ANNUAL REPORT AS OF
SEPTEMBER 30, 1996
SEI INSTITUTIONAL
MANAGED TRUST
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Large Cap Value
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Large Cap Growth
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Small Cap Value
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Small Cap Growth
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Mid-Cap
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Capital Appreciation
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Equity Income
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Balanced
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Core Fixed Income
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Bond
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High Yield Bond
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[LOGO]
SEI
<PAGE>
TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FUND PERFORMANCE................................................. 1
REPORT OF INDEPENDENT ACCOUNTANTS.................................... 15
STATEMENT OF NET ASSETS.............................................. 16
STATEMENT OF OPERATIONS.............................................. 52
STATEMENT OF CHANGES IN NET ASSETS................................... 54
FINANCIAL HIGHLIGHTS................................................. 56
NOTES TO FINANCIAL STATEMENTS........................................ 59
SHAREHOLDER VOTING RESULTS........................................... 64
NOTICE TO SHAREHOLDERS............................................... 68
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
LARGE CAP VALUE PORTFOLIO
ADVISER--SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISERS--MELLON EQUITY ASSOCIATES
MERUS-UCA CAPITAL MANAGEMENT
LSV ASSET MANAGEMENT
OBJECTIVE
The Portfolio seeks to provide long-term growth of capital and income by
investing in the equity securities of large companies. The Portfolio invests
primarily in a diversified portfolio of high quality, income producing common
stocks, which in the adviser's opinion, are undervalued in the marketplace at
the time of purchase.
STRATEGY
SEI Financial Management Corporation ("SFM") employs a multi-manager
structure to gain exposure to the entire large cap value sector, adding value
through stock selection while minimizing risk in the form of capitalization,
valuation and economic sector exposures. The Portfolio is jointly sub-advised by
three investment managers. Assets of the Portfolio are strategically allocated
among its three sub-advisers, each of whom has responsibility for stock
selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a
unique expertise or substyle to the Portfolio. LSV Asset Management invests in
companies trading at deep discounts to their intrinsic value. Mellon Equity
Associates invests primarily in large cap value stocks that are representative
of the market. Merus-UCA Capital Management pursues an investment strategy
focusing on companies with above market dividend yields.
Each of the aforementioned substyles assumes a different importance in
determining overall style risk, and must therefore be weighted accordingly.
ANALYSIS
The Portfolio posted a 18.3% return for the year ended September 30, 1996
led by stock selection within electrics and telephones.
Domestic equity markets continued to move higher over the year as stock
prices benefited from strong economic fundamentals throughout the year. Low
interest rates accompanied by low inflation led the way for the popular "soft
landing" that to date, has been achieved. Large cap stocks dominated small caps
over the time period and growth outperformed value. Factors that drove the
market in 1995, have continued to be dominant throughout fiscal 1996.
Specifically, money center and major regional banks have continued to rise on
consolidation, cost-cutting and merger activity. The industry remains one of the
last merger plays in the market today. In addition, technology stocks recovered
from a sell off in the first and second calendar quarters of 1996 to be among
the best returning industries for the year. However, the electric utility
industry struggles amid competition concerns while telephone stocks experienced
a let down following a strong 1995 on profit taking and competition concerns.
The Portfolio benefited from exposure in the bank industry, but most of
the return came as a result of the specific stock selection in the
underperforming telephone and electric utility group. Despite industry wide
concerns, specific stocks contributed to the overall return of the Portfolio.
Consolidation is beginning to become a large factor in the industry performance.
In the Portfolio, Noram Energy and Portland General were among the top five
returning utilities due to merger activity. In addition, gas prices have slowly
risen.
1
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
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LARGE CAP VALUE
==================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------
One Year Annualized
Return Inception to Date
- --------------------------------------------------
18.33% 22.76%
- --------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE LARGE CAP VALUE
PORTFOLIO, VERSUS THE FRANK RUSSELL 1000 VALUE INDEX, THE S&P 500 COMPOSITE
INDEX, AND THE S&P/BARRA VALUE INDEX
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Large Cap Value Portfolio from October 31, 1994 through September
30, 1996 as compared with the growth of a $10,000 investment in the S&P 500
Composite Index, Frank Russell 1000 Value Index, and the S&P /Barra Value Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Large Cap Value Invested in S&P 500 Invested in S&P/BARRA Invested in Frank Russell
Portfolio Composite Index Value Index 1000 Value Index
<S> <C> <C> <C> <C>
10/31/94 $10,000 $10,000 $10,000 $10,000
09/30/95 $12,422 $12,689 $12,497 $12,593
09/30/96 $14,699 $15,267 $14,826 $14,854
<FN>
1 For the period ended 9/30/96. Past performance is not predictive of future
performance. The performance indicated above begins on October 3, 1994 at
which time Mellon Equity Associates began acting as investment adviser to the
Portfolio. Previous periods during which the Portfolio was advised by another
investment adviser are not shown.
</FN>
</TABLE>
LARGE CAP GROWTH PORTFOLIO
ADVISER--SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISERS--ALLIANCE CAPITAL MANAGEMENT, L.P.
IDS ADVISORY GROUP, INC.
PROVIDENT INVESTMENT COUNSEL, INC.
OBJECTIVE
The investment objective of the Large Cap Growth Portfolio is capital
appreciation by investing in the equity securities of large companies. The
Portfolio invests in the securities of issuers believed to possess significant
growth potential.
STRATEGY
SEI Financial Management ("SFM") employs a multi-manager structure to gain
exposure to the entire large cap growth sector, adding value through stock
selection while minimizing risk in the form of capitalization, valuation and
economic sector exposures. The Portfolio is jointly sub-advised by three
investment managers. Assets of the Portfolio are strategically allocated among
its sub-advisers, each of which has responsibility for stock selection for its
respective assets under management.
Through various investment approaches, each sub-adviser contributes a
unique expertise or sub-style to the Portfolio. Alliance Capital Management,
L.P. invests in large cap growth stocks that are representative of the market.
IDS Advisory Group Inc. invests primarily in large-cap growth stocks whose
sector is expected to outperform the market. Provident Investment Counsel, Inc.
invests primarily in mid-cap and large-cap stocks which are expected to
demonstrate very high long term earnings growth.
Each of the aforementioned sub-styles assumes a different importance in
determining overall style risk, and must therefore be weighted accordingly.
ANALYSIS
The Portfolio returned 20.59% for the one-year period ended September 30,
1996. Through our continuous monitoring of the Portfolio's sources of return, we
identified an area of the market which we did not have full exposure. As a
result, Provident Investment Counsel, Inc. was added as a sub-advisor to the
portfolio to exploit the opportunities in the very high growth, mid-cap to
large-cap companies.
Technology stocks continued their strong advances throughout the year and
contributed significantly to the Portfolio's performance. Healthcare and
consumer non-durables companies, each significant exposures in the Portfolio,
experienced sharp gains as the stability of earnings growth for these companies
become very attractive as corporate earnings growth, along with the economy,
begins to slow.
2
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While the broad market advanced significantly during the year, the
telephone industry was rather weak as competition sharply increased at the same
time as AT&T engineered their breakup. Also, given the tragic airline crashes
and rising fuel prices, this industry has been disappointing.
The Portfolio continues to be positioned for slower economic growth and
low interest rates. Consumer, drug, financial services and technology companies
are expected to perform strong in this economy.
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LARGE CAP GROWTH
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AVERAGE ANNUAL TOTAL RETURN1
- ----------------------------------------------
One Year Annualized
Return Inception to Date
- ----------------------------------------------
20.59% 27.88%
- ----------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE LARGE CAP
GROWTH PORTFOLIO, VERSUS THE FRANK RUSSELL 1000 GROWTH INDEX, AND THE S&P/BARRA
GROWTH INDEX
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Large Cap Growth Portfolio from December 31, 1994 through
September 30, 1996 as compared with the growth of a $10,000 investment in the
S&P /BARRA Growth Index, and the Frank Russell 1000 Growth Index. The plot
points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Invested in Invested in
Large Cap Growth Frank Russell 1000 S&P/BARRA
Portfolio Growth Index Growth Index
<S> <C> <C> <C>
12/31/94 $10,000 $10,000 $10,000
09/30/95 $12,751 $13,123 $13,078
09/30/96 $15,377 $15,931 $15,963
<FN>
1 FOR THE PERIOD ENDED 9/30/96. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED
BEGINNING 12/20/94.
</FN>
</TABLE>
SMALL CAP VALUE PORTFOLIO
ADVISER--SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER--1838 INVESTMENT ADVISORS, L.P.
BOSTON PARTNERS ASSET MANAGEMENT, L.P.
OBJECTIVES
The Small Cap Value Portfolio seeks to provide capital appreciation by
investing in equity securities of smaller companies. The Portfolio invests in
the stocks of companies whose prices appear low relative to certain fundamental
characteristics such as earnings, book value or return on equity.
STRATEGY
SEI Financial Management Corporation's ("SFM") investment strategy is to
add value through stock selection while minimizing risk in the form of
capitalization, valuation and economic sector exposures. The Portfolio is
sub-advised by two investment managers, which are responsible for the stock
selection of the Portfolio.
Using a bottom-up selection process, 1838 Investment Advisors, L.P.
screens a universe of over 9000 companies to generate a list of stocks with low
market capitalization and low price-to-earnings ratios. These survivors are then
rigorously evaluated to create a portfolio of securities with strong balance
sheets and potential for price appreciation.
Boston Partners Asset Management combines quantitative and fundamental
approaches to seeking out value by examining many facets of companies'
fundamental worth. Book value is stressed as a common measure among these
facets, as are high returns on assets, turnaround situations and the presence of
catalysts to realize fundamental value.
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
ANALYSIS
The Small Cap Value Portfolio posted a 10.9% return for fiscal year ended
1996. Boston Partners Asset Management was added to the portfolio in November
1995 and brings a more diverse value approach to the Portfolio.
Fiscal 1996 was a good one for financial and energy related stocks.
Companies within the financial services industry benefited from both low
interest rates and merger related activity within the industry. Higher oil
prices and rising tensions in the Middle East help propel the energy sector
higher with the domestic oil industry leading the way. Consumer durable
companies benefited from the lower interest rate environment, as well as, the
rising level of consumer confidence.
The Portfolio returns were hurt for the year due to the underweighting in
the finance, apparel and energy sectors of the market. The apparel industry was
one the worst performing industry for the year as several companies consistently
reported lower than expected earnings. However, good stock selection in the food
& agriculture and paper products industries added to the overall return of the
Portfolio.
The Portfolio continues to focus on companies with low price-to-asset
ratios as the market climbs to new highs. Over time, this strategy has proven to
reward investors with superior returns without taking on unrewarded risks.
================================================
SMALL CAP VALUE
================================================
AVERAGE ANNUAL TOTAL RETURN1
- ------------------------------------------------
One Year Annualized
Return Inception to Date
- ------------------------------------------------
10.86% 18.62%
- ------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SMALL CAP VALUE
PORTFOLIO, VERSUS THE FRANK RUSSELL 2000 VALUE INDEX
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Small Cap Value Portfolio from December 31, 1994 through September
30, 1996 as compared with the growth of a $10,000 investment in the Frank
Russell 2000 Value Index. The plot points used to draw the line graph were as
follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in Small Cap Value Invested in Frank Russell 2000
Portfolio Value Index
<S> <C> <C>
12/31/94 $10,000 $10,000
09/30/95 $11,889 $12,219
09/30/96 $13,180 $13,866
<FN>
1 FOR THE PERIOD ENDED 9/30/96. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED BEGINNING 12/20/94.
</FN>
</TABLE>
SMALL CAP GROWTH PORTFOLIO
ADVISOR--SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISOR--APODACA-JOHNSTON CAPITAL MANAGEMENT, INC.
FIRST OF AMERICA INVESTMENT CORP.
NICHOLAS-APPLEGATE CAPITAL MANAGEMENT, INC.
WALL STREET ASSOCIATES
OBJECTIVES
The Small Cap Growth Portfolio seeks to provide long-term capital
appreciation by investing in equity securities of smaller companies. The
Portfolio invests in the stocks of companies that are in a early stage or at a
transitional point in their development and have demonstrated or have potential
for above average capital growth.
STRATEGY
SEI Financial Management Corporation ("SFM") employs a multi-manager
structure to gain exposure to the entire small cap growth sector, adding value
through stock selection while minimizing risk in the form of capitaliza-
4
<PAGE>
tion, valuation and economic sector exposures. The Portfolio is jointly
sub-advised by four investment managers. Assets of the portfolio are
strategically allocated among its four sub-advisers, each of which has a
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-advisor contributes a
particular expertise or sub-style to the Portfolio. Apodaca-Johnston Capital
Management, Inc. invests primarily in micro-cap stocks with above average
earnings acceleration. First of America Investment Corporation pursues an
investment strategy focusing on strong sales and earnings growth.
Nicholas-Applegate Capital Management, Inc. screens stocks for high and
accelerated earnings growth and then selects those with attractive current
prices relative to sustainable cash flow. Wall Street Associates seeks out
micro-cap stocks with long-term earnings growth potential.
Each of the aforementioned sub-styles assumes a different importance in
determining overall style risk, and must therefore be weighted accordingly.
ANALYSIS
The Small Cap Growth Portfolio (Class A shares) posted an impressive 26.6%
for the fiscal year ended September 30, 1996. Fiscal 1996 was an eventful year
for the Portfolio. Investment Advisers, Inc. and Pilgrim Baxter & Associates,
Ltd. resigned in December, 1995 and June of 1996, respectively, because of style
and business issues, and First of America Investment Corporation was hired as a
sub-advisor on June 3, 1996. This transition has allowed the Portfolio to
increase its exposure to the micro-cap end of the market as well as pare back
its exposure to momentum.
Fiscal 1996 was a good one for the drug and retail sectors of the market.
With interest rates remaining low and consumer confidence rising throughout the
year, retailers continued to report higher than expected earnings. The Portfolio
benefited from the combination of its 5.0% average weight and superior stock
selection in the retail sector. Drug & medicine stocks performed particularly
well as the FDA expedited the approval process of new pharmaceuticals and
medical devices.
The Portfolio benefited from its exposure to momentum. Fiscal 1996 was
an ideal time for this sub-style to perform well due to the continued volatility
in the market. The Portfolio continues to be style neutral to the Frank Russell
2000 Growth Index. In the first quarter of fiscal 1997, SEI will add a manager
that will reduce the Portfolio's exposure to momentum.
===============================================================================
SMALL CAP GROWTH
===============================================================================
AVERAGE ANNUAL TOTAL RETURN1
- -------------------------------------------------------------------------------
Annualized
One Year 3 Year Annualized
Return Return Inception to Date
- -------------------------------------------------------------------------------
Class A 26.56% 21.57% 24.42%
- -------------------------------------------------------------------------------
Class D, w/o load 26.01% 21.19% 24.16%
- -------------------------------------------------------------------------------
Class D, w/load 19.71% 19.14% 22.72%
- -------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SMALL CAP
GROWTH PORTFOLIO, CLASS A AND CLASS D, VERSUS THE FRANK RUSSELL 2000 GROWTH
INDEX, THE WILSHIRE SMALL CAP GROWTH INDEX, AND THE S&P 500 COMPOSITE INDEX
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains)of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Small Cap Growth Portfolio, Class A and Class D from
April 30, 1992 through September 30, 1996 as compared with the growth of a
$10,000 investment in the S&P 500 Composite Index, Frank Russell 2000 Growth
Index, and Wilshire Small Cap Growth Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Invested in Invested in Invested in Invested in
Small Cap Growth Small Cap Growth in S&P 500 Frank Russell 2000 Wilshire Small Cap
Portfolio, Class A Portfolio, Class D Composite Index Growth Index Growth Index
<S> <C> <C> <C> <C> <C>
04/30/92 $10,000 $9,500 $10,000 $10,000 $10,000
09/30/92 $10,659 $10,126 $10,211 $9,522 $9,837
09/30/93 $14,690 $13,955 $11,538 $12,301 $13,382
09/30/94 $14,723 $13,938 $11,963 $12,409 $13,719
09/30/95 $20,856 $19,714 $15,520 $15,905 $18,616
09/30/96 $26,395 $24,842 $18,673 $17,909 $20,832
<FN>
1 FOR THE PERIOD ENDED 9/30/96. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE. CLASS A AND CLASS D SHARES OF THE PORTFOLIO WERE OFFERED BEGINNING
4/20/92 AND 5/2/94, RESPECTIVELY. THE PERFORMANCE SHOWN FOR THE CLASS D SHARES
PRIOR TO SUCH DATE IS BASED ON THE PERFORMANCE OF CLASS A ADJUSTED TO REFLECT
THE MAXIMUM SALES CHARGE OF 5.00% FOR THE CLASS D SHARES.
</FN>
</TABLE>
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
MID-CAP PORTFOLIO
ADVISER-SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER-MARTINGALE ASSET MANAGEMENT L.P.
OBJECTIVES
The Portfolio seeks to provide long-term capital appreciation by investing
primarily in equity securities of mid-sized companies.
STRATEGY
The Portfolio's investment philosophy is based on a bottom-up stock
selection process which emphasizes securities that have dramatic earnings
acceleration, sustainable growth, positive relative price momentum and an
attractive valuation. This philosophy results in a Portfolio which will tend to
have a higher than average price-to-earnings ratio, price-to-book ratio, and
return on equity, and a lower than average dividend yield.
ANALYSIS
The Mid-Cap Portfolio gained 16.0% for the year ended September 30, 1996
driven by stock selection in business machines and drug stocks.
Domestic equity markets continued to move higher over the year as stock
prices benefited from strong economic fundamentals throughout the year. Low
interest rates accompanied by low inflation led the way for the popular "soft
landing" that to date, has been achieved. Large cap stocks dominated small caps
over the time period and growth outperformed value.
The sectors that drove the market in 1995, finance and technology, are the
same two that pushed the market to the record levels in 1996. Consolidation and
cost-cutting have allowed banks to build reserves and withstand higher loan
defaults and slightly rising interest rates. Strong demand for computer chips in
1995 slowed slightly in 1996, but have just recently regained their strength.
The business machine industry withstood a slight sell-off in the first and
second quarter of 1996, but rebounded strongly in the third calendar quarter.
The Mid-Cap Portfolio maintained a 4.5% position in banks which was a
strong policy for the year. Comerica and US Bancorp were both up more than 44%
for the year, and together they contributed 35 basis points to the overall
return. Insurance, thrifts and miscellaneous finance were also contributors to
the return for the year. Drug companies also showed strong returns, specifically
Bergen Brunswig Corp. and Value Health Inc., up 51.3% and 30.2% respectively.
Technology, following its mild sell off due to slowing demand, saw a
rebound in orders as inventory was reduced. With the pick up in microchip
demand, related technology stocks in the hardware, software and computer retail
companies shared in the run-up. Gateway 2000 and Western Digital Corp. were two
such related stocks that returned 56.1% and 107.0%, respectively. The Portfolio
has been managed over the year to provide consistent mid cap exposure with
little drift in style. It has successfully provided exposure with added value
through stock selection.
6
<PAGE>
=============================================
MID-CAP
=============================================
AVERAGE ANNUAL TOTAL RETURN1
- ---------------------------------------------
One Year Annualized Annualized
Return 3 Year Return Inception to Date
- ---------------------------------------------
16.03% 8.50% 12.80%
- ---------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE MID-CAP
PORTFOLIO, VERSUS THE FRANK RUSSELL MID-CAP INDEX, THE S&P 500 COMPOSITE INDEX,
AND THE WILSHIRE MID-CAP GROWTH INDEX
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Mid-Cap Portfolio from February 28, 1993 through September 30,
1996 as compared with the growth of a $10,000 investment in the S&P 500
Composite Index, Frank Russell Mid-Cap Index, and Wilshire Mid-Cap Growth Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Mid-Cap Invested in Frank Russell Invested in S&P 500 Invested in Wilshire Mid-Cap
Portfolio Mid-Cap Index Composite Index Growth Index
<S> <C> <C> <C> <C>
02/28/93 $10,000 $10,000 $10,000 $10,000
09/30/93 $11,779 $11,049 $10,525 $11,217
09/30/94 $10,825 $11,232 $10,913 $11,878
09/30/95 $12,966 $14,274 $14,157 $16,118
09/30/96 $15,045 $16,564 $17,033 $18,596
<FN>
1 FOR THE PERIOD ENDED 9/30/96. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED
BEGINNING 2/16/93.
</FN>
</TABLE>
CAPITAL APPRECIATION
PORTFOLIO
ADVISER--SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER--STI CAPITAL MANAGEMENT, N.A.
OBJECTIVES
The Capital Appreciation Portfolio seeks to provide capital appreciation
through a diversified portfolio of common stocks. Dividend income is incidental
to the growth of capital. Securities are selected for the Portfolio based on
factors believed to be favorable for long-term appreciation, such as historical
returns on equity and earnings growth rates. Holdings in the Portfolio are
rotated between various market sectors based on economic analysis of the
business cycle.
STRATEGY
The investment management process followed by the sub-adviser emphasizes
business cycle analysis, sector rotation and stock selection. The sub-adviser
identifies market sectors that appear undervalued and/or are outperforming other
sectors during a specific interval in the business cycle. The sub-adviser then
selects securities with a history of growth and a P/E ratio below comparable
companies in that market sector. Trading ranges are assigned for the prices of
these companies and these companies are actively traded while the sector remains
in favor. As a sector's favor changes over the business cycle, holdings are
shifted into the sectors showing the most potential for return.
ANALYSIS
The Portfolio returned 22.1% for the one-year period ended September 30,
1996. Performance benefited during the year from strong stock selection and
industry selection as well as a low cash position and more concentrated
holdings.
As the Federal Reserve engineered a soft-landing during the past twelve
months, the slowing economy provided a broad trading range for securities.
Growth companies were in favor over this time period as investors shifted from
smaller-cap companies into more predictable large-cap companies with proven
records of earnings growth. Additionally, there was a significant amount of
sector rotation in large-cap growth companies during the fiscal year.
Technology, healthcare, leisure and financial services companies have each been
in and out of favor during the year. The Portfolio benefited from this
volatility as overvalued securities were traded for undervalued securities which
enhanced performance from stock selection.
The Portfolio, which invests primarily in high quality growth companies,
is in position to take advantage of slower corporate earnings growth and economy
as well as stable interest rates.
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
======================================
CAPITAL APPRECIATION
======================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------
Annualized
One Year 5 Year Annualized
Return Return Inception to Date
- --------------------------------------
22.14% 12.85% 14.44%
- --------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE CAPITAL
APPRECIATION PORTFOLIO, VERSUS THE S&P 500 COMPOSITE INDEX, AND THE S&P/BARRA
GROWTH INDEX
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains)of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Capital Appreciation Portfolio from March 31, 1988 through
September 30, 1996 as compared with the growth of a $10,000 investment in the
S&P 500 Composite Index and S&P/BARRA Growth Index. The plot points used to draw
the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Invested in Invested in
Capital Appreciation S&P 500 S&P/ BARRA
Portfolio Composite Index Growth Index
<S> <C> <C> <C>
03/31/88 $10,000 $10,000 $10,000
09/30/88 $10,360 $10,703 $10,605
09/30/89 $14,238 $14,233 $14,301
09/30/90 $13,419 $12,918 $13,531
09/30/91 $17,671 $16,946 $18,324
09/30/92 $19,615 $18,819 $20,382
09/30/93 $22,265 $21,265 $21,122
09/30/94 $22,241 $22,048 $22,581
09/30/95 $26,473 $28,602 $29,733
09/30/96 $32,335 $34,414 $36,292
<FN>
1 FOR THE PERIOD ENDED 9/30/96. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED
BEGINNING 3/1/88.
</FN>
</TABLE>
EQUITY INCOME PORTFOLIO
ADVISOR--SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISOR--MERUS-UCA CAPITAL MANAGEMENT
OBJECTIVES
The Portfolio seeks to provide current income, moderate capital
appreciation, and long-term growth of capital through a diversified portfolio of
common stocks. The Portfolio invests in securities which have a high current
yield and a low level of volatility relative to the market while participating
in rising markets.
STRATEGY
The investment management process followed by the sub-adviser emphasizes
current income. The Portfolio is managed to provide a yield which is
approximately 120 to 200 basis points above the yield on the S&P 500. Securities
which have favorable long-term fundamental characteristics are selected for the
Portfolio when their current yields are at the upper end of their historic yield
ranges. When the price of a stock rises sufficiently to cause its yield to drop
to the lower end of this historic range, the security will be sold. The yield of
a security might vary between its buy and sell range over a three or four year
cycle, and the turnover of the Portfolio is typically a low 30% per year.
ANALYSIS
The Portfolio returned 18.2% for the year ended September 30, 1996 driven
by exposure in the banking sector as well as stock selection in the telephone
industry.
Domestic equity markets continued to move higher over the year as stock
prices benefited from strong economic fundamentals throughout the year. Low
interest rates accompanied by low inflation led the way for the popular "soft
landing" that to date, has been achieved. Large cap stocks dominated small caps
over the time period and growth outperformed value. High quality, yield stocks
have failed to keep up with the technology dominated stock market rally in 1996.
In addition, high yielding electric utilities were also a drag on performance
relative to the broad market as earnings outlooks look weak in the competitive
future.
Factors that drove the market in 1995, have continued to be dominant
throughout fiscal 1996. Specifically, money center and major regional banks have
continued to rise on consolidation, cost-cutting and merger activity. The
industry remains one of the last merger plays in the market today. The
Portfolio's largest exposure is a 14.0% weight in the banks. Telephone stocks
added significant value in the fourth quarter of 1995 and the portfolio's weight
was reduced following the year to a 5.7%. In 1996, the telephone stocks have
experienced poor performance.
8
<PAGE>
Competition legislation coupled with profit taking in the industry caused
the industry to underperform the broad market. Despite the decline, selection
within the group contributed to the overall portfolio return.
Tobacco stocks suffered a setback late in the fiscal year 1996 as
litigation was decided against the industry. The result was a 12.5% decline for
the industry leader Philip Morris in the third calendar quarter. The Portfolio's
weight in the industry was reduced to 0.5% as of September 30, 1996 with the
sale of Philip Morris and UST Inc.
Over the course of 1996, telephone and tobacco exposures were reduced in
favor of energy stocks. Commitments to both international and domestic oil
stocks were increased and the exposure has paid off in the short term with
commodity prices increasing. The group will benefit from supply and demand
pressures over the course of next year.
============================================
EQUITY INCOME
============================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------
One Year Annualized Annualized
Return 5 Year Return Inception to Date
- --------------------------------------------
18.17% 14.27% 13.80%
- --------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE EQUITY INCOME
PORTFOLIO, VERSUS THE FRANK RUSSELL 1000 VALUE INDEX, THE S&P 500 COMPOSITE
INDEX, AND THE S&P/BARRA VALUE INDEX
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Equity Income Portfolio from June 30, 1988 through September 30,
1996 as compared with the growth of a $10,000 investment in the S&P 500
Composite Index, Frank Russell 1000 Value Index and S&P/BARRA Value Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Invested in Invested in Invested in
Equity Income Frank Russell S&P 500 S&P/ BARRA
Portfolio 1000 Value Index Composite Index Value Index
<S> <C> <C> <C> <C>
06/30/88 $10,000 $10,000 $10,000 $10,000
09/30/88 $10,297 $10,126 $10,033 $10,089
09/30/89 $13,235 $13,000 $13,343 $13,164
09/30/90 $11,247 $11,015 $12,110 $11,375
09/30/91 $14,854 $14,202 $15,886 $14,443
09/30/92 $16,785 $15,963 $17,642 $15,997
09/30/93 $19,696 $20,049 $19,935 $19,610
09/30/94 $19,907 $19,915 $20,669 $19,718
09/30/95 $24,485 $25,429 $26,814 $25,177
09/30/96 $28,934 $29,994 $32,262 $29,870
<FN>
1 FOR THE PERIOD ENDED 9/30/96. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED
BEGINNING 6/2/88.
</FN>
</TABLE>
BALANCED PORTFOLIO
ADVISER--SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER--STI CAPITAL MANAGEMENT, N.A.
OBJECTIVES
The Balanced Portfolio seeks to achieve total return while preserving
capital by investing in a combination of common stocks and fixed income
securities. By altering the mix of equity and fixed income securities, the
Portfolio seeks to minimize losses during falling equity markets while realizing
strong returns in rising markets.
STRATEGY
The sub-adviser views equities as the primary source of return in balanced
funds with fixed income instruments primarily providing stability and
diversification. The equity portion of the Portfolio combines a core group of
demonstrated growth stocks with securities selected through business cycle
analysis and sector rotation. This approach tends to result in a portfolio of
large capitalization stocks with price-to-earnings ratios, growth rates and
returns on equity higher than market averages. Fixed income selection attempts
to provide portfolio stability and incremental return by identifying inexpensive
areas of the yield curve and improving corporate credits.
ANALYSIS
The performance for the Balanced Portfolio was 15.01% for the one-year
period ended September 30, 1996. The Portfolio held approximately 60% of its
assets in the equity markets for the year, with the remaining 40% invested
primarily in the fixed income markets. With this asset allocation, the Portfolio
captured the growth of the equity markets while benefiting from the
diversification available from fixed income securities.
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
In a year of significant growth in the stock market and lackluster returns
from bonds, the exposure to equity securities had the most significant impact on
performance. Strong returns were available throughout the year in consumer
non-durables, financial services, technology, aerospace, healthcare and leisure
companies.
The Federal Reserve successfully engineered a soft landing in the last
twelve months. Inflation rates have remained under control while moderate growth
in GDP has been maintained. Interest rate policy has shifted very little during
this time and the yield curve remained flat during the year. As a result,
duration for the Portfolio remained neutral to the Lehman Govt./Corp. Bond
Index. During the early part of the fiscal year, the Portfolio invested
significantly in mortgage backed fixed income securities. Corporate fixed income
securities were expensive during most of the year and therefore a large portion
of the fund is invested in Treasury securities.
==========================================
BALANCED
==========================================
AVERAGE ANNUAL TOTAL RETURN1
- ------------------------------------------
One Year Annualized Annualized
Return 5 Year Return Inception to Date
- ------------------------------------------
15.01% 10.35% 10.56%
- ------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE BALANCED
PORTFOLIO, VERSUS THE S&P 500 COMPOSITE INDEX, THE LEHMAN GOV'T./CORPORATE BOND
INDEX, AND THE S&P/BARRA GROWTH INDEX
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Balanced Portfolio from August 31, 1990 through September 30, 1996
as compared with the growth of a $10,000 investment in the Lehman
Government/Corporate Bond Index, S&P 500 Composite Index, and S&P/BARRA Growth
Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000 Growth of $10,000 Growth of $10,000
Invested in Balanced Invested in Lehman Gov't/Corp. Invested in S&P/BARRA Invested in S&P 500
Portfolio Bond Index Growth Index Composite Index
<S> <C> <C> <C> <C>
08/31/90 $10,000 $10,000 $10,000 $10,000
09/30/90 $ 9,929 $10,083 $ 9,484 $9,513
09/30/91 $11,514 $11,683 $12,843 $12,479
09/30/92 $12,850 $13,229 $14,286 $13,858
09/30/93 $14,712 $14,745 $14,804 $15,660
09/30/94 $14,234 $14,134 $15,827 $16,236
09/30/95 $16,377 $16,163 $20,839 $21,063
09/30/96 $18,835 $16,892 $25,437 $25,343
<FN>
1 FOR THE PERIOD ENDED 9/30/96. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED
BEGINNING 8/7/90.
</FN>
</TABLE>
CORE FIXED INCOME PORTFOLIO
ADVISER--SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISERS--WESTERN ASSET MANAGEMENT COMPANY
FIRSTAR INVESTMENT RESEARCH &
MANAGEMENT COMPANY
BLACKROCK FINANCIAL MANAGEMENT, INC.
OBJECTIVE
The Core Fixed Income Portfolio seeks to provide current income by
investing in a diversified portfolio of fixed income securities while also
limiting fluctuations in principal value. The Portfolio invests in every sector
of the fixed income market universe, including Treasuries, agencies,
mortgage-backed issues, investment-grade corporates, and Yankee bonds.
STRATEGY
The sub-advisers' investment strategies focus on sector rotation, both
among and within sectors, and issue selection. Risk is principally controlled by
explicitly limiting fund interest rate exposure relative to the Lehman Aggregate
Bond Index. The sub-advisers focus on four key areas in determining portfolio
structure: duration weighting, term structure, sector allocation, and issue
selection. While the duration and term structure decision underlie the
implementation process, the advisers primarily concentrate on sector and issue
selection to add value. In addition, the sub-advisers may use futures and
options primarily for tactical hedging purposes and to implement portfolio
strategies more efficiently.
ANALYSIS
The Portfolio returned 4.51% throughout the fiscal year, slightly
underperforming the Lehman Aggregate Bond Index return of 4.88% over the same
period. Following a rally during the fourth quarter of 1995 which saw yields
fall 50-70 basis points along the coupon curve,
10
<PAGE>
tame inflation data led the Federal Reserve to lower rates in late January.
However, yields ended the first quarter sharply higher as the unexpected surge
in February employment shocked the broad bond market, resulting in the largest
one day price drop in nearly a decade. The short-term Fed Funds and discount
rates remained unchanged throughout the second quarter, as heightened economic
activity had not yet translated into increased inflationary pressures. However,
yields rose across the curve as investors speculated that inflation and a
restrictive Fed policy were on the horizon. The third quarter of 1996 began with
expectations of a July rate increase, but ended with a strong late-September
rally, suggesting no Fed tightening may be needed at all. By quarter-end, yield
levels were relatively unchanged from second quarter levels. Overall, yield
levels for longer maturity issues ended the entire fiscal year 40-50 basis
points higher, resulting in a steepening of the yield curve. The Portfolio's
longer relative duration posture therefore detracted from performance, as did
its barbell yield curve posture.
Overweights to the higher-yielding corporate and mortgage-backed sectors
benefited performance as both of these sectors strongly outperformed Treasuries
on a duration-adjusted basis. Mortgages, despite lagging during the market rally
in 1995, performed well as higher rates eased prepayment concerns and
yield-seeking investors sought alternatives to the corporate market, where
spreads remained tight. Corporate securities benefited from strong investor
demand and a robust economy, which resulted in strong corporate profits and cash
flows. The Portfolio also benefited from its exposure to BBB credits, which
outperformed the higher credit quality tiers.
As of February 1, 1996, two additional sub-advisers were added to the SEI
Core Fixed Income Portfolio. BlackRock Financial Management, Inc. was hired for
a mortgage-backed specialty mandate, while Firstar Investment Research &
Management Company was employed to manage a government/corporate account.
Western Asset Management Company continues to manage a broadly diversified
portfolio under the active sector rotation style. This "style-structured"
approach is expected to reduce the interest rate and return volatility of the
Portfolio.
=======================================
CORE FIXED INCOME
=======================================
AVERAGE ANNUAL TOTAL RETURN1
- ---------------------------------------
One Year Annualized Annualized
Return 5 Year Inception to Date
- ---------------------------------------
4.51% 6.85% 7.81%
- ---------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE CORE FIXED
INCOME PORTFOLIO, VERSUS THE LEHMAN AGGREGATE BOND INDEX
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Core Fixed Income Portfolio from May 31, 1987 through September
30, 1996 as compared with the growth of a $10,000 investment in the Lehman
Aggregate Bond Index. The plot points used to draw the line graph were as
follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in Core Fixed Income Invested in Lehman
Portfolio Aggregate Bond Index
<S> <C> <C>
05/31/87 $10,000 $10,000
09/30/87 $10,062 $ 9,863
09/30/88 $10,999 $11,174
09/30/89 $12,032 $12,433
09/30/90 $12,824 $13,371
09/30/91 $14,531 $15,509
09/30/92 $16,257 $17,457
09/30/93 $17,653 $19,199
09/30/94 $16,709 $18,581
09/30/95 $19,361 $21,196
09/30/96 $20,234 $22,230
<FN>
1 FOR THE PERIOD ENDED 9/30/96. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. PORTFOLIO SHARES WERE OFFERED BEGINNING
5/4/87.
</FN>
</TABLE>
11
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
BOND PORTFOLIO
ADVISER--SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER--BOATMEN'S TRUST COMPANY
OBJECTIVE
The Portfolio seeks to provide a high level of current income consistent
with preservation of capital by investing in a diversified portfolio of fixed
income securities. The Portfolio invests in issues of the U.S. Government and
its agencies and investment grade corporate debt. There are no restrictions on
the Portfolio's maturity, but the average maturity is expected to be greater
than ten years.
STRATEGY
The Portfolio seeks to achieve a high level of total return through active
management based on the sub-adviser's expectations about the economy, interest
rates and inflation. The sub-adviser monitors longer term economic trends,
particularly with respect to monetary policy. The maturity and sector holdings
of the Portfolio will be lengthened and Treasury securities will be favored for
their call protection and high quality.
ANALYSIS
The Bond Portfolio realized a total return of 4.01% for the year ended
September 30, 1996, underperforming the Lehman Brothers Aggregate Bond Index
which returned 4.90%.
Long-term interest rates rose 40 to 50 basis points over the fiscal year,
while short-term interest rates fell in response to two rate reductions by the
Federal Reserve. The yield on the thirty-year U.S. Treasury bond fell to 5.97%
on December 31, 1995, but signs of economic growth released throughout 1996
drove yields higher. Most alarming to the fixed income markets were the large
increases in non-farm payrolls and decreases in the unemployment rate. These
economic indicators, which often signal future inflation, exceeded market
expectations through 1996 year-to-date.
The Portfolio's underperformance of the benchmark index was driven by its
duration and yield curve strategies. While the sub-adviser shortened duration
during the summer of 1996, the Portfolio's longer relative duration over most of
the year generated larger price declines than the benchmark. The proceeds from
the sales of long-term Treasury bonds in July were reinvested in
intermediate-term Treasuries to effect the shorter duration, and on September
30, 1996, the Portfolio's duration was 4.8 years. This placed the Portfolio's
duration approximately equal with the duration of the Lehman Brothers Aggregate
Bond Index, which was 4.7 years.
Entering the fourth quarter, the sub-adviser intends to remain in a
cautious duration position as signs of economic growth are expected to generate
a further rise in interest rates and possible increases in short-term interest
rates by the Federal Reserve. Most worrisome are the strong growth in wages and
employment year-to-date, as well as the high levels of consumer confidence. With
the European and Japanese economies beginning to recover, the sub-adviser
believes strong global growth could create higher levels of inflation and
interest rates. Inflation is expected to rise towards a 3.5% annual rate in the
coming quarters.
12
<PAGE>
=======================================
BOND
=======================================
AVERAGE ANNUAL TOTAL RETURN1
- ---------------------------------------
Annualized
One Year 5 Year Annualized
Return Return Inception to Date
- ---------------------------------------
4.01% 8.16% 9.28%
- ---------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE BOND
PORTFOLIO, VERSUS THE LEHMAN AGGREGATE BOND INDEX
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust Bond Portfolio from May 31, 1987 through September 30, 1996 as
compared with the growth of a $10,000 investment in the Lehman Aggregate Bond
Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in Bond Invested in Lehman
Portfolio Aggregate Bond Index
<S> <C> <C>
05/31/87 $10,000 $10,000
09/30/87 $ 9,333 $ 9,863
09/30/88 $10,936 $11,174
09/30/89 $12,751 $12,433
09/30/90 $12,877 $13,371
09/30/91 $15,525 $15,509
09/30/92 $17,618 $17,457
09/30/93 $20,676 $19,199
09/30/94 $18,795 $18,581
09/30/95 $22,089 $21,196
09/30/96 $22,975 $22,230
<FN>
1 FOR THE PERIOD ENDED 9/30/96. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. PORTFOLIO SHARES WERE OFFERED BEGINNING
5/4/87.
</FN>
</TABLE>
HIGH YIELD BOND PORTFOLIO
ADVISER--SEI FINANCIAL MANAGEMENT CORPORATION
SUB-ADVISER--BEA ASSOCIATES
OBJECTIVE
The High Yield Bond Portfolio seeks to maximize total return by investing
primarily in a diversified portfolio of higher yielding, lower rated fixed
income securities. The strategy seeks to achieve a high level of total return
through sector rotation and security selection.
STRATEGY
Portfolio strategy is to identify high yield market sectors through the
analyze of macro-economic, interest rate, industry, and technical factors. Those
companies that are best suited to benefit from the identified trends are then
selected for investment. Risk is controlled through a high level of
diversification, and by performing detailed credit analysis on the companies
considered and purchased.
ANALYSIS
The Portfolio continued to post solid performance for the 12 months ended
September 30, 1996 returning 15.46% compared to its benchmark, the CS First
Boston High Yield Index, return of 10.77%. At the onset of the year, defensive
issues rallied as signs of a weakening economy surfaced. However, this was short
lived as the economy began to exhibit signs of growth and thus, cyclical issues
gained strength. For the period, the high yield market outpaced the 10-Year
Treasury return, but was not able to match equity returns. Increased demand, as
evidenced by strong cash flows into the high yield market, supported prices amid
record new issuance. In addition, continued merger and acquisition activity,
healthy equity prices, above-average returns, and lower default rates resulted
in an overall decline in risk and risk premiums as well as stepped-up demand.
The Portfolio's thematic sector approach, coupled with its diligent
security selection, positively impacted total return. In addition, the
Portfolio's high degree of diversification preserved return through more
volatile market periods and as certain industries experienced downturns.
Superior sector and security selection were the greatest contributors to
performance as a consistent overweight to the communications, cable, and gaming
sectors bolstered return.
Merger and acquisition activity proliferated after favorable legislation
within the communications industry that allowed for the breakdown in competitive
barriers was passed by Congress. This merger and acquisition activity continued
to support prices and thus, the Portfolio was able to take advantage of these
higher prices. Heavy new issuance within the communications industry temporarily
dampened returns, but this
13
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
had little-to-no impact on the Portfolio's return.
An overweight to the gaming sector strongly contributed to overall
Portfolio performance, and in particular, investment in Atlantic City casino
bonds fueled return. Healthy company fundamentals, an accommodating regulatory
environment, and increased capacity buoyed returns of Atlantic City bonds. Trump
bonds held by the Portfolio led performance for the period. Also supporting
return was the casino industry's immunity from a weaker economy.
The cable industry continued to benefit from merger and acquisition
activity in the domestic market, and steady growth in the U.K. cable market. In
addition, favorable communications legislation also contributed to positive
performance of this sector. For the most part, the Portfolio maintained an
overweight to this sector, but as issuance increased and secondary issue prices
came under pressure, the Portfolio reduced its overweight.
The Portfolio's security selection in the consumer manufacturing, and
energy sectors also supported return. Such holdings as Revlon, Kelly Oil and
Mesa Oil positively contributed to performance for the year.
===============================
HIGH YIELD BOND
===============================
AVERAGE ANNUAL TOTAL RETURN1
- -------------------------------
One Year Annualized
Return Inception to Date
- -------------------------------
15.46% 16.40%
- -------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE HIGH
YIELD BOND PORTFOLIO, VERSUS THE CS FIRST BOSTON HIGH YIELD INDEX
[GRAPHIC OMITTED]
A line graph depicting the total growth (including reinvestment of dividends and
capital gains) of a hypothetical investment of $10,000 in the SEI Institutional
Managed Trust High Yield Bond Portfolio from January 31, 1995 through September
30, 1996 as compared with the growth of a $10,000 investment in the CS First
Boston High Yield Index. The plot points used to draw the line graph were as
follows:
<TABLE>
<CAPTION>
Period Ended Growth of $10,000 Growth of $10,000
Invested in High Yield Bond Invested in CS First Boston
Portfolio High Yield Index
<S> <C> <C>
01/31/95 $10,000 $10,000
09/30/95 $11,254 $11,292
09/30/96 $12,994 $12,508
<FN>
1 FOR THE PERIOD ENDED 9/30/96. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. PORTFOLIO SHARES WERE OFFERED BEGINNING
1/11/95.
</FN>
</TABLE>
Throughout the year ended September 30, 1996, the High Yield Bond Portfolio
invested in securities that are rated below Investment Grade. The following is
the average bond rating for the period as rated by Standard & Poor's
Corporation:
AAA 0.68%
BBB 0.66%
BB 11.61%
B 56.63%
CCC 4.68%
Unrated 25.74%
-------
100.00%
=======
14
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
===============================================================================
To the Shareholders and Board of Trustees of
SEI Institutional Managed Trust
In our opinion, the accompanying statements of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Large Cap Value, Large Cap Growth, Small Cap Value, Small Cap Growth, Mid
Cap, Capital Appreciation, Equity Income, Balanced, Core Fixed Income, Bond and
High Yield Bond Portfolios (constituting SEI Institutional Managed Trust,
hereafter referred to as the "Fund") at September 30, 1996, and the results of
each of their operations for the year then ended, the changes in each of their
net assets for each of the two years in the period then ended,and the
financial highlights for each of the periods indicated, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at September 30, 1996 by
correspondence with the custodian and brokers and the application of
alternative procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania
November 20, 1996
15
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
LARGE CAP VALUE PORTFOLIO
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
COMMON STOCKS -- 96.5%
AEROSPACE & DEFENSE -- 2.7%
BF Goodrich 102,100 $ 4,607
Martin Marietta 28,700 613
Raytheon 71,900 3,999
Rockwell International 56,800 3,202
Thiokol 31,300 1,467
-------
13,888
-------
AIR TRANSPORTATION -- 0.7%
AMR* 14,500 1,155
Delta Air Lines 19,300 1,390
UAL* 26,300 1,236
-------
3,781
-------
AIRCRAFT -- 1.7%
Lockheed Martin 22,400 2,019
McDonnell Douglas 70,900 3,722
Textron 17,700 1,505
United Technologies 13,500 1,622
-------
8,868
-------
APPAREL/TEXTILES -- 0.4%
Springs Industries, Cl A 30,700 1,366
VF 13,500 812
-------
2,178
-------
AUTOMOTIVE -- 2.7%
Chrysler 225,800 6,464
General Motors 100,500 4,824
General Motors, Cl H 24,400 1,409
Genuine Parts 22,600 989
-------
13,686
-------
BANKS -- 15.3%
Amsouth Bancorp 71,900 3,200
Astoria Financial 35,900 1,041
Banc One 96,350 3,950
Bank of Boston 43,000 2,489
BankAmerica 131,380 10,790
Bankers Trust New York 21,300 1,675
Chase Manhattan 63,892 5,119
Citicorp 35,600 3,226
First Chicago 142,800 6,462
First Union 58,600 3,912
First Virginia 41,900 1,823
Fleet Financial Group 101,500 4,517
Golden West Financial 24,400 1,424
H.F. Ahmanson 61,800 1,730
JP Morgan 53,900 4,790
National City 38,800 1,634
NationsBank 41,900 3,640
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Republic New York 59,300 $ 4,099
Southtrust 140,200 4,276
Star Banc 20,000 1,703
SunTrust 41,400 1,697
Union Planters 62,200 2,208
US Bancorp 44,700 1,766
Wachovia 33,400 1,653
-------
78,824
-------
BEAUTY PRODUCTS -- 0.2%
International Flavors & Fragrances 25,500 1,112
-------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.2%
HBO 12,700 848
-------
BUILDING & CONSTRUCTION -- 0.2%
Centex 31,700 1,034
-------
CHEMICALS -- 4.3%
Betz Laboratories 24,900 1,307
Dow Chemical 83,100 6,669
Lubrizol 17,800 512
Morton International 40,300 1,602
PPG Industries 38,600 2,099
Praxair 37,600 1,617
Rhone-Poulenc Rorer 22,300 1,642
Rohm & Haas 17,900 1,172
Union Carbide 90,400 4,125
Witco 39,300 1,292
-------
22,037
-------
COMMUNICATIONS EQUIPMENT -- 0.6%
Harris 25,600 1,667
Sprint 37,300 1,450
-------
3,117
-------
COMPUTERS & SERVICES -- 1.6%
Compaq Computer* 42,800 2,745
IBM 27,600 3,436
Microsoft* 15,700 2,070
-------
8,251
-------
CONTAINERS & PACKAGING -- 0.3%
Ball 14,100 345
Owens-Illinois* 56,100 982
-------
1,327
-------
DRUGS -- 3.1%
Bristol-Myers Squibb 94,500 9,107
Johnson & Johnson 15,200 779
<PAGE>
16
<PAGE>
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Pharmacia & Upjohn 45,900 $ 1,893
Schering Plough 46,700 2,872
Smithkline Beecham, PLC ADR 22,000 1,339
-------
15,990
-------
ELECTRICAL SERVICES -- 7.1%
Baltimore Gas & Electric 119,300 3,117
Central & South West 53,600 1,394
Cinergy 22,500 695
Consolidated Edison of New York 56,500 1,568
DQE 68,600 1,912
DTE Energy 80,400 2,251
Duke Power 25,400 1,184
Edison International 145,600 2,603
Entergy 88,300 2,384
Florida Progress 34,200 1,163
GPU 87,300 2,684
Illinova 35,200 933
Ohio Edison 19,100 370
Pinnacle West Capital 144,100 4,269
Portland General 37,000 1,420
TECO Energy 55,800 1,325
Texas Utilities 92,800 3,677
Unicom 78,600 1,975
Wisconsin Energy 69,300 1,871
-------
36,795
-------
ENTERTAINMENT -- 0.8%
Bally Entertainment* 85,600 2,429
Bally Total Fitness* 11,350 51
King World Productions* 37,200 1,372
-------
3,852
-------
ELECTRICAL TECHNOLOGY -- 0.2%
Thomas & Betts 33,500 1,374
-------
ENVIRONMENTAL SERVICES -- 0.1%
Browning-Ferris Industries 17,000 425
-------
FINANCIAL SERVICES -- 3.3%
Alex Brown 16,800 972
American Express 30,200 1,397
Bear Stearns 105,555 2,454
Beneficial 15,890 914
FNMA 48,764 1,701
Green Tree Financial 52,800 2,072
Lehman Brothers Holding 50,800 1,295
Merrill Lynch 19,400 1,273
Salomon 17,900 817
Transamerica 19,100 1,335
Travelers 55,850 2,744
-------
16,974
-------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 2.9%
Adolph Coors, Cl B 42,500 $ 932
American Brands 34,000 1,437
Anheuser Busch 64,800 2,438
Coca-Cola 32,000 1,448
General Mills 42,000 2,536
HJ Heinz 28,450 960
IBP 93,300 2,169
Philip Morris 20,500 1,840
Sara Lee 35,100 1,255
-------
15,015
-------
GAS/NATURAL GAS -- 2.9%
Coastal 30,700 1,266
Consolidated Natural Gas 57,900 3,105
National Fuel & Gas 44,800 1,646
Nicor 20,500 692
Noram Energy 155,400 2,312
Oneok 43,200 1,188
Panenergy 46,000 1,599
Tenneco 22,900 1,148
Williams 43,000 2,193
-------
15,149
-------
HOUSEHOLD FURNITURE & FIXTURES -- 0.2%
Leggett & Platt 25,900 761
-------
HOUSEHOLD PRODUCTS -- 0.6%
Clorox 17,500 1,678
Maytag 76,000 1,482
-------
3,160
-------
INSURANCE -- 6.3%
Allstate 93,300 4,595
American General 74,600 2,816
Cigna 28,100 3,368
Exel 83,200 2,891
Jefferson-Pilot 20,850 1,079
Lincoln National 19,100 838
Loew's 18,400 1,424
Marsh & McLennan 24,200 2,350
Old Republic International 130,800 3,237
Progressive of Ohio 17,700 1,013
Providian 56,100 2,412
Safeco 69,500 2,433
St. Paul 43,339 2,405
US Life 49,800 1,494
-------
32,355
-------
MACHINERY -- 3.7%
Black & Decker 61,100 2,536
Caterpillar 66,300 4,997
Comdisco 57,750 1,668
17
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
LARGE CAP VALUE PORTFOLIO
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Cummins Engine 32,700 $ 1,288
Global Industries Technologies* 54,100 994
Harnischfeger Industries 79,000 2,982
NACCO Industries, Cl A 7,400 353
Parker-Hannifin 16,450 691
Pitney Bowes 58,500 3,079
Timken 10,000 392
-------
18,980
-------
MEASURING DEVICES -- 0.7%
Perkin Elmer 33,600 1,945
Wheelabrator Technologies 91,200 1,391
-------
3,336
-------
MEDICAL PRODUCTS & SERVICES -- 1.3%
Baxter International 18,200 851
Becton, Dickinson 101,600 4,496
Universal Health Services, Cl B* 53,100 1,447
-------
6,794
-------
METALS & MINING -- 0.3%
Vulcan Materials 25,000 1,500
-------
MISCELLANEOUS BUSINESS SERVICES-- 0.4%
Cabletron Systems* 15,300 1,046
Oracle Systems* 27,700 1,179
-------
2,225
-------
MISCELLANEOUS MANUFACTURING -- 0.8%
General Electric 20,400 1,856
Minnesota Mining &
Manufacturing 35,300 2,467
-------
4,323
-------
OFFICE FURNITURE & FIXTURES -- 0.1%
Lear* 18,300 604
-------
PAPER & PAPER PRODUCTS -- 3.3%
Boise Cascade 23,800 809
Champion International 22,200 1,018
Georgia-Pacific 52,400 4,146
International Paper 112,600 4,785
Mead 16,900 991
Willamette Industries 8,600 563
Weyerhaeuser 86,900 4,008
-------
16,320
-------
PETROLEUM REFINING -- 9.9%
Amoco 75,800 5,344
Atlantic Richfield 33,200 4,233
British Petroleum, PLC, ADR 10,100 1,262
Chevron 30,900 1,935
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Dresser Industries 39,300 $ 1,169
Exxon 144,600 12,038
Kerr-McGee 28,500 1,735
Mobil 61,100 7,072
Phillips Petroleum 87,900 3,758
Texaco 94,100 8,657
USX-Marathon Group 146,700 3,172
Valero Energy 34,100 746
-------
51,121
-------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.9%
Eastman Kodak 29,500 2,316
Xerox 44,300 2,376
-------
4,692
-------
PRINTING & PUBLISHING -- 1.4%
American Greetings, Cl A 33,600 962
McGraw-Hill 36,500 1,556
New York Times, Cl A 98,300 3,318
Washington Post, Cl B 3,200 1,120
-------
6,956
-------
RAILROADS -- 1.3%
CSX 82,600 4,171
Norfolk Southern 15,500 1,416
Union Pacific 9,700 711
-------
6,298
-------
REPAIR SERVICES -- 0.3%
PHH 55,600 1,654
-------
RETAIL -- 3.2%
Albertson's 20,700 872
Gap 64,700 1,868
Great Atlantic & Pacific Tea 34,500 893
JC Penney 81,300 4,400
May Department Stores 27,600 1,342
Mercantile Stores 19,000 1,026
Ruddick 38,400 528
Smith's Food & Drug Center, Cl B 27,591 731
TJX 105,700 3,792
Waban* 57,000 1,304
-------
16,756
-------
RUBBER & PLASTIC -- 0.9%
Goodyear Tire & Rubber 13,900 641
Illinois Tool Works 23,400 1,688
Premark International 57,100 1,078
Tupperware 24,600 1,205
-------
4,612
-------
18
<PAGE>
- -------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
SPECIALTY MACHINERY -- 0.7%
Cooper Industries 61,600 $ 2,664
Tecumseh Products, Cl A 20,200 1,096
-------
3,760
-------
SPECIALTY SERVICES -- 0.2%
National Service Industries 40,600 1,421
-------
STEEL & STEEL WORKS -- 1.0%
Asarco 62,200 1,656
Phelps Dodge 12,600 808
Texas Industries 23,800 1,425
USX-U.S. Steel Group 37,000 1,054
-------
4,943
-------
TELEPHONES & TELECOMMUNICATION -- 7.6%
360(degree)Communications* 9,533 224
Alltel 29,800 831
Ameritech 80,500 4,236
AT&T 75,800 3,961
Bell Atlantic 63,900 3,826
BellSouth 173,600 6,423
Cincinnati Bell 30,900 1,638
GTE 53,200 2,048
MCI Communications 90,700 2,324
NYNEX 98,600 4,289
SBC Telecommunications 66,900 3,220
Southern New England Telecom 86,300 3,182
US West 38,900 1,157
WorldCom* 72,900 1,558
-------
38,917
-------
WHOLESALE -- 0.1%
First Brands 26,700 698
-------
Total Common Stocks
(Cost $448,335) 496,711
-------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill
4.360%, 01/09/97(A) $1,200 1,183
-------
Total U.S. Treasury Obligation
(Cost $1,183) 1,183
-------
REPURCHASE AGREEMENT -- 3.4%
J.P. Morgan
5.770%, dated 09/30/96, matures
10/01/96, repurchase price
$17,651,000 (collateralized by
various GNMA obligations total
par value $18,711,000, 7.000%,
09/15/25 - 05/15/26, market
value: $18,019,000) 17,648 17,648
-------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Total Repurchase Agreement
(Cost $17,648) $ 17,648
---------
Total Investments -- 100.1%
(Cost $467,166) 515,542
---------
Other Assets and Liabilities, Net-- (0.1%) (531)
---------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 34,839,510 outstanding shares
of beneficial interest 428,958
Undistributed net investment income 2,752
Accumulated net realized gain on investments 34,933
Net unrealized depreciation on futures contracts (8)
Net unrealized appreciation on investments 48,376
---------
Total Net Assets-- 100.0% $515,011
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $14.78
=========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL--CLASS
ADR--AMERICAN DEPOSITORY RECEIPT
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
PLC--PUBLIC LIMITED COMPANIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
LARGE CAP GROWTH PORTFOLIO
COMMON STOCKS -- 96.4%
AIR TRANSPORTATION -- 0.5%
AMR* 16,200 $ 1,290
Northwest Airlines, Cl A* 33,000 1,167
--------
2,457
--------
AIRCRAFT -- 2.6%
Allied Signal 114,100 7,516
Boeing 38,100 3,600
Lockheed Martin 17,950 1,618
--------
12,734
--------
APPAREL/TEXTILES -- 0.2%
Tommy Hilfiger* 8,300 492
U.S. Industries* 18,000 473
--------
965
--------
19
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
LARGE CAP GROWTH PORTFOLIO
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
BANKS -- 2.8%
Chase Manhattan 44,000 $ 3,526
Citicorp 10,800 979
First Union 41,500 2,770
NationsBank 33,900 2,945
Norwest 61,400 2,510
Washington Mutual 20,500 764
--------
13,494
--------
BEAUTY PRODUCTS -- 1.7%
Colgate-Palmolive 74,700 6,490
Procter & Gamble 15,950 1,555
--------
8,045
--------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 1.6%
British Sky Broadcasting, ADR 16,000 880
Cox Communications* 165,900 3,048
Tele-Communications, Cl A* 241,000 3,600
--------
7,528
--------
BUILDING & CONSTRUCTION -- 0.3%
Fluor 26,900 1,654
--------
CHEMICALS -- 1.9%
IMC Fertilizer Group 16,700 653
Monsanto 231,900 8,464
--------
9,117
--------
COMMUNICATIONS EQUIPMENT -- 1.7%
ADC Telecommunications* 8,300 531
Andrew* 19,100 953
DSC Communications* 51,700 1,292
Molex, Cl A 10,000 337
Nokia, Cl A ADR 60,600 2,682
Vishay Intertechnology* 107,925 2,496
--------
8,291
--------
COMPUTERS & SERVICES -- 7.5%
Ceridian* 12,400 620
Cisco Systems* 184,500 11,451
Compaq Computer* 238,150 15,271
Dell Computer* 66,400 5,163
Seagate Technology* 34,800 1,944
Silicon Graphics* 72,400 1,602
--------
36,051
--------
CONTAINERS & PACKAGING -- 0.6%
Crown Cork & Seal 60,850 2,807
--------
DRUGS -- 9.8%
Amgen* 180,950 11,422
Centocor * 38,500 1,367
Elan, ADR 14 430
Eli Lilly 13,300 858
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Merck 259,500 $ 18,262
Pfizer 149,400 11,821
Schering Plough 47,900 2,946
--------
47,106
--------
ENTERTAINMENT -- 2.2%
Liberty Media Group, Cl A* 155,200 4,443
Mirage Resorts* 40,300 1,033
Walt Disney 78,800 4,994
--------
10,470
--------
ENVIRONMENTAL SERVICES -- 0.7%
Republic Industries* 21,600 626
USA Waste Services* 90,000 2,835
--------
3,461
--------
FINANCIAL SERVICES -- 3.9%
Dean Witter Discover 48,400 2,662
FHLMC 7,300 714
First USA 9,100 504
FNMA 210,700 7,348
MBNA 108,800 3,781
Merrill Lynch 55,600 3,649
--------
18,658
--------
FOOD, BEVERAGE & TOBACCO -- 1.4%
Campbell Soup 22,900 1,786
Coca-Cola 54,500 2,773
Nabisco Holdings, Cl A 71,000 2,245
--------
6,804
--------
GAS/NATURAL GAS -- 0.1%
Enron 8,400 342
--------
HOTELS & LODGING -- 1.4%
Circus Circus Enterprises* 13,300 470
HFS* 23,100 1,545
ITT* 38,000 1,658
LA Quinta Inns 161,850 3,156
--------
6,829
--------
HOUSEHOLD PRODUCTS -- 4.3%
General Electric 148,450 13,509
Illinois Tool Works 43,750 3,155
Sherwin-Williams 29,000 1,345
Solectron* 52,000 2,548
--------
20,557
--------
INSURANCE -- 8.3%
American International Group 49,000 4,937
Everest Reinsurance Holdings 60,200 1,490
General Re 32,200 4,564
MGIC Investment 6,900 465
NAC Re 82,700 2,977
20
<PAGE>
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Oxford Health Plans* 20,700 $ 1,030
PMI Group 62,300 3,310
TIG Holdings 81,700 2,451
Travelers 151,800 7,457
Travelers/Aetna Property Casualty 46,700 1,284
United Healthcare 111,650 4,647
UNUM 85,400 5,476
--------
40,088
--------
LUMBER & WOOD PRODUCTS -- 0.6%
Clayton Homes 71,800 1,580
Louisiana-Pacific 60,000 1,365
--------
2,945
--------
MACHINERY -- 2.2%
Applied Materials* 122,700 3,390
Black & Decker 54,000 2,241
Cincinnati Milacron 57,100 1,078
Emerson Electric 34,300 3,091
Tyco Labs 19,100 824
--------
10,624
--------
MEASURING DEVICES -- 0.1%
Thermo Electron* 12,400 502
--------
MEDICAL PRODUCTS & SERVICES -- 2.3%
Boston Scientific* 49,900 2,869
Columbia/HCA Healthcare 54,800 3,117
Healthsouth Rehabilitation* 26,100 1,002
Medtronic 64,200 4,117
--------
11,105
--------
MISCELLANEOUS BUSINESS SERVICES-- 9.7%
3Com* 121,900 7,322
Altera* 59,000 2,987
Automatic Data Processing 10,000 436
Computer Associates International 98,800 5,903
Computer Sciences* 9,100 700
CUC International* 16,600 662
Electronic Data Systems 72,700 4,462
First Data 68,400 5,583
Informix* 88,000 2,453
Microsoft* 37,400 4,932
Oracle Systems* 266,675 11,350
Shared Medical Systems 4,100 234
--------
47,024
--------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
MISCELLANEOUS CONSUMER SERVICES-- 0.1%
Accustaff* 7,500 $ 194
Service International 16,600 502
--------
696
--------
PAPER & PAPER PRODUCTS -- 1.2%
Kimberly-Clark 65,200 5,746
--------
PETROLEUM & FUEL PRODUCTS -- 0.3%
Apache 45,800 1,363
BJ Services* 3,000 109
--------
1,472
--------
PETROLEUM REFINING -- 1.2%
Amoco 20,000 1,410
Mobil 34,600 4,005
Tosco 8,900 488
--------
5,903
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.5%
Xerox 50,000 2,681
--------
PROFESSIONAL SERVICES -- 0.1%
Paychex 8,700 505
--------
RAILROADS -- 0.6%
Union Pacific 38,000 2,783
--------
RETAIL -- 8.1%
Autozone* 69,800 2,024
Federated Department Stores* 141,100 4,727
Home Depot 164,850 9,376
Kmart* 93,600 959
Kohls* 11,800 425
Kroger* 69,800 3,124
Lowe's 96,000 3,924
McDonal's 39,000 1,848
PepsiCo 228,300 6,449
Price/Costco* 19,700 404
Revco Drug Stores * 23,500 690
Rite Aid 36,000 1,305
Sears Roebuck 57,700 2,582
Staples* 34,800 772
Walgreen 16,700 618
--------
39,227
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 5.1%
Analog Devices* 15,800 429
Atmel* 90,000 2,779
Intel 199,600 19,049
SGS-Thomson
Microelectronics* 48,100 2,279
--------
24,536
--------
SPECIALTY CONSTRUCTION -- 0.3%
L.M. Ericsson Telephone, ADR 52,000 1,319
--------
21
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
LARGE CAP GROWTH PORTFOLIO
- -------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
STEEL & STEEL WORKS -- 0.9%
Aluminum Company of America 51,400 $ 3,033
Nucor 21,750 1,104
--------
4,137
--------
TELEPHONES & TELECOMMUNICATION -- 3.1%
Airtouch Communications* 287,650 7,946
AT&T 106,000 5,538
Frontier 21,600 575
WorldCom* 34,800 744
--------
14,803
--------
WHOLESALE -- 6.5%
Alco Standard 69,100 3,446
Cardinal Health 13,900 1,148
General Motors 43,600 2,093
Gillette 126,300 9,109
Johnson & Johnson 82,900 4,249
Philip Morris 117,000 10,501
Safeway* 18,900 806
--------
31,352
--------
Total Common Stocks
(Cost $403,319) 464,818
--------
U.S. TREASURY OBLIGATIONS -- 0.2%
U.S. Treasury Bill
4.360%, 01/09/97(A) $ 800 789
--------
Total U.S. Treasury Obligations
(Cost $788) 789
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.7%
FHLB
5.170%, 10/04/96 350 350
FHLMC
5.180%, 10/15/96 1,110 1,108
5.260%, 10/17/96 160 159
5.210%, 10/18/96 110 110
5.300%, 10/18/96 1,670 1,666
FNMA
5.250%, 10/11/96 90 90
--------
Total U.S. Government Agency Obligations
(Cost $3,483) 3,483
--------
COMMERCIAL PAPER -- 0.4%
Ford Motor Credit
5.360%, 10/03/96 1,705 1,704
--------
Total Commercial Paper
(Cost $1,704) 1,704
--------
- -------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.1%
Lehman Brothers 5.570%, dated 09/30/96, matures
10/01/96, repurchase price $10,084,000
(collateralized by U.S. Treasury Note,
par value $9,475,000,
8.000%, 05/15/01:
total market value: $10,349,000) $10,082 $ 10,082
--------
Total Repurchase Agreement
(Cost $10,082) 10,082
--------
Total Investments -- 99.8%
(Cost $419,376) 480,876
--------
Other Assets and Liabilities, Net-- 0.2% 1,203
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 32,070,253 outstanding shares
of beneficial interest 390,650
Undistributed net investment income 490
Accumulated net realized gain on investments 29,424
Net unrealized appreciation on futures contracts 15
Net unrealized appreciation on investments 61,500
--------
Total Net Assets-- 100.0% $482,079
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $15.03
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR --AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLB--FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALL CAP VALUE PORTFOLIO
COMMON STOCKS -- 95.3%
AEROSPACE & DEFENSE -- 1.5%
Cole National* 17,000 $ 393
Thiokol 28,100 1,317
Tracor* 35,500 732
-------
2,442
-------
22
<PAGE>
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
AGRICULTURE -- 1.9%
Donnkenny* 63,700 $ 1,091
Springs Industries, Cl A 18,700 832
Sylvan* 105,000 1,129
--------
3,052
--------
AIR TRANSPORTATION -- 1.1%
Airnet Systems * 54,500 777
American West Airlines* 29,500 347
Midwest Express Holdings* 24,500 732
--------
1,856
--------
AIRCRAFT -- 0.4%
Coltec Industries* 41,300 661
--------
APPAREL/TEXTILES -- 1.2%
Burlington Industries* 78,200 772
First Years 51,400 720
Worldtex* 66,800 501
--------
1,993
--------
AUTOMOTIVE -- 0.3%
Winnebago Industries 68,900 551
--------
BANKS -- 9.2%
Affiliated Community Bancorp 32,800 668
Astoria Financial 21,500 624
Bank Plus* 55,400 589
Bank United, Cl A* 50,300 1,251
BankAtlantic Bancorp, Cl A 11,403 150
BankAtlantic Bancorp, Cl B 45,612 616
Boston Federal Savings 47,400 628
Cenfed Financial 22,400 554
Coast Savings Financial* 15,600 499
Commonwealth Bancorp 54,400 632
Dime Bancorp* 54,200 725
Downey Financial 39,405 995
DS Bancor* 33,901 1,254
Flushing Financial* 31,300 571
Long Island Bancorp 82,000 2,368
Mercantile Bankshares 16,800 498
ML Bancorp 69,800 982
Queens County Bancorp 14,133 526
Reliance Bancorp 18,000 338
Southern National 16,607 552
--------
15,020
--------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.2%
McClatchy Newspapers 11,100 311
--------
BUILDING & CONSTRUCTION -- 0.3%
Willbros Group Inc* 46,500 511
--------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
BUILDING & CONSTRUCTION SUPPLIES-- 1.3%
American Buildings* 18,000 $ 477
Granite Construction 49,600 1,029
Griffon* 70,700 698
-------
2,204
-------
CHEMICALS -- 2.1%
Arcadian 67,800 1,687
General Chemical Group 67,200 1,336
Mississippi Chemical 14,900 348
-------
3,371
-------
COAL MINING -- 0.7%
Zeigler Coal Holding 65,300 1,126
-------
COMMUNICATIONS EQUIPMENT -- 0.8%
All American Communications, Inc* 58,600 498
Harmon Industries 8,400 141
Plantronics* 11,900 448
TB Woods 33,100 281
-------
1,368
-------
COMPUTERS & SERVICES -- 2.7%
Channell Commercial* 47,700 596
Lexmark International Group* 63,600 1,296
Tandem Computers* 90,800 976
Unisys* 125,400 768
Wang Laboratories* 37,000 722
-------
4,358
-------
CONCRETE & MINERAL PRODUCTS -- 0.7%
Dal-Tile International* 65,300 1,069
-------
CONSUMER PRODUCTS -- 1.8%
Public Service of New Mexico 55,800 1,088
US Can* 114,100 1,840
-------
2,928
-------
CONTAINERS & PACKAGING -- 0.2%
Greif Brothers 13,100 383
-------
ELECTRICAL TECHNOLOGY -- 1.6%
Belden 50,100 1,453
Charter Power Systems 43,000 1,107
-------
2,560
-------
ENTERTAINMENT -- 1.7%
Casino America * 77,300 522
Griffin Gaming & Entertainment* 27,890 586
Harveys Casinos Resorts 63,100 1,073
Station Casinos * 47,200 566
-------
2,747
-------
23
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
SMALL CAP VALUE PORTFOLIO
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
FINANCIAL SERVICES -- 2.6%
Beacon Properties 14,700 $ 426
Donaldson, Lufkin, & Jenrette 10,800 379
Equity Inns, REIT 80,400 1,005
Ihop Corp* 26,900 592
Morningstar Group* 69,000 794
Patriot American Hospitality, REIT 31,000 1,042
-------
4,238
-------
FOOD, BEVERAGE & TOBACCO -- 3.4%
Dimon 37,400 715
John B. Sanfilippo & Son* 50,000 313
Ralcorp Holdings* 53,600 1,112
Riser Foods, Cl A 26,300 684
Schweitzer-Manduit International 38,700 1,296
Smithfield Foods* 43,700 1,360
-------
5,480
-------
GAS/NATURAL GAS -- 0.3%
NUI 22,100 420
-------
GLASS PRODUCTS -- 2.0%
Cort Business Service* 41,500 846
Hirsch International* 60,900 1,127
Libbey 51,400 1,356
-------
3,329
-------
HOUSEHOLD FURNITURE & FIXTURES -- 1.1%
Chromcraft Revington* 11,000 276
Ethan Allen Interiors 41,200 1,282
O'Sullivan Industries Holdings* 23,500 209
-------
1,767
-------
HOUSEHOLD PRODUCTS -- 1.3%
American Safety Razor* 99,400 1,180
Holophane* 52,900 992
-------
2,172
-------
INSURANCE -- 16.2%
Allmerica Financial 69,100 2,246
Capital Re 40,000 1,520
Capmac Holdings 23,700 788
E.W. Blanch Holdings 64,000 1,232
Enhance Financial Services
Group 34,500 1,139
Everest Reinsurance Holdings 23,300 577
Executive Risk 38,200 1,471
FPIC Insurance Group* 67,400 893
Gryphon Holdings* 80,000 1,100
Highlands Insurance Group* 22,900 458
Home State Holdings* 46,500 349
Horace Mann Educators 27,300 897
Mercury General 9,500 447
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
MMI 36,500 $ 1,100
NAC Re 13,800 497
Partnerre Holdings 17,700 504
Penncorp Financial Group 16,400 529
PMI Group 32,300 1,716
Presidential Life 74,000 814
PXRE 13,200 302
Reinsurance Group of America 12,000 526
Security-Connecticut 47,800 1,500
Sierra Health Services* 23,900 822
State Auto Financial 86,100 1,270
TIG Holdings 17,500 525
Travelers/Aetna Property
Casualty* 31,200 858
Western National 125,650 2,340
-------
26,420
-------
LEISURE PRODUCTS -- 0.5%
Velcro Industries 15,700 840
-------
LUMBER & WOOD PRODUCTS -- 0.8%
Fibreboard* 39,600 1,386
-------
MACHINERY -- 4.9%
Aptar Group 18,100 581
BWIP Holding, Cl A 61,200 949
Chase Brass Industries* 37,900 659
DT Industries 35,300 1,191
Duriron 18,300 485
Fisher Scientific International 43,400 1,790
Giddings & Lewis 25,500 303
UCAR International* 44,900 1,818
UNR Industries 36,300 240
-------
8,016
-------
MARINE TRANSPORTATION -- 2.0%
Oak Industries* 66,500 2,211
Royal Caribbean Cruises 36,500 972
-------
3,183
-------
MEASURING DEVICES -- 0.3%
Fluke 13,700 505
Invivo* 5,800 61
-------
566
-------
MEDICAL PRODUCTS & SERVICES -- 3.2%
Maxicare Health Plans* 51,800 984
OEC Medical Systems* 62,200 777
Ornda Healthcorp* 51,400 1,407
Summit Care* 40,000 880
Sun Healthcare Group* 91,600 1,191
-------
5,239
-------
24
<PAGE>
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
MINING -- 1.4%
Intersolv* 46,900 $ 434
Wolverine Tube* 43,100 1,853
-------
2,287
-------
MISCELLANEOUS MANUFACTURING -- 1.3%
ACX Technologies * 34,800 605
Paragon Trade Brands* 62,400 1,459
-------
2,064
-------
OFFICE FURNITURE & FIXTURES -- 1.6%
Caraustar Industries 36,900 1,095
Kimball International 39,600 1,450
-------
2,545
-------
PAPER & PAPER PRODUCTS -- 2.0%
American Pad & Paper* 57,000 1,211
Buckeye Cellulose* 53,800 1,399
Pope & Talbot 41,100 632
-------
3,242
-------
PETROLEUM & FUEL PRODUCTS -- 1.3%
Belden & Blake* 19,200 446
Cliffs Drilling * 51,100 1,763
-------
2,209
-------
PETROLEUM REFINING -- 0.7%
Forasol-Foramer NV* 95,300 1,156
-------
PRINTING & PUBLISHING -- 2.0%
Bowne 17,800 407
Central Newspapers 27,000 1,029
Graphic Industries 45,700 400
Medusa 35,800 1,101
Ultratech Stepper* 13,300 251
-------
3,188
-------
PROFESSIONAL SERVICES -- 5.1%
Canadian National Railway 46,900 961
Carson Pirie* 48,600 1,294
Catherine's Stores* 78,200 567
Little Switzerland* 152,400 657
Mueller Industries* 19,100 776
Proffitts* 16,900 668
Shopko Stores 69,100 1,097
Waban* 26,400 604
Zale* 74,800 1,636
-------
8,260
-------
RETAIL -- 4.4%
Alberto Culver, Cl A 27,200 996
Big B 19,900 331
BMC West* 116,900 1,622
- -------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Burlington Coat Factory
Warehouse* 34,200 $ 376
Dress Barn * 110,800 1,205
Guess* 51,000 682
Ruddick 103,800 1,427
Talbots 18,200 546
-------
7,185
-------
RUBBER & PLASTIC -- 0.6%
Mark IV Industries 43,111 938
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.6%
AVX 76,500 1,759
Burr-Brown* 32,200 644
Fusion Systems* 22,200 400
Hutchinson Technology * 10,200 390
Read-Rite* 30,700 484
Zycon* 64,800 640
-------
4,317
-------
SPECIALTY CONSTRUCTION -- 0.3%
DR Horton* 56,796 554
-------
SPECIALTY MACHINERY -- 0.9%
Fedders 135,500 694
Schnitzer Steel Industries, Cl A 28,300 821
-------
1,515
-------
TECHNOLOGY, GENERAL -- 1.4%
Marshall Industries* 32,700 985
Middleby* 56,700 333
TBC* 144,500 921
-------
2,239
-------
TELEPHONES & TELECOMMUNICATION -- 0.5%
Comsat 36,400 824
-------
WHOLESALE -- 0.9%
Pioneer Standard Electronics 28,100 316
Stormedia* 24,600 304
Universal Forest Products 46,600 588
Wyle Laboratories 8,600 276
-------
1,484
-------
Total Common Stocks
(Cost $144,534) 155,574
-------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill
4.360%, 01/09/97(A) $500 493
-------
Total U.S. Treasury Obligation
(Cost $493) 493
-------
25
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
SMALL CAP VALUE PORTFOLIO
- -------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.3%
Lehman Brothers
5.410%, dated 09/30/96, matures
10/01/96, repurchase price
$6,984,000 (collateralized by
FHLMC, total par value
$8,984,000, 7.000%,
05/15/25, market value:
$7,182,000) $6,983 $ 6,983
-------
Total Repurchase Agreement
(Cost $6,983) 6,983
-------
Total Investments -- 99.9%
(Cost $152,010) 163,050
-------
Other Assets and Liabilities, Net-- 0.1% 127
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
12,391,438 outstanding shares
of beneficial interest 139,700
Undistributed net investment income 107
Accumulated net realized gain on investments 12,316
Net unrealized appreciation on futures contracts 14
Net unrealized appreciation on investments 11,040
--------
Total Net Assets-- 100.0% $163,177
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $13.17
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL -- CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
REIT--REAL ESTATE INVESTMENT TRUST
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALL CAP GROWTH PORTFOLIO
COMMON STOCKS -- 93.4%
AEROSPACE DEFENSE -- 0.1%
Rockshox* 16,800 $ 256
-------
AGRICULTURE -- 0.6%
Northland Cranberries 72,300 1,229
Veterinary Centers of America* 43,600 956
-------
2,185
-------
AIR TRANSPORTATION -- 0.4%
Airnet Systems* 84,700 1,207
Greenwich Air Services, Cl B* 16,800 349
Mesaba Holdings* 9,500 103
-------
1,659
-------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
AIRCRAFT -- 0.2%
Rohr * 44,800 $ 879
-------
APPAREL/TEXTILES -- 1.2%
Donnkenny* 61,300 1,050
Nautica Enterprises* 60,250 1,943
Quiksilver* 30,900 773
Tommy Hilfiger* 13,400 794
-------
4,560
-------
AUTOMOTIVE -- 0.0%
Coachmen Industries 1,800 46
-------
BANKS -- 0.4%
First Savings Bank of Washington 30,600 509
New York Bancorp 1,900 60
Riggs National 64,900 1,079
-------
1,648
-------
BEAUTY PRODUCTS -- 0.2%
USA Detergents* 16,300 648
-------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.7%
Ancor Communications* 59,600 991
Cellnet Data System * 32,100 610
Cox Radio Cl A* 12,000 264
Leap Group* 81,800 828
-------
2,693
-------
BUILDING & CONSTRUCTION -- 0.2%
Southern Energy Homes* 58,500 936
-------
BUILDING & CONSTRUCTION SUPPLIES -- 0.4%
Miller Industries* 41,800 1,651
-------
CHEMICALS -- 0.1%
Bio-Rad Labs, Cl A* 14,900 428
-------
COMMUNICATIONS EQUIPMENT -- 4.0%
Ascend Communications* 29,600 1,957
C-Cube Microsystems* 10,500 466
Checkpoint Systems* 89,800 2,380
Digital Microwave * 57,000 1,311
Digital Systems* 72,400 1,294
Dionex* 4,300 163
DSP Communications* 54,800 3,062
Harman International 9,200 449
National Wireless Holdings* 54,500 872
Sawtek* 42,200 1,097
Teltrend* 5,000 213
Ultrak* 66,700 1,834
US Robotics* 1,900 123
-------
15,221
-------
26
<PAGE>
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
COMPUTERS & SERVICES -- 5.4%
Amati Communications* 33,800 $ 744
Ariel* 124,300 1,461
Auspex Systems* 132,400 2,036
Black Box* 31,300 1,033
CBT Group* 6,300 296
Ciprico* 21,700 434
Encad* 65,300 2,734
Fractal Design* 47,600 512
HCIA* 11,400 684
HMT Technology* 31,900 694
HNC Software* 22,400 896
Imnet Systems* 18,000 351
Manugistics* 1,300 53
Microchip Technology* 12,400 463
Micron Electronics* 90,900 1,875
Natural Microsystems * 23,000 1,107
Network Appliance* 54,800 1,644
Raster Graphics* 96,400 868
Trident Microsystems* 39,200 593
Vanstar* 82,800 2,008
-------
20,486
-------
CONSUMER PRODUCTS -- 0.5%
Vans* 69,500 1,329
Wolverine World Wide 21,900 608
-------
1,937
-------
DRUGS -- 5.9%
Anesta* 32,700 462
Arris Pharmaceutical* 33,000 466
Avecor Cardiovascular* 48,200 699
ChiRex* 45,600 593
Columbia Laboratories* 91,100 1,116
Dura Pharmaceuticals * 46,100 1,700
Fuisz Technologies* 55,450 721
Guilford Pharmaceuticals* 48,200 1,326
Incyte Pharmaceuticals* 54,500 2,698
Interneuron Pharmeceutical* 16,500 466
Jones Medical Industries 80,475 3,903
Medicis Pharmaceutical, Cl A* 48,900 2,359
NBTY* 3,800 63
Neurocrine Biosciences Inc* 34,200 389
Nexstar Pharmaceuticals* 37,500 788
Onyx Pharmaceuticals * 35,000 398
Parexel International* 11,800 743
Pathogenesis * 46,700 829
QLT Phototherapeutics* 94,700 1,725
Sequus Pharmaceuticals* 78,200 1,232
-------
22,676
-------
ELECTRICAL TECHNOLOGY -- 1.2%
Concord EFS* 59,650 1,536
Komag* 12,200 256
LSI Industries 71,400 1,142
Proxim* 52,300 1,504
-------
4,438
-------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
ENERGY & POWER -- 0.1%
Micro Linear* 53,100 $ 418
-------
ENTERTAINMENT -- 0.7%
Anchor Gaming* 22,900 1,426
MGM Grand* 13,100 553
Regal Cinemas * 35,450 886
-------
2,865
-------
ENVIRONMENTAL SERVICES -- 0.1%
Culligan Water Technologies* 12,400 470
-------
FINANCIAL SERVICES -- 3.1%
Aames Financial 60,800 3,063
Americredit* 58,000 1,066
Amresco 49,000 1,121
Central Financial Acceptance* 15,100 292
Credit Acceptance* 61,300 1,686
DVI* 16,700 238
First Alliance* 9,800 221
Imperial Credit Industries* 65,500 2,399
Jayhawk Acceptance* 45,200 638
The Money Store 44,600 1,182
-------
11,906
-------
FOOD, BEVERAGE & TOBACCO -- 0.7%
Diedrich Coffee* 106,800 1,095
Morningstar Group* 71,600 823
Redhook Ale Brewery* 38,100 829
-------
2,747
-------
GAS/NATURAL GAS -- 0.2%
Unit* 128,000 752
-------
HOTELS & LODGING -- 0.7%
Doubletree* 48,500 1,934
Prime Hospitality* 8,000 132
Studio Plus Hotels* 21,450 354
Suburban Lodges of America* 10,700 225
-------
2,645
-------
HOUSEHOLD PRODUCTS -- 0.5%
Advanced Lighting Technologies* 52,000 1,027
Lamson and Sessions* 93,200 827
-------
1,854
-------
INSURANCE -- 1.9%
American Travelers* 35,200 1,166
Amerin* 58,200 1,310
CMAC Investment 600 38
Compdent* 31,200 1,178
Healthplan Services* 27,000 591
Penncorp Financial Group 19,000 613
Phycor* 28,900 1,100
Total Renal Care Holdings* 22,700 902
United Dental Care* 12,100 437
-------
7,335
-------
27
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
SMALLCAP GROWTH PORTFOLIO
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
LEASING & RENTING -- 0.2%
Rental Service* 12,200 $ 268
Renters' Choice* 22,500 422
-------
690
-------
LEISURE PRODUCTS -- 0.6%
Cannondale* 46,100 1,072
Galoob Lewis Toys* 47,000 1,375
-------
2,447
-------
LUMBER & WOOD PRODUCTS -- 1.1%
Cavalier Homes 52,800 977
Champion Enterprises* 97,600 2,208
Redman Industries* 38,200 1,070
-------
4,255
-------
MACHINERY -- 3.9%
CFM Technologies* 80,700 938
Eagle Hardware & Garden* 122,700 3,313
Edelbrock* 61,900 1,021
Gardner Denver Machinery* 11,200 342
JLG Industries 99,600 1,917
Lindsay Manufacturing* 550 23
Novellus Systems* 12,300 524
Nuko Information Systems* 45,900 849
Photronics Labs* 28,900 896
Thermatrix* 48,600 407
Uniphase* 46,400 1,960
Varco International* 20,800 367
Zoltek* 61,400 2,333
-------
14,890
-------
MANUFACTURING -- 0.6%
West Marine* 70,200 2,317
-------
MARINE TRANSPORTATION -- 0.2%
Trico Marine Services* 18,500 564
-------
MEASURING DEVICES -- 0.4%
Benchmarq Microelectronics* 80,500 835
Thermedics* 25,000 659
-------
1,494
-------
MEDICAL PRODUCTS & SERVICES -- 6.6%
Algos Pharmaceuticals* 46,500 651
CNS* 20,900 371
Digene* 46,300 307
ESC Medical Systems 12,800 410
FemRx* 104,100 859
Galileo Electro-Optics* 52,900 1,309
Gensym* 44,900 977
Gulf South Medical Supply* 400 10
HemaSure* 53,000 570
Hologic* 66,200 1,854
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Horizon Mental Health
Management* 27,800 $ 688
II-VI* 54,400 1,129
Intelligent Medical Imaging* 73,700 1,050
Lunar* 32,000 1,024
Medquist* 111,400 2,256
NCS Healthcare, Cl A* 8,200 257
Neoprobe* 48,900 880
Novoste* 53,700 712
Occusystems* 21,600 648
Orthodontic Centers of America* 65,700 1,339
Pediatrix Medical Group* 23,500 1,166
PHP Healthcare* 46,500 1,331
Physio-Control International* 14,700 371
Prime Medical Services* 46,800 620
Protocol Systems* 60,600 1,007
Safeskin* 24,200 841
Universal Health Services* 38,100 1,038
Urocor* 13,200 167
Urologix* 40,300 620
Visix Space* 10,300 278
Zygo* 9,300 276
--------
25,016
--------
MISCELLANEOUS BUSINESS SERVICES-- 21.1%
Abacus Direct* 9,000 189
Access Health Marketing* 9,000 506
Advanced Technologies
Laboratories* 35,300 1,130
Alternative Resources* 500 14
Applied Microsystems* 64,500 1,363
Aspen Technology* 57,500 3,896
Avant* 22,500 675
Axent Technologies* 9,300 219
Brooktrout Tech* 59,250 2,163
Cambridge Technology Partners* 35,900 1,086
Cellular Technical Services* 55,900 1,104
Clarify* 22,200 1,376
Cylink* 62,000 891
Dataworks* 104,500 2,717
Dendrite International* 19,100 578
Electronics for Imaging* 23,300 1,672
Employee Solutions* 26,700 461
Enterprise Systems* 38,100 981
Envoy* 44,400 1,721
GRC International* 27,800 473
Health Management Systems* 11,100 325
Indus Group* 16,700 334
Insight Enterprises* 39,000 1,458
Intevac* 57,400 976
Jack Henry & Associates* 11,500 365
Learning Tree International* 35,200 1,302
Legato Systems* 28,100 1,335
Macromedia* 27,500 571
28
<PAGE>
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
McAfee Associates* 68,350 $ 4,716
Mecon* 106,500 2,663
Medic Computer Systems* 37,000 1,346
Meta Group* 17,800 494
National Instruments* 29,400 779
National Techteam* 75,200 2,040
Netvantage, Cl A* 24,300 336
Object Design* 78,600 1,267
Orcad* 48,500 437
PCI Services* 42,400 1,155
Peerless Systems* 51,600 574
Pegasystems* 48,400 1,258
Physician Computer Networks* 95,500 1,015
Physician Support Systems* 108,900 2,641
Planning Sciences International,
ADR* 61,500 907
PMT Services* 28,300 573
Premenos Technology* 74,500 1,509
Project Software & Development* 10,100 427
Pure Atria* 15,400 581
Quickturn Design Systems* 90,500 1,233
Registry* 9,900 376
Restrac* 65,500 1,228
Siebel Systems* 27,400 1,141
SQA* 32,500 878
Staffmark* 33,600 470
Structural Dynamics Research* 14,100 337
Summit Medical Systems* 48,800 683
Sunquest* 41,000 759
Sync Research* 34,000 527
Synopsys* 18,000 830
Systemsoft Corp* 70,500 2,415
Technology Solutions* 34,700 1,210
Unify* 38,200 506
Unison Software* 11,100 286
Veritas Software* 45,400 3,212
Versant Object Technology* 38,900 924
Viasoft* 61,200 2,570
Videoserver* 39,200 1,362
Visio* 9,800 446
Wackenhut Corrections* 27,400 610
Wall Data* 35,900 817
Wind River Systems* 36,000 1,593
Xionics Document Technologies* 39,700 566
Xircom* 56,100 912
-------
80,490
-------
MISCELLANEOUS CONSUMER SERVICES-- 1.2%
ABR Information Services* 8,450 608
Career Horizons* 36,300 1,411
Carriage Services* 54,400 1,047
Robert Half International* 10,700 395
Romac International* 9,700 296
Western Staff Services* 54,700 827
-------
4,584
-------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
MISCELLANEOUS MANUFACTURING -- 0.5%
Coastcast* 59,700 $ 925
Dayrunner* 22,600 622
Paragon Trade Brands* 18,200 425
-------
1,972
-------
PAPER & PAPER PRODUCTS -- 0.1%
NUCO2* 12,500 259
-------
PETROLEUM & FUEL PRODUCTS -- 4.1%
Atwood Oceanic* 22,200 977
Belden & Blake* 49,700 1,156
Cliffs Drilling* 31,900 1,101
Cross Timbers Oil 45,300 1,087
Ensco International* 15,300 497
Marine Drilling* 111,300 1,071
Noble Drilling* 32,500 492
Nuevo Energy* 15,700 638
Seacor Holdings* 20,700 1,051
Seitel* 57,900 2,150
Shaw Group* 35,500 1,234
Stone Energy* 24,500 453
Swift Energy* 46,500 1,116
Tuboscope Vecto International* 80,200 1,253
Veritas DGC* 80,800 1,454
-------
15,730
-------
PRINTING & PUBLISHING -- 0.6%
Analytical Surveys* 78,700 866
Desktop Data* 13,400 389
Lone Star Industries 28,200 906
-------
2,161
-------
PROFESSIONAL SERVICES -- 1.0%
Childrens Comprehensive* 74,500 1,304
Equity International* 14,100 448
Intelliquest Information Group* 7,200 184
Right Management Consultants* 29,900 725
Sylvan Learning Systems* 32,100 1,316
-------
3,977
-------
RAILROADS -- 0.5%
Genessee and Wyoming* 36,300 989
Railtex* 33,700 802
-------
1,791
-------
REPAIR SERVICES -- 0.1%
Oxford Resources, Cl A* 20,500 438
-------
RETAIL -- 8.5%
Apple South 23,700 317
Borders Group* 15,200 566
Carson Pirie* 25,800 687
CDW Computer Centers* 14,250 973
29
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
SMALL CAP GROWTH PORTFOLIO
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
CKE Restaurants 54,200 $ 1,667
Claire's Stores 3,225 69
Cooker Restaurant 50,800 603
Damark International* 89,300 1,150
Dollar Tree Stores* 56,150 2,162
Foodmaker* 68,800 688
Friedman's, Cl A* 21,700 407
Gadzooks 64,400 2,238
Gargoyles* 2,000 41
Gymboree* 13,100 398
Hollywood Entertainment* 13,300 273
Hot Topic* 500 12
Kenneth Cole Productions* 34,000 642
Landry's Seafood Restaurants* 28,100 703
Longhorn Steaks* 26,100 398
Men's Wearhouse* 23,100 578
Mueller Industries* 1,100 45
Multiple Zones* 29,800 738
National Media* 33,900 504
Omnicare 51,000 1,556
Outback Steakhouse* 10,600 256
Papa John's International* 37,200 1,953
Petco Animal Supplies* 24,200 659
Planet Hollywood* 24,200 678
Proffitts* 15,700 620
Rainforest Cafe* 35,500 1,101
Rexall Sundown* 135,950 4,962
Ross Stores 58,900 2,121
Stein Mart* 52,200 1,155
Whole Foods Market* 14,000 371
Williams Sonoma* 14,900 423
Wilmar Industries* 23,100 526
-------
32,240
-------
RUBBER & PLASTIC -- 3.4%
Aetrium* 25,500 268
Chips & Technologies* 42,400 578
Computer Products* 74,800 1,636
Elantec Semiconductor* 118,200 827
Etec Systems* 32,300 1,098
Hadco* 31,900 1,021
Just for Feet* 25,400 1,273
MRV Communications* 45,400 1,169
Remec* 79,200 1,119
S3* 41,200 814
Sanmina* 26,700 1,075
Transwitch* 64,000 400
Vitesse Semiconductor* 42,200 1,630
-------
12,908
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.9%
Actel* 27,100 522
Applied Magnetics* 58,300 1,035
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Atmel* 40,500 $ 1,250
Flextronics International* 19,400 536
-------
3,343
-------
SPECIALTY CONSTRUCTION -- 0.1%
Westell Technologies* 12,100 535
-------
STEEL & STEEL WORKS -- 0.7%
Brush Wellman 47,800 920
Maverick Tube* 57,800 809
Oregon Metallurgical* 33,400 1,086
-------
2,815
-------
TELEPHONES & TELECOMMUNICATION -- 4.0%
ACC* 53,050 2,507
Adtran* 7,800 392
Advanced Fibre* 1,200 30
Brightpoint* 18,700 451
GST Telecommunications* 29,500 336
LCC International* 24,600 458
LCI International* 17,900 564
Lightbridge* 53,200 618
Midcom Communications* 52,400 721
Orckit Communications* 40,000 735
Ortel* 45,300 1,087
P-Com* 57,600 1,426
Pacific Gateway Exchange* 2,900 86
Pairgain Technologies* 40,200 3,141
Periophonics* 30,100 1,174
Premisys Communications* 13,800 507
Telco Communications Group* 44,700 827
Transaction Network Services* 24,000 345
Verilink* 5,100 125
-------
15,530
-------
TESTING LABORATORIES -- 0.6%
Atrix Labs* 30,900 340
Clintrials Research* 26,200 1,068
Quintiles Transnational* 10,200 747
-------
2,155
-------
TRUCKING -- 0.1%
Trism* 47,500 196
-------
WHOLESALE -- 2.8%
Act Networks* 46,800 1,310
Barnett* 14,700 347
Barrett Resources* 7,700 271
Ha Lo Industries* 36,950 1,072
Harmonic Lightwaves* 68,900 1,352
Henry Schein* 25,600 986
Hughes Supply 24,600 910
Inso* 13,000 705
30
<PAGE>
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Iron Mountain* 18,100 $ 534
North Face* 16,400 463
Physician Sales & Services* 22,100 519
Serologicals* 14,000 487
Technical Chemical & Products* 45,800 487
US Office Products* 27,200 976
Winstar Communications* 24,700 411
-------
10,830
-------
Total Common Stocks
(Cost $280,073) 356,966
-------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill
4.360%, 01/09/97(A) $ 1,200 1,183
-------
Total U.S. Treasury Obligation
(Cost $1,183) 1,183
-------
REPURCHASE AGREEMENT -- 6.9%
J.P. Morgan
5.350%, dated 09/30/96, matures
10/01/96, repurchase price
$26,408,000 (collateralized by
U.S. Treasury Bond, par value
$23,798,000, 8.125%, 08/15/19,
market value: $26,933,000) 26,404 26,404
-------
Total Repurchase Agreement
(Cost $26,404) 26,404
-------
Total Investments -- 100.6%
(Cost $307,660) 384,553
-------
Other Assets and Liabilities, Net-- (0.6%) (2,202)
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
18,554,737 outstanding shares
of beneficial interest 230,511
Portfolio Shares of Class D (unlimited
authorization -- no par value) based on
89,955 outstanding shares
of beneficial interest 1,543
Accumulated net realized gain on investments 73,427
Net unrealized depreciation on futures contracts (23)
Net unrealized appreciation on investments 76,893
--------
Total Net Assets-- 100.0% $382,351
========
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $20.51
======
Net Asset Value and Redemption Price
Per Share -- Class D $20.29
======
Maximum Offering Price Per Share --
Class D ($20.29 / 95%) $21.36
======
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
MID-CAP PORTFOLIO
COMMON STOCKS -- 97.0%
AEROSPACE & DEFENSE -- 2.2%
Sci Systems* 9,900 $ 557
-------
AGRICULTURE -- 0.7%
Dole Food 4,400 185
-------
AIR TRANSPORTATION -- 1.0%
Delta Air Lines 3,600 259
-------
BANKS -- 5.9%
Comerica 6,000 309
Republic New York 5,900 408
SouthTrust 3,300 101
TCF Financial 9,900 372
US Bancorp 4,200 166
Zions Bancorp 1,400 124
-------
1,480
-------
BEAUTY PRODUCTS -- 0.6%
Avon Products 3,200 159
-------
CHEMICALS -- 5.3%
Eastman Chemical 6,200 362
FMC* 4,600 312
Terra Industries 10,200 152
Union Carbide 10,900 497
-------
1,323
-------
COMMUNICATIONS EQUIPMENT -- 0.5%
General Instrument* 5,000 124
-------
31
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
MID-CAP PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMPUTERS & SERVICES -- 4.3%
Gateway 2000* 10,300 $ 493
Storage Technology* 2,100 80
Western Digital* 12,300 494
-------
1,067
-------
CONCRETE & MINERAL PRODUCTS -- 0.3%
Armstrong World Industries 1,000 62
-------
CONTAINERS & PACKAGING -- 1.8%
Owens-Illinois* 25,000 438
-------
DRUGS -- 0.3%
Millipore 1,800 71
-------
ELECTRICAL SERVICES -- 8.2%
Boston Edison 2,800 62
Centerior Energy 20,600 188
Entergy 7,100 192
Illinova 7,100 188
Long Island Lighting 19,900 341
MidAmerican Energy 8,300 132
New York State Electric & Gas 16,300 359
Niagara Mohawk Power* 42,300 338
Northeast Utilities 4,800 59
Rochester Gas & Electric 10,300 188
-------
2,047
-------
ENTERTAINMENT -- 0.6%
King World Productions* 4,300 159
-------
FINANCIAL SERVICES -- 4.5%
AG Edwards & Sons 2,500 73
Bear Stearns 10,815 251
Countrywide Credit Industries 10,800 277
Painewebber Group 4,200 88
Salomon 9,500 433
-------
1,122
-------
FOOD, BEVERAGE & TOBACCO -- 2.7%
IBP 15,500 360
Lancaster Colony 5,400 207
Ralston-Ralston Purina 1,700 116
-------
683
-------
GAS/NATURAL GAS -- 3.4%
Columbia Gas System 7,800 437
National Fuel & Gas 11,400 419
-------
856
-------
HOTELS & LODGING -- 0.4%
Marriott International 1,900 105
-------
HOUSEHOLD PRODUCTS -- 1.9%
Clorox 800 77
Maytag 20,100 392
-------
469
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
INSURANCE -- 6.0%
Aetna 786 $ 55
Ambac 7,900 440
American Financial Group 1,900 60
Equifax 6,200 164
MGIC Investment 3,700 249
Providian 1,800 77
SunAmerica 1,600 55
Value Health* 21,000 394
-------
1,494
-------
LEASING & RENTING -- 1.8%
Comdisco 15,750 455
-------
LEISURE PRODUCTS -- 1.5%
Callaway Golf 10,900 372
-------
MACHINERY -- 4.5%
Brunswick 2,800 67
Harnischfeger Industries 10,200 385
Parker-Hannifin 7,300 307
Trinova 11,300 356
-------
1,115
-------
MEASURING DEVICES -- 2.2%
Beckman Instruments 4,500 175
KLA Instruments* 7,400 166
Tektronix 2,700 110
Wheelabrator Technologies 6,200 95
-------
546
-------
MEDICAL PRODUCTS & SERVICES -- 1.4%
Healthsouth Corporation* 2,100 81
Laboratory of America Holdings 15,200 59
Tenet Healthcare* 4,600 102
Varian Associates 2,000 96
-------
338
-------
METALS & MINING -- 1.1%
Phelps Dodge 3,400 218
Vulcan Materials 1,100 66
-------
284
-------
MISCELLANEOUS BUSINESS SERVICES -- 2.8%
BMC Software* 5,400 429
GTech* 8,000 257
-------
686
-------
MISCELLANEOUS CONSUMER SERVICES -- 0.2%
Manpower 1,800 60
-------
MISCELLANEOUS TRANSPORTATION -- 0.9%
Harsco 3,400 214
-------
OFFICE FURNITURE & FIXTURES -- 1.4%
Johnson Controls 4,500 337
-------
32
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PAPER & PAPER PRODUCTS -- 1.2%
Bowater 4,700 $ 179
Consolidated Papers 2,400 125
-------
304
-------
PETROLEUM & FUEL PRODUCTS -- 3.0%
Global Marine* 7,900 124
Transocean Offshore 6,700 410
Union Texas Petroleum 10,200 221
-------
755
-------
PETROLEUM REFINING -- 0.3%
Tosco 1,400 77
-------
PRINTING & PUBLISHING -- 2.1%
American Greetings, Cl A 6,500 186
Media General 10,500 331
-------
517
-------
RAILROADS -- 1.6%
Illinois Central 12,900 408
-------
REPAIR SERVICES -- 1.5%
Ryder System 12,400 367
-------
RETAIL -- 7.5%
Best Buy* 2,400 55
Consolidated Stores* 2,200 88
Dayton-Hudson 7,400 244
Dillard Department Stores, Cl A 9,200 297
Federated Department Stores* 3,400 114
Gap 2,200 64
Great Atlantic & Pacific Tea 14,000 362
Pacific Enterprises 3,200 97
TJX 9,400 337
Wendy's International 9,300 200
-------
1,858
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.1%
Atmel* 11,800 364
International Rectifier* 17,400 241
Novellus Systems* 4,000 170
-------
775
-------
TELEPHONES & TELECOMMUNICATION -- 2.8%
Century Telephone Enterprises 6,400 220
Cincinnati Bell 4,200 223
WorldCom* 12,300 263
-------
706
-------
WHOLESALE -- 5.5%
Arrow Electronics* 2,500 111
Bergen Brunswig, Cl A 13,200 419
Cardinal Health 2,600 215
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
First Brands 8,800 $ 230
Johnson & Johnson 1,580 81
Safeway* 3,200 136
Supervalu 6,600 181
-------
1,373
-------
Total Common Stocks
(Cost $21,153) 24,207
-------
PREFERRED STOCK -- 0.1%
INSURANCE -- 0.1%
Aetna 262 19
-------
Total Preferred Stock
(Cost $17) 19
-------
REPURCHASE AGREEMENT -- 2.7%
J.P. Morgan
5.770%, dated 09/30/96, matures
10/01/96, repurchase price $687,000
(collateralized by FHLMC obligation,
total par value $801,000, 6.000%,
04/01/03
total market value: $701,000) $687 687
-------
Total Repurchase Agreement
(Cost $687) 687
-------
Total Investments -- 99.8%
(Cost $21,857) 24,913
-------
Other Assets and Liabilities, Net -- 0.2% 41
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 1,668,138 outstanding shares
of beneficial interest 20,250
Undistributed net investment income 67
Accumulated net realized gain on investments 1,581
Net unrealized appreciation on investments 3,056
-------
Total Net Assets-- 100.0% $24,954
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $14.96
=======
* NON-INCOME PRODUCING SECURITY
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
33
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 88.8%
AIR TRANSPORTATION -- 0.5%
Southwest Airlines 25,900 $ 592
UAL* 15,000 705
-------
1,297
-------
AIRCRAFT -- 3.7%
Allied Signal 66,400 4,374
United Technologies 36,100 4,337
-------
8,711
-------
BANKS -- 4.6%
BankAmerica 15,000 1,232
Boatmen's Bancshares 27,300 1,525
Chase Manhattan 71,100 5,697
Mellon Bank 29,300 1,736
PNC Bank 20,300 678
-------
10,868
-------
BEAUTY PRODUCTS -- 1.1%
Procter & Gamble 25,600 2,496
-------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 1.1%
Tele-Communications, Cl A* 171,700 2,565
-------
BUILDING & CONSTRUCTION -- 0.9%
Foster Wheeler 48,000 2,100
-------
CHEMICALS -- 1.6%
EI duPont de Nemours 19,100 1,686
Hercules 36,700 2,009
-------
3,695
-------
COMMUNICATIONS EQUIPMENT -- 1.0%
Scientific-Atlanta 149,200 2,369
-------
COMPUTERS & SERVICES -- 3.2%
Bay Networks* 38,000 1,036
Cisco Systems* 59,800 3,711
Hewlett Packard 35,000 1,706
IBM 8,300 1,033
-------
7,486
-------
CONTAINERS & PACKAGING -- 0.6%
Newell 43,900 1,317
-------
DRUGS -- 6.5%
American Home Products 12,600 803
Bristol-Myers Squibb 13,000 1,253
Eli Lilly 23,400 1,509
Merck 62,000 4,363
Pfizer 18,400 1,456
Pharmacia & Upjohn 51,300 2,116
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Schering Plough 27,000 $ 1,661
Smithkline Beecham, PLC ADR 38,200 2,325
-------
15,486
-------
ELECTRICAL SERVICES -- 0.3%
Central & South West 32,300 840
-------
ELECTRICAL TECHNOLOGY -- 0.1%
Duracell International 4,100 263
-------
ENVIRONMENTAL SERVICES -- 0.6%
USA Waste Services* 25,000 788
WMX Technologies 17,700 582
-------
1,370
-------
FINANCIAL SERVICES -- 2.0%
FHLMC 11,500 1,126
FNMA 30,000 1,046
Textron 30,000 2,550
-------
4,722
-------
FOOD, BEVERAGE & TOBACCO -- 2.9%
Anheuser Busch 42,900 1,614
Coca-Cola 22,100 1,124
CPC International 24,900 1,864
Sara Lee 33,400 1,194
UST 32,600 966
-------
6,762
-------
GAS/NATURAL GAS -- 0.3%
Enron 18,600 758
-------
HOTELS & LODGING -- 1.0%
ITT* 42,300 1,845
Marriott International 10,200 562
-------
2,407
-------
HOUSEHOLD PRODUCTS -- 2.2%
General Electric 56,200 5,114
-------
INSURANCE -- 5.5%
American International Group 30,900 3,113
Chubb 20,800 957
GCR Holdings 30,000 724
General Re 9,800 1,389
ITT Hartford Group 23,200 1,369
Pacificare Health Systems* 15,000 1,298
PMI Group 17,900 951
TIG Holdings 39,200 1,176
Travelers 42,899 2,107
-------
13,084
-------
34
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
LEISURE PRODUCTS -- 0.5%
Mattel 49,100 $ 1,271
-------
MACHINERY -- 5.3%
Deere 45,600 1,915
Dresser Industries 45,500 1,354
Emerson Electric 15,000 1,352
General Signal 74,600 3,282
Tyco Labs 107,200 4,623
-------
12,526
-------
MARINE TRANSPORTATION -- 1.4%
Carnival, Cl A 108,000 3,348
-------
MEDICAL PRODUCTS & SERVICES -- 3.8%
Columbia/HCA Healthcare 63,520 3,613
Healthsouth Rehabilitation* 38,900 1,493
Tenet Healthcare* 95,600 2,127
Vencor* 51,900 1,674
-------
8,907
-------
METALS & MINING -- 0.9%
Morton International 31,300 1,244
Potash of Saskatchewan 12,000 878
-------
2,122
-------
MISCELLANEOUS BUSINESS SERVICES-- 4.4%
Electronic Data Systems 36,800 2,259
First Data 19,700 1,608
Microsoft* 32,400 4,273
Oracle Systems* 52,050 2,215
-------
10,355
-------
OFFICE FURNITURE & FIXTURES -- 0.9%
Lear* 67,000 2,211
-------
PETROLEUM & FUEL PRODUCTS -- 0.3%
Kerr-McGee 12,700 773
-------
PETROLEUM REFINING -- 3.6%
Amoco 58,600 4,131
Mobil 22,300 2,581
Texaco 20,000 1,840
-------
8,552
-------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 1.8%
Eastman Kodak 20,500 1,609
Xerox 48,900 2,622
-------
4,231
-------
PRINTING & PUBLISHING -- 2.5%
Gannett 14,100 992
McGraw-Hill 23,800 1,015
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
New York Times, Cl A 35,500 $ 1,198
Viacom, Cl B* 76,000 2,698
-------
5,903
-------
PROFESSIONAL SERVICES -- 0.9%
Dun & Bradstreet 20,700 1,234
Halliburton 17,000 878
-------
2,112
-------
RAILROADS -- 1.5%
Burlington Northern Santa Fe 14,000 1,181
Union Pacific 31,400 2,300
-------
3,481
-------
RETAIL -- 8.5%
Federated Department Stores* 59,600 1,997
Home Depot 97,100 5,523
Intimate Brands 40,000 730
McDonald's 84,800 4,017
Office Depot* 73,100 1,727
PepsiCo 79,500 2,246
Wal-Mart Stores 117,000 3,086
Wendy's International 35,000 753
-------
20,079
-------
RUBBER & PLASTIC -- 0.4%
Goodyear Tire & Rubber 23,200 1,070
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.8%
Atmel* 30,100 929
Intel 11,100 1,059
-------
1,988
-------
SPECIALTY CONSTRUCTION -- 0.6%
L.M. Ericsson Telephone ADR* 52,300 1,327
-------
SPECIALTY MACHINERY -- 0.3%
American Standard* 23,800 815
-------
STEEL & STEEL WORKS -- 0.6%
Aluminum Company of America 24,900 1,469
-------
TELEPHONES & TELECOMMUNICATION -- 1.8%
AT&T 58,678 3,066
BellSouth 31,200 1,155
-------
4,221
-------
WASTE MANAGEMENT -- 0.9%
Molten Metal Technology* 64,600 2,067
-------
WHOLESALE -- 7.4%
General Motors 31,300 1,502
Gillette 21,600 1,558
Johnson & Johnson 98,600 5,053
35
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Motorola 34,000 $ 1,755
Philip Morris 38,900 3,491
Sysco 80,700 2,714
W.W. Grainger 20,000 1,405
-------
17,478
-------
Total Common Stocks
(Cost $185,295) 210,016
-------
PREFERRED STOCKS -- 2.9%
ELECTRICAL EQUIPMENT -- 0.8%
Westinghouse Electric, Convertible
to 0.885 shares (A)* 110,000 1,870
-------
PAPER & PAPER PRODUCTS -- 0.6%
International Paper, Convertible
to 0.9259 shares (A)* 30,000 1,444
-------
PETROLEUM REFINING -- 1.0%
Occidental Petroleum, Convertible
to 2.1970 shares (A) 40,000 2,295
-------
TELEPHONES & TELECOMMUNICATION -- 0.5%
Sprint, Convertible to 0.8673 shares 35,000 1,225
-------
Total Preferred Stocks
(Cost $6,924) 6,834
-------
CONVERTIBLE BONDS -- 5.5%
Continental Airlines, Convertible
to 16.559 shares (A)
6.750%, 04/15/06 $1,500 1,444
Potomac Electric Power,
Convertible to 29.50 shares
5.000%, 09/01/02 2,300 2,070
Price, Convertible to 20.8333 shares
6.750%, 03/01/01 3,000 3,180
Roche Holdings, Convertible
to 0.0474 shares
0.000%, 04/20/10 5,000 2,175
Time Warner, Convertible
to 7.7589 shares
0.000%, 06/22/13 4,300 1,822
WMX Technologies, Convertible
to 26.078 shares
2.000%, 01/24/05 2,500 2,325
-------
Total Convertible Bonds
(Cost $13,078) 13,016
-------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 0.2%
U.S. Treasury Bill
4.360%, 01/09/97(B) $ 500 $ 493
-------
Total U.S. Treasury Obligations
(Cost $493) 493
-------
REPURCHASE AGREEMENTS -- 5.0%
Lehman Brothers
5.770%, dated 09/30/96, matures
10/01/96, repurchase price
$11,858,000 (collateralized by
various GNMA obligations, par
value $12,572,000, 7.000%:
total market value: $12,100,000) 11,856 11,856
-------
Total Repurchase Agreements
(Cost $11,856) 11,856
-------
Total Investments -- 102.4%
(Cost $217,646) 242,215
-------
Other Assets and Liabilities, Net -- (2.4%) (5,634)
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 13,040,929 outstanding shares
of beneficial interest 157,643
Undistributed net investment income 716
Accumulated net realized gain on investments 53,660
Net unrealized depreciation on futures contracts (7)
Net unrealized appreciation on investments 24,569
-------
Total Net Assets -- 100.0% $236,581
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $18.14
=======
* NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(B) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL--CLASS
ADR--AMERICAN DEPOSITORY RECEIPT
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
PLC--PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
36
<PAGE>
EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 98.1%
AUTOMOTIVE -- 2.1%
Chrysler 85,100 $ 2,436
Genuine Parts 41,500 1,816
-------
4,252
-------
BANKS -- 14.0%
Banc One 154,650 6,341
BankAmerica 59,200 4,862
Fleet Financial Group 89,000 3,961
JP Morgan 58,600 5,208
National City 62,200 2,620
US Bancorp 71,800 2,836
Wachovia 53,592 2,653
-------
28,481
-------
BEAUTY PRODUCTS -- 0.9%
International Flavors &
Fragrances 40,900 1,784
-------
CHEMICALS -- 5.5%
Betz Laboratories 40,000 2,100
BF Goodrich 111,400 5,027
Rohm & Haas 28,700 1,880
Witco Chemical 63,100 2,074
-------
11,081
-------
COMMUNICATIONS EQUIPMENT -- 1.6%
GTE 85,400 3,288
-------
DRUGS -- 5.2%
Bristol-Myers Squibb 55,800 5,378
Pharmacia & Upjohn 73,700 3,040
Smithkline Beecham, PLCADR 35,300 2,149
-------
10,567
-------
ELECTRICAL SERVICES -- 7.2%
Baltimore Gas & Electric 90,750 2,371
Central & South West 86,000 2,236
Florida Progress 54,800 1,863
TECO Energy 89,500 2,126
Texas Utilities 74,200 2,940
Wisconsin Energy 111,200 3,002
-------
14,538
-------
ENVIRONMENTAL SERVICES -- 0.3%
Browning-Ferris Industries 27,300 683
-------
FINANCIAL SERVICES -- 2.1%
Beneficial 25,500 1,466
FNMA 78,300 2,731
-------
4,197
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 5.2%
American Brands 23,500 $ 993
Anheuser Busch 104,000 3,913
General Mills 67,400 4,069
HJ Heinz 45,600 1,539
-------
10,514
-------
GAS/NATURAL GAS -- 3.0%
Consolidated Natural Gas 92,900 4,982
Nicor 32,900 1,110
-------
6,092
-------
HOUSEHOLD PRODUCTS -- 2.8%
Clorox 28,000 2,685
General Electric 32,700 2,976
-------
5,661
-------
INSURANCE -- 7.4%
American General 79,100 2,986
Jefferson Pilot 36,500 1,889
Lincoln National 30,634 1,344
Marsh & McLennan 38,900 3,778
Safeco 58,900 2,062
St. Paul 53,600 2,975
-------
15,034
-------
LEASING & RENTING -- 0.9%
Pitney Bowes 35,200 1,852
-------
LUMBER & WOOD PRODUCTS -- 1.3%
Georgia-Pacific 32,700 2,587
-------
MACHINERY -- 1.8%
Dresser Industries 63,100 1,877
Tenneco 36,800 1,845
-------
3,722
-------
MEDICAL PRODUCTS & SERVICES -- 0.7%
Baxter International 29,200 1,365
-------
MISCELLANEOUS MANUFACTURING -- 2.0%
Minnesota Mining &
Manufacturing 56,700 3,962
-------
PAPER & PAPER PRODUCTS -- 3.9%
International Paper 66,600 2,830
Weyerhaeuser 110,600 5,101
-------
7,931
-------
PETROLEUM & FUEL PRODUCTS -- 4.0%
Atlantic Richfield 53,200 6,783
Phillips Petroleum 30,200 1,291
-------
8,074
-------
37
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
PETROLEUM REFINING -- 8.6%
Amoco 80,700 $ 5,689
Chevron 49,500 3,100
Exxon 49,500 4,121
Texaco 49,200 4,526
-------
17,436
-------
PRINTING & PUBLISHING -- 1.2%
McGraw-Hill 58,900 2,511
-------
RAILROADS -- 0.6%
Union Pacific 15,500 1,135
-------
RETAIL -- 4.5%
JC Penney 130,500 7,063
May Department Stores 44,300 2,154
-------
9,217
-------
RUBBER & PLASTIC -- 2.2%
Dow Chemical 54,750 4,394
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.1%
Thomas & Betts 53,700 2,202
-------
SPECIALTY MACHINERY -- 1.2%
Cooper Industries 58,700 2,539
-------
SPECIALTY SERVICES -- 1.1%
National Service Industries 65,193 2,282
-------
TELEPHONES & TELECOMMUNICATION -- 5.7%
Ameritech 18,600 979
Bell Atlantic 62,100 3,718
BellSouth 45,700 1,691
NYNEX 78,600 3,419
US West 62,366 1,855
-------
11,662
-------
Total Common Stocks
(Cost $166,108) 199,043
-------
U.S. TREASURY OBLIGATIONS -- 0.5%
U.S. Treasury Bill
4.360%, 01/09/97(A) $975 961
-------
Total U.S. Treasury Obligations
(Cost $961) 961
-------
REPURCHASE AGREEMENT -- 2.4%
J.P. Morgan
5.770%, dated 09/30/96, matures
10/01/96, repurchase price
$4,951,000, (collateralized by various
GNMA obligations, 7.000%, 11/15/25-
04/15/26: total market value
$5,071,000) 4,950 4,950
-------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Total Repurchase Agreement
(Cost $4,950) $ 4,950
-------
Total Investments -- 101.0%
(Cost $172,019) 204,954
-------
Other Assets and Liabilities, Net -- (1.0%) (2,131)
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 12,370,035 outstanding shares
of beneficial interest 139,349
Undistributed net investment income 1,438
Accumulated net realized gain on investments 29,103
Net unrealized depreciation on futures contracts (2)
Net unrealized appreciation on investments 32,935
-------
Total Net Assets -- 100.0% $202,823
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $16.40
=======
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
PLC--PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BALANCED PORTFOLIO
COMMON STOCKS -- 50.3%
AIR TRANSPORTATION -- 0.3%
Southwest Airlines 5,000 $ 114
UAL* 1,000 47
-------
161
-------
AIRCRAFT -- 2.1%
Allied Signal 8,200 540
Lockheed Martin 1,200 108
United Technologies 5,000 601
-------
1,249
-------
38
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BANKS -- 2.4%
Bank of Boston 500 $ 29
BankAmerica 600 49
Boatmen's Bancshares 2,300 129
Chase Manhattan 10,900 873
Cullen/Frost Bankers 1,200 36
Mellon 3,400 201
Norwest 1,600 65
-------
1,382
-------
BEAUTY PRODUCTS -- 1.0%
Colgate-Palmolive 2,900 251
Procter & Gamble 3,400 331
-------
582
-------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.7%
Tele-Communications, Cl A* 27,000 403
-------
BUILDING & CONSTRUCTION -- 0.6%
Fluor 1,200 74
Foster Wheeler 5,700 249
-------
323
-------
CHEMICALS -- 1.0%
EI duPont de Nemours 2,500 221
Hercules 5,100 279
Monsanto 1,400 51
-------
551
-------
COMMUNICATIONS EQUIPMENT -- 0.5%
Scientific-Atlanta 19,800 314
-------
COMPUTERS & SERVICES -- 1.8%
Bay Networks* 5,300 144
Cisco Systems* 8,000 496
Hewlett Packard 5,200 254
IBM 1,300 162
-------
1,056
-------
CONTAINERS & PACKAGING -- 0.2%
Newell 4,700 141
-------
DRUGS -- 3.9%
American Home Products 1,800 115
Amgen* 400 25
Astra Ab, Cl A, ADR* 2,900 121
Bristol-Myers Squibb 1,900 183
Bush Boake Allen* 5,200 124
Eli Lilly 2,700 174
Merck 8,100 570
Pfizer 2,000 158
Pharmacia & Upjohn 6,800 281
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Schering Plough 4,200 $ 258
Smithkline Beecham, PLC ADR 4,100 250
-------
2,259
-------
ELECTRICAL SERVICES -- 0.3%
Central & South West 7,000 182
-------
ELECTRICAL TECHNOLOGY -- 0.1%
Duracell International 900 58
-------
ENTERTAINMENT -- 0.2%
Walt Disney 2,036 129
-------
ENVIRONMENTAL SERVICES -- 0.2%
USA Waste Services* 1,500 47
WMX Technologies 2,500 82
-------
129
-------
FINANCIAL SERVICES -- 0.6%
FHLMC 1,600 157
FNMA 3,400 119
Textron 1,100 94
-------
370
-------
FOOD, BEVERAGE & TOBACCO -- 1.5%
Anheuser Busch 1,700 64
Coca-Cola 3,500 178
CPC International 3,300 247
Ralston-Ralston Purina 1,900 130
Sara Lee 4,500 161
UST 3,400 101
-------
881
-------
GAS/NATURAL GAS -- 0.2%
Enron 2,900 118
-------
HOTELS & LODGING -- 0.6%
ITT* 6,100 266
Marriott International 1,500 83
-------
349
-------
HOUSEHOLD PRODUCTS -- 1.0%
General Electric 6,600 601
-------
INSURANCE -- 2.5%
American International Group 4,550 458
Chubb 2,800 129
GCR Holdings 4,000 97
General Re 1,100 156
ITT Hartford Group 3,200 189
Pacificare Health Systems* 1,400 121
Travelers 6,350 312
-------
1,462
-------
39
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
LEISURE PRODUCTS -- 0.3%
Mattel 6,900 $ 179
-------
MACHINERY -- 3.1%
Deere 6,500 273
Dresser Industries 5,000 149
Emerson Electric 2,100 189
General Signal 11,000 484
Tyco Labs 15,800 681
-------
1,776
-------
MARINE TRANSPORTATION -- 0.8%
Carnival 14,400 446
-------
MEDICAL PRODUCTS & SERVICES -- 2.0%
Columbia/HCA Healthcare 7,820 445
Healthsouth Rehabilitation* 5,500 211
Tenet Healthcare* 12,700 283
Vencor* 7,400 239
-------
1,178
-------
METALS & MINING -- 0.4%
Morton International 4,000 159
Potash of Saskatchewan 600 44
-------
203
-------
MISCELLANEOUS BUSINESS SERVICES-- 2.5%
Automatic Data Processing 1,600 70
Electronic Data Systems 4,800 294
First Data 2,000 163
Microsoft* 4,600 607
Oracle Systems* 7,200 306
-------
1,440
-------
OFFICE FURNITURE & FIXTURES -- 0.6%
Lear* 10,200 337
-------
PETROLEUM & FUEL PRODUCTS -- 0.7%
Atlantic Richfield 600 77
Kerr-McGee 2,600 158
Schlumberger 1,300 110
Union Pacific Resources 1,200 34
-------
379
-------
PETROLEUM REFINING -- 1.7%
Amoco 7,900 557
Mobil 2,600 301
Texaco 1,500 138
-------
996
-------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 1.0%
Eastman Kodak 2,800 220
Xerox 6,900 370
-------
590
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PRINTING & PUBLISHING -- 1.4%
Gannett 2,000 $ 141
McGraw-Hill 3,700 158
New York Times, Cl A 4,100 138
Viacom, Cl B* 10,565 375
-------
812
-------
PROFESSIONAL SERVICES -- 0.5%
Dun & Bradstreet 2,200 131
Halliburton 3,100 160
-------
291
-------
RAILROADS -- 1.0%
Burlington Northern Santa Fe 1,900 160
Conrail 1,600 116
Union Pacific 4,400 322
-------
598
-------
RETAIL -- 5.4%
Federated Department Stores* 8,200 275
Home Depot 13,633 775
Intimate Brands 5,500 100
McDonald's 13,500 640
Melville 1,400 62
Office Depot* 10,200 241
PepsiCo 10,800 305
Price/Costco* 3,000 62
Staples* 2,500 55
Wal-Mart Stores 17,700 467
Wendy's International 5,600 120
-------
3,102
-------
RUBBER & PLASTIC -- 0.3%
Goodyear Tire & Rubber 3,400 157
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.4%
Atmel* 2,000 62
Intel 1,500 143
-------
205
-------
SPECIALTY CONSTRUCTION -- 0.4%
L.M. Ericsson Telephone, ADR* 8,500 216
-------
SPECIALTY MACHINERY -- 0.2%
American Standard* 3,300 113
-------
STEEL & STEEL WORKS -- 0.4%
Aluminum Company of America 3,600 212
-------
TELEPHONES & TELECOMMUNICATION -- 1.1%
Airtouch Communications* 2,500 69
AT&T 7,800 408
BellSouth 4,700 174
-------
651
-------
40
<PAGE>
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
WHOLESALE -- 3.8%
General Motors 2,900 $ 139
Gillette 1,800 130
Johnson & Johnson 13,500 692
Motorola 5,384 278
Philip Morris 5,500 494
Sysco 10,500 353
W.W. Grainger 2,000 140
-------
2,226
-------
WASTE MANAGEMENT -- 0.6%
Molten Metal Technology* 10,000 320
-------
Total Common Stocks
(Cost $25,643) 29,127
-------
PREFERRED STOCKS -- 0.6%
CONTAINERS & PACKAGING -- 0.4%
Westinghouse Electric, Convertible
to 0.885 shares (A)* 13,000 221
-------
TELEPHONES & TELECOMMUNICATION -- 0.2%
Sprint, Convertible
to 0.8673 shares 4,200 147
-------
Total Preferred Stocks
(Cost $389) 368
-------
U.S. TREASURY OBLIGATIONS -- 11.8%
U. S.Treasury Notes
6.125%, 03/31/98 $ 850 851
7.000%, 04/15/99 150 153
6.750%, 05/31/99 1,450 1,467
7.500%, 10/31/99 360 372
7.125%, 02/29/00 37 38
6.875%, 03/31/00 690 701
7.250%, 05/15/04 3,000 3,106
7.000%, 07/15/06 150 153
-------
Total U.S. Treasury Obligations
(Cost $6,844) 6,841
-------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 13.4%
FHLMC REMIC, Series 1637, Cl E
5.750%, 02/15/19 1,185 1,152
FHLMC
6.000%, 12/01/98 21 21
6.000%, 12/01/98 299 293
8.000%, 06/01/02 471 483
7.000%, 10/01/02 684 685
8.000%, 12/01/02 678 689
FNMA, REMIC
7.500%, 10/25/05 2,000 2,034
FNMA
5.500%, 12/25/05 500 496
8.500%, 04/01/17 818 846
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
GNMA
9.000%, 06/15/17 $ 992 $ 1,058
-------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $7,735) 7,757
-------
CORPORATE OBLIGATIONS -- 13.9%
AMR
9.500%, 07/15/98 275 288
Aristar
6.750%, 05/15/99 705 707
Associates of North America
6.375%, 10/15/02 1,345 1,306
Capital One
6.660%, 08/17/98 220 220
Fleet Mortgage Group
6.500%, 06/15/00 1,085 1,072
General Motors Acceptance
7.125%, 05/15/03 1,200 1,197
Household Finance
6.150%, 04/28/00 345 337
International Lease Finance
6.830%, 01/14/00 345 345
Philip Morris
7.250%, 09/15/01 1,110 1,114
Salomon Brothers
5.650%, 02/10/98 530 525
Salomon
6.700%, 12/01/98 500 499
Sears Roebuck
9.250%, 08/01/97 400 410
-------
Total Corporate Obligations
(Cost $8,046) 8,020
-------
CONVERTIBLE BONDS -- 1.4%
Chubb Capital, Convertible
to 58.1395 shares
6.000%, 05/15/98 500 561
Staples, Convertible to 30.303
shares Cl A
4.500%, 10/01/00 200 233
-------
Total Convertible Bonds
(Cost $715) 794
-------
ASSET-BACKED SECURITIES -- 0.0%
Merrill Lynch
5.125%, 07/15/98 2 2
-------
Total Asset-Backed Securities
(Cost $2) 2
-------
41
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 1.9%
Capital One Bank Notes
6.540%, 06/09/00 $1,140 $ 1,117
-------
Total Certificates of Deposit
(Cost $1,124) 1,117
-------
REPURCHASE AGREEMENT -- 8.7%
J.P. Morgan
5.770%, dated 09/30/96, matures
10/01/96, repurchase price
$5,044,000 (collateralized by
various GNMA obligations, par
value $5,350,000, 7.000%,
04/15/26-05/15/26: total
market value: $5,147,000) 5,043 5,043
-------
Total Repurchase Agreement
(Cost $5,043) 5,043
-------
Total Investments -- 102.0%
(Cost $55,541) 59,069
-------
Other Assets and Liabilities-- (2.0%)
Investment Securities Purchased (3,335)
Other Assets and Liabilities, Net 2,181
-------
Total Other Assets and Liabilities (1,154)
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 4,153,839 outstanding shares
of beneficial interest 46,154
Undistributed net investment income 453
Accumulated net realized gain on investments 7,780
Net unrealized appreciation on investments 3,528
-------
Total Net Assets - 100.0% $57,915
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $13.94
=======
* NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
ADR--AMERICAN DEPOSITORY RECEIPT
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
PLC--PUBLIC LIMITED COMPANY
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CORE FIXED INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 32.6%
U.S. Treasury Bill (C)
4.360%, 01/09/97 $ 1,800 $ 1,774
U.S. Treasury Bonds
6.000%, 08/15/99 21,250 21,094
10.750%, 02/15/03 3,900 4,735
9.250%, 02/15/16 42,575 52,461
6.000%, 02/15/26 17,650 15,509
6.750%, 08/15/26 31,690 30,951
U.S. Treasury Notes
6.375%, 05/15/99 5,860 5,877
6.750%, 05/31/99 3,100 3,136
7.500%, 10/31/99 5,280 5,450
6.875%, 03/31/00 8,460 8,589
6.250%, 08/31/00 13,100 13,023
6.625%, 07/31/01 7,770 7,813
6.500%, 08/31/01 16,080 16,089
7.250%, 05/15/04 2,110 2,184
6.875%, 05/15/06 11,240 11,362
7.000%, 07/15/06 3,910 3,990
U.S. Treasury STRIPS
Zero Coupon, 02/15/99 11,150 9,646
-------
Total U.S. Treasury Obligations
(Cost $216,311) 213,683
-------
CORPORATE OBLIGATIONS -- 20.8%
Bank of Nova Scotia
9.125%, 08/19/99 1,700 1,805
BankAmerica
9.200%, 05/15/03 850 940
Banque Paribas
6.875%, 03/01/09 3,425 3,168
Barclays North America Capital
9.750%, 05/15/21 1,375 1,557
Bear Stearns
6.500%, 06/15/00 2,550 2,509
6.750%, 08/15/00 2,000 1,990
Becton Dickinson
9.250%, 06/01/16 466 486
Chrysler Financial
13.250%, 10/15/99 850 1,001
Commonwealth Edison
9.500%, 05/01/16 850 891
9.875%, 06/15/20 850 942
Connecticut Light & Power
7.875%, 06/01/01 3,800 3,848
Dayton Hudson
8.600%, 01/15/12 941 1,008
Deseret Generator &
Transportation Coop
9.375%, 01/02/11 975 1,020
Dresdner Bank
7.250%, 09/15/15 1,700 1,634
Equitable
9.000%, 12/15/04 4,000 4,400
<PAGE>
42
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Federal Express
9.625%, 10/15/19 $ 850 $ 919
Federal Paperboard
8.875%, 07/01/12 1,700 1,885
First National Bank of Omaha
7.320%, 12/01/10 750 721
Ford Capital
10.125%, 11/15/00 1,275 1,418
Ford Motor Credit
8.375%, 01/15/00 1,850 1,936
6.850%, 08/15/00 3,425 3,421
General Motors Acceptance
9.625%, 05/15/00 1,060 1,152
8.000%, 10/01/99 1,000 1,034
General Motors Capital
9.625%, 12/01/00 1,450 1,590
Georgia Pacific
9.500%, 12/01/11 1,500 1,721
Goldman Sachs
6.250%, 02/01/03 4,700 4,459
GTE
10.250%, 11/01/20 1,700 1,934
Hydro Quebec Ser GW
9.750%, 01/15/18 1,700 1,872
Hydro Quebec
8.050%, 07/07/24 2,550 2,716
ITT
7.375%, 11/15/15 4,950 4,604
J.C. Penney
9.750%, 06/15/21 1,000 1,115
Lehman Brothers
9.875%, 10/15/00 1,875 2,048
Lehman Brothers Holdings, MTN
9.375%, 01/15/99 3,600 3,789
Loew's
7.625%, 06/01/23 2,550 2,416
Long Island Lighting
9.625%, 07/01/24 2,110 2,115
Midland Bank PLC
6.950%, 03/15/11 1,700 1,619
NCNB Bank
10.200%, 07/15/15 2,550 3,143
News America Holdings
7.430%, 10/01/26 3,000 2,981
7.750%, 12/01/45 4,100 3,675
Norsk Hydro A/S
9.000%, 04/15/12 1,575 1,782
Northwest Airlines
7.670%, 01/02/15 5,000 5,044
Paine Webber Group, MTN
6.930%, 08/15/03 1,200 1,154
Province of NewFoundland
10.000%, 12/01/20 850 1,041
Public Services Electric & Gas
7.625%, 02/01/00 1,170 1,195
PVNGS II Funding
8.000%, 12/30/15 4,500 4,506
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
RJR Nabisco
8.750%, 08/15/05 $1,100 $ 1,070
8.750%, 07/15/07 2,535 2,450
Salomon Brothers
7.750%, 05/15/00 1,275 1,299
6.750%, 02/15/03 2,100 2,016
SBA
7.700%, 09/01/16 1,900 1,933
Southern California Edison
8.875%, 05/01/23 645 669
Southern Pacific Rail
9.375%, 08/15/05 850 926
Soyland Power Cooperative
9.700%, 09/30/17 1,275 1,364
Swiss Bank
7.000%, 10/15/15 1,700 1,598
System Energy Resources
7.430%, 01/15/11 2,338 2,218
TCI Communications
8.750%, 08/01/15 6,495 6,276
Tele-Communications
9.250%, 01/15/23 850 826
Tenneco
10.000%, 03/15/08 1,250 1,489
7.250%, 12/15/25 500 466
Tennesee Gas Pipeline
6.000%, 12/15/11 1,944 1,650
Time Warner
8.180%, 08/15/07 1,300 1,311
Time Warner Entertainment
8.375%, 07/15/33 3,160 3,069
Transcont Gas
9.000%, 11/15/96 4,275 4,291
Union Camp
10.000%, 05/01/19 1,700 1,904
Utilicorp United
10.500%, 12/01/20 1,000 1,128
Weyerhaeuser
7.250%, 07/01/13 1,875 1,828
-------
Total Corporate Obligations
(Cost $138,330) 135,985
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS 0.5%
REFCO STRIPS
Zero Coupon, 10/15/20 945 166
Resolution Trust Funding STRIPS
Zero Coupon, 10/15/19 4,880 923
Resolution Trust Funding
8.625%, 01/15/30 1,410 1,678
RFCO STRIPS
Zero Coupon, 01/15/17 2,164 495
Zero Coupon, 04/15/17 1,638 368
-------
Total U.S. Government Agency Obligations
(Cost $3,149) 3,630
-------
43
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
CORE FIXED INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-
BACKED OBLIGATIONS -- 22.2%
FHLMC
9.000%, 12/01/05 $ 302 $ 315
6.500%, 02/01/11-04/01/26 7,261 6,853
7.000%, 05/01/24-05/01/26 13,745 13,289
7.500%, 06/01/10-07/01/26 8,186 8,144
8.000%, 08/01/26 6,196 6,258
8.500%, 07/01/26 9,874 10,146
FHLMC Ser 1907LP (D)
Zero Coupon, 06/15/20 600 342
FHLMC REMIC Ser 1 Cl Z
9.300%, 04/15/19 4,512 4,701
FHLMC REMIC
7.000%, 11/15/19 5 5
FNMA
7.000%, 05/01/23-05/01/26 22,847 22,047
8.500%, 09/01/13 110 114
FNMA 30 Year TBA
7.000%, 10/01/26 25,400 24,471
FNMA, PO
Zero Coupon, 07/25/23 355 241
Zero Coupon, 08/25/23 935 814
GNMA
7.000%, 03/15/11-11/15/23 11,838 11,584
7.500%, 09/15/06-04/15/23 7,504 7,411
8.500%, 11/15/00-02/15/26 2,456 2,526
GNMA TBA
6.500%, 10/01/26 12,700 11,851
8.000%, 10/01/26 14,400 14,517
-------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $145,460) 145,629
-------
ASSET-BACKED SECURITIES -- 8.9%
AT&T Universal Card
5.950%, 10/17/02 4,275 4,181
Banc One Credit Card
6.300%, 09/15/00 4,275 4,229
Champion 95-2 A2 (B)
7.340%, 10/25/26 4,163 4,221
Chemical Master Credit Card
6.230%, 06/15/03 4,425 4,368
Discover Card
6.550%, 08/15/00 4,275 4,256
First Chicago
7.150%, 04/15/01 4,275 4,353
Household Private Label
Credit Card
7.800%, 09/20/03 1,450 1,493
Keycorp Auto Grantor Trust
1995-A Cl A
5.800%, 07/15/00 2,318 2,312
NationsBank
6.450%, 04/15/03 5,975 5,953
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Olympic Automobile Trust 95-A
7.875%, 07/15/01 $2,239 $ 2,287
Premier Auto Trust 93-A3
4.900%, 12/15/98 919 915
Premier Auto Trust 95-3
5.950%, 12/06/98 3,170 3,175
Premier Auto Trust Ser 93-5
4.450%, 03/02/99 1,114 1,099
Premier Auto Trust Ser 93-6 Cl A2
4.650%, 11/02/99 3,016 2,982
Premier Auto Trust, Tranche
1993-5, Cl A2
4.220%, 03/02/99 740 730
Sears Credit
7.000%, 08/15/00 5,975 6,061
Sears Credit Account Master
Trust II Ser 95-5 Cl A
6.050%, 01/16/08 1,000 961
Sears Credit Account Master Trust,
Ser 95-3 Cl A
7.000%, 10/15/04 1,000 1,014
SPNB Home Equity Loan
Loan 91-2-A
8.100%, 06/15/20 1,492 1,499
SPNB Home Equity Loan
7.850%, 05/15/98 49 50
USAA Auto Loan Grantor Trust
5.000%, 11/15/99 1,983 1,977
-------
Total Asset-Backed Securities
(Cost $59,385) 58,116
-------
MORTGAGE-BACKED OBLIGATIONS -- 9.2%
Community Program Loan Trust
4.500%, 10/01/18 2,175 1,849
First Chicago Master Trust II
8.400%, 06/15/98 2,075 2,077
Fund America Investors CMO
REMIC ARM Ser 1993-A (A)
7.835%, 06/25/23 7,313 7,313
Matterhorn One Limited Trust
Certificates (B) (Monthly
Reset = 1 Month LIBOR +
45 BP) (A)
5.938%, 01/21/06 3,539 3,538
Nomura Asset Securities
Ser 1996-MD5, Cl A1B
7.120%, 04/13/36 5,100 5,017
Prudential Home Mortgage
Securities Ser 93-52 Cl A
CMO REMIC
8.116%, 11/25/23 1,198 1,218
RTC 92-12-A2A
7.500%, 08/25/23 1,942 1,953
RTC 92-7-A2D
8.350%, 06/25/29 5,269 5,316
44
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)/SHARES VALUE (000)
- --------------------------------------------------------------------------------
RTC ARM 92-B3 (A)
6.519%, 06/25/21 $ 1,983 $ 1,968
RTC ARM M-3 (A)
7.941%, 09/25/29 5,092 5,090
RTC ARM M-6 (A)
6.814%, 05/25/21 11,974 11,264
SASCO 93-C1
6.600%, 10/25/24 8,000 7,638
SASCO 96-CFL CC
6.525%, 02/25/28 725 694
Security Pacific Acceptance
Ser 91-2 Cl B
8.550%, 09/15/11 1,290 1,314
Western Financial Grantor Trust
Ser 95-2 Cl A1
7.100%, 07/01/00 3,821 3,859
-------
Total Mortgage-Backed Obligations
(Cost $59,926) 60,108
-------
REPURCHASE AGREEMENT -- 10.8%
J.P. Morgan
5.770%, dated 09/30/96, matures
10/01/96, repurchase price $70,752,000
(collateralized by various GNMA
obligations, total par $75,443,000,
7.000%, 07/15/25-05/15/26, total
market value: $72,180,000) 70,741 70,741
-------
Total Repurchase Agreement
(Cost $70,741) 70,741
-------
COMMERCIAL PAPER -- 0.8%
Kingdom of Sweden
Zero Coupon, 01/21/97 5,125 5,037
-------
Total Commercial Paper
(Cost $4,927) 5,037
-------
MUNICIPAL BOND -- 0.2%
Los Angeles County, California
Taxable Pension Obligation
Ser D (MBIA)
Zero Coupon, 06/30/10 3,850 1,352
-------
Total Municipal Bond
(Cost $1,316) 1,352
-------
OPTIONS -- 0.0%
December 1996 Euro$ Call Options 29 35
-------
Total Options
(Cost $18) 35
-------
Total Investments -- 106.0%
(Cost $699,563) 694,316
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (6.0%)
Investment Securities Purchased $(66,293)
Other Assets and Liabilities, Net 27,277
---------
Total Other Assets and Liabilities (39,016)
---------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 64,046,646 outstanding shares
of beneficial interest 651,594
Accumulated net realized gain
on investments 8,684
Net unrealized appreciation
on futures contracts 269
Net unrealized depreciation on investments (5,247)
--------
Total Net Assets -- 100.0% $655,300
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.23
========
(A) VARIABLE RATE SECURITY--THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT AS OF SEPTEMBER 30, 1996.
(B) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(C) SECURITIES HAVE BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(D) WHEN ISSUED SECURITY
ARM--ADJUSTABLE RATE MORTGAGE
BP--BASIS POINTS
CL--CLASS
CMO--COLLATERALIZED MORTGAGE OBLIGATION
FHMLC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LIBOR--LONDON INTER BANK OFFERING RATE
MBIA--MUNICIPAL BOND INVESTORS ASSURANCE
MTN--MEDIUM TERM NOTE
PLC--PUBLIC LIMITED COMPANY
PO--PRINCIPAL ONLY
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
RFCO--RESOLUTION TRUST FUNDING CORPORATION
RTC--RESOLUTION TRUST CORPORATION
SER--SERIES
SASCO--STRUCTURED ASSET SECURITIES CORPORATION
SBA--SMALL BUSINESS ASSOCIATION
STRIPS--SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
TBA--TO BE ANNOUNCED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
45
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
BOND PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 97.3%
U.S. Treasury Bond
7.500%, 11/15/16 $6,700 $ 7,017
U.S. Treasury Notes
6.875%, 02/28/97 6,100 6,136
6.500%, 04/30/97 2,100 2,112
5.500%, 11/15/98 4,000 3,947
5.625%, 11/30/00 2,100 2,038
5.750%, 08/15/03 5,000 4,770
6.500%, 08/15/05 2,100 2,072
-------
Total U.S. Treasury Obligations
(Cost $28,149) 28,092
-------
REPURCHASE AGREEMENT -- 0.3%
Lehman Brothers
5.270%, dated 09/30/96, matures
10/01/96, repurchase price
$68,000 (collateralized by
U. S. Treasury Note, par value
$70,000, 5.875%, 08/31/98,
market value: $70,000) 68 68
-------
Total Repurchase Agreement
(Cost $68) 68
-------
Total Investments -- 97.6%
(Cost $28,217) 28,160
-------
Other Assets and Liabilities, Net-- 2.4% 703
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
2,721,121 outstanding shares
of beneficial interest 32,998
Accumulated net realized loss on investments (4,078)
Net unrealized depreciation on investments (57)
-------
Total Net Assets-- 100.0% $28,863
=======
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $10.61
=======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
HIGH YIELD BOND PORTFOLIO
CORPORATE OBLIGATIONS -- 90.2%
A+ Network
11.875%, 11/01/05 $250 $246
Advanced Micro Devices
11.000%, 08/01/03 500 519
Airplanes Pass Through Trust
10.875%, 03/15/19 300 323
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- -------------------------------------------------------------------------------
AK Steel
10.750%, 04/01/04 $100 $109
Algoma Steel First Mortgage
12.375%, 07/15/05 500 524
Allbritton Communications
9.750%, 11/30/07 500 485
Alpine Group
12.250%, 07/15/03 700 735
Alvey Systems
11.375%, 01/31/03 400 418
American Communication
Services (B)
0.000%, 11/01/05 600 339
American Pad & Paper
13.000%, 11/15/05 162 186
American Restaurant Series 92
13.000%, 09/15/98 239 218
American Restaurant Series 93
13.000%, 09/15/98 44 40
American Skiing (A)
12.000%, 07/15/06 450 446
American Telecasting (B)
0.000%, 06/15/04 250 186
AMF Group
10.875%, 03/15/06 300 308
Arch Communications Group (B)
0.000%, 03/15/08 500 285
Argosy Gaming (A)
13.250%, 06/01/04 550 551
Argyle Television
9.750%, 11/01/05 250 250
Armco
11.375%, 10/15/99 100 105
Bally's Casino
0.000%, 06/15/98 500 443
Bally's Park Place
9.250%, 03/15/04 200 215
Barry's Jewelers
11.000%, 12/22/00 400 358
Bayou Steel
10.250%, 03/01/01 100 98
Bell Cablemedia (B)
0.000%, 07/15/04 450 346
Berry Plastics (A), PIK
12.500%, 06/15/06 750 783
Beverly Enterprises
9.000%, 02/15/06 700 679
Big V Supermarkets
11.000%, 02/15/04 75 72
Brooks Fiber Properties (B)
0.000%, 03/01/06 450 279
Brylane
10.000%, 09/01/03 400 407
Buckeye Cellulose
9.250%, 09/15/08 1,000 1,015
46
<PAGE>
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Building Materials (B)
0.000%, 07/01/04 $ 400 $ 322
Cablevision Systems
9.250%, 11/01/05 250 242
9.875%, 02/15/13 300 288
CAI Wireless System
12.250%, 09/15/02 500 520
Casino America
12.500%, 08/01/03 700 730
Casino Magic Financing
11.500%, 10/15/01 500 485
Casino Magic (A)
13.000%, 08/15/03 150 153
Cencall Communication (B)
0.000%, 01/15/04 100 66
Century Communications
9.750%, 02/15/02 250 255
CF Cable Television
11.625%, 02/15/05 50 56
Chancellor Broadcasting
9.375%, 10/01/04 400 399
Charter Communications South East
11.250%, 03/15/06 500 511
Clearnet Communications (B)
0.000%, 12/15/05 650 400
Cliffs Drilling
10.250%, 05/15/03 400 416
Coast Hotels & Casino
13.000%, 12/15/02 500 539
Collins & Aikman Products
11.500%, 04/15/06 800 843
Comcast UK Cable (B)
0.000%, 11/15/07 500 317
Comcast
9.375%, 05/15/05 150 153
9.125%, 10/15/06 250 248
9.500%, 01/15/08 50 51
Commodore Media (B)
7.500%, 05/01/03 100 103
Commonwealth Aluminum (A)
10.750%, 10/01/06 500 513
Container
9.750%, 04/01/03 550 561
Coty
10.250%, 05/01/05 100 107
County Seat Stores
12.000%, 10/01/02 100 23
Crown Packaging Enterprises (A) (B)
0.000%, 08/01/06 775 310
Crown Packaging Holdings (B)
0.000%, 11/01/03 300 117
Crown Paper
11.000%, 09/01/05 900 898
Dade International (A)
11.125%, 05/01/06 500 530
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Dairy Mart Convenience Stores
10.250%, 03/15/04 $ 500 $ 481
Day International Group
11.125%, 06/01/05 200 206
Delaware County Remy (A)
10.625%, 08/01/06 550 569
Dial Call Communications (B)
0.000%, 04/15/04 400 271
Diamond Cable Communication (B)
0.000%, 09/30/04 300 229
0.000%, 12/15/05 350 227
Diva Systems (A) (B)
0.000%, 05/15/06 1,025 548
Duane Reade
12.000%, 09/15/02 250 240
E & S Holdings (A)
10.375%, 10/01/06 500 511
Echostar Satellite Broadcast (B)
0.000%, 03/15/04 600 414
Eldorado Resorts (A)
10.500%, 08/15/06 500 516
Euramax International PC (A)
11.250%, 10/01/06 750 770
Exide Electronics
11.500%, 03/15/06 250 262
Falcon Holding Group PIK
11.000%, 09/15/03 457 425
Farm Fresh, Ser A
12.250%, 10/01/00 200 156
Farm Fresh
12.250%, 10/01/00 300 234
Flores & Rucks
9.750%, 10/01/06 650 661
Florida Coast Paper (A)
12.750%, 06/01/03 400 433
Fonorola
12.500%, 08/15/02 300 327
Fort Howard
9.000%, 02/01/06 350 348
Four M (A)
12.000%, 06/01/06 500 534
Fresh del Monte Produce
10.000%, 05/01/03 500 476
G-I Holdings
0.000%, 10/01/98 218 190
Gaylord Container (B)
12.750%, 05/15/05 450 492
Gaylord Container
11.500%, 05/15/01 50 53
General Media
10.625%, 12/31/00 100 76
Geotek Communications
12.000%, 12/15/01 400 410
GNF
10.625%, 04/01/03 400 437
47
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
HIGH YIELD BOND PORTFOLIO
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
GPA Delaware
8.750%, 12/15/98 $ 500 $ 501
Granite Broadcasting
9.375%, 12/01/05 500 481
Gray Communications System
10.625%, 10/01/06 750 773
Great Bay Property Funding
10.875%, 01/15/04 505 449
Great Lakes Carbon
10.000%, 01/01/06 250 256
Groupe Videotron
10.625%, 02/15/05 100 108
GS Technologies
12.000%, 09/01/04 100 105
GST Telecommunications
Convertible (A) (B)
0.000%, 12/15/05 70 60
GST USA Guarantee (B)
0.000%, 12/15/05 560 314
Guitar Center Management (A)
11.000%, 07/01/06 500 522
Gulf Canada Resources Ltd
9.250%, 01/15/04 500 513
Harris Chemical (B)
10.250%, 07/15/01 400 409
Harvard Industries
11.125%, 08/01/05 600 566
Harvey Casinos Resorts
10.625%, 06/01/06 500 520
Hayes Wheels International
11.000%, 07/15/06 750 791
Haynes International
11.625%, 09/01/04 750 773
Helicon Group (B)
9.000%, 11/01/03 400 402
Herff Jones
11.000%, 08/15/05 150 158
Hills Stores
12.500%, 07/01/03 500 449
Hines Horticulture
11.750%, 10/15/05 75 77
HMC Acquisition Properties
9.000%, 12/15/07 500 472
Homeside (A)
11.250%, 05/15/03 500 543
Hyperion Telecommunication (B)
0.000%, 04/15/03 1,000 582
Imax (B)
7.000%, 03/01/01 100 99
In-Flight Phone (B)
0.000%, 05/15/02 200 74
Integrated Health Services (A)
10.250%, 04/30/06 250 258
Integrated Health Services
9.625%, 05/31/02 250 254
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Intelcom Group (A) (B)
0.000%, 05/01/06 $ 400 $ 248
Intelcom Group (B)
0.000%, 09/15/05 350 224
Interlake
12.125%, 03/01/02 200 207
Intermedia Capital Partners
Senior Notes (A)
11.250%, 08/01/06 750 779
Intermedia Communications
of Florida (B)
0.000%, 05/15/06 500 313
International Cabletel (B)
0.000%, 04/15/05 400 274
0.000%, 02/01/06 500 299
International Wire Group
11.750%, 06/01/05 750 788
Ivac
9.250%, 12/01/02 250 253
Jitney-Jungle Stores
12.000%, 03/01/06 500 530
Jones Intercable
9.625%, 03/15/02 100 104
Jordan Industries
10.375%, 08/01/03 750 737
JPS Automotive Products
11.125%, 06/15/01 100 103
K & F Industries (A)
10.375%, 09/01/04 500 510
Kasier Aluminum & Chemical
12.750%, 02/01/03 500 543
Keebler (A)
10.750%, 07/01/06 500 531
Kelley Oil & Gas
13.500%, 06/15/99 400 448
Knoll
10.875%, 03/15/06 400 424
Laroche Industries
13.000%, 08/15/04 250 270
Lenfest Communications (A)
10.500%, 06/15/06 700 723
Majestic Star Casino (A)
12.750%, 05/15/03 500 549
Marcus Cable (B)
0.000%, 08/01/04 400 311
0.000%, 12/15/05 500 341
Marvel III Holdings, Ser B
9.125%, 02/15/98 250 233
Maxus Energy
9.875%, 10/15/02 250 252
9.375%, 11/01/03 250 250
Merit Behavioral Care
11.500%, 11/15/05 250 263
48
<PAGE>
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Mesa Operating Company
Guarantee (B)
0.000%, 07/01/06 $ 900 $ 582
Metrocall
10.375%, 10/01/07 750 637
MFS Communications (B)
0.000%, 01/15/04 350 294
Mobile Telecommunications
Technologies
13.500%, 12/15/02 500 526
Mobilemedia
9.375%, 11/01/07 250 202
Mohegan Tribal Gaming
13.500%, 11/15/02 750 942
Monarch Marking Systems
12.500%, 07/01/03 200 213
Moog
10.000%, 05/01/06 500 508
Motor Coach Industries (A)
0.000%, 11/15/02 900 715
MVE
12.500%, 02/15/02 100 105
Nextel Communications (B)
0.000%, 08/15/04 600 390
Nextlink Communications
12.500%, 04/15/06 500 517
NL Industries (B)
0.000%, 10/15/05 200 170
NL Industries
11.750%, 10/15/03 700 738
Noble Drilling
9.125%, 07/01/06 600 618
Nuevo Energy
9.500%, 04/15/06 400 411
NWCG Holding
0.000%, 06/15/99 750 604
Orbcomm Global (A)
14.000%, 08/15/04 600 616
Owens & Minor
10.875%, 06/01/06 500 522
Packaging Resources Senior Notes
11.625% 05/01/03 500 511
Pagemart Nationwide (B)
0.000%, 02/01/05 750 512
Paging Network
10.125%, 08/01/07 200 207
Paracelsus Healthcare
10.000%, 08/15/06 500 514
Parisian
9.875%, 07/15/03 500 496
Park Broadcasting (A)
11.750%, 05/15/04 500 572
Park Newspapers (A)
11.875%, 05/15/04 500 572
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Pathmark Stores (B)
0.000%, 11/01/03 $ 550 $ 373
Pathmark Stores
11.625%, 06/15/02 600 618
Paxson Communications
11.625%, 10/01/02 250 264
Peoples Telephone
12.250%, 07/15/02 300 310
Petersburg Long Distance (A)
9.000%, 06/01/06 90 108
Pierce Leahy (A)
11.125%, 07/15/06 600 639
Pioneer Americas Acquisition
13.375%, 04/01/05 200 219
Plantronics
10.000%, 01/15/01 175 177
Portola Packaging
10.750%, 10/01/05 200 211
Pricellular Wireless (B)
0.000%, 10/01/03 500 398
Printpack (A)
10.625%, 08/15/06 500 514
Realtime Data (A) (B)
0.000%, 08/15/06 1,000 540
Red Roof Inns
9.625%, 12/15/03 450 431
Regency Health Services (A)
12.250%, 07/15/03 250 262
Regency Health Services
9.875%, 10/15/02 250 252
Remington Product (A)
11.000%, 05/15/06 325 331
Renco Metals
11.500%, 07/01/03 750 787
Repap Wisconsin
9.875%, 05/01/06 100 98
Republic Engineered Steel
9.875%, 12/15/01 500 482
Resorts International Mortgage
11.000%, 09/15/03 400 421
Revlon Consumer Products, Ser B
10.500%, 02/15/03 100 104
Revlon Consumer Products
9.375%, 04/01/01 250 254
Revlon Worldwide
0.000%, 03/15/98 1,000 881
Rexene
11.750%, 12/01/04 250 274
Rifkin Acquisition Partners
11.125%, 01/15/06 500 515
Rio Hotel & Casino
10.625%, 07/15/05 250 263
Rogers Cantel
9.375%, 06/01/08 500 492
49
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
HIGH YIELD BOND PORTFOLIO
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------------------------
Rogers Communications
9.125%, 01/15/06 $ 400 $ 379
Royal Oak Mines (A)
11.000%, 08/15/06 750 760
Santa Fe Energy Resource
11.000%, 05/15/04 50 56
Santa Fe Hotel
11.000%, 12/15/00 90 62
SCI Television
11.000%, 06/30/05 50 53
Sea Containers
10.500%, 07/01/03 750 765
SFX Broadcasting
10.750%, 05/15/06 600 627
Shop Vac (A)
10.625%, 09/01/03 750 771
Showboat Marina
13.500%, 03/15/03 250 272
Showboat
9.250%, 05/01/08 750 752
Sinclair Broadcast Group
10.000%, 09/30/05 500 506
Specialty Equipment
11.375%, 12/01/03 500 536
Speedy Muffler King, Inc.
10.875%, 10/01/06 750 774
Sprint Spectrum LP
11.000%, 08/15/06 750 778
Station Casinos
9.625%, 06/01/03 150 145
Stone Consolidated
10.250%, 12/15/00 200 210
Stone Container (A)
11.500%, 08/15/06 1,000 1,020
Synthetic Industries
12.750%, 12/01/02 150 162
Teleport Communications (B)
0.000%, 07/01/07 500 321
Teleport Communications
9.875%, 07/01/06 500 515
Telewest Communications (B)
0.000%, 10/01/07 700 448
Telewest Communications
9.625%, 10/01/06 150 149
Tokheim
11.500%, 08/01/06 500 520
Tracor
10.875%, 08/15/01 50 53
Transtexas Gas
11.500%, 06/15/02 500 530
Trump Atlantic City
11.250%, 05/01/06 600 592
Trump Castle Funding
11.750%, 11/15/03 750 767
- -------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)/SHARES VALUE (000)
- -------------------------------------------------------------------------------
Twin Labs (A)
10.250%, 05/15/06 $ 500 $ 505
UCC Investors
11.000%, 05/01/03 50 53
UIH Australia/Pacific (B)
0.000%, 05/15/06 750 396
Unisys
12.000%, 04/15/03 550 571
United International Holding
0.000%, 11/15/99 1,100 764
United Meridian
10.375%, 10/15/05 250 267
Universal Health Services
8.750%, 08/15/05 250 252
US Air
10.000%, 07/01/03 750 706
Van de Kamps
12.000%, 09/15/05 250 274
Vanguard Cellular System
9.375%, 04/15/06 500 499
Venture Holdings Trust
9.750%, 04/01/04 195 170
Videotron Holdings (B)
0.000%, 08/15/05 400 267
Viridian
10.500%, 03/31/14 150 167
Waban
11.000%, 05/15/04 350 367
Waxman Industries (B)
0.000%, 06/01/04 600 427
WCI Steel
10.500%, 03/01/02 250 274
Weirton Steel (A)
11.375%, 07/01/04 1,000 1,001
Western Wireless
10.500%, 06/01/06 500 511
Winstar Communications (A)(B)
0.000%, 10/15/05 175 99
Winstar Communications (B)
0.000%, 10/15/05 350 192
Wireless One
13.000%, 10/15/03 250 261
Wyndham Hotels
10.500%, 05/15/06 500 519
Young Broadcasting
9.000%, 01/15/06 400 376
-------
Total Corporate Obligations
(Cost $93,981) 96,989
-------
UNITS -- 3.5%
Australis Media 1 Unit = 1 senior
subordinate discount note +
1 warrant (B)
0.000%, 05/15/03 400 224
50
<PAGE>
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Cellular Communications 1 Unit =
1 senior discount note +
1 warrant (B)
0.000%, 08/15/00 $ 500 $ 315
CS Wireless Systems 1 Unit =
4 senior discount notes +
1.1 shares common stock (A) (B)
0.000%, 03/01/06 300 147
Health O Meter 1 Unit = 1 senior
subordinate note + 1 warrant
13.000%, 08/15/02 500 543
Interact Systems 1 Unit = 1 senior
discount note + 1 warrant (A) (B)
0.000%, 08/01/03 700 480
Intercel 1 Unit = 10 senior discount
notes + 32 warrants (B)
0.000%, 02/01/06 550 325
People's Choice TV 1 Unit = 1 senior
discount note + 1 warrant (B)
0.000%, 06/01/04 400 247
Petersburg Long Distance 1 Unit =
1 senior subordinate note +
1 warrant (A)(B)
0.000%, 06/01/04 630 510
RSL Communications 1 Unit =
1 senior discount note +
1 warrant (A)
12.250%, 11/15/06 775 775
Wireless One 1 Unit = 1 senior
discount note + 1 warrant (B)
0.000%, 08/01/06 250 131
-------
Total Units
(Cost $3,584) 3,697
-------
PREFERRED STOCKS -- 2.0%
Diva Systems Ser C 41,615 364
GPA Group PLC (A)* 750,000 293
Renaissance Cosmetics PIK (A) 5,000 505
SD Warren Ser B* 20,000 700
Silgan Holdings (A)* 3,000 319
-------
Total Preferred Stocks
(Cost $2,111) 2,181
-------
U.S. GOVERNMENT AGENCY OBLIGATION -- 4.2%
FHLMC Discount Note
5.170%, 10/01/96 4,500 4,500
-------
Total U.S. Government Agency Obligation
(Cost $4,357) 4,500
-------
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
WARRANTS -- 0.4%
American Communication Services* 500 $ 45
Commodore Media* 100 13
Dairy Mart Convenience Stores* 1,334 4
Intelcom Group* 1,155 14
K-III Communications 4,000 375
MVE* 100 3
Wireless One* 750 5
Wright Medical Technology* 20 3
--------
Total Warrants
(Cost $449) 462
--------
Total Investments--100.3%
(Cost $104,482) 107,829
--------
Other Assets and Liabilities, Net-- (0.3%) (284)
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
9,655,470 outstanding shares
of beneficial interest 103,725
Accumulated net realized gain on investments 473
Net unrealized appreciation on investments 3,347
--------
Total Net Assets-- 100.0% $107,545
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $11.14
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(B) STEP BOND--THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE RATE IN
EFFECT ON SEPTEMBER 30, 1996. THE INITIAL COUPON ON A STEP BOND CHANGES ON
A SPECIFIC DATE, TO A PREDETERMINED HIGHER RATE.
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
PIK--PAYMENT IN KIND
PLC--PUBLIC LIMITED COMPANY
SER--SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
51
<PAGE>
STATEMENT OF OPERATIONS (000)
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE YEAR ENDED SEPTEMBER 30, 1996
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
-------------- -------------- --------------- --------------
LARGE CAP LARGE CAP SMALL CAP SMALL CAP
VALUE GROWTH VALUE GROWTH
-------------- -------------- --------------- --------------
INVESTMENT INCOME:
Dividends $13,330 $ 4,539 $ 1,295 $ 344
Interest Income 985 1,040 507 1,159
------- ------- ------- ------
Total Investment Income 14,315 5,579 1,802 1,503
------- ------- ------- ------
EXPENSES:
Management Fees 1,598 1,484 501 1,129
Waiver of Management Fees -- -- (11) (27)
Investment Advisory Fees 1,598 1,696 930 2,098
Waiver of Investment Advisory Fees -- (198) -- --
Custodian/Wire Agent Fees 88 74 27 60
Transfer Agent Fees (1) -- -- -- 2
Professional Fees 53 39 17 36
Registration Fees 28 17 6 35
Printing Expense 29 22 16 31
Trustee Fees 20 12 6 14
Insurance Expense 3 2 4 4
Pricing Fees 12 8 4 9
Distribution Fees 317 290 55 117
Distribution Fees-- Class D (1) -- -- -- 3
Amortization of Deferred
Organizational Costs -- 15 16 17
Other Expenses 39 24 12 30
------- ------- ------- ------
Total Expenses 3,785 3,485 1,583 3,558
------- ------- ------- ------
NET INVESTMENT INCOME (LOSS) 10,530 2,094 219 (2,055)
------- ------- ------- ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net Realized Gain from Security
Transactions 36,089 29,682 13,236 86,348
Net Realized Gain (Loss) from Futures
Contracts 1,222 48 541 1,345
Net Gain (Loss) from In-Kind
Redemptions 19,956 19,428 2,887 6,923
Net Gain on Closed Short Positions
in Securities -- -- -- --
Net Change in Unrealized
Appreciation (Depreciation) on
Investments 4,879 27,983 190 (11,662)
------- ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $72,676 $79,235 $17,073 $80,899
======= ======= ======= =======
---------- ------------- ---------- ----------- ----------- ------- -----------
CAPITAL EQUITY CORE FIXED HIGH YIELD
MID-CAP APPRECIATION INCOME BALANCED INCOME BOND BOND
---------- ------------- --------- ----------- ----------- ------ -----------
INVESTMENT INCOME:
Dividends $ 438 $ 4,315 $ 8,655 $ 624 $ -- $ -- $ 22
Interest Income 65 1,072 318 1,794 37,168 2,704 5,694
------ ------- ------- ------ ------- ------ ------
Total Investment Income 503 5,387 8,973 2,418 37,168 2,704 5,716
EXPENSES:
Management Fees 86 926 820 226 1,605 121 202
Waiver of Management Fees (28) (28) (40) (55) (339) (57) (42)
Investment Advisory Fees 98 1,058 937 259 1,424 119 282
Waiver of Investment Advisory Fees -- (25) (22) (6) -- -- --
Custodian/Wire Agent Fees 5 50 45 12 121 9 13
Transfer Agent Fees (1) -- 1 3 -- -- -- --
Professional Fees 3 29 27 7 66 6 8
Registration Fees 7 58 38 8 45 13 1
Printing Expense 8 46 33 13 53 21 5
Trustee Fees 1 12 11 3 25 2 3
Insurance Expense 1 10 7 1 7 2 2
Pricing Fees 1 6 6 1 16 1 2
Distribution Fees 1 56 64 10 60 5 4
Distribution Fees-- Class D (1) -- 1 5 -- -- -- --
Amortization of Deferred
Organizational Costs 2 -- -- -- -- -- 16
Other Expenses 4 25 23 6 50 4 5
------ ------- ------- ------ ------- ------ ------
Total Expenses 189 2,225 1,957 485 3,133 246 501
------ ------- ------- ------ ------- ------ ------
NET INVESTMENT INCOME (LOSS) 314 3,162 7,016 1,933 34,035 2,458 5,215
------ ------- ------- ------ ------- ------ ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net Realized Gain from Security
Transactions 2,538 56,760 36,821 8,223 6,344 2,616 484
Net Realized Gain (Loss) from
Futures Contracts -- 1,080 660 -- (1,917) -- --
Net Gain (Loss) from In-Kind
Redemptions -- -- -- -- (2,416) -- --
Net Gain on Closed Short Positions
in Securities -- -- -- -- 5,559 -- --
Net Change in Unrealized
Appreciation (Depreciation) on
Investments 703 (7,355) (5,951) (922) (18,923) (3,365) 2,983
------ ------- ------- ------ ------- ------ ------
NET INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS $3,555 $53,647 $38,546 $ 9,234 $22,682 $1,709 $8,682
====== ======= ======= ======= ======= ====== ======
<FN>
(1) FEES ARE INCURRED AT THE CLASS D LEVEL ONLY.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
52&53
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
===============================================================================
SEI INSTITUTIONAL MANAGED TRUST
<TABLE>
<CAPTION>
----------------------- --------------------------- ------------------------
LARGE CAP LARGE CAP SMALL CAP
VALUE GROWTH VALUE
----------------------- -------------------------- ------------------------
10/1/95- 10/1/94- 10/1/95- 12/20/94(1)- 10/1/95- 12/20/94(1)-
9/30/96 9/30/95 9/30/96 9/30/95 9/30/96 9/30/95
---------- --------- ---------- ------------ ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 10,530 $ 5,769 $ 2,094 $ 1,463 $ 219 $ 118
Net Realized Gain (Loss) from
Security Transactions 57,267 8,976 49,158 5,582 16,664 1,807
Net Change in Unrealized
Appreciation (Depreciation)
of Investments 4,879 39,363 27,983 33,531 190 10,864
---------- --------- --------- --------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations 72,676 54,108 79,235 40,576 17,073 12,789
---------- --------- ---------- --------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Class A (8,234) (5,593) (2,207) (860) (84) (146)
Class D -- -- -- -- -- --
Net Realized Gains
Class A (8,350) (1,783) (5,917) -- (3,268) --
Class D -- -- -- -- -- --
--------- ------------ -------- --------- ---------- ---------
Total Distributions (16,584) (7,376) (8,124) (860) (3,352) (146)
--------- ------------ -------- --------- ---------- ---------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 336,634 244,446 335,867 283,750 116,387 105,041
Shares Issued in Lieu of Cash
Distributions 12,320 4,571 6,421 633 2,567 100
Shares Redeemed (221,727) (97,235) (228,697) (26,722) (72,473) (14,809)
---------- ----------- --------- ---------- --------- -----------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 127,227 151,782 113,591 257,661 46,481 90,332
--------- ---------- --------- ---------- --------- -----------
Class D:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of Cash
Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
--------- ---------- --------- ----------- --------- -----------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions -- -- -- -- -- --
--------- ------------ --------- ----------- --------- ------------
Increase (Decrease) in Net
Assets Derived from
Capital Share
Transactions 127,227 151,782 113,591 257,661 46,481 90,332
---------- ------------ --------- ----------- --------- ------------
Net Increase (Decrease)
in Net Assets 183,319 198,514 184,702 297,377 60,202 102,975
---------- ----------- --------- ----------- --------- ------------
NET ASSETS:
Beginning of Period 331,692 133,178 297,377 -- 102,975 --
---------- ----------- -------- ----------- --------- ------------
End of Period $ 515,011 $ 331,692 $482,079 $297,377 $163,177 $102,975
========== =========== ======== =========== ========= ============
Class A:
Shares Issued 24,060 21,273 24,470 25,564 9,497 9,750
Shares Issued in Lieu of
Cash Distributions 900 407 484 56 222 9
Shares Redeemed (15,627) (8,608) (16,217) (2,287) (5,772) (1,314)
========== =========== ======== =========== ========= ============
Total Class A Transactions 9,333 13,072 8,737 23,333 3,947 8,445
Class D:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
---------- ------------ -------- ---------- --------- ------------
Total Class D Transactions -- -- -- -- -- --
========== ============ ======== ========== ========= ============
Undistributed Net
Investment Income (Loss) $ 2,752 $ 456 $ 490 $ 603 $ 107 $ (28)
========== ============ ======== ========== ========= ============
</TABLE>
<TABLE>
<CAPTION>
----------------------- ---------------------------
SMALL CAP
GROWTH MID-CAP
----------------------- --------------------------
10/1/95- 10/1/94- 10/1/95- 12/20/94-
9/30/96 9/30/95 9/30/96 9/30/95
---------- --------- ---------- ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ (2,055) $ (1,713) $ 314 $ 21
Net Realized Gain (Loss) from
Security Transactions 94,616 60,571 2,538 6,416
Net Change in Unrealized
Appreciation (Depreciation)
of Investments (11,662) 43,577 703 (3,370)
---------- --------- --------- ---------
Net Increase (Decrease) in Net
Assets from Operations 80,899 102,435 3,555 3,067
---------- --------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Class A -- -- (265) --
Class D -- -- -- --
Net Realized Gains
Class A (55,473) (95) -- (28)
Class D (169) -- -- --
---------- --------- --------- ---------
Total Distributions (55,642) (95) (265) (28)
---------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 181,315 325,142 11,967 40,217
Shares Issued in Lieu of Cash
Distributions 36,973 64 158 15
Shares Redeemed (173,127) (417,431) (18,394) (123,357)
---------- --------- --------- ---------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 45,161 (92,225) (6,269) (83,125)
---------- --------- -------- ---------
Class D:
Shares Issued 1,397 471 -- 30
Shares Issued in Lieu of Cash
Distributions 146 -- -- --
Shares Redeemed (634) (29) (73) --
---------- --------- -------- ---------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions 909 442 (73) 30
---------- --------- -------- ---------
Increase (Decrease) in Net
Assets Derived from
Capital Share
Transactions 46,070 (91,783) (6,342) (83,095)
---------- --------- -------- ---------
Net Increase (Decrease)
in Net Assets 71,327 10,557 (3,052) (80,056)
---------- --------- -------- ---------
NET ASSETS:
Beginning of Period 311,024 300,467 28,006 108,062
---------- --------- -------- ---------
End of Period $ 382,351 $ 311,024 $ 24,954 $ 28,006
========== ========= ======== =========
Class A:
Shares Issued 9,925 21,497 904 3,757
Shares Issued in Lieu of
Cash Distributions 2,292 5 12 1
Shares Redeemed (9,271) (27,282) (1,391) (11,538)
========== ========= ======== =========
Total Class A Transactions 2,946 (5,780) (475) (7,780)
Class D:
Shares Issued 75 29 -- 3
Shares Issued in Lieu of
Cash Distributions 9 -- -- --
Shares Redeemed (34) (1) (5) --
---------- --------- -------- ----------
Total Class D Transactions 50 28 (5) 3
========== ========== ======== ==========
Undistributed Net
Investment Income (Loss) $ -- $ (283) $ 67 $ 18
========== ========== ======== ==========
<FN>
(1) Commencement of operations
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
54
<PAGE>
<TABLE>
<CAPTION>
------------------- ------------------- ------------------- -------------------
CAPITAL EQUITY CORE FIXED
APPRECIATION INCOME BALANCED INCOME
------------------- ------------------- ------------------- -------------------
10/1/95- 10/1/94- 10/1/95- 10/1/94- 10/1/95- 10/1/94- 10/1/95- 10/1/94-
9/30/96 9/30/95 9/30/96 9/30/95 9/30/96 9/30/95 9/30/96 9/30/95
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 3,162 $ 6,557 $ 7,016 $ 11,811 $ 1,933 $ 1,979 $ 34,035 $ 25,034
Net Realized Gain (Loss) from
Security Transactions 57,840 22,785 37,481 21,863 8,223 1,528 7,570 9,892
Net Change in Unrealized
Appreciation (Depreciation)
of Investments (7,355) 33,283 (5,951) 25,307 (922) 6,199 (18,923) 23,651
-------- -------- -------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations 53,647 62,625 38,546 58,981 9,234 9,706 22,682 58,577
-------- -------- -------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Class A (2,737) (7,592) (6,148) (12,234) (1,656) (1,951) (36,189) (24,852)
Class D (3) (12) (41) (41) -- -- (8) (7)
Net Realized Gains
Class A (29,520) (38,179) (28,137) (12,863) (1,716) (568) -- (63)
Class D (91) (97) (254) (31) -- -- -- --
-------- -------- -------- -------- -------- -------- -------- --------
Total Distributions (32,351) (45,880) (34,580) (25,169) (3,372) (2,519) (36,197) (24,922)
-------- -------- -------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 50,143 114,358 69,550 112,061 16,421 22,864 472,189 287,210
Shares Issued in Lieu of Cash
Distributions 18,957 26,031 9,470 11,371 3,265 2,383 23,028 10,246
Shares Redeemed (165,075) (575,444) (131,146) (324,628) (38,097) (27,450) (246,431) (223,096)
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions (95,975) (435,055) (52,126) (201,196) (18,411) (2,203) 248,786 74,360
-------- -------- -------- -------- -------- -------- -------- --------
Class D:
Shares Issued 16 530 4,144 1,342 -- -- 6 151
Shares Issued in Lieu of Cash
Distributions 74 31 267 61 -- -- 4 3
Shares Redeemed (523) (1,840) (6,340) (206) -- -- (149) --
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions (433) (1,279) (1,929) 1,197 -- -- (139) 154
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Capital Share
Transactions (96,408) (436,334) (54,055) (199,999) (18,411) (2,203) 248,647 74,514
-------- -------- -------- -------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Assets (75,112) (419,589) (50,089) (166,187) (12,549) 4,984 235,132 108,169
-------- -------- -------- -------- -------- -------- -------- --------
NET ASSETS:
Beginning of Period 311,693 731,282 252,912 419,099 70,464 65,480 420,168 311,999
-------- -------- -------- -------- -------- -------- -------- --------
End of Period $236,581 $311,693 $202,823 $252,912 $ 57,915 $ 70,464 $655,300 $420,168
======== ======== ======== ======== ======== ======== ======== ========
Class A:
Shares Issued
Shares Issued in Lieu of 2,969 7,758 4,398 7,800 1,240 1,979 45,721 29,084
Cash Distributions
Shares Redeemed 1,203 1,904 620 837 251 207 2,232 1,025
(9,773) (39,064) (8,272) (22,794) (2,861) (2,346) (24,048) (22,285)
-------- -------- -------- -------- -------- -------- -------- --------
(5,601) (29,402) (3,254) (14,157) (1,370) (160) 23,905 7,824
======== ======== ======== ======== ======== ======== ======== ========
Class D:
Shares Issued
Shares Issued in Lieu of 1 35 273 91 -- -- 1 15
Cash Distributions
Shares Redeemed 5 2 17 4 -- -- -- --
(31) (128) (404) (15) -- -- (14) --
-------- -------- -------- -------- -------- -------- -------- --------
Total Class D Transactions (25) (91) (114) 80 -- -- (13) 15
======== ======== ======== ======== ======== ======== ======== ========
Undistributed Net
Investment Income (Loss) $ 716 $ 294 $ 1,438 $ 611 $ 453 $ 176 $ -- $ 2,162
======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
------------------- ---------------------
HIGH YIELD
BOND BOND
------------------- ---------------------
10/1/95- 10/1/94- 10/1/95- 1/11/95(1)-
9/30/96 9/30/95 9/30/96 9/30/95
-------- -------- -------- --------
<S> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 2,458 $ 5,526 $ 5,215 $ 971
Net Realized Gain (Loss) from
Security Transactions 2,616 (6,522) 484 81
Net Change in Unrealized
Appreciation (Depreciation)
of Investments (3,365) 13,663 2,983 364
-------- -------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations 1,709 12,667 8,682 1,416
-------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Class A (2,732) (5,869) (5,405) (781)
Class D (5) (7) -- --
Net Realized Gains
Class A -- (876) (92) --
Class D -- (1) -- --
-------- -------- -------- --------
Total Distributions (2,737) (6,753) (5,497) (781)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 10,939 39,415 85,242 23,824
Shares Issued in Lieu of
Cash Distributions 1,312 3,304 5,127 755
Shares Redeemed (36,711) (117,666) (9,733) (1,490)
-------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions (24,460) (74,947) 80,636 23,089
-------- -------- -------- --------
Class D:
Shares Issued -- 32 -- --
Shares Issued in Lieu of Cash
Distributions 2 4 -- --
Shares Redeemed (58) (31) -- --
-------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions (56) 5 -- --
-------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Capital Share
Transactions (24,516) (74,942) 80,636 23,089
-------- -------- -------- --------
Net Increase (Decrease)
in Net Assets (25,544) (69,028) 83,821 23,724
-------- -------- -------- --------
NET ASSETS:
Beginning of Period 54,407 123,435 23,724 --
-------- -------- -------- --------
End of Period $ 28,863 $ 54,407 $107,545 $ 23,724
======== ======== ======== ========
Class A:
Shares Issued
Shares Issued in Lieu of 1,007 3,914 7,848 2,297
Cash Distributions
Shares Redeemed 121 328 471 72
(3,411) (11,635) (892) (140)
-------- -------- -------- --------
(2,283) (7,393) 7,427 2,229
======== ======== ======== ========
Class D:
Shares Issued
Shares Issued in Lieu of -- 3 -- --
Cash Distributions
Shares Redeemed -- -- -- --
(5) (3) -- --
-------- -------- -------- --------
Total Class D Transactions (5) -- -- --
======== ======== ======== ========
Undistributed Net
Investment Income (Loss) $ -- $ 279 $ -- $ 190
======== ======== ======== ========
</TABLE>
55
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE PERIODS ENDED SEPTEMBER 30
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET NET UNREALIZED DIVIDENDS FROM
VALUE, INVESTMENT GAINS FROM NET REALIZED NET ASSET NET ASSETS
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------
LARGE CAP VALUE PORTFOLIO
- -------------------------
CLASS A
1996 $13.00 $ 0.32 $2.01 $(0.26) $(0.29) $14.78 18.33% $515,011
1995 10.71 0.33 2.44 (0.33) (0.15) 13.00 26.83% 331,692
1994 11.54 0.28 (0.46) (0.27) (0.38) 10.71 (1.64)% 133,178
1993 12.49 0.31 0.22 (0.33) (1.15) 11.54 4.35% 205,157
1992 12.05 0.34 0.71 (0.33) (0.28) 12.49 9.17% 242,065
- --------------------------
LARGE CAP GROWTH PORTFOLIO
- --------------------------
1996 $12.75 $ 0.07 $2.51 $(0.08) $(0.22) $15.03 20.59% $482,079
1995(9) 10.00 0.11 2.72 (0.08) -- 12.75 37.90% 297,377
- -------------------------
SMALL CAP VALUE PORTFOLIO
- -------------------------
1996 $12.19 $ 0.02 $1.27 $(0.01) $(0.30) $13.17 10.86% $163,177
1995(10) 10.00 0.03 2.19 (0.03) -- 12.19 29.38% 102,975
- --------------------------
SMALL CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1996 $19.88 $(0.08) $4.37 $ -- $(3.66) $20.51 26.56% $380,525
1995 14.04 (0.14) 5.98 -- -- 19.88 41.65% 310,238
1994 14.67 (0.05) 0.07 -- (0.65) 14.04 0.23% 300,296
1993 10.65 (0.02) 4.05 (0.01) -- 14.67 37.81% 193,816
1992(4) 10.00 0.02 0.65 (0.02) -- 10.65 15.07% 36,191
CLASS D
1996 $19.78 $(0.07) $4.24 $ -- $(3.66) $20.29 26.01%* $ 1,826
1995 13.99 (0.09) 5.88 -- -- 19.78 41.44%* 786
1994(7) 14.04 (0.02) (0.03) -- -- 13.99 (3.02)%* 171
- -----------------
MID-CAP PORTFOLIO
- -----------------
CLASS A
1996 $13.04 $ 0.18 $1.89 $(0.15) $ -- $14.96 16.03% $ 24,954
1995 10.89 0.01 2.14 -- -- 13.04 19.78% 27,898
1994 12.10 0.01 (0.98) (0.01) (0.23) 10.89 (8.10)% 108,002
1993(3) 10.00 0.01 2.10 (0.01) -- 12.10 34.06% 57,669
CLASS D
1996** $12.96 $ 0.14 $1.07 $(0.03) $ -- $14.14 9.31%* $ --
1995 10.87 (0.01) 2.10 -- -- 12.96 19.26%* 108
1994(6) 11.19 (0.01) (0.31) -- -- 10.87 (8.63)%* 60
- ------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ------------------------------
CLASS A
1996 $16.70 $ 0.20 $3.18 $(0.17) $(1.77) $18.14 22.14% $236,581
1995 15.18 0.22 2.42 (0.23) (0.89) 16.70 19.03% 310,693
1994 16.36 0.24 (0.22) (0.25) (0.95) 15.18 (0.11)% 729,100
1993 15.09 0.32 1.68 (0.30) (0.43) 16.36 13.50% 776,745
1992 14.15 0.30 1.23 (0.30) (0.29) 15.09 11.03% 536,028
CLASS D
1996** $16.69 $ 0.10 $2.67 $(0.07) $(1.77) $17.62 17.97%* $ --
1995 15.17 0.12 2.45 (0.16) (0.89) 16.69 18.52%* 1,000
1994 16.36 0.18 (0.22) (0.20) (0.95) 15.17 (0.46)%* 2,182
1993(2) 16.17 0.05 0.16 (0.02) -- 16.36 10.65%* 2
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF NET RATIO OF INVESTMENT
INVESTMENT EXPENSES INCOME (LOSS)
RATIO OF INCOME TO AVERAGE TO AVERAGE
EXPENSES (LOSS) NET ASSETS NET ASSETS PORTFOLIO AVERAGE
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE+
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- -------------------------
LARGE CAP VALUE PORTFOLIO
- -------------------------
CLASS A
1996 0.83% 2.31% 0.83% 2.31% 75% $0.0531
1995 0.76% 2.92% 0.82% 2.86% 99% N/A
1994 0.75% 2.51% 0.75% 2.51% 67% N/A
1993 0.75% 2.64% 0.76% 2.63% 96% N/A
1992 0.75% 2.79% 0.80% 2.74% 17% N/A
- --------------------------
LARGE CAP GROWTH PORTFOLIO
- --------------------------
1996 0.82% 0.50% 0.87% 0.45% 90% $0.0602
1995(9) 0.85% 1.15% 0.89% 1.11% 44% N/A
- -------------------------
SMALL CAP VALUE PORTFOLIO
- -------------------------
1996 1.11% 0.15% 1.11% 0.15% 121% $0.5070
1995(10) 1.10% 0.26% 1.12% 0.24% 64% N/A
- --------------------------
SMALL CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1996 1.10% (0.63)% 1.11% (0.64)% 167% $0.0529
1995 1.10% (0.60)% 1.13% (0.63)% 113% N/A
1994 1.01% (0.51)% 1.11% (0.61)% 97% N/A
1993 0.97% (0.25)% 1.14% (0.42)% 85% N/A
1992(4) 0.97% 0.49% 1.29% 0.17% 33% N/A
CLASS D
1996 1.49% (1.02)% 1.49% (1.02)% 167% $0.0529
1995 1.50% (1.03)% 1.55% (1.08)% 113% N/A
1994(7) 1.49% (0.92)% 1.52% (0.95)% 97% N/A
- -----------------
MID-CAP PORTFOLIO
- -----------------
CLASS A
1996 0.77% 1.28% 0.88% 1.17% 101% $0.0124
1995 0.94% 0.04% 1.09% (0.11)% 108% N/A
1994 0.93% 0.03% 1.06% (0.10)% 89% N/A
1993(3) 0.90% 0.26% 1.12% 0.04% 87% N/A
CLASS D
1996** 1.17% 1.04% 1.18% 1.03% 101% $0.0124
1995 1.30% (0.06)% 1.48% (0.24)% 108% N/A
1994(6) 1.36% (0.41)% 1.45% (0.50)% 89% N/A
- ------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ------------------------------
CLASS A
1996 0.84% 1.20% 0.86% 1.18% 153% $0.0517
1995 0.84% 1.39% 0.89% 1.34% 107% N/A
1994 0.79% 1.45% 0.84% 1.40% 109% N/A
1993 0.75% 2.06% 0.84% 1.97% 119% N/A
1992 0.75% 2.12% 0.88% 1.99% 84% N/A
CLASS D
1996** 1.24% 0.78% 1.24% 0.78% 153% $0.0517
1995 1.24% 0.98% 1.29% 0.93% 107% N/A
1994 1.24% 1.20% 1.27% 1.16% 109% N/A
1993(2) 1.15% 2.54% 1.24% 2.45% 119% N/A
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
56
<PAGE>
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET NET UNREALIZED DIVIDENDS FROM
VALUE, INVESTMENT GAINS FROM NET REALIZED NET ASSET NET ASSETS
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF
OF PERIOD ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -----------------------
EQUITY INCOME PORTFOLIO
- -----------------------
CLASS A
1996 $16.07 $0.49 $2.20 $(0.41) $(1.95) $16.40 18.17% $202,823
1995 14.06 0.55 2.48 (0.55) (0.47) 16.07 23.00% 250,609
1994 15.00 0.51 (0.38) (0.50) (0.57) 14.06 1.05% 418,207
1993 13.33 0.51 1.75 (0.51) (0.08) 15.00 17.34% 337,939
1992 12.36 0.52 1.05 (0.52) (0.08) 13.33 13.03% 178,756
CLASS D
1996** $16.05 $0.57 $1.62 $(0.24) $(1.95) $16.05 14.58%* $ --
1995 14.04 0.48 2.50 (0.50) (0.47) 16.05 22.62%* 2,303
1994 15.00 0.45 (0.38) (0.46) (0.57) 14.04 0.61%* 892
1993(1) 14.82 0.02 0.16 -- -- 15.00 42.39%* 6
- ------------------
BALANCED PORTFOLIO
- ------------------
CLASS A
1996 $12.76 $0.42 $1.44 $(0.34) $(0.34) $13.94 15.01% $ 57,915
1995 11.52 0.34 1.34 (0.34) (0.10) 12.76 15.05% 70,464
1994 12.24 0.23 (0.62) (0.22) (0.11) 11.52 (3.25)% 65,480
1993 11.35 0.25 1.29 (0.26) (0.39) 12.24 14.49% 33,807
1992 10.70 0.52 0.73 (0.53) (0.07) 11.35 11.64% 5,974
- ---------------------------
CORE FIXED INCOME PORTFOLIO
- ---------------------------
CLASS A
1996 $10.46 $0.64 $(0.18) $(0.69)$ -- $10.23 4.51% $655,300
1995 9.65 0.65 0.82 (0.66) -- 10.46 15.87% 419,959
1994 10.87 0.56 (1.12) (0.55) (0.11) 9.65 (5.36)% 311,955
1993 10.77 0.60 0.28 (0.60) (0.18) 10.87 8.58% 295,798
1992 10.30 0.69 0.49 (0.69) (0.02) 10.77 11.91% 213,632
CLASS D
1996** $10.44 $0.46 $(0.22) $(0.49)$ -- $10.19 2.32%* $ --
1995 9.65 0.62 0.79 (0.62) -- 10.44 15.24%* 209
1994(8) 9.77 0.21 (0.15) (0.18) -- 9.65 3.29%* 44
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
RATIO OF NET EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
EXPENSES INCOME NET ASSETS NET ASSETS PORTFOLIO AVERAGE
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE+
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- -----------------------
EQUITY INCOME PORTFOLIO
- -----------------------
CLASS A
1996 0.83% 3.00% 0.86% 2.97% 43% $0.0429
1995 0.82% 3.72% 0.88% 3.66% 47% N/A
1994 0.78% 3.68% 0.84% 3.62% 28% N/A
1993 0.75% 3.73% 0.85% 3.63% 39% N/A
1992 0.75% 4.15% 0.87% 4.03% 18% N/A
CLASS D
1996** 1.22% 2.70% 1.23% 2.69% 43% $0.0429
1995 1.22% 3.21% 1.30% 3.13% 47% N/A
1994 1.20% 3.36% 1.35% 3.21% 28% N/A
1993(1) 1.15% 5.39% 1.46% 5.08% 39% N/A
- ------------------
BALANCED PORTFOLIO
- ------------------
CLASS A
1996 0.75% 2.98% 0.84% 2.89% 143% $0.0382
1995 0.75% 2.92% 0.90% 2.77% 159% N/A
1994 0.75% 2.05% 0.91% 1.89% 149% N/A
1993 0.75% 2.24% 0.94% 2.05% 109% N/A
1992 0.75% 4.83% 1.12% 4.46% 101% N/A
- ---------------------------
CORE FIXED INCOME PORTFOLIO
- ---------------------------
CLASS A
1996 0.57% 6.24% 0.64% 6.17% 311% N/A
1995 0.55% 6.60% 0.68% 6.47% 294% N/A
1994 0.55% 5.57% 0.62% 5.50% 370% N/A
1993 0.55% 5.63% 0.66% 5.52% 35% N/A
1992 0.55% 6.71% 0.68% 6.58% 39% N/A
CLASS D
1996** 0.96% 5.75% 0.96% 5.75% 311% N/A
1995 0.95% 6.17% 1.09% 6.03% 294% N/A
1994(8) 0.92% 5.91% 1.00% 5.83% 370% N/A
</TABLE>
57
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE PERIODS ENDED SEPTEMBER 30
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET UNREALIZED DIVIDENDS FROM
VALUE, NET GAINS FROM NET REALIZED NET ASSET NET ASSETS
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------
BOND PORTFOLIO
- --------------
CLASS A
1996 $10.86 $0.62 $(0.19) $(0.68) $ -- $10.61 4.01% $ 28,863
1995 9.95 0.70 0.97 (0.69) (0.07) 10.86 17.53% 54,286
1994 12.25 0.59 (1.62) (0.59) (0.68) 9.95 (9.12)% 123,329
1993 11.09 0.66 1.19 (0.67) (0.02) 12.25 17.36% 97,163
1992 10.47 0.73 0.62 (0.73) -- 11.09 13.52% 65,061
CLASS D
1996** $10.84 $0.47 $(0.23) $(0.48) $ -- $10.60 2.24%* $ --
1995 9.94 0.62 1.00 (0.65) (0.07) 10.84 16.97%* 121
1994 12.24 0.58 (1.64) (0.56) (0.68) 9.94 (9.37)%* 106
1993(5) 12.07 0.07 0.15 (0.05) -- 12.24 14.75%* 2
- -------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
1996 $10.64 $0.94 $0.62 $(1.03) $(0.03) $11.14 15.46% $107,545
1995(11) 10.00 0.67 0.55 (0.58) -- 10.64 17.72% 23,724
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
RATIO OF NET EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
EXPENSES INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- ---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- --------------
BOND PORTFOLIO
- --------------
CLASS A
1996 0.57% 5.68% 0.70% 5.55% 66%
1995 0.55% 6.46% 0.70% 6.31% 79%
1994 0.55% 5.61% 0.67% 5.49% 73%
1993 0.55% 5.87% 0.66% 5.76% 47%
1992 0.55% 6.98% 0.71% 6.82% 24%
CLASS D
1996** 0.96% 5.26% 1.09% 5.13% 66%
1995 0.95% 5.96% 1.10% 5.81% 79%
1994 0.95% 5.38% 1.86% 4.47% 73%
1993(5) 0.95% 4.66% 1.06% 4.55% 47%
- -------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
1996 0.87% 9.01% 0.94% 8.94% 55%
1995(11) 0.67% 10.02% 0.86% 9.83% 56%
<FN>
1 EQUITY INCOME CLASS D SHARES WERE OFFERED BEGINNING SEPTEMBER 22, 1993. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
2 CAPITAL APPRECIATION CLASS D SHARES WERE OFFERED BEGINNING AUGUST 16, 1993.
ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 MID-CAP CLASS A SHARES WERE OFFERED BEGINNING FEBRUARY 16, 1993. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 SMALL CAP GROWTH CLASS A SHARES WERE OFFERED BEGINNING APRIL 20, 1992. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 BOND CLASS D SHARES WERE OFFERED BEGINNING AUGUST 16, 1993. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 MID-CAP CLASS D SHARES WERE OFFERED BEGINNING MAY 2, 1994. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
7 SMALL CAP GROWTH CLASS D SHARES WERE OFFERED MAY 2, 1994. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
8 CORE FIXED INCOME CLASS D SHARES WERE OFFERED BEGINNING MAY 9, 1994. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
9 LARGE CAP GROWTH SHARES WERE OFFERED BEGINNING DECEMBER 20, 1994. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
10 SMALL CAP VALUE SHARES WERE OFFERED BEGINNING DECEMBER 20, 1994. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
11 HIGH YIELD BOND SHARES WERE OFFERED BEGINNING JANUARY 11, 1995. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
* SALES LOAD IS NOT REFLECTED IN TOTAL RETURN.
** FOR THE PERIOD ENDED JUNE 28, 1996. ALL RATIOS FOR THAT PERIOD HAVE BEEN
ANNUALIZED. TOTAL RETURN HAS NOT BEN ANNUALIZED.
+ AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND SALES
DURING THE PERIOD. PRESENTATION OF THE RATE IS REQUIRED FOR FISCAL YEARS
BEGINNING AFTER 9/1/95.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
58
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
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 eleven diversified Portfolios (the
"Portfolios"): Large Cap Value, Large Cap Growth, Small Cap Value, Small Cap
Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, Core Fixed
Income, Bond, and High Yield Bond. The Trust is registered to offer Class A
shares of the Large Cap Value, Large Cap Growth, Small Cap Value, Small Cap
Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, Core Fixed
Income, Bond, and High Yield Bond Portfolios and Class D shares of the Small Cap
Growth Portfolio. The Funds' prospectus provides a description of each Fund's
investment objective, policies, and strategies. The following is a summary of
the significant accounting policies followed by the Trust.
SECURITY VALUATION--Investments in equity securities which are traded on a
national securities exchange (or reported on NASDAQ national market system) are
stated at the last quoted sales price if readily available for such equity
securities on each business day; other equity securities traded in the
over-the-counter market and listed equity securities for which no sale was
reported on that date are stated at the last quoted bid price. Debt obligations
with remaining maturities in excess of sixty days are valued at the most
recently quoted bid price. Debt obligations with remaining maturities of sixty
days or less are valued at their amortized cost.
FEDERAL INCOME TAXES--It is each Portfolio's intention to qualify as a
regulated investment company for Federal income tax purposes and distribute all
of its taxable income (including net capital gains). Accordingly, no provision
for Federal income taxes is required.
NET ASSET VALUE PER SHARE--Net asset value per share is calculated on a
daily basis by dividing the assets of each Portfolio less its liabilities by the
number of outstanding shares of the Portfolio.
REPURCHASE AGREEMENTS--Securities pledged as collateral for repurchase
agreements are held by each Portfolio's custodian bank until maturity of the
repurchase agreement. The Portfolios also invest in tri-party repurchase
agreements. Securities held as collateral for tri-party repurchase agreements
are maintained by the broker's custodian bank in a segregated account until
maturity of the repurchase agreement. Provisions of the repurchase agreement and
procedures adopted by the Manager and the Advisers of the Trust ensure that the
market value of the collateral, including accrued interest thereon, is
sufficient in the event of default by the counterparty. If the counterparty
defaults and the value of the collateral declines or if the counterparty enters
into an insolvency proceeding, realization of the collateral by the Portfolios
may be delayed or limited.
DISCOUNT AND PREMIUM AMORTIZATION--All amortization is calculated using the
effective interest method over the holding period of the security. Amortization
of premiums and discounts is included in interest income.
EXPENSES--Expenses that are directly related to one of the Portfolios are
charged directly to that Portfolio. Other operating expenses of the Portfolios
are prorated to the Portfolios on the basis of relative net assets.
CLASSES--Class-specific expenses are borne by that class of shares. Income,
realized and unrealized gains/losses and non class-specific expenses are
allocated to the respective classes on the basis of relative daily net assets.
FUTURES CONTRACTS--The Large Cap Growth, Large Cap Value, Small Cap Value,
Small Cap Growth, Capital Appreciation and Equity Income Portfolios utilized S&P
500 Index futures contracts and the Core Fixed Income Portfolio utilized U.S.
Long Bond futures contracts during the year ended September 30, 1996. The
Portfolio's investment in S&P 500 Index futures contracts is designed to enable
the Portfolios to more closely approximate the performance of their benchmark
indices. The Core Fixed Income Portfolio's use of futures contracts is
primarily for tactical hedging purposes. Initial margin deposits of cash or
securities are made upon entering into futures contracts. The contracts are
marked to market daily and the resulting changes in value are accounted for as
unrealized
59
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
gains and losses. Variation margin payments are paid or received, depending upon
whether unrealized losses or gains are incurred. When the contract is closed,
the Portfolio records a realized gain or loss equal to the difference between
the proceeds from (or cost of) the closing transaction and the amount invested
in the contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform. Futures contracts involve risk of loss in excess of
the amounts recognized in the Statement of Net Assets to the extent of
contract amounts.
DETERMINATION, DISCLOSURE AND FINANCIAL STATEMENT PRESENTATION OF INCOME
AND CAPITAL GAIN--Effective October 1, 1993, the Fund adopted Statement of
Position 93-2: Determination, Disclosure, and Financial Statement Presentation
of Income, Capital Gain, and Return of Capital Distributions by Investment
Companies. Based on this Statement of Position, the Large Cap Value Portfolio,
Large Cap Growth Portfolio, and Small Cap Growth Portfolio reclassified
$126,000, $30,000, and $8,000, respectively, from undistributed net realized
gain to paid-in capital. Net investment income, net realized gains, and net
assets were not affected by these reclassifications.
For the year ended September 30, 1996, the Large Cap Value Portfolio, Large
Cap Growth Portfolio, Small Cap Value Portfolio, Small Cap Growth Portfolio and
Core Fixed Income Portfolio transferred securities to shareholders in order to
meet fund share redemptions. This security transfer resulted in non-taxable
realized gains and losses to the Portfolios of $19,956,000, $19,428,000,
$2,887,000, $6,923,000, and ($2,416,000), respectively, which is included in
paid-in capital, a component of equity.
STRUCTURED NOTES AND INDEXED NOTES--The Core Fixed Income Portfolio may
invest in structured notes and indexed notes whose values are linked either
directly or inversely to changes in foreign currency exchange rates, interest
rates, indices, or other reference instruments. The values of these instruments
may be more volatile than the rates, indices or instruments to which they refer,
but any loss is limited to the amount of the original investment.
OTHER--Security transactions are recorded on the trade date of the security
purchase or sale. Cost used in determining net realized capital gains and losses
on the sale of securities are those of the specific securities sold. Dividend
income is recognized on the ex-dividend date, and interest income is recognized
using the accrual basis of accounting.
3. MANAGEMENT, INVESTMENT ADVISORY, AND DISTRIBUTION AGREEMENTS
The Trust and SEI Fund Management (the "Manager"), are parties to a
management agreement (the "Agreement") dated January 22, 1987. Under this
Agreement, the Manager provides management, administrative, and shareholder
servicing for an annual fee of .35% of the average daily net assets of the Large
Cap Value, Large Cap Growth, Small Cap Value, High Yield Bond, Small Cap Growth,
Mid-Cap, Capital Appreciation, Equity Income, and Balanced Portfolios; and .28%
of the average daily net assets of the Core Fixed Income and Bond Portfolios.
The Manager has agreed to waive all or a portion of its fee in order to limit
the operating expenses of a Portfolio. Any such waiver is voluntary and may be
terminated at any time at the Manager's sole discretion.
SEI Financial Management ("SFM") serves as investment adviser to each
Portfolio. In connection with serving as investment adviser, SFM is entitled to
a fee, which is calculated daily and paid monthly, at an annual rate of .35% of
the Large Cap Value Portfolio's average daily net assets, at an annual rate of
.40% of the Large Cap Growth, Mid-Cap, Capital Appreciation, Equity Income and
Balanced Portfolios' average daily net assets, at an annual rate of .65% of the
Small Cap Value and Small Cap Growth Portfolios' average daily net assets, at an
annual rate of .275% of the Core Fixed Income and Bond Portfolios' average daily
net assets and .4875% of the High Yield Bond Portfolio's average daily net
assets. The adviser has voluntarily agreed to waive a portion of its fee in an
amount equal to .05% of the average daily net assets of the Capital
Appreciation, Equity Income, and Balanced Portfolios. Prior to November 13,
1995, Western Asset Management Company
60
<PAGE>
served as investment adviser to the Core Fixed Income Portfolio. For the year
ended September 30, 1996, SFM and Western Asset Management Company received
$1,361,000 and $63,000, respectively, as compensation for its services as
investment adviser to the Core Fixed Income Portfolio.
Mellon Equity Associates, Merus-UCA Capital Management and LSV Capital
Management each serve as an investment sub-adviser to a portion of the assets of
the Large Cap Value Portfolio and are party to investment sub-advisory
agreements with the Trust and SFM dated December 16, 1994, April 1, 1996 and
March 31, 1995, respectively. Under the investment sub-advisory agreements, each
party receives an annual fee, paid by SFM.
IDS Advisory Group, Inc., Alliance Capital Management L.P., and Provident
Investment Counsel, Inc. each serve as an investment sub-adviser to a portion of
the assets of the Large Cap Growth Portfolio and are party to investment
sub-advisory agreements with the Trust and SFM dated December 16, 1994, December
16, 1994, and May 1, 1996, respectively. Under the investment sub-advisory
agreements, each party receives an annual fee, paid by SFM.
1838 Investment Advisors, L.P. and Boston Partners Asset Management, L.P.
each serve as an investment sub-adviser to a portion of the assets of the Small
Cap Value Portfolio and are party to investment sub-advisory agreements with the
Trust and SFM dated December 18, 1994, and November 13, 1995, respectively.
Under the investment sub-advisory agreements, each party receives an annual fee,
paid by SFM.
Nicholas-Applegate Capital Management, Inc., First of America Investment
Corporation, Wall Street Associates, and Apodaca-Johnston Capital Management,
Inc. each serve as an investment sub-adviser to a portion of the assets of the
Small Cap Growth Portfolio and are party to investment sub-advisory agreements
with the Trust and SFM dated August 11, 1995, June 14, 1996, August 11, 1995 and
August 11, 1995, respectively. Under the investment sub-advisory agreements,
each party receives an annual fee, paid by SFM.
Martingale Asset Management, L.P. serves as investment sub-adviser to the
Mid-Cap Portfolio and is party to an investment sub-advisory agreement with the
Trust and SFM dated August 14, 1995. Under the investment sub-advisory
agreement, Martingale Asset Management, L.P. receives an annual fee, paid
by SFM.
Merus-UCA Capital Management serves as investment sub-adviser to the Equity
Income Portfolio and is party to an investment sub-advisory agreement with the
Trust and SFM dated April 1, 1996. Under the investment sub-advisory agreement,
Merus-UCACapital Management receives an annual fee, paid by SFM.
STI Capital Management, N.A. ("STI") serves as investment sub-adviser to
the Capital Appreciation and Balanced Portfolios and is party to an investment
sub-advisory agreement with the Trust and SFM dated July 10, 1995. Under the
investment sub-advisory agreement, STI receives an annual fee for each
Portfolio, paid by SFM.
Boatmen's Trust Company serves as investment sub-adviser to the Bond
Portfolio and is a party to an investment sub-advisory agreement with the Trust
and SFM dated July 10, 1995. Under the investment sub-advisory agreement,
Boatmen's Trust Company receives an annual fee, paid by SFM.
Western Asset Management Company, BlackRock Financial Management, Inc., and
Firstar Investment Research & Management Company each serve as an investment
sub-adviser to a portion of the assets of the Core Fixed Income Portfolio and
are parties to investment sub-advisory agreements with the Trust and SFM dated
November 13, 1995, January 2, 1996, and November 13, 1995, respectively. Under
the investment sub-advisory agreements, each party receives an annual fee, paid
by SFM.
BEA Associates serves as investment sub-adviser to the High Yield Bond
Portfolio and is a party to an investment sub-advisory agreement with the Trust
and SFM dated August 11, 1995. Under the investment sub-advisory agreement, BEA
Associates receives an annual fee, paid by SFM.
SEI Financial Services Company (the "Distributor"), a wholly-owned
subsidiary of SEI, serves as each Portfolio's distributor pursuant to a
distribution agreement with the Trust. Effective April 15, 1996, the Trust
adopted a shareholder servicing plan for Class A shares (the "Class A Plan")
under which a shareholder servicing fee of up to .25% of average daily
61
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996
net assets attributable to Class A shares will be paid to the Distributor. Prior
to April 15, 1996, SEI Financial Services Company acted as the distributor of
shares of the Trust under distribution plans which provided for the Trust to
reimburse the Distributor for certain distribution-related expenses incurred by
the Distributor. Such expenses could not exceed .30% of the average daily net
assets of a Portfolio, provided the expenses were permissable as to both type
and amount under a budget approved and monitored by the Board of Trustees.
The Trust has adopted a distribution plan for its Class D shares (the
"Class D Plan") pursuant to which a 12b-1 fee of up to .30% of the average daily
net assets attributable to the Class D shares will be paid to the Distributor.
This payment may be used to compensate financial institutions that provide
distribution-related services to their customers. Under both the Class A Plan
and the Class D Plan, the Distributor may retain as profit any difference
between the fee it receives and the amount it pays to third parties.
The Distribution Agreement between the Distributor and the Trust provides
that the Distributor may receive compensation on portfolio transactions effected
for the Trust in accordance with the rules of the Securities and Exchange
Commission ("SEC"). Accordingly, it is expected that portfolio transactions may
result in brokerage commissions being paid to the Distributor. The SEC rules
require that such commissions not exceed usual and customary commissions.
4. ORGANIZATIONAL COSTS AND TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized by the Trust 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
Trust is amortizing its organizational costs, the redemption proceeds payable to
the holder thereof by the Trust will be reduced by the unamortized
organizational costs in the same ratio as the number of initial shares
outstanding at the time of the redemption.
Certain officers and/or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated Trustees of the Trust is paid by the Manager.
Each of the Portfolios also used the Distributor as an agent in placing
repurchase agreements. For this service the Distributor retains a portion of the
interest earned as a commission. Such commissions for repurchase agreements
placed during the period ended September 30, 1996 were nominal in the aggregate.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities
including US Government securities, other than temporary cash investments during
the year ended September 30, 1996, were as follows:
PURCHASES SALES
(000) (000)
--------- --------
Large Cap Value $439,581 $329,337
Large Cap Growth 461,417 360,481
Small Cap Value 201,236 162,541
Small Cap Growth 509,779 545,170
Mid-Cap 23,386 28,383
Capital Appreciation 384,279 502,356
Equity Income 97,176 177,950
Balanced 87,568 108,035
Core Fixed Income 1,709,135 1,452,054
Bond 26,281 50,333
High Yield Bond 106,299 29,932
At September 30, 1996, 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 investments at
September 30, 1996 is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES DEPRECIATION
(000) (000) (000)
----------- ----------- -----------
Large Cap Value $56,614 $(8,246) $48,368
Large Cap Growth 73,440 (11,926) 61,514
Small Cap Value 18,635 (7,581) 11,054
Small Cap Growth 89,570 (12,700) 76,870
Mid-Cap 3,869 (813) 3,056
Capital Appreciation 29,000 (4,438) 24,562
Equity Income 34,602 (1,669) 32,933
Balanced 4,328 (800) 3,528
Core Fixed Income 4,026 (9,004) (4,978)
Bond 222 (279) (57)
High Yield Bond 4,249 (902) 3,347
62
<PAGE>
At September, 30, 1996 the following Portfolio had available realized
capital losses to offset future net capital gains through fiscal year ended
2004.
(000)
-------
Bond $ 3,695
6. FUTURES CONTRACTS
The following Portfolios had futures contracts open as of September 30,
1996:
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- ----------------- --------- ------- ------------- ----------
Core Fixed Income
U.S. 5 Year Note 103 $104.42 December 1996 $120
U.S. 5 Year Note 85 104.69 December 1996 76
U.S. 5 Year Note 51 105.39 December 1996 10
U.S. 5 Year Note 11 105.41 December 1996 2
U.S. 5 Year Note 10 104.44 December 1996 12
U.S. 5 Year Note 6 105.38 December 1996 1
U.S. 5 Year Note 6 105.42 December 1996 1
U.S. 5 Year Note 2 105.44 December 1996 --
U.S. 10 Year Note 65 105.69 December 1996 103
U.S. Long T-Bond (35) 109.19 December 1996 --
U.S. Long T-Bond (25) 108.78 December 1996 (10)
U.S. Long T-Bond (24) 107.87 December 1996 (32)
U.S. Long T-Bond (18) 109.22 December 1996 1
U.S. Long T-Bond (6) 107.21 December 1996 (12)
U.S. Long T-Bond (5) 108.62 December 1996 (3)
----
$269
====
Large Cap Value
S & P 500 28 $691.97 December 1996 $(8)
S & P 500 4 694.02 December 1996 (5)
S & P 500 2 686.92 December 1996 5
S & P 500 2 691.12 December 1996 --
S & P 500 2 691.72 December 1996 --
S & P 500 1 688.62 December 1996 1
S & P 500 1 691.02 December 1996 --
S & P 500 1 693.47 December 1996 (1)
S & P 500 1 691.97 December 1996 --
----
$ (8)
====
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- ---------------- --------- ----- ------------- ----------
Large Cap Growth
S & P 500 11 $691.97 December 1996 $ (3)
S & P 500 5 694.02 December 1996 (7)
S & P 500 3 686.02 December 1996 8
S & P 500 2 685.72 December 1996 6
S & P 500 2 691.12 December 1996 --
S & P 500 2 691.72 December 1996 --
S & P 500 1 676.12 December 1996 8
S & P 500 1 685.92 December 1996 3
S & P 500 1 688.62 December 1996 1
S & P 500 1 693.47 December 1996 (1)
----
$ 15
====
Small Cap Value
S & P 500 7 $691.97 December 1996 $(2)
S & P 500 1 676.12 December 1996 8
S & P 500 1 685.72 December 1996 3
S & P 500 1 685.92 December 1996 3
S & P 500 1 686.92 December 1996 2
S & P 500 1 688.62 December 1996 1
S & P 500 1 689.57 December 1996 1
S & P 500 1 689.82 December 1996 1
S & P 500 1 693.47 December 1996 (1)
S & P 500 1 694.02 December 1996 (2)
----
$ 14
====
Small Cap Growth
S & P 500 51 $691.97 December 1996 $(14)
S & P 500 8 693.47 December 1996 (8)
S & P 500 2 694.02 December 1996 (3)
S & P 500 1 686.92 December 1996 2
S & P 500 1 691.12 December 1996 --
----
$(23)
====
Capital Appreciati on
S & P 500 17 $691.97 December 1996 $(5)
S & P 500 2 693.47 December 1996 (2)
----
$(7)
====
Equity Income
S & P 500 6 $691.97 December 1996 $ (2)
S & P 500 1 691.02 December 1996 --
----
$ (2)
====
63
<PAGE>
SHAREHOLDER VOTING RESULTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996 (UNAUDITED)
NOVEMBER 13, 1995
There was a special meeting of shareholders held on November 13, 1995 at which
shareholders of the Small Cap Value and Core Fixed Income Portfolios (each a
"Portfolio," and together, the "Portfolios") voted on a series of proposals.
Each proposal and the results of the shareholder meeting are set forth below.
There were no broker non-votes submitted at the meeting.
I. Proposal to combine each Portfolio's fundamental limitation concerning
diversification with each Portfolio's fundamental limitation concerning the
acquisition of more than 10% of the outstanding voting securities of any one
issuer, and to amend certain other language.
SMALL CAP CORE FIXED
VALUE INCOME
For 4,113,079.00 22,771,601.00
Against 550,642.00 541,137.00
Abstain 49,928.00 187,401.00
II. Proposal to amend each Portfolio's fundamental limitation concerning
borrowing.
SMALL CAP CORE FIXED
VALUE INCOME
For 3,507,735.00 19,497,517.00
Against 1,158,193.00 3,830,043.00
Abstain 47,720.00 172,580.00
III. Proposal to amend each Portfolio's fundamental limitation concerning making
loans.
SMALL CAP CORE FIXED
VALUE INCOME
For 3,979,722.00 19,613,513.00
Against 697,399.00 3,665,588.00
Abstain 54,528.00 221,038.00
IV. Proposal to reclassify each Portfolio's fundamental limitation concerning
pledging assets as non-fundamental, and to amend certain language.
SMALL CAP CORE FIXED
VALUE INCOME
For 4,252,153.00 20,760,963.00
Against 407,329.00 2,526,334.00
Abstain 54,166.00 212,842.00
V. Proposal to reclassify each Portfolio's fundamental limitation concerning
investment in securities for the purpose of exercising control as
non-fundamental.
SMALL CAP CORE FIXED
VALUE INCOME
For 4,272,723.00 20,680,514.00
Against 387,178.00 2,584,648.00
Abstain 53,747.00 234,978.00
VI. Proposal to amend each Portfolio's fundamental limitation concerning
investment in real estate and commodities.
SMALL CAP CORE FIXED
VALUE INCOME
For 4,276,416.00 20,749,674.00
Against 375,662.00 2,494,544.00
Abstain 61,570.00 255,921.00
VII. Proposal to reclassify each Portfolio's fundamental limitation concerning
short sales and margin sales as non-fundamental, and to amend certain
language.
SMALL CAP CORE FIXED
VALUE INCOME
For 4,256,773.00 18,710,677.00
Against 392,179.00 4,515,282.00
Abstain 64,696.00 274,181.00
64
<PAGE>
- --------------------------------------------------------------------------------
VIII. Proposal to reclassify each Portfolio's fundamental limitation concerning
investment in securities of investment companies as non-fundamental, and to
amend certain language.
SMALL CAP CORE FIXED
VALUE INCOME
For 4,628,252.00 21,556,534.00
Against 35,340.00 1,766,179.00
Abstain 50,057.00 177,426.00
IX. Proposal to amend each Portfolio's fundamental limitation concerning the
issuance of senior securities.
SMALL CAP CORE FIXED
VALUE INCOME
For 4,306,930.00 20,852,023.00
Against 356,185.00 2,476,774.00
Abstain 50,533.00 171,342.00
X. Proposal to reclassify each Portfolio's fundamental limitation concerning
investment in securities of an issuer whose securities are owned by
officers and trustees of the Trust as non-fundamental.
SMALL CAP CORE FIXED
VALUE INCOME
For 4,016,529.00 19,640,993.00
Against 648,955.00 3,692,705.00
Abstain 48,164.00 166,440.00
XI. Proposal to reclassify each Portfolio's fundamental limitation concerning
investment of more than 5% of its total assets in securities of companies
with less than three years of operating history as non-fundamental.
SMALL CAP CORE FIXED
VALUE INCOME
For 3,832,615.00 18,956,422.00
Against 820,586.00 4,220,530.00
Abstain 60,447.00 323,187.00
XII. Proposal to eliminate each Portfolio's fundamental limitation concerning
investment in warrants, puts, calls, straddles, spreads or combinations
thereof.
SMALL CAP CORE FIXED
VALUE INCOME
For 4,251,855.00 20,693,057.00
Against 411,139.00 2,636,932.00
Abstain 50,653.00 170,150.00
XIII. Authorization for the Board of Trustees to appoint Investment Sub-Advisers
to the Core Fixed Income Portfolio of the Trust without seeking approval
by the Portfolio's shareholders of the contracts pursuant to which such
Sub-Advisers serve.
CORE FIXED
INCOME
For 22,528,766.00
Against 688,121.00
Abstain 283,252.00
XIV. Approval of SFM as the Investment Adviser to the Core Fixed Income
Portfolio, and approval of an Investment Advisory Agreement between the
Trust, on behalf of the Portfolio, and SFM.
CORE FIXED
INCOME
For 23,071,285.00
Against 201,170.00
Abstain 227,684.00
XV. Approval of an Investment Sub-Adviser and the Investment Sub-Advisory
Agreement for the Small Cap Value Portfolio.
SMALL CAP
VALUE
For 4,643,467.00
Against 17,760.00
Abstain 52,422.00
65
<PAGE>
SHAREHOLDER VOTING RESULTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996 (UNAUDITED)
XVI. Approval of the selection of BlackRock Financial Management, Inc.
(BlackRock) as an Investment Sub-Adviser for the Portfolio, and to approve
the form of investment sub-advisory agreement between SFM and BlackRock.
CORE FIXED
INCOME
For 22,933,056.00
Against 338,184.00
Abstain 228,899.00
XVII. Approval of the selection of Firstar Investment Research & Management
Company (FIRMCO) as an Investment Sub-Adviser for the Portfolio, and to
approve the form of investment sub-advisory agreement between SFM and
FIRMCO.
CORE FIXED
INCOME
For 23,095,963.00
Against 208,976.00
Abstain 195,200.00
XVIII. Approval of the selection of Western Asset Management Company (Western)
as an Investment Sub-Adviser for the Portfolio, and to approve the form
of investment sub-advisory agreement between SFM and Western.
CORE FIXED
INCOME
For 23,221,706.00
Against 68,469.00
Abstain 209,964.00
MARCH 20, 1996
There was a special meeting of shareholders held on March 20, 1996 at which
shareholders of the Large Cap Value and Equity Income Portfolios (each a
"Portfolio", and together, the "Portfolios") voted on a series of proposals.
Each proposal and the results of the shareholder meeting are set forth below.
There were no broker non-votes submitted at the meeting.
I. Proposal to approve the selection of Union Bank of California ("UBOC") as
Investment Sub-Adviser to the Trust's Large Cap Value Portfolio and to
approve a new Investment Sub-Advisory agreement between SEI Financial
Management Corporation ("SFM"), the investment adviser to the Portfolio,
and UBOC relating to the Portfolio.
LARGE CAP
VALUE
For 18,453,574.00
Against 61,570.00
Abstain 237,084.00
II. Proposal to approve the selection of Union Bank of California ("UBOC") as
Investment Sub-Adviser to the Trust's Equity Income Portfolio and to
approve a new Investment Sub-Advisory agreement between SEI Financial
Management Corporation ("SFM"), the investment adviser to the Portfolio,
and UBOC relating to the Portfolio.
EQUITY INCOME
For 11,164,318.00
Against 152,773.00
Abstain 65,392.00
66
<PAGE>
JULY 5, 1996
- ------------
There was a special meeting scheduled for July 5, 1996 at which the
shareholders of the SEI Institutional Managed Trust voted on a proposal to elect
a Board of Trustees. Due to a lack of quorum on July 5, 1996, the meeting was
adjourned until August 14, 1996. The name of each Trustee elected at the meeting
and the results of the Shareholder Vote are listed below. There are no
additional trustees whose term of office continued after the meeting.
PROPOSAL 1: To consider and act upon a proposal to elect a Board of
Trustees.
TRUSTEE SHARES VOTED "FOR" SHARES WITHHELD AUTHORITY
- -------- ------------------ -------------------------
Robert A. Nesher 132,773,159 740,626
Frank E. Morris 132,752,299 761,486
William M. Doran 132,758,455 755,330
F. Wendell Gooch 132,811,802 701,983
James M. Storey 132,824,485 689,300
George J. Sullivan, Jr. 132,763,445 750,340
67
<PAGE>
NOTICE TO SHAREHOLDERS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1996--(UNAUDITED)
For shareholders that do not have a September 30, 1996 taxable year end, this
notice is for informational purposes only. For shareholders with a September 30,
1996 taxable year end, please consult your tax advisor as to the pertinence of
this notice.
For the fiscal year ended September 30, 1996 the portfolios of the SEI
Institutional Managed Trust are designating long term capital gains and
qualifying dividend income with regard to distributions paid during the year as
follows:
(A) (B)
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS)
- --------- ------------- ------------- -------------
Large Cap Growth 0% 100% 100%
Small Cap Value 0% 100% 100%
High Yield Bond 0% 100% 100%
Large Cap Value 14% 86% 100%
Capital Appreciation 46% 54% 100%
Equity Income 71% 29% 100%
Balanced 0% 100% 100%
Core Fixed Income 0% 100% 100%
Bond 0% 100% 100%
Small Cap Growth 87% 13% 100%
Mid-Cap 0% 100% 100%
(C) (D)
QUALIFYING TAX EXEMPT FOREIGN
PORTFOLIO DIVIDENDS (1) INTEREST TAX CREDIT
- --------- ------------- ---------- ----------
Large Cap Growth 34% 0% 0%
Small Cap Value 9% 0% 0%
High Yield Bond 0% 0% 0%
Large Cap Value 53% 0% 0%
Capital Appreciation 8% 0% 0%
Equity Income 52% 0% 0%
Balanced 6% 0% 0%
Core Fixed Income 0% 0% 0%
Bond 0% 0% 0%
Small Cap Growth 1% 0% 0%
Mid-Cap 27% 0% 0%
(1)Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
Items (A) and (B) are based on the percentage of each portfolio's total
distribution.
Items (C) and (D) are based on the percentage of ordinary income
distributions of each portfolio.
68
<PAGE>
==========================
SEI INSTITUTIONAL
==========================
MANAGED TRUST
==========================
ANNUAL REPORT
==========================
SEPTEMBER 30, 1996
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Marc H. Cahn
VICE PRESIDENT, ASSISTANT SECRETARY
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. Lydon
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Stephen G. Meyer
CONTROLLER, CHIEF FINANCIAL OFFICER
Richard W. Grant
SECRETARY
INVESTMENT ADVISORS
EQUITY & BALANCED PORTFOLIOS
SEI Financial Management Corporation
FIXED INCOME PORTFOLIOS
SEI Financial Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANT
Price Waterhouse LLP
THIS ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED
FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE NOT
DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE SHARES
ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC),
THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE
SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL.
FOR MORE INFORMATION CALL 1-800-DIAL-SEI/1-800-342-5734
<PAGE>
[LOGO]
SEI
FINANCIAL
SERVICES
COMPANY
680 East Swedesford Road
Wayne, PA 19087-1658
800-DIAL-SEI/800-342-5734
SEI-F-087-04
