<PAGE>
SEI INSTITUTIONAL MANAGED TRUST
Supplement dated August 31, 1995, to
the Statement of Additional Information
dated January 31, 1995
This supplement to the Statement of Additional Information supersedes and
replaces any existing supplements to the Statement of Additional Information.
This supplement provides new and additional information beyond that contained in
the Statement of Additional Information and should be retained and read in
conjunction with such Statement of Additional Information.
---------------------------------------------
Effective March 6, 1995, the name of the ProVantage Funds class of shares was
changed to Class D.
---------------------------------------------
The first sentence of the current "Investment Limitations -- Fundamental
Policies" section on page S-10 is amended and restated as follows:
The Small Cap Value and Core Fixed Income Portfolios may not:
---------------------------------------------
At meetings held on June 16, 1995 and adjourned until July 10, 1995, and on
August 11, 1995 and adjourned until August 14, 1995, Shareholders of the Large
Cap Value, Capital Growth, Capital Appreciation, Equity Income, Balanced, Small
Cap Growth, High Yield Bond, Bond, Mid-Cap, and Large Cap Growth Portfolios
voted to amend, reclassify or eliminate certain fundamental investment policies.
In connection with these changes, and with respect to the Large Cap Value,
Capital Growth, Capital Appreciation, Equity Income, Balanced, Small Cap Growth,
High Yield Bond, Bond, Mid-Cap, and Large Cap Growth Portfolios, the "Investment
Limitations -- Fundamental Policies" section of the Statement of Additional
Information is amended and the following language is inserted on page S-12:
The Large Cap Value, Capital Growth, Capital Appreciation, Equity Income,
Balanced, Small Cap Growth, High Yield Bond, Bond, Mid-Cap, Real Estate
Securities, and Large Cap Growth Portfolios may not:
1. Borrow money in an amount exceeding 33 1/3% of the value of its total
assets, provided that, for purposes of this limitation, investment strategies
which either obligate a Portfolio to purchase securities or require a Portfolio
to segregate assets are not considered to be borrowings. To the extent that its
borrowings exceed 5% of its assets, (i) all borrowings will be repaid before
making additional investments and any interest paid on such borrowings will
reduce income; and (ii) asset coverage of at least 300% is required.
2. Make loans if, as a result, more than 33 1/3% of its total assets would be
lent to other parties, except that each Portfolio may (i) purchase or hold debt
instruments in accordance with its investment objective and policies; (ii) enter
into repurchase agreements; and (iii) lend its securities.
3. Purchase or sell real estate, physical commodities, or commodities
contracts, except that each Portfolio may purchase (i) marketable securities
issued by companies which own or invest in real estate (including real estate
investment trusts), commodities, or commodities contracts; and (ii) commodities
contracts relating to financial instruments, such as financial futures contracts
and options on such contracts.
<PAGE>
4. Issue senior securities (as defined in the 1940 Act) except as permitted by
rule, regulation or order of the Securities and Exchange Commission (the "SEC").
5. Act as an underwriter of securities of other issuers except as it may be
deemed an underwriter in selling a portfolio security.
6. Invest in interests in oil, gas, or other mineral exploration or
development programs and oil, gas or mineral leases.
-----------------------------------------
In connection with the foregoing fundamental policy changes, the Trustees have
adopted the following non-fundamental policies for the Large Cap Value, Capital
Growth, Capital Appreciation, Equity Income, Balanced, Small Cap Growth, High
Yield Bond, Bond, Mid-Cap, Real Estate Securities, and Large Cap Growth
Portfolios, which policies may be changed without Shareholder approval.
Accordingly, the "Investment Limitations -- Non-Fundamental Policies" section on
page S-12 is amended and restated to read as follows:
The Large Cap Value, Capital Growth, Capital Appreciation, Equity Income,
Balanced, Small Cap Growth, High Yield Bond, Bond, Mid-Cap, Real Estate
Securities, and Large Cap Growth Portfolios may not:
1. Pledge, mortgage or hypothecate assets except to secure borrowings
permitted by the Portfolio's fundamental limitation on borrowing.
2. Invest in companies for the purpose of exercising control.
3. Purchase securities on margin or effect short sales, except that each
Portfolio may (i) obtain short-term credits as necessary for the clearance of
security transactions; (ii) provide initial and variation margin payments in
connection with transactions involving futures contracts and options on such
contracts; and (iii) make short sales "against the box" or in compliance with
the SEC's position regarding the asset segregation requirements imposed by
Section 18 of the 1940 Act.
4. Invest its assets in securities of any investment company, except (i) by
purchase in the open market involving only customary brokers' commissions; (ii)
in connection with mergers, acquisitions of assets, or consolidations; or (iii)
as otherwise permitted by the 1940 Act.
5. Purchase or retain securities of an issuer if, to the knowledge of the
Trust, an officer, trustee, partner or director of the Trust or any investment
adviser of the Trust owns beneficially more than 1/2 of the 1% of the shares or
securities of such issuer and all such officers, trustees, partners and
directors owning more than 1/2 of 1% of such shares or securities together own
more than 5% of such shares or securities.
6. Purchase securities of any company which has (with predecessors) a record
of less than three years continuing operations if, as a result, more than 5% of
the total assets (taken at fair market value) would be invested in such
securities.
7. Purchase illiquid securities, i.e., securities that cannot be disposed of
for their approximate carrying value in seven days or less (which term includes
repurchase agreements and time deposits maturing in more than seven days) if, in
the aggregate, more than 15% of its total assets would be invested in illiquid
securities. Notwithstanding the foregoing, securities eligible to be re-sold
under Rule 144A of the 1933 Act may be treated as liquid securities under
procedures adopted by the Board of Trustees.
2
<PAGE>
8. Purchase securities which must be registered under the 1933 Act, as
amended, before they may be sold to the public, if, in the aggregate, more than
15% of its total assets would be invested in such restricted securities.
Securities exempted from registration upon re-sale by Rule 144A under the 1933
Act are not deemed to be restricted securities for purposes of this limitation.
Additional Restrictions
The following are non-fundamental investment limitations that are currently
required by one or more states in which the Trust sells shares of the
Portfolios. These limitations are in addition to, and in some cases more
restrictive than, the fundamental and non-fundamental investment limitations
listed above. A limitation may be changed or eliminated without shareholder
approval if the relevant state changes or eliminates its policy regarding such
investment restriction. As long as a Portfolio's shares are registered for sale
in such states, it may not:
1. Invest more than 5% of its net assets in warrants; provided that of this 5%
no more than 2% will be in warrants that are not listed on the New York
Stock Exchange or the American Stock Exchange.
2. Invest in the securities of other investment companies except by purchase
in the open market where no commission or profit to a sponsor or dealer
results from the purchase other than the customary broker's commission, or
except when the purchase is part of a plan of merger, consolidation,
reorganization or acquisition.
3. Invest more than 15% of its total assets (10% with respect to the Small Cap
Value and Core Fixed Income Portfolios) in illiquid securities, including
securities which are not readily marketable or are restricted.
4. Invest more than 15% of its assets in restricted securities. For purposes
of this limitation, securities exempted from registration under the 1933
Act, including Rule 144A securities, are considered to be restricted
securities.
-----------------------------------------
In addition to amending and reclassifying certain of the Trust's fundamental
investment policies, Shareholders of the Bond Portfolio voted to eliminate that
Portfolio's fundamental investment limitations on investing in convertible
securities and on investing solely in securities listed as "appropriate"
investments.
-----------------------------------------
At a meeting scheduled for November 13, 1995, Shareholders of the Small Cap
Value and Core Fixed Income Portfolios will be asked to vote to amend,
reclassify or eliminate certain fundamental investment policies. The changes to
the Portfolios' fundamental investment policies will be identical to the changes
approved by Shareholders of the Large Cap Value, Capital Appreciation, Capital
Growth, Equity Income, Real Estate Securities, Small Cap Growth, High Yield
Bond, Bond, Balanced, Mid-Cap, and Large Cap Growth Portfolios.
-----------------------------------------
The following information is inserted under "Portfolio Transactions" in the
Statement of Additional Information:
In addition, SFM has adopted a policy respecting the receipt of research and
related products and services in connection with transactions effected for
Portfolios operating within the "Manager of Managers" structure. Under this
policy, SFM and the various firms that serve as sub-advisers to certain
Portfolios of the Trust, in the exercise of joint investment discretion over the
assets of a Portfolio, will direct a substantial portion of a Portfolio's
brokerage to the Distributor in consideration of the Distributor's provision of
research and related
3
<PAGE>
products to SFM for use in performing its advisory responsibilities. All such
transactions directed to the Distributor must be accomplished in a manner that
is consistent with the Trust's policy to achieve best net results, and must
comply with the Trust's procedures regarding the execution of transactions
through affiliated brokers.
-----------------------------------------
Martingale Asset Management, L.P., Apodaca-Johnston Capital Management, and
Wall Street Associates are added to, and BEA Associates replaces CS First Boston
Investment Management on the list of advisers on the front page of the Statement
of Additional Information.
-----------------------------------------
The first sentence of the "Description of Permitted Investments - Securities
Lending" section on page S-7 of the Statement of Additional Information is
amended and restated to read as follows:
Securities Lending - In order to generate additional income, each Portfolio of
the Trust except the Core Fixed Income Portfolio may lend its securities
pursuant to agreements requiring that the loans be continuously secured by cash,
securities of the U.S. Government or its agencies, or any combination of cash
and such securities in an amount at least equal to the market value of the
securities lent.
-----------------------------------------
The Statement of Additional Information for SEI Institutional Managed Trust is
hereby amended and supplemented by the following unaudited financial statements
of the Large Cap Growth and Small Cap Value Portfolios for the period ended
March 31, 1995, and of the High Yield Bond Portfolio for the period ended May
31, 1995.
4
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
LARGE CAP GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Description Shares (000)
----------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 96.3%
AIR TRANSPORTATION -- 0.5%
AMR* 10,550 $ 683
--------
AIRCRAFT -- 1.2%
Allied Signal 38,500 1,511
--------
AUTOMOTIVE -- 0.5%
Magna International, Cl A 18,800 717
--------
BANKS -- 2.7%
BankAmerica 29,650 1,431
Citicorp 14,350 610
First Chicago 30,200 1,513
--------
3,554
--------
BEAUTY PRODUCTS -- 5.2%
Avon Products* 11,000 666
Colgate Palmolive 23,000 1,518
Procter & Gamble 69,650 4,614
--------
6,798
--------
BROADCASTING, NEWSPAPERS & ADVERTISING --
2.1%
Comcast 62,000 969
Tele-Communications* 83,700 1,757
--------
2,726
--------
CHEMICALS -- 3.2%
Air Products & Chemicals 9,900 516
Monsanto 17,000 1,364
Rohm & Haas 34,000 2,006
Union Carbide 12,000 368
--------
4,254
--------
COMMUNICATIONS EQUIPMENT -- 3.9%
General Instrument* 48,000 1,668
L M Ericsson Telephone 11,900 736
Motorola 42,400 2,316
Northern Telecom LTD 9,800 371
--------
5,091
--------
COMPUTERS & SERVICES -- 7.5%
Cisco Systems* 85,000 3,241
Compaq Computer* 64,600 2,229
Informix* 22,000 756
Lotus Development* 6,500 249
Microsoft* 17,650 1,255
Oracle Systems* 52,000 1,625
Silicon Graphics* 16,000 568
--------
9,923
--------
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
---------------------------------------------------
<S> <C> <C>
CONTAINERS & PACKAGING -- 0.4%
Crown Cork & Seal* 13,650 $ 599
--------
DRUGS -- 9.0%
Abbott Laboratories 57,900 2,063
Centocor* 23,500 373
Forest Labs* 12,400 591
Genentech* 6,700 314
Johnson & Johnson 18,300 1,089
Merck 95,400 4,068
Pfizer 39,650 3,400
--------
11,898
--------
ELECTRICAL TECHNOLOGY -- 0.6%
Duracell 16,400 734
--------
ENTERTAINMENT -- 1.2%
Walt Disney 30,000 1,601
--------
ENVIRONMENTAL SERVICES -- 0.5%
WMX Technologies 23,450 645
--------
FINANCIAL SERVICES -- 3.0%
FHLMC 19,000 1,150
FNMA 25,950 2,111
Household International 15,450 672
--------
3,933
--------
FOOD, BEVERAGE & TOBACCO -- 8.3%
Coca-Cola 68,450 3,867
Kellogg 19,000 1,109
Pepsico 47,000 1,833
Philip Morris 64,250 4,193
--------
11,002
--------
GAS/NATURAL GAS -- 0.9%
Enron 37,400 1,234
--------
HOTELS & LODGING -- 0.6%
Hilton Hotels 10,700 793
--------
HOUSEHOLD PRODUCTS -- 1.1%
Gillette 18,300 1,494
--------
INSURANCE -- 5.4%
American International Group 33,900 3,534
General RE 13,850 1,828
MGIC Investment 6,100 249
NAC RE 12,500 378
Travelers 31,000 1,197
--------
7,186
--------
</TABLE>
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
LARGE CAP GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
------------------------------------------------------
<S> <C> <C>
MACHINERY -- 7.5%
Caterpillar 26,900 $ 1,496
Emerson Electric 9,350 622
General Electric 129,550 7,012
Stewart & Stevenson Services 20,100 709
--------
9,839
--------
MEDICAL PRODUCTS & SERVICES -- 4.3%
Columbia HCA Healthcare 42,000 1,806
Medtronic 16,150 1,120
United Healthcare 59,450 2,779
--------
5,705
--------
MISCELLANEOUS BUSINESS SERVICES -- 0.7%
Computer Associates International 8,850 525
Sybase* 9,500 380
--------
905
--------
PAPER & PAPER PRODUCTS -- 0.3%
Scott Paper 4,300 384
--------
PETROLEUM & FUEL PRODUCTS -- 0.8%
Apache 10,500 286
Western Atlas* 17,500 755
--------
1,041
--------
PETROLEUM REFINING -- 1.4%
Amoco 15,150 964
Mobil 9,450 875
--------
1,839
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 1.4%
Eastman Kodak 23,000 1,222
Xerox 5,700 669
--------
1,891
--------
PRINTING & PUBLISHING -- 0.6%
Time Warner 19,950 753
--------
PROFESSIONAL SERVICES -- 0.7%
First Financial Management 13,800 997
--------
RAILROADS -- 1.5%
Burlington Northern 13,000 772
Conrail 7,000 393
CSX 10,600 835
--------
2,000
--------
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares/Face Market
Description Amount (000) Value (000)
-----------------------------------------------------------------------
<S> <C> <C>
RETAIL -- 8.3%
Autozone* 11,500 $ 286
Dayton Hudson 19,450 1,391
Home Depot 60,000 2,655
Kohl's* 19,000 841
McDonald's 73,300 2,501
Pep Boys-Manny Moe & Jack 17,600 546
Wal-Mart 108,150 2,757
--------
10,977
--------
RUBBER & PLASTIC -- 0.9%
Illinois Tool Works 24,050 1,175
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.4%
Intel 52,750 4,477
--------
STEEL & STEEL WORKS -- 2.0%
Aluminum Company of America 17,300 716
Inco LTD 20,550 573
Nucor 23,500 1,321
--------
2,610
--------
TELEPHONES & TELECOMMUNICATION -- 4.7%
Airtouch Communications* 56,850 1,549
AT&T 35,500 1,837
Bellsouth 6,800 405
MCI 82,100 1,693
US West 16,900 676
--------
6,160
--------
Total Common Stocks
(Cost $121,253) 127,129
--------
U.S. TREASURY OBLIGATIONS -- 6.9%
U.S. Treasury Bill
5.449%, 04/06/95 $9,174 9,165
--------
Total U.S. Treasury Obligations (Cost $9,167) 9,165
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.5%
FHLB Discount Notes
6.100%, 04/03/95 2,000 1,998
6.050%, 04/05/95 200 200
FHLMC
5.920%, 04/10/95 100 100
5.910%, 04/13/95 189 189
FNMA
5.930%, 04/19/95 790 788
--------
Total U.S. Government Agency
Obligations
(Cost $3,275) 3,275
--------
Total Investments -- 105.7%
(Cost $133,693) 139,569
--------
</TABLE>
2
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares/Face Value
Description Amount (000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES -- -5.7%
Other Assets and Liabilities, Net $ (7,612)
--------
NET ASSETS:
Portfolio shares of Class A (unlimited authorization --
no par value) based on 12,235,093 outstanding shares
of beneficial interest 125,724
Undistributed net investment income 402
Accumulated net realized loss on investments (45)
Net unrealized appreciation on investments 5,876
--------
Total Net Assets -- 100.0% $131,957
========
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 10.79
========
</TABLE>
* Non-income producing security
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
Cl Class
LTD Limited
SMALL CAP VALUE PORTFOLIO
<TABLE>
<S> <C> <C>
COMMON STOCKS -- 91.3%
AIRCRAFT -- 0.5%
Coltec Industries* 15,100 $ 260
-------
APPAREL/TEXTILES -- 6.8%
Cone Mills* 21,600 265
Congoleum, Cl A* 31,300 470
Conso Products* 21,000 294
Crown Crafts 25,200 428
Jones Apparel* 11,500 311
Lydall* 20,200 681
Oneita Industries* 18,700 227
Springs Industries 10,300 386
St. John Knits 4,800 175
-------
3,237
-------
AUTOMOTIVE -- 0.2%
Stant 7,600 105
-------
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
--------------------------------------------------------------------------------
<S> <C> <C>
BANKS -- 8.2%
Albank Financial 15,500 $ 388
Amfed Financial 23,900 555
BankAtlantic Bancorp 17,000 264
Banknorth Group 18,100 425
DS Bancor* 6,930 168
First Federal Bancshares* 19,000 221
Green Point Financial 18,500 428
Long Island Bancorp* 22,400 392
Mercantile Bankshares 17,800 394
MLF Bancorp* 18,900 302
Southern National 19,207 382
-------
3,919
-------
CHEMICALS -- 2.4%
Bush Boake Allen* 14,700 397
IMC Global 12,100 591
Vigoro 4,600 170
-------
1,158
-------
COMMUNICATIONS EQUIPMENT -- 1.7%
Harmon Industries* 15,100 211
Plantronics* 21,400 592
-------
803
-------
COMPUTERS & SERVICES -- 0.9%
Franklin Electric Publishing* 15,400 433
-------
CONSUMER PRODUCTS -- 4.4%
Maxwell Shoe* 13,100 134
National-Standard* 27,400 308
Nine West* 14,900 440
Nu-Kote Holding, Cl A* 32,100 746
Velcro Industries 7,300 433
-------
2,061
-------
CONTAINERS & PACKAGING -- 2.3%
Sealright 14,800 281
US Can* 39,000 829
-------
1,110
-------
ENTERTAINMENT -- 2.4%
Casino America* 18,600 233
Dick Clark Productions* 27,000 243
Harvey's Casinos 6,000 111
King World Productions* 10,800 425
Spelling Entertainment 12,600 129
-------
1,141
-------
</TABLE>
3
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
SMALL CAP VALUE PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
-----------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES -- 0.7%
Baldwin & Lyons, Cl B 20,100 $ 327
-------
FOOD, BEVERAGE & TOBACCO -- 1.2%
WLR Foods 20,800 562
-------
GLASS PRODUCTS -- 0.8%
Libbey 20,800 387
-------
HOUSEHOLD PRODUCTS -- 1.0%
Cherry, Cl A* 28,800 461
-------
INSURANCE -- 11.0%
First Colony 21,200 480
Harleysville Group 21,500 524
Home State Holdings* 28,800 396
Horace Mann Educators 18,500 409
Life Partners 8,600 169
National RE Holding 11,600 339
Partnerre Holdings 20,400 434
Paul Revere 21,400 348
Penncorp Financial 27,900 492
Phoenix RE 6,000 145
Security Capital* 4,500 214
State Auto Financial 23,400 392
TIG Holdings 33,300 746
W.R. Berkley 4,550 167
-------
5,255
-------
MACHINERY -- 9.6%
Alamo Group 23,900 412
BW/IP Holding, Cl A 38,600 637
Chase Brass* 20,300 211
CMI, Cl A* 74,400 493
DT Industries 29,500 354
Exide Electronics* 26,500 417
Holophane* 21,300 389
Kulicke & Soffa* 12,800 350
NN Ball & Roller 14,300 215
Pentair 17,700 747
SPX 24,800 360
-------
4,585
-------
MARINE TRANSPORTATION -- 1.7%
Royal Caribbean Cruises LTD 30,400 794
-------
MEASURING DEVICES -- 2.8%
Mark IV Industries 21,400 439
Oak Industries* 29,000 746
Veeco Instruments* 11,900 167
-------
1,352
-------
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
---------------------------------------------------
<S> <C> <C>
MEDICAL PRODUCTS & SERVICES -- 1.4%
Gelman Sciences* 14,400 $ 247
Sterile Concepts 31,400 412
-------
659
-------
MISCELLANEOUS BUSINESS SERVICES -- 2.9%
Computer Horizons* 18,000 320
GBC Technologies* 31,900 215
Intersolv* 21,500 344
Opti* 30,400 490
-------
1,369
-------
MISCELLANEOUS MANUFACTURING -- 3.0%
Belden 5,400 119
Cable Design Technologies* 32,600 489
Mikohn Gaming* 20,900 178
Wolverine Tube* 25,600 639
-------
1,425
-------
OFFICE FURNITURE & FIXTURES -- 0.6%
Daisytek* 13,100 283
-------
PAPER & PAPER PRODUCTS -- 1.6%
Caraustar 27,600 469
Chesapeake 8,500 272
-------
741
-------
PETROLEUM & FUEL PRODUCTS -- 0.9%
Petroleum Geo-Services ADR* 18,700 416
-------
RETAIL -- 10.9%
American Eagle Outfitters* 19,700 347
Bradlees 19,400 216
Catherine's Stores* 50,100 438
Consolidated Products* 45,960 540
Consolidated Stores* 22,000 443
Daka International* 26,400 495
Fingerhut 11,650 138
Fred's 30,600 298
J Baker & Co 22,200 339
Little Switzerland* 30,600 153
Mueller Industries* 7,000 234
Shoney's* 17,700 190
The Bombay Company* 23,000 210
Value City Department Stores* 27,800 226
Vons Companies* 24,500 475
Waban* 22,900 452
-------
5,194
-------
</TABLE>
4
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares/Face Value
Description Amount (000) (000)
---------------------------------------------------------------------------
<S> <C> <C>
RUBBER & PLASTIC -- 2.2%
Aptargroup 19,300 $ 553
West Company 20,200 515
-------
1,068
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.5%
DH Technology* 29,700 616
Lattice Semiconductor* 5,200 128
Marshall* 17,800 463
-------
1,207
-------
SPORTING & ATHLETIC GOODS -- 0.6%
First Team Sports* 12,450 282
-------
STEEL & STEEL WORKS -- 1.8%
Precision Castparts 13,900 363
Rouge Steel 20,400 500
-------
863
-------
TELEPHONES & TELECOMMUNICATION -- 0.9%
EIS International* 25,700 430
-------
TRUCKING -- 0.5%
Arkansas Best 20,100 214
-------
WATCHES CLOCKS & PARTS -- 0.6%
North American Watch 18,800 259
-------
WHOLESALE -- 2.3%
Fisher Scientific 15,700 467
Masland 9,800 126
TBC* 51,800 525
-------
1,118
-------
Total Common Stocks
(Cost $42,584) 43,478
-------
REPURCHASE AGREEMENT -- 18.1%
Lehman Brothers
6.20%, dated 03/31/95, matures 04/03/95, repurchase
price $8,642,000 (collateralized by FHLMC obligation,
par value $8,580,000, 8.50%, 02/15/95, market value
of collateral: $8,814,000) $ 8,638 $ 8,638
-------
Total Repurchase Agreement
(Cost $8,638) 8,638
-------
Total Investments -- 109.4%
(Cost $51,222) 52,116
-------
</TABLE>
The accompanying notes are an integral part of the financial statements.
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Value (000)
------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES -- -9.4%
Other Assets and Liabilities, Net $(4,508)
-------
NET ASSETS:
Portfolio shares of Class A (unlimited authorization -- no par
value) based on 4,530,901 outstanding shares of beneficial
interest 46,736
Undistributed net investment income 58
Accumulated net realized loss on investments (80)
Net unrealized appreciation on investments 894
-------
Total Net Assets -- 100.0% $47,608
=======
Net Asset Value, Offering and Redemption Price Per Share -- Class
A $ 10.51
=======
</TABLE>
* Non-income producing securities
ADR American Depository Receipt
Cl Class
FHLMC Federal Home Loan Mortgage Corporation
5
<PAGE>
STATEMENT OF OPERATIONS (000)
--------------------------------------------------------------------------------
SEI Institutional Managed Trust -- For the period ended March 31, 1995
(Unaudited)
<TABLE>
<CAPTION>
--------- ---------
LARGE CAP SMALL CAP
GROWTH VALUE
--------- ---------
<S> <C> <C>
INVESTMENT INCOME:
Dividends $ 377 $ 55
Interest 207 82
------ ----
Total investment income 584 137
------ ----
EXPENSES:
Management fees 72 25
Less management fees waived -- --
Contribution from Manager -- --
Investment advisory fees 82 47
Less investment advisory fees waived -- (1)
Custodian/wire agent fees 4 1
Professional fees 4 2
Registration & filing fees 1 1
Printing expense 5 1
Trustee fees -- --
Insurance expense -- --
Pricing fees 1 --
Distribution fees 4 1
Amortization of deferred
organization costs 1 1
------ ----
Total expenses 174 78
------ ----
NET INVESTMENT INCOME 410 59
------ ----
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain (loss) from securities sold (45) (81)
Net change in unrealized appreciation on investments 5,876 894
------ ----
NET INCREASE IN NET ASSETS FROM OPERATIONS $6,241 $872
====== ====
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
--------------------------------------------------------------------------------
SEI Institutional Managed Trust -- (Unaudited)
<TABLE>
<CAPTION>
--------- ---------
LARGE CAP SMALL CAP
GROWTH VALUE
--------- ---------
12/20/94- 12/20/94-
3/31/95 3/31/95
--------- ---------
<S> <C> <C>
OPERATIONS:
Net investment income (loss) $ 410 $ 59
Net realized gain (loss) from security transactions (45) (81)
Net realized appreciation (depreciation) on investments 5,876 894
-------- -------
Net increase (decrease) in net assets resulting from
operations 6,241 872
-------- -------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (8) --
-------- -------
Total dividends distributed (8) --
-------- -------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 130,165 50,289
Shares issued in lieu of cash distributions 8 --
Cost of shares repurchased (4,449) (3,553)
-------- -------
Increase (decrease) in net assets derived from
Class A transactions 125,724 46,736
-------- -------
Net increase (decrease) in net assets 131,957 47,608
-------- -------
NET ASSETS:
Beginning of period -- --
-------- -------
End of period $131,957 $47,608
======== =======
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 12,659 4,873
Shares issued in lieu of cash distributions 1 --
Shares repurchased (425) (342)
-------- -------
Total Class A transactions 12,235 4,531
======== =======
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
SEI Institutional Managed Trust -- For a share outstanding throughout the
period (Unaudited)
<TABLE>
<CAPTION>
Distributions
Net Asset Net Net Realized and Dividends from Ratio of
Value Investment Unrealized from Net Realized Net Asset Net Assets Expenses
Beginning Income Gain (Losses) Investment Capital Value End Total End of to Average
of Period (Loss) on Securities Income Gains of Period Return Period (000) Net Assets
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------------
LARGE CAP GROWTH PORTFOLIO
--------------------------
1995**(1) $10.00 $0.05 $0.76 $(0.02) $-- $10.79 32.43% $131,957 0.85%
-------------------------
SMALL CAP VALUE PORTFOLIO
-------------------------
1995**(2) $10.00 $0.01 $0.50 $ -- $-- $10.51 19.69% $ 47,608 1.10%
<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
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
--------------------------
LARGE CAP GROWTH PORTFOLIO
--------------------------
1995**(1) 1.98% 0.85% 1.98% 16%
-------------------------
SMALL CAP VALUE PORTFOLIO
-------------------------
1995**(2) 0.81% 1.11% 0.80% 3%
</TABLE>
1 Large Cap Growth shares were offered beginning December 20, 1994. All ratios
including total return for that period have been annualized.
2 Small Cap Value shares were offered beginning December 20, 1994. All ratios
including total return for that period have been annualized.
** For the period ended March 31, 1995.
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
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 Growth, Capital Apprecia-
tion, Equity Income, Balanced, Capital Growth, Core Fixed Income, Bond, and
High Yield Bond. The Real Estate Securities Portfolio had not commenced opera-
tions as of March 31, 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 Growth, Capital Appreciation, Equity Income, Bal-
anced, 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 se-
curities 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 re-
maining 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 qualify as a regu-
lated 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 num-
ber of outstanding shares of the Portfolio.
Repurchase Agreements--Securities pledged as collateral for repurchase agree-
ments are held by each Portfolio's custodian bank until maturity of the Repur-
chase Agreement. Provisions of the Agreement and procedures adopted by the Man-
ager and the Advisers of the Trust ensure that the market value of the collat-
eral, including accrued interest thereon, is sufficient in the event of default
by the counterparty. The Portfolios also invest in tri-party repurchase agree-
ments. Securities held as collateral for tri-party repurchase agreements are
maintained by the broker's custodian bank in a segregated account until matu-
rity of the repurchase agreement. Provisions of the agreements ensure that the
market value of the collateral, including accrued interest thereon, is suffi-
cient in the event of default. If the counterparty defaults and the value of
the collateral declines or if the counterparty enters into an insolvency pro-
ceeding, realization of the collateral by the Portfolios may be delayed or lim-
ited.
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,
expenses, and realized and unrealized gains/losses are allocated to the respec-
tive classes on the basis of relative daily net assets.
Distributions--Distributions from net investment income are paid to Share-
holders monthly for the Large Cap Value, Capital Appreciation, Equity Income,
Balanced, Capital Growth, Core Fixed Income, Bond, and High Yield Bond Portfo-
lios and quarterly for the Large Cap Growth, Small Cap Value, Small Cap Growth,
and Mid-Cap Growth Portfolios. Any net realized capital gains on the sales of
securities by a Portfolio are distributed annually to the Shareholders of that
Portfolio.
Futures Contracts--The Core Fixed Income Portfolio utilized U.S. Long Bond
futures contracts to a limited extent during the period ended March 31, 1995.
Initial margin deposits of cash or securities
9
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
--------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
are made upon entering into futures contracts. The contracts are marked to mar-
ket 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 con-
tract may not directly correlate with changes in the values of the underlying
securities, and that the counterparty to a contract may default on its obliga-
tion to perform.
Structured Notes and Indexed Notes--The Core Fixed Income Portfolio may in-
vest in structured notes and indexed notes whose values are linked either di-
rectly 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 re-
fer, 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 on the accrual basis.
3. MANAGEMENT, INVESTMENT ADVISORY, SUB-ADVISORY, AND DISTRIBUTION AGREEMENTS
The Trust and SEI Financial Management Corporation (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 and High Yield Bond Portfolios; .50% of the average daily net assets
of the Small Cap Growth, Mid-Cap Growth, Capital Appreciation, Equity Income,
Balanced, and Capital Growth Portfolios; and .43% of the average daily net as-
sets of the Core Fixed Income and Bond Portfolios. The Manager has agreed to
waive its fee so that the total annual expenses of each portfolio will not ex-
ceed the lower of the maximum limitations established by certain states or vol-
untary 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, SEI Financial Management ("SFM") serves as the in-
vestment 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 assets of the Large Cap Value Portfolio, .40% of the average daily net as-
sets 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 period ended March 31, 1995, SFM re-
ceived $155,000, $82,000, $47,000, and $6,000 as compensation for its services
as investment adviser to the Large Cap Value, Large Cap Growth, Small Cap Val-
ue, and High Yield Bond 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 in-
vestment 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 of .20% of the average monthly market value of investments under
its management. Prior to December 16, 1994 Mellon served as the investment ad-
viser 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
10
<PAGE>
--------------------------------------------------------------------------------
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 to the Large Cap Value Portfolio, and was party to an investment advi-
sory agreement with the Trust dated October 22, 1992. Under the investment ad-
visory agreement, Duff & Phelps was paid a fee at the annual rate of .20% of
the average daily net assets of the Portfolio. For the period ended March 31,
1995, Duff & Phelps and Mellon received $2,000 and $37,000, respectively as
compensation for their services as investment adviser to the Portfolio.
Merus Capital Management ("Merus") serves as an investment sub-adviser to a
portion of the assets of the Large Cap Value Portfolio, and is party to an in-
vestment sub-advisory agreement with the Trust and SFM dated December 16, 1994.
Under the investment sub-advisory agreement, Merus receives an annual fee of
.20% of the average monthly market value of investments under its management.
American Express Financial Corporation, formerly known as IDS Advisory Group
Inc., serves as an investment sub-adviser 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-advi-
sory agreement, American Express Financial Corporation 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 manage-
ment.
Alliance Capital Management L.P. ("Alliance") serves as an investment sub-ad-
viser to a portion of the assets of the Large Cap Growth Portfolio and is party
to an investment sub-advisory agreement with the Trust dated December 16, 1994.
Under the investment sub-advisory agreement, Alliance is entitled to 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-adviser
for the Small Cap Value Portfolio and is party to an investment sub-advisory
agreement with the Trust dated December 16, 1994. Under the investment sub-ad-
visory 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, and Pilgrim
Baxter & Associates, the advisers of the Small Cap Growth Portfolio, are par-
ties to investment advisory agreements with the Trust dated July 1, 1993. Under
the agreements, the Advisers receive an annual fee of .50% of the average daily
net assets of the portion of the Portfolio that they advise. For the period
ended March 31, 1995, Investment Advisers, Inc. Nicholas-Applegate Capital Man-
agement, and Pilgrim Baxter & Associates, received $232,020, $230,240 and
$237,614, respectively in connection with the aforementioned agreements.
Nicholas-Applegate Capital Management, the Adviser of the Mid-Cap Growth
Portfolio, is a party to an investment advisory agreement with the Trust dated
November 16, 1992. Under the investment advisory agreement, Nicholas-Applegate
Capital Management receives 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 as-
sets in excess of $100,000,000.
SunBank Capital Management, N.A., the adviser of the Capital Appreciation,
Capital Growth, and Balanced Portfolios, is a party to investment advisory
agreements with the Trust dated September 9, 1987 for the Capital Appreciation
and Capital Growth Portfolios, and September 6, 1992, for the Balanced Portfo-
lio. Under the investment advisory agreements, SunBank Capital Management, N.A.
receives an annual fee of .25% of the average daily net assets of the Capital
Appreciation and Balanced Portfolios. SunBank is not paid a fee by the Trust
for the investment advisory services connected with the Capital Growth Portfo-
lio.
Merus Capital Management ("Merus"), serves as investment advisor for the Eq-
uity Income Portfolio, and is party to an investment advisory agreement with
the Trust dated September 24, 1987. Under the investment advisory agreement,
Merus receives an annual fee of .25% of the average daily
11
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
--------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
net assets of the Equity Income Portfolio. The Manager and Merus have agreed to
waive their fees proportionately so that the total annual expenses of the Port-
folio will not exceed the lower of the maximum limitations established by cer-
tain states or voluntary expense limitations adopted by the Manager
Western Asset Management, the adviser of the Core Fixed Income Portfolio, and
Boatmen's Trust Company, the adviser of the Bond Portfolio, are parties to an
investment advisory agreements dated January 19, 1994 and December 29, 1988,
respectively. Under the investment advisory agreements, each adviser receives
an annual fee of .125% of the average daily net assets of the Portfolio.
CS First Boston Investment Management Corporation ("CS First Boston") serves
as investment sub-adviser to the High Yield Bond Portfolio and is party to an
investment sub-advisory agreement with the Trust dated December 16, 1994. Under
the sub-advisory agreement, CS First Boston is 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 a distribution plan which provides for the Trust
to reimburse the Distributor for distribution expenses. Such expenses may not
exceed .30% of the average daily net assets of the Trust's Class A shares. Dis-
tribution expenses include, among other items, the compensation and benefits of
sales personnel incurred by the Distributor in connection with the promotion
and sale of shares. Distribution expenses are allocated among the Portfolios,
on the basis of their relative average daily net assets. In addition, Portfo-
lios with Class B shares and Class D shares, have separate distribution plans
that provide for additional payments to the Distributor of .30% of each of the
Class B and Class D shares' average daily net assets.
The Distribution Agreement between the Distributor and the Trust provides
that the Distributor may receive compensation on portfolio transactions ef-
fected for the Trust in accordance with the rules of the Securities and Ex-
change Commission ("SEC"). Accordingly, it is expected that portfolio transac-
tions may result in brokerage commissions being paid to the Distributor. The
SEC rules require that such commissions not exceed usual and customary broker-
age 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 being redeemed bears to
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 Manag-
er. The Trust pays each unaffiliated Trustee an annual fee for attendance of
quarterly, interim, and committee meetings. Compensation of officers and affil-
iated Trustees of the Trust is paid by the Manager.
Each of the Portfolios also used the Distributor as an agent in placing re-
purchase agreements. For this service the Distributor retains a portion of the
benefit as a commission. Such commissions for repurchase agreements placed dur-
ing the period ended March 31, 1995, were nominal in the aggregate.
12
<PAGE>
--------------------------------------------------------------------------------
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities in-
cluding U.S. Government securities, other than temporary cash investments dur-
ing the period ended March 31, 1995, were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
(000) (000)
--------- --------
<S> <C> <C>
Large Cap Value $167,302 $134,750
Large Cap Growth 133,851 12,555
Small Cap Value 43,599 26,755
Small Cap Growth 134,011 169,567
Mid-Cap Growth 24,617 91,943
Capital Appreciation 292,300 557,714
Equity Income 86,829 229,033
Balanced 42,930 36,472
Capital Growth 25,461 47,074
Core Fixed Income 610,181 491,454
Bond 37,497 110,600
High Yield Bond 6,700 206
</TABLE>
On March 31, 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 March 31, 1995,
for each portfolio is as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
----------- ----------- --------------
<S> <C> <C> <C>
Large Cap Value $12,830 $1,642 $11,188
Large Cap Growth 7,245 1,369 5,876
Small Cap Value 2,084 1,190 894
Small Cap Growth 64,142 5,711 58,431
Mid-Cap Growth 6,932 280 6,652
Capital Appreciation 38,615 22,437 16,178
Equity Income 24,005 4,998 19,007
Balanced 3,872 1,922 1,950
Capital Growth 12,909 5,234 7,675
Core Fixed Income 4,937 5,454 (517)
Bond 905 34 871
High Yield Bond 145 22 123
</TABLE>
The market values of the Intermediate Bond, Bond and High Yield Bond Portfo-
lios' 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 March 31, 1995 the following Portfolios had available realized capital
losses to offset future net capital gains through fiscal year ended 2003.
<TABLE>
<CAPTION>
(000)
-------
<S> <C>
Large Cap Value $ 1,397
Mid-Cap Growth 7,349
Small Cap Growth 17,019
Core Fixed Income 11,191
</TABLE>
6. FUTURES CONTRACTS:
The Core Fixed Income Portfolio had the following bond futures contracts open
as of March 31, 1995:
<TABLE>
<CAPTION>
UNREALIZED
CONTRACT NUMBER OF SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS TRADE PRICE MONTH (000)
----------- --------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
US 5 Year Note
(CBT) 373 $103.825067 June 1995 $(252)
US 10 Year Note
(CBT) 229 105.005595 June 1995 (253)
US Long Bond
(CBT) 136 105.000000 June 1995 78
US Long Bond
(CBT) 65 103.406250 June 1995 36
-----
$(391)
=====
</TABLE>
7. SHAREHOLDER VOTING RESULTS:
There was a special meeting of shareholders on March 10, 1995 for the share-
holders of the Large Cap Value Portfolio to approve the selections of LSV Asset
Management ("LSV") as one of three investment sub-advisers of the Portfolio and
approve the investment sub-advisory agreement between SEI Financial Management
Corporation and LSV.
<TABLE>
<CAPTION>
SHARES VOTED
------------
<S> <C>
For 8,080,158.607
Against 51,233.000
Abstain 69,831.000
</TABLE>
There were no broker non-votes submitted and no other proposals voted on at
such meeting.
13
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE
<PAGE>
SEI INSTITUTIONAL MANAGED TRUST
SUPPLEMENT DATED JULY 11, 1995 TO PROSPECTUS DATED JANUARY 31, 1995
The Prospectus dated January 31, 1995 relating to the Core Fixed Income,
Bond and High Yield Bond Portfolios of SEI Institutional Managed Trust is hereby
amended and supplemented by the addition of the following unaudited financial
information for the period ended May 31, 1995.
FINANCIAL HIGHLIGHTS SEI INSTITUTIONAL MANAGED TRUST
UNAUDITED
For a Class A Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
HIGH YIELD BOND PORTFOLIO
-----------------------------------------------------
For the period ended May 31,
-----------------------------------------------------
1995(1)
--------------------------------------------------------------------------------------------------------
<S> <C>
Net Asset Value,
Beginning of Period........................... $10.00
--------------------------------------------------------------------------------------------------------
Income from Investment Operations:
Net Investment Income......................... 0.33
Net Realized and Unrealized Gains
on Securities................................. 0.52
--------------------------------------------------------------------------------------------------------
Total from Investment Operations.............. $0.85
--------------------------------------------------------------------------------------------------------
Less Distributions:
Dividends from Net Investment Income.......... (0.24)
--------------------------------------------------------------------------------------------------------
Total Distributions........................... $(0.24)
--------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period................... $10.61
========================================================================================================
Total Return..................................... 8.58%
========================================================================================================
Ratios/Supplemental Data:
Net Assets, End of Period (000).................. $15,876
Ratio of Expenses to Average Net Assets.......... 0.69%*
Ratio of Expenses to Average Net Assets
(Excluding Waivers)............................. 0.82%*
Ratio of Net Investment Income to
Average Net Assets.............................. 9.53%*
Ratio of Net Investment Income to
Average Net Assets (Excluding Waivers).......... 9.40%*
Portfolio Turnover Rate.......................... 19%
========================================================================================================
</TABLE>
* Annualized
(1) High Yield Bond shares were offered beginning January 11, 1995.
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE
(v)
<PAGE>
The Prospectus for the Large Cap Value, Small Cap Growth, Capital Appreciation,
Equity Income, Balanced, Mid-Cap Growth, Capital Growth and Real Estate
Securities Portfolios, Institutional Class shares, is incorporated by reference
to Post-Effective Amendment No. 21 to the Registrant's Registration Statement on
Form N-1A (File Nos. 33-9504 and 811-4878) filed with the SEC on November 29,
1994.
The Prospectus for the Large Cap Growth and Small Cap Value Portfolios,
Institutional Class shares, is incorporated by reference to Post-Effective
Amendment No. 20 to the Registrant's Registration Statement on Form N-1A (File
Nos. 33-9504 and 811-4878) filed with the SEC on October 7, 1994.
The Prospectus for the Core Fixed Income (formerly, the Intermediate Bond
Portfolio) and Bond Portfolios, Class D shares, is incorporated by reference to
Post-Effective Amendment No. 21 to the Registrant's Registration Statement on
Form N-1A (File Nos. 33-9504 and 811-4878) filed with the SEC on November 29,
1994.
The Prospectus for the High Yield Bond Portfolio, Class D shares, is
incorporated by reference to Post-Effective Amendment No. 20 to the Registrant's
Registration Statement on Form N-1A (File Nos. 33-9504 and 811-4878) filed with
the SEC on October 7, 1994.
The Prospectus for the Large Cap Value, Small Cap Growth, Capital Appreciation,
Equity Income, Balanced and Mid-Cap Growth Portfolios, Class D shares, is
incorporated by reference to Post-Effective Amendment No. 19 to the Registrant's
Registration Statement on Form N-1A (File Nos. 33-9504 and 811-4878) filed with
the SEC on November 29, 1994.
The Prospectus for the Large Cap Growth and Small Cap Value Portfolios, Class D
shares, is incorporated by reference to Post-Effective Amendment No. 20 to the
Registrant's Registration Statement on Form N-1A (File Nos. 33-9504 and 811-
4878) filed with the SEC on October 7, 1994.
The Statement of Additional Information is incorporated by reference to Post-
Effective Amendment No. 21 to the Registrant's Registration Statement on Form N-
1A (File Nos. 33-9504 and 811-4878) filed with the SEC on November 29, 1994,
except for the unaudited financial statements for the High Yield Bond Portfolio,
for the period ended May 31, 1995, which are included herein.
(vi)
<PAGE>
<TABLE>
<CAPTION>
Statement of Net Assets SEI Institutional Managed Trust
May 31, 1995 Unaudited
Face Market
Amount Value
(000) HIGH YIELD BOND PORTFOLIO (000)
--------------------------------------------------------------------------------
Corporate Obligations (85.8%)
--------------------------------------------------------------------------------
<S> <C> <C>
Abbey Healthcare Group
$ 65 9.500%, 11/01/02 .................................. $ 67
Adelphia Communications
100 12.500%, 05/15/02 ................................. 100
AK Steel
100 10.750%, 04/01/04 ................................. 106
Allied Waste Industries
50 12.000%, 02/01/04 ................................. 52
American Restaurant Group
100 12.000%, 09/15/98 ................................. 87
American Standard
20 11.375%, 05/15/04 ................................. 22
250 Zero Coupon, 06/01/05 (B) ......................... 188
Amerigas Partner
100 10.125%, 04/15/07 (A) ............................. 103
Arcadian Partner
100 10.750%, 05/01/05 ................................. 102
Armco
100 11.375%, 10/15/99 ................................. 104
Atlantis Group
50 11.000%, 02/15/03 ................................. 51
Bally's Casino Holding
100 Zero Coupon, 06/15/98 (B) ......................... 68
Bally's Grand
100 10.375%, 12/15/03 ................................. 98
Bally's Health & Tennis
100 13.000%, 01/15/03 ................................. 84
Bally's Park Place Funding
150 9.250%, 03/15/04 .................................. 139
Bayou Steel
100 10.250%, 03/01/01 ................................. 95
Bell Cablemedia
300 Zero Coupon, 07/15/04 (B) ......................... 195
Big V Supermarkets
75 11.000%, 02/15/04 ................................. 66
Building Materials
300 Zero Coupon, 07/01/04 (B) ......................... 183
Cablevision Industries
50 9.250%, 04/01/08 .................................. 51
Cablevision Systems
50 9.875%, 02/15/13 .................................. 51
Casino America
100 11.500%, 11/15/01 ................................. 100
Centennial Cellular
250 10.125%, 05/15/05 ................................. 250
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Statement of Net Assets SEI Institutional Managed Trust
May 31, 1995 Unaudited
Face Market
Amount Value
(000) HIGH YIELD BOND PORTFOLIO (000)
--------------------------------------------------------------------------------
<S> <C> <C>
CF Cable Television
$ 50 11.625%, 02/15/05 ................................. $ 53
Cole National
250 11.250%, 10/01/01 ................................. 240
Comcast
50 9.500%, 01/15/08 .................................. 49
50 10.625%, 07/15/12 ................................. 53
Container
50 9.750%, 04/01/03 .................................. 51
Continental Cablevision
100 11.000%, 06/01/07 ................................. 110
Continental Medsystems
150 10.875%, 08/15/02 ................................. 155
50 10.375%, 04/01/03 ................................. 51
Coty
100 10.250%, 05/01/05 ................................. 103
County Seat Stores
100 12.000%, 10/01/01 ................................. 100
Crown Packaging Holdings
300 Zero Coupon, 11/01/03 (B) ......................... 150
Dairy Mart Convenience Stores
200 10.250%, 03/15/04 ................................. 170
Diamond Cable Communication
100 Zero Coupon, 09/30/04 (B) ......................... 62
Doman Industries
250 8.750%, 03/15/04 .................................. 237
Domtar
100 11.250%, 09/15/17 ................................. 108
Doskocil Cosmetics
100 9.750%, 07/15/00 .................................. 95
Duane Reade
250 12.000%, 09/15/02 ................................. 215
Exide
100 10.000%, 04/15/05 (A) ............................. 102
Falcon Drilling
100 9.750%, 01/15/01 .................................. 98
Farm Fresh
50 12.250%, 10/01/00 ................................. 48
Farm Fresh, Ser A
200 12.250%, 10/01/00 ................................. 193
Finlay Enterprises
50 Zero Coupon, 05/01/05 (B) ......................... 32
Fort Howard
150 9.000%, 02/01/06 .................................. 139
G-I Holdings
250 Zero Coupon, 10/01/98 (B) ......................... 173
Gaylord Container
50 11.500%, 05/15/01 ................................. 53
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Statement of Net Assets SEI Institutional Managed Trust
May 31, 1995 Unaudited
Face Market
Amount Value
(000) HIGH YIELD BOND PORTFOLIO (000)
--------------------------------------------------------------------------------
<S> <C> <C>
General Media
$ 100 10.625%, 12/31/00 ................................. $ 84
Geneva Steel
250 9.500%, 01/15/04 .................................. 203
GNF
200 10.625%, 04/01/03 ................................. 165
GPA Delaware
75 8.750%, 12/15/98 .................................. 61
Great Bay Property Funding
105 10.875%, 01/15/04 ................................. 91
Groupe Videotron
100 10.625%, 02/15/05 ................................. 106
Grupo Industrial Durango
100 12.000%, 07/15/01 ................................. 76
GS Technologies
100 12.000%, 09/01/04 ................................. 102
Gulf Canada Resources
100 9.250%, 01/15/04 .................................. 99
Harris Chemical
75 Zero Coupon, 07/15/01 (B) ......................... 68
Healthtrust
100 10.750%, 05/01/02 ................................. 111
Helicon Group
150 9.000%, 11/01/03 .................................. 138
Hills Stores
250 10.250%, 09/30/03 ................................. 244
Hollywood Casino
100 14.000%, 04/01/98 ................................. 109
Host Marriott Hospitality
53 10.625%, 02/01/00 ................................. 55
IMAX
100 7.000%, 03/01/01 .................................. 91
Integrated Health Services
250 9.625%, 05/31/02 (A) .............................. 253
Interlake
200 12.125%, 03/01/02 ................................. 203
International Cabletel
150 12.750%, 04/15/05 (A) ............................. 85
Ithaca Industries
100 11.125%, 12/15/02 ................................. 93
Jones Intercable
100 9.625%, 03/15/02 .................................. 103
Jordan Industries
250 10.375%, 08/01/03 ................................. 238
JPS Automotive Products
100 11.125%, 06/15/01 ................................. 100
K-III Communications
50 10.625%, 05/01/02 ................................. 52
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Statement of Net Assets SEI Institutional Managed Trust
May 31, 1995 Unaudited
Face Market
Amount Value
(000) HIGH YIELD BOND PORTFOLIO (000)
--------------------------------------------------------------------------------
<S> <C> <C>
Kloster Cruise
$ 150 13.000%, 05/01/03 ................................. $ 127
Malette
100 12.250%, 07/15/04 ................................. 108
Marvel III Holdings
100 9.125%, 02/15/98 .................................. 92
Maxus Energy
250 9.875%, 10/15/02 .................................. 243
Mesa
250 Zero Coupon, 06/30/98 (B) ......................... 241
MFS Communications
300 Zero Coupon, 01/15/04 (B) ......................... 204
Mobile Telecommunications Technologies
50 13.500%, 12/15/02 ................................. 53
Nextel Communications
300 Zero Coupon, 08/15/04 (B) ......................... 149
NL Industries
100 11.750%, 10/15/03 ................................. 106
Panamsat L.P.
50 9.750%, 08/01/00 .................................. 51
Pathmark Stores
300 Zero Coupon, 11/01/03 (B) ......................... 178
Penn Traffic
250 9.625%, 04/15/05 .................................. 237
Petroleum Heat & Power
50 12.250%, 02/01/05 ................................. 53
Pioneer Americas
100 13.375%, 04/01/05 (A) ............................. 105
Platex Family Products
50 9.000%, 02/15/03 .................................. 48
Rainy River Forest Products
100 10.750%, 10/15/01 ................................. 106
Red Roof Inns
50 9.625%, 12/15/03 .................................. 49
Repap Wisconsin
100 9.875%, 05/01/06 .................................. 98
Republic Engineered Steel
150 9.875%, 12/15/01 .................................. 141
Resorts International
100 11.000%, 09/15/03 ................................. 88
Revlon Consumer Products
150 9.375%, 04/01/01 .................................. 145
100 10.500%, 02/15/03 ................................. 99
Rexene
150 11.750%, 12/01/04 ................................. 163
Rogers Cablesystems
100 10.000%, 03/15/05 (A) ............................. 102
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Statement of Net Assets SEI Institutional Managed Trust
May 31, 1995 Unaudited
Face Market
Amount Value
(000) HIGH YIELD BOND PORTFOLIO (000)
--------------------------------------------------------------------------------
<S> <C> <C>
Santa Fe Energy Resource
$ 50 11.000%, 05/15/04 ................................. $ 53
SCI Television
50 11.000%, 06/30/05 ................................. 52
Sherritt
100 10.500%, 03/31/14 ................................. 100
Showboat
100 9.250%, 05/01/08 .................................. 93
Speicialty Equipement
250 11.375%, 12/01/03 ................................. 252
Station Casinos
100 9.625%, 06/01/03 .................................. 92
Stone Consolidated
100 10.250%, 12/15/00 ................................. 104
Stone Container
100 9.875%, 02/01/01 .................................. 100
Surgical Health
50 11.500%, 07/15/04 ................................. 56
Synthetic Industries
100 12.750%, 12/01/02 ................................. 100
Tracor
50 10.875%, 08/15/01 ................................. 52
Transtexas Gas
100 10.500%, 09/01/00 ................................. 107
Trump Plaza Funding
250 10.875%, 06/15/01 ................................. 229
Trump Taj Mahal PIK
202 11.350%, 11/15/99 ................................. 150
UCC Investors
50 11.000%, 05/01/03 ................................. 52
United International Holding
100 Zero Coupon, 11/15/99 ............................. 58
US Leather
100 10.250%, 07/31/03 ................................. 87
USG
50 9.250%, 09/15/01 .................................. 51
Venture Holdings Trust
250 9.750%, 04/01/04 .................................. 218
Viacom International
100 8.000%, 07/01/06 .................................. 97
Waban
250 11.000%, 05/15/04 ................................. 253
WCI Steel
100 10.500%, 03/01/02 ................................. 102
Wright Medical Technology
50 10.750%, 07/01/01 ................................. 50
--------------------------------------------------------------------------------
Total Corporate Obligations
(Cost $13,251[000]) .......................... 13,626
--------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Statement of Net Assets SEI Institutional Managed Trust
May 31, 1995 Unaudited
Face Market
Amount Value
(000) HIGH YIELD BOND PORTFOLIO (000)
--------------------------------------------------------------------------------
Units (4.8%)
--------------------------------------------------------------------------------
<S> <C> <C>
Commodore Media 1 Unit = 1 Senior Subordinate Note
+ 1 Warrant
$ 100 7.500%, 05/01/03 (A) .............................. $ 88
Gulf States Steel 1 Unit= 1 Bond + 1 Warrant
100 13.500%, 04/15/03 (A) ............................. 102
Health O Meter 1 Unit = 1 Senior Subordinate Note
+ 1 Warrant = 10.96 Shares Common Stock
100 13.000%, 08/15/02 ................................. 94
In Flight Phone 1 Unit = 1 Note + 1 Warrant
100 Zero Coupon, 05/15/02 (A) ......................... 66
MVE 1 Unit = 1 Senior Note + 1 Warrant
100 12.500%, 02/15/02 ................................. 106
People's Choice TV 1 Unit = 1 Senior Discount Note
+ 1 Warrant = 1.427 Shares Common Stock
400 Zero Coupon, 06/01/04 (B) ......................... 209
Santa Fe Hotel 1 Unit = 1 10,000 First Mortgage
Note + 1 Warrant
100 11.000%, 12/15/00 ................................. 96
--------------------------------------------------------------------------------
Total Units
(Cost $753[000]) ............................ 761
--------------------------------------------------------------------------------
Shares
--------------------------------------------------------------------------------
Warrants (0.0%)
--------------------------------------------------------------------------------
21 Wright Medical Technology ............................ 3
--------------------------------------------------------------------------------
Total Warrants
(Cost $3[000]) .............................. 3
--------------------------------------------------------------------------------
Common Stock (0.0%)
--------------------------------------------------------------------------------
66 Finlay Enterprises ................................... 1
Total Common Stock
(Cost $1[000]) .............................. 1
--------------------------------------------------------------------------------
Face
Amount
(000)
--------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Statement of Net Assets SEI Institutional Managed Trust
May 31, 1995 Unaudited
Face Market
Amount Value
(000) HIGH YIELD BOND PORTFOLIO (000)
--------------------------------------------------------------------------------
Repurchase Agreement (10.8%)
--------------------------------------------------------------------------------
<S> <C> <C>
$ 1,708 Sanwa Securities 6.05%, dated 5/31/95, matures
06/01/95, repurchase price
$1,708,287(collateralized by U.S. Treasury Note,
par value $1,714,000, 6.500%, 04/30/97, market
value:$1,752,000) ................................. $ 1,708
--------------------------------------------------------------------------------
Total Repurchase Agreement
(Cost $1,708[000]) .......................... 1,708
--------------------------------------------------------------------------------
Total Investments (101.4%)
(Cost $15,716[000]) ............................ 16,099
--------------------------------------------------------------------------------
Other Assets and Liabilities (-1.4%)
--------------------------------------------------------------------------------
Other Assets and Liabilities, Net ................... (223)
--------------------------------------------------------------------------------
Total Other Assets and Liabilities ................... (223)
--------------------------------------------------------------------------------
Net Assets:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 1,496,212
outstanding shares of beneficial interest .......... 15,346
Undistributed net investment income .................. 128
Accumulated net realized gain on investments ......... 19
Net unrealized appreciation on investments ........... 383
--------------------------------------------------------------------------------
Total Net Assets: (100.0%) ........................... $ 15,876
--------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class A ................................... $ 10.61
--------------------------------------------------------------------------------
</TABLE>
(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 May 31, 1995. The initial coupon on a step bond
changes on a specific date, to a predetermined higher rate.
LP -Limited partnership
PIK -Payment in Kind
Ser -Series
The accompanying notes are an integral part of the financial statements.
<PAGE>
SEI INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND PORTFOLIO
STATEMENT OF OPERATIONS
JANUARY 11, 1995 THROUGH MAY 31, 1995*
(Unaudited)
<TABLE>
<CAPTION>
Investment Income: (000)
---------
<S> <C>
Interest $320
---------
Expenses:
Management fees 11
Less management fees waived (4)
Investment advisory fees 10
Custodian/wire agent fees 1
Registration & filing fees 1
Printing expense 1
Distribution fees 1
Amortization of deferred
organization costs 1
---------
Total expenses 22
---------
Net investment income 298
---------
Net realized and unrealized gain
on investments.
Net Realized Gain From
Securities Sold 19
Net Change in Unrealized Apreciation
on Investments 383
---------
Net increase in net assets from
operations. $700
=========
</TABLE>
* Shares were offered beginning January 11, 1995.
The accompanying notes are an integral part of the financial statements.
<PAGE>
SEI INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND PORTFOLIO
STATEMENT OF CHANGE IN NET ASSETS
JANUARY 11, 1995 THROUGH MAY 31, 1995 *
(Unaudited)
<TABLE>
Operations: (000)
-----------
<S> <C>
Net Investment Income (Loss) $298
Net realized gain (loss) from security transactions 19
Net realized appreciation (depreciation) on investments 383
-----------
Net increase in net assets resulting from operations 700
-----------
Dividends distributed from:
Net investment income:
Class A (170)
-----------
Capital share transactions:
Class A:
Proceeds from shares issued 15,299
Shares issued in lieu of cash distributions 167
Cost of shares repurchased (120)
-----------
Increase in net assets derived from Class A transactions 15,346
-----------
Net increase in net assets 15,876
-----------
Net assets:
Beginning of period -
-----------
End of period $15,876
===========
Capital share transactions:
Class A:
Shares issued 1,492
Shares issued in lieu of cash distributions 16
Shares repurchased (12)
-----------
Total Class A transactions 1,496
-----------
</TABLE>
* Shares were offered beginning January 11, 1995.
The accompanying notes are an integral part of the financial statements.
<PAGE>
SEI INSTITUTIONAL MANAGED TRUST HIGH YIELD BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
JANUARY 11, 1995 THROUGH MAY 31, 1995**
(Unaudited)
<TABLE>
For a share outstanding throughout the period.
<S> <C>
Net asset value beginning of period $10.00
Income from investment operations:
Net investment income 0.33
Net realized and unrealized gain on securities 0.52
----
Total from investment operations 0.85
----
Dividends from net investment income (0.24)
----
Net asset value end of period $10.61
------
Total Return 8.58%
Net assets end of period $15,876
Ratio of expenses to average net assets 0.69%*
Ratio of net investment income to average net assets 9.53%*
Ratio of expenses to average net assets
(excluding waivers) 0.82%*
Ratio of net investment income to average
net assets (excluding waivers) 9.40%*
Portfolio turnover rate 19%
</TABLE>
* Annualized
** Shares were offered beginning January 11, 1995.
The accompanying notes are an integral part of the financial statements
<PAGE>
NOTES TO THE FINANCIAL STATEMENTS:
(Unaudited)
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 Growth, Capital Appreciation, Equity
Income, Balanced, Capital Growth, Core Fixed Income, Bond, and High Yield Bond.
The Real Estate Securities Portfolio had not commenced as of May 31, 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 Growth,
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 High Yield Bond Portfolio of 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 -- The High Yield Bond Portfolio intends 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 the High Yield Bond 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 the High Yield Bond 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. If the counterparty
defaults and the value of 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, expenses, and realized and unrealized gains/losses 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 High Yield Bond Portfolio. Any net realized
capital gains on the sales of securities by a Portfolio are distributed annually
to the Shareholders of the High Yield Bond Portfolio.
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 the interest income
is recognized on the accrual basis.
3. Management, Investment Advisory, and Distribution Agreements
<PAGE>
The Trust and SEI Financial Management Corporation (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 High Yield Bond
Portfolio. The Manger has agreed to waive 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, SEI Financial Management ("SFM") serves as the
investment advisor to the High Yield Bond Portfolio pursuant to an investment
advisory agreement with the Trust. For its services, SFM receives a fee of
.4875% of the average daily net assets of the High Yield Bond Portfolio. For
the period ended May 31, 1995 SFM received $10,000 as compensation for its
services as investment adviser to the High Yield Bond Portfolio.
BEA Associates ("BEA") serves as investment sub-adviser to the Portfolio
and is party to an investment sub-advisory agreement with the Trust dated April
24, 1995. Currently, BEA receives no fee for its services as investment sub-
adviser, however, if BEA is approved by a shareholder vote as investment sub-
adviser to the High Yield Bond Portfolio, BEA will be entitled to a fee paid
monthly by SFM of .3375% of the average monthly market value of investments
under its management. 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 shares of the Trust under a distribution plan which provides for
the Trust to reimburse the Distributor for distribution expenses. Such
expenses may not exceed .30% of the average daily net assets of the Trust's
Class A shares. Distribution expenses include, among other items, the
compensation and benefits of sales personnel incurred by the Distributor in
connection with the promotion and sale of shares. Distribution expenses are
allocated among the Portfolios on the basis of their relative average net
assets. In addition, Portfolios with Class B shares and Class D shares have
separate distribution plans that provide for additional payments to the
Distributor of .30% of each of the Class B and Class D shares average daily net
assets.
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 Portfolio 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
portfolio is amortizing its organizational costs, the redemption proceeds
payable to the holder thereof by the Portfolio 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.
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 May 31, 1995 were as follows:
<PAGE>
<TABLE>
<CAPTION>
Purchases Sales
(000) (000)
---------------------------------------------------
<S> <C> <C>
High Yield Bond $15,380 $1,421
</TABLE>
On May 31, 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 May 31, 1995 is
as follows:
<TABLE>
<CAPTION>
Appreciated Depreciated Net Unrealized
Securities Securities Appreciation/
(000) (000) (Depreciation)
(000)
---------------------------------------------------
<S> <C> <C> <C>
High Yield Bond 462 79 383
</TABLE>
The market values of the High Yield Bond Portfolio's 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.
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE
