UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSR
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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)
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SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
CT Corporation
101 Federal Street
Boston, MA 02110
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: SEPTEMBER 30, 2008
DATE OF REPORTING PERIOD: SEPTEMBER 30, 2008
ITEM 1. REPORTS TO STOCKHOLDERS.
(SEI LOGO) New ways.
New answers.(R)
SEI Institutional Managed Trust
Annual Report as of September 30, 2008
Large Cap Value Fund
Large Cap Growth Fund
Tax-Managed Large Cap Fund
Large Cap Diversified Alpha Fund
S&P 500 Index Fund
Small Cap Value Fund
Small Cap Growth Fund
Tax-Managed Small Cap Fund
Small/Mid Cap Diversified Alpha Fund
Mid-Cap Fund
U.S. Managed Volatility Fund
Global Managed Volatility Fund
Tax-Managed Managed Volatility Fund
Real Estate Fund
Enhanced Income Fund
Core Fixed Income Fund
High Yield Bond Fund
TABLE OF CONTENTS
Management's Discussion and Analysis of Fund Performance 1
Schedules of Investments 34
Statements of Assets and Liabilities 204
Statements of Operations 208
Statements of Changes in Net Assets 212
Financial Highlights 217
Notes to Financial Statements 221
Report of Independent Registered Public Accounting Firm 236
Trustees and Officers of the Trust 237
Disclosure of Fund Expenses 240
Board of Trustees Considerations in Approving
the Advisory and Sub-Advisory Agreements 242
Notice to Shareholders 245
The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("Commission") for the first and third quarters of each
fiscal year on Form N-Q within sixty days after period end. The Trust's Form N-Q
is available on the Commission's website at http://www.sec.gov, and may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to portfolio securities, as well as information
relating to how a Fund voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30, is available (i) without charge, upon
request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at
http://www.sec.gov.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Large Cap Value Fund
Objective
The Large Cap Value Fund (the "Fund") seeks to provide long-term growth of
capital and income by investing in the equity securities of large companies. The
Fund invests primarily in a diversified portfolio of high quality, income
producing common stocks, which in the advisor's opinion, are undervalued in the
marketplace at the time of purchase.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire large cap value
sector, adding value through stock selection while managing risk in the form of
capitalization, valuation and economic sector exposures. Assets of the Fund are
strategically allocated among its five sub-advisers, each of whom has
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a unique
expertise or sub-style to the Fund. Aronson + Johnson + Ortiz ("AJO") invests in
asset-rich companies selling at relatively low multiples of earnings which have
earnings and price momentum. LSV Asset Management ("LSV") invests in companies
trading at deep discounts to their intrinsic value, while INTECH Investment
Management ("INTECH") employs a volatility capture strategy. AllianceBernstein
incorporates intensive fundamental research to invest in undervalued stocks
where there is a relationship between the current price, its future earnings
power and dividend producing capability. Legg Mason Capital Management's growth
equity mandate seeks to invest in large cap stocks trading at attractive
valuations that have sustainable competitive advantages with the prospect of
forward earnings growth that is higher than the market.
Analysis
The Large Cap Value Fund, Class A, returned -25.95% for the fiscal year, lagging
behind the value area of the market for the period. The Russell 1000 Value Index
(the "Index") returned -23.56% for the fiscal year ended September 30, 2008.
U.S. large cap stocks sold off during the fiscal year, losing close to 22% for
the one year ending September 30, 2008. Investors became increasingly concerned
about global economic growth being stunted by the current financial crisis,
which has led to higher borrowing costs and a decaying economic picture that
pressured consumers. Continued weakness in housing sent prices sharply lower as
the rally in oil prices, which peaked above $145 barrel in July, and tightening
credit further exacerbated the ongoing subprime crisis.
The year began on shaky ground as large cap stocks rallied from their August
lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of
September, but then soon gave way to downward pressure as several financial
institutions took large write-downs due to growing foreclosures and falling
asset (in particular homes) prices. In January alone, the market lost more than
10% as credit markets froze, which led the Fed to cut interest rates by 125
basis points in a two week span. In March, the market was stunned as Bear
Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal
government back stopping the deal. Markets then had a very brief rally driven by
energy and technology before eventually succumbing to pressure from credit
markets over the summer.
The financial crisis led to unprecedented government actions in the last quarter
of the fiscal year, which included the following: The SEC banned short sales on
financial firms twice, as the Government watched the FDIC take over IndyMac,
placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to
declare bankruptcy and go out of business, provided an $85 billion bridge loan
to AIG (the world's largest insurer) to prevent widespread financial collapse,
took over Washington Mutual selling off its assets to JPMorgan Chase and
brokered a deal for Wells Fargo to takeover Wachovia. By the end of September,
stocks were under severe selling pressure as the odds of a recession increased,
and frozen credit markets worldwide prevented companies and consumers from
accessing credit.
The fiscal year saw sharp reversals in trends as energy and materials sectors
continued to lead markets for the first nine months with returns of
approximately 17% and 4%, respectively. Energy rallied on the back of strong oil
prices and heightened supply concerns. The financial sector was a significant
underperformer, weighed down by
SEI Institutional Managed Trust / Annual Report / September 30, 2008
1
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
the seizure in credit markets. Thrifts and mortgage finance, consumer finance
and investment banks were among the weakest performers. Momentum factors
outpaced value factors as investors sent energy and materials stocks higher and
financials lower; however, in July, investors quickly shifted capital from
energy markets into more defensive positions and oversold financials. This
marked a sharp reversal in trends from the previous nine months as value stocks
outpaced growth stocks by 6% and small cap stocks beat their large cap brethren
by 8% in the 4th quarter of the fiscal year.
Despite the reversal in the 4th quarter, the Russell 1000 Growth Index still
managed to outpace the Index by close to 3% as both stronger growing and more
expensive stocks, as measured by P/E, outperformed despite losing significant
ground later in the fiscal year. In the end, this environment benefited lower
beta stocks over the entire fiscal year with investors flight to quality picking
up pace as credit markets deteriorated.
The portfolio trailed the Index for the fiscal year as this difficult market
environment proved to be even harder to navigate in the value space especially
within financials and industrials. On the positive side, the portfolio benefited
from an underweight to financials and strong stock selection in information
technology and telecommunication services. However, the portfolio was hurt by an
allocation to higher beta names with investors' flight to quality benefiting
lower beta names. Also, an overweight to the cheaper, deep value names hurt as
investors witnessed severe multiple compression particularly in January. Two of
the fund's sub-advisers, AJO and INTECH, beat the Index with LSV and
AllianceBernstein trailing. AJO benefited from defensive positioning within
individual sectors particularly from strong stock selection in financials within
the diversified financials, banks and insurance sub-industries. INTECH, on the
other hand, benefited from higher volatility within individual stocks especially
within the financial sector, but did face headwinds from higher stock
correlations, which minimized their positive return potential. LSV struggled as
severe multiple compression hurt deep value names, which tend to underperform
during difficult market environments. Finally, AllianceBernstein underperformed
due to poor stock selection across the board, especially within financials,
energy and industrials. AllianceBernstein suffered from its exposure to headline
financial names.
There was one new sub-adviser, Legg Mason Capital Management, which SIMC added
towards the end of the fiscal year.
Large Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- -----------
Large Cap Value Fund,
Class A -25.95% -1.46% 5.82% 4.46% 8.93%
Large Cap Value Fund,
Class I -26.13% -1.70% 5.56% 4.17% 8.60%
Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Value Fund, Class A and Class I, versus the Russell 1000 Value Index
(PERFORMANCE GRAPH)
Large Cap Value Large Cap Value Russell 1000
Fund, Class A Fund, Class I Value Index
-------------- --------------- ------------
9/30/98 $100,000 $100,000 $100,000
9/30/99 117,132 116,721 118,719
9/30/00 122,372 121,503 129,303
9/30/01 116,159 114,966 117,778
9/30/02 95,186 93,994 97,816
9/30/03 116,646 114,837 121,651
9/30/04 139,583 137,032 146,609
9/30/05 161,741 158,421 171,074
9/30/06 183,451 179,262 196,086
9/30/07 208,976 203,719 224,419
9/30/08 154,755 150,488 171,551
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. The performance indicated above for Class A Shares begins on
10/3/94 at which time Mellon Equity Associates acted as investment adviser
to the Fund. Previous periods during which the Fund was advised by another
investment adviser are not shown. Class I Shares performance for the period
prior to 8/6/01 is performance derived from the performance of the Class A
Shares. The performance of Class I Shares may be lower than the performance
of Class A Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 10/3/94 and Class I
Shares were offered beginning 8/6/01. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee waivers
and reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
2
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Large Cap Growth Fund
Objective
The investment objective of the Large Cap Growth Fund (the "Fund") is capital
appreciation by investing in the equity securities of large companies. The Fund
invests in the securities of issuers believed to possess significant growth
potential that is underappreciated by the market.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire large cap
growth sector, adding value through stock selection while managing risk in the
form of capitalization, valuation and economic sector exposures. Assets of the
Fund are strategically allocated among its sub-advisers, each of which has
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a unique
expertise to the Fund. Goldman Sachs Asset Management ("GSAM") invests in
companies with strong business franchises that are attractively priced relative
to their discounted cash flows. Quantitative Management Associates ("QMA")
favors large cap stocks that have positive news flow and attractive valuation
characteristics. Montag & Caldwell invests in large cap stocks that exhibit
accelerating earnings, are trading at a discount to fair value, and are
financially stable. INTECH Investment Management ("INTECH") employs a volatility
capture strategy, while Delaware Management invests in stocks that are
attractively valued from a cash flow basis and have strong prospects for organic
growth in the future. Legg Mason Capital Management's ("LMCM") growth equity
mandate seeks to invest in large cap stocks trading at attractive valuations
that have sustainable competitive advantages with the prospect of forward
earnings growth that is higher than the market.
Analysis
The Large Cap Growth Fund, Class A, returned -22.26% for the fiscal year,
lagging behind the growth area of the market for the period. The Russell 1000
Growth Index (the "Index") returned -20.88% for the fiscal year ended September
30, 2008.
U.S. large cap stocks sold off during the fiscal year, losing close to 22% for
the one year ending September 30, 2008. Investors became increasingly concerned
about global economic growth being stunted by the current financial crisis,
which has led to higher borrowing costs and a decaying economic picture that
pressured consumers. Continued weakness in housing sent prices sharply lower as
the rally in oil prices, which peaked above $145 barrel in July, and tightening
credit further exacerbated the ongoing subprime crisis.
The year began on shaky ground as large cap stocks rallied from their August
lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of
September, but then soon gave way to downward pressure as several financial
institutions took large write-downs due to growing foreclosures and falling
asset (in particular homes) prices. In January alone, the market lost more than
10% as credit markets froze, which led the Fed to cut interest rates by 125
basis points in a two week span. In March, the market was stunned as Bear
Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal
government back stopping the deal. Markets then had a very brief rally driven by
energy and technology before eventually succumbing to pressure from credit
markets over the summer.
The financial crisis led to unprecedented government actions in the last quarter
of the fiscal year, which included the following: The SEC banned short sales on
financial firms twice, as the Government watched the FDIC take over IndyMac,
placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to
declare bankruptcy and go out of business, provided an $85 billion bridge loan
to AIG (the worlds largest insurer) to prevent widespread financial collapse,
took over Washington Mutual selling off its assets to JPMorgan Chase and
brokered a deal for Wells Fargo to takeover Wachovia. By the end of September,
stocks were under severe selling pressure as the odds of a recession increased,
and frozen credit markets worldwide prevented companies and consumers from
accessing credit.
The fiscal year saw sharp reversals in trends as energy and materials sectors
continued to lead markets for the first nine months with returns of
approximately 17% and 4%, respectively. Energy rallied on the back of strong oil
prices and heightened supply concerns. The
SEI Institutional Managed Trust / Annual Report / September 30, 2008
3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
financial sector was a significant underperformer, weighed down by the credit
market seizure. Thrifts and mortgage finance, consumer finance and investment
banks were among the weakest performers. Momentum factors outpaced value factors
as investors sent energy and materials stocks higher and financials lower;
however, in July, investors quickly shifted capital from energy markets into
more defensive positions and oversold financials. This marked a sharp reversal
in trends from the previous nine months as value stocks outpaced growth stocks
by 6% and small cap stocks beat their large cap brethren by 8% in the 4th
quarter of the fiscal year.
Despite the reversal in the 4th quarter, the Index still managed to outpace the
Russell 1000 Value Index by close to 3% as both stronger growing and more
expensive stocks, as measured by P/E, outperformed despite losing significant
ground later in the fiscal year. In the end, this environment benefited lower
beta stocks over the entire fiscal year with investors flight to quality picking
up pace as credit markets deteriorated.
The portfolio struggled relative to the Index due to poor stock selection within
the financial sector, which was at the epicenter of the credit crisis. Stock
selection was also weak within energy and industrials. Particularly, stock
selection within several headline names that had their equity wiped out by
government intervention weighed on the portfolio as a whole. Sector positioning
within the Fund including underweights to materials, industrials and financials
along with an overweight to healthcare helped to mitigate the under performance
caused by financials.
Montag & Caldwell performed very well for the period benefiting from its
defensive positioning with an overweight to consumer staples as well as strong
stock selection in consumer discretionary and financial sectors. GSAM's focus on
higher quality names led to strong stock selection in information technology and
healthcare leading to positive relative performance. Delaware Management
struggled due to poor stock selection in information technology and exposure to
higher growth stocks, which both sold off significantly towards the end of the
period. INTECH fell behind in the growth space in spite of higher stock
volatility as stock correlations increased sharply over the period. QMA was
relatively flat versus the Index due to mixed factor performance in a difficult
market environment. Finally, LMCM's growth equity mandate hurt performance due
to stock positioning in several headline financial names.
There was one new sub-adviser, Legg Mason Capital Management, which SIMC added
towards the end of the fiscal year.
Large Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- -----------
Large Cap Growth
Fund, Class A -22.26% -1.23% 3.37% -0.20% 6.47%
Large Cap Growth
Fund, Class I -22.43% -1.46% 3.12% -0.50% 6.12%
Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Growth Fund, Class A and Class I, versus the Russell 1000 Growth Index
(PERFORMANCE GRAPH)
Large Cap Growth Large Cap Growth Russell 1000
Fund, Class A Fund, Class I Growth Index
---------------- ---------------- ------------
9/30/98 $100,000 $100,000 $100,000
9/30/99 137,743 137,171 134,855
9/30/00 179,983 178,503 166,450
9/30/01 88,056 86,968 90,483
9/30/02 68,266 67,202 70,117
9/30/03 83,055 81,561 88,289
9/30/04 90,218 88,427 94,918
9/30/05 101,719 99,412 105,924
9/30/06 105,710 103,119 112,317
9/30/07 126,073 122,615 134,055
9/30/08 98,007 95,112 106,066
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 8/6/01 is
the performance derived from the performance of the Class A Shares.The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I shareholders.
Class A Shares were offered beginning 12/20/94 and Class I Shares were
offered beginning 8/6/01. Returns shown do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption
of fund shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
4
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Tax-Managed Large Cap Fund
Objective
The investment objective of the Tax-Managed Large Cap Fund (the "Fund") is
capital appreciation by investing in the equity securities of large companies.
The Fund attempts to maximize after-tax returns to investors through lower
turnover and tax management techniques.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire U.S. large cap
market, seeking to add value through stock selection in a tax-aware framework
while minimizing risk in the form of capitalization, valuation and economic
sector exposures. Assets of the Fund are strategically allocated among its
sub-advisers, each of which has responsibility for stock selection for its
respective assets under management.
Through various investment approaches, each sub-adviser contributes a unique
expertise to the Fund. Goldman Sachs Asset Management ("GSAM"), Delaware
Management and Montag & Caldwell focus on stocks that have growth
characteristics. AllianceBernstein, LSV Asset Management and Aronson + Johnson +
Ortiz ("AJO") focus on selecting stocks that have value-oriented
characteristics. Quantitative Management Associates ("QMA") invests a core
portfolio that favors large cap stocks with positive news flow trading at
attractive valuations. Parametric Portfolio Associates invests in both value and
growth large-cap stocks through a quantitative process which aggressively
harvests tax-losses in the portfolio. Legg Mason Capital Management's ("LMCM")
growth equity mandate seeks to invest in large cap stocks, which have a
sustainable competitive advantage leading to forward earnings growth higher than
the market and are trading at an attractive valuation. LMCM's core equity
mandate utilizes differentiated analysis and valuation models, which seeks to
identify companies with long-term intrinsic value that are underappreciated by
the market.
Analysis
The Tax-Managed Large Cap Fund, Class A, returned -23.76% for the fiscal year,
finishing behind the broad market for the period. The Russell 1000 Index (the
"Index") returned -22.10% for the fiscal year ended September 30, 2008.
U.S. large cap stocks sold off during the fiscal year, losing close to 22% for
the one year ending September 30, 2008. Investors became increasingly concerned
about global economic growth being stunted by the current financial crisis,
which has led to higher borrowing costs and a decaying economic picture that
pressured consumers. Continued weakness in housing sent prices sharply lower as
the rally in oil prices, which peaked above $145 barrel in July, and tightening
credit further exacerbated the ongoing subprime crisis.
The year began on shaky ground as large cap stocks rallied from their August
lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of
September, but then soon gave way to downward pressure as several financial
institutions took large write-downs due to growing foreclosures and falling
asset (in particular homes) prices. In January alone, the market lost more than
10% as credit markets froze, which led the Fed to cut interest rates by 125
basis points in a two week span. In March, the market was stunned as Bear
Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal
government back stopping the deal. Markets then had a very brief rally driven by
energy and technology before eventually succumbing to pressure from credit
markets over the summer.
The financial crisis led to unprecedented government actions in the last quarter
of the fiscal year, which included the following: The SEC banned short sales on
financial firms twice, as the Government watched the FDIC take over IndyMac,
placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to
declare bankruptcy and go out of business, provided an $85 billion bridge loan
to AIG (the world's largest insurer) to prevent widespread financial collapse,
took over Washington Mutual selling off its assets to JPMorgan Chase and
brokered a deal for Wells Fargo to takeover Wachovia. By the end of September,
stocks were under severe selling pressure as the odds of a recession increased,
and frozen credit markets worldwide prevented companies and consumers from
accessing credit.
The fiscal year saw sharp reversals in trends as energy and materials sectors
continued to lead markets for the first nine months with returns of
approximately 17% and 4%, respectively. Energy rallied on the back of strong oil
prices and heightened supply concerns. The financial sector was a significant
underperformer, weighed down by the seizure in credit markets. Thrifts and
mortgage finance, consumer finance and investment banks were among the weakest
performers.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
5
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Momentum factors outpaced value factors as investors sent energy and materials
stocks higher and financials lower; however, in July, investors quickly shifted
capital from energy markets into more defensive positions and oversold
financials. This marked a sharp reversal in trends from the previous nine months
as value stocks outpaced growth stocks by 6% and small cap stocks beat their
large cap brethren by 8% in the 4th quarter of the fiscal year.
Despite the reversal in the 4th quarter, the Russell 1000 Growth Index still
managed to outpace the Russell 1000 Value Index by close to 3% as both stronger
growing and more expensive stocks, as measured by P/E, outperformed despite
losing significant ground later in the fiscal year. In the end, this environment
benefited lower beta stocks over the entire fiscal year with investors flight to
quality picking up pace as credit markets deteriorated.
The Fund benefitted from having more growth exposure than the Index; however,
that benefit was outweighed by an underweight to consumer staples and poor stock
selection in financials and energy. Weakness in the financial sector was driven
by a few headline names that had their equity wiped out due to the financial
crisis. Also, investors' current flight to quality weighed on fund performance
as an underweight to staples, which has benefited from a low beta environment,
led to negative relative performance. Several bright spots within the portfolio
were within sector positioning as the Fund had a modest underweight to materials
and industrials as well as a small underweight to financials. In the 4th quarter
of the fiscal year, which was marked by the collapse of commodities (July
forward), material stocks continued to sell off significantly in the face of
worldwide demand destruction and concerns over economic decay. This contributed
positively to the portfolio's relative performance.
Two of the three growth managers, Montag & Caldwell and GSAM, strongly outpaced
the Index while the value managers, with the exception of AJO, lagged the value
area of the market. The one standout on the positive side was Montag and
Caldwell, whose strong performance during the period was driven by a large
overweight to consumer staples and strong stock selection within the financial
and consumer discretionary sectors. AllianceBernstein, on the other hand, was
one of the largest negative contributors to the Fund due to poor stock selection
across all sectors, in particular within financials. One of the new additions,
LMCM, with its growth equity mandate, also impacted performance negatively
towards the end of the fiscal year as emerging/anticipatory growth managers came
under pressure. Investors sold out of higher growth stocks and struggled to
distinguish cyclical growth stocks from secular growth stocks, which also
weighed on Delaware Management. The core managers provided some diversification
benefit to the Fund's relative performance and provided better after-tax return
through Parametric Portfolio Associates' tax loss harvesting process.
During the fiscal year, SIMC added two mandates to the portfolio, growth and
core, from one sub-adviser, Legg Mason Capital Management.
Tax-Managed Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- -----------
Tax-Managed Large Cap
Fund, Class A -23.76% -1.05% 4.80% 2.32% 1.82%
Tax-Managed Large Cap
Fund, Class Y -23.52% -0.76% 5.12% 2.52% 2.00%
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed
Large Cap Fund, Class A and Class Y, versus the Russell 1000 Index
(PERFORMANCE GRAPH)
Tax-Managed Large Cap Tax-Managed Large Cap
Fund, Class A Fund, Class Y Russell 1000 Index
--------------------- --------------------- -------------------
9/30/98 $100,000.00 $100,000.00 $100,000.00
9/30/99 132,602.00 132,602.00 126,966.00
9/30/00 144,081.00 144,081.00 149,576.00
9/30/01 100,974.00 100,974.00 107,064.00
9/30/02 80,330.00 80,393.00 86,175.00
9/30/03 99,480.00 99,898.00 107,841.00
9/30/04 113,453.00 114,298.00 122,835.00
9/30/05 129,788.00 131,197.00 140,345.00
9/30/06 140,922.00 142,780.00 154,724.00
9/30/07 164,950.00 167,672.00 180,877.00
9/30/08 125,756.00 128,242.00 140,911.00
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class Y Shares performance for the period prior to 4/8/02 is
performance derived from the performance of the Class A Shares. The
performance of Class Y Shares may be different from the performance of
Class A Shares because of different distribution fees paid by Class Y
shareholders. Class A Shares were offered beginning 3/5/98 and Class Y
Shares were offered beginning 4/8/02. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee waivers
and reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
6
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Large Cap Diversified Alpha Fund
Objective
The Large Cap Diversified Alpha Fund (the "Fund") seeks to provide long-term
growth of capital and income by investing in the equity securities of large
companies and in portfolio strategies designed to correlate to a portfolio
composed of large cap equity securities. While the Fund is expected to have an
absolute return and risk profile similar to the broad U.S. large cap equity
market, returns may be derived in part from investing significant portions of
the Fund in securities outside of the large cap market.
Strategy
The Fund uses a multi-manager approach under the general supervision of SEI
Investments Management Corporation ("SIMC"), allocating the assets among
multiple sub-advisers that use different investment strategies to seek returns
in excess of the performance of a broad U.S. large cap benchmark. This
allocation among investment strategies aims to diversify the sources from which
sub-advisers seek to achieve excess returns (i.e., returns in excess of a
benchmark index), and thereby diversify the relative risk of the Fund.
Some sub-advisers may engage in short sales up to 30% of the value of their Fund
allocation and use the proceeds from the sale to purchase long positions in
additional equity securities. Some sub-advisers may also use portfolio
strategies that are designed to correlate with a portfolio of large cap equity
securities, but are composed of derivative instruments backed by other types of
securities.
Aronson + Johnson + Ortiz ("AJO"), Analytic Investors, and Quantitative
Management Associates seek to overweight stocks with attractive fundamental
and/or technical characteristics and underweight or sell short stocks with
unattractive fundamental and/or technical characteristics. INTECH Investment
Management ("INTECH") employs a volatility capture strategy, Delaware Management
seeks to identify stocks with underappreciated growth characteristics, while
Smith Breeden Associates seeks to generate excess return within the U.S. fixed
income market and transport it to the equity market. Legg Mason Capital
Management's ("LMCM") growth equity mandate seeks to invest in large cap stocks
trading at attractive valuations that have sustainable competitive advantages
with the prospect of forward earnings growth that is higher than the market.
LMCM's core equity mandate utilizes differentiated analysis and valuation
models, which seek to identify companies with long-term intrinsic value that are
underappreciated by the market.
Analysis
The Large Cap Diversified Alpha Fund, Class A, returned -26.42% for the fiscal
year, trailing the broad market. The Russell 1000 Index (the "Index") returned
- -22.10% for the fiscal year ended September 30, 2008.
U.S. large cap stocks sold off during the fiscal year, losing close to 22% for
the one year ending September 30, 2008. Investors became increasingly concerned
about global economic growth being stunted by the current financial crisis,
which has led to higher borrowing costs and a decaying economic picture that
pressured consumers. Continued weakness in housing sent prices sharply lower as
the rally in oil prices, which peaked above $145 barrel in July, and tightening
credit further exacerbated the ongoing subprime crisis.
The year began on shaky ground as large cap stocks rallied from their August
lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of
September, but then soon gave way to downward pressure as several financial
institutions took large write-downs due to growing foreclosures and falling
asset (in particular homes) prices. In January alone, the market lost more than
10% as credit markets froze, which led the Fed to cut interest rates by 125
basis points in a two week span. In March, the market was stunned as Bear
Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal
government back stopping the deal. Markets then had a very brief rally driven by
energy and technology before eventually succumbing to pressure from credit
markets over the summer.
The financial crisis led to unprecedented government actions in the last quarter
of the fiscal year, which included the following: The SEC banned short sales on
financial firms twice, as the Government watched the FDIC take over IndyMac,
placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to
declare bankruptcy and go out of business, provided an $85 billion bridge loan
to AIG (the world's largest insurer) to prevent widespread financial collapse,
took over Washington Mutual selling off its assets to JPMorgan Chase and
brokered a deal for Wells Fargo to takeover Wachovia. By the end of September,
stocks were under severe selling pressure as the odds of a recession increased,
and frozen credit markets worldwide prevented companies and consumers from
accessing credit.
The fiscal year saw sharp reversals in trends as energy and materials sectors
continued to lead markets for the first nine months with
SEI Institutional Managed Trust / Annual Report / September 30, 2008
7
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
returns of approximately 17% and 4%, respectively. Energy rallied on the back of
strong oil prices and heightened supply concerns. The financial sector was a
significant underperformer, weighed down by the seizure in credit markets.
Thrifts and mortgage finance, consumer finance and investment banks were among
the weakest performers. Momentum factors outpaced value factors as investors
sent energy and materials stocks higher and financials lower; however, in July,
investors quickly shifted capital from energy markets into more defensive
positions and oversold financials. This marked a sharp reversal in trends from
the previous nine months as value stocks outpaced growth stocks by 6% and small
cap stocks beat their large cap brethren by 8% in the 4th quarter of the fiscal
year.
Despite the reversal in the 4th quarter, the Russell 1000 Growth Index still
managed to outpace the Russell 1000 Value Index by close to 3% as both stronger
growing and more expensive stocks, as measured by P/E, outperformed despite
losing significant ground later in the fiscal year. In the end, this environment
benefited lower beta stocks over the entire fiscal year with investors flight to
quality picking up pace as credit markets deteriorated.
The Fund trailed the Index, particularly due to exposure to the fixed income
markets through the Smith Breeden Associate's portable alpha strategy. Although
Smith Breeden Associate's portfolio was generally higher quality with very
limited exposure to the sub-prime area of the market, the credit crunch was far
reaching, and impacted markets outside of sub-prime as credit spreads widened to
historical records. Investors' risk aversion led to forced selling of mortgage
backed and asset backed securities in particular, as derivative markets all but
dried up and hedge funds continued to experience large redemptions. The
portfolio's exposure to anticipatory growth names also hurt relative performance
as investors' sold off these names sharply due to concerns surrounding economic
decay. We believe this was further exacerbated by hedge fund liquidations of
high quality growth names which comprise a large portion of names within the
anticipatory growth alpha source. On the positive side, the Fund's relaxation of
the long-only constraint benefited our 130/30 managers, leading to strong
positive stock selection within financials.
From an individual manager standpoint, INTECH and AJO were the only managers
that beat the broad market during this volatile period. INTECH benefited from
higher stock volatility although its volatility capture process did face head
winds as stock correlation increased dramatically within this time period. The
addition of LMCM, in particular, with its growth equity mandate, also impacted
performance negatively towards the end of the fiscal year as
emerging/anticipatory growth managers came under pressure as investors sold out
of higher growth stocks and struggled to distinguish cyclical growth stocks from
secular growth stocks.
During the fiscal year, SIMC added two mandates into the portfolio, growth and
core, from one sub-adviser, Legg Mason Capital Management.
Large Cap Diversified Alpha Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized
One Year Inception
Return to Date
-------- ----------
Large Cap Diversified Alpha Fund,
Class A -26.42% -4.14%
Large Cap Diversified Alpha Fund,
Class I -26.70% -4.33%
Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Diversified Alpha Fund, Class A and Class I, versus the Russell 1000 Index
(PERFORMANCE GRAPH)
Large Cap Diversified Large Cap Diversified
Alpha Fund, Class A Alpha Fund, Class I Russell 1000 Index
--------------------- --------------------- ------------------
12/14/05 $100,000 $100,000 $100,000
9/30/06 104,436 104,436 106,061
9/30/07 120,768 120,536 123,988
9/30/08 88,857 88,355 96,592
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 9/14/06 is
performance derived from the performance of the Class A Shares. The
performance of the Class I Shares may be lower than the performance of
Class A Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 12/14/05 and Class I
Shares were offered beginning 9/14/06. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee waivers
and reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
8
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
S&P 500 Index Fund
Objective
The S&P 500 Index Fund (the "Fund") seeks to provide investment results that
correspond to the aggregate price and dividend performance of the securities in
the S&P 500 Index (the "Index"). The Index is a capitalization-weighted index of
500 stocks intended to be a representative sample of leading companies in
leading industries within the U.S. economy. Stocks in the Index are chosen for
market size (large cap), liquidity, and industry group representation.
Strategy
The Fund attempts to match the performance of the widely followed Index by
replicating its composition in full. The fifty largest stocks in the index
account for approximately 50% of the weighting of the index. Deviation of
performance between the Fund and the Index, measured as tracking error, is
typically attributable to trading costs and cash reserves held for liquidity
needs. The presence of cash in the Fund may result in underperformance relative
to the Index in rising markets and out-performance in declining markets. To
mitigate these effects, the Fund may use stock index futures to hedge its cash
position. Futures contracts enable the Fund to maintain exposure to the market
with reduced trading expenses, since the cost of the futures contract is
relatively nominal. The value of stock index futures held by the Fund may not
exceed 20% of the Fund's assets.
Analysis
The S&P 500 Index Fund, Class A, returned -22.30% for the fiscal year ended
September 30, 2008. The Index returned -21.98% for the fiscal year.
U.S. large cap stocks sold off during the fiscal year, losing close to 22% for
the period ended September 30, 2008. Investors became increasingly concerned
about global economic growth being stunted by the current financial crisis,
which has led to higher borrowing costs and a decaying economic picture that
pressured consumers. Continued weakness in housing sent prices sharply lower as
the rally in oil prices, which peaked above $145 barrel in July, and tightening
credit further exacerbated the ongoing subprime crisis.
The year began on shaky ground as large cap stocks rallied from their August
lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of
September, but then soon gave way to downward pressure as several financial
institutions took large write-downs due to growing foreclosures and falling
asset (in particular homes) prices. In January alone, the market lost more than
10% as credit markets froze, which led the Fed to cut interest rates by 125
basis points in a two week span. In March, the market was stunned as Bear
Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal
government back stopping the deal. Markets then had a very brief rally driven by
energy and technology before eventually succumbing to pressure from credit
markets over the summer.
The financial crisis led to unprecedented government actions in the last quarter
of the fiscal year, which included the following: The SEC banned short sales on
financial firms twice, as the Government watched the FDIC take over IndyMac,
placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to
declare bankruptcy and go out of business, provided an $85 billion bridge loan
to AIG (the world's largest insurer) to prevent widespread financial collapse,
took over Washington Mutual selling off its assets to JPMorgan Chase and
brokered a deal for Wells Fargo to takeover Wachovia. By the end of September,
stocks were under severe selling pressure as the odds of a recession increased,
and frozen credit markets worldwide prevented companies and consumers from
accessing credit.
The fiscal year saw sharp reversals in trends as energy and materials sectors
continued to lead markets for the first nine months with returns of
approximately 17% and 4%, respectively. Energy rallied on the back of strong oil
prices and heightened supply concerns. The financial sector was a significant
underperformer, weighed down by the credit market seizure. Thrifts and mortgage
finance, consumer finance and investment banks were among the weakest
performers. Momentum factors outpaced value factors as investors sent energy and
materials stocks higher and financials lower; however, in July, investors
quickly shifted capital from energy markets into more defensive positions and
oversold financials. This marked a sharp
SEI Institutional Managed Trust / Annual Report / September 30, 2008
9
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
reversal in trends from the previous nine months as value stocks outpaced growth
stocks by 6% and small cap stocks beat their large cap brethren by 8% in the 4th
quarter of the fiscal year.
Despite the reversal in the 4th quarter of the fiscal year, growth stocks still
managed to outpace their value oriented counterparts by close to 3% as both
stronger growing and more expensive stocks, as measured by P/E, outperformed
despite losing significant ground in the latter part of the fiscal year. In the
end, this environment benefited lower beta stocks over the entire fiscal year
with investors flight to quality picking up pace as credit markets deteriorated.
Nine out of ten Global Industry Classification Standard sectors generated
negative returns during the fiscal year. Consumer staples were the only sector
to post positive gains benefiting from an environment that rewarded lower beta &
non-cyclical stocks. Meanwhile, financials, information technology and consumer
discretionary stocks led the way lower amidst a darkening economic backdrop.
Overall, the financial sector was the worst performing sector during the fiscal
year as many of these stocks were at the center of the storm (continued
write-downs) embroiling credit markets.
There were no sub-adviser changes during the fiscal year.
S&P 500 Index Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- -----------
S&P 500 Index
Fund, Class A -22.30% -0.16% 4.75% 2.65% 6.17%
S&P 500 Index
Fund, Class E -22.19% -0.02% 4.91% 2.81% 10.34%
S&P 500 Index
Fund, Class I -22.49% -0.41% 4.48% 2.37% 5.86%
Comparison of Change in the Value of a $10,000 Investment in the S&P 500 Index
Fund, Class A, Class E, and Class I, versus the S&P 500 Index
(PERFORMANCE GRAPH)
S&P 500 Index S&P 500 Index S&P 500 Index, S&P 500
Fund, Class A Fund, Class E Class I Index
------------- -------------- -------------- -------
9/30/98 $10,000 $10,000 $10,000 $10,000
9/30/99 12,757 12,731 12,682 12,780
9/30/00 14,418 14,366 14,255 14,478
9/30/01 10,543 10,488 10,369 10,624
9/30/02 8,363 8,309 8,205 8,447
9/30/03 10,384 10,296 10,147 10,508
9/30/04 11,793 11,673 11,473 11,966
9/30/05 13,203 13,048 12,793 13,431
9/30/06 14,593 14,403 14,084 14,881
9/30/07 16,958 16,713 16,301 17,327
9/30/08 13,196 12,985 12,635 13,519
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class A shares were offered beginning 2/28/96. Class E shares
were offered beginning 7/31/85. Class I shares were offered beginning
6/28/02. Class I shares performance for the period prior to 6/28/02 is
performance derived from performance of the Class A shares. The performance
of the Class A and Class I shares may be lower than the performance of
Class E shares because of different distribution fees paid by Class A and
Class I shareholders. Effective 7/31/97, the Board of Trustees approved the
renaming of Class A and Class E shares to Class E and Class A shares,
respectively. In addition, returns shown do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption
of fund shares.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
10
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Small Cap Value Fund
Objective
The Small Cap Value Fund (the "Fund") seeks to provide capital appreciation by
investing in equity securities of smaller companies. The Fund invests in the
stocks of companies perceived to be undervalued in light of fundamental
characteristics such as earnings, book value, and return on equity.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire small cap value
sector, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. The Fund is jointly
sub-advised by nine investment managers. Assets of the Fund are strategically
allocated among its sub-advisers, each of which has a responsibility for stock
selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. Using a bottom-up process, Artisan Partners
Limited Partnership ("Artisan") seeks to identify companies which are currently
trading below the intrinsic value of their business and which have little
institutional following. BlackRock Capital Management ("BlackRock") focuses on
attractively valued companies with a near term business catalyst. David J.
Greene and Company ("DJ Greene") invests in complex multi-segment businesses
often possessing several growth areas masked by a more-well known, slower
growing segment. Lee Munder Investments ("Lee Munder") uses a classic value
approach of identifying quality businesses trading below their normalized
valuations. LSV Asset Management ("LSV") takes advantage of behavioral biases to
invest in companies trading at deep discounts to their intrinsic value and with
near term earnings visibility. Martingale Asset Management ("Martingale")
employs a systematic approach focused on relative valuation, sustainable growth,
and management quality. Wellington Management Company ("Wellington") utilizes a
unique risk/reward relative valuation assessment to identify attractive real
estate investments. Robeco Investment Management ("Robeco") seeks to exploit
market anomalies through both traditional value investments and special
situations, investing when a near-term, positive catalyst exists at company and
sector levels. Each of the aforementioned sub-styles assumes a different
importance in determining overall style risk and must therefore be weighted
accordingly.
Analysis
The U.S. small-cap value market, as measured by the Russell 2000 Value Index
(the "Index"), lost 12.25% during the fiscal year ended September 30, 2008. The
market was negatively impacted by the flight from risk and de-linking from
fundamentals that resulted from the U.S. sub-prime mortgage meltdown. U.S.
financial institutions have been obligated to downsize their balance sheets by
writing-down billions of dollars to account for housing losses, while hedge
funds, facing margin calls, were compelled to de-leverage their portfolios by
selling their most liquid, highest quality assets. Fears related to the
sub-prime mortgage crisis spread through the market, seizing credit and
liquidity, as banks stopped lending to one another. In addition, energy prices
surged to historical highs in the first half of 2008, adding inflationary and
recessionary pressures to a plethora of issues: declining housing values, higher
food costs, increasing debt, and insignificant wage growth faced by U.S.
consumers. Such a market environment proved to be unprecedented as the U.S.
economy witnessed the nationalization of government sponsored entities Fannie
Mae and Freddie Mac, its largest bank failure ever in Washington Mutual, Lehman
Brothers' filing for Chapter 11 bankruptcy, and the U.S. Treasury ("Treasury")
bailout of insurance giant AIG. In order to address investors' growing concern
about the state of the U.S./global economy, the U.S. Federal Reserve cut rates
seven times over the past year to foster liquidity and ignite lending among
banks, while the Treasury requested an unprecedented $700B bailout package from
Congress.
The fiscal year was marked by a de-linking from fundamentals amid the increased
levels of volatility, as measured by the VIX Index, and heightened levels of
risk aversion. Thus, the most expensive securities, as measured by P/E, higher
return on equity, high momentum, and largest market cap stock quintiles were the
worst performing areas of the small cap value market. Two of the ten Global
Industry Classification Standard sectors, energy and utilities, posted
SEI Institutional Managed Trust / Annual Report / September 30, 2008
11
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
positive returns, while technology and consumer discretionary dragged down the
market, losing over 29% for the period. Financials regained some of the losses
incurred during the first nine months of the fiscal year with a fierce rally,
particularly in the banks and real estate areas, during the final quarter of the
period.
The Small Cap Value Fund, Class A, lost 16.02% for the year ended September 30,
2008; though four of the managers surpassed the Index. A combination of adverse
sector allocation and stock selection hampered the Fund's performance over the
period, despite positive relative performance in the consumer staples,
discretionary and materials sectors. The Fund's struggles were particularly
evident in the energy, real estate, and technology areas, as these detracted the
most from performance. On a manager level, DJ Greene was hampered by its typical
overweight to technology and poor stock selection in energy and healthcare.
BlackRock also struggled during the period due to the manager's adverse
allocation to energy, coupled with poor stock selection in the diversified
financials, real estate, technology and materials areas. Systematic manager
Martingale managed slight excess returns over the fiscal year, despite
struggling in the third quarter of 2008 as many valuation metrics, such as
forward one year P/E, exhibited negative returns. On a positive note, Artisan
posted strong performance relative to the Index amid strong stock selection in
consumer discretionary and industrials, coupled with a sizeable overweight and
strong stock selection in energy. Artisan has strongly benefited from their
returns in the energy sector during the past several years, and have only
recently pared down their significant overweight.
DJ Greene was acquired by Neuberger Berman Management ("Neuberger") during the
fiscal year. SIMC retained Neuberger as a sub-adviser.
Small Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- ----------
Small Cap Value Fund,
Class A -16.02% 0.85% 9.33% 9.43% 11.05%
Small Cap Value Fund,
Class I -16.21% 0.62% 9.06% 9.10% 10.68%
Comparison of Change in the Value of a $100,000 Investment in the Small Cap
Value Fund, Class A and Class I, versus the Russell 2000 Value Index
(PERFORMANCE GRAPH)
Small Cap Small Cap Russell
Value Fund, Value Fund, 2000
Class A Class I Value Index
----------- ----------- -----------
9/30/98 $100,000 $100,000 $100,000
9/30/99 104,471 104,139 105,829
9/30/00 120,915 119,923 122,082
9/30/01 124,683 123,208 128,930
9/30/02 121,939 120,170 127,042
9/30/03 157,645 154,917 167,268
9/30/04 198,107 194,094 210,191
9/30/05 240,123 234,629 247,503
9/30/06 264,945 258,349 282,170
9/30/07 293,289 285,252 299,363
9/30/08 246,305 239,017 262,665
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 2/11/02 is
performance derived from the performance of the Class A Shares.The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I shareholders.
Class A Shares were offered beginning 12/20/94 and Class I Shares were
offered beginning 2/11/02. Returns shown do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption
of fund shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
12
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Small Cap Growth Fund
Objective
The Small Cap Growth Fund (the "Fund") seeks to provide long-term capital
appreciation by investing in equity securities of smaller companies. The Fund
invests in the stocks of companies that have significant growth potential in
light of such characteristics as revenue, earnings growth and positive earnings
surprises.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire universe of
small cap growth stocks, adding value through stock selection while minimizing
risk in the form of capitalization, valuation and economic sector exposures. The
Fund is jointly sub-advised by eight investment managers. Assets of the Fund are
strategically allocated among its sub-advisers, each of which has a
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. Mazama Capital Management ("Mazama") invests
primarily in stocks entering extended periods of growth not yet understood by
the market. Wellington Management Company ("Wellington") focuses on companies
that demonstrate growth at reasonable prices. Lee Munder Investments ("Lee
Munder") seeks companies growing faster than the market while demonstrating
skill in their ability to differentiate an attractive stock from a good company.
McKinley Capital Management ("McKinley") emphasizes acceleration of the growth
rate of companies relative to that of the market and looks for companies with
positive earnings surprise. Martingale employs a systematic approach focused on
relative valuation, sustainable growth, and management quality. Oppenheimer
Capital uses an opportunistic approach that seeks to uncover: high growing
stocks with substantial cash flows to be reinvested in the business, sustainable
growth stocks that have been unfairly affected by market conditions, and sound
companies to which the market has overreacted on negative company-specific news.
Each of the aforementioned sub-styles assumes a different importance in
determining overall style risk and must therefore be weighted accordingly.
Oppenheimer Capital was added to the portfolio during the final quarter of the
fiscal year. PanAgora Asset Management and Delaware Management were terminated
from the Fund's managerial lineup over the same period.
Analysis
The U.S. small-cap growth market, as measured by the Russell 2000 Growth Index
(the "Index"), lost 17.07% during the fiscal year ended September 30, 2008. The
market was negatively impacted by the flight from risk and de-linking from
fundamentals that resulted from the U.S. sub-prime mortgage meltdown. U.S.
financial institutions have been obligated to downsize their balance sheets by
writing-down billions of dollars to account for housing losses, while hedge
funds, facing margin calls, were compelled to de-leverage their portfolios by
selling their most liquid, highest quality assets. Fears related to the
sub-prime mortgage crisis spread through the market, seizing credit and
liquidity, as banks stopped lending to one another. In addition, energy prices
surged to historical highs in the first half of 2008, adding inflationary and
recessionary pressures to a plethora of issues: declining housing values, higher
food costs, increasing debt, and insignificant wage growth faced by U.S.
consumers. Such a market environment proved to be unprecedented as the U.S.
economy witnessed the nationalization of government-sponsored entities Fannie
Mae and Freddie Mac, its largest bank failure ever in Washington Mutual, Lehman
Brothers' filing for Chapter 11 bankruptcy, and the U.S. Treasury bailout of
insurance giant AIG. In order to address investors' growing concern about the
state of the U.S./global economy, the Fed cut rates seven times over the past
year to foster liquidity and ignite lending among banks, while the U.S. Treasury
requested an unprecedented $700B bailout package from Congress.
The fiscal year was marked by a de-linking from fundamentals amid the increased
levels of volatility, as measured by the VIX Index, and increased levels of risk
aversion. Thus, the fastest growing, most expensive, higher return on equity,
high momentum, and largest market cap stock quintiles were the worst performing
areas of the small cap growth market. Of the ten Global Industry Classification
Standard sectors, only energy posted positive returns, while
SEI Institutional Managed Trust / Annual Report / September 30, 2008
13
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
technology and consumer discretionary were the worst performers, down over 25%
for the period.
The Small Cap Growth Fund, Class A, lost 30.36% for the year ended September 30,
2008. Poor stock selection in consumer durables, technology, capital goods and
retailing, coupled with the reversal in energy and financials proved detrimental
to the Fund's relative performance. From a manager standpoint, Mazama's
contrarian approach remained unrewarded by the market despite the manager's
attractive valuations relative to peers and the Index. Risk aversion forced
skittish investors to ignore the strong fundamentals of Mazama's growth
companies. Wellington significantly detracted from performance due to the
manager's underweight to energy during the ramp up in prices within the sector,
and underweight to financials during the price reversal that dominated the
sector in the final quarter of the fiscal year. McKinley and Martingale also
significantly contributed to underperformance because of the managers' momentum
exposures which were adversely caught in the price reversal of energy and
financials. In addition, McKinley was hurt by holding securities which were
generally larger and more liquid.
There were two new sub-advisers, Los Angeles Capital Management and Equity
Research and Oppenheimer Capital, which SIMC added towards the end of the fiscal
year.
Small Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- ----------
Small Cap Growth Fund, Class A -30.36% -5.11% 1.58% 5.45% 8.58%
Small Cap Growth Fund, Class I -30.57% -5.36% 1.31% 5.12% 8.23%
Comparison of Change in the Value of a $100,000 Investment in the Small Cap
Growth Fund, Class A and Class I, versus the Russell 2000 Growth Index
(PERFORMANCE GRAPH)
Small Cap Small Cap Russell
Growth Fund, Growth Fund, 2000
Class A Class I Growth Index
------------ ------------ ------------
9/30/98 $100,000 $100,000 $100,000
9/30/99 155,000 154,330 132,626
9/30/00 240,682 238,584 171,968
9/30/01 137,606 135,917 98,734
9/30/02 107,188 105,542 80,803
9/30/03 157,216 154,407 114,517
9/30/04 168,692 165,302 128,173
9/30/05 198,999 194,466 151,201
9/30/06 206,799 201,620 160,091
9/30/07 244,125 237,388 190,406
9/30/08 170,020 164,826 157,897
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 8/6/01 is
performance derived from the performance of the Class A Shares.The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I shareholders.
Class A Shares were offered beginning 4/20/92 and Class I Shares were
offered beginning 8/6/01. Returns shown do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption
of fund shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
14
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Tax-Managed Small Cap Fund
Objective
The investment objective of the Tax-Managed Small Cap Fund (the "Fund") is
capital appreciation by investing in the equity securities of small companies.
The Fund attempts to maximize after-tax returns to investors through investing
in undervalued securities, selling stocks with the highest tax cost first and
offsetting losses with gains where possible.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire small/mid cap
universe, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. The Fund is jointly
sub-advised by eight investment managers. Assets of the Fund are strategically
allocated among the sub-advisers, each of which has a responsibility for stock
selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. BlackRock Capital Management ("BlackRock")
focuses on attractively valued companies with a near-term business catalyst.
David J. Greene and Company ("DJ Greene") invests in complex multi-segment
businesses often possessing several growth areas masked by a more-well known,
slower growing segment. LSV Asset Management ("LSV") takes advantage of
behavioral biases to invest in companies trading at deep discounts to their
intrinsic value and with near term earnings visibility. Mazama Capital
Management ("Mazama") invests primarily in stocks entering extended periods of
growth not yet understood by the market. McKinley Capital Management
("McKinley") emphasizes acceleration of the growth rate of companies relative to
that of the market and looks for companies with positive earnings surprise.
Parametric Portfolio Associates ("Parametric") invests in both value and growth
small-cap stocks through a quantitative process which aggressively harvests
tax-losses in the portfolio. Los Angeles Capital Management and Equity Research
("LA Capital") relies on a disciplined systematic approach which looks at factor
rotation in the market. The research process is focused on identifying
investment characteristics and factors that will work consistently across a
broad group of stocks. Wells Capital Management ("WCM") evaluates a company's
relative growth in conjunction with its relative valuation and fundamentals over
a two to three year timeframe. Attractiveness of a stock depends on what the
team considers the current and future risk premiums to be, and the extent to
which they will be rewarded for holding that stock.
Analysis
The Russell 2500 Index lost 17.99% during the fiscal year ended September 30,
2008. The market was negatively impacted by the flight from risk and de-linking
from fundamentals that resulted from the U.S. sub-prime mortgage meltdown. U.S.
financial institutions have been obligated to downsize their balance sheets by
writing-down billions of dollars to account for housing losses, while hedge
funds, facing margin calls, were compelled to de-leverage their portfolios by
selling their most liquid, highest quality assets. Fears related to the
sub-prime mortgage crisis spread through the market, seizing credit and
liquidity, as banks stopped lending to one another. In addition, energy prices
surged to historical highs in the first half of 2008, adding inflationary and
recessionary pressures to a plethora of issues: declining housing values, higher
food costs, increasing debt, and insignificant wage growth faced by U.S.
consumers. Such a market environment proved to be unprecedented as the U.S.
economy witnessed the nationalization of government sponsored-entities Fannie
Mae and Freddie Mac, its largest bank failure ever in Washington Mutual, Lehman
Brothers' filing for Chapter 11 bankruptcy, and the U.S. Treasury ("Treasury")
bailout of insurance giant AIG. In order to address investors' growing concern
about the state of the U.S./global economy, the Fed cut rates seven times over
the past year to foster liquidity and ignite lending among banks, while the
Treasury requested an unprecedented $700B bailout package from Congress.
The fiscal year was marked by a de-linking from fundamentals amid the increased
levels of volatility, as measured by the VIX Index, and heightened levels of
fear. In this regard, the most expensive securities, as measured by P/E, higher
return on equity, high momentum and largest market cap stock quintiles were the
worst performing areas of the small/mid cap market. None of the ten Global
SEI Institutional Managed Trust / Annual Report / September 30, 2008
15
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Industry Classification Standard sectors posted positive returns during the
period, with technology, telecom, and consumer discretionary weighing on the
market, down over 25% for the period. Financials recuperated some of the losses
incurred during the first nine months of the fiscal year with a fierce rally,
particularly in the banks and real estate areas, during the final fiscal
quarter.
The Tax-Managed Small Cap Fund, Class A, lost 23.34% for the year ended
September 30, 2008. A combination of adverse sector allocation and stock
selection in the consumer durables, real estate, energy, and diversified
financials areas overshadowed strong stock selection in industrials to drive the
Fund's underperformance for the period. On a manager level, Mazama's poor stock
selection in the technology, healthcare, and consumer discretionary severely
detracted from the manager's performance. Risk aversion forced skittish
investors to ignore the strong fundamentals of Mazama's growth companies.
McKinley's exposure to high price momentum stocks detracted from performance in
the midst of the sudden changes in market leaderships during the final quarter
of the fiscal year: shifts from energy boom to a bust, and a rally in financials
after serious losses. In addition, McKinley was hurt by holding securities which
were generally larger and more liquid. On a positive note, Parametric's
systematic tax harvesting process positively contributed to relative performance
amid strong stock selection, particularly in the consumer staples and materials
sectors.
There was one new sub-adviser, Wells Capital Management, which SIMC added
towards the end of the fiscal year. DJ Greene was acquired by Neuberger Berman
Management ("Neuberger") during the fiscal year. SIMC retained Neuberger as a
sub-adviser.
Tax-Managed Small Cap Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
-------- ---------- ---------- ----------
Tax-Managed Small Cap Fund,
Class A -23.34% -2.11% 5.68% 3.56%
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed
Small Cap Fund, Class A, versus the Russell 2500 Index
(PERFORMANCE GRAPH)
Tax-Managed Russell
Small Cap Fund, 2500
Class A Index
--------------- --------
10/31/00 $100,000 $100,000
9/30/01 81,544 83,519
9/30/02 75,440 77,293
9/30/03 100,053 104,804
9/30/04 116,362 124,206
9/30/05 140,561 150,646
9/30/06 148,293 163,907
9/30/07 172,016 188,766
9/30/08 131,866 154,813
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Fund shares were offered beginning 10/31/00. Returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that
period; absent fee waivers and reimbursements, performance would have been
lower
SEI Institutional Managed Trust / Annual Report / September 30, 2008
16
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Small/Mid Cap Diversified Alpha Fund
Objective
The Small/Mid Cap Diversified Alpha Fund (the "Fund") seeks to provide long-term
growth of capital and income by investing in the equity securities of small- and
mid-cap companies and in portfolio strategies designed to correlate to a
portfolio composed of small- and mid-cap equity securities. While the Fund is
expected to have an absolute return and risk profile similar to the broad U.S.
small/mid cap equity market, returns may be derived in part from investing
significant portions of the Fund in securities outside of the small/ mid cap
market.
Strategy
The Fund uses a multi-manager approach under the general supervision of SEI
Investments Management Corporation, allocating the assets among multiple
sub-advisers that use different investment strategies to seek to achieve returns
in excess of the performance of a broad U.S. large cap benchmark. This
allocation among investment strategies aims to diversify the sources from which
sub-advisers seek to achieve excess returns (i.e., returns in excess of a
benchmark index), and thereby diversify the relative risk of the Fund.
Some sub-advisers may engage in short sales of up to 30% of the value of their
Fund allocation and use the proceeds from the sale to purchase long positions in
additional equity securities. Some sub-advisers may also use portfolio
strategies that are designed to correlate with a portfolio of small/mid cap
equity securities, but which are composed of derivative instruments backed by
other types of securities.
Los Angeles Capital Management and Equity Research ("L.A. Capital"), Martingale
Asset Management ("Martingale"), and PanAgora Asset Management ("PanAgora") seek
to overweight stocks with attractive fundamental and/or technical
characteristics and underweight those without attractive characteristics. All
three sub-advisers use quantitative techniques to identify stock characteristics
or factors that they believe are predictive of future outperformance, although
the specific factors, definition of the factors and the factor weights in the
model vary. Integrity Asset Management ("Integrity") uses a blend of qualitative
and quantitative elements at each step of its process and focuses on the timing
of purchases to avoid value traps. Wellington Management Company focuses on
companies that demonstrate growth at reasonable prices. Smith Breeden seeks to
generate alpha within the U.S. fixed income market and transport it to the
equity market.
Analysis
The Russell 2500 Index lost 17.99% during the fiscal year ended September 30,
2008. The market was negatively impacted by the flight from risk and de-linking
from fundamentals that followed the U.S. sub-prime mortgage meltdown. U.S.
financial institutions have been obligated to downsize their balance sheets by
writing-down billions of dollars to account for housing losses, while hedge
funds, facing margin calls, were compelled to de-leverage their portfolios by
selling their most liquid, highest quality assets. Fears related to the
sub-prime mortgage crisis spread through the market, seizing credit and
liquidity, as banks stopped lending to one another. In addition, energy prices
surged to historical highs in the first half of 2008, adding inflationary and
recessionary pressures to a plethora of issues: declining housing values, higher
food costs, increasing debt, and insignificant wage growth faced by U.S.
consumers. Such a market environment proved to be unprecedented as the U.S.
economy witnessed the nationalization of government sponsored entities Fannie
Mae and Freddie Mac, its largest bank failure ever in Washington Mutual, Lehman
Brothers' filing for Chapter 11 bankruptcy, and the U.S. Treasury ("Treasury")
bailout of insurance giant AIG. In order to address investors' growing concerns
about the state of the U.S./global economy, the U.S. Federal Reserve cut rates
seven times over the past year to foster liquidity and ignite lending among
banks, while the Treasury requested an unprecedented $700B bailout package from
congress.
The fiscal year was marked by a de-linking from fundamentals amid the increased
levels of volatility, as measured by the VIX Index, and heightened levels of
risk aversion. In this regard, the most expensive securities, as measured by
P/E, higher return on equity, high momentum and largest market cap stock
quintiles were the worst
SEI Institutional Managed Trust / Annual Report / September 30, 2008
17
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
performing areas of the small/mid cap market. None of the ten Global Industry
Classification Standard sectors posted positive returns during the period, with
technology, telecom and consumer discretionary weighing on the market, down over
25% for the period. Financials recuperated some of the losses incurred during
the first nine months of the fiscal year with a fierce rally, particularly in
the banks and real estate areas, during the final fiscal quarter.
The Small/Mid Cap Diversified Alpha Fund lost 27.63% for the year ended
September 30, 2008, principally due to the struggles of alpha transport manager
Smith Breeden which remains entangled in the dislocation of the credit market.
From an equity sector standpoint, the Fund was adversely affected by poor stock
selection, particularly in the financials and industrials areas. From a manager
standpoint, Wellington particularly struggled with sector positioning, suffering
from dramatic price reversals that saw energy rise to historical highs and
financials fiercely rallying in the last quarter of the fiscal year.
Martingale's momentum exposure was also hampered by the aforementioned price
reversals, causing the manager to detract from performance in the period. L.A.
Capital's factor rotation, which focuses on factor sustainability, faced a
challenging environment due to the re-emergence of volatility and increased
fears in the markets. Finally, Smith Breeden underperformed for the period as
major issues in the credit markets generated significant stumbling blocks for
the manager's process during the period.
There were no sub-adviser changes during the fiscal year.
Small/Mid Cap Diversified Alpha Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized
One Year Inception
Return to Date
-------- ----------
Small/Mid Cap Diversified Alpha Fund,
Class A -27.63% -15.82%
Small/Mid Cap Diversified Alpha Fund,
Class I -27.72% -15.97%
Comparison of Change in the Value of a $100,000 Investment in the Small/Mid Cap
Diversified Alpha Fund, Class A and Class I, versus the Russell 2500 Index
(PERFORMANCE GRAPH)
Small/Mid Cap Small/Mid Cap
Diversified Alpha Diversified Alpha
Fund, Class A Fund, Class I Russell 2500 Index
----------------- ----------------- ------------------
12/20/06 $100,000 $100,000 $100,000
9/30/07 101,712 101,508 105,938
9/30/08 73,604 73,373 86,883
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 10/01/07 is
performance derived from the performance of the Class A Shares. The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I Shares. Class
A Shares were offered beginning 12/20/06 and Class I Shares were offered
beginning 10/01/07. Returns shown do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of
fund shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
18
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Mid-Cap Fund
Objective
The Mid-Cap Fund (the "Fund") seeks to provide long-term capital appreciation by
investing primarily in equity securities of mid-sized companies in a core style.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire small/mid cap
universe, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. The Fund is jointly
sub-advised by eight investment managers. Assets of the Fund are strategically
allocated among the sub-advisers, each of which has a responsibility for stock
selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. Martingale Asset Management ("Martingale")
employs a systematic approach focused on valuation, relative performance and
management quality. Martingale selects stocks of companies that have low price
to earnings ratios and price to book ratios, but that also have high sustainable
growth levels and some prospects of high positive earnings revisions.
Quantitative Management Associates ("QMA") believes that markets are largely
efficient, but that investors make systematic mistakes, and a quantitative
investment process that reduces the influence of biases on investment decisions
will more effectively identify and exploit common investor mistakes. QMA
emphasizes different factor metrics, depending on the growth rate of a company
to identify and exploit mispriced stocks.
Analysis
The U.S. mid-cap equity market, as measured by the Russell Mid-Cap Index, lost
22.36% during the fiscal year ended September 30, 2008. After five years of
steady growth, U.S. mid cap stocks were negatively impacted by the flight from
risk and de-linking from fundamentals that resulted from the sub-prime mortgage
meltdown. U.S. financial institutions were obligated to downsize their balance
sheets by writing-down billions of dollars to account for housing losses, while
hedge funds, facing margin calls, were compelled to deleverage their portfolios
by selling their most liquid, highest quality assets. Fears related to the
sub-prime mortgage crisis spread through the market, seizing credit and
liquidity, as banks stopped lending to one another. In addition, energy prices
surged to all-time highs in the first half of 2008, adding inflationary and
recessionary pressures to a plethora of issues: declining housing values, higher
food costs, increasing debt, and insignificant wage growth faced by U.S.
consumers. Such a market environment proved to be unprecedented as the U.S.
economy witnessed the nationalization of government-sponsored entities Fannie
Mae and Freddie Mac, its largest bank failure ever in Washington Mutual, Lehman
Brothers' filing for Chapter 11 bankruptcy, and the U.S. Treasury bailout of
insurance giant AIG. In order to address investors' growing concern about the
state of the U.S./global economy, the U.S. Federal Reserve cut rates seven times
over the past year to foster liquidity and ignite lending among banks, while the
U.S. Treasury requested an unprecedented $700B bailout package from Congress.
During the past fiscal year there has been a value bias in the mid cap universe,
as growth stocks underperformed their value counterparts by nearly 4%. Most of
this differential was realized in the last three months of the period due to a
sharp reversal and downturn of energy prices (energy has a higher weight in the
growth benchmark) and a rebound in consumer staples and financials' performances
(these sectors are more heavily weighted in the value benchmark). The fiscal
year was also marked by a de-linking from fundamentals amid the increased levels
of volatility, as measured by the VIX Index, and risk aversion. Thus, the
fastest growing, most expensive, higher return on equity, and largest market cap
stock quintiles were the worst performing areas of the mid cap market. None of
the ten Global Industry Classification Standard sectors posted positive returns,
and the consumer discretionary, technology, and telecom sectors were the worst
performers, down over 29% for the period.
The Mid-Cap Fund, Class A, lost 25.45% for the year ended September 30, 2008.
The Fund was hampered by adverse stock selection in the consumer staples,
materials and real estate areas, which erased the strong performance realized in
the consumer discretionary sector. From a manager standpoint, Martingale's
SEI Institutional Managed Trust / Annual Report / September 30, 2008
19
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
exposure to price momentum proved to be detrimental in the midst of sudden price
reversals in energy and financials. The manager's poor stock selection to high
P/E stocks significantly detracted from performance, as those stocks led the
market. QMA also underperformed during the period amid poor stock selection in
energy and adversely participating in the price reversal that dominated the last
quarter of the fiscal year. In addition, the manager was hurt by its allocation
to the growth areas of the market as measured by forward one year earnings
growth.
There were no sub-adviser changes during the fiscal year.
Mid-Cap Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- ----------
Mid-Cap Fund,
Class A -25.45% -1.68% 8.29% 8.25% 9.52%
Mid-Cap Fund,
Class I -25.70% -1.96% 7.97% 7.94% 9.20%
Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund,
Class A and Class I, versus the Russell Mid-Cap Index
(PERFORMANCE GRAPH)
Mid-Cap Fund, Mid-Cap Fund, Russell Mid-Cap
Class A Class I Index
------------- ------------- ---------------
9/30/98 $100,000 $100,000 $100,000
9/30/99 116,532 116,153 119,450
9/30/00 148,160 147,260 157,221
9/30/01 119,130 118,043 122,069
9/30/02 115,149 113,787 111,106
9/30/03 148,453 146,368 147,355
9/30/04 181,456 178,285 177,631
9/30/05 232,534 227,928 222,220
9/30/06 252,292 246,568 243,484
9/30/07 296,475 289,036 286,996
9/30/08 221,023 214,766 222,828
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 10/01/07 is
performance derived from the performance of the Class A Shares. The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I Shares. Class
A Shares were offered beginning 2/16/93 and Class I Shares were offered
beginning 10/01/07. Returns shown do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of
fund shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
20
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
U.S. Managed Volatility Fund
Objective
The U.S. Managed Volatility Fund (the "Fund") invests in common stocks and other
equity securities and employs a broad range of investment strategies intended to
generate capital appreciation, but with a lower level of volatility than the
broad U.S. equity markets.
Strategy
The Fund uses a multi-manager approach, relying on a number of sub-advisers with
differing investment approaches to manage portions of the Fund's portfolio under
the general supervision of SEI Investments Management Corporation ("SIMC"). Each
sub-adviser, in managing its portion of the Fund's assets, employs various
investment strategies intended to achieve returns similar to that of the broad
U.S. equity markets, but with a lower level of volatility over the long-term.
The Fund seeks to achieve lower volatility by constructing a portfolio of
securities that effectively weights securities based on their total expected
risk and return, without regard to market capitalization, industry or tracking
error targets relative to the broad market. As such, the Fund is expected to
have meaningful differentiations in terms of sector weights and short-term
performance relative to broad market indices.
The Fund utilizes Aronson + Johnson + Ortiz ("AJO") and Analytic Investors
("Analytic") as sub-advisers; each utilizes a differentiated investment and risk
model.
Analysis
The U.S. Managed Volatility Fund, Class A, lost 12.38% for the fiscal year ended
September 30, 2008. The S&P 500 Index lost 21.98% for the fiscal year.
U.S. large cap stocks sold off during the fiscal year, losing close to 22% for
the period ending September 30, 2008. Investors became increasingly concerned
about global economic growth being stunted by the current financial crisis,
which has led to higher borrowing costs and a decaying economic picture that
pressured consumers. Continued weakness in housing sent prices sharply lower as
the rally in oil prices, which peaked above $145 barrel in July, and tightening
credit further exacerbated the ongoing subprime crisis.
The year began on shaky ground as large cap stocks rallied from their August
lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of
September, but then soon gave way to downward pressure as several financial
institutions took large write-downs due to growing foreclosures and falling
asset (in particular homes) prices. In January alone, the market lost more than
10% as credit markets froze, which led the Fed to cut interest rates by 125
basis points in a two week span. In March, the market was stunned as Bear
Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal
government back stopping the deal. Markets then had a very brief rally driven by
energy and technology before eventually succumbing to pressure from credit
markets over the summer.
The financial crisis led to unprecedented government actions in the last quarter
of the fiscal year, which included the following: The SEC banned short sales on
financial firms twice, as the Government watched the FDIC take over IndyMac,
placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to
declare bankruptcy and go out of business, provided an $85 billion bridge loan
to AIG (the world's largest insurer) to prevent widespread financial collapse,
took over Washington Mutual selling off its assets to JPMorgan Chase and
brokered a deal for Wells Fargo to takeover Wachovia. By the end of September,
stocks were under severe selling pressure as the odds of a recession increased,
and frozen credit markets worldwide prevented companies and consumers from
accessing credit.
The fiscal year saw sharp reversals in trends as energy and materials sectors
continued to lead markets for the first nine months with returns of
approximately 17% and 4%, respectively. Energy rallied on the back of strong oil
prices and heightened supply concerns. The financial sector was a significant
underperformer weighed, down by the seizure in credit markets. Thrifts and
mortgage finance, consumer finance and investment banks were among the weakest
performers. Momentum factors outpaced value factors as investors sent energy and
materials stocks higher and financials lower; however, in July, investors
quickly shifted capital from energy markets into more defensive positions and
oversold financials. This marked a sharp reversal in trends from the previous
nine months as value stocks outpaced growth stocks by 6% and small cap stocks
beat their large cap brethren by 8% in the 4th quarter of the fiscal year.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
21
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Despite the reversal in the 4th quarter, the Russell 1000 Growth Index still
managed to outpace the Russell 1000 Value Index by close to 3% as both stronger
growing and more expensive stocks, as measured by P/E, outperformed despite
losing significant ground later in the fiscal year. In the end, this environment
benefited lower beta stocks over the entire fiscal year with investors flight to
quality picking up pace as credit markets deteriorated.
Given that the Fund is not managed against a specific benchmark; we would expect
it to vary significantly from the broad market performance on a shorter-term
basis. In particular, the Fund generally favors stocks with relatively low beta
to the overall equity market, such as utilities and consumer staples, and
largely avoids high beta stocks, such as information technology. We would expect
the Fund to have a difficult time keeping up with strongly rallying markets, but
provide strong downside protection in bear markets. In the recent fiscal year,
the broad equity market lost over 21%, and as such we are extremely pleased with
the portfolio's performance during a difficult market environment. For the
fiscal period, underweights to financials, information technology and consumer
discretionary stocks and overweights to staples and healthcare stocks were
beneficial. Strong stock selection across almost all sectors, particularly
utilities, also benefited the portfolio's relative performance. As an overall
theme for the year, investors rewarded a premium to lower beta stocks as a
flight to quality took hold and concerns about economic decay mounted. Both
managers, Analytic and AJO, outperformed in the period due to an overall
emphasis on lower beta stocks, which led to strong stock selection.
There were no sub-adviser changes during the fiscal year.
U.S. Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized
One Year 3 Year Inception
Return Return to Date
-------- ---------- ----------
U.S. Managed Volatility Fund,
Class A -12.38% 3.07% 6.03%
U.S. Managed Volatility Fund,
Class I -12.58% 2.70% 5.63%
Comparison of Change in the Value of a $150,000 Investment in the U.S. Managed
Volatility Fund, Class A and Class I, versus the S&P 500 Index
(PERFORMANCE GRAPH)
U.S. Managed Volatility U.S. Managed Volatility
Fund, Class A Fund, Class I S&P 500 Index
----------------------- ----------------------- -------------
10/28/04 $150,000 $150,000 $150,000
9/30/05 172,403 171,722 166,248
9/30/06 185,578 184,170 184,188
9/30/07 215,431 212,765 214,468
9/30/08 188,766 186,001 167,337
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 6/29/07 is
performance derived from the performance of the Class A Shares. The
performance of the Class I Shares may be lower then the performance of the
Class A Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 10/28/04 and Class I
Shares were offered beginning 6/29/07. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee waivers
and reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
22
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Global Managed Volatility Fund
Objective
The Global Managed Volatility Fund (the "Fund") invests in common stocks and
other equity securities and employs a broad range of investment strategies
intended to generate capital appreciation, but with a lower level of volatility
than the broad global equity market.
Strategy
The Fund uses a multi-manager approach, relying on sub-advisers with differing
investment approaches to manage portions of the Fund's portfolio under the
general supervision of SEI Investments Management Corporation. Each sub-adviser
employs various investment strategies intended to achieve returns similar to
that of the broad global equity markets, but with a lower level of volatility
over the long-term. The Fund seeks to achieve lower volatility by constructing a
portfolio that effectively weights securities based on their total expected risk
and return, without regard to market capitalization, industry or tracking error
targets relative to the broad market. As such, the Fund is expected to have
meaningful differentiations in terms of sector weights and short-term
performance relative to broad market indices.
The Fund utilizes Acadian Asset Management ("Acadian") and Analytic Investors
("Analytic") as sub-advisers, and each utilizes a differentiated investment and
risk model.
Analysis
The Fund's preference for low volatility stocks provided meaningful downside
protection for the fiscal year ended September 30, 2008. While the Fund declined
16.60%, it outperformed the Morgan Stanley MSCI World Index, which fell 26.04%,
by more than 9%. The Fund's reduction in volatility was achieved by targeting
low beta and low correlation stocks. Over 80 percent of the Fund's weight is
concentrated in the lower 2 quintiles of beta as calculated by Barra.
Within the traditional framework of sector attribution, the Fund was and remains
defensively positioned with an overweight to consumer staples, health care and
utilities and underweight to financials, energy, information technology,
materials and to a lesser extent industrials. Sector positioning was an overall
positive and contributed over 400 basis points ("bps") of alpha. In particular,
the overweight stance to consumer staples and health care generated over 300 bps
of excess return. Strong stock selection in financials and industrials further
aided return.
Both managers outperformed during the year. Success was driven primarily by
beneficial portfolio positioning among the lower volatility stocks. Analytics'
alpha model also contributed but to a lesser extent. Stock selection was
particularly strong in financials.
Acadian's positive alpha can be attributed to its positioning in low beta
stocks. Over 90 percent of Acadian's portfolio is located in the lower quintiles
of beta. The managers' alpha model, however, continued to generate a negative
selection effect. Sector selection, primarily in consumer staples and health
care was beneficial. In addition, positive stock selection within financials,
industrials and information technology sectors further aided return.
There were no sub-adviser changes during the fiscal year.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
23
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Global Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized
One Year Inception
Return to Date
-------- ----------
Global Managed Volatility Fund, Class A -16.60% -2.31%
Global Managed Volatility Fund, Class I -16.86% -2.71%
Comparison of Change in the Value of a $100,000 Investment in the Global Managed
Volatility Fund, Class A and Class I, versus the Morgan Stanley MSCI World Index
(PERFORMANCE GRAPH)
Global Managed Global Managed
Volatility Fund, Volatility Fund, Morgan Stanley
Class A Class I MSCI World Index
---------------- ---------------- ----------------
7/27/06 $100,000 $100,000 $100,000
9/30/06 103,700 103,586 104,898
9/30/07 113,945 113,288 127,031
9/30/08 95,033 94,191 93,952
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 6/29/07 is
performance derived from the performance of the Class A Shares. The
performance of the Class I Shares may be lower then the performance of the
Class A Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 7/27/06 and Class I
Shares were offered beginning 6/29/07. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee waivers
and reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
24
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Tax-Managed Managed Volatility Fund
Objective
The Tax-Managed Managed Volatility Fund (the "Fund") invests in common stocks
and other equity securities and employs a broad range of investment strategies
intended to generate capital appreciation, but with a lower level of volatility
than the broad U.S. equity markets. The Fund attempts to enhance after-tax
returns to investors through lower turnover and tax management techniques.
Strategy
The Fund uses a multi-manager approach, relying on a number of sub-advisers with
differing investment approaches to manage portions of the Fund's portfolio under
the general supervision of SEI Investments Management Corporation. Each
sub-adviser, in managing its portion of the Fund's assets, employs various
investment strategies intended to achieve returns similar to that of the broad
U.S. equity markets, but with a lower level of volatility over the long-term.
The Fund seeks to achieve lower volatility by constructing a portfolio of
securities that effectively weights securities based on their total expected
risk and return, without regard to market capitalization, industry or tracking
error targets relative to the broad market. As such, the Fund is expected to
have meaningful differentiation in terms of sector weights and short-term
performance relative to broad market indices.
The Fund utilizes Aronson + Johnson + Ortiz ("AJO"), Analytic Investors
("Analytic") and Parametric Portfolio Associates ("Parametric") as sub-advisers;
each brings a differentiated investment and risk model. Parametric serves as the
implementation manager for Analytic's investment process of harvesting tax
losses in order to enhance after-tax return.
Analysis
The Tax-Managed Managed Volatility Fund, Class A, returned -9.24% for the fiscal
period (inception December 20, 2007) ended September 30, 2008. The Russell 3000
Index returned -21.52% for the fiscal period.
U.S. equity markets sold off during the fiscal period losing close to 19% since
the Fund's inception through September 30, 2008.
Investors became increasingly concerned about global economic growth being
stunted by the current financial crisis, which has led to higher borrowing costs
and a decaying economic picture that pressured consumers. Continued weakness in
housing sent prices sharply lower as the rally in oil prices, which peaked above
$145 barrel in July, and tightening credit further exacerbated the ongoing
subprime crisis.
The year began on shaky ground as large cap stocks rallied from their August
lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of
September, but then soon gave way to downward pressure as several financial
institutions took large write-downs due to growing foreclosures and falling
asset (in particular homes) prices. In January alone, the market lost more than
10% as credit markets froze, which led the Fed to cut interest rates by 125
basis points in a two week span. In March, the market was stunned as Bear
Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal
government back stopping the deal. Markets then had a very brief rally driven by
energy and technology before eventually succumbing to pressure from credit
markets over the summer.
The financial crisis led to unprecedented government actions in the last quarter
of the fiscal year, which included the following: The SEC banned short sales on
financial firms twice, as the Government watched the FDIC take over IndyMac,
placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to
declare bankruptcy and go out of business, provided an $85 billion bridge loan
to AIG (the world's largest insurer) to prevent widespread financial collapse,
took over Washington Mutual selling off its assets to JPMorgan Chase and
brokered a deal for Wells Fargo to takeover Wachovia. By the end of September,
stocks were under severe selling pressure as the odds of a recession increased,
and frozen credit markets worldwide prevented companies and consumers from
accessing credit.
The fiscal year saw sharp reversals in trends as energy and materials sectors
continued to lead markets for the first nine months with returns of
approximately 17% and 4%, respectively. Energy rallied on the back of strong oil
prices and heightened supply concerns. The financial sector was a significant
underperformer, weighed down by
SEI Institutional Managed Trust / Annual Report / September 30, 2008
25
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
the credit market seizure. Thrifts and mortgage finance, consumer finance and
investment banks were among the weakest performers. Momentum factors outpaced
value factors as investors sent energy and materials stocks higher and
financials lower; however, in July, investors quickly shifted capital from
energy markets into more defensive positions and oversold financials. This
marked a sharp reversal in trends from the previous nine months as value stocks
outpaced growth stocks by 6% and small cap stocks beat their large cap brethren
by 8% in the 4th quarter of the fiscal year.
Despite the reversal in the 4th quarter, the Russell 1000 Growth Index still
managed to outpace the Russell 1000 Value Index by close to 3% as both stronger
growing and more expensive stocks, as measured by P/E, outperformed despite
losing significant ground later in the fiscal year. In the end, this environment
benefited lower beta stocks over the entire fiscal year with investors flight to
quality picking up pace as credit markets deteriorated.
Given that the Fund is not managed against a specific index; we would expect it
to vary significantly from the broad market performance on a short-term basis.
In particular, the Fund generally favors stocks with relatively low beta to the
overall equity market, such as utilities and consumer staples, and largely
avoids stocks with high beta, such as information technology. We would expect
the Fund to have a difficult time keeping up with strongly rallying markets, but
provide strong downside protection in bear markets. In the recent fiscal period,
the broad equity market lost over 19%, and as such we are extremely pleased with
how the portfolio performed during a difficult market environment. For the
fiscal period, being underweight financials, information technology and consumer
discretionary stocks and overweight staples and healthcare, benefited the Fund's
relative performance. Strong stock selection across most sectors, particularly
utilities, was also beneficial. As an overall theme for the year, investors
rewarded a premium to lower beta stocks as a flight to quality took hold and
concerns about economic decay mounted. Both sub-advisers, Analytic and AJO,
outperformed in the period due to an overall emphasis on lower beta stocks,
which led to their strong stock selection.
There were no sub-adviser changes during this fiscal period.
Tax-Managed Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Cumulative
Inception
to Date
----------
Tax-Managed Managed Volatility Fund -9.24%
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed
Managed Volatility Fund, versus the Russell 3000 Index
(PERFORMANCE GRAPH)
Tax-Managed
Managed Russell 3000
Volatility Fund Index
--------------- ------------
12/20/07 $100,000 $100,000
9/30/08 90,762 81,635
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Fund shares were offered beginning 12/20/07. Returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that
period; absent fee waivers and reimbursements, performance would have been
lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
26
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Real Estate Fund
Objective
The Real Estate Fund (the "Fund") seeks to provide total return including
current income and capital appreciation by investing in real estate securities.
Strategy
With respect to this Fund, SEI Investments Management Corporation employs a
multi-manager structure to gain exposure to the entire real estate sector in the
United States. The Fund is non-diversified and expects to hold a small number of
securities, thus increasing the importance of each holding. The Fund will invest
at least 80% of its net assets in equity securities of real estate investment
companies and real estate operating companies. The Fund is jointly sub-advised
by two investment managers. Assets of the Fund are strategically allocated among
its two sub-advisers, each of which has a responsibility for stock selection for
its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. Security Capital Research and Management
("Security Capital") integrates research on real estate sub-market analysis with
fundamental company analysis to find attractively priced securities. Wellington
Management Company ("Wellington") utilizes a unique risk/reward relative
valuation assessment to identify attractive real estate investments.
Analysis
The Wilshire Real Estate Securities (Full Cap) Index (the "Index") lost 12.86%
for the year ended September 30, 2008. The real estate segment of the market
experienced a broad based slowdown over the last twelve months, with a majority
of industries posting negative returns for the period. Three of the largest
detractors from the Index's performance were the hotel, regional malls and
industrials areas, while self storage was a positive contributor. Hotel Real
Estate Investment Trust's ("REIT") sold off as concerns surrounding debt laden
consumers continued to mount, and popular tourist areas showed signs of
significant drop-offs in volume. Regional malls also came under pressure due to
weakening consumer sentiment and slowing consumer spending. Industrial REIT's
were also hit hard as higher input costs and sharp declines in manufacturing put
pressure on the industry as a whole. Overall, investors became increasingly
concerned about REIT's ability to roll over issuance of debt as credit markets
seized up towards the end of the period. This put further pressure on the equity
of those companies, as investors sought to exploit the historically large yield
premiums available on debt and preferred instruments due to continued fallout
from the subprime meltdown and credit crisis.
The Real Estate Fund, Class A, returned -17.15% for the year ended September 30,
2008. The Fund lagged the Index in seven of its twelve sectors. Wellington
negatively impacted the Fund through stock selection in regional malls and an
underweight to the healthcare and self storage industries, the best performing
areas of the REIT market. Security Capital outperformed the Index for the period
through strong stock selection in regional malls and strip centers. Avoiding
troubled companies helped Security Capital to mitigate poor stock selection in
hotels and industrials.
There were no sub-adviser changes during the fiscal year.
Real Estate Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized
One Year 3 Year Inception
Return Return to Date
-------- ---------- ----------
Real Estate Fund, Class A -17.15% 4.47% 12.67%
Real Estate Fund, Class I -17.33% 4.20% 12.39%
Comparison of Change in the Value of a $100,000 Investment in the Real Estate
Fund, Class A and Class I, versus the Wilshire Real Estate Securities (Full Cap)
Index
(PERFORMANCE GRAPH)
Wilshire
Real Estate
Securities
Real Estate Fund, Real Estate Fund, (Full Cap)
Class A Class I Index
----------------- ----------------- ----------------
11/13/03 $100,000 $100,000 $100,000
9/30/04 120,817 120,526 120,298
9/30/05 157,028 156,310 154,808
9/30/06 204,821 203,342 198,677
9/30/07 216,076 213,934 206,378
9/30/08 179,016 176,863 179,841
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 10/01/07 is
performance derived from the performance of the Class A Shares. The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I Shares. Class
A Shares were offered beginning 11/13/03 and Class I Shares were offered
beginning 10/01/07. Returns shown do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of
fund shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
27
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Enhanced Income Fund
Objective
The Enhanced Income Fund (the "Fund") seeks to provide an enhanced return above
LIBOR (London InterBank Offered Rate).
Strategy
The Fund's investment strategy, using multiple sub-advisers, focuses on
generating absolute return through the management of securities in multiple
asset classes, including currency. The Fund's managers employ security selection
to invest in a diversified portfolio of short duration investment grade and
non-investment grade securities, including bank loans. Active currency
management is also utilized to enhance long-term performance.
Analysis
The Enhanced Income Fund, Class A, returned -12.42% for the year ended September
30, 2008, compared to 3.47% for the 3-Month LIBOR Index. The fixed income
markets experienced turbulent conditions during the period as escalating
delinquencies and defaults on sub-prime mortgages triggered a flight to safety
into U.S. Treasury ("Treasury") obligations. As economic momentum slowed and the
risk of recession grew, the U.S. Federal Reserve (the "Fed") lowered the
benchmark Fed Funds rate to 2% in late September (subsequently lowered to 1.0%
at the end of October) from 4.75% in September 2007. The two year Treasury yield
fell from almost 4.00% to roughly 2.00% at the end of September. Ten year
Treasury yields fell 76 basis points to 3.8% as the yield curve steepened. The
3-Month LIBOR rate fell from 5.23% to 4.05% during the period. The spread to Fed
Funds and short dated Treasury Bills widened significantly, however, reflecting
the market's concern about liquidity and counterparty risk.
The anticipation of increased losses in mortgage-backed and asset-backed
securities led to massive write downs on the balance sheets of some of the
world's premier financial institutions including Citigroup, UBS, Merrill Lynch,
Wachovia Bank and Lehman Brothers. The fixed income markets became dysfunctional
as the leading institutions ceased to provide liquidity even to some of the
highest quality sectors of the market. The crisis came to a boiling point in mid
March when the Government engineered a bailout of Bear Stearns, which was
subsequently acquired by JPMorgan Chase. In unprecedented action, the Fed put
several new liquidity facilities in place for the dealer community, including
the allowance of investment banks to borrow from the Fed's discount window, a
right historically limited to commercial banks. These efforts proved too little,
as we later witnessed the U.S. government takeover of Fannie Mae and Freddie
Mac, the fall of Lehman Brothers and Washington Mutual, the acquisition of
Merrill Lynch by Bank of America, the U.S. government bailout of AIG, foreign
government bailouts for various European banks, and a large U.S. money market
fund "breaking the buck."
The non-Treasury sectors of the market lagged the powerful rally in Treasury
securities leading to significant underperformance in these sectors.
Asset-backed securities underperformed similar duration Treasuries by 14.90% for
the period, while investment grade corporate bonds underperformed by 16.46% and
agency mortgages underperformed by 0.51%. Senior bank loans also underperformed
as investors began to anticipate higher levels of defaults in these sectors.
The Fund's heavy emphasis on the non-Treasury sectors detracted from relative
return for the period as yield spreads widened dramatically in the corporate,
mortgage and asset-backed markets. The Fund had a heavy allocation to mortgage
and asset-backed securities throughout the period, and emphasized non-agency
AAA-rated senior securities. These holdings detracted significantly from
performance as prices deteriorated with the loss of liquidity, and valuations
deteriorated to a level below what traditional credit fundamentals would
suggest. The portfolio's roughly 30% allocation to senior bank loans was the
other major detractor from performance during the period. Valuations in these
below investment grade instruments fell dramatically during the period, despite
their seniority in the capital structure, reflecting increased concerns about
economic strength and corporate profitability. The default rate in this sector
increased to an annualized rate of 3.1% at the end of September, outpacing the
market's long term average 12-month trailing default rate of 2.40%. In addition,
the massive backlog of bank loans on bank balance sheets, while slowly
declining, caused significant technical pressures on the market, further pushing
down secondary prices. Finally, the portfolio's currency strategy detracted from
SEI Institutional Managed Trust / Annual Report / September 30, 2008
28
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
performance modestly due to the increase in volatility and underperformance of
higher yielding currencies.
There was one new sub-adviser, UBS Global Asset Management, which SEI
Investments Management Corporation added towards the end of the fiscal year.
Enhanced Income Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized
One Year Inception
Return to Date
-------- ----------
Enhanced Income Fund, Class A -12.42% -4.16%
Enhanced Income Fund, Class I -12.61% -4.61%
Comparison of Change in the Value of a $100,000 Investment in the Enhanced
Income Fund, Class A and Class I, versus the 3-Month LIBOR Index
(PERFORMANCE GRAPH)
Enhanced Income Enhanced Income 3-Month LIBOR
Fund, Class A Fund, Class I Index
--------------- --------------- -------------
7/27/06 $100,000 $100,000 $100,000
9/30/96 101,100 100,993 100,997
9/30/07 104,089 103,258 106,623
9/30/08 91,161 90,237 110,767
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 6/29/07 is
performance derived from the performance of the Class A Shares.The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I shareholders.
Class A Shares were offered beginning 7/27/06 and Class I Shares were
offered beginning 6/29/07. Returns shown do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption
of fund shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
29
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Core Fixed Income Fund
Objective
The Core Fixed Income Fund (the "Fund") seeks to provide current income
consistent with the preservation of capital.
Strategy
The Fund's investment strategy focuses on sector rotation, both among and within
sectors, and issue selection. Risk is principally controlled by explicitly
limiting fund interest rate exposure relative to the Barclays Capital Aggregate
Bond Index (the "Index"), formerly the Lehman Aggregate Bond Index. The Fund's
sub-advisers focus on four key areas in determining portfolio structure:
duration weighting, term structure, sector allocation and issue selection. While
the duration and term structure decisions underlie the implementation process,
the sub-advisers primarily concentrate on sector and issue selection to add
value. In addition, the sub-advisers may engage in currency transactions using
futures, foreign currency forward contracts and other derivatives either to
hedge the Fund's currency exposure, or to enhance the Fund's return. This Fund
also allows tactical allocation to high yield and emerging market debt
securities.
Analysis
The Core Fixed Income Fund, Class A, lost 3.25% for the year ended September 30,
2008 compared to 3.66% for the Index. The fixed income markets experienced
turbulent conditions during the period as escalating delinquencies and defaults
on sub-prime mortgages triggered a flight to safety into U.S. Treasury
("Treasury") obligations. As economic momentum slowed and the risk of recession
grew, the U.S. Federal Reserve (the "Fed") lowered the benchmark Fed Funds rate
to 2% in late September (subsequently lowered to 1.0% at the end of October)
from 4.75% in September 2007. The two year Treasury yield fell from almost 4.00%
to roughly 2.00% at the end of September. Ten year Treasury yields fell 76 basis
points to 3.8% as the yield curve steepened.
The anticipation of increased losses in mortgage-backed and asset-backed
securities led to massive write downs on the balance sheets of some of the
world's premier financial institutions including Citigroup, UBS, Merrill Lynch,
Wachovia Bank and Lehman Brothers. The fixed income markets became dysfunctional
as the leading institutions ceased to provide liquidity even to some of the
highest quality sectors of the market. The crisis came to boiling point in mid
March when the U.S. government engineered a bailout of Bear Stearns, which was
subsequently acquired by JPMorgan Chase. In unprecedented action, the Fed put
several new liquidity facilities in place for the dealer community, including
the allowance of investment banks to borrow from the Fed's discount window, a
right historically limited to commercial banks. These efforts proved too little
as we later witnessed the U.S. government takeover of Fannie Mae and Freddie
Mac, the fall of Lehman Brothers and Washington Mutual, the acquisition of
Merrill Lynch by Bank of America, the U.S. government bailout of AIG, foreign
government bailouts for various European banks, and a large U.S. money market
fund "breaking the buck."
The non-Treasury sectors of the market lagged the powerful rally in Treasury
securities leading to significant underperformance in these sectors.
Asset-backed securities underperformed similar duration Treasuries by 14.90% for
the period, while investment grade corporate bonds underperformed by 16.46% and
agency mortgages underperformed by 0.51%. High yield bonds and senior bank loans
also underperformed as investors began to anticipate higher levels of defaults
in these sectors.
The Fund's overweighted position in mortgage-backed securities ("MBS"),
particularly non-agency MBS, was the primary source of underperformance for the
period. While actual sub-prime and nonagency holdings were limited to mostly
AAA-rated senior bonds, pricing in all sectors of the mortgage market suffered
as liquidity deteriorated. The portfolio maintained a modest underweight to the
corporate sector during the period, which was advantageous as yield spreads
widened. However, overweighted exposure to BBB-rated securities and security
selection within the financial sector caused a negative impact on return from
the corporate strategy. The Fund held a modestly long duration position for the
majority of the period, and was positioned with a yield curve steepening bias,
which added to relative performance as the Fed eased interest rates and yields
fell. The success of the interest rate strategy, however, was not enough to
offset the large underperformance in the mortgage sector.
There were no sub-adviser changes during the fiscal year.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
30
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
Core Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- ----------
Core Fixed Income Fund, Class A -3.25% 1.40% 2.27% 4.22% 6.38%
Core Fixed Income Fund, Class I -3.58% 1.14% 2.00% 3.89% 5.92%
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed
Income Fund, Class A and Class I, versus the Barclays Capital Aggregate Bond
Index+
(PERFORMANCE GRAPH)
Core Fixed Core Fixed Barclays
Income Fund, Income Fund, Capital Aggregate
Class A Class I Bond Index+
------------ ------------ -----------------
9/30/98 $100,000 $100,000 $100,000
9/30/99 99,038 98,574 99,634
9/30/00 105,941 104,943 106,599
9/30/01 119,716 118,232 120,407
9/30/02 126,763 124,767 130,757
9/30/03 135,171 132,714 137,831
9/30/04 141,089 138,184 142,900
9/30/05 145,083 141,608 146,895
9/30/06 150,305 146,480 152,289
9/30/07 156,316 151,959 160,095
9/30/08 151,243 146,516 165,961
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 8/6/01 is
performance derived from the performance of the Class A Shares.The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I shareholders.
Class A Shares were offered beginning 5/1/87 and Class I Shares were
offered beginning 8/6/01. Returns shown do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption
of fund shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
+ Formerly the Lehman Aggregate Bond Index.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
31
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
High Yield Bond Fund
Objective
The investment objective of the High Yield Bond Fund (the "Fund") is to maximize
total return by investing primarily in a diversified portfolio of higher
yielding, lower rated fixed income securities. The strategy seeks to achieve a
high level of total return through sector ration and security selection.
Strategy
Fund strategy is to identify high yield market sectors and securities that offer
investment opportunities through the analysis of macroeconomic, interest rate,
industry and technical factors. Those companies that are best suited to benefit
from the identified trends are then selected for investment. Risk is controlled
through a high level of diversification and by performing detailed and ongoing
credit analysis on the companies considered and purchased.
Analysis
The Merrill Lynch U.S. High Yield Master II Constrained Index (the "Index") lost
11.09% for the year ended September 30, 2008, as the financial crisis,
recessionary fears and limited market liquidity weighed heavily on the high
yield market. Health Services was the top performing sector on a contribution to
return basis. HCA and Tenet Healthcare, which are the two largest constituents,
led the sector higher as hospital companies attempted to improve free cash flow
and reduce debt. The integrated electric and pharmaceutical sectors were also
top performing sectors on a contribution to return basis. The auto loans sector
was the worst performing sector, as Ford Motor Credit Company and General Motors
Acceptance Corporation ("GMAC"), the only two constituents, struggled mightily
due to plummeting auto sales. GMAC also has exposure to the subprime residential
loan market, a terrible performer since last year, through its ownership
interest in Residential Capital. The gaming and printing/publishing sectors were
also poor performers on a contribution to return basis. Moody's global
issuer-based default rate, which began the period at just under 1%, climbed
higher to 2.8% by period's end. Although defaults are still currently below the
historical average of roughly 4.5%, the rating agency is forecasting a higher
than average default rate of 7.9% by September 2009, as a result of fallout from
the credit crisis that has gripped the markets since the summer of 2007.
The High Yield Bond Fund, Class A, underperformed the Index with a loss of
12.09% return during the year ended September 30, 2008. The major contributors
were underweights to Residential Capital, Washington Mutual, and Harrah's.
Residential Capital was extremely volatile, exhibiting negative performance
because their business primarily deals with subprime mortgages. Washington
Mutual filed for bankruptcy as regulators declared the company unstable and
failing after a panicky depositor run on the banking unit, and arranged to sell
its branch network and other valuable assets to JPMorgan. Harrah's recently
completed a leveraged buyout ("LBO") that resulted in more debt for the company.
The company's existing bonds sold off as did the newly issued debt. The major
detractors from performance during the period were overweights to RR Donnelley,
Claire's Stores and Delphi. RR Donnelley bonds were hit hard as the
printer-publisher experienced slower than expected growth with fears of online
advertising leading to questions regarding the firm's long term viability.
Claire's Stores was one of the last LBOs completed before the market meltdown.
The retailer's bonds suffered mightily on the heels of weak consumer confidence,
poor financial results, and recession fears. Delphi, a defaulted automotive
supplier thus an off-benchmark allocation, has been working its way through
bankruptcy, ran into trouble with its exit financing and its recovery valuations
suffered with the rest of the market.
There was one new sub-adviser, Delaware Management Company, which SEI
Investments Management Corporation added towards the end of the fiscal year.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
32
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008
High Yield Bond Fund:
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- ----------
High Yield Bond Fund, Class A -12.09% -0.02% 3.40% 3.94% 6.10%
High Yield Bond Fund, Class I -12.19% -0.13% 3.29% 3.82% 5.99%
Comparison of Change in the Value of a $100,000 Investment in the High Yield
Bond Fund, Class A and Class I, versus the Merrill Lynch U.S. High Yield Master
II Constrained Index.
(PERFORMANCE GRAPH)
Merrill Lynch U.S.
High Yield High Yield High Yield
Bond Fund, Bond Fund, Master II
Class A Class I Constrained Index
---------- ---------- ------------------
9/30/98 $100,000 $100,000 $100,000
9/30/99 103,508 103,302 103,862
9/30/00 103,414 103,173 104,792
9/30/01 98,492 97,989 98,367
9/30/02 103,859 103,230 97,308
9/30/03 124,503 123,770 125,331
9/30/04 137,999 136,891 140,779
9/30/05 147,262 146,103 150,052
9/30/06 156,847 155,466 160,881
9/30/07 167,392 165,746 173,414
9/30/08 147,158 145,549 154,179
(1) For the period ended 9/30/08. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 10/01/07 is
performance derived from the performance of the Class A Shares. The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I Shares. Class
A Shares were offered beginning 1/11/95 and Class I Shares were offered
beginning 10/01/07. Returns shown do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of
fund shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
33
SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Financials 22.2%
Energy 14.0%
Affiliated Partership 13.6%
Health Care 10.3%
Industrials 7.8%
Consumer Discretionary 7.2%
Consumer Staples 6.9%
Utilities 5.0%
Telecommunication Services 4.8%
Materials 3.5%
Information Technology 3.0%
Short-Term Investment 1.6%
U.S. Treasury Obligation 0.1%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK@ -- 98.2%
CONSUMER DISCRETIONARY -- 8.3%
Aeropostale* (A) 88,100 $ 2,829
AnnTaylor Stores* 5,500 114
Ascent Media, Cl A* (A) 2,710 66
Autoliv 156,600 5,285
Autonation* 13,400 151
Barnes & Noble (A) 94,200 2,457
Bed Bath & Beyond* 8,000 251
Black & Decker 18,900 1,148
BorgWarner 11,000 360
Brinker International 139,100 2,488
Brunswick (A) 105,100 1,344
Cablevision Systems, Cl A 25,300 637
Career Education* 7,900 129
Carnival (A) 49,300 1,743
CBS, Cl B 411,600 6,001
Centex 106,100 1,719
Coach* 87,400 2,188
Comcast, Cl A 478,700 9,397
Darden Restaurants 96,200 2,754
DIRECTV Group* 169,600 4,438
Discovery Communications, Cl A* (A) 27,100 386
Discovery Communications, Cl C* (A) 27,100 384
DR Horton (A) 51,400 669
Eastman Kodak (A) 167,400 2,575
Expedia* 25,300 382
Family Dollar Stores (A) 8,700 206
Foot Locker 8,300 134
Fortune Brands 1,200 69
Gannett (A) 211,700 3,580
Gap (A) 324,100 5,762
General Motors (A) 103,300 976
Genuine Parts 6,400 257
Goodyear Tire & Rubber* 114,800 1,758
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Harley-Davidson (A) 58,000 $ 2,163
Hasbro (A) 204,200 7,090
Home Depot (A) 930,600 24,093
HSN* 1,260 14
Idearc (A) 30,420 38
Interpublic Group* 13,600 105
Interval Leisure Group* 1,260 13
J.C. Penney 94,700 3,157
Jarden* 1,900 45
Johnson Controls 136,400 4,137
Jones Apparel Group 15,800 292
KB Home (A) 65,400 1,287
Kohl's* (A) 60,200 2,774
Leggett & Platt 4,600 100
Lennar, Cl A (A) 27,100 412
Liberty Global, Cl A* (A) 102,700 3,112
Liberty Media - Capital, Ser A* 5,000 67
Liberty Media - Interactive, Cl A* (A) 91,200 1,177
Limited Brands 7,600 132
Lowe's 100,200 2,374
Macy's 167,100 3,004
Mattel 181,300 3,271
McDonald's 74,300 4,584
McGraw-Hill 27,800 879
MDC Holdings 3,400 124
Mohawk Industries* (A) 1,900 128
New York Times, Cl A (A) 23,500 336
Newell Rubbermaid 31,000 535
News, Cl A 584,500 7,008
NVR* (A) 6,300 3,604
Office Depot* 57,100 332
Omnicom Group 2,700 104
O'Reilly Automotive* (A) 2,900 78
Orient-Express Hotels, Cl A (A) 3,300 80
Pulte Homes 49,000 685
Ross Stores (A) 67,500 2,485
Royal Caribbean Cruises 4,100 85
Saks* (A) 4,400 41
Scripps Networks Interactive, Cl A (A) 42,400 1,540
Sears Holdings* (A) 900 84
Service International 26,300 220
Sherwin-Williams (A) 58,400 3,338
Signet Jewelers 7,600 178
Snap-On 10,300 542
Stanley Works 122,797 5,126
Staples 36,300 817
Target 4,700 231
Ticketmaster* 1,260 14
Time Warner (A) 1,504,000 19,717
Time Warner Cable, Cl A* (A) 15,500 375
Toll Brothers* 42,900 1,082
VF 28,100 2,172
SEI Institutional Managed Trust / Annual Report / September 30, 2008
34
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Viacom, Cl B* 22,700 $ 564
Walt Disney (A) 433,400 13,301
Washington Post, Cl B 500 278
Whirlpool (A) 44,400 3,520
Williams-Sonoma (A) 6,400 104
Wyndham Worldwide 229,200 3,601
------------
199,386
------------
CONSUMER STAPLES -- 7.9%
Alberto-Culver 35,600 970
Altria Group 196,300 3,895
Anheuser-Busch 6,400 415
Archer-Daniels-Midland (A) 219,300 4,805
BJ's Wholesale Club* (A) 11,200 435
Brown-Forman, Cl B 8,000 574
Bunge (A) 21,100 1,333
Campbell Soup 3,500 135
Clorox 4,600 288
Coca-Cola (A) 112,100 5,929
Coca-Cola Enterprises (A) 326,500 5,475
Colgate-Palmolive 20,600 1,552
ConAgra Foods (A) 203,600 3,962
Constellation Brands, Cl A* (A) 43,700 938
Corn Products International 59,100 1,908
CVS Caremark 47,000 1,583
Del Monte Foods 368,100 2,871
General Mills 110,900 7,621
Herbalife 59,900 2,367
HJ Heinz 69,500 3,473
Hormel Foods 19,800 718
JM Smucker 13,000 659
Kellogg 50,800 2,850
Kimberly-Clark 177,700 11,522
Kraft Foods, Cl A 196,760 6,444
Kroger 518,200 14,240
Lorillard 5,700 406
Molson Coors Brewing, Cl B 9,500 444
Pepsi Bottling Group 324,100 9,454
PepsiCo 92,900 6,621
Philip Morris International 18,200 875
Procter & Gamble 627,700 43,744
Reynolds American 92,500 4,497
Safeway (A) 296,127 7,024
Sara Lee 192,400 2,430
Smithfield Foods* (A) 17,200 273
SUPERVALU 181,237 3,933
SYSCO 117,800 3,632
Tyson Foods, Cl A 164,500 1,964
UST 55,000 3,660
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Wal-Mart Stores 157,900 $ 9,457
WM Wrigley Jr. 58,300 4,629
------------
190,005
------------
ENERGY -- 16.2%
Anadarko Petroleum 163,300 7,922
Apache 150,500 15,694
BJ Services 40,900 782
Cabot Oil & Gas 18,200 658
Cameron International* 33,800 1,303
Chesapeake Energy (A) 25,800 925
Chevron 936,700 77,259
Cimarex Energy (A) 123,600 6,045
ConocoPhillips 821,193 60,152
Devon Energy 135,400 12,348
El Paso (A) 81,200 1,036
Encore Acquisition* 3,800 159
ENSCO International 1,800 104
EOG Resources 41,000 3,668
Exterran Holdings* (A) 8,100 259
Exxon Mobil 1,896,000 147,243
Forest Oil* 17,400 863
Helix Energy Solutions Group* (A) 12,700 308
Helmerich & Payne 19,200 829
Hercules Offshore* (A) 19,900 302
Key Energy Services* 9,800 114
Marathon Oil 293,900 11,718
Mariner Energy* 20,300 416
Murphy Oil 45,900 2,944
Nabors Industries* 39,200 977
Newfield Exploration* 19,300 617
Noble Energy 30,400 1,690
Occidental Petroleum 49,900 3,515
Overseas Shipholding Group (A) 8,600 501
Patterson-UTI Energy (A) 122,300 2,448
Petro-Canada 68,100 2,271
PetroHawk Energy* 2,100 45
Pioneer Natural Resources (A) 3,400 178
Plains Exploration & Production* 5,000 176
Pride International* 10,800 320
Rowan (A) 11,000 336
Schlumberger 28,350 2,214
SEACOR Holdings* 1,200 95
St. Mary Land & Exploration 5,900 210
Sunoco 59,700 2,124
Tidewater 28,600 1,583
Unit* 2,000 100
Valero Energy 373,300 11,311
W&T Offshore (A) 56,700 1,547
XTO Energy 53,100 2,470
------------
387,779
------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
35
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
FINANCIALS -- 25.7%
ACE 62,810 $ 3,400
Alexandria Real Estate Equities+ (A) 8,100 911
Alleghany* (A) 581 212
Allied Capital (A) 30,500 329
Allied World Assurance Holdings 25,500 906
Allstate (A) 443,400 20,450
AMB Property+ (A) 20,800 942
American Capital (A) 17,200 439
American Express 5,600 198
American Financial Group 133,200 3,929
American International Group (A) 755,300 2,515
Ameriprise Financial (A) 131,800 5,035
Annaly Capital Management+ (A) 206,200 2,773
AON 42,800 1,924
Apartment Investment & Management,
Cl A+ (A) 14,098 494
Associated Banc-Corp (A) 23,000 459
Assurant 91,800 5,049
Astoria Financial 49,000 1,016
AvalonBay Communities+ (A) 2,800 276
Axis Capital Holdings 252,300 8,000
Bancorpsouth (A) 33,900 954
Bank of America (A) 2,235,150 78,230
Bank of Hawaii (A) 13,000 695
Bank of New York Mellon 142,322 4,637
BB&T (A) 252,000 9,526
BlackRock 2,800 545
Boston Properties+ (A) 8,200 768
BRE Properties, Cl A+ 2,600 127
Brown & Brown 1,500 32
Camden Property Trust+ (A) 2,700 124
Capital One Financial (A) 190,900 9,736
CapitalSource+ (A) 51,400 632
CB Richard Ellis Group, Cl A* (A) 191,900 2,566
CBL & Associates Properties+ 4,400 88
Charles Schwab 156,400 4,066
Chubb 265,800 14,592
Cincinnati Financial 7,100 202
CIT Group (A) 268,700 1,870
Citigroup 1,989,200 40,798
City National (A) 1,500 81
CME Group 18,500 6,873
Comerica (A) 102,700 3,368
Commerce Bancshares (A) 27,200 1,262
Conseco* 9,300 33
Credicorp 13,200 822
Cullen/Frost Bankers 84,500 5,070
Digital Realty Trust+ (A) 2,600 123
Discover Financial Services (A) 256,050 3,539
Douglas Emmett+ 11,300 261
Duke Realty+ (A) 14,100 347
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Endurance Specialty Holdings (A) 185,000 $ 5,720
Equity Residential+ (A) 20,000 888
Erie Indemnity, Cl A 3,400 144
Essex Property Trust+ 5,600 663
Everest Re Group 80,000 6,922
Fannie Mae (A) 28,600 44
Federal Realty Investment Trust+ (A) 3,600 308
Federated Investors, Cl B (A) 78,500 2,265
Fidelity National Financial, Cl A 67,600 994
Fifth Third Bancorp (A) 101,300 1,205
First American 9,000 266
First Horizon National (A) 70,700 662
Franklin Resources 86,700 7,641
Freddie Mac 8,900 15
Fulton Financial (A) 55,400 604
Genworth Financial, Cl A 117,200 1,009
Goldman Sachs Group 181,000 23,168
Hanover Insurance Group 37,500 1,707
Hartford Financial Services Group 181,400 7,436
HCC Insurance Holdings 6,900 186
HCP+ (A) 42,200 1,693
Health Care+ (A) 33,800 1,799
Hospitality Properties Trust+ (A) 94,500 1,939
Hudson City Bancorp 145,700 2,688
Huntington Bancshares (A) 15,000 120
Invesco 27,700 581
Janus Capital Group (A) 122,200 2,967
Jefferies Group (A) 11,100 249
Jones Lang LaSalle 2,400 104
JPMorgan Chase 1,404,004 65,567
Keycorp (A) 381,500 4,555
Kilroy Realty+ 7,100 339
Kimco Realty+ 10,000 369
Legg Mason (A) 9,900 377
Leucadia National (A) 88,800 4,035
Liberty Property Trust+ 11,200 422
Lincoln National 203,467 8,710
Loews 178,400 7,045
M&T Bank (A) 9,800 875
Mack-Cali Realty+ (A) 11,400 386
Markel* 1,700 598
Marsh & McLennan 21,200 673
Marshall & Ilsley (A) 4,600 93
MBIA (A) 95,400 1,135
Merrill Lynch (A) 146,500 3,706
MetLife (A) 158,200 8,859
MGIC Investment (A) 78,700 553
Moody's (A) 35,000 1,190
Morgan Stanley 438,400 10,083
NASDAQ Stock Market* 16,900 517
National City (A) 213,600 374
SEI Institutional Managed Trust / Annual Report / September 30, 2008
36
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Nationwide Financial Services,
Cl A (A) 87,300 $ 4,307
Nationwide Health Properties+ 30,100 1,083
New York Community Bancorp (A) 89,800 1,508
Northern Trust (A) 16,700 1,206
NYSE Euronext (A) 37,900 1,485
Old Republic International (A) 12,600 161
PartnerRe 18,400 1,253
People's United Financial (A) 66,000 1,271
Philadelphia Consolidated Holding* 9,400 551
Plum Creek Timber+ 10,100 504
PNC Financial Services Group (A) 117,955 8,811
Popular (A) 167,100 1,385
Principal Financial Group (A) 110,000 4,784
Progressive (A) 261,200 4,545
Prologis+ (A) 63,000 2,600
Protective Life 12,700 362
Prudential Financial 112,000 8,064
Public Storage+ 31,700 3,139
Raymond James Financial (A) 14,600 482
Rayonier+ 8,300 393
Regency Centers+ (A) 8,100 540
Regions Financial (A) 667,084 6,404
Reinsurance Group of America,
Cl A (A) 3,000 162
RenaissanceRe Holdings 20,700 1,076
St. Joe (A) 3,300 129
StanCorp Financial Group 10,900 567
State Street 70,100 3,987
Sunstone Hotel Investors+ (A) 95,800 1,293
SunTrust Banks (A) 133,900 6,024
Synovus Financial (A) 31,400 325
T. Rowe Price Group (A) 51,800 2,782
TCF Financial (A) 12,500 225
Torchmark (A) 80,700 4,826
Travelers 553,700 25,027
Tree.com* 210 1
UDR+ (A) 34,900 913
UnionBanCal 4,800 352
Unum Group (A) 136,300 3,421
US Bancorp (A) 378,700 13,641
Valley National Bancorp (A) 17,469 366
Ventas+ (A) 21,700 1,072
Vornado Realty Trust+ 14,700 1,337
Wachovia (A) 387,280 1,355
Washington Federal (A) 22,300 411
Weingarten Realty Investors+ (A) 10,100 360
Wells Fargo (A) 992,100 37,234
Whitney Holding (A) 2,800 68
Wilmington Trust (A) 12,900 372
WR Berkley 144,200 3,396
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
XL Capital, Cl A (A) 104,200 $ 1,869
Zions Bancorporation (A) 58,900 2,279
------------
615,380
------------
HEALTH CARE -- 12.0%
Abbott Laboratories 21,200 1,221
Aetna 11,000 397
Alcon 27,700 4,474
AmerisourceBergen 168,400 6,340
Amgen* 402,000 23,827
Barr Pharmaceuticals* 6,300 411
Baxter International 18,000 1,181
Becton Dickinson 22,900 1,838
Boston Scientific* 238,600 2,928
Cardinal Health 130,900 6,451
Celgene* 66,500 4,208
Charles River Laboratories International* 5,900 328
Cigna 148,700 5,053
Community Health Systems* (A) 8,600 252
Coventry Health Care* 86,800 2,825
Covidien 82,350 4,427
Eli Lilly 387,000 17,040
Forest Laboratories* (A) 127,800 3,614
Genentech* 40,200 3,565
Gilead Sciences* 96,800 4,412
Health Management Associates, Cl A* 22,700 94
Health Net* 4,400 104
Hill-Rom Holdings (A) 3,200 97
Hologic* 10,500 203
Hospira* (A) 11,400 435
Humana* 71,000 2,925
ImClone Systems* 2,500 156
IMS Health 3,300 62
Invitrogen* (A) 25,700 971
Johnson & Johnson 670,100 46,425
King Pharmaceuticals* (A) 582,900 5,584
LifePoint Hospitals* (A) 5,500 177
McKesson 107,400 5,779
Medco Health Solutions* 78,900 3,551
Merck 736,200 23,234
Mylan Laboratories* (A) 47,600 544
Omnicare 7,400 213
Pediatrix Medical Group* 2,200 119
PerkinElmer 7,500 187
Pfizer 3,694,600 68,128
Tenet Healthcare* (A) 54,700 304
Thermo Fisher Scientific* 40,000 2,200
UnitedHealth Group 235,800 5,987
Universal Health Services, Cl B 6,100 342
WellPoint* 95,600 4,471
SEI Institutional Managed Trust / Annual Report / September 30, 2008
37
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Wyeth 490,300 $ 18,112
Zimmer Holdings* 8,500 549
------------
285,745
------------
INDUSTRIALS -- 9.1%
3M 35,200 2,405
AGCO* 6,400 273
Alexander & Baldwin 3,600 159
Alliant Techsystems* 1,000 94
Allied Waste Industries* 174,100 1,934
AMR* (A) 22,900 225
Avery Dennison 7,700 342
Caterpillar 50,500 3,010
Cintas 9,400 270
Continental Airlines, Cl B* 6,600 110
Con-way 9,400 415
Cooper Industries, Cl A 3,900 156
Crane 24,000 713
CSX 42,000 2,292
Cummins 97,100 4,245
Danaher 4,600 319
Deere (A) 22,400 1,109
Delta Air Lines* (A) 25,800 192
Dover 59,800 2,425
DRS Technologies 5,600 430
Dun & Bradstreet 1,200 113
Eaton 67,100 3,770
Emerson Electric 75,800 3,092
Equifax 13,800 475
FedEx 51,100 4,039
Flowserve 4,900 435
Fluor 17,400 969
Gardner Denver* 55,100 1,913
GATX (A) 10,500 415
General Dynamics 67,900 4,999
General Electric 3,787,400 96,579
Harsco 56,700 2,109
Hertz Global Holdings* 73,900 559
Honeywell International 117,900 4,899
Hubbell, Cl B 6,000 210
Illinois Tool Works 212,400 9,441
Ingersoll-Rand, Cl A 147,600 4,601
Kansas City Southern* 6,500 288
KBR 3,200 49
L-3 Communications Holdings 40,500 3,982
Lincoln Electric Holdings 5,500 354
Lockheed Martin 30,600 3,356
Manpower 14,800 639
Masco (A) 92,500 1,659
Norfolk Southern 81,600 5,403
Northrop Grumman 152,700 9,244
Northwest Airlines* (A) 47,400 428
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Owens Corning* (A) 12,600 $ 301
Parker Hannifin 56,700 3,005
Pentair 19,200 664
Quanta Services* 4,000 108
Raytheon 65,600 3,510
Republic Services 1,300 39
RR Donnelley & Sons 10,600 260
Ryder System 19,800 1,228
Spirit Aerosystems Holdings, Cl A* 19,700 317
Teleflex 300 19
Terex* (A) 31,400 958
Timken 13,800 391
Trinity Industries (A) 14,900 383
Tyco International 72,600 2,542
Union Pacific 36,000 2,562
United Technologies 247,700 14,877
URS* 9,900 363
USG* (A) 6,100 156
Waste Management 12,400 390
WESCO International* 5,600 180
------------
217,391
------------
INFORMATION TECHNOLOGY -- 3.5%
ADC Telecommunications* (A) 10,400 88
Advanced Micro Devices* (A) 30,100 158
Affiliated Computer Services, Cl A* (A) 16,400 830
Amdocs* 5,100 140
Anixter International* 42,100 2,505
Apple* 36,400 4,137
Arrow Electronics* 33,800 886
Avnet* 3,300 81
Brocade Communications Systems* 45,300 264
CA 15,600 311
Cisco Systems* 71,900 1,622
Computer Sciences* 182,800 7,347
Compuware* (A) 126,200 1,223
Convergys* 40,300 596
Cree* (A) 16,400 374
EMC* 27,700 331
Fidelity National Information Services 9,300 172
Flextronics International* 236,500 1,674
Google, Cl A* 11,100 4,446
Hewitt Associates, Cl A* 96,500 3,516
Hewlett-Packard 200,300 9,262
IAC* 10,350 179
Ingram Micro, Cl A* 77,200 1,241
Intel 183,500 3,437
International Business Machines 28,400 3,322
Intersil, Cl A 1,300 22
Jabil Circuit 6,800 65
JDS Uniphase* 12,300 104
Lender Processing Services 3,800 116
SEI Institutional Managed Trust / Annual Report / September 30, 2008
38
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Lexmark International, Cl A* 17,500 $ 570
LSI Logic* (A) 84,100 451
Micron Technology* (A) 49,700 201
Microsoft 108,000 2,883
Molex (A) 28,500 640
Motorola 597,100 4,263
NCR* 5,300 117
Novellus Systems* (A) 10,600 208
QLogic* (A) 33,200 510
Qualcomm 26,400 1,134
SAIC* 6,300 127
SanDisk* (A) 5,000 98
Seagate Technology 405,200 4,911
Sun Microsystems* (A) 26,300 200
Symantec* 261,600 5,122
Synopsys* 18,000 359
Tech Data* 7,600 227
Teradata* 5,800 113
Teradyne* 15,600 122
Texas Instruments 106,600 2,292
Tyco Electronics 33,550 929
Vishay Intertechnology* (A) 146,800 972
Western Digital* 224,000 4,776
Xerox 319,200 3,680
------------
83,354
------------
MATERIALS -- 4.1%
Air Products & Chemicals 20,700 1,418
Alcoa (A) 360,500 8,140
Aptargroup 4,400 172
Ashland 22,900 670
Ball (A) 44,500 1,757
Bemis 11,300 296
Cabot 8,900 283
Carpenter Technology 56,600 1,452
Century Aluminum* (A) 1,700 47
Dow Chemical (A) 516,400 16,411
E.I. Du Pont de Nemours (A) 231,700 9,338
Eastman Chemical (A) 121,500 6,690
FMC 24,300 1,249
Freeport-McMoRan Copper & Gold,
Cl B (A) 126,855 7,212
International Paper (A) 267,100 6,993
Lubrizol 127,400 5,496
MeadWestvaco (A) 8,600 200
Monsanto 45,000 4,454
Nucor (A) 195,300 7,714
Owens-Illinois* (A) 60,200 1,770
Packaging Corp of America 1,600 37
Pactiv* (A) 16,400 407
PPG Industries 81,200 4,736
Reliance Steel & Aluminum 4,000 152
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
RPM International (A) 14,700 $ 284
Schnitzer Steel Industries, Cl A 2,000 78
Sealed Air (A) 46,200 1,016
Sigma-Aldrich (A) 33,500 1,756
Smurfit-Stone Container* 237,700 1,117
Sonoco Products 111,800 3,318
Steel Dynamics 18,800 321
United States Steel 200 16
Valspar 74,900 1,670
Vulcan Materials (A) 9,300 693
Weyerhaeuser 10,100 612
------------
97,975
------------
TELECOMMUNICATION SERVICES -- 5.6%
AT&T 2,943,602 82,186
CenturyTel (A) 96,900 3,551
Crown Castle International* 35,200 1,020
Frontier Communications 15,900 183
Leap Wireless International* (A) 4,800 183
Sprint Nextel (A) 1,112,950 6,789
Telephone & Data Systems 4,200 150
Verizon Communications 1,214,100 38,960
Windstream 36,026 394
------------
133,416
------------
UTILITIES -- 5.8%
Alliant Energy 243,200 7,833
Ameren (A) 111,700 4,360
American Electric Power 261,300 9,676
American Water Works (A) 5,400 116
Atmos Energy 7,700 205
Centerpoint Energy 3,700 54
CMS Energy (A) 119,700 1,493
Consolidated Edison (A) 128,400 5,516
Constellation Energy Group 6,500 158
Dominion Resources (A) 93,800 4,013
DPL (A) 14,300 355
DTE Energy (A) 187,300 7,514
Duke Energy 507,448 8,845
Dynegy, Cl A* 17,100 61
Edison International 118,500 4,728
Energen 32,800 1,485
Entergy 49,900 4,442
Exelon 70,100 4,390
FirstEnergy 143,400 9,606
FPL Group 67,900 3,415
Great Plains Energy 5,400 120
Hawaiian Electric Industries (A) 41,400 1,205
Integrys Energy Group 6,400 320
MDU Resources Group 15,400 447
National Fuel Gas (A) 9,600 405
SEI Institutional Managed Trust / Annual Report / September 30, 2008
39
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Concluded)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
NiSource 29,700 $ 438
Northeast Utilities 1,800 46
NRG Energy* 9,000 223
NSTAR (A) 20,000 670
OGE Energy 20,100 621
Oneok 77,500 2,666
Pepco Holdings 183,400 4,202
PG&E 184,400 6,906
Pinnacle West Capital (A) 238,900 8,221
Progress Energy 65,200 2,812
Public Service Enterprise Group (A) 105,800 3,469
Puget Energy 62,200 1,661
Questar 24,800 1,015
Reliant Energy* 255,100 1,875
SCANA (A) 28,900 1,125
Sempra Energy 41,000 2,069
Sierra Pacific Resources 206,700 1,980
Southern (A) 153,100 5,770
Southern Union 5,100 105
TECO Energy 27,600 434
UGI 45,600 1,177
Vectren 30,500 849
Wisconsin Energy 65,500 2,941
Xcel Energy (A) 318,500 6,367
------------
138,404
------------
Total Common Stock
(Cost $2,458,480) ($ Thousands) 2,348,835
------------
AFFILIATED PARTNERSHIP -- 15.7%
SEI Liquidity Fund, L.P.,
2.590%**++ (B) 381,977,620 376,211
------------
Total Affiliated Partnership
(Cost $381,978) ($ Thousands) 376,211
------------
CASH EQUIVALENT -- 1.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 2.350%**++ 43,354,807 43,355
------------
Total Cash Equivalent
(Cost $43,355) ($ Thousands) 43,355
------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills
1.657%, 11/20/08 (C) (D) $ 4,199 $ 4,198
------------
Total U.S. Treasury Obligation
(Cost $4,189) ($ Thousands) 4,198
------------
Total Investments -- 115.9%
(Cost $2,888,002) ($ Thousands) $ 2,772,599
============
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
S&P 500 Composite Index 87 Dec-2008 $(512)
=====
Percentages are based on Net Assets of $2,391,872 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
@ Narrow Industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
(A) This Security or a partial position of this security is on loan at
September 30, 2008 (see Note 7). The total market value of securities on
loan at September 30, 2008 was $395,738 ($ Thousands).
(B) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2008 was $376,211 ($ Thousands).
(C) The rate reported is the effective yield at time of purchase.
(D) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
Cl -- Class
L.P. -- Limited Partnership
Ser -- Series
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
40
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Information Technology 28.2%
Health Care 13.3%
Consumer Staples 9.8%
Industrials 9.8%
Energy 9.2%
Affiliated Partnership 8.6%
Consumer Discretionary 8.5%
Financials 6.0%
Materials 2.5%
Cash Equivalents 1.7%
Telecommunication Services 1.4%
Utilities 0.8%
U.S. Treasury Obligation 0.2%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK@ -- 98.5%
CONSUMER DISCRETIONARY -- 9.4%
Abercrombie & Fitch, Cl A 11,400 $ 450
Advance Auto Parts 8,100 321
Amazon.com* (A) 272,680 19,840
American Eagle Outfitters (A) 90,900 1,386
Apollo Group, Cl A* (A) 83,400 4,946
Autozone* 3,169 391
Bed Bath & Beyond* 7,500 236
Best Buy 22,700 851
Big Lots* (A) 41,200 1,147
BorgWarner 23,400 767
Boyd Gaming (A) 13,200 124
Brinker International 72,900 1,304
Burger King Holdings 16,200 398
Carnival 3,500 124
Central European Media Enterprises, Cl A* 2,300 150
Chipotle Mexican Grill, Cl A* 700 39
Coach* 367,381 9,199
Coldwater Creek* (A) 15,500 90
Comcast, Cl A 229,320 4,502
Darden Restaurants 21,459 614
DeVry 6,300 312
Dick's Sporting Goods* 12,400 243
DIRECTV Group* 233,800 6,119
DISH Network, Cl A* 24,600 517
Dollar Tree* (A) 34,789 1,265
Fortune Brands (A) 120,420 6,907
GameStop, Cl A* 70,700 2,419
Gap 60,100 1,069
Garmin 2,300 78
Gentex 3,200 46
Goodyear Tire & Rubber* 32,400 496
Guess? 9,000 313
Gymboree* 21,100 749
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
H&R Block 119,600 $ 2,721
Hanesbrands* 17,300 376
Hasbro 25,400 882
International Game Technology 109,700 1,885
Interpublic Group* 17,900 139
ITT Educational Services* (A) 11,800 955
J.C. Penney 19,600 653
John Wiley & Sons, Cl A 5,800 235
Johnson Controls (A) 318,200 9,651
Kohl's* (A) 57,900 2,668
Liberty Global, Cl A* 71,882 2,178
Liberty Media - Entertainment, Cl A * 91,500 2,285
Limited Brands (A) 29,400 509
LKQ* 22,500 382
Lowe's 531,215 12,584
Macy's 34,700 624
Marriott International, Cl A (A) 130,160 3,396
McDonald's 311,200 19,201
McGraw-Hill 148,821 4,704
MGM Mirage* (A) 552,800 15,755
New York* 11,300 108
Newell Rubbermaid 116,330 2,008
News, Cl A 45,384 544
Nike, Cl B 150,600 10,075
Omnicom Group 17,628 680
Orient-Express Hotels, Cl A 5,200 125
Panera Bread, Cl A* 2,800 143
Penn National Gaming* 12,600 335
Polo Ralph Lauren 1,800 120
priceline.com* 7,300 500
Pulte Homes 11,600 162
Ross Stores 30,800 1,134
Sherwin-Williams 1,800 103
Sirius XM Radio* 337,640 192
Stamps.com* 15,500 181
Staples (A) 823,400 18,527
Starwood Hotels & Resorts Worldwide 112,870 3,176
Strayer Education 1,100 220
Target 285,732 14,015
Tiffany 16,800 597
Tim Hortons 15,903 471
Time Warner Cable, Cl A* 3,200 77
Titan International (A) 16,425 350
TJX 55,700 1,700
Urban Outfitters* (A) 86,400 2,754
Viacom, Cl B* 273,211 6,787
WABCO Holdings 1,333 47
Walt Disney (A) 30,800 945
Weight Watchers International (A) 370,800 13,570
Williams-Sonoma 5,300 86
Wynn Resorts 6,500 531
Yum! Brands 104,604 3,411
------------
232,869
------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
41
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
CONSUMER STAPLES -- 10.8%
Alberto-Culver 5,300 $ 144
Altria Group 264,440 5,246
Anheuser-Busch 10,063 653
Avon Products 36,500 1,517
Brown-Forman, Cl B 21,000 1,508
Campbell Soup 23,467 906
Central European Distribution* 7,000 318
Church & Dwight 17,700 1,099
Coca-Cola (A) 722,457 38,204
Colgate-Palmolive 177,267 13,357
Costco Wholesale (A) 123,000 7,986
CVS Caremark 422,331 14,216
Diamond Foods 2,200 62
Energizer Holdings* 6,100 491
Estee Lauder, Cl A 6,700 334
General Mills 1,000 69
Herbalife 12,600 498
HJ Heinz 54,300 2,713
Kellogg 13,900 780
Kimberly-Clark 89,902 5,829
Kraft Foods, Cl A 108,520 3,554
Kroger 200,500 5,510
Lorillard 4,400 313
McCormick 1,100 42
NBTY* 5,800 171
PepsiCo 577,164 41,134
Philip Morris International 291,940 14,042
Procter & Gamble 795,405 55,432
Reynolds American 31,500 1,532
SYSCO 6,400 197
Walgreen 568,285 17,594
Wal-Mart Stores 496,001 29,706
Whole Foods Market 17,600 353
WM Wrigley Jr. 25,600 2,033
------------
267,543
------------
ENERGY -- 10.2%
Arch Coal 24,700 812
Atwood Oceanics* 4,800 175
Baker Hughes 2,333 141
Cabot Oil & Gas 19,500 705
Cameron International* (A) 207,352 7,991
Chesapeake Energy (A) 365,008 13,089
Chevron 17,622 1,453
Consol Energy 28,500 1,308
Continental Resources* 19,300 757
Core Laboratories 27,800 2,817
Denbury Resources* 37,900 722
Devon Energy 53,000 4,834
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Diamond Offshore Drilling (A) 12,300 $ 1,268
Dresser-Rand Group* 5,300 167
Encore Acquisition* 6,000 251
ENSCO International 70,900 4,086
EOG Resources 200,400 17,928
Exxon Mobil 143,300 11,129
FMC Technologies* 18,200 847
Foundation Coal Holdings 10,300 366
Frontline 12,600 606
Halliburton 785,990 25,458
Hess 204,060 16,749
Mariner Energy* 33,900 695
Massey Energy (A) 37,200 1,327
Murphy Oil 39,500 2,534
Nabors Industries* 185,800 4,630
National Oilwell Varco* 31,729 1,594
Noble 96,900 4,254
Noble Energy 35,900 1,996
Occidental Petroleum 250,900 17,676
Oceaneering International* 1,300 69
Oil States International* 3,200 113
Overseas Shipholding Group 4,300 251
Patriot Coal* 34,200 994
Patterson-UTI Energy (A) 42,600 853
Peabody Energy 8,800 396
PetroHawk Energy* 31,800 688
Plains Exploration & Production* 24,900 875
Pride International* 42,800 1,267
Quicksilver Resources* 45,400 891
Range Resources 33,100 1,419
SandRidge Energy* 7,100 139
Schlumberger 524,382 40,949
SEACOR Holdings* (A) 14,000 1,105
Smith International 48,400 2,838
Southwestern Energy* (A) 160,700 4,908
St. Mary Land & Exploration 2,400 86
Suncor Energy 310,040 13,065
Superior Energy Services* 24,600 766
Swift Energy* 5,200 201
Tesoro 1,800 30
Tidewater 11,400 631
Transocean 38,412 4,219
Ultra Petroleum* 50,800 2,811
Unit* 45,100 2,247
W&T Offshore 9,700 265
Weatherford International* (A) 476,726 11,985
Whiting Petroleum* 12,800 912
Williams (A) 121,500 2,873
XTO Energy 130,586 6,075
------------
252,286
------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
42
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
FINANCIALS -- 6.6%
Aflac 49,034 $ 2,881
American Express 357,346 12,661
American Physicians Capital 9,800 415
Apartment Investment & Management, Cl A+ 12,713 445
Aspen Insurance Holdings 14,100 388
BlackRock 6,400 1,245
Camden Property Trust+ 2,800 128
CB Richard Ellis Group, Cl A* 8,600 115
Charles Schwab (A) 885,211 23,015
Citigroup 440,300 9,031
CME Group 100,244 37,242
Digital Realty Trust+ 6,900 326
Discover Financial Services (A) 34,500 477
Eaton Vance 6,700 236
Essex Property Trust+ 3,700 438
Federal Realty Investment Trust+ 1,600 137
Federated Investors, Cl B 25,000 721
First Cash Financial Services* 10,100 152
Goldman Sachs Group 15,596 1,996
HCP+ 16,200 650
Health Care+ 5,800 309
Hudson City Bancorp 170,000 3,137
Interactive Brokers Group, Cl A* (A) 3,000 67
IntercontinentalExchange* 286,750 23,135
Invesco 900 19
Investment Technology Group* 37,300 1,135
JPMorgan Chase 50,560 2,361
Merrill Lynch (A) 428,500 10,841
Morgan Stanley 24,272 558
MSCI, Cl A* 3,900 94
NASDAQ Stock Market* 32,900 1,006
Nationwide Health Properties+ 3,600 130
Northern Trust 25,118 1,814
NYSE Euronext (A) 203,200 7,961
PartnerRe 18,600 1,266
Philadelphia Consolidated Holding* 2,300 135
Platinum Underwriters Holdings (A) 46,800 1,660
Plum Creek Timber+ 9,700 484
Prudential Financial 1,000 72
Rayonier+ 2,900 137
Riskmetrics Group* 9,400 184
Simon Property Group+ 15,900 1,542
St. Joe 22,200 868
State Street 5,500 313
T. Rowe Price Group 16,124 866
Taubman Centers+ 12,600 630
TD Ameritrade Holding* (A) 191,200 3,097
Tree.com* 2,950 14
Ventas+ 14,200 702
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Waddell & Reed Financial, Cl A 50,200 $ 1,242
Wells Fargo 158,300 5,941
------------
164,419
------------
HEALTH CARE -- 14.6%
Abbott Laboratories 455,316 26,217
Aetna 21,000 758
Albany Molecular Research* 4,400 80
Alkermes* 31,300 416
Allergan 587,958 30,280
American Medical Systems Holdings* (A) 22,100 392
Amylin Pharmaceuticals* (A) 190,189 3,846
Applied Biosystems 76,600 2,624
Baxter International 274,772 18,033
Beckman Coulter 1,500 106
Becton Dickinson 79,425 6,375
Biogen Idec* (A) 40,100 2,017
BioMarin Pharmaceuticals* 27,300 723
Boston Scientific* 35,000 429
Bristol-Myers Squibb 337,700 7,041
C.R. Bard 20,900 1,983
Cardinal Health 2,688 132
Celgene* 33,560 2,124
Cephalon* (A) 31,700 2,456
Charles River Laboratories International* 12,500 694
Cigna 67,521 2,294
Community Health Systems* 4,000 117
Covance* 43,400 3,837
Cubist Pharmaceuticals* (A) 18,000 400
Dentsply International 48,300 1,813
Dionex* (A) 4,300 273
Edwards Lifesciences* 2,600 150
Eli Lilly 99,290 4,372
Endo Pharmaceuticals Holdings* 57,000 1,140
Express Scripts* (A) 105,680 7,801
Forest Laboratories* (A) 91,600 2,590
Genentech* 466,120 41,336
Gen-Probe* 4,300 228
Genzyme* 19,000 1,537
Gilead Sciences* 485,178 22,114
Health Management Associates, Cl A* 30,600 127
Henry Schein* 18,500 996
Hill-Rom Holdings (A) 7,000 212
Hologic* 11,700 226
Hospira* 5,400 206
Humana* 76,500 3,152
Idexx Laboratories* 50,300 2,756
SEI Institutional Managed Trust / Annual Report / September 30, 2008
43
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Illumina* 22,400 $ 908
ImClone Systems* 11,300 706
Intuitive Surgical* 22,500 5,422
Invitrogen* 17,100 646
Johnson & Johnson 271,052 18,778
Kinetic Concepts* 3,600 103
Laboratory Corp of America Holdings* 5,700 396
Martek Biosciences (A) 10,200 320
McKesson 19,212 1,034
Medco Health Solutions* 96,582 4,346
Medicines* 25,200 585
Medicis Pharmaceutical, Cl A (A) 12,000 179
Medtronic 233,000 11,673
Merck 495,483 15,637
Merit Medical Systems* 12,300 231
Patterson* 6,400 195
Pediatrix Medical Group* 17,700 954
PerkinElmer 2,100 52
Perrigo 28,600 1,100
Pharmaceutical Product Development 22,400 926
Quest Diagnostics 23,500 1,214
Resmed* 2,500 108
Schering-Plough 869,521 16,060
St. Jude Medical* 203,350 8,844
Stryker 219,700 13,687
Synovis Life Technologies* 7,200 136
Techne* 16,200 1,168
Tenet Healthcare* 90,300 501
Teva Pharmaceutical Industries ADR (A) 211,397 9,680
Thermo Fisher Scientific* (A) 254,890 14,019
UnitedHealth Group (A) 755,820 19,190
Varian Medical Systems* 19,000 1,085
VCA Antech* 2,020 60
Warner Chilcott, Cl A* (A) 112,500 1,701
Waters* 1,600 93
WellCare Health Plans* 3,000 108
Zimmer Holdings* 102,773 6,635
------------
362,883
------------
INDUSTRIALS -- 10.8%
3M 84,826 5,795
Acuity Brands (A) 22,100 923
Aecom Technology* 7,900 193
AGCO* 6,200 264
Alliant Techsystems* 7,000 658
Ametek 28,100 1,146
Boeing 144,316 8,277
Brink's 17,400 1,062
Bucyrus International, Cl A 34,800 1,555
Burlington Northern Santa Fe 64,130 5,928
C.H. Robinson Worldwide 19,766 1,007
Caterpillar (A) 193,900 11,556
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Cenveo* (A) 8,800 $ 68
Con-way 5,400 238
Cooper Industries, Cl A 1,000 40
Copart* 49,000 1,862
Corrections Corp of America* 6,000 149
Covanta Holding* 5,600 134
CSX 155,900 8,507
Cummins 102,200 4,468
Danaher 62,380 4,329
Deere 55,000 2,723
Donaldson 18,900 792
Dover 21,700 880
Dun & Bradstreet 500 47
Eaton 2,500 140
Emerson Electric 362,108 14,770
Energy Conversion Devices* (A) 29,400 1,713
Equifax 3,500 121
Expeditors International of Washington 439,100 15,298
Fastenal (A) 30,800 1,521
FedEx (A) 71,100 5,620
First Solar* (A) 20,600 3,892
Flowserve 20,600 1,829
Fluor 235,600 13,123
Foster Wheeler* 135,300 4,886
FTI Consulting* 4,700 340
General Cable* (A) 218,100 7,771
Goodrich 43,300 1,801
Harsco 40,100 1,491
Honeywell International 189,100 7,857
Hubbell, Cl B (A) 11,900 417
IHS, Cl A* 4,200 200
Illinois Tool Works 22,800 1,013
ITT 6,300 350
Jacobs Engineering Group* 54,800 2,976
JB Hunt Transport Services 33,000 1,101
John Bean Technologies* 20,411 258
Joy Global 13,800 623
Kansas City Southern* 21,100 936
KBR 6,100 93
Kirby* 27,400 1,040
L-3 Communications Holdings 35,600 3,500
Landstar System 18,100 797
Lennox International 11,300 376
Lincoln Electric Holdings 3,000 193
Lockheed Martin 86,515 9,488
Manitowoc 7,300 114
Manpower 1,000 43
McDermott International* 9,900 253
MSC Industrial Direct, Cl A 2,300 106
NCI Building Systems* (A) 14,500 460
Norfolk Southern 51,300 3,397
Northrop Grumman 69,948 4,235
PACCAR 13,150 502
SEI Institutional Managed Trust / Annual Report / September 30, 2008
44
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Pall 6,300 $ 217
Parker Hannifin 28,550 1,513
Perini* (A) 15,100 389
Precision Castparts 54,961 4,330
Quanta Services* (A) 373,800 10,096
Raytheon 52,500 2,809
Republic Services 36,400 1,091
Rockwell Automation 4,700 175
Roper Industries 5,700 325
Ryder System 24,900 1,544
Shaw Group* 198,400 6,097
SPX 8,200 631
Steelcase, Cl A 17,400 187
Stericycle* 66,190 3,899
Textron 50,200 1,470
Thomas & Betts* 233,100 9,107
Tyco International 141,600 4,959
Union Pacific 103,800 7,386
United Parcel Service, Cl B 317,875 19,991
United Technologies 158,740 9,534
USG* 3,800 97
UTI Worldwide 6,800 116
Valmont Industries 1,800 149
Walter Industries 16,000 759
WESCO International* (A) 73,200 2,355
WW Grainger 1,400 122
------------
266,593
------------
INFORMATION TECHNOLOGY -- 31.0%
Accenture, Cl A 169,300 6,434
Activision Blizzard* (A) 754,844 11,647
Adobe Systems* (A) 131,900 5,206
Affiliated Computer Services, Cl A* 10,600 537
Agilent Technologies* 112,300 3,331
Akamai Technologies* 9,600 167
Altera 3,200 66
Amphenol, Cl A 26,000 1,044
Analog Devices 100,200 2,640
Ansys* 11,300 428
Apple* 414,699 47,135
Applied Materials 49,705 752
Applied Micro Circuits* 33,700 202
Arrow Electronics* 1,400 37
Automatic Data Processing 9,100 389
Avnet* 8,000 197
Avocent* 3,900 80
BMC Software* 28,500 816
Broadcom, Cl A* (A) 218,200 4,065
Broadridge Financial Solutions 33,300 512
Brocade Communications Systems* 50,700 295
CA 76,900 1,535
Ciena* 9,600 97
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Cisco Systems* 1,968,356 $ 44,406
Citrix Systems* 5,100 129
CommScope* 8,600 298
Compuware* 12,200 118
Corning 199,500 3,120
Cree* 3,600 82
Daktronics (A) 58,500 975
Dell* 827,176 13,632
Dolby Laboratories, Cl A* 16,000 563
DST Systems* 2,900 162
Earthlink* 34,600 294
eBay* 1,279,500 28,635
Electronic Arts* (A) 619,820 22,927
EMC* (A) 585,500 7,003
Equinix* 1,200 83
Factset Research Systems 2,600 136
Fiserv* 11,200 530
Flir Systems* 19,000 730
Global Payments 16,400 736
Google, Cl A* 180,311 72,218
Harris 55,000 2,541
Hewitt Associates, Cl A* 46,300 1,687
Hewlett-Packard 741,100 34,268
IAC* (A) 36,550 632
Integral Systems 6,200 129
Integrated Device Technology* 128,100 997
Intel 793,387 14,860
International Business Machines 250,939 29,350
Intersil, Cl A 24,400 405
Intuit* 749,400 23,689
Iron Mountain* 21,900 535
Itron* 1,800 159
Juniper Networks* (A) 413,300 8,708
Linear Technology (A) 207,010 6,347
LSI Logic* (A) 143,800 771
Mastercard, Cl A (A) 150,500 26,688
McAfee* 26,100 886
MEMC Electronic Materials* 27,259 770
Mettler Toledo International* 10,800 1,058
Micrel (A) 28,200 256
Microchip Technology 4,800 141
Microsoft 2,205,248 58,858
Molex 12,000 269
National Semiconductor 198,000 3,408
NCR* 29,900 659
NetApp* (A) 52,700 961
NeuStar, Cl A* 1,200 24
Nokia ADR 527,400 9,836
Nuance Communications* 15,700 191
ON Semiconductor* 17,500 118
Oracle* 452,565 9,192
QLogic* (A) 90,700 1,393
Qualcomm 1,872,428 80,458
SEI Institutional Managed Trust / Annual Report / September 30, 2008
45
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Concluded)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Rambus* 29,900 $ 384
Red Hat* 499,100 7,521
Research In Motion* (A) 356,730 24,365
Salesforce.com* 29,500 1,428
Seagate Technology 1,324,100 16,048
Silicon Laboratories* (A) 106,700 3,276
Sohu.com* 14,200 792
SPSS* 17,700 520
Symantec* 36,200 709
Synaptics* (A) 31,400 949
Teradata* 649,100 12,657
Teradyne* 15,100 118
Texas Instruments 553,715 11,905
Trimble Navigation* 10,000 259
Valueclick* (A) 53,800 550
VeriSign* (A) 701,400 18,293
Visa, Cl A (A) 551,170 33,836
VMware, Cl A* 2,700 72
Volterra Semiconductor* (A) 52,600 670
Western Digital* 180,200 3,842
Western Union 566,620 13,979
Xilinx 17,400 408
Yahoo!* 696,400 12,048
Zebra Technologies, Cl A* 9,600 267
------------
769,529
------------
MATERIALS -- 2.7%
Air Products & Chemicals 60,200 4,123
Airgas 6,000 298
AK Steel Holding (A) 70,900 1,838
Alcoa 59,000 1,332
Alpha Natural Resources* 18,900 972
Aptargroup 6,100 239
Ball 100 4
Celanese, Ser A 15,000 419
Century Aluminum* 4,500 125
CF Industries Holdings 8,200 750
Cleveland-Cliffs 27,700 1,466
Crown Holdings* 27,900 620
Ecolab 12,700 616
FMC 5,100 262
Freeport-McMoRan Copper & Gold, Cl B (A) 13,400 762
Greif, Cl A 53,700 3,524
Intrepid Potash* 47,700 1,438
Martin Marietta Materials 1,300 146
Monsanto 88,114 8,722
Mosaic 90,800 6,176
Nalco Holding 14,300 265
Newmont Mining 20,900 810
Nucor 12,600 498
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Owens-Illinois* 48,900 $ 1,438
Packaging Corp of America 1,300 30
Praxair 281,800 20,216
Rohm & Haas 1,000 70
Sigma-Aldrich 27,700 1,452
Southern Copper 26,200 500
Steel Dynamics 31,900 545
Terra Industries (A) 87,200 2,564
United States Steel 63,200 4,905
------------
67,125
------------
TELECOMMUNICATION SERVICES -- 1.5%
American Tower, Cl A* 288,140 10,364
Crown Castle International* 809,620 23,455
MetroPCS Communications* 8,300 116
Windstream (A) 285,900 3,128
------------
37,063
------------
UTILITIES -- 0.9%
AES* 220,900 2,582
Allegheny Energy 9,300 342
Calpine* 31,300 407
Constellation Energy Group 24,000 583
DPL (A) 44,100 1,094
Energen 5,800 262
Entergy 25,400 2,261
Equitable Resources 49,900 1,830
Exelon 36,800 2,304
NRG Energy* 47,500 1,176
PPL 81,800 3,028
Public Service Enterprise Group 68,300 2,240
Questar 11,100 453
Reliant Energy* (A) 492,600 3,621
Sierra Pacific Resources 34,100 327
------------
22,510
------------
Total Common Stock
(Cost $2,428,111) ($ Thousands) 2,442,820
------------
AFFILATED PARTNERSHIP -- 9.5%
SEI Liquidity Fund, L.P., 2.590%**++ (B) 238,690,140 234,816
------------
Total Affilated Partnership
(Cost $238,690) ($ Thousands) 234,816
------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
46
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
CASH EQUIVALENTS -- 1.8%
Merrill Lynch EBP Master, 1.670%** 9,641,395 $ 9,641
SEI Daily Income Trust, Prime Obligation Fund,
Cl A, 2.350%**++ 35,915,212 35,915
------------
Total Cash Equivalents
(Cost $45,556) ($ Thousands) 45,556
------------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills
1.657%, 11/20/08 (C) (D) $ 5,785 5,784
------------
Total U.S. Treasury Obligation
(Cost $5,772) ($ Thousands) 5,784
------------
Total Investments -- 110.0%
(Cost $2,718,129) ($ Thousands) $ 2,728,976
============
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
S&P 500 Composite Index 84 Dec-2008 $(433)
=====
Percentages are based on Net Assets of $2,479,747 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
@ Narrow Industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
(A) This Security or a partial position of this security is on loan at
September 30, 2008 (see Note 7). The total market value of securities on
loan at September 30, 2008 was $244,955 ($ Thousands).
(B) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2008 was $234,816 ($ Thousands).
(C) The rate reported is the rate effective yield at time of purchase.
(D) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
ADR -- American Depositary Receipt
Cl -- Class
L.P. -- Limited Partnership
Ser -- Series
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
47
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Information Technology 16.1%
Financials 14.6%
Affiliated Partnership 12.1%
Health Care 11.9%
Energy 11.1%
Consumer Discretionary 8.8%
Industrials 7.7%
Consumer Staples 7.6%
Telecommunication Services 3.0%
Utilities 2.7%
Materials 2.6%
Short-Term Investments 1.7%
U.S. Treasury Obligations 0.1%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK -- 97.8%
CONSUMER DISCRETIONARY -- 10.1%
Abercrombie & Fitch, Cl A 2,300 $ 91
Aeropostale* 35,700 1,146
Amazon.com* (A) 224,320 16,322
American Eagle Outfitters (A) 6,300 96
America's Car-Mart* (A) 8,900 165
Apollo Group, Cl A* 18,325 1,087
Ascent Media, Cl A* 234 6
Autoliv 58,550 1,976
Autonation* (A) 6,700 75
Autozone* 3,200 395
Barnes & Noble (A) 21,250 554
Bed Bath & Beyond* 1,700 53
Belo, Cl A (A) 36,800 219
Best Buy (A) 7,687 288
Big Lots* (A) 3,200 89
Black & Decker 7,450 453
Brunswick (A) 27,400 350
Cablevision Systems, Cl A 9,900 249
Career Education* 2,700 44
Carmax* (A) 4,080 57
Carnival (A) 4,200 148
Cavco Industries* 130 5
CBS, Cl B 175,810 2,563
CEC Entertainment* 2,800 93
Centex 28,650 464
Clear Channel Outdoor Holdings, Cl A* 3,500 48
Coach* 232,170 5,814
Coldwater Creek* (A) 6,100 35
Comcast, Cl A 318,091 6,244
Darden Restaurants 14,900 427
DeVry 1,021 51
Dick's Sporting Goods* 2,600 51
DIRECTV Group* 156,765 4,103
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Discovery Communications, Cl A* 2,340 $ 33
Discovery Communications, Cl C* 2,340 33
DISH Network, Cl A* (A) 16,350 343
Dollar Tree* 6,300 229
DR Horton (A) 7,250 94
DreamWorks Animation SKG, Cl A* 1,800 57
Eastman Kodak (A) 365,700 5,624
Ethan Allen Interiors (A) 30,500 855
Expedia* 1,535 23
FGX International Holdings* 3,100 34
Foot Locker 5,350 86
Ford Motor* (A) 69,672 362
Fortune Brands (A) 88,882 5,098
GameStop, Cl A* (A) 3,622 124
Gannett (A) 104,500 1,767
Gap 175,300 3,117
Gentex 3,100 44
Genuine Parts 2,650 107
Goodyear Tire & Rubber* 55,150 844
Gymboree* 2,700 96
H&R Block 46,800 1,065
Harley-Davidson (A) 28,400 1,059
Hasbro (A) 89,100 3,094
Hearst-Argyle Television (A) 700 16
Home Depot (A) 384,200 9,947
HSN* 238 3
Idearc (A) 11,225 14
International Game Technology 6,200 107
International Speedway, Cl A (A) 7,100 276
Interpublic Group* 3,050 24
Interval Leisure Group* 238 2
ITT Educational Services* 1,200 97
J.C. Penney 135,700 4,524
Johnson Controls 156,500 4,747
Jones Apparel Group 55,200 1,022
KB Home (A) 17,900 352
Kohl's* (A) 42,400 1,954
Las Vegas Sands* (A) 1,100 40
Leggett & Platt (A) 59,300 1,292
Lennar, Cl A (A) 3,800 58
Liberty Global, Ser C* 2,201 62
Liberty Global, Cl A* (A) 14,170 429
Liberty Media - Capital, Ser A* 2,390 32
Liberty Media - Entertainment, Cl A* 9,560 239
Liberty Media - Interactive, Cl A* (A) 23,975 310
Limited Brands 2,950 51
Lowe's 376,124 8,910
Macy's 107,207 1,928
Marriott International, Cl A (A) 95,280 2,486
Mattel 98,000 1,768
McDonald's (A) 178,762 11,030
McGraw-Hill 105,611 3,338
MDC Holdings 1,150 42
SEI Institutional Managed Trust / Annual Report / September 30, 2008
48
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
MGM Mirage* (A) 304,000 $ 8,664
Mohawk Industries* (A) 950 64
Newell Rubbermaid 77,020 1,329
News, Cl A 212,594 2,549
Nike, Cl B 67,200 4,496
Nordstrom (A) 9,800 282
NVR* (A) 2,700 1,544
Office Depot* 7,100 41
Omnicom Group 15,500 598
O'Reilly Automotive* 1,800 48
PetSmart 1,700 42
Pulte Homes 2,800 39
Rent-A-Center* (A) 36,500 813
Ross Stores (A) 45,100 1,660
Royal Caribbean Cruises 4,700 98
Saks* (A) 6,000 56
Sears Holdings* (A) 61,415 5,742
Service International 40,100 335
Shaw Communications, Cl B 84,600 1,720
Sherwin-Williams (A) 21,600 1,235
Snap-On 1,950 103
Stanley Works 40,800 1,703
Staples 465,525 10,474
Starbucks* 13,700 204
Starwood Hotels & Resorts Worldwide 72,440 2,038
Target 185,620 9,105
Ticketmaster* 238 3
Tiffany (A) 1,300 46
Time Warner (A) 1,051,100 13,780
Time Warner Cable, Cl A* (A) 2,400 58
Titan International (A) 3,000 64
TJX (A) 59,700 1,822
Toll Brothers* 2,400 61
Under Armour, Cl A* (A) 12,800 407
Urban Outfitters* (A) 12,250 390
Valassis Communications* (A) 36,800 319
VF 2,800 216
Viacom, Cl B* 83,642 2,078
Virgin Media 4,500 36
WABCO Holdings 1,200 43
Walt Disney (A) 200,900 6,166
Weight Watchers International (A) 213,400 7,810
Whirlpool (A) 34,745 2,755
Williams-Sonoma (A) 2,000 32
Wyndham Worldwide 87,700 1,378
Wynn Resorts (A) 1,100 90
Yum! Brands 23,200 757
------------
216,342
------------
CONSUMER STAPLES -- 8.6%
Altria Group 119,100 2,363
Anheuser-Busch 16,600 1,077
Archer-Daniels-Midland 142,857 3,130
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Avon Products 11,200 $ 466
BJ's Wholesale Club* (A) 8,500 330
Brown-Forman, Cl B 1,200 86
Bunge (A) 21,300 1,346
Campbell Soup 5,900 228
Clorox 27,950 1,752
Coca-Cola (A) 308,651 16,321
Coca-Cola Enterprises (A) 111,950 1,877
Colgate-Palmolive 68,802 5,184
ConAgra Foods 136,300 2,652
Constellation Brands, Cl A* (A) 3,000 64
Costco Wholesale 63,769 4,141
CVS Caremark 221,745 7,464
Dean Foods* 1,350 32
Del Monte Foods 127,800 997
Energizer Holdings* 3,200 258
General Mills 59,500 4,089
Herbalife 27,500 1,087
Hershey (A) 2,400 95
HJ Heinz 1,750 87
Hormel Foods 4,000 145
Kellogg 20,400 1,144
Kimberly-Clark 56,200 3,644
Kraft Foods, Cl A 139,876 4,581
Kroger 230,800 6,342
Lorillard 5,300 377
McCormick 2,100 81
Molson Coors Brewing, Cl B 7,700 360
Pepsi Bottling Group 130,500 3,807
PepsiAmericas 9,300 193
PepsiCo 272,567 19,426
Philip Morris International 93,900 4,517
Procter & Gamble 651,906 45,431
Reynolds American 47,100 2,290
Safeway (A) 149,134 3,537
Sara Lee (A) 216,600 2,736
Smithfield Foods* (A) 1,350 21
SUPERVALU 79,850 1,733
SYSCO 61,050 1,882
TreeHouse Foods* 282 8
Tyson Foods, Cl A (A) 26,372 315
UST 20,100 1,337
Walgreen 332,900 10,307
Wal-Mart Stores 236,100 14,140
Whole Foods Market (A) 2,500 50
WM Wrigley Jr. 22,725 1,804
------------
185,334
------------
ENERGY -- 12.6%
Anadarko Petroleum 65,500 3,177
Apache 76,471 7,974
Arch Coal 2,400 79
Baker Hughes 3,841 233
SEI Institutional Managed Trust / Annual Report / September 30, 2008
49
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
BJ Services 3,100 $ 59
Cabot Oil & Gas 1,000 36
Cameron International* (A) 115,200 4,440
Chesapeake Energy (A) 182,920 6,560
Chevron 417,562 34,441
Cimarex Energy (A) 43,685 2,137
Clayton Williams Energy* 1,700 120
Complete Production Services* 21,000 423
ConocoPhillips 388,875 28,485
Consol Energy 2,800 128
Devon Energy 108,790 9,922
Diamond Offshore Drilling (A) 2,400 247
Dresser-Rand Group* 1,450 46
El Paso (A) 59,400 758
ENSCO International 26,900 1,550
EOG Resources (A) 113,400 10,145
Exxon Mobil 822,494 63,875
Forest Oil* 1,150 57
Foundation Coal Holdings 850 30
Global Industries* 5,200 36
Gulfport Energy* 8,400 84
Halliburton 422,966 13,700
Helix Energy Solutions Group* 850 21
Helmerich & Payne 4,300 186
Hess 117,540 9,648
Holly 30,600 885
Marathon Oil 129,374 5,158
Mariner Energy* 931 19
Massey Energy 2,200 78
Murphy Oil (A) 27,500 1,764
Nabors Industries* (A) 62,500 1,558
National Oilwell Varco* 10,430 524
Newfield Exploration* 5,100 163
Noble 34,300 1,506
Noble Energy 5,800 322
Occidental Petroleum 152,800 10,765
Oil States International* 2,000 71
Overseas Shipholding Group (A) 22,200 1,294
Patriot Coal* (A) 880 26
Patterson-UTI Energy (A) 80,400 1,610
Peabody Energy 4,400 198
Petro-Canada 27,000 900
Pioneer Natural Resources 4,950 259
Plains Exploration & Production* 4,095 144
Pride International* 1,050 31
Rowan (A) 5,600 171
Schlumberger 238,146 18,597
SEACOR Holdings* (A) 1,800 142
Smith International 7,200 422
Southwestern Energy* 5,700 174
Spectra Energy 10,922 260
Suncor Energy 205,288 8,651
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Sunoco 20,100 $ 715
Superior Energy Services* 13,900 433
Tesoro 2,700 45
Tidewater 950 53
Transocean 2,339 257
Unit* 750 37
Valero Energy 115,694 3,506
W&T Offshore (A) 24,900 680
Weatherford International* (A) 266,610 6,703
Williams 10,500 248
XTO Energy (A) 70,320 3,271
------------
270,237
------------
FINANCIALS -- 16.6%
ACE 49,200 2,663
Affiliated Managers Group* 675 56
Aflac 8,350 491
Allied Capital (A) 8,900 96
Allied World Assurance Holdings 600 21
Allstate (A) 200,800 9,261
AMB Property+ 1,700 77
American Capital (A) 5,100 130
American Equity Investment
Life Holding (A) 3,800 29
American Express 153,650 5,444
American Financial Group 65,400 1,929
American International Group (A) 314,500 1,047
American Physicians Capital 13,000 550
Ameriprise Financial 71,400 2,727
Annaly Capital Management+ (A) 124,600 1,676
AON 18,250 821
Apartment Investment & Management, Cl A+ 1,400 49
Arch Capital Group* 8,700 635
Assurant 48,500 2,668
Astoria Financial 8,500 176
AvalonBay Communities+ 500 49
Axis Capital Holdings 112,150 3,556
Bank of America (A) 946,171 33,116
Bank of Hawaii 950 51
Bank of New York Mellon 55,391 1,805
BB&T (A) 120,200 4,544
BlackRock 200 39
Boston Properties+ 1,600 150
Brandywine Realty Trust+ 88,000 1,411
Camden Property Trust+ 1,100 50
Capital One Financial (A) 196,401 10,016
CapitalSource+ (A) 4,000 49
CB Richard Ellis Group, Cl A* (A) 83,100 1,111
CBL & Associates Properties+ (A) 16,500 331
Cedar Shopping Centers+ 6,400 85
SEI Institutional Managed Trust / Annual Report / September 30, 2008
50
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Central Pacific Financial (A) 34,500 $ 580
Charles Schwab 600,353 15,609
Chubb 162,300 8,910
Cincinnati Financial 37,500 1,067
CIT Group (A) 80,200 558
Citigroup 1,073,057 22,008
CME Group 61,280 22,766
Colonial Properties Trust+ (A) 6,000 112
Comerica (A) 37,000 1,213
Credicorp 22,400 1,394
Discover Financial Services (A) 102,450 1,416
Duke Realty+ (A) 5,550 136
E*Trade Financial* (A) 32,400 91
Endurance Specialty Holdings (A) 50,100 1,549
Equity Residential+ 8,950 397
Erie Indemnity, Cl A 1,700 72
Everest Re Group 30,100 2,605
Federal Realty Investment Trust+ 300 26
Federated Investors, Cl B (A) 40,800 1,177
Fidelity National Financial, Cl A 32,299 475
Fifth Third Bancorp (A) 57,400 683
First Horizon National (A) 32,774 307
First Midwest Bancorp (A) 8,300 201
Forestar Real Estate Group* 366 5
Franklin Resources 44,600 3,931
Freddie Mac (A) 15,500 27
Genworth Financial, Cl A 45,700 393
Goldman Sachs Group (A) 59,100 7,565
Hanover Insurance Group 8,200 373
Hartford Financial Services Group 104,300 4,275
HCC Insurance Holdings 1,500 41
HCP+ 2,900 116
Health Care+ 650 35
Highwoods Properties+ 1,500 53
Hospitality Properties Trust+ (A) 53,400 1,096
Host Hotels & Resorts+ 36,532 486
HRPT Properties Trust+ (A) 6,800 47
Hudson City Bancorp (A) 31,600 583
Huntington Bancshares (A) 75,300 602
IntercontinentalExchange* 155,700 12,562
Invesco 5,400 113
Investment Technology Group* 2,400 73
Janus Capital Group (A) 55,050 1,337
Jefferies Group (A) 3,800 85
JPMorgan Chase 861,240 40,220
Keycorp (A) 149,000 1,779
Kimco Realty+ (A) 1,600 59
Legg Mason 3,100 118
Lexington Realty Trust+ (A) 18,700 322
Liberty Property Trust+ 1,650 62
Lincoln National 58,036 2,485
Loews 12,900 509
M&T Bank 650 58
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Macerich+ 650 $ 41
Mack-Cali Realty+ 2,400 81
MainSource Financial Group (A) 2,300 45
Manulife Financial (A) 9,245 339
Marsh & McLennan 5,900 187
MBIA (A) 50,900 606
Merrill Lynch (A) 372,400 9,422
MetLife (A) 81,000 4,536
MGIC Investment (A) 29,700 209
Montpelier Re Holdings (A) 20,800 343
Moody's (A) 50,400 1,714
Morgan Stanley 209,900 4,828
NASDAQ Stock Market* 2,100 64
National City (A) 102,900 180
Nationwide Financial Services, Cl A (A) 37,850 1,867
Nationwide Health Properties+ 1,300 47
New York Community Bancorp (A) 2,237 38
Northern Trust 3,400 245
NorthStar Realty Finance+ (A) 19,700 153
NYSE Euronext (A) 101,500 3,977
Old Republic International (A) 70,975 905
Oriental Financial Group 18,200 325
PartnerRe 5,800 395
Patriot Capital Funding 2,600 17
Pennsylvania Real Estate Investment
Trust+ (A) 46,400 875
Penson Worldwide* 5,000 69
People's United Financial 4,725 91
PHH* 957 13
Phoenix 9,700 90
Piper Jaffray* 366 16
Platinum Underwriters Holdings (A) 42,800 1,519
Plum Creek Timber+ 3,900 194
PMI Group (A) 16,000 47
PNC Financial Services Group 37,100 2,771
Popular (A) 21,600 179
Principal Financial Group (A) 45,400 1,974
Progressive (A) 108,700 1,891
Prologis+ (A) 24,354 1,005
Protective Life 1,300 37
Prudential Financial 61,100 4,399
Public Storage+ 6,650 658
Raymond James Financial (A) 2,025 67
Realty Income+ (A) 1,050 27
Regency Centers+ 850 57
Regions Financial (A) 327,614 3,145
Reinsurance Group of America, Cl A (A) 28,000 1,512
SeaBright Insurance Holdings* 13,200 172
Simon Property Group+ (A) 6,425 623
SL Green Realty+ 600 39
SLM* (A) 10,200 126
Sovereign Bancorp (A) 66,990 265
SEI Institutional Managed Trust / Annual Report / September 30, 2008
51
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
St. Joe (A) 1,350 $ 53
State Street 24,755 1,408
Student Loan 600 56
Sunstone Hotel Investors+ (A) 36,400 491
SunTrust Banks (A) 122,600 5,516
SVB Financial Group* (A) 1,550 90
Synovus Financial (A) 5,000 52
T. Rowe Price Group (A) 33,100 1,778
Taubman Centers+ 1,250 63
TCF Financial (A) 6,800 122
TD Ameritrade Holding* 4,350 70
Torchmark (A) 32,750 1,958
Travelers 253,031 11,437
Tree.com* 39 --
UDR+ 2,800 73
UnionBanCal 18,550 1,360
Unitrin 550 14
Unum Group (A) 47,750 1,199
US Bancorp (A) 195,861 7,055
Ventas+ 2,050 101
Vornado Realty Trust+ (A) 6,260 569
Wachovia (A) 98,600 345
Waddell & Reed Financial, Cl A 3,900 97
Washington Federal (A) 26,600 491
Washington Mutual (A) 104,600 9
Weingarten Realty Investors+ 700 25
Wells Fargo (A) 457,755 17,180
Whitney Holding (A) 1,200 29
Wilmington Trust (A) 4,300 124
WR Berkley 48,500 1,142
XL Capital, Cl A (A) 39,600 710
Zions Bancorporation (A) 32,700 1,265
------------
356,978
------------
HEALTH CARE -- 13.5%
Abbott Laboratories 171,100 9,852
Advanced Medical Optics* 1,222 22
Aetna 239,400 8,645
Alcon 9,800 1,583
Allergan 341,808 17,603
AmerisourceBergen 64,702 2,436
Amgen* 239,642 14,204
AMN Healthcare Services* 2,700 47
Amylin Pharmaceuticals* (A) 125,930 2,546
Applied Biosystems 4,950 170
Barr Pharmaceuticals* 1,850 121
Baxter International 140,400 9,214
Beckman Coulter 600 43
Becton Dickinson 34,550 2,773
Biogen Idec* 8,420 423
Boston Scientific* 72,317 887
Bristol-Myers Squibb 102,200 2,131
C.R. Bard 6,400 607
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Cardinal Health 63,430 $ 3,126
Celgene* 25,700 1,626
Cephalon* 700 54
Charles River Laboratories International* 18,300 1,016
Cigna 56,900 1,933
Covance* 3,350 296
Coventry Health Care* 45,900 1,494
Covidien 30,150 1,621
CryoLife* 7,500 98
DaVita* 2,325 133
Dentsply International 900 34
Eli Lilly 178,947 7,879
Endo Pharmaceuticals Holdings* 9,600 192
Express Scripts* 30,200 2,229
Forest Laboratories* 45,972 1,300
Genentech* 262,430 23,272
Genzyme* 4,350 352
Gilead Sciences* 306,680 13,978
Health Management Associates, Cl A* 4,600 19
Health Net* 1,600 38
HLTH* 10,300 118
Hospira* 1,450 55
Humana* 43,700 1,800
Illumina* 1,000 41
ImClone Systems* 650 41
IMS Health 1,972 37
Intuitive Surgical* (A) 3,550 855
Inverness Medical Innovations* (A) 7,300 219
Invitrogen* (A) 2,700 102
Isis Pharmaceuticals* (A) 2,100 35
Johnson & Johnson 393,655 27,272
King Pharmaceuticals* (A) 133,500 1,279
Laboratory Corp of America Holdings* (A) 5,300 368
Life Sciences Research* 1,700 60
Martek Biosciences (A) 14,000 440
McKesson 52,526 2,826
Medco Health Solutions* 49,386 2,222
Medicines* 27,900 648
Medtronic 57,000 2,856
Merck 526,985 16,632
Merit Medical Systems* 6,300 118
Millipore* 700 48
Mylan Laboratories* (A) 7,875 90
Patterson* 2,100 64
PerkinElmer 11,950 298
Perrigo 1,300 50
Pfizer 1,368,933 25,243
Pharmaceutical Product Development 4,300 178
PharMerica* 428 10
Quest Diagnostics 4,500 233
Schering-Plough 563,971 10,417
SEI Institutional Managed Trust / Annual Report / September 30, 2008
52
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
St. Jude Medical* 123,640 $ 5,377
STERIS 2,700 101
Stryker 114,937 7,161
Synovis Life Technologies* 2,700 51
Teva Pharmaceutical Industries ADR (A) 139,970 6,409
Thermo Fisher Scientific* 145,076 7,979
UnitedHealth Group 673,592 17,103
Valeant Pharmaceuticals International* (A) 6,000 123
Varian Medical Systems* 2,300 131
Vertex Pharmaceuticals* 2,500 83
Warner Chilcott, Cl A* (A) 46,900 709
Waters* 5,800 337
Watson Pharmaceuticals* 1,550 44
WellPoint* 52,741 2,467
Wyeth 233,700 8,633
Zimmer Holdings* 74,630 4,818
------------
290,178
------------
INDUSTRIALS -- 8.7%
3M 44,300 3,026
Acuity Brands 15,200 635
AGCO* 1,500 64
Allied Waste Industries* 76,354 848
AMR* (A) 18,200 179
Avery Dennison 1,600 71
Avis Budget Group* 37,750 217
Boeing 27,903 1,600
Brink's 650 40
Bucyrus International, Cl A 6,600 295
Burlington Northern Santa Fe (A) 28,870 2,668
C.H. Robinson Worldwide (A) 3,200 163
Caterpillar (A) 81,100 4,834
Continental Airlines, Cl B* (A) 2,450 41
Cooper Industries, Cl A 1,100 44
Covanta Holding* 1,150 28
Crane 850 25
CSX 50,200 2,739
Cummins 75,000 3,279
Danaher 45,510 3,158
Deere 17,900 886
Delta Air Lines* (A) 12,800 95
Dover 30,000 1,217
DRS Technologies 650 50
Dun & Bradstreet 800 75
Eaton 32,300 1,815
Emerson Electric 176,300 7,191
Energy Conversion Devices* (A) 4,500 262
Equifax 4,601 159
Expeditors International of Washington 249,400 8,689
Fastenal (A) 3,600 178
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
FedEx (A) 40,200 $ 3,177
First Solar* (A) 1,400 264
Flowserve 3,000 266
Fluor 109,800 6,116
Foster Wheeler* 37,900 1,369
Gardner Denver* 28,300 983
GATX 1,600 63
General Cable* 68,100 2,426
General Dynamics 25,700 1,892
General Electric 1,778,864 45,361
GeoEye* 2,100 46
Goodrich 3,950 164
Harsco 4,600 171
Herman Miller (A) 950 23
Hertz Global Holdings* 5,300 40
Honeywell International 68,800 2,859
Hubbell, Cl B 4,850 170
Hudson Highland Group* 750 5
IKON Office Solutions 2,650 45
Illinois Tool Works 65,500 2,911
Ingersoll-Rand, Cl A (A) 43,600 1,359
Iron Mountain* (A) 4,725 115
ITT 4,000 222
Jacobs Engineering Group* 2,080 113
JB Hunt Transport Services (A) 1,300 43
John Bean Technologies* 3,588 45
Joy Global 1,500 68
Kansas City Southern* (A) 1,200 53
Kirby* 1,700 64
L-3 Communications Holdings 400 39
Lockheed Martin 37,000 4,058
Manitowoc (A) 1,300 20
Manpower 2,200 95
Masco (A) 70,700 1,268
Monster Worldwide* (A) 5,000 75
MSC Industrial Direct, Cl A (A) 4,000 184
NCI Building Systems* (A) 7,600 241
Norfolk Southern 78,200 5,178
Northrop Grumman 125,234 7,582
Oshkosh Truck 3,200 42
PACCAR (A) 15,168 579
Pall 4,750 163
Parker Hannifin 62,400 3,307
Pentair 2,400 83
Precision Castparts 16,390 1,291
Quanta Services* (A) 121,000 3,268
Raytheon 64,300 3,441
Republic Services 9,600 288
Robert Half International 5,800 144
Rockwell Automation 6,000 224
Rockwell Collins 7,900 380
RR Donnelley & Sons 113,300 2,779
Ryder System (A) 12,400 769
SEI Institutional Managed Trust / Annual Report / September 30, 2008
53
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Shaw Group* 63,050 $ 1,938
Skywest 4,400 70
Southwest Airlines 3,150 46
Spirit Aerosystems Holdings, Cl A* 18,900 304
SPX 1,050 81
Steelcase, Cl A 3,900 42
Stericycle* (A) 16,000 943
Sunpower, Cl A* (A) 600 43
Sunpower, Cl B* 1,714 118
Thomas & Betts* 72,800 2,844
Timken 27,500 780
Trinity Industries (A) 1,400 36
Tyco International 72,700 2,546
Union Pacific 33,200 2,363
United Parcel Service, Cl B 169,300 10,647
United Rentals* 2,837 43
United Technologies 179,292 10,768
URS* 1,100 40
USG* (A) 1,700 44
Viad 425 12
Waste Management 64,209 2,022
WESCO International* (A) 19,600 631
WW Grainger (A) 4,800 417
------------
187,280
------------
INFORMATION TECHNOLOGY -- 18.4%
Accenture, Cl A 61,000 2,318
Activision Blizzard* (A) 440,760 6,801
Adobe Systems* 29,912 1,181
Advent Software* (A) 1,400 49
Affiliated Computer Services, Cl A* 2,100 106
Agilent Technologies* 14,100 418
Akamai Technologies* 3,800 66
Alliance Data Systems* 800 51
Altera (A) 6,400 132
Amkor Technology* 16,100 103
Amphenol, Cl A 2,200 88
Analog Devices 2,450 65
Apple* 221,310 25,154
Applied Materials 7,716 117
Applied Micro Circuits* 18,000 108
Arrow Electronics* 26,100 684
Autodesk* 4,100 138
Automatic Data Processing 21,300 911
Avnet* 10,000 246
Avocent* 14,000 286
AVX 4,550 46
BMC Software* 8,900 255
Broadcom, Cl A* (A) 76,400 1,423
Broadridge Financial Solutions 3,275 50
Brocade Communications Systems* 7,300 42
CA (A) 190,800 3,808
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Cisco Systems* 836,843 $ 18,879
Citrix Systems* 11,750 297
Cognizant Technology Solutions, Cl A* 4,456 102
Computer Sciences* 45,075 1,812
Compuware* 44,362 430
Corning 25,700 402
CSG Systems International* 4,050 71
Cypress Semiconductor* (A) 6,250 33
Daktronics (A) 15,600 260
Dell* 423,450 6,978
Dolby Laboratories, Cl A* (A) 2,900 102
DST Systems* (A) 850 48
Earthlink* (A) 46,800 398
eBay* 850,134 19,026
EchoStar, Cl A* 1,070 26
Electronic Arts* 411,002 15,203
EMC* (A) 256,000 3,062
Equinix* (A) 600 42
Fair Isaac 2,025 47
Fidelity National Information Services (A) 3,667 68
Fiserv* 2,125 101
Flextronics International* 77,159 546
Global Payments 4,000 179
Google, Cl A* 100,265 40,158
Harris 20,800 961
Hewitt Associates, Cl A* 41,400 1,509
Hewlett-Packard 441,638 20,421
IAC* 595 10
Ingram Micro, Cl A* 86,400 1,388
Integral Systems 8,700 181
Integrated Device Technology* 16,600 129
Intel 192,036 3,597
International Business Machines 99,236 11,607
Intuit* 430,400 13,605
Jabil Circuit 3,000 29
Juniper Networks* (A) 233,250 4,915
Lam Research* 1,300 41
Lender Processing Services 1,833 56
Lexmark International, Cl A* 40,400 1,316
Linear Technology (A) 127,451 3,908
LSI Logic* (A) 26,006 139
Macrovision Solutions* 23 --
Marvell Technology Group* (A) 9,100 85
Mastercard, Cl A (A) 76,200 13,513
McAfee* 4,400 149
MEMC Electronic Materials* 800 23
Metavante Technologies* 1,533 30
Mettler Toledo International* 2,300 225
Micrel 7,000 63
Microchip Technology (A) 3,650 107
Micron Technology* (A) 15,200 62
Microsoft 643,740 17,181
SEI Institutional Managed Trust / Annual Report / September 30, 2008
54
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
MKS Instruments* 1,750 $ 35
Molex 700 16
Motorola 138,100 985
National Semiconductor 51,600 888
NCR* 9,700 214
NetApp* 10,900 199
Nokia ADR 164,700 3,072
Novell* 3,500 18
Nvidia* 19,150 205
ON Semiconductor* 5,300 36
Oracle* 145,144 2,948
Paychex 1,500 50
PC-Telephone 5,400 50
Perot Systems, Cl A* 2,900 50
PMC - Sierra* (A) 6,450 47
Polycom* (A) 5,600 130
QLogic* (A) 119,700 1,839
Qualcomm 938,512 40,328
Red Hat* (A) 151,700 2,286
Research In Motion* (A) 208,430 14,236
Salesforce.com* 1,500 73
SanDisk* 5,100 100
Seagate Technology 920,900 11,161
Semtech* 3,250 45
Silicon Laboratories* 24,000 736
Sun Microsystems* (A) 85,200 648
Sybase* 1,200 37
Symantec* 201,127 3,938
Synopsys* 9,289 185
Teradata* 360,000 7,020
Teradyne* 5,200 41
Texas Instruments 318,900 6,856
Tyco Electronics 7,000 194
United Online 3,300 31
Verigy* 863 14
VeriSign* (A) 357,450 9,322
Visa, Cl A (A) 277,560 17,039
Vishay Intertechnology* (A) 81,300 538
Volterra Semiconductor* (A) 23,400 298
Western Digital* 92,500 1,972
Western Union 366,911 9,052
Xerox 230,400 2,657
Xilinx (A) 4,300 101
Yahoo!* 466,350 8,068
----------
395,924
----------
MATERIALS -- 2.9%
Air Products & Chemicals 16,500 1,130
Airgas 7,600 377
AK Steel Holding 1,700 44
Alcoa 178,200 4,024
Allegheny Technologies 1,200 35
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Ashland (A) 11,700 $ 342
Ball (A) 13,400 529
Carpenter Technology 22,800 585
Celanese, Ser A 23,200 648
CF Industries Holdings 300 27
Cleveland-Cliffs (A) 1,800 95
Crown Holdings* 3,000 67
Dow Chemical (A) 220,200 6,998
E.I. Du Pont de Nemours (A) 125,000 5,038
Eagle Materials 753 17
Eastman Chemical (A) 45,400 2,500
Ecolab (A) 5,600 272
Freeport-McMoRan Copper & Gold, Cl B (A) 39,610 2,252
Greif, Cl A 2,900 190
Hercules 3,250 64
Huntsman 3,700 47
International Flavors & Fragrances 3,100 122
International Paper 105,800 2,770
Intrepid Potash* 22,800 687
Lubrizol 24,800 1,070
Martin Marietta Materials (A) 550 62
MeadWestvaco (A) 2,450 57
Methanex 58,300 1,160
Monsanto 40,078 3,967
Mosaic 20,400 1,388
Newmont Mining (A) 7,900 306
Nucor 104,300 4,120
OM Group* 5,350 120
Owens-Illinois* (A) 21,650 637
Pactiv* 4,000 99
PPG Industries 30,400 1,773
Praxair 169,520 12,161
Reliance Steel & Aluminum 21,600 820
Rohm & Haas 600 42
RPM International 3,000 58
Sealed Air (A) 21,000 462
Sigma-Aldrich 2,700 142
Smurfit-Stone Container* 65,600 308
Sonoco Products 46,000 1,365
Steel Dynamics 33,800 578
Temple-Inland (A) 3,100 47
Terra Industries 27,600 811
United States Steel 18,400 1,428
Valspar 30,400 678
Vulcan Materials (A) 1,700 127
Weyerhaeuser 1,000 61
----------
62,707
----------
TELECOMMUNICATION SERVICES -- 3.4%
American Tower, Cl A* 187,614 6,748
AT&T 1,113,742 31,096
SEI Institutional Managed Trust / Annual Report / September 30, 2008
55
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Concluded)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Atlantic Telegraph-Network 2,300 $ 64
CenturyTel 36,600 1,341
Crown Castle International* 459,212 13,303
Embarq 3,076 125
Fairpoint Communications (A) 946 8
Frontier Communications (A) 7,800 90
Leap Wireless International* (A) 1,100 42
Level 3 Communications* (A) 28,700 77
MetroPCS Communications* 3,000 42
NII Holdings* 2,600 99
Qwest Communications International (A) 52,061 168
SBA Communications, Cl A* (A) 2,550 66
Sprint Nextel (A) 514,962 3,141
Telephone & Data Systems 2,600 93
Telephone & Data Systems, Cl L 2,600 93
US Cellular* 4,600 216
Verizon Communications 517,805 16,616
Windstream 8,323 91
------------
73,519
------------
UTILITIES -- 3.0%
AES* 604,000 7,061
Allegheny Energy 11,900 438
Alliant Energy 83,900 2,702
Ameren (A) 43,900 1,713
American Electric Power 167,500 6,203
Aqua America (A) 1,333 24
Centerpoint Energy 38,600 562
CMS Energy (A) 49,700 620
Consolidated Edison (A) 52,700 2,264
Constellation Energy Group 8,600 209
Dominion Resources 35,900 1,536
DTE Energy (A) 101,500 4,072
Duke Energy 261,044 4,550
Dynegy, Cl A* 6,800 24
Edison International 89,000 3,551
Entergy 29,550 2,630
Equitable Resources 900 33
Exelon 28,600 1,791
FirstEnergy 61,800 4,140
FPL Group 11,600 583
Great Plains Energy 1,950 43
Nicor (A) 1,250 55
NiSource 19,500 288
OGE Energy 6,100 188
Pepco Holdings 111,000 2,543
PG&E 62,150 2,328
Pinnacle West Capital (A) 81,100 2,791
PPL 4,900 181
Progress Energy 18,100 781
Public Service Enterprise Group 56,800 1,862
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
Questar 8,400 $ 344
Reliant Energy* 206,762 1,520
Sempra Energy 29,550 1,491
Sierra Pacific Resources 77,300 741
Southern (A) 44,500 1,677
TECO Energy 4,900 77
Wisconsin Energy 18,200 817
Xcel Energy (A) 137,000 2,739
------------
65,172
------------
Total Common Stock
(Cost $2,074,830) ($ Thousands) 2,103,671
------------
AFFILATED PARTNERSHIP -- 13.8%
SEI Liquidity Fund, L.P.,
2.590%**++ (B) 302,154,319 297,567
------------
Total Affilated Partnership
(Cost $302,154) ($ Thousands) 297,567
------------
CASH EQUIVALENTS -- 1.9%
Merrill Lynch EBP Master, 1.670%** 6,375,026 6,375
SEI Daily Income Trust, Prime Obligation
Fund, Cl A, 2.350%**++ 34,251,779 34,252
------------
Total Cash Equivalents
(Cost $40,627) ($ Thousands) 40,627
------------
U.S. TREASURY OBLIGATIONS -- 0.2%
U.S. Treasury Bills
1.237%, 12/18/08 (C) (D) $ 100 100
1.657%, 11/20/08 (C) (D) 4,274 4,273
------------
Total U.S. Treasury Obligations
(Cost $4,364) ($ Thousands) 4,373
------------
Total Investments -- 113.7%
(Cost $2,421,975) ($ Thousands) $ 2,446,238
============
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
S&P 500 Index E-MINI 3 Dec-2008 $ (2)
S&P 500 Composite Index 98 Dec-2008 (834)
S&P Mid 400 Index E-MINI 57 Dec-2008 (154)
-----
$(990)
=====
SEI Institutional Managed Trust / Annual Report / September 30, 2008
56
Description
Percentages are based on Net Assets of $2,152,169 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) This Security or a partial position of this security is on loan at
September 30, 2008 (see Note 7). The total market value of securities on
loan at September 30, 2008 was $315,154 ($ Thousands).
(B) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2008 was $297,567 ($ Thousands).
(C) The rate reported is the effective yield at time of purchase.
(D) Security, or portion thereof has been pledged as collateral on open futures
contracts.
ADR -- American Depositary Receipt
Cl -- Class
L.P. -- Limited Partnership
Ser -- Series
Amounts designated as "--" are $0 or rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
57
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Information Technology 16.0%
Financials 12.0%
Mortgage-Backed Securities 12.0%
Health Care 10.2%
Energy 9.0%
Consumer Discretionary 8.9%
Industrials 8.9%
Consumer Staples 6.4%
Short-Term Investment 4.8%
Materials 2.7%
Asset-Backed Securities 2.6%
Utilities 2.4%
Telecommunication Services 2.3%
U.S. Government Agency Obligations 0.9%
U.S. Treasury Obligations 0.9%
# Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK -- 94.0%
CONSUMER DISCRETIONARY -- 10.6%
Abercrombie & Fitch, Cl A 3,400 $ 134
Advance Auto Parts 3,600 143
Aeropostale* (A) 49,300 1,583
Amazon.com* 101,500 7,385
American Eagle Outfitters 17,500 267
American Greetings, Cl A 6,300 96
AnnTaylor Stores* 11,500 237
Apollo Group, Cl A* 16,000 949
Ascent Media, Cl A* 1,125 27
Autoliv 17,000 574
Autozone* 1,283 158
Bed Bath & Beyond* 3,800 119
Best Buy (A) 42,063 1,577
Big Lots* (A) 134,068 3,731
BorgWarner 13,600 446
Boyd Gaming 29,900 280
Brinker International 36,900 660
Burger King Holdings 2,000 49
Cablevision Systems, Cl A (A) 11,262 283
California Pizza Kitchen* 22,600 291
Career Education* 1,679 27
Carnival 4,000 141
CBS, Cl B 45,199 659
Centex 6,000 97
Central European Media Enterprises, Cl A* 1,700 111
Christopher & Banks 25,300 194
Coach* (A) 130,795 3,275
Comcast, Cl A (A) 200,172 3,929
Darden Restaurants (A) 30,700 879
Deckers Outdoor* 2,900 302
DeVry 2,000 99
Dick's Sporting Goods* 3,400 67
DIRECTV Group* (A) 177,796 4,653
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Discovery Communications, Cl A* 11,250 $ 160
Discovery Communications, Cl C* 11,250 159
Dollar Tree* 19,500 709
DR Horton 12,900 168
Eastman Kodak 161,560 2,485
Expedia* 29,231 442
Family Dollar Stores 6,800 161
Federal Mogul, Cl A* 5,360 67
Ford Motor* (A) 288,658 1,501
GameStop, Cl A* 15,900 544
Gannett 67,831 1,147
Gap (A) 117,400 2,087
Garmin 600 20
General Motors 11,900 112
Gentex 36,400 521
Genuine Parts 3,263 131
Goodyear Tire & Rubber* 11,100 170
Guess? 10,690 372
Gymboree* (A) 31,200 1,108
H&R Block (A) 226,078 5,143
Hanesbrands* 7,300 159
Harman International Industries 25,728 877
Hasbro (A) 61,100 2,121
Home Depot (A) 142,700 3,695
HSN* 5,780 64
International Game Technology 37,800 649
International Speedway, Cl A 4,200 163
Interpublic Group* (A) 306,647 2,377
ITT Educational Services* 10,300 833
J.C. Penney 34,300 1,144
John Wiley & Sons, Cl A 3,000 121
Johnson Controls 27,809 843
Jones Apparel Group (A) 60,000 1,111
KB Home 2,500 49
Kohl's* (A) 5,456 251
Las Vegas Sands* 800 29
Leggett & Platt 17,700 386
Liberty Global, Cl A* 36,704 1,112
Liberty Media - Entertainment, Cl A* 34,900 871
LKQ* 2,700 46
Lowe's 2,200 52
Macy's 3,500 63
Marriott International, Cl A 1,700 44
Mattel 2,400 43
McDonald's (A) 91,942 5,673
McGraw-Hill 8,098 256
MDC Holdings 900 33
MGM Mirage* 117,200 3,340
NetFlix* (A) 43,200 1,334
New York Times, Cl A 3,200 46
Newell Rubbermaid 3,002 52
News, Cl A 333,431 3,998
SEI Institutional Managed Trust / Annual Report / September 30, 2008
58
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Nike, Cl B 11,324 $ 758
NVR* (A) 3,745 2,142
Office Depot* 25,047 146
Omnicom Group 3,448 133
Orient-Express Hotels, Cl A 1,900 46
Panera Bread, Cl A* 800 41
Penn National Gaming* 1,500 40
Polo Ralph Lauren (A) 35,721 2,380
priceline.com* 900 62
Pulte Homes 14,000 196
RadioShack 49,600 857
Ross Stores 8,300 306
Royal Caribbean Cruises 1,700 35
Scripps Networks Interactive, Cl A 10,200 370
Sears Holdings* 31,400 2,936
Service International 77,901 651
Shaw Communications, Cl B (A) 87,200 1,773
Sherwin-Williams 20,680 1,182
Sirius XM Radio* 86,840 49
Snap-On (A) 40,686 2,143
Stamps.com* 17,100 200
Stanley Works 8,100 338
Staples 184,900 4,160
Starwood Hotels & Resorts Worldwide 2,700 76
Strayer Education 200 40
Target 5,445 267
Tiffany 4,300 153
Tim Hortons 3,887 115
Time Warner (A) 614,694 8,059
Time Warner Cable, Cl A* 10,845 262
Titan International 14,800 316
TJX 77,100 2,353
Toll Brothers* 13,100 331
TravelCenters of America LLC* 1 --
TRW Automotive Holdings* (A) 98,554 1,568
Urban Outfitters* (A) 46,700 1,488
VF 6,118 473
Viacom, Cl B* (A) 38,600 959
Virgin Media 82,800 654
WABCO Holdings 26,700 949
Walt Disney (A) 110,809 3,401
Warnaco Group* 26,100 1,182
Warner Music Group 22,243 169
Weight Watchers International 78,700 2,880
Williams-Sonoma 1,900 31
Wyndham Worldwide (A) 114,341 1,796
Wynn Resorts 2,000 163
Yum! Brands 28,210 920
------------
132,013
------------
CONSUMER STAPLES -- 7.6%
Alberto-Culver 6,521 178
Altria Group (A) 96,474 1,914
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Anheuser-Busch 16,021 $ 1,039
Archer-Daniels-Midland (A) 106,455 2,332
Avon Products 9,000 374
Bare Escentuals* 50,694 551
BJ's Wholesale Club* (A) 51,336 1,995
Brown-Forman, Cl B (A) 37,569 2,698
Bunge (A) 17,927 1,133
Central European Distribution* 700 32
Church & Dwight 3,000 186
Coca-Cola (A) 94,005 4,971
Coca-Cola Enterprises (A) 84,700 1,420
Colgate-Palmolive 26,012 1,960
ConAgra Foods 58,700 1,142
Constellation Brands, Cl A* 7,200 155
Corn Products International 4,346 140
Costco Wholesale (A) 32,575 2,115
CVS Caremark 22,388 754
Dean Foods* 10,305 241
Del Monte Foods 69,300 541
Dr Pepper Snapple Group* 16,400 434
Energizer Holdings* 2,000 161
Estee Lauder, Cl A 800 40
General Mills (A) 20,600 1,416
Hansen Natural* 1,400 42
Herbalife (A) 43,200 1,707
HJ Heinz 7,374 368
Hormel Foods 7,200 261
JM Smucker 1,200 61
Kellogg 11,875 666
Kimberly-Clark (A) 35,435 2,298
Kraft Foods, Cl A 9,939 326
Kroger (A) 149,421 4,106
Lorillard 6,350 452
McCormick 1,053 40
Molson Coors Brewing, Cl B (A) 24,292 1,136
Pepsi Bottling Group 8,600 251
PepsiAmericas (A) 46,400 961
PepsiCo (A) 85,747 6,111
Philip Morris International (A) 84,373 4,058
Procter & Gamble (A) 295,205 20,573
Reynolds American (A) 26,190 1,273
Safeway (A) 86,406 2,050
Smithfield Foods* 4,300 68
SUPERVALU 64,053 1,390
SYSCO (A) 212,791 6,560
Tyson Foods, Cl A (A) 173,897 2,076
UST 2,100 140
Walgreen 126,148 3,906
Wal-Mart Stores (A) 89,124 5,338
Whole Foods Market 12,400 248
WM Wrigley Jr. 9,376 744
------------
95,132
------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
59
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
ENERGY -- 10.7%
Anadarko Petroleum 23,600 $ 1,145
Apache (A) 18,722 1,952
Arch Coal 9,113 300
Atwood Oceanics* 1,100 40
Baker Hughes 12,750 772
Cabot Oil & Gas 6,200 224
Cameron International* (A) 29,576 1,140
Chesapeake Energy 35,600 1,277
Chevron (A) 221,900 18,302
Cimarex Energy (A) 55,500 2,715
ConocoPhillips (A) 145,116 10,630
Consol Energy 6,700 307
Continental Resources* 3,100 122
Denbury Resources* 10,400 198
Devon Energy (A) 12,500 1,140
Diamond Offshore Drilling 1,700 175
Dresser-Rand Group* 1,400 44
El Paso 49,772 635
Encore Acquisition* 1,300 54
ENSCO International (A) 20,500 1,181
EOG Resources 39,900 3,569
Exterran Holdings* 1,300 42
Exxon Mobil (A) 449,744 34,927
FMC Technologies* 5,000 233
Forest Oil* 5,200 258
Foundation Coal Holdings 10,779 384
Frontier Oil 2,400 44
Frontline 3,700 178
Halliburton (A) 131,272 4,252
Helix Energy Solutions Group* 1,400 34
Helmerich & Payne (A) 31,600 1,365
Hercules Offshore* 1,600 24
Hess (A) 18,845 1,547
Key Energy Services* 22,738 264
Marathon Oil (A) 47,610 1,898
Mariner Energy* (A) 75,400 1,546
Massey Energy 31,600 1,127
Murphy Oil (A) 50,233 3,222
Nabors Industries* 32,400 807
National Oilwell Varco* 13,533 680
Newfield Exploration* 4,100 131
Noble (A) 25,400 1,115
Noble Energy 9,100 506
Occidental Petroleum (A) 81,708 5,756
Oceaneering International* 200 11
Oil States International* 1,200 42
Overseas Shipholding Group 30,300 1,767
Patriot Coal* 6,300 183
Patterson-UTI Energy (A) 87,600 1,754
Peabody Energy 1,700 77
Petro-Canada (A) 40,000 1,334
PetroHawk Energy* 5,400 117
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Pioneer Natural Resources (A) 39,936 $ 2,088
Plains Exploration & Production* 16,897 594
Pride International* (A) 30,700 909
Quicksilver Resources* 27,037 531
Range Resources 7,300 313
Rowan 400 12
Schlumberger (A) 60,252 4,705
SEACOR Holdings* (A) 13,200 1,042
Smith International 5,600 328
Southwestern Energy* (A) 46,145 1,409
Superior Energy Services* 49,900 1,554
Swift Energy* 5,500 213
Tesoro 1,600 26
Tidewater (A) 20,100 1,113
Transocean 6,619 727
Unit* 18,400 917
Valero Energy (A) 58,000 1,757
W&T Offshore (A) 35,700 974
Weatherford International* 15,500 390
Whiting Petroleum* 5,665 404
Williams (A) 50,900 1,204
XTO Energy 27,591 1,284
------------
134,041
------------
FINANCIALS -- 14.4%
Aflac 17,816 1,047
Alexandria Real Estate Equities+ 1,800 203
Alleghany* 139 51
Allied World Assurance Holdings 21,700 771
Allstate (A) 66,560 3,070
AMB Property+ 6,200 281
American Capital 1,600 41
American Express 74,139 2,627
American Financial Group (A) 83,014 2,449
American International Group 47,022 157
American National Insurance 342 30
American Physicians Capital 6,600 279
Ameriprise Financial (A) 50,288 1,921
Annaly Capital Management+ (A) 100,700 1,354
AON 11,786 530
Apartment Investment & Management, Cl A+ 6,624 232
Arch Capital Group* 10,300 752
Aspen Insurance Holdings 11,800 325
Associated Banc-Corp 28,724 573
Assurant (A) 36,174 1,990
Astoria Financial 10,600 220
AvalonBay Communities+ 10,851 1,068
Axis Capital Holdings (A) 49,800 1,579
Bancorpsouth 7,800 219
Bank of America (A) 225,401 7,889
Bank of Hawaii 5,115 273
Bank of New York Mellon (A) 99,384 3,238
SEI Institutional Managed Trust / Annual Report / September 30, 2008
60
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
BB&T 33,611 $ 1,270
BlackRock (A) 7,012 1,364
BOK Financial 9,459 458
Boston Properties+ (A) 40,995 3,840
Brandywine Realty Trust+ (A) 82,100 1,316
Brown & Brown 3,963 86
Camden Property Trust+ 1,500 69
Capital One Financial (A) 73,500 3,748
Capitol Federal Financial 6,458 286
CapLease+ 5,700 45
CB Richard Ellis Group, Cl A* 3,800 51
CBL & Associates Properties+ (A) 53,800 1,080
Charles Schwab (A) 272,158 7,076
Chubb (A) 78,304 4,299
Cincinnati Financial 4,200 119
Citigroup 371,601 7,622
CME Group 17,299 6,427
Colonial Properties Trust+ 1,000 19
Commerce Bancshares 5,200 241
Credicorp (A) 21,700 1,351
Cullen/Frost Bankers 7,500 450
Digital Realty Trust+ 1,400 66
Discover Financial Services 55,769 771
Douglas Emmett+ 4,900 113
Eaton Vance 3,700 130
Endurance Specialty Holdings (A) 86,200 2,665
Equity Residential+ 5,800 258
Erie Indemnity, Cl A 1,000 42
Essex Property Trust+ 2,200 260
Everest Re Group 3,900 337
Fannie Mae 2,247 3
Federal Realty Investment Trust+ 606 52
Federated Investors, Cl B 32,100 926
Fidelity National Financial, Cl A 8,200 121
Fifth Third Bancorp 6,000 71
First Cash Financial Services* 2,600 39
First Citizens BancShares, Cl A 2,208 395
Forest City Enterprises, Cl A 12,218 375
Franklin Resources (A) 25,281 2,228
Fulton Financial 18,300 200
General Growth Properties+ 15,300 231
Goldman Sachs Group 34,324 4,393
Greenhill 12,400 915
Hanover Insurance Group (A) 26,500 1,206
Hartford Financial Services Group 14,503 594
HCC Insurance Holdings 2,100 57
HCP+ 12,800 514
Health Care+ 10,000 532
Hospitality Properties Trust+ 20,187 414
Host Hotels & Resorts+ 62,974 837
Hudson City Bancorp (A) 184,000 3,395
Huntington Bancshares 35,700 285
Interactive Brokers Group, Cl A* 4,900 109
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
IntercontinentalExchange* 68,300 $ 5,510
Invesco 4,000 84
Investment Technology Group* 23,200 706
Janus Capital Group (A) 133,029 3,230
Jefferies Group 900 20
Jones Lang LaSalle 15,920 692
JPMorgan Chase (A) 251,117 11,727
Kimco Realty+ 2,800 103
Lazard, Cl A 1,000 43
Leucadia National 21,000 954
Liberty Property Trust+ 1,300 49
Loews (A) 90,849 3,588
M&T Bank 2,200 196
Mack-Cali Realty+ 3,100 105
Markel* 94 33
Marsh & McLennan (A) 81,377 2,585
Merrill Lynch 159,835 4,044
MetLife (A) 22,242 1,246
Montpelier Re Holdings 14,900 246
Moody's 3,300 112
Morgan Stanley 26,862 618
NASDAQ Stock Market* 39,462 1,206
Nationwide Health Properties+ 9,600 345
New York Community Bancorp 27,400 460
Northern Trust 32,649 2,357
NorthStar Realty Finance+ 56,600 439
NYSE Euronext 104,929 4,111
PartnerRe (A) 17,300 1,178
People's United Financial 13,100 252
Philadelphia Consolidated Holding* 2,000 117
Platinum Underwriters Holdings 10,800 383
Plum Creek Timber+ 5,297 264
PNC Financial Services Group 4,046 302
Popular 21,100 175
Principal Financial Group 7,389 321
Progressive 6,100 106
Prologis+ 3,600 149
Protective Life 1,500 43
Prudential Financial 3,400 245
Public Storage+ 18,127 1,795
Raymond James Financial 32,061 1,057
Rayonier+ (A) 87,645 4,150
Regency Centers+ 800 53
Regions Financial (A) 286,955 2,755
RenaissanceRe Holdings 41,100 2,137
SeaBright Insurance Holdings* 2,800 36
Simon Property Group+ 2,600 252
St. Joe 5,500 215
StanCorp Financial Group 2,900 151
State Street 4,000 228
Sunstone Hotel Investors+ 28,800 389
SunTrust Banks 821 37
Synovus Financial 20,700 214
SEI Institutional Managed Trust / Annual Report / September 30, 2008
61
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
T. Rowe Price Group (A) 61,733 $ 3,316
Taubman Centers+ 3,000 150
TCF Financial 5,200 94
TD Ameritrade Holding* (A) 180,400 2,922
TFS Financial 4,661 58
Torchmark 3,171 190
Transatlantic Holdings (A) 1,127 61
Travelers (A) 91,076 4,117
Tree.com* 1,013 5
UDR+ 11,800 309
UnionBanCal 1,000 73
Unum Group 6,000 151
US Bancorp 16,002 576
Valley National Bancorp 955 20
Ventas+ 14,700 726
Wachovia (A) 100,481 352
Waddell & Reed Financial, Cl A 13,800 342
Washington Federal 41,000 756
Webster Financial 8,200 207
Weingarten Realty Investors+ 1,400 50
Wells Fargo (A) 100,679 3,778
Whitney Holding 400 10
Wilmington Trust 4,700 136
WR Berkley (A) 58,000 1,366
XL Capital, Cl A 19,900 357
Zions Bancorporation (A) 13,100 507
------------
179,362
------------
HEALTH CARE -- 12.2%
Abbott Laboratories 25,275 1,455
Aetna (A) 167,056 6,032
Alkermes* 28,200 375
Allergan 92,394 4,758
AmerisourceBergen (A) 151,405 5,700
Amgen* (A) 134,948 7,998
Applied Biosystems (A) 127,045 4,351
Barr Pharmaceuticals* 600 39
Baxter International 22,089 1,450
Becton Dickinson (A) 27,348 2,195
Biogen Idec* (A) 34,900 1,755
BioMarin Pharmaceuticals* 4,700 125
Boston Scientific* 13,700 168
Bristol-Myers Squibb (A) 136,341 2,843
C.R. Bard 3,200 304
Cardinal Health (A) 130,662 6,439
Celgene* 4,906 310
Cephalon* (A) 16,800 1,302
Cerner* 20,556 918
Charles River Laboratories International* 4,400 244
Cigna (A) 108,225 3,677
Community Health Systems* 1,400 41
Covance* 10,000 884
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Covidien 4,700 $ 253
Cubist Pharmaceuticals* (A) 39,400 876
Dentsply International 14,568 547
Dionex* 3,300 210
Edwards Lifesciences* 9,644 557
Eli Lilly (A) 50,089 2,205
Endo Pharmaceuticals Holdings* 34,900 698
Express Scripts* (A) 56,100 4,141
Forest Laboratories* (A) 73,300 2,073
Genentech* 79,500 7,050
Gen-Probe* 500 27
Genzyme* 20,877 1,689
Gilead Sciences* 10,700 488
Health Management Associates, Cl A* 102,625 427
Henry Schein* 5,200 280
Hill-Rom Holdings 4,630 140
HLTH* 76,296 872
Hologic* 1,800 35
Hospira* 1,200 46
Humana* (A) 58,400 2,406
Idexx Laboratories* (A) 30,200 1,655
Illumina* 3,800 154
ImClone Systems* 4,500 281
Intuitive Surgical* (A) 6,100 1,470
Inverness Medical Innovations* 12,600 378
Invitrogen* 12,392 468
Isis Pharmaceuticals* 7,600 128
Johnson & Johnson (A) 161,562 11,193
Kinetic Concepts* 1,000 29
King Pharmaceuticals* (A) 209,800 2,010
Laboratory Corp of America Holdings* 745 52
LifePoint Hospitals* 10,400 334
Lincare Holdings* 45,900 1,381
Martek Biosciences 17,500 550
McKesson (A) 105,458 5,675
Medco Health Solutions* (A) 89,995 4,050
Medicis Pharmaceutical, Cl A 16,700 249
Medtronic (A) 56,292 2,820
Merck (A) 103,936 3,280
Merit Medical Systems* 8,400 158
Mylan Laboratories* 3,600 41
Omnicare 26,900 774
OSI Pharmaceuticals* 10,000 493
Owens & Minor 17,300 839
Patterson* 2,200 67
Pediatrix Medical Group* 4,500 243
PerkinElmer 15,173 379
Perrigo 6,800 262
Pfizer (A) 518,017 9,552
Pharmaceutical Product Development 6,800 281
Quest Diagnostics 6,500 336
Resmed* 1,100 47
Schering-Plough 3,096 57
Sepracor* 20,246 371
SEI Institutional Managed Trust / Annual Report / September 30, 2008
62
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Somanetics* 2,900 $ 63
St. Jude Medical* 2,300 100
STERIS 38,100 1,432
Stryker (A) 76,815 4,786
Techne* 15,221 1,098
Tenet Healthcare* 316,319 1,756
Thermo Fisher Scientific* 15,112 831
UnitedHealth Group (A) 356,265 9,046
Universal Health Services, Cl B 14,655 821
Varian Medical Systems* 5,800 331
VCA Antech* 1,900 56
Vertex Pharmaceuticals* 1,500 50
Warner Chilcott, Cl A* (A) 66,200 1,001
Waters* 7,063 411
Watson Pharmaceuticals* 1,400 40
WellCare Health Plans* 2,500 90
WellPoint* (A) 31,945 1,494
Wyeth 22,056 815
Zimmer Holdings* 2,000 129
------------
152,790
------------
INDUSTRIALS -- 10.6%
3M (A) 26,245 1,793
AAON 7,700 140
Acuity Brands 6,300 263
Aecom Technology* 27,799 679
AGCO* 14,900 635
Alliant Techsystems* 1,900 178
Allied Waste Industries* 69,914 777
Ametek 8,200 334
BE Aerospace* 1,400 22
Boeing (A) 103,677 5,946
Brink's 4,500 275
Bucyrus International, Cl A (A) 20,300 907
Burlington Northern Santa Fe 8,800 813
C.H. Robinson Worldwide (A) 40,487 2,063
Caterpillar (A) 54,700 3,260
Cenveo* 12,700 98
Columbus McKinnon* 2,200 52
Continental Airlines, Cl B* 4,900 82
Con-way 3,200 141
Copart* 16,400 623
Corporate Executive Board 1,500 47
Corrections Corp of America* 3,000 75
Covanta Holding* 1,800 43
Crane 18,700 556
CSX (A) 85,413 4,661
Cummins (A) 97,891 4,280
Danaher 2,345 163
Deere 11,600 574
Delta Air Lines* 2,500 19
Donaldson 5,900 247
Dover (A) 53,900 2,186
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
DRS Technologies 3,200 $ 246
Dun & Bradstreet 10,974 1,036
Eaton 100 6
Emerson Electric (A) 42,718 1,742
Equifax 2,600 90
Expeditors International of Washington 94,000 3,275
Fastenal 22,700 1,121
FedEx (A) 62,302 4,924
First Solar* (A) 7,400 1,398
Flowserve 5,100 453
Fluor (A) 40,801 2,273
Foster Wheeler* 32,600 1,177
FTI Consulting* 900 65
Gardner Denver* (A) 33,700 1,170
GATX 2,600 103
General Cable* 36,400 1,297
General Dynamics 18,985 1,398
General Electric (A) 573,188 14,616
Goodrich (A) 49,100 2,043
Harsco (A) 23,642 879
Hertz Global Holdings* 3,200 24
Honeywell International 34,674 1,441
Hubbell, Cl B 7,700 270
IHS, Cl A* 1,000 48
Illinois Tool Works 3,200 142
Ingersoll-Rand, Cl A 7,953 248
ITT 518 29
Jacobs Engineering Group* (A) 57,702 3,134
JB Hunt Transport Services 5,400 180
John Bean Technologies* 6,403 81
Joy Global 2,300 104
Kansas City Southern* 4,600 204
KBR (A) 101,792 1,554
Kennametal 4,659 126
Kirby* 5,800 220
L-3 Communications Holdings (A) 22,900 2,252
Landstar System 3,300 145
Lennox International (A) 44,600 1,484
Lincoln Electric Holdings 1,400 90
Lockheed Martin (A) 66,884 7,335
Manitowoc (A) 16,268 253
Manpower 1,600 69
McDermott International* 3,600 92
NCI Building Systems* 1,100 35
Norfolk Southern (A) 24,700 1,635
Northrop Grumman (A) 60,283 3,650
Northwest Airlines* 6,000 54
Owens Corning* 1,200 29
PACCAR 1,488 57
Pacer International 1,800 30
Pall 1,200 41
Parker Hannifin (A) 58,385 3,094
Pentair 1,900 66
SEI Institutional Managed Trust / Annual Report / September 30, 2008
63
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Precision Castparts 17,164 $ 1,352
Quanta Services* 110,479 2,984
Raytheon (A) 63,905 3,420
Republic Services 11,500 345
Robert Half International (A) 37,000 916
Rockwell Automation 700 26
Roper Industries 1,838 105
Ryder System 10,000 620
Shaw Group* 33,100 1,017
Southwest Airlines 99,325 1,441
SPX 5,194 400
Steelcase, Cl A 76,711 825
Stericycle* (A) 31,270 1,842
Terex* 1,400 43
Textron 12,100 354
Thomas & Betts* 37,900 1,481
Timken 64,925 1,841
Trinity Industries 10,620 273
Tyco International (A) 50,379 1,764
Union Pacific (A) 47,378 3,371
United Parcel Service, Cl B 67,759 4,261
United Rentals* 15,000 229
United Technologies 14,804 889
URS* 9,018 331
USG* 1,700 44
UTI Worldwide 31,192 531
Valmont Industries 1,600 132
Walter Industries 22,900 1,087
Waste Management 8,113 255
WESCO International* (A) 26,600 856
WW Grainger 600 52
------------
132,547
------------
INFORMATION TECHNOLOGY -- 19.1%
Accenture, Cl A (A) 126,100 4,792
Activision Blizzard* 52,600 812
ADC Telecommunications* 900 8
Adobe Systems* (A) 102,200 4,034
Advanced Micro Devices* 5,600 29
Affiliated Computer Services, Cl A* 6,300 319
Agilent Technologies* 23,366 693
Akamai Technologies* 4,200 73
Altera 900 19
Amdocs* 39,812 1,090
Amkor Technology* 60,700 387
Amphenol, Cl A 11,940 479
Analog Devices (A) 43,800 1,154
Anixter International* (A) 24,400 1,452
Ansys* 1,500 57
Apple* (A) 50,848 5,779
Applied Materials 5,995 91
Applied Micro Circuits* 46,000 275
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Arrow Electronics* 3,200 $ 84
Autodesk* 700 23
Automatic Data Processing (A) 6,301 269
Avnet* (A) 89,800 2,212
Avocent* 5,500 113
AVX 60,402 615
BMC Software* 8,600 246
Broadcom, Cl A* (A) 62,100 1,157
Broadridge Financial Solutions 13,200 203
Brocade Communications Systems* 77,400 450
CA (A) 152,778 3,049
Cabot Microelectronics* 3,100 99
Check Point Software Technologies* (A) 74,900 1,703
Ciena* 50,800 512
Cisco Systems* (A) 437,430 9,868
Citrix Systems* 300 8
Cognex 10,000 202
CommScope* 2,600 90
Computer Sciences* 45,451 1,827
Compuware* (A) 158,600 1,537
Convergys* (A) 91,564 1,353
Corning (A) 226,542 3,543
Cree* 5,100 116
Daktronics 22,800 380
Dell* 52,700 868
Dolby Laboratories, Cl A* 3,400 120
DST Systems* 221 12
Earthlink* 50,200 427
eBay* (A) 475,410 10,640
Electronic Arts* 67,300 2,489
EMC* 144,335 1,726
Factset Research Systems 7,300 381
Fairchild Semiconductor International* (A) 28,603 254
Fidelity National Information Services 1,946 36
Fiserv* 3,200 151
Flir Systems* 2,453 94
Global Payments (A) 30,653 1,375
Google, Cl A* (A) 36,120 14,467
Harris 25,901 1,197
Hewitt Associates, Cl A* (A) 61,600 2,245
Hewlett-Packard (A) 390,103 18,038
IAC* 14,600 253
Ingram Micro, Cl A* 34,970 562
Integral Systems 6,800 141
Integrated Device Technology* 215,500 1,677
Intel (A) 231,588 4,338
International Business Machines (A) 60,962 7,130
Intersil, Cl A (A) 40,700 675
Intuit* 167,100 5,282
Iron Mountain* 12,400 303
Itron* 600 53
Jabil Circuit (A) 108,458 1,035
SEI Institutional Managed Trust / Annual Report / September 30, 2008
64
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Juniper Networks* (A) 49,000 $ 1,032
Kla-Tencor 500 16
Lender Processing Services 21,826 666
Lexmark International, Cl A* 1,400 46
Linear Technology 2,600 80
LSI Logic* 15,600 84
Mastercard, Cl A (A) 43,471 7,709
McAfee* 11,900 404
MEMC Electronic Materials* 4,074 115
Mettler Toledo International* 4,962 486
Micrel 36,000 327
Microchip Technology 1,500 44
Microsoft (A) 746,624 19,927
Molex 99,773 2,240
Motorola 160,430 1,145
Multi-Fineline Electronix* 7,000 104
National Semiconductor (A) 62,700 1,079
NCR* 31,800 701
NetApp* (A) 49,400 901
NeuStar, Cl A* 2,100 42
Nokia ADR 85,800 1,600
Nuance Communications* 3,400 41
Nvidia* 800 9
ON Semiconductor* 6,200 42
Oracle* (A) 134,708 2,736
QLogic* (A) 116,400 1,788
Qualcomm (A) 322,300 13,849
Rambus* 6,100 78
Red Hat* 83,900 1,264
Research In Motion* 49,000 3,347
SAIC* 1,400 28
Salesforce.com* 5,200 252
Seagate Technology 316,200 3,832
Silicon Laboratories* (A) 40,100 1,231
Sohu.com* 8,136 454
Sun Microsystems* (A) 94,332 717
Sybase* 47,900 1,467
Symantec* (A) 219,256 4,293
Synaptics* 10,400 314
Synopsys* (A) 83,878 1,673
Tech Data* (A) 49,119 1,466
Teradata* 137,300 2,677
Teradyne* (A) 119,700 935
Texas Instruments (A) 374,781 8,058
Trimble Navigation* 29,800 771
Tyco Electronics 67,621 1,870
Unisys* (A) 302,265 831
Valueclick* 44,400 454
VeriSign* 158,400 4,131
Visa, Cl A (A) 105,000 6,446
VMware, Cl A* 500 13
Volterra Semiconductor* 47,000 598
WebMD Health, Cl A* 130 4
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Western Digital* 28,700 $ 612
Western Union 51,611 1,273
Xerox (A) 101,840 1,174
Xilinx 2,700 63
Yahoo!* 236,500 4,091
Zebra Technologies, Cl A* 3,700 103
------------
238,904
------------
MATERIALS -- 3.2%
Air Products & Chemicals 8,800 603
Airgas 3,300 164
AK Steel Holding (A) 51,877 1,345
Alcoa (A) 65,600 1,481
Allegheny Technologies 400 12
Alpha Natural Resources* 3,600 185
Aptargroup 2,700 106
Ashland (A) 1,049 31
Cabot (A) 72,384 2,300
Celanese, Ser A (A) 29,831 833
Century Aluminum* 2,000 55
CF Industries Holdings 1,600 146
Cleveland-Cliffs 6,400 339
Commercial Metals 5,247 89
Crown Holdings* 10,100 224
Dow Chemical (A) 95,584 3,038
E.I. Du Pont de Nemours 49,734 2,004
Eastman Chemical 10,900 600
Ecolab 8,500 412
FMC 7,800 401
Freeport-McMoRan Copper & Gold, Cl B (A) 14,850 844
Greif, Cl A 18,300 1,201
Huntsman 3,200 40
Intrepid Potash* 27,800 838
Lubrizol (A) 36,400 1,570
Monsanto (A) 20,412 2,020
Mosaic (A) 25,400 1,728
Nalco Holding (A) 146,946 2,724
Newmont Mining (A) 39,953 1,549
Nucor (A) 46,900 1,853
Owens-Illinois* 18,200 535
Packaging Corp of America 1,800 42
PPG Industries 1,000 58
Praxair 47,615 3,416
Reliance Steel & Aluminum 42,600 1,618
Schnitzer Steel Industries, Cl A 14,742 578
Sealed Air 10,300 226
Sigma-Aldrich 9,800 514
Sonoco Products 3,700 110
Southern Copper 11,500 219
Steel Dynamics 8,500 145
Temple-Inland 21,810 333
Terra Industries (A) 29,139 857
SEI Institutional Managed Trust / Annual Report / September 30, 2008
65
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
United States Steel (A) 30,200 $ 2,344
Vulcan Materials 600 45
Weyerhaeuser 1,000 61
------------
39,836
------------
TELECOMMUNICATION SERVICES -- 2.7%
American Tower, Cl A* (A) 28,500 1,025
AT&T (A) 534,566 14,925
CenturyTel (A) 23,700 869
Crown Castle International* 121,100 3,508
Frontier Communications 4,811 55
iPCS* 4,500 100
Leap Wireless International* (A) 22,900 872
MetroPCS Communications* 7,921 111
NII Holdings* 25,478 966
Qwest Communications International 28,000 90
Sprint Nextel (A) 152,700 931
Telephone & Data Systems 12,540 448
US Cellular* (A) 36,224 1,700
USA Mobility 8,100 89
Verizon Communications (A) 216,375 6,943
Windstream (A) 127,752 1,398
------------
34,030
------------
UTILITIES -- 2.9%
AES* 364,000 4,255
AGL Resources 12,700 399
Allegheny Energy 5,406 199
Alliant Energy 40,540 1,306
Ameren 10,800 422
American Electric Power 15,700 581
American Water Works 10,300 221
Atmos Energy 19,130 509
Calpine* 128,294 1,668
Centerpoint Energy (A) 58,100 847
Consolidated Edison 1,200 52
Constellation Energy Group 6,400 156
Dominion Resources 25,969 1,111
DPL 44,046 1,092
DTE Energy (A) 41,100 1,649
Duke Energy (A) 43,400 756
Edison International (A) 70,000 2,793
Energen 6,700 303
Entergy 5,700 507
Equitable Resources 16,300 598
Exelon 2,574 161
FirstEnergy (A) 21,965 1,471
FPL Group 17,200 865
Hawaiian Electric Industries 10,800 314
MDU Resources Group 35,937 1,042
National Fuel Gas 5,400 228
NiSource (A) 81,300 1,200
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
NRG Energy* 16,900 $ 418
NSTAR 1,900 64
OGE Energy 1,500 46
Oneok 15,400 530
Pepco Holdings (A) 37,900 868
PG&E 15,179 568
Pinnacle West Capital 3,600 124
PPL 22,462 832
Public Service Enterprise Group (A) 74,502 2,443
Puget Energy 11,500 307
Questar 5,700 233
Reliant Energy* (A) 234,293 1,722
SCANA 4,000 156
Sempra Energy 1,992 101
Sierra Pacific Resources 129,899 1,244
Southern 9,727 367
Southern Union 1,243 26
TECO Energy 32,314 508
UGI 23,800 614
Vectren 4,200 117
Wisconsin Energy 5,600 251
Xcel Energy 11,071 221
------------
36,465
------------
Total Common Stock
(Cost $1,304,685) ($ Thousands) 1,175,120
------------
MORTGAGE-BACKED SECURITIES--14.2%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 8.2%
FHLMC
6.000%, 03/01/23 $ 1,900 1,935
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 (B) (E) 5,847 1,283
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 (B) (E) 963 187
FNMA TBA
6.500%, 10/01/37 6,000 6,152
6.000%, 10/20/21 37,000 37,682
5.500%, 10/15/22 to 10/01/38 44,000 44,331
FNMA ARM
5.496%, 11/25/08 820 834
FNMA CMO, Ser 2005-115, Cl OC
6.000%, 10/25/33 2,194 2,231
FNMA CMO, Ser 2005-108, Cl TA
5.500%, 03/25/22 1,027 1,030
FNMA CMO, Ser 2006-33, Cl QA
6.000%, 01/25/29 3,386 3,444
FNMA CMO, STRIPS,
Ser 359, Cl 6, IO
5.000%, 11/01/35 367 75
SEI Institutional Managed Trust / Annual Report / September 30, 2008
66
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
FNMA CMO STRIPS,
Ser 360, Cl 2, IO
5.000%, 08/01/35 $ 15,966 $ 3,502
GNMA ARM
5.625%, 11/20/08 337 340
------------
103,026
------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.0%
American Home Mortgage Assets,
Ser 2006-3, Cl M5
3.827%, 10/27/08 (C) 250 11
American Home Mortgage
Investment Trust, Ser 2005-1,
Cl 6A
5.294%, 11/25/08 (C) 3,510 1,949
American Home Mortgage
Investment Trust, Ser 2005-4,
Cl 5A
5.350%, 11/25/08 (C) 1,913 1,274
American Home Mortgage
Investment Trust, Ser 2006-1,
Cl 2A3
5.100%, 11/25/08 (C) 1,141 855
Banc of America Commercial
Mortgage, Ser 2005-5, Cl AM
5.176%, 11/10/08 (C) 1,762 1,490
Banc of America Commercial
Mortgage, Ser 2005-6, Cl AM
5.352%, 11/10/08 (C) 1,619 1,367
Banc of America Commercial
Mortgage, Ser 2006-2, Cl A4
5.930%, 05/10/45 (C) 1,911 1,729
Banc of America Commercial
Mortgage, Ser 2006-3, Cl A4
5.889%, 11/10/08 (C) 1,854 1,678
Banc of America Commercial
Mortgage, Ser 2007-3, Cl A4
5.838%, 11/10/08 (C) 5,050 4,292
Citigroup Commercial Mortgage Trust,
Ser 2006-C4, Cl A3
5.915%, 11/15/08 (C) 3,249 2,939
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1
6.721%, 11/25/08 (C) 227 172
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3
4.357%, 10/27/08 (C) 235 16
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3
5.207%, 10/27/08 (C) 375 12
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl M3
3.637%, 10/27/08 (C) 500 60
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
Countrywide Alternative Loan Trust,
Ser 2006-OA16, Cl M5
3.757%, 10/27/08 (C) $ 225 $ 3
Countrywide Home Loans,
Ser 2004-22, Cl A1
5.089%, 11/25/08 (C) 355 286
Countrywide Home Loans,
Ser 2006-OA4, Cl M4
4.027%, 10/27/08 (C) 285 10
Countrywide Home Loans,
Ser 2006-OA4, Cl M5
4.077%, 10/27/08 (C) 195 6
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4
4.257%, 10/27/08 (C) 275 6
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1
5.491%, 11/25/08 (C) 1,503 1,120
Credit Suisse Mortgage Capital
Certificates, Cl A3
5.311%, 12/15/39 5,600 4,854
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C3, Cl A3
6.021%, 11/15/08 (C) 2,381 2,164
Downey Savings & Loan Association
Mortgage Loan Trust,
Ser 2004-AR4, Cl B1
3.630%, 10/20/08 (C) 267 71
First Horizon Alternative Mortgage
Trust, Ser 2006-AA6, Cl 2A1
5.628%, 11/25/08 (C) 2,905 1,999
First Horizon Mortgage Pass-
Through, Ser 2006-AR3, Cl 1A1
5.656%, 11/25/08 (C) 616 525
Greenwich Capital Commercial
Funding, Ser 2006-GG7, Cl AM
6.112%, 11/10/08 (C) 2,100 1,753
GS Mortgage Securities II,
Ser 2006-GG6, Cl AM
5.622%, 11/10/08 (C) 3,800 3,127
Impac CMB Trust, Ser 2004-10,
Cl 4M1
3.807%, 10/27/08 (C) 230 161
Impac Secured Assets CMO Owner
Trust, Ser 2007-1, Cl A1
3.267%, 10/27/08 (C) 4,475 3,923
Impac Secured Assets CMO Owners
Trust, Ser 2007-2, Cl 1A1A
3.317%, 10/27/08 (C) 2,782 2,379
Indymac Index Mortgage Loan Trust,
Ser 2006-AR12, Cl M2
3.757%, 10/27/08 (C) 235 36
SEI Institutional Managed Trust / Annual Report / September 30, 2008
67
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6
4.957%, 10/27/08 (C) $ 240 $ 6
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4
3.907%, 10/27/08 (C) 165 4
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2006-LDP9, Cl A3
5.336%, 05/15/47 1,155 994
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2007-CB18, Cl A4
5.716%, 02/15/51 7,000 5,849
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2007-CB18, Cl A4
5.440%, 06/12/47 5,050 4,213
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A
5.114%, 11/25/08 (C) 364 270
Merrill Lynch Mortgage Investors,
Ser 2006-1, Cl 1A
5.248%, 11/25/08 (C) 1,267 1,171
Merrill Lynch Mortgage Trust,
Ser 2005-CKI1, Cl A6
5.416%, 11/12/08 (C) 2,316 2,115
Merrill Lynch Mortgage Trust,
Ser 2008-C1, Cl AM
6.461%, 11/12/08 (C) 756 606
Merrill Lynch/Countrywide
Commercial Mortgage,
Ser 2006-4, Cl A3
5.172%, 11/12/08 (C) 5,667 4,865
Morgan Stanley Mortgage Loan Trust,
Ser 2007-14AR, Cl 6A1
6.471%, 11/25/08 (C) 1,692 1,112
Nomura Asset Acceptance,
Ser 2007-1, Cl 1A1A
5.995%, 03/25/47 1,684 1,417
Residential Accredit Loans,
Ser 2006-QO1, Cl 2A3
3.607%, 10/27/08 (C) 303 118
Residential Accredit Loans,
Ser 2006-QO3, Cl M5
3.987%, 10/27/08 (C) 251 5
Residential Accredit Loans,
Ser 2006-QO3, Cl M4
3.927%, 10/27/08 (C) 251 8
Residential Accredit Loans,
Ser 2006-QO6, Cl M5
3.707%, 10/27/08 (C) 350 11
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1
5.249%, 11/25/08 (C) $ 1,096 $ 1,064
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2005-16XS, Cl M2
4.107%, 10/27/08 (C) 505 25
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2007-9, Cl 2A1
5.994%, 11/25/08 (C) 1,799 1,176
Structured Asset Mortgage
Investments, Ser 2006-AR1, Cl B4
4.157%, 10/27/08 (C) 191 9
Structured Asset Mortgage
Investments, Ser 2006-AR1, Cl B5
4.257%, 10/27/08 (C) 121 11
Structured Asset Securities,
Ser 2006-NC1, Cl A4
3.357%, 10/27/08 (C) 300 180
Wachovia Bank Commercial
Mortgage Trust, Cl A3
6.011%, 11/15/08 (C) 5,000 4,524
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY4, Cl 1A1
5.542%, 11/25/08 (C) 4,013 2,981
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl 1A1
5.664%, 11/25/08 (C) 3,287 2,213
------------
75,214
------------
Total Mortgage-Backed Securities
(Cost $198,608) ($ Thousands) 178,240
------------
ASSET-BACKED SECURITIES -- 3.0%
MORTGAGE RELATED SECURITIES -- 1.3%
ABSC NIM Trust, Ser 2005-HE6,
Cl A1
5.050%, 08/27/35 (D) 29 --
Ace Securities, Ser 2003-OP1,
Cl M1
3.907%, 10/27/08 (C) 500 370
Ace Securities, Ser 2005-HE7,
Cl A2D
3.537%, 10/27/08 (C) 800 676
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1
4.257%, 10/27/08 (C) 38 29
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1
4.557%, 10/27/08 (C) 384 266
SEI Institutional Managed Trust / Annual Report / September 30, 2008
68
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
Argent Securities, Ser 2003-W5,
Cl M1
3.907%, 10/27/08 (C) $ 250 $ 196
Argent Securities, Ser 2003-W9,
Cl M1
3.897%, 10/27/08 (C) 343 250
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2
4.300%, 06/25/35 (B) 231 228
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5, Cl M1
3.613%, 10/15/08 (C) 547 432
Bear Stearns Asset-Backed Securities
Trust, Ser 2006-HE7, Cl 2A2
3.367%, 10/27/08 (C) 1,300 914
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE4, Cl 1A1
3.327%, 10/27/08 (C) 1,916 1,836
Countrywide Asset-Backed
Certificates, Ser 2006-S1, Cl A2
5.549%, 08/25/21 1,101 1,000
Home Equity Asset Trust,
Ser 2003-4, Cl M2
5.607%, 10/27/08 (C) 252 169
Home Equity Asset Trust,
Ser 2006-5, Cl 2A3
3.357%, 10/27/08 (C) 250 170
Home Equity Mortgage Trust,
Ser 2006-5, Cl A1
5.500%, 01/25/37 2,021 483
Irwin Home Equity, Ser 2007-1,
Cl 2A1
3.357%, 10/27/08 (C) (D) 3,507 2,455
Morgan Stanley ABS Capital I,
Ser 2003-NC10, Cl M1
4.227%, 10/27/08 (C) 583 466
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A2
4.461%, 08/25/35 (B) 58 57
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A1
3.307%, 10/27/08 (C) 2,397 2,250
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1
3.857%, 10/27/08 (C) 111 77
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1
3.327%, 10/27/08 (C) 2,002 1,749
Residential Asset Securities,
Ser 2005-KS12, Cl A3
3.527%, 10/27/08 (C) 800 568
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl A1
4.500%, 11/25/08 (C) (D) 1,430 390
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
Terwin Mortgage Trust,
Ser 2006-4SL, Cl A1
4.500%, 11/25/08 (C) (D) $ 1,483 $ 552
Terwin Mortgage Trust,
Ser 2006-6, Cl 1A1
4.500%, 11/25/08 (C) 734 235
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8A
6.207%, 10/27/08 (C) (D) 189 31
------------
15,849
------------
OTHER ASSET-BACKED SECURITIES -- 1.7%
Chase Funding Mortgage Loan
Asset-Backed Certificates,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 37 37
Countrywide Asset-Backed
Certificates, Ser 2003-5, Cl MV2
4.807%, 10/27/08 (C) 251 180
Countrywide Asset-Backed
Certificates, Ser 2005-7, Cl MV8
4.657%, 10/27/08 (C) 250 88
Credit-Based Asset Servicing and
Securitization, Ser 2005-CB2,
Cl M1
3.647%, 10/27/08 (C) 96 81
Credit-Based Asset Servicing and
Securitization, Ser 2007-CB4,
Cl A2A
5.844%, 04/25/37 (B) 1,810 1,724
Credit-Based Asset Servicing and
Securitization, Ser 2007-CB4,
Cl A1A
3.297%, 10/27/08 (C) 1,715 1,515
FBR Securitization Trust, Ser 2005-2,
Cl M10
5.457%, 10/27/08 (C) 71 1
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2006-FF11, Cl M1
3.457%, 10/27/08 (C) 3,500 893
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2006-FF14, Cl A2
3.267%, 10/27/08 (C) 1,791 1,675
GSAMP Trust, Ser 2007-HE2,
Cl A2A
2.592%, 10/27/08 (C) 1,761 1,651
Lehman XS Trust, Ser 2005-5N,
Cl M4
4.957%, 10/27/08 (C) 725 13
Lehman XS Trust, Ser 2005-7N,
Cl M51
4.457%, 10/27/08 (C) 150 7
SEI Institutional Managed Trust / Annual Report / September 30, 2008
69
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
Lehman XS Trust, Ser 2005-7N, Cl M7I
4.957%, 10/27/08 (C) $ 325 $ 6
Lehman XS Trust, Ser 2005-9N, Cl M6
4.957%, 10/27/08 (C) 415 9
Lehman XS Trust, Ser 2006-12N, Cl M4
3.757%, 10/27/08 (C) 270 33
Lehman XS Trust, Ser 2006-12N, Cl M5
3.807%, 10/27/08 (C) 150 3
Lehman XS Trust, Ser 2006-2N, Cl M5
4.357%, 10/27/08 (C) 240 5
Long Beach Mortgage Loan Trust,
Ser 2005-WL2, Cl M1
3.677%, 10/27/08 (C) 700 524
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3
3.537%, 10/27/08 (C) 560 425
Merrill Lynch Mortgage Investors,
Ser 2007-HE2, Cl A2A
3.327%, 10/27/08 (C) 1,991 1,861
Merrill Lynch Mortgage Investors,
Ser 2007-SL1, Cl A1
3.507%, 10/27/08 (C) 2,043 703
Morgan Stanley ABS Capital I,
Ser 2005-HE6, Cl A2C
3.527%, 10/27/08 (C) 1,600 1,375
Ownit Mortgage Loan Asset-Backed
Certificates, Ser 2006-1, Cl AF1
5.424%, 12/25/36 (B) 223 221
RAAC Series, Ser 2007-SP1, Cl A1
3.357%, 10/27/08 (C) 1,941 1,732
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B
3.357%, 10/27/08 (C) (D) 1,000 849
Saco I Trust, Ser 2005-10, Cl 2A1
3.467%, 10/27/08 (C) 2,415 1,986
Securitized Asset-Backed
Receivables Trust LLC,
Ser 2005-HE1, Cl A3C
3.537%, 10/27/08 (C) 400 337
SLM Student Loan Trust, Ser 2006-C, Cl C
3.209%, 12/15/08 (C) 1,000 654
Structured Asset Investment Loan
Trust, Ser 2003-BC4, Cl M2
6.207%, 10/27/08 (C) 154 111
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Structured Asset Securities,
Ser 2007-BC1, Cl A4
3.337%, 10/27/08 (C) $ 1,400 $ 838
Wachovia Student Loan Trust, Ser 2006-1, Cl B
3.040%, 10/27/08 (C) (D) 3,200 2,475
------------
22,012
------------
Total Asset-Backed Securities
(Cost $55,947) ($ Thousands) 37,861
------------
CORPORATE OBLIGATIONS -- 0.1%
CONSUMER DISCRETIONARY -- 0.1%
Autozone
6.500%, 01/15/14 340 336
------------
FINANCIALS -- 0.0%
Discover Financial Services
6.450%, 06/12/17 (C) 115 83
Shinsei Finance Cayman
6.418%, 07/20/09 (C) (D) 400 169
Washington Mutual Preferred Funding
6.534%, 03/29/49 (C) (D) 400 1
------------
253
------------
Total Corporate Obligations
(Cost $1,268) ($ Thousands) 589
------------
CASH EQUIVALENT -- 5.7%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 2.350%**++ 71,010,213 71,010
------------
Total Cash Equivalent
(Cost $71,010) ($ Thousands) 71,010
------------
U.S. TREASURY OBLIGATIONS -- 1.1%
U.S. Treasury Bills
1.933%, 12/04/08 (E) (F) 870 869
1.237%, 11/20/08 (E) (F) 3,609 3,608
U.S. Treasury Bond TIPS
3.000%, 07/15/12 4,558 4,744
2.375%, 04/15/11 1,469 1,486
2.375%, 01/15/25 (F) 3,110 3,013
------------
Total U.S. Treasury Obligations
(Cost $14,012) ($ Thousands) 13,720
------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
70
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.1%
FNMA
2.798%, 02/11/09 (F) $ 300 $ 297
2.611%, 02/02/09 (F) 2,800 2,772
2.621%, 12/10/08 (F) 1,650 1,642
FHLMC
2.717%, 02/09/09 (F) 1,021 1,010
2.102%, 11/03/08 (F) 8,379 8,364
------------
Total U.S. Government Agency Obligations
(Cost $14,089) ($ Thousands) 14,085
------------
Total Investments -- 119.2%
(Cost $1,659,619) ($ Thousands) $ 1,490,625
============
COMMON STOCK SOLD SHORT -- (13.8)%
CONSUMER DISCRETIONARY -- (2.7)%
Amazon.com* (10,700) (779)
Apollo Group, Cl A* (24,545) (1,456)
Autozone* (648) (80)
Centex (97,100) (1,573)
Central European Media Enterprises, Cl A* (33,969) (2,222)
Choice Hotels International (32,900) (892)
Clear Channel Outdoor Holdings, Cl A* (26,300) (360)
CTC Media* (2,036) (31)
DR Horton (173,324) (2,257)
DreamWorks Animation SKG, Cl A* (47,866) (1,505)
Eastman Kodak (10,800) (166)
EW Scripps, Cl A (38,503) (272)
Gannett (18,643) (315)
Goodyear Tire & Rubber* (58,800) (900)
Hillenbrand (20,634) (416)
International Game Technology (2,000) (34)
KB Home (33,049) (650)
Lamar Advertising, Cl A* (6,664) (206)
Las Vegas Sands* (40,600) (1,466)
Lennar, Cl A (114,600) (1,741)
Liberty Media - Entertainment, Cl A* (8,480) (212)
Liz Claiborne (7,775) (128)
LKQ* (31,316) (531)
Marriott International, Cl A (2,800) (73)
MDC Holdings (5,790) (212)
MGM Mirage* (58,000) (1,653)
Newell Rubbermaid (86,500) (1,493)
News, Cl A (24,300) (291)
Nike, Cl B (12,900) (863)
OfficeMax (20,067) (178)
O'Reilly Automotive* (72,373) (1,937)
Orient-Express Hotels, Cl A (33,000) (796)
priceline.com* (16,500) (1,129)
Pulte Homes (124,000) (1,732)
Regal Entertainment Group, Cl A (78,009) (1,231)
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Royal Caribbean Cruises (10,364) $ (215)
Saks* (57,800) (535)
Scientific Games, Cl A* (54,600) (1,257)
Scripps Networks Interactive, Cl A (1,800) (65)
Ticketmaster* (22,000) (236)
Toll Brothers* (26,267) (663)
Washington Post, Cl B (300) (167)
Weight Watchers International (31,176) (1,141)
------------
(34,059)
------------
CONSUMER STAPLES -- (0.4)%
Central European Distribution* (19,200) (872)
Dr Pepper Snapple Group* (34,199) (906)
Energizer Holdings* (23,424) (1,887)
Estee Lauder, Cl A (5,400) (270)
Hansen Natural* (8,744) (265)
JM Smucker (2,426) (123)
Smithfield Foods* (39,400) (626)
------------
(4,949)
------------
ENERGY -- (1.8)%
Atwood Oceanics* (947) (34)
BJ Services (27,600) (528)
Cabot Oil & Gas (32,900) (1,189)
Cameco (48,800) (1,089)
Chesapeake Energy (74,544) (2,673)
Delta Petroleum* (73,300) (995)
Denbury Resources* (4,700) (89)
Diamond Offshore Drilling (6,403) (660)
Dril-Quip* (15,400) (668)
Enbridge (46,200) (1,760)
Encore Acquisition* (3,718) (155)
Exterran Holdings* (19,800) (633)
Foundation Coal Holdings (10,800) (384)
Frontier Oil (5,400) (99)
Global Industries* (111,386) (773)
Goodrich Petroleum* (23,100) (1,007)
Hercules Offshore* (9,900) (150)
Holly (35,100) (1,015)
National Oilwell Varco* (13,100) (658)
Overseas Shipholding Group (3,703) (216)
PetroHawk Energy* (44,600) (965)
Range Resources (68,073) (2,918)
Rowan (3,400) (104)
SandRidge Energy* (10,500) (206)
Teekay Shipping (24,229) (639)
Tetra Technologies* (6,152) (85)
TransCanada (55,100) (1,992)
Transocean (3,700) (406)
Unit* (544) (27)
------------
(22,117)
------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
71
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
FINANCIALS -- (2.0)%
Affiliated Managers Group* (3,662) $ (303)
Alexandria Real Estate Equities+ (4,200) (473)
Arthur J. Gallagher (5,800) (149)
Assured Guaranty (54,700) (889)
AvalonBay Communities+ (5,800) (571)
Bancorpsouth (2,500) (70)
Brown & Brown (23,100) (499)
CapitalSource+ (87,771) (1,080)
Citigroup (105,000) (2,154)
Commerce Bancshares (6,200) (288)
Conseco* (83,069) (292)
Digital Realty Trust+ (1,500) (71)
Federal Realty Investment Trust+ (4,600) (394)
Fidelity National Financial, Cl A (76,712) (1,128)
First American (21,600) (637)
First Horizon National (214,510) (2,008)
Forest City Enterprises, Cl A (50,800) (1,558)
Goldman Sachs Group (4,039) (517)
HCC Insurance Holdings (14,400) (389)
Jefferies Group (50,219) (1,125)
Lazard, Cl A (12,700) (543)
Legg Mason (41,566) (1,582)
Markel* (600) (211)
Marshall & Ilsley (54,820) (1,105)
Mercury General (7,500) (411)
MF Global* (7,084) (31)
MGIC Investment (58,460) (411)
Morgan Stanley (8,116) (187)
MSCI, Cl A* (8,529) (205)
Nationwide Financial Services, Cl A (6,968) (344)
OneBeacon Insurance Group, Cl A (3,786) (80)
Sovereign Bancorp (69,095) (273)
Student Loan (872) (81)
TFS Financial (87,400) (1,094)
UDR+ (10,646) (278)
Ventas+ (60,088) (2,970)
Webster Financial (5,752) (145)
XL Capital, Cl A (54,802) (983)
------------
(25,529)
------------
HEALTH CARE -- (1.6)%
Advanced Medical Optics* (10,000) (178)
Amylin Pharmaceuticals* (3,467) (70)
BioMarin Pharmaceuticals* (85,708) (2,270)
Brookdale Senior Living (65,700) (1,445)
Celgene* (8,400) (532)
Henry Schein* (14,800) (797)
Hologic* (43,197) (835)
Lincare Holdings* (30,714) (924)
Millipore* (7,300) (502)
Mylan Laboratories* (152,099) (1,737)
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
NuVasive* (28,600) $ (1,411)
Omnicare (17,800) (512)
Onyx Pharmaceuticals* (24,900) (901)
Perrigo (42,729) (1,643)
Resmed* (18,800) (808)
Schering-Plough (28,800) (532)
Tenet Healthcare* (363,300) (2,016)
Varian Medical Systems* (2,700) (154)
VCA Antech* (57,400) (1,692)
Vertex Pharmaceuticals* (39,100) (1,300)
Waters* (371) (22)
------------
(20,281)
------------
INDUSTRIALS -- (1.4)%
Aecom Technology* (28,600) (699)
Alexander & Baldwin (11,600) (511)
Alliant Techsystems* (1,500) (141)
AMR* (111,517) (1,095)
Copa Holdings, Cl A (12,513) (407)
Corporate Executive Board (8,204) (256)
Corrections Corp of America* (922) (23)
Covanta Holding* (5,872) (141)
Delta Air Lines* (42,403) (316)
Dun & Bradstreet (9,552) (901)
Expeditors International of Washington (12,600) (439)
FTI Consulting* (51,972) (3,754)
General Cable* (18,400) (656)
IHS, Cl A* (13,900) (662)
John Bean Technologies* (7,722) (98)
Kennametal (33,500) (909)
McDermott International* (8,583) (219)
Oshkosh Truck (51,316) (675)
Pall (13,600) (468)
Pitney Bowes (76,584) (2,547)
Quanta Services* (50,300) (1,359)
Shaw Group* (13,900) (427)
Southwest Airlines (77,900) (1,130)
SPX (1,700) (131)
------------
(17,964)
------------
INFORMATION TECHNOLOGY -- (2.5)%
Alliance Data Systems* (9,676) (613)
Amphenol, Cl A (31,400) (1,260)
Ansys* (11,916) (451)
Applied Materials (43,700) (661)
Autodesk* (6,900) (231)
AVX (17,400) (177)
Cadence Design Systems* (200,700) (1,357)
Ciena* (25,045) (252)
Cognizant Technology Solutions, Cl A* (27,100) (619)
CommScope* (31,200) (1,081)
Concur Technologies* (31,300) (1,198)
SEI Institutional Managed Trust / Annual Report / September 30, 2008
72
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
EchoStar, Cl A* (12,900) $ (311)
Electronic Arts* (19,900) (736)
Equinix* (36,800) (2,556)
Fiserv* (21,052) (996)
Iron Mountain* (78,200) (1,909)
Itron* (9,423) (834)
Kla-Tencor (31,200) (987)
Lam Research* (48,962) (1,542)
Linear Technology (63,784) (1,956)
Micron Technology* (148,100) (600)
Molex (47,500) (1,066)
Motorola (21,800) (156)
NeuStar, Cl A* (14,000) (278)
Novell* (29,400) (151)
Novellus Systems* (57,800) (1,135)
Nuance Communications* (18,438) (225)
Nvidia* (79,000) (846)
ON Semiconductor* (101,700) (687)
Rambus* (129,942) (1,670)
Red Hat* (58,100) (876)
Salesforce.com* (28,700) (1,389)
SanDisk* (32,746) (640)
Tellabs* (24,500) (99)
Varian Semiconductor Equipment
Associates* (45,808) (1,151)
Vishay Intertechnology* (11,797) (78)
------------
(30,774)
------------
MATERIALS -- (0.9)%
Albemarle (6,600) (204)
Aptargroup (11,700) (458)
Bemis (1,840) (48)
Century Aluminum* (53,890) (1,492)
Eagle Materials (48,333) (1,081)
Greif, Cl A (7,138) (468)
Huntsman (46,800) (590)
Ivanhoe Mines* (155,100) (940)
Owens-Illinois* (15,808) (465)
Scotts Miracle-Gro, Cl A (19,321) (457)
Sealed Air (3,100) (68)
Silver Standard Resources* (31,800) (526)
Temple-Inland (8,000) (122)
Weyerhaeuser (63,704) (3,859)
------------
(10,778)
------------
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
TELECOMMUNICATION SERVICES -- (0.3)%
Embarq (30,399) $ (1,233)
Frontier Communications (101,057) (1,162)
MetroPCS Communications* (43,600) (610)
NII Holdings* (23,400) (887)
------------
(3,892)
------------
UTILITIES -- (0.2)%
American Water Works (6,527) (140)
Constellation Energy Group (17,000) (413)
Mirant* (31,497) (576)
NSTAR (4,900) (164)
PPL (19,800) (733)
Vectren (3,800) (106)
------------
(2,132)
------------
Total Common Stock Sold Short
(Proceeds $(207,537)) ($ Thousands) (172,475)
------------
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- --------------
10-Year Swap (283) Dec-2008 $ 576
30-Day FED Fund (12) Oct-2008 (19)
90-Day Euro$ 55 Mar-2009 (86)
90-Day Euro$ 153 Jun-2009 296
90-Day Euro$ 104 Sep-2009 163
90-Day Euro$ 4 Dec-2009 (8)
90-Day Euro$ (20) Mar-2010 (65)
90-Day Euro$ (119) Jun-2010 (346)
90-Day Euro$ (18) Mar-2011 (27)
90-Day Euro$ (5) Jun-2011 (1)
90-Day Euro$ (3) Sep-2011 --
90-Day Euro$ (9) Dec-2011 (7)
90-Day Euro$ (9) Mar-2012 (8)
90-Day Euro$ (4) Jun-2012 (1)
90-Day Euro$ (4) Sep-2012 (2)
S&P Composite Index 713 Dec-2008 (14,732)
U.S. 10-Year Note (207) Dec-2008 198
U.S. 2-Year Note 241 Dec-2008 290
U.S. 5-Year Note 68 Dec-2008 13
U.S. Long Treasury Bond (93) Dec-2008 57
--------
$(13,709)
========
SEI Institutional Managed Trust / Annual Report / September 30, 2008
73
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Concluded)
September 30, 2008
A summary of outstanding swap agreements held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
CREDIT DEFAULT SWAPS
NET UNREALIZED
(PAYS)/ APPRECIATION
BUY/SELL RECEIVES TERMINATION NOTIONAL AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------ ----------------------------------------- ---------- -------- ----------- --------------- --------------
Bank Of America Alcan Inc., 4.875%, 09/15/12 Buy (0.35)% 12/20/13 $ 750 $ 2
Bank Of America Alcan Inc., 4.875%, 09/15/12 Buy (0.32) 03/20/14 650 3
Goldman Sachs Anheuser-Busch Cos Inc., 5.625%, 10/01/10 Buy (1.08) 09/20/13 750 (1)
Barclays Anheuser-Busch Cos Inc., 5.625%, 10/01/10 Buy (1.08) 09/20/13 750 (2)
Bank Of America Autozone Inc., 5.875%, 10/15/20 Buy (0.44) 12/20/11 750 6
JPMorgan Chase Bank Autozone Inc., 5.875%, 10/15/20 Buy (0.46) 12/20/11 750 6
Bank Of America Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 750 7
JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 750 17
Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.66) 03/20/13 1,250 8
Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.80) 03/20/13 1,000 1
Bank Of America Campbell Soup Co., 4.875%, 10/01/13 Buy (0.20) 06/20/14 1,150 5
JPMorgan Chase Bank Carnival Corp., 6.65%, 01/15/28 Buy (0.22) 06/20/12 650 19
Goldman Sachs CDX.NA.LG.9 Index Buy (0.60) 12/20/12 1,250 10
Goldman Sachs Centurytel Inc., 6.00%, 04/01/17 Buy (1.10) 03/20/13 1,250 18
JPMorgan Chase Bank CMBX.NA.A 2 Index Buy (0.25) 03/15/49 1,000 13
Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000 235
Bank Of America Computer Science Corp., 5.00%, 02/15/13 Buy (0.65) 06/20/13 1,500 (6)
Bank Of America Darden Restaurants Inc., 7.125%, 02/01/16 Buy (0.45) 12/20/11 750 27
Merrill Lynch Dow Chemical Inc., 6.00%, 10/01/12 Buy (0.25) 12/20/13 750 21
JPMorgan Chase Bank Dow Chemical Inc., 6.00%, 10/01/12 Buy (0.26) 12/20/13 750 9
JPMorgan Chase Bank Gap Inc., 8.80%, 12/15/08 Buy (1.18) 12/20/11 750 13
Bank Of America Gap Inc., 8.80%, 12/15/08 Buy (1.18) 12/20/11 750 12
JPMorgan Chase Bank Hasbro Inc., 2.75%, 12/01/21 Buy (0.39) 12/20/11 750 15
Bank Of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.37) 12/20/13 750 38
Bank Of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.39) 12/20/13 750 17
JPMorgan Chase Bank Jones Apparel Group., 5.125%, 11/15/14 Buy (0.77) 12/20/11 750 36
Merrill Lynch Kroger Co. 5.50%, 02/01/13 Buy (0.64) 03/20/13 1,500 (5)
Bank Of America Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.95) 03/20/13 1,000 (12)
Bank Of America Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.60) 09/20/13 1,250 6
Merrill Lynch Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.13) 12/20/11 750 8
Merrill Lynch Lubrizol Corp., 7.25%, 06/15/25 Buy (0.45) 12/20/11 750 4
JPMorgan Chase Bank Lubrizol Corp., 7.25%, 06/15/35 Buy (0.45) 12/20/11 750 4
Bank Of America Lubrizol Corp., 7.25%, 06/15/25 Buy (0.81) 09/20/13 500 --
Bank Of America Masco Corp., 5.875%, 07/15/12 Buy (0.73) 12/20/13 750 39
Merrill Lynch MDC Holdings Inc., 5.50%, 05/15/13 Buy (0.90) 12/20/11 750 10
Bank Of America Meadwestavaco Corp., 6.85%, 04/01/12 Buy (0.48) 12/20/11 750 19
Bank Of America MGIC Investment Corp., 6.00%, 11/01/15 Buy (0.35) 12/20/13 750 252
JPMorgan Chase Bank MGIC Investment Corp., 6.00%, 11/01/15 Buy (0.35) 12/20/13 750 213
JPMorgan Chase Bank Nordstrom Inc., 6.95%, 03/15/28 Buy (0.28) 12/20/13 750 19
Merrill Lynch Nordstrom Inc., 6.95%, 03/15/28 Buy (0.28) 12/20/13 750 19
Bank Of America Nucor Corp., 4.875%, 10/01/12 Buy (0.22) 12/20/11 750 23
JPMorgan Chase Bank Nucor Corp., 4.875%, 10/01/12 Buy (0.22) 12/20/11 750 10
Bank Of America Pitney Bowes Inc., 4.625%, 10/01/12 Buy (0.14) 12/20/11 1,500 18
JPMorgan Chase Bank PMI Group Inc., 6.00%, 09/15/16 Buy (0.35) 12/20/13 750 283
Bank Of America PMI Group Inc., 6.00%, 09/15/16 Buy (0.35) 12/20/13 750 282
JPMorgan Chase Bank PPG Industries Inc., 7.05%, 08/15/09 Buy (0.20) 12/20/11 750 12
JPMorgan Chase Bank Radian Group Inc., 7.75%, 06/01/11 Buy (0.39) 12/20/13 750 363
Bank Of America Radian Group Inc., 7.75%, 06/01/11 Buy (0.39) 12/20/13 750 395
Merrill Lynch RR Donnelley & Sons, 4.95%, 04/01/14 Buy (0.69) 12/20/11 750 17
Bank Of America Safeway Inc., 5.80%, 08/15/12 Buy (0.59) 03/20/13 1,250 1
JPMorgan Chase Bank Safeway Inc., 5.80%, 08/15/12 Buy (0.64) 03/20/13 1,250 (1)
Bank Of America Southwest Airlines Co., 6.50%, 03/01/12 Buy (1.40) 06/20/13 750 2
Merrill Lynch Southwest Airlines Co., 6.50%, 03/01/12 Buy (0.27) 12/20/11 750 43
JPMorgan Chase Bank Southwest Airlines Co., 6.50%, 03/01/12 Buy (0.27) 12/20/11 750 43
Bank Of America The Limited Inc., 6.125%, 12/01/12 Buy (0.48) 12/20/11 750 46
Bank Of America TJX Companies Inc., 7.45%, 12/15/09 Buy (0.19) 12/20/11 750 4
JPMorgan Chase Bank Washington Mutual Co., 5.25%, 09/15/17 Buy (0.32) 03/20/12 700 244
Bank Of America Weyerhaeuser Company, 6.75%, 03/15/12 Buy (0.45) 12/20/11 350 11
Merrill Lynch Weyerhaeuser Company, 6.75%, 03/15/12 Buy (0.45) 03/20/12 750 27
JPMorgan Chase Bank Whirlpool Corp., 7.75%, 07/15/16 Buy (0.34) 12/20/11 750 28
Goldman Sachs Whirlpool Corp., 7.75%, 07/15/16 Buy (1.02) 09/20/13 1,000 5
------
$2,961
======
SEI Institutional Managed Trust / Annual Report / September 30, 2008
74
TOTAL RETURN SWAPS
NOTIONAL NET UNREALIZED
REFERENCE TERMINATION AMOUNT DEPRECIATION
COUNTERPARTY ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------ ----------------- -------------------------- -------------------- ----------- ------------- --------------
Bank Of America BAS AAA 10YR Negative Spread Return Initial Index Spread 10/01/08 $ 5,000 $ (383)
CMBS Daily Index Plus 0 bps
Bank Of America BAS AAA 10YR Negative Spread Return Initial Index Spread 10/31/08 18,000 (1,376)
CMBS Daily Index Minus 10 bps
Bank Of America BAS AAA 10YR Negative Spread Return Initial Index Spread 12/31/08 12,000 (918)
CMBS Daily Index Minus 115 bps
Bank Of America BAS AAA 10YR Negative Spread Return Initial Index Spread 01/30/09 13,000 (994)
CMBS Daily Index Minus 95 bps
JPMorgan Chase Bank BAS AAA 10YR Negative Spread Return Initial Index Spread 03/31/09 5,000 --
CMBS Daily Index Minus 150 bps
JPMorgan Chase Bank BAS AAA 10YR Negative Spread Return Initial Index Spread 10/31/08 12,000 (918)
CMBS Daily Index Minus 70 bps
Merrill Lynch S&P 500 Total 3-Month LIBOR Minus 12 bps Price Return 12/25/08 23,344 (1,873)
Return Index
-------
$(6,462)
=======
Percentages are based on Net Assets of $1,250,704 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) All or a portion of this security is held as collateral for securities sold
short. The total value of collateral for securities sold short at September
30, 2008 was $543,973 ($ Thousands).
(B) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on September 30, 2008. The coupon on a step bond changes on
a specific date.
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2008.
(D) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may not be sold to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
(E) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(F) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the
effective yield at time of purchase.
ABS -- Asset-Based Security
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
Cl -- Class
CMBS -- Commercial Mortgage-Backed Securities
CMO -- Collateralized Mortgage Obligation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only -- face amount represents notional amount
LLC -- Limited Liability Company
NIM -- Net Interest Margin
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TIPS -- Treasury Inflation Protected Security
Amounts designated as "--" are $0 or rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
75
SCHEDULE OF INVESTMENTS
S&P 500 Index Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Information Technology 14.1%
Financials 13.9%
Energy 11.8%
Health Care 11.5%
Affiliated Partnership 11.0%
Consumer Staples 10.6%
Industrials 9.7%
Consumer Discretionary 7.5%
Utilities 3.1%
Materials 3.0%
Telecommunication Services 2.7%
Short-Term Investment 1.0%
U.S. Treasury Obligation 0.1%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK -- 98.7%
CONSUMER DISCRETIONARY -- 8.4%
Abercrombie & Fitch, Cl A 10,500 $ 414
Amazon.com* (A) 38,500 2,801
Apollo Group, Cl A* 13,203 783
Autonation* (A) 14,426 162
Autozone* 5,094 628
Bed Bath & Beyond* (A) 31,633 994
Best Buy (A) 42,841 1,607
Big Lots* (A) 10,813 301
Black & Decker 7,809 474
Carnival (A) 55,084 1,947
CBS, Cl B 85,601 1,248
Centex 16,644 270
Coach* 41,910 1,049
Comcast, Cl A 361,244 7,091
Darden Restaurants 17,613 504
Dillard's, Cl A (A) 8,405 99
DIRECTV Group* 71,800 1,879
DR Horton (A) 31,949 416
Eastman Kodak (A) 31,710 488
Expedia* 28,100 425
Family Dollar Stores (A) 16,422 389
Ford Motor* (A) 273,280 1,421
Fortune Brands 18,019 1,034
GameStop, Cl A* (A) 18,600 636
Gannett (A) 28,647 484
Gap 54,931 977
General Motors (A) 72,948 689
Genuine Parts 19,636 790
Goodyear Tire & Rubber* 31,593 484
H&R Block 40,904 931
Harley-Davidson (A) 29,008 1,082
Harman International Industries 7,900 269
Hasbro (A) 15,591 541
Home Depot (A) 209,664 5,428
International Game Technology 35,456 609
Interpublic Group* (A) 55,901 433
J.C. Penney 26,980 900
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Johnson Controls 73,657 $ 2,234
Jones Apparel Group 10,990 203
KB Home (A) 10,655 210
Kohl's* 37,947 1,749
Leggett & Platt (A) 19,654 428
Lennar, Cl A (A) 19,007 289
Limited Brands (A) 37,627 652
Liz Claiborne (A) 14,123 232
Lowe's 182,836 4,331
Macy's 51,464 925
Marriott International, Cl A (A) 37,940 990
Mattel 44,118 796
McDonald's 138,760 8,561
McGraw-Hill 40,521 1,281
Meredith (A) 5,363 150
New York Times, Cl A (A) 14,392 206
Newell Rubbermaid 33,247 574
News, Cl A 287,433 3,446
Nike, Cl B 47,194 3,157
Nordstrom (A) 21,002 605
Office Depot* 38,120 222
Omnicom Group (A) 39,604 1,527
Polo Ralph Lauren (A) 6,900 461
Pulte Homes 24,855 347
RadioShack (A) 14,825 256
Scripps Networks Interactive, Cl A 11,600 421
Sears Holdings* (A) 7,065 661
Sherwin-Williams (A) 11,816 675
Snap-On 6,653 350
Stanley Works 9,979 417
Staples 87,114 1,960
Starbucks* 89,658 1,334
Starwood Hotels & Resorts Worldwide 22,535 634
Target 93,119 4,567
Tiffany (A) 16,373 582
Time Warner (A) 442,214 5,797
TJX 52,567 1,604
VF 10,614 821
Viacom, Cl B* 78,601 1,952
Walt Disney (A) 232,327 7,130
Washington Post, Cl B 755 420
Whirlpool (A) 9,005 714
Wyndham Worldwide 20,602 324
Yum! Brands 58,770 1,916
----------
106,788
----------
CONSUMER STAPLES -- 12.0%
Altria Group 255,056 5,060
Anheuser-Busch 88,074 5,714
Archer-Daniels-Midland (A) 79,866 1,750
Avon Products 52,951 2,201
Brown-Forman, Cl B 10,076 724
Campbell Soup 26,275 1,014
SEI Institutional Managed Trust / Annual Report / September 30, 2008
76
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Clorox 16,642 $ 1,043
Coca-Cola (A) 244,896 12,950
Coca-Cola Enterprises 34,117 572
Colgate-Palmolive 62,493 4,709
ConAgra Foods 55,852 1,087
Constellation Brands, Cl A* (A) 23,000 494
Costco Wholesale 54,018 3,507
CVS Caremark 176,595 5,944
Dean Foods* 18,100 423
Estee Lauder, Cl A 13,800 689
General Mills 41,691 2,865
Hershey (A) 19,812 783
HJ Heinz 39,049 1,951
Kellogg 31,367 1,760
Kimberly-Clark 50,899 3,300
Kraft Foods, Cl A 185,098 6,062
Kroger 82,159 2,258
Lorillard 21,876 1,556
McCormick 15,461 594
Molson Coors Brewing, Cl B 18,746 876
Pepsi Bottling Group 15,936 465
PepsiCo 193,967 13,824
Philip Morris International 255,156 12,273
Procter & Gamble 374,176 26,076
Reynolds American 21,040 1,024
Safeway (A) 53,546 1,270
Sara Lee 86,687 1,095
SUPERVALU 25,297 549
SYSCO 74,620 2,301
Tyson Foods, Cl A 35,090 419
UST 18,640 1,240
Walgreen 123,744 3,831
Wal-Mart Stores 277,611 16,626
Whole Foods Market (A) 19,400 389
WM Wrigley Jr. 26,660 2,117
------------
153,385
------------
ENERGY -- 13.2%
Anadarko Petroleum 58,380 2,832
Apache 41,000 4,275
Baker Hughes 38,334 2,321
BJ Services 36,556 699
Cabot Oil & Gas 12,900 466
Cameron International* 27,300 1,052
Chesapeake Energy (A) 64,800 2,324
Chevron 253,297 20,892
ConocoPhillips 187,225 13,714
Consol Energy 22,600 1,037
Devon Energy 55,013 5,017
El Paso (A) 85,394 1,090
ENSCO International 17,500 1,009
EOG Resources 30,944 2,768
Exxon Mobil 640,736 49,760
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Halliburton 109,079 $ 3,533
Hess 35,075 2,879
Marathon Oil 88,356 3,523
Massey Energy 10,700 382
Murphy Oil (A) 23,563 1,511
Nabors Industries* 34,478 859
National Oilwell Varco* 51,768 2,600
Noble 33,242 1,459
Noble Energy 21,600 1,201
Occidental Petroleum 101,504 7,151
Peabody Energy 33,700 1,517
Pioneer Natural Resources (A) 14,800 774
Range Resources 19,700 845
Rowan (A) 13,097 400
Schlumberger 148,562 11,601
Smith International 26,000 1,525
Southwestern Energy* 42,300 1,292
Spectra Energy 75,061 1,786
Sunoco 15,357 546
Tesoro (A) 18,800 310
Transocean (A) 39,202 4,306
Valero Energy 65,608 1,988
Weatherford International* (A) 84,708 2,130
Williams 72,565 1,716
XTO Energy 66,918 3,113
------------
168,203
------------
FINANCIALS -- 15.6%
Aflac 59,208 3,478
Allstate (A) 67,059 3,093
American Capital (A) 25,100 640
American Express 142,815 5,060
American International Group (A) 332,371 1,107
Ameriprise Financial 26,884 1,027
AON 33,929 1,525
Apartment Investment & Management, Cl A+ (A) 10,325 362
Assurant 14,800 814
AvalonBay Communities+ (A) 9,300 915
Bank of America (A) 562,111 19,674
Bank of New York Mellon 140,986 4,593
BB&T (A) 67,697 2,559
Boston Properties+ (A) 14,600 1,367
Capital One Financial (A) 47,262 2,410
CB Richard Ellis Group, Cl A* (A) 22,000 294
Charles Schwab 115,527 3,004
Chubb 45,356 2,490
Cincinnati Financial 21,479 611
CIT Group (A) 32,508 226
Citigroup 672,946 13,802
CME Group 8,307 3,086
Comerica (A) 17,783 583
Developers Diversified Realty+ (A) 15,300 485
SEI Institutional Managed Trust / Annual Report / September 30, 2008
77
SCHEDULE OF INVESTMENTS
S&P 500 Index Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Discover Financial Services (A) 55,530 $ 767
E*Trade Financial* (A) 59,539 167
Equity Residential+ (A) 34,040 1,512
Federated Investors, Cl B 9,945 287
Fifth Third Bancorp (A) 70,711 841
First Horizon National (A) 18,670 175
Franklin Resources 19,315 1,702
General Growth Properties+ (A) 26,700 403
Genworth Financial, Cl A 52,000 448
Goldman Sachs Group 53,952 6,906
Hartford Financial Services Group 36,986 1,516
HCP+ (A) 30,600 1,228
Host Hotels & Resorts+ 62,900 836
Hudson City Bancorp 63,200 1,166
Huntington Bancshares (A) 42,375 339
IntercontinentalExchange* 8,000 645
Invesco 47,500 997
Janus Capital Group 15,577 378
JPMorgan Chase 454,208 21,212
Keycorp (A) 58,183 695
Kimco Realty+ (A) 27,500 1,016
Legg Mason (A) 18,200 693
Leucadia National (A) 22,200 1,009
Lincoln National 31,998 1,370
Loews 44,849 1,771
M&T Bank (A) 8,661 773
Marsh & McLennan 63,450 2,015
Marshall & Ilsley (A) 33,170 668
MBIA (A) 24,727 294
Merrill Lynch 188,047 4,758
MetLife (A) 84,726 4,745
MGIC Investment (A) 12,095 85
Moody's (A) 25,508 867
Morgan Stanley 138,461 3,185
National City (A) 88,148 154
Northern Trust (A) 27,505 1,986
NYSE Euronext (A) 33,300 1,305
Plum Creek Timber+ (A) 21,435 1,069
PNC Financial Services Group (A) 43,083 3,218
Principal Financial Group (A) 32,548 1,416
Progressive 83,568 1,454
Prologis+ (A) 31,960 1,319
Prudential Financial 52,666 3,792
Public Storage+ 15,528 1,537
Regions Financial (A) 83,763 804
Simon Property Group+ (A) 27,909 2,707
SLM* (A) 56,343 695
Sovereign Bancorp (A) 55,244 218
State Street 53,191 3,026
SunTrust Banks (A) 43,496 1,957
T. Rowe Price Group (A) 32,108 1,725
Torchmark (A) 10,705 640
Travelers 72,732 3,287
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Unum Group (A) 42,352 $ 1,064
US Bancorp (A) 215,106 7,748
Vornado Realty Trust+ (A) 16,614 1,511
Wachovia (A) 266,660 933
Washington Mutual (A) 178,219 15
Wells Fargo 408,406 15,327
XL Capital, Cl A (A) 36,705 658
Zions Bancorporation (A) 12,560 486
------------
198,725
------------
HEALTH CARE -- 12.9%
Abbott Laboratories 190,568 10,973
Aetna 58,402 2,109
Allergan 38,166 1,966
AmerisourceBergen 18,496 696
Amgen* 130,193 7,717
Applied Biosystems 21,557 738
Barr Pharmaceuticals* 13,200 862
Baxter International 77,338 5,076
Becton Dickinson 30,362 2,437
Biogen Idec* (A) 36,300 1,826
Boston Scientific* 186,712 2,291
Bristol-Myers Squibb 244,101 5,090
C.R. Bard 12,488 1,185
Cardinal Health 44,355 2,186
Celgene* 56,600 3,582
Cigna 34,671 1,178
Coventry Health Care* 19,113 622
Covidien 62,282 3,348
DaVita* 13,100 747
Eli Lilly 122,130 5,377
Express Scripts* 31,152 2,300
Forest Laboratories* (A) 37,563 1,062
Genzyme* 33,232 2,688
Gilead Sciences* 113,676 5,181
Hospira* (A) 19,304 737
Humana* 21,197 873
IMS Health 23,295 441
Intuitive Surgical* 4,820 1,162
Johnson & Johnson 345,356 23,926
King Pharmaceuticals* (A) 33,586 322
Laboratory Corp of America Holdings* (A) 13,463 936
McKesson 34,369 1,849
Medco Health Solutions* 63,116 2,840
Medtronic 138,817 6,955
Merck 265,517 8,380
Millipore* 6,493 447
Mylan Laboratories* (A) 38,511 440
Patterson* (A) 10,500 319
PerkinElmer 13,740 343
Pfizer 832,504 15,351
SEI Institutional Managed Trust / Annual Report / September 30, 2008
78
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Quest Diagnostics 19,324 $ 998
Schering-Plough 202,372 3,738
St. Jude Medical* 41,994 1,826
Stryker 29,642 1,847
Tenet Healthcare* (A) 51,376 285
Thermo Fisher Scientific* (A) 52,143 2,868
UnitedHealth Group 150,747 3,827
Varian Medical Systems* 15,300 874
Waters* 11,497 669
Watson Pharmaceuticals* 14,171 404
WellPoint* 62,861 2,940
Wyeth 164,766 6,086
Zimmer Holdings* 27,455 1,772
------------
164,692
------------
INDUSTRIALS -- 10.9%
3M 86,982 5,942
Allied Waste Industries* 39,742 442
Avery Dennison (A) 12,815 570
Boeing 91,632 5,255
Burlington Northern Santa Fe 34,824 3,219
C.H. Robinson Worldwide (A) 20,700 1,055
Caterpillar 75,697 4,512
Cintas 15,507 445
Cooper Industries, Cl A (A) 20,286 810
CSX 50,450 2,753
Cummins 25,440 1,112
Danaher 31,648 2,196
Deere (A) 52,202 2,584
Dover 23,837 967
Eaton 20,269 1,139
Emerson Electric 95,306 3,888
Equifax 16,725 576
Expeditors International of Washington 25,300 881
Fastenal (A) 16,000 790
FedEx (A) 38,605 3,051
Fluor 21,344 1,189
General Dynamics 49,026 3,609
General Electric 1,226,907 31,286
Goodrich 15,520 646
Honeywell International 92,655 3,850
Illinois Tool Works 49,324 2,192
Ingersoll-Rand, Cl A 37,888 1,181
ITT 22,100 1,229
Jacobs Engineering Group* 14,800 804
L-3 Communications Holdings 15,523 1,526
Lockheed Martin 40,894 4,485
Manitowoc 17,400 271
Masco (A) 45,368 814
Monster Worldwide* (A) 13,934 208
Norfolk Southern 46,826 3,100
Northrop Grumman 41,219 2,495
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
PACCAR 45,191 $ 1,726
Pall 14,395 495
Parker Hannifin 19,871 1,053
Pitney Bowes 25,075 834
Precision Castparts 17,100 1,347
Raytheon 51,068 2,733
Robert Half International (A) 20,327 503
Rockwell Automation 17,726 662
Rockwell Collins 18,778 903
RR Donnelley & Sons 26,311 645
Ryder System 7,254 450
Southwest Airlines (A) 90,049 1,307
Terex* 12,400 378
Textron 30,598 896
Tyco International 59,982 2,101
Union Pacific 63,594 4,526
United Parcel Service, Cl B 124,790 7,848
United Technologies 118,883 7,140
Waste Management 60,828 1,915
WW Grainger 8,165 710
------------
139,244
------------
INFORMATION TECHNOLOGY -- 15.8%
Adobe Systems* 66,236 2,614
Advanced Micro Devices* (A) 81,163 426
Affiliated Computer Services, Cl A* (A) 12,549 635
Agilent Technologies* 44,406 1,317
Akamai Technologies* 22,600 394
Altera (A) 36,151 748
Amphenol, Cl A 21,800 875
Analog Devices 36,499 962
Apple* 109,692 12,468
Applied Materials 168,850 2,555
Autodesk* 27,417 920
Automatic Data Processing 63,050 2,695
BMC Software* 22,849 654
Broadcom, Cl A* (A) 55,136 1,027
CA 47,527 949
Ciena* (A) 11,842 119
Cisco Systems* 728,063 16,425
Citrix Systems* 24,242 612
Cognizant Technology Solutions, Cl A* 36,300 829
Computer Sciences* 18,433 741
Compuware* 30,175 292
Convergys* 13,676 202
Corning 196,578 3,074
Dell* 216,874 3,574
eBay* 133,932 2,997
Electronic Arts* 38,378 1,420
EMC* (A) 258,040 3,086
SEI Institutional Managed Trust / Annual Report / September 30, 2008
79
SCHEDULE OF INVESTMENTS
S&P 500 Index Fund (Concluded)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Fidelity National Information Services (A) 22,565 $ 417
Fiserv* 19,780 936
Google, Cl A* 29,516 11,822
Harris 16,600 767
Hewlett-Packard 303,252 14,022
Intel 695,994 13,036
International Business Machines 166,990 19,531
Intuit* 40,386 1,277
Jabil Circuit 25,679 245
JDS Uniphase* (A) 29,456 249
Juniper Networks* (A) 64,900 1,367
Kla-Tencor (A) 20,671 654
Lexmark International, Cl A* 10,239 333
Linear Technology (A) 27,894 855
LSI Logic* (A) 83,346 447
Mastercard, Cl A (A) 9,000 1,597
MEMC Electronic Materials* 28,000 791
Microchip Technology (A) 22,000 647
Micron Technology* (A) 88,969 360
Microsoft 968,262 25,843
Molex (A) 16,160 363
Motorola 280,506 2,004
National Semiconductor 24,137 415
NetApp* (A) 41,776 762
Novell* 46,989 242
Novellus Systems* (A) 9,327 183
Nvidia* 66,548 713
Oracle* 485,156 9,854
Paychex (A) 39,456 1,303
QLogic* (A) 17,648 271
Qualcomm 201,932 8,677
Salesforce.com* 12,800 620
SanDisk* (A) 26,400 516
Sun Microsystems* (A) 99,502 757
Symantec* 104,347 2,043
Tellabs* 44,199 179
Teradata* 21,268 415
Teradyne* 25,907 202
Texas Instruments 161,034 3,462
Total System Services 21,280 349
Tyco Electronics 59,182 1,637
Unisys* 47,795 131
VeriSign* (A) 24,500 639
Western Union 92,012 2,270
Xerox 110,936 1,279
Xilinx (A) 35,209 826
Yahoo!* 171,438 2,966
------------
200,884
------------
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
MATERIALS -- 3.4%
Air Products & Chemicals 26,126 $ 1,789
AK Steel Holding (A) 14,800 384
Alcoa (A) 101,535 2,293
Allegheny Technologies 12,459 368
Ashland 7,693 225
Ball 12,491 493
Bemis (A) 11,390 299
CF Industries Holdings 6,890 630
Dow Chemical 113,675 3,613
E.I. Du Pont de Nemours 110,935 4,471
Eastman Chemical (A) 9,008 496
Ecolab 21,430 1,040
Freeport-McMoRan Copper & Gold, Cl B (A) 47,868 2,721
Hercules 16,107 319
International Flavors & Fragrances 10,594 418
International Paper 52,070 1,363
MeadWestvaco (A) 22,415 522
Monsanto 67,848 6,716
Newmont Mining (A) 56,408 2,186
Nucor 38,882 1,536
Pactiv* 15,287 380
PPG Industries 19,945 1,163
Praxair 38,999 2,798
Rohm & Haas 15,722 1,101
Sealed Air (A) 18,828 414
Sigma-Aldrich 15,536 814
Titanium Metals (A) 12,100 137
United States Steel 14,626 1,135
Vulcan Materials (A) 13,949 1,039
Weyerhaeuser (A) 25,888 1,568
------------
42,431
------------
TELECOMMUNICATION SERVICES -- 3.0%
American Tower, Cl A* 49,200 1,770
AT&T 726,558 20,286
CenturyTel 13,260 486
Embarq (A) 17,686 717
Frontier Communications 38,531 443
Qwest Communications International (A) 182,326 589
Sprint Nextel (A) 355,122 2,166
Verizon Communications 352,422 11,309
Windstream 58,746 643
------------
38,409
------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
80
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
UTILITIES -- 3.5%
AES* 82,590 $ 965
Allegheny Energy (A) 20,468 753
Ameren (A) 25,344 989
American Electric Power 49,715 1,841
Centerpoint Energy 39,168 571
CMS Energy (A) 30,792 384
Consolidated Edison (A) 32,433 1,393
Constellation Energy Group 21,999 535
Dominion Resources 72,040 3,082
DTE Energy (A) 19,545 784
Duke Energy 157,322 2,742
Dynegy, Cl A* 56,489 202
Edison International 41,153 1,642
Entergy 23,764 2,115
Exelon 80,854 5,063
FirstEnergy 37,887 2,538
FPL Group 50,820 2,556
Integrys Energy Group 8,934 446
Nicor (A) 6,125 272
NiSource 30,079 444
Pepco Holdings 26,800 614
PG&E 44,229 1,656
Pinnacle West Capital (A) 11,749 404
PPL 46,271 1,713
Progress Energy 31,183 1,345
Public Service Enterprise Group 63,230 2,073
Questar 21,300 872
Sempra Energy 30,965 1,564
Southern (A) 95,635 3,604
TECO Energy 24,512 387
Xcel Energy (A) 52,819 1,055
------------
44,604
------------
Total Common Stock
(Cost $723,472) ($ Thousands) 1,257,365
------------
AFFILIATED PARTNERSHIP -- 12.4%
SEI Liquidity Fund, L.P., 2.590%**++ (B) 160,665,938 157,766
------------
Total Affiliated Partnership
(Cost $160,666) ($ Thousands) 157,766
------------
CASH EQUIVALENT -- 1.0%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 2.350%**++ 13,131,811 13,132
------------
Total Cash Equivalent
(Cost $13,132) ($ Thousands) 13,132
------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
U.S. TREASURY OBLIGATION --0.1%
U.S. Treasury Bills
1.657%, 12/11/08 (C) (D) $ 1,358 $ 1,356
------------
Total U.S. Treasury Obligation
(Cost $1,354) ($ Thousands) 1,356
------------
Total Investments -- 112.2%
(Cost $898,624) ($ Thousands) $ 1,429,619
============
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
S&P 500 Index
E-MINI 366 Dec-2008 $(1,666)
=======
Percentages are based on Net Assets of $1,274,051 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) This Security or a partial position of this security is on loan at
September 30, 2008 (see Note 7). The total market value of securities on
loan at September 30, 2008 was $164,681 ($ Thousands).
(B) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2008 was $157,766 ($ Thousands).
(C) The rate reported is the effective yield at time of purchase.
(D) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
Cl -- Class
L.P. -- Limited Partnership
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
81
SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Affilated Partnership 23.9%
Financials 23.0%
Information Technology 11.8%
Industrials 11.0%
Consumer Discretionary 8.4%
Health Care 5.1%
Energy 3.8%
Consumer Staples 3.6%
Materials 3.4%
Utilities 2.7%
Short-Term Investments 2.7%
U.S. Treasury Obligation 0.3%
Telecommunication Services 0.2%
Exchange Traded Fund 0.1%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK@ -- 97.0%
CONSUMER DISCRETIONARY -- 11.2%
Advance Auto Parts 35,200 $ 1,396
American Axle & Manufacturing Holdings (A) 99,667 534
American Greetings, Cl A (A) 44,900 687
Ameristar Casinos (A) 74,600 1,059
AnnTaylor Stores* 109,100 2,252
Arctic Cat 43,600 399
ArvinMeritor (A) 88,400 1,153
ATC Technology* (A) 45,888 1,089
Bebe Stores (A) 56,756 555
Belo, Cl A 346,894 2,067
Big 5 Sporting Goods 54,100 558
Blyth 25,900 294
Bob Evans Farms (A) 16,300 445
Brown Shoe 53,200 871
Cache* 11,000 76
Callaway Golf (A) 42,700 601
Carrols Restaurant Group* 111,500 335
Carter's* 87,300 1,722
Casual Male Retail Group* 186,180 732
Cato, Cl A 59,500 1,044
CBRL Group (A) 22,200 584
CEC Entertainment* (A) 20,600 684
Childrens Place Retail Stores* 16,900 564
Collective Brands* (A) 130,100 2,382
Columbia Sportswear (A) 37,000 1,553
Cooper Tire & Rubber (A) 87,268 751
Corinthian Colleges* (A) 111,600 1,674
Cox Radio, Cl A* (A) 35,900 379
Dress Barn* (A) 51,100 781
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
DSW, Cl A* (A) 120,098 $ 1,645
Einstein Noah Restaurant Group* 14,700 148
Ethan Allen Interiors (A) 130,025 3,643
EW Scripps, Cl A (A) 65,800 465
Finish Line, Cl A 1 --
Foot Locker 34,400 556
Fossil* 56,800 1,603
Genesco* (A) 30,748 1,029
Group 1 Automotive (A) 11,000 239
Gymboree* 5,700 202
Harte-Hanks (A) 43,000 446
Helen of Troy* 17,000 387
International Speedway, Cl A 35,600 1,385
Jack in the Box* (A) 58,400 1,232
Jackson Hewitt Tax Service (A) 17,200 264
Jakks Pacific* (A) 50,900 1,268
Jarden* (A) 38,086 893
Jo-Ann Stores* 5,000 105
Jones Apparel Group 52,100 964
Journal Communications, Cl A 107,100 523
Lakeland Industries* 86,510 1,116
Landry's Restaurants 1,800 28
Leapfrog Enterprises* (A) 149,853 1,582
Lear* 43,900 461
Lee Enterprises 101,000 354
Lennar, Cl A (A) 95,400 1,449
Libbey 169,100 1,439
Lifetime Brands 168,000 1,638
Lions Gate Entertainment* (A) 151,100 1,375
LKQ* 87,237 1,480
Marriott International, Cl A 34,300 895
Marvel Entertainment* (A) 48,300 1,649
MDC Partners, Cl A* 473,770 3,184
Media General, Cl A (A) 11,100 138
Men's Wearhouse (A) 88,455 1,879
Meredith (A) 77,100 2,162
Modine Manufacturing (A) 99,200 1,436
Morgans Hotel Group* (A) 36,078 394
Nautilus (A) 18,400 84
New Frontier Media 100,200 238
New York* (A) 50,000 477
O'Charleys 36,300 318
OfficeMax (A) 69,200 615
Orient-Express Hotels, Cl A (A) 41,948 1,012
Pacific Sunwear of California* 97,912 659
PC Mall* 8,200 56
Perry Ellis International* 44,950 670
Polaris Industries (A) 21,800 992
Princeton Review* 62,372 499
Quiksilver* 255,400 1,466
Regis 39,565 1,088
Rent-A-Center* 228,300 5,087
Ruby Tuesday* (A) 52,100 302
SEI Institutional Managed Trust / Annual Report / September 30, 2008
82
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Russ Berrie* (A) 15,500 $ 119
Sally Beauty Holdings* (A) 31,862 274
Scholastic 81,000 2,080
Scientific Games, Cl A* (A) 82,248 1,893
Shoe Carnival* 20,000 328
Sinclair Broadcast Group, Cl A (A) 68,900 347
Skechers U.S.A., Cl A* 9,900 167
Smith & Wesson Holding* 72,700 272
Sonic Automotive, Cl A (A) 36,400 308
Speedway Motorsports (A) 9,800 191
Stage Stores 73,700 1,007
Steven Madden* (A) 27,300 676
Stoneridge* 21,200 239
Tempur-Pedic International (A) 136,316 1,603
Thor Industries (A) 71,600 1,777
Trans World Entertainment* 56,100 159
Valassis Communications* (A) 157,400 1,363
Warner Music Group (A) 235,000 1,786
World Wrestling Entertainment, Cl A (A) 37,600 581
------------
95,610
------------
CONSUMER STAPLES -- 4.8%
Alliance One International* 643,690 2,446
BJ's Wholesale Club* (A) 33,500 1,302
Casey's General Stores 17,930 541
Central Garden and Pet, Cl A* (A) 63,010 375
Central Garden and Pet* 73,557 433
Chattem* (A) 28,600 2,236
Constellation Brands, Cl A* (A) 66,800 1,434
Corn Products International 27,059 873
Dean Foods* 90,953 2,125
Del Monte Foods 407,366 3,177
Fresh Del Monte Produce* 18,900 420
Hain Celestial Group* (A) 148,600 4,091
Lancaster Colony 5,900 222
Molson Coors Brewing, Cl B 34,500 1,613
Nash Finch (A) 34,064 1,469
Pantry* (A) 59,993 1,271
Ralcorp Holdings* 57,494 3,876
Ruddick 75,238 2,441
Sanderson Farms (A) 97,825 3,594
Spartan Stores (A) 105,400 2,622
TreeHouse Foods* (A) 37,800 1,123
Universal (A) 55,200 2,710
Weis Markets 21,000 756
----------
41,150
----------
ENERGY -- 5.0%
Allis-Chalmers Energy* (A) 62,000 784
Alon USA Energy (A) 27,700 373
American Oil & Gas* 72,300 189
Approach Resources* 98,950 1,431
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Atlas America 51,263 $ 1,748
Berry Petroleum, Cl A (A) 67,614 2,619
Cal Dive International* (A) 228,587 2,423
Clayton Williams Energy* 1,000 71
Complete Production Services* 64,500 1,298
Delek US Holdings 145,000 1,344
Delta Petroleum* (A) 72,700 987
DHT Maritime 105,800 710
Dresser-Rand Group* 50,000 1,574
Geokinetics* 23,300 443
GeoMet* 152,700 831
Global Industries* (A) 154,400 1,072
GMX Resources* (A) 18,300 875
Grey Wolf* (A) 447,000 3,478
Hercules Offshore* 37,000 561
Holly 120,200 3,475
ION Geophysical* (A) 144,900 2,056
Lufkin Industries 12,600 1,000
Natural Gas Services Group* 18,600 325
North American Energy Partners* 93,862 973
Oil States International* (A) 10,100 357
Overseas Shipholding Group 10,900 636
Parker Drilling* (A) 205,200 1,646
Pioneer Drilling* 40,100 533
Rosetta Resources* 6,845 126
RPC 98,900 1,391
SEACOR Holdings* (A) 13,100 1,034
Smith International 2 --
Stone Energy* 21,400 906
Swift Energy* (A) 105,471 4,081
Teekay Tankers, Cl A (A) 14,600 247
Tesoro (A) 17,000 280
Tetra Technologies* 102,800 1,424
------------
43,301
------------
FINANCIALS -- 30.5%
1st Source (A) 13,400 315
Acadia Realty Trust+ 11,800 298
Advance America Cash Advance Centers 46,700 140
Advanta, Cl B 31,500 259
Agree Realty+ (A) 8,900 255
AMB Property+ (A) 85,100 3,855
Amcore Financial 20,662 191
American Equity Investment Life Holding (A) 60,561 454
American Physicians Capital 13,700 580
Amtrust Financial Services 39,900 542
Annaly Capital Management+ (A) 30,300 408
Anthracite Capital+ (A) 146,800 787
Anworth Mortgage Asset+ 96,200 570
Apollo Investment* 43,200 737
Ares Capital 58,800 613
SEI Institutional Managed Trust / Annual Report / September 30, 2008
83
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Ashford Hospitality Trust+ 45,300 $ 183
Aspen Insurance Holdings (A) 90,200 2,481
Associated Estates Realty+ 26,700 348
Assured Guaranty (A) 65,900 1,072
Astoria Financial 102,700 2,129
Banco Latinoamericano de Exportaciones, Cl E 45,500 656
Bancorp Rhode Island 6,400 184
Bancorpsouth (A) 59,832 1,683
Bank Mutual (A) 161,980 1,838
BankFinancial 7,800 115
Berkshire Hills Bancorp (A) 47,200 1,510
BioMed Realty Trust+ 6,300 167
Boston Private Financial Holdings (A) 33,700 295
Boston Properties+ (A) 20,200 1,892
British Land (United Kingdom)+ 129,399 1,717
British Land+ 20,530 273
Brookfield Asset Management, Cl A 60,000 1,646
Brookfield Properties 22,800 361
Camden Property Trust+ (A) 43,271 1,984
CapLease+ (A) 194,700 1,544
Capstead Mortgage+ (A) 153,300 1,679
Cardinal Financial 124,271 1,004
Care Investment Trust+ 2,300 26
Cash America International 25,800 930
Cathay General Bancorp (A) 41,546 989
CBL & Associates Properties+ (A) 74,766 1,501
Cedar Shopping Centers+ (A) 44,600 590
Central Pacific Financial (A) 45,700 768
Chemical Financial (A) 48,100 1,498
Citizens Republic Bancorp (A) 61,236 189
City Bank 15,200 237
City Holding 33,700 1,424
CNA Surety* 35,700 596
Colonial BancGroup (A) 192,591 1,514
Columbia Banking System 23,400 415
Commerce Bancshares 22,070 1,024
Community Bank System 24,300 611
Community Trust Bancorp 6,500 224
CompuCredit* 14,800 58
Cousins Properties+ (A) 77,400 1,953
CVB Financial (A) 80,900 1,125
Danvers Bancorp 86,600 1,104
Dawnay Day Sirius (United Kingdom) 405,932 285
Dawnay Day Treveria (United Kingdom) 471,407 61
Delphi Financial Group, Cl A 40,900 1,147
Dime Community Bancshares 26,900 409
Doral Financial* 18,500 202
Douglas Emmett+ 136,500 3,149
Duke Realty+ (A) 113,100 2,780
East West Bancorp (A) 73,500 1,007
Education Realty Trust+ 134,271 1,488
Employers Holdings 102,880 1,788
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Encore Bancshares* 31,540 $ 568
Endurance Specialty Holdings (A) 29,049 898
Entertainment Properties Trust+ (A) 18,600 1,018
Equity One+ (A) 48,065 985
Equity Residential+ (A) 164,000 7,283
ESSA Bancorp 45,100 627
Farmers Capital Bank 3,200 86
FBL Financial Group, Cl A 16,300 455
Federal Agricultural Mortgage, Cl C 7,200 30
Federated Investors, Cl B (A) 33,303 961
Financial Federal (A) 28,800 660
First American 94,800 2,797
First Bancorp (A) 49,500 547
First Commonwealth Financial 49,800 671
First Community Bancshares (A) 7,300 274
First Financial (A) 5,400 254
First Financial Bancorp (A) 184,032 2,687
First Financial Bankshares 600 31
First Financial Holdings 6,600 173
First Industrial Realty Trust+ (A) 10,500 301
First Merchants (A) 19,200 438
First Midwest Bancorp (A) 66,600 1,614
First Niagara Financial Group (A) 186,500 2,937
First Place Financial 4,900 63
FirstFed Financial* (A) 56,800 445
FirstMerit (A) 142,156 2,985
Flagstar Bancorp (A) 124,100 370
Flushing Financial (A) 67,000 1,173
FNB (Pennsylvania) 9,900 158
Forest City Enterprises, Cl A (A) 101,400 3,110
Fpic Insurance Group* (A) 16,800 863
Frontier Financial 14,400 193
General Growth Properties+ (A) 290,070 4,380
Getty Realty+ 9,300 206
Glacier Bancorp 32,600 808
Green Bankshares (A) 29,600 696
Guaranty Bancorp* 14,500 88
Guaranty Financial Group* 43,300 171
Hallmark Financial Services* 12,600 115
Hammerson (United Kingdom)+ 71,891 1,244
Hancock Holding (A) 21,664 1,105
Hanmi Financial (A) 117,300 592
Hanover Insurance Group 52,200 2,376
Harleysville National 13,200 224
Hatteras Financial+ 71,600 1,661
Heartland Financial USA (A) 1,800 45
Hercules Technology Growth Capital 7,900 77
Hersha Hospitality Trust+ 139,200 1,036
Highwoods Properties+ 24,400 868
Hilb Rogal & Hobbs 74,300 3,473
Home Bancshares 6,300 163
Home Federal Bancorp 45,560 581
Horace Mann Educators 60,854 783
Host Hotels & Resorts+ (A) 559,855 7,440
SEI Institutional Managed Trust / Annual Report / September 30, 2008
84
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
HRPT Properties Trust+ (A) 137,600 $ 948
Independent Bank 12,000 374
Infinity Property & Casualty (A) 42,194 1,738
International Bancshares 13,800 373
Investors Bancorp* 47,500 715
IPC Holdings (A) 45,900 1,387
Irwin Financial (A) 29,800 118
Kimco Realty+ (A) 219,800 8,119
Knight Capital Group, Cl A* (A) 28,100 418
LaBranche* (A) 55,800 251
Lakeland Bancorp 16,800 196
Lakeland Financial 8,900 195
LaSalle Hotel Properties+ 25,900 604
Lexington Realty Trust+ (A) 46,400 799
Liberty Property Trust+ (A) 33,200 1,250
MainSource Financial Group (A) 37,200 729
Max Capital Group (A) 56,600 1,315
MB Financial 13,700 453
Meadowbrook Insurance Group 268,080 1,893
Medical Properties Trust+ 44,800 508
MFA Mortgage Investments+ 665,591 4,326
Mid-America Apartment Communities+ 19,037 935
Mission West Properties+ 5,000 49
Montpelier Re Holdings (A) 65,500 1,081
Nara Bancorp 18,100 203
National Financial Partners 11,800 177
National Penn Bancshares 19,500 285
National Retail Properties+ (A) 54,300 1,300
Navigators Group* 31,352 1,818
NBT Bancorp 84,900 2,540
Nelnet, Cl A 100,000 1,420
New York Community Bancorp 19,100 321
NewAlliance Bancshares 139,127 2,091
NorthStar Realty Finance+ (A) 69,200 536
Northwest Bancorp 21,800 600
OceanFirst Financial 20,600 373
Odyssey Re Holdings (A) 29,400 1,288
Old National Bancorp 36,600 733
Old Second Bancorp 13,600 252
One Liberty Properties+ 12,900 228
Oriental Financial Group (A) 97,400 1,740
Pacific Capital Bancorp 12,400 252
PacWest Bancorp (A) 53,400 1,527
Park National 6,600 515
Parkway Properties+ 16,700 632
PennantPark Investment 92,902 688
Pennsylvania Real Estate Investment
Trust+ (A) 19,200 362
Peoples Bancorp (A) 7,000 152
PHH* (A) 193,622 2,573
Pico Holdings* (A) 20,500 736
Piper Jaffray* 8,885 384
Platinum Underwriters Holdings (A) 151,456 5,374
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
PMI Group 51,300 $ 151
Presidential Life 31,600 499
ProAssurance* (A) 35,105 1,966
Prologis+ (A) 59,300 2,447
Prosperity Bancshares 23,300 792
Provident Bankshares (A) 153,600 1,491
Provident Financial Services 61,000 1,007
Provident New York Bancorp 29,500 390
PS Business Parks+ 20,999 1,210
Rainier Pacific Financial Group 12,383 54
RAIT Financial Trust+ (A) 29,400 161
RenaissanceRe Holdings 20,000 1,040
Renasant 33,100 719
Republic Bancorp, Cl A (A) 30,700 931
Resource Capital+ (A) 47,400 287
RLI (A) 7,100 441
S&T Bancorp (A) 36,500 1,344
Safety Insurance Group 18,200 690
Sanders Morris Harris Group (A) 14,000 121
Sandy Spring Bancorp (A) 29,800 659
Santander BanCorp (A) 82,300 889
Saul Centers+ (A) 17,700 895
SCBT Financial (A) 9,500 357
SeaBright Insurance Holdings* 22,300 290
Selective Insurance Group (A) 64,900 1,488
Signature Bank NY* (A) 57,260 1,997
Simmons First National, Cl A 5,600 199
Simon Property Group+ (A) 69,200 6,712
Smithtown Bancorp (A) 4,200 95
South Financial Group (A) 98,793 724
Southside Bancshares (A) 19,150 483
Southwest Bancorp 9,300 164
Sterling Bancorp, Cl N 14,000 202
Sterling Bancshares (A) 139,227 1,455
Sterling Financial 30,000 435
Stewart Information Services (A) 99,700 2,966
Stifel Financial* (A) 16,100 803
Student Loan 7,000 651
Suffolk Bancorp 4,000 158
Sun Communities+ 59,700 1,183
Sunstone Hotel Investors+ (A) 48,300 652
Superior Bancorp* (A) 20,647 174
Susquehanna Bancshares 16,400 320
SVB Financial Group* 13,300 770
SWS Group 29,600 597
SY Bancorp 4,500 138
TCF Financial (A) 119,927 2,159
Thomas Properties Group 60,200 608
Tompkins Financial (A) 9,300 470
TradeStation Group* 71,400 668
Trustco Bank NY 46,100 540
Trustmark 4,000 83
UCBH Holdings (A) 122,400 785
UMB Financial 16,500 867
SEI Institutional Managed Trust / Annual Report / September 30, 2008
85
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Umpqua Holdings 35,200 $ 518
Unibail (France)+ 10,016 1,999
United Bankshares (A) 43,922 1,537
United Financial Bancorp 83,056 1,233
U-Store-It Trust+ 51,200 628
Validus Holdings 41,600 967
Verde Realty PIPE* (B) (G) 21,100 696
ViewPoint Financial Group 23,700 415
Virginia Commerce Bancorp* (A) 11,800 74
Vornado Realty Trust+ (A) 37,900 3,447
Washington Real Estate Investment
Trust+ (A) 28,500 1,044
Webster Financial 40,636 1,026
WesBanco (A) 55,700 1,483
Westamerica Bancorporation 5,800 334
Western Alliance Bancorp* (A) 6,800 105
Westfield Financial 104,900 1,080
Whitney Holding (A) 43,700 1,060
Wilshire Bancorp (A) 55,000 669
Wintrust Financial (A) 63,265 1,857
WR Berkley 37,837 891
WSFS Financial 30,017 1,801
Zenith National Insurance 101,100 3,704
Zions Bancorporation (A) 25,209 976
------------
260,439
------------
HEALTH CARE -- 6.8%
Accelrys* 192,400 1,056
Advanced Medical Optics* (A) 116,500 2,071
Albany Molecular Research* 17,600 318
Amedisys* (A) 38,500 1,874
America Service Group* 9,200 88
American Dental Partners* 21,099 247
AMN Healthcare Services* 141,900 2,493
Amsurg* 53,662 1,367
Apria Healthcare Group* 51,300 936
Brookdale Senior Living (A) 76,000 1,671
Cambrex* (A) 323,820 1,991
Cardiac Science* 12,600 131
Celera* 86,000 1,329
Centene* (A) 34,400 706
Chemed (A) 41,900 1,720
Community Health Systems* 55,500 1,627
Conmed* 91,672 2,934
Cooper (A) 158,835 5,521
Cross Country Healthcare* 151,000 2,460
Discovery Laboratories* (A) 95,900 179
Emergency Medical Services,
Cl A* (A) 19,300 577
Emergent Biosolutions* (A) 15,200 199
Gentiva Health Services* 4,100 110
Greatbatch* 26,700 655
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Health Management Associates,
Cl A* 131,100 $ 545
Health Net* 78,600 1,855
Healthspring* 66,000 1,397
Hill-Rom Holdings (A) 53,100 1,609
ICU Medical* 40,894 1,244
IMS Health 56,100 1,061
Kindred Healthcare* 20,800 573
LCA-Vision (A) 34,600 161
Life Sciences Research* 10,500 368
LifePoint Hospitals* (A) 67,466 2,168
Magellan Health Services* 20,799 854
Medical Staffing Network Holdings* 125,100 206
Myriad Genetics* (A) 11,200 727
National Dentex* 29,200 178
NovaMed* 80,160 380
Owens & Minor (A) 19,200 931
Par Pharmaceutical* 26,300 323
Pediatrix Medical Group* 21,856 1,178
Pharmacopeia* 115,450 172
PharMerica* (A) 68,200 1,534
Providence Service* 89,810 880
PSS World Medical* (A) 49,836 972
Res-Care* 36,174 656
Sciele Pharma (A) 25,800 794
Sirona Dental Systems* (A) 4,100 95
Skilled Healthcare Group, Cl A* 41,700 663
Sun Healthcare Group* 72,924 1,069
Sunrise Senior Living* (A) 40,900 564
Symmetry Medical* 83,300 1,546
Varian* 15,900 682
Viropharma* 27,100 356
------------
58,001
------------
INDUSTRIALS -- 14.5%
ABM Industries 65,100 1,422
ACCO Brands* 29,700 224
Actuant, Cl A (A) 17,700 447
Acuity Brands (A) 76,700 3,203
Airtran Holdings* 75,900 184
Alamo Group 8,900 152
Alaska Air Group* 23,700 483
Albany International, Cl A (A) 39,600 1,082
American Railcar Industries (A) 17,500 281
American Woodmark (A) 13,400 301
Ampco-Pittsburgh 13,400 347
AO Smith (A) 44,800 1,756
Apogee Enterprises 16,100 242
Applied Industrial Technologies 18,425 496
Applied Signal Technology 6,400 111
Arkansas Best (A) 84,900 2,860
Astec Industries* (A) 38,600 1,190
SEI Institutional Managed Trust / Annual Report / September 30, 2008
86
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Avis Budget Group* (A) 138,010 $ 792
Barnes Group 31,100 629
BE Aerospace* 87,098 1,379
Beacon Roofing Supply* 16,700 261
Belden (A) 38,162 1,213
Bowne 30,200 349
Brady, Cl A (A) 51,217 1,807
Briggs & Stratton 19,700 319
Brink's 60,600 3,698
CAI International* 18,600 206
Ceradyne* 16,700 612
CIRCOR International 9,900 430
Columbus McKinnon* 23,200 547
Comfort Systems USA (A) 87,400 1,168
Con-way (A) 64,900 2,863
Courier 51,060 1,040
CRA International* 7,200 198
Crane 68,200 2,026
Cubic 14,500 356
Curtiss-Wright 24,700 1,123
Danaos (A) 41,100 610
Deluxe (A) 122,500 1,763
Diamond Management & Technology
Consultants 133,700 627
Ducommun 5,800 139
Dycom Industries* (A) 143,000 1,862
EMCOR Group* (A) 76,400 2,011
EnPro Industries* (A) 54,300 2,017
ESCO Technologies* 29,800 1,435
Federal Signal (A) 96,885 1,327
G&K Services (A) 33,213 1,098
Gardner Denver* 33,190 1,152
GATX (A) 21,600 855
Genco Shipping & Trading 6,000 199
Geo Group* (A) 68,000 1,374
Gibraltar Industries 42,200 790
GrafTech International* 35,900 542
Granite Construction (A) 67,800 2,429
Greenbrier (A) 6,900 134
Griffon* (A) 9,900 89
Hawaiian Holdings* (A) 54,900 509
Hubbell, Cl B 41,400 1,451
Hudson Highland Group* 129,600 901
ICF International* 97,000 1,916
IDEX 39,047 1,211
IKON Office Solutions (A) 92,200 1,568
Insteel Industries 12,100 164
Interface, Cl A 35,853 408
Kadant* 39,315 895
Kansas City Southern* 18,884 838
Kaydon (A) 30,984 1,396
KBR 67,600 1,032
Kelly Services, Cl A 19,700 375
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Kforce* 161,200 $ 1,646
Knoll 30,300 458
Korn/Ferry International* (A) 95,400 1,700
Ladish* (A) 82,600 1,673
LECG* 92,500 746
Lennox International 15,000 499
Lydall* 6,000 58
MasTec* 35,400 470
Mcgrath Rentcorp 1,200 35
Mesa Air Group* (A) 56,600 19
Michael Baker* 14,600 508
Milacron* (A) 27,343 29
Mine Safety Appliances (A) 33,500 1,277
MPS Group* 175,500 1,769
Mueller Industries 33,200 764
NACCO Industries, Cl A 6,100 577
Navistar International* 13,000 704
NCI Building Systems* (A) 16,800 533
NN 32,400 416
Orbital Sciences* (A) 98,100 2,351
Oshkosh Truck 127,272 1,675
Pacer International (A) 93,200 1,535
Pall 73,800 2,538
Paragon Shipping, Cl A 34,100 291
Park-Ohio Holdings* 8,100 145
Perini* (A) 26,800 691
Quanex Building Products (A) 128,675 1,961
Regal-Beloit 47,600 2,024
Republic Airways Holdings* (A) 91,800 935
Robbins & Myers 7,300 226
Rollins (A) 116,500 2,211
RSC Holdings* (A) 61,700 701
Ryder System (A) 40,500 2,511
Saia* 8,900 118
School Specialty* (A) 88,233 2,752
Skywest (A) 71,600 1,144
Spherion* 99,700 486
Steelcase, Cl A 62,200 669
Tecumseh Products, Cl A* 64,000 1,603
Teledyne Technologies* (A) 44,300 2,532
Teleflex 15,267 969
Tetra Tech* (A) 13,017 313
Textainer Group Holdings (A) 29,400 447
Trimas* 28,000 184
Triumph Group (A) 21,695 992
TrueBlue* (A) 67,200 1,086
Ultrapetrol Bahamas* 3,600 28
United Rentals* (A) 11,221 171
United Stationers* (A) 29,200 1,397
Wabash National (A) 80,900 765
Waste Connections* (A) 59,100 2,027
Waste Services* 16,100 119
Watson Wyatt Worldwide, Cl A 33,300 1,656
SEI Institutional Managed Trust / Annual Report / September 30, 2008
87
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- ------------- -------------
Watts Water Technologies, Cl A (A) 32,845 $ 898
WESCO International* (A) 42,157 1,357
YRC Worldwide* (A) 24,900 298
------------
124,601
------------
INFORMATION TECHNOLOGY -- 15.7%
3Com* 226,700 528
Actel* 70,100 875
Actuate* 171,210 599
Acxiom 152,500 1,912
Airvana* (A) 21,000 124
Alliance Semiconductor 199,300 149
Amkor Technology* 149,100 950
Applied Micro Circuits* 174,125 1,041
ARM Holdings ADR (A) 293,800 1,528
Arris Group* (A) 462,750 3,577
ATMI* 65,100 1,170
Avanex* (A) 38,720 181
Avocent* 81,910 1,676
Axesstel* 314,380 211
BearingPoint* (A) 263,600 137
Benchmark Electronics* (A) 188,000 2,647
Black Box 46,917 1,620
Blackboard* (A) 15,800 637
Broadridge Financial Solutions 108,700 1,673
Brocade Communications Systems* 476,300 2,772
CACI International, Cl A* 102,469 5,134
Ciber* 93,000 650
Ciena* 43,100 434
Cognex (A) 52,300 1,054
Coherent* 48,391 1,720
Comverse Technology* 171,500 1,641
Convergys* 146,600 2,167
CPI International* 29,200 423
CSG Systems International* 117,000 2,051
CTS (A) 115,000 1,470
Cymer* (A) 57,700 1,462
Diebold 38,815 1,285
Digi International* 78,300 799
DSP Group* 45,600 349
Earthlink* (A) 249,300 2,119
Emulex* 133,273 1,422
Entegris* (A) 188,060 910
Fair Isaac (A) 130,300 3,003
Forrester Research* (A) 36,100 1,058
Global Cash Access Holdings* (A) 80,900 409
Ikanos Communications* (A) 174,800 346
Imation (A) 91,000 2,056
Intersil, Cl A 35,500 589
Intevac* 80,100 852
Jack Henry & Associates (A) 22,000 447
JDA Software Group* 22,500 342
JDS Uniphase* (A) 139,550 1,181
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- ------------- -------------
Kemet* (A) 87,300 $ 119
Kenexa* 10,700 169
Keynote Systems* 105,800 1,402
Lawson Software* (A) 682,228 4,776
LeCroy* (A) 38,900 299
Lionbridge Technologies* 46,600 114
Littelfuse* 50,537 1,502
LTX-Credence* (A) 263,800 459
Manhattan Associates* 87,600 1,957
MAXIMUS (A) 63,100 2,325
Maxwell Technologies* (A) 26,400 352
Mentor Graphics* (A) 72,100 818
Mercury Computer Systems* 138,400 1,232
Merrimac Industries* 25,000 136
Methode Electronics 106,200 949
Micrel (A) 68,100 618
MicroStrategy, Cl A* 31,500 1,875
MKS Instruments* 49,200 980
ModusLink Global Solutions* 51,400 494
Multi-Fineline Electronix* (A) 31,700 469
Ness Technologies* 92,500 1,061
Netgear* 2,800 42
Omnivision Technologies* (A) 70,690 807
ON Semiconductor* 71,530 484
Orbotech* 186,100 1,487
Orckit Communications* 85,600 527
Parametric Technology* (A) 122,161 2,248
PC Connection* 4,300 29
Perot Systems, Cl A* 104,836 1,819
Photon Dynamics* 45,400 697
Photronics* 41,400 78
Plantronics 16,100 363
PLATO Learning* 65,970 187
PMC - Sierra* (A) 40,000 297
Polycom* (A) 37,100 858
Powerwave Technologies* (A) 188,248 745
QLogic* 18,400 283
Quantum* 343,200 360
Rackable Systems* 82,550 810
Radisys* (A) 61,700 531
RADWARE* 139,930 1,166
RF Micro Devices* (A) 151,600 443
Richardson Electronics 49,857 309
Rogers* 3,000 111
Rudolph Technologies* 125,000 1,048
S1* 49,200 301
Seachange International* 152,800 1,476
SI International* 59,900 1,800
Silicon Image* (A) 116,300 621
SkillSoft ADR* 214,488 2,244
Skyworks Solutions* (A) 441,100 3,688
SPSS* 25,700 755
SRA International, Cl A* 68,900 1,559
Standard Microsystems* 68,700 1,716
SEI Institutional Managed Trust / Annual Report / September 30, 2008
88
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Super Micro Computer* 27,800 $ 250
Sybase* (A) 62,291 1,907
SYNNEX* (A) 24,100 538
Synopsys* 49,666 991
Technitrol 63,300 936
Tekelec* (A) 124,200 1,738
TIBCO Software* (A) 380,700 2,787
TNS* 22,300 432
TriQuint Semiconductor* 66,400 318
Tyler Technologies* 55,300 839
Ultra Clean Holdings* 93,600 472
Ultratech* (A) 163,300 1,976
United Online 129,200 1,216
Utstarcom* (A) 225,900 761
Verigy* 56,637 922
Verint Systems* 112,500 1,873
Wavecom ADR* (A) 72,400 403
Xyratex* 200,654 2,233
Zoran* (A) 260,110 2,122
------------
134,089
------------
MATERIALS -- 4.6%
AM Castle 21,900 378
Arch Chemicals 16,602 586
Bemis 28,779 754
Buckeye Technologies* 71,800 588
Bway Holding* 4,500 53
Cabot 34,558 1,098
Carpenter Technology 5,000 128
Chemtura (A) 217,600 992
Constar International* (A) 79,100 49
Crown Holdings* 103,300 2,294
Cytec Industries (A) 79,484 3,093
Ferro (A) 56,400 1,134
FMC 13,046 670
Glatfelter 8,900 121
H.B. Fuller (A) 109,300 2,281
Innophos Holdings 8,900 217
Innospec 17,900 216
Kaiser Aluminum 6,300 271
KapStone Paper and Packaging* (A) 13,800 88
Mercer International* (A) 64,200 235
Minerals Technologies 10,300 611
Myers Industries 16,700 211
Neenah Paper 46,286 916
NewMarket 10,000 526
Olin 46,800 908
Olympic Steel 13,500 398
OM Group* 10,000 225
Omnova Solutions* 88,000 175
Owens-Illinois* 51,598 1,517
Pactiv* (A) 68,307 1,696
Quaker Chemical 26,300 748
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Rock-Tenn, Cl A 44,000 $ 1,759
Schulman A 22,900 453
Schweitzer-Mauduit International 31,300 594
Scotts Miracle-Gro, Cl A 30,900 730
Sensient Technologies (A) 114,730 3,227
Silgan Holdings 93,619 4,783
Smurfit-Stone Container* 224,700 1,056
Solutia* 82,200 1,151
Temple-Inland 98,400 1,502
Universal Stainless & Alloy* 8,200 210
Worthington Industries (A) 29,400 439
------------
39,081
------------
TELECOMMUNICATION SERVICES -- 0.3%
Atlantic Telegraph-Network 20,000 560
Premiere Global Services* 45,300 637
Syniverse Holdings* 59,200 983
USA Mobility 21,900 241
------------
2,421
------------
UTILITIES -- 3.6%
AGL Resources 62,298 1,955
Allete (A) 43,300 1,927
Atmos Energy 49,453 1,316
Avista (A) 37,700 818
Black Hills 42,400 1,317
Centerpoint Energy 118,200 1,722
CMS Energy (A) 107,400 1,339
El Paso Electric* 126,200 2,650
Empire District Electric (A) 28,717 613
Great Plains Energy 17,000 378
Idacorp 21,502 625
Laclede Group 13,600 659
NorthWestern 23,300 586
Ormat Technologies (A) 30,900 1,123
PNM Resources (A) 24,500 251
Portland General Electric 154,241 3,649
South Jersey Industries 19,300 689
Southern Union 75,800 1,565
Southwest Gas 48,998 1,483
Synthesis Energy Systems* 73,000 354
UGI 30,400 784
UIL Holdings 30,700 1,054
Unisource Energy 1,800 53
Vectren 14,300 398
Westar Energy (A) 79,249 1,826
WGL Holdings (A) 33,539 1,088
Wisconsin Energy 9,671 434
------------
30,656
------------
Total Common Stock
(Cost $858,244) ($ Thousands) 829,349
------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
89
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Concluded)
September 30, 2008
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
EXCHANGE TRADED FUND -- 0.2%
iShares Russell 2000 Index Fund (A) 21,566 $ 1,475
------------
Total Exchange Traded Fund
(Cost $1,461) ($ Thousands) 1,475
------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Washington Mutual* (C) 269,942 24
------------
Total Warrants
(Cost $38) ($ Thousands) 24
------------
AFFILIATED PARTNERSHIP -- 31.7%
SEI Liquidity Fund, L.P.,
2.590%**++ (D) 275,445,659 271,069
------------
Total Affiliated Partnership
(Cost $275,446) ($ Thousands) 271,069
------------
CASH EQUIVALENTS -- 3.5%
Merrill Lynch EBP Master,
1.670%** 3,934,628 3,935
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 2.350%**++ 26,261,435 26,261
------------
Total Cash Equivalents
(Cost $30,196) ($ Thousands) 30,196
------------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bills
1.237%, 11/20/08 (E) (F) $ 2,910 2,909
------------
Total U.S. Treasury Obligation
(Cost $2,903) ($ Thousands) 2,909
------------
Total Investments -- 132.8%
(Cost $1,168,288) ($ Thousands) $ 1,135,022
============
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
Russell 2000 Index
E-MINI 319 Dec-2008 $(775)
=====
Description
- ------------------------------------------------
Percentages are based on Net Assets of $854,887 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
@ Narrow Industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
(A) This Security or a partial position of this security is on loan at
September 30, 2008 (see Note 7). The total market value of securities on
loan at September 30, 2008 was $273,301 ($ Thousands).
(B) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total market value of
such securities as of September 30, 2008 was $696 ($ Thousands) and
represented 0.08% of Net Assets.
(C) This warrant represents a potential distribution settlement in a legal
claim and does not have a strike price or expiration date.
(D) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2008 was $271,069 ($ Thousands).
(E) The rate reported is the effective yield at time of pruchase.
(F) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(G) Security considered illiquid and restricted. The total value of such
security as of September 30, 2008 was $696 ($ Thousands) and represented
0.08% of Net Assets.
ADR -- American Depositary Receipt
Cl -- Class
L.P. -- Limited Partnership
PIPE -- Private Investment in Public Entity
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
90
Small Cap Growth Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Affiliated Partnership 24.2%
Information Technology 18.1%
Health Care 14.5%
Industrial 11.0%
Consumer Discretionary 10.3%
Energy 6.7%
Financials 6.3%
Materials 2.8%
Telecommunication Services 1.8%
Short-Term Investments 1.8%
Consumer Staples 1.6%
Utilities 0.5%
U.S. Treasury Obligation 0.2%
Exchange Traded Fund 0.1%
Convertible Bond 0.1%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK -- 97.8%
CONSUMER DISCRETIONARY -- 13.6%
1-800-FLOWERS.COM, Cl A* 48,700 $ 293
Aaron Rents 34,575 936
Aeropostale* (A) 54,790 1,759
American Public Education* 9,700 468
Amerigon* (A) 107,723 709
Bally Technologies* 6,800 206
Bebe Stores 102,635 1,003
Big Lots* (A) 27,240 758
BJ's Restaurants* (A) 87,583 1,046
Blue Nile* (A) 23,690 1,016
Buckle (A) 13,000 722
Buffalo Wild Wings* 1,500 60
Build-A-Bear Workshop* 7,000 51
Cache* 13,200 91
Capella Education* 15,144 649
Casual Male Retail Group* (A) 357,700 1,406
Cato, Cl A 72,200 1,267
CEC Entertainment* (A) 48,575 1,613
Century Casinos* 127,054 267
Charming Shoppes* (A) 139,400 682
Cheesecake Factory* (A) 66,300 969
Chipotle Mexican Grill, Cl A* (A) 26,400 1,465
Christopher & Banks 2,400 18
CKE Restaurants 22,500 239
Coldwater Creek* (A) 69,423 402
Corinthian Colleges* (A) 64,030 960
CROCS* (A) 259,600 929
Crown Media Holdings, Cl A* (A) 29,600 149
Deckers Outdoor* (A) 14,400 1,499
Dick's Sporting Goods* (A) 85,216 1,669
Dover Downs Gaming & Entertainment (A) 40,450 315
DreamWorks Animation SKG, Cl A* 1,400 44
DSW, Cl A* (A) 119,500 1,637
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Dufry South America (United
Kingdom) 72,800 $ 604
Eddie Bauer Holdings* (A) 290,051 1,552
Einstein Noah Restaurant Group* 10,300 104
Exide Technologies* (A) 58,600 432
Finish Line, Cl A 76,725 766
Focus Media Holding ADR* (A) 32,856 937
Fossil* 22,800 644
Fuel Systems Solutions* (A) 18,785 647
Fuqi International* 18,900 154
Gaiam, Cl A* (A) 59,200 628
Genius Products* 349,055 42
Global Sources* (A) 34,010 342
Gray Television 8,000 14
Gymboree* 16,365 581
Hanesbrands* (A) 30,795 670
hhgregg* (A) 53,900 526
Hibbett Sports* (A) 20,989 420
Iconix Brand Group* 4,200 55
Interactive Data 15,700 396
J Crew Group* (A) 47,100 1,346
Jackson Hewitt Tax Service 1,400 21
Jarden* 66,040 1,549
Jo-Ann Stores* (A) 23,770 499
K12* 63,862 1,692
Life Time Fitness* (A) 56,585 1,769
Live Nation* (A) 49,455 805
Liz Claiborne 37,475 616
LKQ* 44,400 753
Lululemon Athletica* (A) 30,400 700
Maidenform Brands* 1,200 17
Marvel Entertainment* (A) 35,780 1,222
Matthews International, Cl A 1,700 86
McCormick & Schmick's Seafood
Restaurants* 47,200 460
Morningstar* (A) 21,387 1,186
National CineMedia 77,940 861
NetFlix* (A) 87,490 2,702
New York* 46,600 445
Office Depot* 220,000 1,280
OfficeMax (A) 115,500 1,027
Orbitz Worldwide* (A) 151,300 888
Overstock.com* 3,700 73
Panera Bread, Cl A* (A) 16,200 825
Peet's Coffee & Tea* (A) 30,721 858
Perry Ellis International* 9,600 143
Pinnacle Entertainment* 183,986 1,391
Polaris Industries (A) 24,900 1,133
Quiksilver* 149,200 856
Raser Technologies* (A) 42,900 365
RC2* 600 12
Red Robin Gourmet Burgers* (A) 12,600 338
Regis 48,500 1,334
Retail Ventures* 211,800 826
SEI Institutional Managed Trust / Annual Report / September 30, 2008
91
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
RHI Entertainment* 89,500 $ 1,334
RRSat Global Communications
Network 67,500 846
Shutterfly* (A) 302,500 2,907
Skechers U.S.A., Cl A* 800 13
Snap-On 21,245 1,119
Sotheby's 9,400 189
Stamps.com* 23,700 277
Steven Madden* (A) 39,610 982
Strayer Education 1,000 200
Tecnisa (Brazil) 282,700 679
Texas Roadhouse, Cl A* 66,200 595
Thunderbird Resorts PIPE* (B) (F) 3,200 29
Thunderbird Resorts PIPE* (B) (F) (G) 153,500 1,381
Titan International (A) 39,050 833
True Religion Apparel* (A) 107,880 2,789
Tupperware Brands 92,650 2,560
Under Armour, Cl A* 21,000 667
Universal Electronics* 1,400 35
Universal Technical Institute* 2,600 44
Volcom* 46,410 802
Warnaco Group* 49,900 2,260
Westport Innovations* 49,200 450
Wet Seal, Cl A* 115,210 418
Williams-Sonoma (A) 106,500 1,723
WMS Industries* (A) 11,250 344
Wolverine World Wide 1,100 29
Wonder Auto Technology* 4,600 29
Zale* (A) 22,565 564
Zumiez* (A) 31,800 524
------------
87,511
------------
CONSUMER STAPLES -- 2.1%
American Oriental Bioengineering*
(A) 31,900 207
Asiatic Development (Malaysia) 933,500 1,247
Bare Escentuals* (A) 62,300 677
Boston Beer, Cl A* (A) 24,860 1,181
Chattem* (A) 3,900 305
Cosan SA Industria e Comercio
(Brazil)* 192,700 1,299
Darling International* 66,500 739
Diamond Foods 9,000 252
Flowers Foods (A) 39,705 1,166
Green Mountain Coffee Roasters* 22,000 865
Hansen Natural* 1,824 55
Herbalife 24,509 969
Lance 63,600 1,443
Ralcorp Holdings* 13,000 876
SunOpta* 69,990 431
Universal 900 44
USANA Health Sciences* 1,900 78
Whole Foods Market (A) 70,700 1,416
Zhongpin* (A) 11,900 126
------------
13,376
------------
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
ENERGY -- 9.0%
Arena Resources* 105,198 $ 4,087
Arlington Tankers (A) 89,000 1,369
ATP Oil & Gas* (A) 79,100 1,409
Atwood Oceanics* 47,300 1,722
Aventine Renewable Energy Holdings* 43,700 138
Basic Energy Services* (A) 54,000 1,150
Berry Petroleum, Cl A (A) 22,825 884
Bill Barrett* (A) 9,900 318
BPZ Energy PIPE* 76,500 1,316
BPZ Resources* (A) 20,000 344
Brigham Exploration* 3,000 33
Cano Petroleum* (A) 175,300 405
CARBO Ceramics 400 21
Carrizo Oil & Gas* 51,210 1,857
Cimarex Energy (A) 22,050 1,078
Clayton Williams Energy* 8,300 585
Complete Production Services* 103,405 2,082
Comstock Resources* (A) 58,200 2,913
Concho Resources* (A) 29,200 806
Core Laboratories 8,180 829
Crosstex Energy (A) 6,400 160
CVR Energy* (A) 43,400 370
Denbury Resources* 5,400 103
Encore Acquisition* 1,000 42
Endeavour International* 18,800 25
Energy Partners* 211,000 1,829
Energy XXI Bermuda (A) 166,490 506
EXCO Resources* 173,122 2,825
Forest Oil* 300 15
Geokinetics* 3,700 70
GMX Resources* 25,059 1,198
Goodrich Petroleum* (A) 26,905 1,173
Gran Tierra Energy* 17,500 65
Gulf Island Fabrication 15,500 534
Gulfmark Offshore* 1,500 67
Gulfport Energy* 17,000 171
Helmerich & Payne 14,580 630
Hercules Offshore* (A) 127,300 1,930
Infinity Bio-Energy* 741,494 1,446
ION Geophysical* (A) 124,710 1,770
Kodiak Oil & Gas* 269,100 404
Lufkin Industries 1,800 143
Mahalo Energy* 267,800 302
Matrix Service* 2,900 55
McMoRan Exploration* (A) 33,000 780
Mitcham Industries* 19,900 201
NATCO Group, Cl A* 12,941 520
Natural Gas Services Group* 1,200 21
Nordic American Tanker Shipping 1,600 51
Oilsands Quest* (A) 219,000 655
OPTI (Canada)* 82,000 852
OYO Geospace* 1,100 43
SEI Institutional Managed Trust / Annual Report / September 30, 2008
92
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Parallel Petroleum* 5,100 $ 48
PetroHawk Energy* 98,000 2,120
Petroleum Development* 2,600 115
Petroquest Energy* 83,300 1,279
Pioneer Drilling* 13,300 177
Quicksilver Resources* 74,500 1,462
Rentech* (A) 530,800 706
Rosetta Resources* 2,000 37
St. Mary Land & Exploration 12,612 450
StealthGas (A) 93,989 1,272
Superior Energy Services* 34,741 1,082
Superior Well Services* 7,000 177
Swift Energy* 36,000 1,393
Tesco ADR* 20,400 427
TXCO Resources* 3,300 33
Unit* 9,560 476
Uranium One (Canada)* 52,549 114
Vaalco Energy* 12,400 85
Venoco* 3,800 49
W&T Offshore 800 22
Warren Resources* 3,000 30
Whiting Petroleum* 15,105 1,076
Willbros Group* (A) 65,771 1,743
World Fuel Services 32,885 757
------------
57,432
------------
FINANCIALS -- 8.2%
Affiliated Managers Group* (A) 13,100 1,085
Amtrust Financial Services 38,900 529
Anworth Mortgage Asset+ 246,800 1,461
Associated Estates Realty+ 29,400 383
Brasil Brokers Participacoes* 220,000 683
Canaccord Capital (Canada) 73,600 552
CapitalSource+ 131,947 1,623
Capitol Federal Financial (A) 20,550 911
Capstead Mortgage+ (A) 120,409 1,318
Cardtronics* 67,620 531
Cash America International 15,100 544
Cohen & Steers 2,500 71
Companhia Brasileira de
Desenvolvimento Imobiliari
Turistico (Brazil)* 4,200 1,198
Dollar Financial* (A) 92,800 1,428
Dundee (Canada)+ 41,100 1,153
East West Bancorp (A) 55,500 760
eHealth* (A) 8,400 134
Evercore Partners, Cl A (A) 59,500 1,070
Ezcorp, Cl A* 6,100 115
FCStone Group* 104,650 1,883
Financial Federal 2,100 48
First Cash Financial Services* 3,800 57
General Shopping Brasil (Brazil)* 113,000 434
General Shopping Brazil (Brazil)* 208,900 801
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Getty Realty+ 4,200 $ 93
Gluskin Sheff + Associates (Canada) 70,100 1,019
GMP Capital Trust (Canada) 76,400 724
Greenhill (A) 15,550 1,147
Grubb & Ellis (A) 444,080 1,199
Hancock Holding 3,300 168
Hatteras Financial+ 40,094 930
Hercules Technology Growth Capital 74,608 724
Hersha Hospitality Trust+ 195,200 1,452
Highbury Financial* (A) 152,100 479
Investors Real Estate Trust+ (A) 130,000 1,455
Jefferies Group (A) 15,100 338
Jones Lang LaSalle 10,665 464
Kansas City Life Insurance 23,107 1,063
Knight Capital Group, Cl A* 3,100 46
LTC Properties+ 5,700 167
MarketAxess Holdings* 138,195 1,115
Meruelo Maddux Properties* 312,000 381
MFA Mortgage Investments+ 242,900 1,579
MSCI, Cl A* 95,502 2,292
Nelnet, Cl A 125,411 1,781
Omega Healthcare Investors+ (A) 44,400 873
optionsXpress Holdings 60,230 1,170
Penson Worldwide* 3,000 42
Platinum Underwriters Holdings (A) 44,560 1,581
PS Business Parks+ 12,900 743
Pzena Investment Management,
Cl A (A) 20,800 197
RAM Holdings* (A) 99,300 167
Rayonier+ 400 19
Riskmetrics Group* 56,630 1,108
Sterling Financial (A) 48,800 708
Stifel Financial* 13,300 664
SVB Financial Group* 13,730 795
SWS Group 8,000 161
Titanium Asset* 140,900 740
Tower Group 1,700 40
TradeStation Group* (A) 56,900 532
Trustco Bank NY 11,300 132
UCBH Holdings (A) 262,300 1,681
UMB Financial 800 42
Uranium Participation* 171,000 994
US Global Investors, Cl A 1,300 13
Value Creation* (B) (F) 121,940 962
Victory Acquisition* (A) 50,532 480
World Acceptance* (A) 43,000 1,547
Zenith National Insurance 400 15
------------
52,794
------------
HEALTH CARE -- 19.3%
3SBio ADR* 86,900 561
Abaxis* (A) 56,921 1,121
Abiomed* (A) 71,600 1,271
SEI Institutional Managed Trust / Annual Report / September 30, 2008
93
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Accuray* 1,500 $ 12
Achillion Pharmaceuticals* 77,560 101
Acorda Therapeutics* (A) 72,247 1,723
Affymax* 9,100 181
Affymetrix* (A) 191,000 1,478
Akorn* 5,800 30
Albany Molecular Research* 10,400 188
Alexion Pharmaceuticals* 55,070 2,164
Align Technology* 6,300 68
Alkermes* (A) 147,376 1,960
Allos Therapeutics* 10,000 74
Allscripts Healthcare Solutions* 4,405 55
Alnylam Pharmaceuticals* (A) 21,682 628
Alpharma, Cl A* 3,900 144
AMAG Pharmaceuticals* (A) 12,770 495
Amedisys* 3,600 175
American Medical Systems Holdings* (A) 68,777 1,221
Amicus Therapeutics* 1,800 27
AMN Healthcare Services* 24,000 422
Amsurg* (A) 45,700 1,164
Analogic (A) 10,700 532
Angiodynamics* 3,800 60
Arena Pharmaceuticals* (A) 250,400 1,252
Ariad Pharmaceuticals* (A) 331,200 818
Arqule* 6,500 21
Array Biopharma* (A) 93,855 721
Arthrocare* 1,700 47
BioMarin Pharmaceuticals* 70,800 1,875
Bio-Rad Laboratories, Cl A* 10,100 1,001
Bruker BioSciences* 43,600 581
Cardiome Pharma* 164,800 1,252
Centene* 35,800 734
Cepheid* 56,195 777
Charles River Laboratories International* 200 11
Chemed 2,800 115
Chindex International* 8,200 89
Columbia Laboratories* 7,600 20
Conmed* 29,525 945
Corvel* 1,300 37
Covance* 2,100 186
CryoLife* 44,400 583
Cubist Pharmaceuticals* (A) 248,011 5,513
CV Therapeutics* (A) 282,099 3,047
Cyberonics* (A) 70,900 1,205
Cynosure, Cl A* (A) 33,200 596
Cypress Bioscience* (A) 97,542 717
Cytori Therapeutics* (A) 10,000 53
Dionex* (A) 13,700 871
Durect* 260,381 1,458
Eclipsys* (A) 4,800 101
Edwards Lifesciences* (A) 11,325 654
Enzo Biochem* 6,400 70
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Enzon Pharmaceuticals* (A) 27,100 $ 200
eResearchTechnology* 5,300 63
ev3* 69,709 700
Exactech* 15,100 336
Exelixis* (A) 358,153 2,178
Genoptix* 900 29
Gen-Probe* 1,500 80
Gentiva Health Services* 33,505 903
GTx* (A) 11,800 224
Haemonetics* 7,491 462
Halozyme Therapeutics* 76,600 562
Hanger Orthopedic Group* 45,450 793
Hansen Medical* 31,900 429
HealthExtras* 32,710 854
Healthways* 24,285 392
HMS Holdings* 1,000 24
Human Genome Sciences* (A) 325,300 2,066
ICU Medical* 500 15
Idexx Laboratories* 6,500 356
I-Flow* 71,585 666
Immucor* (A) 80,320 2,567
Incyte* 191,500 1,465
Indevus Pharmaceuticals* 305,000 1,022
Inspire Pharmaceuticals* 7,400 26
Integra LifeSciences Holdings* (A) 8,068 355
InterMune* (A) 21,000 359
Intuitive Surgical* 200 48
Invitrogen* 3,600 136
IPC The Hospitalist* 39,747 1,021
Isis Pharmaceuticals* (A) 31,032 524
Kendle International* 3,100 139
KV Pharmaceutical, Cl A* (A) 23,843 541
Landauer 2,000 146
LHC Group* 49,560 1,411
Life Sciences Research* 8,900 312
Luminex* (A) 26,709 668
Martek Biosciences (A) 26,853 844
Masimo* (A) 16,900 629
Medarex* (A) 547,736 3,544
Medcath* 4,700 84
Medicines* 82,168 1,908
Medicis Pharmaceutical, Cl A (A) 68,400 1,020
Mentor 6,300 150
Meridian Bioscience 9,100 264
Merit Medical Systems* 80,275 1,507
Metabolix* (A) 90,400 984
Micrus Endovascular* (A) 98,857 1,379
Molina Healthcare* 1,900 59
Momenta Pharmaceuticals* (A) 59,050 774
MWI Veterinary Supply* 23,500 923
Myriad Genetics* (A) 34,530 2,240
National Healthcare 1,300 61
Natus Medical* 4,600 104
Nighthawk Radiology Holdings* 1,500 11
SEI Institutional Managed Trust / Annual Report / September 30, 2008
94
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Noven Pharmaceuticals* 4,900 $ 57
NuVasive* (A) 38,731 1,911
Obagi Medical Products* 33,500 334
Odyssey HealthCare* 118,300 1,201
Omnicell* 51,875 682
Omrix Biopharmaceuticals* (A) 26,284 472
Onyx Pharmaceuticals* (A) 22,246 805
Orthofix International* 24,080 449
OSI Pharmaceuticals* 27,800 1,370
Owens & Minor (A) 23,200 1,125
Pain Therapeutics* 11,000 107
Palomar Medical Technologies* 6,600 89
Par Pharmaceutical* 1,400 17
Parexel International* 74,030 2,122
PDL BioPharma* 47,478 442
Pediatrix Medical Group* 24,250 1,308
Perrigo 40,245 1,548
Pharmaceutical Product Development 1,000 41
PharmaNet Development Group* 4,800 35
PharMerica* 36,205 814
Phase Forward* 74,799 1,564
Pozen* (A) 195,149 2,051
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil) 132,700 1,090
Psychiatric Solutions* (A) 96,700 3,670
Qiagen* 49,392 975
Questcor Pharmaceuticals* 19,800 146
Quidel* (A) 26,600 437
Regeneron Pharmaceuticals* 28,100 613
Resmed* 19,521 839
Rigel Pharmaceuticals* (A) 116,012 2,709
RTI Biologics* 41,476 388
Salix Pharmaceuticals* 9,300 60
Savient Pharmaceuticals* (A) 6,500 97
Seattle Genetics* (A) 69,667 745
Sepracor* 33,200 608
Sequenom* (A) 8,500 226
Sirona Dental Systems* (A) 30,000 698
Somanetics* 4,500 98
STERIS 32,500 1,221
Sucampo Pharmaceuticals, Cl A* 5,300 45
Sun Healthcare Group* 59,100 866
SurModics* 6,500 205
Symmetry Medical* 1,800 33
Techne* 1,200 87
Theravance* (A) 98,975 1,233
Thoratec* 35,625 935
TomoTherapy* 78,120 358
TranS1* (A) 26,700 264
United Therapeutics* 20,365 2,142
Valeant Pharmaceuticals International* 4,100 84
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Viropharma* 23,400 $ 307
Vivus* (A) 41,800 332
Volcano* (A) 55,280 956
Waters* 1,200 70
West Pharmaceutical Services 12,342 603
Wright Medical Group* (A) 17,128 521
XenoPort* 32,022 1,553
Zoll Medical* 3,700 121
Zymogenetics* (A) 15,200 101
------------
123,742
------------
INDUSTRIALS -- 14.7%
AAON 12,400 226
Actuant, Cl A (A) 38,400 969
Acuity Brands (A) 18,700 781
Administaff 21,800 593
Advanced Battery Technologies* 13,800 45
Advisory Board* 3,400 103
Aegean Marine Petroleum Network 140,032 3,130
AerCap Holdings* 103,327 1,096
Aircastle (A) 18,800 186
Airtran Holdings* 124,700 303
Allen-Vanguard* 563,000 180
Altra Holdings* 35,100 518
American Railcar Industries (A) 7,900 127
American Superconductor* 1,400 33
Ameron International 3,700 265
Applied Signal Technology 10,000 174
Argon ST* 3,700 87
Arkansas Best 800 27
Astec Industries* 400 12
Axsys Technologies* 400 24
AZZ* 1,100 46
Badger Meter 1,000 47
Barnes Group 45,655 923
BE Aerospace* 41,400 655
Beacon Roofing Supply* (A) 44,605 697
Brady, Cl A 1,200 42
Briggs & Stratton 7,900 128
Bucyrus International, Cl A 30,900 1,381
CAI International* 35,000 387
Canadian Solar* (A) 59,400 1,160
Celadon Group* 39,079 448
Cenveo* (A) 30,800 237
Ceradyne* 4,500 165
Chart Industries* 82,925 2,368
China Architectural Engineering* 26,300 186
China Direct* (A) 7,500 32
China Fire & Security Group* (A) 11,600 122
CIRCOR International 21,198 921
Clarcor 20,155 765
Clean Harbors* 6,000 405
Columbus McKinnon* 28,600 674
SEI Institutional Managed Trust / Annual Report / September 30, 2008
95
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Comfort Systems USA 11,000 $ 147
Copa Holdings, Cl A 18,700 608
Corrections Corp of America* 49,982 1,242
CoStar Group* (A) 45,884 2,083
CRA International* 44,114 1,212
Crane 17,700 526
Cubic 1,700 42
Curtiss-Wright 500 23
Deluxe 2,600 37
Ducommun 600 14
Duff & Phelps* 6,200 130
Dycom Industries* 4,300 56
Dynamic Materials (A) 89,066 2,067
Eagle Bulk Shipping 3,200 45
EMCOR Group* 21,800 574
Energy Conversion Devices* (A) 25,081 1,461
Energy Recovery* (A) 60,639 582
EnerNOC* 52,500 543
EnerSys* (A) 22,445 442
EnPro Industries* (A) 13,800 513
ESCO Technologies* 2,200 106
Esterline Technologies* 18,645 738
Evergreen Solar* (A) 233,500 1,289
Expeditors International of Washington 42,900 1,495
Flow International* 1,800 9
Force Protection* (A) 197,500 529
Forward Air (A) 28,725 782
Franklin Electric 2,100 94
FTI Consulting* 6,100 441
Fuel Tech* (A) 51,100 924
Gardner Denver* 22,330 775
Genco Shipping & Trading (A) 18,700 622
Geo Group* (A) 69,365 1,402
GeoEye* 50,000 1,107
GrafTech International* (A) 96,310 1,455
Graham (A) 6,600 357
GT Solar International* (A) 92,700 1,006
H&E Equipment Services* (A) 109,300 1,056
Hawaiian Holdings* (A) 71,400 663
Healthcare Services Group (A) 41,972 768
Heartland Express 1,100 17
Heico, Cl A 36,728 1,031
Hexcel* 51,800 709
Horizon Lines, Cl A 101,660 1,003
Houston Wire & Cable (A) 9,900 170
HUB Group, Cl A* 30,120 1,134
Huron Consulting Group* 23,800 1,356
ICF International* 33,400 660
IHS, Cl A* 3,008 143
II-VI* 20,532 794
Innerworkings* 138,433 1,535
JA Solar Holdings ADR* 91,294 966
JB Hunt Transport Services 11,600 387
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Kaman 7,100 $ 202
Kansas City Southern* 32,410 1,438
Kaydon 21,300 960
Kforce* 12,100 124
Kirby* (A) 24,330 923
Knight Transportation 45,072 765
Knoll (A) 78,400 1,185
Ladish* 3,000 61
Landstar System 12,945 570
Layne Christensen* 3,700 131
Lindsay 300 22
Lydall* 7,400 71
Marten Transport* 3,400 66
MasTec* 73,170 972
Mcgrath Rentcorp 600 17
Metalico* 3,400 20
Met-Pro 2,200 32
Michael Baker* 9,400 327
Middleby* 4,300 234
Mine Safety Appliances 2,000 76
MPS Group* 26,033 262
Navigant Consulting* 3,100 62
NN 31,400 403
Nordson 400 20
Northwest Pipe* 11,445 499
Old Dominion Freight Line* 47,675 1,351
Orbital Sciences* 30,300 726
Orion Marine Group* 126,200 1,324
Pacer International 27,300 450
Perini* (A) 24,000 619
PRG-Schultz International* 28,300 254
Quanta Services* (A) 61,480 1,661
Raven Industries 16,930 666
Resources Connection* 43,060 970
Robbins & Myers 9,100 281
Rollins 11,000 209
RSC Holdings* (A) 224,600 2,551
Rush Enterprises, Cl A* 55,370 709
Ryder System 3,100 192
Sauer-Danfoss 8,500 210
Standard Parking* 54,155 1,203
Standard Register 5,900 58
Sun Hydraulics (A) 15,700 409
Sunpower, Cl B* 6,973 481
TAL International Group (A) 61,800 1,287
Taser International* 14,000 100
TBS International, Cl A* (A) 15,800 213
Team* 1,300 47
Teledyne Technologies* (A) 20,300 1,160
Tennant 1,200 41
Tetra Tech* (A) 50,429 1,213
Textainer Group Holdings 93,900 1,426
TransDigm Group* 29,435 1,008
Tredegar 3,100 55
SEI Institutional Managed Trust / Annual Report / September 30, 2008
96
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
United Stationers* 2,500 $ 120
Valmont Industries 400 33
Vitran* 36,250 488
Wabtec (A) 25,700 1,317
Waste Connections* 1,200 41
Watson Wyatt Worldwide, Cl A 45,210 2,248
Werner Enterprises 1,100 24
Woodward Governor (A) 18,900 667
Xerium Technologies (A) 69,600 448
------------
94,240
------------
INFORMATION TECHNOLOGY -- 24.0%
Acme Packet* 3,200 18
Actuate* 10,000 35
Adtran 3,700 72
Advanced Analogic Technologies* 117,300 545
Advanced Energy Industries* 61,318 839
Advent Software* (A) 28,900 1,018
Agilysys 1,700 17
Alvarion* 140,300 815
Amkor Technology* (A) 81,500 519
Ansys* 53,875 2,040
Applied Micro Circuits* 72,700 435
Ariba* (A) 71,317 1,008
Arris Group* 246,125 1,903
Art Technology Group* 356,584 1,255
Asyst Technologies* 418,900 1,005
Atheros Communications* (A) 154,470 3,642
Atmel* 201,335 683
ATMI* 86,742 1,560
Avocent* 1,300 27
Bankrate* (A) 54,424 2,118
Benchmark Electronics* 33,600 473
Blackboard* (A) 28,327 1,141
Blue Coat Systems* (A) 15,400 219
BluePhoenix Solutions* 111,100 391
BMC Software* 1,000 29
Cabot Microelectronics* 1,600 51
CACI International, Cl A* 10,900 546
Checkpoint Systems* 2,500 47
China Digital TV Holding ADR* 77,500 635
Ciena* (A) 48,700 491
Cirrus Logic* 5,900 32
Cogent* 12,400 127
Cognex 2,100 42
Coherent* 22,635 805
CommScope* 25,085 869
Commvault Systems* (A) 102,310 1,233
Compuware* 1,600 16
comScore* 111,342 1,963
Concur Technologies* (A) 26,547 1,016
Cree* (A) 22,500 513
CSG Systems International* 57,300 1,004
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
CTS 8,100 $ 104
Cybersource* (A) 90,285 1,454
Cymer* 500 13
Cypress Semiconductor* 25,430 133
Daktronics 4,700 78
DealerTrack Holdings* (A) 136,480 2,298
DemandTec* 1,700 15
Dice Holdings* 25,800 183
Digital River* (A) 23,900 774
Diodes* (A) 45,470 839
Dolby Laboratories, Cl A* 2,200 77
Double-Take Software* 1,700 17
DSP Group* (A) 226,800 1,735
DTS* 39,870 1,110
Earthlink* (A) 83,700 711
EFJ* (A) 117,900 147
Electronics for Imaging* 3,900 54
Elixir Gaming Technologies* 347,345 115
EMS Technologies* 10,400 232
Emulex* 15,200 162
Equinix* (A) 31,017 2,154
Euronet Worldwide* 79,745 1,334
Factset Research Systems (A) 18,935 989
FARO Technologies* 600 12
Flir Systems* 11,300 434
Formfactor* 1,800 31
Forrester Research* 500 15
Foundry Networks* 3,200 58
Greenfield Online* 1,400 24
GSI Commerce* (A) 76,175 1,179
Hackett Group* 4,200 23
Harmonic* 3,800 32
Harris Stratex Networks, Cl A* 194,500 1,519
Heartland Payment Systems 10,400 266
Hittite Microwave* 3,700 124
Hutchinson Technology* 50,900 589
Imation 61,700 1,394
Immersion* (A) 122,000 710
infoGROUP 10,000 66
Information Services Group* 108,680 533
Infospace 9,200 100
Integral Systems 75,330 1,565
InterDigital* 1,700 41
Intermec* 13,400 263
Interwoven* 3,300 47
IPG Photonics* 49,290 962
IXYS 7,800 71
j2 Global Communications* 33,900 792
JDA Software Group* (A) 141,300 2,149
Jupitermedia* 103,000 119
Kenexa* 31,000 489
Knot* (A) 256,379 2,141
Longtop Financial Technologies ADR* (A) 18,800 265
SEI Institutional Managed Trust / Annual Report / September 30, 2008
97
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
LoopNet* (A) 14,100 $ 139
Macrovision Solutions* 6,600 102
Mantech International, Cl A* 20,300 1,204
Marchex, Cl A (A) 138,700 1,427
MAXIMUS 700 26
Measurement Specialties* 1,200 21
Mentor Graphics* 43,300 491
MercadoLibre* 800 16
Micrel 4,300 39
Micros Systems* 1,600 43
Microsemi* (A) 97,569 2,486
MicroStrategy, Cl A* 1,800 107
MIPS Technologies* (A) 349,200 1,226
MKS Instruments* 27,478 547
Monolithic Power Systems* (A) 61,370 1,066
Move* 27,500 58
MTS Systems 500 21
Multi-Fineline Electronix* (A) 31,900 472
Net 1 UEPS Technologies* 85,167 1,902
Netgear* 84,000 1,260
Netlogic Microsystems* (A) 86,655 2,620
Netscout Systems* 28,900 307
NeuStar, Cl A* (A) 82,854 1,648
Neutral Tandem* 2,800 52
Novatel Wireless* (A) 230,517 1,397
Nuance Communications* (A) 77,018 939
NVE* 7,600 215
Omniture* (A) 153,919 2,826
ON Semiconductor* (A) 148,600 1,005
Open Text* (A) 32,215 1,114
OpenTV, Cl A* 15,500 22
OSI Systems* 50,400 1,185
Palm (A) 186,200 1,112
Parametric Technology* 8,100 149
Park Electrochemical (A) 50,600 1,227
Parkervision* (A) 136,800 1,368
Perfect World ADR* (A) 59,100 1,326
Perficient* 2,800 19
Pericom Semiconductor* 3,800 40
Phoenix Technologies* 5,700 46
Plantronics 400 9
Plexus* 2,900 60
PLX Technology* (A) 130,471 668
PMC - Sierra* (A) 296,955 2,203
Polycom* (A) 172,700 3,995
Power Integrations* 55,199 1,330
Presstek* (A) 75,722 427
QLogic* (A) 65,915 1,012
Quality Systems (A) 22,741 961
Rackable Systems* (A) 19,600 192
Radiant Systems* (A) 28,800 250
Red Hat* (A) 208,600 3,144
RF Micro Devices* (A) 293,100 856
Riverbed Technology* (A) 209,600 2,624
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Rogers* 1,000 $ 37
Rudolph Technologies* 200,800 1,683
S1* 43,500 266
Sapient* 119,700 889
SAVVIS* 62,130 835
Seachange International* 110,000 1,063
Silicon Image* (A) 102,000 545
Sina* 30,540 1,075
Skyworks Solutions* (A) 334,415 2,796
Sohu.com* (A) 23,645 1,317
Sonic Solutions* 5,900 26
Sonus Networks* 6,100 18
SPSS* (A) 19,400 570
SRA International, Cl A* 2,000 45
Standard Microsystems* 2,800 70
Starent Networks* 51,900 672
STEC* (A) 28,200 217
Stratasys* (A) 81,635 1,425
Super Micro Computer* 21,100 190
Switch & Data Facilities* 54,100 674
Sybase* (A) 108,810 3,332
Synaptics* 35,125 1,061
SYNNEX* 800 18
Syntel 30,400 745
Taleo, Cl A* 35,989 716
TechTarget* 36,105 253
Techwell* (A) 20,400 192
Tekelec* (A) 67,370 942
TeleCommunication Systems, Cl A* (A) 154,995 1,071
TeleTech Holdings* 700 9
Terremark Worldwide* 155,105 1,066
Tessera Technologies* 84,957 1,388
THQ* 92,254 1,111
TNS* 79,705 1,544
Trident Microsystems* 5,400 13
Trimble Navigation* 20,645 534
TriQuint Semiconductor* (A) 259,500 1,243
TTM Technologies* (A) 128,600 1,275
Tyler Technologies* 9,900 150
Ultimate Software Group* (A) 29,500 797
Ultratech* 43,000 520
United Online 6,400 60
Universal Display* (A) 80,100 877
Valueclick* (A) 13,400 137
Vasco Data Security International* (A) 61,333 635
Veeco Instruments* 4,800 71
Verigy* 2,869 47
Virtusa* (A) 34,638 225
VistaPrint* (A) 123,179 4,045
Volterra Semiconductor* (A) 91,125 1,160
Wind River Systems* 235,800 2,357
Zygo* 98,301 1,237
------------
154,183
------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
98
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
MATERIALS -- 3.7%
ADA-ES* (A) 26,700 $ 216
Alpha Natural Resources* (A) 16,035 825
AMCOL International (A) 37,500 1,172
Carpenter Technology 55,100 1,413
CF Industries Holdings 2,400 220
China Precision Steel* 34,300 114
Ferro (A) 26,500 533
Flotek Industries* 3,900 42
Frontera Copper (Canada)* 420,300 482
General Steel Holdings* (A) 49,800 356
Greif, Cl A 26,985 1,771
Grupo Simec ADR* 109,000 968
Horsehead Holding* 227,384 1,342
Innophos Holdings 38,795 946
Innospec 4,400 53
Intrepid Potash* 23,000 693
Katanga Mining (Canada)* 174,700 826
Koppers Holdings (A) 35,045 1,311
Olin (A) 57,475 1,115
Olympic Steel 6,100 180
OM Group* 50,000 1,125
Quaker Chemical 13,500 384
Royal Gold 1,500 54
RTI International Metals* 31,100 608
Schnitzer Steel Industries, Cl A 22,000 863
ShengdaTech* (A) 13,800 97
Sherritt International (Canada) 96,600 517
Silgan Holdings 26,085 1,333
Terra Industries (A) 20,700 609
Universal Stainless & Alloy* 42,500 1,086
Western Goldfields* 875,600 1,313
Westlake Chemical 36,075 759
Zep 27,200 480
------------
23,806
------------
TELECOMMUNICATION SERVICES -- 2.4%
Atlantic Telegraph-Network 4,700 132
Cbeyond* (A) 41,022 590
Centennial Communications* (A) 206,400 1,288
Clearwire, Cl A* (A) 142,900 1,698
Fairpoint Communications (A) 163,800 1,420
Globalstar* (A) 455,000 773
NTELOS Holdings (A) 72,710 1,955
Premiere Global Services* 56,400 793
SBA Communications, Cl A* (A) 143,669 3,717
Sierra Wireless* 95,000 947
Syniverse Holdings* 93,850 1,559
tw telecom inc, Cl A* 42,835 445
USA Mobility 2,700 30
----------
15,347
----------
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
UTILITIES -- 0.8%
Allete 500 $ 22
Black Hills 800 25
Cascal 39,800 418
Cia de Saneamento de Minas
Gerais-COPASA (Brazil) 108,400 1,135
ITC Holdings 43,699 2,263
National Fuel Gas 1,000 42
PNOC Energy Development (Phillippines) 12,377,500 1,053
------------
4,958
------------
Total Common Stock
(Cost $735,710)($ Thousands) 627,389
------------
EXCHANGE TRADED FUND -- 0.1%
Midcap SPDR Trust Series 1 5,930 782
------------
Total Exchange Traded Fund
(Cost $878) ($ Thousands) 782
------------
PREFERRED STOCK -- 0.1%
FINANCIALS -- 0.1%
East West Bancorp (C) 662 582
------------
Total Preferred Stock
(Cost $662) ($ Thousands) 582
------------
Number of
Warrants
------------
WARRANTS -- 0.1%
Oilsands
Quest
Expires 12/05/09* 17,500 13
Rentech
Expires 04/25/12* (B)(F) 19,400 8
Titanium Asset Management
Expires 06/21/11* 147,800 200
Victory Acquisition Expires 04/30/11* 157,010 71
------------
Total Warrants
(Cost $266) ($ Thousands) 292
------------
CONVERTIBLE BOND -- 0.1%
Nova BioSource CV to 273.2240
10.000%, 09/30/12 $ 1,926 573
------------
Total Convertible Bond
(Cost $1,926)($ Thousands) 573
------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
99
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Concluded)
September 30, 2008
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------------------------------------------- ------------- -------------
CORPORATE OBLIGATION -- 0.1%
FINANCIALS -- 0.1%
Scorpio Mining PIPE
7.000%, 05/05/11 (B) (F) $ 462 $ 387
------------
Total Corporate Obligation
(Cost $453) ($ Thousands) 387
------------
AFFILIATED PARTNERSHIP -- 32.1%
SEI Liquidity Fund, L.P.,
2.590%**++ (D) 209,560,464 206,214
------------
Total Affiliated Partnership
(Cost $209,560) ($ Thousands) 206,214
------------
CASH EQUIVALENTS -- 2.3%
Merrill Lynch EBP Master, 1.670%** 1,451,522 1,452
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 2.350%**++ 13,469,520 13,470
------------
Total Cash Equivalents
(Cost $14,922) ($ Thousands) 14,922
------------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills
1.657%, 11/20/08 (C) (E) 1,655 1,655
------------
Total U.S. Treasury Obligation
(Cost $1,651)($ Thousands) 1,655
------------
Total Investments -- 132.9%
(Cost $966,028)($ Thousands) $ 852,796
============
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ------------- ------------ ---------- -------------
Russell 2000 Index E-MINI 121 Dec-2008 $ (268)
=============
Description
- -----------------------------------------------
Percentages are based on Net Assets of $641,625 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affilated Security (see Note 3).
(A) This Security or a partial position of this security is on loan at
September 30, 2008 (see Note 7). The total market value of securities on
loan at September 30, 2008 was $204,338 ($ Thousands).
(B) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total market value of
such securities as of September 30, 2008 was $2,767 ($ Thousands) and
represented 0.43% of Net Assets.
(C) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(D) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2008 was $206,214 ($ Thousands).
(E) The rate reported is the effective yield at time of purchase.
(F) Securities considered illiquid and restricted. The total market value of
such securities as of September 30, 2008 was $2,767 ($ Thousands) and
represents 0.43% of Net Assets.
(G) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may not be sold to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
ADR -- American Depositary Receipt
Cl -- Class
CV -- Convertible Security
L.P. -- Limited Partnership
PIPE -- Private Investment in Public Entity
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
100
Tax-Managed Small Cap Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Information Technology 17.4%
Industrials 16.4%
Financials 14.6%
Consumer Discretionary 12.7%
Health Care 12.5%
Energy 5.8%
Afffilated Partnership 5.4%
Materials 4.2%
Utilities 4.0%
Consumer Staples 3.4%
Short-Term Investment 1.7%
Telecommunication Services 1.7%
U.S. Treasury Obligation 0.2%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK -- 97.8%
CONSUMER DISCRETIONARY -- 13.4%
Aaron Rents 18,795 $ 509
Abercrombie & Fitch, Cl A 600 24
Advance Auto Parts 17,600 698
Aeropostale* 1,500 48
American Axle & Manufacturing Holdings 4,900 26
American Eagle Outfitters 23,150 353
American Greetings, Cl A 20,800 318
Ameristar Casinos 5,000 71
AnnTaylor Stores* 23,000 475
Apollo Group, Cl A* 3,500 208
Arbitron 2,400 107
ArvinMeritor 21,100 275
Autoliv 16,000 540
Autonation* (A) 8,315 93
Bally Technologies* 3,600 109
Barnes & Noble 3,200 83
Beazer Homes USA (A) 6,200 37
Bed Bath & Beyond* 2,100 66
Belo, Cl A 28,600 170
Big Lots* 22,215 618
Black & Decker 11,000 668
Blue Nile* (A) 5,100 219
Blyth 2,500 28
Bob Evans Farms 4,700 128
Bon-Ton Stores (A) 9,300 25
BorgWarner 12,200 400
Brookfield Homes 2,600 37
Brunswick 22,200 284
Cabela's* 2,900 35
Cablevision Systems, Cl A 17,500 440
California Pizza Kitchen* 2,600 33
Callaway Golf 26,000 366
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Career Education* 3,700 $ 60
Carmax* (A) 2,100 29
Carter's* 26,900 531
Cato, Cl A 35,350 620
CBRL Group 9,800 258
CEC Entertainment* 8,500 282
Centex 23,200 376
Central European Media Enterprises, Cl A* 1,300 85
Cheesecake Factory* 26,900 393
Chico's FAS* 95,700 523
Chipotle Mexican Grill, Cl A* (A) 10,100 560
Choice Hotels International 1,300 35
Christopher & Banks 4,200 32
Churchill Downs 900 44
Cinemark Holdings 18,600 253
CKE Restaurants 2,700 29
Coinstar* 2,000 64
Coldwater Creek* 6,500 38
Collective Brands* 4,000 73
Columbia Sportswear (A) 1,200 50
Cooper Tire & Rubber 7,700 66
Corinthian Colleges* 50,765 761
CROCS* (A) 96,200 344
Crown Media Holdings, Cl A* 7,300 37
Dana Holding* 4,900 24
Deckers Outdoor* 5,800 604
DeVry 1,400 69
Dick's Sporting Goods* 10,400 204
Dollar Tree* 4,700 171
Domino's Pizza* 5,000 61
Dover Downs Gaming & Entertainment 4,100 32
DreamWorks Animation SKG, Cl A* 8,325 262
DSW, Cl A* 2,600 36
Ethan Allen Interiors 1,200 34
Expedia* 9,900 150
Family Dollar Stores 13,700 325
Finish Line, Cl A 26,110 261
Fisher Communications 900 35
Fossil* 28,900 816
Fred's, Cl A 2,900 41
Fuel Systems Solutions* 7,355 253
GameStop, Cl A* 2,206 75
Gaylord Entertainment* 1,700 50
Gentex 5,300 76
Goodyear Tire & Rubber* 19,600 300
Group 1 Automotive 1,700 37
Guess? 17,100 595
Gymboree* 2,300 82
Hanesbrands* 12,730 277
Harman International Industries 902 31
Harte-Hanks 10,200 106
Hasbro 11,500 399
SEI Institutional Managed Trust / Annual Report / September 30, 2008
101
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- ------------- -------------
Hearst-Argyle Television (A) 6,600 $ 147
Heelys* 7,100 32
Helen of Troy* 2,200 50
Hillenbrand 3,500 71
Hooker Furniture 17,800 316
HOT Topic* 6,900 46
Hovnanian Enterprises, Cl A* 5,300 42
HSN* 1,900 21
Iconix Brand Group* (A) 4,600 60
Insight Enterprises* 26,100 350
Interactive Data 900 23
Interval Leisure Group* 1,900 20
iRobot* 900 13
ITT Educational Services* 2,459 199
J Crew Group* (A) 17,200 491
Jack in the Box* 8,300 175
Jakks Pacific* 16,800 418
Jarden* 3,521 83
Jones Apparel Group 24,122 446
Journal Communications, Cl A 39,400 192
KB Home 3,100 61
K-Swiss, Cl A 3,200 56
Lamar Advertising, Cl A* (A) 7,400 229
Landry's Restaurants 3,200 50
Lear* 15,700 165
Lee Enterprises (A) 6,400 22
Life Time Fitness* 1,000 31
Limited Brands 20,300 352
Live Nation* 40,695 662
Liz Claiborne 4,600 76
LKQ* 46,157 783
Lululemon Athletica* (A) 11,100 256
Martha Stewart Living Omnimedia, Cl A* (A) 39,600 337
Matthews International, Cl A 3,200 162
MDC Holdings 1,100 40
Mediacom Communications, Cl A* 6,100 36
Men's Wearhouse 3,000 64
Meredith 1,600 45
Modine Manufacturing 22,000 319
Morgans Hotel Group* 5,500 60
Morningstar* 400 22
National CineMedia 34,030 376
NetFlix* (A) 18,830 581
New York* 3,500 33
NVR* 700 400
Office Depot* 5,500 32
OfficeMax 29,100 259
O'Reilly Automotive* 2,900 78
Orient-Express Hotels, Cl A 5,459 132
Pacific Sunwear of California* 5,200 35
Panera Bread, Cl A* (A) 7,565 385
Papa John's International* 1,400 38
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- ------------- -------------
Penn National Gaming* 8,600 $ 229
Phillips-Van Heusen 24,800 940
Pinnacle Entertainment* 2,900 22
Polaris Industries (A) 14,900 678
Polo Ralph Lauren 9,100 606
Pool (A) 7,300 170
Pre-Paid Legal Services* 800 33
priceline.com* 12,755 873
Quiksilver* 113,500 651
RadioShack 17,100 295
Raser Technologies* (A) 6,400 54
Regal Entertainment Group, Cl A 16,300 257
Regis 4,100 113
Rent-A-Center* 6,086 136
RHI Entertainment* 33,200 495
Ross Stores 15,920 587
Ruby Tuesday* 34,800 201
Ryland Group 2,100 56
Saks* (A) 5,000 46
Sally Beauty Holdings* 4,200 36
Sauer-Danfoss 4,211 104
Scholastic 17,700 455
Scientific Games, Cl A* 30,954 713
Sealy (A) 10,300 67
Service International 3,400 28
Sinclair Broadcast Group, Cl A 2,700 14
Skechers U.S.A., Cl A* 2,500 42
Snap-On 7,360 389
Sonic* 3,500 51
Sonic Automotive, Cl A 12,800 108
Sotheby's 4,700 94
Stage Stores 25,300 346
Stamps.com* 4,400 51
Standard-Pacific 7,100 35
Stewart Enterprises, Cl A 4,300 34
Strayer Education 1,500 301
Systemax 2,300 32
Talbots (A) 7,810 102
Tempur-Pedic International 3,600 42
Texas Roadhouse, Cl A* 3,400 31
Thor Industries (A) 1,500 37
Ticketmaster* 1,900 20
Tiffany 13,100 465
Tractor Supply* 5,700 240
Tupperware Brands 19,760 546
Ulta Salon Cosmetics & Fragrance* 2,500 33
Under Armour, Cl A* 650 21
Universal Electronics* 2,400 60
Urban Outfitters* 14,300 456
Vail Resorts* (A) 1,400 49
Warnaco Group* 2,110 96
Warner Music Group 71,500 543
Weight Watchers International 7,500 275
SEI Institutional Managed Trust / Annual Report / September 30, 2008
102
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Wet Seal, Cl A* 36,470 $ 132
Whirlpool 8,500 674
Williams-Sonoma (A) 40,300 652
WMS Industries* 26,350 806
Wolverine World Wide 2,000 53
Wynn Resorts 800 65
Zale* (A) 11,105 278
Zumiez* 1,800 30
-----------
42,860
-----------
CONSUMER STAPLES -- 3.6%
Alberto-Culver 24,400 665
American Italian Pasta, Cl A* (A) 6,300 105
American Oriental Bioengineering* 25,000 162
Avon Products 5,452 227
Bare Escentuals* 26,200 285
BJ's Wholesale Club* 11,400 443
Boston Beer, Cl A* 800 38
Casey's General Stores 900 27
Central Garden and Pet, Cl A* 24,141 144
Chattem* (A) 7,800 610
Church & Dwight 4,400 273
Constellation Brands, Cl A* 32,100 689
Corn Products International 3,864 125
Dean Foods* 20,300 474
Del Monte Foods 3,900 30
Diamond Foods 1,900 53
Flowers Foods 15,335 450
Fresh Del Monte Produce* 5,400 120
Hain Celestial Group* 40,900 1,126
Hansen Natural* 2,325 70
J&J Snack Foods 2,100 71
Lancaster Colony 1,000 38
Lance 1,400 32
Longs Drug Stores 700 53
Molson Coors Brewing, Cl B 14,200 664
Nash Finch 11,300 487
NBTY* 1,200 35
Pepsi Bottling Group 14,200 414
PepsiAmericas 9,200 191
Pilgrim's Pride 8,000 20
Prestige Brands Holdings* 5,100 45
Ralcorp Holdings* 12,600 849
Ruddick 20,167 654
SUPERVALU 20,900 454
Tootsie Roll Industries 3,000 87
TreeHouse Foods* 4,800 143
Tyson Foods, Cl A 2,200 26
United Natural Foods* 1,600 40
Universal 6,600 324
Vector Group 3,255 57
Village Super Market, Cl A 3,200 153
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- ------------- -------------
WD-40 900 $ 32
Weis Markets 1,000 36
Whole Foods Market (A) 26,200 525
-----------
11,546
-----------
ENERGY -- 6.2%
APCO Argentina 1,000 28
Arch Coal 1,600 53
Arena Resources* 750 29
Atlas America 1,000 34
ATP Oil & Gas* 4,575 81
Atwood Oceanics* 18,600 677
Basic Energy Services* 3,100 66
Berry Petroleum, Cl A 10,390 402
Bill Barrett* 1,000 32
BPZ Resources* 4,500 77
Brigham Exploration* 2,200 24
Bristow Group* 3,700 125
Cal Dive International* 32,300 342
Cameron International* 2,950 114
CARBO Ceramics 1,200 62
Cimarex Energy 8,800 430
Complete Production Services* 7,240 146
Concho Resources* 29,400 812
Consol Energy 1,600 73
Core Laboratories 5,055 512
Crosstex Energy 1,100 27
Denbury Resources* 9,000 171
Dresser-Rand Group* 18,340 577
Dril-Quip* 1,200 52
Encore Acquisition* 1,400 58
Energy XXI Bermuda 66,570 202
ENSCO International 1,800 104
EOG Resources 800 72
EXCO Resources* 20,090 328
Exterran Holdings* 1,052 34
FMC Technologies* 17,020 792
Forest Oil* 4,159 206
Foundation Coal Holdings 6,325 225
Frontline (A) 5,300 255
General Maritime 1,400 27
GeoMet* 4,900 27
Global Industries* 47,300 328
GMX Resources* 1,075 51
Goodrich Petroleum* 8,000 349
Grey Wolf* 12,000 93
Gulf Island Fabrication 1,200 41
Gulfmark Offshore* 1,000 45
Gulfport Energy* 2,200 22
Harvest Natural Resources* 2,600 26
Helix Energy Solutions Group* 10,400 253
Helmerich & Payne 10,000 432
Hercules Offshore* 22,000 334
SEI Institutional Managed Trust / Annual Report / September 30, 2008
103
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Hess 3,400 $ 279
Holly 1,100 33
Hornbeck Offshore Services* 900 35
Hugoton Royalty Trust 3,850 103
ION Geophysical* 46,800 665
Lufkin Industries 1,100 87
Mariner Energy* 10,874 223
Massey Energy 3,069 109
McMoRan Exploration* (A) 3,710 88
Meridian Resource* 6,600 12
National Oilwell Varco* 4,000 201
Newfield Exploration* 3,400 109
Nordic American Tanker Shipping 1,100 35
Oceaneering International* 6,650 355
Oil States International* 1,300 46
Overseas Shipholding Group 6,800 397
Patriot Coal* 480 14
Patterson-UTI Energy 20,500 410
Peabody Energy 2,400 109
Penn Virginia 5,600 299
PetroHawk Energy* 31,300 677
Petroleum Development* 2,950 131
Pioneer Drilling* 6,800 90
Plains Exploration & Production* 3,625 127
Quicksilver Resources* 1,300 26
Range Resources 4,200 180
Rosetta Resources* 4,100 75
Rowan 13,700 419
RPC 3,375 47
SEACOR Holdings* 6,000 475
Smith International 1,079 63
Southwestern Energy* 2,000 61
Stone Energy* 2,664 113
Sunoco 11,600 413
Superior Energy Services* 14,000 436
Swift Energy* 16,500 638
Tesoro 32,600 538
Tetra Technologies* 33,850 469
Tidewater 10,720 593
Transmontaigne Partners 600 13
Ultra Petroleum* 900 50
Unit* 12,805 638
USEC* 51,000 276
W&T Offshore 2,250 61
Whiting Petroleum* 1,000 71
Willbros Group* 1,900 50
Williams 2,985 71
-----------
19,660
-----------
FINANCIALS -- 15.3%
1st Source 1,900 45
Abington Bancorp 3,900 39
Acadia Realty Trust+ 2,000 51
Market Value
Description Shares ($ Thousands)
- -------------------------------------------- ------------- -------------
Advance America Cash Advance Centers 34,500 $ 103
Advanta, Cl B 4,900 40
Affiliated Managers Group* 11,700 969
Alexander's*+ 100 40
Alexandria Real Estate Equities+ 200 23
Allied Capital (A) 16,900 183
Allied World Assurance Holdings 1,800 64
AMB Property+ 3,900 177
American Campus Communities+ 1,200 41
American Financial Group 33,300 982
AmeriCredit* (A) 30,500 309
Anchor Bancorp Wisconsin 4,100 30
Annaly Capital Management+ 12,000 161
Anthracite Capital+ 6,300 34
Anworth Mortgage Asset+ 57,200 339
AON 4,000 180
Apollo Investment* 3,700 63
Argo Group International Holdings* 4,300 158
Aspen Insurance Holdings 21,400 589
Associated Banc-Corp (A) 13,100 261
Assurant 7,300 402
Assured Guaranty 2,700 44
Astoria Financial 31,218 647
Bancfirst 700 34
Banco Latinoamericano de Exportaciones, Cl E 31,500 454
Bancorpsouth 3,200 90
Bank Mutual 7,000 79
Bank of Hawaii 900 48
Beneficial Mutual Bancorp* 9,000 114
BioMed Realty Trust+ 800 21
BlackRock 896 174
Blackstone Group 59,400 911
Boston Private Financial Holdings 39,000 341
Brandywine Realty Trust+ 7,000 112
BRE Properties, Cl A+ 400 20
Capital City Bank Group 1,400 44
Capital Southwest 300 43
Capitol Federal Financial 7,310 324
CapLease+ 2,500 20
Capstead Mortgage+ 4,000 44
Cash America International 1,000 36
Castlepoint Holdings 5,600 62
Cathay General Bancorp (A) 5,900 140
CB Richard Ellis Group, Cl A* 20,100 269
Cedar Shopping Centers+ 5,400 71
Central Pacific Financial 27,000 454
Chemical Financial 2,300 72
Cincinnati Financial 4,600 131
CIT Group 30,100 209
City Bank 1,732 27
City National 500 27
SEI Institutional Managed Trust / Annual Report / September 30, 2008
104
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Clifton Savings Bancorp 9,700 $ 116
CME Group 104 39
Cohen & Steers 3,100 88
Colonial BancGroup (A) 69,100 543
Columbia Banking System 528 9
Comerica 14,100 462
Commerce Bancshares 2,082 97
Corporate Office Properties Trust+ 700 28
Corus Bankshares 5,141 21
Cousins Properties+ 2,600 66
Cowen Group* 4,600 39
Credit Acceptance* 2,100 37
Cullen/Frost Bankers 4,300 258
CVB Financial (A) 7,500 104
Delphi Financial Group, Cl A 2,400 67
DiamondRock Hospitality+ 7,200 66
Discover Financial Services 6,800 94
Dollar Financial* 1,900 29
Douglas Emmett+ 15,500 358
E*Trade Financial* (A) 26,200 73
East West Bancorp (A) 30,900 424
EastGroup Properties+ 1,200 58
Eaton Vance 5,879 207
eHealth* 380 6
EMC Insurance Group 3,520 105
Employers Holdings 5,700 99
Encore Capital Group* 10,300 141
Endurance Specialty Holdings 1,100 34
Enstar Group* 400 39
Entertainment Properties Trust+ 800 44
Equity Lifestyle Properties+ 2,800 148
Equity One+ 2,800 57
Everest Re Group 9,500 822
Extra Space Storage+ 10,200 157
FBL Financial Group, Cl A 3,700 103
FBR Capital Markets*+ 7,400 48
FCStone Group* 4,000 72
Federal Realty Investment Trust+ 300 26
FelCor Lodging Trust+ 12,200 87
Financial Federal 22,500 516
Financial Institutions 1,900 38
First American 32,300 953
First Commonwealth Financial 18,500 249
First Financial Bancorp 10,800 158
First Financial Bankshares 1,500 79
First Horizon National 8,966 84
First Industrial Realty Trust+ (A) 3,700 106
First Niagara Financial Group 2,600 41
First Potomac Realty Trust+ 1,100 19
FirstMerit 3,300 69
Flagstone Reinsurance Holdings 4,400 45
Flushing Financial 1,500 26
Franklin Street Properties+ 8,800 114
Frontier Financial (A) 4,200 56
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Fulton Financial 20,400 $ 223
Getty Realty+ 3,100 69
GLG Partners 4,300 23
Greenhill (A) 5,300 391
Hancock Holding 3,600 184
Hanmi Financial 8,900 45
Hanover Insurance Group 33,191 1,512
Harleysville Group (A) 3,500 132
Harleysville National 3,300 56
Hatteras Financial+ 2,500 58
HCC Insurance Holdings 21,900 591
Health Care+ 2,100 112
Healthcare Realty Trust+ 3,100 90
Hersha Hospitality Trust+ 57,600 429
Highwoods Properties+ 600 21
Hilb Rogal & Hobbs 2,300 108
Hilltop Holdings* 13,000 134
Hospitality Properties Trust+ 23,100 474
HRPT Properties Trust+ 112,900 778
Hudson City Bancorp 5,600 103
Huntington Bancshares (A) 34,000 273
IBERIABANK 700 37
Infinity Property & Casualty 1,000 41
Inland Real Estate+ 10,200 160
IntercontinentalExchange* 1,235 100
Investment Technology Group* 1,100 33
Investors Real Estate Trust+ 11,900 133
IPC Holdings 18,700 565
Janus Capital Group 6,400 155
Jefferies Group (A) 22,800 511
Jones Lang LaSalle 1,800 78
Kearny Financial 6,100 75
Keycorp 20,900 250
Kilroy Realty+ 4,375 209
Knight Capital Group, Cl A* 2,300 34
LandAmerica Financial Group 7,600 184
Lazard, Cl A 5,975 256
Leucadia National 1,000 45
Lexington Realty Trust+ 5,500 95
LTC Properties+ 2,900 85
Macerich+ 5,900 376
Markel* 500 176
Max Capital Group 2,000 46
MBIA (A) 27,500 327
MCG Capital 15,900 42
Meadowbrook Insurance Group 30,700 217
Medical Properties Trust+ 6,000 68
Meruelo Maddux Properties* 115,100 140
MF Global* 7,700 33
MFA Mortgage Investments+ 102,100 664
MGIC Investment 19,300 136
Mid-America Apartment Communities+ 1,300 64
Montpelier Re Holdings 31,600 522
SEI Institutional Managed Trust / Annual Report / September 30, 2008
105
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
MSCI, Cl A* 21,000 $ 504
NASDAQ Stock Market* 28,800 880
National Financial Partners 9,157 137
National Health Investors+ 11,500 393
National Retail Properties+ 3,000 72
Nationwide Financial Services, Cl A 10,300 508
Nationwide Health Properties+ 11,200 403
Navigators Group* 5,163 299
NBT Bancorp 3,100 93
Nelnet, Cl A 2,900 41
New York Community Bancorp 2,723 46
NewAlliance Bancshares 14,800 222
NewStar Financial* 8,700 70
Northfield Bancorp* 3,100 38
NorthStar Realty Finance+ 11,700 91
Northwest Bancorp 1,100 30
NYSE Euronext 1,375 54
Och-Ziff Capital Management Group, Cl A 26,900 314
Ocwen Financial* 7,500 60
Old National Bancorp 10,200 204
Old Republic International 27,375 349
Omega Healthcare Investors+ 7,100 140
optionsXpress Holdings 3,800 74
Pacific Capital Bancorp 3,200 65
PacWest Bancorp 1,900 54
Park National (A) 5,400 421
Parkway Properties+ 3,300 125
PartnerRe 700 48
PennantPark Investment 4,500 33
Penson Worldwide* 2,700 37
People's United Financial 22,324 430
PHH* 39,451 524
Phoenix 3,300 30
Piper Jaffray* 2,727 118
Platinum Underwriters Holdings 18,500 656
Popular (A) 23,100 191
Portfolio Recovery Associates* 900 44
Post Properties+ 1,600 45
Potlatch+ 900 42
ProAssurance* 3,500 196
Provident Bankshares (A) 28,790 280
PS Business Parks+ 1,800 104
Public Storage+ 3,275 324
Radian Group (A) 16,300 82
RAIT Financial Trust+ (A) 42,000 231
Ramco-Gershenson Properties+ 2,600 58
Rayonier+ 9,550 452
Realty Income+ (A) 7,400 189
Regions Financial 41,700 400
S&T Bancorp 5,300 195
Sandy Spring Bancorp 2,500 55
Saul Centers+ 1,300 66
South Financial Group (A) 14,900 109
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Sovran Self Storage+ 500 $ 22
St. Joe (A) 2,851 111
StanCorp Financial Group 8,800 458
State Auto Financial 1,400 41
State Street 452 26
Sterling Bancshares 42,495 444
Sterling Financial 12,700 184
Strategic Hotels & Resorts+ 13,400 101
Sun Communities+ 1,800 36
Sunstone Hotel Investors+ 25,800 348
Susquehanna Bancshares 5,100 100
SVB Financial Group* 2,600 151
SWS Group 7,600 153
Tanger Factory Outlet Centers+ 1,600 70
TCF Financial (A) 35,300 635
TD Ameritrade Holding* 8,829 143
Trustco Bank NY 23,500 275
Trustmark 1,800 37
UCBH Holdings (A) 95,200 610
UMB Financial 2,785 146
UnionBanCal 800 59
United Community Banks (A) 27,018 358
United Fire & Casualty 1,200 34
Unitrin 10,800 269
Universal Health Realty Income Trust+ 300 12
Unum Group 39,200 984
U-Store-It Trust+ 3,500 43
Validus Holdings 1,800 42
Ventas+ 1,400 69
Waddell & Reed Financial, Cl A 5,900 146
Washington Federal 7,000 129
Washington Real Estate Investment Trust+ 1,600 59
Westamerica Bancorporation (A) 1,200 69
Western Alliance Bancorp* (A) 7,000 108
Westfield Financial 2,625 27
Whitney Holding 24,800 601
WR Berkley 16,800 396
Zions Bancorporation (A) 18,000 697
-----------
48,651
-----------
HEALTH CARE -- 13.2%
Abaxis* 2,200 43
Accelrys* 51,000 280
Adolor* 5,900 20
Advanced Medical Optics* 32,800 583
Affymetrix* 70,900 549
Albany Molecular Research* 5,100 92
Alexion Pharmaceuticals* 9,690 381
Align Technology* 8,465 92
Allos Therapeutics* 3,500 26
Allscripts Healthcare Solutions* 2,500 31
SEI Institutional Managed Trust / Annual Report / September 30, 2008
106
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Alpharma, Cl A* 1,108 $ 41
Amedisys* (A) 8,400 409
American Medical Systems Holdings* 3,400 60
AMERIGROUP* 3,420 86
AmerisourceBergen 10,400 392
Amsurg* 4,200 107
Amylin Pharmaceuticals* 2,400 49
Analogic 1,574 78
Angiodynamics* 1,400 22
Applied Biosystems 14,865 509
Apria Healthcare Group* 21,400 390
Assisted Living Concepts, Cl A* 5,500 35
Barr Pharmaceuticals* 2,000 131
Beckman Coulter 3,600 256
Biogen Idec* 3,100 156
BioMarin Pharmaceuticals* 33,200 879
Bio-Rad Laboratories, Cl A* 900 89
Brookdale Senior Living (A) 1,700 37
Bruker BioSciences* 22,600 301
Cambrex* 86,000 529
Celera* 30,200 467
Celgene* 1,422 90
Cephalon* 3,321 257
Cerner* 400 18
Charles River Laboratories International* 3,550 197
Chemed 16,864 692
Community Health Systems* 20,900 613
Computer Programs & Systems 920 27
Conmed* 2,900 93
Cooper 37,835 1,315
Corvel* 693 20
Covance* 5,075 449
Coventry Health Care* 9,700 316
Cubist Pharmaceuticals* 71,100 1,581
CV Therapeutics* 3,800 41
Cyberonics* 12,450 212
Cypress Bioscience* 6,200 46
DaVita* 8,000 456
Dentsply International 29,220 1,097
Dionex* 800 51
Discovery Laboratories* 29,000 54
Eclipsys* 6,096 128
Edwards Lifesciences* 9,240 534
Endo Pharmaceuticals Holdings* 4,800 96
Enzo Biochem* 8,400 92
Enzon Pharmaceuticals* 2,600 19
eResearchTechnology* 11,148 133
ev3* 4,095 41
Exelixis* 14,300 87
Express Scripts* 5,350 395
Forest Laboratories* 4,975 141
Gen-Probe* 6,500 345
Gentiva Health Services* 10,910 294
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Genzyme* 3,102 $ 251
Geron* 8,900 35
Greatbatch* 12,200 299
GTx* 2,200 42
Haemonetics* 1,000 62
Halozyme Therapeutics* 5,900 43
Hanger Orthopedic Group* 15,725 274
Health Management Associates, Cl A* 64,400 268
Health Net* 38,125 900
Healthsouth* 7,900 146
Healthspring* 1,900 40
Healthways* 3,095 50
Henry Schein* 3,200 172
Hill-Rom Holdings 6,600 200
HLTH* 9,900 113
Hologic* 21,594 417
Human Genome Sciences* 14,800 94
Humana* 6,900 284
Idexx Laboratories* 5,100 279
Illumina* 15,040 610
Immucor* 8,150 260
IMS Health 15,900 301
Integra LifeSciences Holdings* 1,000 44
InterMune* (A) 2,500 43
Intuitive Surgical* 1,450 349
Inverness Medical Innovations* 16,900 507
Invitrogen* 6,100 231
Isis Pharmaceuticals* 3,900 66
Kendle International* 2,200 98
Kindred Healthcare* 3,327 92
Kinetic Concepts* 5,400 154
King Pharmaceuticals* 23,700 227
KV Pharmaceutical, Cl A* 1,900 43
Laboratory Corp of America Holdings* 6,500 452
Landauer 700 51
LCA-Vision 18,400 85
LHC Group* 3,000 85
LifePoint Hospitals* 11,175 359
Lincare Holdings* 9,200 277
Magellan Health Services* 18,893 776
Martek Biosciences 6,300 198
Masimo* 6,300 234
Medarex* 182,800 1,183
MedAssets* 14,100 243
Medicines* 5,800 135
Medicis Pharmaceutical, Cl A 28,600 426
Meridian Bioscience 5,000 145
Merit Medical Systems* 16,330 307
Metabolix* (A) 32,800 357
Millipore* 400 28
Molina Healthcare* 1,100 34
Momenta Pharmaceuticals* 13,485 177
SEI Institutional Managed Trust / Annual Report / September 30, 2008
107
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Mylan Laboratories* 24,700 $ 282
Myriad Genetics* 19,535 1,267
National Healthcare 1,600 75
Nektar Therapeutics* 9,000 32
Nighthawk Radiology Holdings* 3,400 25
NuVasive* 1,600 79
Omnicell* 1,831 24
Onyx Pharmaceuticals* 2,700 98
Orexigen Therapeutics* 3,800 41
OSI Pharmaceuticals* 6,818 336
Owens & Minor 3,085 150
Par Pharmaceutical* 3,870 48
Parexel International* 10,600 304
Patterson* 8,400 255
PDL BioPharma* 3,100 29
Pediatrix Medical Group* 11,000 593
PerkinElmer 14,400 360
Perrigo 12,805 492
Pharmaceutical Product Development 11,100 459
Pharmacopeia* 29,750 44
PharmaNet Development Group* 4,600 33
PharMerica* 31,000 697
Phase Forward* 3,300 69
PSS World Medical* (A) 1,400 27
Psychiatric Solutions* 17,870 678
Qiagen* 16,874 333
Quidel* 2,800 46
Resmed* 5,665 244
Salix Pharmaceuticals* 3,300 21
Savient Pharmaceuticals* 2,100 31
Sciele Pharma 1,800 55
Seattle Genetics* 3,800 41
Sirona Dental Systems* 25,859 602
Somanetics* 4,200 92
STERIS 2,400 90
SurModics* (A) 1,100 35
Symmetry Medical* 8,100 150
Techne* 3,000 216
Theravance* 5,100 64
Thermo Fisher Scientific* 3,400 187
Thoratec* 12,200 320
TranS1* 9,100 90
Universal Health Services, Cl B 1,614 90
Valeant Pharmaceuticals
International* 7,600 156
Varian* 14,100 605
Varian Medical Systems* 4,900 280
VCA Antech* 800 24
Vertex Pharmaceuticals* 1,300 43
Viropharma* 8,000 105
Vital Signs 1,400 103
Vnus Medical Technologies* 4,400 92
Volcano* 15,590 270
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Waters* 2,025 $ 118
Watson Pharmaceuticals* 27,800 792
WellCare Health Plans* 5,975 215
West Pharmaceutical Services 1,200 59
Wright Medical Group* 2,900 88
XenoPort* 700 34
Zoll Medical* 3,100 101
Zymogenetics* 7,700 51
------------
41,936
------------
INDUSTRIALS -- 17.3%
AAON 1,500 27
Actuant, Cl A 34,452 870
Acuity Brands 8,300 347
Advisory Board* 7,900 238
AGCO* 10,970 467
Aircastle 16,800 166
Alaska Air Group* 13,800 281
Albany International, Cl A 11,084 303
Alexander & Baldwin 2,039 90
Alliant Techsystems* 688 65
Allied Waste Industries* 2,300 26
Amerco* 441 18
American Reprographics* 2,700 47
American Superconductor* (A) 2,800 66
Ametek 750 31
Ampco-Pittsburgh 8,000 207
AO Smith 12,200 478
Apogee Enterprises 2,300 35
Applied Industrial Technologies 1,050 28
Arkansas Best 7,200 243
Atlas Air Worldwide Holdings* 800 32
Avis Budget Group* 9,700 56
Baldor Electric 1,300 37
Barnes Group 1,900 38
BE Aerospace* 15,300 242
Beacon Roofing Supply* 19,350 302
Blount International* 2,475 28
BlueLinx Holdings (A) 9,000 48
Bowne 23,500 271
Brady, Cl A 1,600 56
Briggs & Stratton (A) 29,100 471
Brink's 29,085 1,775
Bucyrus International, Cl A 8,220 367
C.H. Robinson Worldwide 1,800 92
Ceradyne* 2,000 73
Chart Industries* 17,320 495
China Architectural Engineering* 4,100 29
Clarcor 1,600 61
Clean Harbors* 500 34
CNH Global 3,060 67
Columbus McKinnon* 3,049 72
SEI Institutional Managed Trust / Annual Report / September 30, 2008
108
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Copa Holdings, Cl A 1,900 $ 62
Copart* 9,600 365
Corrections Corp of America* 14,800 368
CoStar Group* 1,500 68
Crane 19,300 573
Cummins 13,900 608
Curtiss-Wright 9,500 432
Danaos 11,000 163
Delta Air Lines* 10,700 80
Deluxe 44,200 636
Donaldson 600 25
Dun & Bradstreet 7,949 750
Dycom Industries* 10,200 133
Dynamic Materials 10,300 239
Eagle Bulk Shipping 5,900 82
EMCOR Group* 6,414 169
Energy Conversion Devices* 5,780 337
EnerSys* 9,200 181
Ennis 2,900 45
EnPro Industries* 14,100 524
Equifax 8,417 290
ESCO Technologies* 11,410 550
Esterline Technologies* 8,100 321
Evergreen Solar* (A) 86,700 479
Expeditors International of Washington 15,800 550
Fastenal 1,200 59
Federal Signal 2,400 33
Flowserve 2,900 257
Forward Air 1,500 41
Franklin Electric 800 36
FTI Consulting* 11,200 809
G&K Services 1,000 33
Gardner Denver* 27,570 957
GATX 5,100 202
GenCorp* 12,925 87
General Cable* 2,639 94
Geo Group* 5,488 111
Goodrich 10,257 427
Gorman-Rupp 1,250 47
Graco 500 18
GrafTech International* 34,995 529
Graham 600 32
Granite Construction 14,400 516
GT Solar International* 34,400 373
H&E Equipment Services* 7,475 72
Harsco 3,600 134
Heartland Express 1,800 28
Herman Miller 2,700 66
Hexcel* 21,000 287
HNI 2,000 51
HUB Group, Cl A* 18,010 678
Hubbell, Cl B 23,900 838
Huron Consulting Group* 400 23
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
IHS, Cl A* 10,500 $ 500
II-VI* 1,200 46
IKON Office Solutions 3,300 56
Interline Brands* 2,100 34
ITT 8,300 462
Jacobs Engineering Group* 3,949 214
JB Hunt Transport Services 18,900 631
John Bean Technologies* 779 10
Joy Global 5,800 262
Kaman 2,407 69
Kansas City Southern* 24,580 1,090
Kaydon 13,400 604
KBR 19,100 292
Kelly Services, Cl A 17,900 341
Kennametal 900 24
Kirby* 24,999 948
Knoll 2,900 44
Korn/Ferry International* 2,200 39
Ladish* 25,717 521
Landstar System 3,200 141
Lennox International 20,800 692
Lincoln Electric Holdings 6,295 405
Lydall* 4,500 43
Manitowoc 14,900 232
Manpower 5,600 242
MasTec* 2,500 33
Mcgrath Rentcorp 1,200 35
Milacron* 7,436 8
Mine Safety Appliances 11,100 423
Monster Worldwide* 11,200 167
Moog, Cl A* 2,300 99
MPS Group* 3,000 30
MSC Industrial Direct, Cl A 1,200 55
Mueller Industries 24,300 559
Navistar International* 3,600 195
NCI Building Systems* 900 29
Nordson 1,000 49
Northwest Airlines* 10,900 98
Old Dominion Freight Line* 1,850 52
Orbital Sciences* 25,900 621
Oshkosh Truck 10,200 134
Otter Tail 2,200 68
Owens Corning* 8,930 214
Pall 36,450 1,254
Perini* 4,600 119
Pike Electric* 2,500 37
Quanex Building Products 2,700 41
Quanta Services* 40,936 1,106
RBC Bearings* 1,200 40
Regal-Beloit 8,100 344
Republic Airways Holdings* 3,600 37
Resources Connection* 52,449 1,182
Robert Half International 1,300 32
Rollins 22,600 429
SEI Institutional Managed Trust / Annual Report / September 30, 2008
109
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Roper Industries 500 $ 28
RR Donnelley & Sons 1,500 37
RSC Holdings* 9,000 102
Ryder System 42,770 2,652
School Specialty* 900 28
Seaboard 89 112
Shaw Group* 1,100 34
Skywest 2,400 38
Southwest Airlines 19,500 283
Spirit Aerosystems Holdings, Cl A* 8,100 130
SPX 6,255 482
Standard Register 4,464 44
Steelcase, Cl A 43,200 464
Stericycle* 1,000 59
Sunpower, Cl A* (A) 15,800 1,121
Sunpower, Cl B* 1,344 93
Suntech Power Holdings ADR* 6,700 240
SYKES Enterprises* 39,684 871
TAL International Group 2,200 46
Tecumseh Products, Cl A* 18,100 453
Teledyne Technologies* 12,600 720
Teleflex 8,100 514
Tetra Tech* 5,700 137
Textainer Group Holdings 2,000 30
Textron 13,100 384
Thomas & Betts* 6,300 246
Timken 8,700 247
Toro 1,400 58
TrueBlue* 2,200 36
Twin Disc 1,305 18
UAL (A) 13,300 117
United Rentals* 15,149 231
United Stationers* 17,012 814
United Technologies 1,085 65
Universal Forest Products 2,200 77
URS* 8,900 326
UTI Worldwide 4,700 80
Viad 1,900 55
Vicor 3,100 28
Wabash National 22,200 210
Wabtec 10,137 519
Walter Industries 5,200 247
Waste Connections* 21,234 728
Waste Services* 4,300 32
Watsco 1,700 85
Watson Wyatt Worldwide, Cl A 30,445 1,514
Watts Water Technologies, Cl A 2,300 63
Woodward Governor 1,200 42
WW Grainger 10,900 948
YRC Worldwide* (A) 20,600 246
----------
55,113
----------
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
INFORMATION TECHNOLOGY -- 18.3%
3Com* 132,200 $ 308
ACI Worldwide* 2,700 47
Activision Blizzard* 23,965 370
Acxiom 27,648 347
Adtran 2,200 43
Advanced Analogic Technologies* 8,875 41
Advanced Energy Industries* 2,300 31
Advanced Micro Devices* 13,400 70
Advent Software* 10,600 373
Akamai Technologies* 9,806 171
Alliance Data Systems* 6,200 393
Alliance Semiconductor 32,500 24
Amkor Technology* 29,900 190
Anixter International* 6,400 381
Ansys* 10,000 379
Applied Micro Circuits* 29,825 178
Ariba* 8,700 123
ARM Holdings ADR 90,400 470
Arris Group* 80,600 623
Arrow Electronics* 1,000 26
Aruba Networks* 6,600 34
Aspen Technology* 3,200 41
Atheros Communications* 17,695 417
Atmel* 15,900 54
Autodesk* 1,000 34
Avanex* 14,520 68
Avid Technology* 1,700 41
Avnet* 29,600 729
BearingPoint* 75,000 39
Benchmark Electronics* 4,600 65
Black Box 8,000 276
Blackboard* 3,625 146
BMC Software* 4,600 132
Brightpoint* 2,705 19
Broadridge Financial Solutions 29,100 448
Brocade Communications Systems* 131,600 766
Brooks Automation* 3,800 32
Cabot Microelectronics* 5,200 167
CACI International, Cl A* 1,500 75
Cadence Design Systems* 33,800 228
Checkpoint Systems* 6,077 114
China Digital TV Holding ADR* 28,500 233
Ciena* 18,000 181
Cirrus Logic* 7,887 43
Citrix Systems* 5,621 142
Cognex 19,400 391
Cognizant Technology Solutions, Cl A* 7,100 162
Coherent* 5,745 204
CommScope* 1,000 35
Commvault Systems* 19,300 233
Computer Sciences* 9,800 394
SEI Institutional Managed Trust / Annual Report / September 30, 2008
110
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Comtech Telecommunications* 1,000 $ 49
Comverse Technology* 48,500 464
Convergys* 21,400 316
Cree* (A) 3,649 83
CSG Systems International* 22,634 397
CTS 47,450 606
Cybersource* 2,000 32
Cymer* 9,401 238
Cypress Semiconductor* 4,900 26
DealerTrack Holdings* 4,300 72
Diebold 6,875 228
Digital River* 9,800 318
Dolby Laboratories, Cl A* 12,000 422
DST Systems* 2,900 162
Echelon* 2,600 26
EchoStar, Cl A* 1,200 29
Electronics for Imaging* 9,790 136
Emulex* 800 9
Entegris* 3,000 15
Epicor Software* 4,600 36
Equinix* 4,400 306
Euronet Worldwide* 2,700 45
Exar* 4,100 31
F5 Networks* 2,000 47
Factset Research Systems 10,685 558
Fair Isaac 25,900 597
FEI* 2,700 64
Fidelity National Information Services 900 17
Flextronics International* 76,500 542
Flir Systems* 16,910 650
Formfactor* 3,700 64
Forrester Research* 900 26
Foundry Networks* 5,100 93
Gartner* 22,514 511
Gevity HR 48,900 356
Global Payments 800 36
Greenfield Online* 4,400 77
GSI Commerce* 88,832 1,375
Harris 800 37
Harris Stratex Networks, Cl A* 3,300 26
Heartland Payment Systems 16,935 433
Hewitt Associates, Cl A* 1,834 67
IAC* 4,750 82
Ikanos Communications* 45,600 90
Imation 6,600 149
Immersion* 45,800 267
Infinera* 9,000 86
Informatica* 2,900 38
Ingram Micro, Cl A* 1,200 19
Integral Systems 13,670 284
Integrated Device Technology* 42,900 334
InterDigital* 1,700 41
Intermec* 3,601 71
International Rectifier* 907 17
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Intersil, Cl A 52,600 $ 872
Intuit* 7,900 250
IPG Photonics* 4,400 86
Iron Mountain* 1,200 29
Isilon Systems* 16,100 71
Itron* 4,715 417
j2 Global Communications* 1,300 30
Jabil Circuit 3,200 31
Jack Henry & Associates 2,200 45
JDS Uniphase* 39,300 332
Juniper Networks* 2,654 56
Kenexa* 1,900 30
Keynote Systems* 34,400 456
Kulicke & Soffa Industries* 32,700 147
L-1 Identity Solutions, Cl 1* 2,300 35
Lam Research* 7,350 231
Lawson Software* 116,840 818
Lender Processing Services 11,450 349
Lexmark International, Cl A* 24,600 801
Linear Technology 4,400 135
Littelfuse* 2,200 65
LSI Logic* 60,300 323
Macrovision Solutions* 2,924 45
Manhattan Associates* 3,000 67
Mantech International, Cl A* 1,500 89
MAXIMUS 11,400 420
Maxwell Technologies* (A) 7,500 100
McAfee* 2,031 69
MEMC Electronic Materials* 2,925 83
Mentor Graphics* 10,200 116
Mercury Computer Systems* 38,800 345
Merrimac Industries* 6,300 34
Methode Electronics 33,500 299
Mettler Toledo International* 3,500 343
Micrel 8,400 76
Microsemi* 38,081 970
MicroStrategy, Cl A* 437 26
Microtune* 6,235 17
MKS Instruments* 22,400 446
ModusLink Global Solutions* 2,600 25
Molex 13,100 294
Monolithic Power Systems* 6,628 115
Move* 38,855 82
MSC.Software* 2,900 31
MTS Systems 2,419 102
National Instruments 1,300 39
NCR* 2,625 58
Ness Technologies* 2,600 30
Net 1 UEPS Technologies* 1,300 29
Netezza* 4,800 51
Netlogic Microsystems* 625 19
NeuStar, Cl A* 1,600 32
NIC 3,700 26
Novell* 4,200 22
SEI Institutional Managed Trust / Annual Report / September 30, 2008
111
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Omniture* 19,800 $ 364
Omnivision Technologies* 2,800 32
ON Semiconductor* 108,379 733
Open Text* (A) 10,985 380
Opnext* 6,800 31
Orckit Communications* 25,100 155
Park Electrochemical 1,900 46
Perfect World ADR* 13,165 295
Pericom Semiconductor* 2,100 22
Plantronics 1,600 36
Plexus* 1,200 25
PMC - Sierra* 94,700 703
Polycom* 81,300 1,880
Powerwave Technologies* 7,400 29
Progress Software* 1,200 31
QLogic* 22,265 342
Quest Software* 2,900 37
Radware* 18,900 157
Rambus* 2,400 31
RealNetworks* 15,150 77
Red Hat* 79,900 1,204
RF Micro Devices* 107,800 315
Riverbed Technology* 76,500 958
Rofin-Sinar Technologies* 3,600 110
S1* 3,900 24
SAIC* 2,800 57
Salesforce.com* 12,490 605
Sapient* 40,900 304
Satyam Computer Services ADR 4,000 65
SAVVIS* 5,000 67
Seachange International* 42,900 414
Seagate Technology 1,369 17
Semtech* 4,000 56
Silicon Laboratories* 13,850 425
Sina* 9,950 350
SkillSoft ADR* 141,895 1,484
Skyworks Solutions* 175,735 1,469
Sohu.com* 3,960 221
Solera Holdings* 38,803 1,114
Sonus Networks* 15,500 45
SRA International, Cl A* 1,500 34
Standard Microsystems* 748 19
Sun Microsystems* 39,900 303
Supertex* 900 25
Sybase* 3,000 92
Sycamore Networks* 11,300 36
Symyx Technologies* 3,703 37
Synaptics* 9,690 293
SYNNEX* 3,118 70
Synopsys* 3,053 61
Syntel 2,100 51
Take-Two Interactive Software 2,600 43
Tech Data* 1,600 48
Technitrol 22,300 330
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Tekelec* 45,400 $ 635
TeleCommunication Systems, Cl A* 26,075 180
TeleTech Holdings* 31,200 388
Teradata* 12,000 234
Teradyne* 18,600 145
Tessera Technologies* 3,100 51
THQ* 3,750 45
TIBCO Software* 77,700 569
TiVo* 4,100 30
TNS* 15,795 306
Trimble Navigation* 20,705 535
TriQuint Semiconductor* 102,500 491
Ultratech* 22,200 269
United Online 31,500 297
Universal Display* 28,200 309
Utstarcom* (A) 74,600 251
Valueclick* 12,600 129
Varian Semiconductor Equipment Associates* 5,575 140
Veeco Instruments* 7,471 111
VeriFone Holdings* 8,000 132
Verigy* 12,032 196
Verint Systems* 31,800 529
Viasat* 900 22
Vishay Intertechnology* 53,500 354
VistaPrint* 36,264 1,191
Volterra Semiconductor* 15,330 195
Wavecom ADR* 19,700 110
Websense* 3,400 76
Western Digital* 39,700 846
Wind River Systems* 39,200 392
Wright Express* 31,499 940
Zoran* 55,600 454
-----------
58,444
-----------
MATERIALS -- 4.5%
Airgas 9,870 490
Albemarle 10,000 308
Allegheny Technologies 1,200 35
Alpha Natural Resources* 9,465 487
Aptargroup 4,400 172
Ashland 8,725 255
Ball 16,900 667
Cabot 3,369 107
Carpenter Technology 2,653 68
Chemtura 61,500 280
Commercial Metals 1,400 24
Compass Minerals International 2,700 141
Constar International* 18,500 11
Crown Holdings* 54,800 1,217
Cytec Industries 21,600 840
Deltic Timber 700 45
Eastman Chemical 10,700 589
SEI Institutional Managed Trust / Annual Report / September 30, 2008
112
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Flotek Industries* (A) 4,000 $ 44
FMC 16,177 831
Glatfelter 2,300 31
Greif, Cl A 9,248 607
H.B. Fuller 1,400 29
Headwaters* 2,800 37
Hercules 10,400 206
Innophos Holdings 8,870 216
Innospec 3,300 40
International Flavors & Fragrances 500 20
Koppers Holdings 1,200 45
Lubrizol 14,300 617
MeadWestvaco 14,800 345
Minerals Technologies 500 30
Mosaic 500 34
Neenah Paper 1,942 38
NewMarket 792 42
Owens-Illinois* 4,877 143
Packaging Corp of America 900 21
PolyOne* 37,100 239
Reliance Steel & Aluminum 6,400 243
Rock-Tenn, Cl A 2,600 104
Rockwood Holdings* 7,800 200
Royal Gold 900 32
RTI International Metals* 2,600 51
Schnitzer Steel Industries, Cl A 300 12
Schulman A 13,800 273
Schweitzer-Mauduit International 1,500 28
Scotts Miracle-Gro, Cl A 10,300 243
Sensient Technologies 3,400 96
ShengdaTech* 2,600 18
Sigma-Aldrich 5,500 288
Silgan Holdings 14,010 716
Sims Group ADR 1,435 33
Smurfit-Stone Container* 40,800 192
Steel Dynamics 6,300 108
Temple-Inland 33,000 504
Terra Industries 23,900 703
Texas Industries 700 29
Titanium Metals (A) 32,800 372
United States Steel 2,200 171
Westlake Chemical 11,025 232
Worthington Industries 16,900 252
-----------
14,251
-----------
TELECOMMUNICATION SERVICES -- 1.8%
Alaska Communications Systems Group 19,670 241
American Tower, Cl A* 3,515 126
Centennial Communications* 56,500 353
CenturyTel 19,200 704
Clearwire, Cl A* (A) 56,900 676
Crown Castle International* 3,022 88
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Embarq 5,000 $ 203
Fairpoint Communications 9,637 84
General Communication, Cl A* 5,600 52
Global Crossing* 2,100 32
Iowa Telecommunications Services 6,215 116
NII Holdings* 40,600 1,540
NTELOS Holdings 16,025 431
SBA Communications, Cl A* 35,645 922
tw telecom inc, Cl A* 8,790 91
USA Mobility 3,575 39
Vonage Holdings* (A) 36,195 37
Windstream 2,200 24
-----------
5,759
-----------
UTILITIES -- 4.2%
AGL Resources 2,500 79
Allegheny Energy 1,500 55
Allete 2,400 107
Alliant Energy 13,278 428
Avista 3,700 80
Black Hills 4,385 136
California Water Service Group 1,400 54
Cascal 14,700 154
Centerpoint Energy 58,100 847
CH Energy Group 3,000 131
Cleco 1,200 30
CMS Energy 45,000 562
DPL 10,725 266
El Paso Electric* 2,000 42
Empire District Electric 11,631 248
Energen 13,500 611
EnergySouth 800 49
Equitable Resources 6,054 222
Hawaiian Electric Industries 6,200 180
Idacorp 3,100 90
Integrys Energy Group 10,060 503
ITC Holdings 3,684 191
Laclede Group 2,875 139
MDU Resources Group 12,640 367
MGE Energy 4,400 156
National Fuel Gas 2,400 101
New Jersey Resources 1,950 70
Nicor 7,200 319
NiSource 34,600 511
Northeast Utilities 4,000 103
Northwest Natural Gas 1,300 68
NorthWestern 16,125 405
NRG Energy* 1,200 30
Oneok 3,150 108
Ormat Technologies 11,100 403
Pepco Holdings 500 11
Pinnacle West Capital 19,300 664
PNM Resources 7,152 73
SEI Institutional Managed Trust / Annual Report / September 30, 2008
113
Tax-Managed Small Cap Fund (Concluded)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Portland General Electric 4,670 $ 110
PPL 2,600 96
Puget Energy 16,000 427
Questar 1,500 61
Reliant Energy* 17,238 127
SCANA 29,147 1,136
Sempra Energy 2,800 141
Southern Union 24,600 508
Southwest Gas 12,850 389
UGI 14,600 376
UIL Holdings 1,533 54
Vectren 700 19
Westar Energy 21,600 498
WGL Holdings 1,100 36
Wisconsin Energy 17,200 773
-----------
13,344
-----------
Total Common Stock
(Cost $330,865) ($ Thousands) 311,564
-----------
PREFERRED STOCK -- 0.1%
FINANCIALS -- 0.1%
East West Bancorp (A) 215 189
-----------
Total Preferred Stock
(Cost $215) ($ Thousands) 189
-----------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Washington Mutual* (C) 124,600 11
-----------
Total Warrants
(Cost $29) ($ Thousands) 11
-----------
AFFILIATED PARTNERSHIP -- 5.6%
SEI Liquidity Fund, L.P., 2.590%**++ (D) 18,232,307 18,006
-----------
Total Affiliated Partnership
(Cost $18,232) ($ Thousands) 18,006
-----------
CASH EQUIVALENT -- 1.8%
SEI Daily Income Trust, Prime Obligation
Fund, Cl A, 2.350%**++ 5,784,576 5,785
-----------
Total Cash Equivalent
(Cost $5,785) ($ Thousands) 5,785
-----------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bills
1.657%, 11/20/08 (B) (E) $ 1,116 $ 1,116
-----------
Total U.S. Treasury Obligation
(Cost $1,114) ($ Thousands) 1,116
-----------
Total Investments -- 105.7%
(Cost $356,240) ($ Thousands) $ 336,671
===========
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 In the Notes to Financial Statements:
NUMBER OF UNREALIZED
CONTRACTS EXPIRATION DEPRECIATION
TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ---------------- ------------ ---------- -------------
Russell 2000 Index E-MINI 52 Dec-2008 $(100)
S&P Mid 400 Index E-MINI 46 Dec-2008 (115)
-----
$(215)
=====
Percentages are based on Net Assets of $318,520 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) This Security or a partial position of this security is on loan at
September 30, 2008 (see Note 7). The total market value of
securities on loan at September 30, 2008 was $18,009 ($ Thousands).
(B) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(C) This warrant represents a potential distribution settlement in a legal
claim and does not have a strike price or expiration date.
(D) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2008 was $18,006 ($ Thousands).
(E) The rate reported is the effective yield at time of purchase.
ADR -- American Depositary Receipt
Cl -- Class
L.P. -- Limited Partnership
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
114
Small/Mid Cap Diversified Alpha Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Mortgage-Backed Securities 16.1%
Financials 14.4%
Information Technology 10.9%
Industrials 10.2%
Health Care 9.7%
Short-Term Investment 9.2%
Consumer Discretionary 7.9%
Energy 5.3%
Materials 4.4%
Utilities 3.9%
Asset-Backed Securities 3.1%
Consumer Staples 1.9%
U.S. Government Agency Obligations 1.3%
Telecommunication Services 1.3%
U.S. Treasury Obligations 0.4%
Convertible Bond 0.0%
Warrants 0.0%
#Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK -- 84.9%
CONSUMER DISCRETIONARY -- 9.6%
1-800-FLOWERS.COM, Cl A* (A) 11,300 $ 68
Aaron Rents 3,600 97
Abercrombie & Fitch, Cl A 764 30
Advance Auto Parts (A) 6,346 252
Aeropostale* (A) 750 24
American Eagle Outfitters 10,300 157
AnnTaylor Stores* (A) 8,169 169
ArvinMeritor 2,633 34
Autoliv SDR 2,186 74
Bally Technologies* 82 2
Bed Bath & Beyond* 1,000 31
Belo, Cl A (A) 8,100 48
Big Lots* (A) 7,953 221
Black & Decker 1,138 69
Borders Group 3,921 26
BorgWarner 2,203 72
Brown Shoe 11,391 187
Buckle (A) 500 28
Cache* 900 6
Callaway Golf 3,250 46
Career Education* (A) 7,288 119
Carter's* 3,000 59
Casual Male Retail Group* 40,000 157
Cato, Cl A 18,000 316
CBRL Group 2,553 67
CEC Entertainment* (A) 6,521 216
Central European Media Enterprises, Cl A* 675 44
Charming Shoppes* 23,600 115
Childrens Place Retail Stores* (A) 500 17
Chipotle Mexican Grill, Cl A* 175 10
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Christopher & Banks 2,100 $ 16
Cinemark Holdings 6,162 84
CKE Restaurants 1,073 11
Cooper Tire & Rubber 2,100 18
Corinthian Colleges* 1,300 20
Cox Radio, Cl A* (A) 8,689 92
CSS Industries 1,504 39
Deckers Outdoor* 200 21
DeVry 700 35
DISH Network, Cl A* (A) 3,800 80
Dollar Tree* (A) 5,000 182
Dover Downs Gaming & Entertainment (A) 2,700 21
DreamWorks Animation SKG, Cl A* (A) 12,609 397
DSW, Cl A* 15,500 212
Dufry South America (United Kingdom) 9,000 75
Eddie Bauer Holdings* 28,700 154
Entercom Communications 7,864 39
Exide Technologies* 3,509 26
Family Dollar Stores (A) 6,900 164
FGX International Holdings* (A) 1,000 11
Finish Line, Cl A 9,259 92
Foot Locker 3,216 52
Fossil* 1,000 28
Fred's, Cl A 218 3
Fuel Systems Solutions* 1,400 48
Furniture Brands International 6,870 72
Genesco* (A) 2,825 95
Harman International Industries 415 14
Harris Interactive* 7,300 13
Harte-Hanks 2,600 27
Hasbro (A) 8,933 310
Hibbett Sports* 100 2
Hillenbrand 800 16
HOT Topic* 3,725 25
Hovnanian Enterprises, Cl A* 6 --
HSN* 1,365 15
Iconix Brand Group* 2,300 30
Interactive Data 2,989 75
Interpublic Group* 3,569 28
Interval Leisure Group* 1,365 14
iRobot* 400 6
ITT Educational Services* 930 75
Jones Apparel Group 4,553 84
Lear* (A) 3,300 35
Lee Enterprises 3,200 11
Lennar, Cl B* 100 1
Lennar, Cl A 5,366 82
Lin TV, Cl A* 989 5
LKQ* 2,100 36
M/I Homes (A) 1,700 39
SEI Institutional Managed Trust / Annual Report / September 30, 2008
115
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Matthews International, Cl A 1,214 $ 62
McClatchy, Cl A 4,900 22
Media General, Cl A (A) 3,000 37
Meredith (A) 2,765 78
Meritage Homes* 1,834 45
Morgans Hotel Group* 900 10
Morningstar* 175 10
NetFlix* (A) 3,775 117
New York* (A) 11,825 113
Nutri/System 67 1
NVR* (A) 205 117
O'Charleys (A) 6,618 58
Office Depot* 30,500 178
OfficeMax 18,200 162
O'Reilly Automotive* 1,406 38
Pacific Sunwear of California* 2,600 17
Penn National Gaming* 5,015 133
Perry Ellis International* (A) 4,200 63
Phillips-Van Heusen 2,800 106
Playboy Enterprises, Cl B* 536 2
priceline.com* 600 41
Pulte Homes (A) 6,822 95
RadioShack (A) 5,886 102
RC2* 1,300 26
RCN* (A) 1,700 21
Regis 5,900 162
Rent-A-Center* (A) 7,396 165
Retail Ventures* 26,000 101
Ross Stores (A) 6,472 238
Russ Berrie* 9,435 72
Ryland Group 900 24
Sauer-Danfoss 1,655 41
Scholastic 3,196 82
Shutterfly* 21,000 202
Snap-On (A) 2,100 111
Sotheby's 1,700 34
Stage Stores 1,500 20
Stamps.com* 2,200 26
Standard-Pacific 18,146 89
Stanley Works 285 12
Steven Madden* (A) 4,900 121
Strayer Education 400 80
Systemax 1,100 15
Talbots 5,195 68
Tecnisa (Brazil) 43,500 104
Thunderbird Resorts PIPE* (B) (C) (E) 15,300 138
Thunderbird Resorts PIPE* (B) (C) 1,700 15
Ticketmaster* 1,365 15
Titan International 75 2
Tractor Supply* (A) 2,176 92
TRW Automotive Holdings* (A) 7,000 111
Tupperware Brands (A) 1,100 30
Tween Brands* 5,671 56
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Under Armour, Cl A* 350 $ 11
Universal Electronics* 500 12
Urban Outfitters* 400 13
WABCO Holdings 1,004 36
Warnaco Group* (A) 3,165 143
Warner Music Group (A) 6,300 48
Weight Watchers International 2,287 84
Wolverine World Wide 3,112 82
Zumiez* (A) 5,072 84
-------
10,184
-------
CONSUMER STAPLES -- 2.3%
Asiatic Development (Malaysia) 119,500 160
Avon Products 2,815 117
BJ's Wholesale Club* (A) 2,895 113
Casey's General Stores 225 7
Central Garden and Pet, Cl A* 2,795 17
Chiquita Brands International* 4,148 66
Church & Dwight (A) 1,980 123
Constellation Brands, Cl A* 3,861 83
Corn Products International (A) 4,346 140
Cosan SA Industria e Comercio (Brazil)* 24,200 163
Darling International* (A) 16,683 185
Dean Foods* 4,342 101
Del Monte Foods 11,357 89
Diamond Foods (A) 600 17
Energizer Holdings* 6 --
Hansen Natural* 1,200 36
Herbalife (A) 1,100 43
Hormel Foods 1,862 68
Lance 8,400 191
Lorillard 2,187 156
NBTY* (A) 3,671 108
Pepsi Bottling Group (A) 2,500 73
Prestige Brands Holdings* 8,641 77
Ralcorp Holdings* (A) 2,539 171
Ruddick 78 3
Smithfield Foods* 2,575 41
Spartan Stores 1,600 40
Tyson Foods, Cl A 18 --
Universal 45 2
Zhongpin* (A) 2,900 31
-------
2,421
-------
ENERGY -- 6.4%
Allis-Chalmers Energy* (A) 5,600 71
Approach Resources* 2,805 41
Arena Resources* 400 16
Arlington Tankers 11,700 180
ATP Oil & Gas* 12,530 223
Basic Energy Services* 6,450 137
BPZ Energy PIPE* 10,100 174
SEI Institutional Managed Trust / Annual Report / September 30, 2008
116
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
BPZ Resources* 11,845 $ 204
Brigham Exploration* 1,100 12
Bristow Group* 1,000 34
Bronco Drilling* 2,800 29
Callon Petroleum* 1,305 24
Cameron International* 1,450 56
Cano Petroleum* 23,600 55
Carrizo Oil & Gas* 2,016 73
Cimarex Energy (A) 3,051 149
Clayton Williams Energy* (A) 1,300 92
Complete Production Services* (A) 9,850 198
Comstock Resources* 282 14
Denbury Resources* 3,500 67
Dresser-Rand Group* 2,145 68
Encore Acquisition* 1,642 69
Energy Partners* (A) 33,330 289
Energy XXI Bermuda 4,800 15
ENSCO International (A) 2,400 138
FMC Technologies* 1,259 59
Forest Oil* (A) 3,206 159
Foundation Coal Holdings (A) 3,634 129
GMX Resources* 550 26
Grey Wolf* (A) 12,934 101
Gulfport Energy* 1,100 11
Helix Energy Solutions Group* 1,250 30
Helmerich & Payne (A) 5,000 216
Hercules Offshore* 8,400 127
Hornbeck Offshore Services* 2,951 114
Hugoton Royalty Trust 1,950 52
Infinity Bio-Energy* 75,000 228
ION Geophysical* 4,887 69
Lufkin Industries (A) 1,419 113
Mahalo Energy* 33,500 38
Mariner Energy* (A) 8,938 183
Massey Energy (A) 6,638 237
Matrix Service* (A) 3,100 59
McMoRan Exploration* (A) 3,560 84
Meridian Resource* 3,300 6
Mitcham Industries* (A) 2,100 21
Newfield Exploration* 1,750 56
Oceaneering International* 1,075 57
Oilsands Quest* 30,700 92
Oilsands Quest PIPE* 3,500 10
OPTI (Canada)* 9,800 102
PetroHawk Energy* 900 19
Petroleum Development* 1,050 47
Plains Exploration & Production* (A) 3,400 120
PrimeEnergy * 517 38
Quicksilver Resources* 700 14
Rentech* 71,600 95
Rex Energy* 5,559 88
Rowan 2,342 72
StealthGas 13,000 176
Stone Energy* (A) 1,266 54
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Superior Energy Services* (A) 3,838 $ 120
Swift Energy* 6,875 266
T-3 Energy Services, Cl 3* 2,245 83
Tetra Technologies* (A) 2,350 33
Tidewater 880 49
Transmontaigne Partners 325 7
Unit* (A) 8,314 414
Uranium One (Canada)* 15,000 32
Uranium Participation (Canada)* 2,600 15
W&T Offshore (A) 3,819 104
Whiting Petroleum* 785 56
Willbros Group* 2,145 57
Williams 1,540 36
-------
6,802
-------
FINANCIALS -- 17.5%
Advance America Cash Advance Centers 9,791 29
Alexander's*+ 100 40
Alexandria Real Estate Equities+ 2,099 236
Allied World Assurance Holdings (A) 2,700 96
AMBAC Financial Group 4,681 11
American Financial Group (A) 9,961 294
AmeriCredit* 2,600 26
Amtrust Financial Services (A) 11,705 159
Annaly Capital Management+ (A) 14,018 189
Anthracite Capital+ (A) 18,900 101
Anworth Mortgage Asset+ (A) 71,923 426
AON 2,085 94
Apartment Investment & Management, Cl A+ (A) 1,511 53
Arch Capital Group* (A) 4,210 307
Aspen Insurance Holdings (A) 4,000 110
Associated Banc-Corp 5,514 110
Assurant 3,125 172
Astoria Financial (A) 4,700 97
Axis Capital Holdings (A) 2,200 70
Bancorpsouth (A) 5,019 141
Bank Mutual 2,600 30
Bank of Hawaii (A) 3,289 176
Bank of the Ozarks 3,190 86
Berkshire Hills Bancorp (A) 900 29
BGC Partners 9,768 42
BioMed Realty Trust+ 2,682 71
BlackRock 470 91
Brasil Brokers Participacoes* 20,000 62
Calamos Asset Management, Cl A 4,244 76
Canaccord Capital (Canada) 9,600 72
CapitalSource+ 1,082 13
Capitol Federal Financial 1,976 88
Capstead Mortgage+ 21,234 233
Cash America International (A) 5,913 213
Cathay General Bancorp 2,484 59
SEI Institutional Managed Trust / Annual Report / September 30, 2008
117
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Cedar Shopping Centers+ (A) 9,200 $ 122
Centerline Holding 100 --
Central Pacific Financial 4,112 69
Chimera Investment+ 6,121 38
CIT Group 3,300 23
City Bank 865 13
CME Group 90 33
CNA Surety* (A) 5,465 91
Colonial BancGroup 14,131 111
Colonial Properties Trust+ 5,700 107
Columbia Banking System 264 5
Commerce Bancshares (A) 2,243 104
Community Bank System 1,812 46
Companhia Brasileira de
Desenvolvimento Imobiliari
Turistico (Brazil)* 500 143
Compass Diversified Holdings 2,809 39
Corus Bankshares 2,570 10
Cullen/Frost Bankers 2,085 125
CVB Financial 3,800 53
Darwin Professional Underwriters* 2,459 76
Delphi Financial Group, Cl A (A) 2,979 84
Digital Realty Trust+ 2,310 109
Dime Community Bancshares 6,637 101
Discover Financial Services 3,400 47
Dollar Financial* 13,396 206
Dundee (Canada)+ 3,600 101
E*Trade Financial* 23,323 65
EastGroup Properties+ 500 24
Eaton Vance 4,623 163
eHealth* 200 3
EMC Insurance Group 1,815 54
Encore Capital Group* 1,923 26
Entertainment Properties Trust+ 1,060 58
Equity Lifestyle Properties+ 729 39
Evercore Partners, Cl A 9,100 164
FCStone Group* 2,000 36
Federated Investors, Cl B (A) 3,490 101
Fidelity National Financial, Cl A 4,578 67
Financial Federal 3,600 83
First Cash Financial Services* 4,332 65
First Commonwealth Financial 2,900 39
First Financial Bancorp 3,500 51
First Financial Bankshares 553 29
First Horizon National 7,136 67
First Midwest Bancorp 7,386 179
First Niagara Financial Group 1,300 20
First Potomac Realty Trust+ 5,075 87
FirstFed Financial* (A) 3,200 25
FirstMerit 5,304 111
Flushing Financial (A) 3,000 53
GAMCO Investors, Cl A (A) 400 24
General Shopping Brasil (Brazil)* 35,900 138
GLG Partners (A) 12,800 69
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Gluskin Sheff + Associates (Canada) 9,500 $ 138
GMP Capital Trust (Canada) 10,100 96
Greenhill (A) 1,545 114
Grubb & Ellis 55,000 149
Hallmark Financial Services* 6,741 61
Hancock Holding 3,882 198
Hanover Insurance Group 5,780 263
Hatteras Financial+ 5,000 116
Health Care+ (A) 9,366 499
Healthcare Realty Trust+ 1,305 38
Hersha Hospitality Trust+ (A) 34,400 256
Highbury Financial* 13,600 42
Highwoods Properties+ (A) 3,900 139
HRPT Properties Trust+ 4,800 33
Huntington Bancshares 4,021 32
IntercontinentalExchange* 580 47
Investment Technology Group* 5,899 180
Investors Bancorp* 39 1
Investors Real Estate Trust+ 17,500 196
Janus Capital Group (A) 4,614 112
Kansas City Life Insurance 2,900 133
KBW* 3,528 116
Kilroy Realty+ 1,300 62
Knight Capital Group, Cl A* (A) 11,045 164
LandAmerica Financial Group 700 17
Lazard, Cl A 2,550 109
Lexington Realty Trust+ (A) 8,300 143
LTC Properties+ 4,584 134
Macerich+ 441 28
Mack-Cali Realty+ (A) 3,300 112
MCG Capital 8,000 21
MFA Mortgage Investments+ 55,231 359
Mid-America Apartment Communities+ 719 35
Midwest Banc Holdings 2,620 10
MSCI, Cl A* 1,200 29
NASDAQ Stock Market* (A) 2,849 87
National City 466 1
National Financial Partners 2,885 43
National Health Investors+ 1,135 39
National Penn Bancshares 5,528 81
National Retail Properties+ 3,458 83
Nationwide Health Properties+ (A) 8,333 300
Navigators Group* 1,075 62
NBT Bancorp (A) 2,900 87
New York Community Bancorp 22,004 369
NewAlliance Bancshares 8,602 129
Northern Trust (A) 500 36
NorthStar Realty Finance+ (A) 30,925 240
NYSE Euronext 720 28
OceanFirst Financial (A) 1,400 25
Old National Bancorp 2,436 49
Omega Healthcare Investors+ (A) 6,226 122
One Liberty Properties+ (A) 1,100 19
SEI Institutional Managed Trust / Annual Report / September 30, 2008
118
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
optionsXpress Holdings (A) 4,083 $ 79
Oriental Financial Group (A) 7,400 132
PacWest Bancorp 2,238 64
Penson Worldwide* 300 4
People's United Financial 1,265 24
Philadelphia Consolidated Holding* 1,124 66
Platinum Underwriters Holdings 5,864 208
PMA Capital* (A) 3,100 27
Preferred Bank 143 2
Prosperity Bancshares 1,300 44
Provident Bankshares 4,054 39
PS Business Parks+ 96 6
Public Storage+ 1,650 163
Pzena Investment Management, Cl A (A) 3,600 34
RAIT Financial Trust+ 78 --
RAM Holdings* 10,700 18
Raymond James Financial (A) 3,824 126
Rayonier+ (A) 5,531 262
Realty Income+ 9,290 238
Republic Bancorp, Cl A (A) 2,200 67
Resource Capital+ (A) 5,500 33
S&T Bancorp 1,700 63
Sanders Morris Harris Group (A) 1,200 10
SCBT Financial 700 26
SLM* (A) 1,200 15
South Financial Group 7,238 53
Southside Bancshares (A) 935 24
St. Joe 1,485 58
StanCorp Financial Group (A) 2,100 109
Stifel Financial* (A) 4,813 240
Sun Bancorp* 105 1
Susquehanna Bancshares 1,400 27
SVB Financial Group* (A) 1,501 87
SWS Group 3,800 77
TD Ameritrade Holding* 4,430 72
Titanium Asset* 15,400 81
Torchmark 600 36
TradeStation Group* (A) 9,663 90
Transatlantic Holdings (A) 2,842 154
Tree.com* 72 --
Trustco Bank NY 8,100 95
Trustmark 2,830 59
UMB Financial 1,410 74
Uranium Participation* 18,400 107
U-Store-It Trust+ (A) 9,300 114
Valley National Bancorp (A) 6,300 132
Value Creation* (B) (C) 8,040 63
Ventas+ (A) 2,829 140
Waddell & Reed Financial, Cl A 2,519 62
Washington Federal 9,023 166
Webster Financial (A) 2,100 53
Weingarten Realty Investors+ 1,300 46
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Westamerica Bancorporation 600 $ 35
World Acceptance* 9,032 325
WR Berkley 1,927 45
WSFS Financial 847 51
XL Capital, Cl A (A) 5,100 91
Zions Bancorporation 5,449 211
-------------
18,508
-------------
HEALTH CARE -- 11.8%
Adolor* 2,900 10
Affymax* (A) 1,000 20
Affymetrix* (A) 5,600 43
Albany Molecular Research* 1,000 18
Align Technology* 1,855 20
Allos Therapeutics* 1,800 13
Alnylam Pharmaceuticals* (A) 3,409 99
Alpharma, Cl A* 570 21
Amedisys* 800 39
American Medical Systems Holdings* 2,195 39
AMERIGROUP* (A) 7,095 179
Amsurg* 9,222 235
Analogic 335 17
Angiodynamics* 3,200 51
Arena Pharmaceuticals* 33,000 165
Ariad Pharmaceuticals* 45,200 112
Array Biopharma* (A) 3,500 27
Assisted Living Concepts, Cl A* 1,640 10
Biogen Idec* 1,600 80
BioScrip* 10,538 31
Cantel Medical* 4,297 41
Caraco Pharmaceutical Laboratories* 99 1
Cardiac Science* 3,951 41
Centene* (A) 7,975 164
Cephalon* (A) 1,040 81
Charles River Laboratories International* 1,800 100
Chemed 2,334 96
Chindex International* 330 4
Computer Programs & Systems 1,545 45
Conmed* (A) 4,300 138
Cooper 895 31
Corvel* 2,544 73
Covance* 2,350 208
Cross Country Healthcare* 2,558 42
CryoLife* (A) 1,300 17
Cubist Pharmaceuticals* (A) 5,715 127
CV Therapeutics* (A) 21,900 237
Cyberonics* (A) 3,200 54
Cynosure, Cl A* (A) 4,200 75
Cypress Bioscience* 3,100 23
Datascope 974 50
Dentsply International (A) 5,500 206
Depomed* 12,402 45
Eclipsys* 2,035 43
SEI Institutional Managed Trust / Annual Report / September 30, 2008
119
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Edwards Lifesciences* (A) 1,000 $ 58
Emergency Medical Services, Cl A* (A) 3,400 102
Emergent Biosolutions* 7,767 102
Endo Pharmaceuticals Holdings* (A) 18,804 376
Enzo Biochem* 2,800 31
eResearchTechnology* 5,575 66
Exactech* (A) 800 18
Exelixis* (A) 38,300 233
Express Scripts* 1,975 146
Forest Laboratories* 2,550 72
Gen-Probe* 1,457 77
Genzyme* 1,555 126
GTx* (A) 3,000 57
Health Management Associates, Cl A* 10,663 44
Health Net* 5,350 126
HealthExtras* (A) 3,027 79
Healthsouth* 2,223 41
Healthways* 2,365 38
Henry Schein* 706 38
Hill-Rom Holdings (A) 6,700 203
Hologic* 3,346 65
Human Genome Sciences* (A) 32,200 204
Idexx Laboratories* 2,100 115
Illumina* (A) 650 26
Immucor* 3,100 99
IMS Health (A) 3,800 72
Incyte* 25,900 198
InterMune* (A) 2,900 50
Intuitive Surgical* 550 133
Invitrogen* 3,562 135
Isis Pharmaceuticals* 2,753 46
Kendle International* (A) 3,147 141
Kensey Nash* 1,642 52
Kindred Healthcare* (A) 7,510 207
Kinetic Concepts* (A) 5,555 159
King Pharmaceuticals* (A) 21,367 205
Laboratory Corp of America Holdings* 3,300 229
LHC Group* 2,826 80
LifePoint Hospitals* (A) 4,220 136
Lincare Holdings* (A) 8,637 260
Magellan Health Services* 3,520 145
Martek Biosciences (A) 3,000 94
Medical Action Industries* 200 3
Medicines* 7,700 179
Medicis Pharmaceutical, Cl A (A) 1,200 18
Meridian Bioscience 2,600 76
Merit Medical Systems* 900 17
Micrus Endovascular* 10,000 140
Molina Healthcare* 2,048 63
Neurocrine Biosciences* (A) 4,300 20
Nighthawk Radiology Holdings* 1,700 12
Odyssey HealthCare* 17,400 177
Omnicare (A) 4,500 129
Omnicell* 845 11
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
OSI Pharmaceuticals* (A) 5,048 $ 249
Owens & Minor (A) 3,940 191
Par Pharmaceutical* 815 10
Parexel International* 1,100 32
Patterson* (A) 3,685 112
PDL BioPharma* 1,743 16
Pediatrix Medical Group* 1,200 65
PerkinElmer 4,798 120
Perrigo 3,058 118
Pharmaceutical Product Development 2,600 108
PharmaNet Development Group* 2,360 17
Pozen* (A) 1,300 14
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil) 15,900 131
Quidel* 5,624 92
Regeneron Pharmaceuticals* (A) 2,800 61
Repligen* 500 2
Res-Care* 2,094 38
Resmed* 2,535 109
Rigel Pharmaceuticals* 11,900 278
Salix Pharmaceuticals* 1,600 10
Savient Pharmaceuticals* 1,000 15
Sirona Dental Systems* (A) 6,310 147
Somanetics* 5,156 113
STERIS (A) 1,100 41
Symmetry Medical* 600 11
Synta Pharmaceuticals* (A) 2,300 18
Techne* 1,500 108
Universal American Financial* 187 2
Universal Health Services, Cl B 3,165 177
Valeant Pharmaceuticals International* 800 16
Vertex Pharmaceuticals* (A) 3,000 100
Viropharma* (A) 16,518 217
Vital Signs 1,220 90
Warner Chilcott, Cl A* (A) 5,100 77
Waters* (A) 5,978 348
Watson Pharmaceuticals* (A) 10,732 306
WellCare Health Plans* 250 9
Zoll Medical* 700 23
-------------
12,491
-------------
INDUSTRIALS -- 12.4%
Actuant, Cl A (A) 8,893 224
Acuity Brands (A) 1,500 63
Administaff 100 3
Advisory Board* 1,557 47
AGCO* (A) 10,956 467
Aircastle 4,100 41
Alamo Group (A) 800 14
Albany International, Cl A 1,480 40
Alexander & Baldwin 1,010 44
Allen-Vanguard* 70,000 22
SEI Institutional Managed Trust / Annual Report / September 30, 2008
120
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Alliant Techsystems* (A) 2,045 $ 192
Allied Waste Industries* (A) 1,974 22
Altra Holdings* (A) 3,300 49
Amerco* 187 8
American Railcar Industries 1,411 23
AO Smith 1,570 62
Apogee Enterprises (A) 7,200 108
Applied Industrial Technologies 3,071 83
Applied Signal Technology (A) 1,100 19
Arkansas Best 1,115 38
Armstrong World Industries 1,000 29
Avis Budget Group* (A) 4,300 25
BE Aerospace* 4,363 69
Belden 3,182 101
Blount International* 1,275 14
Brady, Cl A 2,536 89
Briggs & Stratton 10,495 170
Brink's 8 --
Bucyrus International, Cl A (A) 1,600 71
C.H. Robinson Worldwide 900 46
Ceradyne* 1,000 37
Chart Industries* (A) 2,773 79
China Architectural Engineering* (A) 4,000 28
CIRCOR International (A) 600 26
Columbus McKinnon* (A) 3,800 90
Comfort Systems USA (A) 9,000 120
COMSYS IT Partners* (A) 1,100 11
Consolidated Graphics* 2,883 87
Continental Airlines, Cl B* 5,171 86
Corrections Corp of America* 9,138 227
CRA International* 6,927 190
Crane (A) 5,849 174
Curtiss-Wright 1,251 57
Deluxe 18 --
Dollar Thrifty Automotive Group* 11,052 21
Dover (A) 2,200 89
Duff & Phelps* (A) 1,300 27
Dun & Bradstreet 3,855 364
Dycom Industries* 8,060 105
Dynamic Materials 5,000 116
EMCOR Group* (A) 10,918 287
Encore Wire 1,500 27
Ennis 1,400 22
EnPro Industries* (A) 4,200 156
Equifax 3,825 132
ESCO Technologies* 875 42
Federal Signal (A) 5,600 77
Flowserve (A) 823 73
Force Protection* 27,200 73
Gardner Denver* (A) 5,033 175
GATX 800 32
GenCorp* 4,000 27
General Cable* 1,295 46
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Geo Group* 4,951 $ 100
GeoEye* 7,250 160
Gibraltar Industries (A) 4,500 84
Goodrich 1,250 52
GrafTech International* (A) 13,751 208
Graham 300 16
H&E Equipment Services* 16,980 164
Harsco (A) 2,600 97
Hawaiian Holdings* (A) 14,997 139
Heidrick & Struggles International 2,555 77
Herman Miller 2,482 61
Hertz Global Holdings* (A) 11,700 89
HNI 2,184 55
Houston Wire & Cable 1,971 34
Hubbell, Cl B (A) 1,845 65
Hubbell, Cl A 118 5
IKON Office Solutions (A) 6,023 102
Jacobs Engineering Group* 1,715 93
JB Hunt Transport Services 7,900 264
John Bean Technologies* 271 3
Joy Global 769 35
Kaman 1,245 35
Kansas City Southern* (A) 7,500 333
KBR (A) 1,100 17
Kennametal 400 11
Kirby* (A) 6,695 254
Korn/Ferry International* 40 1
Ladish* 1,200 24
Lennox International 1,222 41
Lincoln Electric Holdings (A) 4,199 270
Lydall* 2,200 21
Manitowoc (A) 2,700 42
Manpower 1,633 70
Marten Transport* 2,021 39
MasTec* (A) 16,301 217
Michael Baker* (A) 1,500 52
Navigant Consulting* 4,665 93
NCI Building Systems* (A) 3,200 102
Old Dominion Freight Line* 1,831 52
Orion Marine Group* 17,500 184
Oshkosh Truck 2,407 32
Pacer International (A) 10,977 181
Pall 7,409 255
Pentair 1,415 49
Perini* (A) 3,100 80
PowerSecure International* 200 1
PRG-Schultz International* (A) 2,400 22
Quanta Services* 7,440 201
Republic Airways Holdings* (A) 11,100 113
Robbins & Myers (A) 2,573 80
Rollins 100 2
RR Donnelley & Sons 540 13
RSC Holdings* (A) 21,100 240
SEI Institutional Managed Trust / Annual Report / September 30, 2008
121
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Rush Enterprises, Cl A* (A) 7,012 $ 90
Rush Enterprises, Cl B* 1,200 15
Ryder System (A) 9,531 591
School Specialty* 54 2
Shaw Group* (A) 2,097 64
Skywest (A) 4,035 64
Southwest Airlines 9,900 144
Spirit Aerosystems Holdings, Cl A* 4,050 65
SPX (A) 400 31
Standard Parking* 500 11
Standard Register 2,230 22
Standex International 2,421 67
Sunpower, Cl A* 1,075 76
Sunpower, Cl B* 360 25
TAL International Group 8,200 171
TBS International, Cl A* (A) 1,100 15
Tecumseh Products, Cl B* 3,200 72
Tecumseh Products, Cl A* 15 --
Teleflex 595 38
Textainer Group Holdings (A) 13,200 201
Toro 537 22
Trex Co* (A) 700 13
Trimas* 6,657 44
Twin Disc 1,209 17
United Rentals* 2,017 31
United Stationers* 4,795 229
United Technologies 510 31
Wabtec 3,460 177
Waste Connections* 1,985 68
Waste Services* (A) 1,800 13
Watson Wyatt Worldwide, Cl A (A) 3,546 176
Werner Enterprises 4,586 100
WESCO International* (A) 2,561 82
Xerium Technologies (A) 8,030 52
YRC Worldwide* 2,088 25
------------
13,160
------------
INFORMATION TECHNOLOGY -- 13.2%
3Com* 37,660 88
Activision Blizzard* (A) 6,688 103
ADC Telecommunications* (A) 15,118 128
Advanced Analogic Technologies* 4,455 21
Advanced Energy Industries* 6,360 87
Advanced Micro Devices* 6,800 36
Akamai Technologies* 3,775 66
Alliance Data Systems* (A) 2,000 127
Amkor Technology* (A) 13,500 86
Ansys* 2,900 110
Applied Micro Circuits* (A) 13,800 83
Ariba* 1,300 18
Arris Group* 20,626 159
Arrow Electronics* (A) 8,095 212
Asyst Technologies* 33,600 81
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Atmel* 99,231 $ 336
Avnet* 1,881 46
Avocent* (A) 8,288 170
Benchmark Electronics* (A) 15,587 219
Blackboard* 725 29
BMC Software* (A) 3,338 96
Brightpoint* 11,987 86
Broadridge Financial Solutions (A) 12,636 194
Cabot Microelectronics* 706 23
CACI International, Cl A* 1,267 63
Checkpoint Systems* 3,040 57
Ciena* 39 --
Cirrus Logic* 3,940 21
Citrix Systems* 1,695 43
Cognex 1,600 32
CommScope* (A) 900 31
Compuware* 3,500 34
Comtech Telecommunications* 1,074 53
Cree* 840 19
CSG Systems International* (A) 12,183 214
CTS 4,620 59
Cymer* 565 14
Cypress Semiconductor* 5,407 28
Dice Holdings* 4,542 32
Diebold 5,182 172
Digital River* (A) 4,071 132
Diodes* 5,986 110
Dolby Laboratories, Cl A* (A) 4,700 165
DSP Group* 35,803 274
DST Systems* 1,100 62
Earthlink* (A) 13,600 116
EFJ* 21,000 26
Electronics for Imaging* 3,770 53
Emulex* 200 2
Fair Isaac 2,708 62
Fairchild Semiconductor International* (A) 5,500 49
Flir Systems* 2,635 101
Global Cash Access Holdings* (A) 2,900 15
Harris (A) 1,800 83
Harris Stratex Networks, Cl A* 27,469 215
Heartland Payment Systems 2,690 69
Hewitt Associates, Cl A* (A) 4,806 175
Hutchinson Technology* 8,200 95
Hypercom* 8,836 35
IAC* 6,810 118
Imation 10,904 246
Integral Systems 1,100 23
Integrated Device Technology* (A) 37,735 294
Intermec* 1,040 20
International Rectifier* 510 10
Intersil, Cl A (A) 900 15
Intuit* 4,025 127
Itron* 1,265 112
SEI Institutional Managed Trust / Annual Report / September 30, 2008
122
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
IXYS 3,402 $ 31
j2 Global Communications* (A) 900 21
Jabil Circuit (A) 9,400 90
JDA Software Group* (A) 18,274 278
JDS Uniphase* (A) 9,829 83
Juniper Networks* 1,315 28
Jupitermedia* 19,300 22
Kenexa* (A) 4,000 63
Knot* 24,600 205
Lam Research* 2,900 91
Lexmark International, Cl A* (A) 5,886 192
Linear Technology 2,200 67
Lionbridge Technologies* 1,173 3
LSI Logic* (A) 32,300 173
LTX-Credence* 15,850 28
McAfee* 575 20
MEMC Electronic Materials* 625 18
Mentor Graphics* (A) 15,778 179
Metavante Technologies* (A) 5,500 106
Mettler Toledo International* (A) 3,483 341
Micrel 4,300 39
Micros Systems* 264 7
Microsemi* 3,350 85
MicroStrategy, Cl A* 1,522 91
Microtune* 3,110 8
MIPS Technologies* 36,500 128
ModusLink Global Solutions* 1,700 16
Monolithic Power Systems* 3,285 57
Move* 19,535 41
MTS Systems (A) 3,349 141
Multi-Fineline Electronix* (A) 5,600 83
National Semiconductor 3,574 62
NCR* 1,375 30
Net 1 UEPS Technologies* (A) 2,207 49
Netgear* 15,565 233
Netlogic Microsystems* 320 10
Novatel Wireless* 28,300 171
Nvidia* (A) 600 6
ON Semiconductor* 3,810 26
Open Text* 2,371 82
OSI Systems* 6,250 147
Palm 26,600 159
Parametric Technology* (A) 6,811 125
Park Electrochemical 8,000 194
Parkervision* 16,300 163
PC Connection* 5,373 36
Pegasystems 2,958 38
Plantronics 1,644 37
Plexus* 4,218 87
PMC-Sierra* 18,800 139
QLogic* (A) 12,900 198
RealNetworks* 2,575 13
Rogers* 369 14
Rudolph Technologies* 22,000 184
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
SAIC* (A) 8,835 $ 179
Salesforce.com* 965 47
Sapient* 4,491 33
Scansource* 24 1
Seachange International* 15,000 145
Secure Computing* 9,445 52
Silicon Laboratories* 1,200 37
Skyworks Solutions* (A) 5,500 46
Sohu.com* (A) 3,976 222
Standard Microsystems* 420 10
Sybase* (A) 14,638 448
Symyx Technologies* 1,845 18
Synaptics* (A) 949 29
SYNNEX* 685 15
Synopsys* (A) 12,079 241
Taleo, Cl A* 90 2
TeleCommunication Systems, Cl A* (A) 5,100 35
Teradata* 5,084 99
Teradyne* (A) 13,500 105
TIBCO Software* 5,000 37
TNS* (A) 5,000 97
Trimble Navigation* 1,600 41
TriQuint Semiconductor* (A) 18,526 89
TTM Technologies* 24,881 247
Tyler Technologies* 3,699 56
Ultratech* (A) 2,300 28
Unisys* 9,888 27
United Online (A) 4,399 41
Valueclick* (A) 1,100 11
Varian Semiconductor Equipment Associates* 1,725 43
Veeco Instruments* 3,190 47
VeriFone Holdings* 550 9
Vishay Intertechnology* 12,965 86
Websense* 925 21
Western Digital* (A) 2,600 55
Zebra Technologies, Cl A* 755 21
Zygo* 9,000 113
------------
14,051
------------
MATERIALS -- 5.4%
Airgas 4,058 201
AK Steel Holding (A) 1,400 36
Albemarle 2,612 81
AM Castle 4,073 70
AMCOL International 5,150 161
Ashland 4,425 129
Buckeye Technologies* (A) 10,100 83
Cabot 1,755 56
Carpenter Technology 10,583 271
Celanese, Ser A 2,204 62
Century Aluminum* 1,830 51
SEI Institutional Managed Trust / Annual Report / September 30, 2008
123
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Cincinnati Bell* 22,624 $ 70
Eastman Chemical 1,095 60
Ferro (A) 10,242 206
Flotek Industries* 2,000 22
FMC (A) 4,730 243
Frontera Copper (Canada)* 59,000 68
Glatfelter 5,555 75
Greif, Cl A 4,091 268
Grief, Cl B* 100 5
Grupo Simec ADR* 14,000 124
H.B. Fuller 6,555 137
Hercules 39 1
Horsehead Holding* 32,600 192
Innophos Holdings (A) 1,300 32
Innospec 1,700 21
James River Coal* 1,000 22
Katanga Mining (Canada)* 28,200 133
LSB Industries* 31 --
Lubrizol 561 24
Minerals Technologies (A) 1,400 83
Myers Industries 9,337 118
Nalco Holding 1,600 30
Neenah Paper 1,020 20
NewMarket 370 19
Olin (A) 12,805 248
Olympic Steel (A) 1,128 33
OM Group* 6,700 151
Owens-Illinois* (A) 4,849 143
Packaging Corp of America 3,400 79
Pactiv* 7,378 183
Reliance Steel & Aluminum (A) 4,893 186
Rock-Tenn, Cl A (A) 4,200 168
Rockwood Holdings* 400 10
RTI International Metals* 1,300 25
Schnitzer Steel Industries, Cl A 4,135 162
Scotts Miracle-Gro, Cl A 3,000 71
ShengdaTech* (A) 5,200 36
Sherritt International (Canada) 9,600 51
Silgan Holdings 2,540 130
Sonoco Products (A) 10,530 313
Terra Industries (A) 4,634 136
Titanium Metals 2,400 27
Universal Stainless & Alloy* (A) 6,000 153
US Concrete* 7,218 32
Western Goldfields* 117,000 176
Zep (A) 900 16
----------
5,703
----------
TELECOMMUNICATION SERVICES -- 1.6%
Alaska Communications Systems Group 8,755 107
Atlantic Telegraph-Network (A) 1,400 39
Centennial Communications* 32,000 200
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
CenturyTel (A) 6,310 $ 232
Embarq (A) 2,700 109
Fairpoint Communications 23,100 200
Globalstar* 60,300 103
Iowa Telecommunications Services 6,710 125
iPCS* 56 1
NTELOS Holdings (A) 4,935 134
Sierra Wireless* 18,500 184
Syniverse Holdings* (A) 8,700 145
tw telecom inc, Cl A* 4,390 47
USA Mobility 1,825 20
Vonage Holdings* 21,335 22
----------
1,668
----------
UTILITIES -- 4.7%
AES* (A) 9,300 109
AGL Resources 4,254 133
Alliant Energy (A) 3,475 112
Atmos Energy (A) 3,781 101
Avista (A) 4,100 89
Black Hills 1,385 43
Centerpoint Energy (A) 17,500 255
Cia de Saneamento de Minas
Gerais-COPASA (Brazil) 13,800 145
Cleco (A) 10,284 260
DPL 4,325 107
Edison International (A) 600 24
El Paso Electric* 800 17
Empire District Electric 2,900 62
Energen (A) 9,281 420
Equitable Resources 3,065 112
Great Plains Energy 1,837 41
Idacorp 4,541 132
Laclede Group 755 37
MDU Resources Group (A) 3,788 110
New Jersey Resources 5,519 198
Northeast Utilities 5,691 146
Northwest Natural Gas 4,016 209
NorthWestern 6,125 154
NRG Energy* (A) 500 12
OGE Energy 2,312 71
Oneok (A) 7,266 250
Pepco Holdings (A) 3,000 69
PNM Resources 860 9
Portland General Electric 5,357 127
Questar 800 33
Reliant Energy* 4,500 33
SCANA (A) 8,161 318
Sierra Pacific Resources 7,795 75
South Jersey Industries (A) 800 29
Southern Union 3,844 79
TECO Energy (A) 2,200 35
UGI (A) 9,789 252
SEI Institutional Managed Trust / Annual Report / September 30, 2008
124
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Vectren 7,948 $ 221
Westar Energy 1,748 40
WGL Holdings 780 25
Wisconsin Energy 6,620 297
----------
4,991
----------
Total Common Stock
(Cost $104,010) ($ Thousands) 89,979
----------
Number of
Warrants
------------
WARRANTS -- 0.0%
Oilsands Quest
Expires 12/05/09* 2,250 2
Rentech
Expires 04/25/12* (B) (C) 1,000 --
Titanium Asset Management
Expires 06/21/11* 8,400 11
----------
Total Warrants
(Cost $--) ($Thousands) 13
----------
MORTGAGE-BACKED SECURITIES -- 19.6%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 16.0%
FHLMC TBA
6.000%, 10/01/19 $ 2,000 2,031
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
5.000%, 08/01/35 3,649 801
FNMA TBA
6.000%, 10/20/21 8,000 8,148
5.500%, 10/15/22 to 10/01/38 4,800 4,832
FNMA CMO
5.000%, 11/25/25 240 241
FNMA CMO, Cl OC
6.000%, 10/25/33 297 302
FNMA CMO, Cl QA
6.000%, 01/25/29 453 461
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35 629 138
----------
16,954
----------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 3.6%
American Home Mortgage Investment
Trust, Ser 2004-3, Cl 2A
4.654%, 10/25/34 (D) 167 116
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 4A1
5.102%, 06/25/45 (D) 68 48
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A
5.350%, 11/25/08 (D) 478 318
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Bear Stearns Alternative Loan Trust,
Ser 2004-12, Cl 2A2
6.504%, 01/25/35 (D) $ 148 $ 130
Citigroup Mortgage Loan Trust,
Ser 2007-AR5, Cl 1A2A
5.609%, 04/25/37 (D) 379 283
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1
5.491%, 11/25/08 (D) 376 280
Countrywide Home Loans,
Ser 2007-HYB2, Cl 3A1
5.453%, 02/25/47 (D) 86 56
GS Mortgage Securities II,
Ser 2007-GG10, Cl A4
5.993%, 11/10/08 (D) 100 85
Impac Secured Assets CMO Owners
Trust, Ser 2007-2, Cl 1A1A
3.317%, 10/27/08 (D) 312 267
Impac Secured Assets CMO Owners
Trust, Ser 2007-3, Cl 1A1A
3.317%, 09/25/37 (D) 376 355
JP Morgan Chase Commercial Mortgage,
Ser 2006-CB17, Cl A4
5.429%, 12/12/43 200 173
Lehman XS Trust, Ser 2007-4N, Cl 1A1
3.337%, 03/25/47 (D) 300 155
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A
5.114%, 11/25/08 (D) 140 104
Morgan Stanley Mortgage Loan Trust,
Ser 2007-11AR, Cl 2A5
5.985%, 06/25/37 (D) 89 47
Morgan Stanley Mortgage Loan Trust,
Ser 2007-14AR, Cl 6A1
6.471%, 11/25/37 (D) 508 333
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2007-9, Cl 2A1
5.994%, 11/25/08 (D) 450 294
Structured Adjustable Rate Mortgage,
Ser 2006-3, Cl 2A1
5.965%, 04/25/36 (D) 412 303
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY4, Cl 1A1
5.542%, 11/25/08 (D) 321 237
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl 1A1
5.664%, 11/25/08 (D) 329 221
----------
3,805
----------
Total Mortgage-Backed Securities
(Cost $22,296) ($ Thousands) 20,759
----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
125
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
ASSET-BACKED SECURITIES -- 3.7%
MORTGAGE RELATED SECURITIES -- 1.2%
GMAC Mortgage Loan Trust,
Ser 2007-HE1, Cl A2
5.621%, 11/25/08 (D) $ 216 $ 136
Home Equity Mortgage Trust,
Ser 2007-2, Cl 2A1A
3.357%, 06/25/37 (D) 331 187
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A1
3.307%, 10/27/08 (D) 227 213
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1
3.327%, 10/27/08 (D) 312 273
Renaissance Home Equity Loan Trust,
Ser 2007-1, Cl AV1
3.337%, 04/25/37 (D) 243 232
Residential Funding Mortgage Securities,
Ser 2007-HI1, Cl A1
3.337%, 03/25/37 (D) 212 199
-----------
1,240
-----------
OTHER ASSET-BACKED SECURITIES -- 2.5%
Carrington Mortgage Loan Trust,
Ser 2007-FRE1, Cl A1
3.327%, 10/27/08 (D) 242 231
Countrywide Asset-Backed Certificates,
Ser 2007-BC1, Cl M1
3.457%, 05/25/37 (D) 400 69
Credit-Based Asset Servicing and
Securitization, Ser 2007-CB4,
Cl A1A
3.297%, 10/27/08 (D) 348 307
First Franklin Mortgage Loan Asset-
Backed Certificates,
Ser 2006-FF14, Cl A2
3.267%, 10/27/08 (D) 287 269
First Franklin Mortgage Loans,
Ser 2006-FF12, Cl A2
3.247%, 09/25/36 (D) 94 91
GSAMP Trust, Ser 2007-HE2, Cl A2A
2.592%, 10/27/08 (D) 235 220
Indymac Residential Asset-Backed
Trust, Ser 2007-A, Cl 2A1
3.337%, 04/25/47 (D) 197 190
Merrill Lynch Mortgage Investors,
Ser 2007-HE2, Cl A2A
3.327%, 10/27/08 (D) 271 253
RAAC Series, Ser 2007-SP1, Cl A1
3.357%, 10/27/08 (D) 204 182
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
Residential Asset Securities,
Ser 2007-KS3, Cl A1A
3.317%, 04/25/37 (D) $ 237 $ 226
Structured Asset Investment Loan
Trust, Ser 2003-BC4, Cl M2
6.207%, 10/27/08 (D) 51 37
Structured Asset Securities,
Ser 2007-EQ1, Cl A2
3.297%, 03/25/37 (D) 367 332
Wells Fargo Home Equity Trust,
Ser 2007-2, Cl A1
3.297%, 04/25/37 (D) 306 292
-----------
2,699
-----------
Total Asset-Backed Securities
(Cost $4,781) ($ Thousands) 3,939
-----------
CONVERTIBLE BOND -- 0.1%
Nova BioSource CV to 273.2240
10.000%, 09/30/12 (E) (F) 223 66
-----------
Total Convertible Bond
(Cost $221) ($ Thousands) 66
-----------
CORPORATE OBLIGATIONS -- 0.1%
FINANCIALS -- 0.1%
Discover Financial Services
6.450%, 06/12/17 10 7
Scorpio Mining PIPE
7.000%, 05/05/11 (B) (C) 52 44
-----------
Total Corporate Obligations
(Cost $62) ($ Thousands) 51
-----------
CASH EQUIVALENT -- 11.1%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 2.350%**++ 11,806,887 11,807
-----------
Total Cash Equivalent
(Cost $11,807) ($ Thousands) 11,807
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.6%
FNMA
5.500%, 11/01/22 500 503
2.068%, 11/07/08 (G) 950 948
2.611%, 02/02/09 (G) (H) 275 270
-----------
Total U.S. Government Agency Obligations
(Cost $1,754) ($ Thousands) 1,721
-----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
126
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
U.S. TREASURY OBLIGATIONS -- 0.5%
U.S. Treasury Bills
1.237%, 11/20/08 (H) $ 380 $ 380
1.442%, 10/16/08 (G) (H) 18 18
U.S. Treasury Bond TIPS
2.375%, 04/15/11 (H) 96 98
2.375%, 01/15/25 (H) 58 56
----------
Total U.S. Treasury Obligations
(Cost $552) ($ Thousands) 552
----------
Total Investments -- 121.6%
(Cost $145,483) ($ Thousands) $ 128,887
----------
COMMON STOCK SOLD SHORT -- (6.6)%
CONSUMER DISCRETIONARY -- (1.1)%
Arctic Cat (3,100) (28)
Audiovox, Cl A* (1,300) (12)
Cavco Industries* (1,910) (69)
Century Casinos* (84) --
Churchill Downs (600) (29)
Coinstar* (5) --
Coldwater Creek* (2,275) (13)
CPI (200) (2)
Dolan Media* (3,766) (38)
Dover Motorsports (8,271) (45)
Fisher Communications (1,366) (54)
Gaylord Entertainment* (700) (21)
Great Wolf Resorts* (11,371) (42)
Group 1 Automotive (4,300) (93)
K-Swiss, Cl A (7,100) (124)
Lakes Entertainment* (14,960) (98)
Leapfrog Enterprises* (6,024) (64)
Lifetime Brands (190) (2)
Lithia Motors, Cl A (1,800) (8)
MTR Gaming Group* (13,055) (43)
Penn National Gaming* (800) (21)
Pinnacle Entertainment* (2,100) (16)
Princeton Review* (5,306) (42)
Ruth's Chris Steak House* (62) --
Spartan Motors (4,828) (15)
Steak N Shake* (314) (3)
Texas Roadhouse, Cl A* (200) (2)
Universal Technical Institute* (5,400) (92)
Washington Post, Cl B (170) (95)
Wendy's/Arby's Group (1,613) (8)
Weyenberg Shoe (1,401) (47)
Woodbridge Holdings* (7,882) (22)
World Wrestling Entertainment, Cl A (2,650) (41)
----------
(1,189)
----------
CONSUMER STAPLES -- (0.3)%
Alico (153) (7)
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Andersons (1,278) $ (45)
Calavo Growers (5,366) (67)
Great Atlantic & Pacific Tea* (4,300) (47)
Smithfield Foods* (3,500) (56)
United Natural Foods* (3,500) (87)
----------
(309)
----------
ENERGY -- (0.4)%
CARBO Ceramics (2,600) (134)
Dril-Quip* (400) (17)
EXCO Resources* (2,900) (47)
Exterran Holdings* (700) (22)
Harvest Natural Resources* (11,100) (112)
Luby's* (2,700) (22)
OYO Geospace* (1,633) (64)
Rex Energy* (1,200) (19)
----------
(437)
----------
FINANCIALS -- (1.3)%
Apollo Investment* (5,200) (89)
Ares Capital (2,791) (29)
BankFinancial (2,481) (36)
Camden Property Trust+ (700) (32)
Cardinal Financial (74) (1)
Centerstate Banks of Fl* (2,741) (49)
Chemical Financial (2,406) (75)
Colonial Properties Trust+ (2,200) (41)
Cowen Group* (53) --
Deerfield Capital+ (171) --
Dime Community Bancshares (100) (2)
Fidelity National Financial, Cl A (100) (1)
Fresenius Kabi Pharmaceuticals
Holding* (17) --
Guaranty Bancorp* (24) --
Harris & Harris Group* (7,798) (50)
Hilltop Holdings* (2,500) (26)
Independence Holding* (4,855) (56)
Irwin Financial (100) --
Meridian Interstate Bancorp* (100) (1)
NYMAGIC* (4,750) (120)
Post Properties+ (2,859) (80)
Potlatch+ (1,800) (84)
Stewart Information Services (7,109) (211)
Sun Communities+ (2,250) (45)
TCF Financial (2,800) (50)
Tejon Ranch* (1,900) (71)
Thomas Weisel Partners Group* (700) (6)
TICC Capital (8,065) (41)
Trustmark (2,180) (45)
Zenith National Insurance (2,600) (95)
----------
(1,336)
----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
127
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Concluded)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
HEALTH CARE -- (0.4)%
Abaxis* (1,898) $ (37)
Abiomed* (3,000) (53)
AMAG Pharmaceuticals* (1,600) (62)
Auxilium Pharmaceuticals* (700) (23)
Emeritus* (3,407) (85)
Enzo Biochem* (7,181) (79)
Insulet* (2,776) (39)
Micrus Endovascular* (1,500) (21)
Minrad International* (26,545) (29)
Spectranetics* (8,200) (38)
Vital Images* (1,600) (24)
-----------
(490)
-----------
INDUSTRIALS -- (0.8)%
AAR* (1,900) (32)
Blount International* (3,325) (37)
Coleman Cable* (7,451) (75)
Corrections Corp of America* (1,500) (37)
Courier (1,000) (20)
Flanders* (198) (1)
GeoEye* (1,000) (22)
Great Lakes Dredge & Dock (5,623) (35)
Healthcare Services Group (6,200) (113)
Hexcel* (2,902) (40)
Innovative Solutions & Support (2,584) (14)
Ladish* (100) (2)
LMI Aerospace* (3,807) (77)
Mine Safety Appliances (1,100) (42)
Multi-Color (600) (14)
Northwest Pipe* (300) (13)
Patriot Transportation* (709) (56)
Team* (1,426) (52)
Tennant (4,609) (158)
Vicor (500) (4)
-----------
(844)
-----------
INFORMATION TECHNOLOGY -- (1.1)%
Agilysys (4,100) (41)
Ariba* (5,067) (72)
Aruba Networks* (7,200) (37)
Atheros Communications* (1,200) (28)
Cavium Networks* (4,411) (62)
DealerTrack Holdings* (900) (15)
Ditech Networks* (2,059) (2)
Electronic Arts* (300) (11)
Finisar* (2,889) (3)
Hughes Communications* (1,321) (48)
Immersion* (10,100) (59)
IPG Photonics* (3,533) (69)
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Lam Research* (900) $ (28)
LivePerson* (21,672) (63)
Micron Technology* (9,570) (39)
MoSys* (14,671) (62)
Park Electrochemical (2,900) (70)
PDF Solutions* (8,217) (43)
PLX Technology* (4,400) (23)
SanDisk* (3,700) (72)
SAVVIS* (4,900) (66)
Silicon Laboratories* (300) (9)
Smith Micro Software* (6,126) (43)
Sourcefire* (7,369) (54)
SourceForge* (36,551) (50)
THQ* (5,400) (65)
-----------
(1,134)
-----------
MATERIALS -- (0.8)%
Balchem (100) (3)
Deltic Timber (1,236) (79)
Eagle Materials (4,100) (92)
General Moly* (2,800) (12)
Louisiana-Pacific (6,935) (64)
OM Group* (3,300) (74)
Penford (2,100) (37)
Royal Gold (48) (2)
RTI International Metals* (1,700) (33)
Temple-Inland (12,342) (188)
Titanium Metals (1,800) (20)
Valhi (1,200) (22)
Westlake Chemical (2,500) (53)
Weyerhaeuser (2,100) (127)
-----------
(806)
-----------
TELECOMMUNICATION SERVICES -- (0.0)%
Alaska Communications Systems
Group (2,100) (26)
Cbeyond* (1,600) (23)
-----------
(49)
-----------
UTILITIES -- (0.4)%
California Water Service Group (2,137) (82)
Central Vermont Public Service (1,852) (43)
CH Energy Group (1,100) (48)
Connecticut Water Services* (3,007) (87)
Middlesex Water* (4,161) (73)
SJW (2,595) (78)
Synthesis Energy Systems* (1,100) (5)
-----------
(416)
-----------
Total Common Stock Sold Short
(Proceeds $(8,258)) ($ Thousands) (7,010)
-----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
128
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- --------------
10-Year Swap (37) Dec-2008 $ (15)
90-Day Euro$ 5 Dec-2008 (8)
90-Day Euro$ 11 Mar-2009 (7)
90-Day Euro$ 27 Jun-2009 46
90-Day Euro$ 28 Sep-2009 46
90-Day Euro$ 13 Dec-2009 (6)
90-Day Euro$ 3 Mar-2010 1
90-Day Euro$ (17) Jun-2010 (46)
90-Day Euro$ 1 Sep-2010 --
90-Day Euro$ 1 Dec-2010 --
90-Day Euro$ 1 Mar-2011 (1)
90-Day Euro$ 2 Jun-2011 (1)
90-Day Euro$ 2 Sep-2011 (1)
90-Day Euro$ 1 Dec-2011 --
90-Day Euro$ 1 Mar-2012 --
90-Day Euro$ 6 Jun-2012 3
90-Day Euro$ 6 Sep-2012 7
90-Day Euro$ 2 Dec-2012 1
Russell 2000 Index E-MINI 145 Dec-2008 (529)
S&P Mid 400 Index E-MINI 151 Dec-2008 (676)
U.S. 10-Year Note 3 Dec-2008 (1)
U.S. 2-Year Note (6) Dec-2008 (8)
U.S. 5-Year Note (4) Dec-2008 (1)
-------
$(1,196)
=======
A summary of outstanding swap agreements held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
CREDIT DEFAULT SWAPS
NET
UNREALIZED
(PAYS)/ NOTIONAL APPRECIATION
BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------ -------------------------------- ---------- -------- ----------- ------------- --------------
Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.80)% 03/20/13 $ 250 $ --
Goldman Sachs CDX.NA.LG.9 Index Buy (0.60) 12/20/12 1,000 12
Goldman Sachs CDX.NA.LG.9 Index Buy (0.60) 12/20/12 500 5
Goldman Sachs CDX.NA.LG.9 Index Buy (0.60) 12/20/12 500 4
Bank Of America CDX.NA.LG.9 Index Buy (0.60) 12/20/12 500 17
Goldman Sachs CDX.NA.LG.10 Index Buy (1.55) 06/20/13 1,250 14
Goldman Sachs Centurytel Inc., 6.00%, 04/01/17 Buy (1.10) 03/20/13 250 4
Goldman Sachs CMBX.NA.BBB 2 Index Buy (0.60) 03/14/49 1,000 137
Bank Of America Lowes Companies Inc., 8.25%, Buy (0.95) 03/20/13 250 (3)
06/01/10
Bank Of America Safeway Inc., 5.80%, 08/15/12 Buy (0.59) 03/20/13 250 --
----
$190
====
TOTAL RETURN SWAPS
NET
NOTIONAL UNREALIZED
FUND TERMINATION AMOUNT DEPRECIATION
COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS RECEIVES DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------ ----------------------------- --------------- ------------- ----------- ------------- --------------
Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Initial Index 02/28/09 $10,000 $ (765)
Return Spread Minus
50 bps
Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Initial Index 02/28/09 4,000 (306)
Return Spread Minus
52 bps
-------
$(1,071)
=======
Percentages are based on Net Assets of $106,011 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) All or a portion of this security is held as collateral for securities sold
short. The total value of collateral for securities sold short at September
30, 2008 was $27,882 ($ Thousands).
(B) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total market value of
such securities as of September 30, 2008 was $260 ($ Thousands) and
represented 0.25% of Net Assets.
(C) Securities considered illiquid and restricted. The total market value of
such securities as of September 30, 2008 was $260 ($ Thousands) and
represented 0.25% of Net Assets.
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2008.
(E) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may not be sold to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
(F) Step Bond -- The rate reflected on the Schedule of Investments is the
effective yield as of September 30, 2008. The coupon on a step bond changes
on a specified date.
(G) Zero Coupon Security. The rate reported is the rate in effect as of
September 30, 2008.
(H) Security, or portion thereof has been pledged as collateral on open futures
contracts.
ADR -- American Depositary Receipt
Cl -- Class
CMO -- Collateralized Mortgage Obligation
CV -- Convertible Security
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
IO -- Interest Only - face amount represents notional amount
PIPE -- Private Investment in Public Entity
SDR -- Swedish Depositary Receipt
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TIPS -- Treasury Inflation Protected Security
Amounts designated as "--" are $0 or rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
129
SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Affiliated Partnership 16.5%
Financials 13.9%
Consumer Discretionary 13.5%
Information Technology 12.4%
Industrials 11.0%
Health Care 7.6%
Energy 7.0%
Utilities 5.6%
Materials 4.7%
Consumer Staples 4.4%
Short-Term Investment 1.9%
Telecommunication Services 1.5%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK -- 97.4%
CONSUMER DISCRETIONARY -- 16.1%
Advance Auto Parts 21,800 $ 865
American Eagle Outfitters 14,300 218
America's Car-Mart* (A) 3,800 71
AnnTaylor Stores* 2,300 47
Apollo Group, Cl A* 6,400 380
Autozone* 3,400 419
Belo, Cl A 14,000 83
Big Lots* (A) 23,800 662
Brinker International 10,400 186
CBS, Cl B 29,900 436
Centex 8,200 133
Christopher & Banks (A) 4,500 35
Coach* 15,000 376
Darden Restaurants 19,400 555
DIRECTV Group* 2,200 58
DISH Network, Cl A* (A) 39,900 838
Dollar Tree* (A) 26,500 964
DreamWorks Animation SKG, Cl A* 5,300 167
Expedia* 39,600 598
Family Dollar Stores (A) 44,300 1,050
FGX International Holdings* 1,400 15
Gannett (A) 19,200 325
Gap 31,100 553
Genuine Parts 2,800 113
Gymboree* 1,300 46
H&R Block 12,500 284
Harley-Davidson (A) 2,100 78
Hasbro (A) 18,500 642
Hillenbrand 26,800 540
International Speedway, Cl A 5,000 195
ITT Educational Services* 900 73
J.C. Penney 10,400 347
Jack in the Box* 5,300 112
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
John Wiley & Sons, Cl A 6,500 $ 263
Jones Apparel Group 17,100 317
Kohl's* 4,300 198
Lennar, Cl A (A) 17,500 266
Liberty Media - Capital, Ser A* 13,100 175
Limited Brands 7,300 126
Macy's 5,100 92
Mattel 13,100 236
Newell Rubbermaid 5,400 93
NVR* (A) 1,700 972
Polo Ralph Lauren (A) 2,500 167
RadioShack 1,300 22
Ross Stores (A) 30,300 1,115
Service International 80,400 672
Sherwin-Williams (A) 900 51
Snap-On 14,100 743
Stamps.com* 2,400 28
Stanley Works 2,000 83
Titan International 400 9
TJX (A) 34,000 1,038
TRW Automotive Holdings* 31,000 493
Urban Outfitters* 9,000 287
VF 2,800 216
WABCO Holdings 6,900 245
Warner Music Group (A) 76,500 581
Weight Watchers International 500 18
Whirlpool (A) 1,900 151
Wyndham Worldwide 3,000 47
Yum! Brands 5,200 170
-------
20,338
-------
CONSUMER STAPLES -- 5.2%
Avon Products 13,900 578
Bunge (A) 4,000 253
Campbell Soup 5,400 208
Central European Distribution* 2,900 132
Coca-Cola Enterprises 25,800 433
ConAgra Foods 14,300 278
Del Monte Foods 23,100 180
Herbalife 13,200 522
HJ Heinz 2,500 125
Molson Coors Brewing, Cl B 17,900 837
Pepsi Bottling Group 32,000 933
PepsiAmericas 8,300 172
Reynolds American 5,000 243
Safeway 23,800 565
Sara Lee 9,400 119
SUPERVALU 40,200 872
Tyson Foods, Cl A 14,100 168
-------
6,618
-------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
130
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
ENERGY -- 8.4%
Cameron International* 8,300 $ 320
Cimarex Energy (A) 5,200 254
El Paso 77,100 984
ENSCO International 23,900 1,377
Helmerich & Payne 23,300 1,006
Mariner Energy* 4,600 94
Massey Energy 15,500 553
Murphy Oil 18,100 1,161
Nabors Industries* 4,200 105
Newfield Exploration* 2,000 64
Noble 7,000 307
Noble Energy 5,700 317
Overseas Shipholding Group (A) 2,000 117
Patterson-UTI Energy 26,400 529
Pioneer Natural Resources (A) 5,100 267
Plains Exploration & Production* 19,900 700
Pride International* 12,900 382
SEACOR Holdings* (A) 1,300 103
Smith International 1,400 82
Southwestern Energy* 11,400 348
Spectra Energy 1,300 31
St. Mary Land & Exploration 800 29
Superior Energy Services* 1,800 56
Swift Energy* 900 35
Tidewater (A) 5,800 321
Unit* 20,900 1,041
-------
10,583
-------
FINANCIALS -- 16.6%
Allied World Assurance Holdings 7,600 270
American Capital (A) 3,700 94
American Financial Group 11,800 348
American Physicians Capital 4,300 182
Ameriprise Financial 22,200 848
Annaly Capital Management+ 107,600 1,447
Apartment Investment & Management, Cl A+ (A) 22,025 771
Arch Capital Group* 18,700 1,366
Astoria Financial 31,400 651
Axis Capital Holdings 8,900 282
Bank of Hawaii (A) 17,100 914
Brandywine Realty Trust+ 56,100 899
CBL & Associates Properties+ 13,800 277
Central Pacific Financial (A) 5,600 94
CNA Financial 4,400 115
Colonial Properties Trust+ 700 13
Comerica (A) 1,000 33
Conseco* 2,700 10
Developers Diversified Realty+ 1,900 60
Discover Financial Services (A) 26,500 366
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Duke Realty+ (A) 29,900 $ 735
Endurance Specialty Holdings (A) 5,200 161
Everest Re Group 3,500 303
Fulton Financial (A) 20,000 218
General Growth Properties+ (A) 10,700 162
Genworth Financial, Cl A 9,200 79
Hartford Financial Services Group 500 20
Health Care+ (A) 8,300 442
Hercules Technology Growth Capital (A) 1,400 14
Hospitality Properties Trust+ 17,900 367
Host Hotels & Resorts+ (A) 21,900 291
Hudson City Bancorp 26,000 480
Huntington Bancshares (A) 12,100 97
IntercontinentalExchange* 400 32
Investment Technology Group* 4,100 125
Janus Capital Group 27,800 675
Jones Lang LaSalle (A) 1,300 57
Keycorp (A) 6,500 78
Kohlberg Capital (A) 1,200 10
Lazard, Cl A 7,800 334
Lexington Realty Trust+ (A) 9,400 162
Liberty Property Trust+ 21,400 806
Macerich+ 1,500 95
Mack-Cali Realty+ 22,800 772
MainSource Financial Group (A) 1,000 20
Marshall & Ilsley 4,800 97
Northern Trust 7,600 549
Oriental Financial Group 700 13
PartnerRe 4,600 313
Pennsylvania Real Estate Investment Trust+ 8,100 153
Platinum Underwriters Holdings 4,100 145
Prospect Capital (A) 3,200 41
Raymond James Financial 1,900 63
Regions Financial (A) 35,800 344
RenaissanceRe Holdings 12,600 655
SeaBright Insurance Holdings* 2,600 34
SLM* (A) 63,600 785
Sovereign Bancorp (A) 18,800 74
Sunstone Hotel Investors+ (A) 21,500 290
SunTrust Banks 600 27
TCF Financial (A) 12,400 223
Tree.com* 553 3
Valley National Bancorp (A) 41,495 870
Washington Federal (A) 14,300 264
Webster Financial 2,900 73
WR Berkley 11,500 271
XL Capital, Cl A (A) 8,200 147
-------
21,009
-------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
131
SCHEDULE OF INVESTMENTS
Mid-Cap Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
HEALTH CARE -- 9.0%
Allergan 3,600 $ 185
AmerisourceBergen 3,100 117
Applied Biosystems 6,200 212
C.R. Bard 2,200 209
Cephalon* 4,500 349
Charles River Laboratories International* 1,500 83
Cigna 19,200 652
Cooper 1,900 66
Covance* 3,500 309
Dentsply International 1,400 53
Edwards Lifesciences* 4,200 243
Endo Pharmaceuticals Holdings* 8,800 176
Express Scripts* 7,500 554
Forest Laboratories* 6,800 192
Hill-Rom Holdings (A) 300 9
Hospira* 3,000 115
Humana* 9,500 391
Idexx Laboratories* 4,900 269
IMS Health 43,600 824
Intuitive Surgical* 1,700 410
Inverness Medical Innovations* (A) 5,900 177
Invitrogen* (A) 3,400 129
Kinetic Concepts* (A) 21,800 623
King Pharmaceuticals* (A) 17,900 171
LifePoint Hospitals* (A) 25,400 816
Lincare Holdings* (A) 19,300 581
Sepracor* (A) 7,300 134
St. Jude Medical* 35,700 1,553
Techne* 2,200 159
Universal Health Services, Cl B 3,800 213
Vertex Pharmaceuticals* (A) 10,500 349
Warner Chilcott, Cl A* 22,500 340
Waters* 13,300 774
----------
11,437
----------
INDUSTRIALS -- 13.1%
AGCO* 4,500 192
Alliant Techsystems* 1,900 178
Allied Waste Industries* 17,400 193
Armstrong World Industries (A) 22,100 639
Bucyrus International, Cl A 5,700 255
Cooper Industries, Cl A 4,100 164
Copart* 5,200 198
Crane 26,200 778
Cummins 20,400 892
Dover 25,200 1,022
Eaton 2,900 163
Energy Conversion Devices* (A) 900 52
Fastenal (A) 8,500 420
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
First Solar* 200 $ 38
Fluor 21,400 1,192
Foster Wheeler* 10,100 365
Gardner Denver* 18,200 632
GeoEye* 400 9
Goodrich 17,700 736
Harsco 23,600 878
Hertz Global Holdings* 28,100 213
Hubbell, Cl B 6,900 242
Ingersoll-Rand, Cl A 1,500 47
Jacobs Engineering Group* 3,600 196
John Bean Technologies* 1,425 18
KBR 7,700 117
Kirby* 18,200 691
L-3 Communications Holdings 3,900 383
Manpower 9,600 414
Masco (A) 5,100 91
NCI Building Systems* 700 22
Northrop Grumman 2,100 127
Northwest Airlines* 10,500 95
Parker Hannifin 10,150 537
Perini* 200 5
Pitney Bowes 30,800 1,024
Raytheon 4,600 246
Robert Half International 600 15
Rockwell Automation 3,500 131
RR Donnelley & Sons 10,500 258
Ryder System (A) 19,500 1,208
Shaw Group* 21,100 648
Stericycle* 6,700 395
Textron 100 3
Tyco International 6,600 231
United Rentals* (A) 5,100 78
WESCO International* 5,300 171
----------
16,602
----------
INFORMATION TECHNOLOGY -- 14.8%
Accenture, Cl A 1,600 61
ADC Telecommunications* (A) 53,600 453
Adobe Systems* 3,400 134
Affiliated Computer Services, Cl A* 2,800 142
Agilent Technologies* 9,200 273
Alliance Data Systems* (A) 15,700 995
Altera (A) 3,900 81
Amdocs* 200 5
Analog Devices 13,100 345
Arrow Electronics* 1,300 34
Avnet* 7,800 192
BMC Software* (A) 11,700 335
Broadcom, Cl A* (A) 29,800 555
Broadridge Financial Solutions 43,300 666
SEI Institutional Managed Trust / Annual Report / September 30, 2008
132
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Brocade Communications Systems* 5,200 $ 30
CA 43,800 874
CommScope* 2,700 94
Computer Sciences* 800 32
DST Systems* (A) 1,000 56
Global Payments 3,900 175
Harris 28,400 1,312
Hewitt Associates, Cl A* 29,700 1,082
IAC* 8,300 144
Ingram Micro, Cl A* 10,500 169
Integrated Device Technology* 105,700 822
Intersil, Cl A 3,200 53
Intuit* (A) 30,600 967
Jabil Circuit 47,000 448
Juniper Networks* 1,000 21
LSI Logic* (A) 132,500 710
McAfee* 2,200 75
MEMC Electronic Materials* 17,100 483
Metavante Technologies* 32,400 624
Mettler Toledo International* 5,100 500
National Semiconductor 16,700 287
NCR* 13,400 295
NetApp* 15,800 288
ON Semiconductor* 18,500 125
QLogic* (A) 21,000 323
SAIC* 13,100 265
Silicon Laboratories* 9,100 279
Sohu.com* (A) 9,500 530
Symantec* 11,100 217
Synopsys* 26,500 529
Teradyne* 63,600 497
Trimble Navigation* 2,200 57
Vishay Intertechnology* (A) 95,300 631
Western Digital* 35,000 746
Xerox 33,300 384
Xilinx (A) 11,700 274
----------
18,669
----------
MATERIALS -- 5.6%
Airgas 5,900 293
AK Steel Holding (A) 6,800 176
Celanese, Ser A 24,500 684
CF Industries Holdings 9,000 823
Chemtura 58,700 268
Commercial Metals 1,000 17
Crown Holdings* 1,600 36
Domtar* 1,800 8
Eastman Chemical (A) 5,500 303
Greif, Cl A 5,000 328
Intrepid Potash* 7,300 220
Lubrizol 12,100 522
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Mosaic 300 $ 20
Nalco Holding 2,000 37
Owens-Illinois* 21,800 641
Reliance Steel & Aluminum 22,600 858
Sonoco Products 29,900 887
Spartech 3,600 36
Steel Dynamics 1,200 21
Terra Industries 24,700 726
United States Steel 2,600 202
----------
7,106
----------
TELECOMMUNICATION SERVICES -- 1.9%
CenturyTel 9,300 341
Embarq (A) 33,100 1,342
NII Holdings* 3,800 144
Qwest Communications International (A) 21,700 70
US Cellular* 1,800 84
Windstream 31,300 342
----------
2,323
----------
UTILITIES -- 6.7%
AES* 107,400 1,256
Ameren (A) 4,100 160
American Electric Power 10,500 389
American Water Works 5,700 123
Atmos Energy 11,800 314
Centerpoint Energy 20,000 291
CMS Energy (A) 11,400 142
DTE Energy 12,900 518
Edison International 37,700 1,504
Energen 2,400 109
Mirant* (A) 5,200 95
NiSource 20,600 304
NRG Energy* 18,600 460
OGE Energy 1,200 37
Oneok 23,900 822
Pepco Holdings 54,000 1,236
Questar 900 37
Sempra Energy 3,100 156
Sierra Pacific Resources 22,400 215
UGI 13,600 351
----------
8,519
----------
Total Common Stock
(Cost $144,698) ($ Thousands) 123,204
----------
AFFILIATED PARTNERSHIP -- 19.6%
SEI Liquidity Fund, L.P., 2.590%**++ (B) 25,218,254 24,856
----------
Total Affiliated Partnership
(Cost $25,218) ($ Thousands) 24,856
----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
133
SCHEDULE OF INVESTMENTS
Mid-Cap Fund (Concluded)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
CASH EQUIVALENT -- 2.3%
SEI Daily Income Trust, Prime Obligation
Fund, Cl A, 2.350%**++ 2,943,226 $ 2,943
----------
Total Cash Equivalent
(Cost $2,943) ($ Thousands) 2,943
----------
Total Investments -- 119.3%
(Cost $172,859) ($ Thousands) $ 151,003
==========
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
TYPE OF NUMBER OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------------- ---------- -------------
S&P Mid 400 Index E-MINI 36 Dec-2008 $(100)
=====
Percentages are based on Net Assets of $126,561 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) This Security or a partial position of this security is on loan at
September 30, 2008 (see Note 7). The total market value of securities on
loan at September 30, 2008 was $25,129 ($ Thousands).
(B) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2008 was $24,856 ($ Thousands).
(C) Security, or a portion thereof has been pledged as collateral on open
futures contracts.
Cl -- Class
L.P. -- Limited Partnership
Ser -- Series
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
134
U.S. Managed Volatility Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Health Care 26.1%
Utilities 13.0%
Financials 10.5%
Industrials 9.9%
Consumer Staples 9.1%
Information Technology 8.2%
Energy 7.9%
Consumer Discretionary 6.4%
Telecommunication Services 4.1%
Materials 4.0%
Short-Term Investment 0.6%
U.S. Treasury Obligation 0.2%
# Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK@ -- 97.7%
CONSUMER DISCRETIONARY -- 6.3%
Autoliv 51,600 $ 1,742
Buckle 24,700 1,372
Burger King Holdings 74,100 1,820
Choice Hotels International 36,700 995
CTC Media* 116,000 1,740
DIRECTV Group* 73,700 1,929
DreamWorks Animation SKG, Cl A* 65,600 2,063
Genuine Parts 42,700 1,717
Hillenbrand 87,642 1,767
International Speedway, Cl A 38,200 1,486
ITT Educational Services* 9,500 769
John Wiley & Sons, Cl A 17,300 700
Liberty Global, Cl A* 70,700 2,142
Panera Bread, Cl A* 7,800 397
Polaris Industries 12,400 564
Shaw Communications, Cl B 96,300 1,958
Starwood Hotels & Resorts Worldwide 47,200 1,328
TRW Automotive Holdings* 73,000 1,161
Tupperware Brands 28,400 785
Washington Post, Cl B 4,462 2,484
-------
28,919
-------
CONSUMER STAPLES -- 8.9%
Alberto-Culver 2,752 75
Brown-Forman, Cl B 47,035 3,378
Campbell Soup 48,754 1,882
Church & Dwight 33,500 2,080
Costco Wholesale 8,043 522
Dean Foods* 40,800 953
Flowers Foods 27,000 793
General Mills 35,057 2,409
Hershey 60,300 2,384
Hormel Foods 197,982 7,183
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
JM Smucker 18,883 $ 957
Kellogg 42,634 2,392
Kimberly-Clark 12,100 785
McCormick 47,765 1,837
Pepsi Bottling Group 61,600 1,797
PepsiCo 38,149 2,719
Philip Morris International 96,678 4,650
Reynolds American 10,952 532
SYSCO 38,202 1,178
Tyson Foods, Cl A 79,103 944
UST 22,073 1,469
-------
40,919
-------
ENERGY -- 7.8%
Baker Hughes 51,852 3,139
Cameco 19,200 428
Carrizo Oil & Gas* 27,200 987
Chevron 67,707 5,584
Cimarex Energy 40,400 1,976
Enbridge 55,900 2,129
Exxon Mobil 59,355 4,610
Imperial Oil 13,400 571
International Coal Group* 129,000 805
Key Energy Services* 40,644 471
Murphy Oil 10,000 641
Nexen 23,300 541
Penn Virginia 17,000 908
Petro-Canada 34,200 1,141
Schlumberger 10,340 807
SEACOR Holdings* 66,739 5,269
Ship Finance International 65,700 1,416
Southern Union 14,182 293
Spectra Energy 109,179 2,598
TransCanada 31,800 1,150
-------
35,464
-------
FINANCIALS -- 10.3%
Alleghany* 5,491 2,004
American National Insurance 9,126 788
Arch Capital Group* 7,366 538
Arthur J. Gallagher 14,919 383
Bancorpsouth 80,600 2,267
BOK Financial 35,729 1,730
Boston Properties+ 14,668 1,374
Brown & Brown 47,100 1,018
Capitol Federal Financial 11,854 525
Cincinnati Financial 25,400 722
Commerce Bancshares 15,500 719
Credicorp 25,900 1,612
Erie Indemnity, Cl A 2,612 110
Federated Investors, Cl B 58,600 1,691
First Citizens BancShares, Cl A 10,918 1,954
Fulton Financial 168,200 1,835
SEI Institutional Managed Trust / Annual Report / September 30, 2008
135
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund (Concluded)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Investment Technology Group* 29,900 $ 910
Loews 94,127 3,717
Markel* 8,598 3,022
Mercury General 39,494 2,162
OneBeacon Insurance Group, Cl A 94,628 2,001
Regions Financial 164,300 1,577
RenaissanceRe Holdings 38,000 1,976
StanCorp Financial Group 34,500 1,794
TFS Financial 173,800 2,176
Transatlantic Holdings 38,474 2,091
UMB Financial 38,700 2,033
Valley National Bancorp 89,565 1,877
Wesco Financial 2,384 851
White Mountains Insurance Group 2,343 1,101
Whitney Holding 31,700 769
--------
47,327
--------
HEALTH CARE -- 25.8%
Abbott Laboratories 74,469 4,288
Alcon 13,800 2,229
AmerisourceBergen 101,145 3,808
Applied Biosystems 56,876 1,948
Baxter International 74,687 4,902
Beckman Coulter 32,885 2,335
Becton Dickinson 52,781 4,236
BioMarin Pharmaceuticals* 59,200 1,568
Brookdale Senior Living 65,900 1,449
C.R. Bard 28,096 2,665
Cardinal Health 4,089 202
Celgene* 17,000 1,076
Covance* 60,560 5,354
Dentsply International 109,464 4,109
Edwards Lifesciences* 63,954 3,694
Eli Lilly 35,049 1,543
Endo Pharmaceuticals Holdings* 71,700 1,434
Genentech* 54,710 4,852
Genzyme* 27,212 2,201
Henry Schein* 98,290 5,292
Hill-Rom Holdings 126,754 3,842
HLTH* 14,513 166
Hospira* 56,155 2,145
Idexx Laboratories* 55,883 3,062
Immucor* 54,100 1,729
Johnson & Johnson 62,804 4,351
King Pharmaceuticals* 165,400 1,585
Laboratory Corp of America Holdings* 82,686 5,747
McKesson 105,904 5,699
Medco Health Solutions* 59,425 2,674
Medtronic 51,955 2,603
Onyx Pharmaceuticals* 43,100 1,559
Owens & Minor 38,100 1,848
Patterson* 72,640 2,209
Perrigo 57,000 2,192
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Pharmaceutical Product Development 47,817 $ 1,977
Quest Diagnostics 41,576 2,148
STERIS 40,200 1,511
Techne* 64,553 4,656
United Therapeutics* 20,200 2,124
Universal Health Services, Cl B 92,889 5,205
Warner Chilcott, Cl A* 7,436 112
--------
118,329
--------
INDUSTRIALS -- 9.7%
Alexander & Baldwin 53,963 2,376
Alliant Techsystems* 20,500 1,926
C.H. Robinson Worldwide 81,825 4,170
FTI Consulting* 27,500 1,987
Gardner Denver* 39,500 1,371
General Cable* 40,500 1,443
General Dynamics 46,958 3,457
Granite Construction 18,600 666
Hertz Global Holdings* 224,100 1,696
Hubbell, Cl B 16,300 571
JetBlue Airways* 82,800 410
Landstar System 37,900 1,670
Lennox International 56,100 1,866
Lincoln Electric Holdings 28,900 1,859
Lockheed Martin 12,374 1,357
Nordson 21,300 1,046
Northrop Grumman 70,418 4,263
Pitney Bowes 81,444 2,709
Ritchie Bros Auctioneers 83,100 1,941
Robert Half International 85,100 2,106
Union Pacific 10,900 776
United Parcel Service, Cl B 49,539 3,116
UTI Worldwide 13,817 235
Woodward Governor 42,600 1,503
--------
44,520
--------
INFORMATION TECHNOLOGY -- 8.0%
Acxiom 37,200 466
Adtran 19,500 380
Affiliated Computer Services, Cl A* 41,800 2,116
Amdocs* 33,727 923
AVX 17,984 183
Factset Research Systems 14,100 737
Flir Systems* 32,600 1,252
Harris 14,500 670
Hewitt Associates, Cl A* 50,900 1,855
Hewlett-Packard 23,986 1,109
Ingram Micro, Cl A* 195,402 3,140
International Business Machines 24,283 2,840
Lexmark International, Cl A* 47,400 1,544
Mantech International, Cl A* 32,800 1,945
Mettler Toledo International* 93 9
SEI Institutional Managed Trust / Annual Report / September 30, 2008
136
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Molex 14,920 $ 335
National Instruments 27,777 835
NCR* 29,469 650
Perot Systems, Cl A* 109,900 1,907
Qualcomm 15,700 675
Silicon Laboratories* 16,600 510
Solera Holdings* 63,300 1,818
Sybase* 57,800 1,770
Synopsys* 41,130 821
Tech Data* 157,173 4,692
Tyco Electronics 50,113 1,386
Zebra Technologies, Cl A* 81,128 2,259
-------
36,827
-------
MATERIALS -- 3.9%
Aptargroup 44,300 1,733
Bemis 31,800 833
Compass Minerals International 28,900 1,514
Domtar* 354,200 1,629
Eagle Materials 18,100 405
Greif, Cl A 31,800 2,088
Methanex 25,500 507
Newmont Mining 102,437 3,970
Nova Chemicals 59,600 1,347
Packaging Corp of America 75,000 1,739
Rockwood Holdings* 55,900 1,434
Sonoco Products 22,300 662
-------
17,861
-------
TELECOMMUNICATION SERVICES -- 4.0%
AT&T 77,300 2,158
CenturyTel 55,300 2,027
Embarq 38,400 1,557
Frontier Communications 162,300 1,866
Sprint Nextel 247,900 1,512
Telephone & Data Systems 82,370 2,945
US Cellular* 53,934 2,531
Verizon Communications 118,187 3,793
-------
18,389
-------
UTILITIES -- 13.0%
AGL Resources 64,385 2,020
Alliant Energy 87,495 2,818
Atmos Energy 90,726 2,415
Calpine* 33,892 441
Consolidated Edison 70,890 3,045
Constellation Energy Group 14,900 362
Dominion Resources 129,955 5,559
DPL 66,200 1,642
DTE Energy 48,000 1,926
Edison International 44,700 1,784
Hawaiian Electric Industries 108,570 3,160
Integrys Energy Group 48,571 2,426
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MDU Resources Group 88,587 $ 2,569
National Fuel Gas 36,305 1,532
NiSource 112,600 1,662
Northeast Utilities 70,800 1,816
NSTAR 60,779 2,036
OGE Energy 147,185 4,545
Oneok 32,308 1,111
Pepco Holdings 86,200 1,975
Progress Energy 30,140 1,300
Questar 29,962 1,226
SCANA 64,687 2,519
TECO Energy 105,800 1,664
UGI 8,277 213
Vectren 113,568 3,163
Westar Energy 47,700 1,099
Wisconsin Energy 74,355 3,338
--------
59,366
--------
Total Common Stock
(Cost $466,476) ($ Thousands) 447,921
--------
CASH EQUIVALENT -- 0.6%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 2.350%**++ 2,858,593 2,859
--------
Total Cash Equivalent
(Cost $2,859) ($ Thousands) 2,859
--------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bills
1.657%, 11/20/08 (A) (B) $ 883 883
--------
Total U.S. Treasury Obligation
(Cost $881) ($ Thousands) 883
--------
Total Investments -- 98.5%
(Cost $470,216) ($ Thousands) $451,663
========
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------------------- ------------ ---------- -------------
S&P 500 Index E-MINI 109 Dec-2008 $(51)
====
Percentages are based on Net Assets of $458,674 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Security (see Note 3).
@ Narrow Industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
(A) The rate reported is the effective yield at time of purchase.
(B) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
Cl -- Class
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
137
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Consumer Staples 21.1%
Health Care 15.2%
Financials 12.9%
Industrials 11.7%
Utilities 10.2%
Consumer Discretionary 10.1%
Materials 6.2%
Information Technology 5.5%
Telecommunication Services 3.5%
Energy 2.4%
Short-Term Investment 0.9%
U.S. Treasury Obligation 0.3%
# Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK -- 93.5%
AUSTRALIA -- 1.6%
AGL Energy (A) 26,688 $ 294
Aquarius Platinum 3,050 14
Aristocrat Leisure (A) 80,970 423
BlueScope Steel (A) 38,830 228
Brambles 54,187 337
Centennial Coal (A) 10,459 31
Iluka Resources 76,385 290
Incitec Pivot 107,380 429
ING Industrial Fund+ (A) 155,003 196
MFS* 17,170 13
TABCORP Holdings (A) 9,014 59
Telstra (A) 197,431 661
Wesfarmers (A) 14,486 336
----------
3,311
----------
BELGIUM -- 3.2%
Barco 667 30
Bekaert (A) 493 66
Belgacom 15,112 568
Cofinimmo+ 7,645 1,331
Colruyt (A) 5,553 1,391
Compagnie d'Entreprises 1,748 147
D'ieteren 186 42
Euronav (A) 7,369 203
InBev 8,903 528
Intervest Offices+ 1,579 60
Mobistar (A) 26,854 1,886
Nationale A Portefeuille (A) 1,561 103
Sipef 49 20
Tessenderlo Chemie (A) 3,379 169
----------
6,544
----------
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
BERMUDA -- 0.3%
Aspen Insurance Holdings 5,553 $ 153
Nabors Industries* 3,700 92
Platinum Underwriters Holdings 8,315 295
----------
540
----------
CANADA -- 7.7%
Agnico-Eagle Mines 16,000 874
Agrium 700 39
Alimentation Couche Tard, Cl B 2,800 37
ARC Energy Trust 47,200 1,026
Bank of Montreal 15,300 661
Bank of Nova Scotia 14,900 673
Barrick Gold 28,400 1,041
Celestica* 51,200 321
CGI Group, Cl A* 22,500 197
Cott* 2,900 3
Enbridge 19,300 715
Fairfax Financial Holdings 400 128
Fording Canadian Coal Trust 9,800 804
George Weston 3,900 189
Goldcorp 31,100 979
Harvest Energy Trust 1,300 22
Industrial Alliance Insurance and
Financial Services 1,800 57
Kinross Gold 57,900 931
Laurentian Bank of Canada 1,100 39
Manitoba Telecom Services 9,200 340
Manulife Financial 16,100 580
Methanex 12,800 251
Metro, Cl A 1,700 49
MI Developments, Cl A 800 15
Nova Chemicals 17,500 385
Onex 8,000 207
PAN American Silver* 3,300 72
Penn West Energy Trust 13,200 314
Potash Corp of Saskatchewan 3,800 493
Provident Energy Trust 58,300 521
Ritchie Bros Auctioneers 23,900 566
Royal Bank of Canada 11,600 551
Saputo 29,800 708
Shoppers Drug Mart 6,700 324
Superior Plus Income Fund 2,200 24
TMX Group 13,000 355
Toronto-Dominion Bank 10,600 639
TransAlta 14,400 387
TransForce 3,500 19
Yamana Gold 19,700 162
----------
15,698
----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
138
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
CAYMAN ISLANDS -- 0.3%
Greenlight Capital Re* 3,074 $ 71
Herbalife 11,770 465
----------
536
----------
DENMARK -- 0.6%
Coloplast, Cl B 1,175 87
D/S Norden (A) 3,030 146
Danske Bank (A) 10,000 240
Novo Nordisk, Cl B (A) 12,850 665
Topdanmark* 675 97
----------
1,235
----------
FINLAND -- 0.6%
Componenta 7,368 94
Fortum (A) 12,983 435
Kesko, Cl B 8,554 218
Orion, Cl B (A) 10,732 181
Outokumpu (A) 13,522 215
Ramirent 3,884 24
Tietoenator 3,475 51
----------
1,218
----------
FRANCE -- 2.2%
Air Liquide (A) 13,718 1,504
Casino Guichard Perrachon (A) 5,629 501
Cie Generale d'Optique Essilor
International 15,856 790
CNP Assurances (A) 1,911 215
Eramet (A) 452 173
France Telecom (A) 19,591 548
Sanofi-Aventis (A) 8,956 588
SEB 639 28
Societe BIC (A) 100 5
Societe Des Autoroutes
Paris-Rhin-Rhone 1,073 94
----------
4,446
----------
GERMANY -- 0.5%
Deutsche Euroshop 1,124 36
Deutsche Postbank 7,270 275
EnBW Energie Baden-Wuerttemberg 436 25
Fraport Frankfurt Airport Services
Worldwide 949 56
Fresenius Medical Care (A) 12,552 648
----------
1,040
----------
HONG KONG -- 3.9%
Cheung Kong Infrastructure Holdings 51,000 237
CLP Holdings (A) 251,500 2,029
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Esprit Holdings (A) 3,500 $ 22
Guoco Group (A) 22,000 186
Hang Seng Bank (A) 83,200 1,573
Hong Kong & China Gas 184,000 420
Hong Kong Aircraft Engineerg 2,000 23
Hong Kong Electric Holdings (A) 231,500 1,454
Jardine Matheson Holdings (A) 26,400 690
Link+ 421,000 875
MTR (A) 43,500 128
Shun Tak Holdings 94,000 32
Wing Hang Bank (A) 16,500 127
Yue Yuen Industrial Holdings (A) 31,500 86
----------
7,882
----------
IRELAND -- 0.0%
Paddy Power 2,515 44
----------
ITALY -- 0.3%
Banca Carige 26,625 88
Banca Popolare dell'Emilia Romagna 27,244 390
CSP International Fashion Group 10,228 16
Telecom Italia (A) 46,221 69
----------
563
----------
JAPAN -- 34.6%
77 Bank (A) 93,000 470
Able 3,000 31
Acom (A) 12,070 413
Aeon Delight 1,400 33
Aisin Seiki (A) 12,200 299
Ajis 1,300 29
Alfresa Holdings 1,800 87
Asahi Breweries (A) 85,500 1,501
Asatsu 1,700 49
Astellas Pharma (A) 17,000 716
Autobacs Seven 1,200 30
Awa Bank 4,000 23
Bank of Yokohama 30,000 149
Benesse (A) 43,300 1,772
Canon Marketing Japan 1,400 21
Casio Computer 68,000 640
Central Japan Railway (A) 235 2,220
Chubu Electric Power (A) 59,200 1,397
Chugoku Electric Power 35,600 731
Circle K Sunkus (A) 5,700 95
Coca-Cola West Holdings (A) 3,500 79
Combi 9,500 56
Dai Nippon Printing 23,000 311
Daihatsu Motor (A) 54,000 592
Daiichi Sankyo (A) 28,000 723
Dainippon Sumitomo Pharma (A) 32,000 263
Daisan Bank 10,000 34
SEI Institutional Managed Trust / Annual Report / September 30, 2008
139
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Continued)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Daito Trust Construction 14,300 $ 533
East Japan Railway (A) 244 1,823
Ezaki Glico 3,000 28
FamilyMart (A) 31,200 1,323
Fast Retailing (A) 1,100 112
Fuji Oil (A) 3,300 38
FUJI SOFT 19,200 340
Gunma Bank (A) 131,000 748
Haruyama Trading 2,000 9
Hino Motors (A) 249,000 1,009
Hisamitsu Pharmaceutical (A) 19,900 873
Hitachi 75,000 507
Hokkaido Electric Power (A) 23,800 498
Hokuriku Electric Power 51,900 1,251
Horipro 1,300 11
IBJ Leasing 1,000 17
Ito En 15,800 205
Itoham Foods 22,000 102
Iyo Bank 4,000 44
Japan Airlines 156,000 322
J-Oil Mills 14,000 61
Jupiter Telecommunications 42 30
Kameda Seika 1,200 16
Kanamoto 5,000 20
Kansai Electric Power (A) 89,500 1,995
Kao (A) 47,000 1,263
Keihin Electric Express Railway 46,000 302
Keiyo Bank (A) 10,000 48
Kinden (A) 4,000 38
Kintetsu 169,000 590
Kirin Holdings (A) 31,000 408
Kobayashi Pharmaceutical 3,200 98
Koito Manufacturing (A) 7,000 66
Kokuyo 27,600 217
Konica Minolta Holdings (A) 13,000 149
Kureha 5,000 27
Kyoei Steel 1,100 21
Kyushu Electric Power 32,000 668
Lawson (A) 30,900 1,428
Mabuchi Motor (A) 24,000 1,093
Matsushita Electric Industrial (A) 35,000 604
McDonald's Holdings Japan 2,100 29
MCJ 80 7
Mediceo Paltac Holdings 46,000 564
Meiji Dairies 194,000 1,039
Meiji Seika Kaisha (A) 26,000 119
Meitec 6,100 164
Miraca Holdings 8,800 171
Mitani 2,100 12
Mitsubishi Gas Chemical (A) 27,000 131
Morinaga Milk Industry (A) 12,000 34
Namco Bandai Holdings (A) 31,700 349
Nankai Electric Railway 8,000 31
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
NEC Electronics* 5,400 $ 113
NET One Systems 130 187
NGK Insulators 18,000 221
Nichi-iko Pharmaceutical (A) 6,600 161
Nichirei (A) 417,000 2,225
Nintendo (A) 1,500 637
Nippon Kayaku 4,000 24
Nippon Meat Packers (A) 166,000 2,522
Nippon Oil (A) 35,000 177
Nippon Shinyaku (A) 7,000 67
Nippon Telegraph & Telephone (A) 154 689
Nippon Yusen (A) 48,000 313
Nisshin Seifun Group (A) 55,000 742
Nissin Food Products 9,200 328
Nitori 11,550 687
Noevir 2,500 22
NTT DoCoMo (A) 436 699
Odakyu Electric Railway 154,000 1,142
Ogaki Kyoritsu Bank 5,000 27
Okumura 202,000 773
Omron (A) 10,900 169
Osaka Gas 178,000 614
Otsuka 2,400 157
Proto 1,000 23
QP (A) 13,800 129
Rengo 7,000 48
Rinnai 3,000 123
Round One 183 147
Sanden 21,000 71
San-In Godo Bank (A) 7,000 54
Sankyo (A) 24,300 1,236
Sanyo Electric* 59,000 103
Sawai Pharmaceutical 1,100 44
Seiko Epson (A) 66,500 1,549
Shikoku Electric Power 61,800 1,555
Shimachu 22,600 510
Shimano (A) 16,200 559
Shinkin Central Bank 9 34
Shinsei Bank 55,000 169
Shizuoka Bank 117,000 1,154
Suzuken (A) 62,400 1,900
Taisho Pharmaceutical (A) 62,000 1,232
Taiyo Nippon Sanso 2,000 16
Takefuji (A) 11,140 145
Terumo (A) 12,300 643
Toagosei (A) 25,000 64
Tobu Railway (A) 33,000 160
Toda 180,000 718
Toho 29,600 621
Toho Gas 86,000 475
Tohoku Electric Power (A) 75,500 1,626
Tokyo Electric Power (A) 28,000 690
Tokyo Gas (A) 315,000 1,317
SEI Institutional Managed Trust / Annual Report / September 30, 2008
140
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Tokyo Style (A) 36,000 $ 305
Toppan Printing (A) 27,000 211
Torii Pharmaceutical 2,400 34
TOTO 28,000 207
Toyo Kohan 3,000 12
Toyo Seikan Kaisha (A) 5,100 78
Toyo Suisan Kaisha (A) 11,000 279
Toyoda Gosei (A) 3,700 63
Toyota Auto Body 2,300 42
Toyota Boshoku 11,800 131
Unicharm (A) 22,600 1,738
Uniden 14,000 55
Wacoal Holdings 100,000 1,121
Weathernews 7,300 101
West Japan Railway (A) 117 502
Yakult Honsha 20,800 642
Yamagata Bank 6,000 34
Yamaguchi Financial Group (A) 28,000 342
Yamato Holdings 22,000 247
Yamazaki Baking (A) 17,000 207
Yaoko 1,200 39
Yorozu 5,000 56
-----------
70,606
-----------
NETHERLANDS -- 0.4%
Corio+ 7,009 497
Eurocommercial Properties+ 924 40
OCE 16,811 120
Royal Dutch Shell, Cl A (A) 3,854 113
TomTom* 488 9
Vastned Offices+ 1,257 26
Vastned Retail+ 1,094 77
-----------
882
-----------
NEW ZEALAND -- 0.1%
Fisher & Paykel Healthcare (A) 84,812 168
----------
PORTUGAL -- 0.0%
Jeronimo Martins (A) 10,241 87
----------
SINGAPORE -- 0.5%
Hotel Grand Central 53,000 25
Jardine Cycle & Carriage (A) 25,000 276
Singapore Post 91,000 61
Singapore Telecommunications (A) 266,500 612
SunVic Chemical Holdings 108,000 17
-----------
991
-----------
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
SPAIN -- 0.1%
Construcciones y Auxiliar de Ferrocarriles 187 $ 66
Ebro Puleva 7,908 125
-----------
191
-----------
SWEDEN -- 0.8%
Axfood 3,500 94
Lundin Petroleum* 800 7
Svenska Cellulosa, Cl B (A) 10,000 105
Swedish Match (A) 88,400 1,534
-----------
1,740
-----------
SWITZERLAND -- 3.4%
Adecco (A) 6,875 299
Affichage Holding Genf 153 23
Alcon 4,753 768
Atel Holding 105 54
Basler Kantonalbank 272 28
Bell Holding 13 20
Financiere Tradition 163 19
Forbo Holding 58 23
Galenica (A) 417 150
Kuehne & Nagel International (A) 6,901 462
Lonza Group (A) 5,203 655
MCH Messe Schweiz Holding 530 28
Nestle (A) 18,060 783
Novartis (A) 13,436 709
PSP Swiss Property 10,382 606
Schindler Holding (A) 6,361 384
St. Galler Kantonalbank 83 34
Swiss Life Holding (A) 4,366 636
Swisscom (A) 2,103 628
Syngenta (A) 1,900 402
Valiant Holding 1,719 305
-----------
7,016
-----------
UNITED KINGDOM -- 2.4%
Beazley Group 49,315 105
Brixton+ 22,719 86
Carphone Warehouse Group 115,472 358
Centrica (A) 11,604 65
GlaxoSmithKline (A) 76,914 1,670
Great Portland Estates+ 18,816 114
HMV Group 362,484 832
Johnson Matthey 2 --
Reckitt Benckiser Group (A) 8,362 406
Scottish & Southern Energy (A) 12,805 327
Segro+ (A) 6,791 51
SEI Institutional Managed Trust / Annual Report / September 30, 2008
141
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Concluded)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Stagecoach Group 55,813 $ 254
Tate & Lyle (A) 97,122 669
-----------
4,937
-----------
UNITED STATES -- 30.0%
Abbott Laboratories 11,900 685
Activision Blizzard* 62,500 964
Air Products & Chemicals 2,600 178
Alberto-Culver 30,300 825
Alleghany* 204 74
Altria Group 28,200 559
AmerisourceBergen 14,700 553
Amgen* 9,700 575
Andersons 2,500 88
Anixter International* 4,100 244
Apollo Group, Cl A* 4,700 279
Applied Materials 59,900 906
Archer-Daniels-Midland 18,300 401
Argan* 2,000 31
Automatic Data Processing 13,000 556
Avid Technology* 1,400 34
Baxter International 6,200 407
Berkshire Hathaway, Cl B* 690 3,033
Biogen Idec* 5,400 272
BJ Services 8,200 157
Blockbuster, Cl A* 34,900 72
Bunge 1,419 90
Campbell Soup 14,900 575
Carriage Services* 3,600 13
Celgene* 8,700 551
CF Industries Holdings 3,400 311
Church & Dwight 9,100 565
Colgate-Palmolive 33,300 2,509
ConocoPhillips 8,800 645
Con-way 12,200 538
Costco Wholesale 1,600 104
Covance* 6,500 575
Darling International* 30,500 339
Delta Air Lines* 40,400 301
DIRECTV Group* 22,600 591
Expeditors International of Washington 14,800 516
Family Dollar Stores 21,600 512
First American 12,200 360
First Niagara Financial Group 10,600 167
FirstEnergy 4,800 322
FMC Technologies* 1,300 61
Foot Locker 33,700 545
Gap 29,700 528
Genentech* 16,700 1,481
General Electric 21,300 543
General Mills 14,400 990
Genzyme* 7,300 590
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Hewitt Associates, Cl A* 20,200 $ 736
Home Depot 21,800 564
Hormel Foods 14,100 512
Hospira* 23,600 902
Hudson City Bancorp 55,800 1,030
Hutchinson Technology* 6,300 73
Integral Systems 6,000 125
International Shipholding* 18,900 414
JetBlue Airways* 54,100 268
Johnson & Johnson 11,400 790
Kellogg 14,300 802
Kimberly-Clark 8,700 564
Krispy Kreme Doughnuts* 10,800 36
Laboratory Corp of America Holdings* 5,100 354
LaBranche* 10,500 47
Liberty Media - Capital, Ser A* 11,100 149
Life Partners Holdings 1,800 65
Life Sciences Research* 800 28
Lincare Holdings* 2,600 78
Lockheed Martin 7,100 779
M&T Bank 3,700 330
Magellan Health Services* 13,300 546
Mastercard, Cl A 1,800 319
McClatchy, Cl A 17,900 79
Medco Health Solutions* 2,900 131
Medtronic 32,100 1,608
Mosaic 4,000 272
New York* 6,000 57
Newmont Mining 31,900 1,236
NN 489 6
North American Galvanizing & Coating* 1,754 9
Northrop Grumman 10,000 605
OpenTV, Cl A* 22,560 32
Overhill Farms* 3,300 17
Owens & Minor 11,300 548
PAM Transportation Services* 6,200 68
Patterson-UTI Energy 11,900 238
PepsiCo 8,700 620
Pfizer 30,900 570
Procter & Gamble 8,200 571
Prospect Capital 5,200 67
Quest Diagnostics 46,100 2,382
Ralcorp Holdings* 3,300 222
Raytheon 16,500 883
RehabCare Group* 1,600 29
Rent-A-Center* 24,700 550
Republic Bancorp, Cl A 5,200 158
Rollins 14,850 282
SandRidge Energy* 11,700 229
Solera Holdings* 4,400 126
Southern 21,400 807
SEI Institutional Managed Trust / Annual Report / September 30, 2008
142
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Southwest Airlines 124,700 $ 1,808
State Street 9,600 546
Stepan 600 33
Stoneridge* 5,300 60
Sun Microsystems* 12,200 93
Symantec* 36,700 718
Talbots 10,600 139
TJX 55,300 1,688
UST 18,200 1,211
Vaalco Energy* 14,200 96
Varian Medical Systems* 10,800 617
Walgreen 15,400 477
Wal-Mart Stores 50,700 3,036
Washington Post, Cl B 800 445
Wells Fargo 15,900 597
Werner Enterprises 23,600 511
Whole Foods Market 22,900 459
Wyeth 14,700 543
Zions Bancorporation 26,200 1,014
-----------
61,219
-----------
Total Common Stock
(Cost $201,997) ($ Thousands) 190,894
-----------
CASH EQUIVALENT -- 0.9%
SEI Daily Income Trust, Prime Obligation
Fund, Cl A, 2.350%**++ 1,809,208 1,809
-----------
Total Cash Equivalent
(Cost $1,809) ($ Thousands) 1,809
-----------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bills
1.633%, 11/20/08 (B) (C) $ 705 705
-----------
Total U.S. Treasury Obligation
(Cost $703) ($ Thousands) 705
-----------
Total Investments -- 94.7%
(Cost $204,509) ($ Thousands) $ 193,408
===========
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
CONTRACTS EXPIRATION (DEPRECIATION)
TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ---------------- ------------ ---------- --------------
DJ Euro Stoxx 50 Index 10 Dec-2008 $ (2)
FTSE 100 Index 2 Dec-2008 (6)
Hang Seng Index 1 Oct-2008 (6)
S&P 500 Composite Index 4 Dec-2008 (6)
SPI 200 Index 3 Dec-2008 (17)
Topix Index 6 Dec-2008 (51)
----
$(88)
====
A summary of the outstanding forward foreign currency contracts held by the Fund
at September 30, 2008, is as follows (see Note 2 in Notes to Financial
Statements):
UNREALIZED
CURRENCY CURRENCY APPRECIATION
TO DELIVER TO RECEIVE (DEPRECIATION)
SETTLEMENT DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------- ------------- ----------- --------------
10/30/08 AUD 4,091 USD 3,406 $ 183
10/30/08 CAD 16,569 USD 16,033 416
10/30/08 EUR 20,581 USD 30,174 1,181
10/30/08 GBP 3,860 USD 7,119 224
10/30/08 JPY 9,062,695 USD 85,382 (426)
10/30/08 USD 130 AUD 165 --
10/30/08 USD 570 CAD 605 --
10/30/08 USD 1,116 EUR 792 --
10/30/08 USD 377 GBP 211 --
10/30/08 USD 4,297 JPY 454,113 2
------
$1,580
======
Percentages are based on Net Assets of $204,166 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total market value of
such securities as of September 30, 2008 was $77,784 ($ Thousands) and
represented 38.10% of Net Assets.
(B) The rate reported is the effective yield at time of purchase.
(C) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
AUD -- Australian Dollar
CAD -- Canadian Dollar
Cl -- Class
EUR -- Euro
GBP -- British Pound Sterling
JPY -- Japanese Yen
Ser -- Series
USD -- United States Dollar
Amounts designated as "--" are $0 or rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
143
SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Consumer Staples 20.3%
Health Care 18.3%
Industrials 10.6%
Utilities 10.3%
Short-Term Investment 8.7%
Financials 7.1%
Consumer Discretionary 7.0%
Information Technology 6.0%
Energy 4.3%
Materials 3.8%
Telecommunication Services 3.1%
U.S. Treasury Obligation 0.5%
# Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMON STOCK -- 91.6%
CONSUMER DISCRETIONARY -- 7.0%
Autoliv 9,600 $ 324
Buckle 6,100 339
Burger King Holdings 14,500 356
Career Education* 2,900 47
Choice Hotels International 6,600 179
CTC Media* 20,900 314
DIRECTV Group* 13,100 343
DreamWorks Animation SKG, Cl A* 11,800 371
Fortune Brands 464 27
Genuine Parts 4,600 185
H&R Block 5,800 132
Hillenbrand 1,576 32
International Speedway, Cl A 16,239 632
ITT Educational Services* 2,000 162
J.C. Penney 4,100 137
John Wiley & Sons, Cl A 4,600 186
Liberty Global, Cl A* 10,600 321
Liberty Media - Capital, Ser A* 29,537 395
Panera Bread, Cl A* 600 31
Penn National Gaming* 2,800 74
Polaris Industries 900 41
Shaw Communications, Cl B 17,900 364
Starwood Hotels & Resorts Worldwide 10,100 284
TRW Automotive Holdings* 16,000 255
Tupperware Brands 9,700 268
Washington Post, Cl B 1,754 977
----------
6,776
----------
CONSUMER STAPLES -- 20.6%
Altria Group 3,817 76
Anheuser-Busch 15,981 1,037
Brown-Forman, Cl B 10,963 787
Campbell Soup 8,371 323
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Church & Dwight 22,307 $ 1,385
Clorox 6,721 421
Coca-Cola 7,636 404
Colgate-Palmolive 15,424 1,162
Dean Foods* 10,200 238
Flowers Foods 5,500 161
General Mills 23,944 1,645
Hershey 13,913 550
HJ Heinz 13,882 694
Hormel Foods 28,023 1,017
JM Smucker 16,899 857
Kellogg 29,409 1,650
Kimberly-Clark 21,685 1,406
McCormick 26,304 1,011
Pepsi Bottling Group 8,300 242
PepsiCo 9,257 660
Philip Morris International 18,696 899
Procter & Gamble 12,802 892
Reynolds American 18,780 913
UST 17,938 1,194
WM Wrigley Jr. 2,832 225
----------
19,849
----------
ENERGY -- 4.3%
Cameco 2,900 65
Carrizo Oil & Gas* 4,100 149
Cimarex Energy 7,900 386
Enbridge 7,700 293
Exxon Mobil 3,900 303
Imperial Oil 9,300 396
International Coal Group* 20,500 128
Murphy Oil 1,200 77
Nexen 3,900 91
Penn Virginia 4,700 251
Petro-Canada 4,900 163
SEACOR Holdings* 17,683 1,396
Ship Finance International 9,800 211
TransCanada 7,100 257
----------
4,166
----------
FINANCIALS -- 7.1%
Bancorpsouth 13,300 374
Brown & Brown 9,800 212
Capitol Federal Financial 15,271 677
Cincinnati Financial 11,300 321
Commerce Bancshares 6,200 288
Credicorp 5,800 361
Erie Indemnity, Cl A 2,900 123
Federated Investors, Cl B 11,200 323
Fulton Financial 26,000 284
Investment Technology Group* 4,000 122
Loews 1,791 71
SEI Institutional Managed Trust / Annual Report / September 30, 2008
144
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
Mercury General 10,804 $ 592
OneBeacon Insurance Group, Cl A 14,700 311
Regions Financial 17,200 165
RenaissanceRe Holdings 6,900 359
StanCorp Financial Group 7,400 385
TFS Financial 30,200 378
UMB Financial 6,500 341
Valley National Bancorp 17,700 371
Wesco Financial 2,190 782
Whitney Holding 2,200 53
----------
6,893
----------
HEALTH CARE -- 18.5%
Abbott Laboratories 14,338 826
Alcon 2,100 339
AmerisourceBergen 24,740 931
Barr Pharmaceuticals* 2,000 131
Beckman Coulter 4,600 327
Becton Dickinson 1,847 148
BioMarin Pharmaceuticals* 13,100 347
Brookdale Senior Living 14,700 323
C.R. Bard 6,437 611
Celgene* 2,800 177
Covance* 11,631 1,028
Dentsply International 20,017 751
Edwards Lifesciences* 9,416 544
Eli Lilly 12,080 532
Endo Pharmaceuticals Holdings* 16,600 332
Genentech* 6,919 614
Henry Schein* 18,879 1,016
Hill-Rom Holdings 12,033 365
Hospira* 9,300 355
Idexx Laboratories* 15,577 854
Immucor* 10,500 336
Johnson & Johnson 17,169 1,189
King Pharmaceuticals* 24,500 235
Laboratory Corp of America Holdings* 10,599 737
Lincare Holdings* 20,677 622
McKesson 7,100 382
Medtronic 6,667 334
Onyx Pharmaceuticals* 6,200 224
Owens & Minor 6,000 291
Patterson* 16,967 516
Perrigo 9,200 354
Quest Diagnostics 5,044 261
STERIS 8,100 304
Techne* 11,065 798
United Therapeutics* 2,900 305
Universal Health Services, Cl B 8,102 454
----------
17,893
----------
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
INDUSTRIALS -- 10.6%
Alexander & Baldwin 6,000 $ 264
Alliant Techsystems* 3,400 319
C.H. Robinson Worldwide 7,400 377
Curtiss-Wright 3,900 177
Dun & Bradstreet 7,628 720
FTI Consulting* 4,800 347
Gardner Denver* 5,700 198
General Cable* 9,300 331
Granite Construction 1,300 47
Hertz Global Holdings* 39,300 298
Hubbell, Cl B 1,200 42
JetBlue Airways* 5,900 29
Landstar System 8,400 370
Lennox International 8,900 296
Lincoln Electric Holdings 5,100 328
Nordson 4,100 201
Northrop Grumman 14,898 902
Pitney Bowes 28,225 939
Republic Services 18,748 562
Ritchie Bros Auctioneers 14,300 334
Robert Half International 12,500 309
Rollins 18,600 353
Stericycle* 18,687 1,101
Union Pacific 2,600 185
United Parcel Service, Cl B 7,073 445
UTI Worldwide 6,400 109
Valmont Industries 4,400 364
Woodward Governor 9,100 321
----------
10,268
----------
INFORMATION TECHNOLOGY -- 6.1%
Acxiom 2,600 33
Adtran 1,400 27
Affiliated Computer Services, Cl A* 7,500 380
Applied Materials 20,615 312
Diebold 10,921 362
Factset Research Systems 3,100 162
Flir Systems* 8,300 319
Harris 5,300 245
Hewitt Associates, Cl A* 8,600 313
Ingram Micro, Cl A* 21,100 339
Jack Henry & Associates 4,200 85
Lexmark International, Cl A* 6,000 195
Linear Technology 10,756 330
Mantech International, Cl A* 5,600 332
Microchip Technology 12,632 372
Micros Systems* 4,700 125
National Instruments 10,009 301
Perot Systems, Cl A* 17,600 305
Qualcomm 2,300 99
Silicon Laboratories* 1,200 37
SEI Institutional Managed Trust / Annual Report / September 30, 2008
145
SCHEDULE OF INVESTMENTS
Tax-Managed Managed Volatility Fund (Concluded)
September 30, 2008
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Solera Holdings* 10,900 $ 313
Sybase* 9,800 300
Tech Data* 7,462 223
Zebra Technologies, Cl A* 12,715 354
----------
5,863
----------
MATERIALS -- 3.8%
Aptargroup 8,500 332
Bemis 7,200 189
Compass Minerals International 5,200 272
Domtar* 68,500 315
Eagle Materials 1,300 29
Greif, Cl A 4,300 282
Methanex 4,900 97
Newmont Mining 30,178 1,170
Nova Chemicals 9,900 224
Packaging Corp of America 13,200 306
Rockwood Holdings* 10,700 275
Sonoco Products 5,600 166
----------
3,657
----------
TELECOMMUNICATION SERVICES -- 3.2%
AT&T 16,000 446
CenturyTel 20,504 751
Embarq 7,200 292
Frontier Communications 50,213 577
Sprint Nextel 36,700 224
Telephone & Data Systems 9,040 323
Verizon Communications 13,800 443
----------
3,056
----------
UTILITIES -- 10.4%
AGL Resources 10,300 323
Alliant Energy 10,900 351
Ameren 18,583 725
Atmos Energy 11,700 311
Consolidated Edison 13,506 580
Constellation Energy Group 7,400 180
DPL 13,900 345
DTE Energy 7,900 317
Edison International 9,700 387
Hawaiian Electric Industries 25,448 741
Integrys Energy Group 6,700 335
MDU Resources Group 10,000 290
NiSource 13,900 205
Northeast Utilities 11,500 295
NSTAR 7,600 255
OGE Energy 20,572 635
Pepco Holdings 10,600 243
PG&E 3,800 142
Puget Energy 11,262 301
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
SCANA 26,728 $ 1,041
Southern 13,831 521
TECO Energy 24,100 379
Vectren 19,217 535
Westar Energy 9,700 223
Wisconsin Energy 7,400 332
----------
9,992
----------
Total Common Stock
(Cost $91,677) ($ Thousands) 88,413
----------
CASH EQUIVALENT -- 8.7%
SEI Daily Income Trust, Prime Obligation Fund,
Cl A, 2.350%**+ 8,445,221 8,445
----------
Total Cash Equivalent
(Cost $8,445) ($ Thousands) 8,445
----------
U.S. TREASURY OBLIGATION -- 0.5%
United States Treasury Bill
1.657%, 11/20/08 (A) (B) $ 455 455
----------
Total U.S. Treasury Obligation
(Cost $454) ($ Thousands) 455
----------
Total Investments -- 100.8%
(Cost $100,576) ($ Thousands) $ 97,313
==========
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
CONTRACTS EXPIRATION DEPRECIATION
TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ---------------- ------------ ----------- -------------
S&P 500 Index E-MINI 76 Dec-2008 $ (118)
=============
Percentages are based on Net Assets of $96,523 ($Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Investment in Affiliated Security (see Note 3).
(A) The rate reported is the effective yield at time of purchase.
(B) Security, of portion thereof, has been pledged as collateral on open
futures contracts.
Cl -- Class
Ser -- Series
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
146
Real Estate Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Financials 63.5%
Affiliated Partnership 30.4%
Short-Term Investment 3.5%
Consumer Discretionary 1.6%
Health Care 1.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 94.1%
CONSUMER DISCRETIONARY -- 2.3%
Marriott International, Cl A (A) 52,000 $ 1,357
Starwood Hotels & Resorts
Worldwide 156,400 4,401
-------------
5,758
-------------
FINANCIALS -- 90.4%
Acadia Realty Trust+ 17,700 447
AMB Property+ (A) 198,800 9,006
Annaly Capital Management+ 46,200 621
AvalonBay Communities+ (A) 66,900 6,584
Boston Properties+ (A) 161,583 15,134
Brandywine Realty Trust+ 117,000 1,876
British Land (United Kingdom)+ (B) 233,274 3,096
Brookfield Asset Management, Cl A 101,400 2,782
Brookfield Properties 35,500 562
Camden Property Trust+ 176,900 8,113
Corporate Office Properties Trust+ (A) 132,300 5,338
Dawnay Day Sirius (United Kingdom) 507,655 357
Dawnay Day Treveria (United Kingdom) 490,861 64
Douglas Emmett+ (A) 297,825 6,871
Duke Realty+ (A) 176,700 4,343
Equity Residential+ (A) 411,600 18,279
Essex Property Trust+ 21,500 2,544
Extra Space Storage+ (A) 205,200 3,152
Federal Realty Investment Trust+ (A) 94,000 8,046
Forest City Enterprises, Cl A 149,700 4,591
General Growth Properties+ (A) 462,510 6,984
Hammerson (United Kingdom)+ 112,006 1,939
HCP+ (A) 129,600 5,201
Host Hotels & Resorts+ (A) 801,594 10,653
Kimco Realty+ (A) 339,800 12,552
LaSalle Hotel Properties+ 58,300 1,360
Liberty Property Trust+ 51,000 1,920
Macerich+ (A) 98,900 6,295
Post Properties+ (A) 198,400 5,549
Prologis+ (A) 327,300 13,508
PS Business Parks+ 23,605 1,360
Public Storage+ (A) 55,354 5,481
Saul Centers+ 31,100 1,572
Simon Property Group+ (A) 178,550 17,319
Market Value
Description Shares ($ Thousands)
- ------------------------------------------------ ------------- -------------
SL Green Realty+ (A) 89,800 $ 5,819
Strategic Hotels & Resorts+ (A) 197,800 1,493
Taubman Centers+ (A) 83,250 4,163
Thomas Properties Group (A) 71,458 722
Unibail (France)+ (B) 15,483 3,091
Ventas+ (A) 123,600 6,108
Verde Realty PIPE* (B) (D) 21,400 706
Vornado Realty Trust+ (A) 129,700 11,796
------------
227,397
------------
HEALTH CARE -- 1.4%
Brookdale Senior Living (A) 117,700 2,587
Sunrise Senior Living* (A) 63,800 880
------------
3,467
------------
Total Common Stock
(Cost $246,383) ($ Thousands) 236,622
------------
AFFILIATED PARTNERSHIP -- 43.3%
SEI Liquidity Fund, L.P.,
2.560%**++ (C) 110,583,503 108,957
------------
Total Affiliated Partnership
(Cost $110,583) ($ Thousands) 108,957
------------
CASH EQUIVALENT -- 5.1%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A,
2.350%**++ 12,697,992 12,698
------------
Total Cash Equivalent
(Cost $12,698) ($ Thousands) 12,698
------------
Total Investments -- 142.5%
(Cost $369,664) ($ Thousands) $ 358,277
============
Percentages are based on Net Assets of $251,384 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) This Security or a partial position of this security is on loan at
September 30, 2008 (see Note 7). The total market value of securities on
loan at September 30, 2008 was $114,040 ($ Thousands).
(B) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total market value of
such securities as of September 30, 2008 was $6,893 ($ Thousands) and
represented 2.74% of Net Assets.
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2008 was $108,957 ($ Thousands).
(D) Security considered illiquid and restricted. The total market value of such
securities as of September 30, 2008 was $706 ($ Thousands) and represented
0.28% of Net Assets.
Cl -- Class
L.P. -- Limited Partnership
PIPE -- Private Investment in Public Entity
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
147
SCHEDULE OF INVESTMENTS
Enhanced Income Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Mortgage-Backed Securities 28.6%
Loan Participations 27.5%
Asset-Backed Securities 17.4%
Corporate Obligations 10.1%
Time Deposits 8.2%
Short-Term Investments 8.2%
# Percentages based on total investments.
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
MORTGAGE-BACKED SECURITIES -- 29.5%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 13.3%
FHLMC
6.000%, 09/01/26 $ 1,041 $ 1,057
FHLMC CMO STRIPS,
Ser 245, Cl IO, IO
5.000%, 05/15/37 1,592 356
FNMA TBA
6.500%, 10/01/37 10,000 10,253
6.000%, 11/01/14 to 11/01/26 5,648 5,752
FNMA
6.500%, 09/01/26 571 587
6.000%, 10/01/26 to 01/01/27 8,542 8,683
2.380%, 10/21/08 (B) 15,000 14,996
---------------
41,684
---------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 16.2%
American Tower Trust,
Ser 2007-1A, Cl D
5.957%, 04/15/37 1,250 1,119
Arkle Master Issuer PLC,
Ser 2006-1A, Cl 3M
2.997%, 11/17/08 (D) 1,000 938
Banc of America Mortgage Securities,
Ser 2004-J, Cl 2A1
4.758%, 11/25/08 (D) 332 313
Banc of America Mortgage Securities,
Ser 2005-C, Cl 2A2
4.709%, 11/25/08 (D) 951 877
Banc of America Mortgage Securities,
Ser 2005-I, Cl 2A1
4.868%, 11/25/08 (D) 667 606
Bayview Commercial Asset Trust,
Ser 2006-4A, Cl A2
3.477%, 10/27/08 (D) 519 447
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-12, Cl 11A1
5.469%, 11/25/08 (D) 703 572
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-6, Cl 3A1
5.276%, 11/25/08 (D) 1,705 1,481
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Citigroup Commercial Mortgage Trust,
Ser 2006-FL2, Cl D
2.698%, 10/15/08 (D) $ 400 $ 358
Citigroup Commercial Mortgage Trust,
Ser 2007-FL3A, Cl J
3.438%, 10/15/08 (D) 775 475
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A
4.453%, 11/25/08 (D) 205 163
Citigroup Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1
4.900%, 11/25/08 (D) 714 653
Commercial Mortgage Pass-Through
Certificates, Ser 2006-FL12, Cl A2
2.588%, 10/15/08 (D) 986 883
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2005-22, Cl 2A1
5.256%, 11/25/08 (D) 767 574
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2005-HY10, Cl 3A1A
5.379%, 11/20/08 (D) 490 341
Crown Castle Towers LLC, Ser 2006-1A,
Cl E
6.065%, 11/15/36 1,775 1,553
Crusade Global Trust, Ser 2004-2,
Cl A1
2.939%, 11/19/08 (D) 180 167
Crusade Global Trust, Ser 2007-1,
Cl A1
2.846%, 10/20/08 (D) 1,141 1,024
Diversified REIT Trust, Ser 1999-1A,
Cl A2
6.780%, 03/18/11 255 255
First Horizon Alternative Mortgage
Securities, Ser 2005-AA3, Cl 3A1
5.352%, 11/25/08 (D) 1,347 1,045
First Horizon Asset Securities,
Ser 2005-AR4, Cl 2A1
5.333%, 11/25/08 (D) 1,130 913
Gracechurch Mortgage Financing PLC,
Ser 2007-1A, Cl 2D1
3.200%, 11/20/08 (D) 1,195 1,048
Granite Master Issuer PLC, Ser 2006-3, Cl M1
2.966%, 10/20/08 (D) 570 476
Granite Master Issuer PLC, Ser 2007-1, Cl 1C1
3.504%, 12/22/08 (D) 410 267
SEI Institutional Managed Trust / Annual Report / September 30, 2008
148
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Granite Master Issuer PLC, Ser 2007-2,
Cl 2C1
3.219%, 10/17/08 (D) $ 525 $ 356
Greenwich Capital Commercial Funding,
Ser 2006-FL4A, Cl C
4.275%, 11/05/08 (D) 810 668
GS Mortgage Securities II, Ser 2007-EOP,
Cl K
5.095%, 11/06/08 (D) 380 318
GSR Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A2
6.379%, 11/25/08 (D) 302 258
GSR Mortgage Loan Trust,
Ser 2006-AR2, Cl 3A1
5.748%, 11/25/08 (D) 950 758
GSR Mortgage Loan Trust,
Ser 2007-AR2, Cl 1A1
5.779%, 11/25/08 (D) 2,073 1,540
Harborview Mortgage Loan Trust,
Ser 2005-14, Cl 3A1A
5.301%, 11/19/08 (D) 1,451 1,316
Impac CMB Trust, Ser 2005-1, Cl 1A1
3.467%, 10/27/08 (D) 410 229
Impac CMB Trust, Ser 2005-4, Cl 1M1
3.637%, 10/27/08 (D) 634 304
Interstar Millennium Trust, Ser 2002-1G,
Cl A2
2.971%, 01/07/09 (D) 103 99
JPMorgan Chase Commercial Mortgage
Securities, Ser 2006-FL2A, Cl J
3.138%, 10/15/08 (D) 1,966 1,554
JPMorgan Mortgage Trust, Ser 2006-A6,
Cl 4A1
5.248%, 11/25/08 (D) 1,094 1,003
JPMorgan Mortgage Trust, Ser 2007-A3,
Cl 1A1
5.457%, 11/25/08 (D) 1,988 1,542
Leek Finance PLC, Ser 2006-18A,
Cl A2B
3.334%, 12/22/08 (D) 414 402
Master Adjustable Rate Mortgages
Trust, Ser 2004-12, Cl 5A1
5.884%, 11/25/08 (D) 98 84
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 1A
5.023%, 11/25/08 (D) 375 279
Merrill Lynch Mortgage Investors,
Ser 2005-A2, Cl A2
4.487%, 11/25/08 (D) 1,656 1,340
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A
5.142%, 11/25/08 (D) 1,401 1,313
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1E
5.142%, 11/25/08 (D) $ 2,030 $ 1,779
MLCC Mortgage Investors, Ser 2006-1,
Cl 2A1
5.377%, 11/25/08 (D) 1,108 1,003
Morgan Stanley Capital I,
Ser 2007-XLFA, Cl C
2.648%, 10/15/08 (D) 1,025 842
MortgageIT Trust, Ser 2005-5, Cl A1
3.467%, 10/27/08 (D) 1,400 1,129
Permanent Master Issuer PLC,
Ser 2006-1, Cl 2C
3.191%, 10/15/08 (D) 700 635
Prudential Commercial Mortgage Trust,
Ser 2003-PWR1, Cl A1
3.669%, 02/11/36 727 701
Residential Funding Mortgage Securities I,
Ser 2006-SA1, Cl 1A1
5.672%, 11/25/08 (D) 586 473
Residential Funding Mortgage Securities I,
Ser 2007-SA2, Cl 2A2
5.674%, 11/25/08 (D) 976 803
Residential Funding Mortgage Securities I,
Ser 2007-SA2, Cl 2A1
5.674%, 11/25/08 (D) 2,010 1,655
Sequoia Mortgage Trust, Ser 2004-10,
Cl A2
3.508%, 10/20/08 (D) 267 258
Sequoia Mortgage Trust, Ser 2004-11,
Cl A1
3.488%, 10/20/08 (D) 212 200
Sequoia Mortgage Trust, Ser 2005-2,
Cl A1
3.408%, 10/20/08 (D) 119 109
Sequoia Mortgage Trust, Ser 2007-1,
Cl 2A1
5.824%, 11/20/08 (D) 1,914 1,597
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2004-AR5, Cl A6
3.838%, 11/25/08 (D) 1,200 1,192
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR3, Cl A2
4.636%, 11/25/08 (D) 1,264 1,091
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR2, Cl 1A1
5.297%, 11/25/08 (D) 696 568
SEI Institutional Managed Trust / Annual Report / September 30, 2008
149
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2003-J, Cl 2A4
4.452%, 11/25/08 (D) $ 151 $ 149
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-BB, Cl A2
4.556%, 11/25/08 (D) 705 603
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-AR1, Cl 2A1
4.499%, 11/25/08 (D) 918 743
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-AR2, Cl 2A2
4.549%, 11/25/08 (D) 803 694
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-AR4, Cl 2A2
4.537%, 11/25/08 (D) 471 409
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR10, Cl 2A1
5.636%, 11/25/08 (D) 1,173 899
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR16, Cl A1
5.665%, 11/25/08 (D) 1,621 1,369
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR5, Cl 2A1
5.539%, 11/25/08 (D) 1,554 1,240
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR8, Cl 2A1
5.240%, 11/25/08 (D) 1,116 959
---------------
51,011
---------------
Total Mortgage-Backed Securities
(Cost $102,209) ($ Thousands) 92,695
---------------
LOAN PARTICIPATIONS -- 28.3%
Acument Global Technologies,
Term B Loan
6.004%, 08/11/13 1,967 1,810
Alpha Topco, 2nd Lien
6.634%, 06/30/14 2,000 1,655
Arclin US Holdings, 1st Lien
5.560%, 07/10/14 1,840 1,500
Barrington Broadcasting Group
5.044%, 08/05/13 983 766
Bio Tech Research Labs, 1st Lien
4.470%, 03/17/14 986 818
CCS Medical
6.060%, 09/30/12 5,300 4,222
Cequel Communications, 1st Lien
4.795%, 11/05/13 1,463 1,274
Charter Communications
4.800%, 03/06/14 1,995 1,586
Claire's Stores, Term B Loan
5.556%, 05/29/14 2,992 1,787
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Clarke American, Tranche B
5.298%, 06/30/14 $ 1,980 $ 1,515
Delphi, Tranche C, 1st Lien
8.500%, 12/31/08 1,000 819
Delta Air Lines, 2nd Lien
5.719%, 04/30/14 484 337
Dollar General
5.219%, 07/07/14 1,500 1,298
Dollar General, Tranche B-2
5.219%, 07/07/14 1,500 1,298
DTN, 1st Lien, Tranche C
5.819%, 08/15/14 872 811
Eddie Bauer
5.880%, 04/01/14 857 583
Emerson Reinsurance, Term A Loan
4.570%, 12/15/11 1,300 1,079
Emerson Reinsurance, Term B Loan
5.820%, 12/15/11 500 415
Emerson Reinsurance, Term C Loan
8.070%, 12/15/11 200 166
Euramax International, 1st Lien
8.000%, 06/29/12 1,429 1,110
Ferro
1.000%, 06/06/12 (F) 644 48
First Data
5.903%, 09/24/14 3,491 2,982
Foamex L.P., 1st Lien
6.022%, 02/12/13 2,449 1,457
Fontainebleau Miami, Term B Loan
8.819%, 06/06/12 2,500 1,475
Freescale Semiconductor
4.236%, 11/29/13 1,995 1,620
Fresenius, Tranch B1
0.000%, 08/20/14 (E) 1,300 1,274
Fresenius, Tranch B2
0.000%, 08/20/14 (E) 700 686
Ginn La Conduit Lender, 1st Lien,
Tranche A
8.545%, 06/08/11 (G) 631 148
Ginn La Conduit Lender, 1st Lien,
Tranche B
9.500%, 06/08/11 (G) 1,352 316
Global Petroleum
8.526%, 07/26/13 1,960 1,803
Green Valley Ranch Gaming
5.707%, 02/16/14 974 677
Green Valley Ranch Gaming, 2nd Lien
6.959%, 08/16/14 1,000 493
HCA
7.610%, 11/07/13 1 1
II Exploration L.P., Term B Loan
7.292%, 10/28/13 988 741
SEI Institutional Managed Trust / Annual Report / September 30, 2008
150
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Keane International
4.720%, 06/04/13 $ 1,842 $ 1,234
Keane International (Synthetic)
4.720%, 06/04/13 140 93
Kuilima Resort, 1st Lien
0.000%, 09/30/10 (G) 1,577 972
Lake at Las Vegas
12.000%, 06/20/12 1,000 995
0.171%, 06/20/12 1,759 323
Lake at Las Vegas (Synthetic)
16.100%, 06/20/12 (G) 241 44
Land Investment Consortium, 1st Lien
7.704%, 05/09/11 897 628
Latham Manufacturing
8.520%, 06/30/12 2 1
Lifecare Holding
7.960%, 08/11/12 492 404
LNR Property, Tranche B
6.040%, 07/12/11 1,080 702
Manitowoc
0.000%, 04/14/14 (F) 2,000 --
Medical Staffing Network, 1st Lien
6.306%, 07/02/13 990 970
Metro PCS Wireless, Tranche B
5.402%, 11/04/13 1,995 1,781
0.000%, 11/04/13 (E) 1,000 893
Monitor Oil, 2nd Lien
0.000%, 01/25/15 (F) 47 --
Movie Gallery, 1st Lien
12.250%, 03/08/12 1,436 969
9.750%, 03/08/12 479 323
Movie Gallery, 1st Lien (Synthetic)
8.551%, 03/08/12 57 38
8.551%, 03/08/12 19 13
Mylan Laboratiories, Term Loan B
7.037%, 10/02/14 1,994 1,862
Penton Media, 1st Lien
5.067%, 02/01/13 1,481 1,059
Pinnacle Foods Group
5.433%, 04/19/14 990 818
Pivotal Promontory LLC, 1st Lien
7.000%, 08/31/10 (G) 2,957 1,951
Realogy (Synthetic)
2.440%, 10/10/13 483 361
Realogy, Term B Loan
5.570%, 10/10/13 (E) 2,232 1,670
Roofing Supply Group
9.770%, 06/30/13 956 705
Serena Software
4.680%, 03/11/13 1,707 1,536
Sirva Worldwide, Term B Loan
12.500%, 12/01/10 1,787 655
9.400%, 12/01/10 888 888
6.370%, 12/01/10 1,000 366
0.000%, 12/01/10 (F) 18 --
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Sitel LLC
5.345%, 01/30/14 $ 2,727 $ 1,882
Spirit Finance
5.801%, 07/15/13 3,500 2,415
Texas Competitive Electric Holdings
6.231%, 10/10/14 755 635
Texas Electric, Tranche B-2
6.231%, 10/10/14 (E) 1,194 1,003
The Newark Group
9.530%, 03/22/13 240 180
The Newark Group (Synthetic)
10.210%, 03/22/13 1,619 1,214
Total Safety, 1st Lien, Tranche B
5.222%, 12/08/12 990 941
Totes Isotoner, 1st Lien
5.158%, 01/31/13 741 593
5.150%, 01/31/13 738 590
5.139%, 01/31/13 2,461 1,969
US Airways Group
6.209%, 03/19/14 6,435 3,952
Venoco, 2nd Lien
6.812%, 05/07/14 1,000 930
Verint Systems
5.736%, 05/27/14 1,877 1,539
Waiccs Las Vegas 3 LLC, 1st Lien
6.198%, 02/01/09 2,000 1,600
Waiccs Las Vegas 3 LLC, 2nd Lien
11.698%, 02/01/09 2,000 1,400
WideOpenWest Finance, 1st Lien
5.397%, 06/30/14 2,000 1,500
5.397%, 06/01/14 3,000 2,249
WideOpenWest Finance, 2nd Lien
9.500%, 06/27/15 1,303 978
Wm. Bolthouse Farms, 1st Lien
5.063%, 12/17/12 2,952 2,656
---------------
Total Loan Participations
(Cost $116,936) ($Thousands) 89,050
---------------
ASSET-BACKED SECURITIES -- 17.9%
AUTOMOTIVE -- 3.3%
AmeriCredit Automobile Receivables
Trust, Ser 2006-1, Cl A4
5.200%, 03/06/11 830 813
Americredit Prime Automobile
Receivable, Ser 2007-1, Cl D
5.620%, 01/08/12 775 599
Capital Auto Receivables Asset Trust,
Ser 2007-1, Cl B
5.150%, 09/17/12 955 835
Carmax Auto Owner Trust, Ser 2007-1,
Cl C
5.530%, 07/15/13 190 134
SEI Institutional Managed Trust / Annual Report / September 30, 2008
151
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Ford Credit Auto Owner Trust,
Ser 2007-A, Cl C
5.800%, 02/15/13 $ 515 $ 399
Harley-Davidson Motorcycle Trust,
Ser 2006-1, Cl B
5.240%, 11/15/13 1,550 1,509
Harley-Davidson Motorcycle Trust,
Ser 2006-3, Cl B
5.430%, 11/15/14 890 774
Harley-Davidson Motorcycle Trust,
Ser 2007-2, Cl B
5.230%, 03/15/14 1,225 1,077
Hyundai Auto Receivables Trust,
Ser 2006-B, Cl D
5.410%, 05/15/13 680 648
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A4
5.260%, 11/15/12 660 658
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3A
5.040%, 01/17/12 660 660
Merrill Auto Trust Securitization,
Ser 2007-1, Cl C
5.960%, 12/15/13 1,593 1,464
WFS Financial Owner Trust, Cl A4
3.930%, 02/17/12 667 667
---------------
10,237
---------------
CREDIT CARDS -- 5.9%
Advanta Business Card Master Trust,
Ser 2004-C1, Cl C
4.238%, 10/20/08 (D) 485 400
Advanta Business Card Master Trust,
Ser 2006-B2, Cl B2
3.438%, 10/20/08 (D) 1,000 663
Advanta Business Card Master Trust,
Ser 2006-C1, Cl C1
3.668%, 10/20/08 (D) 1,500 739
Advanta Business Card Master Trust,
Ser 2007-B1, Cl B
3.438%, 10/20/08 (D) 2,000 1,233
American Express Credit Account Master
Trust, Ser 2004-C, Cl C
2.988%, 10/15/08 (D) 124 119
Bank of America Credit Card Trust,
Ser 2006-C7, Cl C7
2.718%, 10/15/08 (D) 1,000 951
Cabela's Master Credit Card Trust,
Ser 2006-3A, Cl C
2.867%, 10/15/08 (D) 520 444
Capital One Master Trust, Ser 2002-1A,
Cl B
3.088%, 10/15/08 (D) 525 523
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Capital One Multi-Asset Execution Trust,
Ser 2005-C1, Cl C1
2.888%, 10/15/08 (D) $ 1,800 $ 1,592
Citibank Credit Card Issuance Trust,
Ser 2006-C4, Cl C4
4.330%, 11/07/08 (D) 1,800 1,687
Citibank Credit Card Issuance Trust,
Ser 2007-B5, Cl B5
4.730%, 11/07/08 (D) 2,000 1,721
First National Master Note Trust,
Ser 2007-1, Cl B
2.688%, 10/15/08 (D) 1,335 1,253
GE Capital Credit Card Master Note
Trust, Ser 2007-4, Cl B
2.688%, 10/15/08 (D) 3,150 2,556
MBNA Master Credit Card Trust,
Ser 1997-B, Cl B
2.838%, 10/15/08 (D) 2,100 1,831
MBNA Master Credit Card Trust,
Ser 1999-J, Cl C
7.850%, 02/15/12 (C) 1,500 1,495
Washington Mutual Master Note Trust,
Ser 2006-C2A, Cl C2
2.988%, 10/15/08 (C) (D) 800 465
Washington Mutual Master Note Trust,
Ser 2006-C3A, Cl C3A
2.868%, 10/15/08 (D) 1,000 859
---------------
18,531
---------------
MORTGAGE RELATED SECURITIES -- 1.5%
ACE Securities, Ser 2006-HE1, Cl M2
3.607%, 10/27/08 (D) 515 53
ACE Securities, Ser 2006-OP2, Cl A2B
3.317%, 10/27/08 (D) 1,000 895
Asset-Backed Funding Certificates,
Ser 2006-OPT2, Cl A3B
3.317%, 10/27/08 (D) 1,100 1,015
New Century Home Equity Loan Trust,
Ser 2005-1, Cl A1MZ
3.497%, 10/27/08 (D) 35 29
Option One Mortgage Loan Trust,
Ser 2005-3, Cl M1
3.677%, 10/27/08 (D) 428 298
Option One Mortgage Loan Trust,
Ser 2007-2, Cl M1
3.567%, 10/27/08 (D) 2,635 370
Option One Mortgage Loan Trust,
Ser 2007-FXD1, Cl 3A3
5.611%, 11/25/08 (D) 285 173
Option One Mortgage Loan Trust,
Ser 2007-FXD2, Cl 2A1
5.900%, 03/25/37 1,136 1,120
SEI Institutional Managed Trust / Annual Report / September 30, 2008
152
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1
3.327%, 10/27/08 (D) $ 873 $ 763
---------------
4,716
---------------
OTHER ASSET-BACKED SECURITIES -- 7.2%
ACAS Business Loan Trust,
Ser 2006-1A, Cl A
3.040%, 11/28/08 (D) 1,750 1,461
ACAS Business Loan Trust
Ser 2007-1A, Cl C
3.657%, 11/17/08 (D) 1,837 1,510
AIG Credit Premium Finance Master
Trust, Ser 2007-AA, Cl C
2.888%, 10/15/08 (D) 1,245 1,071
Babson CLO , Ser 2007-1A, Cl A1
3.010%, 10/20/08 (D) 1,120 984
Blackrock Senior Income Series,
Ser 2006-4A, Cl C
3.466%, 10/20/08 (D) 1,930 1,158
Capital Trust Re CDO Ltd.,
Ser 2006-4A, Cl A1
3.498%, 10/20/08 (D) 1,059 709
CapitalSource Commercial Loan Trust,
Ser 2006-2A, Cl A1A
3.398%, 10/20/08 (D) 730 651
CapitalSource Commercial Loan Trust,
Ser 2007-1, Cl C
3.838%, 10/20/08 (D) 467 337
CIT Equipment Collateral,
Ser 2006-VT2, Cl C
5.290%, 04/20/14 68 67
Citigroup Mortgage Loan Trust,
Ser 2006-WFH3, Cl M1
3.497%, 10/27/08 (D) 805 335
Countrywide Asset-Backed Certificates,
Ser 2005-13, Cl 3AV3
3.457%, 10/27/08 (D) 1,301 1,214
Countrywide Asset-Backed Certificates,
Ser 2006-18, Cl M1
3.507%, 10/27/08 (D) 1,000 242
Countrywide Asset-Backed Certificates,
Ser 2006-22, Cl M3
3.517%, 10/27/08 (D) 1,000 107
Countrywide Asset-Backed Certificates,
Ser 2006-22, Cl M1
3.437%, 10/27/08 (D) 1,500 272
Credit-Based Asset Servicing and
Securitization CDO, Ser 2006-16A,
Cl A
3.065%, 12/08/08 (D) 523 78
Dominos Pizza Master Issuer LLC,
Ser 2007-1, Cl A2
5.261%, 04/25/37 2,200 1,784
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2007-FF1, Cl M2
3.467%, 10/27/08 (D) $ 1,145 $ 135
GE Business Loan Trust, Ser 2003-2A,
Cl B
3.488%, 10/15/08 (D) 101 84
GE Business Loan Trust, Ser 2004-2A,
Cl A
2.708%, 10/15/08 (D) 136 105
GE Business Loan Trust, Ser 2004-2A,
Cl B
2.968%, 10/15/08 (D) 102 92
GE Business Loan Trust, Ser 2006-2A,
Cl D
3.238%, 10/15/08 (D) 281 213
GE Commercial Equipment Financing,
Ser 2004-1, Cl B
3.388%, 10/20/08 (D) 591 588
GE Commercial Loan Trust, Ser 2006-3,
Cl C
3.336%, 10/20/08 (D) 344 184
GE Dealer Floorplan Master Note Trust,
Ser 2006-2, Cl C
3.618%, 10/20/08 (D) 460 323
GMAC Mortgage Loan Trust,
Ser 2006-HE4, Cl A2
3.347%, 10/27/08 (D) 1,052 662
JPMorgan Mortgage Acquisition,
Ser 2006-CH1, Cl M1
2.689%, 10/27/08 (D) 335 138
JPMorgan Mortgage Acquisition,
Ser 2006-CH2, Cl MV1
3.417%, 10/27/08 (D) 1,125 318
JPMorgan Mortgage Acquisition,
Ser 2006-WMC3, Cl A4
3.357%, 10/27/08 (D) 1,250 525
JPMorgan Mortgage Acquisition,
Ser 2007-CH3, Cl M3
3.577%, 10/27/08 (D) 385 66
Katonah, Ser 2005-7A, Cl B
3.224%, 11/17/08 (D) 700 539
Lambda Finance , Ser 2005-1A, Cl A3
3.034%, 11/17/08 (D) 1,600 1,490
Marriott Vacation Club Owner Trust,
Ser 2006-2A, Cl A
5.362%, 10/20/28 153 141
Marriott Vacation Club Owner Trust,
Ser 2007-1A, Cl D
6.135%, 05/20/29 700 557
Mayport CLO, Ser 2006-1A, Cl A3L
3.462%, 11/24/08 (D) 270 174
Mayport CLO, Ser 2006-1A, Cl A2L
3.172%, 11/24/08 (D) 1,005 736
SEI Institutional Managed Trust / Annual Report / September 30, 2008
153
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Prima, Ser 2006-1, Cl A1
5.417%, 12/28/48 $ 2,144 $ 1,844
Race Point CLO, Ser 2007-4A, Cl D
4.801%, 11/03/08 (D) 500 175
Sierra Receivables Funding,
Ser 2007-2A, Cl A2
4.188%, 10/20/08 (D) 1,050 848
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl C
3.088%, 10/15/08 (D) 215 184
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl B
2.788%, 10/15/08 (D) 115 103
Triton Container Finance LLC,
Ser 2006-1A, Cl N
3.599%, 10/27/08 (D) 612 481
Wadsworth CDO, Ser 2006-1A, Cl A2
3.184%, 11/05/08 (D) 940 9
Wadsworth CDO, Ser 2006-1A, Cl B
3.254%, 11/05/08 (D) 315 3
---------------
22,697
---------------
Total Asset-Backed Securities
(Cost $78,058) ($ Thousands) 56,181
---------------
CORPORATE OBLIGATIONS -- 10.4%
CONSUMER DISCRETIONARY -- 0.8%
Harrah's Operating
5.500%, 07/01/10 1,000 750
President and Fellows of Harvard College
3.700%, 04/01/13 1,060 1,029
Univision Communications
3.875%, 10/15/08 825 817
---------------
2,596
---------------
FINANCIALS -- 7.3%
Banco Santander Chile
3.164%, 12/09/08 (C) (D) 1,750 1,718
BTM Curacao Holdings MTN
4.760%, 01/21/09 (C) 1,000 974
Citigroup
3.361%, 11/25/08 (D) 1,500 684
Everest Reinsurance Holdings
8.750%, 03/15/10 1,050 1,094
6.600%, 11/15/08 2,000 1,169
Goldman Sachs Capital III
3.581%, 12/01/08 (D) 2,600 919
ILFC E-Capital Trust I
5.900%, 12/21/08 (C) (D) 1,000 301
JPMorgan Chase Capital XXI, Ser U
3.741%, 11/03/08 (D) 2,550 1,976
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Liberty Property L.P.
7.250%, 03/15/11 ++ $ 1,000 $ 1,015
MBIA Insurance
14.000%, 01/15/09 (C) (D) 1,000 580
Mellon Funding
2.954%, 11/17/08 (D) 2,100 1,986
Merrill Lynch
3.579%, 12/15/08 (D) 700 547
Monumental Global Funding III
2.991%, 10/15/08 (C) (D) 1,800 1,613
Prudential Financial MTN
5.100%, 12/14/11 310 304
RSHB Capital
7.175%, 05/16/13 (C) 115 94
6.299%, 05/15/17 1,065 760
State Street
2.896%, 10/30/08 (D) 1,215 1,207
State Street Capital Trust IV
3.819%, 12/15/08 (D) 850 561
UBS Luxembourg
7.429%, 02/11/09 500 453
Unitrin
6.000%, 05/15/17 1,270 1,066
4.875%, 11/01/10 1,000 966
VTB 24 Capital PLC MTN, Ser E
3.635%, 12/08/08 (D) 1,000 960
Western Union
5.400%, 11/17/11 1,175 1,185
Willis North America
5.125%, 07/15/10 1,000 990
---------------
23,122
---------------
HEALTH CARE -- 0.6%
Quest Diagnostics
5.125%, 11/01/10 1,000 1,008
UnitedHealth Group
4.102%, 11/07/08 (D) 1,000 980
---------------
1,988
---------------
INDUSTRIALS -- 0.3%
Continental Airlines, Ser 061G
3.161%, 12/02/08 (D) 1,000 795
---------------
REGIONAL AGENCIES -- 0.2%
Republic of Trinidad & Tobago
9.875%, 10/01/09 500 523
---------------
TELECOMMUNICATION SERVICES -- 1.0%
Corning
6.050%, 06/15/15 1,000 956
Telecom Italia Capital
3.395%, 10/20/08 (D) 1,000 933
SEI Institutional Managed Trust / Annual Report / September 30, 2008
154
Face Amount
($ Thousands)/ Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Vodafone Group PLC
3.090%, 11/28/08 (D) $ 1,300 $ 1,225
---------------
3,114
---------------
UTILITIES -- 0.2%
Southern, Ser A
5.300%, 01/15/12 665 667
---------------
Total Corporate Obligations
(Cost $39,935) ($ Thousands) 32,805
---------------
TIME DEPOSITS -- 8.4%
Barclays Bank London
2.520%, 10/31/08 5,422 5,422
Lloyds TSB London
2.560%, 10/10/08 5,223 5,223
Royal Bank of Scotland London
2.600%, 11/12/08 5,140 5,140
2.450%, 11/13/08 4,744 4,744
UBS London
3.920%, 11/13/08 6,054 6,053
---------------
Total Time Deposits
(Cost $26,582) ($ Thousands) 26,582
---------------
CASH EQUIVALENT -- 3.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 2.350%*+ 12,131,746 12,132
---------------
Total Cash Equivalent
(Cost $12,132) ($ Thousands) 12,132
---------------
REPURCHASE AGREEMENT -- 4.5%
Bank of America (A)
2.250%, dated 09/30/08, to be
repurchased on 10/01/08,
repurchase price $14,300,894
(collateralized by a U.S. Government
Obligation, par value
$15,816,325,
5.500%, 01/01/38; market
value $14,521,915) 14,300 14,300
---------------
Total Repurchase Agreement
(Cost $14,300) ($ Thousands) 14,300
---------------
Total Investments -- 102.8%
(Cost $390,152) ($ Thousands) $ 323,745
===============
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ----------------------- ------------ ---------- --------------
U.S. 10-Year Note (130) Dec-2008 $ 149
U.S. 2-Year Note (125) Dec-2008 (134)
U.S. 5-Year Note (90) Dec-2008 9
U.S. Long Treasury Bond (24) Dec-2008 7
-----
$ 31
=====
A summary of the outstanding forward foreign currency contracts held by the Fund
at September 30, 2008, is as follows (see Note 2 in Notes to Financial
Statements):
UNREALIZED
CURRENCY CURRENCY APPRECIATION
SETTLEMENT TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- ----------------- ------------ ------------ --------------
10/10/08 AUD 6,367 EUR 3,632 $ 87
10/10/08 AUD 3,900 GBP 1,790 118
10/10/08 CAD 3,760 USD 3,563 24
10/10/08 EUR 3,247 AUD 5,771 (15)
10/10/08 EUR 2,698 SEK 25,710 (105)
10/10/08 GBP 2,732 AUD 6,035 (115)
10/10/08 SEK 25,710 EUR 2,701 110
10/10/08 USD 1,280 CAD 1,370 10
10/10/08-12/10/08 AUD 3,958 USD 3,600 487
10/10/08-12/10/08 CHF 6,200 NZD 8,007 (236)
10/10/08-12/10/08 EUR 9,115 USD 14,000 1,172
10/10/08-12/10/08 GBP 10,501 USD 20,300 1,556
10/10/08-12/10/08 NZD 8,097 CHF 6,200 175
10/10/08-12/10/08 USD 3,600 AUD 3,860 (565)
10/10/08-12/10/08 USD 14,000 EUR 9,005 (1,327)
10/10/08-12/10/08 USD 20,300 GBP 10,420 (1,701)
10/10/08-1/14/09 NOK 29,499 JPY 587,000 602
10/10/08-2/11/09 GBP 2,385 SGD 6,200 97
10/10/08-2/12/09 JPY 674,000 NOK 33,909 (697)
10/10/08-3/11/09 EUR 14,807 JPY2,353,000 1,495
10/10/08-3/11/09 GBP 6,038 JPY1,182,000 501
10/10/08-3/11/09 JPY2,353,000 EUR 14,676 (1,679)
10/10/08-3/11/09 JPY1,182,000 GBP 5,925 (703)
10/10/08-3/11/09 SGD 7,300 GBP 2,791 (149)
1/13/09 CHF 3,200 EUR 1,999 (62)
1/13/09 EUR 2,014 CHF 3,200 40
1/13/09-2/11/09 AUD 1,705 CHF 1,600 106
1/13/09-2/11/09 CHF 1,600 AUD 1,686 (121)
1/13/09-2/11/09 GBP 4,012 CHF 8,000 40
1/13/09-2/11/09 NZD 3,198 USD 2,200 96
1/13/09-3/11/09 CHF 9,700 GBP 4,842 (93)
1/13/09-3/11/09 USD 2,900 NZD 4,152 (171)
-------
$(1,023)
=======
SEI Institutional Managed Trust / Annual Report / September 30, 2008
155
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Concluded)
September 30, 2008
A summary of outstanding swap agreements held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
CREDIT DEFAULT SWAPS
NET
UNREALIZED
APPRECIATION
BUY/SELL (PAYS)/ TERMINATION NOTIONAL AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RECEIVES RATE DATE (THOUSANDS) ($THOUSANDS)
- ------------- ----------------------------------- ---------- ------------- ----------- --------------- --------------
Goldman Sachs AIG, 2.80%, 09/20/13 Buy (2.80)% 09/20/13 $ 485 $158
Goldman Sachs Republic of Italy, 6.875%, 09/27/23 Sell 0.19 12/20/16 1,700 (48)
----
$110
====
Percentages are based on Net Assets of $314,811 ($ Thousands).
* Rate shown is the 7-day effective yield as of September 30, 2008.
+ Investment in Affiliated Security (see Note 3).
++ Real Estate Investment Trust.
(A) Tri-Party Repurchase Agreement.
(B) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the
effective yield at time of purchase.
(C) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2008. The date reported on the
Schedule of Investments is the next reset date.
(E) Unsettled bank loan. Interest rate not available.
(F) Unfunded bank loan. Interest rate not available.
(G) Security in default on interest payments.
AUD -- Australian Dollar
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
CLO -- Collateralized Loan Obligation
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound
IO -- Interest Only-face amount represents notional amount
JPY -- Japanese Yen
LLC -- Limited Liability Company
L.P. -- Limited Partnership
Ltd. -- Limited
MTN -- Medium Term Note
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
PLC -- Public Limited Company
REIT -- Real Estate Investment Trust
SEK -- Swedish Krona
Ser -- Series
SGD -- Singapore Dollar
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- United States Dollar
Amounts designated as "--" are $0 or rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
156
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Mortgage-Backed Securities 57.4%
Financials 9.6%
Asset-Backed Securities 7.4%
Affiliated Partnership 4.5%
U.S.Treasury Obligations 3.6%
Energy 2.5%
U.S. Government Agency Obligations 2.2%
Utilities 2.1%
Industrials 1.5%
Telecommunication Services 1.3%
Consumer Discretionary 1.3%
Short-Term Investments 1.2%
Commercial Paper 0.9%
Health Care 0.9%
Loan Participations 0.9%
Materials 0.7%
Repurchase Agreement 0.6%
Consumer Staples 0.5%
Sovereign 0.4%
Municipal Bonds 0.2%
Information Technology 0.2%
Purchase Swaptions 0.1%
Certificates of Deposit 0.0%
Purchase Option 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
MORTGAGE-BACKED SECURITIES -- 72.5%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 54.4%
FHLB, Ser 2014-I7, Cl 1
5.340%, 03/20/14 $ 3,100 $ 3,107
FHLB, Ser 2015-VN, Cl A
5.460%, 11/27/15 6,669 6,717
FHLMC TBA
6.000%, 10/01/19 4,500 4,569
5.500%, 10/15/37 to 11/01/37 95,500 94,866
5.000%, 10/15/33 5,400 5,260
FHLMC
7.500%, 11/01/29 to 09/01/32 2,063 2,229
7.000%, 06/01/09 to 01/01/32 487 508
6.500%, 07/01/34 823 852
6.500%, 12/01/13 to 08/01/38 36,864 37,914
6.000%, 08/01/16 to 03/01/38 77,373 78,524
5.625%, 11/23/35 4,830 4,747
5.500%, 12/01/13 to 05/01/38 183,838 183,418
5.000%, 10/01/14 to 06/01/38 61,905 60,818
4.500%, 04/01/28 to 03/01/36 7,256 6,893
4.125%, 09/27/13 (A) 16,660 16,790
4.000%, 04/01/19 to 10/01/33 2,855 2,649
2.164%, 10/24/08 (B) 54 54
2.132%, 10/14/08 (B) 450 450
FHLMC ARM
6.888%, 12/15/08 949 971
6.654%, 12/15/08 568 587
6.643%, 12/15/08 608 626
6.389%, 12/15/08 833 859
6.309%, 12/15/08 301 308
6.305%, 12/15/08 1,061 1,095
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
6.145%, 12/15/08 $ 2,503 $ 2,583
6.138%, 12/15/08 3,131 3,185
6.033%, 12/15/08 7 7
5.943%, 12/15/08 339 343
5.941%, 12/15/08 327 332
5.930%, 12/15/08 427 432
5.914%, 12/15/08 2,830 2,885
5.909%, 12/15/08 689 702
5.889%, 12/15/08 6,710 6,850
5.884%, 12/15/08 14,622 14,937
5.874%, 12/15/08 2,465 2,507
5.848%, 12/15/08 1,044 1,066
5.846%, 12/15/08 2,359 2,402
5.829%, 12/15/08 671 677
5.740%, 12/15/08 1,507 1,525
5.510%, 12/15/08 3,187 3,243
5.118%, 12/15/08 5,796 5,855
FHLMC CMO, Cl BQ
5.500%, 10/15/17 1,839 1,874
FHLMC CMO, Cl BG
4.500%, 04/15/32 1,259 1,212
FHLMC CMO, Cl TB
5.500%, 06/15/30 545 550
FHLMC CMO, Cl BC
5.000%, 08/15/19 1,292 1,271
FHLMC CMO, Cl PG
5.000%, 04/15/36 243 231
FHLMC CMO, Cl PB
5.000%, 06/15/31 494 486
FHLMC CMO, Cl HA
4.000%, 07/15/17 2,165 2,130
FHLMC CMO, Cl AD
4.500%, 08/15/32 1,175 1,129
FHLMC CMO
4.500%, 08/15/35 1,777 1,760
FHLMC CMO, Cl BY
5.000%, 03/15/18 322 317
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
5.000%, 08/01/35 11,393 2,501
FHLMC CMO STRIPS, Ser 233, Cl 6, IO
4.500%, 08/15/35 477 101
FHLMC CMO STRIPS, Ser 233, Cl 12, IO
5.000%, 09/15/35 3,215 624
FHLMC CMO STRIPS, Ser 245, Cl IO, IO
5.000%, 05/15/37 2,760 618
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 143 152
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 15,041 15,389
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 2,152 2,150
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 3,117 3,226
SEI Institutional Managed Trust / Annual Report / September 30, 2008
157
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
FHLMC CMO, Ser 2277, Cl B
7.500%, 01/15/31 $ 435 $ 444
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 2,135 2,161
FHLMC CMO, Ser 2399, Cl XG
6.500%, 01/15/32 6,311 6,494
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17 2,316 2,282
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 352 1
FHLMC CMO, Ser 2558, Cl BD
5.000%, 01/15/18 1,785 1,760
FHLMC CMO, Ser 2583, Cl TD
4.500%, 12/15/13 1,621 1,629
FHLMC CMO, Ser 2590, Cl NU
5.000%, 06/15/17 1,305 1,318
FHLMC CMO, Ser 2603, Cl KT
4.750%, 07/15/14 787 795
FHLMC CMO, Ser 2623, Cl AJ
4.500%, 07/15/16 1,309 1,307
FHLMC CMO, Ser 2672, Cl HA
4.000%, 09/15/16 587 584
FHLMC CMO, Ser 2694, Cl QG
4.500%, 01/15/29 1,930 1,930
FHLMC CMO, Ser 2725, Cl PC
4.500%, 05/15/28 724 725
FHLMC CMO, Ser 2727, Cl PW
3.570%, 06/15/29 550 545
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 5,995 5,590
FHLMC CMO, Ser 2780, Cl TB
3.000%, 12/15/24 568 566
FHLMC CMO, Ser 2790, Cl TN
4.000%, 05/15/24 1,398 1,242
FHLMC CMO, Ser 2945, Cl SA
7.817%, 10/15/08 (C) 4,854 4,580
FHLMC CMO, Ser 3035, Cl PA
5.500%, 09/15/35 460 467
FHLMC CMO, Ser 3104, Cl QC
5.000%, 09/15/31 1,199 1,185
FHLMC CMO, Ser 3117
5.000%, 06/15/31 242 243
FHLMC CMO, Ser 3133, Cl GA
5.000%, 06/15/33 933 938
FHLMC CMO, Ser 3268, Cl HC
5.000%, 12/15/32 957 932
FHLMC CMO, Ser 3289, Cl PB
5.000%, 11/15/29 1,241 1,234
FHLMC CMO, Ser 3298, Cl VB
5.000%, 11/15/25 1,046 976
FHLMC CMO, Ser 3316, Cl HA
5.000%, 07/15/35 3,272 3,236
FHLMC CMO, Ser 3372, Cl BD
4.500%, 10/15/22 1,188 1,083
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
FHLMC CMO, Ser 3460, Cl PC
5.000%, 08/15/34 $ 1,038 $ 1,006
FNMA TBA
6.500%, 10/01/37 39,025 40,012
5.500%, 10/15/22 to 10/01/38 197,810 281,058
5.000%, 10/15/18 to 10/01/38 222,710 222,620
FNMA
8.000%, 10/01/15 11 12
7.000%, 10/01/13 to 10/01/33 1,337 1,408
7.000%, 09/01/26 to 12/01/37 7,162 7,515
6.500%, 05/01/17 to 04/01/38 36,147 37,134
6.000%, 05/01/21 to 10/01/37 99,006 100,456
5.500%, 06/01/14 to 08/01/37 175,888 176,766
5.000%, 01/01/20 to 12/01/36 113,157 111,253
5.000%, 04/01/37 to 07/01/38 28,990 28,266
4.500%, 07/01/33 to 04/01/38 9,297 8,819
4.500%, 06/01/13 to 09/01/37 78,154 74,240
4.000%, 08/01/20 to 05/01/34 7,120 6,571
0.000%, 06/31/07 148 146
FNMA ARM
6.252%, 11/25/08 236 243
6.116%, 11/25/08 581 596
6.109%, 11/25/08 1,021 1,038
6.098%, 11/25/08 1,035 1,061
6.068%, 11/25/08 872 892
6.026%, 11/25/08 712 726
6.003%, 11/25/08 499 506
5.978%, 11/25/08 727 736
5.946%, 11/25/08 899 913
5.943%, 11/25/08 1,889 1,929
5.901%, 11/25/08 3,088 3,148
5.881%, 11/25/08 598 606
5.800%, 11/25/08 4,434 4,482
5.798%, 11/25/08 8,615 8,759
5.766%, 11/25/08 1,733 1,762
5.751%, 11/25/08 1,174 1,191
5.731%, 11/25/08 10,231 10,399
5.707%, 11/25/08 4,764 4,826
5.637%, 11/25/08 13,319 13,582
5.595%, 11/25/08 705 716
5.545%, 11/25/08 638 647
5.059%, 11/25/08 9,171 9,433
5.054%, 11/25/08 1,946 2,001
5.051%, 11/25/08 1,988 2,045
5.044%, 11/25/08 1,964 2,020
5.042%, 11/25/08 6,166 6,342
5.041%, 11/25/08 4,298 4,420
5.038%, 11/25/08 1,972 2,029
5.036%, 11/25/08 1,957 2,013
FNMA CMO, Cl HE
6.500%, 01/25/32 15,542 15,951
FNMA CMO, PO
3.223%, 10/25/08 (C) 15,000 1,453
SEI Institutional Managed Trust / Annual Report / September 30, 2008
158
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
FNMA CMO, Cl NB
5.000%, 04/25/29 $ 3,520 $ 3,555
FNMA CMO STRIPS, Ser 359, Cl 6, IO
5.000%, 11/01/35 1,482 305
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35 25,325 5,555
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 5,881 6,050
FNMA CMO, Ser 2003-108, Cl BE
4.000%, 11/25/18 706 658
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 3 3
FNMA CMO, Ser 2003-15, Cl CH
4.000%, 02/25/17 599 596
FNMA CMO, Ser 2003-16, Cl PN
4.500%, 10/25/15 743 744
FNMA CMO, Ser 2003-3, Cl HJ
5.000%, 02/25/18 1,156 1,137
FNMA CMO, Ser 2003-92, Cl NM
3.500%, 04/25/13 111 110
FNMA CMO, Ser 2004-34, Cl PL
3.500%, 05/25/14 345 345
FNMA CMO, Ser 2004-60, Cl PA
5.500%, 04/25/34 880 889
FNMA CMO, Ser 2005-57, Cl EG
3.507%, 10/25/08 (C) 3,042 2,958
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35 777 790
FNMA CMO, Ser 2006-10, Cl FD
3.557%, 10/25/08 (C) 3,657 3,562
FNMA CMO, Ser 2007-113, Cl DB
4.500%, 12/25/22 1,522 1,373
FNMA CMO, Ser 2007-26, Cl BA
5.500%, 05/25/29 400 401
FNMA CMO, Ser 2007-39, Cl NA
4.250%, 01/25/37 2,980 2,912
FNMA CMO, Ser 2007-T2, Cl B
6.022%, 11/25/10 4,500 4,625
FNMA CMO, Ser 2020-94, IO
5.500%, 04/25/16 176 2
FNMA CMO, Ser 365, IO
5.000%, 04/01/36 1,379 277
FNMA CMO, Ser 365, Cl 2, IO
5.000%, 02/01/36 1,307 287
GNMA
8.000%, 11/15/29 to 11/15/30 157 173
7.500%, 03/15/29 to 01/15/32 375 405
7.000%, 08/15/13 95 100
6.500%, 04/15/24 to 08/20/38 17,793 18,282
6.000%, 03/15/14 to 11/15/35 50,610 51,514
5.500%, 02/20/35 524 524
5.000%, 05/15/33 to 10/15/35 6,309 6,193
4.500%, 09/15/34 2,868 2,742
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
GNMA TBA
6.500%, 10/01/34 $ 2,500 $ 2,559
6.000%, 10/01/36 3,200 3,247
5.500%, 11/01/34 7,000 7,007
GNMA ARM
6.500%, 11/20/08 1,055 1,072
5.625%, 11/20/08 673 680
5.000%, 11/20/08 568 572
4.750%, 11/20/08 12,504 12,584
4.500%, 11/20/08 to 11/20/08 6,082 6,099
4.000%, 11/20/08 to 11/20/08 1,672 1,669
GNMA CMO, Ser 2001-18, Cl WH
17.792%, 10/20/08 (C) 299 323
GNMA CMO, Ser 2002-51, Cl SG
18.688%, 10/20/08 (C) 272 307
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 2,440 32
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 9,585 8,569
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34 4,318 226
GNMA CMO, Ser 2006-3, Cl A
4.212%, 01/16/28 517 514
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36 879 841
---------------
2,011,425
---------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 18.1%
Adjustable Rate Mortgage Trust,
Ser 2005-8, Cl 4A11
5.437%, 11/25/08 (C) 10,729 9,040
American Home Mortgage Assets,
Ser 2007-2, Cl A1
3.332%, 10/27/08 (C) 10,445 6,276
American Home Mortgage Investment
Trust, Ser 2004-1, Cl 4A
3.280%, 11/25/08 (C) 433 358
American Home Mortgage Investment
Trust, Ser 2004-4, Cl 4A
4.390%, 11/25/08 (C) 1,977 1,324
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A
5.294%, 11/25/08 (C) 5,796 3,218
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A
5.350%, 11/25/08 (C) 5,534 3,684
American Tower Trust, Ser 2007-1A,
Cl AFX
5.420%, 04/15/37 (E) 1,749 1,576
Banc of America Commercial Mortgage
Securities, Ser 2000-1, Cl A2A
7.333%, 11/15/08 (C) 1,477 1,485
SEI Institutional Managed Trust / Annual Report / September 30, 2008
159
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Banc of America Commercial Mortgage
Securities, Ser 2002-PB2, Cl B
6.309%, 06/11/35 $ 659 $ 655
Banc of America Commercial Mortgage
Securities, Ser 2003-1, Cl A2
4.648%, 09/11/36 746 695
Banc of America Commercial Mortgage
Securities, Ser 2004-2, Cl A5
4.580%, 11/10/38 294 266
Banc of America Commercial Mortgage
Securities, Ser 2005-3, Cl A4
4.668%, 07/10/43 11,300 10,004
Banc of America Commercial Mortgage
Securities, Ser 2006-2, Cl A1
5.611%, 05/10/45 2,005 1,973
Banc of America Commercial Mortgage
Securities, Ser 2007-3, Cl A4
5.838%, 11/10/08 (C) 12,260 10,419
Banc of America Commercial Mortgage
Securities, Ser 2007-4, Cl A4
5.936%, 11/10/08 (C) 9,079 7,759
Banc of America Commercial Mortgage
Securities, Ser 2008-1, Cl A4
6.346%, 11/10/08 (C) 21,566 18,952
Banc of America Funding, Ser 2003-1,
Cl A1
6.000%, 05/20/33 85 82
Banc of America Funding, Ser 2005-B,
Cl 2A1
5.093%, 11/20/08 (C) 5,258 4,368
Banc of America Mortgage Securities,
Ser 2003-1, Cl 2A4
5.000%, 02/25/18 4,488 4,232
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2004-2, Cl 24A
5.316%, 11/25/08 (C) 5,327 4,674
Bear Stearns Commercial Mortgage
Securities, Cl A2
4.720%, 11/11/08 (C) 806 758
Bear Stearns Commercial Mortgage
Securities, Ser 2000-WF1, Cl A2
7.780%, 11/15/08 (C) 1,386 1,404
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR6, Cl A6
4.825%, 11/11/41 333 303
Bear Stearns Structured Products,
Ser 2007-R11, Cl A1A
3.807%, 10/28/08 (C) (E) 17,714 17,671
Chase Commercial Mortgage Securities,
Ser 2000-3, Cl A2
7.319%, 10/15/32 2,299 2,336
Chase Mortgage Finance, Ser 2005-A1,
Cl 2A3
5.237%, 11/25/08 (C) 12,400 10,320
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Citigroup Commercial Mortgage Trust,
Ser 2006-C4, Cl A3
5.915%, 11/15/08 (C) $ 17,397 $ 15,735
Citigroup Commercial Mortgage Trust,
Ser 2008-C7, Cl A4
6.299%, 11/10/08 (C) 1,771 1,556
Citigroup Mortgage Loan Trust,
Ser 2005-11, Cl A3
4.900%, 11/25/08 (C) 9,763 8,528
Citigroup, Ser 2007-CD4, Cl A4
5.322%, 12/11/49 10,520 8,779
Citimortgage Alternative Loan Trust,
Ser 2006-A1, Cl 1A6
6.000%, 04/25/36 1,482 1,055
Commercial Mortgage Asset Trust,
Ser 1999-C2, Cl A2
7.546%, 10/17/08 (C) 3,735 3,765
Commercial Mortgage Pass-Through
Certificates, Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (E) 2,619 2,596
Countrywide Alternative Loan Trust,
Ser 2003-20BC, Cl 1A1
5.500%, 10/25/33 1,584 1,263
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 734 633
Countrywide Alternative Loan Trust,
Ser 2005-21, Cl 3A2
3.955%, 11/25/08 (C) 593 329
Countrywide Alternative Loan Trust,
Ser 2005-56, Cl 4A1
3.517%, 10/27/08 (C) 8,293 5,175
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1
3.537%, 10/21/08 (C) 10,244 6,534
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO
0.000%, 05/20/46 (D) 33,415 872
Countrywide Alternative Loan Trust,
Ser 2006-OC6, Cl 2A1
3.277%, 10/27/08 (C) 1,275 1,196
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2005-HYB10,
Cl 1A1
5.292%, 11/20/08 (C) 2,036 1,628
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2005-HYB9,
Cl 1A1
5.013%, 11/20/08 (C) 1,178 816
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2005-HYB9,
Cl 1A2
5.013%, 11/20/08 (C) 256 195
SEI Institutional Managed Trust / Annual Report / September 30, 2008
160
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2005-R3,
Cl AF
3.607%, 10/25/08 (C) (E) $ 6,025 $ 5,290
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2006-HYB1,
Cl 1A1
5.342%, 11/20/08 (C) 2,918 1,845
CS First Boston Mortgage Securities,
Ser 1998-C2, Cl A2
6.300%, 11/15/30 734 733
CS First Boston Mortgage Securities,
Ser 2001-CF2, Cl A4
6.505%, 02/15/34 1,062 1,066
CS First Boston Mortgage Securities,
Ser 2001-CK1, Cl A3
6.380%, 12/18/35 564 565
CS First Boston Mortgage Securities,
Ser 2002-CKN2, Cl A3
6.133%, 04/15/37 257 254
CS First Boston Mortgage Securities,
Ser 2002-CKS4, Cl A1
4.485%, 11/15/36 32 31
CS First Boston Mortgage Securities,
Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 2,428 2,319
CS First Boston Mortgage Securities,
Ser CP5, Cl A2
4.940%, 12/15/35 426 402
CS First Boston Mortgage Securities,
Ser CPN1, Cl A2
4.597%, 03/15/35 362 336
CS First Boston Mortgage Securities,
Ser 2003-AR24, Cl 2A4
4.791%, 11/25/08 (C) 6,674 6,528
CS First Boston Mortgage Securities,
Ser 2003-C4, Cl A4
5.137%, 11/15/08 (C) 1,339 1,259
CS First Boston Mortgage Securities,
Ser 2003-C5, Cl A4
4.900%, 11/15/08 (C) 906 839
CS First Boston Mortgage Securities,
Ser 2003-CK2, Cl A4
4.801%, 03/15/36 537 501
CS First Boston Mortgage Securities,
Ser 2004-CKN5, Cl A4
5.435%, 09/15/34 1,134 1,108
Deutsche Mortgage Securities,
Ser 2004-4, Cl 7AR2
3.657%, 10/25/08 (C) 1,810 1,678
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A1B
6.460%, 03/10/32 2,087 2,084
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
DLJ Commercial Mortgage,
Ser 2000-CKP1, Cl A1B
7.180%, 11/10/33 $ 1,054 $ 1,070
DLJ Commercial Mortgage, Ser CG3,
Cl A1B
7.340%, 10/10/32 1,259 1,268
Downey Savings & Loan Association
Mortgage Loan Trust, Ser 2004-AR2,
Cl A2B
3.430%, 10/20/08 (C) 2,976 1,513
Downey Savings & Loan Association
Mortgage Loan Trust, Ser 2004-AR3,
Cl B2
4.130%, 10/20/08 (C) 552 110
FFCA Secured Lending,
Ser 1999-1A, IO
1.359%, 11/18/08 (C) (E) 8,173 218
First Horizon Alternative Mortgage
Securities, Ser 2006-FA6, Cl 2A10
6.000%, 11/25/36 867 831
First Horizon Alternative Mortgage
Securities, Ser 2006-RE1, Cl A1
5.500%, 05/25/35 1,440 1,004
First Union National Bank Commercial
Mortgage, Ser 1999-C4, Cl A2
7.390%, 12/15/31 61 62
First Union National Bank Commercial
Mortgage, Ser 2000-C2, Cl A2
7.202%, 10/15/32 798 810
First Union National Bank Commercial
Mortgage, Ser 2001-C4, Cl B
6.417%, 12/12/33 809 807
Fund America Investors II, Ser 1993-A,
Cl A2
6.523%, 11/25/08 (C) 282 263
GE Capital Assurance,
Ser 2003-1, Cl A4
5.254%, 11/12/08 (C) (E) 7,530 7,173
GE Capital Commercial Mortgage,
Ser 2001-2, Cl A3
6.030%, 08/11/33 433 433
GE Capital Commercial Mortgage,
Ser 2002-1A, Cl A3
6.269%, 12/10/35 6,318 6,274
GE Capital Commercial Mortgage,
Ser 2002-3A, Cl A2
4.996%, 12/10/37 12,500 11,855
GE Capital Commercial Mortgage,
Ser 2005-C4, Cl A3A
5.512%, 11/10/08 (C) 13,025 12,448
GE Capital Commercial Mortgage,
Ser 2006-C1, Cl A3
5.518%, 11/10/08 (C) 2,845 2,583
SEI Institutional Managed Trust / Annual Report / September 30, 2008
161
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
GE Capital Commercial Mortgage,
Ser 2007-C1, Cl A4
5.543%, 12/10/49 $ 1,510 $ 1,275
GMAC Commercial Mortgage Securities,
Cl A2
5.667%, 11/10/08 (C) 535 510
GMAC Commercial Mortgage Securities,
Ser 1999-C2, Cl A2
6.945%, 09/15/33 197 197
GMAC Commercial Mortgage Securities,
Ser 2000-C2, Cl A2
7.455%, 11/16/08 (C) 1,798 1,827
GMAC Commercial Mortgage Securities,
Ser 2000-C3, Cl A2
6.957%, 09/15/35 3,043 3,080
GMAC Commercial Mortgage Securities,
Ser 2001-C1, Cl A2
7.724%, 11/15/08 (C) 2,633 2,668
GMAC Commercial Mortgage Securities,
Ser 2001-C2, Cl A2
6.700%, 04/15/34 13,372 13,496
GMAC Commercial Mortgage Securities,
Ser 2002-C3, Cl A2
4.930%, 07/10/39 1,394 1,318
GMAC Commercial Mortgage Securities,
Ser 2003-C3, Cl A4
5.023%, 04/10/40 2,881 2,681
GMAC Commercial Mortgage Securities,
Ser 2004-C1, Cl A1
3.118%, 03/10/38 109 108
GMAC Commercial Mortgage Securities,
Ser 2004-C2, Cl A1
3.896%, 08/10/38 82 81
GMAC Commercial Mortgage Securities,
Ser 2006-C1, Cl A4
5.238%, 11/10/08 (C) 4,800 4,221
GNMA TBA
6.000%, 12/01/33 18,400 18,630
Greenwich Capital Commercial Funding,
Ser 2005-GG3, Cl AAB
4.619%, 08/10/42 6,305 5,914
GS Mortgage Securities II, Cl A2
6.449%, 11/05/08 (C) (E) 2,284 2,289
GS Mortgage Securities II,
Ser 2005-GG4, Cl A4A
4.751%, 07/10/39 6,500 5,832
GS Mortgage Securities II,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 350 326
GS Mortgage Securities II,
Ser 2006-GG6, Cl AM
5.622%, 11/10/08 (C) 4,300 3,539
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
GS Mortgage Securities II,
Ser 2007-GG10, Cl A4
5.993%, 11/10/08 (C) $ 9,099 $ 7,768
GSMPS Mortgage Loan Trust,
Ser 1998-1, Cl A
8.000%, 11/19/08 (C) (E) 79 81
GSR Mortgage Loan Trust,
Ser 2003-13, Cl 1A1
4.492%, 11/25/08 (C) 6,663 6,175
GSR Mortgage Loan Trust,
Ser 2006-8F, Cl 3A5
6.250%, 09/25/36 3,819 3,658
Harborview Mortgage Loan Trust,
Ser 2005-1, Cl X, IO
2.488%, 03/19/35 16,546 168
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO
2.385%, 11/19/08 (C) (D) 22,253 223
Harborview Mortgage Loan Trust,
Ser 2007-3, Cl 2A1A
3.230%, 10/20/08 (C) 15,194 9,247
Heller Financial Commercial Mortgage
Asset, Ser 1999-PH1, Cl C
7.055%, 11/15/08 (C) 250 250
Impac Secured Assets CMO Owner
Trust, Ser 2006-2, Cl 2A1
3.557%, 10/27/08 (C) 884 621
Impac Secured Assets CMO Owner
Trust, Ser 2006-3, Cl A4
3.297%, 10/27/08 (C) 4,381 4,151
Impac Secured Assets CMO Owner
Trust, Ser 2007-1, Cl A1
3.267%, 10/27/08 (C) 14,488 12,701
Indymac INDA Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A1
4.801%, 11/25/08 (C) 450 360
Indymac INDA Mortgage Loan Trust,
Ser 2007-AR7, Cl 1A1
6.250%, 11/25/08 (C) 2,027 1,678
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO
0.000%, 12/25/34 (D) 6,116 55
Indymac Index Mortgage Loan Trust,
Ser 2007-AR15, Cl 2A1
5.980%, 11/25/08 (C) 9,167 5,900
JP Morgan Chase Commercial Mortgage
Securities, Cl A3
6.465%, 11/15/35 2,486 2,486
JPMorgan Chase Commercial Mortgage
Securities, Ser 2001-CIB2, Cl A3
6.429%, 04/15/35 5,170 5,176
JPMorgan Chase Commercial Mortgage
Securities, Ser 2002-CIB5, Cl A2
5.161%, 10/12/37 590 563
SEI Institutional Managed Trust / Annual Report / September 30, 2008
162
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
JPMorgan Chase Commercial Mortgage
Securities, Ser 2003-CB7, Cl A4
4.879%, 11/12/08 (C) $ 2,014 $ 1,855
JPMorgan Chase Commercial Mortgage
Securities, Ser 2003-PM1A, Cl A4
5.326%, 11/12/08 (C) 184 173
JPMorgan Chase Commercial Mortgage
Securities, Ser 2004-C3, Cl A1
3.765%, 01/15/42 82 81
JPMorgan Chase Commercial Mortgage
Securities, Ser 2005-CB12, Cl A4
4.895%, 09/12/37 680 605
JPMorgan Chase Commercial Mortgage
Securities, Ser 2005-LDP2, Cl A1
4.334%, 07/15/42 50 50
JPMorgan Chase Commercial Mortgage
Securities, Ser 2005-LDP3, Cl A1
4.655%, 08/15/42 234 230
JPMorgan Chase Commercial Mortgage
Securities, Ser 2005-LDP4, Cl A4
4.918%, 11/15/08 (C) 3,700 3,288
JPMorgan Chase Commercial Mortgage
Securities, Ser 2006-CB15, Cl ASB
5.790%, 11/12/08 (C) 711 663
JPMorgan Chase Commercial Mortgage
Securities, Ser 2007-CB18, Cl A4
5.440%, 06/12/47 11,000 9,177
JPMorgan Chase Commercial Mortgage
Securities, Ser 2007-LD11, Cl AM
6.007%, 11/15/08 (C) 3,836 2,994
JPMorgan Commercial Mortgage
Finance, Ser 2000-C10, Cl A2
7.371%, 11/15/08 (C) 907 917
JPMorgan Mortgage Trust, Ser 2005-A3,
Cl 11A2
4.498%, 11/25/08 (C) 12,385 9,164
JPMorgan Mortgage Trust, Ser 2006-A2,
Cl 2A2
5.755%, 11/25/08 (C) 12,600 9,363
JPMorgan Mortgage Trust,
Ser 2006-A3, Cl 3A4
5.735%, 11/25/08 (C) 13,560 10,109
LB Commercial Conduit Mortgage
Trust, Ser 1999-C2, Cl B
7.425%, 10/15/32 378 382
LB-UBS Commercial Mortgage Trust,
Cl A2
6.510%, 12/15/26 1,349 1,357
LB-UBS Commercial Mortgage Trust,
Ser 2002-C2, Cl A4
5.594%, 06/15/31 7,367 7,168
LB-UBS Commercial Mortgage Trust,
Ser 2003-C5, Cl A2
3.478%, 07/15/27 16 16
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
LB-UBS Commercial Mortgage Trust,
Ser 2007-C2, Cl AM
5.493%, 10/15/08 (C) $ 1,753 $ 1,337
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (E) 4,135 3,981
Master Seasoned Securities Trust,
Ser 2004-2, Cl A2
6.500%, 08/25/32 4,204 3,890
Merrill Lynch Mortgage Investors,
Ser 2004-A1, Cl 4A
5.291%, 11/25/08 (C) 6,213 5,341
Merrill Lynch Mortgage Trust, Cl A4
4.864%, 11/12/08 (C) 1,127 1,023
Merrill Lynch Mortgage Trust,
Ser 2005-MCP1, Cl A4
4.747%, 11/12/08 (C) 3,780 3,362
Merrill Lynch Mortgage Trust,
Ser 2008-C1, Cl A4
5.690%, 02/12/51 2,476 2,092
Merrill Lynch Mortgage Trust,
Ser 2008-C1, Cl AM
6.461%, 11/12/08 (C) 2,453 1,967
Merrill Lynch/Countrywide Commercial
Mortgage Trust, Ser 2007-5, Cl A4
5.378%, 08/12/48 1,270 1,061
Merrill Lynch/Countrywide Commercial
Mortgage Trust, Ser 2007-6, Cl AM
5.526%, 11/12/08 (C) 2,411 1,845
MLCC Mortgage Investors,
Ser 2004-B, Cl A3
4.590%, 11/25/08 (C) 931 846
Morgan Stanley Capital I,
Ser 2003-IQ5, Cl A4
5.010%, 04/15/38 2,161 2,043
Morgan Stanley Capital I,
Ser 2004-HQ3, Cl A4
4.800%, 01/13/41 1,109 1,017
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42 1,700 1,611
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42 5,600 5,042
Morgan Stanley Capital I,
Ser 2005-HQ7, Cl AAB
5.355%, 11/14/08 (C) 2,189 2,069
Morgan Stanley Capital I,
Ser 2006-T21, Cl A4
5.162%, 11/12/08 (C) 2,500 2,191
Morgan Stanley Capital I,
Ser 2007-IQ14, Cl A4
5.692%, 11/15/08 (C) 13,680 11,620
SEI Institutional Managed Trust / Annual Report / September 30, 2008
163
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Morgan Stanley Dean Witter Capital I,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/08 (C) $ 2,659 $ 2,689
Morgan Stanley Dean Witter Capital I,
Ser 2001-TOP3, Cl A4
6.390%, 07/15/33 1,468 1,468
Morgan Stanley Dean Witter Capital I,
Ser 2001-TOP5, Cl A4
6.390%, 10/15/35 2,492 2,486
Morgan Stanley Dean Witter Capital I,
Ser 2002-IQ2, Cl A3
5.520%, 12/15/35 227 226
Morgan Stanley Dean Witter Capital I,
Ser 2003-HQ2, Cl A2
4.920%, 03/12/35 1,846 1,732
Morgan Stanley Mortgage Loan Trust,
Ser 2007-6XS, Cl 2A1S
3.317%, 10/27/08 (C) 526 504
RBSGC Mortgage Pass-Through
Certificates, Ser 2007-B, Cl 1A4
3.657%, 10/25/08 (C) 5,096 3,900
Residential Accredit Loans,
Ser 2006-QO1, Cl 2A3
3.607%, 10/27/08 (C) 682 265
Residential Accredit Loans,
Ser 2007-QS1, Cl 2A2
3.567%, 10/25/08 (C) 5,538 3,121
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 2,433 2,481
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1
5.229%, 11/25/08 (C) 2,761 2,354
Salomon Brothers Mortgage Securities
VII, Ser 2000-C3, Cl A2
6.592%, 12/18/33 398 400
Salomon Brothers Mortgage Securities
VII, Ser 2001-C2, Cl A3
6.499%, 11/13/36 5,508 5,519
Salomon Brothers Mortgage Securities
VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36 1,042 997
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2005-19, Cl 1A1
3.527%, 10/27/08 (C) 2,065 1,284
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2007-7, Cl 2AS2
5.697%, 11/25/08 (C) 11,909 8,056
Structured Asset Mortgage Investments,
Ser 2006-AR8, Cl A1A
3.407%, 10/27/08 (C) 5,370 3,273
Structured Asset Securities,
Ser 2005-17, Cl 5A1
5.500%, 10/25/35 3,514 2,942
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Thornburg Mortgage Securities Trust,
Ser 2006-1, Cl A3
3.377%, 10/27/08 (C) $ 9,053 $ 8,991
Thornburg Mortgage Securities Trust,
Ser 2006-3, Cl A3
3.317%, 10/27/08 (C) 12,459 12,335
Thornburg Mortgage Securities Trust,
Ser 2006-3, Cl A2
3.312%, 10/27/08 (C) 11,412 10,920
Thornburg Mortgage Securities Trust,
Ser 2007-4, Cl 3A1
6.214%, 11/25/08 (C) 5,688 4,769
Thornburg Mortgage Securities Trust,
Ser 2007-4, Cl 2A1
6.217%, 11/25/08 (C) 5,954 5,090
US Bank, Ser 2007-1, Cl A
5.920%, 05/25/12 3,994 4,151
Wachovia Bank Commercial Mortgage
Trust, Cl A3
6.011%, 11/15/08 (C) 1,368 1,238
Wachovia Bank Commercial Mortgage
Trust, Ser 2002-C1A, Cl A4
6.287%, 04/15/34 1,543 1,524
Wachovia Bank Commercial Mortgage
Trust, Ser 2002-C2, Cl A4
4.980%, 11/15/34 1,816 1,705
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C5, Cl A2
3.989%, 06/15/35 449 404
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C6, Cl A3
4.957%, 11/15/08 (C) 2,490 2,409
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (E) 339 330
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35 873 846
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C10, Cl A4
4.748%, 02/15/41 1,254 1,134
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C11, Cl A4
5.030%, 01/15/41 599 563
Wachovia Bank Commercial Mortgage
Trust, Ser 2006-C26, Cl APB
5.997%, 06/15/45 1,046 977
WaMu Mortgage Pass Through
Certificates, Cl 1A
3.665%, 11/25/08 (C) 9,332 5,384
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 1,665 1,570
SEI Institutional Managed Trust / Annual Report / September 30, 2008
164
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 $ 5,418 $ 4,945
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR13, Cl A1A1
3.497%, 10/25/08 (C) 4,686 2,960
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR15, Cl A1A2
3.487%, 10/25/08 (C) 7,000 4,431
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR16, Cl 1A4A
5.101%, 11/25/08 (C) 12,955 11,452
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR19, Cl A1A2
3.497%, 10/25/08 (C) 6,809 4,775
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR12, Cl 1A1
6.067%, 11/25/08 (C) 768 703
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-H, Cl 1A1
4.530%, 11/25/08 (C) 7,221 6,548
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-I, Cl B1
5.813%, 11/25/08 (C) 190 163
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-17, Cl 1A1
5.500%, 01/25/36 10,354 9,289
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-2, Cl 3A1
5.750%, 03/25/36 1,892 1,603
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2007-16, Cl 1A1
6.000%, 12/28/37 15,257 13,455
---------------
667,591
---------------
Total Mortgage-Backed Securities
(Cost $2,770,211) ($ Thousands) 2,679,016
---------------
CORPORATE OBLIGATIONS -- 26.5%
CONSUMER DISCRETIONARY -- 1.6%
American Achievement
8.250%, 04/01/12 (E) 900 898
Autozone
6.500%, 01/15/14 960 949
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Boyd Gaming
7.125%, 02/01/16 (A) $ 350 $ 242
6.750%, 04/15/14 (A) 570 409
Caesars Entertainment
8.125%, 05/15/11 (A) 540 319
CCH I Holdings LLC
11.000%, 10/01/15 (A) 740 488
Clear Channel Communications
6.250%, 03/15/11 2,230 1,438
4.250%, 05/15/09 990 931
Comcast
6.500%, 01/15/15 985 946
6.500%, 01/15/17 720 677
5.850%, 11/15/15 465 428
5.700%, 05/15/18 2,340 2,042
5.450%, 11/15/10 525 527
5.300%, 01/15/14 2,340 2,145
Comcast Cable Communications
6.750%, 01/30/11 (A) 2,310 2,343
Comcast Cable Communications
8.375%, 03/15/13 4,635 4,861
Community Health Systems
8.875%, 07/15/15 1,030 979
COX Communications
7.875%, 08/15/09 750 752
6.250%, 06/01/18 (E) 300 279
4.625%, 06/01/13 805 744
Daimler Finance LLC
8.500%, 01/18/31 420 422
7.300%, 01/15/12 1,400 1,416
6.500%, 11/15/13 3,790 3,699
Daimler Finance LLC, MTN
3.169%, 12/15/08 (C) 2,460 2,451
DirecTV Holdings
8.375%, 03/15/13 350 346
Eastman Kodak
7.250%, 11/15/13 2,740 2,562
Echostar DBS
7.125%, 02/01/16 720 578
Ford Motor
9.215%, 09/15/21 1,000 475
7.450%, 07/16/31 (A) 2,940 1,264
General Motors
8.250%, 07/15/23 (A) 3,100 1,217
Hertz
8.875%, 01/01/14 725 625
Home Depot
5.875%, 12/16/36 735 517
Idearc
8.000%, 11/15/16 1,280 349
Inn of the Mountain Gods Resort &
Casino
12.000%, 11/15/10 1,010 687
SEI Institutional Managed Trust / Annual Report / September 30, 2008
165
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Lamar Media, Ser B
6.625%, 08/15/15 $ 720 $ 596
Marriott International, Ser J
5.625%, 02/15/13 235 222
McDonald's MTN
6.300%, 03/01/38 660 636
MGM Mirage
8.500%, 09/15/10 160 147
7.625%, 01/15/17 1,440 1,037
News America
6.650%, 11/15/37 180 151
6.200%, 12/15/34 65 52
Nordstrom
7.000%, 01/15/38 800 696
RH Donnelley
8.875%, 10/15/17 (A) 169 57
River Rock Entertainment Authority
9.750%, 11/01/11 930 856
Service International
7.625%, 10/01/18 340 304
7.500%, 04/01/27 670 513
6.750%, 04/01/16 20 17
Station Casinos
7.750%, 08/15/16 (A) 1,495 811
Sun Media
7.625%, 02/15/13 470 432
Thomson Reuters
5.950%, 07/15/13 930 929
Time Warner
7.700%, 05/01/32 3,645 3,186
6.875%, 05/01/12 2,455 2,434
Time Warner Cable
7.300%, 07/01/38 480 427
6.750%, 07/01/18 360 336
Time Warner Entertainment
8.375%, 07/15/33 1,110 1,055
TL Acquisitions
10.500%, 01/15/15 (E) 480 379
Viacom
6.875%, 04/30/36 500 401
5.750%, 04/30/11 495 481
Visteon
12.250%, 12/31/16 (A) (E) 448 269
8.250%, 08/01/10 (A) 174 144
Wal-Mart Stores
6.200%, 04/15/38 1,240 1,131
Yum! Brands
6.875%, 11/15/37 1,215 1,026
---------------
57,730
---------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
CONSUMER STAPLES -- 0.6%
Anheuser-Busch
5.050%, 10/15/16 $ 940 $ 814
CVS Caremark
9.350%, 01/10/23 (E) 8,600 8,606
Dr Pepper Snapple Group
6.820%, 05/01/18 (E) 2,895 2,799
General Mills
6.000%, 02/15/12 750 764
5.650%, 09/10/12 945 954
5.250%, 08/15/13 90 89
HJ Heinz
5.350%, 07/15/13 510 500
Kellogg, Ser B
6.600%, 04/01/11 890 924
Kraft Foods
6.125%, 02/01/18 2,730 2,558
6.125%, 08/23/18 900 840
Philip Morris Capital
7.500%, 07/16/09 1,750 1,750
Philip Morris International
5.650%, 05/16/18 835 772
Reynolds American
6.750%, 06/15/17 1,260 1,177
---------------
22,547
---------------
ENERGY -- 3.2%
Anadarko Finance, Ser B
7.500%, 05/01/31 3,610 3,310
6.750%, 05/01/11 20 20
Anadarko Petroleum
6.450%, 09/15/36 5,370 4,210
5.950%, 09/15/16 340 312
3.219%, 12/15/08 (C) 4,000 3,953
Apache
6.000%, 09/15/13 2,570 2,561
Canadian Natural Resources
5.850%, 02/01/35 800 582
5.700%, 05/15/17 265 232
Chesapeake Energy
7.250%, 12/15/18 705 649
6.375%, 06/15/15 500 446
Cie Generale de Geophysique-Veritas
7.750%, 05/15/17 110 105
7.500%, 05/15/15 1,205 1,151
Conoco Funding
7.250%, 10/15/31 530 563
6.350%, 10/15/11 920 953
ConocoPhillips
5.900%, 05/15/38 1,790 1,579
5.900%, 10/15/32 1,090 988
ConocoPhillips Holding
6.950%, 04/15/29 1,460 1,468
SEI Institutional Managed Trust / Annual Report / September 30, 2008
166
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Devon Financing
6.875%, 09/30/11 $ 2,325 $ 2,425
Dynegy Holdings
7.750%, 06/01/19 1,485 1,188
El Paso
7.800%, 08/01/31 967 815
7.750%, 01/15/32 1,830 1,532
7.000%, 06/15/17 (A) 3,360 3,002
6.950%, 06/01/28 6,750 5,330
El Paso Natural Gas
5.950%, 04/15/17 440 389
El Paso Performance-Linked Trust
7.750%, 07/15/11 (E) 5,470 5,539
Energy Transfer Partners
6.700%, 07/01/18 2,220 2,104
EOG Resources
6.875%, 10/01/18 575 573
GAZ Capital
6.510%, 03/07/22 (E) 3,460 2,491
6.212%, 11/22/16 (E) 3,570 2,832
Halliburton
5.900%, 09/15/18 200 197
Hess
7.875%, 10/01/29 1,070 1,046
7.300%, 08/15/31 4,380 4,009
Husky Energy
6.800%, 09/15/37 450 372
Husky Oil
7.550%, 11/15/16 650 643
KazMunaiGaz Finance MTN
8.375%, 07/02/13 (E) 4,020 3,457
Kerr-McGee
7.875%, 09/15/31 820 770
6.950%, 07/01/24 450 425
Kinder Morgan Energy Partners
7.125%, 03/15/12 90 91
6.950%, 01/15/38 1,950 1,671
6.750%, 03/15/11 510 516
6.300%, 02/01/09 570 569
6.000%, 02/01/17 3,485 3,159
5.950%, 02/15/18 1,045 931
5.850%, 09/15/12 1,085 1,054
5.000%, 12/15/13 2,735 2,533
Knight
6.500%, 09/01/12 3,150 2,969
Nabors Industries
6.150%, 02/15/18 (E) 795 758
OPTI Canada
8.250%, 12/15/14 700 627
7.875%, 12/15/14 880 779
Peabody Energy, Ser B
6.875%, 03/15/13 300 290
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Pemex Project Funding Master Trust
6.625%, 06/15/35 (E) $ 110 $ 101
6.625%, 06/15/35 (A) 1,557 1,426
Petrobras International Finance
6.125%, 10/06/16 3,240 3,054
5.875%, 03/01/18 2,420 2,199
Petro-Canada
6.800%, 05/15/38 1,265 1,001
Plains All American Pipeline
6.500%, 05/01/18 (E) 1,368 1,234
Ras Laffan Liquefied Natural Gas III
6.332%, 09/30/27 (E) 1,055 951
SemGroup L.P.
8.750%, 11/15/15 (E) (F) 500 50
Shell International Finance
5.200%, 03/22/17 1,265 1,249
Southern Natural Gas
8.000%, 03/01/32 170 158
5.900%, 04/01/17 (E) (I) 1,115 987
Spectra Energy Capital
7.500%, 09/15/38 900 836
Suburban Propane Partners
6.875%, 12/15/13 735 650
Tennessee Gas Pipeline
7.625%, 04/01/37 830 737
Tosco
8.125%, 02/15/30 400 445
TransCanada Pipelines
7.250%, 08/15/38 675 649
Transocean
6.000%, 03/15/18 1,690 1,577
Vastar Resources
6.500%, 04/01/09 3,490 3,522
Weatherford International
7.000%, 03/15/38 465 404
6.800%, 06/15/37 370 332
6.350%, 06/15/17 1,225 1,134
5.950%, 06/15/12 700 700
Williams
8.750%, 03/15/32 5,860 6,008
7.750%, 06/15/31 (A) 1,880 1,757
Williams, Ser A
7.500%, 01/15/31 90 82
XTO Energy
7.500%, 04/15/12 850 890
6.750%, 08/01/37 310 275
6.500%, 12/15/18 2,340 2,171
6.375%, 06/15/38 285 233
5.750%, 12/15/13 2,375 2,280
5.500%, 06/15/18 2,410 2,130
---------------
117,390
---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
167
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
FINANCIALS -- 12.1%
ABX Financing
6.350%, 10/15/36 (E) $ 4,250 $ 3,511
Ace INA Holdings
6.700%, 05/15/36 265 236
5.700%, 02/15/17 575 526
Aiful
5.000%, 08/10/10 (E) 1,420 1,103
Allied Capital
6.625%, 07/15/11 3,105 3,024
Allied World Assurance Holdings
7.500%, 08/01/16 2,500 2,206
Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13 2,020 1,950
American Express
8.150%, 03/19/38 1,145 1,024
6.800%, 03/01/09 (C) 2,010 1,718
6.150%, 08/28/17 1,200 1,021
American Express Credit MTN
7.300%, 08/20/13 500 482
American General Finance MTN
6.900%, 12/15/17 2,820 1,308
American Honda Finance
5.100%, 03/27/12 (E) 1,685 1,636
American International Group MTN
8.250%, 08/15/18 (E) 1,205 701
6.250%, 03/15/37 2,560 410
5.850%, 01/16/18 4,340 2,178
4.950%, 03/20/12 880 543
ASIF Global Financing XIX
4.900%, 01/17/13 (E) 390 320
BAC Capital Trust XIV
5.630%, 03/15/09 (C) 130 67
Bank of America
8.000%, 01/30/09 (C) 4,500 3,563
7.400%, 01/15/11 1,325 1,298
5.750%, 12/01/17 2,835 2,404
5.650%, 05/01/18 2,730 2,299
5.420%, 03/15/17 4,300 3,423
5.375%, 06/15/14 2,665 2,464
Bank of New York Mellon
5.125%, 08/27/13 900 858
Bank One
7.875%, 08/01/10 3,525 3,614
Banponce Trust I, Ser A
8.327%, 02/01/27 2,590 2,401
Barnett Capital III
3.426%, 11/01/08 (C) 425 316
Bear Stearns
7.250%, 02/01/18 7,370 7,092
6.400%, 10/02/17 500 467
5.350%, 02/01/12 3,280 3,120
4.500%, 10/28/10 1,470 1,428
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Berkshire Hathaway Finance
5.400%, 05/15/18 (E) $ 830 $ 804
BRE Properties
7.450%, 01/15/11++ 2,430 2,449
Bunge Finance
5.900%, 04/01/17 (A) 600 518
4.375%, 12/15/08 425 424
Capital One Financial MTN
3.097%, 12/10/08 (C) 1,500 1,399
Caterpillar Financial Services MTN
7.050%, 10/01/18 115 115
6.200%, 09/30/13 (A) 3,650 3,650
4.900%, 08/15/13 300 284
China Development Bank
5.000%, 10/15/15 500 471
Chubb
5.750%, 05/15/18 245 227
CIT Group
4.250%, 02/01/10 (A) 1,275 840
Citigroup
8.400%, 10/30/08 (C) 4,930 3,356
6.875%, 03/05/38 8,555 6,999
6.500%, 08/19/13 9,595 8,537
6.125%, 05/15/18 4,820 3,991
5.875%, 02/22/33 1,685 1,104
5.500%, 02/15/17 2,350 1,803
5.500%, 04/11/13 3,140 2,741
5.000%, 09/15/14 5,905 4,527
3.625%, 02/09/09 1,215 1,189
Citigroup Capital XXI
8.300%, 12/21/08 (C) 1,800 1,341
CMP Susquehenna
4.492%, 06/27/13 993 687
Countrywide Financial MTN
5.800%, 06/07/12 4,175 3,527
3.418%, 12/24/08 (A) (C) 6,070 5,925
Countrywide Financial, Cl A
6.250%. 05/15/16 (A) 1,080 769
2.748%, 10/15/08 (C) 169 132
Countrywide Home Loans MTN
4.000%, 03/22/11 3,200 2,753
Credit Suisse New York MTN
6.000%, 02/15/18 (A) 5,465 4,761
5.000%, 05/15/13 4,845 4,490
Credit Suisse USA
5.125%, 08/15/15 1,080 962
4.875%, 08/15/10 2,210 2,197
Depfa ACS Bank
5.125%, 03/16/37 (E) 3,000 2,844
Deutsche Bank
4.875%, 05/20/13 1,830 1,748
Deutsche Bank Capital Funding
Trust VII
5.628%, 01/19/09 (C) (E) 2,760 2,114
SEI Institutional Managed Trust / Annual Report / September 30, 2008
168
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
DI Finance
9.500%, 02/15/13 $ 90 $ 88
Discover Financial Services
6.450%, 06/12/17 250 181
East Lane Re
8.801%, 11/03/08 (C) (E) 650 649
Equity One
3.875%, 04/15/09++ 7,480 7,333
Export-Import Bank of Korea
5.500%, 10/17/12 1,510 1,433
Farmers Exchange Capital
7.200%, 07/15/48 (E) 1,465 1,130
7.050%, 07/15/28 (E) 1,434 1,145
Farmers Insurance Exchange
8.625%, 05/01/24 (E) 3,017 2,880
First Industrial L.P. MTN
7.500%, 12/01/17 1,800 1,590
Ford Motor Credit LLC
12.000%, 05/15/15 4,700 3,587
8.069%, 12/15/08 (C) 3,863 2,813
8.000%, 12/15/16 (A) 4,680 2,959
7.875%, 06/15/10 7,405 5,652
7.375%, 10/28/09 3,250 2,613
5.700%, 01/15/10 220 168
Forest City Enterprises
7.625%, 06/01/15 500 400
6.500%, 02/01/17 270 207
GE Global Insurance Solutions
7.500%, 06/15/10 1,225 1,226
General Electric Capital
6.750%, 03/15/32 1,665 1,390
6.375%, 11/15/08 (C) 5,870 4,750
6.000%, 06/15/12 1,175 1,134
5.875%, 01/14/38 1,300 958
5.625%, 09/15/17 610 524
5.625%, 05/01/18 (A) 5,910 5,004
5.450%, 01/15/13 20 19
3.750%, 12/15/09 1,653 1,596
Genworth Financial
5.650%, 06/15/12 1,280 1,095
4.950%, 10/01/15 1,595 1,281
Glen Meadow Pass-Through Trust
6.505%, 02/15/09 (C) (E) 2,200 1,623
Glitnir Banki HF
7.451%, 03/14/09 (C) (E) 400 206
6.693%, 12/15/08 (C) (E) 3,960 2,096
6.375%, 09/25/12 (E) 2,330 1,765
6.330%, 07/28/11 (E) 1,980 1,566
GMAC LLC
7.750%, 01/19/10 (A) 10,170 6,089
7.250%, 03/02/11 3,520 1,665
6.875%, 09/15/11 6,120 2,731
5.850%, 01/14/09 (A) 1,680 1,436
5.625%, 05/15/09 (A) 14,680 10,489
5.011%, 12/01/08 (C) 5,668 2,617
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Goldman Sachs Capital I
6.345%, 02/15/34 (A) $ 520 $ 342
Goldman Sachs Capital II
5.793%, 12/29/49 (C) 2,630 1,155
Goldman Sachs Group, 4.5
6.750%, 10/01/37 (A) 1,710 1,142
6.150%, 04/01/18 3,015 2,507
5.950%, 01/18/18 260 214
5.450%, 11/01/12 3,670 3,110
5.350%, 01/15/16 660 534
5.250%, 10/15/13 3,565 2,999
5.150%. 01/15/14 1,325 1,088
5.125%, 01/15/15 1,105 912
4.500%, 06/15/10 1,600 1,485
3.288%, 10/14/08 (C) 1,750 1,139
3.191%, 10/22/08 (C) 500 310
Hartford Financial Services Group MTN
6.000%, 01/15/19 245 214
HBOS Capital Funding
6.071%, 12/31/08 (C) (E) 1,330 860
HBOS PLC
6.750%, 05/21/18 (E) 1,250 1,048
5.920%, 04/01/09 (C) (E) 5,850 3,450
HCP
6.000%, 01/30/17++ 4,000 3,198
5.650%, 12/15/13++ 1,835 1,616
Highwoods Properties
7.500%, 04/15/18++ 1,142 1,012
HSBC Finance
8.000%, 07/15/10 3,475 3,546
7.000%, 05/15/12 1,505 1,463
6.375%, 11/27/12 585 563
4.625%, 09/15/10 650 622
4.125%, 11/16/09 2,155 2,084
4.125%, 12/15/08 1,000 989
HSBC Holdings PLC
6.800%, 06/01/38 (A) 945 800
HSBK Europe
9.250%, 10/16/13 (E) 1,820 1,383
ICICI Bank
6.375%, 10/30/08 (C) (E) 2,320 1,601
6.375%, 04/30/22 960 729
6.375%, 10/30/08 (C) 678 515
ILFC E-Capital Trust II
6.250%, 12/21/65 (C) (E) 900 269
International Lease Finance MTN
5.750%, 06/15/11 1,235 890
4.750%, 01/13/12 1,176 806
iStar Financial
5.875%, 03/15/16++ 795 390
Jackson National Life Global Funding
MTN
5.375%, 05/08/13 (E) 700 667
SEI Institutional Managed Trust / Annual Report / September 30, 2008
169
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
John Deere Capital MTN
4.900%, 09/09/13 $ 705 $ 682
JP Morgan Chase Capital XIII
4.712%, 12/30/08 (C) 1,000 771
JPMorgan Chase
7.900%, 10/30/08 (C) 4,400 3,704
7.500%, 12/28/07 (C) 1,960 1,806
6.400%, 05/15/38 4,850 4,193
6.000%, 01/15/18 225 205
5.750%, 01/02/13 6,435 6,161
4.750%, 05/01/13 510 475
JPMorgan Chase Bank
6.000%, 10/01/17 1,340 1,228
JPMorgan Chase Capital XV
5.875%, 03/15/35 1,645 1,142
Kaupthing Bank
7.625%, 02/28/15 (E) 8,810 8,246
7.125%, 05/19/16 (E) 1,350 822
5.750%, 10/04/11 (E) 960 763
Korea Development Bank
4.625%, 09/16/10 1,000 980
Landsbanki Islands
6.100%, 08/25/11 (E) 5,570 4,722
Lazard Group
7.125%, 05/15/15 2,390 2,074
6.850%, 06/15/17 1,841 1,525
Lehman Brothers Holdings MTN
14.500%, 12/20/08 (C) (F) 3,977 507
11.000%, 11/07/08 (C) (F) 4,283 546
8.920%, 02/16/17 (F) 2,370 302
6.750%, 12/28/17 (F) 4,320 5
6.200%, 09/26/14 (F) 1,160 145
5.500%, 04/04/16 (F) 520 65
5.250%, 02/06/12 (F) 1,220 153
Lehman Brothers Holdings Capital
Trust V MTN
5.857%, 11/29/49 (F) 4,280 --
Liberty Mutual Group
7.500%, 08/15/36 (E) 1,108 874
6.500%, 03/15/35 (E) 1,525 1,107
Lincoln National
5.650%, 08/27/12 480 472
Merna Reinsurance, Ser B
5.512%, 12/31/08 (C) (E) 3,750 3,586
Merrill Lynch MTN
8.950%, 11/18/08 (C) 1,790 1,759
8.680%, 11/02/08 (C) 3,160 2,382
7.430%, 09/01/22 4 4
6.875%, 04/25/18 (A) 250 222
6.110%, 01/29/37 1,405 975
6.050%, 05/16/16 1,270 1,036
5.700%, 05/02/17 1,300 1,064
5.450%, 02/05/13 2,080 1,874
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
MetLife
6.817%, 08/15/18 $ 2,850 $ 2,696
6.400%, 12/15/36 1,265 789
MetLife Capital Trust IV
7.875%, 12/15/37 (E) 1,200 822
MetLife Capital Trust X
9.250%, 04/08/09 (C) (E) 1,800 1,709
Metropolitan Life Global Funding I MTN
5.125%, 04/10/13 (E) 580 563
Morgan Stanley MTN
6.750%, 04/15/11 125 93
6.625%, 04/01/18 8,255 5,462
6.250%, 08/28/17 1,340 831
6.000%, 04/28/15 630 429
5.950%, 12/28/17 1,680 1,052
5.750%, 08/31/12 2,320 1,636
5.450%, 01/09/17 470 292
5.300%, 03/01/13 575 395
4.750%, 04/01/14 1,220 647
4.250%, 05/15/10 3,065 2,491
4.000%, 01/15/10 1,400 1,148
3.235%, 10/20/08 (C) 1,200 782
3.071%, 10/15/08 (C) 1,350 1,014
MUFG Capital Finance 1
6.346%, 01/25/09 (C) 1,670 1,264
National Australia Bank
5.350%, 06/12/13 (E) 3,500 3,364
National Capital Trust II
5.486%, 12/17/08 (C) (E) 2,231 1,823
National City Bank MTN
5.800%, 06/07/17 1,290 479
Nationwide Mutual Insurance
6.600%, 04/15/34 (E) 690 557
NB Capital Trust IV
8.250%, 04/15/27 4,500 4,331
North Front Pass-Through Trust MTN
5.810%, 12/15/08 (C) (E) 1,975 1,782
Northern Trust
5.500%, 08/15/13 200 200
Pacific Life Global Funding
5.150%, 04/15/13 (E) 370 370
PNC Funding
5.250%, 11/15/15 1,205 1,064
Power Receivables Financial
6.290%, 01/01/12 (E) 230 238
6.290%, 01/01/12 2,798 2,895
Prime Property Fund
5.600%, 06/15/11++ (E) 1,384 1,385
5.500%, 01/15/14++ (E) 1,850 1,739
Rabobank Capital Funding II
5.260%, 12/31/08 (C) (E) 200 185
Rabobank Capital Funding Trust
5.254%, 12/31/08 (C) (E) 420 362
SEI Institutional Managed Trust / Annual Report / September 30, 2008
170
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Realogy
12.375%, 04/15/15 (A) $ 2,950 $ 1,003
Residential Capital
9.625%, 05/15/15 (E) 1,456 349
8.500%, 05/15/10 (A) (E) 1,188 653
Resona Preferred Global Securities
7.191%, 07/30/09 (C) (E) 580 431
Royal Bank of Scotland Group MTN
7.640%, 03/31/09 (C) 1,000 745
6.990%, 04/05/09 (C) (E) 1,570 1,170
RSHB Capital
6.299%, 05/15/17 (E) 4,140 2,956
Shinsei Finance Cayman
6.418%, 07/20/09 (A) (C) (E) 5,180 2,172
Simon Property Group L.P.
5.750%, 05/01/12++ 1,860 1,807
5.750%, 12/01/15++ 910 860
5.600%, 09/01/11++ 690 681
3.750%, 01/30/09++ 2,500 2,470
SLM MTN
5.625%, 08/01/33 695 348
5.375%, 05/15/14 4,905 3,041
5.050%, 11/14/14 690 421
5.000%, 10/01/13 5,645 3,500
5.000%, 04/15/15 120 72
Standard Chartered Bank
6.400%, 09/26/17 (E) 715 662
Stingray Pass-Through Trust MTN
5.902%, 01/12/15 (E) 2,723 354
Sumitomo Mitsui Banking MTN
5.625%, 10/15/15 (C) (E) 2,620 2,093
SunTrust Preferred Capital I
5.853%, 12/15/08 (C) 1,540 847
TNK-BP Finance MTN
7.875%, 03/13/18 (E) 1,570 1,099
7.500%, 07/18/16 (E) 3,320 2,324
7.500%, 07/18/16 100 72
6.625%, 03/20/17 (E) 720 468
Toyota Motor Credit
5.500%, 12/15/08 120 120
Travelers
6.250%, 03/15/09 (C) 1,470 1,131
5.375%, 06/15/12 370 371
TuranAlem Finance
8.250%, 01/22/37 (E) 4,190 2,346
TuranAlem Finance BV MTN
8.250%, 01/22/37 3,614 2,024
UDR MTN
5.000%, 01/15/12++ 2,000 1,962
Ventas Realty L.P.
9.000%, 05/01/12++ 180 188
6.500%, 06/01/16++ 495 468
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Wachovia
5.750%, 02/01/18 $ 2,260 $ 1,695
5.625%, 10/15/16 1,950 1,215
5.500%, 08/01/35 1,405 736
5.300%, 10/15/11 2,155 1,797
5.250%, 08/01/14 4,390 2,692
4.875%, 02/15/14 875 537
Wachovia Bank
6.000%, 11/15/17 4,700 2,787
Wachovia Capital Trust III
5.800%, 03/15/09 (C) 2,230 937
Washington Mutual Preferred Funding
6.534%, 03/29/49 (E) (F) 1,600 2
WEA Finance
7.125%, 04/15/18 (E) 6,445 5,794
Wells Fargo
5.375%, 02/07/35 2,085 1,534
4.375%, 01/31/13 2,000 1,838
Wells Fargo Capital X
5.950%, 12/15/36 (A) 760 626
Wells Fargo Capital XV
9.750%, 03/26/09 (A) (C) 3,790 3,676
Westfield Capital
4.375%, 11/15/10 (E) 2,103 2,048
Westfield Group
5.400%, 10/01/12++ (E) 1,357 1,254
Woodbourne Capital Trust I
5.210%, 11/08/08 (C) (E) 625 369
Woodbourne Capital Trust II
5.210%, 11/08/08 (C) (E) 625 369
Woodbourne Capital Trust III
5.210%, 11/08/08 (C) (E) 625 369
Woodbourne Capital Trust IV
5.210%, 11/10/08 (C) (E) 625 369
ZFS Finance USA Trust I
6.150%, 12/15/08 (C) (E) 1,522 1,105
Zuni Mortgage Trust, Ser 2006-OA1,
Cl A1
3.337%, 10/27/08 (C) 6,375 6,146
---------------
448,698
---------------
HEALTH CARE -- 1.1%
Aetna
6.000%, 06/15/16 1,570 1,510
AstraZeneca PLC
5.400%, 09/15/12 2,295 2,306
Bristol-Myers Squibb
6.125%, 05/01/38 245 223
5.450%, 05/01/18 245 231
Coventry Health Care
5.950%, 03/15/17 (A) 1,920 1,600
SEI Institutional Managed Trust / Annual Report / September 30, 2008
171
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
DaVita
6.625%, 03/15/13 $ 1,065 $ 1,012
FMC Finance III
6.875%, 07/15/17 1,600 1,540
GlaxoSmithKline Capital
6.375%, 05/15/38 1,200 1,127
5.650%, 05/15/18 5,190 4,928
HCA
9.625%, 11/15/16 50 48
9.250%, 11/15/16 1,639 1,594
9.125%, 11/15/14 230 224
7.500%, 11/06/33 (A) 3,380 2,400
6.500%, 02/15/16 749 594
6.250%, 02/15/13 119 99
5.750%, 03/15/14 3,090 2,410
Humana
7.200%, 06/15/18 870 824
Schering-Plough
6.550%, 09/15/37 1,460 1,341
6.000%, 09/15/17 365 342
Tenet Healthcare
9.875%, 07/01/14 4,115 4,012
7.375%, 02/01/13 336 306
Teva Pharmaceutical Finance LLC
6.150%, 02/01/36 830 727
5.550%, 02/01/16 475 442
UnitedHealth Group
6.875%, 02/15/38 1,095 964
6.000%, 06/15/17 860 789
WellPoint
6.800%, 08/01/12 (A) 1,000 1,050
5.875%, 06/15/17 2,190 2,027
5.250%, 01/15/16 465 428
Wyeth
6.950%, 03/15/11 3,276 3,458
5.950%, 04/01/37 2,680 2,416
---------------
40,972
---------------
INDUSTRIALS -- 1.9%
America West Airlines, Ser 1999-1
7.930%, 01/02/19 927 843
American Airlines, Ser 1999-1
7.024%, 10/15/09 3,630 3,439
Burlington Northern Santa Fe
6.750%, 07/15/11 1,610 1,680
5.750%, 03/15/18 1,355 1,300
Cedar Brakes I LLC
8.500%, 02/15/14 (E) 1,306 1,398
Cedar Brakes II LLC
9.875%, 09/01/13 (E) 2,205 2,399
Complete Production Services
8.000%, 12/15/16 1,005 955
Continental Airlines, Ser 1997, Cl 1A
7.461%, 04/01/15 1,818 1,582
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Continental Airlines, Ser 1997, Cl 4A
6.900%, 01/02/18 $ 1,629 $ 1,433
Continental Airlines, Ser 1999-2
7.256%, 03/15/20 2,849 2,543
Continental Airlines, Ser A
5.983%, 04/19/22 (A) 2,036 1,568
Delta Air Lines
6.821%, 08/10/22 1,776 1,474
6.619%, 03/18/11 369 351
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 6,250 5,765
Diageo Capital
5.750%, 10/23/17 430 413
5.200%, 01/30/13 725 721
DRS Technologies
6.625%, 02/01/16 505 510
FedEx, Ser A3
8.400%, 03/23/10 421 430
General Electric
5.000%, 02/01/13 1,140 1,050
Hutchison Whampoa International
7.450%, 11/24/33 (E) 740 678
JetBlue Airways 2004-1 G-1
Pass-Through Trust
3.194%, 12/15/08 (C) 905 792
JetBlue Airways 2004-2 G-1
Pass-Through Trust
3.179%, 11/17/08 (C) 4,140 3,436
L-3 Communications, Ser B
6.375%, 10/15/15 520 478
Systems 2001 Asset Trust
6.664%, 09/15/13 (E) 1,258 1,315
Teekay
8.875%, 07/15/11 1,785 1,803
Terex
7.375%, 01/15/14 320 291
Tyco International Group
6.875%, 01/15/29 (E) 7,160 6,832
6.750%, 02/15/11 3,470 3,521
6.375%, 10/15/11 7,150 7,207
6.125%, 01/15/09 80 80
6.125%, 11/01/08 230 230
6.000%, 11/15/13 165 162
United AirLines, Ser A-3
8.390%, 01/21/11 (D) (F) 578 --
United Parcel Service
4.500%, 01/15/13 5,270 5,327
United Technologies
6.500%, 06/01/09 2,365 2,383
Waste Management
7.125%, 12/15/17 5,305 5,374
7.100%, 08/01/26 1,710 1,619
---------------
71,382
---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
172
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
INFORMATION TECHNOLOGY -- 0.3%
Corning
7.250%, 08/15/36 $ 405 $ 359
Electronic Data Systems
7.125%, 10/15/09 3,680 3,739
Freescale Semiconductor
8.875%, 12/15/14 95 66
NXP Funding LLC
9.500%, 10/15/15 (A) 335 173
7.875%, 10/15/14 110 74
Oracle
5.750%, 04/15/18 1,522 1,413
Sungard Data Systems
10.250%, 08/15/15 725 629
Xerox
6.750%, 02/01/17 240 226
6.350%, 05/15/18 2,185 1,998
5.500%, 05/15/12 900 858
---------------
9,535
---------------
MATERIALS -- 0.9%
Alcoa
6.750%, 07/15/18 505 485
6.000%, 07/15/13 5,040 4,944
CodelCo
4.750%, 10/15/14 (E) 960 912
EI Du Pont de Nemours
6.000%, 07/15/18 405 395
Evraz Group
8.875%, 04/24/13 (E) 3,310 2,516
8.875%, 04/24/13 250 210
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17 4,870 4,797
Georgia Gulf
9.500%, 10/15/14 220 135
Graham Packaging
9.875%, 10/15/14 (A) 210 183
8.500%, 10/15/12 590 546
Lafarge
6.150%, 07/15/11 770 755
Potash of Saskatchewan
4.875%, 03/01/13 1,220 1,146
PPG Industries
6.650%, 03/15/18 435 430
5.750%, 03/15/13 435 431
Rio Tinto Finance USA
6.500%, 07/15/18 4,810 4,548
5.875%, 07/15/13 2,455 2,407
Steel Dynamics
6.750%, 04/01/15 810 697
United States Steel
6.050%, 06/01/17 245 213
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Vale Overseas
6.875%, 11/21/36 $ 5,100 $ 4,540
Vedanta Resources
8.750%, 01/15/14 (E) 1,960 1,748
Westlake Chemicals
6.625%, 01/15/16 (A) 610 519
Weyerhaeuser
6.750%, 03/15/12 370 366
---------------
32,923
---------------
SOVEREIGN -- 0.5%
Canadian Government
4.000%, 12/01/31 823 1,030
Deutsche Bundesrepublik
3.750%, 01/04/15 (EUR) 6,320 8,809
Emirate of Abu Dhabi
5.500%, 08/02/12 (E) 1,000 1,045
United Mexican States MTN, Ser A
7.500%, 04/08/33 176 192
6.750%, 09/27/34 5,858 5,887
5.875%, 01/15/14 450 453
---------------
17,416
---------------
TELECOMMUNICATION SERVICES -- 1.6%
America Movil
6.375%, 03/01/35 301 266
6.125%, 11/15/37 310 262
5.625%, 11/15/17 1,710 1,603
AT&T
6.500%, 09/01/37 1,380 1,174
6.450%, 06/15/34 625 536
6.400%, 05/15/38 627 528
5.500%, 02/01/18 2,660 2,369
5.100%, 09/15/14 4,960 4,640
4.125%, 09/15/09 795 789
AT&T Mobility LLC
6.500%, 12/15/11 1,455 1,481
BellSouth
6.000%, 11/15/34 850 689
4.750%, 11/15/12 170 161
British Telecommunications
9.125%, 12/15/30 1,105 1,102
British Telecommunications PLC
8.375%, 12/15/10 1,250 1,307
Citizens Communications
7.875%, 01/15/27 555 416
7.125%, 03/15/19 170 135
Deutsche Telekom International Finance
8.500%, 06/15/10 925 960
5.750%, 03/23/16 1,920 1,713
SEI Institutional Managed Trust / Annual Report / September 30, 2008
173
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Deutsche Telekom International
Finance BV
6.750%, 08/20/18 $ 590 $ 547
France Telecom
7.750%, 03/01/11 1,315 1,380
Koninklijke
8.000%, 10/01/10 650 681
Level 3 Financing
9.250%, 11/01/14 690 521
Motorola
5.375%, 11/15/12 1,190 1,093
New Cingular Wireless Services
8.125%, 05/01/12 1,595 1,701
Qwest
7.500%, 10/01/14 1,890 1,635
Qwest Communications International
6.304%, 11/15/08 (C) 545 538
Rogers Communications
7.875%, 05/01/12 550 572
6.750%, 03/15/15 1,015 996
6.375%, 03/01/14 2,795 2,673
5.500%, 03/15/14 620 573
Sprint Capital
8.750%, 03/15/32 660 515
8.375%, 03/15/12 3,430 3,087
6.900%, 05/01/19 100 78
Telecom Italia Capital
6.999%, 06/04/18 2,080 1,867
6.200%, 07/18/11 1,730 1,731
5.250%, 10/01/15 90 75
5.250%, 11/15/13 790 701
4.950%, 09/30/14 1,250 1,054
Telefonica Emisiones
5.984%, 06/20/11 2,025 2,003
5.855%, 02/04/13 575 553
Telefonica Europe
7.750%, 09/15/10 (A) 1,925 1,965
US West Communications
5.625%, 11/15/08 430 426
Verizon Communications
6.100%, 04/15/18 2,095 1,935
5.500%, 04/01/17 (A) 475 426
5.500%, 02/15/18 1,920 1,697
Verizon New Jersey, Ser A
7.850%, 11/15/29 1,135 1,022
5.875%, 01/17/12 2,175 2,135
Verizon New York, Ser A
6.875%, 04/01/12 660 660
VIP Finance Ireland for Vimpel
Communications
8.375%, 04/30/13 (E) 3,040 2,417
Virgin Media Finance PLC
9.125%, 08/15/16 80 67
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Vodafone Group PLC
5.625%, 02/27/17 $ 720 $ 640
5.350%, 02/27/12 400 393
Windstream
8.625%, 08/01/16 1,460 1,354
---------------
59,842
---------------
UTILITIES -- 2.7%
Abu Dhabi National Energy
5.620%, 10/25/12 (E) 4,681 4,540
AES
8.000%, 10/15/17 5,690 5,135
8.000%, 06/01/20 (E) 5,690 4,979
7.750%, 10/15/15 1,040 944
Allegheny Energy Supply
8.250%, 04/15/12 (E) (I) 955 965
Baltimore Gas & Electric
6.125%, 07/01/13 360 356
CMS Energy
6.550%, 07/17/17 745 651
Commonwealth Edison
6.150%, 09/15/17 1,115 1,054
Consolidated Edison of New York
5.850%, 04/01/18 2,200 2,089
Detroit Edison, Ser A
6.625%, 06/01/36 990 928
Dominion Resources
5.700%, 09/17/12 3,870 3,832
4.750%, 12/15/10 1,895 1,886
DPL
6.875%, 09/01/11 2,130 2,175
Duke Energy Carolinas
6.250%, 01/15/12 2,000 2,059
6.000%, 01/15/38 540 485
5.625%, 11/30/12 4,000 4,051
Edison Mission Energy
7.625%, 05/15/27 420 340
7.200%, 05/15/19 1,160 1,021
7.000%, 05/15/17 880 792
Energy Future Holdings
11.250%, 11/01/17 (E) 18,250 15,422
10.875%, 11/01/17 (E) 40 36
6.500%, 11/15/24 (A) 1,320 841
Exelon
5.625%, 06/15/35 2,720 2,110
Exelon Generation LLC
6.950%, 06/15/11 (E) 1,825 1,848
FirstEnergy, Ser B
6.450%, 11/15/11 510 512
FirstEnergy, Ser C
7.375%, 11/15/31 5,845 5,434
Florida Power
6.400%, 06/15/38 1,365 1,293
SEI Institutional Managed Trust / Annual Report / September 30, 2008
174
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
FPL Group Capital
5.350%, 06/15/13 $ 280 $ 280
Intergas Finance BV
6.375%, 05/14/17 220 165
6.375%, 05/14/17 (E) 3,485 2,509
Midamerican Energy Holdings
5.750%, 04/01/18 615 568
Nevada Power,
Ser A
8.250%, 06/01/11 1,800 1,922
Nisource Finance
6.800%, 01/15/19 2,261 2,054
NRG Energy
7.250%, 02/01/14 1,610 1,493
Oncor Electric Delivery
6.800%, 09/01/18 (E) 2,340 2,080
Pacific Gas & Electric
6.050%, 03/01/34 2,110 1,862
5.800%, 03/01/37 800 682
Pacificorp
6.250%, 10/15/37 1,200 1,089
5.650%, 07/15/18 605 573
Power Contract Financing
6.256%, 02/01/10 (E) 1,470 1,489
Progress Energy
6.850%, 04/15/12 655 674
Public Service of New Mexico
7.950%, 05/15/18 1,805 1,704
PVNGS II Funding
8.000%, 12/30/15 2,876 3,018
Sonat
7.625%, 07/15/11 2,850 2,884
South Carolina Electric & Gas
6.500%, 11/01/18 215 232
Southern California Edison
6.000%, 01/15/34 1,505 1,395
Swepco Capital I
5.250%, 10/01/43 (C) 4,255 4,265
TXU, Ser P
5.550%, 11/15/14 540 403
TXU, Ser R
6.550%, 11/15/34 (A) 4,135 2,541
Virginia Electric and Power
5.400%, 04/30/18 545 498
---------------
100,158
---------------
Total Corporate Obligations
(Cost $1,155,110) ($ Thousands) 978,593
---------------
ASSET-BACKED SECURITIES -- 9.3%
AUTOMOTIVE -- 0.6%
AmeriCredit Prime Automobile
Receivable, Ser 2007-1, Cl A3
5.270%, 11/08/11 1,863 1,857
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Capital Auto Receivables Asset Trust,
Ser 2006-2, Cl B
5.070%, 12/15/11 $ 2,620 $ 2,442
Daimler Chrysler Master Owner Trust,
Ser 2006-A, Cl A
2.518%, 10/15/08 (C) 3,084 2,932
Ford Credit Auto Owner Trust, Cl A4A
5.150%, 02/15/12 837 819
Harley-Davidson Motorcycle Trust,
Ser 2007-2, Cl A4
5.120%, 08/15/13 835 818
Harley-Davidson Motorcycle Trust,
Ser 2008-1, Cl A3A
4.250%, 02/15/13 958 931
Honda Auto Receivables Owner Trust,
Ser 2008-1, Cl A4
4.880%, 08/18/11 975 934
Huntington Auto Trust, Ser 2008-1,
Cl A4
5.640%, 02/15/13 (E) 3,294 3,140
Huntington Auto Trust, Ser 2008-1,
Cl A3A
4.810%, 04/16/12 (E) 3,223 3,126
Hyundai Auto Receivables Trust,
Ser 2008-A, Cl A4
5.480%, 11/17/14 378 362
Nissan Auto Receivables Owner Trust,
Ser 2007-B, Cl A4
5.160%, 03/17/14 1,388 1,360
Triad Auto Receivables Owner Trust,
Ser 2006-B, Cl A3
5.410%, 08/12/11 1,848 1,828
Triad Auto Receivables Owner Trust,
Ser 2006-C, Cl A3
5.260%, 11/14/11 981 963
Volkswagen Auto Loan Enhanced Trust,
Ser 2008-1, Cl A3
4.500%, 07/20/12 1,243 1,222
---------------
22,734
---------------
CREDIT CARDS -- 1.7%
American Express Credit Account
Master Trust, Ser 2006-B, Cl A
2.528%, 10/15/08 (C) (E) 4,700 4,531
Capital One Multi-Asset Execution Trust,
Cl A7
2.518%, 10/15/08 (C) 388 364
Capital One Multi-Asset Execution Trust,
Cl A6
2.841%, 10/15/08 (C) 1,036 934
2.558%, 10/15/08 (C) 1,321 1,285
Capital One Multi-Asset Execution Trust,
Ser 2006-A11, Cl A11
2.578%, 10/15/08 (C) 5,249 4,220
SEI Institutional Managed Trust / Annual Report / September 30, 2008
175
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Capital One Multi-Asset Execution Trust,
Ser 2006-A5, Cl A5
2.548%, 10/15/08 (C) $ 1,214 $ 1,077
Capital One Multi-Asset Execution Trust,
Ser 2007-A4, Cl A4
2.518%, 10/15/08 (C) 2,104 1,827
Capital One Multi-Asset Execution Trust,
Ser 2007-A7, Cl A7
5.750%, 07/15/20 2,852 2,504
Capital One Multi-Asset Execution Trust,
Ser 2008-A3, Cl A3
5.050%, 02/15/16 11,696 10,968
Capital One Multi-Asset Execution Trust,
Ser 2008-A5, Cl A5
4.850%, 02/18/14 1,610 1,565
Chase Issuance Trust, Ser 2005-A8,
Cl A8
2.528%, 10/15/08 (C) 5,400 5,246
Chase Issuance Trust, Ser 2006-A1,
Cl A
2.528%, 10/15/08 (C) 5,400 5,198
Citibank Credit Card Issuance Trust,
Ser 2005-A3, Cl A3
3.246%, 10/24/08 (C) 4,450 4,189
Discover Card Master Trust I,
Ser 2003-3A, Cl A
2.688%, 10/15/08 (C) 776 753
Discover Card Master Trust I,
Ser 2006-2, Cl A3
2.568%, 10/15/08 (C) 1,089 958
Discover Card Master Trust I,
Ser 2006-2, Cl A2
2.518%, 10/15/08 (C) 2,638 2,461
Discover Card Master Trust,
Ser 2007-A1, Cl A1
5.650%, 03/16/20 1,994 1,728
Discover Card Master Trust,
Ser 2007-A2, Cl A2
3.159%, 12/15/08 (C) 1,826 1,650
Discover Card Master Trust,
Ser 2008-A3, Cl A3
5.100%, 10/15/13 3,240 3,165
Discover Card Master Trust,
Ser 2008-A4, Cl A4
5.650%, 12/15/15 4,898 4,666
Washington Mutual Master
Note Trust, Ser 2006-A2A
2.538%, 10/15/08 (C) (E) 1,358 1,168
Washington Mutual Master Note Trust,
Ser 2007-A2, Cl A2
2.518%, 10/15/08 (C) (E) 237 195
---------------
60,652
---------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
MORTGAGE RELATED SECURITIES -- 2.4%
ABS Home Equity Loan Trust,
Ser 2007-HE3, Cl A1
3.028%, 10/15/08 (C) $ 418 $ 363
Ace Securities, Ser 2003-OP1, Cl M1
3.907%, 10/27/08 (C) 1,000 741
ACE Securities, Ser 2005-HE7,
Cl A1B2
3.507%, 10/27/08 (C) 1,263 1,066
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1
4.257%, 10/27/08 (C) 105 80
AFC Home Equity Loan Trust,
Ser 1998-1, Cl 1A2
3.477%, 10/27/08 (C) 114 73
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A
3.447%, 10/27/08 (C) 4,431 1,571
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1
4.557%, 10/27/08 (C) 1,281 886
Argent Securities, Ser 2003-W5,
Cl M1
3.907%, 10/27/08 (C) 600 470
Argent Securities, Ser 2003-W9,
Cl M1
3.897%, 10/27/08 (C) 1,287 937
Asset-Backed Funding Certificates,
Ser 2003-WF1, Cl A2
3.597%, 10/25/08 (C) 2,494 2,249
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2
4.300%, 06/25/35 808 799
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5, Cl M1
3.613%, 10/15/08 (C) 1,733 1,367
Asset-Backed Securities Home Equity,
Ser 2003-HE4, Cl M2
4.488%, 10/15/08 (C) 310 234
Bear Stearns Asset-Backed Securities
Trust, Ser 2000-2, Cl M2
8.280%, 08/25/30 7,268 6,978
Bear Stearns Asset-Backed Securities
Trust, Ser 2003-1, Cl A1
3.707%, 10/27/08 (C) 3,996 3,340
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-AQ2, Cl A1
3.307%, 10/27/08 (C) 4,946 4,547
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE2, Cl 1A1
3.307%, 10/27/08 (C) 8,321 8,028
BNC Mortgage Loan Trust,
Ser 2007-1, Cl A2
3.267%, 10/27/08 (C) 2,490 2,357
SEI Institutional Managed Trust / Annual Report / September 30, 2008
176
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
BNC Mortgage Loan Trust,
Ser 2007-1, Cl M1
3.447%, 10/27/08 (C) $ 6,300 $ 969
Centex Home Equity, Cl AV4
3.457%, 10/27/08 (C) 4,917 3,346
Citigroup Mortgage Loan Trust,
Ser 2006-FX1, Cl A1
3.307%, 10/27/08 (C) 1,152 1,069
Citigroup Mortgage Loan Trust,
Ser 2007-AHL1, Cl A2A
3.247%, 10/27/08 (C) 573 528
Conseco Finance, Ser 2001-D, Cl A5
6.190%, 10/15/08 (C) 1,800 1,773
Contimortgage Home Equity Trust
1998-3, Ser 1997-1, Cl A9
7.050%, 03/15/28 32 31
Contimortgage Home Equity Trust
1998-3, Ser 1997-2, Cl A9
7.090%, 04/15/28 27 27
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 08/25/21 1,258 1,143
Countrywide Asset-Backed Certificates,
Ser 2007-S2, Cl A2
5.649%, 11/25/08 (C) 3,306 2,066
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1
3.677%, 10/27/08 (C) (E) 1,720 1,426
Equivantage Home Equity Loan
Trust, Ser 1997-2, Cl A3
7.775%, 07/25/28 148 99
GMAC Mortgage Loan Trust,
Ser 2007-HE1, Cl A2
5.621%, 11/25/08 (C) 4,497 2,837
GSAA Trust, Ser 2006-2, Cl 2A1
3.307%, 10/27/08 (C) 1,274 1,264
Home Equity Asset Trust,
Ser 2003-4, Cl M2
5.607%, 10/27/08 (C) 869 583
Master Asset-Backed Securities Trust,
Ser 2006-AB1, Cl A1
3.347%, 10/27/08 (C) 2,143 2,116
Merrill Lynch Mortgage Investors,
Ser 2003-OPT1, Cl A3
3.567%, 10/27/08 (C) 1,227 1,009
Morgan Stanley Capital I,
Ser 2003-NC8, Cl M1
4.257%, 10/27/08 (C) 2,063 1,405
Morgan Stanley Capital I,
Ser 2007-HE2, Cl A2A
3.247%, 10/27/08 (C) 467 441
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC4, Cl M2
6.207%, 10/27/08 (C) 98 77
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Morgan Stanley Home Equity Loans,
Ser 2007-1, Cl A1
3.257%, 10/27/08 (C) $ 421 $ 396
Nationstar Home Equity Loan Trust,
Cl 2AV2
3.337%, 10/27/08 (C) 5,500 3,967
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2
4.461%, 08/25/35 266 264
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A1
3.307%, 10/27/08 (C) 8,687 8,154
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A
3.807%, 10/27/08 (C) 426 389
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1
3.857%, 10/27/08 (C) 454 314
Option One Mortgage Loan Trust,
Ser 2007-3, Cl 2A4
3.537%, 10/27/08 (C) 1,350 597
Option One Mortgage Loan Trust,
Ser 2007-6, Cl 2A4
3.457%, 10/27/08 (C) 4,574 2,146
Residential Funding Mortgage
Securities II, Ser 2000-HI1, Cl AI7
8.290%, 02/25/25 2,152 1,882
Residential Funding Mortgage
Securities II, Ser 2005-HS1, Cl AI1
3.327%, 10/27/08 (C) 863 842
Soundview Home Equity Loan Trust,
Cl A3
3.367%, 10/27/08 (C) 6,450 3,974
Start, Ser 2003-2
3.186%, 10/21/08 (C) (E) 1,679 1,634
Terwin Mortgage Trust,
Ser 2005-9HG3, Cl A1
4.000%, 11/25/08 (C) (E) 1,054 957
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl A1
4.500%, 11/25/08 (C) (E) 4,529 1,234
Terwin Mortgage Trust, Ser 2006-4SL,
Cl A1
4.500%, 11/25/08 (C) (E) 4,327 1,610
Terwin Mortgage Trust, Ser 2006-6,
Cl 1A2
4.750%, 11/25/08 (C) 7,600 1,996
Terwin Mortgage Trust, Ser 2006-6,
Cl 1A1
4.500%, 11/25/08 (C) 3,855 1,234
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8B
5.000%, 11/25/08 (C) (E) 371 48
---------------
89,933
---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
177
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
OTHER ASSET-BACKED SECURITIES -- 4.6%
BankAmerica Manufactured Housing
Contract Trust, Ser 1997-1, Cl M
6.800%, 01/10/28 $ 3,310 $ 3,717
Chase Funding Mortgage Loan
Asset-Backed Certificates,
Ser 2002-1, Cl 2A2
3.707%, 10/27/08 (C) 1,552 1,340
Chase Funding Mortgage Loan
Asset-Backed Certificates,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 150 149
Citicorp Residential Mortgage Securities,
Cl A5
6.046%, 03/25/37 1,970 1,372
Citicorp Residential Mortgage Securities,
Ser 2006-1, Cl A1
5.956%, 07/25/36 109 108
Citicorp Residential Mortgage Securities,
Ser 2006-1, Cl A2
5.682%, 07/25/36 1,236 1,222
Citicorp Residential Mortgage Securities,
Ser 2006-2, Cl A2
5.557%, 09/25/36 1,163 1,150
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 10/15/08 (C) 1,496 1,453
Conseco Finance Securitizations,
Ser 2000-4, Cl A6
8.310%, 11/01/08 (C) 1,340 1,012
Countrywide Asset-Backed Certificates,
Cl 1AF3
5.711%, 11/25/08 (C) 6,450 4,129
Countrywide Asset-Backed Certificates,
Ser 2003-BC2, Cl 2A1
3.807%, 10/27/08 (C) 38 29
Countrywide Asset-Backed Certificates,
Ser 2004-14, Cl A4
3.487%, 10/27/08 (C) 845 693
Countrywide Asset-Backed Certificates,
Ser 2005-15, Cl 1AF1
3.347%, 10/27/08 (C) 376 375
Countrywide Asset-Backed Certificates,
Ser 2006-10, Cl MV1
3.467%, 10/27/08 (C) 10,450 3,648
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl A2
2.788%, 10/15/08 (C) 1,268 915
Countrywide Home Equity Loan Trust,
Ser 2005-F, Cl 2A
2.728%, 10/15/08 (C) 2,510 1,456
Countrywide Home Equity Loan Trust,
Ser 2007-GW, Cl A
3.038%, 10/15/08 (C) 13,872 9,712
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Credit Suisse First Boston Mortgage
Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/31 $ 929 $ 917
Dominos Pizza Master Issuer LLC,
Ser 2007-1, Cl A2
5.261%, 04/25/37 (E) 1,743 1,414
Embarcadero Aircraft Securitization
Trust, Ser 2000-A, Cl A1
2.968%, 10/15/08 (C) (E) 4,097 2,868
First Franklin Mortgage Loan Asset
Backed Certificates, Ser 2004-FF11,
Cl 1A2
3.557%, 10/27/08 (C) 138 102
First Franklin Mortgage Loan Asset
Backed Certificates, Ser 2005-FF10,
Cl A4
3.527%, 10/27/08 (C) 8,400 7,576
First Franklin Mortgage Loan Asset
Backed Certificates, Ser 2005-FF9,
Cl A3
3.487%, 10/27/08 (C) 7,982 7,579
First Franklin Mortgage Loan Asset
Backed Certificates, Ser 2006-FFA,
Cl A3
3.327%, 10/27/08 (C) 5,298 1,633
First Horizon ABS Trust, Ser 2004-HE2,
Cl A
3.427%, 10/27/08 (C) 1,885 1,507
Ford Credit Floorplan Master Owner
Trust, Ser 2006-4
2.738%, 10/15/08 (C) 2,249 2,236
GMAC Mortgage Loan Trust,
Ser 2005-HE3, Cl A1VN
3.467%, 10/27/08 (C) 5,861 1,945
Great America Leasing Receivables,
Ser 2006-1, Cl A3
5.340%, 01/15/10 (E) 648 648
Green Tree Financial, Ser 1993-4, Cl A5
7.050%, 01/15/19 335 329
Green Tree Financial, Ser 1996-5,
Cl A6
7.750%, 07/15/27 1,040 1,068
GSAMP Trust, Ser 2003-SEA, Cl A1
3.607%, 10/27/08 (C) 3,409 2,595
HSI Asset Securitization Trust,
Ser 2005-NC1, Cl 2A4
3.527%, 10/27/08 (C) 903 794
HSI Asset Securitization Trust,
Ser 2005-I1, Cl 2A3
3.497%, 10/27/08 (C) 8,000 6,765
Lehman XS Trust, Ser 2005-5N,
Cl M4
4.957%, 10/27/08 (C) 1,800 32
SEI Institutional Managed Trust / Annual Report / September 30, 2008
178
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Lehman XS Trust, Ser 2005-5N, Cl 1A1
3.507%, 10/27/08 (C) $ 5,643 $ 3,533
Lehman XS Trust, Ser 2006-GP1,
Cl A4A
3.537%, 10/27/08 (C) 5,565 2,497
Lehman XS Trust, Ser 2007-1, Cl WF1
7.000%, 01/25/37 2,904 1,586
Lehman XS Trust, Ser 2007-9, Cl 1A1
3.327%, 10/27/08 (C) 11,768 9,661
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3
3.537%, 10/27/08 (C) 1,306 992
Master Specialized Loan Trust,
Ser 2007-2, Cl A
3.557%, 10/27/08 (C) (E) 10,331 6,973
Merrill Lynch First Franklin Mortgage
Loan Trust, Ser 2001-1, Cl M1
3.587%, 10/27/08 (C) 2,084 374
Merrill Lynch Mortgage Investors,
Ser 2005-SL3, Cl A1
3.437%, 10/27/08 (C) 640 501
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2D
5.895%, 03/25/37 5,200 3,406
Merrill Lynch Mortgage Investors,
Ser 2007-MLN1, Cl M1
3.607%, 10/27/08 (C) 3,010 594
Merrill Lynch Mortgage Investors,
Ser 2007-SL1, Cl A1
3.507%, 10/27/08 (C) 6,664 2,292
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 4,838 4,430
Morgan Stanley Dean Witter Capital
Heloc Trust, Ser 2005-1, Cl A
3.397%, 10/27/08 (C) 573 392
Nelnet Student Loan Trust, Ser 2008-4,
Cl A4
4.280%, 10/27/08 (C) 2,740 2,647
Oncor Electric Delivery Transition Bond,
Ser 2003-1, Cl A2
4.030%, 02/15/12 2,196 2,189
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM
2.957%, 11/18/08 (C) (E) 3,086 1,852
Ownit Mortgage Loan Asset Backed
Certificates, Ser 2006-1, Cl AF1
5.424%, 12/25/36 933 925
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1
4.302%, 10/27/08 (C) 188 138
Residential Asset Mortgage Products,
Ser 2003-RS2, Cl AII
3.887%, 10/27/08 (C) 70 38
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Residential Asset Mortgage Products,
Ser 2007-RS1, Cl A1
3.287%, 10/27/08 (C) $ 3,281 $ 3,207
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A
3.307%, 10/27/08 (C) (E) 2,327 2,273
Saco I, Ser 2005-9, Cl A1
3.457%, 10/27/08 (C) 1,068 598
Saco I, Ser 2005-WM3, Cl A1
3.467%, 10/27/08 (C) 1,061 579
Saco I, Ser 2006-6, Cl A1
3.337%, 10/27/08 (C) 3,864 849
SLC Student Loan Trust, Ser 2006-2,
Cl B
3.049%, 12/15/08 (C) 5,250 4,349
SLM Student Loan Trust, Cl A5B
4.000%, 10/27/08 (C) 3,532 3,407
SLM Student Loan Trust, Cl A4
4.450%, 10/27/08 (C) 681 675
4.255%, 10/27/08 (C) 4,311 4,038
SLM Student Loan Trust, Ser 2006-9,
Cl B
3.030%, 10/27/08 (C) 4,000 3,071
SLM Student Loan Trust, Ser 2006-C,
Cl C
3.209%, 12/15/08 (C) 4,000 2,616
SLM Student Loan Trust, Ser 2008-6,
Cl A4
4.064%, 10/27/08 (C) 3,666 3,421
Small Business Administration,
Ser 2003-P10A, Cl 1
4.524%, 02/10/13 2,268 2,212
Structured Asset Investment Loan
Trust, Ser 2003-BC4, Cl M2
6.207%, 10/27/08 (C) 154 111
Structured Asset Receivables Trust,
Ser 2003-1, Cl CTFS
3.286%, 10/21/08 (C) (E) 3,175 2,952
Structured Asset Securities,
Ser 2006-GEL4, Cl A1
3.327%, 10/27/08 (C) (E) 2,833 2,622
Structured Asset Securities,
Ser 2007-BC2, Cl A2
3.297%, 10/27/08 (C) 11,008 10,447
Structured Asset Securities,
Ser 2007-BC4, Cl A3
3.457%, 10/27/08 (C) 6,001 5,308
Swift Master Auto Receivables Trust,
Ser 2007-1, Cl A
2.588%, 10/15/08 (C) 940 836
---------------
171,079
---------------
Total Asset-Backed Securities
(Cost $437,244) ($ Thousands) 344,398
---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
179
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
U.S. TREASURY OBLIGATIONS -- 4.7%
U.S. Treasury Bonds
8.875%, 02/15/19 (A) $ 2,047 $ 2,865
8.750%, 08/15/20 310 440
8.125%, 08/15/19 (A) 716 961
7.125%, 02/15/23 (A) 4,800 6,194
6.250%, 05/15/30 (A) 6,991 8,780
5.375%, 02/15/31 (A) 6,923 7,867
5.250%, 02/15/29 2,670 2,961
5.000%, 05/15/37 (A) 2,450 2,726
4.750%, 02/15/37 (A) 4,924 5,268
4.500%, 02/15/36 to 05/15/38 (A) 7,872 8,117
4.375%, 02/15/38 (A) 1,053 1,067
3.443%, 11/15/21 (A) (B) 15,810 8,674
1.750%, 01/15/28 (A) 21,177 18,475
U.S. Treasury Bonds TIPS
3.875%, 04/15/29 4,853 5,803
3.625%, 04/15/28 (A) 13,683 15,742
2.500%, 07/15/16 (A) 3,635 3,720
2.375%, 01/15/25 to 01/15/27 (A) 41,614 40,305
2.000%, 01/15/16 to 01/15/26 (A) 9,402 9,158
U.S. Treasury Notes
4.875%, 08/15/16 (A) 9,130 9,883
4.750%, 08/15/17 402 431
4.000%, 08/15/18 (A) 2,240 2,246
3.875%, 05/15/18 -- --
3.375%, 07/31/13 (A) 3,367 3,429
3.125%, 08/31/13 to 09/30/13 924 932
U.S. Treasury STRIPS
4.498%, 11/15/27 (A) (B) 5,282 2,205
U.S. Treasury Bills
1.512%, 10/16/08 (B) 300 300
1.442%, 10/16/08 (B) 251 251
0.020%, 10/23/08 (B) 4,006 4,005
---------------
Total U.S. Treasury Obligations
(Cost $170,164) ($ Thousands) 172,805
---------------
LOAN PARTICIPATIONS -- 1.1%
Adesa, Term B Loan
5.060%, 09/22/13 962 795
Allison Transmission, Term B Loan
0.000%, 08/07/14 1,985 1,641
Alltel Wireless, Term B2 Loan
6.334%, 05/15/15 (C) 496 479
Aramark
6.334%, 01/26/14 (C) 61 53
4.571%, 01/31/14 931 811
Ashmore Energy (Synthetic Revolving
Deposits)
5.801%, 03/30/14 1,312 1,148
3.100%, 03/07/12 144 126
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Bausch & Lomb
6.051%, 04/11/15 (C) $ 796 $ 740
0.000%, 04/11/15 (C) 200 186
Berry Plastics Holding
4.798%, 04/03/15 (C) 992 800
Cablevision, Term B Loan
4.217%, 03/30/13 992 893
Charter Communications, Term B Loan
4.800%, 03/15/14 1,493 1,186
DAE Aviation Holdings, Term B1 Loan
6.585%, 07/31/14 287 264
DAE Aviation Holdings, Term B2 Loan
6.550%, 07/31/14 285 262
DaimlerChrysler Financial Services
North America, Term B Loan
6.820%, 08/03/12 (C) 990 671
Dollar General, Term B Loan
5.650%, 07/15/14 1,000 889
Education Management, Term C Loan
4.562%, 06/15/13 1,488 1,295
Enterprise GP Holdings, Term B Loan
6.084%, 11/10/14 (C) 1,000 968
First Data, Term B2 Loan
5.905%, 10/15/14 4,814 4,147
Freescale Semiconductor
4.221%, 12/01/13 992 806
General Motors, Term B Loan
5.059%, 12/15/13 992 638
Georgia-Pacific, Term B Loan
4.451%, 12/23/13 1,432 1,248
Harrah's Operating, Term B2 Loan
7.334%, 01/28/15 (C) 750 613
Hertz
6.084%, 12/21/12 (C) 841 753
Hertz LOC (Synthetic)
3.204%, 02/08/12 (C) 152 135
Host Marriott L.P., Ser Q
6.750%, 06/01/16++ 455 372
IASIS
4.465%, 05/01/14 692 637
IASIS (Delayed Draw)
4.462%, 05/01/14 239 220
IASIS (Synthetic)
4.704%, 05/01/14 64 59
Iconix, Term B Loan
5.060%, 05/01/14 941 875
Idearc, Term B Loan
4.786%, 11/01/14 995 584
Insight Midwest Holdings LLC,
Term B Loan
4.470%, 04/06/14 675 622
Las Vegas Sands LLC (Delayed Draw)
4.550%, 05/08/14 (C) 367 282
SEI Institutional Managed Trust / Annual Report / September 30, 2008
180
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Las Vegas Sands LLC, Term B Loan
4.550%, 05/08/14 (C) $ 1,633 $ 1,255
Lodgenet Entertainment, Term B Loan
4.810%, 04/04/14 984 840
Manor Care, Term B Loan
4.962%, 11/15/14 1,000 830
NewPage
7.956%, 11/05/14 (C) 993 905
Nuveen Investments, Term B Loan
7.084%, 11/01/14 (C) 2 1
Petco Animal Supplies, Term B Loan
5.018%, 11/15/13 992 868
Regal Cinemas, Term B Loan
4.301%, 10/19/10 992 865
Royalty Pharma, Term B Loan
5.051%, 05/15/14 992 939
Sunguard, Term B Loan
4.552%, 08/15/12 1,241 1,077
Telesat Canada, Term B Loan
5.794%, 10/15/14 1,042 935
Telesat Canada, Term B Loan
(Unfunded)
5.670%, 10/15/14 118 12
Texas Competitive Electric Holdings,
Term B2 Loan
7.334%, 10/10/14 (C) 1,985 1,668
Tribune
6.834%, 05/30/09 (C) 366 339
United Airlines
4.575%, 01/12/14 711 436
Univision
164.142%, 09/15/14 84 53
Univision Communications, Term B Loan
5.123%, 09/15/14 2,416 1,538
UPC Financing Partnership
4.214%, 03/30/14 1,000 803
Visteon, Term B Loan
7.194%, 06/20/13 1,000 616
Yankee Candle, Term B Loan
4.607%, 01/15/14 928 747
---------------
Total Loan Participations
(Cost $46,780) ($ Thousands) 39,925
---------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.8%
FHLB
4.050%, 01/21/09 2,000 2,000
2.403%, 10/28/08 (B) 6,450 6,448
2.402%, 12/18/08 (B) 9,825 9,774
2.304%, 10/20/08 (B) 9,130 9,119
2.080%, 10/17/08 (B) (J) 21,305 21,285
1.280%, 10/08/08 (B) 17,100 17,093
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
FHLMC
2.893%, 03/30/09 (B) $ 300 $ 296
FNMA
5.250%, 08/01/12 1,860 1,881
3.875%, 07/12/13 4,540 4,529
2.875%, 10/12/10 8,320 8,282
2.462%, 12/08/08 (B) 1,285 1,279
2.212%, 12/22/08 (B) (J) (K) 225 224
6.250%, 02/01/11 4,952 5,180
5.500%, 11/01/22 7,000 7,041
1.700%, 12/15/08 (B) (J) (K) 7,919 7,877
FNMA
2.611%, 02/02/09 (B) 450 449
2.127%, 10/15/08 (B) 525 525
2.084%, 11/07/08 (B) 975 972
---------------
Total U.S. Government Agency Obligations
(Cost $104,041) ($ Thousands) 104,254
---------------
MUNICIPAL BONDS -- 0.2%
Galveston County Texas, Ser C, GO, AMBAC
Pre-Refunded @ 100
5.000%, 02/01/13 (G) 1,435 1,524
Greenville County School District, RB
Pre-Refunded @ 101
5.500%, 12/01/12 (G) 890 977
Harris County Texas, Ser B, GO
Pre-Refunded @ 100
5.250%, 10/01/13 (G) 2,005 2,173
Massachusetts State, Consolidated
Loan, Ser B, GO, FSA
Pre-Refunded @ 100
5.500%, 03/01/12 (G) 1,515 1,608
Massachusetts State, Consolidated
Loan, Ser E, GO, FSA
Pre-Refunded @ 100
5.250%, 01/01/13 (G) 1,260 1,345
Massachusetts State, Ser B, GO, AMBAC
Pre-Refunded @ 100
5.000%, 08/01/14 (G) 810 850
Metropolitan Atlanta Rapid Transit
Authority, Ser 2nd Indenture,
RB, MBIA
Pre-Refunded @ 100
5.000%, 01/01/13 (G) 450 480
---------------
Total Municipal Bonds
(Cost $9,077) ($ Thousands) 8,957
---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
181
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
Notional Amount
(Thousands)/
Contracts Face
Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
PURCHASED SWAPTIONS -- 0.1%
U.S. Swaption Call, Merrill Lynch* 8,765,000 $ 1,077
U.S. Swaption Call, Merrill Lynch* 66,431,000 1,320
---------------
Total Purchased Swaption
(Cost $719) ($ Thousands) 2,397
---------------
PURCHASED OPTION -- 0.0%
December 2008 U.S. 10 Year Treasury
Note Put, Expires 11/22/08
Strike Price $116* 120 259
---------------
Total Purchased Option
(Cost $113) ($ Thousands) 259
---------------
CERTIFICATE OF DEPOSIT --0.1%
JPMorgan Chase Bank
8.750%, 11/28/21 $ 2,152 2,089
---------------
Total Certificate of Deposit
(Cost $2,105) ($ Thousands) 2,089
---------------
REPURCHASE AGREEMENT -- 0.8%
Merrill Lynch
0.250%, dated 09/30/08, to be
repurchased on 10/01/08,
repurchase price $29,700,206
(collateralized by a FNMA
Obligation, par value $30,219,000,
3.375%, 03/05/10; market
value $30,294,001) 29,700 29,700
---------------
Total Repurchase Agreement
(Cost $29,700) ($ Thousands) 29,700
---------------
AFFILIATED PARTNERSHIP -- 5.6%
SEI Liquidity Fund, L.P.,
2.590%**+ (H) 212,703,875 208,795
---------------
Total Affiliated Partnership
(Cost $212,704) ($ Thousands) 208,795
---------------
CASH EQUIVALENTS -- 1.5%
Evergreen Institutional Money
Market Fund, 2.740%** 948,366 948
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 2.350%**+ 54,727,358 54,728
---------------
Total Cash Equivalents
(Cost $55,676) ($ Thousands) 55,676
---------------
Face Amount
($ Thousands) Market Value
Description /Contracts ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
COMMERCIAL PAPER -- 1.2%
Bank of America
3.208%, 10/17/08 $ 5,005 $ 4,998
BNP Paribas Finance
3.970%, 10/09/08 12,570 12,558
General Electric Capital
2.306%, 10/23/08 12,180 12,163
National Rural Utilities Cooperative Finance
2.554%, 10/07/08 13,560 13,553
---------------
Total Commercial Paper
(Cost $43,274) ($ Thousands) 43,272
---------------
Total Investments -- 126.4%
(Cost $5,036,918) ($ Thousands) $ 4,670,136
===============
WRITTEN OPTIONS* -- (0.1)%
December 2008 U.S. 10 Year
Treasury Note Put, Expires 11/24/08,
Strike Price $111.00 (89) (63)
November 2008 10 Year
Treasury Note Put, Expires 10/27/08,
Strike Price $114.00 (109) (128)
December 2008 U.S.10 Year
Treasury Note Call, Expires 11/24/08,
Strike Price $115.50 (115) (185)
December 2008 10 Year
Treasury Note Put, Expires 11/24/08,
Strike Price $108.00 (173) (46)
December 2008 U.S. 10 Year
Treasury Note Put, Expires 11/24/08,
Strike Price $112.00 (100) (136)
December 2008 U.S. 10 Year
Treasury Note Put, Expires 11/25/08,
Strike Price $116.50 (100) (311)
November 2008 U.S. 5 Year
Treasury, Note Put, Expires 10/27/08,
Strike Price $112.00 (108) (104)
December 2008 U.S. 10 Year
Treasury Note Put, Expires 11/24/08,
Strike Price $112.50 (108) (120)
November 2008 U.S. 5 Year
Treasury Note Call, Expires 10/27/08,
Strike Price $116.00 (108) (16)
December 2008 U.S. 30 Year
Treasury Bond Call, Expires 11/24/08,
Strike Price $122.00 (80) (83)
December 2008 U.S. 10 Year
Treasury Note Call, Expires 11/24/08,
Strike Price $117.50 (221) (206)
SEI Institutional Managed Trust / Annual Report / September 30, 2008
182
Contracts/
Notional Amount Market Value
Description (Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
December 2008 U.S. 30 Year
Treasury Bond Put, Expires 11/22/08,
Strike Price $118.00 (240) $ (195)
March 2009 90 day Euro Call,
Expires 03/17/09,
Strike Price $97.50 (107) (54)
June 2009 90 Day Euro Call,
Expires 06/16/09,
Strike Price $96.75 (99) (94)
December 2008 U.S. 10 Year
Treasury Note Call, Expires 11/21/08,
Strike Price $118.00 (120) (376)
December 2008 U.S. 10 Year
Treasury Note Call, Expires 12/31/08,
Strike Price $119.00 (178) (108)
December 2008 U.S. 10 Year
Treasury Note Call, Expires 11/24/08,
Strike Price $120.00 (89) (39)
December 2008 U.S. 10 Year
Treasury Note Put, Expires 12/31/08,
Strike Price $114.00 (134) (228)
December 2008 U.S. 10 Year
Treasury Note Put, Expires 11/25/08,
Strike Price $113.00 (89) (114)
December 2008 U.S. 30 Year
Treasury Bond Call, Expires 11/24/08,
Strike Price $123.00 (80) (68)
December 2008 U.S. 10 Year
Treasury Note Put, Expires 11/25/08,
Strike Price $112.00 (178) (170)
December 2008 U.S. 10 Year
Treasury Note Put, Expires 11/25/08,
Strike Price $115.00 (286) (629)
December 2008 U.S. 10 Treasury
Note Call, Expires 11/24/08,
Strike Price $117.00 (160) (173)
---------------
Total Written Options
(Premiums Received $(2,347)) ($ Thousands) (3,646)
---------------
WRITTEN SWAPTION -- (0.1)%
U.S. Swaption Call, Merrill Lynch* (33,000) (2,125)
---------------
Total Written Swaption
(Premiums Received $(719)) ($ Thousands) (2,125)
---------------
A summary of the open futures contracts held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- --------------
10-Year Swap (344) Dec-2008 $ 701
90-Day Euro$ 73 Dec-2008 (67)
90-Day Euro$ 1,008 Mar-2009 284
90-Day Euro$ 373 Jun-2009 1,555
90-Day Euro$ 201 Sep-2009 823
90-Day Euro$ 64 Dec-2009 258
90-Day Euro$ 59 Mar-2010 144
90-Day Euro$ (282) Jun-2010 (762)
90-Day Euro$ (14) Sep-2010 (12)
90-Day Euro$ (6) Dec-2010 7
90-Day Euro$ (22) Mar-2011 (26)
90-Day Euro$ (22) Jun-2011 (24)
90-Day Sterling 131 Mar-2009 299
Euro-Bond 108 Dec-2008 (20)
U.S. 10-Year Note (1,344) Dec-2008 1,492
U.S. 2-Year Note 1,642 Dec-2008 2,034
U.S. 5-Year Note 2,869 Dec-2008 1,136
U.S. Long Treasury Bond (195) Dec-2008 115
------
$7,937
======
A summary of the outstanding forward foreign currency contracts held by the Fund
at September 30, 2008, is as follows (see Note 2 in Notes to Financial
Statements):
CURRENCY CURRENCY UNREALIZED
SETTLEMENT TO DELIVER TO RECEIVE APPRECIATION
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- ---------- ----------- ----------- -------------
11/5/08 EUR 20,545 USD 32,254 $3,305
11/5/08 GBP 6,740 USD 13,317 1,274
11/5/08 USD 18,577 JPY 1,981,542 204
------
$4,783
======
SEI Institutional Managed Trust / Annual Report / September 30, 2008
183
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2008
A summary of outstanding swap agreements held by the Fund at September 30, 2008,
is as follows (see Note 2 in Notes to Financial Statements):
CREDIT DEFAULT SWAPS
NET UNREALIZED
(PAYS)/ NOTIONAL APPRECIATION
BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------ ----------------------------------------- ---------- -------- ----------- ------------- --------------
Citigroup ABX.HE.AA 07-1 Index Sell 0.15% 08/25/37 $ 975 $ (677)
Citigroup ABX.HE.AA 07-1 Index Sell 0.15 08/25/37 985 (640)
JPMorgan Chase Bank ABX.HE.AA 07-2 Index Sell 1.92 01/25/38 985 (714)
JPMorgan Chase Bank ABX.HE.AA 07-2 Index Sell 1.92 01/25/38 1,960 (1,326)
JPMorgan Chase Bank ABX.HE.AA 07-2 Index Sell 1.92 01/25/38 3,435 (2,212)
Credit Suisse First Boston ABX.HE.AAa 06-1 Index Sell 0.09 08/25/37 2,000 174
Citigroup ABX.HE.AAa 06-2 Index Sell 0.11 05/25/46 1,350 89
Credit Suisse First Boston ABX.HE.AAa 06-2 Index Sell 0.17 05/25/46 2,550 114
Greenwich Capital Markets ABX.HE.AAa 06-2 Index Sell 0.17 05/25/46 2,000 90
Goldman Sachs ABX.HE.AAa 06-2 Index Sell 0.17 05/25/46 2,500 106
Credit Suisse First Boston ABX.HE.AAa 06-2 Index Sell 0.17 05/25/46 3,500 130
Morgan Stanley ABX.HE.AAa 07-1 Index Sell 0.09 08/25/37 1,700 45
Morgan Stanley ABX.HE.AAa 07-1 Index Sell 0.09 08/25/37 3,800 135
Goldman Sachs ABX.HE.AAa 07-1 Index Sell 0.09 08/25/37 2,700 96
Citigroup ABX.HE.AAa 07-1 Index Sell 0.09 08/25/37 5,795 (1,766)
Barclays ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 4,500 (120)
Morgan Stanley ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 2,000 (90)
Morgan Stanley ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 1,000 (40)
Greenwich Capital Markets ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 1,450 62
Goldman Sachs ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 1,300 56
Credit Suisse First Boston ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 2,900 161
Barclays ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 2,500 151
Citigroup ABX.HE.BBB 07-2 Index Sell 5.00 01/25/38 1,750 (609)
Bank Of America Alcan Inc., 4.875%, 09/15/12 Buy (0.35) 12/20/13 2,125 5
Bank Of America Alcan Inc., 4.875%, 09/15/12 Buy (0.32) 03/20/14 1,800 7
Goldman Sachs Anheuser-Busch Cos Inc., 5.625%, 10/01/10 Buy (1.08) 09/20/13 2,000 (3)
Barclays Anheuser-Busch Cos Inc., 5.625%, 10/01/10 Buy (1.08) 09/20/13 2,500 (4)
JPMorgan Chase Bank Autozone Inc., 5.875%, 10/15/20 Buy (0.46) 12/20/11 2,125 17
Bank Of America Autozone Inc., 5.875%, 10/15/20 Buy (0.44) 12/20/11 2,125 18
Bank Of America Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 2,125 30
JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 2,125 30
Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.66) 03/20/13 4,250 28
Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.80) 03/20/13 2,250 2
Bank Of America Campbell Soup Co., 4.875%, 10/01/13 Buy (0.20) 06/20/14 2,775 13
JPMorgan Chase Bank Carnival Corp., 6.65%, 1/15/28 Buy (0.22) 06/20/12 1,600 46
Goldman Sachs CDX.NA.LG.9 Index Sell 0.60 12/20/12 8,250 (175)
Bank Of America CDX.NA.LG.9 Index Sell 0.60 12/20/12 4,500 (113)
Goldman Sachs CDX.NA.LG.9 Index Sell 0.60 12/20/12 32,375 (983)
Merrill Lynch Centex Corp., 5.25%, 06/15/15 Buy (3.56) 12/20/12 1,350 40
Merrill Lynch Centex Corp., 5.25%, 06/15/15 Buy (3.65) 12/20/12 925 25
Goldman Sachs Centurytel Inc., 6.00%, 04/01/17 Buy (1.10) 03/20/13 4,500 63
Bank Of America Computer Science Corp., 5.0%, 02/15/13 Buy (0.65) 06/20/13 4,000 (7)
Deutsche Bank CTX, 5.125%, 06/15/15 Buy (4.40) 12/20/13 125 --
Citigroup Darden Restaurants Inc., 7.125%, 02/01/16 Buy (2.40) 03/20/15 800 (18)
Deutsche Bank Darden Restaurants Inc., 7.125%, 02/01/16 Buy (2.25) 03/20/13 400 (7)
Morgan Stanley Darden Restaurants Inc., 7.125%, 02/01/16 Buy (2.25) 03/20/13 400 (7)
Bank Of America Darden Restaurants Inc., 7.125%, 02/01/16 Buy (0.45) 12/20/11 2,250 81
JPMorgan Chase Bank Dow Chemical Inc., 6.00%, 10/01/12 Buy (0.26) 12/20/13 2,125 58
Merrill Lynch Dow Chemical Inc., 6.00%, 10/01/12 Buy (0.25) 12/20/13 2,125 59
Bank Of America Gap Inc., 8.80%, 12/15/08 Buy (1.18) 12/20/11 2,125 (29)
JPMorgan Chase Bank Gap Inc., 8.80%, 12/15/08 Buy (1.18) 12/20/11 2,250 (31)
JPMorgan Chase Bank Goldman Sachs Group Inc., 6.60%, 12/20/12 Buy (0.74) 12/20/12 3,150 416
Barclays Goldman Sachs Group Inc., 6.60%, 12/20/12 Buy (0.75) 12/20/12 200 26
JPMorgan Chase Bank Hasbro Inc., 2.75%, 12/01/21 Buy (0.39) 12/20/11 2,250 46
Bank Of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.39) 12/20/13 2,125 107
Bank Of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.37) 12/20/13 2,125 109
JPMorgan Chase Bank Jones Apparel Group., 5.125%, 11/15/14 Buy (0.77) 12/20/11 2,250 135
Merrill Lynch Kroger Co. 5.50%, 02/01/13 Buy (0.64) 03/20/13 4,500 (15)
Bank Of America Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.95) 03/20/13 3,000 (36)
Bank Of America Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.60) 09/20/13 3,250 15
Merrill Lynch Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.13) 12/20/11 2,250 30
Merrill Lynch Lubrizol Corp., 7.25%, 06/15/25 Buy (0.45) 12/20/11 2,125 12
JPMorgan Chase Bank Lubrizol Corp., 7.25%, 06/15/35 Buy (0.45) 12/20/11 2,125 12
Bank Of America Lubrizol Corp., 7.25%, 06/15/25 Buy (0.81) 09/20/13 1,250 --
Bank Of America Masco Corp., 5.875%, 07/15/12 Buy (0.73) 12/20/13 2,250 191
Merrill Lynch MDC Holdings Inc., 5.50%, 05/15/13 Buy (0.90) 12/20/11 2,250 47
Bank Of America Meadwestavaco Corp., 6.85%, 04/01/12 Buy (0.48) 12/20/11 2,250 63
Bank Of America MGIC Investment Corp., 6.00%, 11/01/15 Buy (0.35) 12/20/13 2,125 713
JPMorgan Chase Bank MGIC Investment Corp., 6.00%, 11/01/15 Buy (0.35) 12/20/13 2,125 801
JPMorgan Chase Bank Morgan Stanley, 6.60% 04/01/12 Buy (0.91) 12/20/12 2,200 512
Goldman Sachs Motorola Inc., 6.50%, 09/01/25 Buy (1.93) 03/20/13 1,200 29
SEI Institutional Managed Trust / Annual Report / September 30, 2008
184
NET UNREALIZED
(PAYS)/ NOTIONAL APPRECIATION
BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------ ----------------------------------------- ---------- -------- ----------- ------------- --------------
JPMorgan Chase Bank Nordstrom Inc., 6.95%, 03/15/28 Buy (0.28)% 12/20/13 $2,125 $ 116
Merrill Lynch Nordstrom Inc., 6.95%, 03/15/28 Buy (0.28) 12/20/13 2,125 116
JPMorgan Chase Bank Nucor Coro., 4.875%, 10/01/12 Buy (0.22) 12/20/11 2,125 31
Bank Of America Nucor Corp., 4.875%, 10/01/12 Buy (0.22) 12/20/11 2,125 31
Bank Of America Pitney Bowes Inc., 4.625%, 10/01/12 Buy (0.14) 12/20/11 4,500 53
Bank Of America PMI Group Inc., 6.00%, 09/15/16 Buy (0.35) 12/20/13 2,125 801
JPMorgan Chase Bank PMI Group Inc., 6.00%, 09/15/16 Buy (0.35) 12/20/13 2,125 713
JPMorgan Chase Bank PPG Industries Inc., 7.05%, 08/15/09 Buy (0.20) 12/20/11 2,250 39
Deutsche Bank Pulte Homes Inc, 5.25% 01/15/14 Buy (4.00) 03/20/15 1,500 (133)
Deutsche Bank Pulte Homes Inc, 5.25% 01/15/14 Buy (4.62) 03/20/13 1,500 (123)
Citigroup Pulte Homes Inc, 5.25% 01/15/14 Buy (3.88) 12/20/12 2,200 (112)
Citigroup Pulte Homes Inc, 5.25% 01/15/14 Buy (3.91) 12/20/12 1,150 (60)
JPMorgan Chase Bank Radian Group Inc., 7.75%, 06/01/11 Buy (0.39) 12/20/13 2,250 17
Bank Of America Radian Group Inc., 7.75%, 06/01/11 Buy (0.39) 12/20/13 2,125 1,120
Merrill Lynch RR Donnelley & Sons, 4.95%, 04/01/14 Buy (0.69) 12/20/11 2,250 55
Bank Of America Safeway Inc., 5.80%, 08/15/12 Buy (0.59) 03/20/13 3,750 3
JPMorgan Chase Bank Safeway Inc., 5.80%, 08/15/12 Buy (0.64) 03/20/13 3,500 (4)
Bank Of America Southwest Airlines Co., 6.50%, 03/01/12 Buy (1.40) 06/20/13 1,500 5
Merrill Lynch Southwest Airlines Co., 6.50%, 03/01/12 Buy (0.27) 12/20/11 2,125 58
JPMorgan Chase Bank Southwest Airlines Co., 6.50%, 03/01/12 Buy (0.27) 12/20/11 2,250 61
Bank Of America The Limited Inc., 6.125%, 12/01/12 Buy (0.48) 12/20/11 2,250 143
Bank Of America TJX Companies Inc., 7.45%, 12/15/09 Buy (0.19) 12/20/11 2,250 15
Merrill Lynch Toll Brothers, 6.875%, 11/15/12 Buy (2.83) 12/20/12 1,435 (22)
Merrill Lynch Toll Brothers, 6.875%, 11/15/12 Buy (2.78) 12/20/12 2,450 (33)
Citigroup Toll Brothers, 6.875%, 11/15/12 Buy (2.83) 12/20/12 1,000 (15)
Merrill Lynch Weyerhaeuser Company, 6.75%, 03/15/12 Buy (0.45) 03/20/12 2,125 76
Goldman Sachs Whirlpool Corp., 7.75%, 07/15/16 Buy (1.02) 09/20/13 1,500 7
JPMorgan Chase Bank Whirlpool Corp., 7.75%, 07/15/16 Buy (0.34) 12/20/11 2,250 39
-------
$(1,430)
=======
INTEREST RATE SWAPS
NET UNREALIZED
APPRECIATION
TERMINATION NOTIONAL AMOUNT (DEPRECIATION)
COUNTERPARTY FUND PAYS FUND RECEIVES DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------ --------------- --------------- ----------- --------------- --------------
JPMorgan Chase Bank 4.6975% 3-month LIBOR 09/26/19 $12,230 $ (12)
Deutsche Bank 4.44 6-month EURIBOR 04/14/18 11,300 305
Citigroup 4.97 3-month LIBOR 06/11/19 9,250 (254)
Citigroup 5.0575 3-month LIBOR 06/10/19 5,550 (191)
Deutsche Bank 3-month LIBOR 4.40% 05/31/12 9,091 268
Citigroup 3-month LIBOR 4.2063 06/11/11 37,970 314
Citigroup 3-month LIBOR 4.2275 06/10/11 22,780 199
Citigroup 3-month LIBOR 4.04 12/15/10 7,360 169
JPMorgan Chase Bank 3-month LIBOR 4.03 09/26/11 50,210 48
Merrill Lynch 3-month LIBOR 3.40123 02/26/13 4,556 (106)
Merrill Lynch 3-month LIBOR 3.70058 02/27/09 9,086 (99)
Merrill Lynch 3-month LIBOR 3.95 12/15/10 21,760 453
Deutsche Bank 6-month EURIBOR 4.253 04/14/10 54,500 (560)
Deutsche Bank 6-month EURIBOR 4.464 05/12/10 4,300 (20)
-----
$ 514
=====
TOTAL RETURN SWAPS
NET UNREALIZED
NOTIONAL APPRECIATION
TERMINATION AMOUNT (DEPRECIATION)
COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS) ($ THOUSANDS)
- ------------ ----------------------------- ---------------------- -------------------- ----------- ----------- --------------
Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread 10/31/08
Minus 10 bps $20,000 $(1,529)
Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread 01/30/09
Minus 95 bps 20,000 (1,530)
-------
$(3,059)
=======
SEI Institutional Managed Trust / Annual Report / September 30, 2008
185
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Concluded)
September 30, 2008
Description
Percentages are based on a Net Assets of $3,694,723 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Investment in Affiliated Security (see Note 3).
++ Real Estate Investment Trust
(A) This security or a partial position of this security is on loan at
September 30, 2008. The total value of securities on loan at September 30,
2008 was $187,345 ($ Thousands).
(B) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effects as of September 30, 2008. The date reported on the
Schedule of Investments is the next reset date.
(D) Securities considered illiquid. The total value of such securities as of
September 30, 2008 was $1,150 ($ Thousands) and represented 0.03% of Net
Assets.
(E) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the board of Trustees.
(F) Security in default on interest payments.
(G) Pre-Refunded Security -- The maturity date shown is the pre-refunded date.
(H) This security was purchased with cash collateral held from securities on
loan (see Note 7) The total value of such securities as of September 30,
2008 was $208,795 ($ Thousands).
(I) Security considered restricted. The total value of such securities as of
September 30, 2008 was $1,952 ($ Thousands) and represented 0.05% of Net
Assets.
(J) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(K) Security, or portion thereof has been pledged as collateral on written
options.
ABS -- Asset-Based Security
ARM -- Adjustable Rate Mortgage
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
GO -- General Obligation
IO -- Interest Only -- face amount represents notional amount
LLC -- Limited Liability Company
L.P. -- Limited Partnership
MTN -- Medium Term Note
PLC -- Public Limited Company
PO -- Principal Only
RB -- Revenue Bond
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TIPS -- Treasury Inflation Protected Security
Amounts designated as "--" are $0 or have been rounded to $0
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
186
High Yield Bond Fund
September 30, 2008
SECTOR WEIGHTINGS# (UNAUDITED):
(PERFORMANCE GRAPH)
Consumer Discretionary 20.3%
Affiliated Partnership 10.8%
Energy 9.7%
Loan Participations 8.2%
Materials 7.2%
Telecommunication Services 7.1%
Financials 7.0%
Industrials 6.3%
Collateralized Debt Obligations 5.1%
Health Care 4.9%
Information Technology 3.9%
Short-Term Investment 3.2%
Utilities 3.1%
Consumer Staples 2.5%
Preferred Stock 0.4%
Common Stock 0.2%
Convertible Bonds 0.1%
Warrant 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
CORPORATE OBLIGATIONS -- 80.3%
CONSUMER DISCRETIONARY -- 22.6%
Adelphia Communications
(Escrow Security)
10.250%, 06/15/11 $ 150 $ 6
0.000%, 01/15/09 225 9
Adelphia Communications
(Escrow Security), Ser B
0.000%, 02/15/04 25 1
American Greetings
7.375%, 06/01/16 600 546
AmeriGas Partners
7.125%, 05/20/16 385 345
Amscan Holdings
8.750%, 05/01/14 1,185 960
ArvinMeritor
8.750%, 03/01/12 2,165 1,819
Asbury Automotive Group
7.625%, 03/15/17 150 96
Ashtead Capital
9.000%, 08/15/16 (A) 1,860 1,600
Ashtead Holdings PLC
8.625%, 08/01/15 (A) (B) 225 194
AutoNation
4.791%, 10/15/08 (C) 930 784
Avis Budget Car Rental
7.750%, 05/15/16 50 31
5.304%, 11/17/08 (C) 965 593
Bausch & Lomb
9.875%, 11/01/15 (A) 1,720 1,634
Beazer Homes USA
8.625%, 05/15/11 270 219
6.875%, 07/15/15 (B) 2,155 1,336
Blockbuster
9.000%, 09/01/12 (B) 2,125 1,519
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Bonten Media Acquisition
9.000%, 06/01/15 (A) $ 275 $ 162
Boyd Gaming
7.125%, 02/01/16 1,650 1,143
6.750%, 04/15/14 (B) 1,350 969
Broder Brothers, Ser B
11.250%, 10/15/10 (B) 1,260 655
Brown Shoe
8.750%, 05/01/12 1,100 1,067
Burlington Coat Factory Warehouse
11.125%, 04/15/14 (B) 950 525
Cablevision Systems, Ser B
8.334%, 04/01/09 (C) 375 370
Caesars Entertainment
7.875%, 03/15/10 (B) 1,075 836
Carrols
9.000%, 01/15/13 1,245 896
CBS
7.700%, 07/30/10 3,000 3,080
CCH I Holdings LLC
11.750%, 05/15/14 (B) 150 58
11.125%, 01/15/14 800 278
11.000%, 10/01/15 175 114
11.000%, 10/01/15 (B) 6,046 3,989
10.000%, 05/15/14 300 111
9.920%, 04/01/14 (B) 350 130
CCH II LLC
10.250%, 09/15/10 200 179
10.250%, 09/15/10 (B) 1,535 1,382
CCO Holdings LLC
8.750%, 11/15/13 (B) 4,070 3,540
Centex
5.125%, 10/01/13 275 217
4.550%, 11/01/10 160 142
Charter Communications Operating
10.875%, 09/15/14 (A) (B) 1,950 1,892
Choctaw Resort Development Enterprise
7.250%, 11/15/19 (A) 1,032 774
Cinemark
11.991%, 03/15/09 (D) 450 433
Claire's Stores
10.500%, 06/01/17 (B) 400 134
9.625%, 06/01/15 2,135 587
9.250%, 06/01/15 (B) 625 259
Clear Channel Communications
10.750%, 08/01/16 (A) 365 190
Community Health Systems
8.875%, 07/15/15 4,845 4,603
Cooper-Standard Automotive
8.375%, 12/15/14 550 347
Couche-Tard US
7.500%, 12/15/13 4,508 4,146
SEI Institutional Managed Trust / Annual Report / September 30, 2008
187
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
COX Communications
7.875%, 08/15/09 $ 1,140 $ 1,143
COX Enterprises
7.375%, 06/15/09 (A) 2,900 2,896
CSC Holdings
8.500%, 06/15/15 (A) (B) 255 237
8.125%, 07/15/09 3,300 3,267
Dana
0.000%, 03/15/28 200 5
0.000%, 03/01/29 850 21
0.000%, 03/01/09 350 9
Delphi
7.125%, 05/01/29 (E) 875 105
6.500%, 05/01/09 (B) (E) 750 90
Denny's
10.000%, 10/01/12 65 59
Dex Media
9.962%, 11/15/13 (B) (D) 3,680 1,693
8.000%, 11/15/13 250 115
Dex Media West, Ser B
9.875%, 08/15/13 4,755 2,948
8.500%, 08/15/10 3,250 2,868
DirecTV Holdings
7.625%, 05/15/16 (A) 1,785 1,615
6.375%, 06/15/15 4,765 4,192
Dollar General
10.625%, 07/15/15 (B) 960 946
DR Horton
6.000%, 04/15/11 745 667
Echostar DBS
7.750%, 05/31/15 4,780 4,050
7.125%, 02/01/16 4,250 3,411
6.625%, 10/01/14 600 482
5.750%, 10/01/08 3,765 3,765
Education Management
8.750%, 06/01/14 150 125
El Dorado Casino Shreveport PIK
10.000%, 08/01/12 (B) 1,193 1,151
Expedia
8.500%, 07/01/16 (A) 690 621
Eye Care Centers of America
10.750%, 02/15/15 700 725
Fontainebleau Las Vegas Holdings
10.250%, 06/15/15 (A) 4,150 1,162
Ford Motor
7.450%, 07/16/31 (B) 1,755 755
6.500%, 08/01/18 2,775 1,138
4.250%, 12/15/36 125 82
GameStop
8.000%, 10/01/12 1,220 1,226
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Gaylord Entertainment
8.000%, 11/15/13 $ 995 $ 866
6.750%, 11/15/14 180 151
General Motors
8.375%, 07/15/33 (B) 2,445 978
8.250%, 07/15/23 (B) 5,000 1,962
7.700%, 04/15/16 1,112 445
7.200%, 01/15/11 (B) 1,690 993
7.125%, 07/15/13 (B) 2,855 1,313
General Motors Nova Scotia Finance
6.850%, 10/15/08 4,350 4,306
General Nutrition Centers PIK
7.584%, 03/15/09 (C) 575 479
Goodyear Tire & Rubber
9.000%, 07/01/15 (B) 655 648
8.625%, 12/01/11 837 829
7.857%, 08/15/11 725 705
Great Canadian Gaming
7.250%, 02/15/15 (A) (B) 300 270
Group 1 Automotive
8.250%, 08/15/13 200 182
Hanesbrands, Ser B
6.508%, 12/15/08 (C) 3,795 3,150
Harrah's Operating
10.750%, 02/01/16 (A) 4,060 2,071
8.000%, 02/01/11 675 511
5.500%, 07/01/10 470 353
Herbst Gaming
8.125%, 06/01/12 (E) 1,050 53
7.000%, 11/15/14 (B) (E) 1,000 50
Hertz
8.875%, 01/01/14 3,810 3,286
Idearc
8.000%, 11/15/16 1,580 431
Indianapolis Downs & Capital
11.000%, 11/01/12 (A) (B) 1,350 918
Inn of the Mountain Gods Resort
& Casino
12.000%, 11/15/10 275 187
Jarden
7.500%, 05/01/17 (B) 5,515 4,591
Lamar Media
7.250%, 01/01/13 (B) 2,850 2,579
6.625%, 08/15/15 (B) 2,680 2,218
6.625%, 08/15/15 475 393
Lamar Media, Ser B
6.625%, 08/15/15 25 21
Laureate Education
10.000%, 08/15/15 (A) (B) 525 446
LBI Media
9.471%, 10/15/13 (D) 675 506
8.500%, 08/01/17 (A) 195 129
SEI Institutional Managed Trust / Annual Report / September 30, 2008
188
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Lear
8.750%, 12/01/16 $ 975 $ 678
Leslie's Poolmart
7.750%, 02/01/13 550 465
Levi Strauss
9.750%, 01/15/15 287 240
Liberty Media
7.875%, 07/15/09 3,050 3,059
LIN Television
6.500%, 05/15/13 520 406
6.500%, 05/15/13 (B) 2,500 1,950
M/I Homes
6.875%, 04/01/12 290 232
Majestic Holdings LLC
2.880%, 10/15/11 (A) (D) 50 1
MediMedia USA
11.375%, 11/15/14 (A) 775 760
MGM Mirage
8.375%, 02/01/11 (B) 1,025 838
7.500%, 06/01/16 (B) 6,170 4,503
6.875%, 04/01/16 3,010 2,189
6.750%, 09/01/12 1,000 783
6.750%, 04/01/13 2,450 1,910
6.000%, 10/01/09 1,250 1,169
5.875%, 02/27/14 1,485 1,073
Michaels Stores
11.375%, 11/01/16 150 71
10.000%, 11/01/14 (B) 625 394
Mohegan Tribal Gaming Authority
6.875%, 02/15/15 (B) 1,025 707
6.125%, 02/15/13 (B) 325 270
Neff
10.000%, 06/01/15 (B) 1,450 435
Neiman-Marcus Group PIK
9.000%, 10/15/15 2,995 2,508
Neiman-Marcus Group
10.375%, 10/15/15 (B) 1,315 1,101
Nexstar Broadcasting
7.000%, 01/15/14 (B) 2,250 1,688
OSI Restaurant Partners
10.000%, 06/15/15 (B) 800 356
Penhall International
12.000%, 08/01/14 (A) 1,850 1,277
Penn National Gaming
6.750%, 03/01/15 3,285 2,890
Penske Auto Group
7.750%, 12/15/16 2,000 1,430
Perry Ellis International, Ser B
8.875%, 09/15/13 1,326 1,167
Pinnacle Entertainment
8.750%, 10/01/13 405 388
8.250%, 03/15/12 125 121
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Pokagon Gaming Authority
10.375%, 06/15/14 (A) $ 955 $ 967
Quebecor Media
7.750%, 03/15/16 950 831
7.750%, 03/15/16 4,955 4,335
Rent-A-Center, Ser B
7.500%, 05/01/10 (B) 3,125 3,055
Rental Services
9.500%, 12/01/14 (B) 3,220 2,439
RH Donnelley
11.750%, 05/15/15 (A) 1,126 687
8.875%, 10/15/17 (B) 3,750 1,275
RH Donnelley, Ser A-1
6.875%, 01/15/13 850 332
RH Donnelley, Ser A-2
6.875%, 01/15/13 250 98
RH Donnelley, Ser A-3
8.875%, 01/15/16 75 26
RJ Tower
12.000%, 06/01/13 (B) (E) 172 --
Royal Caribbean Cruises
7.250%, 06/15/16 955 793
7.000%, 06/15/13 (B) 610 525
Ryland Group
6.875%, 06/15/13 355 296
5.375%, 05/15/12 425 346
Sally Holdings LLC
10.500%, 11/15/16 (B) 530 504
9.250%, 11/15/14 (B) 2,950 2,780
Sealy Mattress
8.250%, 06/15/14 (B) 4,576 3,591
Seminole Indian Tribe of Florida
7.804%, 10/01/20 (A) 720 669
Seneca Gaming
7.250%, 05/01/12 125 109
Service International
7.375%, 10/01/14 1,527 1,389
7.000%, 06/15/17 1,155 988
6.750%, 04/01/15 1,105 964
6.750%, 04/01/16 1,075 919
SGS International
12.000%, 12/15/13 1,400 1,134
Shingle Springs Tribal Gaming Authority
9.375%, 06/15/15 (A) 600 432
Simmons
13.423%, 12/15/14 5,625 3,150
7.875%, 01/15/14 1,200 900
Sinclair Broadcast Group
8.000%, 03/15/12 (B) 2,000 1,930
4.875%, 07/15/18 (A) (D) 450 408
SEI Institutional Managed Trust / Annual Report / September 30, 2008
189
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Six Flags
9.625%, 06/01/14 (B) $ 275 $ 154
Sonic Automotive, Ser B
8.625%, 08/15/13 1,628 1,107
Stanadyne Holdings
10.249%, 08/15/09 (D) 1,575 1,150
Stanadyne Holdings, Ser 1
10.000%, 08/15/14 450 419
Station Casinos
6.875%, 03/01/16 125 35
6.625%, 03/15/18 2,255 598
Steinway Musical Instruments
7.000%, 03/01/14 (A) 5,170 4,472
Stewart Enterprises
6.250%, 02/15/13 1,005 925
Sun Media
7.625%, 02/15/13 1,110 1,021
Tenneco
8.625%, 11/15/14 (B) 3,781 3,006
8.125%, 11/15/15 330 282
Toll
8.250%, 02/01/11 700 676
8.250%, 12/01/11 1,095 1,051
Town Sports International
3.578%, 02/01/14 (D) 1,092 1,018
Travelport LLC
11.875%, 09/01/16 (B) 4,915 3,527
7.436%, 12/01/08 (C) 2,371 1,826
TRW Automotive
7.250%, 03/15/17 (A) 3,240 2,560
7.000%, 03/15/14 (A) 2,350 1,939
United Components
9.375%, 06/15/13 1,290 1,071
United Rentals North America
7.750%, 11/15/13 100 76
7.000%, 02/15/14 1,325 928
6.500%, 02/15/12 1,805 1,507
Universal City Florida Holding I
8.375%, 05/01/10 100 97
7.551%, 11/01/08 (C) 1,247 1,172
Univision Communications
9.750%, 03/15/15 (A) (B) 325 151
7.850%, 07/15/11 80 62
Vail Resorts
6.750%, 02/15/14 3,060 2,868
Vicorp Restaurants
10.500%, 04/15/11 (E) 426 66
Videotron
9.125%, 04/15/18 (A) 1,105 1,116
6.875%, 01/15/14 4,670 4,412
6.375%, 12/15/15 420 370
Visant Holding
11.836%, 12/01/13 (B) (D) 5,995 5,424
8.750%, 12/01/13 1,040 954
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Visteon
12.250%, 12/31/16 (A) (B) $ 234 $ 140
8.250%, 08/01/10 (B) 225 187
7.000%, 03/10/14 25 10
WMG Acquisition
7.375%, 04/15/14 235 174
Wynn Las Vegas Capital
6.625%, 12/01/14 3,716 3,168
XM Satellite Radio Holdings
13.000%, 08/01/13 (A) 110 65
---------------
243,204
---------------
CONSUMER STAPLES -- 2.8%
B & G Foods
8.000%, 10/01/11 525 504
Chiquita Brands International
8.875%, 12/01/15 1,795 1,453
7.500%, 11/01/14 290 223
Constellation Brands
8.375%, 12/15/14 580 574
7.250%, 05/15/17 (B) 4,100 3,772
7.250%, 09/01/16 4,525 4,164
Del Monte
8.625%, 12/15/12 250 248
6.750%, 02/15/15 2,605 2,345
Dole Food
7.250%, 06/15/10 200 176
Elizabeth Arden
7.750%, 01/15/14 1,150 1,047
Fleming
10.125%, 04/01/08 (E) 1,025 31
9.250%, 06/15/10 (E) 183 5
Merisant
9.500%, 07/15/13 (B) 2,300 1,334
Merisant Worldwide
8.849%, 05/15/14 (D) 1,075 183
Michael Foods
8.000%, 11/15/13 2,765 2,681
National Beef Packing
10.500%, 08/01/11 470 468
NBTY
7.125%, 10/01/15 3,026 2,647
Pantry
7.750%, 02/15/14 2,325 1,796
Rite Aid
9.500%, 06/15/17 (B) 3,930 2,062
9.375%, 12/15/15 525 276
8.625%, 03/01/15 725 381
7.700%, 02/15/27 (B) 150 59
7.500%, 03/01/17 (B) 1,105 840
6.875%, 08/15/13 (B) 100 45
6.875%, 12/15/28 (A) (B) 375 135
SEI Institutional Managed Trust / Annual Report / September 30, 2008
190
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Smithfield Foods
7.750%, 07/01/17 $ 100 $ 79
7.750%, 05/15/13 225 189
7.000%, 08/01/11 250 218
Spectrum Brands
7.375%, 02/01/15 (B) 1,733 745
SuperValu
7.500%, 11/15/14 1,425 1,382
Tyson Foods
7.350%, 04/01/16 380 314
---------------
30,376
---------------
ENERGY -- 10.8%
Allis-Chalmers Energy
9.000%, 01/15/14 3,442 3,097
8.500%, 03/01/17 100 86
Arch Western Finance
6.750%, 07/01/13 6,265 5,888
Atlas Energy Resources
10.750%, 02/01/18 (A) 1,300 1,170
Atlas Pipeline Partners
8.125%, 12/15/15 375 345
Aventine Renewable Energy Holdings
10.000%, 04/01/17 (B) 2,750 1,458
Brigham Exploration
9.625%, 05/01/14 750 626
Chaparral Energy
8.875%, 02/01/17 2,000 1,580
8.500%, 12/01/15 225 178
Chesapeake Energy
7.625%, 07/15/13 100 96
7.500%, 06/15/14 (B) 806 772
7.500%, 09/15/13 1,100 1,064
7.250%, 12/15/18 1,075 989
7.000%, 08/15/14 874 817
6.875%, 01/15/16 450 411
6.875%, 11/15/20 150 128
6.500%, 08/15/17 (B) 2,235 1,956
Cie Generale de Geophysique-Veritas
7.750%, 05/15/17 660 627
7.500%, 05/15/15 513 490
Cimarex Energy
7.125%, 05/01/17 1,650 1,518
Colorado Interstate Gas
6.800%, 11/15/15 88 83
Compton Petroleum Finance
7.625%, 12/01/13 1,245 1,092
Connacher Oil and Gas
10.250%, 12/15/15 (A) 1,085 1,042
Copano Energy
7.750%, 06/01/18 (A) 3,660 3,203
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Denbury Resources
7.500%, 04/01/13 $ 3,660 $ 3,458
7.500%, 12/15/15 2,225 2,047
Dynegy Holdings
8.375%, 05/01/16 1,425 1,240
7.750%, 06/01/19 2,705 2,164
7.500%, 06/01/15 3,140 2,653
El Paso
8.050%, 10/15/30 375 325
7.875%, 06/15/12 1,345 1,324
7.800%, 08/01/31 1,050 885
7.420%, 02/15/37 1,225 976
7.250%, 06/01/18 (B) 3,015 2,803
7.000%, 06/15/17 1,320 1,179
6.875%, 06/15/14 640 590
El Paso Performance-Linked Trust
7.750%, 07/15/11 (A) 725 734
Encore Acquisition
7.250%, 12/01/17 330 271
Energy Partners
9.750%, 04/15/14 (B) 1,585 1,165
7.916%, 10/15/08 (C) 175 129
Forest Oil
8.000%, 12/15/11 785 785
7.750%, 05/01/14 455 430
7.250%, 06/15/19 (A) 1,190 1,017
Frontier Oil
8.500%, 09/15/16 325 313
6.625%, 10/01/11 100 95
Gulfmark Offshore
7.750%, 07/15/14 875 823
Helix Energy Solutions Group
9.500%, 01/15/16 (A) 3,075 2,875
Hilcorp Energy I
9.000%, 06/01/16 (A) 1,245 1,133
7.750%, 11/01/15 (A) 4,070 3,500
Holly Energy Partners
6.250%, 03/01/15 1,225 980
International Coal Group
10.250%, 07/15/14 815 727
KCS Energy
7.125%, 04/01/12 1,565 1,377
Key Energy Services
8.375%, 12/01/14 (A) 440 422
Mariner Energy
8.000%, 05/15/17 435 368
MarkWest Energy Partners
8.750%, 04/15/18 2,345 2,228
MarkWest Energy Partners, Ser B
8.500%, 07/15/16 1,800 1,701
6.875%, 11/01/14 1,325 1,193
SEI Institutional Managed Trust / Annual Report / September 30, 2008
191
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Massey Energy
6.875%, 12/15/13 $ 710 $ 643
Newfield Exploration
7.125%, 05/15/18 1,700 1,479
6.625%, 04/15/16 2,350 2,092
OPTI Canada
8.250%, 12/15/14 1,630 1,459
7.875%, 12/15/14 1,125 996
Pacific Energy Partners
7.125%, 06/15/14 225 221
6.250%, 09/15/15 100 94
Parker Drilling
9.625%, 10/01/13 236 229
Peabody Energy
7.375%, 11/01/16 375 360
Peabody Energy, Ser B
6.875%, 03/15/13 2,600 2,508
PetroHawk Energy
9.125%, 07/15/13 2,966 2,787
7.875%, 06/01/15 (A) 2,280 1,984
Petroleum Development
12.000%, 02/15/18 1,570 1,507
PetroProd
10.850%, 05/24/13 800 664
PHI
7.125%, 04/15/13 125 111
Plains Exploration & Production
7.750%, 06/15/15 150 138
7.625%, 06/01/18 635 562
7.000%, 03/15/17 1,045 909
Pride International
7.375%, 07/15/14 (B) 2,469 2,358
Quicksilver Resources
8.250%, 08/01/15 1,825 1,670
7.125%, 04/01/16 700 571
Range Resources
7.250%, 05/01/18 620 586
Sabine Pass LNG
7.250%, 11/30/13 (B) 1,400 1,106
Sabine Pass LNG L.P.
7.500%, 11/30/16 600 468
SandRidge Energy
8.625%, 04/01/15 (A) 1,050 940
8.000%, 06/01/18 (A) 2,080 1,789
Seitel
9.750%, 02/15/14 2,700 2,201
SESI
6.875%, 06/01/14 1,000 870
Sevan Marine
9.250%, 12/20/11 500 450
Southwestern Energy
7.500%, 02/01/18 (A) 1,800 1,746
Swift Energy
7.625%, 07/15/11 4,650 4,417
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Targa Resources
8.500%, 11/01/13 $ 225 $ 199
Targa Resources Partners
8.250%, 07/01/16 (A) 875 753
Tesoro
6.625%, 11/01/15 1,130 921
United Refining
10.500%, 08/15/12 675 581
Venoco
8.750%, 12/15/11 2,730 2,347
Whiting Petroleum
7.250%, 05/01/13 635 589
Williams
7.750%, 06/15/31 500 467
Williams Partners L.P.
7.250%, 02/01/17 1,610 1,497
---------------
115,895
---------------
FINANCIALS -- 7.8%
AAC Group Holding
2.814%, 10/01/12 (A) 1,080 1,069
AAC Group Holding PIK
14.750%, 10/01/12 780 741
ACE Cash Express
10.250%, 10/01/14 (A) 775 558
ALH Finance LLC
8.500%, 01/15/13 4,075 3,800
Alliant Holdings I
11.000%, 05/01/15 (A) 1,075 935
Buffalo Thunder Development Authority
9.375%, 12/15/14 (A) 2,175 914
Calfrac Holdings
7.750%, 02/15/15 (A) 2,850 2,366
Cardtronics
9.250%, 08/15/13 805 724
9.250%, 08/15/13 455 410
Cebridge PIK
8.801%, 05/05/14 403 326
Felcor Lodging L.P.
4.803%, 12/01/08++ (C) 225 180
Ferrellgas Escrow
6.750%, 05/01/14 520 424
Ferrellgas Partners
6.750%, 05/01/14 (A) 1,250 1,019
FireKeepers Development Authority
13.875%, 05/01/15 (A) 625 550
Ford Motor Credit LLC
12.000%, 05/15/15 200 153
9.750%, 09/15/10 979 702
8.000%, 12/15/16 (B) 1,800 1,138
7.800%, 06/01/12 5,240 3,254
7.375%, 10/28/09 125 100
7.375%, 02/01/11 300 199
SEI Institutional Managed Trust / Annual Report / September 30, 2008
192
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
7.250%, 10/25/11 (B) $ 1,290 $ 820
7.241%, 10/15/08 (C) 3,185 2,945
7.000%, 10/01/13 6,063 3,726
5.538%, 10/14/08 (C) 300 192
4.361%, 10/15/08 (C) 515 422
Galaxy Entertainment Finance
9.875%, 12/15/12 (A) 680 462
Global Cash Access
8.750%, 03/15/12 390 343
GMAC LLC
8.000%, 11/01/31 2,007 757
7.750%, 01/19/10 75 45
7.250%, 03/02/11 375 177
7.000%, 02/01/12 100 41
6.875%, 08/28/12 7,005 2,784
6.875%, 09/15/11 2,050 915
6.750%, 12/01/14 7,601 2,917
6.625%, 05/15/12 1,260 533
6.000%, 12/15/11 375 167
4.054%, 05/15/09 (C) 375 271
GrafTech Finance
10.250%, 02/15/12 65 67
Hawker Beechcraft Acquisition
9.750%, 04/01/17 (A) 200 179
Hawker Beechcraft Acquisition PIK
8.875%, 04/01/15 2,620 2,371
Hellas Telecommunications
Luxembourg II
8.541%, 10/15/08 (A) (C) 2,250 1,361
Hexion US Finance
9.750%, 11/15/14 3,835 3,030
7.304%, 11/15/08 (C) 750 540
Host Hotels & Resorts
6.875%, 11/01/14++ 1,930 1,669
Host Marriott L.P., Ser Q
6.750%, 06/01/16++ 2,525 2,064
Host Marriott LP
7.125%, 11/01/13++ 1,485 1,322
Host Marriott LP, Ser M
7.000%, 08/15/12++ 150 134
Host Marriott LP, Ser O
6.375%, 03/15/15++ 915 743
HUB International Holdings
9.000%, 12/15/14 (A) 2,850 2,537
Hughes Network Systems
9.500%, 04/15/14 630 611
Icahn Enterprises
7.125%, 02/15/13 5,575 4,264
Inergy L.P.
8.250%, 03/01/16 (A) 350 322
6.875%, 12/15/14 855 748
iPayment
9.750%, 05/15/14 750 600
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
KAR Holdings
10.000%, 05/01/15 $ 25 $ 19
8.750%, 05/01/14 1,930 1,573
6.801%, 11/03/08 (C) 800 628
LaBranche
11.000%, 05/15/12 245 230
Leucadia National
8.125%, 09/15/15 310 301
Marlin Water Trust II
6.310%, 07/15/03 (A) (E) 4,200 21
Nielsen Finance
10.000%, 08/01/14 (A) 425 404
3.290%, 08/01/11 (D) 1,225 796
Nielsen Finance LLC
10.000%, 08/01/14 800 760
Novelis
7.250%, 02/15/15 700 609
7.250%, 02/15/15 150 131
Nuveen Investments
10.500%, 11/15/15 (A) (B) 550 424
10.500%, 11/15/15 (A) 6,720 5,173
Omega Healthcare Investors
7.000%, 01/15/16++ 1,300 1,170
Petroplus Finance
7.000%, 05/01/17 (A) 1,990 1,652
6.750%, 05/01/14 1,130 972
Pinnacle Foods Finance
10.625%, 04/01/17 (B) 1,025 769
PXRE Capital Trust I
8.850%, 02/01/27 1,100 798
Realogy
12.375%, 04/15/15 325 111
Regency Energy Partners
8.375%, 12/15/13 1,922 1,730
Residential Capital LLC MTN
5.889%, 10/17/08 (C) 400 184
Rouse L.P.
6.750%, 05/01/13++ (A) 950 646
Senior Housing Properties Trust
7.875%, 04/15/15++ 671 658
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (A) 1,050 759
6.875%, 02/01/09 (A) (C) 300 216
SPX
7.625%, 12/15/14 (A) 1,190 1,190
Ventas Realty L.P.
9.000%, 05/01/12++ 675 704
7.125%, 06/01/15++ 300 298
6.750%, 04/01/17++ 850 803
6.625%, 10/15/14++ 375 360
---------------
83,730
---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
193
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
HEALTH CARE -- 5.5%
Advanced Medical Optics
7.500%, 05/01/17 $ 2,095 $ 1,823
Alliance Imaging
7.250%, 12/15/12 375 341
Biomet
11.625%, 10/15/17 175 176
10.375%, 10/15/17 7,595 7,518
10.000%, 10/15/17 745 760
Bio-Rad Laboratories
6.125%, 12/15/14 950 884
Cooper
7.125%, 02/15/15 2,190 2,157
CRC Health
10.750%, 02/01/16 2,100 1,617
DaVita
6.625%, 03/15/13 3,250 3,088
DJO Finance
10.875%, 11/15/14 2,750 2,633
FMC Finance III
6.875%, 07/15/17 325 313
Fresenius Medical Care Capital Trust IV
7.875%, 06/15/11 1,050 1,061
HCA
9.625%, 11/15/16 7,115 6,758
9.250%, 11/15/16 7,875 7,657
8.750%, 09/01/10 51 50
6.750%, 07/15/13 615 517
Healthsouth
9.133%, 12/15/08 (C) 750 728
MedCath Holdings
9.875%, 07/15/12 (B) 431 448
NMH Holdings
9.944%, 12/15/08 (A) (C) 717 591
Psychiatric Solutions
7.750%, 07/15/15 2,350 2,186
ReAble Therapeutics Finance
11.750%, 11/15/14 850 761
Res-Care
7.750%, 10/15/13 675 635
Select Medical
7.625%, 02/01/15 1,660 1,345
Spheris
11.000%, 12/15/12 1,400 749
Sun Healthcare Group
9.125%, 04/15/15 375 358
Surgical Care Affiliates
8.875%, 07/15/15 (A) 1,415 1,231
Tenet Healthcare
9.250%, 02/01/15 (B) 4,425 4,181
6.375%, 12/01/11 150 138
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
United Surgical Partners International
8.875%, 05/01/17 (B) $ 3,775 $ 3,171
United Surgical Partners International
PIK
9.250%, 05/01/17 2,230 1,896
Universal Hospital Services
6.303%, 12/01/08 (C) 175 154
Universal Hospital Services PIK
8.500%, 06/01/15 225 210
US Oncology
9.000%, 08/15/12 775 775
VWR Funding
10.250%, 07/15/15 2,100 1,838
---------------
58,748
---------------
INDUSTRIALS -- 7.1%
ACCO Brands
7.625%, 08/15/15 4,655 3,560
ACIH
11.500%, 12/15/12 (A) (E) 1,250 150
Actuant
6.875%, 06/15/17 3,000 2,865
AGY Holding
11.000%, 11/15/14 675 601
Ahern Rentals
9.250%, 08/15/13 (B) 700 350
Aleris International PIK
2.775%, 12/15/14 425 259
Aleris International
10.000%, 12/15/16 (B) 1,800 1,116
Allied Waste North America
7.250%, 03/15/15 (B) 205 196
6.500%, 11/15/10 3,300 3,225
6.125%, 02/15/14 (B) 2,030 1,868
Allied Waste North America, Ser B
7.375%, 04/15/14 860 836
7.125%, 05/15/16 545 508
Allison Transmission
11.250%, 11/01/15 (A) (B) 375 308
11.000%, 11/01/15 (A) (B) 525 457
American Airlines, Ser 01-1
7.379%, 05/23/16 (B) 95 48
American Axle & Manufacturing
7.875%, 03/01/17 1,100 583
American Railcar Industries
7.500%, 03/01/14 300 266
Ames True Temper
10.000%, 07/15/12 (B) 1,165 617
6.791%, 10/15/08 (C) 1,345 1,009
SEI Institutional Managed Trust / Annual Report / September 30, 2008
194
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Aramark Services
8.500%, 02/01/15 $ 970 $ 912
6.301%, 11/03/08 (C) 350 306
Associated Materials
9.750%, 04/15/12 115 113
Baker & Taylor
11.500%, 07/01/13 (A) 950 741
Baldor Electric
8.625%, 02/15/17 (B) 1,860 1,776
BE Aerospace
8.500%, 07/01/18 1,650 1,600
Belden
7.000%, 03/15/17 200 178
Casella Waste Systems
9.750%, 02/01/13 820 804
Chart Industries
9.125%, 10/15/15 325 333
Complete Production Services
8.000%, 12/15/16 220 209
Cornell
10.750%, 07/01/12 500 500
Corrections Corp of America
7.500%, 05/01/11 1,000 996
6.750%, 01/31/14 170 160
6.250%, 03/15/13 1,447 1,353
D R Horton
5.625%, 01/15/16 525 389
Delta Air Lines, Ser 2002-1
8.300%, 12/15/29 (B) 925 21
Delta Air Lines, Ser 2002-1, Cl C
7.779%, 01/02/12 (B) 750 690
Deluxe
7.375%, 06/01/15 200 170
DRS Technologies
7.625%, 02/01/18 1,140 1,191
6.875%, 11/01/13 300 297
6.625%, 02/01/16 775 783
Education Management LLC
10.250%, 06/01/16 (B) 2,475 1,980
Esco
6.694%, 12/15/08 (A) (C) 150 138
FTI Consulting
7.750%, 10/01/16 525 534
7.625%, 06/15/13 740 754
Greenbrier
8.375%, 05/15/15 620 533
Indalex Holding, Ser B
11.500%, 02/01/14 659 316
Interline Brands
8.125%, 06/15/14 1,040 1,029
J.B. Poindexter
8.750%, 03/15/14 (B) 425 289
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
K Hovnanian Enterprises
11.500%, 05/01/13 (A) $ 50 $ 49
8.625%, 01/15/17 1,920 1,171
7.500%, 05/15/16 825 479
6.500%, 01/15/14 200 118
6.375%, 12/15/14 250 145
6.250%, 01/15/16 1,050 604
6.250%, 01/15/15 700 399
Kansas City Southern de Mexico
9.375%, 05/01/12 680 694
L-3 Communications
5.875%, 01/15/15 2,981 2,697
L-3 Communications, Ser B
6.375%, 10/15/15 2,374 2,184
Language Line
11.125%, 06/15/12 50 50
Maax Holdings
9.750%, 06/15/12 (E) 375 6
Meritage Homes
7.000%, 05/01/14 75 58
6.250%, 03/15/15 50 37
Mobile Mini
6.875%, 05/01/15 1,000 870
Mobile Services Group
9.750%, 08/01/14 450 419
Moog
7.250%, 06/15/18 (A) 230 221
Mueller Water Products
7.375%, 06/01/17 1,000 790
Nebraska Book
8.625%, 03/15/12 250 188
Neenah Foundary
9.500%, 01/01/17 475 361
Noble Group
6.625%, 03/17/15 (A) 575 421
Northwest Airlines
0.000%, 06/01/06 (B) 1,575 6
0.000%, 03/15/08 175 1
0.000%, 11/15/23 (D) 1,200 6
0.000%, 02/01/09 75 --
NTK Holdings
9.258%, 09/01/09 (B) (D) 425 183
Propex Fabrics
10.000%, 12/01/12 (E) 175 1
Quality Distribution
9.000%, 11/15/10 825 347
Quebecor World Capital
8.750%, 03/15/16 (A) (B) (E) 1,765 706
6.125%, 11/15/13 (B) (E) 1,725 526
Rainbow National Services
10.375%, 09/01/14 (A) 380 388
Rainbow National Services LLC
8.750%, 09/01/12 (A) 435 435
SEI Institutional Managed Trust / Annual Report / September 30, 2008
195
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
RBS Global and Rexnord
11.750%, 08/01/16 (B) $ 1,000 $ 945
9.500%, 08/01/14 840 790
8.875%, 09/01/16 2,410 2,193
Sabine Pass LNG
7.500%, 11/30/16 (A) 550 429
Sequa
11.750%, 12/01/15 (A) 975 819
St. Acquisition
12.500%, 05/15/17 (A) (B) 225 74
Stallion Oilfield Services
9.750%, 02/01/15 (A) 2,280 1,482
Standard-Pacific
7.750%, 03/15/13 575 468
7.000%, 08/15/15 (B) 150 113
Terex
8.000%, 11/15/17 7,210 6,560
Thermadyne Holdings
9.500%, 02/01/14 710 675
Titan International
8.000%, 01/15/12 3,100 3,007
TransDigm
7.750%, 07/15/14 1,775 1,669
UCI Holdings
11.789%, 12/15/13 (C) 998 759
United Air Lines
9.125%, 01/15/12 (E) 1,075 --
United Air Lines, Ser 95A1
9.560%, 10/19/18 624 188
9.020%, 04/19/12 398 119
United Air Lines, Ser A
10.670%, 05/01/04 (E) 525 --
Vanguard Health Holding I
12.027%, 10/01/15 (D) 600 519
Vought Aircraft Industries
8.000%, 07/15/11 2,600 2,261
8.000%, 07/15/11 735 639
---------------
76,186
---------------
INFORMATION TECHNOLOGY -- 4.4%
Activant Solutions
9.500%, 05/01/16 1,500 1,110
Advanced Micro Devices
7.750%, 11/01/12 (B) 1,642 1,264
Amkor Technology
9.250%, 06/01/16 75 63
7.125%, 03/15/11 2,400 2,160
Compucom Systems
12.500%, 10/01/15 (A) 900 801
First Data
9.875%, 09/24/15 (A) 2,215 1,738
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Flextronics International
6.500%, 05/15/13 $ 1,300 $ 1,154
6.250%, 11/15/14 1,250 1,056
Freescale Semiconductor
10.125%, 12/15/16 (B) 100 64
8.875%, 12/15/14 2,290 1,580
6.694%, 12/15/08 (C) 275 184
Freescale Semiconductor PIK
9.125%, 12/15/14 5,830 3,673
Innophos
8.875%, 08/15/14 440 440
Iron Mountain
8.750%, 07/15/18 70 71
8.625%, 04/01/13 1,297 1,278
8.000%, 06/15/20 1,205 1,157
7.750%, 01/15/15 140 139
6.625%, 01/01/16 (B) 2,720 2,556
Lender Processing Services
8.125%, 07/01/16 (A) 175 171
MagnaChip Semiconductor
6.875%, 12/15/11 (B) 450 158
Nortel Networks
10.750%, 07/15/16 153 94
10.750%, 07/15/16 (A) 1,285 787
10.125%, 07/15/13 350 223
NXP Funding LLC
9.500%, 10/15/15 (B) 4,959 2,554
7.875%, 10/15/14 1,850 1,240
Open Solutions
9.750%, 02/01/15 (A) 4,295 2,792
Sanmina-SCI
5.569%, 12/15/08 (A) (C) 1,250 1,088
5.569%, 12/15/08 (A) (C) 1,699 1,597
Sensata Technologies
8.000%, 05/01/14 3,715 3,139
Smart Modular Technologies
9.383%, 01/01/09 (C) 1,670 1,670
Sungard Data Systems
10.250%, 08/15/15 7,454 6,465
9.125%, 08/15/13 953 858
3.750%, 01/15/09 3,250 3,209
Travelport
9.875%, 09/01/14 400 326
---------------
46,859
---------------
MATERIALS -- 8.0%
Abitibi-Consolidated
8.850%, 08/01/30 125 30
8.550%, 08/01/10 2,450 931
Abitibi-Consolidated of Canada
6.000%, 06/20/13 1,275 338
AK Steel
7.750%, 06/15/12 3,300 3,168
SEI Institutional Managed Trust / Annual Report / September 30, 2008
196
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Altos Hornos de Mexico, Ser A
11.375%, 04/30/02 (E) $ 500 $ 164
Altos Hornos de Mexico, Ser B
11.875%, 04/30/04 (E) 900 295
Appleton Papers
9.750%, 06/15/14 1,050 806
8.125%, 06/15/11 175 154
Basell AF SCA
8.375%, 08/15/15 (A) (B) 1,225 576
Bowater
9.500%, 10/15/12 500 193
Bowater Canada Finance
7.950%, 11/15/11 300 138
BWAY
10.000%, 10/15/10 934 906
California Steel Industries
6.125%, 03/15/14 185 151
Cascades
7.250%, 02/15/13 655 511
Catalyst Paper
8.625%, 06/15/11 1,108 875
7.375%, 03/01/14 455 309
Crown Americas
7.750%, 11/15/15 864 842
Crown Cork & Seal
8.000%, 04/15/23 1,475 1,239
Domtar
9.500%, 08/01/16 (B) 275 270
7.125%, 08/15/15 2,025 1,863
Evraz Group
9.500%, 04/24/18 (A) (B) 2,675 1,926
8.875%, 04/24/13 (A) 1,425 1,083
FMG Finance
10.625%, 09/01/16 (A) (B) 1,860 1,823
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17 4,950 4,875
8.250%, 04/01/15 1,785 1,754
7.084%, 04/01/09 (C) 1,200 1,149
Georgia Gulf
9.500%, 10/15/14 275 169
7.125%, 12/15/13 150 90
Georgia-Pacific LLC
8.125%, 05/15/11 (B) 565 559
8.000%, 01/15/24 (B) 1,500 1,320
7.700%, 06/15/15 (B) 2,020 1,848
7.125%, 01/15/17 (A) 1,360 1,214
7.000%, 01/15/15 (A) 3,485 3,171
Glatfelter
7.125%, 05/01/16 1,705 1,645
Graham Packaging
9.875%, 10/15/14 (B) 3,753 3,264
8.500%, 10/15/12 330 305
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Graphic Packaging International
9.500%, 08/15/13 $ 905 $ 819
Huntsman International
7.875%, 11/15/14 (B) 1,355 1,165
Huntsman LLC
11.500%, 07/15/12 905 923
Ineos Group Holdings PLC
8.500%, 02/15/16 (A) 3,000 1,620
Innophos Holdings
9.500%, 04/15/12 (A) 725 732
Intertape Polymer US
8.500%, 08/01/14 800 674
Jefferson Smurfit US
8.250%, 10/01/12 175 146
MacDermid
9.500%, 04/15/17 (A) 1,725 1,449
Methanex
6.000%, 08/15/15 175 154
Millar Western Forest Products
7.750%, 11/15/13 605 345
Millennium America
7.625%, 11/15/26 175 70
Momentive Performance Materials
11.500%, 12/01/16 (B) 875 595
9.750%, 12/01/14 670 529
Mosaic
7.625%, 12/01/16 (A) (B) 2,550 2,605
7.375%, 12/01/14 (A) 650 673
Mosaic Global Holdings
7.300%, 01/15/28 350 342
Nalco
8.875%, 11/15/13 1,265 1,262
7.750%, 11/15/11 (B) 1,455 1,426
Newark Group
9.750%, 03/15/14 825 289
NewPage
10.000%, 05/01/12 1,195 1,070
Noranda Aluminium Acquisition PIK
6.828%, 11/15/08 (C) 2,965 2,253
Noranda Aluminium Holdings PIK
8.578%, 11/17/08 (C) 925 611
Owens Brockway Glass Container
8.250%, 05/15/13 305 303
6.750%, 12/01/14 1,045 993
Packaging Dynamics Finance
10.000%, 05/01/16 (A) 2,495 1,622
PolyOne
8.875%, 05/01/12 (B) 2,990 2,841
Reichhold Industries
9.000%, 08/15/14 (A) 1,969 1,890
Rock-Tenn
9.250%, 03/15/16 (A) 150 152
5.625%, 03/15/13 2,200 2,024
SEI Institutional Managed Trust / Annual Report / September 30, 2008
197
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Rockwood Specialties Group
7.500%, 11/15/14 (B) $ 1,270 $ 1,207
Ryerson
12.000%, 11/01/15 (A) 720 616
10.176%, 11/01/08 (A) (C) 125 102
Sappi Papier Holding
6.750%, 06/15/12 (A) 700 553
Smurfit-Stone Container Enterprises
8.375%, 07/01/12 (B) 2,645 2,222
Solutia
0.000%, 10/15/08 (B) 450 --
Steel Capital for OAO Severstal
9.750%, 07/29/13 (A) 245 201
Steel Dynamics
7.750%, 04/15/16 (A) 1,930 1,718
7.375%, 11/01/12 2,410 2,205
Stone Container Enterprises
8.000%, 03/15/17 (B) 950 741
Terra Capital, Ser B
7.000%, 02/01/17 1,870 1,777
Tube City IMS
9.750%, 02/01/15 800 712
United States Steel
6.650%, 06/01/37 150 112
Vedanta Resources
9.500%, 07/18/18 (A) 1,700 1,443
Verso Paper Holdings and Verson Paper
11.375%, 08/01/16 300 243
Vitro
11.750%, 11/01/13 780 671
9.125%, 02/01/17 3,585 2,330
---------------
86,384
---------------
TELECOMMUNICATION SERVICES -- 7.9%
American Tower
7.500%, 05/01/12 50 49
Centennial Cellular Operating
10.125%, 06/15/13 300 297
Centennial Communications
9.633%, 01/01/09 (C) 425 387
8.125%, 02/01/14 (B) 575 569
Cincinnati Bell
7.250%, 07/15/13 1,770 1,593
7.000%, 02/15/15 495 416
Citizens Communications
9.250%, 05/15/11 970 970
7.125%, 03/15/19 1,010 803
6.625%, 03/15/15 1,480 1,228
Cricket Communications
10.000%, 07/15/15 (A) 375 358
9.375%, 11/01/14 4,755 4,422
9.375%, 11/01/14 1,385 1,288
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Digicel Group
9.250%, 09/01/12 (A) $ 2,290 $ 2,267
9.125%, 01/15/15 (A) 571 480
8.875%, 01/15/15 (A) (B) 2,730 2,293
Fairpoint Communications
13.125%, 04/01/18 (A) 1,930 1,756
GCI
7.250%, 02/15/14 1,525 1,327
Hawaiian Telcom Communications, Ser B
9.750%, 05/01/13 (B) 550 110
Inmarsat Finance
10.375%, 11/15/08 (D) 1,235 1,216
Intelsat
9.250%, 06/15/16 (A) 150 138
7.625%, 04/15/12 100 76
6.500%, 11/01/13 1,875 1,200
Intelsat Bermuda
11.250%, 06/15/16 3,785 3,681
Intelsat Jackson Holdings
9.500%, 06/15/16 (A) 690 642
Intelsat Subsidiary Holding
8.875%, 01/15/15 (A) 3,165 2,896
8.500%, 01/15/13 (A) 2,050 1,896
iPCS
4.926%, 11/03/08 (C) 1,335 1,088
iPCS PIK
6.051%, 11/03/08 (C) 2,590 2,020
Level 3 Financing
9.250%, 11/01/14 1,405 1,061
8.750%, 02/15/17 825 598
6.845%, 02/17/09 (C) 125 84
Local Insight Regatta Holdings
11.000%, 12/01/17 (A) 1,000 560
Lucent Technologies
6.450%, 03/15/29 525 320
MetroPCS Wireless
9.250%, 11/01/14 5,945 5,558
Nextel Communications
6.875%, 10/31/13 575 391
Nordic Telephone Holdings
8.875%, 05/01/16 (A) 3,495 3,180
Orascom Telecom Finance
7.875%, 02/08/14 (A) (B) 2,000 1,750
PAETEC Holding
9.500%, 07/15/15 2,805 1,921
Primus Telecommunications
8.000%, 01/15/14 (B) 1,650 512
Qwest
7.500%, 10/01/14 380 329
7.250%, 10/15/35 1,200 852
7.250%, 09/15/25 350 261
6.875%, 09/15/33 225 151
SEI Institutional Managed Trust / Annual Report / September 30, 2008
198
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Qwest Capital Funding
7.250%, 02/15/11 $ 680 $ 636
Qwest Communications International
7.250%, 02/15/11 3,005 2,847
6.304%, 11/15/08 (C) 3,798 3,750
Qwest Communications International,
Ser B
7.500%, 02/15/14 1,120 969
Rogers Wireless
8.000%, 12/15/12 50 50
Sprint Capital
8.750%, 03/15/32 1,490 1,162
8.375%, 03/15/12 1,020 918
7.625%, 01/30/11 600 546
6.900%, 05/01/19 4,575 3,546
6.875%, 11/15/28 300 201
Sprint Nextel
6.000%, 12/01/16 1,900 1,463
Telcordia Technologies
10.000%, 03/15/13 (A) 1,525 1,228
Time Warner Telecom Holdings
9.250%, 02/15/14 375 347
VIP Finance Ireland for Vimpel
Communications
9.125%, 04/30/18 (A) 905 703
Virgin Media Finance PLC
8.750%, 04/15/14 840 706
West
11.000%, 10/15/16 (B) 1,275 918
9.500%, 10/15/14 3,215 2,459
Wind Acquisition Finance
10.750%, 12/01/15 (A) 3,925 3,847
Windstream
8.625%, 08/01/16 3,875 3,594
8.625%, 08/01/16 (B) 225 209
8.125%, 08/01/13 950 903
7.000%, 03/15/19 1,775 1,420
---------------
85,416
---------------
UTILITIES -- 3.4%
AES
8.875%, 02/15/11 1,400 1,379
8.750%, 05/15/13 (A) 128 129
8.000%, 06/01/20 (A) 2,320 2,030
8.000%, 10/15/17 3,150 2,843
7.750%, 03/01/14 150 140
Calpine Generating
14.320%, 10/01/07 (C) (E) 1,600 320
Dynegy Holdings
6.875%, 04/01/11 200 182
Edison Mission Energy
7.625%, 05/15/27 385 312
7.500%, 06/15/13 605 581
7.000%, 05/15/17 (B) 2,020 1,818
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Elwood Energy
8.159%, 07/05/26 $ 475 $ 435
Energy Future Holdings
10.875%, 11/01/17 (A) 2,660 2,401
Ipalco Enterprises
7.250%, 04/01/16 (A) 250 239
Mirant
0.000%, 07/15/09 50 1
0.000%, 07/15/04 (B) 450 5
Mirant Americas Generation LLC
8.500%, 10/01/21 2,397 1,858
8.300%, 05/01/11 605 582
Mirant North America LLC
7.375%, 12/31/13 3,180 2,989
NRG Energy
7.375%, 02/01/16 1,655 1,490
7.375%, 01/15/17 4,475 4,071
7.250%, 02/01/14 2,395 2,221
Orion Power Holdings
12.000%, 05/01/10 540 524
PNM Resources
9.250%, 05/15/15 375 369
Public Service of New Mexico
7.950%, 05/15/18 2,900 2,737
Sierra Pacific Resources
7.803%, 06/15/12 775 783
Tenaska Alabama Partners
7.000%, 06/30/21 (A) 327 295
Texas Competitive Electric Holdings
10.250%, 11/01/15 (A) 840 758
10.250%, 11/01/15 (A) 225 203
10.250%, 11/01/15 (A) 6,020 5,432
---------------
37,127
---------------
Total Corporate Obligations
(Cost $1,027,080) ($ Thousands) 863,925
---------------
LOAN PARTICIPATIONS -- 9.1%
Advansta Communications, 2nd Lien
8.762%, 11/30/14 1,250 761
Aeroflex, Term Loan B-1
6.063%, 08/16/14 645 555
Affinion Holding PIK
9.367%, 03/01/12 (C) 2,800 2,240
Affinion Holding
9.367%, 03/01/12 (C) 1,900 1,520
Alliant Insurance Services, Term Loan B
5.801%, 08/21/14 1,241 1,067
Allison Transmission
5.332%, 08/07/14 2,206 1,824
Alltel Holdings, Term Loan B3
5.314%, 05/16/15 69 68
4.966%, 08/07/14 1,075 1,049
SEI Institutional Managed Trust / Annual Report / September 30, 2008
199
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Concluded)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Asurion, 2nd Lien
8.989%, 07/07/15 (C) $ 866 $ 776
8.988%, 07/02/15 (C) (F) 1,075 964
8.988%, 07/07/15 500 448
8.987%, 07/07/15 (C) 106 95
8.986%, 07/07/15 (C) 528 473
Asurion, Term Loan B
5.798%, 07/07/14 1,000 872
5.621%, 07/02/14 (C) 550 479
BOC Edwards
8.560%, 11/30/14 175 109
4.810%, 11/30/14 (F) 747 644
Boise Paper
11.000%, 02/22/15 800 720
Boston Generating
9.801%, 12/21/16 180 130
Boston Generating, 2nd Lien
7.051%, 06/21/14 700 533
CCFC
9.762%, 08/26/09 2,036 2,020
Cebridge, 2nd Lien, PIK
8.801%, 05/05/14 1,323 1,069
1.075%, 05/05/14 243 196
Central Parking
7.250%, 05/22/14 (C) 224 191
7.215%, 05/22/14 (C) 566 482
5.317%, 05/22/14 (C) 569 483
4.946%, 05/22/14 (C) 896 761
Central Parking (Synthetic)
4.946%, 05/22/14 (C) 846 719
Century Cable, Term Loan B
(Escrow Security)
10.250%, 06/30/09 3 --
Cequel Communications, PIK
8.801%, 05/05/14 (C) 665 538
Community Health Systems
6.539%, 07/25/14 (C) 3 3
Cooper Standard, Term Loan D
5.312%, 02/28/10 2,194 1,865
DAE Aviation Holdings, Term Loan B1
8.039%, 09/27/14 (C) 194 179
DAE Aviation Holdings, Term Loan B1
6.519%, 09/27/14 166 152
DAE Aviation Holdings, Term Loan B2
8.039%, 09/27/14 (C) 285 263
DAE Aviation Holdings, Term Loan B2
8.039%, 09/27/14 (C) 72 66
Delta, 2nd Lien
5.719%, 04/30/14 223 155
DirecTV
0.000%, 04/13/13 (F) 2,294 2,179
Dresser, 1st Lien
5.096%, 05/04/14 461 402
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Dresser, 2nd Lien
8.557%, 05/04/15 $ 3,145 $ 2,948
Entegra PIK
8.801%, 04/04/15 256 165
Entegra, 3rd Lien PIK
8.801%, 04/19/15 1,706 1,098
First Data
5.946%, 09/24/14 1,444 1,233
5.926%, 09/24/14 293 250
5.922%, 09/24/14 274 235
5.551%, 09/24/14 106 88
5.244%, 09/24/14 1,171 1,000
Ford Motor
7.039%, 12/16/13 (C) 385 254
7.039%, 12/16/13 (C) 245 162
Ford, 1st Lien
5.800%, 12/12/13 500 330
5.460%, 12/12/13 21 14
General Motors
6.664%, 12/15/13 (C) 445 286
Georgia Pacific
4.466%, 02/14/13 355 310
5.064%, 12/20/10 1,800 1,668
Georgia Pacific, Term Loan B
4.431%, 02/14/13 951 830
Green Valley Ranch Gaming, 2nd Lien
6.959%, 08/06/14 2,000 985
Greek Town Casino
1.000%, 12/03/12 225 196
0.972%, 12/03/12 225 196
Hexion Specialty Chemicals,
Term Loan C1
5.063%, 05/05/13 (C) 2,515 1,886
Hexion Specialty Chemicals,
Term Loan C2
6.063%, 05/05/13 469 352
Iasis Health Care
8.043%, 06/15/14 2,258 1,919
Intelsat Bermuda
5.200%, 02/01/14 (C) 2,100 1,701
JG Wentworth, 1st Lien
5.056%, 04/04/14 1,025 707
KAR Holdings
5.060%, 10/18/13 1,204 995
Language Line, Term Loan B
7.539%, 05/14/11 (C) 1,868 1,756
Lyondell Chemical
8.039%, 12/20/14 (C) 400 280
Lyondell Chemical, Term Loan B
8.039%, 12/20/14 (C) 798 558
8.039%, 12/20/14 (C) 450 314
7.000%, 12/20/14 5,467 3,855
Marvell Technology Group
4.969%, 11/08/09 (C) 2,475 2,456
4.969%, 11/08/09 (C) 400 397
SEI Institutional Managed Trust / Annual Report / September 30, 2008
200
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
McKechnie Aerospace
7.470%, 05/11/15 $ 700 $ 526
4.470%, 05/11/14 545 486
Metroflag, 2nd Lien
11.472%, 01/06/09 300 213
Murray, 2nd Lien
11.310%, 01/31/11 2,011 1,891
News Day
9.750%, 07/29/13 (F) 875 851
Nielsen Finance (VNU)
4.803%, 08/09/13 (F) 249 219
Nielsen Finance LLC
4.803%, 08/09/13 27 21
NRG Energy
6.039%, 06/02/13 (C) 1,346 1,179
6.039%, 06/02/13 (C) 450 394
Orbitz Worldwide
6.789%, 07/01/14 (C) 2,447 1,776
6.789%, 07/01/14 (C) 450 327
5.941%, 07/01/14 1,994 1,447
Penhall
10.132%, 03/28/12 709 425
Pinnacle Foods, Term Loan B
5.440%, 04/02/14 841 695
ProQuest, 2nd Lien
8.405%, 02/09/15 1,200 1,146
Resolute, 2nd Lien
7.300%, 06/27/13 1,500 1,305
Rexnord, Term Loan B
9.676%, 02/20/13 2,265 2,094
Reynolds & Reynolds, 3rd Lien
12.342%, 04/01/14 (C) 1,200 1,050
10.301%, 04/24/14 (C) 1,200 1,051
10.301%, 04/01/14 (C) 1,300 1,138
10.301%, 04/01/14 1,300 1,138
Royalty Pharmaceuticals
2.804%, 05/15/15 1,175 1,093
Simmons
8.345%, 02/15/12 2,645 1,058
Sorenson Communications, 2nd Lien
11.289%, 02/16/14 (C) 2,650 2,498
9.810%, 02/16/14 1,250 1,178
Talecris
9.310%, 12/06/14 410 396
TD Ameritrade Holding
3.470%, 12/31/11 1,650 1,485
5.789%, 12/31/12 (C) 1,800 1,676
Texas Competitive Electric
6.271%, 10/27/14 742 626
6.236%, 10/10/14 1,246 1,048
6.234%, 10/10/14 822 692
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
Town Sports International
4.370%, 02/27/14 $ 247 $ 196
Tribune
0.000%, 06/04/14 (F) 195 459
Tropicana Entertainment
8.250%, 12/31/11 1,421 980
TXU, Term Loan B-14
7.289%, 10/10/14 (C) 950 799
6.221%, 10/10/14 2,050 1,725
Venoco
6.812%, 05/07/14 375 349
Verint Systems
5.736%, 05/09/14 1,877 1,539
Wind Acquisition Holdings
13.061%, 12/21/11 1,167 1,027
10.035%, 12/12/11 2,852 2,509
New World Gaming
8.283%, 05/18/15 1,225 898
---------------
Total Loan Participations
(Cost $115,956) ($ Thousands) 98,077
---------------
COLLATERALIZED DEBT OBLIGATIONS -- 5.7%
ACAS Business Loan Trust 2004-1, Cl A
3.207%, 11/17/08 (A) (C) 6,417 4,636
ARES CLO, Ser 2006-1A, Cl SUB
0.000%, 02/24/18 (A) 7,000 2,730
ARES CLO, Ser 2007-11A, Cl SUB
0.000%, 10/11/21 (A) 2,400 1,200
ARES CLO, Ser 2007-1A, Cl SUB
0.000%, 04/16/21 (A) 3,800 1,786
Babson CLO, Ser 2004-II, Cl SUB
0.000%, 11/15/16 (A) 1,700 459
Babson CLO, Ser 2007-2A, Cl INC
0.000%, 04/15/21 (A) 2,500 798
Babson CLO, Ser 2007-2A, Cl D
4.491%, 10/15/08 (A) (C) 900 346
Battalion CLO, Ser 2007-1A, Cl E
7.038%, 10/14/08 (A) (C) 2,300 1,139
Battalion CLO, Ser 2007-I, Cl SUB
0.000%, 07/14/22 (A) 1,750 805
Capitalsource Advisors, Ser 2006-1A,
Cl SUB
0.000%, 08/27/20 (A) 3,200 1,120
Carlyle High Yield Partners CLO,
Ser 2006-8A, Cl N
0.000%, 05/21/21 3,700 1,110
CIFC Funding, Ser 2007-2A
0.000%, 04/15/21 (A) 2,700 1,080
CIFC Funding, Ser 2007-IV
0.000%, 12/19/07 1,000 646
CIT CLO, Ser 2007-1A, Cl E
8.204%, 12/22/08 (C) 1,900 609
SEI Institutional Managed Trust / Annual Report / September 30, 2008
201
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Concluded)
September 30, 2008
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
CIT CLO, Ser 2007-1A, Cl D
5.204%, 12/22/08 (A) (C) $ 2,800 $ 890
Commercial Industrial Finance, Cl A2L
3.624%, 12/22/08 (A) (C) 5,000 2,572
Commercial Industrial Finance, Cl A1L
3.070%, 12/01/08 (A) (C) 7,500 5,738
Commercial Industrial Finance,
Ser 2006-1BA
4.034%, 12/22/08 (A) (C) 3,150 1,274
Commercial Industrial Finance,
Ser 2007-1A, Cl A1LB
3.143%, 11/10/08 (A) (C) 3,000 1,666
Commercial Industrial Finance,
Ser 2007-3A, Cl B
4.045%, 10/27/08 (A) (C) 2,500 957
Connecticut Valley Structured Credit
CDO, Ser 2006-3A, Cl NOTE
0.000%, 03/23/23 (A) 2,200 374
Copper River CLO, Ser 2006-1A,
Cl INC
0.000%, 01/20/21 (A) 3,000 1,202
De Meer Middle Market CLO,
Ser 2006-1A, Cl INC
0.000%, 10/20/18 (A) 3,366 1,640
De Meer Middle Market CLO,
Ser 2006-1A, Cl B
3.186%, 10/20/08 (A) (C) 1,029 725
Denali Capital CLO VII, Ser 2007-1A,
Cl INC
0.000%, 01/22/22 (A) 2,200 726
Duane Street CLO, Ser 2007-5A,
Cl SN
0.000%, 10/14/21 (A) 3,300 1,425
Gale Force CLO, Ser 2007-4A, Cl E
9.210%, 11/20/08 (C) 1,100 494
Gale Force CLO, Ser 2008-4A, Cl INC
2.810%, 11/20/08 (C) 1,500 627
Gleneagles CLO, Ser AI
0.000%, 11/01/08 (C) 8,500 2,925
GoldenTree Loan Opportunities III,
Ser 2007-3A, Cl SUB
0.000%, 05/01/22 (A) 3,400 1,462
ING Investment Management CLO I
0.000%, 12/01/17 (A) (C) 12,500 2,688
ING Investment Management CLO II
0.000%, 08/01/20 (A) (C) 5,600 1,120
Lightpoint CLO, Ser 2006-4A, Cl INC
0.000%, 04/15/18 (A) 2,500 376
Marathon CLO, Ser 2005-2A, Cl B
4.004%, 12/22/08 (A) (C) 1,200 864
Marathon CLO, Ser 2005-2A, Cl INC
0.000%, 12/20/19 (A) 3,000 1,260
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------- --------------- ---------------
Marlborough Street CLO, Ser 2007-1A,
Cl INC
0.000%, 04/18/19 (A) $ 2,400 $ 920
Peritus I CDO, Ser 2005-1A, Cl C
9.000%, 05/24/15 (A) 13,171 6,454
Sands Point Funding, Ser 2006-1A,
Cl C
3.585%, 10/20/08 (A) (C) 640 351
Stanfield Bristol CLO, Ser 2005-1A,
Cl SUB
0.000%, 10/15/19 (A) 6,300 1,890
Stanfield Daytona CLO
0.000%, 04/27/21 3,200 1,056
Stanfield Veyron CLO, Ser 2006-1A,
Cl SUB
0.000%, 07/15/18 2,300 449
Tralee CDO, Ser 2007-1A, Cl SUB
0.000%, 04/16/22 (A) 2,700 1,134
---------------
61,723
---------------
Total Collateralized Debt Obligations
(Cost $109,137) ($ Thousands) 61,723
---------------
PREFERRED STOCK -- 0.4%
CIFC Funding, Ser 2006-I, Cl I
0.000%, 10/20/20 (A) (C) 2,300 852
CIFC Funding, Ser 2006-II
0.000%, 03/01/21 (A) (C) 3,000 1,080
Peritus I CDO
0.000%, 12/19/17 3,750 188
Rockwall Investors
0.000%, 08/01/21 (A) (C) 4,000 1,480
Whitehorse II
0.000%, 0315/2013 (A) (C) 3,000 780
---------------
Total Preferred Stock
(Cost $8,451) ($ Thousands) 4,380
---------------
CONVERTIBLE BONDS -- 0.1%
Flextronics International CV to 64.4122
1.000%, 08/01/10 905 792
Freeport-McMoRan Copper & Gold
6.750%, 05/01/10 6 488
Mirant
0.000%, 07/15/07 1,150 2
Mirant CV to 14.7167
0.000%, 06/15/21 (B) 2,200 4
---------------
Total Convertible Bonds
(Cost $1,807) ($ Thousands) 1,286
---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
202
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------- --------------- ---------------
COMMON STOCK -- 0.3%
Armstrong World Industries (B) 6,237 $ 180
Core-Mark Holding* (B) 13,788 345
Dana, Ser B* 548 345
Dana Holding* (B) 53,322 258
Federal Mogul, Cl A* 34,017 427
Huntsman 8,061 102
Mirant* (B) 4,276 79
Northwest Airlines* 2,451 22
Owens Corning* 24,229 580
Shreveport Gaming Holdings 13,948 251
Solutia* (B) 26,089 365
Winn-Dixie Stores* (B) 8,445 118
---------------
Total Common Stock
(Cost $4,015) ($ Thousands) 3,072
---------------
Number of
Warrants
---------------
WARRANT -- 0.0%
Grande Communications,
Expires 04/01/11* 850 8
---------------
Total Warrant
(Cost $8) ($ Thousands) 8
---------------
AFFILIATED PARTNERSHIP -- 12.1%
SEI Liquidity Fund, L.P.,
2.590%** + (G) 131,993,530 129,893
---------------
Total Affiliated Partnership
(Cost $131,994) ($ Thousands) 129,893
---------------
CASH EQUIVALENT -- 3.6%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 2.350%**+ 38,443,439 38,443
---------------
Total Cash Equivalent
(Cost $38,443) ($ Thousands) 38,443
---------------
Total Investments -- 111.6%
(Cost $1,436,891) ($ Thousands) $ 1,200,807
===============
Description
- ---------------------------------------------------------
Percentages are based on Net Assets of $1,076,426 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2008.
+ Investment in Affiliated Security (see Note 3).
++ Real Estate Investment Trust
(A) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
(B) This security or a partial position of this security is on loan at
September 30, 2008. The total market value of securities on loan at
September 30, 2008 was $120,609 ($ Thousands).
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effects as of September 30, 2008. The date reported on the
Schedule of Investments is the next reset date.
(D) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on September 30, 2008. The coupon on a step bond changes on
a specified date.
(E) Security in default on interest payments.
(F) Unsettled bank loan. Interest rate not available.
(G) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2008 was $129,893 ($ Thousands).
CDO -- Collateralized Debt Obligation
Cl -- Class
CLO -- Collateralized Loan Obligation
CMO -- Collateralized Mortgage Obligation
CV -- Convertible Security
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
IO -- Interest Only. Face amount represents notional amount
LLC -- Limited Liability Company
L.P. -- Limited Partnership
MTN -- Medium Term Note
PIK -- Payment-in-Kind
PLC -- Public Limited Company
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
203
Statements of Assets and Liabilities ($ Thousands)
September 30, 2008
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
-------------------- -------------------- --------------------
ASSETS:
Investments at value+ $ 2,353,033* $ 2,458,245* $ 2,114,419*
Affiliated investment, at value++ 419,566 270,731 331,819
Cash 47 4 28
Foreign currency, at value+++ -- -- --
Restricted cash held for securities sold short -- -- --
Receivable for investment securities sold 33,400 17,521 19,048
Receivable for fund shares sold 2,364 2,791 2,704
Dividends and interest receivable 4,653 2,565 3,012
Receivable for variation margin 1,301 1,259 32,939
Unrealized gain on foreign spot currency contracts -- -- --
Receivable for shareholder servicing fees Class A -- -- --
Prepaid expenses 22 13 16
-------------------- -------------------- --------------------
Total Assets 2,814,386 2,753,129 2,503,985
-------------------- -------------------- --------------------
LIABILITIES:
Payable upon return on securities loaned 381,978 238,690 302,154
Payable for securities sold short++++ -- -- --
Payable for investment securities purchased 29,814 23,014 12,505
Payable for fund shares redeemed 8,730 9,605 3,759
Payable to custodian -- -- --
Payable for variation margin -- -- 31,630
Margin call -- -- --
Administration fees payable 730 779 664
Investment advisory fees payable 602 787 624
Shareholder servicing fees payable Class A 517 351 352
Shareholder servicing fees payable Class E -- -- --
Shareholder servicing fees payable Class I 2 2 --
Chief Compliance Officer fees payable 8 8 7
Overdraft of foreign currency, at value+++ -- -- --
Administration servicing fees payable Class I 2 1 --
Swap contracts, at value+++++ -- -- --
Accrued expense payable 131 145 121
-------------------- -------------------- --------------------
Total Liabilities 422,514 273,382 351,816
-------------------- -------------------- --------------------
Net Assets $ 2,391,872 $ 2,479,747 $ 2,152,169
-------------------- -------------------- --------------------
+ Cost of investments 2,462,669 2,443,524 2,085,569
++ Cost of affiliated investments 425,333 274,605 336,406
+++ Cost of foreign currency -- -- --
++++ Proceeds from securities sold short -- -- --
+++++ Premiums received/(paid) -- -- --
* Includes market value of securities on loan 395,738 244,955 315,154
NET ASSETS:
Paid-in Capital -- (unlimited authorization -- no par
value) $ 2,579,688 $ 3,570,522 $ 2,434,852
Undistributed (distributions in excess of) net
investment income 13,493 2,427 6,493
Accumulated net realized gain (loss) on investments,
securities sold short, option contracts, futures,
swap contracts and foreign currency (85,394) (1,103,616) (312,449)
Net unrealized appreciation (depreciation) on
investments, affiliated investments, securities
sold short and option contracts (115,403) 10,847 24,263
Net unrealized depreciation on futures contracts (512) (433) (990)
Net unrealized depreciation on swap contracts -- -- --
Net unrealized appreciation (depreciation) on forward
foreign currency contracts, foreign currencies and
translation of other assets and liabilities
denominated in foreign currencies -- -- --
-------------------- -------------------- --------------------
Net Assets $ 2,391,872 $ 2,479,747 $ 2,152,169
-------------------- -------------------- --------------------
Net Asset Value, Offering and Redemption Price Per Share --
Class A $ 15.79 $ 18.39 $ 11.08
($2,381,010,831 / ($2,472,051,781 / ($2,148,949,299 /
150,766,606 shares) 134,423,069 shares) 193,938,870 shares)
-------------------- -------------------- --------------------
Net Asset Value, Offering and Redemption Price Per Share --
Class E N/A N/A N/A
-------------------- -------------------- --------------------
Net Asset Value, Offering and Redemption Price Per Share --
Class I $ 15.78 $ 18.20 N/A
($10,861,400 / ($7,695,327 /
688,187 shares) 422,846 shares)
-------------------- -------------------- --------------------
Net Asset Value, Offering and Redemption Price Per Share --
Class Y N/A N/A $ 11.24
($3,219,764 /
286,477 shares)
-------------------- -------------------- --------------------
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
204
LARGE CAP DIVERSIFIED S&P 500 SMALL CAP SMALL CAP TAX-MANAGED
ALPHA FUND INDEX FUND VALUE FUND GROWTH FUND SMALL CAP FUND
- --------------------- ------------------ ------------------- ------------------ ------------------
$ 1,419,615 $ 1,258,721* $ 837,692* $ 633,112* $ 312,880*
71,010 170,898 297,330 219,684 23,791
-- 7 -- 115 3
-- -- 18 -- --
1,862 -- -- -- --
81,775 3,453 6,690 8,628 4,225
19,249 4,580 654 981 305
2,171 1,911 1,317 414 321
10,190 889 973 363 301
-- -- -- 3 --
-- 16 -- -- --
10 112 -- 5 2
- -------------------- ------------------ ------------------- ------------------ ------------------
1,605,882 1,440,587 1,144,674 863,305 341,828
- -------------------- ------------------ ------------------- ------------------ ------------------
-- 160,666 275,446 209,560 18,232
172,475 -- -- -- --
173,874 2,349 9,713 8,619 3,593
606 3,119 3,644 2,772 1,142
1,503 -- 89 -- --
684 -- -- -- --
2,050 -- -- -- --
381 231 262 206 100
430 33 481 372 147
193 -- 88 111 71
-- 52 -- -- --
-- 1 2 1 --
4 8 3 2 1
17 -- -- -- --
-- 1 2 1 --
2,889 -- -- -- --
72 76 57 36 22
- -------------------- ------------------ ------------------- ------------------ ------------------
355,178 166,536 289,787 221,680 23,308
- -------------------- ------------------ ------------------- ------------------ ------------------
$ 1,250,704 $ 1,274,051 $ 854,887 $ 641,625 $ 318,520
- -------------------- ------------------ ------------------- ------------------ ------------------
1,588,609 724,826 866,581 742,998 332,223
71,010 173,798 301,707 223,030 24,017
19 -- 17 -- --
(207,537) -- -- -- --
612 -- -- -- --
-- 164,681 273,301 204,338 18,009
$ 1,588,027 $ 739,512 $ 929,123 $ 862,642 $ 353,750
2,555 6,651 1,491 (992) 401
(188,737) (1,441) (41,686) (106,518) (15,847)
(133,932) 530,995 (33,266) (113,232) (19,569)
(13,709) (1,666) (775) (268) (215)
(3,501) -- -- -- --
1 -- -- (7) --
- -------------------- ------------------ ------------------- ------------------ ------------------
$ 1,250,704 $ 1,274,051 $ 854,887 $ 641,625 $ 318,520
- -------------------- ------------------ ------------------- ------------------ ------------------
$ 8.23 $ 32.43 $ 15.38 $ 13.98 $ 10.16
($1,250,304,149 / ($462,947,498 / ($846,492,024 / ($638,256,375 / ($318,519,823 /
151,982,418 shares) 14,277,144 shares) 55,022,401 shares) 45,664,140 shares) 31,342,355 shares)
- -------------------- ------------------ ------------------- ------------------ ------------------
N/A $ 32.54 N/A N/A N/A
($805,605,511 /
24,757,294 shares)
- -------------------- ------------------ ------------------- ------------------ ------------------
$ 8.22 $ 32.47 $ 15.29 $ 13.71 N/A
($400,332 / ($5,498,152 / ($8,395,332 / ($3,368,358 /
48,676 shares) 169,345 shares) 549,148 shares) 245,684 shares)
- -------------------- ------------------ ------------------- ------------------ ------------------
N/A N/A N/A N/A N/A
- -------------------- ------------------ ------------------- ------------------ ------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
205
Statements of Assets and Liabilities ($ Thousands)
September 30, 2008
SMALL/MID CAP
DIVERSIFIED ALPHA MID-CAP U.S. MANAGED
FUND FUND VOLATILITY FUND
------------------ ----------------- ------------------
ASSETS:
Investments at value+ $ 117,080 $ 123,204* $ 448,804
Affiliated investment, at value++ 11,807 27,799 2,859
Repurchase agreement+ -- -- --
Cash -- 6 28
Foreign currency, at value+++ -- -- --
Cash collateral on futures -- -- --
Cash collateral on swaps -- -- --
Restricted cash held for securities sold short 17 -- --
Receivable for investment securities sold 8,331 487 8,646
Receivable for fund shares sold 1,006 229 3,068
Dividends and interest receivable 188 234 641
Receivable for variation margin 1,042 115 122
Receivable for unsettled foreign currency contract -- -- --
Swap contracts, at value+++++ 653 -- --
Receivable shareholder services fees Class A -- -- --
Unrealized gain on forward foreign currency contracts -- -- --
Prepaid expenses 1 -- 3
------------------ ----------------- ------------------
Total Assets 140,125 152,074 464,171
------------------ ----------------- ------------------
LIABILITIES:
Payable upon return on securities loaned -- 25,218 --
Payable for securities sold short++++ 7,010 -- --
Payable for investment securities purchased 24,076 -- 4,278
Payable for fund shares redeemed 134 174 805
Payable to custodian 1,005 -- --
Payable for variation margin 116 -- --
Margin call 580 -- --
Administration fees payable 33 41 140
Investment advisory fees payable 57 48 158
Shareholder servicing fees payable Class A 21 22 88
Shareholder servicing fees payable Class I -- -- --
Chief Compliance Officer fees payable -- -- 2
Overdraft of foreign currency, at value+++ -- -- --
Administration servicing fees payable Class I -- -- --
Income distribution payable -- -- --
Swap contracts, at value+++++ 1,072 -- --
Options written, at value # -- -- --
Swaptions written, at value@ -- -- --
Unrealized loss on forward foreign currency contracts -- -- --
Accrued expense payable 10 10 26
------------------ ----------------- ------------------
Total Liabilities 34,114 25,513 5,497
------------------ ----------------- ------------------
Net Assets $ 106,011 $ 126,561 $ 458,674
------------------ ----------------- ------------------
+ Cost of investments and repurchase agreements 133,676 144,698 467,357
++ Cost of affiliated investments 11,807 28,161 2,859
+++ Cost of foreign currency/(overdraft of foreign
currency) -- -- --
++++ Proceeds from securities sold short (8,258) -- --
+++++ Premiums received/(paid) 462 -- --
# Premiums received -- -- --
@ Premiums received -- -- --
* Includes market value of securities on loan -- 25,129 --
NET ASSETS:
Paid-in Capital -- (unlimited authorization -- no par
value) $ 144,141 $ 165,843 $ 487,933
Undistributed (distributions in excess of) net
investment income 19 236 1,257
Accumulated net realized loss on investments,
securities sold short, option contracts, futures,
swap contracts, swaptions and foreign currency (20,731) (17,562) (11,912)
Net unrealized depreciation on investments,
affiliated investments, securities sold short and
option contracts (15,348) (21,856) (18,553)
Net unrealized appreciation (depreciation) on futures
contracts (1,196) (100) (51)
Net unrealized appreciation (depreciation) on swaps (881) -- --
Net unrealized depreciation on swaptions -- -- --
Net unrealized appreciation (depreciation) on forward
foreign currency contracts, foreign currencies and
translation of other assets and liabilities
denominated in foreign currencies 7 -- --
------------------ ----------------- ------------------
Net Assets $ 106,011 $ 126,561 $ 458,674
------------------ ----------------- ------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 7.23 $ 14.87 $ 11.25
($105,993,078 / ($126,509,478 / ($458,668,599 /
14,666,319 shares) 8,510,113 shares) 40,786,449 shares)
------------------ ----------------- ------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class I $ 7.23 $ 14.86 $ 11.24
($17,544 / ($51,810 / ($5,692 /
2,428 shares) 3,485.4 shares) 506.5 shares)
------------------ ----------------- ------------------
Amounts designated as "--" are $0 or have been rounded to $0.
(1) The Tax-Managed Managed Volatility Fund commenced operations on December
20, 2007.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
206
GLOBAL MANAGED TAX-MANAGED MANAGED REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
VOLATILITY FUND VOLATILITY FUND(1) FUND INCOME FUND INCOME FUND BOND FUND
- ----------------- ------------------- ------------------- ----------------- -------------------- ------------------
$ 191,599 $ 88,868 $ 236,622* $ 297,313 $ 4,376,913* $ 1,032,471*
1,809 8,445 121,655 12,132 263,523 168,336
-- -- -- 14,300 29,700 --
3,356 2 6 1,955 -- --
-- -- 26 -- -- --
-- -- -- 700 -- --
-- -- -- 211 -- --
-- -- -- -- -- --
1,911 10 3,210 4,261 410,834 10,178
1,899 645 2,478 370 2,030 612
2,126 214 1,124 1,950 33,024 26,700
118 220 -- 585 4,171 --
443 -- -- -- -- --
-- -- -- 110 17,846 --
-- -- -- 53 -- --
2,006 -- -- 6,716 4,783 --
2 -- 2 3 25 3
- ----------------- ------------------- ------------------- ----------------- -------------------- ------------------
205,269 98,404 365,123 340,659 5,142,849 1,238,300
- ----------------- ------------------- ------------------- ----------------- -------------------- ------------------
-- -- 110,583 -- 212,704 131,994
-- -- -- -- -- --
-- 1,304 1,808 13,200 1,110,888 12,135
273 504 1,094 4,436 33,864 12,052
-- -- -- -- 22,919 4,302
59 -- -- -- 7,339 --
-- -- -- 211 1,583 --
59 26 75 62 887 332
110 29 133 163 834 406
42 13 18 -- 385 6
-- -- -- -- 2 --
1 -- 1 1 11 3
111 -- -- -- 1,242 --
-- -- -- -- 1 --
-- -- -- -- 797 529
-- -- -- -- 48,555 --
-- -- -- -- 3,646 --
-- -- -- -- 2,125 --
426 -- -- 7,739 -- --
22 5 27 36 344 115
- ----------------- ------------------- ------------------- ----------------- -------------------- ------------------
1,103 1,881 113,739 25,848 1,448,126 161,874
- ----------------- ------------------- ------------------- ----------------- -------------------- ------------------
$ 204,166 $ 96,523 $ 251,384 $ 314,811 $ 3,694,723 $ 1,076,426
- ----------------- ------------------- ------------------- ----------------- -------------------- ------------------
202,700 92,131 246,383 378,020 4,769,487 1,266,454
1,809 8,445 123,281 12,132 267,431 170,437
320 -- 26 -- (1,486) --
-- -- -- -- -- --
-- -- -- -- (26,734) --
-- -- -- -- (2,347) --
-- -- -- -- (719) --
-- -- 114,040 -- 187,345 120,609
$ 236,935 $ 103,166 $ 274,358 $ 412,335 $ 4,123,716 $ 1,546,482
(4,095) 369 3,186 1,684 (8,518) (15,209)
(18,996) (3,631) (14,772) (31,922) (59,484) (218,763)
(11,101) (3,263) (11,387) (66,407) (368,081) (236,084)
(88) (118) -- 31 7,937 --
-- -- -- 110 (3,975) --
-- -- -- -- (1,406) --
1,511 -- (1) (1,020) 4,534 --
- ----------------- ------------------- ------------------- ----------------- -------------------- ------------------
$ 204,166 $ 96,523 $ 251,384 $ 314,811 $ 3,694,723 $ 1,076,426
- ----------------- ------------------- ------------------- ----------------- -------------------- ------------------
$ 9.07 $ 9.02 $ 13.73 $ 8.21 $ 9.37 $ 6.57
($204,155,785 / ($96,522,675 / ($251,359,210 / 314,794,468 / ($3,686,633,437 / ($1,076,379,362 /
22,519,538 shares) 10,705,851 shares) 18,307,160 shares) 38,340,532 shares) 393,580,591 shares) 163,842,146 shares)
- ----------------- ------------------- ------------------- ----------------- -------------------- ------------------
$ 9.02 N/A $ 13.72 $ 8.20 $ 9.36 $ 6.58
($9,903 / ($25,285 / ($16,206 / ($8,089,905 / ($46,745 /
1,098 shares) 1,842.3 shares) 1,976 shares) 863,968 shares) 7,104 shares)
- ----------------- ------------------- ------------------- ----------------- -------------------- ------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
207
Statements of Operations ($ Thousands)
For the year or period ended September 30, 2008
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
---------- ----------- --------------
INVESTMENT INCOME:
Dividends $ 85,513 $ 35,584 $ 48,475
Dividends from Affiliated Investments* 2,058 2,528 2,255
Interest Income 142 495 287
Securities Lending Income -- Net** 1,877 1,424 1,448
Less: Foreign Taxes Withheld (50) (63) (65)
--------- --------- ---------
Total Investment Income 89,540 39,968 52,400
--------- --------- ---------
EXPENSES:
Investment Advisory Fees 10,589 12,818 10,457
Administration Fees 10,589 11,216 9,142***
Shareholder Servicing Fees (A) 7,522 7,977 6,526
Shareholder Servicing Fees (E) -- -- --
Shareholder Servicing Fees (I) 41 34 --
Shareholder Servicing Fees (Y) -- -- 6
Trustee Fees 47 50 40
Administration Servicing Fees (I) 41 34 --
Chief Compliance Officer Fees 7 17 8
Printing Fees 172 194 155
Custodian/Wire Agent Fees 161 182 148
Professional Fees 114 144 99
Registration Fees 41 66 28
Dividend Expense on Short Sales -- -- --
Interest Expense on Short Sales -- -- --
Licensing Fees -- -- --
Other Expenses 79 86 70
--------- --------- ---------
Total Expenses 29,403 32,818 26,679
--------- --------- ---------
Less:
Waiver of Investment Advisory Fees (1,944) (1,833) (2,216)
Waiver of Shareholder Servicing Fees (A) (847) (2,657) (1,437)
Waiver of Shareholder Servicing Fees (E) -- -- --
Waiver of Shareholder Servicing Fees (I) (4) (8) --
Waiver of Shareholder Servicing Fees (Y) -- -- (2)
Waiver of Administration Fees -- -- --
Fees Paid Indirectly (61) (200) (116)
--------- --------- ---------
Net Expenses 26,547 28,120 22,908
--------- --------- ---------
NET INVESTMENT INCOME 62,993 11,848 29,492
--------- --------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (28,611) 59,301 8,953
Securities Sold Short -- -- --
Futures Contracts (13,229) (15,744) (10,809)
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency Transactions -- -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (917,633) (801,835) (708,486)
Affiliated Investments (5,767) (3,874) (4,587)
Securities Sold Short -- -- --
Futures Contracts (1,354) (1,406) (3,604)
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currencies -- -- --
--------- --------- ---------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(903,601) $(751,710) $(689,041)
--------- --------- ---------
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
** Affiliated.
*** Fees relate to Class A only
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
208
LARGE CAP
DIVERSIFIED S&P 500 SMALL CAP SMALL CAP TAX-MANAGED
ALPHA FUND INDEX FUND VALUE FUND GROWTH FUND SMALL CAP FUND
- ----------- ---------- ---------- ----------- --------------
$ 24,407 $ 31,192 $ 13,493 $ 6,648 $ 4,202
4,264 1,082 1,103 660 664
9,568 70 108 373 27
-- 847 1,755 2,615 819
(38) -- (34) -- (4)
--------- --------- --------- --------- --------
38,201 33,191 16,425 10,296 5,708
--------- --------- --------- --------- --------
5,947 454 6,379 5,811 2,436
5,314 3,329 3,435 3,129 1,312
3,795 1,475 2,428 2,222 937
-- 2,313 -- -- --
1 21 25 14 --
-- -- -- -- --
23 24 15 14 6
1 21 25 14 --
4 15 13 2 1
93 130 64 50 23
96 100 56 59 22
57 20 64 42 19
11 29 46 23 6
4,322 -- -- -- --
1,697 -- -- -- --
-- 81 -- -- --
49 43 35 31 21
--------- --------- --------- --------- --------
21,410 8,055 12,585 11,411 4,783
--------- --------- --------- --------- --------
(50) -- (15) (96) (511)
(916) (555) (1,265) (1,243) (18)
-- (2,313) -- -- --
-- (8) (12) -- --
-- -- -- -- --
-- (399) -- -- --
-- -- (210) (133) (93)
--------- --------- --------- --------- --------
20,444 4,780 11,083 9,939 4,161
--------- --------- --------- --------- --------
17,757 28,411 5,342 357 1,547
--------- --------- --------- --------- --------
(106,881) 21,702 (19,027) (76,610) (8,852)
26,844 -- -- -- --
(56,638) (6,679) (3,478) (225) (2,234)
7 -- -- -- --
(27,127) -- -- -- --
-- -- (11) (106) --
(316,639) (411,197) (152,450) (233,380) (88,960)
-- (2,900) (4,377) (3,346) (227)
39,397 -- -- -- --
(24,211) (3,334) (1,481) (592) (670)
35 -- -- -- --
(1,055) -- -- -- --
2 -- -- (63) --
--------- --------- --------- --------- --------
$(448,509) $(373,997) $(175,482) $(313,965) $(99,396)
--------- --------- --------- --------- --------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
209
Statements of Operations ($ Thousands)
For the year or period ended September 30, 2008
SMALL/MID CAP U.S. MANAGED
DIVERSIFIED MID-CAP VOLATILITY
ALPHA FUND FUND FUND
------------- -------- ------------
INVESTMENT INCOME:
Dividends $ 1,712 $ 2,496 $ 9,049
Dividends from Affiliated Investments* 389 137 759
Interest Income 642 11 29
Securities Lending Income -- Net** -- 50 --
Less: Foreign Taxes Withheld (9) -- (71)
-------- -------- --------
Total Investment Income 2,734 2,694 9,766
-------- -------- --------
EXPENSES:
Investment Advisory Fees 945 675 3,440
Administration Fees 441 590 1,852
Shareholder Servicing Fees (A) 315 422 1,323
Shareholder Servicing Fees (I) -- -- --
Trustee Fees 2 3 8
Administration Servicing Fees (I) -- -- --
Chief Compliance Officer Fees -- 2 2
Dividend Expense on Short Sales 149 -- --
Interest Expense on Short Sales 130 -- --
Registration Fees 12 3 3
Printing Fees 9 11 34
Custodian/Wire Agent Fees 7 10 34
Professional Fees 6 7 22
Interest Expense -- -- --
Overdraft fees -- -- --
Other Expenses 17 8 15
-------- -------- --------
Total Expenses 2,033 1,731 6,733
-------- -------- --------
Less:
Waiver of Investment Advisory Fees (184) -- (1,348)
Waiver of Shareholder Servicing Fees (A) (56) (16) (93)
Waiver of Shareholder Servicing Fees (E) -- -- --
Waiver of Shareholder Servicing Fees (I) -- -- --
Waiver of Administration Fees -- -- --
Fees Paid Indirectly (3) -- --
-------- -------- --------
Net Expenses 1,790 1,715 5,292
-------- -------- --------
NET INVESTMENT INCOME 944 979 4,474
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (14,112) (16,211) (2,535)
Securities Sold Short 1,420 -- --
Futures Contracts (4,259) (993) (2,782)
Written Options (2) -- --
Swaptions -- -- --
Swap Contracts (5,659) -- --
Foreign Currency Transactions (5) -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (17,275) (28,715) (67,045)
Affiliated Investments -- (362) --
Securities Sold Short 364 -- --
Futures Contracts (1,333) (170) (780)
Written Options 6 -- --
Swaptions -- -- --
Swap Contracts 275 -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currencies 7 -- --
-------- -------- --------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(39,629) $(45,472) $(68,668)
-------- -------- --------
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
** Affiliated.
(1) The Tax-Managed Managed Volatility Fund commenced operations on December
20, 2007.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
210
GLOBAL TAX-MANAGED
MANAGED MANAGED REAL
VOLATILITY VOLATILITY ESTATE ENHANCED CORE FIXED HIGH YIELD
FUND FUND(1) FUND INCOME FUND INCOME FUND BOND FUND
- ---------- ----------- -------- ----------- ----------- ----------
$ 5,508 $ 1,142 $ 4,158 $ 38 $ 64 $ 10,917
156 127 409 770 2,978 1,843
159 7 -- 25,689 241,758 105,387
-- -- 412 -- 3,295 1,294
(363) (6) (33) (10) (40) (25)
-------- ------- -------- -------- --------- ---------
5,460 1,270 4,946 26,487 248,055 119,416
-------- ------- -------- -------- --------- ---------
1,514 342 1,621 1,767 11,807 6,060
816 184 873 1,546 12,021 4,351
582 132 624 1,104 10,711 3,108
-- -- -- -- 22 --
4 1 4 7 67 19
-- -- -- -- 22 --
1 1 1 1 13 9
-- -- -- -- -- --
-- -- -- -- -- --
-- -- 1 3 63 39
14 4 15 26 260 86
40 5 16 29 259 75
9 3 10 16 182 75
-- -- -- -- 6 --
28 -- -- -- -- --
50 1 5 99 621 201
-------- ------- -------- -------- --------- ---------
3,058 673 3,170 4,598 36,054 14,023
-------- ------- -------- -------- --------- ---------
(482) (140) (85) (754) (525) (797)
(4) (7) (256) (1,157) (7,194) (2,317)
-- -- -- -- -- --
-- -- -- -- (16) --
-- -- -- (33) -- --
-- -- (15) -- -- --
-------- ------- -------- -------- --------- ---------
2,572 526 2,814 2,654 28,319 10,909
-------- ------- -------- -------- --------- ---------
2,888 744 2,132 23,833 219,736 108,507
-------- ------- -------- -------- --------- ---------
(12,397) (2,127) (4,335) (19,068) 55,438 (55,543)
-- -- -- -- -- --
(2,527) (1,504) -- (6,951) 12,614 --
-- -- -- -- 7,703 --
-- -- -- -- 927 --
-- -- -- (2,754) (67,933) --
(6,086) -- (12) (4,725) (2,437) --
(25,463) (3,263) (41,450) (51,437) (356,979) (204,455)
-- -- (1,626) -- (3,909) (2,101)
-- -- -- -- -- --
(351) (118) -- 140 3,369 --
-- -- -- -- (1,422) --
-- -- -- -- (756) --
-- -- -- 1,419 5,880 --
1,989 -- (2) 1,116 4,541 --
-------- ------- -------- -------- --------- ---------
$(41,947) $(6,268) $(45,293) $(58,427) $(123,228) $(153,592)
-------- ------- -------- -------- --------- ---------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
211
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended September 30,
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
------------------------- ------------------------ ------------------------
2008 2007 2008 2007 2008 2007
----------- ----------- ----------- ---------- ---------- -----------
OPERATIONS:
Net Investment Income (Loss) $ 62,993 $ 65,244 $ 11,848 $ 9,091 $ 29,492 $ 27,256
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts (41,840) 387,608 43,557 235,321 (1,856) 135,641
Net Realized Loss on Foreign Currency
Transactions -- -- -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short, Futures
Contracts, Written Options and Swap
Contracts (924,754) 40,982 (807,115) 372,559 (716,677) 250,631
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currencies -- -- -- -- -- --
----------- ----------- ----------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations (903,601) 493,834 (751,710) 616,971 (689,041) 413,528
----------- ----------- ----------- ---------- ---------- ----------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (64,076) (65,236) (11,649) (7,660) (30,228) (25,173)
Class E -- -- -- -- -- --
Class I (330) (491) (14) (5) -- --
Class Y -- -- -- -- (49) (48)
Net Realized Gains:
Class A (308,944) (341,377) -- -- -- --
Class E -- -- -- -- -- --
Class I (2,094) (2,981) -- -- -- --
----------- ----------- ----------- ---------- ---------- ----------
Total Dividends and Distributions (375,444) (410,085) (11,663) (7,665) (30,277) (25,221)
----------- ----------- ----------- ---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 602,496 539,733 598,288 541,381 523,966 517,527
Reinvestment of Dividends & Distributions 348,733 380,665 11,071 7,269 28,387 23,768
Cost of Shares Redeemed (915,076) (1,149,311) (1,000,068) (917,952) (578,042) (409,521)
----------- ----------- ----------- ---------- ---------- ----------
Increase (Decrease) in Net Assets Derived from
Class A Transactions 36,153 (228,913) (390,709) (369,302) (25,689) 131,774
----------- ----------- ----------- ---------- ---------- ----------
Class E:
Proceeds from Shares Issued -- -- -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- -- -- --
Cost of Shares Redeemed -- -- -- -- -- --
----------- ----------- ----------- ---------- ---------- ----------
Increase (Decrease) in Net Assets Derived from
Class E Transactions -- -- -- -- -- --
----------- ----------- ----------- ---------- ---------- ----------
Class I:
Proceeds from Shares Issued 5,082 11,017 5,612 7,267 -- --
Reinvestment of Dividends & Distributions 2,377 3,446 13 5 -- --
Cost of Shares Redeemed (17,887) (17,516) (19,955) (14,646) -- --
----------- ----------- ----------- ---------- ---------- ----------
Increase (Decrease) in Net Assets Derived from
Class I Transactions (10,428) (3,053) (14,330) (7,374) -- --
----------- ----------- ----------- ---------- ---------- ----------
Class Y:
Proceeds from Shares Issued -- -- -- -- 177 97
Reinvestment of Dividends & Distributions -- -- -- -- 49 47
Cost of Shares Redeemed -- -- -- -- (627) (713)
----------- ----------- ----------- ---------- ---------- ----------
Decrease in Net Assets Derived from Class Y
Transactions -- -- -- -- (401) (569)
----------- ----------- ----------- ---------- ---------- ----------
Increase (Decrease) in Net Assets Derived from
Capital Share Transactions 25,725 (231,966) (405,039) (376,676) (26,090) 131,205
----------- ----------- ----------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets (1,253,320) (148,217) (1,168,412) 232,630 (745,408) 519,512
----------- ----------- ----------- ---------- ---------- ----------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 3,645,192 3,793,409 3,648,159 3,415,529 2,897,577 2,378,065
----------- ----------- ----------- ---------- ---------- ----------
END OF YEAR/PERIOD $ 2,391,872 $ 3,645,192 $ 2,479,747 $3,648,159 $2,152,169 $2,897,577
----------- ----------- ----------- ---------- ---------- ----------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME/(ACCUMULATED NET
INVESTMENT LOSS) INCLUDED IN NET ASSETS AT
PERIOD END $ 13,493 $ 14,943 $ 2,427 $ 2,335 $ 6,493 $ 6,748
----------- ----------- ----------- ---------- ---------- ----------
(1) See Note 4 in Notes to Financial Statements for additional information.
(2) For the six months ended September 30, 2007. Effective September 14, 2007,
the Fund's fiscal year end changed from March 31 to September 30.
(3) On September 14, 2007, the SEI Institutional Managed Trust acquired the
assets of the SEI S&P 500 Index Fund in a tax-free reorganization.
(4) For the year ended March 31.
(5) Includes realized gain of $4,368 ($ Thousands) due to in-kind redemptions
(see Note 9).
(6) Includes realized gain of $2,168 ($ Thousands) due to in-kind redemptions
(see Note 9).
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
212
LARGE CAP DIVERSIFIED S&P 500 SMALL CAP SMALL CAP
ALPHA FUND INDEX FUND(3) VALUE FUND GROWTH FUND
- ----------------------- ------------------------------------ ----------------------- -----------------------
2008 2007 2008 2007(2) 2007(4) 2008 2007 2008 2007
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$ 17,757 $ 16,920 $ 28,411 $ 14,373 $ 33,720 $ 5,342 $ 2,232 $ 357 $ (5,052)
(163,795) 59,820 15,023 72,082 26,839(5) (22,505) 161,341(6) (76,835) 117,347(7)
-- (1) -- -- -- (11) (4) (106) (293)
(302,473) 108,322 (417,431) 58,964 144,755 (158,308) (39,729) (237,318) 79,583
2 1 -- -- -- -- -- (63) 56
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(448,509) 185,062 (373,997) 145,419 205,314 (175,482) 123,840 (313,965) 191,641
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(19,433) (15,519) (11,020) (2,463) (10,300) (3,805) (7,396) (728) --
-- -- (18,292) (4,424) (23,648) -- -- -- --
(5) (2) (142) (50) (200) (27) (67) -- --
(63,042) (7,983) (31,110) -- (8,617) (136,351) (112,541) (85,670) --
-- -- (51,009) -- (17,342) -- -- -- --
(19) -- (592) -- (200) (1,639) (1,420) (580) --
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(82,499) (23,504) (112,165) (6,937) (60,307) (141,822) (121,424) (86,978) --
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
510,287 731,868 364,642 54,359 99,732 261,960 252,503 180,243 268,659
81,901 23,418 40,033 2,336 18,041 133,874 114,441 82,911 --
(465,367) (344,582) (405,229) (76,635) (155,992) (357,873) (407,378)(8) (380,544) (415,459)(8)
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
126,821 410,704 (554) (19,940) (38,219) 37,961 (40,434) (117,390) (146,800)
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
-- -- 138,713 61,905 109,388 -- -- -- --
-- -- 63,336 3,942 36,859 -- -- -- --
-- -- (172,607) (209,444) (802,024)(8) -- -- -- --
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
-- -- 29,442 (143,597) (655,777) -- -- -- --
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
61 758 2,932 2,533 4,846 5,865 6,715 1,873 3,906
24 3 734 50 400 1,652 1,479 573 --
(35) (304) (8,507) (4,795) (5,071) (9,403) (8,531) (5,811) (8,663)
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
50 457 (4,841) (2,212) 175 (1,886) (337) (3,365) (4,757)
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
-- -- -- -- -- -- -- -- --
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
126,871 411,161 24,047 (165,749) (693,821) 36,075 (40,771) (120,755) (151,557)
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(404,137) 572,719 (462,115) (27,267) (548,814) (281,229) (38,355) (521,698) 40,084
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
1,654,841 1,082,122 1,736,166 1,763,433 2,312,247 1,136,116 1,174,471 1,163,323 1,123,239
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$1,250,704 $1,654,841 $1,274,051 $1,736,166 $1,763,433 $ 854,887 $1,136,116 $ 641,625 $1,163,323
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$ 2,555 $ 4,550 $ 6,651 $ 7,544 $ -- $ 1,491 $ (898) $ (992) $ (1,655)
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(7) Includes realized loss of $4,305 ($ Thousands) due to in-kind redemptions
(see Note 9).
(8) Includes redemption as a result of an in-kind transfer of securities (see
Note 9).
Amounts designated as "--" are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
213
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended September 30,
SMALL/MID CAP
TAX-MANAGED DIVERSIFIED
SMALL CAP FUND ALPHA FUND(2) MID-CAP FUND
-------------------- ------------------- -------------------
2008 2007 2008 2007 2008 2007
--------- -------- -------- -------- -------- --------
OPERATIONS:
Net Investment Income $ 1,547 $ 1,175 $ 944 $ 1,017 $ 979 $ 430
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts (11,086) 25,492 (22,612) (1,562) (17,204) 22,196
Net Realized Loss on Foreign Currency
Transactions -- -- (5) (4) -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Affiliated
Investments, Securities Sold Short,
Futures Contracts, Written Options
and Swap Contracts (89,857) 25,122 (17,963) 538 (29,247) (581)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currencies -- -- 7 -- -- --
--------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations (99,396) 51,789 (39,629) (11) (45,472) 22,045
--------- -------- -------- -------- -------- --------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (1,291) (1,517) (1,355) (699) (847) (641)
Net Realized Gains:
Class A (23,726) (23,058) -- -- (16,926) (6,793)
Class I -- -- -- -- (18) --
--------- -------- -------- -------- -------- --------
Total Dividends and Distributions (25,017) (24,575) (1,355) (699) (17,791) (7,434)
--------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 115,260 110,154 58,072 139,849 88,803 161,788
Reinvestment of Dividends & Distributions 23,295 22,918 1,343 698 16,367 6,259
Cost of Shares Redeemed (112,567) (57,674) (43,148) (9,130) (98,735) (89,579)
--------- -------- -------- -------- -------- --------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 25,988 75,398 16,267 131,417 6,435 78,468
--------- -------- -------- -------- -------- --------
Class I:
Proceeds from Shares Issued -- -- 27 -- 222 --
Reinvestment of Dividends & Distributions -- -- -- -- 18 --
Cost of Shares Redeemed -- -- (6) -- (138) --
--------- -------- -------- -------- -------- --------
Increase in Net Assets Derived
from Class I Transactions -- -- 21 -- 102 --
--------- -------- -------- -------- -------- --------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 25,988 75,398 16,288 131,417 6,537 78,468
--------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net Assets (98,425) 102,612 (24,696) 130,707 (56,726) 93,079
--------- -------- -------- -------- -------- --------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 416,945 314,333 130,707 -- 183,287 90,208
--------- -------- -------- -------- -------- --------
END OF YEAR/PERIOD $ 318,520 $416,945 $106,011 $130,707 $126,561 $183,287
--------- -------- -------- -------- -------- --------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 401 $ 85 $ 19 $ 29 $ 236 $ 38
--------- -------- -------- -------- -------- --------
(1) See Note 4 in Notes to Financial Statements for additional information.
(2) The Small/Mid Cap Diversified Alpha Fund commenced operations on December
20, 2006.
(3) The Tax-Managed Managed Volatility Fund commenced operations on December
20, 2007.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
214
TAX-MANAGED
MANAGED
U.S. MANAGED GLOBAL MANAGED VOLATILITY REAL ESTATE
VOLATILITY FUND VOLATILITY FUND FUND(3) FUND
- --------------------- -------------------- ----------- ---------------------
2008 2007 2008 2007 2008 2008 2007
- --------- --------- --------- -------- ----------- --------- ---------
$ 4,474 $ 5,264 $ 2,888 $ 3,057 $ 744 $ 2,132 $ 3,646
(5,317) 20,239 (14,924) 4,915 (3,631) (4,335) 12,360
-- -- (6,086) (7,134) -- (12) (4)
(67,825) 32,661 (25,814) 12,452 (3,381) (43,076) (5,812)
-- -- 1,989 (743) -- (2) 1
- --------- --------- --------- -------- -------- --------- ---------
(68,668) 58,164 (41,947) 12,547 (6,268) (45,293) 10,191
- --------- --------- --------- -------- -------- --------- ---------
(4,113) (4,993) (4,301) (1,567) (375) (5,783) (4,265)
(22,450) (8,410) (3,779) (675) -- (15,877) (10,114)
-- -- -- -- -- (1) --
- --------- --------- --------- -------- -------- --------- ---------
(26,563) (13,403) (8,080) (2,242) (375) (21,661) (14,379)
- --------- --------- --------- -------- -------- --------- ---------
231,699 364,416 116,518 225,851 122,400 194,132 202,514
25,758 13,136 7,898 2,217 331 20,844 13,799
(289,416) (139,978) (145,982) (57,576) (19,565) (141,657) (159,808)
- --------- --------- --------- -------- -------- --------- ---------
(31,959) 237,574 (21,566) 170,492 103,166 73,319 56,505
- --------- --------- --------- -------- -------- --------- ---------
7 1 21 1 -- 30 --
-- -- -- -- -- 1 --
(2) -- (11) -- -- (3) --
- --------- --------- --------- -------- -------- --------- ---------
5 1 10 1 -- 28 --
- --------- --------- --------- -------- -------- --------- ---------
(31,954) 237,575 (21,556) 170,493 103,166 73,347 56,505
- --------- --------- --------- -------- -------- --------- ---------
(127,185) 282,336 (71,583) 180,798 96,523 6,393 52,317
- --------- --------- --------- -------- -------- --------- ---------
585,859 303,523 275,749 94,951 -- 244,991 192,674
- --------- --------- --------- -------- -------- --------- ---------
$ 458,674 $ 585,859 $ 204,166 $275,749 $ 96,523 $ 251,384 $ 244,991
- --------- --------- --------- -------- -------- --------- ---------
$ 1,257 $ 944 $ (4,095) $ (3,844) $ 369 $ 3,186 $ 2,518
- --------- --------- --------- -------- -------- --------- ---------
SEI Institutional Managed Trust / Annual Report / September 30, 2008
215
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended September 30,
ENHANCED CORE FIXED HIGH YIELD
INCOME FUND INCOME FUND BOND FUND
--------------------- ------------------------- -----------------------
2008 2007 2008 2007 2008 2007
--------- --------- ----------- ----------- ---------- ----------
OPERATIONS:
Net Investment Income $ 23,833 $ 27,282 $ 219,736 $ 214,085 $ 108,507 $ 92,638
Net Realized Gain (Loss) on Investments,
Futures Contracts, Written Options, Swaptions
and Swap Contracts (28,773) (3,742) 8,749 (2,410) (55,543) 7,250
Net Realized Gain (Loss) on Foreign Currency
Transactions (4,725) 2,747 (2,437) -- -- --
Net Change in Unrealized Depreciation
on Investments, Affiliated Investments,
Futures Contracts, Written Options,
and Swap Contracts (49,878) (16,515) (353,817) (37,572) (206,556) (26,071)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currencies 1,116 (2,542) 4,541 417 -- --
--------- --------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations (58,427) 7,230 (123,228) 174,520 (153,592) 73,817
--------- --------- ----------- ----------- ---------- ----------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (27,074) (21,572) (217,442) (214,787) (108,737) (93,629)
Class I (1) -- (432) (635) (3) --
Net Realized Gains:
Class A (15,203)
--------- --------- ----------- ----------- ---------- ----------
Total Dividends and Distributions (27,075) (21,572) (217,874) (215,422) (123,943) (93,629)
--------- --------- ----------- ----------- ---------- ----------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 208,486 610,800 968,244 1,187,007 559,747 504,196
Reinvestment of Dividends & Distributions 26,019 21,073 205,900 203,045 116,295 86,274
Cost of Shares Redeemed (455,141) (232,582) (1,747,665) (1,041,969) (569,749) (391,756)
--------- --------- ----------- ----------- ---------- ----------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (220,636) 399,291 (573,521) 348,083 106,293 198,714
--------- --------- ----------- ----------- ---------- ----------
Class I:
Proceeds from Shares Issued 11 12 6,623 6,866 77 --
Reinvestment of Dividends & Distributions -- -- 419 636 3 --
Cost of Shares Redeemed (4) -- (11,215) (8,508) (25) --
--------- --------- ----------- ----------- ---------- ----------
Increase (Decrease) in Net Assets Derived
from Class I Transactions 7 12 (4,173) (1,006) 55 --
--------- --------- ----------- ----------- ---------- ----------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (220,629) 399,303 (577,694) 347,077 106,348 198,714
--------- --------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets (306,131) 384,961 (918,796) 306,175 (171,187) 178,902
--------- --------- ----------- ----------- ---------- ----------
NET ASSETS:
BEGINNING OF YEAR 620,942 235,981 4,613,519 4,307,344 1,247,613 1,068,711
--------- --------- ----------- ----------- ---------- ----------
END OF YEAR $ 314,811 $ 620,942 $ 3,694,723 $ 4,613,519 $1,076,426 $1,247,613
--------- --------- ----------- ----------- ---------- ----------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 1,684 $ 9,839 $ (8,518) $ (6,273) $ (15,209) $ 624
--------- --------- ----------- ----------- ---------- ----------
(1) See Note 4 in the Notes to Financial Statements for additional information.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
216
Financial Highlights
For the years or period ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net
Realized
and Distributions Total
Net Asset Net Unrealized Dividends from Dividends,
Value, Investment Gains from Net Realized Distributions
Beginning Income (Losses) on Total from Investment Capital Return and Return
of Period (Loss) Securities Operations Income Gains of Capital of Capital
--------- ---------- ----------- ---------- ---------- ------------- ---------- -------------
LARGE CAP VALUE FUND
Class A
2008 $23.97 $ 0.40(1) $(6.10)(1) $(5.70) $(0.41) $(2.07) $-- $(2.48)
2007 23.54 0.41(1) 2.69(1) 3.10 (0.41) (2.26) -- (2.67)
2006 22.45 0.37(1) 2.41(1) 2.78 (0.37) (1.32) -- (1.69)
2005 19.80 0.35(1) 2.76(1) 3.11 (0.34) (0.12) -- (0.46)
2004 16.81 0.30(1) 2.99(1) 3.29 (0.30) -- -- (0.30)
Class I
2008 $23.95 $ 0.36(1) $(6.11)(1) $(5.75) $(0.35) $(2.07) $-- $(2.42)
2007 23.52 0.35(1) 2.69(1) 3.04 (0.35) (2.26) -- (2.61)
2006 22.43 0.31(1) 2.42(1) 2.73 (0.32) (1.32) -- (1.64)
2005 19.78 0.29(1) 2.77(1) 3.06 (0.29) (0.12) -- (0.41)
2004 16.80 0.25(1) 2.98(1) 3.23 (0.25) -- -- (0.25)
LARGE CAP GROWTH FUND
Class A
2008 $23.74 $ 0.08(1) $(5.35)(1) $(5.27) $(0.08) $ -- $-- $(0.08)
2007 19.95 0.06(1) 3.78(1) 3.84 (0.05) -- -- (0.05)
2006 19.23 0.04(1) 0.71(1) 0.75 (0.03) -- -- (0.03)
2005 17.13 0.09(1) 2.09(1) 2.18 (0.08) -- -- (0.08)
2004 15.77 (0.01)(1) 1.37(1) 1.36 -- -- -- --
Class I
2008 $23.48 $ 0.03(1) $(5.29)(1) $(5.26) $(0.02) $ -- $-- $(0.02)
2007 19.75 --*(1) 3.73(1) 3.73 --* -- -- --
2006 19.04 (0.01)(1) 0.72(1) 0.71 -- -- -- --
2005 17.00 0.04(1) 2.07(1) 2.11 (0.07) -- -- (0.07)
2004 15.68 (0.05)(1) 1.37(1) 1.32 -- -- -- --
TAX-MANAGED LARGE CAP FUND
Class A
2008 $14.70 $ 0.15(1) $(3.62)(1) $(3.47) $(0.15) $ -- $-- $(0.15)
2007 12.68 0.14(1) 2.01(1) 2.15 (0.13) -- -- (0.13)
2006 11.78 0.11(1) 0.90(1) 1.01 (0.11) -- -- (0.11)
2005 10.41 0.12(1) 1.37(1) 1.49 (0.12) -- -- (0.12)
2004 9.20 0.08(1) 1.21(1) 1.29 (0.08) -- -- (0.08)
Class Y
2008 $14.87 $ 0.19(1) $(3.66)(1) $(3.47) $(0.16) $ -- $-- $(0.16)
2007 12.79 0.18(1) 2.04(1) 2.22 (0.14) -- -- (0.14)
2006 11.86 0.15(1) 0.89(1) 1.04 (0.11) -- -- (0.11)
2005 10.45 0.16(1) 1.38(1) 1.54 (0.13) -- -- (0.13)
2004 9.21 0.12(1) 1.20(1) 1.32 (0.08) -- -- (0.08)
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2008 $11.78 $ 0.13(1) $(3.11)(1) $(2.98) $(0.13) $(0.44) $-- $(0.57)
2007 10.38 0.14(1) 1.47(1) 1.61 (0.13) (0.08) -- (0.21)
2006(2) 10.00 0.10(1) 0.34(1) 0.44 (0.06) -- -- (0.06)
Class I
2008 $11.78 $ 0.09(1) $(3.11)(1) $(3.02) $(0.10) $(0.44) $-- $(0.54)
2007 10.38 0.11(1) 1.48(1) 1.59 (0.11) (0.08) -- (0.19)
2006(3) 10.28 0.01(1) 0.09(1) 0.10 -- -- -- --
Ratio of
Expenses
to Average
Ratio of Net Ratio of
Expenses Assets Net
to Average (Excluding Investment
Ratio of Net Assets Fees Paid Income
Net Asset Net Assets Expenses (Excluding Indirectly (Loss) Portfolio
Value, End Total End of Period to Average Fees Paid and to Average Turnover
of Period Return+ ($Thousands) Net Assets Indirectly) Waivers) Net Assets Rate+
---------- ------- ------------- ---------- ----------- ---------- ---------- ---------
LARGE CAP VALUE FUND
Class A
2008 $ 15.79 (25.95)% $2,381,011 0.88% 0.88% 0.97% 2.09% 53%
2007 23.97 13.91 3,616,120 0.86 0.86 0.97 1.74 36
2006 23.54 13.42 3,762,101 0.86 0.87 0.97 1.67 58
2005 22.45 15.87 4,230,717 0.86 0.86 0.97 1.63 44
2004 19.80 19.66 4,153,475 0.85 0.85 0.97 1.59 46
Class I
2008 $ 15.78 (26.13)% $ 10,861 1.11% 1.11% 1.22% 1.85% 53%
2007 23.95 13.64 29,072 1.11 1.11 1.22 1.49 36
2006 23.52 13.16 31,308 1.11 1.12 1.22 1.40 58
2005 22.43 15.61 24,735 1.11 1.11 1.22 1.37 44
2004 19.78 19.33 20,180 1.10 1.10 1.22 1.33 46
LARGE CAP GROWTH FUND
Class A
2008 $ 18.39 (22.26)% $2,472,052 0.88% 0.88% 1.02% 0.37% 78%
2007 23.74 19.26 3,622,963 0.86 0.86 1.02 0.26 55
2006 19.95 3.92 3,387,749 0.86 0.87 1.02 0.18 89
2005 19.23 12.75 4,004,347 0.86 0.86 1.02 0.47 52
2004 17.13 8.62 3,846,240 0.85 0.85 1.02 (0.03) 36
Class I
2008 $ 18.20 (22.43)% $ 7,695 1.11% 1.11% 1.27% 0.13% 78%
2007 23.48 18.91 25,196 1.11 1.11 1.27 0.01 55
2006 19.75 3.73 27,780 1.11 1.12 1.27 (0.07) 89
2005 19.04 12.42 29,689 1.11 1.11 1.27 0.22 52
2004 17.00 8.42 28,431 1.10 1.10 1.27 (0.28) 36
TAX-MANAGED LARGE CAP FUND
Class A
2008 $ 11.08 (23.76)% $2,148,949 0.88% 0.88% 1.02% 1.13% 61%
2007 14.70 17.05 2,892,866 0.86 0.86 1.02 1.02 44
2006 12.68 8.58 2,373,507 0.86 0.87 1.02 0.91 65
2005 11.78 14.40 2,172,885 0.86 0.86 1.02 1.08 31
2004 10.41 14.05 1,977,883 0.85 0.85 1.02 0.83 29
Class Y
2008 $ 11.24 (23.52)% $ 3,220 0.56% 0.56% 0.72% 1.44% 61%
2007 14.87 17.43 4,711 0.56 0.56 0.72 1.32 44
2006 12.79 8.83 4,558 0.56 0.57 0.72 1.21 65
2005 11.86 14.78 5,067 0.56 0.56 0.72 1.39 31
2004 10.45 14.41 4,909 0.55 0.55 0.72 1.13 29
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2008 $ 8.23 (26.42)% $1,250,304 1.35%(16) 1.35%(16) 1.41% 1.17% 93%
2007 11.78 15.64 1,654,324 1.21(11) 1.21(11) 1.29 1.25 84
2006(2) 10.38 4.44 1,082,101 1.09@ 1.09@ 1.16 1.18 72
Class I
2008 $ 8.22 (26.70)% $ 400 1.60%(16) 1.60%(16) 1.66% 0.92% 93%
2007 11.78 15.42 517 1.46(11) 1.46(11) 1.54 0.99 84
2006(3) 10.38 0.97 21 1.08@ 1.08@ 1.15 1.12 72
SEI Institutional Managed Trust / Annual Report / September 30, 2008
217
Financial Highlights
For the years or period ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net
Realized
and Distributions Total
Net Asset Net Unrealized Dividends from Dividends,
Value, Investment Gains from Net Realized Distributions
Beginning Income (Losses) on Total from Investment Capital and Return
of Period (Loss) Securities Operations Income Gains of Capital
--------- ---------- ----------- ---------- ---------- ------------- -------------
S&P 500 INDEX FUND
Class A
2008 $44.71 $ 0.68(1) $(10.10)(1) $(9.42) $(0.70) $(2.16) $(2.86)
2007(4) 41.45 0.34(1) 3.09(1) 3.43 (0.17) -- (0.17)
2007(5) 38.38 0.63(1) 3.70(1) 4.33 (0.68) (0.58) (1.26)
2006(5) 36.21 0.56(1) 3.47(1) 4.03 (0.54) (1.32) (1.86)
2005(5) 34.66 0.59(1) 1.57(1) 2.16 (0.58) (0.03) (0.61)
2004(5) 26.18 0.42(1) 8.58(1) 9.00 (0.52) -- (0.52)
Class E
2008 $44.85 $ 0.75(1) $(10.14)(1) $(9.39) $(0.76) $(2.16) $(2.92)
2007(4) 41.57 0.30(1) 3.17(1) 3.47 (0.19) -- (0.19)
2007(5) 38.48 0.69(1) 3.72(1) 4.41 (0.74) (0.58) (1.32)
2006(5) 36.31 0.62(1) 3.48(1) 4.10 (0.61) (1.32) (1.93)
2005(5) 34.76 0.66(1) 1.55(1) 2.21 (0.63) (0.03) (0.66)
2004(5) 26.26 0.47(1) 8.61(1) 9.08 (0.58) -- (0.58)
Class I
2008 $44.74 $ 0.60(1) $(10.12)(1) $(9.52) $(0.59) $(2.16) $(2.75)
2007(4) 41.51 0.28(1) 3.09(1) 3.37 (0.14) -- (0.14)
2007(5) 38.43 0.53(1) 3.71(1) 4.24 (0.58) (0.58) (1.16)
2006(5) 36.26 0.47(1) 3.46(1) 3.93 (0.44) (1.32) (1.76)
2005(5) 34.72 0.51(1) 1.56(1) 2.07 (0.50) (0.03) (0.53)
2004(5) 26.22 0.34(1) 8.60(1) 8.94 (0.44) -- (0.44)
SMALL CAP VALUE FUND
Class A
2008 $21.26 $ 0.09(1) $ (3.22)(1) $(3.13) $(0.07) $(2.68) $(2.75)
2007 21.28 0.04(1) 2.23(1) 2.27 (0.14) (2.15) (2.29)
2006 21.58 0.05(1) 1.97(1) 2.02 (0.06) (2.26) (2.32)
2005 20.74 0.06(1) 4.02(1) 4.08 (0.05) (3.19) (3.24)
2004 17.45 0.03(1) 4.32(1) 4.35 (0.06) (1.00) (1.06)
Class I
2008 $21.17 $ 0.05(1) $ (3.21)(1) $(3.16) $(0.04) $(2.68) $(2.72)
2007 21.21 (0.01)(1) 2.21(1) 2.20 (0.09) (2.15) (2.24)
2006 21.52 --(1) 1.98(1) 1.98 (0.03) (2.26) (2.29)
2005 20.71 (0.01)(1) 4.03(1) 4.02 (0.02) (3.19) (3.21)
2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02) (1.00) (1.02)
SMALL CAP GROWTH FUND
Class A
2008 $21.91 $ 0.01(1) $ (6.22)(1) $(6.21) $(0.01) $(1.71) $(1.72)
2007 18.56 (0.09)(1) 3.44(1) 3.35 -- -- --
2006 17.86 (0.07)(1) 0.77(1) 0.70 -- -- --
2005 15.14 (0.10)(1) 2.82(1) 2.72 -- -- --
2004 14.11 (0.10)(1) 1.13(1) 1.03 -- -- --
Class I
2008 $21.57 $(0.03)(1) $ (6.12)(1) $(6.15) $ -- $(1.71) $(1.71)
2007 18.32 (0.14)(1) 3.39(1) 3.25 -- -- --
2006 17.67 (0.12)(1) 0.77(1) 0.65 -- -- --
2005 15.02 (0.14)(1) 2.79(1) 2.65 -- -- --
2004 14.03 (0.14)(1) 1.13(1) 0.99 -- -- --
Ratio of
Expenses
to Average
Ratio of Net Ratio of
Expenses Assets Net
to Average (Excluding Investment
Ratio of Net Assets Fees Paid Income
Net Asset Net Assets Expenses (Excluding Indirectly (Loss) Portfolio
Value, End Total End of Period to Average Fees Paid and to Average Turnover
of Period Return+ ($Thousands) Net Assets Indirectly) Waivers) Net Assets Rate+
---------- ------- ------------- ---------- ----------- ---------- ---------- ---------
S&P 500 INDEX FUND
Class A
2008 $32.43 (22.30)% $ 462,947 0.41% 0.41% 0.53% 1.77% 27%
2007(4) 44.71 8.28 650,792 0.40 0.40 0.43 1.55 2
2007(5) 41.45 11.38 621,898 0.40 0.40 0.43 1.59 6
2006(5) 38.38 11.32 614,246 0.40 0.40 0.43 1.49 18
2005(5) 36.21 6.25 655,378 0.40 0.40 0.43 1.67 11
2004(5) 34.66 34.62 686,129 0.40 0.40 0.43 1.33 7
Class E
2008 $32.54 (22.19)% $ 805,606 0.25% 0.25% 0.53% 1.95% 27%
2007(4) 44.85 8.34 1,072,141 0.25 0.25 0.53 1.70 2
2007(5) 41.57 11.57 1,127,189 0.25 0.25 0.53 1.74 6
2006(5) 38.48 11.49 1,684,857 0.25 0.25 0.53 1.65 18
2005(5) 36.31 6.39 1,307,631 0.25 0.25 0.53 1.86 11
2004(5) 34.76 34.83 904,534 0.25 0.25 0.53 1.47 7
Class I
2008 $32.47 (22.49)% $ 5,498 0.65% 0.65% 0.78% 1.53% 27%
2007(4) 44.74 8.12 13,233 0.65 0.65 0.78 1.29 2
2007(5) 41.51 11.12 14,346 0.65 0.65 0.78 1.34 6
2006(5) 38.43 11.02 13,144 0.65 0.65 0.78 1.25 18
2005(5) 36.26 5.97 11,452 0.65 0.65 0.78 1.44 11
2004(5) 34.72 34.28 6,370 0.65 0.65 0.78 1.06 7
SMALL CAP VALUE FUND
Class A
2008 $15.38 (16.02)% $ 846,492 1.13% 1.15% 1.28% 0.55% 91%
2007 21.26 10.70 1,122,027 1.11 1.13 1.27 0.19 86
2006 21.28 10.34 1,160,178 1.11 1.13 1.27 0.31 72
2005 21.58 21.21 1,066,189 1.11 1.11 1.27 0.27 71
2004 20.74 25.67 942,037 1.10 1.10 1.27 0.17 89
Class I
2008 $15.29 (16.21)% $ 8,395 1.36% 1.39% 1.53% 0.31% 91%
2007 21.17 10.41 14,089 1.36 1.38 1.52 (0.04) 86
2006 21.21 10.11 14,293 1.36 1.38 1.52 0.06 72
2005 21.52 20.88 12,713 1.36 1.36 1.52 (0.03) 71
2004 20.71 25.29 7,400 1.35 1.35 1.52 (0.09) 89
SMALL CAP GROWTH FUND
Class A
2008 $13.98 (30.36)% $ 638,257 1.11% 1.12% 1.28% 0.04% 124%
2007 21.91 18.05 1,154,000 1.11 1.13 1.27 (0.43) 135
2006 18.56 3.92 1,111,329 1.11 1.13 1.27 (0.40) 99
2005 17.86 17.97 1,058,413 1.11 1.11 1.27 (0.60) 116
2004 15.14 7.30 970,759 1.10 1.10 1.27 (0.63) 124
Class I
2008 $13.71 (30.57)% $ 3,368 1.36% 1.37% 1.53% (0.19)% 124%
2007 21.57 17.74 9,323 1.36 1.38 1.52 (0.67) 135
2006 18.32 3.68 11,910 1.36 1.38 1.52 (0.65) 99
2005 17.67 17.64 11,077 1.36 1.36 1.52 (0.85) 116
2004 15.02 7.06 8,530 1.35 1.35 1.52 (0.90) 124
SEI Institutional Managed Trust / Annual Report / September 30, 2008
218
Net
Realized
and Distributions Total
Net Asset Net Unrealized Dividends from Dividends,
Value, Investment Gains from Net Realized Distributions Net Asset
Beginning Income (Losses) on Total from Investment Capital and Return Value, End Total
of Period (Loss) Securities Operations Income Gains of Capital of Period Return+
--------- ---------- ----------- ---------- ---------- ------------- ------------- ---------- -------
TAX-MANAGED SMALL CAP FUND
Class A
2008 $14.14 $ 0.05(1) $(3.19)(1) $(3.14) $(0.04) $(0.80) $(0.84) $10.16 (23.34)%
2007 13.10 0.04(1) 2.00(1) 2.04 (0.06) (0.94) (1.00) 14.14 16.00
2006 13.13 0.01(1) 0.68(1) 0.69 -- (0.72) (0.72) 13.10 5.50
2005 11.63 (0.02)(1) 2.36(1) 2.34 -- (0.84) (0.84) 13.13 20.80
2004 10.00 (0.04)(1) 1.67(1) 1.63 -- -- -- 11.63 16.30
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Class A
2008 $10.10 $ 0.06(1) $(2.83)(1) $(2.77) $(0.10) $ -- $(0.10) $ 7.23 (27.63)%
2007(10) 10.00 0.10(1) 0.07(1)++ 0.17 (0.07) -- (0.07) 10.10 1.71
Class I
2008(15) $10.28 $ 0.03(1) $(2.99)(1) $(2.96) $(0.09) $ -- $(0.09) $ 7.23 (28.98)%
MID-CAP FUND
Class A
2008 $22.22 $ 0.11(1) $(5.28)(1) $(5.17) $(0.09) $(2.09) $(2.18) $14.87 (25.45)%
2007 20.40 0.06(1) 3.40(1) 3.46 (0.10) (1.54) (1.64) 22.22 17.51
2006 20.29 0.14(1) 1.49(1) 1.63 (0.12) (1.40) (1.52) 20.40 8.50
2005 17.84 0.06(1) 4.61(1) 4.67 (0.06) (2.16) (2.22) 20.29 28.15
2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40) 17.84 22.23
Class I
2008(15) $22.56 $ 0.06(1) $(5.63)(1) $(5.57) $(0.04) $(2.09) $(2.13) $14.86 (26.82)%
U.S. MANAGED VOLATILITY FUND
Class A
2008 $13.45 $ 0.10(1) $(1.69)(1) $(1.59) $(0.10) $(0.51) $(0.61) $11.25 (12.38)%
2007 12.02 0.15(1) 1.74(1) 1.89 (0.14) (0.32) (0.46) 13.45 16.09
2006 11.41 0.10(1) 0.75(1) 0.85 (0.09) (0.15) (0.24) 12.02 7.64
2005(7) 10.00 0.10(1) 1.39(1) 1.49 (0.08) --* (0.08) 11.41 14.94
Class I
2008 $13.43 $ 0.09(1) $(1.71)(1) $(1.62) $(0.06) $(0.51) $(0.57) $11.24 (12.58)%
2007(13) 13.54 0.01(1) (0.05)(1) (0.04) (0.07) -- (0.07) 13.43 (0.32)
GLOBAL MANAGED VOLATILITY FUND
Class A
2008 $11.22 $ 0.12(1) $(1.92)(1) $(1.80) $(0.18) $(0.17) $(0.35) $ 9.07 (16.60)%
2007 10.37 0.17(1) 0.85(1) 1.02 (0.11) (0.06) (0.17) 11.22 9.88
2006(8) 10.00 0.02(1) 0.35(1) 0.37 -- -- -- 10.37 3.70
Class I
2008 $11.20 $ 0.14(1) $(1.97)(1) $(1.83) $(0.18) $(0.17) $(0.35) $ 9.02 (16.86)%
2007(13) 11.45 0.01(1) (0.26)(1) (0.25) -- -- -- 11.20 (2.18)
TAX-MANAGED MANAGED VOLATILITY FUND
Class A
2008(14) $10.00 $ 0.10(1) $(1.02)(1) $(0.92) $(0.06) $ -- $(0.06) $ 9.02 (9.24)%
REAL ESTATE FUND
Class A
2008 $18.20 $ 0.13 $(3.11)(1) $(2.98) $(0.38) $(1.11) $(1.49) $13.73 (17.15)%
2007 18.43 0.30(1) 0.76(1) 1.06 (0.36) (0.93) (1.29) 18.20 5.49
2006 14.86 0.23(1) 4.15(1) 4.38 (0.36) (0.45) (0.81) 18.43 30.44
2005 11.89 0.27(1) 3.22(1) 3.49 (0.26) (0.26) (0.52) 14.86 29.97
2004(9) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17) 11.89 20.82
Class I
2008(15) $18.55 $ 0.13(1) $(3.49)(1) $(3.36) $(0.36) $(1.11) $(1.47) $13.72 (18.89)%
Ratio of
Ratio of Expenses Ratio of
Expenses to Average Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
End of Period to Average Fees Paid Indirectly to Average Turnover
($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
------------- ---------- ----------- ------------ ---------- ---------
TAX-MANAGED SMALL CAP FUND
Class A
2008 $318,520 1.11% 1.13% 1.28% 0.41% 96%
2007 416,945 1.11 1.14 1.27 0.31 72
2006 314,333 1.11 1.14 1.27 0.09 73
2005 269,519 1.11 1.11 1.27 (0.17) 99
2004 214,859 1.10 1.10 1.27 (0.31) 86
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Class A
2008 $105,993 1.42%(6) 1.42%(6) 1.62% 0.75% 170%
2007(10) 130,707 1.29(12) 1.29(12) 1.50 1.25 112
Class I
2008(15) $ 18 1.67%(6) 1.67%(6) 1.71% 0.37% 170%
MID-CAP FUND
Class A
2008 $126,509 1.02% 1.02% 1.03% 0.58% 126%
2007 183,287 1.01 1.01 1.02 0.26 176
2006 90,208 1.01 1.01 1.03 0.67 135
2005 71,162 1.01 1.01 1.03 0.30 137
2004 53,642 1.00 1.00 1.02 0.53 121
Class I
2008(15) $ 52 1.26% 1.26% 1.27% 0.33% 126%
U.S. MANAGED VOLATILITY FUND
Class A
2008 $458,668 1.00% 1.00% 1.27% 0.85% 85%
2007 585,858 1.04 1.04 1.27 1.19 112
2006 303,523 1.11 1.11 1.27 0.91 133
2005(7) 160,047 1.11 1.11 1.27 1.03 102
Class I
2008 $ 6 1.25% 1.25% 1.57% 0.71% 85%
2007(13) 1 1.36 1.36 1.86 0.19 112
GLOBAL MANAGED VOLATILITY FUND
Class A
2008 $204,156 1.11% 1.11% 1.31% 1.24% 113%
2007 275,748 1.11 1.11 1.32 1.56 119
2006(8) 94,951 1.10 1.10 1.30 1.22 13
Class I
2008 $ 10 1.36% 1.36% 1.56% 1.49% 113%
2007(13) 1 1.36 1.36 2.26 0.23 119
TAX-MANAGED MANAGED VOLATILITY FUND
Class A
2008(14) $ 96,523 1.00% 1.00% 1.29% 1.43% 65%
REAL ESTATE FUND
Class A
2008 $251,359 1.13% 1.13% 1.27% 0.86% 52%
2007 244,991 1.11 1.12 1.27 1.55 84
2006 192,674 1.11 1.12 1.27 1.39 65
2005 96,405 1.11 1.11 1.27 1.95 58
2004(9) 35,008 1.10 1.10 1.30 2.20 98
Class I
2008(15) $ 25 1.36% 1.36% 1.52% 0.86% 52%
SEI Institutional Managed Trust / Annual Report / September 30, 2008
219
Financial Highlights
For the years or period ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
Net
Realized
and Distributions Total
Net Asset Unrealized Dividends from Dividends,
Value, Net Gains from Net Realized Distributions Net Asset
Beginning Investment (Losses) on Total from Investment Capital and Return Value, End Total
of Period Income Securities Operations Income Gains of Capital of Period Return+
--------- ---------- ----------- ---------- ---------- ------------- ------------- ---------- -------
ENHANCED INCOME FUND
Class A
2008 $ 9.92 $0.49(1) $(1.68)(1) $(1.19) $(0.52) $ -- $(0.52) $ 8.21 (12.42)%
2007 10.11 0.57(1) (0.27)(1) 0.30 (0.49) -- (0.49) 9.92 2.96
2006(8) 10.00 0.10(1) 0.01(1) 0.11 -- -- -- 10.11 1.10
Class I
2008 $ 9.91 $0.43(1) $(1.63)(1) $(1.20) $(0.51) $ -- $(0.51) $ 8.20 (12.61)%
2007(13) 10.25 0.15(1) (0.35)(1) (0.20) (0.14) -- (0.14) 9.91 (2.01)
CORE FIXED INCOME FUND
Class A
2008 $10.19 $0.51(1) $(0.82)(1) $(0.31) $(0.51) $ -- $(0.51) $ 9.37 (3.25)%
2007 10.29 0.50(1) (0.10)(1) 0.40 (0.50) -- (0.50) 10.19 4.00
2006 10.44 0.47(1) (0.11)(1) 0.36 (0.48) (0.03) (0.51) 10.29 3.60
2005 10.65 0.40(1) (0.11)(1) 0.29 (0.41) (0.09) (0.50) 10.44 2.83
2004 10.71 0.37(1) 0.08(1) 0.45 (0.38) (0.13) (0.51) 10.65 4.38
Class I
2008 $10.19 $0.49(1) $(0.84)(1) $(0.35) $(0.48) $ -- $(0.48) $ 9.36 (3.58)%
2007 10.29 0.41(1) (0.03)(1) 0.38 (0.48) -- (0.48) 10.19 3.74
2006 10.43 0.45(1) (0.11)(1) 0.34 (0.45) (0.03) (0.48) 10.29 3.44
2005 10.65 0.38(1) (0.12)(1) 0.26 (0.39) (0.09) (0.48) 10.43 2.48
2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49) 10.65 4.12
HIGH YIELD BOND FUND
Class A
2008 $ 8.26 $0.66(1) $(1.60)(1) $(0.94) $(0.66) $(0.09) $(0.75) $ 6.57 (12.09)%
2007 8.38 0.67(1) (0.11)(1) 0.56 (0.68) -- (0.68) 8.26 6.72
2006 8.50 0.65(1) (0.12)(1) 0.53 (0.65) -- (0.65) 8.38 6.51
2005 8.58 0.64(1) (0.08)(1) 0.56 (0.64) -- (0.64) 8.50 6.71
2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67) 8.58 10.84
Class I
2008(15 $ 8.26 $0.66(1) $(1.61)(1) $(0.95) $(0.64) $(0.09) $(0.73) $ 6.58 (12.20)%
Ratio of
Ratio of Expenses
Expenses to Average Ratio of
to Average Net Assets Net
Ratio of Net Assets (Excluding Investment
Net Assets Expenses (Excluding Fees Paid Income Portfolio
End of Period to Average Fees Paid Indirectly to Average Turnover
($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
------------- ---------- ----------- ------------ ---------- ---------
ENHANCED INCOME FUND
Class A
2008 $ 314,795 0.60% 0.60% 1.04% 5.40% 42%
2007 620,931 0.60 0.60 1.03 5.67 43
2006(8) 235,981 0.60 0.60 1.10 5.54 70
Class I
2008 $ 16 0.85% 0.85% 1.29% 4.82% 42%
2007(13) 11 1.09 1.09 1.56 5.78 43
CORE FIXED INCOME FUND
Class A
2008 $3,686,633 0.66% 0.66% 0.84% 5.12% 335%
2007 4,600,629 0.64 0.64 0.84 4.89 413
2006 4,293,309 0.63 0.63 0.84 4.62 478
2005 4,094,011 0.61 0.61 0.84 3.83 557
2004 4,067,065 0.61** 0.61** 0.84 3.52 430
Class I
2008 $ 8,090 0.90% 0.90% 1.09% 4.87% 335%
2007 12,890 0.89 0.89 1.09 3.96 413
2006 14,035 0.88 0.88 1.09 4.37 478
2005 12,979 0.86 0.86 1.09 3.60 557
2004 10,420 0.86** 0.86** 1.09 3.25 430
HIGH YIELD BOND FUND
Class A
2008 $1,076,379 0.88% 0.88% 1.13% 8.73% 69%
2007 1,247,613 0.86 0.86 1.12 7.89 91
2006 1,068,711 0.86 0.86 1.12 7.69 126
2005 1,599,921 0.86 0.86 1.12 7.46 132
2004 1,197,554 0.85 0.85 1.11 7.84 179
Class I
2008(15) $ 47 1.11% 1.11% 1.38% 8.96% 69%
+ Returns and turnover rates are for the period indicated and have not been
annualized.
++ The amount shown for a share outstanding throughout the period does not
accord with the aggregate net gains on investments for the period because
of the sales and repurchases of fund shares in relation to fluctuating
market value of the investments of the Fund.
@ The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 0.95% and 0.75% for Class A and Class I Shares, respectively.
* Amount represents less than $0.01.
** The expense ratio includes the litigation fees paid. Had these fees been
excluded the ratio would have been 0.60% and 0.85% for Class A and Class I,
respectively.
(1) Per share net investment income and net realized and unrealized
gains/(losses) calculated using average shares.
(2) Commenced operations on December 14, 2005. All ratios for the period have
been annualized.
(3) Commenced operations on September 14, 2006. All ratios for the period have
been annualized.
(4) For the six months ended September 30, 2007. The Fund's fiscal year end
changed from March 31 to September 30. All ratios for the period have been
annualized.
(5) For the year or period ended March 31.
(6) The expense ratios include dividend expense and interest expense on
securities sold short and reverse repurchase agreements. Had these expenses
been excluded the ratios would have been 1.20% and 1.45% for Class A and
Class I, respectively.
(7) Commenced operations on October 28, 2004. All ratios for the period have
been annualized.
(8) Commenced operations on July 27, 2006. All ratios for the period have been
annualized.
(9) Commenced operations on November 13, 2003. All ratios for the period have
been annualized.
(10) Commenced operations on December 20, 2006. All ratios for the period have
been annualized.
(11) The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 0.94% and 1.20% for Class A and Class I Shares, respectively.
(12) The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 1.17%.
(13) Commenced operations on June 29, 2007. All ratios for the period have been
annualized.
(14) Commenced operations on December 20, 2007. All ratios for the period have
been annualized.
(15) Commenced operations on October 1, 2007. All ratios for the period have
been annualized.
(16) The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 1.15% and 1.40% for Class A and Class I, respectively.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
220
Notes to Financial Statements
September 30, 2008
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 19 Funds: Large Cap Value, Large Cap Growth,
Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500 Index, Small Cap
Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha,
Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed
Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond,
Real Return Plus and Prime Obligation Funds (each a "Fund," collectively the
"Funds"). The Trust is registered to offer: Class A shares of the Funds; Class E
shares of the S&P 500 Fund; Class I shares of the Large Cap Value, Large Cap
Growth, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small Cap
Growth, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility,
Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High
Yield Bond and Real Return Plus Funds; and Class Y shares of the Tax-Managed
Large Cap Fund. The assets of each Fund are segregated, and a shareholder's
interest is limited to the Fund in which shares are held. The Funds'
prospectuses provide a description of each Fund's investment objective,
policies, and strategies.
As of September 30, 2008, the Real Return Plus and Prime Obligation Funds had
not yet commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Funds.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
U.S. generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
SECURITY VALUATION -- Securities listed on a securities exchange, market or
automated quotation system for which quotations are readily available (except
for securities traded on NASDAQ) are valued at the last quoted sale price on the
primary exchange or market (foreign or domestic) on which they are traded, or,
if there is no such reported sale, at the most recent quoted bid price. For
securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If
available, debt securities are priced based upon valuations provided by
independent, third-party pricing agents. Such values generally reflect the last
reported sales price if the security is actively traded. The third-party pricing
agents may also value debt securities at an evaluated bid price by employing
methodologies that utilize actual market transactions, broker-supplied
valuations, or other methodologies designed to identify the market value for
such securities. Debt obligations with remaining maturities of sixty days or
less may be valued at their amortized cost, which approximates market value.
Prices for most securities held in the Funds are provided daily by recognized
independent pricing agents. If a security price cannot be obtained from an
independent, third-party pricing agent, the Funds seek to obtain a bid price
from at least one independent broker.
Securities for which market prices are not "readily available" are valued in
accordance with Fair Value Procedures established by the Funds' Board of
Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Funds' Board of Trustees. Some of
the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when, under
normal conditions, it would be open; or the security's primary pricing source is
not able or willing to provide a price. When a security is valued in accordance
with the Fair Value Procedures, the Committee will determine the value after
taking into consideration relevant information reasonably available to the
Committee.
For securities that principally trade on a foreign market or exchange, a
significant gap in time can exist between the time of a particular security's
last trade and the time at which a Fund calculates its net asset value. The
closing prices of such securities may no longer reflect their market value at
the time the Fund calculates net asset value if an event that could materially
affect the value of those securities (a "Significant Event") has occurred
between the time of the security's last close and the time that the Fund
calculates net asset value. A Significant Event may relate to a single issuer or
to an entire market sector. If the adviser or sub-adviser of a Fund becomes
aware of a Significant Event that has occurred with respect to a security or
group of securities after the closing of the exchange or market on which the
security or securities principally trade, but before the time at which the Fund
calculates net asset value, it may request that a Fair Value Committee Meeting
be called. In addition, the Funds' administrator monitors price movements among
certain selected indices, securities and/or baskets of securities that may be an
indicator that the closing prices received earlier from foreign exchanges or
markets may not reflect market value at the time the Fund calculates net asset
value. If price movements in a monitored index or security exceed levels
established by the administrator, the administrator notifies the adviser or
sub-adviser for any Fund holding the relevant securities that such limits have
been exceeded. In such event, the adviser or sub-adviser makes the determination
whether a Fair Value Committee Meeting should be called based on the information
provided.
Options and warrants for which the primary market is a national securities
exchange are valued at the last sale price on the exchange on which they are
traded, or, in the absence of any sale, at the closing
SEI Institutional Managed Trust / Annual Report / September 30, 2008
221
Notes to Financial Statements (Continued)
September 30, 2008
bid price. Options and warrants not traded on a national securities exchange are
valued at the last quoted bid price.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the trade date. Costs used in determining net realized capital gains
and losses on the sale of securities are on the basis of specific
identification. Dividend income is recognized on the ex-dividend date, and
interest income is recognized using the accrual basis of accounting. Income from
payment-in-kind securities is recorded daily based on the effective interest
method of accrual.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments and/or as a
realized gain. The Trust estimates the components of distributions received that
may be considered nontaxable distributions or capital gain distributions.
Amortization and accretion is calculated using the scientific interest method,
which approximates the effective interest method over the holding period of the
security. Amortization of premiums and discounts is included in interest income.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until the repurchase date of
the repurchase agreement. The Funds also invest in tri-party repurchase
agreements. Securities held as collateral for tri-party repurchase agreements
are maintained by the broker's custodian bank in a segregated account until the
repurchase date of the repurchase agreement. Provisions of the repurchase
agreements and the Trust's policies require that the market value of the
collateral, including accrued interest thereon, is sufficient in the event of
default by the counterparty. If the counterparty defaults and the value of the
collateral declines, or if the counterparty enters into an insolvency
proceeding, realization of the collateral by the Funds may be delayed or
limited.
REVERSE REPURCHASE AGREEMENTS -- The Small/Mid Cap Diversified Alpha and Core
Fixed Income Funds 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. Additional assets are
maintained in an account with the broker. The segregated assets may consist of
cash, U.S. Government securities, or other liquid securities at least equal in
value to the obligations under the reverse repurchase agreements. In the event
the buyer of securities under a reverse repurchase agreement files for
bankruptcy or becomes insolvent, the Fund's use of the proceeds under the
agreement may be restricted pending a determination by the other party, or its
trustee or receiver, whether to enforce the obligation to repurchase the
securities. There were no reverse repurchase agreements outstanding as of
September 30, 2008.
COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are
required to leave 112% in compensating balance with US Bank, the custodian of
the Trust, on the following day. Funds with positive cash balances in excess of
$100,000 are allowed to overdraw 90% of the balance with US Bank on the
following day.
EXPENSES -- Expenses that are directly related to one of the Funds are charged
directly to that Fund. Other operating expenses of the Funds are prorated to the
Funds on the basis of relative daily net assets.
CLASSES -- Class-specific expenses are borne by that class of shares. Income,
realized and unrealized gains/losses and non class-specific expenses are
allocated to the respective class on the basis of relative daily net assets.
FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the current
rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The Funds do not isolate that portion of gains and losses on investments in
equity securities that is due to changes in the foreign exchange rates from that
which is due to changes in market prices of equity securities.
The Funds report certain foreign-currency-related transactions as components of
realized gains for financial reporting purposes, whereas such components are
treated as ordinary income for Federal income tax purposes.
FORWARD FOREIGN CURRENCY CONTRACTS -- The Small Cap Growth, Global Managed
Volatility, Enhanced Income and Core Fixed Income Funds may enter into forward
foreign currency contracts as hedges against either specific transactions, fund
positions or anticipated fund positions. The Core Fixed Income Fund may also
engage in currency transactions to enhance the Fund's returns. All commitments
are "marked-to-market" daily at the applicable foreign exchange rate, and any
resulting unrealized gains or losses are recorded currently. The Small Cap
Growth, Global Managed Volatility, Enhanced Income and Core Fixed Income Funds
realize gains and losses at the time forward contracts are extinguished.
Unrealized gains or losses on outstanding positions in forward foreign currency
contracts held at the close of the period are recognized as ordinary income or
loss for Federal income tax purposes. The Funds could be exposed to risk if the
counterparties to the contracts are unable to meet the terms of the contract and
from unanticipated movements in the value of a foreign currency relative to the
U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed
on the Statement of Assets and Liabilities. At the year ended September 30,
2008, the Small Cap Growth Fund did not have any forward foreign currency
contracts outstanding.
FUTURES CONTRACTS -- All Funds, with the exception of the Real Estate and High
Yield Bond Funds, utilized futures contracts during the year or period ended
September 30, 2008. The Funds' investments in futures contracts are designed to
enable the Funds to more closely approximate the performance of their benchmark
indices. The Core Fixed Income Fund may use futures contracts for tactical
hedging purposes as well as to enhance the Fund's returns. Initial margin
SEI Institutional Managed Trust / Annual Report / September 30, 2008
222
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 Fund records 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
Statement of Assets and Liabilities.
OPTIONS/SWAPTIONS WRITING/PURCHASING -- Each Fund may invest in financial
options/swaptions contracts for the purpose of hedging its existing fund
securities, or securities that the Fund intends to purchase, against
fluctuations in fair value caused by changes in prevailing market interest
rates. The Core Fixed Income Fund may also invest in financial option/swaption
contracts to enhance the Fund's returns. When the 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 Large Cap Diversified Alpha, Small/Mid Cap
Diversified Alpha and Core Fixed Income Funds had option/swaption contracts as
of September 30, 2008 as disclosed in the Fund's Schedule of Investments.
The risk in writing a call option/swaption is that the Funds give up the
opportunity for profit if the market price of the security increases. The risk
in writing a put option/swaption is that the Funds may incur a loss if the
market price of the security decreases and the option/swaption is exercised. The
risk in purchasing an option/swaption is that the Funds pay a premium whether or
not the option/swaption is exercised. The Funds also have the additional risk of
being unable to enter into a closing transaction at an acceptable price if a
liquid secondary market does not exist. Option/swaption contracts also involve
the risk that they may not work as intended due to unanticipated developments in
market conditions or other causes.
Finally, the risk exists that losses on written options could exceed amounts
disclosed on the Statement of Assets and Liabilities.
Written option transactions entered into during the year ended September 30,
2008 are summarized as follows:
Large Cap Diversified
Alpha Fund
-------------------------
Number of Premium
Contracts ($ Thousands)
--------- -------------
Balance at the beginning of period 43 $ 7
Written -- --
Expired -- --
Closing Buys (43) (7)
--- ---
Balance at the end of period -- --
--- ---
Small/Mid Cap Diversified
Alpha Fund
-------------------------
Number of Premium
Contracts ($ Thousands)
--------- -------------
Balance at the beginning of period 7 $ 1
Written -- --
Expired -- --
Closing Buys (7) (1)
--- ---
Balance at the end of period -- --
--- ---
Core Fixed Income Fund
-------------------------
Number of Premium
Contracts ($ Thousands)
--------- -------------
Balance at the beginning of period 2,086 $ 1,344
Written 13,326 8,673
Expired (7,795) (5,017)
Closing Buys (4,546) (2,653)
------ -------
Balance at the end of period 3,071 2,347
------ -------
Written swaptions transactions entered into during the year ended September 30,
2008 are summarized as follows:
Core Fixed Income Fund
---------------------------
Notional
Amount Premium
(Thousands) ($ Thousands)
----------- -------------
Balance at the beginning of period 102,000 $ 2,255
Written 9,240 --
Expired -- --
Closing buys (78,240) (1,536)
------- -------
Balance at the end of period 33,000 $ 719
------- -------
At September 30, 2008, the Core Fixed Income Fund had cash and/or securities at
least equal to the value of written options/swaptions.
SECURITIES SOLD SHORT -- As consistent with the Funds' investment objectives,
the Funds 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
SEI Institutional Managed Trust / Annual Report / September 30, 2008
223
Notes to Financial Statements (Continued)
September 30, 2008
make delivery to the buyer. The 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 the Fund. Until the security is replaced, the 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, the 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 the Fund sold the security short, or a loss,
unlimited in size, will be recognized upon the close of a short sale.
Until a Fund closes its short position or replaces the borrowed security, the
Fund will: (a) maintain a segregated account containing cash or liquid
securities at such a level that (i) the amount deposited in the account plus the
amount deposited with the broker as collateral will equal the current value of
the security sold short; and (ii) the amount deposited in the segregated account
plus the amount deposited with the broker as collateral will not be less than
the market value of the security at the time the security was sold short, or (b)
otherwise cover the Fund's short positions.
SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an
agreement is made to exchange returns from predetermined investments or
instruments, including a particular interest rate, foreign currency, or "basket"
of securities representing a particular index. Interest rate swaps involve the
exchange by a Fund with another party of their respective commitments to pay or
receive interest (e.g., an exchange of floating rate payments for fixed rate
payments) with respect to a notional amount of principal. Credit-default swaps
involve periodic payments by the Fund or counterparty based on a specified rate
multiplied by a notional amount assigned to an underlying debt instrument or
group of debt instruments in exchange for the assumption of credit risk on the
same instruments. In the event of a credit event, usually in the form of a
credit rating downgrade, the party receiving periodic payments (i.e. floating
rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to
the recovery rate used to settle the contracts. The recovery rate is a function
of how many credit default swap investors wish to deliver the security or
receive the security. The recovery rate is determined through an auction
process. Total return swaps allow an investor to benefit from the cash flow
without ever actually owning the underlying security. The receiver must pay any
decline in value to the payer at the end of the total return swap. However, the
investor does not need to make a payment if there is no decline in price.
Payments can be made on various indices, bonds (i.e. mortgage backed securities,
bank debt and corporate), loans or commodities. The value of a total return swap
is equal to the change in value of the underlying asset versus the accrued
income payment based on LIBOR or some other form of indices on the notional
amount. Interest rate swaps involve the exchange by a Fund with another party of
their respective commitments to pay or receive interest (e.g., an exchange of
floating rate payments for fixed rate payments) with respect to a notional
amount of principal to manage the Fund's exposure to interest rates. Payments
received or made are recorded as realized gains or loss. The Fund could be
exposed to credit or market risk due to unfavorable changes in the fluctuation
of interest rates or if the counterparty defaults on its obligation to perform.
Risk of loss may exceed amounts recognized on the statement of assets and
liabilities. Interest rate swap contracts outstanding at period end, if any, are
listed after the Fund's portfolio. In connection with swap agreements securities
may be set aside as collateral by the Fund's custodian. A Fund may enter into
swap agreements in order to, among other things, change the maturity or duration
of the investment portfolio, to protect the Fund's value from changes in
interest rates, or to expose a Fund to a different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and
the resulting changes in market values, if any, are recorded as an unrealized
gain or loss in the Statement of Operations. Net payments of interest are
recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Statement of Assets
and Liabilities. Such risks involve the possibility 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.
DELAYED DELIVERY TRANSACTIONS -- The Core Fixed Income Fund may purchase or sell
securities on a when-issued or delayed delivery basis. These transactions
involve a commitment by the Fund to purchase or sell securities for a
predetermined price or yield, with payment and delivery taking place beyond the
customary settlement period. When delayed delivery purchases are outstanding,
the Fund will set aside liquid assets in an amount sufficient to meet the
purchase price. When purchasing a security on a delayed delivery basis, the Fund
assumes the rights and risks of ownership of the security, including the risk of
price and yield fluctuations, and takes such fluctuations into account when
determining its net asset value. The Fund may dispose of or renegotiate a
delayed delivery transaction after it is entered into, and may sell when-issued
securities before they are delivered, which may result in a capital gain or
loss. When the Fund has sold a security on a delayed delivery basis, the Fund
does not participate in future gains and losses with respect to the security.
COLLATERALIZED DEBT OBLIGATIONS -- The Funds 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.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
224
For CDOs, the cashflows from the trust are split into two or more portions,
called tranches, varying in risk and yield. The riskiest portion is the "equity"
tranche which bears the bulk of defaults from the bonds or loans in the trust
and serves to protect the other, more senior tranches from default in all but
the most severe circumstances. Since it is partially protected from defaults, a
senior tranche from a CDO trust typically has a higher rating and lower yield
than its underlying securities, and can be rated investment grade. Despite the
protection from the equity tranche, CDO tranches can experience substantial
losses due to actual defaults, increased sensitivity to defaults due to
collateral default and disappearance of protecting tranches, market anticipation
of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on its Class and its
collateral securities. Normally, CLOs and other CDOs are privately offered and
sold, and thus, are not registered under the securities laws. As a result,
investments in CDOs may be characterized by the Funds as illiquid securities;
however, an active dealer market may exist for CDOs, allowing a CDO to qualify
for Rule 144A transactions. In addition to the normal risks associated with
fixed income securities (e.g., interest rate risk and default risk), CDOs carry
additional risks including, but are not limited to: (i) the possibility that
distributions from collateral securities will not be adequate to make interest
or other payments; (ii) the quality of the collateral may decline in value or
default; (iii) the Funds may invest in CDOs that are subordinate to other
classes; and (iv) the complex structure of the security may not be fully
understood at the time of investment and may produce disputes with the issuer or
unexpected investment results.
ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or
disposed of in the ordinary course of business within seven days or less for its
approximate carrying value on the books of the Funds. Valuations of illiquid
securities may differ significantly from the values that would have been used
had an active market value for these securities existed.
RESTRICTED SECURITIES -- At September 30, 2008, the following Funds owned
private placement investments that were purchased through private offerings or
acquired through initial public offerings and cannot be sold without prior
registration under the Securities Act of 1933 or pursuant to an exemption
therefrom. In addition, the Funds have generally agreed to further restrictions
on the disposition of certain holdings as set forth in various agreements
entered into in connection with the purchase of these investments. These
investments are valued at fair value as determined in accordance with the
procedures approved by the Board of Trustees. The acquisition dates of these
investments, the enforceable right to acquire these securities, along with their
cost and values at September 30, 2008, were as follows:
RIGHT TO
NUMBER ACQUISITION ACQUIRE COST MARKET VALUE % OF NET
OF SHARES DATE DATE ($ THOUSANDS) ($ THOUSANDS) ASSETS
--------- ----------- -------- ------------- ------------- --------
SMALL CAP VALUE FUND
Verde Realty PIPE 21,100 02/16/07 02/16/07 $ 696 $ 696 0.08%
====== ====== ====
SMALL CAP GROWTH FUND
Rentech Warrant 19,400 04/20/07 04/20/07 $ -- $ 8 0.00%
Scorpio Mining PIPE 461,700 05/05/08 05/05/08 453 387 0.06
Thunderbird Resorts PIPE 153,500 11/15/07 11/15/07 1,382 1,381 0.22
Thunderbird Resorts PIPE 3,200 02/06/08 02/06/08 29 29 0.00
Value Creation 121,940 08/10/06 08/10/06 1,491 962 0.15
------ ------ ----
$3,355 $2,767 0.43%
====== ====== ====
SMALL/MID CAP DIVERSIFIED
ALPHA FUND
Rentech Warrant 1,000 05/30/07 05/30/07 $ -- $ -- 0.00%
Scorpio Mining PIPE 52,300 05/08/08 05/08/08 52 44 0.04
Thunderbird Resorts PIPE 15,300 11/15/07 11/15/07 138 138 0.13
Thunderbird Resorts PIPE 1,700 02/07/08 02/07/08 15 15 0.02
Value Creation 8,040 04/30/07 04/30/07 87 63 0.06
------ ------ ----
$ 292 $ 260 0.25%
====== ====== ====
REAL ESTATE FUND
Verde Realty PIPE 21,400 02/16/07 02/16/07 $ 706 $ 706 0.28%
====== ====== ====
CORE FIXED INCOME FUND
Allegheny Energy Supply 955 12/15/07 12/15/07 $1,034 $ 965 0.02%
Southern Natural Gas 1,115 10/19/07 10/19/07 1,089 987 0.03
------ ------ ----
$2,123 $1,952 0.05%
====== ====== ====
SEI Institutional Managed Trust / Annual Report / September 30, 2008
225
Notes to Financial Statements (Continued)
September 30, 2008
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income are declared and paid to shareholders quarterly for the Large Cap Value,
Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500
Index, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap
Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Tax-Managed Managed
Volatility, Real Estate and Enhanced Income Funds; are declared and paid
annually for the Global Managed Volatility Fund; and declared daily and paid
monthly for the Core Fixed Income and High Yield Bond Funds. Any net realized
capital gains on sales of securities are distributed to shareholders at least
annually. Dividends and distributions are recorded on the ex-dividend date.
The Large Cap Value, Large Cap Diversified Alpha, Small Cap Value, Tax-Managed
Small Cap, Mid-Cap and U.S. Managed Volatility Funds utilized earnings and
profits distributed to shareholders on redemption of shares as a part of the
dividends paid deduction for income tax purposes.
INVESTMENTS IN REITS -- With respect to the Real Estate Fund, dividend income is
recorded based on the income included in distributions received from the REIT
investments using published REIT reclassifications including some management
estimates when actual amounts are not available. Distributions received in
excess of this estimated amount are recorded as a reduction of the cost of
investments or reclassified to capital gains. The actual amounts of income,
return of capital, and capital gains are only determined by each REIT after its
fiscal year-end, and may differ from the estimated amounts.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments
Global Funds Services (the "Administrator") are parties to an amended and
restated Administration and Transfer Agency Agreement dated December 10, 2003
under which the Administrator provides administrative and transfer agency
services to the Funds for an annual fee of 0.35% of the average daily net assets
of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap Class A, Large
Cap Diversified Alpha, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap,
Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global
Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income
and High Yield Bond Funds; 0.15% of the average daily net assets of the
Tax-Managed Large Cap Class Y, 0.22% of the average daily net assets of the S&P
500 Index Fund; and 0.28% of the average daily net assets of the Core Fixed
Income Fund. The Administrator has agreed voluntarily to waive all or a portion
of its fee in order to limit the operating expenses of a Fund. Any such waiver
is voluntary and may be terminated at any time at the Administrator's sole
discretion.
INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC")
serves as investment adviser (the "Adviser") to each Fund. In connection with
serving as Adviser, SIMC is entitled to a fee, which is calculated daily and
paid monthly, based on the average daily net assets of each Fund. SIMC has
voluntarily agreed to waive a portion of its fee so that the total annual
expenses of each Fund, exclusive of short sale expenses, will not exceed certain
voluntary expense limitations adopted by SIMC. These waivers may be terminated
at any time. Accordingly, the advisory fee and voluntary expense limitations for
each Fund are as follows:
Voluntary
Expense
Voluntary Limitations
Advisory Expense Prior to
Fees Limitations 03/01/08
-------- ----------- -----------
Large Cap Value Fund, Class A 0.3500% 0.8900% 0.8600%
Large Cap Value Fund, Class I 0.3500 1.1100 1.1100
Large Cap Growth Fund, Class A 0.4000 0.8900 0.8600
Large Cap Growth Fund, Class I 0.4000 1.1100 0.1100
Tax-Managed Large Cap Fund,
Class A 0.4000 0.8900 0.8600
Tax-Managed Large Cap Fund,
Class Y 0.4000 0.5600 0.5600
Large Cap Diversified Alpha Fund,
Class A 0.4000 0.9500 0.9500
Large Cap Diversified Alpha Fund,
Class I 0.4000 1.2000 1.2000
S&P 500 Index Fund, Class A 0.0300 0.4300 0.4000
S&P 500 Index Fund, Class E 0.0300 0.2500 0.2500
S&P 500 Index Fund, Class I 0.0300 0.6500 0.6500
Small Cap Value Fund, Class A 0.6500 1.1400 1.1100
Small Cap Value Fund, Class I 0.6500 1.3600 1.3600
Small Cap Growth Fund, Class A 0.6500 1.1100 1.1100
Small Cap Growth Fund, Class I 0.6500 1.3600 1.3600
Tax-Managed Small Cap Fund,
Class A 0.6500 1.1100 1.1100
Small/Mid Cap Diversified Alpha
Fund, Class A 0.7500 1.2000 1.2000
Small/Mid Cap Diversified Alpha
Fund, Class I 0.7500 1.4500 1.4500
Mid-Cap Fund, Class A 0.4000 1.0200 1.0100
Mid-Cap Fund, Class I 0.4000 1.2600 1.2600
U.S. Managed Volatility Fund,
Class A 0.6500 1.0000 1.0000
U.S. Managed Volatility Fund,
Class I 0.6500 1.2500 1.2500
Global Managed Volatility Fund,
Class A 0.6500 1.1100 1.1100
Global Managed Volatility Fund,
Class I 0.6500 1.3600 1.3600
Tax-Managed Managed Volatility
Fund, Class A 0.6500 1.0000 1.0000
Real Estate Fund, Class A 0.6500 1.1400 1.1100
Real Estate Fund, Class I 0.6500 1.3600 1.3600
Enhanced Income Fund, Class A 0.4000 0.6000 0.6000
Enhanced Income Fund, Class I 0.4000 0.8500 0.8500
Core Fixed Income Fund, Class A 0.2750 0.6700 0.6400
Core Fixed Income Fund, Class I 0.2750 0.8900 0.8900
High Yield Bond Fund, Class A 0.4875 0.8900 0.8600
High Yield Bond Fund, Class I 0.4875 1.1100 1.1100
SEI Institutional Managed Trust / Annual Report / September 30, 2008
226
As of September 30, 2008, SIMC has entered into investment sub-advisory
agreements with the following parties:
Investment Sub-Adviser
LARGE CAP VALUE FUND
AllianceBernstein LP
Aronson + Johnson + Ortiz, LP
INTECH Investment Management, LLC
Legg Mason Capital
Management Inc.
LSV Asset Management
LARGE CAP GROWTH FUND
Delaware Management Company
INTECH Investment Management, LLC
Goldman Sachs Asset Management, L.P.
Legg Mason Capital
Management Inc.
Montag & Caldwell, Inc.
Quantitative Management Associates LLC
TAX-MANAGED LARGE CAP FUND
AllianceBernstein LP
Aronson + Johnson + Ortiz, LP
Delaware Management Company
Goldman Sachs Asset Management, L.P.
Legg Mason Capital Management Inc.
LSV Asset Management
Montag & Caldwell, Inc.
Parametric Portfolio Associates
Quantitative Management Associates LLC
LARGE CAP DIVERSIFIED ALPHA FUND
Analytic Investors, LLC
Aronson + Johnson + Ortiz, LP
Delaware Management Company
INTECH Investment Management, LLC
Legg Mason Capital Management Inc.
Quantitative Management Associates LLC
Smith Breeden Associates, Inc.
S&P 500 INDEX FUND
SSgA Funds Management, Inc.
SMALL CAP VALUE FUND
Artisan Partners Limited Partnership
BlackRock Capital Management, Inc.
LSV Asset Management
Lee Munder Investments, Ltd.
Martingale Asset Management, L.P.
Neuberger Berman Management LLC
PanAgora Asset Management, Inc.*
Robeco Investment Management, INC.
Wellington Management Company, LLP
SMALL CAP GROWTH FUND
Janus Capital Management, Inc.
Lee Munder Investments, Ltd.
Los Angeles Capital Management and Equity Research Inc.
Martingale Asset Management, L.P.
Mazama Capital Management, Inc.
McKinley Capital Management Inc.
Investment Sub-Adviser
SMALL CAP GROWTH FUND (continued)
Oppenheimer Capital LLC
Wellington Management Company, LLP
TAX-MANAGED SMALL CAP FUND
BlackRock Capital Management, Inc.
Los Angeles Capital Management and Equity Research, Inc.
LSV Asset Management
Mazama Capital Management, Inc.
McKinley Capital Management Inc.
Neuberger Berman Management LLC
Parametric Portfolio Associates
Wells Capital Management, Inc.
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Integrity Asset Management LLC
Los Angeles Capital Management and Equity Research, Inc.
Martingale Asset Management, L.P.
PanAgora Asset Management, Inc.
Smith Breeden Associates, Inc.
Wellington Management Company, LLP
MID-CAP FUND
Martingale Asset Management, L.P.
Quantitative Management Associates LLC
U.S. MANAGED VOLATILITY FUND
Analytic Investors, LLC
Aronson + Johnson + Ortiz, LP
GLOBAL MANAGED VOLATILITY FUND
Acadian Asset Management, LLC
Analytic Investors, LLC
TAX-MANAGED MANAGED VOLATILITY FUND
Analytic Investors, LLC
Aronson + Johnson + Ortiz, LP
Parametric Portfolio Associates
REAL ESTATE FUND
Security Capital Research and Management, Inc.
Wellington Management Company, LLP
ENHANCED INCOME FUND
Highland Capital Management, L.P.
Record Currency Management Limited
UBS Global Asset Management (Americas) Inc.
Wellington Management Company, LLP
CORE FIXED INCOME FUND
Metropolitan West Asset Management LLC
Smith Breeden Associates, Inc.
Wells Capital Management, Inc.
Western Asset Management Company
Western Asset Management Company Limited
HIGH YIELD BOND FUND
Ares Management LLC
Delaware Management Company
J.P. Morgan Investment Management, Inc.
Nomura Corporate Research and Asset Management, Inc.
* Not funded
Under the investment sub-advisory agreements, each party receives an annual fee
paid by SIMC.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
227
Notes to Financial Statements (Continued)
September 30, 2008
DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"),
a wholly owned subsidiary of SEI Investments Company ("SEI"), serves as each
Fund's Distributor pursuant to a distribution agreement with the Trust. The
Trust has adopted a shareholder servicing plan for Class A, Class E, Class I and
Class Y shares (the "Shareholder Servicing Plans") under which a shareholder
servicing fee of up to 0.25% of average daily net assets attributable to Class A
shares of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large
Cap Diversified Alpha, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap,
Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global
Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced
Income, Core Fixed Income and High Yield Bond Funds, Class E and Class I shares,
and a shareholder servicing fee of up to 0.15% of average daily net assets
attributable to Class A shares of the S&P 500 Index Fund and Class Y shares,
will be paid to the Distributor. In addition to the Shareholder Servicing Plans,
the Class I shares have adopted administrative service plans that provide for
administrative service fees payable to the Distributor of up to 0.25% of the
average daily net assets attributed to that class.
OTHER -- The Distribution Agreement between the Distributor and the Trust
provides that the Distributor may receive compensation on fund transactions
effected for the Trust in accordance with the rules of the Securities and
Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions
may result in brokerage commissions being paid to the Distributor. SEC rules
require that such commissions not exceed usual and customary commissions.
Such commissions for the year ended September 30, 2008 were as follows ($
Thousands):
Large Cap Value Fund $ 110
Large Cap Growth Fund 518
Tax-Managed Large Cap Fund 388
Large Cap Diversified Alpha Fund 96
Small Cap Value Fund 283
Small Cap Growth Fund 341
Tax-Managed Small Cap Fund 190
Small/Mid Cap Diversified Alpha Fund 4
Real Estate Fund 17
------
$1,947
======
Under both the Shareholder Servicing Plans and administrative service plan, the
Distributor may retain as profit any difference between the fee it receives and
the amount it pays to third parties. For the year ended September 30, 2008, the
Distributor retained 100% of the shareholder servicing fees, less the waiver,
and 100% of the administration servicing fees.
Certain officers and/or trustees of the Trust are also officers of the
Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
A portion of the services provided by the Chief Compliance Officer ("CCO") and
his staff, whom are employees of the Administrator, are paid for by the Trust as
incurred. The services include regulatory oversight of the Trust's Adviser,
sub-advisers and service providers as required by SEC regulations. The CCO's
services have been approved by and are reviewed by the Board.
LSV Asset Management (a partially owned subsidiary of SIMC) serves as the
sub-adviser to the Large Cap Value, Tax-Managed Large Cap, Small Cap Value and
Tax-Managed Small Cap Funds. For this service LSV Asset Management is entitled
to receive a fee from SIMC. Such fees for the year ended September 30, 2008 were
as follows ($ Thousands):
Large Cap Value Fund $1,065
Tax-Managed Large Cap Fund 482
Small Cap Value Fund 504
Tax-Managed Small Cap Fund 242
------
$2,293
======
FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the
Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses
reduced, which were used to pay third party expenses, and the effect on the
Fund's expense ratio, as a percentage of the Fund's average daily net assets for
the year ended September 30, 2008, can be found on the Statement of Operations.
INVESTMENT IN AFFILIATED SECURITY -- The Funds may invest the cash collateral
from the securities lending program in the SEI Liquidity Fund, L.P.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
228
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the years or period ended September 30,
LARGE CAP
LARGE CAP LARGE CAP TAX-MANAGED DIVERSIFIED
VALUE FUND GROWTH FUND LARGE CAP FUND ALPHA FUND
---------------- ---------------- ---------------- ----------------
2008 2007 2008 2007 2008 2007 2008 2007
------- ------- ------- ------- ------- ------- ------- -------
Class A:
Shares Issued 31,408 22,820 26,830 24,904 39,724 37,459 51,288 65,075
Shares Issued in Lieu of
Dividends & Distributions 17,150 16,663 491 339 2,117 1,745 7,606 2,114
Shares Redeemed (48,667) (48,402) (45,519) (42,404) (44,699) (29,612) (47,337) (30,979)
------- ------- ------- ------- ------- ------- ------- -------
Total Class A Transactions (109) (8,919) (18,198) (17,161) (2,858) 9,592 11,557 36,210
------- ------- ------- ------- ------- ------- ------- -------
Class I:
Shares Issued 258 467 254 339 -- -- 6 68
Shares Issued in Lieu of
Dividends & Distributions 116 151 1 -- -- -- 2 --
Shares Redeemed (900) (735) (905) (673) -- -- (3) (27)
------- ------- ------- ------- ------- ------- ------- -------
Total Class I Transactions (526) (117) (650) (334) -- -- 5 41
------- ------- ------- ------- ------- ------- ------- -------
Class Y:
Shares Issued -- -- -- -- 14 7 -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- -- 3 3 -- --
Shares Redeemed -- -- -- -- (48) (49) -- --
------- ------- ------- ------- ------- ------- ------- -------
Total Class Y Transactions -- -- -- -- (31) (39) -- --
------- ------- ------- ------- ------- ------- ------- -------
Net Increase (Decrease) in Capital
Share Transactions (635) (9,036) (18,848) (17,495) (2,889) 9,553 11,562 36,251
------- ------- ------- ------- ------- ------- ------- -------
S&P 500 SMALL CAP SMALL CAP TAX-MANAGED
INDEX FUND(3) VALUE FUND GROWTH FUND SMALL CAP FUND
----------------------------- ----------------- ---------------- --------------
2008 2007(1) 2007(2) 2008 2007 2008 2007 2008 2007
------- ------- ----------- -------- ------- ------- ------- ----- -------
Class A:
Shares Issued 9,729 1,250 2,517 15,531 11,573 10,427 12,999 9,660 7,958
Shares Issued in Lieu of
Dividends & Distributions 984 53 445 7,807 5,373 4,398 -- 1,848 1,709
Shares Redeemed (10,992) (1,749) (3,966) (21,084) (18,686)(4) (21,820) (20,205)(4) (9,652) (4,181)
------- ------ ------- ------- ------- ------- ------- ------ ------
Total Class A Transactions (279) (446) (1,004) 2,254 (1,740) (6,995) (7,206) 1,856 5,486
------- ------ ------- ------- ------- ------- ------- ------ ------
Class E:
Shares Issued 3,760 1,414 2,742 -- -- -- -- -- --
Shares Issued in Lieu of
Dividends & Distributions 1,550 89 908 -- -- -- -- -- --
Shares Redeemed (4,458) (4,713) (20,320)(4) -- -- -- -- -- --
------- ------ ------- ------- ------- ------- ------- ------ ------
Total Class E Transactions 852 (3,210) (16,670) -- -- -- -- -- --
------- ------ ------- ------- ------- ------- ------- ------ ------
Class I:
Shares Issued 75 58 123 327 310 108 190 -- --
Shares Issued in Lieu of
Dividends & Distributions 18 1 10 97 70 31 -- -- --
Shares Redeemed (220) (109) (129) (541) (388) (325) (408) -- --
------- ------ ------- ------- ------- ------- ------- ------ ------
Total Class I Transactions (127) (50) 4 (117) (8) (186) (218) -- --
------- ------ ------- ------- ------- ------- ------- ------ ------
Net Increase (Decrease) in
Capital Share Transactions 446 (3,706) (17,670) 2,137 (1,748) (7,181) (7,424) 1,856 5,486
------- ------ ------- ------- ------- ------- ------- ------ ------
(1) For the six months ended September 30, 2007. Effective September 17, 2007
the Fund's fiscal year end changed from March 31 to September 30.
(2) For the year ended March 31.
(3) On September 14, 2007, the SEI Institutional Managed Trust acquired the net
assets of the SEI S&P 500 Index Fund in a tax-free reorganization.
(4) Includes redemption as a result of in-kind transfer of securities (see Note
9).
Amounts designated as "--" are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
229
Notes to Financial Statements (Continued)
September 30, 2008
SMALL/MID TAX-MANAGED
DIVERSIFIED MID-CAP U.S. MANAGED GLOBAL MANAGED MANAGED
ALPHA FUND(1) FUND VOLATILITY FUND VOLATILITY FUND VOLATILITY FUND (2)
-------------- --------------- ---------------- ---------------- ------------------
2008 2007 2008 2007 2008 2007 2008 2007 2008
------ ------ ------ ------ ------- ------- ------- ------ ------------------
Class A:
Shares Issued 6,741 13,754 4,773 7,597 18,890 28,238 11,668 20,365 12,750
Shares Issued in Lieu of
Dividends & Distributions 155 66 851 300 2,023 1,043 736 204 36
Shares Redeemed (5,169) (881) (5,364) (4,069) (23,693) (10,963) (14,456) (5,154) (2,080)
------ ------ ------ ------ ------- ------- ------- ------ ------
Total Class A Transactions 1,727 12,939 260 3,828 (2,780) 18,318 (2,052) 15,415 10,706
------ ------ ------ ------ ------- ------- ------- ------ ------
Class I:
Shares Issued 3 -- 10 -- 1 -- 2 -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- 1 -- -- -- -- -- --
Shares Redeemed (1) -- (8) -- -- -- (1) -- --
------ ------ ------ ------ ------- ------- ------- ------ ------
Total Class I Transactions 2 -- 3 -- 1 -- 1 -- --
------ ------ ------ ------ ------- ------- ------- ------ ------
Net Increase (Decrease) in
Capital Share Transactions 1,729 12,939 263 3,828 (2,779) 18,318 (2,051) 15,415 10,706
------ ------ ------ ------ ------- ------- ------- ------ ------
REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
FUND INCOME FUND INCOME FUND BOND FUND
-------------- ---------------- ------------------ ----------------
2008 2007 2008 2007 2008 2007 2008 2007
------ ------ ------- ------- -------- -------- ------- -------
Class A:
Shares Issued 13,153 10,713 22,832 60,371 96,550 115,881 72,483 59,539
Shares Issued in Lieu of
Dividends & Distributions 1,356 720 2,805 2,090 20,633 19,804 15,447 10,186
Shares Redeemed (9,661) (8,428) (49,890) (23,206) (174,884) (101,625) (75,185) (46,105)
------ ------ ------- ------- -------- -------- ------- -------
Total Class A Transactions 4,848 3,005 (24,253) 39,255 (57,701) 34,060 12,745 23,620
------ ------ ------- ------- -------- -------- ------- -------
Class I:
Shares Issued 2 -- 1 1 662 669 10 --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- -- 42 62 -- --
Shares Redeemed -- -- -- -- (1,105) (830) (3) --
------ ------ ------- ------- -------- -------- ------- -------
Total Class I Transactions 2 -- 1 1 (401) (99) 7 --
------ ------ ------- ------- -------- -------- ------- -------
Net Increase (Decrease) in Capital
Share Transactions 4,850 3,005 (24,252) 39,256 (58,102) 33,961 12,752 23,620
------ ------ ------- ------- -------- -------- ------- -------
(1) The Small/Mid Cap Diversified Alpha Fund commenced operations on December
20, 2006.
(2) The Tax-Managed Managed Volatility Fund commenced operations on December
20, 2007.
Amounts designated as "--" are $0 or have been rounded to $0.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other
than temporary cash investments and futures, during the year or period ended
September 30, 2008, were as follows:
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
------------- -------------- -------------
LARGE CAP VALUE FUND
Purchases ........... $-- $1,558,373 $1,558,373
Sales ............... -- 1,860,932 1,860,932
LARGE CAP GROWTH FUND
Purchases ........... -- 2,442,016 2,442,016
Sales ............... -- 2,790,677 2,790,677
TAX-MANAGED
LARGE CAP FUND
Purchases ........... -- 1,558,456 1,558,456
Sales ............... -- 1,556,928 1,556,928
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- --------------
LARGE CAP DIVERSIFIED
ALPHA FUND
Purchases ........... $990,956 $ 622,953 $1,613,909
Sales ............... 949,510 622,602 1,572,112
S&P 500 INDEX FUND
Purchases ........... -- 397,881 397,881
Sales ............... -- 432,160 432,160
SMALL CAP VALUE FUND
Purchases ........... -- 863,313 863,313
Sales ............... -- 964,321 964,321
SMALL CAP GROWTH FUND
Purchases ........... -- 1,082,425 1,082,425
Sales ............... -- 1,278,992 1,278,992
SEI Institutional Managed Trust / Annual Report / September 30, 2008
230
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- -------------
TAX-MANAGED SMALL CAP FUND
Purchases .......................... $ -- $ 355,101 $ 355,101
Sales .............................. -- 346,713 346,713
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Purchases .......................... 179,486 65,889 245,375
Sales .............................. 180,716 53,689 234,405
MID-CAP FUND
Purchases .......................... -- 206,087 206,087
Sales .............................. -- 217,539 217,539
U.S. MANAGED VOLATILITY FUND
Purchases .......................... -- 435,052 435,052
Sales .............................. -- 470,870 470,870
GLOBAL MANAGED VOLATILITY FUND
Purchases .......................... -- 253,428 253,428
Sales .............................. -- 288,281 288,281
TAX-MANAGED MANAGED VOLATILITY FUND+
Purchases .......................... -- 134,205 134,205
Sales .............................. -- 40,401 40,401
REAL ESTATE FUND
Purchases .......................... -- 174,212 174,212
Sales .............................. -- 122,839 122,839
ENHANCED INCOME FUND
Purchases .......................... 59,130 13,400 72,530
Sales .............................. 77,389 124,618 202,007
CORE FIXED INCOME FUND
Purchases .......................... 12,987,961 1,321,124 14,309,085
Sales .............................. 13,683,055 1,136,374 14,819,429
HIGH YIELD BOND FUND
Purchases .......................... -- 753,605 753,605
Sales .............................. -- 689,927 689,927
+ For the period December 20, 2007 through September 30, 2008.
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of The Internal Revenue Code and distribute all of
its taxable income (including net capital gains). Accordingly, no provision for
Federal income taxes is required.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid-in capital, undistributed net investment
income or accumulated net realized gain, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences, primarily
attributable to different treatment for gains and losses on paydowns of
mortgage- and asset-backed securities for tax purposes, return of capital, swap
income reclassification, nontaxable redemption in-kind gain/loss, distribution
reclassification, REIT income reclassification and utilization of earnings and
profits on shareholder redemptions and net operating losses have been
reclassified to/from the following accounts as of September 30, 2008:
Undistributed Accumulated
Paid-in Net Investment Realized
Capital Income/(Loss) Gain/(Loss)
($ Thousands) ($ Thousands) ($ Thousands)
------------- -------------- -------------
Large Cap Value Fund $ -- $ (37) $ 37
Large Cap Growth Fund -- (93) 93
Tax-Managed Large Cap Fund (437) 530 (93)
Large Cap Diversified Alpha Fund -- (314) 314
S&P 500 Index Fund 2,637 150 (2,787)
Small Cap Value Fund 637 879 (1,516)
Small Cap Growth Fund -- 1,034 (1,034)
Tax-Managed Small Cap Fund -- 60 (60)
Small/Mid Cap Diversified Alpha Fund (3,564) 401 3,163
Mid-Cap Fund -- 66 (66)
U.S. Managed Volatility Fund -- (48) 48
Global Managed Volatility Fund (4,752) 1,162 3,590
Real Estate Fund (1,951) 4,319 (2,368)
Enhanced Income Fund -- (4,913) 4,913
Core Fixed Income Fund -- (4,107) 4,107
High Yield Bond Fund -- (15,600) 15,600
The tax character of dividends and distributions paid during the years or period
ended September 30, 2008 and September 30, 2007 (unless otherwise indicated) was
as follows:
Ordinary Long-term Return
Income Capital Gain of Capital Total
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- -------------
Large Cap Value Fund 2008 $93,371 $282,073 $-- $375,444
2007 89,084 321,001 -- 410,085
Large Cap Growth Fund 2008 11,663 -- -- 11,663
2007 7,665 -- -- 7,665
Tax-Managed Large Cap Fund 2008 30,277 -- -- 30,277
2007 25,221 -- -- 25,221
Large Cap Diversified Alpha Fund 2008 51,516 30,983 -- 82,499
2007 15,521 7,983 -- 23,504
SEI Institutional Managed Trust / Annual Report / September 30, 2008
231
Notes to Financial Statements (Continued)
September 30, 2008
Ordinary Long-term Return
Income Capital Gain of Capital Total
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- -------------
S&P 500 Index Fund 2008 $ 30,514 $ 81,651 $ -- $112,165
2007(1) 6,937 -- -- 6,937
2007(2) 33,765 26,542 -- 60,307
Small Cap Value Fund 2008 35,546 106,276 -- 141,822
2007 28,891 92,533 -- 121,424
Small Cap Growth Fund 2008 728 86,250 -- 86,978
Tax-Managed Small Cap Fund 2008 4,502 20,515 -- 25,017
2007 4,745 19,830 -- 24,575
Small/Mid Cap Diversified Alpha Fund 2008 110 -- 1,245 1,355
2007 699 -- -- 699
Mid-Cap Fund 2008 7,244 10,547 -- 17,791
2007 1,396 6,038 -- 7,434
U.S. Managed Volatility Fund 2008 15,544 11,019 -- 26,563
2007 9,194 4,209 -- 13,403
Global Managed Volatility Fund 2008 7,306 774 -- 8,080
2007 2,197 45 -- 2,242
Tax Managed Volatility Fund 2008 375 -- -- 375
Real Estate Fund 2008 8,331 11,379 1,951 21,661
2007 6,013 8,207 159 14,379
Enhanced Income Fund 2008 27,075 -- -- 27,075
2007 21,572 -- -- 21,572
Core Fixed Income Fund 2008 217,874 -- -- 217,874
2007 215,422 -- -- 215,422
High Yield Bond Fund 2008 123,943 -- -- 123,943
2007 93,629 -- -- 93,629
(1) For the six months ended September 30, 2007. The Fund's fiscal year end
changed from March 31 to September 30.
(2) For the year ended March 31.
As of September 30, 2008, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
Total
Post Distributable
Undistributed Undistributed Capital Post October Unrealized Other Earnings
Ordinary Long-Term Loss October Currency Appreciation Temporary (Accumulated
Income Capital Gain Carryforwards Losses Losses (Depreciation) Differences Losses)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- ------------- ------------- -------------- ------------- -------------
Large Cap Value
Fund $13,491 $ -- $ -- $ (30,481) $ -- $(170,826) $ -- $ (187,816)
Large Cap Growth
Fund 2,429 -- (1,025,029) -- -- (68,175) -- (1,090,775)
Tax-Managed Large
Cap Fund 6,490 -- (271,803) (9,561) -- (7,810) 1 (282,683)
Large Cap
Diversified
Alpha Fund 2,506 -- (3,489) (153,227) -- (183,163) 50 (337,323)
S&P 500 Index Fund 6,652 10,295 -- -- -- 517,592 -- 534,539
Small Cap Value
Fund 2,675 3,167 -- (26,795) (15) (53,268) -- (74,236)
Small Cap Growth
Fund 79 -- -- (82,461) (63) (137,565) (1,007) (221,017)
Tax-Managed Small
Cap Fund 379 -- -- (11,615) -- (23,994) -- (35,230)
Small/Mid Cap
Diversified
Alpha Fund -- -- (1,577) (18,479) (3) (18,090) 19 (38,130)
Mid-Cap Fund 236 -- (303) (16,941) -- (22,274) -- (39,282)
U.S. Managed
Volatility Fund 1,257 -- -- (9,680) -- (20,836) -- (29,259)
Global Managed
Volatility Fund -- -- -- (17,684) (2,362) (10,989) (1,734) (32,769)
Tax Managed Managed
Volatility Fund 369 -- -- (3,423) -- (3,589) -- (6,643)
Real Estate Fund* 3,234 (10,928) -- -- (5) (15,021) (254) (22,974)
Enhanced Income
Fund 5,056 -- (3,953) (27,938) (4,237) (67,321) 869 (97,524)
Core Fixed Income
Fund 13,237 -- (50,341) -- -- (370,135) (21,754) (428,993)
High Yield Bond
Fund 18,715 -- (158,425) (48,103) -- (248,318) (33,925) (470,056)
* Information reflects Fund activity based on Fund's December 31, 2007 tax
reporting year.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
232
Post October losses represent losses realized on investment transactions from
November 1, 2007 through September 30, 2008 that, in accordance with Federal
income tax regulations, the Funds may defer and treat as having arisen in the
following fiscal year. For Federal income tax purposes, capital loss
carryforwards may be carried forward and applied against future capital gains as
follows:
Total Capital
Expires Expires Expires Expires Expires Expires Expires Loss
2016 2015 2014 2013 2012 2011 2010 Carryforwards
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
Large Cap Growth
Fund $ -- $ -- $ -- $-- $ 7,113 $625,971 $391,945 $1,025,029
Tax-Managed Large
Cap Fund -- -- -- -- 16,066 203,461 52,276 271,803
Large Cap
Diversified
Alpha Fund 3,489 -- -- -- -- -- -- 3,489
Small/Mid Cap
Diversified
Alpha Fund 1,577 -- -- -- -- -- -- 1,577
Mid-Cap Fund 303 -- -- -- -- -- -- 303
Enhanced Income
Fund 3,427 526 -- -- -- -- -- 3,953
Core Fixed Income
Fund 1,574 40,684 8,083 -- -- -- -- 50,341
High Yield Bond
Fund 3,037 21,474 8,149 -- -- 57,113 68,652 158,425
During the year ended September 30, 2008, the Large Cap Growth, Tax-Managed
Large Cap and Core Fixed Income Fund utilized $56,336,044, $18,155,675 and
$8,777,535, respectively, of capital loss carryforward to offset capital gains.
For Federal income tax purposes, the cost of securities owned at September 30,
2008, and the net realized gains or losses on securities sold for the period,
were different from amounts reported for financial reporting purposes, primarily
due to wash sales which cannot be used for Federal income tax purposes in the
current year and have been deferred for use in future years. The Federal tax
cost and aggregate gross unrealized appreciation and depreciation on investments
held by the Funds at September 30, 2008, were as follows:
Net Unrealized
Federal Appreciated Depreciated Appreciation/
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- --------------
Large Cap Value Fund $2,943,425 $334,236 $(505,062) $(170,826)
Large Cap Growth Fund 2,797,151 327,398 (395,573) (68,175)
Tax-Managed Large Cap Fund 2,454,048 346,213 (354,023) (7,810)
Large Cap Diversified Alpha Fund 1,705,351 110,405 (325,131) (214,726)
S&P 500 Index Fund 912,027 621,209 (103,617) 517,592
Small Cap Value Fund 1,188,290 93,123 (146,391) (53,268)
Small Cap Growth Fund 990,354 41,688 (179,246) (137,558)
Tax-Managed Small Cap Fund 360,665 36,211 (60,205) (23,994)
Small/Mid Cap Diversified Alpha Fund 147,353 6,954 (25,420) (18,466)
Mid-Cap Fund 173,277 3,769 (26,043) (22,274)
U.S. Managed Volatility Fund 472,499 26,036 (46,872) (20,836)
Global Managed Volatility Fund 205,826 263,774 (276,192) (12,418)
Tax-Managed Managed Volatility Fund 100,902 3,382 (6,971) (3,589)
Real Estate Fund 373,298 24,569 (39,590) (15,021)
Net Unrealized
Federal Appreciated Depreciated Appreciation/
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- --------------
Enhanced Income Fund $ 390,152 $ 571 $ (66,978) $ (66,407)
Core Fixed Income Fund 5,041,239 68,566 (439,669) (371,103)
High Yield Bond Fund 1,449,125 2,054 (250,372) (248,318)
Management has analyzed the Funds' tax position taken on federal income tax
returns for all open tax years and has concluded that as of September 30, 2008,
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.
7. SECURITIES LENDING
Each Fund may lend portfolio securities to brokers, dealers and other financial
organizations that meet capital and other credit requirements or other criteria
established by the Trust's Board of Trustees. These loans may not exceed 33 1/3%
of the total asset value of the Fund (including the loan collateral). No Fund
will lend portfolio securities to its Adviser, sub-adviser or their affiliates
unless it has applied for and received specific authority to do so from the SEC.
Loans of portfolio securities will be fully collateralized by cash. Collateral
will be maintained in an amount equal to at least 100% of the current market
value of the loaned securities by marking to market daily, although the borrower
will be required to deliver collateral between 102% and 105% of the market value
of borrowed securities for domestic and foreign securities, respectively.
However, due to market fluctuations during the day, the value of securities
loaned on a particular day may, during the course of the day, exceed the value
of collateral. On each business day, the amount of collateral is adjusted based
on the prior day's market fluctuations and the current day's lending activity.
Income from lending activity is determined by the amount of interest
SEI Institutional Managed Trust / Annual Report / September 30, 2008
233
Notes to Financial Statements (Concluded)
September 30, 2008
earned on collateral, less any amounts payable to the borrowers of the
securities and the lending agent. Lending securities involves certain risks,
including the risk that the Fund may be delayed or prevented from recovering the
collateral if the borrower fails to return the securities.
Cash collateral received in connection with securities lending is invested in
short-term investments by the lending agent. These investments may include the
SEI Liquidity Fund L.P., repurchase agreements, which are collateralized by
United States Treasury and Government Agency securities, and high-quality,
short-term instruments, such as floating rate corporate obligations, commercial
paper, and private placements with an average weighted maturity not to exceed 60
days and a maturity not to exceed 397 days. There is no guarantee that these
investments will not lose value.
8. CONCENTRATIONS/RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications by the Funds to the counterparty to the contract. The
Funds' maximum exposure under these arrangements is dependent on future claims
that may be made against the Funds and, therefore, cannot be estimated; however,
based on experience, the risk of loss from such claims is considered remote.
The market values of the Core Fixed Income and High Yield Bond Funds'
investments will change in response to interest rate changes and other factors.
During periods of falling interest rates, the values of fixed income securities
generally rise. Conversely, during periods of rising interest rates, the values
of such securities generally decline. Changes by recognized rating agencies in
the ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
9. IN-KIND TRANSFER OF SECURITIES
During the year ended March 31, 2007, the S&P 500 Index Fund redeemed shares of
beneficial interest in exchange for securities. The securities were transferred
at their current value on the date of transaction.
Transaction Date Shares Redeemed Value Gain
- ---------------- --------------- ----------- ----------
10/31/06 1,159,503 $47,458,439 $4,367,598
During the year ended September 30, 2007, the Small Cap Value and Small Cap
Growth Funds redeemed shares of beneficial interest in exchange for securities.
The securities were transferred at their current value on the date of
transaction.
Transaction Shares Gain
Date Redeemed Value (Loss)
----------- --------- ----------- ------------
Small Cap
Value Fund 10/31/06 2,111,117 $47,246,783 $ 2,167,503
Small Cap
Growth Fund 10/31/06 3,291,723 64,649,433 (4,305,289)
For the year ended September 30, 2008 there were no In-Kind transfers of
securities for any Funds.
10. RECENT ACCOUNTING PRONOUNCEMENTS
In September 2006, the FASB issued Statement on Financial Accounting Standards
("SFAS") No. 157, "Fair Value Measurements." This standard establishes a single
authoritative definition of fair value, sets out a framework for measuring fair
value and requires additional disclosures about fair value measurements. SFAS
No. 157 applies to fair value measurements already required or permitted by
existing standards. SFAS No. 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007 and interim periods within
those fiscal years. The changes to current generally accepted accounting
principles from the application of this Statement relate to the definition of
fair value, the methods used to measure fair value, and the expanded disclosures
about fair value measurements. As of September 30, 2008, the Funds do not
believe the adoption of SFAS No. 157 will impact the amounts reported in the
financial statements, however, additional disclosures may be required about the
inputs used to develop the measurements and the effect of certain of the
measurements reported in the financial statements for a fiscal period.
In March 2008, the Financial Accounting Standards Board (FASB) issued Statement
of Financial Accounting Standards (SFAS) No. 161, DISCLOSURES ABOUT DERIVATIVE
INSTRUMENTS AND HEDGING ACTIVITIES. SFAS No. 161 is effective for fiscal years
and interim periods beginning after November 15, 2008. SFAS No.161 requires
enhanced disclosures about the Funds' derivative and hedging activities,
including how such activities are accounted for and their effect on the Funds'
financial position, performance, and cash flows. Management is currently
evaluating the impact the adoption of SFAS No. 161 will have on the Funds'
financial statements and related disclosures.
On September 12, 2008, the FASB issued FASB Staff Position ("FSP") No. FAS 133-1
and FASB Interpretation Number ("FIN") 45-4 ("FSP 133-1"), DISCLOSURES ABOUT
CREDIT DERIVATIVES AND CERTAIN GUARANTEES: AN AMENDMENT OF FASB STATEMENT NO.
133 AND FASB INTERPRETATION NO. 45; AND CLARIFICATION OF THE EFFECTIVE DATE OF
FASB STATEMENT NO. 161. The FSP is intended to improve disclosures about credit
derivatives by requiring more information about the potential adverse effects of
changes in credit risk on the financial position, financial performance, and
cash flows of the sellers of credit derivatives. It amends FASB Statement No.
133, ACCOUNTING FOR DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES, to require
disclosures by sellers of credit derivatives, including credit derivatives
embedded in hybrid instruments. The FSP also amends FIN 45, GUARANTOR'S
ACCOUNTING AND DISCLOSURE REQUIREMENTS FOR GUARANTEES, INCLUDING INDIRECT
GUARANTEES OF INDEBTEDNESS TO OTHERS, to require an additional disclosure about
the current status of the payment/performance risk of a guarantee. FSP 133-1 and
FIN 45-4 is effective for reporting periods (annual or interim) ending after
November 15, 2008. Management of the Fund is currently assessing the impact of
adopting FSP No. FAS 133-1 and FIN 45-4.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
234
11. OTHER MATTERS (Unaudited)
Due to volatility in the fixed income and equity markets, the market value of
some of the Fund's holdings may currently be lower than shown in the Schedules
of Investments ("SOI"). The values shown in the SOI's were the market values as
of September 30, 2008 and do not reflect any market events after September 30,
2008.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
235
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
SEI Institutional Managed Trust
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of SEI Institutional Managed Trust, comprising the
Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, Large
Cap Diversified Alpha Fund, S&P 500 Index Fund, Small Cap Value Fund, Small Cap
Growth Fund, Tax-Managed Small Cap Fund, Small/Mid Cap Diversified Alpha Fund,
Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund,
Tax-Managed Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund,
Core Fixed Income Fund and High Yield Bond Fund (collectively, the "Funds"), as
of September 30, 2008, and the related statements of operations for the year or
period then ended, the statements of changes in net assets for each of the years
or periods in the two-year period then ended, and the financial highlights for
each of the years or periods in the three-year period then ended. These
financial statements and financial highlights are the responsibility of the
Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits. The financial
highlights of the Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large
Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap
Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Real Estate Fund, Core Fixed
Income Fund and High Yield Bond Fund for each of the years or periods in the
two-year period ended September 30, 2005 and prior, were audited by other
auditors. Those auditors expressed an unqualified opinion on those financial
highlights in their reports dated November 28, 2005. The financial highlights of
the S&P 500 Index Fund for each of the years or periods in the two-year period
ended March 31, 2005 were audited by other auditors. Those auditors expressed an
unqualified opinion on those financial highlights in their reports dated May 31,
2005.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of September 30, 2008, by correspondence with custodians and
brokers or other appropriate auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the funds comprising SEI Institutional Managed Trust as of September 30,
2008, and the results of their operations for the year or period then ended, the
changes in their net assets for each of the years or periods in the two-year
period then ended, and the financial highlights for each of the years or periods
in the three-year period then ended, in conformity with U.S. generally accepted
accounting principles.
(KPMG LLP)
Philadelphia, Pennsylvania
November 26, 2008
SEI Institutional Managed Trust / Annual Report / September 30, 2008
236
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of November 21, 2008.
Set forth below are the names, addresses, ages, position with the Trust, Term of
Office and Length of Time Served, the principal occupations for the last five
years, number of portfolios in fund complex overseen by trustee, and other
directorships outside the fund complex of each of the persons currently serving
as Trustees and Officers of the Trust. The Trust's Statement of Additional
Information ("SAI") includes additional information about the Trustees and
Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX
HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS
NAME ADDRESS, AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE
- ----------------------- ----------- ---------- ------------------------------ ------------- ------------------------------
INTERESTED TRUSTEES
Robert A. Nesher Chairman since 1982 Currently performs various 80 Trustee of The Advisors' Inner
One Freedom of the services on behalf of SEI Circle Fund, The Advisors'
Valley Drive, Board of Investments for which Mr. Inner Circle Fund II, Bishop
Oaks, PA 19456 Trustees* Nesher is compensated. Street Funds, Director of SEI
61 yrs. old Global Master Fund, plc, SEI
Global Assets Fund, plc, SEI
Global Investments Fund, plc,
SEI Investments Global,
Limited, SEI Investments --
Global Fund Services, Limited,
SEI Investments (Europe),
Limited, SEI Investments --
Unit Trust Management (UK),
Limited, SEI Global Nominee
Ltd., SEI Opportunity Fund,
L.P., SEI Structured Credit
Fund, L.P., and SEI Multi-
Strategy Funds plc.
William M. Doran Trustee* since 1982 Self-employed consultant since 80 Trustee of The Advisors' Inner
1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors'
Philadelphia, PA Bockius LLP (law firm) from Inner Circle Fund II, Bishop
19103 1976 to 2003, counsel to the Street Funds, Director of SEI
68 yrs. old Trust, SEI, SIMC, the since 1974. Director of the
Administrator and the Distributor since 2003.
Distributor. Secretary of SEI Director of SEI Investments --
since 1978. Global Fund Services, Limited,
SEI Investments Global,
Limited, SEI Investments
(Europe), Limited, SEI
Investments (Asia), Limited
and SEI Asset Korea Co., Ltd.
TRUSTEES
James M. Storey Trustee since 1995 Attorney, sole practitioner 80 Trustee of The Advisors' Inner
One Freedom since 1994. Partner, Dechert Circle Fund, The Advisors'
Valley Drive, Price & Rhoads, September Inner Circle Fund II, Bishop
Oaks, PA 19456 1987-December 1993. Street Funds, Massachusetts
77 yrs. old Health and Education Tax-
Exempt Trust, and U.S.
Charitable Gift Trust.
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED"
PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF
THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR.
(1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S
DECLARATION OF TRUST.
(2) THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST,
SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI
INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI
LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS,
L.P.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
237
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX
HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS
NAME ADDRESS, AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE
- ----------------------- ----------- ---------- ------------------------------ ------------- ------------------------------
TRUSTEES (CONTINUED)
George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 80 Trustee of The Advisors' Inner
One Freedom Newfound Consultants Inc. Circle Fund, The Advisors'
Valley Drive since April 1997. Inner Circle Fund II, Bishop
Oaks, PA 19456 Street Funds, State Street
65 yrs. old Navigator Securities Lending
Trust, SEI Opportunity Fund,
L.P.,and SEI Structured Credit
Fund, L.P.
Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 80 Director, Sonoco, Inc.;
One Freedom Health Care Reform, Director, Exelon Corporation;
Valley Drive Commonwealth of Pennsylvania Trustee, Pennsylvania Real
Oaks, PA 19456 since 2003. Founder and Estate Investment Trust.
62 yrs. old Principal, Grecoventures Ltd.
from 1999 to 2002.
Nina Lesavoy Trustee since 2003 Founder and Managing Director, 80 Director of SEI Opportunity
One Freedom Avec Capital since 2008. Fund, L.P., and SEI Structured
Valley Drive, Managing Director, Cue Capital Credit Fund, L.P.
Oaks, PA 19456 from March 2002-March 2008.
51 yrs. old
James M. Williams Trustee since 2004 Vice President and Chief 80 Trustee/Director of Ariel
One Freedom Investment Officer, J. Paul Mutual Funds, SEI Opportunity
Valley Drive, Getty Trust, Non-Profit Fund, L.P., and SEI Structured
Oaks, PA 19456 Foundation for Visual Arts, Credit Fund, L.P.
60 yrs. old since December 2002.
President, Harbor Capital
Advisors and Harbor Mutual
Funds, 2000-2002.
Mitchell A. Johnson Trustee since 2007 Private Investor since 1994. 80 Trustee of the Advisors' Inner
One Freedom Circle Fund, The Advisor's
Valley Drive, Inner Circle Fund II, and
Oaks, PA 19456 Bishop Street Funds.
66 yrs. old
Hubert L. Harris, Jr. Trustee since 2008 Retired since December 2005. 80 Director of Colonial
One Freedom Chief Executive Officer and BancGroup, Inc. and Chair of
Valley Drive, Chair of the Board of the Board of Trustees, Georgia
Oaks, PA 19456 Directors, AMVESCAP Tech Foundation, Inc.
65 yrs. old Retirement, Inc., (nonprofit corporation).
1997-December 2005. Chief
Executive Officer, INVESCO
North America, September
2003-December 2005.
OFFICERS
Robert A. Nesher President since 2005 Currently performs various N/A N/A
One Freedom & CEO services on behalf of SEI for
Valley Drive, which Mr. Nesher is
Oaks, PA 19456 compensated.
61 yrs. old
Stephen F. Panner Controller since 2005 Fund Accounting Director of N/A N/A
One Freedom and Chief the Administrator since 2005.
Valley Drive, Financial Fund Administration Manager,
Oaks, PA 19456 Officer Old Mutual Fund Services,
38 yrs. old 2000-2005. Chief Financial
Officer, Controller and
Treasurer, PBHG Funds and PBHG
Insurance Series Fund,
2004-2005. Assistant
Treasurer, PBHG Funds and PBHG
Insurance Series Fund,
2000-2004. Assistant
Treasurer, Old Mutual Advisors
Fund, 2004-2005.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
238
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX
HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS
NAME ADDRESS, AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE
- ----------------------- ----------- ---------- ------------------------------ ------------- ------------------------------
OFFICERS (CONTINUED)
Russell Emery Chief since 2006 Chief Compliance Officer of N/A N/A
One Freedom Compliance SEI Alpha Strategy Portfolios,
Valley Drive Officer L.P., SEI Structured Credit
Oaks, PA 19456 Fund, L.P., since June 2007.
45 yrs. old SEI Institutional Managed
Trust, SEI Asset Allocation
Trust, SEI Institutional
International Trust, SEI
Liquid Asset Trust, SEI Daily
Income Trust, SEI Tax Exempt
Trust, SEI Institutional
Investments Trust, SEI
Opportunity Fund, L.P., The
Advisors' Inner Circle Fund,
The Advisors' Inner Circle
Fund II, and Bishop Street
Funds, since March 2006.
Director of Investment Product
Management and Development of
SIMC, February 2003-March
2006. Senior Investment
Analyst-- Equity Team of SEI,
March 2000-February 2003.
Timothy D. Barto Vice since 2002 General Counsel, Vice N/A N/A
One Freedom President President and Secretary of
Valley Drive and SIMC and the Administrator
Oaks, PA 19456 Secretary since 2004. Vice President and
40 yrs. old Assistant Secretary of SEI
since 2001. Vice President of
SIMC and the Administrator
since 1999. Assistant
Secretary of SIMC, the
Administrator and the
Distributor and Vice President
of the Distributor, 1999-2003.
James Ndiaye Vice since 2005 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2005.
Valley Drive and Vice President, Deutsche Asset
Oaks, PA 19456 Assistant Management (2003-2004).
39 yrs. old Secretary Associate, Morgan, Lewis &
Bockius LLP (2000-2003).
Michael T. Pang Vice since 2005 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2005.
Valley Drive and Counsel, Caledonian Bank &
Oaks, PA 19456 Assistant Trust's Mutual Funds Group
36 yrs. old Secretary (2004). Counsel, Permal Asset
Management (2001-2004).
Aaron Buser Vice since 2008 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2007.
Valley Drive and Associate at Stark & Stark
Oaks, PA 19456 Assistant (2004-2007). Associate at
37 yrs. old Secretary Flaster/Greenberg, P.C.
(2000-2004).
John J. McCue Vice since 2004 Director of Portfolio N/A N/A
One Freedom President Implementations for SIMC since
Valley Drive 1995. Managing Director of
Oaks, PA 19456 Money Market Investments for
45 yrs. old SIMC since 2003.
Andrew S. Decker Anti-Money since 2008 Compliance Officer and Product N/A N/A
One Freedom Laundering Manager, SEI 2005-2008. Vice
Valley Drive Compliance President, Old Mutual Capital,
Oaks, PA 19456 Officer 2000-2005.
44 yrs. old
(1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S
DECLARATION OF TRUST.
(2) THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST,
SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI
INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI
LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS,
L.P.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
239
Disclosure of Fund Expenses (Unaudited)
All mutual funds have operating expenses. As a shareholder of a mutual fund,
your investment is affected by these ongoing costs, which include (among others)
costs for portfolio management, administrative services, and shareholder reports
like this one. It is important for you to understand the impact of these costs
on your investment returns.
Operating expenses such as these are deducted from the mutual fund's gross
income and directly reduce your final investment return. These expenses are
expressed as a percentage of the mutual fund's average net assets; this
percentage is known as the mutual fund's expense ratio.
The following examples use the expense ratio and are intended to help you
understand the ongoing costs (in dollars) of investing in your Fund and to
compare these costs with those of other mutual funds. The examples are based on
an investment of $1,000 made at the beginning of the period shown and held for
the entire period.
The table on the next page illustrates your Fund's costs in two ways:
- - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses
after fee waivers that your Fund incurred over the period. The "Expenses Paid
During Period" column shows the actual dollar expense cost incurred by a $1,000
investment in the Fund, and the "Ending Account Value" number is derived from
deducting that expense cost from the Fund's gross investment return.
You can use this information, together with the actual amount you invested in
your Fund, to estimate the expenses you paid over that period. Simply divide
your actual starting account value by $1,000 to arrive at a ratio (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by
the number shown for your Fund under "Expenses Paid During Period."
- - HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs
with those of other mutual funds. It assumes that your Fund had an annual 5%
return before expenses during the year, but that the expense ratio (Column 3) is
unchanged. This example is useful in making comparisons because the Securities
and Exchange Commission requires all mutual funds to make this 5% calculation.
You can assess your Fund's comparative cost by comparing the hypothetical result
for your Fund in the "Expense Paid During Period" column with those that appear
in the same charts in the shareholder reports for other mutual funds.
NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's
actual return -- the account values shown do not apply to your specific
investment.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
240
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/08 9/30/08 RATIOS PERIOD*
--------- --------- ---------- -------
LARGE CAP VALUE FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 878.90 0.89% $4.18
Class I Shares 1,000.00 878.20 1.12 5.26
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.55 0.89% $4.50
Class I Shares 1,000.00 1,019.40 1.12 5.65
LARGE CAP GROWTH FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 874.30 0.89% $4.17
Class I Shares 1,000.00 873.30 1.12 5.25
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.55 0.89% $4.50
Class I Shares 1,000.00 1,019.40 1.12 5.65
TAX-MANAGED LARGE CAP FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 877.40 0.89% $4.18
Class Y Shares 1,000.00 879.00 0.57 2.68
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.25 0.89% $4.50
Class Y Shares 1,000.00 1,022.15 0.57 2.88
LARGE CAP DIVERSIFIED ALPHA FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 864.30 1.07% $4.99
Class I Shares 1,000.00 862.70 1.32 6.15
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.65 1.07% $5.40
Class I Shares 1,000.00 1,018.40 1.32 6.66
S&P 500 INDEX FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 888.70 0.41% $1.94
Class E Shares 1,000.00 889.30 0.26 1.23
Class I Shares 1,000.00 887.50 0.65 3.07
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.95 0.41% $2.07
Class E Shares 1,000.00 1,023.70 0.26 1.32
Class I Shares 1,000.00 1,021.75 0.65 3.29
SMALL CAP VALUE FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 968.80 1.14% $5.61
Class I Shares 1,000.00 968.50 1.37 6.74
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.30 1.14% $5.76
Class I Shares 1,000.00 1,018.15 1.37 6.91
SMALL CAP GROWTH FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 879.80 1.11% $5.22
Class I Shares 1,000.00 878.30 1.36 6.39
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.45 1.11% $5.60
Class I Shares 1,000.00 1,018.20 1.36 6.86
TAX-MANAGED SMALL CAP FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 919.00 1.11% $5.33
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.45 1.11% $5.60
SMALL/MID CAP DIVERSIFIED ALPHA FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 895.70 1.27% $6.02
Class I Shares 1,000.00 895.00 1.52 7.20
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,018.65 1.27% $6.41
Class I Shares 1,000.00 1,017.40 1.52 7.67
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/08 9/30/08 RATIOS PERIOD*
--------- --------- ---------- -------
MID-CAP FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 863.20 1.02% $4.75
Class I Shares 1,000.00 862.00 1.27 5.91
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.90 1.02% $5.15
Class I Shares 1,000.00 1,018.65 1.27 6.41
U.S. MANAGED VOLATILITY FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 974.70 1.00% $4.94
Class I Shares 1,000.00 973.30 1.25 6.17
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.00 1.00% $5.05
Class I Shares 1,000.00 1,018.75 1.25 6.31
GLOBAL MANAGED VOLATILITY FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 956.70 1.10% $5.38
Class I Shares 1,000.00 955.50 1.35 6.60
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.50 1.10% $5.55
Class I Shares 1,000.00 1,018.25 1.35 6.81
TAX-MANAGED MANAGED VOLATILITY FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 981.00 1.00% $4.95
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.00 1.00% $5.05
REAL ESTATE FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 927.30 1.14% $5.49
Class I Shares 1,000.00 926.10 1.37 6.60
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.30 1.14% $5.76
Class I Shares 1,000.00 1,018.15 1.37 6.91
ENHANCED INCOME FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 954.50 0.60% $2.93
Class I Shares 1,000.00 952.80 0.84 4.10
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.00 0.60% $3.03
Class I Shares 1,000.00 1,020.80 0.84 4.24
CORE FIXED INCOME FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 953.70 0.67% $3.27
Class I Shares 1,000.00 951.60 0.90 4.39
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.65 0.67% $3.39
Class I Shares 1,000.00 1,020.50 0.90 4.55
HIGH YIELD BOND FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 937.90 0.89% $4.31
Class I Shares 1,000.00 938.20 1.12 5.43
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.55 0.89% $4.50
Class I Shares 1,000.00 1,019.40 1.12 5.65
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 183/366 (to reflect
one-half year period shown).
SEI Institutional Managed Trust / Annual Report / September 30, 2008
241
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited)
SEI Institutional Managed Trust (the "Trust") and SEI Investments Management
Corporation ("SIMC") have entered into an investment advisory agreement (the
"Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the
investment advisory services provided to the series of the Trust (the "Funds")
and may manage the cash portion of the Funds' assets. Pursuant to separate
sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the
Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under
the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the
Sub-Advisers are responsible for the day-to-day investment management of all or
a discrete portion of the assets of the Funds. The Sub-Advisers also are
responsible for managing their employees who provide services to these Funds.
The Sub-Advisers are selected based primarily upon the research and
recommendations of SIMC, which evaluates quantitatively and qualitatively the
Sub-Advisers' skills and investment results in managing assets for specific
asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the "1940 Act") requires that
the initial approval of, as well as the continuation of, the Funds' Investment
Advisory Agreements must be specifically approved: (i) by the vote of the Board
of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote
of a majority of the Trustees who are not parties to the Investment Advisory
Agreements or "interested persons" of any party (the "Independent Trustees"),
cast in person at a meeting called for the purpose of voting on such approval.
In connection with their consideration of such approvals, the Funds' Trustees
must request and evaluate, and SIMC and the Sub-Advisers are required to
furnish, such information as may be reasonably necessary to evaluate the terms
of the Investment Advisory Agreements. In addition, the Securities and Exchange
Commission ("SEC") takes the position that, as part of their fiduciary duties
with respect to a mutual fund's fees, mutual fund boards are required to
evaluate the material factors applicable to a decision to approve an Investment
Advisory Agreement.
Consistent with these responsibilities, the Trust's Board of Trustees calls and
holds meetings each year that are dedicated to considering whether to renew the
Investment Advisory Agreements between the Trust and SIMC and SIMC and the
Sub-Advisers with respect to the Funds of the Trust. In preparation for these
meetings, the Board requests and reviews a wide variety of materials provided by
SIMC and the Sub-Advisers, including information about SIMC's and the
Sub-Advisers' affiliates, personnel and operations. The Board also receives
extensive data provided by third parties. This information is in addition to the
detailed information about the Funds that the Board reviews during the course of
each year, including information that relates to Fund operations and Fund
performance. The Trustees also receive a memorandum from Fund counsel and
independent counsel to the Independent Trustees regarding the responsibilities
of Trustees in connection with their consideration of whether to approve the
Trust's Investment Advisory Agreements. Finally, the Independent Trustees
receive advice from independent counsel to the Independent Trustees, meet in
executive session outside the presence of Fund management and participate in
question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, the Board requested and received written materials from SIMC and
the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers'
investment management and other services; (b) SIMC's and the Sub-Advisers'
investment management personnel; (c) SIMC's and the Sub-Advisers' operations and
financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices
(including any soft dollar arrangements) and investment strategies; (e) the
level of the advisory fees that SIMC and the Sub-Advisers charge the Funds
compared with the fees each charge to comparable mutual funds; (f) the Funds'
overall fees and operating expenses compared with similar mutual funds; (g) the
level of SIMC's and the Sub-Advisers' profitability from their Fund-related
operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and
the Sub-Advisers' policies on and compliance procedures for personal securities
transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and
resources in domestic and/or international financial markets; and (k) the Funds'
performance compared with similar mutual funds.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
242
At the June 25-26, 2008 and September 17-18, 2008 meetings of the Board of
Trustees, the Trustees, including a majority of the Independent Trustees,
approved the Investment Advisory Agreements and approved the selection of SIMC
and the Sub-Advisers to act in their respective capacities for the Funds. The
Board's approval was based on its consideration and evaluation of a variety of
specific factors discussed at the meetings and at prior meetings, including:
- - the nature, extent and quality of the services provided to the Funds under
the Investment Advisory Agreements, including the resources of SIMC and the
Sub-Advisers and their affiliates dedicated to the Funds;
- - the Funds' investment performance and how it compared to that of other
comparable mutual funds;
- - the Funds' expenses under each Investment Advisory Agreement and how those
expenses compared to those of other comparable mutual funds;
- - the profitability of SIMC and the Sub-Advisers and their affiliates with
respect to the Funds, including both direct and indirect benefits accruing
to SIMC and the Sub-Advisers and their affiliates; and
- - the extent to which economies of scale would be realized as the Funds grow
and whether fee levels in the Investment Advisory Agreements reflect those
economies of scale for the benefit of Fund investors.
NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the
nature, extent and quality of the services provided by SIMC and the Sub-Advisers
to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates
dedicated to the Funds. In this regard, the Trustees evaluated, among other
things, SIMC's and the Sub-Advisers' personnel, experience, track record and
compliance program. The Trustees found the level of SIMC's professional staff
and culture of compliance satisfactory. Following evaluation, the Board
concluded that, within the context of its full deliberations, the nature, extent
and quality of services provided by SIMC and the Sub-Advisers to the Funds and
the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the
Funds supported renewal of the Investment Advisory Agreements.
FUND PERFORMANCE. The Board of Trustees considered Fund performance in
determining whether to renew the Investment Advisory Agreements. Specifically,
the Trustees considered the Funds' performance relative to their peer groups and
appropriate indices/benchmarks, in light of total return, yield and market
trends. As part of this review, the Trustees considered the composition of each
peer group and selection criteria. In evaluating performance, the Trustees
considered both market risk and shareholder risk expectations for the Funds. The
Trustees found Fund performance satisfactory, and where performance was below
the benchmark, the Trustees were satisfied that appropriate steps were being
taken. Following evaluation, the Board concluded that, within the context of its
full deliberations, the performance of the Funds supported renewal of the
Investment Advisory Agreements.
FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory
Agreements, the Trustees considered the rate of compensation called for by the
Investment Advisory Agreements and the Funds' net operating expense ratio in
comparison to those of other comparable mutual funds. The Trustees also
considered information about average expense ratios of comparable mutual funds
in the Funds' respective peer groups. The Trustees further considered the fact
that the comparative fee analysis either showed that the various fees were below
average or that there was a reasonable basis for the fee level. Finally, the
Trustees considered the effects of SIMC's voluntary waiver of management and
other fees and the Sub-Advisers' fees to prevent total Fund expenses from
exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers,
have maintained the Funds' net operating expenses at competitive levels for
their respective distribution channels. Following evaluation, the Board
concluded that, within the context of its full deliberations, the expenses of
the Funds are reasonable and supported renewal of the Investment Advisory
Agreements.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
243
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited) (Concluded)
PROFITABILITY. With regard to profitability, the Trustees considered all
compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly
or indirectly. The Trustees considered whether the varied levels of compensation
and profitability under the Investment Advisory Agreements and other service
agreements were reasonable and justified in light of the quality of all services
rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The
Trustees found that profitability was reasonable and that the margin was not
increasing despite growth in assets. When considering the profitability of the
Sub-Advisers, the Board took into account the fact that the Sub-Advisers are
compensated by SIMC, and not by the Funds directly, and such compensation with
respect to any Sub-Adviser reflects an arms-length negotiation between the
Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within
the context of its full deliberations, the profitability of SIMC and the
Sub-Advisers are reasonable and supported renewal of the Investment Advisory
Agreements.
ECONOMIES OF SCALE. The Trustees considered the existence of any economies of
scale and whether those were passed along to the Funds' shareholders through a
graduated investment advisory fee schedule or other means, including any fee
waivers by SIMC and its affiliates. Based on this evaluation, the Board
concluded that, within the context of its full deliberations, the Funds obtain
reasonable benefit from economies of scale.
Based on the Trustees' deliberation and their evaluation of the information
described above, the Board, including all of the Independent Trustees,
unanimously approved the continuation of the Investment Advisory Agreements and
concluded that the compensation under the Investment Advisory Agreements is fair
and reasonable in light of such services and expenses and such other matters as
the Trustees considered to be relevant in the exercise of their reasonable
judgment. In the course of their deliberations, the Trustees did not identify
any particular information that was all-important or controlling.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
244
Notice to Shareholders (Unaudited)
For shareholders who do not have a September 30, 2008, taxable year end, this
notice is for informational purposes only. For shareholders with a September 30,
2008, taxable year end, please consult your tax adviser as to the pertinence of
this notice.
For the fiscal year ended September 30, 2008, the Funds are designating long
term and qualifying dividend income with regard to distributions paid during the
year as follows:
(C)
(B) DIVIDENDS
(A) ORDINARY QUALIFYING
LONG-TERM INCOME TOTAL FOR CORPORATE
CAPITAL GAIN DISTRIBUTIONS RETURN OF DISTRIBUTIONS DIVIDENDS REC.
FUND DISTRIBUTION (TAX BASIS) CAPITAL (TAX BASIS) DEDUCTION (1)
- ---- --------------- --------------- ------------ ------------- --------------
Large Cap Value Fund 75% 25% 0% 100% 95%
Large Cap Growth Fund 0% 100% 0% 100% 100%
Tax-Managed Large Cap Fund 0% 100% 0% 100% 100%
Large Cap Diversified Alpha Fund 38% 62% 0% 100% 61%
S&P 500 Index Fund 73% 27% 0% 100% 96%
Small Cap Value Fund 75% 25% 0% 100% 34%
Small Cap Growth Fund 81% 19% 0% 100% 39%
Tax-Managed Small Cap Fund 82% 18% 0% 100% 77%
Small/Mid Cap Diversified Alpha Fund 0% 8% 92% 100% 66%
Mid-Cap Fund 59% 41% 0% 100% 24%
U.S. Managed Volatility Fund 41% 59% 0% 100% 57%
Global Managed Volatility Fund 10% 90% 0% 100% 16%
Tax-Managed Managed Volatility 0% 100% 0% 100% 100%
Real Estate Fund(6) 52% 39% 9% 100% 0%
Enhanced Income Fund 0% 100% 0% 100% 0%
Core Fixed Income Fund 0% 100% 0% 100% 0%
High Yield Bond Fund 0% 100% 0% 100% 0%
(D)
QUALIFYING
DIVIDEND INCOME (E) INTEREST SHORT-TERM
(15% TAX RATE U.S. GOVERNMENT RELATED CAPITAL GAIN
FUND FOR QDI) (2) INTEREST (3) DIVIDENDS(4) DIVIDENDS (5)
- ---- --------------- --------------- ------------ -------------
Large Cap Value Fund 95% 1% 1% 100%
Large Cap Growth Fund 100% 1% 1% 0%
Tax-Managed Large Cap Fund 100% 1% 1% 0%
Large Cap Diversified Alpha Fund 46% 1% 17% 100%
S&P 500 Index Fund 91% 1% 1% 100%
Small Cap Value Fund 34% 1% 1% 100%
Small Cap Growth Fund 35% 1% 1% 100%
Tax-Managed Small Cap Fund 68% 1% 1% 100%
Small/Mid Cap Diversified Alpha Fund 55% 0% 71% 0%
Mid-Cap Fund 24% 1% 1% 100%
U.S. Managed Volatility Fund 56% 0% 1% 100%
Global Managed Volatility Fund 14% 1% 4% 100%
Tax-Managed Managed Volatility 100% 1% 1% 0%
Real Estate Fund(6) 0% 0% 0% 0%
Enhanced Income Fund 0% 0% 99% 0%
Core Fixed Income Fund 0% 9% 14% 100%
High Yield Bond Fund 0% 0% 80% 100%
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short term capital gain and net
investment income distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" and is reflected as a percentage of ordinary income distributions
(the total of short term capital gain and net investment income
distributions).
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
shareholders who are residents of California, Connecticut and New York, the
statutory threshold requirements were not satisfied to permit exemption of
these amounts from state income.
(4) The percentage in this column represents the amount of "Interest Related
Dividends" and is reflected as a percentage of net investment income
distributions that is exempt from U.S. withholding tax when paid to foreign
investors.
(5) The percentage in this column represents the amount of "Short-Term Capital
Gain Dividends" as created by the American Jobs Creation Act of 2004 and is
reflected as a percentage of short-term capital gain distributions that is
exempt from U.S. withholding tax when paid to foreign investors.
(6) Information reflects Fund activity based on Fund's December 31, 2007 tax
reporting year.
Items (A) and (B) are based on the percentages of each Fund's total
distribution.
Items (C) and (D) are based on the percentage of ordinary income distributions
of each Fund.
Item (E) is based on the percentage of gross income of each Fund.
Please consult your tax adviser for proper treatment of this information. This
notification should be kept with your permanent tax records.
SEI Institutional Managed Trust / Annual Report / September 30, 2008
245
Notes
Notes
Notes
SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2008
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
OFFICERS
Robert A. Nesher
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Stephen F. Panner
CONTROLLER AND CHIEF FINANCIAL OFFICER
Russell Emery
CHIEF COMPLIANCE OFFICER
Timothy D. Barto
VICE PRESIDENT, SECRETARY
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
Aaron Buser
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Andrew S. Decker
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Global Funds Services
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Trust and must be preceded or
accompanied by a current prospectus. Shares of the Funds are not deposits or
obligations of, or guaranteed or endorsed by, any bank. The shares are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in the shares
involves risk, including the possible loss of principal.
FOR MORE INFORMATION CALL 1 800 DIAL SEI
(1 800 342 5734)
(SEI(R) LOGO)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-087 (9/08)
ITEM 2. CODE OF ETHICS.
The Registrant has adopted a code of ethics that applies to the Registrant's
principal executive officer, principal financial officer, comptroller or
principal accounting officer.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) The Registrant's board of trustees has determined that the Registrant
has one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr.
Sullivan is an independent trustee as defined in Form N-CSR Item 3 (a) (2)
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fees billed by KPMG LLP (KPMG) related to the Registrant.
KPMG billed the Registrant aggregate fees for services rendered to the
Registrant for fiscal year 2008 and for fiscal year 2007 as follows:
- ------------------ ----------------------------------------------------- -----------------------------------------------------
FISCAL YEAR 2008 FISCAL YEAR 2007
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
All fees and All fees All other fees All fees and All fees and All other fees
services to and services and services services to services to and services
the Registrant to service to service the Registrant service to service
that were affiliates affiliates that that were affiliates affiliates that
pre-approved that were did not require pre-approved that were did not require
pre-approved pre-approval pre-approved pre-approval
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(a) Audit $483,000 $0 N/A $390,500 N/A N/A
Fees (1)
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(b) Audit-
Related $0 $0 N/A $0 $0 N/A
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(c) Tax $83,000 $0 N/A N/A N/A N/A
Fees (2)
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(d) All $248,500 $0 N/A $15,215 $254,300 $0
Other
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes:
(1) Audit fees include amounts related to the audit of the Registrant's
annual financial statements and services normally provided by the
accountant in connection with statutory and regulatory filings.
(2) Review of Federal income tax returns of the Registrant.
(e)(1) All requests or applications for services to be provided by the
independent auditor shall be submitted to the Chief Financial Officer ("CFO") of
the Registrant and must include a detailed description of the services proposed
to be rendered. The Registrant `s CFO will determine whether such services (1)
require specific pre-approval, (2) are included within the list of services that
have received the general pre-approval of the audit committee or (3) have been
previously pre-approved in connection with the independent auditor's annual
engagement letter for the applicable year or otherwise.
Requests or applications to provide services that require specific pre-approval
by the audit committee will be submitted to the audit committee by the CFO. The
audit committee will be informed by the CFO on a quarterly basis of all services
rendered by the independent auditor. The audit committee has delegated specific
pre-approval authority to either the audit committee chair or financial expert,
provided that the estimated fee for any such proposed pre-approved service does
not exceed $100,000 and any pre-approval decisions are reported to the audit
committee at its next regularly scheduled meeting.
All services to be provided by the independent auditor shall be provided
pursuant to a signed written engagement letter with the Registrant, the
investment advisor or applicable control affiliate (except that matters as to
which an engagement letter would be impractical because of timing issues or
because the matter is small may not be the subject of an engagement letter) that
sets forth both the services to be provided by the independent auditor and the
total fees to be paid to the independent auditor for those services.
In addition, the audit committee has determined to take additional measures on
an annual basis to meet its responsibility to oversee the work of the
independent auditor and to assure the auditor's independence from the
Registrant, such as reviewing a formal written statement from the independent
auditor delineating all relationships between the independent auditor and the
Registrant, and discussing with the independent auditor its methods and
procedures for ensuring independence.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to
waiver of pre-approval requirement were as follows:
---------------------------- ----------------- ----------------
FYE 2008 FYE 2007
---------------------------- ----------------- ----------------
Audit-Related Fees 0% 0%
---------------------------- ----------------- ----------------
Tax Fees 0% 0%
---------------------------- ----------------- ----------------
All Other Fees 0% 0%
---------------------------- ----------------- ----------------
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal
year 2008 and fiscal year 2007 were $248,500 and $269,515, respectively. Non-
audit fees consist of SAS No. 70 review of fund accounting and administration
operations, attestation report in accordance with Rule 17 Ad-13, agreed upon
procedures report over certain internal controls related to compliance with
federal securities laws and regulations and tax consulting services for various
service affiliates of the registrant.
(h) During the past fiscal year, Registrant's principal accountant provided
certain non-audit services to Registrant's investment adviser or to entities
controlling, controlled by, or under common control with Registrant's investment
adviser that provide ongoing services to Registrant that were not subject to
pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
The audit committee of Registrant's board of trustees reviewed and considered
these non-audit services provided by Registrant's principal accountant to
Registrant's affiliates, including whether the provision of these non-audit
services is compatible with maintaining the principal accountant's independence.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9. PURCHASERS OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Registrant has a standing nominating committee (the "Committee") currently
consisting of the independent trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Registrant's board of
trustees (the "Board"). Pursuant to the Committee's charter, adopted on June 18,
2004 and as amended, the Committee will review all shareholder recommendations
for nominations to fill vacancies on the Board if such recommendations are
submitted in writing and addressed to the Committee at the Registrant's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the Registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the Registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed by the Registrant in the reports it files
or submits under the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There were no significant changes in the Registrant's internal control over
financial reporting that occurred during the Registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the Registrants internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the Registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Institutional Managed Trust
By (Signature and Title) /s/ Robert A. Nesher
-------------------------------
Robert A. Nesher
President & CEO
Date: November 26, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By (Signature and Title) /s/ Robert A. Nesher
-------------------------------
Robert A. Nesher
President & CEO
Date: November 26, 2008
By (Signature and Title) /s/ Stephen F. Panner
-------------------------------
Stephen F. Panner
Controller & CFO
Date: November 26, 2008