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, 2009
DATE OF REPORTING PERIOD: MARCH 31, 2009
ITEM 1. REPORTS TO STOCKHOLDERS.
(SEI LOGO)
New ways.
New answers.(R)
SEI Institutional Managed Trust
Semi-Annual Report as of March 31, 2009
Large Cap Value Fund
Large Cap Growth Fund
Tax-Managed Large Cap Fund
Large Cap Diversified Alpha Fund
S&P 500 Index Fund
Small Cap Value Fund
Small Cap Growth Fund
Tax-Managed Small Cap Fund
Small/Mid Cap Diversified Alpha Fund
Mid-Cap Fund
U.S. Managed Volatility Fund
Global Managed Volatility Fund
Tax-Managed Managed Volatility Fund
Real Estate Fund
Enhanced Income Fund
Core Fixed Income Fund
High Yield Bond Fund
TABLE OF CONTENTS
Schedules of Investments 1
Statements of Assets and Liabilities 152
Statements of Operations 156
Statements of Changes in Net Assets 160
Financial Highlights 165
Notes to Financial Statements 170
Disclosure of Fund Expenses 187
Board of Trustees Considerations in Approving
the Advisory and Sub-Advisory Agreements 189
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.
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Affiliated Partnership 18.9%
Financials 14.7%
Energy 14.3%
Health Care 11.9%
Consumer Staples 8.2%
Industrials 7.3%
Consumer Discretionary 6.7%
Telecommunication Services 6.3%
Utilities 4.8%
Information Technology 3.2%
Materials 2.6%
Cash Equivalent 0.8%
U.S. Treasury Obligations 0.3%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 95.5%
CONSUMER DISCRETIONARY -- 8.0%
Aeropostale* (A) 88,100 $ 2,340
Autoliv (A) 64,700 1,202
Barnes & Noble (A) 94,200 2,014
Bed Bath & Beyond* 900 22
Black & Decker 4,600 145
Brinker International 139,100 2,100
Cablevision Systems, Cl A 172,100 2,227
Career Education* (A) 35,700 855
CBS, Cl B 243,200 934
Coach* 87,400 1,459
Comcast, Cl A 1,050,600 14,330
Darden Restaurants 70,400 2,412
DIRECTV Group* (A) 81,000 1,846
Eastman Kodak (A) 113,600 432
Family Dollar Stores (A) 58,300 1,945
Foot Locker (A) 71,000 744
Gannett (A) 108,900 240
Gap 344,900 4,480
Garmin (A) 47,600 1,010
Genuine Parts 17,800 532
Goodyear Tire & Rubber* (A) 82,800 518
Harley-Davidson (A) 63,100 845
Harman International Industries 4,500 61
Hasbro (A) 183,500 4,600
Home Depot (A) 453,700 10,689
J.C. Penney 69,500 1,395
Johnson Controls 64,600 775
Kohl's* (A) 45,100 1,909
Leggett & Platt (A) 62,400 811
Lennar, Cl A (A) 17,100 128
Liberty Global, Cl A* (A) 32,100 467
Limited Brands (A) 75,200 654
Lowe's 230,700 4,210
Macy's 6,400 57
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Mattel 8,500 $ 98
McDonald's 28,300 1,544
McGraw-Hill 41,500 949
News, Cl A (A) 329,300 2,180
NVR* (A) 100 43
O'Reilly Automotive* (A) 17,700 620
Pulte Homes 6,600 72
RadioShack (A) 58,800 504
Scripps Networks Interactive, Cl A (A) 5,400 122
Sears Holdings* (A) 4,600 210
Sherwin-Williams (A) 58,400 3,035
Signet Jewelers 7,600 87
Snap-On 42,600 1,069
Stanley Works (A) 135,597 3,949
Staples (A) 8,700 158
Time Warner (A) 359,633 6,941
Time Warner Cable, Cl A 119,763 2,970
TJX 86,700 2,223
VF 28,100 1,605
Walt Disney 608,600 11,052
Whirlpool (A) 60,600 1,793
Wyndham Worldwide 6,300 27
-------------
109,639
-------------
CONSUMER STAPLES -- 9.8%
Archer-Daniels-Midland 327,700 9,103
BJ's Wholesale Club* (A) 35,600 1,139
Brown-Forman, Cl B 21,350 829
Campbell Soup 237,900 6,509
Clorox (A) 6,900 355
Coca-Cola 60,000 2,637
Coca-Cola Enterprises 98,700 1,302
ConAgra Foods 450,100 7,593
Constellation Brands, Cl A* 128,600 1,530
Corn Products International 85,000 1,802
CVS Caremark 128,700 3,538
Dean Foods* 8,200 148
Del Monte Foods 318,400 2,321
Dr Pepper Snapple Group* 5,000 85
General Mills 149,200 7,442
Herbalife 132,600 1,986
Hershey (A) 47,300 1,644
HJ Heinz (A) 116,500 3,851
JM Smucker 63,900 2,382
Kellogg 96,700 3,542
Kimberly-Clark 77,400 3,569
Kraft Foods, Cl A 282,860 6,305
Kroger 322,800 6,850
McCormick 8,100 240
Molson Coors Brewing, Cl B 6,100 209
NBTY* 4,200 59
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 1
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Pepsi Bottling Group 269,300 $ 5,962
PepsiCo 400 21
Procter & Gamble 584,700 27,534
Reynolds American 49,000 1,756
Safeway (A) 275,300 5,558
Sara Lee 301,000 2,432
Smithfield Foods* (A) 17,200 163
SUPERVALU (A) 207,637 2,965
SYSCO 117,800 2,686
Tyson Foods, Cl A 95,600 898
Walgreen 22,000 571
Wal-Mart Stores 132,300 6,893
-------------
134,409
-------------
ENERGY -- 17.0%
Anadarko Petroleum 56,300 2,190
Apache 65,100 4,172
BJ Services 87,000 866
Cabot Oil & Gas 5,300 125
Chesapeake Energy (A) 63,700 1,087
Chevron (A) 794,700 53,436
Cimarex Energy (A) 95,200 1,750
ConocoPhillips (A) 755,386 29,581
Devon Energy 54,300 2,427
El Paso 25,800 161
Encore Acquisition* (A) 40,600 945
ENSCO International (A) 5,600 148
Exterran Holdings* 32,000 513
Exxon Mobil (A) 1,512,400 102,994
Forest Oil* (A) 6,000 79
Helmerich & Payne (A) 8,800 200
Marathon Oil 414,300 10,892
Murphy Oil 45,900 2,055
Nabors Industries* (A) 112,000 1,119
Noble Energy 1,100 59
Oil States International* 12,500 168
Patterson-UTI Energy (A) 142,500 1,277
Petro-Canada (A) 68,100 1,810
PetroHawk Energy* 9,800 188
Pioneer Natural Resources (A) 26,100 430
Pride International* 24,600 442
Rowan 5,800 69
SEACOR Holdings* 24,300 1,417
Spectra Energy 70,200 993
St. Mary Land & Exploration (A) 17,700 234
Sunoco (A) 99,600 2,637
Tesoro 13,700 185
Tidewater (A) 75,100 2,788
Unit* (A) 3,300 69
Valero Energy 267,400 4,786
XTO Energy 30,700 940
-------------
233,232
-------------
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
FINANCIALS -- 17.6%
Aflac 96,300 $ 1,864
Alexandria Real Estate Equities+ (A) 2,200 80
Allied World Assurance Holdings 1,300 49
Allstate 293,500 5,621
American Financial Group 134,700 2,162
Ameriprise Financial 143,900 2,949
Annaly Capital Management+ (A) 124,100 1,721
AON (A) 4,300 176
Arch Capital Group* 7,500 404
Arthur J. Gallagher 11,200 190
Assurant 45,500 991
Astoria Financial 165,900 1,525
AvalonBay Communities+ (A) 5,988 282
Axis Capital Holdings 74,700 1,684
Bancorpsouth (A) 38,000 792
Bank of America 2,043,969 13,940
Bank of Hawaii (A) 19,100 630
Bank of New York Mellon 327,022 9,238
BB&T (A) 420,000 7,106
Boston Properties+ 3,700 130
BRE Properties, Cl A+ (A) 46,400 911
Brown & Brown (A) 76,200 1,441
Camden Property Trust+ 4,300 93
Capital One Financial (A) 151,900 1,859
Capitol Federal Financial (A) 15,400 582
CB Richard Ellis Group, Cl A* (A) 171,300 690
Chubb 232,300 9,831
CIT Group (A) 108,400 309
Citigroup (A) 1,116,300 2,824
City National (A) 16,900 571
CME Group 200 49
Comerica 100,200 1,835
Commerce Bancshares (A) 33,950 1,232
Credicorp 48,500 2,272
Cullen/Frost Bankers 21,800 1,023
Digital Realty Trust+ 1,700 56
Discover Financial Services 168,600 1,064
Duke Realty+ (A) 84,400 464
Endurance Specialty Holdings (A) 156,500 3,903
Equity Residential+ (A) 19,500 358
Essex Property Trust+ (A) 7,600 436
Everest Re Group (A) 46,300 3,278
Federated Investors, Cl B (A) 78,500 1,747
Fidelity National Financial, Cl A 4,700 92
First American 300 8
First Horizon National (A) 117,155 1,258
Franklin Resources 54,100 2,914
Fulton Financial (A) 21,000 139
Goldman Sachs Group 121,600 12,892
Hanover Insurance Group (A) 41,500 1,196
Hartford Financial Services Group (A) 178,500 1,401
HCC Insurance Holdings 50,400 1,270
2 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
HCP+ (A) 6,500 $ 116
Health Care+ (A) 6,000 184
Hospitality Properties Trust+ (A) 87,700 1,052
Hudson City Bancorp 376,600 4,403
Huntington Bancshares (A) 314,500 522
Invesco 1,600 22
Jefferies Group (A) 69,200 955
JPMorgan Chase 1,161,100 30,862
Keycorp (A) 139,600 1,099
Kilroy Realty+ 4,100 70
Leucadia National (A) 48,900 728
Liberty Property Trust+ (A) 58,900 1,116
Lincoln National (A) 225,267 1,507
Loews 143,000 3,160
M&T Bank (A) 12,200 552
Mack-Cali Realty+ 2,500 49
Marsh & McLennan 98,500 1,995
MBIA* (A) 24,100 110
Mercury General 27,400 814
MetLife 71,200 1,621
Moody's (A) 131,500 3,014
Morgan Stanley (A) 379,300 8,637
New York Community Bancorp (A) 50,500 564
Northern Trust 400 24
NYSE Euronext 2,000 36
People's United Financial 24,900 447
Plum Creek Timber+ 2,600 76
PNC Financial Services Group 156,255 4,577
Popular (A) 111,000 242
Principal Financial Group 89,500 732
Progressive 256,100 3,442
Prologis+ (A) 145,900 948
Protective Life (A) 8,800 46
Prudential Financial 90,400 1,719
Public Storage+ (A) 16,700 923
Raymond James Financial (A) 59,400 1,170
Regions Financial (A) 236,184 1,006
RenaissanceRe Holdings 4,100 203
SLM* (A) 43,700 217
StanCorp Financial Group 3,300 75
State Street 42,100 1,296
Sunstone Hotel Investors+ (A) 104,912 276
SunTrust Banks 12,900 152
T. Rowe Price Group (A) 51,800 1,495
TCF Financial (A) 34,000 400
Torchmark 4,000 105
Travelers 313,700 12,749
UDR+ (A) 103,279 889
Unum Group 158,300 1,979
US Bancorp (A) 620,800 9,070
Valley National Bancorp (A) 144,269 1,785
Vornado Realty Trust+ (A) 11,228 373
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Weingarten Realty Investors+ (A) 4,000 $ 38
Wells Fargo (A) 1,260,695 17,952
WR Berkley (A) 124,100 2,798
XL Capital, Cl A 32,400 177
Zions Bancorporation (A) 38,700 380
-------------
240,481
-------------
HEALTH CARE -- 14.3%
Aetna 150,900 3,671
AmerisourceBergen 149,300 4,876
Amgen* (A) 319,300 15,812
Beckman Coulter 900 46
Boston Scientific* 72,000 572
Bristol-Myers Squibb 111,000 2,433
Cardinal Health 89,100 2,805
Cigna 129,400 2,276
Community Health Systems* 6,700 103
Coventry Health Care* 83,000 1,074
Covidien 128,050 4,256
DaVita* 18,900 831
Eli Lilly 337,900 11,289
Endo Pharmaceuticals Holdings* 87,200 1,542
Forest Laboratories* 182,800 4,014
Hill-Rom Holdings (A) 32,200 319
HLTH* (A) 83,400 863
Humana* 72,700 1,896
IMS Health (A) 79,800 995
Inverness Medical Innovations* 10,500 280
Johnson & Johnson (A) 724,600 38,114
Kinetic Concepts* 90,200 1,905
King Pharmaceuticals* (A) 471,700 3,335
LifePoint Hospitals* (A) 60,500 1,262
McKesson 51,200 1,794
Medtronic 50,400 1,485
Merck (A) 461,800 12,353
Mylan Laboratories* (A) 16,600 223
Omnicare (A) 96,500 2,363
PerkinElmer 5,400 69
Pfizer 2,653,000 36,134
Quest Diagnostics 32,200 1,529
Thermo Fisher Scientific* 11,900 424
UnitedHealth Group 276,400 5,785
Universal Health Services, Cl B 27,600 1,058
Watson Pharmaceuticals* 400 13
WellPoint* 228,100 8,661
Wyeth 438,900 18,890
-------------
195,350
-------------
INDUSTRIALS -- 8.7%
Aecom Technology* 2,900 76
AMR* 32,700 104
Avery Dennison 4,500 101
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 3
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Boeing 29,300 $ 1,042
Carlisle 24,900 489
Caterpillar (A) 50,500 1,412
Cintas 1,100 27
Continental Airlines, Cl B* (A) 33,300 294
Con-way (A) 17,100 307
Cooper Industries, Cl A 24,200 626
Corrections Corp of America* 1,700 22
Cummins 97,100 2,471
Delta Air Lines* (A) 134,825 759
Dover (A) 78,100 2,060
Dun & Bradstreet 15,200 1,170
Eaton 63,000 2,322
FedEx 74,500 3,314
Gardner Denver* 78,300 1,702
GATX (A) 34,400 696
General Dynamics 104,100 4,330
General Electric (A) 3,792,200 38,339
Harsco 56,700 1,257
Hertz Global Holdings* 8,900 35
Honeywell International 66,800 1,861
Hubbell, Cl B 5,600 151
IDEX 6,700 146
Illinois Tool Works 83,700 2,582
Ingersoll-Rand, Cl A 134,700 1,859
ITT 16,500 635
Kansas City Southern* 9,000 114
KBR 2,200 30
Kennametal 29,300 475
L-3 Communications Holdings 36,800 2,495
Lincoln Electric Holdings (A) 14,600 463
Lockheed Martin 20,100 1,387
Manpower 17,500 552
Norfolk Southern (A) 194,400 6,561
Northrop Grumman 130,500 5,695
Owens Corning* (A) 23,000 208
Parker Hannifin 56,700 1,927
Pentair (A) 62,000 1,344
Pitney Bowes 8,300 194
Quanta Services* 17,000 365
Raytheon 46,600 1,815
Republic Services 45,195 775
RR Donnelley & Sons 162,900 1,194
Ryder System 26,100 739
Southwest Airlines 392,400 2,484
Spirit Aerosystems Holdings, Cl A* 4,200 42
Teleflex 61,500 2,404
Thomas & Betts* 54,400 1,361
Timken 3,500 49
Trinity Industries (A) 36,600 334
Tyco International 132,600 2,594
Union Pacific 36,000 1,480
United Technologies 152,400 6,550
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
URS* 8,000 $ 323
Waste Management (A) 214,900 5,501
-------------
119,644
-------------
INFORMATION TECHNOLOGY -- 3.8%
Affiliated Computer Services, Cl A* 40,500 1,940
Amdocs* 93,000 1,722
Anixter International* (A) 42,100 1,334
Computer Sciences* 230,200 8,481
Compuware* 167,700 1,105
Cree* 2,300 54
Dell* 190,200 1,803
Diebold 8,800 188
EMC* 1,400 16
Fidelity National Information Services 3,600 65
Harris 66,000 1,910
Hewitt Associates, Cl A* 62,900 1,872
Hewlett-Packard 48,000 1,539
Ingram Micro, Cl A* 125,400 1,585
Integrated Device Technology* 30,000 137
Intel (A) 84,400 1,270
International Business Machines 10,000 969
International Rectifier* 4,700 63
Intersil, Cl A 14,300 164
Jabil Circuit 68,600 382
Lam Research* 1,400 32
Lender Processing Services 3,200 98
Lexmark International, Cl A* 10,400 175
Mettler Toledo International* 27,900 1,432
Microsoft 108,000 1,984
Molex (A) 59,000 811
Motorola 45,000 190
NCR* 131,000 1,042
NeuStar, Cl A* 80,500 1,348
QLogic* (A) 31,500 350
SAIC* 41,200 769
SanDisk* 16,800 213
Seagate Technology (A) 405,200 2,435
Sun Microsystems* 3,300 24
Symantec* (A) 530,100 7,920
Tellabs* 13,300 61
Texas Instruments 106,600 1,760
Tyco Electronics 7,550 83
Vishay Intertechnology* 143,200 498
Western Digital* 119,900 2,319
Xerox 391,200 1,780
-------------
51,923
-------------
MATERIALS -- 3.1%
Alcoa (A) 268,900 1,974
Ball 22,800 990
Bemis 84,000 1,761
4 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Carpenter Technology 54,800 $ 774
Commercial Metals (A) 7,800 90
Cytec Industries 4,000 60
Dow Chemical (A) 364,300 3,071
E.I. Du Pont de Nemours 117,800 2,630
Eastman Chemical (A) 139,300 3,733
FMC 6,500 280
Freeport-McMoRan Copper & Gold,
Cl B 29,355 1,119
International Paper 212,600 1,497
Lubrizol 114,200 3,884
Martin Marietta Materials 1,000 79
Nucor 75,700 2,889
Packaging Corp of America 26,000 338
Pactiv* 8,900 130
PPG Industries (A) 192,900 7,118
Reliance Steel & Aluminum 6,400 169
Rohm & Haas 1,800 142
RPM International 12,800 163
Sealed Air 11,200 155
Sigma-Aldrich 2,400 91
Sonoco Products (A) 196,700 4,127
Steel Dynamics (A) 20,900 184
United States Steel (A) 200 4
Valspar 170,600 3,407
Vulcan Materials (A) 35,100 1,555
-------------
42,414
-------------
TELECOMMUNICATION SERVICES -- 7.5%
AT&T (A) 2,280,795 57,476
CenturyTel (A) 184,400 5,185
Embarq 43,800 1,658
Frontier Communications 299,300 2,149
Leap Wireless International* (A) 23,200 809
Telephone & Data Systems 104,200 2,763
Verizon Communications 1,088,000 32,858
Windstream 24,126 194
-------------
103,092
-------------
UTILITIES -- 5.7%
AGL Resources 800 21
Alliant Energy 163,900 4,047
Ameren 14,500 336
American Electric Power 172,700 4,362
American Water Works (A) 5,400 104
Aqua America 8,700 174
Atmos Energy 5,400 125
CMS Energy (A) 91,693 1,086
Consolidated Edison (A) 9,300 368
Dominion Resources 88,000 2,727
DTE Energy 219,400 6,077
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Duke Energy 7,248 $ 104
Edison International 116,100 3,345
Energy 206,700 1,941
Entergy 58,200 3,963
Exelon 64,200 2,914
FirstEnergy (A) 114,100 4,404
FPL Group 57,600 2,922
Hawaiian Electric Industries (A) 80,800 1,110
Integrys Energy Group 30,500 794
MDU Resources Group 191,200 3,086
Mirant* (A) 97,900 1,116
National Fuel Gas (A) 22,800 699
NiSource (A) 149,600 1,466
NSTAR (A) 33,900 1,081
OGE Energy 7,500 179
Oneok 67,100 1,519
Pepco Holdings 144,600 1,805
PG&E (A) 178,100 6,807
Pinnacle West Capital (A) 126,000 3,346
Progress Energy 13,600 493
Public Service Enterprise Group (A) 105,800 3,118
Questar 1,600 47
Reliant Energy* 15,900 51
SCANA 6,800 210
Sempra Energy (A) 172,227 7,964
Southern 49,500 1,516
TECO Energy (A) 76,100 849
UGI 38,600 911
Vectren 6,000 127
Wisconsin Energy 7,100 292
Xcel Energy 2,000 37
-------------
77,643
-------------
Total Common Stock
(Cost $1,733,642) ($ Thousands) 1,307,827
-------------
AFFILIATED PARTNERSHIP -- 22.6%
SEI Liquidity Fund, L.P.,
0.810%**++ (B) 316,022,202 309,081
-------------
Total Affiliated Partnership
(Cost $316,022) ($ Thousands) 309,081
-------------
CASH EQUIVALENT -- 1.0%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 13,031,766 13,032
-------------
Total Cash Equivalent
(Cost $13,032) ($ Thousands) 13,032
-------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 5
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Concluded)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bills
0.117%, 06/11/09 (C) (D) $ 5,650 $ 5,648
-------------
Total U.S. Treasury Obligation
(Cost $5,648) ($ Thousands) 5,648
-------------
Total Investments -- 119.5%
(Cost $2,068,344) ($ Thousands) $ 1,635,588
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
S&P 500 Composite Index 42 Jun-2009 $453
====
Percentages are based on Net Assets of $1,368,305 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ 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 March
31, 2009 (see Note 7). The total market value of securities on loan at
March 31, 2009 was $311,420 ($ 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 March
31, 2009 was $309,081 ($ Thousands).
(C) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(D) The rate reported is the effective yield at the time of purchase.
Cl -- Class
L.P. -- Limited Partnership
The accompanying notes are an integral part of the financial statements.
6 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Large Cap Growth Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Information Technology 24.2%
Affiliated Partnership 16.6%
Health Care 13.3%
Consumer Staples 11.0%
Industrials 8.0%
Consumer Discretionary 7.5%
Energy 6.2%
Cash Equivalents 4.5%
Financials 3.7%
Materials 2.6%
Telecommunication Services 1.4%
Utilities 0.8%
U.S. Treasury Obligations 0.2%
Exchange Traded Fund 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 -- 94.4%
CONSUMER DISCRETIONARY -- 9.1%
Advance Auto Parts 13,500 $ 555
Amazon.com* (A) 84,700 6,221
Apollo Group, Cl A* (A) 36,400 2,851
Autozone* 1,869 304
Bed Bath & Beyond* 4,600 114
Best Buy (A) 54,580 2,072
Big Lots* 17,500 363
Brinker International 17,800 269
Brink's Home Security Holdings* (A) 11,400 258
Cabela's* 11,700 107
Carnival 2,200 47
Chipotle Mexican Grill, Cl A* (A) 8,100 538
Coach* 243,063 4,059
Comcast, Cl A 347,470 4,740
Core-Mark Holding* 3,100 56
Darden Restaurants 14,100 483
DIRECTV Group* (A) 102,100 2,327
DISH Network, Cl A* 154,100 1,712
Dollar Tree* 11,800 526
DreamWorks Animation SKG, Cl A* 46,500 1,006
Family Dollar Stores 5,600 187
Fortune Brands 94,785 2,327
Gap (A) 68,900 895
Garmin 4,400 93
Grand Canyon Education* (A) 11,800 204
H&R Block 194,900 3,545
Harley-Davidson 7,400 99
Harman International Industries 5,500 74
Hasbro 27,800 697
Hillenbrand 22,200 355
International Game Technology 191,600 1,767
ITT Educational Services* 5,900 716
John Wiley & Sons, Cl A 9,100 271
Johnson Controls (A) 11,200 134
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Kohl's* 31,000 $ 1,312
Leggett & Platt (A) 71,800 933
Liberty Global, Cl A* 4,082 59
Liberty Media - Entertainment, Cl A* 84,400 1,684
Limited Brands 107,700 937
Lowe's 370,606 6,764
Marriott International, Cl A (A) 236,870 3,875
McDonald's 377,740 20,613
McGraw-Hill 20,100 460
Monro Muffler 9,700 265
Newell Rubbermaid 97,560 622
Nike, Cl B (A) 271,300 12,721
O'Reilly Automotive* 2,700 94
Overstock.com* (A) 8,000 73
Panera Bread, Cl A* (A) 46,200 2,583
PetMed Express* (A) 23,200 382
PetSmart 54,400 1,140
Phillips-Van Heusen 5,900 134
Polo Ralph Lauren 27,500 1,162
priceline.com* (A) 10,600 835
Pulte Homes 5,000 55
Ross Stores (A) 118,700 4,259
Scientific Games, Cl A* 30,000 363
Sherwin-Williams 11,400 592
Smith & Wesson Holding* 78,700 474
Staples (A) 474,100 8,586
Starbucks* 21,000 233
Starwood Hotels & Resorts
Worldwide (A) 150,860 1,916
Strayer Education 4,000 720
Target (A) 302,594 10,406
Tiffany 13,500 291
Time Warner Cable, Cl A (A) 26,500 657
Titan International 26,125 131
TJX (A) 84,900 2,177
Tractor Supply* (A) 18,700 674
Urban Outfitters* 6,700 110
Viacom, Cl B* (A) 128,103 2,226
WABCO Holdings 1,333 17
Walt Disney 42,100 765
Weight Watchers International (A) 214,700 3,983
Yum! Brands 179,204 4,925
-------------
140,180
-------------
CONSUMER STAPLES -- 13.1%
Altria Group 249,240 3,993
Avon Products (A) 199,102 3,829
Brown-Forman, Cl B 51,650 2,005
Campbell Soup 92,300 2,525
Church & Dwight 14,900 778
Clorox (A) 24,000 1,236
Coca-Cola (A) 577,376 25,376
Colgate-Palmolive 199,867 11,788
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 7
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Costco Wholesale (A) 299,750 $ 13,885
CVS Caremark 394,631 10,849
Dean Foods* 4,600 83
Energizer Holdings* 2,100 104
Estee Lauder, Cl A 34,500 850
General Mills 52,100 2,599
Hansen Natural* 1,800 65
Hershey 36,800 1,279
HJ Heinz (A) 109,000 3,603
JM Smucker 17,100 637
Kellogg 82,000 3,004
Kimberly-Clark 57,602 2,656
Kraft Foods, Cl A 91,020 2,029
Kroger 163,300 3,465
Lorillard 4,900 303
McCormick 14,900 441
NBTY* 4,700 66
PepsiCo (A) 600,790 30,929
Philip Morris International 264,340 9,405
Procter & Gamble 610,868 28,766
Reynolds American (A) 17,200 616
SYSCO 80,300 1,831
Tyson Foods, Cl A 18,000 169
Walgreen 361,685 9,389
Wal-Mart Stores 478,701 24,940
-------------
203,493
-------------
ENERGY -- 7.4%
Arch Coal 14,800 198
Baker Hughes 18,333 523
Cabot Oil & Gas 2,300 54
Cameron International* 222,252 4,874
Chesapeake Energy 13,100 223
Consol Energy 7,600 192
Denbury Resources* 10,600 158
Devon Energy 63,200 2,824
Diamond Offshore Drilling (A) 32,400 2,037
Dresser-Rand Group* 35,600 787
Encore Acquisition* 7,000 163
ENSCO International (A) 44,500 1,175
EOG Resources (A) 114,700 6,281
Exxon Mobil 113,700 7,743
FMC Technologies* 10,200 320
Frontier Oil 5,500 70
Frontline 38,000 661
Halliburton 706,910 10,936
Hess (A) 104,790 5,680
Holly 2,700 57
Mariner Energy* 1,600 12
Massey Energy 40,100 406
Matrix Service* 18,900 155
Murphy Oil 33,000 1,477
Nabors Industries* 26,300 263
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
National Oilwell Varco* 33,629 $ 966
Noble 8,100 195
Occidental Petroleum (A) 205,700 11,447
Oceaneering International* 3,200 118
Oil States International* 17,300 232
Patterson-UTI Energy 36,200 324
Peabody Energy (A) 90,600 2,269
PetroHawk Energy* 50,900 979
Plains Exploration & Production* 84,200 1,451
Pride International* 24,200 435
Schlumberger (A) 610,768 24,809
SEACOR Holdings* (A) 4,800 280
Smith International 28,100 604
Southwestern Energy* 76,600 2,274
St. Mary Land & Exploration 8,200 108
Suncor Energy 182,858 4,061
Superior Energy Services* 21,000 271
Targa Resources Partners (A) 5,000 45
Tesoro (A) 67,900 915
Transocean* 70,600 4,154
Ultra Petroleum* 41,100 1,475
Unit* 16,200 339
Weatherford International* 351,772 3,894
Whiting Petroleum* 24,200 626
Willbros Group* 16,600 161
Williams 88,600 1,008
XTO Energy 120,900 3,702
-------------
114,411
-------------
FINANCIALS -- 4.4%
Affiliated Managers Group* 1,900 79
Aflac 139,134 2,694
American Express 225,646 3,076
Apartment Investment & Management,
Cl A+ (A) 51,400 281
Axis Capital Holdings 22,300 503
Bank of New York Mellon 316,400 8,938
BlackRock 400 52
Brown & Brown 12,700 240
Camden Property Trust+ 6,800 147
Capitol Federal Financial 4,300 163
Charles Schwab (A) 920,786 14,272
CME Group 60,415 14,886
Digital Realty Trust+ 6,900 229
Eaton Vance 7,000 160
Essex Property Trust+ 2,000 115
Forest City Enterprises, Cl A (A) 14,000 50
Franklin Resources 1,600 86
Goldman Sachs Group 5,031 534
Hudson City Bancorp 42,900 501
IntercontinentalExchange* 144,600 10,768
JPMorgan Chase 42,410 1,127
Lazard, Cl A 2,800 83
8 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Morgan Stanley 38,572 $ 878
Northern Trust 10,918 653
NYSE Euronext 120,700 2,161
Plum Creek Timber+ 2,200 64
Prudential Financial 14,700 279
Simon Property Group+ (A) 33,472 1,159
SLM* 90,700 449
St. Joe* 25,900 434
State Street 23,200 714
T. Rowe Price Group 7,224 209
TD Ameritrade Holding* 1,300 18
Transatlantic Holdings 2,700 96
Wells Fargo 160,700 2,288
World Acceptance* 9,200 157
-------------
68,543
-------------
HEALTH CARE -- 16.0%
Abbott Laboratories 482,816 23,030
Aetna 182,800 4,448
Allergan 505,300 24,133
American Medical Systems Holdings* 85,500 953
Amylin Pharmaceuticals* (A) 167,919 1,973
Baxter International 252,496 12,933
Beckman Coulter 1,900 97
Becton Dickinson 47,325 3,182
Biogen Idec* (A) 57,200 2,998
Boston Scientific* 9,500 76
Bristol-Myers Squibb 245,400 5,379
C.R. Bard 38,920 3,103
Cantel Medical* 5,700 73
Cardinal Health 13,288 418
Celgene* 41,560 1,845
Cephalon* (A) 30,300 2,064
Cerner* 2,200 97
Charles River Laboratories International* 500 13
Community Health Systems* 5,600 86
Computer Programs & Systems (A) 3,200 106
Covance* 18,800 670
Coventry Health Care* 68,100 881
DaVita* 23,600 1,037
Dentsply International 19,700 529
Edwards Lifesciences* 29,400 1,783
Eli Lilly 60,258 2,013
Endo Pharmaceuticals Holdings* 4,000 71
Enzon Pharmaceuticals* (A) 34,300 208
Express Scripts* (A) 75,280 3,476
Forest Laboratories* 70,300 1,544
Gen-Probe* 35,000 1,595
Genzyme* 4,800 285
Gilead Sciences* (A) 527,425 24,430
Hill-Rom Holdings 7,400 73
HLTH* 14,000 145
Humana* 37,100 968
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Idexx Laboratories* 3,600 $ 124
Illumina* 15,600 581
Immucor* 6,900 174
IMS Health 27,100 338
Intuitive Surgical* (A) 25,700 2,451
Invacare 30,800 494
Inverness Medical Innovations* 9,000 240
Johnson & Johnson (A) 293,491 15,438
Kindred Healthcare* 6,100 91
Kinetic Concepts* 30,800 650
Laboratory Corp of America Holdings* 500 29
Lincare Holdings* 12,500 272
Martek Biosciences (A) 9,400 172
Masimo* 17,300 501
McKesson 3,112 109
Medco Health Solutions* 312,982 12,939
Medtronic 350,100 10,317
Merck (A) 283,717 7,589
Noven Pharmaceuticals* 16,500 156
Novo Nordisk ADR (A) 120,600 5,786
Omnicare 3,200 78
PerkinElmer 25,500 326
Pharmaceutical Product Development 17,100 405
Quest Diagnostics 83,900 3,984
Resmed* 25,500 901
Schering-Plough 633,097 14,910
St. Jude Medical* (A) 169,327 6,152
STERIS 23,700 552
Stryker (A) 183,500 6,246
Synovis Life Technologies* 9,400 130
Techne 7,900 432
Teva Pharmaceutical Industries ADR 83,989 3,784
Thermo Fisher Scientific* 142,829 5,095
UnitedHealth Group 364,700 7,633
Varian Medical Systems* 38,000 1,157
VCA Antech* 6,200 140
Vertex Pharmaceuticals* 16,200 466
Viropharma* (A) 7,800 41
Vnus Medical Technologies* 3,100 66
Warner Chilcott, Cl A* (A) 104,600 1,100
Waters* 1,600 59
Watson Pharmaceuticals* 2,200 69
WellPoint* 10,900 414
Zimmer Holdings* 214,907 7,844
-------------
247,150
-------------
INDUSTRIALS -- 9.7%
3M 96,726 4,809
ABB ADR 133,710 1,864
AGCO* (A) 15,700 308
Allegiant Travel* (A) 34,900 1,587
Alliant Techsystems* 2,100 141
American Science & Engineering 11,600 647
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 9
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Ametek 6,200 $ 194
AMR* 41,100 131
Beacon Roofing Supply* 32,800 439
Boeing 197,816 7,038
Brink's 3,200 85
Bucyrus International, Cl A 8,800 134
Burlington Northern Santa Fe (A) 115,162 6,927
C.H. Robinson Worldwide 21,966 1,002
Carlisle 3,400 67
Caterpillar (A) 223,800 6,257
Columbus McKinnon* 11,600 101
Con-way 5,400 97
Cooper Industries, Cl A 20,000 517
Copart* 2,500 74
Corporate Executive Board 1,900 28
Corrections Corp of America* 1,300 17
CSX 148,200 3,831
Cummins 39,900 1,015
Danaher (A) 50,810 2,755
Deere (A) 15,900 523
Delta Air Lines* 20,100 113
Donaldson 1,100 29
Dover 114,500 3,020
Dun & Bradstreet 16,400 1,263
Emerson Electric 230,808 6,597
EnPro Industries* 15,800 270
Expeditors International of
Washington (A) 244,100 6,906
Fastenal 60,100 1,932
First Solar* 8,800 1,168
Flowserve 8,000 449
Fluor (A) 268,500 9,277
Foster Wheeler* 111,100 1,941
FTI Consulting* 1,600 79
GATX 3,000 61
General Cable* 14,000 277
Graco 44,300 756
Harsco 1,200 27
Honeywell International 70,000 1,950
Hubbell, Cl B 11,500 310
IDEX 48,500 1,061
Illinois Tool Works 11,700 361
Ingersoll-Rand, Cl A 3,700 51
ITT 52,900 2,035
Jacobs Engineering Group* (A) 52,000 2,010
JB Hunt Transport Services 47,000 1,133
Kansas City Southern* 45,900 583
KBR 43,600 602
Kennametal 11,900 193
Kirby* 5,900 157
L-3 Communications Holdings 11,600 787
Landstar System 24,600 823
Lincoln Electric Holdings 23,200 735
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Lockheed Martin 71,215 $ 4,916
Manpower 1,200 38
McDermott International* 20,600 276
MSC Industrial Direct, Cl A 32,600 1,013
Norfolk Southern (A) 127,600 4,307
Northrop Grumman 41,048 1,791
PACCAR 3,250 84
Pall 18,100 370
Parker Hannifin 900 31
Pitney Bowes 24,900 581
Polypore International* 8,400 34
Precision Castparts 24,914 1,492
Quanta Services* 195,600 4,196
Raytheon 55,500 2,161
Republic Services 23,200 398
Robert Half International 7,200 128
Roper Industries 9,100 386
Ryder System 53,600 1,517
Shaw Group* 134,200 3,678
Stericycle* 11,190 534
Sunpower, Cl A* 15,100 359
Thomas & Betts* 56,300 1,409
Toro 3,300 80
Union Pacific 145,800 5,994
United Parcel Service, Cl B (A) 272,775 13,426
United Technologies 131,095 5,635
URS* 5,200 210
UTI Worldwide 8,300 99
Valmont Industries 800 40
Walter Industries 14,300 327
Waste Management 95,400 2,442
WESCO International* 88,200 1,598
WW Grainger 32,900 2,309
-------------
149,403
-------------
INFORMATION TECHNOLOGY -- 29.0%+++
Accenture, Cl A 140,400 3,860
Activision Blizzard* (A) 615,651 6,440
Acxiom 32,000 237
Adobe Systems* 28,000 599
Affiliated Computer Services, Cl A* 7,700 369
Agilent Technologies* 12,300 189
Alliance Data Systems* 19,600 724
Altera 113,100 1,985
Amdocs* 19,200 356
Amphenol, Cl A 18,800 535
Analog Devices (A) 108,400 2,089
Ansys* 6,600 166
Apple* (A) 389,692 40,964
Applied Materials 13,705 147
Arris Group* 39,500 291
Automatic Data Processing 79,200 2,785
Avnet* 13,400 235
10 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
BigBand Networks* 11,700 $ 77
BMC Software* 4,300 142
Broadcom, Cl A* 47,600 951
Cisco Systems* (A) 1,807,226 30,307
Citrix Systems* 3,600 81
Cognizant Technology Solutions, Cl A* 9,300 193
CommScope* 24,900 283
Compuware* 79,700 525
Corning (A) 93,900 1,246
Cree* 3,400 80
Cypress Semiconductor* 15,100 102
Daktronics (A) 42,500 278
Dell* 664,060 6,295
Diebold 36,200 773
Dolby Laboratories, Cl A* 2,000 68
DST Systems* 28,500 987
Earthlink* (A) 83,000 545
eBay* 65,400 821
Electronic Arts* (A) 266,774 4,853
EMC* (A) 712,200 8,119
Equinix* 3,100 174
F5 Networks* 92,100 1,930
Factset Research Systems 5,200 260
Fidelity National Information Services 5,600 102
Flir Systems* 3,700 76
Global Payments 16,300 545
Google, Cl A* (A) 115,736 40,283
Harris 6,300 182
Hewitt Associates, Cl A* 73,400 2,184
Hewlett-Packard 679,700 21,791
Integrated Device Technology* 60,800 277
Intel (A) 778,587 11,718
InterDigital* (A) 17,400 449
International Business Machines 270,489 26,208
Intersil, Cl A 6,200 71
Intuit* (A) 417,900 11,283
Itron* 10,700 507
j2 Global Communications* 2,400 53
Jabil Circuit 48,700 271
Juniper Networks* (A) 324,700 4,890
Lam Research* 3,100 70
Linear Technology (A) 249,263 5,728
Manhattan Associates* 12,300 213
Marvell Technology Group* 43,100 395
Mastercard, Cl A (A) 67,000 11,221
McAfee* (A) 36,100 1,209
Metavante Technologies* 47,500 948
Microchip Technology 40,900 867
Microsoft 2,198,514 40,387
Molex 25,200 346
National Instruments 32,100 599
National Semiconductor 95,200 978
NCR* 71,400 568
NetApp* 16,300 242
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Netscout Systems* 4,500 $ 32
Nokia ADR 322,100 3,759
Novell* 12,900 55
NVE* 1,400 40
Nvidia* 7,400 73
ON Semiconductor* 16,100 63
Oracle 679,775 12,283
Paychex 148,000 3,799
QLogic* 34,300 381
Qualcomm 1,094,013 42,568
Rambus* 9,200 87
Red Hat* (A) 90,000 1,606
Research In Motion* (A) 273,364 11,774
RightNow Technologies* 15,400 116
SAIC* 5,100 95
Salesforce.com* 1,300 42
SanDisk* 25,100 318
Silicon Laboratories* (A) 36,400 961
Sohu.com* 9,500 393
SPSS* 9,600 273
Symantec* (A) 36,200 541
Synaptics* (A) 66,300 1,774
Teradata* (A) 353,300 5,731
Texas Instruments 154,315 2,548
Trimble Navigation* 37,500 573
Varian Semiconductor Equipment
Associates* 7,900 171
VeriSign* (A) 459,800 8,676
Visa, Cl A (A) 515,361 28,654
VMware, Cl A* 16,000 378
Western Digital* 7,100 137
Western Union 653,690 8,217
Xilinx 140,300 2,688
Yahoo!* (A) 351,600 4,504
Zebra Technologies, Cl A* 4,600 88
-------------
449,120
-------------
MATERIALS -- 3.1%
Air Products & Chemicals 8,400 472
Airgas 6,900 233
AK Steel Holding 18,800 134
Alcoa 19,600 144
Alpha Natural Resources* 41,500 737
Ashland 156,100 1,613
Ball 6,000 260
Carpenter Technology 12,400 175
Celanese, Ser A 3,400 45
Cliffs Natural Resources 35,700 648
Compass Minerals International (A) 2,800 158
Crown Holdings* 23,400 532
Dow Chemical 38,000 320
Eagle Materials (A) 6,800 165
Ecolab 5,500 191
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 11
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Concluded)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
FMC 5,100 $ 220
International Flavors & Fragrances 2,500 76
Martin Marietta Materials 2,200 174
Monsanto 189,314 15,732
Mosaic (A) 26,600 1,117
Nalco Holding (A) 158,000 2,065
NewMarket 5,000 221
Newmont Mining 44,300 1,983
Packaging Corp of America 5,300 69
PPG Industries 12,400 458
Praxair 192,126 12,928
Rohm & Haas 3,600 284
Sigma-Aldrich 5,400 204
Southern Copper 4,400 77
Steel Dynamics (A) 64,100 565
Syngenta ADR 132,400 5,311
Terra Industries 14,900 419
Titanium Metals (A) 60,000 328
United States Steel 19,800 418
-------------
48,476
-------------
TELECOMMUNICATION SERVICES -- 1.7%
American Tower, Cl A* 245,660 7,475
Crown Castle International* (A) 666,407 13,601
Embarq 30,500 1,154
Frontier Communications 57,100 410
iPCS* 4,900 48
Leap Wireless International* 2,400 84
MetroPCS Communications* (A) 26,200 447
NII Holdings* 56,900 854
NTELOS Holdings 17,700 321
SBA Communications, Cl A* 7,500 175
Telephone & Data Systems 3,100 82
USA Mobility 10,300 95
Windstream (A) 164,600 1,327
-------------
26,073
-------------
UTILITIES -- 0.9%
AES* (A) 256,300 1,489
Calpine* 32,900 224
Entergy 25,200 1,716
Exelon 42,300 1,920
Mirant* (A) 125,000 1,425
NRG Energy* 88,200 1,552
PPL 107,100 3,075
Public Service Enterprise Group 97,400 2,870
Questar 700 21
-------------
14,292
-------------
Total Common Stock
(Cost $1,668,602) ($ Thousands) 1,461,141
-------------
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
EXCHANGE TRADED FUND -- 0.0%
iShares Russell 1000 Growth
Index Fund 12,000 $ 421
-------------
Total Exchange Traded Fund
(Cost $415) ($ Thousands) 421
-------------
AFFILIATED PARTNERSHIP -- 19.9%
SEI Liquidity Fund, L.P.,
0.810%**++ (B) 314,004,925 308,498
-------------
Total Affiliated Partnership
(Cost $314,005) ($ Thousands) 308,498
-------------
CASH EQUIVALENTS -- 5.5%
Merrill Lynch EBP Master,
0.020%** 6,140,465 6,141
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 78,452,281 78,452
-------------
Total Cash Equivalents
(Cost $84,593) ($ Thousands) 84,593
-------------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bills
0.280%, 06/11/09 (C) (D) $ 4,500 4,499
-------------
Total U.S. Treasury Obligation
(Cost $4,497) ($ Thousands) 4,499
-------------
Total Investments -- 120.1%
(Cost $2,072,112) ($ Thousands) $ 1,859,152
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
S&P 500 Composite Index 147 Jun-2009 $1,441
======
12 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Description
Percentages are based on Net Assets of $1,547,927 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ 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 March
31, 2009 (see Note 7). The total market value of securities on loan at
March 31, 2009 was $308,667 ($ Thousands).
(B) This security was purchased with cash collateral received from securities
lending. The total value of such securities as of March 31, 2009 was
$308,498 ($ Thousands).
(C) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(D) The rate reported is the effective yield at the time of purchase.
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 / Semi-Annual Report / March 31, 2009 13
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Information Technology 16.2%
Affiliated Partnership 14.4%
Health Care 13.6%
Financials 10.8%
Energy 9.7%
Consumer Staples 8.7%
Consumer Discretionary 7.7%
Industrials 6.7%
Telecommunication Services 3.5%
Utilities 3.2%
Cash Equivalents 2.5%
Materials 2.4%
U.S. Treasury Obligations 0.6%
Rights 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 -- 96.3%
CONSUMER DISCRETIONARY -- 9.0%
Abercrombie & Fitch, Cl A 1,426 $ 34
Advance Auto Parts 1,200 49
Aeropostale* 31,000 823
Amazon.com* (A) 70,200 5,155
American Eagle Outfitters 3,150 39
American Greetings, Cl A (A) 16,700 84
Apollo Group, Cl A* (A) 21,925 1,717
Ascent Media, Cl A* 234 6
Autoliv (A) 22,650 420
Autonation* (A) 4,100 57
Autozone* (A) 4,119 670
Barnes & Noble (A) 21,250 454
Bed Bath & Beyond* (A) 4,400 109
Best Buy (A) 45,530 1,728
Big Lots* (A) 1,557 32
Black & Decker 2,000 63
Blyth 8,500 222
BorgWarner (A) 2,300 47
Brinker International 3,400 51
Brink's Home Security Holdings* 650 15
Cablevision Systems, Cl A 6,700 87
Career Education* 4,600 110
Carmax* (A) 6,383 79
Carnival 9,000 194
Cavco Industries* 130 3
CBS, Cl B 95,200 366
Chipotle Mexican Grill, Cl A* (A) 800 53
Coach* (A) 170,610 2,849
Comcast, Cl A 416,440 5,680
Core-Mark Holding* 2,500 46
Darden Restaurants 3,127 107
DeVry 1,021 49
Dick's Sporting Goods* 3,700 53
DIRECTV Group* 41,065 936
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Discovery Communications, Cl C* (A) 5,040 $ 74
DISH Network, Cl A* 32,649 363
Dollar Tree* 829 37
DR Horton 6,500 63
Eastman Kodak (A) 455,100 1,729
Ethan Allen Interiors (A) 30,500 343
Family Dollar Stores 1,500 50
Fortune Brands 49,862 1,224
GameStop, Cl A* 43,022 1,205
Gannett (A) 34,600 76
Gap 216,600 2,814
Garmin (A) 17,200 365
Gentex 5,500 55
Genuine Parts 850 25
Goodyear Tire & Rubber* (A) 55,150 345
Grand Canyon Education* (A) 11,800 204
H&R Block 30,000 546
Harley-Davidson (A) 25,600 343
Harman International Industries 4,200 57
Hasbro 68,495 1,717
Home Depot (A) 123,400 2,907
International Game Technology 97,353 898
International Speedway, Cl A 3,100 68
Interpublic Group* (A) 13,000 54
ITT Educational Services* 600 73
J.C. Penney 96,930 1,946
Jackson Hewitt Tax Service (A) 7,200 38
Jarden* 21,200 269
Johnson Controls (A) 7,659 92
KB Home (A) 4,700 62
Kohl's* 4,900 207
Lamar Advertising, Cl A* (A) 7,300 71
Landry's Restaurants (A) 11,600 61
Leggett & Platt (A) 59,000 766
Lennar, Cl A (A) 5,100 38
Liberty Global, Cl A* (A) 14,200 207
Liberty Media - Capital, Ser A* 10,500 73
Liberty Media - Entertainment, Cl A* 24,360 486
Liberty Media - Interactive, Cl A* (A) 6,450 19
LKQ* 3,200 46
Lowe's 287,825 5,253
Macy's 7,008 62
Marriott International, Cl A (A) 131,624 2,153
Mattel 2,300 27
McDonald's 153,116 8,356
McGraw-Hill 4,000 91
Mohawk Industries* (A) 2,829 85
Monro Muffler 8,000 219
New York Times, Cl A (A) 10,200 46
Newell Rubbermaid 51,320 327
News, Cl A 187,800 1,243
Nike, Cl B 123,400 5,786
Nordstrom (A) 4,900 82
NVR* 100 43
14 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Omnicom Group 6,000 $ 140
O'Reilly Automotive* (A) 1,800 63
Panera Bread, Cl A* (A) 17,400 973
Penn National Gaming* 2,300 56
PetMed Express* 10,200 168
PetSmart 1,608 34
Polo Ralph Lauren (A) 900 38
priceline.com* 1,200 95
Pulte Homes 3,600 39
Regal Entertainment Group, Cl A 2,700 36
Ross Stores 18,900 678
Scholastic 1,700 26
Scientific Games, Cl A* 3,600 44
Sears Holdings* (A) 67,000 3,063
Shaw Communications, Cl B 54,800 830
Sherwin-Williams 18,900 982
Smith & Wesson Holding* 50,300 303
Snap-On 778 20
Stanley Works 42,500 1,238
Staples (A) 259,227 4,695
Starbucks* 10,038 111
Starwood Hotels & Resorts
Worldwide (A) 79,400 1,008
Target (A) 136,734 4,702
Texas Roadhouse, Cl A* 19,700 188
Tiffany 1,800 39
Tim Hortons 1,500 38
Time Warner 259,800 5,014
Time Warner Cable, Cl A (A) 89,971 2,231
TJX (A) 74,300 1,905
Toll Brothers* 2,200 40
Tractor Supply* 12,100 436
Urban Outfitters* 2,500 41
VF 1,400 80
Viacom, Cl B* (A) 69,792 1,213
Virgin Media (A) 12,500 60
Walt Disney 223,957 4,067
Washington Post, Cl B 100 36
Weight Watchers International 133,400 2,474
Whirlpool (A) 17,900 530
WMS Industries* 1,100 23
Wyndham Worldwide 20,500 86
Yum! Brands 84,200 2,314
-------------
106,333
-------------
CONSUMER STAPLES -- 10.2%
Alberto-Culver 1,700 39
Altria Group (A) 85,310 1,366
Archer-Daniels-Midland 164,957 4,583
Avon Products 122,546 2,357
BJ's Wholesale Club* (A) 1,057 34
Brown-Forman, Cl B 1,500 58
Bunge (A) 12,400 703
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Campbell Soup 79,100 $ 2,164
Chiquita Brands International* (A) 54,300 360
Church & Dwight 800 42
Clorox (A) 9,969 513
Coca-Cola 261,229 11,481
Coca-Cola Enterprises 56,900 751
Colgate-Palmolive 76,720 4,525
ConAgra Foods 174,350 2,941
Constellation Brands, Cl A* 3,000 36
Corn Products International 16,400 348
Costco Wholesale 135,190 6,262
CVS Caremark 196,370 5,398
Dean Foods* 2,100 38
Del Monte Foods 147,100 1,072
Dr Pepper Snapple Group* 26,400 446
Energizer Holdings* 1,628 81
Estee Lauder, Cl A 3,500 86
General Mills 24,984 1,246
Hansen Natural* 1,200 43
Herbalife 52,200 782
Hershey 1,900 66
HJ Heinz 4,697 155
Hormel Foods 2,000 64
JM Smucker 600 22
Kellogg (A) 13,958 511
Kimberly-Clark 41,217 1,900
Kraft Foods, Cl A 179,225 3,995
Kroger 128,852 2,734
Lorillard 3,850 238
McCormick 2,100 62
Molson Coors Brewing, Cl B 2,500 86
Pepsi Bottling Group 93,300 2,066
PepsiAmericas 9,300 160
PepsiCo (A) 228,455 11,761
Philip Morris International 58,174 2,070
Prestige Brands Holdings* 18,600 96
Procter & Gamble 510,023 24,017
Reynolds American 49,100 1,760
Safeway (A) 138,934 2,805
Sara Lee 181,900 1,470
Spartan Stores 11,000 170
SUPERVALU (A) 90,298 1,289
SYSCO 57,050 1,301
Tyson Foods, Cl A 4,300 40
Walgreen 189,300 4,914
Wal-Mart Stores 172,948 9,011
Whole Foods Market (A) 3,700 62
-------------
120,580
-------------
ENERGY -- 11.3%
Anadarko Petroleum 36,200 1,408
Apache 32,435 2,079
Arch Coal 2,400 32
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 15
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Baker Hughes 3,941 $ 113
BJ Services 7,900 79
Cabot Oil & Gas 1,500 35
Cameron International* 102,100 2,239
Chesapeake Energy (A) 37,300 636
Chevron (A) 327,609 22,028
Cimarex Energy 15,843 291
ConocoPhillips (A) 302,007 11,827
Consol Energy 2,800 71
Denbury Resources* 4,000 59
Devon Energy 48,490 2,167
Diamond Offshore Drilling (A) 15,200 955
Dresser-Rand Group* 7,200 159
El Paso 10,156 63
ENSCO International (A) 11,100 293
EOG Resources 63,500 3,477
Exterran Holdings* 2,700 43
Exxon Mobil (A) 588,476 40,075
FMC Technologies* 1,400 44
Forest Oil* (A) 25,700 338
Frontier Oil 2,700 34
Frontline (A) 2,300 40
Halliburton 311,755 4,823
Helmerich & Payne (A) 3,395 77
Hess 46,210 2,505
Holly 32,200 683
Marathon Oil 159,100 4,183
Mariner Energy* 931 7
Matrix Service* 7,300 60
Murphy Oil 28,516 1,277
Nabors Industries* 3,500 35
National Oilwell Varco* 6,341 182
Newfield Exploration* 2,500 57
Noble 3,800 92
Noble Energy 2,600 140
Occidental Petroleum (A) 68,245 3,798
Oceaneering International* 1,200 44
Overseas Shipholding Group (A) 37,300 846
Patriot Coal* (A) 880 3
Patterson-UTI Energy (A) 49,700 445
Peabody Energy 43,600 1,092
Petro-Canada (A) 27,000 718
PetroHawk Energy* 4,000 77
Pioneer Natural Resources 4,944 81
Plains Exploration & Production* 25,295 436
Pride International* 2,700 49
Range Resources 3,000 123
Rowan 2,522 30
SandRidge Energy* 7,700 51
Schlumberger (A) 210,336 8,544
SEACOR Holdings* (A) 7,000 408
Smith International 5,428 117
Southwestern Energy* 23,400 695
Spectra Energy 13,243 187
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Suncor Energy 96,108 $ 2,135
Sunoco (A) 36,400 964
Swift Energy* (A) 10,100 74
Teekay Shipping 3,100 44
Tesoro (A) 9,000 121
Tidewater 29,350 1,090
Transocean* 33,600 1,977
Valero Energy 140,694 2,518
Weatherford International* 191,640 2,121
Western Refining (A) 56,600 676
Williams 10,600 121
XTO Energy 55,228 1,691
-------------
133,982
-------------
FINANCIALS -- 12.6%
ACE 27,600 1,115
Affiliated Managers Group* 1,000 42
Aflac 159,460 3,087
Allied World Assurance Holdings 6,500 247
Allstate 173,100 3,315
AMB Property+ (A) 4,500 65
American Equity Investment
Life Holding 27,300 114
American Express 139,527 1,902
American Financial Group 80,900 1,298
AmeriCredit* (A) 10,900 64
Ameriprise Financial (A) 116,490 2,387
Annaly Capital Management+ 102,613 1,423
AON 5,050 206
Apartment Investment & Management,
Cl A+ 8,115 44
Apollo Investment* (B) 64,500 225
Arthur J. Gallagher 2,600 44
Assurant 18,800 409
Astoria Financial (A) 53,200 489
AvalonBay Communities+ (A) 1,900 89
Axis Capital Holdings 52,700 1,188
Bancorpsouth 2,100 44
Bank of America (A) 748,257 5,103
Bank of Hawaii 50 2
Bank of New York Mellon 343,304 9,698
BB&T (A) 206,300 3,491
BlackRock 700 91
Boston Properties+ (A) 1,600 56
Brandywine Realty Trust+ 85,100 243
BRE Properties, Cl A+ 2,200 43
Brown & Brown 2,200 42
Camden Property Trust+ 2,200 47
Capital One Financial (A) 143,612 1,758
CB Richard Ellis Group, Cl A* 4,400 18
Charles Schwab (A) 445,968 6,912
Chubb 98,400 4,164
Cincinnati Financial (A) 44,100 1,009
16 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
CIT Group 5,300 $ 15
Citigroup (A) 335,379 849
CME Group 35,910 8,848
CNA Financial (A) 4,400 40
Comerica 35,700 654
Commerce Bancshares 2,700 98
Cullen/Frost Bankers 1,900 89
Delphi Financial Group, Cl A 14,900 201
Digital Realty Trust+ (A) 1,300 43
Discover Financial Services 43,950 277
Duke Realty+ 60,100 331
Endurance Specialty Holdings (A) 43,900 1,095
Equity Residential+ 4,687 86
Erie Indemnity, Cl A 1,400 48
Everest Re Group 16,200 1,147
Federal Realty Investment Trust+ 800 37
Federated Investors, Cl B (A) 42,800 953
Fidelity National Financial, Cl A 5,399 105
First American 2,100 56
First Citizens BancShares, Cl A 600 79
First Horizon National (A) 14,330 154
Forest City Enterprises, Cl A 9,800 35
Franklin Resources 24,550 1,322
Fulton Financial (A) 13,000 86
Goldman Sachs Group (A) 69,400 7,358
Hanover Insurance Group 4,297 124
Hartford Financial Services Group 36,700 288
HCC Insurance Holdings 1,500 38
HCP+ (A) 1,700 30
Health Care+ (A) 1,371 42
Highwoods Properties+ 750 16
Hospitality Properties Trust+ (A) 66,300 796
Host Hotels & Resorts+ 31,700 124
Hudson City Bancorp 102,800 1,202
Huntington Bancshares (A) 119,900 199
IntercontinentalExchange* (A) 79,491 5,920
Invesco 6,000 83
Investment Technology Group* 2,400 61
IPC Holdings 23,400 633
Jefferies Group 7,900 109
JPMorgan Chase (A) 611,861 16,263
Keycorp (A) 69,300 545
LaSalle Hotel Properties+ (A) 13,700 80
Legg Mason 2,100 33
Liberty Property Trust+ 1,900 36
Lincoln National (A) 94,500 632
Loews 5,700 126
M&T Bank (A) 3,050 138
Macerich+ (A) 5,500 34
Mack-Cali Realty+ 2,700 54
MainSource Financial Group (A) 2,300 18
Manulife Financial 1,565 18
Marsh & McLennan 9,006 182
Marshall & Ilsley (A) 17,900 101
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
MBIA* (A) 7,600 $ 35
Mercury General 1,700 50
MetLife (A) 80,200 1,826
MF Global* (A) 9,400 40
Moody's (A) 39,238 899
Morgan Stanley 179,100 4,078
NASDAQ OMX Group* 4,000 78
Nationwide Health Properties+ (A) 1,500 33
New York Community Bancorp 121,400 1,356
NewAlliance Bancshares (A) 65,600 770
NGP Capital Resources 5,000 25
Northern Trust 4,250 254
NYSE Euronext 142,740 2,555
Old Republic International (A) 8,600 93
OneBeacon Insurance Group, Cl A 4,400 42
PartnerRe 1,300 81
People's United Financial 7,025 126
Piper Jaffray* 366 9
Platinum Underwriters Holdings 4,900 139
Plum Creek Timber+ 2,090 61
PNC Financial Services Group 71,700 2,100
Principal Financial Group 45,800 375
Progressive 75,782 1,018
Prologis+ (A) 18,300 119
Protective Life (A) 22,500 118
Prudential Financial 75,300 1,432
Public Storage+ 2,050 113
Ramco-Gershenson Properties+ 16,500 106
Raymond James Financial (A) 2,025 40
Regency Centers+ 850 23
Regions Financial (A) 85,400 364
Reinsurance Group of America, Cl A 20,200 654
RenaissanceRe Holdings 800 40
SeaBright Insurance Holdings* 9,000 94
Simon Property Group+ (A) 7,877 273
SL Green Realty+ (A) 14,700 159
StanCorp Financial Group 20,100 458
State Street 90,400 2,783
Student Loan 1,300 56
Sun Bancorp* 2,600 13
Sunstone Hotel Investors+ 38,000 100
SunTrust Banks 29,000 340
SVB Financial Group* (A) 1,550 31
T. Rowe Price Group (A) 33,600 970
Taubman Centers+ (A) 2,800 48
TD Ameritrade Holding* (A) 7,650 106
Transatlantic Holdings 1,400 50
Travelers (A) 125,765 5,111
United America Indemnity, Cl A* 5,500 22
Unitrin 4,900 68
Unum Group 94,150 1,177
US Bancorp 226,865 3,315
Ventas+ 3,400 77
Vornado Realty Trust+ (A) 2,527 84
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 17
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Waddell & Reed Financial, Cl A 2,800 $ 51
Washington Federal 3,900 52
Weingarten Realty Investors+ (A) 11,000 105
Wells Fargo (A) 711,514 10,132
Wilmington Trust (A) 4,300 42
World Acceptance* 4,900 84
WR Berkley (A) 49,700 1,121
XL Capital, Cl A 12,400 68
-------------
148,447
-------------
HEALTH CARE -- 15.9%
Abbott Laboratories 173,158 8,260
Abraxis Bioscience* 800 38
Aetna 311,400 7,576
Allergan 236,908 11,315
American Medical Systems Holdings* 20,600 230
AmerisourceBergen 71,938 2,349
Amgen* 204,698 10,137
Amylin Pharmaceuticals* (A) 87,610 1,029
Baxter International 98,080 5,024
Beckman Coulter 600 31
Becton Dickinson 24,000 1,614
Biogen Idec* (A) 26,408 1,384
Boston Scientific* 40,617 323
Bristol-Myers Squibb 71,645 1,570
C.R. Bard 14,780 1,178
Cantel Medical* 5,400 69
Cardinal Health 32,255 1,015
Celgene* (A) 6,800 302
Cephalon* (A) 1,671 114
Cerner* (A) 1,100 48
Charles River Laboratories International* 1,600 44
Chemed 400 16
Cigna 8,790 155
Computer Programs & Systems (A) 6,400 213
Cooper 2,100 56
Covance* 1,100 39
Coventry Health Care* 78,900 1,021
Covidien 34,250 1,138
DaVita* 1,425 63
Dentsply International 2,300 62
Edwards Lifesciences* 700 42
Eli Lilly 189,464 6,330
Endo Pharmaceuticals Holdings* 75,700 1,338
Enzon Pharmaceuticals* (A) 16,000 97
ev3* 8,800 62
Express Scripts* 29,864 1,379
Forest Laboratories* 131,900 2,897
Gen-Probe* 8,400 383
Genzyme* 4,150 247
Gilead Sciences* (A) 235,090 10,889
Henry Schein* 1,000 40
Hill-Rom Holdings (A) 4,000 40
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
HLTH* 4,042 $ 42
Hologic* 7,600 99
Hospira* (A) 6,600 204
Humana* 41,579 1,084
Idexx Laboratories* (A) 1,300 45
Illumina* (A) 2,800 104
Intuitive Surgical* (A) 12,650 1,206
Invacare 13,700 220
Inverness Medical Innovations* 1,700 45
Johnson & Johnson (A) 344,982 18,146
Kinetic Concepts* 43,600 921
King Pharmaceuticals* 68,800 486
Laboratory Corp of America
Holdings* (A) 1,950 114
Life Technologies* 3,691 120
Martek Biosciences (A) 4,700 86
Masimo* 10,700 310
McKesson 29,026 1,017
Medco Health Solutions* 147,086 6,080
Mednax* 1,500 44
Medtronic 151,476 4,464
Merck 383,083 10,247
Millipore* (A) 1,400 80
Mylan Laboratories* (A) 7,475 100
Noven Pharmaceuticals* 3,100 29
Novo Nordisk ADR (A) 67,800 3,253
Omnicare 1,300 32
Patterson* 2,100 40
PerkinElmer 5,950 76
Pfizer 834,268 11,363
Pharmaceutical Product Development 2,000 47
Quest Diagnostics 21,404 1,016
Resmed* 14,800 523
Schering-Plough (A) 263,211 6,199
Sepracor* 9,900 145
St. Jude Medical* 91,960 3,341
STERIS 19,100 445
Stryker (A) 82,000 2,791
Synovis Life Technologies* 2,700 37
Techne 800 44
Teva Pharmaceutical Industries ADR 45,320 2,042
Thermo Fisher Scientific* 79,156 2,824
UnitedHealth Group 550,076 11,513
Valeant Pharmaceuticals International* 1,000 18
Varian Medical Systems* 17,100 521
VCA Antech* 2,200 50
Vertex Pharmaceuticals* 3,000 86
Vnus Medical Technologies* 3,900 83
Warner Chilcott, Cl A* (A) 40,700 428
Waters* 1,600 59
Watson Pharmaceuticals* 2,900 90
WellPoint* 108,444 4,118
Wyeth 167,600 7,214
18 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Zimmer Holdings* 104,996 $ 3,832
-------------
187,680
-------------
INDUSTRIALS -- 7.8%
3M 38,600 1,919
ABB ADR 70,310 980
Aecom Technology* 1,500 39
AGCO* 400 8
Allegiant Travel* (A) 15,900 723
Altra Holdings* 3,200 12
American Science & Engineering 4,600 257
Ametek 1,300 41
Beacon Roofing Supply* (A) 22,300 299
Boeing 91,933 3,271
Burlington Northern Santa Fe 30,130 1,812
C.H. Robinson Worldwide 2,502 114
Caterpillar (A) 75,635 2,115
Cintas 1,700 42
Colfax* 10,800 74
Continental Airlines, Cl B* (A) 28,350 250
Con-way 3,100 56
Copart* 1,600 47
Crane 850 14
CSX 4,562 118
Cummins 49,500 1,260
Danaher (A) 36,884 2,000
Deere (A) 27,300 897
Delta Air Lines* (A) 8,100 45
Deluxe 22,300 215
Donaldson 1,900 51
Dover 29,400 776
Dun & Bradstreet 800 62
Eaton 23,079 851
Emerson Electric 94,034 2,688
EnPro Industries* 11,300 193
Equifax 3,301 81
Expeditors International of Washington 143,400 4,057
Fastenal (A) 2,800 90
FedEx 36,833 1,639
First Solar* (A) 657 87
Flowserve 2,004 113
Fluor (A) 111,100 3,838
Foster Wheeler* 47,500 830
FTI Consulting* 900 45
Gardner Denver* 28,300 615
GATX (A) 1,600 32
General Cable* (A) 3,000 59
General Dynamics 72,106 2,999
General Electric 1,391,298 14,066
Goodrich 2,850 108
H&E Equipment Services* 3,900 26
Harsco 2,300 51
Honeywell International 40,763 1,136
IHS, Cl A* 900 37
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Illinois Tool Works 5,929 $ 183
Ingersoll-Rand, Cl A 3,300 46
Iron Mountain* 3,625 80
ITT 23,400 900
Jacobs Engineering Group* 11,740 454
John Bean Technologies 216 2
Joy Global 1,800 38
KBR 3,300 46
Kennametal 3,000 49
L-3 Communications Holdings 16,100 1,091
Ladish* 2,100 15
Lockheed Martin 25,470 1,758
Manpower 800 25
McDermott International* 3,600 48
Monster Worldwide* 3,200 26
MSC Industrial Direct, Cl A (A) 2,000 62
Norfolk Southern (A) 96,290 3,250
Northrop Grumman 95,134 4,152
Oshkosh Truck (A) 7,000 47
PACCAR 6,134 158
Pall 2,322 48
Parker Hannifin 18,275 621
Pentair (A) 2,400 52
Pitney Bowes 2,200 51
Polypore International* 4,800 19
Precision Castparts 12,020 720
Quanta Services* 76,900 1,649
Raytheon 86,400 3,364
Republic Services 7,345 126
Robert Half International (A) 1,300 23
Rockwell Automation 3,000 66
Rockwell Collins 3,450 113
Roper Industries 1,900 81
RR Donnelley & Sons 99,700 731
Ryder System 4,700 133
Shaw Group* 56,950 1,561
Skywest 821 10
Southwest Airlines 20,700 131
SPX 749 35
Stericycle* 12,400 592
Thomas & Betts* 34,500 863
Trinity Industries (A) 11,200 102
Tyco International 102,000 1,995
Union Pacific 32,800 1,348
United Parcel Service, Cl B (A) 129,400 6,369
United Technologies 134,471 5,779
URS* 1,700 69
Walter Industries 2,400 55
Waste Management (A) 32,818 840
Watson Wyatt Worldwide, Cl A 4,300 212
WESCO International* (A) 23,900 433
WW Grainger 1,309 92
-------------
91,851
-------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 19
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
INFORMATION TECHNOLOGY -- 18.9%
Accenture, Cl A 42,000 $ 1,154
Activision Blizzard* (A) 302,990 3,169
Acxiom 30,400 225
Adobe Systems* 9,262 198
Advent Software* (A) 1,378 46
Affiliated Computer Services, Cl A* 1,100 53
Agilent Technologies* 4,050 62
Akamai Technologies* 3,000 58
Altera 4,900 86
Amdocs* 33,600 622
Amphenol, Cl A 2,800 80
Analog Devices 4,050 78
Apple* (A) 160,953 16,919
Applied Materials 25,700 276
Arris Group* 10,800 80
Arrow Electronics* 8,400 160
Autodesk* (A) 3,609 61
Automatic Data Processing 15,318 538
Avnet* 7,500 131
Avocent* 13,100 159
BigBand Networks* 3,400 22
BMC Software* 6,948 229
Broadcom, Cl A* (A) 11,300 226
Broadridge Financial Solutions 3,000 56
Brocade Communications Systems* 7,000 24
CA (A) 214,397 3,776
Cadence Design Systems* 11,100 47
Ciena* (A) 6,400 50
Cisco Systems* (A) 776,367 13,020
Citrix Systems* 4,750 108
Cognizant Technology Solutions, Cl A* 4,456 93
Computer Sciences* 38,300 1,411
Compuware* 40,600 268
Convergys* 31,100 251
Corning 45,910 609
Cypress Semiconductor* (A) 6,250 42
Dell* 361,830 3,430
Diebold 1,700 36
Dolby Laboratories, Cl A* (A) 1,235 42
DST Systems* (A) 3,850 133
Earthlink* (A) 50,700 333
eBay* 266,134 3,343
Electronic Arts* 219,232 3,988
EMC* (A) 395,976 4,514
Equinix* (A) 800 45
F5 Networks* 10,000 209
Factset Research Systems 900 45
Fidelity National Information Services 3,264 59
Fiserv* 2,242 82
Flir Systems* 3,800 78
Global Payments 2,000 67
Google, Cl A* (A) 58,190 20,254
Harris 30,100 871
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Hewitt Associates, Cl A* 51,200 $ 1,524
Hewlett-Packard 335,373 10,752
IAC* 3,695 56
Ingram Micro, Cl A* 93,200 1,178
Integrated Device Technology* 8,500 39
Intel (A) 245,236 3,691
Interactive Intelligence* 3,700 34
InterDigital* (A) 3,700 96
International Business Machines 111,488 10,802
International Rectifier* 3,500 47
Intersil, Cl A 4,000 46
Intuit* 209,931 5,668
Juniper Networks* (A) 161,346 2,430
Lam Research* (A) 1,300 30
Lender Processing Services 1,632 50
Lexmark International, Cl A* 42,600 719
Linear Technology (A) 86,494 1,988
LSI Logic* 12,300 37
Macrovision Solutions* 23 --
Marvell Technology Group* 10,600 97
Mastercard, Cl A (A) 36,600 6,130
McAfee* 2,900 97
MEMC Electronic Materials* 5,800 96
Metavante Technologies* 2,700 54
Mettler Toledo International* 12,250 629
Microchip Technology (A) 2,350 50
Micron Technology* 11,200 46
Microsoft 845,420 15,530
MicroStrategy, Cl A* 1,100 38
Motorola 44,800 189
National Semiconductor 9,100 93
NCR* 81,700 650
NetApp* 7,296 108
NeuStar, Cl A* 28,600 479
Nokia ADR 112,000 1,307
Novell* 13,200 56
Nvidia* (A) 12,250 121
Oracle 186,842 3,376
Paychex 52,900 1,358
Polycom* (A) 1,164 18
QLogic* (A) 90,600 1,008
Qualcomm 495,529 19,281
Rambus* 5,000 47
Red Hat* 5,500 98
Research In Motion* (A) 136,190 5,866
RightNow Technologies* 9,000 68
SAIC* 2,000 37
Salesforce.com* 1,500 49
SanDisk* 8,400 106
Seagate Technology 175,700 1,056
Silicon Laboratories* (A) 5,200 137
Sohu.com* (A) 1,000 41
Sun Microsystems* (A) 95,800 701
Symantec* (A) 215,814 3,224
20 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Synaptics* (A) 29,300 $ 784
Synopsys* 2,100 44
Tech Data* 2,300 50
Tellabs* 11,600 53
Teradata* 197,900 3,210
Teradyne* 9,800 43
Texas Instruments (A) 260,000 4,293
Total System Services 3,100 43
Trimble Navigation* 2,600 40
Tyco Electronics 22,600 250
Verigy* 863 7
VeriSign* (A) 253,554 4,785
Visa, Cl A (A) 260,432 14,480
Vishay Intertechnology* (A) 81,300 283
VMware, Cl A* 2,000 47
Western Digital* 48,950 947
Western Union 293,552 3,690
Xerox 247,841 1,128
Xilinx (A) 60,300 1,155
Yahoo!* (A) 385,050 4,932
Zebra Technologies, Cl A* 2,400 45
-------------
223,653
-------------
MATERIALS -- 2.8%
Air Products & Chemicals 3,550 200
AK Steel Holding 6,500 46
Alcoa (A) 80,200 589
Allegheny Technologies 1,800 39
Alpha Natural Resources* 2,600 46
AM Castle 2,700 24
Ashland 85,200 880
Ball 1,200 52
Bemis 2,400 50
Carpenter Technology 22,800 322
Celanese, Ser A 4,900 66
CF Industries Holdings 900 64
Commercial Metals 4,600 53
Crown Holdings* 2,200 50
Dow Chemical (A) 188,175 1,586
E.I. Du Pont de Nemours 17,606 393
Eagle Materials 753 18
Eastman Chemical 30,300 812
Ecolab 2,400 83
FMC 900 39
Freeport-McMoRan Copper & Gold,
Cl B 22,650 863
Greif, Cl A 1,500 50
International Flavors & Fragrances 1,400 43
International Paper 27,400 193
Kaiser Aluminum (A) 5,100 118
Koppers Holdings 5,000 73
Lubrizol 44,400 1,510
Martin Marietta Materials 550 44
MeadWestvaco 28,300 339
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Monsanto 71,580 $ 5,948
Mosaic 8,400 353
Nalco Holding (A) 57,400 750
NewMarket 800 35
Newmont Mining (A) 14,500 649
Nucor 54,300 2,073
OM Group* 2,300 44
Owens-Illinois* 1,950 28
Pactiv* 1,632 24
PPG Industries 36,200 1,336
Praxair 99,740 6,712
Reliance Steel & Aluminum 1,700 45
Rockwood Holdings* 10,300 82
Rohm & Haas 2,300 181
RPM International 1,500 19
Sealed Air 6,700 93
Sigma-Aldrich 2,200 83
Sonoco Products 45,300 950
Southern Copper (A) 25,811 450
Steel Dynamics (A) 35,700 314
Syngenta ADR 72,600 2,912
Terra Industries 5,800 163
United States Steel (A) 1,568 33
Valspar 45,100 901
Weyerhaeuser 2,300 64
-------------
32,887
-------------
TELECOMMUNICATION SERVICES -- 4.1%
American Tower, Cl A* (A) 133,484 4,062
AT&T (A) 788,546 19,871
Atlantic Telegraph-Network 4,900 94
CenturyTel (A) 36,837 1,036
Crown Castle International* (A) 361,042 7,369
Embarq 4,876 184
iPCS* 1,900 18
Leap Wireless International* 1,800 63
MetroPCS Communications* (A) 5,600 96
NII Holdings* 2,900 43
NTELOS Holdings 10,100 183
Qwest Communications
International (A) 45,549 156
SBA Communications, Cl A* 2,100 49
Sprint Nextel* 187,900 671
Telephone & Data Systems 1,900 50
Telephone & Data Systems, Cl L 1,300 31
US Cellular* 1,976 66
USA Mobility 9,000 83
Verizon Communications 459,359 13,873
Windstream 8,323 67
-------------
48,065
-------------
UTILITIES -- 3.7%
AES* 751,550 4,366
Allegheny Energy 4,200 97
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 21
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Concluded)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Alliant Energy 68,000 $ 1,679
Ameren (A) 63,300 1,468
American Electric Power 143,100 3,615
American Water Works 22,100 425
Aqua America 3,633 73
Atmos Energy 4,300 99
Centerpoint Energy 9,800 102
CMS Energy (A) 82,500 977
Consolidated Edison (A) 3,700 147
Constellation Energy Group 2,410 50
Dominion Resources 48,183 1,493
DPL 2,000 45
DTE Energy 76,600 2,122
Duke Energy 22,844 327
Dynegy, Cl A* 6,800 10
Edison International 85,300 2,458
Energen 1,400 41
Energy 36,000 338
Entergy 34,648 2,359
Equities CORP 2,100 66
Exelon 78,076 3,544
FirstEnergy 61,100 2,358
FPL Group 6,438 327
Great Plains Energy 3,500 47
Hawaiian Electric Industries 17,100 235
Integrys Energy Group 3,400 88
Mirant* (A) 95,200 1,085
National Fuel Gas 1,300 40
NiSource 96,000 941
Northeast Utilities 1,600 35
NRG Energy* (A) 45,400 799
NSTAR 1,100 35
OGE Energy 1,074 26
Oneok 10,600 240
Pepco Holdings 144,900 1,808
PG&E 36,050 1,378
Pinnacle West Capital (A) 25,300 672
PPL 14,500 416
Progress Energy 3,100 112
Public Service Enterprise Group 66,600 1,963
Questar 3,500 103
Reliant Energy* (A) 13,781 44
Sempra Energy (A) 99,447 4,598
Southern 12,164 373
Southern Union 2,900 44
TECO Energy (A) 15,800 176
UGI 1,500 35
Wisconsin Energy 1,000 41
Xcel Energy 8,453 157
-------------
44,077
-------------
Total Common Stock
(Cost $1,377,954) ($ Thousands) 1,137,555
-------------
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Number of
Rights
-------------
RIGHT -- 0.0%
United American Indemnity
Expires, 04/06/09* 6 $ 3
-------------
Total Right
(Cost $--) ($ Thousands) 3
-------------
AFFILIATED PARTNERSHIP -- 16.8%
SEI Liquidity Fund, L.P.,
0.810%**++ (C) 203,591,990 198,435
-------------
Total Affiliated Partnership
(Cost $203,592) ($ Thousands) 198,435
-------------
CASH EQUIVALENTS -- 3.0%
Merrill Lynch EBP Master, 0.020% 3,159,173 3,159
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 32,085,706 32,086
-------------
Total Cash Equivalents
(Cost $35,245) ($ Thousands) 35,245
-------------
U.S. TREASURY OBLIGATIONS -- 0.7%
U.S. Treasury Bills
0.093%, 06/18/09 (D) (E) $ 200 200
0.000%, 06/11/09 (D) (E) 7,900 7,897
-------------
Total U.S. Treasury Obligations
(Cost $8,098) ($ Thousands) 8,097
-------------
Total Investments -- 116.8%
(Cost $1,624,889) ($ Thousands) $ 1,379,335
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
S&P 500 Index E-MINI 3 Jun-2009 $ 17
S&P Composite Index 103 Jun-2009 1,146
S&P Mid 400 Index E-MINI 49 Jun-2009 186
------
$1,349
======
Percentages are based on Net Assets of $1,181,415 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ Real Estate Investment Trust.
++ Investment in Affiliated Investment (see Note 3).
(A) This Security or a partial position of this security is on loan at March
31, 2009 (see Note 7). The total market value of securities on loan at
March 31, 2009 was $200,714 ($ Thousands).
(B) Business development company.
(C) This security was purchased with cash collateral received from securities
lending. The total value of such securities as of March 31, 2009 was
$198,435 ($ Thousands).
(D) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(E) The rate reported is the effective yield at the time of purchase.
ADR -- American Depositary Receipt
Cl -- Class
L.P. -- Limited Partnership
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
22 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Large Cap Diversified Alpha Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Information Technology 18.2%
Health Care 12.3%
Consumer Staples 9.6%
Energy 9.2%
Financials 9.1%
Industrials 8.1%
Consumer Discretionary 7.7%
Mortgage-Backed Securities 7.2%
Cash Equivalent 6.7%
Utilities 2.9%
Telecommunication Services 2.7%
Materials 2.4%
Asset-Backed Securities 2.0%
U.S. Government Agency Obligations 1.3%
U.S. Treasury Obligations 0.5%
Exchange Traded Fund 0.1%
# Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 84.8%
CONSUMER DISCRETIONARY -- 8.0%
Advance Auto Parts 3,700 $ 152
Aeropostale* 42,300 1,124
Amazon.com* 45,900 3,371
American Greetings, Cl A 16,900 85
Ameristar Casinos 11,500 145
Apollo Group, Cl A* 26,500 2,076
Autozone* 783 127
Bed Bath & Beyond* 1,900 47
Big Lots* 49,300 1,024
Black & Decker 2,500 79
Blyth 4,200 110
Cablevision Systems, Cl A 31,110 402
California Pizza Kitchen* 15,700 205
Career Education* 4,100 98
Carnival 12,500 270
Childrens Place Retail Stores* 8,500 186
Chipotle Mexican Grill, Cl A* 600 40
Coach* 79,300 1,324
Comcast, Cl A 358,271 4,887
Core-Mark Holding* 1,500 27
Darden Restaurants 5,300 182
DIRECTV Group* 128,855 2,937
DISH Network, Cl A* 54,728 608
Dollar Tree* 3,200 143
DreamWorks Animation SKG, Cl A* 12,200 264
Eastman Kodak 237,600 903
Family Dollar Stores 16,000 534
Foot Locker 17,100 179
Gap 101,600 1,320
Garmin 59,400 1,260
Genuine Parts 3,563 107
Grand Canyon Education* 19,000 328
H&R Block 136,653 2,486
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Hasbro 15,600 $ 391
Hillenbrand 5,400 86
Home Depot 41,600 980
International Game Technology 60,400 557
International Speedway, Cl A 2,100 46
ITT Educational Services* 2,200 267
J.C. Penney 45,000 903
Jarden* 39,000 494
John Wiley & Sons, Cl A 1,300 39
Johnson Controls 23,709 285
Kohl's* 9,456 400
Leggett & Platt 81,200 1,055
Liberty Global, Cl A* 5,604 82
Liberty Media - Entertainment, Cl A* 62,900 1,255
Limited Brands 25,800 225
Lowe's 13,700 250
Mattel 1,800 21
McDonald's 73,642 4,019
McGraw-Hill 7,900 181
MGM Mirage* 34,647 81
Monro Muffler 6,400 175
NetFlix* 31,100 1,335
New York Times, Cl A 500 2
Nike, Cl B 33,024 1,549
O'Reilly Automotive* 1,200 42
Panera Bread, Cl A* 29,900 1,671
PetMed Express* 15,800 260
PetSmart 13,900 291
Phillips-Van Heusen 1,100 25
Polo Ralph Lauren 22,600 955
Pulte Homes 4,000 44
RadioShack 21,200 182
Ross Stores 26,400 947
Royal Caribbean Cruises 22,100 177
Scientific Games, Cl A* 8,600 104
Scripps Networks Interactive, Cl A 2,500 56
Sears Holdings* 40,900 1,870
Shaw Communications, Cl B 70,100 1,062
Sherwin-Williams 17,980 934
Smith & Wesson Holding* 28,300 170
Snap-On 5,965 150
Stanley Works 1,800 52
Staples 134,600 2,438
Starbucks* 5,000 55
Strayer Education 900 162
Target 5,945 204
Ticketmaster* 5,417 20
Tiffany 1,500 32
Time Warner 143,056 2,761
Time Warner Cable, Cl A 35,909 890
Titan International 12,200 61
TJX 52,900 1,356
Toll Brothers* 900 16
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 23
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Tractor Supply* 14,000 $ 505
TravelCenters of America LLC* 1 --
Urban Outfitters* 500 8
VF 7,318 418
Walt Disney 77,509 1,407
Weight Watchers International 65,000 1,206
Yum! Brands 41,910 1,152
-------------
63,391
-------------
CONSUMER STAPLES -- 9.9%
Alberto-Culver 700 16
Altria Group 239,326 3,834
Archer-Daniels-Midland 139,966 3,888
Avon Products 28,700 552
BJ's Wholesale Club* 25,100 803
Brown-Forman, Cl B 52,635 2,044
Bunge 34,258 1,941
Campbell Soup 26,900 736
Chiquita Brands International* 31,300 208
Church & Dwight 3,700 193
Clorox 13,500 695
Coca-Cola 64,805 2,848
Colgate-Palmolive 48,915 2,885
ConAgra Foods 134,100 2,262
Constellation Brands, Cl A* 16,600 198
Corn Products International 7,600 161
Costco Wholesale 83,312 3,859
CVS Caremark 170,039 4,674
Dean Foods* 1,500 27
Del Monte Foods 27,400 200
Dr Pepper Snapple Group* 18,500 313
Energizer Holdings* 600 30
Estee Lauder, Cl A 10,310 254
General Mills 34,500 1,721
Hansen Natural* 1,000 36
Herbalife 40,300 603
Hershey 16,100 559
HJ Heinz 24,474 809
JM Smucker 10,900 406
Kellogg 24,675 904
Kimberly-Clark 20,535 947
Kraft Foods, Cl A 41,539 926
Kroger 112,421 2,386
Lorillard 250 15
McCormick 4,453 132
Molson Coors Brewing, Cl B 3,200 110
NBTY* 1,200 17
Pepsi Bottling Group 60,000 1,328
PepsiAmericas 18,400 317
PepsiCo 74,647 3,843
Philip Morris International 69,265 2,465
Procter & Gamble 224,149 10,555
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Reynolds American 35,866 $ 1,285
Safeway 41,506 838
Sara Lee 65,800 532
Smithfield Foods* 1,300 12
Spartan Stores 13,100 202
SUPERVALU 52,300 747
SYSCO 193,355 4,409
Tyson Foods, Cl A 164,337 1,543
Walgreen 140,798 3,655
Wal-Mart Stores 90,307 4,705
Weis Markets 1,300 40
-------------
78,668
-------------
ENERGY -- 9.4%
Anadarko Petroleum 10,000 389
Apache 4,200 269
Arch Coal 1,700 23
Baker Hughes 17,548 501
BJ Services 13,900 138
Cabot Oil & Gas 11,882 280
Cameron International* 1,776 39
Chesapeake Energy 25,000 427
Chevron 198,192 13,326
Cimarex Energy 10,700 197
CNX Gas* 1,840 44
ConocoPhillips 140,779 5,513
Consol Energy 1,000 25
Denbury Resources* 2,100 31
Devon Energy 4,800 215
Diamond Offshore Drilling 12,000 754
Dresser-Rand Group* 5,000 111
Encore Acquisition* 7,000 163
ENSCO International 6,700 177
EOG Resources 61,772 3,383
Exterran Holdings* 4,300 69
Exxon Mobil 407,731 27,766
FMC Technologies* 1,400 44
Forest Oil* 24,700 325
Frontier Oil 2,100 27
Frontline 8,700 151
Halliburton 88,484 1,369
Helmerich & Payne 1,600 36
Hess 1,245 67
Holly 28,300 600
Marathon Oil 20,610 542
Massey Energy 5,800 59
Matrix Service* 14,200 117
Murphy Oil 40,802 1,827
Nabors Industries* 18,500 185
National Oilwell Varco* 4,634 133
Noble 1,400 34
Noble Energy 100 5
24 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Occidental Petroleum 39,399 $ 2,193
Oceaneering International* 1,200 44
Oil States International* 5,700 76
Overseas Shipholding Group 28,500 646
Patterson-UTI Energy 60,000 538
Peabody Energy 22,900 573
PetroHawk Energy* 17,500 337
Pioneer Natural Resources 9,000 148
Plains Exploration & Production* 24,400 420
Pride International* 11,000 198
Schlumberger 45,100 1,832
SEACOR Holdings* 11,700 682
Smith International 7,600 163
Southwestern Energy* 19,700 585
Spectra Energy 18,100 256
St. Mary Land & Exploration 4,100 54
Sunoco 26,700 707
Superior Energy Services* 13,500 174
Tesoro 41,216 555
Tidewater 26,800 995
Transocean* 21,400 1,259
Unit* 5,000 105
Valero Energy 101,600 1,819
Western Refining 13,000 155
Whiting Petroleum* 5,800 150
Willbros Group* 5,800 56
Williams 26,300 299
XTO Energy 31,391 961
-------------
75,341
-------------
FINANCIALS -- 9.3%
Aflac 158,843 3,075
Alexandria Real Estate Equities+ 100 4
Allstate 56,460 1,081
American Express 74,115 1,010
American Financial Group 76,314 1,225
Ameriprise Financial 55,700 1,141
Annaly Capital Management+ 22,100 307
AON 4,586 187
Apartment Investment & Management,
Cl A+ 386 2
Arch Capital Group* 1,300 70
Arthur J. Gallagher 1,400 24
Assurant 8,674 189
AvalonBay Communities+ 815 38
Axis Capital Holdings 30,300 683
Bancorpsouth 5,800 121
Bank of America 326,399 2,226
Bank of Hawaii 6,500 214
Bank of New York Mellon 184,235 5,205
BB&T 27,739 469
BlackRock 7,528 979
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Boston Properties+ 2,500 $ 88
Brandywine Realty Trust+ 20,000 57
BRE Properties, Cl A+ 4,800 94
Brown & Brown 12,800 242
Camden Property Trust+ 800 17
Capital One Financial 62,200 761
Capitol Federal Financial 3,200 121
CB Richard Ellis Group, Cl A* 3,900 16
Charles Schwab 153,882 2,385
Chubb 44,018 1,863
Citigroup 186,254 471
City National 2,900 98
CME Group 12,150 2,994
CNA Financial 2,600 24
Colonial Properties Trust+ 7,400 28
Comerica 300 6
Commerce Bancshares 4,090 148
Compass Diversified Holdings 1,900 17
Credicorp 29,700 1,391
Cullen/Frost Bankers 4,900 230
Delphi Financial Group, Cl A 11,700 157
Digital Realty Trust+ 800 27
Discover Financial Services 24,100 152
Duke Realty+ 30,700 169
Eaton Vance 1,900 43
Endurance Specialty Holdings 47,100 1,175
Equity Residential+ 7,200 132
Essex Property Trust+ 2,400 138
Fidelity National Financial, Cl A 500 10
First Horizon National 5,788 62
Franklin Resources 23,881 1,287
Fulton Financial 6,200 41
Goldman Sachs Group 23,624 2,505
Hanover Insurance Group 3,300 95
Hartford Financial Services Group 23,103 181
HCC Insurance Holdings 6,900 174
HCP+ 6,400 114
Health Care+ 3,700 113
Hospitality Properties Trust+ 2,987 36
Host Hotels & Resorts+ 43,100 169
HRPT Properties Trust+ 3,900 12
Hudson City Bancorp 147,000 1,718
IntercontinentalExchange* 40,100 2,986
Investment Technology Group* 17,400 444
Janus Capital Group 30,954 206
Jefferies Group 7,200 99
JPMorgan Chase 183,142 4,868
Keycorp 1,100 9
Kilroy Realty+ 300 5
Knight Capital Group, Cl A* 36,300 535
LaSalle Hotel Properties+ 14,700 86
Lazard, Cl A 600 18
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 25
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Leucadia National 14,900 $ 222
Liberty Property Trust+ 12,400 235
Lincoln National 13,800 92
Loews 34,857 770
M&T Bank 2,600 118
Mack-Cali Realty+ 2,700 54
Marsh & McLennan 22,797 462
MBIA* 2,900 13
Mercury General 4,400 131
MetLife 21,342 486
Moody's 54,100 1,240
Morgan Stanley 35,162 801
MVC Capital 2,300 19
Nationwide Health Properties+ 200 4
New York Community Bancorp 19,200 215
Northern Trust 28,646 1,714
NYSE Euronext 79,300 1,419
Odyssey Re Holdings 2,200 83
People's United Financial 3,200 58
Platinum Underwriters Holdings 19,800 561
Plum Creek Timber+ 800 23
PNC Financial Services Group 26,246 769
Principal Financial Group 16,422 134
Progressive 15,100 203
Prologis+ 16,500 107
Protective Life 1,600 8
Prudential Financial 27,900 531
Public Storage+ 11,563 639
Ramco-Gershenson Properties+ 4,300 28
Raymond James Financial 9,900 195
Rayonier+ 38,165 1,153
Regions Financial 15,484 66
RenaissanceRe Holdings 800 40
Simon Property Group+ 954 33
SL Green Realty+ 8,000 86
SLM* 25,600 127
St. Joe* 8,400 140
StanCorp Financial Group 18,700 426
State Street 75,761 2,332
SunTrust Banks 821 10
Synovus Financial 4,700 15
T. Rowe Price Group 3,854 111
TCF Financial 2,600 31
TD Ameritrade Holding* 48,400 668
TFS Financial 30,127 365
Torchmark 1,171 31
Travelers 60,452 2,457
UDR+ 14,156 122
United America Indemnity, Cl A* 7,000 28
Unum Group 19,600 245
US Bancorp 112,591 1,645
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Valley National Bancorp 20,955 $ 259
Ventas+ 2,300 52
Vornado Realty Trust+ 1,500 50
Webster Financial 4,700 20
Weingarten Realty Investors+ 700 7
Wells Fargo 296,005 4,215
White Mountains Insurance Group 300 52
World Acceptance* 4,300 74
WR Berkley 53,800 1,213
Zions Bancorporation 3,200 31
-------------
74,505
-------------
HEALTH CARE -- 12.7%
Abbott Laboratories 52,775 2,517
Aetna 178,154 4,335
Allergan 92,000 4,394
American Medical Systems Holdings* 15,200 170
AmerisourceBergen 116,861 3,817
Amgen* 125,272 6,203
Baxter International 20,489 1,049
Becton Dickinson 15,921 1,071
Biogen Idec* 39,900 2,092
Boston Scientific* 15,900 126
Bristol-Myers Squibb 97,167 2,130
C.R. Bard 5,800 462
Cantel Medical* 4,400 57
Cardinal Health 111,256 3,502
Celgene* 19,906 884
Cephalon* 3,400 231
Cigna 1,091 19
Community Health Systems* 2,700 41
Computer Programs & Systems 900 30
Covance* 2,500 89
Coventry Health Care* 22,400 290
Covidien 24,100 801
DaVita* 6,700 295
Dentsply International 3,600 97
Edwards Lifesciences* 6,900 418
Eli Lilly 43,489 1,453
Endo Pharmaceuticals Holdings* 26,600 470
Enzon Pharmaceuticals* 19,600 119
Express Scripts* 22,400 1,034
Forest Laboratories* 87,100 1,913
Gen-Probe* 9,700 442
Genzyme* 5,802 345
Gilead Sciences* 122,660 5,682
Hill-Rom Holdings 7,800 77
HLTH* 14,300 148
Hospira* 8,400 259
Humana* 13,400 350
Idexx Laboratories* 800 28
26 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Illumina* 5,992 $ 223
IMS Health 19,800 247
Intuitive Surgical* 6,000 572
Invacare 6,400 103
Inverness Medical Innovations* 1,400 37
Johnson & Johnson 155,670 8,188
Kindred Healthcare* 1,300 20
King Pharmaceuticals* 38,400 272
Laboratory Corp of America Holdings* 245 14
Life Technologies* 1,197 39
LifePoint Hospitals* 7,100 148
Lincare Holdings* 41,300 900
Martek Biosciences 1,200 22
Masimo* 10,900 316
McKesson 90,473 3,170
Medco Health Solutions* 134,734 5,570
Medtronic 95,992 2,829
Merck 112,588 3,012
Mylan Laboratories* 4,200 56
Noven Pharmaceuticals* 5,000 47
Novo Nordisk ADR 29,900 1,435
Omnicare 38,700 948
PerkinElmer 10,300 131
Pfizer 506,917 6,904
Pharmaceutical Product Development 3,800 90
Quest Diagnostics 29,200 1,386
Resmed* 5,800 205
Schering-Plough 84,348 1,986
Sepracor* 3,368 49
St. Jude Medical* 500 18
STERIS 15,500 361
Stryker 48,268 1,643
Synovis Life Technologies* 2,100 29
Techne 2,100 115
Tenet Healthcare* 93,449 108
Thermo Fisher Scientific* 5,512 197
UnitedHealth Group 280,500 5,871
Universal Health Services, Cl B 5,400 207
Varian Medical Systems* 4,300 131
VCA Antech* 1,300 29
Vertex Pharmaceuticals* 6,900 198
Viropharma* 7,200 38
Warner Chilcott, Cl A* 37,700 397
Waters* 700 26
Watson Pharmaceuticals* 400 13
WellPoint* 52,700 2,001
Wyeth 54,855 2,361
Zimmer Holdings* 21,900 799
-------------
100,901
-------------
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
INDUSTRIALS -- 8.4%
3M 15,545 $ 773
AGCO* 72,099 1,413
Allegiant Travel* 12,200 555
American Science & Engineering 1,900 106
Ametek 600 19
AMR* 7,400 23
Avery Dennison 200 4
Beacon Roofing Supply* 24,100 323
Boeing 42,059 1,496
Brink's 700 19
Bucyrus International, Cl A 400 6
Burlington Northern Santa Fe 22,400 1,347
C.H. Robinson Worldwide 39,106 1,784
Carlisle 6,500 127
Caterpillar 51,300 1,434
Columbus McKinnon* 6,200 54
Continental Airlines, Cl B* 15,000 132
Con-way 2,700 48
Cooper Industries, Cl A 4,900 127
Corrections Corp of America* 200 3
CSX 59,142 1,529
Cummins 58,500 1,489
Danaher 45 3
Deere 7,700 253
Delta Air Lines* 14,200 80
Dover 68,800 1,815
Dun & Bradstreet 3,974 306
Emerson Electric 27,100 774
EnPro Industries* 900 15
Expeditors International of Washington 70,000 1,980
Fastenal 16,900 543
FedEx 1,900 85
First Solar* 1,700 226
Flowserve 2,200 124
Fluor 66,875 2,310
Foster Wheeler* 29,000 507
FTI Consulting* 300 15
Gardner Denver* 3,600 78
GATX 7,800 158
General Cable* 2,500 49
General Dynamics 46,583 1,937
General Electric 631,756 6,387
Goodrich 30,100 1,141
Graco 9,800 167
Granite Construction 15,600 585
Harsco 29,698 658
Honeywell International 3,021 84
Hubbell, Cl B 3,700 100
IDEX 11,800 258
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 27
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Illinois Tool Works 6,900 $ 213
Ingersoll-Rand, Cl A 3,053 42
ITT 16,018 616
Jacobs Engineering Group* 31,340 1,212
JB Hunt Transport Services 9,400 227
John Bean Technologies 957 10
Kansas City Southern* 11,800 150
KBR 74,970 1,035
Kennametal 10,800 175
L-3 Communications Holdings 20,100 1,363
Ladish* 3,200 23
Landstar System 5,200 174
Lincoln Electric Holdings 7,400 235
Lockheed Martin 51,291 3,541
Manpower 2,900 91
McDermott International* 2,400 32
MSC Industrial Direct, Cl A 6,400 199
Navistar International* 21,300 713
Norfolk Southern 50,800 1,715
Northrop Grumman 49,506 2,160
Pall 2,400 49
Pentair 13,300 288
Pitney Bowes 4,500 105
Polypore International* 9,300 37
Precision Castparts 4,472 268
Quanta Services* 55,400 1,188
Raytheon 72,511 2,824
Republic Services 17,735 304
Robert Half International 2,600 46
Roper Industries 2,100 89
Ryder System 13,200 374
Shaw Group* 35,300 968
Southwest Airlines 233,276 1,477
Steelcase, Cl A 6,000 30
Stericycle* 1,570 75
Sunpower, Cl A* 3,900 93
Teleflex 6,700 262
Thomas & Betts* 29,200 731
Timken 52,671 735
Trinity Industries 17,600 161
Tyco International 23,600 462
Union Pacific 63,378 2,605
United Parcel Service, Cl B 66,059 3,251
United Rentals* 6,500 27
United Technologies 16,004 688
URS* 2,700 109
UTI Worldwide 3,100 37
Walter Industries 2,200 50
Waste Management 30,800 789
WESCO International* 29,700 538
WW Grainger 8,500 597
-------------
66,632
-------------
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
INFORMATION TECHNOLOGY -- 18.8%
Accenture, Cl A 119,178 $ 3,276
Activision Blizzard* 7,400 77
Acxiom 31,200 231
Adobe Systems* 57,400 1,228
Affiliated Computer Services, Cl A* 8,200 393
Alliance Data Systems* 8,200 303
Altera 30,400 533
Amdocs* 5,100 94
Amphenol, Cl A 2,300 66
Analog Devices 22,000 424
Anixter International* 24,400 773
Apple* 69,148 7,269
Arris Group* 20,100 148
Automatic Data Processing 18,101 636
Avnet* 29,100 510
AVX 14,751 134
BigBand Networks* 4,300 28
BMC Software* 10,300 340
Brightpoint* 8,700 37
Broadcom, Cl A* 10,300 206
CA 106,800 1,881
Cisco Systems* 552,605 9,267
Cognizant Technology Solutions, Cl A* 1,300 27
CommScope* 4,700 53
Computer Sciences* 42,800 1,577
Compuware* 29,300 193
Convergys* 13,600 110
Corning 171,849 2,281
Cypress Semiconductor* 4,500 30
Dell* 327,858 3,108
Diebold 39,900 852
DSP Group* 6,900 30
DST Systems* 5,400 187
Earthlink* 33,000 217
eBay* 324,420 4,075
Electronic Arts* 106,932 1,945
EMC* 208,700 2,379
Equinix* 600 34
F5 Networks* 30,200 633
Factset Research Systems 1,600 80
Fidelity National Information Services 646 12
Global Payments 2,200 73
Google, Cl A* 26,475 9,215
Harris 18,400 533
Hewitt Associates, Cl A* 55,700 1,658
Hewlett-Packard 316,719 10,154
Ingram Micro, Cl A* 3,500 44
Integrated Device Technology* 111,600 508
Intel 408,142 6,142
Interactive Intelligence* 3,600 33
InterDigital* 3,300 85
28 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
International Business Machines 79,062 $ 7,660
Intuit* 100,300 2,708
Itron* 2,900 137
j2 Global Communications* 1,400 30
Jabil Circuit 21,100 117
Lam Research* 1,200 27
Lexmark International, Cl A* 1,400 23
Linear Technology 23,400 538
LSI Logic* 11,100 34
Marvell Technology Group* 123,559 1,132
Mastercard, Cl A 22,848 3,827
McAfee* 9,400 315
Metavante Technologies* 7,900 158
Microchip Technology 13,500 286
Microsoft 906,754 16,657
Molex 34,360 472
Motorola 23,025 97
National Instruments 7,100 133
National Semiconductor 24,700 254
NCR* 25,000 199
NetApp* 6,400 95
NeuStar, Cl A* 53,900 903
Nokia ADR 74,900 874
Nvidia* 2,800 28
Oracle 139,508 2,521
Paychex 33,700 865
QLogic* 112,400 1,250
Qualcomm 167,800 6,529
Quest Software* 2,300 29
Rambus* 200 2
Red Hat* 12,100 216
RightNow Technologies* 11,100 84
SAIC* 4,100 76
SanDisk* 3,300 42
Silicon Laboratories* 8,200 216
Sohu.com* 1,200 49
Sybase* 37,200 1,127
Symantec* 183,656 2,744
Synaptics* 27,400 733
Synopsys* 15,291 317
Tech Data* 2,123 46
Teradata* 95,000 1,541
Texas Instruments 315,630 5,211
Trimble Navigation* 9,700 148
Tyco Electronics 13,800 153
Valueclick* 10,300 88
Varian Semiconductor Equipment
Associates* 1,300 28
VeriSign* 132,000 2,491
Visa, Cl A 128,820 7,162
VMware, Cl A* 4,500 106
Volterra Semiconductor* 10,700 90
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Western Union 58,157 $ 731
Xerox 95,640 435
Xilinx 42,100 807
Yahoo!* 234,900 3,009
Zebra Technologies, Cl A* 1,000 19
-------------
149,691
-------------
MATERIALS -- 2.5%
Air Products & Chemicals 100 6
Airgas 1,100 37
AK Steel Holding 5,600 40
Alpha Natural Resources* 8,300 147
Ashland 216,916 2,241
Ball 4,300 187
Bemis 39,200 822
Cabot 21,154 222
Cliffs Natural Resources 10,700 194
Commercial Metals 33,400 386
Crown Holdings* 1,000 23
Dow Chemical 89,800 757
E.I. Du Pont de Nemours 13,900 310
Eagle Materials 4,700 114
Ecolab 2,274 79
FMC 5,700 246
Freeport-McMoRan Copper & Gold, Cl B 800 30
Kaiser Aluminum 7,600 176
Koppers Holdings 5,000 73
Lubrizol 33,600 1,143
Martin Marietta Materials 400 32
MeadWestvaco 5,800 70
Monsanto 21,012 1,746
Mosaic 29,689 1,246
Nalco Holding 38,500 503
Newmont Mining 14,997 671
Nucor 14,900 569
Olympic Steel 2,400 36
Packaging Corp of America 7,100 92
Pactiv* 1,200 17
PPG Industries 17,900 660
Praxair 33,015 2,222
Reliance Steel & Aluminum 44,400 1,169
Rockwood Holdings* 9,500 75
Rohm & Haas 1,552 122
RPM International 3,900 50
Sealed Air 3,600 50
Sigma-Aldrich 2,100 79
Sonoco Products 46,000 965
Southern Copper 900 16
Steel Dynamics 3,300 29
Syngenta ADR 36,800 1,476
Terra Industries 9,712 273
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 29
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Titanium Metals 2,745 $ 15
United States Steel 1,800 38
Valspar 13,000 260
Vulcan Materials 5,100 226
-------------
19,940
-------------
TELECOMMUNICATION SERVICES -- 2.8%
AT&T 376,902 9,498
Atlantic Telegraph-Network 1,200 23
CenturyTel 17,600 495
Crown Castle International* 103,500 2,113
Embarq 7,600 288
Frontier Communications 62,611 449
Leap Wireless International* 4,600 160
NII Holdings* 16,000 240
NTELOS Holdings 11,500 209
SBA Communications, Cl A* 1,300 30
Sprint Nextel* 211,694 756
Telephone & Data Systems 4,300 114
US Cellular* 23,508 784
Verizon Communications 237,586 7,175
Windstream 8,452 68
-------------
22,402
-------------
UTILITIES -- 3.0%
AES* 548,273 3,185
Alliant Energy 37,609 929
Ameren 18,300 424
American Electric Power 32,700 826
American Water Works 17,200 331
Aqua America 1,700 34
Atmos Energy 14,600 337
Calpine* 149,800 1,020
CMS Energy 5,100 61
Consolidated Edison 7,000 277
Dominion Resources 11,494 356
DTE Energy 27,700 767
Edison International 35,600 1,025
El Paso Electric* 5,100 72
Energy 68,200 640
Entergy 9,600 654
Exelon 28,526 1,295
FirstEnergy 35,665 1,377
FPL Group 2,300 117
Hawaiian Electric Industries 24,800 341
Integrys Energy Group 4,100 107
MDU Resources Group 29,100 470
Mirant* 16,900 193
National Fuel Gas 4,200 129
NiSource 16,700 164
NRG Energy* 35,155 619
NSTAR 3,100 99
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
OGE Energy 1,400 $ 33
Oneok 20,900 473
Pepco Holdings 41,600 519
PG&E 6,036 231
Pinnacle West Capital 3,200 85
PPL 76,276 2,190
Progress Energy 3,000 109
Public Service Enterprise Group 75,502 2,225
Questar 700 21
Reliant Energy* 32,029 102
SCANA 2,200 68
Sempra Energy 36,663 1,695
Southern 5,927 181
Southern Union 2,300 35
TECO Energy 14,000 156
UGI 5,300 125
Vectren 1,200 25
Wisconsin Energy 600 25
Xcel Energy 171 3
-------------
24,150
-------------
Total Common Stock
(Cost $817,340) ($ Thousands) 675,621
-------------
EXCHANGE TRADED FUND -- 0.1%
Russell 1000 Index Fund 10,000 433
-------------
Total Exchange Traded Fund
(Cost $425) ($ Thousands) 433
-------------
MORTGAGE-BACKED SECURITIES -- 7.4%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.2%
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 (A) $ 1,838 207
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 (A) 908 101
FNMA CMO, Cl TA
5.500%, 03/25/22 224 224
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 (A) 337 36
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 (A) 7,231 822
FNMA TBA
6.500%, 04/30/37 15,100 15,902
6.000%, 04/30/20 to 04/01/32 22,850 23,876
-------------
41,168
-------------
30 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 2.2%
American Home Mortgage
Investment Trust, Ser 2006-1,
Cl 2A3
5.100%, 12/25/35 (B) $ 1,078 $ 576
Banc of America Commercial
Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/44 (B) 1,854 1,175
Citigroup Commercial Mortgage Trust,
Ser 2006-C4, Cl A3
5.725%, 03/25/49 (B) 3,249 2,436
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1
4.972%, 12/25/34 (B) 173 107
Countrywide Home Loans,
Ser 2004-22, Cl A1
5.078%, 11/25/34 (B) 331 202
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C3, Cl A3
5.826%, 06/15/38 (B) 2,381 1,604
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39 5,600 3,570
Downey Savings & Loan Association
Mortgage Loan Trust,
Ser 2004-AR4, Cl B1
1.156%, 01/19/45 (B) 265 19
First Horizon Mortgage Pass-Through,
Ser 2006-AR3, Cl 1A1
5.650%, 11/25/36 (B) 591 390
Greenwich Capital Commercial
Funding, Ser 2006-GG7, Cl AM
5.914%, 07/10/38 (B) 2,100 1,033
Impac CMB Trust, Ser 2004-10,
Cl 4M1
1.122%, 03/25/35 (B) 208 121
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4
1.222%, 05/25/46 (B) 165 --
JPMorgan Chase Commercial
Mortgage Securities,
Ser 2006-LDP9, Cl A3
5.336%, 05/15/47 1,155 770
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A
4.770%, 07/25/35 (B) 344 167
Merrill Lynch Mortgage Investors,
Ser 2006-1, Cl 1A
5.038%, 02/25/36 (B) 1,032 599
Merrill Lynch Mortgage Trust,
Ser 2005-CKI1, Cl A6
5.243%, 11/12/37 (B) 2,316 1,792
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Merrill Lynch Mortgage Trust,
Ser 2008-C1, Cl AM
6.266%, 02/12/51 (B) $ 756 $ 341
Morgan Stanley Mortgage Loan Trust,
Ser 2007-14AR, Cl 6A1
6.447%, 11/25/37 (B) 1,619 781
Nomura Asset Acceptance,
Ser 2007-1, Cl 1A1A
5.995%, 03/25/47 1,431 1,201
Residential Accredit Loans,
Ser 2006-QO1, Cl 2A3
0.922%, 02/25/46 (B) 292 31
Residential Accredit Loans,
Ser 2006-QO3, Cl M4
1.190%, 04/25/46 (B) 251 3
Residential Accredit Loans,
Ser 2006-QO3, Cl M5
1.250%, 04/25/46 (B) 251 3
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1
5.203%, 12/25/34 (B) 1,004 664
Structured Asset Securities,
Ser 2006-NC1, Cl A4
0.672%, 05/25/36 (B) 300 131
-------------
17,716
-------------
Total Mortgage-Backed Securities
(Cost $70,363) ($ Thousands) 58,884
-------------
ASSET-BACKED SECURITIES -- 2.0%
MORTGAGE RELATED SECURITIES -- 0.8%
ACE Securities, Ser 2003-OP1,
Cl M1
1.222%, 12/25/33 (B) 500 250
ACE Securities, Ser 2005-HE7,
Cl A2D
0.852%, 11/25/35 (B) 800 373
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1
1.572%, 01/25/34 (B) 38 13
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1
1.872%, 03/25/33 (B) 358 153
Argent Securities, Ser 2003-W5,
Cl M1
1.222%, 10/25/33 (B) 250 126
Argent Securities, Ser 2003-W9,
Cl M1
1.212%, 03/25/34 (B) 343 153
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2
4.300%, 06/25/35 132 126
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 31
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Concluded)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5, Cl M1
1.681%, 09/15/33 (B) $ 531 $ 314
Bear Stearns Asset-Backed Securities
Trust, Ser 2006-HE7, Cl 2A2
0.682%, 08/25/36 (B) 1,300 590
Countrywide Asset-Backed
Certificates, Ser 2006-S1, Cl A2
5.549%, 08/25/21 844 656
Home Equity Asset Trust,
Ser 2003-4, Cl M2
2.922%, 10/25/33 (B) 217 125
Home Equity Asset Trust,
Ser 2006-5, Cl 2A3
0.672%, 10/25/36 (B) 250 97
Home Equity Mortgage Trust,
Ser 2006-5, Cl A1
5.500%, 01/25/37 1,951 299
Irwin Home Equity, Ser 2007-1,
Cl 2A1
0.620%, 08/25/37 (B) (C) 2,949 826
Morgan Stanley ABS Capital I,
Ser 2003-NC10, Cl M1
1.542%, 10/25/33 (B) 548 294
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1
1.172%, 08/25/33 (B) 89 44
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1
0.642%, 02/25/38 (B) 1,375 1,180
Residential Asset Securities,
Ser 2005-KS12, Cl A3
0.842%, 01/25/36 (B) 800 450
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl A1
4.500%, 03/25/37 (B) (C) 1,315 236
Terwin Mortgage Trust,
Ser 2006-4SL, Cl A1
4.500%, 05/25/37 (B) (C) 1,397 328
Terwin Mortgage Trust, Ser 2006-6,
Cl 1A1
4.500%, 07/25/37 (B) 693 101
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8A
3.522%, 05/25/34 (B) (C) 181 29
-------------
6,763
-------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
OTHER ASSET-BACKED SECURITIES -- 1.2%
Countrywide Asset-Backed
Certificates, Ser 2003-5, Cl MV2
2.074%, 01/25/34 (B) $ 243 $ 109
Countrywide Asset-Backed
Certificates, Ser 2005-7, Cl MV8
1.972%, 11/25/35 (B) 250 15
Credit-Based Asset Servicing and
Securitization, Ser 2005-CB2,
Cl M1
0.962%, 04/25/36 (B) 83 51
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2006-FF11, Cl M1
0.720%, 08/25/36 (B) 3,500 74
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2006-FF14, Cl A2
0.582%, 10/25/36 (B) 1,293 1,066
GSAMP Trust, Ser 2007-HE2,
Cl A2A
0.590%, 03/25/47 (B) 1,419 1,134
Lehman XS Trust, Ser 2006-12N,
Cl M5
1.122%, 08/25/46 (B) 150 --
Lehman XS Trust, Ser 2006-2N,
Cl M5
1.672%, 02/25/46 (B) 240 1
Long Beach Mortgage Loan Trust,
Ser 2005-WL2, Cl M1
0.992%, 08/25/35 (B) 700 337
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3
0.852%, 01/25/46 (B) 560 260
Merrill Lynch Mortgage Investors,
Ser 2007-SL1, Cl A1
0.822%, 02/25/37 (B) 1,915 164
Morgan Stanley ABS Capital I,
Ser 2005-HE6, Cl A2C
0.842%, 11/25/35 (B) 1,600 1,006
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B
0.672%, 02/25/46 (B) (C) 1,000 447
Saco I Trust, Ser 2005-10, Cl 2A1
0.782%, 01/25/36 (B) 2,144 892
Securitized Asset-Backed
Receivables Trust LLC,
Ser 2005-HE1, Cl A3C
0.852%, 10/25/35 (B) 364 296
32 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
SLM Student Loan Trust,
Ser 2006-C, Cl C
1.450%, 12/15/39 (B) $ 1,000 $ 458
Structured Asset Investment Loan
Trust, Ser 2003-BC4, Cl M2
3.522%, 06/25/33 (B) 129 65
Structured Asset Securities,
Ser 2007-BC1, Cl A4
0.652%, 02/25/37 (B) 1,400 406
Wachovia Student Loan Trust,
Ser 2006-1, Cl B
1.399%, 04/25/40 (B) (C) 3,200 2,697
-------------
9,478
-------------
Total Asset-Backed Securities
(Cost $37,614) ($ Thousands) 16,241
-------------
CORPORATE OBLIGATIONS -- 0.0%
FINANCIALS -- 0.0%
Discover Financial Services
6.450%, 06/12/17 115 84
Shinsei Finance Cayman
6.418%, 01/29/49 (B) (C) 400 69
-------------
Total Corporate Obligations
(Cost $515) ($ Thousands) 153
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.3%
FHLMC
2.171%, 04/13/09 (E) 8,379 8,379
FNMA
2.401%, 05/08/09 (E) 2,250 2,249
-------------
Total U.S. Government Agency Obligations
(Cost $10,617) ($ Thousands) 10,628
-------------
CASH EQUIVALENT -- 6.9%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 55,322,196 55,322
-------------
Total Cash Equivalent
(Cost $55,322) ($ Thousands) 55,322
-------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
U.S. TREASURY OBLIGATIONS -- 0.6%
U.S. Treasury Bills
0.170%, 06/11/09 (D) (E) $ 1,300 $ 1,300
0.249%, 05/28/09 (D) (E) 325 325
0.619%, 10/22/09 (D) (E) 1,270 1,267
0.112%, 06/18/09 (D) (E) 1,500 1,498
-------------
Total U.S. Treasury Obligations
(Cost $4,389) ($ Thousands) 4,390
-------------
Total Investments -- 103.1%
(Cost $996,585) ($ Thousands) $ 821,672
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
S&P Index E-MINI 181 Jun-2009 $ 311
S&P Composite Index 441 Jun-2009 7,904
S&P Mid 400 Index E-MINI 178 Jun-2009 989
------
$9,204
======
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 33
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Concluded)
March 31, 2009
A summary of outstanding swap agreements held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
CREDIT DEFAULT SWAPS
- -------------------------------------------------------------------------------------------------------------------------------
(PAYS)/ NOTIONAL NET UNREALIZED
BUY/SELL RECEIVES TERMINATION AMOUNT APPRECIATION
COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------ ---------------------------------------- ---------- -------- ----------- ------------- --------------
Bank of America CDX.NA.IG 11 Index Buy (1.50) 12/20/13 $2,250 $ 16
Bank of America MeadWestvaco Corp., 6.850%, 04/01/12 Buy (0.48) 12/20/11 750 17
Bank of America Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) 12/20/13 750 347
Bank of America Southwest Airlines Co, 6.500%, 03/01/12 Buy (1.40) 06/20/13 750 43
Bank of America The Limited Inc., 6.125%, 12/01/12 Buy (0.48) 12/20/11 750 84
Bank of America TJX Cos. Inc., 7.450%, 12/15/09 Buy (0.19) 12/20/11 750 19
Goldman Sachs CDX.NA.IG 11 Index Buy (1.50) 12/20/13 5,750 100
Goldman Sachs CDX.NA.IG 9 Index Buy (0.60) 12/20/12 1,220 46
JPMorgan Chase Bank CDX.NA.IG 11 Index Buy (1.50) 12/20/13 8,500 178
JPMorgan Chase Bank Hasbro Inc., 2.750%, 12/01/21 Buy (0.39) 12/20/11 750 33
JPMorgan Chase Bank Jones Apparel Group., 5.125%, 11/15/14 Buy (0.77) 12/20/11 750 105
JPMorgan Chase Bank Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) 12/20/13 750 72
JPMorgan Chase Bank Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) 12/20/13 750 309
JPMorgan Chase Bank Southwest Airlines Co., 6.500%, 03/01/12 Buy (0.27) 12/20/11 750 82
Merrill Lynch MDC Holdings Inc., 5.500%, 05/15/13 Buy (0.90) 12/20/11 750 5
Merrill Lynch Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) 12/20/13 750 72
Merrill Lynch Southwest Airlines Co, 6.500%, 03/01/12 Buy (0.27) 12/20/11 750 82
------
$1,610
======
TOTAL RETURN SWAP
- ---------------------------------------------------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
TERMINATION AMOUNT APPRECIATION
COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------ --------------------------- ------------- -------------------- ----------- ------------- --------------
JPMorgan BAS AAA 10YR Negative Initial Index Spread
Chase Bank CMBS Daily Index Spread Return Minus 150 Bps 03/31/09 $5,000 $333
====
Percentages are based on Net Assets of $797,027 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ Real Estate Investment Trust.
++ Investment in Affiliated Investment (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open swaps
contracts.
(B) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2009.
(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 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.
(D) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(E) The rate reported is the effective yield at the time of purchase.
ABS -- Asset-Based Security
ADR -- American Depositary Receipt
Cl -- Class
CMO -- Collateralized Mortgage Obligation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
IO -- Interest Only -- face amount represents notional amount
LLC -- Limited Liability Company
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
34 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
S&P 500 Index Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Affiliated Partnership 18.0%
Information Technology 14.5%
Health Care 12.3%
Energy 10.5%
Consumer Staples 10.3%
Financials 8.7%
Industrials 7.8%
Consumer Discretionary 7.1%
Utilities 3.5%
Telecommunication Services 3.2%
Materials 2.7%
Cash Equivalents 1.2%
U.S. Treasury Obligations 0.2%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 98.9%
CONSUMER DISCRETIONARY -- 8.7%
Abercrombie & Fitch, Cl A (A) 10,500 $ 250
Amazon.com* (A) 43,200 3,172
Apollo Group, Cl A* (A) 14,503 1,136
Autonation* (A) 11,626 161
Autozone* (A) 5,194 845
Bed Bath & Beyond* (A) 35,433 877
Best Buy (A) 45,841 1,740
Big Lots* (A) 9,013 187
Black & Decker 7,809 246
Carnival (A) 59,384 1,283
CBS, Cl B 84,101 323
Centex 16,644 125
Coach* 44,010 735
Comcast, Cl A 386,244 5,268
Darden Restaurants 18,813 644
DIRECTV Group* 71,500 1,630
DR Horton (A) 38,649 375
Eastman Kodak (A) 31,610 120
Expedia* 24,200 220
Family Dollar Stores (A) 19,222 642
Ford Motor* (A) 326,780 859
Fortune Brands 20,819 511
GameStop, Cl A* 22,600 633
Gannett (A) 28,647 63
Gap 63,731 828
General Motors (A) 67,248 130
Genuine Parts (A) 21,936 655
Goodyear Tire & Rubber* (A) 31,593 198
H&R Block 46,404 844
Harley-Davidson (A) 27,608 370
Harman International Industries 7,900 107
Hasbro 15,591 391
Home Depot (A) 227,364 5,357
International Game Technology 35,056 323
Interpublic Group* (A) 55,901 230
J.C. Penney 27,580 554
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Johnson Controls 80,957 $ 971
KB Home 10,655 140
Kohl's* (A) 41,147 1,741
Leggett & Platt (A) 19,654 255
Lennar, Cl A (A) 19,007 143
Limited Brands (A) 33,527 292
Lowe's 196,836 3,592
Macy's 52,164 464
Marriott International, Cl A 40,440 662
Mattel 49,518 571
McDonald's 149,160 8,140
McGraw-Hill 42,821 979
Meredith (A) 5,363 89
New York Times, Cl A (A) 14,392 65
Newell Rubbermaid 33,447 213
News, Cl A (A) 310,133 2,053
Nike, Cl B 52,094 2,443
Nordstrom (A) 19,602 328
Office Depot* 38,120 50
Omnicom Group 42,304 990
O'Reilly Automotive* 18,600 651
Polo Ralph Lauren 6,900 291
Pulte Homes 25,755 282
RadioShack (A) 14,825 127
Scripps Networks Interactive, Cl A 11,600 261
Sears Holdings* (A) 7,065 323
Sherwin-Williams 13,516 703
Snap-On 6,653 167
Stanley Works 9,979 291
Staples (A) 96,314 1,744
Starbucks* 99,758 1,108
Starwood Hotels & Resorts
Worldwide (A) 22,335 284
Target (A) 101,119 3,478
Tiffany (A) 14,473 312
Time Warner 160,805 3,104
Time Warner Cable, Cl A 47,783 1,185
TJX 56,367 1,445
VF 12,114 692
Viacom, Cl B* (A) 82,101 1,427
Walt Disney 249,027 4,522
Washington Post, Cl B 755 270
Whirlpool (A) 9,005 267
Wyndham Worldwide 20,602 86
Wynn Resorts* (A) 8,200 164
Yum! Brands 62,070 1,706
-------------
81,103
-------------
CONSUMER STAPLES -- 12.6%
Altria Group 277,256 4,442
Archer-Daniels-Midland 86,466 2,402
Avon Products 57,951 1,115
Brown-Forman, Cl B 13,595 528
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 35
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Campbell Soup 28,075 $ 768
Clorox (A) 18,942 975
Coca-Cola 266,396 11,708
Coca-Cola Enterprises 43,817 578
Colgate-Palmolive 67,293 3,969
ConAgra Foods 60,852 1,027
Constellation Brands, Cl A* 23,100 275
Costco Wholesale (A) 58,318 2,701
CVS Caremark 195,195 5,366
Dean Foods* 18,800 340
Dr Pepper Snapple Group* 31,600 534
Estee Lauder, Cl A 13,600 335
General Mills 44,191 2,204
Hershey 22,712 789
HJ Heinz (A) 42,549 1,407
Hormel Foods 8,500 269
JM Smucker 14,348 535
Kellogg 34,167 1,251
Kimberly-Clark 55,699 2,568
Kraft Foods, Cl A 197,198 4,396
Kroger 88,059 1,868
Lorillard 22,776 1,406
McCormick 15,661 463
Molson Coors Brewing, Cl B 20,546 704
Pepsi Bottling Group 15,736 348
PepsiCo (A) 208,267 10,722
Philip Morris International 268,256 9,544
Procter & Gamble 392,001 18,460
Reynolds American 23,040 826
Safeway (A) 58,246 1,176
Sara Lee 86,887 702
SUPERVALU (A) 24,697 353
SYSCO 79,520 1,813
Tyson Foods, Cl A 35,790 336
Walgreen 132,544 3,441
Wal-Mart Stores 299,111 15,584
Whole Foods Market (A) 16,000 269
-------------
118,497
-------------
ENERGY -- 12.9%
Anadarko Petroleum 61,880 2,407
Apache 45,000 2,884
Baker Hughes 41,934 1,197
BJ Services 36,556 364
Cabot Oil & Gas 12,900 304
Cameron International* 29,800 654
Chesapeake Energy (A) 76,100 1,298
Chevron (A) 268,097 18,027
ConocoPhillips (A) 198,225 7,762
Consol Energy 21,900 553
Devon Energy 59,713 2,669
Diamond Offshore Drilling (A) 8,500 534
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
El Paso 85,594 $ 535
ENSCO International 19,600 517
EOG Resources 33,644 1,842
Exxon Mobil (A) 660,536 44,982
Halliburton 121,079 1,873
Hess 38,275 2,074
Marathon Oil 95,256 2,504
Massey Energy (A) 10,700 108
Murphy Oil 25,863 1,158
Nabors Industries* 35,278 352
National Oilwell Varco* 56,368 1,618
Noble Energy 23,500 1,266
Occidental Petroleum 108,604 6,044
Peabody Energy 36,500 914
Pioneer Natural Resources (A) 14,800 244
Range Resources 21,300 877
Rowan 13,097 157
Schlumberger 160,262 6,510
Smith International 30,100 647
Southwestern Energy* 46,500 1,381
Spectra Energy 87,261 1,234
Sunoco (A) 13,557 359
Tesoro (A) 16,200 218
Valero Energy 70,008 1,253
Williams 79,065 900
XTO Energy 78,018 2,389
-------------
120,609
-------------
FINANCIALS -- 10.7%
Aflac 63,508 1,229
Allstate 72,659 1,391
American Express 157,915 2,152
American International Group (A) 332,171 332
Ameriprise Financial 26,884 551
AON (A) 37,029 1,512
Apartment Investment &
Management, Cl A+ (A) 15,239 83
Assurant 14,800 322
AvalonBay Communities+ (A) 11,108 523
Bank of America 858,448 5,855
Bank of New York Mellon 154,286 4,359
BB&T (A) 75,897 1,284
Boston Properties+ 16,800 588
Capital One Financial (A) 53,962 661
CB Richard Ellis Group, Cl A* 23,500 95
Charles Schwab (A) 126,527 1,961
Chubb 47,556 2,013
Cincinnati Financial (A) 22,579 516
CIT Group (A) 40,708 116
Citigroup (A) 739,646 1,871
CME Group 8,907 2,195
Comerica 18,183 333
36 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Discover Financial Services 54,930 $ 347
E*Trade Financial* (A) 59,539 76
Equity Residential+ (A) 37,540 689
Federated Investors, Cl B (A) 9,945 221
Fifth Third Bancorp (A) 78,711 230
First Horizon National (A) 23,269 250
Franklin Resources 20,615 1,111
Genworth Financial, Cl A 52,000 99
Goldman Sachs Group (A) 61,852 6,558
Hartford Financial Services Group 37,286 293
HCP+ (A) 30,500 544
Health Care+ (A) 13,200 404
Host Hotels & Resorts+ 58,100 228
Hudson City Bancorp 71,500 836
Huntington Bancshares (A) 46,675 77
IntercontinentalExchange* 10,000 745
Invesco 52,000 721
Janus Capital Group 21,177 141
JPMorgan Chase 502,908 13,367
Keycorp (A) 68,583 540
Kimco Realty+ (A) 25,700 196
Legg Mason 18,200 289
Leucadia National (A) 22,200 331
Lincoln National 32,398 217
Loews 49,149 1,086
M&T Bank (A) 10,761 487
Marsh & McLennan 69,750 1,412
Marshall & Ilsley (A) 32,770 184
MBIA* (A) 24,727 113
MetLife 110,126 2,508
Moody's (A) 23,408 536
Morgan Stanley 144,361 3,287
NASDAQ OMX Group* 16,600 325
Northern Trust 30,205 1,807
NYSE Euronext 35,700 639
People's United Financial 47,600 855
Plum Creek Timber+ (A) 20,135 585
PNC Financial Services Group 57,875 1,695
Principal Financial Group 32,048 262
Progressive (A) 91,868 1,235
Prologis+ (A) 32,260 210
Prudential Financial 57,666 1,097
Public Storage+ (A) 17,128 946
Regions Financial (A) 78,263 333
Simon Property Group+ (A) 34,267 1,187
SLM* (A) 56,843 281
State Street 58,391 1,797
SunTrust Banks 49,296 579
T. Rowe Price Group (A) 34,908 1,007
Torchmark 10,705 281
Travelers 78,632 3,196
Unum Group 45,852 573
US Bancorp 235,806 3,445
Ventas+ 17,500 396
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Vornado Realty Trust+ (A) 19,426 $ 646
Wells Fargo (A) 567,597 8,083
XL Capital, Cl A (A) 36,705 200
Zions Bancorporation (A) 14,660 144
-------------
99,869
-------------
HEALTH CARE -- 15.1%
Abbott Laboratories 206,868 9,868
Aetna 61,402 1,494
Allergan 41,466 1,980
AmerisourceBergen 19,096 624
Amgen* 138,493 6,858
Baxter International 82,338 4,217
Becton Dickinson 32,262 2,169
Biogen Idec* (A) 40,100 2,102
Boston Scientific* 203,012 1,614
Bristol-Myers Squibb 265,401 5,817
C.R. Bard 13,488 1,075
Cardinal Health 48,755 1,535
Celgene* 61,800 2,744
Cephalon* (A) 9,500 647
Cigna 33,471 589
Coventry Health Care* 19,113 247
Covidien 67,882 2,257
DaVita* 14,300 628
Dentsply International 20,600 553
Eli Lilly 135,630 4,531
Express Scripts* 33,452 1,544
Forest Laboratories* 41,163 904
Genzyme* 36,532 2,170
Gilead Sciences* (A) 122,076 5,654
Hospira* (A) 19,704 608
Humana* 23,297 608
IMS Health (A) 20,495 256
Intuitive Surgical* (A) 4,820 460
Johnson & Johnson 369,956 19,460
King Pharmaceuticals* 28,286 200
Laboratory Corp of America
Holdings* (A) 14,763 864
Life Technologies* 23,843 774
McKesson 37,069 1,299
Medco Health Solutions* 66,116 2,733
Medtronic 150,017 4,421
Merck (A) 282,317 7,552
Millipore* (A) 6,593 379
Mylan Laboratories* (A) 42,111 565
Patterson* 10,500 198
PerkinElmer 13,740 175
Pfizer 902,704 12,295
Quest Diagnostics 21,024 998
Schering-Plough 218,072 5,135
St. Jude Medical* 46,794 1,700
Stryker (A) 32,342 1,101
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 37
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Tenet Healthcare* (A) 51,376 $ 60
Thermo Fisher Scientific* 56,343 2,010
UnitedHealth Group 163,347 3,419
Varian Medical Systems* 17,200 524
Waters* 11,497 425
Watson Pharmaceuticals* 12,371 385
WellPoint* 67,061 2,546
Wyeth 178,366 7,677
Zimmer Holdings* 30,255 1,104
-------------
141,752
-------------
INDUSTRIALS -- 9.6%
3M 93,082 4,628
Avery Dennison 13,015 291
Boeing 97,532 3,470
Burlington Northern Santa Fe 37,524 2,257
C.H. Robinson Worldwide 23,200 1,058
Caterpillar (A) 80,997 2,265
Cintas 18,307 452
Cooper Industries, Cl A 20,286 525
CSX 54,050 1,397
Cummins 27,640 703
Danaher (A) 34,448 1,868
Deere (A) 57,002 1,874
Dover 25,537 674
Dun & Bradstreet 7,400 570
Eaton 22,569 832
Emerson Electric 101,506 2,901
Equifax 14,625 358
Expeditors International of Washington 29,000 820
Fastenal (A) 17,800 572
FedEx 42,005 1,869
Flowserve 7,000 393
Fluor (A) 24,744 855
General Dynamics 52,026 2,164
General Electric 1,413,007 14,285
Goodrich 17,020 645
Honeywell International 98,855 2,754
Illinois Tool Works 51,924 1,602
Ingersoll-Rand, Cl A 43,888 605
ITT 24,800 954
Jacobs Engineering Group* 16,900 653
L-3 Communications Holdings 16,123 1,093
Lockheed Martin (A) 44,594 3,078
Manitowoc 17,400 57
Masco 45,368 317
Monster Worldwide* 13,934 114
Norfolk Southern 49,526 1,672
Northrop Grumman 44,119 1,925
PACCAR (A) 49,191 1,267
Pall 14,395 294
Parker Hannifin 21,971 746
Pitney Bowes 28,375 662
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Precision Castparts 19,000 $ 1,138
Raytheon 53,968 2,102
Republic Services 44,083 756
Robert Half International (A) 17,827 318
Rockwell Automation (A) 19,826 433
Rockwell Collins 21,678 708
RR Donnelley & Sons 26,311 193
Ryder System 7,254 205
Southwest Airlines 89,849 569
Stericycle* 11,800 563
Textron 30,598 176
Union Pacific 67,694 2,783
United Parcel Service, Cl B (A) 133,390 6,566
United Technologies 126,383 5,432
Waste Management (A) 66,428 1,700
WW Grainger 8,765 615
-------------
89,776
-------------
INFORMATION TECHNOLOGY -- 17.8%
Adobe Systems* (A) 70,936 1,517
Advanced Micro Devices* (A) 59,163 180
Affiliated Computer Services, Cl A* 13,449 644
Agilent Technologies* 48,206 741
Akamai Technologies* 20,000 388
Altera 36,051 633
Amphenol, Cl A 23,500 669
Analog Devices 39,899 769
Apple* 119,192 12,529
Applied Materials 179,350 1,928
Autodesk* (A) 27,917 469
Automatic Data Processing 67,950 2,389
BMC Software* 25,249 833
Broadcom, Cl A* 57,736 1,154
CA 53,727 946
Ciena* (A) 11,842 92
Cisco Systems* (A) 781,063 13,098
Citrix Systems* (A) 21,542 488
Cognizant Technology Solutions, Cl A* 39,900 830
Computer Sciences* 20,733 764
Compuware* 30,175 199
Convergys* 13,676 110
Corning 209,178 2,776
Dell* 233,174 2,210
eBay* 145,432 1,827
Electronic Arts* 43,978 800
EMC* (A) 270,440 3,083
Fidelity National Information Services 22,665 412
Fiserv* (A) 19,580 714
Flir Systems* 18,900 387
Google, Cl A* (A) 32,116 11,178
Harris 15,900 460
Hewlett-Packard 320,852 10,287
Intel (A) 744,494 11,205
38 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
International Business Machines 179,490 $ 17,391
Intuit* 43,586 1,177
Iron Mountain* (A) 24,800 550
Jabil Circuit 25,679 143
JDS Uniphase* 29,456 96
Juniper Networks* 71,000 1,069
Kla-Tencor 20,071 401
Lexmark International, Cl A* 10,239 173
Linear Technology (A) 30,494 701
LSI Logic* 72,146 219
Mastercard, Cl A (A) 9,800 1,641
McAfee* (A) 21,200 710
MEMC Electronic Materials* 28,000 462
Microchip Technology (A) 22,300 472
Micron Technology* 87,969 357
Microsoft (A) 1,022,762 18,788
Molex 16,660 229
Motorola 308,506 1,305
National Semiconductor 24,137 248
NetApp* (A) 45,476 675
Novell* 36,989 158
Novellus Systems* (A) 10,827 180
Nvidia* (A) 65,948 650
Oracle (A) 513,456 9,278
Paychex (A) 43,656 1,121
QLogic* 13,348 148
Qualcomm 220,932 8,597
Salesforce.com* 12,800 419
SanDisk* 27,500 348
Sun Microsystems* (A) 102,002 747
Symantec* (A) 110,947 1,658
Tellabs* 44,999 206
Teradata* 21,268 345
Teradyne* 17,307 76
Texas Instruments 171,734 2,835
Total System Services 22,380 309
Tyco Electronics 55,982 618
VeriSign* 22,800 430
Western Union 96,412 1,212
Xerox 103,136 470
Xilinx 37,609 721
Yahoo!* (A) 187,738 2,405
-------------
166,447
-------------
MATERIALS -- 3.3%
Air Products & Chemicals 28,326 1,593
AK Steel Holding 14,800 105
Alcoa (A) 129,735 952
Allegheny Technologies (A) 10,759 236
Ball 11,391 494
Bemis 11,190 235
CF Industries Holdings 6,690 476
Dow Chemical 125,675 1,060
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
E.I. Du Pont de Nemours 121,435 $ 2,712
Eastman Chemical 9,008 241
Ecolab 22,930 796
Freeport-McMoRan Copper & Gold, Cl B 55,468 2,114
International Flavors & Fragrances 9,594 292
International Paper 59,670 420
MeadWestvaco 19,815 238
Monsanto 73,448 6,104
Newmont Mining (A) 65,808 2,946
Nucor 42,482 1,622
Owens-Illinois* 18,800 272
Pactiv* 14,587 213
PPG Industries (A) 22,445 828
Praxair 41,299 2,779
Rohm & Haas 16,922 1,334
Sealed Air 19,428 268
Sigma-Aldrich 16,836 636
Titanium Metals (A) 12,100 66
United States Steel (A) 14,626 309
Vulcan Materials (A) 15,149 671
Weyerhaeuser 28,888 796
-------------
30,808
-------------
TELECOMMUNICATION SERVICES -- 3.9%
American Tower, Cl A* 53,700 1,634
AT&T 788,258 19,864
CenturyTel (A) 11,760 331
Embarq 19,586 741
Frontier Communications 38,531 277
Qwest Communications
International (A) 201,626 689
Sprint Nextel* 387,922 1,385
Verizon Communications 380,222 11,483
Windstream (A) 61,246 494
-------------
36,898
-------------
UTILITIES -- 4.3%
AES* 92,290 536
Allegheny Energy 20,368 472
Ameren 29,244 678
American Electric Power 55,015 1,390
Centerpoint Energy 48,268 503
CMS Energy (A) 25,792 305
Consolidated Edison (A) 37,033 1,467
Constellation Energy Group (A) 24,499 506
Dominion Resources (A) 78,540 2,434
DTE Energy 19,845 550
Duke Energy 172,522 2,470
Dynegy, Cl A* 56,489 80
Edison International 44,153 1,272
Entergy 25,564 1,741
Equities CORP 18,100 567
Exelon 88,354 4,010
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 39
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund (Concluded)
March 31, 2009
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FirstEnergy 41,187 $ 1,590
FPL Group 55,020 2,791
Integrys Energy Group 8,634 225
Nicor (A) 5,125 170
NiSource 30,979 304
Northeast Utilities 21,400 462
Pepco Holdings 24,900 311
PG&E 49,329 1,885
Pinnacle West Capital (A) 11,449 304
PPL 50,771 1,457
Progress Energy 37,283 1,352
Public Service Enterprise Group 68,230 2,011
Questar 23,800 701
SCANA 16,800 519
Sempra Energy 32,965 1,524
Southern 104,535 3,201
TECO Energy 24,112 269
Wisconsin Energy 16,100 663
Xcel Energy 61,719 1,150
-------------
39,870
-------------
Total Common Stock
(Cost $757,508) ($ Thousands) 925,629
-------------
AFFILIATED PARTNERSHIP -- 22.1%
SEI Liquidity Fund, L.P.,
0.810%**++ (B) 211,018,066 207,023
-------------
Total Affiliated Partnership
(Cost $211,018) ($ Thousands) 207,023
-------------
CASH EQUIVALENT -- 1.5%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
0.25%**++ 14,241,204 14,241
-------------
Total Cash Equivalent
(Cost $14,241) ($ Thousands) 14,241
-------------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bills
0.189%, 06/11/09 (C) (D) $ 2,345 2,344
-------------
Total U.S. Treasury Obligation
(Cost $2,344) ($ Thousands) 2,344
-------------
Total Investments -- 122.8%
(Cost $985,111) ($ Thousands) $ 1,149,237
=============
Description
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
S&P 500 Index E-MINI 450 Jun-2009 $905
====
Percentages are based on Net Assets of $936,094 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ 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 March
31, 2009 (see Note 7). The total market value of securities on loan at
March 31, 2009 was $207,935 ($ Thousands).
(B) This security was purchased with cash collateral received from securities
lending. The total value of such securities as of March 31, 2009 was
$207,023 ($ Thousands).
(C) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(D) The rate reported is the effective yield at the time of purchase.
Cl -- Class
L.P. -- Limited Partnership
The accompanying notes are an integral part of the financial statements.
40 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Small Cap Value Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Financials 24.7%
Affiliated Partnership 17.6%
Information Technology 13.3%
Industrials 12.2%
Consumer Discretionary 8.1%
Health Care 5.1%
Consumer Staples 4.1%
Utilities 3.7%
Cash Equivalents 3.6%
Materials 3.5%
Energy 3.4%
U.S. Treasury Obligations 0.4%
Telecommunication Services 0.2%
Exchange Traded Fund 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 -- 95.5%
CONSUMER DISCRETIONARY -- 9.9%
Abercrombie & Fitch, Cl A (A) 32,376 $ 771
Advance Auto Parts 26,600 1,093
AFC Enterprises* 16,800 76
American Axle & Manufacturing
Holdings 40,600 53
American Greetings, Cl A (A) 44,900 227
America's Car-Mart* 44,500 605
Ameristar Casinos 38,300 482
Arctic Cat 43,600 167
ATC Technology* (A) 70,980 795
Bebe Stores (A) 46,339 309
Belo, Cl A 273,202 167
Big 5 Sporting Goods 59,400 349
Blyth 18,475 483
Bob Evans Farms (A) 24,000 538
Brink's Home Security Holdings* 55,700 1,259
Brown Shoe 64,500 242
Cabela's* 9,600 87
Callaway Golf 42,700 306
Carrols Restaurant Group* 96,700 339
Carter's* (A) 45,800 862
Casual Male Retail Group* 507,400 249
Cato, Cl A (A) 35,000 640
CEC Entertainment* (A) 20,600 533
Centex 29,900 224
Cheesecake Factory* 18,100 207
Childrens Place Retail Stores* 12,100 265
Cinemark Holdings 26,800 252
Collective Brands* (A) 13,600 132
Columbia Sportswear (A) 33,600 1,005
Cooper Tire & Rubber (A) 71,253 288
Core-Mark Holding* 4,100 75
Cox Radio, Cl A (A) 35,900 147
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Cracker Barrel Old Country Store (A) 25,200 $ 722
CSS Industries 11,900 202
Dress Barn* 41,900 515
DSW, Cl A* (A) 86,002 799
Einstein Noah Restaurant Group* 11,600 68
Ethan Allen Interiors (A) 111,211 1,252
EW Scripps, Cl A (A) 56,000 76
Finish Line, Cl A 15,400 102
Foot Locker (A) 34,400 361
Genesco* (A) 15,100 284
Gildan Activewear* 45,290 367
Group 1 Automotive (A) 11,000 154
Harman International Industries 18,200 246
Harte-Hanks (A) 43,000 230
Helen of Troy* 900 12
International Speedway, Cl A (A) 36,800 812
J Crew Group* (A) 20,000 264
Jack in the Box* (A) 60,800 1,416
Jakks Pacific* 50,900 629
Jarden* (A) 109,686 1,390
Jo-Ann Stores* 17,900 292
Journal Communications, Cl A 107,100 80
K12* (A) 33,500 466
Lakeland Industries* 114,220 618
Landry's Restaurants (A) 9,400 49
Lifetime Brands 149,400 199
Lincoln Educational Services* 4,500 82
Lions Gate Entertainment* 73,100 369
M/I Homes 16,800 118
Marvel Entertainment* (A) 37,200 988
MDC Partners, Cl A* 549,970 1,809
Men's Wearhouse 16,538 250
Meredith (A) 68,700 1,143
Meritage Homes* 4,000 46
Nautilus* (A) 7,700 5
New Frontier Media 170,250 281
O'Charleys 36,300 109
OfficeMax 86,200 269
PEP Boys-Manny Moe & Jack (A) 56,300 248
PetSmart 43,645 915
Phillips-Van Heusen 27,300 619
Polaris Industries (A) 21,800 467
Princeton Review* 246,443 1,072
RadioShack 33,500 287
Regis 51,506 744
Rent-A-Center* 123,500 2,392
Ruby Tuesday* (A) 52,100 152
Scholastic (A) 73,000 1,100
Scientific Games, Cl A* (A) 103,542 1,254
Shoe Carnival* 29,200 302
Sinclair Broadcast Group, Cl A (A) 68,900 71
Skechers U.S.A., Cl A* 41,700 278
Sonic Automotive, Cl A (A) 36,400 58
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 41
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Speedway Motorsports 7,800 $ 92
Stage Stores 66,200 667
Starwood Hotels & Resorts
Worldwide (A) 36,900 469
Tempur-Pedic International (A) 159,587 1,165
Thor Industries (A) 61,000 953
Tractor Supply* (A) 23,600 851
Warner Music Group (A) 155,400 365
World Wrestling Entertainment, Cl A (A) 29,400 339
-------------
45,161
-------------
CONSUMER STAPLES -- 5.0%
Alberto-Culver 18,800 425
Alliance One International* 263,400 1,012
BJ's Wholesale Club* (A) 24,200 774
Boston Beer, Cl A* 15,308 319
Cal-Maine Foods (A) 25,000 560
Casey's General Stores 22,850 609
Central Garden and Pet, Cl A* 51,448 387
Central Garden and Pet* 60,058 457
Chattem* (A) 17,391 975
Chiquita Brands International* 74,100 491
Constellation Brands, Cl A* (A) 65,800 783
Corn Products International 79,551 1,686
Dean Foods* 35,027 633
Del Monte Foods 257,080 1,874
Farmer Bros 2,400 43
Fresh Del Monte Produce* 68,800 1,130
Hain Celestial Group* (A) 36,200 515
Herbalife 12,700 190
Ingles Markets, Cl A 6,355 95
Molson Coors Brewing, Cl B 22,800 782
Nash Finch (A) 18,100 508
NBTY* 46,400 653
Nu Skin Enterprises, Cl A 5,500 58
Pantry* 51,558 908
Prestige Brands Holdings* 31,200 162
Ralcorp Holdings* 22,599 1,218
Sanderson Farms (A) 71,819 2,697
Spartan Stores (A) 18,600 287
Tyson Foods, Cl A 69,027 648
Universal (A) 70,300 2,103
-------------
22,982
-------------
ENERGY -- 4.1%
Allis-Chalmers Energy* (A) 24,300 47
Alon USA Energy (A) 22,900 314
Approach Resources* 203,600 1,262
Atlas America (A) 25,212 220
Atwood Oceanics* 21,300 353
Berry Petroleum, Cl A 69,603 763
Cal Dive International* (A) 111,287 753
Complete Production Services* 53,100 164
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Core Laboratories 6,300 $ 461
Delek US Holdings 104,900 1,087
DHT Maritime 209,800 806
Dresser-Rand Group* 33,100 732
Forest Oil* (A) 47,700 627
Foundation Coal Holdings 29,800 428
GeoMet* 465,513 270
Global Industries* (A) 119,100 457
Goodrich Petroleum* 30,827 597
Gulf Island Fabrication 3,100 25
Holly 70,700 1,499
InterOil* 17,500 490
ION Geophysical* 101,700 159
Lufkin Industries 11,500 436
Oceaneering International* (A) 13,900 512
Oil States International* 10,100 136
Overseas Shipholding Group (A) 17,400 394
Parker Drilling* (A) 148,900 274
Patterson-UTI Energy (A) 75,600 677
Rosetta Resources* 26,400 131
RPC (A) 84,200 558
SEACOR Holdings* (A) 13,100 764
St. Mary Land & Exploration (A) 33,000 436
Superior Energy Services* 40,800 526
Swift Energy* (A) 100,110 731
Tesoro (A) 17,000 229
Tetra Technologies* 150,300 488
Westmoreland Coal* 7,000 50
Whiting Petroleum* 19,700 509
World Fuel Services (A) 13,300 421
-------------
18,786
-------------
FINANCIALS -- 29.9% +++
1st Source 13,400 242
Abington Bancorp 9,700 80
Advance America Cash
Advance Centers 46,700 79
Advanta, Cl B 31,500 21
Agree Realty+ 11,900 187
Allied World Assurance Holdings 24,200 920
AMB Property+ (A) 168,100 2,421
American Equity Investment Life
Holding (A) 103,947 432
American Safety Insurance
Holdings* 5,800 67
Ameris Bancorp 3,000 14
Amtrust Financial Services 24,700 236
Annaly Capital Management+ (A) 108,200 1,501
Anthracite Capital+ (A) 63,800 22
Anworth Mortgage Asset+ 64,400 395
Ares Capital 64,400 311
Arrow Financial 2,400 57
Aspen Insurance Holdings 125,000 2,807
42 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Associated Banc-Corp (A) 26,600 $ 411
Associated Estates Realty+ 14,600 83
Assured Guaranty (A) 60,200 408
Astoria Financial 39,200 360
AvalonBay Communities+ (A) 30,700 1,445
Banco Latinoamericano
de Exportaciones, Cl E 45,500 426
Bancorp Rhode Island 12,200 220
Bancorpsouth (A) 48,852 1,018
BancTrust Financial Group 5,200 33
Bank Mutual (A) 72,869 660
Bank of the Ozarks (A) 38,106 879
BankFinancial 21,100 210
Beneficial Mutual Bancorp* 8,700 86
Berkshire Hills Bancorp 30,400 697
BioMed Realty Trust+ 6,300 43
Boston Private Financial
Holdings (A) 56,868 200
Boston Properties+ 32,000 1,121
Brandywine Realty Trust+ 41,100 117
Brookfield Asset Management, Cl A 72,300 996
Brookline Bancorp 47,300 449
Bryn Mawr Bank 1,100 19
Camden National 1,500 34
Camden Property Trust+ (A) 40,871 882
Capitol Bancorp 7,400 31
Capstead Mortgage+ 97,400 1,046
Cardinal Financial (A) 90,781 521
Care Investment Trust+ 11,600 63
Cash America International 14,400 226
Cathay General Bancorp (A) 31,500 329
CBL & Associates Properties+ (A) 61,569 145
Cedar Shopping Centers+ (A) 42,300 74
Central Pacific Financial (A) 55,400 310
Chemical Financial (A) 31,200 649
Chimera Investment+ 115,300 387
Citizens Republic Bancorp (A) 61,236 95
City Holding (A) 25,500 696
CNA Surety* (A) 23,400 431
CoBiz Financial 7,700 40
Cogdell Spencer+ 7,600 39
Columbia Banking System 26,200 168
Commerce Bancshares (A) 8,820 320
Community Bank System 18,200 305
Community Trust Bancorp 11,100 297
Conseco* 66,600 61
Cousins Properties+ (A) 57,900 373
Cullen/Frost Bankers 11,200 526
CVB Financial (A) 76,600 508
Danvers Bancorp 63,600 878
Delphi Financial Group, Cl A 30,700 413
Dime Community Bancshares 15,700 147
Douglas Emmett+ (A) 159,700 1,180
Duke Realty+ (A) 66,375 365
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
East West Bancorp (A) 36,967 $ 169
Education Realty Trust+ 113,841 397
Employers Holdings (A) 90,691 865
Encore Bancshares* 28,276 251
Encore Capital Group* 70,967 321
Endurance Specialty Holdings (A) 47,035 1,173
Entertainment Properties Trust+ (A) 13,900 219
Equity One+ (A) 39,244 478
Equity Residential+ (A) 98,100 1,800
ESSA Bancorp 42,800 570
FBL Financial Group, Cl A (A) 16,300 68
Federated Investors, Cl B (A) 44,014 980
Financial Federal 22,900 485
First American (A) 55,200 1,463
First Bancorp (A) 73,800 390
First Busey 8,000 62
First Citizens BancShares, Cl A 1,330 175
First Commonwealth Financial 33,900 301
First Community Bancshares 10,200 119
First Financial 3,600 133
First Financial Bancorp (A) 119,281 1,137
First Financial Bankshares 2,500 120
First Financial Holdings 32,256 247
First Horizon National (A) 107,560 1,155
First Merchants (A) 28,500 308
First Mercury Financial* 6,400 92
First Midwest Bancorp (A) 61,300 527
First Niagara Financial Group 143,500 1,564
First Potomac Realty Trust+ 38,000 279
First South Bancorp NC 2,300 24
FirstMerit 141,906 2,583
Flagstar Bancorp* (A) 52,400 39
Flagstone Reinsurance Holdings 18,600 145
Flushing Financial 29,700 179
FNB (Pennsylvania) 60,300 462
Forest City Enterprises, Cl A (A) 110,500 398
Fpic Insurance Group* (A) 16,800 622
Fulton Financial (A) 61,200 406
Getty Realty+ 18,500 339
GFI Group 85,300 274
Glacier Bancorp (A) 47,100 740
Great Southern Bancorp (A) 13,800 193
Green Bankshares (A) 22,167 195
Hallmark Financial Services* 7,100 49
Hancock Holding (A) 35,783 1,119
Hanover Insurance Group 26,000 749
Harleysville National 14,500 88
Hatteras Financial+ 43,800 1,095
Hercules Technology Growth Capital 50,100 250
Hersha Hospitality Trust+ 78,000 148
Highwoods Properties+ 24,400 523
Home Bancshares 8,000 160
Home Federal Bancorp 38,500 336
Horace Mann Educators (A) 74,686 625
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 43
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Horizon Financial (A) 6,600 $ 12
Host Hotels & Resorts+ (A) 387,055 1,517
HRPT Properties Trust+ (A) 137,600 439
IBERIABANK 5,200 239
Independent Bank 7,100 105
Infinity Property & Casualty (A) 21,199 719
International Bancshares (A) 73,300 572
Investors Bancorp* 45,300 384
IPC Holdings 50,900 1,376
Irwin Financial* (A) 29,800 58
Jefferies Group (A) 36,000 497
KBW* (A) 61,327 1,248
Kearny Financial 2,700 28
Kimco Realty+ (A) 330,100 2,515
Knight Capital Group, Cl A* 33,700 497
LaBranche* 34,700 130
Lakeland Bancorp 16,200 130
Lakeland Financial 6,900 132
Liberty Property Trust+ (A) 38,300 725
Mack-Cali Realty+ (A) 14,900 295
MainSource Financial Group (A) 36,300 292
Max Capital Group 79,500 1,371
MB Financial 36,370 495
Meadowbrook Insurance Group 316,500 1,931
Medical Properties Trust+ (A) 44,800 164
MFA Financial+ 295,454 1,737
Mid-America Apartment
Communities+ (A) 15,543 479
Mitsubishi Estate 110,000 1,227
Montpelier Re Holdings 109,000 1,413
Nara Bancorp 18,100 53
National Penn Bancshares 21,200 176
National Retail Properties+ 6,800 108
Navigators Group* 9,852 465
NBT Bancorp 35,400 766
Nelnet, Cl A 86,300 763
NewAlliance Bancshares (A) 83,614 982
NorthStar Realty Finance+ (A) 2,000 5
Northwest Bancorp (A) 24,500 414
OceanFirst Financial 40,250 411
Ocwen Financial* 9,700 111
Odyssey Re Holdings 5,400 205
Old National Bancorp 12,200 136
Old Second Bancorp 10,400 66
One Liberty Properties+ 2,700 9
Oriental Financial Group 63,800 311
Pacific Capital Bancorp (A) 35,500 240
Pacific Continental 2,700 31
PacWest Bancorp (A) 132,302 1,896
Park National (A) 7,700 429
Parkway Properties+ 24,800 255
Pennsylvania Commerce Bancorp* 2,000 37
Pennsylvania Real Estate Investment
Trust+ (A) 11,100 39
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Penson Worldwide* (A) 25,800 $ 166
Peoples Bancorp (A) 8,000 104
PHH* (A) 125,022 1,757
Pico Holdings* 29,800 896
Pinnacle Financial Partners* 1,500 36
Piper Jaffray* 23,260 600
Platinum Underwriters Holdings 85,445 2,423
PMA Capital, Cl A* 2,300 10
Presidential Life 31,600 246
ProAssurance* 23,374 1,090
Prosperity Bancshares (A) 67,300 1,841
Provident Bankshares (A) 44,200 312
Provident Financial Services 57,500 622
Provident New York Bancorp 31,800 272
PS Business Parks+ 18,599 685
Public Storage+ (A) 21,900 1,210
RAIT Financial Trust+ 29,400 36
Realty Income+ (A) 11,200 211
Redwood Trust+ (A) 68,900 1,058
Regency Centers+ (A) 68,300 1,815
Reinsurance Group of America,
Cl A (A) 28,333 918
RenaissanceRe Holdings 13,200 653
Renasant 22,660 285
Republic Bancorp, Cl A (A) 28,200 526
Roma Financial 2,400 31
S&T Bancorp (A) 22,000 467
Safety Insurance Group 18,200 566
Sanders Morris Harris Group 14,800 58
Sandy Spring Bancorp (A) 15,850 177
Santander BanCorp (A) 29,300 231
Saul Centers+ (A) 16,700 384
SCBT Financial 3,700 77
SeaBright Insurance Holdings* 55,800 584
Seacoast Banking Corp of Florida 7,400 22
Selective Insurance Group 33,268 405
Senior Housing Properties Trust+ 44,300 621
Shore Bancshares 1,100 18
Sierra Bancorp (A) 16,000 156
Signature Bank NY* (A) 45,070 1,272
Simmons First National, Cl A 5,600 141
Simon Property Group+ (A) 68,779 2,382
Smithtown Bancorp 6,700 76
South Financial Group (A) 21,700 24
Southside Bancshares 17,050 322
Southwest Bancorp 7,900 74
State Auto Financial 4,700 83
State Bancorp (A) 4,200 32
Sterling Bancorp, Cl N 11,400 113
Sterling Bancshares 27,700 181
Stewart Information Services (A) 72,900 1,422
Student Loan 13,500 586
Suffolk Bancorp 4,000 104
Sun Bancorp* 13,500 70
44 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Sun Communities+ (A) 54,400 $ 644
Sunstone Hotel Investors+ 52,894 139
Susquehanna Bancshares 25,400 237
SVB Financial Group* 11,900 238
SWS Group 11,100 172
SY Bancorp 4,500 109
TCF Financial (A) 156,436 1,840
Tompkins Financial, Cl US 12,800 550
TowneBank 5,700 93
TradeStation Group* 70,300 464
Trico Bancshares (A) 23,700 397
Trustco Bank NY (A) 83,700 504
Trustmark 14,900 274
UCBH Holdings (A) 122,400 185
UMB Financial 8,300 353
Umpqua Holdings 20,400 185
Unibail (France)+ 6,224 881
United Bankshares (A) 35,822 618
United Community Banks 26,865 112
United Financial Bancorp 63,656 833
Univest Corp of Pennsylvania 5,900 103
Urstadt Biddle Properties, Cl A+ 9,600 129
Validus Holdings (A) 69,400 1,643
Verde Realty PIPE* (B) (C) 21,100 338
ViewPoint Financial Group 35,230 424
Vornado Realty Trust+ (A) 65,000 2,161
Washington Trust Bancorp 3,400 55
Webster Financial (A) 15,600 66
WesBanco (A) 33,500 765
Westamerica Bancorporation (A) 19,900 907
Western Alliance Bancorp* 10,300 47
Westfield Financial 62,800 553
Whitney Holding (A) 19,200 220
Willis Group Holdings 20,251 445
Wilshire Bancorp 44,200 228
Winthrop Realty Trust+ 6,800 47
Wintrust Financial 11,200 138
WR Berkley (A) 28,137 634
WSFS Financial 31,100 696
Zenith National Insurance 73,900 1,782
Zions Bancorporation (A) 30,157 296
-------------
136,392
-------------
HEALTH CARE -- 6.3%
Accelrys* 129,600 516
Albany Molecular Research* 17,600 166
Amedisys* 14,000 385
AMN Healthcare Services* 182,900 933
Amsurg* 32,946 522
Bruker BioSciences* 111,600 687
Cambrex* 228,420 521
Cantel Medical* 14,100 182
Cardiac Science* 4,000 12
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Centene* 22,600 $ 407
Charles River Laboratories
International* (A) 30,500 830
Chemed (A) 24,200 941
Community Health Systems* 36,700 563
Conmed* 22,768 328
Cooper 108,928 2,880
Covance* 7,300 260
Cross Country Healthcare* (A) 124,000 812
Discovery Laboratories* (A) 63,500 77
Emergency Medical Services, Cl A* (A) 4,500 141
Greatbatch* 21,500 416
Health Net* (A) 72,400 1,048
Healthsouth* (A) 92,700 823
Healthspring* 49,700 416
HealthTronics* 58,102 79
ICU Medical* 16,700 536
Invacare 6,500 104
Inverness Medical Innovations* 8,000 213
IPC The Hospitalist* 15,900 303
Kensey Nash* 20,823 443
Kindred Healthcare* 66,800 999
Kinetic Concepts* (A) 24,900 526
LCA-Vision (A) 34,600 101
Life Sciences Research* 62,500 448
Ligand Pharmaceuticals, Cl B* 45,746 136
Lincare Holdings* (A) 21,200 462
Magellan Health Services* (A) 30,699 1,119
Medical Staffing Network Holdings* 109,300 16
Medicis Pharmaceutical, Cl A (A) 35,300 437
Mednax* 9,000 265
Molina Healthcare* (A) 13,900 264
National Dentex* 15,500 60
Natus Medical* 19,287 164
NovaMed* 87,860 199
Noven Pharmaceuticals* 35,600 337
Orthofix International* 11,800 219
Par Pharmaceutical* 55,200 523
Parexel International* 76,400 743
Patterson* (A) 34,414 649
PharMerica* (A) 35,800 596
Providence Service* 45,423 313
Psychiatric Solutions* (A) 30,343 477
RehabCare Group* 19,200 335
Res-Care* 27,722 404
Sirona Dental Systems* (A) 29,900 428
Skilled Healthcare Group, Cl A* 24,300 200
Sun Healthcare Group* 54,624 461
Symmetry Medical* 19,900 126
Universal Health Services, Cl B 19,000 729
Varian* 52,400 1,244
Viropharma* (A) 26,200 138
-------------
28,662
-------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 45
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
INDUSTRIALS -- 14.9%
ABM Industries 18,300 $ 300
Actuant, Cl A 28,200 291
Acuity Brands (A) 50,700 1,143
Aegean Marine Petroleum Network 64,800 1,085
Airtran Holdings* 122,200 556
Alamo Group 2,500 27
Alaska Air Group* 13,900 244
American Railcar Industries 4,100 31
Ampco-Pittsburgh 21,400 284
AO Smith (A) 28,900 728
Apogee Enterprises 48,900 537
Applied Industrial Technologies (A) 18,425 311
Applied Signal Technology 9,600 194
Arkansas Best (A) 35,900 683
Astec Industries* (A) 30,600 803
BE Aerospace* 87,425 758
Beacon Roofing Supply* 18,300 245
Belden 38,896 487
Bowne 30,562 98
Brady, Cl A 27,232 480
Briggs & Stratton (A) 28,600 472
Brink's 57,600 1,524
Celadon Group* 16,400 91
CIRCOR International 11,600 261
Comfort Systems USA (A) 94,700 982
Consolidated Graphics* 11,500 146
Con-way 58,900 1,056
Corrections Corp of America* 22,700 291
Courier 24,689 374
CRA International* 8,200 155
Crane 57,500 971
Cubic 14,500 367
Danaos 31,000 104
Deluxe 86,500 833
Diamond Management & Technology
Consultants 117,500 300
Diana Shipping 17,700 209
Ducommun 14,300 208
Dycom Industries* 83,600 484
DynCorp International, Cl A* 24,000 320
EMCOR Group* 82,500 1,417
EnPro Industries* (A) 53,400 913
ESCO Technologies* (A) 19,700 762
Federal Signal 44,900 237
G&K Services 36,715 694
Gardner Denver* 25,696 559
GATX 21,600 437
Genco Shipping & Trading (A) 10,800 133
General Cable* 10,700 212
Genesee & Wyoming, Cl A* 48,300 1,026
Geo Group* 57,900 767
Gibraltar Industries 27,300 129
GrafTech International* 49,600 305
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Granite Construction (A) 13,700 $ 513
H&E Equipment Services* 30,900 202
Harsco 26,000 576
Herman Miller (A) 12,900 137
HUB Group, Cl A* 12,600 214
Hubbell, Cl B 27,400 739
Hudson Highland Group* 116,800 130
Huron Consulting Group* 7,400 314
ICF International* 48,900 1,123
IDEX 90,082 1,970
Interface, Cl A 59,907 179
JetBlue Airways* (A) 113,100 413
Kadant* 45,099 520
Kansas City Southern* 21,008 267
Kaydon (A) 35,461 969
KBR 48,900 675
Kelly Services, Cl A (A) 19,700 159
Kforce* 137,300 965
Kirby* (A) 38,400 1,023
Knight Transportation 20,000 303
Knoll 33,000 202
Korn/Ferry International* 81,200 736
LaBarge* 12,600 105
Ladish* 54,700 397
Landstar System 6,100 204
LECG* 121,979 310
Lennox International (A) 5,800 153
LS Starrett, Cl A 500 3
M&F Worldwide* 25,600 300
Marten Transport* 2,600 49
MasTec* 42,300 511
McDermott International* 86,300 1,156
Mcgrath Rentcorp 1,200 19
Michael Baker* 15,200 395
Monster Worldwide* 94,000 766
MPS Group* 149,400 889
MSC Industrial Direct, Cl A (A) 10,300 320
Mueller Industries 71,400 1,549
NACCO Industries, Cl A 15,400 419
Navistar International* 29,500 987
Nordson (A) 22,000 625
Old Dominion Freight Line* 27,800 653
Orbital Sciences* (A) 31,300 372
Pacer International (A) 42,000 147
Pall 40,600 829
Paragon Shipping, Cl A 33,000 115
Powell Industries* 1,800 63
Quanex Building Products 112,175 853
Regal-Beloit (A) 60,500 1,854
Republic Airways Holdings* (A) 71,900 466
Robbins & Myers 7,300 111
Rollins 41,100 705
Ryder System (A) 51,600 1,461
Saia* 22,000 263
46 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
School Specialty* (A) 95,903 $ 1,687
Skywest 64,600 804
Spherion* 99,700 207
Standex International 6,400 59
Steelcase, Cl A (A) 62,200 312
Tecumseh Products, Cl A* 83,000 375
Teledyne Technologies* 54,997 1,468
Teleflex 21,515 841
Terex* 69,253 641
Textainer Group Holdings (A) 20,800 141
Textron 70,300 403
Titan Machinery* 76,300 686
Trex* (A) 17,400 133
Triumph Group 14,352 548
TrueBlue* 87,500 722
United Rentals* (A) 11,221 47
United Stationers* 12,400 348
Wabtec (A) 6,500 171
Walter Industries 10,600 242
Waste Connections* 22,400 576
Waste Services* 24,900 107
Watts Water Technologies, Cl A (A) 19,894 389
WESCO International* 45,567 826
Woodward Governor 54,800 613
YRC Worldwide* (A) 24,900 112
-------------
67,860
-------------
INFORMATION TECHNOLOGY -- 16.2%
3Com* 226,700 700
Actel* 59,700 604
Actuate* 72,500 222
Acxiom 51,500 381
Adtran 29,000 470
Alliance Semiconductor 131,800 24
Anixter International* (A) 11,400 361
Applied Micro Circuits* (A) 174,525 848
ARM Holdings ADR (A) 219,000 968
Arris Group* (A) 238,950 1,761
Arrow Electronics* 56,300 1,073
ATMI* 55,400 855
Avanex* 1,873 3
Avocent* (A) 72,586 881
Axesstel* 274,230 68
Benchmark Electronics* (A) 149,500 1,674
Black Box 43,789 1,034
Broadridge Financial Solutions 63,400 1,180
Brocade Communications Systems* 340,500 1,175
CACI International, Cl A* 32,488 1,185
Ciber* 57,500 157
Ciena* 33,000 257
Cognex 34,600 462
Coherent* 45,077 778
Comtech Telecommunications* 600 15
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Comverse Technology* 181,800 $ 1,043
CPI International* 39,547 372
CSG Systems International* (A) 64,500 921
CTS 105,000 379
Cymer* 49,100 1,093
Diebold 36,431 778
Digi International* 111,328 854
Earthlink* (A) 180,700 1,187
Emulex* 183,861 925
Entegris* 93,760 81
Entrust* 139,870 211
Epicor Software* 60,300 230
Fair Isaac (A) 155,200 2,184
Harris Stratex Networks, Cl A* 13,400 52
Hewitt Associates, Cl A* 21,200 631
Hittite Microwave* 10,900 340
I2 Technologies* (A) 7,400 58
Ikanos Communications* 155,200 220
Imation 88,100 674
Intermec* 29,500 307
Intersil, Cl A 44,600 513
Jack Henry & Associates 44,500 726
JDA Software Group* 28,800 333
JDS Uniphase* (A) 88,200 287
Kenexa* 10,700 58
Keynote Systems* (A) 74,100 588
Lawson Software* (A) 520,619 2,213
LeCroy* (A) 38,900 122
Lender Processing Services 19,400 594
Lionbridge Technologies* 53,700 53
Littelfuse* 49,031 539
LTX-Credence* (A) 224,600 63
Manhattan Associates* (A) 80,200 1,389
MAXIMUS (A) 51,000 2,033
Maxwell Technologies* 17,500 122
MEMC Electronic Materials* 47,300 780
Mentor Graphics* 46,400 206
Mercury Computer Systems* 95,200 527
Merrimac Industries* 19,700 41
Methode Electronics 88,700 318
Micrel 68,100 480
MicroStrategy, Cl A* 26,800 916
MKS Instruments* 29,800 437
Multi-Fineline Electronix* 51,600 869
NCR* 41,100 327
Ness Technologies* 139,600 412
Netscout Systems* 27,300 195
Omnivision Technologies* 40,090 269
ON Semiconductor* (A) 148,530 579
Orbotech* 158,400 600
Orckit Communications* 74,700 155
OSI Systems* 11,100 169
Parametric Technology* 113,838 1,136
Perot Systems, Cl A* 44,766 576
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 47
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Concluded)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Photronics* (A) 41,400 $ 40
Plantronics 17,700 214
PLATO Learning* 76,070 135
Polycom* 31,100 479
Progress Software* 37,900 658
QLogic* 25,400 282
Quantum* (A) 343,200 230
Quest Software* 5,500 70
Rackable Systems* 58,470 237
Radisys* (A) 72,500 439
RADWARE* 134,030 780
Richardson Electronics 41,728 141
Rudolph Technologies* 106,400 322
S1* 49,200 253
Seachange International* 94,900 543
Semtech* 17,200 230
SkillSoft ADR* (A) 159,888 1,070
Skyworks Solutions* 233,600 1,883
SPSS* 43,600 1,239
SRA International, Cl A* 67,300 989
Standard Microsystems* 61,600 1,146
Super Micro Computer* 13,400 66
Sybase* (A) 63,747 1,931
Synaptics* 9,200 246
SYNNEX* (A) 24,100 474
Synopsys* 26,854 557
Tech Data* 19,500 425
Technitrol 63,300 108
Techwell* 10,967 69
Tekelec* (A) 75,000 992
TIBCO Software* 334,600 1,964
TNS* 67,200 550
Tyler Technologies* 56,600 828
Ultra Clean Holdings* 79,700 85
Ultratech* (A) 129,300 1,615
United Online 136,800 610
Utstarcom* (A) 149,400 116
Varian Semiconductor Equipment
Associates* 70,300 1,523
Verint Systems* 75,368 264
Xyratex* 104,939 231
Zoran* (A) 192,110 1,691
-------------
74,026
-------------
MATERIALS -- 4.3%
Aptargroup 17,449 543
Bemis 19,899 417
Buckeye Technologies* 44,000 94
Bway Holding* 21,600 170
Cabot 38,194 402
Carpenter Technology 36,100 510
Crown Holdings* 65,000 1,477
Cytec Industries 75,789 1,138
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Eagle Materials (A) 35,700 $ 866
Ferro (A) 35,100 50
FMC 8,738 377
H.B. Fuller 98,000 1,274
Innophos Holdings 8,900 100
International Flavors & Fragrances 23,320 710
Kaiser Aluminum (A) 11,000 254
Mercer International* (A) 64,200 42
Myers Industries 4,200 26
Neenah Paper 68,135 247
NewMarket 10,000 443
Olin (A) 40,533 579
OM Group* (A) 52,700 1,018
Owens-Illinois* 57,183 826
Pactiv* 21,591 315
PolyOne* 108,400 251
Quaker Chemical 23,200 184
Reliance Steel & Aluminum 9,200 242
Rock-Tenn, Cl A 21,400 579
Royal Gold 1,500 70
RTI International Metals* 20,800 244
Schnitzer Steel Industries, Cl A 18,100 568
Schulman A 45,000 610
Schweitzer-Mauduit International 46,634 861
Scotts Miracle-Gro, Cl A 9,200 319
Sensient Technologies 66,730 1,568
Silgan Holdings 37,999 1,997
Worthington Industries (A) 29,400 256
-------------
19,627
-------------
TELECOMMUNICATION SERVICES -- 0.3%
Atlantic Telegraph-Network 8,900 171
Global Crossing* 20,600 144
Premiere Global Services* 33,200 293
Syniverse Holdings* 30,900 487
USA Mobility 32,600 300
-------------
1,395
-------------
UTILITIES -- 4.6%
AGL Resources 38,853 1,031
Atmos Energy 26,031 602
Black Hills 14,300 256
California Water Service Group 6,500 272
Centerpoint Energy 86,200 899
Central Vermont Public Service 14,900 258
Chesapeake Utilities 2,800 85
Cleco 27,900 605
CMS Energy (A) 71,100 842
El Paso Electric* 90,000 1,268
Energy 59,600 560
Great Plains Energy 83,383 1,123
Idacorp 13,372 312
ITC Holdings 10,700 467
48 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Shares/ Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Middlesex Water 4,700 $ 68
New Jersey Resources 1,500 51
NorthWestern 43,100 926
Ormat Technologies (A) 20,400 560
Piedmont Natural Gas (A) 1,600 41
PNM Resources 43,600 360
Portland General Electric 137,684 2,422
South Jersey Industries (A) 13,000 455
Southern Union 109,800 1,671
Southwest Gas 46,300 976
Synthesis Energy Systems* 84,100 56
UGI 24,200 571
UIL Holdings 39,772 888
Unisource Energy 30,400 857
Vectren 11,100 234
Westar Energy 76,866 1,347
WGL Holdings 23,048 756
-------------
20,819
-------------
Total Common Stock
(Cost $614,023) ($ Thousands) 435,710
-------------
EXCHANGE TRADED FUND -- 0.1%
iShares Russell 2000 Index Fund (A) 12,177 511
-------------
Total Exchange Traded Fund
(Cost $822) ($ Thousands) 511
-------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Washington Mutual
Expires 01/03/03* 193,142 3
-------------
Total Warrants
(Cost $25) ($Thousands) 3
-------------
CONVERTIBLE BONDS -- 0.3%
FINANCIALS -- 0.3%
Boston Properties CV to 7.0430
2.875%, 02/15/37+ (F) $ 440 342
Forest City Enterprises CV to 15.0631
3.625%, 10/15/11 (F) 672 380
Vornado Realty Trust CV to 6.1553
2.850%, 04/01/27+ (A) (F) 915 686
-------------
1,408
-------------
Total Convertible Bonds
(Cost $1,314) ($ Thousands) 1,408
-------------
Shares/ Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
AFFILIATED PARTNERSHIP -- 21.6%
SEI Liquidity Fund, L.P.,
0.810%**++ (D) 102,802,859 $ 98,547
-------------
Total Affiliated Partnership
(Cost $102,803) ($ Thousands) 98,547
-------------
CASH EQUIVALENTS -- 4.4%
Merrill Lynch EBP Master, 0.020%** 1,190,832 1,191
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 18,996,077 18,996
-------------
Total Cash Equivalents
(Cost $20,187) ($ Thousands) 20,187
-------------
U.S. TREASURY OBLIGATION -- 0.5%
U.S. Treasury Bills
0.258%, 06/11/09 (E) (F) $ 2,225 2,224
-------------
Total U.S. Treasury Obligation
(Cost $2,224) ($ Thousands) 2,224
-------------
Total Investments -- 122.4%
(Cost $741,398) ($ Thousands) $ 558,590
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
Russell 2000 Index E-MINI 309 Jun-2009 $1,008
======
Percentages are based on Net Assets of $456,238 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ 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 March
31, 2009 (see Note 7). The total market value of securities on loan at
March 31, 2009 was $101,610 ($ 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 March 31, 2009 was $338 ($ Thousands) and represented
0.07% of Net Assets.
(C) Security considered illiquid or restricted. The total market value of such
securities as of March 31, 2009 was $338 ($ Thousands) and represented
0.07% of Net Assets.
(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 March
31, 2009 was $98,547 ($ Thousands).
(E) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(F) The rate reported is the effective yield at the time of purchase.
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 / Semi-Annual Report / March 31, 2009 49
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Information Technology 20.7%
Health Care 17.3%
Industrials 15.2%
Affiliated Partnership 15.1%
Consumer Discretionary 10.4%
Financials 6.4%
Energy 4.7%
Consumer Staples 2.1%
Cash Equivalents 2.1%
Materials 2.0%
Telecommunication Services 1.7%
Utilities 1.1%
Convertible Bond 0.7%
U.S. Treasury Obligations 0.4%
Warrants 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 -- 97.2%
CONSUMER DISCRETIONARY -- 12.4%
Aaron Rents (A) 40,165 $ 1,071
Aeropostale* (A) 55,700 1,479
American Eagle Outfitters 42,755 523
American Public Education* 11,890 500
Amerigon* (A) 88,379 327
Bally Technologies* 31,200 575
Barnes & Noble 1,100 24
Bebe Stores 85,506 570
Big Lots* (A) 26,920 559
BJ's Restaurants* (A) 71,260 991
Blue Nile* 21,295 642
BorgWarner 28,407 577
Buckle 14,300 457
Buffalo Wild Wings* 14,283 523
Build-A-Bear Workshop* 13,400 81
Burger King Holdings (A) 14,460 332
California Pizza Kitchen* 10,303 135
Capella Education* (A) 17,543 930
Career Education* (A) 30,592 733
Cato, Cl A 40,516 741
CEC Entertainment* 21,300 551
Century Casinos* 132,033 205
Charlotte Russe Holding* 20,500 167
Cheesecake Factory* 24,700 283
Christopher & Banks 24,978 102
Cinemark Holdings 5,500 52
CKE Restaurants 22,500 189
Corinthian Colleges* (A) 90,246 1,755
Cracker Barrel Old Country Store (A) 5,000 143
Deckers Outdoor* 1,100 58
Dick's Sporting Goods* (A) 73,555 1,050
Dollar Tree* 1,500 67
DreamWorks Animation SKG, Cl A* 3,900 85
Dress Barn* 39,965 491
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
DSW, Cl A* (A) 53,000 $ 492
Eddie Bauer Holdings* 270,451 116
Einstein Noah Restaurant Group* 10,800 63
FGX International Holdings* 14,500 168
Finish Line, Cl A 70,695 468
Focus Media Holding ADR* (A) 53,851 366
Foot Locker 21,600 226
Fossil* 9,400 148
Fred's, Cl A 4,000 45
Fuel Systems Solutions* (A) 25,264 341
Fuqi International* (A) 18,400 86
Genius Products* 429,555 2
Gildan Activewear* (A) 65,000 526
Gymboree* 47,620 1,017
hhgregg* 16,231 230
Hibbett Sports* (A) 15,887 305
HOT Topic* 5,668 64
Iconix Brand Group* 8,000 71
Interactive Data 9,800 244
J Crew Group* 9,800 129
Jarden* 59,925 759
Jo-Ann Stores* 25,034 409
Life Time Fitness* 104,561 1,313
Lincoln Educational Services* 4,300 79
Maidenform Brands* 16,900 155
Marvel Entertainment* 44,795 1,189
Matthews International, Cl A 18,660 538
Morningstar* (A) 21,033 718
National CineMedia 69,740 919
NetFlix* (A) 49,885 2,141
Nordstrom 29,675 497
Nutri/System 8,400 120
NVR* 1,335 571
OfficeMax (A) 194,300 606
Overstock.com* 6,300 58
Panera Bread, Cl A* (A) 15,230 851
Peet's Coffee & Tea* (A) 21,290 460
PetMed Express* 8,972 148
PetSmart 22,515 472
PF Chang's China Bistro* (A) 20,591 471
Pinnacle Entertainment* 119,382 841
RadioShack 5,000 43
Regis 35,700 516
Retail Ventures* 179,500 273
Shutterfly* (A) 59,700 559
Smith & Wesson Holding* 3,600 22
Sotheby's 22,500 202
Stamps.com* 16,400 159
Steven Madden* 19,800 372
Strayer Education 2,800 504
Tempur-Pedic International (A) 47,400 346
Texas Roadhouse, Cl A* 61,950 590
Thunderbird Resorts PIPE* (B) (C) 3,200 5
Thunderbird Resorts PIPE* (B) (C) (G) 142,900 229
Tractor Supply* (A) 25,764 929
50 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
True Religion Apparel* (A) 30,795 $ 364
Tupperware Brands 3,100 53
Universal Electronics* 3,600 65
Universal Technical Institute* 7,700 92
Urban Outfitters* 25,235 413
Volcom* 4,800 46
Warnaco Group* 10,900 262
Wendy's, Cl A 90,710 456
Williams-Sonoma 5,300 54
WMS Industries* (A) 47,935 1,002
Wolverine World Wide 3,200 50
Wonder Auto Technology* 8,500 30
-------------
43,026
-------------
CONSUMER STAPLES -- 2.5%
American Oriental Bioengineering* (A) 52,100 201
Asiatic Development (Malaysia) 272,000 319
Boston Beer, Cl A* 2,500 52
Cal-Maine Foods (A) 18,811 421
Casey's General Stores 14,745 393
Chattem* 600 34
China Sky One Medical* (A) 11,200 129
Cosan SA Industria e
Comercio (Brazil)* 105,200 442
Darling International* 21,500 80
Diamond Foods 8,200 229
Flowers Foods (A) 66,545 1,563
Hansen Natural* 5,024 181
JM Smucker 9,400 350
Lancaster Colony 3,600 149
Lance (A) 21,200 442
NBTY* 31,000 436
Nu Skin Enterprises, Cl A 8,800 92
Pantry* 18,500 326
Pricesmart 1,100 20
Ralcorp Holdings* 3,900 210
Smart Balance* 148,230 895
Spartan Stores (A) 2,400 37
SunOpta* 238,538 413
USANA Health Sciences* (A) 15,300 342
Vector Group (A) 25,700 334
Viterra* 54,000 377
Zhongpin* 25,800 229
-------------
8,696
-------------
ENERGY -- 5.6%
Arena Resources* (A) 53,600 1,366
Atwood Oceanics* 19,000 315
Bill Barrett* 2,900 65
Bolt Technology* 10,100 72
BPZ Energy PIPE* 57,500 213
BPZ Resources* (A) 102,000 377
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
CARBO Ceramics 1,000 $ 28
Carrizo Oil & Gas* 119,664 1,063
Cimarex Energy 27,919 513
Clayton Williams Energy* 8,100 237
CNX Gas* 1,800 43
Comstock Resources* (A) 30,684 914
Contango Oil & Gas* (A) 4,900 192
CVR Energy* 27,200 151
Delek US Holdings 6,400 66
Denbury Resources* 8,700 129
Double Eagle Petroleum* (A) 3,500 18
Dresser-Rand Group* 66,829 1,477
Encore Acquisition* 2,600 61
Endeavour International* 31,122 27
EXCO Resources* 136,373 1,364
General Maritime 4,900 34
GMX Resources* 47,799 311
Goodrich Petroleum* (A) 47,063 911
Gran Tierra Energy* 52,200 131
Gulf Island Fabrication 7,400 59
Holly 16,455 349
Infinity Bio-Energy* 741,494 44
InterOil* (A) 10,125 284
Lufkin Industries 4,900 186
Mahalo Energy* 257,800 7
Matrix Service* (A) 36,500 300
McMoRan Exploration* (A) 49,500 233
NATCO Group, Cl A* 4,000 76
Natural Gas Services Group* 2,200 20
Nordic American Tanker Shipping,
Cl US 4,300 126
Oilsands Quest* (A) 290,500 209
OYO Geospace* 2,900 38
Panhandle Oil and Gas, Cl A 2,700 46
PetroHawk Energy* 81,704 1,571
Plains Exploration & Production* 13,000 224
Quicksilver Resources* 263,005 1,457
Rentech* (A) 310,500 171
Superior Energy Services* 15,063 194
Swift Energy* (A) 21,400 156
Teekay Tankers, Cl A (A) 9,400 90
Vaalco Energy* 36,400 193
W&T Offshore (A) 74,000 455
Western Refining (A) 38,360 458
Westmoreland Coal* 9,400 67
Whiting Petroleum* 17,000 439
Willbros Group* 42,219 409
World Fuel Services (A) 45,595 1,442
-------------
19,381
-------------
FINANCIALS -- 7.6%
Affiliated Managers Group* 25,797 1,076
American Financial Group 24,285 390
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 51
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Amerisafe* 2,400 $ 37
Amtrust Financial Services (A) 6,000 57
Anworth Mortgage Asset+ 125,800 771
Brasil Brokers Participacoes* 460,500 224
Capitol Federal Financial (A) 19,120 723
Capstead Mortgage+ 61,009 655
Cardtronics* 107,529 190
Cohen & Steers 12,400 138
Columbia Banking System 5,326 34
Danvers Bancorp 9,400 130
Dollar Financial* (A) 86,100 820
Eaton Vance 24,130 551
eHealth* 11,264 180
Equity One+ 10,400 127
Evercore Partners, Cl A 45,761 707
Ezcorp, Cl A* 16,400 190
FCStone Group* 13,081 30
Financial Federal 5,700 121
First Cash Financial Services* 8,400 125
First Financial Bancorp 26,155 249
First Financial Bankshares (A) 9,025 435
Forestar Group* 16,600 127
Franklin Street Properties+ 6,400 79
General Shopping Brasil (Brazil)* 304,800 291
Getty Realty+ 11,900 218
Gluskin Sheff + Associates (Canada) 42,800 337
Greenhill 13,400 990
Grubb & Ellis 487,880 307
Hancock Holding 8,800 275
Hatteras Financial+ 25,394 635
Hercules Technology Growth Capital 93,805 469
Highbury Financial 85,600 175
Inland Real Estate+ 25,900 184
Interactive Brokers Group, Cl A* 23,100 373
Investors Real Estate Trust+ (A) 36,500 360
Janus Capital Group 35,299 235
Jones Lang LaSalle 17,070 397
Kansas City Life Insurance (A) 13,607 488
Knight Capital Group, Cl A* 29,000 428
LTC Properties+ 15,800 277
MarketAxess Holdings* 121,473 928
MFA Financial+ (A) 104,700 616
MSCI, Cl A* 51,752 875
optionsXpress Holdings 64,030 728
Penson Worldwide* 8,400 54
Platinum Underwriters Holdings 19,460 552
PS Business Parks+ 10,700 394
RAM Holdings* 68,700 17
Rayonier+ 1,400 42
Redwood Trust+ 40,425 621
Riskmetrics Group* 50,395 720
Signature Bank NY* 11,400 322
Smithtown Bancorp (A) 3,100 35
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Sovran Self Storage+ 3,400 $ 68
Stifel Financial* 1,300 56
Suffolk Bancorp 1,600 42
Sun Communities+ (A) 27,600 326
SVB Financial Group* 18,990 380
SWS Group 10,126 157
Titanium Asset Management,
PIPE* (B) (C) 140,900 705
Tower Group 23,850 587
TradeStation Group* 23,400 155
Trustco Bank NY (A) 74,700 449
United Community Banks 10,682 45
Uranium Participation* 73,400 356
Value Creation* (B) (C) 145,600 467
Victory Acquisition* (A) 42,023 416
Waddell & Reed Financial, Cl A 15,000 271
Westamerica Bancorporation (A) 12,695 578
World Acceptance* (A) 41,700 713
Zenith National Insurance 1,100 27
-------------
26,307
-------------
HEALTH CARE -- 20.6%
Abaxis* (A) 16,723 288
Achillion Pharmaceuticals* 86,261 135
Acorda Therapeutics* 26,820 531
Affymax* (A) 5,100 82
Akorn* 15,400 13
Albany Molecular Research* 19,100 180
Alexion Pharmaceuticals* (A) 64,880 2,443
Align Technology* 16,900 134
Alkermes* 133,495 1,619
Alliance Imaging* 54,903 373
Allos Therapeutics* 20,200 125
Allscripts Healthcare Solutions (A) 76,480 787
Alnylam Pharmaceuticals* (A) 25,983 495
AMAG Pharmaceuticals* (A) 25,423 935
Amedisys* 7,900 217
American Medical Systems Holdings* 66,863 746
AMN Healthcare Services* 18,400 94
Amsurg* 44,200 701
Analogic 1,900 61
Angiodynamics* 5,100 57
Arena Pharmaceuticals* (A) 166,600 502
Array Biopharma* (A) 73,775 195
ATHENAHEALTH INC* (A) 31,274 754
BioMarin Pharmaceuticals* 114,935 1,420
Bio-Rad Laboratories, Cl A* 10,000 659
Bruker BioSciences* 48,100 296
Cardiome Pharma* 207,838 609
CardioNet* 10,973 308
Catalyst Health Solutions* 37,705 747
Centene* 43,600 786
Cephalon* 300 20
52 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Cepheid* (A) 63,254 $ 437
Chemed 9,100 354
Chindex International* 20,100 100
Conceptus* (A) 23,695 278
Conmed* 44,215 637
Corvel* 3,500 71
Cougar Biotechnology* (A) 6,800 219
Covance* 5,500 196
CryoLife* 24,800 128
Cubist Pharmaceuticals* 45,612 746
CV Therapeutics* 2,300 46
Cyberonics* (A) 75,670 1,004
Cypress Bioscience* (A) 53,364 379
Dionex* 1,800 85
Durect* 332,642 742
Edwards Lifesciences* 10,605 643
Emergency Medical Services,
Cl A* (A) 2,300 72
Enzo Biochem* 16,041 65
Enzon Pharmaceuticals* (A) 17,500 106
eResearchTechnology* 41,100 216
ev3* (A) 59,533 423
Exelixis* (A) 89,331 411
Genoptix* 900 25
Gen-Probe* 4,100 187
Gentiva Health Services* 32,775 498
GTx* (A) 11,800 125
Haemonetics* 6,231 343
Hanger Orthopedic Group* 42,660 565
Healthways* 5,595 49
HMS Holdings* 17,115 563
ICU Medical* 4,200 135
Idera Pharmaceuticals* 3,400 22
Idexx Laboratories* 12,902 446
I-Flow* 75,043 274
Immucor* 78,270 1,969
Incyte* (A) 177,600 416
Integra LifeSciences Holdings* (A) 8,646 214
InterMune* 12,900 212
Intuitive Surgical* 14,409 1,374
Invacare 15,400 247
IPC The Hospitalist* 45,677 869
Isis Pharmaceuticals* (A) 83,485 1,253
Kendle International* 8,200 172
Kensey Nash* 9,600 204
Landauer 5,400 274
LHC Group* (A) 88,805 1,979
Life Sciences Research* 8,000 58
Luminex* (A) 25,288 458
Magellan Health Services* 1,600 58
Martek Biosciences (A) 46,482 848
Masimo* (A) 43,190 1,252
Maxygen* 17,700 120
Medarex* 53,564 275
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
MedAssets* 13,753 $ 196
Medicines* 64,800 702
Medicis Pharmaceutical, Cl A (A) 62,500 773
Medivation* (A) 4,000 73
Mednax* (A) 45,819 1,350
Meridian Bioscience 25,200 457
Merit Medical Systems* (A) 95,065 1,161
Micrus Endovascular* (A) 21,006 125
Molina Healthcare* 5,100 97
Momenta Pharmaceuticals* (A) 51,110 563
MWI Veterinary Supply* 22,147 631
Myriad Genetics* (A) 71,016 3,229
National Healthcare 3,000 120
National Research 400 10
Natus Medical* 12,900 110
Noven Pharmaceuticals* 30,526 289
NuVasive* (A) 53,353 1,674
Obagi Medical Products* 27,000 145
Odyssey HealthCare* 38,400 373
Omnicell* 66,240 518
Onyx Pharmaceuticals* 30,151 861
Optimer Pharmaceuticals* (A) 22,438 296
OSI Pharmaceuticals* 36,700 1,404
Owens & Minor 23,124 766
Pain Therapeutics* 20,300 85
Palomar Medical Technologies* 7,146 52
Par Pharmaceutical* 3,400 32
Parexel International* 37,900 369
PDL BioPharma 54,264 384
Perrigo 3,700 92
Pharmaceutical Product Development 2,700 64
PharMerica* (A) 33,995 566
Phase Forward* 96,513 1,234
Pozen* 173,323 1,061
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil) 17,800 36
Progenics Pharmaceuticals* 8,100 53
PSS World Medical* 20,108 289
Psychiatric Solutions* (A) 68,663 1,080
Questcor Pharmaceuticals* 39,600 195
Quidel* (A) 62,600 577
Regeneron Pharmaceuticals* 27,600 383
Res-Care* 39,100 569
Rigel Pharmaceuticals* (A) 94,100 578
Sangamo Biosciences* 5,000 21
Seattle Genetics* 46,366 457
Sequenom* (A) 27,792 395
Sirona Dental Systems* (A) 26,600 381
Somanetics* 12,500 190
STERIS (A) 68,781 1,601
Sucampo Pharmaceuticals, Cl A* 5,300 33
SurModics* 3 --
Techne 6,400 350
Theravance* (A) 38,425 653
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 53
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Thoratec* (A) 39,305 $ 1,010
TomoTherapy* 88,202 234
United Therapeutics* 19,125 1,264
US Physical Therapy* 1,800 17
Viropharma* 12,113 64
Vnus Medical Technologies* 4,600 98
Volcano* (A) 51,710 752
Waters* 2,900 107
West Pharmaceutical Services 9,765 320
Wright Medical Group* 16,442 214
XenoPort* (A) 8,200 159
Zoll Medical* 10,200 146
-------------
71,242
-------------
INDUSTRIALS -- 18.1%
AAON 17,600 319
Actuant, Cl A 6,666 69
Acuity Brands 13,500 304
Administaff 9,400 199
Advanced Battery Technologies* 30,200 65
Advisory Board* 9,700 161
Aegean Marine Petroleum Network (A) 121,323 2,032
AerCap Holdings* 221,840 721
Aerovironment* 18,850 394
Airtran Holdings* 91,725 417
Allegiant Travel* (A) 22,745 1,034
Allen-Vanguard* 3,468,452 441
Altra Holdings* 32,700 127
American Science & Engineering 1,100 61
Ameron International 12,000 632
Ampco-Pittsburgh 6,200 82
AO Smith 2,800 70
Apogee Enterprises 6,900 76
Applied Industrial Technologies 30,300 511
Applied Signal Technology 17,100 346
Arkansas Best 5,200 99
Astec Industries* 700 18
Axsys Technologies* 9,075 382
AZZ* 1,900 50
Badger Meter (A) 13,000 376
Barnes Group 88,635 948
Beacon Roofing Supply* (A) 41,645 558
Brady, Cl A 3,300 58
Briggs & Stratton 14,100 233
Calgon Carbon* 2,600 37
Carlisle 24,400 479
Celadon Group* 63,148 350
Ceradyne* 31,600 573
Chart Industries* 26,800 211
China Fire & Security Group* (A) 11,600 91
CIRCOR International 25,000 563
Clarcor 24,135 608
Clean Harbors* 12,900 619
Colfax* (A) 32,800 225
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Comfort Systems USA 4,900 $ 51
Con-way 13,639 245
Copa Holdings, Cl A 33,539 962
Copart* 22,382 664
Corrections Corp of America* (A) 24,175 310
CoStar Group* (A) 80,433 2,433
CRA International* 31,800 600
Crane 73,685 1,244
Cubic 22,500 570
Curtiss-Wright 1,500 42
Deluxe 7,200 69
Duff & Phelps* 36,400 573
Dycom Industries* 8,900 52
Dynamic Materials 4,900 45
DynCorp International, Cl A* 18,700 249
EMCOR Group* 45,100 774
EnergySolutions 48,554 420
EnerSys* 5,400 65
EnPro Industries* 16,200 277
ESCO Technologies* 5,861 227
Force Protection* (A) 118,600 569
Forward Air 28,040 455
FTI Consulting* 17,700 876
Fuel Tech* 5,100 53
Genesee & Wyoming, Cl A* 16,000 340
Geo Group* 51,115 677
GeoEye* (A) 18,900 373
GrafTech International* 52,900 326
Graham 11,700 105
GT Solar International* 48,000 319
H&E Equipment Services* 72,200 473
Healthcare Services Group (A) 54,058 809
Heartland Express 3,000 44
Heico, Cl A 15,404 318
HEICO CORP (A) 12,830 312
Heidrick & Struggles International 4,100 73
Horizon Lines, Cl A 111,069 337
HUB Group, Cl A* 2,200 38
Hubbell, Cl B 2,861 77
Huron Consulting Group* 27,315 1,159
ICF International* (A) 37,117 853
IHS, Cl A* 11,410 470
II-VI* 3,300 57
Innerworkings* 129,863 555
Integrated Electrical Services* 1,700 16
JB Hunt Transport Services 19,800 477
Kaman 13,400 168
Kansas City Southern* (A) 27,790 353
Kaydon 18,113 495
KBR 3,400 47
Kforce* 12,100 85
Kirby* 30,600 815
Knight Transportation 47,632 722
Knoll 36,700 225
54 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Korn/Ferry International* 7,300 $ 66
LaBarge* 14,800 124
Ladish* 5,800 42
Landstar System 14,150 474
LB Foster, Cl A* 20,384 506
Lydall* 15,500 46
M&F Worldwide* (A) 25,300 296
Manpower 13,445 424
Marten Transport* 9,300 174
MasTec* 110,245 1,333
Mcgrath Rentcorp 1,600 25
Met-Pro 12,300 100
Michael Baker* 10,500 273
Middleby* 2,400 78
Mine Safety Appliances 10,600 212
MSC Industrial Direct, Cl A 13,275 412
Navigant Consulting* 6,684 87
Nordson 3,957 112
Northwest Pipe* 10,655 303
Old Dominion Freight Line* 76,276 1,792
Omega Flex 400 6
Orbital Sciences* 29,344 349
Orion Marine Group* 25,000 328
Pike Electric* 6,900 64
Powell Industries* 7,700 272
Preformed Line Products 600 23
PRG-Schultz International* 19,800 56
Quanta Services* 93,487 2,005
Raven Industries 15,880 330
Republic Airways Holdings* 52,690 341
Resources Connection* 45,819 691
Ritchie Bros. Auctioneers 25,025 465
Robbins & Myers 14,400 218
Robert Half International 14,200 253
Rollins 30,600 525
RSC Holdings* (A) 151,400 796
Rush Enterprises, Cl A* 74,274 663
Ryder System 1,300 37
Sauer-Danfoss 8,600 21
Spire* (A) 12,376 58
Standard Parking* 40,765 669
Standard Register 15,700 72
Sun Hydraulics 6,900 101
Sunpower, Cl B* 7,755 154
TAL International Group (A) 62,700 459
Taser International* 27,400 128
TBS International, Cl A* 3,600 27
Teledyne Technologies* 8,300 221
Tetra Tech* (A) 73,688 1,502
Textainer Group Holdings 85,400 576
Titan Machinery* 51,075 459
TransDigm Group* (A) 41,540 1,364
Tredegar 8,600 140
Trex* (A) 10,500 80
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Triumph Group 5,600 $ 214
UAL* 119,356 535
Ultralife* (A) 21,300 165
UTI Worldwide 2,700 32
Vitran* 51,761 272
Wabtec (A) 27,200 718
Waste Connections* 16,710 429
Watson Wyatt Worldwide, Cl A 36,590 1,807
Werner Enterprises 3,000 45
WESCO International* 26,990 489
Woodward Governor 6,100 68
-------------
62,588
-------------
INFORMATION TECHNOLOGY -- 24.7%
ACI Worldwide* 24,300 456
Acme Packet* 8,400 51
Actuate* 26,900 82
Adtran 10,100 164
Advanced Energy Industries* 43,889 331
Advent Software* 1,144 38
Airvana* 17,300 101
Akamai Technologies* 73,177 1,420
Ansys* 9,400 236
Applied Micro Circuits* (A) 72,700 353
Ariba* 178,459 1,558
Arris Group* 157,425 1,160
Art Technology Group* 361,531 922
AsiaInfo Holdings* (A) 5,400 91
Asyst Technologies* 391,100 110
Atheros Communications* 3,500 51
Atmel* 233,605 848
ATMI* 44,668 689
Avocent* 2,500 30
Bankrate* (A) 30,852 770
Benchmark Electronics* 25,300 283
BigBand Networks* 34,700 227
Blackboard* (A) 30,765 976
Blue Coat Systems* 18,600 223
BluePhoenix Solutions* 125,300 241
BMC Software* 1,300 43
Brocade Communications Systems* 119,500 412
Cabot Microelectronics* 4,400 106
CACI International, Cl A* 2,700 98
Checkpoint Systems* 4,500 40
Cirrus Logic* 15,500 58
Cogent* (A) 32,800 390
Cognex 12,500 167
Cogo Group* 4,000 27
CommScope* 48,560 552
Commvault Systems* 14,200 156
Compuware* 4,500 30
comScore* 68,826 832
Comverge* (A) 17,647 123
Concur Technologies* (A) 95,740 1,837
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 55
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
CPI International* 4,800 $ 45
CSG Systems International* (A) 35,000 500
CTS 18,758 68
Cybersource* (A) 90,335 1,338
Cymer* 1,400 31
Cypress Semiconductor* 28,120 190
Daktronics (A) 15,400 101
DealerTrack Holdings* (A) 120,031 1,573
DemandTec* 4,500 39
Digi International* 14,402 110
Digital River* 13,300 397
Diodes* 7,300 77
Dolby Laboratories, Cl A* 3,700 126
Double-Take Software* 5,100 34
DSP Group* (A) 77,200 334
DTS* 62,841 1,512
Earthlink* (A) 65,300 429
EFJ* 100,400 75
Emulex* 94,100 473
EPIQ Systems* 40,452 729
Equinix* (A) 31,754 1,783
Euronet Worldwide* 68,970 901
F5 Networks* 26,265 550
Factset Research Systems (A) 17,485 874
FARO Technologies* 1,600 22
Flir Systems* 23,400 479
Formfactor* 23,000 414
Forrester Research* 1,500 31
GSI Commerce* (A) 65,421 857
Hackett Group* 11,600 23
Harmonic* 10,000 65
Harris Stratex Networks, Cl A* 73,100 281
Heartland Payment Systems 54,001 357
Hittite Microwave* 7,300 228
Imation 66,000 505
Infinera* 7,700 57
infoGROUP 27,300 114
Information Services Group* 123,931 380
Integral Systems* 92,627 797
Interactive Intelligence* 8,400 76
InterDigital* (A) 25,200 651
Intermec* 40,300 419
IXYS 48,200 389
j2 Global Communications* 36,700 803
JDA Software Group* 78,700 909
Kenexa* 25,800 139
Knot* (A) 140,153 1,149
Lexmark International, Cl A* 2,600 44
Liquidity Services* 8,500 60
LoopNet* 39,000 237
Mantech International, Cl A* 6,000 251
MAXIMUS (A) 14,700 586
MercadoLibre* (A) 7,500 139
Methode Electronics 35,652 128
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Micrel 21,400 $ 151
Micros Systems* 4,100 77
Microsemi* (A) 70,029 812
MicroStrategy, Cl A* 4,900 168
MKS Instruments* 32,922 483
Monolithic Power Systems* 51,730 802
Move* 36,806 53
MTS Systems 1,300 30
Multi-Fineline Electronix* 36,752 619
NCI, Cl A* 8,800 229
Net 1 UEPS Technologies* 84,464 1,285
Netgear* 37,800 456
Netlogic Microsystems* (A) 11,164 307
Netscout Systems* 43,900 314
Neutral Tandem* 57,916 1,425
NIC 5,600 29
Novatel Wireless* (A) 92,700 521
Novell* 20,251 86
Nuance Communications* (A) 62,419 678
NVE* 5,400 156
Omniture* 132,166 1,743
Open Text* (A) 29,905 1,030
OpenTV, Cl A* 46,700 70
OSI Systems* 46,200 705
Parametric Technology* 8,100 81
Park Electrochemical 24,900 430
Parkervision* (A) 124,100 210
Perfect World ADR* 41,420 582
Perficient* 8,200 44
Pericom Semiconductor* 10,800 79
Perot Systems, Cl A* 19,374 249
Phoenix Technologies* 21,680 35
Plexus* 8,100 112
PLX Technology* 108,501 235
PMC - Sierra* (A) 84,475 539
Power Integrations (A) 28,649 493
Presstek* (A) 61,142 126
QLogic* 61,855 688
Quality Systems (A) 20,806 941
Rackspace Hosting* 14,800 111
Radiant Systems* 5,000 22
Renaissance Learning 1,100 10
RightNow Technologies* 17,000 129
Riverbed Technology* 34,500 451
Rofin-Sinar Technologies* 4,357 70
Rogers* 2,800 53
S1* 48,000 247
Sapient* 304,014 1,359
SAVVIS* 67,194 416
Scansource* 8,552 159
Seachange International* 58,500 335
Semtech* 27,300 364
Silicon Image* 10,200 24
Skyworks Solutions* 81,400 656
56 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Sohu.com* (A) 8,715 $ 360
Solera Holdings* 44,090 1,093
Sonus Networks* 17,500 28
SPSS* 5,800 165
SRA International, Cl A* 44,700 657
Standard Microsystems* 7,500 140
Starent Networks* 9,600 152
Switch & Data Facilities* 83,926 736
Sybase* (A) 101,250 3,067
Synaptics* (A) 37,955 1,016
Synchronoss Technologies* 67,238 824
Syntel 8,400 173
Take-Two Interactive Software 15,400 129
Taleo, Cl A* 52,889 625
TechTarget* 28,670 69
Techwell* 14,900 94
Tekelec* 94,420 1,249
TeleCommunication Systems, Cl A* 128,195 1,176
TeleTech Holdings* 8,700 95
Tellabs* 120,900 554
Teradyne* 160,965 705
Tessera Technologies* 88,954 1,189
TNS* 30,300 248
Trimble Navigation* 62,580 956
TriQuint Semiconductor* 9,500 23
TTM Technologies* (A) 71,600 415
Tyler Technologies* 26,700 391
Ultimate Software Group* 30,233 522
Ultratech* 9,100 114
United Online 17,400 78
Valueclick* 55,200 470
Vasco Data Security International* 16,100 93
Veeco Instruments* 4,400 29
Verigy* 40,937 338
Virtusa* 9,400 58
VistaPrint* (A) 102,522 2,818
Vocus* 53,435 710
Volterra Semiconductor* 34,200 289
Websense* 46,275 555
Wind River Systems* 185,150 1,185
Wright Express* 28,825 525
Zebra Technologies, Cl A* 27,300 519
Zygo* 42,950 197
-------------
85,469
-------------
MATERIALS -- 2.4%
Alpha Natural Resources* (A) 15,095 268
AMCOL International (A) 29,000 430
Aptargroup (A) 17,000 529
Bway Holding* 19,000 150
Carpenter Technology 32,000 452
China Precision Steel* 38,176 45
Compass Minerals International 500 28
Crown Holdings* 30,090 684
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
H.B. Fuller 8,000 $ 104
Innophos Holdings 4,100 46
Innospec 9,600 36
Intrepid Potash* 49,478 913
Koppers Holdings 30,735 446
Myers Industries 5,890 36
Nalco Holding 5,571 73
Olin (A) 53,565 764
Rock-Tenn, Cl A 15,100 409
RTI International Metals* 5,000 58
Schnitzer Steel Industries, Cl A 5,700 179
Schulman A 7,400 100
ShengdaTech* (A) 13,800 43
Silgan Holdings 10,200 536
Silvercorp Metals* 159,000 359
Stillwater Mining* 10,000 37
Texas Industries 1,300 33
Universal Stainless & Alloy* 34,500 334
Western Goldfields* 274,200 515
Westlake Chemical (A) 33,575 491
Worthington Industries 25,800 225
Zep 2,100 22
-------------
8,345
-------------
TELECOMMUNICATION SERVICES -- 2.0%
Atlantic Telegraph-Network 13,500 259
Cbeyond* (A) 29,547 556
General Communication, Cl A* 5,300 36
Global Crossing* 19,600 137
Iowa Telecommunications Services 8,700 100
NTELOS Holdings (A) 69,397 1,259
Premiere Global Services* 40,700 359
SBA Communications, Cl A* (A) 91,053 2,121
Shenandoah Telecommunications 6,500 148
Sierra Wireless* 81,400 296
Syniverse Holdings* 68,010 1,072
tw telecom, Cl A* 78,080 683
-------------
7,026
-------------
UTILITIES -- 1.3%
AGL Resources 4,100 109
Allete 800 21
Black Hills 1,500 27
Cia de Saneamento de Minas
Gerais-COPASA (Brazil) 51,900 445
Hawaiian Electric Industries 14,700 202
ITC Holdings 33,285 1,452
National Fuel Gas 1,600 49
Piedmont Natural Gas 7,100 184
PNOC Energy Development
(Phillippines) 7,741,000 625
Portland General Electric 31,200 549
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 57
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Concluded)
March 31, 2009
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
South Jersey Industries 1,200 $ 42
Unisource Energy 19,000 536
Westar Energy 26,500 464
-------------
4,705
-------------
Total Common Stock
(Cost $436,584) ($ Thousands) 336,785
-------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Oilsands Quest
Expires 12/08/09* 17,500 1
Rentech
Expires 04/25/12* (B) (C) 19,400 3
Titanium Asset Management
Expires 06/21/11* (C) 147,800 170
Victory Acquisition
Expires 04/30/11* 144,242 22
-------------
Total Warrants
(Cost $242) ($Thousands) 196
-------------
CONVERTIBLE BONDS -- 0.8%
Charming Shoppes CV to 65.0233
1.125%, 05/01/14 $ 1,945 562
Human Genome Sciences CV to 64.3211
2.250%, 10/15/11 1,357 499
Hutchinson Technology CV to 33.5121
2.250%, 03/15/10 700 604
Incyte CV to 89.1385
3.500%, 02/15/11 231 120
NCI Building Systems CV to 24.9121
2.125%, 11/15/24 852 494
Nova BioSource CV to 273.2240
10.000%, 09/30/12 1,926 193
Rentech CV to 249.2522
4.000%, 04/15/13 496 94
Scorpio Mining PIPE
7.000%, 05/05/11 (B) (C) 462 254
-------------
Total Convertible Bonds
(Cost $5,037) ($ Thousands) 2,820
-------------
AFFILIATED PARTNERSHIP --18.0%
SEI Liquidity Fund, L.P.,
0.810%**++ (D) 65,437,851 62,282
-------------
Total Affiliated Partnership
(Cost $65,438) ($ Thousands) 62,282
-------------
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CASH EQUIVALENTS -- 2.5%
Merrill Lynch EBP Master,
0.020%** 1,569,495 $ 1,570
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 7,019,303 7,019
-------------
Total Cash Equivalents
(Cost $8,589) ($ Thousands) 8,589
-------------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bills
0.280%, 06/11/09 (E) (F) $ 1,500 1,499
-------------
Total U.S. Treasury Obligation
(Cost $1,499) ($ Thousands) 1,499
-------------
Total Investments -- 118.9%
(Cost $517,389) ($ Thousands) $ 412,171
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
Russell 2000 Index E-MINI 123 Jun-2009 $349
====
Percentages are based on Net Assets of $346,601 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ 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 March
31, 2009 (see Note 7). The total market value of securities on loan at
March 31, 2009 was $63,883 ($ 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 March 31, 2009 was $1,663 ($ Thousands) and
represented 0.48% of Net Assets.
(C) Securities considered illiquid and restricted. The total market value of
such securities as of March 31, 2009 was $1,833 ($ Thousands) and
represented 0.53% of Net Assets.
(D) This security was purchased with cash collateral received from securities
lending. The total value of such securities as of March 31, 2009 was
$62,282 ($ Thousands).
(E) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(F) The rate reported is the effective yield at the time of purchase.
(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
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
58 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Tax-Managed Small Cap Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Information Technology 19.3%
Industrials 15.5%
Health Care 15.0%
Financials 14.1%
Consumer Discretionary 13.7%
Utilities 4.8%
Energy 4.7%
Materials 4.4%
Consumer Staples 3.2%
Telecommunication Services 1.7%
Cash Equivalent 1.6%
Affiliated Partnership 1.4%
U.S. Treasury Obligation 0.6%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 97.2%
CONSUMER DISCRETIONARY -- 13.8%
Aaron Rents 25,095 $ 669
Abercrombie & Fitch, Cl A 2,700 64
Advance Auto Parts 20,500 842
Aeropostale* 2,400 64
American Eagle Outfitters 28,350 347
American Greetings, Cl A 20,300 103
Amerigon* 3,300 12
Ameristar Casinos 1,300 16
AnnTaylor Stores* 11,400 59
Apollo Group, Cl A* 3,500 274
Arbitron 800 12
ArvinMeritor 18,300 14
Autoliv 14,200 264
Autonation* 1,400 19
Bally Technologies* 3,100 57
Barnes & Noble 4,600 98
Bed Bath & Beyond* 2,600 64
Belo, Cl A 13,900 8
Big Lots* 24,715 514
BJ's Restaurants* 1,000 14
Black & Decker 8,500 268
Blyth 500 13
BorgWarner 4,600 93
Brinker International 1,700 26
Brink's Home Security Holdings* 34,385 777
Brown Shoe 2,700 10
Brunswick 15,100 52
Buckle 2,200 70
Build-A-Bear Workshop* 2,700 16
Burger King Holdings 22,605 519
Cabela's* 1,900 17
Callaway Golf 25,900 186
Capella Education* 700 37
Career Education* 6,700 161
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Carmax* 3,100 $ 39
Carter's* 13,700 258
Cato, Cl A 25,935 474
Central European Media Enterprises,
Cl A* 700 8
Charlotte Russe Holding* 9,700 79
Cheesecake Factory* 1,400 16
Chico's FAS* 1,900 10
Chipotle Mexican Grill, Cl A* 1,100 73
Christopher & Banks 18,769 77
Cinemark Holdings 27,668 260
CKE Restaurants 1,400 12
CKX* 2,600 11
Coinstar* 1,200 39
Columbia Sportswear 500 15
Cooper Tire & Rubber 7,600 31
Corinthian Colleges* 29,765 579
Cracker Barrel Old Country Store 8,200 235
Darden Restaurants 12,500 428
Deckers Outdoor* 700 37
DeVry 4,285 207
Dick's Sporting Goods* 1,600 23
Dillard's, Cl A 3,800 22
DineEquity 800 10
Dollar Tree* 12,200 543
Domino's Pizza* 1,600 10
DR Horton 9,500 92
DreamWorks Animation SKG, Cl A* 11,725 254
Ethan Allen Interiors 1,100 12
Family Dollar Stores 1,699 57
Finish Line, Cl A 40,110 266
Foot Locker 24,200 254
Fossil* 3,800 60
Fred's, Cl A 1,900 21
GameStop, Cl A* 15,506 434
Genesco* 8,000 151
Gentex 2,600 26
Goodyear Tire & Rubber* 24,000 150
Group 1 Automotive 1,200 17
Guess? 800 17
Hanesbrands* 1,400 13
Harte-Hanks 1,800 10
Hasbro 11,100 278
Helen of Troy* 1,000 14
hhgregg* 2,000 28
Hillenbrand 2,200 35
Hooker Furniture 16,000 135
HOT Topic* 12,400 139
Iconix Brand Group* 7,000 62
Insight Enterprises* 23,400 71
Interactive Data 900 22
International Speedway, Cl A 900 20
Interpublic Group* 9,400 39
Isle of Capri Casinos* 3,300 17
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 59
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
ITT Educational Services* 2,859 $ 347
J Crew Group* 6,200 82
Jakks Pacific* 12,500 155
Jarden* 33,221 421
Jo-Ann Stores* 4,970 81
Jones Apparel Group 21,722 92
Journal Communications, Cl A 39,400 29
KB Home 1,800 24
Kenneth Cole Productions, Cl A 1,600 10
Lamar Advertising, Cl A* 1,300 13
Landry's Restaurants 7,300 38
Leggett & Platt 2,000 26
Lennar, Cl A 2,600 19
Liberty Media - Capital, Ser A* 2,300 16
Life Time Fitness* 800 10
Limited Brands 17,400 151
Live Nation* 72,098 192
LKQ* 900 13
Luby's* 2,000 10
MDC Holdings 400 12
Men's Wearhouse 900 14
Meredith 1,900 32
Meritage Homes* 900 10
Morningstar* 300 10
National CineMedia 34,739 458
NetFlix* (A) 16,195 695
New York Times, Cl A 2,000 9
Nutri/System 3,500 50
NVR* 400 171
OfficeMax 35,700 111
O'Reilly Automotive* 4,700 165
Panera Bread, Cl A* (A) 10,265 574
Penn National Gaming* 18,300 442
Penske Auto Group 1,800 17
PEP Boys-Manny Moe & Jack 26,000 115
PetSmart 11,400 239
PF Chang's China Bistro* 500 11
Phillips-Van Heusen 13,580 308
Pinnacle Entertainment* 1,500 11
Polaris Industries 15,500 332
Polo Ralph Lauren 900 38
Pre-Paid Legal Services* 800 23
priceline.com* 12,330 972
Pulte Homes 6,665 73
RadioShack 22,900 196
RCN* 3,100 11
Red Robin Gourmet Burgers* 800 14
Regal Entertainment Group, Cl A 20,800 279
Regis 900 13
Rent-A-Center* 6,086 118
Ross Stores 15,820 568
Ruby Tuesday* 37,800 110
Ryland Group 2,100 35
Sauer-Danfoss 4,011 10
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Scholastic 23,000 $ 347
Scientific Games, Cl A* 33,654 408
Sealy 5,500 8
Service International 6,700 23
Shutterfly* 1,700 16
Signet Jewelers 3,000 34
Sonic* 1,800 18
Sonic Automotive, Cl A 12,800 20
Sotheby's 5,600 51
Speedway Motorsports 800 9
Stage Stores 28,771 290
Stamps.com* 5,500 53
Stanley Works 500 15
Starwood Hotels & Resorts Worldwide 12,500 159
Steak N Shake* 1,800 14
Stewart Enterprises, Cl A 2,900 9
Strayer Education 2,100 378
Systemax* 2,800 36
Tempur-Pedic International 1,600 12
Texas Roadhouse, Cl A* 3,400 32
Thor Industries 900 14
Timberland, Cl A* 900 11
Toll Brothers* 1,600 29
Town Sports International Holdings* 4,600 14
Tractor Supply* 4,400 159
Tween Brands* 2,083 4
Ulta Salon Cosmetics & Fragrance* 1,800 12
Universal Electronics* 1,300 24
Urban Outfitters* 13,900 228
VF 4,300 246
WABCO Holdings 700 9
Warnaco Group* 2,510 60
Warner Music Group 64,100 151
Weight Watchers International 9,200 171
Wendy's, Cl A 55,500 279
Whirlpool 7,300 216
Williams-Sonoma 7,700 78
WMS Industries* 40,469 846
Wolverine World Wide 600 9
World Wrestling Entertainment, Cl A 900 10
Wyndham Worldwide 2,200 9
-------------
24,435
-------------
CONSUMER STAPLES -- 3.3%
Alberto-Culver 7,300 165
American Italian Pasta, Cl A* 1,500 52
Avon Products 6,952 134
Bare Escentuals* 2,300 9
BJ's Wholesale Club* 7,700 246
Boston Beer, Cl A* 800 17
Cal-Maine Foods 1,024 23
Casey's General Stores 13,980 373
Central European Distribution* 1,200 13
Central Garden and Pet, Cl A* 7,200 54
60 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Chattem* 3,600 $ 202
Chiquita Brands International* 4,000 27
Church & Dwight 1,600 83
Constellation Brands, Cl A* 27,100 323
Corn Products International 400 9
Dean Foods* 11,000 199
Del Monte Foods 1,600 12
Diamond Foods 1,500 42
Energizer Holdings* 500 25
Flowers Foods 25,235 593
Hain Celestial Group* 20,500 292
Hansen Natural* 3,725 134
Herbalife 11,200 168
J&J Snack Foods 1,300 45
JM Smucker 9,400 350
Lancaster Colony 1,000 41
Lance 1,400 29
Mead Johnson Nutrition, Cl A* 4,000 116
Molson Coors Brewing, Cl B 10,200 350
Nash Finch 1,000 28
Nu Skin Enterprises, Cl A 900 9
Pepsi Bottling Group 14,200 314
PepsiAmericas 7,900 136
Ralcorp Holdings* 9,900 533
Reddy Ice Holdings 5,700 8
Schiff Nutrition International* 2,200 10
Smithfield Foods* 1,000 9
SUPERVALU 18,000 257
Tootsie Roll Industries 1,030 22
TreeHouse Foods* 1,800 52
Universal 6,600 197
USANA Health Sciences* 400 9
Village Super Market, Cl A 800 25
WD-40 900 22
Whole Foods Market 2,000 34
-------------
5,791
-------------
ENERGY -- 4.7%
Atlas America 1,000 9
Atwood Oceanics* 1,200 20
Berry Petroleum, Cl A 1,600 17
Bill Barrett* 600 13
Bristow Group* 1,700 36
Bronco Drilling* 1,800 10
Cabot Oil & Gas 1,000 24
Cameron International* 3,550 78
Carrizo Oil & Gas* 1,100 10
Cheniere Energy* 3,000 13
Cimarex Energy 2,200 40
Complete Production Services* 3,100 10
Concho Resources* 15,700 402
Consol Energy 900 23
Continental Resources* 5,500 117
Core Laboratories 3,400 249
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Denbury Resources* 10,900 $ 162
Double Eagle Petroleum* 1,900 10
Dresser-Rand Group* 19,540 432
Dril-Quip* 1,200 37
Encore Acquisition* 1,400 33
EOG Resources 500 27
EXCO Resources* 4,900 49
FMC Technologies* 15,020 471
Foundation Coal Holdings 14,025 201
Frontier Oil 700 9
Frontline (A) 7,900 137
Global Industries* 51,300 197
Goodrich Petroleum* 8,400 163
Gran Tierra Energy* 3,400 8
Helix Energy Solutions Group* 1,800 9
Helmerich & Payne 8,100 184
Hess 1,100 60
Holly 11,435 242
InterOil* 5,630 158
ION Geophysical* 41,800 65
Key Energy Services* 3,100 9
Knightsbridge Tankers 1,400 20
Mariner Energy* 1,200 9
Mitcham Industries* 3,000 11
National Oilwell Varco* 1,800 52
Noble 6,300 152
Nordic American Tanker Shipping,
Cl US (A) 3,500 103
Oceaneering International* 3,750 138
Oil States International* 700 9
Overseas Shipholding Group 6,800 154
Patriot Coal* 480 2
Patterson-UTI Energy 1,500 13
Peabody Energy 1,500 38
PetroHawk Energy* 33,420 643
Pioneer Drilling* 20,200 66
Plains Exploration & Production* 1,125 19
Quicksilver Resources* 1,500 8
Range Resources 9,200 379
Rowan 10,300 123
SEACOR Holdings* 4,800 280
Smith International 1,079 23
Southwestern Energy* 1,000 30
St. Mary Land & Exploration 600 8
Sunoco 6,400 169
Superior Energy Services* 3,700 48
Swift Energy* 6,100 44
Teekay Shipping 1,300 18
Tesoro 20,100 271
Tetra Technologies* 61,800 201
Tidewater 7,420 276
Ultra Petroleum* 900 32
Unit* 4,775 100
USEC* (A) 51,000 245
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 61
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
W&T Offshore 2,850 $ 17
Western Refining 23,680 283
Whiting Petroleum* 8,400 217
Willbros Group* 1,500 15
Williams 3,785 43
World Fuel Services 13,530 428
-------------
8,421
-------------
FINANCIALS -- 14.2%
1st Source 1,000 18
Acadia Realty Trust+ 900 10
Advance America Cash Advance
Centers 39,200 66
Affiliated Managers Group* 500 21
Alexander's+ 100 17
Alexandria Real Estate Equities+ 300 11
Allied Capital 36,400 58
Allied World Assurance Holdings 3,200 122
AMB Property+ 2,100 30
Amcore Financial 5,800 9
American Campus Communities+ 600 10
American Financial Group 27,740 445
American National Insurance 700 37
AmeriCredit* 20,800 122
Ameriprise Financial 9,000 184
Amerisafe* 5,300 81
Annaly Capital Management+ 23,400 325
Anthracite Capital+ 7,900 3
Anworth Mortgage Asset+ 39,000 239
AON 500 20
Apartment Investment & Management,
Cl A+ 1,800 10
Arch Capital Group* 300 16
Ares Capital 2,000 10
Argo Group International Holdings* 900 27
Arthur J. Gallagher 900 15
Aspen Insurance Holdings 29,300 658
Assured Guaranty 2,600 18
Astoria Financial 1,400 13
Axis Capital Holdings 1,000 23
Baldwin & Lyons, Cl B 400 8
Banco Latinoamericano de Exportaciones,
Cl E 16,100 151
Bancorpsouth 2,700 56
Bank Mutual 6,700 61
Bank of Hawaii 400 13
Bank of the Ozarks 8,500 196
BioMed Realty Trust+ 2,700 18
BlackRock 796 104
BlackRock Kelso Capital 2,400 10
BRE Properties, Cl A+ 1,000 20
Brown & Brown 600 11
Calamos Asset Management, Cl A 3,800 18
Camden Property Trust+ 600 13
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Capitol Bancorp 2,000 $ 8
Capitol Federal Financial 10,710 405
Capstead Mortgage+ 6,200 67
Cardinal Financial 1,900 11
Cascade Bancorp 4,900 8
Cathay General Bancorp 900 9
CB Richard Ellis Group, Cl A* 38,000 153
Cedar Shopping Centers+ 7,600 13
Central Pacific Financial 15,700 88
Chemical Financial 6,300 131
Chimera Investment+ 4,300 14
Cincinnati Financial 14,300 327
CIT Group 5,800 17
Citizens Republic Bancorp 5,500 9
Clifton Savings Bancorp 4,200 42
CNA Surety* 6,600 122
CoBiz Financial 2,300 12
Columbia Banking System 7,428 48
Comerica 13,600 249
Commerce Bancshares 1,386 50
Credit Acceptance* 1,400 30
Cullen/Frost Bankers 17,600 826
CVB Financial 9,500 63
DCT Industrial Trust+ 3,100 10
Delphi Financial Group, Cl A 3,900 53
Digital Realty Trust+ 4,700 156
Discover Financial Services 8,700 55
Dollar Financial* 1,600 15
Douglas Emmett+ 1,400 10
Duke Realty+ 1,700 9
EastGroup Properties+ 400 11
Eaton Vance 7,579 173
Education Realty Trust+ 2,600 9
eHealth* 7,000 112
EMC Insurance Group 3,220 68
Employers Holdings 3,600 34
Encore Bancshares* 1,200 11
Encore Capital Group* 35,400 160
Endurance Specialty Holdings 5,425 135
Enstar Group* 300 17
Entertainment Properties Trust+ 1,000 16
Equity One+ (A) 6,000 73
Erie Indemnity, Cl A 400 14
Essex Property Trust+ 2,200 126
Everest Re Group 4,400 312
FBL Financial Group, Cl A 2,500 10
FCStone Group* 10,624 24
Federal Realty Investment Trust+ 500 23
Federated Investors, Cl B 7,600 169
FelCor Lodging Trust+ 6,100 8
Fidelity National Financial, Cl A 19,500 380
Fifth Street Finance 1,600 12
Financial Federal 14,500 307
Financial Institutions 1,100 8
62 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
First American 32,000 $ 848
First Bancorp 27,700 118
First Busey 1,600 12
First Commonwealth Financial 11,000 98
First Financial Bancorp 13,578 129
First Financial Bankshares 4,955 239
First Financial Holdings 1,000 8
First Horizon National 9,374 101
First Merchants 1,000 11
First Midwest Bancorp 13,800 119
First Niagara Financial Group 43,900 478
First Place Financial 2,400 8
Flushing Financial 3,400 20
FNB (Pennsylvania) 6,700 51
Forestar Group* 19,600 150
Franklin Street Properties+ 5,800 71
Frontier Financial 3,519 4
Fulton Financial 26,000 172
GAMCO Investors, Cl A 400 13
Getty Realty+ 3,100 57
GFI Group 44,600 143
Glacier Bancorp 10,300 162
Greenhill 500 37
Greenlight Capital Re* 700 11
Hancock Holding 4,400 138
Hanover Insurance Group 20,891 602
Harleysville Group 1,200 38
Hatteras Financial+ 2,500 62
HCC Insurance Holdings 5,700 144
Health Care+ 2,700 83
Healthcare Realty Trust+ 700 10
Hercules Technology Growth Capital 20,400 102
Hersha Hospitality Trust+ 43,200 82
Highwoods Properties+ 500 11
Hilltop Holdings* 5,000 57
Home Properties+ 400 12
Horace Mann Educators 1,200 10
Hospitality Properties Trust+ 15,000 180
HRPT Properties Trust+ 110,400 352
Hudson City Bancorp 2,400 28
Huntington Bancshares 47,400 79
Independence Holding 2,800 14
Independent Bank 800 12
Infinity Property & Casualty 3,100 105
Inland Real Estate+ 9,400 67
Integra Bank 4,400 8
Interactive Brokers Group, Cl A* 1,500 24
Investment Technology Group* 900 23
Investors Real Estate Trust+ 3,100 31
IPC Holdings 12,400 335
iStar Financial+ 3,400 10
Janus Capital Group 1,900 13
Jefferies Group 14,000 193
Jones Lang LaSalle 400 9
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Kayne Anderson Energy Development 800 $ 7
KBW* 7,700 157
Kilroy Realty+ 3,175 55
Kite Realty Group Trust+ 4,900 12
Knight Capital Group, Cl A* 2,300 34
LaSalle Hotel Properties+ 1,400 8
Lexington Realty Trust+ 3,600 9
Liberty Property Trust+ 1,700 32
LTC Properties+ 4,600 81
Mack-Cali Realty+ 6,100 121
MarketAxess Holdings* 1,200 9
Max Capital Group 600 10
MB Financial 1,100 15
MBIA* 5,600 26
Meadowbrook Insurance Group 46,100 281
Medical Properties Trust+ 4,500 16
Mercury General 300 9
MF Global* 5,200 22
MFA Financial+ 68,100 400
Mid-America Apartment Communities+ 300 9
Monmouth Real Estate Investment
Cl A+ 1,400 9
Montpelier Re Holdings 15,200 197
MSCI, Cl A* 3,500 59
NASDAQ OMX Group* 1,200 24
National Health Investors+ 7,200 193
National Penn Bancshares 2,100 17
National Retail Properties+ 1,200 19
Nationwide Health Properties+ 13,500 300
Navigators Group* 2,763 130
NBT Bancorp 1,200 26
New York Community Bancorp 3,523 39
NewAlliance Bancshares 11,500 135
Northfield Bancorp 800 9
NorthStar Realty Finance+ 14,709 34
NYSE Euronext 7,675 137
Ocwen Financial* 4,200 48
Old National Bancorp 3,800 42
Old Republic International 2,800 30
Omega Healthcare Investors+ 5,100 72
OneBeacon Insurance Group, Cl A 1,100 11
optionsXpress Holdings 1,400 16
Oriental Financial Group 13,000 63
Pacific Capital Bancorp 1,200 8
Park National 2,000 112
PartnerRe 700 43
Patriot Capital Funding 4,600 8
Penson Worldwide* 3,600 23
People's United Financial 21,424 385
PHH* 50,151 705
Pico Holdings* 300 9
Piper Jaffray* 300 8
Platinum Underwriters Holdings 6,900 196
Plum Creek Timber+ 1,500 44
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 63
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Popular 27,300 $ 60
Portfolio Recovery Associates* 400 11
Post Properties+ 800 8
Premierwest Bancorp 3,465 14
Presidential Life 1,400 11
PrivateBancorp 900 13
ProAssurance* 2,300 107
Prospect Capital 1,000 9
Prosperity Bancshares 11,300 309
Protective Life 10,600 56
Provident Bankshares 20,800 147
Provident Financial Services 1,100 12
Provident New York Bancorp 1,200 10
Pzena Investment Management, Cl A 5,400 10
RAIT Financial Trust+ 42,000 51
Ramco-Gershenson Properties+ 2,300 15
Raymond James Financial 1,200 24
Rayonier+ 10,850 328
Redwood Trust+ 13,100 201
Regency Centers+ 500 13
Regions Financial 51,600 220
Reinsurance Group of America, Cl A 600 19
RenaissanceRe Holdings 800 40
Resource Capital+ 2,600 8
RLI 1,600 80
Roma Financial 900 12
S&T Bancorp 4,300 91
Safety Insurance Group 570 18
Sandy Spring Bancorp 1,000 11
SeaBright Insurance Holdings* 4,405 46
Selective Insurance Group 8,200 100
Senior Housing Properties Trust+ 1,000 14
Sierra Bancorp 800 8
Sovran Self Storage+ 3,800 76
St. Joe* 3,751 63
StanCorp Financial Group 6,500 148
State Auto Financial 500 9
StellarOne 800 10
Sterling Bancshares 16,600 109
Stewart Information Services 700 14
Stratus Properties* 1,900 12
Sun Communities+ 1,400 17
Sunstone Hotel Investors+ 28,254 74
Susquehanna Bancshares 5,800 54
SVB Financial Group* 600 12
SWS Group 10,000 155
Tanger Factory Outlet Centers+ 800 25
Taubman Centers+ 1,400 24
TCF Financial 23,300 274
TD Ameritrade Holding* 9,829 136
Tejon Ranch* 400 8
Thinkorswim Group* 1,300 11
Tower Group 18,082 445
TradeStation Group* 1,800 12
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Transatlantic Holdings 600 $ 21
Trustco Bank NY 20,300 122
Trustmark 1,100 20
UDR+ 1,400 12
UMB Financial 3,185 135
Umpqua Holdings 5,000 45
United America Indemnity, Cl A* 1,000 4
United Bankshares 600 10
United Community Banks 14,529 60
United Community Financial 6,400 8
United Fire & Casualty 500 11
Unitrin 17,600 246
Universal Health Realty Income Trust+ 300 9
Unum Group 22,400 280
Validus Holdings 400 10
Valley National Bancorp 2,000 25
W Holding 900 8
Waddell & Reed Financial, Cl A 700 13
Washington Federal 10,600 141
Washington Real Estate Investment
Trust+ 500 9
Washington Trust Bancorp 600 10
Weingarten Realty Investors+ 1,000 10
Westamerica Bancorporation (A) 12,215 557
Westfield Financial 2,625 23
Whitney Holding 17,999 206
Wilmington Trust 4,000 39
WR Berkley 17,100 386
WSFS Financial 400 9
Yadkin Valley Financial 1,100 8
Zenith National Insurance 2,000 48
Zions Bancorporation 11,800 116
-------------
25,242
-------------
HEALTH CARE -- 15.1%
Abaxis* 2,200 38
Accelrys* 49,200 196
Accuray* 1,900 10
Acorda Therapeutics* 400 8
Adolor* 6,200 13
Affymetrix* 3,600 12
Air Methods* 600 10
Albany Molecular Research* 7,800 73
Alexion Pharmaceuticals* 12,390 467
Align Technology* 9,465 75
Alkermes* 32,605 395
Allscripts Healthcare Solutions 1,300 13
Alnylam Pharmaceuticals* 500 9
AMAG Pharmaceuticals* 300 11
Amedisys* (A) 1,900 52
AMERIGROUP* 3,920 108
AMN Healthcare Services* 20,100 103
Amsurg* 2,900 46
Amylin Pharmaceuticals* 2,100 25
64 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Analogic 1,174 $ 38
Angiodynamics* 3,200 36
Assisted Living Concepts, Cl A* 660 9
Auxilium Pharmaceuticals* 400 11
Beckman Coulter 500 25
Biogen Idec* 3,400 178
Bio-Rad Laboratories, Cl A* 600 39
Bio-Reference Labs* 500 10
Boston Scientific* 43,500 346
Brookdale Senior Living 1,700 9
Bruker BioSciences* 57,900 357
Cambrex* 92,700 211
Capital Senior Living* 3,600 9
Catalyst Health Solutions* 600 12
Celera* 27,700 211
Celgene* 622 28
Cephalon* 6,311 430
Cerner* 700 31
Charles River Laboratories
International* 17,650 480
Chemed 14,564 567
Community Health Systems* 15,100 232
Computer Programs & Systems 1,120 37
Conmed* 700 10
Cooper 30,135 797
Corvel* 893 18
Covance* 8,775 313
Coventry Health Care* 33,000 427
Cubist Pharmaceuticals* 2,000 33
CV Therapeutics* 3,800 75
Cyberonics* 20,625 274
DaVita* 9,700 426
Dendreon* 2,300 10
Dentsply International 14,400 387
Dionex* 500 24
Discovery Laboratories* 28,000 34
Eclipsys* 4,296 44
Edwards Lifesciences* 9,340 566
Emeritus* 1,400 9
Endo Pharmaceuticals Holdings* 3,300 58
Enzo Biochem* 6,249 25
Enzon Pharmaceuticals* 2,600 16
eResearchTechnology* 13,548 71
ev3* 1,400 10
Exelixis* 2,200 10
Express Scripts* 700 32
Forest Laboratories* 29,575 649
Gen-Probe* 8,400 383
Gentiva Health Services* 17,110 260
Genzyme* 1,702 101
Geron* 8,900 40
Greatbatch* 21,038 407
Haemonetics* 700 38
Hanger Orthopedic Group* 23,525 312
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Health Management Associates, Cl A* 15,300 $ 39
Health Net* 43,125 624
Healthsouth* 11,800 105
Healthspring* 1,200 10
Henry Schein* 500 20
Hill-Rom Holdings 6,000 59
HLTH* 5,900 61
HMS Holdings* 6,755 222
Hologic* 23,684 310
Humana* 4,200 110
Idexx Laboratories* 6,200 214
Illumina* 20,640 769
Immucor* 23,100 581
InterMune* 2,500 41
Intuitive Surgical* 950 91
Inverness Medical Innovations* 18,654 497
Isis Pharmaceuticals* 3,900 58
Kendle International* 2,700 57
Kindred Healthcare* 1,527 23
Kinetic Concepts* 10,700 226
King Pharmaceuticals* 20,000 141
KV Pharmaceutical, Cl A* 5,600 9
Laboratory Corp of America Holdings* 6,500 380
Landauer 600 30
LHC Group* 3,744 83
Life Technologies* 22,179 720
LifePoint Hospitals* 13,475 281
Ligand Pharmaceuticals, Cl B* 17,205 51
Lincare Holdings* 7,200 157
Luminex* 600 11
Magellan Health Services* 13,393 488
Martek Biosciences 6,400 117
Masimo* 9,400 272
Maxygen* 5,400 37
Medicines* 900 10
Medicis Pharmaceutical, Cl A 21,800 270
Mednax* 6,643 196
Meridian Bioscience 6,400 116
Merit Medical Systems* 23,330 285
Millipore* 600 34
Molina Healthcare* 500 10
Momenta Pharmaceuticals* 20,285 223
Mylan Laboratories* 34,935 468
Myriad Genetics* 16,890 768
National Healthcare 300 12
Nektar Therapeutics* 9,000 48
Neogen* 400 9
Nighthawk Radiology Holdings* 3,900 11
Noven Pharmaceuticals* 4,200 40
NuVasive* 1,300 41
Obagi Medical Products* 1,600 9
Odyssey HealthCare* 1,000 10
Omnicell* 1,300 10
Onyx Pharmaceuticals* 2,100 60
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 65
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Orthofix International* 600 $ 11
OSI Pharmaceuticals* 5,318 203
Owens & Minor 2,685 89
Palomar Medical Technologies* 4,449 32
Par Pharmaceutical* 2,170 21
Parexel International* 38,300 373
Patterson* 12,100 228
PDL BioPharma 1,400 10
PerkinElmer 17,600 225
Perrigo 10,800 268
Pharmaceutical Product Development 7,700 183
PharMerica* 30,700 511
Providence Service* 2,800 19
PSS World Medical* 1,400 20
Regeneron Pharmaceuticals* 600 8
RehabCare Group* 700 12
Res-Care* 700 10
Resmed* 11,065 391
Rigel Pharmaceuticals* 1,300 8
Seattle Genetics* 2,600 26
Sepracor* 1,200 18
Sequenom* 600 8
Sirona Dental Systems* 30,419 436
Skilled Healthcare Group, Cl A* 1,100 9
Somanetics* 5,300 80
STERIS 1,700 40
Sun Healthcare Group* 26,900 227
Symmetry Medical* 29,526 186
Techne 4,000 219
Teva Pharmaceutical Industries ADR 188 8
Theravance* 2,300 39
Thermo Fisher Scientific* 1,600 57
Thoratec* 16,800 432
TomoTherapy* 3,600 9
TranS1* 1,500 9
United Therapeutics* 100 7
Universal American Financial* 1,100 9
Universal Health Services, Cl B 400 15
US Physical Therapy* 900 9
Valeant Pharmaceuticals
International* 4,500 80
Varian* 17,176 408
Varian Medical Systems* 7,600 231
VCA Antech* 1,400 32
Vertex Pharmaceuticals* 11,300 325
Viropharma* 12,700 67
Virtual Radiologic* 1,400 10
Vnus Medical Technologies* 2,800 60
Volcano* 21,290 310
Waters* 1,425 53
Watson Pharmaceuticals* 9,800 305
WellCare Health Plans* 800 9
XenoPort* 400 8
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Zoll Medical* 3,500 $ 50
Zymogenetics* 2,500 10
-------------
26,776
-------------
INDUSTRIALS -- 15.6%
AAON 1,500 27
Actuant, Cl A 27,357 283
Acuity Brands 6,234 141
Advisory Board* 3,100 51
Aecom Technology* 900 24
AGCO* 1,700 33
Aircastle 10,100 47
Airtran Holdings* 2,900 13
Alexander & Baldwin 2,539 48
Allegiant Travel* 6,560 298
Alliant Techsystems* 788 53
American Commercial Lines* 2,900 9
American Science & Engineering 400 22
American Superconductor* (A) 2,200 38
Ametek 6,450 202
Ampco-Pittsburgh 8,000 106
AMR* 4,000 13
AO Smith 9,200 232
Apogee Enterprises 16,300 179
Arkansas Best 9,300 177
Atlas Air Worldwide Holdings* 800 14
Axsys Technologies* 3,885 163
Baldor Electric 900 13
Barnes Group 1,100 12
BE Aerospace* 1,400 12
Beacon Roofing Supply* 25,150 337
Belden 1,000 13
Blount International* 3,175 15
Bowne 18,114 58
Briggs & Stratton 25,100 414
Brink's 36,385 963
Bucyrus International, Cl A 800 12
C.H. Robinson Worldwide 2,300 105
Calgon Carbon* 700 10
Carlisle 600 12
Ceradyne* 2,600 47
Chart Industries* 12,400 98
Clarcor 100 3
CNH Global 3,060 32
Columbus McKinnon* 3,949 34
Con-way 600 11
Copart* 600 18
Corporate Executive Board 700 10
Corrections Corp of America* 12,000 154
Courier 700 11
Crane 24,300 410
Cummins 9,500 242
Curtiss-Wright 900 25
66 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Danaos 12,400 $ 42
Delta Air Lines* 20,925 118
Deluxe 30,900 298
Dollar Thrifty Automotive Group* 6,300 7
Donaldson 600 16
Dover 6,400 169
Dun & Bradstreet 8,249 635
Dycom Industries* 8,300 48
EMCOR Group* 20,814 357
EnergySolutions 1,900 16
EnerNOC* 1,300 19
Ennis 3,400 30
EnPro Industries* 11,900 203
Equifax 10,017 245
ESCO Technologies* 10,910 422
Esterline Technologies* 12,300 248
Fastenal 6,148 198
Flowserve 1,100 62
Force Protection* 8,700 42
Forward Air 600 10
FTI Consulting* 7,600 376
G&K Services 600 11
Gardner Denver* 19,300 420
GATX 4,700 95
GenCorp* 9,825 21
General Cable* 700 14
Genesee & Wyoming, Cl A* 9,900 210
Geo Group* 5,088 67
GeoEye* 500 10
Goodrich 9,400 356
Gorman-Rupp 1,250 25
Graco 600 10
GrafTech International* 13,700 84
H&E Equipment Services* 3,675 24
Harsco 3,200 71
Heartland Express 600 9
HEICO CORP 7,055 172
Heidrick & Struggles International 700 12
Herman Miller 1,500 16
Hertz Global Holdings* 4,900 19
Hexcel* 1,400 9
HNI 1,400 15
HUB Group, Cl A* 9,500 161
Hubbell, Cl B 21,900 590
Huron Consulting Group* 6,630 281
ICT Group* 2,100 12
IDEX 8,500 186
IHS, Cl A* 14,100 581
Interline Brands* 1,300 11
International Shipholding 5,600 110
ITT 11,400 439
Jacobs Engineering Group* 4,049 157
JB Hunt Transport Services 17,800 429
JetBlue Airways* 2,300 8
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
John Bean Technologies 777 $ 8
Joy Global 1,800 38
Kaman 3,107 39
Kansas City Southern* 28,280 359
KBR 22,300 308
Kelly Services, Cl A 14,000 113
Kennametal 500 8
Kirby* 6,404 171
Ladish* 25,617 186
Landstar System 6,200 208
Layne Christensen* 700 11
Lennox International 4,800 127
Lincoln Electric Holdings 2,905 92
Lydall* 5,500 16
MasTec* 33,550 406
Middleby* 400 13
Mine Safety Appliances 5,400 108
Monster Worldwide* 1,600 13
Moog, Cl A* 2,300 53
MPS Group* 1,600 9
MSC Industrial Direct, Cl A 1,200 37
Mueller Industries 13,500 293
NACCO Industries, Cl A 400 11
Navigant Consulting* 20,023 262
Navistar International* 12,100 405
Nordson 300 9
Northwest Pipe* 6,100 174
Old Dominion Freight Line* 1,350 32
Orbital Sciences* 4,400 52
Oshkosh Truck 1,200 8
Otter Tail 400 9
Pall 21,000 429
Parker Hannifin 5,900 200
Park-Ohio Holdings* 2,900 9
Pentair 7,900 171
Quanex Building Products 1,200 9
Quanta Services* 36,236 777
Regal-Beloit 8,400 257
Republic Airways Holdings* 29,355 190
Republic Services 1,035 18
Resources Connection* 52,708 795
Robert Half International 1,400 25
Rollins 1,100 19
Roper Industries 2,800 119
RSC Holdings* 1,700 9
Ryder System 26,000 736
School Specialty* 700 12
Seaboard 89 90
Shaw Group* 1,100 30
Skywest 14,200 177
SPX 13,100 616
Standard Register 5,464 25
Steelcase, Cl A 47,800 239
Stericycle* 8,810 420
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 67
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
SYKES Enterprises* 54,337 $ 904
Taser International* 2,400 11
Tecumseh Products, Cl A* 30,800 139
Teledyne Technologies* 13,400 358
Teleflex 2,700 105
Tetra Tech* 14,400 293
Textron 28,900 166
Thomas & Betts* 6,700 168
Timken 8,700 121
Titan Machinery* 3,200 29
TransDigm Group* 9,255 304
UAL* 6,800 31
Ultralife* 2,500 19
United Rentals* 12,905 54
United Stationers* 6,821 192
Universal Forest Products 2,200 59
URS* 12,700 513
USG* 1,100 8
UTI Worldwide 13,200 158
Valmont Industries 200 10
Vicor 2,300 11
Wabtec 10,137 267
Walter Industries 3,600 82
Waste Connections* 13,134 338
Watsco 3,800 129
Watson Wyatt Worldwide, Cl A 17,413 860
WESCO International* 500 9
-------------
27,728
-------------
INFORMATION TECHNOLOGY -- 19.5%
3Com* 136,700 422
Activision Blizzard* 1,500 16
Advanced Analogic Technologies* 14,575 53
Advanced Energy Industries* 1,400 11
Advanced Micro Devices* 7,300 22
Advent Software* 500 17
Agilysys 2,800 12
Akamai Technologies* 11,106 216
Alliance Data Systems* (A) 15,755 582
Alliance Semiconductor 31,300 6
Amkor Technology* 29,900 80
Amphenol, Cl A 5,200 148
Anixter International* 3,800 120
Ansys* 9,900 248
Applied Micro Circuits* 46,725 227
Ariba* 2,700 24
ARM Holdings ADR 94,600 418
Arris Group* 62,800 463
Arrow Electronics* 1,900 36
Atheros Communications* 2,200 32
Atmel* 7,400 27
ATMI* 800 12
Autodesk* 1,000 17
Avnet* 10,000 175
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Benchmark Electronics* 19,000 $ 213
BigBand Networks* 2,000 13
Black Box 6,700 158
Blackbaud 1,000 12
Blackboard* 14,960 475
Blue Coat Systems* 1,100 13
BMC Software* 11,385 376
Brightpoint* 4,400 19
Broadridge Financial Solutions 27,800 517
Brocade Communications Systems* 143,900 497
Cadence Design Systems* 5,600 23
Checkpoint Systems* 6,577 59
Ciena* 1,200 9
Cirrus Logic* 9,587 36
Citrix Systems* 5,121 116
Cognex 19,000 254
Cognizant Technology Solutions, Cl A* 1,800 38
Cogo Group* 5,200 35
CommScope* 900 10
Computer Sciences* 9,800 361
Compuware* 1,600 10
Comtech Telecommunications* 300 8
Comverge* 2,600 18
Comverse Technology* 74,400 427
Concur Technologies* 10,200 196
Convergys* 19,100 154
Cree* 3,349 79
CSG Systems International* 10,734 153
CTS 52,888 191
Cybersource* 1,100 16
Cymer* 1,901 42
Cypress Semiconductor* 3,500 24
Daktronics 4,000 26
DealerTrack Holdings* 1,000 13
Deltek* 3,200 14
DG FastChannel* 800 15
Diebold 2,075 44
Digital River* 500 15
Diodes* 1,800 19
Dolby Laboratories, Cl A* 14,400 491
DST Systems* 3,100 107
Echelon* 900 7
EchoStar, Cl A* 800 12
Electronics for Imaging* 6,290 62
Emulex* 1,900 9
Equinix* 5,200 292
Euronet Worldwide* 1,400 18
F5 Networks* 20,380 427
Factset Research Systems (A) 10,685 534
Fair Isaac 29,500 415
Fidelity National Information Services 900 16
Flir Systems* 23,210 475
Formfactor* 800 14
Forrester Research* 900 19
68 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Gartner* 35,484 $ 391
Genpact* 1,200 11
Gevity HR 48,900 193
Global Payments 11,050 369
GSI Commerce* 62,575 820
Harmonic* 2,000 13
Harris 800 23
Heartland Payment Systems 12,735 84
Hewitt Associates, Cl A* 6,234 186
Hughes Communications* 1,200 15
IAC* 6,050 92
Ikanos Communications* 54,800 78
Informatica* 2,900 38
Ingram Micro, Cl A* 6,600 83
Integral Systems* 23,558 203
InterDigital* 1,300 34
Intermec* 3,801 39
International Rectifier* 1,600 22
Intersil, Cl A 30,500 351
Intuit* 4,100 111
Iron Mountain* 17,320 384
Itron* 600 28
Jabil Circuit 4,400 25
Jack Henry & Associates 2,200 36
JDS Uniphase* 2,700 9
Juniper Networks* 17,354 261
Keynote Systems* 33,300 264
Lam Research* 7,750 176
Lawson Software* 136,446 580
Lender Processing Services 3,850 118
Lexmark International, Cl A* 20,600 347
Limelight Networks* 3,000 10
Linear Technology 5,600 129
LoopNet* 1,700 10
Loral Space & Communications* 800 17
LSI Logic* 87,300 265
Macrovision Solutions* 524 9
Mantech International, Cl A* 900 38
MAXIMUS 4,200 167
Maxwell Technologies* 7,200 50
McAfee* 6,215 208
Measurement Specialties* 2,900 12
MEMC Electronic Materials* 21,525 355
Mentor Graphics* 2,400 11
Mercury Computer Systems* 37,400 207
Merrimac Industries* 6,100 13
Metavante Technologies* 800 16
Methode Electronics 46,156 165
Mettler Toledo International* 400 21
Micrel 10,900 77
Micros Systems* 800 15
Microsemi* 49,330 572
MicroStrategy, Cl A* 200 7
Microtune* 7,735 14
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
MKS Instruments* 7,600 $ 112
Molex 6,000 82
Monolithic Power Systems* 4,628 72
Move* 44,345 64
MSC.Software* 2,000 11
MTS Systems 2,019 46
National Semiconductor 2,900 30
NCR* 3,525 28
Net 1 UEPS Technologies* 800 12
Netgear* 2,000 24
NetSuite* 1,400 16
NeuStar, Cl A* 1,200 20
Neutral Tandem* 13,178 324
NIC 3,700 19
Novatel Wireless* 12,100 68
Novell* 16,400 70
Novellus Systems* 1,600 27
Nuance Communications* 1,500 16
Omniture* 75,779 1,000
Omnivision Technologies* 1,400 9
ON Semiconductor* 30,800 120
Open Text* (A) 16,385 564
Orckit Communications* 29,500 61
Palm* 1,700 15
Parametric Technology* 1,400 14
Perfect World ADR* 19,865 279
Plantronics 1,100 13
Plexus* 1,200 17
PMC - Sierra* 110,082 702
Polycom* 10,400 160
Power Integrations 500 9
QLogic* 34,865 388
Quest Software* 1,400 18
Rackable Systems* 2,400 10
Radisys* 4,300 26
Radware* 21,000 122
Rambus* 1,900 18
RealNetworks* 6,250 15
Red Hat* 2,400 43
Riverbed Technology* 1,000 13
Rofin-Sinar Technologies* 700 11
S1* 3,900 20
SAIC* 2,800 52
Salesforce.com* 14,490 474
Sapient* 50,704 227
SAVVIS* 1,900 12
Scansource* 3,300 61
Seachange International* 39,200 224
Semtech* 3,100 41
Sigma Designs* 900 11
Silicon Laboratories* 11,250 297
SkillSoft ADR* 168,462 1,127
Skyworks Solutions* 55,400 447
Sohu.com* 6,060 250
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 69
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Solera Holdings* 38,546 $ 955
SonicWALL* 2,600 12
Standard Microsystems* 1,200 22
Sun Microsystems* 39,900 292
Supertex* 900 21
Sybase* 16,600 503
Symyx Technologies* 4,703 21
Synaptics* (A) 26,892 720
SYNNEX* 1,918 38
Synopsys* 4,153 86
Syntel 1,400 29
Take-Two Interactive Software 14,700 123
Taleo, Cl A* 3,892 46
Tech Data* 3,300 72
Technitrol 19,700 34
Tekelec* 37,200 492
TeleCommunication Systems, Cl A* 38,975 357
TeleTech Holdings* 38,189 416
Tellabs* 7,100 33
Teradata* 11,700 190
Tessera Technologies* 900 12
TIBCO Software* 77,300 454
TiVo* 3,500 25
Total System Services 13,900 192
Trimble Navigation* 5,400 83
Ultimate Software Group* 600 10
Ultratech* 21,400 267
United Online 26,500 118
Utstarcom* 61,500 48
Valueclick* 1,800 15
Varian Semiconductor Equipment
Associates* 6,375 138
Veeco Instruments* 5,571 37
Verint Systems* 32,900 115
Viasat* 900 19
Virtusa* 1,600 10
Vishay Intertechnology* 46,900 163
VistaPrint* 25,148 691
Western Digital* 16,800 325
Wright Express* 19,499 355
Zebra Technologies, Cl A* 1,000 19
Zoran* 46,700 411
-------------
34,632
-------------
MATERIALS -- 4.4%
Airgas 19,870 672
AK Steel Holding 7,000 50
Albemarle 4,800 104
Allegheny Technologies 700 15
Alpha Natural Resources* 9,265 165
AM Castle 3,700 33
Aptargroup 2,200 69
Ashland 2,600 27
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Ball 3,200 $ 139
Cabot 5,169 54
Commercial Metals 4,800 55
Compass Minerals International 1,100 62
Crown Holdings* 41,800 950
Cytec Industries 19,000 285
Eagle Materials 600 15
Eastman Chemical 11,200 300
Ecolab 9,900 344
FMC 23,177 1,000
Greif, Cl A 2,033 68
H.B. Fuller 10,500 137
Huntsman 2,900 9
Innophos Holdings 2,300 26
Innospec 4,300 16
James River Coal* 16,400 202
Lubrizol 6,400 218
Martin Marietta Materials 200 16
MeadWestvaco 10,100 121
Mosaic 500 21
Nalco Holding 13,400 175
Neenah Paper 5,042 18
NewMarket 892 40
Olin 900 13
Owens-Illinois* 1,600 23
Packaging Corp of America 800 10
PolyOne* 37,100 86
Reliance Steel & Aluminum 7,200 190
Rock-Tenn, Cl A 1,700 46
Rockwood Holdings* 13,100 104
Royal Gold 900 42
RPM International 1,600 20
Schnitzer Steel Industries, Cl A 2,800 88
Schulman A 18,700 253
Schweitzer-Mauduit International 1,500 28
Scotts Miracle-Gro, Cl A 7,500 260
Sealed Air 700 10
Sensient Technologies 6,800 160
Sigma-Aldrich 800 30
Silgan Holdings 5,510 289
Sims Metal Management ADR 1,435 17
Steel Dynamics 6,300 56
Stillwater Mining* 9,300 34
Temple-Inland 2,300 12
Terra Industries 9,000 253
Texas Industries 500 12
Titanium Metals 6,000 33
United States Steel 1,400 30
Westlake Chemical 16,725 245
Worthington Industries 12,100 105
-------------
7,855
-------------
70 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
TELECOMMUNICATION SERVICES -- 1.8%
Alaska Communications Systems
Group 18,870 $ 126
American Tower, Cl A* 2,115 64
CenturyTel 9,600 270
Cincinnati Bell* 4,400 10
Consolidated Communications
Holdings 1,000 10
Embarq 11,700 443
General Communication, Cl A* 5,600 37
Global Crossing* 1,400 10
Iowa Telecommunications Services 4,315 50
Leap Wireless International* 700 24
NII Holdings* 35,400 531
NTELOS Holdings 24,225 440
PAETEC Holding* 6,400 9
Price Communication* 3,800 --
SBA Communications, Cl A* 41,525 968
tw telecom, Cl A* 13,390 117
-------------
3,109
-------------
UTILITIES -- 4.8%
AGL Resources 1,600 43
Allete 1,700 45
Alliant Energy 13,200 326
Black Hills 3,085 55
California Water Service Group 900 38
Centerpoint Energy 44,300 462
Central Vermont Public Service 600 10
CH Energy Group 1,800 85
Chesapeake Utilities 400 12
Cleco 1,200 26
CMS Energy 42,000 497
Connecticut Water Service 500 10
Consolidated Water 1,200 13
DPL 25,025 564
El Paso Electric* 2,000 28
Empire District Electric 7,331 106
Energen 9,100 265
Energy 2,100 20
Equities CORP 10,754 337
Great Plains Energy 1,600 22
Hawaiian Electric Industries 12,600 173
ITC Holdings 3,784 165
Laclede Group 2,575 100
MDU Resources Group 15,840 256
MGE Energy 700 22
Middlesex Water 900 13
Mirant* 19,400 221
National Fuel Gas 2,400 74
New Jersey Resources 750 26
NiSource 30,600 300
Northeast Utilities 13,100 283
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Northwest Natural Gas 400 $ 17
NorthWestern 27,225 585
NSTAR 200 6
Oneok 600 14
Ormat Technologies 8,700 239
Pepco Holdings 10,300 128
Piedmont Natural Gas 4,300 111
Pinnacle West Capital 12,000 319
PNM Resources 1,700 14
Portland General Electric 14,370 253
PPL 1,900 54
Questar 3,100 91
Reliant Energy* 11,038 35
SCANA 17,747 548
Sempra Energy 1,900 88
SJW 400 10
Southern Union 40,100 610
Southwest Water 2,600 11
TECO Energy 1,800 20
UGI 8,400 198
UIL Holdings 700 16
Westar Energy 10,200 179
WGL Holdings 600 20
Wisconsin Energy 10,200 422
-------------
8,585
-------------
Total Common Stock
(Cost $218,713) ($ Thousands) 172,574
-------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Washington Mutual
Expires 01/03/03* 121,400 2
-------------
Total Warrants
(Cost $29) ($ Thousands) 2
-------------
CASH EQUIVALENT -- 1.6%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 2,861,274 2,861
-------------
Total Cash Equivalent
(Cost $2,861) ($ Thousands) 2,861
-------------
AFFILIATED PARTNERSHIP -- 1.5%
SEI Liquidity Fund, L.P.,
0.810%**++ (B) 2,775,783 2,588
-------------
Total Affiliated Partnership
(Cost $2,776) ($ Thousands) 2,588
-------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 71
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Concluded)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
U.S. TREASURY OBLIGATION -- 0.6%
U.S. Treasury Bills
0.241%, 06/11/09 (C) (D) $ 1,100 $ 1,100
-------------
Total U.S. Treasury Obligation
(Cost $1,099) ($ Thousands) 1,100
-------------
Total Investments -- 100.9%
(Cost $225,478) ($ Thousands) $ 179,125
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 In the Notes to Financial Statements:
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
Russell 2000 Index E-MINI 32 Jun-2009 $101
S&P Mid 400 Index E-MINI 24 Jun-2009 85
----
$186
====
Percentages are based on Net Assets of $177,595 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ 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 March
31, 2009 (see Note 7). The total market value of securities on loan at
March 31, 2009 was $2,843 ($ Thousands).
(B) This security was purchased with cash collateral received from securities
lending. The total value of such securities as of March 31, 2009 was $2,588
($ Thousands).
(C) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(D) The rate reported is the effective yield at the time of purchase.
ADR -- American Depositary Receipt
Cl -- Class
L.P. -- Limited Partnership
Ser -- Series
The accompanying notes are an integral part of the financial statements.
72 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Financials 17.2%
Information Technology 14.5%
Industrials 12.5%
Health Care 12.1%
Consumer Discretionary 9.8%
Utilities 6.7%
Materials 5.4%
Cash Equivalent 4.5%
Mortgage-Backed Securities 4.3%
Energy 3.5%
Consumer Staples 3.1%
Telecommunication Services 1.6%
U.S. Treasury Obligations 1.5%
U.S. Government Agency Obligation 1.4%
Asset-Backed Securities 1.1%
Convertible Bonds 0.8%
Warrants 0.0%
# Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 87.0%
CONSUMER DISCRETIONARY -- 9.9%
Aaron Rents 3,850 $ 103
Abercrombie & Fitch, Cl A 2,492 59
Advance Auto Parts 2,524 104
Aeropostale* 450 12
American Eagle Outfitters 10,925 134
Ameristar Casinos 6,200 78
AnnTaylor Stores* 5,193 27
ATC Technology* 3,800 43
Autoliv 661 12
Bally Technologies* 1,482 27
Barnes & Noble 625 13
Bed Bath & Beyond* 1,130 28
Big Lots* 1,850 38
Blyth 1,900 50
Brown Shoe 9,259 35
Buckle 1,925 61
Callaway Golf 8,505 61
Career Education* 5,115 123
Carter's* 5,953 112
Cato, Cl A 14,008 256
CEC Entertainment* 8,505 220
Centex 3,000 23
Charlotte Russe Holding* 4,170 34
Chico's FAS* 13,480 72
Childrens Place Retail Stores* 1,408 31
Chipotle Mexican Grill, Cl A* 275 18
Christopher & Banks 6,975 29
Cinemark Holdings 6,494 61
CKE Restaurants 1,159 10
Collective Brands* 3,798 37
Cooper Tire & Rubber 2,235 9
Corinthian Colleges* 1,400 27
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Cracker Barrel Old Country Store 4,603 $ 132
CSS Industries 1,500 25
Deckers Outdoor* 190 10
DeVry 755 36
DineEquity 3,800 45
DISH Network, Cl A* 3,800 42
Dollar Tree* 4,247 189
DR Horton 14,375 139
DreamWorks Animation SKG, Cl A* 8,855 192
DSW, Cl A* 12,500 116
Eddie Bauer Holdings* 39,231 17
Entercom Communications 8,484 9
Family Dollar Stores 4,900 164
FGX International Holdings* 1,800 21
Foot Locker 19,228 202
Fossil* 1,030 16
Fred's, Cl A 775 9
Fuel Systems Solutions* 1,500 20
Genesco* 800 15
Gildan Activewear* 13,000 105
Gymboree* 3,600 77
H&R Block 2,729 50
Harman International Industries 1,523 21
Hasbro 1,199 30
hhgregg* 4,975 70
Hillenbrand 5,545 89
HOT Topic* 2,375 27
Iconix Brand Group* 2,450 22
Interpublic Group* 3,702 15
ITT Educational Services* 980 119
J Crew Group* 2,200 29
Jo-Ann Stores* 6,530 107
Jones Apparel Group 21,346 90
Limited Brands 4,463 39
M/I Homes 3,100 22
McGraw-Hill 1,921 44
MDC Holdings 1,029 32
National CineMedia 2,600 34
NetFlix* 3,590 154
Nutri/System 1,500 21
NVR* 177 76
OfficeMax 38,000 119
O'Reilly Automotive* 1,610 56
Penn National Gaming* 6,555 158
Phillips-Van Heusen 2,335 53
Polaris Industries 1,606 34
Pulte Homes 6,173 67
RadioShack 3,550 30
Regis 6,550 95
Rent-A-Center* 5,305 103
Retail Ventures* 38,000 58
Ross Stores 5,646 203
Royal Caribbean Cruises 6,080 49
Ryland Group 4,846 81
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 73
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Sauer-Danfoss 1,760 $ 4
Sherwin-Williams 751 39
Shutterfly* 12,200 114
Signet Jewelers 5,600 64
Sotheby's 1,780 16
Stage Stores 5,077 51
Stamps.com* 2,195 21
Standard-Pacific* 20,466 18
Stanley Works 1,305 38
Strayer Education 385 69
Systemax* 1,235 16
Tempur-Pedic International 4,300 31
Thunderbird Resorts PIPE* (A) (B) 1,700 3
Thunderbird Resorts PIPE* (A) (B) (F) 15,300 24
Tractor Supply* 4,929 178
Tween Brands* 868 2
Universal Electronics* 565 10
WABCO Holdings 1,642 20
Warnaco Group* 910 22
Warner Music Group 8,606 20
Williams-Sonoma 3,250 33
WMS Industries* 2,400 50
Wolverine World Wide 2,999 47
-------------
6,615
-------------
CONSUMER STAPLES -- 3.1%
Asiatic Development (Malaysia) 61,500 72
Avon Products 3,035 58
BJ's Wholesale Club* 202 7
Cal-Maine Foods 1,845 41
Casey's General Stores 1,675 45
Central Garden and Pet, Cl A* 7,130 54
China Sky One Medical* 3,062 35
Church & Dwight 3,851 201
Coca-Cola Enterprises 3,299 44
Constellation Brands, Cl A* 4,332 52
Cosan SA Industria e Comercio
(Brazil)* 21,200 89
Dean Foods* 13,642 247
Del Monte Foods 10,455 76
Energizer Holdings* 6 --
Flowers Foods 5,350 126
Fresh Del Monte Produce* 1,800 30
Hansen Natural* 1,320 48
J&J Snack Foods 1,182 41
Lance 4,050 84
Lorillard 2,577 159
NBTY* 8,524 120
Nu Skin Enterprises, Cl A 3,802 40
Pantry* 4,500 79
Pepsi Bottling Group 1,100 24
Prestige Brands Holdings* 8,328 43
Ralcorp Holdings* 1,359 73
Spartan Stores 1,892 29
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
TreeHouse Foods* 730 $ 21
Tyson Foods, Cl A 18 --
Universal 45 1
Viterra* 10,000 70
Weis Markets 1,897 59
Zhongpin* 3,200 28
-------------
2,096
-------------
ENERGY -- 3.5%
Approach Resources* 300 2
Atwood Oceanics* 4,000 66
BPZ Energy PIPE* 9,600 36
BPZ Resources* 25,000 92
Bristow Group* 730 16
Cameron International* 4,032 88
Carrizo Oil & Gas* 4,126 37
Cimarex Energy 8,760 161
Clayton Williams Energy* 500 15
Comstock Resources* 282 8
Continental Resources* 2,375 50
Delek US Holdings 7,755 80
Denbury Resources* 3,845 57
Dresser-Rand Group* 2,210 49
Encore Acquisition* 7,133 166
ENSCO International 2,584 68
EXCO Resources* 1,300 13
FMC Technologies* 2,267 71
Foundation Coal Holdings 985 14
Holly 2,800 59
Hornbeck Offshore Services* 3,841 59
Infinity Bio-Energy* 75,000 1
Mahalo Energy* 83,500 2
Matrix Service* 7,300 60
McMoRan Exploration* 2,300 11
Nordic American Tanker Shipping,
Cl US 1,050 31
Oceaneering International* 1,210 45
Oilsands Quest* 110,700 80
Oilsands Quest PIPE* 3,500 3
PetroHawk Energy* 1,345 26
Plains Exploration & Production* 5,330 92
Rentech* 38,000 21
SEACOR Holdings* 500 29
Stone Energy* 612 2
Sunoco 1,030 27
Superior Energy Services* 1,320 17
Swift Energy* 4,950 36
T-3 Energy Services, Cl 3* 4,816 57
Tesoro 800 11
Tidewater 1,350 50
Unit* 2,630 55
Uranium Participation (Canada)* 2,600 13
W&T Offshore 20,557 126
Westmoreland Coal* 1,100 8
74 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Whiting Petroleum* 4,515 $ 117
Willbros Group* 2,795 27
Williams 1,635 19
World Fuel Services 5,325 168
-------------
2,341
-------------
FINANCIALS -- 17.3%
Agree Realty+ 1,300 20
Alexander's+ 133 23
Alexandria Real Estate Equities+ 2,792 102
Allied World Assurance Holdings 2,400 91
AMBAC Financial Group 6,101 5
American Campus Communities+ 3,116 54
American Financial Group 15,754 253
AmeriCredit* 1,625 10
Ameriprise Financial 642 13
Amerisafe* 2,275 35
Amtrust Financial Services 3,200 31
Annaly Capital Management+ 929 13
Anthracite Capital+ 3,425 1
Anworth Mortgage Asset+ 65,707 403
AON 275 11
Arch Capital Group* 4,140 223
Aspen Insurance Holdings 6,910 155
Associated Banc-Corp 2,478 38
Astoria Financial 4,900 45
Axis Capital Holdings 4,100 92
Bancorpsouth 4,085 85
Bank Mutual 2,900 26
Bank of Hawaii 1,898 63
Bank of the Ozarks 3,100 72
BioMed Realty Trust+ 1,125 8
BlackRock 360 47
Brandywine Realty Trust+ 9,600 27
Brasil Brokers Participacoes* 99,400 48
Calamos Asset Management, Cl A 10,450 50
CapitalSource 1,082 1
Capitol Federal Financial 2,049 77
Capstead Mortgage+ 15,955 171
Care Investment Trust+ 1,400 8
Cash America International 3,962 62
Cedar Shopping Centers+ 3,200 6
Central Pacific Financial 10,697 60
Chemical Financial 4,000 83
Cincinnati Financial 875 20
CNA Surety* 4,580 84
Columbia Banking System 2,929 19
Community Bank System 1,991 33
Crawford, Cl B* 2,522 17
Cullen/Frost Bankers 4,123 194
CVB Financial 4,120 27
Delphi Financial Group, Cl A 5,605 75
Digital Realty Trust+ 4,708 156
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Dime Community Bancshares 1,254 $ 12
Discover Financial Services 3,765 24
Dollar Financial* 16,500 157
Eaton Vance 3,275 75
eHealth* 2,720 44
EMC Insurance Group 1,475 31
Employers Holdings 4,980 47
Endurance Specialty Holdings 2,037 51
Equity Lifestyle Properties+ 756 29
Equity One+ 2,125 26
FCStone Group* 4,595 10
Federal Realty Investment Trust+ 555 26
Federated Investors, Cl B 4,581 102
Fidelity National Financial, Cl A 5,998 117
Financial Federal 3,855 82
First Commonwealth Financial 7,383 65
First Financial Bancorp 4,112 39
First Horizon National 12,439 134
First Mercury Financial* 797 11
First Midwest Bancorp 7,086 61
First Niagara Financial Group 1,850 20
First Potomac Realty Trust+ 8,172 60
FirstMerit 5,624 102
Flagstone Reinsurance Holdings 2,300 18
Flushing Financial 730 4
FNB (Pennsylvania) 1,690 13
Forest City Enterprises, Cl A 4,300 15
Forestar Group* 8,460 65
Frontier Financial 1,449 2
General Shopping Brasil (Brazil)* 35,900 34
Getty Realty+ 3,200 59
GFI Group 3,200 10
Gluskin Sheff + Associates (Canada) 4,500 35
Grubb & Ellis 115,000 72
Hallmark Financial Services* 4,021 28
Hancock Holding 4,662 146
Hanover Insurance Group 6,800 196
Hatteras Financial+ 5,500 137
Health Care+ 4,474 137
Healthcare Realty Trust+ 1,695 25
Highbury Financial 10,100 21
Highwoods Properties+ 4,677 100
Home Bancshares 1,500 30
Hospitality Properties Trust+ 6,100 73
HRPT Properties Trust+ 17,385 55
Hudson City Bancorp 3,691 43
Huntington Bancshares 6,251 10
Infinity Property & Casualty 1,325 45
Inland Real Estate+ 4,075 29
Interactive Brokers Group, Cl A* 4,900 79
Investment Technology Group* 5,499 140
Investors Real Estate Trust+ 7,000 69
Kansas City Life Insurance 2,600 93
KBW* 2,321 47
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 75
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Kilroy Realty+ 2,816 $ 48
Kite Realty Group Trust+ 2,070 5
Knight Capital Group, Cl A* 16,300 240
LTC Properties+ 1,690 30
M&T Bank 918 42
Mack-Cali Realty+ 3,300 65
Meadowbrook Insurance Group 7,225 44
MFA Financial+ 54,541 321
MSCI, Cl A* 1,220 21
National Health Investors+ 1,177 32
National Penn Bancshares 6,196 51
National Retail Properties+ 4,648 74
Nationwide Health Properties+ 9,089 202
Navigators Group* 1,497 71
NBT Bancorp 800 17
Nelnet, Cl A 6,000 53
New York Community Bancorp 6,593 74
NewAlliance Bancshares 2,725 32
Northern Trust 300 18
NorthStar Realty Finance+ 6,295 15
NYSE Euronext 775 14
OceanFirst Financial 600 6
Odyssey Re Holdings 828 31
Old National Bancorp 1,635 18
Omega Healthcare Investors+ 5,610 79
One Liberty Properties+ 500 2
optionsXpress Holdings 3,189 36
PacWest Bancorp 2,048 29
Parkway Properties+ 1,700 18
Pennsylvania Real Estate Investment
Trust+ 2,500 9
Penson Worldwide* 11,951 77
People's United Financial 1,470 26
Platinum Underwriters Holdings 3,164 90
Plum Creek Timber+ 625 18
PMA Capital, Cl A* 200 1
ProAssurance* 275 13
Prosperity Bancshares 5,403 148
Protective Life 4,100 22
Provident Financial Services 8,749 95
PS Business Parks+ 1,996 74
RAIT Financial Trust+ 78 --
Raymond James Financial 5,323 105
Rayonier+ 4,706 142
Realty Income+ 7,222 136
Reinsurance Group of America, Cl A 1,099 36
RenaissanceRe Holdings 2,100 104
Republic Bancorp, Cl A 2,700 50
RLI 700 35
S&T Bancorp 1,885 40
Safety Insurance Group 708 22
Sanders Morris Harris Group 1,500 6
SeaBright Insurance Holdings* 1,450 15
Selective Insurance Group 3,175 39
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Senior Housing Properties Trust+ 6,155 $ 86
Southside Bancshares 935 18
Sovran Self Storage+ 1,500 30
St. Joe* 1,575 26
StanCorp Financial Group 3,497 80
State Auto Financial 500 9
Sun Communities+ 4,900 58
Sunstone Hotel Investors+ 6,955 18
Susquehanna Bancshares 1,485 14
SVB Financial Group* 1,944 39
SWS Group 3,970 62
TCF Financial 5,600 66
TD Ameritrade Holding* 4,200 58
Titanium Asset Management
PIPE* (A) (B) 15,400 77
Tompkins Financial, Cl US 900 39
Torchmark 1,974 52
Tower Group 1,850 46
TradeStation Group* 3,000 20
Transatlantic Holdings 4,003 143
Tree.com* 72 --
Trico Bancshares 1,200 20
Trustco Bank NY 17,505 105
Trustmark 2,800 51
UMB Financial 1,320 56
Umpqua Holdings 1,605 15
United Community Banks 4,829 20
Unitrin 1,675 23
Unum Group 3,837 48
Uranium Participation* 12,800 62
Valley National Bancorp 7,705 95
Value Creation* (A) (B) 9,600 29
Waddell & Reed Financial, Cl A 3,200 58
Washington Federal 8,420 112
Webster Financial 7,788 33
WesBanco 2,000 46
Westamerica Bancorporation 675 31
Whitney Holding 5,975 68
Wilmington Trust 1,210 12
World Acceptance* 14,138 242
WR Berkley 2,426 55
WSFS Financial 600 13
Zenith National Insurance 800 19
Zions Bancorporation 9,929 98
-------------
11,535
-------------
HEALTH CARE -- 12.1%
Adolor* 2,675 5
Affymax* 600 10
Albany Molecular Research* 2,025 19
Alexion Pharmaceuticals* 1,300 49
Align Technology* 2,020 16
Amedisys* 865 24
American Medical Systems Holdings* 10,199 114
76 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
AMERIGROUP* 4,399 $ 121
AmerisourceBergen 1,041 34
AMN Healthcare Services* 2,200 11
Amsurg* 14,090 223
Amylin Pharmaceuticals* 3,800 45
Analogic 415 13
Angiodynamics* 1,415 16
Arena Pharmaceuticals* 32,000 96
Assisted Living Concepts, Cl A* 328 4
Beckman Coulter 1,800 92
Biogen Idec* 1,525 80
Bio-Rad Laboratories, Cl A* 1,000 66
Bruker BioSciences* 3,300 20
Catalyst Health Solutions* 1,741 34
Centene* 8,800 159
Cephalon* 1,860 127
Charles River Laboratories
International* 1,890 51
Chemed 2,533 99
Computer Programs & Systems 1,957 65
Cooper 940 25
Corvel* 375 8
Covance* 2,510 89
CryoLife* 1,300 7
Cubist Pharmaceuticals* 5,508 90
CV Therapeutics* 3,100 62
Cyberonics* 3,345 44
Dentsply International 1,885 51
Eclipsys* 1,310 13
Edwards Lifesciences* 1,000 61
Emergency Medical Services, Cl A* 900 28
Endo Pharmaceuticals Holdings* 10,195 180
Enzo Biochem* 2,665 11
eResearchTechnology* 5,855 31
Forest Laboratories* 4,703 103
Gen-Probe* 4,956 226
Genzyme* 745 44
GTx* 2,800 30
Health Management Associates, Cl A* 6,446 17
Health Net* 4,715 68
Healthsouth* 2,306 20
Hill-Rom Holdings 6,270 62
Hologic* 3,606 47
ICU Medical* 800 26
Idexx Laboratories* 2,265 78
Illumina* 935 35
Immucor* 3,290 83
Immunomedics* 35,210 34
IMS Health 3,400 42
Incyte* 37,400 87
InterMune* 2,900 48
Intuitive Surgical* 360 34
inVentiv Health* 5,621 46
IRIS International* 3,851 44
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Isis Pharmaceuticals* 6,695 $ 100
Kendle International* 1,135 24
Kensey Nash* 1,703 36
Kindred Healthcare* 585 9
Kinetic Concepts* 2,700 57
King Pharmaceuticals* 34,182 242
Laboratory Corp of America Holdings* 2,785 163
LHC Group* 8,513 190
Life Technologies* 3,815 124
LifePoint Hospitals* 4,497 94
Lincare Holdings* 3,573 78
Magellan Health Services* 4,162 152
Martek Biosciences 7,345 134
Maxygen* 9,278 63
Medcath* 300 2
Medical Action Industries* 200 2
Medicines* 9,400 102
Medicis Pharmaceutical, Cl A 800 10
Mednax* 5,095 150
Meridian Bioscience 2,770 50
Merit Medical Systems* 1,020 12
Millipore* 100 6
Myriad Genetics* 900 41
Nighthawk Radiology Holdings* 1,675 4
Noven Pharmaceuticals* 1,425 13
NPS Pharmaceuticals* 8,974 38
Odyssey HealthCare* 7,900 77
Omnicare 4,500 110
OSI Pharmaceuticals* 3,440 132
Owens & Minor 650 22
Palomar Medical Technologies* 1,905 14
Par Pharmaceutical* 6,832 65
Parexel International* 1,110 11
PDL BioPharma 1,808 13
PerkinElmer 5,658 72
Perrigo 3,589 89
Pharmaceutical Product Development 5,677 135
Phase Forward* 2,072 26
Questcor Pharmaceuticals* 8,903 44
Quidel* 14,741 136
Regeneron Pharmaceuticals* 2,800 39
Res-Care* 9,872 144
Resmed* 5,060 179
Rigel Pharmaceuticals* 18,900 116
Sepracor* 7,410 109
Sirona Dental Systems* 2,400 34
Somanetics* 2,265 34
STERIS 2,900 67
Sun Healthcare Group* 4,080 34
Techne 1,995 109
Universal American Financial* 5,070 43
Universal Health Services, Cl B 3,225 124
Valeant Pharmaceuticals International* 835 15
Vertex Pharmaceuticals* 2,950 85
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 77
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Viropharma* 13,675 $ 72
Warner Chilcott, Cl A* 6,200 65
Waters* 3,190 118
Watson Pharmaceuticals* 13,013 405
Zoll Medical* 655 9
-------------
8,110
-------------
INDUSTRIALS -- 12.6%
AAON 3,100 56
Actuant, Cl A 2,365 24
Acuity Brands 2,272 51
Aecom Technology* 400 10
Aircastle 4,315 20
Alexander & Baldwin 1,040 20
Allen-Vanguard* 975,652 124
Alliant Techsystems* 648 43
Altra Holdings* 3,300 13
American Reprographics* 9,198 33
American Science & Engineering 175 10
Ameron International 2,933 154
AO Smith 2,775 70
Apogee Enterprises 900 10
Applied Industrial Technologies 6,000 101
Applied Signal Technology 1,100 22
Arkansas Best 875 17
Armstrong World Industries* 3,011 33
Avery Dennison 1,321 29
Avis Budget Group* 846 1
Barnes Group 6,800 73
BE Aerospace* 7,503 65
Belden 3,889 49
Blount International* 1,370 6
Brady, Cl A 2,631 46
Briggs & Stratton 8,750 144
C.H. Robinson Worldwide 1,045 48
Carlisle 5,500 108
CBIZ* 7,566 53
Ceradyne* 6,330 115
Chart Industries* 6,945 55
CIRCOR International 5,000 113
Columbus McKinnon* 1,690 15
Comfort Systems USA 1,100 11
Consolidated Graphics* 4,693 60
Continental Airlines, Cl B* 8,323 73
CRA International* 4,567 86
Crane 10,398 176
Cubic 5,500 139
Cummins 968 25
Delta Air Lines* 10,500 59
Dover 1,960 52
Duff & Phelps* 6,800 107
Dun & Bradstreet 3,405 262
Dycom Industries* 23,693 137
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
DynCorp International, Cl A* 8,456 $ 113
EMCOR Group* 19,093 328
Ennis 1,485 13
EnPro Industries* 4,200 72
Equifax 3,900 95
ESCO Technologies* 920 36
Fastenal 2,478 80
Federal Signal 5,600 29
Flowserve 1,178 66
Fluor 1,066 37
Force Protection* 20,475 98
G&K Services 2,330 44
Gardner Denver* 4,263 93
GATX 840 17
GenCorp* 4,175 9
Genesee & Wyoming, Cl A* 2,700 57
Geo Group* 2,180 29
GeoEye* 4,050 80
Gibraltar Industries 4,567 22
GrafTech International* 16,867 104
Granite Construction 1,471 55
H&E Equipment Services* 19,860 130
Harsco 3,700 82
Hawaiian Holdings* 6,817 25
Hexcel* 8,298 55
HNI 1,747 18
Hubbell, Cl B 1,914 52
Jacobs Engineering Group* 1,815 70
JB Hunt Transport Services 7,740 187
Joy Global 2,505 53
Kadant* 700 8
Kaman 1,345 17
Kansas City Southern* 5,460 69
KBR 900 12
Kennametal 2,370 38
Kirby* 6,800 181
Knoll 1,900 12
Ladish* 1,310 9
Lennox International 5,158 136
Lincoln Electric Holdings 2,610 83
Lydall* 2,370 7
M&F Worldwide* 4,711 55
Manitowoc 9,851 32
Manpower 2,356 74
Masco 3,445 24
MasTec* 9,500 115
Michael Baker* 2,100 55
Mine Safety Appliances 2,180 44
Mueller Industries 5,482 119
Mueller Water Products, Cl A 25,800 85
NACCO Industries, Cl A 1,000 27
Old Dominion Freight Line* 2,401 56
Orion Marine Group* 6,000 79
Pall 8,521 174
78 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Pike Electric* 1,600 $ 15
Pitney Bowes 2,422 57
Polypore International* 6,100 25
PowerSecure International* 200 1
PRG-Schultz International* 17,971 51
Regal-Beloit 1,240 38
Republic Airways Holdings* 12,065 78
Robbins & Myers 5,735 87
RR Donnelley & Sons 4,306 32
RSC Holdings* 25,700 135
Ryder System 4,671 132
Saia* 1,500 18
Shaw Group* 4,062 111
Skywest 5,899 73
Standard Register 5,700 26
Sterling Construction* 1,300 23
TAL International Group 12,200 89
Teleflex 282 11
Terex* 5,940 55
Textainer Group Holdings 16,500 111
Thomas & Betts* 2,600 65
Timken 3,052 43
Titan Machinery* 1,300 12
Toro 635 15
Trex * 5,200 40
Ultralife* 2,700 21
United Rentals* 8,536 36
United Stationers* 853 24
URS* 1,100 44
Wabtec 5,750 152
Walter Industries 800 18
Waste Connections* 2,165 56
Waste Services* 3,000 13
Werner Enterprises 4,995 76
WESCO International* 3,523 64
-------------
8,425
-------------
INFORMATION TECHNOLOGY -- 14.7%
3Com* 32,165 99
Acxiom 15,015 111
ADC Telecommunications* 23,463 103
Advanced Analogic Technologies* 4,755 17
Advanced Energy Industries* 8,330 63
Akamai Technologies* 8,345 162
Alliance Data Systems* 4,209 156
Ansys* 3,200 80
Applied Micro Circuits* 13,800 67
Ariba* 17,300 151
Arris Group* 30,916 228
Arrow Electronics* 10,966 209
Asyst Technologies* 44,337 12
Atmel* 14,934 54
Avnet* 6,987 122
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Avocent* 4,800 $ 58
Benchmark Electronics* 13,027 146
BigBand Networks* 3,300 22
Blackboard* 300 10
BMC Software* 2,177 72
Brightpoint* 14,493 62
Broadridge Financial Solutions 9,918 185
Brocade Communications Systems* 23,500 81
Brooks Automation* 4,044 19
Checkpoint Systems* 2,275 20
Ciber* 1,908 5
Cirrus Logic* 4,095 15
Citrix Systems* 1,780 40
Cognex 1,675 22
Cogo Group* 2,200 15
CommScope* 7,208 82
Computer Sciences* 1,800 66
Compuware* 8,567 57
Cree* 3,580 84
CSG Systems International* 12,911 184
CTS 4,675 17
Cymer* 535 12
Cypress Semiconductor* 6,677 45
Daktronics 1,750 12
Diebold 5,067 108
Diodes* 10,392 110
Dolby Laboratories, Cl A* 1,435 49
DSP Group* 25,761 111
DST Systems* 1,135 39
Earthlink* 5,500 36
EFJ* 36,500 27
Electronics for Imaging* 5,031 49
Emulex* 13,700 69
Entegris* 23,126 20
Fair Isaac 2,809 40
Fidelity National Information Services 1,824 33
Flir Systems* 2,940 60
Harris 1,000 29
Harris Stratex Networks, Cl A* 15,000 58
Heartland Payment Systems 5,505 36
Hewitt Associates, Cl A* 4,775 142
I2 Technologies* 3,400 27
IAC* 6,648 101
Imation 14,300 109
Ingram Micro, Cl A* 16,258 206
Integral Systems* 2,635 23
Integrated Device Technology* 45,650 208
InterDigital* 1,600 41
Intermec* 1,160 12
Intuit* 1,790 48
IXYS 6,022 49
j2 Global Communications* 2,100 46
Jabil Circuit 16,769 93
JDA Software Group* 15,200 176
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 79
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
JDS Uniphase* 12,322 $ 40
Juniper Networks* 1,420 21
Kenexa* 4,000 22
Knot* 15,600 128
Lam Research* 3,100 71
Lexmark International, Cl A* 2,990 51
Linear Technology 2,445 56
Lionbridge Technologies* 1,173 1
Liquidity Services* 1,900 13
LSI Logic* 8,004 24
MAXIMUS 3,718 148
MEMC Electronic Materials* 675 11
Metavante Technologies* 5,500 110
Methode Electronics 6,250 22
Mettler Toledo International* 1,793 92
Micrel 1,675 12
Microsemi* 3,435 40
MicroStrategy, Cl A* 1,458 50
Microtune* 3,285 6
MIPS Technologies* 17,169 50
MKS Instruments* 2,689 40
Monolithic Power Systems* 1,950 30
Move* 17,260 25
MTS Systems 875 20
Multi-Fineline Electronix* 4,700 79
National Semiconductor 1,225 13
NCR* 6,257 50
Net 1 UEPS Technologies* 2,600 40
NetApp* 4,704 70
Netgear* 8,675 105
Netscout Systems* 4,800 34
Neutral Tandem* 1,189 29
Novatel Wireless* 20,500 115
Novell* 7,328 31
OSI Systems* 6,250 95
Parametric Technology* 7,322 73
Park Electrochemical 6,000 104
Parkervision* 20,300 34
PC Connection* 4,817 18
Pegasystems 3,498 65
Plexus* 7,301 101
Polycom* 3,280 51
QLogic* 13,106 146
RealNetworks* 2,700 6
Rogers* 2,400 45
S1* 6,800 35
SAIC* 8,907 166
Scansource* 1,400 26
Seachange International* 12,500 72
Semtech* 6,693 89
Silicon Laboratories* 1,320 35
Skyworks Solutions* 8,900 72
Sohu.com* 3,325 137
SRA International, Cl A* 7,500 110
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Sybase* 8,506 $ 258
Symyx Technologies* 1,895 8
Synaptics* 1,684 45
SYNNEX* 3,959 78
Synopsys* 6,572 136
Take-Two Interactive Software 5,625 47
Taleo, Cl A* 1,638 19
Tech Data* 1,150 25
TeleCommunication Systems, Cl A* 5,100 47
Tellabs* 34,231 157
Teradata* 5,600 91
TIBCO Software* 14,182 83
Trimble Navigation* 1,700 26
TTM Technologies* 12,000 70
United Online 12,100 54
Valueclick* 4,800 41
Varian Semiconductor Equipment
Associates* 1,810 39
Veeco Instruments* 1,435 10
Vishay Intertechnology* 13,450 47
Western Digital* 4,244 82
Wind River Systems* 10,292 66
Zebra Technologies, Cl A* 5,500 105
-------------
9,783
-------------
MATERIALS -- 5.4%
Airgas 3,637 123
AK Steel Holding 3,000 21
Albemarle 4,087 89
Alpha Natural Resources* 3,799 67
AM Castle 1,575 14
AMCOL International 5,650 84
Aptargroup 3,700 115
Bemis 1,881 39
Bway Holding* 2,400 19
Cabot 1,840 19
Carpenter Technology 6,850 97
Celanese, Ser A 9,075 121
CF Industries Holdings 2,140 152
Cliffs Natural Resources 1,675 30
Commercial Metals 1,700 20
Crown Holdings* 5,500 125
FMC 3,700 160
Glatfelter 5,400 34
Greif, Cl A 3,030 101
H.B. Fuller 3,925 51
Huntsman 21,506 67
Innophos Holdings 11,782 133
Innospec 1,870 7
Intrepid Potash* 2,441 45
Myers Industries 7,140 44
Nalco Holding 10,150 133
Neenah Paper 1,065 4
80 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
NewMarket 450 $ 20
Owens-Illinois* 2,255 33
Pactiv* 5,200 76
Reliance Steel & Aluminum 2,813 74
Rock-Tenn, Cl A 4,000 108
Rockwood Holdings* 8,520 68
Schnitzer Steel Industries, Cl A 2,379 75
Schulman A 7,612 103
Scotts Miracle-Gro, Cl A 2,800 97
Sensient Technologies 1,950 46
ShengdaTech* 3,900 12
Silgan Holdings 3,201 168
Silvercorp Metals* 33,500 76
Solutia* 25,060 47
Sonoco Products 7,482 157
Steel Dynamics 12,533 110
Stillwater Mining* 2,900 11
Terra Industries 3,393 95
Titanium Metals 2,535 14
United States Steel 2,492 53
Universal Stainless & Alloy* 8,000 77
Valspar 2,652 53
Western Goldfields* 56,000 105
Worthington Industries 3,400 30
-------------
3,622
-------------
TELECOMMUNICATION SERVICES -- 1.6%
Alaska Communications Systems Group 8,135 55
Atlantic Telegraph-Network 1,968 38
CenturyTel 7,810 220
Cincinnati Bell* 26,674 61
Embarq 1,832 69
Global Crossing* 3,200 22
Iowa Telecommunications Services 1,825 21
NTELOS Holdings 4,985 90
Qwest Communications International 16,800 58
Sierra Wireless* 17,500 64
Syniverse Holdings* 9,846 155
tw telecom, Cl A* 4,605 40
US Cellular* 1,447 48
USA Mobility 5,700 53
Windstream 7,553 61
-------------
1,055
-------------
UTILITIES -- 6.8%
AES* 9,300 54
AGL Resources 5,944 158
Alliant Energy 3,188 79
Atmos Energy 3,831 89
Black Hills 1,015 18
Centerpoint Energy 9,600 100
Central Vermont Public Service 2,800 48
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Cia de Saneamento de Minas
Gerais-COPASA (Brazil) 10,800 $ 93
Cleco 6,294 137
DPL 4,635 105
DTE Energy 1,608 45
El Paso Electric* 3,767 53
Empire District Electric 3,100 45
Energen 8,873 259
Energy 9,179 86
Equities CORP 3,355 105
Hawaiian Electric Industries 5,475 75
Idacorp 5,136 120
Laclede Group 815 32
MDU Resources Group 4,796 77
New Jersey Resources 3,181 108
Northeast Utilities 8,486 183
Northwest Natural Gas 4,117 179
NorthWestern 6,700 144
NRG Energy* 500 9
OGE Energy 2,660 63
Piedmont Natural Gas 1,850 48
Pinnacle West Capital 2,397 64
PNM Resources 8,400 69
PNOC Energy Development
(Phillippines) 1,275,000 103
Portland General Electric 14,776 260
Reliant Energy* 4,700 15
SCANA 8,619 266
Southern Union 2,375 36
Southwest Gas 1,663 35
TECO Energy 2,278 25
UGI 14,716 347
UIL Holdings 2,300 51
Unisource Energy 4,200 118
Vectren 9,635 203
Westar Energy 8,231 144
Wisconsin Energy 6,581 271
-------------
4,519
-------------
Total Common Stock
(Cost $75,303) ($ Thousands) 58,101
-------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Oilsands Quest
Expires 12/08/09* 2,250 --
Rentech
Expires 04/25/12* (A) (B) 1,000 --
Titanium Asset Management
Expires 06/21/11* (B) 8,400 10
-------------
Total Warrants
(Cost $--) ($ Thousands) 10
-------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 81
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Concluded)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MORTGAGE-BACKED SECURITIES -- 4.3%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 3.4%
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
5.000%, 08/01/35 $ 715 $ 81
FNMA TBA
6.500%, 04/30/37 850 895
6.000%, 04/30/20 to 04/01/32 1,050 1,097
4.500%, 04/14/33 200 204
-------------
2,277
-------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 0.9%
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 4A1
3.756%, 06/25/45 (D) 62 28
Bear Stearns Alternative Loan Trust,
Ser 2004-12, Cl 2A2
5.220%, 01/25/35 (D) 125 66
Countrywide Home Loans,
Ser 2007-HYB2, Cl 3A1
5.390%, 02/25/47 (D) 82 35
Impac Secured Assets CMO Owners
Trust, Ser 2007-3, Cl A1A
0.632%, 09/25/37 (D) 319 177
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A
4.770%, 07/25/35 (D) 132 64
Morgan Stanley Mortgage Loan Trust,
Ser 2007-11AR, Cl 2A5
5.949%, 06/25/37 (D) 84 39
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2006-3, Cl 2A1
5.936%, 04/25/36 (D) 371 187
-------------
596
-------------
Total Mortgage-Backed Securities
(Cost $3,496) ($ Thousands) 2,873
-------------
ASSET-BACKED SECURITIES -- 1.1%
MORTGAGE RELATED SECURITIES -- 1.1%
GMAC Mortgage Loan Trust,
Ser 2007-HE1, Cl A2
5.621%, 08/25/37 (D) 216 94
Home Equity Mortgage Trust,
Ser 2007-2, Cl 2A1A
0.672%, 06/25/37 (D) 258 115
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1
0.642%, 02/25/38 (D) 215 184
Renaissance Home Equity Loan Trust,
Ser 2007-1, Cl AV1
0.652%, 04/25/37 (D) 202 160
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Residential Funding Mortgage Securities,
Ser 2007-HI1, Cl A1
0.652%, 03/25/37 (D) $ 159 $ 143
-------------
696
-------------
OTHER ASSET-BACKED SECURITIES -- 0.0%
Structured Asset Investment Loan Trust,
Ser 2003-BC4, Cl M2
3.522%, 06/25/33 (D) 43 22
-------------
22
-------------
Total Asset-Backed Securities
(Cost $1,092) ($ Thousands) 718
-------------
CONVERTIBLE BONDS -- 0.8%
Charming Shoppes CV to 65.0233
1.125%, 05/01/14 460 133
Human Genome Sciences CV to 64.3211
2.250%, 10/15/11 330 121
Hutchinson Technology CV to 33.5121
2.250%, 03/15/10 95 82
Incyte CV to 89.1385
3.500%, 02/15/11 47 25
NCI Building Systems CV to 24.9121
2.125%, 11/15/24 199 115
Nova BioSource CV to 273.2240
10.000%, 09/30/12 (E) (F) (G) 223 22
Rentech CV to 249.2522
4.000%, 04/15/13 119 23
Scorpio Mining PIPE
7.000%, 05/05/11 (A) (B) 52 29
-------------
550
-------------
Total Convertible Bonds
(Cost $854) ($ Thousands) 550
-------------
CORPORATE OBLIGATION -- 0.0%
FINANCIALS -- 0.0%
Discover Financial Services
6.450%, 06/12/17 10 7
-------------
Total Corporate Obligation
(Cost $10) ($ Thousands) 7
-------------
U.S. GOVERNMENT AGENCY OBLIGATION -- 1.4%
FNMA
1.359%, 05/06/09 (H) 950 950
-------------
Total U.S. Government Agency Obligation
(Cost $949) ($ Thousands) 950
-------------
82 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CASH EQUIVALENT -- 4.6%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 3,053,745 $ 3,054
-------------
Total Cash Equivalent
(Cost $3,054) ($ Thousands) 3,054
-------------
U.S. TREASURY OBLIGATIONS -- 1.5%
U.S. Treasury Bills
0.271%, 05/28/09 (I) $ 250 250
0.180%, 06/25/09 (I) 400 399
0.285%, 06/11/09 (C) (I) 350 350
-------------
Total U.S. Treasury Obligations
(Cost $999) ($ Thousands) 999
-------------
Total Investments -- 100.7%
(Cost $85,757) ($ Thousands) $ 67,262
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER UNREALIZED
TYPE OF OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
Russell 2000 Index E-MINI 61 Jun-2009 $323
S&P Mid 400 Index E-MINI 56 Jun-2009 299
U.S. 10-Year Note 2 Jun-2009 5
U.S. 5-YearNote 2 Jun-2009 3
----
$630
====
Description
Percentages are based on Net Assets of $66,803 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ 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 March 31, 2009 was $162 ($ Thousands) and represented
0.24% of Net Assets.
(B) Securities considered illiquid and restricted. The total market value of
such securities as of March 31, 2009 was $172 ($ Thousands) and represented
0.26% of Net Assets.
(C) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2009.
(E) Security in default of interest payments.
(F) 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.
(G) Step Bond -- The rate reflected on the Schedule of Investments is the
effective yield as of March 31, 2009. The coupon on a step bond changes on
a specified date.
(H) Zero Coupon Security. The rate reported is the rate in effect as of March
31, 2009.
(I) The rate reported is the effective yield at the time of purchase.
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
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 83
SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund
March 31, 2009
SECTOR WEIGHTINGS#:
(BAR CHART)
Information Technology 14.7%
Affiliated Partnership 13.3%
Consumer Discretionary 12.6%
Financials 11.5%
Industrials 11.0%
Health Care 8.7%
Utilities 8.0%
Consumer Staples 6.5%
Energy 4.9%
Materials 4.8%
Telecommunication Services 2.0%
Short Term Investment 1.6%
U.S. Treasury Obligations 0.4%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 97.9%
CONSUMER DISCRETIONARY -- 14.6%
Advance Auto Parts 6,100 $ 251
Aeropostale* 2,700 72
Apollo Group, Cl A* 4,800 376
Autozone* (A) 2,100 342
Big Lots* (A) 12,500 260
Blyth 300 8
Boyd Gaming (A) 900 3
Brinker International 16,000 241
Cablevision Systems, Cl A 8,300 107
Career Education* 800 19
CBS, Cl B 30,700 118
Centex (A) 39,000 293
Coach* 11,500 192
Darden Restaurants 18,600 637
DIRECTV Group* 800 18
DISH Network, Cl A* 60,500 672
Dollar Tree* 8,000 357
DR Horton 14,500 141
Expedia* 25,100 228
Family Dollar Stores (A) 29,300 978
Foot Locker 4,300 45
Fortune Brands 9,700 238
GameStop, Cl A* 10,500 294
Gannett (A) 4,800 11
Gap 31,100 404
Garmin (A) 5,000 106
Genuine Parts 6,400 191
H&R Block 36,800 670
Harley-Davidson (A) 5,600 75
Hasbro 10,100 253
Hillenbrand 4,200 67
International Speedway, Cl A 3,700 82
Interval Leisure Group* 11,900 63
ITT Educational Services* 2,100 255
Jarden* (A) 15,100 191
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Kohl's* 1,000 $ 42
Leggett & Platt (A) 17,300 225
Lennar, Cl A (A) 7,500 56
Liberty Media - Entertainment, Cl A* 10,900 217
Limited Brands (A) 8,200 71
Liz Claiborne 1,800 4
Macy's 5,100 45
Mattel 2,000 23
MDC Holdings 2,100 65
Meredith (A) 3,900 65
Newell Rubbermaid 5,400 35
Panera Bread, Cl A* (A) 3,900 218
PetMed Express* 3,100 51
Polo Ralph Lauren 2,500 106
priceline.com* (A) 1,300 102
Pulte Homes (A) 35,200 385
RadioShack (A) 1,300 11
Ross Stores 14,800 531
Royal Caribbean Cruises 17,400 139
Signet Jewelers 27,200 311
Smith & Wesson Holding* 2,500 15
Stanley Works 2,900 84
Starbucks* 14,100 157
Titan International 400 2
TJX (A) 15,600 400
Tractor Supply* 3,500 126
TRW Automotive Holdings* 900 3
VF 300 17
WABCO Holdings 24,600 303
Washington Post, Cl B 100 36
Weight Watchers International 2,000 37
Wendy's, Cl A 4,900 25
Whirlpool (A) 2,700 80
Wyndham Worldwide 3,000 13
Yum! Brands 10,400 286
-------------
12,544
-------------
CONSUMER STAPLES -- 7.5%
Bunge (A) 13,900 787
Campbell Soup 4,000 109
Chiquita Brands International* (A) 5,200 34
Church & Dwight 600 32
Clorox (A) 5,500 283
Coca-Cola Enterprises 60,400 797
ConAgra Foods 19,900 336
Constellation Brands, Cl A* 26,200 312
Del Monte Foods 80,500 587
Dr Pepper Snapple Group* 12,000 203
Herbalife 8,700 130
HJ Heinz (A) 3,100 103
Hormel Foods 500 16
Lorillard 300 19
Molson Coors Brewing, Cl B 1,300 44
84 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Pantry* 2,900 $ 51
Pepsi Bottling Group 20,300 449
PepsiAmericas 24,000 414
Reynolds American 5,000 179
Safeway (A) 35,300 713
Sara Lee 33,300 269
SUPERVALU 41,100 587
Tyson Foods, Cl A 2,000 19
-------------
6,473
-------------
ENERGY -- 5.7%
Consol Energy 11,800 298
Diamond Offshore Drilling 6,700 421
Dresser-Rand Group* 14,500 321
El Paso 89,900 562
Encore Acquisition* 10,600 247
ENSCO International 20,000 528
Forest Oil* 700 9
Helmerich & Payne (A) 2,100 48
Murphy Oil 12,200 546
Newfield Exploration* 2,300 52
Noble 22,100 532
Overseas Shipholding Group (A) 2,000 46
Peabody Energy 7,000 175
Plains Exploration & Production* (A) 19,900 343
SEACOR Holdings* (A) 1,300 76
Southwestern Energy* 12,300 365
Sunoco (A) 3,900 103
Swift Energy* (A) 900 7
Tidewater 3,400 126
Valero Energy 4,200 75
-------------
4,880
-------------
FINANCIALS -- 13.3%
Aflac 3,700 72
Allied World Assurance Holdings 3,400 129
Allstate 4,900 94
American Equity Investment Life
Holding 4,900 20
American Financial Group 7,400 119
Ameriprise Financial 8,800 180
Annaly Capital Management+ 54,700 759
AON 2,800 114
Apartment Investment & Management,
Cl A+ (A) 16,800 92
Apollo Investment* (B) 11,300 39
Arch Capital Group* 11,000 592
Associated Banc-Corp (A) 3,100 48
Assurant 6,500 141
Astoria Financial (A) 43,200 397
Axis Capital Holdings 15,300 345
Bank of Hawaii 3,400 112
BB&T (A) 3,800 64
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
BOK Financial (A) 1,800 $ 62
Brandywine Realty Trust+ 67,400 192
CB Richard Ellis Group, Cl A* 4,500 18
Cincinnati Financial 4,600 105
CNA Financial (A) 11,100 102
Colonial Properties Trust+ 6,800 26
Comerica 3,700 68
Delphi Financial Group, Cl A 1,700 23
Developers Diversified Realty+ 2,800 6
Discover Financial Services 23,100 146
Duke Realty+ (A) 19,700 108
Endurance Specialty Holdings 2,400 60
Equity Residential+ 600 11
Everest Re Group 2,100 149
Federated Investors, Cl B (A) 13,000 289
First Horizon National 27,310 293
Forest City Enterprises, Cl A 2,600 10
Hercules Technology Growth Capital 678 4
Hospitality Properties Trust+ 24,400 293
Host Hotels & Resorts+ 28,800 113
Hudson City Bancorp 2,900 34
Invesco 300 4
Investment Technology Group* 17,700 452
Kimco Realty+ (A) 5,000 38
Lazard, Cl A 4,500 132
Liberty Property Trust+ (A) 15,100 286
Lincoln National (A) 9,900 66
Macerich+ (A) 1,500 9
Mack-Cali Realty+ (A) 27,100 537
MainSource Financial Group (A) 1,000 8
Marsh & McLennan 4,500 91
Marshall & Ilsley (A) 8,400 47
MBIA* (A) 4,400 20
New York Community Bancorp (A) 14,800 165
Northern Trust 11,400 682
Oriental Financial Group 2,700 13
Parkway Properties+ 1,200 12
PartnerRe 800 50
Pennsylvania Real Estate Investment
Trust+ (A) 2,500 9
People's United Financial 1,400 25
PNC Financial Services Group 3,100 91
Principal Financial Group 14,500 119
Progressive 5,000 67
Prologis+ (A) 20,600 134
Prospect Capital (A) 3,200 27
Protective Life 7,200 38
Public Storage+ 800 44
Ramco-Gershenson Properties+ 3,000 19
Regions Financial 13,600 58
RenaissanceRe Holdings 12,600 623
SL Green Realty+ (A) 8,200 89
SLM* (A) 8,500 42
StanCorp Financial Group 5,200 118
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 85
SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Sunstone Hotel Investors+ 3,400 $ 9
Susquehanna Bancshares 5,300 50
T. Rowe Price Group 1,400 41
TD Ameritrade Holding* (A) 14,100 195
Torchmark 3,800 100
Transatlantic Holdings 13,700 489
UDR+ 6,400 55
Unum Group 14,000 175
Valley National Bancorp (A) 39,395 488
Vornado Realty Trust+ 600 20
Webster Financial 1,900 8
Weingarten Realty Investors+ (A) 10,200 97
White Mountains Insurance Group 600 103
WR Berkley 3,100 70
XL Capital, Cl A 6,100 33
-------------
11,477
-------------
HEALTH CARE -- 10.1%
Allergan 7,100 339
American Medical Systems Holdings* 5,800 65
AmerisourceBergen 400 13
Beckman Coulter 3,900 199
Biogen Idec* 2,600 136
C.R. Bard 3,800 303
Cephalon* (A) 6,100 415
Cigna 17,200 302
Community Health Systems* 21,100 324
Coventry Health Care* 11,900 154
Endo Pharmaceuticals Holdings* 24,000 424
Express Scripts* 8,200 379
Forest Laboratories* 19,700 433
Gen-Probe* 5,100 232
Hill-Rom Holdings (A) 3,800 38
Hospira* (A) 9,400 290
Humana* 17,200 448
Idexx Laboratories* (A) 1,600 55
Illumina* 300 11
IMS Health (A) 12,400 155
Invacare 1,600 26
Kinetic Concepts* 21,800 460
King Pharmaceuticals* 6,300 45
Life Technologies* 200 7
Millipore* 300 17
Noven Pharmaceuticals* 2,100 20
Quest Diagnostics 5,500 261
Resmed* 9,200 325
Sepracor* 7,300 107
St. Jude Medical* 27,400 995
Synovis Life Technologies* 1,000 14
Techne 4,200 230
Universal Health Services, Cl B 3,800 146
Varian Medical Systems* 18,000 548
Vertex Pharmaceuticals* (A) 7,300 210
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Warner Chilcott, Cl A* (A) 47,100 $ 495
Watson Pharmaceuticals* 2,500 78
-------------
8,699
-------------
INDUSTRIALS -- 12.7%
AGCO* 7,400 145
Alexander & Baldwin (A) 9,700 185
Allegiant Travel* (A) 4,300 196
Alliant Techsystems* (A) 1,500 100
American Science & Engineering 900 50
Armstrong World Industries* (A) 5,900 65
Brink's 14,100 373
Colfax* 1,700 12
Columbus McKinnon* 800 7
Continental Airlines, Cl B* 4,800 42
Cooper Industries, Cl A 4,100 106
Cummins 7,500 191
Delta Air Lines* (A) 33,100 186
Deluxe 1,500 14
Dover 25,200 665
Eaton 800 29
EnPro Industries* 1,500 26
Equifax 14,400 352
Expeditors International of Washington 2,500 71
Flowserve 5,800 325
Fluor (A) 19,200 664
Gardner Denver* 18,200 396
Harsco 17,300 384
IHS, Cl A* 2,200 91
ITT 5,300 204
Jacobs Engineering Group* 6,600 255
John Bean Technologies 23,000 241
Joy Global 1,300 28
KBR 7,900 109
L-3 Communications Holdings 11,800 800
Manpower 2,100 66
Masco 5,100 36
McDermott International* 2,400 32
Norfolk Southern 1,200 41
Oshkosh Truck (A) 9,100 61
Pall 17,200 351
Parker Hannifin 5,750 195
Pitney Bowes 37,500 876
Precision Castparts 2,200 132
Raytheon 4,100 160
Republic Services 3,100 53
Robert Half International 600 11
Rockwell Automation 4,600 100
RR Donnelley & Sons 16,200 119
Ryder System 16,300 461
Shaw Group* 13,500 370
SPX 1,900 89
Stericycle* 5,700 272
86 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Thomas & Betts* 22,300 $ 558
Trinity Industries (A) 4,100 37
United Rentals* (A) 57,700 243
URS* 2,800 113
Watson Wyatt Worldwide, Cl A 1,000 49
WESCO International* (A) 10,400 188
-------------
10,925
-------------
INFORMATION TECHNOLOGY -- 17.0%
Accenture, Cl A 1,100 30
Affiliated Computer Services, Cl A* 12,600 603
Agilent Technologies* 6,700 103
Altera 9,000 158
Amdocs* 200 4
Analog Devices 14,200 274
Arrow Electronics* 24,900 475
Avnet* 30,200 529
BMC Software* 5,400 178
Broadcom, Cl A* 9,100 182
Broadridge Financial Solutions 34,400 640
CA (A) 38,400 676
CommScope* 8,000 91
Computer Sciences* 5,300 195
Compuware* 12,800 84
Convergys* 2,300 19
Dolby Laboratories, Cl A* 3,400 116
DST Systems* 1,000 35
F5 Networks* 4,000 84
Fidelity National Information Services 11,700 213
Fiserv* 15,500 565
Harris 23,900 691
Hewitt Associates, Cl A* 25,400 756
Ingram Micro, Cl A* 41,300 522
Integrated Device Technology* 95,500 435
Interactive Intelligence* 2,200 20
Intuit* (A) 28,500 769
Jabil Circuit 29,600 164
Juniper Networks* 11,400 172
Keynote Systems* 900 7
Lender Processing Services 9,200 282
Lexmark International, Cl A* 7,700 130
Linear Technology 6,500 149
LSI Logic* 9,700 30
McAfee* 8,500 285
MEMC Electronic Materials* 28,800 475
Metavante Technologies* 36,900 736
Mettler Toledo International* 800 41
Microchip Technology (A) 3,400 72
National Semiconductor (A) 5,400 55
NCR* 5,900 47
NetApp* 8,800 131
QLogic* (A) 18,600 207
Red Hat* 14,900 266
S1* 1,900 10
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
SAIC* 9,700 $ 181
Silicon Laboratories* (A) 12,200 322
Sohu.com* (A) 4,400 182
Symantec* 12,600 188
Synaptics* (A) 6,000 160
Synopsys* 31,100 645
VeriSign* 4,300 81
Western Digital* 36,100 698
Xerox 33,300 152
Xilinx (A) 15,000 287
-------------
14,602
-------------
MATERIALS -- 5.5%
Airgas 200 7
Allegheny Technologies 500 11
Ashland 17,100 177
CF Industries Holdings 2,300 164
Crown Holdings* 32,800 746
Eastman Chemical 5,500 147
FMC 7,200 311
MeadWestvaco 18,400 221
Nalco Holding (A) 35,600 465
Owens-Illinois* 32,400 468
Pactiv* 32,900 480
Rockwood Holdings* (A) 2,800 22
Scotts Miracle-Gro, Cl A 10,500 364
Sealed Air 6,700 92
Sonoco Products 28,000 587
Steel Dynamics 1,200 11
Temple-Inland 2,000 11
Terra Industries 17,600 494
-------------
4,778
-------------
TELECOMMUNICATION SERVICES -- 2.3%
American Tower, Cl A* 1,200 37
CenturyTel (A) 8,600 242
Embarq 2,800 106
Frontier Communications 26,400 189
MetroPCS Communications* (A) 6,200 106
NII Holdings* 21,000 315
Qwest Communications International (A) 21,700 74
Telephone & Data Systems 16,500 437
US Cellular* 7,800 260
Windstream 31,000 250
-------------
2,016
-------------
UTILITIES -- 9.2%
AES* 110,800 644
Ameren 8,300 192
American Electric Power 19,500 493
American Water Works 11,500 221
Atmos Energy 26,600 615
Calpine* 8,000 54
Centerpoint Energy 41,600 434
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 87
SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Concluded)
March 31, 2009
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CMS Energy (A) 14,400 $ 171
Consolidated Edison 1,800 71
DTE Energy 25,000 693
Edison International 10,900 314
Energen 1,600 47
Energy 2,800 26
Hawaiian Electric Industries 3,500 48
Integrys Energy Group 5,200 135
Mirant* (A) 17,700 202
National Fuel Gas 2,000 61
NiSource 20,600 202
NRG Energy* 23,000 405
NSTAR 13,300 424
Oneok 8,400 190
Pepco Holdings 41,600 519
PG&E 7,000 268
Pinnacle West Capital 5,200 138
PPL 5,800 166
Reliant Energy* 7,800 25
Sempra Energy 6,900 319
Southern Union 2,400 37
TECO Energy 10,500 117
UGI 25,000 590
Vectren 3,800 80
-------------
7,901
-------------
Total Common Stock
(Cost $111,965) ($ Thousands) 84,295
-------------
AFFILIATED PARTNERSHIP -- 15.3%
SEI Liquidity Fund, L.P.,
0.810%**++ (B) 13,597,109 13,213
-------------
Total Affiliated Partnership
(Cost $13,597) ($ Thousands) 13,213
-------------
CASH EQUIVALENT -- 1.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 1,574,975 1,575
-------------
Total Cash Equivalent
(Cost $1,575) ($ Thousands) 1,575
-------------
U.S. TREASURY OBLIGATION -- 0.5%
U.S. Treasury Bills
0.159%, 06/11/09 (C) (D) $ 425 425
-------------
Total U.S. Treasury Obligation
(Cost $425) ($ Thousands) 425
-------------
Total Investments -- 115.5%
(Cost $127,562) ($ Thousands) $ 99,508
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER UNREALIZED
TYPE OF OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
S&P Mid 400 Index E-MINI 39 Jun-2009 $122
=====
Percentages are based on Net Assets of $86,122 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ 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 March
31, 2009. The total market value of securities on loan at March 31, 2009
was $13,276 ($ Thousands).
(B) This security was purchased with cash collateral received from securities
lending. The total value of such securities as of March 31, 2009 was
$13,213 ($ Thousands).
(C) The rate reported is the rate in effect as of March 31, 2009.
(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.
88 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
U.S. Managed Volatility Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Health Care 21.6%
Utilities 13.9%
Consumer Staples 13.8%
Financials 12.4%
Consumer Discretionary 8.2%
Industrials 8.0%
Information Technology 7.7%
Materials 4.0%
Telecommunication Services 3.4%
Cash Equivalent 3.3%
Energy 3.3%
U.S. Treasury Obligations 0.4%
# Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 94.9%
CONSUMER DISCRETIONARY -- 8.1%
Aaron Rents 49,300 $ 1,314
Amazon.com* 5,002 367
Autoliv 67,000 1,244
Buckle 37,050 1,183
Burger King Holdings 53,800 1,235
Capella Education* 18,900 1,002
Carter's* 63,400 1,192
Choice Hotels International 48,100 1,242
DIRECTV Group* 75,400 1,719
DreamWorks Animation SKG, Cl A* 50,100 1,084
Eastman Kodak 271,300 1,031
Genuine Parts 37,800 1,129
Gildan Activewear* 117,500 952
H&R Block 6,048 110
Hillenbrand 58,437 935
International Speedway, Cl A 52,900 1,167
Matthews International, Cl A 29,400 847
Panera Bread, Cl A* 24,800 1,386
Shaw Communications, Cl B 96,300 1,459
Starwood Hotels & Resorts Worldwide 76,700 974
Strayer Education 8,916 1,604
Tupperware Brands 67,400 1,145
-------------
24,321
-------------
CONSUMER STAPLES -- 13.5%
Alberto-Culver 18,737 424
Altria Group 23,380 374
Brown-Forman, Cl B 72,135 2,801
Campbell Soup 156,153 4,272
Church & Dwight 27,100 1,415
General Mills 49,889 2,488
Green Mountain Coffee Roasters* 14,300 686
Hershey 40,100 1,394
Hormel Foods 144,956 4,597
Kellogg 46,802 1,714
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Kimberly-Clark 25,500 $ 1,176
Kroger 73,990 1,570
Lorillard 55,828 3,447
McCormick 83,219 2,461
PepsiCo 5,434 280
Philip Morris International 94,207 3,352
Reynolds American 95,500 3,423
Ruddick 45,000 1,010
SUPERVALU 26,600 380
SYSCO 155,524 3,546
-------------
40,810
-------------
ENERGY -- 3.3%
Chevron 8,200 551
CNX Gas* 54,334 1,288
Enbridge 31,400 904
Encore Acquisition* 43,300 1,008
Exxon Mobil 22,900 1,560
Imperial Oil 16,300 587
SEACOR Holdings* 33,175 1,935
Spectra Energy 68,900 974
TransCanada 44,300 1,048
-------------
9,855
-------------
FINANCIALS -- 12.3%
Arthur J. Gallagher 49,813 847
Associated Banc-Corp 87,700 1,354
Bancorpsouth 59,100 1,232
Bank of Hawaii 54,332 1,792
BOK Financial 47,480 1,640
Capitol Federal Financial 33,414 1,263
Cincinnati Financial 60,400 1,381
Commerce Bancshares 85,881 3,118
Cullen/Frost Bankers 60,000 2,816
Endurance Specialty Holdings 49,300 1,229
Federated Investors, Cl B 58,600 1,304
First Citizens BancShares, Cl A 10,692 1,409
Fulton Financial 122,900 815
Hancock Holding 29,200 913
IPC Holdings 26,400 714
Janus Capital Group 2,150 14
Northern Trust 24,348 1,457
Old National Bancorp 71,600 800
People's United Financial 184,186 3,310
Prosperity Bancshares 45,400 1,242
RenaissanceRe Holdings 30,400 1,503
TFS Financial 223,510 2,711
Transatlantic Holdings 7,771 277
Trustmark 60,200 1,107
UMB Financial 28,700 1,219
United Bankshares 14,400 248
Washington Federal 23,663 315
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 89
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Wesco Financial 1,930 $ 533
Whitney Holding 31,700 363
-------------
36,926
-------------
HEALTH CARE -- 21.3%
Abbott Laboratories 67,749 3,232
Abraxis Bioscience* 363 17
AmerisourceBergen 140,697 4,595
Amgen* 66,677 3,302
Baxter International 62,670 3,210
Beckman Coulter 21,300 1,087
Becton Dickinson 40,301 2,710
C.R. Bard 40,804 3,253
Cardinal Health 16,988 535
Celgene* 13,000 577
Edwards Lifesciences* 42,863 2,599
Eli Lilly 50,351 1,682
Endo Pharmaceuticals Holdings* 57,800 1,022
Genzyme* 72,735 4,320
Gilead Sciences* 72,392 3,353
Haemonetics* 16,600 914
Henry Schein* 53,868 2,155
Hill-Rom Holdings 54,806 542
HLTH* 18,218 189
Immucor* 54,100 1,361
Johnson & Johnson 20,515 1,079
Laboratory Corp of America Holdings* 31,444 1,839
LifePoint Hospitals* 53,600 1,118
McKesson 36,300 1,272
Medco Health Solutions* 3,187 132
Merck 139,007 3,718
NuVasive* 15,500 486
Owens & Minor 26,100 865
Patterson* 75,400 1,422
Perrigo 55,600 1,381
Pharmaceutical Product Development 47,817 1,134
Psychiatric Solutions* 22,200 349
STERIS 42,800 996
Techne 75,792 4,147
United Therapeutics* 19,100 1,263
Universal Health Services, Cl B 7,312 280
Warner Chilcott, Cl A* 7,436 78
Watson Pharmaceuticals* 65,487 2,037
-------------
64,251
-------------
INDUSTRIALS -- 7.8%
Alexander & Baldwin 40,000 761
Alliant Techsystems* 16,400 1,098
C.H. Robinson Worldwide 94,815 4,324
Copa Holdings, Cl A 2,000 58
FTI Consulting* 27,500 1,361
Gardner Denver* 59,100 1,285
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
General Cable* 40,500 $ 803
Granite Construction 31,600 1,184
Harsco 19,000 421
Hubbell, Cl B 16,300 439
JetBlue Airways* 82,800 302
KBR 85,800 1,185
Landstar System 37,900 1,269
Lennox International 41,900 1,109
Raytheon 64,627 2,517
Robert Half International 50,000 891
Rollins 60,500 1,038
Simpson Manufacturing 50,200 904
Stericycle* 45,109 2,153
Valmont Industries 9,800 492
-------------
23,594
-------------
INFORMATION TECHNOLOGY -- 7.6%
Accenture, Cl A 55,113 1,515
Adtran 71,500 1,159
Atmel* 115,572 420
Cree* 27,669 651
Diebold 23,500 502
F5 Networks* 21,900 459
Flir Systems* 32,600 668
Google, Cl A* 24 8
Hewitt Associates, Cl A* 22,400 667
IAC* 41,026 625
Ingram Micro, Cl A* 100,800 1,274
Lexmark International, Cl A* 47,400 800
Micros Systems* 46,900 879
National Instruments 14,470 270
NeuStar, Cl A* 68,000 1,139
Perot Systems, Cl A* 109,900 1,415
Silicon Laboratories* 50,800 1,341
Sohu.com* 8,900 368
Sybase* 46,000 1,393
Synopsys* 29,643 615
Tech Data* 111,090 2,419
Texas Instruments 182,809 3,018
WebMD Health, Cl A* 5,974 133
Zebra Technologies, Cl A* 61,400 1,168
-------------
22,906
-------------
MATERIALS -- 4.0%
Aptargroup 44,300 1,380
Bemis 18,500 388
Compass Minerals International 22,800 1,285
Eastman Chemical 16,300 437
Greif, Cl A 43,100 1,435
Newmont Mining 61,544 2,755
Packaging Corp of America 75,000 976
Pactiv* 54,400 794
90 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Reliance Steel & Aluminum 49,100 $ 1,293
Sensient Technologies 53,000 1,245
-------------
11,988
-------------
TELECOMMUNICATION SERVICES -- 3.3%
AT&T 64,800 1,633
BCE 21,900 436
Cellcom Israel 64,600 1,376
CenturyTel 55,300 1,555
MetroPCS Communications* 80,100 1,368
Rogers Communications, Cl B 38,600 881
Telephone & Data Systems 27,900 740
US Cellular* 8,635 288
Verizon Communications 57,400 1,733
-------------
10,010
-------------
UTILITIES -- 13.7%
AGL Resources 86,014 2,282
Alliant Energy 51,528 1,272
Ameren 39,200 909
Aqua America 115,018 2,300
Atmos Energy 148,032 3,422
Consolidated Edison 43,890 1,739
Constellation Energy Group 14,900 308
Dominion Resources 1,703 53
DPL 66,200 1,492
DTE Energy 39,000 1,080
Edison International 44,700 1,288
Energen 35,900 1,046
Hawaiian Electric Industries 131,361 1,805
Idacorp 42,700 997
Integrys Energy Group 45,100 1,174
Nicor 83,536 2,776
NiSource 112,600 1,104
Northeast Utilities 20,600 445
NSTAR 10,679 340
OGE Energy 136,468 3,251
Pepco Holdings 86,200 1,076
Progress Energy 30,140 1,093
SCANA 13,787 426
TECO Energy 105,800 1,180
UGI 73,759 1,741
Vectren 96,369 2,032
Westar Energy 47,700 836
WGL Holdings 35,300 1,158
Wisconsin Energy 67,055 2,761
-------------
41,386
-------------
Total Common Stock
(Cost $344,145) ($ Thousands) 286,047
-------------
Shares/Face
Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CASH EQUIVALENT -- 3.3%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**+ 9,931,794 $ 9,932
-------------
Total Cash Equivalent
(Cost $9,932) ($ Thousands) 9,932
-------------
U.S. TREASURY OBLIGATIONS -- 0.4%
U.S. Treasury Bills
0.258%, 06/11/09 (A) (B) $ 1,000 999
0.000%, 06/18/09 (A) (B) 100 100
-------------
Total U.S. Treasury Obligations
(Cost $1,099) ($ Thousands) 1,099
-------------
Total Investments -- 98.6%
(Cost $355,176) ($ Thousands) $ 297,078
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER UNREALIZED
TYPE OF OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
S&P 500 Index E-MINI 224 Jun-2009 $351
====
Percentages are based on Net Assets of $301,415 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(B) The rate reported is the effective yield at the time of purchase.
Cl -- Class
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 91
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Consumer Staples 21.8%
Health Care 13.1%
Utilities 11.9%
Consumer Discretionary 10.8%
Industrials 10.5%
Financials 10.1%
Telecommunication Services 6.2%
Cash Equivalent 5.9%
Energy 3.9%
Materials 2.9%
Information Technology 2.3%
U.S. Treasury Obligations 0.6%
# Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 91.6%
AUSTRALIA -- 3.9%
AGL Energy 14,793 $ 154
Amcor 362,472 1,121
Brambles 344,199 1,148
Commonwealth Bank of Australia 32,401 782
Foster's Group 204,763 720
Iluka Resources 76,385 214
Metcash 70,603 199
MFS* 17,170 12
Origin Energy 59,175 608
Tatts Group 523,324 1,007
Telstra 204,806 457
-------------
6,422
-------------
BELGIUM -- 3.0%
Belgacom 23,618 740
Cofinimmo+ 4,433 472
Colruyt 7,968 1,827
Intervest Offices+ 1,579 43
Mobistar 26,839 1,695
Tessenderlo Chemie 2,182 66
-------------
4,843
-------------
BERMUDA -- 0.3%
Catlin Group 10,724 48
Lancashire Holdings* 40,702 280
Macquarie International
Infrastructure Fund 415,000 79
Texwinca Holdings 248,000 128
-------------
535
-------------
CANADA -- 8.7%
Aastra Technologies* 9,400 141
Alimentation Couche Tard, Cl B 109,400 1,149
Bank of Montreal 20,000 524
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Barrick Gold 12,100 $ 392
Canadian National Railway 15,300 550
Canadian Utilities 8,500 248
Celestica* 15,500 55
CGI Group, Cl A* 47,200 382
Empire, Cl A 6,000 253
Enbridge 30,100 869
Fairfax Financial Holdings 3,300 855
Fortis 32,600 574
George Weston 18,600 865
Gildan Activewear* 32,000 261
Goldcorp 14,900 503
Jean Coutu Group PJC, Cl A 5,197 31
Kinross Gold 21,500 392
Laurentian Bank of Canada 14,000 296
Loblaw 11,100 277
Manitoba Telecom Services 18,000 457
Metro, Cl A 13,700 413
National Bank of Canada 22,700 726
Potash Corp of Saskatchewan 2,200 178
Provident Energy Trust 45,500 174
Ritchie Bros Auctioneers 9,900 187
RONA* 7,800 73
Royal Bank of Canada 17,700 518
Saputo 56,400 939
Shoppers Drug Mart 3,800 131
Superior Plus 2,200 16
TELUS 11,400 314
TELUS, Cl A 3,600 95
TMX Group 26,000 739
Toronto-Dominion Bank 15,700 542
Yamana Gold 22,800 213
-------------
14,332
-------------
CAYMAN ISLANDS -- 0.1%
Hutchison Telecommunications
International 319,000 99
Renhe Commercial Holdings* 128,000 29
-------------
128
-------------
DENMARK -- 1.3%
Coloplast, Cl B 8,736 537
Novo Nordisk, Cl B 34,140 1,634
-------------
2,171
-------------
FINLAND -- 0.4%
Componenta 2,696 14
Orion, Cl B 43,500 629
Tietoenator 3,475 36
-------------
679
-------------
92 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
FRANCE -- 1.2%
Cie Generale d'Optique Essilor
International 6,921 $ 267
France Telecom 39,773 906
Sanofi-Aventis 10,356 583
Societe BIC 5,191 255
-------------
2,011
-------------
GERMANY -- 1.5%
Beiersdorf 29,909 1,342
Deutsche Telekom 39,249 487
Fresenius Medical Care 12,552 488
Volkswagen 619 190
-------------
2,507
-------------
HONG KONG -- 3.4%
Cafe de Coral Holdings 38,000 75
Cheung Kong Infrastructure Holdings 177,000 708
CLP Holdings 215,000 1,477
Hong Kong & China Gas 299,000 471
HongKong Electric Holdings 213,000 1,265
Jardine Matheson Holdings 32,000 582
Link+ 345,500 683
NAM TAI Electronics 58,000 216
Yue Yuen Industrial Holdings 80,500 183
-------------
5,660
-------------
IRELAND -- 0.0%
Kerry Group, Cl A 2,259 46
-------------
ITALY -- 0.7%
Ansaldo STS 1,680 27
CSP International Fashion Group 10,228 9
Parmalat 195,027 402
Snam Rete Gas 115,907 622
-------------
1,060
-------------
JAPAN -- 27.6%
ABC-Mart 17,600 337
Able 3,000 20
Acom 23,620 665
Aeon Delight 3,100 39
Ajinomoto 55,000 387
Ajis 1,300 28
Alfresa Holdings 900 33
All Nippon Airways 124,000 484
Astellas Pharma 13,400 410
Awa Bank 4,000 24
Benesse 27,000 990
Canon Marketing Japan 3,300 46
Central Japan Railway 74 415
Chubu Electric Power 68,500 1,505
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Chugoku Bank 1,000 $ 13
Chugoku Electric Power 41,200 893
Circle K Sunkus 20,000 284
Combi 9,500 61
Dai Nippon Printing 43,000 391
Dainippon Sumitomo Pharma 37,000 306
Daisan Bank 10,000 30
Daito Trust Construction 14,300 478
East Japan Railway 8,900 462
Ezaki Glico 5,000 50
FamilyMart 28,800 875
Fast Retailing 5,500 622
Fuji Oil 10,900 117
FUJI SOFT 12,300 188
Fukuyama Transporting 6,000 22
Futaba 1,000 16
Haruyama Trading 2,000 7
Hisamitsu Pharmaceutical 22,800 702
Hitachi Information Systems 7,400 121
Hitachi Software Engineering 1,300 16
Hitachi Transport System 5,900 56
Hogy Medical 1,100 60
Hokkaido Electric Power 40,500 812
Hokkoku Bank 7,000 25
Hokuriku Electric Power 54,300 1,303
House Foods 1,700 24
IT Holdings 2,500 29
Ito En 31,800 388
Itoham Foods 33,000 94
Iyo Bank 45,000 453
Japan Airlines* 231,000 468
Jupiter Telecommunications 42 28
Kaken Pharmaceutical 4,000 34
Kameda Seika 1,200 16
Kamigumi 105,000 696
Kansai Electric Power 68,000 1,473
Kao 23,000 447
KDDI 85 397
Keihin Electric Express Railway 247,000 1,781
Kintetsu 419,000 1,739
Kissei Pharmaceutical 1,000 19
Kobayashi Pharmaceutical 4,800 158
Kokuyo 25,000 182
Kyorin 4,000 49
Kyushu Electric Power 59,300 1,327
Lawson 33,700 1,392
Lion 24,000 112
Mabuchi Motor 9,300 376
Maeda Road Construction 2,000 18
McDonald's Holdings Japan 9,600 164
Meiji Dairies 117,000 486
Meiji Seika Kaisha 14,000 49
Miraca Holdings 10,700 215
Morinaga Milk Industry 27,025 81
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 93
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Continued)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Namco Bandai Holdings 14,400 $ 143
Nankai Electric Railway 8,000 35
NET One Systems 308 405
NGK Insulators 31,000 472
Nichirei 152,000 537
Nippo 7,000 57
Nippon Meat Packers 59,000 612
Nippon Shinyaku 2,000 18
Nippon Telegraph & Telephone 14,500 548
Nisshin Seifun Group 6,000 64
Nitori 18,050 1,009
Noevir 2,500 21
NTT DoCoMo 387 524
Odakyu Electric Railway 200,000 1,547
Ogaki Kyoritsu Bank 5,000 23
Okumura 84,000 296
Ono Pharmaceutical 3,700 161
Oriental Land 3,700 235
Osaka Gas 35,000 109
Pigeon 1,300 32
Pilot 59 73
Point 880 40
Prima Meat Packers 24,000 30
Proto 1,000 20
QP 41,900 450
Rinnai 5,600 194
Sagami Railway 4,000 16
Saizeriya 27,100 276
Sankyo 17,800 770
Sawai Pharmaceutical 1,100 51
Seiko Epson 12,900 174
Seino Holdings 2,817 14
Shikoku Electric Power 58,000 1,547
Shimachu 15,100 253
Shinkin Central Bank 9 24
Taikisha 2,000 21
Taisho Pharmaceutical 4,000 74
Takeda Pharmaceutical 10,100 348
Tobu Railway 307,000 1,551
Toho 18,800 262
Toho Gas 86,000 394
Tohoku Electric Power 26,900 589
Tokyo Electric Power 22,400 558
Tokyo Gas 299,000 1,044
Tokyo Style 22,000 150
TonenGeneral Sekiyu 33,000 322
Unicharm 20,200 1,227
Wacoal Holdings 55,000 635
West Japan Railway 124 392
Yakult Honsha 14,500 257
Yamagata Bank 6,000 28
Yamato Holdings 15,000 141
Yamazaki Baking 68,000 727
-------------
45,488
-------------
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
LUXEMBOURG -- 0.0%
ArcelorMittal 1,700 $ 34
-------------
NETHERLANDS -- 0.3%
Unilever 22,541 444
-------------
NEW ZEALAND -- 0.1%
Fisher & Paykel Healthcare 84,812 153
-------------
SINGAPORE -- 0.9%
ComfortDelgro 202,000 181
Jardine Cycle & Carriage 25,000 195
MobileOne 40,000 39
Singapore Airlines 7,000 46
Singapore Press Holdings 156,000 260
Singapore Telecommunications 316,500 527
SMRT 58,000 58
StarHub 99,000 128
SunVic Chemical Holdings 108,000 9
-------------
1,443
-------------
SPAIN -- 0.2%
Telefonica 18,877 376
-------------
SWEDEN -- 1.1%
Hennes & Mauritz, Cl B 23,552 880
Swedish Match 58,067 836
-------------
1,716
-------------
SWITZERLAND -- 4.4%
Actelion* 8,189 374
Adecco 6,875 215
Basler Kantonalbank 272 28
Bell Holding 13 16
Berner Kantonalbank 189 40
Forbo Holding 58 9
Givaudan 130 67
Luzerner Kantonalbank 163 34
Nestle 16,391 555
Novartis 37,989 1,439
PSP Swiss Property 6,946 293
Roche Holding 4,091 562
SGS 238 250
Swiss Prime Site 557 25
Swisscom 6,071 1,707
Syngenta 5,416 1,093
Valiant Holding 3,171 559
-------------
7,266
-------------
UNITED KINGDOM -- 3.2%
AstraZeneca 15,144 532
Beazley Group 49,315 61
94 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
British American Tobacco 18,977 $ 439
Centrica 145,142 474
De La Rue 8,283 115
easyJet* 8,603 35
GlaxoSmithKline 51,341 800
Hammerson (United Kingdom)+ 9,685 35
HMV Group 166,684 310
Marks & Spencer Group 170,391 723
Reckitt Benckiser Group 12,390 465
Smith & Nephew 106,938 662
Vodafone Group 82,472 145
WH Smith 5,848 30
WM Morrison Supermarkets 109,621 401
-------------
5,227
-------------
UNITED STATES -- 29.3%
3Com* 61,800 191
99 Cents Only Stores* 500 5
Abbott Laboratories 30,900 1,474
Airtran Holdings* 45,400 206
Alberto-Culver 25,800 583
Altria Group 72,700 1,165
Amgen* 9,700 480
Apollo Group, Cl A* 7,300 572
Archer-Daniels-Midland 20,100 558
Associated Banc-Corp 23,000 355
Automatic Data Processing 12,500 439
Bancfirst 4,800 175
BigBand Networks* 29,800 195
Brookline Bancorp 4,300 41
Buckeye Partners 4,000 142
C.R. Bard 20,900 1,666
Campbell Soup 61,600 1,685
Cantel Medical* 5,200 67
Capitol Federal Financial 2,800 106
Carter's* 24,000 452
Casey's General Stores 17,300 461
Central Garden and Pet, Cl A* 4,600 35
Chubb 21,400 906
Church & Dwight 13,700 715
Clorox 9,200 474
Commerce Bancshares 11,615 421
Compass Minerals International 7,700 434
Consolidated Edison 12,000 475
Cullen/Frost Bankers 3,300 155
Diamond Foods 16,990 475
Dollar Tree* 13,000 579
El Paso Pipeline Partners 2,900 50
EPIQ Systems* 1,133 21
ESSA Bancorp 8,600 114
Exxon Mobil 21,200 1,444
Family Dollar Stores 46,300 1,545
First Financial Bankshares 7,100 342
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
First Horizon National 25,299 $ 272
First Niagara Financial Group 35,000 381
Flowers Foods 21,700 509
FTI Consulting* 2,500 124
General Mills 34,600 1,726
Gentiva Health Services* 3,200 49
Genzyme* 2,100 125
Hershey 44,600 1,550
Home Depot 26,100 615
HOT Topic* 47,394 530
HSN* 38,560 198
IBERIABANK 1,800 83
Illumina* 22,900 853
Integral Systems* 13,700 118
International Shipholding 22,500 443
Johnson & Johnson 10,200 537
Kellogg 12,600 462
Kimberly-Clark 17,400 802
Kinder Morgan Energy Partners 4,300 201
Kinder Morgan Management* 9,200 375
Kroger 26,800 569
Laboratory Corp of America Holdings* 3,100 181
LaBranche* 19,100 71
Laclede Group 10,495 409
Lancaster Colony 2,890 120
LHC Group* 13,600 303
Lincoln Educational Services* 4,900 90
Magellan Health Services* 13,300 485
Magellan Midstream Partners 14,700 432
Matrixx Initiatives* 3,000 49
Micron Technology* 136,000 552
New Jersey Resources 8,000 272
NuStar Energy 5,900 272
OpenTV, Cl A* 22,560 34
Owens & Minor 12,500 414
Pantry* 22,510 397
People's United Financial 55,400 996
Pfizer 32,100 437
Piedmont Natural Gas 15,600 404
Plains All American Pipeline 10,700 393
Procter & Gamble 8,200 386
Prosperity Bancshares 6,100 167
Quest Diagnostics 18,900 897
Range Resources 4,500 185
Raytheon 10,000 389
RehabCare Group* 10,480 183
Republic Airways Holdings* 50,900 330
Republic Bancorp, Cl A 3,148 59
Rollins 14,850 254
Southwestern Energy* 22,000 653
Standex International 7,600 70
Strayer Education 2,500 449
Sturm Ruger* 6,400 79
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 95
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Concluded)
March 31, 2009
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Suburban Propane Partners 1,600 $ 58
Sunoco Logistics Partners (A) 2,400 124
SureWest Communications 7,002 55
Synthes 7,664 855
TEPPCO Partners 4,100 93
TFS Financial 110,900 1,345
TJX 55,300 1,418
Tompkins Financial, Cl US 2,700 116
Tractor Supply* 7,753 280
Verizon Communications 10,800 326
Vertex Pharmaceuticals* 9,300 267
Wal-Mart Stores 35,400 1,844
Werner Enterprises 700 11
Westamerica Bancorporation 10,700 487
WR Berkley 10,700 241
Wyeth 14,700 633
-------------
48,290
-------------
Total Common Stock
(Cost $169,599) ($ Thousands) 150,831
-------------
CASH EQUIVALENT -- 5.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 9,487,870 9,488
-------------
Total Cash Equivalent
(Cost $9,488) ($ Thousands) 9,488
-------------
U.S. TREASURY OBLIGATION -- 0.5%
U.S. Treasury Bills
0.211%, 06/11/09 (A) (B) $ 890 890
-------------
Total U.S. Treasury Obligation
(Cost $890) ($ Thousands) 890
-------------
Total Investments -- 97.9%
(Cost $179,977) ($ Thousands) $ 161,209
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG DATE ($ THOUSANDS)
- -------- --------- ---------- --------------
DJ Euro Stoxx 50 Index 55 Jun-2009 $ 22
FTSE 100 Index 20 Jun-2009 15
Hang Seng Index 1 Apr-2009 (4)
S&P Composite Index 19 Jun-2009 195
SPI 200 Index 5 Jun-2009 6
----
$234
====
A summary of the outstanding forward foreign currency contracts held by the Fund
at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
CURRENCY CURRENCY APPRECIATION
SETTLEMENT TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- ---------- ------------- ------------- --------------
4/28/09 AUD 14,230 USD 9,910 $ 46
4/28/09 CAD 14,073 USD 11,405 217
4/28/09 EUR 19,276 USD 26,120 532
4/28/09 GBP 5,290 USD 7,669 87
4/28/09 JPY 5,918,770 USD 60,107 148
4/28/09 USD 14 CAD 18 --
4/28/09 USD 1,604 EUR 1,208 --
4/28/09 USD 786 GBP 548 --
4/28/09 USD 14,354 JPY 1,414,401 (26)
------
$1,004
======
Percentages are based on Net Assets of $164,604 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ Real Estate Investment Trust.
++ Investment in Affiliated Investment(see Note 3).
(A) Security, or portion thereof has been pledged as collateral on open futures
contracts.
(B) The rate reported is the effective yield at the time of purchase.
AUD -- Australian Dollar
CAD -- Canadian Dollar
Cl -- Class
EUR -- Euro
GBP -- British Pound Sterling
JPY -- Japanese Yen
USD -- United States Dollar
Amounts designated as "--" are $0 or rounded to 0.
The accompanying notes are an integral part of the financial statements.
96 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Tax-Managed Managed Volatility Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Consumer Staples 20.8%
Health Care 16.1%
Utilities 12.4%
Financials 11.0%
Industrials 8.8%
Information Technology 7.7%
Consumer Discretionary 6.8%
Cash Equivalent 4.4%
Materials 4.4%
Telecommunication Services 3.8%
Energy 3.2%
U.S. Treasury Obligations 0.6%
Asset-Backed Securities 0.0%
# Percentages based on total investments.
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 94.8%
CONSUMER DISCRETIONARY -- 6.8%
Aaron Rents 17,300 $ 461
Autoliv 27,500 511
Buckle 9,150 292
Burger King Holdings 19,100 438
Capella Education* 7,900 418
Carter's* 27,700 521
Choice Hotels International 18,600 480
DIRECTV Group* 29,200 665
DreamWorks Animation SKG, Cl A* 22,900 496
Eastman Kodak 113,500 431
Genuine Parts 17,800 532
Gildan Activewear* 45,500 369
Hillenbrand 21,596 346
International Speedway, Cl A 16,800 371
ITT Educational Services* 2,100 255
J.C. Penney 4,100 82
Matthews International, Cl A 12,600 363
Panera Bread, Cl A* 10,000 559
Shaw Communications, Cl B 23,700 359
Starwood Hotels & Resorts Worldwide 45,000 572
Strayer Education 900 162
Tupperware Brands 21,500 365
Washington Post, Cl B 800 286
-------------
9,334
-------------
CONSUMER STAPLES -- 20.8%
Altria Group 105,423 1,689
Brown-Forman, Cl B 14,981 582
Campbell Soup 32,215 881
Church & Dwight 41,675 2,177
Clorox 16,566 853
Coca-Cola 14,220 625
Colgate-Palmolive 28,292 1,668
General Mills 41,624 2,076
Green Mountain Coffee Roasters* 5,600 269
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Hershey 27,595 $ 959
HJ Heinz 14,439 477
Hormel Foods 54,345 1,723
JM Smucker 25,748 960
Kellogg 52,811 1,935
Kimberly-Clark 33,704 1,554
Kroger 21,510 456
Lorillard 28,966 1,789
McCormick 41,828 1,237
PepsiCo 21,261 1,094
Philip Morris International 32,526 1,157
Procter & Gamble 18,575 875
Reynolds American 33,350 1,195
Ruddick 21,900 492
SUPERVALU 15,000 214
Wal-Mart Stores 29,525 1,538
-------------
28,475
-------------
ENERGY -- 3.2%
Chevron 7,000 471
Cimarex Energy 18,100 333
CNX Gas* 20,000 474
Enbridge 18,300 527
Encore Acquisition* 22,900 533
Exxon Mobil 8,800 599
Imperial Oil 9,300 335
SEACOR Holdings* 8,700 507
Spectra Energy 27,300 386
TransCanada 7,100 168
-------------
4,333
-------------
FINANCIALS -- 11.0%
Associated Banc-Corp 36,800 568
Bancorpsouth 27,200 567
Capitol Federal Financial 47,712 1,804
Cincinnati Financial 23,400 535
Commerce Bancshares 32,478 1,179
Endurance Specialty Holdings 21,000 524
Erie Indemnity, Cl A 7,300 249
Federated Investors, Cl B 28,300 630
Fulton Financial 73,900 490
Hancock Holding 15,200 475
IPC Holdings 7,900 214
Old National Bancorp 18,800 210
People's United Financial 95,404 1,714
Platinum Underwriters Holdings 8,200 233
Prosperity Bancshares 17,500 479
Regions Financial 17,200 73
RenaissanceRe Holdings 13,100 648
TFS Financial 177,399 2,152
Trustmark 22,500 413
UMB Financial 13,500 574
United Bankshares 6,600 114
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 97
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund (Concluded)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Wesco Financial 4,443 $ 1,226
Whitney Holding 2,200 25
-------------
15,096
-------------
HEALTH CARE -- 16.0%
Abbott Laboratories 27,126 1,294
AmerisourceBergen 44,805 1,463
Beckman Coulter 9,100 464
Becton Dickinson 9,852 662
C.R. Bard 12,161 970
Celgene* 2,800 124
Dentsply International 31,798 854
Edwards Lifesciences* 14,528 881
Eli Lilly 10,098 337
Endo Pharmaceuticals Holdings* 16,600 294
Genzyme* 9,000 535
Haemonetics* 8,200 452
Henry Schein* 23,887 956
Idexx Laboratories* 23,188 802
Immucor* 23,100 581
Johnson & Johnson 33,258 1,749
Laboratory Corp of America Holdings* 20,684 1,210
LifePoint Hospitals* 20,400 425
Lincare Holdings* 39,740 866
McKesson 17,200 603
Medtronic 21,004 619
Merck 9,200 246
NuVasive* 9,000 282
Onyx Pharmaceuticals* 6,200 177
Owens & Minor 12,000 398
Patterson* 28,700 541
Perrigo 23,300 579
Psychiatric Solutions* 17,200 271
Quest Diagnostics 9,273 440
STERIS 19,800 461
Techne 30,311 1,658
United Therapeutics* 6,300 416
Wyeth 7,431 320
-------------
21,930
-------------
INDUSTRIALS -- 8.8%
Alexander & Baldwin 8,500 162
Alliant Techsystems* 8,600 576
C.H. Robinson Worldwide 13,100 597
Curtiss-Wright 3,900 109
Dun & Bradstreet 18,184 1,400
FTI Consulting* 10,800 534
Gardner Denver* 24,900 541
General Cable* 9,300 184
Granite Construction 12,900 484
Harsco 13,300 295
KBR 39,700 548
Landstar System 16,500 552
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Lennox International 18,600 $ 492
Nordson 4,100 117
Northrop Grumman 16,503 720
Pitney Bowes 33,907 792
Republic Services 18,785 322
Robert Half International 12,500 223
Rollins 29,800 511
Simpson Manufacturing 18,400 332
Southwest Airlines 80,824 512
Stericycle* 32,025 1,529
United Parcel Service, Cl B 9,827 484
-------------
12,016
-------------
INFORMATION TECHNOLOGY -- 7.6%
Adtran 31,300 507
Applied Materials 32,323 348
Citrix Systems* 8,600 194
Diebold 30,230 645
F5 Networks* 11,300 237
Flir Systems* 19,200 393
Google, Cl A* 730 254
Hewitt Associates, Cl A* 10,100 300
IAC* 58,359 889
Ingram Micro, Cl A* 41,500 525
Lexmark International, Cl A* 16,100 272
Linear Technology 11,255 259
Microchip Technology 36,777 779
Micros Systems* 21,800 409
National Instruments 13,263 247
NeuStar, Cl A* 30,800 516
Perot Systems, Cl A* 43,700 563
Silicon Laboratories* 21,100 557
Sybase* 19,800 600
Tech Data* 43,210 941
Xerox 33,200 151
Zebra Technologies, Cl A* 46,029 876
-------------
10,462
-------------
MATERIALS -- 4.4%
Aptargroup 15,400 479
Compass Minerals International 9,800 553
Eastman Chemical 16,100 431
Greif, Cl A 16,000 533
Newmont Mining 39,459 1,766
Packaging Corp of America 35,900 467
Pactiv* 42,400 619
Reliance Steel & Aluminum 24,800 653
Sensient Technologies 19,100 449
-------------
5,950
-------------
TELECOMMUNICATION SERVICES -- 3.8%
AT&T 30,400 766
BCE 10,900 217
98 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Cellcom Israel 25,000 $ 533
CenturyTel 30,168 848
Frontier Communications 92,396 664
MetroPCS Communications* 35,500 606
Rogers Communications, Cl B 21,700 495
Telephone & Data Systems 13,465 357
Verizon Communications 23,700 716
-------------
5,202
-------------
UTILITIES -- 12.4%
AGL Resources 19,400 515
Alliant Energy 23,300 575
Ameren 20,867 484
Atmos Energy 21,600 499
Consolidated Edison 19,974 791
Constellation Energy Group 7,400 153
DPL 13,900 313
DTE Energy 20,700 574
Edison International 17,700 510
Energen 10,500 306
Great Plains Energy 2,318 31
Hawaiian Electric Industries 38,703 532
Idacorp 21,600 505
Integrys Energy Group 20,000 521
NiSource 59,900 587
Northeast Utilities 9,600 207
Northwest Natural Gas 5,300 230
NSTAR 60,327 1,923
OGE Energy 53,830 1,282
Pepco Holdings 46,300 578
SCANA 34,636 1,070
South Jersey Industries 6,600 231
Southern 32,118 983
TECO Energy 42,300 472
Vectren 47,716 1,006
Westar Energy 25,200 442
WGL Holdings 15,500 508
Wisconsin 27,250 1,123
Energy
-------------
16,951
-------------
Total Common Stock
(Cost $146,810) ($ Thousands) 129,749
-------------
CASH EQUIVALENT -- 4.4%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**+ 6,051,736 6,052
-------------
Total Cash Equivalent
(Cost $6,052) ($ Thousands) 6,052
-------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
U.S. TREASURY OBLIGATIONS -- 0.6%
U.S. Treasury Bills
0.183%, 06/11/09 (A) (B) $ 560 $ 559
0.000%, 06/18/09 (A) (B) 200 200
-------------
Total U.S. Treasury Obligations
(Cost $760) ($ Thousands) 759
-------------
Total Investments -- 99.8%
(Cost $153,622) ($ Thousands) $ 136,560
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG DATE ($ THOUSANDS)
- -------- --------- ---------- -------------
S&P 500 Index E-MINI 90 Jun-2009 $101
====
Percentages are based on Net Assets of $136,803 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ Investment in Affiliated Security (see Note 3).
(A) The rate reported is the rate in effect as of March 31, 2009.
(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 / Semi-Annual Report / March 31, 2009 99
SCHEDULE OF INVESTMENTS (Unaudited)
Real Estate Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Financials 63.2%
Affiliated Partnership 29.3%
Cash Equivalent 4.7%
Consumer Discretionary 1.4%
Convertible Bonds 1.4%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
COMMON STOCK -- 90.7%
CONSUMER DISCRETIONARY -- 2.0%
Starwood Hotels & Resorts
Worldwide (A) 208,700 $ 2,650
-------------
FINANCIALS -- 88.7%
AMB Property+ (A) 480,100 6,913
Annaly Capital Management+ (A) 223,200 3,096
Apartment Investment & Management,
Cl A+ (A) 497,834 2,728
AvalonBay Communities+ (A) 129,498 6,094
Boston Properties+ (A) 225,383 7,895
Brookfield Asset Management, Cl A 148,700 2,049
Camden Property Trust+ (A) 86,200 1,860
Corporate Office Properties Trust+ (A) 110,800 2,751
Douglas Emmett+ (A) 589,699 4,358
Duke Realty+ (A) 135,400 745
Equity Residential+ 435,100 7,984
Essex Property Trust+ (A) 46,600 2,672
Extra Space Storage+ (A) 166,200 916
Federal Realty Investment Trust+ (A) 66,900 3,077
Forest City Enterprises, Cl A (A) 227,000 817
HCP+ (A) 212,600 3,795
Host Hotels & Resorts+ 804,644 3,154
Kimco Realty+ (A) 742,500 5,658
Liberty Property Trust+ (A) 81,800 1,549
Macerich+ (A) 163,600 1,024
Mitsubishi Estate 233,000 2,600
Post Properties+ (A) 217,000 2,200
Prologis+ (A) 144,600 940
PS Business Parks+ 19,505 719
Public Storage+ (A) 110,154 6,086
Regency Centers+ (A) 248,200 6,595
Saul Centers+ 35,000 804
Simon Property Group+ (A) 305,987 10,599
SL Green Realty+ (A) 134,500 1,453
Strategic Hotels & Resorts+ (A) 194,900 135
Taubman Centers+ (A) 54,850 935
Thomas Properties Group 30,338 36
Unibail (France)+ 13,306 1,884
Ventas+ (A) 186,300 4,212
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Verde Realty PIPE* (B) (D) 21,400 $ 343
Vornado Realty Trust+ (A) 277,261 9,216
-------------
117,892
-------------
Total Common Stock
(Cost $210,756) ($ Thousands) 120,542
-------------
CONVERTIBLE BONDS -- 2.0%
Boston Properties CV to 7.0430
2.875%, 02/15/37+ $ 739 576
Forest City Enterprises CV to 15.0631
3.625%, 10/15/11 1,130 638
Vornado Realty Trust CV to 6.1553
2.850%, 04/01/27+ (A) 1,945 1,459
-------------
2,673
-------------
Total Convertible Bonds
(Cost $2,466) ($ Thousands) 2,673
-------------
AFFILIATED PARTNERSHIP -- 41.2%
SEI Liquidity Fund, L.P.,
0.810%**++ (C) 56,385,015 54,690
-------------
Total Affiliated Partnership
(Cost $56,385) ($ Thousands) 54,690
-------------
CASH EQUIVALENT -- 6.5%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 8,684,090 8,684
-------------
Total Cash Equivalent
(Cost $8,684) ($ Thousands) 8,684
-------------
Total Investments -- 140.4%
(Cost $278,291) ($ Thousands) $ 186,589
=============
Percentages are based on Net Assets of $132,864 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ 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 March
31, 2009 (see Note 7). The total market value of securities on loan at
March 31, 2009 was $58,224 ($ 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 March 31, 2009 was $343 ($ Thousands) and represented
0.26% of Net Assets.
(C) This security was purchased with cash collateral received from securities
lending. The total value of such securities as of March 31, 2009 was
$54,690 ($ Thousands).
(D) Security considered illiquid and restricted. The total market value of such
securities as of March 31, 2009 was $343 ($ Thousands) and represented
0.26% of Net Assets.
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.
100 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Enhanced Income Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Mortgage-Backed Securities 26.6%
Loan Participations 19.1%
Asset-Backed Securities 14.7%
Corporate Obligations 11.3%
Cash Equivalent 10.1%
Repurchase Agreement 10.0%
Time Deposits 8.1%
Common Stock 0.1%
U.S. Treasury Obligation 0.0%
# Percentages based on total investments.
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MORTGAGE-BACKED SECURITIES -- 26.6%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 14.0%
FHLB
1.020%, 02/26/10 $ 3,000 $ 3,001
FHLMC
6.000%, 09/01/26 905 950
2.875%, 04/30/10 3,000 3,056
FHLMC CMO STRIPS, Ser 245,
Cl IO, IO
5.000%, 05/15/37 15 2
FHLMC TBA
4.500%, 04/01/19 2,500 2,572
FNMA
6.500%, 09/01/26 to 07/01/38 511 541
6.000%, 01/01/27 2,092 2,198
4.750%, 04/19/10 4,000 4,147
FNMA TBA
6.500%, 04/30/37 5,000 5,266
6.000%, 11/01/14 to 11/01/26 5,081 5,329
4.500%, 04/30/20 2,500 2,573
-------------
29,635
-------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 12.6%
American Tower Trust, Ser 2007-1A,
Cl D
5.957%, 04/15/37 (A) 1,250 1,006
Arkle Master Issuer PLC, Ser 2006-1A,
Cl 3M
1.428%, 02/17/52 (A) (B) 1,000 928
Banc of America Mortgage Securities,
Ser 2004-J, Cl 2A1
4.761%, 11/25/34 (B) 304 210
Banc of America Mortgage Securities,
Ser 2005-C, Cl 2A2
4.712%, 04/25/35 (B) 893 592
Banc of America Mortgage Securities,
Ser 2005-I, Cl 2A1
4.869%, 10/25/35 (B) 635 433
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Bayview Commercial Asset Trust,
Ser 2006-4A, Cl A2
0.744%, 12/25/36 (A) (B) $ 499 $ 280
Citigroup Commercial Mortgage Trust,
Ser 2006-FL2, Cl D
0.766%, 08/15/21 (A) (B) 400 233
Citigroup Commercial Mortgage Trust,
Ser 2007-FL3A, Cl J
1.506%, 04/15/22 (A) (B) 775 58
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A
4.432%, 09/25/34 (B) 180 113
Citigroup Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1
4.900%, 10/25/35 (B) 686 442
Commercial Mortgage Pass-Through
Certificates, Ser 2006-FL12, Cl A2
0.433%, 12/15/20 (A) (B) 972 685
Crown Castle Towers LLC, Ser 2006-1A,
Cl E
6.065%, 11/15/36 (A) 1,775 1,500
Crusade Global Trust, Ser 2007-1,
Cl A1
1.203%, 04/19/38 (B) 1,020 831
First Horizon Alternative Mortgage
Securities, Ser 2005-AA3, Cl 3A1
5.351%, 05/25/35 (B) 1,255 623
First Horizon Asset Securities,
Ser 2005-AR4, Cl 2A1
5.339%, 10/25/35 (B) 1,089 541
Granite Master Issuer PLC, Ser 2007-1,
Cl 1C1
0.845%, 12/20/54 (B) 410 21
Granite Master Issuer PLC, Ser 2007-2,
Cl 2C1
0.789%, 12/17/54 (B) 525 26
Greenwich Capital Commercial Funding,
Ser 2006-FL4A, Cl C
0.737%, 11/15/21 (A) (B) 810 379
GS Mortgage Securities II,
Ser 2007-EOP, Cl K
1.568%, 03/06/20 (A) (B) 380 237
Harborview Mortgage Loan Trust,
Ser 2005-14, Cl 3A1A
5.301%, 12/19/35 (B) 1,334 663
Impac CMB Trust, Ser 2005-1, Cl 1A1
0.734%, 04/25/35 (B) 383 145
Impac CMB Trust, Ser 2005-4, Cl 1M1
0.904%, 05/25/35 (B) 585 105
Interstar Millennium Trust, Ser 2002-1G,
Cl A2
1.601%, 07/07/34 (B) 81 74
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 101
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
JPMorgan Chase Commercial Mortgage
Securities, Ser 2006-FL2A, Cl J
0.983%, 11/15/18 (A) (B) $ 1,962 $ 703
JPMorgan Mortgage Trust,
Ser 2006-A6, Cl 4A1
5.251%, 10/25/36 (B) 1,051 784
JPMorgan Mortgage Trust,
Ser 2007-A3, Cl 1A1
5.436%, 05/25/37 (B) 1,909 989
Leek Finance PLC, Ser 2006-18A,
Cl A2B
1.655%, 09/21/38 (A) (B) 374 277
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 1A
4.613%, 12/25/34 (B) 357 175
Merrill Lynch Mortgage Investors,
Ser 2005-A2, Cl A2
4.485%, 02/25/35 (B) 1,523 1,040
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A
5.149%, 12/25/35 (B) 1,274 905
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1E
5.149%, 12/25/35 (B) 1,944 1,242
MLCC Mortgage Investors, Ser 2006-1,
Cl 2A1
5.379%, 02/25/36 (B) 1,027 632
Morgan Stanley Capital I,
Ser 2007-XLFA, Cl C
0.717%, 10/15/20 (A) (B) 1,025 372
MortgageIT Trust, Ser 2005-5, Cl A1
0.782%, 12/25/35 (B) 1,290 562
Permanent Master Issuer PLC,
Ser 2006-1, Cl 2C
1.494%, 07/15/42 (B) 700 626
Prudential Commercial Mortgage Trust,
Ser 2003-PWR1, Cl A1
3.669%, 02/11/36 675 660
Residential Funding Mortgage
Securities I, Ser 2006-SA1, Cl 1A1
5.676%, 02/25/36 (B) 554 337
Residential Funding Mortgage
Securities I, Ser 2007-SA2, Cl 2A2
5.664%, 04/25/37 (B) 944 488
Sequoia Mortgage Trust, Ser 2004-10,
Cl A2
0.790%, 11/20/34 (B) 257 148
Sequoia Mortgage Trust, Ser 2004-11,
Cl A1
0.770%, 12/20/34 (B) 205 119
Sequoia Mortgage Trust, Ser 2005-2,
Cl A1
0.690%, 03/20/35 (B) 115 64
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Sequoia Mortgage Trust, Ser 2007-1,
Cl 2A1
5.814%, 02/20/47 (B) $ 1,799 $ 1,021
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2004-AR5, Cl A6
3.828%, 06/25/34 (B) 1,200 1,196
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR3, Cl A2
4.638%, 03/25/35 (B) 1,181 750
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR2, Cl 1A1
5.295%, 03/25/37 (B) 682 384
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2003-J, Cl 2A4
4.451%, 10/25/33 (B) 29 29
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-BB, Cl A2
4.558%, 01/25/35 (B) 653 525
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-AR1, Cl 2A1
4.489%, 02/25/35 (B) 825 656
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-AR2, Cl 2A2
4.556%, 03/25/35 (B) 727 530
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR16, Cl A1
5.681%, 10/25/36 (B) 1,482 825
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR8, Cl 2A1
5.240%, 07/25/36 (B) 1,054 599
-------------
26,763
-------------
Total Mortgage-Backed Securities
(Cost $72,995) ($ Thousands) 56,398
-------------
LOAN PARTICIPATIONS -- 19.2%
Acument Global Technologies,
Term B Loan
4.720%, 08/11/13 1,952 878
Alpha Topco, 2nd Lien
5.311%, 06/30/14 1,000 226
Arclin US Holdings, 1st Lien
3.980%, 07/10/14 1,840 828
Bio Tech Research Labs, 1st Lien
2.520%, 03/17/14 978 509
CCS Medical
4.470%, 09/30/12 5,227 2,492
Clarke American, Term B Loan
3.398%, 06/30/14 1,970 1,174
102 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Delta Air Lines, 2nd Lien
3.758%, 04/30/14 $ 478 $ 213
Dollar General, Tranche B-2
3.268%, 07/07/14 3,000 2,572
DTN, 1st Lien, Tranche C
6.691%, 08/15/14 867 731
Euramax International, 1st Lien
8.750%, 06/29/12 1,428 296
Ferro
1.000%, 06/06/12 (C) 644 148
First Data Corporation, Tranche B-1
3.272%, 09/24/14 3,465 2,334
Fontainebleau Miami, Term B Loan
7.326%, 06/06/12 2,500 383
Ginn La Conduit Lender, 1st Lien,
Tranche A
8.545%, 06/08/11 631 72
Ginn La Conduit Lender, 1st Lien,
Tranche B
9.500%, 06/08/11 1,352 156
Green Valley Ranch Gaming, 2nd Lien
3.814%, 08/16/14 1,000 50
JHT Holding, 2nd Lien
12.500%, 12/21/12 35 18
Lake at Las Vegas
15.460%, 06/20/12 (F) 2,250 141
12.000%, 06/20/12 (F) 1,000 995
0.000%, 07/16/09 (F) 1,353 1,347
Lake at Las Vegas (Synthetic)
16.100%, 06/20/12 241 15
Land Investment Consortium, 1st Lien
4.518%, 05/09/11 896 403
Lifecare Holding
5.430%, 08/11/12 490 283
Manitowoc, Term B Loan
6.500%, 04/14/14 1,000 708
Metro PCS Wireless, Term B Loan
3.213%, 11/04/13 2,972 2,699
Monitor Oil, 2nd Lien
0.000%, 01/25/15 (C) 47 --
Mylan Laboratories, Term B Loan
4.245%, 10/02/14 975 903
Mylan Laboratories, Term B Loan
4.367%, 10/02/14 975 902
Pinnacle Foods Group
3.247%, 04/19/14 983 801
Pivotal Promontory LLC, 1st Lien
11.500%, 08/31/10 2,955 961
Roofing Supply Group
9.250%, 06/30/13 945 567
Serena Software
2.508%, 03/11/13 1,707 1,028
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Sirva Worldwide
12.000%, 05/15/15 $ 1,064 $ 53
9.500%, 05/12/12 510 229
9.461%, 05/12/12 (D) 242 97
Sirva Worldwide (unfunded)
0.500%, 05/12/12 (C) 544 326
Spirit Finance
4.170%, 07/15/13 2,500 625
4.170%, 08/01/13 1,000 250
Texas Competitive Electric Holdings,
Tranche B-2
4.033%, 10/10/14 1,945 1,278
The Newark Group
10.750%, 03/22/13 340 146
The Newark Group (Synthetic)
10.750%, 03/22/13 1,512 650
Totes Isotoner, 1st Lien
3.034%, 01/31/13 3,258 1,564
US Airways Group
3.023%, 03/19/14 745 296
3.023%, 03/21/14 4,000 1,591
Venoco, 2nd Lien
5.250%, 05/07/14 989 511
Verint Systems
3.810%, 05/27/14 1,877 1,154
Waiccs Las Vegas 3 LLC, 1st Lien
4.022%, 07/30/09 2,000 1,400
Waiccs Las Vegas 3 LLC, 2nd Lien
9.523%, 07/30/09 2,000 700
WideOpenWest Finance, 1st Lien
3.019%, 06/30/14 2,000 1,353
3.019%, 06/01/14 2,000 1,353
Wm. Bolthouse Farms, 1st Lien
2.750%, 12/17/12 2,893 2,278
-------------
Total Loan Participations
(Cost $77,573) ($ Thousands) 40,687
-------------
ASSET-BACKED SECURITIES -- 14.8%
AUTOMOTIVE -- 3.5%
AmeriCredit Automobile Receivables
Trust, Ser 2006-1, Cl A4
5.200%, 03/06/11 621 613
Americredit Prime Automobile
Receivable, Ser 2007-1, Cl D
5.520%, 01/08/12 775 435
Capital Auto Receivables Asset Trust,
Ser 2007-1, Cl B
5.150%, 09/17/12 955 741
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 103
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Carmax Auto Owner Trust, Ser 2007-1,
Cl C
5.530%, 07/15/13 $ 190 $ 115
Ford Credit Auto Owner Trust,
Ser 2007-A, Cl C
5.800%, 02/15/13 515 330
Harley-Davidson Motorcycle Trust,
Ser 2006-1, Cl B
5.240%, 11/15/13 (A) 1,550 1,035
Harley-Davidson Motorcycle Trust,
Ser 2006-3, Cl B
5.430%, 11/15/14 890 528
Harley-Davidson Motorcycle Trust,
Ser 2007-2, Cl B
5.230%, 03/15/14 1,225 772
Hyundai Auto Receivables Trust,
Ser 2006-B, Cl D
5.410%, 05/15/13 536 505
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3A
5.040%, 01/17/12 571 581
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A4
5.260%, 11/15/12 625 636
Merrill Auto Trust Securitization,
Ser 2007-1, Cl C
5.960%, 12/15/13 1,283 1,012
-------------
7,303
-------------
CREDIT CARDS -- 4.8%
Advanta Business Card Master Trust,
Ser 2006-B2, Cl B2
0.795%, 06/20/14 (B) 1,000 255
Advanta Business Card Master Trust,
Ser 2007-B1, Cl B
0.795%, 12/22/14 (B) 2,000 383
American Express Credit Account
Master Trust, Ser 2004-C, Cl C
0.833%, 02/15/12 (A) (B) 124 116
Bank of America Credit Card Trust,
Ser 2006-C7, Cl C7
0.786%, 03/15/12 (B) 1,000 939
Citibank Credit Card Issuance Trust,
Ser 2006-C4, Cl C4
0.753%, 01/09/12 (B) 1,800 1,611
Citibank Credit Card Issuance Trust,
Ser 2007-B5, Cl B5
1.153%, 11/07/14 (B) 2,000 1,249
GE Capital Credit Card Master Note
Trust, Ser 2007-4, Cl B
0.533%, 06/15/15 (B) 3,150 1,477
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MBNA Master Credit Card Trust,
Ser 1997-B, Cl B
0.683%, 08/15/14 (B) $ 2,100 $ 1,459
MBNA Master Credit Card Trust,
Ser 1999-J, Cl C
7.850%, 02/15/12 (A) 1,500 1,471
Washington Mutual Master Note Trust,
Ser 2006-C2A, Cl C2
1.056%, 08/15/15 (A) (B) 800 359
Washington Mutual Master Note Trust,
Ser 2006-C3A, Cl C3A
0.936%, 10/15/13 (A) (B) 1,000 833
-------------
10,152
-------------
MORTGAGE RELATED SECURITIES -- 1.5%
ACE Securities, Ser 2006-HE1, Cl M2
0.874%, 02/25/36 (B) 515 8
ACE Securities, Ser 2006-OP2, Cl A2B
0.584%, 08/25/36 (B) 1,000 629
Asset-Backed Funding Certificates,
Ser 2006-OPT2, Cl A3B
0.632%, 10/25/36 (B) 1,100 919
New Century Home Equity Loan Trust,
Ser 2005-1, Cl A1MZ
0.764%, 03/25/35 (B) 35 15
Option One Mortgage Loan Trust,
Ser 2005-3, Cl M1
0.992%, 08/25/35 (B) 428 186
Option One Mortgage Loan Trust,
Ser 2007-2, Cl M1
0.834%, 03/25/37 (B) 2,635 56
Option One Mortgage Loan Trust,
Ser 2007-FXD1, Cl 3A3
5.611%, 01/25/37 (B) 285 142
Option One Mortgage Loan Trust,
Ser 2007-FXD2, Cl 2A1
5.900%, 03/25/37 938 781
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1
0.642%, 02/25/38 (B) 600 515
-------------
3,251
-------------
OTHER ASSET-BACKED SECURITIES -- 5.0%
ACAS Business Loan Trust,
Ser 2006-1A, Cl A
1.486%, 11/27/19 (A) (B) 1,676 980
ACAS Business Loan Trust,
Ser 2007-1A, Cl C
2.087%, 08/16/19 (A) (B) 1,837 92
104 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
AIG Credit Premium Finance Master
Trust, Ser 2007-AA, Cl C
0.733%, 12/15/11 (A) (B) $ 1,245 $ 212
Babson CLO, Ser 2007-1A, Cl A1
1.367%, 01/18/21 (A) (B) 1,120 783
Capital Trust Re CDO Ltd., Ser 2006-4A,
Cl A1
0.780%, 10/20/43 (A) (B) 1,024 358
CapitalSource Commercial Loan Trust,
Ser 2006-2A, Cl A1A
0.755%, 09/20/22 (A) (B) 594 496
CapitalSource Commercial Loan Trust,
Ser 2007-1, Cl C
1.120%, 03/20/17 (A) (B) 458 295
CIT Equipment Collateral,
Ser 2006-VT2, Cl C
5.290%, 04/20/14 41 38
Citigroup Mortgage Loan Trust,
Ser 2006-WFH3, Cl M1
0.812%, 12/25/36 (B) 805 136
Countrywide Asset-Backed Certificates,
Ser 2005-13, Cl 3AV3
0.724%, 04/25/36 (B) 1,107 773
Countrywide Asset-Backed Certificates,
Ser 2006-18, Cl M1
0.774%, 03/25/37 (B) 1,000 56
Countrywide Asset-Backed Certificates,
Ser 2006-22, Cl M1
0.704%, 05/25/37 (B) 1,500 44
Countrywide Asset-Backed Certificates,
Ser 2006-22, Cl M3
0.784%, 05/25/37 (B) 1,000 10
Credit-Based Asset Servicing and
Securitization CDO, Ser 2006-16A,
Cl A
1.527%, 09/06/41 (A) (B) 520 62
Dominos Pizza Master Issuer LLC,
Ser 2007-1, Cl A2
5.261%, 04/25/37 (A) 2,200 1,172
First Franklin Mortgage Loan Asset
Backed Certificates, Ser 2007-FF1,
Cl M2
0.782%, 01/25/38 (B) 1,145 15
GE Business Loan Trust, Ser 2003-2A,
Cl B
1.333%, 11/15/31 (A) (B) 95 63
GE Business Loan Trust, Ser 2004-2A,
Cl B
0.813%, 12/15/32 (A) (B) 97 64
GE Business Loan Trust, Ser 2004-2A,
Cl A
0.553%, 12/15/32 (A) (B) 129 63
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
GE Business Loan Trust, Ser 2006-2A,
Cl D
1.083%, 11/15/34 (A) (B) $ 274 $ 101
GE Commercial Loan Trust,
Ser 2006-3, Cl C
0.909%, 01/19/17 (A) (B) 344 7
GE Dealer Floorplan Master Note Trust,
Ser 2006-2, Cl C
0.900%, 04/20/13 (B) 460 170
GMAC Mortgage Loan Trust,
Ser 2006-HE4, Cl A2
0.662%, 12/25/36 (B) 946 253
JPMorgan Mortgage Acquisition,
Ser 2006-CH1, Cl M1
0.694%, 07/25/36 (B) 335 72
JPMorgan Mortgage Acquisition,
Ser 2006-CH2, Cl MV1
0.684%, 10/25/36 (B) 1,125 77
JPMorgan Mortgage Acquisition,
Ser 2006-WMC3, Cl A4
0.624%, 08/25/36 (B) 1,250 367
JPMorgan Mortgage Acquisition,
Ser 2007-CH3, Cl M3
0.844%, 03/25/37 (B) 385 16
Katonah, Ser 2005-7A, Cl B
1.654%, 11/15/17 (A) (B) 700 231
Lambda Finance, Ser 2005-1A, Cl A3
1.464%, 11/15/29 (A) (B) 1,338 1,104
Marriott Vacation Club Owner Trust,
Ser 2006-2A, Cl A
5.362%, 10/20/28 (A) 134 109
Marriott Vacation Club Owner Trust,
Ser 2007-1A, Cl D
6.135%, 05/20/29 (A) 612 414
Prima, Ser 2006-1, Cl A1
5.417%, 12/28/48 2,112 1,098
Sierra Receivables Funding,
Ser 2007-2A, Cl A2
1.545%, 09/20/19 (A) (B) 864 531
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl C
1.156%, 01/15/12 (B) 215 46
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl B
0.856%, 01/15/12 (B) 115 57
Triton Container Finance LLC,
Ser 2006-1A, Cl N
0.647%, 11/26/21 (A) (B) 581 262
-------------
10,627
-------------
Total Asset-Backed Securities
(Cost $63,194) ($ Thousands) 31,333
-------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 105
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CORPORATE OBLIGATIONS -- 11.4%
CONSUMER DISCRETIONARY -- 0.5%
President and Fellows of Harvard College
3.700%, 04/01/13 $ 1,060 $ 1,052
-------------
FINANCIALS -- 7.7%
Banco Santander Chile
1.634%, 12/09/09 (A) (B) 1,750 1,734
BTM Curacao Holdings MTN
4.760%, 07/21/15 (A) (B) 1,000 938
Citigroup
1.799%, 08/25/36 (B) 1,500 407
Everest Reinsurance Holdings
8.750%, 03/15/10 1,050 1,043
General Electric Capital
1.584%, 06/08/09 (B) 550 552
ILFC E-Capital Trust I
5.900%, 12/21/65 (A) (B) 1,000 151
JPMorgan Chase Capital XXI, Ser U
2.120%, 02/02/37 (B) 2,550 983
Liberty Property L.P.
7.250%, 03/15/11+++ 1,000 895
MBIA Insurance
14.000%, 01/15/33 (A) (B) 1,000 310
Mellon Funding
1.388%, 05/15/14 (B) 2,100 1,989
Merrill Lynch
2.756%, 09/15/36 (B) 700 491
Monumental Global Funding III
1.294%, 01/15/14 (A) (B) 1,800 1,253
Prudential Financial MTN
5.100%, 12/14/11 310 277
State Street
1.274%, 04/30/12 (B) 1,215 1,099
State Street Capital Trust IV
2.996%, 06/15/37 (B) 850 334
Unitrin
6.000%, 05/15/17 1,270 744
4.875%, 11/01/10 1,000 811
VTB 24 Capital PLC, Ser E MTN
2.104%, 12/07/09 (B) 1,000 940
Western Union
5.400%, 11/17/11 1,175 1,198
-------------
16,149
-------------
HEALTH CARE -- 0.9%
Quest Diagnostics
5.125%, 11/01/10 1,000 1,004
UnitedHealth Group
2.541%, 02/07/11 (B) 1,000 962
-------------
1,966
-------------
Face Amount
($ Thousands) Market Value
Description /Shares) ($ Thousands)
- ----------- ------------- -------------
INDUSTRIALS -- 0.3%
Continental Airlines, Ser 061G
1.611%, 06/02/13 (B) $ 1,000 $ 639
-------------
REGIONAL AGENCIES -- 0.3%
Republic of Trinidad & Tobago
9.875%, 10/01/09 500 512
-------------
TELECOMMUNICATION SERVICES -- 1.4%
Corning
6.050%, 06/15/15 1,000 955
Telecom Italia Capital
1.753%, 07/18/11 (B) 1,000 865
Vodafone Group PLC
1.536%, 02/27/12 (B) 1,300 1,198
-------------
3,018
-------------
UTILITIES -- 0.3%
Southern, Ser A
5.300%, 01/15/12 665 693
-------------
Total Corporate Obligations
(Cost $31,371) ($ Thousands) 24,029
-------------
COMMON STOCK -- 0.1%
JHT Holding* 4,002 --
Sirva Worldwide* 6,263 128
-------------
Total Common Stock
(Cost $--) ($ Thousands) 128
-------------
TIME DEPOSITS -- 8.2%
HSBC London
0.220%, 04/09/09 5,270 5,270
Lloyds TSB London
0.500%, 04/16/09 2,264 2,265
Royal Bank of Scotland London
0.470%, 04/13/09 5,002 5,002
0.120%, 04/02/09 4,767 4,767
-------------
Total Time Deposits
(Cost $17,304) ($ Thousands) 17,304
-------------
CASH EQUIVALENT -- 10.1%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**+ 21,451,102 21,451
-------------
Total Cash Equivalent
(Cost $21,451) ($ Thousands) 21,451
-------------
106 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
REPURCHASE AGREEMENT -- 10.0%
Bank of America (E)
0.240%, dated 03/31/09, to be
repurchased on 04/01/09,
repurchase price $21,200,141
(collateralized by a FNMA
obligation, par value value
$31,776,101, 5.000%, 03/01/35;
market value $21,624,000) $ 21,200 $ 21,200
-------------
Total Repurchase Agreement
(Cost $21,200) ($ Thousands) 21,200
-------------
Total Investments -- 100.4%
(Cost $305,088) ($ Thousands) $ 212,530
=============
A summary of the open futures contracts held by the Fund at March 31, 2009, is
as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT (SHORT) DATE ($ THOUSANDS)
- -------- --------- ---------- -------------
U.S. 10-Year Note (31) Jun-2009 $(123)
U.S. 5-Year Note (65) Jun-2009 (164)
-----
$(287)
=====
A summary of the outstanding forward foreign currency contracts held by the Fund
at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- -------- ------------- ------------- --------------
4/14/09-6/10/09 USD 352 EUR 265 $ (1)
4/14/09-7/10/09 CHF 16,100 EUR 10,453 (299)
4/14/09-7/10/09 EUR 10,594 CHF 16,100 111
4/14/09-7/10/09 USD 224 AUD 325 1
4/14/09-8/12/09 AUD 5,494 JPY 338,000 (384)
4/14/09-8/12/09 EUR 7,078 JPY 908,000 (192)
4/14/09-8/12/09 JPY 338,000 AUD 5,271 229
4/14/09-8/12/09 JPY 908,000 EUR 7,084 200
4/14/09-8/12/09 USD 2,665 NZD 4,625 (39)
4/14/09-9/10/09 GBP 8,935 JPY 1,282,000 194
4/14/09-9/10/09 JPY 1,282,000 GBP 8,690 (545)
4/14/09-9/10/09 NZD 4,727 USD 2,673 (10)
4/14/09-9/10/09 USD 412 GBP 287 --
4/15/09-8/12/09 CHF 2,200 NOK 12,391 (105)
4/15/09-8/12/09 NOK 12,805 CHF 2,200 44
4/15/09-8/12/09 USD 62 NOK 413 (1)
5/13/09 AUD 856 SGD 900 (1)
5/13/09 SGD 900 AUD 865 7
5/13/09-9/10/09 AUD 101 USD 69 --
6/10/09-7/10/09 EUR 1,965 SGD 3,900 (45)
6/10/09-7/10/09 JPY 243,000 NOK 17,987 194
6/10/09-7/10/09 NOK 17,659 JPY 243,000 (146)
6/10/09-7/10/09 NOK 327 USD 49 1
6/10/09-7/10/09 SGD 3,900 EUR 1,940 12
7/10/09-8/12/09 EUR 104 USD 138 --
7/10/09-9/10/09 AUD 2,706 CHF 2,100 (12)
7/10/09-9/10/09 CHF 2,100 AUD 2,695 5
7/10/09-9/10/09 CHF 2,900 GBP 1,720 (93)
7/10/09-9/10/09 GBP 1,756 CHF 2,900 42
9/10/09 CHF 1,400 USD 1,190 (47)
9/10/09 GBP 416 SGD 900 (5)
9/10/09 JPY 61,000 NZD 1,199 57
9/10/09 NZD 1,098 JPY 61,000 --
9/10/09 SGD 900 GBP 408 (6)
9/10/09 USD 1,196 CHF 1,400 40
-----
$(794)
=====
Description
Percentages are based on a Net Assets of $211,662 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
+ 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) Variable Rate Security-The rate reported on the Schedule of Investments is
the rate in effects as of March 31, 2009. The date reported on the Schedule
of Investments is the next reset date.
(C) Unfunded bank loan. Interest rate not available.
(D) Unsettled bank loan. Interest rate not available.
(E) Tri-Party Repurchase Agreement
(F) Security in default on interest payments.
AUD -- Australian Dollar
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
CLO -- Collateralized Loan Obligation
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
FHLB -- Federal Home Loan Bank
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
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 have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 107
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Mortgage-Backed Securities 49.7%
Financials 11.0%
Affiliated Partnership 7.8%
Asset-Backed Securities 5.7%
U.S.Treasury Obligations 5.5%
Energy 3.3%
Cash Equivalents 3.2%
Utilities 2.6%
Industrials 1.9%
Telecommunication Services 1.8%
Health Care 1.4%
Consumer Discretionary 1.3%
Loan Participations 0.9%
Commercial Paper 0.9%
Materials 0.8%
Consumer Staples 0.8%
U.S. Government Agency Obligations 0.7%
Sovereign 0.6%
Information Technology 0.1%
Preferred Stock 0.0%
Purchase Options 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MORTGAGE-BACKED SECURITIES-- 62.7%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 47.5%
FHLMC
7.500%, 11/01/29 to 09/01/32 $ 1,933 $ 2,088
7.000%, 06/01/09 to 01/01/32 374 402
6.500%, 12/01/13 to 09/01/38 25,022 26,428
6.000%, 08/01/16 to 09/01/38 73,743 77,256
5.500%, 12/01/13 to 03/01/38 63,942 66,612
5.000%, 10/01/14 to 02/01/39 99,037 102,524
4.500%, 04/01/35 to 11/01/35 3,200 3,271
4.000%, 09/01/18 to 10/01/33 4,403 4,477
0.376%, 04/27/09 (A) 3,895 3,895
FHLMC ARM
6.430%, 10/01/37 820 857
6.429%, 11/01/37 7 7
6.149%, 01/01/37 2,391 2,483
5.944%, 05/01/37 332 345
5.941%, 03/01/37 327 340
5.930%, 05/01/37 400 417
5.767%, 05/01/37 1,448 1,503
5.126%, 01/01/36 5,466 5,647
FHLMC CMO, Cl CY
4.000%, 09/15/18 250 259
FHLMC CMO, Cl GB
6.500%, 11/15/36 11,067 11,742
FHLMC CMO, Cl JR
4.500%, 06/15/25 1,674 1,733
FHLMC CMO, Cl PE
6.000%, 08/15/32 376 396
FHLMC CMO, Cl TV
4.500%, 11/15/25 667 686
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 $ 10,733 $ 1,210
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 3,033 338
FHLMC CMO STRIPS, Ser 233,
Cl 6, IO
4.500%, 08/15/35 453 46
FHLMC CMO STRIPS, Ser 245,
Cl IO, IO
5.000%, 05/15/37 2,580 292
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 129 140
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 15,536 16,454
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 2,867 3,011
FHLMC CMO, Ser 2277, Cl B
7.500%, 01/15/31 397 415
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 1,467 1,484
FHLMC CMO, Ser 2399, Cl XG
6.500%, 01/15/32 5,722 6,089
FHLMC CMO, Ser 2558, Cl BD
5.000%, 01/15/18 785 832
FHLMC CMO, Ser 2564, Cl BQ
5.500%, 10/15/17 1,633 1,718
FHLMC CMO, Ser 2590, Cl BY
5.000%, 03/15/18 322 342
FHLMC CMO, Ser 2623, Cl AJ
4.500%, 07/15/16 1,309 1,346
FHLMC CMO, Ser 2672, Cl HA
4.000%, 09/15/16 509 520
FHLMC CMO, Ser 2695, Cl BG
4.500%, 04/15/32 1,259 1,301
FHLMC CMO, Ser 2702, Cl AD
4.500%, 08/15/32 1,175 1,215
FHLMC CMO, Ser 2727, Cl PW
3.570%, 06/15/29 403 405
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 5,995 6,258
FHLMC CMO, Ser 2780, Cl TB
3.000%, 12/15/24 257 257
FHLMC CMO, Ser 2790, Cl TN
4.000%, 05/15/24 1,398 1,420
FHLMC CMO, Ser 2843, Cl BC
5.000%, 08/15/19 1,182 1,250
FHLMC CMO, Ser 2945, Cl SA
11.293%, 03/15/20 (B) 4,299 4,354
FHLMC CMO, Ser 3035, Cl PA
5.500%, 09/15/35 424 445
108 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FHLMC CMO, Ser 3253, Cl A
5.000%, 08/15/20 $ 871 $ 906
FHLMC CMO, Ser 3372, Cl BD
4.500%, 10/15/22 1,188 1,231
FHLMC CMO, Ser 3465, Cl HA
4.000%, 07/15/17 1,105 1,144
FHLMC TBA
5.000%, 04/01/36 5,400 5,569
5.500%, 04/15/33 to 05/01/37 17,500 18,107
5.500%, 04/25/39 19,710 20,449
FNMA
8.000%, 10/01/15 11 11
7.000%, 09/01/26 to 06/01/35 7,341 7,881
6.500%, 05/01/17 to 12/01/37 6,126 6,428
6.000%, 06/01/22 to 08/01/37 59,064 61,897
5.500%, 06/01/14 to 01/01/39 153,248 160,001
5.000%, 01/01/20 to 06/01/38 55,337 57,307
4.500%, 06/01/35 to 04/01/38 13,174 13,482
4.000%, 08/01/20 2,181 2,224
FNMA ARM
6.297%, 05/25/09 124 129
6.284%, 09/01/37 209 217
6.124%, 12/01/36 578 603
6.106%, 11/01/37 962 1,005
6.028%, 01/01/37 706 734
6.020%, 04/01/37 481 501
5.977%, 04/01/37 717 746
5.957%, 01/01/37 892 928
5.878%, 02/01/37 587 611
5.818%, 05/01/37 1,099 1,141
5.768%, 08/01/37 1,698 1,764
5.635%, 02/01/36 607 630
4.041%, 10/01/35 12,181 12,460
4.034%, 11/01/35 1,885 1,928
4.030%, 11/01/35 1,846 1,888
4.028%, 11/01/35 1,900 1,943
4.022%, 11/01/35 1,838 1,880
4.020%, 10/01/35 8,412 8,604
4.018%, 10/01/35 1,058 1,082
4.016%, 11/01/35 1,870 1,912
4.015%, 11/01/35 6,214 6,356
FNMA CMO, IO
1.282%, 02/25/11 (B) 108,620 1,261
FNMA CMO, Cl HQ
4.500%, 01/25/18 994 1,040
FNMA CMO, Cl JM
4.500%, 08/25/25 668 687
FNMA CMO STRIPS, Ser 359, Cl 6, IO
5.000%, 11/01/35 1,361 143
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35 22,833 2,595
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 5,472 5,681
FNMA CMO, Ser 2003-108, Cl BE
4.000%, 11/25/18 706 730
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FNMA CMO, Ser 2003-15, Cl CH
4.000%, 02/25/17 $ 503 $ 509
FNMA CMO, Ser 2003-16, Cl PN
4.500%, 10/25/15 556 561
FNMA CMO, Ser 2004-34, Cl PL
3.500%, 05/25/14 76 76
FNMA CMO, Ser 2004-60, Cl PA
5.500%, 04/25/34 832 867
FNMA CMO, Ser 2005-57, Cl EG
0.822%, 03/25/35 (B) 2,866 2,784
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35 720 758
FNMA CMO, Ser 2006-10, Cl FD
0.872%, 03/25/36 (B) 2,784 2,717
FNMA CMO, Ser 2007-113, Cl DB
4.500%, 12/25/22 1,522 1,587
FNMA CMO, Ser 2007-T2, Cl B
6.022%, 11/25/10 4,500 4,752
FNMA CMO, Ser 2008-22
5.908%, 03/25/37 (B) 15,000 1,974
FNMA CMO, Ser 2020-94, IO
5.500%, 04/25/16 22 --
FNMA CMO, Ser 365, IO
5.000%, 04/01/36 1,289 147
FNMA CMO, Ser 365, Cl 2, IO
5.000%, 02/01/36 1,242 134
FNMA TBA
5.500%, 04/30/22 to 04/30/35 7,500 7,729
5.500%, 04/25/39 to 04/25/39 20,011 20,768
5.000%, 04/25/39 to 04/25/39 39,870 41,140
5.000%, 04/30/37 to 05/01/38 136,900 141,113
4.500%, 04/14/33 to 05/01/38 22,200 22,630
4.500%, 04/25/39 94,270 96,332
GNMA
8.000%, 11/15/29 to 11/15/30 149 161
7.500%, 03/15/29 to 01/15/32 358 386
7.000%, 08/15/13 79 83
6.500%, 04/15/24 to 09/15/35 15,882 16,853
6.000%, 03/15/14 to 11/15/35 46,048 48,334
5.000%, 05/15/33 to 10/15/35 5,054 5,261
GNMA ARM
6.500%, 02/20/34 976 999
6.000%, 06/20/35 520 525
5.625%, 08/20/34 618 618
5.500%, 01/10/36 to 05/20/36 5,384 5,426
5.000%, 02/20/36 905 907
4.000%, 03/20/36 742 745
3.750%, 12/20/33 10,977 10,970
GNMA CMO, Ser 2001-18, Cl WH
30.123%, 04/20/31 (B) 273 344
GNMA CMO, Ser 2002-51, Cl SG
30.138%, 04/20/31 (B) 253 333
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 716 2
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 109
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 $ 9,827 $ 10,048
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34 2,974 73
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36 879 922
GNMA TBA
6.000%, 04/28/36 to 06/01/36 15,600 16,234
5.500%, 05/21/37 10,000 10,363
4.500%, 04/01/38 to 05/15/39 3,800 3,876
-------------
1,262,537
-------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 15.2%
Adjustable Rate Mortgage Trust,
Ser 2005-8, Cl 4A11
5.435%, 11/25/35 (B) 10,279 6,753
American Home Mortgage Assets,
Ser 2007-2, Cl A1
0.647%, 03/25/47 (B) 10,334 3,907
American Home Mortgage Investment
Trust, Ser 2004-1, Cl 4A
3.751%, 04/25/44 (B) 383 209
American Home Mortgage Investment
Trust, Ser 2004-4, Cl 4A
4.390%, 02/25/45 (B) 1,812 1,002
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A
5.294%, 06/25/45 (B) 5,413 2,720
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A
5.350%, 11/25/45 (B) 5,282 1,883
American Tower Trust, Ser 2007-1A,
Cl AFX
5.420%, 04/15/37 (C) 1,749 1,513
Banc of America Commercial Mortgage,
Cl A2
5.634%, 05/10/09 (B) 2,576 2,104
Banc of America Commercial Mortgage,
Cl A3
4.050%, 11/10/38 483 453
Banc of America Commercial Mortgage
Securities, Ser 2000-1, Cl A2A
7.333%, 11/15/31 (B) 1,281 1,286
Banc of America Commercial Mortgage
Securities, Ser 2002-PB2, Cl B
6.309%, 06/11/35 659 609
Banc of America Commercial Mortgage
Securities, Ser 2003-1, Cl A2
4.648%, 09/11/36 746 654
Banc of America Commercial Mortgage
Securities, Ser 2004-2, Cl A5
4.580%, 11/10/38 294 233
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Banc of America Commercial Mortgage
Securities, Ser 2005-3, Cl A4
4.668%, 07/10/43 $ 11,300 $ 8,673
Banc of America Commercial Mortgage
Securities, Ser 2006-2, Cl A1
5.611%, 05/10/45 1,721 1,719
Banc of America Commercial Mortgage,
Ser 2007-3, Cl A3
5.658%, 07/10/14 (B) 1,360 943
Banc of America Funding, Ser 2003-1,
Cl A1
6.000%, 05/20/33 77 73
Banc of America Funding, Ser 2005-B,
Cl 2A1
5.092%, 04/20/35 (B) 5,183 2,632
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2004-2, Cl 24A
5.304%, 05/25/34 (B) 4,884 3,815
Bear Stearns Commercial Mortgage
Securities, Cl A2
5.665%, 05/11/09 (B) 3,539 2,957
Bear Stearns Commercial Mortgage
Securities, Ser 2000-WF1, Cl A2
7.780%, 02/15/32 (B) 1,844 1,860
Bear Stearns Commercial Mortgage
Securities, Ser 2001-TOP4, Cl A3
5.610%, 11/15/33 436 425
Bear Stearns Commercial Mortgage
Securities, Ser 2002-PBW1, Cl A2
4.720%, 11/11/35 (B) 806 766
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR6, Cl A6
4.825%, 11/11/41 333 268
Bear Stearns Commercial Mortgage
Securities, Ser 2005-T20, Cl A4A
5.151%, 10/12/42 (B) 3,700 2,963
Chase Commercial Mortgage Securities,
Ser 2000-3, Cl A2
7.319%, 10/15/32 2,273 2,298
Chase Mortgage Finance, Ser 2005-A1,
Cl 2A3
5.236%, 12/25/35 (B) 12,400 6,313
Citigroup Commercial Mortgage Trust,
Ser 2006-C4, Cl A3
5.725%, 03/15/49 (B) 11,422 8,565
Citigroup Mortgage Loan Trust,
Ser 2005-11, Cl A3
4.900%, 12/25/35 (B) 9,050 6,771
Commercial Mortgage Asset Trust,
Ser 1999-C1, Cl A4
6.975%, 01/17/32 (B) 1,004 943
Commercial Mortgage Asset Trust,
Ser 1999-C2, Cl A2
7.546%, 10/17/32 (B) 2,928 2,936
110 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Commercial Mortgage Loan Trust,
Cl A4B
6.020%, 05/10/09 (B) $ 5,275 $ 3,088
Countrywide Alternative Loan Trust,
Ser 2003-20BC, Cl 1A1
5.500%, 10/25/33 1,520 1,273
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 623 576
Countrywide Alternative Loan Trust,
Ser 2005-21, Cl 3A2
2.923%, 08/25/35 (B) 567 198
Countrywide Alternative Loan Trust,
Ser 2005-56, Cl 4A1
0.832%, 11/25/35 (B) 8,041 3,232
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1
0.800%, 11/20/35 (B) 9,769 3,915
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO
4.220%, 05/20/46 (B) (D) 31,128 311
Countrywide Alternative Loan Trust,
Ser 2006-OC6, Cl 2A1
0.592%, 07/25/36 (B) 988 883
Countrywide Home Loan Mortgage
Pass-Through Trust,
Ser 2005-HYB10, Cl 1A1
5.510%, 02/20/36 (B) 1,744 645
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2005-HYB9,
Cl 1A1
5.013%, 02/20/36 (B) 1,127 493
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2005-R3,
Cl AF
0.922%, 09/25/35 (B) (C) 5,664 4,251
Countrywide Home Loan Mortgage
Pass-Through Trust, Ser 2006-HYB1,
Cl 1A1
5.321%, 03/20/36 (B) 2,757 1,277
CS First Boston Mortgage Securities,
Ser 2001-CK1, Cl A3
6.380%, 12/18/35 544 548
CS First Boston Mortgage Securities,
Ser 2001-CK3, Cl A4
6.530%, 06/15/34 1,490 1,484
CS First Boston Mortgage Securities,
Ser 2002-CKN2, Cl A3
6.133%, 04/15/37 257 252
CS First Boston Mortgage Securities,
Ser 2002-CKS4, Cl A1
4.485%, 11/15/36 29 29
CS First Boston Mortgage Securities,
Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 2,428 2,299
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CS First Boston Mortgage Securities,
Ser 2002-CP5, Cl A2
4.940%, 12/15/35 $ 426 $ 402
CS First Boston Mortgage Securities,
Ser 2003-AR24, Cl 2A4
4.786%, 10/25/33 (B) 5,795 4,535
CS First Boston Mortgage Securities,
Ser 2003-C5, Cl A4
4.900%, 12/15/36 (B) 906 794
CS First Boston Mortgage Securities,
Ser 2003-CK2, Cl A4
4.801%, 03/15/36 537 479
CS First Boston Mortgage Securities,
Ser CPN1, Cl A2
4.597%, 03/15/35 362 317
Deutsche Mortgage Securities,
Ser 2004-4, Cl 7AR2
0.972%, 06/20/34 (B) 1,469 1,062
DLJ Commercial Mortgage,
Ser 2000-CKP1, Cl A1B
7.180%, 11/10/33 1,038 1,058
DLJ Commercial Mortgage, Ser CG3,
Cl A1B
7.340%, 09/10/09 732 735
Downey Savings & Loan Association
Mortgage Loan Trust, Ser 2004-AR2,
Cl A2B
0.956%, 11/19/44 (B) 2,709 592
FFCA Secured Lending,
Ser 1999-1A, IO
1.336%, 09/18/25 (B) (C) 5,225 145
First Horizon Alternative Mortgage
Securities, Ser 2006-FA6, Cl 2A10
6.000%, 11/25/36 (D) 683 555
First Union National Bank Commercial
Mortgage, Ser 1999-C4, Cl A2
7.390%, 12/15/31 57 57
First Union National Bank Commercial
Mortgage, Ser 2000-C2, Cl A2
7.202%, 10/15/32 789 801
First Union National Bank Commercial
Mortgage, Ser 2001-C4, Cl B
6.417%, 12/12/33 809 755
Fund America Investors II, Ser 1993-A,
Cl A2
6.260%, 06/25/23 (B) 261 222
GE Capital Assurance, Ser 2003-1,
Cl A4
5.254%, 05/12/35 (B) (C) 7,530 6,891
GE Capital Commercial Mortgage,
Ser 2001-2, Cl A3
6.030%, 08/11/33 359 358
GE Capital Commercial Mortgage,
Ser 2002-1A, Cl A3
6.269%, 12/10/35 6,318 6,107
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 111
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
GE Capital Commercial Mortgage,
Ser 2002-3A, Cl A2
4.996%, 12/10/37 $ 12,500 $ 11,611
GE Capital Commercial Mortgage,
Ser 2005-C4, Cl A3A
5.334%, 11/10/45 (B) 13,025 10,844
GE Capital Commercial Mortgage,
Ser 2006-C1, Cl A3
5.337%, 03/10/44 (B) 2,845 2,240
GE Capital Commercial Mortgage,
Ser 2007-C1, Cl A4
5.543%, 02/10/17 1,510 900
GMAC Commercial Mortgage Securities,
Ser 2000-C2, Cl A2
7.455%, 08/16/33 (B) 2,302 2,335
GMAC Commercial Mortgage Securities,
Ser 2000-C3, Cl A2
6.957%, 09/15/35 3,011 3,055
GMAC Commercial Mortgage Securities,
Ser 2001-C1, Cl A2
7.724%, 03/15/33 (B) 2,524 2,542
GMAC Commercial Mortgage Securities,
Ser 2003-C2, Cl A2
5.485%, 05/10/40 (B) 535 517
GMAC Commercial Mortgage Securities,
Ser 2003-C3, Cl A4
5.023%, 04/10/40 2,621 2,215
GMAC Commercial Mortgage Securities,
Ser 2004-C2, Cl A1
3.896%, 08/10/38 29 28
GMAC Commercial Mortgage Securities,
Ser 2006-C1, Cl A4
5.238%, 11/10/45 (B) 4,800 3,822
Greenwich Capital Commercial Funding,
Cl A5
5.224%, 05/10/09 (B) 1,184 875
Greenwich Capital Commercial Funding,
Ser 2005-GG3, Cl AAB
4.619%, 08/10/42 6,305 5,866
Greenwich Capital Commercial Funding,
Ser 2006-GG7, Cl A4
5.916%, 07/10/38 (B) 8,650 6,277
GS Mortgage Securities II, Cl A4
5.560%, 11/10/39 8,000 6,007
GS Mortgage Securities II,
Ser 2001-GL3A, Cl A2
6.449%, 08/15/18 (B) (C) 2,284 2,269
GS Mortgage Securities II,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 363 303
GS Mortgage Securities II,
Ser 2005-GG4, Cl A4A
4.751%, 07/10/39 6,500 4,808
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
GSMPS Mortgage Loan Trust,
Ser 1998-1, Cl A
8.000%, 09/19/27 (B) (C) $ 75 $ 81
GSR Mortgage Loan Trust,
Ser 2003-13, Cl 1A1
4.491%, 10/25/33 (B) 6,245 5,318
GSR Mortgage Loan Trust,
Ser 2006-8F, Cl 3A5
6.250%, 09/25/36 (D) 3,372 2,727
Harborview Mortgage Loan Trust,
Ser 2005-1, Cl X, IO
3.500%, 03/19/35 12,649 172
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO
3.575%, 10/19/35 (B) (D) 21,410 254
Harborview Mortgage Loan Trust,
Ser 2007-3, Cl 2A1A
0.756%, 05/19/47 (B) 14,126 5,835
Heller Financial Commercial Mortgage
Asset, Ser 1999-PH1, Cl C
7.111%, 05/15/31 (B) 250 249
Impac Secured Assets CMO Owner
Trust, Ser 2006-2, Cl 2A1
0.872%, 08/25/36 (B) 866 344
Impac Secured Assets CMO Owner
Trust, Ser 2006-3, Cl A4
0.612%, 11/25/36 (B) 3,525 1,987
Impac Secured Assets CMO Owner
Trust, Ser 2007-1, Cl A1
0.582%, 03/25/37 (B) 12,401 6,279
Indymac INDA Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A1
4.582%, 01/25/36 (B) 419 203
Indymac INDA Mortgage Loan Trust,
Ser 2007-AR7, Cl 1A1
6.165%, 11/01/37 (B) 1,866 1,026
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO
3.230%, 12/25/34 (D) 5,146 39
Indymac Index Mortgage Loan Trust,
Ser 2007-AR15, Cl 2A1
5.996%, 08/25/37 (B) 9,002 3,692
JPMorgan Alternative Loan Trust,
Cl 2A6
5.750%, 05/25/09 (B) 12,253 3,572
JPMorgan Chase Commercial Mortgage
Securities, Cl A3
5.420%, 01/15/49 5,415 3,660
JPMorgan Chase Commercial Mortgage
Securities, Cl A4
5.281%, 05/12/09 (B) 550 422
JPMorgan Chase Commercial Mortgage
Securities
5.861%, 05/15/09 (B) 806 717
112 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
JPMorgan Chase Commercial Mortgage
Securities, Ser 2007-LD12, Cl A4
5.882%, 07/15/17 (B) $ 1,830 $ 1,294
JPMorgan Chase Commercial Mortgage
Securities, Ser 2007-LD12, Cl AM
6.062%, 08/15/17 (B) 200 81
JPMorgan Chase Commercial Mortgage
Securities, Ser 2001-CIB2, Cl A3
6.429%, 04/15/35 5,170 5,133
JPMorgan Chase Commercial Mortgage
Securities, Ser 2002-CIB5, Cl A2
5.161%, 10/12/37 590 557
JPMorgan Chase Commercial Mortgage
Securities, Ser 2003-PM1A, Cl A4
5.326%, 11/12/08 (B) 184 155
JPMorgan Chase Commercial Mortgage
Securities, Ser 2004-C3, Cl A1
3.765%, 01/15/42 40 40
JPMorgan Chase Commercial Mortgage
Securities, Ser 2005-LDP2, Cl A1
4.334%, 07/15/42 19 19
JPMorgan Chase Commercial Mortgage
Securities, Ser 2005-LDP3, Cl A1
4.655%, 08/15/42 165 164
JPMorgan Chase Commercial Mortgage
Securities, Ser 2005-LDP4, Cl A4
4.918%, 10/15/42 (B) 2,480 1,918
JPMorgan Commercial Mortgage
Finance, Ser 2000-C10, Cl A2
7.371%, 08/15/32 (B) 867 874
JPMorgan Mortgage Trust,
Ser 2005-A3, Cl 11A2
4.498%, 11/25/08 (B) 12,385 7,479
JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 2A2
5.753%, 11/25/08 (B) 12,600 6,513
JPMorgan Mortgage Trust,
Ser 2006-A3, Cl 3A4
5.730%, 05/25/36 (B) 13,560 6,175
LB Commercial Conduit Mortgage Trust,
Ser 1999-C2, Cl B
7.425%, 10/15/32 378 379
LB-UBS Commercial Mortgage Trust,
Cl A2
5.084%, 02/15/31 1,606 1,470
LB-UBS Commercial Mortgage Trust,
Ser 2002-C2, Cl A4
5.594%, 06/15/31 5,000 4,832
LB-UBS Commercial Mortgage Trust,
Ser 2003-C5, Cl A2
3.478%, 07/15/27 1 1
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (C) 3,978 4,085
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Master Seasoned Securities Trust,
Ser 2004-2, Cl A2
6.500%, 08/25/32 $ 3,880 $ 3,698
Merrill Lynch Mortgage Investors,
Ser 2004-A1, Cl 4A
5.290%, 02/25/34 (B) 5,921 4,725
Merrill Lynch Mortgage Trust,
Ser 2005-MCP1, Cl A4
4.747%, 06/12/43 (B) 2,480 1,798
Merrill Lynch/Countrywide Commercial
Mortgage Trust, Ser 2007-5, Cl A4
5.378%, 08/12/48 1,270 797
MLCC Mortgage Investors, Ser 2004-B,
Cl A3
4.702%, 05/25/29 (B) 878 686
Morgan Stanley Capital I, Cl A2
5.610%, 04/15/49 630 516
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42 1,700 1,561
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42 5,600 4,505
Morgan Stanley Capital I,
Ser 2005-HQ7, Cl AAB
5.185%, 11/14/42 (B) 1,029 941
Morgan Stanley Capital I,
Ser 2006-T21, Cl A4
5.162%, 10/15/52 (B) 2,500 1,984
Morgan Stanley Capital I,
Ser 2007-IQ14, Cl A4
5.692%, 04/15/49 (B) 13,680 8,881
Morgan Stanley Dean Witter Capital I,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 (B) 2,506 2,526
Morgan Stanley Dean Witter Capital I,
Ser 2001-TOP5, Cl A4
6.390%, 10/15/35 2,492 2,465
Morgan Stanley Dean Witter Capital I,
Ser 2002-IQ2, Cl A3
5.520%, 12/15/35 12 12
Morgan Stanley Dean Witter Capital I,
Ser 2003-HQ2, Cl A2
4.920%, 03/12/35 1,846 1,653
Morgan Stanley Mortgage Loan Trust,
Ser 2007-6XS, Cl 2A1S
0.632%, 02/25/47 (B) 428 276
Nomura Asset Securities, Ser 1998-D6,
Cl A1C
6.690%, 03/15/30 1,169 1,187
RBS Greenwhich Capital Mortgage
Pass-Through Certificates,
Ser 2007-B, Cl 1A4
0.972%, 01/25/37 (B) 4,937 1,955
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 113
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Residential Accredit Loans,
Ser 2007-QS1, Cl 2A2
0.882%, 01/25/37 (B) $ 5,239 $ 2,214
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 1,986 2,080
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1
5.196%, 12/25/34 (B) 2,428 1,474
Salomon Brothers Mortgage Securities
VII, Ser 2000-C3, Cl A2
6.592%, 12/18/33 758 760
Salomon Brothers Mortgage Securities
VII, Ser 2001-C2, Cl A3
6.499%, 10/13/11 5,295 5,260
Salomon Brothers Mortgage Securities
VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36 1,012 964
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2005-19, Cl 1A1
0.842%, 10/25/35 (B) 1,907 767
Structured Adjustable Rate Mortgage
Loan Trust, Ser 2007-7, Cl 2AS2
5.672%, 08/25/15 (B) 11,502 4,779
Structured Asset Mortgage Investments,
Ser 2006-AR8, Cl A1A
0.722%, 10/25/36 (B) 5,121 1,938
Structured Asset Securities,
Ser 2005-17, Cl 5A1
5.500%, 10/25/35 3,324 2,021
Thornburg Mortgage Securities Trust,
Ser 2006-3, Cl A3
0.632%, 06/25/36 (B) 11,860 11,680
Thornburg Mortgage Securities Trust,
Ser 2006-3, Cl A2
0.627%, 06/25/36 (B) 10,780 10,257
Thornburg Mortgage Securities Trust,
Ser 2007-4, Cl 2A1
6.210%, 08/30/37 (B) 5,741 3,983
Thornburg Mortgage Securities Trust,
Ser 2007-4, Cl 3A1
6.200%, 09/25/37 (B) 5,438 3,400
US Bank, Ser 2007-1, Cl A
5.920%, 05/25/12 3,764 3,940
Wachovia Bank Commercial Mortgage
Trust, Ser 2002-C1A, Cl A4
6.287%, 04/15/34 1,543 1,515
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C5, Cl A2
3.989%, 06/15/35 449 387
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C6, Cl A3
4.957%, 08/15/35 (B) 2,490 2,281
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (C) 251 246
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35 $ 873 $ 815
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C11, Cl A4
5.030%, 01/15/41 599 468
WaMu Mortgage Pass-Through
Certificates, Ser 2007-OA6, Cl 1A
2.443%, 07/25/47 (B) 9,253 3,429
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 1,425 1,421
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR13, Cl A1A1
0.812%, 10/25/47 (B) 4,525 1,857
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR15, Cl A1A2
0.802%, 11/25/47 (B) 6,806 2,187
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR16, Cl 1A4A
5.102%, 12/25/35 (B) 12,955 8,498
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR19, Cl A1A2
0.812%, 12/25/45 (B) 6,528 2,712
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR12, Cl 1A1
6.069%, 10/25/36 (B) (D) 693 481
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-H, Cl 1A1
4.530%, 06/25/34 (B) 6,518 5,067
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-17, Cl 1A1
5.500%, 01/25/36 3,291 2,592
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-2, Cl 3A1
5.750%, 03/25/36 1,748 1,237
-------------
404,001
-------------
Total Mortgage-Backed Securities
(Cost $1,790,214) ($ Thousands) 1,666,538
-------------
CORPORATE OBLIGATIONS -- 32.2%
CONSUMER DISCRETIONARY -- 1.6%
American Achievement
8.250%, 04/01/12 (C) 900 652
Autozone
6.500%, 01/15/14 960 953
114 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Boyd Gaming
7.125%, 02/01/16 (E) $ 350 $ 189
6.750%, 04/15/14 (E) 570 330
British Sky Broadcasting Group
9.500%, 11/15/18 (C) 1,565 1,700
Caesars Entertainment
8.125%, 05/15/11 (E) 540 176
CCH I Holdings LLC
11.000%, 10/01/15 (E) (F) 740 80
Clear Channel Communications
6.250%, 03/15/11 (E) 2,230 446
4.250%, 05/15/09 990 881
Comcast
8.375%, 03/15/13 3,380 3,615
6.750%, 01/30/11 (E) 2,310 2,390
6.500%, 01/15/15 (E) 985 979
6.500%, 01/15/17 720 713
5.850%, 11/15/15 465 446
5.700%, 05/15/18 (E) 2,340 2,195
5.450%, 11/15/10 525 535
5.300%, 01/15/14 2,340 2,272
Community Health Systems
8.875%, 07/15/15 (E) 1,030 973
COX Communications
7.875%, 08/15/09 750 760
6.250%, 06/01/18 (C) 300 267
4.625%, 06/01/13 805 732
Daimler Finance LLC
7.300%, 01/15/12 1,400 1,342
6.500%, 11/15/13 2,035 1,844
DirecTV Holdings
8.375%, 03/15/13 350 354
Eastman Kodak
7.250%, 11/15/13 2,740 1,548
Echostar DBS
7.750%, 05/31/15 720 662
Ford Motor
9.215%, 09/15/21 1,000 290
7.450%, 07/16/31 (E) 2,940 934
General Motors
8.250%, 07/15/23 (E) 3,100 364
Hertz
8.875%, 01/01/14 (E) 725 440
Inn of the Mountain Gods
Resort & Casino
12.000%, 11/15/10 1,010 106
Lamar Media, Ser B
6.625%, 08/15/15 150 108
Marriott International, Ser J
5.625%, 02/15/13 (E) 235 200
MGM Mirage
8.500%, 09/15/10 160 66
7.625%, 01/15/17 (E) 1,290 458
News America
6.650%, 11/15/37 (E) 180 135
6.200%, 12/15/34 (E) 65 47
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Nordstrom
7.000%, 01/15/38 (E) $ 580 $ 398
River Rock Entertainment Authority
9.750%, 11/01/11 930 465
Service International
7.625%, 10/01/18 340 292
7.500%, 04/01/27 670 493
6.750%, 04/01/16 20 17
Station Casinos
7.750%, 08/15/16 (E) 1,495 344
Sun Media
7.625%, 02/15/13 470 268
Thomson Reuters
5.950%, 07/15/13 595 581
Time Warner
7.700%, 05/01/32 835 751
6.875%, 05/01/12 2,455 2,498
Time Warner Cable
8.750%, 02/14/19 2,300 2,446
8.250%, 04/01/19 645 663
7.300%, 07/01/38 (E) 480 434
6.750%, 07/01/18 (E) 360 338
Time Warner Entertainment
8.375%, 07/15/33 60 57
TL Acquisitions
10.500%, 01/15/15 (C) 480 246
Univision
0.753%, 09/15/14 84 42
Viacom
6.875%, 04/30/36 500 365
5.750%, 04/30/11 (E) 495 482
Visteon
12.250%, 12/31/16 (C) (E) 132 6
8.250%, 08/01/10 (E) 174 9
Yum! Brands
6.875%, 11/15/37 710 589
-------------
41,966
-------------
CONSUMER STAPLES -- 1.0%
Altria Group
9.950%, 11/10/38 380 380
9.700%, 11/10/18 4,235 4,617
Anheuser-Busch
5.050%, 10/15/16 940 845
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19 (C) 1,980 1,974
CVS Caremark
9.350%, 01/10/23 (C) 8,600 2,602
Diageo Capital
7.375%, 01/15/14 5,695 6,257
Dr Pepper Snapple Group
6.820%, 05/01/18 1,470 1,387
General Mills
6.000%, 02/15/12 750 791
5.250%, 08/15/13 90 93
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 115
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
HJ Heinz
5.350%, 07/15/13 $ 510 $ 526
Kraft Foods
6.750%, 02/19/14 390 422
6.125%, 02/01/18 (E) 1,915 1,919
Philip Morris Capital
7.500%, 07/16/09 1,750 1,746
Procter & Gamble
4.700%, 02/15/19 1,905 1,921
3.500%, 02/15/15 920 920
Reynolds American
6.750%, 06/15/17 1,260 1,076
-------------
27,476
-------------
ENERGY -- 4.2%
Anadarko Finance, Ser B
7.500%, 05/01/31 3,610 2,820
6.750%, 05/01/11 20 20
Anadarko Petroleum
7.625%, 03/15/14 2,290 2,275
6.450%, 09/15/36 5,370 3,753
Apache
6.000%, 09/15/13 2,570 2,747
Baker Hughes
7.500%, 11/15/18 (E) 3,315 3,767
Canadian Natural Resources
5.850%, 02/01/35 800 560
5.700%, 05/15/17 (E) 265 236
Chesapeake Energy
9.500%, 02/15/15 155 151
7.250%, 12/15/18 705 579
6.375%, 06/15/15 500 421
Cie Generale de Geophysique-Veritas
7.750%, 05/15/17 110 84
7.500%, 05/15/15 1,205 952
Conoco Funding
7.250%, 10/15/31 530 541
6.350%, 10/15/11 920 995
ConocoPhillips
6.500%, 02/01/39 (E) 1,445 1,410
5.900%, 10/15/32 (E) 1,090 995
5.900%, 05/15/38 (E) 1,790 1,593
ConocoPhillips Holding
6.950%, 04/15/29 (E) 1,460 1,454
Devon Financing
6.875%, 09/30/11 1,490 1,558
Dynegy Holdings
7.750%, 06/01/19 (E) 1,485 965
El Paso
7.800%, 08/01/31 967 723
7.750%, 01/15/32 (E) 1,830 1,363
6.950%, 06/01/28 6,750 4,655
El Paso Performance-Linked Trust
7.750%, 07/15/11 (C) 5,470 5,243
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Energy Transfer Partners
6.700%, 07/01/18 $ 2,220 $ 2,009
Enterprise Products Operating
9.750%, 01/31/14 4,150 4,560
GAZ Capital
6.510%, 03/07/22 (C) 3,460 2,232
6.212%, 11/22/16 (C) 3,570 2,606
Hess
7.875%, 10/01/29 1,070 968
7.300%, 08/15/31 (E) 4,380 3,810
Husky Energy
6.800%, 09/15/37 370 283
Husky Oil
7.550%, 11/15/16 415 400
KazMunaiGaz Finance MTN
8.375%, 07/02/13 (C) 4,020 3,337
Kerr-McGee
7.875%, 09/15/31 820 667
6.950%, 07/01/24 450 345
Kinder Morgan Energy Partners
7.125%, 03/15/12 90 92
6.950%, 01/15/38 (E) 1,950 1,669
6.750%, 03/15/11 450 459
6.000%, 02/01/17 (E) 3,485 3,273
5.950%, 02/15/18 1,045 951
5.850%, 09/15/12 (E) 1,145 1,131
5.000%, 12/15/13 (E) 2,735 2,582
Knight
6.500%, 09/01/12 2,475 2,308
Nabors Industries
6.150%, 02/15/18 795 622
Occidental Petroleum
7.000%, 11/01/13 4,000 4,466
OPTI Canada
8.250%, 12/15/14 (E) 700 313
7.875%, 12/15/14 880 385
Peabody Energy, Ser B
6.875%, 03/15/13 300 293
Pemex Project Funding Master Trust
6.625%, 06/15/35 1,667 1,192
Petrobras International Finance
7.875%, 03/15/19 635 658
6.125%, 10/06/16 3,240 3,240
5.875%, 03/01/18 950 884
Petro-Canada
6.800%, 05/15/38 685 515
Plains All American Pipeline
6.500%, 05/01/18 1,293 1,118
Ras Laffan Liquefied Natural Gas III
6.332%, 09/30/27 (C) 805 629
SemGroup L.P.
8.750%, 11/15/15 (C) (F) 500 17
Shell International Finance
5.200%, 03/22/17 1,265 1,314
116 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Southern Natural Gas
8.000%, 03/01/32 $ 170 $ 154
Spectra Energy Capital
7.500%, 09/15/38 580 501
Suburban Propane Partners
6.875%, 12/15/13 735 698
Tennessee Gas Pipeline
7.625%, 04/01/37 830 716
Tosco
8.125%, 02/15/30 400 435
TransCanada Pipelines
7.625%, 01/15/39 595 588
7.250%, 08/15/38 (E) 440 411
Transocean
6.000%, 03/15/18 350 330
Valero Energy
9.375%, 03/15/19 840 867
Vastar Resources
6.500%, 04/01/09 3,490 3,490
Weatherford International
9.875%, 03/01/39 330 325
7.000%, 03/15/38 140 102
6.800%, 06/15/37 370 262
6.350%, 06/15/17 (E) 920 788
5.950%, 06/15/12 470 450
Williams
8.750%, 03/15/32 5,860 5,318
7.750%, 06/15/31 (E) 1,880 1,523
Williams, Ser A
7.500%, 01/15/31 90 71
XTO Energy
7.500%, 04/15/12 850 890
6.750%, 08/01/37 310 282
5.750%, 12/15/13 1,520 1,537
5.500%, 06/15/18 2,410 2,239
-------------
111,165
-------------
FINANCIALS -- 13.8%
ABX Financing
6.350%, 10/15/36 (C) 4,250 3,570
Aiful
5.000%, 08/10/10 (C) 1,420 497
Allied World Assurance Holdings
7.500%, 08/01/16 2,500 1,591
Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13 (E) 2,020 1,954
American Express
8.150%, 03/19/38 340 309
6.800%, 09/01/66 (B) (E) 2,010 970
6.150%, 08/28/17 1,200 995
American Express Credit MTN
7.300%, 08/20/13 (E) 500 464
American General Finance MTN
6.900%, 12/15/17 2,820 988
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
American Honda Finance
5.100%, 03/27/12 (C) $ 1,685 $ 1,597
American International Group MTN
6.250%, 03/15/37 (E) 2,560 205
5.850%, 01/16/18 4,340 1,699
4.950%, 03/20/12 880 430
ASIF Global Financing XIX
4.900%, 01/17/13 (C) 390 254
BAC Capital Trust XIV
5.630%, 03/15/12 (B) 130 29
BAC Capital Trust XV
2.061%, 06/01/09 (B) 2,000 521
Bank of America
7.400%, 01/15/11 (E) 1,325 1,235
5.750%, 12/01/17 2,835 2,381
5.650%, 05/01/18 (E) 2,545 2,123
5.420%, 03/15/17 4,300 2,613
5.375%, 06/15/14 (E) 2,555 2,243
Bank of New York Mellon
5.125%, 08/27/13 (E) 900 921
Bank One
7.875%, 08/01/10 3,525 3,620
Banponce Trust I, Ser A
8.327%, 02/01/27 2,590 1,559
Barnett Capital III
1.795%, 02/01/27 (B) 425 189
Bear Stearns
7.250%, 02/01/18 7,370 7,611
6.400%, 10/02/17 500 487
5.350%, 02/01/12 (E) 3,280 3,246
4.500%, 10/28/10 (E) 1,470 1,455
Berkshire Hathaway Finance
5.400%, 05/15/18 (E) 830 824
BP Capital Markets
5.250%, 11/07/13 890 953
BRE Properties
7.450%, 01/15/11+++ 2,430 2,435
Bunge Finance
5.900%, 04/01/17 600 475
Capital One Financial MTN
1.573%, 03/10/09 (B) 1,500 1,453
Caterpillar Financial Services MTN
6.200%, 09/30/13 3,650 3,654
Chase Capital VI
1.795%, 05/01/09 (B) 2,500 991
Chubb
5.750%, 05/15/18 245 242
Citigroup
6.875%, 03/05/38 (E) 8,555 7,459
6.500%, 08/19/13 (E) 6,532 6,008
6.125%, 05/15/18 (E) 3,222 2,781
5.875%, 02/22/33 1,685 880
5.500%, 04/11/13 (E) 3,140 2,759
5.500%, 02/15/17 2,350 1,476
5.000%, 09/15/14 5,905 3,915
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 117
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Citigroup Capital XXI
8.300%, 12/21/57 (B) (E) $ 3,950 $ 1,902
Citigroup Funding
2.000%, 03/30/12 2,575 2,583
CMP Susquehanna
2.453%, 06/07/13 987 347
Countrywide Financial
6.250%, 05/15/16 (E) 1,080 898
5.800%, 06/07/12 2,745 2,384
Countrywide Financial, Cl A
0.816%, 10/15/28 (B) 148 67
Countrywide Home Loans MTN
4.000%, 03/22/11 3,200 2,848
Credit Suisse New York MTN
6.000%, 02/15/18 (E) 4,760 4,152
5.000%, 05/15/13 4,591 4,436
Credit Suisse USA
5.125%, 08/15/15 (E) 1,080 1,002
4.875%, 08/15/10 (E) 2,210 2,213
Depfa ACS Bank
5.125%, 03/16/37 (C) 3,000 1,571
Deutsche Bank
4.875%, 05/20/13 1,830 1,795
Deutsche Bank Capital Funding Trust VII
5.628%, 01/19/49 (B) (C) 2,760 1,163
DI Finance
9.500%, 02/15/13 90 85
Discover Financial Services
6.450%, 06/12/17 250 180
East Lane Re
7.170%, 05/06/11 (B) (C) 650 618
Equity One
3.875%, 04/15/09+++ 7,480 7,463
ERP Operating
5.125%, 03/15/16+++ 830 655
Export-Import Bank of Korea
5.500%, 10/17/12 795 762
Farmers Exchange Capital
7.200%, 07/15/48 (C) 1,465 733
7.050%, 07/15/28 (C) 1,434 870
Farmers Insurance Exchange
8.625%, 05/01/24 (C) 3,017 1,906
First Industrial L.P. MTN
7.500%, 12/01/17 970 499
Fleet Capital Trust II
7.920%, 12/11/26 1,050 443
Ford Motor Credit LLC
12.000%, 05/15/15 4,700 3,562
8.000%, 12/15/16 (E) 4,680 3,076
7.875%, 06/15/10 (E) 7,405 6,120
7.375%, 10/28/09 3,250 2,915
6.570%, 06/15/11 (B) (E) 3,863 2,723
5.700%, 01/15/10 220 188
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Forest City Enterprises
7.625%, 06/01/15 $ 500 $ 215
6.500%, 02/01/17 270 100
General Electric Capital MTN
6.875%, 01/10/39 660 538
6.750%, 03/15/32 (E) 1,665 1,350
6.410%, 11/15/19 (B) (E) 5,870 2,850
5.875%, 01/14/38 (E) 1,300 929
5.625%, 05/01/18 (E) 7,235 6,302
5.450%, 01/15/13 20 19
1.614%, 05/05/09 (B) 3,500 1,652
1.580%, 09/15/14 (B) 4,000 2,887
Genworth Financial
5.650%, 06/15/12 1,280 536
4.950%, 10/01/15 1,595 462
Glen Meadow Pass-Through Trust
6.505%, 02/12/67 (B) (C) 2,200 496
Glitnir Banki HF
7.451%, 09/14/16 (C) (F) 400 --
6.693%, 06/15/16 (C) (F) 3,960 1
6.375%, 09/25/12 (C) (F) 2,330 251
6.330%, 07/28/11 (C) (F) 1,980 213
GMAC LLC
8.000%, 12/31/18 (C) 228 66
7.750%, 01/19/10 (C) (E) 6,633 5,573
7.500%, 12/31/13 (C) 655 315
7.250%, 03/02/11 (C) (E) 2,228 1,650
6.875%, 09/15/11 (C) 3,875 2,754
5.625%, 05/15/09 (E) 14,680 13,895
3.461%, 06/01/09 (B) (C) 2,234 1,117
Goldman Sachs Capital I
6.345%, 02/15/34 (E) 520 307
Goldman Sachs Capital II
5.793%, 12/29/49 (B) 1,906 794
Goldman Sachs Group
7.500%, 02/15/19 (E) 4,309 4,300
6.750%, 10/01/37 2,355 1,593
6.150%, 04/01/18 3,780 3,453
5.950%, 01/18/18 260 236
5.450%, 11/01/12 3,670 3,532
5.350%, 01/15/16 (E) 660 585
5.250%, 10/15/13 (E) 3,565 3,329
5.150%, 01/15/14 (E) 890 812
5.125%, 01/15/15 (E) 755 680
4.500%, 06/15/10 (E) 1,000 998
2.150%, 03/15/12 3,190 3,211
1.854%, 01/12/15 (B) 1,750 1,292
1.523%, 07/22/15 (B) (E) 500 352
Hartford Financial Services Group MTN
6.000%, 01/15/19 245 139
HBOS Capital Funding
6.071%, 06/30/49 (B) (C) 1,330 319
HBOS PLC
6.750%, 05/21/18 (C) (E) 2,100 1,620
118 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
HCP MTN
6.700%, 01/30/18+++ $ 325 $ 219
6.300%, 09/15/16+++ (E) 345 240
6.000%, 01/30/17+++ 4,235 2,850
5.650%, 12/15/13+++ 805 606
Highwoods Realty
7.500%, 04/15/18+++ 1,142 753
Host Marriott LP, Ser Q
6.750%, 06/01/16+++ (E) 455 332
HSBC Finance MTN
8.000%, 07/15/10 3,475 3,277
7.000%, 05/15/12 1,505 1,208
6.375%, 11/27/12 585 472
4.625%, 09/15/10 (E) 650 586
HSBC Holdings PLC
6.800%, 06/01/38 615 523
HSBK Europe
9.250%, 10/16/13 (C) (E) 1,820 983
ICICI Bank
6.375%, 04/30/22 (B) 678 374
6.375%, 04/30/22 (B) (C) 2,320 1,304
6.375%, 04/30/22 960 530
ILFC E-Capital Trust II
6.250%, 12/21/65 (B) (C) 900 144
International Lease Finance MTN
5.750%, 06/15/11 1,235 802
4.750%, 01/13/12 (E) 1,176 686
iStar Financial
5.875%, 03/15/16+++ 795 231
Jackson National Life Global Funding
MTN
5.375%, 05/08/13 (C) 700 600
JPMorgan Chase Capital XIII
2.182%, 09/30/34 (B) 1,000 404
JPMorgan Chase Capital XXV
6.800%, 10/01/37 1,165 773
JPMorgan Chase
7.900%, 10/30/08 (B) (E) 1,900 1,221
6.400%, 05/15/38 (E) 3,500 3,432
6.000%, 01/15/18 225 227
5.750%, 01/02/13 (E) 6,435 6,146
4.750%, 05/01/13 (E) 510 495
JPMorgan Chase Bank
6.000%, 10/01/17 1,600 1,500
JPMorgan Chase Capital XV
5.875%, 03/15/35 1,645 965
Kaupthing Bank
7.625%, 02/28/15 (C) (F) 8,810 352
7.125%, 05/19/16 (C) (F) 1,350 --
5.750%, 10/04/11 (C) (E) (F) 960 49
Landsbanki Islands
6.100%, 08/25/11 (C) (F) 5,570 14
Lazard Group
7.125%, 05/15/15 1,585 1,317
6.850%, 06/15/17 1,361 1,096
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Lehman Brothers Holdings MTN
14.500%, 06/20/16 (B) (F) $ 3,977 $ 457
11.000%, 11/07/16 (B) (F) 4,283 492
8.920%, 02/16/17 (F) 2,370 273
6.750%, 12/28/17 (F) 4,320 --
6.200%, 09/26/14 (F) 1,160 148
5.250%, 02/06/12 (F) 1,220 156
Lehman Brothers Holdings
Capital Trust V MTN
5.857%, 11/29/49 (F) 4,280 --
Liberty Mutual Group
7.500%, 08/15/36 (C) (D) 958 538
6.500%, 03/15/35 (C) 1,525 828
Lincoln National
5.650%, 08/27/12 480 217
Lloyds Banking Group
5.920%, 09/29/49 (C) 5,850 1,053
MBNA Capital A
8.278%, 12/01/26 1,450 622
Merna Reinsurance, Ser B
2.970%, 07/07/10 (B) (C) 3,750 3,455
Merrill Lynch
8.950%, 05/18/17 (B) 1,790 1,338
8.680%, 05/02/17 (B) 3,160 2,706
7.430%, 09/01/22 4 4
6.875%, 04/25/18 560 439
6.110%, 01/29/37 1,405 698
6.050%, 05/16/16 1,270 779
5.700%, 05/02/17 1,300 770
5.450%, 02/05/13 2,390 1,959
MetLife
6.817%, 08/15/18 (E) 2,850 2,447
6.400%, 12/15/36 (E) 1,265 531
MetLife Capital Trust IV
7.875%, 12/15/37 (C) (E) 1,200 636
MetLife Capital Trust X
9.250%, 04/08/38 (B) (C) 1,800 1,008
Metropolitan Life Global Funding I MTN
5.125%, 04/10/13 (C) 580 530
Morgan Stanley
6.750%, 04/15/11 30 30
6.625%, 04/01/18 (E) 5,125 4,887
6.000%, 04/28/15 (E) 630 595
5.950%, 12/28/17 1,125 1,022
5.750%, 08/31/12 (E) 2,320 2,243
5.450%, 01/09/17 (E) 470 411
5.300%, 03/01/13 1,480 1,423
5.050%, 01/21/11 320 315
4.750%, 04/01/14 620 507
1.592%, 10/18/16 (B) 5,020 3,365
1.508%, 05/11/09 (B) (E) 3,625 3,641
1.457%, 01/09/14 (B) 3,800 2,818
1.393%, 01/18/11 (B) (E) 325 293
1.374%, 01/15/10 (B) 1,350 1,291
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 119
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MUFG Capital Finance 1
6.346%, 07/25/49 (B) $ 1,670 $ 1,119
National Australia Bank
5.350%, 06/12/13 (C) 3,500 3,388
National Capital Trust II
5.486%, 12/29/49 (B) (C) 2,231 1,004
National City Bank MTN
5.800%, 06/07/17 1,290 1,174
Nationwide Mutual Insurance
6.600%, 04/15/34 (C) 690 343
5.810%, 06/15/09 (B) (C) 1,975 1,250
NB Capital Trust IV
8.250%, 04/15/27 4,500 1,953
Northern Trust
5.500%, 08/15/13 (E) 200 209
Pacific Life Global Funding
5.150%, 04/15/13 (C) 370 348
PNC Funding
5.250%, 11/15/15 780 703
Power Receivables Financial
6.290%, 01/01/12 2,434 2,382
6.290%, 01/01/12 (C) 200 195
Prime Property Fund
5.600%, 06/15/11+++ (C) 1,384 1,001
5.500%, 01/15/14+++ (C) 1,850 1,216
Rabobank Capital Funding II
5.260%, 12/29/49 (B) (C) 200 90
Rabobank Capital Funding Trust
5.254%, 10/21/16 (B) (C) 420 189
Realogy
12.375%, 04/15/15 (E) 2,950 502
Resona Preferred Global Securities
7.191%, 07/30/49 (B) (C) (E) 580 267
Royal Bank of Scotland Group
7.640%, 09/29/17 (B) 1,000 225
6.990%, 10/05/17 (B) (C) (E) 1,570 690
Shinsei Finance Cayman
6.418%, 01/25/49 (B) (C) (E) 5,180 880
Simon Property Group L.P.
5.750%, 12/01/15+++ 910 703
5.600%, 09/01/11+++ 690 615
SLM MTN
5.625%, 08/01/33 695 278
5.375%, 05/15/14 (E) 4,905 2,542
5.050%, 11/14/14 690 365
5.000%, 10/01/13 4,710 2,505
5.000%, 04/15/15 120 56
Standard Chartered Bank
6.400%, 09/26/17 (C) 715 539
Stingray Pass-Through Trust MTN
5.902%, 01/12/15 (C) 2,723 327
Sumitomo Mitsui Banking
5.625%, 04/15/09 (B) (C) 2,620 1,659
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
SunTrust Preferred Capital I
5.853%, 12/15/11 (B) $ 1,540 $ 385
TNK-BP Finance
7.875%, 03/13/18 (C) 1,570 1,099
7.500%, 07/18/16 100 70
7.500%, 07/18/16 (C) 3,320 2,407
6.625%, 03/20/17 (C) 720 475
Travelers
6.250%, 03/15/37 (B) 1,470 780
5.375%, 06/15/12 370 371
TuranAlem Finance
8.250%, 01/22/37 (C) 4,190 838
TuranAlem Finance BV MTN
8.250%, 01/22/37 3,614 723
UDR MTN
5.000%, 01/15/12+++ 2,000 1,562
Ventas Realty L.P.
9.000%, 05/01/12+++ 180 180
6.500%, 06/01/16+++ 495 428
Wachovia
5.750%, 02/01/18 2,260 2,002
5.625%, 10/15/16 1,950 1,503
5.500%, 08/01/35 1,405 841
5.300%, 10/15/11 (E) 2,155 2,127
5.250%, 08/01/14 4,390 3,645
4.875%, 02/15/14 875 735
Wachovia Bank
6.000%, 11/15/17 4,700 4,101
Wachovia Capital Trust III
5.800%, 03/15/11 (B) (E) 2,230 803
WEA Finance
7.125%, 04/15/18 (C) (E) 5,190 4,055
Wells Fargo
5.375%, 02/07/35 (E) 2,085 1,541
4.375%, 01/31/13 (E) 2,000 1,864
Wells Fargo Capital X
5.950%, 12/15/36 (E) 760 513
Wells Fargo Capital XV
9.750%, 12/31/49 (B) (E) 3,790 2,767
Westfield Capital
4.375%, 11/15/10 (C) 2,103 1,949
Westfield Group
5.400%, 10/01/12 (C) 1,087 904
Woodbourne Capital Trust I
1.633%, 04/08/49 (B) (C) 625 281
Woodbourne Capital Trust II
1.633%, 04/08/49 (B) (C) 625 281
Woodbourne Capital Trust III
1.633%, 04/08/49 (B) (C) 625 281
Woodbourne Capital Trust IV
1.633%, 04/08/49 (B) (C) 625 281
ZFS Finance USA Trust I
6.150%, 12/15/65 (B) (C) 1,522 658
120 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Zuni Mortgage Loan Trust,
Ser 2006-OA1, Cl A1
0.652%, 08/25/36 (B) $ 6,019 $ 5,728
-------------
368,474
-------------
HEALTH CARE -- 1.8%
Aetna
6.000%, 06/15/16 1,570 1,522
Amgen
6.400%, 02/01/39 1,840 1,769
AstraZeneca PLC
5.400%, 09/15/12 1,175 1,252
Bristol-Myers Squibb
5.450%, 05/01/18 245 251
Coventry Health Care
5.950%, 03/15/17 1,260 802
DaVita
6.625%, 03/15/13 1,065 1,033
FMC Finance III
6.875%, 07/15/17 1,600 1,564
GlaxoSmithKline Capital
6.375%, 05/15/38 780 788
5.650%, 05/15/18 5,190 5,323
HCA
9.625%, 11/15/16 50 40
9.250%, 11/15/16 (E) 1,639 1,496
9.125%, 11/15/14 (E) 230 216
7.500%, 11/15/95 3,800 1,773
7.500%, 11/06/33 (E) 440 220
6.300%, 10/01/12 545 455
6.250%, 02/15/13 119 89
5.750%, 03/15/14 (E) 3,090 2,024
Humana
7.200%, 06/15/18 (E) 870 735
Pfizer
7.200%, 03/15/39 1,125 1,206
6.200%, 03/15/19 1,765 1,881
5.350%, 03/15/15 1,445 1,525
4.450%, 03/15/12 480 493
Roche Holdings
6.000%, 03/01/19 (C) 5,785 5,954
Schering-Plough
6.550%, 09/15/37 850 867
6.000%, 09/15/17 365 377
Tenet Healthcare
9.875%, 07/01/14 (E) 4,115 3,210
7.375%, 02/01/13 336 267
Teva Pharmaceutical Finance LLC
6.150%, 02/01/36 (E) 830 766
UnitedHealth Group
6.875%, 02/15/38 (E) 710 630
6.000%, 06/15/17 860 800
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
WellPoint
6.800%, 08/01/12 $ 1,000 $ 1,022
5.875%, 06/15/17 (E) 2,190 2,059
5.250%, 01/15/16 465 424
Wyeth
6.700%, 03/15/11 836 891
5.950%, 04/01/37 (E) 2,680 2,524
-------------
46,248
-------------
INDUSTRIALS -- 2.4%
America West Airlines, Ser 1999-1
7.930%, 01/02/19 922 631
American Airlines, Ser 1999-1
7.024%, 10/15/09 3,630 3,485
Burlington Northern Santa Fe
6.750%, 07/15/11 1,610 1,698
5.750%, 03/15/18 440 434
Cedar Brakes I LLC
8.500%, 02/15/14 (C) 1,135 1,087
Cedar Brakes II LLC
9.875%, 09/01/13 (C) 1,989 2,043
Complete Production Services
8.000%, 12/15/16 1,005 638
Continental Airlines, Ser 1997, Cl 4A
6.900%, 01/02/18 1,576 1,261
Continental Airlines, Ser 1997, Cl 1A
7.461%, 04/01/15 1,796 1,257
Continental Airlines, Ser 1999-2
7.256%, 03/15/20 (E) 2,849 2,393
Continental Airlines, Ser A
5.983%, 04/19/22 (E) 2,036 1,507
Delta Air Lines
6.821%, 08/10/22 1,724 1,155
6.619%, 03/18/11 311 280
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 (E) 6,850 5,960
FedEx, Ser A3
8.400%, 03/23/10 237 240
General Electric
5.000%, 02/01/13 1,140 1,140
Hutchison Whampoa International
7.450%, 11/24/33 (C) 490 443
JetBlue Airways 2004-1 G-1
Pass-Through Trust
2.371%, 12/15/13 (B) 809 630
JetBlue Airways 2004-2 G-1
Pass-Through Trust
1.613%, 08/15/16 (B) 3,927 2,755
Kansas City Southern de Mexico
12.500%, 04/01/16 (C) 800 756
L-3 Communications, Ser B
6.375%, 10/15/15 520 490
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 121
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Systems 2001 Asset Trust
6.664%, 09/15/13 (C) $ 1,142 $ 1,073
Teekay
8.875%, 07/15/11 1,785 1,714
Terex
7.375%, 01/15/14 (E) 320 277
Tyco International
6.875%, 01/15/29 5,836 4,880
Tyco International Group
6.750%, 02/15/11 3,470 3,499
6.375%, 10/15/11 7,150 7,244
6.000%, 11/15/13 165 155
United AirLines, Ser A-3
8.390%, 01/21/11 (D) 578 --
United Parcel Service
4.500%, 01/15/13 (E) 4,270 4,488
United Technologies
6.500%, 06/01/09 2,365 2,380
Waste Management
7.125%, 12/15/17 5,305 5,149
7.100%, 08/01/26 1,710 1,542
-------------
62,684
-------------
INFORMATION TECHNOLOGY -- 0.1%
Cisco Systems
5.900%, 02/15/39 810 744
Freescale Semiconductor
10.125%, 12/15/16 (E) 90 16
8.875%, 12/15/14 95 20
Hewlett-Packard
4.750%, 06/02/14 (E) 2,140 2,164
International Business Machines
7.625%, 10/15/18 280 321
NXP Funding LLC
9.500%, 10/15/15 115 13
Sungard Data Systems
10.250%, 08/15/15 (E) 725 507
Xerox
6.750%, 02/01/17 240 183
6.350%, 05/15/18 970 723
-------------
4,691
-------------
MATERIALS -- 1.0%
Alcoa
6.750%, 07/15/18 505 340
6.000%, 07/15/13 2,860 2,283
Barrick
6.950%, 04/01/19 (E) 2,750 2,762
CodelCo
4.750%, 10/15/14 (C) 960 952
EI Du Pont de Nemours
6.000%, 07/15/18 405 407
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Evraz Group
8.875%, 04/24/13 (C) $ 3,310 $ 2,102
8.875%, 04/24/13 250 159
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17 4,790 4,479
Lafarge
6.150%, 07/15/11 770 678
Potash of Saskatchewan
4.875%, 03/01/13 1,220 1,199
PPG Industries
6.650%, 03/15/18 435 425
5.750%, 03/15/13 435 443
Rio Tinto Finance USA
6.500%, 07/15/18 3,645 3,190
5.875%, 07/15/13 805 722
Steel Dynamics
6.750%, 04/01/15 (E) 810 549
United States Steel
6.050%, 06/01/17 65 40
Vale Overseas
6.875%, 11/21/36 5,100 4,404
Vedanta Resources
8.750%, 01/15/14 (C) 1,960 1,450
Westlake Chemicals
6.625%, 01/15/16 610 427
Weyerhaeuser
6.750%, 03/15/12 (E) 370 356
-------------
27,367
-------------
SOVEREIGN -- 0.7%
Canadian Government
4.000%, 12/01/31 805 898
Deutsche Bundesrepublik
3.750%, 01/04/15 6,320 8,983
RSHB Capital
6.299%, 05/15/17 (C) 4,140 2,865
United Mexican States MTN,
Ser A
7.500%, 04/08/33 176 183
6.750%, 09/27/34 5,858 5,517
-------------
18,446
-------------
TELECOMMUNICATION SERVICES -- 2.3%
America Movil
5.625%, 11/15/17 1,710 1,551
AT&T
6.500%, 09/01/37 (E) 1,380 1,245
6.450%, 06/15/34 (E) 625 563
5.800%, 02/15/19 (E) 340 333
5.500%, 02/01/18 1,870 1,808
5.100%, 09/15/14 2,905 2,915
4.850%, 02/15/14 825 833
4.125%, 09/15/09 (E) 795 802
122 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
AT&T Mobility LLC
6.500%, 12/15/11 $ 1,455 $ 1,533
BellSouth
6.000%, 11/15/34 (E) 850 761
4.750%, 11/15/12 (E) 170 173
British Telecommunications
8.875%, 12/15/30 (E) (H) 580 527
British Telecommunications PLC
9.125%, 12/15/10 (H) 1,250 1,301
Citizens Communications
7.875%, 01/15/27 (E) 555 375
7.125%, 03/15/19 170 133
Deutsche Telekom International
Finance
8.500%, 06/15/10 (E) 925 966
5.750%, 03/23/16 (E) 1,920 1,884
Deutsche Telekom International
Finance BV
6.750%, 08/20/18 (E) 590 593
France Telecom
7.750%, 03/01/11 660 707
Koninklijke
8.000%, 10/01/10 650 672
Level 3 Financing
9.250%, 11/01/14 690 476
Motorola
5.375%, 11/15/12 (E) 1,190 998
New Cingular Wireless Services
8.125%, 05/01/12 1,595 1,739
Qwest
7.500%, 10/01/14 (E) 1,600 1,456
Rogers Communications
7.875%, 05/01/12 550 576
6.800%, 08/15/18 450 450
6.750%, 03/15/15 1,015 999
6.375%, 03/01/14 2,195 2,222
5.500%, 03/15/14 (E) 395 386
Sprint Capital
8.750%, 03/15/32 660 442
8.375%, 03/15/12 3,430 3,104
6.900%, 05/01/19 100 71
Telecom Italia Capital
6.999%, 06/04/18 (E) 2,080 1,885
6.200%, 07/18/11 (E) 1,730 1,699
5.250%, 10/01/15 (E) 90 76
5.250%, 11/15/13 790 710
4.950%, 09/30/14 1,250 1,079
Telefonica Emisiones
5.984%, 06/20/11 (E) 770 792
Telefonica Europe
7.750%, 09/15/10 (E) 1,925 2,010
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Verizon Communications
8.950%, 03/01/39 $ 50 $ 58
8.750%, 11/01/18 50 57
7.350%, 04/01/39 675 658
6.350%, 04/01/19 1,680 1,660
6.100%, 04/15/18 (E) 2,095 2,075
5.500%, 02/15/18 (E) 1,920 1,828
Verizon New Jersey, Ser A
7.850%, 11/15/29 1,135 1,056
5.875%, 01/17/12 (E) 2,175 2,235
Verizon New York, Ser A
6.875%, 04/01/12 660 676
Verizon Wireless Capital
8.500%, 11/15/18 (C) 905 1,034
7.375%, 05/21/28 (C) 2,540 2,723
5.550%, 02/01/14 (C) 1,430 1,431
VIP Finance Ireland for Vimpel
Communications
8.375%, 04/30/13 (C) 3,040 2,204
Virgin Media Finance PLC
9.125%, 08/15/16 80 74
Vodafone Group PLC
5.625%, 02/27/17 720 714
5.350%, 02/27/12 (E) 400 406
Windstream
8.625%, 08/01/16 1,460 1,442
-------------
61,176
-------------
UTILITIES -- 3.3%
AES
8.000%, 06/01/20 (C) 5,690 4,609
8.000%, 10/15/17 (E) 5,690 4,908
7.750%, 10/15/15 1,040 907
Allegheny Energy Supply
8.250%, 04/15/12 (C) (H) 665 673
Aquila
11.875%, 07/01/12 1,370 1,439
Baltimore Gas & Electric
6.125%, 07/01/13 360 359
CMS Energy
6.550%, 07/17/17 285 250
Commonwealth Edison
6.150%, 09/15/17 850 808
Consolidated Edison of New York
7.125%, 12/01/18 289 307
6.650%, 04/01/19 2,730 2,813
Detroit Edison, Ser A
6.625%, 06/01/36 990 966
Dominion Resources
8.875%, 01/15/19 2,135 2,417
5.700%, 09/17/12 3,870 3,945
4.750%, 12/15/10 1,895 1,908
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 123
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
DPL
6.875%, 09/01/11 $ 1,325 $ 1,356
Duke Energy
6.300%, 02/01/14 1,035 1,060
Duke Energy Carolinas
7.000%, 11/15/18 175 201
6.250%, 01/15/12 2,000 2,127
5.625%, 11/30/12 4,000 4,229
Edison Mission Energy
7.625%, 05/15/27 420 252
7.200%, 05/15/19 (E) 1,160 806
7.000%, 05/15/17 880 642
Energy Future Holdings
11.250%, 11/01/17 18,250 7,711
10.875%, 11/01/17 40 26
6.500%, 11/15/24 (E) 1,320 370
Exelon
5.625%, 06/15/35 2,720 1,817
Exelon Generation LLC
6.950%, 06/15/11 (C) 1,825 1,863
FirstEnergy, Ser B
6.450%, 11/15/11 510 510
FirstEnergy, Ser C
7.375%, 11/15/31 5,845 4,756
Florida Power
6.400%, 06/15/38 240 251
Florida Power & Light
5.960%, 04/01/39 645 653
FPL Group Capital
6.000%, 03/01/19 960 983
5.350%, 06/15/13 280 287
Georgia Power
6.000%, 11/01/13 205 222
Intergas Finance BV
6.375%, 05/14/17 220 127
6.375%, 05/14/17 (C) 3,485 2,021
Midamerican Energy Holdings
5.750%, 04/01/18 615 606
Nevada Power, Ser A
8.250%, 06/01/11 1,655 1,736
Nisource Finance
6.800%, 01/15/19 2,261 1,817
NRG Energy
7.250%, 02/01/14 1,610 1,513
Oncor Electric Delivery
6.800%, 09/01/18 (C) (E) 2,340 2,294
Pacific Gas & Electric
8.250%, 10/15/18 210 248
6.050%, 03/01/34 2,110 2,065
5.800%, 03/01/37 800 761
Pacificorp
6.250%, 10/15/37 (E) 805 814
5.650%, 07/15/18 605 625
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Power Contract Financing
6.256%, 02/01/10 (C) $ 991 $ 966
Progress Energy
6.850%, 04/15/12 600 623
Public Service of New Mexico
7.950%, 05/15/18 1,805 1,584
PVNGS II Funding
8.000%, 12/30/15 2,655 2,869
Sempra Energy
9.800%, 02/15/19 200 222
Sonat
7.625%, 07/15/11 2,850 2,753
South Carolina Electric & Gas
6.500%, 11/01/18 215 236
Southern California Edison
6.000%, 01/15/34 (E) 1,505 1,501
Texas-New Mexico Power
9.500%, 04/01/19 (C) 2,880 2,835
TXU, Ser P
5.550%, 11/15/14 540 201
TXU, Ser R
6.550%, 11/15/34 4,135 1,121
Virginia Electric and Power
8.875%, 11/15/38 (E) 350 428
5.400%, 04/30/18 (E) 545 546
-------------
86,943
-------------
Total Corporate Obligations
(Cost $1,083,464) ($ Thousands) 856,636
-------------
ASSET-BACKED SECURITIES -- 7.2%
AUTOMOTIVE -- 0.4%
AmeriCredit Prime Automobile
Receivable, Ser 2007-1, Cl A3
5.270%, 11/08/11 1,469 1,473
Ford Credit Auto Owner Trust,
Ser 2006-C, Cl A4A
5.150%, 02/15/12 345 337
Harley-Davidson Motorcycle Trust,
Ser 2007-2, Cl A4
5.120%, 08/15/13 835 780
Harley-Davidson Motorcycle Trust,
Ser 2008-1, Cl A3A
4.250%, 02/15/13 958 955
Hyundai Auto Receivables Trust,
Ser 2008-A, Cl A4
5.480%, 11/17/14 378 394
Nissan Auto Receivables Owner Trust,
Cl A4
4.740%, 08/17/15 2,411 2,411
124 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Triad Auto Receivables Owner Trust,
Ser 2006-B, Cl A3
5.410%, 08/12/11 $ 1,145 $ 1,124
Triad Auto Receivables Owner Trust,
Ser 2006-C, Cl A3
5.260%, 11/14/11 565 551
Volkswagen Auto Loan Enhanced Trust,
Ser 2008-1, Cl A3
4.500%, 07/20/12 1,243 1,259
-------------
9,284
-------------
CREDIT CARDS -- 0.5%
Capital One Multi-Asset Execution Trust,
Ser 2006-A11, Cl A11
0.646%, 06/17/19 (B) 5,659 3,914
Capital One Multi-Asset Execution Trust,
Ser 2006-A5, Cl A5
0.616%, 01/15/16 (B) 1,214 999
Capital One Multi-Asset Execution Trust,
Ser 2008-A3, Cl A3
5.050%, 02/15/16 3,959 3,703
Chase Issuance Trust, Cl A9
0.586%, 04/15/09 (B) 581 519
Discover Card Master Trust I,
Ser 2006-2, Cl A3
0.636%, 01/19/16 (B) 2,589 2,070
Discover Card Master Trust,
Ser 2007-A2, Cl A2
1.660%, 06/15/15 (B) 107 90
Discover Card Master Trust,
Ser 2008-A4, Cl A4
5.650%, 12/15/15 2,353 2,232
Washington Mutual Master Note Trust,
Ser 2006-A2A
0.606%, 06/15/15 (B) (C) 1,358 1,059
Washington Mutual Master Note Trust,
Ser 2007-A2, Cl A2
0.586%, 05/15/14 (B) (C) 237 205
-------------
14,791
-------------
MORTGAGE RELATED SECURITIES -- 2.1%
ABS Home Equity Loan Trust,
Ser 2007-HE3, Cl A1
1.096%, 11/25/31 (B) 418 324
ACE Securities, Ser 2003-OP1, Cl M1
1.222%, 12/25/33 (B) 1,000 499
ACE Securities, Ser 2005-HE7,
Cl A1B2
0.822%, 11/25/38 (B) 1,263 534
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1
1.572%, 10/27/08 (B) 105 37
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
AFC Home Equity Loan Trust,
Ser 1998-1, Cl 1A2
0.792%, 04/25/28 (B) $ 106 $ 60
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A
0.762%, 03/25/30 (B) 3,666 1,257
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1
1.872%, 03/25/33 (B) 1,193 509
Argent Securities, Ser 2003-W5,
Cl M1
1.222%, 10/25/33 (B) 600 301
Argent Securities, Ser 2003-W9,
Cl M1
1.212%, 03/25/34 (B) 1,287 574
Asset-Backed Funding Certificates,
Ser 2003-WF1, Cl A2
1.599%, 12/25/32 (B) 2,260 1,494
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2
4.300%, 06/25/35 461 442
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5, Cl M1
1.681%, 09/15/33 (B) 1,682 996
Asset-Backed Securities Home Equity,
Ser 2003-HE4, Cl M2
3.556%, 08/15/33 (B) 202 105
Bear Stearns Asset-Backed Securities
Trust, Ser 2000-2, Cl M2
8.280%, 08/25/30 6,079 5,043
Bear Stearns Asset-Backed Securities
Trust, Ser 2003-1, Cl A1
1.022%, 11/25/42 (B) 3,557 2,467
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-AQ2, Cl A1
0.622%, 01/25/37 (B) 4,238 3,311
Bear Stearns Asset-Backed Securities
Trust, Ser 2007-HE2, Cl 1A1
0.622%, 03/25/37 (B) 6,749 5,864
BNC Mortgage Loan Trust,
Ser 2007-1, Cl M1
0.762%, 03/25/37 (B) 6,300 277
BNC Mortgage Loan Trust,
Ser 2007-1, Cl A2
0.582%, 03/25/37 (B) 2,078 1,756
Centex Home Equity, Ser 2006-A,
Cl AV4
0.772%, 06/25/36 (B) 4,917 2,012
Citigroup Mortgage Loan Trust,
Ser 2006-FX1, Cl A1
0.622%, 10/25/36 (B) 829 580
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 125
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Citigroup Mortgage Loan Trust,
Ser 2007-AHL1, Cl A2A
0.562%, 12/25/36 (B) $ 440 $ 382
Conseco Finance, Ser 2001-D, Cl A5
6.190%, 11/15/32 (B) 1,584 1,364
Contimortgage Home Equity Trust,
Ser 1997-1, Cl A9
7.050%, 03/15/28 25 24
Contimortgage Home Equity Trust,
Ser 1997-2, Cl A9
7.090%, 04/15/28 23 23
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 08/25/21 965 750
Countrywide Asset-Backed Certificates,
Ser 2007-S2, Cl A2
5.649%, 05/25/37 (B) 2,329 667
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1
0.992%, 05/25/39 (B) (C) 1,680 1,282
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3
7.775%, 07/25/28 125 93
GMAC Mortgage Loan Trust,
Ser 2007-HE1, Cl A2
5.621%, 08/25/37 (B) 4,497 1,944
Home Equity Asset Trust,
Ser 2003-4, Cl M2
2.922%, 10/25/33 (B) 747 430
LB-UBS Commercial Mortgage Trust,
Ser 200-C4, Cl A2
7.370%, 08/15/26 379 383
Merrill Lynch Mortgage Investors,
Ser 2003-OPT1, Cl A3
0.882%, 07/25/34 (B) 1,227 658
Morgan Stanley Capital I,
Ser 2003-NC8, Cl M1
1.572%, 09/25/33 (B) 1,927 1,011
Morgan Stanley Capital I,
Ser 2007-HE2, Cl A2A
0.562%, 01/25/37 (B) 315 274
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC4, Cl M2
3.522%, 04/25/33 (B) 88 36
Morgan Stanley Home Equity Loans,
Ser 2007-1, Cl A1
0.572%, 12/25/36 (B) 300 267
Nationstar Home Equity Loan Trust,
Ser 2007-C, Cl 2AV2
0.652%, 06/25/37 (B) 5,500 3,112
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A
1.122%, 01/25/32 (B) 400 292
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1
1.172%, 08/25/33 (B) $ 364 $ 177
Option One Mortgage Loan Trust,
Ser 2007-14, Cl 2A3
0.662%, 01/25/37 (B) 9,500 2,333
Option One Mortgage Loan Trust,
Ser 2007-6, Cl 2A4
0.772%, 07/25/37 (B) 4,574 1,078
Residential Funding Mortgage
Securities II, Ser 2000-HI1, Cl AI7
8.290%, 02/25/25 1,809 1,586
Soundview Home Equity Loan Trust,
Cl 2A1
0.602%, 04/27/09 (B) 3,373 2,536
Soundview Home Equity Loan Trust,
Ser 2006-EQ2, Cl A3
0.682%, 01/25/37 (B) 6,450 2,169
Terwin Mortgage Trust, Ser 2005-9HG3,
Cl A1
4.000%, 08/25/35 (B) (C) 839 737
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl A1
4.500%, 03/25/37 (B) (C) 4,165 747
Terwin Mortgage Trust, Ser 2006-4SL,
Cl A1
4.500%, 05/25/37 (B) (C) 4,073 957
Terwin Mortgage Trust, Ser 2006-6,
Cl 1A1
4.500%, 07/25/37 (B) 3,636 529
Terwin Mortgage Trust, Ser 2006-6,
Cl 1A2
4.750%, 07/25/37 (B) 7,600 677
Truman Capital Mortgage Loan Trust,
Ser 2006-1, Cl A
0.782%, 03/25/36 (B) (C) 491 196
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8B
5.000%, 05/25/34 (B) (C) 355 71
-------------
55,227
-------------
OTHER ASSET-BACKED SECURITIES -- 4.2%
Bank of America Manufactured Housing
Contract Trust, Ser 1997-1, Cl M
12.120%, 01/10/28 3,310 2,976
Carrington Mortgage Loan Trust, Cl A1
0.572%, 04/27/09 (B) 3,332 3,041
Chase Funding Mortgage Loan
Asset-Backed Certificates,
Ser 2002-1, Cl 2A2
1.022%, 03/25/32 (B) 1,507 797
126 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Citicorp Residential Mortgage
Securities, Ser 2006-1, Cl A2
5.682%, 07/25/36 $ 1,170 $ 1,115
Citicorp Residential Mortgage
Securities, Ser 2006-2, Cl A2
5.557%, 09/25/36 861 830
Citicorp Residential Mortgage
Securities, Ser 2007-1, Cl A5
6.046%, 03/25/37 1,970 1,037
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 (B) 1,301 1,242
Conseco Finance Securitizations,
Ser 2000-4, Cl A6
8.310%, 05/01/32 (B) 1,292 662
Countrywide Asset-Backed Certificates,
Ser 2003-BC2, Cl 2A1
1.122%, 06/25/33 (B) 38 11
Countrywide Asset-Backed Certificates,
Ser 2004-14, Cl A4
0.802%, 06/25/35 (B) 744 579
Countrywide Asset-Backed Certificates,
Ser 2005-17, Cl 1AF3
5.711%, 08/25/36 (B) 6,450 2,941
Countrywide Asset-Backed Certificates,
Ser 2006-10, Cl MV1
0.782%, 09/25/46 (B) 10,450 560
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl A2
0.856%, 02/15/34 (B) 1,210 454
Countrywide Home Equity Loan Trust,
Ser 2005-F, Cl 2A
0.796%, 12/15/35 (B) 2,229 848
Countrywide Home Equity Loan Trust,
Ser 2007-GW, Cl A
1.106%, 11/15/28 (B) 12,590 5,414
Credit Suisse First Boston Mortgage
Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/31 818 716
Credit-Based Asset Servicing and
Securitization, Ser 2007-CB4,
Cl A1A
0.612%, 04/25/37 (B) 2,423 1,763
Dominos Pizza Master Issuer LLC,
Ser 2007-1, Cl A2
5.261%, 04/25/37 (C) (D) 1,743 929
Embarcadero Aircraft Securitization
Trust, Ser 2000-A, Cl A1
1.036%, 08/15/25 (B) (C) 3,897 1,520
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2004-FF11, Cl 1A2
0.872%, 01/25/35 (B) 138 70
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2005-FF10, Cl A4
0.842%, 11/25/35 (B) $ 7,971 $ 6,084
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2005-FF9, Cl A3
0.802%, 10/25/35 (B) 5,909 4,685
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2006-FFA, Cl A3
0.642%, 09/25/26 (B) 4,883 1,011
First Horizon ABS Trust, Ser 2004-HE2,
Cl A
0.742%, 02/25/34 (B) 1,695 1,233
Ford Credit Floorplan Master Owner
Trust, Ser 2006-4, CL A
0.806%, 06/15/13 (B) (D) 2,249 1,532
GMAC Mortgage Loan Trust,
Ser 2005-HE3, Cl A1VN
0.649%, 02/25/36 (B) 5,648 1,334
Great America Leasing Receivables,
Ser 2006-1, Cl A3
5.340%, 01/15/10 (C) 232 232
Green Tree Financial, Ser 1993-4,
Cl A5
7.050%, 01/15/19 298 260
Green Tree Financial, Ser 1996-5,
Cl A6
7.750%, 07/15/27 922 790
GSAMP Trust, Ser 2003-SEA, Cl A1
0.922%, 02/25/33 (B) 3,192 2,185
HSI Asset Securitization Trust,
Ser 2005-I1, Cl 2A3
0.812%, 11/25/35 (B) 7,101 5,150
HSI Asset Securitization Trust,
Ser 2005-NC1, Cl 2A4
0.842%, 07/25/35 (B) 903 463
Lehman XS Trust, Ser 2005-5N,
Cl 1A1
0.822%, 11/25/35 (B) 5,255 2,082
Lehman XS Trust, Ser 2006-GP1,
Cl A4A
0.852%, 05/25/46 (B) 5,569 648
Lehman XS Trust, Ser 2007-1,
Cl WF1
7.000%, 01/25/37 2,681 1,458
Lehman XS Trust, Ser 2007-9,
Cl 1A1
0.642%, 05/25/37 (B) 10,032 7,037
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3
0.852%, 01/25/46 (B) 1,306 607
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 127
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Master Specialized Loan Trust,
Ser 2007-2, Cl A
0.872%, 05/25/37 (B) (C) $ 9,439 $ 3,776
Merrill Lynch Mortgage Investors,
Ser 2005-SL3, Cl A1
0.752%, 07/25/36 (B) 493 287
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2D
5.895%, 03/25/37 5,200 1,894
Merrill Lynch Mortgage Investors,
Ser 2007-MLN1, Cl M1
0.922%, 03/25/37 (B) 3,010 126
Merrill Lynch Mortgage Investors,
Ser 2007-SL1, Cl A1
0.822%, 02/25/37 (B) 6,244 534
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 4,706 3,328
Morgan Stanley Dean Witter Capital
Heloc Trust, Ser 2005-1, Cl A
0.712%, 07/25/17 (B) 573 306
Nelnet Student Loan Trust,
Ser 2008-4, Cl A4
2.639%, 04/25/24 (B) 2,740 2,380
Oncor Electric Delivery Transition Bond,
Ser 2003-1, Cl A2
4.030%, 02/15/12 1,258 1,271
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1
1.617%, 12/25/33 (B) 188 70
Residential Asset Mortgage Products,
Ser 2003-RS2, Cl AII
1.202%, 03/25/33 (B) 65 26
Residential Asset Mortgage Products,
Ser 2007-RS1, Cl A1
0.602%, 02/25/37 (B) 2,482 2,210
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A
0.622%, 02/25/36 (B) (C) 518 500
Saco I, Ser 2005-9, Cl A1
0.772%, 12/25/35 (B) 967 316
Saco I, Ser 2005-WM3, Cl A1
1.042%, 09/25/35 (B) 962 319
Saco I, Ser 2006-6, Cl A1
0.652%, 06/25/36 (B) 3,760 253
SLC Student Loan Trust, Ser 2006-2,
Cl B
1.550%, 12/15/39 (B) 5,250 3,769
SLM Student Loan Trust, Cl A5
1.269%, 01/27/25 (B) 321 275
SLM Student Loan Trust, Cl A3
1.279%, 01/25/37 (B) 255 212
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
SLM Student Loan Trust, Ser 2005-6,
Cl A5B
2.359%, 07/27/26 (B) $ 3,532 $ 3,322
SLM Student Loan Trust, Ser 2006-9,
Cl B
1.389%, 01/25/41 (B) 4,000 3,090
SLM Student Loan Trust, Ser 2006-C,
Cl C
1.450%, 12/15/39 (B) 4,000 1,833
SLM Student Loan Trust, Ser 2008-6,
Cl A4
2.259%, 10/25/14 (B) 519 471
Small Business Administration,
Ser 2003-P10A, Cl 1
4.524%, 02/10/13 1,796 1,832
Structured Asset Investment Loan Trust,
Ser 2003-BC4, Cl M2
3.522%, 06/25/33 (B) 129 65
Structured Asset Receivables Trust,
Ser 2003-1, Cl CTFS
1.632%, 01/21/10 (B) (C) 2,161 1,815
Structured Asset Securities,
Ser 2006-GEL4, Cl A1
0.642%, 10/25/36 (B) (C) 2,236 1,704
Structured Asset Securities,
Ser 2007-BC2, Cl A2
0.612%, 03/25/37 (B) 7,839 6,904
Structured Asset Securities,
Ser 2007-BC4, Cl A3
0.772%, 11/25/37 (B) 5,114 4,083
Structured Asset Securities,
Ser 2007-TC1, Cl A
0.822%, 04/25/31 (B) (C) 461 255
Swift Master Auto Receivables Trust,
Ser 2007-1, Cl A
0.656%, 06/15/12 (B) (D) 940 682
-------------
112,204
-------------
Total Asset-Backed Securities
(Cost $323,856) ($ Thousands) 191,506
-------------
U.S. TREASURY OBLIGATIONS -- 6.9%
U.S. Treasury Bills
0.272%, 05/28/09 (A) 690 690
U.S. Treasury Bonds
8.875%, 02/15/19 2,047 3,089
7.125%, 02/15/23 (E) 800 1,125
6.125%, 11/15/27 200 269
5.375%, 02/15/31 (E) 11,253 14,188
5.000%, 05/15/37 50 63
4.750%, 02/15/37 399 478
4.500%, 02/15/36 to 05/15/38 3,519 4,100
128 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
U.S. Treasury Bonds TIPS (J)
3.875%, 04/15/29 (I) $ 7,480 $ 12,339
3.625%, 04/15/28 (I) 10,070 16,206
2.500%, 07/15/16 3,340 3,732
2.375%, 01/15/25 to 01/15/27 (E) 36,223 41,587
2.000%, 01/15/16 to 01/15/26 (E) 8,491 9,246
1.750%, 01/15/28 (I) 19,237 18,564
U.S. Treasury Notes
4.750%, 08/15/17 402 470
4.000%, 08/15/18 1,274 1,416
3.750%, 11/15/18 (E) 14,907 16,255
3.500%, 02/15/18 43 46
2.750%, 02/15/19 (E) 18,842 18,945
2.375%, 03/31/16 1,840 1,852
1.875%, 02/28/14 (E) 14,096 14,250
1.750%, 03/31/14 1,800 1,806
1.500%, 12/31/13 799 797
1.375%, 03/15/12 741 746
0.875%, 02/28/11 1,044 1,046
-------------
Total U.S. Treasury Obligations
(Cost $174,181) ($ Thousands) 183,305
-------------
LOAN PARTICIPATIONS -- 1.2%
Adesa, Term B Loan
2.660%, 09/22/13 960 679
Allison Transmission, Term B Loan
8.030%, 08/07/14 1,985 1,319
Aramark
3.334%, 01/31/14 931 810
2.025%, 01/26/14 (B) 61 53
Ashmore Energy (Synthetic Revolving
Deposits)
4.459%, 03/30/14 1,283 773
3.409%, 03/07/12 144 87
Bausch & Lomb (B)
4.709% 120 102
1.500% 80 68
Bausch & Lomb, Term B Loan
4.709%, 04/11/15 (B) 792 672
Berry Plastics Holding
2.447%, 04/03/15 (B) 987 665
Cablevision, Term B Loan
2.206%, 03/30/13 697 633
Charter Communications, Term B Loan
3.211%, 03/15/14 1,485 1,202
DAE Aviation Holdings, Term B1 Loan
6.276%, 07/31/14 287 141
DAE Aviation Holdings, Term B2 Loan
7.170%, 07/31/14 283 139
DaimlerChrysler Financial Services
North America, Term B Loan
6.000%, 08/03/12 (B) 988 524
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Dollar General, Term B Loan
4.667%, 07/15/14 $ 1,000 $ 884
Education Management, Term C Loan
3.250%, 06/15/13 1,481 1,264
Enterprise GP Holdings, Term B Loan
5.663%, 11/10/14 (B) 1,000 933
First Data, Term B2 Loan
3.222%, 10/15/14 4,789 3,222
Freescale Semiconductor
3.931%, 12/01/13 730 298
General Motors, Term B Loan
5.795%, 12/15/13 990 407
Georgia-Pacific, Term B Loan
4.451%, 12/23/13 1,432 1,266
Harrah's Operating, Term B2 Loan
4.160%, 01/28/15 (B) 744 446
Hertz
4.243%, 12/21/12 (B) 841 630
Hertz LOC (Synthetic)
3.204%, 02/08/12 (B) 152 114
IASIS
4.465%, 05/01/14 692 582
IASIS (Delayed Draw)
4.462%, 05/01/14 239 201
IASIS (Synthetic)
4.704%, 05/01/14 64 54
Iconix, Term B Loan
6.020%, 05/01/14 941 710
Idearc, Term B Loan
3.418%, 11/01/14 987 385
Insight Midwest Holdings LLC,
Term B Loan
2.420%, 04/06/14 675 596
Las Vegas Sands LLC (Delayed Draw)
4.550%, 05/08/14 (B) 367 194
Las Vegas Sands LLC, Term B Loan
4.550%, 05/08/14 (B) 1,633 865
Lodgenet Entertainment, Term B Loan
3.460%, 04/04/14 943 531
Manor Care, Term B Loan
2.974%, 11/15/14 982 723
NewPage
5.312%, 11/05/14 (B) 990 676
Petco Animal Supplies, Term B Loan
5.018%, 11/15/13 992 862
Regal Cinemas, Term B Loan
3.209%, 10/19/10 987 918
Royalty Pharma, Term B Loan
3.709%, 05/15/14 987 913
Sunguard, Term B Loan
2.660%, 08/15/12 1,234 1,040
Telesat Canada, Term B Loan
5.794%, 10/15/14 1,042 909
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 129
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
Face Amount
($ Thousands)
/Contracts/ Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Telesat Canada, Term B Loan
5.670%, 10/15/14 $ 118 $ 15
Texas Competitive Electric Holdings,
Term B2 Loan
6.213%, 10/10/14 (B) 1,985 1,305
Tribune
5.541%, 05/30/09 (B) (F) 366 95
United Airlines
4.575%, 01/12/14 711 336
Univision Communications,
Term B Loan
5.123%, 09/15/14 2,416 1,215
UPC Financing Partnership
2.198%, 03/30/14 1,000 748
Visteon, Term B Loan
4.360%, 06/20/13 1,000 148
-------------
Total Loan Participations
(Cost $44,458) ($ Thousands) 31,352
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.9%
FHLB
0.360%, 05/18/09 (A) 15,090 15,083
0.350%, 04/01/09 (A) 1,305 1,305
FHLMC
5.625%, 11/23/35 4,830 4,982
FNMA
5.250%, 08/01/12 1,860 1,947
2.792%, 05/01/09 (A) 450 450
1.359%, 05/06/09 (A) 975 975
0.360%, 05/05/09 (A) 151 151
-------------
Total U.S. Government Agency Obligations
(Cost $24,530) ($ Thousands) 24,893
-------------
PURCHASED OPTION -- 0.0%
April 2009 90 Day Euro Call,
Expires 04/18/09, Strike Price $98.00* 81 42
-------------
Total Purchased Option
(Cost $26) ($ Thousands) 42
-------------
PREFERRED STOCK -- 0.0%
GMAC 7.000%, 12/31/49* 2,463 490
-------------
Total Preferred Stock
(Cost $--) ($ Thousands) 490
-------------
COMMERCIAL PAPER -- 1.1%
BNP Paribas Finance
0.611%, 04/27/09 9,745 9,741
National Rural Utilities Cooperative
Finance
0.450%, 04/24/09 9,845 9,842
Face Amount
($ Thousands)
/Shares/ Market Value
Description Contracts ($ Thousands)
- ----------- ------------- -------------
Rabobank USA Financial
0.741%, 05/11/09 $ 9,820 $ 9,812
-------------
Total Commercial Paper
(Cost $29,395) ($ Thousands) 29,395
-------------
CASH EQUIVALENTS -- 4.1%
Evergreen Institutional Money
Market Fund, 0.760%** 41,266,490 41,266
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
0.250%++** 67,354,693 67,355
-------------
108,621
-------------
Cash Equivalents
(Cost $108,621) ($ Thousands) 108,621
-------------
AFFILIATED PARTNERSHIP -- 9.8%
SEI Liquidity Fund, L.P.,
0.810%++** (G) 265,393,581 260,143
-------------
Total Affiliated Partnership
(Cost $265,394) ($ Thousands) 260,143
-------------
Total Investments -- 126.1%
(Cost $3,844,139) ($ Thousands) $ 3,352,921
=============
WRITTEN OPTIONS* -- 0.0%
April 2009 90 Day Euro Put,
Expires 04/18/09, Strike Price $116.00 (51) (2)
June 2009 90 Day Euro Put,
Expires 06/20/09, Strike Price $97.25 (108) (2)
June 2009 90 Day Euro Put,
Expires 06/20/09, Strike Price $98.75 (89) (17)
June 2009 U.S. 10 Year Treasury Note Call,
Expires 05/16/09, Strike Price $124.00 (54) (81)
June 2009 U.S. 10 Year Treasury Note Call,
Expires 05/16/09, Strike Price $125.00 (23) (24)
June 2009 U.S. 10 Year Treasury Note Put,
Expires 05/16/09, Strike Price $116.00 (212) (25)
June 2009 U.S. 10 Year Treasury Note Put,
Expires 05/16/09, Strike Price $119.00 (55) (12)
June 2009 U.S. 10 Year Treasury Note Put,
Expires 05/16/09, Strike Price $124.00 (52) (74)
June 2009 U.S. 30 Year Treasury Bond Call,
Expires 05/16/09, Strike Price $131.00 (47) (105)
June 2009 U.S. 10 Year Treasury Note Call,
Expires 05/16/09, Strike Price $127.00 (55) (23)
-------------
Total Written Options
(Premiums Received $(736)) ($ Thousands) (365)
-------------
130 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
A summary of outstanding swap agreements held by the Fund at March 31, 2009, 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)
- ------------ ------------------------------------------ ---------- -------- ----------- ------------- ---------------
Barclays Bank PLC ABX.HE.AAA 07-2 Index Sell 0.76% 01/25/38 $(4,500) $(1,322)
Barclays Bank PLC ABX.HE.PENAAA 07-2 Index Sell 0.76 01/25/38 (2,500) (178)
Barclays Bank PLC ABX.HE.PENAAA 07-2 Index Sell 0.76 01/25/38 (2,000) (123)
Citigroup ABX.HE.AAA 06-2 Index Sell 0.11 05/25/46 (1,350) (436)
Citigroup ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (5,795) (3,373)
Citigroup ABX.HE.PENAAA 07-2 Index Sell 0.76 01/25/38 (2,900) (89)
Citigroup Arrow Electronics Inc., 6.875%, 06/01/18 Buy (0.82) 03/20/14 965 18
Citigroup CMBX-NA-AAA 5 Buy (0.35) 02/15/51 1,645 196
Citigroup CMBX-NA-AAA 5 Buy (0.35) 02/15/51 6,360 143
Citigroup Darden Restaurants Inc., 6.000%, 08/15/35 Buy (2.73) 03/20/14 440 (19)
Citigroup Darden Restaurants Inc., 7.125%, 02/01/16 Buy (2.40) 03/20/15 800 (32)
Citigroup Hewlett Packard Co., 5.400%, 03/01/17 Buy (0.72) 03/20/14 965 (6)
Citigroup Lowes Companies Inc., 8.250%, 06/01/10 Buy (1.20) 03/20/14 3,025 26
Citigroup Lowes Companies Inc., 5.875%, 12/16/36 Buy (2.67) 03/20/14 2,900 (114)
Citigroup Nordstrom Inc., 6.950%, 03/15/28 Buy (3.15) 03/20/14 240 8
Citigroup Pulte Homes Inc., 5.250%, 01/15/14 Buy (3.88) 12/20/12 2,200 (77)
Citigroup Pulte Homes Inc., 5.250%, 01/15/14 Buy (3.91) 12/20/12 1,150 (42)
Citigroup Toll Brothers 6.875%, 11/15/12 Buy (2.83) 12/20/12 1,000 (32)
Credit Suisse ABX.HE.AAA 06-1 Index Sell 0.09 08/25/37 (2,000) (394)
Credit Suisse ABX.HE.AAA 06-2 Index Sell 0.17 05/25/46 (2,550) (296)
Credit Suisse ABX.HE.AAA 06-2 Index Sell 0.17 05/25/46 (3,500) (433)
Credit Suisse CMBX-NA-AAA 2 Buy (0.07) 03/15/49 3,310 650
Credit Suisse CMBX-NA-AAA 4 Buy (0.35) 02/17/51 1,500 347
Credit Suisse General Electric Corp., 5.625%, 09/15/17 Sell 6.55 12/20/10 (1,480) (51)
Deutsche Bank Centex 5.250%, 06/15/15 Buy (4.40) 12/20/13 125 (1)
Deutsche Bank CMBX-NA-AAA 3 Buy (0.08) 12/13/49 1,500 307
Deutsche Bank Darden Restaurants Inc., 6.000%, 08/15/35 Buy (2.25) 03/20/14 1,075 (23)
Deutsche Bank Darden Restaurants Inc., 7.125%, 02/01/16 Buy (2.25) 03/20/13 400 (7)
Deutsche Bank Nordstrom Incorporated 6.950%, 03/15/28 Buy (2.10) 03/20/14 2,875 220
Deutsche Bank Pulte Homes Inc., 5.250%, 01/15/14 Buy (4.00) 03/20/15 1,500 (112)
Deutsche Bank Pulte Homes Inc., 5.250%, 01/15/14 Buy (4.62) 03/20/13 1,500 (98)
Goldman Sachs ABX.HE.AAA 06-2 Index Sell 0.17 05/25/46 (2,500) (297)
Goldman Sachs ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (2,700) (669)
Goldman Sachs ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (1,300) (293)
Greenwich Capital Markets ABX.HE.AAA 06-2 Index Sell 0.17 05/25/46 (2,000) (232)
Greenwich Capital Markets ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (1,450) (327)
JPMorgan Chase Bank CMBX-NA-AAA 1 Buy (0.10) 10/12/52 3,310 541
JPMorgan Chase Bank Morgan Stanley, 6.600%, 04/01/12 Buy (0.91) 12/20/12 2,200 223
Merrill Lynch Centex Corp., 5.250%, 06/15/15 Buy (3.56) 12/20/12 1,350 37
Merrill Lynch Centex Corp., 5.250%, 06/15/15 Buy (3.65) 12/20/12 925 23
Merrill Lynch Toll Brothers 6.875%, 11/15/12 Buy (2.83) 12/20/12 1,435 (46)
Merrill Lynch Toll Brothers 6.875%, 11/15/12 Buy (2.83) 12/20/12 2,450 (75)
Morgan Stanley ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (1,700) (436)
Morgan Stanley ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (3,800) (942)
Morgan Stanley ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (1,000) (307)
Morgan Stanley Darden Restaurants Inc., 7.125%, 02/01/16 Buy (2.25) 03/20/13 400 (7)
Morgan Stanley Midamerican Energy Corp., 4.625%, 10/15/13 Sell 4.00 03/20/11 (2,800) (8)
-------
$(8,158)
=======
INTEREST RATE SWAPS
NET UNREALIZED
APPRECIATION
NOTIONAL AMOUNT (DEPRECIATION)
COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------ --------------- ------------- ---------------- --------------- -------------
Barclays Bank PLC 3.13% 3-Month LIBOR 11/25/39 $ 5,870,000 $ 222
Barclays Bank PLC 4.02% 3-Month LIBOR 10/27/39 8,710,000 (1,148)
Barclays Bank PLC 3-Month LIBOR 3.34% 11/25/14 24,400,000 945
Barclays Bank PLC 3-Month LIBOR 3.86% 10/27/14 33,130,000 2,144
Citigroup 4.31% 3-Month LIBOR 10/30/39 12,380,000 (2,332)
Citigroup 3-Month LIBOR 4.29% 10/30/14 45,760,000 3,886
Citigroup 3-Month LIBOR 4.04% 12/15/10 7,360,000 418
Deutsche Bank 3-Month EURIBOR 4.40% 05/31/12 9,091,000 861
Merrill Lynch 3-Month LIBOR 3.40% 02/26/13 4,556,000 256
Merrill Lynch 3-Month LIBOR 3.70% 02/22/13 9,086,000 617
Merrill Lynch 3-Month LIBOR 3.95% 12/15/10 21,760,000 1,200
-------
$ 7,069
=======
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 131
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2009
A summary of the open futures contracts held by the Fund at March 31, 2009, 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)
- -------- ------------ ---------- --------------
90-Day Euro$ 66 Jun-2009 $ 675
90-Day Euro$ 466 Sep-2009 1,319
90-Day Euro$ (17) Dec-2009 (23)
90-Day Euro$ (1) Mar-2010 (1)
90-Day Euro$ (17) Jun-2010 (125)
90-Day Euro$ 20 Sep-2010 2
90-Day Euro$ (17) Dec-2010 (122)
90-Day Euro$ (17) Mar-2011 (117)
90-Day Euro$ (17) Jun-2011 (112)
Euro-Bund 45 Jun-2009 31
U.S. 10-Year Note (1,362) Jun-2009 (3,456)
U.S. 2-Year Note 179 Jul-2009 173
U.S. 5-Year Note 2,906 Jun-2009 4,403
U.S. Long Treasury Bond (169) Jun-2009 (490)
-------
$ 2,157
=======
A summary of the outstanding forward foreign currency contracts held by the Fund
at March 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- -------- ----------- ----------- --------------
5/12/09 EUR 7,805 USD 10,091 $ (271)
5/12/09 GBP 6,740 USD 9,851 191
5/12/09 USD 8,436 GBP 6,010 178
------
$ 98
======
Description
Percentages are based on a Net Assets of $2,656,012 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
++ Investment in Affiliated Security (see Note 3).
+++ Real Estate Investment Trust
(A) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(B) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effects as of March 31, 2009. The date reported on the
Schedule of Investments is the next reset date.
(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) Securities considered illiquid. The total value of such securities as of
March 31, 2009 was $8,048 ($ Thousands) and represented 0.30% of Net
Assets.
(E) This security or a partial position of this security is on loan at March
31, 2009.The total value of securities on loan at March 31, 2009 was
$255,256 ($ Thousands).
(F) Security in default on interest payments.
(G) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2009
was $260,143 ($ Thousands).
(H) Security considered illiquid and restricted. The total market value of such
securities as of March 31, 2009 was $673 ($ Thousands) and represented
0.03% of Net Assets.
(I) Security, or a portion thereof, has been pledged as collateral on futures
and options.
(J) Face Amount represents Original Face Amount, prior to any inflation
adjustments.
ABS -- Asset-Backed Security
ARM -- Adjustable Rate Mortgage
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
GNMA -- Government National Mortgage Association
IO -- Interest Only -- face amount represents notional amount
LIBOR -- London Interbank Offered Rate
LLC -- Limited Liability Company
L.P. -- Limited Partnership
MTN -- Medium Term Note
PLC -- Public Limited Company
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TIPS -- Treasury Inflation Protected Security
USD -- United States Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
132 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
High Yield Bond Fund
March 31, 2009
(BAR CHART)
SECTOR WEIGHTINGS#:
Consumer Discretionary 16.5%
Affiliated Partnership 15.7%
Energy 10.1%
Telecommunication Services 8.9%
Financials 8.9%
Loan Paricipants 7.7%
Cash Equivalent 7.1%
Materials 6.1%
Health Care 5.1%
Industrials 4.9%
Utilities 3.5%
Information Technology 2.8%
Consumer Staples 2.2%
Preferred Stock 0.2%
Convertible Bond 0.2%
Common Stock 0.1%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CORPORATE OBLIGATIONS -- 77.9%
CONSUMER DISCRETIONARY -- 19.4%
Adelphia Communications
(Escrow Security)
10.250%, 06/15/11 $ 150 $ 2
0.000%, 01/15/09 225 3
Adelphia Communications
(Escrow Security), Ser B
0.000%, 02/15/04 25 --
American Greetings
7.375%, 06/01/16 600 294
AmeriGas Partners
7.125%, 05/20/16 1,080 1,015
Amscan Holdings
8.750%, 05/01/14 1,185 770
ArvinMeritor
8.750%, 03/01/12 (A) 1,405 506
Asbury Automotive Group
7.625%, 03/15/17 150 71
Ashtead Capital
9.000%, 08/15/16 (B) 2,635 1,502
Bausch & Lomb
9.875%, 11/01/15 (B) 1,695 1,348
Beazer Homes USA
6.875%, 07/15/15 2,155 463
Black & Decker
8.950%, 04/15/14 300 296
Blockbuster
9.000%, 09/01/12 (A) 2,100 945
Bonten Media Acquisition
9.000%, 06/01/15 (B) 275 47
Boyd Gaming
7.125%, 02/01/16 (A) 1,735 937
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Brands
6.900%, 07/15/17 $ 550 $ 378
Broder Brothers, Ser B
11.250%, 10/15/10 (A) 1,260 195
Brown Shoe
8.750%, 05/01/12 1,100 891
Burlington Coat Factory Warehouse
11.125%, 04/15/14 2,275 705
Caesars Entertainment
7.875%, 03/15/10 (A) 600 240
Carrols
9.000%, 01/15/13 945 813
CCH I Holdings LLC
11.750%, 05/15/14 (A) (C) 150 2
11.125%, 01/15/14 (C) 700 6
11.000%, 10/01/15 (C) 225 22
11.000%, 10/01/15 (C) 3,397 365
9.920%, 04/01/14 (C) 175 2
CCH II
10.250%, 10/01/13 (B) (C) 1,052 915
CCH II LLC
10.250%, 09/15/10 (C) 275 248
10.250%, 09/15/10 (C) 200 178
CCO Holdings LLC
8.750%, 11/15/13 (A) (C) 3,225 2,693
Centex
5.125%, 10/01/13 275 217
4.550%, 11/01/10 885 805
Charter Communications Operating
10.875%, 09/15/14 (A) (B) (C) 2,860 2,774
8.375%, 04/30/14 (B) (C) 915 805
8.000%, 04/30/12 (A) (B) (C) 3,300 3,019
Choctaw Resort Development Enterprise
7.250%, 11/15/19 (B) 998 284
Cinemark
9.750%, 03/15/14 (D) 450 424
Claire's Stores
9.625%, 06/01/15 (A) 2,246 449
9.250%, 06/01/15 (A) 475 145
0.000%, 05/27/14 1,520 613
Community Health Systems
8.875%, 07/15/15 (A) 4,330 4,092
Cooper-Standard Automotive
8.375%, 12/15/14 550 39
Couche-Tard US
7.500%, 12/15/13 3,938 3,869
COX Enterprises
7.375%, 06/15/09 (B) 2,900 2,921
CSC Holdings
8.625%, 02/15/19 (A) (B) 2,405 2,315
8.500%, 06/15/15 (A) (B) 914 893
8.500%, 04/15/14 (A) (B) 1,713 1,687
6.750%, 04/15/12 (A) 325 313
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 133
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Dana (Escrow Security)
0.000%, 03/01/09 $ 350 $ 9
0.000%, 03/01/29 850 21
0.000%, 03/15/28 200 5
0.000%, 03/15/08 100 3
Denny's
10.000%, 10/01/12 (A) 295 255
Dex Media
9.000%, 11/15/13 (A) (D) 4,055 507
8.000%, 11/15/13 325 41
Dex Media West, Ser B
9.875%, 08/15/13 3,600 720
8.500%, 08/15/10 1,050 525
DirecTV Holdings
8.375%, 03/15/13 537 543
7.625%, 05/15/16 3,230 3,165
6.375%, 06/15/15 2,765 2,606
Dollar General
11.875%, 07/15/17 200 197
10.625%, 07/15/15 (A) 1,700 1,696
DR Horton
6.500%, 04/15/16 225 177
6.000%, 04/15/11 745 689
5.875%, 07/01/13 865 709
Echostar DBS
7.750%, 05/31/15 4,540 4,177
7.125%, 02/01/16 (A) 4,360 3,902
6.625%, 10/01/14 560 501
6.375%, 10/01/11 740 714
El Dorado Casino Shreveport PIK
10.000%, 08/01/12 (A) 1,193 930
Erac USA Finance
6.375%, 10/15/17 (B) 540 348
Expedia
8.500%, 07/01/16 (B) 1,140 969
Eye Care Centers of America
10.750%, 02/15/15 700 637
Fontainebleau Las Vegas Holdings
11.000%, 06/15/15 (B) 3,125 94
Ford Motor
7.450%, 07/16/31 (A) 1,425 452
6.500%, 08/01/18 2,775 805
GameStop
8.000%, 10/01/12 (A) 1,220 1,238
Gaylord Entertainment
8.000%, 11/15/13 980 647
6.750%, 11/15/14 180 111
General Motors
8.375%, 07/15/33 (A) 4,441 533
8.250%, 07/15/23 (A) 2,275 267
7.700%, 04/15/16 1,212 146
7.125%, 07/15/13 (A) 2,855 407
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
General Nutrition Centers PIK
7.584%, 03/15/14 (E) $ 575 $ 354
Goodyear Tire & Rubber
9.000%, 07/01/15 (A) 1,535 1,182
8.625%, 12/01/11 (A) 837 695
Great Canadian Gaming
7.250%, 02/15/15 (B) 225 162
Group 1 Automotive
8.250%, 08/15/13 200 154
Hanesbrands, Ser B
5.697%, 12/15/14 (E) 3,795 2,524
Harrah's Operating
10.750%, 02/01/16 (A) 4,246 807
5.500%, 07/01/10 50 19
Herbst Gaming
8.125%, 06/01/12 (C) 1,050 1
7.000%, 11/15/14 (C) 1,000 1
Hertz
10.500%, 01/01/16 (A) 680 296
8.875%, 01/01/14 3,955 2,398
8.875%, 01/01/14 (A) 100 61
Inergy
8.750%, 03/01/15 (B) 1,790 1,727
Inn of the Mountain Gods
Resort & Casino
12.000%, 11/15/10 225 24
Invista
9.250%, 05/01/12 (B) 810 725
Isle of Capri Casinos
7.000%, 03/01/14 637 376
Jarden
7.500%, 05/01/17 (A) 4,030 3,244
Lamar Media
9.750%, 04/01/14 (B) 25 24
7.250%, 01/01/13 (A) 1,525 1,313
6.625%, 08/15/15 (A) 945 690
6.625%, 08/15/15 475 342
Lamar Media, Ser B
6.625%, 08/15/15 330 238
Laureate Education
10.000%, 08/15/15 (B) 525 354
LBI Media
11.000%, 10/15/13 (D) 675 228
8.500%, 08/01/17 (B) 195 53
Leslie's Poolmart
7.750%, 02/01/13 550 462
Levi Strauss
9.750%, 01/15/15 (A) 1,062 913
Liberty Media
7.875%, 07/15/09 3,050 2,929
Local Insight Regatta Holdings
11.000%, 12/01/17 1,000 232
134 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
M/I Homes
6.875%, 04/01/12 $ 290 $ 152
Macy's Retail Holdings
8.375%, 07/15/15 860 635
5.900%, 12/01/16 500 317
Mediacom
9.500%, 01/15/13 (A) 860 804
Mediacom Broadband LLC
8.500%, 10/15/15 225 203
MediMedia USA
11.375%, 11/15/14 (B) 775 504
MGM Mirage
13.000%, 11/15/13 (A) (B) 740 551
8.375%, 02/01/11 25 3
7.500%, 06/01/16 (A) 6,195 2,168
6.875%, 04/01/16 (A) 3,210 1,091
6.750%, 04/01/13 (A) 1,650 578
5.875%, 02/27/14 (A) 2,245 786
Mohawk Industries
6.625%, 01/15/16 640 472
Mohegan Tribal Gaming Authority
6.875%, 02/15/15 1,025 256
6.125%, 02/15/13 325 140
Neiman-Marcus Group PIK
9.000%, 10/15/15 (A) 3,095 994
Newell Rubbermaid
10.600%, 04/15/19 330 333
Nielsen Finance
11.625%, 02/01/14 (B) 260 234
Penhall International
12.000%, 08/01/14 (B) 1,850 601
Penn National Gaming
6.750%, 03/01/15 2,985 2,537
Penske Auto Group
7.750%, 12/15/16 2,000 1,000
Perry Ellis International, Ser B
8.875%, 09/15/13 1,326 776
Phillips-Van Heusen
8.125%, 05/01/13 350 332
Pinnacle Entertainment
8.750%, 10/01/13 405 356
8.250%, 03/15/12 460 403
Pokagon Gaming Authority
10.375%, 06/15/14 (B) 1,614 1,340
Quebecor Media
7.750%, 03/15/16 950 722
7.750%, 03/15/16 4,955 3,766
Rainbow National Services
10.375%, 09/01/14 (B) 380 388
Rainbow National Services LLC
8.750%, 09/01/12 (B) 132 132
Rent-A-Center, Ser B
7.500%, 05/01/10 (A) 2,875 2,810
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Rental Services
9.500%, 12/01/14 (A) $ 3,610 $ 1,769
RH Donnelley
11.750%, 05/15/15 (A) (B) 1,126 146
8.875%, 10/15/17 (A) 3,250 179
RH Donnelley, Ser A-1
6.875%, 01/15/13 475 26
RH Donnelley, Ser A-3
8.875%, 01/15/16 375 22
RJ Tower
0.000%, 06/01/13 (A) (C) 174 1
Royal Caribbean Cruises
7.250%, 06/15/16 1,690 794
7.000%, 06/15/13 (A) 685 384
6.875%, 12/01/13 745 402
Ryland Group
6.875%, 06/15/13 780 687
5.375%, 05/15/12 580 505
Sally Holdings LLC
10.500%, 11/15/16 (A) 1,645 1,439
9.250%, 11/15/14 (A) 1,745 1,653
Sealy Mattress
8.250%, 06/15/14 (A) 4,726 1,737
Seminole Indian Tribe of Florida
7.804%, 10/01/20 (B) 720 562
5.798%, 10/01/13 (B) 1,975 1,673
Seneca Gaming
7.250%, 05/01/12 125 80
Service International
7.375%, 10/01/14 (A) 1,490 1,386
7.000%, 06/15/17 1,155 982
6.750%, 04/01/15 960 845
6.750%, 04/01/16 1,075 935
SGS International
12.000%, 12/15/13 1,400 766
Shingle Springs Tribal Gaming Authority
9.375%, 06/15/15 (B) 300 124
Simmons
7.875%, 01/15/14 3,725 577
0.000%, 12/15/14 (D) 5,625 56
Sinclair Broadcast Group
8.000%, 03/15/12 (A) 2,450 1,335
4.875%, 07/15/18 (B) (D) 450 189
Six Flags
9.625%, 06/01/14 (A) 450 40
Sonic Automotive, Ser B
8.625%, 08/15/13 1,628 480
Stanadyne Holdings
10.899%, 02/15/15 (D) 1,575 677
Stanadyne Holdings, Ser 1
10.000%, 08/15/14 450 290
Starwood Hotels & Resorts Worldwide
7.875%, 05/01/12 660 564
6.750%, 05/15/18 1,660 1,096
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 135
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Station Casinos
6.875%, 03/01/16 $ 225 $ 11
6.625%, 03/15/18 1,900 95
Steinway Musical Instruments
7.000%, 03/01/14 (B) 5,170 3,438
Stewart Enterprises
6.250%, 02/15/13 460 386
Sun Media
7.625%, 02/15/13 1,110 633
Tenneco
8.625%, 11/15/14 560 103
8.125%, 11/15/15 (A) 2,445 489
Time Warner Cable
8.250%, 04/01/19 355 365
7.500%, 04/01/14 50 51
Toll
8.250%, 02/01/11 1,315 1,289
8.250%, 12/01/11 670 650
Town Sports International
11.000%, 02/01/14 (D) 1,117 581
Travelport LLC
11.875%, 09/01/16 (A) 5,365 1,583
6.828%, 09/01/14 (E) 2,371 759
TRW Automotive
7.250%, 03/15/17 (A) (B) 2,420 1,004
7.000%, 03/15/14 (A) (B) 1,900 798
United Components
9.375%, 06/15/13 1,290 503
United Rentals North America
6.500%, 02/15/12 556 445
Universal City Florida Holding I
8.375%, 05/01/10 100 35
7.943%, 05/01/10 (E) 1,247 436
Univision Communications
9.750%, 03/15/15 (B) 625 63
Vail Resorts
6.750%, 02/15/14 2,225 1,914
Viacom
5.750%, 04/30/11 2,500 2,435
Vicorp Restaurants
0.000%, 04/15/11 (C) 426 13
Videotron
9.125%, 04/15/18 (A) (B) 800 813
6.875%, 01/15/14 2,720 2,570
6.375%, 12/15/15 420 381
Virgin Media
6.500%, 11/15/16 (B) 315 169
Visant Holding
10.250%, 12/01/13 (D) 4,995 4,645
8.750%, 12/01/13 770 701
-------------
167,933
-------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CONSUMER STAPLES -- 2.6%
Alliance One International
11.000%, 05/15/12 $ 235 $ 218
8.500%, 05/15/12 195 166
B & G Foods
8.000%, 10/01/11 525 491
Central Garden and Pet
9.125%, 02/01/13 (A) 1,220 964
Chiquita Brands International
8.875%, 12/01/15 (A) 1,345 1,009
Constellation Brands
8.375%, 12/15/14 (A) 780 784
8.125%, 01/15/12 (A) 495 495
7.250%, 09/01/16 2,170 2,062
7.250%, 05/15/17 (A) 1,775 1,686
Cott Beverages USA
8.000%, 12/15/11 825 466
Del Monte
8.625%, 12/15/12 690 693
Dole Food
13.875%, 03/15/14 (B) 835 812
7.250%, 06/15/10 200 184
Elizabeth Arden
7.750%, 01/15/14 1,150 817
Fleming
9.250%, 06/15/10 (C) 198 --
0.000%, 04/01/08 (C) 1,010 --
Johnson Diversey Holdings
10.670%, 05/15/13 (D) 800 600
Merisant
9.500%, 07/15/13 (A) (C) 2,300 92
Merisant Worldwide
0.000%, 05/15/14 (C) 1,075 1
Michael Foods
8.000%, 11/15/13 2,765 2,461
National Beef Packing
10.500%, 08/01/11 470 367
NBTY
7.125%, 10/01/15 400 326
New Albertsons
7.500%, 02/15/11 75 74
Pantry
7.750%, 02/15/14 2,550 1,989
Rite Aid
9.500%, 06/15/17 (A) 4,080 938
9.375%, 12/15/15 600 139
8.625%, 03/01/15 900 202
7.700%, 02/15/27 150 20
7.500%, 03/01/17 (A) 1,105 569
6.875%, 12/15/28 (B) 375 49
Smithfield Foods
7.750%, 05/15/13 950 637
7.750%, 07/01/17 100 62
7.000%, 08/01/11 325 250
136 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Spectrum Brands
7.375%, 02/01/15 (A) (C) $ 1,733 $ 433
SuperValu
7.500%, 11/15/14 1,425 1,391
Tyson Foods
10.500%, 03/01/14 (A) (B) 670 683
-------------
22,130
-------------
ENERGY -- 11.8%
Allis-Chalmers Energy
9.000%, 01/15/14 1,842 857
8.500%, 03/01/17 100 43
Arch Western Finance
6.750%, 07/01/13 6,040 5,527
Atlas Energy Resources
10.750%, 02/01/18 (B) 1,300 949
Atlas Pipeline Partners
8.125%, 12/15/15 375 214
Aventine Renewable Energy Holdings
10.000%, 04/01/17 2,750 495
Boardwalk Pipelines
5.200%, 06/01/18 1,715 1,315
Brigham Exploration
9.625%, 05/01/14 750 229
Chaparral Energy
8.875%, 02/01/17 675 233
8.500%, 12/01/15 175 60
Chesapeake Energy
9.500%, 02/15/15 1,715 1,668
7.625%, 07/15/13 325 299
7.500%, 06/15/14 (A) 456 412
7.500%, 09/15/13 (A) 1,425 1,304
7.250%, 12/15/18 1,400 1,150
7.000%, 08/15/14 1,544 1,359
6.875%, 11/15/20 150 117
6.875%, 01/15/16 50 42
6.500%, 08/15/17 (A) 2,270 1,850
6.375%, 06/15/15 470 396
Cie Generale de Geophysique-Veritas
7.750%, 05/15/17 1,045 799
7.500%, 05/15/15 513 405
Cimarex Energy
7.125%, 05/01/17 1,650 1,328
Colorado Interstate Gas
6.800%, 11/15/15 88 82
Compton Petroleum Finance
7.625%, 12/01/13 1,545 487
Copano Energy
7.750%, 06/01/18 (B) 2,890 2,297
Denbury Resources
9.750%, 03/01/16 (A) 930 897
7.500%, 04/01/13 2,840 2,570
7.500%, 12/15/15 1,250 1,088
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Dynegy Holdings
8.375%, 05/01/16 $ 1,250 $ 847
7.750%, 06/01/19 (A) 1,460 949
7.500%, 06/01/15 (A) 4,140 2,826
El Paso
8.250%, 02/15/16 1,605 1,501
8.050%, 10/15/30 375 286
7.875%, 06/15/12 (A) 1,345 1,279
7.800%, 08/01/31 825 616
7.420%, 02/15/37 1,375 957
7.250%, 06/01/18 (A) 3,330 2,830
7.000%, 06/15/17 1,320 1,124
6.875%, 06/15/14 640 570
El Paso Performance-Linked Trust
7.750%, 07/15/11 (B) 725 695
Forest Oil
8.500%, 02/15/14 (B) 1,575 1,461
8.000%, 12/15/11 585 562
7.750%, 05/01/14 455 404
7.250%, 06/15/19 (B) 860 679
Frontier Oil
8.500%, 09/15/16 615 606
6.625%, 10/01/11 100 98
Gulfmark Offshore
7.750%, 07/15/14 875 647
Helix Energy Solutions Group
9.500%, 01/15/16 (B) 3,150 1,859
Hilcorp Energy I
9.000%, 06/01/16 (B) 1,785 1,321
7.750%, 11/01/15 (B) 3,320 2,424
International Coal Group
10.250%, 07/15/14 815 522
Key Energy Services
8.375%, 12/01/14 1,030 649
Mariner Energy
8.000%, 05/15/17 1,180 779
MarkWest Energy Partners
8.750%, 04/15/18 2,375 1,657
MarkWest Energy Partners, Ser B
6.875%, 11/01/14 925 652
Massey Energy
6.875%, 12/15/13 1,690 1,470
Nabors Industries
9.250%, 01/15/19 (B) 2,100 1,991
Newfield Exploration
7.125%, 05/15/18 1,500 1,327
6.625%, 04/15/16 (A) 1,960 1,754
OPTI Canada
8.250%, 12/15/14 (A) 1,980 886
7.875%, 12/15/14 1,340 586
Pacific Energy Partners
7.125%, 06/15/14 225 208
6.250%, 09/15/15 100 86
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 137
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Parker Drilling
9.625%, 10/01/13 $ 236 $ 158
Peabody Energy
7.375%, 11/01/16 825 817
Peabody Energy, Ser B
6.875%, 03/15/13 (A) 3,600 3,510
PetroHawk Energy
10.500%, 08/01/14 (B) 2,225 2,214
9.125%, 07/15/13 1,571 1,508
7.875%, 06/01/15 (B) 1,810 1,593
Petroleum Development
12.000%, 02/15/18 1,820 1,201
PetroProd
10.850%, 05/24/13 500 65
PHI
7.125%, 04/15/13 125 77
Plains Exploration & Production
10.000%, 03/01/16 225 213
7.750%, 06/15/15 75 65
7.625%, 06/01/18 1,045 846
7.000%, 03/15/17 1,045 831
Pride International
7.375%, 07/15/14 2,469 2,432
Quicksilver Resources
8.250%, 08/01/15 1,375 887
7.125%, 04/01/16 700 332
Range Resources
7.250%, 05/01/18 (A) 620 555
6.375%, 03/15/15 455 404
Regency Energy Partners
8.375%, 12/15/13 1,622 1,379
Sabine Pass LNG
7.250%, 11/30/13 (A) 1,400 987
SandRidge Energy
8.625%, 04/01/15 825 536
8.000%, 06/01/18 (B) 1,510 1,110
Seitel
9.750%, 02/15/14 2,200 973
SESI
6.875%, 06/01/14 1,000 810
Southwestern Energy
7.500%, 02/01/18 (A) (B) 1,800 1,737
Swift Energy
7.625%, 07/15/11 3,244 2,465
Targa Resources
8.500%, 11/01/13 225 139
Targa Resources Partners
8.250%, 07/01/16 (B) 875 634
Tennessee Gas Pipeline
8.000%, 02/01/16 (B) 885 885
Tesoro
6.625%, 11/01/15 1,650 1,304
United Refining
10.500%, 08/15/12 675 391
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Valero Energy
9.375%, 03/15/19 $ 680 $ 702
Venoco
8.750%, 12/15/11 2,730 1,488
Whiting Petroleum
7.250%, 05/01/13 730 573
Williams
8.750%, 01/15/20 (B) 75 75
8.125%, 03/15/12 125 127
7.875%, 09/01/21 705 652
7.750%, 06/15/31 500 405
Williams Partners L.P.
7.250%, 02/01/17 (A) 1,440 1,224
Williams, Ser A
7.500%, 01/15/31 325 257
-------------
102,141
-------------
FINANCIALS -- 7.5%
AAC Group Holding
2.856%, 10/01/12 (B) (D) 1,080 610
ACE Cash Express
10.250%, 10/01/14 (B) 775 194
ALH Finance LLC
8.500%, 01/15/13 3,270 2,763
Buffalo Thunder Development Authority
9.375%, 12/15/14 (B) 2,175 131
Calfrac Holdings
7.750%, 02/15/15 (B) 2,850 1,354
Cardtronics
9.250%, 08/15/13 455 291
9.250%, 08/15/13 1,200 768
Cebridge PIK
8.801%, 05/05/14 403 263
E*Trade Financial
12.500%, 11/30/17 590 268
Felcor Lodging L.P.
4.443%, 12/01/11+++ (E) 225 108
Ferrellgas Partners
6.750%, 05/01/14 (A) (B) 1,250 1,050
FireKeepers Development Authority
13.875%, 05/01/15 (B) 325 198
Ford Motor Credit
9.875%, 08/10/11 1,660 1,257
Ford Motor Credit LLC
12.000%, 05/15/15 725 549
9.750%, 09/15/10 200 165
9.203%, 04/15/09 (E) 3,185 3,145
7.800%, 06/01/12 3,310 2,243
7.569%, 01/13/12 (E) 615 387
7.375%, 10/28/09 1,275 1,143
7.250%, 10/25/11 1,090 776
7.000%, 10/01/13 (A) 6,238 4,171
4.361%, 01/15/10 (E) 515 420
138 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Fresenius US Finance II
9.000%, 07/15/15 (B) $ 300 $ 312
Galaxy Entertainment Finance
9.875%, 12/15/12 (B) 1,180 779
Global Cash Access
8.750%, 03/15/12 960 787
GMAC LLC
8.000%, 11/01/31 2,000 743
8.000%, 11/01/31 (A) (B) 1,788 860
7.250%, 03/02/11 (B) 237 175
7.000%, 02/01/12 (B) 63 44
6.875%, 08/28/12 (A) (B) 4,188 2,813
6.875%, 09/15/11 (B) 3,837 2,727
6.750%, 12/01/14 (A) 3,425 1,990
6.625%, 05/15/12 (A) (B) 1,024 687
6.000%, 12/15/11 (B) 987 672
5.625%, 05/15/09 775 734
3.399%, 05/15/09 (E) 1,175 1,116
GrafTech Finance
10.250%, 02/15/12 65 59
Hartford Financial Services Group
8.125%, 06/15/09 (E) 1,250 400
Hawker Beechcraft Acquisition PIK
8.875%, 04/01/15 2,620 295
Hawker Beechcraft Acquisition
9.750%, 04/01/17 (B) 200 34
Hellas Telecommunications
Luxembourg II
10.502%, 01/15/15 (B) (E) 2,250 371
Hexion US Finance
9.750%, 11/15/14 5,750 1,265
7.304%, 11/15/14 (A) (E) 750 146
Host Hotels & Resorts
6.875%, 11/01/14+++ (A) 1,705 1,313
Host Marriott LP
7.125%, 11/01/13+++ 300 242
Host Marriott LP, Ser O
6.375%, 03/15/15+++ (A) 1,190 881
Host Marriott LP, Ser Q
6.750%, 06/01/16+++ (A) 2,575 1,880
HUB International Holdings
9.000%, 12/15/14 (B) 2,350 1,486
Icahn Enterprises
7.125%, 02/15/13 (A) 2,950 2,345
Inergy L.P.
8.250%, 03/01/16 350 333
6.875%, 12/15/14 (A) 855 791
iPayment
9.750%, 05/15/14 750 390
JPMorgan Chase
7.900%, 04/29/49 (E) 635 408
JPMorgan Chase Capital XXV
6.800%, 10/01/37 70 46
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
KAR Holdings
8.750%, 05/01/14 $ 1,930 $ 1,023
6.801%, 05/01/14 (E) 800 376
LaBranche
11.000%, 05/15/12 865 780
Lehman Brothers Holdings MTN
6.875%, 05/02/18 (A) (C) 2,750 330
5.625%, 01/24/13 (C) 825 103
Liberty Mutual Group
10.750%, 06/15/09 (B) (E) 1,325 649
Marlin Water Trust II
0.000%, 07/15/03 (B) (C) 4,200 5
MetLife Capital Trust X
9.250%, 04/08/38 (B) (E) 600 336
Nielsen Finance
5.188%, 08/01/16 (D) 1,900 789
Nielsen Finance LLC
10.000%, 08/01/14 1,490 1,281
Novelis
7.250%, 02/15/15 850 340
7.250%, 02/15/15 100 40
Nuveen Investments
10.500%, 11/15/15 (B) 5,885 1,648
Omega Healthcare Investors
7.000%, 01/15/16+++ 1,300 1,164
Petroplus Finance
7.000%, 05/01/17 (B) 1,310 943
6.750%, 05/01/14 1,130 836
Pinnacle Foods Finance
10.625%, 04/01/17 775 543
9.250%, 04/01/15 (A) 415 330
PXRE Capital Trust I
8.850%, 02/01/27 1,100 696
Realogy
10.500%, 04/15/14 400 112
Senior Housing Properties Trust
7.875%, 04/15/15+++ 671 550
Silicon Valley Bank
5.700%, 06/01/12 325 310
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (B) 975 254
5.384%, 02/01/14 (B) (E) 300 75
Universal City Development Partners
11.750%, 04/01/10 25 21
USB Capital IX
6.189%, 04/15/49 (E) 345 136
Ventas Realty L.P.
9.000%, 05/01/12+++ 675 673
7.125%, 06/01/15+++ 400 360
6.750%, 04/01/17+++ 850 727
6.625%, 10/15/14+++ 375 334
Wells Fargo Capital XIII MTN
7.700%, 12/29/49 (E) 280 133
-------------
65,275
-------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 139
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
HEALTH CARE -- 5.9%
Alliance Imaging
7.250%, 12/15/12 $ 460 $ 442
Biomet
11.625%, 10/15/17 2,795 2,467
10.375%, 10/15/17 6,975 5,894
10.000%, 10/15/17 (A) 2,355 2,331
Bio-Rad Laboratories
6.125%, 12/15/14 950 822
Cooper
7.125%, 02/15/15 1,290 1,171
CRC Health
10.750%, 02/01/16 2,075 1,307
DaVita
6.625%, 03/15/13 (A) 3,250 3,152
DJO Finance
10.875%, 11/15/14 (A) 2,815 2,090
Elan Finance
8.875%, 12/01/13 545 436
7.750%, 11/15/11 (A) 235 197
HCA MTN
9.875%, 02/15/17 (A) (B) 260 246
9.625%, 11/15/16 10,010 7,983
9.250%, 11/15/16 (A) 5,045 4,603
8.700%, 02/10/10 150 149
6.500%, 02/15/16 (A) 1,610 1,054
Healthsouth
8.323%, 06/15/14 (E) 1,140 980
NMH Holdings
9.121%, 06/15/14 (B) (E) 751 421
Psychiatric Solutions
7.750%, 07/15/15 (A) 2,550 2,301
Res-Care
7.750%, 10/15/13 675 596
Select Medical
7.625%, 02/01/15 1,965 1,272
Spheris
11.000%, 12/15/12 1,400 490
Sun Healthcare Group
9.125%, 04/15/15 125 117
Surgical Care Affiliates
8.875%, 07/15/15 (B) 1,415 821
Tenet Healthcare
10.000%, 05/01/18 (B) 730 706
9.875%, 07/01/14 875 683
9.250%, 02/01/15 (A) 3,295 2,537
9.000%, 05/01/15 (B) 635 613
7.375%, 02/01/13 1,020 811
United Surgical Partners International PIK
9.250%, 05/01/17 2,230 1,539
United Surgical Partners International
8.875%, 05/01/17 745 577
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Universal Hospital Services
8.500%, 06/01/15 $ 640 $ 570
5.942%, 06/01/15 (E) 175 127
US Oncology
10.750%, 08/15/14 500 460
9.000%, 08/15/12 500 485
Vanguard Health Holding I
12.744%, 10/01/15 (D) 600 498
VWR Funding
10.250%, 07/15/15 800 544
-------------
51,492
-------------
INDUSTRIALS -- 5.8%
ACCO Brands
7.625%, 08/15/15 4,655 931
Actuant
6.875%, 06/15/17 2,000 1,695
AGY Holding
11.000%, 11/15/14 675 412
Ahern Rentals
9.250%, 08/15/13 125 44
Aleris International
10.000%, 12/15/16 (C) 1,800 1
Aleris International PIK
4.683%, 12/15/14 (C) 725 1
Allied Waste North America
7.875%, 04/15/13 475 473
Allied Waste North America, Ser B
7.125%, 05/15/16 (A) 340 317
Allison Transmission
11.250%, 11/01/15 (B) 375 150
11.000%, 11/01/15 (B) 500 237
American Achievement Group Holding
12.750%, 10/01/12 839 126
American Airlines, Ser 01-1
7.379%, 05/23/16 90 42
American Railcar Industries
7.500%, 03/01/14 300 209
Ames True Temper
10.000%, 07/15/12 (A) 955 477
5.094%, 01/15/12 (E) 1,345 888
Anixter
10.000%, 03/15/14 1,255 1,164
Aramark Services
8.500%, 02/01/15 (A) 3,454 3,178
4.670%, 02/01/15 (E) 350 267
Associated Materials
9.750%, 04/15/12 (A) 715 565
Atrium
15.000%, 12/15/12 (B) 1,406 42
Baker & Taylor
11.500%, 07/01/13 (B) 950 228
140 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Baldor Electric
8.625%, 02/15/17 $ 1,805 $ 1,430
BE Aerospace
8.500%, 07/01/18 (A) 1,100 917
Belden
7.000%, 03/15/17 200 164
Bombardier
8.000%, 11/15/14 (B) 280 205
Building Materials Corp of America
7.750%, 08/01/14 950 653
Casella Waste Systems
9.750%, 02/01/13 1,075 908
Chart Industries
9.125%, 10/15/15 325 237
Complete Production Services
8.000%, 12/15/16 630 400
Cornell
10.750%, 07/01/12 595 564
Corrections Corp of America
7.500%, 05/01/11 205 206
6.750%, 01/31/14 170 163
6.250%, 03/15/13 (A) 1,447 1,386
DR Horton
5.625%, 01/15/16 525 399
Delta Air Lines, Ser 2002-1, Cl C
7.779%, 01/02/12 643 540
Delta Air Lines, Ser 2002-1
8.300%, 12/15/29 (A) 925 6
Deluxe
7.375%, 06/01/15 200 148
Education Management LLC
10.250%, 06/01/16 525 491
Esco
5.871%, 12/15/13 (B) (E) 150 95
FTI Consulting
7.750%, 10/01/16 1,235 1,232
7.625%, 06/15/13 1,073 1,081
General Cable
7.125%, 04/01/17 525 431
Indalex Holding, Ser B
11.500%, 02/01/14 (C) 659 33
Interline Brands
8.125%, 06/15/14 (A) 625 559
J.B. Poindexter
8.750%, 03/15/14 (A) 375 225
K Hovnanian Enterprises
8.625%, 01/15/17 1,920 528
7.500%, 05/15/16 825 227
6.500%, 01/15/14 300 82
6.375%, 12/15/14 250 69
6.250%, 01/15/15 700 189
6.250%, 01/15/16 1,225 331
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Kansas City Southern de Mexico
12.500%, 04/01/16 (B) $ 295 $ 279
9.375%, 05/01/12 420 382
L-3 Communications
7.625%, 06/15/12 275 276
6.125%, 07/15/13 50 48
5.875%, 01/15/15 3,231 2,997
L-3 Communications, Ser B
6.375%, 10/15/15 (A) 524 494
Language Line
11.125%, 06/15/12 50 46
Meritage Homes
7.000%, 05/01/14 75 48
6.250%, 03/15/15 50 30
Mobile Mini
9.750%, 08/01/14 450 334
6.875%, 05/01/15 1,000 690
Moog
7.250%, 06/15/18 (B) 365 337
Mueller Water Products
7.375%, 06/01/17 1,000 515
Nebraska Book
8.625%, 03/15/12 250 140
Neenah Foundary
9.500%, 01/01/17 400 106
Noble Group
6.625%, 03/17/15 (B) 575 374
Northwest Airlines (Escrow Security)
0.000%, 06/01/06 1,575 4
0.000%, 02/01/09 75 --
0.000%, 03/15/08 175 --
0.000%, 11/15/23 (D) 1,200 3
Ply Gem Industries
11.750%, 06/15/13 375 167
Propex Fabrics
10.000%, 12/01/12 (C) 175 --
Quality Distribution
9.000%, 11/15/10 825 264
Quebecor World Capital
8.750%, 03/15/16 (A) (B) (C) 1,915 67
6.125%, 11/15/13 (A) (C) 1,725 30
RBS Global and Rexnord
11.750%, 08/01/16 (A) 1,450 884
8.875%, 09/01/16 2,995 2,246
Sabine Pass LNG
7.500%, 11/30/16 (B) 550 368
Sequa
11.750%, 12/01/15 (B) 975 146
SPX
7.625%, 12/15/14 1,190 1,142
Standard-Pacific
7.750%, 03/15/13 575 311
7.000%, 08/15/15 150 72
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 141
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Swift Transportation
12.500%, 05/15/17 (A) (B) $ 100 $ 22
Terex
8.000%, 11/15/17 (A) 6,975 5,650
Thermadyne Holdings
9.250%, 02/01/14 710 454
Titan International
8.000%, 01/15/12 3,100 2,418
TransDigm
7.750%, 07/15/14 1,775 1,655
UCI Holdings
9.320%, 12/15/13 (E) 1,049 84
United Air Lines
9.125%, 01/15/12 (C) 1,075 --
United Air Lines, Ser 95A1
9.560%, 10/19/18 605 151
0.000%, 04/19/12 385 97
United Air Lines, Ser A
10.670%, 05/01/04 (C) 525 --
Vought Aircraft Industries
8.000%, 07/15/11 3,005 1,172
Waste Management
7.375%, 03/11/19 75 76
6.375%, 03/11/15 150 150
-------------
50,075
-------------
INFORMATION TECHNOLOGY -- 3.2%
Activant Solutions
9.500%, 05/01/16 1,500 919
Advanced Micro Devices
7.750%, 11/01/12 (A) 747 397
Amkor Technology
9.250%, 06/01/16 550 423
7.750%, 05/15/13 (A) 1,620 1,304
7.125%, 03/15/11 (A) 2,400 2,223
Avago Technologies Finance Pte
10.125%, 12/01/13 305 271
Celestica
7.875%, 07/01/11 365 356
7.625%, 07/01/13 645 564
Compucom Systems
12.500%, 10/01/15 (B) 900 522
First Data
9.875%, 09/24/15 (A) 3,540 2,071
Flextronics International
6.500%, 05/15/13 300 267
6.250%, 11/15/14 (A) 2,660 2,248
Freescale Semiconductor
12.500%, 12/15/14 317 166
8.875%, 12/15/14 1,700 357
Freescale Semiconductor PIK
9.125%, 12/15/14 6,130 460
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Innophos
8.875%, 08/15/14 (A) $ 1,245 $ 1,021
Iron Mountain
8.750%, 07/15/18 (A) 1,055 1,047
8.625%, 04/01/13 350 350
8.000%, 06/15/20 1,205 1,121
Lender Processing Services
8.125%, 07/01/16 485 481
MagnaChip Semiconductor
6.875%, 12/15/11 (A) (C) 450 4
Nortel Networks
10.750%, 07/15/16 (A) (B) (C) 600 108
10.125%, 07/15/13 (C) 475 89
NXP Funding LLC
9.500%, 10/15/15 2,880 317
7.875%, 10/15/14 (A) 1,985 462
Open Solutions
9.750%, 02/01/15 (B) 4,295 650
Sanmina-SCI
4.746%, 06/15/14 (B) (E) 1,250 688
4.070%, 06/15/10 (A) (B) (E) 1,699 1,431
Sensata Technologies
8.000%, 05/01/14 1,855 556
Smart Modular Technologies
6.935%, 04/01/12 (E) 1,670 1,319
Sungard Data Systems
10.625%, 05/15/15 (B) 550 481
10.250%, 08/15/15 (A) 6,359 4,451
9.125%, 08/15/13 (A) 1,118 973
-------------
28,097
-------------
MATERIALS -- 7.2%
Abitibi-Consolidated
8.850%, 08/01/30 (A) 125 10
8.550%, 08/01/10 (A) 2,450 208
Abitibi-Consolidated of Canada
6.000%, 06/20/13 1,275 115
AK Steel
7.750%, 06/15/12 (A) 3,500 2,747
Altos Hornos de Mexico, Ser A
0.000%, 04/30/02 (C) 500 55
Altos Hornos de Mexico, Ser B
0.000%, 04/30/04 (C) 900 99
Appleton Papers
9.750%, 06/15/14 700 126
Basell AF SCA
8.375%, 08/15/15 (B) (C) 850 28
Bowater
9.500%, 10/15/12 500 45
Bowater Canada Finance
7.950%, 11/15/11 275 25
BWAY
10.000%, 10/15/10 2,159 2,181
142 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
California Steel Industries
6.125%, 03/15/14 $ 185 $ 129
Cascades
7.250%, 02/15/13 655 365
Catalyst Paper
8.625%, 06/15/11 1,498 685
7.375%, 03/01/14 455 162
Crown Americas
7.625%, 11/15/13 (A) 775 778
Crown Cork & Seal
8.000%, 04/15/23 1,275 1,135
Domtar
9.500%, 08/01/16 275 181
7.875%, 10/15/11 100 81
7.125%, 08/15/15 1,100 737
Evraz Group
9.500%, 04/24/18 (B) 2,875 1,596
8.875%, 04/24/13 (B) 1,225 778
FMG Finance
10.625%, 09/01/16 (A) (B) 2,235 1,877
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17 (A) 6,360 5,946
8.250%, 04/01/15 (A) 2,150 2,059
7.084%, 04/01/15 (E) 1,200 987
Georgia Gulf
9.500%, 10/15/14 225 38
7.125%, 12/15/13 150 24
Georgia-Pacific LLC
8.125%, 05/15/11 (A) 565 561
8.000%, 01/15/24 1,575 1,252
7.700%, 06/15/15 (A) 1,070 968
7.125%, 01/15/17 (A) (B) 1,690 1,563
7.000%, 01/15/15 (A) (B) 3,115 2,913
Glatfelter
7.125%, 05/01/16 1,705 1,454
Graham Packaging
9.875%, 10/15/14 4,603 2,969
8.500%, 10/15/12 100 77
Graphic Packaging International
9.500%, 08/15/13 (A) 1,605 1,148
Huntsman International
7.875%, 11/15/14 (A) 1,855 761
7.375%, 01/01/15 1,025 420
Huntsman LLC
11.500%, 07/15/12 1,555 1,213
Ineos Group Holdings PLC
8.500%, 02/15/16 (B) 3,000 172
Innophos Holdings
9.500%, 04/15/12 (B) 725 507
Intertape Polymer US
8.500%, 08/01/14 800 486
MacDermid
9.500%, 04/15/17 (B) 2,160 745
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Methanex
6.000%, 08/15/15 $ 175 $ 119
Millar Western Forest Products
7.750%, 11/15/13 605 203
Millennium America
7.625%, 11/15/26 (C) 175 2
Momentive Performance Materials
11.500%, 12/01/16 575 108
Mosaic
7.625%, 12/01/16 (A) (B) 2,550 2,499
Mosaic Global Holdings
7.300%, 01/15/28 350 262
Nalco
8.875%, 11/15/13 (A) 1,855 1,781
7.750%, 11/15/11 50 49
Newark Group
9.750%, 03/15/14 825 72
NewPage
10.000%, 05/01/12 (A) 1,045 363
Noranda Aluminium Acquisition PIK
6.595%, 11/15/08 (E) 2,965 919
Noranda Aluminium Holdings PIK
8.345%, 11/17/08 (E) 725 149
Packaging Dynamics Finance
10.000%, 05/01/16 (B) 2,495 1,054
PolyOne
8.875%, 05/01/12 3,095 1,346
Reichhold Industries
9.000%, 08/15/14 (B) 1,969 827
Rock-Tenn
9.250%, 03/15/16 490 489
5.625%, 03/15/13 2,200 1,936
Rockwood Specialties Group
7.500%, 11/15/14 600 507
Ryerson
12.000%, 11/01/15 (A) (B) 990 567
10.568%, 11/01/14 (B) (E) 125 65
Sappi Papier Holding
6.750%, 06/15/12 (B) 700 393
Smurfit-Stone Container Enterprises
8.375%, 07/01/12 (A) (C) 2,470 312
Solo Cup
8.500%, 02/15/14 475 347
Solutia
0.000%, 12/31/99 (A) 230 --
Steel Capital for OAO Severstal
9.750%, 07/29/13 (B) 245 159
Steel Dynamics
7.750%, 04/15/16 (A) (B) 1,930 1,322
7.375%, 11/01/12 1,330 1,037
6.750%, 04/01/15 (A) 475 322
Stone Container Enterprises
8.000%, 03/15/17 (C) 450 54
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 143
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Terra Capital, Ser B
7.000%, 02/01/17 $ 1,315 $ 1,210
Tube City IMS
9.750%, 02/01/15 1,025 156
United States Steel
7.000%, 02/01/18 (A) 1,170 798
6.650%, 06/01/37 150 85
Vedanta Resources
9.500%, 07/18/18 (B) 2,000 1,260
Verso Paper Holdings and Verson Paper
11.375%, 08/01/16 300 70
Vitro
9.125%, 02/01/17 (C) 3,585 820
-------------
62,068
-------------
TELECOMMUNICATION SERVICES -- 10.4%
American Tower
7.500%, 05/01/12 50 50
7.125%, 10/15/12 (A) 910 914
7.000%, 10/15/17 25 25
Centennial Communications
9.633%, 01/01/13 (E) 425 425
8.125%, 02/01/14 575 592
Cincinnati Bell
7.250%, 07/15/13 225 215
7.000%, 02/15/15 760 699
Citizens Communications
9.250%, 05/15/11 (A) 245 249
7.125%, 03/15/19 1,675 1,315
6.625%, 03/15/15 1,480 1,250
6.250%, 01/15/13 445 403
Cricket Communications
10.000%, 07/15/15 (B) 575 553
9.375%, 11/01/14 (A) 7,160 6,820
Crown Castle International
9.000%, 01/15/15 (A) 3,520 3,529
Digicel Group
9.250%, 09/01/12 (B) 1,860 1,641
9.125%, 01/15/15 (A) (B) 771 470
8.875%, 01/15/15 (A) (B) 3,765 2,428
Fairpoint Communications
13.125%, 04/01/18 (B) 1,930 367
GCI
7.250%, 02/15/14 1,525 1,334
Hawaiian Telcom Communications, Ser B
9.750%, 05/01/13 (A) (C) 475 7
Hughes Network Systems
9.500%, 04/15/14 1,065 953
Inmarsat Finance
10.375%, 11/15/12 (D) 1,080 1,107
Intelsat
9.250%, 06/15/16 (B) 950 879
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Intelsat Bermuda
11.250%, 06/15/16 (A) $ 4,630 $ 4,491
Intelsat Jackson Holdings
9.500%, 06/15/16 (B) 1,370 1,288
Intelsat Subsidiary Holding
8.875%, 01/15/15 (B) 2,415 2,252
8.875%, 01/15/15 (A) (B) 2,545 2,361
8.500%, 01/15/13 (B) 1,250 1,178
iPCS
3.295%, 05/01/13 (A) (E) 1,180 885
iPCS PIK
6.051%, 05/01/14 (E) 2,590 1,580
Level 3 Financing
8.750%, 02/15/17 1,625 1,040
5.474%, 02/15/15 (E) 125 64
Lucent Technologies
6.450%, 03/15/29 1,010 384
MetroPCS Wireless
9.250%, 11/01/14 (A) 7,185 6,969
9.250%, 11/01/14 (B) 1,290 1,245
Nextel Communications
6.875%, 10/31/13 850 485
Nordic Telephone Holdings
8.875%, 05/01/16 (B) 3,310 3,095
Orascom Telecom Finance
7.875%, 02/08/14 (B) 2,000 1,280
PAETEC Holding
9.500%, 07/15/15 (A) 1,970 1,379
Primus Telecommunications
8.000%, 01/15/14 (C) 1,650 91
Qwest
7.500%, 10/01/14 960 874
7.250%, 10/15/35 1,200 780
7.250%, 09/15/25 350 231
6.875%, 09/15/33 225 147
Qwest Capital Funding
7.900%, 08/15/10 150 146
7.250%, 02/15/11 410 392
Qwest Communications International
7.250%, 02/15/11 3,005 2,900
Qwest Communications International,
Ser B
7.500%, 02/15/14 (A) 1,120 969
Rogers Wireless
8.000%, 12/15/12 1,575 1,589
Sprint Capital
8.750%, 03/15/32 2,015 1,350
8.375%, 03/15/12 1,350 1,222
6.900%, 05/01/19 5,430 3,828
6.875%, 11/15/28 300 183
Sprint Nextel
6.000%, 12/01/16 (A) 2,770 1,981
144 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Telcordia Technologies
10.000%, 03/15/13 (B) $ 1,825 $ 753
Telesat Canada
12.500%, 11/01/17 (B) 635 470
11.000%, 11/01/15 (B) 560 465
Time Warner Telecom Holdings
9.250%, 02/15/14 1,000 965
VIP Finance Ireland for Vimpel
Communications
9.125%, 04/30/18 (B) 1,265 778
Virgin Media Finance PLC
8.750%, 04/15/14 1,510 1,427
West
11.000%, 10/15/16 (A) 875 582
9.500%, 10/15/14 (A) 2,675 1,862
Wind Acquisition Finance
10.750%, 12/01/15 (B) 2,735 2,708
Windstream
8.625%, 08/01/16 50 49
8.625%, 08/01/16 4,175 4,123
8.125%, 08/01/13 (A) 2,430 2,393
7.000%, 03/15/19 1,000 880
-------------
90,339
-------------
UTILITIES -- 4.1%
AES
9.750%, 04/15/16 (B) 1,620 1,523
8.750%, 05/15/13 (B) 128 126
8.000%, 06/01/20 (B) 595 482
8.000%, 10/15/17 (A) 2,150 1,854
7.750%, 03/01/14 50 45
Calpine Generating
14.320%, 04/01/11 (C) (E) 1,600 152
CMS Energy
8.500%, 04/15/11 305 307
Edison Mission Energy
7.625%, 05/15/27 385 231
7.500%, 06/15/13 1,755 1,386
7.000%, 05/15/17 (A) 4,097 2,991
Elwood Energy
8.159%, 07/05/26 543 414
Energy Future Holdings
11.250%, 11/01/17 820 346
10.875%, 11/01/17 (A) 3,260 2,103
Ipalco Enterprises
7.250%, 04/01/16 (B) 250 221
Mirant (Escrow Security)
0.000%, 07/15/04 450 5
0.000%, 07/15/09 (C) 50 --
Mirant Americas Generation LLC
8.500%, 10/01/21 2,867 2,122
8.300%, 05/01/11 305 296
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Mirant Mid Atlantic Pass-Through
Trust A
8.625%, 06/30/12 $ 487 $ 486
Mirant North America LLC
7.375%, 12/31/13 (A) 2,250 2,036
NRG Energy
7.375%, 02/01/16 (A) 2,815 2,618
7.375%, 01/15/17 4,855 4,515
7.250%, 02/01/14 1,495 1,405
Orion Power Holdings
12.000%, 05/01/10 900 928
Public Service of New Mexico
7.950%, 05/15/18 2,900 2,545
Reliant Energy
7.625%, 06/15/14 (A) 1,225 992
Sierra Pacific Resources
7.803%, 06/15/12 775 750
Tenaska Alabama Partners
7.000%, 06/30/21 (B) 336 259
Texas Competitive Electric Holdings
10.250%, 11/01/15 (A) 7,970 3,985
10.250%, 11/01/15 1,146 573
-------------
35,696
-------------
Total Corporate Obligations
(Cost $940,938) ($ Thousands) 675,246
-------------
LOAN PARTICIPATIONS -- 9.1%
Advansta Communications, 2nd Lien
6.220%, 11/30/14 1,250 108
Aeroflex
4.646%, 08/16/14 770 370
0.000%, 08/16/14 (F) 645 310
Aeroflex, Term Loan B-1
4.464%, 08/16/14 640 307
Affinion Group Holdings
8.466%, 03/01/12 (E) 500 225
Affinion Holding PIK
9.367%, 03/01/12 (E) 2,800 1,260
Affinion Holding
9.367%, 03/01/12 (E) 1,000 450
8.522%, 03/01/12 900 405
Affinion Holding, Term Loan B
4.645%, 10/17/12 500 416
Alliant Insurance Services, Term Loan B
4.459%, 08/21/14 1,234 907
Asurion, 2nd Lien
6.886%, 07/07/15 (E) 634 457
6.856%, 07/07/15 500 361
6.856%, 07/02/15 (E) 1,075 776
6.833%, 07/07/15 (E) 866 625
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 145
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Asurion, Term Loan B
4.563%, 07/07/14 $ 1,000 $ 840
4.325%, 07/07/14 (E) 800 672
3.892%, 07/02/14 (E) 550 462
BOC Edwards
6.229%, 05/31/14 175 70
2.479%, 05/31/14 143 86
2.409%, 05/31/14 (F) 600 360
Boise Paper
9.250%, 02/22/15 800 288
Boston Generating
7.479%, 12/21/16 191 12
Boston Generating, 2nd Lien
4.659%, 06/21/14 700 174
Calpine
4.032%, 03/29/14 (E) 3,000 2,282
CCFC
7.220%, 08/26/09 2,025 2,015
Cebridge
8.235%, 05/05/14 259 169
Cebridge, 2nd Lien, PIK
8.801%, 05/05/14 530 346
Central Parking
2.813%, 05/22/14 (E) 1,452 944
Central Parking (Synthetic)
0.350%, 05/22/14 (E) 608 395
Century Cable, Term Loan B
(Escrow Security)
10.250%, 06/30/09 3 --
Cequel Communications, PIK
8.801%, 05/05/14 (E) 644 420
CHS
3.407%, 07/02/14 (E) 3,000 2,587
Cooper Standard, Term Loan D
3.750%, 02/28/10 2,177 479
DAE Aviation Holdings, Term Loan B1
4.920%, 09/27/14 (E) 5 2
4.424%, 09/27/14 166 81
4.160%, 09/27/14 (E) 189 92
DAE Aviation Holdings, Term Loan B2
4.919%, 09/27/14 (E) 284 139
4.919%, 09/27/14 (E) 71 35
Delta, 2nd Lien
3.758%, 04/30/14 222 99
Dex Media
7.000%, 10/24/14 1,000 433
DirecTV
5.250%, 04/13/13 2,289 2,189
Dresser, 1st Lien
2.729%, 05/04/14 461 320
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Dresser, 2nd Lien
6.987%, 05/04/15 $ 3,145 $ 1,227
Entegra PIK
7.459%, 04/04/15 268 70
Entegra, 3rd Lien PIK
7.459%, 04/19/15 1,787 470
First Data
3.223%, 09/24/14 274 185
3.223%, 09/24/14 1,005 677
3.218%, 09/24/14 450 303
3.159%, 09/24/14 96 65
3.141%, 09/24/14 1,070 720
3.139%, 09/24/14 1,442 971
Flextronics
3.685%, 10/01/12 1,000 763
0.000%, 10/01/14 (F) 192 124
0.000%, 10/01/14 (F) 668 432
Ford Motor
10.920%, 12/16/13 (E) 1,030 493
3.907%, 12/16/13 (E) 2,125 1,017
General Motors
14.997%, 12/15/13 (E) 250 103
11.099%, 12/15/13 (E) 500 206
8.000%, 12/15/13 (E) 100 41
3.532%, 12/15/13 (E) 3,067 1,262
0.000%, 12/15/13 (F) 225 93
Georgia Pacific
3.481%, 02/14/13 329 291
2.965%, 12/20/10 1,499 1,413
Greektown Casino
7.750%, 12/03/12 450 71
0.000%, 12/03/12 (F) 200 32
Green Valley Ranch Gaming, 2nd Lien
3.697%, 08/06/14 2,000 100
Harrah's
4.259%, 01/28/15 1,571 935
HCA
3.407%, 11/18/13 (E) 2,927 2,477
Hexion Specialty Chemicals,
Term Loan C1
3.688%, 05/05/13 (E) 2,501 845
Hexion Specialty Chemicals,
Term Loan C2
3.500%, 05/05/13 467 158
HUB International Holdings
3.959%, 06/13/14 (E) 269 189
HUB International Holdings,
Term Loan B
6.262%, 06/13/14 (E) 1,195 841
Iasis Health Care
6.434%, 06/15/14 2,356 978
146 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
INEOS Holdings
8.702%, 12/14/13 $ 140 $ 53
8.702%, 12/13/14 945 344
8.202%, 12/13/14 787 286
8.202%, 12/14/13 1,592 601
Intelsat Bermuda
3.657%, 02/01/14 (E) 2,100 1,533
JG Wentworth, 1st Lien
3.709%, 04/04/14 1,025 120
KAR Holdings
3.220%, 10/18/13 1,172 830
Language Line, Term Loan B
4.470%, 05/14/11 (E) 1,774 1,526
Lyondell Chemical
13.000%, 12/15/09 1,183 1,172
7.000%, 12/20/14 (C) (E) 849 200
7.000%, 12/22/13 (C) (E) 798 188
4.657%, 12/20/14 (C) (E) 400 94
1.500%, 12/15/09 (H) 591 5
Lyondell Chemical, Term Loan B
7.000%, 12/20/14 (C) (E) 4,535 1,068
6.700%, 12/20/14 1,320 311
McKechnie Aerospace
5.480%, 05/11/15 700 241
2.480%, 05/11/14 542 367
Metroflag, 2nd Lien
14.000%, 01/06/09 300 15
Murray, 2nd Lien
9.000%, 01/31/11 1,984 1,587
NEFF
5.412%, 05/31/13 585 224
Neiman Marcus Group
4.192%, 04/26/13 210 120
3.943%, 04/26/13 625 358
New World Gaming
6.935%, 05/18/15 1,225 643
News Day
9.750%, 07/29/13 875 807
Northwest Airlines
3.157%, 08/21/13 (E) 370 329
2.450%, 08/21/13 185 165
NRG Energy
2.660%, 06/02/13 (E) 791 710
2.657%, 06/02/13 (E) 500 449
Orbitz Worldwide
6.583%, 07/01/14 (E) 449 151
6.572%, 07/01/14 (E) 998 336
6.106%, 07/01/14 (E) 249 84
5.941%, 07/01/14 1,512 509
5.716%, 07/01/14 (E) 1,200 404
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Penhall
12.287%, 03/28/12 $ 745 $ 224
ProQuest, 2nd Lien
6.227%, 02/09/15 1,200 960
Rent-A-Center, Term Loan B
4.809%, 06/30/12 500 455
Rexnord, Term Loan B
8.261%, 02/20/13 2,057 1,594
Reynolds & Reynolds
3.407%, 10/24/12 (E) 500 297
2.479%, 10/24/12 497 295
Reynolds & Reynolds, 3rd Lien
8.657%, 04/01/14 (E) 450 73
7.979%, 04/01/14 (E) 1,800 294
7.979%, 04/24/14 (E) 1,200 196
RH Donnelley
4.907%, 06/30/11 (E) 1,000 439
RH Donnelley, Term Loan D
4.907%, 06/30/11 (E) 365 160
Royalty Pharmaceuticals
7.750%, 05/15/15 1,175 946
Sensata Technologies
2.934%, 04/27/13 2,816 1,165
Simmons
8.224%, 02/15/12 2,769 29
Simmons Bedding
9.535%, 12/19/11 945 739
Sorenson Communications, 2nd Lien
8.440%, 02/16/14 (E) 3,900 2,945
Talecris Biotherapeutics
7.740%, 12/06/14 410 359
7.657%, 12/06/14 (E) 460 403
TD Ameritrade Holding
1.460%, 12/31/11 1,485 1,335
Texas Competitive Electric
4.036%, 10/10/14 2,945 1,932
4.036%, 10/27/14 14 9
4.036%, 10/27/14 349 228
Texas Competitive Electric Holdings
4.157%, 10/10/14 (E) 3,364 2,212
Term Loan B1
4.036%, 10/10/14 1 1
Texas Competitive Electric,
Term Loan B3
4.036%, 10/10/14 24 16
Town Sports International
2.250%, 02/27/14 246 123
Toys R US - Delaware
5.407%, 07/19/12 (E) 1,200 676
4.720%, 07/19/12 80 45
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 147
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Tribune
6.500%, 06/04/14 $ 895 $ 236
0.000%, 06/04/14 (F) 150 40
Univision Communications
3.407%, 09/15/14 (E) 270 136
Venoco
5.250%, 05/07/14 371 191
Verint Systems
3.590%, 05/09/14 1,877 1,154
Wind Acquisition Holdings
8.393%, 12/12/11 2,015 1,411
8.393%, 12/21/11 1,234 863
-------------
Total Loan Participations
(Cost $123,107) ($ Thousands) 78,531
-------------
COLLATERALIZED DEBT OBLIGATION -- 2.8%
FINANCIALS -- 2.8%
ACAS Business Loan Trust,
Ser 2007-2A, Cl A
1.637%, 11/18/09 (B) (E) 5,744 3,381
ARES CLO, Ser 2006-1A, Cl SUB
0.000%, 02/24/18 (B) 7,000 35
ARES CLO, Ser 2007-11A, Cl SUB
14.850%, 10/11/21 (B) 2 120
ARES CLO, Ser 2007-1A, Cl SUB
0.000%, 04/16/21 (B) 3,800 76
Babson CLO 2003-I, Cl A2B
1.394%, 04/15/21 (B) (E) 1,200 351
Babson CLO 2003-I, Cl A1
1.314%, 04/15/21 (B) (E) 3,000 1,786
Babson CLO, Ser 2004-II, Cl SUB
0.000%, 11/15/16 (B) 17 51
Babson CLO, Ser 2007-2A, Cl D
2.794%, 10/15/08 (B) (E) 900 18
Babson CLO, Ser 2007-2A, Cl INC
0.000%, 04/15/21 (B) (E) 2,500 25
Ballyrock CDO, Ser 2005-3A, Cl B
1.539%, 07/25/17 (B) (E) 1,125 281
Battalion CLO, Ser 2007-1A, Cl E
5.410%, 07/14/22 (B) (E) 2,300 161
Battalion CLO, Ser 2007-I, Cl SUB
8.870%, 07/14/22 (B) 18 35
Capitalsource Advisors, Ser 2006-1A,
Cl SUB
0.000%, 08/27/20 (B) 3,200 --
Carlyle High Yield Partners CLO,
Ser 2006-8A, Cl N
0.000%, 05/21/21 3,700 37
CIFC Funding, Ser 2007-2A
0.000%, 04/15/21 (B) 2,700 135
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CIFC Funding, Ser 2007-IV
18.570%, 09/20/19 $ 1,000 $ 75
CIT CLO, Ser 2007-1A, Cl D
3.287%, 06/20/21 (B) (E) 2,800 140
CIT CLO, Ser 2007-1A, Cl E
6.288%, 06/20/21 (E) 1,900 76
Commercial Industrial Finance,
Ser 2006-1BA
2.057%, 12/22/20 (B) (E) 3,150 240
Commercial Industrial Finance,
Ser 2006-1BA, Cl A2L
1.647%, 12/22/20 (B) (E) 5,000 897
Commercial Industrial Finance,
Ser 2006-2A, Cl A1L
1.521%, 03/01/21 (B) (E) 7,500 4,306
Commercial Industrial Finance,
Ser 2007-1A, Cl A1LB
1.581%, 05/10/21 (B) (E) 3,000 556
Commercial Industrial Finance,
Ser 2007-3A, Cl B
2.409%, 07/26/21 (B) (E) 2,500 262
Connecticut Valley Structured Credit
CDO, Ser 2006-3A, Cl NOTE
0.000%, 03/23/23 (B) 2,200 5
Copper River CLO, Ser 2006-1A,
Cl INC
0.000%, 01/20/21 (B) (E) 3,000 165
De Meer Middle Market CLO,
Ser 2006-1A, Cl B
1.543%, 10/20/18 (B) (E) 1,029 252
De Meer Middle Market CLO,
Ser 2006-1A, Cl INC
9.460%, 10/20/18 (B) 3,366 101
Denali Capital CLO VII, Ser 2007-1A,
Cl INC
0.000%, 01/22/22 (B) 2,200 176
Duane Street CLO, Ser 2007-5A, Cl SN
0.000%, 10/14/21 (B) 3,300 33
Gale Force CLO, Ser 2005-1A,
Cl COM1
1.222%, 11/15/17 (B) 5,400 432
Gale Force CLO, Ser 2007-4A, Cl E
7.651%, 12/15/17 (E) 1,100 55
Gale Force CLO, Ser 2008-4A,
Cl INC
0.000%, 12/15/17 (E) 15 105
Gleneagles CLO, Ser AI
0.000%, 11/01/17 (E) 7 260
GoldenTree Loan Opportunities III,
Ser 2007-3A, Cl SUB
0.000%, 05/01/22 (B) 3,400 272
148 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Greenbriar CLO, Ser 2007-1A, Cl D
3.920%, 11/01/21 (B) (E) $ 3,910 $ 78
GSC Partners CDO, Ser 2004-5A,
Cl A2
1.901%, 11/20/16 (B) (E) 2,700 837
Hamlet II, Ser 2006-2A, Cl A2B
1.558%, 05/11/21 (B) (E) 2,200 770
Harch CLO, Ser 2005-2A, Cl C
1.923%, 10/22/17 (B) (E) 1,350 41
Harch CLO, Ser 2007-1A, Cl C
1.934%, 04/17/20 (B) (E) 2,250 68
ING Investment Management I CLO
14.520%, 12/01/17 (B) (E) 13 750
ING Investment Management II CLO
0.000%, 08/01/20 (B) (E) 6 336
Lafayette Square CDO, Ser 2005-1A,
Cl A2
1.634%, 11/15/19 (B) (E) 2,925 1,024
Landmark CDO, Cl A
1.741%, 09/04/12 (B) (E) 2,562 2,337
Lightpoint CLO, Ser 2006-4A, Cl INC
0.000%, 04/15/18 (B) 2,500 50
Marathon CLO, Ser 2005-2A, Cl B
2.087%, 12/20/19 (B) (E) 1,200 60
Marathon CLO, Ser 2005-2A, Cl INC
0.000%, 12/20/19 (B) 3,000 --
Marlborough Street CLO, Ser 2007-1A,
Cl A2B
1.436%, 04/18/19 (B) (E) 4,250 1,001
Marlborough Street CLO, Ser 2007-1A,
Cl INC
0.000%, 04/18/19 (B) 2,400 24
NOB Hill CLO, Ser 2007-1A, Cl C
2.177%, 06/21/22 (B) (E) 2,264 45
Peritus I CDO, Ser 2005-1A, Cl C
9.000%, 05/24/15 (B) 12,987 390
Sands Point Funding, Ser 2006-1A,
Cl C
1.886%, 07/18/20 (B) (E) 2,240 224
Stanfield Bristol CLO, Ser 2005-1A,
Cl SUB
0.000%, 10/15/19 (B) 6,300 189
Stanfield Daytona CLO
0.000%, 04/27/21 32 160
Stanfield Veyron CLO, Ser 2006-1A,
Cl SUB
2.694%, 07/15/18 (E) 2,300 69
Tralee CDO, Ser 2007-1A, Cl SUB
0.000%, 04/16/22 (B) 2,700 --
Waterfront CLO, Cl A2
1.494%, 08/02/20 (B) (E) 5,400 1,310
-------------
Total Collateralized Debt Obligation
(Cost $123,204) ($ Thousands) 24,663
-------------
Face Amount
($ Thousands) Market Value
Description /Shares ($ Thousands)
- ----------- ------------- -------------
PREFERRED STOCK -- 0.2%
CIFC Funding, Ser 2006-I, Cl I
0.000%, 10/20/20 (B) (E) $ 2,300 $ 46
CIFC Funding, Ser 2006-II
0.000%, 03/01/21 (B) (E) 3,000 60
Crown Castle International
6.250%, 08/15/12 14,600 588
Dana, Ser B* 548 345
GMAC 7.000%, 12/31/49* 4 815
Peritus I CDO
0.000%, 12/19/17 3,750 37
Rockwall Investors
0.000%, 08/01/21 (B) (E) 4,000 --
Whitehorse II
0.000%, 03/15/13 (B) (E) 30 60
-------------
Total Preferred Stock
(Cost $9,603) ($ Thousands) 1,951
-------------
CONVERTIBLE BONDS -- 0.2%
Adelphia Recovery Trust, Ser AAC-1
(Escrow Security)
0.000%, 02/15/04 395 --
Flextronics International CV to 64.4122
1.000%, 08/01/10 70 64
Ford Motor CV to 108.6957
4.250%, 12/15/36 25 9
Freeport-McMoRan Copper & Gold
CV to 1.3654
6.750%, 05/01/10 6 404
Leap Wireless International
CV to 10.7290
4.500%, 07/15/14 (B) 460 341
Host Hotels & Resorts CV to 62.5107
3.250%, 04/15/24+++ (B) 495 449
Mirant
0.000%, 07/15/07 1,150 2
Mirant CV to 14.7167
0.000%, 06/15/21 2,200 5
NII Holdings CV to 8.4517
3.125%, 06/15/12 470 327
-------------
Total Convertible Bonds
(Cost $1,776) ($ Thousands) 1,601
-------------
COMMON STOCK -- 0.1%
Armstrong World Industries* 6,237 68
Core-Mark Holding* 13,788 251
Dana Holding* 64,570 30
Delta Air Lines* 6,408 36
Federal Mogul, Cl A* 31,827 213
Huntsman 9,321 29
Owens Corning* 13,248 120
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 149
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Concluded)
March 31, 2009
Market Value
Description Shares ($ Thousands)
- ----------- ------------- -------------
Shreveport Gaming Holdings 13,948 $ 244
Solutia* 26,089 49
Time Warner Cable, Cl A 40 1
Winn-Dixie Stores* 8,445 81
-------------
Total Common Stock
(Cost $3,090) ($ Thousands) 1,122
-------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Atrium, Expires 10/14/18* 706 --
Grande Communications,
Expires 04/01/11* 850 8
-------------
Total Warrants
(Cost $9) ($ Thousands) 8
-------------
CASH EQUIVALENT -- 8.4%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 0.250%**++ 72,441,571 72,442
-------------
Total Cash Equivalent
(Cost $72,442) ($ Thousands) 72,442
-------------
AFFILIATED PARTNERSHIP -- 18.4%
SEI Liquidity Fund, L.P.,
0.810%**++ (G) 162,403,442 159,487
-------------
Total Affiliated Partnership
(Cost $162,403) ($ Thousands) 159,487
-------------
Total Investments -- 117.1%
(Cost $1,436,572) ($ Thousands) $ 1,015,051
=============
Description
Percentages are based on a Net Assets of $866,989 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2009.
++ 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 March
31, 2009. The total value of securities on loan at March 31, 2009 was
$152,479 ($ Thousands).
(B) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
(C) Security in default on interest payments.
(D) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on March 31, 2009. The coupon on a step bond changes on a
specified date.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effects as of March 31, 2009. The date reported on the
Schedule of Investments is the next reset date.
(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 March
31, 2009 was $ 159,487 ($ Thousands).
(H) Unfunded bank loan. Interest rate not available.
CDO -- Collateralized Debt Obligation
Cl -- Class
CLO -- Collateralized Loan Obligation
CV -- Convertible Security
LLC -- Limited Liability Company
L.P. -- Limited Partnership
MTN -- Medium Term Note
PIK -- Payment-in-Kind
PLC -- Public Limited Company
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
150 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
This page intentionally left blank.
Statements of Assets and Liabilities ($ Thousands)
March 31, 2009 (Unaudited)
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
------------------- ------------------- -------------------
ASSETS:
Investments at value+ $ 1,313,475* $ 1,472,202* $ 1,148,814*
Affiliated investment, at value++ 322,113 386,950 230,521
Cash 42 5 47
Foreign currency, at value+++ -- -- --
Receivable for investment securities sold 146,975 8,053 51,144
Receivable for fund shares sold 1,399 1,376 3,338
Dividends and interest receivable 3,297 1,769 1,918
Receivable for variation margin 115 390 315
Swap contracts, at value++++ -- -- --
Prepaid Expenses 77 57 52
------------------ ------------------ ------------------
Total Assets 1,787,493 1,870,802 1,436,149
------------------ ------------------ ------------------
LIABILITIES:
Payable upon return on securities loaned 316,022 314,005 203,592
Payable for investment securities purchased 95,969 2,956 48,078
Payable for fund shares redeemed 6,185 4,761 1,981
Payable to custodian -- -- --
Payable for variation margin -- -- 213
Margin Call -- -- --
Administration fees payable 389 444 334
Investment advisory fees payable 331 443 320
Shareholder servicing fees payable A 217 178 156
Shareholder servicing fees payable E -- -- --
Shareholder servicing fees payable I 2 1 --
Chief Compliance Officer fees payable 5 5 4
Trustees fees payable 3 3 --
Overdraft of foreign currency, at value+++ -- -- --
Administration servicing fees payable Class I 1 1 --
Unrealized loss on forward spot currency
contracts -- -- --
Accrued expense payable 64 78 56
------------------ ------------------ ------------------
Total Liabilities 419,188 322,875 254,734
------------------ ------------------ ------------------
Net Assets $ 1,368,305 $ 1,547,927 $ 1,181,415
================== ================== ==================
+ Cost of investments and repurchase
agreements 1,739,290 1,679,655 1,389,211
++ Cost of affiliated investments 329,054 392,457 235,678
+++ Cost of foreign currency/(overdraft of
foreign currency) -- -- --
++++ Premiums received/(paid) -- -- --
* Includes market value of securities on loan 311,420 308,667 200,714
NET ASSETS:
Paid-in Capital -- (unlimited authorization
-- no par value) $ 2,390,765 $ 3,327,964 $ 2,133,499
Undistributed (distributions in excess of) net
investment income (467) (281) (71)
Accumulated net realized loss on investments,
securities sold short, option contracts,
futures, swap contracts, swaptions and
foreign currency (589,690) (1,568,237) (707,808)
Net unrealized appreciation (depreciation) on
investments, affiliated investments,
securities sold short and option contracts (432,756) (212,960) (245,554)
Net unrealized appreciation on futures
contracts 453 1,441 1,349
Net unrealized appreciation on swap contracts -- -- --
Net unrealized appreciation on forward foreign
currency contracts, foreign currencies and
translation of other assets and liabilities
denominated in foreign currencies -- -- --
------------------ ------------------ ------------------
Net Assets $ 1,368,305 $ 1,547,927 $ 1,181,415
================== ================== ==================
Net Asset Value, Offering and Redemption Price
Per Share -- Class A $ 10.28 $ 13.40 $ 7.55
($1,359,607,282 / ($1,540,736,597 / ($1,179,071,970 /
132,296,594 shares) 114,996,407 shares) 156,075,308 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 $ 10.28 $ 13.27 N/A
($8,697,691 / ($7,190,423 /
846,208 shares) 541,937 shares)
================== ================== ==================
Net Asset Value, Offering and Redemption Price
Per Share -- Class Y N/A N/A $ 7.67
($2,343,498 /
305,385 shares)
================== ================== ==================
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
152 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
LARGE CAP
DIVERSIFIED S&P 500 SMALL CAP SMALL CAP TAX-MANAGED
ALPHA FUND INDEX FUND VALUE FUND GROWTH FUND SMALL CAP FUND
- ------------------ ------------------ ------------------ ----------------- -----------------
$ 766,350 $ 927,973* $ 441,047* $ 342,870* $ 173,676*
55,322 221,264 117,543 69,301 5,449
-- -- 32 96 --
-- -- -- 33 --
7,694 33 5,195 2,612 4,024
9,770 126,119 2,686 1,500 1,093
1,221 1,659 805 281 201
1,413 236 109 43 32
2,283 -- -- -- --
41 108 15 15 10
- ------------------ ----------------- ------------------ ----------------- -----------------
844,094 1,277,392 567,432 416,751 184,485
- ------------------ ----------------- ------------------ ----------------- -----------------
-- 211,018 102,803 65,438 2,776
40,629 95,160 4,924 2,520 3,358
554 34,898 3,029 1,878 562
1,452 44 -- -- 28
-- -- -- -- --
3,800 -- -- -- --
226 104 128 98 50
236 20 237 176 71
115 -- 38 22 35
-- 9 -- -- --
-- 1 1 -- --
3 10 2 1 1
2 3 1 1 --
16 -- -- -- --
-- 1 1 -- --
-- -- 1 -- --
34 30 29 16 9
- ------------------ ----------------- ------------------ ----------------- -----------------
47,067 341,298 111,194 70,150 6,890
- ------------------ ----------------- ------------------ ----------------- -----------------
$ 797,027 $ 936,094 $ 456,238 $ 346,601 $ 177,595
================== ================= ================== ================= =================
941,263 759,852 619,599 444,932 219,841
55,322 225,259 121,799 72,457 5,637
(19) -- -- 33 --
340 -- -- -- --
-- 207,935 101,610 63,883 2,843
$ 1,577,878 $ 831,862 $ 871,122 $ 797,486 $ 323,608
(1,712) (476) (1,485) 254 (244)
(615,375) (60,323) (231,599) (346,270) (99,602)
(174,913) 164,126 (182,808) (105,218) (46,353)
9,204 905 1,008 349 186
1,943 -- -- -- --
2 -- -- -- --
- ------------------ ----------------- ------------------ ----------------- ------------------
$ 797,027 $ 936,094 $ 456,238 $ 346,601 $ 177,595
================== ================= ================== ================= ==================
$ 5.34 $ 21.76 $ 9.16 $ 8.98 $ 6.61
($796,654,772 / ($310,075,499 / ($450,723,603 / ($344,005,195 / ($177,594,673 /
149,102,158 shares) 14,249,890 shares) 49,211,001 shares) 38,310,645 shares) 26,868,028 shares)
================== ================= ================= ================= ==================
N/A $ 21.83 N/A N/A N/A
($619,792,885 /
28,389,270 shares)
================== ================= ================= ================= =================
$ 5.34 $ 21.82 $ 9.10 $ 8.80 N/A
($372,178/ ($6,225,136 / ($5,514,532 / ($2,596,136 /
69,704 shares) 285,358 shares) 605,964 shares) 295,086 shares)
================== ================= ================= ================= =================
N/A N/A N/A N/A N/A
================== ================= ================= ================= =================
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 153
Statements of Assets and Liabilities ($ Thousands)
March 31, 2009 (Unaudited)
SMALL/MID CAP
DIVERSIFIED MID-CAP U.S. MANAGED
ALPHA FUND FUND VOLATILITY FUND
------------------ ----------------- ------------------
ASSETS:
Investments, at value+ $ 64,208 $ 84,720* $ 287,146
Affiliated investment, at value++ 3,054 14,788 9,932
Repurchase agreement+ -- -- --
Cash 32 5 --
Foreign currency, at value+++ -- -- --
Cash collateral on futures -- -- --
Cash collateral on swaps -- -- --
Receivable for investment securities sold 248 1,920 5,122
Receivable for fund shares sold 1,578 252 1,827
Dividends and interest receivable 99 160 601
Receivable for variation margin 72 34 113
Swap contracts, at value++++ -- -- --
Unrealized gain on forward foreign currency contracts -- -- --
Prepaid Expenses 3 2 12
------------------ ----------------- ------------------
Total Assets 69,294 101,881 304,753
------------------ ----------------- ------------------
LIABILITIES:
Payable upon return on securities loaned -- 13,597 --
Payable for investment securities purchased 2,283 1,955 2,005
Payable for fund shares redeemed 142 135 1,028
Payable to custodian -- -- 63
Payable for variation margin -- -- --
Margin Call -- -- --
Administration fees payable 19 24 85
Investment advisory fees payable 29 29 96
Shareholder servicing fees payable A 13 14 49
Shareholder servicing fees payable I -- -- --
Chief Compliance Officer fees payable -- -- 1
Trustees fees payable -- -- 1
Overdraft of foreign currency, at value+++ -- -- --
Administration servicing fees payable Class I -- -- --
Income distribution payable -- -- --
Swap contracts, at value++++ -- -- --
Options written, at value # -- -- --
Unrealized loss on forward spot currency contracts -- -- --
Unrealized loss on forward foreign currency contracts -- -- --
Accrued expense payable 5 5 10
------------------ ----------------- ------------------
Total Liabilities 2,491 15,759 3,338
------------------ ----------------- ------------------
Net Assets $ 66,803 $ 86,122 $ 301,415
================== ================= ==================
+ Cost of investments and repurchase agreements 82,703 112,390 345,244
++ Cost of affiliated investments 3,054 15,172 9,932
+++ Cost of foreign currency/(overdraft of foreign currency) -- -- --
++++ Premiums received/(paid) -- -- --
# Premiums received -- -- --
* Includes market value of securities on loan -- 13,276 --
NET ASSETS:
Paid-in Capital -- (unlimited authorization -- no par value) $ 150,162 $ 169,851 $ 465,529
Undistributed (distributions in excess of) net investment income (21) (259) (6)
Accumulated net realized loss on investments, securities sold
short, option contracts, futures, swap contracts, swaptions and
foreign currency (65,473) (55,538) (106,361)
Net unrealized depreciation on investments, affiliated
investments, securities sold short and option contracts (18,495) (28,054) (58,098)
Net unrealized appreciation (depreciation) on futures contracts 630 122 351
Net unrealized appreciation (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 $ 66,803 $ 86,122 $ 301,415
================== ================= ==================
Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 4.21 $ 9.80 $ 7.87
($66,762,715 / ($85,919,050 / ($301,402,529 /
15,853,976 shares) 8,767,419 shares) 38,283,416 shares)
================== ================= ==================
Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 4.20 $ 9.81 $ 7.87
($39,812 / ($203,159 / ($12,668 /
9,489 shares) 20,710 shares) 1,610 shares)
================== ================= ==================
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
154 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
TAX-MANAGED
GLOBAL MANAGED MANAGED REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
VOLATILITY FUND VOLATILITY FUND FUND INCOME FUND INCOME FUND BOND FUND
- ----------------- ----------------- ----------------- ------------------ ------------------- -------------------
$ 151,721 $ 130,508 $ 123,215* $ 169,879 $ 3,025,423* $ 783,122*
9,488 6,052 63,374 21,451 327,498 231,929
-- -- -- 21,200 -- --
-- 11 4 213 -- --
210 -- -- -- -- --
-- -- -- 700 14,109 --
-- -- -- 211 -- --
1,368 728 637 15,369 263,767 13,053
691 377 3,574 200 1,441 1,397
909 242 1,067 1,175 28,288 24,933
138 43 -- -- 894 --
-- -- -- -- 15,460 --
1,031 -- -- 2,910 369 --
5 1 11 8 92 30
- ----------------- ----------------- ----------------- ------------------ ------------------- -------------------
165,561 137,962 191,882 233,316 3,677,341 1,054,464
- ----------------- ----------------- ----------------- ------------------ ------------------- -------------------
-- -- 56,385 -- 265,394 162,403
9 717 520 15,511 669,884 10,406
662 339 1,986 2,088 19,828 8,228
122 -- -- -- 20,704 4,985
4 -- -- 27 555 --
-- -- -- 211 3,809 --
47 38 38 19 627 236
55 42 67 72 571 293
32 23 9 -- 130 16
-- -- 3 -- 2 --
-- -- 1 1 7 3
-- -- -- -- 3 1
-- -- -- -- 252 --
-- -- -- -- 2 --
-- -- -- -- 828 841
-- -- -- -- 37,913 --
-- -- -- -- 365 --
-- -- 1 -- -- --
28 -- -- 3,704 271 --
(2) -- 8 21 184 63
- ----------------- ----------------- ----------------- ------------------ ------------------- -------------------
957 1,159 59,018 21,654 1,021,329 187,475
- ----------------- ----------------- ----------------- ------------------ ------------------- -------------------
$ 164,604 $ 136,803 $ 132,864 $ 211,662 $ 2,656,012 $ 866,989
================= ================= ================= ================== =================== ===================
170,489 147,570 213,222 283,637 3,511,390 1,201,727
9,488 6,052 65,069 21,451 332,749 234,845
208 -- -- -- (255) --
-- -- -- -- (21,364) --
-- -- -- -- (736) --
-- -- 58,224 -- 255,256 152,479
$ 252,191 $ 173,617 $ 321,207 $ 374,764 $ 3,242,701 $ 1,622,117
(2,961) (5) 1,289 1,143 (15,095) (14,871)
(67,097) (19,848) (97,928) (70,821) (80,685) (318,736)
(18,768) (17,062) (91,702) (92,558) (490,847) (421,521)
234 101 -- (287) 2,157 --
-- -- -- -- (1,089) --
1,005 -- (2) (579) (1,130) --
- ----------------- ----------------- ----------------- ------------------ ------------------- -------------------
$ 164,604 $ 136,803 $ 132,864 $ 211,662 $ 2,656,012 $ 866,989
================= ================= ================= ================== =================== ===================
$ 6.81 $ 6.64 $ 5.36 $ 6.35 $ 8.93 $ 4.80
($164,592,304 / ($136,803,034 / ($132,809,706 / ($211,643,352 / ($2,644,549,944 / ($866,917,746 /
24,178,337 shares) 20,590,871 shares) 24,757,817 shares) 33,341,587 shares) 296,047,752 shares) 180,513,873 shares)
================= ================= ================= ================== =================== ===================
$ 6.77 N/A $ 5.36 $ 6.35 $ 8.93 $ 4.81
($11,411 / ($54,228 / ($18,995 / ($11,462,312 / ($70,879 /
1,686 shares) 10,110 shares) 2,993 shares) 1,283,539 shares) 14,740 shares)
================= ================= ================= ================== =================== ===================
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 155
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2009 (Unaudited)
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
---------- ----------- --------------
INVESTMENT INCOME:
Dividends $ 31,656 $ 14,103 $ 17,926
Dividends from Affiliated Investments* 197 280 208
Interest Income 12 39 23
Securities Lending Income -- Net** 1,030 714 1,002
Less: Foreign Taxes Witheld (5) (31) (24)
--------- --------- ---------
Total Investment Income 32,890 15,105 19,135
--------- --------- ---------
EXPENSES:
Investment Advisory Fees 2,894 3,513 2,749
Administration Fees 2,894 3,074 2,405***
Shareholder Servicing Fees (A) 2,057 2,189 1,715
Shareholder Servicing Fees (E) -- -- --
Shareholder Servicing Fees (I) 10 7 --
Shareholder Servicing Fees (Y) -- -- 2
Administration Servicing Fees (I) 10 7 --
Trustee Fees 24 25 14
Chief Compliance Officer Fees 6 6 5
Interest Expense on Short Sales -- -- --
Dividend Expense on Short Sales -- -- --
Printing Fees 78 80 62
Professional Fees 68 71 55
Custodian/Wire Agent Fees 96 110 86
Registration Fees 9 26 21
Licensing Fees -- -- --
Other Expenses 32 35 29
--------- --------- ---------
Total Expenses 8,178 9,143 7,143
--------- --------- ---------
Less:
Waiver of Investment Advisory Fees (485) (338) (401)
Waiver of Shareholder Servicing Fees (A) (233) (863) (540)
Waiver of Shareholder Servicing Fees (I) (3) (4) --
Waiver of Shareholder Servicing Fees (Y) -- -- (1)
Administration Fees -- -- (2)
Fees Paid Indirectly (90) (114) (91)
--------- --------- ---------
Net Expenses 7,367 7,824 6,108
--------- --------- ---------
NET INVESTMENT INCOME 25,523 7,281 13,027
========= ========= =========
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (489,869) (442,250) (375,638)
Securities Sold Short -- --
Futures Contracts (14,427) (22,371) (19,721)
Swap Contracts -- -- --
Foreign Currency Transactions -- -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (316,179) (222,174) (269,247)
Affiliated Investments (1,174) (1,633) (570)
Securities Sold Short -- -- --
Futures Contracts 965 1,874 2,339
Swap Contracts -- -- --
Foreign Currency and Translation of Other Assets and Liabilities
Denominated in Foreign Currencies -- -- --
--------- --------- ---------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(795,161) $(679,273) $(649,810)
========= ========= =========
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.
156 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
LARGE CAP DIVERSIFIED S&P 500 SMALL CAP SMALL CAP TAX-MANAGED
ALPHA FUND INDEX FUND VALUE FUND GROWTH FUND SMALL CAP FUND
- --------------------- ---------- ---------- ----------- --------------
$ 9,313 $ 13,735 $ 5,413 $ 1,842 $ 1,590
402 82 104 75 37
2,140 6 73 290 3
-- 609 997 1,379 331
(9) -- (14) (13) (2)
--------- --------- --------- --------- ---------
11,846 14,432 6,573 3,573 1,959
--------- --------- --------- --------- ---------
1,798 142 1,745 1,304 650
1,573 1,043 940 702 350
1,123 449 664 499 250
-- -- -- -- --
-- 9 7 3 --
-- -- -- -- --
-- 9 7 3 --
13 13 8 6 3
3 7 2 1 1
182 -- -- -- --
436 -- -- -- --
42 44 26 19 9
37 38 23 17 8
50 55 33 25 12
3 12 -- 7 --
-- 61 -- -- --
21 19 17 15 9
--------- --------- --------- --------- ---------
5,281 1,901 3,472 2,601 1,292
--------- --------- --------- --------- ---------
(114) -- (9) (41) (130)
(280) (126) (307) (301) --
-- (4) (5) -- --
-- -- -- -- --
-- (250) -- -- --
-- -- (85) (30) (54)
--------- --------- --------- --------- ---------
4,887 1,521 3,066 2,229 1,108
--------- --------- --------- --------- ---------
6,959 12,911 3,507 1,344 851
========= ========= ========= ========= =========
(424,370) (39,068) (176,096) (233,590) (80,170)
83,807 -- -- -- --
(89,755) (9,516) (9,707) (6,114) (3,585)
3,680 -- -- -- --
-- -- 52 (48) --
(5,919) (365,774) (149,663) 7,823 (26,823)
-- (1,095) 121 191 39
(35,062) -- -- -- --
22,913 2,571 1,783 617 401
5,444 -- -- -- --
1 -- -- 7 --
--------- --------- --------- --------- ---------
$(432,302) $(399,971) $(330,003) $(229,770) $(109,287)
========= ========= ========= ========= =========
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 157
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2009 (Unaudited)
SMALL/MID CAP U.S. MANAGED
DIVERSIFIED MID-CAP VOLATILITY
ALPHA FUND FUND FUND
------------- -------- ------------
INVESTMENT INCOME:
Dividends $ 644 $ 922 $ 4,317
Dividends from Affiliated Investments* 42 17 46
Interest Income 143 -- 2
Securities Lending Income -- Net** -- 60 --
Less: Foreign Taxes Witheld (1) -- (34)
-------- -------- ---------
Total Investment Income 828 999 4,331
-------- -------- ---------
EXPENSES:
Investment Advisory Fees 280 182 1,077
Administration Fees 131 159 580
Shareholder Servicing Fees (A) 93 113 414
Shareholder Servicing Fees (I) -- -- --
Administration Servicing Fees (I) -- -- --
Trustee Fees 1 1 5
Chief Compliance Officer Fees -- -- 1
Interest Expense on Short Sale 9 -- --
Dividend Expense on Short Sale 37 -- --
Printing Fees 4 4 15
Professional Fees 3 4 13
Custodian/Wire Agent Fees 4 5 18
Registration Fees 1 -- 4
Overdraft fees -- -- --
Other Expenses 7 4 7
-------- -------- ---------
Total Expenses 570 472 2,134
-------- -------- ---------
Less:
Waiver of Investment Advisory Fees (58) -- (424)
Waiver of Shareholder Servicing Fees (A) (18) (9) (54)
Waiver of Shareholder Servicing Fees (I) -- -- --
Waiver of Administration Fees -- -- --
Fees Paid Indirectly (1) -- --
-------- -------- ---------
Net Expenses 493 463 1,656
-------- -------- ---------
NET INVESTMENT INCOME 335 536 2,675
-------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (39,850) (36,380) (92,120)
Securities Sold Short 3,018 -- --
Futures Contracts (8,602) (1,596) (2,329)
Written Options -- -- --
Swaptions -- -- --
Swap Contracts 696 -- --
Foreign Currency Transactions (4) -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (1,899) (6,177) (39,545)
Affiliated Investments -- (21) --
Securities Sold Short (1,248) -- --
Futures Contracts 1,826 222 402
Written Options -- -- --
Swaptions -- -- --
Swap Contracts 881 -- --
Foreign Currency and Translation of Other Assets and Liabilities
Denominated in Foreign Currencies (7) -- --
-------- -------- ---------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(44,854) $(43,416) $(130,917)
======== ======== =========
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
** Affiliated.
The accompanying notes are an integral part of the financial statements.
158 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
GLOBAL MANAGED TAX-MANAGED MANAGED REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
VOLATILITY FUND VOLATILITY FUND FUND INCOME FUND INCOME FUND BOND FUND
- --------------- ------------------- ----------- ----------- ----------- ----------
$ 2,273 $ 1,509 $ 4,688 $ 8 $ 52 $ 3,682
54 44 93 77 722 195
3 1 96 6,530 87,626 53,162
-- -- 206 -- 1,021 612
(123) (13) (18) (5) (18) (8)
-------- -------- --------- -------- --------- ---------
2,207 1,541 5,065 6,610 89,403 57,643
-------- -------- --------- -------- --------- ---------
609 360 500 472 4,023 2,071
328 194 269 413 4,096 1,487
234 139 192 295 3,647 1,062
-- -- -- -- 10 --
-- -- -- -- 10 --
3 1 2 3 39 12
1 1 -- 1 11 3
-- -- -- -- -- --
-- -- -- -- -- --
9 5 8 10 128 39
7 4 7 9 113 35
23 4 9 13 157 45
2 2 -- 4 35 3
32 -- 1 -- -- --
19 2 -- 40 282 112
-------- -------- --------- -------- --------- ---------
1,267 712 988 1,260 12,551 4,869
-------- -------- --------- -------- --------- ---------
(192) (149) (20) (243) (213) (150)
(2) (9) (90) (300) (2,520) (938)
-- -- -- -- (8) --
-- -- -- (10) -- --
-- -- (2) -- -- --
-------- -------- --------- -------- --------- ---------
1,073 554 876 707 9,810 3,781
-------- -------- --------- -------- --------- ---------
1,134 987 4,189 5,903 79,593 53,862
-------- -------- --------- -------- --------- ---------
(46,759) (14,891) (83,244) (34,440) (39,656) (88,527)
-- -- -- -- -- --
(1,566) (1,326) -- (3,160) 20,364 --
-- -- -- -- 4,623 --
-- -- -- -- 800 --
-- -- -- 147 (17,508) --
224 -- 88 (1,446) 10,176 --
(7,667) (13,799) (80,246) (26,151) (123,095) (184,621)
-- -- (69) -- (1,341) (816)
-- -- -- -- -- --
322 219 -- (318) (5,780) --
-- -- -- -- 1,670 --
-- -- -- -- 1,406 --
-- -- -- (110) 2,886 --
(506) -- (1) 441 (5,664) --
-------- -------- --------- -------- --------- ---------
$(54,818) $(28,810) $(159,283) $(59,134) $ (71,526) $(220,102)
======== ======== ========= ======== ========= =========
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 159
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2009 (Unaudited)
and the year ended September 30, 2008
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
------------------------ ----------------------- -----------------------
10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07
to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08
----------- ----------- ---------- ----------- ----------- ----------
OPERATIONS:
Net Investment Income $ 25,523 $ 62,993 $ 7,281 $ 11,848 $ 13,027 $ 29,492
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts (504,296) (41,840) (464,621) 43,557 (395,359) (1,856)
Net Realized Gain (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 (316,388) (924,754) (221,933) (807,115) (267,478) (716,677)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currencies -- -- -- -- -- --
----------- ----------- ---------- ----------- ----------- ----------
Net Decrease in Net Assets
Resulting from Operations (795,161) (903,601) (679,273) (751,710) (649,810) (689,041)
----------- ----------- ---------- ----------- ----------- ----------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (39,288) (64,076) (9,962) (11,649) (19,555) (30,228)
Class E -- -- -- -- -- --
Class I (195) (330) (27) (14) -- --
Class Y -- -- -- -- (36) (49)
Net Realized Gains:
Class A -- (308,944) -- -- -- --
Class E -- -- -- -- -- --
Class I -- (2,094) -- -- -- --
----------- ----------- ---------- ----------- ----------- ----------
Total Dividends and Distributions (39,483) (375,444) (9,989) (11,663) (19,591) (30,277)
----------- ----------- ---------- ----------- ----------- ----------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 365,566 602,496 384,661 598,288 710,933 523,966
Reinvestment of Dividends & Distributions 37,264 348,733 9,470 11,071 18,103 28,387
Cost of Shares Redeemed (593,337) (915,076) (638,162) (1,000,068) (1,030,591) (578,042)
----------- ----------- ---------- ----------- ----------- ----------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (190,507) 36,153 (244,031) (390,709) (301,555) (25,689)
----------- ----------- ---------- ----------- ----------- ----------
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 4,364 5,082 3,670 5,612 -- --
Reinvestment of Dividends & Distributions 180 2,377 23 13 -- --
Cost of Shares Redeemed (2,960) (17,887) (2,220) (19,955) -- --
----------- ----------- ---------- ----------- ----------- ----------
Increase (Decrease) in Net Assets Derived
from Class I Transactions 1,584 (10,428) 1,473 (14,330) -- --
----------- ----------- ---------- ----------- ----------- ----------
Class Y:
Proceeds from Shares Issued -- -- -- -- 360 177
Reinvestment of Dividends & Distributions -- -- -- -- 36 49
Cost of Shares Redeemed -- -- -- -- (194) (627)
----------- ----------- ---------- ----------- ----------- ----------
Increase (Decrease) in Net Assets Derived
from Class Y Transactions -- -- -- -- 202 (401)
----------- ----------- ---------- ----------- ----------- ----------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (188,923) 25,725 (242,558) (405,039) (301,353) (26,090)
----------- ----------- ---------- ----------- ----------- ----------
Net Decrease in Net Assets (1,023,567) (1,253,320) (931,820) (1,168,412) (970,754) (745,408)
----------- ----------- ---------- ----------- ----------- ----------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 2,391,872 3,645,192 2,479,747 3,648,159 2,152,169 2,897,577
----------- ----------- ---------- ----------- ----------- ----------
END OF YEAR/PERIOD $ 1,368,305 $ 2,391,872 $1,547,927 $ 2,479,747 $ 1,181,415 $2,152,169
----------- ----------- ---------- ----------- ----------- ----------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ (467) $ 13,493 $ (281) $ 2,427 $ (71) $ 6,493
=========== =========== ========== =========== =========== ==========
(1) See Note 4 in Notes to Financial Statements for additional information.
160 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
LARGE CAP DIVERSIFIED S&P 500 SMALL CAP SMALL CAP
ALPHA FUND INDEX FUND VALUE FUND GROWTH FUND
- ---------------------- ---------------------- ---------------------- ----------------------
10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07
to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$ 6,959 $ 17,757 $ 12,911 $ 28,411 $ 3,507 $ 5,342 $ 1,344 $ 357
(426,638) (163,795) (48,584) 15,023 (185,803) (22,505) (239,704) (76,835)
-- -- -- -- 52 (11) (48) (106)
(12,624) (302,473) (364,298) (417,431) (147,759) (158,308) 8,631 (237,318)
1 2 -- -- -- -- 7 (63)
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
(432,302) (448,509) (399,971) (373,997) (330,003) (175,482) (229,770) (313,965)
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
(11,222) (19,433) (7,346) (11,020) (6,416) (3,805) (98) (728)
-- -- (12,591) (18,292) -- -- -- --
(4) (5) (101) (142) (67) (27) -- --
-- -- -- -- -- -- -- --
-- (63,042) (3,784) (31,110) (4,119) (136,351) -- (85,670)
-- -- (6,354) (51,009) -- -- -- --
-- (19) (160) (592) (43) (1,639) -- (580)
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
(11,226) (82,499) (30,336) (112,165) (10,645) (141,822) (98) (86,978)
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
456,079 510,287 289,156 364,642 148,577 261,960 114,233 180,243
11,001 81,901 10,328 40,033 9,937 133,874 94 82,911
(477,348) (465,367) (289,554) (405,229) (217,047) (357,873) (179,892) (380,544)
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
(10,268) 126,821 9,930 (554) (58,533) 37,961 (65,565) (117,390)
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
-- -- 156,355 138,713 -- -- -- --
-- -- 17,501 63,336 -- -- -- --
-- -- (94,561) (172,607) -- -- -- --
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
-- -- 79,295 29,442 -- -- -- --
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
125 61 15,570 2,932 2,119 5,865 1,295 1,873
4 24 246 734 107 1,652 -- 573
(10) (35) (12,691) (8,507) (1,694) (9,403) (886) (5,811)
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
119 50 3,125 (4,841) 532 (1,886) 409 (3,365)
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
-- -- -- -- -- -- -- --
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
(10,149) 126,871 92,350 24,047 (58,001) 36,075 (65,156) (120,755)
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
(453,677) (404,137) (337,957) (462,115) (398,649) (281,229) (295,024) (521,698)
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
1,250,704 1,654,841 1,274,051 1,736,166 854,887 1,136,116 641,625 1,163,323
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
$ 797,027 $1,250,704 $ 936,094 $1,274,051 $ 456,238 $ 854,887 $ 346,601 $ 641,625
- ---------- ---------- ---------- ---------- --------- ---------- --------- ----------
$ (1,712) $ 2,555 $ (476) $ 6,651 $ (1,485) $ 1,491 $ 254 $ (992)
========== ========== ========== ========== ========= ========== ========= ==========
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 161
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2009 (Unaudited) and the year ended
September 30, 2008
TAX-MANAGED SMALL/MID CAP
SMALL CAP FUND DIVERSIFIED ALPHA FUND MID-CAP FUND
----------------------- ----------------------- -----------------------
10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07
to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08
---------- ---------- ---------- ---------- ---------- ----------
OPERATIONS:
Net Investment Income $ 851 $ 1,547 $ 335 $ 944 $ 536 $ 979
Net Realized Loss from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts (83,755) (11,086) (44,738) (22,612) (37,976) (17,204)
Net Realized Gain/(Loss) on Foreign Currency
Transactions -- -- (4) (5) -- --
Net Change in Unrealized Depreciation on
Investments, Affiliated Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts (26,383) (89,857) (440) (17,963) (5,976) (29,247)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currencies -- -- (7) 7 -- --
--------- --------- --------- --------- --------- ---------
Net Decrease in Net Assets Resulting
from Operations (109,287) (99,396) (44,854) (39,629) (43,416) (45,472)
--------- --------- --------- --------- --------- ---------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (1,496) (1,291) (375) (1,355) (1,030) (847)
Class I -- -- -- -- (1) --
Net Realized Gains:
Class A -- (23,726) -- -- -- (16,926)
Class I -- -- -- -- -- (18)
--------- --------- --------- --------- --------- ---------
Total Dividends and Distributions (1,496) (25,017) (375) (1,355) (1,031) (17,791)
--------- --------- --------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 138,764 115,260 56,885 58,072 31,096 88,803
Reinvestment of Dividends & Distributions 1,360 23,295 365 1,343 869 16,367
Cost of Shares Redeemed (170,266) (112,567) (51,260) (43,148) (28,129) (98,735)
--------- --------- --------- --------- --------- ---------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (30,142) 25,988 5,990 16,267 3,836 6,435
--------- --------- --------- --------- --------- ---------
Class I:
Proceeds from Shares Issued -- -- 59 27 300 222
Reinvestment of Dividends & Distributions -- -- -- -- 1 18
Cost of Shares Redeemed -- -- (28) (6) (129) (138)
--------- --------- --------- --------- --------- ---------
Increase in Net Assets Derived
from Class I Transactions -- -- 31 21 172 102
--------- --------- --------- --------- --------- ---------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (30,142) 25,988 6,021 16,288 4,008 6,537
--------- --------- --------- --------- --------- ---------
Net Increase (Decrease) in Net Assets (140,925) (98,425) (39,208) (24,696) (40,439) (56,726)
--------- --------- --------- --------- --------- ---------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 318,520 416,945 106,011 130,707 126,561 183,287
--------- --------- --------- --------- --------- ---------
END OF YEAR/PERIOD $ 177,595 $ 318,520 $ 66,803 $ 106,011 $ 86,122 $ 126,561
--------- --------- --------- --------- --------- ---------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ (244) $ 401 $ (21) $ 19 $ (259) $ 236
========= ========= ========= ========= ========= =========
(1) See Note 4 in Notes to Financial Statements for additional information.
(2) 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.
162 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
U.S. MANAGED GLOBAL MANAGED TAX-MANAGED MANAGED REAL ESTATE
VOLATILITY FUND VOLATILITY FUND VOLATILITY FUND(2) FUND
- ----------------------- ----------------------- ----------------------- -----------------------
10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 12/20/07 10/1/08 10/1/07
to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$ 2,675 $ 4,474 $ 1,134 $ 2,888 $ 987 $ 744 $ 4,189 $ 2,132
(94,449) (5,317) (48,325) (14,924) (16,217) (3,631) (83,244) (4,335)
-- -- 224 (6,086) -- -- 88 (12)
(39,143) (67,825) (7,345) (25,814) (13,580) (3,381) (80,315) (43,076)
-- -- (506) 1,989 -- -- (1) (2)
- --------- --------- --------- --------- --------- --------- --------- ---------
(130,917) (68,668) (54,818) (41,947) (28,810) (6,268) (159,283) (45,293)
- --------- --------- --------- --------- --------- --------- --------- ---------
(3,938) (4,113) -- (4,301) (1,361) (375) (6,085) (5,783)
-- -- -- -- -- -- (1) --
-- (22,450) -- (3,779) -- -- -- (15,877)
-- -- -- -- -- -- -- (1)
- --------- --------- --------- --------- --------- --------- --------- ---------
(3,938) (26,563) -- (8,080) (1,361) (375) (6,086) (21,661)
- --------- --------- --------- --------- --------- --------- --------- ---------
196,485 231,699 165,805 116,518 141,151 122,400 173,062 194,132
3,728 25,758 -- 7,898 1,163 331 5,834 20,844
(222,627) (289,416) (150,553) (145,982) (71,863) (19,565) (132,101) (141,657)
- --------- --------- --------- --------- --------- --------- --------- ---------
(22,414) (31,959) 15,252 (21,566) 70,451 103,166 46,795 73,319
- --------- --------- --------- --------- --------- --------- --------- ---------
11 7 16 21 -- -- 55 30
-- -- -- -- -- -- 1 1
(1) (2) (12) (11) -- -- (2) (3)
- --------- --------- --------- --------- --------- --------- --------- ---------
10 5 4 10 -- -- 54 28
- --------- --------- --------- --------- --------- --------- --------- ---------
(22,404) (31,954) 15,256 (21,556) 70,451 103,166 46,849 73,347
- --------- --------- --------- --------- --------- --------- --------- ---------
(157,259) (127,185) (39,562) (71,583) 40,280 96,523 (118,520) 6,393
- --------- --------- --------- --------- --------- --------- --------- ---------
458,674 585,859 204,166 275,749 96,523 -- 251,384 244,991
- --------- --------- --------- --------- --------- --------- --------- ---------
$ 301,415 $ 458,674 $ 164,604 $ 204,166 $ 136,803 $ 96,523 $ 132,864 $ 251,384
- --------- --------- --------- --------- --------- --------- --------- ---------
$ (6) $ 1,257 $ (2,961) $ (4,095) $ (5) $ 369 $ 1,289 $ 3,186
========= ========= ========= ========= ========= ========= ========= =========
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 163
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2009 (Unaudited) and the year ended
September 30, 2008
ENHANCED CORE FIXED HIGH YIELD
INCOME FUND INCOME FUND BOND FUND
---------------------- ------------------------ ----------------------
10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07
to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08
---------- ---------- ----------- ----------- ---------- ----------
OPERATIONS:
Net Investment Income $ 5,903 $ 23,833 $ 79,593 $ 219,736 $ 53,862 $ 108,507
Net Realized Gain (Loss) on Investments,
Futures Contracts, Written Options, Swaptions
and Swap Contracts (37,453) (28,773) (31,377) 8,749 (88,527) (55,543)
Net Realized Gain (Loss) on Foreign Currency
Transactions (1,446) (4,725) 10,176 (2,437) -- --
Net Change in Unrealized Depreciation
on Investments, Affiliated Investments,
Futures Contracts, Written Options,
and Swap Contracts (26,579) (49,878) (124,254) (353,817) (185,437) (206,556)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currencies 441 1,116 (5,664) 4,541 -- --
--------- --------- ----------- ----------- ---------- ----------
Net Decrease in Net Assets Resulting
from Operations (59,134) (58,427) (71,526) (123,228) (220,102) (153,592)
--------- --------- ----------- ----------- ---------- ----------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (6,444) (27,074) (85,950) (217,442) (53,521) (108,737)
Class I -- (1) (220) (432) (3) (3)
Net Realized Gains:
Class A -- -- -- -- (11,445) (15,203)
Class I -- -- -- -- (1) --
--------- --------- ----------- ----------- ---------- ----------
Total Dividends and Distributions (6,444) (27,075) (86,170) (217,874) (64,970) (123,943)
--------- --------- ----------- ----------- ---------- ----------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 105,818 208,486 749,383 968,244 588,687 559,747
Reinvestment of Dividends & Distributions 5,973 26,019 80,922 205,900 59,615 116,295
Cost of Shares Redeemed (149,368) (455,141) (1,715,003) (1,747,665) (572,706) (569,749)
--------- --------- ----------- ----------- ---------- ----------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (37,577) (220,636) (884,698) (573,521) 75,596 106,293
--------- --------- ----------- ----------- ---------- ----------
Class I:
Proceeds from Shares Issued 6 11 6,025 6,623 61 77
Reinvestment of Dividends & Distributions -- -- 209 419 4 3
Cost of Shares Redeemed -- (4) (2,551) (11,215) (26) (25)
--------- --------- ----------- ----------- ---------- ----------
Increase (Decrease) in Net Assets Derived
from Class I Transactions 6 7 3,683 (4,173) 39 55
--------- --------- ----------- ----------- ---------- ----------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (37,571) (220,629) (881,015) (577,694) 75,635 106,348
--------- --------- ----------- ----------- ---------- ----------
Net Decrease in Net Assets (103,149) (306,131) (1,038,711) (918,796) (209,437) (171,187)
--------- --------- ----------- ----------- ---------- ----------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 314,811 620,942 3,694,723 4,613,519 1,076,426 1,247,613
--------- --------- ----------- ----------- ---------- ----------
END OF YEAR/PERIOD $ 211,662 $ 314,811 $ 2,656,012 $ 3,694,723 $ 866,989 $1,076,426
--------- --------- ----------- ----------- ---------- ----------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 1,143 $ 1,684 $ (15,095) $ (8,518) $ (14,871) $ (15,209)
========= ========= =========== =========== ========== ==========
(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.
164 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Financial Highlights
For the period ended March 31, 2009 (Unaudited) and 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
2009* $15.79 $ 0.18(1) $(5.41)(1) $(5.23) $(0.28) $ -- $-- $(0.28)
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
2009* $15.78 $ 0.16(1) $(5.40)(1) $(5.24) $(0.26) $ -- $-- $(0.26)
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
2009* $18.39 $ 0.06(1) $(4.97)(1) $(4.91) $(0.08) $ -- $-- $(0.08)
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
2009* $18.20 $ 0.04(1) $(4.92)(1) $(4.88) $(0.05) $ -- $-- $(0.05)
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
2009* $11.08 $ 0.08(1) $(3.49)(1) $(3.41) $(0.12) $ -- $-- $(0.12)
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
2009* $11.24 $ 0.09(1) $(3.54)(1) $(3.45) $(0.12) $ -- $-- $(0.12)
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
2009* $ 8.23 $ 0.05(1) $(2.86)(1) $(2.81) $(0.08) $ -- $-- $(0.08)
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
2009* $ 8.22 $ 0.04(1) $(2.85)(1) $(2.81) $(0.07) $ -- $-- $(0.07)
2008 11.78 0.09(1) (3.11)(1) (3.02) (0.10) (0.44) -- (0.54)
2007 10.38 0.11(1) 1.48(1) 1.59 (0.11) (0.08) -- (0.19)
2006(3) 10.28 0.01(1) 0.09(1) 0.10 -- -- -- --
Ratio of
Ratio of Expenses Ratio of
Expenses to Average Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover
of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
---------- ------- ------------- ---------- ----------- ------------ ---------- ---------
LARGE CAP VALUE FUND
Class A
2009* $10.28 (33.36)% $1,359,607 0.89% 0.90% 0.99% 3.08% 30%
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
2009* $10.28 (33.44)% $ 8,698 1.11% 1.12% 1.24% 2.80% 30%
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
2009* $13.40 (26.72)% $1,540,737 0.89% 0.90% 1.04% 0.83% 38%
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
2009* $13.27 (26.81)% $ 7,190 1.11% 1.12% 1.29% 0.60% 38%
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
2009* $ 7.55 (30.91)% $1,179,072 0.89% 0.90% 1.04% 1.89% 36%
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
2009* $ 7.67 (30.80)% $ 2,343 0.56% 0.57% 0.74% 2.23% 36%
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
2009* $ 5.34 (34.29)% $ 796,655 1.09%(17) 1.09%(17) 1.17% 1.59% 99%
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
2009* $ 5.34 (34.30)% $ 372 1.33%(17) 1.33%(17) 1.42% 1.31% 99%
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 / Semi-Annual Report / March 31, 2009 165
Financial Highlights
For the period ended March 31, 2009 (Unaudited) and 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 Net Asset
Beginning Income (Losses) on Total from Investment Capital and Return Value, End
of Period (Loss) Securities Operations Income Gains of Capital of Period
--------- ---------- ----------- ---------- ---------- ------------- ------------- ----------
S&P 500 INDEX FUND
Class A
2009* $32.43 $ 0.31(1) $(10.24)(1) $(9.93) $(0.48) $(0.26) $(0.74) $21.76
2008 44.71 0.68(1) (10.10)(1) (9.42) (0.70) (2.16) (2.86) 32.43
2007(4) 41.45 0.34(1) 3.09(1) 3.43 (0.17) -- (0.17) 44.71
2007(5) 38.38 0.63(1) 3.70(1) 4.33 (0.68) (0.58) (1.26) 41.45
2006(5) 36.21 0.56(1) 3.47(1) 4.03 (0.54) (1.32) (1.86) 38.38
2005(5) 34.66 0.59(1) 1.57(1) 2.16 (0.58) (0.03) (0.61) 36.21
2004(5) 26.18 0.42(1) 8.58(1) 9.00 (0.52) -- (0.52) 34.66
Class E
2009* $32.54 $ 0.33(1) $(10.27)(1) $(9.94) $(0.51) $(0.26) $(0.77) $21.83
2008 44.85 0.75(1) (10.14)(1) (9.39) (0.76) (2.16) (2.92) 32.54
2007(4) 41.57 0.30(1) 3.17(1) 3.47 (0.19) -- (0.19) 44.85
2007(5) 38.48 0.69(1) 3.72(1) 4.41 (0.74) (0.58) (1.32) 41.57
2006(5) 36.31 0.62(1) 3.48(1) 4.10 (0.61) (1.32) (1.93) 38.48
2005(5) 34.76 0.66(1) 1.55(1) 2.21 (0.63) (0.03) (0.66) 36.31
2004(5) 26.26 0.47(1) 8.61(1) 9.08 (0.58) -- (0.58) 34.76
Class I
2009* $32.47 $ 0.28(1) $(10.25)(1) $(9.97) $(0.42) $(0.26) $(0.68) $21.82
2008 44.74 0.60(1) (10.12)(1) (9.52) (0.59) (2.16) (2.75) 32.47
2007(4) 41.51 0.28(1) 3.09(1) 3.37 (0.14) -- (0.14) 44.74
2007(5) 38.43 0.53(1) 3.71(1) 4.24 (0.58) (0.58) (1.16) 41.51
2006(5) 36.26 0.47(1) 3.46(1) 3.93 (0.44) (1.32) (1.76) 38.43
2005(5) 34.72 0.51(1) 1.56(1) 2.07 (0.50) (0.03) (0.53) 36.26
2004(5) 26.22 0.34(1) 8.60(1) 8.94 (0.44) -- (0.44) 34.72
SMALL CAP VALUE FUND
Class A
2009* $15.38 $ 0.07(1) $ (6.08)(1) $(6.01) $(0.13) $(0.08) $(0.21) $ 9.16
2008 21.26 0.09(1) (3.22)(1) (3.13) (0.07) (2.68) (2.75) 15.38
2007 21.28 0.04(1) 2.23(1) 2.27 (0.14) (2.15) (2.29) 21.26
2006 21.58 0.05(1) 1.97(1) 2.02 (0.06) (2.26) (2.32) 21.28
2005 20.74 0.06(1) 4.02(1) 4.08 (0.05) (3.19) (3.24) 21.58
2004 17.45 0.03(1) 4.32(1) 4.35 (0.06) (1.00) (1.06) 20.74
Class I
2009* $15.29 $ 0.05(1) $ (6.05)(1) $(6.00) $(0.11) $(0.08) $(0.19) $ 9.10
2008 21.17 0.05(1) (3.21)(1) (3.16) (0.04) (2.68) (2.72) 15.29
2007 21.21 (0.01)(1) 2.21(1) 2.20 (0.09) (2.15) (2.24) 21.17
2006 21.52 --(1) 1.98(1) 1.98 (0.03) (2.26) (2.29) 21.21
2005 20.71 (0.01)(1) 4.03(1) 4.02 (0.02) (3.19) (3.21) 21.52
2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02) (1.00) (1.02) 20.71
SMALL CAP GROWTH FUND
Class A
2009* $13.98 $ 0.03(1) $ (5.03)(1) $(5.00) $ --** $ -- $ -- $ 8.98
2008 21.91 0.01(1) (6.22)(1) (6.21) (0.01) (1.71) (1.72) 13.98
2007 18.56 (0.09)(1) 3.44(1) 3.35 -- -- -- 21.91
2006 17.86 (0.07)(1) 0.77(1) 0.70 -- -- -- 18.56
2005 15.14 (0.10)(1) 2.82(1) 2.72 -- -- -- 17.86
2004 14.11 (0.10)(1) 1.13(1) 1.03 -- -- -- 15.14
Class I
2009* $13.71 $ 0.02(1) $ (4.93)(1) $(4.91) $ -- $ -- $ -- $ 8.80
2008 21.57 (0.03)(1) (6.12)(1) (6.15) -- (1.71) (1.71) 13.71
2007 18.32 (0.14)(1) 3.39(1) 3.25 -- -- -- 21.57
2006 17.67 (0.12)(1) 0.77(1) 0.65 -- -- -- 18.32
2005 15.02 (0.14)(1) 2.79(1) 2.65 -- -- -- 17.67
2004 14.03 (0.14)(1) 1.13(1) 0.99 -- -- -- 15.02
Ratio of
Ratio of Expenses
Expenses to Average Ratio of Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
Total End of Period to Average Fees Paid Indirectly to Average Turnover
Return+ ($ Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
------- ------------- ---------- ------------ ------------ ------------ -----------
S&P 500 INDEX FUND
Class A
2009* (30.84)% $ 310,076 0.43% 0.43% 0.55% 2.61% 18%
2008 (22.30) 462,947 0.41 0.41 0.53 1.77 27
2007(4) 8.28 650,792 0.40 0.40 0.43 1.55 2
2007(5) 11.38 621,898 0.40 0.40 0.43 1.59 6
2006(5) 11.32 614,246 0.40 0.40 0.43 1.49 18
2005(5) 6.25 655,378 0.40 0.40 0.43 1.67 11
2004(5) 34.62 686,129 0.40 0.40 0.43 1.33 7
Class E
2009* (30.78)% $ 619,793 0.25% 0.25% 0.30% 2.79% 18%
2008 (22.19) 805,606 0.25 0.25 0.53 1.95 27
2007(4) 8.34 1,072,141 0.25 0.25 0.53 1.70 2
2007(5) 11.57 1,127,189 0.25 0.25 0.53 1.74 6
2006(5) 11.49 1,684,857 0.25 0.25 0.53 1.65 18
2005(5) 6.39 1,307,631 0.25 0.25 0.53 1.86 11
2004(5) 34.83 904,534 0.25 0.25 0.53 1.47 7
Class I
2009* (30.90)% $ 6,225 0.65% 0.65% 0.80% 2.37% 18%
2008 (22.49) 5,498 0.65 0.65 0.78 1.53 27
2007(4) 8.12 13,233 0.65 0.65 0.78 1.29 2
2007(5) 11.12 14,346 0.65 0.65 0.78 1.34 6
2006(5) 11.02 13,144 0.65 0.65 0.78 1.25 18
2005(5) 5.97 11,452 0.65 0.65 0.78 1.44 11
2004(5) 34.28 6,370 0.65 0.65 0.78 1.06 7
SMALL CAP VALUE FUND
Class A
2009* (39.21)% $ 450,724 1.14% 1.17% 1.29% 1.31% 50%
2008 (16.02) 846,492 1.13 1.15 1.28 0.55 91
2007 10.70 1,122,027 1.11 1.13 1.27 0.19 86
2006 10.34 1,160,178 1.11 1.13 1.27 0.31 72
2005 21.21 1,066,189 1.11 1.11 1.27 0.27 71
2004 25.67 942,037 1.10 1.10 1.27 0.17 89
Class I
2009* (39.33)% $ 5,514 1.36% 1.39% 1.54% 1.02% 50%
2008 (16.21) 8,395 1.36 1.39 1.53 0.31 91
2007 10.41 14,089 1.36 1.38 1.52 (0.04) 86
2006 10.11 14,293 1.36 1.38 1.52 0.06 72
2005 20.88 12,713 1.36 1.36 1.52 (0.03) 71
2004 25.29 7,400 1.35 1.35 1.52 (0.09) 89
SMALL CAP GROWTH FUND
Class A
2009* (35.75)% $ 344,005 1.11% 1.12% 1.29% 0.67% 77%
2008 (30.36) 638,257 1.11 1.12 1.28 0.04 124
2007 18.05 1,154,000 1.11 1.13 1.27 (0.43) 135
2006 3.92 1,111,329 1.11 1.13 1.27 (0.40) 99
2005 17.97 1,058,413 1.11 1.11 1.27 (0.60) 116
2004 7.30 970,759 1.10 1.10 1.27 (0.63) 124
Class I
2009* (35.81)% $ 2,596 1.36% 1.37% 1.55% 0.40 77%
2008 (30.57) 3,368 1.36 1.37 1.53 (0.19) 124
2007 17.74 9,323 1.36 1.38 1.52 (0.67) 135
2006 3.68 11,910 1.36 1.38 1.52 (0.65) 99
2005 17.64 11,077 1.36 1.36 1.52 (0.85) 116
2004 7.06 8,530 1.35 1.35 1.52 (0.90) 124
166 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
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
of Period (Loss) Securities Operations Income Gains of Capital of Period
--------- ---------- ----------- ---------- ---------- ------------- ------------- ----------
TAX-MANAGED SMALL CAP FUND
Class A
2009* $10.16 $ 0.03(1) $(3.53)(1) $(3.50) $(0.05) $ -- $(0.05) $ 6.61
2008 14.14 0.05(1) (3.19)(1) (3.14) (0.04) (0.80) (0.84) 10.16
2007 13.10 0.04(1) 2.00(1) 2.04 (0.06) (0.94) (1.00) 14.14
2006 13.13 0.01(1) 0.68(1) 0.69 -- (0.72) (0.72) 13.10
2005 11.63 (0.02)(1) 2.36(1) 2.34 -- (0.84) (0.84) 13.13
2004 10.00 (0.04)(1) 1.67(1) 1.63 -- -- -- 11.63
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Class A
2009* $ 7.23 $ 0.02(1) $(3.02)(1) $(3.00) $(0.02) $ -- $(0.02) $ 4.21
2008 10.10 0.06(1) (2.83)(1) (2.77) (0.10) -- (0.10) 7.23
2007(10) 10.00 0.10(1) 0.07(1)++ 0.17 (0.07) -- (0.07) 10.10
Class I
2009* $ 7.23 $ 0.01(1) $(3.02)(1) $(3.01) $(0.02) $ -- $(0.02) $ 4.20
2008(15) 10.28 0.03(1) (2.99)(1) (2.96) (0.09) -- (0.09) 7.23
MID-CAP FUND
Class A
2009* $14.87 $ 0.06(1) $(5.01)(1) $(4.95) $(0.12) $ -- $(0.12) $ 9.80
2008 22.22 0.11(1) (5.28)(1) (5.17) (0.09) (2.09) (2.18) 14.87
2007 20.40 0.06(1) 3.40(1) 3.46 (0.10) (1.54) (1.64) 22.22
2006 20.29 0.14(1) 1.49(1) 1.63 (0.12) (1.40) (1.52) 20.40
2005 17.84 0.06(1) 4.61(1) 4.67 (0.06) (2.16) (2.22) 20.29
2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40) 17.84
Class I
2009* $14.86 $ 0.01(1) $(4.96)(1) $(4.95) $(0.10) $ -- $(0.10) $ 9.81
2008(15) 22.56 0.06(1) (5.63)(1) (5.57) (0.04) (2.09) (2.13) 14.86
U.S. MANAGED VOLATILITY FUND
Class A
2009* $11.25 $ 0.07(1) $(3.35)(1) $(3.28) $(0.10) $ -- $(0.10) $ 7.87
2008 13.45 0.10(1) (1.69)(1) (1.59) (0.10) (0.51) (0.61) 11.25
2007 12.02 0.15(1) 1.74(1) 1.89 (0.14) (0.32) (0.46) 13.45
2006 11.41 0.10(1) 0.75(1) 0.85 (0.09) (0.15) (0.24) 12.02
2005(7) 10.00 0.10(1) 1.39(1) 1.49 (0.08) --** (0.08) 11.41
Class I
2009* $11.24 $ 0.06(1) $(3.34)(1) $(3.28) $(0.09) $-- $(0.09) $ 7.87
2008 13.43 0.09(1) (1.71)(1) (1.62) (0.06) (0.51) (0.57) 11.24
2007(13) 13.54 0.01(1) (0.05)(1) (0.04) (0.07) -- (0.07) 13.43
GLOBAL MANAGED VOLATILITY FUND
Class A
2009* $ 9.07 $ 0.04(1) $(2.30)(1) $(2.26) $-- $ -- $ -- $ 6.81
2008 11.22 0.12(1) (1.92)(1) (1.80) (0.18) (0.17) (0.35) 9.07
2007 10.37 0.17(1) 0.85(1) 1.02 (0.11) (0.06) (0.17) 11.22
2006(8) 10.00 0.02(1) 0.35(1) 0.37 -- -- -- 10.37
Class I
2009* $ 9.02 $ 0.05(1) $(2.30)(1) $(2.25) $-- $ -- $-- $ 6.77
2008 11.20 0.14(1) (1.97)(1) (1.83) (0.18) (0.17) (0.35) 9.02
2007(13) 11.45 0.01(1) (0.26)(1) (0.25) -- -- -- 11.20
TAX-MANAGED MANAGED VOLATILITY FUND
Class A
2009* $ 9.02 $ 0.06(1) $(2.35)(1) $(2.29) $(0.09) $ -- $(0.09) $ 6.64
2008(14) 10.00 0.10(1) (1.02)(1) (0.92) (0.06) -- (0.06) 9.02
Ratio of
Ratio of Expenses
Expenses to Average Ratio of Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
Total End of Period to Average Fees Paid Indirectly to Average Turnover
Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
-------- ------------- ---------- ----------- ------------ ------------ ---------
TAX-MANAGED SMALL CAP FUND
Class A
2009* (34.48)% $177,595 1.11% 1.16% 1.29% 0.85% 67%
2008 (23.34) 318,520 1.11 1.13 1.28 0.41 96
2007 16.00 416,945 1.11 1.14 1.27 0.31 72
2006 5.50 314,333 1.11 1.14 1.27 0.09 73
2005 20.80 269,519 1.11 1.11 1.27 (0.17) 99
2004 16.30 214,859 1.10 1.10 1.27 (0.31) 86
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Class A
2009* (41.44)% $ 66,763 1.32%(18) 1.32%(18) 1.53% 0.90% 97%
2008 (27.63) 105,993 1.42(6) 1.42(6) 1.62 0.75 170
2007(10) 1.71 130,707 1.29(12) 1.29(12) 1.50 1.25 112
Class I
2009* (41.60)% $ 40 1.58%(18) 1.58%(18) 1.78% 0.27% 97%
2008(15) (28.98) 18 1.67(6) 1.67(6) 1.71 0.37 170
MID-CAP FUND
Class A
2009* (33.38)% $ 85,919 1.02% 1.02% 1.04% 1.18% 59%
2008 (25.45) 126,509 1.02 1.02 1.03 0.58 126
2007 17.51 183,287 1.01 1.01 1.02 0.26 176
2006 8.50 90,208 1.01 1.01 1.03 0.67 135
2005 28.15 71,162 1.01 1.01 1.03 0.30 137
2004 22.23 53,642 1.00 1.00 1.02 0.53 121
Class I
2009* (33.38)% $ 203 1.26% 1.26% 1.30% 0.26% 59%
2008(15) (26.82) 52 1.26 1.26 1.27 0.33 126
U.S. MANAGED VOLATILITY FUND
Class A
2009* (29.26)% $301,402 1.00% 1.00% 1.29% 1.61% 68%
2008 (12.38) 458,668 1.00 1.00 1.27 0.85 85
2007 16.09 585,858 1.04 1.04 1.27 1.19 112
2006 7.64 303,523 1.11 1.11 1.27 0.91 133
2005(7) 14.94 160,047 1.11 1.11 1.27 1.03 102
Class I
2009* (29.30)% $ 13 1.25% 1.25% 1.55% 1.55% 68%
2008 (12.58) 6 1.25 1.25 1.57 0.71 85
2007(13) (0.32) 1 1.36 1.36 1.86 0.19 112
GLOBAL MANAGED VOLATILITY FUND
Class A
2009* (24.83)% $164,592 1.14%(19) 1.14%(19) 1.35% 1.21% 91%
2008 (16.60) 204,156 1.11 1.11 1.31 1.24 113
2007 9.88 275,748 1.11 1.11 1.32 1.56 119
2006(8) 3.70 94,951 1.10 1.10 1.30 1.22 13
Class I
2009* (24.94)% $ 12 1.42%(19) 1.42%(19) 1.64% 1.29% 91%
2008 (16.86) 10 1.36 1.36 1.56 1.49 113
2007(13) (2.18) 1 1.36 1.36 2.26 0.23 119
TAX-MANAGED MANAGED VOLATILITY FUND
Class A
2009* (25.52)% $136,803 1.00% 1.00% 1.28% 1.78% 50%
2008(14) (9.24) 96,523 1.00 1.00 1.29 1.43 65
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 167
Financial Highlights
For the period ended March 31, 2009 (Unaudited) and 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 Net Asset
Beginning Income (Losses) on Total from Investment Capital and Return Value, End
of Period (Loss) Securities Operations Income Gains of Capital of Period
--------- ---------- ----------- ---------- ---------- ------------- ------------- ----------
REAL ESTATE FUND
Class A
2009* $13.73 $0.20(1) $(8.28)(1) $(8.08) $(0.29) $ -- $(0.29) $ 5.36
2008 18.20 0.13(1) (3.11)(1) (2.98) (0.38) (1.11) (1.49) 13.73
2007 18.43 0.30(1) 0.76(1) 1.06 (0.36) (0.93) (1.29) 18.20
2006 14.86 0.23(1) 4.15(1) 4.38 (0.36) (0.45) (0.81) 18.43
2005 11.89 0.27(1) 3.22(1) 3.49 (0.26) (0.26) (0.52) 14.86
2004(9) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17) 11.89
Class I
2009* $13.72 $0.21(1) $(8.29)(1) $(8.08) $(0.28) $ -- $(0.28) $ 5.36
2008(15) 18.55 0.13(1) (3.49)(1) (3.36) (0.36) (1.11) (1.47) 13.72
ENHANCED INCOME FUND
Class A
2009* $ 8.21 $0.17(1) $(1.85)(1) $(1.68) $(0.18) $ -- $(0.18) $ 6.35
2008 9.92 0.49(1) (1.68)(1) (1.19) (0.52) -- (0.52) 8.21
2007 10.11 0.57(1) (0.27)(1) 0.30 (0.49) -- (0.49) 9.92
2006(8) 10.00 0.10(1) 0.01(1) 0.11 -- -- -- 10.11
Class I
2009* $ 8.20 $0.12(1) $(1.80)(1) $(1.68) $(0.17) $ -- $(0.17) $ 6.35
2008 9.91 0.43(1) (1.63)(1) (1.20) (0.51) -- (0.51) 8.20
2007(13) 10.25 0.15(1) (0.35)(1) (0.20) (0.14) -- (0.14) 9.91
CORE FIXED INCOME FUND
Class A
2009* $ 9.37 $0.24(1) $(0.42)(1) $(0.18) $(0.26) $ -- $(0.26) $ 8.93
2008 10.19 0.51(1) (0.82)(1) (0.31) (0.51) -- (0.51) 9.37
2007 10.29 0.50(1) (0.10)(1) 0.40 (0.50) -- (0.50) 10.19
2006 10.44 0.47(1) (0.11)(1) 0.36 (0.48) (0.03) (0.51) 10.29
2005 10.65 0.40(1) (0.11)(1) 0.29 (0.41) (0.09) (0.50) 10.44
2004 10.71 0.37(1) 0.08(1) 0.45 (0.38) (0.13) (0.51) 10.65
Class I
2009* $ 9.36 $0.23(1) $(0.41)(1) $(0.18) $(0.25) $ -- $(0.25) $ 8.93
2008 10.19 0.49(1) (0.84)(1) (0.35) (0.48) -- (0.48) 9.36
2007 10.29 0.41(1) (0.03)(1) 0.38 (0.48) -- (0.48) 10.19
2006 10.43 0.45(1) (0.11)(1) 0.34 (0.45) (0.03) (0.48) 10.29
2005 10.65 0.38(1) (0.12)(1) 0.26 (0.39) (0.09) (0.48) 10.43
2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49) 10.65
HIGH YIELD BOND FUND
Class A
2009* $ 6.57 $0.32(1) $(1.70)(1) $(1.38) $(0.32) $(0.07) $(0.39) $ 4.80
2008 8.26 0.66(1) (1.60)(1) (0.94) (0.66) (0.09) (0.75) 6.57
2007 8.38 0.67(1) (0.11)(1) 0.56 (0.68) -- (0.68) 8.26
2006 8.50 0.65(1) (0.12)(1) 0.53 (0.65) -- (0.65) 8.38
2005 8.58 0.64(1) (0.08)(1) 0.56 (0.64) -- (0.64) 8.50
2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67) 8.58
Class I
2009* $ 6.58 $0.31(1) $(1.70)(1) $(1.39) $(0.31) $(0.07) $(0.38) $ 4.81
2008(15) 8.26 0.66(1) (1.61)(1) (0.95) (0.64) (0.09) (0.73) 6.58
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
Total End of Period to Average Fees Paid Indirectly to Average Turnover
Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
------- ------------- ---------- ----------- ------------ ---------- ---------
REAL ESTATE FUND
Class A
2009* (59.42)% $ 132,810 1.14% 1.14% 1.28% 5.44% 43%
2008 (17.15) 251,359 1.13 1.13 1.27 0.86 52
2007 5.49 244,991 1.11 1.12 1.27 1.55 84
2006 30.44 192,674 1.11 1.12 1.27 1.39 65
2005 29.97 96,405 1.11 1.11 1.27 1.95 58
2004(9) 20.82 35,008 1.10 1.10 1.30 2.20 98
Class I
2009* (59.46)% $ 54 1.36% 1.36% 1.55% 6.28% 43%
2008(15) (18.89) 25 1.36 1.36 1.52 0.86 52
ENHANCED INCOME FUND
Class A
2009* (20.56)% $ 211,643 0.60% 0.60% 1.07% 5.03% 55%
2008 (12.42) 314,795 0.60 0.60 1.04 5.40 42
2007 2.96 620,931 0.60 0.60 1.03 5.67 43
2006(8) 1.10 235,981 0.60 0.60 1.10 5.54 70
Class I
2009* (20.62)% $ 19 0.85% 0.85% 1.32% 3.53% 55%
2008 (12.61) 16 0.85 0.85 1.29 4.82 42
2007(13) (2.01) 11 1.09 1.09 1.56 5.78 43
CORE FIXED INCOME FUND
Class A
2009* (1.84)% $2,644,550 0.67% 0.67% 0.86% 5.41% 192%
2008 (3.25) 3,686,633 0.66 0.66 0.84 5.12 335
2007 4.00 4,600,629 0.64 0.64 0.84 4.89 413
2006 3.60 4,293,309 0.63 0.63 0.84 4.62 478
2005 2.83 4,094,011 0.61 0.61 0.84 3.83 557
2004 4.38 4,067,065 0.61*** 0.61*** 0.84 3.52 430
Class I
2009* (1.85)% $ 11,462 0.89% 0.89% 1.11% 5.24% 192%
2008 (3.58) 8,090 0.90 0.90 1.09 4.87 335
2007 3.74 12,890 0.89 0.89 1.09 3.96 413
2006 3.44 14,035 0.88 0.88 1.09 4.37 478
2005 2.48 12,979 0.86 0.86 1.09 3.60 557
2004 4.12 10,420 0.86*** 0.86*** 1.09 3.25 430
HIGH YIELD BOND FUND
Class A
2009* (20.91)% $ 866,918 0.89% 0.89% 1.14% 12.59% 41%
2008 (12.09) 1,076,379 0.88 0.88 1.13 8.73 69
2007 6.72 1,247,613 0.86 0.86 1.12 7.89 91
2006 6.51 1,068,711 0.86 0.86 1.12 7.69 126
2005 6.71 1,599,921 0.86 0.86 1.12 7.46 132
2004 10.84 1,197,554 0.85 0.85 1.11 7.84 179
Class I
2009* (20.95)% $ 71 1.11% 1.11% 1.40% 12.49% 41%
2008(15) (12.20) 47 1.11 1.11 1.38 8.96 69
168 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
+ 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.
* For the six month period ended March 31, 2009. All ratios for the period
have been annualized.
** 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.
(17) The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 0.95% and 1.20% for Class A and Class I, respectively.
(18) The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 1.20% and 1.45% for Class A and Class I, respectively.
(19) The expense ratio includes overdraft expense. Had this expense been
excluded the ratios would have been 1.11% and 1.36% 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 / Semi-Annual Report / March 31, 2009 169
Notes to Financial Statements (Unaudited)
March 31, 2009
1. ORGANIZATION
SEI Institutional Managed Trust (the "Trust") is organized as a Massachusetts
business trust under a Declaration of Trust dated October 20, 1986.
The Trust is registered under the Investment Company Act of 1940, as amended, as
an open-end investment company with 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 March 31, 2009, 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 Trust's Board of
Trustees. The Trust's Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Trust's Board of Trustees. Some of
the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when, under
normal conditions, it would be open; or the security's primary pricing source is
not able or willing to provide a price. When a security is valued in accordance
with the Fair Value Procedures, the Committee will determine the value after
taking into consideration relevant information reasonably available to the
Committee.
For securities that principally trade on a foreign market or exchange, a
significant gap in time can exist between the time of a particular security's
last trade and the time at which a Fund calculates its net asset value. The
closing prices of such securities may no longer reflect their market value at
the time a Fund calculates net asset value if an event that could materially
affect the value of those securities (a "Significant Event") has occurred
between the time of the security's last close and the time that a Fund
calculates net asset value. A Significant Event may relate to a single issuer or
to an entire market sector. If the adviser or sub-adviser of a Fund becomes
aware of a Significant Event that has occurred with respect to a security or
group of securities after the closing of the exchange or market on which the
security or securities principally trade, but before the time at which a Fund
calculates net asset value, it may request that a Committee Meeting be called.
In addition, the 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 a Fund calculates net asset
value. If
170 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
price movements in a monitored index or security exceed levels established by
the administrator, the administrator notifies the adviser or sub-adviser for any
Fund holding the relevant securities that such limits have been exceeded. In
such event, the adviser or sub-adviser makes the determination whether a
Committee Meeting should be called based on the information provided.
Options and warrants for which the primary market is a national securities
exchange are valued at the last sale price on the exchange on which they are
traded, or, in the absence of any sale, at the closing bid price. Options and
warrants not traded on a national securities exchange are valued at the last
quoted bid price.
Financial Accounting Standards Board Statement of Financial Accounting Standards
No. 157, Fair Value Measurements ("FAS 157"), is effective for the Fund's
financial statements issued after November 15, 2007. In accordance with FAS 157,
fair value is defined as the price that a Fund would receive upon selling an
investment in a timely transaction to an independent buyer in the principal or
most advantageous market of the investment. FAS 157 established a three-tier
hierarchy to maximize the use of observable and minimize the use of unobservable
inputs and to establish classification of fair value measurements for disclosure
purposes. Inputs refer broadly to the assumptions that market participants would
use in pricing an asset. Inputs may be observable or unobservable. Observable
inputs are inputs that reflect the assumptions market participants would use in
pricing the asset or liability based on market data obtained from sources
independent of the reporting entity. Unobservable inputs are inputs that reflect
the reporting entity's own assumptions about the assumptions market participants
would use in pricing the asset or liability based on the best information
available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels
listed below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for
similar investments, interest rates, prepayment speeds, credit risks, etc.)
Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The valuation techniques used by the Funds to measure fair value in accordance
with FAS 157 during the six months ended March 31, 2009 maximized the use of
observable inputs and minimized the use of unobservable inputs.
The following is a summary of the inputs used as of March 31, 2009 in valuing
the Fund's investments in accordance with FAS 157 carried at value ($
Thousands):
Investments in Securities* Level 1 Level 2 Level 3 Total
- -------------------------- ---------- ---------- ------- ----------
Large Cap Value Fund $1,372,677 $ 262,911 $ -- $1,635,588
Large Cap Growth Fund 1,546,155 312,997 -- 1,859,152
Tax-Managed
Large Cap Fund 1,172,803 206,532 -- 1,379,335
Large Cap Diversified
Alpha Fund 731,380 89,226 1,066 821,672
S&P 500 Index Fund 939,870 209,367 -- 1,149,237
Small Cap Value Fund 456,072 102,180 338 558,590
Small Cap Growth Fund 343,968 67,756 447 412,171
Tax-Managed Small
Cap Fund 175,457 3,668 -- 179,125
Small/Mid Cap
Diversified Alpha Fund 61,022 6,211 29 67,262
Mid-Cap Fund 85,870 13,638 -- 99,508
U.S. Managed
Volatility Fund 295,979 1,099 -- 297,078
Global Managed
Volatility Fund 160,319 890 -- 161,209
Tax-Managed Managed
Volatility Fund 135,801 759 -- 136,560
Real Estate Fund 128,884 57,362 343 186,589
Enhanced Income Fund 38,755 157,770 16,005 212,530
Core Fixed Income Fund 109,111 3,236,455 7,355 3,352,921
High Yield Bond Fund 74,538 901,586 38,927 1,015,051
Other Financial Instruments** Level 1 Level 2 Level 3 Total
- ----------------------------- -------- -------- ------- -------
Large Cap Value Fund $ 453 $ -- $-- $ 453
Large Cap Growth Fund 1,441 -- -- 1,441
Tax-Managed
Large Cap Fund 1,349 -- -- 1,349
Large Cap Diversified
Alpha Fund 9,204 1,943 -- 11,147
S&P 500 Index Fund 905 -- -- 905
Small Cap Value Fund 1,008 -- -- 1,008
Small Cap Growth Fund 349 -- -- 349
Tax-Managed
Small Cap Fund 186 -- -- 186
Small/Mid Cap Diversified
Alpha Fund 630 -- -- 630
Mid-Cap Fund 122 -- -- 122
U.S. Managed
Volatility Fund 351 -- -- 351
Global Managed
Volatility Fund 1,238 -- -- 1,238
Tax-Managed Managed
Volatility Fund 101 -- -- 101
Enhanced Income Fund (1,081) -- -- (1,081)
Core Fixed Income Fund 2,255 (1,089) -- 1,166
Liabilities*** Level 1 Level 2 Level 3 Total
- -------------- -------- -------- ------- -------
Core Fixed Income Fund $(365) $-- $-- $(365)
* Includes securities purchased with cash collateral held from securities on
loan.
** Other financial instruments are derivative instruments not reflective in
the Portfolio of Investments, such as futures, forwards and swap contracts,
which are valued at the unrealized appreciation/depreciation on the
instrument.
*** Includes liabilities for written option contracts.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 171
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2009
The following is a reconciliation of investments in which significant
unobservable inputs (Level 3) were used in determining value ($ Thousands):
Large Cap Small/Mid Cap Real Enhanced Core Fixed
Diversified Small Cap Small Cap Diversified Estate Income Income High Yield
Alpha Fund Value Fund Growth Fund Alpha Fund Fund Fund Fund Bond Fund
----------- ---------- ----------- ------------- ------ -------- ---------- ----------
Beginning balance as of
September 30, 2008 $ 3,006 $ -- $ 959 $ (452) $ -- $ 53,362 $28,493 $126,137
Unrealized market gain/(loss) 954 -- (445) 1,061 -- (4,651) (9,809) (39,802)
Unrealized FX gain/(loss) -- -- (67) (8) -- -- -- --
Realized market gain/(loss) (8,835) -- -- (5,252) -- (15,306) (1,128) (2,201)
Change in accrued amortization -- -- -- 9 -- (296) 90 (4)
Proceeds from Sales 5,941 -- -- 4,682 -- (17,903) (8,153) (8,678)
Amortization Sold -- -- -- (11) -- 164 5 10
Purchases & Issuances & Settlements -- -- -- -- -- 3,294 -- 11,665
Transfer into Level 3 -- 338 -- -- 343 -- 1,819 14,852
Transfer out of Level 3 -- -- -- -- -- (2,659) (3,962) (63,052)
------- ----- ----- ------- ---- -------- ------- --------
Ending balance as of
March 31, 2009 $ 1,066 $338 $ 447 $ 29 $343 $ 16,005 $ 7,355 $ 38,927
======= ==== ===== ======== ==== ======== ======= ========
CREDIT DEFAULT SWAPS -- 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) beginning after November 15, 2008.
A Fund enters into credit default swaps to simulate long and short bond
positions that are either unavailable or considered to be less attractively
priced in the bond market. A Fund uses these swaps to reduce risk where a Fund
has exposure to the issuer, or to take an active long or short position with
respect to the likelihood of an event of default. The reference obligation of
the swap can be a single issuer, a "basket" of issuers, or an index. The
underlying referenced assets are corporate debt, sovereign debt and asset backed
securities.
The buyer of a credit default swap is generally obligated to pay the seller a
periodic stream of payments over the term of the contract in return for a
contingent payment upon the occurrence of a credit event with respect to an
underlying reference obligation. Generally, a credit event for corporate or
sovereign reference obligations means bankruptcy, failure to pay, obligation
acceleration, repudiation/moratorium or restructuring. For credit default swaps
on asset-backed securities, a credit event may be triggered by events such as
failure to pay principal, maturity extension, rating downgrade or write-down. If
a credit event occurs, the seller typically must pay the contingent payment to
the buyer, which is typically the par value (full notional value) of the
reference obligation, though the actual payment may be mitigated by terms of the
International Swaps and Derivative Agreement ("ISDA"), allowing for netting
arrangements and collateral. After a credit event occurs, this amount may be
reduced by anticipated recovery rates, segregated collateral and netting
arrangements that may incorporate multiple transactions with a given
counterparty.
The contingent payment may be a cash settlement or a physical delivery of the
reference obligation. If a Fund is a buyer and no credit event occurs, a Fund
may lose its investment and recover nothing. However, if a credit event occurs,
the buyer typically receives full notional value for a reference obligation that
may have little or no value. If a Fund is a seller, the buyer receives a fixed
rate of income throughout the term of the contract, which typically is between
one month and five years, provided that no credit event occurs. If a credit
event occurs, the seller may pay the buyer the full notional value of the
reference obligation.
172 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
As of March 31, 2009, the Core Fixed Income Fund is the buyer ("receiving
protection") on a total notional amount of $47.5 million) and is the seller
("providing protection") on a total notional amount of $47.8 million. The
notional amounts of the swaps are not recorded in the financial statements;
however the notional amount does approximate the maximum potential amount of
future payments that the Fund could be required to make if the Fund were the
seller of protection and a credit event were to occur. Those credit default
swaps for which the Fund is providing protection at balance sheet date are
summarized as follows:
SINGLE NAME CDS CREDIT DEFAULT SWAP INDEX
WRITTEN CREDIT DERIVATIVE CONTRACTS -------------------------- -------------------------
REFERENCE ASSET CORP US$ SOVEREIGN US$ ABS US$ CORP US$ TOTAL
- ----------------------------------- ---------- ------------- ------------ ---------- ------------
Fair value written credit derivatives $ (58,928) -- $(34,363,326) -- $(34,422,254)
Maximum potential amount of future payments $4,280,000 -- $ 43,545,000 -- $ 47,825,000
Recourse provisions with third parties to
recover any amounts paid under the credit
derivative (including any purchased credit
protection)(2) -- -- -- -- --
Collateral held by the partnership can obtain
upon occurrence of triggering event -- -- -- -- --
(1) FSP 133-1 does not require the quantification where the Fund is receiving
protection, but such disclosure may be beneficial in quantifying off
balance sheet risks as required by SoP 94-6.
(2) For purposes of quantifying this disclosure, potential recoveries would
include purchased credit derivatives to the extent they offset written
credit derivatives which have an identical underlying, or a netting
arrangement or credit support annex with the counterparty. There may be
other potential recoveries from recourse provisions where agreements cover
multiple derivative arrangements but those amounts have not been included.
If Management is unable to reasonably estimate the amount of potential
recoveries from recourse provisions (for instance, because collateral
agreements cover multiple derivative arrangements and their potential
performance risks, not specific to selling credit protection on certain
credit derivatives), that fact should be disclosed.
Note: There are collateral arrangements in place that cover multiple derivate
arrangements but those amounts have not been included, as potential recoveries
are not specific to selling credit protection on certain derivatives.
MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
0-6 MONTHS 6-12 MONTHS 1-5 YEARS 5-10 YEARS > 10 YEARS TOTAL
---------- ----------- --------- ---------- ----------- -----------
Current credit spread* on
underlying (in basis points)(3) -- -- -- -- -- --
0-100 -- -- -- -- -- --
101-250 -- -- -- -- -- --
251-500 -- -- -- $2,800,000 -- $ 2,800,000
501-1000-- -- -- -- $1,480,000 -- $ 1,480,000
> than 1,000 -- -- -- $4,280,000 $43,545,000 $47,825,000
* The credit spread on the underlying asset is generally indicative of the
current status of the underlying risk of the Fund having to perform. The
spread also reflects the cost of buying/selling protection and may include
upfront payments required to be made to enter into a contract. Higher
credit spreads with a shorter contract term is indicative of a higher
likelihood of performance by the Fund.
(3) If Management uses credit ratings to evaluate the credit risk of an
underlying asset, it may use such ratings in its disclosure by replacing
credit spreads by credit ratings.
The credit spread disclosed above for each reference obligation where the Fund
is the seller of protection is a representation of the current
payment/performance risk of the swap.
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 Small/Mid Cap Diversified Alpha and Core
Fixed Income Funds' use of the proceeds under the agreement may be restricted
pending a determination by the other party, or its trustee or receiver, whether
to enforce the obligation to repurchase the securities. There were no reverse
repurchase agreements outstanding as of March 31, 2009.
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.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 173
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2009
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 that Fund's returns. All commitments
are "marked-to-market" daily at the applicable foreign exchange rate, and any
resulting unrealized gains or losses are recorded currently. The Small Cap
Growth, Global Managed Volatility, Enhanced Income and Core Fixed Income Funds
realize gains and losses at the time forward contracts are extinguished.
Unrealized gains or losses on outstanding positions in forward foreign currency
contracts held at the close of the period are recognized as ordinary income or
loss for Federal income tax purposes. The Funds could be exposed to risk if the
counterparties to the contracts are unable to meet the terms of the contract and
from unanticipated movements in the value of a foreign currency relative to the
U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed
on the Statement of Assets and Liabilities. At the six month period ended March
31, 2009, 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 six month period ended
March 31, 2009. These Funds' investments in futures contracts are designed to
enable these 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 Core Fixed Income Fund's
returns.
Initial margin deposits of cash or securities are made upon entering into
futures contracts. The contracts are marked to market daily and the resulting
changes in value are accounted for as unrealized gains and losses. Variation
margin payments are paid or received, depending upon whether unrealized gains or
losses are incurred. When the contract is closed, the 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 a Fund writes or purchases an
option/swaption, an amount equal to the premium received or paid by the Fund is
recorded as a liability or an asset and is subsequently adjusted to the current
market value of the option/swaption written or purchased. Premiums received or
paid from writing or purchasing options/swaptions which expire unexercised are
treated by the Fund on the expiration date as realized gains or losses. The
difference between the premium and the amount paid or received on effecting a
closing purchase or sale transaction, including brokerage commissions, is also
treated as a realized gain or loss. If an option/swaption is exercised, the
premium paid or received is added to the cost of the purchase or proceeds from
the sale in determining whether the Fund has realized a gain or a loss on
investment transactions. As of March 31, 2009, the Core Fixed Income Fund held
option contracts 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.
174 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Finally, the risk exists that losses on written options could exceed amounts
disclosed on the Statements of Assets and Liabilities.
Written option transactions entered into during the six month period ended March
31, 2009 are summarized as follows:
Core Fixed Income Fund
-------------------------
Number of Premium
Contracts ($ Thousands)
--------- -------------
Balance at the beginning of period 3,071 $ 2,347
Written 4,107 4,351
Expired (5,015) (4,318)
Closing Buys (1,417) (1,644)
------ -------
Balance at the end of period 746 $ 736
====== =======
Written swaptions transactions entered into during the six month period ended
March 31, 2009 are summarized as follows:
Core Fixed Income Fund
---------------------------
Notional
Amount Premium
(Thousands) ($ Thousands)
----------- -------------
Balance at the beginning of period 33,000 $ 719
Written -- --
Expired -- --
Closing buys (33,000) (719)
------- -----
Balance at the end of period -- $ --
======= =====
At March 31, 2009, the Core Fixed Income Fund had cash and/ or securities at
least equal to the value of written options.
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 make delivery to the buyer. A Fund then is obligated
to replace the security borrowed by purchasing the security at the market price
at the time of the replacement. The price at such time may be more or less than
the price at which the security was sold by a Fund. Until the security is
replaced, a Fund is required to pay the lender amounts equal to any dividends or
interest that accrue during the period of the loan. Dividends and interest are
shown as an expense for financial reporting purposes. To borrow the security, a
Fund also may be required to pay a premium, which would decrease proceeds of the
security sold. The proceeds of the short sale are retained by the broker, to the
extent necessary to meet margin requirements, until the short position is closed
out. A gain, limited to the price at which a Fund sold the security short, or a
loss, unlimited in size, will be recognized upon the close of a short sale.
Until a Fund closes its short position or replaces the borrowed security, a Fund
will: (a) maintain a segregated account containing cash or liquid securities at
such a level that (i) the amount deposited in the account plus the amount
deposited with the broker as collateral will equal the current value of the
security sold short; and (ii) the amount deposited in the segregated account
plus the amount deposited with the broker as collateral will not be less than
the market value of the security at the time the security was sold short, or (b)
otherwise cover the Fund's short positions.
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 a Fund or counterparty based on a specified rate
multiplied by a notional amount assigned to an underlying debt instrument or
group of debt instruments in exchange for the assumption of credit risk on the
same instruments. In the event of a credit event, usually in the form of a
credit rating downgrade, the party receiving periodic payments (i.e. floating
rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to
the recovery rate used to settle the contracts. The recovery rate is a function
of how many credit default swap investors wish to deliver the security or
receive the security. The recovery rate is determined through an auction
process. Total return swaps allow an investor to benefit from the cash flow
without ever actually owning the underlying security. The receiver must pay any
decline in value to the payer at the end of the total return swap. However, the
investor does not need to make a payment if there is no decline in price.
Payments can be made on various indices, bonds (i.e. mortgage backed securities,
bank debt and corporate), loans or commodities. The value of a total return swap
is equal to the change in value of the underlying asset versus the accrued
income payment based on LIBOR or some other form of indices on the notional
amount. Interest rate swaps involve the exchange by a Fund with another party of
their respective commitments to pay or receive interest (e.g., an exchange of
floating rate payments for fixed rate payments) with respect to a notional
amount of principal to manage a Fund's exposure to interest rates. Payments
received or made are recorded as realized gains or loss. A Fund could be exposed
to credit or market risk due to unfavorable changes in the fluctuation of
interest rates or if the counterparty defaults on its obligation to perform.
Risk of loss may exceed amounts recognized on the statement of assets and
liabilities. Interest rate swap contracts outstanding at period end, if any, are
listed after a Fund's portfolio. In connection with swap agreements securities
may be set aside as collateral by a Fund's custodian. A Fund may enter into swap
agreements in order to, among other things, change the maturity or duration of
the investment portfolio, to protect a Fund's value from changes in interest
rates, or to expose a Fund to a different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and
the resulting changes in market values, if any, are recorded as an unrealized
gain or loss in the Statement of Operations. Net payments of interest are
recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Statement of Assets
and Liabilities. Such risks involve the possibility that
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 175
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2009
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 -- A Fund may invest in collateralized debt
obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and
other similarly structured securities. CLOs are a type of asset-backed
securities. A CLO is a trust typically collateralized by a pool of loans, which
may include, among others, domestic and foreign senior secured loans, senior
unsecured loans, and subordinate corporate loans, including loans that may be
rated below investment grade or equivalent unrated loans. CDOs may charge
management fees and administrative expenses.
For CDOs, the cashflows from the trust are split into two or more portions,
called tranches, varying in risk and yield. The riskiest portion is the "equity"
tranche which bears the bulk of defaults from the bonds or loans in the trust
and serves to protect the other, more senior tranch-es from default in all but
the most severe circumstances. Since it is partially protected from defaults, a
senior tranche from a CDO trust typically has a higher rating and lower yield
than its underlying securities, and can be rated investment grade. Despite the
protection from the equity tranche, CDO tranches can experience substantial
losses due to actual defaults, increased sensitivity to defaults due to
collateral default and disappearance of protecting tranches, market anticipation
of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on its Class and its
collateral securities. Normally, CLOs and other CDOs are privately offered and
sold, and thus, are not registered under the securities laws. As a result,
investments in CDOs may be characterized by the Funds as illiquid securities;
however, an active dealer market may exist for CDOs, allowing a CDO to qualify
for Rule 144A transactions. In addition to the normal risks associated with
fixed income securities (e.g., interest rate risk and default risk), CDOs carry
additional risks including, but not limited to: (i) the possibility that
distributions from collateral securities will not be adequate to make interest
or other payments; (ii) the quality of the collateral may decline in value or
default; (iii) the Funds may invest in CDOs that are subordinate to other
classes; and (iv) the complex structure of the security may not be fully
understood at the time of investment and may produce disputes with the issuer or
unexpected investment results.
ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or
disposed of in the ordinary course of business within seven days or less for its
approximate carrying value on the books of a Fund. Valuations of illiquid
securities may differ significantly from the values that would have been used
had an active market value for these securities existed.
RESTRICTED SECURITIES -- At March 31, 2009, the following Funds owned private
placement investments that were purchased through private offerings or acquired
through initial public offerings and cannot be sold without prior registration
under the Securities Act of 1933 or pursuant to an exemption therefrom. In
addition, the Funds have generally agreed to further restrictions on the
disposition of certain holdings as set forth in various agreements entered into
in connection with the purchase of these investments. These investments are
valued at fair value as determined in accordance with the procedures approved by
the Board of Trustees. The acquisition dates of these investments, the
enforceable right to acquire these securities, along with their cost and values
at March 31, 2009, were as follows:
NUMBER OF SHARES/ RIGHT TO
FACE AMOUNT ACQUISITION ACQUIRE COST MARKET VALUE % OF NET
($ THOUSANDS) DATE DATE ($ THOUSANDS) ($ THOUSANDS) ASSETS
----------------- ----------- -------- ------------- ------------- --------
SMALL CAP VALUE FUND
Verde Realty PIPE 21,100 02/16/07 02/16/07 $ 696 $ 338 0.07%
====== ====== ====
SMALL CAP GROWTH FUND
Rentech Warrant 19,400 04/20/07 04/20/07 $ -- $ 3 0.00%
Scorpio Mining PIPE 461,700 05/05/08 05/05/08 453 254 0.07
Thunderbird Resorts PIPE 142,900 11/15/07 11/15/07 1,286 229 0.07
Thunderbird Resorts PIPE 3,200 02/06/08 02/06/08 29 5 0.00
Titanium Asset Management PIPE 140,900 06/14/07 06/14/07 845 705 0.20
Titanium Asset Management
Warrant 147,800 06/14/07 06/14/07 -- 170 0.05
Value Creation 145,600 08/10/06 08/10/06 1,491 467 0.14
------ ------ ----
$4,104 $1,833 0.53%
====== ====== ====
176 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
NUMBER OF SHARES/ RIGHT TO
FACE AMOUNT ACQUISITION ACQUIRE COST MARKET VALUE % OF NET
($ THOUSANDS) DATE DATE ($ THOUSANDS) ($ THOUSANDS) ASSETS
----------------- ----------- -------- ------------- ------------- --------
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 51 29 0.04
Thunderbird Resorts PIPE 15,300 11/15/07 11/15/07 138 24 0.04
Thunderbird Resorts PIPE 1,700 02/07/08 02/07/08 15 3 0.00
Titanium Asset Management PIPE 15,400 02/06/08 02/06/08 90 77 0.12
Titanium Asset Management
Warrant 8,400 02/06/08 02/06/08 -- 10 0.02
Value Creation 9,600 04/30/07 04/30/07 87 29 0.04
---- ---- ----
$381 $172 0.26%
==== ==== ====
REAL ESTATE FUND
Verde Realty PIPE 21,400 02/16/07 02/16/07 $706 $343 0.26%
==== ==== ====
CORE FIXED INCOME FUND
Allegheny Energy Supply $ 665 12/15/07 12/15/07 $698 $673 0.03%
==== ==== ====
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 and acquired fund fee
expenses, will not exceed certain voluntary expense limitations adopted by SIMC.
These waivers may be terminated at any time.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 177
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2009
Accordingly, the advisory fee and voluntary expense limitations for each Fund
are as follows:
Voluntary
Advisory Expense
Fees Limitations
-------- -----------
Large Cap Value Fund, Class A 0.3500% 0.8900%
Large Cap Value Fund, Class I 0.3500 1.1100
Large Cap Growth Fund, Class A 0.4000 0.8900
Large Cap Growth Fund, Class I 0.4000 1.1100
Tax-Managed Large Cap Fund,
Class A 0.4000 0.8900
Tax-Managed Large Cap Fund,
Class Y 0.4000 0.5600
Large Cap Diversified Alpha Fund,
Class A 0.4000 0.9500
Large Cap Diversified Alpha Fund,
Class I 0.4000 1.2000
S&P 500 Index Fund, Class A 0.0300 0.4300
S&P 500 Index Fund, Class E 0.0300 0.2500
S&P 500 Index Fund, Class I 0.0300 0.6500
Small Cap Value Fund, Class A 0.6500 1.1400
Small Cap Value Fund, Class I 0.6500 1.3600
Small Cap Growth Fund, Class A 0.6500 1.1100
Small Cap Growth Fund, Class I 0.6500 1.3600
Tax-Managed Small Cap Fund,
Class A 0.6500 1.1100
Small/Mid Cap Diversified Alpha
Fund, Class A 0.7500 1.2000
Small/Mid Cap Diversified Alpha
Fund, Class I 0.7500 1.4500
Mid-Cap Fund, Class A 0.4000 1.0200
Mid-Cap Fund, Class I 0.4000 1.2600
U.S. Managed Volatility Fund,
Class A 0.6500 1.0000
U.S. Managed Volatility Fund,
Class I 0.6500 1.2500
Global Managed Volatility Fund,
Class A 0.6500 1.1100
Global Managed Volatility Fund,
Class I 0.6500 1.3600
Tax-Managed Managed Volatility
Fund, Class A 0.6500 1.0000
Real Estate Fund, Class A 0.6500 1.1400
Real Estate Fund, Class I 0.6500 1.3600
Enhanced Income Fund, Class A 0.4000 0.6000
Enhanced Income Fund, Class I 0.4000 0.8500
Core Fixed Income Fund, Class A 0.2750 0.6700
Core Fixed Income Fund, Class I 0.2750 0.8900
High Yield Bond Fund, Class A 0.4875 0.8900
High Yield Bond Fund, Class I 0.4875 1.1100
As of March 31, 2009, 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
Declaration Management and Research LLC
Delaware Management Company
INTECH Investment Management, LLC
Legg Mason Capital Management Inc.
Quantitative Management Associates LLC
S&P 500 INDEX FUND
SSgA Funds Management, Inc.
SMALL CAP VALUE FUND
Artisan Partners Limited Partnership
BlackRock Capital Management, Inc.
Lee Munder Investments, Ltd.
LSV Asset Management
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.
McKinley Capital Management Inc.
178 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
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
McKinley Capital Management Inc.
Neuberger Berman Management LLC
Parametric Portfolio Associates
Wells Capital Management, Inc.
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Declaration Management and Research LLC
Integrity Asset Management LLC
Los Angeles Capital Management and Equity Research, Inc.
Martingale Asset Management, L.P.
PanAgora Asset Management, Inc.
Wellington Management Company, LLP
MID-CAP FUND
Martingale Asset Management, L.P.
Quantitative Management Associates LLC
U.S. MANAGED VOLATILITY FUND
Analytic Investors, LLC
Aronson + Johnson + Ortiz, LP
GLOBAL MANAGED VOLATILITY FUND
Acadian Asset Management, LLC
Analytic Investors, LLC
TAX-MANAGED MANAGED VOLATILITY FUND
Analytic Investors, LLC
Aronson + Johnson + Ortiz, LP
Parametric Portfolio Associates
REAL ESTATE FUND
Security Capital Research and Management, Inc.
Wellington Management Company, LLP
ENHANCED INCOME FUND
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
Wells Capital Management, Inc.
Western Asset Management Company
Western Asset Management Company Limited
HIGH YIELD BOND FUND
Ares Management LLC
Brigade Capital Management, LLC*
Delaware Management Company
Guggenheim Partners, LLC*
J.P. Morgan Investment Management, Inc.
* Not funded
Under the investment sub-advisory agreements, each party receives an annual fee
paid by SIMC.
DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"),
a wholly owned subsidiary of SEI Investments Company ("SEI"), serves as each
Fund's Distributor pursuant to a distribution agreement with the Trust. The
Trust has adopted a shareholder servicing plan for Class A, Class 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 six month period ended March 31, 2009 were as follows
($ Thousands):
Large Cap Value Fund $ 87
Large Cap Growth Fund 98
Tax-Managed Large Cap Fund 75
Small Cap Value Fund 64
Small Cap Growth Fund 14
Tax-Managed Small Cap Fund 44
Small/Mid Cap Diversified Alpha Fund 1
Real Estate Fund 1
----
$384
====
Under both the Shareholder Servicing Plans and administrative service plan, the
Distributor may retain as profit any difference between the fee it receives and
the amount it pays to third parties. For the six month period ended March 31,
2009, the Distributor retained 100% of the shareholder servicing fees, less the
waiver, and 100% of the administration servicing fees.
PAYMENT TO AFFILIATES -- Certain officers and/or trustees of the Trust are also
officers of the Administrator or the Adviser. The Trust pays each unaffiliated
Trustee an annual fee for attendance at quarterly, interim and committee
meetings. Compensation of officers and affiliated Trustees of the Trust is paid
by the Adviser or Administrator.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 179
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2009
A portion of the services provided by the Chief Compliance Officer ("CCO") and
his staff, whom are employees of the Administrator, are paid for by the Trust as
incurred. The services include regulatory oversight of the Trust's Adviser,
sub-advisers and service providers as required by SEC regulations. The CCO's
services have been approved by and are reviewed by the Board.
LSV Asset Management (a partially owned subsidiary of SIMC) serves as the
sub-adviser to the Large Cap Value, Tax-Managed Large Cap, Small Cap Value and
Tax-Managed Small Cap Funds. For this service LSV Asset Management is entitled
to receive a fee from SIMC. Such fees for the six month period ended March 31,
2009 were as follows
($ Thousands):
Large Cap Value Fund $279
Tax-Managed Large Cap Fund 119
Small Cap Value Fund 162
Tax-Managed Small Cap Fund 61
----
$621
====
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 six month period ended March 31, 2009, 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.
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2009 (Unaudited) and the year or period
ended September 30, 2008
TAX-MANAGED LARGE LARGE CAP
LARGE CAP VALUE FUND LARGE CAP GROWTH FUND CAP FUND DIVERSIFIED ALPHA FUND
---------------------- ---------------------- ---------------------- ----------------------
10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07
to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Class A:
Shares Issued 30,552 31,408 26,902 26,830 86,486 39,724 77,333 51,288
Shares Issued in Lieu of
Dividends & Distributions 3,075 17,150 658 491 2,093 2,117 1,830 7,606
Shares Redeemed (52,097) (48,667) (46,987) (45,519) (126,443) (44,699) (82,043) (47,337)
------- ------- ------- ------- -------- ------- ------- -------
Total Class A Transactions (18,470) (109) (19,427) (18,198) (37,864) (2,858) (2,880) 11,557
------- ------- ------- ------- -------- ------- ------- -------
Class I:
Shares Issued 412 258 283 254 -- -- 22 6
Shares Issued in Lieu of
Dividends & Distributions 15 116 1 1 -- -- 1 2
Shares Redeemed (269) (900) (165) (905) -- -- (2) (3)
------- ------- ------- ------- -------- ------- ------- -------
Total Class I Transactions 158 (526) 119 (650) -- -- 21 5
------- ------- ------- ------- -------- ------- ------- -------
Class Y:
Shares Issued -- -- -- -- 39 14 -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- -- 4 3 -- --
Shares Redeemed -- -- -- -- (24) (48) -- --
------- ------- ------- ------- -------- ------- ------- -------
Total Class Y Transactions -- -- -- -- 19 (31) -- --
------- ------- ------- ------- -------- ------- ------- -------
Net Increase (Decrease) in
Capital Share Transactions (18,312) (635) (19,308) (18,848) (37,845) (2,889) (2,859) 11,562
------- ------- ------- ------- -------- ------- ------- -------
Amounts designated as "--" are $0 or have been rounded to $0.
180 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
4. CAPITAL SHARE TRANSACTIONS (Continued)
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2009 (Unaudited) and the year or period
ended September 30, 2008
S&P 500 SMALL CAP SMALL CAP TAX-MANAGED
INDEX FUND VALUE FUND GROWTH FUND SMALL CAP FUND
---------------------- ---------------------- ---------------------- ----------------------
10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07
to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Class A:
Shares Issued 11,911 9,729 14,260 15,531 11,872 10,427 19,796 9,660
Shares Issued in Lieu of
Dividends & Distributions 422 984 982 7,807 10 4,398 181 1,848
Shares Redeemed (12,360) (10,992) (21,053) (21,084) (19,235) (21,820) (24,451) (9,652)
------- ------- ------- ------- ------- ------- ------- ------
Total Class A Transactions (27) (279) (5,811) 2,254 (7,353) (6,995) (4,474) 1,856
------- ------- ------- ------- ------- ------- ------- ------
Class E:
Shares Issued 7,049 3,760 -- -- -- -- -- --
Shares Issued in Lieu of
Dividends & Distributions 712 1,550 -- -- -- -- -- --
Shares Redeemed (4,129) (4,458) -- -- -- -- -- --
------- ------- ------- ------- ------- ------- ------- ------
Total Class E Transactions 3,632 852 -- -- -- -- -- --
------- ------- ------- ------- ------- ------- ------- ------
Class I:
Shares Issued 644 75 216 327 145 108 -- --
Shares Issued in Lieu of
Dividends & Distributions 10 18 11 97 -- 31 -- --
Shares Redeemed (538) (220) (170) (541) (96) (325) -- --
------- ------- ------- ------- ------- ------- ------- ------
Total Class I Transactions 116 (127) 57 (117) 49 (186) -- --
------- ------- ------- ------- ------- ------- ------- ------
Net Increase (Decrease) in
Capital Share Transactions 3,721 446 (5,754) 2,137 (7,304) (7,181) (4,474) 1,856
------- ------- ------- ------- ------- ------- ------- ------
SMALL/MID
DIVERSIFIED MID-CAP U.S. MANAGED
ALPHA FUND FUND VOLATILITY FUND
---------------------- ---------------------- ----------------------
10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07
to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08
---------- ---------- ---------- ---------- ---------- ----------
Class A:
Shares Issued 12,105 6,741 2,897 4,773 23,190 18,890
Shares Issued in Lieu of
Dividends & Distributions 85 155 78 851 416 2,023
Shares Redeemed (11,002) (5,169) (2,718) (5,364) (26,109) (23,693)
------- ------ ------ ------ ------- -------
Total Class A Transactions 1,188 1,727 257 260 (2,503) (2,780)
------- ------ ------ ------ ------- -------
Class I:
Shares Issued 14 3 32 10 1 1
Shares Issued in Lieu of
Dividends & Distributions -- -- -- 1 -- --
Shares Redeemed (7) (1) (14) (8) -- --
------- ------ ------ ------ ------- -------
Total Class I Transactions 7 2 18 3 1 1
------- ------ ------ ------ ------- -------
Net Increase (Decrease) in
Capital Share Transactions 1,195 1,729 275 263 (2,502) (2,779)
------- ------ ------ ------ ------- -------
TAX-MANAGED
GLOBAL MANAGED MANAGED
VOLATILITY FUND VOLATILITY FUND (1)
---------------------- ----------------------
10/1/08 10/1/07 10/1/08 12/20/07
to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08
---------- ---------- ---------- ----------
Class A:
Shares Issued 22,373 11,668 20,084 12,750
Shares Issued in Lieu of
Dividends & Distributions -- 736 159 36
Shares Redeemed (20,715) (14,456) (10,358) (2,080)
------- ------- ------- ------
Total Class A Transactions 1,658 (2,052) 9,885 10,706
------- ------- ------- ------
Class I:
Shares Issued 3 2 -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- --
Shares Redeemed (2) (1) -- --
------- ------- ------- ------
Total Class I Transactions 1 1 -- --
------- ------- ------- ------
Net Increase (Decrease) in
Capital Share Transactions 1,659 (2,051) 9,885 10,706
------- ------- ------- ------
(1) The Tax-Managed Managed Volatility Fund commenced operations on December
20, 2007.
Amounts designated as "--" are $0 or have been rounded to $0.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 181
Notes to Financial Statements(Unaudited) (Continued)
March 31, 2009
4. CAPITAL SHARE TRANSACTIONS (Continued)
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2009 (Unaudited) and the year or period
ended September 30, 2008
REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
FUND INCOME FUND INCOME FUND BOND FUND
---------------------- ---------------------- ---------------------- ----------------------
10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07 10/1/08 10/1/07
to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08 to 3/31/09 to 9/30/08
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Class A:
Shares Issued 24,019 13,153 15,454 22,832 84,045 96,550 118,909 72,483
Shares Issued in Lieu of
Dividends & Distributions 809 1,356 864 2,805 9,113 20,633 12,179 15,447
Shares Redeemed (18,377) (9,661) (21,317) (49,890) (190,691) (174,884) (114,416) (75,185)
------- ------ ------- ------- -------- -------- -------- -------
Total Class A Transactions 6,451 4,848 (4,999) (24,253) (97,533) (57,701) 16,672 12,745
------- ------ ------- ------- -------- -------- -------- -------
Class I:
Shares Issued 8 2 1 1 680 662 12 10
Shares Issued in Lieu of
Dividends & Distributions -- -- -- -- 24 42 1 --
Shares Redeemed -- -- -- -- (284) (1,105) (5) (3)
------- ------ ------- ------- -------- -------- -------- -------
Total Class I Transactions 8 2 1 1 420 (401) 8 7
------- ------ ------- ------- -------- -------- -------- -------
Net Increase (Decrease) in
Capital Share Transactions 6,459 4,850 (4,998) (24,252) (97,113) (58,102) 16,680 12,752
------- ------ ------- ------- -------- -------- -------- -------
Amounts designated as "--" are $0 or have been rounded to $0.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other
than temporary cash investments and futures, during the six month period ended
March 31, 2009, were as follows:
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- -------------
LARGE CAP VALUE FUND
Purchases .......................... $ -- $504,570 $ 504,570
Sales .............................. -- 685,885 685,885
LARGE CAP GROWTH FUND
Purchases .......................... -- 668,055 668,055
Sales .............................. -- 979,921 979,921
TAX-MANAGED LARGE CAP FUND
Purchases .......................... -- 507,888 507,888
Sales .............................. -- 826,623 826,623
LARGE CAP DIVERSIFIED ALPHA FUND
Purchases .......................... 278,368 629,448 907,816
Sales .............................. 369,954 806,910 1,176,864
S&P 500 INDEX FUND
Purchases .......................... -- 251,546 251,546
Sales .............................. -- 177,885 177,885
SMALL CAP VALUE FUND
Purchases .......................... -- 276,884 276,884
Sales .............................. -- 343,525 343,525
SMALL CAP GROWTH FUND
Purchases .......................... -- 321,456 321,456
Sales .............................. -- 385,118 385,118
TAX-MANAGED SMALL CAP FUND
Purchases .......................... -- 137,620 137,620
Sales .............................. -- 169,566 169,566
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- -------------
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Purchases .......................... $ 18,890 $ 55,330 $ 74,220
Sales .............................. 34,448 57,283 91,731
MID-CAP FUND
Purchases .......................... -- 58,366 58,366
Sales .............................. -- 54,476 54,476
U.S. MANAGED VOLATILITY FUND
Purchases .......................... -- 229,678 229,678
Sales .............................. -- 259,885 259,885
GLOBAL MANAGED VOLATILITY FUND
Purchases .......................... -- 174,107 174,107
Sales .............................. -- 159,739 159,739
TAX-MANAGED MANAGED VOLATILITY FUND
Purchases .......................... -- 123,144 123,144
Sales .............................. -- 53,119 53,119
REAL ESTATE FUND
Purchases .......................... -- 116,137 116,137
Sales .............................. -- 65,413 65,413
ENHANCED INCOME FUND
Purchases .......................... 48,545 1,067 49,612
Sales .............................. 57,452 12,897 70,349
CORE FIXED INCOME FUND
Purchases .......................... 5,825,632 245,656 6,071,288
Sales .............................. 6,625,754 550,248 7,176,002
HIGH YIELD BOND FUND
Purchases .......................... -- 297,902 297,902
Sales .............................. -- 283,370 283,370
182 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
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.
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:
Long-term
Ordinary Income Capital Gain Return of Capital Total
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
--------------- ------------- ----------------- -------------
Large Cap Value Fund 2008 $ 93,371 $282,073 $ -- $375,444
2007 89,084 321,001 -- 410,085
Large Cap Growth Fund 2008 11,663 -- -- 11,663
2007 7,665 -- -- 7,665
Tax-Managed Large Cap Fund 2008 30,277 -- -- 30,277
2007 25,221 -- -- 25,221
Large Cap Diversified Alpha Fund 2008 51,516 30,983 -- 82,499
2007 15,521 7,983 -- 23,504
S&P 500 Index Fund 2008 30,514 81,651 -- 112,165
2007(1) 6,937 -- -- 6,937
2007(2) 33,765 26,542 -- 60,307
Small Cap Value Fund 2008 35,546 106,276 -- 141,822
2007 28,891 92,533 -- 121,424
Small Cap Growth Fund 2008 728 86,250 -- 86,978
Tax-Managed Small Cap Fund 2008 4,502 20,515 -- 25,017
2007 4,745 19,830 -- 24,575
Small/Mid Cap Diversified Alpha Fund 2008 110 -- 1,245 1,355
2007 699 -- -- 699
Mid-Cap Fund 2008 7,244 10,547 -- 17,791
2007 1,396 6,038 -- 7,434
U.S. Managed Volatility Fund 2008 15,544 11,019 -- 26,563
2007 9,194 4,209 -- 13,403
Global Managed Volatility Fund 2008 7,306 774 -- 8,080
2007 2,197 45 -- 2,242
Tax Managed Volatility Fund 2008 375 -- -- 375
Real Estate Fund 2008 8,331 11,379 1,951 21,661
2007 6,013 8,207 159 14,379
Enhanced Income Fund 2008 27,075 -- -- 27,075
2007 21,572 -- -- 21,572
Core Fixed Income Fund 2008 217,874 -- -- 217,874
2007 215,422 -- -- 215,422
High Yield Bond Fund 2008 123,943 -- -- 123,943
2007 93,629 -- -- 93,629
(1) For the six months ended September 30, 2007. The Fund's fiscal year end
changed from March 31 to September 30.
(2) For the year ended March 31.
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 183
Notes to Financial Statements(Unaudited) (Continued)
March 31, 2009
As of September 30, 2008, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
Total
Distributable
Post Post October Other Earnings
Undistributed Undistributed Capital October Currency Unrealized Temporary (Accumulated
Ordinary Long-Term Loss Losses Losses Appreciation Differences Losses)
Income Capital Gain Carryforwards ($ ($ (Depreciation) ($ ($
($ 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.
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
$8,777,535, respectively, of capital loss carryforward to offset capital gains.
For Federal income tax purposes, the cost of securities owned at March 31, 2009,
and the net realized gains or losses on securities sold for the period, were
different from amounts reported for financial reporting purposes, primarily due
to wash sales which cannot be used for Federal income tax purposes in the
current year and have been deferred for use in future years. The Federal tax
cost and aggregate gross unrealized appreciation and depreciation on investments
held by the Funds at March 31, 2009, were as follows:
Net Unrealized
Federal Appreciated Depreciated Appreciation/
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- --------------
Large Cap Value
Fund $2,068,344 $127,887 $(560,643) $(432,756)
Net Unrealized
Federal Appreciated Depreciated Appreciation/
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- --------------
Large Cap
Growth Fund $2,072,112 $122,230 $(335,190) $(212,960)
Tax-Managed
Large Cap
Fund 1,624,889 115,003 (360,557) (245,554)
Large Cap
Diversified
Alpha Fund 996,585 42,728 (217,641) (174,913)
S&P 500 Index
Fund 995,543 332,690 (178,996) 153,694
Small Cap Value
Fund 741,398 35,392 (218,200) (182,808)
184 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
Net Unrealized
Federal Appreciated Depreciated Appreciation/
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- --------------
Small Cap Growth
Fund $ 517,389 $23,105 $(128,323) $(105,218)
Tax-Managed
Small Cap Fund 225,478 13,912 (60,265) (46,353)
Small/Mid Cap
Diversified Alpha
Fund 85,757 6,186 (24,681) (18,495)
Mid-Cap Fund 127,562 4,355 (32,409) (28,054)
U.S. Managed
Volatility Fund 355,176 8,040 (66,138) (58,098)
Global Managed
Volatility Fund 179,977 3,870 (22,638) (18,768)
Tax-Managed
Managed Volatility
Fund 153,622 3,913 (20,975) (17,062)
Real Estate 278,291 247 (91,949) (91,702)
Enhanced Income Fund 305,088 2,083 (94,641) (92,558)
Core Fixed Income
Fund 3,844,139 88,216 (579,434) (491,218)
High Yield Bond Fund 1,436,572 11,688 (433,209) (421,521)
Management has analyzed the Funds' tax position taken on federal income tax
returns for all open tax years and has concluded that as of March 31, 2009, no
provision for income tax would be required in the Funds' financial statements.
The Funds' federal and state income and federal excise tax returns for tax years
for which the applicable statutes of limitations have not expired are subject to
examination by the Internal Revenue Service and state departments of revenue.
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 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 Trust enters into contracts that provide
general indemnifications by the Trust to the counterparty to the contract. The
Trust's maximum exposure under these arrangements is dependent on future claims
that may be made against the Trust's and, therefore, cannot be estimated;
however, 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. RECENT ACCOUNTING PRONOUNCEMENTS
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.
In April 2009, FASB Staff Position No. 157-4 -- Determining Fair Value when the
Volume and Level of Activity for the Asset or Liability Have Significantly
Decreased and Identifying Transactions That Are Not Orderly (FSP 157-4) was
issued. FSP 157-4 clarifies the process for measuring the fair value of
financial instruments when the markets become inactive and quoted prices may
reflect distressed transactions. FSP 157-4 provides a non-exclusive list of
factors a reporting entity should consider when determining whether there has
been a significant decrease in the volume and level of activity for an asset or
liability when compared with normal market activity. Under
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009 185
Notes to Financial Statements (Unaudited) (Concluded)
March 31, 2009
FSP 157-4, if a reporting entity concludes there has been a significant decrease
in volume and level of activity for the asset or liability (or similar assets or
liabilities), transactions or quoted prices may not be determinative of fair
value. Further analysis of the transactions or quoted prices is needed, and a
significant adjustment to the transactions or quoted prices may be necessary to
estimate fair value in accordance with FASB Statement No. 157 -- Fair Value
Measurement. FSP 157-4 is effective for interim and annual reporting periods
ending after June 15, 2009, and shall be applied prospectively. Early adoption
is permitted for periods ending after March 15, 2009. Earlier adoption for
periods ending before March 15, 2009, is not permitted. At this time, Management
is evaluating the impact of FSP 157-4 on the Fund's financial statements.
10. OTHER MATTERS
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 March 31, 2009 and do not reflect any market events after March 31, 2009.
186 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
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 / Semi-Annual Report / March 31, 2009 187
Disclosure of Fund Expenses (Unaudited)
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
10/1/08 3/31/09 RATIOS PERIOD*
--------- --------- ---------- -------
LARGE CAP VALUE FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 666.40 0.89% $3.70
Class I Shares 1,000.00 665.60 1.11 4.61
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.49 0.89% $4.48
Class I Shares 1,000.00 1,019.40 1.11 5.59
LARGE CAP GROWTH FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 732.80 0.89% $3.84
Class I Shares 1,000.00 731.90 1.11 4.79
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.49 0.89% $4.48
Class I Shares 1,000.00 1,019.40 1.11 5.59
TAX-MANAGED LARGE CAP FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 690.90 0.89% $3.75
Class Y Shares 1,000.00 692.00 0.56 2.36
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.49 0.89% $4.48
Class Y Shares 1,000.00 1,022.14 0.56 2.82
LARGE CAP DIVERSIFIED ALPHA FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 657.10 1.09% $4.50
Class I Shares 1,000.00 657.00 1.33 5.49
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.50 1.09% $5.49
Class I Shares 1,000.00 1,018.30 1.33 6.69
S&P 500 FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 691.60 0.43% $1.81
Class E Shares 1,000.00 692.20 0.25 1.05
Class I Shares 1,000.00 691.00 0.65 2.74
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.79 0.43% $2.17
Class E Shares 1,000.00 1,023.68 0.25 1.26
Class I Shares 1,000.00 1,021.69 0.65 3.28
SMALL CAP VALUE FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 607.90 1.14% $4.57
Class I Shares 1,000.00 606.70 1.36 5.45
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.25 1.14% $5.74
Class I Shares 1,000.00 1,018.15 1.36 6.84
SMALL CAP GROWTH FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 642.50 1.11% $4.55
Class I Shares 1,000.00 641.90 1.36 5.57
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
Class I Shares 1,000.00 1,018.15 1.36 6.84
TAX-MANAGED SMALL CAP FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 655.20 1.11% $4.58
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
SMALL/MID CAP DIVERSIFIED ALPHA FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 585.60 1.32% $5.22
Class I Shares 1,000.00 584.00 1.58 6.24
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,018.35 1.32% $6.64
Class I Shares 1,000.00 1,017.05 1.58 7.95
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
10/1/08 3/31/09 RATIOS PERIOD*
--------- --------- ---------- -------
MID-CAP FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 666.20 1.02% $4.24
Class I Shares 1,000.00 666.20 1.26 5.23
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.85 1.02% $5.14
Class I Shares 1,000.00 1,018.65 1.26 6.34
U.S. MANAGED VOLATILITY FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 707.40 1.00% $4.26
Class I Shares 1,000.00 707.00 1.25 5.32
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.95 1.00% $5.04
Class I Shares 1,000.00 1,018.70 1.25 6.29
GLOBAL MANAGED VOLATILITY FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 751.70 1.14% $4.98
Class I Shares 1,000.00 750.60 1.42 6.20
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.25 1.14% $5.74
Class I Shares 1,000.00 1,017.85 1.42 7.14
TAX-MANAGED MANAGED VOLATILITY FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 744.80 1.00% $4.35
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.95 1.00% $5.04
REAL ESTATE FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 405.80 1.14% $4.00
Class I Shares 1,000.00 405.40 1.36 4.77
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.25 1.14% $5.74
Class I Shares 1,000.00 1,018.15 1.36 6.84
ENHANCED INCOME FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 794.40 0.60% $2.68
Class I Shares 1,000.00 793.80 0.85 3.80
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.94 0.60% $3.02
Class I Shares 1,000.00 1,020.69 0.85 4.28
CORE FIXED INCOME FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 981.60 0.67% $3.31
Class I Shares 1,000.00 981.50 0.89 4.40
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.59 0.67% $3.38
Class I Shares 1,000.00 1,020.49 0.89 4.48
HIGH YIELD BOND FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 790.90 0.89% $3.97
Class I Shares 1,000.00 790.50 1.11 4.96
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.49 0.89% $4.48
Class I Shares 1,000.00 1,019.40 1.11 5.59
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 182/365 (to reflect
one-half year period shown).
188 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
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 / Semi-Annual Report / March 31, 2009 189
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited) (Concluded)
At the December 2-3, 2008 and March 25-26, 2009 meetings of the Board of
Trustees, the Trustees, including a majority of the Independent Trustees,
approved the Investment Advisory Agreements and approved the selection of SIMC
and the Sub-Advisers to act in their respective capacities for the Funds. The
Board's approval was based on its consideration and evaluation of a variety of
specific factors discussed at the meetings and at prior meetings, including:
- - the nature, extent and quality of the services provided to the Funds under
the Investment Advisory Agreements, including the resources of SIMC and the
Sub-Advisers and their affiliates dedicated to the Funds;
- - 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.
190 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2009
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 / Semi-Annual Report / March 31, 2009 191
Notes
SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT MARCH 31, 2009
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
OFFICERS
Robert A. Nesher
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Stephen F. Panner
CONTROLLER AND CHIEF FINANCIAL OFFICER
Russell Emery
CHIEF COMPLIANCE OFFICER
Timothy D. Barto
VICE PRESIDENT, SECRETARY
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
Aaron Buser
VICE PRESIDENT, ASSISTANT SECRETARY
David F McCann
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Andrew S. Decker
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Global Funds Services
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Trust and must be preceded or
accompanied by a current prospectus. Shares of the Funds are not deposits or
obligations of, or guaranteed or endorsed by, any bank. The shares are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in the shares
involves risk, including the possible loss of principal.
FOR MORE INFORMATION CALL
1 800 DIAL SEI
(1 800 342 5734)
(SEI LOGO) New ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-092 (3/09)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES 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 Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18,
2004, 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 Trust'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) Not applicable for semi-annual report.
(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: May 29, 2009
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By (Signature and Title) /s/ Robert A. Nesher
----------------------------------------
Robert A. Nesher, President & CEO
Date: May 29, 2009
By (Signature and Title) /s/ Stephen F. Panner
----------------------------------------
Stephen F. Panner, Controller & CFO
Date: May 29, 2009