Trust ‡ | | | 789 | | | | 19 | |
Agree Realty Corp ‡ | | | 1,205 | | | | 91 | |
Alexander & Baldwin Inc ‡ | | | 364 | | | | 7 | |
Alexandria Real Estate Equities Inc ‡ | | | 1,975 | | | | 235 | |
American Assets Trust Inc ‡ | | | 984 | | | | 26 | |
American Homes 4 Rent, Cl A ‡ | | | 3,909 | | | | 150 | |
American Tower Corp, Cl A ‡ | | | 5,064 | | | | 1,178 | |
Americold Realty Trust Inc ‡ | | | 3,020 | | | | 85 | |
Apartment Investment and Management Co, Cl A *‡ | | | 3,000 | | | | 27 | |
Apple Hospitality REIT Inc ‡ | | | 1,927 | | | | 29 | |
AvalonBay Communities Inc ‡ | | | 1,487 | | | | 335 | |
Brandywine Realty Trust ‡ | | | 5,508 | | | | 30 | |
Brixmor Property Group Inc ‡ | | | 2,955 | | | | 82 | |
Broadstone Net Lease Inc, Cl A ‡ | | | 2,601 | | | | 49 | |
BXP Inc ‡ | | | 1,832 | | | | 147 | |
Camden Property Trust ‡ | | | 1,035 | | | | 128 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
CareTrust REIT Inc ‡ | | | 1,850 | | | $ | 57 | |
CBRE Group Inc, Cl A * | | | 3,294 | | | | 410 | |
Centerspace ‡ | | | 271 | | | | 19 | |
Compass Inc, Cl A * | | | 2,642 | | | | 16 | |
COPT Defense Properties ‡ | | | 1,245 | | | | 38 | |
CoStar Group Inc * | | | 4,445 | | | | 335 | |
Cousins Properties Inc ‡ | | | 2,006 | | | | 59 | |
Crown Castle Inc ‡ | | | 4,711 | | | | 559 | |
CubeSmart ‡ | | | 2,573 | | | | 139 | |
Cushman & Wakefield PLC * | | | 2,803 | | | | 38 | |
DiamondRock Hospitality Co ‡ | | | 2,869 | | | | 25 | |
Digital Realty Trust Inc, Cl A ‡ | | | 3,473 | | | | 562 | |
Douglas Emmett Inc ‡ | | | 2,051 | | | | 36 | |
Easterly Government Properties Inc, Cl A ‡ | | | 1,801 | | | | 24 | |
EastGroup Properties Inc ‡ | | | 573 | | | | 107 | |
Elme Communities ‡ | | | 477 | | | | 8 | |
EPR Properties, Cl A ‡ | | | 936 | | | | 46 | |
Equinix Inc ‡ | | | 1,029 | | | | 913 | |
Equity Commonwealth *‡ | | | 1,656 | | | | 33 | |
Equity LifeStyle Properties Inc ‡ | | | 2,045 | | | | 146 | |
Equity Residential ‡ | | | 4,118 | | | | 307 | |
Essential Properties Realty Trust Inc ‡ | | | 2,157 | | | | 74 | |
Essex Property Trust Inc ‡ | | | 671 | | | | 198 | |
Extra Space Storage Inc ‡ | | | 2,259 | | | | 407 | |
Federal Realty Investment Trust ‡ | | | 832 | | | | 96 | |
First Industrial Realty Trust Inc ‡ | | | 1,291 | | | | 72 | |
Four Corners Property Trust Inc ‡ | | | 763 | | | | 22 | |
Gaming and Leisure Properties Inc ‡ | | | 2,828 | | | | 146 | |
Getty Realty Corp ‡ | | | 963 | | | | 31 | |
Global Net Lease Inc ‡ | | | 2,522 | | | | 21 | |
Healthcare Realty Trust Inc, Cl A ‡ | | | 3,619 | | | | 66 | |
Healthpeak Properties Inc ‡ | | | 8,026 | | | | 184 | |
Highwoods Properties Inc ‡ | | | 1,522 | | | | 51 | |
Host Hotels & Resorts Inc ‡ | | | 7,028 | | | | 124 | |
Howard Hughes Holdings Inc * | | | 413 | | | | 32 | |
Independence Realty Trust Inc ‡ | | | 3,070 | | | | 63 | |
Innovative Industrial Properties Inc, Cl A ‡ | | | 353 | | | | 48 | |
InvenTrust Properties Corp ‡ | | | 1,081 | | | | 31 | |
Invitation Homes Inc ‡ | | | 6,942 | | | | 245 | |
Iron Mountain Inc ‡ | | | 3,157 | | | | 375 | |
JBG SMITH Properties ‡ | | | 1,501 | | | | 26 | |
Jones Lang LaSalle Inc * | | | 488 | | | | 132 | |
Kennedy-Wilson Holdings Inc | | | 2,200 | | | | 24 | |
Kilroy Realty Corp ‡ | | | 1,574 | | | | 61 | |
Kimco Realty Corp ‡ | | | 7,472 | | | | 174 | |
Kite Realty Group Trust ‡ | | | 2,232 | | | | 59 | |
Lamar Advertising Co, Cl A ‡ | | | 971 | | | | 130 | |
LTC Properties Inc ‡ | | | 365 | | | | 13 | |
LXP Industrial Trust, Cl B ‡ | | | 4,162 | | | | 42 | |
Macerich Co/The ‡ | | | 2,863 | | | | 52 | |
Marcus & Millichap Inc | | | 934 | | | | 37 | |
Medical Properties Trust Inc ‡ | | | 8,448 | | | | 49 | |
Mid-America Apartment Communities Inc ‡ | | | 1,223 | | | | 194 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
National Health Investors Inc ‡ | | | 336 | | | $ | 28 | |
National Storage Affiliates Trust ‡ | | | 723 | | | | 35 | |
NETSTREIT Corp ‡ | | | 1,678 | | | | 28 | |
Newmark Group Inc, Cl A | | | 1,019 | | | | 16 | |
NNN REIT Inc ‡ | | | 1,963 | | | | 95 | |
Omega Healthcare Investors Inc ‡ | | | 2,408 | | | | 98 | |
Opendoor Technologies Inc * | | | 6,500 | | | | 13 | |
Outfront Media Inc ‡ | | | 1,938 | | | | 36 | |
Park Hotels & Resorts Inc ‡ | | | 1,612 | | | | 23 | |
Pebblebrook Hotel Trust ‡ | | | 2,088 | | | | 28 | |
Phillips Edison & Co Inc ‡ | | | 1,658 | | | | 63 | |
Piedmont Office Realty Trust Inc, Cl A ‡ | | | 2,800 | | | | 28 | |
PotlatchDeltic Corp ‡ | | | 1,143 | | | | 51 | |
Prologis Inc ‡ | | | 10,025 | | | | 1,266 | |
Public Storage ‡ | | | 1,715 | | | | 624 | |
Rayonier Inc ‡ | | | 1,323 | | | | 43 | |
Realty Income Corp ‡ | | | 9,348 | | | | 593 | |
Regency Centers Corp ‡ | | | 2,122 | | | | 153 | |
Retail Opportunity Investments Corp ‡ | | | 1,322 | | | | 21 | |
Rexford Industrial Realty Inc ‡ | | | 2,530 | | | | 127 | |
Ryman Hospitality Properties Inc ‡ | | | 752 | | | | 81 | |
Sabra Health Care REIT Inc ‡ | | | 2,235 | | | | 42 | |
Safehold Inc ‡ | | | 1,103 | | | | 29 | |
SBA Communications Corp, Cl A ‡ | | | 1,168 | | | | 281 | |
Service Properties Trust ‡ | | | 3,812 | | | | 17 | |
Simon Property Group Inc ‡ | | | 3,508 | | | | 593 | |
SITE Centers ‡ | | | 567 | | | | 34 | |
SL Green Realty Corp ‡ | | | 768 | | | | 53 | |
St Joe Co/The | | | 275 | | | | 16 | |
STAG Industrial Inc ‡ | | | 1,977 | | | | 77 | |
Sun Communities Inc ‡ | | | 1,266 | | | | 171 | |
Sunstone Hotel Investors Inc ‡ | | | 1,665 | | | | 17 | |
Tanger Inc ‡ | | | 1,256 | | | | 42 | |
Terreno Realty Corp ‡ | | | 1,221 | | | | 82 | |
UDR Inc ‡ | | | 3,310 | | | | 150 | |
Urban Edge Properties ‡ | | | 1,047 | | | | 22 | |
Ventas Inc ‡ | | | 4,356 | | | | 279 | |
Veris Residential Inc ‡ | | | 1,108 | | | | 20 | |
VICI Properties Inc, Cl A ‡ | | | 11,051 | | | | 368 | |
Vornado Realty Trust ‡ | | | 1,662 | | | | 65 | |
Welltower Inc ‡ | | | 6,420 | | | | 822 | |
Weyerhaeuser Co ‡ | | | 7,892 | | | | 267 | |
WP Carey Inc ‡ | | | 2,490 | | | | 155 | |
Xenia Hotels & Resorts Inc ‡ | | | 1,562 | | | | 23 | |
Zillow Group Inc, Cl A * | | | 403 | | | | 25 | |
Zillow Group Inc, Cl C * | | | 1,646 | | | | 105 | |
| | | | | | | | | |
| | | | | | | | 16,979 | |
Utilities — 1.5% | | | | |
AES Corp/The | | | 4,443 | | | | 89 | |
ALLETE Inc | | | 292 | | | | 19 | |
Alliant Energy Corp | | | 1,504 | | | | 91 | |
Ameren Corp | | | 1,594 | | | | 139 | |
American Electric Power Co Inc | | | 3,539 | | | | 363 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
American States Water Co | | | 128 | | | $ | 11 | |
American Water Works Co Inc | | | 1,228 | | | | 180 | |
Atmos Energy Corp | | | 1,047 | | | | 145 | |
Avangrid Inc | | | 708 | | | | 25 | |
Avista Corp | | | 222 | | | | 9 | |
Black Hills Corp, Cl A | | | 352 | | | | 21 | |
Brookfield Renewable Corp, Cl A | | | 955 | | | | 31 | |
California Water Service Group, Cl A | | | 357 | | | | 19 | |
CenterPoint Energy Inc | | | 4,532 | | | | 133 | |
Chesapeake Utilities Corp | | | 200 | | | | 25 | |
Clearway Energy Inc, Cl C | | | 983 | | | | 30 | |
CMS Energy Corp | | | 2,038 | | | | 144 | |
Consolidated Edison Inc | | | 2,258 | | | | 235 | |
Constellation Energy Corp | | | 2,105 | | | | 547 | |
Dominion Energy Inc | | | 5,623 | | | | 325 | |
DTE Energy Co | | | 1,288 | | | | 165 | |
Duke Energy Corp | | | 4,959 | | | | 572 | |
Edison International | | | 2,365 | | | | 206 | |
Entergy Corp | | | 1,425 | | | | 188 | |
Essential Utilities Inc | | | 1,820 | | | | 70 | |
Evergy Inc | | | 1,353 | | | | 84 | |
Eversource Energy | | | 2,356 | | | | 160 | |
Exelon Corp | | | 6,698 | | | | 272 | |
FirstEnergy Corp | | | 3,669 | | | | 163 | |
Hawaiian Electric Industries Inc | | | 1,410 | | | | 14 | |
IDACORP Inc, Cl A | | | 442 | | | | 46 | |
MGE Energy Inc | | | 134 | | | | 12 | |
National Fuel Gas Co | | | 439 | | | | 27 | |
New Jersey Resources Corp | | | 445 | | | | 21 | |
NextEra Energy Inc | | | 13,364 | | | | 1,130 | |
NiSource Inc | | | 2,636 | | | | 91 | |
Northwestern Energy Group | | | 312 | | | | 18 | |
NRG Energy Inc | | | 1,543 | | | | 141 | |
OGE Energy Corp | | | 1,237 | | | | 51 | |
ONE Gas Inc | | | 343 | | | | 25 | |
Ormat Technologies Inc | | | 400 | | | | 31 | |
Otter Tail Corp | | | 200 | | | | 16 | |
PG&E Corp | | | 13,724 | | | | 271 | |
Pinnacle West Capital Corp | | | 659 | | | | 58 | |
Portland General Electric Co | | | 857 | | | | 41 | |
PPL Corp | | | 4,683 | | | | 155 | |
Public Service Enterprise Group Inc | | | 3,340 | | | | 298 | |
Sempra | | | 4,245 | | | | 355 | |
Southern Co/The | | | 7,062 | | | | 637 | |
Southwest Gas Holdings Inc | | | 387 | | | | 29 | |
Spire Inc | | | 419 | | | | 28 | |
TXNM Energy | | | 791 | | | | 35 | |
UGI Corp | | | 1,840 | | | | 46 | |
Vistra Corp | | | 2,172 | | | | 257 | |
WEC Energy Group Inc | | | 2,018 | | | | 194 | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK (continued) |
Xcel Energy Inc | | | 3,510 | | | $ | 229 | |
| | | | | | | | | |
| | | | | | | | 8,717 | |
Total Common Stock | | | | | | | | |
(Cost $76,744) ($ Thousands) | | | | | | | 164,624 | |
| | | Face Amount
(Thousands) | | | | | |
CORPORATE OBLIGATIONS — 9.0% |
Communication Services — 0.5% | | | | |
Altice France | | | | | | | | |
3.375%, 01/15/2028 | | EUR | 117 | | | | 92 | |
AT&T | | | | | | | | |
4.500%, 05/15/2035 | | $ | 106 | | | | 103 | |
Charter Communications Operating | | | | | | | | |
2.250%, 01/15/2029 | | | 166 | | | | 148 | |
Cox Communications | | | | | | | | |
5.700%, 06/15/2033 (E) | | | 127 | | | | 131 | |
DISH DBS | | | | | | | | |
5.250%, 12/01/2026 (E) | | | 715 | | | | 661 | |
Globo Comunicacao e Participacoes | | | | | | | | |
4.875%, 01/22/2030 (E) | | | 413 | | | | 391 | |
Prosus | | | | | | | | |
3.680%, 01/21/2030 | | | 343 | | | | 323 | |
Prosus MTN | | | | | | | | |
3.061%, 07/13/2031 | | | 746 | | | | 658 | |
Tencent Holdings MTN | | | | | | | | |
3.240%, 06/03/2050 (E) | | | 439 | | | | 322 | |
Time Warner Cable | | | | | | | | |
4.500%, 09/15/2042 | | | 330 | | | | 253 | |
| | | | | | | | | |
| | | | | | | | 3,082 | |
| | | | | | | | | |
Consumer Discretionary — 0.8% | | | | |
Caesars Entertainment | | | | | | | | |
7.000%, 02/15/2030 (E) | | | 220 | | | | 230 | |
DR Horton | | | | | | | | |
5.000%, 10/15/2034 | | | 267 | | | | 271 | |
Ford Motor | | | | | | | | |
3.250%, 02/12/2032 | | | 434 | | | | 370 | |
Ford Motor Credit | | | | | | | | |
7.350%, 11/04/2027 | | | 204 | | | | 217 | |
General Motors Financial | | | | | | | | |
5.750%, 02/08/2031 | | | 478 | | | | 494 | |
Harley-Davidson Financial Services | | | | | | | | |
3.050%, 02/14/2027 (E) | | | 700 | | | | 672 | |
Hilton Domestic Operating | | | | | | | | |
5.875%, 04/01/2029 (E) | | | 378 | | | | 387 | |
Hyundai Capital America | | | | | | | | |
6.100%, 09/21/2028 (E) | | | 223 | | | | 235 | |
5.275%, 06/24/2027 (E) | | | 84 | | | | 86 | |
5.250%, 01/08/2027 (E) | | | 127 | | | | 129 | |
LKQ | | | | | | | | |
6.250%, 06/15/2033 | | | 114 | | | | 121 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Marriott International | | | | | | | | |
5.750%, 05/01/2025 | | $ | 68 | | | $ | 68 | |
5.300%, 05/15/2034 | | | 140 | | | | 144 | |
4.900%, 04/15/2029 | | | 309 | | | | 316 | |
MDC Holdings | | | | | | | | |
6.000%, 01/15/2043 | | | 389 | | | | 414 | |
Wynn Macau | | | | | | | | |
5.625%, 08/26/2028 (E) | | | 348 | | | | 338 | |
| | | | | | | | | |
| | | | | | | | 4,492 | |
| | | | | | | | | |
Consumer Staples — 0.8% | | | | |
Altria Group | | | | | | | | |
3.400%, 05/06/2030 | | | 745 | | | | 704 | |
APCOA Holdings GmbH | | | | | | | | |
4.625%, 01/15/2027 | | EUR | 237 | | | | 264 | |
Cargill | | | | | | | | |
5.125%, 10/11/2032 (E) | | $ | 239 | | | | 248 | |
Cencosud | | | | | | | | |
5.950%, 05/28/2031 (E) | | | 200 | | | | 209 | |
ERAC USA Finance | | | | | | | | |
4.600%, 05/01/2028 (E) | | | 278 | | | | 281 | |
General Mills | | | | | | | | |
4.700%, 01/30/2027 | | | 134 | | | | 136 | |
Imperial Brands Finance MTN | | | | | | | | |
5.875%, 07/01/2034 (E) | | | 446 | | | | 464 | |
JBS USA LUX | | | | | | | | |
6.750%, 03/15/2034 (E) | | | 266 | | | | 295 | |
Philip Morris International | | | | | | | | |
5.625%, 11/17/2029 | | | 110 | | | | 117 | |
5.375%, 02/15/2033 | | | 549 | | | | 574 | |
4.875%, 02/13/2026 | | | 582 | | | | 588 | |
Pilgrim's Pride | | | | | | | | |
6.875%, 05/15/2034 | | | 335 | | | | 372 | |
Tyson Foods | | | | | | | | |
5.700%, 03/15/2034 | | | 129 | | | | 136 | |
Virgolino de Oliveira Finance | | | | | | | | |
10.500%, 01/28/2018 (E)(F) | | | 660 | | | | – | |
| | | | | | | | | |
| | | | | | | | 4,388 | |
| | | | | | | | | |
Energy — 0.9% | | | | |
Continental Resources | | | | | | | | |
2.268%, 11/15/2026 (E) | | | 1,050 | | | | 995 | |
Devon Energy | | | | | | | | |
5.200%, 09/15/2034 | | | 440 | | | | 438 | |
Diamondback Energy | | | | | | | | |
3.500%, 12/01/2029 | | | 68 | | | | 65 | |
Ecopetrol | | | | | | | | |
8.625%, 01/19/2029 | | | 512 | | | | 552 | |
Energy Transfer | | | | | | | | |
5.600%, 09/01/2034 | | | 450 | | | | 468 | |
Occidental Petroleum | | | | | | | | |
6.625%, 09/01/2030 | | | 133 | | | | 144 | |
5.375%, 01/01/2032 | | | 147 | | | | 149 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
5.200%, 08/01/2029 | | $ | 140 | | | $ | 142 | |
Oleoducto Central | | | | | | | | |
4.000%, 07/14/2027 (E) | | | 221 | | | | 212 | |
ONEOK | | | | | | | | |
6.050%, 09/01/2033 | | | 203 | | | | 217 | |
ONEOK Partners | | | | | | | | |
6.125%, 02/01/2041 | | | 63 | | | | 66 | |
Ovintiv | | | | | | | | |
6.500%, 02/01/2038 | | | 49 | | | | 53 | |
6.250%, 07/15/2033 | | | 107 | | | | 113 | |
Plains All American Pipeline | | | | | | | | |
5.700%, 09/15/2034 | | | 447 | | | | 464 | |
Var Energi | | | | | | | | |
8.000%, 11/15/2032 (E) | | | 403 | | | | 467 | |
7.500%, 01/15/2028 (E) | | | 314 | | | | 336 | |
Williams | | | | | | | | |
4.800%, 11/15/2029 | | | 200 | | | | 203 | |
| | | | | | | | | |
| | | | | | | | 5,084 | |
| | | | | | | | | |
Financials — 3.8% | | | | |
ABN AMRO Bank MTN | | | | | | | | |
4.750%, 07/28/2025 (E) | | | 269 | | | | 268 | |
Ally Financial | | | | | | | | |
6.992%, SOFRRATE + 3.260%, 06/13/2029 (C) | | | 259 | | | | 274 | |
American Express | | | | | | | | |
5.098%, SOFRRATE + 1.000%, 02/16/2028 (C) | | | 474 | | | | 483 | |
Athene Global Funding | | | | | | | | |
5.620%, 05/08/2026 (E) | | | 183 | | | | 186 | |
5.583%, 01/09/2029 (E) | | | 21 | | | | 22 | |
5.526%, 07/11/2031 (E) | | | 10 | | | | 10 | |
2.717%, 01/07/2029 (E) | | | 59 | | | | 54 | |
2.550%, 11/19/2030 (E) | | | 36 | | | | 32 | |
1.985%, 08/19/2028 (E) | | | 155 | | | | 141 | |
Aviation Capital Group | | | | | | | | |
5.500%, 12/15/2024 (E) | | | 352 | | | | 352 | |
4.875%, 10/01/2025 (E) | | | 182 | | | | 182 | |
4.125%, 08/01/2025 (E) | | | 6 | | | | 6 | |
3.500%, 11/01/2027 (E) | | | 110 | | | | 106 | |
1.950%, 01/30/2026 (E) | | | 480 | | | | 462 | |
1.950%, 09/20/2026 (E) | | | 153 | | | | 145 | |
Banco Bilbao Vizcaya Argentaria | | | | | | | | |
7.883%, H15T1Y + 3.300%, 11/15/2034 (C) | | | 200 | | | | 229 | |
Banco de Credito del Peru S.A. MTN | | | | | | | | |
3.125%, H15T5Y + 3.000%, 07/01/2030 (C)(E) | | | 755 | | | | 737 | |
Banco Santander | | | | | | | | |
9.625%, H15T5Y + 5.298%(C)(G) | | | 200 | | | | 235 | |
6.921%, 08/08/2033 | | | 400 | | | | 443 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Bank of America | | | | | | | | |
2.687%, SOFRRATE + 1.320%, 04/22/2032 (C) | | $ | 259 | | | $ | 231 | |
Bank of Ireland Group | | | | | | | | |
5.601%, SOFRRATE + 1.620%, 03/20/2030 (C)(E) | | | 212 | | | | 220 | |
Barclays | | | | | | | | |
5.674%, SOFRRATE + 1.490%, 03/12/2028 (C) | | | 216 | | | | 222 | |
5.335%, SOFRRATE + 1.910%, 09/10/2035 (C) | | | 213 | | | | 215 | |
Block | | | | | | | | |
6.500%, 05/15/2032 (E) | | | 242 | | | | 252 | |
BNP Paribas | | | | | | | | |
5.497%, SOFRRATE + 1.590%, 05/20/2030 (C)(E) | | | 474 | | | | 491 | |
BPCE | | | | | | | | |
6.508%, SOFRRATE + 2.791%, 01/18/2035 (C)(E) | | | 483 | | | | 508 | |
CaixaBank | | | | | | | | |
6.684%, SOFRRATE + 2.080%, 09/13/2027 (C)(E) | | | 343 | | | | 357 | |
6.037%, SOFRRATE + 2.260%, 06/15/2035 (C)(E) | | | 200 | | | | 212 | |
Capital One Financial | | | | | | | | |
6.377%, SOFRRATE + 2.860%, 06/08/2034 (C) | | | 486 | | | | 525 | |
Charles Schwab | | | | | | | | |
4.000%, H15T5Y + 3.168%(C)(G) | | | 756 | | | | 725 | |
Citigroup | | | | | | | | |
7.625%, H15T5Y + 3.211%(C)(G) | | | 16 | | | | 17 | |
4.542%, SOFRRATE + 1.338%, 09/19/2030 (C) | | | 439 | | | | 440 | |
4.000%, H15T5Y + 3.597%(C)(G) | | | 359 | | | | 351 | |
Credit Agricole MTN | | | | | | | | |
6.251%, SOFRRATE + 2.670%, 01/10/2035 (C)(E) | | | 324 | | | | 346 | |
Danske Bank | | | | | | | | |
4.613%, H15T5Y + 1.100%, 10/02/2030 (C)(E) | | | 217 | | | | 217 | |
Deutsche Bank NY | | | | | | | | |
7.146%, SOFRRATE + 2.520%, 07/13/2027 (C) | | | 177 | | | | 184 | |
3.961%, SOFRRATE + 2.581%, 11/26/2025 (C) | | | 315 | | | | 314 | |
2.129%, SOFRRATE + 1.870%, 11/24/2026 (C) | | | 347 | | | | 336 | |
Discover Bank | | | | | | | | |
5.974%, USISOA05 + 1.730%, 08/09/2028 (C) | | | 475 | | | | 490 | |
Goldman Sachs Group | | | | | | | | |
8.238%, TSFR3M + 3.136%(C)(G) | | | 122 | | | | 122 | |
4.125%, H15T5Y + 2.949%(C)(G) | | | 328 | | | | 314 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
2.650%, SOFRRATE + 1.264%, 10/21/2032 (C) | | $ | 38 | | | $ | 34 | |
2.615%, SOFRRATE + 1.281%, 04/22/2032 (C) | | | 542 | | | | 479 | |
HSBC Holdings | | | | | | | | |
5.597%, SOFRRATE + 1.060%, 05/17/2028 (C) | | | 453 | | | | 466 | |
Intesa Sanpaolo | | | | | | | | |
7.200%, 11/28/2033 (E) | | | 327 | | | | 373 | |
JPMorgan Chase | | | | | | | | |
2.963%, SOFRRATE + 1.260%, 01/25/2033 (C) | | | 769 | | | | 692 | |
Lloyds Banking Group | | | | | | | | |
7.500%, USISDA05 + 4.496%(C)(G) | | | 735 | | | | 742 | |
5.462%, H15T1Y + 1.375%, 01/05/2028 (C) | | | 324 | | | | 331 | |
4.976%, H15T1Y + 2.300%, 08/11/2033 (C) | | | 404 | | | | 408 | |
Mastercard | | | | | | | | |
4.550%, 01/15/2035 | | | 315 | | | | 316 | |
Moody's | | | | | | | | |
5.000%, 08/05/2034 | | | 231 | | | | 237 | |
Morgan Stanley | | | | | | | | |
0.406%, 10/29/2027 (C) | | EUR | 480 | | | | 509 | |
Morgan Stanley MTN | | | | | | | | |
2.239%, SOFRRATE + 1.178%, 07/21/2032 (C) | | $ | 3 | | | | 3 | |
Nationwide Building Society MTN | | | | | | | | |
2.972%, SOFRRATE + 1.290%, 02/16/2028 (C)(E) | | | 319 | | | | 308 | |
NatWest Group | | | | | | | | |
8.125%, H15T5Y + 3.752%(C)(G) | | | 212 | | | | 231 | |
3.032%, H15T5Y + 2.350%, 11/28/2035 (C) | | | 208 | | | | 185 | |
PNC Financial Services Group | | | | | | | | |
8.317%, TSFR3M + 3.302%(C)(G) | | | 174 | | | | 175 | |
Principal Life Global Funding II | | | | | | | | |
5.100%, 01/25/2029 (E) | | | 311 | | | | 320 | |
S&P Global | | | | | | | | |
4.250%, 05/01/2029 | | | 166 | | | | 167 | |
Societe Generale | | | | | | | | |
5.519%, H15T1Y + 1.500%, 01/19/2028 (C)(E) | | | 282 | | | | 286 | |
Standard Chartered | | | | | | | | |
3.971%, H15T1Y + 1.650%, 03/30/2026 (C)(E) | | | 239 | | | | 237 | |
Sumitomo Mitsui Financial Group | | | | | | | | |
5.316%, 07/09/2029 | | | 232 | | | | 241 | |
Sumitomo Mitsui Trust Bank MTN | | | | | | | | |
4.450%, 09/10/2027 (E) | | | 203 | | | | 204 | |
Svenska Handelsbanken | | | | | | | | |
4.750%, H15T5Y + 4.048%(C)(G) | | | 800 | | | | 733 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Swiss Re Finance Luxembourg | | | | | | | | |
5.000%, H15T5Y + 3.582%, 04/02/2049 (C) | | $ | 200 | | | $ | 203 | |
Swiss RE Subordinated Finance | | | | | | | | |
5.698%, TSFR3M + 1.813%, 04/05/2035 (C)(E) | | | 200 | | | | 207 | |
Toronto-Dominion Bank | | | | | | | | |
5.146%, H15T5Y + 1.500%, 09/10/2034 (C) | | | 153 | | | | 154 | |
Trust Fibra Uno | | | | | | | | |
5.250%, 01/30/2026 | | | 462 | | | | 462 | |
UBS Group | | | | | | | | |
9.250%, H15T5Y + 4.758%(C)(E)(G) | | | 301 | | | | 355 | |
UniCredit | | | | | | | | |
2.569%, H15T1Y + 2.300%, 09/22/2026 (C)(E) | | | 519 | | | | 507 | |
Wells Fargo | | | | | | | | |
3.900%, H15T5Y + 3.453%(C)(G) | | | 327 | | | | 318 | |
Wells Fargo MTN | | | | | | | | |
3.350%, SOFRRATE + 1.500%, 03/02/2033 (C) | | | 754 | | | | 689 | |
| | | | | | | | | |
| | | | | | | | 22,028 | |
| | | | | | | | | |
Health Care — 0.2% | | | | |
CVS Health | | | | | | | | |
5.700%, 06/01/2034 | | | 324 | | | | 338 | |
Organon & Co | | | | | | | | |
2.875%, 04/30/2028 | | EUR | 200 | | | | 214 | |
Roche Holdings | | | | | | | | |
4.203%, 09/09/2029 (E) | | $ | 440 | | | | 442 | |
| | | | | | | | | |
| | | | | | | | 994 | |
| | | | | | | | | |
Industrials — 0.8% | | | | |
Boeing | | | | | | | | |
6.528%, 05/01/2034 (E) | | | 160 | | | | 172 | |
6.298%, 05/01/2029 (E) | | | 120 | | | | 126 | |
5.150%, 05/01/2030 | | | 56 | | | | 56 | |
3.625%, 02/01/2031 | | | 61 | | | | 56 | |
3.250%, 02/01/2028 | | | 62 | | | | 59 | |
Caterpillar Financial Services | | | | | | | | |
4.450%, 10/16/2026 | | | 441 | | | | 446 | |
Delta Air Lines | | | | | | | | |
4.750%, 10/20/2028 (E) | | | 475 | | | | 475 | |
4.500%, 10/20/2025 (E) | | | 170 | | | | 169 | |
Embraer Netherlands Finance BV | | | | | | | | |
5.400%, 02/01/2027 | | | 670 | | | | 683 | |
ENA Master Trust | | | | | | | | |
4.000%, 05/19/2048 (E) | | | 272 | | | | 206 | |
Flowserve | | | | | | | | |
2.800%, 01/15/2032 | | | 246 | | | | 213 | |
Honeywell International | | | | | | | | |
4.125%, 11/02/2034 | | EUR | 810 | | | | 955 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Lima Metro Line 2 Finance | | | | | | | | |
5.875%, 07/05/2034 | | $ | 190 | | | $ | 193 | |
4.350%, 04/05/2036 (E) | | | 188 | | | | 176 | |
Regal Rexnord | | | | | | | | |
6.050%, 02/15/2026 | | | 789 | | | | 801 | |
Westinghouse Air Brake Technologies | | | | | | | | |
3.200%, 06/15/2025 | | | 141 | | | | 139 | |
| | | | | | | | | |
| | | | | | | | 4,925 | |
| | | | | | | | | |
Information Technology — 0.3% | | | | |
Broadcom | | | | | | | | |
5.050%, 07/12/2027 | | | 170 | | | | 174 | |
4.926%, 05/15/2037 (E) | | | 402 | | | | 401 | |
4.150%, 02/15/2028 | | | 110 | | | | 110 | |
Hewlett Packard Enterprise | | | | | | | | |
4.400%, 09/25/2027 | | | 179 | | | | 179 | |
NXP BV | | | | | | | | |
5.550%, 12/01/2028 | | | 317 | | | | 329 | |
TSMC Arizona | | | | | | | | |
3.875%, 04/22/2027 | | | 406 | | | | 404 | |
| | | | | | | | | |
| | | | | | | | 1,597 | |
| | | | | | | | | |
Materials — 0.1% | | | | |
Freeport Indonesia MTN | | | | | | | | |
4.763%, 04/14/2027 (E) | | | 243 | | | | 244 | |
Glencore Funding | | | | | | | | |
6.500%, 10/06/2033 (E) | | | 56 | | | | 62 | |
5.338%, 04/04/2027 (E) | | | 402 | | | | 411 | |
Volcan Cia Minera SAA | | | | | | | | |
8.750%, 01/24/2030 (E) | | | 81 | | | | 70 | |
| | | | | | | | | |
| | | | | | | | 787 | |
| | | | | | | | | |
Real Estate — 0.1% | | | | |
American Tower | | | | | | | | |
5.200%, 02/15/2029 | | | 212 | | | | 219 | |
3.650%, 03/15/2027 | | | 130 | | | | 128 | |
| | | | | | | | | |
| | | | | | | | 347 | |
| | | | | | | | | |
Utilities — 0.7% | | | | |
Aegea Finance Sarl | | | | | | | | |
6.750%, 05/20/2029 | | | 223 | | | | 226 | |
AES Panama Generation Holdings SRL | | | | | | | | |
4.375%, 05/31/2030 (E) | | | 293 | | | | 266 | |
Alexander Funding Trust II | | | | | | | | |
7.467%, 07/31/2028 (E) | | | 104 | | | | 112 | |
American Electric Power | | | | | | | | |
6.950%, H15T5Y + 2.675%, 12/15/2054 (C) | | | 275 | | | | 293 | |
Comision Federal de Electricidad | | | | | | | | |
4.688%, 05/15/2029 (E) | | | 268 | | | | 260 | |
Duke Energy Carolinas NC Storm Funding | | | | | | | | |
2.617%, 07/01/2041 | | | 403 | | | | 326 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
CORPORATE OBLIGATIONS (continued) |
Electricite de France | | | | | | | | |
9.125%, H15T5Y + 5.411%(C)(E)(G) | | $ | 238 | | | $ | 271 | |
Enel Finance International | | | | | | | | |
5.500%, 06/26/2034 (E) | | | 446 | | | | 463 | |
Engie Energia Chile | | | | | | | | |
6.375%, 04/17/2034 (E) | | | 200 | | | | 213 | |
3.400%, 01/28/2030 | | | 390 | | | | 358 | |
FIEMEX Energia - Banco Actinver Institucion de Banca Multiple | | | | | | | | |
7.250%, 01/31/2041 (E) | | | 244 | | | | 254 | |
NextEra Energy Capital Holdings | | | | | | | | |
6.700%, H15T5Y + 2.364%, 09/01/2054 (C) | | | 52 | | | | 55 | |
Niagara Mohawk Power | | | | | | | | |
5.290%, 01/17/2034 (E) | | | 146 | | | | 149 | |
NRG Energy | | | | | | | | |
7.000%, 03/15/2033 (E) | | | 421 | | | | 468 | |
Pacific Gas and Electric | | | | | | | | |
5.550%, 05/15/2029 | | | 73 | | | | 76 | |
Terraform Global Operating | | | | | | | | |
6.125%, 03/01/2026 (E) | | | 74 | | | | 74 | |
Vistra | | | | | | | | |
7.000%, H15T5Y + 5.740%(C)(E)(G) | | | 286 | | | | 292 | |
Vistra Operations | | | | | | | | |
6.950%, 10/15/2033 (E) | | | 199 | | | | 224 | |
| | | | | | | | | |
| | | | | | | | 4,380 | |
| | | | | | | | | |
Total Corporate Obligations | | | | | | | | |
(Cost $51,668) ($ Thousands) | | | | | | | 52,104 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
MORTGAGE-BACKED SECURITIES — 4.4% |
Agency Mortgage-Backed Obligations — 2.6% | | | | |
Connecticut Avenue Securities Trust, Ser 2021-R03, Cl 1M2 | | | | | | | | |
6.930%, SOFR30A + 1.650%, 12/25/2041(C)(E) | | | 319 | | | | 322 | |
Connecticut Avenue Securities Trust, Ser 2022-R01, Cl 1M2 | | | | | | | | |
7.180%, SOFR30A + 1.900%, 12/25/2041(C)(E) | | | 1,023 | | | | 1,036 | |
Connecticut Avenue Securities Trust, Ser 2022-R03, Cl 1M2 | | | | | | | | |
8.780%, SOFR30A + 3.500%, 03/25/2042(C)(E) | | | 838 | | | | 880 | |
Connecticut Avenue Securities Trust, Ser 2022-R04, Cl 1M2 | | | | | | | | |
8.380%, SOFR30A + 3.100%, 03/25/2042(C)(E) | | | 211 | | | | 220 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
Connecticut Avenue Securities Trust, Ser 2023-R02, Cl 1M1 | | | | | | | | |
7.580%, SOFR30A + 2.300%, 01/25/2043(C)(E) | | $ | 346 | | | $ | 352 | |
Connecticut Avenue Securities Trust, Ser 2023-R04, Cl 1M1 | | | | | | | | |
7.563%, SOFR30A + 2.300%, 05/25/2043(C)(E) | | | 654 | | | | 670 | |
Connecticut Avenue Securities Trust, Ser 2023-R05, Cl 1M1 | | | | | | | | |
7.163%, SOFR30A + 1.900%, 06/25/2043(C)(E) | | | 575 | | | | 579 | |
FHLMC CMO, Ser 2017-4693, Cl SL, IO | | | | | | | | |
0.694%, 06/15/2047(C) | | | 906 | | | | 130 | |
FHLMC CMO, Ser 2020-4981, Cl HS, IO | | | | | | | | |
0.705%, 06/25/2050(C) | | | 1,780 | | | | 209 | |
FHLMC Multifamily Structured Credit Risk, Ser 2021-MN1, Cl M1 | | | | | | | | |
7.280%, SOFR30A + 2.000%, 01/25/2051(C)(E) | | | 64 | | | | 63 | |
FHLMC STACR Debt Notes, Ser 2023-DNA2, Cl M1A | | | | | | | | |
7.363%, SOFR30A + 2.100%, 04/25/2043(C)(E) | | | 307 | | | | 311 | |
FHLMC STACR REMIC Trust, Ser 2021-DNA5, Cl M2 | | | | | | | | |
6.930%, SOFR30A + 1.650%, 01/25/2034(C)(E) | | | 143 | | | | 143 | |
FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2 | | | | | | | | |
6.780%, SOFR30A + 1.500%, 10/25/2041(C)(E) | | | 1,079 | | | | 1,085 | |
FHLMC STACR REMIC Trust, Ser 2021-DNA7, Cl M2 | | | | | | | | |
7.080%, SOFR30A + 1.800%, 11/25/2041(C)(E) | | | 1,042 | | | | 1,053 | |
FHLMC STACR REMIC Trust, Ser 2021-HQA4, Cl M2 | | | | | | | | |
7.630%, SOFR30A + 2.350%, 12/25/2041(C)(E) | | | 668 | | | | 677 | |
FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1B | | | | | | | | |
7.130%, SOFR30A + 1.850%, 01/25/2042(C)(E) | | | 542 | | | | 550 | |
FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1A | | | | | | | | |
6.280%, SOFR30A + 1.000%, 01/25/2042(C)(E) | | | 314 | | | | 313 | |
FHLMC STACR REMIC Trust, Ser 2022-DNA4, Cl M1A | | | | | | | | |
7.480%, SOFR30A + 2.200%, 05/25/2042(C)(E) | | | 404 | | | | 410 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
FHLMC STACR REMIC Trust, Ser 2022-DNA5, Cl M1A | | | | | | | | |
8.230%, SOFR30A + 2.950%, 06/25/2042(C)(E) | | $ | 503 | | | $ | 518 | |
FHLMC STACR REMIC Trust, Ser 2022-DNA7, Cl M1A | | | | | | | | |
7.780%, SOFR30A + 2.500%, 03/25/2052(C)(E) | | | 660 | | | | 671 | |
FHLMC STACR REMIC Trust, Ser 2023-DNA1, Cl M1A | | | | | | | | |
7.363%, SOFR30A + 2.100%, 03/25/2043(C)(E) | | | 392 | | | | 397 | |
FHLMC STACR REMIC Trust, Ser 2023-HQA1, Cl M1A | | | | | | | | |
7.280%, SOFR30A + 2.000%, 05/25/2043(C)(E) | | | 578 | | | | 582 | |
FHLMC STACR REMIC Trust, Ser 2024-HQA2, Cl M1 | | | | | | | | |
6.480%, SOFR30A + 1.200%, 08/25/2044(C)(E) | | | 705 | | | | 705 | |
FNMA | | | | | | | | |
3.000%, 02/01/2052 | | | 2,015 | | | | 1,828 | |
FNMA CMO, Ser 2014-78, Cl SE, IO | | | | | | | | |
0.705%, 12/25/2044(C) | | | 670 | | | | 94 | |
FNMA CMO, Ser 2016-77, Cl DS, IO | | | | | | | | |
0.605%, 10/25/2046(C) | | | 672 | | | | 93 | |
FNMA CMO, Ser 2017-62, Cl AS, IO | | | | | | | | |
0.755%, 08/25/2047(C) | | | 749 | | | | 111 | |
FNMA CMO, Ser 2017-97, Cl LS, IO | | | | | | | | |
0.805%, 12/25/2047(C) | | | 1,044 | | | | 176 | |
FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 1M2 | | | | | | | | |
11.095%, SOFR30A + 5.814%, 04/25/2028(C) | | | 74 | | | | 77 | |
FNMA Connecticut Avenue Securities, Ser 2017-C04, Cl 2M2 | | | | | | | | |
8.245%, SOFR30A + 2.964%, 11/25/2029(C) | | | 336 | | | | 346 | |
FNMA Connecticut Avenue Securities, Ser 2021-R02, Cl 2M2 | | | | | | | | |
7.280%, SOFR30A + 2.000%, 11/25/2041(C)(E) | | | 469 | | | | 471 | |
GNMA CMO, Ser 2017-122, Cl SA, IO | | | | | | | | |
1.125%, 08/20/2047(C) | | | 555 | | | | 86 | |
GNMA CMO, Ser 2017-134, Cl SE, IO | | | | | | | | |
1.125%, 09/20/2047(C) | | | 465 | | | | 61 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 15,219 | |
Non-Agency Mortgage-Backed Obligations — 1.8% | | | | |
Alternative Loan Trust, Ser 2005-20CB, Cl 3A6 | | | | | | | | |
5.500%, 07/25/2035 | | | 40 | | | | 28 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
Alternative Loan Trust, Ser 2006-24CB, Cl A16 | | | | | | | | |
5.750%, 08/25/2036 | | $ | 224 | | | $ | 121 | |
Alternative Loan Trust, Ser 2006-J1, Cl 1A13 | | | | | | | | |
5.500%, 02/25/2036 | | | 89 | | | | 62 | |
AREIT Trust, Ser 2022-CRE6, Cl A | | | | | | | | |
6.591%, SOFR30A + 1.250%, 01/20/2037(C)(E) | | | 1,059 | | | | 1,056 | |
BAMLL Commercial Mortgage Securities Trust, Ser 2013-WBRK, Cl D | | | | | | | | |
3.652%, 03/10/2037(C)(E) | | | 365 | | | | 302 | |
BAMLL Commercial Mortgage Securities Trust, Ser 2017-SCH, Cl AF | | | | | | | | |
6.144%, TSFR1M + 1.047%, 11/15/2033(C)(E) | | | 1,610 | | | | 1,608 | |
BBCMS Mortgage Trust, Ser 2020-BID, Cl A | | | | | | | | |
7.352%, TSFR1M + 2.254%, 10/15/2037(C)(E) | | | 779 | | | | 778 | |
BFLD Trust, Ser 2021-FPM, Cl A | | | | | | | | |
6.812%, TSFR1M + 1.714%, 06/15/2038(C)(E) | | | 1,189 | | | | 1,186 | |
BX Commercial Mortgage Trust, Ser 2019-IMC, Cl E | | | | | | | | |
7.293%, TSFR1M + 2.196%, 04/15/2034(C)(E) | | | 656 | | | | 640 | |
BX Commercial Mortgage Trust, Ser 2019-IMC, Cl D | | | | | | | | |
7.043%, TSFR1M + 1.946%, 04/15/2034(C)(E) | | | 162 | | | | 160 | |
Chase Mortgage Finance Trust, Ser 2007-S5, Cl 1A17 | | | | | | | | |
6.000%, 07/25/2037 | | | 89 | | | | 41 | |
CHL Mortgage Pass-Through Trust, Ser 2006-10, Cl 1A8 | | | | | | | | |
6.000%, 05/25/2036 | | | 117 | | | | 51 | |
CHL Mortgage Pass-Through Trust, Ser 2006-13, Cl 1A19 | | | | | | | | |
6.250%, 09/25/2036 | | | 58 | | | | 26 | |
COMM Mortgage Trust, Ser 2010-C1, Cl D | | | | | | | | |
5.985%, 07/10/2046(C)(E) | | | 535 | | | | 504 | |
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2 | | | | | | | | |
5.349%, TSFR1M + 0.494%, 12/25/2036(C) | | | 312 | | | | 102 | |
GS Mortgage Securities Trust, Ser 2011-GC5, Cl D | | | | | | | | |
5.297%, 08/10/2044(C)(E) | | | 13 | | | | 6 | |
GS Mortgage Securities Trust, Ser 2021-1, Cl A-1 | | | | | | | | |
2.638%, 08/17/2026 | | | 26 | | | | 25 | |
2.435%, 08/17/2026 | | | 769 | | | | 754 | |
1.433%, 08/17/2026 | | | 287 | | | | 281 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
MORTGAGE-BACKED SECURITIES (continued) |
HomeBanc Mortgage Trust, Ser 2005-1, Cl A1 | | | | | | | | |
5.469%, TSFR1M + 0.614%, 03/25/2035(C) | | $ | 44 | | | $ | 34 | |
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl XA, IO | | | | | | | | |
0.539%, 09/15/2047(C) | | | 1,859 | | | | – | |
JPMorgan Chase Bank, Ser 2019-CL1, Cl M3 | | | | | | | | |
7.069%, TSFR1M + 2.214%, 04/25/2047(C)(E) | | | 81 | | | | 82 | |
LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl AJ | | | | | | | | |
5.452%, 09/15/2039(C) | | | 125 | | | | 41 | |
LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2 | | | | | | | | |
2.579%, 03/10/2049(E) | | | 155 | | | | 152 | |
Natixis Commercial Mortgage Securities Trust, Ser 2019-MILE, Cl A | | | | | | | | |
6.676%, TSFR1M + 1.579%, 07/15/2036(C)(E) | | | 266 | | | | 239 | |
Neighborly Issuer, Ser 2023-1A, Cl A2 | | | | | | | | |
7.308%, 01/30/2053(E) | | | 770 | | | | 793 | |
PMT Credit Risk Transfer Trust, Ser 2019-3R, Cl A | | | | | | | | |
9.062%, SOFR30A + 3.814%, 11/27/2031(C)(E) | | | 26 | | | | 27 | |
PMT Credit Risk Transfer Trust, Ser 2020-1R, Cl A | | | | | | | | |
8.712%, SOFR30A + 3.464%, 02/25/2025(C)(E) | | | 92 | | | | 92 | |
Wells Fargo Commercial Mortgage Trust, Ser 2016-NXS6, Cl C | | | | | | | | |
4.538%, 11/15/2049(C) | | | 925 | | | | 857 | |
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 2M2 | | | | | | | | |
10.895%, SOFR30A + 5.614%, 11/25/2025(C)(E) | | | 29 | | | | 30 | |
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 1M2 | | | | | | | | |
10.645%, SOFR30A + 5.364%, 11/25/2025(C)(E) | | | 127 | | | | 132 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 10,210 | |
Total Mortgage-Backed Securities | | | | | | | | |
(Cost $26,496) ($ Thousands) | | | | | | | 25,429 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
ASSET-BACKED SECURITIES — 4.1% |
Automotive — 1.8% | | | | |
| | | | | |
ACM Auto Trust, Ser 2024-1A, Cl A | | | | | | | | |
7.710%, 01/21/2031(E) | | | 251 | | | | 252 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
American Credit Acceptance Receivables Trust, Ser 2023-3, Cl B | | | | | | | | |
6.090%, 11/12/2027(E) | | $ | 897 | | | $ | 901 | |
Americredit Automobile Receivables Trust, Ser 2023-1, Cl A2A | | | | | | | | |
5.840%, 10/19/2026 | | | 215 | | | | 215 | |
Avis Budget Rental Car Funding AESOP, Ser 2023-3A, Cl A | | | | | | | | |
5.440%, 02/22/2028(E) | | | 554 | | | | 564 | |
Avis Budget Rental Car Funding AESOP, Ser 2023-5A, Cl B | | | | | | | | |
6.120%, 04/20/2028(E) | | | 424 | | | | 435 | |
Carvana Auto Receivables Trust, Ser 2021-N3, Cl C | | | | | | | | |
1.020%, 06/12/2028 | | | 57 | | | | 55 | |
Carvana Auto Receivables Trust, Ser 2021-N4, Cl D | | | | | | | | |
2.300%, 09/11/2028 | | | 136 | | | | 132 | |
Carvana Auto Receivables Trust, Ser 2021-P4, Cl D | | | | | | | | |
2.610%, 09/11/2028 | | | 441 | | | | 414 | |
Carvana Auto Receivables Trust, Ser 2024-P3, Cl A2 | | | | | | | | |
4.610%, 11/10/2027 | | | 626 | | | | 626 | |
CPS Auto Receivables Trust, Ser 2022-A, Cl C | | | | | | | | |
2.170%, 04/16/2029(E) | | | 342 | | | | 340 | |
FHF Trust, Ser 2021-2A, Cl A | | | | | | | | |
0.830%, 12/15/2026(E) | | | 40 | | | | 39 | |
FHF Trust, Ser 2023-1A, Cl A2 | | | | | | | | |
6.570%, 06/15/2028(E) | | | 234 | | | | 238 | |
Flagship Credit Auto Trust, Ser 2023-2, Cl A2 | | | | | | | | |
5.760%, 04/15/2027(E) | | | 250 | | | | 250 | |
Ford Credit Auto Owner Trust, Ser 2021-1, Cl D | | | | | | | | |
2.310%, 10/17/2033(E) | | | 605 | | | | 577 | |
GLS Auto Receivables Issuer Trust, Ser 2024-3A, Cl A2 | | | | | | | | |
5.350%, 08/16/2027(E) | | | 550 | | | | 552 | |
Hertz Vehicle Financing III, Ser 2022-1A, Cl C | | | | | | | | |
2.630%, 06/25/2026(E) | | | 620 | | | | 608 | |
LAD Auto Receivables Trust, Ser 2022-1A, Cl A | | | | | | | | |
5.210%, 06/15/2027(E) | | | 196 | | | | 196 | |
Lendbuzz Securitization Trust, Ser 2023-1A, Cl A2 | | | | | | | | |
6.920%, 08/15/2028(E) | | | 740 | | | | 754 | |
Lendbuzz Securitization Trust, Ser 2023-2A, Cl A2 | | | | | | | | |
7.090%, 10/16/2028(E) | | | 315 | | | | 322 | |
Octane Receivables Trust, Ser 2021-2A, Cl B | | | | | | | | |
2.020%, 09/20/2028(E) | | | 636 | | | | 619 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Research-Driven Pagaya Motor Asset Trust VII, Ser 2022-3A, Cl A | | | | | | | | |
5.380%, 11/25/2030(E) | | $ | 256 | | | $ | 256 | |
Research-Driven Pagaya Motor Trust, Ser 2024-1A, Cl A | | | | | | | | |
7.090%, 06/25/2032(E) | | | 272 | | | | 275 | |
Santander Bank Auto Credit-Linked Notes, Ser 2022-A, Cl B | | | | | | | | |
5.281%, 05/15/2032(E) | | | 149 | | | | 149 | |
Santander Bank Auto Credit-Linked Notes, Ser 2022-B, Cl B | | | | | | | | |
5.721%, 08/16/2032(E) | | | 80 | | | | 80 | |
Santander Bank Auto Credit-Linked Notes, Ser 2022-C, Cl B | | | | | | | | |
6.451%, 12/15/2032(E) | | | 213 | | | | 214 | |
Santander Drive Auto Receivables Trust, Ser 2024-4, Cl A2 | | | | | | | | |
5.410%, 07/15/2027 | | | 574 | | | | 575 | |
Tesla Auto Lease Trust, Ser 2024-A, Cl A3 | | | | | | | | |
5.300%, 06/21/2027(E) | | | 253 | | | | 256 | |
Tricolor Auto Securitization Trust, Ser 2024-2A, Cl A | | | | | | | | |
6.360%, 12/15/2027(E) | | | 266 | | | | 269 | |
United Auto Credit Securitization Trust, Ser 2024-1, Cl A | | | | | | | | |
6.170%, 08/10/2026(E) | | | 76 | | | | 76 | |
Westlake Automobile Receivables Trust, Ser 2023-2A, Cl A2A | | | | | | | | |
5.870%, 07/15/2026(E) | | | 117 | | | | 117 | |
| | | | | | | | 10,356 | |
| | | | | | | | | |
Credit Cards — 0.1% | | | | |
| | | | | |
Brex Commercial Charge Card Master Trust, Ser 2024-1, Cl A1 | | | | | | | | |
6.050%, 07/15/2027(E) | | | 473 | | | | 481 | |
| | | | | | | | | |
| | | | | | | | | |
Other Asset-Backed Securities — 2.2% | | | | |
| | | | | |
AB Issuer, Ser 2021-1, Cl A2 | | | | | | | | |
3.734%, 07/30/2051(E) | | | 819 | | | | 750 | |
Affirm Asset Securitization Trust, Ser 2021-Z2, Cl A | | | | | | | | |
1.170%, 11/16/2026(E) | | | 13 | | | | 13 | |
Affirm Asset Securitization Trust, Ser 2022-X1, Cl A | | | | | | | | |
1.750%, 02/15/2027(E) | | | 5 | | | | 5 | |
Affirm Asset Securitization Trust, Ser 2024-X1, Cl A | | | | | | | | |
6.270%, 05/15/2029(E) | | | 288 | | | | 289 | |
AGL CLO 12, Ser 2021-12A, Cl A1 | | | | | | | | |
6.704%, TSFR3M + 1.422%, 07/20/2034(C)(E) | | | 970 | | | | 971 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
Amur Equipment Finance Receivables XI, Ser 2022-2A, Cl A2 | | | | | | | | |
5.300%, 06/21/2028(E) | | $ | 167 | | | $ | 168 | |
Atalaya Equipment Leasing Trust, Ser 2021-1A, Cl B | | | | | | | | |
2.080%, 02/15/2027(E) | | | 120 | | | | 118 | |
Balboa Bay Loan Funding, Ser 2021-1A, Cl A | | | | | | | | |
6.744%, TSFR3M + 1.462%, 07/20/2034(C)(E) | | | 589 | | | | 590 | |
Bellemeade Re, Ser 2022-2, Cl M1A | | | | | | | | |
9.280%, SOFR30A + 4.000%, 09/27/2032(C)(E) | | | 846 | | | | 862 | |
Cajun Global, Ser 2021-1, Cl A2 | | | | | | | | |
3.931%, 11/20/2051(E) | | | 179 | | | | 169 | |
College Ave Student Loans, Ser 2021-C, Cl B | | | | | | | | |
2.720%, 07/26/2055(E) | | | 181 | | | | 165 | |
Dext ABS, Ser 2023-1, Cl A2 | | | | | | | | |
5.990%, 03/15/2032(E) | | | 655 | | | | 659 | |
Diamond Issuer, Ser 2021-1A, Cl A | | | | | | | | |
2.305%, 11/20/2051(E) | | | 839 | | | | 783 | |
Eagle RE, Ser 2023-1, Cl M1A | | | | | | | | |
7.280%, SOFR30A + 2.000%, 09/26/2033(C)(E) | | | 511 | | | | 514 | |
GCI Funding I, Ser 2021-1, Cl A | | | | | | | | |
2.380%, 06/18/2046(E) | | | 233 | | | | 212 | |
Goldentree Loan Management US CLO 7, Ser 2021-7A, Cl AR | | | | | | | | |
6.614%, TSFR3M + 1.332%, 04/20/2034(C)(E) | | | 651 | | | | 651 | |
Hardee's Funding, Ser 2018-1A, Cl A23 | | | | | | | | |
5.710%, 06/20/2048(E) | | | 376 | | | | 370 | |
Hardee's Funding, Ser 2020-1A, Cl A2 | | | | | | | | |
3.981%, 12/20/2050(E) | | | 262 | | | | 246 | |
HFX, Ser 2017-1A | | | | | | | | |
3.622%, 03/15/2035 | | | 340 | | | | 338 | |
Magnetite XXVI, Ser 2021-26A, Cl A1R | | | | | | | | |
6.666%, TSFR3M + 1.382%, 07/25/2034(C)(E) | | | 1,127 | | | | 1,128 | |
Marlette Funding Trust, Ser 2024-1A, Cl A | | | | | | | | |
5.950%, 07/17/2034(E) | | | 202 | | | | 203 | |
MVW, Ser 2021-2A, Cl B | | | | | | | | |
1.830%, 05/20/2039(E) | | | 178 | | | | 169 | |
Nelnet Student Loan Trust, Ser 2021-DA, Cl AFX | | | | | | | | |
1.630%, 04/20/2062(E) | | | 150 | | | | 140 | |
Neuberger Berman Loan Advisers CLO 42, Ser 2021-42A, Cl A | | | | | | | | |
6.648%, TSFR3M + 1.362%, 07/16/2035(C)(E) | | | 1,141 | | | | 1,142 | |
Neuberger Berman Loan Advisers CLO 43, Ser 2021-43A, Cl A | | | | | | | | |
6.677%, TSFR3M + 1.392%, 07/17/2035(C)(E) | | | 690 | | | | 691 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
ASSET-BACKED SECURITIES (continued) |
NMEF Funding, Ser 2022-B, Cl A2 | | | | | | | | |
6.070%, 06/15/2029(E) | | $ | 141 | | | $ | 142 | |
Pagaya AI Debt Grantor Trust, Ser 2024-5, Cl A | | | | | | | | |
6.278%, 10/15/2031(E) | | | 334 | | | | 338 | |
Pagaya Ai Debt Grantor Trust, Ser 2024-9, Cl B | | | | | | | | |
5.306%, 03/15/2032(E) | | | 738 | | | | 738 | |
Pagaya AI Debt Trust, Ser 2024-3, Cl A | | | | | | | | |
6.258%, 10/15/2031(E) | | | 320 | | | | 323 | |
SMB Private Education Loan Trust, Ser 2021-E, Cl A1A | | | | | | | | |
1.680%, 02/15/2051(E) | | | 312 | | | | 291 | |
| | | | | | | | 13,178 | |
| | | | | | | | | |
Total Asset-Backed Securities | | | | | | | | |
(Cost $24,286) ($ Thousands) | | | | | | | 24,015 | |
| | | | | | | | | |
| | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.7% |
FFCB^ | | | | | | | | |
5.090%, SOFRRATE + 0.170%, 01/23/2025(C) | | | 2,100 | | | | 2,101 | |
FHLB^ | | | | | | | | |
5.080%, SOFRRATE + 0.160%, 07/10/2025(C) | | | 800 | | | | 801 | |
5.060%, SOFRRATE + 0.140%, 04/21/2025(C) | | | 1,000 | | | | 1,001 | |
4.930%, SOFRRATE + 0.010%, 11/25/2024(C) | | | 600 | | | | 600 | |
0.620%, 02/26/2026 | | | 200 | | | | 191 | |
FHLMC^ | | | | | | | | |
5.150%, 01/27/2026 | | | 1,200 | | | | 1,199 | |
4.200%, 08/28/2025 | | | 700 | | | | 699 | |
FNMA^ | | | | | | | | |
5.060%, 02/07/2025 | | | 700 | | | | 700 | |
0.625%, 04/22/2025 | | | 1,300 | | | | 1,274 | |
0.500%, 06/17/2025 | | | 1,500 | | | | 1,461 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | |
Total U.S. Government Agency Obligations | | | | |
(Cost $10,099) ($ Thousands) | | | 10,027 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
SOVEREIGN DEBT — 0.2% |
| | | | | | | | | |
Colombia Government International Bond | | | | | | | | |
3.125%, 04/15/2031 | | | 225 | | | | 186 | |
Dominican Republic International Bond | | | | | | | | |
4.875%, 09/23/2032(E) | | | 416 | | | | 395 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
SOVEREIGN DEBT (continued) |
Magyar Export-Import Bank ZRT | | | | | | | | |
6.125%, 12/04/2027(E) | | $ | 753 | | | $ | 774 | |
| | | | | | | | | |
Total Sovereign Debt | | | | |
(Cost $1,391) ($ Thousands) | | | 1,355 | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
FOREIGN COMMON STOCK — 0.2% |
| | | | | | | | | |
Belgium — 0.0% | | | | |
Communication Services — 0.0% | | | | |
Liberty Global Ltd, Cl A * | | | 2,308 | | | | 49 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Cameroon — 0.0% | | | | |
Energy — 0.0% | | | | |
Golar LNG Ltd | | | 1,836 | | | | 67 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Canada — 0.0% | | | | |
Energy — 0.0% | | | | |
Encore Energy * | | | 6,032 | | | | 25 | |
Teekay Tankers Ltd, Cl A | | | 348 | | | | 20 | |
| | | | | | | | | |
| | | | | | | | 45 | |
| | | | | | | | | |
Utilities — 0.0% | | | | |
Brookfield Infrastructure Corp, Cl A | | | 1,090 | | | | 47 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 92 | |
| | | | | | | | | |
Ghana — 0.0% | | | | |
Energy — 0.0% | | | | |
Kosmos Energy Ltd * | | | 9,707 | | | | 39 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Ireland — 0.1% | | | | |
Energy — 0.0% | | | | |
Ardmore Shipping Corp | | | 1,400 | | | | 25 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Information Technology — 0.1% | | | | |
Accenture PLC, Cl A | | | 1,204 | | | | 426 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | 451 | |
| | | | | | | | | |
Mexico — 0.0% | | | | |
Energy — 0.0% | | | | |
Borr Drilling Ltd | | | 3,781 | | | | 21 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
FOREIGN COMMON STOCK (continued) |
Monaco — 0.0% | | | | |
Energy — 0.0% | | | | |
Scorpio Tankers Inc | | | 858 | | | $ | 61 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Norway — 0.0% | | | | |
Energy — 0.0% | | | | |
FLEX LNG | | | 616 | | | | 16 | |
Seadrill * | | | 1,495 | | | | 59 | |
SFL Corp Ltd, Cl B | | | 3,000 | | | | 35 | |
| | | | | | | | | |
| | | | | | | | 110 | |
| | | | | | | | | |
| | | | | | | | | |
Puerto Rico — 0.0% | | | | |
Communication Services — 0.0% | | | | |
Liberty Latin America Ltd, Cl C * | | | 2,200 | | | | 21 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
United Kingdom — 0.1% | | | | |
Communication Services — 0.0% | | | | |
Liberty Global PLC * | | | 2,394 | | | | 52 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Energy — 0.1% | | | | |
TechnipFMC PLC | | | 9,286 | | | | 243 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Total Foreign Common Stock | | | | | | | | |
(Cost $693) ($ Thousands) | | | | | | | 1,206 | |
| | | | Number of
Rights | | | | | |
RIGHTS — 0.0% |
Novartis AG *‡‡ | | | 800 | | | | – | |
Abiomed Inc *‡‡ | | | 408 | | | | – | |
Total Rights | | | | | | | | |
(Cost $—) ($ Thousands) | | | | | | | – | |
| | | | | | | | | |
| | | | | | | | | |
Total Investments in Securities — 110.3% | | | | | | | | |
(Cost $549,887) ($ Thousands) | | $ | 640,316 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | |
Shares
| | | | | |
COMMON STOCK SOLD SHORT— (13.3)% |
Communication Services — (0.6)% | | | | |
Cable One Inc | | | (61 | ) | | | (21 | ) |
Charter Communications Inc, Cl A * | | | (877 | ) | | | (284 | ) |
Comcast Corp, Cl A | | | (37,038 | ) | | | (1,547 | ) |
EchoStar Corp, Cl A * | | | (1,638 | ) | | | (41 | ) |
Fox Corp, Cl A | | | (1,995 | ) | | | (85 | ) |
Fox Corp, Cl B | | | (1,400 | ) | | | (54 | ) |
Interpublic Group of Cos Inc/The | | | (3,684 | ) | | | (117 | ) |
John Wiley & Sons Inc, Cl A | | | (523 | ) | | | (25 | ) |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK SOLD SHORT (continued) |
Liberty Broadband Corp, Cl C * | | | (1,118 | ) | | $ | (87 | ) |
Magnite * | | | (2,080 | ) | | | (29 | ) |
New York Times Co/The, Cl A | | | (1,629 | ) | | | (91 | ) |
News Corp, Cl A | | | (3,506 | ) | | | (93 | ) |
News Corp, Cl B | | | (742 | ) | | | (21 | ) |
Nexstar Media Group Inc, Cl A | | | (318 | ) | | | (53 | ) |
Omnicom Group Inc | | | (1,828 | ) | | | (189 | ) |
Paramount Global, Cl B | | | (5,214 | ) | | | (55 | ) |
Sirius XM Holdings Inc | | | (2,172 | ) | | | (51 | ) |
TEGNA Inc | | | (2,300 | ) | | | (36 | ) |
Trade Desk Inc/The, Cl A * | | | (4,253 | ) | | | (466 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | (3,345 | ) |
| | | | | | | | | |
Consumer Discretionary — (8.9)% | | | | |
Abercrombie & Fitch Co, Cl A * | | | (400 | ) | | | (56 | ) |
Academy Sports & Outdoors Inc | | | (520 | ) | | | (30 | ) |
Acushnet Holdings Corp | | | (537 | ) | | | (34 | ) |
Adient PLC * | | | (3,503 | ) | | | (79 | ) |
ADT Inc | | | (4,200 | ) | | | (30 | ) |
Adtalem Global Education Inc * | | | (600 | ) | | | (45 | ) |
Advance Auto Parts Inc | | | (596 | ) | | | (23 | ) |
Airbnb Inc, Cl A * | | | (4,667 | ) | | | (592 | ) |
Amazon.com Inc, Cl A * | | | (23,247 | ) | | | (4,332 | ) |
American Axle & Manufacturing Holdings Inc * | | | (5,130 | ) | | | (32 | ) |
American Eagle Outfitters Inc | | | (1,700 | ) | | | (38 | ) |
Aptiv PLC * | | | (10,963 | ) | | | (789 | ) |
Aramark | | | (2,739 | ) | | | (106 | ) |
Asbury Automotive Group Inc * | | | (191 | ) | | | (46 | ) |
AutoNation Inc * | | | (226 | ) | | | (40 | ) |
AutoZone Inc * | | | (117 | ) | | | (369 | ) |
Bath & Body Works Inc | | | (1,761 | ) | | | (56 | ) |
Beazer Homes USA Inc, Cl A * | | | (400 | ) | | | (14 | ) |
Best Buy Co Inc | | | (1,531 | ) | | | (158 | ) |
Bloomin' Brands Inc | | | (799 | ) | | | (13 | ) |
Booking Holdings Inc | | | (366 | ) | | | (1,542 | ) |
Boot Barn Holdings Inc * | | | (210 | ) | | | (35 | ) |
BorgWarner Inc | | | (9,500 | ) | | | (345 | ) |
Boyd Gaming Corp | | | (695 | ) | | | (45 | ) |
Bright Horizons Family Solutions Inc * | | | (658 | ) | | | (92 | ) |
Brinker International Inc * | | | (600 | ) | | | (46 | ) |
Brunswick Corp/DE | | | (1,536 | ) | | | (129 | ) |
Burlington Stores Inc * | | | (471 | ) | | | (124 | ) |
Caesars Entertainment Inc * | | | (2,239 | ) | | | (93 | ) |
Capri Holdings Ltd * | | | (2,583 | ) | | | (110 | ) |
CarMax Inc * | | | (1,221 | ) | | | (94 | ) |
Carnival Corp * | | | (10,794 | ) | | | (199 | ) |
Carter's Inc | | | (900 | ) | | | (58 | ) |
Carvana Co, Cl A * | | | (670 | ) | | | (117 | ) |
Cava Group Inc * | | | (877 | ) | | | (109 | ) |
Cavco Industries Inc * | | | (168 | ) | | | (72 | ) |
Century Communities Inc | | | (628 | ) | | | (65 | ) |
Champion Homes * | | | (1,003 | ) | | | (95 | ) |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK SOLD SHORT (continued) |
Cheesecake Factory Inc/The | | | (762 | ) | | $ | (31 | ) |
Chipotle Mexican Grill Inc, Cl A * | | | (14,666 | ) | | | (845 | ) |
Choice Hotels International Inc | | | (282 | ) | | | (37 | ) |
Churchill Downs Inc | | | (847 | ) | | | (115 | ) |
Columbia Sportswear Co | | | (804 | ) | | | (67 | ) |
Cracker Barrel Old Country Store Inc | | | (450 | ) | | | (20 | ) |
Crocs Inc * | | | (1,303 | ) | | | (189 | ) |
Dana Inc | | | (5,131 | ) | | | (54 | ) |
Darden Restaurants Inc | | | (1,209 | ) | | | (198 | ) |
Dave & Buster's Entertainment Inc * | | | (346 | ) | | | (12 | ) |
Deckers Outdoor Corp * | | | (3,360 | ) | | | (536 | ) |
Dick's Sporting Goods Inc | | | (386 | ) | | | (81 | ) |
Domino's Pizza Inc | | | (406 | ) | | | (175 | ) |
DoorDash Inc, Cl A * | | | (3,727 | ) | | | (532 | ) |
Dorman Products Inc * | | | (984 | ) | | | (111 | ) |
DR Horton Inc | | | (6,310 | ) | | | (1,204 | ) |
DraftKings Inc, Cl A * | | | (4,702 | ) | | | (184 | ) |
Dream Finders Homes, Cl A * | | | (738 | ) | | | (27 | ) |
Duolingo Inc, Cl A * | | | (454 | ) | | | (128 | ) |
Dutch Bros Inc, Cl A * | | | (746 | ) | | | (24 | ) |
eBay Inc | | | (3,660 | ) | | | (238 | ) |
Ethan Allen Interiors Inc | | | (700 | ) | | | (22 | ) |
Etsy Inc * | | | (760 | ) | | | (42 | ) |
Everi Holdings Inc * | | | (1,600 | ) | | | (21 | ) |
Expedia Group Inc * | | | (1,342 | ) | | | (199 | ) |
Figs Inc, Cl A * | | | (2,600 | ) | | | (18 | ) |
Five Below Inc * | | | (467 | ) | | | (41 | ) |
Floor & Decor Holdings Inc, Cl A * | | | (799 | ) | | | (99 | ) |
Foot Locker Inc, Cl A | | | (732 | ) | | | (19 | ) |
Ford Motor Co | | | (159,651 | ) | | | (1,686 | ) |
Fox Factory Holding Corp * | | | (1,582 | ) | | | (66 | ) |
Frontdoor Inc * | | | (957 | ) | | | (46 | ) |
GameStop Corp, Cl A * | | | (1,374 | ) | | | (32 | ) |
Gap Inc/The | | | (1,700 | ) | | | (37 | ) |
Garmin Ltd | | | (3,257 | ) | | | (573 | ) |
General Motors Co | | | (46,200 | ) | | | (2,072 | ) |
Gentex Corp | | | (9,602 | ) | | | (285 | ) |
Gentherm Inc * | | | (1,394 | ) | | | (65 | ) |
Genuine Parts Co | | | (970 | ) | | | (135 | ) |
G-III Apparel Group Ltd * | | | (576 | ) | | | (18 | ) |
Goodyear Tire & Rubber Co/The * | | | (10,657 | ) | | | (94 | ) |
Graham Holdings Co, Cl B | | | (54 | ) | | | (44 | ) |
Grand Canyon Education Inc * | | | (361 | ) | | | (51 | ) |
Green Brick Partners Inc * | | | (800 | ) | | | (67 | ) |
Group 1 Automotive Inc | | | (68 | ) | | | (26 | ) |
H&R Block Inc | | | (1,716 | ) | | | (109 | ) |
Hanesbrands Inc * | | | (9,071 | ) | | | (67 | ) |
Harley-Davidson Inc, Cl A | | | (4,860 | ) | | | (187 | ) |
Hasbro Inc | | | (2,842 | ) | | | (206 | ) |
Helen of Troy Ltd * | | | (624 | ) | | | (39 | ) |
Hilton Grand Vacations Inc * | | | (754 | ) | | | (27 | ) |
Hilton Worldwide Holdings Inc | | | (2,639 | ) | | | (608 | ) |
Home Depot Inc/The | | | (6,783 | ) | | | (2,748 | ) |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK SOLD SHORT (continued) |
Hovnanian Enterprises Inc, Cl A * | | | (165 | ) | | $ | (34 | ) |
Hyatt Hotels Corp, Cl A | | | (565 | ) | | | (86 | ) |
Installed Building Products Inc | | | (521 | ) | | | (128 | ) |
International Game Technology PLC | | | (1,133 | ) | | | (24 | ) |
KB Home | | | (1,461 | ) | | | (125 | ) |
Kohl's Corp | | | (989 | ) | | | (21 | ) |
Kontoor Brands Inc | | | (1,245 | ) | | | (102 | ) |
Las Vegas Sands Corp | | | (3,648 | ) | | | (184 | ) |
Laureate Education Inc, Cl A | | | (1,900 | ) | | | (32 | ) |
La-Z-Boy Inc, Cl Z | | | (481 | ) | | | (21 | ) |
LCI Industries | | | (1,008 | ) | | | (122 | ) |
Lear Corp | | | (2,413 | ) | | | (263 | ) |
Leggett & Platt Inc | | | (2,775 | ) | | | (38 | ) |
Lennar Corp, Cl A | | | (5,089 | ) | | | (954 | ) |
Lennar Corp, Cl B | | | (236 | ) | | | (41 | ) |
LGI Homes Inc * | | | (526 | ) | | | (62 | ) |
Life Time Group Holdings Inc * | | | (1,074 | ) | | | (26 | ) |
Light & Wonder Inc, Cl A * | | | (910 | ) | | | (83 | ) |
Lithia Motors Inc, Cl A | | | (206 | ) | | | (65 | ) |
LKQ Corp | | | (1,961 | ) | | | (78 | ) |
Lowe's Cos Inc | | | (3,915 | ) | | | (1,060 | ) |
Lucid Group Inc * | | | (27,574 | ) | | | (97 | ) |
Lululemon Athletica Inc * | | | (2,622 | ) | | | (711 | ) |
Luminar Technologies, Cl A * | | | (13,917 | ) | | | (13 | ) |
M/I Homes Inc * | | | (588 | ) | | | (101 | ) |
Macy's Inc | | | (1,709 | ) | | | (27 | ) |
Malibu Boats Inc, Cl A * | | | (590 | ) | | | (23 | ) |
Marriott International Inc/MD, Cl A | | | (2,524 | ) | | | (627 | ) |
Marriott Vacations Worldwide Corp | | | (521 | ) | | | (38 | ) |
Mattel Inc * | | | (7,506 | ) | | | (143 | ) |
McDonald's Corp | | | (7,744 | ) | | | (2,358 | ) |
Meritage Homes Corp | | | (758 | ) | | | (155 | ) |
MGM Resorts International * | | | (3,032 | ) | | | (119 | ) |
Modine Manufacturing Co * | | | (2,005 | ) | | | (266 | ) |
Mohawk Industries Inc * | | | (1,142 | ) | | | (184 | ) |
Murphy USA Inc | | | (139 | ) | | | (69 | ) |
Newell Brands Inc, Cl B | | | (9,753 | ) | | | (75 | ) |
NIKE Inc, Cl B | | | (25,757 | ) | | | (2,277 | ) |
Nordstrom Inc | | | (1,227 | ) | | | (28 | ) |
Norwegian Cruise Line Holdings Ltd * | | | (4,842 | ) | | | (99 | ) |
NVR Inc * | | | (64 | ) | | | (628 | ) |
Ollie's Bargain Outlet Holdings Inc * | | | (333 | ) | | | (32 | ) |
O'Reilly Automotive Inc * | | | (401 | ) | | | (462 | ) |
Oxford Industries Inc, Cl A | | | (326 | ) | | | (28 | ) |
Papa John's International Inc, Cl A | | | (358 | ) | | | (19 | ) |
Patrick Industries Inc | | | (888 | ) | | | (126 | ) |
Peloton Interactive Inc, Cl A * | | | (7,260 | ) | | | (34 | ) |
Penn Entertainment Inc * | | | (1,527 | ) | | | (29 | ) |
Penske Automotive Group Inc, Cl A | | | (200 | ) | | | (32 | ) |
Perdoceo Education Corp | | | (1,300 | ) | | | (29 | ) |
Phinia Inc | | | (1,753 | ) | | | (81 | ) |
Planet Fitness Inc, Cl A * | | | (1,079 | ) | | | (88 | ) |
Polaris Inc | | | (970 | ) | | | (81 | ) |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK SOLD SHORT (continued) |
Pool Corp | | | (284 | ) | | $ | (107 | ) |
PulteGroup Inc | | | (4,583 | ) | | | (658 | ) |
PVH Corp | | | (1,325 | ) | | | (134 | ) |
QuantumScape Corp, Cl A * | | | (12,919 | ) | | | (74 | ) |
Ralph Lauren Corp, Cl A | | | (882 | ) | | | (171 | ) |
Red Rock Resorts Inc, Cl A | | | (435 | ) | | | (24 | ) |
RH * | | | (131 | ) | | | (44 | ) |
Rivian Automotive Inc, Cl A * | | | (33,923 | ) | | | (381 | ) |
Ross Stores Inc | | | (2,193 | ) | | | (330 | ) |
Royal Caribbean Cruises Ltd | | | (2,570 | ) | | | (456 | ) |
Service Corp International/US | | | (1,684 | ) | | | (133 | ) |
Shake Shack Inc, Cl A * | | | (446 | ) | | | (46 | ) |
SharkNinja Inc | | | (1,450 | ) | | | (158 | ) |
Signet Jewelers Ltd | | | (409 | ) | | | (42 | ) |
Six Flags Entertainment | | | (464 | ) | | | (19 | ) |
Skechers USA Inc, Cl A * | | | (2,960 | ) | | | (198 | ) |
Smith & Wesson Brands Inc | | | (1,500 | ) | | | (19 | ) |
Sonos Inc * | | | (3,329 | ) | | | (41 | ) |
Standard Motor Products Inc | | | (716 | ) | | | (24 | ) |
Starbucks Corp | | | (12,176 | ) | | | (1,187 | ) |
Steven Madden Ltd | | | (1,682 | ) | | | (82 | ) |
Stoneridge Inc * | | | (1,000 | ) | | | (11 | ) |
Strategic Education Inc | | | (150 | ) | | | (14 | ) |
Stride Inc * | | | (600 | ) | | | (51 | ) |
Sturm Ruger & Co Inc | | | (600 | ) | | | (25 | ) |
Sweetgreen Inc, Cl A * | | | (1,087 | ) | | | (39 | ) |
Tapestry Inc | | | (5,017 | ) | | | (236 | ) |
Taylor Morrison Home Corp, Cl A * | | | (2,258 | ) | | | (159 | ) |
Tempur Sealy International Inc | | | (3,624 | ) | | | (198 | ) |
Tesla Inc * | | | (19,346 | ) | | | (5,061 | ) |
Texas Roadhouse Inc, Cl A | | | (691 | ) | | | (122 | ) |
Thor Industries Inc | | | (2,173 | ) | | | (239 | ) |
TJX Cos Inc/The | | | (7,748 | ) | | | (911 | ) |
Toll Brothers Inc | | | (2,272 | ) | | | (351 | ) |
TopBuild Corp * | | | (679 | ) | | | (276 | ) |
Topgolf Callaway Brands Corp * | | | (3,851 | ) | | | (42 | ) |
Tractor Supply Co | | | (726 | ) | | | (211 | ) |
Travel + Leisure Co | | | (741 | ) | | | (34 | ) |
Tri Pointe Homes Inc * | | | (1,532 | ) | | | (69 | ) |
Ulta Beauty Inc * | | | (327 | ) | | | (127 | ) |
Under Armour Inc, Cl A * | | | (5,429 | ) | | | (48 | ) |
Under Armour Inc, Cl C * | | | (5,319 | ) | | | (44 | ) |
United Parks & Resorts * | | | (580 | ) | | | (29 | ) |
Urban Outfitters Inc * | | | (300 | ) | | | (11 | ) |
Vail Resorts Inc | | | (481 | ) | | | (84 | ) |
Valvoline Inc * | | | (673 | ) | | | (28 | ) |
VF Corp | | | (7,923 | ) | | | (158 | ) |
Victoria's Secret & Co * | | | (1,077 | ) | | | (28 | ) |
Vista Outdoor Inc * | | | (1,476 | ) | | | (58 | ) |
Visteon Corp * | | | (1,233 | ) | | | (117 | ) |
Vizio Holding, Cl A * | | | (2,471 | ) | | | (28 | ) |
Wayfair Inc, Cl A * | | | (700 | ) | | | (39 | ) |
Wendy's Co/The | | | (2,615 | ) | | | (46 | ) |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK SOLD SHORT (continued) |
Whirlpool Corp | | | (1,003 | ) | | $ | (107 | ) |
Williams-Sonoma Inc | | | (957 | ) | | | (148 | ) |
Wingstop Inc, Cl A | | | (295 | ) | | | (123 | ) |
Winnebago Industries Inc | | | (1,063 | ) | | | (62 | ) |
Wolverine World Wide Inc | | | (1,809 | ) | | | (32 | ) |
Worthington Industries Inc | | | (789 | ) | | | (33 | ) |
Wyndham Hotels & Resorts Inc | | | (894 | ) | | | (70 | ) |
Wynn Resorts Ltd | | | (1,132 | ) | | | (109 | ) |
XPEL Inc * | | | (815 | ) | | | (35 | ) |
YETI Holdings Inc * | | | (1,893 | ) | | | (78 | ) |
Yum! Brands Inc | | | (2,948 | ) | | | (412 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | (51,868 | ) |
| | | | | | | | | |
Information Technology — (2.3)% | | | | |
Advanced Micro Devices Inc * | | | (2,406 | ) | | | (395 | ) |
Amphenol Corp, Cl A | | | (2,117 | ) | | | (138 | ) |
Analog Devices Inc | | | (755 | ) | | | (174 | ) |
Apple Inc | | | (18,121 | ) | | | (4,222 | ) |
Applied Materials Inc | | | (1,033 | ) | | | (209 | ) |
Arista Networks Inc * | | | (353 | ) | | | (135 | ) |
Arrow Electronics Inc, Cl A * | | | (113 | ) | | | (15 | ) |
Badger Meter Inc | | | (122 | ) | | | (27 | ) |
Broadcom Inc | | | (6,580 | ) | | | (1,135 | ) |
CDW Corp/DE | | | (253 | ) | | | (57 | ) |
Ciena Corp * | | | (300 | ) | | | (18 | ) |
Cisco Systems Inc | | | (5,887 | ) | | | (313 | ) |
Coherent Corp * | | | (324 | ) | | | (29 | ) |
Corning Inc, Cl B | | | (912 | ) | | | (41 | ) |
Dell Technologies Inc, Cl C | | | (363 | ) | | | (43 | ) |
Enphase Energy Inc * | | | (105 | ) | | | (12 | ) |
Entegris Inc | | | (238 | ) | | | (27 | ) |
First Solar Inc * | | | (210 | ) | | | (52 | ) |
Hewlett Packard Enterprise Co | | | (1,755 | ) | | | (36 | ) |
HP Inc | | | (1,610 | ) | | | (58 | ) |
Intel Corp | | | (6,385 | ) | | | (150 | ) |
Juniper Networks Inc | | | (650 | ) | | | (25 | ) |
Keysight Technologies Inc * | | | (350 | ) | | | (56 | ) |
KLA Corp | | | (166 | ) | | | (129 | ) |
Lam Research Corp | | | (231 | ) | | | (188 | ) |
Lattice Semiconductor Corp * | | | (266 | ) | | | (14 | ) |
Marvell Technology Inc | | | (1,459 | ) | | | (105 | ) |
Microchip Technology Inc | | | (764 | ) | | | (61 | ) |
Micron Technology Inc | | | (1,725 | ) | | | (179 | ) |
MKS Instruments Inc | | | (212 | ) | | | (23 | ) |
Monolithic Power Systems Inc | | | (62 | ) | | | (57 | ) |
Motorola Solutions Inc | | | (247 | ) | | | (111 | ) |
NetApp Inc | | | (420 | ) | | | (52 | ) |
Novanta Inc * | | | (100 | ) | | | (18 | ) |
NVIDIA Corp | | | (34,606 | ) | | | (4,203 | ) |
ON Semiconductor Corp * | | | (630 | ) | | | (46 | ) |
Onto Innovation Inc * | | | (141 | ) | | | (29 | ) |
Pure Storage Inc, Cl A * | | | (330 | ) | | | (17 | ) |
QUALCOMM Inc | | | (1,612 | ) | | | (274 | ) |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK SOLD SHORT (continued) |
Rambus Inc * | | | (300 | ) | | $ | (13 | ) |
Skyworks Solutions Inc | | | (231 | ) | | | (23 | ) |
Super Micro Computer Inc * | | | (65 | ) | | | (27 | ) |
TD SYNNEX Corp | | | (208 | ) | | | (25 | ) |
Teledyne Technologies Inc * | | | (41 | ) | | | (18 | ) |
Teradyne Inc | | | (286 | ) | | | (38 | ) |
Texas Instruments Inc | | | (1,276 | ) | | | (264 | ) |
Trimble Inc * | | | (391 | ) | | | (24 | ) |
Western Digital Corp * | | | (448 | ) | | | (31 | ) |
Zebra Technologies Corp, Cl A * | | | (109 | ) | | | (40 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | (13,376 | ) |
| | | | | | | | | |
Materials — (1.5)% | | | | |
Air Products and Chemicals Inc | | | (1,265 | ) | | | (377 | ) |
Albemarle Corp | | | (705 | ) | | | (67 | ) |
Alcoa Corp | | | (1,325 | ) | | | (51 | ) |
Alpha Metallurgical Resources Inc | | | (114 | ) | | | (27 | ) |
Amcor PLC | | | (9,171 | ) | | | (104 | ) |
AptarGroup Inc | | | (357 | ) | | | (57 | ) |
Arch Resources Inc | | | (157 | ) | | | (22 | ) |
Ashland Inc | | | (400 | ) | | | (35 | ) |
ATI Inc * | | | (664 | ) | | | (44 | ) |
Avery Dennison Corp | | | (466 | ) | | | (103 | ) |
Avient Corp | | | (346 | ) | | | (17 | ) |
Axalta Coating Systems Ltd * | | | (1,579 | ) | | | (57 | ) |
Balchem Corp | | | (157 | ) | | | (28 | ) |
Ball Corp | | | (2,054 | ) | | | (139 | ) |
Berry Global Group Inc | | | (557 | ) | | | (38 | ) |
Cabot Corp | | | (249 | ) | | | (28 | ) |
Carpenter Technology Corp | | | (268 | ) | | | (43 | ) |
Celanese Corp, Cl A | | | (724 | ) | | | (98 | ) |
CF Industries Holdings Inc | | | (1,111 | ) | | | (95 | ) |
Chemours Co/The | | | (712 | ) | | | (14 | ) |
Cleveland-Cliffs Inc * | | | (3,021 | ) | | | (39 | ) |
Commercial Metals Co, Cl A | | | (902 | ) | | | (50 | ) |
Constellium, Cl A * | | | (1,506 | ) | | | (24 | ) |
Corteva Inc | | | (4,195 | ) | | | (247 | ) |
CRH PLC | | | (4,026 | ) | | | (373 | ) |
Crown Holdings Inc | | | (792 | ) | | | (76 | ) |
Dow Inc | | | (4,032 | ) | | | (220 | ) |
DuPont de Nemours Inc | | | (2,419 | ) | | | (216 | ) |
Eagle Materials Inc | | | (207 | ) | | | (60 | ) |
Eastman Chemical Co | | | (647 | ) | | | (72 | ) |
Ecolab Inc | | | (1,430 | ) | | | (365 | ) |
Element Solutions Inc | | | (1,724 | ) | | | (47 | ) |
FMC Corp | | | (773 | ) | | | (51 | ) |
Freeport-McMoRan Inc, Cl B | | | (8,237 | ) | | | (411 | ) |
Graphic Packaging Holding Co | | | (2,044 | ) | | | (60 | ) |
Hawkins Inc | | | (199 | ) | | | (25 | ) |
HB Fuller Co | | | (459 | ) | | | (36 | ) |
Hecla Mining Co | | | (5,000 | ) | | | (33 | ) |
Huntsman Corp | | | (1,145 | ) | | | (28 | ) |
Innospec Inc | | | (204 | ) | | | (23 | ) |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
COMMON STOCK SOLD SHORT (continued) |
International Flavors & Fragrances Inc | | | (1,459 | ) | | $ | (153 | ) |
International Paper Co | | | (2,320 | ) | | | (113 | ) |
Knife River Corp * | | | (400 | ) | | | (36 | ) |
Linde PLC | | | (2,817 | ) | | | (1,343 | ) |
Louisiana-Pacific Corp | | | (529 | ) | | | (57 | ) |
LyondellBasell Industries NV, Cl A | | | (1,583 | ) | | | (152 | ) |
Martin Marietta Materials Inc, Cl A | | | (369 | ) | | | (199 | ) |
Materion Corp | | | (200 | ) | | | (22 | ) |
Minerals Technologies Inc | | | (344 | ) | | | (27 | ) |
Mosaic Co/The | | | (2,365 | ) | | | (63 | ) |
NewMarket Corp | | | (47 | ) | | | (26 | ) |
Newmont Corp | | | (6,734 | ) | | | (360 | ) |
Nucor Corp | | | (1,402 | ) | | | (211 | ) |
O-I Glass Inc, Cl I * | | | (1,336 | ) | | | (18 | ) |
Olin Corp | | | (753 | ) | | | (36 | ) |
Packaging Corp of America | | | (478 | ) | | | (103 | ) |
PPG Industries Inc | | | (1,423 | ) | | | (188 | ) |
Reliance Inc | | | (298 | ) | | | (86 | ) |
Royal Gold Inc, Cl A | | | (441 | ) | | | (62 | ) |
RPM International Inc | | | (808 | ) | | | (98 | ) |
Scotts Miracle-Gro Co/The, Cl A | | | (382 | ) | | | (33 | ) |
Sealed Air Corp | | | (1,187 | ) | | | (43 | ) |
Sensient Technologies Corp | | | (200 | ) | | | (16 | ) |
Sherwin-Williams Co/The, Cl A | | | (1,374 | ) | | | (524 | ) |
Silgan Holdings Inc | | | (357 | ) | | | (19 | ) |
Smurfit WestRock PLC | | | (1,584 | ) | | | (78 | ) |
Sonoco Products Co | | | (800 | ) | | | (44 | ) |
Steel Dynamics Inc | | | (932 | ) | | | (118 | ) |
Summit Materials Inc, Cl A * | | | (1,097 | ) | | | (43 | ) |
Sylvamo Corp | | | (360 | ) | | | (31 | ) |
Tronox Holdings | | | (1,296 | ) | | | (19 | ) |
United States Steel Corp | | | (1,155 | ) | | | (41 | ) |
Vulcan Materials Co | | | (735 | ) | | | (184 | ) |
Warrior Met Coal Inc | | | (412 | ) | | | (26 | ) |
Westlake Corp | | | (284 | ) | | | (43 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | (8,515 | ) |
| | | | | | | | | |
Total Common Stock Sold Short | | | | | | | | |
(Proceeds $73,975) ($ Thousands) | | | | | | | (77,104 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
FOREIGN COMMON STOCK SOLD SHORT— (0.1)% |
Argentina — (0.0)% | | | | |
Materials — (0.0)% | | | | |
Arcadium Lithium PLC * | | | (7,848 | ) | | | (22 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
FOREIGN COMMON STOCK SOLD SHORT (continued) |
Bahamas — (0.0)% | | | | |
Consumer Discretionary — (0.0)% | | | | |
OneSpaWorld Holdings Ltd | | | (1,651 | ) | | $ | (27 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Finland — (0.0)% | | | | |
Consumer Discretionary — (0.0)% | | | | |
Amer Sports Inc * | | | (2,480 | ) | | | (39 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Luxembourg — (0.0)% | | | | |
Consumer Discretionary — (0.0)% | | | | |
Birkenstock Holding PLC * | | | (805 | ) | | | (40 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Mexico — (0.0)% | | | | |
Materials — (0.0)% | | | | |
Southern Copper Corp | | | (595 | ) | | | (69 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
South Korea — (0.1)% | | | | |
Consumer Discretionary — (0.1)% | | | | |
Coupang Inc, Cl A * | | | (8,385 | ) | | | (206 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Thailand — (0.0)% | | | | |
Information Technology — (0.0)% | | | | |
Fabrinet * | | | (100 | ) | | | (24 | ) |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Total Foreign Common Stock Sold Short | | | | | | | | |
(Proceeds $344) ($ Thousands) | | | | | | | (427 | ) |
| | | | | | | | | |
| | | | | | | | | |
Total Investments Sold Short — (13.4)% | | | | | | | | |
(Proceeds $74,319) ($ Thousands) | | $ | (77,531 | ) |
| | | | | | | | | |
| | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Brent Crude^ | | | 12 | | | | Mar-2025 | | | $ | 940 | | | $ | 854 | | | $ | (86 | ) |
Brent Crude^ | | | 12 | | | | Jul-2025 | | | | 833 | | | | 852 | | | | 19 | |
Brent Crude^ | | | 23 | | | | May-2025 | | | | 1,793 | | | | 1,635 | | | | (158 | ) |
Brent Crude^ | | | 69 | | | | Nov-2024 | | | | 5,352 | | | | 4,930 | | | | (422 | ) |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
Coffee C^ | | | 44 | | | | May-2025 | | | $ | 4,250 | | | $ | 4,376 | | | $ | 126 | |
Coffee C^ | | | 20 | | | | Dec-2024 | | | | 1,748 | | | | 2,027 | | | | 279 | |
Coffee C^ | | | 11 | | | | Mar-2025 | | | | 1,018 | | | | 1,106 | | | | 88 | |
Copper^ | | | 36 | | | | Dec-2024 | | | | 3,865 | | | | 4,098 | | | | 233 | |
Copper^ | | | 13 | | | | May-2025 | | | | 1,360 | | | | 1,493 | | | | 133 | |
Copper^ | | | 14 | | | | Mar-2025 | | | | 1,557 | | | | 1,601 | | | | 44 | |
Corn^ | | | 56 | | | | Mar-2025 | | | | 1,191 | | | | 1,235 | | | | 44 | |
Corn^ | | | 55 | | | | May-2025 | | | | 1,197 | | | | 1,240 | | | | 43 | |
Corn^ | | | 112 | | | | Dec-2024 | | | | 2,290 | | | | 2,378 | | | | 88 | |
Cotton No. 2^ | | | 9 | | | | Dec-2024 | | | | 326 | | | | 331 | | | | 5 | |
Cotton No. 2^ | | | 9 | | | | May-2025 | | | | 321 | | | | 344 | | | | 23 | |
Cotton No. 2^ | | | 9 | | | | Mar-2025 | | | | 331 | | | | 339 | | | | 8 | |
Feeder Cattle^ | | | 6 | | | | Jan-2025 | | | | 691 | | | | 717 | | | | 26 | |
Gasoline^ | | | 62 | | | | Nov-2024 | | | | 5,244 | | | | 5,039 | | | | (205 | ) |
Gasoline^ | | | 5 | | | | May-2025 | | | | 460 | | | | 444 | | | | (16 | ) |
Gasoline^ | | | 3 | | | | Jan-2025 | | | | 268 | | | | 239 | | | | (29 | ) |
Gasoline^ | | | 3 | | | | Mar-2025 | | | | 277 | | | | 243 | | | | (34 | ) |
Gold^ | | | 24 | | | | Feb-2025 | | | | 6,100 | | | | 6,435 | | | | 335 | |
Gold^ | | | 16 | | | | Apr-2025 | | | | 4,028 | | | | 4,318 | | | | 290 | |
Gold^ | | | 8 | | | | Jun-2025 | | | | 2,079 | | | | 2,174 | | | | 95 | |
Gold^ | | | 21 | | | | Dec-2024 | | | | 5,088 | | | | 5,585 | | | | 497 | |
KC HRW Wheat^ | | | 7 | | | | Dec-2024 | | | | 202 | | | | 204 | | | | 2 | |
KC HRW Wheat^ | | | 13 | | | | May-2025 | | | | 388 | | | | 395 | | | | 7 | |
KC HRW Wheat^ | | | 39 | | | | Mar-2025 | | | | 1,160 | | | | 1,167 | | | | 7 | |
Lean Hogs^ | | | 13 | | | | Apr-2025 | | | | 391 | | | | 431 | | | | 40 | |
Lean Hogs^ | | | 20 | | | | Dec-2024 | | | | 583 | | | | 586 | | | | 3 | |
Lean Hogs^ | | | 7 | | | | Feb-2025 | | | | 205 | | | | 217 | | | | 12 | |
Lean Hogs^ | | | 6 | | | | Jun-2025 | | | | 222 | | | | 226 | | | | 4 | |
Live Cattle^ | | | 12 | | | | Apr-2025 | | | | 885 | | | | 895 | | | | 10 | |
Live Cattle^ | | | 2 | | | | Mar-2025 | | | | 144 | | | | 149 | | | | 5 | |
Live Cattle^ | | | 19 | | | | Dec-2024 | | | | 1,375 | | | | 1,404 | | | | 29 | |
Live Cattle^ | | | 6 | | | | Jun-2025 | | | | 418 | | | | 432 | | | | 14 | |
Live Cattle^ | | | 6 | | | | Feb-2025 | | | | 451 | | | | 446 | | | | (5 | ) |
LME Copper^ | | | 2 | | | | Oct-2024 | | | | 491 | | | | 485 | | | | (6 | ) |
LME Lead^ | | | 11 | | | | Nov-2024 | | | | 557 | | | | 571 | | | | 14 | |
LME Lead^ | | | 4 | | | | May-2025 | | | | 207 | | | | 216 | | | | 9 | |
LME Lead^ | | | 2 | | | | Mar-2025 | | | | 113 | | | | 107 | | | | (6 | ) |
LME Lead^ | | | 2 | | | | Jan-2025 | | | | 117 | | | | 105 | | | | (12 | ) |
LME Nickel^ | | | 3 | | | | Jan-2025 | | | | 352 | | | | 316 | | | | (36 | ) |
LME Nickel^ | | | 4 | | | | Dec-2024 | | | | 391 | | | | 420 | | | | 29 | |
LME Nickel^ | | | 1 | | | | Nov-2024 | | | | 114 | | | | 105 | | | | (9 | ) |
LME Nickel^ | | | 6 | | | | May-2025 | | | | 596 | | | | 644 | | | | 48 | |
LME Nickel^ | | | 3 | | | | Mar-2025 | | | | 317 | | | | 319 | | | | 2 | |
LME Primary Aluminum^ | | | 5 | | | | Nov-2024 | | | | 303 | | | | 325 | | | | 22 | |
LME Primary Aluminum^ | | | 9 | | | | Mar-2025 | | | | 573 | | | | 592 | | | | 19 | |
LME Primary Aluminum^ | | | 9 | | | | Jan-2025 | | | | 573 | | | | 589 | | | | 16 | |
LME Primary Aluminum^ | | | 13 | | | | Dec-2024 | | | | 812 | | | | 849 | | | | 37 | |
LME Primary Aluminum^ | | | 17 | | | | May-2025 | | | | 1,025 | | | | 1,127 | | | | 102 | |
LME Zinc^ | | | 5 | | | | Jan-2025 | | | | 370 | | | | 388 | | | | 18 | |
LME Zinc^ | | | 68 | | | | Mar-2025 | | | | 5,003 | | | | 5,289 | | | | 286 | |
LME Zinc^ | | | 9 | | | | May-2025 | | | | 625 | | | | 700 | | | | 75 | |
LME Zinc^ | | | 23 | | | | Nov-2024 | | | | 1,682 | | | | 1,773 | | | | 91 | |
Low Sulphur Gasoil^ | | | 4 | | | | Jan-2025 | | | | 298 | | | | 263 | | | | (35 | ) |
Low Sulphur Gasoil^ | | | 9 | | | | May-2025 | | | | 605 | | | | 590 | | | | (15 | ) |
Low Sulphur Gasoil^ | | | 62 | | | | Nov-2024 | | | | 4,142 | | | | 4,093 | | | | (49 | ) |
Low Sulphur Gasoil^ | | | 4 | | | | Mar-2025 | | | | 305 | | | | 263 | | | | (42 | ) |
Natural Gas^ | | | 77 | | | | Dec-2024 | | | | 2,588 | | | | 2,774 | | | | 186 | |
Natural Gas^ | | | 29 | | | | Jan-2025 | | | | 1,093 | | | | 1,044 | | | | (49 | ) |
Natural Gas^ | | | 33 | | | | Mar-2025 | | | | 1,018 | | | | 1,051 | | | | 33 | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Continued)
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
Natural Gas^ | | | 68 | | | | May-2025 | | | $ | 1,977 | | | $ | 2,081 | | | $ | 104 | |
Natural Gas^ | | | 119 | | | | Oct-2024 | | | | 3,215 | | | | 3,478 | | | | 263 | |
NY Harbor ULSD^ | | | 2 | | | | Jan-2025 | | | | 207 | | | | 183 | | | | (24 | ) |
NY Harbor ULSD^ | | | 2 | | | | Mar-2025 | | | | 212 | | | | 182 | | | | (30 | ) |
NY Harbor ULSD^ | | | 5 | | | | May-2025 | | | | 466 | | | | 453 | | | | (13 | ) |
NY Harbor ULSD^ | | | 4 | | | | Oct-2024 | | | | 418 | | | | 362 | | | | (56 | ) |
NYMEX Cocoa^ | | | 23 | | | | Dec-2024 | | | | 1,713 | | | | 1,776 | | | | 63 | |
Palladium^ | | | 10 | | | | Dec-2024 | | | | 1,069 | | | | 1,000 | | | | (69 | ) |
Platinum^ | | | 7 | | | | Jan-2025 | | | | 349 | | | | 347 | | | | (2 | ) |
Silver^ | | | 39 | | | | Dec-2024 | | | | 5,755 | | | | 6,134 | | | | 379 | |
Silver^ | | | 9 | | | | May-2025 | | | | 1,315 | | | | 1,443 | | | | 128 | |
Silver^ | | | 9 | | | | Mar-2025 | | | | 1,417 | | | | 1,433 | | | | 16 | |
Soybean^ | | | 27 | | | | Jan-2025 | | | | 1,405 | | | | 1,451 | | | | 46 | |
Soybean^ | | | 22 | | | | May-2025 | | | | 1,159 | | | | 1,212 | | | | 53 | |
Soybean^ | | | 11 | | | | Mar-2025 | | | | 595 | | | | 599 | | | | 4 | |
Soybean^ | | | 27 | | | | Nov-2024 | | | | 1,424 | | | | 1,428 | | | | 4 | |
Soybean Meal^ | | | 11 | | | | Jan-2025 | | | | 360 | | | | 376 | | | | 16 | |
Soybean Meal^ | | | 11 | | | | Mar-2025 | | | | 351 | | | | 378 | | | | 27 | |
Soybean Meal^ | | | 23 | | | | May-2025 | | | | 749 | | | | 791 | | | | 42 | |
Soybean Meal^ | | | 102 | | | | Dec-2024 | | | | 3,452 | | | | 3,485 | | | | 33 | |
Soybean Oil^ | | | 28 | | | | May-2025 | | | | 688 | | | | 733 | | | | 45 | |
Soybean Oil^ | | | 14 | | | | Jan-2025 | | | | 353 | | | | 364 | | | | 11 | |
Soybean Oil^ | | | 14 | | | | Mar-2025 | | | | 376 | | | | 365 | | | | (11 | ) |
Soybean Oil^ | | | 106 | | | | Dec-2024 | | | | 2,747 | | | | 2,754 | | | | 7 | |
Sugar No. 11^ | | | 150 | | | | Feb-2025 | | | | 3,563 | | | | 3,775 | | | | 212 | |
Sugar No. 11^ | | | 123 | | | | May-2025 | | | | 2,739 | | | | 2,900 | | | | 161 | |
U.S. 2-Year Treasury Note | | | 29 | | | | Dec-2024 | | | | 6,028 | | | | 6,039 | | | | 11 | |
U.S. 5-Year Treasury Note | | | 73 | | | | Dec-2024 | | | | 7,994 | | | | 8,022 | | | | 28 | |
Wheat^ | | | 36 | | | | Dec-2024 | | | | 1,031 | | | | 1,051 | | | | 20 | |
Wheat^ | | | 20 | | | | May-2025 | | | | 602 | | | | 616 | | | | 14 | |
Wheat^ | | | 21 | | | | Mar-2025 | | | | 629 | | | | 634 | | | | 5 | |
WTI Crude Oil^ | | | 12 | | | | Mar-2025 | | | | 913 | | | | 807 | | | | (106 | ) |
WTI Crude Oil^ | | | 12 | | | | Nov-2024 | | | | 821 | | | | 818 | | | | (3 | ) |
WTI Crude Oil^ | | | 24 | | | | May-2025 | | | | 1,653 | | | | 1,608 | | | | (45 | ) |
WTI Crude Oil^ | | | 15 | | | | Oct-2024 | | | | 1,016 | | | | 1,022 | | | | 6 | |
WTI Crude Oil^ | | | 12 | | | | Jan-2025 | | | | 908 | | | | 810 | | | | (98 | ) |
| | | | | | | | | | | | 142,970 | | | | 146,493 | | | | 3,523 | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
Cotton No. 2^ | | | (18) | | | | Mar-2025 | | | $ | (678 | ) | | $ | (678 | ) | | $ | – | |
Cotton No. 2^ | | | (18) | | | | Dec-2024 | | | | (663 | ) | | | (663 | ) | | | – | |
Feeder Cattle^ | | | (12) | | | | Jan-2025 | | | | (1,421 | ) | | | (1,432 | ) | | | (11 | ) |
Lean Hogs^ | | | (19) | | | | Feb-2025 | | | | (585 | ) | | | (588 | ) | | | (3 | ) |
Lean Hogs^ | | | (44) | | | | Dec-2024 | | | | (1,271 | ) | | | (1,290 | ) | | | (19 | ) |
LME Lead^ | | | (1) | | | | Dec-2024 | | | | (50 | ) | | | (52 | ) | | | (2 | ) |
MSCI EAFE Index | | | (70) | | | | Dec-2024 | | | | (8,510 | ) | | | (8,712 | ) | | | (202 | ) |
NY Harbor ULSD^ | | | (19) | | | | Nov-2024 | | | | (1,833 | ) | | | (1,719 | ) | | | 114 | |
S&P 500 Index E-MINI | | | (61) | | | | Dec-2024 | | | | (17,385 | ) | | | (17,734 | ) | | | (349 | ) |
U.S. Ultra Long Treasury Bond | | | (12) | | | | Dec-2024 | | | | (1,601 | ) | | | (1,597 | ) | | | 4 | |
Ultra 10-Year U.S. Treasury Note | | | (76) | | | | Dec-2024 | | | | (9,001 | ) | | | (8,990 | ) | | | 11 | |
| | | | | | | | | | | | (42,998 | ) | | | (43,455 | ) | | | (457 | ) |
| | | | | | | | | | | $ | 99,972 | | | $ | 103,038 | | | $ | 3,066 | |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2024, is as follows: |
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Morgan Stanley | | | 10/25/24 | | | | EUR | | | | 1,814 | | | | USD | | | | 1,988 | | | $ | (38 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Concluded)
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2024 is as follows:
Credit Default Swaps - Buy Protection | | | |
Reference Entity/ Obligation | | Pay Rate | | | Payment Frequency | | | Termination Date | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
CDX.NA.HY.S43.V1-5Y | | | 5.00% | | | | Quarterly | | | | 12/20/2029 | | | $ | 4,970 | | | $ | (359 | ) | | $ | (364 | ) | | $ | 5 | |
ITRAXX-AUSTRALIA.S42 | | | 1.00% | | | | Quarterly | | | | 12/20/2029 | | | | 14,530 | | | | (250 | ) | | | (246 | ) | | | (4 | ) |
KNBZMK-770951 | | | 1.00% | | | | Quarterly | | | | 12/20/2029 | | | | 18,090 | | | | (535 | ) | | | (480 | ) | | | (55 | ) |
| | | | | | | | | | | | | | | | | | | $ | (1,144 | ) | | $ | (1,090 | ) | | $ | (54 | ) |
Credit Default Swap - Sell Protection | | | |
Reference Entity/ Obligation | | Receive Rate | | | Payment Frequency | | | Termination Date | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
CDX.NA.IG.S43.V1-5Y | | | 1.00% | | | | Quarterly | | | | 12/20/2029 | | | $ | 14,530 | | | $ | 323 | | | $ | 328 | | | $ | (5 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest Rate Swaps |
Fund Pays | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
3.146% | | | CPI | | | | Annually | | | | 01/15/2027 | | | | USD | | | | 6,000 | | | $ | 1,074 | | | $ | – | | | $ | 1,074 | |
1.4725% | | | SOFR | | | | Annually | | | | 11/09/2026 | | | | USD | | | | 1,490 | | | | 60 | | | | 82 | | | | (22 | ) |
1.455% | | | SOFR | | | | Annually | | | | 11/08/2026 | | | | USD | | | | 1,490 | | | | 60 | | | | 83 | | | | (23 | ) |
1.3945% | | | SOFR | | | | Annually | | | | 05/21/2031 | | | | USD | | | | 18,720 | | | | 2,095 | | | | 2,459 | | | | (364 | ) |
1.98% | | | SOFR | | | | Annually | | | | 07/12/2027 | | | | USD | | | | 1,075 | | | | 39 | | | | 50 | | | | (11 | ) |
2.28% | | | SOFR | | | | Annually | | | | 05/18/2025 | | | | USD | | | | 2,820 | | | | 34 | | | | 37 | | | | (3 | ) |
1.27% | | | SOFR | | | | Annually | | | | 09/27/2029 | | | | USD | | | | 2,230 | | | | 204 | | | | 224 | | | | (20 | ) |
1.965% | | | SOFR | | | | Annually | | | | 06/04/2029 | | | | USD | | | | 4,220 | | | | 238 | | | | 283 | | | | (45 | ) |
0.316% | | | SOFR | | | | Annually | | | | 06/05/2027 | | | | USD | | | | 15,800 | | | | 1,225 | | | | 1,360 | | | | (135 | ) |
2.21% | | | SOFR | | | | Annually | | | | 04/04/2027 | | | | USD | | | | 10,400 | | | | 291 | | | | 398 | | | | (107 | ) |
1.33% | | | SOFR | | | | Annually | | | | 10/25/2026 | | | | USD | | | | 6,110 | | | | 256 | | | | 307 | | | | (51 | ) |
1.92% | | | SOFR | | | | Annually | | | | 08/04/2025 | | | | USD | | | | 2,717 | | | | 46 | | | | 53 | | | | (7 | ) |
2.51% | | | SOFR | | | | Annually | | | | 06/09/2025 | | | | USD | | | | 1,710 | | | | 19 | | | | 22 | | | | (3 | ) |
1.8% | | | SOFR | | | | Annually | | | | 04/21/2025 | | | | USD | | | | 2,760 | | | | 38 | | | | 40 | | | | (2 | ) |
2.4% | | | SOFR | | | | Annually | | | | 11/10/2035 | | | | USD | | | | 1,190 | | | | 106 | | | | 103 | | | | 3 | |
| | | | | | | | | | | | | | | | | | | | | | | $ | 5,785 | | | $ | 5,501 | | | $ | 284 | |
As of September 30, 2024, the open Reverse Repurchase Agreements held by the Fund are listed below: |
| | Principal Amount ($ Thousands) | | Counterparty | | Rate | | | Value ($ Thousands) | |
| | $ | (6,394 | ) | Chase Securities | | | 4.94 % | | | $ | (6,394 | ) |
| | | (7,605 | ) | Chase Securities | | | 4.94 % | | | | (7,605 | ) |
| | | (17,255 | ) | Chase Securities | | | 4.94 % | | | | (17,255 | ) |
| | | (1,436 | ) | Chase Securities | | | 4.94 % | | | | (1,436 | ) |
| | | (6,608 | ) | Chase Securities | | | 4.94 % | | | | (6,608 | ) |
| | | (8,566 | ) | Chase Securities | | | 4.94 % | | | | (8,566 | ) |
| | | (11,504 | ) | Chase Securities | | | 4.94 % | | | | (11,504 | ) |
| | | (11,870 | ) | Chase Securities | | | 4.94 % | | | | (11,870 | ) |
| | | | | | | | | | | $ | (71,238 | ) |
For the year ended September 30, 2024, the daily average borrowing and interest rate under the reverse repurchase agreements were $76,987 ($ Thousands) and 5.33%, respectively.
| Percentages are based on Net Assets of $580,285 ($ Thousands). |
^ | Security, or a portion thereof, is held by the Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2024. |
* | Non-income producing security. |
‡ | Real Estate Investment Trust. |
‡‡ | Expiration date not available. |
(A) | Interest rate represents the security's effective yield at the time of purchase. |
(B) | Security, or a portion thereof, has been pledged as collateral on reverse repurchase agreements. The total market value of such securities as of September 30, 2024 was 75,704 ($ Thousands). |
(C) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(D) | Security, or portion thereof, has been pledged as collateral on securities sold short. The total market value of such securities as of September 30, 2024 was 55,785 ($ Thousands). |
(E) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2024, the value of these securities amounted to $63,816 ($ Thousands), representing 11.0% of the Net Assets of the Fund. |
(F) | Security is in default on interest payment. |
(G) | Perpetual security with no stated maturity date. |
(H) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. The total market value of such securities as of September 30, 2024 was 4,784 ($ Thousands). |
| | |
SEI Institutional Managed Trust
CONSOLIDATED SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Inflation Managed Fund (Concluded)
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
U.S. Treasury Obligations | | | – | | | | 361,556 | | | | – | | | | 361,556 | |
Common Stock | | | 164,624 | | | | – | | | | – | | | | 164,624 | |
Corporate Obligations | | | – | | | | 52,104 | | | | – | | | | 52,104 | |
Mortgage-Backed Securities | | | – | | | | 25,429 | | | | – | | | | 25,429 | |
Asset-Backed Securities | | | – | | | | 24,015 | | | | – | | | | 24,015 | |
U.S. Government Agency Obligations | | | – | | | | 10,027 | | | | – | | | | 10,027 | |
Sovereign Debt | | | – | | | | 1,355 | | | | – | | | | 1,355 | |
Foreign Common Stock | | | 1,206 | | | | – | | | | – | | | | 1,206 | |
Rights | | | – | | | | – | | | | – | | | | – | |
Total Investments in Securities | | | 165,830 | | | | 474,486 | | | | – | | | | 640,316 | |
| | | | | | | | | |
Securities Sold Short | | | | | | | | | | | | | | | | |
Common Stock | | | (77,104 | ) | | | – | | | | – | | | | (77,104 | ) |
Foreign Common Stock | | | (427 | ) | | | – | | | | – | | | | (427 | ) |
Total Securities Sold Short | | | (77,531 | ) | | | – | | | | – | | | | (77,531 | ) |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 5,323 | | | | – | | | | – | | | | 5,323 | |
| | Unrealized Depreciation | | | (2,257 | ) | | | – | | | | – | | | | (2,257 | ) |
| | Forward Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Depreciation | | | – | | | | (38 | ) | | | – | | | | (38 | ) |
| | Centrally Cleared Swaps | | | | | | | | | | | | | | | | |
| | Credit Default Swaps* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 5 | | | | – | | | | 5 | |
| | Unrealized Depreciation | | | – | | | | (64 | ) | | | – | | | | (64 | ) |
| | Interest Rate Swaps* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 1,077 | | | | – | | | | 1,077 | |
| | Unrealized Depreciation | | | – | | | | (793 | ) | | | – | | | | (793 | ) |
| | Reverse Repurchase Agreements | | | – | | | | (71,238 | ) | | | – | | | | (71,238 | ) |
Total Other Financial Instruments | | | 3,066 | | | | (71,051 | ) | | | – | | | | (67,985 | ) |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Capital Stability Fund
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
U.S. TREASURY OBLIGATIONS — 40.5% |
U.S. Treasury Bills | | | | | | | | |
5.271%, 10/10/2024 (A) | | $ | 9,500 | | | $ | 9,489 | |
5.225%, 10/24/2024 (A) | | | 80,000 | | | | 79,759 | |
5.182%, 10/31/2024 (A)(B) | | | 44,600 | | | | 44,426 | |
U.S. Treasury Inflation Protected Securities | | | | | | | | |
3.875%, 04/15/2029 | | | 451 | | | | 497 | |
3.625%, 04/15/2028 | | | 1,984 | | | | 2,126 | |
3.375%, 04/15/2032 | | | 496 | | | | 560 | |
2.500%, 01/15/2029 | | | 1,559 | | | | 1,626 | |
2.375%, 01/15/2027 | | | 608 | | | | 618 | |
2.375%, 10/15/2028 | | | 2,079 | | | | 2,159 | |
2.125%, 04/15/2029 | | | 2,597 | | | | 2,668 | |
2.000%, 01/15/2026 | | | 3,225 | | | | 3,219 | |
1.875%, 07/15/2034 | | | 2,225 | | | | 2,280 | |
1.750%, 01/15/2028 | | | 3,996 | | | | 4,028 | |
1.750%, 01/15/2034 | | | 3,555 | | | | 3,595 | |
1.625%, 10/15/2027 | | | 1,773 | | | | 1,784 | |
1.375%, 07/15/2033 | | | 2,950 | | | | 2,908 | |
1.250%, 04/15/2028 | | | 3,075 | | | | 3,045 | |
1.125%, 01/15/2033 | | | 3,051 | | | | 2,944 | |
0.875%, 01/15/2029 | | | 1,781 | | | | 1,739 | |
0.750%, 07/15/2028 | | | 1,935 | | | | 1,892 | |
0.625%, 01/15/2026 | | | 2,948 | | | | 2,891 | |
0.625%, 07/15/2032 | | | 3,323 | | | | 3,111 | |
0.500%, 01/15/2028 | | | 1,482 | | | | 1,435 | |
0.375%, 01/15/2027 | | | 917 | | | | 890 | |
0.375%, 07/15/2027 | | | 2,029 | | | | 1,973 | |
0.250%, 07/15/2029 | | | 1,852 | | | | 1,757 | |
0.125%, 10/15/2025 | | | 618 | | | | 606 | |
0.125%, 10/15/2025 | | | 59 | | | | 58 | |
0.125%, 04/15/2026 | | | 1,775 | | | | 1,726 | |
0.125%, 07/15/2026 | | | 2,499 | | | | 2,436 | |
0.125%, 10/15/2026 | | | 2,584 | | | | 2,512 | |
0.125%, 04/15/2027 | | | 2,047 | | | | 1,971 | |
0.125%, 01/15/2030 | | | 2,734 | | | | 2,551 | |
0.125%, 07/15/2030 | | | 2,500 | | | | 2,325 | |
0.125%, 01/15/2031 | | | 3,245 | | | | 2,982 | |
0.125%, 07/15/2031 | | | 3,268 | | | | 2,990 | |
0.125%, 01/15/2032 | | | 2,427 | | | | 2,193 | |
| | | | | |
Total U.S. Treasury Obligations | | | | |
(Cost $203,933) ($ Thousands) | | | 205,769 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
COMMERCIAL PAPER — 36.2% |
Consumer Discretionary — 1.8% | | | | |
Brunswick Corporation | | | | | | | | |
5.356%, 10/04/2024 (A) | | | 650 | | | | 649 | |
Marriott International, Inc | | | | | | | | |
5.188%, 10/10/2024 (A) | | | 3,750 | | | | 3,745 | |
Parker-Hannifin Corp | | | | | | | | |
5.365%, 10/08/2024 (A) | | | 1,500 | | | | 1,498 | |
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
COMMERCIAL PAPER (continued) |
5.345%, 10/17/2024 (A) | | $ | 3,200 | | | $ | 3,193 | |
| | | | | | | | | |
| | | | | | | | 9,085 | |
| | | | | | | | | |
Energy — 1.1% | | | | |
Ovintiv Inc | | | | | | | | |
5.835%, 10/21/2024 (A) | | | 5,600 | | | | 5,582 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Financials — 17.1% | | | | |
Corporacion Andina De Formento | | | | | | | | |
5.385%, 10/01/2024 (A) | | | 8,950 | | | | 8,949 | |
4.849%, 10/07/2024 (A) | | | 850 | | | | 849 | |
Enel Finance America LLC | | | | | | | | |
5.577%, 10/10/2024 (A) | | | 1,300 | | | | 1,298 | |
General Motors Financial | | | | | | | | |
5.544%, 10/02/2024 (A) | | | 250 | | | | 250 | |
5.340%, 11/06/2024 (A) | | | 6,400 | | | | 6,367 | |
5.164%, 12/13/2024 (A) | | | 3,150 | | | | 3,118 | |
Hyundai Capital America | | | | | | | | |
4.994%, 10/25/2024 (A) | | | 9,350 | | | | 9,318 | |
Intesa Sanpaolo | | | | | | | | |
5.482%, 10/23/2024 (A) | | | 9,900 | | | | 9,867 | |
Manhattan Asset Funding | | | | | | | | |
5.161%, 10/21/2024 (A)(C) | | | 2,650 | | | | 2,642 | |
5.156%, 10/15/2012 (A)(C) | | | 7,150 | | | | 7,136 | |
Mitsubishi UFJ Financial Group, Inc | | | | | | | | |
5.216%, 10/03/2024 (A) | | | 9,000 | | | | 8,996 | |
Skandinaviska Enskilda Banken AB | | | | | | | | |
4.786%, 11/21/2024 (A) | | | 300 | | | | 298 | |
Societe Generale | | | | | | | | |
4.791%, 10/01/2024 (A) | | | 9,100 | | | | 9,099 | |
Sumitomo Mitsui Banking Corporation | | | | | | | | |
5.113%, 10/04/2024 (A) | | | 8,850 | | | | 8,845 | |
VW Credit Inc | | | | | | | | |
5.495%, 10/02/2024 (A) | | | 650 | | | | 649 | |
5.452%, 10/01/2024 (A) | | | 8,400 | | | | 8,399 | |
5.023%, 10/30/2024 (A) | | | 750 | | | | 747 | |
| | | | | | | | | |
| | | | | | | | 86,827 | |
| | | | | | | | | |
Health Care — 3.9% | | | | |
Becton, Dickinson and Company | | | | | | | | |
4.839%, 11/25/2024 (A) | | | 9,850 | | | | 9,775 | |
DENTSPLY SIRONA Inc | | | | | | | | |
5.381%, 10/28/2024 (A) | | | 9,650 | | | | 9,609 | |
The Cigna Group | | | | | | | | |
5.010%, 10/10/2024 (A) | | | 200 | | | | 200 | |
| | | | | | | | | |
| | | | | | | | 19,584 | |
| | | | | | | | | |
Industrials — 1.9% | | | | |
Mitsubishi Corporation | | | | | | | | |
5.206%, 10/11/2024 (A) | | | 7,350 | | | | 7,339 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Capital Stability Fund (Continued)
| | | | | | | |
Description | | Face Amount
(Thousands) | | | Market Value
($ Thousands) | |
COMMERCIAL PAPER (continued) |
5.162%, 10/10/2024 (A) | | $ | 2,500 | | | $ | 2,497 | |
| | | | | | | | | |
| | | | | | | | 9,836 | |
| | | | | | | | | |
Materials — 3.9% | | | | |
Glencore plc | | | | | | | | |
5.303%, 10/16/2024 (A) | | | 9,600 | | | | 9,579 | |
4.974%, 10/17/2024 (A) | | | 250 | | | | 249 | |
Nutrien Ltd | | | | | | | | |
5.393%, 10/02/2024 (A) | | | 4,150 | | | | 4,149 | |
5.358%, 10/11/2024 (A) | | | 3,450 | | | | 3,445 | |
4.943%, 10/29/2024 (A) | | | 1,050 | | | | 1,046 | |
4.926%, 11/15/2024 (A) | | | 1,200 | | | | 1,192 | |
| | | | | | | | | |
| | | | | | | | 19,660 | |
| | | | | | | | | |
Technology — 0.9% | | | | |
Fortive Corporation | | | | | | | | |
5.220%, 10/10/2024 (A) | | | 4,600 | | | | 4,594 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
Utilities — 5.6% | | | | |
Brookfield Infrastructure | | | | | | | | |
5.530%, 10/09/2024 (A) | | | 9,850 | | | | 9,838 | |
Entergy Corporation | | | | | | | | |
4.882%, 11/12/2024 (A) | | | 9,350 | | | | 9,294 | |
Oglethorpe Power | | | | | | | | |
5.363%, 10/03/2024 (A) | | | 9,500 | | | | 9,496 | |
| | | | | | | | | |
| | | | | | | | 28,628 | |
| | | | | | | | | |
Total Commercial Paper | | | | |
(Cost $183,814) ($ Thousands) | | | 183,796 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
SOVEREIGN DEBT — 15.3% |
| | | | | | | | | |
Japan Treasury Discount Bill | | | | | | | | |
0.079%, 11/25/2024(A) | | JPY | 11,134,000 | | | | 77,831 | |
| | | | | | | | | |
Total Sovereign Debt | | | | | | | | |
| | | | | | | | | |
(Cost $77,176) ($ Thousands) | | | 77,831 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.3% |
FHLB | | | | | | | | |
4.500%, 03/10/2028 | | $ | 5,160 | | | | 5,310 | |
3.250%, 11/16/2028 | | | 6,200 | | | | 6,128 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | |
Total U.S. Government Agency Obligations | | | | |
(Cost $11,258) ($ Thousands) | | | 11,438 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | |
Description | | Shares | | | Market Value
($ Thousands) | |
REGISTERED INVESTMENT COMPANIES — 1.2% |
iShares China Large-Cap ETF | | | 9,469 | | | $ | 301 | |
Vanguard Intermediate-Term Corporate Bond ETF | | | 3,901 | | | | 327 | |
Vanguard Long-Term Corporate Bond ETF | | | 1,397 | | | | 113 | |
Vanguard Mortgage-Backed Securities ETF | | | 112,390 | | | | 5,306 | |
Xtrackers Harvest CSI 300 China A-Shares ETF | | | 8,471 | | | | 242 | |
| | | | | | | | | |
Total Registered Investment Companies | | | | | | | | |
(Cost $6,039) ($ Thousands) | | | | | | | 6,289 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
COMMON STOCK — 0.9% |
| | | | | | | | | |
Communication Services — 0.3% | | | | |
Alphabet Inc, Cl C | | | 3,859 | | | | 645 | |
Meta Platforms Inc, Cl A | | | 1,292 | | | | 740 | |
| | | | | | | | | |
| | | | | | | | 1,385 | |
Consumer Discretionary — 0.2% | | | | |
Amazon.com Inc, Cl A * | | | 3,882 | | | | 723 | |
| | | | | | | | | |
| | | | | | | | | |
Information Technology — 0.4% | | | | |
Microsoft Corp | | | 1,591 | | | | 685 | |
NVIDIA Corp | | | 12,394 | | | | 1,505 | |
| | | | | | | | | |
| | | | | | | | 2,190 | |
Total Common Stock | | | | | | | | |
(Cost $3,963) ($ Thousands) | | | | | | | 4,298 | |
| | | | | | | | | |
PURCHASED OPTIONS — 0.2% |
Total Purchased Options | | | | | | | | |
(Cost $1,532) ($ Thousands) | | | | | | | 1,213 | |
| | | | | | | | | |
Total Investments in Securities — 96.6% | | | | | | | | |
(Cost $487,715) ($ Thousands) | | $ | 490,634 | |
| | | | | | | | | |
| | | | | | | | | |
WRITTEN OPTIONS — (0.0)% |
Total Written Options | | | | | | | | |
(Premiums Received $369) ($ Thousands) | | | | | | $ | (107 | ) |
| | | | | | | | | |
| | | | | | | | | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Capital Stability Fund (Continued)
A list of open exchange traded options contracts for the Fund at September 30, 2024, is as follows: |
Description | | Number of Contracts | | | Notional Amount
(Thousands) | | | Exercise Price | | | Expiration Date | | | Value
(Thousands) | |
PURCHASED OPTIONS — 0.2% | | | | | | | | | | | | | | | | |
Put Options | | | | | | | | | | | | | | | | | | | | |
NASDAQ 100 Index | | | 5 | | | $ | 9,550 | | | $ | 19,100.00 | | | | 12/21/2024 | | | $ | 188 | |
NASDAQ 100 Index | | | 8 | | | | 15,520 | | | | 19,400.00 | | | | 10/19/2024 | | | | 112 | |
SPDR S&P 500 ETF Trust | | | 12 | | | | 7,200 | | | | 6,000.00 | | | | 12/20/2025 | | | | 485 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 32,270 | | | | | | | | | | | | 785 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Call Options | | | | | | | | | | | | | | | | | | | | |
SPDR S&P 500 ETF Trust | | | 12 | | | | 7,200 | | | | 6,000.00 | | | | 12/20/2025 | | | | 428 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options | | | | | | $ | 39,470 | | | | | | | | | | | $ | 1,213 | |
WRITTEN OPTIONS — 0.0% | | | | | | | | | | | | | | | | |
Put Options | | | | | | | | | | | | | | | | | | | | |
NASDAQ 100 Index | | | (8 | ) | | $ | (14,240 | ) | | | 17,800.00 | | | | 10/19/2024 | | | $ | (14 | ) |
NASDAQ 100 Index | | | (5 | ) | | | (8,900 | ) | | | 17,800.00 | | | | 12/21/2024 | | | | (90 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (23,140 | ) | | | | | | | | | | | (104 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Call Options | | | | | | | | | | | | | | | | | | | | |
NASDAQ 100 Index | | | (8 | ) | | | (17,440 | ) | | | 21,800.00 | | | | 10/19/2024 | | | | (3 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Total Written Options | | | | | | $ | (40,580 | ) | | | | | | | | | | $ | (107 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
A list of the open futures contracts held by the Fund at September 30, 2024, is as follows: |
| |
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
Amsterdam Index | | | 14 | | | | Oct-2024 | | | $ | 2,815 | | | $ | 2,850 | | | $ | 26 | |
Australian 10-Year Bond | | | 16 | | | | Dec-2024 | | | | 1,243 | | | | 1,292 | | | | (8 | ) |
CAC40 10 Euro Index | | | 20 | | | | Oct-2024 | | | | 1,671 | | | | 1,708 | | | | 32 | |
Canadian 10-Year Bond | | | 133 | | | | Dec-2024 | | | | 12,263 | | | | 12,308 | | | | 71 | |
DAX Index | | | 2 | | | | Dec-2024 | | | | 1,053 | | | | 1,088 | | | | 32 | |
Euro STOXX 50 | | | 34 | | | | Dec-2024 | | | | 1,862 | | | | 1,908 | | | | 42 | |
Euro-Bobl | | | 35 | | | | Dec-2024 | | | | 4,680 | | | | 4,690 | | | | 11 | |
Euro-OAT | | | 8 | | | | Dec-2024 | | | | 1,124 | | | | 1,133 | | | | 6 | |
FTSE 100 Index | | | 50 | | | | Dec-2024 | | | | 5,526 | | | | 5,559 | | | | (60 | ) |
FTSE MIB Index | | | 3 | | | | Dec-2024 | | | | 565 | | | | 572 | | | | 6 | |
IBEX | | | 12 | | | | Oct-2024 | | | | 1,567 | | | | 1,592 | | | | 20 | |
Long Gilt 10-Year Bond | | | 50 | | | | Dec-2024 | | | | 6,539 | | | | 6,602 | | | | (51 | ) |
MSCI EAFE Index | | | 119 | | | | Dec-2024 | | | | 14,507 | | | | 14,811 | | | | 304 | |
MSCI Emerging Markets | | | 260 | | | | Dec-2024 | | | | 14,378 | | | | 15,267 | | | | 889 | |
NASDAQ 100 Index E-MINI | | | 15 | | | | Dec-2024 | | | | 5,910 | | | | 6,078 | | | | 168 | |
Nikkei 225 Index | | | 86 | | | | Dec-2024 | | | | 2,206 | | | | 2,282 | | | | 69 | |
OMX Stockholm 30 | | | 84 | | | | Oct-2024 | | | | 2,128 | | | | 2,176 | | | | 41 | |
Russell 2000 Index E-MINI | | | 24 | | | | Dec-2024 | | | | 2,660 | | | | 2,699 | | | | 39 | |
S&P 500 Index E-MINI | | | 121 | | | | Dec-2024 | | | | 34,416 | | | | 35,176 | | | | 760 | |
S&P Mid Cap 400 Index E-MINI | | | 10 | | | | Dec-2024 | | | | 3,037 | | | | 3,148 | | | | 111 | |
S&P TSX 60 Index | | | 14 | | | | Dec-2024 | | | | 2,929 | | | | 2,993 | | | | 46 | |
SPI 200 Index | | | 68 | | | | Dec-2024 | | | | 9,419 | | | | 9,795 | | | | 133 | |
TOPIX Index | | | 3 | | | | Dec-2024 | | | | 541 | | | | 555 | | | | 16 | |
U.S. 2-Year Treasury Note | | | 55 | | | | Dec-2024 | | | | 11,483 | | | | 11,453 | | | | (30 | ) |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Capital Stability Fund (Continued)
Type of Contract | | Number of
Contracts | | | Expiration Date | | | Notional Amount (Thousands) | | | Value
(Thousands) | | | Unrealized Appreciation
(Depreciation)(Thousands) | |
U.S. 5-Year Treasury Note | | | 291 | | | | Dec-2024 | | | $ | 31,889 | | | $ | 31,976 | | | $ | 87 | |
U.S. 5-Year Treasury Note | | | 176 | | | | Dec-2024 | | | | 19,364 | | | | 19,340 | | | | (24 | ) |
U.S. 10-Year Treasury Note | | | 58 | | | | Dec-2024 | | | | 6,629 | | | | 6,628 | | | | (1 | ) |
U.S. 10-Year Treasury Note | | | 206 | | | | Dec-2024 | | | | 23,524 | | | | 23,542 | | | | 18 | |
| | | | | | | | | | | | 225,928 | | | | 229,221 | | | | 2,753 | |
Short Contracts | | | | | | | | | | | | | | | | | | | | |
S&P TSX 60 Index | | | (6) | | | | Dec-2024 | | | $ | (1,279 | ) | | $ | (1,283 | ) | | $ | (5 | ) |
SPI 200 Index | | | (12) | | | | Dec-2024 | | | | (1,654 | ) | | | (1,729 | ) | | | (25 | ) |
| | | | | | | | | | | | (2,933 | ) | | | (3,012 | ) | | | (30 | ) |
| | | | | | | | | | | $ | 222,995 | | | $ | 226,209 | | | $ | 2,723 | |
A list of the open forward foreign currency contracts held by the Fund at September 30, 2024, is as follows: |
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Bank of America | | | 11/07/24 | | | | USD | | | | 2,638 | | | | CAD | | | | 3,577 | | | $ | 12 | |
Bank of America | | | 11/08/24 | | | | CLP | | | | 551,965 | | | | USD | | | | 582 | | | | (33 | ) |
Bank of America | | | 11/21/24 | | | | USD | | | | 779 | | | | CNY | | | | 5,417 | | | | (1 | ) |
Bank of America | | | 11/22/24 | | | | TWD | | | | 22,378 | | | | USD | | | | 702 | | | | (11 | ) |
Barclays PLC | | | 10/25/24 | | | | USD | | | | 327 | | | | IDR | | | | 4,974,768 | | | | — | |
Barclays PLC | | | 11/07/24 | | | | CAD | | | | 817 | | | | USD | | | | 607 | | | | 2 | |
Barclays PLC | | | 11/08/24 | | | | COP | | | | 1,246,778 | | | | USD | | | | 299 | | | | 1 | |
Barclays PLC | | | 11/21/24 | | | | USD | | | | 261 | | | | BRL | | | | 1,426 | | | | (1 | ) |
Barclays PLC | | | 11/27/24 | | | | JPY | | | | 11,153,000 | | | | USD | | | | 78,048 | | | | (548 | ) |
Barclays PLC | | | 12/11/24 | | | | USD | | | | 521 | | | | MXN | | | | 10,200 | | | | (6 | ) |
Brown Brothers Harriman | | | 10/17/24 | | | | USD | | | | 1,186 | | | | ZAR | | | | 21,197 | | | | 42 | |
Brown Brothers Harriman | | | 10/17/24 | | | | USD | | | | 948 | | | | JPY | | | | 137,869 | | | | 18 | |
Brown Brothers Harriman | | | 10/17/24 | | | | USD | | | | 735 | | | | JPY | | | | 104,694 | | | | (1 | ) |
Brown Brothers Harriman | | | 10/17/24 | | | | ZAR | | | | 2,064 | | | | USD | | | | 121 | | | | 1 | |
Brown Brothers Harriman | | | 10/17/24 | | | | ZAR | | | | 9,026 | | | | USD | | | | 505 | | | | (18 | ) |
Brown Brothers Harriman | | | 10/17/24 | | | | JPY | | | | 165,666 | | | | USD | | | | 1,172 | | | | 11 | |
Brown Brothers Harriman | | | 10/17/24 | | | | JPY | | | | 226,707 | | | | USD | | | | 1,565 | | | | (24 | ) |
Brown Brothers Harriman | | | 10/18/24 | | | | SGD | | | | 456 | | | | USD | | | | 341 | | | | (16 | ) |
Brown Brothers Harriman | | | 10/25/24 | | | | USD | | | | 689 | | | | CHF | | | | 588 | | | | 10 | |
Brown Brothers Harriman | | | 10/25/24 | | | | USD | | | | 158 | | | | CHF | | | | 133 | | | | — | |
Brown Brothers Harriman | | | 10/25/24 | | | | CHF | | | | 335 | | | | USD | | | | 400 | | | | 2 | |
Brown Brothers Harriman | | | 10/25/24 | | | | CHF | | | | 1,242 | | | | USD | | | | 1,469 | | | | (8 | ) |
Brown Brothers Harriman | | | 10/25/24 | | | | EUR | | | | 205 | | | | USD | | | | 230 | | | | — | |
Brown Brothers Harriman | | | 10/25/24 | | | | EUR | | | | 2,220 | | | | USD | | | | 2,443 | | | | (37 | ) |
Brown Brothers Harriman | | | 10/25/24 | | | | USD | | | | 3,710 | | | | EUR | | | | 3,334 | | | | 15 | |
Brown Brothers Harriman | | | 10/25/24 | | | | USD | | | | 1,033 | | | | EUR | | | | 924 | | | | (1 | ) |
Brown Brothers Harriman | | | 11/07/24 | | | | USD | | | | 869 | | | | CAD | | | | 1,177 | | | | 4 | |
Brown Brothers Harriman | | | 11/07/24 | | | | USD | | | | 1,073 | | | | CAD | | | | 1,444 | | | | (3 | ) |
Brown Brothers Harriman | | | 11/07/24 | | | | CAD | | | | 136 | | | | USD | | | | 101 | | | | — | |
Brown Brothers Harriman | | | 11/07/24 | | | | CAD | | | | 2,247 | | | | USD | | | | 1,657 | | | | (8 | ) |
Brown Brothers Harriman | | | 11/08/24 | | | | USD | | | | 774 | | | | GBP | | | | 586 | | | | 12 | |
Brown Brothers Harriman | | | 11/08/24 | | | | GBP | | | | 1,952 | | | | USD | | | | 2,573 | | | | (44 | ) |
Brown Brothers Harriman | | | 11/21/24 | | | | USD | | | | 806 | | | | CNY | | | | 5,630 | | | | 2 | |
Brown Brothers Harriman | | | 11/21/24 | | | | USD | | | | 675 | | | | CZK | | | | 15,336 | | | | 5 | |
Brown Brothers Harriman | | | 11/21/24 | | | | USD | | | | 236 | | | | CZK | | | | 5,312 | | | | (1 | ) |
Brown Brothers Harriman | | | 11/21/24 | | | | USD | | | | 813 | | | | HUF | | | | 293,122 | | | | 10 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Capital Stability Fund (Continued)
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Brown Brothers Harriman | | | 11/21/24 | | | | USD | | | | 104 | | | | HUF | | | | 36,708 | | | $ | (1 | ) |
Brown Brothers Harriman | | | 11/21/24 | | | | USD | | | | 1,089 | | | | PLN | | | | 4,231 | | | | 13 | |
Brown Brothers Harriman | | | 11/21/24 | | | | CZK | | | | 1,651 | | | | USD | | | | 73 | | | | (1 | ) |
Brown Brothers Harriman | | | 11/21/24 | | | | USD | | | | 1,839 | | | | THB | | | | 60,965 | | | | 63 | |
Brown Brothers Harriman | | | 11/21/24 | | | | HUF | | | | 47,834 | | | | USD | | | | 134 | | | | — | |
Brown Brothers Harriman | | | 11/21/24 | | | | HUF | | | | 162,757 | | | | USD | | | | 452 | | | | (4 | ) |
Brown Brothers Harriman | | | 11/22/24 | | | | USD | | | | 448 | | | | SEK | | | | 4,529 | | | | — | |
Brown Brothers Harriman | | | 11/22/24 | | | | AUD | | | | 1,291 | | | | USD | | | | 885 | | | | (12 | ) |
Brown Brothers Harriman | | | 11/22/24 | | | | USD | | | | 2,293 | | | | AUD | | | | 3,380 | | | | 54 | |
Brown Brothers Harriman | | | 11/22/24 | | | | NOK | | | | 3,924 | | | | USD | | | | 376 | | | | 3 | |
Brown Brothers Harriman | | | 11/22/24 | | | | SEK | | | | 5,721 | | | | USD | | | | 563 | | | | (3 | ) |
Brown Brothers Harriman | | | 12/06/24 | | | | NZD | | | | 791 | | | | USD | | | | 500 | | | | (3 | ) |
Brown Brothers Harriman | | | 12/06/24 | | | | USD | | | | 1,264 | | | | NZD | | | | 2,000 | | | | 8 | |
Brown Brothers Harriman | | | 12/11/24 | | | | USD | | | | 1,011 | | | | MXN | | | | 19,763 | | | | (13 | ) |
Brown Brothers Harriman | | | 12/11/24 | | | | MXN | | | | 16,454 | | | | USD | | | | 842 | | | | 11 | |
Citigroup | | | 11/19/24 | | | | PHP | | | | 27,814 | | | | USD | | | | 478 | | | | (18 | ) |
Citigroup | | | 10/18/24 | | | | USD | | | | 468 | | | | KRW | | | | 631,029 | | | | 14 | |
Citigroup | | | 11/22/24 | | | | TWD | | | | 26,223 | | | | USD | | | | 828 | | | | (7 | ) |
Deutsche Bank | | | 10/17/24 | | | | USD | | | | 785 | | | | JPY | | | | 109,822 | | | | (15 | ) |
Deutsche Bank | | | 10/18/24 | | | | KRW | | | | 1,129,299 | | | | USD | | | | 846 | | | | (16 | ) |
Deutsche Bank | | | 10/25/24 | | | | USD | | | | 81 | | | | PHP | | | | 4,627 | | | | 2 | |
Deutsche Bank | | | 10/25/24 | | | | USD | | | | 220 | | | | IDR | | | | 3,501,656 | | | | 11 | |
Deutsche Bank | | | 10/25/24 | | | | EUR | | | | 458 | | | | USD | | | | 511 | | | | — | |
Deutsche Bank | | | 10/25/24 | | | | PHP | | | | 12,654 | | | | USD | | | | 226 | | | | — | |
Deutsche Bank | | | 10/25/24 | | | | PHP | | | | 18,894 | | | | USD | | | | 336 | | | | (1 | ) |
Deutsche Bank | | | 11/08/24 | | | | USD | | | | 267 | | | | PEN | | | | 1,005 | | | | 4 | |
Deutsche Bank | | | 11/08/24 | | | | USD | | | | 1,631 | | | | CLP | | | | 1,536,552 | | | | 80 | |
Deutsche Bank | | | 11/08/24 | | | | CLP | | | | 1,033,174 | | | | USD | | | | 1,097 | | | | (54 | ) |
Deutsche Bank | | | 11/21/24 | | | | USD | | | | 841 | | | | CNH | | | | 5,848 | | | | (1 | ) |
Deutsche Bank | | | 11/22/24 | | | | TWD | | | | 3,897 | | | | USD | | | | 125 | | | | 1 | |
Deutsche Bank | | | 12/06/24 | | | | USD | | | | 135 | | | | INR | | | | 11,403 | | | | — | |
Goldman Sachs | | | 10/02/24 | | | | USD | | | | 70 | | | | BRL | | | | 389 | | | | 1 | |
Goldman Sachs | | | 10/02/24 | | | | BRL | | | | 389 | | | | USD | | | | 71 | | | | — | |
Goldman Sachs | | | 10/17/24 | | | | USD | | | | 1,269 | | | | JPY | | | | 186,308 | | | | 37 | |
Goldman Sachs | | | 10/18/24 | | | | USD | | | | 63 | | | | KRW | | | | 87,496 | | | | 3 | |
Goldman Sachs | | | 10/18/24 | | | | KRW | | | | 1,012,443 | | | | USD | | | | 750 | | | | (23 | ) |
Goldman Sachs | | | 10/25/24 | | | | USD | | | | 696 | | | | EUR | | | | 625 | | | | 2 | |
Goldman Sachs | | | 10/25/24 | | | | USD | | | | 1,132 | | | | PHP | | | | 65,902 | | | | 43 | |
Goldman Sachs | | | 10/25/24 | | | | CHF | | | | 2,150 | | | | USD | | | | 2,544 | | | | (13 | ) |
Goldman Sachs | | | 10/25/24 | | | | USD | | | | 2,700 | | | | CHF | | | | 2,281 | | | | 13 | |
Goldman Sachs | | | 10/25/24 | | | | USD | | | | 3,498 | | | | IDR | | | | 56,526,112 | | | | 224 | |
Goldman Sachs | | | 10/25/24 | | | | PHP | | | | 44,488 | | | | USD | | | | 771 | | | | (22 | ) |
Goldman Sachs | | | 10/25/24 | | | | IDR | | | | 3,073,085 | | | | USD | | | | 203 | | | | — | |
Goldman Sachs | | | 10/25/24 | | | | IDR | | | | 25,164,455 | | | | USD | | | | 1,578 | | | | (79 | ) |
Goldman Sachs | | | 11/07/24 | | | | CAD | | | | 1,243 | | | | USD | | | | 921 | | | | — | |
Goldman Sachs | | | 11/08/24 | | | | PEN | | | | 447 | | | | USD | | | | 119 | | | | (1 | ) |
Goldman Sachs | | | 11/08/24 | | | | COP | | | | 671,085 | | | | USD | | | | 159 | | | | (1 | ) |
Goldman Sachs | | | 11/21/24 | | | | USD | | | | 1,401 | | | | MYR | | | | 6,081 | | | | 82 | |
Goldman Sachs | | | 11/21/24 | | | | MYR | | | | 14,289 | | | | USD | | | | 3,317 | | | | (167 | ) |
Goldman Sachs | | | 11/21/24 | | | | CNH | | | | 18,588 | | | | USD | | | | 2,662 | | | | (5 | ) |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Capital Stability Fund (Continued)
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Goldman Sachs | | | 11/22/24 | | | | SEK | | | | 5,369 | | | | USD | | | | 529 | | | $ | (3 | ) |
Goldman Sachs | | | 11/22/24 | | | | TWD | | | | 15,919 | | | | USD | | | | 505 | | | | (2 | ) |
Goldman Sachs | | | 12/06/24 | | | | USD | | | | 1,006 | | | | INR | | | | 84,397 | | | | (2 | ) |
HSBC | | | 10/25/24 | | | | IDR | | | | 20,345,311 | | | | USD | | | | 1,285 | | | | (54 | ) |
JPMorgan Chase Bank | | | 10/02/24 | | | | USD | | | | 158 | | | | BRL | | | | 880 | | | | 4 | |
JPMorgan Chase Bank | | | 10/02/24 | | | | BRL | | | | 880 | | | | USD | | | | 162 | | | | — | |
JPMorgan Chase Bank | | | 10/17/24 | | | | JPY | | | | 205,659 | | | | USD | | | | 1,415 | | | | (27 | ) |
JPMorgan Chase Bank | | | 10/18/24 | | | | USD | | | | 109 | | | | KRW | | | | 144,313 | | | | 2 | |
JPMorgan Chase Bank | | | 10/18/24 | | | | KRW | | | | 370,049 | | | | USD | | | | 271 | | | | (11 | ) |
JPMorgan Chase Bank | | | 10/25/24 | | | | USD | | | | 667 | | | | IDR | | | | 10,850,173 | | | | 47 | |
JPMorgan Chase Bank | | | 10/25/24 | | | | CHF | | | | 668 | | | | USD | | | | 790 | | | | (5 | ) |
JPMorgan Chase Bank | | | 10/25/24 | | | | EUR | | | | 804 | | | | USD | | | | 887 | | | | (11 | ) |
JPMorgan Chase Bank | | | 10/25/24 | | | | PHP | | | | 4,830 | | | | USD | | | | 86 | | | | — | |
JPMorgan Chase Bank | | | 10/25/24 | | | | IDR | | | | 1,183,332 | | | | USD | | | | 78 | | | | 1 | |
JPMorgan Chase Bank | | | 11/21/24 | | | | CZK | | | | 46,095 | | | | USD | | | | 2,030 | | | | (13 | ) |
JPMorgan Chase Bank | | | 12/06/24 | | | | USD | | | | 300 | | | | INR | | | | 25,270 | | | | 1 | |
JPMorgan Chase Bank | | | 12/06/24 | | | | INR | | | | 39,089 | | | | USD | | | | 466 | | | | 1 | |
JPMorgan Chase Bank | | | 12/06/24 | | | | INR | | | | 812 | | | | USD | | | | 10 | | | | — | |
Merrill Lynch | | | 10/02/24 | | | | USD | | | | 436 | | | | BRL | | | | 2,373 | | | | — | |
Merrill Lynch | | | 10/02/24 | | | | BRL | | | | 2,373 | | | | USD | | | | 419 | | | | (17 | ) |
Merrill Lynch | | | 10/18/24 | | | | USD | | | | 357 | | | | KRW | | | | 479,363 | | | | 9 | |
Merrill Lynch | | | 10/25/24 | | | | USD | | | | 821 | | | | EUR | | | | 733 | | | | (2 | ) |
Merrill Lynch | | | 10/25/24 | | | | USD | | | | 929 | | | | PHP | | | | 52,075 | | | | (1 | ) |
Merrill Lynch | | | 10/25/24 | | | | EUR | | | | 1,505 | | | | USD | | | | 1,671 | | | | (10 | ) |
Merrill Lynch | | | 10/25/24 | | | | PHP | | | | 15,782 | | | | USD | | | | 282 | | | | 1 | |
Merrill Lynch | | | 10/25/24 | | | | PHP | | | | 3,505 | | | | USD | | | | 62 | | | | — | |
Merrill Lynch | | | 11/07/24 | | | | USD | | | | 2,610 | | | | CAD | | | | 3,538 | | | | 11 | |
Merrill Lynch | | | 11/07/24 | | | | CAD | | | | 5,278 | | | | USD | | | | 3,891 | | | | (20 | ) |
Merrill Lynch | | | 11/08/24 | | | | USD | | | | 315 | | | | PEN | | | | 1,186 | | | | 4 | |
Merrill Lynch | | | 11/08/24 | | | | USD | | | | 564 | | | | CLP | | | | 504,859 | | | | (2 | ) |
Merrill Lynch | | | 11/08/24 | | | | USD | | | | 2,699 | | | | GBP | | | | 2,038 | | | | 34 | |
Merrill Lynch | | | 11/08/24 | | | | CLP | | | | 291,400 | | | | USD | | | | 320 | | | | (4 | ) |
Merrill Lynch | | | 11/08/24 | | | | COP | | | | 1,669,128 | | | | USD | | | | 401 | | | | 3 | |
Merrill Lynch | | | 11/22/24 | | | | USD | | | | 86 | | | | TWD | | | | 2,708 | | | | 1 | |
Merrill Lynch | | | 11/22/24 | | | | TWD | | | | 7,304 | | | | USD | | | | 233 | | | | — | |
Morgan Stanley | | | 10/18/24 | | | | USD | | | | 1,083 | | | | KRW | | | | 1,482,820 | | | | 49 | |
Morgan Stanley | | | 10/18/24 | | | | KRW | | | | 841,847 | | | | USD | | | | 614 | | | | (29 | ) |
Morgan Stanley | | | 10/25/24 | | | | USD | | | | 555 | | | | CHF | | | | 468 | | | | 2 | |
Morgan Stanley | | | 10/25/24 | | | | USD | | | | 1,608 | | | | EUR | | | | 1,467 | | | | 30 | |
Morgan Stanley | | | 10/25/24 | | | | EUR | | | | 3,034 | | | | USD | | | | 3,326 | | | | (64 | ) |
Morgan Stanley | | | 10/25/24 | | | | IDR | | | | 1,223,544 | | | | USD | | | | 77 | | | | (3 | ) |
Morgan Stanley | | | 11/08/24 | | | | USD | | | | 302 | | | | COP | | | | 1,268,405 | | | | — | |
Morgan Stanley | | | 11/08/24 | | | | USD | | | | 575 | | | | CLP | | | | 517,111 | | | | 1 | |
Morgan Stanley | | | 11/08/24 | | | | COP | | | | 1,348,775 | | | | USD | | | | 321 | | | | — | |
Morgan Stanley | | | 11/21/24 | | | | USD | | | | 2,391 | | | | MYR | | | | 10,574 | | | | 188 | |
Morgan Stanley | | | 11/21/24 | | | | MYR | | | | 3,676 | | | | USD | | | | 831 | | | | (66 | ) |
Morgan Stanley | | | 11/22/24 | | | | USD | | | | 1,200 | | | | NOK | | | | 12,695 | | | | 6 | |
Morgan Stanley | | | 11/22/24 | | | | AUD | | | | 1,275 | | | | USD | | | | 877 | | | | (8 | ) |
Morgan Stanley | | | 11/22/24 | | | | USD | | | | 1,652 | | | | SEK | | | | 16,766 | | | | 7 | |
Morgan Stanley | | | 11/22/24 | | | | SEK | | | | 16,233 | | | | USD | | | | 1,599 | | | | (7 | ) |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Capital Stability Fund (Concluded)
Counterparty | | Settlement Date | | | Currency to Deliver
(Thousands) | | | Currency to Receive
(Thousands) | | | Unrealized Appreciation
(Depreciation)
(Thousands) | |
Morgan Stanley | | | 11/22/24 | | | | TWD | | | | 63,233 | | | | USD | | | | 1,994 | | | $ | (20 | ) |
Standard Bank | | | 11/22/24 | | | | USD | | | | 786 | | | | TWD | | | | 25,022 | | | | 11 | |
UBS | | | 10/02/24 | | | | USD | | | | 201 | | | | BRL | | | | 1,104 | | | | 2 | |
UBS | | | 10/02/24 | | | | BRL | | | | 1,104 | | | | USD | | | | 203 | | | | — | |
UBS | | | 10/18/24 | | | | USD | | | | 829 | | | | KRW | | | | 1,117,228 | | | | 24 | |
UBS | | | 10/18/24 | | | | KRW | | | | 90,308 | | | | USD | | | | 69 | | | | — | |
UBS | | | 10/25/24 | | | | IDR | | | | 2,780,396 | | | | USD | | | | 181 | | | | (2 | ) |
UBS | | | 11/04/24 | | | | BRL | | | | 381 | | | | USD | | | | 70 | | | | — | |
UBS | | | 11/22/24 | | | | USD | | | | 2,125 | | | | TWD | | | | 67,159 | | | | 14 | |
UBS | | | 11/22/24 | | | | NOK | | | | 5,772 | | | | USD | | | | 548 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | $ | (335 | ) |
A list of the open OTC swap agreements held by the Fund at September 30, 2024 is as follows:
Total Return Swap |
Counterparty | | Reference Entity/ Obligation | | | Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional
Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/
Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
Goldman Sachs | | | Pay Gold EQ Index | | | | Goldman Sachs Weekly TY Volatility Carry Strategy | | | | Negative Index Return | | | | Quarterly | | | | 08/22/2025 | | | | USD | | | | 3,321 | | | $ | 117 | | | $ | – | | | $ | 117 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 117 | | | $ | – | | | $ | 117 | |
A list of the open centrally cleared swap agreements held by the Fund at September 30, 2024 is as follows:
Credit Default Swaps - Sell Protection | | | |
Reference Entity/ Obligation | | Receive Rate | | | Payment Frequency | | | Termination Date | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
CDX.NA.HY.S42.V1-5Y | | | 5.00% | | | | Quarterly | | | | 06/20/2029 | | | $ | 6,430 | | | $ | 494 | | | $ | 434 | | | $ | 60 | |
CDX.NA.IG.S42.V1-5Y | | | 1.00% | | | | Quarterly | | | | 12/20/2029 | | | | 5,370 | | | | 119 | | | | 120 | | | | (1 | ) |
ITRAXX.XOVER.S39.V1-5Y | | | 5.00% | | | | Quarterly | | | | 06/20/2028 | | | | 888 | | | | 93 | | | | 76 | | | | 17 | |
| | | | | | | | | | | | | | | | | | | $ | 706 | | | $ | 630 | | | $ | 76 | |
| | Interest Rate Swaps | |
| | Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
| | | | | | | 6-MONTH BBSW : AUD | | | | 4.2965% | | | | Semi-Annually | | | | 06/17/2034 | | | | AUD | | | | 1,380 | | | $ | 19 | | | $ | – | | | $ | 19 | |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 3.8722% | | | | Quarterly | | | | 09/23/2034 | | | | NZD | | | | 300 | | | | – | | | | – | | | | – | |
| | | | | | | 6:MONTH BBSW : AUD | | | | 4.0497% | | | | Semi-Annually | | | | 09/20/2034 | | | | AUD | | | | 240 | | | | – | | | | – | | | | – | |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 4.0457% | | | | Quarterly | | | | 09/04/2034 | | | | NZD | | | | 950 | | | | 8 | | | | – | | | | 8 | |
| | | | | | | 6:MONTH BBSW : AUD | | | | 4.1602% | | | | Semi-Annually | | | | 09/03/2034 | | | | AUD | | | | 1,090 | | | | 6 | | | | – | | | | 6 | |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 4.0797% | | | | Quarterly | | | | 08/22/2034 | | | | NZD | | | | 690 | | | | 2 | | | | – | | | | 2 | |
| | | | | | | 6:MONTH BBSW : AUD | | | | 4.0797% | | | | Semi-Annually | | | | 08/21/2034 | | | | AUD | | | | 700 | | | | 1 | | | | – | | | | 1 | |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 4.2997% | | | | Quarterly | | | | 07/12/2034 | | | | NZD | | | | 620 | | | | 14 | | | | – | | | | 14 | |
| | | | | | | 6:MONTH BBSW : AUD | | | | 4.4757% | | | | Semi-Annually | | | | 07/11/2034 | | | | AUD | | | | 570 | | | | 13 | | | | – | | | | 13 | |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 4.401% | | | | Quarterly | | | | 06/26/2034 | | | | NZD | | | | 1,000 | | | | 28 | | | | – | | | | 28 | |
| | | | | | | 6:MONTH BBSW : AUD | | | | 4.3965% | | | | Semi-Annually | | | | 06/25/2034 | | | | AUD | | | | 1,060 | | | | 20 | | | | – | | | | 20 | |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 4.371% | | | | Quarterly | | | | 06/18/2034 | | | | NZD | | | | 1,310 | | | | 34 | | | | – | | | | 34 | |
| | | | | | | 3:MONTH BKBM : NZD | | | | 3.8657% | | | | Quarterly | | | | 09/27/2034 | | | | NZD | | | | 550 | | | | (1 | ) | | | – | | | | (1 | ) |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 4.6% | | | | Quarterly | | | | 06/12/2034 | | | | NZD | | | | 1,570 | | | | 59 | | | | – | | | | 59 | |
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Multi-Asset Capital Stability Fund (Concluded)
| | Fund Pays | | | Fund Receives | | | Payment Frequency | | | Termination Date | | | Currency | | | Notional Amount
(Thousands) | | | Value
(Thousands) | | | Upfront Payments/ Receipts
(Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
(Thousands) | |
| | | | | | | 6:MONTH BBSW : AUD | | | | 4.496% | | | | Semi-Annually | | | | 06/12/2034 | | | | AUD | | | | 1,740 | | | $ | 43 | | | $ | – | | | $ | 43 | |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 4.47% | | | | Quarterly | | | | 05/21/2034 | | | | NZD | | | | 1,530 | | | | 48 | | | | – | | | | 48 | |
| | | | | | | 6:MONTH BBSW : AUD | | | | 4.429% | | | | Semi-Annually | | | | 05/20/2034 | | | | AUD | | | | 1,620 | | | | 34 | | | | – | | | | 34 | |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 4.595% | | | | Quarterly | | | | 05/14/2034 | | | | NZD | | | | 340 | | | | 13 | | | | – | | | | 13 | |
| | | | | | | 6:MONTH BBSW : AUD | | | | 4.559% | | | | Semi-Annually | | | | 05/13/2034 | | | | AUD | | | | 370 | | | | 10 | | | | – | | | | 10 | |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 4.5675% | | | | Quarterly | | | | 05/10/2034 | | | | NZD | | | | 280 | | | | 10 | | | | – | | | | 10 | |
| | | | | | | 6:MONTH BBSW : AUD | | | | 4.524% | | | | Semi-Annually | | | | 05/09/2034 | | | | AUD | | | | 290 | | | | 8 | | | | – | | | | 8 | |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 4.3625% | | | | Quarterly | | | | 03/12/2034 | | | | NZD | | | | 1,460 | | | | 37 | | | | – | | | | 37 | |
| | | | | | | 3:MONTH AUD : BBSW | | | | 4.2255% | | | | Semi-Annually | | | | 03/11/2034 | | | | AUD | | | | 1,560 | | | | 16 | | | | – | | | | 16 | |
| | | | | | | 6:MONTH BBSW - AUD | | | | 4.0342% | | | | Semi-Annually | | | | 09/26/2034 | | | | AUD | | | | 650 | | | | (1 | ) | | | – | | | | (1 | ) |
| | | | | | | 6:MONTH BBSW : AUD | | | | 4.178% | | | | Semi-Annually | | | | 12/28/2033 | | | | AUD | | | | 850 | | | | 7 | | | | – | | | | 7 | |
| | | | | | | 3:MONTH BBR FRA : (NZD) | | | | 4.178% | | | | Quarterly | | | | 12/29/2033 | | | | NZD | | | | 660 | | | | 11 | | | | – | | | | 11 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 439 | | | $ | – | | | $ | 439 | |
| Percentages are based on Net Assets of $507,841 ($ Thousands). |
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of September 30, 2024. |
(A) | Interest rate represents the security's effective yield at the time of purchase. |
(B) | Security, or a portion thereof, has been pledged as collateral on futures contracts. The total market value of such securities as of September 30, 2024 was 4,981 ($ thousands). |
(C) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2024, the value of these securities amounted to $9,778 ($ Thousands), representing 1.9% of the Net Assets of the Fund. |
The following is a summary of the level of inputs used as of September 30, 2024, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands): |
Investments in Securities | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
U.S. Treasury Obligations | | | – | | | | 205,769 | | | | – | | | | 205,769 | |
Commercial Paper | | | – | | | | 183,796 | | | | – | | | | 183,796 | |
Sovereign Debt | | | – | | | | 77,831 | | | | – | | | | 77,831 | |
U.S. Government Agency Obligations | | | – | | | | 11,438 | | | | – | | | | 11,438 | |
Registered Investment Companies | | | 6,289 | | | | – | | | | – | | | | 6,289 | |
Common Stock | | | 4,298 | | | | – | | | | – | | | | 4,298 | |
Purchased Options | | | 1,213 | | | | – | | | | – | | | | 1,213 | |
Total Investments in Securities | | | 11,800 | | | | 478,834 | | | | – | | | | 490,634 | |
Other Financial Instruments | | Level 1
($) | | | Level 2
($) | | | Level 3
($) | | | Total
($) | |
| | Written Options | | | (107 | ) | | | – | | | | – | | | | (107 | ) |
| | Futures Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | 2,927 | | | | – | | | | – | | | | 2,927 | |
| | Unrealized Depreciation | | | (204 | ) | | | – | | | | – | | | | (204 | ) |
| | Forward Contracts* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 1,269 | | | | – | | | | 1,269 | |
| | Unrealized Depreciation | | | – | | | | (1,604 | ) | | | – | | | | (1,604 | ) |
| | OTC Swap | | | | | | | | | | | | | | | | |
| | Total Return Swap* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 117 | | | | – | | | | 117 | |
| | Centrally Cleared Swaps | | | | | | | | | | | | | | | | |
| | Credit Default Swaps* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 77 | | | | – | | | | 77 | |
| | Unrealized Depreciation | | | – | | | | (1 | ) | | | – | | | | (1 | ) |
| | Interest Rate Swaps* | | | | | | | | | | | | | | | | |
| | Unrealized Appreciation | | | – | | | | 441 | | | | – | | | | 441 | |
| | Unrealized Depreciation | | | – | | | | (2 | ) | | | – | | | | (2 | ) |
Total Other Financial Instruments | | | 2,616 | | | | 297 | | | | – | | | | 2,913 | |
| | | | | | | | | | | | | | | | | | |
* | Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
See “Glossary” for abbreviations.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
SCHEDULE OF INVESTMENTS
September 30, 2024
Portfolio Abbreviations |
ABS — Asset-Backed Security |
ACWI — All Country World Index |
ADR — American Depositary Receipt |
AID — Agency for International Development |
BUBOR— Budapest Interbank Offered Rate |
CETIP— Central of Custody and Financial Settlement of Securities |
Cl — Class |
CLO — Collateralized Loan Obligation |
CMBX — Commercial Mortgage-Backed Index |
COP— Certificate of Participation |
CVR — Contingent Value Rights |
DAC — Designated Activity Company |
EAFE — Europe, Australasia and Far East |
ESG — Environmental, Social and Governance |
ETF — Exchange-Traded Fund |
FBIL — Financial Benchmarks India Pvt. Ltd. |
FNMA — Federal National Mortgage Association |
FREMF— Freddie Mac Multi-Family |
GDR — Global Depositary Receipt |
GMAC — General Motors Acceptance Corporation |
IBEX— Spanish Stock Exchange Index |
JIBAR— Johannesburg Interbank Agreed Rate |
JSC — Joint-Stock Company |
LIBOR — London Interbank Offered Rate |
LLC — Limited Liability Company |
L.P. — Limited Partnership |
LTD — Limited |
MIBOR — Mumbai InterBank Overnight Rate |
MSCI — Morgan Stanley Capital International |
MTN — Medium Term Note |
MXN - TIIE — Mexico Interbank 28-Day Interest Rate |
NVDR — Non-Voting Depository Receipt |
OTC — Over The Counter |
PJSC — Public Joint-Stock Company |
PRIBOR— Prague Interbank Offered Rate |
Ser — Series |
SOFR — Secured Overnight Financing Rate |
TONAR — Tokyo Overnight Average Rate |
WIBOR— Warsaw Interbank Offered Rate |
| |
Currency Abbreviations |
AUD — Australian Dollar |
BRL — Brazilian Real |
CAD — Canadian Dollar |
CHF — Swiss Franc |
CLP — Chilean Peso |
CNH — Chinese Yuan Offshore |
CNY — Chinese Yuan Onshore |
COP — Colombian Peso |
CZK — Czech Koruna |
DKK — Danish Krone |
EUR — Euro |
GBP — British Pound Sterling |
HKD — Hong Kong Dollar |
HUF — Hungarian Forint |
IDR — Indonesian Rupiah |
ILS — Israeli New Sheckels |
INR — Indian Rupee |
JPY — Japanese Yen |
KRW — Korean Won |
MXN — Mexican Peso |
MYR — Malaysian Ringgit |
NOK — Norwegian Krone |
NZD — New Zealand Dollar |
PEN — Peruvian Nuevo Sol |
PHP— Philippine Peso |
PLN — Polish Zloty |
RUB — Russian Ruble |
SEK — Swedish Krona |
SGD — Singapore Dollar |
THB — Thai Baht |
TWD — Taiwan Dollar |
USD — U.S. Dollar |
ZAR — South African Rand |
| |
SEI Institutional Managed Trust
(This page intentionally left blank)
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2024
| | | Large Cap Fund | | | Large Cap Value Fund | |
Assets: | | | | | | | | |
Investments, at value † | | $ | 1,633,281 | | | $ | 1,351,236 | |
Affiliated investments, at value †† | | | 15,864 | | | | 13,973 | |
Cash pledged as collateral on futures contracts | | | 278 | | | | 579 | |
Foreign currency, at value ††† | | | – | | | | – | |
Receivable for fund shares sold | | | 129 | | | | 222 | |
Receivable for investment securities sold | | | 3,661 | | | | – | |
Dividends and interest receivable | | | 1,241 | | | | 2,126 | |
OTC Swap contracts, at value †††† | | | – | | | | – | |
Receivable for Variation Margin on Futures Contracts | | | 15 | | | | 24 | |
Foreign tax reclaim receivable | | | 88 | | | | 327 | |
Prepaid expenses | | | 27 | | | | 21 | |
Total Assets | | | 1,654,584 | | | | 1,368,508 | |
Liabilities: | | | | | | | | |
Payable for fund shares redeemed | | | 1,196 | | | | 1,959 | |
Administration fees payable | | | 343 | | | | 322 | |
Shareholder servicing fees payable Class F | | | 318 | | | | 253 | |
Shareholder servicing fees payable Class I | | | – | | | | – | |
Due to custodian | | | 9 | | | | – | |
Payable for investment securities purchased | | | – | | | | – | |
Payable for Licensing fees | | | – | | | | – | |
Investment advisory fees payable | | | 483 | | | | 362 | |
Chief Compliance Officer fees payable | | | 7 | | | | 6 | |
Trustees fees payable | | | – | | | | – | |
Accrued expense payable | | | 103 | | | | 84 | |
Total Liabilities | | | 2,459 | | | | 2,986 | |
Net Assets | | $ | 1,652,125 | | | $ | 1,365,522 | |
† Cost of investments and repurchase agreements | | $ | 897,033 | | | $ | 876,227 | |
†† Cost of affiliated investments | | | 15,864 | | | | 13,973 | |
††† Cost of foreign currency | | | – | | | | – | |
†††† Cost (premiums received) | | | – | | | | – | |
| | | | | | | | | |
Amounts designated as "—" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2024
| | Large Cap Growth Fund | | | Large Cap Index Fund | | | Tax-Managed Large Cap Fund | | | S&P 500 Index Fund | | | Small Cap Fund | | | Small Cap Value Fund | | | Small Cap Growth Fund | | | Tax-Managed Small/Mid Cap Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,509,197 | | | $ | 1,160,689 | | | $ | 4,254,292 | | | $ | 1,008,110 | | | $ | 596,672 | | | $ | 363,266 | | | $ | 360,356 | | | $ | 877,546 | |
| | | 31,080 | | | | 21,825 | | | | 200,235 | | | | 19,985 | | | | 4,409 | | | | 3,908 | | | | 3,594 | | | | 9,349 | |
| | | 463 | | | | 1,219 | | | | 4,435 | | | | 1,110 | | | | 106 | | | | 160 | | | | 152 | | | | 165 | |
| | | – | | | | – | | | | 126 | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | 211 | | | | 183 | | | | 495 | | | | 125 | | | | 77 | | | | 76 | | | | 76 | | | | 105 | |
| | | 5,719 | | | | – | | | | 7,994 | | | | 149 | | | | 1,802 | | | | 247 | | | | 2,230 | | | | 951 | |
| | | 338 | | | | 660 | | | | 3,628 | | | | 562 | | | | 471 | | | | 462 | | | | 191 | | | | 486 | |
| | | 2,309 | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | 26 | | | | 78 | | | | 290 | | | | 88 | | | | 3 | | | | 5 | | | | 5 | | | | 4 | |
| | | 6 | | | | – | | | | 444 | | | | 9 | | | | – | | | | 1 | | | | – | | | | – | |
| | | 23 | | | | 18 | | | | 66 | | | | 16 | | | | 9 | | | | 6 | | | | 5 | | | | 13 | |
| | | 1,549,372 | | | | 1,184,672 | | | | 4,472,005 | | | | 1,030,154 | | | | 603,549 | | | | 368,131 | | | | 366,609 | | | | 888,619 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 1,027 | | | | 613 | | | | 1,791 | | | | 550 | | | | 286 | | | | 99 | | | | 120 | | | | 280 | |
| | | 360 | | | | 91 | | | | 753 | | | | 122 | | | | 140 | | | | 77 | | | | 85 | | | | 205 | |
| | | 277 | | | | 95 | | | | 751 | | | | 41 | | | | 111 | | | | 65 | | | | 65 | | | | 135 | |
| | | – | | | | – | | | | – | | | | 4 | | | | – | | | | – | | | | – | | | | – | |
| | | 5 | | | | 5 | | | | 4 | | | | 2 | | | | 1 | | | | – | | | | 2 | | | | – | |
| | | 5,344 | | | | – | | | | 115,811 | | | | – | | | | 998 | | | | – | | | | 1,796 | | | | – | |
| | | – | | | | 57 | | | | – | | | | 50 | | | | – | | | | – | | | | – | | | | – | |
| | | 401 | | | | 19 | | | | 1,405 | | | | 17 | | | | 278 | | | | 169 | | | | 157 | | | | 407 | |
| | | 6 | | | | 5 | | | | 18 | | | | 4 | | | | 2 | | | | 1 | | | | 1 | | | | 4 | |
| | | – | | | | – | | | | 1 | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | 94 | | | | 72 | | | | 264 | | | | 69 | | | | 38 | | | | 26 | | | | 23 | | | | 55 | |
| | | 7,514 | | | | 957 | | | | 120,798 | | | | 859 | | | | 1,854 | | | | 437 | | | | 2,249 | | | | 1,086 | |
| | $ | 1,541,858 | | | $ | 1,183,715 | | | $ | 4,351,207 | | | $ | 1,029,295 | | | $ | 601,695 | | | $ | 367,694 | | | $ | 364,360 | | | $ | 887,533 | |
| | $ | 702,921 | | | $ | 566,851 | | | $ | 1,215,626 | | | $ | 211,081 | | | $ | 460,514 | | | $ | 279,943 | | | $ | 287,206 | | | $ | 479,904 | |
| | | 31,080 | | | | 21,798 | | | | 200,235 | | | | 19,985 | | | | 4,409 | | | | 3,908 | | | | 3,594 | | | | 9,349 | |
| | | – | | | | – | | | | 129 | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SEI Institutional Managed Trust
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2024
| | | Large Cap Fund | | | Large Cap Value Fund | |
Net Assets: | | | | | | | | |
Paid-in capital — (unlimited authorization — no par value) | | $ | 705,694 | | | $ | 829,699 | |
Total distributable earnings | | | 946,431 | | | | 535,823 | |
Net Assets | | $ | 1,652,125 | | | $ | 1,365,522 | |
Net Asset Value, Offering and Redemption Price Per Share — Class F | | $ | 16.79 | | | $ | 27.89 | |
| | | | ($1,588,186,310 ÷
94,579,706 shares | ) | | | ($1,268,429,221 ÷
45,486,241 shares | ) |
Net Asset Value, Offering and Redemption Price Per Share — Class I | | | N/A | | | $ | 27.94 | |
| | | | | | | | ($1,392,832 ÷
49,852 shares | ) |
Net Asset Value, Offering and Redemption Price Per Share — Class Y | | $ | 16.81 | | | $ | 27.88 | |
| | | | ($63,939,145 ÷
3,803,758 shares | ) | | | ($95,699,646 ÷
3,432,493 shares | ) |
N/A – Not applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2024
| | Large Cap Growth Fund | | | Large Cap Index Fund | | | Tax-Managed Large Cap Fund | | | S&P 500 Index Fund | | | Small Cap Fund | | | Small Cap Value Fund | | | Small Cap Growth Fund | | | Tax-Managed Small/Mid Cap Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 476,272 | | | $ | 576,232 | | | $ | 1,014,791 | | | $ | 132,672 | | | $ | 425,545 | | | $ | 250,434 | | | $ | 285,714 | | | $ | 400,303 | |
| | | 1,065,586 | | | | 607,483 | | | | 3,336,416 | | | | 896,623 | | | | 176,150 | | | | 117,260 | | | | 78,646 | | | | 487,230 | |
| | $ | 1,541,858 | | | $ | 1,183,715 | | | $ | 4,351,207 | | | $ | 1,029,295 | | | $ | 601,695 | | | $ | 367,694 | | | $ | 364,360 | | | $ | 887,533 | |
| | $ | 49.54 | | | $ | 20.06 | | | $ | 38.76 | | | $ | 103.06 | | | $ | 14.45 | | | $ | 26.73 | | | $ | 37.46 | | | $ | 27.82 | |
| | | ($1,405,182,049 ÷
28,362,853 shares | ) | | | ($1,183,715,421 ÷
59,011,029 shares | ) | | | ($3,751,576,911 ÷
96,789,860 shares | ) | | | ($1,022,391,245 ÷
9,920,448 shares | ) | | | ($558,858,949 ÷
38,686,709 shares | ) | | | ($325,968,139 ÷
12,196,159 shares | ) | | | ($328,672,715 ÷
8,773,891 shares | ) | | | ($768,483,763 ÷
27,620,469 shares | ) |
| | $ | 46.89 | | | | N/A | | | | N/A | | | $ | 103.90 | | | | N/A | | | $ | 26.42 | | | $ | 34.54 | | | | N/A | |
| | | ($2,258,943 ÷
48,179 shares | ) | | | | | | | | | | | ($6,904,228 ÷
66,453 shares | ) | | | | | | | ($511,721 ÷
19,372 shares | ) | | | ($363,375 ÷
10,520 shares | ) | | | | |
| | $ | 50.05 | | | | N/A | | | $ | 38.78 | | | | N/A | | | $ | 14.64 | | | $ | 26.74 | | | $ | 38.44 | | | $ | 27.88 | |
| | | ($134,416,935 ÷
2,685,563 shares | ) | | | | | | | ($599,629,846 ÷
15,463,305 shares | ) | | | | | | | ($42,836,096 ÷
2,925,601 shares | ) | | | ($41,214,542 ÷
1,541,127 shares | ) | | | ($35,324,407 ÷
918,973 shares | ) | | | ($119,049,115 ÷
4,269,509 shares | ) |
SEI Institutional Managed Trust
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2024
| | | Mid-Cap Fund | | | U.S. Managed Volatility Fund | |
Assets: | | | | | | | | |
Investments, at value † | | $ | 82,767 | | | $ | 639,350 | |
Affiliated investments, at value †† | | | 1,257 | | | | 8,433 | |
Repurchase agreements† | | | – | | | | – | |
Cash and cash equivalents | | | – | | | | – | |
Due from Broker | | | – | | | | – | |
Cash pledged as collateral on centrally cleared swap contracts | | | – | | | | – | |
Cash pledged as collateral on futures contracts | | | 37 | | | | 146 | |
Cash pledged as collateral on TBA's | | | – | | | | – | |
Foreign currency, at value ††† | | | – | | | | 342 | |
Receivable for fund shares sold | | | 9 | | | | 44 | |
Receivable for investment securities sold | | | 94 | | | | – | |
Dividends and interest receivable | | | 90 | | | | 851 | |
Unrealized gain on forward foreign currency contracts | | | – | | | | – | |
Receivable for Variation Margin on Futures Contracts | | | – | | | | 12 | |
Receivable for Variation Margin on Swap Contracts | | | – | | | | – | |
Foreign tax reclaim receivable | | | – | | | | 5 | |
Prepaid expenses | | | 1 | | | | 11 | |
Total Assets | | | 84,255 | | | | 649,194 | |
Liabilities: | | | | | | | | |
Payable for investment securities purchased | | | 95 | | | | – | |
Administration fees payable | | | 20 | | | | 158 | |
Shareholder servicing fees payable Class F | | | 15 | | | | 96 | |
Shareholder servicing fees payable Class I | | | – | | | | – | |
Payable for fund shares redeemed | | | 14 | | | | 580 | |
Income distribution payable | | | – | | | | – | |
OTC Swap contracts, at value †††† | | | – | | | | – | |
Options and Swaptions written, at value ^^ | | | – | | | | – | |
Due to broker | | | – | | | | – | |
Due to custodian | | | – | | | | 3 | |
Payable for Variation Margin on Swap Contracts | | | – | | | | – | |
Payable for Variation Margin on Futures Contracts | | | – | | | | – | |
Unrealized loss on forward foreign currency contracts | | | – | | | | – | |
Investment advisory fees payable | | | 27 | | | | 171 | |
Trustees fees payable | | | – | | | | – | |
Chief Compliance Officer fees payable | | | – | | | | 3 | |
Administration servicing fees payable Class I | | | – | | | | – | |
Accrued expense payable | | | 6 | | | | 42 | |
Total Liabilities | | | 177 | | | | 1,053 | |
Net Assets | | $ | 84,078 | | | $ | 648,141 | |
† Cost of investments and repurchase agreements | | $ | 66,790 | | | $ | 508,681 | |
†† Cost of affiliated investments | | | 1,257 | | | | 8,433 | |
††† Cost of foreign currency | | | – | | | | 335 | |
^^ Premiums received from written options and swaptions | | | – | | | | – | |
| | | | | | | | | |
Amounts designated as “—“ are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements
SEI Institutional Managed Trust
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2024
| | Global Managed Volatility Fund | | | Tax-Managed Managed Volatility Fund | | | Tax-Managed International Managed Volatility Fund | | | Real Estate Fund | | | Core Fixed Income Fund | | | High Yield Bond Fund | | | Conservative Income Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 813,963 | | | $ | 831,588 | | | $ | 299,217 | | | $ | 77,237 | | | $ | 3,770,160 | | | $ | 1,145,062 | | | $ | 574,257 | |
| | | 23,798 | | | | 14,348 | | | | 1,367 | | | | 700 | | | | 37,736 | | | | 20,844 | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | 146,000 | |
| | | 4,133 | | | | – | | | | 1,982 | | | | – | | | | 113 | | | | 203 | | | | 198 | |
| | | – | | | | – | | | | – | | | | – | | | | 434 | | | | 355 | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | 5,771 | | | | – | | | | – | |
| | | 750 | | | | 161 | | | | 51 | | | | – | | | | 6,664 | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | 690 | | | | – | | | | – | |
| | | 347 | | | | 18 | | | | 500 | | | | – | | | | 1,827 | | | | – | | | | – | |
| | | 91 | | | | 55 | | | | 34 | | | | 7 | | | | 753 | | | | 189 | | | | 1,105 | |
| | | 19 | | | | – | | | | 115 | | | | – | | | | 96,610 | | | | 12,026 | | | | – | |
| | | 1,501 | | | | 898 | | | | 955 | | | | 229 | | | | 21,846 | | | | 17,476 | | | | 1,918 | |
| | | 694 | | | | – | | | | – | | | | – | | | | 2,016 | | | | – | | | | – | |
| | | 47 | | | | 13 | | | | 1 | | | | – | | | | 540 | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | 406 | | | | – | | | | – | |
| | | 3,018 | | | | 11 | | | | 2,997 | | | | – | | | | 649 | | | | 46 | | | | – | |
| | | 13 | | | | 13 | | | | 5 | | | | 1 | | | | 56 | | | | 19 | | | | 10 | |
| | | 848,374 | | | | 847,105 | | | | 307,224 | | | | 78,174 | | | | 3,946,271 | | | | 1,196,220 | | | | 723,488 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 19 | | | | – | | | | 162 | | | | 103 | | | | 290,005 | | | | 24,081 | | | | – | |
| | | 172 | | | | 166 | | | | 95 | | | | 19 | | | | 496 | | | | 178 | | | | 62 | |
| | | 148 | | | | 148 | | | | 50 | | | | 13 | | | | 662 | | | | 201 | | | | 57 | |
| | | – | | | | – | | | | – | | | | – | | | | 1 | | | | – | | | | – | |
| | | 913 | | | | 422 | | | | 215 | | | | 60 | | | | 2,617 | | | | 803 | | | | 997 | |
| | | – | | | | – | | | | – | | | | – | | | | 824 | | | | 740 | | | | 515 | |
| | | – | | | | – | | | | – | | | | – | | | | 677 | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | 1,247 | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | 15 | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | 42 | | | | – | | | | – | |
| | | 62 | | | | – | | | | 12 | | | | – | | | | 2,556 | | | | – | | | | – | |
| | | 1,495 | | | | – | | | | – | | | | – | | | | 2,726 | | | | 10 | | | | – | |
| | | 375 | | | | 273 | | | | 113 | | | | 36 | | | | 625 | | | | 391 | | | | 34 | |
| | | – | | | | – | | | | – | | | | – | | | | 1 | | | | – | | | | – | |
| | | 3 | | | | 3 | | | | 1 | | | | – | | | | 15 | | | | 5 | | | | 3 | |
| | | – | | | | – | | | | – | | | | – | | | | 1 | | | | – | | | | – | |
| | | 101 | | | | 54 | | | | 59 | | | | 5 | | | | 366 | | | | 140 | | | | 48 | |
| | | 3,288 | | | | 1,066 | | | | 707 | | | | 236 | | | | 302,876 | | | | 26,549 | | | | 1,716 | |
| | $ | 845,086 | | | $ | 846,039 | | | $ | 306,517 | | | $ | 77,938 | | | $ | 3,643,395 | | | $ | 1,169,671 | | | $ | 721,772 | |
| | $ | 690,477 | | | $ | 326,012 | | | $ | 210,242 | | | $ | 50,891 | | | $ | 3,833,183 | | | $ | 1,120,745 | | | $ | 719,848 | |
| | | 23,798 | | | | 14,348 | | | | 1,367 | | | | 700 | | | | 37,736 | | | | 20,844 | | | | – | |
| | | 347 | | | | 17 | | | | 498 | | | | – | | | | 1,697 | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | (1,272 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SEI Institutional Managed Trust
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2024
| | | Mid-Cap Fund | | | U.S. Managed Volatility Fund | |
Net Assets: | | | | | | | | |
Paid-in capital — (unlimited authorization — no par value) | | $ | 64,666 | | | $ | 442,889 | |
Total distributable earnings (accumulated losses) | | | 19,412 | | | | 205,252 | |
Net Assets | | $ | 84,078 | | | $ | 648,141 | |
Net Asset Value, Offering and Redemption Price Per Share — Class F | | $ | 32.37 | | | $ | 16.31 | |
| | | | ($74,755,764 ÷
2,309,263 shares | ) | | | ($474,144,856 ÷
29,063,958 shares | ) |
Net Asset Value, Offering and Redemption Price Per Share — Class I | | $ | 32.28 | | | $ | 16.30 | |
| | | | ($282,926 ÷
8,765 shares | ) | | | ($678,331 ÷
41,605 shares | ) |
Net Asset Value, Offering and Redemption Price Per Share — Class Y | | $ | 32.39 | | | $ | 16.31 | |
| | | | ($9,039,510 ÷
279,066 shares | ) | | | ($173,317,457 ÷
10,624,426 shares | ) |
N/A - Not applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2024
| | Global Managed Volatility Fund | | | Tax-Managed Managed Volatility Fund | | | Tax-Managed International Managed Volatility Fund | | | Real Estate Fund | | | Core Fixed Income Fund | | | High Yield Bond Fund | | | Conservative Income Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 680,185 | | | $ | 221,842 | | | $ | 259,218 | | | $ | 51,474 | | | $ | 4,271,308 | | | $ | 1,648,284 | | | $ | 721,333 | |
| | | 164,901 | | | | 624,197 | | | | 47,299 | | | | 26,464 | | | | (627,913 | ) | | | (478,613 | ) | | | 439 | |
| | $ | 845,086 | | | $ | 846,039 | | | $ | 306,517 | | | $ | 77,938 | | | $ | 3,643,395 | | | $ | 1,169,671 | | | $ | 721,772 | |
| | $ | 11.20 | | | $ | 21.46 | | | $ | 12.02 | | | $ | 17.55 | | | $ | 9.80 | | | $ | 5.44 | | | $ | 10.01 | |
| | | ($725,694,626 ÷
64,815,034 shares | ) | | | ($732,169,702 ÷
34,118,941 shares | ) | | | ($247,140,052 ÷
20,565,429 shares | ) | | | ($63,418,567 ÷
3,614,065 shares | ) | | | ($3,240,240,755 ÷
330,553,934 shares | ) | | | ($996,028,751 ÷
183,168,876 shares | ) | | | ($711,594,445 ÷
71,115,251 shares | ) |
| | $ | 10.83 | | | | N/A | | | | N/A | | | $ | 17.50 | | | $ | 9.79 | | | $ | 5.21 | | | | N/A | |
| | | ($570,758 ÷
52,712 shares | ) | | | | | | | | | | | ($229,209 ÷
13,099 shares | ) | | | ($2,951,401 ÷
301,585 shares | ) | | | ($2,746 ÷
527 shares | ) | | | | |
| | $ | 11.24 | | | $ | 21.46 | | | $ | 12.03 | | | $ | 17.56 | | | $ | 9.81 | | | $ | 5.44 | | | $ | 10.02 | |
| | | ($118,820,115 ÷
10,575,764 shares | ) | | | ($113,869,428 ÷
5,305,643 shares | ) | | | ($59,377,413 ÷
4,934,929 shares | ) | | | ($14,290,281 ÷
813,762 shares | ) | | | ($400,202,876 ÷
40,798,995 shares | ) | | | ($173,639,607 ÷
31,933,528 shares | ) | | | ($10,178,051 ÷
1,016,277 shares | ) |
SEI Institutional Managed Trust
STATEMENTS OF ASSETS AND LIABILITIES/CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2024
| | | Tax-Free Conservative Income Fund | | | Real Return Fund | |
Assets: | | | | | | | | |
Investments, at value † | | $ | 194,143 | | | $ | 382,486 | |
Affiliated investments, at value †† | | | – | | | | 419 | |
Cash and cash equivalents | | | 66 | | | | – | |
Due from Broker | | | – | | | | – | |
Cash pledged as collateral on centrally cleared swap contracts | | | – | | | | – | |
Cash pledged as collateral on OTC swap contracts | | | – | | | | – | |
Cash pledged as collateral on futures contracts | | | – | | | | – | |
Cash pledged as collateral on forward foreign currency contracts | | | – | | | | – | |
Cash pledged as collateral on securities sold short | | | – | | | | – | |
Foreign currency, at value ††† | | | – | | | | – | |
Receivable for fund shares sold | | | 47 | | | | 102 | |
Receivable for investment securities sold | | | – | | | | – | |
Dividends and interest receivable | | | 1,121 | | | | 1,510 | |
Unrealized gain on forward foreign currency contracts | | | – | | | | – | |
OTC Swap contracts, at value †††† | | | – | | | | – | |
Receivable for Variation Margin on Futures Contracts | | | – | | | | – | |
Receivable for Variation Margin on Swap Contracts | | | – | | | | – | |
Foreign tax reclaim receivable | | | – | | | | – | |
Prepaid expenses | | | 3 | | | | 5 | |
Total Assets | | | 195,380 | | | | 384,522 | |
Liabilities: | | | | | | | | |
Payable for investment securities purchased | | | 3,988 | | | | – | |
Income distribution payable | | | 134 | | | | – | |
Payable for fund shares redeemed | | | 108 | | | | 246 | |
Administration fees payable | | | 16 | | | | 60 | |
Shareholder servicing fees payable Class F | | | 14 | | | | 29 | |
Payable for securities sold short@ | | | – | | | | – | |
OTC Swap contracts, at value †††† | | | – | | | | – | |
Options and Swaptions written, at value ^^ | | | – | | | | – | |
Due to broker | | | – | | | | – | |
Reverse repurchase agreements | | | – | | | | – | |
Payable for Variation Margin on Swap Contracts | | | – | | | | – | |
Payable for Variation Margin on Futures Contracts | | | – | | | | – | |
Unrealized loss on foreign currency spot contracts | | | – | | | | – | |
Unrealized loss on forward foreign currency contracts | | | – | | | | – | |
Investment advisory fees payable | | | 9 | | | | 41 | |
Chief Compliance Officer fees payable | | | 1 | | | | 2 | |
Interest payable | | | – | | | | – | |
Repurchase agreements payable | | | – | | | | – | |
Accrued expense payable | | | 13 | | | | 24 | |
Total Liabilities | | | 4,283 | | | | 402 | |
Net Assets | | $ | 191,097 | | | $ | 384,120 | |
† Cost of investments and repurchase agreements | | $ | 194,053 | | | $ | 381,415 | |
†† Cost of affiliated investments | | | – | | | | 419 | |
††† Cost of foreign currency | | | – | | | | – | |
†††† Cost (premiums received) | | | – | | | | – | |
^^ Premiums received from written options and swaptions | | | – | | | | – | |
@Proceeds from securities sold short | | | – | | | | – | |
| | | | | | | | | |
Amounts designated as "—" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
STATEMENTS OF ASSETS AND LIABILITIES/CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2024
| | Dynamic Asset Allocation Fund | | | Multi-Strategy Alternative Fund | | | Liquid Alternative Fund | | | Multi-Asset Accumulation Fund | | | Multi-Asset Income Fund | | | Multi-Asset Inflation Managed Fund | | | Multi-Asset Capital Stability Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 669,721 | | | $ | 221,969 | | | $ | – | | | $ | 945,665 | | | $ | 531,507 | | | $ | 640,316 | | | $ | 490,634 | |
| | | 3,882 | | | | 20,100 | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | 112,020 | | | | 34,873 | | | | 185,832 | | | | 293,403 | | | | 7,189 | | | | 84,175 | | | | 11,297 | |
| | | – | | | | 12 | | | | 2,339 | | | | 1,166 | | | | 379 | | | | 463 | | | | – | |
| | | 31,163 | | | | 221 | | | | – | | | | 8,376 | | | | 3,989 | | | | – | | | | 1,446 | |
| | | 3,280 | | | | – | | | | – | | | | – | | | | 230 | | | | – | | | | 56 | |
| | | 8,388 | | | | – | | | | 16,130 | | | | 69,538 | | | | 1,701 | | | | 5,827 | | | | 3,780 | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | 1 | | | | – | |
| | | – | | | | 26,594 | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | – | | | | 1,709 | | | | – | | | | 2,768 | | | | 949 | | | | 2 | | | | 2,580 | |
| | | 122 | | | | 35 | | | | 22 | | | | 149 | | | | 71 | | | | 97 | | | | 112 | |
| | | 97 | | | | 7,512 | | | | – | | | | 5,871 | | | | 11,167 | | | | 13 | | | | 986 | |
| | | 293 | | | | 1,573 | | | | – | | | | 7,125 | | | | 5,311 | | | | 1,722 | | | | 378 | |
| | | – | | | | 2 | | | | – | | | | 3,955 | | | | 196 | | | | – | | | | 1,269 | |
| | | 1,544 | | | | – | | | | – | | | | 2,722 | | | | 22 | | | | – | | | | 117 | |
| | | 640 | | | | – | | | | 586 | | | | 1,969 | | | | 83 | | | | 577 | | | | 226 | |
| | | 2,772 | | | | 4 | | | | – | | | | – | | | | 33 | | | | 171 | | | | – | |
| | | – | | | | 47 | | | | – | | | | 408 | | | | 150 | | | | – | | | | – | |
| | | 12 | | | | 5 | | | | – | | | | 26 | | | | 10 | | | | 12 | | | | 9 | |
| | | 833,934 | | | | 314,656 | | | | 204,909 | | | | 1,343,141 | | | | 562,987 | | | | 733,376 | | | | 512,890 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | – | | | | 4,112 | | | | – | | | | 2,626 | | | | 4,318 | | | | 625 | | | | 1,491 | |
| | | – | | | | – | | | | – | | | | – | | | | 360 | | | | – | | | | – | |
| | | 500 | | | | 215 | | | | 195 | | | | 1,420 | | | | 484 | | | | 431 | | | | 569 | |
| | | 196 | | | | 66 | | | | 50 | | | | 272 | | | | 104 | | | | 140 | | | | 55 | |
| | | 148 | | | | 53 | | | | 38 | | | | 252 | | | | 34 | | | | 111 | | | | 40 | |
| | | – | | | | 40,973 | | | | – | | | | – | | | | – | | | | 77,531 | | | | – | |
| | | – | | | | – | | | | – | | | | 610 | | | | 223 | | | | – | | | | – | |
| | | 3,695 | | | | – | | | | – | | | | – | | | | 8 | | | | – | | | | 107 | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | 1,330 | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | 71,238 | | | | – | |
| | | 1,108 | | | | – | | | | – | | | | – | | | | 73 | | | | 4 | | | | 47 | |
| | | – | | | | – | | | | 743 | | | | 5,919 | | | | 332 | | | | 670 | | | | 948 | |
| | | – | | | | – | | | | – | | | | 9 | | | | 12 | | | | – | | | | – | |
| | | – | | | | 4 | | | | – | | | | 3,047 | | | | 726 | | | | 38 | | | | 1,604 | |
| | | 124 | | | | 171 | | | | 78 | | | | 691 | | | | 191 | | | | 158 | | | | 150 | |
| | | 3 | | | | 1 | | | | 1 | | | | 5 | | | | 2 | | | | 2 | | | | 2 | |
| | | – | | | | – | | | | 60 | | | | 20 | | | | – | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | 750 | | | | – | |
| | | 49 | | | | 32 | | | | 11 | | | | 119 | | | | 99 | | | | 63 | | | | 36 | |
| | | 5,823 | | | | 45,627 | | | | 1,176 | | | | 14,990 | | | | 6,966 | | | | 153,091 | | | | 5,049 | |
| | $ | 828,111 | | | $ | 269,029 | | | $ | 203,733 | | | $ | 1,328,151 | | | $ | 556,021 | | | $ | 580,285 | | | $ | 507,841 | |
| | $ | 245,306 | | | $ | 221,748 | | | $ | – | | | $ | 938,725 | | | $ | 530,103 | | | $ | 549,887 | | | $ | 487,715 | |
| | | 3,882 | | | | 20,100 | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | – | | | | 1,661 | | | | – | | | | 4,460 | | | | 900 | | | | – | | | | 2,471 | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | 61 | | | | – | |
| | | (2,600 | ) | | | (3 | ) | | | – | | | | – | | | | (22 | ) | | | – | | | | (369 | ) |
| | | – | | | | (39,683 | ) | | | – | | | | – | | | | – | | | | (74,319 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SEI Institutional Managed Trust
STATEMENTS OF ASSETS AND LIABILITIES/CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
September 30, 2024
| | | Tax-Free Conservative Income Fund | | | Real Return Fund | |
Net Assets: | | | | | | | | |
Paid-in capital — (unlimited authorization — no par value) | | $ | 190,977 | | | $ | 395,955 | |
Total distributable earnings (accumulated losses) | | | 120 | | | | (11,835 | ) |
Net Assets | | $ | 191,097 | | | $ | 384,120 | |
Net Asset Value, Offering and Redemption Price Per Share — Class F | | $ | 10.01 | | | $ | 9.69 | |
| | | | ($182,222,493 ÷
18,208,879 shares | ) | | | ($359,045,787 ÷
37,066,265 shares | ) |
Net Asset Value, Offering and Redemption Price Per Share — Class Y | | $ | 10.03 | | | $ | 9.73 | |
| | | | ($8,874,082 ÷
884,948 shares | ) | | | ($25,073,947 ÷
2,576,290 shares | ) |
N/A - Not applicable. Share class currently not offered.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
| | Dynamic Asset Allocation Fund | | | Multi-Strategy Alternative Fund | | | Liquid Alternative Fund | | | Multi-Asset Accumulation Fund | | | Multi-Asset Income Fund | | | Multi-Asset Inflation Managed Fund | | | Multi-Asset Capital Stability Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 355,271 | | | $ | 275,786 | | | $ | 194,405 | | | $ | 2,075,683 | | | $ | 609,194 | | | $ | 747,348 | | | $ | 479,040 | |
| | | 472,840 | | | | (6,757 | ) | | | 9,328 | | | | (747,532 | ) | | | (53,173 | ) | | | (167,063 | ) | | | 28,801 | |
| | $ | 828,111 | | | $ | 269,029 | | | $ | 203,733 | | | $ | 1,328,151 | | | $ | 556,021 | | | $ | 580,285 | | | $ | 507,841 | |
| | $ | 17.80 | | | $ | 9.96 | | | $ | 10.62 | | | $ | 7.62 | | | $ | 10.12 | | | $ | 8.05 | | | $ | 10.59 | |
| | | ($738,816,647 ÷
41,500,987 shares | ) | | | ($262,759,978 ÷
26,375,208 shares | ) | | | ($183,858,307 ÷
17,318,167 shares | ) | | | ($1,237,191,721 ÷
162,263,550 shares | ) | | | ($417,955,362 ÷
41,310,868 shares | ) | | | ($543,236,201 ÷
67,456,352 shares | ) | | | ($482,546,495 ÷
45,547,312 shares | ) |
| | $ | 17.88 | | | $ | 9.97 | | | $ | 10.64 | | | $ | 7.71 | | | $ | 10.12 | | | $ | 8.06 | | | $ | 10.62 | |
| | | ($89,293,861 ÷
4,993,860 shares | ) | | | ($6,269,520 ÷
628,968 shares | ) | | | ($19,874,422 ÷
1,867,352 shares | ) | | | ($90,959,103 ÷
11,800,018 shares | ) | | | ($138,065,418 ÷
13,648,375 shares | ) | | | ($37,048,969 ÷
4,597,824 shares | ) | | | ($25,294,426 ÷
2,382,792 shares | ) |
SEI Institutional Managed Trust
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended September 30, 2024
| | | Large Cap Fund | | | Large Cap Value Fund | | | Large Cap Growth Fund | |
Investment Income: | | | | | | | | | | | | |
Dividends | | $ | 26,963 | | | $ | 37,865 | | | $ | 11,259 | |
Income from affiliated investments(1) | | | 715 | | | | 582 | | | | 1,106 | |
Interest income | | | – | | | | – | | | | 1,842 | |
Security lending income - net(1) (2) | | | 31 | | | | 18 | | | | 3 | |
Less: foreign taxes withheld | | | (88 | ) | | | (215 | ) | | | (33 | ) |
Total Investment Income | | | 27,621 | | | | 38,250 | | | | 14,177 | |
Expenses: | | | | | | | | | | | | |
Investment advisory fees | | | 6,434 | | | | 4,561 | | | | 5,799 | |
Administration fees | | | 4,882 | | | | 3,910 | | | | 4,347 | |
Shareholder servicing fees Class F | | | 3,979 | | | | 2,967 | | | | 3,273 | |
Shareholder servicing fees Class I | | | – | | | | 4 | | | | 6 | |
Trustees' fees | | | 40 | | | | 32 | | | | 35 | |
Chief compliance officer fees | | | 14 | | | | 11 | | | | 12 | |
Administration servicing fees Class I | | | – | | | | 4 | | | | 6 | |
Printing fees | | | 153 | | | | 124 | | | | 137 | |
Professional fees | | | 106 | | | | 85 | | | | 96 | |
Custodian/Wire agent fees | | | 94 | | | | 74 | | | | 82 | |
Registration fees | | | 75 | | | | 58 | | | | 62 | |
Pricing fees | | | 23 | | | | 18 | | | | 20 | |
Proxy fees | | | 3 | | | | 3 | | | | 3 | |
Other expenses | | | 24 | | | | 19 | | | | 21 | |
Total Expenses | | | 15,827 | | | | 11,870 | | | | 13,899 | |
Less: | | | | | | | | | | | | |
Waiver of investment advisory fees | | | (454 | ) | | | (311 | ) | | | (1,066 | ) |
Waiver of shareholder servicing fees Class F | | | (32 | ) | | | (24 | ) | | | (26 | ) |
Waiver of shareholder servicing fees Class I | | | – | | | | – | | | | (1 | ) |
Waiver of administration fees | | | (761 | ) | | | (185 | ) | | | (206 | ) |
Net Expenses | | | 14,580 | | | | 11,350 | | | | 12,600 | |
Net Investment Income (Loss) | | | 13,041 | | | | 26,900 | | | | 1,577 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | |
Investments | | | 237,076 | | | | 79,367 | | | | 258,211 | |
Affiliated investments | | | (1 | ) | | | (3 | ) | | | – | |
Futures contracts | | | 2,323 | | | | 1,426 | | | | 3,115 | |
Swap contracts | | | – | | | | – | | | | 12,785 | |
Net Realized Gain (Loss) | | | 239,398 | | | | 80,790 | | | | 274,111 | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | |
Investments | | | 210,349 | | | | 183,565 | | | | 233,570 | |
Affiliated investments | | | – | | | | 5 | | | | – | |
Futures contracts | | | 352 | | | | 90 | | | | 233 | |
Swap contracts | | | – | | | | – | | | | 3,005 | |
Net Change in Unrealized Appreciation (Depreciation) | | | 210,701 | | | | 183,660 | | | | 236,808 | |
Net Increase in Net Assets Resulting from Operations | | $ | 463,140 | | | $ | 291,350 | | | $ | 512,496 | |
(1) | See Note 6 in Notes to Financial Statements. |
(2) | Income is from the investment of collateral in an affiliated security. |
* | Includes realized gains as a result of in-kind transactions (see Note 13 in the Notes to Financial Statements). |
Amounts designated as "—" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended September 30, 2024
| | Large Cap Index Fund | | | Tax-Managed Large Cap Fund | | | S&P 500 Index Fund | | | Small Cap Fund | | | Small Cap Value Fund | | | Small Cap Growth Fund | | | Tax-Managed Small/Mid Cap Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 15,342 | | | $ | 69,761 | | | $ | 13,954 | | | $ | 9,281 | | | $ | 8,023 | | | $ | 2,559 | | | $ | 12,029 | |
| | | 1,192 | | | | 1,288 | | | | 952 | | | | 285 | | | | 181 | | | | 195 | | | | 452 | |
| | | – | | | | – | | | | – | | | | 4 | | | | – | | | | 3 | | | | 6 | |
| | | 21 | | | | 539 | | | | – | | | | 10 | | | | 61 | | | | 85 | | | | 9 | |
| | | (2 | ) | | | (313 | ) | | | (4 | ) | | | (33 | ) | | | (31 | ) | | | (8 | ) | | | (52 | ) |
| | | 16,553 | | | | 71,275 | | | | 14,902 | | | | 9,547 | | | | 8,234 | | | | 2,834 | | | | 12,444 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 553 | | | | 16,393 | | | | 295 | | | | 3,658 | | | | 2,304 | | | | 2,181 | | | | 5,406 | |
| | | 3,319 | | | | 8,971 | | | | 2,160 | | | | 1,688 | | | | 1,064 | | | | 1,007 | | | | 2,495 | |
| | | 2,766 | | | | 8,841 | | | | 2,439 | | | | 1,334 | | | | 777 | | | | 754 | | | | 1,805 | |
| | | – | | | | – | | | | 16 | | | | – | | | | 1 | | | | 1 | | | | – | |
| | | 27 | | | | 99 | | | | 24 | | | | 14 | | | | 9 | | | | 8 | | | | 20 | |
| | | 9 | | | | 35 | | | | 8 | | | | 5 | | | | 3 | | | | 3 | | | | 7 | |
| | | – | | | | – | | | | 16 | | | | – | | | | 1 | | | | 1 | | | | – | |
| | | 106 | | | | 393 | | | | 95 | | | | 54 | | | | 34 | | | | 33 | | | | 80 | |
| | | 74 | | | | 270 | | | | 66 | | | | 37 | | | | 23 | | | | 22 | | | | 55 | |
| | | 63 | | | | 232 | | | | 56 | | | | 32 | | | | 20 | | | | 19 | | | | 47 | |
| | | 46 | | | | 175 | | | | 39 | | | | 24 | | | | 16 | | | | 14 | | | | 36 | |
| | | 22 | | | | 54 | | | | 16 | | | | 12 | | | | 8 | | | | 7 | | | | 15 | |
| | | 3 | | | | 3 | | | | 3 | | | | 3 | | | | 3 | | | | 3 | | | | 3 | |
| | | 129 | | | | 60 | | | | 117 | | | | 8 | | | | 5 | | | | 5 | | | | 12 | |
| | | 7,117 | | | | 35,526 | | | | 5,350 | | | | 6,869 | | | | 4,268 | | | | 4,058 | | | | 9,981 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (332 | ) | | | – | | | | (98 | ) | | | (424 | ) | | | (277 | ) | | | (364 | ) | | | (639 | ) |
| | | (1,660 | ) | | | (71 | ) | | | (1,951 | ) | | | (11 | ) | | | (6 | ) | | | (6 | ) | | | (217 | ) |
| | | – | | | | – | | | | (3 | ) | | | – | | | | – | | | | – | | | | – | |
| | | (2,330 | ) | | | (291 | ) | | | (791 | ) | | | (77 | ) | | | (48 | ) | | | (35 | ) | | | (113 | ) |
| | | 2,795 | | | | 35,164 | | | | 2,507 | | | | 6,357 | | | | 3,937 | | | | 3,653 | | | | 9,012 | |
| | | 13,758 | | | | 36,111 | | | | 12,395 | | | | 3,190 | | | | 4,297 | | | | (819 | ) | | | 3,432 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 35,197 | | | | 458,740 | * | | | 96,483 | | | | 50,689 | | | | 42,614 | | | | 38,223 | | | | 90,755 | |
| | | (2 | ) | | | 3 | | | | – | | | | – | | | | 2 | | | | – | | | | (9 | ) |
| | | 4,353 | | | | 4,043 | | | | 4,441 | | | | 171 | | | | 288 | | | | (71 | ) | | | 399 | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | 39,548 | | | | 462,786 | | | | 100,924 | | | | 50,860 | | | | 42,904 | | | | 38,152 | | | | 91,145 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 277,615 | | | | 529,771 | | | | 184,027 | | | | 76,211 | | | | 27,202 | | | | 48,931 | | | | 106,502 | |
| | | 25 | | | | (22 | ) | | | – | | | | (1 | ) | | | (3 | ) | | | 4 | | | | – | |
| | | 1,010 | | | | 901 | | | | 1,376 | | | | 24 | | | | 45 | | | | 43 | | | | 58 | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | 278,650 | | | | 530,650 | | | | 185,403 | | | | 76,234 | | | | 27,244 | | | | 48,978 | | | | 106,560 | |
| | $ | 331,956 | | | $ | 1,029,547 | | | $ | 298,722 | | | $ | 130,284 | | | $ | 74,445 | | | $ | 86,311 | | | $ | 201,137 | |
SEI Institutional Managed Trust
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended September 30, 2024
| | | Mid-Cap Fund | | | U.S. Managed Volatility Fund | | | Global Managed Volatility Fund | |
Investment Income: | | | | | | | | | | | | |
Dividends | | $ | 1,265 | | | $ | 17,599 | | | $ | 23,344 | |
Income from affiliated investments(1) | | | 78 | | | | 502 | | | | 421 | |
Interest income | | | – | | | | – | | | | 243 | |
Security lending income - net(1) (2) | | | – | | | | 18 | | | | 66 | |
Less: foreign taxes withheld | | | (3 | ) | | | (86 | ) | | | (892 | ) |
Total Investment Income | | | 1,340 | | | | 18,033 | | | | 23,182 | |
Expenses: | | | | | | | | | | | | |
Investment advisory fees | | | 329 | | | | 4,306 | | | | 5,301 | |
Administration fees | | | 247 | | | | 2,012 | | | | 2,447 | |
Shareholder servicing fees Class F | | | 188 | | | | 1,256 | | | | 1,747 | |
Shareholder servicing fees Class I | | | 1 | | | | 2 | | | | 1 | |
Trustees' fees | | | 2 | | | | 17 | | | | 20 | |
Chief compliance officer fees | | | 1 | | | | 6 | | | | 7 | |
Administration servicing fees Class I | | | 1 | | | | 2 | | | | 1 | |
Printing fees | | | 8 | | | | 58 | | | | 77 | |
Professional fees | | | 5 | | | | 41 | | | | 53 | |
Custodian/Wire agent fees | | | 5 | | | | 38 | | | | 96 | |
Pricing fees | | | 4 | | | | 13 | | | | 15 | |
Registration fees | | | 3 | | | | 34 | | | | 36 | |
Proxy fees | | | 3 | | | | 3 | | | | 3 | |
Repo Interest | | | – | | | | – | | | | – | |
Other expenses | | | 2 | | | | 10 | | | | 12 | |
Total Expenses | | | 799 | | | | 7,798 | | | | 9,816 | |
Less: | | | | | | | | | | | | |
Waiver of investment advisory fees | | | – | | | | (1,729 | ) | | | (881 | ) |
Waiver of shareholder servicing fees Class F | | | (2 | ) | | | (10 | ) | | | (14 | ) |
Waiver of shareholder servicing fees Class I | | | – | | | | – | | | | – | |
Waiver of administration fees | | | (1 | ) | | | (422 | ) | | | (136 | ) |
Net Expenses | | | 796 | | | | 5,637 | | | | 8,785 | |
Net Investment Income | | | 544 | | | | 12,396 | | | | 14,397 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | |
Investments | | | 7,000 | | | | 77,309 | | | | 42,403 | |
Affiliated investments | | | – | | | | 1 | | | | (4 | ) |
Futures contracts | | | 171 | | | | 1,002 | | | | 1,140 | |
Foreign currency translation | | | – | | | | 1 | | | | 26 | |
Forward foreign currency contracts | | | – | | | | – | | | | (2,146 | ) |
Purchased options and swaptions | | | – | | | | – | | | | – | |
Written options and swaptions | | | – | | | | – | | | | – | |
Swap contracts | | | – | | | | – | | | | – | |
Net Realized Gain (Loss) | | | 7,171 | | | | 78,313 | | | | 41,419 | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | |
Investments | | | 12,718 | | | | 58,675 | | | | 109,682 | |
Affiliated investments | | | – | | | | – | | | | 1 | |
Futures contracts | | | 8 | | | | 309 | | | | 279 | |
Purchased options and swaptions | | | – | | | | – | | | | – | |
Written options and swaptions | | | – | | | | – | | | | – | |
Swap contracts | | | – | | | | – | | | | – | |
Foreign currency translation of other assets and liabilities denominated in foreign currencies | | | – | | | | 2 | | | | 166 | |
Forward foreign currency contracts | | | – | | | | – | | | | (2,649 | ) |
Net Change in Unrealized Appreciation (Depreciation) | | | 12,726 | | | | 58,986 | | | | 107,479 | |
Net Increase in Net Assets Resulting from Operations | | $ | 20,441 | | | $ | 149,695 | | | $ | 163,295 | |
(1) | See Note 6 in Notes to Financial Statements. |
(2) | Income is from the investment of collateral in an affiliated security. |
Amounts designated as "—" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended September 30, 2024
| | Tax-Managed Managed Volatility Fund | | | Tax-Managed International Managed Volatility Fund | | | Real Estate Fund | | | Core Fixed Income Fund | | | High Yield Bond Fund | | | Conservative Income Fund | | | Tax-Free Conservative Income Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 14,389 | | | $ | 12,439 | | | $ | 2,108 | | | $ | – | | | $ | 1,108 | | | $ | – | | | $ | – | |
| | | 650 | | | | 157 | | | | 38 | | | | 5,221 | | | | 1,549 | | | | 23 | | | | – | |
| | | – | | | | 115 | | | | – | | | | 156,810 | | | | 110,957 | | | | 34,451 | | | | 6,240 | |
| | | 13 | | | | 41 | | | | 1 | | | | 312 | | | | – | | | | – | | | | – | |
| | | (64 | ) | | | (824 | ) | | | (2 | ) | | | (5 | ) | | | – | | | | – | | | | – | |
| | | 14,988 | | | | 11,928 | | | | 2,145 | | | | 162,338 | | | | 113,614 | | | | 34,474 | | | | 6,240 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 5,212 | | | | 1,960 | | | | 467 | | | | 9,689 | | | | 5,868 | | | | 623 | | | | 177 | |
| | | 2,437 | | | | 1,201 | | | | 216 | | | | 5,902 | | | | 2,408 | | | | 1,246 | | | | 355 | |
| | | 1,762 | | | | 611 | | | | 146 | | | | 7,834 | | | | 2,588 | | | | 1,530 | | | | 426 | |
| | | – | | | | – | | | | – | | | | 7 | | | | – | | | | – | | | | – | |
| | | 20 | | | | 7 | | | | 2 | | | | 85 | | | | 29 | | | | 15 | | | | 4 | |
| | | 7 | | | | 3 | | | | 1 | | | | 31 | | | | 10 | | | | 6 | | | | 2 | |
| | | – | | | | – | | | | – | | | | 7 | | | | – | | | | – | | | | – | |
| | | 76 | | | | 28 | | | | 7 | | | | 338 | | | | 111 | | | | 67 | | | | 17 | |
| | | 52 | | | | 19 | | | | 5 | | | | 230 | | | | 75 | | | | 42 | | | | 11 | |
| | | 46 | | | | 80 | | | | 4 | | | | 199 | | | | 68 | | | | 35 | | | | 10 | |
| | | 11 | | | | 8 | | | | 1 | | | | 594 | | | | 249 | | | | 25 | | | | 9 | |
| | | 38 | | | | 14 | | | | 3 | | | | 154 | | | | 56 | | | | 21 | | | | 8 | |
| | | 3 | | | | 3 | | | | 3 | | | | 3 | | | | 3 | | | | 3 | | | | 3 | |
| | | – | | | | – | | | | – | | | | – | | | | 11 | | | | – | | | | – | |
| | | 12 | | | | 4 | | | | 1 | | | | 51 | | | | 17 | | | | 9 | | | | 3 | |
| | | 9,676 | | | | 3,938 | | | | 856 | | | | 25,124 | | | | 11,493 | | | | 3,622 | | | | 1,025 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (1,696 | ) | | | (719 | ) | | | (63 | ) | | | (2,680 | ) | | | (918 | ) | | | (249 | ) | | | (71 | ) |
| | | (14 | ) | | | (5 | ) | | | (1 | ) | | | (63 | ) | | | (21 | ) | | | (918 | ) | | | (256 | ) |
| | | – | | | | – | | | | – | | | | (1 | ) | | | – | | | | – | | | | – | |
| | | (150 | ) | | | – | | | | – | | | | – | | | | (218 | ) | | | (578 | ) | | | (166 | ) |
| | | 7,816 | | | | 3,214 | | | | 792 | | | | 22,380 | | | | 10,336 | | | | 1,877 | | | | 532 | |
| | | 7,172 | | | | 8,714 | | | | 1,353 | | | | 139,958 | | | | 103,278 | | | | 32,597 | | | | 5,708 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 120,667 | | | | 12,445 | | | | 1,598 | | | | (36,340 | ) | | | (40,691 | ) | | | (1 | ) | | | – | |
| | | – | | | | (3 | ) | | | – | | | | (141 | ) | | | – | | | | – | | | | – | |
| | | 1,454 | | | | 339 | | | | – | | | | 1,344 | | | | – | | | | – | | | | – | |
| | | 23 | | | | 80 | | | | – | | | | (1,675 | ) | | | – | | | | – | | | | – | |
| | | – | | | | (24 | ) | | | – | | | | (2,937 | ) | | | (12 | ) | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | (8,846 | ) | | | – | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | 9,334 | | | | – | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | 10,535 | | | | – | | | | – | | | | – | |
| | | 122,144 | | | | 12,837 | | | | 1,598 | | | | (28,726 | ) | | | (40,703 | ) | | | (1 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 79,340 | | | | 37,455 | | | | 19,092 | | | | 289,752 | | | | 98,402 | | | | 463 | | | | 153 | |
| | | 5 | | | | (3 | ) | | | 1 | | | | (71 | ) | | | – | | | | – | | | | – | |
| | | 263 | | | | 4 | | | | – | | | | 8,789 | | | | – | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | (479 | ) | | | – | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | 950 | | | | – | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | (12,514 | ) | | | – | | | | – | | | | – | |
| | | – | | | | 161 | | | | – | | | | 215 | | | | – | | | | – | | | | – | |
| | | – | | | | – | | | | – | | | | 522 | | | | (8 | ) | | | – | | | | – | |
| | | 79,608 | | | | 37,617 | | | | 19,093 | | | | 287,164 | | | | 98,394 | | | | 463 | | | | 153 | |
| | $ | 208,924 | | | $ | 59,168 | | | $ | 22,044 | | | $ | 398,396 | | | $ | 160,969 | | | $ | 33,059 | | | $ | 5,861 | |
SEI Institutional Managed Trust
STATEMENTS OF OPERATIONS/CONSOLIDATED STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended September 30, 2024
| | | Real Return Fund | | | Dynamic Asset Allocation Fund | |
Investment Income: | | | | | | | | |
Dividends | | $ | – | | | $ | 8,813 | |
Income from affiliated investments(1) | | | 50 | | | | 323 | |
Interest income | | | 13,651 | | | | 5,973 | |
Less: foreign taxes withheld | | | – | | | | (2 | ) |
Total Investment Income | | | 13,701 | | | | 15,107 | |
Expenses: | | | | | | | | |
Shareholder servicing fees Class F | | | 721 | | | | 1,768 | |
Investment advisory fees | | | 676 | | | | 4,584 | |
Administration fees | | | 615 | | | | 2,292 | |
Trustees' fees | | | 7 | | | | 19 | |
Chief compliance officer fees | | | 3 | | | | 7 | |
Printing fees | | | 34 | | | | 74 | |
Professional fees | | | 23 | | | | 52 | |
Custodian/Wire agent fees | | | 17 | | | | 16 | |
Registration fees | | | 10 | | | | 31 | |
Pricing fees | | | 6 | | | | 14 | |
Proxy fees | | | 3 | | | | 3 | |
Offering cost(2) | | | – | | | | – | |
Dividend and interest expense on securities sold short | | | – | | | | – | |
Interest expense | | | – | | | | – | |
Other expenses | | | 5 | | | | 11 | |
Total Expenses | | | 2,120 | | | | 8,871 | |
Less: | | | | | | | | |
Waiver of investment advisory fees | | | (276 | ) | | | (3,161 | ) |
Waiver of shareholder servicing fees Class F | | | (433 | ) | | | – | |
Waiver of administration fees | | | (36 | ) | | | (99 | ) |
Net Expenses | | | 1,375 | | | | 5,611 | |
Net Investment Income | | | 12,326 | | | | 9,496 | |
Net Realized Gain (Loss) on: | | | | | | | | |
Investments | | | (4,544 | ) | | | 44,653 | |
Securities sold short | | | – | | | | – | |
Futures contracts | | | – | | | | 19,897 | |
Foreign currency translation | | | – | | | | (14 | ) |
Forward foreign currency contracts | | | – | | | | 2,399 | |
Purchased options and swaptions | | | – | | | | (7,956 | ) |
Written options and swaptions | | | – | | | | 2,883 | |
Swap contracts | | | – | | | | (4,015 | ) |
Net Realized Gain (Loss) | | | (4,544 | ) | | | 57,847 | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | |
Investments | | | 15,069 | | | | 133,442 | |
Securities sold short | | | – | | | | – | |
Futures contracts | | | – | | | | 6,116 | |
Purchased options and swaptions | | | – | | | | (5,089 | ) |
Written options and swaptions | | | – | | | | (890 | ) |
Swap contracts | | | – | | | | 6,989 | |
Foreign currency translation of other assets and liabilities denominated in foreign currencies | | | – | | | | (147 | ) |
Forward foreign currency contracts | | | – | | | | – | |
Net Change in Unrealized Appreciation (Depreciation) | | | 15,069 | | | | 140,421 | |
Net Increase in Net Assets Resulting from Operations | | $ | 22,851 | | | $ | 207,764 | |
(1) | See Note 6 in Notes to Financial Statements. |
(2) | See Note 2 in the Notes to the Financial Statements. |
Amounts designated as "—" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
STATEMENTS OF OPERATIONS/CONSOLIDATED STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended September 30, 2024
| | Multi-Strategy Alternative Fund | | | Liquid Alternative Fund | | | Multi-Asset Accumulation Fund | | | Multi-Asset Income Fund | | | Multi-Asset Inflation Managed Fund | | | Multi-Asset Capital Stability Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 2,921 | | | $ | – | | | $ | 1,986 | | | $ | 4,032 | | | $ | 4,418 | | | $ | 175 | |
| | | 2,502 | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | 17,649 | | | | 6,246 | | | | 70,899 | | | | 40,805 | | | | 30,935 | | | | 24,411 | |
| | | (3 | ) | | | – | | | | (118 | ) | | | (261 | ) | | | (7 | ) | | | (24 | ) |
| | | 23,069 | | | | 6,246 | | | | 72,767 | | | | 44,576 | | | | 35,346 | | | | 24,562 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 749 | | | | 292 | | | | 3,659 | | | | 1,159 | | | | 1,473 | | | | 1,283 | |
| | | 4,678 | | | | 654 | | | | 11,699 | | | | 3,571 | | | | 3,425 | | | | 2,159 | |
| | | 936 | | | | 393 | | | | 4,611 | | | | 1,786 | | | | 1,868 | | | | 1,619 | |
| | | 8 | | | | 3 | | | | 39 | | | | 15 | | | | 16 | | | | 13 | |
| | | 3 | | | | 1 | | | | 13 | | | | 5 | | | | 5 | | | | 5 | |
| | | 26 | | | | 17 | | | | 129 | | | | 53 | | | | 55 | | | | 48 | |
| | | 19 | | | | 12 | | | | 91 | | | | 36 | | | | 39 | | | | 34 | |
| | | 18 | | | | 7 | | | | 99 | | | | 55 | | | | 36 | | | | 35 | |
| | | 16 | | | | 3 | | | | 85 | | | | 30 | | | | 32 | | | | 26 | |
| | | 63 | | | | 1 | | | | 43 | | | | 182 | | | | 76 | | | | 14 | |
| | | 3 | | | | 3 | | | | 3 | | | | 3 | | | | 3 | | | | 3 | |
| | | – | | | | 35 | | | | – | | | | – | | | | – | | | | – | |
| | | 1,141 | | | | – | | | | – | | | | – | | | | 1,336 | | | | – | |
| | | 3,055 | | | | – | | | | – | | | | – | | | | 4,834 | | | | – | |
| | | 5 | | | | 2 | | | | 22 | | | | 9 | | | | 9 | | | | 8 | |
| | | 10,720 | | | | 1,423 | | | | 20,493 | | | | 6,904 | | | | 13,207 | | | | 5,247 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | (2,327 | ) | | | (52 | ) | | | (1,714 | ) | | | (1,074 | ) | | | (1,357 | ) | | | (216 | ) |
| | | (6 | ) | | | – | | | | – | | | | (695 | ) | | | – | | | | (770 | ) |
| | | – | | | | (26 | ) | | | (728 | ) | | | (486 | ) | | | (140 | ) | | | (926 | ) |
| | | 8,387 | | | | 1,345 | | | | 18,051 | | | | 4,649 | | | | 11,710 | | | | 3,335 | |
| | | 14,682 | | | | 4,901 | | | | 54,716 | | | | 39,927 | | | | 23,636 | | | | 21,227 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 13,985 | | | | – | | | | (4,033 | ) | | | (33,265 | ) | | | 20,809 | | | | 13,512 | |
| | | (2,467 | ) | | | – | | | | – | | | | – | | | | (10,415 | ) | | | – | |
| | | – | | | | 1,819 | | | | 76,209 | | | | (323 | ) | | | (12,528 | ) | | | 16,427 | |
| | | 89 | | | | – | | | | (1,668 | ) | | | (198 | ) | | | (158 | ) | | | 251 | |
| | | (4 | ) | | | – | | | | (5,383 | ) | | | 476 | | | | 62 | | | | 4,102 | |
| | | (181 | ) | | | – | | | | – | | | | (204 | ) | | | (397 | ) | | | (356 | ) |
| | | 84 | | | | – | | | | – | | | | 136 | | | | 200 | | | | 285 | |
| | | (358 | ) | | | – | | | | (287 | ) | | | 544 | | | | 72 | | | | 768 | |
| | | 11,148 | | | | 1,819 | | | | 64,838 | | | | (32,834 | ) | | | (2,355 | ) | | | 34,989 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 8,375 | | | | – | | | | 44,301 | | | | 81,948 | | | | 27,239 | | | | (6,880 | ) |
| | | (1,891 | ) | | | – | | | | – | | | | – | | | | (11,709 | ) | | | – | |
| | | – | | | | 2,811 | | | | 79,943 | | | | 4,091 | | | | 2,783 | | | | 4,509 | |
| | | (24 | ) | | | – | | | | – | | | | (123 | ) | | | 30 | | | | (407 | ) |
| | | (1 | ) | | | – | | | | – | | | | 57 | | | | (12 | ) | | | 241 | |
| | | 64 | | | | – | | | | 2,373 | | | | (451 | ) | | | (2,453 | ) | | | 1,033 | |
| | | 46 | | | | – | | | | (2,396 | ) | | | 48 | | | | 122 | | | | 43 | |
| | | (13 | ) | | | – | | | | (5,551 | ) | | | (931 | ) | | | (145 | ) | | | (2,824 | ) |
| | | 6,556 | | | | 2,811 | | | | 118,670 | | | | 84,639 | | | | 15,855 | | | | (4,285 | ) |
| | $ | 32,386 | | | $ | 9,531 | | | $ | 238,224 | | | $ | 91,732 | | | $ | 37,136 | | | $ | 51,931 | |
SEI Institutional Managed Trust
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
| | | Large Cap Fund | | | Large Cap Value Fund | | | Large Cap Growth Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 13,041 | | | $ | 15,275 | | | $ | 26,900 | | | $ | 28,531 | | | $ | 1,577 | | | $ | 1,954 | |
Capital gain distribution from investment | | | — | | | | — | | | | — | | | | 2 | | | | — | | | | 1 | |
Net realized gain (loss) | | | 239,398 | | | | 85,400 | | | | 80,790 | | | | 64,916 | | | | 274,111 | | | | 199,090 | |
Net change in unrealized appreciation | | | 210,701 | | | | 181,315 | | | | 183,660 | | | | 84,239 | | | | 236,808 | | | | 119,632 | |
Net Increase in Net Assets Resulting from Operations | | | 463,140 | | | | 281,990 | | | | 291,350 | | | | 177,688 | | | | 512,496 | | | | 320,677 | |
Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Class F: | | | (105,193 | ) | | | (156,649 | ) | | | (77,983 | ) | | | (108,845 | ) | | | (187,335 | ) | | | (84,295 | ) |
Class I: | | | N/A | | | | N/A | | | | (92 | ) | | | (194 | ) | | | (329 | ) | | | (172 | ) |
Class Y: | | | (3,616 | ) | | | (5,047 | ) | | | (8,363 | ) | | | (17,435 | ) | | | (21,119 | ) | | | (14,333 | ) |
Total Distributions | | | (108,809 | ) | | | (161,696 | ) | | | (86,438 | ) | | | (126,474 | ) | | | (208,783 | ) | | | (98,800 | ) |
Capital Share Transactions:(1) | | | | | | | | | | | | | | | | | | | | | | | | |
Class F: | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | 183,485 | | | | 143,127 | | | | 143,161 | | | | 144,314 | | | | 133,764 | | | | 119,961 | |
Reinvestment of dividends & distributions | | | 96,796 | | | | 143,702 | | | | 73,146 | | | | 102,063 | | | | 174,087 | | | | 78,819 | |
Cost of shares redeemed | | | (599,104 | ) | | | (358,101 | ) | | | (246,001 | ) | | | (245,449 | ) | | | (367,695 | ) | | | (309,092 | ) |
Net increase (decrease) from Class F transactions | | | (318,823 | ) | | | (71,272 | ) | | | (29,694 | ) | | | 928 | | | | (59,844 | ) | | | (110,312 | ) |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | N/A | | | | N/A | | | | 117 | | | | 56 | | | | 431 | | | | 234 | |
Reinvestment of dividends & distributions | | | N/A | | | | N/A | | | | 75 | | | | 167 | | | | 281 | | | | 154 | |
Cost of shares redeemed | | | N/A | | | | N/A | | | | (350 | ) | | | (1,103 | ) | | | (830 | ) | | | (878 | ) |
Net increase (decrease) from Class I transactions | | | N/A | | | | N/A | | | | (158 | ) | | | (880 | ) | | | (118 | ) | | | (490 | ) |
Class Y: | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | 12,916 | | | | 8,576 | | | | 9,637 | | | | 16,590 | | | | 9,312 | | | | 16,998 | |
Reinvestment of dividends & distributions | | | 3,345 | | | | 4,721 | | | | 7,809 | | | | 17,185 | | | | 19,657 | | | | 14,135 | |
Cost of shares redeemed | | | (17,535 | ) | | | (14,332 | ) | | | (63,511 | ) | | | (92,870 | ) | | | (67,462 | ) | | | (105,352 | ) |
Net increase (decrease) from Class Y transactions | | | (1,274 | ) | | | (1,035 | ) | | | (46,065 | ) | | | (59,095 | ) | | | (38,493 | ) | | | (74,219 | ) |
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | | | (320,097 | ) | | | (72,307 | ) | | | (75,917 | ) | | | (59,047 | ) | | | (98,455 | ) | | | (185,021 | ) |
Net Increase (Decrease) in Net Assets | | | 34,234 | | | | 47,987 | | | | 128,995 | | | | (7,833 | ) | | | 205,258 | | | | 36,856 | |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | 1,617,891 | | | | 1,569,904 | | | | 1,236,527 | | | | 1,244,360 | | | | 1,336,600 | | | | 1,299,744 | |
End of year | | $ | 1,652,125 | | | $ | 1,617,891 | | | $ | 1,365,522 | | | $ | 1,236,527 | | | $ | 1,541,858 | | | $ | 1,336,600 | |
(1) | See Note 7 in Notes to Financial Statements for additional information. |
* | Includes redemptions as a result of in-kind transactions (see Note 13 in the Notes to Financial Statements). |
N/A — Not applicable. Shares currently not offered.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
| | Large Cap Index Fund | | | Tax-Managed Large Cap Fund | | | S&P 500 Index Fund | | | Small Cap Fund | |
| | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 13,758 | | | $ | 13,975 | | | $ | 36,111 | | | $ | 39,675 | | | $ | 12,395 | | | $ | 11,684 | | | $ | 3,190 | | | $ | 1,664 | |
| | | — | | | | — | | | | — | | | | 1 | | | | — | | | | — | | | | — | | | | — | |
| | | 39,548 | | | | (6,301 | ) | | | 462,786 | | | | 184,967 | | | | 100,924 | | | | 32,947 | | | | 50,860 | | | | 21,007 | |
| | | 278,650 | | | | 178,222 | | | | 530,650 | | | | 427,902 | | | | 185,403 | | | | 108,549 | | | | 76,234 | | | | 33,750 | |
| | | 331,956 | | | | 185,896 | | | | 1,029,547 | | | | 652,545 | | | | 298,722 | | | | 153,180 | | | | 130,284 | | | | 56,421 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (14,147 | ) | | | (14,021 | ) | | | (172,387 | ) | | | (216,575 | ) | | | (41,925 | ) | | | (77,333 | ) | | | (20,317 | ) | | | (4,593 | ) |
| | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | (238 | ) | | | (501 | ) | | | N/A | | | | N/A | |
| | | N/A | | | | N/A | | | | (28,655 | ) | | | (29,803 | ) | | | N/A | | | | N/A | | | | (1,054 | ) | | | (249 | ) |
| | | (14,147 | ) | | | (14,021 | ) | | | (201,042 | ) | | | (246,378 | ) | | | (42,163 | ) | | | (77,834 | ) | | | (21,371 | ) | | | (4,842 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 198,055 | | | | 175,567 | | | | 348,311 | | | | 173,756 | | | | 75,549 | | | | 120,412 | | | | 105,485 | | | | 48,325 | |
| | | 13,491 | | | | 13,307 | | | | 146,236 | | | | 184,450 | | | | 36,687 | | | | 68,757 | | | | 18,986 | | | | 4,270 | |
| | | (355,013 | ) | | | (253,064 | ) | | | (724,439 | )* | | | (631,354 | ) | | | (205,553 | ) | | | (143,644 | ) | | | (164,062 | ) | | | (100,400 | ) |
| | | (143,467 | ) | | | (64,190 | ) | | | (229,892 | ) | | | (273,148 | ) | | | (93,317 | ) | | | 45,525 | | | | (39,591 | ) | | | (47,805 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 1,321 | | | | 2,547 | | | | N/A | | | | N/A | |
| | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 208 | | | | 442 | | | | N/A | | | | N/A | |
| | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | (1,481 | ) | | | (3,222 | ) | | | N/A | | | | N/A | |
| | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 48 | | | | (233 | ) | | | N/A | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | N/A | | | | N/A | | | | 20,296 | | | | 106,149 | | | | N/A | | | | N/A | | | | 20,125 | | | | 6,683 | |
| | | N/A | | | | N/A | | | | 24,806 | | | | 27,562 | | | | N/A | | | | N/A | | | | 945 | | | | 236 | |
| | | N/A | | | | N/A | | | | (80,664 | ) | | | (88,872 | ) | | | N/A | | | | N/A | | | | (8,025 | ) | | | (5,879 | ) |
| | | N/A | | | | N/A | | | | (35,562 | ) | | | 44,839 | | | | N/A | | | | N/A | | | | 13,045 | | | | 1,040 | |
| | | (143,467 | ) | | | (64,190 | ) | | | (265,454 | ) | | | (228,309 | ) | | | (93,269 | ) | | | 45,292 | | | | (26,546 | ) | | | (46,765 | ) |
| | | 174,342 | | | | 107,685 | | | | 563,051 | | | | 177,858 | | | | 163,290 | | | | 120,638 | | | | 82,367 | | | | 4,814 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 1,009,373 | | | | 901,688 | | | | 3,788,156 | | | | 3,610,298 | | | | 866,005 | | | | 745,367 | | | | 519,328 | | | | 514,514 | |
| | $ | 1,183,715 | | | $ | 1,009,373 | | | $ | 4,351,207 | | | $ | 3,788,156 | | | $ | 1,029,295 | | | $ | 866,005 | | | $ | 601,695 | | | $ | 519,328 | |
SEI Institutional Managed Trust
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
| | | Small Cap Value Fund | | | Small Cap Growth Fund | | | Tax-Managed Small/Mid Cap Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 4,297 | | | $ | 4,694 | | | $ | (819 | ) | | $ | (1,021 | ) | | $ | 3,432 | | | $ | 3,713 | |
Net realized gain (loss) | | | 42,904 | | | | 7,589 | | | | 38,152 | | | | (12,598 | ) | | | 91,145 | | | | 20,760 | |
Net change in unrealized appreciation (depreciation) | | | 27,244 | | | | 36,943 | | | | 48,978 | | | | 36,996 | | | | 106,560 | | | | 56,592 | |
Net Increase in Net Assets Resulting from Operations | | | 74,445 | | | | 49,226 | | | | 86,311 | | | | 23,377 | | | | 201,137 | | | | 81,065 | |
Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Class F: | | | (9,597 | ) | | | (17,913 | ) | | | — | | | | (140 | ) | | | (22,245 | ) | | | (6,859 | ) |
Class I: | | | (15 | ) | | | (49 | ) | | | — | | | | — | | | | N/A | | | | N/A | |
Class Y: | | | (1,529 | ) | | | (3,645 | ) | | | — | | | | (104 | ) | | | (3,572 | ) | | | (1,114 | ) |
Total Distributions | | | (11,141 | ) | | | (21,607 | ) | | | — | | | | (244 | ) | | | (25,817 | ) | | | (7,973 | ) |
Capital Share Transactions:(1) | | | | | | | | | | | | | | | | | | | | | | | | |
Class F: | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | 36,536 | | | | 33,742 | | | | 37,909 | | | | 31,851 | | | | 47,340 | | | | 55,669 | |
Reinvestment of dividends & distributions | | | 8,931 | | | | 16,689 | | | | — | | | | 130 | | | | 18,896 | | | | 5,842 | |
Cost of shares redeemed | | | (70,915 | ) | | | (66,384 | ) | | | (62,048 | ) | | | (53,753 | ) | | | (121,350 | ) | | | (147,076 | ) |
Net decrease from Class F transactions | | | (25,448 | ) | | | (15,953 | ) | | | (24,139 | ) | | | (21,772 | ) | | | (55,114 | ) | | | (85,565 | ) |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | 17 | | | | 35 | | | | 80 | | | | 121 | | | | N/A | | | | N/A | |
Reinvestment of dividends & distributions | | | 12 | | | | 44 | | | | — | | | | — | | | | N/A | | | | N/A | |
Cost of shares redeemed | | | (86 | ) | | | (470 | ) | | | (148 | ) | | | (683 | ) | | | N/A | | | | N/A | |
Net increase (decrease) from Class I transactions | | | (57 | ) | | | (391 | ) | | | (68 | ) | | | (562 | ) | | | N/A | | | | N/A | |
Class Y: | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | 2,237 | | | | 10,097 | | | | 2,584 | | | | 7,367 | | | | 9,034 | | | | 21,808 | |
Reinvestment of dividends & distributions | | | 1,360 | | | | 3,519 | | | | — | | | | 100 | | | | 3,077 | | | | 1,020 | |
Cost of shares redeemed | | | (16,752 | ) | | | (29,680 | ) | | | (8,370 | ) | | | (10,177 | ) | | | (17,904 | ) | | | (17,984 | ) |
Net increase (decrease) from Class Y transactions | | | (13,155 | ) | | | (16,064 | ) | | | (5,786 | ) | | | (2,710 | ) | | | (5,793 | ) | | | 4,844 | |
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | | | (38,660 | ) | | | (32,408 | ) | | | (29,993 | ) | | | (25,044 | ) | | | (60,907 | ) | | | (80,721 | ) |
Net Increase (Decrease) in Net Assets | | | 24,644 | | | | (4,789 | ) | | | 56,318 | | | | (1,911 | ) | | | 114,413 | | | | (7,629 | ) |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | 343,050 | | | | 347,839 | | | | 308,042 | | | | 309,953 | | | | 773,120 | | | | 780,749 | |
End of year | | $ | 367,694 | | | $ | 343,050 | | | $ | 364,360 | | | $ | 308,042 | | | $ | 887,533 | | | $ | 773,120 | |
(1) | See Note 7 in Notes to Financial Statements for additional information. | | |
N/A — Not applicable. Shares currently not offered.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
| | Mid-Cap Fund | | | U.S. Managed Volatility Fund | | | Global Managed Volatility Fund | | | Tax-Managed Managed Volatility Fund | | | Tax-Managed International Managed Volatility Fund | |
| | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 544 | | | $ | 462 | | | $ | 12,396 | | | $ | 14,726 | | | $ | 14,397 | | | $ | 14,679 | | | $ | 7,172 | | | $ | 8,629 | | | $ | 8,714 | | | $ | 8,987 | |
| | | 7,171 | | | | (2,683 | ) | | | 78,313 | | | | 72,322 | | | | 41,419 | | | | 27,465 | | | | 122,144 | | | | 100,515 | | | | 12,837 | | | | (9,497 | ) |
| | | 12,726 | | | | 10,385 | | | | 58,986 | | | | (2,484 | ) | | | 107,479 | | | | 58,320 | | | | 79,608 | | | | (13,169 | ) | | | 37,617 | | | | 60,591 | |
| | | 20,441 | | | | 8,164 | | | | 149,695 | | | | 84,564 | | | | 163,295 | | | | 100,464 | | | | 208,924 | | | | 95,975 | | | | 59,168 | | | | 60,081 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (379 | ) | | | (499 | ) | | | (67,170 | ) | | | (69,027 | ) | | | (36,445 | ) | | | (73,644 | ) | | | (94,844 | ) | | | (51,719 | ) | | | (8,206 | ) | | | (7,560 | ) |
| | | (1 | ) | | | (2 | ) | | | (71 | ) | | | (56 | ) | | | (27 | ) | | | (46 | ) | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| | | (44 | ) | | | (38 | ) | | | (21,449 | ) | | | (17,547 | ) | | | (6,802 | ) | | | (11,197 | ) | | | (14,617 | ) | | | (5,716 | ) | | | (2,081 | ) | | | (1,396 | ) |
| | | (424 | ) | | | (539 | ) | | | (88,690 | ) | | | (86,630 | ) | | | (43,274 | ) | | | (84,887 | ) | | | (109,461 | ) | | | (57,435 | ) | | | (10,287 | ) | | | (8,956 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 8,889 | | | | 11,051 | | | | 61,561 | | | | 88,799 | | | | 220,616 | | | | 87,777 | | | | 38,491 | | | | 68,223 | | | | 16,853 | | | | 50,744 | |
| | | 353 | | | | 464 | | | | 58,267 | | | | 58,465 | | | | 30,528 | | | | 62,439 | | | | 77,623 | | | | 42,102 | | | | 7,051 | | | | 6,387 | |
| | | (22,439 | ) | | | (14,291 | ) | | | (268,138 | ) | | | (211,518 | ) | | | (291,337 | ) | | | (211,642 | ) | | | (170,017 | ) | | | (233,709 | ) | | | (66,363 | ) | | | (101,616 | ) |
| | | (13,197 | ) | | | (2,776 | ) | | | (148,310 | ) | | | (64,254 | ) | | | (40,193 | ) | | | (61,426 | ) | | | (53,903 | ) | | | (123,384 | ) | | | (42,459 | ) | | | (44,485 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 44 | | | | 10 | | | | 7 | | | | — | | | | 2 | | | | — | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| | | 1 | | | | 2 | | | | 71 | | | | 55 | | | | 27 | | | | 45 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| | | (134 | ) | | | (50 | ) | | | (9 | ) | | | — | | | | — | | | | — | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| | | (89 | ) | | | (38 | ) | | | 69 | | | | 55 | | | | 29 | | | | 45 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 4,679 | | | | 918 | | | | 21,831 | | | | 35,141 | | | | 13,888 | | | | 35,591 | | | | 6,732 | | | | 37,706 | | | | 2,085 | | | | 28,774 | |
| | | 44 | | | | 38 | | | | 18,832 | | | | 15,492 | | | | 5,748 | | | | 9,232 | | | | 11,006 | | | | 4,945 | | | | 1,575 | | | | 1,292 | |
| | | (1,619 | ) | | | (518 | ) | | | (50,011 | ) | | | (37,085 | ) | | | (36,061 | ) | | | (33,751 | ) | | | (22,526 | ) | | | (18,214 | ) | | | (11,296 | ) | | | (21,579 | ) |
| | | 3,104 | | | | 438 | | | | (9,348 | ) | | | 13,548 | | | | (16,425 | ) | | | 11,072 | | | | (4,788 | ) | | | 24,437 | | | | (7,636 | ) | | | 8,487 | |
| | | (10,182 | ) | | | (2,376 | ) | | | (157,589 | ) | | | (50,651 | ) | | | (56,589 | ) | | | (50,309 | ) | | | (58,691 | ) | | | (98,947 | ) | | | (50,095 | ) | | | (35,998 | ) |
| | | 9,835 | | | | 5,249 | | | | (96,584 | ) | | | (52,717 | ) | | | 63,432 | | | | (34,732 | ) | | | 40,772 | | | | (60,407 | ) | | | (1,214 | ) | | | 15,127 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 74,243 | | | | 68,994 | | | | 744,725 | | | | 797,442 | | | | 781,654 | | | | 816,386 | | | | 805,267 | | | | 865,674 | | | | 307,731 | | | | 292,604 | |
| | $ | 84,078 | | | $ | 74,243 | | | $ | 648,141 | | | $ | 744,725 | | | $ | 845,086 | | | $ | 781,654 | | | $ | 846,039 | | | $ | 805,267 | | | $ | 306,517 | | | $ | 307,731 | |
SEI Institutional Managed Trust
STATEMENTS OF CHANGES IN NET ASSETS/CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
| | | Real Estate Fund | | | Core Fixed Income Fund | | | High Yield Bond Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 1,353 | | | $ | 1,208 | | | $ | 139,958 | | | $ | 124,711 | | | $ | 103,278 | | | $ | 93,713 | |
Net realized gain (loss) | | | 1,598 | | | | 392 | | | | (28,726 | ) | | | (240,595 | ) | | | (40,703 | ) | | | (71,507 | ) |
Net change in unrealized appreciation | | | 19,093 | | | | 680 | | | | 287,164 | | | | 141,414 | | | | 98,394 | | | | 93,008 | |
Net Increase in Net Assets Resulting from Operations | | | 22,044 | | | | 2,280 | | | | 398,396 | | | | 25,530 | | | | 160,969 | | | | 115,214 | |
Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Class F: | | | (1,425 | ) | | | (2,988 | ) | | | (118,352 | ) | | | (105,097 | ) | | | (111,376 | ) | | | (159,073 | ) |
Class I: | | | (4 | ) | | | (8 | ) | | | (100 | ) | | | (92 | ) | | | — | | | | — | |
Class Y: | | | (368 | ) | | | (709 | ) | | | (15,508 | ) | | | (14,887 | ) | | | (18,122 | ) | | | (22,895 | ) |
Return of Capital: | | | | | | | | | | | | | | | | | | | | | | | | |
Class F | | | — | | | | — | | | | (5,364 | ) | | | — | | | | (16,218 | ) | | | (15,784 | ) |
Class I | | | — | | | | — | | | | (5 | ) | | | — | | | | — | | | | — | |
Class Y | | | — | | | | — | | | | (694 | ) | | | — | | | | (2,776 | ) | | | (2,423 | ) |
Total Distributions | | | (1,797 | ) | | | (3,705 | ) | | | (140,023 | ) | | | (120,076 | ) | | | (148,492 | ) | | | (200,175 | ) |
Capital Share Transactions:(1) | | | | | | | | | | | | | | | | | | | | | | | | |
Class F: | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | 5,334 | | | | 7,178 | | | | 802,804 | | | | 484,446 | | | | 256,473 | | | | 194,492 | |
Reinvestment of dividends & distributions | | | 1,272 | | | | 2,675 | | | | 113,765 | | | | 96,494 | | | | 114,699 | | | | 154,550 | |
Cost of shares redeemed | | | (14,698 | ) | | | (14,747 | ) | | | (872,380 | ) | | | (723,326 | ) | | | (458,497 | ) | | | (316,778 | ) |
Net increase (decrease) from Class F transactions | | | (8,092 | ) | | | (4,894 | ) | | | 44,189 | | | | (142,386 | ) | | | (87,325 | ) | | | 32,264 | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | 1 | | | | 1 | | | | 304 | | | | 188 | | | | — | | | | — | |
Reinvestment of dividends & distributions | | | 4 | | | | 8 | | | | 81 | | | | 67 | | | | — | | | | 1 | |
Cost of shares redeemed | | | (1 | ) | | | — | | | | (361 | ) | | | (907 | ) | | | (1 | ) | | | — | |
Net increase (decrease) from Class I transactions | | | 4 | | | | 9 | | | | 24 | | | | (652 | ) | | | (1 | ) | | | 1 | |
Class Y: | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | 1,240 | | | | 1,450 | | | | 68,244 | | | | 108,262 | | | | 46,750 | | | | 55,587 | |
Reinvestment of dividends & distributions | | | 364 | | | | 691 | | | | 15,634 | | | | 14,522 | | | | 20,445 | | | | 24,773 | |
Cost of shares redeemed | | | (4,031 | ) | | | (2,788 | ) | | | (98,537 | ) | | | (135,428 | ) | | | (51,678 | ) | | | (73,565 | ) |
Net increase (decrease) from Class Y transactions | | | (2,427 | ) | | | (647 | ) | | | (14,659 | ) | | | (12,644 | ) | | | 15,517 | | | | 6,795 | |
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | | | (10,515 | ) | | | (5,532 | ) | | | 29,554 | | | | (155,682 | ) | | | (71,809 | ) | | | 39,060 | |
Net Increase (Decrease) in Net Assets | | | 9,732 | | | | (6,957 | ) | | | 287,927 | | | | (250,228 | ) | | | (59,332 | ) | | | (45,901 | ) |
Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | 68,206 | | | | 75,163 | | | | 3,355,468 | | | | 3,605,696 | | | | 1,229,003 | | | | 1,274,904 | |
End of year | | $ | 77,938 | | | $ | 68,206 | | | $ | 3,643,395 | | | $ | 3,355,468 | | | $ | 1,169,671 | | | $ | 1,229,003 | |
(1) | See Note 7 in Notes to Financial Statements for additional information. | | |
N/A — Not applicable. Shares currently not offered.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
STATEMENTS OF CHANGES IN NET ASSETS/CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
| | Conservative Income Fund | | | Tax-Free Conservative Income Fund | | | Real Return Fund | | | Dynamic Asset Allocation Fund | |
| | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 32,597 | | | $ | 18,702 | | | $ | 5,708 | | | $ | 4,638 | | | $ | 12,326 | | | $ | 5,304 | | | $ | 9,496 | | | $ | 8,708 | |
| | | (1 | ) | | | 14 | | | | — | | | | — | | | | (4,544 | ) | | | (7,801 | ) | | | 57,847 | | | | 52,681 | |
| | | 463 | | | | 11 | | | | 153 | | | | 108 | | | | 15,069 | | | | 8,424 | | | | 140,421 | | | | 47,536 | |
| | | 33,059 | | | | 18,727 | | | | 5,861 | | | | 4,746 | | | | 22,851 | | | | 5,927 | | | | 207,764 | | | | 108,925 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (32,061 | ) | | | (18,067 | ) | | | (5,452 | ) | | | (4,512 | ) | | | (10,644 | ) | | | (10,924 | ) | | | (59,917 | ) | | | (79,107 | ) |
| | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| | | (586 | ) | | | (609 | ) | | | (231 | ) | | | (126 | ) | | | (683 | ) | | | (784 | ) | | | (3,873 | ) | | | (4,735 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | (32,647 | ) | | | (18,676 | ) | | | (5,683 | ) | | | (4,638 | ) | | | (11,327 | ) | | | (11,708 | ) | | | (63,790 | ) | | | (83,842 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 616,288 | | | | 365,408 | | | | 96,251 | | | | 52,126 | | | | 234,544 | | | | 40,950 | | | | 145,421 | | | | 73,864 | |
| | | 25,958 | | | | 14,691 | | | | 4,250 | | | | 3,680 | | | | 9,155 | | | | 8,963 | | | | 55,911 | | | | 73,416 | |
| | | (395,144 | ) | | | (261,048 | ) | | | (82,371 | ) | | | (68,797 | ) | | | (78,872 | ) | | | (102,122 | ) | | | (235,878 | ) | | | (128,344 | ) |
| | | 247,102 | | | | 119,051 | | | | 18,130 | | | | (12,991 | ) | | | 164,827 | | | | (52,209 | ) | | | (34,546 | ) | | | 18,936 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 7,276 | | | | 6,694 | | | | 11,725 | | | | 2,221 | | | | 15,410 | | | | 3,939 | | | | 49,282 | | | | 8,790 | |
| | | 547 | | | | 570 | | | | 215 | | | | 117 | | | | 657 | | | | 738 | | | | 3,776 | | | | 4,616 | |
| | | (12,868 | ) | | | (7,343 | ) | | | (7,046 | ) | | | (3,260 | ) | | | (5,978 | ) | | | (6,781 | ) | | | (17,112 | ) | | | (8,146 | ) |
| | | (5,045 | ) | | | (79 | ) | | | 4,894 | | | | (922 | ) | | | 10,089 | | | | (2,104 | ) | | | 35,946 | | | | 5,260 | |
| | | 242,057 | | | | 118,972 | | | | 23,024 | | | | (13,913 | ) | | | 174,916 | | | | (54,313 | ) | | | 1,400 | | | | 24,196 | |
| | | 242,469 | | | | 119,023 | | | | 23,202 | | | | (13,805 | ) | | | 186,440 | | | | (60,094 | ) | | | 145,374 | | | | 49,279 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 479,303 | | | | 360,280 | | | | 167,895 | | | | 181,700 | | | | 197,680 | | | | 257,774 | | | | 682,737 | | | | 633,458 | |
| | $ | 721,772 | | | $ | 479,303 | | | $ | 191,097 | | | $ | 167,895 | | | $ | 384,120 | | | $ | 197,680 | | | $ | 828,111 | | | $ | 682,737 | |
SEI Institutional Managed Trust
STATEMENTS OF CHANGES IN NET ASSETS/CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
| | | Multi-Strategy Alternative Fund | | | Liquid Alternative Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | (1) |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 14,682 | | | $ | 15,304 | | | $ | 4,901 | | | $ | 108 | |
Net realized gain (loss) | | | 11,148 | | | | (6,235 | ) | | | 1,819 | | | | (52 | ) |
Net change in unrealized appreciation (depreciation) | | | 6,556 | | | | 11,759 | | | | 2,811 | | | | 132 | |
Net Increase in Net Assets Resulting from Operations | | | 32,386 | | | | 20,828 | | | | 9,531 | | | | 188 | |
Distributions: | | | | | | | | | | | | | | | | |
Class F: | | | (14,660 | ) | | | (8,221 | ) | | | (111 | ) | | | — | |
Class Y: | | | (629 | ) | | | (190 | ) | | | (280 | ) | | | — | |
Return of Capital: | | | | | | | | | | | | | | | | |
Class F | | | — | | | | — | | | | — | | | | — | |
Class Y | | | — | | | | — | | | | — | | | | — | |
Total Distributions | | | (15,289 | ) | | | (8,411 | ) | | | (391 | ) | | | — | |
Capital Share Transactions:(2) | | | | | | | | | | | | | | | | |
Class F: | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | 19,847 | | | | 36,509 | | | | 203,720 | | | | 527 | |
Reinvestment of dividends & distributions | | | 13,135 | | | | 7,370 | | | | 78 | | | | — | |
Cost of shares redeemed | | | (140,961 | ) | | | (96,545 | ) | | | (29,030 | ) | | | — | |
Net increase (decrease) from Class F transactions | | | (107,979 | ) | | | (52,666 | ) | | | 174,768 | | | | 527 | |
Class Y: | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | | 1,577 | | | | 7,604 | | | | 11,292 | | | | 11,651 | |
Reinvestment of dividends & distributions | | | 602 | | | | 176 | | | | 280 | | | | — | |
Cost of shares redeemed | | | (10,851 | ) | | | (1,893 | ) | | | (3,105 | ) | | | (1,008 | ) |
Net increase (decrease) from Class Y transactions | | | (8,672 | ) | | | 5,887 | | | | 8,467 | | | | 10,643 | |
Increase (Decrease) in Net Assets Derived from Capital Share Transactions | | | (116,651 | ) | | | (46,779 | ) | | | 183,235 | | | | 11,170 | |
Net Increase (Decrease) in Net Assets | | | (99,554 | ) | | | (34,362 | ) | | | 192,375 | | | | 11,358 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of year | | | 368,583 | | | | 402,945 | | | | 11,358 | | | | — | |
End of year | | $ | 269,029 | | | $ | 368,583 | | | $ | 203,733 | | | $ | 11,358 | |
(1) | Commenced operations on June 30, 2023. |
(2) | See Note 7 in Notes to Financial Statements for additional information. |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
STATEMENTS OF CHANGES IN NET ASSETS/CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended September 30,
| | Multi-Asset Accumulation Fund | | | Multi-Asset Income Fund | | | Multi-Asset Inflation Managed Fund | | | Multi-Asset Capital Stability Fund | |
| | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 54,716 | | | $ | 65,399 | | | $ | 39,927 | | | $ | 45,447 | | | $ | 23,636 | | | $ | 25,451 | | | $ | 21,227 | | | $ | 20,974 | |
| | | 64,838 | | | | (113,649 | ) | | | (32,834 | ) | | | (23,369 | ) | | | (2,355 | ) | | | (42,391 | ) | | | 34,989 | | | | (10,868 | ) |
| | | 118,670 | | | | 106,191 | | | | 84,639 | | | | 33,553 | | | | 15,855 | | | | 29,107 | | | | (4,285 | ) | | | 16,299 | |
| | | 238,224 | | | | 57,941 | | | | 91,732 | | | | 55,631 | | | | 37,136 | | | | 12,167 | | | | 51,931 | | | | 26,405 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (20,226 | ) | | | (179,960 | ) | | | (30,788 | ) | | | (39,438 | ) | | | (22,723 | ) | | | (84,359 | ) | | | (21,077 | ) | | | (11,392 | ) |
| | | (1,252 | ) | | | (10,363 | ) | | | (8,881 | ) | | | (9,773 | ) | | | (1,270 | ) | | | (4,142 | ) | | | (1,083 | ) | | | (616 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (16,112 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | (998 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | (38,588 | ) | | | (190,323 | ) | | | (39,669 | ) | | | (49,211 | ) | | | (23,993 | ) | | | (88,501 | ) | | | (22,160 | ) | | | (12,008 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 129,200 | | | | 231,510 | | | | 44,256 | | | | 71,594 | | | | 57,969 | | | | 83,175 | | | | 45,691 | | | | 77,998 | |
| | | 32,886 | | | | 162,704 | | | | 25,843 | | | | 33,770 | | | | 20,689 | | | | 76,463 | | | | 16,281 | | | | 8,961 | |
| | | (892,797 | ) | | | (371,773 | ) | | | (224,990 | ) | | | (146,576 | ) | | | (196,504 | ) | | | (221,183 | ) | | | (159,782 | ) | | | (174,917 | ) |
| | | (730,711 | ) | | | 22,441 | | | | (154,891 | ) | | | (41,212 | ) | | | (117,846 | ) | | | (61,545 | ) | | | (97,810 | ) | | | (87,958 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 14,061 | | | | 36,023 | | | | 16,856 | | | | 20,808 | | | | 11,131 | | | | 7,712 | | | | 1,667 | | | | 3,204 | |
| | | 2,165 | | | | 10,041 | | | | 8,719 | | | | 9,191 | | | | 1,224 | | | | 4,022 | | | | 1,031 | | | | 590 | |
| | | (38,228 | ) | | | (87,982 | ) | | | (26,558 | ) | | | (41,539 | ) | | | (7,060 | ) | | | (12,289 | ) | | | (8,388 | ) | | | (7,469 | ) |
| | | (22,002 | ) | | | (41,918 | ) | | | (983 | ) | | | (11,540 | ) | | | 5,295 | | | | (555 | ) | | | (5,690 | ) | | | (3,675 | ) |
| | | (752,713 | ) | | | (19,477 | ) | | | (155,874 | ) | | | (52,752 | ) | | | (112,551 | ) | | | (62,100 | ) | | | (103,500 | ) | | | (91,633 | ) |
| | | (553,077 | ) | | | (151,859 | ) | | | (103,811 | ) | | | (46,332 | ) | | | (99,408 | ) | | | (138,434 | ) | | | (73,729 | ) | | | (77,236 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 1,881,228 | | | | 2,033,087 | | | | 659,832 | | | | 706,164 | | | | 679,693 | | | | 818,127 | | | | 581,570 | | | | 658,806 | |
| | $ | 1,328,151 | | | $ | 1,881,228 | | | $ | 556,021 | | | $ | 659,832 | | | $ | 580,285 | | | $ | 679,693 | | | $ | 507,841 | | | $ | 581,570 | |
SEI Institutional Managed Trust
CONSOLIDATED STATEMENT OF CASH FLOWS ($ Thousands)
September 30, 2024
Multi-Asset Inflation Managed Fund |
Cash Flows Provided By Operating Activities: | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 37,136 | |
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash Provided by Operating Activities: | | | | |
Purchase of Investment Securities | | | (473,425 | ) |
Proceeds from Disposition of Investment Securities | | | 672,774 | |
Proceeds from Securities Sold Short | | | (51,763 | ) |
Purchases to Cover Securities Sold Short | | | 21,398 | |
Purchased options and purchases to cover written options | | | (91 | ) |
Proceeds from sale of options and expired options | | | (78 | ) |
Amortization (Accretion of Market Discount) | | | (15,539 | ) |
Net Realized (Gain) Loss on: | | | | |
Investments, Options and Securities Sold Short | | | (10,197 | ) |
Net Change in Unrealized (Appreciation) Depreciation on: | | | | |
Investments, Options and Securities Sold Short | | | (15,548 | ) |
Changes in Assets: | | | | |
Receivable for Investment Securities Sold | | | 487 | |
Dividends and Interest Receivable | | | 257 | |
Receivable for Variation Margin on Futures | | | 194 | |
Receivable for Variation Margin on Swaps | | | (143 | ) |
Unrealized Gain on Forward Foreign Currency Contracts | | | 107 | |
Due from Broker | | | (463 | ) |
Prepaid expenses | | | 3 | |
Changes in Liabilities: | | | | |
OTC Swap Contracts, at Value | | | (100 | ) |
Payable for Investment Securities Purchased | | | (505 | ) |
Payable for Variation Margin on Futures | | | (987 | ) |
Payable for Variation Margin on Swaps | | | (136 | ) |
Shareholder Servicing Fees Payable | | | (24 | ) |
Unrealized Loss on Forward Foreign Currency Contracts | | | 38 | |
Investment Advisory Fees Payable | | | (30 | ) |
Administration Fees Payable | | | (11 | ) |
CCO Fees Payable | | | 1 | |
Accrued Expense Payable | | | (24 | ) |
Due to Broker | | | 1,330 | |
Repurchase Agreements Payable | | | 281 | |
Reverse Repurchase Agreements | | | (55,251 | ) |
Net Cash Provided by Operating Activities | | | 109,691 | |
Cash Flows Used In Financing Activities | | | | |
Dividends and Distributions | | | (23,993 | ) |
Reinvestment of Dividends and Distributions | | | 21,913 | |
Proceeds from Shares Issued | | | 69,351 | |
Cost of Shares Redeemed | | | (203,512 | ) |
Net Cash Used In Financing Activities | | | (136,241 | ) |
Net Change in Cash, Restricted Cash, and Foreign Currency | | | (26,550 | ) |
Cash, Restricted Cash, and Foreign Currency at Beginning of Year | | $ | 116,555 | |
Cash, Restricted Cash, and Foreign Currency at End of Year | | $ | 90,005 | |
Supplemental Disclosure of Cash Flow Information Interest paid | | $ | 4,834 | |
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
Large Cap Fund |
Class F |
2024 | | $ | 13.55 | | | $ | 0.12 | | | $ | 4.07 | | | $ | 4.19 | | | $ | (0.12 | ) | | $ | (0.83 | ) | | $ | (0.95 | ) | | $ | 16.79 | | | | 32.33 | % | | $ | 1,588,186 | | | | 0.89 | % | | | 0.97 | % | | | 0.78 | % | | | 34 | % |
2023 | | | 12.66 | | | | 0.12 | | | | 2.09 | | | | 2.21 | | | | (0.09 | ) | | | (1.23 | ) | | | (1.32 | ) | | | 13.55 | | | | 18.19 | | | | 1,565,195 | | | | 0.89 | | | | 0.97 | | | | 0.89 | | | | 26 | |
2022 | | | 17.51 | | | | 0.12 | | | | (2.62 | ) | | | (2.50 | ) | | | (0.10 | ) | | | (2.25 | ) | | | (2.35 | ) | | | 12.66 | | | | (17.25 | ) | | | 1,519,963 | | | | 0.89 | | | | 0.95 | | | | 0.75 | | | | 39 | |
2021 | | | 13.95 | | | | 0.10 | | | | 4.00 | | | | 4.10 | | | | (0.12 | ) | | | (0.42 | ) | | | (0.54 | ) | | | 17.51 | | | | 29.93 | | | | 2,050,558 | | | | 0.89 | | | | 0.95 | | | | 0.63 | | | | 33 | |
2020 | | | 13.94 | | | | 0.16 | | | | 0.89 | | | | 1.05 | | | | (0.18 | ) | | | (0.86 | ) | | | (1.04 | ) | | | 13.95 | | | | 7.67 | | | | 1,944,209 | | | | 0.89 | | | | 0.96 | | | | 1.16 | | | | 63 | |
Class Y |
2024 | | $ | 13.57 | | | $ | 0.15 | | | $ | 4.08 | | | $ | 4.23 | | | $ | (0.16 | ) | | $ | (0.83 | ) | | $ | (0.99 | ) | | $ | 16.81 | | | | 32.61 | % | | $ | 63,939 | | | | 0.65 | % | | | 0.72 | % | | | 1.02 | % | | | 34 | % |
2023 | | | 12.66 | | | | 0.15 | | | | 2.11 | | | | 2.26 | | | | (0.12 | ) | | | (1.23 | ) | | | (1.35 | ) | | | 13.57 | | | | 18.59 | | | | 52,696 | | | | 0.64 | | | | 0.72 | | | | 1.14 | | | | 26 | |
2022 | | | 17.52 | | | | 0.15 | | | | (2.62 | ) | | | (2.47 | ) | | | (0.14 | ) | | | (2.25 | ) | | | (2.39 | ) | | | 12.66 | | | | (17.08 | ) | | | 49,941 | | | | 0.64 | | | | 0.70 | | | | 0.95 | | | | 39 | |
2021 | | | 13.95 | | | | 0.15 | | | | 4.00 | | | | 4.15 | | | | (0.16 | ) | | | (0.42 | ) | | | (0.58 | ) | | | 17.52 | | | | 30.33 | | | | 109,909 | | | | 0.64 | | | | 0.70 | | | | 0.88 | | | | 33 | |
2020 | | | 13.95 | | | | 0.19 | | | | 0.89 | | | | 1.08 | | | | (0.22 | ) | | | (0.86 | ) | | | (1.08 | ) | | | 13.95 | | | | 7.86 | | | | 103,168 | | | | 0.64 | | | | 0.71 | | | | 1.41 | | | | 63 | |
Large Cap Value Fund |
Class F |
2024 | | $ | 23.86 | | | $ | 0.52 | | | $ | 5.21 | | | $ | 5.73 | | | $ | (0.43 | ) | | $ | (1.27 | ) | | $ | (1.70 | ) | | $ | 27.89 | | | | 25.09 | % | | $ | 1,268,429 | | | | 0.89 | % | | | 0.93 | % | | | 2.04 | % | | | 15 | % |
2023 | | | 23.02 | | | | 0.52 | | | | 2.70 | | | | 3.22 | | | | (0.61 | ) | | | (1.77 | ) | | | (2.38 | ) | | | 23.86 | | | | 14.03 | | | | 1,110,985 | | | | 0.89 | | | | 0.93 | | | | 2.11 | | | | 22 | |
2022 | | | 27.27 | | | | 0.49 | | | | (3.07 | ) | | | (2.58 | ) | | | (0.48 | ) | | | (1.19 | ) | | | (1.67 | ) | | | 23.02 | | | | (10.30 | ) | | | 1,068,126 | | | | 0.89 | | | | 0.93 | | | | 1.81 | | | | 24 | |
2021 | | | 20.11 | | | | 0.46 | | | | 7.16 | | | | 7.62 | | | | (0.46 | ) | | | — | | | | (0.46 | ) | | | 27.27 | | | | 38.21 | | | | 1,322,518 | | | | 0.89 | | | | 0.93 | | | | 1.80 | | | | 29 | |
2020 | | | 23.25 | | | | 0.45 | | | | (2.70 | ) | | | (2.25 | ) | | | (0.46 | ) | | | (0.43 | ) | | | (0.89 | ) | | | 20.11 | | | | (9.96 | ) | | | 1,097,338 | | | | 0.89 | | | | 0.93 | | | | 2.15 | | | | 65 | |
Class I |
2024 | | $ | 23.90 | | | $ | 0.47 | | | $ | 5.21 | | | $ | 5.68 | | | $ | (0.37 | ) | | $ | (1.27 | ) | | $ | (1.64 | ) | | $ | 27.94 | | | | 24.81 | % | | $ | 1,393 | | | | 1.11 | % | | | 1.18 | % | | | 1.83 | % | | | 15 | % |
2023 | | | 23.05 | | | | 0.46 | | | | 2.72 | | | | 3.18 | | | | (0.56 | ) | | | (1.77 | ) | | | (2.33 | ) | | | 23.90 | | | | 13.79 | | | | 1,323 | | | | 1.11 | | | | 1.18 | | | | 1.87 | | | | 22 | |
2022 | | | 27.30 | | | | 0.43 | | | | (3.07 | ) | | | (2.64 | ) | | | (0.42 | ) | | | (1.19 | ) | | | (1.61 | ) | | | 23.05 | | | | (10.52 | ) | | | 2,111 | | | | 1.11 | | | | 1.18 | | | | 1.57 | | | | 24 | |
2021 | | | 20.13 | | | | 0.40 | | | | 7.18 | | | | 7.58 | | | | (0.41 | ) | | | — | | | | (0.41 | ) | | | 27.30 | | | | 37.93 | | | | 3,060 | | | | 1.11 | | | | 1.18 | | | | 1.58 | | | | 29 | |
2020 | | | 23.27 | | | | 0.41 | | | | (2.71 | ) | | | (2.30 | ) | | | (0.41 | ) | | | (0.43 | ) | | | (0.84 | ) | | | 20.13 | | | | (10.17 | ) | | | 2,454 | | | | 1.11 | | | | 1.18 | | | | 1.93 | | | | 65 | |
Class Y |
2024 | | $ | 23.86 | | | $ | 0.58 | | | $ | 5.20 | | | $ | 5.78 | | | $ | (0.49 | ) | | $ | (1.27 | ) | | $ | (1.76 | ) | | $ | 27.88 | | | | 25.36 | % | | $ | 95,700 | | | | 0.64 | % | | | 0.68 | % | | | 2.30 | % | | | 15 | % |
2023 | | | 23.02 | | | | 0.58 | | | | 2.70 | | | | 3.28 | | | | (0.67 | ) | | | (1.77 | ) | | | (2.44 | ) | | | 23.86 | | | | 14.32 | | | | 124,219 | | | | 0.64 | | | | 0.68 | | | | 2.35 | | | | 22 | |
2022 | | | 27.27 | | | | 0.56 | | | | (3.07 | ) | | | (2.51 | ) | | | (0.55 | ) | | | (1.19 | ) | | | (1.74 | ) | | | 23.02 | | | | (10.06 | ) | | | 174,123 | | | | 0.64 | | | | 0.68 | | | | 2.06 | | | | 24 | |
2021 | | | 20.11 | | | | 0.52 | | | | 7.16 | | | | 7.68 | | | | (0.52 | ) | | | — | | | | (0.52 | ) | | | 27.27 | | | | 38.55 | | | | 203,964 | | | | 0.64 | | | | 0.68 | | | | 2.05 | | | | 29 | |
2020 | | | 23.26 | | | | 0.51 | | | | (2.71 | ) | | | (2.20 | ) | | | (0.52 | ) | | | (0.43 | ) | | | (0.95 | ) | | | 20.11 | | | | (9.76 | ) | | | 148,423 | | | | 0.64 | | | | 0.68 | | | | 2.40 | | | | 65 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
Large Cap Growth Fund |
Class F |
2024 | | $ | 40.64 | | | $ | 0.04 | | | $ | 15.52 | | | $ | 15.56 | | | $ | — | | | $ | (6.66 | ) | | $ | (6.66 | ) | | $ | 49.54 | | | | 42.71 | % | | $ | 1,405,182 | | | | 0.89 | % | | | 0.98 | % | | | 0.09 | % | | | 65 | % |
2023 | | | 34.86 | | | | 0.04 | | | | 8.46 | | | | 8.50 | | | | (0.04 | ) | | | (2.68 | ) | | | (2.72 | ) | | | 40.64 | | | | 25.88 | | | | 1,190,786 | | | | 0.89 | | | | 0.98 | | | | 0.11 | | | | 67 | |
2022 | | | 51.97 | | | | (0.02 | ) | | | (10.34 | ) | | | (10.36 | ) | | | (0.01 | ) | | | (6.74 | ) | | | (6.75 | ) | | | 34.86 | | | | (23.91 | ) | | | 1,110,117 | | | | 0.89 | | | | 0.97 | | | | (0.04 | ) | | | 61 | |
2021 | | | 45.29 | | | | (0.13 | ) | | | 11.07 | | | | 10.94 | | | | (0.03 | ) | | | (4.23 | ) | | | (4.26 | ) | | | 51.97 | | | | 25.80 | | | | 1,515,191 | | | | 0.89 | | | | 0.97 | | | | (0.26 | ) | | | 42 | |
2020 | | | 35.79 | | | | 0.04 | | | | 11.63 | | | | 11.67 | | | | (0.08 | ) | | | (2.09 | ) | | | (2.17 | ) | | | 45.29 | | | | 34.07 | | | | 1,395,858 | | | | 0.89 | | | | 0.98 | | | | 0.11 | | | | 58 | |
Class I |
2024 | | $ | 38.86 | | | $ | (0.06 | ) | | $ | 14.75 | | | $ | 14.69 | | | $ | — | | | $ | (6.66 | ) | | $ | (6.66 | ) | | $ | 46.89 | | | | 42.39 | % | | $ | 2,259 | | | | 1.11 | % | | | 1.23 | % | | | (0.14 | )% | | | 65 | % |
2023 | | | 33.49 | | | | (0.04 | ) | | | 8.10 | | | | 8.06 | | | | (0.01 | ) | | | (2.68 | ) | | | (2.69 | ) | | | 38.86 | | | | 25.61 | | | | 1,913 | | | | 1.11 | | | | 1.23 | | | | (0.10 | ) | | | 67 | |
2022 | | | 50.26 | | | | (0.13 | ) | | | (9.90 | ) | | | (10.03 | ) | | | — | | | | (6.74 | ) | | | (6.74 | ) | | | 33.49 | | | | (24.08 | ) | | | 2,094 | | | | 1.11 | | | | 1.22 | | | | (0.30 | ) | | | 61 | |
2021 | | | 43.99 | | | | (0.23 | ) | | | 10.73 | | | | 10.50 | | | | — | | | | (4.23 | ) | | | (4.23 | ) | | | 50.26 | | | | 25.53 | | | | 4,178 | | | | 1.11 | | | | 1.22 | | | | (0.49 | ) | | | 42 | |
2020 | | | 34.86 | | | | (0.04 | ) | | | 11.30 | | | | 11.26 | | | | (0.04 | ) | | | (2.09 | ) | | | (2.13 | ) | | | 43.99 | | | | 33.75 | | | | 3,239 | | | | 1.11 | | | | 1.23 | | | | (0.12 | ) | | | 58 | |
Class Y |
2024 | | $ | 40.91 | | | $ | 0.15 | | | $ | 15.65 | | | $ | 15.80 | | | $ | — | | | $ | (6.66 | ) | | $ | (6.66 | ) | | $ | 50.05 | | | | 43.06 | % | | $ | 134,417 | | | | 0.64 | % | | | 0.73 | % | | | 0.34 | % | | | 65 | % |
2023 | | | 35.03 | | | | 0.14 | | | | 8.50 | | | | 8.64 | | | | (0.08 | ) | | | (2.68 | ) | | | (2.76 | ) | | | 40.91 | | | | 26.22 | | | | 143,901 | | | | 0.64 | | | | 0.73 | | | | 0.37 | | | | 67 | |
2022 | | | 52.11 | | | | 0.10 | | | | (10.41 | ) | | | (10.31 | ) | | | (0.03 | ) | | | (6.74 | ) | | | (6.77 | ) | | | 35.03 | | | | (23.73 | ) | | | 187,533 | | | | 0.64 | | | | 0.72 | | | | 0.22 | | | | 61 | |
2021 | | | 45.35 | | | | (0.01 | ) | | | 11.08 | | | | 11.07 | | | | (0.08 | ) | | | (4.23 | ) | | | (4.31 | ) | | | 52.11 | | | | 26.10 | | | | 223,901 | | | | 0.64 | | | | 0.72 | | | | (0.02 | ) | | | 42 | |
2020 | | | 35.84 | | | | 0.14 | | | | 11.63 | | | | 11.77 | | | | (0.17 | ) | | | (2.09 | ) | | | (2.26 | ) | | | 45.35 | | | | 34.39 | | | | 170,883 | | | | 0.64 | | | | 0.73 | | | | 0.36 | | | | 58 | |
Large Cap Index Fund |
Class F |
2024 | | $ | 15.02 | | | $ | 0.22 | | | $ | 5.04 | | | $ | 5.26 | | | $ | (0.22 | ) | | $ | — | | | $ | (0.22 | ) | | $ | 20.06 | | | | 35.30 | % | | $ | 1,183,715 | | | | 0.25 | % | | | 0.64 | % | | | 1.24 | % | | | 4 | % |
2023 | | | 12.60 | | | | 0.20 | | | | 2.42 | | | | 2.62 | | | | (0.20 | ) | | | — | | | | (0.20 | ) | | | 15.02 | | | | 20.90 | | | | 1,009,373 | | | | 0.25 | | | | 0.63 | | | | 1.38 | | | | 7 | |
2022 | | | 15.47 | | | | 0.18 | | | | (2.82 | ) | | | (2.64 | ) | | | (0.18 | ) | | | (0.05 | ) | | | (0.23 | ) | | | 12.60 | | | | (17.38 | ) | | | 901,688 | | | | 0.25 | | | | 0.64 | | | | 1.20 | | | | 13 | |
2021 | | | 11.98 | | | | 0.17 | | | | 3.48 | | | | 3.65 | | | | (0.16 | ) | | | — | | | | (0.16 | ) | | | 15.47 | | | | 30.64 | | | | 1,090,118 | | | | 0.25 | | | | 0.64 | | | | 1.18 | | | | 9 | |
2020 | | | 10.54 | | | | 0.17 | | | | 1.46 | | | | 1.63 | | | | (0.17 | ) | | | (0.02 | ) | | | (0.19 | ) | | | 11.98 | | | | 15.67 | | | | 706,457 | | | | 0.25 | | | | 0.64 | | | | 1.52 | | | | 8 | |
Tax-Managed Large Cap Fund |
Class F |
2024 | | $ | 31.64 | | | $ | 0.30 | | | $ | 8.52 | | | $ | 8.82 | | | $ | (0.31 | ) | | $ | (1.39 | ) | | $ | (1.70 | ) | | $ | 38.76 | | | | 28.77 | % | | $ | 3,751,577 | | | | 0.89 | % | | | 0.90 | % | | | 0.85 | % | | | 15 | % |
2023 | | | 28.50 | | | | 0.31 | | | | 4.84 | | | | 5.15 | | | | (0.32 | ) | | | (1.69 | ) | | | (2.01 | ) | | | 31.64 | | | | 18.44 | | | | 3,266,630 | | | | 0.89 | | | | 0.90 | | | | 0.98 | | | | 15 | |
2022 | | | 35.12 | | | | 0.31 | | | | (5.11 | ) | | | (4.80 | ) | | | (0.29 | ) | | | (1.53 | ) | | | (1.82 | ) | | | 28.50 | | | | (14.72 | ) | | | 3,182,189 | | | | 0.89 | | | | 0.89 | | | | 0.91 | | | | 22 | |
2021 | | | 27.26 | | | | 0.29 | | | | 8.28 | | | | 8.57 | | | | (0.30 | ) | | | (0.41 | ) | | | (0.71 | ) | | | 35.12 | | | | 31.84 | | | | 4,061,063 | | | | 0.89 | | | | 0.89 | | | | 0.90 | | | | 14 | |
2020 | | | 27.53 | | | | 0.31 | | | | 1.80 | | | | 2.11 | | | | (0.34 | ) | | | (2.04 | ) | | | (2.38 | ) | | | 27.26 | | | | 7.84 | | | | 3,368,577 | | | | 0.89 | | | | 0.91 | | | | 1.19 | | | | 40 | |
Class Y |
2024 | | $ | 31.65 | | | $ | 0.38 | | | $ | 8.53 | | | $ | 8.91 | | | $ | (0.39 | ) | | $ | (1.39 | ) | | $ | (1.78 | ) | | $ | 38.78 | | | | 29.12 | % | | $ | 599,630 | | | | 0.64 | % | | | 0.65 | % | | | 1.10 | % | | | 15 | % |
2023 | | | 28.52 | | | | 0.39 | | | | 4.83 | | | | 5.22 | | | | (0.40 | ) | | | (1.69 | ) | | | (2.09 | ) | | | 31.65 | | | | 18.69 | | | | 521,526 | | | | 0.64 | | | | 0.65 | | | | 1.23 | | | | 15 | |
2022 | | | 35.14 | | | | 0.40 | | | | (5.11 | ) | | | (4.71 | ) | | | (0.38 | ) | | | (1.53 | ) | | | (1.91 | ) | | | 28.52 | | | | (14.49 | ) | | | 428,109 | | | | 0.64 | | | | 0.64 | | | | 1.16 | | | | 22 | |
2021 | | | 27.27 | | | | 0.37 | | | | 8.28 | | | | 8.65 | | | | (0.37 | ) | | | (0.41 | ) | | | (0.78 | ) | | | 35.14 | | | | 32.18 | | | | 516,304 | | | | 0.64 | | | | 0.64 | | | | 1.14 | | | | 14 | |
2020 | | | 27.54 | | | | 0.38 | | | | 1.80 | | | | 2.18 | | | | (0.41 | ) | | | (2.04 | ) | | | (2.45 | ) | | | 27.27 | | | | 8.11 | | | | 408,792 | | | | 0.64 | | | | 0.66 | | | | 1.44 | | | | 40 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
S&P 500 Index Fund |
Class F |
2024 | | $ | 79.28 | | | $ | 1.15 | | | $ | 26.52 | | | $ | 27.67 | | | $ | (1.16 | ) | | $ | (2.73 | ) | | $ | (3.89 | ) | | $ | 103.06 | | | | 35.98 | % | | $ | 1,022,391 | | | | 0.25 | % | | | 0.54 | % | | | 1.27 | % | | | 3 | % |
2023 | | | 72.34 | | | | 1.09 | | | | 13.50 | | | | 14.59 | | | | (1.09 | ) | | | (6.56 | ) | | | (7.65 | ) | | | 79.28 | | | | 21.31 | | | | 860,788 | | | | 0.25 | | | | 0.54 | | | | 1.41 | | | | 5 | |
2022 | | | 92.42 | | | | 1.08 | | | | (13.98 | ) | | | (12.90 | ) | | | (1.04 | ) | | | (6.14 | ) | | | (7.18 | ) | | | 72.34 | | | | (15.68 | ) | | | 740,552 | | | | 0.25 | | | | 0.54 | | | | 1.23 | | | | 3 | |
2021 | | | 75.64 | | | | 1.04 | | | | 20.61 | | | | 21.65 | | | | (1.04 | ) | | | (3.83 | ) | | | (4.87 | ) | | | 92.42 | | | | 29.73 | | | | 981,074 | | | | 0.25 | | | | 0.54 | | | | 1.20 | | | | 5 | |
2020 | | | 69.00 | | | | 1.15 | | | | 8.74 | | | | 9.89 | | | | (1.20 | ) | | | (2.05 | ) | | | (3.25 | ) | | | 75.64 | | | | 14.82 | (2) | | | 844,753 | | | | 0.25 | | | | 0.54 | | | | 1.64 | | | | 19 | |
Class I |
2024 | | $ | 79.90 | | | $ | 0.79 | | | $ | 26.75 | | | $ | 27.54 | | | $ | (0.81 | ) | | $ | (2.73 | ) | | $ | (3.54 | ) | | $ | 103.90 | | | | 35.44 | % | | $ | 6,904 | | | | 0.65 | % | | | 0.79 | % | | | 0.86 | % | | | 3 | % |
2023 | | | 72.85 | | | | 0.79 | | | | 13.61 | | | | 14.40 | | | | (0.79 | ) | | | (6.56 | ) | | | (7.35 | ) | | | 79.90 | | | | 20.83 | | | | 5,217 | | | | 0.65 | | | | 0.79 | | | | 1.01 | | | | 5 | |
2022 | | | 93.01 | | | | 0.73 | | | | (14.09 | ) | | | (13.36 | ) | | | (0.66 | ) | | | (6.14 | ) | | | (6.80 | ) | | | 72.85 | | | | (16.02 | ) | | | 4,815 | | | | 0.65 | | | | 0.79 | | | | 0.83 | | | | 3 | |
2021 | | | 76.11 | | | | 0.69 | | | | 20.75 | | | | 21.44 | | | | (0.71 | ) | | | (3.83 | ) | | | (4.54 | ) | | | 93.01 | | | | 29.21 | | | | 6,913 | | | | 0.65 | | | | 0.79 | | | | 0.80 | | | | 5 | |
2020 | | | 69.39 | | | | 0.87 | | | | 8.82 | | | | 9.69 | | | | (0.92 | ) | | | (2.05 | ) | | | (2.97 | ) | | | 76.11 | | | | 14.37 | (2) | | | 5,331 | | | | 0.65 | | | | 0.79 | | | | 1.23 | | | | 19 | |
Small Cap Fund |
Class F |
2024 | | $ | 11.90 | | | $ | 0.07 | | | $ | 2.98 | | | $ | 3.05 | | | $ | (0.07 | ) | | $ | (0.43 | ) | | $ | (0.50 | ) | | $ | 14.45 | | | | 26.28 | % | | $ | 558,859 | | | | 1.14 | % | | | 1.23 | % | | | 0.55 | % | | | 106 | % |
2023 | | | 10.83 | | | | 0.04 | | | | 1.14 | | | | 1.18 | | | | (0.04 | ) | | | (0.07 | ) | | | (0.11 | ) | | | 11.90 | | | | 10.86 | | | | 495,148 | | | | 1.14 | | | | 1.23 | | | | 0.29 | | | | 106 | |
2022 | | | 16.29 | | | | 0.04 | | | | (2.34 | ) | | | (2.30 | ) | | | (0.01 | ) | | | (3.15 | ) | | | (3.16 | ) | | | 10.83 | | | | (17.98 | ) | | | 493,393 | | | | 1.14 | | | | 1.23 | | | | 0.28 | | | | 111 | |
2021 | | | 10.74 | | | | 0.01 | | | | 5.56 | | | | 5.57 | | | | (0.02 | ) | | | — | | | | (0.02 | ) | | | 16.29 | | | | 51.86 | | | | 653,372 | | | | 1.14 | | | | 1.23 | | | | 0.09 | | | | 139 | |
2020 | | | 11.05 | | | | 0.02 | | | | (0.31 | ) | | | (0.29 | ) | | | (0.02 | )(3) | | | — | | | | (0.02 | ) | | | 10.74 | | | | (2.60 | ) | | | 503,795 | | | | 1.14 | | | | 1.23 | | | | 0.16 | | | | 149 | |
Class Y |
2024 | | $ | 12.06 | | | $ | 0.11 | | | $ | 3.00 | | | $ | 3.11 | | | $ | (0.10 | ) | | $ | (0.43 | ) | | $ | (0.53 | ) | | $ | 14.64 | | | | 26.49 | % | | $ | 42,836 | | | | 0.89 | % | | | 0.98 | % | | | 0.81 | % | | | 106 | % |
2023 | | | 10.97 | | | | 0.07 | | | | 1.16 | | | | 1.23 | | | | (0.07 | ) | | | (0.07 | ) | | | (0.14 | ) | | | 12.06 | | | | 11.18 | | | | 24,180 | | | | 0.89 | | | | 0.98 | | | | 0.54 | | | | 106 | |
2022 | | | 16.46 | | | | 0.07 | | | | (2.36 | ) | | | (2.29 | ) | | | (0.05 | ) | | | (3.15 | ) | | | (3.20 | ) | | | 10.97 | | | | (17.78 | ) | | | 21,121 | | | | 0.89 | | | | 0.98 | | | | 0.52 | | | | 111 | |
2021 | | | 10.85 | | | | 0.05 | | | | 5.60 | | | | 5.65 | | | | (0.04 | ) | | | — | | | | (0.04 | ) | | | 16.46 | | | | 52.15 | | | | 28,977 | | | | 0.89 | | | | 0.98 | | | | 0.34 | | | | 139 | |
2020 | | | 11.15 | | | | 0.04 | | | | (0.29 | ) | | | (0.25 | ) | | | (0.05 | )(3) | | | — | | | | (0.05 | ) | | | 10.85 | | | | (2.23 | ) | | | 25,727 | | | | 0.89 | | | | 0.98 | | | | 0.41 | | | | 149 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
(2) | Includes contribution from SIMC. Without the cash contribution, the Fund's return for Class F and Class I would have been 14.78% and 14.33%, respectively. |
(3) | Includes return of capital less than $0.005 per share. |
Amounts designated as “—“ are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
Small Cap Value Fund |
Class F |
2024 | | $ | 22.34 | | | $ | 0.29 | | | $ | 4.84 | | | $ | 5.13 | | | $ | (0.29 | ) | | $ | (0.45 | ) | | $ | (0.74 | ) | | $ | 26.73 | | | | 23.36 | % | | $ | 325,968 | | | | 1.14 | % | | | 1.23 | % | | | 1.18 | % | | | 57 | % |
2023 | | | 20.77 | | | | 0.28 | | | | 2.60 | | | | 2.88 | | | | (0.28 | ) | | | (1.03 | ) | | | (1.31 | ) | | | 22.34 | | | | 13.98 | | | | 295,920 | | | | 1.14 | | | | 1.23 | | | | 1.24 | | | | 39 | |
2022 | | | 27.04 | | | | 0.21 | | | | (4.29 | ) | | | (4.08 | ) | | | (0.18 | ) | | | (2.01 | ) | | | (2.19 | ) | | | 20.77 | | | | (16.59 | ) | | | 289,279 | | | | 1.14 | | | | 1.23 | | | | 0.82 | | | | 42 | |
2021 | | | 17.07 | | | | 0.14 | | | | 9.98 | | | | 10.12 | | | | (0.15 | ) | | | — | | | | (0.15 | ) | | | 27.04 | | | | 59.43 | | | | 364,946 | | | | 1.14 | | | | 1.23 | | | | 0.56 | | | | 80 | |
2020 | | | 20.60 | | | | 0.17 | | | | (3.46 | ) | | | (3.29 | ) | | | (0.24 | ) | | | — | | | | (0.24 | ) | | | 17.07 | | | | (16.03 | ) | | | 250,718 | | | | 1.14 | | | | 1.24 | | | | 0.91 | | | | 65 | |
Class I |
2024 | | $ | 22.09 | | | $ | 0.24 | | | $ | 4.78 | | | $ | 5.02 | | | $ | (0.24 | ) | | $ | (0.45 | ) | | $ | (0.69 | ) | | $ | 26.42 | | | | 23.08 | % | | $ | 512 | | | | 1.36 | % | | | 1.48 | % | | | 0.98 | % | | | 57 | % |
2023 | | | 20.55 | | | | 0.23 | | | | 2.56 | | | | 2.79 | | | | (0.22 | ) | | | (1.03 | ) | | | (1.25 | ) | | | 22.09 | | | | 13.70 | | | | 481 | | | | 1.36 | | | | 1.48 | | | | 1.01 | | | | 39 | |
2022 | | | 26.76 | | | | 0.13 | | | | (4.21 | ) | | | (4.08 | ) | | | (0.12 | ) | | | (2.01 | ) | | | (2.13 | ) | | | 20.55 | | | | (16.77 | ) | | | 819 | | | | 1.36 | | | | 1.48 | | | | 0.53 | | | | 42 | |
2021 | | | 16.90 | | | | 0.09 | | | | 9.87 | | | | 9.96 | | | | (0.10 | ) | | | — | | | | (0.10 | ) | | | 26.76 | | | | 59.05 | | | | 1,900 | | | | 1.36 | | | | 1.48 | | | | 0.35 | | | | 80 | |
2020 | | | 20.39 | | | | 0.12 | | | | (3.42 | ) | | | (3.30 | ) | | | (0.19 | ) | | | — | | | | (0.19 | ) | | | 16.90 | | | | (16.20 | ) | | | 1,204 | | | | 1.36 | | | | 1.49 | | | | 0.67 | | | | 65 | |
Class Y |
2024 | | $ | 22.36 | | | $ | 0.35 | | | $ | 4.83 | | | $ | 5.18 | | | $ | (0.35 | ) | | $ | (0.45 | ) | | $ | (0.80 | ) | | $ | 26.74 | | | | 23.60 | % | | $ | 41,214 | | | | 0.89 | % | | | 0.98 | % | | | 1.42 | % | | | 57 | % |
2023 | | | 20.78 | | | | 0.33 | | | | 2.61 | | | | 2.94 | | | | (0.33 | ) | | | (1.03 | ) | | | (1.36 | ) | | | 22.36 | | | | 14.32 | | | | 46,649 | | | | 0.89 | | | | 0.98 | | | | 1.46 | | | | 39 | |
2022 | | | 27.06 | | | | 0.27 | | | | (4.29 | ) | | | (4.02 | ) | | | (0.25 | ) | | | (2.01 | ) | | | (2.26 | ) | | | 20.78 | | | | (16.40 | ) | | | 57,741 | | | | 0.89 | | | | 0.98 | | | | 1.07 | | | | 42 | |
2021 | | | 17.08 | | | | 0.20 | | | | 9.99 | | | | 10.19 | | | | (0.21 | ) | | | — | | | | (0.21 | ) | | | 27.06 | | | | 59.84 | | | | 67,188 | | | | 0.89 | | | | 0.98 | | | | 0.82 | | | | 80 | |
2020 | | | 20.61 | | | | 0.21 | | | | (3.46 | ) | | | (3.25 | ) | | | (0.28 | ) | | | — | | | | (0.28 | ) | | | 17.08 | | | | (15.80 | ) | | | 45,725 | | | | 0.89 | | | | 0.99 | | | | 1.13 | | | | 65 | |
Small Cap Growth Fund |
Class F |
2024 | | $ | 28.97 | | | $ | (0.09 | ) | | $ | 8.58 | | | $ | 8.49 | | | $ | — | | | $ | — | | | $ | — | | | $ | 37.46 | | | | 29.31 | % | | $ | 328,673 | | | | 1.11 | % | | | 1.23 | % | | | (0.27 | )% | | | 192 | % |
2023 | | | 27.01 | | | | (0.10 | ) | | | 2.07 | | | | 1.97 | | | | (0.01 | ) | | | — | | | | (0.01 | ) | | | 28.97 | | | | 7.31 | | | | 275,327 | | | | 1.11 | | | | 1.23 | | | | (0.34 | ) | | | 175 | |
2022 | | | 45.89 | | | | (0.06 | ) | | | (9.02 | ) | | | (9.08 | ) | | | — | | | | (9.80 | ) | | | (9.80 | ) | | | 27.01 | | | | (25.22 | ) | | | 276,600 | | | | 1.11 | | | | 1.23 | | | | (0.18 | ) | | | 172 | |
2021 | | | 32.60 | | | | (0.20 | ) | | | 13.49 | | | | 13.29 | | | | — | | | | — | | | | — | | | | 45.89 | | | | 40.77 | | | | 382,281 | | | | 1.11 | | | | 1.23 | | | | (0.45 | ) | | | 196 | |
2020 | | | 31.88 | | | | (0.12 | ) | | | 1.96 | | | | 1.84 | | | | — | | | | (1.12 | ) | | | (1.12 | ) | | | 32.60 | | | | 5.68 | | | | 290,981 | | | | 1.11 | | | | 1.23 | | | | (0.39 | ) | | | 173 | |
Class I |
2024 | | $ | 26.78 | | | $ | (0.16 | ) | | $ | 7.92 | | | $ | 7.76 | | | $ | — | | | $ | — | | | $ | — | | | $ | 34.54 | | | | 28.98 | % | | $ | 363 | | | | 1.36 | % | | | 1.48 | % | | | (0.53 | )% | | | 192 | % |
2023 | | | 25.02 | | | | (0.15 | ) | | | 1.91 | | | | 1.76 | | | | — | | | | — | | | | — | | | | 26.78 | | | | 7.03 | | | | 347 | | | | 1.36 | | | | 1.48 | | | | (0.56 | ) | | | 175 | |
2022 | | | 43.32 | | | | (0.15 | ) | | | (8.35 | ) | | | (8.50 | ) | | | — | | | | (9.80 | ) | | | (9.80 | ) | | | 25.02 | | | | (25.41 | ) | | | 850 | | | | 1.36 | | | | 1.48 | | | | (0.45 | ) | | | 172 | |
2021 | | | 30.85 | | | | (0.29 | ) | | | 12.76 | | | | 12.47 | | | | — | | | | — | | | | — | | | | 43.32 | | | | 40.42 | | | | 1,717 | | | | 1.36 | | | | 1.48 | | | | (0.70 | ) | | | 196 | |
2020 | | | 30.29 | | | | (0.19 | ) | | | 1.87 | | | | 1.68 | | | | — | | | | (1.12 | ) | | | (1.12 | ) | | | 30.85 | | | | 5.44 | | | | 1,245 | | | | 1.36 | | | | 1.48 | | | | (0.64 | ) | | | 173 | |
Class Y |
2024 | | $ | 29.66 | | | $ | (0.01 | ) | | $ | 8.79 | | | $ | 8.78 | | | $ | — | | | $ | — | | | $ | — | | | $ | 38.44 | | | | 29.60 | % | | $ | 35,324 | | | | 0.86 | % | | | 0.98 | % | | | (0.02 | )% | | | 192 | % |
2023 | | | 27.66 | | | | (0.03 | ) | | | 2.12 | | | | 2.09 | | | | (0.09 | ) | | | — | | | | (0.09 | ) | | | 29.66 | | | | 7.58 | | | | 32,368 | | | | 0.86 | | | | 0.98 | | | | (0.10 | ) | | | 175 | |
2022 | | | 46.65 | | | | 0.02 | | | | (9.21 | ) | | | (9.19 | ) | | | — | | | | (9.80 | ) | | | (9.80 | ) | | | 27.66 | | | | (25.01 | ) | | | 32,503 | | | | 0.86 | | | | 0.98 | | | | 0.07 | | | | 172 | |
2021 | | | 33.06 | | | | (0.09 | ) | | | 13.68 | | | | 13.59 | | | | — | | | | — | | | | — | | | | 46.65 | | | | 41.11 | | | | 44,407 | | | | 0.86 | | | | 0.98 | | | | (0.20 | ) | | | 196 | |
2020 | | | 32.23 | | | | (0.04 | ) | | | 1.99 | | | | 1.95 | | | | — | | | | (1.12 | ) | | | (1.12 | ) | | | 33.06 | | | | 5.97 | | | | 32,593 | | | | 0.86 | | | | 0.98 | | | | (0.14 | ) | | | 173 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“ are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
Tax-Managed Small/Mid Cap Fund |
Class F |
2024 | | $ | 22.53 | | | $ | 0.10 | | | $ | 5.96 | | | $ | 6.06 | | | $ | (0.11 | ) | | $ | (0.66 | ) | | $ | (0.77 | ) | | $ | 27.82 | | | | 27.39 | % | | $ | 768,484 | | | | 1.11 | % | | | 1.23 | % | | | 0.38 | % | | | 57 | % |
2023 | | | 20.64 | | | | 0.10 | | | | 2.00 | | | | 2.10 | | | | (0.12 | ) | | | (0.09 | ) | | | (0.21 | ) | | | 22.53 | | | | 10.21 | | | | 671,322 | | | | 1.11 | | | | 1.23 | | | | 0.43 | | | | 62 | |
2022 | | | 28.01 | | | | 0.08 | | | | (4.83 | ) | | | (4.75 | ) | | | (0.05 | ) | | | (2.57 | ) | | | (2.62 | ) | | | 20.64 | | | | (18.96 | ) | | | 691,835 | | | | 1.11 | | | | 1.23 | | | | 0.33 | | | | 58 | |
2021 | | | 19.41 | | | | 0.03 | | | | 8.61 | | | | 8.64 | | | | (0.04 | ) | | | — | | | | (0.04 | ) | | | 28.01 | | | | 44.52 | | | | 917,919 | | | | 1.11 | | | | 1.23 | | | | 0.10 | | | | 71 | |
2020 | | | 21.04 | | | | 0.04 | | | | (1.15 | ) | | | (1.11 | ) | | | (0.08 | ) | | | (0.44 | ) | | | (0.52 | ) | | | 19.41 | | | | (5.47 | ) | | | 664,941 | | | | 1.11 | | | | 1.24 | | | | 0.22 | | | | 90 | |
Class Y |
2024 | | $ | 22.58 | | | $ | 0.15 | | | $ | 5.97 | | | $ | 6.12 | | | $ | (0.16 | ) | | $ | (0.66 | ) | | $ | (0.82 | ) | | $ | 27.88 | | | | 27.65 | % | | $ | 119,049 | | | | 0.89 | % | | | 0.98 | % | | | 0.60 | % | | | 57 | % |
2023 | | | 20.68 | | | | 0.15 | | | | 2.01 | | | | 2.16 | | | | (0.17 | ) | | | (0.09 | ) | | | (0.26 | ) | | | 22.58 | | | | 10.49 | | | | 101,798 | | | | 0.89 | | | | 0.98 | | | | 0.65 | | | | 62 | |
2022 | | | 28.07 | | | | 0.14 | | | | (4.85 | ) | | | (4.71 | ) | | | (0.11 | ) | | | (2.57 | ) | | | (2.68 | ) | | | 20.68 | | | | (18.81 | ) | | | 88,914 | | | | 0.89 | | | | 0.98 | | | | 0.55 | | | | 58 | |
2021 | | | 19.45 | | | | 0.08 | | | | 8.63 | | | | 8.71 | | | | (0.09 | ) | | | — | | | | (0.09 | ) | | | 28.07 | | | | 44.81 | | | | 112,357 | | | | 0.89 | | | | 0.98 | | | | 0.32 | | | | 71 | |
2020 | | | 21.06 | | | | 0.09 | | | | (1.14 | ) | | | (1.05 | ) | | | (0.12 | ) | | | (0.44 | ) | | | (0.56 | ) | | | 19.45 | | | | (5.20 | ) | | | 84,564 | | | | 0.89 | | | | 0.99 | | | | 0.44 | | | | 90 | |
Mid-Cap Fund |
Class F |
2024 | | $ | 25.31 | | | $ | 0.19 | | | $ | 7.01 | | | $ | 7.20 | | | $ | (0.14 | ) | | $ | — | | | $ | (0.14 | ) | | $ | 32.37 | | | | 28.55 | % | | $ | 74,756 | | | | 0.98 | % | | | 0.99 | % | | | 0.65 | % | | | 61 | % |
2023 | | | 22.81 | | | | 0.15 | | | | 2.53 | | | | 2.68 | | | | (0.18 | ) | | | — | | | | (0.18 | ) | | | 25.31 | | | | 11.77 | | | | 69,549 | | | | 0.98 | | | | 0.99 | | | | 0.60 | | | | 67 | |
2022 | | | 32.65 | | | | 0.18 | | | | (4.20 | ) | | | (4.02 | ) | | | (0.14 | ) | | | (5.68 | ) | | | (5.82 | ) | | | 22.81 | | | | (15.67 | ) | | | 65,124 | | | | 0.98 | | | | 0.98 | | | | 0.64 | | | | 95 | |
2021 | | | 23.59 | | | | 0.15 | | | | 9.13 | | | | 9.28 | | | | (0.22 | ) | | | — | | | | (0.22 | ) | | | 32.65 | | | | 39.49 | | | | 78,488 | | | | 0.98 | | | | 0.98 | | | | 0.49 | | | | 163 | |
2020 | | | 24.94 | | | | 0.28 | | | | (1.00 | ) | | | (0.72 | ) | | | (0.29 | ) | | | (0.34 | ) | | | (0.63 | ) | | | 23.59 | | | | (2.87 | ) | | | 66,828 | | | | 0.98 | | | | 0.98 | | | | 1.17 | | | | 108 | |
Class I |
2024 | | $ | 25.23 | | | $ | 0.12 | | | $ | 7.01 | | | $ | 7.13 | | | $ | (0.08 | ) | | $ | — | | | $ | (0.08 | ) | | $ | 32.28 | | | | 28.31 | % | | $ | 283 | | | | 1.20 | % | | | 1.24 | % | | | 0.40 | % | | | 61 | % |
2023 | | | 22.75 | | | | 0.09 | | | | 2.52 | | | | 2.61 | | | | (0.13 | ) | | | — | | | | (0.13 | ) | | | 25.23 | | | | 11.50 | | | | 309 | | | | 1.20 | | | | 1.23 | | | | 0.37 | | | | 67 | |
2022 | | | 32.59 | | | | 0.10 | | | | (4.18 | ) | | | (4.08 | ) | | | (0.08 | ) | | | (5.68 | ) | | | (5.76 | ) | | | 22.75 | | | | (15.88 | ) | | | 311 | | | | 1.20 | | | | 1.23 | | | | 0.37 | | | | 95 | |
2021 | | | 23.55 | | | | 0.09 | | | | 9.11 | | | | 9.20 | | | | (0.16 | ) | | | — | | | | (0.16 | ) | | | 32.59 | | | | 39.19 | | | | 669 | | | | 1.20 | | | | 1.23 | | | | 0.28 | | | | 163 | |
2020 | | | 24.91 | | | | 0.22 | | | | (0.99 | ) | | | (0.77 | ) | | | (0.25 | ) | | | (0.34 | ) | | | (0.59 | ) | | | 23.55 | | | | (3.13 | ) | | | 583 | | | | 1.20 | | | | 1.23 | | | | 0.96 | | | | 108 | |
Class Y |
2024 | | $ | 25.32 | | | $ | 0.26 | | | $ | 7.02 | | | $ | 7.28 | | | $ | (0.21 | ) | | $ | — | | | $ | (0.21 | ) | | $ | 32.39 | | | | 28.90 | % | | $ | 9,039 | | | | 0.73 | % | | | 0.74 | % | | | 0.88 | % | | | 61 | % |
2023 | | | 22.82 | | | | 0.21 | | | | 2.53 | | | | 2.74 | | | | (0.24 | ) | | | — | | | | (0.24 | ) | | | 25.32 | | | | 12.04 | | | | 4,385 | | | | 0.73 | | | | 0.74 | | | | 0.84 | | | | 67 | |
2022 | | | 32.67 | | | | 0.25 | | | | (4.21 | ) | | | (3.96 | ) | | | (0.21 | ) | | | (5.68 | ) | | | (5.89 | ) | | | 22.82 | | | | (15.48 | ) | | | 3,559 | | | | 0.73 | | | | 0.73 | | | | 0.92 | | | | 95 | |
2021 | | | 23.61 | | | | 0.22 | | | | 9.13 | | | | 9.35 | | | | (0.29 | ) | | | — | | | | (0.29 | ) | | | 32.67 | | | | 39.80 | | | | 3,667 | | | | 0.73 | | | | 0.73 | | | | 0.71 | | | | 163 | |
2020 | | | 24.96 | | | | 0.33 | | | | (0.99 | ) | | | (0.66 | ) | | | (0.35 | ) | | | (0.34 | ) | | | (0.69 | ) | | | 23.61 | | | | (2.61 | ) | | | 2,584 | | | | 0.73 | | | | 0.73 | | | | 1.42 | | | | 108 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“ are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
U.S. Managed Volatility Fund |
Class F |
2024 | | $ | 14.88 | | | $ | 0.27 | | | $ | 3.10 | | | $ | 3.37 | | | $ | (0.29 | ) | | $ | (1.65 | ) | | $ | (1.94 | ) | | $ | 16.31 | | | | 24.92 | % | | $ | 474,145 | | | | 0.90 | % | | | 1.23 | % | | | 1.79 | % | | | 54 | % |
2023 | | | 15.00 | | | | 0.27 | | | | 1.30 | | | | 1.57 | | | | (0.26 | ) | | | (1.43 | ) | | | (1.69 | ) | | | 14.88 | | | | 10.23 | | | | 577,827 | | | | 0.90 | | | | 1.23 | | | | 1.75 | | | | 49 | |
2022 | | | 17.64 | | | | 0.30 | | | | (1.16 | ) | | | (0.86 | ) | | | (0.29 | ) | | | (1.49 | ) | | | (1.78 | ) | | | 15.00 | | | | (5.98 | ) | | | 642,383 | | | | 0.90 | | | | 1.23 | | | | 1.76 | | | | 48 | |
2021 | | | 16.14 | | | | 0.25 | | | | 2.91 | | | | 3.16 | | | | (0.26 | ) | | | (1.40 | ) | | | (1.66 | ) | | | 17.64 | | | | 20.39 | | | | 749,637 | | | | 0.90 | | | | 1.23 | | | | 1.43 | | | | 50 | |
2020 | | | 17.78 | | | | 0.26 | | | | (1.08 | ) | | | (0.82 | ) | | | (0.29 | ) | | | (0.53 | ) | | | (0.82 | ) | | | 16.14 | | | | (4.87 | ) | | | 764,608 | | | | 0.90 | | | | 1.23 | | | | 1.55 | | | | 77 | |
Class I |
2024 | | $ | 14.87 | | | $ | 0.23 | | | $ | 3.11 | | | $ | 3.34 | | | $ | (0.26 | ) | | $ | (1.65 | ) | | $ | (1.91 | ) | | $ | 16.30 | | | | 24.64 | % | | $ | 678 | | | | 1.15 | % | | | 1.48 | % | | | 1.52 | % | | | 54 | % |
2023 | | | 15.00 | | | | 0.23 | | | | 1.29 | | | | 1.52 | | | | (0.22 | ) | | | (1.43 | ) | | | (1.65 | ) | | | 14.87 | | | | 9.89 | | | | 546 | | | | 1.15 | | | | 1.48 | | | | 1.50 | | | | 49 | |
2022 | | | 17.64 | | | | 0.28 | | | | (1.19 | ) | | | (0.91 | ) | | | (0.24 | ) | | | (1.49 | ) | | | (1.73 | ) | | | 15.00 | | | | (6.26 | ) | | | 497 | | | | 1.15 | | | | 1.48 | | | | 1.61 | | | | 48 | |
2021 | | | 16.13 | | | | 0.21 | | | | 2.92 | | | | 3.13 | | | | (0.22 | ) | | | (1.40 | ) | | | (1.62 | ) | | | 17.64 | | | | 20.17 | | | | 1,324 | | | | 1.15 | | | | 1.48 | | | | 1.17 | | | | 50 | |
2020 | | | 17.78 | | | | 0.21 | | | | (1.08 | ) | | | (0.87 | ) | | | (0.25 | ) | | | (0.53 | ) | | | (0.78 | ) | | | 16.13 | | | | (5.17 | ) | | | 1,282 | | | | 1.15 | | | | 1.48 | | | | 1.29 | | | | 77 | |
Class Y |
2024 | | $ | 14.88 | | | $ | 0.30 | | | $ | 3.11 | | | $ | 3.41 | | | $ | (0.33 | ) | | $ | (1.65 | ) | | $ | (1.98 | ) | | $ | 16.31 | | | | 25.25 | % | | $ | 173,318 | | | | 0.65 | % | | | 0.98 | % | | | 2.02 | % | | | 54 | % |
2023 | | | 15.01 | | | | 0.31 | | | | 1.29 | | | | 1.60 | | | | (0.30 | ) | | | (1.43 | ) | | | (1.73 | ) | | | 14.88 | | | | 10.44 | | | | 166,352 | | | | 0.65 | | | | 0.98 | | | | 1.99 | | | | 49 | |
2022 | | | 17.65 | | | | 0.34 | | | | (1.15 | ) | | | (0.81 | ) | | | (0.34 | ) | | | (1.49 | ) | | | (1.83 | ) | | | 15.01 | | | | (5.73 | ) | | | 154,562 | | | | 0.65 | | | | 0.98 | | | | 2.01 | | | | 48 | |
2021 | | | 16.15 | | | | 0.29 | | | | 2.92 | | | | 3.21 | | | | (0.31 | ) | | | (1.40 | ) | | | (1.71 | ) | | | 17.65 | | | | 20.68 | | | | 200,659 | | | | 0.65 | | | | 0.98 | | | | 1.69 | | | | 50 | |
2020 | | | 17.79 | | | | 0.30 | | | | (1.08 | ) | | | (0.78 | ) | | | (0.33 | ) | | | (0.53 | ) | | | (0.86 | ) | | | 16.15 | | | | (4.62 | ) | | | 870,935 | | | | 0.65 | | | | 0.98 | | | | 1.79 | | | | 77 | |
Global Managed Volatility Fund |
Class F |
2024 | | $ | 9.69 | | | $ | 0.18 | | | $ | 1.89 | | | $ | 2.07 | | | $ | (0.17 | ) | | $ | (0.39 | ) | | $ | (0.56 | ) | | $ | 11.20 | | | | 22.27 | % | | $ | 725,695 | | | | 1.11 | % | | | 1.24 | % | | | 1.74 | % | | | 85 | % |
2023 | | | 9.55 | | | | 0.17 | | | | 0.98 | | | | 1.15 | | | | (0.53 | ) | | | (0.48 | ) | | | (1.01 | ) | | | 9.69 | | | | 12.23 | | | | 662,758 | | | | 1.11 | | | | 1.24 | | | | 1.70 | | | | 84 | |
2022 | | | 11.78 | | | | 0.15 | | | | (1.03 | ) | | | (0.88 | ) | | | (0.13 | ) | | | (1.22 | ) | | | (1.35 | ) | | | 9.55 | | | | (9.19 | ) | | | 710,669 | | | | 1.11 | | | | 1.23 | | | | 1.35 | | | | 88 | |
2021 | | | 10.40 | | | | 0.12 | | | | 1.37 | | | | 1.49 | | | | (0.09 | ) | | | (0.02 | ) | | | (0.11 | ) | | | 11.78 | | | | 14.40 | | | | 881,712 | | | | 1.11 | | | | 1.23 | | | | 1.07 | | | | 80 | |
2020 | | | 11.46 | | | | 0.12 | | | | (0.57 | ) | | | (0.45 | ) | | | (0.28 | ) | | | (0.33 | ) | | | (0.61 | ) | | | 10.40 | | | | (4.33 | ) | | | 913,791 | | | | 1.11 | | | | 1.25 | | | | 1.12 | | | | 86 | |
Class I |
2024 | | $ | 9.40 | | | $ | 0.14 | | | $ | 1.83 | | | $ | 1.97 | | | $ | (0.15 | ) | | $ | (0.39 | ) | | $ | (0.54 | ) | | $ | 10.83 | | | | 21.86 | % | | $ | 571 | | | | 1.37 | % | | | 1.49 | % | | | 1.46 | % | | | 85 | % |
2023 | | | 9.28 | | | | 0.14 | | | | 0.96 | | | | 1.10 | | | | (0.50 | ) | | | (0.48 | ) | | | (0.98 | ) | | | 9.40 | | | | 12.07 | | | | 467 | | | | 1.36 | | | | 1.49 | | | | 1.45 | | | | 84 | |
2022 | | | 11.48 | | | | 0.10 | | | | (0.98 | ) | | | (0.88 | ) | | | (0.10 | ) | | | (1.22 | ) | | | (1.32 | ) | | | 9.28 | | | | (9.37 | ) | | | 416 | | | | 1.36 | | | | 1.48 | | | | 0.88 | | | | 88 | |
2021 | | | 10.15 | | | | 0.09 | | | | 1.33 | | | | 1.42 | | | | (0.07 | ) | | | (0.02 | ) | | | (0.09 | ) | | | 11.48 | | | | 14.01 | | | | 1,041 | | | | 1.36 | | | | 1.48 | | | | 0.83 | | | | 80 | |
2020 | | | 11.19 | | | | 0.09 | | | | (0.55 | ) | | | (0.46 | ) | | | (0.25 | ) | | | (0.33 | ) | | | (0.58 | ) | | | 10.15 | | | | (4.51 | ) | | | 952 | | | | 1.36 | | | | 1.50 | | | | 0.88 | | | | 86 | |
Class Y |
2024 | | $ | 9.73 | | | $ | 0.20 | | | $ | 1.90 | | | $ | 2.10 | | | $ | (0.20 | ) | | $ | (0.39 | ) | | $ | (0.59 | ) | | $ | 11.24 | | | | 22.51 | % | | $ | 118,820 | | | | 0.86 | % | | | 0.99 | % | | | 1.95 | % | | | 85 | % |
2023 | | | 9.58 | | | | 0.19 | | | | 1.00 | | | | 1.19 | | | | (0.56 | ) | | | (0.48 | ) | | | (1.04 | ) | | | 9.73 | | | | 12.62 | | | | 118,429 | | | | 0.86 | | | | 0.99 | | | | 1.95 | | | | 84 | |
2022 | | | 11.81 | | | | 0.18 | | | | (1.04 | ) | | | (0.86 | ) | | | (0.15 | ) | | | (1.22 | ) | | | (1.37 | ) | | | 9.58 | | | | (8.95 | ) | | | 105,301 | | | | 0.86 | | | | 0.98 | | | | 1.60 | | | | 88 | |
2021 | | | 10.43 | | | | 0.15 | | | | 1.37 | | | | 1.52 | | | | (0.12 | ) | | | (0.02 | ) | | | (0.14 | ) | | | 11.81 | | | | 14.65 | | | | 127,801 | | | | 0.86 | | | | 0.98 | | | | 1.31 | | | | 80 | |
2020 | | | 11.49 | | | | 0.15 | | | | (0.58 | ) | | | (0.43 | ) | | | (0.30 | ) | | | (0.33 | ) | | | (0.63 | ) | | | 10.43 | | | | (4.08 | ) | | | 143,066 | | | | 0.86 | | | | 1.00 | | | | 1.39 | | | | 86 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
Tax-Managed Managed Volatility Fund |
Class F |
2024 | | $ | 19.14 | | | $ | 0.17 | | | $ | 4.85 | | | $ | 5.02 | | | $ | (0.17 | ) | | $ | (2.53 | ) | | $ | (2.70 | ) | | $ | 21.46 | | | | 29.28 | % | | $ | 732,170 | | | | 1.00 | % | | | 1.22 | % | | | 0.85 | % | | | 24 | % |
2023 | | | 18.39 | | | | 0.18 | | | | 1.83 | | | | 2.01 | | | | (0.18 | ) | | | (1.08 | ) | | | (1.26 | ) | | | 19.14 | | | | 10.98 | | | | 699,917 | | | | 1.00 | | | | 1.23 | | | | 0.95 | | | | 22 | |
2022 | | | 19.75 | | | | 0.19 | | | | (0.58 | ) | | | (0.39 | ) | | | (0.19 | ) | | | (0.78 | ) | | | (0.97 | ) | | | 18.39 | | | | (2.48 | ) | | | 787,892 | | | | 1.00 | | | | 1.23 | | | | 0.96 | | | | 17 | |
2021 | | | 16.66 | | | | 0.19 | | | | 3.23 | | | | 3.42 | | | | (0.20 | ) | | | (0.13 | ) | | | (0.33 | ) | | | 19.75 | | | | 20.76 | | | | 920,670 | | | | 1.00 | | | | 1.23 | | | | 1.04 | | | | 17 | |
2020 | | | 17.61 | | | | 0.25 | | | | (0.51 | ) | | | (0.26 | ) | | | (0.27 | ) | | | (0.42 | ) | | | (0.69 | ) | | | 16.66 | | | | (1.53 | ) | | | 856,160 | | | | 1.00 | | | | 1.23 | | | | 1.48 | | | | 27 | |
Class Y |
2024 | | $ | 19.14 | | | $ | 0.21 | | | $ | 4.86 | | | $ | 5.07 | | | $ | (0.22 | ) | | $ | (2.53 | ) | | $ | (2.75 | ) | | $ | 21.46 | | | | 29.61 | % | | $ | 113,869 | | | | 0.75 | % | | | 0.97 | % | | | 1.10 | % | | | 24 | % |
2023 | | | 18.39 | | | | 0.23 | | | | 1.83 | | | | 2.06 | | | | (0.23 | ) | | | (1.08 | ) | | | (1.31 | ) | | | 19.14 | | | | 11.26 | | | | 105,350 | | | | 0.75 | | | | 0.98 | | | | 1.20 | | | | 22 | |
2022 | | | 19.76 | | | | 0.24 | | | | (0.59 | ) | | | (0.35 | ) | | | (0.24 | ) | | | (0.78 | ) | | | (1.02 | ) | | | 18.39 | | | | (2.28 | ) | | | 77,782 | | | | 0.75 | | | | 0.98 | | | | 1.21 | | | | 17 | |
2021 | | | 16.66 | | | | 0.24 | | | | 3.24 | | | | 3.48 | | | | (0.25 | ) | | | (0.13 | ) | | | (0.38 | ) | | | 19.76 | | | | 21.12 | | | | 83,410 | | | | 0.75 | | | | 0.98 | | | | 1.28 | | | | 17 | |
2020 | | | 17.62 | | | | 0.29 | | | | (0.52 | ) | | | (0.23 | ) | | | (0.31 | ) | | | (0.42 | ) | | | (0.73 | ) | | | 16.66 | | | | (1.34 | ) | | | 76,132 | | | | 0.75 | | | | 0.98 | | | | 1.73 | | | | 27 | |
Tax-Managed International Managed Volatility Fund |
Class F |
2024 | | $ | 10.21 | | | $ | 0.31 | | | $ | 1.85 | | | $ | 2.16 | | | $ | (0.35 | ) | | $ | — | | | $ | (0.35 | ) | | $ | 12.02 | | | | 21.68 | % | | $ | 247,140 | | | | 1.11 | % | | | 1.35 | % | | | 2.84 | % | | | 59 | % |
2023 | | | 8.69 | | | | 0.27 | | | | 1.53 | | | | 1.80 | | | | (0.28 | ) | | | — | | | | (0.28 | ) | | | 10.21 | | | | 20.84 | | | | 250,047 | | | | 1.11 | | | | 1.39 | | | | 2.72 | | | | 77 | |
2022 | | | 11.30 | | | | 0.31 | | | | (2.57 | ) | | | (2.26 | ) | | | (0.35 | ) | | | — | | | | (0.35 | ) | | | 8.69 | | | | (20.68 | ) | | | 251,038 | | | | 1.11 | | | | 1.39 | | | | 2.94 | | | | 73 | |
2021 | | | 10.15 | | | | 0.27 | | | | 1.06 | | | | 1.33 | | | | (0.18 | ) | | | — | | | | (0.18 | ) | | | 11.30 | | | | 13.23 | | | | 338,490 | | | | 1.11 | | | | 1.39 | | | | 2.44 | | | | 79 | |
2020 | | | 10.77 | | | | 0.19 | | | | (0.49 | ) | | | (0.30 | ) | | | (0.32 | ) | | | — | | | | (0.32 | ) | | | 10.15 | | | | (3.08 | ) | | | 315,250 | | | | 1.11 | | | | 1.41 | | | | 1.84 | | | | 79 | |
Class Y |
2024 | | $ | 10.22 | | | $ | 0.34 | | | $ | 1.85 | | | $ | 2.19 | | | $ | (0.38 | ) | | $ | — | | | $ | (0.38 | ) | | $ | 12.03 | | | | 21.99 | % | | $ | 59,377 | | | | 0.86 | % | | | 1.10 | % | | | 3.10 | % | | | 59 | % |
2023 | | | 8.71 | | | | 0.31 | | | | 1.50 | | | | 1.81 | | | | (0.30 | ) | | | — | | | | (0.30 | ) | | | 10.22 | | | | 21.02 | | | | 57,684 | | | | 0.86 | | | | 1.14 | | | | 3.10 | | | | 77 | |
2022 | | | 11.32 | | | | 0.34 | | | | (2.57 | ) | | | (2.23 | ) | | | (0.38 | ) | | | — | | | | (0.38 | ) | | | 8.71 | | | | (20.44 | ) | | | 41,566 | | | | 0.86 | | | | 1.14 | | | | 3.17 | | | | 73 | |
2021 | | | 10.17 | | | | 0.30 | | | | 1.06 | | | | 1.36 | | | | (0.21 | ) | | | — | | | | (0.21 | ) | | | 11.32 | | | | 13.48 | | | | 56,993 | | | | 0.86 | | | | 1.14 | | | | 2.69 | | | | 79 | |
2020 | | | 10.79 | | | | 0.23 | | | | (0.51 | ) | | | (0.28 | ) | | | (0.34 | ) | | | — | | | | (0.34 | ) | | | 10.17 | | | | (2.84 | ) | | | 53,255 | | | | 0.86 | | | | 1.16 | | | | 2.27 | | | | 79 | |
Real Estate Fund |
Class F |
2024 | | $ | 13.26 | | | $ | 0.27 | | | $ | 4.37 | | | $ | 4.64 | | | $ | (0.28 | ) | | $ | (0.07 | ) | | $ | (0.35 | ) | | $ | 17.55 | | | | 35.59 | % | | $ | 63,419 | | | | 1.15 | % | | | 1.24 | % | | | 1.84 | % | | | 46 | % |
2023 | | | 13.56 | | | | 0.22 | | | | 0.16 | | | | 0.38 | | | | (0.17 | ) | | | (0.51 | ) | | | (0.68 | ) | | | 13.26 | | | | 2.69 | | | | 55,148 | | | | 1.14 | | | | 1.23 | | | | 1.58 | | | | 53 | |
2022 | | | 17.62 | | | | 0.15 | | | | (2.89 | ) | | | (2.74 | ) | | | (0.23 | ) | | | (1.09 | ) | | | (1.32 | ) | | | 13.56 | | | | (17.41 | ) | | | 61,247 | | | | 1.14 | | | | 1.23 | | | | 0.87 | | | | 77 | |
2021 | | | 13.51 | | | | 0.11 | | | | 4.87 | | | | 4.98 | | | | (0.20 | ) | | | (0.67 | ) | | | (0.87 | ) | | | 17.62 | | | | 38.41 | | | | 84,666 | | | | 1.14 | | | | 1.23 | | | | 0.67 | | | | 78 | |
2020 | | | 17.24 | | | | 0.14 | | | | (2.47 | ) | | | (2.33 | ) | | | (0.28 | ) | | | (1.12 | ) | | | (1.40 | ) | | | 13.51 | | | | (14.21 | ) | | | 74,099 | | | | 1.14 | | | | 1.23 | | | | 0.95 | | | | 123 | |
Class I |
2024 | | $ | 13.22 | | | $ | 0.24 | | | $ | 4.35 | | | $ | 4.59 | | | $ | (0.24 | ) | | $ | (0.07 | ) | | $ | (0.31 | ) | | $ | 17.50 | | | | 35.25 | % | | $ | 229 | | | | 1.37 | % | | | 1.49 | % | | | 1.62 | % | | | 46 | % |
2023 | | | 13.54 | | | | 0.19 | | | | 0.16 | | | | 0.35 | | | | (0.16 | ) | | | (0.51 | ) | | | (0.67 | ) | | | 13.22 | | | | 2.44 | | | | 169 | | | | 1.36 | | | | 1.48 | | | | 1.36 | | | | 53 | |
2022 | | | 17.58 | | | | 0.07 | | | | (2.84 | ) | | | (2.77 | ) | | | (0.18 | ) | | | (1.09 | ) | | | (1.27 | ) | | | 13.54 | | | | (17.54 | ) | | | 164 | | | | 1.36 | | | | 1.48 | | | | 0.38 | | | | 77 | |
2021 | | | 13.48 | | | | 0.07 | | | | 4.86 | | | | 4.93 | | | | (0.16 | ) | | | (0.67 | ) | | | (0.83 | ) | | | 17.58 | | | | 38.14 | | | | 424 | | | | 1.36 | | | | 1.48 | | | | 0.47 | | | | 78 | |
2020 | | | 17.20 | | | | 0.11 | | | | (2.46 | ) | | | (2.35 | ) | | | (0.25 | ) | | | (1.12 | ) | | | (1.37 | ) | | | 13.48 | | | | (14.38 | ) | | | 307 | | | | 1.36 | | | | 1.48 | | | | 0.79 | | | | 123 | |
Class Y |
2024 | | $ | 13.28 | | | $ | 0.31 | | | $ | 4.36 | | | $ | 4.67 | | | $ | (0.32 | ) | | $ | (0.07 | ) | | $ | (0.39 | ) | | $ | 17.56 | | | | 35.89 | % | | $ | 14,290 | | | | 0.90 | % | | | 0.99 | % | | | 2.08 | % | | | 46 | % |
2023 | | | 13.57 | | | | 0.26 | | | | 0.16 | | | | 0.42 | | | | (0.20 | ) | | | (0.51 | ) | | | (0.71 | ) | | | 13.28 | | | | 2.94 | | | | 12,889 | | | | 0.89 | | | | 0.98 | | | | 1.83 | | | | 53 | |
2022 | | | 17.63 | | | | 0.21 | | | | (2.91 | ) | | | (2.70 | ) | | | (0.27 | ) | | | (1.09 | ) | | | (1.36 | ) | | | 13.57 | | | | (17.18 | ) | | | 13,752 | | | | 0.89 | | | | 0.98 | | | | 1.23 | | | | 77 | |
2021 | | | 13.51 | | | | 0.15 | | | | 4.87 | | | | 5.02 | | | | (0.23 | ) | | | (0.67 | ) | | | (0.90 | ) | | | 17.63 | | | | 38.81 | | | | 18,241 | | | | 0.89 | | | | 0.98 | | | | 0.93 | | | | 78 | |
2020 | | | 17.25 | | | | 0.21 | | | | (2.51 | ) | | | (2.30 | ) | | | (0.32 | ) | | | (1.12 | ) | | | (1.44 | ) | | | 13.51 | | | | (14.04 | ) | | | 17,279 | | | | 0.89 | | | | 0.98 | | | | 1.40 | | | | 123 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
Core Fixed Income Fund |
Class F |
2024 | | $ | 9.10 | | | $ | 0.37 | | | $ | 0.70 | | | $ | 1.07 | | | $ | (0.37 | )(2) | | $ | — | | | $ | (0.37 | ) | | $ | 9.80 | | | | 12.01 | % | | $ | 3,240,241 | | | | 0.66 | % | | | 0.74 | % | | | 3.95 | % | | | 333 | % |
2023 | | | 9.37 | | | | 0.33 | | | | (0.28 | ) | | | 0.05 | | | | (0.32 | ) | | | — | | | | (0.32 | ) | | | 9.10 | | | | 0.44 | | | | 2,966,849 | | | | 0.66 | | | | 0.74 | | | | 3.49 | | | | 340 | |
2022 | | | 11.50 | | | | 0.20 | | | | (2.09 | ) | | | (1.89 | ) | | | (0.21 | ) | | | (0.03 | ) | | | (0.24 | ) | | | 9.37 | | | | (16.70 | ) | | | 3,192,558 | | | | 0.66 | | | | 0.73 | | | | 1.85 | | | | 362 | |
2021 | | | 12.15 | | | | 0.15 | | | | (0.16 | ) | | | (0.01 | ) | | | (0.18 | ) | | | (0.46 | ) | | | (0.64 | ) | | | 11.50 | | | | (0.08 | ) | | | 4,101,094 | | | | 0.66 | | | | 0.72 | | | | 1.27 | | | | 375 | |
2020 | | | 11.65 | | | | 0.23 | | | | 0.65 | | | | 0.88 | | | | (0.27 | ) | | | (0.11 | ) | | | (0.38 | ) | | | 12.15 | | | | 7.75 | | | | 3,859,455 | | | | 0.66 | | | | 0.73 | | | | 1.98 | | | | 357 | |
Class I |
2024 | | $ | 9.09 | | | $ | 0.35 | | | $ | 0.70 | | | $ | 1.05 | | | $ | (0.35 | )(2) | | $ | — | | | $ | (0.35 | ) | | $ | 9.79 | | | | 11.77 | % | | $ | 2,951 | | | | 0.88 | % | | | 0.99 | % | | | 3.72 | % | | | 333 | % |
2023 | | | 9.35 | | | | 0.31 | | | | (0.27 | ) | | | 0.04 | | | | (0.30 | ) | | | — | | | | (0.30 | ) | | | 9.09 | | | | 0.32 | | | | 2,715 | | | | 0.88 | | | | 0.99 | | | | 3.26 | | | | 340 | |
2022 | | | 11.49 | | | | 0.17 | | | | (2.10 | ) | | | (1.93 | ) | | | (0.18 | ) | | | (0.03 | ) | | | (0.21 | ) | | | 9.35 | | | | (16.99 | ) | | | 3,423 | | | | 0.88 | | | | 0.98 | | | | 1.60 | | | | 362 | |
2021 | | | 12.14 | | | | 0.12 | | | | (0.15 | ) | | | (0.03 | ) | | | (0.16 | ) | | | (0.46 | ) | | | (0.62 | ) | | | 11.49 | | | | (0.30 | ) | | | 5,102 | | | | 0.88 | | | | 0.97 | | | | 1.05 | | | | 375 | |
2020 | | | 11.64 | | | | 0.21 | | | | 0.66 | | | | 0.87 | | | | (0.26 | ) | | | (0.11 | ) | | | (0.37 | ) | | | 12.14 | | | | 7.59 | | | | 4,698 | | | | 0.88 | | | | 0.98 | | | | 1.76 | | | | 357 | |
Class Y |
2024 | | $ | 9.11 | | | $ | 0.40 | | | $ | 0.70 | | | $ | 1.10 | | | $ | (0.40 | )(2) | | $ | — | | | $ | (0.40 | ) | | $ | 9.81 | | | | 12.28 | % | | $ | 400,203 | | | | 0.41 | % | | | 0.49 | % | | | 4.20 | % | | | 333 | % |
2023 | | | 9.37 | | | | 0.36 | | | | (0.28 | ) | | | 0.08 | | | | (0.34 | ) | | | — | | | | (0.34 | ) | | | 9.11 | | | | 0.80 | | | | 385,904 | | | | 0.41 | | | | 0.49 | | | | 3.75 | | | | 340 | |
2022 | | | 11.51 | | | | 0.22 | | | | (2.10 | ) | | | (1.88 | ) | | | (0.23 | ) | | | (0.03 | ) | | | (0.26 | ) | | | 9.37 | | | | (16.56 | ) | | | 409,715 | | | | 0.41 | | | | 0.48 | | | | 2.11 | | | | 362 | |
2021 | | | 12.16 | | | | 0.18 | | | | (0.16 | ) | | | 0.02 | | | | (0.21 | ) | | | (0.46 | ) | | | (0.67 | ) | | | 11.51 | | | | 0.16 | | | | 501,505 | | | | 0.41 | | | | 0.47 | | | | 1.51 | | | | 375 | |
2020 | | | 11.66 | | | | 0.26 | | | | 0.65 | | | | 0.91 | | | | (0.30 | ) | | | (0.11 | ) | | | (0.41 | ) | | | 12.16 | | | | 7.98 | | | | 455,054 | | | | 0.41 | | | | 0.48 | | | | 2.22 | | | | 357 | |
High Yield Bond Fund |
Class F |
2024 | | $ | 5.37 | | | $ | 0.46 | | | $ | 0.26 | | | $ | 0.72 | | | $ | (0.51 | )(3) | | $ | (0.14 | ) | | $ | (0.65 | ) | | $ | 5.44 | | | | 14.23 | % | | $ | 996,029 | | | | 0.89 | % | | | 0.99 | % | | | 8.55 | % | | | 63 | % |
2023 | | | 5.75 | | | | 0.40 | | | | 0.10 | | | | 0.50 | | | | (0.50 | )(4) | | | (0.38 | ) | | | (0.88 | ) | | | 5.37 | | | | 9.27 | | | | 1,072,999 | | | | 0.89 | | | | 0.99 | | | | 7.30 | | | | 48 | |
2022 | | | 7.08 | | | | 0.32 | | | | (1.20 | ) | | | (0.88 | ) | | | (0.40 | ) | | | (0.05 | ) | | | (0.45 | ) | | | 5.75 | | | | (12.98 | ) | | | 1,115,354 | | | | 0.89 | | | | 0.98 | | | | 4.93 | | | | 49 | |
2021 | | | 6.46 | | | | 0.40 | | | | 0.72 | | | | 1.12 | | | | (0.37 | ) | | | (0.13 | ) | | | (0.50 | ) | | | 7.08 | | | | 17.84 | | | | 1,430,709 | | | | 0.89 | | | | 0.98 | | | | 5.78 | | | | 67 | |
2020 | | | 6.91 | | | | 0.36 | | | | (0.39 | ) | | | (0.03 | ) | | | (0.38 | ) | | | (0.04 | ) | | | (0.42 | ) | | | 6.46 | | | | (0.33 | ) | | | 1,257,617 | | | | 0.89 | | | | 0.98 | | | | 5.54 | | | | 88 | |
Class I |
2024 | | $ | 5.15 | | | $ | 0.43 | | | $ | 0.25 | | | $ | 0.68 | | | $ | (0.48 | )(4) | | $ | (0.14 | ) | | $ | (0.62 | ) | | $ | 5.21 | | | | 13.95 | % | | $ | 3 | | | | 1.12 | % | | | 1.24 | % | | | 8.38 | % | | | 63 | % |
2023 | | | 5.53 | | | | 0.38 | | | | 0.10 | | | | 0.48 | | | | (0.48 | )(5) | | | (0.38 | ) | | | (0.86 | ) | | | 5.15 | | | | 9.10 | | | | 4 | | | | 1.06 | | | | 1.16 | | | | 7.17 | | | | 48 | |
2022 | | | 6.82 | | | | 0.27 | | | | (1.13 | ) | | | (0.86 | ) | | | (0.38 | ) | | | (0.05 | ) | | | (0.43 | ) | | | 5.53 | | | | (13.14 | ) | | | 3 | | | | 1.11 | | | | 1.23 | | | | 4.09 | | | | 49 | |
2021 | | | 6.22 | | | | 0.37 | | | | 0.70 | | | | 1.07 | | | | (0.34 | ) | | | (0.13 | ) | | | (0.47 | ) | | | 6.82 | | | | 17.72 | | | | 581 | | | | 1.11 | | | | 1.23 | | | | 5.55 | | | | 67 | |
2020 | | | 6.65 | | | | 0.33 | | | | (0.37 | ) | | | (0.04 | ) | | | (0.35 | ) | | | (0.04 | ) | | | (0.39 | ) | | | 6.22 | | | | (0.46 | ) | | | 409 | | | | 1.11 | | | | 1.23 | | | | 4.99 | | | | 88 | |
Class Y |
2024 | | $ | 5.37 | | | $ | 0.47 | | | $ | 0.26 | | | $ | 0.73 | | | $ | (0.52 | )(3) | | $ | (0.14 | ) | | $ | (0.66 | ) | | $ | 5.44 | | | | 14.51 | % | | $ | 173,639 | | | | 0.65 | % | | | 0.74 | % | | | 8.77 | % | | | 63 | % |
2023 | | | 5.75 | | | | 0.42 | | | | 0.10 | | | | 0.52 | | | | (0.52 | )(4) | | | (0.38 | ) | | | (0.90 | ) | | | 5.37 | | | | 9.54 | | | | 156,000 | | | | 0.64 | | | | 0.74 | | | | 7.57 | | | | 48 | |
2022 | | | 7.08 | | | | 0.34 | | | | (1.20 | ) | | | (0.86 | ) | | | (0.42 | ) | | | (0.05 | ) | | | (0.47 | ) | | | 5.75 | | | | (12.77 | ) | | | 159,547 | | | | 0.64 | | | | 0.73 | | | | 5.20 | | | | 49 | |
2021 | | | 6.46 | | | | 0.42 | | | | 0.72 | | | | 1.14 | | | | (0.39 | ) | | | (0.13 | ) | | | (0.52 | ) | | | 7.08 | | | | 18.13 | | | | 195,613 | | | | 0.64 | | | | 0.73 | | | | 6.03 | | | | 67 | |
2020 | | | 6.91 | | | | 0.38 | | | | (0.39 | ) | | | (0.01 | ) | | | (0.40 | ) | | | (0.04 | ) | | | (0.44 | ) | | | 6.46 | | | | (0.07 | ) | | | 174,334 | | | | 0.64 | | | | 0.73 | | | | 5.78 | | | | 88 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
(2) | Includes return of capital of $0.02 per share. |
(3) | Includes return of capital of $0.09 per share. |
(4) | Includes return of capital of $0.08 per share. |
(5) | Includes return of capital of $0.07 per share. |
Amounts designated as “—“ are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
Conservative Income Fund |
Class F |
2024 | | $ | 10.00 | | | $ | 0.52 | | | $ | 0.01 | | | $ | 0.53 | | | $ | (0.52 | ) | | $ | — | ^ | | $ | (0.52 | ) | | $ | 10.01 | | | | 5.47 | % | | $ | 711,594 | | | | 0.30 | % | | | 0.59 | % | | | 5.23 | % | | | – | % |
2023 | | | 10.00 | | | | 0.46 | | | | (0.01 | ) | | | 0.45 | | | | (0.45 | ) | | | — | | | | (0.45 | ) | | | 10.00 | | | | 4.61 | | | | 464,086 | | | | 0.30 | | | | 0.58 | | | | 4.60 | | | | – | |
2022 | | | 10.00 | | | | 0.07 | | | | (0.01 | ) | | | 0.06 | | | | (0.06 | ) | | | — | ^ | | | (0.06 | ) | | | 10.00 | | | | 0.65 | | | | 344,975 | | | | 0.25 | | | | 0.58 | | | | 0.67 | | | | – | |
2021 | | | 10.00 | | | | — | | | | — | | | | — | | | | — | ^ | | | — | | | | — | ^ | | | 10.00 | | | | 0.01 | | | | 269,681 | | | | 0.19 | | | | 0.58 | | | | — | | | | – | |
2020 | | | 10.00 | | | | 0.09 | | | | 0.01 | | | | 0.10 | | | | (0.10 | ) | | | — | | | | (0.10 | ) | | | 10.00 | | | | 0.96 | | | | 319,030 | | | | 0.30 | | | | 0.59 | | | | 0.90 | | | | – | |
Class Y |
2024 | | $ | 10.01 | | | $ | 0.53 | | | $ | 0.01 | | | $ | 0.54 | | | $ | (0.53 | ) | | $ | — | ^ | | $ | (0.53 | ) | | $ | 10.02 | | | | 5.58 | % | | $ | 10,178 | | | | 0.20 | % | | | 0.33 | % | | | 5.33 | % | | | – | % |
2023 | | | 10.01 | | | | 0.46 | | | | 0.01 | | | | 0.47 | | | | (0.47 | ) | | | — | | | | (0.47 | ) | | | 10.01 | | | | 4.78 | | | | 15,217 | | | | 0.20 | | | | 0.33 | | | | 4.62 | | | | – | |
2022 | | | 10.01 | | | | 0.07 | | | | — | | | | 0.07 | | | | (0.07 | ) | | | — | ^ | | | (0.07 | ) | | | 10.01 | | | | 0.70 | | | | 15,305 | | | | 0.14 | | | | 0.33 | | | | 0.72 | | | | – | |
2021 | | | 10.00 | | | | 0.01 | | | | — | | | | 0.01 | | | | — | ^ | | | — | | | | — | ^ | | | 10.01 | | | | 0.11 | | | | 16,962 | | | | 0.09 | | | | 0.33 | | | | 0.10 | | | | – | |
2020 | | | 10.00 | | | | 0.11 | | | | — | | | | 0.11 | | | | (0.11 | ) | | | — | | | | (0.11 | ) | | | 10.00 | | | | 1.06 | | | | 22,256 | | | | 0.20 | | | | 0.34 | | | | 1.05 | | | | – | |
Tax-Free Conservative Income Fund |
Class F |
2024 | | $ | 10.00 | | | $ | 0.32 | | | $ | 0.01 | | | $ | 0.33 | | | $ | (0.32 | ) | | $ | — | | | $ | (0.32 | ) | | $ | 10.01 | | | | 3.35 | % | | $ | 182,223 | | | | 0.30 | % | | | 0.59 | % | | | 3.21 | % | | | – | % |
2023 | | | 9.99 | | | | 0.28 | | | | 0.01 | | | | 0.29 | | | | (0.28 | ) | | | — | | | | (0.28 | ) | | | 10.00 | | | | 2.92 | | | | 163,924 | | | | 0.30 | | | | 0.58 | | | | 2.77 | | | | – | |
2022 | | | 10.00 | | | | 0.04 | | | | (0.01 | ) | | | 0.03 | | | | (0.04 | ) | | | — | | | | (0.04 | ) | | | 9.99 | | | | 0.29 | | | | 176,810 | | | | 0.22 | | | | 0.58 | | | | 0.39 | | | | – | |
2021 | | | 10.00 | | | | — | | | | — | | | | — | | | | — | ^ | | | — | | | | — | ^ | | | 10.00 | | | | 0.01 | | | | 183,626 | | | | 0.13 | | | | 0.58 | | | | 0.01 | | | | – | |
2020 | | | 10.00 | | | | 0.06 | | | | — | | | | 0.06 | | | | (0.06 | ) | | | — | | | | (0.06 | ) | | | 10.00 | | | | 0.64 | | | | 212,828 | | | | 0.30 | | | | 0.59 | | | | 0.62 | | | | – | |
Class Y |
2024 | | $ | 10.01 | | | $ | 0.33 | | | $ | 0.02 | | | $ | 0.35 | | | $ | (0.33 | ) | | $ | — | | | $ | (0.33 | ) | | $ | 10.03 | | | | 3.56 | % | | $ | 8,874 | | | | 0.20 | % | | | 0.34 | % | | | 3.33 | % | | | – | % |
2023 | | | 10.01 | | | | 0.29 | | | | — | | | | 0.29 | | | | (0.29 | ) | | | — | | | | (0.29 | ) | | | 10.01 | | | | 2.92 | | | | 3,971 | | | | 0.20 | | | | 0.33 | | | | 2.86 | | | | – | |
2022 | | | 10.01 | | | | 0.05 | | | | (0.01 | ) | | | 0.04 | | | | (0.04 | ) | | | — | | | | (0.04 | ) | | | 10.01 | | | | 0.44 | | | | 4,890 | | | | 0.13 | | | | 0.33 | | | | 0.48 | | | | – | |
2021 | | | 10.00 | | | | 0.01 | | | | — | | | | 0.01 | | | | — | ^ | | | — | | | | — | ^ | | | 10.01 | | | | 0.11 | | | | 9,273 | | | | 0.03 | | | | 0.33 | | | | 0.10 | | | | – | |
2020 | | | 10.00 | | | | 0.09 | | | | (0.02 | ) | | | 0.07 | | | | (0.07 | ) | | | — | | | | (0.07 | ) | | | 10.00 | | | | 0.73 | | | | 5,770 | | | | 0.20 | | | | 0.34 | | | | 0.87 | | | | – | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
^ | Amount represents less than $0.005 per share. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
Real Return Fund |
Class F |
2024 | | $ | 9.33 | | | $ | 0.38 | | | $ | 0.31 | | | $ | 0.69 | | | $ | (0.33 | ) | | $ | — | | | $ | (0.33 | ) | | $ | 9.69 | | | | 7.57 | % | | $ | 359,046 | | | | 0.45 | % | | | 0.70 | % | | | 4.02 | % | | | 41 | % |
2023 | | | 9.57 | | | | 0.22 | | | | 0.01 | | | | 0.23 | | | | (0.43 | ) | | | (0.04 | ) | | | (0.47 | ) | | | 9.33 | | | | 2.44 | | | | 183,431 | | | | 0.45 | | | | 0.70 | | | | 2.36 | | | | 31 | |
2022 | | | 10.68 | | | | 0.71 | | | | (1.17 | ) | | | (0.46 | ) | | | (0.65 | ) | | | — | | | | (0.65 | ) | | | 9.57 | | | | (4.52 | ) | | | 241,034 | | | | 0.45 | | | | 0.70 | | | | 6.86 | | | | 50 | |
2021 | | | 10.40 | | | | 0.44 | | | | 0.10 | | | | 0.54 | | | | (0.26 | ) | | | — | | | | (0.26 | ) | | | 10.68 | | | | 5.26 | | | | 228,319 | | | | 0.45 | | | | 0.70 | | | | 4.18 | | | | 31 | |
2020 | | | 9.96 | | | | 0.07 | | | | 0.42 | | | | 0.49 | | | | (0.05 | ) | | | — | | | | (0.05 | ) | | | 10.40 | | | | 4.98 | | | | 238,849 | | | | 0.45 | | | | 0.70 | | | | 0.72 | | | | 41 | |
Class Y |
2024 | | $ | 9.37 | | | $ | 0.37 | | | $ | 0.33 | | | $ | 0.70 | | | $ | (0.34 | ) | | $ | — | | | $ | (0.34 | ) | | $ | 9.73 | | | | 7.64 | % | | $ | 25,074 | | | | 0.35 | % | | | 0.45 | % | | | 3.83 | % | | | 41 | % |
2023 | | | 9.62 | | | | 0.24 | | | | (0.01 | ) | | | 0.23 | | | | (0.44 | ) | | | (0.04 | ) | | | (0.48 | ) | | | 9.37 | | | | 2.44 | | | | 14,249 | | | | 0.35 | | | | 0.45 | | | | 2.50 | | | | 31 | |
2022 | | | 10.73 | | | | 0.71 | | | | (1.16 | ) | | | (0.45 | ) | | | (0.66 | ) | | | — | | | | (0.66 | ) | | | 9.62 | | | | (4.40 | ) | | | 16,740 | | | | 0.35 | | | | 0.45 | | | | 6.85 | | | | 50 | |
2021 | | | 10.44 | | | | 0.43 | | | | 0.14 | | | | 0.57 | | | | (0.28 | ) | | | — | | | | (0.28 | ) | | | 10.73 | | | | 5.47 | | | | 17,931 | | | | 0.35 | | | | 0.45 | | | | 4.11 | | | | 31 | |
2020 | | | 10.00 | | | | 0.08 | | | | 0.42 | | | | 0.50 | | | | (0.06 | ) | | | — | | | | (0.06 | ) | | | 10.44 | | | | 5.01 | | | | 21,395 | | | | 0.35 | | | | 0.45 | | | | 0.84 | | | | 41 | |
Dynamic Asset Allocation Fund |
Class F |
2024 | | $ | 14.86 | | | $ | 0.19 | | | $ | 4.20 | | | $ | 4.39 | | | $ | — | | | $ | (1.45 | ) | | $ | (1.45 | ) | | $ | 17.80 | | | | 31.54 | % | | $ | 738,817 | | | | 0.75 | % | | | 1.18 | % | | | 1.20 | % | | | 14 | % |
2023 | | | 14.41 | | | | 0.18 | | | | 2.19 | | | | 2.37 | | | | (0.40 | ) | | | (1.52 | ) | | | (1.92 | ) | | | 14.86 | | | | 17.64 | | | | 640,725 | | | | 0.75 | | | | 1.18 | | | | 1.24 | | | | 22 | |
2022 | | | 18.50 | | | | 0.11 | | | | (2.20 | ) | | | (2.09 | ) | | | (0.59 | ) | | | (1.41 | ) | | | (2.00 | ) | | | 14.41 | | | | (13.56 | ) | | | 597,961 | | | | 0.75 | | | | 1.18 | | | | 0.62 | | | | 5 | |
2021 | | | 14.98 | | | | 0.10 | | | | 4.58 | | | | 4.68 | | | | (0.89 | ) | | | (0.27 | ) | | | (1.16 | ) | | | 18.50 | | | | 32.72 | | | | 816,977 | | | | 0.75 | | | | 1.18 | | | | 0.56 | | | | 10 | |
2020 | | | 13.23 | | | | 0.14 | | | | 1.84 | | | | 1.98 | | | | (0.23 | ) | | | — | | | | (0.23 | ) | | | 14.98 | | | | 15.07 | | | | 723,775 | | | | 0.75 | | | | 1.18 | | | | 1.06 | | | | 16 | |
Class Y |
2024 | | $ | 14.88 | | | $ | 0.29 | | | $ | 4.16 | | | $ | 4.45 | | | $ | — | | | $ | (1.45 | ) | | $ | (1.45 | ) | | $ | 17.88 | | | | 31.92 | % | | $ | 89,294 | | | | 0.50 | % | | | 0.93 | % | | | 1.79 | % | | | 14 | % |
2023 | | | 14.43 | | | | 0.25 | | | | 2.16 | | | | 2.41 | | | | (0.44 | ) | | | (1.52 | ) | | | (1.96 | ) | | | 14.88 | | | | 17.95 | | | | 42,012 | | | | 0.50 | | | | 0.93 | | | | 1.69 | | | | 22 | |
2022 | | | 18.54 | | | | 0.16 | | | | (2.22 | ) | | | (2.06 | ) | | | (0.64 | ) | | | (1.41 | ) | | | (2.05 | ) | | | 14.43 | | | | (13.44 | ) | | | 35,497 | | | | 0.50 | | | | 0.93 | | | | 0.91 | | | | 5 | |
2021 | | | 15.01 | | | | 0.14 | | | | 4.58 | | | | 4.72 | | | | (0.92 | ) | | | (0.27 | ) | | | (1.19 | ) | | | 18.54 | | | | 33.05 | | | | 46,976 | | | | 0.50 | | | | 0.93 | | | | 0.81 | | | | 10 | |
2020 | | | 13.26 | | | | 0.08 | | | | 1.93 | | | | 2.01 | | | | (0.26 | ) | | | — | | | | (0.26 | ) | | | 15.01 | | | | 15.31 | | | | 41,757 | | | | 0.50 | | | | 0.93 | | | | 0.59 | | | | 16 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the years or periods ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
Multi-Strategy Alternative Fund |
Class F |
2024 | | $ | 9.37 | | | $ | 0.45 | | | $ | 0.55 | | | $ | 1.00 | | | $ | (0.41 | ) | | $ | — | | | $ | (0.41 | ) | | $ | 9.96 | | | | 10.91 | % | | $ | 262,760 | | | | 2.70 | %(2) | | | 3.45 | % | | | 4.70 | % | | | 277 | % |
2023 | | | 9.08 | | | | 0.36 | | | | 0.12 | | | | 0.48 | | | | (0.19 | ) | | | — | | | | (0.19 | ) | | | 9.37 | | | | 5.40 | | | | 354,258 | | | | 1.83 | (2) | | | 2.58 | | | | 3.91 | | | | 434 | |
2022 | | | 10.54 | | | | 0.08 | | | | (0.79 | ) | | | (0.71 | ) | | | (0.13 | ) | | | (0.62 | ) | | | (0.75 | ) | | | 9.08 | | | | (7.24 | ) | | | 394,876 | | | | 1.93 | (2) | | | 2.68 | | | | 0.83 | | | | 369 | |
2021 | | | 9.98 | | | | 0.09 | | | | 0.76 | | | | 0.85 | | | | (0.05 | ) | | | (0.24 | ) | | | (0.29 | ) | | | 10.54 | | | | 8.57 | | | | 449,934 | | | | 1.99 | (2) | | | 2.75 | | | | 0.87 | | | | 424 | |
2020 | | | 9.61 | | | | 0.08 | | | | 0.39 | | | | 0.47 | | | | (0.10 | ) | | | — | | | | (0.10 | ) | | | 9.98 | | | | 4.90 | | | | 463,468 | | | | 1.72 | (3) | | | 2.54 | | | | 0.84 | | | | 527 | |
Class Y |
2024 | | $ | 9.37 | | | $ | 0.47 | | | $ | 0.56 | | | $ | 1.03 | | | $ | (0.43 | ) | | $ | — | | | $ | (0.43 | ) | | $ | 9.97 | | | | 11.32 | % | | $ | 6,269 | | | | 2.44 | %(4) | | | 3.20 | % | | | 4.96 | % | | | 277 | % |
2023 | | | 9.08 | | | | 0.38 | | | | 0.13 | | | | 0.51 | | | | (0.22 | ) | | | — | | | | (0.22 | ) | | | 9.37 | | | | 5.68 | | | | 14,325 | | | | 1.58 | (4) | | | 2.33 | | | | 4.12 | | | | 434 | |
2022 | | | 10.55 | | | | 0.11 | | | | (0.81 | ) | | | (0.70 | ) | | | (0.15 | ) | | | (0.62 | ) | | | (0.77 | ) | | | 9.08 | | | | (7.09 | ) | | | 8,069 | | | | 1.68 | (4) | | | 2.43 | | | | 1.09 | | | | 369 | |
2021 | | | 9.98 | | | | 0.12 | | | | 0.77 | | | | 0.89 | | | | (0.08 | ) | | | (0.24 | ) | | | (0.32 | ) | | | 10.55 | | | | 8.94 | | | | 8,585 | | | | 1.74 | (4) | | | 2.50 | | | | 1.12 | | | | 424 | |
2020 | | | 9.61 | | | | 0.11 | | | | 0.38 | | | | 0.49 | | | | (0.12 | ) | | | — | | | | (0.12 | ) | | | 9.98 | | | | 5.16 | | | | 8,464 | | | | 1.47 | (5) | | | 2.29 | | | | 1.12 | | | | 527 | |
Liquid Alternative Fund |
Class F |
2024 | | $ | 10.16 | | | $ | 0.39 | | | $ | 0.34 | | | $ | 0.73 | | | $ | (0.18 | ) | | $ | (0.09 | ) | | $ | (0.27 | ) | | $ | 10.62 | | | | 7.39 | % | | $ | 183,858 | | | | 1.04 | % | | | 1.10 | % | | | 3.72 | % | | | – | % |
2023(6) | | | 10.00 | | | | 0.15 | | | | 0.01 | | | | 0.16 | | | | — | | | | — | | | | — | | | | 10.16 | | | | 1.60 | | | | 531 | | | | 1.04 | | | | 4.16 | | | | 5.70 | | | | – | |
Class Y |
2024 | | $ | 10.17 | | | $ | 0.42 | | | $ | 0.32 | | | $ | 0.74 | | | $ | (0.18 | ) | | $ | (0.09 | ) | | $ | (0.27 | ) | | $ | 10.64 | | | | 7.52 | % | | $ | 19,875 | | | | 0.80 | % | | | 0.96 | % | | | 4.00 | % | | | – | % |
2023(6) | | | 10.00 | | | | 0.10 | | | | 0.07 | | | | 0.17 | | | | — | | | | — | | | | — | | | | 10.17 | | | | 1.60 | | | | 10,827 | | | | 0.80 | | | | 1.89 | | | | 3.85 | | | | – | |
Multi-Asset Accumulation Fund |
Class F |
2024 | | $ | 6.66 | | | $ | 0.25 | | | $ | 0.85 | | | $ | 1.10 | | | $ | (0.14 | )(7) | | $ | — | | | $ | (0.14 | ) | | $ | 7.62 | | | | 16.69 | % | | $ | 1,237,192 | | | | 1.17 | % | | | 1.33 | % | | | 3.54 | % | | | 75 | % |
2023 | | | 7.17 | | | | 0.23 | | | | (0.04 | ) | | | 0.19 | | | | (0.70 | ) | | | — | | | | (0.70 | ) | | | 6.66 | | | | 2.59 | | | | 1,781,011 | | | | 1.17 | | | | 1.32 | | | | 3.26 | | | | 72 | |
2022 | | | 10.31 | | | | 0.11 | | | | (1.96 | ) | | | (1.85 | ) | | | (0.64 | ) | | | (0.65 | ) | | | (1.29 | ) | | | 7.17 | | | | (20.79 | ) | | | 1,886,712 | | | | 1.17 | | | | 1.30 | | | | 1.25 | | | | 42 | |
2021 | | | 9.55 | | | | (0.01 | ) | | | 1.28 | | | | 1.27 | | | | — | | | | (0.51 | ) | | | (0.51 | ) | | | 10.31 | | | | 13.73 | | | | 2,506,500 | | | | 1.17 | | | | 1.29 | | | | (0.12 | ) | | | 54 | |
2020 | | | 10.63 | | | | (0.02 | ) | | | 0.18 | | | | 0.16 | | | | (0.13 | ) | | | (1.11 | ) | | | (1.24 | ) | | | 9.55 | | | | 1.51 | | | | 2,420,060 | | | | 1.17 | | | | 1.30 | | | | (0.23 | ) | | | 61 | |
Class Y |
2024 | | $ | 6.73 | | | $ | 0.22 | | | $ | 0.92 | | | $ | 1.14 | | | $ | (0.16 | ) (7) | | $ | — | | | $ | (0.16 | ) | | $ | 7.71 | | | | 17.11 | % | | $ | 90,959 | | | | 0.92 | % | | | 1.08 | % | | | 3.04 | % | | | 75 | % |
2023 | | | 7.25 | | | | 0.20 | | | | — | | | | 0.20 | | | | (0.72 | ) | | | — | | | | (0.72 | ) | | | 6.73 | | | | 2.73 | | | | 100,217 | | | | 0.92 | | | | 1.07 | | | | 2.75 | | | | 72 | |
2022 | | | 10.41 | | | | 0.12 | | | | (1.97 | ) | | | (1.85 | ) | | | (0.66 | ) | | | (0.65 | ) | | | (1.31 | ) | | | 7.25 | | | | (20.57 | ) | | | 146,375 | | | | 0.92 | | | | 1.05 | | | | 1.36 | | | | 42 | |
2021 | | | 9.62 | | | | (0.02 | ) | | | 1.32 | | | | 1.30 | | | | — | | | | (0.51 | ) | | | (0.51 | ) | | | 10.41 | | | | 13.95 | | | | 193,339 | | | | 0.92 | | | | 1.04 | | | | (0.15 | ) | | | 54 | |
2020 | | | 10.70 | | | | (0.03 | ) | | | 0.21 | | | | 0.18 | | | | (0.15 | ) | | | (1.11 | ) | | | (1.26 | ) | | | 9.62 | | | | 1.74 | | | | 190,469 | | | | 0.92 | | | | 1.05 | | | | (0.26 | ) | | | 61 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
(2) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 1.35%. |
(3) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 1.27%. |
(4) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 1.10%. |
(5) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 1.02%. |
(6) | Commenced operations on June 30, 2023. All ratios for the period have been annualized. |
(7) | Includes return of capital of $0.06 per share. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS/CONSOLIDATED FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
Multi-Asset Income Fund |
Class F |
2024 | | $ | 9.28 | | | $ | 0.65 | | | $ | 0.84 | | | $ | 1.49 | | | $ | (0.65 | ) | | $ | — | | | $ | (0.65 | ) | | $ | 10.12 | | | | 16.56 | % | | $ | 417,955 | | | | 0.80 | % | | | 1.22 | % | | | 6.70 | % | | | 68 | % |
2023 | | | 9.22 | | | | 0.62 | | | | 0.11 | | | | 0.73 | | | | (0.67 | ) | | | — | | | | (0.67 | ) | | | 9.28 | | | | 8.02 | | | | 532,159 | | | | 0.80 | | | | 1.21 | | | | 6.49 | | | | 39 | |
2022 | | | 11.49 | | | | 0.46 | | | | (2.26 | ) | | | (1.80 | ) | | | (0.46 | ) | | | (0.01 | ) | | | (0.47 | ) | | | 9.22 | | | | (16.13 | ) | | | 568,205 | | | | 0.80 | | | | 1.20 | | | | 4.35 | | | | 24 | |
2021 | | | 10.85 | | | | 0.42 | | | | 0.61 | | | | 1.03 | | | | (0.39 | ) | | | — | | | | (0.39 | ) | | | 11.49 | | | | 9.57 | | | | 759,685 | | | | 0.80 | | | | 1.20 | | | | 3.71 | | | | 59 | |
2020 | | | 11.07 | | | | 0.40 | | | | (0.20 | ) | | | 0.20 | | | | (0.39 | ) | | | (0.03 | ) | | | (0.42 | ) | | | 10.85 | | | | 1.86 | | | | 770,599 | | | | 0.80 | | | | 1.21 | | | | 3.69 | | | | 137 | |
Class Y |
2024 | | $ | 9.28 | | | $ | 0.66 | | | $ | 0.84 | | | $ | 1.50 | | | $ | (0.66 | ) | | $ | — | | | $ | (0.66 | ) | | $ | 10.12 | | | | 16.67 | % | | $ | 138,066 | | | | 0.70 | % | | | 0.97 | % | | | 6.77 | % | | | 68 | % |
2023 | | | 9.22 | | | | 0.63 | | | | 0.11 | | | | 0.74 | | | | (0.68 | ) | | | — | | | | (0.68 | ) | | | 9.28 | | | | 8.12 | | | | 127,673 | | | | 0.70 | | | | 0.96 | | | | 6.59 | | | | 39 | |
2022 | | | 11.49 | | | | 0.47 | | | | (2.26 | ) | | | (1.79 | ) | | | (0.47 | ) | | | (0.01 | ) | | | (0.48 | ) | | | 9.22 | | | | (16.08 | ) | | | 137,959 | | | | 0.70 | | | | 0.95 | | | | 4.46 | | | | 24 | |
2021 | | | 10.85 | | | | 0.43 | | | | 0.61 | | | | 1.04 | | | | (0.40 | ) | | | — | | | | (0.40 | ) | | | 11.49 | | | | 9.68 | | | | 172,276 | | | | 0.70 | | | | 0.95 | | | | 3.81 | | | | 59 | |
2020 | | | 11.07 | | | | 0.41 | | | | (0.20 | ) | | | 0.21 | | | | (0.40 | ) | | | (0.03 | ) | | | (0.43 | ) | | | 10.85 | | | | 1.96 | | | | 161,672 | | | | 0.70 | | | | 0.96 | | | | 3.79 | | | | 137 | |
Multi-Asset Inflation Managed Fund |
Class F |
2024 | | $ | 7.87 | | | $ | 0.30 | | | $ | 0.17 | | | $ | 0.47 | | | $ | (0.29 | ) | | $ | — | | | $ | (0.29 | ) | | $ | 8.05 | | | | 6.18 | % | | $ | 543,236 | | | | 1.90 | %(2) | | | 2.14 | % | | | 3.84 | % | | | 43 | % |
2023 | | | 8.68 | | | | 0.27 | | | | (0.12 | ) | | | 0.15 | | | | (0.96 | ) | | | — | | | | (0.96 | ) | | | 7.87 | | | | 1.46 | | | | 648,827 | | | | 1.96 | (2) | | | 2.20 | | | | 3.39 | | | | 93 | |
2022 | | | 8.91 | | | | 0.34 | | | | 0.09 | | | | 0.43 | | | | (0.66 | ) | | | — | | | | (0.66 | ) | | | 8.68 | | | | 5.10 | | | | 783,196 | | | | 1.24 | (2) | | | 1.48 | | | | 3.80 | | | | 81 | |
2021 | | | 7.88 | | | | 0.24 | | | | 0.91 | | | | 1.15 | | | | (0.12 | ) | | | — | | | | (0.12 | ) | | | 8.91 | | | | 14.71 | | | | 803,799 | | | | 1.12 | (2) | | | 1.36 | | | | 2.84 | | | | 65 | |
2020 | | | 8.28 | | | | 0.10 | | | | (0.38 | ) | | | (0.28 | ) | | | (0.12 | ) | | | — | | | | (0.12 | ) | | | 7.88 | | | | (3.41 | ) | | | 735,962 | | | | 1.38 | (2) | | | 1.62 | | | | 1.28 | | | | 63 | |
Class Y |
2024 | | $ | 7.88 | | | $ | 0.24 | | | $ | 0.25 | | | $ | 0.49 | | | $ | (0.31 | ) | | $ | — | | | $ | (0.31 | ) | | $ | 8.06 | | | | 6.47 | % | | $ | 37,049 | | | | 1.64 | %(3) | | | 1.87 | % | | | 3.00 | % | | | 43 | % |
2023 | | | 8.69 | | | | 0.23 | | | | (0.06 | ) | | | 0.17 | | | | (0.98 | ) | | | — | | | | (0.98 | ) | | | 7.88 | | | | 1.75 | | | | 30,866 | | | | 1.71 | (3) | | | 1.96 | | | | 2.88 | | | | 93 | |
2022 | | | 8.92 | | | | 0.34 | | | | 0.11 | | | | 0.45 | | | | (0.68 | ) | | | — | | | | (0.68 | ) | | | 8.69 | | | | 5.36 | | | | 34,931 | | | | 0.98 | (4) | | | 1.22 | | | | 3.84 | | | | 81 | |
2021 | | | 7.89 | | | | 0.22 | | | | 0.95 | | | | 1.17 | | | | (0.14 | ) | | | — | | | | (0.14 | ) | | | 8.92 | | | | 14.99 | | | | 43,985 | | | | 0.87 | (3) | | | 1.11 | | | | 2.62 | | | | 65 | |
2020 | | | 8.29 | | | | 0.11 | | | | (0.37 | ) | | | (0.26 | ) | | | (0.14 | ) | | | — | | | | (0.14 | ) | | | 7.89 | | | | (3.17 | ) | | | 45,173 | | | | 1.13 | (5) | | | 1.37 | | | | 1.35 | | | | 63 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
(2) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.90%. |
(3) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.65%. |
(4) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.64%. |
(5) | The expense ratio includes dividend and interest expense, and other expenses outside the cap. Had this expense been excluded the ratios would have been 0.66%. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
FINANCIAL HIGHLIGHTS
For the years ended September 30,
For a share outstanding throughout each period
| | | Net Asset
Value,
Beginning of
Period | | | Net
Investment
Income (Loss)(1) | | | Net Realized
and Unrealized
Gains (Losses) | | | Total
from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Capital
Gains | | | Total
Distributions | | | Net Asset
Value, End
of Period | | | Total
Return† | | | Net Assets
End of Period
($ Thousands) | | | Ratio of Net
Expenses
to Average
Net Assets | | | Ratio of Expenses
to Average
Net Assets
(Excluding Waivers) | | | Ratio of Net
Investment
Income (Loss)
to Average
Net Assets | | | Portfolio
Turnover
Rate† | |
Multi-Asset Capital Stability Fund |
Class F |
2024 | | $ | 10.01 | | | $ | 0.40 | | | $ | 0.59 | | | $ | 0.99 | | | $ | (0.41 | ) | | $ | — | | | $ | (0.41 | ) | | $ | 10.59 | | | | 10.09 | % | | $ | 482,547 | | | | 0.62 | % | | | 0.98 | % | | | 3.92 | % | | | 203 | % |
2023 | | | 9.79 | | | | 0.33 | | | | 0.07 | | | | 0.40 | | | | (0.18 | ) | | | — | | | | (0.18 | ) | | | 10.01 | | | | 4.19 | | | | 552,046 | | | | 0.62 | | | | 0.98 | | | | 3.34 | | | | 103 | |
2022 | | | 10.51 | | | | 0.03 | | | | (0.46 | ) | | | (0.43 | ) | | | (0.07 | ) | | | (0.22 | ) | | | (0.29 | ) | | | 9.79 | | | | (4.24 | ) | | | 626,296 | | | | 0.62 | | | | 0.98 | | | | 0.27 | | | | 69 | |
2021 | | | 10.28 | | | | — | | | | 0.34 | | | | 0.34 | | | | (0.02 | ) | | | (0.09 | ) | | | (0.11 | ) | | | 10.51 | | | | 3.27 | | | | 682,772 | | | | 0.62 | | | | 0.98 | | | | — | ^ | | | 125 | |
2020 | | | 10.39 | | | | 0.04 | | | | 0.22 | | | | 0.26 | | | | (0.18 | ) | | | (0.19 | ) | | | (0.37 | ) | | | 10.28 | | | | 2.55 | | | | 732,425 | | | | 0.62 | | | | 0.98 | | | | 0.37 | | | | 124 | |
Class Y |
2024 | | $ | 10.03 | | | $ | 0.41 | | | $ | 0.60 | | | $ | 1.01 | | | $ | (0.42 | ) | | $ | — | | | $ | (0.42 | ) | | $ | 10.62 | | | | 10.29 | % | | $ | 25,294 | | | | 0.52 | % | | | 0.73 | % | | | 4.02 | % | | | 203 | % |
2023 | | | 9.81 | | | | 0.34 | | | | 0.08 | | | | 0.42 | | | | (0.20 | ) | | | — | | | | (0.20 | ) | | | 10.03 | | | | 4.30 | | | | 29,524 | | | | 0.52 | | | | 0.73 | | | | 3.43 | | | | 103 | |
2022 | | | 10.54 | | | | 0.04 | | | | (0.47 | ) | | | (0.43 | ) | | | (0.08 | ) | | | (0.22 | ) | | | (0.30 | ) | | | 9.81 | | | | (4.23 | ) | | | 32,510 | | | | 0.52 | | | | 0.73 | | | | 0.36 | | | | 69 | |
2021 | | | 10.30 | | | | 0.01 | | | | 0.35 | | | | 0.36 | | | | (0.03 | ) | | | (0.09 | ) | | | (0.12 | ) | | | 10.54 | | | | 3.47 | | | | 38,031 | | | | 0.52 | | | | 0.73 | | | | 0.08 | | | | 125 | |
2020 | | | 10.41 | | | | 0.05 | | | | 0.22 | | | | 0.27 | | | | (0.19 | ) | | | (0.19 | ) | | | (0.38 | ) | | | 10.30 | | | | 2.64 | | | | 48,307 | | | | 0.52 | | | | 0.73 | | | | 0.48 | | | | 124 | |
† | Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share calculated using average shares. |
^ | Amount represents less than 0.005%. |
Amounts designated as “—“are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements
September 30, 2024
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 28 funds: Large Cap, Large Cap Value, Large Cap Growth, Large Cap Index, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small/Mid Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Tax-Managed International Managed Volatility, Real Estate, Core Fixed Income, High Yield Bond, Conservative Income, Tax-Free Conservative Income, Real Return, Dynamic Asset Allocation, Multi-Strategy Alternative, Liquid Alternative, Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed, and Multi-Asset Capital Stability (each a “Fund,” collectively the “Funds”) each of which are diversified Funds, with the exception of the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds.
The Dynamic Commodity Strategy Subsidiary, Ltd., the Accumulation Commodity Strategy Subsidiary, Ltd. and the Inflation Commodity Strategy Subsidiary, Ltd. are wholly-owned subsidiaries of the Dynamic Asset Allocation, Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds, respectively, (each a “Subsidiary”, collectively the “Subsidiaries”). Each Subsidiary is organized under the laws of the Cayman Islands as an exempt limited company. Information regarding the Dynamic Asset Allocation, Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds and their respective subsidiaries have been consolidated in the Consolidated Schedules of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets and Consolidated Statement of Cash Flows.
The Trust is registered to offer: Class F shares of the Funds and Class Y shares of the Funds, except for the Large Cap Index and S&P 500 Index Funds and Class I shares of the Large Cap, Large Cap Value, Large Cap Growth, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Core Fixed Income, High Yield Bond and Real Return Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. Each Fund’s prospectus provides a description of its investment goal and its principal investment strategies and risks.
2. SIGNIFICANT ACCOUNTING POLICIES
The following are significant accounting policies, which are consistently followed in the preparation of its financial statements by the Funds. The Funds are investment companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).
Use of Estimates — The preparation of financial statements, in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of 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 —Pursuant to the requirements of the 1940 Act and Rule 2a-5, the administrator, as delegated by the Board of Trustees (the “Board”), has the responsibility for the valuation of Fund investments with readily available market quotations in accordance with the Funds’ Valuation and Pricing Policy. The Trust's Board of Trustees has designated SEI Investments Management Corporation (“SIMC”) as the Valuation Designee for the Funds pursuant to Rule 2a-5 (the “Rule”) under the 1940 Act. The Valuation Designee has the responsibility for the fair value determination with respect to all Fund investments that do not have readily available market quotations or quotations that are no longer reliable. SIMC has appointed a Valuation Committee (the “Committee”) and has established a Valuation and Pricing Policy to implement the Rule and the Funds’ Valuation and Pricing Policy (together the “Policy”).
When valuing portfolio securities, a Fund values securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (other than securities traded on National Association of Securities Dealers Automated Quotations (NASDAQ) or as otherwise noted below) at the last quoted sale price on an exchange or market (foreign or domestic) on which the securities are traded, or, if there is no such reported sale, at the most recent quoted bid price. A Fund values securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or debt tranches of collateralized debt obligations (including collateralized loan obligations), such as those held by the Funds, 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
SEI Institutional Managed Trust
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. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable NAV per share, with the exception of exchange-traded funds, which are priced as equity securities. These open-end investment companies’ shares are offered in separate prospectuses, each of which describes the process by which the applicable investment company’s NAV is determined. The prices of foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. If a security’s price cannot be obtained, as noted above or in the case of an equity tranche of a CDO/CLO, a Fund will value the securities using a bid price from at least one independent broker.
On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Policy until an independent source can be secured. Debt securities held by a Fund with remaining maturities of 60 days or less will be valued by the amortized cost method, which involves valuing a security at its cost on the date of purchase and thereafter (absent unusual circumstances) assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuations in general market rates of interest on the value of the instrument. While this method provides certainty in valuation, it may result in periods during which value, as determined by this method, is higher or lower than the price a Fund would receive if it sold the instrument, and the value of securities in the Fund can be expected to vary inversely with changes in prevailing interest rates. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer-specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used.
Options are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price.
Futures and swaps cleared through a central clearing house (centrally cleared swaps) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the
time a fund calculates its NAV, the settlement price may not be available at the time at which a fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a fund’s futures or centrally cleared swaps position.
Foreign currency forward contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using forward rates provided by an independent source.
Prices for most securities held by a Fund are provided daily by third-party independent pricing agents. SIMC or a Sub-Adviser, as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable, will continuously monitor the reliability of prices obtained from any pricing service and shall promptly notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, will notify SIMC, as Valuation Designee if it receives such notification from a Sub-Adviser, as applicable, or if the Funds’ administrator reasonably believes that a particular pricing service is no longer a reliable source for prices.
The Policy provides that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board. However, when the change would not materially affect the valuation of a Fund’s net assets or involve a material departure in pricing methodology from that of the Fund’s existing pricing agent or pricing methodology, ratification may be obtained at the next regularly scheduled meeting of the Board.
Securities for which market prices are not "readily available" are valued in accordance with Rule 2a-5 and the Policy. The Valuation Designee must monitor for circumstances that may necessitate that a security be valued using Fair Value Procedures which can include: (i) the security's trading has been halted or suspended, (ii) the security has been de-listed from a national exchange, (iii) the security's primary trading market is temporarily closed at a time when under normal conditions it would be open, (iv) the security has not been traded for an extended period of time, (v) the security's primary pricing source is not able or willing to provide a price, (vi) trading of the security is subject to local government-imposed restrictions; or (vii) a significant event (as defined below). When a security is valued in accordance with the Fair Value Procedures, the Valuation Designee will determine the value after taking into consideration relevant information reasonably available to the Valuation Designee. Examples of factors the Valuation Designee may consider include: (i) the type of security or asset, (ii) the last trade price, (iii) evaluation of the forces that
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Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
influence the market in which the security is purchased and sold, (iv) the liquidity of the security, (v) the size of the holding in a Fund or (vi) any other appropriate information.
The Valuation Designee is responsible for selecting and applying, in a consistent manner, the appropriate methodologies for determining and calculating the fair value of holdings of the Funds, including specifying the key inputs and assumptions specific to each asset class or holding. The determination of a security’s fair value price often involves the consideration of a number of subjective factors and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.
Certain of the Funds use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by the Fund based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, the Global Managed Volatility Fund will value the non-U.S. securities in its portfolio that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.
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 NAV. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates NAV if an event that could materially affect the value of those securities (a Significant Event), including substantial fluctuations in domestic or foreign markets or occurrences not tied directly to the securities markets, such as natural disasters, armed conflicts or significant governmental actions, has occurred between the time of the security’s last close and the time that the Fund calculates NAV. A Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Fund does not price its shares. As a result, the NAV of the Fund’s shares may change on days when shareholders will not be able to purchase or redeem Fund shares.
A Significant Event may relate to a single issuer or to an entire market sector. If SIMC or a Sub-Adviser 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 calculate NAV, it may request that a Committee meeting be called. In addition, with respect to certain securities, the Funds’ administrator performs price comparisons and price movement review (among other processes), to monitor the pricing data supplied by various sources. Any identified discrepancies are researched and subject to the procedures described above.
In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly 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)
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and
SEI Institutional Managed Trust
generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
The valuation techniques used by the Funds to measure fair value during the year ended September 30, 2024, maximized the use of observable inputs and minimized the use of unobservable inputs. For details of the investment classification, reference the Schedules of Investments.
For the year ended September 30, 2024, there have been no significant changes to the Trust’s fair valuation methodologies.
The unobservable inputs used to determine fair value of reoccurring Level 3 assets may have similar or diverging impacts on valuation. Significant increases and decreases in these inputs in isolation and interrelationships between those inputs could result in significantly higher or lower fair value measurement.
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 gains 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 is not materially different from the effective interest method. Amortization of premiums and discounts is included in interest income.
For Treasury Inflation-Protected Securities, the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to interest in the accompanying Statements of Operations. Such adjustments may have a significant impact on a Fund’s distributions.
Cash and Cash Equivalents — Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash and cash equivalents on the Statement of Assets and Liabilities/Consolidated Statement of Assets and Liabilities and Consolidated Statement of Cash Flows. These amounts, at times, may exceed United States federally insured limits. Amounts swept are available on the next business day.
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 may 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 —To the extent consistent with its Investment Objective and Strategies, a Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. 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, a Fund’s use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver,
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
whether to enforce the obligation to repurchase the securities.
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.
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.
Commodity-Linked Investments — To the extent consistent with its Investment Objective and Strategies, the Multi-Asset Accumulation Fund, Multi-Asset Inflation Managed and Dynamic Asset Allocation Fund may invest in commodity investments to provide exposure to the investment returns of the commodities markets. Commodity investments include notes with interest payments that are tied to an underlying commodity or commodity index, ETFs or other exchange-traded products that are tied to the performance of a commodity or commodity index or other types of investment vehicles or instruments that provide returns that are tied to commodities or commodity indices. The Multi-Asset Accumulation, Multi-Asset Inflation Managed and Dynamic Asset Allocation Funds may also invest in equity securities of issuers in commodity-related industries.
The Multi-Asset Accumulation, Multi-Asset Inflation Managed and Dynamic Asset Allocation Funds may also seek to gain exposure to the commodity markets, in whole or in part, through investments in a wholly owned Subsidiary. A Subsidiary, unlike the Fund, may invest to a significant extent directly in commodities and in equity-linked securities and commodity-linked derivative instruments, including options, futures contracts, swaps, options on futures contracts and commodity-linked structured notes. A Subsidiary may also invest in other instruments in which the Fund is permitted to invest, either as investments or to serve as margin or collateral for its derivative positions. A Fund may invest up to 25% of its total assets in its Subsidiary.
In order for a Fund to qualify as a regulated investment company under Subchapter M of the Code, the Fund must derive at least 90% of its gross income each taxable year from qualifying income. The status of certain commodity-linked derivative instruments as qualifying income has been addressed in Revenue Ruling 2006-1 and Revenue Ruling 2006-31 which provide that income from certain commodity-linked derivative instruments in which the Fund invests will not be considered qualifying income. To the extent the Multi-Asset Accumulation, Multi-Asset Inflation Managed, and Dynamic Asset Allocation Funds invest in such instruments directly, each Fund
will seek to restrict its income from commodity-linked derivative instruments that do not generate qualifying income, such as commodity-linked swaps, to a maximum of 10% of its gross income (when combined with its other investments that produce non-qualifying income).
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 investment securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of investment 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 — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. A 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 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 or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Consolidated Schedule of Investments for details regarding open forward foreign currency contracts as of September 30, 2024, if applicable.
Futures Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
as well as to enhance the Fund’s returns. In addition, fixed income funds will utilize futures contracts to help manage duration and yield curve exposure. 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 or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Consolidated Schedule of Investments for details regarding open futures contracts as of September 30, 2024, if applicable.
Inflation-Indexed Bonds — Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included in interest income in the Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
Master Limited Partnerships — Investments in units of master limited partnerships (“MLPs”) involve risks that differ from an investment in common stock. Holders of the units of master limited partnerships have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of master limited partnerships.
In addition, conflicts of interest may exist between common unit holders, subordinated unit holders and the general partner of a master limited partnership, including a conflict arising as a result of incentive distribution payments. The benefit a Fund derives from investment in MLP units is largely dependent on the MLPs being treated as partnerships and not as corporations for federal income tax purposes. If an MLP were classified as a corporation for federal income tax purposes, there would be reduction in the after-tax return to a Fund of distributions from the MLP, likely causing a reduction in the value of a Fund's shares. MLP entities are typically focused in the energy, natural resources and real estate sectors of the economy. A downturn in the energy, natural resources or real estate sectors of the economy could have an adverse impact on a Fund. At times, the performance of securities of companies in the energy, natural resources and real estate sectors of the economy may lag the performance of other sectors or the broader market as a whole.
Options/Swaptions Writing/Purchasing —To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing fund securities or 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 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 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.
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Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Consolidated Schedule of Investments for details regarding open option/swaption contracts as of September 30, 2024, if applicable.
Securities Sold Short —To the extent consistent with its Investment Objective and Strategies, 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, potentially unlimited in size, will be recognized upon the close of a short sale.
Refer to each Fund’s Schedule of Investments or Consolidated Schedule of Investments for details regarding securities sold short as of September 30, 2024, if applicable.
Swap Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to synthetically obtain exposure to securities or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. Swap contracts may also be used to mitigate a Fund’s overall level of risk and/or a Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to manage a Fund’s yield spread sensitivity. A Fund may buy credit default swaps in an attempt to manage credit risk where a Fund has credit exposure to an issuer, and a Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. 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. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) or may be executed
in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). 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 SOFR, LIBOR or some other form of indices on the notional amount. 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 year 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.
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 or Consolidated Statement of Operations. Centrally cleared swaps are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for centrally cleared swaps are provided by an independent source. Net payments of interest are recorded as realized gains or losses. Daily changes in valuation of Centrally Cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on
SEI Institutional Managed Trust
the Statements of Assets and Liabilities or Consolidated Statement of Assets and Liabilities.
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 or Consolidated Statement of Assets and Liabilities. Such risks involve the possibility 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. Refer to each Fund’s Schedule of Investments or Consolidated Schedule of Investments for details regarding open swap agreements as of September 30, 2024, if applicable.
Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a 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 delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.
Participation Notes (P-Notes) — To the extent consistent with its Investment Objective and Strategies, a Fund may acquire P-Notes issued by participating banks or broker-dealers. P-Notes are participation interest notes that are designed to offer a return linked to a particular underlying equity, debt, currency or market. The P-Notes in which the Fund may invest will typically have a maturity of one year. When purchasing a P-Note, the posting of margin is not required because the full cost of the P-Note (plus commission) is paid at the time of purchase. When the P-Note matures, the issuer will pay to, or receive from,
the purchaser the difference between the minimal value of the underlying instrument at the time of purchase and that instrument’s value at maturity. Investments in P-Notes involve the same risks associated with a direct investment in the underlying foreign companies of foreign securities markets that they seek to replicate.
In addition, there can be no assurance that the trading price of P-Notes will equal the underlying value of the foreign companies or foreign securities markets that they seek to replicate. The holder of a participation note that is linked to a particular underlying security is entitled to receive any dividends paid in connection with an underlying security or instrument. However, the holder of a participation note does not receive voting rights as it would if it directly owned the underlying security or instrument. P-Notes are generally traded over-the- counter. P-Notes constitute general unsecured contractual obligations of the banks or broker-dealers that issue them and the counterparty. There is also counterparty risk associated with these investments because the Fund is relying on the creditworthiness of such counterparty and has no rights under a participation note against the issuer of the underlying security. In addition, the Fund will incur transaction costs as a result of investments in P-Notes.
Loan Participations and Brady Bonds — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in Loan Participations. Loan Participations include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. Each Fund may acquire interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, a Fund generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under bank loan participation, the Fund generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, a Fund generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Fund may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, a Fund will assume the credit risk of both the borrower and the institution selling the participation to the Fund. The interest rate indicated in the Fund’s Schedule of Investments is the rate in effect at September 30,
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
2024. Pursuant to the terms of certain loan agreements, the Funds may hold unfunded commitments in loan participations which are disclosed on the Statement of Assets and Liabilities. Unfunded commitments represent the remaining obligation of the Fund to the borrower. At any point in time, up to the maturity date of the issue, the borrower may demand the unfunded portion. Unfunded amounts, if any, are marked to market and any unrealized gains or losses are recorded in the Statement of Assets and Liabilities. The Funds disclosed consent fees and amendment income in the Statement of Operations as “Interest income”.
Certain debt obligations, customarily referred to as “Brady Bonds,” are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies.
Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, 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 cash flows 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.
Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Value, Large Cap Growth, Large Cap Index, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small/Mid Cap, Mid-Cap, U.S. Managed Volatility, Tax-Managed Managed Volatility, Real Estate and Real Return Funds; are declared and paid annually for the Global Managed Volatility, Tax-Managed International Managed Volatility, Multi-Strategy Alternative, Liquid Alternative, Multi-Asset Accumulation, Multi-Asset Inflation Managed, Multi-Asset Capital Stability and Dynamic Asset Allocation; are declared daily and paid monthly for the Core Fixed Income, High Yield Bond, Conservative Income, Tax-Free Conservative Income and Multi-Asset Income. 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.
Restricted Securities — The Funds may invest in 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. Please refer to the Schedule of Investments for Funds that held Restricted Securities.
Investments in Real Estate Investment Trust — With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions
SEI Institutional Managed Trust
received from the Real Estate Investment Trust (“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.
Deferred Offering Costs — Offering costs, including costs of printing initial prospectus, legal and registration fees, are amortized over twelve-months from inception of the Funds.
Investment in Subsidiary — Each of the Multi-Asset Accumulation, Multi-Asset Inflation Managed and Dynamic Asset Allocation Funds may invest in its own Subsidiary. By investing in a Subsidiary, each Fund is indirectly exposed to the risks associated with such Subsidiary’s investments. The commodity-related instruments held by a Subsidiary are generally similar to those that are permitted to be held by the applicable Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. A Subsidiary, however, is not registered under the 1940 Act and will not be subject to all of the investor protections of the 1940 Act. Thus, the Multi-Asset Accumulation, Multi-Asset Inflation Managed and Dynamic Asset Allocation Funds, as investors in their respective Subsidiary, will not have all of the protections offered to investors in registered investment companies.
However, each Fund wholly owns and controls its respective Subsidiary, and the Funds and the Subsidiaries are all managed by SIMC, making it unlikely that a Subsidiary will take action contrary to the interests of the applicable Fund or its shareholders. While a Subsidiary has its own Board of Directors (“Directors”) that is responsible for overseeing the operations of such Subsidiary, the respective Fund’s Directors have oversight responsibility for the investment activities of the Fund, including its investment in the respective Subsidiary, and the Fund’s role as the sole shareholder of such Subsidiary. It is not currently expected that shares of any Subsidiary will be sold or offered to investors other than the respective Fund.
Changes in the laws of the United States and/or the Cayman Islands or governmental interpretation of such laws, under which the Funds and the Subsidiaries, respectively, are organized, could result in the inability of a Fund and/or its respective Subsidiary to operate as intended and could negatively affect the Funds and their shareholders. For example, Cayman Islands law does not currently impose any income, corporate or capital gains tax, estate duty, inheritance tax, gift tax or withholding
tax on the Subsidiaries. If Cayman Islands law changes such that the Subsidiaries must pay Cayman Islands governmental authority taxes, Fund shareholders would likely suffer decreased investment return.
3. CREDIT DERIVATIVES
A Fund may use credit default 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 calculated 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
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
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.
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 was 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 ($ Thousands):
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) | | | | | | | | | | | | | | | | | | | | | | | | |
0-100 | | $ | - | | | $ | - | | | $ | 153,927 | | | $ | - | | | $ | - | | | $ | 153,927 | |
101-200 | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | |
> than 200 | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | |
Total | | $ | - | | | $ | - | | | $ | 153,927 | | | $ | - | | | $ | - | | | $ | 153,927 | |
MULTI-ASSET 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) | | | | | | | | | | | | | | | | | | | | | | | | |
0-100 | | $ | 3,665 | | | $ | 6,092 | | | | 12,020 | | | $ | 685 | | | $ | - | | | $ | 22,462 | |
101-200 | | | - | | | | - | | | | 690 | | | | - | | | | - | | | | 690 | |
201-300 | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | |
301-400 | | | - | | | | - | | | | 5,076 | | | | 7,676 | | | | - | | | | 12,752 | |
> than 400 | | | - | | | | - | | | | 420 | | | | - | | | | - | | | | 420 | |
Total | | $ | 3,665 | | | $ | 6,092 | | | $ | 18,206 | | | $ | 8,361 | | | $ | - | | | $ | 36,324 | |
MULTI-ASSET INFLATION MANAGED FUND | | | 0-6 MONTHS | | | | 6-12 MONTHS | | | | 1-5 YEARS | | | | 5-10 YEARS | | | | > 10 YEARS | | | Total | |
Current credit spread* on underlying (in basis points) | | | | | | | | | | | | | | | | | | | | | | | | |
0-100 | | $ | - | | | $ | - | | | $ | - | | | $ | 14,530 | | | $ | - | | | $ | 14,530 | |
101-200 | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | |
201-400 | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | |
> than 400 | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | |
Total | | $ | - | | | $ | - | | | $ | - | | | $ | 14,530 | | | $ | - | | | $ | 14,530 | |
MULTI-ASSET CAPITAL STABILITY FUND | | | 0-6 MONTHS | | | | 6-12 MONTHS | | | | 1-5 YEARS | | | | 5-10 YEARS | | | | > 10 YEARS | | | Total | |
Current credit spread* on underlying (in basis points) | | | | | | | | | | | | | | | | | | | | | | | | |
0-100 | | $ | - | | | $ | - | | | $ | - | | | $ | 5,370 | | | $ | - | | | $ | 5,370 | |
101-300 | | | - | | | | - | | | | 991 | | | | - | | | | - | | | | 991 | |
> than 300 | | | - | | | | - | | | | 6,430 | | | | - | | | | - | | | | 6,430 | |
Total | | $ | - | | | $ | - | | | $ | 7,421 | | | $ | 5,370 | | | $ | - | | | $ | 12,791 | |
* | 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. |
SEI Institutional Managed Trust
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 following tables show the derivatives categorized by underlying risk exposure.
The fair value of derivative instruments as of September 30, 2024 was as follows ($ Thousands):
| | Asset Derivatives | | | | Liability Derivatives | | | |
| | Statement of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location | | Fair Value | | Statement of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location | | Fair Value | |
Derivatives not accounted for as hedging instruments: | | | | | | | | | |
Large Cap Fund | | | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 112 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 112 | | | | $ | — | |
| | | | | | | | |
Large Cap Value Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 19 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 19 | | | | $ | — | |
| | | | | | | | |
Large Cap Growth Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 167 | * | Unrealized depreciation on futures contracts | | $ | — | * |
| | Unrealized appreciation on
swap contracts | | | 2,309 | † | Unrealized depreciation on
swap contracts | | | — | † |
Total Derivatives not accounted for as hedging instruments | | $ | 2,476 | | | | $ | — | |
| | | | | | | | |
Large Cap Index Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 404 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 404 | | | | $ | — | |
| | | | | | | | |
Tax-Managed Large Cap Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 535 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 535 | | | | $ | — | |
| | | | | | | | |
S&P 500 Index Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 423 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 423 | | | | $ | — | |
| | | | | | | | |
Small Cap Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 24 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 24 | | | | $ | — | |
| | | | | | | | |
Small Cap Value Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 45 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 45 | | | | $ | — | |
| | | | | | | | |
Small Cap Growth | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 43 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 43 | | | | $ | — | |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
| | Asset Derivatives | | | | Liability Derivatives | | | |
| | Statement of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location | | Fair Value | | Statement of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location | | Fair Value | |
Tax-Managed Small/Mid Cap Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 58 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 58 | | | | $ | — | |
| | | | | | | | |
Mid Cap Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 8 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 8 | | | | $ | — | |
| | | | | | | | |
U.S. Managed Volatility Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 60 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 60 | | | | $ | — | |
| | | | | | | | |
Global Managed Volatility Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 105 | * | Unrealized depreciation on futures contracts | | $ | 9 | * |
Foreign exchange contracts | Unrealized gain on forward foreign
currency contracts | | | 694 | | Unrealized loss on forward foreign
currency contracts | | | 1,495 | |
Total Derivatives not accounted for as hedging instruments | | $ | 799 | | | | $ | 1,504 | |
| | | | | | | | |
Tax-Managed Managed Volatility Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 62 | * | Unrealized depreciation on futures contracts | | $ | — | * |
Total Derivatives not accounted for as hedging instruments | | $ | 62 | | | | $ | — | |
| | | | | | | | |
Tax-Managed International Managed Volatility Fund | | | | | | | |
Equity contracts | Unrealized appreciation on
futures contracts | | $ | 6 | * | Unrealized depreciation on futures contracts | | $ | 1 | * |
Total Derivatives not accounted for as hedging instruments | | $ | 6 | | | | $ | 1 | |
| | | | | | | | |
Core Fixed Income Fund | | | | | | | |
Interest rate contracts | Investments, at value** | | $ | 80 | | Options written, at value | | $ | 1,247 | |
| | Unrealized appreciation on
future contracts | | $ | 2,842 | * | Unrealized depreciation on
future contracts | | $ | 459 | * |
| | Unrealized appreciation on
swap contracts | | | — | † | Unrealized depreciation on
swap contracts | | | 4,956 | † |
Foreign exchange contracts | Unrealized gain on forward foreign
currency contracts | | | 2,016 | | Unrealized loss on forward foreign
currency contracts | | | 2,726 | |
Credit contracts | Unrealized appreciation on
swap contracts | | | 2 | † | Unrealized depreciation on swap contracts | | | 57 | † |
Total Derivatives not accounted for as hedging instruments | | $ | 4,940 | | | | $ | 9,445 | |
| | | | | | | | |
High Yield Bond Fund | | | | | | | |
Foreign exchange contracts | Unrealized gain on forward foreign
currency contracts | | $ | — | | Unrealized loss on forward foreign
currency contracts | | $ | 10 | |
Total Derivatives not accounted for as hedging instruments | | $ | — | | | | $ | 10 | |
SEI Institutional Managed Trust
| | Asset Derivatives | | | | Liability Derivatives | | | |
| | Statement of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location | | Fair Value | | Statement of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location | | Fair Value | |
| | | | | | | | | | |
Dynamic Asset Allocation Fund | | | | | | | | | |
Equity contracts | Unrealized appreciation on
future contracts | | $ | 3,417 | * | Unrealized depreciation on
future contracts | | $ | — | * |
Interest Rate contracts | Unrealized appreciation on
swap contracts | | | 23,886 | † | Unrealized depreciation on swap contracts | | | 20,180 | † |
| | Investments, at value** | | | 1,727 | | Options and Swaptions written, at value | | | 162 | |
Foreign exchange contracts | Investments, at value** | | | 1,177 | | Options and Swaptions written, at value | | | 3,533 | |
Commodity contracts | Unrealized appreciation on
swap contracts | | | 1,544 | † | Unrealized depreciation on swap contracts | | | — | † |
Total Derivatives not accounted for as hedging instruments | | $ | 31,751 | | | | $ | 23,875 | |
| | | | | | | | |
Multi-Strategy Alternative Fund | | | | | | | |
Equity contracts | Investments, at value** | | $ | 33 | | Options and Swaptions written, at value | | $ | — | |
Foreign exchange contracts | Unrealized gain on forward foreign
currency contracts | | | 2 | | Unrealized loss on forward foreign
currency contracts | | | 4 | |
Credit contracts | Unrealized appreciation on
swap contracts | | | 4 | † | Unrealized depreciation on
swap contracts | | | 1 | † |
Total Derivatives not accounted for as hedging instruments | | $ | 39 | | | | $ | 5 | |
| | | | | | | | |
Liquid Alternative Fund | | | | | | | |
Interest rate contracts | Unrealized appreciation on
futures contracts | | $ | 101 | * | Unrealized depreciation on futures contracts | | $ | 495 | * |
Foreign exchange contracts | Unrealized appreciation on
futures contracts | | | 419 | * | Unrealized depreciation on futures contracts | | | 484 | * |
Equity contracts | Unrealized appreciation on
futures contracts | | | 3,426 | * | Unrealized depreciation on futures contracts | | | 24 | * |
Total Derivatives not accounted for as hedging instruments | | $ | 3,946 | | | | $ | 1,003 | |
| | | | | | | | |
Multi-Asset Accumulation Fund | | | | | | | |
Interest rate contracts | Unrealized appreciation on
futures contracts | | $ | 3,951 | * | Unrealized depreciation on futures contracts | | $ | 1,727 | * |
Equity Contracts | Unrealized appreciation on
futures contracts | | | 14,153 | * | Unrealized depreciation on
futures contracts | | | 317 | * |
| | Unrealized appreciation on
swap contracts | | | 2,722 | † | Unrealized depreciation on
swap contracts | | | 610 | † |
Foreign exchange contracts | Unrealized gain on forward foreign
currency contracts | | | 3,955 | | Unrealized loss on forward foreign
currency contracts | | | 3,047 | |
Commodity contracts | Unrealized appreciation on
futures contracts | | | 5,409 | * | Unrealized depreciation on future contracts | | | 626 | * |
Total Derivatives not accounted for as hedging instruments | | $ | 30,190 | | | | $ | 6,327 | |
Multi-Asset Income Fund | | | | | | | |
| | | | | | | | | | | |
Interest rate contracts | Unrealized appreciation on | | | | | Unrealized depreciation on | | | | |
| | futures contracts | | $ | 283 | * | futures contracts | | $ | 156 | * |
| | Unrealized appreciation on
swap contracts | | | 160 | † | Unrealized depreciation on
swap contracts | | | 278 | † |
| | Investments, at value** | | | 8 | | Swaptions written, at value | | | 8 | |
Foreign exchange contracts | Unrealized gain on forward foreign
currency contracts | | | 196 | | Unrealized loss on forward foreign
currency contracts | | | 726 | |
| | Investments, at value** | | | 18 | | Options written, at value | | | — | |
Equity Contracts | Unrealized appreciation on
swap contracts | | | 22 | † | Unrealized depreciation on swap contracts | | | — | † |
Credit contracts | Unrealized appreciation on
swap contracts | | | 336 | † | Unrealized depreciation on
swap contracts | | | 35 | † |
Total Derivatives not accounted for as hedging instruments | | $ | 1,023 | | | | $ | 1,203 | |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
| | Asset Derivatives | | | | Liability Derivatives | | | |
| | Statement of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location | | Fair Value | | Statement of Assets and Liabilities/ Consolidated Statement of Assets and Liabilities Location | | Fair Value | |
| | | | | | | | | | |
Multi-Asset Inflation Managed Fund | | | | | | | |
Interest rate contracts | Unrealized appreciation on
futures contracts | | $ | 54 | * | Unrealized depreciation on futures contracts | | $ | — | * |
| | Unrealized appreciation on
swap contracts | | | 1,077 | † | Unrealized depreciation on
swap contracts | | | 793 | † |
Equity contracts | Unrealized appreciation on
futures contracts | | | — | * | Unrealized depreciation on
futures contracts | | | 551 | * |
Foreign exchange contracts | Unrealized gain on forward foreign
currency contracts | | | — | | Unrealized loss on forward foreign
currency contracts | | | 38 | |
Commodity contracts | Unrealized appreciation on
futures contracts | | | 5,269 | * | Unrealized depreciation on future contracts | | | 1,706 | * |
Credit contract | Unrealized appreciation on
swaps contracts | | | 5 | † | Unrealized depreciation on swaps contracts | | | 64 | † |
Total Derivatives not accounted for as hedging instruments | | $ | 6,405 | | | | $ | 3,152 | |
| | | | | | | | |
Multi-Asset Capital Stability Fund | | | | | | | |
Interest rate contracts | Unrealized appreciation on
futures contracts | | $ | 235 | * | Unrealized depreciation on futures contracts | | $ | 114 | * |
| | Unrealized appreciation on
swap contracts | | | 441 | † | Unrealized depreciation on
swap contracts | | | 2 | † |
Equity contracts | Unrealized appreciation on
futures contracts | | | 2,692 | * | Unrealized depreciation on
futures contracts | | | 90 | * |
| | Unrealized appreciation on
swap contracts | | | 117 | † | Unrealized depreciation on
swap contracts | | | — | † |
| | Investments, at value** | | | 1,213 | | Options written, at value | | | 107 | |
Foreign exchange contracts | Unrealized gain on forward foreign
currency contracts | | | 1,269 | | Unrealized loss on forward foreign
currency contracts | | | 1,604 | |
Credit contracts | Unrealized appreciation on
swap contracts | | | 77 | † | Unrealized depreciation on swap contracts | | | 1 | † |
Total Derivatives not accounted for as hedging instruments | | $ | 6,044 | | | | $ | 1,918 | |
* | 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 or Consolidated 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 or Consolidated Statements of Assets & Liabilities for swap contracts that have paid premiums. |
| ** | Includes purchased options and/or swaptions. |
The effect of derivative instruments on the Statements of Operations/Consolidated Statements of Operations for the year or period ended September 30, 2024:
Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | | Purchased Options and Swaptions | | | Written Options and Swaptions | | | Futures | | | Forward
Currency
Contracts | | | Swaps | | | Total | |
Large Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 2,323 | | | $ | — | | | $ | — | | | $ | 2,323 | |
Total | | $ | — | | | $ | — | | | $ | 2,323 | | | $ | — | | | $ | — | | | $ | 2,323 | |
|
Large Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 1,426 | | | $ | — | | | $ | — | | | $ | 1,426 | |
Total | | $ | — | | | $ | — | | | $ | 1,426 | | | $ | — | | | $ | — | | | $ | 1,426 | |
|
Large Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 3,115 | | | $ | — | | | $ | 12,785 | | | $ | 15,900 | |
Total | | $ | — | | | $ | — | | | $ | 3,115 | | | $ | — | | | $ | 12,785 | | | $ | 15,900 | |
|
Large Cap Index Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 4,353 | | | $ | — | | | $ | — | | | $ | 4,353 | |
Total | | $ | — | | | $ | — | | | $ | 4,353 | | | $ | — | | | $ | — | | | $ | 4,353 | |
|
Tax-Managed Large Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 4,043 | | | $ | — | | | $ | — | | | $ | 4,043 | |
Total | | $ | — | | | $ | — | | | $ | 4,043 | | | $ | — | | | $ | — | | | $ | 4,043 | |
|
SEI Institutional Managed Trust
Derivatives Not Accounted for as Hedging Instruments | | Purchased Options and Swaptions | | | Written Options and Swaptions | | | Futures | | | Forward
Currency
Contracts | | | Swaps | | | Total | |
S&P 500 Index Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 4,441 | | | $ | — | | | $ | — | | | $ | 4,441 | |
Total | | $ | — | | | $ | — | | | $ | 4,441 | | | $ | — | | | $ | — | | | $ | 4,441 | |
|
Small Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 171 | | | $ | — | | | $ | — | | | $ | 171 | |
Total | | $ | — | | | $ | — | | | $ | 171 | | | $ | — | | | $ | — | | | $ | 171 | |
|
Small Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 288 | | | $ | — | | | $ | — | | | $ | 288 | |
Total | | $ | — | | | $ | — | | | $ | 288 | | | $ | — | | | $ | — | | | $ | 288 | |
|
Small Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | (71 | ) | | $ | — | | | $ | — | | | $ | (71 | ) |
Total | | $ | — | | | $ | — | | | $ | (71 | ) | | $ | — | | | $ | — | | | $ | (71 | ) |
|
Tax-Managed Small/Mid Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 399 | | | $ | — | | | $ | — | | | $ | 399 | |
Total | | $ | — | | | $ | — | | | $ | 399 | | | $ | — | | | $ | — | | | $ | 399 | |
|
Mid-Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 171 | | | $ | — | | | $ | — | | | $ | 171 | |
Total | | $ | — | | | $ | — | | | $ | 171 | | | $ | — | | | $ | — | | | $ | 171 | |
|
U.S. Managed Volatility Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 1,002 | | | $ | — | | | $ | — | | | $ | 1,002 | |
Total | | $ | — | | | $ | — | | | $ | 1,002 | | | $ | — | | | $ | — | | | $ | 1,002 | |
|
Global Managed Volatility Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (2,146 | ) | | $ | — | | | $ | (2,146 | ) |
Equity contracts | | | — | | | | — | | | | 1,140 | | | | — | | | | — | | | | 1,140 | |
Total | | $ | — | | | $ | — | | | $ | 1,140 | | | $ | (2,146 | ) | | $ | — | | | $ | (1,006 | ) |
|
Tax-Managed Managed Volatility Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 1,454 | | | $ | — | | | $ | — | | | $ | 1,454 | |
Total | | $ | — | | | $ | — | | | $ | 1,454 | | | $ | — | | | $ | — | | | $ | 1,454 | |
|
Tax-Managed International Managed Volatility Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (24 | ) | | $ | — | | | $ | (24 | ) |
Equity contracts | | | — | | | | — | | | | 339 | | | | — | | | | — | | | | 339 | |
Total | | $ | — | | | $ | — | | | $ | 339 | | | $ | (24 | ) | | $ | — | | | $ | 315 | |
|
Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | — | | | $ | — | | | $ | 1,344 | | | $ | — | | | $ | 8,757 | | | $ | 10,101 | |
Foreign exchange contracts | | | (448 | ) | | | 31 | | | | — | | | | (2,937 | ) | | | — | | | | (3,354 | ) |
Credit contracts | | | — | | | | — | | | | — | | | | — | | | | 1,778 | | | | 1,778 | |
Equity contracts | | | (8,398 | ) | | | 9,303 | | | | — | | | | — | | | | — | | | | 905 | |
Total | | $ | (8,846 | ) | | $ | 9,334 | | | $ | 1,344 | | | $ | (2,937 | ) | | $ | 10,535 | | | $ | 9,430 | |
|
High Yield Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (12 | ) | | $ | — | | | $ | (12 | ) |
Total | | $ | — | | | $ | — | | | $ | — | | | $ | (12 | ) | | $ | — | | | $ | (12 | ) |
|
Dynamic Asset Allocation Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | (1,761 | ) | | $ | 807 | | | $ | — | | | $ | — | | | $ | (503 | ) | | $ | (1,457 | ) |
Foreign exchange contracts | | | 180 | | | | 705 | | | | — | | | | 2,399 | | | | — | | | | 3,284 | |
Equity contracts | | | (6,375 | ) | | | 1,371 | | | | 19,897 | | | | — | | | | 1,155 | | | | 16,048 | |
Commodity contracts | | | — | | | | — | | | | — | | | | — | | | | (4,667 | ) | | | (4,667 | ) |
Total | | $ | (7,956 | ) | | $ | 2,883 | | | $ | 19,897 | | | $ | 2,399 | | | $ | (4,015 | ) | | $ | 13,208 | |
|
Multi-Strategy Alternative Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (4 | ) | | $ | — | | | $ | (4 | ) |
Credit contracts | | | — | | | | — | | | | — | | | | — | | | | (358 | ) | | | (358 | ) |
Equity contracts | | | (181 | ) | | | 84 | | | | — | | | | — | | | | — | | | | (97 | ) |
Total | | $ | (181 | ) | | $ | 84 | | | $ | — | | | $ | (4 | ) | | $ | (358 | ) | | $ | (459 | ) |
|
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
Derivatives Not Accounted for as Hedging Instruments | | Purchased Options and Swaptions | | | Written Options and Swaptions | | | Futures | | | Forward
Currency
Contracts | | | Swaps | | | Total | |
Liquid Alternative Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | — | | | $ | — | | | $ | (1,979 | ) | | $ | — | | | $ | — | | | $ | (1,979 | ) |
Foreign exchange contracts | | | — | | | | — | | | | 1,109 | | | | — | | | | — | | | | 1,109 | |
Equity contracts | | | — | | | | — | | | | 2,689 | | | | — | | | | — | | | | 2,689 | |
Total | | $ | — | | | $ | — | | | $ | 1,819 | | | $ | — | | | $ | — | | | $ | 1,819 | |
|
Multi-Asset Accumulation Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | — | | | $ | — | | | $ | 86 | | | $ | — | | | $ | (1,515 | ) | | $ | (1,429 | ) |
Foreign exchange contracts | | | — | | | | — | | | | (2,797 | ) | | | (5,383 | ) | | | — | | | | (8,180 | ) |
Equity contracts | | | — | | | | — | | | | 85,889 | | | | — | | | | 1,228 | | | | 87,117 | |
Commodity contracts | | | — | | | | — | | | | (6,969 | ) | | | — | | | | — | | | | (6,969 | ) |
Total | | $ | — | | | $ | — | | | $ | 76,209 | | | $ | (5,383 | ) | | $ | (287 | ) | | $ | 70,539 | |
|
Multi-Asset Income Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | — | | | $ | — | | | $ | (323 | ) | | $ | — | | | $ | (247 | ) | | $ | (570 | ) |
Foreign exchange contracts | | | (216 | ) | | | 62 | | | | — | | | | 476 | | | | — | | | | 322 | |
Credit contracts | | | — | | | | — | | | | — | | | | — | | | | 791 | | | | 791 | |
Equity contracts | | | 12 | | | | 74 | | | | — | | | | — | | | | — | | | | 86 | |
Total | | $ | (204 | ) | | $ | 136 | | | $ | (323 | ) | | $ | 476 | | | $ | 544 | | | $ | 629 | |
|
Multi-Asset Inflation Managed Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | — | | | $ | — | | | $ | (402 | ) | | $ | — | | | $ | 940 | | | $ | 538 | |
Foreign exchange contracts | | | — | | | | — | | | | — | | | | 62 | | | | — | | | | 62 | |
Credit contracts | | | — | | | | — | | | | — | | | | — | | | | (868 | ) | | | (868 | ) |
Equity contracts | | | (397 | ) | | | 200 | | | | (4,850 | ) | | | — | | | | — | | | | (5,047 | ) |
Commodity contracts | | | — | | | | — | | | | (7,276 | ) | | | — | | | | — | | | | (7,276 | ) |
Total | | $ | (397 | ) | | $ | 200 | | | $ | (12,528 | ) | | $ | 62 | | | $ | 72 | | | $ | (12,591 | ) |
|
Multi-Asset Capital Stability Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | — | | | $ | — | | | $ | 1,778 | | | $ | — | | | $ | (1 | ) | | $ | 1,777 | |
Foreign exchange contracts | | | — | | | | — | | | | — | | | | 4,102 | | | | — | | | | 4,102 | |
Credit contracts | | | — | | | | — | | | | — | | | | — | | | | 677 | | | | 677 | |
Equity contracts | | | (356 | ) | | | 285 | | | | 14,649 | | | | — | | | | 92 | | | | 14,670 | |
Total | | $ | (356 | ) | | $ | 285 | | | $ | 16,427 | | | $ | 4,102 | | | $ | 768 | | | $ | 21,226 | |
|
Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):
Derivatives Not Accounted for as Hedging Instruments | | Purchased Options and Swaptions | | | Written Options and Swaptions | | | Futures | | | Forward
Currency
Contracts | | | Swaps | | | Total | |
Large Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 352 | | | $ | — | | | $ | — | | | $ | 352 | |
Total | | $ | — | | | $ | — | | | $ | 352 | | | $ | — | | | $ | – | | | $ | 352 | |
|
Large Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 90 | | | $ | — | | | $ | — | | | $ | 90 | |
Total | | $ | — | | | $ | — | | | $ | 90 | | | $ | — | | | $ | – | | | $ | 90 | |
|
Large Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 233 | | | $ | — | | | $ | 3,005 | | | $ | 3,238 | |
Total | | $ | — | | | $ | — | | | $ | 233 | | | $ | — | | | $ | 3,005 | | | $ | 3,238 | |
|
Large Cap Index Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 1,010 | | | $ | — | | | $ | — | | | $ | 1,010 | |
Total | | $ | — | | | $ | — | | | $ | 1,010 | | | $ | — | | | $ | – | | | $ | 1,010 | |
|
Tax-Managed Large Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 901 | | | $ | — | | | $ | — | | | $ | 901 | |
Total | | $ | — | | | $ | — | | | $ | 901 | | | $ | — | | | $ | – | | | $ | 901 | |
|
S&P 500 Index Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 1,376 | | | $ | — | | | $ | — | | | $ | 1,376 | |
Total | | $ | — | | | $ | — | | | $ | 1,376 | | | $ | — | | | $ | – | | | $ | 1,376 | |
|
SEI Institutional Managed Trust
Derivatives Not Accounted for as Hedging Instruments | | Purchased Options and Swaptions | | | Written Options and Swaptions | | | Futures | | | Forward
Currency
Contracts | | | Swaps | | | Total | |
Small Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 24 | | | $ | — | | | $ | — | | | $ | 24 | |
Total | | $ | — | | | $ | — | | | $ | 24 | | | $ | — | | | $ | – | | | $ | 24 | |
|
Small Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 45 | | | $ | — | | | $ | — | | | $ | 45 | |
Total | | $ | — | | | $ | — | | | $ | 45 | | | $ | — | | | $ | – | | | $ | 45 | |
|
Small Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 43 | | | $ | — | | | $ | — | | | $ | 43 | |
Total | | $ | — | | | $ | — | | | $ | 43 | | | $ | — | | | $ | – | | | $ | 43 | |
|
Tax-Managed Small/Mid Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 58 | | | $ | — | | | $ | — | | | $ | 58 | |
Total | | $ | — | | | $ | — | | | $ | 58 | | | $ | — | | | $ | – | | | $ | 58 | |
|
Mid-Cap Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 8 | | | $ | — | | | $ | — | | | $ | 8 | |
Total | | $ | — | | | $ | — | | | $ | 8 | | | $ | — | | | $ | – | | | $ | 8 | |
|
U.S. Managed Volatility Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 309 | | | $ | — | | | $ | — | | | $ | 309 | |
Total | | $ | — | | | $ | — | | | $ | 309 | | | $ | — | | | $ | – | | | $ | 309 | |
|
Global Managed Volatility Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (2,649 | ) | | $ | — | | | $ | (2,649 | ) |
Equity contracts | | | — | | | | — | | | | 279 | | | | — | | | | — | | | | 279 | |
Total | | $ | — | | | $ | — | | | $ | 279 | | | $ | (2,649 | ) | | $ | – | | | $ | (2,370 | ) |
|
Tax-Managed Managed Volatility Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 263 | | | $ | — | | | $ | — | | | $ | 263 | |
Total | | $ | — | | | $ | — | | | $ | 263 | | | $ | — | | | $ | – | | | $ | 263 | |
|
Tax-Managed International Managed Volatility Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | $ | — | | | $ | — | | | $ | 4 | | | $ | — | | | $ | — | | | $ | 4 | |
Total | | $ | — | | | $ | — | | | $ | 4 | | | $ | — | | | $ | – | | | $ | 4 | |
|
Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | (479 | ) | | $ | 950 | | | $ | 8,789 | | | $ | — | | | $ | (12,579 | ) | | $ | (3,319 | ) |
Foreign exchange contracts | | | — | | | | — | | | | — | | | | 522 | | | | — | | | | 522 | |
Credit contracts | | | — | | | | — | | | | — | | | | — | | | | 65 | | | | 65 | |
Total | | $ | (479 | ) | | $ | 950 | | | $ | 8,789 | | | $ | 522 | | | $ | (12,514 | ) | | $ | (2,732 | ) |
|
High Yield Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (8 | ) | | $ | — | | | $ | (8 | ) |
Total | | $ | — | | | $ | — | | | $ | — | | | $ | (8 | ) | | $ | – | | | $ | (8 | ) |
|
Dynamic Asset Allocation Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | 307 | | | $ | 138 | | | $ | — | | | $ | — | | | $ | (2,046 | ) | | $ | (1,601 | ) |
Foreign exchange contracts | | | (5,396 | ) | | | (1,028 | ) | | | — | | | | — | | | | — | | | | (6,424 | ) |
Equity contracts | | | — | | | | — | | | | 6,116 | | | | — | | | | 6,903 | | | | 13,019 | |
Commodity contracts | | | — | | | | — | | | | — | | | | — | | | | 2,132 | | | | 2,132 | |
Total | | $ | (5,089 | ) | | $ | (890 | ) | | $ | 6,116 | | | $ | — | | | $ | 6,989 | | | $ | 7,126 | |
|
Multi-Strategy Alternative Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (13 | ) | | $ | — | | | $ | (13 | ) |
Credit contracts | | | — | | | | — | | | | — | | | | — | | | | 64 | | | | 64 | |
Equity contracts | | | (24 | ) | | | (1 | ) | | | — | | | | — | | | | — | | | | (25 | ) |
Total | | $ | (24 | ) | | $ | (1 | ) | | $ | — | | | $ | (13 | ) | | $ | 64 | | | $ | 26 | |
|
Liquid Alternative Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | — | | | $ | — | | | $ | (585 | ) | | $ | — | | | $ | — | | | $ | (585 | ) |
Foreign exchange contracts | | | — | | | | — | | | | (106 | ) | | | — | | | | — | | | | (106 | ) |
Equity contracts | | | — | | | | — | | | | 3,502 | | | | — | | | | — | | | | 3,502 | |
Total | | $ | — | | | $ | — | | | $ | 2,811 | | | $ | — | | | $ | – | | | $ | 2,811 | |
|
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
Derivatives Not Accounted for as Hedging Instruments | | Purchased Options and Swaptions | | | Written Options and Swaptions | | | Futures | | | Forward
Currency
Contracts | | | Swaps | | | Total | |
Multi-Asset Accumulation Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | — | | | $ | — | | | $ | 33,918 | | | $ | — | | | $ | — | | | $ | 33,918 | |
Foreign exchange contracts | | | — | | | | — | | | | — | | | | (5,551 | ) | | | — | | | | (5,551 | ) |
Equity contracts | | | — | | | | — | | | | 37,032 | | | | — | | | | 2,373 | | | | 39,405 | |
Commodity contracts | | | — | | | | — | | | | 8,993 | | | | — | | | | — | | | | 8,993 | |
Total | | $ | — | | | $ | — | | | $ | 79,943 | | | $ | (5,551 | ) | | $ | 2,373 | | | $ | 76,765 | |
|
Multi-Asset Income Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | (123 | ) | | $ | 57 | | | $ | 4,091 | | | $ | — | | | $ | (378 | ) | | $ | 3,647 | |
Foreign exchange contracts | | | — | | | | — | | | | — | | | | (931 | ) | | | — | | | | (931 | ) |
Credit contracts | | | — | | | | — | | | | — | | | | — | | | | (95 | ) | | | (95 | ) |
Equity contracts | | | — | | | | — | | | | — | | | | — | | | | 22 | | | | 22 | |
Total | | $ | (123 | ) | | $ | 57 | | | $ | 4,091 | | | $ | (931 | ) | | $ | (451 | ) | | $ | 2,643 | |
|
Multi-Asset Inflation Managed Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | — | | | $ | — | | | $ | 359 | | | $ | — | | | $ | (2,404 | ) | | $ | (2,045 | ) |
Foreign exchange contracts | | | — | | | | — | | | | — | | | | (145 | ) | | | — | | | | (145 | ) |
Credit contracts | | | — | | | | — | | | | — | | | | — | | | | (49 | ) | | | (49 | ) |
Equity contracts | | | 30 | | | | (12 | ) | | | (1,638 | ) | | | — | | | | — | | | | (1,620 | ) |
Commodity contracts | | | — | | | | — | | | | 4,062 | | | | — | | | | — | | | | 4,062 | |
Total | | $ | 30 | | | $ | (12 | ) | | $ | 2,783 | | | $ | (145 | ) | | $ | (2,453 | ) | | $ | 203 | |
|
Multi-Asset Capital Stability Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | $ | — | | | $ | — | | | $ | 893 | | | $ | — | | | $ | 886 | | | $ | 1,779 | |
Foreign exchange contracts | | | — | | | | — | | | | — | | | | (2,824 | ) | | | — | | | | (2,824 | ) |
Credit contracts | | | — | | | | — | | | | — | | | | — | | | | 81 | | | | 81 | |
Equity contracts | | | (407 | ) | | | 241 | | | | 3,616 | | | | — | | | | 66 | | | | 3,516 | |
Total | | $ | (407 | ) | | $ | 241 | | | $ | 4,509 | | | $ | (2,824 | ) | | $ | 1,033 | | | $ | 2,552 | |
|
The following table discloses the average quarterly balances of the Funds' derivative activity during the year or period ended September 30, 2024 ($ Thousands):
| | | Large Cap Fund | | | Large Cap Value Fund | | | Large Cap Growth Fund | | | Large Cap Index Fund | | | Tax-Managed Large Cap Fund | |
Futures Contracts: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | $ | 10,460 | | | $ | 8,844 | | | $ | 11,620 | | | $ | 25,091 | | | $ | 31,874 | |
Total Return Swaps | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | | – | | | | – | | | | 42,682 | | | | – | | | | – | |
Average Notional Balance Short | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | S&P 500 Index Fund | | | Small Cap Fund | | | Small Cap Value Fund | | | Small Cap Growth Fund | | | Tax-Managed Small/Mid Cap Fund | |
Futures Contracts: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | $ | 20,014 | | | $ | 1,691 | | | $ | 884 | | | $ | 1,059 | | | $ | 3,080 | |
| | | Mid-Cap Fund | | | U.S. Managed Volatility Fund | | | Global Managed Volatility Fund | | | Tax-Managed Managed Volatility Fund | | | Tax-Managed International Managed Volatility Fund | |
Futures Contracts: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | $ | 578 | | | $ | 4,767 | | | $ | 6,860 | | | $ | 3,976 | | | $ | 1,684 | |
Forward Foreign Currency Contracts: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | | – | | | | – | | | | 263,867 | | | | – | | | | – | |
Average Notional Balance Short | | | – | | | | – | | | | 264,570 | | | | – | | | | – | |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
| | | Core Fixed Income Fund | | | High Yield Bond Fund | | | Dynamic Asset Allocation Fund | | | Multi-Strategy Alternative Fund | | | Liquid Alternative Fund | |
Futures Contracts: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | $ | 968,089 | | | $ | – | | | $ | 135,513 | | | $ | – | | | $ | 219,074 | |
Average Notional Balance Short | | | 170,229 | | | | – | | | | – | | | | – | | | | 99,567 | |
Forward Foreign Currency Contracts: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | | 114,808 | | | | 407 | | | | – | | | | 1,300 | | | | – | |
Average Notional Balance Short | | | 115,204 | | | | 412 | | | | – | | | | 1,302 | | | | – | |
Credit Default Swaps: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance Buy Protection | | | 6,758 | | | | – | | | | – | | | | 13,919 | | | | – | |
Average Notional Balance Sell Protection | | | 124,374 | | | | – | | | | – | | | | – | | | | – | |
Total Return Swaps | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | | – | | | | – | | | | 52,027 | | | | – | | | | – | |
Average Notional Balance Short | | | – | | | | – | | | | – | | | | – | | | | – | |
Interest Rate Swaps | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance | | | 105,194 | | | | – | | | | 2,900,128 | | | | – | | | | – | |
Options/Swaptions: | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance Long† | | | 367 | | | | – | | | | 5,484 | | | | 48 | | | | – | |
Average Notional Balance Short† | | | 877 | | | | – | | | | 1,931 | | | | 13 | | | | – | |
| | | Multi-Asset Accumulation Fund | | | Multi-Asset Income Fund | | | Multi-Asset Inflation Managed Fund | | | Multi-Asset Capital Stability Fund | |
Futures Contracts: | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | $ | 2,188,365 | | | $ | 175,132 | | | $ | 161,423 | | | $ | 226,182 | |
Average Notional Balance Short | | | 71,226 | | | | 17,747 | | | | 52,812 | | | | 12,041 | |
Forward Foreign Currency Contracts: | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | | 600,402 | | | | 60,618 | | | | 2,033 | | | | 243,196 | |
Average Notional Balance Short | | | 600,479 | | | | 60,831 | | | | 2,060 | | | | 243,983 | |
Credit Default Swaps: | | | | | | | | | | | | | | | | |
Average Notional Balance Buy Protection | | | – | | | | 3,640 | | | | 46,255 | | | | – | |
Average Notional Balance Sell Protection | | | – | | | | 31,911 | | | | 23,685 | | | | 14,732 | |
Total Return Swaps | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | | 90,713 | | | | 436 | | | | – | | | | 3,282 | |
Average Notional Balance Short | | | 23,524 | | | | – | | | | – | | | | – | |
Interest Rate Swaps | | | | | | | | | | | | | | | | |
Average Notional Balance | | | – | | | | 119,146 | | | | 78,732 | | | | 13,745 | |
Options/Swaptions: | | | | | | | | | | | | | | | | |
Average Notional Balance Long† | | | – | | | | 62 | | | | 59 | | | | 409 | |
Average Notional Balance Short† | | | – | | | | 26 | | | | 33 | | | | 107 | |
† Represents cost.
A Fund is subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a specific counterparty entity in the event of a default with respect to all the transactions governed under a single agreement with a specific counterparty entity.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Securities and U.S. dollar cash are generally the preferred forms of collateral. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities as either a component of investments at value (securities) or deposits due from counterparties (cash). Cash collateral received is not typically
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities as deposits due to counterparties. The market value of any securities received as collateral is not reflected as a component of net asset value. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.
Customer Account Agreements and related addendums govern exchange traded derivatives transactions such as futures, options on futures, and centrally cleared swaps. Exchange traded derivative transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the Commodities Futures Trading Commission (“CFTC”), or the applicable regulator. In the U.S., counterparty risk is reduced as placement due to the Fund assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives. Refer to each Funds Statement of Assets and Liabilities or Consolidated Statement of Assets and Liabilities for market value, variation margin and collateral of exchange-traded or centrally cleared financial derivative instruments.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add additional counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third party custodian.
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of September 30, 2024 ($ Thousands):
| | | Financial Derivative Assets | | | Financial Derivative Liabilities | | | | | | | | | | | | | |
Global Managed Volatility Fund | | Forward
Foreign
Currency
Contracts | | | Purchased Options
and
Swaptions | | | Swap Agreements | | | Total Over the
Counter | | | Forward
Foreign
Currency
Contracts | | | Written
Options
and
Swaptions | | | Swap
Agreements | | | Reverse Repurchase Agreements | | | Total
Over the
Counter | | | Net Market Value of OTC
Derivatives | | | Collateral
(Received)
Pledged | | | Net
Exposures(1) | |
Barclays PLC | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 355 | | | $ | — | | | $ | — | | | $ | — | | | $ | 355 | | | $ | (355 | ) | | $ | — | | | $ | (355 | ) |
BNP Paribas | | | — | | | | — | | | | — | | | | — | | | | 797 | | | | — | | | | — | | | | — | | | | 797 | | | | (797 | ) | | | — | | | | (797 | ) |
Brown Brothers Harriman | | | 137 | | | | — | | | | — | | | | 137 | | | | 42 | | | | — | | | | — | | | | — | | | | 42 | | | | 95 | | | | — | | | | 95 | |
Standard Chartered | | | 557 | | | | — | | | | — | | | | 557 | | | | 247 | | | | — | | | | — | | | | — | | | | 247 | | | | 310 | | | | — | | | | 310 | |
Westpack Banking | | | — | | | | — | | | | — | | | | — | | | | 54 | | | | — | | | | — | | | | — | | | | 54 | | | | (54 | ) | | | — | | | | (54 | ) |
Total Over the Counter | | $ | 694 | | | $ | — | | | $ | — | | | $ | 694 | | | $ | 1,495 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,495 | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | Financial Derivative Liabilities | | | | | | | | | | | | | |
Core Fixed Income Fund | | Forward
Foreign
Currency
Contracts | | | Purchased Options
and
Swaptions | | | Swap Agreements | | | Total Over the
Counter | | | Forward
Foreign
Currency
Contracts | | | Written
Options
and
Swaptions | | | Swap
Agreements | | | Reverse Repurchase Agreements | | | Total
Over the
Counter | | | Net Market Value of OTC
Derivatives | | | Collateral
(Received)
Pledged | | | Net
Exposures(1) | |
BNP Paribas | | $ | 175 | | | $ | — | | | $ | — | | | $ | 175 | | | $ | 228 | | | $ | — | | | $ | — | | | $ | — | | | $ | 228 | | | $ | (53 | ) | | $ | — | | | $ | (53 | ) |
Citibank | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 677 | | | | — | | | | 677 | | | | (677 | ) | | | — | | | | (677 | ) |
Citigroup | | | 1,484 | | | | — | | | | — | | | | 1,484 | | | | 1,225 | | | | — | | | | — | | | | — | | | | 1,225 | | | | 259 | | | | — | | | | 259 | |
Goldman Sachs | | | 357 | | | | — | | | | — | | | | 357 | | | | 1,273 | | | | — | | | | — | | | | — | | | | 1,273 | | | | (916 | ) | | | — | | | | (916 | ) |
Total Over the Counter | | $ | 2,016 | | | $ | — | | | $ | — | | | $ | 2,016 | | | $ | 2,726 | | | $ | — | | | $ | 677 | | | $ | — | | | $ | 3,403 | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | Financial Derivative Liabilities | | | | | | | | | | | | | |
High Yield Bond Fund | | Forward
Foreign
Currency
Contracts | | | Purchased Options
and
Swaptions | | | Swap Agreements | | | Total Over the
Counter | | | Forward
Foreign
Currency
Contracts | | | Written
Options
and
Swaptions | | | Swap
Agreements | | | Reverse Repurchase Agreements | | | Total
Over the
Counter | | | Net Market Value of OTC
Derivatives | | | Collateral
(Received)
Pledged | | | Net
Exposures(1) | |
Barclays PLC | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10 | | | $ | — | | | $ | — | | | $ | — | | | $ | 10 | | | $ | (10 | ) | | $ | — | | | $ | (10 | ) |
Total Over the Counter | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 10 | | | $ | — | | | $ | — | | | $ | — | | | $ | 10 | | | | | | | | | | | | | |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
| | | Financial Derivative Assets | | | Financial Derivative Liabilities | | | | | | | | | | | | | |
Dynamic Asset Allocation Fund | | Forward
Foreign
Currency
Contracts | | | Purchased Options
and
Swaptions | | | Swap Agreements | | | Total Over the
Counter | | | Forward
Foreign
Currency
Contracts | | | Written
Options
and
Swaptions | | | Swap
Agreements | | | Reverse Repurchase Agreements | | | Total
Over the
Counter | | | Net Market Value of OTC
Derivatives | | | Collateral
(Received)
Pledged | | | Net
Exposures(1) | |
Bank of America | | $ | — | | | $ | 1,727 | | | $ | — | | | $ | 1,727 | | | $ | — | | | $ | 162 | | | $ | — | | | $ | — | | | $ | 162 | | | $ | 1,565 | | | $ | — | | | $ | 1,565 | |
Goldman Sachs | | | — | | | | — | | | | 1,544 | | | | 1,544 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,544 | | | | — | | | | 1,544 | |
Total Over the Counter | | $ | — | | | $ | 1,727 | | | $ | 1,544 | | | $ | 3,271 | | | $ | — | | | $ | 162 | | | $ | — | | | $ | — | | | $ | 162 | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | Financial Derivative Liabilities | | | | | | | | | | | | | |
Multi-Strategy Alternative Fund | | Forward
Foreign
Currency
Contracts | | | Purchased Options
and
Swaptions | | | Swap Agreements | | | Total Over the
Counter | | | Forward
Foreign
Currency
Contracts | | | Written
Options
and
Swaptions | | | Swap
Agreements | | | Reverse Repurchase Agreements | | | Total
Over the
Counter | | | Net Market Value of OTC
Derivatives | | | Collateral
(Received)
Pledged | | | Net
Exposures(1) | |
Barclays PLC | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2 | | | $ | (2 | ) | | $ | — | | | $ | (2 | ) |
BNYMellon | | | 2 | | | | — | | | | — | | | | 2 | | | | 2 | | | | — | | | | — | | | | — | | | | 2 | | | | — | | | | — | | | | — | |
Total Over the Counter | | $ | 2 | | | $ | — | | | $ | — | | | | $ 2 | | | $ | 4 | | | $ | — | | | $ | — | | | $ | — | | | $ | 4 | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | Financial Derivative Liabilities | | | | | | | | | | | | | |
Multi-Asset Accumulation Fund | | Forward
Foreign
Currency
Contracts | | | Purchased Options
and
Swaptions | | | Swap Agreements | | | Total Over the
Counter | | | Forward
Foreign
Currency
Contracts | | | Written
Options
and
Swaptions | | | Swap
Agreements | | | Reverse Repurchase Agreements | | | Total
Over the
Counter | | | Net Market Value of OTC
Derivatives | | | Collateral
(Received)
Pledged | | | Net
Exposures(1) | |
Bank of America | | $ | — | | | $ | — | | | $ | 867 | | | $ | 867 | | | $ | — | | | $ | — | | | $ | 3 | | | $ | — | | | $ | 3 | | | $ | 864 | | | $ | — | | | $ | 864 | |
Citigroup | | | 1,060 | | | | — | | | | 153 | | | | 1,213 | | | | 922 | | | | — | | | | 545 | | | | — | | | | 1,467 | | | | (254 | ) | | | 254 | | | | — | |
Goldman Sachs | | | 1,825 | | | | — | | | | — | | | | 1,825 | | | | 1,218 | | | | — | | | | — | | | | — | | | | 1,218 | | | | 607 | | | | — | | | | 607 | |
JPMorgan Chase Bank | | | 1,070 | | | | — | | | | 1,702 | | | | 2,772 | | | | 907 | | | | — | | | | 62 | | | | — | | | | 969 | | | | 1,803 | | | | 3,456 | | | | 5,259 | |
Total Over the Counter | | $ | 3,955 | | | $ | — | | | $ | 2,722 | | | $ | 6,677 | | | $ | 3,047 | | | $ | — | | | $ | 610 | | | $ | — | | | $ | 3,657 | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | Financial Derivative Liabilities | | | | | | | | | | | | | |
Multi-Asset Income Fund | | Forward
Foreign
Currency
Contracts | | | Purchased Options
and
Swaptions | | | Swap Agreements | | | Total Over the
Counter | | | Forward
Foreign
Currency
Contracts | | | Written
Options
and
Swaptions | | | Swap
Agreements | | | Reverse Repurchase Agreements | | | Total
Over the
Counter | | | Net Market Value of OTC
Derivatives | | | Collateral
(Received)
Pledged | | | Net
Exposures(1) | |
Bank of America | | $ | — | | | $ | 8 | | | $ | — | | | $ | 8 | | | $ | — | | | $ | 8 | | | $ | — | | | $ | — | | | $ | 8 | | | $ | — | | | $ | — | | | $ | — | |
BNP Paribas | | | 30 | | | | — | | | | — | | | | 30 | | | | 63 | | | | — | | | | — | | | | — | | | | 63 | | | | (33 | ) | | | — | | | | (33 | ) |
Citigroup | | | 63 | | | | — | | | | — | | | | 63 | | | | 50 | | | | — | | | | — | | | | — | | | | 50 | | | | 13 | | | | — | | | | 13 | |
Deutsche Bank | | | — | | | | — | | | | — | | | | — | | | | 3 | | | | — | | | | — | | | | — | | | | 3 | | | | (3 | ) | | | — | | | | (3 | ) |
Goldman Sachs | | | 60 | | | | — | | | | — | | | | 60 | | | | 291 | | | | — | | | | — | | | | — | | | | 291 | | | | (231 | ) | | | — | | | | (231 | ) |
JPMorgan Chase | | | 42 | | | | — | | | | 22 | | | | 64 | | | | 97 | | | | — | | | | 224 | | | | — | | | | 321 | | | | (257 | ) | | | 220 | | | | (37 | ) |
State Street | | | 1 | | | | — | | | | — | | | | 1 | | | | 8 | | | | — | | | | — | | | | — | | | | 8 | | | | (7 | ) | | | — | | | | (7 | ) |
UBS | | | — | | | | — | | | | — | | | | — | | | | 214 | | | | — | | | | — | | | | — | | | | 214 | | | | (214 | ) | | | — | | | | (214 | ) |
Total Over the Counter | | $ | 196 | | | $ | 8 | | | $ | 22 | | | $ | 226 | | | $ | 726 | | | $ | 8 | | | $ | 224 | | | $ | — | | | $ | 958 | | | | | | | | | | | | | |
| | | Financial Derivative Assets | | | Financial Derivative Liabilities | | | | | | | | | | | | | |
Multi-Asset Inflation Managed Fund | | Forward
Foreign
Currency
Contracts | | | Purchased Options
and
Swaptions | | | Swap Agreements | | | Total Over the
Counter | | | Forward
Foreign
Currency
Contracts | | | Written
Options
and
Swaptions | | | Swap
Agreements | | | Reverse Repurchase Agreements | | | Total
Over the
Counter | | | Net Market Value of OTC
Derivatives | | | Collateral
(Received)
Pledged | | | Net
Exposures(1) | |
Chase Securities | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 71,238 | | | $ | 71,238 | | | $ | (71,238 | ) | | $ | — | | | $ | (71,238 | ) |
Morgan Stanley | | | — | | | | — | | | | — | | | | — | | | | 38 | | | | — | | | | — | | | | — | | | | 38 | | | | (38 | ) | | | — | | | | (38 | ) |
Total Over the Counter | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 38 | | | $ | — | | | $ | — | | | $ | 71,238 | | | $ | 71,276 | | | | | | | | | | | | | |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
| | | Financial Derivative Assets | | | Financial Derivative Liabilities | | | | | | | | | | | | | |
Multi-Asset Capital Stability Fund | | Forward
Foreign
Currency
Contracts | | | Purchased Options
and
Swaptions | | | Swap Agreements | | | Total Over the
Counter | | | Forward
Foreign
Currency
Contracts | | | Written
Options
and
Swaptions | | | Swap
Agreements | | | Reverse Repurchase Agreements | | | Total
Over the
Counter | | | Net Market Value of OTC
Derivatives | | | Collateral
(Received)
Pledged | | | Net
Exposures(1) | |
Bank of America | | $ | 12 | | | $ | — | | | $ | — | | | $ | 12 | | | $ | 45 | | | $ | — | | | $ | — | | | $ | — | | | $ | 45 | | | $ | (33 | ) | | $ | — | | | $ | (33 | ) |
Barclays PLC | | | 3 | | | | — | | | | — | | | | 3 | | | | 555 | | | | — | | | | — | | | | — | | | | 555 | | | | (552 | ) | | | — | | | | (552 | ) |
Brown Brothers Harriman | | | 284 | | | | — | | | | — | | | | 284 | | | | 198 | | | | — | | | | — | | | | — | | | | 198 | | | | 86 | | | | — | | | | 86 | |
Citigroup | | | 14 | | | | — | | | | — | | | | 14 | | | | 25 | | | | ��� | | | | — | | | | — | | | | 25 | | | | (11 | ) | | | — | | | | (11 | ) |
Deutsche Bank | | | 98 | | | | — | | | | — | | | | 98 | | | | 87 | | | | — | | | | — | | | | — | | | | 87 | | | | 11 | | | | — | | | | 11 | |
Goldman Sachs | | | 405 | | | | — | | | | 117 | | | | 522 | | | | 318 | | | | — | | | | — | | | | — | | | | 318 | | | | 204 | | | | — | | | | 204 | |
HSBC | | | — | | | | — | | | | — | | | | — | | | | 54 | | | | — | | | | — | | | | — | | | | 54 | | | | (54 | ) | | | — | | | | (54 | ) |
JPMorgan Chase Bank | | | 56 | | | | — | | | | — | | | | 56 | | | | 67 | | | | — | | | | — | | | | — | | | | 67 | | | | (11 | ) | | | — | | | | (11 | ) |
Merrill Lynch | | | 63 | | | | — | | | | — | | | | 63 | | | | 56 | | | | — | | | | — | | | | — | | | | 56 | | | | 7 | | | | — | | | | 7 | |
Morgan Stanley | | | 283 | | | | — | | | | — | | | | 283 | | | | 197 | | | | — | | | | — | | | | — | | | | 197 | | | | 86 | | | | — | | | | 86 | |
Standard Bank | | | 11 | | | | — | | | | — | | | | 11 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 11 | | | | — | | | | 11 | |
UBS | | | 40 | | | | — | | | | — | | | | 40 | | | | 2 | | | | — | | | | — | | | | — | | | | 2 | | | | 38 | | | | — | | | | 38 | |
Total Over the Counter | | $ | 1,269 | | | $ | — | | | $ | 117 | | | $ | 1,386 | | | $ | 1,604 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,604 | | | | | | | | | | | | | |
(1) Net Exposures represents the net receivable/(payable) that would be due from /to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity.
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
5. BASIS FOR CONSOLIDATION FOR THE DYNAMIC ASSET ALLOCATION FUND, MULTI-ASSET ACCUMULATION FUND AND MULTI-ASSET INFLATION MANAGED FUND
The Consolidated Schedules of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets, Consolidated Statement of Cash Flows, and the Consolidated Financial Highlights of the Dynamic Asset Allocation Fund, Multi-Asset Accumulation Fund and Multi-Asset Inflation Managed Fund include the accounts of their respective Subsidiaries. All intercompany accounts and transactions have been eliminated in consolidation for the Funds. Each of the Subsidiaries has a fiscal year end
of September 30th for financial statement consolidation purposes and a nonconforming tax year end of August 31.
The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“IRC”). Each Subsidiary’s taxable income is included in the calculation of the relevant Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Funds either in the current period or carried forward to future periods.
The Dynamic Asset Allocation Fund, Multi-Asset Accumulation Fund, and Multi-Asset Inflation Managed Fund may each invest up to 25% of their total assets in its respective Subsidiary.
A summary of the Funds’ investments in the Subsidiaries are as follows:
| | | Inception Date of Subsidiary | | | Subsidiary Net Assets at September 30, 2024 ($ Thousands) | | | % of Total Net Assets at September 30, 2024 | |
Dynamic Commodity Strategy Subsidiary, Ltd. | | | March 28, 2018 | | | $ | 103,050 | | | | 12.4 | % |
Accumulation Commodity Strategy Subsidiary, Ltd. | | | April 9, 2012 | | | | 225,989 | | | | 17.0 | % |
Inflation Commodity Strategy Subsidiary Ltd. | | | April 9, 2012 | | | | 120,442 | | | | 20.8 | % |
| | | | | | | | | | | | | |
Gains and losses attributed to the Funds’ investments in Subsidiaries are as follows:
| | | Dynamic Commodity Strategy Subsidiary, Ltd. ($ Thousands) | | | Accumulation Commodity Strategy, Ltd. ($ Thousands) | | | Inflation Commodity Strategy Subsidiary, Ltd. ($ Thousands) | |
Net Investment Income: | | | | | | | | | | | | |
Investment Income | | $ | 4,600 | | | $ | 12,655 | | | $ | 6,547 | |
Net Realized Gain (Loss) on: | | | | | | | | | | | | |
Investments | | | — | | | | 6,015 | | | | (7 | ) |
Futures Contracts | | | 3,517 | | | | (6,969 | ) | | | (7,284 | ) |
Swap Contracts | | | (8,804 | ) | | | (1,134 | ) | | | — | |
Purchased Options | | | — | | | | — | | | | (397 | ) |
Written Options | | | — | | | | — | | | | 200 | |
Net Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | |
Investments | | | — | | | | 181 | | | | 400 | |
Futures Contracts | | | 1,387 | | | | 8,992 | | | | 4,062 | |
Swap Contracts | | | 3,227 | | | | — | | | | — | |
Purchased Options | | | — | | | | — | | | | 30 | |
Written Options | | | — | | | | — | | | | (12 | ) |
Total gains and losses attributed to the Funds' investment in Subsidiaries | | $ | 3,927 | | | $ | 19,740 | | | $ | 3,539 | |
6. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENT SUBADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory, Administration and Distribution Agreements — 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.
SEI Investments Global Funds Services (the “Administrator”) provides administrative and transfer agency services to the Funds for annual fees, based on the average daily net assets of each Fund.
SEI Investments Distribution Co. (“the Distributor”) is the Distributor of the shares of the Funds. The Funds have adopted a shareholder services plan and agreement (the “Service Plan”) with respect to Class F and Class I Shares that allows such shares to pay service providers a fee, based on average daily net assets of each respective Class of Shares, in connection with the ongoing servicing of shareholder accounts owning such shares. The Funds have also adopted an, administrative services plan and agreement (the “Administrative Service Plan”) with respect to Class I Shares that allows such Shares to pay service providers a fee, based on average daily net assets of the Class I Shares, in connection with ongoing administrative services for shareholder accounts owning such Shares.
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
The Service Plan and Administrative Service Plan provide that shareholder service fees and administrative service fees, respectively, on Class F and Class I Shares will be paid to the Distributor, which may then be used by the Distributor to compensate financial intermediaries for providing shareholder services and administrative services, as applicable, with respect to the Shares.
The Adviser, Administrator and/or Distributor have voluntarily agreed to waive a portion of their fees in order to keep total direct operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, proxy fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the ordinary course of the Funds’ business) at a specified level. The voluntary waivers by the Funds’ Adviser, Administrator and/or Distributor are limited to the
Funds’ direct operating expenses and, therefore, do not apply to indirect expenses incurred by the Funds, such as acquired fund fees and expenses. The waivers are voluntarily and the Funds’ Adviser, Administrator and/or Distributor may discontinue all or part of any of these waivers at any time. In addition, some Funds may participate in a commission recapture program where the Funds’ trades may be executed through the Funds’ distributor, and a portion of the commissions paid on those trades are then used to pay the Funds’ expenses.
The Administrator has voluntarily agreed to waive and reduce their fee and/or reimburse certain expenses of the Conservative Income and Tax Free Conservative Funds in order to limit the one-day net income yield of the Funds to not less than 0.01% of the Funds’ average daily net assets.
The following is a summary of annual fees payable to the Adviser and Distributor and the voluntary expense limitations for each fund:
| | | Advisory
Fees | | | Shareholder
Servicing
Fee | | | Administrative
Servicing Fee | | | Voluntary
Expense
Limitation | |
Large Cap Fund |
Class F | | | 0.3900 | % | | | 0.25 | % | | | — | | | | 0.89 | % |
Class Y | | | 0.3900 | % | | | — | | | | — | | | | 0.64 | % |
Large Cap Value Fund |
Class F | | | 0.3500 | % | | | 0.25 | % | | | — | | | | 0.89 | % |
Class I | | | 0.3500 | % | | | 0.25 | % | | | 0.25 | % | | | 1.11 | % |
Class Y | | | 0.3500 | % | | | — | | | | — | | | | 0.64 | % |
Large Cap Growth Fund |
Class F | | | 0.4000 | % | | | 0.25 | % | | | — | | | | 0.89 | % |
Class I | | | 0.4000 | % | | | 0.25 | % | | | 0.25 | % | | | 1.11 | % |
Class Y | | | 0.4000 | % | | | — | | | | — | | | | 0.64 | % |
Large Cap Index Fund |
Class F | | | 0.0500 | % | | | 0.25 | % | | | — | | | | 0.25 | % |
Tax-Managed Large Cap Fund |
Class F | | | 0.4000 | % | | | 0.25 | % | | | — | | | | 0.89 | % |
Class Y | | | 0.4000 | % | | | — | | | | — | | | | 0.64 | % |
S&P 500 Index Fund |
Class F | | | 0.0300 | % | | | 0.25 | % | | | — | | | | 0.25 | % |
Class I | | | 0.0300 | % | | | 0.25 | % | | | 0.25 | % | | | 0.65 | % |
Small Cap Fund |
Class F | | | 0.6500 | % | | | 0.25 | % | | | — | | | | 1.14 | % |
Class Y | | | 0.6500 | % | | | — | | | | — | | | | 0.89 | % |
Small Cap Value Fund |
Class F | | | 0.6500 | % | | | 0.25 | % | | | — | | | | 1.11 | %* |
Class I | | | 0.6500 | % | | | 0.25 | % | | | 0.25 | % | | | 1.33 | %* |
Class Y | | | 0.6500 | % | | | — | | | | — | | | | 0.86 | %* |
Small Cap Growth Fund |
Class F | | | 0.6500 | % | | | 0.25 | % | | | — | | | | 1.11 | % |
Class I | | | 0.6500 | % | | | 0.25 | % | | | 0.25 | % | | | 1.36 | % |
Class Y | | | 0.6500 | % | | | — | | | | — | | | | 0.86 | % |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
| | | Advisory
Fees | | | Shareholder
Servicing
Fee | | | Administrative
Servicing Fee | | | Voluntary
Expense
Limitation | |
Tax-Managed Small/Mid Cap Fund |
Class F | | | 0.6500 | % | | | 0.25 | % | | | — | | | | 1.11 | % |
Class Y | | | 0.6500 | % | | | — | | | | — | | | | 0.89 | % |
Mid-Cap Fund |
Class F | | | 0.4000 | % | | | 0.25 | % | | | — | | | | 0.98 | % |
Class I | | | 0.4000 | % | | | 0.25 | % | | | 0.25 | % | | | 1.20 | % |
Class Y | | | 0.4000 | % | | | — | | | | — | | | | 0.73 | % |
U.S. Managed Volatility Fund |
Class F | | | 0.5500 | %** | | | 0.25 | % | | | — | | | | 0.90 | % |
Class I | | | 0.5500 | %** | | | 0.25 | % | | | 0.25 | % | | | 1.15 | % |
Class Y | | | 0.5500 | %** | | | — | | | | — | | | | 0.65 | % |
Global Managed Volatility Fund |
Class F | | | 0.6500 | % | | | 0.25 | % | | | — | | | | 1.11 | % |
Class I | | | 0.6500 | % | | | 0.25 | % | | | 0.25 | % | | | 1.36 | % |
Class Y | | | 0.6500 | % | | | — | | | | — | | | | 0.86 | % |
Tax-Managed Managed Volatility Fund |
Class F | | | 0.5500 | %*** | | | 0.25 | % | | | — | | | | 0.91 | %+ |
Class Y | | | 0.5500 | %*** | | | — | | | | — | | | | 0.66 | %+ |
Tax-Managed International Managed Volatility Fund |
Class F | | | 0.6500 | % | | | 0.25 | % | | | — | | | | 1.11 | % |
Class Y | | | 0.6500 | % | | | — | | | | — | | | | 0.86 | % |
Real Estate Fund |
Class F | | | 0.6500 | % | | | 0.25 | % | | | — | | | | 1.14 | % |
Class I | | | 0.6500 | % | | | 0.25 | % | | | 0.25 | % | | | 1.36 | % |
Class Y | | | 0.6500 | % | | | — | | | | — | | | | 0.89 | % |
Core Fixed Income Fund |
Class F | | | 0.2750 | % | | | 0.25 | % | | | — | | | | 0.66 | % |
Class I | | | 0.2750 | % | | | 0.25 | % | | | 0.25 | % | | | 0.88 | % |
Class Y | | | 0.2750 | % | | | — | | | | — | | | | 0.41 | % |
High Yield Bond Fund |
Class F | | | 0.4875 | % | | | 0.25 | % | | | — | | | | 0.89 | % |
Class I | | | 0.4875 | % | | | 0.25 | % | | | 0.25 | % | | | 1.11 | % |
Class Y | | | 0.4875 | % | | | — | | | | — | | | | 0.64 | % |
Conservative Income Fund |
Class F | | | 0.1000 | % | | | 0.25 | % | | | — | | | | 0.30 | % |
Class Y | | | 0.1000 | % | | | — | | | | — | | | | 0.20 | % |
Tax-Free Conservative Income Fund |
Class F | | | 0.1000 | % | | | 0.25 | % | | | — | | | | 0.30 | % |
Class Y | | | 0.1000 | % | | | — | | | | — | | | | 0.20 | % |
Real Return Fund |
Class F | | | 0.2200 | % | | | 0.25 | % | | | — | | | | 0.45 | % |
Class Y | | | 0.2200 | % | | | — | | | | — | | | | 0.35 | % |
Dynamic Asset Allocation Fund |
Class F | | | 0.6000 | % | | | 0.25 | % | | | — | | | | 0.75 | % |
Class Y | | | 0.6000 | % | | | — | | | | — | | | | 0.50 | % |
Multi-Strategy Alternative Fund |
Class F | | | 1.5000 | % | | | 0.25 | % | | | — | | | | 1.35 | % |
Class Y | | | 1.5000 | % | | | — | | | | — | | | | 1.10 | % |
Liquid Alternative Fund |
Class F | | | 0.5000 | % | | | 0.25 | % | | | — | | | | 1.05 | % |
Class Y | | | 0.5000 | % | | | — | | | | — | | | | 0.80 | % |
Multi-Asset Accumulation Fund |
Class F | | | 0.7500 | % | | | 0.25 | % | | | — | | | | 1.17 | % |
Class Y | | | 0.7500 | % | | | — | | | | — | | | | 0.92 | % |
Multi-Asset Income Fund |
Class F | | | 0.6000 | % | | | 0.25 | % | | | — | | | | 0.80 | % |
Class Y | | | 0.6000 | % | | | — | | | | — | | | | 0.70 | % |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
| | | Advisory
Fees | | | Shareholder
Servicing
Fee | | | Administrative
Servicing Fee | | | Voluntary
Expense
Limitation | |
Multi-Asset Inflation Managed Fund |
Class F | | | 0.5500 | % | | | 0.25 | % | | | — | | | | 1.24 | % |
Class Y | | | 0.5500 | % | | | — | | | | — | | | | 0.98 | % |
Multi-Asset Capital Stability Fund |
Class F | | | 0.4000 | % | | | 0.25 | % | | | — | | | | 0.62 | % |
Class Y | | | 0.4000 | % | | | — | | | | — | | | | 0.52 | % |
| * | Effective September 1, 2024, the voluntary expense limitations for the Small Cap Value Fund were lowered to 1.11%, 1.33%, and 0.86% for Class F, Class I, and Class Y, respectively. Prior to September 1, 2024, the voluntary expense limitations were 1.14%, 1.36%, and 0.89% for Class F, Class I, and Class Y, respectively. |
| ** | Effective September 1, 2024, the contractual advisory fee for the U.S. Managed Volatility Fund was lowered from 0.65% to 0.55%. |
| *** | Effective September 1, 2024, the contractual advisory fee for the Tax-Managed Managed Volatility Fund was lowered from 0.65% to 0.55%. |
| + | Effective September 1, 2024, the voluntary expense limitation for the Tax-Managed Managed Managed Volatility Fund were lowered to 0.91% and 0.66%, respectively. Prior to September 1, 2024, the voluntary expense limitations were 1.00% and 0.75% for Class F and Class Y, respectively. |
The following is a summary of annual fees payable to the Administrator:
| | | | First $1.5 Billion | | | | Next $500 Million | | | | Next $500 Million | | | | Next $500 Million | | | | Over $3 Billion | |
Large Cap Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Large Cap Value Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Large Cap Growth Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Large Cap Index Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Tax-Managed Large Cap Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Small Cap Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Small Cap Value Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Small Cap Growth Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Tax-Managed Small/Mid Cap Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Mid-Cap Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
U.S. Managed Volatility Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Global Managed Volatility Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Tax-Managed Managed Volatility Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Tax-Managed International Managed Volatility Fund | | | 0.380 | %* | | | 0.3400 | % | | | 0.2800 | % | | | 0.2350 | % | | | 0.200 | % |
Real Estate Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Core Fixed Income Fund | | | 0.200 | % | | | 0.1775 | % | | | 0.1550 | % | | | 0.1325 | % | | | 0.110 | % |
High Yield Bond Fund | | | 0.200 | % | | | 0.1775 | % | | | 0.1550 | % | | | 0.1325 | % | | | 0.110 | % |
Conservative Income Fund | | | 0.200 | % | | | 0.1775 | % | | | 0.1550 | % | | | 0.1325 | % | | | 0.110 | % |
Tax-Free Conservative Income Fund | | | 0.200 | % | | | 0.1775 | % | | | 0.1550 | % | | | 0.1325 | % | | | 0.110 | % |
Real Return Fund | | | 0.200 | % | | | 0.1775 | % | | | 0.1550 | % | | | 0.1325 | % | | | 0.110 | % |
Dynamic Asset Allocation Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Multi-Strategy Alternative Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Liquid Alternative Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Multi-Asset Accumulation Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Multi-Asset Income Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Multi-Asset Inflation Managed Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
Multi-Asset Capital Stability Fund | | | 0.300 | % | | | 0.2550 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
*Effective September 1, 2024, the Contractual Administration Fee for the first $1.5 billion in net assets was lowered from 0.400% to 0.380%.
| | | | First $2 Billion | | | | Next $500 Million | | | | Next $500 Million | | | | Over $3 Billion | |
S&P 500 Index Fund | | | 0.220 | % | | | 0.2100 | % | | | 0.1650 | % | | | 0.120 | % |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
As of September 30, 2024, SIMC has entered into investment sub-advisory agreements with the following affiliated and unaffiliated parties:
Investment Sub-Adviser
Large Cap Fund
Brandywine Global Investment Management, LLC
Copeland Capital Management LLC
Fred Alger Management, LLC
LSV Asset Management*
Mar Vista Investment Partners, LLC
Parametric Portfolio Associates LLC
Large Cap Value Fund
Brandywine Global Investment Management, LLC
Cullen Capital Management, LLC
LSV Asset Management*
Parametric Portfolio Associates LLC
Large Cap Growth Fund
Fred Alger Management, LLC
Mackenzie Investments Corporation
Parametric Portfolio Associates LLC
PineStone Asset Management Inc.
Large Cap Index Fund
SSGA Funds Management, Inc.
Tax-Managed Large Cap Fund
Brandywine Global Investment Management, LLC
Cullen Capital Management, LLC
LSV Asset Management*
Mar Vista Investment Partners, LLC
Parametric Portfolio Associates LLC
PineStone Asset Management Inc.
S&P 500 Index Fund
SSGA Funds Management, Inc.
Small Cap Fund
Copeland Capital Management, LLC
EAM Investors, LLC
Easterly Investment Partners LLC
Los Angeles Capital Management, LLC
Leeward Investments, LLC
Parametric Portfolio Associates LLC
Small Cap Value Fund
Easterly Investment Partners LLC
Leeward Investments, LLC
LSV Asset Management*
Parametric Portfolio Associates LLC
Small Cap Growth Fund
EAM Investors LLC
Jackson Creek Investment Advisors, LLC
Parametric Portfolio Associates LLC
Polen Capital Management LLC
Tax-Managed Small/Mid Cap Fund
Easterly Investment Partners LLC
Geneva Capital Management LLC
Hillsdale Investment Management Inc.
Martingale Asset Management, LP
Parametric Portfolio Associates LLC
Mid-Cap Fund
Leeward Investments, LLC
Los Angeles Capital Management LLC
U.S. Managed Volatility Fund
Allspring Global Investments, LLC
LSV Asset Management*
Global Managed Volatility Fund
Acadian Asset Management LLC
Allspring Global Investments, LLC
Tax-Managed Managed Volatility Fund
Allspring Global Investments, LLC
LSV Asset Management*
Parametric Portfolio Associates LLC
Tax-Managed International Managed Volatility Fund
Acadian Asset Management LLC
Allspring Global Investments, LLC
LSV Asset Management*
Parametric Portfolio Associates LLC
Real Estate Fund
CenterSquare Investment Management LLC
Core Fixed Income Fund
Allspring Global Investments, LLC
Jennison Associates LLC
MetLife Investment Management, LLC
Metropolitan West Asset Management, LLC
Western Asset Management Company, LLC**
Western Asset Management Company Limited**
High Yield Bond Fund
Ares Capital Management II LLC
Benefit Street Partners, LLC
Brigade Capital Management, LP
J.P. Morgan Investment Management, Inc.
T. Rowe Price Associates, Inc.
Conservative Income Fund
BlackRock Advisors, LLC
Tax-Free Conservative Income Fund
BlackRock Advisors, LLC
Dynamic Asset Allocation Fund
SSGA Funds Management, Inc.
Multi-Strategy Alternative Fund
Brigade Capital Management, LP
Global Credit Advisers, LLC
Kettle Hill Capital Management LLC
Mountaineer Partners Management, LLC
Liquid Alternative Fund
Dynamic Beta Investments, LLC
Multi-Asset Accumulation Fund
AQR Capital Management, LLC
Multi-Asset Income Fund
Barings LLC
Goldman Sachs Asset Management, LP
Western Asset Management Company, LLC**
Western Asset Management Company Limited**
Western Asset Management Company PTE Ltd.**
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
Multi-Asset Inflation Managed Fund
AllianceBernstein, L.P.
Columbia Management Investments Advisers, LLC
Credit Suisse Asset Management, LLC
Franklin Advisers, Inc.
Multi-Asset Capital Stability Fund
AllianceBernstein, L.P.
Janus Henderson Investors US LLC
* Affiliated
** Terminated as of October 31, 2024.
Under the investment sub-advisory agreements, each sub-adviser receives a fee paid by SIMC.
Brokerage Commissions Paid to Affiliates — 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, 2024 were as follows ($ Thousands):
U.S. Managed Volatility Fund | | $ | 24 | |
Multi-Asset Income Fund | | | 15 | |
| | $ | 39 | |
Payments to/from Affiliates — Certain officers and/or trustees of the Trust are also officers and/or Directors of the Administrator, Adviser and/or 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.
LSV Asset Management (a partially owned indirect subsidiary of SEI Investment Co.) serves as the sub-adviser to the Large Cap, Large Cap Value, Tax-Managed Large Cap, Small Cap Value, U.S. Managed Volatility, Tax-Managed Managed Volatility and Tax-Managed International Managed Volatility Funds. For this service LSV Asset Management is entitled to receive a fee from
SIMC. Such fees for the year ended September 30, 2024 were as follows ($ Thousands):
Large Cap Fund | | $ | 356 | |
Large Cap Value Fund | | | 440 | |
Tax-Managed Large Cap Fund | | | 668 | |
Small Cap Value Fund | | | 719 | |
U.S. Managed Volatility Fund | | | 776 | |
Tax-Managed Managed Volatility Fund | | | 1,119 | |
Tax-Managed International Managed Volatility Fund | | | 373 | |
| | | $ | 4,451 | |
Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the Funds’ expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Funds’ expense ratio, as a percentage of the Funds’ average daily net assets for the year ended September 30, 2024, can be found on the Statements of Operations or Consolidated Statements of Operations and Financial Highlights or Consolidated Financial Highlights, respectively.
Investment in Affiliated Security — The Funds may invest in the SEI Daily Income Trust Government Fund, an affiliated money market fund, to manage excess cash or to serve as margin or collateral for derivative positions. Additionally, the Funds may have invested the cash collateral from the securities lending program in the SEI Liquidity Fund, LP, also an affiliated fund.
Each of the Large Cap Index and S&P 500 Index Funds may purchase companies with which it is affiliated to the extent these companies are represented in its benchmark index.
Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“the Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds.
Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula annually reviewed by the Board. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.
For the year ended September 30, 2024, the following Funds borrowed funds from the Multi-Asset Accumulation
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
Fund. The amount borrowed, interest paid on the borrowing and the corresponding interest rate were as follows ($ Thousands):
| | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed | | | Interest
Paid | | | Interest
Rate | |
New Covenant Growth Fund | | | 01/19/24 | | | | 01/22/24 | | | | $14,550 | | | $ | 3 | | | | 6.32 | % |
| | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed | | | Interest
Paid | | | Interest
Rate | |
New Covenant Growth Fund | | | 07/16/24 | | | | 07/17/24 | | | | $16,047 | | | $ | 3 | | | | 6.34 | % |
High Yield Fund | | | 02/21/24 | | | | 02/22/24 | | | | $23,185 | | | $ | 4 | | | | 6.32 | % |
High Yield Fund | | | 04/16/24 | | | | 04/17/24 | | | | $11,825 | | | $ | 2 | | | | 6.34 | % |
High Yield Fund | | | 04/17/24 | | | | 04/18/24 | | | | $ 9,265 | | | $ | 2 | | | | 6.34 | % |
High Yield Fund | | | 04/19/24 | | | | 04/22/24 | | | | $ 5,500 | | | $ | 3 | | | | 6.33 | % |
7. CAPITAL SHARE TRANSACTIONS
Capital share transactions for the Funds were as follows (Thousands):
For the year ended September 30, 2024 and the year or period ended September 30, 2023.
| | | Large Cap Fund | | | Large Cap Value Fund | | | Large Cap Growth Fund | | | Large Cap Index Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
Class F: |
Shares Issued | | | 12,325 | | | | 10,569 | | | | 5,661 | | | | 5,852 | | | | 3,036 | | | | 3,175 | | | | 11,261 | | | | 12,282 | |
Shares Issued in Lieu of Dividends and Distributions | | | 6,835 | | | | 11,216 | | | | 2,980 | | | | 4,199 | | | | 4,461 | | | | 2,310 | | | | 793 | | | | 953 | |
Shares Redeemed | | | (40,073 | ) | | | (26,399 | ) | | | (9,717 | ) | | | (9,890 | ) | | | (8,434 | ) | | | (8,031 | ) | | | (20,260 | ) | | | (17,602 | ) |
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | | | (20,913 | ) | | | (4,614 | ) | | | (1,076 | ) | | | 161 | | | | (937 | ) | | | (2,546 | ) | | | (8,206 | ) | | | (4,367 | ) |
Class I: |
Shares Issued | | | – | | | | – | | | | 5 | | | | 2 | | | | 10 | | | | 5 | | | | – | | | | – | |
Shares Issued in Lieu of Dividends and Distributions | | | – | | | | – | | | | 3 | | | | 7 | | | | 8 | | | | 5 | | | | – | | | | – | |
Shares Redeemed | | | – | | | | – | | | | (13 | ) | | | (46 | ) | | | (19 | ) | | | (24 | ) | | | – | | | | – | |
Total Decrease in Net Assets Derived from Class I Transactions | | | – | | | | – | | | | (5 | ) | | | (37 | ) | | | (1 | ) | | | (14 | ) | | | – | | | | – | |
Class Y: |
Shares Issued | | | 870 | | | | 623 | | | | 381 | | | | 673 | | | | 210 | | | | 445 | | | | – | | | | – | |
Shares Issued in Lieu of Dividends and Distributions | | | 235 | | | | 368 | | | | 319 | | | | 708 | | | | 500 | | | | 412 | | | | – | | | | – | |
Shares Redeemed | | | (1,185 | ) | | | (1,052 | ) | | | (2,475 | ) | | | (3,739 | ) | | | (1,542 | ) | | | (2,692 | ) | | | – | | | | – | |
Total Decrease in Net Assets Derived from Class Y Transactions | | | (80 | ) | | | (61 | ) | | | (1,775 | ) | | | (2,358 | ) | | | (832 | ) | | | (1,835 | ) | | | – | | | | – | |
(Decrease) in Capital Shares | | | (20,993 | ) | | | (4,675 | ) | | | (2,856 | ) | | | (2,234 | ) | | | (1,770 | ) | | | (4,395 | ) | | | (8,206 | ) | | | (4,367 | ) |
| | | Tax-Managed Large Cap Fund | | | S&P 500 Index Fund | | | Small Cap Fund | | | Small Cap Value Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
Class F: |
Shares Issued | | | 9,475 | | | | 5,540 | | | | 846 | | | | 1,547 | | | | 8,194 | | | | 4,019 | | | | 1,491 | | | | 1,491 | |
Shares Issued in Lieu of Dividends and Distributions | | | 4,368 | | | | 6,077 | | | | 429 | | | | 949 | | | | 1,503 | | | | 366 | | | | 369 | | | | 754 | |
Shares Redeemed | | | (20,301 | )* | | | (20,012 | ) | | | (2,213 | ) | | | (1,876 | ) | | | (12,607 | ) | | | (8,337 | ) | | | (2,907 | ) | | | (2,931 | ) |
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | | | (6,458 | ) | | | (8,395 | ) | | | (938 | ) | | | 620 | | | | (2,910 | ) | | | (3,952 | ) | | | (1,047 | ) | | | (686 | ) |
Class I: |
Shares Issued | | | – | | | | – | | | | 14 | | | | 34 | | | | – | | | | – | | | | 1 | | | | 2 | |
Shares Issued in Lieu of Dividends and Distributions | | | – | | | | – | | | | 2 | | | | 6 | | | | – | | | | – | | | | 1 | | | | 2 | |
Shares Redeemed | | | – | | | | – | | | | (16 | ) | | | (41 | ) | | | – | | | | – | | | | (5 | ) | | | (22 | ) |
Total Decrease in Net Assets Derived from Class I Transactions | | | – | | | | – | | | | — | | | | (1 | ) | | | – | | | | – | | | | (3 | ) | | | (18 | ) |
Class Y: |
Shares Issued | | | 581 | | | | 3,361 | | | | – | | | | – | | | | 1,453 | | | | 544 | | | | 93 | | | | 443 | |
Shares Issued in Lieu of Dividends and Distributions | | | 740 | | | | 907 | | | | – | | | | – | | | | 74 | | | | 20 | | | | 56 | | | | 159 | |
Shares Redeemed | | | (2,334 | ) | | | (2,805 | ) | | | – | | | | – | | | | (606 | ) | | | (484 | ) | | | (694 | ) | | | (1,294 | ) |
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | | | (1,013 | ) | | | 1,463 | | | | – | | | | – | | | | 921 | | | | 80 | | | | (545 | ) | | | (692 | ) |
Increase (Decrease) in Capital Shares | | | (7,471 | ) | | | (6,932 | ) | | | (938 | ) | | | 619 | | | | (1,989 | ) | | | (3,872 | ) | | | (1,595 | ) | | | (1,396 | ) |
| | | Small Cap Growth Fund | | | Tax-Managed Small/Mid Cap Fund | | | Mid-Cap Fund | | | U.S. Managed Volatility Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
Class F: |
Shares Issued | | | 1,154 | | | | 1,074 | | | | 1,917 | | | | 2,439 | | | | 317 | | | | 432 | | | | 4,231 | | | | 5,723 | |
Shares Issued in Lieu of Dividends and Distributions | | | — | | | | 5 | | | | 780 | | | | 263 | | | | 13 | | | | 19 | | | | 4,128 | | | | 3,785 | |
Shares Redeemed | | | (1,882 | ) | | | (1,817 | ) | | | (4,876 | ) | | | (6,427 | ) | | | (768 | ) | | | (558 | ) | | | (18,133 | ) | | | (13,485 | ) |
Total Decrease in Net Assets Derived from Class F Transactions | | | (728 | ) | | | (738 | ) | | | (2,179 | ) | | | (3,725 | ) | | | (438 | ) | | | (107 | ) | | | (9,774 | ) | | | (3,977 | ) |
Class I: |
Shares Issued | | | 3 | | | | 4 | | | | – | | | | – | | | | 2 | | | | — | | | | 1 | | | | — | |
Shares Issued in Lieu of Dividends and Distributions | | | — | | | | — | | | | – | | | | – | | | | — | | | | — | | | | 5 | | | | 4 | |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
| | | Small Cap Growth Fund | | | Tax-Managed Small/Mid Cap Fund | | | Mid-Cap Fund | | | U.S. Managed Volatility Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
Shares Redeemed | | | (5 | ) | | | (25 | ) | | | – | | | | – | | | | (5 | ) | | | (2 | ) | | | (1 | ) | | | — | |
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | | | (2 | ) | | | (21 | ) | | | – | | | | – | | | | (3 | ) | | | (2 | ) | | | 5 | | | | 4 | |
Class Y: |
Shares Issued | | | 79 | | | | 245 | | | | 360 | | | | 946 | | | | 158 | | | | 36 | | | | 1,474 | | | | 2,239 | |
Shares Issued in Lieu of Dividends and Distributions | | | — | | | | 3 | | | | 127 | | | | 46 | | | | 2 | | | | 2 | | | | 1,333 | | | | 1,003 | |
Shares Redeemed | | | (251 | ) | | | (332 | ) | | | (726 | ) | | | (782 | ) | | | (54 | ) | | | (20 | ) | | | (3,363 | ) | | | (2,362 | ) |
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | | | (172 | ) | | | (84 | ) | | | (239 | ) | | | 210 | | | | 106 | | | | 18 | | | | (556 | ) | | | 880 | |
(Decrease) in Capital Shares | | | (902 | ) | | | (843 | ) | | | (2,418 | ) | | | (3,515 | ) | | | (335 | ) | | | (91 | ) | | | (10,325 | ) | | | (3,093 | ) |
| | | Global Managed Volatility Fund | | | Tax-Managed Managed Volatility Fund | | | Tax-Managed International Managed Volatility Fund | | | Real Estate Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
Class F: |
Shares Issued | | | 22,125 | | | | 8,900 | | | | 1,985 | | | | 3,531 | | | | 1,571 | | | | 5,152 | | | | 362 | | | | 519 | |
Shares Issued in Lieu of Dividends and Distributions | | | 3,125 | | | | 6,387 | | | | 4,354 | | | | 2,192 | | | | 670 | | | | 663 | | | | 88 | | | | 193 | |
Shares Redeemed | | | (28,811 | ) | | | (21,347 | ) | | | (8,786 | ) | | | (12,001 | ) | | | (6,165 | ) | | | (10,209 | ) | | | (994 | ) | | | (1,070 | ) |
Total Decrease in Net Assets Derived from Class F Transactions | | | (3,561 | ) | | | (6,060 | ) | | | (2,447 | ) | | | (6,278 | ) | | | (3,924 | ) | | | (4,394 | ) | | | (544 | ) | | | (358 | ) |
Class I: |
Shares Issued | | | — | | | | — | | | | – | | | | – | | | | – | | | | – | | | | — | | | | — | |
Shares Issued in Lieu of Dividends and Distributions | | | 3 | | | | 5 | | | | – | | | | – | | | | – | | | | – | | | | — | | | | 1 | |
Shares Redeemed | | | — | | | | — | | | | – | | | | – | | | | – | | | | – | | | | — | | | | — | |
Total Increase in Net Assets Derived from Class I Transactions | | | 3 | | | | 5 | | | | – | | | | – | | | | – | | | | – | | | | — | | | | 1 | |
Class Y: |
Shares Issued | | | 1,368 | | | | 3,619 | | | | 352 | | | | 1,953 | | | | 195 | | | | 2,905 | | | | 88 | | | | 105 | |
Shares Issued in Lieu of Dividends and Distributions | | | 586 | | | | 942 | | | | 617 | | | | 257 | | | | 150 | | | | 134 | | | | 26 | | | | 50 | |
Shares Redeemed | | | (3,554 | ) | | | (3,377 | ) | | | (1,166 | ) | | | (936 | ) | | | (1,051 | ) | | | (2,172 | ) | | | (270 | ) | | | (198 | ) |
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | | | (1,600 | ) | | | 1,184 | | | | (197 | ) | | | 1,274 | | | | (706 | ) | | | 867 | | | | (156 | ) | | | (43 | ) |
(Decrease) in Capital Shares | | | (5,158 | ) | | | (4,871 | ) | | | (2,644 | ) | | | (5,004 | ) | | | (4,630 | ) | | | (3,527 | ) | | | (700 | ) | | | (400 | ) |
| | | Core Fixed Income Fund | | | High Yield Bond Fund | | | Conservative Income Fund | | | Tax-Free Conservative Income Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
Class F: |
Shares Issued | | | 85,129 | | | | 50,948 | | | | 48,023 | | | | 35,058 | | | | 61,625 | | | | 36,541 | | | | 9,622 | | | | 5,213 | |
Shares Issued in Lieu of Dividends and Distributions | | | 12,047 | | | | 10,150 | | | | 21,443 | | | | 28,036 | | | | 2,596 | | | | 1,469 | | | | 425 | | | | 368 | |
Shares Redeemed | | | (92,554 | ) | | | (76,036 | ) | | | (86,084 | ) | | | (57,400 | ) | | | (39,513 | ) | | | (26,105 | ) | | | (8,236 | ) | | | (6,882 | ) |
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | | | 4,622 | | | | (14,938 | ) | | | (16,618 | ) | | | 5,694 | | | | 24,708 | | | | 11,905 | | | | 1,811 | | | | (1,301 | ) |
Class I: |
Shares Issued | | | 32 | | | | 20 | | | | — | | | | — | | | | – | | | | – | | | | – | | | | – | |
Shares Issued in Lieu of Dividends and Distributions | | | 9 | | | | 7 | | | | — | | | | — | | | | – | | | | – | | | | – | | | | – | |
Shares Redeemed | | | (38 | ) | | | (94 | ) | | | — | | | | — | | | | – | | | | – | | | | – | | | | – | |
Total Increase (Decrease) in Net Assets Derived from Class I Transactions | | | 3 | | | | (67 | ) | | | — | | | | — | | | | – | | | | – | | | | – | | | | – | |
Class Y: |
Shares Issued | | | 7,242 | | | | 11,305 | | | | 8,784 | | | | 10,081 | | | | 727 | | | | 669 | | | | 1,170 | | | | 221 | |
Shares Issued in Lieu of Dividends and Distributions | | | 1,654 | | | | 1,527 | | | | 3,822 | | | | 4,494 | | | | 55 | | | | 57 | | | | 21 | | | | 12 | |
Shares Redeemed | | | (10,464 | ) | | | (14,181 | ) | | | (9,719 | ) | | | (13,295 | ) | | | (1,286 | ) | | | (734 | ) | | | (703 | ) | | | (325 | ) |
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | | | (1,568 | ) | | | (1,349 | ) | | | 2,887 | | | | 1,280 | | | | (504 | ) | | | (8 | ) | | | 488 | | | | (92 | ) |
Increase (Decrease) in Capital Shares | | | 3,057 | | | | (16,354 | ) | | | (13,731 | ) | | | 6,974 | | | | 24,204 | | | | 11,897 | | | | 2,299 | | | | (1,393 | ) |
| | | Real Return Fund | | | Dynamic Asset Allocation Fund | | | Multi-Strategy Alternative Fund | | | Liquid Alternative Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | (1) |
Class F: |
Shares Issued | | | 24,755 | | | | 4,342 | | | | 9,281 | | | | 4,985 | | | | 2,085 | | | | 3,950 | | | | 20,010 | | | | 52 | |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
| | | Real Return Fund | | | Dynamic Asset Allocation Fund | | | Multi-Strategy Alternative Fund | | | Liquid Alternative Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | (1) |
Shares Issued in Lieu of Dividends and Distributions | | | 970 | | | | 953 | | | | 3,793 | | | | 5,283 | | | | 1,399 | | | | 811 | | | | 8 | | | | — | |
Shares Redeemed | | | (8,317 | ) | | | (10,811 | ) | | | (14,703 | ) | | | (8,647 | ) | | | (14,928 | ) | | | (10,438 | ) | | | (2,752 | ) | | | — | |
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | | | 17,408 | | | | (5,516 | ) | | | (1,629 | ) | | | 1,621 | | | | (11,444 | ) | | | (5,677 | ) | | | 17,266 | | | | 52 | |
Class Y: |
Shares Issued | | | 1,615 | | | | 415 | | | | 2,961 | | | | 582 | | | | 167 | | | | 826 | | | | 1,072 | | | | 1,165 | |
Shares Issued in Lieu of Dividends and Distributions | | | 69 | | | | 78 | | | | 256 | | | | 332 | | | | 64 | | | | 19 | | | | 28 | | | | — | |
Shares Redeemed | | | (628 | ) | | | (714 | ) | | | (1,046 | ) | | | (550 | ) | | | (1,131 | ) | | | (204 | ) | | | (298 | ) | | | (100 | ) |
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | | | 1,056 | | | | (221 | ) | | | 2,171 | | | | 364 | | | | (900 | ) | | | 641 | | | | 802 | | | | 1,065 | |
Increase (Decrease) in Capital Shares | | | 18,464 | | | | (5,737 | ) | | | 542 | | | | 1,985 | | | | (12,344 | ) | | | (5,036 | ) | | | 18,068 | | | | 1,117 | |
| | | Multi-Asset Accumulation Fund | | | Multi-Asset Income Fund | | | Multi-Asset Inflation Managed Fund | | | Multi-Asset Capital Stability Fund | |
| | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | | | | 2024 | | | | 2023 | |
Class F: |
Shares Issued | | | 18,570 | | | | 33,098 | | | | 4,565 | | | | 7,513 | | | | 7,431 | | | | 10,150 | | | | 4,495 | | | | 7,872 | |
Shares Issued in Lieu of Dividends and Distributions | | | 4,678 | | | | 24,357 | | | | 2,667 | | | | 3,561 | | | | 2,704 | | | | 9,499 | | | | 1,628 | | | | 923 | |
Shares Redeemed | | | (128,454 | ) | | | (52,994 | ) | | | (23,255 | ) | | | (15,391 | ) | | | (25,101 | ) | | | (27,459 | ) | | | (15,704 | ) | | | (17,617 | ) |
Total Increase (Decrease) in Net Assets Derived from Class F Transactions | | | (105,206 | ) | | | 4,461 | | | | (16,023 | ) | | | (4,317 | ) | | | (14,966 | ) | | | (7,810 | ) | | | (9,581 | ) | | | (8,822 | ) |
Class Y: |
Shares Issued | | | 1,985 | | | | 5,190 | | | | 1,736 | | | | 2,179 | | | | 1,418 | | | | 912 | | | | 164 | | | | 320 | |
Shares Issued in Lieu of Dividends and Distributions | | | 305 | | | | 1,490 | | | | 898 | | | | 969 | | | | 160 | | | | 500 | | | | 103 | | | | 61 | |
Shares Redeemed | | | (5,378 | ) | | | (11,988 | ) | | | (2,743 | ) | | | (4,361 | ) | | | (897 | ) | | | (1,515 | ) | | | (826 | ) | | | (752 | ) |
Total Increase (Decrease) in Net Assets Derived from Class Y Transactions | | | (3,088 | ) | | | (5,308 | ) | | | (109 | ) | | | (1,213 | ) | | | 681 | | | | (103 | ) | | | (559 | ) | | | (371 | ) |
(Decrease) in Capital Shares | | | (108,294 | ) | | | (847 | ) | | | (16,132 | ) | | | (5,530 | ) | | | (14,285 | ) | | | (7,913 | ) | | | (10,140 | ) | | | (9,193 | ) |
(1) Commenced operations on June 30, 2023.
* Includes redemptions as a result of in-kind transactions (see Note 13).
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
8. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and in-kind transactions, during the year September 30, 2024, were as follows:
| | | U.S. Gov't
($ Thousands) | | | Other
($ Thousands) | | | Total
($ Thousands) | |
Large Cap Fund |
Purchases | | $ | — | | | $ | 554,567 | | | $ | 554,567 | |
Sales | | | — | | | | 965,144 | | | | 965,144 | |
Large Cap Value Fund |
Purchases | | | — | | | | 193,494 | | | | 193,494 | |
Sales | | | — | | | | 329,624 | | | | 329,624 | |
Large Cap Growth Fund |
Purchases | | | — | | | | 898,271 | | | | 898,271 | |
Sales | | | — | | | | 1,212,189 | | | | 1,212,189 | |
Large Cap Index Fund |
Purchases | | | — | | | | 41,704 | | | | 41,704 | |
Sales | | | — | | | | 168,991 | | | | 168,991 | |
Tax-Managed Large Cap Fund |
Purchases | | | — | | | | 611,153 | | | | 611,153 | |
Sales | | | — | | | | 924,373 | | | | 924,373 | |
S&P 500 Index Fund |
Purchases | | | — | | | | 27,743 | | | | 27,743 | |
Sales | | | — | | | | 145,884 | | | | 145,884 | |
Small Cap Fund |
Purchases | | | — | | | | 596,356 | | | | 596,356 | |
Sales | | | — | | | | 640,697 | | | | 640,697 | |
Small Cap Value Fund |
Purchases | | | — | | | | 200,307 | | | | 200,307 | |
Sales | | | — | | | | 247,061 | | | | 247,061 | |
Small Cap Growth Fund |
Purchases | | | — | | | | 640,554 | | | | 640,554 | |
Sales | | | — | | | | 673,702 | | | | 673,702 | |
Tax-Managed Small/Mid Cap Fund |
Purchases | | | — | | | | 474,115 | | | | 474,115 | |
Sales | | | — | | | | 556,361 | | | | 556,361 | |
Mid-Cap Fund |
Purchases | | | — | | | | 48,690 | | | | 48,690 | |
Sales | | | — | | | | 58,247 | | | | 58,247 | |
U.S. Managed Volatility Fund |
Purchases | | | — | | | | 355,523 | | | | 355,523 | |
Sales | | | — | | | | 581,838 | | | | 581,838 | |
Global Managed Volatility Fund |
Purchases | | | — | | | | 686,664 | | | | 686,664 | |
Sales | | | — | | | | 791,217 | | | | 791,217 | |
Tax-Managed Managed Volatility Fund |
Purchases | | | — | | | | 193,533 | | | | 193,533 | |
Sales | | | — | | | | 350,472 | | | | 350,472 | |
Tax-Managed International Managed Volatility Fund |
Purchases | | | — | | | | 175,727 | | | | 175,727 | |
Sales | | | — | | | | 229,722 | | | | 229,722 | |
Real Estate Fund |
Purchases | | | — | | | | 32,386 | | | | 32,386 | |
Sales | | | — | | | | 42,510 | | | | 42,510 | |
Core Fixed Income Fund |
Purchases | | | 10,717,500 | | | | 1,483,139 | | | | 12,200,639 | |
Sales | | | 10,561,511 | | | | 1,694,109 | | | | 12,255,620 | |
High Yield Bond Fund |
Purchases | | | 3,035 | | | | 555,567 | | | | 558,602 | |
Sales | | | — | | | | 681,472 | | | | 681,472 | |
| | | U.S. Gov't
($ Thousands) | | | Other
($ Thousands) | | | Total
($ Thousands) | |
Real Return Fund |
Purchases | | | 292,299 | | | | — | | | | 292,299 | |
Sales | | | 126,887 | | | | — | | | | 126,887 | |
Dynamic Asset Allocation Fund |
Purchases | | | — | | | | 85,701 | | | | 85,701 | |
Sales | | | — | | | | 143,295 | | | | 143,295 | |
Multi-Strategy Alternative Fund |
Purchases | | | 6,018 | | | | 664,722 | | | | 670,740 | |
Sales | | | 6,666 | | | | 718,840 | | | | 725,506 | |
Multi-Asset Accumulation Fund |
Purchases | | | 344,243 | | | | 187,091 | | | | 531,334 | |
Sales | | | 166,423 | | | | 389,955 | | | | 556,378 | |
Multi-Asset Income Fund |
Purchases | | | 85,835 | | | | 249,222 | | | | 335,057 | |
Sales | | | 92,814 | | | | 372,622 | | | | 465,436 | |
Multi-Asset Inflation Managed Fund |
Purchases | | | 117,492 | | | | 58,076 | | | | 175,568 | |
Sales | | | 217,649 | | | | 154,506 | | | | 372,155 | |
Multi-Asset Capital Stability Fund |
Purchases | | | 147,276 | | | | 21,995 | | | | 169,271 | |
Sales | | | 97,687 | | | | 51,128 | | | | 148,815 | |
9. 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.
The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds have each requested private letter rulings from the Internal Revenue Service (“IRS”) concluding that the income generated from their investment in their respective Subsidiaries, each of which invests in commodity-linked derivatives, will be “qualifying income” for regulated investment company (“RIC”) qualification purposes, regardless of whether actual distributions are made to the Funds by the respective Subsidiary.
In July 2011, the IRS suspended the issuance of private letter rulings regarding the investment by RICs into controlled foreign corporations which principally invest in commodities, such as the Subsidiaries, indicating that it was reconsidering its policies surrounding the issuance of these rulings. The Dynamic Commodity Strategy, Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds have secured an opinion of counsel based on customary representations that actual distributions made to the Funds should be treated as “qualifying income”. The Treasury released a proposed regulation in October 2016 stating that income inclusion from a controlled
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
foreign corporation is treated as dividends i.e. qualifying income only to the extent that the Funds received cash distributions from the subsidiary. The Treasury released a final regulation in March 2019 reversing its position on the proposed regulation by removing the cash distribution requirement.
The Real Estate Fund has a tax year that ends on December 31. The following tax disclosures are representative as of September 30, 2024, except for the permanent reclassification and tax character of distributions, which are as of December 31, 2023. Accordingly, the disclosures are for informational use by shareholders and are subject to change attributable to activity through the end of the tax year-ending December 31, 2023.
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 U.S. GAAP. These book/tax differences are either temporary or permanent in nature.
The permanent differences are primarily attributable to different treatment for gains and losses on paydowns of mortgage and asset backed securities for tax purposes, defaulted bond basis adjustments, reclassification of long term capital gain distributions on REIT securities, reclassification of income and expense from swap transactions, Treasury Inflation-Protected Securities and net operating losses, basis adjustments for investments in partnerships and gains and losses on passive foreign investment companies, expiration of capital loss carryforwards, collateralized loan obligation basis adjustments, certain foreign currency related transactions, payment of excise tax, and nontaxable in-kind redemptions.
| | | Distributable Earnings (Loss)
($ Thousands) | | | Paid-in-
Capital
($ Thousands) | |
Tax-Managed Large Cap Fund | | $ | (147,533 | ) | | $ | 147,533 | |
High Yield Bond Fund | | | 810 | | | | (810 | ) |
Multi-Asset Income Fund | | | (1,576 | ) | | | 1,576 | |
The tax character of dividends and distributions paid during the fiscal years or periods ended September 30, 2024 or September 30, 2023 (unless otherwise indicated) was as follows:
| | | | | | Ordinary
Income
($ Thousands) | | | Long-term
Capital Gain
($ Thousands) | | | Return of Capital
($ Thousands) | | | Tax Exempt Income
($ Thousands) | | | Total
($ Thousands) | |
Large Cap Fund |
2024 | | $ | 21,414 | | | $ | 87,395 | | | $ | — | | | $ | — | | | $ | 108,809 | |
2023 | | | 11,904 | | | | 149,792 | | | | — | | | | — | | | | 161,696 | |
Large Cap Value Fund |
2024 | | | 28,952 | | | | 57,486 | | | | — | | | | — | | | | 86,438 | |
2023 | | | 37,312 | | | | 89,162 | | | | — | | | | — | | | | 126,474 | |
Large Cap Growth Fund |
2024 | | | — | | | | 208,783 | | | | — | | | | — | | | | 208,783 | |
2023 | | | 11 | | | | 98,789 | | | | — | | | | — | | | | 98,800 | |
Large Cap Index Fund |
2024 | | | 14,147 | | | | — | | | | — | | | | — | | | | 14,147 | |
2023 | | | 14,021 | | | | — | | | | — | | | | — | | | | 14,021 | |
Tax-Managed Large Cap Fund |
2024 | | | 37,630 | | | | 163,412 | | | | — | | | | — | | | | 201,042 | |
2023 | | | 41,176 | | | | 205,202 | | | | — | | | | — | | | | 246,378 | |
S&P 500 Index Fund |
2024 | | | 12,827 | | | | 29,336 | | | | — | | | | — | | | | 42,163 | |
2023 | | | 11,652 | | | | 66,182 | | | | — | | | | — | | | | 77,834 | |
Small Cap Fund |
2024 | | | 2,980 | | | | 18,391 | | | | — | | | | — | | | | 21,371 | |
2023 | | | 1,733 | | | | 3,109 | | | | — | | | | — | | | | 4,842 | |
Small Cap Value Fund |
2024 | | | 4,436 | | | | 6,705 | | | | — | | | | — | | | | 11,141 | |
2023 | | | 4,727 | | | | 16,880 | | | | — | | | | — | | | | 21,607 | |
Small Cap Growth Fund |
2024 | | | — | | | | — | | | | — | | | | — | | | | — | |
2023 | | | 244 | | | | — | | | | — | | | | — | | | | 244 | |
Tax-Managed Small/Mid Cap Fund |
2024 | | | 3,794 | | | | 22,023 | | | | — | | | | — | | | | 25,817 | |
2023 | | | 4,609 | | | | 3,364 | | | | — | | | | — | | | | 7,973 | |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
| | | | | | Ordinary
Income
($ Thousands) | | | Long-term
Capital Gain
($ Thousands) | | | Return of Capital
($ Thousands) | | | Tax Exempt Income
($ Thousands) | | | Total
($ Thousands) | |
Mid-Cap Fund |
2024 | | $ | 424 | | | $ | — | | | $ | — | | | $ | — | | | $ | 424 | |
2023 | | | 539 | | | | — | | | | — | | | | — | | | | 539 | |
U.S. Managed Volatility Fund |
2024 | | | 15,268 | | | | 73,422 | | | | — | | | | — | | | | 88,690 | |
2023 | | | 14,759 | | | | 71,871 | | | | — | | | | — | | | | 86,630 | |
Global Managed Volatility Fund |
2024 | | | 13,481 | | | | 29,793 | | | | — | | | | — | | | | 43,274 | |
2023 | | | 45,317 | | | | 39,570 | | | | — | | | | — | | | | 84,887 | |
Tax-Managed Managed Volatility Fund |
2024 | | | 7,491 | | | | 101,970 | | | | — | | | | — | | | | 109,461 | |
2023 | | | 8,459 | | | | 48,976 | | | | — | | | | — | | | | 57,435 | |
Tax-Managed International Managed Volatility Fund |
2024 | | | 10,287 | | | | — | | | | — | | | | — | | | | 10,287 | |
2023 | | | 8,956 | | | | — | | | | — | | | | — | | | | 8,956 | |
Real Estate Fund |
2024 | | | 1,420 | | | | 377 | | | | — | | | | — | | | | 1,797 | |
2023 | | | 1,676 | | | | 2,029 | | | | — | | | | — | | | | 3,705 | |
Core Fixed Income Fund |
2024 | | | 133,960 | | | | — | | | | 6,063 | | | | — | | | | 140,023 | |
2023 | | | 120,076 | | | | — | | | | — | | | | — | | | | 120,076 | |
High Yield Bond Fund |
2024 | | | 129,498 | | | | — | | | | 18,994 | | | | — | | | | 148,492 | |
2023 | | | 181,968 | | | | — | | | | 18,207 | | | | — | | | | 200,175 | |
Conservative Income Fund |
2024 | | | 32,647 | | | | — | | | | — | | | | — | | | | 32,647 | |
2023 | | | 18,676 | | | | — | | | | — | | | | — | | | | 18,676 | |
Tax-Free Conservative Income Fund |
2024 | | | 78 | | | | — | | | | — | | | | 5,605 | | | | 5,683 | |
2023 | | | — | | | | — | | | | — | | | | 4,638 | | | | 4,638 | |
Real Return Fund |
2024 | | | 11,327 | | | | — | | | | — | | | | — | | | | 11,327 | |
2023 | | | 11,708 | | | | — | | | | — | | | | — | | | | 11,708 | |
Dynamic Asset Allocation Fund |
2024 | | | — | | | | 63,790 | | | | — | | | | — | | | | 63,790 | |
2023 | | | 21,823 | | | | 62,019 | | | | — | | | | — | | | | 83,842 | |
Multi-Strategy Alternative Fund |
2024 | | | 15,289 | | | | — | | | | — | | | | — | | | | 15,289 | |
2023 | | | 8,411 | | | | — | | | | — | | | | — | | | | 8,411 | |
Liquid Alternative Fund |
2024 | | | 311 | | | | 80 | | | | — | | | | — | | | | 391 | |
2023 | | | — | | | | — | | | | — | | | | — | | | | — | |
Multi-Asset Accumulation Fund |
2024 | | | 21,478 | | | | — | | | | 17,110 | | | | — | | | | 38,588 | |
2023 | | | 190,323 | | | | — | | | | — | | | | — | | | | 190,323 | |
Multi-Asset Income Fund |
2024 | | | 39,669 | | | | — | | | | — | | | | — | | | | 39,669 | |
2023 | | | 49,211 | | | | — | | | | — | | | | — | | | | 49,211 | |
Multi-Asset Inflation Managed Fund |
2024 | | | 23,993 | | | | — | | | | — | | | | — | | | | 23,993 | |
2023 | | | 88,501 | | | | — | | | | — | | | | — | | | | 88,501 | |
Multi-Asset Capital Stability Fund |
2024 | | | 22,160 | | | | — | | | | — | | | | — | | | | 22,160 | |
2023 | | | 12,008 | | | | — | | | | — | | | | — | | | | 12,008 | |
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
As of September 30, 2024, the components of Distributable Earnings/(Accumulated Losses) were as follows:
| | | Undistributed
Ordinary
Income
($ Thousands) | | | Undistributed
Long-Term
Capital Gain
($ Thousands) | | | Undistributed
Tax-Exempt
Income
($ Thousands) | | | Capital
Loss
Carryforwards
($ Thousands) | | | Post-
October
Losses
($ Thousands) | | | Late Year
Ordinary
Losses
($ Thousands) | | | Unrealized
Appreciation
(Depreciation)
($ Thousands) | | | Other
Temporary
Differences
($ Thousands) | | | Total
Distributable
Earnings
(Accumulated
Losses)
($ Thousands) | |
Large Cap Fund | | $ | 17,126 | | | $ | 203,987 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 725,318 | | | $ | — | | | $ | 946,431 | |
Large Cap Value Fund | | | 15,731 | | | | 68,707 | | | | — | | | | — | | | | — | | | | — | | | | 451,388 | | | | (3 | ) | | | 535,823 | |
Large Cap Growth Fund | | | 50,734 | | | | 213,785 | | | | — | | | | — | | | | — | | | | — | | | | 801,066 | | | | 1 | | | | 1,065,586 | |
Large Cap Index Fund | | | 3,080 | | | | 27,092 | | | | — | | | | — | | | | — | | | | — | | | | 577,312 | | | | (1 | ) | | | 607,483 | |
Tax-Managed Large Cap Fund | | | 8,097 | | | | 306,695 | | | | — | | | | — | | | | — | | | | — | | | | 3,021,615 | | | | 9 | | | | 3,336,416 | |
S&P 500 Index Fund | | | 5,297 | | | | 97,443 | | | | — | | | | — | | | | — | | | | — | | | | 793,887 | | | | (4 | ) | | | 896,623 | |
Small Cap Fund | | | 12,400 | | | | 38,961 | | | | — | | | | — | | | | — | | | | — | | | | 124,788 | | | | 1 | | | | 176,150 | |
Small Cap Value Fund | | | 1,620 | | | | 38,652 | | | | — | | | | — | | | | — | | | | — | | | | 76,990 | | | | (2 | ) | | | 117,260 | |
Small Cap Growth Fund | | | 39 | | | | 9,485 | | | | — | | | | — | | | | — | | | | — | | | | 69,118 | | | | 4 | | | | 78,646 | |
Tax-Managed Small/Mid Cap Fund | | | 699 | | | | 89,064 | | | | — | | | | — | | | | — | | | | — | | | | 397,468 | | | | (1 | ) | | | 487,230 | |
Mid-Cap Fund | | | 249 | | | | 3,394 | | | | — | | | | — | | | | — | | | | — | | | | 15,772 | | | | (3 | ) | | | 19,412 | |
U.S. Managed Volatility Fund | | | 17,254 | | | | 58,669 | | | | — | | | | — | | | | — | | | | — | | | | 129,326 | | | | 3 | | | | 205,252 | |
Global Managed Volatility Fund | | | 11,160 | | | | 34,323 | | | | — | | | | — | | | | — | | | | — | | | | 118,683 | | | | 735 | | | | 164,901 | |
Tax-Managed Managed Volatility Fund | | | 1,715 | | | | 117,351 | | | | — | | | | — | | | | — | | | | — | | | | 505,131 | | | | — | | | | 624,197 | |
Tax-Managed International Managed Volatility Fund | | | 10,067 | | | | — | | | | — | | | | (49,046 | ) | | | — | | | | — | | | | 86,278 | | | | — | | | | 47,299 | |
Real Estate Fund | | | — | | | | 2,051 | | | | — | | | | — | | | | — | | | | — | | | | 24,413 | | | | — | | | | 26,464 | |
Core Fixed Income Fund | | | — | | | | — | | | | — | | | | (526,859 | ) | | | — | | | | — | | | | (74,801 | ) | | | (26,253 | ) | | | (627,913 | ) |
High Yield Bond Fund | | | — | | | | — | | | | — | | | | (258,596 | ) | | | — | | | | — | | | | (211,973 | ) | | | (8,044 | ) | | | (478,613 | ) |
Conservative Income Fund | | | 548 | | | | — | | | | — | | | | (1 | ) | | | — | | | | — | | | | 409 | | | | (517 | ) | | | 439 | |
Tax-Free Conservative Income Fund | | | — | | | | — | | | | 177 | | | | (8 | ) | | | — | | | | — | | | | 90 | | | | (139 | ) | | | 120 | |
Real Return Fund | | | 3,093 | | | | — | | | | — | | | | (11,037 | ) | | | — | | | | — | | | | 435 | | | | (4,326 | ) | | | (11,835 | ) |
Dynamic Asset Allocation Fund | | | 22,495 | | | | 50,156 | | | | — | | | | — | | | | — | | | | — | | | | 400,301 | | | | (112 | ) | | | 472,840 | |
Multi-Strategy Alternative Fund | | | 10,550 | | | | — | | | | — | | | | (11,569 | ) | | | — | | | | — | | | | (5,625 | ) | | | (113 | ) | | | (6,757 | ) |
Liquid Alternative Fund | | | 6,462 | | | | 2,865 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1 | | | | 9,328 | |
Multi-Asset Accumulation Fund | | | — | | | | — | | | | — | | | | (456,341 | ) | | | — | | | | — | | | | (278,157 | ) | | | (13,034 | ) | | | (747,532 | ) |
Multi-Asset Income Fund | | | 3,495 | | | | — | | | | — | | | | (56,757 | ) | | | — | | | | — | | | | 2,737 | | | | (2,648 | ) | | | (53,173 | ) |
Multi-Asset Inflation Managed Fund | | | 17,169 | | | | — | | | | — | | | | (101,059 | ) | | | — | | | | — | | | | (83,267 | ) | | | 94 | | | | (167,063 | ) |
Multi-Asset Capital Stability Fund | | | 17,085 | | | | 11,029 | | | | — | | | | — | | | | — | | | | — | | | | 3,988 | | | | (3,301 | ) | | | 28,801 | |
Post October losses represent losses realized on investment transactions from November 1, 2023 through September 30, 2024, that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year. Deferred Late-Year Losses represent ordinary losses realized on investment transactions from January 1, 2024 through September 30, 2024, and specified losses realized on investment transactions from November 1, 2023 through September 30, 2024, that, in accordance with Federal income tax regulations, the Fund defers and treats 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. Losses carried forward are as follows:
| | | Short-Term
Loss
($ Thousands) | | | Long-Term
Loss
($ Thousands) | | | Total
($ Thousands) | |
Tax-Managed International Managed Volatility Fund | | $ | 49,046 | | | $ | – | | | $ | 49,046 | |
Core Fixed Income Fund | | | 180,223 | | | | 346,636 | | | | 526,859 | |
High Yield Bond Fund | | | 23,527 | | | | 235,069 | | | | 258,596 | |
Conservative Income Fund | | | 1 | | | | – | | | | 1 | |
Tax-Free Conservative Income Fund | | | 8 | | | | – | | | | 8 | |
Real Return Fund | | | 4,225 | | | | 6,812 | | | | 11,037 | |
Multi-Strategy Alternative Fund | | | 2,717 | | | | 8,852 | | | | 11,569 | |
Multi-Asset Accumulation Fund | | | 258,261 | | | | 198,080 | | | | 456,341 | |
Multi-Asset Income Fund | | | 20,676 | | | | 36,081 | | | | 56,757 | |
Multi-Asset Inflation Managed Fund | | | 101,059 | | | | – | | | | 101,059 | |
During the year ended September 30, 2024, the following Funds utilized capital loss carryforwards to offset capital gains amounting to:
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Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
| | | Short-Term
Loss
($ Thousands) | | | Long-Term
Loss
($ Thousands) | | | Total
($ Thousands) | |
Large Cap Index | | $ | 5,093 | | | $ | 3,951 | | | $ | 9,044 | |
Small Cap Growth Fund | | | 26,652 | | | | – | | | | 26,652 | |
Mid-Cap Fund | | | 1,806 | | | | – | | | | 1,806 | |
Tax-Managed International Managed Volatility Fund | | | 3,433 | | | | – | | | | 3,433 | |
Multi-Strategy Alternative Fund | | | 4,033 | | | | – | | | | 4,033 | |
Multi-Asset Accumulation Fund | | | 51,816 | | | | 23,181 | | | | 74,997 | |
Multi-Asset Inflation Managed Fund | | | 2,321 | | | | – | | | | 2,321 | |
Multi-Asset Capital Stability Fund | | | 11,643 | | | | 11,788 | | | | 23,431 | |
For Federal income tax purposes, the cost of investments owned at September 30, 2024, and the net realized gains or losses on investments sold for the period, were different from amounts reported for financial reporting purposes primarily due to investments in partnerships that captures losses from other securities, and 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 total investments held by the Funds at September 30, 2024, were as follows:
| | | Federal Tax Cost
($ Thousands) | | | Appreciated
Securities
($ Thousands) | | | Depreciated
Securities
($ Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
($ Thousands) | |
Large Cap Fund | | $ | 923,826 | | | $ | 755,990 | | | $ | (30,672 | ) | | $ | 725,318 | |
Large Cap Value Fund | | | 913,822 | | | | 494,843 | | | | (43,455 | ) | | | 451,388 | |
Large Cap Growth Fund | | | 739,210 | | | | 809,205 | | | | (8,139 | ) | | | 801,066 | |
Large Cap Index Fund | | | 605,533 | | | | 617,447 | | | | (40,135 | ) | | | 577,312 | |
Tax-Managed Large Cap Fund | | | 1,432,910 | | | | 3,040,526 | | | | (18,911 | ) | | | 3,021,615 | |
S&P 500 Index Fund | | | 234,207 | | | | 805,191 | | | | (11,304 | ) | | | 793,887 | |
Small Cap Fund | | | 476,293 | | | | 153,661 | | | | (28,873 | ) | | | 124,788 | |
Small Cap Value Fund | | | 290,183 | | | | 99,194 | | | | (22,203 | ) | | | 76,991 | |
Small Cap Growth Fund | | | 294,832 | | | | 78,704 | | | | (9,586 | ) | | | 69,118 | |
Tax-Managed Small/Mid Cap Fund | | | 489,427 | | | | 402,456 | | | | (4,988 | ) | | | 397,468 | |
Mid-Cap Fund | | | 68,251 | | | | 18,267 | | | | (2,495 | ) | | | 15,772 | |
U.S. Managed Volatility Fund | | | 518,464 | | | | 140,816 | | | | (11,490 | ) | | | 129,326 | |
Global Managed Volatility Fund | | | 718,489 | | | | 132,632 | | | | (13,949 | ) | | | 118,683 | |
Tax-Managed Managed Volatility Fund | | | 340,806 | | | | 506,107 | | | | (976 | ) | | | 505,131 | |
Tax-Managed International Managed Volatility Fund | | | 214,440 | | | | 86,847 | | | | (569 | ) | | | 86,278 | |
Real Estate Fund | | | 53,524 | | | | 26,629 | | | | (2,216 | ) | | | 24,413 | |
Core Fixed Income Fund | | | 3,877,895 | | | | 44,889 | | | | (119,690 | ) | | | (74,801 | ) |
High Yield Bond Fund | | | 1,377,866 | | | | 97,651 | | | | (309,624 | ) | | | (211,973 | ) |
Conservative Income Fund | | | 719,848 | | | | 443 | | | | (34 | ) | | | 409 | |
Tax-Free Conservative Income Fund | | | 194,053 | | | | 98 | | | | (8 | ) | | | 90 | |
Real Return Fund | | $ | 382,470 | | | $ | 2,988 | | | $ | (2,553 | ) | | $ | 435 | |
Dynamic Asset Allocation Fund | | | 255,214 | | | | 435,605 | | | | (35,304 | ) | | | 400,301 | |
| | | Federal Tax Cost
($ Thousands) | | | Appreciated
Securities
($ Thousands) | | | Depreciated
Securities
($ Thousands) | | | Net Unrealized
Appreciation
(Depreciation)
($ Thousands) | |
Multi-Strategy Alternative Fund | | | 246,513 | | | | 11,044 | | | | (16,669 | ) | | | (5,625 | ) |
Liquid Alternative Fund | | | — | | | | — | | | | — | | | | — | |
Multi-Asset Accumulation Fund | | | 969,981 | | | | 5,651 | | | | (283,808 | ) | | | (278,157 | ) |
Multi-Asset Income Fund | | | 529,206 | | | | 28,833 | | | | (26,096 | ) | | | 2,737 | |
Multi-Asset Inflation Managed Fund | | | 574,150 | | | | 96,036 | | | | (179,303 | ) | | | (83,267 | ) |
Multi-Asset Capital Stability Fund | | | 488,325 | | | | 4,306 | | | | (318 | ) | | | 3,988 | |
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of September 30, 2024, 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.
10. CONCENTRATION/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 and, therefore, cannot be estimated; however, Management believes that, based on experience, the risk of loss from such claims is considered remote.
To the extent consistent with its investment strategy a Fund may have one or more of the following principle risks. A more complete description of principal risks is included in each Fund's prospectus under the heading "Principal Risks."
Arbitrage Strategies Risk — Arbitrage strategies involve engaging in transactions that attempt to exploit price differences of identical, related or similar securities on different markets or in different forms. The Fund may realize losses or a reduced rate of return if underlying relationships among securities in which it takes investment positions change in an adverse manner or if a transaction is unexpectedly terminated or delayed. Trading to seek short-term capital appreciation can be expected to cause the Fund’s portfolio turnover rate to be substantially higher than that of the average equity-oriented investment company.
Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities. Securitization trusts generally do not have any assets or sources of funds other than the receivables and
SEI Institutional Managed Trust
related property they own, and asset-backed securities are generally not insured or guaranteed by the related sponsor or any other entity. Asset-backed securities may be more illiquid than more conventional types of fixed income securities that the Fund may acquire.
Bank Loans Risk — With respect to bank loans, the Fund will assume the credit risk of both the borrower and the lender that is selling the participation in the loan. The Fund may also have difficulty disposing of bank loans because, in certain cases, the market for such instruments is not highly liquid.
Below Investment Grade Securities (Junk Bonds) Risk — Fixed income securities rated below investment grade ( junk bonds) involve greater risks of default or downgrade and are generally more volatile than investment grade securities because the prospect for repayment of principal and interest of many of these securities is speculative. Because these securities typically offer a higher rate of return to compensate investors for these risks, they are sometimes referred to as “high yield bonds,” but there is no guarantee that an investment in these securities will result in a high rate of return.
Call Risk — Issuers of callable bonds may call (redeem) securities with higher coupons or interest rates before their maturity dates. The Fund may be forced to reinvest the unanticipated proceeds at lower interest rates, resulting in a decline in the Fund’s income. Bonds may be called due to falling interest rates or non-economical circumstances.
Collateralized Debt Obligations (CDOs) and Collateralized Loan Obligations (CLOs) Risk — CDOs and CLOs are securities backed by an underlying portfolio of debt and loan obligations, respectively. CDOs and CLOs issue classes or “tranches” that vary in risk and yield and may experience substantial losses due to actual defaults, decrease in market value due to collateral defaults and removal of subordinate tranches, market anticipation of defaults and investor aversion to CDO and CLO securities as a class. The risks of investing in CDOs and CLOs depend largely on the tranche invested in and the type of the underlying debts and loans in the tranche of the CDO or CLO, respectively, in which the Fund invests. CDOs and CLOs also carry risks including, but not limited to, interest rate risk and credit risk, which are described below. For example, a liquidity crisis in the global credit markets could cause substantial fluctuations in prices for leveraged loans and high-yield debt securities and limited liquidity for such instruments. When the Fund invests in CDOs or CLOs, in addition to directly bearing the expenses associated with its own operations, it may bear a pro rata portion of the CDO’s or CLO’s expenses.
Commercial Paper Risk — Commercial paper is a short-term obligation with a maturity generally ranging from one
to 270 days and is issued by U.S. or foreign companies or other entities in order to finance their current operations. Such investments are unsecured and usually discounted from their value at maturity. The value of commercial paper may be affected by changes in the credit rating or financial condition of the issuing entities and will tend to fall when interest rates rise and rise when interest rates fall. Asset-backed commercial paper may be issued by structured investment vehicles or other conduits that are organized to issue the commercial paper and to purchase trade receivables or other financial assets. The repayment of asset-backed commercial paper depends primarily on the cash collections received from such issuer’s underlying asset portfolio and the issuer’s ability to issue new asset-backed commercial paper.
Commodity Investments and Derivatives Risk — Commodity investments and derivatives may be more volatile and less liquid than direct investments in the underlying commodities themselves. Commodity related equity returns can also be affected by the issuer’s financial structure or the performance of unrelated businesses. The value of a commodity investment or a derivative investment in commodities is typically based upon the price movements of a physical commodity, a commodity futures contract or commodity index or some other readily measurable economic variable that is dependent upon changes in the value of commodities or the commodities markets. The value of these securities will rise or fall in response to changes in the underlying commodity or related benchmark or investment, changes in interest rates or factors affecting a particular industry or commodity, such as natural disasters, weather and U.S. and international economic, political and regulatory developments.
Commodity-Linked Securities Risk — Investments in commodity-linked securities may be more volatile and less liquid than direct investments in the underlying commodities themselves. Commodity-related equity returns can also be affected by the issuer’s financial structure or the performance of unrelated businesses.
Concentration Risk — A downturn in the financial services industry would impact the Fund more than a portfolio that does not concentrate in securities issued by companies in the financial services industry.
Convertible and Preferred Securities Risk — Convertible and preferred securities have many of the same characteristics as stocks, including many of the same risks. In addition, convertible securities may be more sensitive to changes in interest rates than stocks. Convertible securities may also have credit ratings below investment grade, meaning that they carry a higher risk of
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
failure by the issuer to pay principal and/or interest when due.
Corporate Fixed Income Securities Risk — Corporate fixed income securities respond to economic developments, especially changes in interest rates, as well as perceptions of the creditworthiness and business prospects of individual issuers.
Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.
Currency Risk — As a result of the Fund’s investments in securities or other investments denominated in, and/or receiving revenues in, foreign currencies, the Fund will be subject to currency risk. Currency risk is the risk that foreign currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency hedged. In either event, the dollar value of an investment in the Fund would be adversely affected. Due to the Fund’s investments in securities denominated in foreign currencies, it will be subject to the risk that currency exchange rates may fluctuate in response to, among other things, changes in interest rates, intervention (or failure to intervene) by U.S. or foreign governments, central banks or supranational entities, or by the imposition of currency controls or other political developments in the United States or abroad.
Current Market Conditions Risk —Current market conditions risk is the risk that a particular investment, or shares of the Funds in general, may fall in value due to current market conditions. As a means to fight inflation, which remains at elevated levels, the Federal Reserve and certain foreign central banks have raised interest rates and expect to continue to do so, and the Federal Reserve has announced that it intends to reverse previously implemented quantitative easing. U.S. regulators have proposed several changes to market and issuer regulations that could directly impact the Funds, and any regulatory changes could adversely impact the Funds' ability to achieve its investment strategies or make certain investments. Recent and potential future bank failures could result in disruption to the broader banking industry or markets generally and reduce confidence in financial institutions and the economy as a whole, which may also heighten market volatility and reduce liquidity. The ongoing adversarial political climate in the United States, as well as political and diplomatic events both domestic and abroad, have and may continue to have an adverse impact the U.S. regulatory landscape, markets and investor behavior, which could have a negative impact on the Fund’s investments and operations. Other unexpected political, regulatory and diplomatic events within the U.S. and abroad may affect investor and
consumer confidence and may adversely impact financial markets and the broader economy. The economies of the United States and its trading partners, as well as the financial markets generally, may be adversely impacted by trade disputes and other matters. If geopolitical conflicts develop or worsen, economies, markets and individual securities may be adversely affected, and the value of the Funds' assets may go down. The COVID-19 global pandemic, or any future public health crisis, and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets, negatively impacting global growth prospects. Advancements in technology may also adversely impact markets and the overall performance of the Funds.
Depositary Receipts Risk — Depositary receipts, such as ADRs, are certificates evidencing ownership of shares of a foreign issuer that are issued by depositary banks and generally trade on an established market. Depositary receipts are subject to many of the risks associated with investing directly in foreign securities, including, among other things, political, social and economic developments abroad, currency movements and different legal, regulatory, tax, accounting and audit environments.
Derivatives Risk — The Fund’s use of futures contracts, forward contracts, options and swaps is subject to market risk, leverage risk, correlation risk and liquidity risk. Market risk is described above, and leverage risk and liquidity risk are described below. Many over-the-counter (OTC) derivative instruments will not have liquidity beyond the counterparty to the instrument. Correlation risk is the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. The Fund’s use of forward contracts and swap agreements is also subject to credit risk and valuation risk. Credit risk is described above. Valuation risk is the risk that the derivative may be difficult to value and/or valued incorrectly. Each of these risks could cause the Fund to lose more than the principal amount invested in a derivative instrument. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment. The other parties to certain derivative contracts present the same types of credit risk as issuers of fixed income securities. The Fund’s use of derivatives may also increase the amount of taxes payable by shareholders. Both U.S. and non-U.S. regulators have adopted and implemented regulations governing derivatives markets, the ultimate impact of which remains unclear.
Directional or Tactical Strategies Risk — Directional or tactical strategies usually use long and short positions, which entail predicting the direction that particular securities or sectors or the overall market might move. Directional or tactical strategies may utilize leverage and
SEI Institutional Managed Trust
hedging. There may be a significant risk of loss if the Fund’s judgment is incorrect as to the direction, timing or extent of expected movements of particular securities or sectors or the market as a whole.
Distressed Securities Risk — Distressed securities frequently do not produce income while they are outstanding and may require the Fund to bear certain extraordinary expenses in order to protect and recover its investment. Distressed securities are at high risk for default.
Duration Risk — The longer-term securities in which the Fund may invest tend to be more volatile than shorter-term securities. A portfolio with a longer average portfolio duration is more sensitive to changes in interest rates than a portfolio with a shorter average portfolio duration.
Event-Driven Strategies Risk — Event-driven strategies involve making evaluations and predictions about both the likelihood that a particular event in the life of a company will occur and the impact such an event will have on the value of the company’s securities. The transaction in which such a company is involved may be unsuccessful, take considerable time (or longer than anticipated) or may result in a distribution of cash or a new security, the value of which may be less than the purchase price of the company’s security. If an anticipated transaction does not occur, the Fund may be required to sell its securities at a loss.
Exchange-Traded Funds (ETFs) Risk — The risks of owning shares of an ETF generally reflect the risks of owning the underlying securities the ETF is designed to track, although lack of liquidity in an ETF could result in its value being more volatile than the underlying portfolio securities. When the Fund invests in an ETF, in addition to directly bearing the expenses associated with its own operations, it will bear a pro rata portion of the ETF’s expenses. As a result, shareholders will be subject to two layers of fees and expenses with respect to investments in the Fund.
Exchange-Traded Notes (ETNs) Risk — The value of an ETN is subject to the credit risk of the issuer.
There may not be an active trading market available for some ETNs. Additionally, trading of ETNs may be halted or the ETN may be delisted by the listing exchange.
Extension Risk — The risk that rising interest rates may extend the duration of a fixed income security, typically reducing the security’s value.
Financial Services Industry Risk — The Conservative Income Fund’s portfolio is concentrated in investments in securities issued by companies in the financial services industry. The financial services industry is subject to extensive government regulation. Profitability is largely dependent on the availability and cost of capital, and
can fluctuate significantly when interest rates change. Financial services companies are highly dependent on short-term interest rates and typically will be adversely affected by economic downturns or changes in banking regulations.
Foreign Investment/Emerging Markets Risk — The risk that non-U.S. securities may be subject to additional risks due to, among other things, political, social and economic developments abroad, currency movements and different legal, regulatory, tax, accounting and audit environments. These additional risks may be heightened with respect to emerging market countries because political turmoil and rapid changes in economic conditions are more likely to occur in these countries. Investments in emerging markets are subject to the added risk that information in emerging market investments may be unreliable or outdated due to differences in regulatory, accounting or auditing and financial record keeping standards, or because less information about emerging market investments is publicly available. In addition, the rights and remedies associated with emerging market investments may be different than investments in developed markets. A lack of reliable information, rights and remedies increase the risks of investing in emerging markets in comparison to more developed markets. In addition, periodic U.S. Government restrictions on investments in issuers from certain foreign countries may require the Fund to sell such investments at inopportune times, which could result in losses to the Fund.
Foreign Sovereign Debt Securities Risk — The risks that: (i) the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or interest when it becomes due because of factors such as debt service burden, political constraints, cash flow problems and other national economic factors; (ii) governments may default on their debt securities, which may require holders of such securities to participate in debt rescheduling or additional lending to defaulting governments; and (iii) there is no bankruptcy proceeding by which defaulted sovereign debt may be collected in whole or in part.
Income Risk — An investment in the Fund is subject to income risk, which is the possibility that the Fund’s yield will decline due to falling interest rates.
Inflation Protected Securities Risk — The value of inflation protected securities, including TIPS, generally will fluctuate in response to changes in “real” interest rates, generally decreasing when real interest rates rise and increasing when real interest rates fall. Real interest rates represent nominal (or stated) interest rates reduced by the expected impact of inflation. In addition, interest
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Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
payments on inflation indexed securities will generally vary up or down along with the rate of inflation.
Interest Rate Risk — The risk that a change in interest rates will cause a fall in the value of fixed income securities, including U.S. Government securities, in which the Fund invests. Generally, the value of the Fund’s fixed income securities will vary inversely with the direction of prevailing interest rates. Changing interest rates may have unpredictable effects on the markets and may affect the value and liquidity of instruments held by the Fund. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates.
Investment Company and Exchange-Traded Funds (ETFs) Risk — When the Fund invests in an investment company, in addition to directly bearing the expenses associated with its own operations, it will bear a pro rata portion of the investment company’s expenses. In addition, while the risks of owning shares of an investment company generally reflect the risks of owning the underlying investments of the investment company, the Fund may be subject to additional or different risks than if the Fund had invested directly in the underlying investments. For example, the lack of liquidity in an ETF could result in its value being more volatile than the underlying portfolio securities. Closed-end investment companies issue a fixed number of shares that trade on a stock exchange or over-the-counter at a premium or a discount to their net asset value. As a result, a closed-end fund’s share price fluctuates based on what another investor is willing to pay rather than on the market value of the securities in the fund.
Investment in the Subsidiary Risk — A Subsidiary is not registered under the Investment Company Act of 1940 (the 1940 Act) and, unless otherwise noted, is not subject to all of the investor protections of the 1940 Act. Thus, the Fund, as an investor in a Subsidiary, will not have all of the protections offered to investors in registered investment companies. In addition, changes in the laws of the United States and/or the Cayman Islands, under which the Fund and a Subsidiary, respectively, are organized, could result in the inability of the Fund and/or a Subsidiary to operate as intended and could negatively affect the Fund and its shareholders.
Investment Style Risk — The risk that large capitalization securities may underperform other segments of the equity markets or the equity markets as a whole.
Large Capitalization Risk — The risk that larger, more established companies may be unable to respond quickly to new competitive challenges such as changes in technology and consumer tastes. Larger companies
also may not be able to attain the high growth rates of successful smaller companies.
Leverage Risk — The Fund’s use of derivatives may result in the Fund’s total investment exposure substantially exceeding the value of its portfolio securities and the Fund’s investment returns depending substantially on the performance of securities that the Fund may not directly own. The use of leverage can amplify the effects of market volatility on the Fund’s share price and may also cause the Fund to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations. The Fund’s use of leverage may result in a heightened risk of investment loss.
Liquidity Risk — The risk that certain securities may be difficult or impossible to sell at the time and the price that the Fund would like. The Fund may have to lower the price of the security, sell other securities instead or forego an investment opportunity, any of which could have a negative effect on Fund management or performance.
Market Risk — The risk that the market value of a security may move up and down, sometimes rapidly and unpredictably. Market risk may affect a single issuer, an industry, a sector or the equity or bond market as a whole. Equity markets may decline significantly in response to adverse issuer, political, regulatory, market, economic or other developments that may cause broad changes in market value, public perceptions concerning these developments, and adverse investor sentiment or publicity. Similarly, environmental and public health risks, such as natural disasters, epidemics, pandemics or widespread fear that such events may occur, may impact markets adversely and cause market volatility in both the short- and long-term. The prices of the Fund’s fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if interest rates rise and vice versa. In a low interest rate environment, risks associated with rising rates are heightened. Declines in dealer market-making capacity as a result of structural or regulatory changes could decrease liquidity and/or increase volatility in the fixed income markets. Markets for fixed income securities may decline significantly in response to adverse issuer, political, regulatory, market, economic or other developments that may cause broad changes in market value, public perceptions concerning these developments, and adverse investor sentiment or publicity. Similarly, environmental and public health risks, such as natural disasters, epidemics, pandemics or widespread fear that such events may occur, may impact markets adversely and cause market volatility in both
SEI Institutional Managed Trust
the short- and long-term. In response to these events, the Fund’s value may fluctuate and/or the Fund may experience increased redemptions from shareholders, which may impact the Fund’s liquidity or force the Fund to sell securities into a declining or illiquid market.
Master Limited Partnership (MLP) Risk — Investments in units of MLPs involve risks that differ from an investment in common stock. Holders of the units of MLPs have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of MLPs. In addition, conflicts of interest may exist between common unit holders, subordinated unit holders and the general partner of an MLP, including a conflict arising as a result of incentive distribution payments. The benefit the Fund derives from investment in MLP units is largely dependent on the MLPs being treated as partnerships and not as corporations for federal income tax purposes. If an MLP were classified as a corporation for federal income tax purposes, there would be a reduction in the after-tax return to the Fund of distributions from the MLP, likely causing a reduction in the value of the Fund’s shares. MLP entities are typically focused in the energy, natural resources and real estate sectors of the economy. A downturn in the energy, natural resources or real estate sectors of the economy could have an adverse impact on the Fund. At times, the performance of securities of companies in the energy, natural resources and real estate sectors of the economy may lag the performance of other sectors or the broader market as a whole. The Internal Revenue Code of 1986, as amended, provides that the Fund is permitted to invest up to 25% of its assets in one or more qualified publicly traded partnerships (QPTPs), which will include certain MLPs, and treat the income allocated by such QPTPs as qualifying income for purposes of the regulated investment company annual qualifying income requirements described in “Taxes” below.
Mortgage Dollar Rolls Risk — Mortgage dollar rolls are transactions in which the Fund sells securities (usually mortgage-backed securities) and simultaneously contracts to repurchase substantially similar, but not identical, securities on a specified future date. If the broker-dealer to whom the Fund sells the security becomes insolvent, the Fund’s right to repurchase the security may be restricted. Other risks involved in entering into mortgage dollar rolls include the risk that the value of the security may change adversely over the term of the mortgage dollar roll and that the security the Fund is required to repurchase may be worth less than the security that the Fund originally held.
Mortgage-Backed Securities Risk — Mortgage-backed securities are affected significantly by the rate of prepayments and modifications of the mortgage loans
backing those securities, as well as by other factors such as borrower defaults, delinquencies, realized or liquidation losses and other shortfalls. Mortgage backed securities are particularly sensitive to prepayment risk, which is described below, given that the term to maturity for mortgage loans is generally substantially longer than the expected lives of those securities; however, the timing and amount of prepayments cannot be accurately predicted. The timing of changes in the rate of prepayments of the mortgage loans may significantly affect the Fund’s actual yield to maturity on any mortgage-backed securities, even if the average rate of principal payments is consistent with the Fund’s expectation. Along with prepayment risk, mortgage-backed securities are significantly affected by interest rate risk, which is described above. In a low interest rate environment, mortgage loan prepayments would generally be expected to increase due to factors such as refinancings and loan modifications at lower interest rates. In contrast, if prevailing interest rates rise, prepayments of mortgage loans would generally be expected to decline and therefore extend the weighted average lives of mortgage-backed securities held or acquired by the Fund.
Municipal Securities Risk — Municipal securities, like other fixed income securities, rise and fall in value in response to economic and market factors, primarily changes in interest rates, and actual or perceived credit quality. Rising interest rates will generally cause municipal securities to decline in value. Longer term securities usually respond more sharply to interest rate changes than do shorter-term securities. A municipal security will also lose value if, due to rating downgrades or other factors, there are concerns about the issuer’s current or future ability to make principal or interest payments. State and local governments rely on taxes and, to some extent, revenues from private projects financed by municipal securities, to pay interest and principal on municipal debt. Poor statewide or local economic results or changing political sentiments may reduce tax revenues and increase the expenses of municipal issuers, making it more difficult for them to meet their obligations. Actual or perceived erosion of the creditworthiness of municipal issuers may reduce the value of the Fund’s holdings. As a result, the Fund will be more susceptible to factors that adversely affect issuers of municipal obligations than a mutual fund that does not have as great a concentration in municipal obligations. Municipal obligations may be underwritten or guaranteed by a relatively small number of financial services firms, so changes in the municipal securities market that affect those firms may decrease the availability of municipal instruments in the market, thereby making it difficult for the Sub-Adviser to identify and obtain appropriate investments for the
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Continued)
September 30, 2024
Fund’s portfolio. Also, there may be economic or political changes that impact the ability of issuers of municipal securities to repay principal and to make interest payments on securities owned by the Fund. Any changes in the financial condition of municipal issuers may also adversely affect the value of the Fund’s securities.
Non-Diversified Risk — The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds are non-diversified, which means that they may invest in the securities of relatively few issuers. As a result, these Funds may be more susceptible to a single adverse economic or political occurrence affecting one or more of these issuers and may experience increased volatility due to its investments in those securities. However, the Funds intend to satisfy the asset diversification requirements under the Code for classification as a RIC.
Opportunity Risk — The risk of missing out on an investment opportunity because the assets necessary to take advantage of it are tied up in other investments.
Portfolio Turnover Risk — Due to its investment strategy, the Fund may buy and sell securities frequently. This may result in higher transaction costs and taxes subject to ordinary income tax rates as opposed to more favorable capital gains rates, which may affect the Fund’s performance.
Prepayment Risk — The risk that, in a declining interest rate environment, fixed income securities with stated interest rates may have the principal paid earlier than expected, requiring the Fund to invest the proceeds at generally lower interest rates.
Private Placements Risk — Investment in privately placed securities may be less liquid than in publicly traded securities. Although these securities may be resold in privately negotiated transactions, the prices realized from these sales could be less than those originally paid by the Fund or less than what may be considered the fair value of such securities. Further, companies whose securities are not publicly traded may not be subject to the disclosure and other investor protection requirements that might be applicable if their securities were publicly traded.
Real Estate Industry Risk — Securities of companies principally engaged in the real estate industry may be subject to the risks associated with the direct ownership of real estate. Risks commonly associated with the direct ownership of real estate include fluctuations in the value of underlying properties, defaults by borrowers or tenants, changes in interest rates and risks related to general or local economic conditions. The Fund’s investments are concentrated in issuers conducting business in the real estate industry, and therefore the Fund is subject to risks associated with legislative or
regulatory changes, adverse market conditions and/or increased competition affecting that industry.
Real Estate Investment Trusts (REITs) Risk — REITs are trusts that invest primarily in commercial real estate or real estate-related loans. The Fund’s investments in REITs will be subject to the risks associated with the direct ownership of real estate. Risks commonly associated with the direct ownership of real estate include fluctuations in the value of underlying properties, defaults by borrowers or tenants, changes in interest rates and risks related to general or local economic conditions. Some REITs may have limited diversification and may be subject to risks inherent in financing a limited number of properties.
Repurchase Agreement Risk — Although repurchase agreement transactions must be fully collateralized at all times, they generally create leverage and involve some counterparty risk to the Fund whereby a defaulting counterparty could delay or prevent the Fund’s recovery of collateral.
Short Sales Risk — A short sale involves the sale of a security that the Fund does not own in the expectation of purchasing the same security (or a security exchangeable therefore) at a later date at a lower price. Short sales expose the Fund to the risk that it will be required to buy the security sold short (also known as “covering” the short position) at a time when the security has appreciated in value, thus resulting in a loss to the Fund. Investment in short sales may also cause the Fund to incur expenses related to borrowing securities. Reinvesting proceeds received from short selling may create leverage, which can amplify the effects of market volatility on the Fund’s share price. In addition, shorting a future contract may require posting only a margin that may amount to less than the notional exposure of the contract. Such a practice may exacerbate the loss in a case of adverse price action.
Small and Medium Capitalization Companies Risk — The risk that small and medium capitalization companies in which the Fund may invest may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, small and medium capitalization companies may have limited product lines, markets and financial resources and may depend upon a relatively small management group. Therefore, small capitalization and medium capitalization stocks may be more volatile than those of larger companies. Small capitalization and medium capitalization stocks may be traded over-the-counter or listed on an exchange.
Tax Risk — The Fund may gain most of its exposure to the commodities markets through its investment in a Subsidiary, which invests in commodity investments and derivative instruments. To the extent the Fund invests in such instruments directly, it will seek to restrict its income
SEI Institutional Managed Trust
from commodity-linked derivative instruments that do not generate qualifying income, such as commodity-linked swaps, to a maximum of 10% of its gross income (when combined with its other investments that produce non-qualifying income) to comply with certain qualifying income tests necessary for the Fund to qualify as a regulated investment company (RIC) under Subchapter M of the Internal Revenue Code of 1986, as amended. The tax treatment of certain commodity-linked derivative instruments may be affected by future regulatory or legislative changes that could affect the character, timing and/or amount of the Fund’s taxable income or gains and distributions. The Fund intends to hold certain commodity-related investments indirectly through a Subsidiary. The Fund believes that income from the Subsidiary will be qualifying income because it expects that the Subsidiary will make annual distributions of its earnings and profits. The Fund intends to secure an opinion of counsel based on customary representations that actual distributions made to the Fund from its Subsidiary should be treated as “qualifying income.” If the Fund did not qualify as a RIC for any taxable year and certain relief provisions were not available, the Fund’s taxable income would be subject to tax at the Fund level and to a further tax at the shareholder level when such income is distributed. Failure to comply with the requirements for qualification as a RIC would have significant negative tax consequences to Fund shareholders.
Taxation Risk — The Fund is managed to seek to minimize tax consequences to shareholders, but there is no guarantee that the Fund will be able to operate without incurring taxable income and gains to shareholders.
Tracking Error Risk — The risk that the Fund’s performance may vary substantially from the performance of the benchmark index it tracks as a result of cash flows, Fund expenses, imperfect correlation between the Fund’s investments and the index’s components and other factors.
U.S. Government Securities Risk — Although U.S. Government securities are considered to be among the safest investments, they are still subject to the credit risk of the U.S. Government and are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. Government agencies are backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the agency’s own resources. No assurance can be given that the U.S. Government
will provide financial support to its agencies and instrumentalities if it is not obligated by law to do so.
Warrants Risk — Warrants are instruments that entitle the holder to buy an equity security at a specific price for a specific period of time. Warrants may be more speculative than other types of investments. The price of a warrant may be more volatile than the price of its underlying security, and a warrant may offer greater potential for capital appreciation as well as capital loss. A warrant ceases to have value if it is not exercised prior to its expiration date.
The foregoing is not intended to be a complete discussion of the risks associated with investing in a Fund. Please review each Fund’s current prospectus for additional disclosures regarding the principal risks associated with investing in a Fund.
11. 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 Board. 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, letters of credit or U.S. Government securities. 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 restricted from recovering the loomed securities or disposing of the collateral for the loan, which could give rise to loss because at adverse market actions expenses and/ or delays in connection with the disposition of the underlying securities.
Cash collateral received in connection with securities lending is invested in eligible securities by the lending agent. There is no guarantee that these investments will not lose value.
SEI Institutional Managed Trust
Notes to Financial Statements/Notes to Consolidated Financial Statements (Concluded)
September 30, 2024
During the year ended September 30, 2024, the Funds discontinued using the Securities Lending program.
12. CONCENTRATION OF SHAREHOLDERS
SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company. As of September 30, 2024, SPTC held of record the following percentage of outstanding shares of each Fund:
Fund | | % Held | |
Large Cap Fund | | | | |
Class F | | | 96 | % |
Class Y | | | 50 | |
Large Cap Value Fund | | | | |
Class F | | | 92 | % |
Class I | | | – | |
Class Y | | | 97 | |
Large Cap Growth Fund | | | | |
Class F | | | 90 | % |
Class I | | | – | |
Class Y | | | 96 | |
Large Cap Index Fund | | | | |
Class F | | | 98 | % |
Tax-Managed Large Cap Fund | | | | |
Class F | | | 79 | % |
Class Y | | | 51 | % |
S&P 500 Index Fund | | | | |
Class F | | | 48 | % |
Class I | | | 21 | |
Small Cap Fund | | | | |
Class F | | | 97 | % |
Class Y | | | 38 | |
Small Cap Value Fund | | | | |
Class F | | | 93 | % |
Class I | | | – | |
Class Y | | | 98 | |
Small Cap Growth Fund | | | | |
Class F | | | 92 | % |
Class I | | | – | |
Class Y | | | 96 | |
Tax-Managed Small/Mid Cap Fund | | | | |
Class F | | | 88 | % |
Class Y | | | 55 | |
Mid-Cap Fund | | | | |
Class F | | | 94 | % |
Class I | | | – | |
Class Y | | | 46 | |
U.S. Managed Volatility Fund | | | | |
Class F | | | 93 | % |
Class I | | | – | |
Class Y | | | 57 | |
Global Managed Volatility Fund | | | | |
Class F | | | 97 | % |
Class I | | | – | |
Class Y | | | 57 | |
Tax-Managed Managed Volatility Fund | | | | |
Class F | | | 82 | % |
Fund | | % Held | |
Class Y | | | 70 | |
Tax-Managed International Managed Volatility Fund | | | | |
Class F | | | 95 | % |
Class Y | | | 91 | |
Real Estate Fund | | | | |
Class F | | | 94 | % |
Class I | | | – | |
Class Y | | | 55 | |
Core Fixed Income Fund | | | | |
Class F | | | 97 | % |
Class I | | | 24 | |
Class Y | | | 60 | |
High Yield Bond Fund | | | | |
Class F | | | 95 | % |
Class I | | | – | |
Class Y | | | 69 | |
Conservative Income Fund | | | | |
Class F | | | 99 | % |
Class Y | | | 46 | |
Tax-Free Conservative Income Fund | | | | |
Class F | | | 98 | % |
Class Y | | | 72 | |
Real Return Fund | | | | |
Class F | | | 97 | % |
Class Y | | | 52 | |
Dynamic Asset Allocation Fund | | | | |
Class F | | | 96 | % |
Class Y | | | 36 | |
Multi-Strategy Alternative Fund | | | | |
Class F | | | 97 | % |
Class Y | | | 82 | |
Liquid Alternative Fund | | | | |
Class F | | | 99 | % |
Class Y | | | 44 | |
Multi-Asset Accumulation Fund | | | | |
Class F | | | 97 | % |
Class Y | | | 53 | |
Multi-Asset Income Fund | | | | |
Class F | | | 97 | % |
Class Y | | | 68 | |
Multi-Asset Inflation Managed Fund | | | | |
Class F | | | 97 | % |
Class Y | | | 47 | |
Multi-Asset Capital Stability Fund | | | | |
Class F | | | 98 | % |
Class Y | | | 30 | |
SPTC is not a direct service provider to the SEI Funds. However, SPTC performs a role in the comprehensive investment solution that SEI provides to investors. SPTC holds shares in the Funds as custodian for shareholders that are clients of independent registered investment advisers, financial planners, bank trust departments and other financial advisers. SPTC maintains omnibus accounts at the Fund’s transfer agent.
SEI Institutional Managed Trust
13. IN-KIND TRANSACTIONS
During the year ended September 30, 2024, the Tax-Managed Large Cap Fund redeemed shares of beneficial interest in exchange for securities. These securities were transferred at their current value on the date of such transactions.
Tax-Managed Large Cap Fund | | Transaction Dates | | | Shares Redeemed (Thousands) | | | Securities at Value (Thousands) | | | Cash (Thousands) | | | Total Assets (Thousands) | | | Realized Gain (Thousands) | |
| | | | 4/17/2024 | | | | 29 | | | | | | | $ | 924 | | | | | | | $ | 70 | | | | | | | $ | 994 | | | $ | 922 | |
| | | | 9/25/2024 | | | | 4,933 | | | | | | | | 183,101 | | | | | | | | 6,060 | | | | | | | | 189,161 | | | | 146,611 | |
14. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through
the date the financial statements were issued. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements.
SEI Institutional Managed Trust
Report of Independent Registered Public Accounting Firm
To the Shareholders of the Funds and Board of Trustees
SEI Institutional Managed Trust:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Large Cap Index Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Tax-Managed International Managed Volatility Fund, Real Estate Fund, Core Fixed Income Fund, High Yield Bond Fund, Conservative Income Fund, Tax-Free Conservative Income Fund, Real Return Fund, Multi-Strategy Alternative Fund, Liquid Alternative Fund, Multi-Asset Income Fund, and Multi-Asset Capital Stability Fund (twenty-five of the twenty-eight funds comprising the SEI Institutional Managed Trust (the Trust)), including the schedules of investments, as of September 30, 2024, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, except for the Liquid Alternative Fund for which the periods are the year ended September 30, 2024 and for the period from June 30, 2023 (commencement of operations) to September 30, 2023, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. We have also audited the accompanying consolidated statements of assets and liabilities of the Dynamic Asset Allocation Fund, Multi-Asset Accumulation Fund, and Multi-Asset Inflation Managed Fund (three of the twenty-eight funds comprising the Trust) (the twenty-eight funds collectively, the Funds), including the consolidated schedules of investments, as of September 30, 2024, the related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, the consolidated statement of cash flows for the year then ended for the Multi-Asset Inflation Managed Fund, and the related notes (collectively, the consolidated financial statements) and consolidated financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights present fairly, in all material respects, the financial position of the Funds as of September 30, 2024, the results of their operations for the year then ended, the changes in their net assets for each of the years or periods in the two-year period then ended, the consolidated cash flows of the Multi-Asset Inflation Managed Fund for the year then ended, and the financial highlights and consolidated financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and consolidated financial statements and financial highlights and consolidated financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
SEI Institutional Managed Trust
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights. Such procedures also included confirmation of securities owned as of September 30, 2024, by correspondence with the custodians, transfer agent, agent banks, and brokers or by other appropriate auditing procedures when replies were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ KPMG LLP
We have served as the auditor of one or more SEI Funds investment companies since 2005.
Philadelphia, Pennsylvania
November 27, 2024
SEI Institutional Managed Trust
Notice to Shareholders (Unaudited)
For shareholders who do not have a September 30, 2024, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2024, taxable year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended September 30, 2024, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
| | | (A)
Return of Capital
(Tax Basis) | | | (B)
Long Term
Capital Gains
Distributions
(Tax Basis) | | | (C)
Ordinary
Income
Distributions
(Tax Basis) | | | (D)
Tax-Exempt Income Distribution
(Tax Basis) | | | Total
Distributions
(Tax Basis) | | | (E)
Dividends
Qualifying
for Corporate
Dividends Rec.
Deduction (1) | |
Large Cap Fund | | | 0.00% | | | | 80.32% | | | | 19.68% | | | | 0.00% | | | | 100.00% | | | | 90.14% | |
Large Cap Value Fund | | | 0.00% | | | | 66.51% | | | | 33.49% | | | | 0.00% | | | | 100.00% | | | | 100.00% | |
Large Cap Growth Fund | | | 0.00% | | | | 100.00% | | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Large Cap Index Fund | | | 0.00% | | | | 100.00% | | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 99.85% | |
Tax-Managed Large Cap Fund | | | 0.00% | | | | 81.28% | | | | 18.72% | | | | 0.00% | | | | 100.00% | | | | 100.00% | |
S&P 500 Index Fund | | | 0.00% | | | | 69.58% | | | | 30.42% | | | | 0.00% | | | | 100.00% | | | | 87.41% | |
Small Cap Fund | | | 0.00% | | | | 86.06% | | | | 13.94% | | | | 0.00% | | | | 100.00% | | | | 62.97% | |
Small Cap Value Fund | | | 0.00% | | | | 60.18% | | | | 39.82% | | | | 0.00% | | | | 100.00% | | | | 100.00% | |
Small Cap Growth Fund | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
Tax-Managed Small/Mid Cap Fund | | | 0.00% | | | | 85.31% | | | | 14.69% | | | | 0.00% | | | | 100.00% | | | | 100.00% | |
Mid-Cap Fund | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | | | | 100.00% | | | | 100.00% | |
U.S. Managed Volatility Fund | | | 0.00% | | | | 82.78% | | | | 17.22% | | | | 0.00% | | | | 100.00% | | | | 71.11% | |
Global Managed Volatility Fund | | | 0.00% | | | | 68.85% | | | | 31.15% | | | | 0.00% | | | | 100.00% | | | | 60.33% | |
Tax-Managed Managed Volatility Fund | | | 0.00% | | | | 93.16% | | | | 6.84% | | | | 0.00% | | | | 100.00% | | | | 100.00% | |
Tax-Managed International Managed Volatility Fund | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Real Estate Fund * | | | 0.00% | | | | 22.47% | | | | 77.53% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Core Fixed Income Fund | | | 4.40% | | | | 0.00% | | | | 95.60% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
High Yield Bond Fund | | | 14.36% | | | | 0.00% | | | | 85.64% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Conservative Income Fund | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Tax-Free Conservative Income Fund | | | 0.00% | | | | 0.00% | | | | 1.38% | | | | 98.62% | | | | 100.00% | | | | 0.00% | |
Real Return Fund | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Dynamic Asset Allocation Fund | | | 0.00% | | | | 100.00% | | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Multi-Strategy Alternative Fund | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | | | | 100.00% | | | | 1.85% | |
Liquid Alternative Fund | | | 0.00% | | | | 20.46% | | | | 79.54% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Multi-Asset Accumulation Fund | | | 44.34% | | | | 0.00% | | | | 55.66% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Multi-Asset Income Fund | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | | | | 100.00% | | | | 3.66% | |
Multi-Asset Inflation Managed Fund | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | | | | 100.00% | | | | 25.73% | |
Multi-Asset Capital Stability Fund | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | | | | 100.00% | | | | 2.35% | |
SEI Institutional Managed Trust
| | | (F) Qualifying
Dividend Income
(15% Tax Rate
for QDI) (2) | | |
U.S. Government
Interest (3)
| | | Interest
Related
Dividends (4) | | | Short-Term
Capital Gain
Dividends (5) | | | Qualifying Business Income (6) | |
Large Cap Fund | | | 94.08% | | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 3.46% | |
Large Cap Value Fund | | | 100.00% | | | | 0.00% | | | | 0.04% | | | | 100.00% | | | | 0.00% | |
Large Cap Growth Fund | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
Large Cap Index Fund | | | 100.00% | | | | 0.00% | | | | 0.06% | | | | 0.00% | | | | 0.00% | |
Tax-Managed Large Cap Fund | | | 100.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
S&P 500 Index Fund | | | 90.04% | | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 4.33% | |
Small Cap Fund | | | 66.33% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 8.63% | |
Small Cap Value Fund | | | 100.00% | | | | 0.00% | | | | 0.02% | | | | 0.00% | | | | 0.00% | |
Small Cap Growth Fund | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
Tax-Managed Small/Mid Cap Fund | | | 100.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
Mid-Cap Fund | | | 100.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
U.S. Managed Volatility Fund | | | 73.44% | | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Global Managed Volatility Fund | | | 100.00% | | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Tax-Managed Managed Volatility Fund | | | 100.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
Tax-Managed International Managed Volatility Fund | | | 82.60% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
Real Estate Fund * | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 100.00% | |
Core Fixed Income Fund | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
High Yield Bond Fund | | | 0.00% | | | | 0.00% | | | | 90.07% | | | | 0.00% | | | | 0.00% | |
Conservative Income Fund | | | 0.00% | | | | 0.68% | | | | 1.41% | | | | 100.00% | | | | 0.00% | |
Tax-Free Conservative Income Fund | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
Real Return Fund | | | 0.00% | | | | 100.00% | | | | 99.92% | | | | 0.00% | | | | 0.00% | |
Dynamic Asset Allocation Fund | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
Multi-Strategy Alternative Fund | | | 2.23% | | | | 1.27% | | | | 55.98% | | | | 0.00% | | | | 0.60% | |
Liquid Alternative Fund | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 100.00% | | | | 0.00% | |
Multi-Asset Accumulation Fund` | | | 6.08% | | | | 52.95% | | | | 100.00% | | | | 0.00% | | | | 0.01% | |
Multi-Asset Income Fund | | | 7.27% | | | | 0.79% | | | | 56.51% | | | | 0.00% | | | | 0.28% | |
Multi-Asset Inflation Managed Fund | | | 25.78% | | | | 37.94% | | | | 81.01% | | | | 0.00% | | | | 1.87% | |
Multi-Asset Capital Stability Fund | | | 3.73% | | | | 42.70% | | | | 91.49% | | | | 0.00% | | | | 0.01% | |
The Funds intend to pass through foreign tax credit to shareholders. For the fiscal year ended September 30, 2024, the amount of foreign source income and foreign tax credit are as follows ($ Thousands):
Fund | | Foreign
Source
Income | | | Foreign
Tax Credit
Pass
Through | |
Tax-Managed International Managed Volatility Fund | | $ | 9,150 | | | $ | 194 | |
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.
(2) The percentage in this column represents the amount of “Qualifying Dividend Income” is reflected as a percentage of “Ordinary Income Distributions.” It is the intention of each of the aforementioned funds to designate the maximum amount permitted by the law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2024. Complete information will be computed and reported in conjunction with your 2024 Form 1099-DIV.
(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 of the SEI Institutional Trust, 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 Dividend” is reflected as a percentage of ordinary income distribution. Interest related dividends are exempted from U.S. withholding tax when paid to foreign investors.
(5) The percentage in this column represents the amount of “Short Term Capital Gain Dividend” is reflected as a percentage of short term capital gain distribution that is exempted from U.S. withholding tax when paid to foreign investors.
(6) The percentage in this column represents the amount of ordinary dividend income that qualified for 20% Business Income Deduction.
SEI Institutional Managed Trust
Notice to Shareholders (Unaudited) (Concluded)
Items (A) and (B) are based on the percentage of each Fund’s total distribution.
Items (C), (D) and (E) are based on the percentage of ordinary income distributions of each Fund.
Item (F) is based on the percentage of gross income of each Fund.
* Data as of December 31, 2023.
Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.
SEI Institutional Managed Trust
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Form N-CSR Item 11)
SEI Institutional Managed Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”), pursuant to which SIMC provides investment advisory services to the series of the Trust (the “Funds”). Pursuant to separate sub-advisory agreements with SIMC (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (each member, a “Trustee” and, collectively, the “Trustees” or the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) provide security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to the 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 a Fund’s Investment Advisory Agreements be specifically approved by the vote of a majority of the outstanding shareholders of the Funds and 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 (or otherwise, as consistent with applicable laws, regulations and related guidance and relief) at a meeting called for such purpose. In addition, the 1940 Act requires that the continuation or renewal of any Investment Advisory Agreement be approved at least annually (after an initial period of up to two years), which also requires the vote of a majority of the Board, including a majority of the Independent Trustees. In the case of the initial approval of a Sub-Advisory Agreement, only the approval of a majority of the Board, including a majority of the Independent Trustees, is required, pursuant to an exemptive order that has been granted to the Trust by the Securities and Exchange Commission. In connection with their consideration of such initial approvals and renewals, 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 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 or renew an Investment Advisory Agreement
Consistent with these responsibilities, the Board calls and holds meetings each year to consider whether to approve new and/or renew existing 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 and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided 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 counsel regarding the responsibilities of Trustees in connection with their consideration of whether to approve or renew the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, during the course of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of the sub-advisory fees that SIMC pays the Sub-Advisers, compared with fees each charge to comparable accounts; (vi) the advisory fees charged by SIMC and the Funds’ overall fees and operating expenses compared with peer groups of mutual funds prepared by Broadridge, an independent provider of investment company data that was engaged to prepare an assessment of the Funds in connection with the renewal of the Investment Advisory Agreements (the “Broadridge Report”); (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMC’s potential economies of scale; (x) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and the Sub-Advisers’ expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance
SEI Institutional Managed Trust
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Form N-CSR Item 11) (Concluded)
over various periods of time compared with peer groups of mutual funds prepared by Broadridge and the Funds’ benchmark indexes.
At a meeting held on June 24-26, 2024, the Board approved a reduction in contractual investment advisory fees for the Tax Managed Volatility Fund and U.S. Managed Volatility Fund and a reduction in the contractual administration fees for the Tax-Managed International Managed Volatility Fund, all of, which went into effect as of September 1, 2024.
At the December 4-6, 2023 meeting of the Board, the Board approved a brief extension of the Advisory Agreement and certain Sub-Advisory Agreements to accommodate a revised Spring meeting schedule. Typically, the Trustees renew the Advisory Agreement and certain Sub-Advisory Agreements at the first quarterly in-person meeting of the calendar year in March. Agreements regularly renewed at the March meeting expire on April 1 of the following year. Because the first quarterly in-person meeting of the Board in calendar year 2024 was held on April 2-4, the Advisory Agreement and certain Sub-Advisory Agreements would have expired prior to the meeting, without the extension. Accordingly, the Board voted in-person at the December 4-6, 2023 meeting to extend the Advisory Agreement and certain Sub-Advisory Agreements until the April 2-4, 2024 meeting. In evaluating whether to approve the extension of the Advisory Agreement and certain Sub-Advisory Agreements, the Board considered the information made available to it throughout the course of the year by representatives of the SEI investment and compliance teams. At the April 2-4, 2024 meeting, the Board evaluated the Advisory Agreement and certain Sub-Advisory Agreements in accordance with the renewal process that it typically applies during the annual contract renewal each Spring. Also, certain Sub-Advisory Agreements were either initially approved or, if the Sub-Advisory Agreement was already in effect (unless operating under an initial two-year term), renewed at meetings of the Board held during the course of the Trust’s fiscal year on December 4-6, 2023, June 24-26, 2024, July 31, 2024 and September 9-11, 2024. The Board’s approvals were based on its consideration and evaluation of the factors described above, as discussed at the each meeting during the fiscal year. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Advisory Agreement and Sub-Advisory Agreements.
Nature, Extent and Quality of Services. The Board 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 each Sub-Adviser’s personnel, experience, track record and compliance program. 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 were sufficient to support the approval or renewal of the Investment Advisory Agreements. In addition to advisory services, the Board considered the nature and quality of certain administrative, transfer agency and other non-investment advisory services provided to the Funds by SIMC and/or its affiliates.
Performance. In determining whether to renew SIMC’s Advisory Agreement, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indexes/benchmarks. The Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Fund’s performance at board meetings throughout the year. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In assessing Fund performance, the Trustees considered the Broadridge Report. The Broadridge Report included metrics on risk analysis, volatility versus total return, net total return and performance consistency for the Funds (with the exception of the Liquid Alternatives Fund which only included net total return) and a universe of comparable funds. Based on the materials considered and discussed at the meetings, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied with the reasons provided to explain such performance. In connection with the approval or renewal of Sub-Advisory Agreements, the Board considered the performance of the Sub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was sufficient to support renewal of SIMC’s Advisory Agreement, and the performance of each Sub-Adviser was sufficient to support the approval or renewal of the Sub-Advisory Agreement.
Fees. 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 ratios in comparison to those of the Funds’ respective peer groups. In assessing Fund expenses, the Trustees considered the information in the Broadridge Report, which included various metrics related to fund expenses, including, but
SEI Institutional Managed Trust
not limited to, contractual management fees at various asset levels, actual management fees (including transfer agent expenses), and actual total expenses (including, solely with respect to the Multi-Strategy Alternative Fund, underlying fund expenses) for the Funds and a universe of comparable funds. Based on the materials considered and discussion at the meetings, the Trustees further determined that the fees were either shown to be below the peer average in the comparative fee analysis, or that there was a reasonable basis for the fee level. The Trustees also considered the effects of SIMC’s and its affiliates’ voluntary waivers of management and other fees to prevent total Fund operating expenses from exceeding any applicable cap and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for its distribution channels. In determining the appropriateness of fees, the Board also took into consideration the impact of fees incurred indirectly by the Funds as a result of investments into underlying funds, including funds from which SIMC or its affiliates earn fees. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements. When considering fees paid to Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported the approval or renewal of the Investment Advisory Agreements. The Board also considered whether the Sub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.
Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Advisers, the Board took into account the fact that compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. In connection with the approval or renewal of each Sub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to the Sub-Adviser have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported the approval or renewal of the Investment Advisory Agreements.
Economies of Scale. With respect to the Advisory Agreement, the Trustees considered whether any economies of scale were being realized by SIMC and its affiliates and, if so, whether the benefits of such economies of scale 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. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on a fund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC with respect to economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the approval or renewal, as applicable, 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 its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.
SEI Institutional Managed Trust
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SEI Institutional Managed Trust / Annual Financials and Other Information / September 30, 2024
Trustees
Robert A. Nesher, Chairman
William M. Doran
Nina Lesavoy
James M. Williams
Susan C. Cote
James B. Taylor
Christine Reynolds
Thomas Melendez
Officers
Robert A. Nesher
President and Chief Executive Officer
Glenn R. Kurdziel
Controller and Chief Financial Officer
Stephen Panner
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
David F. McCann
Vice President, Assistant Secretary
Katherine Mason
Vice President, Assistant Secretary
Stephen G. MacRae
Vice President
Bridget Sudall
Anti-Money Laundering Compliance Officer
Privacy 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)
1 Freedom Valley Drive
P.O. Box 1100
Oaks, Pennsylvania 19456
SEI-F-087 (9/24)
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
The remuneration paid by the company during the period covered by the report to the Trustees on the company’s Board of Trustees is disclosed as part of the financial statements included above in Item 7.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
The disclosure regarding the Approval of Advisory Agreement, if applicable, is included as part of the financial statements included above in Item 7.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees (the “Board”). The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Board. Pursuant to the Committee’s Charter, adopted on June 18, 2004, 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 16. 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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
(a) Not applicable.
(b) Not applicable.
Item 19. Exhibits.
(a)(1) Code of Ethics attached hereto.
(a)(2) Not applicable.
(a)(3) 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 Investment Company Act of 1940, are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, also accompany this filing as exhibits.
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.
| | SEI Institutional Managed Trust | |
| | | |
| By | /s/ Robert A. Nesher | |
| | Robert A. Nesher | |
| | President & CEO | |
| | | |
| Date: December 9, 2024 | | |
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 | /s/ Robert A. Nesher | |
| | Robert A. Nesher | |
| | President & CEO | |
| | | |
| Date: December 9, 2024 | | |
| | | |
| By | /s/ Glenn Kurdziel | |
| | Glenn Kurdziel | |
| | Controller & CFO | |
| | | |
| Date: December 9, 2024 | | |
