<PAGE>
-------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST
-------------------------------------------------------
SEMI-ANNUAL REPORT
-------------------------------------------------------
March 31, 1995
<PAGE>
TABLE OF CONTENTS
- -----------------------------------------
<TABLE>
<S> <C>
Statement of Net Assets..................................................... 1
Statement of Operations..................................................... 32
Statement of Changes in Net Assets.......................................... 34
Financial Highlights........................................................ 38
Notes to Financial Statements............................................... 40
</TABLE>
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
LARGE CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 92.4%
AEROSPACE & DEFENSE -- 1.5%
Lockheed Martin* 18,000 $ 952
McDonnell Douglas 31,800 1,773
--------
2,725
--------
AIR TRANSPORTATION -- 0.5%
AMR* 5,000 324
Federal Express* 9,000 608
--------
932
--------
AIRCRAFT -- 0.9%
Textron 28,000 1,586
--------
APPAREL/TEXTILES -- 0.8%
Nike, Cl B 4,100 306
Springs Industries, Cl A 14,600 548
V F 10,000 531
--------
1,385
--------
AUTOMOTIVE -- 3.6%
Chrysler 23,200 972
Dana 20,000 510
Ford Motor 97,300 2,627
General Motors 54,900 2,429
--------
6,538
--------
BANKS -- 11.3%
Banc One 18,800 536
Bank of Boston 19,900 592
BankAmerica 48,200 2,326
Chemical Banking 50,000 1,888
Citicorp 46,400 1,972
First Interstate Bancorp 11,600 916
First of America Bank 10,050 338
First Union 36,500 1,583
Fleet Financial Group 16,700 541
Great Western Financial 45,600 855
H F Ahmanson 37,900 682
J P Morgan 17,300 1,055
National City 31,700 844
NationsBank 47,900 2,430
NBD Bancorp 70,000 2,275
SunTrust Banks 9,700 519
US Bancorp Oregon 23,300 606
Wachovia 12,100 430
--------
20,388
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Description Shares (000)
- --------------------------------------------------
<S> <C> <C>
BEAUTY PRODUCTS -- 0.2%
Alberto Culver, Cl B 11,500 $ 341
--------
CHEMICALS -- 6.1%
B F Goodrich 15,100 670
Dow Chemical 37,000 2,701
E I duPont de Nemours 53,500 3,237
Eli Lilly 12,300 899
First Mississippi 36,500 958
Monsanto 7,400 594
Union Carbide 50,000 1,531
Witco 13,100 385
--------
10,975
--------
COMPUTERS & SERVICES -- 3.2%
Apple Computer 19,000 670
IBM 57,200 4,683
Tandem Computers* 22,800 353
--------
5,706
--------
CONCRETE & MINERAL PRODUCTS -- 0.5%
Minnesota Mining & Manufacturing 14,000 814
--------
CONSUMER PRODUCTS -- 0.1%
Brown Group 5,900 171
--------
DRUGS -- 2.1%
American Home Products 15,650 1,115
Baxter International 24,400 799
Bristol Myers Squibb 19,100 1,203
Merck 14,000 597
--------
3,714
--------
ELECTRICAL SERVICES -- 7.3%
Baltimore Gas & Electric 42,000 992
Central & South West 35,000 849
Consolidated Edison of New York 50,700 1,382
Detroit Edison 45,000 1,232
Dominion Resources of Virginia 10,300 371
Duke Power 28,000 1,078
Entergy 20,000 418
Florida Progress 9,500 286
Pacificorp 27,800 539
PECO Energy 47,000 1,181
Public Service Enterprise Group 81,200 2,222
</TABLE>
1
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
LARGE CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Description Shares (000)
- -------------------------------------------------
<S> <C> <C>
SCE 85,000 $ 1,328
Texas Utilities 23,100 733
Wisconsin Energy 18,000 488
--------
13,099
--------
ELECTRICAL TECHNOLOGY -- 1.1%
Advanced Micro Devices* 9,000 305
Loral 10,500 446
Raytheon 6,300 459
Rockwell International 20,000 780
--------
1,990
--------
FINANCIAL SERVICES -- 3.4%
American Express 20,000 698
Beneficial 4,700 184
Dean Witter Discover 33,000 1,345
FNMA 2,691 219
Household International 20,000 870
Transamerica 15,000 849
Travelers 51,000 1,970
--------
6,135
--------
FOOD, BEVERAGE & TOBACCO -- 2.9%
American Brands 22,300 875
Archer Daniels Midland 44,000 820
General Mills 4,400 262
H J Heinz 9,800 377
Philip Morris 21,300 1,390
Seagram 28,000 889
UST 17,000 540
--------
5,153
--------
GAS/NATURAL GAS -- 1.2%
Consolidated Natural Gas 19,100 738
Eastern Enterprises
Nicor 8,100 203
Panhandle Eastern 55,000 1,264
--------
2,205
--------
HOUSEHOLD PRODUCTS -- 1.2%
Clorox 9,600 576
Maytag 52,000 891
National Service Industries 16,000 432
Raychem 8,000 325
--------
2,224
--------
INSURANCE -- 4.7%
American General 52,100 1,680
Cigna 30,700 2,295
ITT 3,900 400
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Description Shares (000)
- -----------------------------------------------
<S> <C> <C>
Jefferson Pilot 1,775 $ 105
Lincoln National 7,400 298
Marsh & McLennan 4,700 386
Safeco 24,300 1,330
Saint Paul 30,100 1,505
U.S. Life 12,000 458
--------
8,457
--------
MACHINERY -- 1.9%
Clark Equipment* 5,500 454
Deere 13,700 1,114
Dresser Industries 5,900 125
Halliburton 18,500 673
Parker-Hannifin 11,100 491
Timken 14,800 525
--------
3,382
--------
MEASURING DEVICES -- 0.2%
Johnson Controls 6,400 326
--------
MEDICAL PRODUCTS & SERVICES -- 1.2%
Becton Dickinson 23,000 1,247
Community Psychiatric Centers 27,000 348
United States Surgical 21,000 478
--------
2,073
--------
METALS & MINING -- 1.4%
Alcan Aluminum 36,000 958
Asarco 27,300 720
Reynolds Metals 9,200 453
USX--U.S. Steel Group 13,500 456
--------
2,587
--------
MISCELLANEOUS BUSINESS SERVICES -- 0.2%
Sun Microsystems* 11,200 389
--------
PAPER & PAPER PRODUCTS -- 2.2%
Champion International 32,400 1,401
International Paper 22,200 1,667
Kimberly Clark 3,900 203
Temple-Inland 14,500 651
Union Camp 3,100 161
--------
4,083
--------
PETROLEUM REFINING -- 16.1%
Amoco 51,900 3,302
Atlantic Richfield 27,000 3,105
</TABLE>
2
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- --------------------------------------------------
<S> <C> <C>
Chevron 23,000 $ 1,104
Coastal 13,900 400
Exxon 99,300 6,626
Mobil 64,300 5,956
Royal Dutch Petroleum 52,700 6,324
Texaco 18,200 1,210
Williams 33,100 1,014
--------
29,041
--------
PRINTING & PUBLISHING -- 0.6%
American Greetings 13,200 394
McGraw Hill 3,900 280
Meredith 15,400 401
--------
1,075
--------
PROFESSIONAL SERVICES -- 0.4%
Dun & Bradstreet 13,600 716
--------
RAILROADS -- 1.5%
Conrail 25,000 1,403
Norfolk Southern 15,800 1,057
Union Pacific 3,800 209
--------
2,669
--------
RECREATION -- 0.2%
Outboard Marine 18,800 395
--------
RETAIL -- 3.8%
J C Penney 18,100 812
Kmart 46,100 634
Melville 12,300 458
Price/Costco* 37,000 546
Rite Aid 20,000 490
Sears & Roebuck 41,000 2,188
Tandy 26,800 1,280
Wendy's International 20,000 328
--------
6,736
--------
RUBBER & PLASTIC -- 0.2%
Goodyear Tire & Rubber 11,000 404
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.2%
Thomas & Betts 6,500 421
--------
SPECIALTY MACHINERY -- 0.3%
Cooper Industries 13,400 519
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares/Face Value
Description Amount (000) (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
TELEPHONES & TELECOMMUNICATION -- 8.6%
Ameritech 76,300 $ 3,147
Bell Atlantic 12,300 649
Bellsouth 64,200 3,820
GTE 87,000 2,893
NYNEX 18,500 733
Pacific Telesis Group 109,500 3,312
Southwestern Bell 6,000 253
US West 16,600 664
--------
15,471
--------
TRANSPORTATION SERVICES -- 0.6%
Pittston Services Group 36,000 990
--------
TRUCKING -- 0.2%
Consolidated Freightways 11,000 293
--------
Total Common Stocks
(Cost $154,920) 166,108
--------
REPURCHASE AGREEMENT -- 7.8%
J P Morgan
6.20%, dated 03/31/95, matures 04/03/95, repurchase
price $14,076,000 (collateralized by various FNMA
obligations, total par value $124,704,000, 1.937%-
9.00%, 02/01/17-02/25/24, and various FHLMC
obligations, par value $21,783,000, 6.50%-7.419%,
10/01/17-01/01/24, market value of collateral:
14,350,000) $14,069 14,069
--------
Total Repurchase Agreement
(Cost $14,069) 14,069
--------
Total Investments -- 100.2%
(Cost $168,989) 180,177
--------
OTHER ASSETS AND LIABILITIES -- -0.2%
Other Assets and Liabilities, Net ( 336)
--------
NET ASSETS:
Portfolio shares of Class A (unlimited authorization --
no par value) based on 16,097,037 outstanding shares
of beneficial interest 169,144
Undistributed net investment income 334
</TABLE>
3
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
LARGE CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares/Face Value
Description Amount (000) (000)
- --------------------------------------------------------------------------
<S> <C> <C>
Accumulated net realized loss on investments $ (825)
Net unrealized appreciation on investments 11,188
--------
Total Net Assets -- 100.0% $179,841
========
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 11.17
========
</TABLE>
* Non-income producing security
ClClass
FHLMCFederal Home Loan Mortgage Corporation
FNMAFederal National Mortgage Association
LARGE CAP GROWTH PORTFOLIO
<TABLE>
<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
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ---------------------------------------------------
<S> <C> <C>
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
--------
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
</TABLE>
4
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ------------------------------------------------------
<S> <C> <C>
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
--------
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
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- --------------------------------------------------
<S> <C> <C>
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
--------
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
</TABLE>
5
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
LARGE CAP GROWTH PORTFOLIO
SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares/Face Value
Description Amount (000) (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
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
--------
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
FHLBFederal Home Loan Bank
FHLMCFederal Home Loan Mortgage Corporation
FNMAFederal National Mortgage Association
ClClass
LTDLimited
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- --------------------------------------------------
<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
-------
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
-------
</TABLE>
6
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- -----------------------------------------------------
<S> <C> <C>
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
-------
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
-------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ---------------------------------------------------
<S> <C> <C>
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
-------
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
-------
</TABLE>
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Description Shares (000)
- --------------------------------------------------
<S> <C> <C>
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
-------
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
-------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares/Face Market
Description Amount (000) Value (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
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 obliga-
tion, 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
-------
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
8
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- --------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 95.0%
AEROSPACE & DEFENSE -- 0.5%
Alliant Techsystems* 18,000 $ 686
Watkins Johnson 21,700 830
--------
1,516
--------
APPAREL/TEXTILES -- 2.7%
Lydall* 28,200 952
Nautica Enterprises* 88,250 2,757
Springs Industries, Cl A 26,600 998
St. John Knits 38,800 1,416
Tommy Hilfiger* 69,600 1,531
--------
7,654
--------
AUTOMOTIVE -- 0.0%
Coachmen Industries 2,200 38
--------
BANKS -- 1.6%
Anchor Bancorp Wisconsin 23,300 775
Bank of New Hampshire 40,700 1,079
Dime Bancorp* 171,000 1,517
Roosevelt Financial Group 30,600 482
Saint Francis Capital* 6,100 111
TCF Financial 17,900 772
--------
4,736
--------
BEAUTY PRODUCTS -- 0.3%
Helen of Troy LTD* 55,100 992
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.5%
Clear Channel Communications* 10,400 619
Heritage Media* 31,200 803
--------
1,422
--------
BUILDING & CONSTRUCTION -- 0.5%
Del Webb 74,400 1,395
--------
BUILDING & CONSTRUCTION SUPPLIES -- 0.3%
Butler Manufacturing 2,800 102
Lone Star Industries* 39,300 790
--------
892
--------
CHEMICALS -- 1.7%
First Mississippi 77,600 2,036
High Plains* 78,000 546
OM Group 29,900 748
Rexene* 63,600 700
Terra Nitrogen LP 28,300 853
--------
4,883
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ---------------------------------------------------
<S> <C> <C>
COMMUNICATIONS EQUIPMENT -- 4.0%
ADC Telecommunications* 44,800 $ 1,322
Digital Systems International* 68,800 473
Glenayre Technologies* 34,500 1,570
Kemet* 27,000 1,016
Stratacom* 94,300 4,053
Tellabs* 33,900 1,975
US Robotics* 16,200 1,013
--------
11,422
--------
COMPUTERS & SERVICES -- 18.0%
Alantec* 19,000 850
Appertus Technology* 104,300 1,343
Atria Software* 23,400 1,112
Auspex Systems* 79,500 725
Avid Technology* 25,600 774
Bay Networks* 21,000 774
Broderbund Software* 30,000 1,556
Chipcom 117,700 4,440
Electronics for Imaging* 57,300 3,066
Frame Technology* 47,500 903
FTP Software* 104,100 3,305
Hyperion Software* 77,500 3,623
Macro Media* 19,700 665
Medic Computer Sytems* 44,800 1,949
Micro Warehouse* 80,500 2,496
Micros Systems* 25,800 813
Microtouch Systems* 89,200 2,676
Mylex* 83,200 853
Netmanage* 57,100 2,398
Network General* 62,100 1,770
Network Peripherals* 45,800 985
Optical Data Systems* 63,200 2,196
Pairgain Technologies* 43,300 1,034
Parametric Technology* 49,000 1,960
Phamis* 13,200 287
Platinum Technology* 108,500 2,265
Proxima* 24,300 629
Pyxis* 12,800 266
Softkey International* 33,700 918
SPS Transaction Services* 16,000 560
Sybase* 10,500 420
TGV Software* 12,800 288
Wall Data* 11,900 547
Wonderware* 62,600 1,988
Zebra Technology* 33,500 1,374
--------
51,808
--------
CONSUMER PRODUCTS -- 0.6%
Wolverine World Wide 54,600 1,672
--------
</TABLE>
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
SMALL CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- --------------------------------------------
<S> <C> <C>
DRUGS -- 1.3%
Dura Pharmaceuticals* 54,500 $ 811
Idexx Laboratories* 16,400 681
R.P. Scherer* 32,000 1,608
Watson Pharmaceuticals* 25,500 752
--------
3,852
--------
ELECTRICAL TECHNOLOGY -- 2.5%
C-COR Electronics 27,400 545
Input/Output* 110,800 2,922
Microtest* 52,000 1,118
Paging Network* 41,700 1,397
Presstek* 18,900 1,247
--------
7,229
--------
ENVIRONMENTAL SERVICES -- 1.4%
Sanifill* 57,500 1,416
Tetra Tech* 65,981 1,287
United Waste Systems* 48,900 1,381
--------
4,084
--------
FINANCIAL SERVICES -- 3.0%
Credit Acceptance* 124,600 2,741
Medaphis* 43,900 2,766
Mercury Finance 99,866 ,610
The Money Store 60,100 1,510
--------
8,627
--------
FOOD, BEVERAGE & TOBACCO -- 1.3%
Hudson Foods, Cl A 74,400 1,423
Starbucks* 75,100 1,803
Thorn Apple Valley 26,300 506
--------
3,732
--------
HOTELS & LODGING -- 0.2%
Doubletree* 34,000 689
--------
HOUSEHOLD PRODUCTS -- 0.8%
Blyth Industries* 25,000 688
Department 56* 38,800 1,547
--------
2,235
--------
INSURANCE -- 2.0%
Allied Group 43,600 1,232
Oxford Health Plans* 63,600 3,561
Security-Connecticut 34,600 861
--------
5,654
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- -----------------------------------------------------
<S> <C> <C>
LUMBER & WOOD PRODUCTS -- 0.6%
Champion Enterprises* 35,000 $ 1,365
Redman Industries* 20,000 388
--------
1,753
--------
MACHINERY -- 1.9%
Cascade 60,000 795
Helix Technology 75,400 1,489
Kulicke & Soffa Industries* 30,600 838
Photronics* 69,150 1,573
Roper Industries 32,400 871
--------
5,566
--------
MANUFACTURING -- 0.2%
Varlen 29,600 673
--------
MEASURING DEVICES -- 0.7%
Cognex* 69,700 2,004
--------
MEDICAL PRODUCTS & SERVICES -- 11.2%
American Medical Responses* 25,200 633
Coventry* 169,300 4,908
Genesis Health Ventures* 32,300 1,009
Gulf South Medical Supply* 18,200 742
Health Care & Retirement* 28,000 882
Health Management
Associates, Cl A* 59,100 1,707
Healthsource* 81,600 3,866
Integrated Health Services* 29,100 1,102
Mariner Health Group* 32,000 620
Marquette Electronics, Cl A* 34,100 682
Omnicare 58,300 3,061
Phycor* 70,300 2,408
Quantum Health Resources* 4,100 85
Ren* 55,300 885
Steris* 38,200 1,528
Sun Healthcare Group* 55,400 1,413
Surgical Care Affiliates 7,700 179
Theratx* 24,400 409
Universal Health Services, Cl B* 36,500 922
Value Health* 39,800 1,522
Vencor* 90,550 3,226
Ventritex* 24,800 473
--------
32,262
--------
METALS & MINING -- 0.3%
Pittston Minerals Group 44,700 821
--------
</TABLE>
10
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ---------------------------------------------------
<S> <C> <C>
MISCELLANEOUS BUSINESS SERVICES -- 4.2%
Acxiom* 81,300 $ 1,362
Alltrista* 5,000 121
Alternative Resources* 12,900 513
American Business Information* 75,200 1,636
Barrett Business Services* 17,700 257
Cambridge Technology Partners* 64,900 1,946
Catalina Marketing* 37,200 1,846
Fair Isaac 31,800 1,526
McAfee Associates* 32,700 948
Synopsys* 39,500 1,886
--------
12,041
--------
MISCELLANEOUS CONSUMER SERVICES -- 1.8%
Corrections of America* 29,900 916
Cyrk International* 23,000 394
Loewen Group 37,100 1,011
Regis* 46,900 868
Robert Half International* 81,000 2,065
--------
5,254
--------
PAPER & PAPER PRODUCTS -- 0.8%
Gaylord Container* 124,400 1,617
Rock-Tenn, Cl A 42,700 715
--------
2,332
--------
PETROLEUM & FUEL PRODUCTS -- 0.6%
Benton Oil & Gas* 89,700 986
Global Industries* 31,000 690
--------
1,676
--------
PRINTING & PUBLISHING -- 1.6%
Books-A-Million* 66,900 978
Devon Group* 52,200 1,514
Franklin Quest* 29,100 917
Gartner Group, Cl A* 24,200 1,041
Scientific Games Holdings* 8,600 178
--------
4,628
--------
RAILROADS -- 0.7%
Railtex* 28,200 733
Wisconsin Central* 25,300 1,205
--------
1,938
--------
RETAIL -- 11.0%
Ann Taylor Stores* 31,800 1,185
Apple South 122,500 1,914
Baby Superstore* 20,700 812
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- --------------------------------------------------
<S> <C> <C>
Bed Bath & Beyond* 76,000 $ 1,881
Callaway Golf 59,000 826
CDW Computer Centers* 11,400 410
Corporate Express* 66,300 1,757
Discount Auto Parts* 25,100 602
Fastenal 76,600 1,886
First Team Sports* 29,000 656
General Nutrition Companies* 56,600 1,571
Gymboree* 59,300 1,505
Hollywood Entertainment* 28,500 998
Kohl's* 11,500 509
Office Depot* 78,550 1,915
Outback Steakhouse* 68,000 1,726
Papa John's International* 16,800 603
Petsmart* 51,100 1,789
Proffitts* 32,100 782
Smiths Food & Drug Centers 31,100 746
Staples* 95,475 2,518
Sunglass Hut International* 48,600 1,440
Viking Office Products* 127,900 3,964
--------
31,995
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 11.0%
Altera* 20,800 1,162
American Power Conversion* 92,400 1,513
Atmel* 77,400 2,990
Electroglas* 18,700 818
FSI International* 39,300 1,587
Integrated Device Technology* 28,800 1,066
International Rectifier* 77,900 1,870
KLA Instruments* 32,700 2,068
Lam Research* 39,250 1,756
Linear Technology 43,800 2,453
Microchip Technology* 33,400 939
Novellus Systems* 48,100 2,982
Planar Systems* 40,800 857
Read-Rite* 21,754 416
S3 41,300 927
Sanmina* 43,900 1,427
Tencor Instruments* 44,900 2,660
Ultratech Stepper* 27,300 1,327
Xilinx* 31,700 2,148
Zitel* 48,000 672
--------
31,638
--------
STEEL & STEEL WORKS -- 0.3%
National Steel, Cl B* 47,800 765
--------
TELEPHONES & TELECOMMUNICATION -- 3.0%
Applied Digital Access* 45,200 723
Ascend Communications* 37,900 2,453
Aspect Telecommunications* 19,100 702
</TABLE>
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
SMALL CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares/Face Market
Description Amount (000) Value (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
Cascade Communications* 10,000 $ 690
Cellular Communications of
Puerto Rico* 33,100 1,010
Cidco* 37,300 1,124
Intermedia Communications of Florida* 27,300 328
Mobile Telecommunication Technology* 40,000 925
Pronet* 41,700 756
--------
8,711
--------
TRANSPORTATION SERVICES -- 0.4%
Fritz Companies* 16,200 1,041
--------
1,041
--------
TRUCKING -- 0.5%
American Freightways* 31,400 714
Covenant Transportation, Cl A* 11,000 179
Heartland Express* 20,175 560
--------
1,453
--------
WHOLESALE -- 1.0%
America Online* 15,200 1,129
Cellstar* 40,000 800
Infosoft International* 18,000 864
--------
2,793
--------
Total Common Stocks
(Cost $215,444) 273,876
--------
U. S. TREASURY OBLIGATIONS -- 1.0%
U. S. Treasury Bill
5.630%, 05/25/95 $3,000 2,974
--------
Total U. S. Treasury Obligations (Cost $2,975) 2,974
--------
REPURCHASE AGREEMENT -- 2.9%
J.P. Morgan
6.20%, dated 03/31/95, matures 04/03/95, repurchase
price $8,322,000 (collaterized by FHLMC obligation,
par value $873,000, 8.50%, 01/01/25, and various
FNMA obligations, total par value $7,504,000,
5.289%-6.50%, 01/25/19-04/25/19, market value of
collateral: $8,484,000) 8,318 8,318
--------
Total Repurchase Agreement
(Cost $8,318) 8,318
--------
Total Investments -- 98.9%
(Cost $226,737) 285,168
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
OTHER ASSETS AND LIABILITIES -- 1.1%
Other Assets and Liabilities, Net $ 3,276
--------
NET ASSETS:
Portfolio shares of Class A (unlimited authorization -- no
par value) based on 18,890,092 outstanding shares of
beneficial interest 235,728
Portfolio shares of Class D (unlimited authorization -- no
par value) based on 22,363 outstanding shares of
beneficial interest 312
Accumulated net investment loss (785)
Accumulated net realized loss on investments (5,242)
Net unrealized appreciation on investments 58,431
--------
Total Net Assets: -- 100.0% $288,444
========
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 15.25
========
Net Asset Value and Redemption Price Per Share -- Class D $ 15.19
========
Maximum Offering Price Per
Share -- Class D ($15.19 / 95%) $ 15.99
========
</TABLE>
* Non-Income producing security.
FNMA Federal National Mortgage Association
FHLMC Federal Home Loan Mortgage Corporation
Cl Class
MID-CAP GROWTH PORTFOLIO
<TABLE>
<S> <C> <C>
COMMON STOCKS -- 94.6%
BROADCASTING, NEWSPAPERS & ADVERTIS-
ING -- 4.3%
Infinity Broadcasting* 22,900 $ 956
Viacom, Cl B* 14,400 644
-------
1,600
-------
COMMUNICATIONS EQUIPMENT -- 4.0%
ADC Telecommunications* 30,000 885
DSC Communications* 18,300 596
-------
1,481
-------
COMPUTERS & SERVICES -- 13.7%
Adaptec* 29,600 977
Adobe Systems 18,400 911
Cadence Design Systems* 29,700 787
</TABLE>
12
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- --------------------------------------------------
<S> <C> <C>
Computer Sciences* 11,500 $ 568
Micro Warehouse* 22,900 710
Oracle Systems* 9,900 309
Silicon Graphics* 24,200 859
-------
5,121
-------
ELECTRICAL TECHNOLOGY -- 4.3%
Itel* 23,100 886
Teradyne* 17,200 714
-------
1,600
-------
FINANCIAL SERVICES -- 2.2%
Green Tree Financial 20,100 824
-------
FOOD, BEVERAGE & TOBACCO -- 0.6%
Starbucks* 9,900 238
-------
HOTELS & LODGING -- 3.3%
Hospitality Franchise Systems* 19,900 636
Host Marriott* 50,400 599
-------
1,235
-------
INSURANCE -- 3.3%
MGIC Investment 18,200 741
Pacificare Health Systems* 7,000 506
-------
1,247
-------
MEDICAL PRODUCTS & SERVICES -- 14.4%
Cardinal Health 10,900 519
Cordis* 13,000 945
Health Care & Retirement* 25,900 816
Healthsouth Rehabilitation* 18,400 748
Horizon Healthcare* 31,200 835
Manor Care 25,800 784
Medtronic 10,600 735
-------
5,382
-------
MISCELLANEOUS BUSINESS SERVICES -- 13.2%
Autodesk 21,000 885
Ceridian* 18,900 631
CUC International* 19,100 743
Equifax 19,600 662
First Data 8,000 415
Manpower 21,000 675
Symantec* 41,300 948
-------
4,959
-------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
PAPER & PAPER PRODUCTS -- 1.1%
Jefferson Smurfit* 26,600 $ 429
-------
PETROLEUM & FUEL PRODUCTS -- 2.0%
Mitchell Energy & Development, Cl B 16,300 287
Pogo Producing 22,800 465
-------
752
-------
RETAIL -- 16.1%
Dollar General Stores 29,750 781
General Nutrition Companies* 21,100 586
Mattel 26,125 643
Officemax* 30,200 774
Pep Boys -- Manny Moe & Jack 12,800 397
Safeway* 22,200 771
Staples* 38,100 1,004
Tandy 7,900 377
Viking Office Products* 22,500 698
-------
6,031
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 5.9%
Analog Devices* 35,300 900
Integrated Device Technology* 18,800 696
Read-Rite* 32,100 614
-------
2,210
-------
STEEL & STEEL WORKS -- 2.3%
J & L Specialty Steel 42,800 851
-------
TELEPHONES & TELECOMMUNICATION -- 1.7%
Paging Network* 18,500 620
-------
TRUCKING -- 2.2%
Pittston Services Group 29,800 820
-------
Total Common Stocks
(Cost $28,748) 35,400
-------
Total Investments -- 94.6%
(Cost $28,748) 35,400
-------
OTHER ASSETS AND LIABILITIES -- 5.4%
Other Assets and Liabilities, Net 2,028
-------
NET ASSETS:
Portfolio shares of Class A (unlimited authorization -- no
par value) based on 3,369,618 outstanding shares of
beneficial interest 40,730
</TABLE>
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--March 31, 1995 (Unaudited)
MID-CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
Portfolio shares of Class D (unlimited authorization -- no
par value) based on 8,166 outstanding shares of beneficial
interest $ 89
Accumulated net investment loss (70)
Accumulated net realized loss on investments (9,973)
Net unrealized appreciation on investments 6,652
-------
Total Net Assets: -- 100.0% $37,428
=======
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 11.08
=======
Net Asset Value and Redemption
Price Per Share -- Class D $ 11.04
=======
Maximum Offering Price Per
Share -- Class D ($11.04 / 95%) $ 11.62
=======
</TABLE>
*Non-Income Producing Security
Cl Class
CAPITAL APPRECIATION PORTFOLIO
<TABLE>
<S> <C> <C>
COMMON STOCKS -- 86.0%
AIR TRANSPORTATION -- 0.5%
Federal Express* 32,400 $ 2,191
--------
AIRCRAFT -- 7.1%
Allied Signal 150,400 5,903
Boeing 11,800 636
General Dynamics 367,800 17,286
Textron 80,300 4,547
United Technologies 76,000 5,254
--------
33,626
--------
BANKS -- 2.6%
Chemical Banking 234,200 8,841
Cullen Frost Bankers 50,200 1,795
Midlantic 43,500 1,490
--------
12,126
--------
BEAUTY PRODUCTS -- 2.0%
Procter & Gamble 144,400 9,567
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ------------------------------------------------
<S> <C> <C>
BROADCASTING, NEWSPAPERS & ADVERTISING -- 4.0%
British Sky Broadcasting* 37,000 $ 911
Capital Cities/ABC 5,000 441
Sphere Drake Holdings* 242,800 3,672
Tele-Communications, Cl A* 452,900 9,512
Viacom, Cl B* 100,000 4,475
--------
19,011
--------
BUILDING & CONSTRUCTION -- 0.5%
Foster Wheeler 74,000 2,507
--------
CHEMICALS -- 2.5%
Air Products & Chemicals 5,300 276
Dow Chemical 28,900 2,110
Eastman Chemical 47,500 2,642
Ethyl 298,000 3,053
Molten Metal Technology* 178,000 2,982
Purus* 155,000 107
Witco 24,700 726
--------
11,896
--------
COMMUNICATIONS EQUIPMENT -- 6.1%
ITT 60,700 6,229
Motorola 217,800 11,897
Scientific Atlanta 459,200 10,734
--------
28,860
--------
COMPUTERS & SERVICES -- 0.5%
Autotote, Cl A* 197,000 1,084
Microsoft* 20,600 1,465
--------
2,549
--------
CONTAINERS & PACKAGING -- 0.4%
Newell 76,600 1,953
--------
DRUGS -- 3.5%
Allergan 16,400 484
Merck 99,800 4,254
Schering Plough 30,200 2,246
Smithkline Beecham 150,500 5,643
Warner Lambert 48,200 3,772
--------
16,399
--------
ELECTRICAL SERVICES -- 0.1%
Shandong Huaneng Power ADR* 30,300 273
--------
</TABLE>
14
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ---------------------------------------------------
<S> <C> <C>
ELECTRICAL TECHNOLOGY -- 1.0%
Duracell International 39,800 $ 1,781
Sensormatic Electronics 66,400 1,859
Texas Instruments 10,000 885
--------
4,525
--------
ENTERTAINMENT -- 0.5%
Walt Disney 48,000 2,562
--------
ENVIRONMENTAL SERVICES -- 0.8%
Browning Ferris Industries 22,300 758
WMX Technologies 111,700 3,072
--------
3,830
--------
FINANCIAL SERVICES -- 2.9%
Dean Witter Discover 63,700 2,596
FHLMC 96,800 5,856
Travelers 130,966 5,059
--------
13,511
--------
FOOD, BEVERAGE & TOBACCO -- 5.6%
Coca-Cola 50,000 2,825
Conagra 84,800 2,809
Cott 104,200 886
Philip Morris 208,500 13,604
RJR Nabisco Holdings 1,067,900 6,274
--------
26,398
--------
HOTELS & LODGING -- 0.4%
Circus Circus Enterprises* 55,200 1,780
--------
HOUSEHOLD PRODUCTS -- 0.5%
Sunbeam-Oster 96,300 2,203
--------
INSURANCE -- 6.4%
American International Group 11,400 1,188
CCP Insurance 120,000 2,550
Chubb 35,200 2,781
Conseco 13,800 550
First Colony 27,100 613
Penncorp Financial Group 227,200 4,004
United Healthcare 64,700 3,025
US Healthcare 231,200 10,231
Washington National 295,000 5,458
--------
30,400
--------
JEWELRY, WATCHES, & PRECIOUS STONES -- 0.2%
Jan Bell Marketing* 251,000 816
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ----------------------------------------------------
<S> <C> <C>
MACHINERY -- 5.1%
Emerson Electric 50,400 $ 3,352
Fisher Scientific International 85,800 2,553
General Electric 321,000 17,373
General Signal 29,300 1,044
--------
24,322
--------
MARINE TRANSPORTATION -- 2.0%
Carnival, Cl A 409,600 9,574
--------
MEASURING DEVICES -- 0.6%
Wheelabrator Technologies 196,600 2,679
--------
MEDICAL PRODUCTS & SERVICES -- 2.7%
Beverly Enterprises* 135,000 1,958
Boston Scientific* 100,406 2,472
Columbia HCA Healthcare 118,400 5,091
Healthtrust* 84,000 3,161
--------
12,682
--------
MISCELLANEOUS BUSINESS SERVICES -- 1.5%
Automatic Data Processing 54,400 3,427
Novell* 196,000 3,724
--------
7,151
--------
PETROLEUM & FUEL PRODUCTS -- 0.3%
YPF Sociedad Anonima ADR 74,600 1,417
--------
PETROLEUM REFINING -- 2.4%
Amoco 67,500 4,295
Chevron 32,900 1,579
Royal Dutch Petroleum ADR 46,400 5,568
--------
11,442
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 1.6%
Eastman Kodak 37,600 1,998
Xerox 48,300 5,669
--------
7,667
--------
PRINTING & PUBLISHING -- 1.0%
American Greetings 158,500 4,735
--------
RAILROADS -- 0.2%
Burlington Northern 18,500 1,098
--------
</TABLE>
15
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares/Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------------
<S> <C> <C>
RETAIL -- 10.7%
Albertson's 66,200 $ 2,135
American Stores 71,000 1,819
Barnes & Noble* 78,900 2,397
Federated Department Stores* 313,300 6,932
Home Depot 324,100 14,339
McDonald's 268,000 9,146
Wal-Mart Stores 355,000 9,053
Wendy's International 309,900 5,075
--------
50,896
--------
RUBBER & PLASTIC -- 1.3%
Goodyear Tire & Rubber 138,900 5,104
Premark International 28,500 1,258
--------
6,362
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.4%
AMP 187,800 6,761
Intel 53,000 4,498
--------
11,259
--------
STEEL & STEEL WORKS -- 0.8%
Nucor 65,900 3,707
--------
TELEPHONES & TELECOMMUNICATION -- 4.6%
AT&T 385,778 19,964
LDDS Communications* 77,200 1,805
--------
21,769
--------
WHOLESALE -- 0.7%
Sysco 126,100 3,310
--------
Total Common Stocks
(Cost $390,750) 407,053
--------
PREFERRED STOCKS -- 2.0%
FINANCIAL SERVICES -- 0.9%
American Express, 6.25% Convertible 93,600 4,200
--------
PETROLEUM REFINING -- 0.4%
Unocal, 7.00% Convertible (A) 40,000 2,110
--------
STEEL & STEEL WORKS -- 0.7%
Bethlehem Steel,
$3.50 Convertible (A) 73,400 3,395
--------
Total Preferred Stocks
(Cost $9,564) 9,705
--------
CONVERTIBLE BONDS -- 1.7%
Time Warner Convertible to 20.95 shares
8.750%, 01/10/15 $4,000 4,000
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares/Face Market
Description Amount (000) Value (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
Valhi Convertible LYON Convertible to 14.4308 shares
10/20/07 $12,000 $ 4,005
--------
Total Convertible Bonds
(Cost $8,271) 8,005
--------
REPURCHASE AGREEMENT -- 6.1%
J.P. Morgan
6.20%, dated 03/31/95, matures 04/03/95, repurchase
price $28,835,000 (collateralized by various FHLMC
obligations, total par value $29,333,000, 0.00%-
8.50%, 05/01/19-01/01/25, and FNMA obligation, par
value $16,982,000, 5.839%, 05/01/29, market value
of collateral: $29,396,000) 28,820 28,820
--------
Total Repurchase Agreement
(Cost $28,820) 28,820
--------
Total Investments -- 95.8%
(Cost $437,405) 453,583
--------
</TABLE>
<TABLE>
<S> <C> <C>
OTHER ASSETS AND LIABILITIES -- 4.2%
Other Assets and Liabilities, Net 20,209
--------
NET ASSETS:
Portfolio shares of Class A (unlimited authorization--no par
value) based on 32,073,901 outstanding shares of beneficial
interest 459,403
Portfolio shares of Class D (unlimited authorization--no par
value) based on 39,510 outstanding shares of beneficial
interest 659
Undistributed net investment income 1,154
Accumulated net realized loss on investment (3,602)
Net unrealized appreciation 16,178
--------
Total Net Assets: -- 100.0% $473,792
========
Net Asset Value, Offering and Redemption Price Per Share--Class
A $14.75
========
Net Asset Value and Redemption Price Per Share--Class D $14.75
========
Maximum Offering Price Per Share--Class D ($14.75 / 95%) $15.53
========
</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.
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
ADR American Depository Receipt
PLC Public Limited Company
LYON Liquid Yield Option Note
Cl Class
16
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ----------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 84.3%
BANKS -- 12.8%
Banc One 128,300 $ 3,657
BankAmerica 28,200 1,361
First of America Bank 67,500 2,270
Fleet Financial 114,200 3,697
H F Ahmanson 258,300 4,649
J P Morgan 118,200 7,210
National City 103,600 2,758
St. Paul Bancorp 109,800 5,490
US Bancorp of Oregon 158,900 4,131
UST 115,900 3,680
Wachovia 82,200 2,918
--------
41,821
--------
CHEMICAL & ALLIED PRODUCTS -- 6.1%
Dow Chemical 60,000 4,380
E I duPont de Nemours 48,100 2,910
Eli Lilly 83,600 6,113
Monsanto 50,250 4,033
Witco 89,100 2,617
--------
20,053
--------
DRUGS -- 8.1%
American Home Products 106,610 7,596
Baxter International 170,200 5,574
Bristol-Myers Squibb 129,800 8,178
Brown Group 40,600 1,177
Merck 95,500 4,071
--------
26,596
--------
ELECTRIC LIGHTING & WIRING EQUIPMENT -- 0.9%
National Service Industries 109,300 2,951
--------
ELECTRICAL SERVICES -- 6.9%
Baltimore Gas & Electric 116,150 2,744
Dominion Resources 70,070 2,523
Florida Progress 64,800 1,952
Pacificorp 189,600 3,674
Public Service Enterprise Group 119,400 3,269
Texas Utilities 157,400 4,996
Wisconsin Energy 122,600 3,326
--------
22,484
--------
FINANCIAL SERVICES -- 4.8%
American General 218,700 7,053
Beneficial 32,200 1,264
FNMA 18,100 1,473
Great Western Financial 311,200 5,835
--------
15,625
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- -----------------------------------------------------
<S> <C> <C>
FOOD, BEVERAGE & TOBACCO -- 6.0%
American Brands 149,900 $ 5,884
General Mills 30,000 1,789
H J Heinz 67,000 2,580
Philip Morris 145,000 9,460
--------
19,713
--------
GAS/NATURAL GAS -- 2.0%
Consolidated Natural Gas 129,800 5,013
Nicor 55,100 1,378
--------
6,391
--------
HOUSEHOLD PRODUCTS -- 1.2%
Clorox 65,200 3,912
--------
INSURANCE -- 2.5%
Jefferson Pilot 12,000 710
Lincoln National 50,300 2,025
Marsh & McLennan 32,200 2,644
Safeco 48,900 2,677
--------
8,056
--------
MACHINERY -- 0.3%
Dresser Industries 40,600 863
--------
PAPER & PAPER PRODUCTS -- 2.5%
Kimberly Clark 26,900 1,399
Minnesota Mining & Manufacturing 95,700 5,562
Union Camp 21,200 1,100
--------
8,061
--------
PETROLEUM REFINING -- 12.8%
Amoco 150,900 9,602
Atlantic Richfield 48,100 5,532
Chevron 156,900 7,531
Exxon 123,400 8,237
Mobil 28,700 2,658
Texaco 124,300 8,266
--------
41,826
--------
PRINTING & PUBLISHING -- 0.6%
McGraw Hill 26,500 1,901
--------
PROFESSIONAL SERVICES -- 1.5%
Dun & Bradstreet 92,600 4,873
--------
RAILROADS -- 0.4%
Union Pacific 25,600 1,408
--------
</TABLE>
17
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust--March 31, 1995 (Unaudited)
EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares/Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------------------------
<S> <C> <C>
RETAIL -- 4.0%
J C Penney 121,300 $ 5,443
Kmart 333,500 4,586
Melville 84,200 3,136
--------
13,165
--------
RUBBER & PLASTIC -- 1.4%
B F Goodrich 103,200 4,580
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.9%
Thomas & Betts 44,500 2,881
--------
SPECIALTY MACHINERY -- 0.4%
Cooper Industries 37,500 1,453
--------
TELEPHONES & TELECOMMUNICATION -- 8.2%
Bell Atlantic 83,800 4,420
BellSouth 69,400 4,129
GTE 263,600 8,765
NYNEX 126,100 4,997
US West 113,266 4,531
--------
26,842
--------
Total Common Stock
(Cost $256,448) 275,455
--------
REPURCHASE AGREEMENT -- 14.9%
JP Morgan 6.20%, dated 03/31/95, matures 04/03/95,
repurchase price $48,782,000 (collateralized by
various FHLMC obligations, total par value
$142,740,000, 1.241%-8.50%, 08/01/99-12/01/24 and
various FNMA obligations, total par value
$197,764,000, 0.937%-9.50%, 09/25/98-03/01/25,
market value of collateral: $49,734,000) $48,758 48,758
--------
Total Repurchase Agreement
(Cost $48,758) 48,758
--------
Total Investments -- 99.2%
(Cost $305,206) 324,213
--------
OTHER ASSETS AND LIABILITIES -- 0.8%
Other Assets and Liabilities, Net 2,706
--------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 22,928,851
outstanding shares of beneficial interest 299,274
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
Portfolio shares of Class D (unlimited authorization -- no
par value) based on 65,158 outstanding shares of
beneficial interest $ 922
Undistributed net investment income 948
Accumulated net realized gain on investments 6,768
Net unrealized appreciation on investments 19,007
--------
Total Net Assets: -- 100.0% $326,919
========
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 14.22
========
Net Asset Value and Redemption Price Per Share -- Class D $ 14.20
========
Maximum Offering Price Per Share -- Class D ($10.20 / 95%) $ 14.95
========
</TABLE>
FNMAFederal National Mortgage Association
FHLMC Federal Home Loan Mortgage Corporation
BALANCED PORTFOLIO
<TABLE>
<S> <C> <C>
COMMON STOCKS -- 65.0%
AIR TRANSPORTATION -- 0.4%
Federal Express* 4,300 $ 291
-------
AIRCRAFT -- 1.5%
General Dynamics 21,600 1,015
-------
BANKS -- 1.7%
BankAmerica 6,900 333
Cullen Frost Bankers 2,500 89
First Chicago 10,000 502
Northern Trust 6,100 214
-------
1,138
-------
BEAUTY PRODUCTS -- 2.2%
Procter & Gamble 22,100 1,464
-------
BROADCASTING, NEWSPAPERS & ADVERTISING --
2.8%
Tele-Communications, Cl A* 50,100 1,052
Viacom, Cl B* 18,865 844
-------
1,896
-------
CHEMICALS -- 0.3%
Molten Metal Technology* 14,500 243
-------
</TABLE>
18
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ----------------------------------------------
<S> <C> <C>
COMMUNICATIONS EQUIPMENT -- 4.1%
ITT 4,600 $ 472
Motorola 22,884 1,251
Scientific Atlanta 34,100 797
Vishay Intertechnology* 3,320 186
-------
2,706
-------
COMPUTERS & SERVICES -- 1.0%
Autotote, Cl A* 45,000 248
Microsoft* 6,400 455
-------
703
-------
CONTAINERS & PACKAGING -- 0.2%
Newell 5,000 128
-------
DRUGS -- 4.4%
Amgen* 3,923 264
Centocor* 5,000 79
Marion Merrell Dow 21,600 535
Schering Plough 12,000 893
Smithkline Beecham 5,100 191
Warner Lambert 12,200 955
-------
2,917
-------
ELECTRICAL TECHNOLOGY -- 1.3%
Avnet 5,000 202
Sensormatic Electronics 8,000 224
Texas Instruments 5,200 460
-------
886
-------
ENTERTAINMENT -- 0.4%
Walt Disney 5,100 272
-------
ENVIRONMENTAL SERVICES -- 2.1%
Browning Ferris Industries 24,800 843
WMX Technologies 21,100 580
-------
1,423
-------
FINANCIAL SERVICES -- 1.6%
Dean Witter Discover 12,500 510
FHLMC 1,700 103
Travelers 11,300 436
-------
1,049
-------
FOOD, BEVERAGE & TOBACCO -- 4.8%
Conagra 13,200 437
Cott 23,500 200
Philip Morris 17,800 1,161
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ---------------------------------------------------
<S> <C> <C>
Quaker Oats 8,600 $ 285
RJR Nabisco Holdings 137,300 807
Sara Lee 10,000 261
-------
3,151
-------
HOTELS & LODGING -- 2.9%
Circus Circus Enterprises* 32,000 1,032
Promus* 23,000 863
-------
1,895
-------
HOUSEHOLD PRODUCTS -- 0.7%
Premark International 10,600 468
-------
INSURANCE -- 4.0%
CCP Insurance 17,500 372
Chubb 3,200 253
Conseco 6,900 275
United Healthcare 16,600 775
US Healthcare 17,325 767
Value Health* 5,300 203
-------
2,645
-------
MACHINERY -- 2.5%
General Electric 30,000 1,624
-------
MARINE TRANSPORTATION -- 1.1%
Carnival, Cl A 32,000 748
-------
MEDICAL PRODUCTS & SERVICES -- 3.9%
Columbia HCA Healthcare 41,600 1,789
Healthtrust* 19,000 715
Mid Atlantic Medical Services* 2,500 55
-------
2,559
-------
MISCELLANEOUS BUSINESS SERVICES -- 1.1%
Automatic Data Processing 4,100 258
Novell* 24,700 470
-------
728
-------
PETROLEUM & FUEL PRODUCTS -- 0.9%
Mobil 5,000 463
YPF Sociedad Anonima ADR 7,000 133
-------
596
-------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.8%
Xerox 4,400 516
-------
PRINTING & PUBLISHING -- 0.8%
American Greetings 11,000 328
Marvel Entertainment Group* 10,000 173
-------
501
-------
</TABLE>
19
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ----------------------------------------------------
<S> <C> <C>
RETAIL -- 9.1%
Barnes & Noble* 15,000 $ 456
Federated Department Stores* 29,700 657
Home Depot 39,633 1,754
Limited 28,300 654
Mattel 10,000 246
Office Depot* 14,200 346
Pep Boys -- Manny Moe & Jack 11,000 341
Toys R US* 7,000 179
Wal-Mart Stores 35,300 900
Wendy's International 29,900 490
-------
6,023
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.7%
AMP 23,000 828
Intel 11,500 976
-------
1,804
-------
STEEL & STEEL WORKS -- 0.5%
Bethlehem Steel 3,400 55
Nucor 4,500 253
-------
308
-------
TELEPHONES & TELECOMMUNICATION -- 5.2%
AT&T 41,900 2,168
British Telecommunications
PLC ADR 8,000 506
LDDS Communications* 33,100 774
-------
3,448
-------
Total Common Stocks
(Cost $41,089) 43,145
-------
U. S. TREASURY OBLIGATIONS -- 19.8%
U.S. Treasury Notes
7.875%, 07/15/96 50 51
8.500%, 07/15/97 250 258
8.750%, 10/15/97 3,390 3,532
9.000%, 05/15/98 1,210 1,277
8.250%, 07/15/98 1,200 1,243
7.125%, 02/29/00 870 871
6.375%, 08/15/02 1,165 1,111
6.250%, 02/15/03 775 730
7.875%, 11/15/04 365 381
7.500%, 02/15/05 3,620 3,695
-------
Total U. S. Treasury Obligations
(Cost $13,237) 13,149
-------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000) Value (000)
- ------------------------------------------------------------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 5.1%
AMR
9.500%, 07/15/98 $ 275 $ 284
Beneficial
8.050%, 11/23/98 1,000 1,014
Ford Motor Credit
6.250%, 02/26/98 1,045 1,015
General Motors Acceptance
6.100%, 09/11/97 690 668
Sears Roebuck
9.250%, 08/01/97 400 418
-------
Total Corporate Obligations
(Cost $3,409) 3,399
-------
MEDIUM TERM NOTES -- 3.6%
AT&T
7.800%, 02/10/98 1,215 1,230
International Lease
7.300%, 09/21/98 675 672
Salomon Brothers
5.650%, 02/10/98 530 496
-------
Total Medium Term Notes
(Cost $2,393) 2,398
-------
GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 3.1%
FHLMC
6.000%, 12/01/98 562 543
8.000%, 12/01/02 1,046 1,051
FNMA
5.500%, 12/25/05 500 473
-------
Total Government Mortgage-
Backed Obligations
(Cost $2,076) 2,067
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.8%
FHLMC
6.830%, 09/29/97 1,170 1,164
-------
Total U.S. Government Agency Obligations
(Cost $1,163) 1,164
-------
ASSET BACKED SECURITIES -- 0.6%
Merrill Lynch
5.125%, 07/15/98 48 48
Navistar Financial
5.930%, 01/15/96 371 366
-------
Total Asset Backed Securities
(Cost $419) 414
-------
</TABLE>
20
<PAGE>
- --------------------------------------------------------------------------------
CAPITAL GROWTH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000) Value (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 0.4%
J.P. Morgan
6.20%, dated 03/31/95, matures 04/03/95, repurchase
price $293,203 (collaterized by FNMA obligation,
par value $8,044,000, 1.937%, 02/25/24, market
value of collateral: $299,000) $293 $ 293
-------
Total Repurchase Agreement
(Cost $293) 293
-------
Total Investments -- 99.4%
(Cost $64,079) 66,029
-------
OTHER ASSETS AND LIABILITIES -- 0.6%
Other Assets and Liabilities, Net 377
-------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 5,710,788
outstanding shares of beneficial interest 66,883
Undistributed net investment income 176
Accumulated net realized loss on investments (2,603)
Net unrealized appreciation on investments 1,950
-------
Total Net Assets: -- 100.0% $66,406
=======
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 11.63
=======
</TABLE>
* Non-income producing security
ADR American Depository Receipt
Cl Class
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
PLC Public Limited Company
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- -----------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 88.1%
AEROSPACE & DEFENSE -- 1.4%
Gencorp 22,800 $ 288
Litton Industries* 25,000 897
Loral 10,000 425
--------
1,610
--------
AIR TRANSPORTATION -- 0.3%
Atlantic Southeast Airlines 16,600 307
--------
AIRCRAFT -- 0.6%
OEA 10,000 249
Sundstrand 8,000 403
--------
652
--------
APPAREL/TEXTILES -- 0.7%
Cintas 12,500 469
Shaw Industries 25,300 335
--------
804
--------
AUTOMOTIVE -- 3.7%
Dana 14,000 357
General Motors, Cl E 98,200 3,818
Magna International, Cl A 9,500 362
--------
4,537
--------
BANKS -- 8.2%
Bank of New York 52,200 1,715
Comerica 16,000 440
Crestar Financial 17,300 761
First Bank System 33,200 1,340
First Security 28,000 672
Firstar 63,400 1,867
KeyCorp 12,380 350
Marshall & Ilsley 15,000 315
Meridian Bancorp 11,000 337
Michigan National 2,000 208
Midlantic Corporation 10,700 366
Regions Financial 19,500 712
Southtrust 24,500 515
UJB Financial 9,000 248
--------
9,846
--------
BEAUTY PRODUCTS -- 0.3%
Dial 15,000 381
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.3%
Chris-Craft 12,209 407
Multimedia* 5,000 189
</TABLE>
21
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
CAPITAL GROWTH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- -------------------------------------------------
<S> <C> <C>
Omnicom 6,000 $ 329
United International Holdings 22,000 358
Viacom, Cl B 5,879 263
--------
1,546
--------
BUILDING & CONSTRUCTION -- 1.1%
Foster Wheeler 36,800 1,247
--------
CHEMICALS -- 5.2%
A. Schulman 38,375 1,169
Cabot 5,400 199
Dexter 14,700 322
Ethyl 15,800 162
Georgia Gulf* 11,000 329
Lubrizol 26,600 938
Nalco Chemical 25,000 841
Olin 10,400 559
Praxair 23,000 535
Witco 36,900 1,084
--------
6,138
--------
COMMUNICATIONS EQUIPMENT -- 2.6%
ADC Telecommunications* 26,000 766
DSC Communications* 23,000 749
Scientific Atlanta 23,700 554
Sensormatic Electronics 18,200 510
Varian Associates 13,100 552
--------
3,131
--------
COMPUTERS & SERVICES -- 6.9%
Adobe Systems 27,700 1,371
Cabletron Systems* 18,700 839
CUC International* 38,050 1,480
Diebold 10,000 356
EMC* 65,500 1,097
Informix* 14,200 488
Parametric Technology* 17,600 704
Seagate Technology 15,500 432
Silicon Graphics 28,000 994
Stratus Computer 13,000 406
--------
8,167
--------
CONCRETE & MINERAL PRODUCTS -- 0.3%
Ferro 11,600 294
--------
CONTAINERS & PACKAGING -- 0.4%
Crown Cork & Seal* 12,000 527
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ----------------------------------------------
<S> <C> <C>
DRUGS -- 2.1%
Allergan 6,000 $ 177
Forest Labs* 19,400 925
Genzyme-General Division* 12,000 465
Mylan Laboratories 18,500 587
Teva Pharmaceutical 10,000 301
--------
2,455
--------
ELECTRICAL SERVICES -- 2.9%
Illinova 36,000 819
Montana Power 36,900 839
Northeast Utilities 61,400 1,305
Pinnacle West Capital 25,000 522
--------
3,485
--------
ENTERTAINMENT -- 2.3%
Circus Circus Enterprises* 35,000 1,129
Hollywood Entertainment* 20,200 707
Mirage Resorts* 29,900 837
--------
2,673
--------
ENVIRONMENTAL SERVICES -- 0.8%
Laidlaw, Cl B 45,000 394
Molten Metal Technology* 33,500 561
--------
955
--------
FINANCIAL SERVICES -- 2.1%
A G Edwards 18,475 406
Biogen* 9,000 358
Morgan Stanley 26,000 1,752
--------
2,516
--------
FOOD, BEVERAGE & TOBACCO -- 0.5%
IBP 19,000 620
--------
GAS/NATURAL GAS -- 0.8%
National Fuel Gas 10,800 302
Questar 21,000 630
--------
932
--------
HOUSEHOLD PRODUCTS -- 0.5%
Sunbeam-Oster 28,100 643
--------
INSURANCE -- 8.0%
Aflac 38,100 1,537
AON 37,500 1,369
Equifax 24,000 810
Kemper 10,000 404
</TABLE>
22
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ------------------------------------------------
<S> <C> <C>
Life Partners Group 8,900 $ 175
MGIC Investment 9,000 367
Pacificare Health Systems* 14,500 1,048
Progressive 3,500 142
Reliastar Financial 2,500 85
TIG Holdings 11,000 248
Transatlantic Holdings 9,500 582
United Healthcare 24,500 1,145
Value Health 25,500 975
Washington National 34,500 638
--------
9,525
--------
LEASING & RENTING -- 0.1%
Enterra* 4,900 84
--------
MACHINERY -- 0.8%
Goulds Pumps 15,000 352
Kennametal 9,600 258
Stewart & Stevenson Services 10,000 353
--------
963
--------
MANUFACTURING -- 0.5%
Trinity Industries 15,000 561
--------
MARINE TRANSPORTATION -- 1.4%
Carnival, Cl A 69,000 1,613
--------
MEASURING DEVICES -- 0.9%
Johnson Controls 12,100 616
Teradyne 9,500 394
--------
1,010
--------
MEDICAL PRODUCTS & SERVICES -- 1.2%
C R Bard 4,000 111
FHP International* 11,400 336
Genzyme-Tissue Repair* 1,620 11
Healthsouth Rehabilitation* 9,500 386
Stryker 12,500 572
--------
1,030
--------
METALS & MINING -- 0.5%
Potash of Saskatchewan 14,000 623
--------
MISCELLANEOUS BUSINESS SERVICES -- 1.0%
Acclaim Entertainment* 9,000 156
Kelly Services, Cl A 8,000 288
Olsten 4,000 141
Reynolds & Reynolds 22,200 610
--------
1,195
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- -------------------------------------------------
<S> <C> <C>
MISCELLANEOUS CONSUMER SERVICES -- 1.1%
Service International 46,850 $ 1,312
--------
MISCELLANEOUS MANUFACTURING -- 0.3%
International Game Technology 23,300 315
--------
PAPER & PAPER PRODUCTS -- 1.0%
Bowater 10,000 358
Willamette Industries 16,000 872
--------
1,230
--------
PETROLEUM & FUEL PRODUCTS -- 2.9%
Anadarko Petroleum 22,100 967
Apache 37,800 1,029
BJ Services* 5,000 103
Mapco 14,300 797
Noble Affiliates 18,000 493
--------
3,389
--------
PETROLEUM REFINING -- 0.8%
Murphy Oil 13,500 582
Valero Energy 21,000 386
--------
968
--------
PRECIOUS METALS -- 0.3%
Barrick Gold 13,500 338
--------
PRINTING & PUBLISHING -- 1.7%
A H Belo 10,500 609
American Greetings 41,000 1,225
Houghton Miflin 4,900 228
--------
2,062
--------
PROFESSIONAL SERVICES -- 0.9%
First Financial Management 14,000 1,012
--------
RAILROADS -- 0.3%
Illinois Central 11,600 400
--------
RETAIL -- 5.1%
Barnes & Noble* 25,000 759
Brinker International* 25,200 419
Federated Department Stores* 19,000 420
Fred Meyer* 29,000 859
Hannaford Brothers 14,000 375
Micro Warehouse* 20,000 620
Office Depot* 48,500 1,183
Sunglass Hut International 10,000 296
Wendy's International 64,700 1,059
--------
5,990
--------
</TABLE>
23
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
CAPITAL GROWTH
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Description Shares Value (000)
- ---------------------------------------------------
<S> <C> <C>
RUBBER & PLASTIC -- 1.5%
M A Hanna 23,950 $ 602
Sonoco Products 47,000 1,139
--------
1,741
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.9%
American Power Conversion* 34,300 562
Analog Devices* 39,750 1,014
Atmel* 32,000 1,235
Linear Technology 9,000 504
LSI Logic 7,400 389
Molex 24,875 889
--------
4,593
--------
SPECIALTY MACHINERY -- 1.4%
Applied Materials* 20,500 1,130
York International 14,200 561
--------
1,691
--------
STEEL & STEEL WORKS -- 1.8%
Allegheny Ludlum 42,000 877
Bethlehem Steel 15,600 252
Nucor 16,900 950
--------
2,079
--------
TELEPHONES & TELECOMMUNICATION -- 2.4%
Alltel 20,800 598
Frontier 12,000 272
LDDS Communications* 38,500 899
Nextel Communications* 16,300 222
Southern New England 11,800 394
Telephone & Data Systems 12,400 490
--------
2,875
--------
TESTING LABORATORIES -- 0.2%
Chiron* 3,842 207
--------
WHOLESALE -- 3.1%
Avnet 13,600 549
Cordis* 7,000 509
Fisher Scientific International 75,300 2,241
Singer 15,800 371
--------
3,670
--------
Total Common Stocks
(Cost $96,653) 104,328
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount(000) Value (000)
- -----------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 11.7%
J P Morgan
6.20%, dated 03/31/95, matures 04/03/95, repurchase
price $13,932,000 (collateralized by various FHLMC
obligations, total par value $10,223,000, 6.50%-
7.00%, 11/15/20-01/01/24, and FNMA obligation, par
value $4,911,000, 6.501%, 03/01/25, market value of
collateral: $14,203,000) $13,925 $ 13,925
--------
Total Repurchase Agreement
(Cost $13,925) 13,925
--------
Total Investments -- 99.8%
(Cost $110,578) 118,253
--------
OTHER ASSETS AND LIABILITIES -- 0.2%
Other Assets and Liabilities, Net 230
--------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 11,358,042
outstanding shares of beneficial interest 108,867
Undistributed net investment income 162
Accumulated net realized gain on investments 1,779
Net unrealized appreciation on investments 7,675
--------
Total Net Assets -- 100.0% $118,483
========
Net Asset Value, Offering and
Redemption Price Per Share $ 10.43
========
</TABLE>
ClClass
FHLMCFederal Home Loan Mortgage Corporation
FNMAFederal National Mortgage Association
CORE FIXED INCOME PORTFOLIO
<TABLE>
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 33.9%
U.S. Treasury Bonds
12.000%, 08/15/13 $15,940 $ 21,949
7.500%, 11/15/24 15,920 15,946
7.625%, 02/15/25 3,000 3,067
U.S. Treasury Notes
7.500%, 12/31/96 20,000 20,236
6.625%, 03/31/97 3,470 3,457
5.625%, 08/31/97 10,000 9,723
</TABLE>
24
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000) Value (000)
- -------------------------------------------------------------------------------
<S> <C> <C>
7.875%, 01/15/98 $ 2,000 $ 2,046
5.625%, 01/31/98 7,000 6,761
7.500%, 10/31/99 15,280 15,522
7.500%, 02/15/05 38,400 39,203
--------
Total U.S. Treasury Obligations
(Cost $137,895) 137,910
--------
CORPORATE OBLIGATIONS -- 32.7%
American Home Products
7.700%, 02/15/00 200 201
AMR
9.000%, 08/01/12 3,680 3,583
Associates of North America
10.750%, 11/01/95 2,000 2,045
AT&T
8.350%, 01/15/25 1,250 1,263
Caterpillar Financial Services (Daily Reset = Fed
Funds
Rate + .30%)
4.460%, 05/25/95 (A) 10,000 9,998
Equitable
9.000%, 12/15/04 3,100 3,212
Ford Motor Credit
8.375%, 01/15/00 1,000 1,026
Ford Motor Credit MTN (Quarterly Reset = 3 Mos. LIBOR
+ .40%)
6.587%, 05/26/98 6,050 6,068
Grand Metropolitan
01/06/04 10,000 5,138
ICI Wilmington
7.500%, 01/15/02 3,000 2,921
Joseph Seagram & Sons
9.650%, 08/15/18 7,000 7,919
Lehman Brothers Holdings
5.500%, 06/15/96 5,000 4,888
Lockheed
7.875%, 03/15/23 6,000 5,655
Loews
7.625%, 06/01/23 6,000 5,363
Long Island Lighting
8.625%, 04/15/04 5,000 4,769
Nationsbank, MTN
5.250%, 06/14/95 10,000 9,979
News America Holdings
9.250%, 02/01/13 5,000 5,144
8.450%, 08/01/34 2,300 2,343
Niagara Mohawk Power
9.750%, 11/01/05 3,680 3,956
Paine Webber Group
7.625%, 02/15/14 8,000 6,830
RJR Nabisco
8.750%, 08/15/05 1,000 981
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------------------------
<S> <C> <C>
Safeco
10.750%, 09/15/95 $ 6,750 $ 6,877
Tele-Communications
9.250%, 01/15/23 4,000 3,860
Time Warner Entertainment
8.375%, 03/15/23 8,250 7,394
8.375%, 07/15/33 3,000 2,659
United Airlines
11.210%, 05/01/14 6,300 6,938
Wal-Mart Stores
8.000%, 05/01/96 2,500 2,528
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 4,200 4,216
Waste Management
4.875%, 07/01/95 5,000 4,981
--------
Total Corporate Obligations
(Cost $132,807) 132,735
--------
GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 22.5%
FHLMC
9.000%, 12/01/05 501 518
7.500%, 11/01/07 2,672 2,644
FHLMC REMIC
9.500%, 04/15/19 457 465
7.000%, 11/15/19 173 172
6.500%, 01/15/23 9,500 8,419
FHLMC REMIC Ser 1717
(Interest resets monthly at 2.166 x 10 year
treasury rate)
5.460%, 04/15/24 (A) (B) 8,000 4,865
FNMA
8.500%, 09/01/13 389 393
FNMA REMIC IO
Ser G-23 (Monthly Reset = -69.3846 X 1 Month Libor
+ 111,362.404 BP)
06/25/21 (A) (B) 23 399
GNMA
7.500%, 09/15/06 3,272 3,160
7.500%, 04/15/07 78 76
7.000%, 12/15/07 4,135 4,017
7.000%, 02/15/08 4,112 3,996
7.500%, 04/15/23 7,008 6,769
7.000%, 04/15/24 3,517 3,291
7.000%, 05/15/24 6,802 6,366
7.000%, 06/15/24 2,983 2,792
GNMA TBA
7.500%, 05/15/25 19,220 19,634
</TABLE>
25
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
CORE FIXED INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000) Value (000)
- -------------------------------------------------------------------------
<S> <C> <C>
GNMA TBA ARM
8.000%, 05/22/25 $22,710 $ 23,484
--------
Total Government Mortgage-Backed Obligations
(Cost $91,514) 91,460
--------
COMMERCIAL PAPER -- 6.4%
PHH
5.950%, 04/03/95 6,000 5,998
Raytheon
6.050%, 04/06/95 20,000 19,983
--------
Total Commercial Paper
(Cost $25,981) 25,981
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.7%
FHLB
5.100%, 07/08/96 5,000 4,885
Government Trust Certificates
Zero Coupon, 05/15/03 5,000 2,748
Resolution Funding
8.625%, 01/15/30 1,660 1,844
RFCO Strips
Zero Coupon, 01/15/17 2,539 471
Zero Coupon, 04/15/17 1,913 348
U.S. Treasury Strips
Zero Coupon, 05/15/17(1) 25,679 4,767
--------
Total U.S. Government
Agency Obligations
(Cost $15,116) 15,063
--------
ASSET BACKED SECURITIES -- 3.5%
Signet Credit Card CMO
9.000%, 06/15/97 6,708 6,751
SPNB Home Equity Loan
7.850%, 05/15/98 199 200
Structured Asset Securities
6.600%, 10/25/24 8,000 7,090
--------
Total Asset Backed Securities
(Cost $14,195) 14,041
--------
MORTGAGE-BACKED OBLIGATIONS -- 2.3%
RTC ARM
7.379%, 09/25/29 6,797 6,833
RTC ARM
(Monthly Reset = 1 x D11COF + 1.71%)
6.457%, 06/25/21 2,460 2,436
--------
Total Mortgage-Backed Obligations (Cost $9,145) 9,269
--------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000) Value (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
OPTIONS -- 0.0%
90-Day Euro Dollar Puts
Strike Price = $93.50
06/19/95 $ 1 $ 320
--------
Total Options
(Cost $326) 320
--------
REPURCHASE AGREEMENT -- 4.2%
J P Morgan
6.20%, dated 03/31/95, matures 04/03/95, repurchase
price $17,222,000 (collateralized by various FHLMC
obligations, total par value 10,760,000, 6.50%-
7.00%,04/15/22-12/01/23, and various FNMA
obligations, total par value $9,030,000, 0.00%-
7.00%, 02/25/21-05/25/22, market value of
collateral: 17,557,000 17,213 $ 17,213
--------
Total Repurchase Agreement
(Cost $17,213) 17,213
--------
Total Investments -- 109.2%
(Cost $444,570) 443,992
--------
OTHER ASSETS AND LIABILITIES -- -9.2%
Other Assets and Liabilities, Net (37,614)
--------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 40,910,148
outstanding shares of beneficial interest 413,613
Portfolio shares of Class D (unlimited
authorization -- no par value) based on 9,815
outstanding shares of beneficial interest 95
Undistributed net investment income 2,264
Accumulated net realized loss on investments (9,016)
Net unrealized depreciation on investments (187)
Net unrealized depreciation on Futures contract (391)
--------
Total Net Assets -- 100.0% $406,378
========
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 9.93
========
</TABLE>
26
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000) Value (000)
- ---------------------------------------------------------------------------
<S> <C> <C>
Net Asset Value and Redemption Price Per Share --
Class D $ 9.92
=======
Maximum Offering Price Per
Share -- Class D ($9.92 / 95.5%) $ 10.39
=======
</TABLE>
(1) Security has been pledged as collateral on open futures contracts.
(A) The rate reflected on the Statement of Net Assets is the rate in effect on
March 31, 1995.
(B) Inverse Floater
(C) Structured Note
ARMAdjustable Rate Mortgage
CMOCollateralized Mortgage Obligation
FHLMCFederal Home Loan Mortgage Corporation
FNMAFederal National Mortgage Association
GNMAGovernment National Mortgage Association
IOInterest Only
LIBORLondon Inter Bank Offering Rate
MTNMedium Term Note
REMICReal Estate Mortgage Investment Conduct
RFCOResolution Trust Funding Corporation
RTCResolution Trust Corporation
STRIPS Separately Traded Registered Interest and Principal Securities
BOND PORTFOLIO
<TABLE>
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 97.7%
U.S. Treasury Bonds
7.250%, 05/15/16 $ 1,500 $ 1,452
7.500%, 11/15/16 36,200 35,942
7.125%, 02/15/23 3,400 3,242
U.S. Treasury Notes
4.250%, 07/31/95 15,600 15,510
4.250%, 11/30/95 2,600 2,565
6.875%, 02/28/97 7,000 7,006
-------
Total U.S. Treasury Obligations
(Cost $64,846) 65,717
-------
REPURCHASE AGREEMENT -- 0.4%
J P Morgan
6.05%, dated 03/31/95, matures 04/03/95, repurchase price
$277,000 (collateralized by FFCB obligation, total par
value $300,000, 6.05%, 03/04/96, market value of collater-
al: $282,000) 277 277
-------
Total Repurchase Agreement
(Cost $277) 277
-------
Total Investments -- 98.1%
(Cost $65,123) 65,994
-------
OTHER ASSETS AND LIABILITIES -- 1.9%
Other Assets and Liabilities, Net 1,297
-------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000) Value (000)
- ----------------------------------------------------------------------------
<S> <C> <C>
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on 6,544,979
outstanding shares of beneficial interest $73,910
Portfolio shares of Class D (unlimited
authorization -- no par value) based on 10,831
outstanding shares of beneficial interest 121
Undistributed net investment income 397
Accumulated net realized loss on investments (8,008)
Net unrealized appreciation on investments 871
-------
Total Net Assets -- 100.0% $67,291
=======
Net Asset Value, Offering, and
Redemption Price Per
Share -- Class A $ 10.26
=======
Net Asset Value and Redemption Price Per Share --
Class D $ 10.24
=======
Maximum Offering Price Per Share -- Class D
($10.24/95.5%) $ 10.72
=======
</TABLE>
FFCB Federal Farm Credit Bank
HIGH YIELD BOND PORTFOLIO
<TABLE>
<S> <C> <C>
CORPORATE OBLIGATIONS -- 87.5%
Abbey Healthcare Group
9.500%, 11/01/02 $ 65 $ 67
Adelphia Communications
12.500%, 05/15/02 100 96
AK Steel
10.750%, 04/01/04 100 101
Allied Waste Industries
12.000%, 02/01/04 50 50
American Restaurant Group
12.000%, 09/15/98 50 46
American Standard
11.375%, 05/15/04 20 22
Zero Coupon, 06/01/05 100 68
Arcadian Partner
10.750%, 05/01/05 50 50
Armco
11.375%, 10/15/99 100 100
Atlantis Group
11.000%, 02/15/03 50 50
</TABLE>
27
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000) Value (000)
- -------------------------------------------------------
<S> <C> <C>
Bally's Casino Holding
Zero Coupon, 06/15/98 $100 $ 66
Bally's Grand
10.375%, 12/15/03 100 94
Bally's Health & Tennis
13.000%, 01/15/03 100 78
Big V Supermarkets
11.000%, 02/15/04 75 62
Boyd Gaming
10.750%, 09/01/03 50 49
Cablevision Industries
9.250%, 04/01/08 50 49
Cablevision Systems
9.875%, 02/15/13 50 48
CF Cable Television
11.625%, 02/15/05 50 52
Comcast
9.500%, 01/15/08 50 47
Container
9.750%, 04/01/03 50 49
Continental Cablevision
11.000%, 06/01/07 100 104
Continental Medsystems
10.875%, 08/15/02 50 49
10.375%, 04/01/03 50 48
County Seat Stores
12.000%, 10/01/01 50 50
Crown Central Petroleum
10.875%, 02/01/05 50 49
Dairy Mart Convenience Stores
10.250%, 03/15/04 50 39
Diamond Cable Communication
Zero Coupon, 09/30/04 100 57
Doman Industries
8.750%, 03/15/04 100 91
Domtar
11.250%, 09/15/17 100 105
Doskocil Cosmetics
9.750%, 07/15/00 100 91
Falcon Drilling
9.750%, 01/15/01 100 95
Farm Fresh
12.250%, 10/01/00 50 47
Farm Fresh, Ser A
12.250%, 10/01/00 50 47
Fort Howard
9.000%, 02/01/06 50 44
G-I Holdings
Zero Coupon, 10/01/98 100 65
Gaylord Container
11.500%, 05/15/01 50 53
General Media
10.625%, 12/31/00 100 85
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000) Value (000)
- ----------------------------------------------------------------
<S> <C> <C>
Geneva Steel
9.500%, 01/15/04 $100 $ 81
GNF
10.625%, 04/01/03 100 77
GPA Delaware
8.750%, 12/15/98 75 59
Great Bay Property Funding
10.875%, 01/15/04 55 47
Groupe Videotron
10.625%, 02/15/05 100 102
GS Technologies
12.000%, 09/01/04 100 100
Gulf Canada Resources
9.250%, 01/15/04 100 95
Harris Chemical
Zero Coupon, 07/15/01 75 65
Healthsouth Rehabilitation
9.500%, 04/01/01 100 100
Healthtrust
10.750%, 05/01/02 100 106
Helicon Group
9.000%, 11/01/03 100 87
Hills Stores
10.250%, 09/30/03 50 49
Hollywood Casino
14.000%, 04/01/98 100 104
Host Marriott Hospitality
10.625%, 02/01/00 58 59
Jordan Industries
10.375%, 08/01/03 100 93
JPS Automotive Products
11.125%, 06/15/01 50 49
K-III Communications
10.625%, 05/01/02 50 51
Kloster Cruise
13.000%, 05/01/03 50 39
Malette
12.250%, 07/15/04 50 52
Marvel III Holdings
9.125%, 02/15/98 50 44
Maxus Energy
9.875%, 10/15/02 50 44
Mesa
Zero Coupon, 06/30/98 100 96
Mid-American Waste System
12.250%, 02/15/03 100 102
Mobile Telecommunications Technologies
13.500%, 12/15/02 50 52
Nextel Communications
Zero Coupon, 08/15/04 100 42
NL Industries
11.750%, 10/15/03 100 102
</TABLE>
28
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000) Value (000)
- ------------------------------------------------------
<S> <C> <C>
Panamsat L.P.
9.750%, 08/01/00 $ 50 $ 49
Pathmark Stores
Zero Coupon, 11/01/03 100 54
Petroleum Heat & Power
12.250%, 02/01/05 50 52
Platex Family Products
9.000%, 02/15/03 50 46
Rainy River Forest Products
10.750%, 10/15/01 50 51
Red Roof Inns
9.625%, 12/15/03 50 48
Repap Wisconsin
9.875%, 05/01/06 100 92
Revlon Consumer Products
10.500%, 02/15/03 100 94
Rexene
11.750%, 12/01/04 150 151
Rogers Cablesystems (A)
10.000%, 03/15/05 100 100
Santa Fe Energy Resource
11.000%, 05/15/04 50 52
SCI Television
11.000%, 06/30/05 50 51
Sherritt
10.500%, 03/31/14 100 100
Specialty Equipment
11.375%, 12/01/03 50 49
Station Casinos
9.625%, 06/01/03 100 88
Stone Consolidated
10.250%, 12/15/00 100 101
Stone Container
9.875%, 02/01/01 100 97
Stratosphere
14.250%, 05/15/02 100 102
Surgical Health
11.500%, 07/15/04 50 54
Synthetic Industries
12.750%, 12/01/02 100 97
Tracor
10.875%, 08/15/01 50 51
TransTexas Gas
10.500%, 09/01/00 50 50
Trump Plaza Funding
10.875%, 06/15/01 50 42
Trump Taj Mahal
Zero Coupon, 11/15/99 100 76
UCC Investors
11.000%, 05/01/03 50 50
United International Holding
Zero Coupon, 11/15/99 100 53
USG
9.250%, 09/15/01 50 49
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market
Description Amount (000)/Share Value (000)
- ----------------------------------------------------------------------------
<S> <C> <C>
Viacom International
8.000%, 07/01/06 $100 $ 91
Waban
11.000%, 05/15/04 100 101
WCI Steel
10.500%, 03/01/02 100 97
Wright Medical Technology
10.750%, 07/01/01 50 49
------
Total Corporate Obligations
(Cost $6,377) 6,497
------
GOVERNMENT BOND -- 7.8%
FHLB Discount Note
6.100%, 04/03/95 580 580
------
Total Government Bond
(Cost $580) 580
------
UNITS -- 1.8%
Finlay Enterprises 1 Unit = 1 Debenture + 2
Shares
Common Stock
Zero Coupon, 05/01/05 50 32
MVE 1 unit = 1 senior note + 1 warrant
12.500%, 02/15/02 100 102
------
Total Units (Cost $131) 134
------
WARRANTS -- 0.0%
MEDICAL PRODUCTS & SERVICES -- 0.0%
Wright Medical Technology Warrants 21 3
------
Total Warrants
(Cost $3) 3
------
Total Investments -- 97.1%
(Cost $7,091) 7,214
------
OTHER ASSETS AND LIABILITIES -- 2.9%
Other Assets and Liabilities, Net 215
------
NET ASSETS:
Portfolio shares of Class A (unlimited
authorization -- no par value) based on
720,480 outstanding shares of beneficial
interest $7,242
Undistributed net investment income 58
Accumulated net realized gain on investments 6
Net unrealized appreciation on investments 123
------
Total Net Assets -- 100.0% $7,429
======
</TABLE>
29
<PAGE>
STATEMENT OF NET ASSETS
- -----------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description
- -------------------------------------------------------------------------
<S> <C>
Net Asset Value, Offering and Redemption Price Per Share --
Class A $10.31
======
</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 institutional buyers.
FHLB Federal Home Loan Bank
LP Limited Partnership
Ser Series
The accompanying notes are an integral part of the financial statements.
30
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK
31
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- For the period ended March 31, 1995
(Unaudited)
<TABLE>
<CAPTION>
--------- --------- --------- ---------
LARGE CAP LARGE CAP SMALL CAP SMALL CAP
VALUE GROWTH VALUE GROWTH
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 2,367 $ 377 $ 55 $ 306
Interest 194 207 82 452
------- ------ ---- -------
Total investment income 2,561 584 137 758
------- ------ ---- -------
EXPENSES:
Management fees 299 72 25 700
Less management fees waived (44) -- -- (21)
Contribution from Manager -- -- -- --
Investment advisory fees 194 82 47 700
Less investment advisory fees waived -- -- (1) --
Custodian/wire agent fees 11 4 1 25
Professional fees 6 4 2 11
Registration & filing fees 5 1 1 8
Printing expense 8 5 1 22
Trustee fees 3 -- -- 7
Insurance expense 1 -- -- 1
Pricing fees 3 1 -- 7
Distribution fees 31 4 1 72
Class D distribution fees(1) -- -- -- --
Amortization of deferred
organization costs -- 1 1 8
------- ------ ---- -------
Total expenses 517 174 78 1,540
------- ------ ---- -------
NET INVESTMENT INCOME 2,044 410 59 (782)
------- ------ ---- -------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net realized gain (loss) from
securities sold 2,303 (45) (81) 11,623
Net realized gain (loss) on options &
futures contracts -- -- -- --
Net change in unrealized appreciation
on investments 7,063 5,876 894 13,476
Net change in unrealized depreciation
on futures contracts -- -- -- --
------- ------ ---- -------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $11,410 $6,241 $872 $24,317
======= ====== ==== =======
</TABLE>
(1) Fees are incurred at the Class D level only.
The accompanying notes are an integral part of the financial statements.
32
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------- ------------ ------- -------- ------- ---------- ------- ----------
MID-CAP CAPITAL EQUITY CAPITAL CORE FIXED HIGH YIELD
GROWTH APPRECIATION INCOME BALANCED GROWTH INCOME BOND BOND
- ------- ------------ ------- -------- ------- ---------- ------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 208 $ 4,811 $ 7,979 $ 321 $ 852 $ -- $ -- $ --
106 2,049 519 883 306 12,239 3,902 117
- ------- ------- ------- ------- ------ ------- ------- ----
314 6,860 8,498 1,204 1,158 12,239 3,902 117
- ------- ------- ------- ------- ------ ------- ------- ----
196 1,463 903 166 294 722 232 4
(50) (76) (51) (45) (294) (174) (71) (1)
-- -- -- -- (35) -- -- --
177 731 452 83 -- 210 67 6
-- -- (25) -- -- -- -- --
7 54 34 6 10 29 9 --
4 28 15 2 5 13 4 --
3 14 10 3 5 9 7 1
11 30 16 12 8 17 10 --
2 20 10 1 3 8 3 --
1 3 2 1 1 1 1 --
2 17 9 2 3 8 3 --
27 175 107 15 -- 81 32 --
-- 1 1 -- -- -- -- --
1 -- -- 3 -- -- -- --
- ------- ------- ------- ------- ------ ------- ------- ----
381 2,460 1,483 249 -- 924 297 10
- ------- ------- ------- ------- ------ ------- ------- ----
(67) 4,400 7,015 955 1,158 11,315 3,605 107
- ------- ------- ------- ------- ------ ------- ------- ----
(2,599) (6,248) 8,618 (2,348) 1,834 21 (7,835) 6
-- -- -- -- -- 2,091 -- --
929 17,544 5,430 3,699 3,248 9,585 11,225 124
-- -- -- -- -- (391) -- --
- ------- ------- ------- ------- ------ ------- ------- ----
$(1,737) $15,696 $21,063 $ 2,306 $6,240 $22,621 $ 6,995 $237
======= ======= ======= ======= ====== ======= ======= ====
</TABLE>
33
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- (Unaudited)
<TABLE>
<CAPTION>
------------------- --------- ---------
LARGE CAP LARGE CAP SMALL CAP
VALUE GROWTH VALUE
------------------- --------- ---------
10/1/94- 10/1/93- 12/20/94- 12/20/94-
3/31/95 9/30/94 3/31/95 3/31/95
-------- --------- --------- ---------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 2,044 $ 4,012 $ 410 $ 59
Net realized gain (loss) from
security transactions 2,303 (1,397) (45) (81)
Net realized appreciation
(depreciation) on investments 7,063 (5,723) 5,876 894
-------- --------- -------- -------
Net increase (decrease) in net
assets resulting from operations 11,410 (3,108) 6,241 872
-------- --------- -------- -------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (1,990) (3,906) (8) --
Class D -- -- -- --
Net realized gains:
Class A (1,782) (6,458) -- --
Class D -- -- -- --
-------- --------- -------- -------
Total dividends distributed (3,772) (10,364) (8) --
-------- --------- -------- -------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 88,688 93,802 130,165 50,289
Shares issued in lieu of cash
distributions 2,145 4,152 8 --
Cost of shares repurchased (51,808) (156,461) (4,449) (3,553)
-------- --------- -------- -------
Increase (decrease) in net assets
derived from
Class A transactions 39,025 (58,507) 125,724 46,736
-------- --------- -------- -------
Class D:
Proceeds from shares issued -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- --
Cost of shares repurchased -- -- -- --
-------- --------- -------- -------
Increase (decrease) in net assets
derived from
Class D transactions -- -- -- --
-------- --------- -------- -------
INCREASE IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS 39,025 (58,507) 125,724 46,736
-------- --------- -------- -------
Net increase (decrease) in net
assets 46,663 (71,979) 131,957 47,608
-------- --------- -------- -------
NET ASSETS:
Beginning of period 133,178 205,157 -- --
-------- --------- -------- -------
End of period $179,841 $ 133,178 $131,957 $47,608
======== ========= ======== =======
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 8,306 8,573 12,659 4,873
Shares issued in lieu of cash
distributions 206 376 1 --
Shares repurchased (4,849) (14,285) (425) (342)
-------- --------- -------- -------
Total Class A transactions 3,663 (5,336) 12,235 4,531
-------- --------- -------- -------
Class D:
Shares issued -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- --
Shares repurchased -- -- -- --
-------- --------- -------- -------
Total Class D transactions -- -- -- --
-------- --------- -------- -------
Increase (decrease) in capital
shares 3,663 280 12,235 4,531
======== ========= ======== =======
</TABLE>
The accompanying notes are an integral part of the financial statements.
34
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------------------- ------------------- -------------------- --------------------
SMALL CAP MID-CAP CAPITAL EQUITY
GROWTH GROWTH APPRECIATION INCOME
---------------------- ------------------- -------------------- --------------------
10/1/94- 10/1/93- 10/1/94- 10/1/93- 10/1/94- 10/1/93- 10/1/94- 10/1/93-
3/31/95 9/30/94 3/31/95 9/30/94 3/31/95 9/30/94 3/31/95 9/30/94
--------- --------- --------- -------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
$ (782) $ (1,298) $ (67) $ 30 $ 4,400 $ 11,708 $ 7,015 $ 14,351
11,623 (15,251) (2,599) (7,299) (6,248) 43,555 8,618 13,247
13,476 17,438 929 (233) 17,544 (56,038) 5,430 (22,246)
--------- --------- --------- -------- --------- --------- --------- ---------
24,317 889 (1,737) (7,502) 15,696 (775) 21,063 5,352
--------- --------- --------- -------- --------- --------- --------- ---------
-- -- -- (52) (4,579) (12,431) (7,126) (14,001)
-- -- -- -- (8) (18) (16) (15)
(95) (9,736) (29) (1,409) (38,179) (46,476) (12,863) (13,646)
-- -- -- (97) (3) (31) (9)
--------- --------- --------- -------- --------- --------- --------- ---------
(95) (9,736) (29) (1,461) (42,863) (58,928) (20,036) (27,671)
--------- --------- --------- -------- --------- --------- --------- ---------
207,573 339,928 32,214 97,222 79,567 385,631 49,169 259,144
64 6,020 15 715 24,546 31,762 9,609 12,935
(244,030) (230,614) (101,125) (38,642) (332,958) (405,290) (152,010) (169,497)
--------- --------- --------- -------- --------- --------- --------- ---------
(36,393) 115,334 (68,896) 59,295 (228,845) 12,103 (93,232) 102,582
--------- --------- --------- -------- --------- --------- --------- ---------
148 164 28 61 205 4,809 120 916
-- -- -- -- 28 4 39 22
-- -- -- -- (1,711) (2,678) (134) (47)
--------- --------- --------- -------- --------- --------- --------- ---------
148 164 28 61 (1,478) 2,135 25 891
--------- --------- --------- -------- --------- --------- --------- ---------
(36,245) 115,498 (68,868) 59,356 (230,323) 14,238 (93,207) 103,473
--------- --------- --------- -------- --------- --------- --------- ---------
(12,023) 106,651 (70,634) 50,393 (257,490) (45,465) (92,180) 81,154
--------- --------- --------- -------- --------- --------- --------- ---------
300,467 193,816 108,062 57,669 731,282 776,747 419,099 337,945
--------- --------- --------- -------- --------- --------- --------- ---------
$ 288,444 $ 300,467 $ 37,428 $108,062 $ 473,792 $ 731,282 $ 326,919 $ 419,099
========= ========= ========= ======== ========= ========= ========= =========
14,483 24,230 3,080 8,534 5,516 24,234 3,584 18,318
5 438 2 63 1,807 2,006 719 920
(16,986) (16,493) (9,632) (3,442) (23,265) (25,709) (11,125) (12,020)
--------- --------- --------- -------- --------- --------- --------- ---------
(2,498) 8,175 (6,550) 5,155 (15,942) 531 (6,822) 7,218
--------- --------- --------- -------- --------- --------- --------- ---------
10 12 3 5 14 316 8 65
-- -- -- -- 2 -- 3 2
-- -- -- -- (120) (172) (10) (3)
--------- --------- --------- -------- --------- --------- --------- ---------
10 12 3 5 (104) 144 1 64
--------- --------- --------- ======== --------- --------- --------- ---------
(2,488) (3) (6,547) (3) (16,046) 1,341 (6,821) 1,075
========= ========= ========= ======== ========= ========= ========= =========
</TABLE>
35
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- (Unaudited)
<TABLE>
<CAPTION>
------------------ ------------------
CAPITAL
BALANCED GROWTH
------------------ ------------------
10/1/94- 10/1/93- 10/1/94- 10/1/93-
3/31/95 9/30/94 3/31/95 9/30/94
-------- -------- -------- --------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 955 $ 1,045 $ 1,158 $ 2,538
Net realized gain (loss) from security
transactions (2,348) 673 1,834 21,531
Net realized appreciation
(depreciation) on investments 3,699 (3,626) 3,248 (21,582)
-------- ------- -------- --------
Net increase (decrease) in net assets
resulting from operations 2,306 (1,908) 6,240 2,487
-------- ------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (927) (946) (1,136) (2,585)
Class D -- -- -- --
Net realized gains:
Class A (568) (363) (16,475) (28,664)
Class D -- -- -- --
-------- ------- -------- --------
Total dividends distributed (1,495) (1,309) (17,611) (31,249)
-------- ------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 13,415 57,474 -- 2,700
Shares issued in lieu of cash
distributions 1,400 1,146 12,268 23,045
Cost of shares repurchased (14,700) (23,730) (15,376) (67,022)
-------- ------- -------- --------
Increase (decrease) in net assets
derived from Class A transactions 115 34,890 (3,108) (41,277)
-------- ------- -------- --------
Class D:
Proceeds from shares issued -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- --
Cost of shares repurchased -- -- -- --
-------- ------- -------- --------
Increase in net assets derived from
Class D transactions -- -- -- --
-------- ------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
DERIVED FROM CAPITAL SHARE TRANSACTIONS 115 34,890 (3,108) (41,277)
-------- ------- -------- --------
Net increase (decrease) in net assets 926 31,673 (14,479) (70,039)
-------- ------- -------- --------
NET ASSETS:
Beginning of period 65,480 33,807 132,962 203,001
-------- ------- -------- --------
End of period $ 66,406 $65,480 $118,483 $132,962
======== ======= ======== ========
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 1,201 4,826 -- 227
Shares issued in lieu of cash
distributions 126 96 1,292 2,005
Shares repurchased (1,300) (1,999) (1,445) (5,284)
-------- ------- -------- --------
Total Class A transactions 27 2,923 (153) (3,052)
-------- ------- -------- --------
Class D:
Shares issued -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- --
Shares repurchased -- -- -- --
-------- ------- -------- --------
Total Class D transactions -- -- -- --
-------- ======= -------- ========
Increase (decrease) in capital shares 27 148 (153) 140
======== ======= ======== ========
</TABLE>
The accompanying notes are an integral part of the financial statements.
36
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------ ------------------------------ ----------
CORE FIXED HIGH YIELD
INCOME BOND BOND
- ------------------------ ------------------------------ ----------
10/1/94- 10/1/93- 10/1/94- 10/1/93- 1/11/95-
3/31/95 9/30/94 3/31/95 9/30/94 3/31/95
- -------- -------- -------- -------- ----------
<S> <C> <C> <C> <C>
$ 11,315 $ 17,209 $ 3,605 $ 5,971 $ 107
2,112 (11,191) (7,835) 2,576 6
9,194 (23,150) 11,225 (18,567) 124
- -------- -------- -------- -------- ------
22,621 (17,132) 6,995 (10,020) 237
- -------- -------- -------- -------- ------
(11,036) (16,555) (3,833) (5,734) (50)
(2) (1) (3) (3) --
(63) (3,124) (876) (5,659) --
-- -- (1) (1) --
- -------- -------- -------- -------- ------
(11,101) (19,680) (4,713) (11,397) (50)
- -------- -------- -------- -------- ------
172,349 184,547 30,656 92,376 7,240
3,583 4,319 2,308 5,656 49
(93,124) (135,897) (91,392) (50,460) (47)
- -------- -------- -------- -------- ------
82,808 52,969 (58,428) 47,572 7,242
- -------- -------- -------- -------- ------
50 44 21 154 --
1 -- 2 3 --
-- -- (21) (40) --
- -------- -------- -------- -------- ------
51 44 2 117 --
- -------- -------- -------- -------- ------
82,859 53,013 (58,426) 47,689 7,242
- -------- -------- -------- -------- ------
94,379 16,201 (56,144) 26,272 7,429
- -------- -------- -------- -------- ------
311,999 295,798 123,435 97,163 --
- -------- -------- -------- -------- ------
$406,378 $311,999 $ 67,291 $123,435 $7,429
======== ======== ======== ======== ======
17,893 17,953 3,093 8,530 720
373 422 234 513 5
(9,667) (13,274) (9,173) (4,585) (5)
- -------- -------- -------- -------- ------
8,599 5,101 (5,846) 4,458 720
- -------- -------- -------- -------- ------
5 5 2 15 --
-- -- -- -- --
-- -- (2) (4) --
- -------- -------- -------- -------- ------
5 5 -- 11 --
- -------- ======== ======== ======== ------
8,604 1,987 (5,846) 629 720
======== ======== ======== ======== ======
</TABLE>
37
<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 VALUE PORTFOLIO(A)
----------------------------
CLASS A
1995** $10.71 $ 0.15 $ 0.61 $(0.15) $(0.15) $11.17 7.42% $179,841 0.75%
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%
1990 11.75 0.33 (2.16) (0.38) (0.24) 9.30 (16.42)% 119,763 0.75%
--------------------------
LARGE CAP GROWTH PORTFOLIO
--------------------------
1995**(11) $10.00 $ 0.05 $ 0.76 $(0.02) $ -- $10.79 32.43% $131,957 0.85%
-------------------------
SMALL CAP VALUE PORTFOLIO
-------------------------
1995**(12) $10.00 $ 0.01 $ 0.50 $ -- $ -- $10.51 19.69% $ 47,608 1.10%
--------------------------
SMALL CAP GROWTH PORTFOLIO
--------------------------
CLASS A
1995** $14.04 $(0.06) $ 1.28 $ -- $(0.01) $15.25 8.66% $288,104 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(5) 10.00 0.02 0.65 (0.02) -- 10.65 15.07% 36,191 0.97%
CLASS D
1995** $13.99 $(0.04) $ 1.25 $ -- $(0.01) $15.19 8.62%* $ 340 1.50%
1994(9) 14.04 (0.02) (0.03) -- -- 13.99 (3.02)%* 171 1.49%
------------------------
MID-CAP GROWTH PORTFOLIO
------------------------
CLASS A
1995** $10.89 $(0.02) $ 0.21 $ -- $ -- $11.08 1.77% $ 37,338 0.97%
1994 12.10 0.01 (0.98) (0.01) (0.23) $10.89 (8.10)% 108,002 0.93%
1993(4) 10.00 0.01 2.10 (0.01) -- 12.10 34.06% 57,669 0.90%
CLASS D
1995** $10.87 $ 0.01 $ 0.16 $ -- $ -- $11.04 1.59%* $ 90 1.37%
1994(8) 11.19 (0.01) (0.31) -- -- 10.87 (8.63)%* 60 1.36%
------------------------------
CAPITAL APPRECIATION PORTFOLIO
------------------------------
CLASS A
1995** $15.18 $ 0.12 $ 0.45 $(0.11) $(0.89) $14.75 4.30% $473,209 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%
1990 13.29 0.35 (1.01) (0.39) (1.03) 11.21 (5.75)% 100,030 0.75%
CLASS D
1995** $15.17 $ 0.05 $ 0.49 $(0.07) $(0.89) $14.75 4.11%* $ 583 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 $ 0.27 $ 0.63 $(0.27) $(0.47) $14.22 6.81% $325,994 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%
1990 12.82 0.62 (2.41) (0.66) (0.28) 10.09 (15.02)% 54,193 0.75%
CLASS D
1995** $14.04 $ 0.24 $ 0.64 $(0.25) $(0.47) $14.20 6.66%* $ 925 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
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
----------------------------
LARGE CAP VALUE PORTFOLIO(A)
----------------------------
CLASS A
1995** 2.96% 0.81% 2.89% 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%
1990 3.05% 0.98% 2.82% 28%
--------------------------
LARGE CAP GROWTH PORTFOLIO
--------------------------
1995**(11) 1.98% 0.85% 1.98% 16%
-------------------------
SMALL CAP VALUE PORTFOLIO
-------------------------
1995**(12) 0.81% 1.11% 0.80% 3%
--------------------------
SMALL CAP GROWTH PORTFOLIO
--------------------------
CLASS A
1995** (0.56)% 1.12% (0.58)% 50%
1994 (0.51)% 1.11% (0.61)% 97%
1993 (0.25)% 1.14% (0.42)% 85%
1992(5) 0.49% 1.29% 0.17% 33%
CLASS D
1995** (0.95)% 1.52% (0.97)% 50%
1994(9) (0.92)% 1.52% (0.95)% 97%
------------------------
MID-CAP GROWTH PORTFOLIO
------------------------
CLASS A
1995** (0.17)% 1.10% (0.30)% 33%
1994 0.03% 1.06% (0.10)% 89%
1993(4) 0.26% 1.12% 0.04% 87%
CLASS D
1995** (0.65)% 1.53% (0.81)% 33%
1994(8) (0.41)% 1.45% (0.50)% 89%
------------------------------
CAPITAL APPRECIATION PORTFOLIO
------------------------------
CLASS A
1995** 1.51% 0.87% 1.48% 53%
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%
1990 2.95% 1.04% 2.66% 96%
CLASS D
1995** 1.07% 1.26% 1.05% 53%
1994 1.20% 1.27% 1.16% 109%
1993(2) 2.54% 1.24% 2.45% 119%
-----------------------
EQUITY INCOME PORTFOLIO
-----------------------
CLASS A
1995** 3.87% 0.86% 3.83% 25%
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%
1990 5.63% 1.02% 5.36% 33%
CLASS D
1995** 3.49% 1.26% 3.44% 25%
1994 3.36% 1.35% 3.21% 28%
1993(1) 5.39% 1.46% 5.08% 39%
</TABLE>
38
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Distributions
Net Asset Net Realized and Dividends from Ratio of
Value Net Unrealized from Net Realized Net Asset Net Assets Expenses
Beginning Investment Gains (Losses) Investment Capital Value End Total End of to Average
of Period Income (Loss) on Securities Income Gains of Period Return Period (000) Net Assets
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
------------------
BALANCED PORTFOLIO
------------------
CLASS A
1995** $11.52 $ 0.16 $ 0.21 $(0.16) $(0.10) $11.63 3.29% $ 66,406 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%
1990(6) 10.00 0.07 (0.30) -- -- 9.77 (15.56)% 459 0.76%
------------------------
CAPITAL GROWTH PORTFOLIO
------------------------
1995** $11.55 $ 0.10 $ 0.41 $(0.10) $(1.53) $10.43 5.96% $118,483 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%
1990(3) 10.00 0.26 (1.65) (0.23) -- 8.38 (19.27)% 76,876 0.00%
------------------------------
CORE FIXED INCOME PORTFOLIO(B)
------------------------------
CLASS A
1995** $ 9.65 $ 0.32 $ 0.28 $(0.32) $ -- $ 9.93 6.45% $406,281 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%
1990 9.95 0.75 (0.12) (0.76) (0.03) 9.79 6.58% 83,876 0.55%
CLASS D
1995** $9.65 $ 0.31 $ 0.27 $(0.31) $ -- $ 9.92 6.17%* $ 97 0.95%
1994(10) 9.77 0.21 (0.15) (0.18) -- 9.65 3.29%* 44 0.92%
--------------
BOND PORTFOLIO
--------------
CLASS A
1995** $ 9.95 $ 0.36 $ 0.37 $(0.35) $(0.07) $10.26 7.55% $ 67,180 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%
1990 10.38 0.81 (0.69) (0.82) (0.29) 9.39 0.97% 20,339 0.55%
CLASS D
1995** $ 9.94 $ 0.32 $ 0.40 $(0.34) $(0.07) $10.24 7.26%* $ 111 0.95%
1994 12.24 0.58 (1.64) (0.56) (0.68) 9.94 (9.37)%* 106 0.95%
1993(7) 12.07 0.07 0.15 (0.05) -- 12.24 14.75%* 2 0.95%
-------------------------
HIGH YIELD BOND PORTFOLIO
-------------------------
1995**(13) $10.00 $0.17 $ 0.23 $(0.09) $ -- $10.31 19.73% $ 7,429 0.85%
<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
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
------------------
BALANCED PORTFOLIO
------------------
CLASS A
1995** 2.87% 0.89% 2.74% 59%
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%
1990(6) 5.66% 3.23% 3.19% 0%
------------------------
CAPITAL GROWTH PORTFOLIO
------------------------
1995** 1.95% 0.56% 1.39% 23%
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%
1990(3) 3.73% 0.48% 3.25% 99%
------------------------------
CORE FIXED INCOME PORTFOLIO(B)
------------------------------
CLASS A
1995** 6.73% 0.65% 6.63% 161%
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%
1990 7.79% 0.76% 7.58% 40%
CLASS D
1995** 6.33% 1.05% 6.23% 161%
1994(10) 5.91% 1.00% 5.83% 370%
--------------
BOND PORTFOLIO
--------------
CLASS A
1995** 6.69% 0.68% 6.56% 37%
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%
1990 8.06% 0.78% 7.83% 89%
CLASS D
1995** 6.21% 1.08% 6.08% 37%
1994 5.38% 1.86% 4.47% 73%
1993(7) 4.66% 1.06% 4.55% 47%
-------------------------
HIGH YIELD BOND PORTFOLIO
-------------------------
1995**(13) 8.97% 0.95% 8.87% 4%
</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 Capital Growth Class A shares were offered beginning January 4, 1990. All
ratios including total return for that period have been annualized.
4 Mid-Cap Growth Class A shares were offered beginning February 16, 1993. All
ratios including total return for that period have been annualized.
5 Small Cap Growth Class A shares were offered beginning April 20, 1992. All
ratios including total return for that period have been annualized.
6 Balanced Class A shares were offered beginning August 7, 1990. All ratios
including total return for that period have been annualized.
7 Bond Class D shares were offered beginning August 16, 1993. All ratios
including total return for that period have been annualized.
8 Mid-Cap Growth Class D shares were offered beginning May 2, 1994. All ratios
including total return for that period have been annualized.
9 Small Cap Growth Class D shares were offered beginning May 2, 1994. All
ratios including total return for that period have been annualized.
10 Core Fixed Income Class D shares were offered beginning May 9, 1994. All
ratios including total return for that period have been annualized.
11 Large Cap Growth shares were offered beginning December 20, 1994. All ratios
including total return for that period have been annualized.
12 Small Cap Value shares were offered beginning December 20, 1994. All ratios
including total return for that period have been annualized.
13 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.
** For the period ended March 31, 1995.
(a) During the period ended March 31, 1995 the Value Portfolio changed, its
name to the Large Cap Value Portfolio.
(b) During the period ended March 31, 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.
39
<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
40
<PAGE>
- --------------------------------------------------------------------------------
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
41
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
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
42
<PAGE>
- --------------------------------------------------------------------------------
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.
43
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- March 31, 1995 (Unaudited)
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.
44
<PAGE>
- ---------------------------
SEI INSTITUTIONAL
- ---------------------------
MANAGED TRUST
- ---------------------------
SEMI-ANNUAL REPORT
- ---------------------------
March 31, 1995 (unaudited)
Robert A. Nesher
Chairman
TRUSTEES
Edward W. Binshadler
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
Kathryn L. Stanton
Vice President, Assistant Secretary
Sandra K. Orlow
Vice President, Assistant Secretary
Kevin P. Robins
Vice President, Assistant Secretary
Jeffrey A. Cohen
Controller, Assistant Secretary
Richard W. Grant
Secretary
John H. Grady, Jr.
Assistant Secretary
INVESTMENT ADVISERS
Equity & Balanced Portfolios
SEI Financial Management Corporation
Investment Advisers, Inc.
Merus Capital Management
Nicholas-Applegate Capital Management
Pilgrim Baxter & Associates
SunBank Capital Management, N.A.
Fixed Income Portfolios
Western Asset Management Company
Boatmen's Trust Company
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Financial Management Corporation
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius
INDEPENDENT PUBLIC ACCOUNTANTS
Price Waterhouse LLP
This semi-annual report and the financial statements contained herein are sub-
mitted 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>
SEI-F-092-02
