TABLE OF CONTENTS
LETTER TO SHAREHOLDERS 2
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE
Large Cap Value 3
Large Cap Growth 4
Small Cap Value 5
Small Cap Growth 6
Mid-Cap 8
Capital Appreciation 9
Equity Income 10
Balanced 11
Capital Growth 12
Core Fixed Income 13
Bond 14
High Yield Bond 15
REPORT OF INDEPENDENT ACCOUNTANTS 16
STATEMENT OF NET ASSETS 17
STATEMENT OF OPERATIONS 52
STATEMENT OF CHANGES IN NET ASSETS 54
FINANCIAL HIGHLIGHTS 56
NOTES TO FINANCIAL STATEMENTS 58
SHAREHOLDER VOTING RESULTS 64
NOTICE TO SHAREHOLDERS 72
<PAGE>
LETTER TO SHAREHOLDERS
To Our Shareholders:
The fiscal year ended September 30, 1995 was one of solid progress
for the SEI Institutional Managed Trust. In addition to experiencing positive
investment results across the board, we made numerous structural enhancements
that will benefit our investors in the years ahead.
Among these enhancements was the addition of our Small Cap Value
Portfolio and Large Cap Growth Portfolio. Our asset allocation philosophy is
built on the premise that a well-balanced investment program should have
access to style-specific funds from all four quadrants of the equity market:
large-capitalization growth, large-capitalization value, small-capitalization
growth, and small-capitalization value. And now, with the availability of
these new portfolios, investors can find all four types of equity funds
within the Trust.
During the past year, we also introduced the High Yield Bond
Portfolio, which gives our investors the opportunity to seek above-average
yields through a portfolio of below investment grade debt securities. As with
our equity offerings, the addition of this fund makes it possible for
investors to participate in a well rounded fixed income strategy (a domestic
investment grade bond fund, a domestic high-yield bond fund, and an
international bond fund).
In addition, we updated the names of several funds to better reflect
their investment strategies. The former Value Portfolio is now the Large Cap
Value Portfolio; the former Mid-Cap Growth Portfolio is now the Mid-Cap
Portfolio; and the former Intermediate Bond Portfolio is now the Core Fixed
Income Portfolio.
Looking ahead, we plan to continue to pursue our disciplined approach
to investment management, and to support our shareholders' efforts to build
individual investment strategies based on the proven principles of asset
allocation.
As always, we thank you for your continued confidence in the SEI
Institutional Managed Trust.
Sincerely,
David G. Lee
President and
Chief Executive Officer
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEPTEMBER 30, 1995
LARGE CAP VALUE PORTFOLIO
ADVISER - SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISERS - MELLON EQUITY ASSOCIATES
MERUS CAPITAL MANAGEMENT
LSV ASSET MANAGEMENT
OBJECTIVE
The Portfolio seeks to provide long-term growth of capital and income
by investing in the equity securities of large companies. The Portfolio
invests primarily in a diversified portfolio of high quality, income
producing common stocks, which in the adviser's opinion, are undervalued in
the market place at the time of purchase.
STRATEGY
SEI Financial Management Corporation ("SFM") employs a multi-manager
structure to gain exposure to the entire large cap value sector, adding value
through stock selection while minimizing risk in the form of capitalization,
valuation and economic sector exposures. The Large Cap Value Portfolio is
jointly sub-advised by three investment managers. Assets of the Portfolio are
strategically allocated among its three sub-advisers, each of which has
responsibility for stock selection for its respective assets under
management.
Through various investment approaches, each sub-adviser contributes a
unique expertise or substyle to the Portfolio. LSV Asset Management invests
in companies trading at deep discounts to their intrinsic value. Mellon
Equity Associates invests primarily in large cap value stocks that are
representative of the market. Merus Capital Management pursues an investment
strategy focusing on companies with above market dividend yields.
Each of the aforementioned substyles assumes a different importance
in determining overall style risk, and must therefore be weighted
accordingly.
ANALYSIS
The Large Cap Value Portfolio posted an impressive 27.4% return
(Class A shares) since its restructuring on October 3, 1994. This fiscal year
marks the first year under the newly constructed Large Cap Value Portfolio.
Duff & Phelps was terminated as adviser at the end of last fiscal year and
SFM was hired as adviser with Mellon Equity Associates, Merus Capital
Management and LSV Asset Management hired as sub-advisers to the Portfolio,
representing exposures to the core, yield and contrarian sub-styles,
respectively.
The Large Cap Value Portfolio's mandate to add value through stock
selection with minimal active exposure to both style and sectors relative to
the index enabled the fund to benefit from the strong financial services
rally that has persisted throughout the fiscal year. The tremendous run in
the technology sector, however, turned fiscal 1995 into a growth year rather
than a value year. Despite the market's preference for earnings momentum and
growth, the Large Cap Value Portfolio managed to keep pace with the market
and post a very strong fiscal year.
The rally in the financial services sector was led by falling
interest rates during the fiscal year combined with a flurry of consolidation
in the banking industry. The industry, as measured by Standard & Poor's
industry group ranking, advanced over 48.7% for the fiscal year, solidifying
its position as the tenth best industry group over the time period. The Large
Cap Value Portfolio's average 11.2% exposure to the banking industry combined
with superior stock selection made this policy one of the best for the year.
Drugs, aerospace and telephones also contributed positively to the return.
Utility stocks, despite the falling interest rate environment, failed to keep
pace with the record breaking market, as investors' concerns over competition
within the industry served as a deterrent.
LARGE CAP VALUE
AVERAGE ANNUAL TOTAL RETURN 1
<TABLE>
<CAPTION>
Annualized
Inception
to Date
<S> <C>
Class A 27.40%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST LARGE CAP VALUE PORTFOLIO,
VERSUS THE S&P 500 COMPOSITE INDEX, AND THE S&P/BARRA VALUE INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Large Cap Value Portfolio, Class A from October 31, 1994 through
September 30, 1995 as compared with the growth of a $10,000 investment in the
S&P 500 Composite Index and the S&P/Barra Value Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Large Cap Value Invested in S&P 500 Invested in S&P/BARRA
Portfolio, Class A Composite Index Value Index
<S> <C> <C> <C>
10/31/94 $10,000 $10,000 $10,000
09/30/95 $12,421 $12,689 $12,497
</TABLE>
1 FOR THE PERIOD ENDED 9/30/95. THE PERFORMANCE INDICATED ABOVE BEGINS ON
OCTOBER 3, 1994 AT WHICH TIME MELLON EQUITY
ASSOCIATES BEGAN ACTING AS INVESTMENT ADVISER TO THE PORTFOLIO. PREVIOUS
PERIODS DURING WHICH THE PORTFOLIO WAS ADVISED BY ANOTHER INVESTMENT
ADVISER ARE NOT SHOWN.
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEPTEMBER 30, 1995
LARGE CAP GROWTH PORTFOLIO
ADVISER - SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER - ALLIANCE CAPITAL MANAGEMENT, L.P.
IDS ADVISORY GROUP INC.
OBJECTIVES:
The investment objective of the Large Cap Growth Portfolio is capital
appreciation by investing in the equity securities of large companies. The
Portfolio invests in the securities of issuers believed to possess
significant growth potential.
STRATEGY:
SEI Financial Management Corporation ("SFM") employs a multi-manager
structure to gain exposure to the entire large cap growth sector, adding
value through stock selection while minimizing risk in the form of
capitalization, valuation and economic sector exposures. The Large Cap Growth
Portfolio is jointly sub-advised by two investment sub-advisers. Assets of
the Portfolio are strategically allocated among its sub-advisers, each of
which has responsibility for stock selection for its respective assets under
management.
Through various investment approaches, each sub-adviser contributes a
unique expertise or sub-style to the Portfolio. Alliance Capital Management,
L.P. invests in large cap growth stocks that are representative of the
market. IDS Advisory Group Inc. invests primarily in large cap growth stocks
whose sector is expected to outperform the market.
Each of the aforementioned sub-styles assumes a different importance
in determining overall style risk, and must therefore be weighted
accordingly.
ANALYSIS:
Since the Portfolio's inception on December 20, 1994, it returned
28.41% (Class A shares). From inception through the end of the Portfolio's
fiscal year, technology and financial services companies, particularly
computer related companies and banks, performed very strongly. The
Portfolio's exposure to the financial services sector provided strong
returns; however, the Portfolio did not take full advantage of the available
returns of technology due to its under exposure relative to the Index.
The consumer non-durable sector, which includes food, beverage,
tobacco, retail and healthcare, is the largest sector in the Portfolio and
the Index. Retail stocks performed especially poor as consumer spending
remains frugal. Healthcare continues to be a volatile sector as efforts
continue by congress to balance the budget which is likely to have a
substantial impact on the US healthcare system.
The Portfolio is currently positioned for slower corporate earnings
growth, slower economic growth and lower interest rates. This environment is
expected to continue to benefit the financial services sector and the
technology sector. The "information highway" is expected to provide strong
earnings to the telephone, cable and media companies which the fund is
currently invested.
LARGE CAP GROWTH
AVERAGE ANNUAL TOTAL RETURN 1
<TABLE>
<CAPTION>
Annualized Cumulative
Inception Inception
to Date to Date
<S> <C> <C>
Class A 37.90% 28.41%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST LARGE CAP GROWTH PORTFOLIO,
VERSUS THE S&P/BARRA GROWTH INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Large Cap Growth Portfolio, Class A from December 31, 1994 through
September 30, 1995 as compared with the growth of a $10,000 investment in the
S&P/BARRA Growth Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in Large Cap Growth Invested in S&P/BARRA
Portfolio, Class A Growth Index
<S> <C> <C>
12/31/94 $10,000 $10,000
09/30/95 $12,751 $13,078
</TABLE>
1 FOR THE PERIOD ENDED 9/30/95. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. CLASS A SHARES WERE
OFFERED BEGINNING 12/20/94.
SMALL CAP VALUE PORTFOLIO
ADVISER - SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER - 1838 INVESTMENT ADVISORS, L.P.
OBJECTIVES
The Small Cap Value Portfolio seeks to provide capital appreciation
by investing in equity securities of smaller companies. The Portfolio invests
in the stocks of companies whose prices appear low relative to certain
fundamental characteristics such as earnings, book value or return on equity.
STRATEGY
SEI Financial Management Corporation's ("SFM") investment philosophy
is to add value through stock selection while minimizing risk in the form of
capitalization, valuation and economic sector exposures. The Small Cap Value
Portfolio is sub-advised by one investment manager, which has responsibility
for the stock selection of the Portfolio.
Using a bottom-up selection process, the Portfolio's sub-adviser
screens a universe of over 9000 companies to generate a list of stocks with
low market capitalization and low price-to-earnings ratios. These survivors
are then rigorously evaluated to create a portfolio of securities with strong
balance sheets and potential for price appreciation.
ANALYSIS
From the Small Cap Value Portfolio's inception on December 20, 1994
to its fiscal year end on September 30, 1995, it returned 22.2% (Class A
shares). The difference was due largely to the Portfolio's underweight to
financial stocks and concentration in the retail sector.
Fiscal 1995 was a good one for financial- and technology-related
stocks. The former benefited from the continuing deregulation of the banking
industry, the takeovers of smaller banks by larger ones, and a declining
interest rate environment. Technology-related issues gained primarily from
corporate investment in productivity increases as well as acceptance in a
wider range of applications. Semiconductor stocks in particular profited from
increased demand for memory chips and processors such as Intel's Pentium.
Retail stocks largely lagged the market due to depressed consumer spending
and heavy margin competition.
The year was dominated by growth companies as first small then large
companies announced record profit gains. The cyclical, interest rate
sensitive companies in the value sector of the market lagged substantially
until the second and third quarters of 1995 when they, also joined in the
profit increases of the rest of the market. Early indications suggest that
this rapid pace of growth will cool as the economy as a whole decelerates to
a more leisurely pace.
SFM determined that an investment approach based on price-to-book
will complement the current price-to-earnings investment substyle well.
Accordingly, the Portfolio's emphasis on companies selling at low
price-to-earnings multiples will shift somewhat during fiscal 1996 with the
pending addition of Boston Partners Asset Management, L.P. ("Boston
Partners") as the second sub-adviser to the Portfolio. Boston Partners'
discipline emphasizes stocks with low price-to-book ratios. This shift should
decrease the fund's absolute and style-relative variability.
SMALL CAP VALUE
AVERAGE ANNUAL TOTAL RETURN 1
<TABLE>
<CAPTION>
Annualized Cumulative
Inception Inception
to Date to Date
<S> <C> <C>
Class A 29.38% 22.19%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST SMALL CAP VALUE PORTFOLIO,
VERSUS THE FRANK RUSSELL 2000 VALUE INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Small Cap Value Portfolio, Class A from December 31, 1994 through
September 30, 1995 as compared with the growth of a $10,000 investment in the
Frank Russell 2000 Value Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in Small Cap Value Invested in Frank Russell
Portfolio, Class A Value Index
<S> <C> <C>
12/31/94 $10,000 $10,000
09/30/95 $11,889 $12,219
</TABLE>
1 FOR THE PERIOD ENDED 9/30/95. PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. CLASS A SHARES WERE
OFFERED BEGINNING 12/20/94.
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEPTEMBER 30, 1995
SMALL CAP GROWTH PORTFOLIO
ADVISER - SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER - APODACA-JOHNSTON CAPITAL MANAGEMENT
INVESTMENT ADVISERS, INC.
NICHOLAS-APPLEGATE CAPITAL MANAGEMENT
PILGRIM BAXTER & ASSOCIATES, LTD.
WALL STREET ASSOCIATES
OBJECTIVES
The Small Cap Growth Portfolio seeks to provide long-term capital
appreciation by investing in equity securities of smaller companies. The
Portfolio invests in the stocks of companies that are in an early stage or at
a transitional point in their development and have demonstrated or have
potential for above average capital growth.
STRATEGY
SEI Financial Management Corporation ("SFM") employs a multi-manager
structure to gain exposure to the entire small cap growth sector, adding
value through stock selection while minimizing risk in the form of
capitalization, valuation and economic sector exposures. The Small Cap Growth
Portfolio is jointly sub-advised by five investment managers. Assets of the
Portfolio are strategically allocated among its five sub-advisers, each of
which has responsibility for stock selection for its respective assets under
management.
Through various investment approaches, each sub-adviser contributes a
particular expertise or substyle to the Portfolio. Apodaca-Johnston Capital
Management invests primarily in microcap stocks with above average earnings
acceleration. Investment Advisers Inc. pursues an investment strategy
focusing on revenue, cash flow and high returns on equity. Nicholas-Applegate
Capital Management screens stocks for high and accelerating earnings growth
and then selects those with attractive current prices relative to sustainable
cash flow. Pilgrim Baxter & Associates focuses on short-term changes in
revenues and earnings growth as well as a firm's ability to exceed informed
estimates in attempting to identify rapidly growing small companies. Wall
Street Associates seeks out microcap stocks with long-term earnings growth
potential.
Each of the aforementioned sub-styles assumes a different importance
in determining overall style risk, and must therefore be weighted
accordingly.
ANALYSIS
The Portfolio thrived in the favorable markets of the past year.
Small growth stocks were decidedly in favor for the majority of the year
ended September 30, 1995. During the year, the total return of the Portfolio
(Class A shares) was 41.7%.
Fiscal 1995 experienced robust economic growth coupled with a series
of interest rate moves. Technology related issues began to lead the market as
a result of heightened corporate investment and productivity increases in the
industry. Electronics and semiconductor stocks were the darlings of the
technology sector. Wireless communication and networking companies also
performed well. The strong demand for Pentiums and the introduction of
Windows '95 increased technology prices in the last four months. Technology
led all other sectors by a wide margin in fiscal 1995. The Portfolio
benefited from an overweight to that sector.
Health Management Organizations (HMO) were also a major driver of
performance earlier in the year, as many HMO's consolidated operations and
experienced record enrollment growth. Disaster struck the industry mid-year
when claims increased more than expected, competition increased, enrollment
growth slowed and margins evaporated.
Having identified an overexposure to stocks with capitalizations
greater than $1 billion and an underexposure to microcap stocks, SFM
recommended the addition of two new sub-advisers for the Portfolio. The two
sub-advisers are Apodaca-Johnston Capital Management and Wall Street
Associates. The effect of adding these two sub-advisers was twofold. First,
the Portfolio's microcap exposure is augmented in order to bring the
Portfolio's weighted average market capitalization down closer to that of its
benchmark, the Frank Russell 2000 Growth Index. Second, the addition reduces
the extreme growth exposure of the Portfolio relative to its benchmark in
terms of price-to-earnings, price-to-book, momentum and long-term growth
measures. The Portfolio's fundamentals now more accurately reflect a
benchmark level of risk in terms of sectors and fundamental characteristics.
Technology should continue to shape the direction of the capital
markets for the next several years. The Portfolio has demonstrated the
ability to pick winners from that sector; however, in the event that
technology stocks do correct more than expected, benchmark-like sector
exposures and superior stock selection in other sectors as well should
provide excellent downside protection for the Portfolio.
SMALL CAP GROWTH
AVERAGE ANNUAL TOTAL RETURN 1
<TABLE>
<CAPTION>
Annualized Annualized
One Year 3 Year Inception
Return Return to Date
<S> <C> <C> <C>
Class A 41.65% 25.07% 23.81%
Class D w/o Load 41.44% 24.86% 23.63%
Class D w/Load 34.33% 22.75% 21.79%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST SMALL CAP GROWTH PORTFOLIO,
CLASS A AND CLASS D, VERSUS THE S&P 500 COMPOSITE INDEX, THE WILSHIRE SMALL
CAP GROWTH INDEX, AND THE FRANK RUSSELL 2000 GROWTH INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Small Cap Growth Portfolio, Class A and Class D from April 30,
1992 through September 30, 1995 as compared with the growth of a $10,000
investment in the S&P 500 Composite Index, Frank Russell 2000 Growth Index,
and Wilshire Small Cap Growth Index. The plot points used to draw the line
graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in Small Cap Growth Invested in Small Cap Growth
Portfolio, Class A Portfolio, Class D
<S> <C> <C>
04/30/92 $10,000 $9,500
09/30/92 $10,659 $10,127
09/30/93 $14,690 $13,956
09/30/94 $14,723 $13,939
09/30/95 $20,856 $19,715
Period Ended Growth of $10,000 Growth of $10,000
Invested in S&P 500 Invested in Frank Russell
Composite Index Growth Index
<S> <C> <C>
04/30/92 $10,000 $10,000
09/30/92 $10,211 $9,522
09/30/93 $11,538 $12,301
09/30/94 $11,963 $12,409
09/30/95 $15,520 $15,905
Period Ended Growth of $10,000
Invested in Wilshire Small Cap
Growth Index
<S> <C>
04/30/92 $10,000
09/30/92 $9,837
09/30/93 $13,382
09/30/94 $13,719
09/30/95 $18,616
</TABLE>
1 FOR THE PERIOD ENDED 9/30/95. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 4/20/92. CLASS D
SHARES WERE OFFERED BEGINNING 5/2/94. THE PERFORMANCE SHOWN FOR THE CLASS D
SHARES PRIOR TO SUCH DATE IS BASED ON THE PERFORMANCE OF CLASS A SHARES
ADJUSTED TO REFLECT THE MAXIMUM SALES CHARGE OF 5.00% FOR THE CLASS D
SHARES.
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEPTEMBER 30, 1995
MID-CAP PORTFOLIO
ADVISER - SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER - MARTINGALE ASSET MANAGEMENT L.P.
OBJECTIVES
The Portfolio seeks to provide long-term capital appreciation by
investing primarily in equity securities of mid-sized companies.
STRATEGY
The Portfolio's investment philosophy is based on a bottom-up stock
selection process which emphasizes securities that have dramatic earnings
acceleration, sustainable growth, positive relative price momentum and an
attractive valuation. This philosophy results in a Portfolio which will tend
to have a higher than average price-to- earnings ratio, price-to-book ratio,
and return on equity, and a lower than average dividend yield.
ANALYSIS
The Mid-Cap Portfolio returned 19.8% (Class A shares) for fiscal
1995, a year marking significant change for the Portfolio. Nicholas-Applegate
Capital Management, the long time adviser of the Portfolio was terminated in
June of 1995 because of style and performance issues, and Martingale Asset
Management, L.P. was hired as the sub-adviser on June 21, 1995. With this
change, the Portfolio's focus has been redirected from merely a mid-cap
growth portfolio to a more traditional core product that includes growth
exposure. In this way, the Portfolio will have exposure to the entire mid-cap
arena.
For the year, the mid-cap area of the market was driven higher by the
strength in the technology sector and secondly from a consolidation-led rally
within the financial services industry. Electronic semi-conductor producers
led the way for technology stocks over the fiscal year ended September 30,
1995, as increasing demand and positive growth opportunities provided the
ideal environment for the group. The Mid-Cap Portfolio benefited from an
average 25.0% exposure to the sector in the first three quarters of the year,
which grew to over 32.0% of the Portfolio by the end of the fiscal year.
The Portfolio's financial services sector exposure, although a
modestly low weighting in the Portfolio, added value over the year due to
superior stock selection. Banks, insurance companies and thrift institutions
recovered in the relatively steady interest rate environment that existed
over most of fiscal 1995. However, most of the performance was a direct
result of the mergers and acquisitions in the money center and smaller
regional banks throughout the year.
The Mid-Cap Portfolio is currently positioned to be style neutral to
the mid-cap market. The largest commitments in the Portfolio are in the
technology and consumer non-durables sectors but through the construction of
the Portfolio, the sub-adviser will minimize active style and sector bets
relative to the benchmark and add value purely through stock selection.
MID-CAP
AVERAGE ANNUAL TOTAL RETURN 1
<TABLE>
<CAPTION>
Annualized
One Year Inception
Return to Date
<S> <C> <C>
Class A 19.78% 11.59%
Class D w/o Load 19.26% 11.33%
Class D w/Load 13.32% 9.16%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST MID-CAP PORTFOLIO, CLASS A AND
CLASS D, VERSUS THE S&P 500 COMPOSITE INDEX, AND THE WILSHIRE MID-CAP GROWTH
INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Mid-Cap Portfolio, Class A and Class D from February 28, 1993
through September 30, 1995 as compared with the growth of a $10,000 investment
in the S&P 500 Composite Index and Wilshire Mid-Cap Growth Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in Mid-Cap Invested in Mid-Cap
Portfolio, Class A Portfolio, Class D
<S> <C> <C>
02/28/93 $10,000 $9,500
09/30/93 $11,779 $11,190
09/30/94 $10,825 $10,265
09/30/95 $12,966 $12,242
Period Ended Growth of $10,000 Growth of $10,000
Invested in S&P 500 Invested in Wilshire Mid-Cap
Composite Index Growth Index
<S> <C> <C>
02/28/93 $10,000 $10,000
09/30/93 $10,525 $11,217
09/30/94 $10,913 $11,878
09/30/95 $14,157 $16,118
</TABLE>
1 FOR THE PERIOD ENDED 9/30/95. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 2/16/93. CLASS D
SHARES WERE OFFERED BEGINNING 5/2/94. THE PERFORMANCE SHOWN FOR CLASS D
SHARES PRIOR TO SUCH DATE IS BASED ON THE PERFORMANCE OF CLASS A SHARES
ADJUSTED TO REFLECT THE MAXIMUM SALES CHARGE OF 5.00% FOR THE CLASS D
SHARES.
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
ADVISER - SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER - SUNBANK CAPITAL MANAGEMENT
OBJECTIVES
The Capital Appreciation Portfolio seeks to provide capital
appreciation through a diversified portfolio of common stocks. Dividend
income is incidental to the growth of capital. Securities are selected for
the Portfolio based on factors believed to be favorable for long-term
appreciation, such as historical returns on equity and earnings growth rates.
Holdings in the Portfolio are rotated between various market sectors based on
economic analysis of the business cycle.
STRATEGY
The investment management process followed by the sub-adviser
emphasizes business cycle analysis, sector rotation and stock selection. The
sub-adviser identifies market sectors that perform better than others at
distinct points of the business cycle. Issuer companies in those industries
that are expected to perform well in the current environment are candidates
for the Portfolio. As a sector's favor changes over the business cycle, the
issues in that sector are sold and replaced by issues in other, more
attractive sectors.
ANALYSIS
The Portfolio returned 19.03% (Class A shares) for the one-year
period ended September 30, 1995. Throughout the year, technology and
financial services stocks have contributed significantly to the Portfolio's
return while consumer durables and materials and services stocks
underperformed the market. This was primarily a result of the Federal
Reserve's attempt to engineer an economic slowdown in an effort to control
inflation. This caused companies which have their earnings growth highly
dependent on the strength of the economy to experience slower earnings growth
during the year.
In an effort to concentrate the Portfolio in the securities with the
most potential for price appreciation, holdings were reduced from a high of
155 issuers to near 100 issuers. Many of the stocks sold were small positions
in the portfolio and were associated with companies that had low
capitalizations relative to the market.
The Portfolio is positioned in anticipation of a market with slower
earnings growth in the foreseeable future. Therefore, it is expected that
high quality, predictable corporate earnings will drive stock prices.
Specifically, the Portfolio is overweighted relative to the consumer
non-durable and technology sectors while underweighted to utilities.
CAPITAL APPRECIATION
AVERAGE ANNUAL TOTAL RETURN 1
<TABLE>
<CAPTION>
Annualized Annualized
One Year 5 Year Inception
Return Return to Date
<S> <C> <C> <C>
Class A 19.03% 14.56% 13.46%
Class D w/o Load 18.52% 14.37% 13.34%
Class D w/Load 12.58% 13.21% 12.57%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST CAPITAL APPRECIATION PORTFOLIO,
CLASS A AND CLASS D, VERSUS THE S&P 500 COMPOSITE INDEX, AND THE S&P/BARRA
GROWTH INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Capital Appreciation Portfolio, Class A and Class D from March 31,
1988 through September 30, 1995 as compared with the growth of a $10,000
investment in the S&P 500 Composite Index and S&P/BARRA Growth Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in Capital Appreciation Invested in Capital Appreciation
Portfolio, Class A Portfolio, Class D
<S> <C> <C>
03/31/88 $10,000 $9,500
09/30/88 $10,360 $9,842
09/30/89 $14,238 $13,526
09/30/90 $13,419 $12,748
09/30/91 $17,671 $16,788
09/30/92 $19,621 $18,640
09/30/93 $22,269 $21,156
09/30/94 $22,245 $21,059
09/30/95 $26,478 $24,959
Period Ended Growth of $10,000 Growth of $10,000
Invested in S&P 500 Invested in S&P/BARRA
Composite Index Growth Index
<S> <C> <C>
03/31/88 $10,000 $10,000
09/30/88 $10,703 $10,605
09/30/89 $14,233 $14,301
09/30/90 $12,918 $13,531
09/30/91 $16,946 $18,324
09/30/92 $18,819 $20,382
09/30/93 $21,265 $21,122
09/30/94 $22,048 $22,581
09/30/95 $28,602 $29,733
</TABLE>
1 FOR THE PERIOD ENDED 9/30/95. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 3/1/88. CLASS D
SHARES WERE OFFERED BEGINNING 8/16/93. THE PERFORMANCE SHOWN FOR CLASS D
SHARES PRIOR TO SUCH DATE IS BASED ON THE PERFORMANCE OF CLASS A SHARES
ADJUSTED TO REFLECT THE MAXIMUM SALES CHARGE OF 5.00% FOR THE CLASS D
SHARES.
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEPTEMBER 30, 1995
EQUITY INCOME PORTFOLIO
ADVISOR - SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER - MERUS CAPITAL MANAGEMENT
OBJECTIVES
The Portfolio seeks to provide current income and long-term growth of
capital through a diversified portfolio of common stocks. The Portfolio
invests in securities which have a high current yield and a low level of
volatility relative to the market. The Portfolio seeks to preserve capital in
down markets while participating in rising markets.
STRATEGY
The investment management process followed by the sub-adviser
emphasizes current income. The Portfolio is managed to provide a yield which
is approximately 120 to 200 basis points above the yield on the S&P 500.
Securities which have favorable long-term fundamental characteristics are
selected for the Portfolio when their current yields are at the upper end of
their historic yield ranges. When the price of a stock rises sufficiently to
cause its yield to drop to the lower end of this historic range, the security
will be sold. The yield of a security might vary between its buy and sell
range over a three or four year cycle, and the turnover of the Portfolio is
typically a low 30% per year.
ANALYSIS
For the fiscal year ended September 30, 1995, the Equity Income
Portfolio (Class A shares) returned a strong 23.0%.
Driving the markets in fiscal 1995 were the finance and technology
sectors. Following a year of increasing interest rates, bank stocks in
particular were poised for a come-back. After a bumpy start in the fourth
quarter of 1994, stocks in the financial services industry began a rally that
lasted throughout the fiscal year-end. Driven by the promise of steady
interest rates as well as a wave of consolidation and cost-cutting within the
industry, the money center banks have returned over 48.0% since September of
1994 according to Standard & Poor's money center bank industry group
rankings. The Equity Income Portfolio benefited from its exposure to the
high-flying group with an average 20% exposure to the financial services
industry. Strong performance can also be attributed to the Portfolio's
positioning within the drug, tobacco and electric utility sectors of the
market.
However, the technology sector was the primary engine behind the
markets record breaking rally. Electronic and computer semi-conductor
producers moved up sharply due to high demand and attractive growth
opportunities. The Equity Income Portfolio failed to keep up with the market
because of the near zero exposure in the technology area that results from a
clearly defined relative dividend yield strategy.
Looking forward, the sub-adviser is reducing exposure in the drug
sector following strong performance over fiscal 1995. Some of the drug stocks
in the industry are reaching their sales targets as determined by the
relative dividend yield strategy. In addition, the Portfolio's commitment in
the electric utility sector has increased slightly to take advantage of the
group's expected revival.
EQUITY INCOME
AVERAGE ANNUAL TOTAL RETURN 1
<TABLE>
<CAPTION>
Annualized Annualized
One Year 5 Year Inception
Return Return to Date
<S> <C> <C> <C>
Class A 23.00% 16.83% 13.21%
Class D w/o Load 22.62% 16.66% 13.10%
Class D w/Load 16.48% 15.47% 12.30%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST EQUITY INCOME PORTFOLIO, CLASS A
AND CLASS D, VERSUS THE S&P 500 COMPOSITE INDEX, AND THE S&P/BARRA VALUE
INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Equity Income Portfolio, Class A and Class D from June 30, 1988
through September 30, 1995 as compared with the growth of a $10,000 investment
in the S&P 500 Composite Index and S&P/BARRA Value Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in Equity Income Invested in Equity Income
Portfolio, Class A Portfolio, Class D
<S> <C> <C>
06/30/88 $10,000 $9,500
09/30/88 $10,297 $9,783
09/30/89 $13,235 $12,574
09/30/90 $11,247 $10,685
09/30/91 $14,854 $14,112
09/30/92 $16,785 $15,946
09/30/93 $19,596 $18,711
09/30/94 $19,907 $18,829
09/30/95 $24,485 $23,088
Period Ended Growth of $10,000 Growth of $10,000
Invested in S&P 500 Invested in S&P/BARRA
Composite Index Value Index
<S> <C> <C>
06/30/88 $10,000 $10,000
09/30/88 $10,033 $10,089
09/30/89 $13,343 $13,164
09/30/90 $12,110 $11,375
09/30/91 $15,886 $14,443
09/30/92 $17,642 $15,997
09/30/93 $19,935 $19,610
09/30/94 $20,669 $19,718
09/30/95 $26,814 $25,177
</TABLE>
1 FOR THE PERIOD ENDED 9/30/95. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 6/2/88. CLASS D
SHARES WERE OFFERED BEGINNING 9/22/93. THE PERFORMANCE SHOWN FOR CLASS D
SHARES PRIOR TO SUCH DATE IS BASED ON THE PERFORMANCE OF CLASS A SHARES
ADJUSTED TO REFLECT THE MAXIMUM SALES CHARGE OF 5.00% FOR THE CLASS D
SHARES.
<PAGE>
BALANCED PORTFOLIO
ADVISER - SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER - SUNBANK CAPITAL MANAGEMENT
OBJECTIVES
The Balanced Portfolio seeks to achieve total return while preserving
capital by investing in a combination of common stocks and fixed income
securities. By altering the mix of equity and fixed income securities, the
Portfolio seeks to minimize losses during falling equity markets while
realizing strong returns in rising markets.
STRATEGY
The sub-adviser views equities as the primary source of return in
balanced funds with fixed income instruments primarily providing stability
and diversification. The equity portion of the portfolio combines a core
group of demonstrated growth stocks with securities selected through business
cycle analysis and sector rotation. This approach tends to result in a
portfolio of large capitalization stocks with price-to-earnings ratios,
growth rates and returns on equity higher than market averages. Fixed income
selection attempts to provide portfolio stability and incremental return by
identifying inexpensive areas of the yield curve and improving corporate
credits.
ANALYSIS.
The Portfolio returned 15.05% (Class A shares) for the one-year
period ending September 30, 1995. The equity portion of the fund averaged
approximately 65% of assets during the year with cash and bonds making up the
remainder of the investments.
Technology and financial services stocks contributed significantly to
the Portfolio's return while consumer durables and materials and services
stocks underperformed the market. This was primarily a result of the Federal
Reserve's attempt to engineer an economic slowdown in an effort to control
inflation. Slower earnings growth is expected for companies whose earnings
growth is dependent on the strength of the economy.
The Portfolio is positioned in anticipation of the market having
slower earnings growth into the foreseeable future and continued lower
interest rates. Therefore, it is expected that high quality, predicable
corporate earnings will drive stock prices. Specifically, the Portfolio is
overweighted to the consumer non-durable and technology sectors while
underweighted to utilities.
BALANCED PORTFOLIO
AVERAGE ANNUAL TOTAL RETURN 1
<TABLE>
<CAPTION>
Annualized Annualized
One Year 5 Year Inception
Return Return to Date
<S> <C> <C> <C>
Class A 15.05% 10.53% 9.71%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST BALANCED PORTFOLIO, VERSUS THE
S&P/BARRA GROWTH INDEX, AND THE LEHMAN GOVERNMENT/CORPORATE BOND INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Balanced Portfolio, Class A from August 31, 1990 through September
30, 1995 as compared with the growth of a $10,000 investment in the Lehman
Government/Corporate Bond Index and S&P/BARRA Growth Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Balanced Invested in Lehman Gov't/Corp. Invested in S&P/BARRA
Portfolio, Class A Bond Index Growth Index
<S> <C> <C> <C>
08/31/90 $10,000 $10,000 $10,000
09/30/90 $9,929 $10,083 $9,484
09/30/91 $11,514 $11,683 $12,843
09/30/92 $12,854 $13,229 $14,288
09/30/93 $14,716 $14,745 $14,804
09/30/94 $14,238 $14,134 $15,827
09/30/95 $16,381 $16,163 $20,839
</TABLE>
1 FOR THE PERIOD ENDED 9/30/95. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 8/7/90.
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEPTEMBER 30, 1995
CAPITAL GROWTH PORTFOLIO
ADVISER - SUNBANK CAPITAL MANAGEMENT
OBJECTIVE
The investment objective of the Capital Growth Portfolio is capital
appreciation through a diversified portfolio of mid-cap common stocks.
Dividend income is incidental to the growth of capital. Securities selection
is based on factors believed to be favorable for long-term appreciation.
Holdings are rotated between various market sectors based on economic
analysis of the business cycle.
STRATEGY
The investment management process followed by the adviser emphasizes
business cycle analysis, sector rotation and stock selection. The adviser
identifies market sectors that perform better than others at distinct points
of the business cycle. Issuer companies in those industries that are expected
to perform well in the current environment are candidates for the Portfolio.
As a sector's favor changes over the business cycle, the issues in that
sector are sold and replaced by issues in other, more attractive, sectors.
Stocks that fall within favored sectors are analyzed based on
fundamental analysis to determine which offer the best relative values.
Convertible securities may be purchased if they offer better relative value
than the underlying common stocks.
ANALYSIS
For the fiscal year ended September 30, 1995, the Portfolio provided
a return of 23.9% versus the S&P Midcap Index of 25.8%. Performance was
hindered by an underweighting in technology over the last quarter. The four
year return for the Portfolio is 16.8% versus 15.6% for the S&P Midcap Index.
The adviser believes that growth stocks should do well during the
next twelve months in an environment that indicates slowing earnings growth
with contained or falling inflation. In this scenario, the dollar would do
well, interest rates would go lower, and price earnings multiples would
expand.
CAPITAL GROWTH
AVERAGE ANNUAL TOTAL RETURN
<TABLE>
<CAPTION>
Annualized Annualized
One Year 5 Year Inception
Return Return to Date
<S> <C> <C> <C>
23.96% 21.62% 15.48%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST CAPITAL GROWTH PORTFOLIO, VERSUS
THE S&P 500 COMPOSITE INDEX, AND THE S&P 400 MID-CAP GROWTH INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Capital Growth Portfolio from January 31, 1990 through September
30, 1995 as compared with the growth of a $10,000 investment in the S&P 400 Mid-
Cap Growth Index and S&P 500 Composite Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Capital Invested in S&P 400 Mid-Cap Invested in S&P 500
Growth Portfolio Growth Index Composite Index
<S> <C> <C> <C>
01/31/90 $10,000 $10,000 $10,000
09/30/90 $8,841 $9,218 $9,531
09/30/91 $12,642 $13,856 $12,503
09/30/92 $15,028 $15,585 $13,855
09/30/93 $18,695 $19,328 $15,690
09/30/94 $18,977 $19,638 $16,267
09/30/95 $23,524 $24,698 $21,103
</TABLE>
FOR THE PERIOD ENDED 9/30/95. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE. THE PORTFOLIO WAS OFFERED BEGINNING 1/4/90.
<PAGE>
CORE FIXED INCOME PORTFOLIO
ADVISER - WESTERN ASSET MANAGEMENT COMPANY
OBJECTIVE
The Core Fixed Income Portfolio seeks to provide current income by
investing in a diversified portfolio of fixed income securities while also
limiting fluctuations in principal value. The Portfolio invests in every
sector of the fixed income universe, including Treasuries, agencies,
mortgage-backed issues, asset-backed securities, corporates, and Yankee
bonds.
STRATEGY
The adviser emphasizes the use of multiple strategies and active
sector and issue selection, and attempts to reduce the volatility of returns
by constraining overall interest rate risk relative to the Lehman Aggregate
Bond Index and maintaining the Portfolio's average weighted maturity between
five and ten years.
In order of importance, the adviser expects to add value by
emphasizing the higher-yielding corporate and mortgage sectors, by rotating
into those areas of the market that appear to be little understood and/or
undervalued, by anticipating shifts in the shape of the yield curve, and by
making modest changes in portfolio duration to anticipate changing levels of
interest rates. In addition, the adviser uses futures and options primarily
for tactical hedging purposes and to implement portfolio strategies more
efficiently.
ANALYSIS
Although the Federal Reserve raised short-term interest rates in
November and again in February, the period was characterized by significant
reductions in interest rates. Tight monetary policy which began in February
1994 finally took its toll on economic activity, leading to pronounced
deceleration of economic growth in the first half of calendar 1995. Market
expectations reversed in dramatic fashion, causing short- and
intermediate-term interest rates to drop by as much as 300 basis points from
year-end levels.
The Portfolio's performance comfortably exceeded benchmark returns by
about 200 basis points for the period. The adviser achieved these results by
taking a controlled amount of risk in a variety of areas, and having most
strategies pay off over time.
The Portfolio benefited from having a moderately long exposure to
interest rates throughout the period, since the adviser believed that low
inflation fundamentals, tight monetary policy and the prospects for
decelerating economic activity signaled declining interest rates. In
addition, the adviser increased the Portfolio's exposure to short- and
intermediate-term maturities in the later part of the fourth quarter, in the
belief that market expectations of future Federal Reserve tightening were
excessive; this strategy made an important contribution to excess returns in
the first calendar quarter of 1995, as the yield curve steepened
significantly.
Portfolio results were supported by its overweighted exposure to the
mortgage sector in the fourth quarter of 1994 and the first quarter of 1995,
as mortgage spreads narrowed significantly. Subsequently, the adviser shifted
to an under-weighted exposure to mortgages in the latter two calendar
quarters, and this also contributed to relative performance, as mortgage
spreads widened. Overweighted exposure to corporate securities, particularly
those at the lower end of the investment quality scale, also made an
important contribution to returns for the period, as spreads narrowed
throughout the period. Corporate exposure was reduced somewhat over the
period as spreads narrowed.
CORE FIXED INCOME
AVERAGE ANNUAL TOTAL RETURN 1
<TABLE>
<CAPTION>
Annualized Annualized
One Year 5 Year Inception
Return Return to Date
<S> <C> <C> <C>
Class A 15.87% 8.59% 8.21%
Class D w/o Load 15.24% 8.45% 8.12%
Class D w/Load 10.10% 7.46% 7.53%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST CORE FIXED INCOME PORTFOLIO,
CLASS A AND CLASS D, VERSUS THE LEHMAN BROTHERS AGGREGATE BOND INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Core Fixed Income Portfolio, Class A and Class D from May 31, 1987
through September 30, 1995 as compared with the growth of a $10,000 investment
in the Lehman Brothers Aggregate Bond Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in Core Fixed Income Invested in Core Fixed Income
Portfolio, Class A Portfolio, Class D
<S> <C> <C>
05/31/87 $10,000 $9,550
09/30/87 $10,062 $9,610
09/30/88 $11,002 $10,507
09/30/89 $12,035 $11,494
09/30/90 $12,827 $12,250
09/30/91 $14,535 $13,881
09/30/92 $16,266 $15,534
09/30/93 $17,661 $16,866
09/30/94 $16,715 $15,880
09/30/95 $19,367 $18,300
Period Ended Growth of $10,000
Invested in Lehman Brothers
Aggregate Bond Index
<S> <C>
05/31/87 $10,000
09/30/87 $9,863
09/30/88 $11,174
09/30/89 $12,433
09/30/90 $13,371
09/30/91 $15,509
09/30/92 $17,457
09/30/93 $19,199
09/30/94 $18,581
09/30/95 $21,196
</TABLE>
1 FOR THE PERIOD ENDED 9/30/95. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE. CLASS A SHARES WERE OFFERED
BEGINNING 5/4/87. CLASS D SHARES WERE OFFERED BEGINNING 5/9/94. THE
PERFORMANCE SHOWN FOR CLASS D SHARES PRIOR TO SUCH DATE IS BASED ON THE
PERFORMANCE OF CLASS A SHARES ADJUSTED TO REFLECT THE MAXIMUM SALES CHARGE
OF 4.50% FOR THE CLASS D SHARES.
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEPTEMBER 30, 1995
BOND PORTFOLIO
ADVISER - SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER - BOATMEN'S TRUST COMPANY
OBJECTIVE
The Portfolio seeks to provide a high level of current income
consistent with preservation of capital by investing in a diversified
portfolio of fixed income securities. The Portfolio invests in issues of the
U.S. government and its agencies and investment grade corporate debt. There
are no restrictions on the Portfolio's maturity, but the average maturity is
expected to be greater than ten years.
STRATEGY
The Portfolio seeks to achieve a high level of total return through
active management based on the sub-adviser's expectations about the economy,
interest rates and inflation. The sub-adviser monitors longer term economic
trends, particularly with respect to monetary policy. The maturity and sector
holdings of the Portfolio are adjusted based on these forecasts. In a falling
interest rate environment the maturity of the Portfolio will be lengthened
and treasury securities will be favored for their call protection and high
quality.
ANALYSIS
The Bond Portfolio (Class A shares) realized a total return of 17.53%
for the year ended September 30, 1995, outperforming the Lehman Brothers
Aggregate Bond Index which returned 14.06%.
The fears of inflation that drove interest rates higher in 1994
dissipated over the year as economic data began to point to a slowing
economy. Interest rates fell dramatically over the period: long-term yields
fell approximately 130 basis points and intermediate-term yields fell roughly
75 to 100 basis points. However, short-term yields rose 15 to 65 basis points
as the Federal Reserve continued to raise the Federal Funds and discount
rates through the beginning of the year, and only reduced the Federal Funds
rate by 25 basis points in July.
The Bond Portfolio's outperformance of the benchmark Index was driven
by its duration and yield curve strategies. Duration remained longer than the
benchmark Index for the entire period, allowing the Portfolio to capture
excess returns as yields fell. Duration was shortened modestly in late May,
as yields on the 30-year Treasury bond moved below 7 percent and the
sub-adviser believed the bond market rally was nearing its peak. At the end
of the period, duration was targeted at 6.0 years, approximately 125% of the
benchmark index duration. Complementing the duration strategy, the
Portfolio's barbell yield curve posture also generated excess returns. As the
yield curve flattened significantly over the year, the Portfolio's
combination of long-term bonds and short-term notes outperformed the
benchmark's component bonds which include a majority weighting to
intermediate-term securities.
BOND
AVERAGE ANNUAL TOTAL RETURN 1
<TABLE>
<CAPTION>
Annualized Annualized
One Year 5 Year Inception
Return Return to Date
<S> <C> <C> <C>
Class A 17.53% 11.40% 9.91%
Class D w/o Load 16.97% 11.21% 9.80%
Class D w/Load 11.69% 10.20% 9.20%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST BOND PORTFOLIO, CLASS A AND
CLASS D, VERSUS THE LEHMAN AGGREGATE BOND INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Bond Portfolio, Class A and Class D from May 31, 1987 through
September 30, 1995 as compared with the growth of a $10,000 investment in the
Lehman Brothers Aggregate Bond Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Bond Invested in Bond Invested in Lehman
Portfolio, Class A Portfolio, Class D Aggregate Bond Index
<S> <C> <C> <C>
05/31/87 $10,000 $9,550 $10,000
09/30/87 $9,333 $8,913 $9,863
09/30/88 $10,940 $10,448 $11,174
09/30/89 $12,757 $12,183 $12,433
09/30/90 $12,880 $12,301 $13,371
09/30/91 $15,529 $14,830 $15,509
09/30/92 $17,628 $16,835 $17,457
09/30/93 $20,688 $19,757 $19,199
09/30/94 $18,801 $17,906 $18,581
09/30/95 $22,097 $20,945 $21,196
</TABLE>
1 FOR THE PERIOD ENDED 9/30/95. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED
BEGINNING 5/4/87. CLASS D SHARES WERE OFFERED BEGINNING 8/16/93. THE
PERFORMANCE SHOWN FOR CLASS D SHARES PRIOR TO SUCH DATE IS BASED ON THE
PERFORMANCE OF CLASS A SHARES ADJUSTED TO REFLECT THE MAXIMUM SALES CHARGE
OF 4.50% FOR THE CLASS D SHARES.
<PAGE>
HIGH YIELD BOND PORTFOLIO
ADVISER - SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER - BEA ASSOCIATES
OBJECTIVES
The High Yield Bond Fund seeks to maximize total return by investing
primarily in a diversified Portfolio of higher yielding, lower rated
fixed-income securities. The strategy seeks to achieve a high level of total
return through sector rotation and issue selection.
STRATEGY
The sub-adviser, determines attractive high yield market sectors by
analyzing macro-economic, interest rate, industry, and technical factors. The
firm then invests in those companies best suited to benefit from the
identified trends. Risk is controlled through a high level of diversification
and by performing detailed credit analysis on the companies considered and
purchased.
ANALYSIS
During the first full eight months since inception in mid January,
the High Yield Bond Portfolio (Class A shares) realized a total return of
12.54% for the 8 months ended September 30, 1995. The main contributors to
this performance came from several concentrations in the Portfolio including
an emphasis on gaming issues, cyclical issues, and consolidating industries.
Since the inception of the Portfolio in mid-January, it has been
overweighted in the gaming sector due to the inexpensive prices available
following the end of 1994's down market. The adviser's overweight to the
gaming sector is based on the belief that gaming issues were undervalued at
the beginning of the year and will rebound as the economy improves and
traffic increases. This strategy has benefited the Portfolio as the gaming
industry experienced significant growth and outperformed the aggregate high
yield market since the beginning of 1995.
In addition, the Portfolio is overweighted to certain cyclical
industries such as the chemicals and packaging sector. High yield issuers in
these sectors have benefited from the rising prices for specialty industrial
chemicals and paper which were spurred on by a strong economy.
Finally, the Portfolio performance was also attributable to an
emphasis to those industries within the high yield market that are
consolidating and thus experiencing greater levels of merger and acquisition
activity. The Portfolio's overweight to the cable TV industry is an example
of this strategy. This strategy was beneficial as the cable sector
outperformed during the period mainly due to merger activity born out of the
need for cable companies to increase their subscription areas to maintain
competitiveness.
HIGH YIELD BOND
AVERAGE ANNUAL TOTAL RETURN 1
<TABLE>
<CAPTION>
Annualized Cumulative
Inception Inception
to Date to Date
<S> <C> <C>
Class A 17.72% 12.43%
</TABLE>
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND PORTFOLIO, VERSUS THE CS FIRST
BOSTON HIGH YIELD INDEX
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust High Yield Bond Portfolio, Class A from January 31, 1995 through
September 30, 1995 as compared with the growth of a $10,000 investment in the CS
First Boston High Yield Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in High Yield Bond Invested in CS First Boston
Portfolio, Class A High Yield Index
<S> <C> <C>
01/31/95 $10,000 $10,000
09/30/95 $11,254 $11,292
</TABLE>
1 FOR THE PERIOD ENDED 9/30/95. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 1/11/95.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND BOARD OF
TRUSTEES
SEI INSTITUTIONAL MANAGED TRUST
In our opinion, the accompanying
statements of net assets and the related
statements of operations and of changes
in net assets and the financial
highlights present fairly, in all
material respects, the financial
position of the Large Cap Value, Large
Cap Growth, Small Cap Value, Small Cap
Growth, Mid-Cap, Capital Appreciation,
Equity Income, Balanced, Capital Growth,
Core Fixed Income, Bond and High Yield
Bond Portfolios (comprising SEI
Institutional Managed Trust, hereafter
referred to as the 'Fund') at September
30, 1995, the results of each of their
operations, the changes in each of their
net assets and the financial highlights
for each of the respective periods
presented, in conformity with generally
accepted accounting principles. These
financial statements and financial
highlights (hereafter referred to as
'financial statements') are the
responsibility of the Fund's management;
our responsibility is to express an
opinion on these financial statements
based on our audits. We conducted our
audits of these financial statements in
accordance with generally accepted
auditing standards which require that we
plan and perform the audit to obtain
reasonable assurance about whether the
financial statements are free of
material misstatement. An audit includes
examining, on a test basis, evidence
supporting the amounts and disclosures
in the financial statements, assessing
the accounting principles used and
significant estimates made by
management, and evaluating the overall
financial statement presentation. We
believe that our audits, which included
confirmation of securities at September
30, 1995 by correspondence with the
custodian and brokers and the
application of alternative auditing
procedures where confirmations from
brokers were not received, provide a
reasonable basis for the opinion
expressed above.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania
November 10, 1995
16
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
LARGE CAP VALUE PORTFOLIO
<TABLE>
<CAPTION>
- ------------------------------------------------------------
Market
Value
Description Shares (000)
- ------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 98.1%
AEROSPACE & DEFENSE -- 1.6%
Loral 10,800 $ 616
Raytheon 28,700 2,439
Rockwell International 35,200 1,663
Thiokol 18,700 669
---------
5,387
---------
AIR TRANSPORTATION -- 0.7%
AMR* 16,900 1,220
Delta Air Lines 8,700 602
UAL* 3,800 649
---------
2,471
---------
AIRCRAFT -- 2.6%
Lockheed Martin 42,000 2,819
McDonnell Douglas 36,900 3,053
Textron 29,300 2,000
United Technologies 8,000 707
---------
8,579
---------
ALUMINUM & ALUMINUM PRODUCTS -- 0.4%
Alcan Aluminum 37,000 1,198
---------
APPAREL/TEXTILES -- 0.3%
Springs Industries, Cl A 21,700 852
V F 5,100 260
---------
1,112
---------
AUTOMOTIVE -- 3.0%
Chrysler 18,100 959
Dana 20,600 595
Eaton 24,200 1,283
Echlin 10,000 358
Ford Motor 72,000 2,241
General Motors 56,500 2,647
Paccar 18,000 842
TRW 12,000 893
---------
9,818
---------
BANKS -- 13.5%
Banc One 38,000 1,387
Bank of Boston 34,800 1,657
BankAmerica 66,000 3,949
Baybanks 8,500 645
Chase Manhattan 34,800 2,127
Chemical Banking 51,400 3,129
Citicorp 27,700 1,960
CoreStates Financial 63,800 2,337
First Interstate Bancorp 21,100 2,126
First Union 36,500 1,862
- ------------------------------------------------------------
Market
Value
Description Shares (000)
- ------------------------------------------------------------
Fleet Financial Group 33,900 $ 1,280
Great Western Financial 30,000 713
H F Ahmanson 71,700 1,819
J P Morgan 35,100 2,716
Midlantic 7,400 401
National City 30,800 951
NationsBank 49,300 3,315
NBD Bancorp 74,300 2,842
Republic New York 9,500 556
Star Banc 39,300 2,103
SunTrust Banks 10,300 681
Union Bank 14,200 753
Union Planters 37,000 1,101
US Bancorp Oregon 34,500 975
Wachovia 39,000 1,682
Wells Fargo 10,000 1,856
---------
44,923
---------
BEAUTY PRODUCTS -- 0.2%
Alberto Culver, Cl B 16,500 503
---------
CHEMICALS -- 4.9%
B F Goodrich 53,600 3,529
Cabot 11,100 590
Dow Chemical 36,200 2,697
E I du Pont de Nemours 45,100 3,101
Eastman Chemical 8,200 525
Eli Lilly 8,700 782
First Mississippi 12,800 510
Monsanto 10,300 1,038
Union Carbide 50,000 1,988
Witco 42,700 1,500
---------
16,260
---------
COMMUNICATIONS EQUIPMENT -- 1.0%
Harris 11,200 615
ITT 8,900 1,104
Sprint 47,900 1,676
---------
3,395
---------
COMPUTERS & SERVICES -- 1.9%
International Business Machines 63,000 5,946
Seagate Technology* 12,300 518
---------
6,464
---------
CONSUMER PRODUCTS -- 0.2%
Black & Decker 20,600 703
---------
CONTAINERS & PACKAGING -- 0.2%
Ball 16,700 495
---------
</TABLE>
17
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
LARGE CAP VALUE PORTFOLIO
<TABLE>
<CAPTION>
- ------------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
DRUGS -- 3.9%
American Home Products 25,600 $ 2,173
Baxter International 14,200 584
Bristol Myers Squibb 77,500 5,648
Merck 23,000 1,288
Rhone Poulenc Rorer 49,900 2,270
Schering Plough 8,400 433
Upjohn 11,100 495
---------
12,891
---------
ELECTRICAL SERVICES -- 9.6%
Baltimore Gas & Electric 70,900 1,835
Centerior Energy 66,900 728
Central & South West 36,000 918
Consolidated Edison of New York 52,200 1,586
Detroit Edison 56,100 1,809
Dominion Resources of Virginia 24,500 922
DQE 62,700 1,662
Duke Power 28,800 1,249
Entergy 46,300 1,210
Florida Progress 27,200 881
General Public Utilities 43,000 1,338
Illinova 14,900 404
Ohio Edison 19,900 453
Pacificorp 56,200 1,068
PECO Energy 53,500 1,531
Pinnacle West Capital 80,700 2,118
Portland General 28,300 725
Public Service Enterprise Group 115,000 3,420
SCE 121,100 2,150
Teco Energy 43,200 1,010
Texas Utilities 50,500 1,761
Unicom 53,500 1,618
Wisconsin Energy 45,200 1,277
---------
31,673
---------
ELECTRICAL TECHNOLOGY -- 0.5%
General Motors, Cl H 24,700 1,013
Texas Instruments 6,800 543
---------
1,556
---------
FINANCIAL SERVICES -- 3.7%
Alex Brown 8,900 520
Allstate 91,826 3,247
American Express 20,600 914
Bear Stearns 35,000 753
Beneficial 15,300 799
Dean Witter Discover 33,900 1,907
FNMA 9,691 1,003
Household International 30,300 1,879
SLMA 10,500 567
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
Transamerica 8,800 $ 627
---------
12,216
---------
FOOD, BEVERAGE & TOBACCO -- 4.1%
American Brands 58,300 2,463
Anheuser Busch 13,900 867
Archer Daniels Midland 46,200 710
Coca-Cola 25,700 633
CPC International 6,100 403
General Mills 14,300 797
H J Heinz 19,900 910
IBP 35,900 1,916
Philip Morris 42,100 3,517
Seaboard 400 103
UST 42,804 1,225
---------
13,544
---------
FORESTRY -- 0.2%
IP Timberlands LP 29,300 681
---------
GAS/NATURAL GAS -- 2.2%
Coastal 14,300 481
Consolidated Natural Gas 43,000 1,737
Eastern Enterprises 9,000 289
Nicor 16,300 444
Oneok 25,900 602
Pacific Enterprises 15,400 387
Panhandle Eastern 59,700 1,627
TEPPCO Partners LP 11,300 364
Williams 34,000 1,326
---------
7,257
---------
HOUSEHOLD PRODUCTS -- 1.2%
Clorox 18,800 1,341
Minnesota Mining & Manufacturing 28,400 1,605
National Service Industries 32,500 951
---------
3,897
---------
INSURANCE -- 6.0%
Aflac 23,000 955
AMBAC 5,300 233
American General 96,800 3,618
AON 5,300 217
Cigna 37,800 3,935
Jefferson Pilot 11,000 707
Lincoln National 27,200 1,282
Loews 8,900 1,295
Marsh & McLennan 16,200 1,424
Old Republic International 49,500 1,429
Providian 20,100 834
</TABLE>
18
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
Safeco 14,300 $ 938
Saint Paul 39,539 2,308
US Life 27,750 812
---------
19,987
---------
LEASING & RENTING -- 0.2%
Comdisco 22,300 663
---------
MACHINERY -- 1.5%
Cummins Engine 16,500 635
Dresser Industries 18,900 451
General Electric 11,600 740
Harnischfeger Industries 13,000 434
Nacco Industries, Cl A 6,700 398
Parker-Hannifin 34,000 1,292
Timken 27,100 1,155
---------
5,105
---------
MARINE TRANSPORTATION -- 0.2%
Tidewater 22,000 619
---------
MEASURING DEVICES -- 0.2%
Tektronix 8,700 513
---------
MEDICAL PRODUCTS & SERVICES -- 1.0%
Bausch & Lomb 11,500 476
Becton Dickinson 30,900 1,943
Community Psychiatric Centers* 27,000 317
Universal Health Services, Cl B* 16,500 565
---------
3,301
---------
METALS & MINING -- 0.4%
Asarco 28,100 886
Magma Copper* 22,900 429
---------
1,315
---------
MISCELLANEOUS BUSINESS SERVICES -- 0.6%
Sun Microsystems* 22,800 1,436
SunGard Data Systems* 16,000 468
---------
1,904
---------
OFFICE FURNITURE & FIXTURES -- 0.0%
Lear Seating* 2,100 62
---------
PAPER & PAPER PRODUCTS -- 3.0%
Boise Cascade 9,500 384
Bowater 19,000 886
Champion International 45,100 2,430
Federal Paper Board 41,700 1,600
International Paper 45,600 1,915
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
Kimberly Clark 8,000 $ 537
Temple-Inland 14,900 793
Weyerhaeuser 28,100 1,282
---------
9,827
---------
PETROLEUM REFINING -- 9.7%
Amoco 79,500 5,098
Atlantic Richfield 35,900 3,855
Chevron 34,300 1,668
Exxon 141,500 10,223
Lyondell Petrochemical 42,700 1,105
Mobil 68,600 6,834
Royal Dutch Petroleum ADR 5,500 675
Texaco 31,500 2,036
USX-Marathon Group 32,300 638
---------
32,132
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.5%
Eastman Kodak 26,200 1,552
---------
PRINTING & PUBLISHING -- 0.8%
American Greetings 13,600 415
McGraw Hill 7,800 638
New York Times, Cl A 11,300 309
Wallace Computer Services 18,500 1,054
Washington Post, Cl B 1,000 311
---------
2,727
---------
PROFESSIONAL SERVICES -- 0.7%
Dun & Bradstreet 40,000 2,315
---------
RAILROADS -- 1.3%
Conrail 17,000 1,169
CSX 23,700 1,993
Illinois Central 14,500 567
Union Pacific 7,600 504
---------
4,233
---------
RECREATION -- 0.1%
Outboard Marine 18,800 404
---------
REPAIR SERVICES -- 0.2%
PHH 15,400 693
---------
RETAIL -- 3.6%
J C Penney 52,300 2,595
Kmart 39,500 573
May Department Stores 62,500 2,733
Melville 7,600 262
Rite Aid 20,600 577
Ruddick 22,800 616
</TABLE>
19
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
LARGE CAP VALUE PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
Sears Roebuck 44,700 $ 1,648
Smiths Food & Drug Centers 14,200 288
Tandy 27,600 1,677
Waban* 28,000 529
Wendy's International 20,600 435
----------
11,933
----------
RUBBER & PLASTIC -- 0.2%
Goodyear Tire & Rubber 13,400 528
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.3%
Advanced Micro Devices* 9,000 262
Thomas & Betts 13,300 860
----------
1,122
----------
SPECIALTY MACHINERY -- 0.5%
Cooper Industries 11,100 391
Tecumseh Products, Cl A 22,800 1,095
----------
1,486
----------
STEEL & STEEL WORKS -- 0.2%
USX-US Steel Group 15,900 493
----------
TELEPHONES & TELECOMMUNICATION -- 10.5%
Alltel 26,800 801
Ameritech 107,600 5,609
Bell Atlantic 33,900 2,081
BellSouth 76,100 5,565
Cincinnati Bell 39,700 1,072
Comsat 17,300 389
GTE 144,000 5,652
MCI Communications 44,000 1,147
NYNEX 127,400 6,082
Pacific Telesis Group 48,300 1,485
SBC Communications 11,000 605
Southern New England 65,500 2,317
US West 45,900 2,163
----------
34,968
----------
TRANSPORTATION SERVICES -- 0.5%
FlightSafety International 14,500 665
Pittston Services Group 36,000 977
----------
1,642
----------
WHOLESALE -- 0.3%
Supervalu 32,900 966
----------
Total Common Stocks
(Cost $282,049,000) 325,513
----------
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 0.2%
U.S. Treasury Bills
5.380%, 10/26/95 (1) $ 200 $ 200
5.400%, 10/26/95 (1) 200 199
5.430%, 10/26/95 (1) 200 199
----------
Total U. S. Treasury Obligations
(Cost $598,000) 598
----------
REPURCHASE AGREEMENT -- 1.4%
Lehman Brothers
6.45%, dated 09/29/95, matures
10/02/95, repurchase price
$4,450,000 (collateralized by
U.S. Treasury Note, par value
$4,500,000, 5.625%, 06/30/97,
market value of collateral:
$4,540,000) 4,447 4,447
----------
Total Repurchase Agreement
(Cost $4,447,000) 4,447
----------
Total Investments -- 99.7%
(Cost $287,094,000) 330,558
----------
OTHER ASSETS AND LIABILITIES -- 0.3%
Other Assets and Liabilities, Net 1,134
----------
NET ASSETS -- 100.0% $ 331,692
----------
----------
NET ASSETS CONSISTED OF:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 25,506,245
outstanding shares of
beneficial interest $ 281,901
Undistributed Net Investment
Income 456
Accumulated Net Realized Gain on
Investments 5,846
Net Unrealized Appreciation on
Futures Contracts 25
Net Unrealized Appreciation on
Investments 43,464
----------
Total Net Assets $ 331,692
----------
----------
Net Asset Value, Offering and
Redemption Price Per Share --
Class A $ 13.00
----------
----------
</TABLE>
(1) Security has been pledged as collateral on open futures contracts.
*Non-income producing security
<TABLE>
<S> <C>
ADR American Depository Receipt
Cl Class
LP Limited Partnership
FNMA Federal National Mortgage Association
SLMA Student Loan Marketing Association
</TABLE>
20
<PAGE>
LARGE CAP GROWTH PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 96.9%
AIR TRANSPORTATION -- 0.7%
AMR* 28,050 $ 2,023
----------
AIRCRAFT -- 1.9%
Allied Signal 67,000 2,957
Boeing 20,300 1,385
United Technologies 13,100 1,158
----------
5,500
----------
AUTOMOTIVE -- 1.2%
General Motors 37,600 1,763
Magna International, Cl A 40,000 1,805
----------
3,568
----------
BANKS -- 2.8%
BankAmerica 42,650 2,554
Citicorp 48,100 3,402
First Chicago 34,150 2,344
----------
8,300
----------
BEAUTY PRODUCTS -- 3.7%
Avon Products 30,000 2,153
Colgate Palmolive 52,000 3,465
Procter & Gamble 70,150 5,401
----------
11,019
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 3.4%
Comcast Special, Cl A 97,100 1,942
Cox Communications* 85,800 1,737
Liberty Media Group, Cl A* 71,000 1,899
Tele-Communications, Cl A* 265,300 4,643
----------
10,221
----------
CHEMICALS -- 4.2%
Air Products & Chemicals 10,350 539
E I du Pont de Nemours 22,000 1,513
Monsanto 33,000 3,325
Morton International 114,000 3,533
Rohm & Haas 58,000 3,502
----------
12,412
----------
COMMUNICATIONS EQUIPMENT -- 3.0%
ITT 22,000 2,728
L M Ericsson Telephone ADR 70,400 1,725
Motorola 43,000 3,284
Vishay Intertechnology* 27,800 1,168
----------
8,905
----------
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
COMPUTERS & SERVICES -- 5.7%
Cisco Systems* 114,300 $ 7,887
Compaq Computer* 181,850 8,797
Silicon Graphics* 6,200 213
----------
16,897
----------
CONTAINERS & PACKAGING -- 0.2%
Crown Cork & Seal* 18,750 727
----------
DRUGS -- 7.4%
Amgen* 49,950 2,491
Johnson & Johnson 39,900 2,958
Merck 126,300 7,073
Pfizer 162,200 8,657
Schering Plough 17,400 896
----------
22,075
----------
ELECTRICAL TECHNOLOGY -- 0.4%
Duracell 25,900 1,162
----------
ENTERTAINMENT -- 1.6%
Walt Disney 82,000 4,705
----------
ENVIRONMENTAL SERVICES -- 0.3%
WMX Technologies 28,900 824
----------
FINANCIAL SERVICES -- 5.3%
Dean Witter Discover 56,000 3,150
FHLMC 45,000 3,111
First Financial Management 10,800 1,054
FNMA 32,200 3,333
Travelers 94,000 4,993
----------
15,641
----------
FOOD, BEVERAGE & TOBACCO -- 8.5%
Coca-Cola 107,600 7,424
Pepsico 131,000 6,681
Philip Morris 132,800 11,086
----------
25,191
----------
GAS/NATURAL GAS -- 0.5%
Enron 43,000 1,441
----------
HOTELS & LODGING -- 0.5%
Hilton Hotels 21,300 1,361
----------
HOUSEHOLD PRODUCTS -- 1.7%
Gillette 108,100 5,148
----------
</TABLE>
21
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
LARGE CAP GROWTH PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
INSURANCE -- 7.1%
American International Group 70,900 $ 6,026
General Re 25,150 3,798
Healthsource* 26,000 1,251
NAC Re 24,000 870
PMI Group* 55,000 2,606
Progressive 18,100 810
United Healthcare 89,150 4,357
UNUM 25,400 1,340
----------
21,058
----------
MACHINERY -- 6.0%
Case 21,700 797
Caterpillar 33,950 1,931
General Electric 178,950 11,408
General Instrument* 127,600 3,828
----------
17,964
----------
MEDICAL PRODUCTS & SERVICES -- 2.3%
Columbia HCA Healthcare 81,000 3,938
Medtronic 54,800 2,946
----------
6,884
----------
MISCELLANEOUS BUSINESS SERVICES -- 3.0%
Computer Associates
International 13,300 562
Informix* 71,000 2,308
Microsoft* 22,550 2,041
Oracle* 108,100 4,148
----------
9,059
----------
PAPER & PAPER PRODUCTS -- 0.2%
Kimberly Clark 8,300 557
----------
PETROLEUM & FUEL PRODUCTS -- 0.7%
Western Atlas* 45,000 2,132
----------
PETROLEUM REFINING -- 1.3%
Amoco 26,700 1,712
Mobil 11,600 1,156
Royal Dutch Petroleum ADR 8,300 1,019
----------
3,887
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 1.6%
Eastman Kodak 43,000 2,547
Xerox 17,500 2,352
----------
4,899
----------
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
PRINTING & PUBLISHING -- 0.8%
Time Warner 63,200 $ 2,512
----------
RAILROADS -- 1.5%
Burlington Northern Santa Fe* 23,000 1,668
Conrail 39,100 2,688
----------
4,356
----------
RETAIL -- 6.1%
Autozone* 30,000 765
Dayton Hudson 3,450 262
Federated Department Stores* 31,000 880
Home Depot 204,550 8,156
Lowe's 60,000 1,800
McDonald's 132,000 5,049
Safeway* 20,600 860
Sears Roebuck 9,400 347
----------
18,119
----------
RUBBER & PLASTIC -- 0.6%
Illinois Tool Works 28,750 1,693
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 5.2%
Applied Materials* 16,000 1,636
Intel 179,200 10,774
Molex 40,500 1,468
National Semiconductor* 57,000 1,575
----------
15,453
----------
STEEL & STEEL WORKS -- 1.0%
Aluminum Company of America 31,900 1,687
Nucor 27,350 1,224
----------
2,911
----------
TELEPHONES & TELECOMMUNICATION -- 5.8%
Airtouch Communications* 212,350 6,503
AT&T 130,000 8,547
BellSouth 12,000 878
MCI 51,500 1,342
----------
17,270
----------
TESTING LABORATORIES -- 0.3%
Chiron* 9,300 842
----------
WHOLESALE -- 0.5%
Alco Standard 16,600 1,407
----------
Total Common Stocks
(Cost $254,601,000) 288,123
----------
</TABLE>
22
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 1.3%
U.S. Treasury Bill
5.420%, 12/21/95 (1) $ 4,050 $ 4,001
----------
Total U.S. Treasury Obligations
(Cost $4,002,000) 4,001
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.4%
FHLB Discount Notes
5.630%, 10/06/95 210 210
5.580%, 10/23/95 430 429
FNMA
5.600%, 10/12/95 40 40
5.680%, 10/20/95 530 528
----------
Total U.S. Government Agency
Obligations (Cost $1,207,000) 1,207
----------
COMMERCIAL PAPER -- 0.2%
Prudential Funding
6.250%, 10/02/95 (1) 525 525
----------
Total Commercial Paper
(Cost $525,000) 525
----------
Total Investments -- 98.8%
(Cost $260,335,000) 293,856
----------
OTHER ASSETS AND LIABILITIES -- 1.2%
Other Assets and Liabilities, Net 3,521
----------
NET ASSETS -- 100.0% $ 297,377
----------
----------
NET ASSETS CONSISTED OF:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 23,332,998
outstanding shares of
beneficial interest $ 257,661
Undistributed Net Investment
Income 603
Accumulated Net Realized Gain on
Investments 5,582
Net Unrealized Appreciation on
Futures Contracts 10
Net Unrealized Appreciation on
Investments 33,521
----------
Total Net Assets $ 297,377
----------
----------
Net Asset Value, Offering and
Redemption Price Per Share --
Class A $ 12.75
----------
----------
</TABLE>
(1) Security has been pledged as collateral on open futures contracts.
*None-income producing security
<TABLE>
<S> <C>
ADR American Depository Receipt
Cl Class
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
FHLB Federal Home Loan Bank
</TABLE>
Small Cap Value Portfolio
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 97.7%
AIR TRANSPORTATION -- 0.3%
Midwest Express Holdings* 13,200 $ 297
----------
APPAREL/TEXTILES -- 0.9%
Springs Industries, Cl A 18,800 738
Tarrant Apparel Group* 33,800 228
----------
966
----------
AUTOMOTIVE -- 0.1%
Stant 7,600 76
----------
BANKS -- 8.5%
Albank Financial 20,000 600
Amfed Financial 42,300 1,332
Astoria Financial* 14,500 618
BankAtlantic Bancorp 38,450 735
BankNorth Group 32,600 1,084
DS Bancorp* 17,430 462
First Federal Bancshares* 43,800 610
Long Island Bancorp 45,500 1,115
Mercantile Bankshares 34,700 946
Reliance Bancorp 22,900 335
Southern National Bank 33,507 880
----------
8,717
----------
BUILDING & CONSTRUCTION SUPPLIES -- 1.0%
American Buildings* 20,000 473
NCI Building Systems* 24,200 568
----------
1,041
----------
CHEMICALS -- 1.5%
Cytec Industries* 27,500 1,592
----------
COMMUNICATIONS EQUIPMENT -- 1.4%
ACT Manufacturing* 6,800 96
Plantronics* 35,800 1,302
----------
1,398
----------
COMPUTERS & SERVICES -- 4.6%
Computer Horizons* 51,200 1,024
Gateway 2000* 45,000 1,379
Intersolv* 51,600 1,038
Quantum* 57,100 1,249
----------
4,690
----------
</TABLE>
23
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
SMALL CAP VALUE PORTFOLIO
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
<S> <C> <C>
CONSUMER PRODUCTS -- 2.1%
Maxwell Shoe* 10,900 $ 55
Nu-Kote Holding, Cl A* 53,200 1,157
Velcro Industries 15,300 956
----------
2,168
----------
CONTAINERS & PACKAGING -- 1.0%
US Can* 78,100 1,045
----------
ENTERTAINMENT -- 4.2%
All American Communications* 15,500 205
Anchor Gaming* 18,000 455
Boomtown* 90,000 844
Casino America* 35,400 332
Cinergi Pictures Entertainment* 93,000 546
Dick Clark Productions* 45,000 428
Griffin Gaming & Entertainment* 89,540 1,141
Spelling Entertainment Group 31,640 419
----------
4,370
----------
FINANCIAL SERVICES -- 1.3%
Greenpoint Financial 19,900 550
MLF Bancorp 34,600 800
----------
1,350
----------
FOOD, BEVERAGE & TOBACCO -- 1.2%
Robert Mondavi* 48,230 1,230
----------
GLASS PRODUCTS -- 1.4%
Libbey 59,800 1,428
----------
HOTELS & LODGING -- 0.5%
Sholodge* 35,400 478
----------
HOUSEHOLD FURNITURE & FIXTURES -- 1.0%
Holophane* 39,000 1,073
----------
INSURANCE -- 18.7%
American Travelers* 45,900 855
Capitol American Financial 30,000 668
First Colony 100 3
Harleysville Group 21,500 640
HCC Insurance Holdings* 26,900 891
Healthplan Services* 52,700 1,074
Home State Holdings* 48,100 433
Horace Mann Educators 31,400 864
John Alden Financial 44,000 996
Leucadia National 10,800 633
Life Partners Group 21,700 374
Mercury General 6,200 236
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
National Re Holdings 26,200 $ 927
Partnerre Holdings 38,000 941
Paul Revere 22,600 427
Penncorp Financial Group 66,000 1,575
PMI Group* 28,800 1,364
Presidential Life 60,900 525
PXRE 17,100 466
Renaissance Re Holdings* 47,000 1,146
Security Capital* 4,900 261
State Auto Financial 54,100 1,217
TIG Holdings 66,800 1,792
Western National 68,550 943
----------
19,251
----------
MACHINERY -- 8.1%
Alamo Group 51,800 932
BW/IP Holding, Cl A 67,300 1,203
Chase Brass Industries* 41,100 524
CMI* 116,400 757
DT Industries 53,100 730
Exide Electronics Group* 73,200 1,373
Fisher Scientific International 33,300 1,078
Ucar International* 63,600 1,733
----------
8,330
----------
MEASURING DEVICES -- 2.7%
Oak Industries* 51,200 1,542
Safetytek* 33,000 536
Veeco Instruments* 28,600 751
----------
2,829
----------
MEDICAL PRODUCTS & SERVICES -- 5.3%
ADAC Laboratories 78,000 936
Coventry* 31,530 623
Medisense* 52,800 1,274
Mid Atlantic Medical Services* 54,000 1,060
Ornda Healthcorp* 45,500 967
Sterile Concepts Holdings 39,600 549
Universal Health Services, Cl B* 2,600 89
----------
5,498
----------
MISCELLANEOUS BUSINESS SERVICES -- 0.3%
Broadway & Seymour* 10,800 270
----------
MISCELLANEOUS MANUFACTURING -- 4.1%
Belden 63,100 1,656
Cable Design Technologies* 25,000 750
Wolverine Tube* 49,200 1,864
----------
4,270
----------
PAPER & PAPER PRODUCTS -- 1.0%
Caraustar Industries 49,000 980
----------
</TABLE>
24
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
<S> <C> <C>
PETROLEUM & FUEL PRODUCTS -- 0.6%
Citation* 32,900 $ 592
----------
RETAIL -- 9.5%
Big B 56,900 846
BMC West* 60,500 847
Catherine's Stores* 78,200 919
Circle K* 43,800 909
Claire's Stores 43,600 894
Consolidated Stores* 29,900 691
Daka International* 46,500 1,523
Fabri-Centers of America, Cl A* 19,400 298
Little Switzerland* 46,000 184
Mueller Industries* 10,600 550
Vons Companies* 50,300 1,195
Zale* 70,000 971
----------
9,827
----------
RUBBER & PLASTIC -- 3.1%
Aptargroup 41,200 1,365
Mark IV Industries 44,820 997
West 28,100 790
----------
3,152
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.3%
DH Technology* 34,400 1,101
SGS-Thomson Microelec* 27,700 1,346
Zycon* 75,400 924
----------
3,371
----------
STEEL & STEEL WORKS -- 1.8%
National-Standard* 45,000 608
Schnitzer Steel Industries, Cl A 23,400 667
Synalloy 24,500 560
----------
1,835
----------
TECHNOLOGY, GENERAL -- 0.5%
Tel-Save Holdings* 33,000 507
----------
TELEPHONES & TELECOMMUNICATION -- 1.2%
EIS International* 61,300 1,096
Numerex, Cl A* 19,600 164
----------
1,260
----------
WHOLESALE -- 6.5%
Bell Microproducts* 93,000 1,070
Congoleum* 47,300 497
- -----------------------------------------------------------
Shares/Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
Duracraft* 23,700 $ 1,069
Marshall Industries* 41,800 1,578
TBC* 95,200 916
Wyle Electronics 34,800 1,562
----------
6,692
----------
Total Common Stocks
(Cost $89,719,000) 100,583
----------
REPURCHASE AGREEMENT -- 4.1%
Prudential
6.45%, dated 09/29/95, matures
10/02/95, repurchase price
$4,285,000 (collateralized
by FHLMC obligation, par
value $4,365,000, 6.275%,
09/21/05, market value of
collateral: $4,372,000) $ 4,282 4,282
----------
Total Repurchase Agreement
(Cost $4,282,000) 4,282
----------
Total Investments -- 101.8%
(Cost $94,001,000) 104,865
----------
OTHER ASSETS AND LIABILITIES -- (1.8%)
Other Assets and Liabilities, Net (1,890)
----------
NET ASSETS -- 100% $ 102,975
----------
----------
NET ASSETS CONSISTED OF:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 8,444,888
outstanding shares of
beneficial interest $ 90,332
Distributions in Excess of Net
Investment Income (28)
Accumulated Net Realized Gain on
Investments 1,807
Net Unrealized Appreciation on
Investments 10,864
----------
Total Net Assets $ 102,975
----------
----------
Net Asset Value, Offering and
Redemption Price Per Share --
Class A $ 12.19
----------
----------
</TABLE>
* Non-income producing securities
<TABLE>
<S> <C>
C1 Class
FHLMC Federal Home Loan Mortgage Company
</TABLE>
25
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
SMALL CAP GROWTH PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 95.2%
AEROSPACE & DEFENSE -- 0.2%
Watkins Johnson 11,100 $ 608
----------
AIRCRAFT -- 0.1%
Simula* 7,050 177
----------
APPAREL/TEXTILES -- 3.6%
Ashworth* 15,200 122
Just For Feet* 6,200 191
Lydall* 81,300 2,022
Nautica Enterprises* 109,675 3,756
Quiksilver* 8,000 217
St. John Knits 55,900 2,725
Tommy Hilfiger* 65,300 2,122
----------
11,155
----------
AUTOMOTIVE -- 0.9%
Regal Beloit 52,800 983
The Allen Group 35,700 1,295
Titan Wheel International 27,400 469
----------
2,747
----------
BANKS -- 0.3%
Peoples Heritage Financial Group 50,000 913
Saint Francis Capital* 5,900 134
----------
1,047
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.5%
Clear Channel Communications* 21,500 1,629
----------
BUILDING & CONSTRUCTION -- 0.2%
Acme Cleveland 26,800 717
----------
CHEMICALS -- 0.3%
OM Group 28,900 878
----------
COMMUNICATIONS EQUIPMENT -- 4.0%
ADC Telecommunications* 31,600 1,438
American Radio Systems 800 20
Checkpoint Systems* 19,000 501
Cincinnati Microwave* 2,400 36
Colonial Data Technologies* 1,600 30
Comverse Technology* 16,500 359
Harman International 1,000 49
Inter-Tel* 4,900 86
Kemet* 97,800 3,349
Mercury Interactive* 25,000 694
Microcom* 23,500 444
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
Microdyne* 40,800 $ 1,035
Microwave Power Devices* 17,200 151
Mobilemedia* 1,600 43
National Wireless Holdings* 10,700 139
Network Express* 9,500 151
Spectrian* 12,500 427
Stratacom* 30,600 1,691
Symmrtricom* 6,500 146
Tellabs* 30,200 1,272
Teltrend* 11,000 363
----------
12,424
----------
COMPUTERS & SERVICES -- 11.2%
Adaptive Solutions* 27,000 192
Alantec* 34,300 1,089
Atria Software* 35,100 1,027
Auspex Systems* 90,700 1,417
Avid Technology* 18,200 783
Broderbund Software* 16,800 1,279
Catalina Marketing* 14,400 893
CBT Group PLC ADR* 19,900 950
Challenger International* 7,500 48
Cirrus Logic* 1,500 86
Comshare* 27,800 813
Cybex Computer Products* 9,900 248
Discreet Logic* 200 11
Dynatech* 4,300 68
Electronics for Imaging* 47,000 3,364
FTP Software* 17,200 477
Gandalf Technologies* 25,000 152
GRC International* 3,300 75
Helix Technology 61,700 2,854
Hyperion Software* 50,900 2,889
Imnet Systems* 10,000 258
Inference, Cl A* 11,800 177
Key Tronic* 16,900 244
Level One Communications* 5,900 139
Macro Media* 24,400 1,394
Microchip Technology* 2,900 110
Netmanage* 43,200 1,026
Network General* 14,300 590
Optical Data Systems* 74,700 2,913
Phamis* 5,400 148
Pinnacle Systems* 25,700 790
Printronix* 5,500 164
Project Software & Development* 7,900 205
Pure Software* 8,600 307
Rasterops* 19,000 150
Sanctuary Woods Multimedia* 25,000 175
Simware* 12,700 127
Stormedia* 33,200 1,502
Syncronys Softcorp* 8,500 122
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
System Software Associates 1,400 $ 56
Trident Microsystems* 43,500 946
Veritas Software* 8,000 208
Wonderware* 75,500 2,935
Zebra Technology* 26,700 1,422
----------
34,823
----------
CONSUMER PRODUCTS -- 0.9%
Cidco* 33,400 1,177
Davidson & Associates* 47,400 1,648
Wolverine World Wide 1,500 41
----------
2,866
----------
DRUGS -- 1.9%
Avecor Cardiovascular* 8,900 125
Columbia Laboratories* 61,000 572
Idexx Laboratories* 59,200 2,205
Northfield Laboratories* 7,500 139
Ventritex* 13,100 282
Watson Pharmaceuticals* 63,086 2,586
----------
5,909
----------
ELECTRICAL TECHNOLOGY -- 1.2%
Electro Scientific Industries* 26,300 917
Input/Output* 26,000 998
Komag* 600 39
Presstek* 30,200 1,609
Zycon* 11,300 138
----------
3,701
----------
ENERGY & POWER -- 0.1%
Micro Linear* 16,000 250
----------
ENTERTAINMENT -- 1.1%
Movie Gallery* 31,900 1,364
Regal Cinemas* 36,300 1,493
Station Casinos* 23,900 367
Videonics* 7,900 164
----------
3,388
----------
ENVIRONMENTAL SERVICES -- 1.2%
Tetra Tech* 67,876 1,578
United Waste Systems* 50,900 2,125
----------
3,703
----------
FINANCIAL SERVICES -- 2.8%
Aames Financial 34,900 1,021
Commercial Federal* 14,800 529
Credit Acceptance* 56,400 1,523
Mercury Finance 47,166 1,150
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
Olympic Financial* 46,300 $ 1,267
The Money Store 40,650 1,925
World Acceptance* 81,600 1,163
----------
8,578
----------
FOOD, BEVERAGE & TOBACCO -- 1.0%
Opta Food Ingredients* 5,700 90
Robert Mondavi* 44,000 1,122
Starbucks* 46,000 1,748
----------
2,960
----------
HOTELS & LODGING -- 0.1%
Doubletree* 8,700 193
LaQuinta Inns 2,500 70
Winston Hotels 9,500 107
----------
370
----------
HOUSEHOLD PRODUCTS -- 1.3%
Blount, Cl A 20,900 995
Blyth Industries* 23,200 1,085
Chicago Miniature Lamp* 8,900 158
Department 56* 25,100 1,173
Semitool* 7,500 188
Thermolase* 6,400 130
USA Detergents* 12,200 253
----------
3,982
----------
INSURANCE -- 1.5%
General Acceptance* 11,100 369
Healthplan Services* 5,100 104
Inphynet Medical Management* 4,200 79
Oxford Health Plans* 40,700 2,961
Penncorp Financial Group 39,800 950
United Dental Care* 5,900 177
----------
4,640
----------
LUMBER & WOOD PRODUCTS -- 0.4%
Champion Enterprises* 67,600 1,344
----------
MACHINERY -- 5.8%
BMC Industries, Minnesota 34,400 1,329
Brooks Automation* 25,700 553
Cascade* 57,900 883
Computational Systems* 3,900 63
Edelbrock* 9,100 139
Flextronics International* 5,700 147
FSI International* 96,100 3,194
Gasonics International* 48,000 1,788
Indresco* 48,900 874
JLG Industries 30,000 1,350
</TABLE>
27
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
SMALL CAP GROWTH PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
Kulicke & Soffa Industries* 59,000 $ 2,154
Mackie Designs* 11,200 162
Micrel* 19,700 552
Novellus Systems* 20,300 1,421
Photronics* 53,350 1,787
PRI Automation* 4,000 164
Uniphase* 8,900 314
UNR Industries 130,000 1,121
----------
17,995
----------
MANUFACTURING -- 0.2%
Health Payment Review* 15,500 361
West Marine* 10,700 342
----------
703
----------
MEASURING DEVICES -- 3.0%
Bio Rad Labs* 28,000 1,127
Cognex* 39,400 1,901
Cyberoptics* 7,500 255
Digital Link* 4,700 121
Esterline Technologies* 41,200 1,128
Fluke 15,300 581
KLA Instruments* 17,300 1,388
LTX* 22,500 284
Tencor Instrument* 41,900 1,854
Teradyne* 1,800 65
Thermedics* 9,700 193
Tylan General* 11,200 188
Veeco Instruments* 10,700 281
----------
9,366
----------
MEDICAL PRODUCTS & SERVICES -- 8.6%
Arrow International 12,800 554
CNS* 107,600 1,412
Community Health Systems* 39,300 1,587
Compdent* 39,700 1,161
Conmed* 32,500 1,064
Express Scripts, Cl A* 20,000 880
Gulf South Medical Supply* 63,300 1,559
Healthsource* 55,200 2,657
Healthsouth Rehabilitation* 1,500 38
Hemasure* 1,400 22
Horizon Mental Health
Management* 5,600 85
Horizon/CMS Healthcare* 1,600 36
Integrated Health Services* 400 11
Intermagnetics General* 27,500 519
Medic Computer Sytems* 45,800 2,324
Medpartners* 20,000 630
Mid Atlantic Medical Services* 1,600 31
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
Omnicare 103,800 $ 4,050
Pediatrix Medical Group* 10,400 213
Phycor* 102,250 3,502
Physician Reliance Network* 10,000 370
Physicians Health Services* 8,300 228
Rotech Medical* 17,100 425
Softdesk* 8,000 202
Steris* 45,700 1,925
Tecnol Medical Products* 2,000 39
Universal Health Services, Cl B* 35,200 1,206
Zygo* 2,300 65
----------
26,795
----------
MISCELLANEOUS BUSINESS SERVICES -- 7.8%
Acxiom* 72,300 2,042
Alternative Resources* 67,900 2,173
American Business Information* 108,900 2,205
Arcsys* 6,900 285
Baan N.V.* 16,700 752
Cambridge Technology Partners* 55,800 2,832
Cellular Technical Services* 16,500 373
Diamond Multimedia Systems* 7,400 239
Electronic Arts* 2,000 74
Intersolv* 8,000 161
Legato Systems* 6,500 172
Manugistics* 12,500 189
McAfee Associates* 60,900 3,138
MDL Information Systems* 46,100 859
Meridian Data* 17,000 172
Minnesota Educational Computing* 6,900 186
National Data 31,500 847
National Instruments* 9,200 186
Networth* 11,500 239
Number Nine Visual Technology* 16,800 277
Open Environment* 11,500 201
Parametric Technology* 29,700 1,827
Platinum Software* 2,100 24
Premenos Technology* 4,400 143
Quarterdeck* 76,600 1,484
Security Dynamics Technology* 11,500 549
Spyglass* 3,200 146
Synopsys* 59,000 1,814
Transaction Systems Architects* 4,800 128
Viasoft* 18,000 234
Wind River Systems* 7,200 169
----------
24,120
----------
</TABLE>
28
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
MISCELLANEOUS CONSUMER SERVICES -- 1.5%
ABR Information Services* 10,200 $ 258
Accustaff* 23,400 860
Career Horizons* 6,100 169
Corrections Corporation of
America* 36,400 1,752
Loewen Group 27,400 1,130
Robert Half International* 12,200 416
----------
4,585
----------
MOTORCYCLES, BICYCLES & PARTS -- 0.1%
Cannondale* 8,800 145
----------
PETROLEUM & FUEL PRODUCTS -- 0.4%
Belden & Blake* 7,100 135
Pride Petroleum Services* 88,000 879
Reading & Bates* 2,400 29
Snyder Oil 2,700 33
Weatherford Enterra* 2,300 30
----------
1,106
----------
PETROLEUM REFINING -- 0.3%
Varlen 31,460 857
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.3%
Innovex 45,900 1,004
----------
PRINTING & PUBLISHING -- 2.3%
Books-A-Million* 52,900 932
Desktop Data* 10,900 379
Devon Group* 50,400 2,180
Gartner Group, Cl A* 88,200 2,889
Scientific Games Holdings* 19,000 710
----------
7,090
----------
PROFESSIONAL SERVICES -- 0.7%
Medaphis* 46,900 1,313
Sylvan Learning Systems* 30,300 962
----------
2,275
----------
REAL ESTATE -- 0.0%
Innkeepers USA Trust 5,100 48
----------
RETAIL -- 11.8%
Apple South 47,700 1,085
Baby Superstore* 22,800 1,029
Bed Bath & Beyond* 23,100 705
Boise Cascade Office Products* 25,000 694
Borders Group* 2,200 38
Boston Chicken* 51,400 1,343
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
CDW Computer Centers* 24,100 $ 1,283
Corporate Express* 106,050 2,585
Daka International* 7,800 255
Dave & Buster's* 6,300 98
Discount Auto Parts* 44,100 1,334
Dollar Tree Stores* 8,500 289
Fastenal 48,000 1,752
Friedman's, Cl A* 2,300 50
Garden Ridge* 5,500 161
General Nutrition* 43,400 1,975
Gymboree* 66,600 2,006
Hollywood Entertainment* 25,600 549
Lone Star Steakhouse & Saloon* 2,200 90
Longhorn Steak* 6,800 121
Men's Wearhouse* 23,700 853
Micro Warehouse* 22,900 1,048
Moovies* 7,200 141
O'Charleys* 9,200 138
Office Depot* 23,050 694
Orchard Supply Hardware* 5,000 73
Outback Steakhouse* 53,400 1,642
Papa John's International* 50,500 2,273
Petco Animal Supplies* 19,500 507
Petsmart* 56,550 1,909
Proffitts* 1,900 52
Ross Stores 60,400 951
Sonic* 39,900 908
Staples* 89,912 2,540
Sunglass Hut International* 54,900 2,742
Trend-Lines* 29,400 390
Viking Office Products* 60,700 2,534
----------
36,837
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 9.1%
Actel* 29,900 527
Aetrium* 40,400 869
Alliance Semiconductor* 2,300 91
Alpha Industries* 13,500 241
Altera* 1,200 75
Atmel* 56,600 1,910
Brooktree* 35,200 704
Burr-Brown* 46,200 1,756
Chips & Technologies* 23,700 320
Credence Systems* 23,800 863
Dallas Semiconductor* 800 16
DSP Communications* 38,900 1,284
Electroglas* 26,100 1,778
Epic Design Technology* 23,400 1,135
General Scanning* 1,400 16
GTI* 2,900 58
Integrated Process Equipment* 22,900 912
Integrated Silicon Solutions* 20,700 771
</TABLE>
29
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
SMALL CAP GROWTH PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
Integrated Silicon Systems* 1,000 $ 30
Interphase* 10,400 152
Lattice Semiconductor* 2,400 98
Linear Technology 45,500 1,888
Mattson Technology* 12,900 548
Oak Technology* 1,900 80
Read-Rite* 22,654 827
S3* 71,700 2,498
Sanmina* 36,400 1,738
SEEQ Technology* 35,000 158
Semiconductor Packaging
Materials* 14,000 165
Sierra Semiconductor* 44,700 2,196
Silicon Valley Group* 31,400 1,213
Tower Semiconductor* 7,100 231
Transwitch* 1,000 13
Triquint Semiconductor* 11,800 270
Vicor* 41,800 1,011
VLSI Technology* 1,700 58
Xilinx* 39,700 1,911
----------
28,411
----------
SPECIALTY MACHINERY -- 0.1%
U.S. Filter* 7,500 180
----------
STEEL & STEEL WORKS -- 0.3%
Synalloy 45,400 1,039
----------
TECHNOLOGY -- 0.8%
Ultratech Stepper* 49,000 2,071
VSI Enterprises* 45,000 264
----------
2,335
----------
TELEPHONES & TELECOMMUNICATION -- 3.8%
Applied Digital Access* 7,300 93
Ascend Communications* 48,800 3,904
Aspect Telecommunications* 44,800 1,210
Cascade Communications 32,100 1,581
Coherent Communications Systems* 31,000 853
LCI International* 26,100 1,024
Mobile Telecommunication
Technology* 32,700 1,010
P-Com* 2,200 98
Pairgain Technologies* 26,200 904
Panamsat* 1,200 18
Premisys Communications* 7,100 573
VTEL* 17,500 435
----------
11,703
----------
- ----------------------------------------------------------
Shares/Face Market
Amount Value
Description (000) (000)
- ----------------------------------------------------------
TRANSPORTATION SERVICES -- 0.9%
Fritz* 21,200 $ 1,562
Wisconsin Central* 17,500 1,168
----------
2,730
----------
TRUCKING -- 0.0%
Trism* 13,400 97
----------
WHOLESALE -- 2.9%
America Online* 16,800 1,155
Applix* 5,100 112
Aspen Technology* 8,200 246
Barrett Resources* 1,700 38
Cellstar* 42,200 1,319
Communications Systems 41,900 618
Duracraft* 1,500 68
Global Village Communication* 54,800 754
Information Storage Devices* 1,800 41
Inso* 48,700 1,570
Ontrak Systems* 8,000 221
Physician Sales & Services* 24,600 1,181
Ride* 8,100 170
Supreme International* 700 13
US Office Products* 20,900 316
Vital Signs 58,000 1,204
----------
9,026
----------
Total Common Stocks
(Cost $207,811,000) 296,343
----------
REPURCHASE AGREEMENT -- 4.4%
Lehman Brothers
6.45%, dated 09/29/95,
matures 10/02/95, repurchase
price $13,564,000
(collateralized by FHLB
Note, par value $13,815,000,
6.275%, 09/12/05, market
value of collateral:
$13,837,000) $ 13,562 13,562
----------
Total Repurchase Agreement
(Cost $13,562,000) 13,562
----------
Total Investments--99.6%
(Cost $221,373,000) 309,905
----------
OTHER ASSETS AND LIABILITIES -- 0.4%
Other Assets and Liabilities,
Net 1,119
----------
NET ASSETS -- 100.0% $ 311,024
----------
----------
</TABLE>
30
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Value
Description (000)
- -----------------------------------------------------------
<S> <C> <C>
NET ASSETS CONSISTED OF:
Portfolio shares of Class A
(unlimited authorization --
no par value) based on
15,608,259 outstanding shares
of beneficial interest $ 178,468
Portfolio shares of Class D
(unlimited authorization --
no par value) based on 39,974
outstanding shares of
beneficial interest 601
Accumulated Net Investment Loss (283)
Accumulated Net Realized Gain on
Investments 43,706
Net Unrealized Appreciation on
Investments 88,532
----------
Total Net Assets $ 311,024
----------
----------
Net Asset Value, Offering and
Redemption Price Per
Share -- Class A $ 19.88
----------
----------
Net Asset Value and Redemption
Price Per Share -- Class D $ 19.78
----------
----------
Maximum Offering Price Per
Share -- Class D ($19.78
divided by 95%) $ 20.82
----------
----------
</TABLE>
* Non-income producing security
<TABLE>
<S> <C>
FHLB Federal Home Loan Bank
ADR American Depository Receipt
Cl Class
</TABLE>
MID-CAP PORTFOLIO
<TABLE>
<CAPTION>
- --------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 92.8%
AEROSPACE & DEFENSE -- 0.1%
Loral 700 $ 40
-----------
AIR TRANSPORTATION -- 0.9%
Delta Air Lines 3,800 263
-----------
AIRCRAFT -- 1.0%
Northrop Grumman 4,400 268
-----------
APPAREL/TEXTILES -- 0.3%
Fruit of The Loom, Cl A 3,900 80
-----------
AUTOMOTIVE -- 1.9%
Dana 4,900 141
Eaton 4,800 254
Paccar 2,900 136
-----------
531
-----------
BANKS -- 8.8%
Bank of Boston 3,700 176
Comerica 9,500 346
National City 2,100 65
Republic New York 8,300 486
Southern National Bank 8,300 218
Southtrust 1,200 30
Star Banc 400 21
TCF Financial 3,700 216
US Bancorp Oregon 13,500 381
Washington Mutual 19,800 526
-----------
2,465
-----------
BEAUTY PRODUCTS -- 0.2%
Ecolab 1,500 41
-----------
CHEMICALS -- 4.1%
Arco Chemical 6,800 332
Eastman Chemical 5,800 370
FMC* 700 53
Georgia Gulf 2,400 83
Union Carbide 5,300 211
Wellman 3,500 86
-----------
1,135
-----------
COMMUNICATIONS EQUIPMENT -- 2.2%
DSC Communications* 2,400 142
Harris 8,700 478
-----------
620
-----------
</TABLE>
31
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
MID-CAP PORTFOLIO
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
<S> <C> <C>
COMPUTERS & SERVICES -- 3.1%
EMC* 12,700 $ 230
Gateway 2000* 1,700 52
Seagate Technology* 5,900 249
Tandy 5,500 334
----------
865
----------
CONCRETE & MINERAL PRODUCTS -- 1.0%
USG* 10,100 283
----------
CONSUMER PRODUCTS -- 0.1%
Callaway Golf 1,500 23
----------
CONTAINERS & PACKAGING -- 1.1%
Ball 2,000 59
Owens-Illinois* 20,500 259
----------
318
----------
DRUGS -- 0.8%
Mylan Laboratories 11,400 228
----------
ELECTRICAL SERVICES -- 6.1%
AES* 3,300 63
Boston Edison 2,800 77
Centerior Energy 8,800 96
MidAmerican Energy 8,300 128
Niagara Mohawk Power 32,100 421
Northeast Utilities 4,800 117
PP&L Resources 19,100 447
Rochester Gas & Electric 12,500 295
Washington Water Power 3,500 56
----------
1,700
----------
ENERGY & POWER -- 1.8%
California Energy* 25,200 517
----------
FINANCIAL SERVICES -- 2.7%
Advanta, Cl A 6,000 269
Bear Stearns 9,100 196
First USA 3,300 179
SLMA 1,500 81
Sunamerica 600 38
----------
763
----------
FOOD, BEVERAGE & TOBACCO -- 3.1%
IBP 6,200 331
Lancaster Colony 5,400 184
Universal Foods 10,400 362
----------
877
----------
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
GAS/NATURAL GAS -- 1.1%
National Fuel Gas 1,700 $ 49
Pacific Enterprises 10,100 254
----------
303
----------
HOUSEHOLD PRODUCTS -- 0.3%
Clorox 800 57
National Service Industries 1,400 41
----------
98
----------
INSURANCE -- 6.1%
Aflac 2,100 87
Alexander & Alexander Services 2,100 51
AON 1,500 61
Equifax 5,800 243
MGIC Investment 8,100 464
Saint Paul 9,000 525
USF&G 13,600 264
----------
1,695
----------
LEASING & RENTING -- 1.0%
Comdisco 9,000 268
----------
MACHINERY -- 5.7%
Brunswick 24,100 489
Cummins Engine 10,100 389
Novellus Systems* 1,600 112
Parker-Hannifin 4,300 163
Timken 3,100 132
Trinova 3,300 111
Varity* 4,500 200
----------
1,596
----------
MEASURING DEVICES -- 2.1%
Johnson Controls 6,500 411
Millipore 5,100 191
----------
602
----------
MEDICAL PRODUCTS & SERVICES -- 1.5%
Beverly Enterprises* 5,300 73
Manor Care 2,700 92
Medtronic 4,800 258
----------
423
----------
MISCELLANEOUS BUSINESS SERVICES -- 3.3%
Adobe Systems 1,300 67
Autodesk 7,400 324
CUC International* 2,900 101
Manpower 1,800 52
</TABLE>
32
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
<S> <C> <C>
Oracle* 6,000 $ 230
Sterling Software* 3,400 155
----------
929
----------
PAPER & PAPER PRODUCTS -- 2.9%
Boise Cascade 6,400 258
Champion International 3,600 194
Federal Paper Board 600 23
Willamette Industries 5,100 341
----------
816
----------
PETROLEUM & FUEL PRODUCTS -- 1.6%
Equitable Resources 6,800 200
Louisiana Land & Exploration 500 18
Nabors Industries* 9,100 86
Union Texas Petroleum Holdings 7,900 144
----------
448
----------
PETROLEUM REFINING -- 1.7%
Lyondell Petrochemical 5,200 135
Valero Energy 14,700 352
----------
487
----------
PRINTING & PUBLISHING -- 1.8%
American Greetings 3,600 110
Lafarge 11,200 205
Marvel Entertainment Group* 1,600 25
Media General, Cl A 4,300 154
----------
494
----------
REPAIR SERVICES -- 1.7%
Ryder Systems 18,600 472
----------
RETAIL -- 6.4%
Best Buy* 5,900 155
Circuit City Stores 7,600 240
Dollar General Stores 4,500 132
Federated Department Stores* 10,000 284
Marriott International 1,200 45
Safeway* 6,300 263
Staples* 15,300 432
Wendy's International 10,800 228
----------
1,779
----------
RUBBER & PLASTIC -- 0.9%
Premark International 4,700 239
----------
- -----------------------------------------------------------
Shares/Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.9%
Advanced Micro Devices* 11,100 $ 324
Analog Devices* 6,700 232
Cypress Semiconductor* 3,300 127
Integrated Device Technology* 5,600 140
----------
823
----------
STEEL & STEEL WORKS -- 2.6%
Allegheny Ludlum 11,600 236
Asarco 9,400 297
Phelps Dodge 2,800 175
Reynolds Metals 400 23
----------
731
----------
TELEPHONES & TELECOMMUNICATION -- 3.3%
Lin Television* 7,600 236
Telephone & Data Systems 3,900 164
Worldcom* 16,300 523
----------
923
----------
TRANSPORTATION SERVICES -- 1.4%
Gatx 7,400 383
----------
WHOLESALE -- 5.2%
Arrow Electronics* 6,400 348
Avnet 3,900 201
Cardinal Health 2,600 144
Cordis* 3,400 288
Fleming 12,600 302
Supervalu 3,900 115
Terra Industries 4,000 57
----------
1,455
----------
Total Common Stocks
(Cost $23,628,000) 25,981
----------
REPURCHASE AGREEMENT -- 5.7%
J P Morgan
6.40%, dated 09/29/95, matures
10/02/95, repurchase price
$1,616,000 (collateralized by
FHLMC obligation, par value
$3,640,000, 6.429%, 10/01/20,
market value of collateral:
$1,647,000) $ 1,615 1,615
----------
Total Repurchase Agreement
(Cost $1,615,000) 1,615
----------
Total Investments -- 98.5%
(Cost $25,243,000) 27,596
----------
</TABLE>
33
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
MID-CAP PORTFOLIO
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Value
Description (000)
- -----------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES -- 1.5%
Other Assets and Liabilities, Net $ 410
----------
NET ASSETS -- 100.0% $ 28,006
----------
----------
NET ASSETS CONSISTED OF:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 2,140,286
outstanding shares of
beneficial interest $ 26,501
Portfolio shares of Class D
(unlimited authorization -- no
par value) based on 8,336
shares of beneficial interest 91
Undistributed Net Investment
Income 18
Accumulated Net Realized Loss on
Investments ( 957)
Net Unrealized Appreciation on
Investments 2,353
----------
Total Net Assets $ 28,006
----------
----------
Net Asset Value, Offering and
Redemption Price Per Share --
Class A $ 13.04
----------
----------
Net Asset Value and Redemption
Price Per Share -- Class D $ 12.96
----------
----------
Maximum Offering Price Per Share
-- Class D ($12.96 divided
by 95%) $ 13.64
----------
----------
</TABLE>
* Non-income producing security
<TABLE>
<S> <C>
Cl Class
SLMA Student Loan Marketing Association
FHLMC Federal Home Loan Mortgage Corporation
</TABLE>
CAPITAL APPRECIATION
PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 93.5%
AIRCRAFT -- 2.7%
Allied Signal 98,400 $ 4,342
Textron 18,000 1,229
United Technologies 33,000 2,916
----------
8,487
----------
AUTOMOTIVE -- 1.3%
General Motors 30,000 1,406
General Motors, Cl E 60,700 2,762
----------
4,168
----------
BANKS -- 4.6%
Bank of Boston 18,300 872
BankAmerica 24,100 1,443
Chemical Banking 73,400 4,468
Cullen Frost Bankers 7,100 330
Integra Financial 25,900 1,505
Mellon Bank 102,000 4,552
Midlantic 23,500 1,275
----------
14,445
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 5.5%
Capital Cities/ABC 35,100 4,129
Liberty Media Group, Cl A* 5,850 156
Sphere Drake Holdings 232,700 3,491
Tele-Communications, Cl A* 303,400 5,309
Viacom, Cl B* 80,500 4,005
----------
17,090
----------
BUILDING & CONSTRUCTION -- 1.0%
Foster Wheeler 53,000 1,875
Halliburton 27,900 1,165
----------
3,040
----------
CHEMICALS -- 2.4%
Air Products & Chemicals 24,800 1,293
Dow Chemical 4,900 365
E I du Pont de Nemours 84,900 5,837
----------
7,495
----------
COMMUNICATIONS EQUIPMENT -- 5.0%
ITT 30,700 3,807
Motorola 83,700 6,392
Scientific Atlanta 311,200 5,252
----------
15,451
----------
</TABLE>
34
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
COMPUTERS & SERVICES -- 1.5%
Autotote, Cl A* 47,100 $ 206
Digital Equipment* 1,900 87
International Business Machines 46,300 4,369
----------
4,662
----------
DRUGS -- 7.6%
Abbott Laboratories 87,600 3,734
American Home Products 10,300 874
Amgen* 10,100 504
Bristol Myers Squibb 30,100 2,194
Bush Boake Allen* 1,900 54
Johnson & Johnson 51,700 3,832
Merck 76,400 4,277
Pfizer 57,500 3,069
Pharmacia Aktiebolag ADR* 15,100 452
Smithkline Beecham ADR 95,500 4,832
----------
23,822
----------
ELECTRICAL SERVICES -- 0.1%
Shandong Huaneng Power ADR* 16,100 143
----------
ELECTRICAL TECHNOLOGY -- 0.6%
Duracell International 42,400 1,903
----------
ENTERTAINMENT -- 1.0%
Hasbro 23,700 738
Walt Disney 39,500 2,266
----------
3,004
----------
ENVIRONMENTAL SERVICES -- 3.1%
Browning Ferris Industries 87,000 2,643
Molten Metal Technology* 118,000 3,820
WMX Technologies 114,900 3,275
----------
9,738
----------
FINANCIAL SERVICES -- 3.3%
Dean Witter Discover 30,500 1,716
FHLMC 51,700 3,574
Travelers 93,766 4,981
----------
10,271
----------
FOOD, BEVERAGE & TOBACCO -- 6.5%
Coca-Cola 49,500 3,416
Cott 97,500 926
CPC International 7,200 475
Kellogg 19,500 1,411
Pepsico 33,600 1,714
Philip Morris 78,300 6,539
RJR Nabisco Holdings 46,680 1,511
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
Sara Lee 103,600 $ 3,082
UST 37,500 1,073
----------
20,147
----------
GAS/NATURAL GAS -- 0.1%
Sonat 9,500 304
----------
HOUSEHOLD PRODUCTS -- 2.3%
Gillette 32,300 1,538
Procter & Gamble 57,500 4,428
Sunbeam 91,500 1,361
----------
7,327
----------
INSURANCE -- 5.3%
American General 48,300 1,805
American International Group 47,000 3,995
Chubb 25,700 2,467
General Re 17,500 2,643
Penncorp Financial Group 16,800 401
United Healthcare 20,000 978
Washington National 164,300 4,086
----------
16,375
----------
LUMBER & WOOD PRODUCTS -- 0.7%
Georgia-Pacific 24,000 2,100
----------
MACHINERY -- 6.7%
American Standard* 30,000 885
Emerson Electric 55,600 3,975
Fisher Scientific International 26,400 855
General Electric 109,800 7,000
General Signal 118,800 3,475
Tyco International 73,300 4,618
----------
20,808
----------
MARINE TRANSPORTATION -- 1.4%
Carnival, Cl A 183,700 4,409
----------
MEASURING DEVICES -- 0.7%
Purus* 35,000 18
Wheelabrator Technologies 146,600 2,180
----------
2,198
----------
MEDICAL PRODUCTS & SERVICES -- 2.7%
Columbia HCA Healthcare 136,320 6,628
Tenet Healthcare* 99,200 1,724
----------
8,352
----------
MISCELLANEOUS BUSINESS SERVICES -- 2.8%
Automatic Data Processing 26,900 1,833
</TABLE>
35
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
CAPITAL APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
Microsoft* 35,800 $ 3,239
Novell* 49,800 909
Oracle* 69,800 2,679
----------
8,660
----------
PAPER & PAPER PRODUCTS -- 0.6%
International Paper 12,200 512
Willamette Industries 19,900 1,329
----------
1,841
----------
PETROLEUM & FUEL PRODUCTS -- 0.7%
Schlumberger 20,000 1,305
Union Texas Petroleum Holdings 54,500 995
----------
2,300
----------
PETROLEUM REFINING -- 5.1%
Amoco 68,400 4,386
Atlantic Richfield 16,800 1,804
Chevron 34,300 1,668
Mobil 32,200 3,208
Texaco 45,000 2,908
Unocal 62,900 1,793
----------
15,767
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 2.6%
Eastman Kodak 73,400 4,349
Xerox 28,500 3,830
----------
8,179
----------
PRINTING & PUBLISHING -- 0.8%
American Greetings 85,500 2,608
----------
RAILROADS -- 0.7%
Burlington Northern* 5,100 370
Union Pacific 29,300 1,941
----------
2,311
----------
RETAIL -- 8.6%
Albertson's 38,000 1,297
American Stores 45,700 1,297
Federated Department Stores* 195,300 5,542
Home Depot 175,200 6,983
Limited 24,200 460
McDonald's 121,900 4,663
Office Depot* 66,600 2,006
Wal-Mart Stores 154,100 3,833
Wendy's International 35,000 739
----------
26,820
----------
- -----------------------------------------------------------
Shares/Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
RUBBER & PLASTIC -- 0.1%
Goodyear Tire & Rubber 5,400 $ 213
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.9%
AMP 125,200 4,820
Intel 69,000 4,149
----------
8,969
----------
TELEPHONES & TELECOMMUNICATION -- 1.8%
AT&T 85,278 5,607
Worldcom* 5,000 161
----------
5,768
----------
WHOLESALE -- 0.7%
Sysco 79,800 2,175
----------
Total Common Stocks
(Cost $259,536,000) 291,350
----------
CONVERTIBLE PREFERRED STOCKS -- 2.1%
INSURANCE -- 0.4%
Merrill Lynch
Convertible to .8333 shares
common stock 20,000 1,095
----------
PAPER & PAPER PRODUCTS -- 0.9%
International Paper
Convertible to .4630 shares
common stock 60,000 2,835
----------
PETROLEUM REFINING -- 0.5%
Unocal
Convertible to 1.626 shares
common stock (A) 30,000 1,586
----------
PRINTING & PUBLISHING -- 0.3%
Time Warner
Convertible to 1 share of
Hasbro Inc 30,000 975
----------
Total Convertible Preferred Stocks
(Cost $6,388,000) 6,491
----------
CONVERTIBLE BONDS -- 0.3%
National Semiconductor
Convertible to 23.375 shares
common stock
6.500%, 10/01/02 (A) $ 1,000 1,000
----------
Total Convertible Bonds
(Cost $1,000,000) 1,000
----------
</TABLE>
36
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Shares/Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 4.3%
Lehman Brothers
6.45%, dated 09/29/95, matures
10/02/95, repurchase price
$13,389,000 (collateralized by
FHLMC obligations, par value
$13,630,000, 6.82%, 09/12/05,
market value of collateral:
$13,653,000) $ 13,382 $ 13,382
----------
Total Repurchase Agreement (Cost
$13,382,000) 13,382
----------
Total Investments -- 100.2%
(Cost $280,306,000) 312,223
----------
OTHER ASSETS AND LIABILITIES -- (0.2%)
Other Assets and Liabilities, Net (530)
----------
NET ASSETS -- 100.0% $ 311,693
----------
----------
NET ASSETS CONSISTED OF:
Portfolio shares of Class A
(unlimited authorization --
no par value) based on
18,614,401 outstanding shares
of beneficial interest $ 253,193
Portfolio shares of Class D
(unlimited authorization --
no par value) based on 52,529
outstanding shares of
beneficial interest 858
Undistributed Net Investment
Income 294
Accumulated Net Realized Gain on
Investments 25,431
Net Unrealized Appreciation on
Investments 31,917
----------
Total Net Assets $ 311,693
----------
----------
Net Asset Value, Offering and
Redemption price Per
Share -- Class A $ 16.70
----------
----------
Net Asset Value and Redemption
Price Per Share -- Class D $ 16.69
----------
----------
Maximum Offering Price Per
Share -- Class D (16.69 divided
by 95%) $ 17.57
----------
----------
</TABLE>
*Non-Income Producing Security
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold only in transaction exempt from registration,
normally to qualified institutional buyers.
<TABLE>
<S> <C>
FHLMC Federal Home Loan Mortgage Corporation
ADR American Depository Receipt
Cl Class
</TABLE>
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 98.4%
BANKS -- 11.5%
Banc One 101,700 $ 3,712
BankAmerica 56,700 3,395
Fleet Financial Group 90,600 3,420
Great Western Financial 83,400 1,981
H F Ahmanson 47,800 1,213
J P Morgan 93,700 7,249
National City 82,200 2,538
US Bancorp Oregon 94,500 2,670
Wachovia 65,200 2,812
----------
28,990
----------
CHEMICALS -- 8.1%
B F Goodrich 116,600 7,681
Dow Chemical 30,500 2,272
E I du Pont de Nemours 23,600 1,623
Eli Lilly 23,700 2,130
Monsanto 28,250 2,846
Witco 116,100 4,078
----------
20,630
----------
CONCRETE & MINERAL PRODUCTS -- 1.7%
Minnesota Mining & Manufacturing 75,900 4,288
----------
DRUGS -- 7.9%
American Home Products 71,160 6,040
Baxter International 38,800 1,596
Bristol Myers Squibb 103,300 7,527
Merck 63,800 3,573
Schering Plough 23,400 1,205
----------
19,941
----------
ELECTRICAL SERVICES -- 10.2%
Baltimore Gas & Electric 122,850 3,179
Dominion Resources of Virginia 65,470 2,463
Florida Progress 72,300 2,341
PacifiCorp 150,400 2,858
Public Service Enterprise Group 136,100 4,049
Teco Energy 118,100 2,761
Texas Utilities 134,900 4,703
Wisconsin Energy 125,400 3,543
----------
25,897
----------
FINANCIAL SERVICES -- 1.9%
Beneficial 38,600 2,017
FNMA 26,300 2,722
----------
4,739
----------
FOOD, BEVERAGE & TOBACCO -- 9.2%
American Brands 120,600 5,095
Anheuser Busch 37,700 2,352
General Mills 39,700 2,213
H J Heinz 53,200 2,434
</TABLE>
37
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
EQUITY INCOME PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Market
Value
Description Shares (000)
- ----------------------------------------------------------
<S> <C> <C>
Philip Morris 93,000 $ 7,766
UST 117,100 3,352
----------
23,212
----------
GAS/NATURAL GAS -- 2.3%
Consolidated Natural Gas 114,900 4,639
Nicor 43,700 1,191
----------
5,830
----------
HOUSEHOLD PRODUCTS -- 2.0%
Clorox 36,300 2,591
National Service Industries 86,700 2,536
----------
5,127
----------
INSURANCE -- 8.9%
American General 154,400 5,771
Jefferson Pilot 30,000 1,928
Lincoln National 74,334 3,503
Marsh & McLennan 43,100 3,787
Safeco 38,800 2,546
Saint Paul 87,100 5,084
----------
22,619
----------
MACHINERY -- 1.3%
Dresser Industries 51,300 1,225
General Electric 31,600 2,014
----------
3,239
----------
PAPER & PAPER PRODUCTS -- 2.0%
Kimberly Clark 21,400 1,436
Weyerhaeuser 77,000 3,514
----------
4,950
----------
PETROLEUM REFINING -- 9.4%
Amoco 104,200 6,682
Atlantic Richfield 38,100 4,091
Chevron 93,100 4,527
Exxon 52,700 3,808
Texaco 72,700 4,698
----------
23,806
----------
PRINTING & PUBLISHING -- 0.7%
McGraw Hill 21,000 1,717
----------
PROFESSIONAL SERVICES -- 2.5%
Dun & Bradstreet 108,300 6,268
----------
RAILROADS -- 0.5%
Union Pacific 20,300 1,345
----------
RETAIL -- 4.7%
J C Penney 142,100 7,053
Kmart 104,300 1,512
- -----------------------------------------------------------
Shares/Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
May Department Stores 58,500 $ 2,559
Melville 20,700 714
----------
11,838
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.9%
Thomas & Betts 35,300 2,281
----------
SPECIALTY MACHINERY -- 0.4%
Cooper Industries 29,700 1,047
----------
TELEPHONES & TELECOMMUNICATION -- 12.3%
Ameritech 49,300 2,570
Bell Atlantic 92,700 5,689
BellSouth 55,100 4,029
GTE 209,100 8,207
NYNEX 100,000 4,775
US West 125,566 5,917
----------
31,187
----------
Total Common Stocks
(Cost $210,067,000) 248,951
----------
REPURCHASE AGREEMENT -- 1.8%
J P Morgan
6.40%, dated 09/29/95, matures
10/02/95, repurchase price
$4,498,000 (collateralized by
FHLB note, par value
$1,000,000, 4.51%, 03/01/96,
and FHLMC ARM, par value
$7,927,000, 6.429%, 10/01/20,
market value of collateral:
$4,585,000) $ 4,495 4,495
----------
Total Repurchase Agreement
(Cost $4,495,000) 4,495
----------
Total Investments -- 100.2%
(Cost $214,562,000) 253,446
----------
OTHER ASSETS AND LIABILITIES -- (0.2%)
Other Assets and Liabilities, Net (534)
----------
NET ASSETS -- 100.0% $ 252,912
----------
----------
NET ASSETS CONSISTED OF:
Portfolio shares of Class A
(unlimited authorization --
no par value) based on
15,594,632 outstanding shares
of beneficial interest $ 191,310
Portfolio shares of Class D
(unlimited authorization --
no par value) based on
143,543 outstanding shares of
beneficial interest 2,094
</TABLE>
38
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
<S> <C> <C>
Undistributed Net Investment
Income $ 611
Accumulated Net Realized Gain on
Investments 20,013
Net Unrealized Appreciation on
Investments 38,884
----------
Total Net Assets $ 252,912
----------
----------
Net Asset Value, Offering and
Redemption Price Per
Share -- Class A $ 16.07
----------
----------
Net Asset Value and Redemption
Price Per Share -- Class D $ 16.05
----------
----------
Maximun Offering Price Per
Share -- Class D ($16.05 divided
by 95%) $ 16.89
----------
----------
</TABLE>
<TABLE>
<S> <C>
ARM Adjustable Rate Mortgage
FNMA Federal National Mortgage Association
FHLMC Federal Home Loan Mortgage Corporation
FHLB Federal Home Loan Bank
</TABLE>
BALANCED PORTFOLIO
<TABLE>
<S> <C> <C>
COMMON STOCKS -- 58.8%
AUTOMOTIVE -- 0.5%
General Motors 7,000 328
Goodyear Tire & Rubber 700 28
----------
356
----------
BANKS -- 3.1%
Bank of Boston 4,500 214
BankAmerica 3,500 210
Chemical Banking 4,800 292
Cullen Frost Bankers 2,500 116
Integra Financial 4,000 233
Mellon Bank 14,500 647
Midlantic 6,100 331
Shawmut National 4,200 141
----------
2,184
----------
BUILDING -- 0.6%
American Standard* 5,700 168
Foster Wheeler 7,000 248
----------
416
----------
CHEMICALS -- 1.8%
Air Products & Chemicals 3,600 188
Dow Chemical 2,700 201
E I du Pont de Nemours 12,300 845
----------
1,234
----------
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
CONCRETE & MINERAL PRODUCTS -- 0.3%
Minnesota Mining & Manufacturing 3,400 $ 192
----------
DRUGS -- 4.9%
Abbott Laboratories 7,500 320
American Home Products 2,000 170
Amgen* 1,400 70
Bristol Myers Squibb 4,400 321
Johnson & Johnson 6,400 474
Merck 12,100 678
Pfizer 6,800 363
Pharmacia ADR* 2,100 63
Schering Plough 5,600 288
Smithkline Beecham 13,700 693
----------
3,440
----------
ELECTRICAL -- 2.9%
Emerson Electric 8,000 572
General Electric 15,800 1,007
General Signal 15,200 445
----------
2,024
----------
ENERGY -- 3.6%
Amoco 7,000 449
Atlantic Richfield 2,900 311
Chevron 4,600 224
Halliburton 4,000 167
Mobil 4,500 448
Phillips Petroleum 2,800 91
Schlumberger 2,800 183
Sonat 1,400 45
Texaco 6,400 414
Unocal 8,400 239
----------
2,571
----------
FINANCIAL SERVICES -- 2.2%
Dean Witter Discover 6,700 377
FHLMC 6,700 463
Travelers 13,700 728
----------
1,568
----------
FOOD, BEVERAGE, TOBACCO &
HOUSEHOLD -- 7.3%
Bush Boake Allen* 8,700 246
Coca-Cola 7,200 497
Cott 11,200 106
CPC International 1,000 66
Duracell International 6,100 274
Gillette 4,700 224
Kellogg 5,200 376
</TABLE>
39
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
BALANCED PORTFOLIO
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
<S> <C> <C>
Pepsico 4,700 $ 240
Philip Morris 11,000 918
Procter & Gamble 8,300 639
RJR Nabisco Holdings 6,760 219
Sara Lee 14,900 443
Sunbeam 14,400 214
Sysco 11,000 300
UST 13,100 375
----------
5,137
----------
INSURANCE -- 2.6%
American General 7,800 292
American International Group 6,650 565
Chubb 5,900 566
General Re 2,500 378
----------
1,801
----------
LEISURE -- 2.1%
Carnival, Cl A 26,500 636
Marriott International 5,600 209
Mattel 10,000 294
Walt Disney 5,700 327
----------
1,466
----------
LUMBER & WOOD PRODUCTS -- 0.4%
Georgia-Pacific 3,500 306
----------
MEDIA -- 3.2%
American Greetings 8,900 271
Capital Cities/ABC 4,800 565
Liberty Media Group, Cl A* 875 23
Tele-Communications, Cl A* 47,100 825
Viacom, Cl B* 11,465 570
----------
2,254
----------
MEDICAL PRODUCTS & SERVICES -- 2.2%
Columbia HCA Healthcare 17,220 837
Health Care & Retirement* 8,400 270
Healthsouth Rehabilitation* 7,000 179
Tenet Healthcare* 14,400 250
----------
1,536
----------
MISCELLANEOUS -- 4.9%
Allied Signal 14,100 622
Boeing 1,700 116
Eastman Kodak 11,300 670
ITT 4,600 570
Textron 2,800 191
Tyco International 11,200 706
United Technologies 6,500 574
----------
3,449
----------
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
PAPER & PAPER PRODUCTS -- 0.4%
International Paper 2,200 $ 92
Willamette Industries 2,800 187
----------
279
----------
RAILROADS -- 0.5%
Burlington Northern Santa Fe 700 51
Union Pacific 4,200 278
----------
329
----------
RETAIL -- 4.5%
Albertson's 5,500 188
American Stores 6,700 190
Federated Department Stores* 26,100 741
Home Depot 25,133 1,001
Limited 1,900 36
Office Depot* 12,000 362
Wal-Mart 22,400 557
Wendy's International 5,000 106
----------
3,181
----------
SERVICE -- 2.1%
Browning Ferris 12,500 380
Molten Metal Technology* 14,500 469
WMX Technologies 21,100 601
----------
1,450
----------
TECHNOLOGY -- 7.5%
AMP 14,700 566
Automatic Data Processing 1,200 82
Digital Equipment* 300 14
General Motors, Cl E 8,500 387
IBM 7,000 661
Intel 8,400 505
Microsoft* 6,400 579
Motorola 11,884 909
Novell* 7,400 135
Oracle* 8,500 326
Scientific Atlanta 34,100 575
Xerox 4,200 564
----------
5,303
----------
TELEPHONES & TELECOMMUNICATION -- 1.3%
AT&T 12,400 816
Worldcom* 3,500 112
----------
928
----------
Total Common Stocks
(Cost $37,193,000) 41,404
----------
</TABLE>
40
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Shares/Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
<S> <C> <C>
PREFERRED STOCKS -- 0.1%
ENTERTAINMENT -- 0.1%
Time Warner
Convertible to 1 share of
Hasbro, Inc. 3,000 $ 98
----------
Total Preferred Stocks
(Cost $93,000) 98
----------
U. S. TREASURY OBLIGATIONS -- 17.6%
U.S. Treasury Notes
7.250%, 11/15/96 $ 1,500 1,523
8.500%, 07/15/97 250 261
8.750%, 10/15/97 590 622
9.000%, 05/15/98 2,210 2,374
8.250%, 07/15/98 1,200 1,271
7.000%, 04/15/99 1,250 1,290
6.750%, 05/31/99 1,555 1,594
6.875%, 03/31/00 690 712
7.750%, 02/15/01 1,545 1,664
7.875%, 08/15/01 1,020 1,109
----------
Total U. S. Treasury Obligations
(Cost $12,286,000) 12,420
----------
GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 9.7%
FHLMC
6.000%, 12/01/98 527 523
8.000%, 06/01/02 671 687
8.000%, 12/01/02 931 950
FNMA
5.500%, 12/25/05 500 490
FNMA REMIC
7.500%, 10/25/05 2,000 2,027
GNMA
9.000%, 11/15/17 2,041 2,158
----------
Total Government Mortgage-
Backed Obligations
(Cost $6,775,000) 6,835
----------
CORPORATE OBLIGATIONS -- 8.1%
AMR
9.500%, 07/15/98 275 289
Beneficial MTN
8.375%, 12/29/99 870 925
General Motors Acceptance
7.125%, 05/15/03 1,200 1,211
International Lease MTN
7.300%, 09/21/98 675 691
KeyCorp
8.100%, 12/20/96 700 717
Salomon Brothers MTN
5.650%, 02/10/98 530 513
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
Sears Roebuck
9.250%, 08/01/97 $ 400 $ 421
Smith Barney
6.875%, 06/15/05 920 909
----------
Total Corporate Obligations
(Cost $5,635,000) 5,676
----------
CONVERTIBLE BONDS -- 0.6%
National Semiconductor
Convertible to 23.375 shares
of common stock
6.500%, 10/01/02 (A) 400 400
----------
Total Convertible Bonds
(Cost $400,000) 400
----------
ASSET BACKED SECURITIES -- 0.4%
Merrill Lynch
5.125%, 07/15/98 29 29
Navistar Financial
5.930%, 10/15/99 282 281
----------
Total Asset Backed Securities
(Cost $311,000) 310
----------
REPURCHASE AGREEMENT -- 4.4%
Lehman Brothers
6.45%, dated 09/29/95, matures
10/02/95, repurchase price
$3,130,000 (collateralized by
FHLB Note, 6.275%, 09/12/05,
market value of collateral:
$3,195,000) 3,128 3,128
----------
Total Repurchase Agreement
(Cost $3,128,000) 3,128
----------
Total Investments -- 99.7%
(Cost $65,821,000) 70,271
----------
OTHER ASSETS AND LIABILITIES -- 0.3%
Other Assets and Liabilities, Net 193
----------
NET ASSETS -- 100.0% $ 70,464
----------
----------
NET ASSETS CONSISTED OF:
Portfolio shares of Class A
(unlimited authorization --
no par value) based on
5,523,981 outstanding shares
of beneficial interest $ 64,565
Undistributed Net Investment
Income 176
Accumulated Net Realized Gain on
Investments 1,273
Net Unrealized Appreciation on
Investments 4,450
----------
Total Net Assets $ 70,464
----------
----------
</TABLE>
41
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
BALANCED PORTFOLIO
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
<S> <C> <C>
Net Asset Value, Offering and
Redemption Price Per
Share -- Class A $ 12.76
----------
----------
</TABLE>
* Non-income producing security
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold only in transactions exempt from registration,
normally to qualified institutional buyers.
<TABLE>
<S> <C>
ADR American Depository Receipt
Cl Class
FHLMC Federal Home Loan Mortgage Corporation
FHLB Federal Home Loan Bank
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
MTN Medium Term Note
REMIC Real Estate Mortgage Investment Conduit
</TABLE>
CAPITAL GROWTH PORTFOLIO
<TABLE>
<S> <C> <C>
COMMON STOCKS -- 85.2%
AEROSPACE & DEFENSE -- 1.7%
Gencorp 22,800 242
Litton Industries* 23,500 1,023
Loral 11,000 627
----------
1,892
----------
AIR TRANSPORTATION -- 0.2%
Atlantic Southeast Airlines 8,600 201
----------
AIRCRAFT -- 0.6%
OEA 11,000 360
Sundstrand 5,000 324
----------
684
----------
APPAREL/TEXTILES -- 0.8%
Cintas 11,500 506
Shaw Industries 29,300 432
----------
938
----------
AUTOMOTIVE -- 0.4%
Dana 9,400 271
Magna International 3,500 158
----------
429
----------
BANKS -- 8.9%
Comerica 19,000 691
Crestar Financial 17,300 967
First Bank System 33,200 1,598
First Security 28,000 879
Firstar 63,400 2,354
Keycorp 11,380 390
Marshall & Ilsley 15,000 377
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
Meridian Bancorp 9,000 $ 344
Midlantic 9,700 526
Regions Financial 19,500 792
Southtrust 23,900 600
UJB Financial 12,000 384
----------
9,902
----------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 1.0%
Chris-Craft* 11,000 478
Omnicom Group 5,000 326
United International Holdings* 17,000 315
----------
1,119
----------
BUILDING & CONSTRUCTION -- 0.9%
Foster Wheeler 29,800 1,054
----------
CHEMICALS -- 5.2%
A. Schulman 38,375 959
Dexter 14,700 375
Georgia Gulf 11,000 380
Lubrizol 26,600 868
Nalco Chemical 25,000 853
Olin 6,400 440
Praxair 23,000 615
Witco 36,900 1,296
----------
5,786
----------
COMMUNICATIONS EQUIPMENT -- 0.7%
ADC Telecommunications* 8,900 404
DSC Communications* 6,000 356
----------
760
----------
COMPUTERS & SERVICES -- 8.9%
Adobe Systems 24,800 1,283
Autodesk 11,300 494
Bay Networks* 14,000 747
Cabletron Systems* 9,500 626
Cadence Design Systems* 5,000 196
Diebold 10,000 464
EMC* 44,500 807
General Motors, Cl E 37,900 1,726
Informix* 23,400 761
Mentor Graphics* 22,000 451
Parametric Technology* 9,600 590
Quantum* 13,800 302
Seagate Technology* 16,500 695
Sequent Computer Systems* 6,000 119
Silicon Graphics* 11,800 406
Symantec* 9,000 270
----------
9,937
----------
</TABLE>
42
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
<S> <C> <C>
CONCRETE & MINERAL PRODUCTS -- 0.3%
Ferro 11,600 $ 289
----------
DRUGS -- 1.8%
Forest Labs* 7,400 329
Genzyme-General Division* 6,000 348
IVAX 5,000 151
Mylan Laboratories 27,750 554
R P Scherer* 4,000 174
Teva Pharmaceutical ADR 12,000 434
----------
1,990
----------
ELECTRICAL SERVICES -- 3.7%
Illinova 42,000 1,139
Montana Power 36,900 853
Northeast Utilities 61,400 1,497
Pinnacle West Capital 25,000 656
----------
4,145
----------
ENTERTAINMENT -- 1.2%
Circus Circus Enterprises* 22,000 616
Mirage Resorts* 22,900 753
----------
1,369
----------
ENVIRONMENTAL SERVICES -- 0.3%
Laidlaw, Cl B 34,000 298
----------
FINANCIAL SERVICES -- 2.5%
A G Edwards 20,975 558
First Financial Management 11,000 1,074
Morgan Stanley 10,000 961
WFS Financial* 9,000 205
----------
2,798
----------
FOOD, BEVERAGE, TOBACCO &
HOUSEHOLD -- 1.2%
IBP 9,000 480
McCormick 17,000 406
Tyson Foods 17,000 457
----------
1,343
----------
GAS/NATURAL GAS -- 0.9%
National Fuel Gas 10,800 311
Questar 21,000 674
----------
985
----------
HOUSEHOLD PRODUCTS -- 0.6%
Dial 13,000 322
Sunbeam 25,100 373
----------
695
----------
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
INSURANCE -- 5.3%
AFLAC 17,100 $ 710
AON 37,500 1,531
Equifax 19,000 796
Kemper 10,000 483
Pacificare Health Systems* 6,500 442
Progressive 5,500 246
Reliastar Financial 4,500 183
TIG Holdings 11,000 296
Transatlantic Holdings 9,500 639
Value Health* 20,500 543
----------
5,869
----------
MACHINERY -- 3.9%
Cincinnati Milacron 9,000 284
Fisher Scientific 73,300 2,372
General Signal 9,000 263
Goulds Pumps 15,000 345
Kennametal 8,600 312
Stewart & Stevenson Services 10,000 323
Trinity Industries 13,000 403
----------
4,302
----------
MARINE TRANSPORTATION -- 0.8%
Carnival, Cl A 38,000 912
----------
MEASURING DEVICES -- 1.2%
Johnson Controls 12,100 765
Teradyne* 15,000 540
----------
1,305
----------
MEDICAL PRODUCTS & SERVICES -- 2.4%
Biogen* 10,000 600
C R Bard 6,000 183
Chiron* 4,000 362
Healthsouth Rehabilitation* 17,000 434
Stryker 13,500 629
Varian Associates 8,100 429
----------
2,637
----------
METALS & MININGS -- 0.9%
Potash of Saskatchewan 16,000 996
----------
MISCELLANEOUS BUSINESS SERVICES -- 2.9%
CUC International* 45,075 1,572
Kelly Services 8,000 214
Olsten 6,000 233
Reynolds & Reynolds, Cl A 22,200 763
Sensormatic Electronics 17,200 396
----------
3,178
----------
</TABLE>
43
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
CAPITAL GROWTH PORTFOLIO
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
<S> <C> <C>
MISCELLANEOUS CONSUMER SERVICES -- 0.7%
Service International 19,850 $ 777
----------
MISCELLANEOUS MANUFACTURING -- 0.3%
International Game Technology 23,300 312
----------
PAPER & PAPER PRODUCTS -- 0.5%
Willamette Industries 8,100 541
----------
PETROLEUM & FUEL PRODUCTS -- 3.2%
Anadarko Petroleum 22,100 1,047
Apache 37,800 992
BJ Services* 10,000 253
Mapco 14,300 736
Noble Affiliates 18,000 475
----------
3,503
----------
PETROLEUM REFINING -- 0.6%
Murphy Oil 9,500 380
Valero Energy 13,000 312
----------
692
----------
PRECIOUS METALS -- 0.3%
Barrick Gold 13,500 349
----------
PRINTING & PUBLISHING -- 1.9%
A H Belo 20,000 688
American Greetings 41,000 1,250
Houghton Miflin 4,900 228
----------
2,166
----------
RAILROADS -- 0.6%
Illinois Central 12,600 493
Southern Pacific Rail* 7,475 181
----------
674
----------
RETAIL -- 5.8%
Barnes & Noble* 19,000 727
Brinker International* 21,200 315
Federated Department Stores* 20,000 568
Fred Meyer* 25,000 613
Hannaford Brothers 14,000 376
Hollywood Entertainment* 22,400 480
Kohl's* 6,000 311
Micro Warehouse* 6,600 302
Office Depot* 49,500 1,491
Outback Steakhouse* 15,000 461
Staples* 7,000 198
Wendy's International 28,700 606
----------
6,448
----------
- -----------------------------------------------------------
Market
Value
Description Shares (000)
- -----------------------------------------------------------
RUBBER & PLASTIC -- 1.6%
M A Hanna 23,950 $ 632
Sonoco Products 40,350 1,119
----------
1,751
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.7%
American Power Conversion* 15,900 195
Analog Devices* 25,750 892
Atmel* 21,600 729
Linear Technology 15,600 647
LSI Logic* 20,800 1,201
Molex 11,094 402
----------
4,066
----------
SPECIALTY MACHINERY -- 0.5%
York International 13,200 556
----------
STEEL & STEEL WORKS -- 2.2%
Allegheny Ludlum 42,000 856
Alumax 3,000 101
Molten Metal Technology* 27,000 874
Nucor 12,900 577
----------
2,408
----------
TELEPHONES &
TELECOMMUNICATION -- 3.0%
Alltel 12,800 382
Frontier 18,000 479
Southern New England 8,800 311
Telephone & Data Systems 12,400 521
Worldcom* 50,500 1,623
----------
3,316
----------
WHOLESALE -- 1.3%
Avnet 7,600 392
Checkfree* 7,000 140
Cordis* 10,800 916
----------
1,448
----------
Total Common Stocks
(Cost $79,518,000) 94,820
----------
PREFERRED STOCKS -- 0.0%
FINANCIAL SERVICES -- 0.0%
Everen Capital* 320 7
----------
Total Preferred Stocks
(Cost $7,000) 7
----------
</TABLE>
44
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
REPURCHASE AGREEMENT -- 14.5%
Lehman
6.45%, dated 09/29/95, matures
10/02/95, repurchase price
$16,133,000 (collateralized by
FHLB Note, par value
$16,420,000, 6.275%, 09/12/05,
market value of collateral:
$16,447,000) $ 16,124 $ 16,124
----------
Total Repurchase Agreement
(Cost $16,124,000) 16,124
----------
Total Investments -99.7%
(Cost $95,649,000) 110,951
----------
OTHER ASSETS AND LIABILITIES -- 0.3%
Other Assets and Liabilities, Net 321
----------
NET ASSETS -- 100.0% $ 111,272
----------
----------
NET ASSETS CONSISTED OF:
Portfolio shares
(unlimited authorization -- no
par value) based on 9,209,824
outstanding shares of
beneficial interest $ 85,302
Undistributed Net Investment
Income 161
Accumulated Net Realized Gain on
Investments 10,507
Net Unrealized Appreciation on
Investments 15,302
----------
Total Net Assets $ 111,272
----------
----------
Net Asset Value, Offering and
Redemption Price Per Share $ 12.08
----------
----------
</TABLE>
* Non-income producing security
<TABLE>
<S> <C>
Cl Class
FHLB Federal Home Loan Bank
ADR American Depository Receipt
</TABLE>
CORE FIXED INCOME PORTFOLIO
<TABLE>
<S> <C> <C>
U. S. TREASURY OBLIGATIONS -- 29.8%
U.S. Treasury Bill
5.390%, 01/18/96 (B) $ 1,300 1,279
U.S. Treasury Bonds
12.000%, 08/15/13 15,940 23,512
6.250%, 08/15/23 43,030 40,935
U.S. Treasury Notes
7.500%, 01/31/97 8,100 8,274
5.625%, 08/31/97 10,000 9,961
7.875%, 01/15/98 2,000 2,084
5.625%, 01/31/98 7,000 6,961
7.500%, 10/31/99 15,280 16,088
7.500%, 02/15/05 11,930 12,993
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
U.S. Treasury STRIPS
05/15/17 (B) $ 14,149 $ 3,291
----------
Total U. S. Treasury Obligations
(Cost $120,064,000) 125,378
----------
CORPORATE OBLIGATIONS -- 24.6%
Associates of North America
10.750%, 11/01/95 2,000 2,007
Banque Paribas
6.875%, 03/01/09 7,100 6,798
Commonwealth Edison
6.400%, 10/15/05 5,000 4,700
Equitable
9.000%, 12/15/04 4,700 5,299
Ford Motor Credit
8.375%, 01/15/00 1,000 1,066
Ford Motor Credit MTN
(Quarterly Reset = 3 Month
LIBOR + 0.40%)
6.338%, 05/26/98 (C) 6,050 6,068
Joseph Seagram & Sons
9.650%, 08/15/18 7,000 8,565
Lehman Brothers Holdings
5.500%, 06/15/96 5,000 4,966
Loews
7.625%, 06/01/23 6,000 5,880
Long Island Lighting
8.625%, 04/15/04 1,750 1,875
9.625%, 07/01/24 2,460 2,485
News America Holdings
7.750%, 01/20/24 4,800 4,734
8.450%, 08/01/34 2,300 2,527
Niagara Mohawk Power
9.750%, 11/01/05 3,680 4,283
Paine Webber Group
7.625%, 02/15/14 8,000 7,810
RJR Nabisco
8.750%, 08/15/05 1,300 1,321
8.750%, 07/15/07 2,960 2,975
7.550%, 06/15/15 2,700 2,660
Tele-Communications
9.250%, 01/15/23 4,000 4,195
Time Warner
9.125%, 01/15/13 2,100 2,271
9.150%, 02/01/23 600 653
Time Warner Entertainment
8.375%, 03/15/23 2,180 2,226
8.375%, 07/15/33 3,000 3,049
United Airlines
11.210%, 05/01/14 6,300 7,867
Wal-Mart Stores
8.000%, 05/01/96 2,500 2,528
</TABLE>
45
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
CORE FIXED INCOME PORTFOLIO
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
<S> <C> <C>
Walt Disney
(Semi-annual coupon through
03/01/97; future coupons based
on revenues from a portfolio
of live action films)
2.000%, 03/01/00 (A) $ 4,200 $ 4,326
----------
Total Corporate Obligations
(Cost $96,865,000) 103,134
----------
GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 15.3%
FHLMC
9.000%, 12/01/05 455 477
7.500%, 11/01/07 2,475 2,520
FHLMC CMO Ser 11-C
9.500%, 04/15/19 407 418
FHLMC REMIC
7.000%, 11/15/19 130 131
FHLMC REMIC Ser 1717-OA
(Monthly Reset = 2.166 x 10
year treasury rate)
7.432%, 04/15/24 (C) 8,000 5,841
FHLMC TBA
7.500%, 11/01/25 12,500 12,527
FNMA
8.500%, 09/01/13 383 397
FNMA REMIC IO
Ser G-23 (Monthly Reset =
-69.3846 X 1 Month LIBOR +
111,362.404 BP)
705.60%, 06/25/21 (C) (D) 20 326
GNMA
7.500%, 09/15/06 3,029 3,060
7.500%, 04/15/07 72 73
7.500%, 04/15/23 6,757 6,827
7.500%, 01/20/25 4,860 4,988
7.000%, 04/20/25 4,455 4,555
7.000%, 05/20/25 12,925 13,215
7.000%, 06/15/25 8,729 8,925
----------
Total Government Mortgage-Backed
Obligations
(Cost $62,674,000) 64,280
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.2%
FHLB
5.100%, 07/08/96 5,000 4,979
Government Trust Certificates
Zero Coupon, 05/15/03 5,000 3,064
Resolution Funding
8.625%, 01/15/30 1,660 2,043
RFCO Strips
Zero Coupon, 01/15/17 2,539 588
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
Zero Coupon, 04/15/17 $ 1,913 $ 436
Zero Coupon, 10/15/19 5,730 1,104
Zero Coupon, 10/15/20 7,300 1,313
----------
Total U.S. Government Agency
Obligations
(Cost $12,920,000) 13,527
----------
ASSET BACKED SECURITIES -- 8.9%
Champion 95-2 A2
7.340%, 10/25/26 (A) 6,171 6,191
Fund America Investors REMIC ARM
Ser 1993-A
7.714%, 06/25/23 (C) 8,728 8,728
PSSF Pool 1995-1A REMIC
(Monthly Reset = 1 x 1 Month
LIBOR + 61 BP)
6.610%, 04/25/26 (C) 13,827 13,904
SASCO
6.600%, 10/25/24 (E) 8,000 7,580
Signet Credit Card CMO
9.000%, 06/15/97 958 960
SPNB Home Equity Loan
7.850%, 05/15/98 157 159
----------
Total Asset Backed Securities
(Cost $37,230,000) 37,522
----------
MORTGAGE-BACKED OBLIGATIONS -- 4.9%
RTC ARM
6.180%, 05/25/21 (C) 12,232 11,696
8.078%, 09/25/29 (C) 6,222 6,265
RTC ARM
(Monthly Reset = 1 x D11COF +
171 BP)
6.854%, 06/25/21 (C) 2,420 2,357
----------
Total Mortgage-Backed Obligations
(Cost $20,316,000) 20,318
----------
REPURCHASE AGREEMENT -- 15.5%
J P Morgan
6.40%, dated 09/29/95, matures
10/02/95, repurchase price
$65,222,000 (collateralized by
various FHLMC obligations,
total par value 67,767,000,
6.429%-9.00%,
10/01/20-09/01/25, and various
FNMA obligations, total par
value $154,258,000,
0.00%-7.00%,
05/25/00-12/25/22, market
value of collateral:
$66,491,000) 65,187 65,187
----------
</TABLE>
46
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
Total Repurchase Agreement
(Cost $65,187,000) $ 65,187
----------
Total Investments -102.2%
(Cost $415,256,000) 429,346
----------
OTHER ASSETS AND LIABILITIES -- (2.2%)
Other Assets and Liabilities, Net (9,178)
----------
NET ASSETS -- 100.0% $ 420,168
----------
----------
NET ASSETS CONSISTED OF:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 40,134,798
outstanding shares of
beneficial interest $ 405,165
Portfolio shares of Class D
(unlimited authorization -- no
par value) based on 20,021
outstanding shares of
beneficial interest 198
Undistributed Net Investment
Income 2,162
Accumulated Net Realized Loss on
Investments (1,302)
Net Unrealized Depreciation on
Futures Contracts (145)
Net Realized Appreciation on
Investments 14,090
----------
Total Net Assets $ 420,168
----------
----------
Net Asset Value, Offering and
Redemption Price Per
Share -- Class A $ 10.46
----------
----------
Net Asset Value and Redemption
Price Per Share -- Class D $ 10.44
----------
----------
Maximum Offering Price Per
Share -- Class D ($10.44 divided
by 95.5%) $ 10.93
----------
----------
</TABLE>
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold only in transaction exempt from registration,
normally to qualified from registration, normally to qualified institutional
buyers.
(B) Securities have been pledged as collateral on open futures contracts.
(C) The rate reflected on the Statement of Net Assets is the rate in effect on
September 30, 1995.
(D) Inverse Floater
(E) Structured Note
<TABLE>
<S> <C>
ARM Adjustable Rate Mortgage
CMO Collateralized Mortgage Obligation
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
IO Interest Only
LIBOR London Inter Bank Offering Rate
MTN Medium Term Note
REMIC Real Estate Mortgage Investment Conduit
RFCO Resolution Trust Funding Corporation
RTC Resolution Trust Corporation
SER Series Separately Traded Registered Interest and Principal
STRIPS Securities
TBA To Be Announced
DIICOF District 11 Cost of Funds
BP Basis Points
</TABLE>
BOND PORTFOLIO
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 98.0%
U.S. Treasury Bonds
7.500%, 11/15/16 $ 22,600 $ 24,800
7.125%, 02/15/23 2,300 2,438
U.S. Treasury Notes
4.250%, 11/30/95 3,750 3,742
6.500%, 09/30/96 4,125 4,156
6.875%, 10/31/96 4,125 4,172
7.250%, 11/30/96 4,100 4,165
6.875%, 02/28/97 5,600 5,680
6.500%, 04/30/97 4,100 4,141
---------
Total U.S. Treasury Obligations
(Cost $49,986,000) 53,294
---------
REPURCHASE AGREEMENT -- 0.4%
J P Morgan
6.35%, dated 09/29/95, matures
10/02/95, repurchase price
$223,000 (collateralized by
FFCB obligation, par value
$230,000, 5.65%, 11/20/95,
market value of collateral:
$228,000) 223 223
---------
Total Repurchase Agreement
(Cost $223,000) 223
---------
Total Investments -- 98.4%
(Cost $50,209,000) 53,517
---------
OTHER ASSETS AND LIABILITIES -- 1.6%
Other Assets and Liabilities, Net 890
---------
NET ASSETS -- 100.0% $ 54,407
---------
---------
NET ASSETS CONSISTED OF:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 4,998,284
outstanding shares of
beneficial interest $ 57,390
Portfolio shares of Class D
(unlimited authorization -- no
par value) based on 11,113
outstanding shares of
beneficial interest 124
Undistributed Net Investment
Income 279
Accumulated Net Realized Loss on
Investments (6,694)
Net Unrealized Appreciation on
Investments 3,308
----------
Total Net Assets $ 54,407
----------
----------
Net Asset Value, Offering and
Redemption Price Per Share --
Class A $ 10.86
----------
----------
Net Asset Value and Redemption
Price Per Share -- Class D $ 10.84
----------
----------
Maximum Offering Price Per
Share -- Class D (10.84 divided
by 95.5%) $ 11.35
----------
----------
</TABLE>
<TABLE>
<S> <C>
FFCB Federal Farm Credit Bank
</TABLE>
47
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
HIGH YIELD BOND PORTFOLIO
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 89.3%
Abbey Healthcare
9.500%, 11/01/02 $ 65 $ 68
Adelphia Communications
12.500%, 05/15/02 100 100
AK Steel
10.750%, 04/01/04 100 107
Allied Waste Industries
12.000%, 02/01/04 50 53
American Restaurant Group
12.000%, 09/15/98 100 74
American Rice
13.000%, 07/31/02 200 188
American Safety Razor
9.875%, 08/01/05 (A) 250 250
American Standard
11.375%, 05/15/04 20 22
Zero Coupon, 06/01/05 (B) 250 203
Amerigas Partners LP
10.125%, 04/15/07 100 108
Arcadian Partner
10.750%, 05/01/05 100 105
Armco
11.375%, 10/15/99 100 104
Bally's Casino Holding
Zero Coupon, 06/15/98 200 152
Bally's Grand
10.375%, 12/15/03 100 98
Bally's Health & Tennis
13.000%, 01/15/03 100 89
Bally's Park Place Funding
9.250%, 03/15/04 200 195
Bayou Steel
10.250%, 03/01/01 100 92
Bell Cablemedia
Zero Coupon, 07/15/04 (B) 300 201
Big V Supermarkets
11.000%, 02/15/04 75 60
Building Materials
Zero Coupon, 07/01/04 (B) 200 126
Cablevision Industries
9.250%, 04/01/08 50 53
Cablevision Systems
9.875%, 02/15/13 50 52
CAI Wireless System
12.250%, 09/15/02 250 258
Calmar
11.500%, 08/15/05 (A) 200 202
Cencall Communication
Zero Coupon, 01/15/04 (B) 100 51
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
CF Cable Television
11.625%, 02/15/05 $ 50 $ 54
Cole National
11.250%, 10/01/01 100 99
Comcast
9.375%, 05/15/05 150 152
9.500%, 01/15/08 50 51
10.625%, 07/15/12 50 55
Commodore Media
7.500%, 05/01/03 (B) 100 90
Container
9.750%, 04/01/03 50 51
Continental Cablevision
11.000%, 06/01/07 100 111
9.500%, 08/01/13 150 156
Coty
10.250%, 05/01/05 100 105
County Seat Stores
12.000%, 10/01/02 100 94
Crown Packaging Holdings
Zero Coupon, 11/01/03 (B) 300 137
Crown Paper
11.000%, 09/01/05 250 248
Dairy Mart Convenience Stores
10.250%, 03/15/04 200 170
Day International Group
11.125%, 06/01/05 (A) 200 207
Doman Industries
8.750%, 03/15/04 250 242
Duane Reade
12.000%, 09/15/02 250 225
Exide
10.000%, 04/15/05 (A) 100 106
Falcon Holding Group PIK
11.000%, 09/15/03 211 199
Farm Fresh
12.250%, 10/01/00 50 44
Farm Fresh, Ser A
12.250%, 10/01/00 200 175
Figgie International
9.875%, 10/01/99 150 151
Finlay Enterprises
Zero Coupon, 05/01/05 (B) 50 33
Fort Howard
9.000%, 02/01/06 225 209
G-I Holdings
Zero Coupon, 10/01/98 300 216
Galaxy Telecom LP
12.375%, 10/01/05 250 249
Gaylord Container
11.500%, 05/15/01 50 52
</TABLE>
48
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
<S> <C> <C>
Gaylord Container
Zero Coupon, 05/15/05 (B) $ 200 $ 197
General Media
10.625%, 12/31/00 100 84
Genesis Health Ventures
9.750%, 06/15/05 100 104
Geneva Steel
9.500%, 01/15/04 100 75
GNF
10.625%, 04/01/03 200 174
GPA Delaware
8.750%, 12/15/98 250 223
Grancare
9.375%, 09/15/05 250 251
Great Bay Property Funding
10.875%, 01/15/04 105 88
Groupe Videotron
10.625%, 02/15/05 100 105
Grupo Industrial Durango
12.000%, 07/15/01 200 183
GS Technologies
12.000%, 09/01/04 100 99
Harris Chemical
Zero Coupon, 07/15/01 (B) 75 67
Helicon Group
9.000%, 11/01/03 (B) 150 138
Herff Jones
11.000%, 08/15/05 (A) 150 155
Hills Stores
10.250%, 09/30/03 250 234
Huntsman
10.625%, 04/15/01 250 262
Imax
7.000%, 03/01/01 (B) 100 95
Indah Kait Pulp & Paper
11.875%, 06/15/02 250 257
Integrated Health Services
9.625%, 05/31/02 (A) 250 258
Interlake
12.125%, 03/01/02 200 197
International Cabletel
Zero Coupon, 04/15/05 (A) (B) 150 90
International Wire Group
11.750%, 06/01/05 (A) 250 253
Ithaca Industries
11.125%, 12/15/02 100 96
Jones Intercable
9.625%, 03/15/02 100 104
Jordan Industries
10.375%, 08/01/03 250 230
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
JPS Automotive Products
11.125%, 06/15/01 $ 100 $ 101
K-III Communications
10.625%, 05/01/02 50 53
Kelley Oil & Gas
13.500%, 06/15/99 250 240
Kloster Cruise
13.000%, 05/01/03 150 108
Laroche Industries
13.000%, 08/15/04 250 259
Malette
12.250%, 07/15/04 100 112
Marvel III Holdings
9.125%, 02/15/98 100 93
Maxus Energy
9.875%, 10/15/02 250 244
Mesa
12.750%, 06/30/98 250 231
MFS Communications
Zero Coupon, 01/15/04 (B) 350 261
Mobile Telecommunications
Technologies
13.500%, 12/15/02 50 56
Mohegan Tribal Gaming
13.500%, 11/15/02 (A) 250 257
Monarch Acquisition
12.500%, 07/01/03 (A) 200 203
Nextel Communications
Zero Coupon, 08/15/04 (B) 300 147
NL Industries
11.750%, 10/15/03 100 106
NL Industries
Zero Coupon, 10/15/05 (B) 200 149
NWCG Holding
Zero Coupon, 06/15/99 300 201
Panamsat LP
9.750%, 08/01/00 50 52
Pathmark Stores
Zero Coupon, 11/01/03 (B) 300 195
Peoples Telephone
12.250%, 07/15/02 (A) 200 206
Petroleum Heat & Power
12.250%, 02/01/05 50 54
Pioneer Americas
13.375%, 04/01/05 (A) 200 204
Plantronics
10.000%, 01/15/01 175 178
Portola Packaging
10.750%, 10/01/05 200 201
Pricellular Wireless
Zero Coupon, 10/01/03 (B) 350 249
</TABLE>
49
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
HIGH YIELD BOND PORTFOLIO
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
<S> <C> <C>
Rainy River Forest Products
10.750%, 10/15/01 $ 100 $ 107
Red Roof Inns
9.625%, 12/15/03 50 49
Repap Wisconsin
9.875%, 05/01/06 100 97
Republic Engineered Steel
9.875%, 12/15/01 150 140
Resorts International
11.000%, 09/15/03 250 227
Revlon Consumer Products
9.375%, 04/01/01 150 149
10.500%, 02/15/03 100 102
Revlon Worldwide
Zero Coupon, 03/15/98 150 110
Rexene
11.750%, 12/01/04 250 266
Rio Hotel & Casino
10.625%, 07/15/05 (A) 250 242
Rogers Cablesystem
10.000%, 03/15/05 100 105
Santa Fe Energy Resource
11.000%, 05/15/04 50 54
Santa Fe Hotel
11.000%, 12/15/00 90 72
SCI Television
11.000%, 06/30/05 50 53
Sherritt
10.500%, 03/31/14 150 154
Showboat
9.250%, 05/01/08 100 95
Sinclair Broadcast Group
10.000%, 09/30/05 200 204
Specialty Equipment
11.375%, 12/01/03 250 259
Station Casinos
9.625%, 06/01/03 100 95
Stone Consolidated
10.250%, 12/15/00 100 105
Stone Container
9.875%, 02/01/01 300 294
Synthetic Industries
12.750%, 12/01/02 150 148
Telewest Communications PLC
9.625%, 10/01/06 150 152
Zero Coupon, 10/01/07 (B) 200 119
Terra Nova Holding
10.750%, 07/01/05 250 263
Tracor
10.875%, 08/15/01 50 52
- -----------------------------------------------------------
Face Market
Amount Value
Description (000) (000)
- -----------------------------------------------------------
Transtexas Gas
11.500%, 06/15/02 $ 100 $ 105
Trump Castle Funding
11.750%, 11/15/03 200 153
Trump Plaza Funding
10.875%, 06/15/01 250 231
Trump Taj Mahal PIK
11.350%, 11/15/99 252 224
UCC Investors
11.000%, 05/01/03 50 51
United International Holding
Zero Coupon, 11/15/99 250 150
Universal Health Services
8.750%, 08/15/05 250 244
US Air
10.000%, 07/01/03 250 204
US Leather
10.250%, 07/31/03 200 166
Van De Kamps
12.000%, 09/15/05 (A) 250 253
Venture Holdings Trust
9.750%, 04/01/04 250 218
Viacom International
8.000%, 07/07/06 100 98
Videotron Holdings PLC
Zero Coupon, 08/15/05 (B) 200 114
Waban
11.000%, 05/15/04 250 254
WCI Steel
10.500%, 03/01/02 100 97
Wright Medical Technology
10.750%, 07/01/00 50 50
----------
Total Corporate Obligations
(Cost $20,826,000) 21,196
----------
UNITS -- 4.7%
Australis Media 1 Unit = 1
senior subordinate discount
note + 1 warrant
Zero Coupon, 05/15/03 (B) 300 177
Casino America 1 Unit = 1 bond +
1 warrant
11.500%, 11/15/01 200 194
Cellular Communications 1 Unit =
1 senior discount note + 1
warrant
Zero Coupon, 08/15/00 500 275
Health O Meter 1 Unit = 1 senior
subordinate note + 1 warrant
13.000%, 08/15/02 100 91
</TABLE>
50
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Face Market
Amount Value
Description (000)/Shares (000)
- -----------------------------------------------------------
<S> <C> <C>
In Flight Phone 1 Unit = 1 note
+ 1 warrant
Zero Coupon, 05/15/02 (A)(B) $ 200 $ 80
Intelcom Group 1 Unit = 10
senior discount notes + 33
warrants
Zero Coupon, 09/15/05 (A)(B) 350 193
MVE 1 Unit = 1 senior note + 1
warrant
12.500%, 02/15/02 100 107
----------
Total Units
(Cost $1,123,000) 1,117
----------
REPURCHASE AGREEMENT -- 6.3%
Lehman Brothers
6.35%, dated 9/29/95, matures
10/02/95, repurchase price
$1,491,000 (collateralized by
U.S. Treasury Bond, total par
value $1,370,000, 8.25%,
05/15/05, market value of
collateral: $1,523,000) 1,490 1,490
----------
Total Repurchase Agreement
(Cost $1,490,000) 1,490
----------
PREFERRED STOCKS -- 0.8%
BCP/Essex Holdings
Convertible (A)* 7,262 185
----------
Total Preferred Stocks
(Cost $184,000) 185
----------
WARRANTS -- 0.1%
Commodore Media Warrant 100 8
Wright Medical Technology
Warrants 21 3
----------
Total Warrants
(Cost $12,000) 11
----------
Total Investments -101.2%
(Cost $23,635,000) 23,999
----------
OTHER ASSETS AND LIABILITIES -- (1.2%)
Other Assets and Liabilities, Net (275)
----------
NET ASSETS -- 100.0% $ 23,724
----------
----------
- -----------------------------------------------------------
Market
Value
Description (000)
- -----------------------------------------------------------
NET ASSETS CONSISTED OF:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on 2,228,527
outstanding shares of
beneficial interest $ 23,089
Undistributed Net Investment
Income 190
Accumulated Net Realized Gain on
Investments 81
Net Unrealized Appreciation on
Investments 364
----------
Total Net Assets $ 23,724
----------
----------
Net Asset Value, Offering and
Redemption Price Per Share --
Class A $ 10.65
----------
----------
</TABLE>
* Non-Income producing security
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold only in transactions exempt from registration,
normally to qualified institutional buyers.
(B) Step Bond -- The rate reflected on the Statement of Net Assets is the rate
in effect on September 30, 1995. The initial coupon on a step bond changes on a
specific date, to a predetermined higher rate.
<TABLE>
<S> <C>
LP Limited Partnership
PIK Payment In Kind
Ser Series
PLC Public Limited Company
</TABLE>
The accompanying notes are an integral part of the financial statements.
51
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--For the year ended September 30, 1995
<TABLE>
<CAPTION>
------------------ ------------------ ------------------ ------------------
LARGE CAP LARGE CAP SMALL CAP SMALL CAP
VALUE GROWTH VALUE GROWTH
------------------ ------------------ ------------------ ------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 6,750 $ 1,978 $ 295 $ 534
Interest 526 563 330 903
---------- ---------- ---------- ------------------
Total Investment Income 7,276 2,541 625 1,437
---------- ---------- ---------- ------------------
EXPENSES:
Management fees 749 444 162 1,369
Less management fees waived (112) -- (6) (102)
Contribution from Manager -- -- -- --
Investment advisory fees 645 507 300 1,493
Less investment advisory
fees waived -- (58) (1) --
Custodian/wire agent fees 35 35 10 48
Transfer agent fees (1) -- -- -- 1
Professional fees 26 24 6 39
Registration & filing fees 14 10 3 27
Printing expense 13 18 7 42
Trustee fees 11 12 2 17
Insurance expense 3 5 1 4
Pricing fees 7 8 2 10
Distribution fees 105 49 15 168
Class D Distribution fees (1) -- -- -- 1
Amortization of deferred
organization costs -- 4 4 16
Miscellaneous 11 20 2 17
---------- ---------- ---------- ------------------
Total expenses 1,507 1,078 507 3,150
---------- ---------- ---------- ------------------
NET INVESTMENT INCOME (LOSS) 5,769 1,463 118 (1,713)
---------- ---------- ---------- ------------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) from
security transactions 8,764 5,973 1,807 60,571
Net realized gain (loss) on
futures contracts 212 (391) -- --
Net change in unrealized
appreciation (depreciation) on
investments 39,363 33,531 10,864 43,577
---------- ---------- ---------- ------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 54,108 $ 40,576 $ 12,789 $ 102,435
---------- ---------- ---------- ------------------
---------- ---------- ---------- ------------------
</TABLE>
(1) Fees are incurred at the Class D level only.
The accompanying notes are an integral part of the financial statements.
52
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------- -------------- ------------- ------------- ------------- ------------- -------------
CAPITAL EQUITY CAPITAL CORE FIXED
MID-CAP APPRECIATION INCOME BALANCED GROWTH INCOME BOND
------------- -------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
386 8,583 13,605 690 1,608 -- --
150 1,948 817 1,796 667 27,121 5,997
-------------- --------------- -------------- -------------- -------------- -------------- --------------
536 10,531 14,422 2,486 2,275 27,121 5,997
-------------- --------------- -------------- -------------- -------------- -------------- --------------
268 2,254 1,500 315 573 1,632 348
(79) (212) (197) (105) (573) (478) (125)
-- -- -- -- (80) -- --
235 1,291 883 193 -- 474 127
-- -- -- -- -- -- --
7 59 47 11 16 62 11
-- 2 2 -- -- -- --
9 67 45 9 16 48 12
9 64 35 5 9 28 11
15 56 33 23 16 30 21
4 33 20 4 7 22 5
1 7 6 1 2 3 2
2 16 11 3 7 14 3
39 304 204 39 -- 229 51
-- 3 3 -- -- -- --
2 5 -- -- --
3 30 19 4 7 23 5
-------------- --------------- -------------- -------------- -------------- -------------- --------------
515 3,974 2,611 507 -- 2,087 471
-------------- --------------- -------------- -------------- -------------- -------------- --------------
21 6,557 11,811 1,979 2,275 25,034 5,526
-------------- --------------- -------------- -------------- -------------- -------------- --------------
6,416 22,785 21,863 1,528 10,562 9,061 (6,522)
-- -- -- -- -- 831 --
(3,370) 33,283 25,307 6,199 10,875 23,651 13,663
-------------- --------------- -------------- -------------- -------------- -------------- --------------
$ 3,067 $ 62,625 $ 58,981 $ 9,706 $ 23,712 $ 58,577 $ 12,667
-------------- --------------- -------------- -------------- -------------- -------------- --------------
-------------- --------------- -------------- -------------- -------------- -------------- --------------
<CAPTION>
-------------
HIGH-YIELD
BOND
-------------
--
1,036
-------
1,036
-------
34
(18)
--
31
--
2
--
1
1
2
--
1
--
6
--
4
1
-------
65
-------
971
-------
81
--
364
-------
$ 1,416
-------
-------
</TABLE>
53
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust
<TABLE>
<CAPTION>
---------------- ------------------ ------------------ -----------
LARGE CAP LARGE CAP SMALL CAP SMALL CAP
VALUE GROWTH VALUE GROWTH
---------------- ------------------ ------------------ -----------
10/1/94- 10/1/93- 12/20/94(1)- 12/20/94(1)- 10/1/94-
9/30/95 9/30/94 9/30/95 9/30/95 9/30/95
----------- ----------- ------------------- ------------------- -----------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 5,769 $ 4,012 $ 1,463 $ 118 ($ 1,713)
Net realized gain (loss) from security
transactions 8,976 (1,397) 5,582 1,807 60,571
Net unrealized appreciation
(depreciation) on investments 39,363 (5,723) 33,531 10,864 43,577
----------- ----------- -------- -------- -----------
Net increase (decrease) in net asssets
from operations 54,108 (3,108) 40,576 12,789 102,435
----------- ----------- -------- -------- -----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (5,593) (3,906) (860) (146) --
Class D -- -- -- -- --
Net realized gains:
Class A (1,783) (6,458) -- -- (95)
Class D -- -- -- -- --
----------- ----------- -------- -------- -----------
Total dividends distributed (7,376) (10,364) (860) (146) (95)
----------- ----------- -------- -------- -----------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 244,446 93,802 283,750 105,041 325,142
Shares issued in lieu of cash
distributions 4,571 4,152 633 100 64
Cost of shares repurchased (97,235) (156,461) (26,722) (14,809) (417,431)
----------- ----------- -------- -------- -----------
Increase (decrease) in net assets
derived from Class A transactions 151,782 (58,507) 257,661 90,332 (92,225)
----------- ----------- -------- -------- -----------
Class D:
Proceeds from shares issued -- -- -- -- 471
Shares issued in lieu of cash
distributions -- -- -- -- --
Cost of shares repurchased -- -- -- -- (29)
----------- ----------- -------- -------- -----------
Increase (decrease) in net assets
derived from Class D transactions -- -- -- -- 442
----------- ----------- -------- -------- -----------
Increase (decrease) in net assets
derived from capital share
transactions 151,782 (58,507) 257,661 90,332 (91,783)
----------- ----------- -------- -------- -----------
Net increase (decrease) in net
assets 198,514 (71,979) 297,377 102,975 10,557
----------- ----------- -------- -------- -----------
NET ASSETS:
Beginning of period 133,178 205,157 -- -- 300,467
----------- ----------- -------- -------- -----------
End of period $ 331,692 $ 133,178 $ 297,377 $ 102,975 $ 311,024
----------- ----------- -------- -------- -----------
----------- ----------- -------- -------- -----------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 21,273 8,573 25,564 9,750 21,497
Shares issued in lieu of cash
distributions 407 376 56 9 5
Shares repurchased (8,608) (14,285) (2,287) (1,314) (27,282)
----------- ----------- -------- -------- -----------
Total Class A transactions 13,072 (5,336) 23,333 8,445 (5,780)
----------- ----------- -------- -------- -----------
----------- ----------- -------- -------- -----------
Class D:
Shares issued -- -- -- -- 29
Shares issued in lieu of cash
distributions -- -- -- -- --
Shares repurchased -- -- -- -- (1)
----------- ----------- -------- -------- -----------
Total Class D transactions -- -- -- -- 28
----------- ----------- -------- -------- -----------
----------- ----------- -------- -------- -----------
Undistributed net investment income
(loss) $ 456 $ 280 $ 603 $ (28) $ (283)
----------- ----------- -------- -------- -----------
----------- ----------- -------- -------- -----------
<CAPTION>
----------------
SMALL CAP
GROWTH
----------------
10/1/93-
9/30/94
-----------
-----------
OPERATIONS:
Net investment income (loss) $ (1,298)
Net realized gain (loss) from security
transactions (15,251)
Net unrealized appreciation
(depreciation) on investments 17,438
-----------
Net increase (decrease) in net asssets
from operations 889
-----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A --
Class D --
Net realized gains:
Class A (9,736)
Class D --
-----------
Total dividends distributed (9,736)
-----------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 339,928
Shares issued in lieu of cash
distributions 6,020
Cost of shares repurchased (230,614)
-----------
Increase (decrease) in net assets
derived from Class A transactions 115,334
-----------
Class D:
Proceeds from shares issued 164
Shares issued in lieu of cash
distributions --
Cost of shares repurchased --
-----------
Increase (decrease) in net assets
derived from Class D transactions 164
-----------
Increase (decrease) in net assets
derived from capital share
transactions 115,498
-----------
Net increase (decrease) in net
assets 106,651
-----------
NET ASSETS:
Beginning of period 193,816
-----------
End of period $ 300,467
-----------
-----------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 24,230
Shares issued in lieu of cash
distributions 438
Shares repurchased (16,493)
-----------
Total Class A transactions 8,175
-----------
-----------
Class D:
Shares issued 12
Shares issued in lieu of cash
distributions --
Shares repurchased --
-----------
Total Class D transactions 12
-----------
-----------
Undistributed net investment income
(loss) $ (3)
-----------
-----------
</TABLE>
(1) Commencement of operations
The accompanying notes are an integral part of the financial statements.
54
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------
--------------- --------------- --------------- --------------- --------------- CORE
CAPITAL EQUITY CAPITAL FIXED
MID-CAP APPRECIATION INCOME BALANCED GROWTH INCOME
--------------- --------------- --------------- --------------- --------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/1/94- 10/1/93- 10/1/94- 10/1/93- 10/1/94- 10/1/93- 10/1/94- 10/1/93- 10/1/94- 10/1/93- 10/1/94-
9/30/95 9/30/94 9/30/95 9/30/94 9/30/95 9/30/94 9/30/95 9/30/94 9/30/95 9/30/94 9/30/95
------- ------- ------- ------- ------- ------- ------- ------- ------- ------- -------
$ 21 $ 30 $ 6,557 $ 11,708 $ 11,811 $ 14,351 $ 1,979 $ 1,045 $ 2,275 $ 2,538 $ 25,034
6,416 (7,299) 22,785 43,555 21,863 13,247 1,528 673 10,562 21,531 9,892
(3,370) (233) 33,283 (56,038) 25,307 (22,246) 6,199 (3,626) 10,875 (21,582) 23,651
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
3,067 (7,502) 62,625 (775) 58,981 5,352 9,706 (1,908) 23,712 2,487 58,577
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
-- (52) (7,592) (12,431) (12,234) (14,001) (1,951) (946) (2,254) (2,585) (24,852)
-- -- (12) (18) (41) (15) -- -- -- -- (7)
(28) (1,409) (38,179) (46,476) (12,863) (13,646) (568) (363) (16,475) (28,664) (63)
-- -- 97 (3) (31) (9) -- -- -- -- --
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
(28) (1,461) (45,880) (58,928) (25,169) (27,671) (2,519) (1,309) (18,729) (31,249) (24,922)
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
40,217 97,222 114,358 385,631 112,061 259,144 22,864 57,474 -- 2,700 287,210
15 715 26,031 31,762 11,371 12,935 2,383 1,146 13,103 23,045 10,246
(123,357) (38,642) (575,444) (405,290) (324,628) (169,497) (27,450) (23,730) (39,776) (67,022) (223,096)
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
(83,125) 59,295 (435,055) 12,103 (201,196) 102,582 (2,203) 34,890 (26,673) (41,277) 74,360
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
30 61 530 4,809 1,342 916 -- -- -- -- 151
-- -- 31 4 61 22 -- -- -- -- 3
-- -- (1,840) (2,678) (206) (47) -- -- -- -- --
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
30 61 (1,279) 2,135 1,197 891 -- -- -- -- 154
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
(83,095) 59,356 (436,334) 14,238 (199,999) 103,473 (2,203) 34,890 (26,673) (41,277) 74,514
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
(80,056) 50,393 (419,589) (45,465) (166,187) 81,154 4,984 31,673 (21,690) (70,039) 108,169
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
108,062 57,669 731,282 776,747 419,099 337,945 65,480 33,807 132,962 203,001 311,999
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
$ 28,006 $ 108,062 $ 311,693 $ 731,282 $ 252,912 $ 419,099 $ 70,464 $ 65,480 $ 111,272 $ 132,962 $ 420,168
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
3,757 8,534 7,758 24,234 7,800 18,318 1,979 4,826 -- 227 29,084
1 63 1,904 2,006 837 920 207 96 1,367 2,005 1,025
(11,538) (3,442) (39,064) (25,709) (22,794) (12,020) (2,346) (1,999) (3,668) (5,284) (22,285)
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
(7,780) 5,155 (29,402) 531 (14,157) 7,218 (160) 2,923 (2,301) (3,052) 7,824
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
3 5 35 316 91 65 -- -- -- -- 15
-- -- 2 -- 4 2 -- -- -- -- --
-- -- (128) (172) (15) (3) -- -- -- -- --
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
3 5 (91) 144 80 64 -- -- -- -- 15
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
$ 18 $ (3) $ 294 $ 1,341 $ 611 $ 1,075 $ 176 $ 148 $ 161 $ 140 $ 2,162
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
<CAPTION>
------------ ------------- ---------------
CORE FIXED HIGH YIELD
INCOME BOND BOND
------------ -------------- ---------------
10/1/93- 10/1/94- 10/1/93- 1/11/95(1)-
9/30/94 9/30/95 9/30/94 9/30/95
------- ------- ------- -------
------- ------- ------- -------------
$ 17,209 $ 5,526 $ 5,971 $ 971
(11,191) (6,522) 2,576 81
(23,150) 13,663 (18,567) 364
--------- --------- --------- ---------------
(17,132) 12,667 (10,020) 1,416
--------- --------- --------- ---------------
(16,555) (5,869) (5,734) (781)
(1) (7) (3) --
(3,124) (876) (5,659) --
-- (1) (1) --
--------- --------- --------- ---------------
(19,680) (6,753) (11,397) (781)
--------- --------- --------- ---------------
184,547 39,415 92,376 23,824
4,319 3,304 5,656 755
(135,897) (117,666) (40,460) (1,490)
--------- --------- --------- ---------------
52,969 (74,947) 47,572 23,089
--------- --------- --------- ---------------
44 32 154 --
-- 4 3 --
-- (31) (40) --
--------- --------- --------- ---------------
44 5 117 --
--------- --------- --------- ---------------
53,013 (74,942) 47,689 23,089
--------- --------- --------- ---------------
16,201 (69,028) 26,272 23,724
--------- --------- --------- ---------------
295,798 123,435 97,163 --
--------- --------- --------- ---------------
$ 311,999 $ 54,407 $ 123,435 $ 23,724
--------- --------- --------- ---------------
--------- --------- --------- ---------------
17,953 3,914 8,530 2,297
422 328 513 72
(13,274) (11,635) (4,585) (140)
--------- --------- --------- ---------------
5,101 (7,393) 4,458 2,229
--------- --------- --------- ---------------
--------- --------- --------- ---------------
5 3 15 --
-- -- -- --
-- (3) (4) --
--------- --------- --------- ---------------
5 -- 11 --
--------- --------- --------- ---------------
--------- --------- --------- ---------------
$ 1,987 $ 279 $ 629 $ 190
--------- --------- --------- ---------------
--------- --------- --------- ---------------
</TABLE>
55
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- For the periods ended September 30
<TABLE>
<CAPTION>
Net Realized Distributions
Net Asset Net and Dividends from Net Assets Ratio of
Value Investment Unrealized from Net Realized Net Asset End of Expenses
Beginning Income Gains (Losses) Investment Capital Value End Total Period to Average
of Period (Loss) on Securities Income Gains of Period Return (000) Net Assets
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------
LARGE CAP VALUE PORTFOLIO(A)
- --------------------------------
CLASS A
1995 $ 10.71 $ 0.33 $ 2.44 $ (0.33) $ (0.15) $ 13.00 26.83% $ 331,692 0.76%
1994 11.54 0.28 (0.46) (0.27) (0.38) 10.71 (1.64)% 133,178 0.75%
1993 12.49 0.31 0.22 (0.33) (1.15) 11.54 4.35% 205,157 0.75%
1992 12.05 0.34 0.71 (0.33) (0.28) 12.49 9.17% 242,065 0.75%
1991 9.30 0.35 2.92 (0.35) (0.17) 12.05 35.95% 187,876 0.75%
- -------------------------------
LARGE CAP GROWTH PORTFOLIO
- -------------------------------
1995 (9) $ 10.00 $ 0.11 $ 2.72 $ (0.08) $ -- $ 12.75 37.90% $ 297,377 0.85%
- -----------------------------
SMALL CAP VALUE PORTFOLIO
- -----------------------------
1995 (10) $ 10.00 $ 0.03 $ 2.19 $ (0.03) $ -- $ 12.19 29.38% $ 102,975 1.10%
- -------------------------------
SMALL CAP GROWTH PORTFOLIO
- -------------------------------
CLASS A
1995 $ 14.04 $ (0.14) $ 5.98 $ -- $ -- $ 19.88 41.65% $ 310,238 1.10%
1994 14.67 (0.05) 0.07 -- (0.65) 14.04 0.23% 300,296 1.01%
1993 10.65 (0.02) 4.05 (0.01) -- 14.67 37.81% 193,816 0.97%
1992(4) 10.00 0.02 0.65 (0.02) -- 10.65 15.07% 36,191 0.97%
CLASS D
1995 $ 13.99 $ (0.09) $ 5.88 $ -- $ -- $ 19.78 41.44%* $ 786 1.50%
1994(7) 14.04 (0.02) (0.03) -- -- 13.99 (3.02)%* 171 1.49%
- --------------------
MID CAP PORTFOLIO
- --------------------
CLASS A
1995 $ 10.89 $ 0.01 $ 2.14 $ -- $ -- $ 13.04 19.78% $ 27,898 0.94%
1994 12.10 0.01 (0.98) (0.01) (0.23) $ 10.89 (8.10)% 108,002 0.93%
1993(3) 10.00 0.01 2.10 (0.01) -- 12.10 34.06% 57,669 0.90%
CLASS D
1995 $ 10.87 $ (0.01) $ 2.10 $ -- $ -- $ 12.96 19.26%* $ 108 1.30%
1994(6) 11.19 (0.01) (0.31) -- -- 10.87 (8.63)%* 60 1.36%
- ----------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ----------------------------------
CLASS A
1995 $ 15.18 $ 0.22 $ 2.42 $ (0.23) $ (0.89) $ 16.70 19.03% $ 310,693 0.84%
1994 16.36 0.24 (0.22) (0.25) (0.95) 15.18 (0.11)% 729,100 0.79%
1993 15.09 0.32 1.68 (0.30) (0.43) 16.36 13.50% 776,745 0.75%
1992 14.15 0.30 1.23 (0.30) (0.29) 15.09 11.03% 536,028 0.75%
1991 11.21 0.41 3.06 (0.40) (0.13) 14.15 31.69% 248,440 0.75%
CLASS D
1995 $ 15.17 $ 0.12 $ 2.45 $ (0.16) $ (0.89) $ 16.69 18.52%* $ 1,000 1.24%
1994 16.36 0.18 (0.22) (0.20) (0.95) 15.17 (0.46)%* 2,182 1.24%
1993(2) 16.17 0.05 0.16 (0.02) -- 16.36 10.65%* 2 1.15%
- ---------------------------
EQUITY INCOME PORTFOLIO
- ---------------------------
CLASS A
1995 $ 14.06 $ 0.55 $ 2.48 $ (0.55) $ (0.47) $ 16.07 23.00% $ 250,609 0.82%
1994 15.00 0.51 (0.38) (0.50) (0.57) 14.06 1.05% 418,207 0.78%
1993 13.33 0.54 1.75 (0.51) (0.08) 15.00 17.34% 337,939 0.75%
1992 12.36 0.52 1.05 (0.52) (0.08) 13.33 13.03% 178,756 0.75%
1991 10.09 0.57 2.54 (0.60) (0.24) 12.36 32.05% 93,552 0.75%
CLASS D
1995 $ 14.04 $ 0.48 $ 2.50 $ (0.50) $ (0.47) $ 16.05 22.62%* $ 2,303 1.22%
1994 15.00 0.45 (0.38) (0.46) (0.57) 14.04 0.61%* 892 1.20%
1993(1) 14.82 0.02 0.16 -- -- 15.00 42.39%* 6 1.15%
<CAPTION>
Ratio of Net
Ratio of Net Ratio of Investment
Investment Expenses Income (Loss)
Income to Average to Average
(Loss) Net Assets Net Assets Portfolio
to Average (Excluding (Excluding Turnover
Net Assets Waivers) Waivers) Rate
- ------------------------------------------------------------------------------------------------------------------------------
- --------------------------------
LARGE CAP VALUE PORTFOLIO(A)
- --------------------------------
CLASS A
1995 2.92% 0.82% 2.86% 99%
1994 2.51% 0.75% 2.51% 67%
1993 2.64% 0.76% 2.63% 96%
1992 2.79% 0.80% 2.74% 17%
1991 3.11% 0.83% 3.03% 25%
- -------------------------------
LARGE CAP GROWTH PORTFOLIO
- -------------------------------
1995 (9) 1.15% 0.89% 1.11% 44%
- -----------------------------
SMALL CAP VALUE PORTFOLIO
- -----------------------------
1995 (10) 0.26% 1.12% 0.24% 64%
- -------------------------------
SMALL CAP GROWTH PORTFOLIO
- -------------------------------
CLASS A
1995 (0.60)% 1.13% (0.63)% 113%
1994 (0.51)% 1.11% (0.61)% 97%
1993 (0.25)% 1.14% (0.42)% 85%
1992(4) 0.49% 1.29% 0.17% 33%
CLASS D
1995 (1.03)% 1.55% (1.08)% 113%
1994(7) (0.92)% 1.52% (0.95)% 97%
- --------------------
MID CAP PORTFOLIO
- --------------------
CLASS A
1995 0.04% 1.09% (0.11)% 108%
1994 0.03% 1.06% (0.10)% 89%
1993(3) 0.26% 1.12% 0.04% 87%
CLASS D
1995 (0.06)% 1.48% (0.24)% 108%
1994(6) (0.41)% 1.45% (0.50)% 89%
- ----------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ----------------------------------
CLASS A
1995 1.39% 0.89% 1.34% 107%
1994 1.45% 0.84% 1.40% 109%
1993 2.06% 0.84% 1.97% 119%
1992 2.12% 0.88% 1.99% 84%
1991 3.10% 0.94% 2.91% 83%
CLASS D
1995 0.98% 1.29% 0.93% 107%
1994 1.20% 1.27% 1.16% 109%
1993(2) 2.54% 1.24% 2.45% 119%
- ---------------------------
EQUITY INCOME PORTFOLIO
- ---------------------------
CLASS A
1995 3.72% 0.88% 3.66% 47%
1994 3.68% 0.84% 3.62% 28%
1993 3.73% 0.85% 3.63% 39%
1992 4.15% 0.87% 4.03% 18%
1991 4.99% 0.86% 4.88% 42%
CLASS D
1995 3.21% 1.30% 3.13% 47%
1994 3.36% 1.35% 3.21% 28%
1993(1) 5.39% 1.46% 5.08% 39%
<CAPTION>
</TABLE>
56
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Realized Distributions
Net Asset and Dividends from Net Assets Ratio of
Value Net Unrealized from Net Realized Net Asset End of Expenses
Beginning Investment Gains (Losses) Investment Capital Value End Total Period to Average
of Period Income on Securities Income Gains of Period Return (000) Net Assets
- --------------------------------------------------------------------------------------------------------------------------
- -----------------------
BALANCED PORTFOLIO
- -----------------------
CLASS A
1995 $ 11.52 $ 0.34 $ 1.34 $ (0.34) $ (0.10) $ 12.76 15.05% $ 70,464 0.75%
1994 12.24 0.23 (0.62) (0.22) (0.11) 11.52 (3.25)% 65,480 0.75%
1993 11.35 0.25 1.29 (0.26) (0.39) 12.24 14.49% 33,807 0.75%
1992 10.70 0.52 0.73 (0.53) (0.07) 11.35 11.64% 5,974 0.75%
1991 9.77 0.65 0.96 (0.68) -- 10.70 15.96% 2,174 0.75%
- ----------------------------
CAPITAL GROWTH PORTFOLIO
- ----------------------------
1995 $ 11.55 $ 0.22 $ 2.05 $ (0.21) $ (1.53) $ 12.08 23.96% $ 111,272 0.00%
1994 13.94 0.20 (0.04) (0.20) (2.35) 11.55 1.51% 132,962 0.00%
1993 12.50 0.21 2.66 (0.21) (1.22) 13.94 24.40% 203,001 0.00%
1992 11.51 0.55 1.81 (0.57) (0.80) 12.50 18.87% 170,829 0.00%
1991 8.38 0.26 3.16 (0.25) (0.04) 11.51 43.00% 123,057 0.00%
- -----------------------------------
CORE FIXED INCOME PORTFOLIO(B)
- -----------------------------------
CLASS A
1995 $ 9.65 $ 0.65 $ 0.82 $ (0.66) $ -- $ 10.46 15.87% $ 419,959 0.55%
1994 10.87 0.56 (1.12) (0.55) (0.11) 9.65 (5.36)% 311,955 0.55%
1993 10.77 0.60 0.23 (0.60) (0.18) 10.87 8.58% 295,798 0.55%
1992 10.30 0.69 0.49 (0.69) (0.02) 10.77 11.91% 213,632 0.55%
1991 9.79 0.73 0.52 (0.74) -- 10.30 13.31% 153,356 0.55%
CLASS D
1995 $ 9.65 $ 0.62 $ 0.79 $ (0.62) $ -- $ 10.44 15.24%* $ 209 0.95%
1994 (8) 9.77 0.21 (0.15) (0.18) -- 9.65 3.29%* 44 0.92%
- ----------------
BOND PORTFOLIO
- ----------------
CLASS A
1995 $ 9.95 $ 0.70 $ 0.97 $ (0.69) $ (0.07) $ 10.86 17.53% $ 54,286 0.55%
1994 12.25 0.59 (1.62) (0.59) (0.68) 9.95 (9.12)% 123,329 0.55%
1993 11.09 0.66 1.19 (0.67) (0.02) 12.25 17.36% 97,163 0.55%
1992 10.47 0.73 0.62 (0.73) -- 11.09 13.52% 65,061 0.55%
1991 9.39 0.76 1.10 (0.77) (0.01) 10.47 20.56% 40,683 0.55%
CLASS D
1995 $ 9.94 $ 0.62 $ 1.00 $ (0.65) $ (0.07) $ 10.84 16.97%* $ 121 0.95%
1994 12.24 0.58 (1.64) (0.56) (0.68) 9.94 (9.37)%* 106 0.95%
1993(5) 12.07 0.07 0.15 (0.05) -- 12.24 14.75%* 2 0.95%
- -----------------------------
HIGH YIELD BOND PORTFOLIO
- -----------------------------
1995 (11) $ 10.00 $ 0.67 $ 0.55 $ (0.58) $ -- $ 10.64 17.72% $ 23,724 0.67%
<CAPTION>
Ratio of Net
Ratio of Investment
Ratio of Net Expenses Income
Investment to Average to Average
Income Net Assets Net Assets Portfolio
to Average (Excluding (Excluding Turnover
Net Assets Waivers) Waivers) Rate
- ------------------------------------------------------------------------------------------------------------------------------
- -----------------------
BALANCED PORTFOLIO
- -----------------------
CLASS A
1995 2.92% 0.90% 2.77% 159%
1994 2.05% 0.91% 1.89% 149%
1993 2.24% 0.94% 2.05% 109%
1992 4.83 1.12% 4.46% 101%
1991 5.68% 2.54% 3.89% 19%
- ----------------------------
CAPITAL GROWTH PORTFOLIO
- ----------------------------
1995 1.97% 0.56% 1.41% 40%
1994 1.61% 0.54% 1.07% 81%
1993 1.63% 0.54% 1.09% 120%
1992 1.78% 0.55% 1.23% 111%
1991 2.60% 0.59% 2.01% 135%
- -----------------------------------
CORE FIXED INCOME PORTFOLIO(B)
- -----------------------------------
CLASS A
1995 6.60% 0.68% 6.47% 294%
1994 5.57% 0.62% 5.50% 370%
1993 5.63% 0.66% 5.52% 35%
1992 6.71% 0.68% 6.58% 39%
1991 7.41% 0.73% 7.23% 44%
CLASS D
1995 6.17% 1.09% 6.03% 294%
1994 (8) 5.91% 1.00% 5.83% 370%
- ----------------
BOND PORTFOLIO
- ----------------
CLASS A
1995 6.46% 0.70% 6.31% 79%
1994 5.61% 0.67% 5.49% 73%
1993 5.87% 0.66% 5.76% 47%
1992 6.98% 0.71% 6.82% 24%
1991 7.77% 0.76% 7.56% 8%
CLASS D
1995 5.96% 1.10% 5.81% 79%
1994 5.38% 1.86% 4.47% 73%
1993(5) 4.66% 1.06% 4.55% 47%
- -----------------------------
HIGH YIELD BOND PORTFOLIO
- -----------------------------
1995 (11) 10.02% 0.86% 9.83% 56%
</TABLE>
1 Equity Income Class D shares were offered beginning September 22, 1993. All
ratios including total return for that period have been annualized.
2 Capital Appreciation Class D shares were offered beginning August 16, 1993.
All ratios including total return for that period have been annualized.
3 Mid-Cap Growth Class A shares were offered beginning February 16, 1993. All
ratios including total return for that period have been annualized.
4 Small Cap Growth Class A shares were offered beginning April 20, 1992. All
ratios including total return for that period have been annualized.
5 Bond Class D shares were offered beginning August 16, 1993. All ratios
including total return for that period have been annualized.
6 Mid-Cap Growth Class D shares were offered beginning May 2, 1994. All ratios
including total return for that period have been annualized.
7 Small Cap Growth Class D shares were offered May 2, 1994. All ratios
including total return for that period have been annualized.
8 Core Fixed Income Class D shares were offered beginning May 9, 1994. All
ratios including total return for that period have been annualized.
9 Large Cap Growth shares were offered beginning December 20, 1994. All ratios
including total return for that period have been annualized.
10 Small Cap Value shares were offered beginning December 20, 1994. All ratios
including total return for that period have been annualized.
11 High Yield Bond shares were offered beginning January 11, 1995. All ratios
including total return for that period have been annualized.
* Sales load is not reflected in total return.
(a) During the year ended September 30, 1995, the Value Portfolio changed its
name to the Large Cap Value Portfolio.
(b) During the year ended September 30, 1995, the Intermediate Bond Portfolio
changed its name to the Core Fixed Income Portfolio.
The accompanying notes are an integral part of the financial statements.
57
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
1. ORGANIZATION
SEI Institutional Managed Trust (the 'Trust') is organized as a Massachusetts
business trust under a Declaration of Trust dated October 20, 1986.
2. SIGNIFICANT ACCOUNTING POLICIES
The Trust is registered under the Investment Company Act of 1940, as amended, as
an open-end investment company with twelve diversified Portfolios and one
non-diversified portfolio (the 'Portfolios'): Large Cap Value, Large Cap Growth,
Small Cap Value, Small Cap Growth, Mid-Cap, Capital Appreciation, Equity Income,
Balanced, Capital Growth, Core Fixed Income, Bond, and High Yield Bond. The Real
Estate Securities Portfolio (the non-diversified portfolio) had not commenced
operations as of September 30, 1995. The Trust is registered to offer Class A,
Class B and Class D shares of the Large Cap Value, Large Cap Growth, Small Cap
Value, Small Cap Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced,
Core Fixed Income, Bond, and High Yield Bond Portfolios. The following is a
summary of the significant accounting policies followed by the Trust.
Security Valuation--Investments in equity securities which are traded on a
national securities exchange (or reported on NASDAQ national market system) are
stated at the last quoted sales price if readily available for such equity
securities on each business day; other equity securities traded in the
over-the-counter market and listed equity securities for which no sale was
reported on that date are stated at the last quoted bid price. Debt obligations
with remaining maturities in excess of sixty days are valued at the most
recently quoted bid price. Debt obligations with remaining maturities of sixty
days or less are valued at their amortized cost.
Federal Income Taxes--It is each Portfolio's intention to continue to
qualify as a regulated investment company for Federal income tax purposes and
distribute all of its taxable income (including net capital gains). Accordingly,
no provision for Federal income taxes is required.
Net Asset Value Per Share--Net asset value per share is calculated on a
daily basis by dividing the assets of each Portfolio less its liabilities by the
number of outstanding shares of the Portfolio.
Repurchase Agreements--Securities pledged as collateral for repurchase
agreements are held by each Portfolio's custodian bank until maturity of the
Repurchase Agreement. Provisions of the Agreement and procedures adopted by the
Manager and the Advisers of the Trust ensure that the market value of the
collateral, including accrued interest thereon, is sufficient in the event of
default by the counterparty. The Portfolios 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
maturity of the repurchase agreement. Provisions of the agreements ensure that
the market value of the collateral, including accrued interest thereon, is
sufficient in the event of default. 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 Portfolios may be delayed or
limited.
Discount and Premium Amortization--All amortization is calculated using the
effective interest method over the holding period of the security. Amortization
of premiums and discounts is included in interest income.
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 classes on the basis of relative daily net assets.
Distributions--Distributions from net investment income are paid to
Shareholders monthly for the Large Cap Value, Capital Appreciation, Equity
Income, Balanced, Capital Growth, Core Fixed Income, Bond, and High Yield Bond
Portfolios and quarterly for the Large Cap Growth, Small Cap Value, Small Cap
Growth, and Mid-Cap Portfolios. Any net realized capital gains on the sales of
securities by a Portfolio are distributed annually to the Shareholders of that
Portfolio.
58
<PAGE>
- --------------------------------------------------------------------------------
Effective October 1, 1993, the Fund adopted Statement of Position 93-2
'Determination, Disclosure, and Financial Statement Presentation of Income,
Capital Gain, and Return of Capital Distribution by Investment Companies.' In
connection therewith $1,433,000 relating to permanent differences attributable
to cumulative net operating losses of the Small Cap Growth Portfolio as of
September 30, 1995 have been reclassified from that portfolio's accumulated net
investment loss to paid-in-capital.
Futures Contracts--The Large Cap Growth and Large Cap Value Portfolios
utilized S&P futures contracts and the Core Fixed Income Portfolio utilized U.S.
Long Bond futures contracts to a limited extent during the year ended September
30, 1995. The Large Cap Growth and Large Cap Value Portfolio's investment in S&P
500 Index futures contracts is designed to enable the Portfolios' to more
closely approximate the performance of their benchmark indices. The Core Fixed
Income Portfolio's use of futures contracts is primarily for tactical hedging
purposes. 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 losses or gains are incurred. When the contract is closed, the
Portfolio 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 related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform.
Structured Notes and Indexed Notes--The Core Fixed Income Portfolio may
invest in structured notes and indexed notes whose values are linked either
directly or inversely to changes in foreign currency exchange rates, interest
rates, indexes, or other reference instruments. The values of these instruments
may be more volatile than the rates, indexes or instruments to which they refer,
but any loss is limited to the amount of the original investment.
Other--Security transactions are recorded on the trade date of the security
purchase or sale. Cost used in determining net realized capital gains and losses
on the sale of securities are those of the specific securities sold. Dividend
income is recognized on the ex-dividend date, and interest income is recognized
using the accrual basis of accounting.
3. MANAGEMENT, INVESTMENT ADVISORY, AND DISTRIBUTION AGREEMENTS
The Trust and SEI Financial Management Corporation ('SFM') (the 'Manager'), a
wholly-owned subsidiary of SEI Corporation, are parties to a management
agreement (the 'Agreement') dated January 22, 1987. Under this agreement, the
Manager provides management, administrative, and shareholder servicing for an
annual fee of .35% of the average daily net assets of the Large Cap Value, Large
Cap Growth, Small Cap Value, High Yield Bond, Small Cap Growth, Mid-Cap, Capital
Appreciation, Equity Income, and Balanced Portfolios; .50% of the average daily
net assets of the Capital Growth Portfolio; .43% of the average daily net assets
of the Core Fixed Income Portfolio; and .28% of the average daily net assets of
the Bond Portfolio. The Manager has agreed to waive a portion of its fee so that
the total annual expenses of each Portfolio will not exceed the lower of the
maximum limitations established by certain states or voluntary expense
limitations adopted by the Manager. In the event that the total annual expenses
of a Portfolio, after reflecting a waiver of all fees by the Manager, exceed the
specific limitation, the Manager has agreed to bear such excess.
As of December 16, 1994, SFM serves as the investment advisor to the Large
Cap Value, Large Cap Growth, Small Cap Value and High Yield Bond Portfolios
pursuant to an investment advisory agreement with the Trust. For its services,
SFM receives a fee of .35% of the average daily net
59
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
assets of the Large Cap Value Portfolio, .40% of the average daily net assets of
the Large Cap Growth Portfolio, .65% of the average daily net assets of the
Small Cap Value Portfolio, and .4875% of the average daily net assets of the
High Yield Bond Portfolio. For the year ended September 30, 1995, SFM received
$593,000, $507,000, $300,000, and $31,000 as compensation for its services as
investment adviser to the Large Cap Value, Large Cap Growth, Small Cap Value and
High Yield Bond Portfolios, respectively.
As of July 10, 1995, SFM serves as the investment advisor to the Balanced,
Capital Appreciation, Equity Income and Bond Portfolios pursuant to an
investment advisory agreement with the Trust. For its services, SFM receives a
fee of .40% of the average daily net assets of the Balanced, Capital
Appreciation, and Equity Income Portfolios and .275% of the average daily net
assets of the Bond Portfolio. For the year ended September 30, 1995, SFM
received $63,000, $292,000, $273,000 and $37,000 as compensation for its
services as investment adviser to the Balanced, Capital Appreciation, Equity
Income, and Bond Portfolios, respectively.
As of August 11, 1995 and August 14, 1995, SFM serves as the investment
advisor to the Small Cap Growth and Mid-Cap Portfolios, respectively, pursuant
to an investment advisory agreement with the Trust. For its services, SFM
receives a fee of .65% of the average daily net assets of the Small Cap Growth
Portfolio and .40% of the average daily net assets of the Mid-Cap Portfolio. For
the year ended September 30, 1995, SFM received $269,000 and $14,000 as
compensation for its services as investment adviser to the Small Cap and Mid-Cap
Portfolios, respectively.
Mellon Equity Associates ('Mellon') serves as an investment sub-advisor to
a portion of the assets of the Large Cap Value Portfolio, and is party to an
investment sub-advisory agreement with the Trust dated December 16, 1994. Under
the investment sub-advisory agreement with the Trust and SFM, Mellon receives an
annual fee, paid by SFM, of .20% of the average monthly market value of
investments under its management. Prior to December 16, 1994, Mellon served as
the investment advisor of the Large Cap Value Portfolio, and was party to an
investment advisory agreement with the Trust dated October 3, 1994. Under the
investment advisory agreement, Mellon was paid a fee at the annual rate of .20%
of the average daily net assets of the Portfolio. Prior to October 3, 1994 Duff
& Phelps Investment Management Company ('Duff & Phelps') served as the
investment advisor of the Large Cap Value Portfolio, and was party to an
investment advisory agreement with the Trust dated October 22, 1992. Under the
investment advisory agreement, Duff & Phelps was paid a fee at the annual rate
of .20% of the average daily net assets of the Portfolio. For the year ended
September 30, 1995, Duff & Phelps and Mellon received $2,000 and $37,000,
respectively as compensation for their services as investment advisor to the
Portfolio.
Merus Capital Management ('Merus') serves as an investment sub-advisor to a
portion of the assets of the Large Cap Value Portfolio, and is party to an
investment sub-advisory agreement with the Trust and SFM dated December 16,
1994. Under the investment sub-advisory agreement, Merus receives an annual fee,
paid by SFM, of .20% of the average monthly market value of investments under
its management
Merus Capital Management ('Merus') serves as investment sub-adviser to the
Equity Income Portfolio and is party to an investment sub-advisory agreement
with the Trust and SFM dated July 10, 1995. Prior to July 10, 1995, Merus served
as investment adviser of the Equity Income Portfolio, and was party to an
investment advisory agreement with the Trust dated September 27, 1987. Under the
agreement, Merus received an annual fee of .25% of the average daily net assets
of the Equity Income Portfolio. For the year ended September 30, 1995, Merus
received $647,000 as compensation for its services as investment adviser to the
Portfolio.
LSV Capital Management ('LSV') serves as an investment sub-advisor to a
portion of the assets of the Large Cap Value Portfolio, and is party to an
investment sub-advisory agreement with the Trust and SFM dated March 10, 1995.
Under the investment sub-advisory agreement, LSV receives
60
<PAGE>
- --------------------------------------------------------------------------------
an annual fee, paid by SFM, of .20% of the average monthly market value of
investments under its management.
lDS Advisory Group Inc. serves as an investment sub-advisor to a portion of
the assets of the Large Cap Growth Portfolio, and is party to an investment
sub-advisory agreement with the Trust and SFM dated December 16, 1994. Under the
investment sub-advisory agreement, IDS Advisory Group Inc. is entitled to an
annual fee of the greater of $125,000 or a fee paid monthly by SFM at an annual
rate of .25% of the average monthly market value of investments under its
management.
Alliance Capital Management L.P. ('Alliance') serves as an investment
sub-advisor to a portion of the assets of the Large Cap Growth Portfolio, and is
party to an investment sub-advisory agreement with the Trust and SFM dated
December 16, 1994. Under the investment sub-advisory agreement, Alliance is
entitled to an annual fee of the greater of $125,000 or a fee paid monthly by
SFM at an annual rate of .25% of the average monthly market value of investments
under its management.
1838 Investment Advisors, L.P. ('1838') serves as an investment sub-advisor
for the Small Cap Value Portfolio, and is party to an investment sub-advisory
agreement with the Trust and SFM dated December 16, 1994. Under the investment
sub-advisory agreement, 1838 receives an annual fee of .50% of the average
monthly market value of investments under its management.
Investment Advisers, Inc, Nicholas-Applegate Capital Management, Pilgrim
Baxter & Associates, Wall Street Associates, and Apodaca-Johnston serve as
investment sub-advisers of the Small Cap Growth Portfolio and are parties to
investment sub-advisory agreements with the Trust and SFM dated August 14, 1995.
Prior to August 14, 1995, Investment Advisers, Inc, Nicholas-Applegate Capital
Management, and Pilgrim Baxter & Associates served as investment advisers of the
Small Cap Growth Portfolio, and were parties to investment advisory agreements
with the Trust dated July 1, 1993. Under the agreements, the advisers received
an annual fee of .50% of the average daily net assets of the portion of the
Portfolio that they advised. For the year ended September 30, 1995, Investment
Advisers, Inc, Nicholas-Applegate Capital Management, and Pilgrim Baxter &
Associates, received $404,000, $406,000, and $414,000, respectively, as
compensation for their services as investment advisers to the Portfolio.
Martingale Asset Management serves as investment sub-adviser to the Mid-Cap
Portfolio and is party to an investment sub-advisory agreement with the Trust
and SFM dated August 14, 1995. Prior to August 14, 1995, Nicholas-Applegate
Capital Management served as investment adviser of the Mid-Cap Portfolio, and
was party to an investment advisory agreement with the Trust dated November 16,
1992. Under the agreement, the adviser received an annual fee of .45% of the
first $100,000,000 of the Portfolio's average daily net assets and .40% of the
average daily net assets in excess of $100,000,000. For the year ended September
30, 1995, Nicholas-Applegate Capital Management received $221,000 as
compensation for its services as investment adviser to the Portfolio.
SunBank Capital Management, N.A. ('SunBank') serves as investment
sub-adviser of the Capital Appreciation and Balanced Portfolios and is party to
an investment sub-advisory agreement with the Trust and SFM dated July 10, 1995.
Prior to July 11, 1995, SunBank served as investment adviser of the Capital
Appreciation and Balanced Portfolios and was party to an investment advisory
agreement with the Trust dated September 9, 1987 for the Capital Appreciation
Portfolio and September 6, 1992 for the Balanced Portfolio. Under the agreement,
the adviser received an annual fee of .25% of the average daily net assets of
the Portfolios. For the year ended September 30, 1995, SunBank received $999,000
and $130,000 for the Capital Appreciation and Balanced Portfolios, respectively,
as compensation for its services as investment adviser. SunBank is the adviser
of the Capital Growth Portfolio and is party to an investment advisory agreement
with the Trust dated September 9, 1987. SunBank is not paid a fee by the Trust
for the investment advisory
61
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995
services connected with the Capital Growth Portfolio.
Boatmen's Trust Company serves as investment sub-adviser to the Bond
Portfolio and is party to an investment sub-advisory agreement with the Trust
and SFM dated July 10, 1995. Prior to July 10, 1995, Boatmen's Trust Company
served as investment adviser of the Bond Portfolio, and was party to an
investment advisory agreement with the Trust dated December 29, 1988. Under the
agreement, the adviser received an annual fee of .125% of the average daily net
assets of the Bond Portfolio. For the year ended September 30, 1995, Boatmen's
Trust Company received $90,000 as compensation for its services as investment
adviser to the Portfolio.
Western Asset Management, the adviser of the Core Fixed Income Portfolio is
party to an investment advisory agreement dated January 19, 1994. Under the
investment advisory agreement, Western Asset Management receives an annual fee
of .125% of the average daily net assets of the Portfolio.
BEA Associates ('BEA') serves as investment sub-adviser to the High Yield
Bond Portfolio and is party to an investment sub-advisory agreement with the
Trust dated August 11, 1995. Under the investment sub-advisory agreement, BEA is
entitled to a fee paid monthly by SFM of .3375% of the average monthly market
value of investments under its management. Prior to August 11, 1995 BEA
Associates acted as investment sub-adviser to the Portfolio under an agreement
with SFM pursuant to which BEA received no compensation. Prior to April 24,
1995, CS First Boston Investment Management Corporation ('CS First Boston')
acted as investment sub-advisor to the High Yield Bond Portfolio under an
agreement with the Trust dated December 16, 1994. Under this agreement CS First
Boston was entitled to a fee paid monthly by SFM of .3375% of the average
monthly market value of investments under its management.
SEI Financial Services Company ('the Distributor'), a wholly-owned
subsidiary of SEI Corporation and a registered broker-dealer, acts as the
distributor of the shares of the Trust under distribution plans which provide
for the Trust to reimburse the Distributor for certain distribution-related
expenses incurred by the Distributor. Such expenses may not exceed .30% of the
average daily net assets of a Portfolio, provided these expenses are permissible
as to both type and amount under a budget approved and monitored by the Board of
Trustees.
In addition to providing for the reimbursement payments described above,
the Class B and Class D distribution plans provide for additional payments to
the Distributor. This additional payment may be used to compensate financial
institutions that provide distribution-related services to their customers.
Distribution-related expenses for the Class B and Class D shares of the
Portfolios may not exceed .60%.
The Distribution Agreement between the Distributor and the Trust provides
that the Distributor may receive compensation on portfolio transactions effected
for the Trust in accordance with the rules of the Securities and Exchange
Commission ('SEC'). Accordingly, it is expected that portfolio transactions may
result in brokerage commissions being paid to the Distributor. The SEC rules
require that such commissions not exceed usual and customary commissions.
4. ORGANIZATIONAL COSTS AND TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized by the Fund and are being amortized
over sixty months commencing with operations. In the event any of the initial
shares are redeemed by any holder thereof during the period that the Fund is
amortizing its organizational costs, the redemption proceeds payable to the
holder thereof by the Fund will be reduced by the unamortized organizational
costs in the same ratio as the number of initial shares outstanding at the time
of the redemption.
Certain officers and/or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated Trustees of the Trust is paid by the Manager.
Each of the Portfolios also used the Distributor as an agent in placing
repurchase agreements. For
62
<PAGE>
- --------------------------------------------------------------------------------
this service the Distributor retains a portion of the interest earned as a
commission. Such commissions for repurchase agreements placed during the year
ended September 30, 1995 were nominal in the aggregate.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities
including US Government securities, other than temporary cash investments during
the period ended September 30, 1995, were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
(000) (000)
----------- ---------
<S> <C> <C>
Large Cap Value $ 345,346 $ 192,124
Large Cap Growth 318,055 70,314
Small Cap Value 123,603 35,691
Small Cap Growth 307,783 399,622
Mid Cap 57,084 138,545
Capital Appreciation 481,210 918,980
Equity Income 141,928 343,717
Balanced 102,095 100,354
Capital Growth 41,026 88,495
Core Fixed Income 1,052,129 986,329
Bond 57,324 132,264
High Yield Bond 29,151 7,241
</TABLE>
On September 30, 1995, the total cost of securities and the net realized
gains or losses on securities sold for Federal income tax purposes was not
materially different from amounts reported for financial reporting purposes. The
aggregate gross unrealized appreciation and depreciation on securities at
September 30, 1995 is as follows:
<TABLE>
<CAPTION>
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
----------- ----------- -----------
<S> <C> <C> <C>
Large Cap Value $ 45,561 $ 2,072 $ 43,489
Large Cap Growth 37,745 4,214 33,531
Small Cap Value 13,584 2,720 10,864
Small Cap Growth 92,372 3,840 88,532
Mid Cap 2,920 567 2,353
Capital
Appreciation 39,830 7,913 31,917
Equity Income 39,716 832 38,884
Balanced 5,148 698 4,450
Capital Growth 18,626 3,324 15,302
Core Fixed Income 14,930 985 13,945
Bond 3,309 1 3,308
High Yield Bond 650 286 364
</TABLE>
The market values of the Core Fixed Income, Bond and High Yield Bond
Portfolios' 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.
At September 30, 1995 the following Portfolios had available realized
capital losses to offset future net capital gains through fiscal year ended
2004.
<TABLE>
<CAPTION>
(000)
---------
<S> <C>
Mid-Cap $ 944
Core Fixed Income 1,299
</TABLE>
6. FUTURES CONTRACTS:
The Core Fixed Income Portfolio had the following bond futures contracts open as
of September 30, 1995:
<TABLE>
<CAPTION>
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT (LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- ------------ --------------- --------- ---------- -----------
<S> <C> <C> <C> <C>
US 10 Year 227 $ 149.94 Dec. 1995 $ (82)
Note (CBT)
US 10 Year 91 100.33 Dec. 1995 (63)
Note (CBT)
-----------
$ (145)
-----------
-----------
</TABLE>
Futures contracts open as of September 30, 1995 are as follows:
Large Cap Growth
<TABLE>
<CAPTION>
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN
DESCRIPTION CONTRACTS PRICE MONTH (000)
- ------------ --------------- --------- ---------- -------------
<S> <C> <C> <C> <C>
S & P 500 3 $ 585.10 Dec. 1995 $ 5
S & P 500 1 582.70 Dec. 1995 3
S & P 500 3 587.40 Dec. 1995 1
S & P 500 1 586.50 Dec. 1995 1
S & P 500 1 587.70 Dec. 1995 0
---
$ 10
---
---
</TABLE>
Large Cap Value
<TABLE>
<S> <C> <C> <C> <C>
S & P 500 2 $ 578.78 Dec. 1995 $ 9
S & P 500 3 582.73 Dec. 1995 8
S & P 500 1 581.33 Dec. 1995 4
S & P 500 3 586.33 Dec. 1995 3
S & P 500 3 587.53 Dec. 1995 1
---
$ 25
---
---
</TABLE>
63
<PAGE>
- --------------------------------------------------------------------------------
SHAREHOLDER VOTING RESULTS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995 (Unaudited)
DECEMBER 16, 1994
There was a special meeting of shareholders scheduled and held on December
16, 1994 at which shareholders of the Large Cap Growth Portfolio ('Portfolio')
voted on a series of proposals relating to the investment advisory structure of
the Portfolio. Each proposal and the results of the shareholder meeting are set
forth below.
I. Proposal to approve the selection of SEI Financial Management
Corporation ('SFM') as the Investment Adviser for the Portfolio and approval of
the adoption on the Investment Advisory Agreement between the Trust, on behalf
of the Portfolio, and SFM.
<TABLE>
<S> <C>
For 6,090,581.358
Against 28,647.358
Abstain 41,341.000
</TABLE>
II. Proposal to approve the selection of Mellon Equity Associates ('MEA')
as an Investment Sub-Adviser for the Portfolio, and approval of the adoption of
the Investment Sub-Advisory Agreement between MEA and SFM, on behalf of the
Portfolio.
<TABLE>
<S> <C>
For 6,069,929.716
Against 49,757.000
Abstain 40,883.000
</TABLE>
III. Proposal to approve the selection of Merus Capital Management ('MCM')
as an Investment Sub-Adviser for the Portfolio, and approval of the adoption of
the Investment Sub-Advisory Agreement between MCM and SFM, on behalf of the
Portfolio.
<TABLE>
<S> <C>
For 6,071,152.716
Against 47,998.000
Abstain 41,419.000
</TABLE>
VI. Proposal to authorize the Board of Trustees to appoint Investment
Sub-Advisers for the Portfolio without seeking approval by the Portfolio's
shareholders of the contracts pursuant to which such sub-advisers serve.
<TABLE>
<S> <C>
For 5,911,396.357
Against 198,186.359
Abstain 50,987.000
</TABLE>
MARCH 10, 1995
There was a special meeting of shareholders scheduled and held on March 10,
1995 at which shareholders of the Large Cap Value Portfolio ('Portfolio') voted
on a series of proposals relating to the investment advisory structure of the
Portfolio. Each proposal and the results of the shareholder meeting are set
forth below.
I. Proposal to approve the selection of LSV Asset Management as an
Investment Sub-Adviser for the Portfolio and approval of the adoption of the
Investment Sub-Advisory Agreement between the Trust, on behalf of the Portfolio,
and LSV Asset Management.
<TABLE>
<S> <C>
For 8,080,158.607
Against 51,233.000
Abstain 69,831.000
</TABLE>
APRIL 24, 1995
There was a special meeting of shareholders scheduled and held on April 24,
1995 at which shareholders of the Small Cap Growth Portfolio ('Portfolio') voted
on a series of proposals relating to the investment advisory structure of the
Portfolio. Each proposal and the results of the shareholder meeting are set
forth below.
I. Proposal to approve a new investment advisory agreement between the
Trust, on behalf of the Portfolio, and PB Newco, Inc., a Delaware corporation
('PB Newco') and a wholly-owned subsidiary of United Asset Management
Corporation ('UAM'), pursuant to which PB Newco will act as adviser with respect
to the assets of the Portfolio, effective upon the acquisition of substantially
all of the assets of Pilgrim Baxter & Associates, Ltd. ('Pilgrim Baxter'), the
existing adviser, by UAM.
<TABLE>
<S> <C>
For 12,153,620.98
Against 35,061.13
Abstain 328,962.44
</TABLE>
64
<PAGE>
- --------------------------------------------------------------------------------
JUNE 16, 1995
There was a special meeting of shareholders scheduled for June 16, 1995 at which
shareholders of the Large Cap Value, Large Cap Growth, Capital Growth, Capital
Appreciation, Equity Income, Balanced, Real Estate Securities, and Bond
Portfolios (each a 'Portfolio,' and together, the 'Portfolios') voted on a
series of proposals. The meeting was adjourned until July 10, 1995 with respect
to all portfolios except the Large Cap Growth Portfolio. With respect to the
Large Cap Growth Portfolio, the meeting was adjourned until August 15, 1995. The
Real Estate Securities Portfolio approved proposals I-XXII via a unanimous
consent of the sole shareholder dated July 10, 1995. Each proposal and the
results of the shareholder meeting are set forth below.
I. Proposal to combine each portfolio's fundamental limitation concerning
diversification with each Portfolio's fundamental limitation concerning the
acquisition of more than 10% of the outstanding voting securities of any one
issuer, and to amend certain other language.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 9,489,089.00 9,395,813.00 15,728,738.00 15,689,393.00 2,666,374.00 4,086,723.00 6,838,289.00
Against 209,042.00 0.00 2,336,235.00 277,313.00 288,679.00 68,521.00 248,645.00
Abstain 81,632.00 0.00 150,226.00 69,407.00 62,690.00 16,288.00 118,002.00
</TABLE>
II. Proposal to amend each Portfolio's fundamental limitation concerning
borrowing.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 8,563,902.00 9,395,813.00 17,098,488.00 14,919,598.00 2,649,869.00 3,848,440.00 6,454,975.00
Against 1,134,964.00 0.00 965,839.00 1,047,995.00 305,183.00 305,991.00 629,496.00
Abstain 80,897.00 0.00 138,532.00 68,517.00 62,690.00 17,102.00 120,463.00
</TABLE>
III. Proposal to amend each Portfolio's fundamental limitation concerning
making loans.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 8,517,146.00 9,395,813.00 15,107,913.00 14,840,041.00 2,623,016.00 3,836,392.00 6,462,881.00
Against 1,167,369.00 0.00 2,954,326.00 1,126,440.00 332,036.00 306,411.00 623,782.00
Abstain 95,248.00 0.00 152,991.00 69,630.00 62,690.00 28,730.00 118,272.00
</TABLE>
IV: Proposal to reclassify each Portfolio's fundamental limitation
concerning pledging assets as non-fundamental, and to amend certain language.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 8,905,672.00 9,395,813.00 15,071,676.00 14,948,974.00 2,623,016.00 3,952,372.00 6,875,821.00
Against 751,903.00 0.00 2,990,828.00 1,009,267.00 332,036.00 189,616.00 196,680.00
Abstain 122,190.00 0.00 152,730.00 77,871.00 62,690.00 29,544.00 132,434.00
</TABLE>
V. Proposal to reclassify each Portfolio's fundamental limitation
concerning investment in securities for the purpose of exercising control as
non-fundamental.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 8,903,764.00 9,395,813.00 17,169,042.00 15,093,763.00 2,655,869.00 3,944,420.00 6,871,980.00
Against 762,351.00 0.00 820,080.00 865,616.00 305,183.00 198,380.00 212,371.00
Abstain 113,648.00 0.00 179,279.00 76,733.00 62,690.00 28,732.00 120,584.00
</TABLE>
65
<PAGE>
SHAREHOLDER VOTING RESULTS (Continued)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995 (Unaudited)
VI. Proposal to amend each Portfolio's fundamental limitation concerning
investment in real estate and commodities.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 9,410,416.00 9,395,813.00 15,319,723.00 15,538,675.00 2,649,869.00 3,948,898.00 6,707,056.00
Against 231,993.00 0.00 2,703,429.00 377,507.00 305,183.00 205,554.00 360,962.00
Abstain 137,354.00 0.00 192,077.00 119,930.00 62,690.00 17,080.00 136,920.00
</TABLE>
VII. Proposal to reclassify each Portfolio's fundamental limitation
concerning short sales and margin sales as non-fundamental, and to amend certain
language.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 9,320,666.00 9,395,813.00 15,168,083.00 14,863,776.00 2,625,940.00 3,934,293.00 6,859,018.00
Against 323,718.00 0.00 2,865,058.00 1,050,780.00 329,162.00 220,138.00 207,423.00
Abstain 125,723.00 0.00 182,089.00 121,545.00 62,690.00 17,080.00 138,493.00
</TABLE>
VIII. Proposal to reclassify each Portfolio's fundamental limitation
concerning investment in securities of investment companies as non-fundamental,
and to amend certain language.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 9,521,652.00 9,395,813.00 17,506,993.00 15,076,943.00 2,625,940.00 3,941,679.00 6,909,743.00
Against 151,562.00 0.00 525,952.00 865,291.00 329,162.00 212,543.00 184,957.00
Abstain 106,549.00 0.00 182,403.00 93,978.00 62,690.00 17,311.00 110,234.00
</TABLE>
IX. Proposal to amend each Portfolio's fundamental limitation concerning
the issuance of senior securities.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 8,965,684.00 9,395,813.00 15,603,146.00 15,144,778.00 2,625,940.00 3,961,583.00 6,869,018.00
Against 724,630.00 0.00 2,457,555.00 822,817.00 329,112.00 192,660.00 223,838.00
Abstain 89,447.00 0.00 154,530.00 68,517.00 62,690.00 17,290.00 112,079.00
</TABLE>
X. Proposal to reclassify each Portfolio's fundamental limitation
concerning investment in securities of an issuer whose securities are owned by
officers and trustees of the Trust as non-fundamental.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 8,913,733.00 9,395,813.00 17,236,484.00 14,931,831.00 2,625,940.00 3,948,295.00 6,863,153.00
Against 730,855.00 0.00 794,915.00 1,018,501.00 329,162.00 193,374.00 229,770.00
Abstain 108,372.00 0.00 183,631.00 85,779.00 62,690.00 29,058.00 112,011.00
</TABLE>
66
<PAGE>
- --------------------------------------------------------------------------------
XI. Proposal to reclassify each Portfolio's fundamental limitation
concerning investment of more than 5% of its total assets in securities of
companies with less than three years of operating history as non-fundamental.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 9,438,089.00 9,395,813.00 15,452,363.00 15,644,675.00 2,625,940.00 3,952,188.00 6,859,744.00
Against 218,098.00 0.00 2,576,514.00 319,048.00 329,112.00 189,591.00 210,776.00
Abstain 123,576.00 0.00 185,954.00 72,378.00 62,690.00 29,753.00 134,414.00
</TABLE>
XII. Proposal to eliminate each Portfolio's fundamental limitation
concerning investment in warrants, puts, calls, straddles, spreads or
combinations thereof.
<TABLE>
<CAPTION>
LARGE CAP CAPITAL CAPITAL EQUITY LARGE CAP
VALUE GROWTH APPRECIATION INCOME BALANCED BOND GROWTH
------------- ------------- -------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
For 9,368,562.00 9,395,813.00 15,277,809.90 15,103,942.00 2,625,940.00 3,942,073.00 5,869,643.00
Against 294,833.00 0.00 2,763,713.00 829,081.00 329,112.00 212,149.00 1,186,627.00
Abstain 118,321.00 0.00 173,718.00 103,089.00 62,690.00 17,311.00 148,666.00
</TABLE>
XIII. Proposal to eliminate the Bond Portfolio's fundamental limitation
concerning investment in convertible securities.
<TABLE>
<CAPTION>
BOND
-------------
<S> <C>
For 3,952,394.00
Against 201,827.00
Abstain 17,311.00
</TABLE>
XIV. Proposal to eliminate the Bond Portfolio's fundamental limitation
concerning investment solely in securities listed as 'appropriate investments.'
<TABLE>
<CAPTION>
BOND
-------------
<S> <C>
For 3,938,186.00
Against 203,570.00
Abstain 29,775.00
</TABLE>
XV. Authorization for the Board of Trustees to appoint Investment
Sub-Advisers for the Capital Appreciation Portfolio of the Trust without seeking
approval by the Portfolio's Shareholders of the contracts pursuant to which
sub-advisers serve.
<TABLE>
<CAPTION>
CAPITAL
APPRECIATION
--------------
<S> <C>
For 15,551,630.00
Against 2,483,814.00
Abstain 179,788.00
</TABLE>
XVI. Authorization for the Board of Trustees to appoint Investment
Sub-Advisers for the Equity Income Portfolio of the Trust without seeking
approval by the Portfolio's Shareholders of the contracts pursuant to which such
sub-advisers serve.
<TABLE>
<CAPTION>
EQUITY
INCOME
--------------
<S> <C>
For 15,220,501.00
Against 743,857.00
Abstain 71,754.00
</TABLE>
XVII. Authorization for the Board of Trustees to appoint Investment
Sub-Advisers for the Balanced Portfolio of the Trust without seeking approval by
the Portfolio's Shareholders of the contracts pursuant to which such
Sub-Advisers serve.
<TABLE>
<CAPTION>
<S> <C>
BALANCED
-------------
<S> <C>
For 2,655,045.00
Against 300,008.00
Abstain 62,690.00
</TABLE>
XVIII. Authorization for the Board of Trustees to appoint Investment
Sub-Advisers for the Bond Portfolio of the Trust without seeking approval by the
Portfolio's Shareholders of the contracts pursuant to which such Sub-Advisers
serve.
<TABLE>
<CAPTION>
BOND
-------------
<S> <C>
For 3,964,640.00
Against 189,582.00
Abstain 17,311.00
</TABLE>
67
<PAGE>
SHAREHOLDER VOTING RESULTS (Continued)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995 (Unaudited)
XIX. Approval of the Investment Adviser and the Investment Advisory
Agreement for the Capital Appreciation Portfolio of the Trust.
<TABLE>
<CAPTION>
CAPITAL
APPRECIATION
--------------
<S> <C>
For 15,829,021.00
Against 2,079,742.00
Abstain 305,868.00
</TABLE>
XX. Approval of the Investment Adviser and the Investment Advisory
Agreement for the Equity Income Portfolio of the Trust.
<TABLE>
<CAPTION>
EQUITY
INCOME
--------------
<S> <C>
For 15,748,415.00
Against 83,064.00
Abstain 204,633.00
</TABLE>
XXI. Approval of the Investment Adviser and the Investment Advisory
Agreement for the Balanced Portfolio of the Trust.
<TABLE>
<CAPTION>
BALANCED
-------------
<S> <C>
For 2,955,053.00
Against 0.00
Abstain 62,690.00
</TABLE>
XXII. Approval of the Investment Adviser and the Investment Advisory
Agreement for the Bond Portfolio of the Trust.
<TABLE>
<CAPTION>
BOND
-------------
<S> <C>
For 4,091,229.00
Against 62,993.00
Abstain 17,311.00
</TABLE>
XXIII. Approval of an Investment Sub-Adviser and the Investment
Sub-Advisory Agreement for Capital Appreciation Portfolio.
<TABLE>
<CAPTION>
CAPITAL
APPRECIATION
--------------
<S> <C>
For 17,761,353.00
Against 182,255.00
Abstain 271,623.00
</TABLE>
XXIV. Approval of an Investment Sub-Adviser and the Investment Sub-Advisory
Agreement for the Equity Income Portfolio.
<TABLE>
<CAPTION>
EQUITY
INCOME
--------------
<S> <C>
For 15,759,829.00
Against 80,239.00
Abstain 196,042.00
</TABLE>
XXV. Approval of an Investment Sub-Adviser and the Investment Sub-Advisory
Agreement for the Balanced Portfolio.
<TABLE>
<CAPTION>
BALANCED
-------------
<S> <C>
For 2,741,006.00
Against 0.00
Abstain 62,690.00
</TABLE>
XXVI. Approval of an Investment Sub-Adviser and the Investment Sub-Advisory
Agreement for the Bond Portfolio.
<TABLE>
<CAPTION>
BOND
-------------
<S> <C>
For 4,091,229.00
Against 62,993.00
Abstain 17,311.00
</TABLE>
AUGUST 11, 1995
There was a special meeting of shareholders scheduled for August 11, 1995
at which shareholders of the Small Cap Growth, Mid-Cap and High Yield Bond
Portfolios (each a 'Portfolio,' and together, the 'Portfolios') voted on a
series of proposals. Each proposal relating to the High Yield Bond Portfolio and
each proposal except Proposal VII relating to the Small Cap Growth Portfolio
were approved by shareholders on August 11, 1995. With respect to the Mid-Cap
Portfolio and Proposal VII of the Small Cap Growth Portfolio, the meeting was
adjourned until August 14, 1995. Each proposal and the results of the
shareholder meeting are set forth below.
I. Proposal to combine each portfolio's fundamental limitation concerning
diversification with each Portfolio's fundamental limitation concerning the
acquisition of more than 10% of the outstanding voting securities of any one
issuer, and to amend certain other language.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 7,899,898.00 1,377,939.00 969,945.00
Against 99,190.00 60,373.00 3,856.00
Abstain 1,931,040.00 77,185.00 15,694.00
Broker Non-Vote 474,625.00 79,289.00 0.00
</TABLE>
68
<PAGE>
- --------------------------------------------------------------------------------
II. Proposal to amend each Portfolio's fundamental limitation concerning
borrowing.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 7,803,421.00 1,321,000.00 955,430.00
Against 1,791,212.00 117,312.00 18,169.00
Abstain 335,496.00 77,185.00 15,896.00
Broker Non-Vote 474,624.00 79,289.00 0.00
</TABLE>
III. Proposal to amend each Portfolio's fundamental limitation concerning
making loans.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 7,382,369.00 1,219,416.00 954,771.00
Against 2,212,249.00 218,897.00 19,030.00
Abstain 335,519.00 77,184,00 15,694.00
Broker Non-Vote 474,616.00 79,289.00 0.00
</TABLE>
IV. Proposal to reclassify each Portfolio's fundamental limitation
concerning pledging assets as non-fundamental, and to amend certain language.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 6,982,895.00 1,329,502.00 963,660.00
Against 2,611,752.00 108,779.00 10,141.00
Abstain 335,482.00 77,216.00 15,694.00
Broker Non-Vote 474,624.00 79,289.00 0.00
</TABLE>
V. Proposal to reclassify each Portfolio's fundamental limitation
concerning investment in securities for the purpose of exercising control as
non-fundamental.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 7,828,319.00 1,344,365.00 970,529.00
Against 1,769,061.00 93,947.00 3,272.00
Abstain 332,748.00 77,185.00 15,694.00
Broker Non-Vote 474,625.00 79,289.00 0.00
</TABLE>
VI. Proposal to amend each Portfolio's fundamental limitation concerning
investment in real estate and commodities.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 7,867,208.00 1,368,861.00 971,128.00
Against 1,727,267.00 69,452.00 2,471.00
Abstain 335,653.00 77,185.00 15,896.00
Broker Non-Vote 474,625.00 79,288.00 0.00
</TABLE>
VII. Proposal to reclassify each Portfolio's fundamental limitation
concerning short sales and margin sales as non-fundamental, and to amend certain
language.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 7,482,068.00 1,325,134.00 964,908.00
Against 2,810,447.00 111,069.00 8,893.00
Abstain 332,728.00 79,294.00 15,694.00
Broker Non-Vote 474,625.00 79,289.00 0.00
</TABLE>
VIII. Proposal to reclassify each Portfolio's fundamental limitation
concerning investment in securities of investment companies as non-fundamental,
and to amend certain language.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 9,441,337.00 1,419,071.00 971,071.00
Against 155,805.00 19,432.00 2,784.00
Abstain 332,987.00 77,120.00 15,694.00
Broker Non-Vote 474,624.00 79,163.00 0.00
</TABLE>
IX. Proposal to amend each Portfolio's fundamental limitation concerning
the issuance of senior securities.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 7,885,250.00 1,391,105.00 971,017.00
Against 1,712,046.00 47,208.00 2,784.00
Abstain 332,924.00 77,185.00 15,694.00
Broker Non-Vote 474,533.00 79,288.00 0.00
</TABLE>
X. Proposal to reclassify each Portfolio's fundamental limitation
concerning investment in securities of an issuer whose securities are owned by
officers and trustees of the Trust as non-fundamental.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 7,798,110.00 1,367,167.00 966,511.00
Against 1,753,230.00 71,113.00 7,088.00
Abstain 378,788.00 77,217.00 15,896.00
Broker Non-Vote 474,625.00 79,289.00 0.00
</TABLE>
XI. Proposal to reclassify each Portfolio's fundamental limitation
concerning investment of more than 5% of its total assets in securities of
companies with less than three years of operating history as non-fundamental.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 9,415,232.00 1,344,056.00 966,714.00
Against 180,940.00 94,257.00 7,087.00
Abstain 333,954.00 77,184.00 15,694.00
Broker Non-Vote 474,627.00 79,289.00 0.00
</TABLE>
69
<PAGE>
SHAREHOLDER VOTING RESULTS (Continued)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995 (Unaudited)
XII. Proposal to eliminate each Portfolio's fundamental limitation
concerning investment in warrants, puts, calls, straddles, spreads or
combinations thereof.
<TABLE>
<CAPTION>
SMALL CAP HIGH YIELD
GROWTH MID-CAP BOND
------------- ------------- -----------
<S> <C> <C> <C>
For 7,467,907.00 1,284,474.00 926,236.00
Against 2,085,970.00 153,840.00 47,060.00
Abstain 376,252.00 77,184.00 16,199.00
Broker Non-Vote 474,624.00 79,288.00 0.00
</TABLE>
XIII. Authorization for the Board of Trustees to appoint Investment
Sub-Advisers for the Small Cap Growth Portfolio of the Trust without seeking
approval by the Portfolio's Shareholders of the contracts pursuant to which
sub-advisers serve.
<TABLE>
<CAPTION>
SMALL CAP
GROWTH
-------------
<S> <C>
For 8,097,766.00
Against 2,065,272.00
Abstain 241,716.00
Broker Non-Vote 0.00
</TABLE>
XIV. Authorization for the Board of Trustees to appoint Investment
Sub-Advisers for the Mid-Cap Portfolio of the Trust without seeking approval by
the Portfolio's Shareholders of the contracts pursuant to which sub-advisers
serve.
<TABLE>
<CAPTION>
MID-CAP
-------------
<S> <C>
For 1,464,313.00
Against 88,956.00
Abstain 41,517.00
Broker Non-Vote 0.00
</TABLE>
XV. Approve of SFM as the Investment Adviser for the Small Cap Growth
Portfolio of the Trust and approval of an Investment Advisory Agreement between
the Trust, on behalf of the Portfolio, and SFM.
<TABLE>
<CAPTION>
SMALL CAP
GROWTH
--------------
<S> <C>
For 10,075,878.00
Against 87,658.00
Abstain 241,217.00
Broker Non-Vote 0.00
</TABLE>
XVI. Approval of SFM as the Investment Adviser for the Mid-Cap Portfolio of
the Trust and approval of an Investment Advisory Agreement between the Trust, on
behalf of the Portfolio, and SFM.
<TABLE>
<CAPTION>
MID-CAP
-------------
<S> <C>
For 1,550,724.00
Against 2,195.00
Abstain 41,868.00
Broker Non-Vote 0.00
</TABLE>
XVII. Approval of an Investment Sub-Adviser and the Investment Sub-Advisory
Agreement for the Small Cap Growth Portfolio.
<TABLE>
<CAPTION>
SMALL CAP
GROWTH
--------------
<S> <C>
For 10,075,775.00
Against 87,688.00
Abstain 241,290.00
Broker Non-Vote 0.00
</TABLE>
XVIII. Approval of an Investment Sub-Adviser and the Investment
Sub-Advisory Agreement for the Small Cap Growth Portfolio.
<TABLE>
<CAPTION>
SMALL CAP
GROWTH
--------------
<S> <C>
For 10,074,812.00
Against 88,498.00
Abstain 241,443.00
Broker Non-Vote 0.00
</TABLE>
XIX. Approval of an Investment Sub-Adviser and the Investment Sub-Advisory
Agreement for the Small Cap Growth Portfolio.
<TABLE>
<CAPTION>
SMALL CAP
GROWTH
--------------
<S> <C>
For 10,029,114.00
Against 90,063.00
Abstain 285,576.00
Broker Non-Vote 0.00
</TABLE>
XX. Approval of an Investment Sub-Adviser and the Investment Sub-Advisory
Agreement for the Small Cap Growth Portfolio.
<TABLE>
<CAPTION>
SMALL CAP
GROWTH
--------------
<S> <C>
For 10,029,063.00
Against 90,346.00
Abstain 285,344.00
Broker Non-Vote 0.00
</TABLE>
70
<PAGE>
XXI. Approval of an Investment Sub-Adviser and the Investment Sub-Advisory
Agreement for the Small Cap Growth Portfolio.
<TABLE>
<CAPTION>
SMALL CAP
GROWTH
--------------
<S> <C>
For 10,075,175.00
Against 88,662.00
Abstain 240,916.00
Broker Non-Vote 0.00
</TABLE>
XXII. Approval of an Investment Sub-Adviser and the Investment Sub-Advisory
Agreement for the Mid-Cap Portfolio.
<TABLE>
<CAPTION>
MID-CAP
--------------
<S> <C>
For 1,550,724.00
Against 2,195.00
Abstain 41,868.00
Broker Non-Vote 0.00
</TABLE>
XXIII. Approval of an Investment Adviser and the Investment Advisory
Agreement for the Mid-Cap Portfolio.
<TABLE>
<CAPTION>
MID-CAP
--------------
<S> <C>
For 1,552,078.00
Against 840.00
Abstain 41,868.00
Broker Non-Vote 0.00
</TABLE>
XXIV. Approve of an Investment Sub-Adviser and the Investment Sub-Advisory
Agreement for the Mid-Cap Portfolio effective only upon the admission of CICM as
general partner and majority owner of Martingale.
<TABLE>
<CAPTION>
MID-CAP
--------------
<S> <C>
For 1,548,349.00
Against 840.00
Abstain 45,597.00
Broker Non-Vote 0.00
</TABLE>
XXV. Approval of an Investment Adviser and the Investment Advisory
Agreement for the Mid-Cap Portfolio effective only upon the admission of CICM as
general partner and majority owner of Martingale.
<TABLE>
<CAPTION>
MID-CAP
--------------
<S> <C>
For 1,548,349.00
Against 840.00
Abstain 45,597.00
Broker Non-Vote 0.00
</TABLE>
XXVI. Approval of an Investment Sub-Adviser and the Investment Sub-Advisory
Agreement for the High Yield Bond Portfolio.
<TABLE>
<CAPTION>
HIGH YIELD
BOND
--------------
<S> <C>
For 972,220.00
Against 1,076.00
Abstain 16,199.00
Broker Non-Vote 0.00
</TABLE>
71
<PAGE>
- --------------------------------------------------------------------------------
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--September 30, 1995 (Unaudited)
For shareholders that do not have a September 30, 1995 taxable year end, this
notice is for informational purposes only. For shareholders with a September 30,
1995 taxable year end, please consult your tax advisor as to the pertinence of
this notice.
For the fiscal year ended September 30, 1995, the Portfolios of the SEI
Institutional Managed Trust are designating long term capital gains and
qualifying dividend income with regard to distributions paid during the year as
follows:
<TABLE>
<CAPTION>
(A) (B)
Long Term Ordinary
Capital Gains Income Total
Distributions Distributions Distributions
Portfolio (Tax Basis) (Tax Basis) (Tax Basis)
- ------------------------------------------------------------------- ------------- ------------- ---------------
<S> <C> <C> <C>
Large Cap Growth 0% 100% 100%
Small Cap Value 0% 100% 100%
High Yield Bond 0% 100% 100%
Large Cap Value 46% 54% 100%
Capital Appreciation 75% 25% 100%
Equity Income 51% 49% 100%
Balanced 14% 86% 100%
Core Fixed Income 0% 100% 100%
Bond 13% 87% 100%
Capital Growth 28% 72% 100%
Small Cap Growth 100% 0% 100%
Mid-Cap 0% 100% 100%
</TABLE>
<TABLE>
<CAPTION>
(C) (D)
Qualifying Tax Exempt Foreign
Portfolio Dividends (1) Interest Tax Credit
- ------------------------------------------------------------------- ------------- ------------- ---------------
<S> <C> <C> <C>
Large Cap Growth 15% 0% 0%
Small Cap Value 5% 0% 0%
High Yield Bond 0% 0% 0%
Large Cap Value 34% 0% 0%
Capital Appreciation 15% 0% 0%
Equity Income 82% 0% 0%
Balanced 7% 0% 0%
Core Fixed Income 0% 0% 0%
Bond 0% 0% 0%
Capital Growth 14% 0% 0%
Small Cap Growth 1% 0% 0%
Mid-Cap 4% 0% 0%
</TABLE>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
* Items (A) and (B) are based on the percentage of each portfolio's total
distribution.
** Items (C) and (D) are based on the percentage of ordinary income
distributions of each portfolio.
72
<PAGE>
- ---------------------------------
SEI INSTITUTIONAL
- ---------------------------------
MANAGED TRUST
- ---------------------------------
ANNUAL REPORT
- ---------------------------------
September 30, 1995
Robert A. Nesher
Chairman
TRUSTEES
Richard F. Blanchard
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
OFFICERS
David G. Lee
President and Chief Executive Officer
Carmen V. Romeo
Treasurer, Assistant Secretary
Robert B. Carroll
Vice President, Assistant Secretary
Todd Cipperman
Vice President, Assistant Secretary
Kathryn L. Stanton
Vice President, Assistant Secretary
Sandra K. Orlow
Vice President, Assistant Secretary
Joseph M. Lydon
Vice President, Assistant Secretary
Kevin P. Robins
Vice President, Assistant Secretary
Jeffrey A. Cohen
Controller, Assistant Secretary
Richard W. Grant
Secretary
INVESTMENT ADVISERS
Equity & Balanced Portfolios
SEI Financial Management Corporation
SunBank Capital Management, N.A.
Fixed Income Portfolios
SEI Financial Management Corporation
Western Asset Management Company
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Financial Management Corporation
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Price Waterhouse LLP
This annual 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 SEI 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
<PAGE>
