================================================================================
SEI INSTITUTIONAL
MANAGED TRUST
================================================================================
SEMI-ANNUAL REPORT
================================================================================
MARCH 31, 1996
<PAGE>
TABLE OF CONTENTS
================================================================================
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS ...................... 1
STATEMENT OF ASSETS AND LIABILITIES .................................. 35
STATEMENT OF OPERATIONS .............................................. 36
STATEMENT OF CHANGES IN NET ASSETS ................................... 38
FINANCIAL HIGHLIGHTS ................................................. 40
NOTES TO FINANCIAL STATEMENTS ........................................ 43
SHAREHOLDER VOTING RESULTS ........................................... 49
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
LARGE CAP VALUE PORTFOLIO
- --------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------
COMMON STOCKS -- 94.3%
AEROSPACE & DEFENSE -- 2.8%
BF Goodrich 54,600 $ 4,341
Litton Industries* 35,300 1,624
Raytheon 65,700 3,367
Rockwell International 51,600 3,038
Thiokol 35,700 1,566
-------
13,936
-------
AIR TRANSPORTATION -- 1.0%
AMR* 29,100 2,604
Delta Air Lines 12,000 923
UAL* 7,800 1,626
-------
5,153
-------
AIRCRAFT -- 2.3%
Lockheed Martin 30,000 2,276
McDonnell Douglas 43,800 4,013
Textron 48,300 3,864
United Technologies 13,800 1,549
-------
11,702
-------
APPAREL/TEXTILES -- 0.5%
Springs Industries, Cl A 33,000 1,518
VF 13,000 718
-------
2,236
-------
AUTOMOTIVE -- 2.4%
Chrysler 44,800 2,789
Dana 53,800 1,796
General Motors 96,000 5,112
General Motors, Cl H 24,700 1,562
Paccar 18,000 877
-------
12,136
-------
BANKS -- 13.5%
Amsouth Bancorp 30,200 1,174
Astoria Financial* 15,800 804
Banc One 90,150 3,212
Bank of Boston* 69,800 3,464
Bank of New York 43,500 2,240
BankAmerica 109,980 8,523
BayBanks 11,700 1,258
Chase Manhattan 34,800 2,558
Chemical Banking 60,800 4,286
Citicorp 27,700 2,216
First Bank System 11,000 656
First Chicago 84,600 3,511
First Interstate Bancorp 10,500 1,822
First Union 56,500 3,418
Fleet Financial Group 46,100 1,867
JP Morgan 53,300 4,424
- -------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------
National City 36,300 $ 1,275
NationsBank 54,000 4,327
PNC Bank 15,170 466
Republic New York 49,400 2,939
Southtrust 60,500 1,671
Star Banc 49,800 3,212
SunTrust Banks 17,600 1,232
Union Planters 60,000 1,815
US Bancorp 41,800 1,421
Wachovia 41,200 1,844
Wells Fargo 7,500 1,958
-------
67,593
-------
BEAUTY PRODUCTS -- 0.2%
International Flavors & Fragrances 23,800 1,139
-------
CHEMICALS -- 4.1%
Betz Laboratories 15,500 721
Dow Chemical 62,400 5,421
Eastman Chemical 31,300 2,164
EI du Pont de Nemours 18,400 1,527
First Mississippi 57,300 1,368
FMC* 18,100 1,360
Morton International 18,000 691
Rhone-Poulenc Rorer 26,500 1,616
Union Carbide 91,900 4,561
Witco 36,800 1,297
-------
20,726
-------
COMMUNICATIONS EQUIPMENT -- 1.0%
Harris 35,500 2,197
Sprint 71,400 2,713
-------
4,910
-------
COMPUTERS & SERVICES -- 2.3%
Digital Equipment* 28,300 1,560
IBM 69,100 7,679
Microsoft 15,200 1,568
Seagate Technology* 12,300 673
-------
11,480
-------
CONTAINERS & PACKAGING -- 0.3%
Ball 16,700 518
Owens-Illinois* 54,000 871
-------
1,389
-------
DRUGS -- 3.9%
American Home Products 22,800 2,471
Baxter International 42,100 1,905
Bristol-Myers Squibb 119,000 10,189
Johnson & Johnson 6,100 563
1
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
LARGE CAP VALUE PORTFOLIO
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Pharmacia & Upjohn 43,000 $ 1,715
Schering Plough 25,100 1,459
Warner Lambert 9,300 960
-------
19,262
-------
ELECTRICAL SERVICES -- 8.4%
American Electric Power 60,200 2,513
Baltimore Gas & Electric 114,100 3,152
Central & South West 50,200 1,431
Consolidated Edison of New York 52,200 1,664
Dominion Resources of Virginia 29,000 1,149
DQE 66,000 1,906
DTE Energy 82,000 2,757
Duke Power 47,400 2,394
Edison International 149,400 2,558
Entergy 85,000 2,380
Florida Progress 31,900 1,089
General Public Utilities 84,000 2,772
Illinova 41,700 1,173
Ohio Edison 22,700 514
PacifiCorp 66,500 1,388
Pinnacle West Capital 147,300 4,253
Portland General 35,100 1,079
TECO Energy 52,100 1,296
Texas Utilities 60,600 2,507
Unicom 75,800 2,047
Wisconsin Energy 64,900 1,842
-------
41,864
-------
ELECTRICAL TECHNOLOGY -- 0.2%
Thomas & Betts 15,600 1,170
-------
ENTERTAINMENT -- 0.4%
Bally Entertainment 59,200 1,021
Bally Total Fitness 13,450 54
King World Productions* 25,000 1,034
-------
2,109
-------
FINANCIAL SERVICES -- 3.7%
Alex Brown 19,900 1,032
Allstate* 91,826 3,868
American Express 40,200 1,985
Bear Stearns 95,000 2,351
Beneficial 14,890 858
Dean Witter Discover 36,000 2,061
FNMA 45,864 1,462
SLMA 16,400 1,255
Transamerica 19,300 1,445
Travelers 35,900 2,369
-------
18,686
-------
FOOD, BEVERAGE & TOBACCO -- 4.2%
Adolph Coors, Cl B 50,400 901
American Brands 63,300 2,682
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Anheuser Busch 30,300 $ 2,041
Coca-Cola 38,000 1,173
CPC International 24,000 1,665
Earthgrains 1,184 35
General Mills 39,800 2,323
HJ Heinz 26,650 883
IBP 99,600 2,552
Philip Morris 56,300 4,940
UST 59,404 1,894
-------
21,089
-------
GAS/NATURAL GAS -- 2.7%
Coastal 29,600 1,169
Consolidated Natural Gas 60,200 2,619
Eastern Enterprises 12,000 426
National Fuel & Gas 43,000 1,489
Nicor 19,200 514
Noram Energy 13,300 123
Oneok 51,200 1,222
Pacific Enterprises 15,400 398
Panhandle Eastern 59,700 1,858
Sonat 10,400 374
Tenneco 21,700 1,212
Williams 41,500 2,091
-------
13,495
-------
HOUSEHOLD PRODUCTS -- 0.4%
Clorox 24,600 2,119
-------
INSURANCE -- 5.2%
American General 76,100 2,625
Cigna 14,300 1,634
Jefferson-Pilot 19,850 1,069
Lincoln National 54,000 2,741
Loew's 51,100 3,864
Marsh & McLennan 19,100 1,774
Old Republic International 68,900 2,239
Providian 54,000 2,410
Safeco 122,300 4,097
St. Paul 42,939 2,383
US Life 47,950 1,409
-------
26,245
-------
LEASING & RENTING -- 0.3%
Comdisco 60,350 1,335
-------
MACHINERY -- 2.6%
Black & Decker 29,400 1,114
Caterpillar 28,700 1,952
Cummins Engine 24,000 969
Global Industries Technologies* 64,200 1,541
Harnischfeger Industries 48,300 1,872
Lam Research* 35,400 1,239
NACCO Industries, Cl A 8,800 501
2
<PAGE>
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Outboard Marine 18,800 $ 360
Parker-Hannifin 19,550 733
Texas Instruments 16,500 839
Timken 11,900 549
Tyco Labs 40,600 1,451
-------
13,120
-------
MARINE TRANSPORTATION -- 0.1%
Royal Caribbean Cruises 24,000 585
-------
MEDICAL PRODUCTS & SERVICES -- 1.2%
Becton Dickinson 42,000 3,439
Universal Health Services, Cl B* 29,400 1,562
Vencor* 24,000 828
-------
5,829
-------
METALS & MINING -- 0.3%
Vulcan Materials 24,100 1,365
-------
MISCELLANEOUS BUSINESS SERVICES -- 0.4%
Sun Microsystems 39,800 1,741
-------
MISCELLANOUS MANUFACTURING -- 0.7%
General Electric 19,100 1,487
Minnesota Mining & Manufacturing 33,500 2,173
-------
3,660
-------
OFFICE FURNITURE & FIXTURES -- 0.0%
Lear Seating* 2,100 69
-------
PAPER & PAPER PRODUCTS -- 2.1%
Boise Cascade 28,200 1,184
Bowater 27,400 1,021
Champion International 26,300 1,190
Georgia-Pacific 5,000 347
International Paper 29,600 1,166
Kimberly-Clark 34,700 2,585
Weyerhaeuser 68,100 3,141
-------
10,634
-------
PETROLEUM REFINING -- 9.3%
Amoco 88,500 6,394
Atlantic Richfield 33,800 4,022
Chevron 31,300 1,757
Dresser Industries 36,800 1,122
Exxon 169,600 13,844
Kerr-McGee 35,600 2,261
Lyondell Petrochemical 27,300 833
Mobil 85,400 9,896
Phillips Petroleum 26,000 1,027
Texaco 53,500 4,601
USX-Marathon Group 53,000 1,020
-------
46,777
-------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
PHOTOGRAPHIC EQUIPMENT
& SUPPLIES -- 0.5%
Eastman Kodak 32,500 $ 2,308
-------
PRINTING & PUBLISHING -- 0.7%
McGraw-Hill 13,700 1,188
New York Times, Cl A 54,000 1,566
Washington Post, Cl B 3,000 894
-------
3,648
-------
PROFESSIONAL SERVICES -- 0.3%
Dun & Bradstreet 27,800 1,685
-------
RAILROADS -- 1.1%
Conrail 21,700 1,554
CSX 72,000 3,285
Union Pacific 9,000 618
-------
5,457
-------
REPAIR SERVICES -- 0.3%
PHH 26,800 1,491
-------
RETAIL -- 3.5%
Gap 12,000 665
JC Penney 76,200 3,791
May Department Stores 25,800 1,245
Mercantile Stores 18,000 1,105
Ruddick 45,600 559
Sears Roebuck 60,600 2,954
Smith's Food & Drug Center, Cl B 67,400 1,618
TJX 102,000 2,563
Vons* 30,500 949
Waban* 67,600 1,775
Wendy's International 20,600 373
-------
17,597
-------
RUBBER & PLASTIC -- 0.3%
Goodyear Tire & Rubber 13,400 683
Sealed Air* 29,500 1,007
-------
1,690
-------
SPECIALTY MACHINERY -- 0.7%
Cooper Industries 13,200 515
Tecumseh Products, Cl A 33,500 1,972
Tidewater 24,000 912
-------
3,399
-------
SPECIALTY SERVICES -- 0.4%
National Service Industries 57,400 2,081
-------
STEEL & STEEL WORKS -- 1.3%
Aluminum Company of America 27,000 1,691
Asarco 66,700 2,335
Phelps Dodge 11,500 789
Texas Industries 25,800 1,642
-------
6,457
-------
3
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
LARGE CAP VALUE PORTFOLIO
- -----------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 8.1%
360(degree)Communications 20,999 $ 501
Alltel 26,800 831
Ameritech 96,000 5,232
AT&T 36,000 2,205
Bell Atlantic 57,400 3,544
BellSouth 111,000 4,107
Cincinnati Bell 66,600 3,463
GTE 149,300 6,551
MCI Communications 49,100 1,485
NYNEX 146,400 7,302
SBC Telecommunications 11,000 579
Southern New England Telecom 89,100 3,586
US West 36,400 1,178
-------
40,564
-------
TRANSPORTATION SERVICES -- 0.5%
Flightsafety International 19,000 1,059
GATX 20,000 920
Pittston Burlington 18,000 353
-------
2,332
-------
WHOLESALE -- 0.1%
Officemax* 28,100 681
-------
Total Common Stocks
(Cost $398,010,000) 472,944
-------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill
5.415%, 07/25/96 (A) $ 1,000 983
-------
Total U.S. Treasury Obligation
(Cost $984,000) 983
-------
REPURCHASE AGREEMENTS -- 7.6%
J.P. Morgan
5.350%, dated 03/29/96, matures
04/01/96, repurchase price
$13,513,000 (collateralized by
various FNMA obligations,
total par value $14, 516, 000,
6.500%, 10/01/25-03/01/26:
total market value
$13,777,300) 13,507 13,507
-------
- -----------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Lehman Brothers
5.350%, dated 03/29/96, matures
04/01/96, repurchase price
$24,797,000 (collateralized by
U.S. Treasury Note, par value
$24,950,000, 5.625%, 06/30/97:
total market value
$25,285,000) $24,786 $ 24,786
--------
Total Repurchase Agreements
(Cost $38,293,000) 38,293
--------
Total Investments -- 102.1%
(Cost $437,287,000) 512,220
--------
OTHER ASSETS AND LIABILITIES -- (2.1%)
Other Assets and Liabilities, Net (10,582)
--------
NET ASSETS--100.0% $501,638
========
NET ASSETS CONSIST OF:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 35,116,847 outstanding shares
of beneficial interest $413,748
Undistributed Net Investment Income 2,406
Accumulated Net Realized Gain
on Investments 10,723
Net Unrealized Depreciation on
Futures Contracts (172)
Net Unrealized Appreciation on
Investments 74,933
--------
Total Net Assets $501,638
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 14.29
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL--CLASS
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA--STUDENT LOAN MARKETING ASSOCIATION
LARGE CAP GROWTH PORTFOLIO
COMMON STOCKS -- 87.0%
AIR TRANSPORTATION -- 0.5%
AMR* 27,300 2,443
--------
AIRCRAFT -- 1.8%
Allied Signal 84,400 4,990
Boeing 40,600 3,517
--------
8,507
--------
4
<PAGE>
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
AUTOMOTIVE -- 0.6%
General Motors 53,200 $ 2,833
-------
BANKS -- 2.7%
Chase Manhattan 34,800 2,558
Citicorp 76,600 6,128
First Chicago 87,317 3,624
-------
12,310
-------
BEAUTY PRODUCTS -- 2.2%
Colgate-Palmolive 67,000 5,218
Procter & Gamble 61,550 5,216
-------
10,434
-------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 3.4%
Cox Communications* 179,000 3,916
Liberty Media Group, Cl A 152,000 4,009
Tele-Communications, Cl A 436,000 8,093
-------
16,018
-------
CHEMICALS -- 2.0%
Monsanto 40,000 6,140
Morton International 89,000 3,415
-------
9,555
-------
COMMUNICATIONS EQUIPMENT -- 2.8%
DSC Communications* 85,000 2,295
ITT* 56,000 3,360
Nokia "A", ADR* 48,300 1,654
Tellabs 41,000 1,983
Vishay Intertechnology* 136,500 3,686
-------
12,978
-------
COMPUTERS & SERVICES -- 7.4%
Cisco Systems* 253,900 11,775
Compaq Computer* 299,250 11,559
IBM 41,600 4,623
Microsoft 42,550 4,388
Seagate Technology 10,000 548
Silicon Graphics 69,800 1,745
-------
34,638
-------
CONTAINERS & PACKAGING -- 0.7%
Crown Cork & Seal* 64,550 3,147
-------
DRUGS -- 7.9%
Amgen* 143,850 8,361
Johnson & Johnson 41,300 3,810
Merck 208,200 12,960
Pfizer 159,200 10,666
Schering Plough 21,900 1,273
-------
37,070
-------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
ELECTRICAL TECHNOLOGY -- 0.5%
Duracell 43,000 $ 2,134
-------
ENTERTAINMENT -- 1.2%
Walt Disney 89,500 5,717
-------
FINANCIAL SERVICES -- 5.4%
Dean Witter Discover 62,000 3,549
FHLMC 54,000 4,604
FNMA 194,700 6,206
Merrill Lynch 52,000 3,159
Travelers 107,000 7,062
-------
24,580
-------
FOOD, BEVERAGE & TOBACCO -- 4.8%
Coca-Cola 41,600 3,437
PepsiCo 184,000 11,638
Philip Morris 85,000 7,459
-------
22,534
-------
GAS/NATURAL GAS -- 0.3%
Enron 37,000 1,364
-------
HOUSEHOLD PRODUCTS -- 1.7%
Gillette 120,300 6,226
Sherwin-Williams 35,000 1,553
-------
7,779
-------
INSURANCE -- 7.2%
American International Group 77,900 7,293
General Re 34,000 4,956
HealthSource* 62,000 2,403
NAC Re 85,000 2,773
PMI Group 95,000 4,144
Prudential Reinsurance Holdings 55,200 1,304
United Healthcare 111,150 6,836
TIG Holdings 13,300 432
UNUM 57,400 3,415
-------
33,556
-------
LUMBER & WOOD PRODUCTS -- 0.4%
Clayton Homes 86,500 1,806
-------
MACHINERY -- 4.0%
Case Equipment 22,600 1,150
Cincinnati Milacron 74,200 1,948
Emerson Electric 1,800 145
General Electric 179,950 14,013
General Instrument* 55,000 1,506
-------
18,762
-------
MEDICAL PRODUCTS & SERVICES -- 2.1%
Columbia/HCA Healthcare 108,000 6,237
Medtronic 62,100 3,703
-------
9,940
-------
5
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
LARGE CAP GROWTH PORTFOLIO
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES-- 4.9%
3Com 164,700 $ 6,567
Computer Associates International 70,800 5,071
First Data 38,000 2,679
Informix* 113,000 2,980
Oracle 118,000 5,561
-------
22,858
-------
PAPER & PAPER PRODUCTS -- 0.9%
Kimberly-Clark 59,100 4,403
-------
PETROLEUM REFINING -- 1.9%
Amoco 55,100 3,981
Exxon 20,200 1,649
Mobil 29,200 3,384
-------
9,014
-------
RAILROADS -- 0.5%
Conrail 18,600 1,332
Union Pacific 16,000 1,098
-------
2,430
-------
RETAIL -- 6.4%
Autozone* 44,000 1,491
Federated Department Stores* 95,000 3,064
Home Depot 232,250 11,119
Kroger 22,300 903
Lowe's 60,000 2,145
McDonald's 165,400 7,939
Sears Roebuck 69,600 3,393
-------
30,054
-------
RUBBER & PLASTIC -- 0.6%
Illinois Tool Works 41,650 2,692
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 4.7%
Altera* 22,000 1,229
Applied Materials* 128,600 4,485
Intel 218,100 12,404
Molex 56,000 1,953
SGS-Thomson Microelectronics* 47,900 1,736
-------
21,807
-------
STEEL & STEEL WORKS -- 1.4%
Aluminum Company of America 68,600 4,296
Nucor 34,650 2,049
-------
6,345
-------
TELEPHONES & TELECOMMUNICATION -- 5.2%
Airtouch Communications 372,950 11,608
AT&T 184,000 11,270
- -----------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
BellSouth 43,400 $ 1,606
US West 600 19
--------
24,503
--------
WHOLESALE -- 0.9%
Alco Standard 80,700 4,206
--------
Total Common Stocks
(Cost $355,828,000) 406,417
--------
U.S. TREASURY OBLIGATIONS -- 0.3%
U.S. Treasury Bills
5.000%, 04/18/96 (A) $ 1,000 997
5.415%, 07/25/96 (A) 500 492
--------
Total U.S. Treasury Obligations
(Cost $1,490,000) 1,489
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.0%
FHLMC Discount Notes
5.300%, 04/02/96 2,800 2,800
5.260%, 04/18/96 430 429
5.260%, 04/19/96 230 229
5.270%, 04/22/96 590 588
--------
Total U.S. Government Agency Obligations
(Cost $4,046,000) 4,046
--------
COMMERCIAL PAPER -- 1.1%
Ford Motor Credit
5.420%, 04/03/96 5,308 5,306
--------
Total Commercial Paper
(Cost $5,306,000) 5,306
--------
REPURCHASE AGREEMENT -- 10.4%
Lehman Brothers
5.350%, dated 03/29/96, matures
04/01/96, repurchase price
$48,560,000 (collateralized by
U.S. Treasury Note, par value
$48,417,000, 5.750%, 09/30/97:
total market value
$49,510,000) 48,539 48,539
--------
Total Repurchase Agreement
(Cost $48,539,000) 48,539
--------
Total Investments -- 99.8%
(Cost $415,209,000) 465,797
--------
6
<PAGE>
- --------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- 0.2%
Other Assets and Liabilities, Net $ 1,110
--------
NET ASSETS--100.0% $466,907
========
NET ASSETS CONSIST OF:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 33,825,222 outstanding shares
of beneficial interest $398,547
Undistributed Net Investment Income 556
Accumulated Net Realized Gain
on Investments 17,276
Net Unrealized Depreciation on
Futures Contracts (60)
Net Unrealized Appreciation on
Investments 50,588
--------
Total Net Assets $466,907
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 13.80
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
SMALL CAP VALUE PORTFOLIO
COMMON STOCKS -- 93.2%
AEROSPACE & DEFENSE -- 1.1%
Thiokol 22,300 $ 978
Tracor* 41,000 715
------
1,693
------
AGRICULTURE -- 1.0%
Sylvan* 122,300 1,483
------
AIR TRANSPORTATION -- 0.9%
American West Airlines* 68,600 1,466
------
APPAREL/TEXTILES -- 1.1%
Donnkenny* 30,800 496
Hartmarx* 38,700 184
Springs Industries, Cl A 21,800 1,003
------
1,683
------
- -------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------
BANKS -- 7.7%
Affiliated Community Bancorp 36,700 $ 647
Astoria Financial* 7,000 356
Bank North Group 10,900 384
BankAtlantic Bancorp 49,312 740
Boston Federal Savings Bank* 55,200 676
Cal Fed Bancorp* 28,000 501
Center Financial 16,700 303
Cullen/Frost Bankers 8,800 433
Downey Financial 14,605 343
DS Bancor* 26,301 861
First Federal Bancshares 43,800 613
Flushing Financial* 35,000 529
Glendale Federal* 18,600 337
Long Island Bancorp 57,500 1,617
Mercantile Bankshares 39,700 1,042
North Fork Bancorporation 12,900 308
Queens County Bancorporation 7,000 308
Reliance Bancorp 38,900 627
Southern National 38,507 1,069
-------
11,694
-------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.7%
Chris-Craft Industries 10,167 424
McClatchy Newspapers, Cl A 29,100 695
-------
1,119
-------
BUILDING & CONSTRUCTION SUPPLIES-- 1.6%
American Buildings * 21,000 465
Granite Construction 32,700 965
Griffon* 39,400 369
NCI Building Systems* 17,500 599
-------
2,398
-------
CHEMICALS -- 1.4%
Cytec Industries 12,300 1,039
First Mississippi 12,400 296
Geon 11,800 314
Mississippi Chemical 10,300 209
Sterling Chemicals 26,800 338
-------
2,196
-------
COMMUNICATIONS EQUIPMENT -- 1.2%
Plantronics* 13,800 521
TB Woods* 47,700 537
Universal Electronics* 60,400 702
-------
1,760
-------
7
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
SMALL CAP VALUE PORTFOLIO
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
COMPUTERS & SERVICES -- 2.7%
Cray Research* 18,000 $ 524
Dynatech 21,100 496
Lexmark International Group* 70,400 1,364
Quantum* 80,000 1,440
Wang Laboratories* 14,500 344
-------
4,168
-------
CONSUMER PRODUCTS -- 0.1%
Nine West Group 3,000 130
-------
CONTAINERS & PACKAGING -- 1.2%
US Can* 108,700 1,848
-------
ELECTRICAL SERVICES -- 0.7%
Central Louisiana Electric 9,300 250
Cilcorp 3,600 155
Public Service of New Mexico 36,200 674
-------
1,079
-------
ELECTRICAL TECHNOLOGY -- 0.7%
Charter Power Systems 36,900 996
-------
ENTERTAINMENT -- 3.0%
All American Communications* 46,200 560
Anchor Gaming* 18,000 580
Cinergi Pictures Entertainment* 63,830 88
Dick Clark Productions* 46,000 564
Griffin Gaming & Entertainment* 127,990 1,936
Primadonna Resorts* 29,000 442
Spelling Entertainment Group 42,640 426
-------
4,596
-------
FINANCIAL SERVICES -- 3.7%
Avalon Properties 13,600 292
Beacon Properties 17,000 448
Cali Realty 15,200 340
Donaldson, Lufkin, & Jenrette 25,000 838
Equity Inns, REIT 52,300 667
Mid-America Apartment
Communities 11,300 291
MLF Bancorp 39,600 945
Morningstar Group* 39,600 387
Patriot American Hospitality, REIT 20,500 541
Phoenix Duff & Phelps 20,800 130
RFS Hotel Investors 18,200 316
Spieker Properties 11,000 279
Storage Trust Realty 9,600 214
-------
5,688
-------
FOOD, BEVERAGE & TOBACCO -- 2.2%
Eskimo Pies 9,500 180
Ralcorp Holdings* 21,000 538
Riser Foods, Cl A* 21,300 405
- -------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------
Robert Mondavi* 26,430 $ 681
Schweitzer-Manduit International* 50,400 1,386
-------
3,190
-------
GLASS PRODUCTS -- 0.9%
Libbey 59,800 1,308
-------
HOTELS & LODGING -- 0.3%
ShoLodge* 35,400 398
-------
HOUSEHOLD FURNITURE & FIXTURES -- 1.4%
Bush Industries 16,100 407
Cort Business Service* 48,300 869
Flexsteel Industry 10,600 106
Hirsch International* 52,200 731
-------
2,113
-------
HOUSEHOLD PRODUCTS -- 1.7%
Alberto Culver, Cl A 17,700 630
American Safety Razor* 75,600 728
Holophane* 66,000 1,188
-------
2,546
-------
INSURANCE -- 16.7%
Allied Group 12,600 501
Allmerica Financial* 15,300 404
Capital American Financial 47,100 1,172
Capital Re 42,400 1,526
Capmac Holdings 27,600 676
Citizens 12,900 252
Gryphon Holdings* 93,100 1,780
Guarantee Life* 43,500 669
Guaranty National 13,600 224
Harleysville Group 21,500 575
Healthplan Services* 23,100 528
Home State Holdings* 54,100 554
Horace Mann Educators 45,300 1,382
John Alden Financial Group 50,000 881
Mercury General 10,200 425
MMI 31,000 930
NAC Re 21,700 708
Partnerre Holdings 19,500 580
Paul Revere 32,500 788
Penncorp Financial Group 56,000 1,764
PMI Group 37,400 1,632
Presidential Life 85,900 795
Prudential Reinsurance Holdings 15,600 369
PXRE 12,200 311
Reliance Group Holdings 16,900 133
Security-Connecticut 5,900 154
Sierra Health Services* 41,500 1,354
State Auto Financial 64,100 1,458
TIG Holdings 40,700 1,323
8
<PAGE>
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
Transnational Re 11,900 $ 260
Western National 79,550 1,293
-------
25,401
-------
LEISURE PRODUCTS -- 0.8%
First Team Sports * 14,800 246
Velcro Industries 18,300 974
-------
1,220
-------
MACHINERY -- 5.2%
BW/IP Holding, Cl A 71,300 1,274
Chase Brass Industries* 44,100 595
CMI* 116,400 611
DT Industries 58,100 1,111
Fisher Scientific International 34,300 1,312
UCAR International* 63,000 2,449
UNR Industries 24,400 195
Zero 19,700 330
-------
7,877
-------
MARINE TRANSPORTATION -- 0.7%
Royal Caribbean Cruises 41,900 1,021
-------
MEASURING DEVICES -- 2.1%
Beckman Instruments 3,300 129
Flir System* 58,000 711
Oak Industries* 75,400 1,876
Safetytek* 38,000 513
-------
3,229
-------
MEDICAL PRODUCTS & SERVICES -- 5.7%
ADAC Laboratories 89,000 1,569
Coventry* 33,530 574
Living Centers of America* 14,600 544
Maxicare Health Plans 51,100 1,274
Mid Atlantic Medical Services* 73,200 1,693
Ornda Healthcorp* 77,000 2,214
Summit Care* 34,200 727
-------
8,595
-------
MINING -- 0.2%
Pittston Minerals Group 17,900 264
-------
MISCELLANEOUS BUSINESS SERVICES-- 0.4%
Intersolv* 54,600 635
-------
MISCELLANEOUS MANUFACTURING -- 2.6%
American Coin Merchandising* 41,100 206
Belden 56,500 1,667
Wolverine Tube* 50,200 2,039
-------
3,912
-------
OFFICE FURNITURE & FIXTURES -- 0.4%
Kimball International, Cl B 19,600 559
-------
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
PAPER & PAPER PRODUCTS -- 2.4%
Caraustar Industries 65,700 $ 1,643
Crown Vantage* 28,600 415
PH Glatfelter 30,900 537
Scott Paper 51,600 1,079
-------
3,674
-------
PETROLEUM & FUEL PRODUCTS -- 0.6%
Belco Oil & Gas 19,900 453
Citation* 37,900 478
-------
931
-------
PRINTING & PUBLISHING -- 1.1%
Bowne 13,200 241
Central Newspapers, Cl A 17,600 627
Graphic Industries 16,900 190
Media General 8,100 314
New England Business Service 22,000 369
-------
1,741
-------
PROFESSIONAL SERVICES -- 0.1%
Dames & Moore 19,300 215
-------
RAILROADS -- 0.6%
Canadian National Railway 54,600 942
-------
RETAIL -- 8.7%
Arbor Drugs 24,100 506
Big B 17,500 182
BMC West* 120,000 1,950
Carson Pirie* 36,900 830
Catherine's Stores* 78,200 782
Circle K* 7,900 242
Daka International* 35,100 886
Fabri-Centers of America, Cl A* 19,400 223
Fay's 34,600 251
Genovese Drug Stores 31,360 310
Little Switzerland* 46,000 184
Longs Drug Stores 12,500 591
Mueller Industries 22,200 785
Proffitts* 37,500 1,181
Ross Stores* 27,500 691
Ryan's Family Steak Houses* 58,500 527
Shopko Stores 14,100 197
Stein Mart* 40,200 613
Waban* 36,300 953
Zale* 79,000 1,358
-------
13,242
-------
RUBBER & PLASTIC -- 1.8%
Aptargroup 42,200 1,751
Mark IV Industries 47,820 1,052
-------
2,803
-------
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
SMALL CAP VALUE PORTFOLIO
- ------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.8%
Burr-Brown 37,500 $ 591
Fusion Systems* 30,900 780
SGS-Thomson Microelectronics N.V.* 15,200 551
Zycon* 75,400 801
--------
2,723
--------
SPECIALTY CONSTRUCTION -- 0.7%
DR Horton* 61,200 658
Kasler Holding* 41,300 330
--------
988
--------
SPECIALTY MACHINERY -- 0.6%
Fedders 157,800 907
--------
STEEL & STEEL WORKS -- 1.2%
National-Standard* 37,100 297
Schnitzer Steel Industries, Cl A 38,500 1,006
Synalloy 24,500 466
--------
1,769
--------
TECHNOLOGY, GENERAL -- 0.5%
Tel-Save Holdings* 44,400 749
--------
WHOLESALE -- 3.0%
Congoleum* 90,600 872
Marisa Christina * 32,200 648
Marshall Industries 29,600 903
Masland 28,200 494
Middleby* 80,000 640
Rykoff-Sexton 13,700 217
TBC* 108,200 784
--------
4,558
--------
Total Common Stocks
(Cost $130,095,000) 141,507
--------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill
5.415%, 07/25/96 (A) $ 200 197
--------
Total U.S. Treasury Obligation
(Cost $197,000) 197
--------
REPURCHASE AGREEMENT -- 6.8%
Lehman Brothers
5.500%, dated 03/29/96, matures
04/01/96, repurchase price
$10,277,000 (collateralized by
various FHLMC obligations,
total par value $11,134,000,
5.500%-8.500%, 11/01/00-
01/01/25: total market
value $10,479,000) 10,272 10,272
--------
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
Total Repurchase Agreement
(Cost $10,272,000) $ 10,272
--------
Total Investments -- 100.1%
(Cost $140,564,000) 151,976
--------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Other Assets and Liabilities, Net (150)
--------
NET ASSETS--100.0% $151,826
========
NET ASSETS CONSIST OF:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 12,146,774 outstanding shares
of beneficial interest $134,375
Undistributed Net Investment Income 31
Accumulated Net Realized Gain
on Investments 6,016
Net Unrealized Depreciation on
Futures Contracts (8)
Net Unrealized Appreciation on
Investments 11,412
--------
Total Net Assets $151,826
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 12.50
========
* 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
SMALL CAP GROWTH PORTFOLIO
COMMON STOCKS -- 97.5%
AEROSPACE & DEFENSE -- 0.2%
Watkins Johnson 22,000 787
--------
AIR TRANSPORTATION -- 0.9%
Atlantic Coast Air* 25,300 392
Atlas Air* 43,700 1,639
Mesaba Holdings 29,000 326
Reno Air* 32,000 400
--------
2,757
--------
APPAREL/TEXTILES -- 3.2%
Donnkenny* 31,200 503
Nautica Enterprises* 89,225 4,260
Quiksilver* 35,700 1,133
St. John Knits 21,800 1,469
10
<PAGE>
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
Tommy Hilfiger* 54,000 $ 2,477
-------
9,842
-------
AUTOMOTIVE -- 0.4%
Coachmen Industries 900 24
Regal Beloit 54,500 1,144
-------
1,168
-------
BANKS -- 0.3%
First Savings Bank of Washington 32,300 436
RCSB Financial 24,800 586
-------
1,022
-------
BEAUTY PRODUCTS -- 0.1%
Thermolase 8,200 199
-------
BROADCASTING, NEWSPAPERS
& ADVERTISING -- 0.6%
Clear Channel Communications 29,600 1,672
Young Broadcasting, Cl A* 11,900 354
-------
2,026
-------
CHEMICALS -- 0.2%
OM Group 20,900 776
-------
COMMUNICATIONS EQUIPMENT -- 4.8%
American Radio Systems 8,800 297
California Amplifier 38,600 1,033
Checkpoint Systems* 42,000 1,045
Colonial Data Technologies* 19,600 434
Comverse Technology* 67,300 1,624
Digital Systems* 44,900 688
Dionex 26,100 923
DSP Communications* 57,600 1,440
Harman International 3,500 131
Intervoice* 20,400 584
Kemet 52,200 1,181
Microcom* 69,600 2,079
Microwave Power Devices* 54,600 450
National Wireless Holdings* 35,400 549
Octel Communications* 15,300 738
STM Wireless* 14,300 152
Teltrend* 24,800 1,128
Ultratech Stepper* 18,900 333
US Robotics* 1,000 129
-------
14,938
-------
COMPUTERS & SERVICES -- 5.2%
Ariel 50,500 379
Auspex Systems* 123,400 2,206
Black Box 33,100 563
CBT Group* 2,100 154
Fractal Design 49,500 606
Gandalf Technologies* 47,400 699
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
HMT Technology 19,000 $ 198
HNC Software* 6,000 408
Hyperion Software* 62,000 1,349
Imnet Systems* 27,800 841
In Focus Systems* 26,300 922
Level One Communications* 22,800 633
Microchip Technology* 9,400 259
Micros Systems* 6,100 152
Mylex 42,700 1,014
Natural Microsystems 15,500 465
Network Appliance* 21,800 692
Optical Data Systems 20,200 414
Pinnacle Systems* 13,000 260
Ross Technology* 14,800 159
SCB Computer Technology* 20,500 425
Telxon 34,000 723
Trident Microsystems* 52,600 756
Vanstar 20,700 210
Voice Control System* 83,000 1,152
Xylan 8,500 442
-------
16,081
-------
CONSUMER PRODUCTS -- 0.4%
Wolverine World Wide 28,100 787
Vans* 33,300 462
-------
1,249
-------
DRUGS -- 4.0%
Alkermes* 66,500 607
Arris Pharmaceutical* 22,100 280
Avecor Cardiovascular* 28,900 394
ChiRex 29,900 306
Columbia Laboratories* 83,100 987
Dura Pharmaceuticals* 3,400 169
Fuisz Technologies* 17,500 472
Guilford Pharmaceuticals* 22,100 494
Idexx* 26,100 1,096
Immucore* 45,100 598
Jones Medical Industries 75,450 2,905
Northfield Laboratories* 24,500 466
Noven Pharmaceuticals* 44,100 634
Penederm* 46,700 607
QLT Phototherapeutics* 80,900 1,052
Sequus Pharmaceuticals* 59,800 826
Watson Pharmaceuticals* 16,100 644
-------
12,537
-------
ELECTRICAL TECHNOLOGY -- 1.0%
Electro Scientific Industries* 36,200 674
Input/Output 45,200 1,401
Komag* 11,300 274
LSI Industries 39,300 707
-------
3,056
-------
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
SMALL CAP GROWTH PORTFOLIO
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
ENERGY & POWER -- 0.1%
Micro Linear 42,300 $ 386
-------
ENTERTAINMENT -- 1.0%
AMC Entertainment* 25,300 614
MGM Grand* 6,800 261
Movie Gallery* 25,400 641
Regal Cinemas* 46,700 1,728
-------
3,244
-------
ENVIRONMENTAL SERVICES -- 1.2%
Culligan Water Technologies* 10,500 341
Sanifill* 20,300 779
United Waste Systems* 46,400 2,320
-------
3,440
-------
FINANCIAL SERVICES -- 1.8%
Aames Financial 36,200 1,303
Alex Brown 2,900 150
Stormedia* 48,500 1,128
The Money Store 113,600 3,166
-------
5,747
-------
FOOD, BEVERAGE & TOBACCO -- 0.9%
Boston Beer* 11,700 235
Redhook Ale Brewery* 16,500 414
Robert Mondavi 45,500 1,172
Starbucks 42,200 984
-------
2,805
-------
HOTELS & LODGING -- 0.6%
Doubletree 27,500 753
Extended Stay America* 5,100 113
Felcor Suite Hotels 19,800 614
LA Quinta Inns 9,000 264
-------
1,744
-------
HOUSEHOLD PRODUCTS -- 0.3%
Chicago Miniature Lamp* 27,600 897
-------
INSURANCE -- 2.5%
Allied Group 21,800 867
Amerin 20,900 569
CMAC Investment 600 34
Compdent* 38,400 1,382
Fremont General 1,250 30
Healthplan Services 18,000 412
Healthsource* 27,800 1,077
Inphynet Medical Management* 22,200 397
Penncorp Financial Group 33,900 1,068
Phycor* 20,250 891
Riscorp, Cl A* 7,500 142
US Facilities 45,100 846
-------
7,715
-------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
LEISURE PRODUCTS -- 0.6%
Callaway Golf 17,600 $ 471
Cannondale 28,000 514
Morrow Snowboards* 14,200 145
Sodak Gaming* 24,700 587
-------
1,717
-------
LUMBER & WOOD PRODUCTS -- 1.3%
Cavalier Homes 74,400 1,153
Champion Enterprises 69,600 1,992
Redman Industries* 50,400 1,021
-------
4,166
-------
MACHINERY -- 5.8%
BMC Industries* 70,200 1,509
Brooks Automation* 26,000 293
Cascade 59,400 846
Eagle Hardware & Garden* 98,600 1,011
Edelbrock 28,600 454
FSI International* 75,100 873
Gasonics International* 50,600 468
Gleason 22,100 898
Global Industries Technologies* 50,900 1,222
Graco 18,000 351
Helix Technology 49,300 1,387
JLG Industries 61,400 2,809
Lam Research* 5,500 192
Lindsay Manufacturing* 750 26
MSC Industrial Direct* 24,500 707
Novellus Systems* 14,700 654
Photronics Labs* 27,800 592
Plasma & Materials Technologies* 18,500 236
Uniphase 22,500 872
Zebra Technologies, Cl A* 45,700 1,211
Zoltek * 32,400 1,535
-------
18,146
-------
MANUFACTURING -- 0.3%
West Marine* 19,200 893
-------
MEASURING DEVICES -- 2.4%
Bio-Rad Laboratories, Cl A 18,800 790
Cognex* 79,200 2,029
Epic Design Technology 42,500 1,299
Esterline Technologies 36,400 814
Fluke 15,800 602
Fore Systems* 7,400 529
LTX* 2,200 18
Tencor Instruments* 11,900 214
Thermedics* 26,400 746
Thermoquest 7,300 124
Tylan General* 33,800 330
-------
7,495
-------
12
<PAGE>
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
MEDICAL PRODUCTS & SERVICES -- 7.8%
Community Health Systems 2,100 $ 86
Conmed* 30,000 735
Equimed* 21,500 282
ESC Medical Systems* 3,500 121
FemRx* 33,900 331
Gensym* 30,300 591
Gulf South Medical Supply 40,900 1,544
Healthsouth Rehabilitation* 6,800 231
HemaSure* 25,000 444
Hologic* 61,400 1,397
Horizon Mental Health
Management* 20,000 422
ICU Medical* 44,300 643
Impath* 15,800 233
Intelligent Medical Imaging* 14,900 175
Iridex 36,900 378
Isolyser* 4,400 73
Lumisys* 28,900 539
Lunar* 16,100 688
Medpartners/Mullikin* 33,200 946
Neoprobe 11,100 212
Optical Sensors* 12,200 150
Orthologic* 28,800 731
Pediatrix Medical Group* 61,600 2,187
PHP Healthcare 28,400 685
Physician Reliance Network* 29,500 1,169
Physio-Control International 11,100 222
Prime Medical Services* 103,200 1,342
Protocol Systems* 64,000 1,080
Renal Treatment Centers* 46,800 1,111
Rotech Medical* 7,500 277
Tecnol Medical Products* 4,200 74
Universal Health Services 30,000 1,594
Utah Medical Products* 44,400 744
Visix Space* 8,500 310
Zygo 62,000 2,418
-------
24,165
-------
MISCELLANEOUS BUSINESS SERVICES-- 15.5%
Acxiom* 24,300 580
Adept Technology* 41,200 597
Advanced Technologies
Laboratories* 37,300 1,007
Alternative Resources* 24,600 800
Avant 20,000 480
Brooktrout Tech* 41,700 1,439
Cambridge Technology Partners* 28,600 1,634
Catalyst International* 59,100 428
Clarify* 7,600 298
Computer Horizons* 26,050 983
Comshare* 27,600 635
Cylink 32,200 572
Dataworks 18,200 232
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Electronics for Imaging* 70,400 $ 3,062
Envoy 21,900 515
Excalibur Technologies 8,900 243
FileNet* 14,700 849
GRC International* 23,700 806
GT Interative Software 21,700 233
IDT 15,200 152
Indus Group* 12,900 252
Insight Enterprises* 20,100 307
Intevac* 35,900 260
Jack Henry & Associates 40,300 982
Learning Tree International* 12,800 253
Legato Systems* 16,200 612
McAfee Associates* 74,700 4,090
Mecon* 42,100 831
Medic Computer Systems* 30,100 2,280
Mentor Graphics 16,100 229
Meridian Data* 75,300 781
Meta Group* 10,900 308
National Data 25,000 853
National Instruments* 23,400 491
Parametric Technology* 14,200 556
Physician Support Systems* 36,100 618
Platinum Technology* 18,100 274
PowerCerv 27,400 408
Premenos Technology 22,100 398
Profit Recovery Group International* 8,100 126
Project Software & Development 44,000 1,683
Pure Software* 3,700 128
Quality Systems* 19,900 438
Rational Software* 60,700 2,398
Remedy* 23,550 1,331
Scopus Technology* 26,100 392
Security Dynamics Technology* 16,800 890
Segue Software* 14,500 304
Shiva* 13,800 1,252
Sitel 19,200 869
Spyglass* 1,000 22
SQA* 15,000 409
Sync Research* 20,600 324
Synopsys* 25,100 803
System Software Associates 12,700 324
Transaction Systems Architects* 27,300 1,112
UUNet Technologies 6,800 173
Veritas Software* 27,500 890
Verity* 4,200 142
Viasoft* 47,200 1,327
Videoserver* 25,100 634
Wall Data* 24,800 384
Wind River Systems* 22,800 701
Zoom Telephonics* 46,200 751
-------
48,135
-------
13
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
SMALL CAP GROWTH PORTFOLIO
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
MISCELLANEOUS CONSUMER SERVICES-- 3.0%
ABR Information Services* 24,350 $ 1,132
Accustaff 92,400 2,333
Career Horizons* 35,900 1,068
Corrections of America* 50,300 2,867
Robert Half International 10,500 511
Veterinary Centers of America* 57,300 1,547
-------
9,458
-------
MISCELLANEOUS MANUFACTURING -- 2.3%
Blyth Industries* 44,700 1,486
Cable Design Technologies* 72,850 2,677
Coastcast 40,000 745
Dayrunner* 40,100 1,043
Department 56* 14,400 315
Paragon Trade Brands* 36,500 757
-------
7,023
-------
PETROLEUM & FUEL PRODUCTS -- 0.7%
Belden & Blake 32,100 574
Ensco International* 9,200 256
Noble Drilling* 26,600 329
Pride Petroleum Service* 64,900 917
-------
2,076
-------
PROFESSIONAL SERVICES -- 0.5%
Sylvan Learning Systems* 10,000 358
Tetra Tech* 58,876 1,310
-------
1,668
-------
RAILROADS -- 0.4%
Wisconsin Central Transportation* 16,900 1,124
-------
REAL ESTATE -- 0.3%
Amresco 74,100 1,084
-------
REPAIR SERVICES -- 0.3%
Oxford Resources, Cl A* 37,100 1,039
-------
RETAIL -- 8.9%
Apple South 25,000 612
Borders Group 13,300 379
Boston Market* 31,600 1,076
CDW Computer Centers* 24,900 1,257
CKE Restaurants 57,300 960
Claire's Stores 2,250 41
Corporate Express* 46,450 1,533
Kenneth Cole Production* 20,900 374
Daka International* 26,000 656
Dollar Tree Stores* 19,300 849
Duty Free International 62,800 832
Express Scripts* 17,500 818
Foodmaker* 32,300 226
Friedman's, Cl A* 14,100 282
Gadzooks* 35,700 1,241
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Garden Ridge* 18,100 $ 828
Gymboree 10,700 280
Lone Star Steakhouse & Saloon 7,600 291
Longhorn Steaks* 15,600 359
Manhattan Bagel * 26,500 616
Micro Warehouse* 22,500 934
Mueller Industries 1,200 42
National Media* 57,000 941
Omnicare 34,200 1,843
Orchard Supply Hardware* 26,900 635
Outback Steakhouse* 7,800 294
Papa John's International* 46,350 2,068
Party City 2,700 39
Proffitts* 17,400 548
Rexall Sundown* 56,100 1,690
Ross Stores* 62,200 1,563
Sonic 13,300 273
Sunglass Hut International* 59,400 1,968
Viking Office Products 20,900 1,163
Williams Sonoma* 6,100 139
-------
27,650
-------
RUBBER & PLASTIC -- 0.1%
Just for Feet* 5,500 229
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 5.3%
Actel* 27,200 418
Aetrium* 42,100 642
Altron* 1,100 32
Applied Magnetics* 3,500 55
Atmel 69,100 1,762
Chips & Technologies* 96,700 870
Computer Products* 79,000 1,067
Elantec Semiconductor* 55,400 499
Etec Systems* 41,200 577
General Scanning* 48,200 621
Hadco* 53,200 1,623
Lattice Semiconductor* 9,400 267
MRV Communications* 26,500 1,259
Oak Technology* 44,400 955
S3* 84,700 1,011
Remec* 38,200 477
Sanmina* 64,000 1,904
Sheldahl* 34,300 660
Transwitch 49,000 594
Vitesse Semiconductor* 50,600 1,151
-------
16,444
-------
SPECIALTY CONSTRUCTION -- 0.4%
DR Horton* 27,100 291
Westell Technologies* 29,100 1,077
-------
1,368
-------
14
<PAGE>
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 5.3%
ACC 31,400 $ 930
ACT Networks* 43,800 969
Adtran* 8,700 398
APAC TeleServices* 16,700 1,190
Amati Communications 67,800 551
Ascend Communications* 51,800 2,791
Aspect Telecommunications* 41,100 1,880
Cascade Communications* 13,950 1,252
Cidco* 29,800 961
Coherent Communications Systems 50,000 1,038
EIS International* 37,400 603
P-Com* 42,700 859
Pairgain Technologies* 27,200 1,761
Periophonics* 17,200 409
Premiere Technologies* 10,000 233
Premisys Communications* 10,800 351
US Order* 16,400 336
-------
16,512
-------
TESTING LABORATORIES -- 1.6%
Creative Biomolecules* 59,100 554
Clintrials Research* 27,700 959
Martek Biosciences* 22,000 792
Medimmune* 17,100 269
Neurogen* 21,100 728
Quintiles Transnational 26,800 1,742
-------
5,044
-------
TRANSPORTATION SERVICES -- 0.5%
Fritz 37,100 1,447
-------
TRUCKING -- 0.1%
Trism* 43,400 260
-------
WHOLESALE -- 4.4%
AM Castle 16,600 490
Applix* 35,900 1,257
Aspen Technology* 22,600 972
Barrett Resources* 11,500 288
Bearings 29,400 834
Gilead Sciences* 1,400 40
Global Village Communication* 57,300 852
Ha Lo Industries* 34,100 942
Inso 16,200 747
Marisa Christina* 24,900 501
Physician Sales & Services 83,800 2,074
Sterling Electronics* 700 12
US Office Products 95,000 2,945
Vital Signs* 59,700 1,463
World Fuel Services 7,800 133
Wyle Laboratories 500 17
-------
13,567
-------
- -----------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Total Common Stocks
(Cost $233,525,000) $303,126
--------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill
5.415%, 07/25/96 (A) $1,000 983
--------
Total U.S. Treasury Obligation
(Cost $984,000) 983
--------
REPURCHASE AGREEMENT -- 2.8%
J.P. Morgan
5.350%, dated 03/29/96, matures
04/01/96, repurchase price
$8,792,000 (collateralized by
FHLMC obligation, par value
$3,708,000, 7.000%, 11/01/10,
and various FNMA obligations,
total par value $5,621,000,
6.500%, 01/01/26-02/01/26:
total market value
$8,963,000) 8,788 8,788
--------
Total Repurchase Agreement
(Cost $8,788,000) 8,788
--------
Total Investments -- 100.6%
(Cost $243,297,000) 312,897
--------
OTHER ASSETS AND LIABILITIES -- (0.6%)
Other Assets and Liabilities, Net (1,898)
--------
NET ASSETS--100.0% $310,999
========
NET ASSETS CONSIST OF:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 17,773,484 outstanding shares
of beneficial interest $211,272
Portfolio shares of Class D (unlimited
authorization -- no par value) based
on 60,226 outstanding shares
of beneficial interest 952
Accumulated Net Investment Loss (1,179)
Accumulated Net Realized Gain
on Investments 30,365
Net Unrealized Depreciation on
Futures Contracts (11)
Net Unrealized Appreciation on
Investments 69,600
--------
Total Net Assets $310,999
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 17.44
========
15
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
SMALL CAP GROWTH PORTFOLIO
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share-- Class D $ 17.28
========
Maximum Offering Price Per Share --
Class D ($17.28 / 95%) $ 18.19
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
MID-CAP PORTFOLIO
COMMON STOCKS -- 96.5%
AEROSPACE & DEFENSE -- 0.1%
Litton Industries* 700 32
-------
AIR TRANSPORTATION -- 1.4%
Delta Air Lines 4,200 323
-------
AIRCRAFT -- 0.5%
Teledyne 4,000 112
-------
AUTOMOTIVE -- 0.9%
Dana 4,900 164
TRW 500 45
-------
209
-------
BANKS -- 8.9%
Bank of Boston* 700 35
Comerica 6,000 251
First Tennessee National 12,200 403
Golden West Financial 600 32
Republic New York 5,900 351
Southern National 3,900 108
SouthTrust 3,300 91
TCF Financial 9,900 359
US Bancorp 2,700 92
Washington Mutual 11,800 351
-------
2,073
-------
BEAUTY PRODUCTS -- 0.8%
Avon Products 1,600 137
Ecolab 1,500 45
-------
182
-------
CHEMICALS -- 4.6%
Cabot 2,200 67
Eastman Chemical 6,200 429
FMC* 4,600 346
Union Carbide 4,500 223
-------
1,065
-------
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 1.8%
Harris 4,000 $ 248
Kemet 7,300 165
-------
413
-------
COMPUTERS & SERVICES -- 5.3%
EMC* 6,800 149
Gateway 2000* 10,300 287
Seagate Technology 7,300 400
Tandy 3,600 166
Western Digital* 12,300 237
-------
1,239
-------
CONTAINERS & PACKAGING -- 1.4%
Owens-Illinois* 20,500 331
-------
DRUGS -- 1.3%
Allergan 3,300 122
Boston Scientific* 2,200 101
Johnson & Johnson 790 73
-------
296
-------
ELECTRICAL SERVICES -- 5.9%
Boston Edison 2,800 75
Centerior Energy 20,600 165
Illinova 7,100 200
Long Island Lighting 6,700 118
MidAmerican Energy 8,300 148
New York State Electric & Gas 8,000 188
Niagara Mohawk Power 23,300 154
Northeast Utilities 4,800 95
Rochester Gas & Electric 10,300 223
-------
1,366
-------
ENERGY & POWER -- 2.1%
California Energy* 18,100 482
-------
ENTERTAINMENT -- 0.8%
King World Productions* 4,300 178
-------
FINANCIAL SERVICES -- 4.2%
Advanta, Cl A 3,500 182
AG Edwards & Sons 2,500 62
Bear Stearns 10,300 255
Countrywide Credit Industries 1,000 22
Salomon 3,100 116
SLMA 1,500 115
SunAmerica 1,500 76
Transamerica 2,100 157
-------
985
-------
16
<PAGE>
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 2.8%
IBP 12,200 $ 313
Lancaster Colony 5,400 201
Ralston--Ralston Purina Group 1,200 80
Universal Foods 1,800 69
-------
663
-------
GAS/NATURAL GAS -- 3.7%
National Fuel & Gas 11,400 395
Pacific Enterprises 4,900 127
Panhandle Eastern 11,300 352
-------
874
-------
HOUSEHOLD PRODUCTS -- 0.3%
Clorox 800 69
-------
INSURANCE -- 3.7%
American Financial Group 3,700 112
Conseco 1,800 130
Equifax 6,200 125
MGIC Investment 4,700 256
Providian 1,800 80
US Healthcare 3,500 161
-------
864
-------
LEASING & RENTING -- 1.5%
Comdisco 15,750 348
-------
LEISURE PRODUCTS -- 1.4%
Callaway Golf 12,200 326
-------
MACHINERY -- 3.6%
Brunswick 5,900 136
Harnischfeger Industries 6,000 233
Novellus Systems* 1,600 71
Parker-Hannifin 7,300 274
Timken 1,100 51
Trinova 2,000 64
-------
829
-------
MEASURING DEVICES -- 2.4%
Beckman Instruments 4,500 176
Johnson Controls 1,800 134
KLA Instruments* 7,400 167
Teradyne 5,300 89
-------
566
-------
MEDICAL PRODUCTS & SERVICES -- 3.4%
Biomet* 19,300 270
Laboratory of America Holdings 15,200 127
Tenet Healthcare 4,600 97
Varian Associates 6,200 309
-------
803
-------
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES-- 2.0%
GTech* 5,000 $ 155
Manpower 1,800 56
Mentor Graphics 5,000 71
Sterling Software 2,600 183
-------
465
-------
PAPER & PAPER PRODUCTS -- 2.1%
Bowater 3,100 115
Champion International 3,000 136
Consolidated Papers 2,400 135
Willamette Industries 1,900 114
-------
500
-------
PETROLEUM & FUEL PRODUCTS -- 2.1%
Global Marine* 7,900 79
Sonat Offshore Drilling 4,300 219
Union Texas Petroleum 10,200 201
-------
499
-------
PETROLEUM REFINING -- 0.9%
Tosco 4,600 216
-------
PRECIOUS METALS -- 0.4%
Newmont Mining 1,700 96
-------
PRINTING & PUBLISHING -- 2.2%
American Greetings, Cl A 3,600 99
Lafarge 4,500 85
Media General 7,500 291
Wallace Computer Services 800 47
-------
522
-------
RAILROADS -- 0.4%
Illinois Central 3,300 94
-------
REPAIR SERVICES -- 1.8%
Ryder System 15,100 411
-------
RETAIL -- 6.2%
Best Buy* 4,100 71
Circuit City Stores 5,000 149
Dayton-Hudson 1,300 110
Dillard Department Stores, Cl A 1,700 59
Gap 1,100 61
Marriott International 2,500 119
Safeway 14,200 405
Staples 3,750 76
TJX 9,400 236
Wendy's International 9,300 169
-------
1,455
-------
RUBBER & PLASTIC -- 1.6%
Premark International 4,700 252
Reebok International 4,500 124
-------
376
-------
17
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
MID-CAP PORTFOLIO
- ------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.9%
Cypress Semiconductor* 29,300 $ 344
National Semiconductor* 6,200 86
VLSI Technology* 1,400 18
-------
448
-------
STEEL & STEEL WORKS -- 1.8%
Phelps Dodge 6,000 412
-------
TELEPHONES & TELECOMMUNICATION -- 3.7%
Century Telephone Enterprises 6,400 203
Cincinnati Bell 4,200 218
WorldCom 9,800 451
-------
872
-------
WHOLESALE -- 6.6%
Arrow Electronics* 5,600 263
Avnet 6,600 318
Bergen Brunswig, Cl A 13,200 345
Cardinal Health* 2,600 167
McKesson 600 31
Supervalu 9,300 287
Terra Industries* 10,200 131
-------
1,542
-------
Total Common Stocks
(Cost $20,408,000) 22,536
-------
PREFERRED STOCK -- 0.0%
AIRCRAFT -- 0.0%
Teledyne 40 1
-------
Total Preferred Stock
(Cost $0) 1
-------
REPURCHASE AGREEMENT -- 4.0%
J.P. Morgan
5.350%, dated 03/29/96, matures
04/01/96, repurchase price
$923,000 (collateralized by
various FNMA obligations, total
par value $991,000, 6.500%,
01/01/26-03/01/26: total
market value $941,000) $922 922
-------
Total Repurchase Agreement
(Cost $922,000) 922
-------
Total Investments -- 100.5%
(Cost $21,330,000) 23,459
-------
OTHER ASSETS AND LIABILITIES -- (0.5%)
Other Assets and Liabilities, Net (115)
-------
NET ASSETS--100.0% $23,344
=======
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
NET ASSETS CONSIST OF:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 1,701,906 outstanding shares
of beneficial interest $20,679
Portfolio shares of Class D (unlimited
authorization -- no par value) based
on 2,932 outstanding shares
of beneficial interest 21
Undistributed Net Investment Income 61
Accumulated Net Realized Gain
on Investments 454
Net Unrealized Appreciation on
Investments 2,129
-------
Total Net Assets $23,344
=======
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 13.69
=======
Net Asset Value, Offering and Redemption
Price Per Share-- Class D $ 13.65
=======
Maximum Offering Price Per Share --
Class D ($13.65 / 95%) $ 14.37
=======
* NON-INCOME PRODUCING SECURITY
CL--CLASS
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA--STUDENT LOAN MARKETING ASSOCIATION
CAPITAL APPRECIATION PORTFOLIO
COMMON STOCKS -- 89.4%
AIRCRAFT -- 3.5%
Allied Signal 49,400 $ 2,921
General Dynamics 18,800 1,100
Lockheed Martin 30,200 2,291
United Technologies 24,700 2,772
-------
9,084
-------
AUTOMOTIVE -- 2.0%
General Motors 50,500 2,689
General Motors, Cl E 43,300 2,468
-------
5,157
-------
BANKS -- 4.8%
Bank of Boston* 44,800 2,223
Chase Manhattan 10,000 735
18
<PAGE>
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
Chemical Banking 45,900 $ 3,236
Cullen/Frost Bankers 20,500 1,010
Integra Financial 39,100 2,742
PNC Bank 60,000 1,845
Signet Banking 31,300 778
-------
12,569
-------
BEAUTY PRODUCTS -- 2.5%
Colgate-Palmolive 22,200 1,729
Procter & Gamble 57,300 4,856
-------
6,585
-------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 3.2%
Sphere Drake Holdings 125,700 1,273
Tele-Communications, Cl A 185,800 3,449
Viacom, Cl B 90,400 3,808
-------
8,530
-------
BUILDING & CONSTRUCTION -- 1.2%
Fluor 11,000 751
Foster Wheeler 53,000 2,352
-------
3,103
-------
CHEMICALS -- 1.9%
Air Products & Chemicals 35,000 1,912
EI duPont de Nemours 26,000 2,158
Hercules 14,300 886
-------
4,956
-------
COMMUNICATIONS EQUIPMENT -- 2.9%
ITT* 37,400 2,244
Motorola 41,900 2,221
Scientific-Atlanta 169,500 3,008
-------
7,473
-------
COMPUTERS & SERVICES -- 4.5%
Bay Networks* 29,400 904
Cisco Systems* 62,600 2,903
Hewlett Packard 19,400 1,823
IBM 26,500 2,945
Microsoft 31,200 3,218
-------
11,793
-------
CONTAINERS & PACKAGING -- 0.6%
Newell 63,200 1,691
-------
DRUGS -- 7.6%
Abbott Laboratories 39,500 1,610
American Home Products 6,100 661
Bristol-Myers Squibb 15,000 1,284
Johnson & Johnson 52,900 4,880
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
Merck 45,300 $ 2,820
Pfizer 57,300 3,839
SmithKline Beecham 74,900 3,857
Warner Lambert 10,000 1,033
-------
19,984
-------
ELECTRICAL SERVICES -- 1.6%
Central & South West 52,300 1,490
PacifiCorp 25,000 522
Texas Utilities 51,600 2,135
-------
4,147
-------
ELECTRICAL TECHNOLOGY -- 0.3%
Duracell International 17,800 883
-------
ENTERTAINMENT -- 1.0%
Walt Disney 43,031 2,749
-------
ENVIRONMENTAL SERVICES -- 1.0%
WMX Technologies 79,600 2,527
-------
FINANCIAL SERVICES -- 2.3%
FHLMC 27,200 2,319
ITT Hartford Group* 27,400 1,343
Travelers 35,266 2,327
-------
5,989
-------
FOOD, BEVERAGE & TOBACCO -- 5.3%
Coca-Cola 24,400 2,016
CPC International 52,300 3,628
PepsiCo 50,700 3,207
Philip Morris 49,200 4,317
Ralston--Ralston Purina Group 10,700 716
-------
13,884
-------
GAS/NATURAL GAS -- 0.8%
Enron 53,500 1,973
-------
HOUSEHOLD PRODUCTS -- 0.4%
Gillette 22,500 1,164
-------
INSURANCE -- 6.1%
American International Group 26,700 2,500
Chubb 15,300 1,436
General Re 25,900 3,775
MGIC Investment 35,800 1,951
PMI Group 27,700 1,208
Washington National 124,300 3,325
United Healthcare 31,200 1,919
-------
16,114
-------
MACHINERY -- 7.0%
Deere 50,000 2,088
Emerson Electric 17,800 1,437
General Electric 69,600 5,420
19
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
CAPITAL APPRECIATION PORTFOLIO
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
General Signal 128,800 $ 4,669
Tyco Labs 131,900 4,715
-------
18,329
-------
MARINE TRANSPORTATION -- 1.4%
Carnival 132,300 3,638
-------
MEDICAL PRODUCTS & SERVICES -- 3.5%
Columbia/HCA Healthcare 64,920 3,749
Healthsouth Rehabilitation* 24,000 816
Medtronic 7,100 423
Tenet Healthcare 82,500 1,733
Varian Associates 15,200 758
Vencor* 51,900 1,791
-------
9,270
-------
MISCELLANEOUS BUSINESS SERVICES-- 1.9%
Automatic Data Processing 36,700 1,445
First Data 16,400 1,156
Oracle Systems 47,700 2,248
-------
4,849
-------
PAPER & PAPER PRODUCTS -- 0.4%
Kimberly-Clark 15,000 1,118
-------
PETROLEUM & FUEL PRODUCTS -- 0.8%
Schlumberger 26,600 2,105
-------
PETROLEUM REFINING -- 2.7%
Amoco 36,100 2,608
Exxon 21,600 1,763
Mobil 24,200 2,804
-------
7,175
-------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 2.0%
Eastman Kodak 33,800 2,400
Xerox 22,000 2,761
-------
5,161
-------
RAILROADS -- 1.8%
Burlington Northern Santa Fe 16,300 1,339
Conrail 13,300 953
Union Pacific 35,300 2,422
-------
4,714
-------
RETAIL -- 8.2%
Federated Department Stores* 56,200 1,812
General Nutrition* 34,300 858
Home Depot 111,900 5,357
Intimate Brands 55,800 1,081
Marriott International 40,000 1,900
McDonald's 102,300 4,910
Office Depot 70,400 1,382
Safeway 60,000 1,710
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
Wal-Mart Stores 74,100 $ 1,714
Wendy's International 47,100 854
--------
21,578
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.1%
Molten Metal Technology* 85,600 2,868
--------
SPECIALTY MACHINERY -- 1.0%
American Standard* 73,800 2,159
Cooper Industries 12,000 468
--------
2,627
--------
STEEL & STEEL WORKS -- 0.9%
Aluminum Company of America 23,200 1,453
Worthington Industries 50,000 994
--------
2,447
--------
TELEPHONES & TELECOMMUNICATION -- 2.3%
AT&T 90,378 5,536
BellSouth 16,800 621
--------
6,157
--------
WHOLESALE -- 0.9%
Arrow Electronics* 26,500 1,245
Sysco 32,200 1,059
--------
2,304
--------
Total Common Stocks
(Cost $207,722,000) 234,695
--------
PREFERRED STOCKS -- 3.4%
CONTAINERS & PACKAGING -- 0.2%
Crown Cork & Seal 9,450 454
--------
ELECTRICAL EQUIPMENT -- 0.6%
Westinghouse Electric, Convertible
to 0.885 shares (A) 80,000 1,460
--------
PAPER & PAPER PRODUCTS -- 0.5%
International Paper 30,000 1,406
--------
PETROLEUM & FUEL PRODUCTS -- 0.6%
Occidental Petroleum (A) 25,000 1,578
--------
PRECIOUS METALS -- 0.5%
Coeur D'Alene Mines 65,000 1,373
--------
TELEPHONES & TELECOMMUNICATION -- 1.0%
Citizens Utilities 55,000 2,585
--------
Total Preferred Stocks
(Cost $8,702,000) 8,856
--------
20
<PAGE>
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
CONVERTIBLE BONDS -- 4.0%
Continental Airlines, Convertible
to 16.559 shares (A)
6.750%, 04/15/06 $1,500 $ 1,628
Cooper Industries, Convertible
to 24.230 shares
7.050%, 01/01/15 2,500 2,606
Pennzoil, Convertible to
17.004 shares
4.750%, 10/01/03 1,500 1,560
Time Warner, Convertible to
7.759 shares
0.000%, 06/22/13 7,300 3,039
USF&G Convertible
to 29.499 shares
Zero Coupon, 03/03/09 3,000 1,710
--------
Total Convertible Bonds
(Cost $10,450,000) 10,543
--------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill
5.415%, 07/25/96 (B) 700 689
--------
Total U.S. Treasury Obligation
(Cost $689,000) 689
--------
REPURCHASE AGREEMENT -- 3.0%
Lehman Brothers
5.500%, dated 03/29/96, matures
04/01/96, repurchase price
$7,936,074 (collateralized by
various FHLMC obligations, par
value $12,885,000, 6.500%-10.000%:
total market value
$8,091,000) 7,932 7,932
--------
Total Repurchase Agreement
(Cost $7,932,000) 7,932
--------
Total Investments -- 100.0%
(Cost $235,495,000) 262,715
--------
OTHER ASSETS AND LIABILITIES -- 0.0%
Other Assets and Liabilities, Net 2
--------
NET ASSETS--100.0% $262,717
========
NET ASSETS CONSIST OF:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 15,563,381 outstanding shares
of beneficial interest 201,285
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
Portfolio shares of Class D (unlimited
authorization -- no par value) based
on 44,578 outstanding shares
of beneficial interest $ 722
Undistributed Net Investment Income 848
Accumulated Net Realized Gain
on Investments 32,629
Net Unrealized Appreciation on
Futures Contracts 13
Net Unrealized Appreciation on
Investments 27,220
--------
Total Net Assets $262,717
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 16.83
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class D $ 16.82
========
Maximum Offering Price Per Share --
Class D ($16.82 / 95%) $ 17.71
========
* 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
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
EQUITY INCOME PORTFOLIO
COMMON STOCKS -- 97.1%
AEROSPACE DEFENSE -- 2.3%
BF Goodrich 70,600 $ 5,613
--------
BANKS -- 11.7%
Banc One 180,750 6,439
BankAmerica 69,700 5,402
Fleet Financial Group 92,400 3,742
JP Morgan 68,600 5,694
National City 72,800 2,557
US Bancorp 83,800 2,849
Wachovia 41,292 1,848
--------
28,531
--------
BEAUTY PRODUCTS -- 0.9%
International Flavors & Fragrances 47,700 2,284
--------
CHEMICALS -- 4.4%
Betz Laboratories 31,100 1,446
Dow Chemical 64,800 5,630
21
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
EQUITY INCOME PORTFOLIO
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
EI duPont de Nemours 12,800 $ 1,062
Witco Chemical 73,800 2,601
-------
10,739
-------
DRUGS -- 8.1%
American Home Products 45,660 4,948
Baxter International 34,300 1,552
Bristol-Myers Squibb 91,000 7,792
Pharmacia & Upjohn 86,200 3,437
Warner Lambert 18,600 1,920
-------
19,649
-------
ELECTRICAL SERVICES -- 10.1%
Baltimore Gas & Electric 108,450 2,996
Central & South West 100,600 2,867
Dominion Resources 58,170 2,305
Florida Progress 64,000 2,184
PacifiCorp 133,300 2,783
TECO Energy 104,400 2,597
Texas Utilities 121,500 5,027
Wisconsin Energy 130,100 3,691
-------
24,450
-------
ELECTRICAL TECHNOLOGY -- 1.0%
Thomas & Betts 31,300 2,348
-------
FINANCIAL SERVICES -- 1.9%
Beneficial 29,900 1,723
FNMA 91,900 2,929
-------
4,652
-------
FOOD, BEVERAGE & TOBACCO -- 10.3%
American Brands 80,800 3,424
Anheuser Busch 60,700 4,090
Earthgrains 2,484 74
General Mills 79,800 4,658
HJ Heinz 53,400 1,769
Philip Morris 82,600 7,248
UST 119,100 3,796
-------
25,059
-------
GAS/NATURAL GAS -- 3.9%
Consolidated Natural Gas 120,700 5,250
Nicor 38,500 1,030
Sonat 20,900 752
Tenneco 43,500 2,430
-------
9,462
-------
HOUSEHOLD PRODUCTS -- 1.2%
Clorox 32,700 2,816
-------
INSURANCE -- 6.8%
American General 92,400 3,188
Jefferson Pilot 39,800 2,144
Lincoln National 35,934 1,824
Marsh & McLennan 38,300 3,557
- -------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Safeco 69,000 $ 2,311
St. Paul 62,600 3,474
-------
16,498
-------
MISCELLANEOUS MANUFACTURING -- 3.0%
General Electric 38,300 2,983
Minnesota Mining &
Manufacturing 67,200 4,360
-------
7,343
-------
PAPER & PAPER PRODUCTS -- 3.0%
Georgia-Pacific 10,000 694
International Paper 59,300 2,335
Weyerhaeuser 93,800 4,327
-------
7,356
-------
PETROLEUM REFINING -- 12.9%
Amoco 80,400 5,809
Atlantic Richfield 67,800 8,068
Chevron 62,700 3,519
Dresser Industries 73,800 2,251
Exxon 44,300 3,616
Phillips Petroleum 52,100 2,058
Texaco 70,600 6,072
-------
31,393
-------
PRINTING & PUBLISHING -- 1.0%
McGraw-Hill 27,500 2,386
-------
PROFESSIONAL SERVICES -- 1.4%
Dun & Bradstreet 55,700 3,377
-------
RAILROADS -- 0.5%
Union Pacific 18,000 1,235
-------
RETAIL -- 4.2%
JC Penney 152,800 7,602
May Department Stores 51,700 2,494
-------
10,096
-------
SPECIALTY MACHINERY -- 0.4%
Cooper Industries 26,500 1,034
-------
SPECIALTY SERVICES -- 1.2%
National Service Industries 77,000 2,791
-------
TELEPHONES & TELECOMMUNICATION -- 6.9%
Bell Atlantic 66,400 4,100
GTE 137,700 6,042
NYNEX 84,000 4,190
US West 72,966 2,362
-------
16,694
-------
Total Common Stocks
(Cost $195,689,000) 235,806
-------
22
<PAGE>
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill
5.415%, 07/25/96 (A) $800 $ 787
--------
Total U.S. Treasury Obligation
(Cost $787,000) 787
--------
REPURCHASE AGREEMENT -- 0.2%
J.P. Morgan
5.350%, dated 03/29/96, matures
04/01/96, repurchase price
$437,824, (collateralized by
FNMA, 6.500%, 03/01/26:
total market value $446,000) 438 438
--------
Total Repurchase Agreement
(Cost $438,000) 438
--------
Total Investments -- 97.6%
(Cost $196,914,000) 237,031
--------
OTHER ASSETS AND LIABILITIES -- 2.4%
Other Assets and Liabilities, Net 5,926
--------
NET ASSETS--100.0% $242,957
========
NET ASSETS CONSIST OF:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 15,263,702 outstanding shares
of beneficial interest $184,934
Portfolio shares of Class D (unlimited
authorization -- no par value) based
on 134,802 outstanding shares
of beneficial interest 1,825
Undistributed Net Investment Income 1,919
Accumulated Net Realized Gain
on Investments 14,167
Net Unrealized Depreciation on
Futures Contracts (5)
Net Unrealized Appreciation on
Investments 40,117
--------
Total Net Assets $242,957
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 15.78
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class D $ 15.75
========
Maximum Offering Price Per Share --
Class D ($15.75 / 95%) $ 16.58
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL--CLASS
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
BALANCED PORTFOLIO
- ------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- ------------------------------------------------------------
COMMON STOCKS -- 53.0%
AIR TRANSPORTATION -- 0.2%
Southwest Airlines 5,000 $ 148
------
AIRCRAFT -- 2.1%
Allied Signal 7,700 455
General Dynamics 2,700 158
Lockheed Martin 4,700 357
United Technologies 3,800 427
------
1,397
------
AUTOMOTIVE -- 1.2%
General Motors 7,900 421
General Motors, Cl E 6,700 382
------
803
------
BANKS -- 2.5%
Bank of Boston* 6,900 342
Chemical Banking 7,100 501
Cullen/Frost Bankers 2,500 123
First Interstate 1,200 208
Integra Financial 5,800 407
Signet Banking 5,000 124
------
1,705
------
BEAUTY PRODUCTS -- 1.5%
Colgate-Palmolive 3,400 265
Procter & Gamble 8,800 746
------
1,011
------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 1.6%
Tele-Communications, Cl A 29,500 547
Viacom, Cl B 13,665 576
------
1,123
------
BUILDING & CONSTRUCTION -- 0.4%
Foster Wheeler 5,700 253
------
CHEMICALS -- 1.2%
Air Products & Chemicals 5,200 284
EI duPont de Nemours 3,500 290
Hercules 3,400 211
------
785
------
COMMUNICATIONS EQUIPMENT -- 1.8%
ITT* 5,800 348
Motorola 7,684 407
Scientific-Atlanta 26,300 467
------
1,222
------
23
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
BALANCED PORTFOLIO
- -------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------
COMPUTERS & SERVICES -- 2.6%
Bay Networks* 3,900 $ 120
Cisco Systems* 9,500 440
Hewlett Packard 3,000 282
IBM 4,100 456
Microsoft 4,800 495
------
1,793
------
CONTAINERS & PACKAGING -- 0.4%
Newell 11,000 294
------
DRUGS -- 4.8%
Abbott Laboratories 6,100 249
American Home Products 900 98
Amgen* 1,000 58
Bristol-Myers Squibb 2,400 206
Bush Boake Allen* 5,200 135
Johnson & Johnson 8,000 738
Merck 7,000 436
Pfizer 8,800 590
Schering Plough 600 35
SmithKline Beecham 11,600 597
Warner Lambert 1,500 155
------
3,297
------
ELECTRICAL SERVICES -- 0.9%
Central & South West 7,000 200
PacifiCorp 3,800 79
Texas Utilities 8,000 331
------
610
------
ELECTRICAL TECHNOLOGY -- 0.2%
Duracell International 2,800 139
------
ENTERTAINMENT -- 0.6%
Walt Disney 6,636 424
------
ENVIRONMENTAL SERVICES -- 0.5%
WMX Technologies 11,600 368
------
FINANCIAL SERVICES -- 1.6%
Dean Witter Discover 400 23
FHLMC 4,200 358
FNMA 2,500 80
ITT Hartford Group* 4,200 206
Travelers 6,100 403
------
1,070
------
FOOD, BEVERAGE & TOBACCO -- 3.5%
Coca-Cola 4,200 347
CPC International 8,100 562
PepsiCo 7,700 487
Philip Morris 7,700 676
Ralston--Ralston Purina Group 1,700 114
Sara Lee 6,800 222
------
2,408
------
- -------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------
GAS/NATURAL GAS -- 0.3%
Enron 5,200 $ 192
------
HOUSEHOLD FURNITURE & FIXTURES -- 0.1%
Masco 2,300 67
------
HOUSEHOLD PRODUCTS -- 0.2%
Gillette 2,200 114
------
INSURANCE -- 2.7%
American International Group 4,050 379
Chubb 2,500 235
General Re 4,100 598
MGIC Investment 5,200 283
PMI Group 4,300 188
United Healthcare 2,200 135
------
1,818
------
LEISURE PRODUCTS -- 0.3%
Mattel 8,000 217
------
MACHINERY -- 4.4%
Deere 7,700 321
Dresser Industries 3,600 110
Emerson Electric 2,700 218
General Electric 10,800 841
General Signal 22,300 808
Tyco Labs 20,400 729
------
3,027
------
MARINE TRANSPORTATION -- 1.5%
Carnival 21,700 597
Molten Metal Technology* 13,000 435
------
1,032
------
MEDICAL PRODUCTS & SERVICES -- 2.1%
Columbia/HCA Healthcare 10,020 579
Healthsouth Rehabilitation* 3,800 129
Medtronic 1,100 65
Tenet Healthcare 12,000 252
Varian Associates 2,400 120
Vencor* 7,400 255
------
1,400
------
MISCELLANEOUS BUSINESS SERVICES-- 0.8%
Automatic Data Processing 600 24
First Data 2,000 141
Oracle Systems 7,600 358
------
523
------
PETROLEUM & FUEL PRODUCTS -- 0.3%
Schlumberger 2,600 206
------
24
<PAGE>
- -------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------
PETROLEUM REFINING -- 2.0%
Amoco 5,300 $ 383
Atlantic Richfield 1,800 214
Chevron 100 6
Exxon 4,000 326
Mobil 3,700 429
------
1,358
------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 1.2%
Eastman Kodak 5,400 383
Xerox 3,600 452
------
835
------
RAILROADS -- 1.3%
Burlington Northern Santa Fe 5,000 411
Conrail 1,300 93
Union Pacific 5,400 370
------
874
------
RETAIL -- 4.5%
Federated Department Stores* 9,500 306
General Nutrition* 3,100 78
Home Depot 18,133 868
Intimate Brands 11,800 229
Marriott International 3,100 147
McDonald's 16,200 778
Office Depot 11,200 220
Safeway 2,000 57
Wal-Mart Stores 11,300 261
Wendy's International 7,300 132
------
3,076
------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.3%
AMP 2,300 95
Intel 2,000 114
------
209
------
SPECIALTY MACHINERY -- 0.6%
American Standard* 11,600 339
Cooper Industries 1,800 70
------
409
------
STEEL & STEEL WORKS -- 0.6%
Aluminum Company of America 3,700 231
Worthington Industries 10,000 199
------
430
------
TELEPHONES & TELECOMMUNICATION -- 1.6%
Airtouch Communications 2,500 78
Alltel 4,600 142
AT&T 12,900 790
BellSouth 2,100 78
------
1,088
------
- -------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
WHOLESALE -- 0.6%
Arrow Electronics* 4,300 $ 202
Sysco 6,100 201
-------
403
-------
Total Common Stocks
(Cost $32,111,000) 36,128
-------
PREFERRED STOCKS -- 1.1%
CONTAINERS & PACKAGING -- 0.2%
Crown Cork & Seal 2,950 142
-------
TELEPHONES & TELECOMMUNICATION -- 0.6%
Citizens Utilities 8,000 376
-------
WHOLESALE -- 0.3%
Westinghouse Electric, Convertible
to 0.885 shares (A) 13,000 237
-------
Total Preferred Stocks
(Cost $750,000) 755
-------
U.S. TREASURY OBLIGATIONS -- 15.0%
U.S. Treasury Notes
6.625%, 03/31/97 $3,525 3,564
8.500%, 07/15/97 250 259
8.750%, 10/15/97 120 125
7.000%, 04/15/99 500 514
6.750%, 05/31/99 780 796
7.125%, 02/29/00 862 893
6.875%, 03/31/00 690 709
7.750%, 02/15/01 1,545 1,649
7.250%, 05/15/04 1,615 1,702
-------
Total U.S. Treasury Obligations
(Cost $10,176,000) 10,211
-------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 12.4%
FHLMC
6.000%, 12/01/98 450 447
8.000%, 06/01/02 555 571
7.000%, 10/01/02 701 708
8.000%, 12/01/02 802 822
FHLMC REMIC
5.750%, 02/15/19 1,185 1,149
FNMA
7.500%, 10/25/05 2,000 2,030
5.500%, 12/25/05 500 492
8.500%, 04/01/17 916 947
GNMA
9.000%, 06/15/25 1,106 1,183
-------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $8,315,000) 8,349
-------
25
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
BALANCED PORTFOLIO
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
CORPORATE OBLIGATIONS -- 10.9%
AMR
9.500%, 07/15/98 $ 275 $ 290
Associates of North America
6.375%, 10/15/02 1,345 1,318
Beneficial
8.375%, 12/29/99 870 922
Capital One Bank
6.660%, 08/17/98 220 221
General Electric Capital
8.125%, 02/01/99 360 378
General Motors Acceptance
7.125%, 05/15/03 1,200 1,214
International Lease Finance
6.290%, 10/01/99 795 792
Merrill Lynch
6.640%, 09/19/02 475 468
Salomon Brothers
5.650%, 02/10/98 530 520
Sears Roebuck
9.250%, 08/01/97 400 416
Smith Barney Holdings
6.875%, 06/15/05 920 907
-------
Total Corporate Obligations
(Cost $7,493,000) 7,446
-------
CONVERTIBLE BOND -- 0.8%
USF&G, Convertible
to 29.499 shares
0.000%, 03/03/09 1,000 570
-------
Total Convertible Bond
(Cost $565,000) 570
-------
ASSET-BACKED SECURITY -- 0.0%
Merrill Lynch
5.125%, 07/15/98 14 14
-------
Total Asset-Backed Security
(Cost $14,000) 14
-------
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
REPURCHASE AGREEMENT -- 5.4%
J.P. Morgan
5.350%, dated 03/29/96, matures
04/01/96, repurchase price
$3,702,000 (collateralized by
various FNMA obligations, par
value $3,972,000, 6.500%,
01/01/26-03/01/26:
total market value $3,774,000) $3,700 $ 3,700
-------
Total Repurchase Agreement
(Cost $3,700,000) 3,700
-------
Total Investments -- 98.6%
(Cost $63,124,000) 67,173
-------
OTHER ASSETS AND LIABILITIES -- 1.4%
Other Assets and Liabilities, Net 929
-------
NET ASSETS--100.0% $68,102
=======
NET ASSETS CONSIST OF:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 5,090,302 outstanding shares
of beneficial interest 58,873
Undistributed Net Investment Income 484
Accumulated Net Realized Gain
on Investments 4,696
Net Unrealized Appreciation on
Investments 4,049
-------
Total Net Assets $68,102
=======
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 13.38
=======
* 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.
CL--CLASS
FHLMC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
26
<PAGE>
CORE FIXED INCOME PORTFOLIO
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 26.1%
U.S. Treasury Bills
5.126%, 07/11/96 (C) $ 1,300 $ 1,281
4.820%, 07/18/96 (C) 500 492
U.S. Treasury Bonds
9.250%, 02/15/16 35,550 44,802
6.875%, 08/15/25 710 721
6.000%, 02/15/26 10,540 9,623
U.S. Treasury Notes
7.875%, 01/15/98 2,000 2,070
6.750%, 05/31/99 8,100 8,272
7.500%, 10/31/99 15,280 15,978
5.875%, 11/15/05 2,300 2,216
6.250%, 08/15/23 53,388 49,350
U.S. Treasury STRIPS
Zero Coupon, 08/15/00 50,900 9,360
-------
Total U.S. Treasury Obligations
(Cost $148,238,000) 144,165
-------
CORPORATE OBLIGATIONS -- 20.8%
Bank of Nova Scotia
9.125%, 08/19/99 2,000 2,138
BankAmerica
9.200%, 05/15/03 1,000 1,126
Banque Paribas
6.875%, 03/01/09 4,000 3,695
Barclays North America Capital
9.750%, 05/15/21 1,600 1,842
Bear Stearns
6.500%, 06/15/00 3,000 2,978
Becton Dickinson
9.250%, 06/01/16 3,000 3,135
Commonwealth Edison
9.875%, 06/15/20 1,000 1,134
Dayton Hudson
8.600%, 01/15/12 1,116 1,193
Dresdner Bank
7.250%, 09/15/15 2,000 1,978
Equitable
9.000%, 12/15/04 4,700 5,299
Federal Express
9.625%, 10/15/19 1,000 1,095
Federal Paperboard
8.875%, 07/01/12 2,000 2,235
Ford Capital
10.125%, 11/15/00 1,500 1,708
Ford Motor Credit
8.375%, 01/15/00 1,000 1,060
6.850%, 08/15/00 4,000 4,040
Goldman Sachs
6.250%, 02/01/03 5,500 5,259
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Hydro Quebec
8.050%, 07/07/24 $ 3,000 $ 3,259
Hydro Quebec Ser GW
9.750%, 01/15/18 2,000 2,253
Lehman Brothers Holdings
5.500%, 06/15/96 5,000 5,000
7.625%, 07/15/99 3,030 3,117
Loew's
7.625%, 06/01/23 3,000 2,899
Long Island Lighting
9.625%, 07/01/24 2,460 2,515
NCNB Bank
10.200%, 07/15/15 3,000 3,791
News America Holdings
7.750%, 12/01/45 4,800 4,440
Niagara Mohawk Power
9.750%, 11/01/05 3,680 3,703
Norsk Hydro A/S
9.000%, 04/15/12 1,850 2,114
Northrop Grumman (B)
7.875%, 03/01/26 1,480 1,430
Paine Webber Group
7.625%, 02/15/14 4,000 3,850
Republic of Italy Global Bond
6.875%, 09/27/23 1,000 897
RJR Nabisco
8.750%, 08/15/05 1,300 1,264
8.750%, 07/15/07 2,960 2,838
Salomon Brothers
7.750%, 05/15/00 1,500 1,530
Southern California Edison
8.875%, 05/01/23 770 801
Soyland Power Cooperative
9.700%, 09/30/17 1,500 1,629
Swiss Bank
7.000%, 10/15/15 2,000 1,925
System Energy Resources
7.430%, 01/15/11 2,808 2,675
Tele-Communications
9.250%, 01/15/23 1,000 1,038
Tennesee Gas Pipeline
6.000%, 12/15/11 2,269 1,934
Time Warner
9.150%, 02/01/23 1,730 1,851
Time Warner Entertainment
8.375%, 07/15/33 3,000 3,015
Union Camp
10.000%, 05/01/19 2,000 2,280
United Airlines
11.210%, 05/01/14 2,710 3,455
Wal-Mart Stores
8.000%, 05/01/96 2,500 2,503
27
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
CORE FIXED INCOME PORTFOLIO
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Walt Disney
(Semi-annual coupon
through 03/01/97; future
coupons based on revenues
from a portfolio of live action
films) (A) (B)
2.000%, 03/01/00 $ 4,200 $ 4,709
Weyerhaeuser
7.250%, 07/01/13 2,200 2,192
--------
Total Corporate Obligations
(Cost $115,343,000) 114,822
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.9%
FHLB (A)
5.100%, 07/08/96 5,000 4,993
RFCO STRIPS
Zero Coupon, 10/15/20 7,300 1,293
Resolution Trust Funding
8.625%, 01/15/30 1,660 2,029
Resolution Trust Funding STRIP
Zero Coupon, 10/15/19 5,730 1,084
RFCO STRIPS
Zero Coupon, 01/15/17 2,539 580
Zero Coupon, 04/15/17 1,913 429
--------
Total U.S. Government Agency Obligations
(Cost $9,942,000) 10,408
--------
U.S. GOVERNMENT MORTGAGE-
PASS-THRU OBLIGATIONS -- 18.3%
FHLMC
9.000%, 12/01/05 407 429
7.500%, 11/01/07 2,291 2,328
8.000%, 08/01/25-01/01/26 25 29
6.500%, 08/01/25-02/01/06 11,554 11,012
FHLMC 15 Year Gold TBA
6.500%, 04/16/11 12,000 11,756
7.500%, 04/16/11 208 210
FHLMC 30 Year Gold TBA
7.000%, 04/01/26 12,900 12,573
7.000%, 05/01/26 12,500 12,184
FHLMC CMO Ser. 11-C
9.500%, 04/15/19 347 355
FHLMC REMIC
7.000%, 11/15/19 72 72
FNMA
8.500%, 09/01/13 208 216
FNMA 30 Year TBA
6.500%, 04/11/26 18,500 17,546
6.500%, 05/01/26 8,400 7,967
FNMA REMIC IO Ser. G-23
(Monthly Reset = -69.3846 x 1
Month LIBOR + 111,362.404 BP)
732.840%, 06/25/21 (A) (D) 17 335
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
GNMA
7.500%, 09/15/06 $ 2,836 $ 2,835
7.500%, 04/15/07 63 64
7.500%, 04/15/23 6,477 6,473
GNMA TBA
8.000%, 04/15/26 14,400 14,710
--------
Total U.S. Government Mortgage-
Pass-Thru Obligations
(Cost $101,966,000) 101,094
--------
ASSET-BACKED SECURITIES -- 11.3%
AT&T Universal Card
5.950%, 10/17/02 5,000 4,907
Banc One Credit Card
6.300%, 09/15/00 5,000 4,990
Champion 95-2 A2 (B)
7.340%, 10/25/26 4,934 5,021
Chemical Master Credit Card
6.230%, 06/15/03 5,175 5,124
Discover Card
6.550%, 08/15/00 5,000 5,050
First Chicago
7.150%, 04/15/01 5,000 5,140
First USA Credit Card 93-1-A
(Monthly Reset = 1 X 1 Month
LIBOR + 30 BP) (A)
5.675%, 02/15/00 2,000 2,007
Household Private Label
Credit Card
7.800%, 09/20/03 1,700 1,765
NationsBank
6.450%, 04/15/03 7,000 7,053
Olympic Automobile Trust 95-A
7.875%, 07/15/01 2,823 2,892
Premier Auto Trust 92-5
4.550%, 03/15/98 1,193 1,185
Premier Auto Trust 93-A3
4.900%, 12/15/98 1,402 1,395
Premier Auto Trust 95-3
5.950%, 12/06/98 2,220 2,222
Sears Credit
7.000%, 08/15/00 7,000 7,178
Security Pacific Home Equity
Loan 91-2-A
8.100%, 06/15/00 2,884 2,910
SPNB Home Equity Loan
7.850%, 05/15/98 103 104
USAA Auto Loan Grantor Trust
5.000%, 11/15/99 3,201 3,190
--------
Total Asset-Backed Securities
(Cost $71,211,000) 62,133
--------
28
<PAGE>
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS -- 9.1%
Community Program Loan Trust
4.500%, 10/01/18 $2,550 $ 2,157
Fund America Investors CMO
REMIC ARM Ser 1993-A (A)
7.741%, 06/25/23 7,903 7,953
Nomura Asset Securities
96-MD-V-A1B
7.120%, 04/25/39 2,100 2,098
Prudential Home Mortgage
Securities 93-52-A CMO
REMIC (A)
8.119%, 11/25/23 1,536 1,565
RTC 92-7-A2D
8.350%, 06/25/29 6,052 6,105
RTC ARM 92-B3 (A)
6.743%, 06/25/21 2,261 2,228
RTC ARM M-6 (A)
6.756%, 05/25/21 12,103 11,635
RTC ARM M-3 (A)
8.153%, 09/25/29 5,679 5,726
RTC 92-12-A2A
7.500%, 08/25/23 2,380 2,398
SASCO 93-C1
6.600%, 10/25/24 (E) 8,000 7,783
SASCO 96-CFL CC
6.525%, 02/25/28 (E) 850 820
-------
Total Mortgage-Backed Obligations
(Cost $42,093,000) 50,468
-------
REPURCHASE AGREEMENTS -- 23.3%
J.P. Morgan
5.430%, dated 03/29/96, matures
04/01/96, repurchase price
$59,570,000 (collateralized by
various FHLMC obligations,
total par $8,988,000,
7.000%, 02/01/11-02/01/26
and various FNMA obligations,
total par $51,348,000, 6.500%,
12/01/25-03/01/26:
total market value $57,676,000) 56,545 56,545
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Lehman Brothers
5.430%, dated 03/29/96, matures
04/01/96, repurchase price
$72,055,000 (collateralized by
various FHLMC obligations,
total par $201,258,000,
6.000%-11.000%,
02/01/11-02/01/26:
total market value
$73,456,000) $72,022 $ 72,022
--------
Total Repurchase Agreements
(Cost $128,567,000) 128,567
--------
Total Investments -- 110.8% of Net Assets
(Cost $617,360,000) $611,657
========
(A) VARIABLE RATE SECURITY--THE RATE REPORTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT AS OF MARCH 31, 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) INVERSE FLOATER
(E) STRUCTURED NOTE
ARM--ADJUSTABLE RATE MORTGAGE
BP--BASIS POINTS
CMO--COLLATERALIZED MORTGAGE OBLIGATION
FHLB--FEDERAL HOME LOAN BANK
FHMLC--FEDERAL HOME LOAN MORTGAGE CORPORATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO--INTEREST ONLY
LIBOR--LONDON INTER BANK OFFERING RATE
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
RFCO--RESOLUTION TRUST FUNDING CORPORATION
RTC--RESOLUTION TRUST CORPORATION
SER--SERIES
STRIPS--SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL
SECURITIES
TBA--TO BE ANNOUNCED
29
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
BOND PORTFOLIO
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 98.2%
U.S. Treasury Bonds
7.500%, 11/15/16 $12,800 $13,702
7.125%, 02/15/23 900 927
U.S. Treasury Notes
6.500%, 09/30/96 5,325 5,356
6.875%, 10/31/96 1,245 1,255
7.250%, 11/30/96 5,050 5,107
6.875%, 02/28/97 4,650 4,707
6.500%, 04/30/97 3,400 3,433
5.625%, 11/30/00 3,375 3,306
5.750%, 08/15/03 3,150 3,042
6.500%, 08/15/05 3,300 3,321
-------
Total U.S. Treasury Obligations
(Cost $43,254,000) 44,156
-------
REPURCHASE AGREEMENT--0.5%
J.P. Morgan
5.320%, dated 03/29/96, matures
04/01/96, repurchase price
$207,000 (collaterized by FFCB
obligation, total par value $215,000,
7.000% 05/15/96:
total market value $213,000) 207 207
-------
Total Repurchase Agreement
(Cost $207,000) 207
-------
Total Investments -- 98.7%
(Cost $43,461,000) 44,363
-------
OTHER ASSETS AND LIABILITIES, -- 1.3%
Other Assets and Liabilities, Net 583
-------
NET ASSETS--100.0% $44,946
=======
NET ASSETS CONSIST OF:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 4,167,662 outstanding shares
of beneficial interest 48,249
Portfolio shares of Class D (unlimited
authorization -- no par value) based
on 9,054 outstanding shares
of beneficial interest 102
Undistributed Net Investment Income 223
Accumulated Net Realized Loss
on Investments (4,530)
Net Unrealized Appreciation on
Investments 902
-------
Total Net Assets $44,946
=======
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 10.76
=======
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share-- Class D $ 10.74
=======
Maximum Offering Price Per Share --
Class D ($10.74 / 95.5%) $ 11.25
=======
FFCB--FEDERAL FARM CREDIT BANK
HIGH YIELD BOND PORTFOLIO
CORPORATE OBLIGATIONS -- 80.4%
Airplanes Pass Through Trust
10.875%, 03/15/19 $300 $ 306
AK Steel
10.750%, 04/01/04 100 110
Allied Waste Industries
12.000%, 02/01/04 50 54
Alvey Systems (A)
11.375%, 01/31/03 400 414
American Communication
Services (A) (B)
0.000%, 11/01/05 500 280
American Restaurant Group
12.000%, 09/15/98 100 90
American Standard (B)
0.000%, 06/01/05 250 214
American Telecasting (B)
0.000%, 06/15/04 250 183
AMF Group (A)
10.875%, 03/15/06 300 299
Arcadian Partner, Ser B
10.750%, 05/01/05 100 109
Arch Communications Group (B)
0.000%, 03/15/08 700 399
Argyle Television
9.750%, 11/01/05 250 241
Armco
11.375%, 10/15/99 100 104
Associated Materials
11.500%, 08/15/03 250 200
A+ Network
11.875%, 11/01/05 250 256
Bally's Casino Holding
0.000%, 06/15/98 500 420
Bally's Grand
10.375%, 12/15/03 250 256
Bally's Health & Tennis
13.000%, 01/15/03 100 84
Bally's Park Place
9.250%, 03/15/04 200 201
Bayou Steel
10.250%, 03/01/01 100 91
Bell Cablemedia (B)
0.000%, 07/15/04 450 325
30
<PAGE>
HIGH YIELD BOND PORTFOLIO
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Beverly Enterprises
9.000%, 02/15/06 $400 $ 384
Big V Supermarkets
11.000%, 02/15/04 75 66
Brooks Fiber Properties (A) (B)
0.000%, 03/01/06 450 262
Building Materials (B)
0.000%, 07/01/04 400 301
Cablevision Industries
9.250%, 04/01/08 50 54
Cablevision Systems
9.875%, 02/15/13 150 156
9.250%, 11/01/05 250 250
CAI Wireless System
12.250%, 09/15/02 350 372
Casino Magic Financing
11.500%, 10/15/01 250 239
Cencall Communication (B)
0.000%, 01/15/04 100 59
Century Communications
9.750%, 02/15/02 250 258
CF Cable Television
11.625%, 02/15/05 50 54
Chancellor Broadcasting
9.375%, 10/01/04 400 380
Charter Communications
11.250%, 03/15/06 750 750
Coast Hotels & Casino (A)
13.000%, 12/15/02 500 500
Cole National
11.250%, 10/01/01 100 102
Comcast
9.375%, 05/15/05 150 152
9.500%, 01/15/08 50 51
10.625%, 07/15/12 50 54
Comcast UK Cable (B)
0.000%, 11/15/07 500 289
Commodore Media (B)
7.500%, 05/01/03 100 98
Container
9.750%, 04/01/03 50 50
Continental Cablevision
11.000%, 06/01/07 100 113
9.500%, 08/01/13 150 167
Coty
10.250%, 05/01/05 100 104
County Seat Stores
12.000%, 10/01/02 100 73
Courtyard by Marriott
10.750%, 02/01/08 350 347
Crown Packaging Holdings (B)
0.000%, 11/01/03 300 134
Crown Paper
11.000%, 09/01/05 250 231
Dairy Mart Convenience Stores
10.250%, 03/15/04 200 181
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Day International Group
11.125%, 06/01/05 $200 $ 207
Diamond Cable Communication (B)
0.000%, 12/15/05 350 207
0.000%, 09/30/04 300 213
Doman Industries
8.750%, 03/15/04 250 229
Duane Reade
12.000%, 09/15/02 250 239
El Paso Electric
8.900%, 02/01/06 400 404
Exide
10.000%, 04/15/05 100 102
Falcon Holding Group PIK
11.000%, 09/15/03 433 424
Farm Fresh
12.250%, 10/01/00 200 173
Farm Fresh, Ser A
12.250%, 10/01/00 200 173
Figgie International
9.875%, 10/01/99 400 405
Fonorola
12.500%, 08/15/02 300 326
Fort Howard
9.000%, 02/01/06 350 343
Fresh del Monte Produce
10.000%, 05/01/03 300 281
Gaylord Container
11.500%, 05/15/01 50 51
Gaylord Container (B)
0.000%, 05/15/05 200 201
General Media
10.625%, 12/31/00 100 75
Genesis Health Ventures
9.750%, 06/15/05 100 103
Geneva Steel
9.500%, 01/15/04 100 78
Geotek Communications (A)
12.000%, 03/01/01 400 448
G-I Holdings
0.000%, 10/01/98 218 173
GNF
10.625%, 04/01/03 400 399
GPA Delaware
8.750%, 12/15/98 400 404
Granite Broadcasting (A)
9.375%, 12/01/05 300 284
Great Bay Property Funding
10.875%, 01/15/04 105 95
Great Lakes Carbon
10.000%, 01/01/06 250 257
Groupe Videotron
10.625%, 02/15/05 100 106
GS Technologies
12.000%, 09/01/04 100 100
31
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
HIGH YIELD BOND PORTFOLIO
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Harris Chemical (B)
10.250%, 07/15/01 $400 $ 394
Helicon Group (B)
9.000%, 11/01/03 400 402
Herff Jones
11.000%, 08/15/05 150 161
Hills Stores
10.250%, 09/30/03 250 247
Hines Horticulture
11.750%, 10/15/05 75 79
HMC Acquisition Properties (A)
9.000%, 12/15/07 250 239
Imax (B)
7.000%, 03/01/01 100 99
In-Flight Phone (B)
0.000%, 05/15/02 200 62
Integrated Health Services
9.625%, 05/31/02 250 250
Intelcom Group (B)
0.000%, 09/15/05 350 227
Interface Callable
9.500%, 11/15/05 250 251
Interlake
12.125%, 03/01/02 200 186
International Cabletel (B)
0.000%, 04/15/05 400 258
International Cabletel (A) (B)
0.000%, 02/01/06 500 284
Ithaca Industries (C)
11.125%, 12/15/02 100 43
IVAC
9.250%, 12/01/02 250 255
Jones Intercable
9.625%, 03/15/02 100 104
Jordan Industries
10.375%, 08/01/03 300 276
JPS Automotive Products
11.125%, 06/15/01 100 99
Kelley Oil & Gas
13.500%, 06/15/99 400 421
Knoll (A)
10.875%, 03/15/06 400 408
Laroche Industries
13.000%, 08/15/04 250 268
Malette
12.250%, 07/15/04 100 105
Marcus Cable (B)
0.000%, 12/15/05 500 324
Marvel III Holdings, Ser B
9.125%, 02/15/98 250 226
Maxus Energy
9.875%, 10/15/02 250 253
Merit Behavioral Care (A)
11.500%, 11/15/05 250 264
Mesa (B)
12.750%, 06/30/98 400 391
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
MFS Communications (B)
0.000%, 01/15/04 $350 $ 267
0.000%, 01/15/06 150 94
Mobile Telecommunications
Technologies
13.500%, 12/15/02 300 316
Mobilemedia
9.375%, 11/01/07 250 244
Mohegan Tribal Gaming (A)
13.500%, 11/15/02 250 297
Monarch Marking Systems
12.500%, 07/01/03 200 214
Nextel Communications (B)
0.000%, 08/15/04 600 345
NL Industries
11.750%, 10/15/03 100 104
NL Industries (B)
0.000%, 10/15/05 200 151
NWCG Holding
0.000%, 06/15/99 500 362
Pagemart Nationwide (B)
0.000%, 02/01/05 600 401
Paging Network
10.125%, 08/01/07 200 211
Paracelsus Healthcare
9.875%, 10/15/03 300 304
Pathmark Stores (B)
0.000%, 11/01/03 300 181
Paxson Communications
11.625%, 10/01/02 250 266
Peoples Telephone
12.250%, 07/15/02 300 275
Pioneer Americas Acquisition
13.375%, 04/01/05 200 214
Plantronics
0.000%, 01/15/01 175 178
Portola Packaging
10.750%, 10/01/05 200 209
Pricellular Wireless (B)
0.000%, 10/01/03 350 275
Quorum Health
8.750%, 11/01/05 250 252
Red Roof Inns
9.625%, 12/15/03 50 49
Regency Health Services
9.875%, 10/15/02 250 252
Repap Wisconsin
9.875%, 05/01/06 100 92
Republic Engineered Steel
9.875%, 12/15/01 150 139
Resorts International Mortgage
11.000%, 09/15/03 400 406
Revlon Consumer Products
9.375%, 04/01/01 150 150
Revlon Consumer Products, Ser B
10.500%, 02/15/03 100 101
32
<PAGE>
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Revlon Worldwide
0.000%, 03/15/98 $600 $ 472
Rexene
11.750%, 12/01/04 250 259
Rifkin Acquisition Partners (A)
11.125%, 01/15/06 400 401
Rio Hotel & Casino
10.625%, 07/15/05 250 265
Rogers Cablesystem
10.000%, 03/15/05 100 104
Rogers Communications
9.125%, 01/15/06 400 389
Santa Fe Energy Resource
11.000%, 05/15/04 50 55
Santa Fe Hotel
11.000%, 12/15/00 90 68
SCI Television
11.000%, 06/30/05 50 53
Sherritt
10.500%, 03/31/14 150 165
Showboat
9.250%, 05/01/08 100 102
Showboat Marina (A)
13.500%, 03/15/03 250 257
Sinclair Broadcast Group
10.000%, 09/30/05 300 297
Specialty Equipment
11.375%, 12/01/03 250 258
Station Casinos
9.625%, 06/01/03 100 98
10.125%, 03/15/06 250 248
Stone Consolidated
10.250%, 12/15/00 200 210
Stone Container
9.875%, 02/01/01 150 142
10.750%, 10/01/02 150 150
Synthetic Industries
12.750%, 12/01/02 150 155
Telewest Communications
9.625%, 10/01/06 150 150
Telewest Communications (B)
0.000%, 10/01/07 100 60
Terra Nova Holding
10.750%, 07/01/05 250 280
Tracor
10.875%, 08/15/01 50 53
Trump Castle Funding
11.750%, 11/15/03 500 487
Trump Plaza Funding
10.875%, 06/15/01 250 277
Trump Taj Mahal, Ser A PIK
11.350%, 11/15/99 501 526
UCC Investors
11.000%, 05/01/03 50 52
Unilab
11.000%, 04/01/06 300 298
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Unisys
15.000%, 07/01/97 $300 $ 320
Unisys (A)
12.000%, 04/15/03 250 249
United International Holding
0.000%, 11/15/99 400 257
United Meridian
10.375%, 10/15/05 250 262
Universal Health Services
8.750%, 08/15/05 250 252
US Air
10.000%, 07/01/03 250 231
US Leather
10.250%, 07/31/03 200 161
Van de Kamps
12.000%, 09/15/05 250 264
Venture Holdings Trust
9.750%, 04/01/04 250 208
Viacom International
8.000%, 07/07/06 300 286
Videotron Holdings (B)
0.000%, 08/15/05 400 254
Vintage Petroleum
9.000%, 12/15/05 250 244
Waban
11.000%, 05/15/04 250 258
WCI Steel
10.500%, 03/01/02 250 251
Williamhouse-Regency (A)
13.000%, 11/15/05 250 278
Winstar Communications (B)
0.000%, 10/15/05 350 198
Winstar Communications (A)(B)
0.000%, 10/15/05 175 107
Wright Medical Technology, Ser B
10.750%, 07/01/00 50 52
Young Broadcasting (A)
9.000%, 01/15/06 400 377
-------
Total Corporate Obligations
(Cost $40,265,000) 41,132
-------
UNITS -- 5.9%
Australis Media 1 Unit= 1 senior
subordinate discount note +
1 warrant (B)
0.000%, 05/15/03 400 292
Casino America 1 Unit= 1 bond +
1 warrant
11.500%, 11/15/01 200 196
Cellular Communications 1 Unit=
1 senior discount note +
1 warrant (B)
0.000%, 08/15/00 500 300
33
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)/SHARES VALUE (000)
- --------------------------------------------------------------
Clearnet Communications 1 Unit=
10 senior discount notes + 33
warrants (B)
0.000%, 12/15/05 $650 $ 383
CS Wireless Systems 1 Unit= 4
senior discount notes + 1.1 shares
common stock (A) (B)
0.000%, 03/01/06 300 165
Exide Electronics Group 1 Unit= $1m
senior subordinate notes + warrant
to purchase 5.15 shares
common stock (A)
11.500%, 03/15/06 250 255
GST Telecommunications 1 Unit= 8
senior discount notes + 1
convertible senior subordinate
discount note (A) (B)
0.000%, 12/15/05 700 399
Health O Meter 1 Unit= 1 senior
subordinate note + 1 warrant
13.000%, 08/15/02 100 97
Intercel 1 Unit= 10 senior discount
notes + 32 warrants (B)
0.000%, 02/01/06 550 325
MVE 1 Unit= 1 senior note + 1
warrant
12.500%, 02/15/02 100 104
People's Choice TV 1 Unit= 1 senior
discount note + 1 warrant (B)
0.000%, 06/01/04 400 254
Wireless One 1 Unit= 1 senior note
+ 3 warrants
13.000%, 10/15/03 250 271
-------
Total Units
(Cost $2,830,000) 3,041
-------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 10.3%
FHLB Discount Note
5.250%, 04/01/96 5,285 5,285
-------
Total U.S. Government Agency
Obligations
(Cost $5,285,000) 5,285
-------
PREFERRED STOCKS -- 2.2%
AIRCRAFT
GPA Group PLC 7 256
BROADCASTING, NEWSPAPERS &
ADVERTISING
Cablevisions Systems (A) 2,500 253
K-III Communications (A) 4,000 390
- -------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------
FINANCIAL SERVICES
BCP/Essex Holdings 7,816 $ 199
-------
Total Preferred Stocks
(Cost $1,090,000) 1,098
-------
WARRANTS -- 0.1%
American Communication Services* 500 25
Commodore Media* 100 12
Intelcom Group* 1155 12
Wright Medical Technology* 21 3
-------
Total Warrants
(Cost $45,000) 52
-------
Total Investments -- 98.9%
(Cost $49,515,000) 50,608
-------
OTHER ASSETS AND LIABILITIES -- 1.1%
Other Assets and Liabilities, Net 574
-------
NET ASSETS--100.0% $51,182
=======
NET ASSETS CONSIST OF:
Portfolio shares of Class A (unlimited
authorization -- no par value) based
on 4,682,672 outstanding shares
of beneficial interest 49,572
Undistributed Net Investment Income 346
Accumulated Net Realized Gain
on Investments 171
Net Unrealized Appreciation on
Investments 1,093
-------
Total Net Assets $51,182
=======
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 10.93
=======
* 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 MARCH 31, 1996. THE INITIAL COUPON ON A STEP BOND CHANGES ON A
SPECIFIC DATE, TO A PREDETERMINED HIGHER RATE.
(C) IN DEFAULT ON INTEREST PAYMENTS.
FHLB--FEDERAL HOME LOAN BANK
PIK--PAYMENT IN KIND
PLC--PUBLIC LIMITED COMPANY
SER--SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
----------------
CORE FIXED
INCOME
----------------
ASSETS:
Investments at Market Value
(Cost $617,360,000) $611,657
Income Receivable 5,002
Receivable from Investment Securities Sold 63,954
Receivable from Capital Shares Sold 2,506
Other Assets 1,142
--------
Total Assets 684,261
--------
LIABILITIES:
Payable for Investment Securities Purchased 127,192
Payable for Capital Shares Repurchased 4,149
Securities Sold Short (Proceeds $288,000) 185
Other Liabilities 840
--------
Total Liabilities 132,366
--------
NET ASSETS: $551,895
========
NET ASSETS CONSIST OF:
Portfolio Shares of Class A
(unlimited authorization -- no par value) based on
53,152,736 outstanding shares of beneficial interest $542,308
Portfolio shares of Class D
(unlimited authorization -- no par value) based on
14,102 outstanding shares of beneficial interest 137
Undistributed Net Investment Income 2,738
Accumulated Net Realized Gain on Investments 12,563
Net Unrealized Depreciation on Futures Contracts (251)
Net Unrealized Appreciation on Securities Sold Short 103
Net Unrealized Depreciation on Investments (5,703)
--------
Total Net Assets $551,895
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $ 10.38
========
Net Asset Value, Offering and Redemption
Price Per Share-- Class D $ 10.35
========
Maximum Offering Price Per Share--
Class D ($10.35 / 95.5%) $ 10.84
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
35
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
--------- --------- --------- --------- -------- ------------
LARGE CAP LARGE CAP SMALL CAP SMALL CAP CAPITAL
VALUE GROWTH VALUE GROWTH MID-CAP APPRECIATION
--------- --------- --------- --------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 6,082 $ 2,015 $ 547 $ 215 $ 240 $ 2,321
Interest Income 410 485 217 520 41 506
-------- -------- -------- -------- -------- --------
Total Investment Income 6,492 2,500 764 735 281 2,827
-------- -------- -------- -------- -------- --------
EXPENSES:
Management Fees 704 650 221 518 44 501
Waiver of Management Fees -- -- (4) (21) (16) (19)
Contribution from Manager -- -- -- -- -- --
Investment Advisory Fees 704 743 410 963 51 573
Waiver of Investment Advisory Fees -- (79) -- -- -- --
Custodian/Wire Agent Fees 37 27 11 26 3 27
Transfer Agent Fees (1) -- -- -- 1 -- 1
Professional Fees 29 16 9 19 2 20
Registration Fees 13 9 4 17 5 32
Printing Expense 10 11 7 15 4 23
Trustee Fees 8 2 2 6 1 6
Insurance Expense 2 1 2 2 1 5
Pricing Fees 6 2 2 4 -- 4
Distribution Fees 107 77 23 63 1 21
Distribution Fees-- Class D (1) -- -- -- 1 -- 1
Amortization of Deferred
Organizational Costs -- 4 4 8 1 --
Other Expenses 9 1 3 9 1 9
-------- -------- -------- -------- -------- --------
Total Expenses 1,629 1,464 694 1,631 98 1,204
-------- -------- -------- -------- -------- --------
NET INVESTMENT INCOME (LOSS) 4,863 1,036 70 (896) 183 1,623
-------- -------- -------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net Realized Gain from Security
Transactions 12,800 17,394 7,331 42,249 1,411 36,083
Net Realized Gain from Futures
Contracts 427 217 146 52 -- 726
Net Gain on Closed Short Positions
in Securities -- -- -- -- -- --
Net Change in Unrealized
Appreciation (Depreciation) on
Investments 31,272 16,997 540 (18,943) (224) (4,684)
-------- -------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 49,362 $ 35,644 $ 8,087 $ 22,462 $ 1,370 $ 33,748
======== ======== ======== ======== ======== ========
</TABLE>
36
<PAGE>
<TABLE>
<CAPTION>
-------- -------- --------- ---------- -------- ----------
EQUITY CAPITAL CORE FIXED HIGH YIELD
INCOME BALANCED GROWTH(2) INCOME BOND BOND
-------- -------- --------- ---------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 4,684 $ 342 $ 328 $ -- $ -- $ --
Interest Income 181 913 242 15,562 1,574 1,753
-------- -------- -------- -------- -------- --------
Total Investment Income 4,865 1,255 570 15,562 1,574 1,753
-------- -------- -------- -------- -------- --------
EXPENSES:
Management Fees 430 121 137 737 72 61
Waiver of Management Fees (37) (35) (137) (205) (36) (17)
Contribution from Manager -- -- (47) -- -- --
Investment Advisory Fees 491 138 -- 572 70 85
Waiver of Investment Advisory Fees -- -- -- -- -- --
Custodian/Wire Agent Fees 23 7 4 40 5 3
Transfer Agent Fees (1) 3 -- -- -- -- --
Professional Fees 13 5 2 35 4 3
Registration Fees 19 4 24 21 6 1
Printing Expense 17 9 10 22 10 2
Trustee Fees 6 1 2 10 1 1
Insurance Expense 3 -- 2 3 1 1
Pricing Fees 3 1 -- 7 1 --
Distribution Fees 37 5 -- 54 5 4
Distribution Fees-- Class D (1) 4 -- -- -- -- --
Amortization of Deferred
Organizational Costs -- -- -- -- -- 4
Other Expenses 1 2 3 1 2 1
-------- -------- -------- -------- -------- --------
Total Expenses 1,013 258 -- 1,297 141 149
-------- -------- -------- -------- -------- --------
NET INVESTMENT INCOME (LOSS) 3,852 997 570 14,265 1,433 1,604
-------- -------- -------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net Realized Gain from Security
Transactions 22,073 5,139 14,231 7,617 2,164 181
Net Realized Gain from Futures
Contracts 472 -- -- 2,227 -- --
Net Gain on Closed Short Positions
in Securities -- -- -- 4,021 -- --
Net Change in Unrealized
Appreciation (Depreciation) on
Investments 1,228 (401) (15,303) (19,796) (2,406) 729
-------- -------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 27,625 $ 5,735 $ (502) $ 8,334 $ 1,191 $ 2,514
======== ======== ======== ======== ======== ========
<FN>
(1) FEES ARE INCURRED AT THE CLASS D LEVEL ONLY.
(2) THE CAPITAL GROWTH PORTFOLIO CLOSED ON 1/26/96.
</FN>
</TABLE>
37
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 1996
(UNAUDITED) AND FOR THE PERIOD ENDED SEPTEMBER 30, 1995.
<TABLE>
<CAPTION>
------------------ ---------------------- ---------------------- --------------------
LARGE CAP LARGE CAP SMALL CAP SMALL CAP
VALUE GROWTH VALUE GROWTH
------------------ ---------------------- ---------------------- --------------------
10/1/95- 10/1/94- 10/1/95- 12/20/94(1)- 10/1/95- 12/20/94(1)- 10/1/95- 10/1/94-
3/31/96 9/30/95 3/31/96 9/30/95 3/31/96 9/30/95 3/31/96 9/30/95
-------- -------- -------- ------------ -------- ------------ -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 4,863 $ 5,769 $ 1,036 $ 1,463 $ 70 $ 118 $ (896) $ (1,713)
Net Realized Gain (Loss) from
Security Transactions 13,227 8,976 17,611 5,582 7,477 1,807 42,301 60,571
Net Change in Unrealized
Appreciation (Depreciation)
of Investments 31,272 39,363 16,997 33,531 540 10,864 (18,943) 43,577
-------- -------- -------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations 49,362 54,108 35,644 40,576 8,087 12,789 22,462 102,435
-------- -------- -------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Class A (2,913) (5,593) (1,083) (860) (11) (146) -- --
Class D -- -- -- -- -- -- -- --
Net Realized Gains
Class A (8,350) (1,783) (5,917) -- (3,268) -- (55,473) (95)
Class D -- -- -- -- -- -- (169) --
-------- -------- -------- -------- -------- -------- -------- --------
Total Distributions (11,263) (7,376) (7,000) (860) (3,279) (146) (55,642) (95)
-------- -------- -------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 170,090 244,446 164,241 283,750 62,151 105,041 78,529 325,142
Shares Issued in Lieu
of Cash Distributions 8,247 4,571 5,523 633 2,512 100 36,973 64
Shares Redeemed (46,490) (97,235) (28,878) (26,722) (20,620) (14,809) (82,698) (417,431)
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 131,847 151,782 140,886 257,661 44,043 90,332 32,804 (92,225)
-------- -------- -------- -------- -------- -------- -------- --------
Class D:
Shares Issued -- -- -- -- -- -- 572 471
Shares Issued in Lieu
of Cash Distributions -- -- -- -- -- -- 146 --
Shares Redeemed -- -- -- -- -- -- (367) (29)
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions -- -- -- -- -- -- 351 442
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions 131,847 151,782 140,886 257,661 44,043 90,332 33,155 (91,783)
-------- -------- -------- -------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Assets 169,946 198,514 169,530 297,377 48,851 102,975 (25) 10,557
-------- -------- -------- -------- -------- -------- -------- --------
NET ASSETS:
Beginning of Period 331,692 133,178 297,377 -- 102,975 -- 311,024 300,467
-------- -------- -------- -------- -------- -------- -------- --------
End of Period $501,638 $331,692 $466,907 $297,377 $151,826 $102,975 $310,999 $311,024
======== ======== ======== ======== ======== ======== ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 12,390 21,273 12,225 25,564 5,225 9,750 4,560 21,497
Shares Issued in Lieu of
Cash Distributions 618 407 421 56 218 9 2,292 5
Shares Redeemed (3,397) (8,608) (2,154) (2,287) (1,741) (1,314) (4,687) (27,282)
-------- -------- -------- -------- -------- -------- -------- --------
Total Class A Transactions 9,611 13,072 10,492 23,333 3,702 8,445 2,165 (5,780)
======== ======== ======== ======== ======== ======== ======== ========
Class D:
Shares Issued -- -- -- -- -- -- 31 29
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- -- 9 --
Shares Redeemed -- -- -- -- -- -- (20) (1)
-------- -------- -------- -------- -------- -------- -------- --------
Total Class D Transactions -- -- -- -- -- -- 20 28
======== ======== ======== ======== ======== ======== ======== ========
Undistributed Net
Investment Income (Loss $ 2,406 $ 456 $ 556 $ 603 $ 31 $ (28) $ (1,179) $ (283)
======== ======== ======== ======== ======== ======== ======== ========
<FN>
(1) Commencement of operations
(2) The Capital Growth Portfolio closed on 1/26/96
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
38
<PAGE>
<TABLE>
<CAPTION>
------------------- ------------------ ------------------ -----------------
CAPITAL EQUITY
MID-CAP APPRECIATION INCOME BALANCED
------------------- ------------------ ------------------ -----------------
10/1/95- 10/1/94- 10/1/95- 10/1/94- 10/1/95- 10/1/94- 10/1/95- 10/1/94-
3/31/96 9/30/95 3/31/96 9/30/95 3/31/96 9/30/95 3/31/96 9/30/95
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 183 $ 21 $ 1,623 $ 6,557 $ 3,852 $ 11,811 $ 997 $ 1,979
Net Realized Gain (Loss) from
Security Transactions 1,411 6,416 36,809 22,785 22,545 21,863 5,139 1,528
Net Change in Unrealized
Appreciation (Depreciation)
of Investments (224) (3,370) (4,684) 33,283 1,228 25,307 (401) 6,199
-------- -------- -------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations 1,370 3,067 33,748 62,625 27,625 58,981 5,735 9,706
-------- -------- -------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Class A (140) -- (1,067) (7,592) (2,514) (12,234) (689) (1,951)
Class D -- -- (2) (12) (30) (41) -- --
Net Realized Gains
Class A -- (28) (29,520) (38,179) (28,137) (12,863) (1,716) (568)
Class D -- -- (91) (97) (254) (31) -- --
-------- -------- -------- -------- -------- -------- -------- --------
Total Distributions (140) (28) (30,680) (45,880) (30,935) (25,169) (2,405) (2,519)
-------- -------- -------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 7,821 40,217 27,146 114,358 46,384 112,061 9,430 22,864
Shares Issued in Lieu
of Cash Distributions 83 15 18,046 26,031 8,590 11,371 2,336 2,383
Shares Redeemed (13,726) (123,357) (97,100) (575,444) (61,350) (324,628) (17,458) (27,450)
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions (5,822) (83,125) (51,908) (435,055) (6,376) (201,196) (5,692) (2,203)
-------- -------- -------- -------- -------- -------- -------- --------
Class D:
Shares Issued -- 30 16 530 4,144 1,342 -- --
Shares Issued in Lieu
of Cash Distributions -- -- 72 31 255 61 -- --
Shares Redeemed (70) -- (224) (1,840) (4,668) (206) -- --
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions (70) 30 (136) (1,279) (269) 1,197 -- --
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions (5,892) (83,095) (52,044) (436,334) (6,645) (199,999) (5,692) (2,203)
-------- -------- -------- -------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Assets (4,662) (80,056) (48,976) (419,589) (9,955) (166,187) (2,362) 4,984
-------- -------- -------- -------- -------- -------- -------- --------
NET ASSETS:
Beginning of Period 28,006 108,062 311,693 731,282 252,912 419,099 70,464 65,480
-------- -------- -------- -------- -------- -------- -------- --------
End of Period $ 23,344 $ 28,006 $262,717 $311,693 $242,957 $252,912 $ 68,102 $ 70,464
======== ======== ======== ======== ======== ======== ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 611 3,757 1,637 7,758 2,934 7,800 720 1,979
Shares Issued in Lieu of
Cash Distributions 6 1 1,150 1,904 565 837 182 207
Shares Redeemed (1,055) (11,538) (5,838) (39,064) (3,830) (22,794) (1,336) (2,346)
-------- -------- -------- -------- -------- -------- -------- --------
Total Class A Transactions (438) (7,780) (3,051) (29,402) (331) (14,157) (434) (160)
======== ======== ======== ======== ======== ======== ======== ========
Class D:
Shares Issued -- 3 1 35 273 91 -- --
Shares Issued in Lieu of
Cash Distributions -- -- 5 2 17 4 -- --
Shares Redeemed (5) -- (14) (128) (299) (15) -- --
-------- -------- -------- -------- -------- -------- -------- --------
Total Class D Transactions (5) 3 (8) (91) (9) 80 -- --
======== ======== ======== ======== ======== ======== ======== ========
Undistributed Net
Investment Income (Loss $ 61 $ 18 $ 848 $ 294 $ 1,919 $ 611 $ 484 $ 176
======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
------------------ ------------------ ------------------ ---------------------
CAPITAL CORE FIXED HIGH YIELD
GROWTH(2) INCOME BOND BOND
------------------ ------------------ ------------------ ---------------------
10/1/95- 10/1/94- 10/1/95- 10/1/94- 10/1/95- 10/1/94- 10/1/95- 1/11/95(1)-
1/26/96 9/30/95 3/31/96 9/30/95 3/31/96 9/30/95 3/31/96 9/30/95
-------- -------- -------- -------- -------- -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 570 $ 2,275 $ 14,265 $ 25,034 $ 1,433 $ 5,526 $ 1,604 $ 971
Net Realized Gain (Loss) from
Security Transactions 14,231 10,562 13,865 9,892 2,164 (6,522) 181 81
Net Change in Unrealized
Appreciation (Depreciation)
of Investments (15,303) 10,875 (19,796) 23,651 (2,406) 13,663 729 364
-------- -------- -------- -------- -------- -------- -------- --------
Net Increase (Decrease) in Net
Assets from Operations (502) 23,712 8,334 58,577 1,191 12,667 2,514 1,416
-------- -------- -------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Class A (670) (2,254) (13,683) (24,852) (1,486) (5,869) (1,448) (781)
Class D -- -- (6) (7) (3) (7) -- --
Net Realized Gains
Class A (12,060) (16,475) -- (63) -- (876) (91) --
Class D -- -- -- -- -- (1) -- --
-------- -------- -------- -------- -------- -------- -------- --------
Total Distributions (12,730) (18,729) (13,689) (24,922) (1,489) (6,753) (1,539) (781)
-------- -------- -------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 5,400 -- 193,422 287,210 7,205 39,415 27,228 23,824
Shares Issued in Lieu
of Cash Distributions 12,646 13,103 7,968 10,246 755 3,304 1,454 755
Shares Redeemed (116,086) (39,776) (64,247) (223,096) (17,101) (117,666) (2,199) (1,490)
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions (98,040) (26,673) 137,143 74,360 (9,141) (74,947) 26,483 23,089
-------- -------- -------- -------- -------- -------- -------- --------
Class D:
Shares Issued -- -- 6 151 -- 32 -- --
Shares Issued in Lieu
of Cash Distributions -- -- 4 3 2 4 -- --
Shares Redeemed -- -- (71) -- (24) (31) -- --
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions -- -- (61) 154 (22) 5 -- --
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions (98,040) (26,673) 137,082 74,514 (9,163) (74,942) 26,483 23,089
-------- -------- -------- -------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Assets (111,272) (21,690) 131,727 108,169 (9,461) (69,028) 27,458 23,724
-------- -------- -------- -------- -------- -------- -------- --------
NET ASSETS:
Beginning of Period 111,272 132,962 420,168 311,999 54,407 123,435 23,724 --
-------- -------- -------- -------- -------- -------- -------- --------
End of Period $ -- $111,272 $551,895 $420,168 $ 44,946 $ 54,407 $ 51,182 $ 23,724
======== ======== ======== ======== ======== ======== ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 562 -- 18,358 29,084 654 3,914 2,522 2,297
Shares Issued in Lieu of
Cash Distributions 1,275 1,367 755 1,025 69 328 135 72
Shares Redeemed (9,821) (3,668) (6,095) (22,285) (1,554) (11,635) (203) (140)
-------- -------- -------- -------- -------- -------- -------- --------
Total Class A Transactions (7,984) (2,301) 13,018 7,824 (831) (7,393) 2,454 2,229
======== ======== ======== ======== ======== ======== ======== ========
Class D:
Shares Issued -- -- 1 15 -- 3 -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- -- -- --
Shares Redeemed -- -- (7) -- (2) (3) -- --
-------- -------- -------- -------- -------- -------- -------- --------
Total Class D Transactions -- -- (6) 15 (2) -- -- --
======== ======== ======== ======== ======== ======== ======== ========
Undistributed Net
Investment Income (Loss $ 61 $ 161 $ 2,738 $ 2,162 $ 223 $ 279 $ 346 $ 190
======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
39
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
ENDED MARCH 31, 1996 (UNAUDITED) AND FOR THE YEARS ENDED SEPTEMBER 30.
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET NET UNREALIZED DIVIDENDS FROM
VALUE, INVESTMENT GAINS FROM NET REALIZED NET ASSET
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------------
LARGE CAP VALUE PORTFOLIO
- -------------------------
CLASS A
1996 ** $13.00 $0.16 $1.53 $(0.11) $(0.29) $14.29 26.40%
1995 10.71 0.33 2.44 (0.33) (0.15) 13.00 26.83%
1994 11.54 0.28 (0.46) (0.27) (0.38) 10.71 (1.64)%
1993 12.49 0.31 0.22 (0.33) (1.15) 11.54 4.35%
1992 12.05 0.34 0.71 (0.33) (0.28) 12.49 9.17%
1991 9.30 0.35 2.92 (0.35) (0.17) 12.05 35.95%
- --------------------------
LARGE CAP GROWTH PORTFOLIO
- --------------------------
1996 ** $12.75 $0.03 $1.28 $(0.04) $(0.22) $13.80 20.90%
1995(9) 10.00 0.11 2.72 (0.08) -- 12.75 37.90%
- -------------------------
SMALL CAP VALUE PORTFOLIO
- -------------------------
1996** $12.19 $ -- $0.61 $ -- $(0.30) $12.50 10.36%
1995(10) 10.00 0.03 2.19 (0.03) -- 12.19 29.38%
- --------------------------
SMALL CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1996** $19.88 $(0.03) $1.25 $ -- $(3.66) $17.44 15.24%
1995 14.04 (0.14) 5.98 -- -- 19.88 41.65%
1994 14.67 (0.05) 0.07 -- (0.65) 14.04 0.23%
1993 10.65 (0.02) 4.05 (0.01) -- 14.67 37.81%
1992(4) 10.00 0.02 0.65 (0.02) -- 10.65 15.07%
CLASS D
1996** $19.78 $(0.04) $1.20 $ -- $(3.66) $17.28 14.64%*
1995 13.99 (0.09) 5.88 -- -- 19.78 41.44%*
1994(7) 14.04 (0.02) (0.03) -- -- 13.99 (3.02)%*
- -----------------
MID-CAP PORTFOLIO
- -----------------
CLASS A
1996** $13.04 $0.11 $0.62 $(0.08) $ -- $13.69 11.24%
1995 10.89 0.01 2.14 -- -- 13.04 19.78%
1994 12.10 0.01 (0.98) (0.01) (0.23) 10.89 (8.10)%
1993(3) 10.00 0.01 2.10 (0.01) -- 12.10 34.06%
CLASS D
1996** $12.96 $0.11 $0.59 $(0.01) $ -- $13.65 10.74%*
1995 10.87 (0.01) 2.10 -- -- 12.96 19.26%*
1994(6) 11.19 (0.01) (0.31) -- -- 10.87 (8.63)%*
- ------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ------------------------------
CLASS A
1996** $16.70 $0.09 $1.87 $(0.06) $(1.77) $16.83 25.14%
1995 15.18 0.22 2.42 (0.23) (0.89) 16.70 19.03%
1994 16.36 0.24 (0.22) (0.25) (0.95) 15.18 (0.11)%
1993 15.09 0.32 1.68 (0.30) (0.43) 16.36 13.50%
1992 14.15 0.30 1.23 (0.30) (0.29) 15.09 11.03%
1991 11.21 0.41 3.06 (0.40) (0.13) 14.15 31.69%
CLASS D
1996** $16.69 $0.06 $1.87 $(0.03) $(1.77) $16.82 24.76%*
1995 15.17 0.12 2.45 (0.16) (0.89) 16.69 18.52%*
1994 16.36 0.18 (0.22) (0.20) (0.95) 15.17 (0.46)%*
1993(2) 16.17 0.05 0.16 (0.02) -- 16.36 10.65%*
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF NET RATIO OF INVESTMENT
INVESTMENT EXPENSES INCOME (LOSS)
RATIO OF INCOME TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES (LOSS) NET ASSETS NET ASSETS PORTFOLIO AVERAGE
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE+
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------------
LARGE CAP VALUE PORTFOLIO
- -------------------------
CLASS A
1996 ** $501,638 0.81% 2.41% 0.81% 2.41% 24% $0.0528
1995 331,692 0.76% 2.92% 0.82% 2.86% 99% N/A
1994 133,178 0.75% 2.51% 0.75% 2.51% 67% N/A
1993 205,157 0.75% 2.64% 0.76% 2.63% 96% N/A
1992 242,065 0.75% 2.79% 0.80% 2.74% 17% N/A
1991 187,876 0.75% 3.11% 0.83% 3.03% 25% N/A
- --------------------------
LARGE CAP GROWTH PORTFOLIO
- --------------------------
1996 ** $466,907 0.79% 0.56% 0.83% 0.52% 36% $0.0633
1995(9) 297,377 0.85% 1.15% 0.89% 1.11% 44% N/A
- -------------------------
SMALL CAP VALUE PORTFOLIO
- -------------------------
1996** $151,826 1.10% 0.11% 1.11% 0.10% 52% $0.0499
1995(10) 102,975 1.10% 0.26% 1.12% 0.24% 64% N/A
- --------------------------
SMALL CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1996** $309,958 1.10% (0.61)% 1.11% (0.62)% 80% $0.0590
1995 310,238 1.10% (0.60)% 1.13% (0.63)% 113% N/A
1994 300,296 1.01% (0.51)% 1.11% (0.61)% 97% N/A
1993 193,816 0.97% (0.25)% 1.14% (0.42)% 85% N/A
1992(4) 36,191 0.97% 0.49% 1.29% 0.17% 33% N/A
CLASS D
1996** $ 1,041 1.50% (1.01)% 1.51% (1.02)% 80% $0.0590
1995 786 1.50% (1.03)% 1.55% (1.08)% 113% N/A
1994(7) 171 1.49% (0.92)% 1.52% (0.95)% 97% N/A
- -----------------
MID-CAP PORTFOLIO
- -----------------
CLASS A
1996** $ 23,304 0.77% 1.44% 0.89% 1.32% 56% $0.0281
1995 27,898 0.94% 0.04% 1.09% (0.11)% 108% N/A
1994 108,002 0.93% 0.03% 1.06% (0.10)% 89% N/A
1993(3) 57,669 0.90% 0.26% 1.12% 0.04% 87% N/A
CLASS D
1996** $ 40 1.17% 1.13% 1.26% 1.04% 56% $0.0281
1995 108 1.30% (0.06)% 1.48% (0.24)% 108% N/A
1994(6) 60 1.36% (0.41)% 1.45% (0.50)% 89% N/A
- ------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ------------------------------
CLASS A
1996** $261,967 0.84% 1.13% 0.85% 1.12% 79% $0.0529
1995 310,693 0.84% 1.39% 0.89% 1.34% 107% N/A
1994 729,100 0.79% 1.45% 0.84% 1.40% 109% N/A
1993 776,745 0.75% 2.06% 0.84% 1.97% 119% N/A
1992 536,028 0.75% 2.12% 0.88% 1.99% 84% N/A
1991 248,440 0.75% 3.10% 0.94% 2.91% 83% N/A
CLASS D
1996** $ 750 1.24% 0.74% 1.25% 0.73% 79% $0.0529
1995 1,000 1.24% 0.98% 1.29% 0.93% 107% N/A
1994 2,182 1.24% 1.20% 1.27% 1.16% 109% N/A
1993(2) 2 1.15% 2.54% 1.24% 2.45% 119% N/A
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
40
<PAGE>
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET NET UNREALIZED DIVIDENDS FROM
VALUE, INVESTMENT GAINS FROM NET REALIZED NET ASSET
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------
EQUITY INCOME PORTFOLIO
- -----------------------
CLASS A
1996** $16.07 $0.25 $1.58 $(0.17) $(1.95) $15.78 23.94%
1995 14.06 0.55 2.48 (0.55) (0.47) 16.07 23.00%
1994 15.00 0.51 (0.38) (0.50) (0.57) 14.06 1.05%
1993 13.33 0.54 1.75 (0.51) (0.08) 15.00 17.34%
1992 12.36 0.52 1.05 (0.52) (0.08) 13.33 13.03%
1991 10.09 0.57 2.54 (0.60) (0.24) 12.36 32.05%
CLASS D
1996** $16.05 $0.28 $1.52 $(0.15) $(1.95) $15.75 23.58%*
1995 14.04 0.48 2.50 (0.50) (0.47) 16.05 22.62%*
1994 15.00 0.45 (0.38) (0.46) (0.57) 14.04 0.61%*
1993(1) 14.82 0.02 0.16 -- -- 15.00 42.39%*
- ------------------
BALANCED PORTFOLIO
- ------------------
CLASS A
1996** $12.76 $0.20 $0.89 $(0.13) $(0.34) $13.38 17.38%
1995 11.52 0.34 1.34 (0.34) (0.10) 12.76 15.05%
1994 12.24 0.23 (0.62) (0.22) (0.11) 11.52 (3.25)%
1993 11.35 0.25 1.29 (0.26) (0.39) 12.24 14.49%
1992 10.70 0.52 0.73 (0.53) (0.07) 11.35 11.64%
1991 9.77 0.65 0.96 (0.68) -- 10.70 15.96%
- ------------------------
CAPITAL GROWTH PORTFOLIO
- ------------------------
1996*** $12.08 $0.12 $(0.26) $(0.09) $(2.24) $ 9.61 28.26%
1995 11.55 0.22 2.05 (0.21) (1.53) 12.08 23.96%
1994 13.94 0.20 (0.04) (0.20) (2.35) 11.55 1.51%
1993 12.50 0.21 2.66 (0.21) (1.22) 13.94 24.40%
1992 11.51 0.55 1.81 (0.57) (0.80) 12.50 18.87%
1991 8.38 0.26 3.16 (0.25) (0.04) 11.51 43.00%
- ---------------------------
CORE FIXED INCOME PORTFOLIO
- ---------------------------
CLASS A
1996** $10.46 $0.31 $(0.08) $(0.31) $ -- $10.38 4.44%
1995 9.65 0.65 0.82 (0.66) -- 10.46 15.87%
1994 10.87 0.56 (1.12) (0.55) (0.11) 9.65 (5.36)%
1993 10.77 0.60 0.28 (0.60) (0.18) 10.87 8.58%
1992 10.30 0.69 0.49 (0.69) (0.02) 10.77 11.91%
1991 9.79 0.73 0.52 (0.74) -- 10.30 13.31%
CLASS D
1996** $10.44 $0.29 $(0.09) $(0.29) $ -- $10.35 3.84%*
1995 9.65 0.62 0.79 (0.62) -- 10.44 15.24%*
1994(8) 9.77 0.21 (0.15) (0.18) -- 9.65 3.29%*
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES INCOME NET ASSETS NET ASSETS PORTFOLIO AVERAGE
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE+
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------
EQUITY INCOME PORTFOLIO
- -----------------------
CLASS A
1996** $240,834 0.82% 3.14% 0.85% 3.11% 28% $0.0662
1995 250,609 0.82% 3.72% 0.88% 3.66% 47% N/A
1994 418,207 0.78% 3.68% 0.84% 3.62% 28% N/A
1993 337,939 0.75% 3.73% 0.85% 3.63% 39% N/A
1992 178,756 0.75% 4.15% 0.87% 4.03% 18% N/A
1991 93,552 0.75% 4.99% 0.86% 4.88% 42% N/A
CLASS D
1996** $ 2,123 1.22% 2.72% 1.23% 2.71% 28% $0.0662
1995 2,303 1.22% 3.21% 1.30% 3.13% 47% N/A
1994 892 1.20% 3.36% 1.35% 3.21% 28% N/A
1993(1) 6 1.15% 5.39% 1.46% 5.08% 39% N/A
- ------------------
BALANCED PORTFOLIO
- ------------------
CLASS A
1996** $ 68,102 0.75% 2.89% 0.85% 2.79% 76% $0.0522
1995 70,464 0.75% 2.92% 0.90% 2.77% 159% N/A
1994 65,480 0.75% 2.05% 0.91% 1.89% 149% N/A
1993 33,807 0.75% 2.24% 0.94% 2.05% 109% N/A
1992 5,974 0.75% 4.83% 1.12% 4.46% 101% N/A
1991 2,174 0.75% 5.68% 2.54% 3.89% 19% N/A
- ------------------------
CAPITAL GROWTH PORTFOLIO
- ------------------------
1996*** $ -- 0.00% 2.07% 0.67% 1.40% 14% $0.0532
1995 111,272 0.00% 1.97% 0.56% 1.41% 40% N/A
1994 132,962 0.00% 1.61% 0.54% 1.07% 81% N/A
1993 203,001 0.00% 1.63% 0.54% 1.09% 120% N/A
1992 170,829 0.00% 1.78% 0.55% 1.23% 111% N/A
1991 123,057 0.00% 2.60% 0.59% 2.01% 135% N/A
- ---------------------------
CORE FIXED INCOME PORTFOLIO
- ---------------------------
CLASS A
1996** $551,749 0.55% 6.04% 0.64% 5.95% 159% N/A
1995 419,959 0.55% 6.60% 0.68% 6.47% 294% N/A
1994 311,955 0.55% 5.57% 0.62% 5.50% 370% N/A
1993 295,798 0.55% 5.63% 0.66% 5.52% 35% N/A
1992 213,632 0.55% 6.71% 0.68% 6.58% 39% N/A
1991 153,356 0.55% 7.41% 0.73% 7.23% 44% N/A
CLASS D
1996** $ 146 0.95% 5.62% 1.03% 5.54% 159% N/A
1995 209 0.95% 6.17% 1.09% 6.03% 294% N/A
1994(8) 44 0.92% 5.91% 1.00% 5.83% 370% N/A
</TABLE>
41
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
ENDED MARCH 31, 1996 (UNAUDITED) AND FOR THE YEARS ENDED SEPTEMBER 30.
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET NET UNREALIZED DIVIDENDS FROM
VALUE, INVESTMENT GAINS FROM NET REALIZED NET ASSET
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- --------------
BOND PORTFOLIO
- --------------
CLASS A
1996** $10.86 $0.31 $(0.09) $(0.32) $ -- $10.76 3.92%
1995 9.95 0.70 0.97 (0.69) (0.07) 10.86 17.53%
1994 12.25 0.59 (1.62) (0.59) (0.68) 9.95 (9.12)%
1993 11.09 0.66 1.19 (0.67) (0.02) 12.25 17.36%
1992 10.47 0.73 0.62 (0.73) -- 11.09 13.52%
1991 9.39 0.76 1.10 (0.77) (0.01) 10.47 20.56%
CLASS D
1996** $10.84 $0.28 $(0.09) $(0.29) $ -- $10.74 3.52%*
1995 9.94 0.62 1.00 (0.65) (0.07) 10.84 16.97%*
1994 12.24 0.58 (1.64) (0.56) (0.68) 9.94 (9.37)%*
1993(5) 12.07 0.07 0.15 (0.05) -- 12.24 14.75%*
- -------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
1996** $10.64 $0.46 $ 0.34 $(0.48) $(0.03) $10.93 15.40%
1995(11) 10.00 0.67 0.55 (0.58) -- 10.64 17.72%
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES INCOME NET ASSETS NET ASSETS PORTFOLIO
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- --------------
BOND PORTFOLIO
- --------------
CLASS A
1996** $ 44,849 0.55% 5.59% 0.69% 5.45% 26%
1995 54,286 0.55% 6.46% 0.70% 6.31% 79%
1994 123,329 0.55% 5.61% 0.67% 5.49% 73%
1993 97,163 0.55% 5.87% 0.66% 5.76% 47%
1992 65,061 0.55% 6.98% 0.71% 6.82% 24%
1991 40,683 0.55% 7.77% 0.76% 7.56% 8%
CLASS D
1996** $ 97 0.95% 5.19% 1.09% 5.05% 26%
1995 121 0.95% 5.96% 1.10% 5.81% 79%
1994 106 0.95% 5.38% 1.86% 4.47% 73%
1993(5) 2 0.95% 4.66% 1.06% 4.55% 47%
- -------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
1996** $ 51,182 0.85% 9.16% 0.95% 9.06% 28%
1995(11) 23,724 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 SIX MONTH PERIOD ENDED MARCH 31, 1996. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
*** FOR THE PERIOD ENDED JANUARY 26, 1996. ALL RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN 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.
42
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
1. ORGANIZATION
SEI Institutional Managed Trust (the "Trust") is organized as a
Massachusetts business trust under a Declaration of Trust dated October 20,
1986.
2. SIGNIFICANT ACCOUNTING POLICIES
The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end investment company with twelve diversified Portfolios
(the "Portfolios"): Large Cap Value, Large Cap Growth, Small Cap Value, Small
Cap Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, Capital
Growth, Core Fixed Income, Bond, and High Yield Bond. The Trust is registered to
offer Class A and Class D shares of the Large Cap Value, Large Cap Growth, Small
Cap Value, Small Cap Growth, Mid-Cap, Capital Appreciation, Equity Income,
Balanced, Core Fixed Income, Bond, and High Yield Bond Portfolios. On January
26, 1996, the Capital Growth Portfolio closed and all of the outstanding shares
of the Portfolio were redeemed. 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. 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. 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 agreements ensure that the market value of the collateral, including
accrued interest thereon, is sufficient in the event of default. If the
counterparty defaults and the value of the collateral declines or if the
counterparty enters into an insolvency proceeding, realization of the collateral
by the Portfolios may be delayed or limited.
DISCOUNT AND PREMIUM AMORTIZATION--All amortization is calculated using the
effective interest method over the holding period of the security. Amortization
of premiums and discounts is included in interest income.
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
futures contracts and the Core Fixed Income Portfolio utilized U.S. Long Bond
futures contracts to a limited extent during the period ended March 31, 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.
43
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
Initial margin deposits of cash or securities are made upon entering into
futures contracts. The contracts are marked to market daily and the resulting
changes in value are accounted for as unrealized gains and losses. Variation
margin payments are paid or received, depending upon whether unrealized losses
or gains are incurred. When the contract is closed, the Portfolio records a
realized gain or loss equal to the difference between the proceeds from (or cost
of) the closing transaction and the amount invested in the contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform.
STRUCTURED NOTES AND INDEXED NOTES--The Core Fixed Income Portfolio may
invest in structured notes and indexed notes whose values are linked either
directly or inversely to changes in foreign currency exchange rates, interest
rates, 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 Financial Management Corporation (the "Manager"), a
wholly-owned subsidiary of SEI Corporation, are parties to a management
agreement (the "Agreement") dated January 22, 1987. Under this Agreement, the
Manager provides management, administrative, and shareholder servicing for an
annual fee of .35% of the average daily net assets of the Large Cap Value, Large
Cap Growth, Small Cap Value, 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 a portion of its fee so that the total annual expenses of each
Portfolio will not exceed the lower of the maximum limitations established by
certain states or voluntary expense limitations adopted by the Manager. In the
event that the total annual expenses of a Portfolio, after reflecting a waiver
of all fees by the Manager, exceed the specific limitation, the Manager has
agreed to bear such excess. 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 and Equity Income
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.
Prior to November 13, 1995, Western Asset Management Company served as
investment adviser to the Core Fixed Income Portfolio. For the period ended
March 31, 1996, SFM and Western Asset Management Company received $509,000 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, December 16, 1994 and
March 10, 1995, respectively. Under the investment sub-advisory agreements, each
party receives an annual fee, paid by SFM, of .20% of the
44
<PAGE>
average monthly market value of the portion of the investments under its
management.
IDS Advisory Group, Inc. and Alliance Capital Management L.P. 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. Under the investment sub-advisory agreements, each
party receives an annual fee, paid by SFM, of the greater of $125,000 or a fee,
which is calculated and paid monthly based on an annual rate of .25% of the
average monthly market value of the portion of the investments under its
management.
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 16, 1994, and November 13, 1995, respectively.
Under the investment sub-advisory agreements, each party receives an annual fee,
paid by SFM, of .50% of the average monthly market value of the portion of the
investments under its management.
Nicholas-Applegate Capital Management, Inc., Pilgrim Baxter & Associates,
Ltd., 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 14, 1995. Under the investment sub-advisory
agreements, each party receives an annual fee, paid by SFM, of .50% of the
average monthly market value of the portion of the investments under its
management.
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, of .25% of the average monthly market value of the investments under its
management.
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, of .25% of the average monthly market value of the
investments under its management.
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, of .125% of the
average monthly market value of the investments under its management.
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. Under the investment sub-advisory agreements, each party
receives an annual fee, paid by SFM, of .125%, .15%, and .10%, respectively, of
the average monthly market value of the portion of the investments under its
management.
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, of .3375% of the average monthly
market value of the investments under its management.
SEI Financial Services Company (the "Distributor"), a wholly-owned
subsidiary of SEI Corporation and a registered broker-dealer, acts as the
distributor of shares of the Trust under distribution plans which provide for
the Trust to reimburse the Distributor for certain distribution-related expenses
incurred by the Distributor. Such expenses may not exceed .30% of the average
daily net assets of a Portfolio, provided these expenses are
45
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
permissible as to both type and amount under a budget approved and monitored by
the Board of Trustees.
In addition to providing for the reimbursement payments described above,
the Class D distribution plan provides for additional payments to the
Distributor. This additional payment may be used to compensate financial
institutions that provide distribution-related services to their customers.
Distribution-related expenses for the Class D shares of the Portfolios may not
exceed .60%.
The Distribution Agreement between the Distributor and the Trust provides
that the Distributor may receive compensation on portfolio transactions effected
for the Trust in accordance with the rules of the Securities and Exchange
Commission ("SEC"). Accordingly, it is expected that portfolio transactions may
result in brokerage commissions being paid to the Distributor. The SEC rules
require that such commissions not exceed usual and customary commissions.
4. ORGANIZATIONAL COSTS AND TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized by the Fund and are being
amortized over sixty months commencing with operations. In the event any of the
initial shares are redeemed by any holder thereof during the period that the
Fund is amortizing its organizational costs, the redemption proceeds payable to
the holder thereof by the Fund will be reduced by the unamortized organizational
costs in the same ratio as the number of initial shares outstanding at the time
of the redemption.
Certain officers and/or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated Trustees of the Trust is paid by the Manager.
Each of the Portfolios also used the Distributor as an agent in placing
repurchase agreements. For this service the Distributor retains a portion of the
interest earned as a commission. Such commissions for repurchase agreements
placed during the period ended March 31, 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 period ended March 31, 1996, were as follows:
PURCHASES SALES
(000) (000)
--------- --------
Large Cap Value $198,650 $ 95,488
Large Cap Growth 214,885 129,726
Small Cap Value 95,634 62,586
Small Cap Growth 228,938 246,294
Mid-Cap 12,993 17,625
Capital Appreciation 213,439 289,159
Equity Income 67,197 103,641
Balanced 50,558 59,063
Capital Growth 10,841 59,489
Core Fixed Income 771,143 644,600
Bond 12,233 20,179
High Yield Bond 30,578 9,033
At March 31, 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 March 31, 1996
is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES DEPRECIATION
(000) (000) (000)
----------- ------------ ------------
Large Cap Value $ 78,439 $ (3,678) $74,761
Large Cap Growth 60,540 (10,012) 50,528
Small Cap Value 16,988 (5,584) 11,404
Small Cap Growth 81,003 (11,414) 69,589
Mid-Cap 2,936 (807) 2,129
Capital Appreciation 31,442 (4,209) 27,233
Equity Income 40,927 (815) 40,112
Balanced 4,717 (668) 4,049
Core Fixed Income 5,226 (11,077) (5,851)
Bond 1,253 (351) 902
High Yield Bond 1,783 (690) 1,093
The market values of the Core Fixed Income, Bond and High Yield Bond
Portfolios' investments will change in response to interest rate changes and
other factors. During periods of falling interest rates, the values of fixed
income securities generally rise. Conversely, during periods of rising interest
rates, the values of such securities generally decline.
46
<PAGE>
Changes by recognized rating agencies in the ratings of any fixed income
security and in the ability of an issuer to make payments of interest and
principal may also affect the value of these investments. Throughout the period
ended March 31, 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 6.95%
BBB 0.84%
BB 20.81%
B 48.14%
CCC 7.14%
D 0.28%
Unrated 15.84%
-------
100.00%
=======
At September, 30, 1995 the following Portfolios had available realized
capital losses to offset future net capital gains through fiscal year ended
2004.
(000)
------
Mid-Cap $ 944
Core Fixed Income 1,299
6. FUTURES CONTRACTS
The following Portfolios had futures contracts open as of March 31, 1996:
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- ------------- --------- ------ ---------- ----------
Core Fixed Income
90 Day Euro$ 28 $ 94.10 Dec. 1996 $ 10
90 Day Euro$ 20 94.09 Dec. 1996 8
U.S. 5 Year Note (119) 106.50 June 1996 (44)
Muni Bond 44 116.84 June 1996 (188)
Muni Bond 17 116.31 June 1996 (64)
Muni Bond 13 117.13 June 1996 (59)
U.S. 10 Year Note (866) 109.00 June 1996 75
U.S. 10 Year Note (13) 108.75 June 1996 (2)
U.S. 10 Year Note (8) 108.78 June 1996 (1)
U.S. Long T-Bond 167 111.25 June 1996 35
U.S. Long T-Bond 31 111.78 June 1996 (10)
U.S. Long T-Bond 21 111.75 June 1996 (6)
U.S. Long T-Bond 14 111.84 June 1996 (5)
-----
$(251)
=====
Large Cap Value
S & P 500 19 $650.42 June 1996 $ 8
S & P 500 17 662.02 June 1996 (92)
S & P 500 13 656.22 June 1996 (32)
S & P 500 12 656.12 June 1996 (29)
S & P 500 10 655.92 June 1996 (23)
S & P 500 2 622.02 June 1996 (4)
-----
$(172)
=====
Large Cap Growth
S & P 500 48 $647.42 June 1996 $ 92
S & P 500 3 635.02 June 1996 24
S & P 500 5 644.03 June 1996 18
S & P 500 3 645.07 June 1996 9
S & P 500 17 650.42 June 1996 7
S & P 500 2 645.62 June 1996 6
S & P 500 1 642.77 June 1996 4
S & P 500 1 644.12 June 1996 4
S & P 500 7 651.02 June 1996 1
S & P 500 18 662.02 June 1996 (97)
S & P 500 20 656.02 June 1996 (48)
S & P 500 6 658.57 June 1996 (22)
S & P 500 2 664.27 June 1996 (13)
S & P 500 2 663.22 June 1996 (12)
S & P 500 5 655.92 June 1996 (12)
S & P 500 3 657.82 June 1996 (10)
S & P 500 3 656.22 June 1996 (7)
S & P 500 2 654.92 June 1996 (3)
S & P 500 1 652.62 June 1996 (1)
S & P 500 3 651.42 June 1996 0
-----
$ (60)
=====
47
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1996 (UNAUDITED)
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- ------------- --------- ----- ---------- ----------
Small Cap Value
S & P 500 7 $647.42 June 1996 $ 13
S & P 500 4 650.42 June 1996 2
S & P 500 5 655.82 June 1996 (11)
S & P 500 1 664.27 June 1996 (7)
S & P 500 1 657.22 June 1996 (3)
S & P 500 1 654.92 June 1996 (2)
-----
$ (8)
=====
Small Cap Growth
S & P 500 6 $647.42 June 1996 $ 11
S & P 500 5 655.82 June 1996 (11)
S & P 500 4 655.02 June 1996 (7)
S & P 500 1 658.57 June 1996 (4)
-----
$ (11)
=====
Capital Appreciation
S & P 500 10 $647.42 June 1996 $ 19
S & P 500 1 664.27 June 1996 (6)
-----
$ 13
=====
Equity Income
S & P 500 2 $655.82 June 1996 $ (5)
=====
7. SHORT SALES
At March 31, 1996, the Core Fixed Income Portfolio had the following open
short position:
VALUE
DESCRIPTION SHARES (000)
- ----------- ---------- ---------
U.S. Long Bond June 114 Calls 258 $185
48
<PAGE>
SHAREHOLDER VOTING RESULTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- (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
49
<PAGE>
SHAREHOLDER VOTING RESULTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- (UNAUDITED)
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
50
<PAGE>
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
51
<PAGE>
NOTES
<PAGE>
=======================================
SEI INSTITUTIONAL
=======================================
MANAGED TRUST
=======================================
SEMI-ANNUAL REPORT
MARCH 31, 1996 (UNAUDITED)
Robert A. Nesher
CHAIRMAN
TRUSTEES
Richard F. Blanchard
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. Lydon
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Jeffrey A. Cohen
CONTROLLER, CHIEF FINANCIAL OFFICER
Richard W. Grant
SECRETARY
INVESTMENT ADVISERS
EQUITY & BALANCED PORTFOLIOS
SEI Financial Management Corporation
FIXED INCOME PORTFOLIOS
SEI Financial Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Financial Management Corporation
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Price Waterhouse LLP
THIS SEMI-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>
SEI-F-092-03
