ANNUAL REPORT AS OF
SEPTEMBER 30, 1997
SEI INSTITUTIONAL
MANAGED TRUST
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Large Cap Value
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Large Cap Growth
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Small Cap Value
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Small Cap Growth
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Mid-Cap
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Capital Appreciation
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Equity Income
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Balanced
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Core Fixed Income
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Bond
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High Yield Bond
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[Logo Omitted]
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TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FUND PERFORMANCE................................................. 1
REPORT OF INDEPENDENT ACCOUNTANTS.................................... 15
STATEMENT OF NET ASSETS.............................................. 16
STATEMENT OF OPERATIONS.............................................. 60
STATEMENT OF CHANGES IN NET ASSETS................................... 62
FINANCIAL HIGHLIGHTS................................................. 64
NOTES TO FINANCIAL STATEMENTS........................................ 67
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
LARGE CAP VALUE PORTFOLIO
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--MELLON EQUITY ASSOCIATES
PACIFIC ALLIANCE CAPITAL MANAGEMENT
LSV ASSET MANAGEMENT
OBJECTIVE
The Large Cap Value Portfolio seeks to provide long-term growth of capital
and income by investing in the equity securities of large companies. The
Portfolio invests primarily in a diversified portfolio of high quality, income
producing common stocks, which in the adviser's opinion, are undervalued in the
marketplace at the time of purchase.
STRATEGY
With respect to this Portfolio, SEI Investments Management Corporation
employs a multi-manager structure to gain exposure to the entire large cap value
sector, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. Assets of the
Portfolio are strategically allocated among its three sub-advisers, each of
which has responsibility for stock selection for its respective assets under
management.
Through various investment approaches, each sub-adviser contributes a
unique expertise or substyle to the Portfolio. LSV Asset Management invests in
companies trading at deep discounts to their intrinsic value. Mellon Equity
Associates invests primarily in large cap value stocks that are representative
of the market. Pacific Alliance Capital Management pursues an investment
strategy focusing on companies with above market dividend yields.
Each of the aforementioned substyles assumes a different importance in
determining overall style risk, and must therefore be weighted accordingly.
ANALYSIS
The Large Cap Value Portfolio posted a 44.12% return for fiscal year 1997,
led by stock selection across the entire Portfolio. The Portfolio's structure
successfully minimized the style risk each substyle brought to the Portfolio,
allowing stock selection to provide nearly 100% of the outperformance.
General market conditions that moved the market higher in 1996 have
remained just as strong throughout 1997. The U.S. economy continues to grow
without price inflation or rising interest rates. In addition to this, corporate
profits are surprising on the up-side as cost cutting consolidation, and
improving fundamentals have benefited many industries. In particular, the
financial services industry has been the strongest over the past year driven by
falling interest rates and heavy merger activity between large banks and
brokerage firms.
The Large Cap Value Portfolio outperformed over the year as specific stock
selection within banks, miscellaneous finance, insurance, drugs and business
machines was the best policy. The miscellaneous finance sector, which includes
brokerage firms and thrift institutions, benefited from merger activity, pushing
the industry return up over 80% for the year. The Portfolio's key holdings in
the group, Bear Stearns, Alex Brown, Ahmanson H.F. & Co., Lehman Brothers and
Merrill Lynch & Co. all returned in excess of 100% for the one year period.
The consumer non-durable exposure in the Portfolio, including drug and
retail industries, was increased to 17% from 15% a year ago, while exposure was
reduced 1% in the financial services industry. Utilities were decreased by 3%
for the year and now make up 14.5% of the portfolio. As it stands today, the
largest sector weighting differences relative to the benchmark are a 2.5%
underweight in utilities and a 4.5% overweight in consumer non-durables.
Over the course of the year, the electric utility industry has failed to
keep pace with the strong bull market and despite their cheap prices relative
1
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
to the market, the exposure has been decreased. Uncertain competitive
issues and the industry's failure to generate consistent earnings have convinced
investors to look for other opportunities. As a result, the industry has become
neglected and prices have dropped. Most investors must be convinced that the
group has positive momentum before investing. The Portfolio has 14.5% in the
utilities group, slightly underweighted relative to the Russell 1000 Value Index
weight.
The Large Cap Value Portfolio's structure was modified slightly over the
course of the year. In an effort to increase the stock specific risk and
minimize the risk due to style factors, the relative weights between the
substyles were changed. The core manager remains 50% of the strategy, with 20%
allocated to the yield substyle and 30% allocated to the contrarian substyle.
This structure has led to a tracking error of 1.7% (a measure of expected
volatility around the benchmark) with the majority of the risk coming from stock
selection.
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LARGE CAP VALUE
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AVERAGE ANNUAL TOTAL RETURN1
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One Year Annualized
Return Inception to Date
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44.12% 29.52%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE LARGE CAP VALUE
PORTFOLIO, VERSUS THE FRANK RUSSELL 1000 VALUE INDEX, THE S&P 500 COMPOSITE
INDEX, AND THE S&P 500/BARRA VALUE INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS
LARGE FRANK S&P S&P
CAP RUSSELL 500 500/BARRA
VALUE 1000 VALUE COMPOSITE VALUE
PORTFOLIO INDEX INDEX INDEX
10/31/94 10,000 10,000 10,000 10,000
9/95 12,422 12,593 12,685 12,498
9/96 14,699 14,854 15,263 14,829
9/97 21,184 21,140 21,434 20,643
1 FOR THE PERIOD ENDED 9/30/97. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. THE PERFORMANCE INDICATED ABOVE BEGINS ON OCTOBER 3, 1994
AT WHICH TIME MELLON EQUITY ASSOCIATES ACTED AS INVESTMENT ADVISER TO THE
PORTFOLIO. PREVIOUS PERIODS DURING WHICH THE PORTFOLIO WAS ADVISED BY
ANOTHER INVESTMENT ADVISER ARE NOT SHOWN.
LARGE CAP GROWTH PORTFOLIO
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--ALLIANCE CAPITAL MANAGEMENT, L.P.
AMERICAN EXPRESS ASSET MANAGEMENT
PROVIDENT INVESTMENT COUNSEL, INC.
OBJECTIVE
The investment objective of the Large Cap Growth Portfolio is capital
appreciation by investing in the equity securities of large companies. The
Portfolio invests in the securities of issuers believed to possess significant
growth potential.
STRATEGY
With respect to this Portfolio, SEI Investments Management Corporation
employs a multi-manager structure to gain exposure to the entire large cap
growth sector, adding value through stock selection while minimizing risk in the
form of capitalization, valuation and economic sector exposures. Assets of the
Portfolio are strategically allocated among its sub-advisers, each of which has
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a
unique expertise or sub-style to the Portfolio. Alliance Capital Management,
L.P. invests in large cap growth stocks that are representative of the market.
American Express Asset Management (previously known as IDS Advisory Group)
invests primarily in large-cap growth stocks whose sector is expected to
outperform the market. Provident Investment Counsel, Inc. invests primarily in
mid-cap and large-cap stocks which are expected to demonstrate very high long
term earnings growth.
Each of the aforementioned sub-styles assumes a different importance in
determining overall style risk, and must therefore be weighted accordingly.
ANALYSIS
The Large Cap Growth Portfolio posted a 44.35% return for fiscal 1997.
Performance was
2
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driven by risk control, stock selection and sector selection.
While the broad market participated in the advance, larger companies
performed better than smaller companies. Risk control positioned the Portfolio
to take advantage of the market's sharp advance in the largest companies. While
the size of a company explained a significant amount of its return, earnings
growth had far less significance as there was a minimal difference in returns
between the growth and value benchmarks.
Technology and financial services companies provided investors with
significant returns during the year as the steady economy and controlled
inflation environment provided the optimal circumstance for strong earnings
growth in these sectors. Additionally, the Portfolio maintained significant
exposures to some of the best performing companies in these sectors. Energy,
healthcare and consumer stocks were also up sharply.
An environment of slower economic growth and low interest rates will work
in the Portfolio's favor given its sector weights. Consumer, drug, financial
services and technology companies are expected to continue with strong
performance in this economy.
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LARGE CAP GROWTH
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AVERAGE ANNUAL TOTAL RETURN1
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One Year Annualized
Return Inception to Date
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44.35% 33.58%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE LARGE CAP
GROWTH PORTFOLIO, VERSUS THE FRANK RUSSELL 1000 GROWTH INDEX, AND THE S&P
500/BARRA GROWTH INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS
LARGE FRANK S&P
CAP RUSSELL 500/BARRA
GROWTH 1000 GROWTH GROWTH
PORTFOLIO INDEX INDEX
12/94 10,000 10,000 10,000
9/95 12,751 13,123 13,079
9/96 15,377 15,931 15,964
9/97 22,196 21,714 22,586
1 FOR THE PERIOD ENDED 9/30/97. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED
BEGINNING 12/20/94.
SMALL CAP VALUE PORTFOLIO
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--1838 INVESTMENT ADVISORS, L.P.
BOSTON PARTNERS ASSET MANAGEMENT, L.P.
LSV ASSET MANAGEMENT
OBJECTIVE
The Small Cap Value Portfolio seeks to provide capital appreciation by
investing in equity securities of smaller companies. The Portfolio invests in
the stocks of companies whose prices appear low relative to certain fundamental
characteristics such as earnings, book value or return on equity.
STRATEGY
With respect to this Portfolio, SEI Investments Management Corporation
employs a multi-manager structure to gain exposure to the entire small cap value
sector, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. The Small Cap Value
Portfolio is jointly sub-advised by three investment managers. Assets of the
Portfolio are strategically allocated among its three sub-advisers, each of
which has a responsibility for stock selection for its respective assets under
management.
Through various investment approaches, each sub-adviser contributes a
particular expertise or sub-style to the Portfolio. Using a bottom-up process,
1838 Investment Advisors, L.P. invests in stocks with low price-to-earnings
ratios with strong balance sheets. Boston Partners Asset Management, L.P.
combines quantitative and fundamental approaches to identify a company's
fundamental worth. LSV Asset Management invests in companies trading at deep
discounts to their intrinsic value that have exhibited some catalyst to turn
around performance.
3
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
Each of the aforementioned sub-styles assumes a different importance in
determining overall style risk and must therefore be weighted accordingly.
ANALYSIS
The Small Cap Value Portfolio posted an impressive 47.16% return for
fiscal year 1997. There were some changes in the Portfolio over the fiscal year
as LSV Asset Management was added in June of 1997. This addition eliminated some
valuation biases in the Portfolio while bringing other characteristics more in
line with the Russell 2000 Value Index.
In contrast to their growth counterparts, small cap value stocks were the
best performing sector of the U.S. equity market in fiscal 1997 driven by strong
performance results in finance, energy and transportation issues. Banks and
other financial stocks continued to post impressive gains as low interest rates
and a wave of merger and acquisition activity kept interest in the sector high.
Oil stocks also enjoyed a good year as firmer prices and improving technology in
both exploration and recovery operations sent many issues higher. Transportation
issues benefited from the low interest rate environment and continued
broad-based economic strength.
The Portfolio benefited from its underweights to the lagging utility and
property sectors over the fiscal year, but most of the return came as a result
of the specific stock selection in the energy and finance groups. Stock
selection in technology also enhanced relative returns.
The Portfolio continues to be positioned to capture the opportunities in
the small cap value area of the market under a variety of market conditions. To
this end, the Portfolio targets a style neutral position relative to the Russell
2000 Value Index to control unnecessary risks and put the focus on stock
selection from the specialist sub-advisers.
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SMALL CAP VALUE
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AVERAGE ANNUAL TOTAL RETURN1
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One Year Annualized
Return Inception to Date
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47.16% 28.19%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SMALL CAP
VALUE PORTFOLIO, VERSUS THE FRANK RUSSELL 2000 VALUE INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS
SMALL FRANK
CAP RUSSELL
VALUE 2000 VALUE
PORTFOLIO INDEX
12/94 10,000 10,000
9/95 11,889 12,219
9/96 13,180 13,866
9/97 19,396 19,780
1 FOR THE PERIOD ENDED 9/30/97. PAST PERFORMANCE IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED BEGINNING 12/20/94.
SMALL CAP GROWTH PORTFOLIO
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--FURMAN SELZ CAPITAL MANAGEMENT, LLC
FIRST OF AMERICA INVESTMENT CORPORATION
NICHOLAS-APPLEGATE CAPITAL
MANAGEMENT, INC.
WALL STREET ASSOCIATES
OBJECTIVE
The Small Cap Growth Portfolio seeks to provide long-term capital
appreciation by investing in equity securities of smaller companies. The
Portfolio invests in the stocks of companies that are in an early stage or at a
transitional point in their development and have demonstrated or have potential
for above average capital growth.
STRATEGY
With respect to this Portfolio, SEI Investments Management Corporation
employs a multi-manager structure to gain exposure to the entire small cap
growth sector, adding value through stock selection while minimizing risk in the
form of capitalization, valuation and economic sector exposures. The Small Cap
Growth Portfolio is jointly sub-advised by four investment managers. Assets of
the Portfolio are strategically allocated among its four sub-advisers, each of
which has a responsibility for stock selection for its respective assets under
management.
4
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Through various investment approaches, each sub-adviser contributes a
particular expertise or sub-style to the Portfolio. Furman Selz Capital
Management LLC invests primarily in stocks exhibiting relative price strength
trading at attractive valuations. First of America Investment Corporation
pursues an investment strategy focusing on strong sales and earnings growth.
Nicholas-Applegate Capital Management, Inc. screens stocks for high and
accelerated earnings growth and then selects those with attractive current
prices relative to sustainable cash flow. Wall Street Associates seeks out
micro-cap stocks with long-term earnings growth potential.
Each of the aforementioned sub-styles assumes a different importance in
determining overall style risk and must therefore be weighted accordingly.
ANALYSIS
The Small Cap Growth Portfolio posted a 17.23% return (Class A shares) for
fiscal year 1997. There were some changes in the Portfolio over the fiscal year
as Apodaca-Johnston Capital Management was terminated in October of 1996 due to
organizational issues. They were replaced with Furman Selz Capital Management
the same month. This transition reduced the Portfolio's momentum exposure while
bringing the valuation characteristics more in line with the Russell 2000 Growth
Index.
Small cap growth stocks were the weakest performing sector of the U.S.
equity market in fiscal 1997 as strong earnings across sectors and record
inflows from mutual funds favored larger, more liquid names. Some traditional
small cap growth industries, such as technology and health care, significantly
lagged their large cap counterparts over the fiscal year. However, gains in
other areas, including energy, retail and cyclical shares were strong. Oil and
other energy related stocks enjoyed a particularly good year as firmer prices
and improving technology in both exploration and recovery operations sent many
issues higher. Retailers benefited from low unemployment and the highest
consumer confidence readings in a generation which translated into stronger
sales. Cyclical companies benefited from the low interest rate environment over
the year, as well as continued broad based economic strength.
The Portfolio's returns were hurt during the fiscal year by overweights in
the apparel and business services sectors of the market. The apparel industry
continued to be one of the worst performing industries with several key
companies consistently reporting lower than expected earnings. Stock selection
in the business services area and the pharmaceutical area also detracted from
returns. This was offset by strong stock selection in energy and energy-related
stocks which significantly added to the overall Portfolio returns.
The Portfolio continues to be positioned to capture the opportunities in
the small cap growth area of the market under a variety of market conditions. To
this end, the Portfolio targets a style neutral position relative to the Russell
2000 Growth Index to control unnecessary risks and put the focus on stock
selection from the specialist sub-advisers.
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SMALL CAP GROWTH
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AVERAGE ANNUAL TOTAL RETURN1
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Annualized Annualized
One Year 3 Year 5 Year Annualized
Return Return Return Inception to Date
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Class A 17.23% 28.09% 23.76% 23.07%
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Synthetic Class D 16.80% 27.69% 23.43% 22.70%
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Synthetic Class D, W/Load 10.95% 25.51% 22.18% 21.62%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SMALL CAP
GROWTH PORTFOLIO, CLASS A AND CLASS D (SYNTHETIC), VERSUS THE FRANK RUSSELL 2000
GROWTH INDEX, THE S&P 500 COMPOSITE INDEX AND THE WILSHIRE SMALL CAP GROWTH
INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS
SMALL SMALL FRANK S&P WILSHIRE
CAP CAP GROWTH RUSSELL 500 SMALL
GROWTH SYNTHETIC 2000 COMPOSITE CAP GROWTH
PORTFOLIO CLASS D GROWTH INDEX INDEX
(CLASS A) W/LOAD INDEX
4/92 10,000 9,500 10,000 10,000 10,000
9/92 10,659 10,126 9,522 10,212 9,837
9/93 14,690 13,955 12,301 11,534 13,382
9/94 14,723 13,938 12,409 11,959 13,719
9/95 20,856 19,714 15,905 15,511 18,619
9/96 26,395 24,841 17,909 18,663 20,835
9/97 30,943 29,015 22,092 26,208 27,092
1 FOR THE PERIOD ENDED 9/30/97. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE. CLASS A AND CLASS D SHARES OF THE PORTFOLIO WERE OFFERED BEGINNING
4/20/92 AND 5/2/94, RESPECTIVELY. THE PERFORMANCE SHOWN FOR THE CLASS D SHARES
PRIOR TO SUCH DATE IS BASED ON THE PERFORMANCE OF CLASS A ADJUSTED TO REFLECT
THE MAXIMUM SALES CHARGE OF 5.00% FOR THE CLASS D SHARES.
5
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
MID-CAP PORTFOLIO
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--MARTINGALE ASSET MANAGEMENT, L.P.
OBJECTIVE
The Portfolio seeks to provide long-term capital appreciation by investing
primarily in equity securities of mid-sized companies.
STRATEGY
The Portfolio's investment philosophy is based on a bottom-up stock
selection process which emphasizes securities that have dramatic earnings
acceleration, sustainable growth, positive relative price momentum and an
attractive valuation. This philosophy results in a Portfolio which will tend to
have a higher than average price-to-earnings ratio, price-to-book ratio, return
on equity, and a lower than average dividend yield.
ANALYSIS
The Mid-Cap Portfolio posted a 43.13% return for fiscal year 1997, driven
by stock selection across the entire Portfolio. Because the Portfolio is managed
to the Russell Mid-Cap Index, the impact of style and industry bets do not
impact the Portfolio's relative performance.
Economic conditions continue to benefit the U.S. stock market, buoyed by
low interest rates, low inflation, moderate growth and strong corporate
earnings. Small-cap and mid-cap issues have lagged their large-cap counterparts
for over three years, but have recently indicated signs of reversal. The Mid-Cap
Portfolio benefited from the broadening market and participated fully given its
style specific structure.
A three year rally led by technology and finance continued this year as
industry and company fundamentals remain strong. Financial services have
benefited from consolidation and cost-cutting as well as steady interest rates
over the course of the year. However, a more choppy ride has occurred in the
business machine industry over the most recent quarters. Several earnings
warnings over the summer months in the volatile computer related industries
caused many key companies' stock prices to fall.
The Mid-Cap Portfolio added value through stock selection, with the
strongest relative performance coming from business machines, drugs and
medicine, retail and electronics. Selection in the business machine industry
included a 71% return for Comdisco and a 181% return for Quantum, contributing
.44% and .85%, respectively. Exposure to the energy and utility group is the
largest in the portfolio at 11%, and despite the absolute return for the
industry, the Mid-Cap Portfolio added nearly .70% over the benchmark through
stock selection.
Over the course of the year, the Portfolio's exposure to the mid-cap
market has been consistent and stock selection has been positive. Looking ahead,
we expect the style of the Portfolio to remain true to the mid-cap market and
value added to continue to come through stock selection.
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MID-CAP
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AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Year Annualized Annualized
Return 3 Year Return Inception to Date
- --------------------------------------------------------------------------------
43.13% 25.76% 18.77%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE MID-CAP
PORTFOLIO, VERSUS THE FRANK RUSSELL MID-CAP INDEX, THE S&P 500 COMPOSITE INDEX,
AND THE WILSHIRE MID-CAP GROWTH INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS
FRANK S&P WILSHIRE
RUSSELL 500 MID-CAP
MID-CAP MID-CAP COMPOSITE GROWTH
PORTFOLIO INDEX INDEX INDEX
2/93 10,000 10,000 10,000 10,000
9/93 11,779 11,049 10,522 11,217
9/94 10,825 11,232 10,910 11,878
9/95 12,966 14,274 14,151 16,119
9/96 15,045 16,564 17,026 18,597
9/97 21,534 22,370 23,910 23,423
1 FOR THE PERIOD ENDED 9/30/97. PAST PERFORMANCE OF THE PORTFOLIO IS
NOT PREDICTIVE OF FUTURE PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED
BEGINNING 2/16/93.
6
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CAPITAL APPRECIATION PORTFOLIO
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--STI CAPITAL MANAGEMENT, N.A.
OBJECTIVE
The Capital Appreciation Portfolio seeks to provide capital appreciation
through a diversified portfolio of common stocks. Dividend income is incidental
to the growth of capital. Securities are selected for the Portfolio based on
factors believed to be favorable for long-term appreciation, such as historical
returns on equity and earnings growth rates. Holdings in the Portfolio are
rotated between various market sectors based on economic analysis of the
business cycle.
STRATEGY
The investment management process followed by the sub-adviser emphasizes
business cycle analysis, sector rotation and stock selection. The sub-adviser
identifies market sectors that appear undervalued and/or are outperforming other
sectors during a specific interval in the business cycle. The sub-adviser then
selects securities with a history of growth and a price to earnings ratio below
comparable companies in that market sector. Trading ranges are assigned for the
prices of these companies and these companies are actively traded while the
sector remains in favor. As a sector's favor changes over the business cycle,
holdings are shifted into the sectors showing the most potential for return.
ANALYSIS
The Capital Appreciation Portfolio posted a 34.02% return for fiscal 1997.
Performance benefited during the year from industry selection as well as the
markets' broad based advance as nearly all areas of the market were up sharply.
Larger companies performed consistently better than smaller companies
during the year. While the size of a company explained a significant amount of
its return, earnings growth had far less significance as there was a minimal
difference in returns between the growth and value benchmarks.
Technology and financial services companies provided investors with
significant returns during the year as the steady economy and controlled
inflation environment provided the optimal circumstance for strong earnings
growth in these sectors. Energy, auto, producer goods, healthcare and consumer
stocks were also up sharply.
The Portfolio, which invests primarily in high quality growth companies,
is positioned to take advantage of slower corporate earnings growth and a slower
economy as well as stable interest rates.
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CAPITAL APPRECIATION
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AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year 3 Year 5 Year Annualized
Return Return Return Inception to Date
- --------------------------------------------------------------------------------
34.02% 24.90% 17.18% 16.34%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE CAPITAL
APPRECIATION PORTFOLIO, VERSUS THE S&P 500 COMPOSITE INDEX, AND THE S&P
500/BARRA GROWTH INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS
CAPITAL S&P 500 S&P 500/BARRA
APPRECIATION COMPOSITE GROWTH
PORTFOLIO INDEX INDEX
3/88 10,000 10,000 10,000
9/88 10,360 10,702 10,605
9/89 14,238 14,227 14,301
9/90 13,419 12,914 13,531
9/91 17,671 16,930 18,324
9/92 19,615 18,807 20,382
9/93 22,265 21,241 21,108
9/94 22,241 22,025 22,564
9/95 26,473 28,566 29,712
9/96 32,335 34,370 36,267
9/97 43,335 48,266 51,310
1 FOR THE PERIOD ENDED 9/30/97. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED
BEGINNING 3/1/88.
7
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
EQUITY INCOME PORTFOLIO
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--PACIFIC ALLIANCE CAPITAL MANAGEMENT
OBJECTIVE
The Portfolio seeks to provide current income and long-term growth of
capital through a diversified portfolio of common stocks. The Portfolio invests
in securities which have a high current yield and a low level of volatility
relative to the market while participating in rising markets.
STRATEGY
The investment management process followed by the sub-adviser emphasizes
current income. The Portfolio is managed to provide a yield which is
approximately 1.20% to 2.00% above the yield on the S&P 500 Index. Securities
which have favorable long-term fundamental characteristics are selected for the
Portfolio when their current yields are at the upper end of their historic yield
ranges. When the price of a stock rises sufficiently to cause its yield to drop
to the lower end of this historic range, the security will be sold. The yield of
a security might vary between its buy and sell range over a three or four year
cycle, and the turnover of the Portfolio is typically a low 40% per year.
ANALYSIS
The Equity Income Portfolio posted a 33.46% return for fiscal 1997 as a
low beta policy and stock selection combined to provide a drag on performance in
the strong bull market. Investors have neglected the typically high yielding
electric utility industry in favor of more predictable and less regulated
industries. The Equity Income Portfolio remains over-weighted in the oil, food,
chemical and drug industries relative to the value index and under-weighted to
the telephones, electric utilities and financial services.
Strong economic fundamentals that drove the market higher in 1996
continued to support the market in 1997. Driven by the financial, technology and
energy sectors, the U.S. market reached new highs over the past year. However,
the smooth sailing markets in 1996 gave way to a slightly more volatile 1997 as
investors exhibited concern over the valuation levels of the market and the
possibility of rising interest rates. The concerns have not been warranted,
however, as economic growth continues without inflation fears. Large cap stocks
have dominated the market over the last three years while smaller stocks have
lagged. The Portfolio's exposure to large companies has been positive over the
long term and over the most recent one year period.
Financial services has continued to lead the value index since early 1996.
Falling interest rates, consolidation and takeover activity have been the
primary forces behind the success of the industry. Today, banks alone make up
17% of the Russell 1000 Value Index, and the total finance group is 30% of the
index, making the policy in this group a very important determinant of return.
Within finance, brokerage stocks have been bid up on takeover activity in 1997.
The Equity Income Portfolio has a 20% exposure to the financial services
industry, down from 24% a year ago and approximately 10% less than the Russell
1000 Value Index. Stock selection within the industry detracted from
performance.
Significant changes made to the Portfolio over the course of the year
include a 10% increase within consumer non-durables from a year ago with
reductions in finance and utilities of approximately 5% each. The Portfolio's
exposure to
8
<PAGE>
================================================================================
consumer non-durables has come in the form of drugs and retail stocks.
Despite the relative cheapness in the utility group, the confidence in improving
fundamentals and subsequent earnings growth has not been strong enough to
warrant a purchase. The weight in electric utilities and telephone utilities now
totals 13.2%, down from 17.8% in 1996, and is at one of the lowest levels it has
ever been.
================================================================================
EQUITY INCOME
================================================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year 3 Year 5 Year Annualized
Return Return Return Inception to Date
- --------------------------------------------------------------------------------
33.46% 24.72% 18.13% 15.76%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE EQUITY INCOME
PORTFOLIO, VERSUS THE FRANK RUSSELL 1000 VALUE INDEX, THE S&P 500 COMPOSITE
INDEX, AND THE S&P 500/BARRA VALUE INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS
FRANK
RUSSELL S&P
EQUITY 1000 S&P 500 500/BARRA
INCOME VALUE COMPOSITE VALUE
PORTFOLIO INDEX INDEX INDEX
6/88 10,000 10,000 10,000 10,000
9/88 10,297 10,126 10,034 10,089
9/89 13,235 13,000 13,340 13,164
9/90 11,247 11,015 12,108 11,375
9/91 14,854 14,202 15,874 14,443
9/92 16,785 15,963 17,634 15,997
9/93 19,696 20,049 19,916 19,598
9/94 19,907 19,915 20,651 19,706
9/95 24,485 25,429 26,785 25,165
9/96 28,934 29,994 32,227 29,858
9/97 38,616 42,688 45,257 41,565
1 FOR THE PERIOD ENDED 9/30/97. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED
BEGINNING 6/2/88.
BALANCED PORTFOLIO
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--STI CAPITAL MANAGEMENT, N.A.
OBJECTIVE
The Balanced Portfolio seeks to achieve total return while preserving
capital by investing in a combination of common stocks and fixed income
securities. By altering the mix of equity and fixed income securities, the
Portfolio seeks to minimize losses during falling equity markets while realizing
strong returns in rising markets.
STRATEGY
The sub-adviser views equities as the primary source of return in balanced
funds with fixed income instruments primarily providing stability and
diversification. The equity portion of the Portfolio combines a core group of
demonstrated growth stocks with securities selected through business cycle
analysis and sector rotation. This approach tends to result in a portfolio of
large capitalization stocks with price-to-earnings ratios, growth rates and
returns on equity higher than market averages. Fixed income selection attempts
to provide portfolio stability and incremental return by identifying inexpensive
areas of the yield curve and improving corporate credits.
ANALYSIS
The Balanced Portfolio posted a 22.38% return for fiscal 1997. The
Portfolio maintained approximately a 60%/40% equity to fixed income allocation
throughout the year. With this asset allocation, the Portfolio captured the
growth of the equity markets while benefiting from the modest advances available
from fixed income securities.
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
Larger companies performed consistently better than smaller companies
during the year. While the size of a company explained a significant amount of
its return, earnings growth had far less significance as there was a minimal
difference in returns between the growth and value benchmarks.
Technology and financial services companies provided investors with
significant returns during the year as the steady economy and controlled
inflation environment provided the optimal circumstance for strong earnings
growth in these sectors. Energy, auto, producer goods, healthcare and consumer
stocks were also up sharply.
With the exception of a brief pause in the beginning of 1997 due to a
tighter monetary policy by the Federal Reserve (the "Fed"), the bond market
advanced and yields declined consistently throughout the fiscal year as
investors embraced lower inflation. The Portfolio's modest duration posture
provided consummate returns.
Continued lower inflation with controlled economic growth will benefit
both equity and fixed income securities.
================================================================================
BALANCED
================================================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Year Annualized Annualized Annualized
Return 3 Year Return 5 Year Return Inception to Date
- --------------------------------------------------------------------------------
22.38% 17.43% 12.40% 12.15%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE BALANCED
PORTFOLIO, VERSUS THE S&P 500 COMPOSITE INDEX, THE LEHMAN GOV'T./CORPORATE BOND
INDEX, AND THE S&P 500/BARRA GROWTH INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS
LEHMAN
S&P 500 GOV'T/CORPORATE S&P 500/BARRA
BALANCED COMPOSITE BOND GROWTH
PORTFOLIO INDEX INDEX INDEX
8/90 10,000 10,000 10,000 10,000
9/90 9,929 9,514 10,083 9,484
9/91 11,514 12,473 11,683 12,843
9/92 12,85 13,856 13,229 14,286
9/93 14,712 15,649 14,745 14,794
9/94 14,234 16,227 14,134 15,815
9/95 16,377 21,046 16,163 20,825
9/96 18,835 25,322 16,892 25,419
9/97 23,05 35,560 18,512 35,963
1 FOR THE PERIOD ENDED 9/30/97. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. SHARES OF THE PORTFOLIO WERE OFFERED
BEGINNING 8/7/90.
CORE FIXED INCOME PORTFOLIO
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--WESTERN ASSET MANAGEMENT COMPANY
FIRSTAR INVESTMENT RESEARCH &
MANAGEMENT COMPANY
BLACKROCK FINANCIAL MANAGEMENT, INC.
OBJECTIVE
The Core Fixed Income Portfolio seeks to provide current income by
investing in a diversified portfolio of fixed income securities while also
limiting fluctuations in principal value. The Portfolio invests in every sector
of the fixed income universe, including U.S. Treasuries, agencies,
mortgage-backed issues, investment-grade corporates, and Yankee bonds.
STRATEGY
With respect to this Portfolio, SEI Investments Management Corporation
employs a multi-manager structure. The sub-advisers' investment strategies focus
on sector rotation, both among and within sectors, and issue selection. Risk is
principally controlled by explicitly limiting fund interest rate exposure
relative to the Lehman Aggregate Bond Index. The sub-advisers focus on four key
areas in determining portfolio structure: duration weighting, term structure,
sector allocation, and issue selection. While the duration and term structure
decision underlie the implementation process, the sub-advisers primarily
concentrate on sector and issue selection to add value. In addition, the sub-
advisers may use futures and options primarily for tactical hedging purposes and
to implement portfolio strategies more efficiently.
ANALYSIS
The Core Fixed Income Portfolio posted a 9.80% return for fiscal 1997,
slightly outperforming the Lehman Aggregate Bond Index return of 9.74% over the
same period. Such strong fixed
10
<PAGE>
================================================================================
income market performance occurred as continued news of economic growth
and tame inflation forced market participants to seriously consider the
existence of a new paradigm. The broad fixed income markets posted gains in
excess of 3% in all but one of the quarters of the fiscal year. The market did
pause during the first few months of 1997 as comments by Federal Reserve Board
Chairman Alan Greenspan and the eventual increase in short term rates by the
Federal Reserve Board placed upward pressure on bond yields. However, the bond
market resumed an upward trend in May which continued throughout the remainder
of the fiscal year. Two-year U.S. Treasury yields declined only .32% during the
year while thirty-year yields declined over .50%, resulting in a flatter yield
curve. The Portfolio maintained a longer duration posture throughout the period,
anticipating that the lack of inflationary data called for a continued decline
in long-term yield levels. The Portfolio also benefited from a barbell yield
curve posture throughout the majority of the period, which benefited from the
flatter yield curve and also served as a hedge to the longer duration posture in
periods of rising yield levels.
Overweights to the higher-yielding corporate and mortgage-backed sectors
throughout the period benefited performance as both of these sectors
significantly outperformed U.S. Treasuries on a duration-adjusted basis.
Mortgages posted strong relative performance amid declining market volatility,
increased collateralized mortgage obligations issuance and significant investor
demand. During the second half of the fiscal year, Portfolio mortgage
positioning began to emphasize discount coupon securities and structured assets,
such as commercial mortgage-backed securities, which provide prepayment
protection in a rallying fixed income market. Corporate securities also posted
attractive relative results and stellar corporate fundamentals led the advance.
With the exception of a slight back-up in April following Greenspan's
"irrational exuberance" comments and a Federal Reserve Board move, corporates
posted an exceptional relative year. New corporate issuance was met with high
levels of investor demand. In this environment, lower quality issues prevailed,
with BBB-rated and crossover securities posting the highest returns. In addition
to an overweight to the sector as a whole, the Portfolio's emphasis in lower
quality issues added to relative results. Despite spread volatility within the
tobacco sector due to uncertainty surrounding the industry-wide accord,
Portfolio holdings in RJR Nabisco and Philip Morris, the two largest tobacco
producers, contributed positively through-out the period. In addition, holdings
in other corporate names, such as TCI Communications and Long Island Lighting
Company, added to returns.
================================================================================
CORE FIXED INCOME
================================================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Annualized
Return Return Return Return Inception to Date
- --------------------------------------------------------------------------------
9.80% 9.96% 6.44% 8.25% 8.00%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE CORE FIXED
INCOME PORTFOLIO, VERSUS THE LEHMAN AGGREGATE BOND INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS
CORE FIXED LEHMAN AGGREGATE
INCOME PORTFOLIO BOND INDEX
5/87 10,000 10,000
9/87 10,062 9,863
9/88 10,999 11,174
9/89 12,032 12,433
9/90 12,824 13,371
9/91 14,531 15,509
9/92 16,257 17,457
9/93 17,653 19,199
9/94 16,709 18,581
9/95 19,361 21,196
9/96 20,234 22,230
9/97 22,217 24,395
1 FOR THE PERIOD ENDED 9/30/97. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. PORTFOLIO SHARES WERE OFFERED
BEGINNING 5/4/87.
11
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
BOND PORTFOLIO
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--WESTERN ASSET MANAGEMENT COMPANY
OBJECTIVE
The Bond Portfolio seeks to provide current income by investing in a
diversified portfolio of fixed income securities while also limiting
fluctuations in principal value. The Portfolio invests in every sector of the
fixed income universe, including U.S. Treasuries, agencies, mortgage-backed
issues, investment-grade corporates, and Yankee bonds.
STRATEGY
As of March 25, 1997, Western Asset Management Company was added as an
additional sub-adviser to the Portfolio. Also on that date, 100% of the
Portfolio assets were re-allocated from Boatmen's Trust Company to Western Asset
Management Company. Boatmen's Trust Company was officially terminated as a
sub-adviser to the Portfolio on June 10, 1997. Western's style of management
focuses on adding return through sector allocation and security selection, while
controlling risk by constraining Portfolio duration within 20% of index
duration. Based upon SEI Investments Management Corporation's research, this
style results in a more predictable stream of excess return, while tightly
managing the interest rate sensitivity of the Portfolio.
The sub-adviser's investment strategy focuses on sector rotation, both
among and within sectors, and issue selection. Risk is principally controlled by
explicitly limiting Portfolio interest rate exposure relative to the Lehman
Aggregate Bond Index. The sub-adviser focuses on four key areas in determining
portfolio structure: duration weighting, term structure, sector allocation, and
issue selection. While the duration and term structure decision underlie the
implementation process, the adviser primarily concentrates on sector and issue
selection to add value. In addition, the sub-adviser may use futures and options
primarily for tactical hedging purposes and to implement portfolio strategies
more efficiently.
ANALYSIS
The Bond Portfolio posted a 9.97% return for fiscal year 1997
outperforming the Lehman Aggregate Bond Index return of 9.74% over the same
period. Such strong fixed income market performance occurred as continued news
of economic growth and tame inflation forced market participants to seriously
consider the existence of a new paradigm. The broad fixed income markets posted
gains in excess of 3% in all but one of the quarters of the fiscal year. The
market did pause during the first few months of 1997 as comments by Federal
Reserve Board Chairman Alan Greenspan and the eventual increase in short term
rates by the Federal Reserve Board placed upward pressure on bond yields.
However, the bond market resumed an upward trend in May which continued
throughout the remainder of the fiscal year. Two-year Treasury yields declined
only .32% during the year while thirty-year yields declined over .50%, resulting
in a flatter yield curve. The Portfolio's maintenance of a longer duration
posture throughout the second half of the period benefited performance while the
shorter stance maintained early in the period subtracted from results.
Overweights to the higher-yielding corporate and mortgage-backed sectors
throughout the second half of the period benefited performance as both of these
sectors significantly outperformed U.S. Treasuries on a duration-adjusted basis.
Mortgages posted strong relative performance amid declining market volatility,
increased collateralized mortgage obligations issuance and significant investor
demand. During the second
12
<PAGE>
================================================================================
half of the fiscal year, Portfolio mortgage positioning began to emphasize
discount coupon securities and structured assets, such as commercial
mortgage-backed securities, which provide prepayment protection in a rallying
fixed income market. Corporate securities also posted attractive relative
results and stellar corporate fundamentals led the advance. With the exception
of a slight back-up in April following Greenspan's "irrational exuberance"
comments and the Federal Reserve Board move, corporates posted an exceptional
relative year. New corporate issuance was met with high levels of investor
demand. In this environment, lower quality issues prevailed, with BBB-rated and
crossover securities posting the highest returns. In addition to an overweight
to the sector as a whole, the Portfolio's emphasis in lower quality issues added
to relative results during the second half of the fiscal year. The Portfolio's
exclusive investment in U.S. Treasury issues during the first two quarters of
the fiscal year served as a significant drag on relative performance.
================================================================================
BOND
================================================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Annualized
Return Return Return Return Inception to Date
- --------------------------------------------------------------------------------
9.97% 10.36% 7.48% 10.48% 9.34%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE BOND PORTFOLIO,
VERSUS THE LEHMAN AGGREGATE BOND INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS
BOND LEHMAN AGGREGATE
PORTFOLIO BOND INDEX
5/87 10,000 10,000
9/87 9,333 9,863
9/88 10,936 11,174
9/89 12,751 12,433
9/90 12,877 13,371
9/91 15,525 15,509
9/92 17,618 17,457
9/93 20,676 19,199
9/94 18,795 18,581
9/95 22,089 21,196
9/96 22,975 22,230
9/97 25,266 24,395
1 FOR THE PERIOD ENDED 9/30/97. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. PORTFOLIO SHARES WERE OFFERED
BEGINNING 5/4/87.
HIGH YIELD BOND PORTFOLIO
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--BEA ASSOCIATES
OBJECTIVE
The High Yield Bond Portfolio seeks to maximize total return by investing
primarily in a diversified portfolio of higher yielding, lower rated fixed
income securities. The strategy seeks to achieve a high level of total return
through sector rotation and security selection.
STRATEGY
The Portfolio's strategy is to identify high yield market sectors through
the analysis of macro-economic, interest rate, industry, and technical factors.
Those companies that are best suited to benefit from the identified trends are
then selected for investment. Risk is controlled through a high level of
diversification, and by performing detailed credit analysis on the companies
considered and purchased.
ANALYSIS
The High Yield Bond Portfolio posted a 15.30% return for fiscal year 1997.
For the most part, the high yield market rallied throughout the year
lifted by strong investor demand amid a growing economy and low inflation.
Strong fundamental factors further fueled technical factors which gave an
additional boost to the market. However, the high yield market was not able to
escape all volatility in the marketplace and did experience certain periods of
lackluster performance. This was especially seen in the first quarter of 1997
when the Federal Reserve Board raised interest rates and the high yield market
returned one of its largest principal declines since November, 1994. For the
period, the high yield market outpaced the ten-year U.S. Treasury return, but
was not able to match equity returns as the equity market reached all-time
highs. Increased demand, as evidenced by continued strong cash flows into the
high yield market and the launch of numerous collateralized bond obligations
(CBOs), supported prices amid record new issuance. At the close of the
13
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
period, new issuance exceeded $100 billion. In addition, continued merger
and acquisition (M&A) activity, healthy equity prices, above-average returns,
and record low default rates resulted in an overall narrowing of high yield
spreads relative to U.S. Treasuries.
The Portfolio maintained its thematic sector approach, coupled with
diligent security selection. Overall, the Portfolio continued to overweight the
communications sector given the outlook that merger and acquisition activity
would be prevalent over time. An emphasis was placed on the energy sector during
the period as exposure to this industry was raised in the Portfolio. Increased
operating capacity in the drilling and exploration sub-sector and strong demand
for oil and gas lent support to the decision to increase exposure to the energy
sector. The allocation to gaming bonds was reduced, largely as a result of
decreased Atlantic City exposure. This fall-back in exposure was due to
increased competition and near-market capacity within the Atlantic City gaming
market.
The largest contributors to return for the period were the Portfolio's
security and sector selection in the energy and supermarket industries, in
addition to security selection in the metals, consumer manufacturing, and gaming
sectors. Within the energy sector, investments in Kelly Oil and Mesa Petroleum
added to performance. Kelly Oil bonds increased in price on investor confidence
in the company's new management team and better earnings, while Mesa rallied on
news that the company was merging with Parker & Parsley Petroleum. This merger
was viewed as positive due to Parker & Parsley's financial strength. The
supermarket sector experienced volatility during the period as returns jumped
upward amid new CBO issuance, and thus increased demand. However, this jump in
prices was led purely by technical factors as weak industry fundamentals
remained present. Given the Portfolio's recognition of weak industry
fundamentals, an underweight to and non-investment in certain supermarket
credits benefited performance. Troubled issues such as Grand Union, Brunos, and
Penn Traffic were not held by the Portfolio for the period. Security selection
in the metals sector boosted return as metal prices appreciated on a strong
economy. In particular, Portfolio holdings such as ALGOMA Steel, Weirton Steel,
and Royal Oaks gained in price on positive earnings reports, completed capital
projects, and regulatory actions taken to reduce steel imports. Consumer
manufacturing security selection added to overall return. Issues held by the
Portfolio posted positive returns on favorable earnings reports and M&A
activity.
Although the Portfolio reduced its exposure to the gaming sector, superior
security selection in this sector was a positive. Trump bonds held by the
Portfolio led performance for the period. These bonds were eventually sold as it
was perceived that total relative value had been recognized. Investment in the
communications sector was a slight drag on performance. The Portfolio maintained
its overweight to this sector, however, as the high yield market faced periods
of heightened volatility, communication bonds traded down in price. As a
majority of communication bonds are zero-coupon bonds, these bonds are usually
most negatively impacted in down markets. The Portfolio's outlook remains that
this sector exhibits growth and M&A activity is dominant, therefore, an
overweight will be held.
================================================================================
HIGH YIELD BOND
================================================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Year Annualized
Return Inception to Date
- --------------------------------------------------------------------------------
15.30% 16.00%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE HIGH YIELD BOND
PORTFOLIO, VERSUS THE CS FIRST BOSTON HIGH YIELD INDEX
[LINE GRAPH OMITTED]
PLOT POINTS ARE AS FOLLOWS
HIGH YIELD CS FIRST BOSTON
BOND PORTFOLIO HIGH YIELD INDEX
1/95 10,000 10,000
9/95 11,254 11,292
9/96 12,994 12,508
9/97 14,982 14,474
1 FOR THE PERIOD ENDED 9/30/97. PAST PERFORMANCE OF THE PORTFOLIO IS
NOT PREDICTIVE OF FUTURE PERFORMANCE. PORTFOLIO SHARES WERE OFFERED
BEGINNING 1/11/95.
14
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Shareholders and Board of Trustees of
SEI Institutional Managed Trust
In our opinion, the accompanying statements of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Large Cap Value, Large Cap Growth, Small Cap Value, Small Cap Growth, Mid-Cap,
Capital Appreciation, Equity Income, Balanced, Core Fixed Income, Bond and High
Yield Bond Portfolios (constituting SEI Institutional Managed Trust, hereafter
referred to as the "Trust") at September 30, 1997, the results of each of their
operations for the year then ended, the changes in each of their net assets for
each of the two years in the period then ended and the financial highlights for
each of the periods indicated, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Trust's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at September 30, 1997 by correspondence with the
custodian and brokers and the application of alternative procedures where
securities purchased had not been settled, provide a reasonable basis for the
opinion expressed above.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania
November 25, 1997
15
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
LARGE CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 97.6%
AEROSPACE & DEFENSE -- 0.4%
Thiokol 44,700 $ 3,844
---------
AIR TRANSPORTATION -- 1.0%
AMR* 20,900 2,313
Delta Air Lines 35,800 3,372
UAL* 38,200 3,233
---------
8,918
---------
AIRCRAFT -- 1.3%
Northrop 19,700 2,391
Textron 50,900 3,308
United Technologies 70,100 5,678
---------
11,377
---------
APPAREL/TEXTILES -- 0.3%
Springs Industries, Cl A 23,300 1,223
VF 13,600 1,260
---------
2,483
---------
AUTOMOTIVE -- 3.4%
Chrysler 65,100 2,396
Eaton 33,000 3,048
Ford Motor 164,900 7,462
General Motors 197,900 13,247
Genuine Parts 62,775 1,934
Paccar 22,400 1,254
---------
29,341
---------
BANKS -- 15.2%
Astoria Financial 51,300 2,581
Banc One 120,825 6,744
BankAmerica 184,635 13,536
Bankers Trust New York 71,101 8,710
Chase Manhattan 64,000 7,552
Citicorp 33,500 4,487
Comerica 59,400 4,689
First American Bank 67,700 3,635
First Chicago 147,200 11,077
First Union 43,050 2,155
Fleet Financial Group 57,800 3,790
Golden West Financial 41,100 3,689
H.F. Ahmanson 63,800 3,625
JP Morgan 64,200 7,295
National City 110,425 6,798
NationsBank 89,500 5,538
Norwest 82,100 5,029
ONBANCorp 41,700 2,387
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PNC Bank 164,900 $ 8,049
Republic New York 57,200 6,499
Southtrust 201,800 9,939
SunTrust 60,000 4,076
---------
131,880
---------
BEAUTY PRODUCTS -- 0.4%
Avon Products 23,700 1,469
International Flavors &
Fragrances 45,150 2,212
---------
3,681
---------
BUILDING & CONSTRUCTION -- 0.5%
Centex 75,000 4,378
---------
CHEMICALS -- 3.6%
BF Goodrich 64,800 2,932
Betz Laboratories 31,700 2,167
Dow Chemical 70,550 6,398
EI du Pont de Nemours 180,700 11,124
Great Lakes Chemical 57,400 2,831
Rohm & Haas 23,400 2,245
Union Carbide 34,800 1,694
Witco 34,900 1,592
---------
30,983
---------
COMMUNICATIONS EQUIPMENT -- 0.7%
Harris 74,000 3,385
Sprint 54,600 2,730
---------
6,115
---------
COMPUTERS & SERVICES -- 2.6%
3Com* 59,500 3,049
Compaq Computer* 80,450 6,014
IBM 104,100 11,028
Microsoft* 17,200 2,276
---------
22,367
---------
DRUGS -- 2.7%
American Home Products 23,275 1,699
Amgen* 36,100 1,731
Bristol-Myers Squibb 114,400 9,467
Johnson & Johnson 15,400 887
Perrigo* 156,100 2,459
Schering Plough 111,800 5,758
Smithkline Beecham, PLC, ADR 35,000 1,711
---------
23,712
---------
16
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
ELECTRICAL SERVICES -- 5.5%
AES* 62,900 $ 2,752
Baltimore Gas & Electric 154,300 4,282
Consolidated Edison of
New York 83,800 2,849
DQE 70,800 2,390
DTE Energy 43,400 1,321
Duke Power 31,950 1,580
Edison International 125,400 3,166
Entergy 91,000 2,372
Houston Industries 26,445 575
Illinova 50,300 1,085
Long Island Lighting 41,700 1,069
Ohio Edison 50,400 1,181
PacifiCorp 101,075 2,262
PG&E 94,459 2,190
Pinnacle West Capital 226,600 7,619
Southern 144,800 3,267
TECO Energy 78,900 1,933
Texas Utilities 96,500 3,474
Unicom 101,500 2,373
---------
47,740
---------
ELECTRICAL TECHNOLOGY -- 0.3%
Thomas & Betts 41,200 2,251
---------
ENTERTAINMENT -- 0.2%
Bally Total Fitness* 13,750 237
King World Productions* 38,500 1,665
---------
1,902
---------
ENVIRONMENTAL SERVICES -- 0.6%
Browning-Ferris Industries 48,000 1,827
USA Waste Services* 78,200 3,118
---------
4,945
---------
FINANCIAL SERVICES -- 4.1%
Bear Stearns 223,592 9,838
Green Tree Financial 62,600 2,942
Lehman Brothers Holding 77,900 4,177
Merrill Lynch 94,600 7,018
Morgan Stanley 52,100 2,817
Salomon 50,900 3,827
Travelers 76,833 5,244
---------
35,863
---------
FOOD, BEVERAGE & TOBACCO -- 4.0%
Adolph Coors, Cl B 76,400 2,894
Anheuser Busch 82,900 3,741
Fortune Brands 32,800 1,105
General Mills 98,900 6,818
HJ Heinz 83,450 3,854
IBP 62,800 1,484
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Kellogg 50,400 $ 2,123
Pepsico 47,700 1,935
Philip Morris 112,525 4,677
Quaker Oats 92,300 4,650
RJR Nabisco 53,700 1,846
---------
35,127
---------
GAS/NATURAL GAS -- 1.5%
Consolidated Natural Gas 64,275 3,740
National Fuel & Gas 65,000 2,860
Oneok 68,800 2,245
Pacific Enterprises 37,600 1,274
Williams 55,575 2,602
---------
12,721
---------
HOUSEHOLD PRODUCTS -- 0.9%
Clorox 10,975 814
General Electric 29,250 1,991
Maytag 110,900 3,784
Raychem 12,700 1,073
---------
7,662
---------
INSURANCE -- 7.1%
Allstate 47,400 3,810
Ambac Financial Group 107,800 4,386
American General 60,500 3,138
Cigna 43,600 8,121
Exel 138,500 8,249
Jefferson-Pilot 66,150 5,226
Lincoln National 19,075 1,328
Loew's 26,300 2,970
Marsh & McLennan 80,450 6,164
Old Republic International 152,400 5,944
Orion Capital 81,100 3,675
Safeco 70,425 3,733
St. Paul 56,839 4,636
---------
61,380
---------
LEASING/RENTING -- 0.5%
Comdisco 125,025 4,071
---------
MACHINERY -- 4.0%
Aerquip-Vickers 63,100 3,092
Caterpillar 135,200 7,292
Cummins Engine 70,200 5,480
Global Industries Technologies* 78,700 1,633
NACCO Industries, Cl A 16,000 1,881
New Holland* 51,400 1,516
Parker-Hannifin 97,500 4,388
Pitney Bowes 36,000 2,995
Tenneco 72,575 3,475
Timken 86,900 3,481
---------
35,233
---------
17
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
LARGE CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MEASURING DEVICES -- 0.2%
Mallinckrodt 47,400 $ 1,706
---------
MEDICAL PRODUCTS & SERVICES -- 1.5%
Baxter International 90,975 4,753
Healthsouth Rehabilitation* 64,200 1,713
Novacare* 185,500 3,200
Universal Health Services, Cl B* 76,600 3,313
---------
12,979
---------
METALS & MINING -- 0.3%
Vulcan Materials 35,000 3,045
---------
MISCELLANEOUS BUSINESS SERVICES -- 0.2%
Oracle Systems* 43,000 1,567
---------
MISCELLANEOUS MANUFACTURING -- 0.3%
Minnesota Mining &
Manufacturing 28,700 2,655
---------
OFFICE FURNITURE & FIXTURES -- 0.3%
Kimberly-Clark 51,500 2,520
---------
PAPER & PAPER PRODUCTS -- 2.5%
Champion International 19,500 1,188
Fort James 99,200 4,545
Georgia-Pacific 18,300 1,910
International Paper 131,600 7,246
Mead 24,600 1,777
Union Camp 33,700 2,079
Weyerhaeuser 52,300 3,105
---------
21,850
---------
PETROLEUM & FUEL PRODUCTS -- 2.1%
Atlantic Richfield 180,175 15,394
Ensco International 33,400 1,317
Rowan* 50,900 1,813
---------
18,524
---------
PETROLEUM REFINING -- 9.2%
Amoco 50,425 4,860
Chevron 241,750 20,111
Dresser Industries 76,650 3,296
Exxon 315,600 20,218
Mobil 73,050 5,406
Phillips Petroleum 154,075 7,954
Texaco 92,150 5,661
USX-Marathon Group 232,800 8,657
Valero Energy 98,500 3,232
---------
79,395
---------
PRINTING & PUBLISHING -- 2.8%
Bowne 64,400 2,262
Dow Jones 37,225 1,740
Lafarge 46,200 1,490
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
McGraw-Hill 121,750 $ 8,241
New York Times, Cl A 55,500 2,914
R.R. Donnelley & Sons 43,300 1,545
Tribune 110,300 5,880
---------
24,072
---------
RAILROADS -- 1.0%
Burlington Northern Santa Fe 68,200 6,590
Union Pacific 33,625 2,106
---------
8,696
---------
RETAIL -- 3.6%
Dayton-Hudson 207,300 12,425
Estee Lauder 14,200 657
Federated Department Stores* 47,400 2,044
Fred Meyer* 40,100 2,135
Great Atlantic & Pacific Tea 49,800 1,581
Homebase* 79,300 714
JC Penney 74,500 4,340
May Department Stores 56,025 3,053
Ruddick 71,100 1,146
TJX 89,000 2,720
---------
30,815
---------
RUBBER & PLASTIC -- 0.9%
Goodyear Tire & Rubber 14,000 963
Premark International 166,100 5,315
Rubbermaid 46,725 1,194
---------
7,472
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.4%
AMP 58,050 3,109
---------
SPECIALTY MACHINERY -- 1.0%
Cooper Industries 133,700 7,228
Tecumseh Products, Cl A 28,700 1,598
---------
8,826
---------
SPECIALTY SERVICES -- 0.2%
National Service Industries 50,000 2,197
---------
STEEL & STEEL WORKS -- 1.1%
Aluminum Company of America 39,600 3,247
Asarco 44,800 1,434
Phelps Dodge 12,800 994
Texas Industries 68,400 2,903
USX-US Steel Group 38,200 1,327
---------
9,905
---------
TELEPHONES & TELECOMMUNICATION -- 8.2%
Alltel 32,500 1,121
Ameritech 257,375 17,115
Bell Atlantic 228,694 18,396
18
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
BellSouth 228,400 $ 10,564
GTE 28,900 1,311
Lucent Technologies 70,565 5,742
SBC Telecommunications 192,875 11,838
US West 132,375 5,096
---------
71,183
---------
TRUCKING -- 0.4%
Yellow* 95,900 3,122
---------
WHOLESALE -- 0.5%
BJ Wholesale Club* 79,300 2,315
Safeway* 32,600 1,773
---------
4,088
---------
Total Common Stocks
(Cost $635,477) 845,700
---------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill (A)
Zero coupon, 02/05/98 500 491
---------
Total U.S. Treasury Obligation
(Cost $491) 491
---------
REPURCHASE AGREEMENT -- 1.9%
J.P. Morgan
6.050%, dated 09/30/97, matures
10/01/97, repurchase price
$17,007,000 (collateralized by
REFCO Obligation, par value
$23,968,000, zero coupon,
01/15/03, total market value:
$17,344,000) 17,004 17,004
---------
Total Repurchase Agreement
(Cost $17,004) 17,004
---------
Total Investments -- 99.6%
(Cost $652,972) 863,195
---------
Other Assets and Liabilities, Net-- 0.4% 3,631
---------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
44,750,811 outstanding shares
of beneficial interest 590,228
Undistributed net investment income 3,008
Accumulated net realized gain
on investments 63,214
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Net unrealized appreciation on
futures contracts $ 153
Net unrealized appreciation on investments 210,223
---------
Total Net Assets-- 100.0% $866,826
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $19.37
=========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
PLC -- PUBLIC LIMITED COMPANY
REFCO -- RESOLUTION TRUST FUNDING CORPORATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
LARGE CAP GROWTH PORTFOLIO
COMMON STOCKS -- 97.9%
AIRCRAFT -- 1.9%
Allied Signal 196,000 $ 8,330
Boeing 61,800 3,364
United Technologies 46,000 3,726
---------
15,420
---------
APPAREL/TEXTILES -- 0.6%
U.S. Industries* 164,400 4,768
---------
BANKS -- 6.8%
BankAmerica 45,700 3,350
BankBoston 46,200 4,086
Chase Manhattan 72,350 8,537
Citicorp 11,800 1,580
MBNA 406,150 16,449
NationsBank 117,300 7,258
Norwest 64,200 3,932
State Street 71,500 4,357
Wachovia 1,600 115
Washington Mutual 65,000 4,534
---------
54,198
---------
BEAUTY PRODUCTS -- 2.3%
Colgate-Palmolive 147,300 10,265
Procter & Gamble 120,300 8,308
---------
18,573
---------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.5%
Cox Communications* 142,100 3,917
---------
19
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
LARGE CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 0.6%
ADC Telecommunications* 37,100 $ 1,206
Andrew* 45,300 1,186
Tellabs* 51,200 2,637
---------
5,029
---------
COMPUTERS & SERVICES -- 8.9%
Cisco Systems* 270,300 19,749
Compaq Computer* 462,300 34,557
Dell Computer* 138,200 13,388
Hewlett Packard 49,100 3,416
---------
71,110
---------
CONTAINERS & PACKAGING -- 0.3%
Crown Cork & Seal 46,800 2,159
---------
DRUGS -- 10.7%
Abbott Laboratories 75,800 4,846
Amgen* 96,800 4,640
Centocor* 63,300 3,011
Elan, ADR 75,200 3,765
Eli Lilly 81,900 9,864
Merck 252,400 25,224
Pfizer 162,700 9,772
Schering Plough 300,000 15,450
Warner Lambert 66,500 8,973
---------
85,545
---------
ELECTRICAL SERVICES -- 0.4%
AES* 76,200 3,334
---------
ENTERTAINMENT -- 1.5%
Liberty Media Group, Cl A* 227,050 6,797
Walt Disney 70,300 5,668
---------
12,465
---------
ENVIRONMENTAL SERVICES -- 0.8%
USA Waste Services* 154,000 6,141
---------
FINANCIAL SERVICES -- 5.1%
Associates First Capital 39,000 2,428
FNMA 110,400 5,189
Household International 31,600 3,577
Merrill Lynch 121,600 9,021
Morgan Stanley, Dean Witter,
Discover 173,000 9,353
Travelers 162,500 11,091
---------
40,659
---------
FOOD, BEVERAGE & TOBACCO -- 3.9%
Campbell Soup 147,100 7,208
Coca-Cola 92,800 5,655
CPC International 24,200 2,242
PepsiCo 23,100 937
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Philip Morris 363,500 $ 15,108
---------
31,150
---------
HOTELS & LODGING -- 0.6%
La Quinta Inns 210,000 4,948
---------
HOUSEHOLD PRODUCTS -- 7.5%
General Electric 260,600 17,737
Gillette 210,100 18,134
Illinois Tool Works 107,500 5,375
Sherwin-Williams 95,100 2,800
Solectron* 185,800 8,268
Sunbeam Oster 173,100 7,681
---------
59,995
---------
INSURANCE -- 4.3%
American International Group 127,800 13,187
MGIC Investment 44,900 2,573
Oxford Health Plans* 110,800 8,296
Travelers Property Casualty 74,700 3,025
UNUM 169,600 7,738
---------
34,819
---------
MACHINERY -- 5.1%
Applied Materials* 90,900 8,658
Deere 90,100 4,843
Emerson Electric 58,200 3,354
Tenneco 48,900 2,341
Tyco International Limited 262,800 21,566
---------
40,762
---------
MARINE TRANSPORTATION -- 0.4%
Carnival, Cl A 66,500 3,076
---------
MEDICAL PRODUCTS & SERVICES -- 4.2%
Baxter International 103,900 5,429
Boston Scientific* 98,000 5,408
Healthsouth Rehabilitation* 209,400 5,588
Medtronic 365,700 17,188
---------
33,613
---------
MISCELLANEOUS BUSINESS SERVICES-- 7.1%
3Com* 105,500 5,407
Altera* 76,300 3,910
Computer Associates
International 96,800 6,951
Computer Sciences* 93,400 6,608
First Data 68,900 2,588
Ikon Office Solutions 83,200 2,127
Microsoft* 133,600 17,677
Oracle Systems* 281,950 10,274
Sungard Data Systems* 49,800 1,208
---------
56,750
---------
20
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MISCELLANEOUS CONSUMER SERVICES-- 0.6%
Service International 152,400 $ 4,905
---------
MOTORCYCLE -- 0.3%
Harley-Davidson 70,000 2,043
---------
PAPER & PAPER PRODUCTS -- 0.5%
Kimberly-Clark 87,000 4,258
---------
PETROLEUM & FUEL PRODUCTS -- 3.5%
Apache 119,000 5,102
Global Marine* 108,400 3,604
Halliburton 41,000 2,132
Schlumberger 177,300 14,926
Transocean Offshore 42,400 2,033
---------
27,797
---------
PETROLEUM REFINING -- 1.1%
Amoco 26,900 2,593
Mobil 55,700 4,122
Tosco 53,400 1,859
---------
8,574
---------
PROFESSIONAL SERVICES -- 0.3%
Paychex 69,400 2,420
---------
RETAIL -- 7.9%
Costco* 90,200 3,394
CVS 58,000 3,299
Dayton-Hudson 61,300 3,674
Dollar General 114,750 3,909
Gap 39,400 1,972
Home Depot 205,975 10,736
Kohls* 99,200 7,043
Kroger* 148,300 4,477
Rite Aid 101,750 5,641
Safeway 198,400 10,788
Sears Roebuck 63,000 3,587
Toys "R" Us* 65,900 2,339
Walgreen 95,000 2,434
---------
63,293
---------
RUBBER & PLASTIC -- 0.5%
Sealed Air* 69,000 3,791
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 4.2%
AMP 18,100 970
Intel 241,300 22,275
Texas Instruments 76,400 10,324
---------
33,569
---------
STEEL & STEEL WORKS -- 0.8%
Aluminum Company of America 83,200 6,822
---------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 4.2%
Airtouch Communications* 137,850 $ 4,885
Lucent Technologies 164,200 13,362
L.M. Ericsson Telephone, ADR* 139,400 6,683
WorldCom* 252,800 8,943
---------
33,873
---------
WHOLESALE -- 0.5%
Cardinal Health 31,100 2,208
Danka Business Systems, ADR 34,300 1,526
---------
3,734
---------
Total Common Stocks
(Cost $532,295) 783,510
---------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill (A)
Zero coupon, 02/05/98 660 648
---------
Total U.S. Treasury Obligation
(Cost $648) 648
---------
U.S. GOVERNMENT AGENCY OBLIGATION -- 0.1%
FNMA Discount Note
5.480%, 10/08/97 1,400 1,398
---------
Total U.S. Government Agency Obligation
(Cost $1,398) 1,398
---------
COMMERCIAL PAPER -- 1.0%
Ford Motor Credit
5.618%, 10/01/97 132 132
5.550%, 10/03/97 5,105 5,103
GE Capital
5.620%, 10/01/97 409 409
Prudential Funding
5.570%, 10/01/97 1,998 1,998
---------
Total Commercial Paper
(Cost $7,642) 7,642
---------
REPURCHASE AGREEMENT -- 0.9%
Lehman Brothers 5.880%, dated
09/30/97, matures 10/01/97,
repurchase price $7,614,000
(collateralized by U.S.
Treasury Note, par value
$7,630,000,
5.875%, 11/15/99,
total market value: $7,806,000) 7,613 7,613
---------
21
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
LARGE CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Total Repurchase Agreement
(Cost $7,613) $ 7,613
---------
Total Investments -- 100.0%
(Cost $549,596) 800,811
---------
Other Assets and Liabilities, Net-- (0.0%) (332)
---------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
39,231,706 outstanding shares of
beneficial interest 509,598
Undistributed net investment income 907
Accumulated net realized gain
on investments 38,692
Net unrealized appreciation on
futures contracts 67
Net unrealized appreciation
on investments 251,215
---------
Total Net Assets-- 100.0% $800,479
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $20.40
=========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALL CAP VALUE PORTFOLIO
COMMON STOCKS -- 96.2%
AEROSPACE DEFENSE -- 2.0%
American Woodmark 28,000 $ 507
Commonwealth Industries 18,740 361
Doncasters PLC, ADR* 40,900 1,227
Esco Electronics* 26,990 476
General Cable* 78,400 2,783
Homebase* 144,300 1,299
---------
6,653
---------
AGRICULTURE -- 0.5%
Sylvan* 105,000 1,588
---------
AIR TRANSPORTATION -- 1.3%
Airborne Freight 10,290 623
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
~
Alaska Airgroup* 59,500 $ 1,956
America West Holdings, Cl B* 110,000 1,602
---------
4,181
---------
APPAREL/TEXTILES -- 2.3%
Culp 37,300 774
Fieldcrest Cannon* 26,400 911
First Years 48,800 1,379
Guilford Mills 22,640 589
Kellwood 15,160 537
Pillowtex 16,670 475
Quaker Fabric* 50,700 1,147
Quiksilver* 31,300 1,142
Worldtex* 76,200 538
---------
7,492
---------
AUTOMOTIVE -- 2.2%
Arvin Industries 15,190 596
Borg-Warner Automotive 29,470 1,676
Coachmen Industries 79,200 1,505
Federal Mogul 89,600 3,326
---------
7,103
---------
BANKS -- 11.2%
Albank Financial 9,770 413
Andover Bancorp 11,170 410
Astoria Financial* 31,990 1,609
Bank North Group 3,000 164
Bank Plus* 76,100 980
Cenfed Financial 56,420 2,028
Century Bancorp 39,200 652
Coast Savings Financial* 59,600 3,125
Dime Community Bancorp* 99,000 2,017
Downey Financial 59,887 1,460
Eagle Financial 22,300 892
Flushing Financial* 28,400 682
Greater New York Savings Bank 140,300 3,315
Imperial Bancorp* 43,200 1,615
Long Island Bancorp 52,900 2,486
Magna Group 14,910 588
ONBANCorp 10,140 580
One Valley Bancorp 16,325 604
PFF Bancorp* 51,600 1,000
Prime Bancshares* 17,800 338
Queens County Bancorp 5,560 288
Reliance Bancorp 77,770 2,566
Republic Bancorp 25,900 427
Riggs National 135,470 3,192
SIS Bancorp 14,080 489
Sterling Bancorp 22,900 521
TR Financial 115,190 3,672
---------
36,113
---------
22
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BEAUTY PRODUCTS -- 0.3%
Block Drug, Cl A 20,500 $ 979
---------
BUILDING & CONSTRUCTION -- 1.1%
Centex 10,700 625
Crossman Communities* 19,800 448
Toll Brothers* 63,000 1,465
Willbros Group* 46,500 976
---------
3,514
---------
BUILDING & CONSTRUCTION SUPPLIES-- 0.4%
Griffon* 17,500 284
MDC Holdings 47,430 471
Nortek* 14,000 363
---------
1,118
---------
CHEMICALS -- 2.2%
Cambrex 35,500 1,655
Dexter 14,680 588
General Chemical Group 78,400 2,435
H.B. Fuller 9,330 506
Mississippi Chemical 22,200 433
OM Group 41,000 1,637
---------
7,254
---------
COAL MINING -- 0.5%
Zeigler Coal Holding 64,100 1,498
---------
COMPUTERS & SERVICES -- 2.2%
Channell Commercial* 47,700 656
Cirrus Logic* 100,900 1,463
Data General* 13,100 349
HMT Technology* 86,600 1,359
Kentek Information Systems 24,100 223
National Computer Systems 3,660 129
Wang Laboratories* 135,600 2,856
---------
7,035
---------
CONCRETE & MINERAL PRODUCTS -- 0.3%
Ferro 14,930 570
Florida Rock Industries 8,920 531
---------
1,101
---------
CONSUMER PRODUCTS -- 1.5%
Central Louisiana Electric 18,150 500
Public Service of New Mexico 90,720 1,752
Stride Rite 50,000 678
USCan* 114,100 1,897
---------
4,827
---------
CONTAINERS & PACKAGING -- 0.7%
Greif Brothers 13,100 426
Silgan Holdings* 48,900 1,956
---------
2,382
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
DRUGS -- 0.2%
Ivax 48,900 $ 575
---------
ELECTRICAL SERVICES -- 1.0%
Calpine* 65,400 1,345
Commonwealth Energy System 21,690 586
Sierra Pacific Resources 17,660 566
Sigcorp 22,180 566
---------
3,063
---------
ELECTRICAL TECHNOLOGY -- 0.4%
Belden 37,600 1,417
---------
ENTERTAINMENT -- 1.5%
Harveys Casinos Resorts 75,200 1,325
Wms Industries* 111,200 3,357
---------
4,682
---------
FINANCIAL SERVICES -- 6.6%
Apartment Investment
Management 58,100 2,099
Arden Reality Group 43,400 1,362
Brandywine Realty Trust 49,000 1,173
Burnham Pacific Properties 87,800 1,301
Equity Inns, REIT 131,100 2,073
Healthcare Realty Trust 46,100 1,311
Home Properties of New York, REIT 4,500 117
Interra Financial 10,300 619
JSB Financial 11,600 568
Kilroy Realty, REIT* 73,600 1,987
Liberty Property Trust, REIT 49,300 1,328
McDonald & Co. Investment 35,200 1,025
Mid-America Apartment
Communities 30,600 908
North American Mortgage 11,710 337
Pacific Gulf Properties, REIT 48,100 1,142
Piper Jaffray 20,710 633
Prentiss Properties Trust, REIT 72,200 2,085
RFS Hotel Investors 61,200 1,193
---------
21,261
---------
FOOD, BEVERAGE & TOBACCO -- 2.0%
Adolph Coors, Cl B 17,070 646
Chiquita Brands International 116,100 1,872
M & F Worldwide* 92,200 876
Pilgrims Pride 73,000 1,086
Ryan's Family Steak Houses* 61,330 563
Schweitzer-Manduit International 30,700 1,305
---------
6,348
---------
GAS/NATURAL GAS -- 0.7%
Connecticut Energy 19,690 486
Energen 9,770 347
Northwest Natural Gas 18,400 474
NUI 40,000 940
---------
2,247
---------
23
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
GLASS PRODUCTS -- 0.9%
Excel Industries 23,650 $ 471
Hirsch International* 34,600 612
Libbey 51,400 1,834
---------
2,917
---------
HEALTH SERVICES -- 0.9%
Regency Health Services* 125,190 2,738
---------
HOUSEHOLD FURNITURE & FIXTURES -- 0.5%
Furniture Brands International* 70,100 1,323
O'Sullivan Industries Holdings* 34,260 428
---------
1,751
---------
HOUSEHOLD PRODUCTS -- 2.3%
American Safety Razor* 163,830 3,010
Genlyte Group* 17,900 304
Holophane* 52,900 1,217
NCH 6,830 485
National Presto Industries 30,300 1,274
Royal Appliance Manufacturing* 93,100 815
Thomas Industries 13,020 391
---------
7,496
---------
INSURANCE -- 10.0%
Allmerica Financial* 29,800 1,309
American Heritage
Life Insurance 9,690 388
Capmac Holdings 23,700 766
Capsure Holdings* 25,630 384
Delphi Financial Group, Cl A* 9,600 412
E.W. Blanch Holdings 55,200 1,708
Enhance Financial
Services Group 34,500 1,889
Everest Reinsurance Holdings 28,600 1,173
Executive Risk* 22,800 1,559
FPIC Insurance* 57,400 1,693
First American Financial 8,240 494
Fremont General 11,000 525
Harleysville Group* 36,900 1,550
Highland Insurance Group 46,900 1,143
Horace Mann Educators 56,000 3,143
IPC Holding 54,100 1,596
Lasalle Re Holdings 20,900 734
Life Re 7,080 373
Life USA Holdings* 114,600 1,848
Orion Capital 12,770 579
Penn Treaty American* 25,100 828
Penncorp Financial Group 44,600 1,383
PMI Group 15,000 860
Presidential Life 54,570 1,085
Renaissancere Holdings 20,500 901
RLI 11,030 496
State Auto Financial 66,800 1,511
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
W.R. Berkley 25,950 $ 1,117
Western National 36,450 1,046
---------
32,493
---------
LEISURE PRODUCTS -- 0.8%
DSI Toys* 74,500 698
Standard Motor Products 17,200 402
Velcro Industries 15,700 1,511
---------
2,611
---------
LUMBER & WOOD PRODUCTS -- 0.2%
TJ International 19,810 506
---------
MACHINERY -- 2.5%
Amcast Industrial 20,230 496
CTB International* 54,200 854
Gardner Denver Machinery* 9,530 321
Gleason 16,980 467
Layne Christensen* 69,500 1,459
Moog, Cl A* 59,400 2,369
Omniquip International* 40,600 746
Watts Industries, Cl A 53,800 1,493
---------
8,205
---------
MANUFACTURING -- 0.9%
Avondale Industries* 116,440 3,071
---------
MARINE TRANSPORTATION -- 0.6%
Oak Industries* 66,500 1,804
---------
MEASURING DEVICES -- 0.6%
Fluke 38,240 2,065
---------
MEDICAL PRODUCTS & SERVICES -- 5.8%
American Homepatient* 18,800 432
Del Global Technologies* 122,500 1,309
Grancare* 86,400 1,021
Haemonetics* 67,600 1,276
Hologic* 56,800 1,594
Integrated Health Services 61,000 2,040
Lincare Holdings* 51,600 2,603
Maxicare Health Plans* 51,800 965
Multicare* 81,300 2,261
Novacare* 35,430 611
OEC Medical Systems* 62,200 1,174
Sun Healthcare Group* 61,400 1,263
Sunglass Hut International* 98,400 763
Trigon Healthcare* 62,400 1,548
---------
18,860
---------
METALS & MINING -- 0.2%
Cleveland Cliffs 13,000 567
---------
MINING -- 0.4%
Wolverine Tube* 43,100 1,352
---------
24
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES-- 1.4%
Learning* 165,500 $ 2,441
Project Software & Development* 49,400 1,130
Wall Data* 44,300 853
---------
4,424
---------
MISCELLANEOUS CONSUMER SERVICES-- 0.3%
CPI 34,900 890
---------
MISCELLANEOUS MANUFACTURING -- 0.2%
Paragon Trade Brands* 38,300 711
---------
OFFICE FURNITURE & FIXTURES -- 0.8%
Day Runner* 35,700 1,374
Kimball International 29,560 1,241
---------
2,615
---------
PAPER & PAPER PRODUCTS -- 1.9%
American Pad & Paper* 77,800 968
Buckeye Cellulose* 61,300 2,471
Gaylord Container* 107,700 915
Shorewood Packaging* 71,200 1,700
---------
6,054
---------
PETROLEUM & FUEL PRODUCTS -- 1.6%
Belco Oil & Gas* 42,600 929
Berry Petroleum 59,000 1,173
Giant Industries 23,440 461
Seacor Holdings* 28,000 1,736
Snyder Oil 25,580 580
Wiser Oil 24,350 417
---------
5,296
---------
PRINTING & PUBLISHING -- 3.5%
Big Flower Press Holdings* 57,600 1,336
Bowne 51,300 1,802
Gibson Greetings* 17,310 448
Journal Register* 54,400 1,068
Lone Star Industries 10,850 586
Media General 57,500 2,278
Southdown 11,300 617
Standard Register 16,450 548
Valassis Communications* 80,600 2,569
---------
11,252
---------
PROFESSIONAL SERVICES -- 0.5%
Carson Pirie* 14,710 580
Little Switzerland* 152,400 1,010
---------
1,590
---------
RAILROADS -- 0.8%
Canadian National Railway 46,900 2,439
Greenbrier 17,200 288
---------
2,727
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
RETAIL -- 6.3%
Boise Cascade Office Products* 27,300 $ 515
Brylane* 20,600 945
Building Material Holding 116,900 1,527
Burlington Coat Factory* 124,300 2,626
Cash America International 43,360 488
Charming Shoppes* 222,100 1,367
Dress Barn* 22,900 550
Duck-Wall Alco Stores* 39,600 634
Finlay Enterprises* 6,400 123
Fred Meyer* 10,690 569
Longs Drug Stores 81,600 2,178
Pier 1 Imports 20,400 366
Ruddick 122,700 1,979
Shopko Stores 148,530 3,862
Zale* 96,800 2,511
---------
20,240
---------
RUBBER & PLASTIC -- 0.6%
Furon 28,800 1,183
Hanna 33,700 895
---------
2,078
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.4%
AVX 76,500 2,477
Burr-Brown* 77,300 2,580
CFI Proservices* 44,400 716
Ess Technology* 59,600 905
Read-Rite* 40,000 980
---------
7,658
---------
SPECIALTY MACHINERY -- 0.5%
Fedders 135,500 804
Pameco* 40,100 712
---------
1,516
---------
STEEL & STEEL WORKS -- 1.1%
Inland Steel Industries 24,770 542
Maverick Tube* 17,500 722
National Steel, Cl B* 27,860 498
Oregon Metallurgical* 57,100 1,431
Reliance Steel & Aluminum 15,700 442
---------
3,635
---------
TECHNOLOGY, GENERAL -- 0.6%
Marshall Industries* 48,100 1,864
---------
TRANSPORTATION SERVICES -- 0.6%
Galileo International* 49,600 1,386
GATX 8,700 588
---------
1,974
---------
25
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TRUCKING -- 1.0%
Rollins Truck Leasing 121,200 $ 2,068
US Freightways 17,200 578
Yellow* 18,050 588
---------
3,234
---------
WATER UTILITIES -- 0.1%
California Water Service 9,720 480
---------
WHOLESALE -- 4.3%
Barnes Group 20,450 579
BJ Wholesale Club* 169,100 4,936
Cameron Ashley Building
Products* 45,400 829
Marquette Medical Systems, Cl A* 59,800 1,854
Pioneer Standard Electronics 188,900 3,247
Southern Electronics* 20,560 401
Standard Commercial 13,400 226
Universal-Virginia 15,780 572
Universal Forest Products 69,200 1,211
---------
13,855
---------
Total Common Stocks
(Cost $247,334) 310,960
---------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A)
Zero coupon, 02/05/98 800 786
---------
Total U.S. Treasury Obligation
(Cost $786) 786
---------
REPURCHASE AGREEMENT -- 7.2%
Lehman Brothers 6.150%, dated
09/30/97, matures 10/01/97,
repurchase price $23,274,000
(collateralized by various
FNMA obligations, par value
$39,855,000, 7.000%-10.00%,
08/01/01-03/01/25,
total market value:
$23,737,000) 23,270 23,270
---------
Total Repurchase Agreement
(Cost $23,270) 23,270
---------
Total Investments -- 103.6%
(Cost $271,390) 335,016
---------
Other Assets and Liabilities, Net -- (3.6%) (11,679)
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
18,117,110 outstanding shares of
beneficial interest $225,034
Undistributed net investment income 163
Accumulated net realized gain
on investments 34,435
Net unrealized appreciation on
futures contracts 79
Net unrealized appreciation
on investments 63,626
---------
Total Net Assets-- 100.0% $323,337
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $17.85
=========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
PLC -- PUBLIC LIMITED COMPANY
REIT -- REAL ESTATE INVESTMENT TRUST
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALL CAP GROWTH PORTFOLIO
COMMON STOCKS -- 97.2%
AEROSPACE DEFENSE -- 2.3%
Allied Products 21,000 $ 520
Axiom* 49,300 579
Carematrix* 19,700 500
Coinstar* 77,000 1,001
Computer Motion* 32,300 436
Concentra Managed Care* 40,600 1,434
DBT Online* 13,000 803
Deltek Systems* 34,200 710
Jackson Hewitt* 33,100 1,266
Mas Technology ADR* 67,100 1,527
Pierce Leahy* 20,400 553
Pride International* 39,000 1,326
Schick Technologies* 18,700 351
Tredegar Industries 14,000 983
Vistana* 46,500 1,000
---------
12,989
---------
26
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
AIRCRAFT -- 0.2%
BE Aerospace* 33,000 $ 1,188
---------
APPAREL/TEXTILES -- 2.1%
Ashworth* 230,300 2,361
Culp 20,050 416
Hirsch International* 28,500 504
Interface, Cl A 63,700 1,855
Nautica Enterprises* 54,800 1,541
Novel Denim Holdings* 42,800 1,156
Quaker Fabric* 38,300 867
Quiksilver* 32,600 1,190
St. John Knits 25,000 1,123
Tommy Hilfiger* 16,600 829
---------
11,842
---------
AUTOMOTIVE -- 0.4%
Gentex* 33,000 819
Regal Beloit 43,600 1,341
---------
2,160
---------
BANKS -- 2.7%
Affiliated Community Bancorp 40,750 1,141
Astoria Financial 20,000 1,006
Bay View Capital 26,000 712
Coast Savings Financial* 22,000 1,154
Commercial Federal 20,000 942
Cullen/Frost Bankers 10,000 474
Downey Financial 19,750 481
First Savings Bank of Washington 30,600 757
Firstfed Financial* 42,100 1,437
Hubco 15,000 475
Imperial Bancorp* 28,450 1,063
New York Bancorp 2,600 78
North Fork Bancorporation 30,000 870
Peoples Heritage Financial Group 19,000 804
Trans Financial 39,100 1,246
Webster Financial 31,000 1,821
Westamerica Bancorporation 6,500 567
---------
15,028
---------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.6%
Cox Radio, Cl A* 21,400 606
Getty Communications, ADR* 83,900 1,552
Pegasus Communications* 18,100 389
Universal Outdoor Holdings* 21,400 802
---------
3,349
---------
BUILDING & CONSTRUCTION -- 0.4%
Crossman Communities* 2,500 57
Jacobs Engineering Group* 29,000 888
Lennar 27,500 1,169
---------
2,114
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BUILDING & CONSTRUCTION SUPPLIES-- 0.4%
Miller Industries* 176,950 $ 2,112
---------
CHEMICALS -- 0.2%
OM Group 13,000 519
Scotts* 28,600 751
---------
1,270
---------
COMMUNICATIONS EQUIPMENT -- 3.6%
Act Manufacturing* 20,100 668
Black Box* 25,000 1,094
Comverse Technology* 23,000 1,213
Davox* 46,600 1,561
Digital Microwave* 57,000 2,551
Dionex* 4,000 216
Dynatech* 17,500 719
Nextlink Communications* 52,500 1,260
Nice Systems Ltd, ADR* 25,000 1,406
Powerwave Technologies* 39,900 1,546
Sawtek* 50,400 2,331
Special Devices* 55,700 1,567
Spectrian* 33,200 2,129
Tekelec* 62,200 2,119
---------
20,380
---------
COMPUTERS & SERVICES -- 4.6%
Apex Pc Solutions Inc* 53,100 2,011
Avid Technology* 67,200 2,184
Encad* 20,000 615
HMT Technology* 27,800 436
HNC Software* 31,000 1,232
Hyperion Software* 82,500 2,573
Innovex 34,500 1,113
Inspire Insurance Solutions* 26,100 473
Lecroy* 25,000 1,106
Level One Communications* 17,100 688
Microchip Technology* 20,100 908
Micros Systems* 24,300 1,215
Microtouch Systems* 36,100 1,006
Natural Microsystems * 86,700 3,295
Network Appliance* 45,000 2,441
Sequent Computer Systems* 40,000 993
Telxon 66,700 1,634
Trident Microsystems* 100,100 1,764
---------
25,687
---------
CONCRETE & MINERAL PRODUCTS -- 0.1%
Ferro 17,500 668
---------
CONSUMER PRODUCTS -- 0.6%
Stride Rite 85,000 1,153
Vans* 94,200 1,507
Wolverine World Wide 19,500 492
---------
3,152
---------
27
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
SMALLCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
DRUGS -- 4.1%
Anesta* 43,100 $ 1,002
ChiRex* 45,600 1,163
Dura Pharmaceuticals* 97,900 4,271
Fuisz Technologies* 55,450 783
Guilford Pharmaceuticals* 91,600 2,702
IDEC Pharmaceuticals* 17,100 716
Jones Medical Industries 57,700 1,818
Medicis Pharmaceutical, Cl A* 74,900 3,436
Ocular Sciences* 51,400 1,189
Onyx Pharmaceuticals* 39,800 348
Parexel International* 80,000 3,160
Pathogenesis* 59,100 2,098
Sangstat Medical* 20,500 628
---------
23,314
---------
ELECTRICAL TECHNOLOGY -- 1.5%
ANADIGICS* 43,200 2,130
C & D Technologies 34,600 1,587
Concord EFS* 83,150 2,245
Electro Scientific Industries* 33,000 2,013
Encore Wire* 10,700 344
---------
8,319
---------
ENTERTAINMENT -- 0.5%
Regal Cinemas* 104,650 2,812
---------
ENVIRONMENTAL SERVICES -- 0.7%
Culligan Water Technologies* 24,300 1,118
Eastern Environmental Services* 55,100 1,405
Newpark Resources, Inc.* 31,400 1,234
---------
3,757
---------
FINANCIAL SERVICES -- 2.2%
Americredit* 72,300 2,061
Bedford Property Investors, REIT 21,000 462
First Alliance* 30,300 954
Golf Trust of America, REIT 44,900 1,212
Imperial Credit Industries* 103,200 2,735
Metris 30,700 1,330
Moneygram Payment Systems* 68,600 1,231
National Surgery Centers* 39,000 848
RFS Hotel Investors, REIT 23,900 466
---------
12,362
---------
FOOD, BEVERAGE & TOBACCO -- 1.2%
Michael Foods 75,700 1,940
Morningstar Group* 106,600 4,584
---------
6,524
---------
GAS/NATURAL GAS -- 0.5%
Unit* 198,500 3,040
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
GLASS PRODUCTS -- 0.1%
Libbey 19,300 $ 689
---------
HOTELS & LODGING -- 1.1%
Doubletree* 9,800 473
Pegasus Systems* 60,600 1,098
Prime Hospitality* 51,000 1,151
Signature Resorts* 40,600 1,928
Silverleaf Resorts * 68,100 1,558
---------
6,208
---------
HOUSEHOLD FURNITURE & FIXTURES -- 0.9%
Bush Industries 31,600 875
Ethan Allen Interiors 100,200 3,106
Furniture Brands International* 47,000 887
---------
4,868
---------
HOUSEHOLD PRODUCTS -- 0.7%
Advanced Lighting Technologies* 83,500 2,254
Windmere 79,400 1,891
---------
4,145
---------
INSURANCE -- 3.0%
Amerin* 41,200 1,184
Arm Financial Group* 37,400 891
Boron Lepore & Associates* 34,200 791
CMAC Investment 1,200 64
Delphi Financial Group, Cl A* 25,602 1,099
E.W. Blanch Holdings 50,000 1,547
Executive Risk 6,400 438
Frontier Insurance Group 16,000 608
Healthcare Recoveries* 70,200 1,579
Horace Mann Educators 11,000 617
Metzler Group* 37,700 1,513
NS Group* 16,800 544
Phycor* 43,500 1,264
PMC-Sierra* 58,600 1,494
Total Renal Care Holdings* 40,800 2,040
Vesta Insurance Group 21,000 1,197
---------
16,870
---------
LEASING & RENTING -- 0.3%
Rental Service* 40,800 915
Renters' Choice* 45,700 1,038
---------
1,953
---------
MACHINERY -- 5.7%
Aptar Group 17,000 951
Asyst Technologies* 58,000 2,576
Aviall* 46,800 716
Brooks Automation* 11,800 453
Camco International 8,000 558
Donaldson 7,000 336
28
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Eagle Hardware & Garden* 26,200 $ 516
Flowserve 17,000 508
FSI International* 42,500 887
Gardner Denver Machinery* 23,800 802
Gasonics International* 78,400 1,632
Idex 15,000 516
Kuhlman 68,900 2,480
Kulicke & Soffa Industries* 23,600 1,093
Lam Research* 10,500 488
Lindsay Manufacturing 13,750 588
Magnetek* 82,600 1,848
Manitowoc 49,950 1,783
Micrel* 13,000 550
Novellus Systems* 8,300 1,046
Photronics Labs* 39,500 2,392
Robbins & Myers 15,000 577
Terex* 99,500 2,065
Varco International* 49,800 2,415
Wyman-Gordan* 15,000 394
Zebra Technologies, Cl A* 58,400 2,088
Zoltek* 24,800 1,578
---------
31,836
---------
MARINE TRANSPORTATION -- 0.1%
Halter Marine* 4,500 218
Hvide Marine* 15,000 480
---------
698
---------
MEASURING DEVICES -- 1.3%
Advanced Energy Industries* 21,100 597
Benchmarq Microelectronics* 6,000 133
Cohu 32,200 1,731
Credence Systems* 16,000 780
Electroglas* 18,700 636
Esterline Technologies* 34,800 1,357
Molecular Dynamics* 49,600 1,339
MTS Systems 27,000 985
---------
7,558
---------
MEDICAL PRODUCTS & SERVICES -- 5.6%
Algos Pharmaceuticals* 68,000 1,904
Castle Dental Centers* 35,500 497
Coherent* 16,000 886
Digene* 46,300 596
ESC Medical Systems* 34,700 1,306
FemRx* 37,100 97
Genesis Health Ventures* 22,000 857
Horizon Health* 41,700 1,042
II-VI, Inc.* 14,300 379
Interim Services* 41,800 1,176
Invacare 10,000 235
Kendle International* 15,700 294
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Meade Instruments* 67,600 $ 651
Medquist* 37,200 870
Mentor 32,500 1,032
Molecular Devices* 30,200 661
Multicare* 25,000 695
NCS Healthcare, Cl A* 49,800 1,270
Orthodontic Centers of America* 120,300 2,406
Pediatrix Medical Group* 51,000 2,250
Pharmaceutical Product
Development* 69,900 1,424
PHP Healthcare* 55,500 812
Renal Treatment Centers* 30,000 1,067
Respironics* 37,600 1,034
Sabratek Corp* 18,400 669
Safeskin* 78,400 3,479
Sofamor/Danek Group* 19,000 1,085
Spine-Tech* 17,300 651
Techne* 9,000 319
Universal Health Services, Cl B* 25,500 1,103
Urologix* 40,300 957
---------
31,704
---------
MISCELLANEOUS BUSINESS SERVICES-- 13.3%
Abacus Direct* 31,300 1,006
Acxiom* 33,000 575
American Software, Cl A* 130,400 1,907
Arbor Software* 45,300 2,098
Aspen Technology* 123,800 4,348
Box Hill Systems* 24,000 420
Cambridge Technology Partners* 55,600 1,991
Credit Management Solutions* 44,600 814
Cybermedia* 20,700 552
Discreet Logic* 27,800 738
Electronics for Imaging* 46,200 2,356
Engineering Animation* 29,800 1,136
Envoy* 92,900 2,653
Fair, Isaac & Company 15,000 664
Harbinger* 17,900 651
Hooper Holmes 32,200 392
Infinity Financial* 67,900 866
Insight Enterprises* 75,600 2,504
Intevac* 76,300 1,078
ITI Technologies* 55,800 1,590
J.D. Edwards* 17,600 590
JDA Software Group* 94,000 3,431
Legato Systems* 30,100 1,069
Manugistics* 56,200 2,009
McAfee Associates* 29,575 1,567
NCO Group* 22,000 814
Nova* 18,700 476
Ontrack Data International* 23,800 553
Orcad* 38,900 566
29
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
SMALLCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Overland Data* 35,000 $ 273
Peerless Systems* 125,700 1,760
Pegasystems* 36,400 1,106
Peritus Software Services* 43,800 1,122
PMT Services* 52,100 808
PRI Automation* 24,000 1,404
Qualix Group* 84,100 389
Quickresponse Services* 15,400 527
Registry* 29,500 1,361
Remedy* 14,600 503
RWD Technologies* 22,300 513
Scopus Technology* 15,600 248
Security Dynamics Technology* 16,100 598
Smart Modular* 7,000 581
Staff Leasing* 40,800 1,005
Stratus Computer* 20,000 967
Summit Design* 77,100 1,369
Sunquest* 42,600 644
Superior Services* 65,500 1,867
Systems & Computers Technology* 45,700 2,059
Technology Solutions* 46,500 1,500
Transaction Systems Architects* 30,400 1,235
Vantive* 21,300 511
Veritas Software* 45,750 2,010
Vestcom International* 52,100 1,042
Viasoft* 26,200 1,297
Viewlogic Systems* 72,900 1,736
Visio* 86,600 3,616
Wackenhut Corrections* 57,700 1,789
Wonderware* 90,300 1,659
---------
74,913
---------
MISCELLANEOUS CONSUMER SERVICES-- 0.4%
Corestaff* 15,100 489
G&K Services 23,200 806
Lamalie Associates* 56,600 1,189
---------
2,484
---------
MISCELLANEOUS MANUFACTURING -- 0.8%
Cable Design Technologies* 15,500 590
Racing Champions* 63,400 753
Samsonite* 28,000 1,228
Varlen 46,300 1,829
---------
4,400
---------
OFFICE FURNITURE & FIXTURES -- 0.2%
Knoll* 40,400 1,353
---------
PAPER & PAPER PRODUCTS -- 0.1%
Republic Group 33,110 621
---------
PETROLEUM & FUEL PRODUCTS -- 5.3%
Cabot Oil & Gas, Cl A 24,000 553
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Cliffs Drilling* 63,800 $ 4,442
Comstock Resources* 140,000 1,619
Cross Timbers Oil 67,950 1,656
Eagle Geophysical* 37,700 745
Edge Petroleum* 42,500 765
EVI* 9,400 602
Key Energy Group* 21,700 707
Marine Drilling* 169,000 5,281
Nabors Industries* 21,600 841
National Energy Group
International* 245,200 1,349
Nuevo Energy* 10,300 493
Oceaneering International* 95,400 2,272
Patterson Energy* 50,000 2,619
Pool Energy Services* 15,700 532
Seacor Holdings* 15,500 961
Seitel* 36,700 1,629
Veritas DGC* 62,200 2,647
---------
29,713
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.0%
Seattle Filmworks* 4,500 49
---------
PRINTING & PUBLISHING -- 1.2%
Applied Graphics Technologies* 22,800 1,282
Consolidated Graphics* 1,600 80
Lone Star Industries 25,400 1,372
Merrill 35,600 1,638
New England Business Service 16,000 512
Southdown 37,500 2,048
---------
6,932
---------
PROFESSIONAL SERVICES -- 2.1%
American Oncology Resources* 109,800 1,771
CDI* 20,000 755
Devry* 30,000 896
Educational Management* 26,000 689
Equity International* 138,950 3,239
F.Y.I.* 22,200 577
Nichols Research* 20,000 495
Pre Paid Legal* 22,400 633
Robert Half International* 10,500 434
Romac International* 13,200 576
Sylvan Learning Systems* 27,000 1,185
Tetra Tech* 20,000 490
---------
11,740
---------
RAILROADS -- 0.4%
Genessee & Wyoming* 36,300 1,148
Railtex* 49,700 845
Rural/Metro* 12,500 381
---------
2,374
---------
30
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
RETAIL -- 8.7%
Ames Department Stores* 138,900 $ 2,083
Arbor Drugs 34,400 800
Bombay* 55,000 423
CDW Computer Centers* 25,350 1,641
Cheesecake Factory* 17,000 469
Children's Place* 36,200 525
CKE Restaurants 99,800 4,192
Dollar Tree Stores* 18,525 779
Dress Barn* 93,000 2,232
Fine Host* 21,600 837
Foodmaker* 123,600 2,325
Gadzooks* 42,200 886
Goodys Family Clothing* 10,300 332
Guitar Center * 18,700 463
Hot Topic* 53,300 1,066
Information Management
Associates* 31,200 382
Kenneth Cole Productions* 52,900 863
Landry's Seafood Restaurants* 72,500 2,130
Men's Wearhouse* 57,500 2,142
Michaels Stores* 59,400 1,815
Microage* 18,900 548
Pacific Sunwear of California* 35,600 1,460
Papa John's International* 50,000 1,709
Paul Harris Stores* 42,400 1,171
Petco Animal Supplies* 79,500 2,494
Pier 1 Imports 25,500 457
Piercing Pagoda* 44,300 1,407
Proffitts* 18,500 1,096
Quality Food Centers* 27,500 1,126
Rexall Sundown* 52,900 2,414
Ross Stores 73,400 2,505
Showbiz Pizza Time* 62,300 1,433
Stage Stores* 61,400 2,648
Whole Foods Market* 11,100 429
Williams Sonoma* 19,200 821
Zale* 43,000 1,115
---------
49,218
---------
RUBBER & PLASTIC -- 2.8%
Carlisle 23,700 1,053
Computer Products* 30,000 892
Elantec Semiconductor* 118,200 754
Etec Systems* 20,500 1,169
Furon 37,600 1,544
Hadco* 20,000 1,083
Oak Technology* 181,800 2,182
Remec* 75,750 2,765
Sanmina* 50,900 4,406
---------
15,848
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.1%
Actel* 21,900 $ 422
Alliance Semiconductor* 84,500 834
Cypress Semiconductor* 59,600 924
Hutchinson Technology* 13,700 460
Integrated Device Technology* 58,200 702
Quality Semiconductor * 78,200 1,036
Tefron* 57,400 1,148
Unitrode* 29,500 2,187
Vitesse Semiconductor* 21,900 1,085
Zytec* 78,000 3,037
---------
11,835
---------
SPECIALTY CONSTRUCTION -- 0.3%
Apogee Enterprises 50,000 1,225
Oakwood Homes 25,000 709
---------
1,934
---------
SPECIALTY MACHINERY -- 0.0%
Littelfuse* 7,000 244
---------
STEEL & STEEL WORKS -- 1.0%
Maverick Tube* 80,800 3,333
National Steel, Cl B* 78,000 1,394
Precision Castparts 10,000 650
---------
5,377
---------
TELEPHONES & TELECOMMUNICATION -- 2.4%
ACC* 16,050 528
Boston Communications Group* 105,000 1,549
Boston Technology* 33,900 1,148
Brightpoint* 97,037 4,500
Cinar Films, Cl B* 8,900 339
Coherent Communications
Systems* 41,000 1,163
Concentric Network* 35,700 464
Midcom Communications* 52,400 360
Orion Network Systems* 48,100 824
Pacific Gateway Exchange* 24,900 974
Pairgain Technologies* 19,200 547
Periophonics* 30,000 321
United Video Satellite
Group, Ser A* 37,600 1,043
---------
13,760
---------
TESTING LABORATORIES -- 0.9%
Aurora Biosciences* 49,000 701
Curative Health Services* 46,400 1,444
International Telecommunications
Data Systems* 27,400 754
Plexus* 54,600 1,918
---------
4,817
---------
31
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
SMALL CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TRUCKING -- 1.8%
Air Express International 12,000 $ 438
Arkansas Best* 132,100 1,494
Expeditors International
of Washington 71,700 3,002
Gilead Sciences* 20,700 919
Heartland Express* 12,000 332
Roadway Express 53,000 1,451
Rollins Truck Leasing 43,000 734
Swift Transportation* 23,000 727
US Freightways 31,000 1,042
Werner Enterprises 10,000 243
---------
10,382
---------
WHOLESALE -- 5.7%
Aar Corp. 30,000 1,001
Adflex Solutions* 64,300 1,567
Amerisource Health* 18,000 1,052
Aztec Manufacturing 41,500 892
Barnett Bank* 26,900 572
Barrett Resources* 12,800 498
Cellstar* 57,450 2,671
Central Garden and Pet* 57,200 1,759
CHS Electronics* 22,650 620
Ha Lo Industries* 85,575 2,450
Harmonic Lightwaves* 35,000 573
Helen of Troy Ltd* 89,200 1,762
Henry Schein* 47,300 1,691
Integrated Circuit Systems* 63,100 2,335
Iron Mountain* 33,400 1,169
JP Food Service* 29,000 914
Marquette Medical Systems, Cl A* 15,500 481
Medical Resources* 55,000 1,066
North Face* 47,600 1,279
Patterson Dental* 27,500 1,114
Performance Food Group* 64,200 1,637
Rexel* 24,700 531
Richfood Holdings 35,000 908
Serologicals* 47,850 1,089
Tower Automotive* 25,000 1,125
US Office Products* 25,500 899
---------
31,655
---------
Total Common Stocks
(Cost $396,725) 548,245
---------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill (A)
Zero coupon, 02/05/98 400 393
---------
Total U.S. Treasury Obligation
(Cost $393) 393
---------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 3.4%
J.P. Morgan
6.050%, dated 09/30/97,
matures 10/01/97, repurchase
price $19,150,000 (collateralized
by FNMA obligation, par value
$5,368,000, 6.840%, matures
10/02/07, and REFCO obligation,
par value $19,953,000,
0.000%, 01/15/03,
total market
value: $19,528,000) 19,147 $ 19,147
---------
Total Repurchase Agreement
(Cost $19,147) 19,147
---------
Total Investments -- 100.7%
(Cost $416,265) 567,785
---------
Other Assets and Liabilities, Net-- (0.7%) (4,169)
---------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
29,055,197 outstanding shares of
beneficial interest 393,628
Portfolio Shares of Class D (unlimited
authorization -- no par value) based on
115,957 outstanding shares of
beneficial interest 1,958
Accumulated net realized gain
on investments 16,455
Net unrealized appreciation on
futures contracts 55
Net unrealized appreciation on investments 151,520
---------
Total Net Assets-- 100.0% $563,616
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $19.32
=========
Net Asset Value and Redemption Price
Per Share -- Class D $18.99
=========
Maximum Offering Price Per Share --
Class D ($18.99 / 95%) $19.99
=========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FNMA --FEDERAL NATIONAL MORTGAGE ASSOCIATION
REFCO -- RESOLUTION TRUST FUNDING CORPORATION
REIT -- REAL ESTATE INVESTMENT TRUST
SER -- SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
32
<PAGE>
================================================================================
MID-CAP PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 92.2%
AEROSPACE & DEFENSE -- 2.2%
Litton Industries* 5,300 $ 288
SCI Systems* 10,000 496
---------
784
---------
AGRICULTURE -- 0.6%
Dole Food 4,400 199
---------
AIR TRANSPORTATION -- 0.7%
Delta Air Lines 2,500 235
---------
AUTOMOTIVE -- 0.7%
Paccar 4,300 241
---------
BANKS -- 7.7%
Bankers Trust New York 1,400 171
Comerica 6,000 474
Commerce Bancshares 1,500 88
First Empire State 500 207
Golden West Financial 800 72
H.F. Ahmanson 1,700 97
Republic New York 5,900 670
SouthTrust 9,200 453
TCF Financial 7,900 462
---------
2,694
---------
CHEMICALS -- 3.2%
FMC* 3,500 311
Terra Industries 20,700 279
Union Carbide 10,900 531
---------
1,121
---------
COMPUTERS & SERVICES -- 6.1%
Ceridian* 3,100 115
Quantum* 14,000 536
Storage Technology* 6,800 325
Unisys* 42,500 651
Western Digital* 12,400 497
---------
2,124
---------
CONTAINERS & PACKAGING -- 1.5%
Owens-Illinois* 15,300 519
---------
DRUGS -- 1.1%
Watson Pharmaceuticals* 6,500 388
---------
ELECTRICAL SERVICES -- 5.6%
Centerior Energy 20,600 236
Entergy 7,100 185
General Public Utilities 11,500 413
Houston Industries 3,200 70
Illinova 11,500 248
Long Island Lighting 12,100 310
Ohio Edison 11,000 258
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Rochester Gas & Electric 10,300 $ 255
---------
1,975
---------
ENERGY & POWER -- 1.0%
Calenergy* 11,000 366
---------
ENTERTAINMENT -- 0.5%
King World Productions* 4,300 186
---------
FINANCIAL SERVICES -- 3.1%
Bear Stearns 15,800 695
Green Tree Financial 4,500 211
PaineWebber Group 4,200 196
---------
1,102
---------
FOOD, BEVERAGE & TOBACCO -- 2.8%
IBP 17,200 406
Lancaster Colony 10,600 563
---------
969
---------
GAS/NATURAL GAS -- 2.2%
Columbia Gas System 7,800 546
National Fuel & Gas 5,600 246
---------
792
---------
INSURANCE -- 7.6%
Ambac Financial Group 15,800 643
Equitable 11,800 484
Old Republic International 16,700 651
Torchmark 4,000 157
Wellpoint Health Networks* 12,300 713
---------
2,648
---------
LEASING & RENTING -- 2.2%
Comdisco 23,625 769
---------
LEISURE PRODUCTS -- 0.3%
Callaway Golf 3,100 108
---------
ACHINERY -- 5.7%
Aerquip-Vickers 7,200 353
Brunswick 2,800 99
Cummins Engine 6,200 484
Harnischfeger Industries 10,200 436
Ingersoll Rand 6,150 265
Parker-Hannifin 7,950 358
---------
1,995
---------
MEASURING DEVICES -- 1.2%
Tektronix 6,200 418
---------
MEDICAL PRODUCTS & SERVICES -- 2.0%
Apria Healthcare Group* 12,200 165
Lincare Holdings* 8,000 403
Tenet Healthcare* 4,600 134
---------
702
---------
33
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
MID-CAP PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
METALS & MINING -- 1.1%
Phelps Dodge 4,800 $ 373
---------
MISCELLANEOUS BUSINESS SERVICES-- 1.7%
Adaptec* 3,500 164
GTech* 12,200 417
---------
581
---------
PAPER & PAPER PRODUCTS -- 0.5%
Westvaco 5,300 191
---------
PETROLEUM & FUEL PRODUCTS -- 5.2%
Apache 3,500 150
Ensco International 5,000 197
Rowan* 13,800 492
Tidewater 12,600 746
Union Texas Petroleum 10,200 240
---------
1,825
---------
PETROLEUM REFINING -- 3.0%
Lyondell Petrochemical 17,900 469
USX-Marathon Group 15,600 580
---------
1,049
---------
PRINTING & PUBLISHING -- 2.1%
American Greetings, Cl A 5,500 203
Washington Post, Cl B 1,200 538
---------
741
---------
RETAIL -- 8.2%
Dayton-Hudson 9,000 539
F.W. Woolworth* 22,100 489
General Nutrition* 3,300 96
Lone Star Steakhouse & Saloon* 10,400 217
Outback Steakhouse* 3,400 94
Reebok International 4,300 209
Ross Stores 15,800 539
Tandy 6,200 208
TJX 10,800 330
Wendy's International 7,000 149
---------
2,870
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.5%
National Semiconductor* 4,200 172
---------
SPECIALTY CONSTRUCTION -- 0.6%
Oakwood Homes 7,600 216
---------
STEEL & STEEL WORKS -- 1.7%
Engelhard 5,600 121
USX-US Steel Group 13,300 462
---------
583
---------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 2.8%
Century Telephone Enterprises 13,300 $ 585
Cincinnati Bell 13,400 381
---------
966
---------
TRUCKING -- 2.3%
Pittston Services 9,700 389
Ryder System 11,700 420
---------
809
---------
WHOLESALE -- 4.5%
Arrow Electronics* 8,200 476
First Brands 16,200 433
Richfood Holdings 16,300 423
Supervalu 6,600 259
---------
1,591
---------
Total Common Stocks
(Cost $24,381) 32,302
---------
REPURCHASE AGREEMENT -- 7.9%
J.P. Morgan
6.050%, dated 09/30/97,
matures 10/01/97, repurchase
price $2,767,000
(collateralized by FHLMC
obligation, par value $993,091,
6.500%, 08/01/12,
FNMA obligation, $1,830,304,
7.000%, 08/01/27, total
market value: $2,822,000) 2,767 2,767
---------
Total Repurchase Agreement
(Cost $2,767) 2,767
---------
Total Investments -- 100.1%
(Cost $27,148) 35,069
---------
Other Assets and Liabilities, Net-- (0.1%) (22)
---------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
1,791,803 outstanding shares of
beneficial interest 22,156
Undistributed net investment income 40
Accumulated net realized gain
on investments 4,930
Net unrealized appreciation on investments 7,921
---------
Total Net Assets-- 100.0% $35,047
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $19.56
=========
* NON-INCOME PRODUCING SECURITY
CL --CLASS
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34
<PAGE>
================================================================================
CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 85.8%
AIRCRAFT -- 4.2%
Allied Signal 69,400 $ 2,949
Boeing 26,970 1,468
United Technologies 31,500 2,551
---------
6,968
---------
AUTOMOTIVE -- 0.5%
Ford Motor 17,200 778
---------
BANKS -- 7.6%
Banc One 36,241 2,023
Bank of New York 23,000 1,104
BankAmerica 13,100 960
Barnett Banks 16,100 1,139
Chase Manhattan 8,900 1,050
Citicorp 9,200 1,232
Crestar Financial 6,400 300
First Union 25,000 1,252
NationsBank 14,400 891
PNC Bank 13,200 644
U.S. Bancorp 3,600 347
Washington Mutual 21,250 1,482
---------
12,424
---------
BEAUTY PRODUCTS -- 2.3%
Avon Products 33,600 2,083
Colgate-Palmolive 14,000 976
Procter & Gamble 9,200 635
---------
3,694
---------
CHEMICALS -- 1.7%
Air Products & Chemicals 1,800 149
Monsanto 27,800 1,084
Praxair 30,900 1,582
---------
2,815
---------
COMMUNICATIONS EQUIPMENT -- 1.5%
GTE 34,400 1,561
Scientific-Atlanta 41,300 934
---------
2,495
---------
COMPUTERS & SERVICES -- 3.5%
3Com* 11,900 610
Ceridian* 16,100 596
Cisco Systems* 28,300 2,068
Compaq Computer* 2,600 194
International Business Machines 21,400 2,267
---------
5,735
---------
DRUGS -- 5.7%
Abbott Laboratories 29,500 1,886
American Home Products 41,400 3,022
Amgen* 10,000 479
Bristol-Myers Squibb 26,300 2,176
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Medpartners* 36,800 $ 789
Warner Lambert 7,700 1,039
---------
9,391
---------
ENTERTAINMENT -- 0.7%
Walt Disney 14,700 1,185
---------
ENVIRONMENTAL SERVICES -- 0.4%
USA Waste Services* 18,299 730
---------
FINANCIAL SERVICES -- 1.1%
FHLMC 29,600 1,043
Quick & Reilly Group 20,000 749
---------
1,792
---------
FOOD, BEVERAGE & TOBACCO -- 6.4%
Campbell Soup 3,600 176
Coca-Cola 24,400 1,487
CPC International 13,000 1,204
Hershey Foods 24,300 1,373
Kellogg 25,000 1,053
PepsiCo* 13,100 531
PepsiCo When-Issued* 1,600 60
Philip Morris 67,200 2,793
Ralston-Ralston Purina Group 18,300 1,620
RJR Nabisco 6,900 237
---------
10,534
---------
GLASS PRODUCTS -- 0.4%
Corning 12,900 610
---------
HOTELS & LODGING -- 0.2%
HFS* 2,100 156
ITT* 2,100 142
---------
298
---------
HOUSEHOLD PRODUCTS -- 3.4%
General Electric 77,100 5,248
Hubbell, Cl B 8,300 384
---------
5,632
---------
INSURANCE -- 4.8%
American International Group 17,400 1,795
Equifax 22,600 710
General Re 3,000 596
Hartford Financial Services Group 23,300 2,005
Nationwide Financial Services 11,200 312
PMI Group 19,900 1,141
Travelers 19,931 1,360
---------
7,919
---------
LEISURE PRODUCTS -- 0.9%
Hasbro 7,000 197
Mattel 40,350 1,337
---------
1,534
---------
35
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MACHINERY -- 2.8%
Baker Hughes 11,400 $ 499
Tenneco 19,000 910
Tyco International Ltd 38,123 3,128
---------
4,537
---------
MARINE TRANSPORTATION -- 0.9%
Carnival, Cl A 31,700 1,466
---------
MEASURING DEVICES -- 1.0%
Honeywell 24,400 1,639
---------
MEDICAL PRODUCTS & SERVICES -- 3.5%
Baxter International 33,500 1,750
Boston Scientific* 17,823 984
Healthsouth Rehabilitation* 32,800 875
Horizon/CMS Healthcare* 21,700 486
Tenet Healthcare* 45,900 1,337
Vencor* 6,500 268
---------
5,700
---------
MISCELLANEOUS BUSINESS SERVICES-- 5.1%
Automatic Data Processing 8,200 410
CUC International* 35,700 1,107
First Data 53,400 2,006
McAfee Associates* 5,100 270
Microsoft* 25,900 3,427
Oracle Systems* 30,225 1,101
---------
8,321
---------
MISCELLANEOUS MANUFACTURING -- 0.3%
Minnesota Mining &
Manufacturing 6,000 555
---------
OFFICE FURNITURE & FIXTURES -- 0.7%
Lear* 23,800 1,172
---------
PETROLEUM & FUEL PRODUCTS -- 1.2%
Halliburton 21,000 1,092
Schlumberger 7,700 648
Transocean Offshore 4,800 230
---------
1,970
---------
PETROLEUM REFINING -- 2.3%
British Petroleum, PLC, ADR 16,900 1,535
Mobil 20,500 1,517
Royal Dutch Petroleum 5,200 289
Tosco 14,100 491
---------
3,832
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 1.4%
Xerox 28,100 2,366
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PRINTING & PUBLISHING -- 2.4%
Gannett 15,000 $ 1,619
New York Times, Cl A 43,300 2,273
---------
3,892
---------
RAILROADS -- 0.6%
Burlington Northern Santa Fe 9,800 947
---------
RETAIL -- 12.2%
Albertson's 15,500 541
American Stores 9,900 241
Costco* 31,600 1,189
CVS 38,800 2,207
Federated Department Stores* 28,500 1,229
Gillette 39,800 3,435
Home Depot 24,250 1,264
Johnson & Johnson 44,300 2,553
The Limited 40,000 978
Office Depot* 20,000 404
Rite Aid 24,000 1,331
Safeway* 23,700 1,289
Sherwin Williams 21,900 645
Staples* 26,100 721
Tandy 35,000 1,177
Wendy's International 33,200 706
---------
19,910
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.8%
Intel 32,400 2,991
---------
TELEPHONES & TELECOMMUNICATION -- 1.8%
BellSouth 1,200 56
Lucent Technologies 13,000 1,058
L.M. Ericsson Telephone, ADR* 26,900 1,290
MCI Communications 16,500 485
---------
2,889
---------
WASTE MANAGEMENT -- 0.2%
Molten Metal Technology* 65,500 360
---------
WHOLESALE -- 2.3%
JP Food Service* 16,300 513
Motorola 4,400 316
Sysco 37,700 1,393
Unilever NV, ADR 3,900 829
W.W. Grainger 8,200 730
---------
3,781
---------
Total Common Stocks
(Cost $109,686) 140,862
---------
36
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
<PAGE>
PREFERRED STOCKS -- 1.3%
- --------------------------------------------------------------------------------
METALS & MINING -- 0.7%
Freeport-McMoran Copper & Gold,
Convertible to 0.8350 shares 40,000 $ 1,108
---------
TELEPHONES & TELECOMMUNICATION -- 0.6%
Airtouch Communications
Convertible to 1.3790 shares 17,000 959
---------
Total Preferred Stocks
(Cost $1,891) 2,067
---------
CONVERTIBLE BONDS -- 5.6%
Masco, Convertible to 23.3640 shares
5.250%, 02/15/12 1,850 2,091
Office Depot, Convertible
to 19.5090 shares
0.000%, 12/11/07 2,700 1,725
UNC, Convertible to
64.9350 shares
7.500%, 03/31/06 1,900 1,926
USA Waste Services, Convertible
to 35.3243 shares
5.000%, 03/01/06 700 1,048
WMX Technologies, Convertible
to 26.078 shares
2.000%, 01/24/05 2,500 2,406
---------
Total Convertible Bonds
(Cost $8,568) 9,196
---------
CORPORATE BOND -- 1.1%
Mascotech Callable
4.500%, 12/15/03 2,000 1,800
---------
Total Corporate Bond
(Cost $1,820) 1,800
---------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A)
Zero coupon, 02/05/98 300 295
---------
Total U.S. Treasury Obligation
(Cost $295) 295
---------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 3.5%
J.P. Morgan
6.050%, dated 09/30/97, matures
10/01/97, repurchase price
$5,835,000 (collateralized by
various GNMA obligations, par
value $5,817,000, 7.500%,
09/15/27, total market
value: $5,951,000) 5,834 $ 5,834
---------
Total Repurchase Agreement
(Cost $5,834) 5,834
---------
Total Investments -- 97.5%
(Cost $128,094) $160,054
---------
Other Assets and Liabilities, Net-- 2.5% 4,184
---------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
9,022,293 outstanding shares of
beneficial interest 90,780
Undistributed net investment income 362
Accumulated net realized gain
on investments 41,036
Net unrealized appreciation on
futures contracts 100
Net unrealized appreciation on investments 31,960
---------
Total Net Assets-- 100.0% $164,238
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $18.20
=========
* 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
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
37
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 93.8%
AUTOMOTIVE -- 0.9%
Genuine Parts 51,625 $ 1,591
---------
BANKS -- 10.1%
Banc One 98,900 5,520
BankAmerica 15,650 1,147
First Union 35,400 1,772
Fleet Financial Group 47,200 3,095
JP Morgan 26,525 3,014
National City 27,100 1,668
NationsBank 22,900 1,417
---------
17,633
---------
BEAUTY PRODUCTS -- 1.0%
International Flavors &
Fragrances 37,100 1,818
---------
CHEMICALS -- 5.6%
Betz Laboratories 25,900 1,771
BF Goodrich 53,200 2,407
Dow Chemical 25,700 2,331
Rohm & Haas 19,200 1,842
Witco Chemical 28,700 1,309
---------
9,660
---------
COMMUNICATIONS EQUIPMENT -- 0.6%
GTE 23,725 1,077
---------
DRUGS -- 4.2%
American Home Products 19,150 1,398
Bristol-Myers Squibb 53,775 4,450
Smithkline Beecham, PLC, ADR 28,750 1,405
---------
7,253
---------
ELECTRICAL SERVICES -- 3.9%
Baltimore Gas & Electric 72,850 2,022
Duke Power 26,250 1,298
Pacificorp 83,675 1,872
TECO Energy 65,350 1,601
---------
6,793
---------
ENVIRONMENTAL SERVICES -- 0.8%
Browning-Ferris Industries 39,100 1,488
---------
FOOD, BEVERAGE & TOBACCO -- 8.5%
Anheuser Busch 67,600 3,050
Fortune Brands 27,400 923
General Mills 44,500 3,068
HJ Heinz 68,300 3,155
Kellogg 40,700 1,714
Philip Morris 68,025 2,827
---------
14,737
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
GAS/NATURAL GAS -- 3.0%
Consolidated Natural Gas 52,925 $ 3,080
Williams 45,700 2,139
---------
5,219
---------
HOUSEHOLD PRODUCTS -- 2.5%
Clorox 9,025 669
General Electric 24,550 1,671
Kimberly-Clark 42,325 2,071
---------
4,411
---------
INSURANCE -- 8.2%
American General 49,400 2,563
Jefferson Pilot 23,400 1,849
Lincoln National 15,609 1,087
Marsh & McLennan 66,000 5,057
Safeco 18,675 990
St. Paul 33,400 2,724
---------
14,270
---------
LEASING & RENTING -- 1.4%
Pitney Bowes 29,500 2,454
---------
LUMBER & WOOD PRODUCTS -- 0.9%
Georgia-Pacific 14,900 1,555
---------
MACHINERY -- 3.2%
Dresser Industries 63,175 2,717
Tenneco 59,825 2,864
---------
5,581
---------
MEDICAL PRODUCTS & SERVICES -- 2.3%
Baxter International 75,100 3,924
---------
MISCELLANEOUS MANUFACTURING -- 1.3%
Minnesota Mining &
Manufacturing 23,625 2,185
---------
PAPER & PAPER PRODUCTS -- 3.4%
International Paper 29,400 1,619
Union Camp 27,500 1,696
Weyerhaeuser 42,775 2,540
---------
5,855
---------
PETROLEUM & FUEL PRODUCTS -- 3.4%
Atlantic Richfield 42,625 3,642
Phillips Petroleum 45,125 2,330
---------
5,972
---------
PETROLEUM REFINING -- 5.7%
Amoco 42,000 4,048
Chevron 31,050 2,583
38
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Mobil 21,800 $ 1,613
Texaco 27,400 1,683
---------
9,927
---------
PRINTING & PUBLISHING -- 5.5%
Dow Jones 30,675 1,434
McGraw-Hill 100,275 6,787
R.R. Donnelley & Sons 35,425 1,264
---------
9,485
---------
RAILROADS -- 1.0%
Union Pacific 27,425 1,718
---------
RETAIL -- 3.5%
JC Penney 61,225 3,566
May Department Stores 45,925 2,503
---------
6,069
---------
RUBBER & PLASTIC -- 0.6%
Rubbermaid 38,500 984
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.5%
AMP 47,725 2,556
Thomas & Betts 33,400 1,824
---------
4,380
---------
SPECIALTY MACHINERY -- 2.3%
Cooper Industries 73,050 3,949
---------
SPECIALTY SERVICES -- 1.0%
National Service Industries 40,993 1,801
---------
TELEPHONES & TELECOMMUNICATION -- 6.5%
Ameritech 36,825 2,449
Bell Atlantic 50,710 4,079
BellSouth 30,000 1,388
SBC Telecommunications 25,587 1,570
US West 45,766 1,762
---------
11,248
---------
Total Common Stocks
(Cost $111,755) 163,037
---------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill (A)
Zero coupon, 02/05/98 500 491
---------
Total U.S. Treasury Obligation
(Cost $491) 491
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 5.5%
J.P. Morgan
6.050%, dated 09/30/97,
matures 10/01/97, repurchase
price $9,589,000 (collateralized
by various GNMA obligations,
par value $9,577,000, 7.500%,
03/15/27-09/15/27, total
market value: $9,778,000) 9,587 $ 9,587
---------
Total Repurchase Agreement
(Cost $9,587) 9,587
---------
Total Investments -- 99.6%
(Cost $121,833) 173,115
---------
Other Assets and Liabilities, Net-- 0.4% 651
---------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
9,640,580 outstanding shares of
beneficial interest 93,150
Undistributed net investment income 1,348
Accumulated net realized gain
on investments 27,950
Net unrealized appreciation on
futures contracts 36
Net unrealized appreciation
on investments 51,282
---------
Total Net Assets-- 100.0% $173,766
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $18.02
=========
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
PLC --PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
39
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 52.3%
AIRCRAFT -- 2.7%
Allied Signal 12,600 $ 535
Boeing 4,560 248
Lockheed Martin 1,000 107
---------
1,392
---------
AUTOMOTIVE -- 0.4%
Ford Motor 2,800 127
General Motors 800 54
---------
181
---------
BANKS -- 4.6%
Banc One 7,012 391
Bank of New York 2,200 106
Barnett Banks 5,000 354
Chase Manhattan 1,700 201
Citicorp 1,700 228
Crestar Financial 1,200 56
First Union 5,900 295
Fleet Financial Group 900 59
Hibernia, Cl A 6,000 102
PNC Bank 2,000 98
U.S. Bancorp 1,751 169
Washington Mutual 4,120 287
---------
2,346
---------
BEAUTY PRODUCTS -- 1.3%
Avon Products 7,100 440
Colgate-Palmolive 2,700 188
Procter & Gamble 800 55
---------
683
---------
CHEMICALS -- 1.6%
Air Products & Chemicals 300 25
Avery Dennison 2,500 100
Monsanto 5,400 211
Morton International 3,400 121
Praxair 7,400 379
---------
836
---------
COMMUNICATIONS EQUIPMENT -- 0.4%
Nokia, Cl A, ADR 400 38
Scientific-Atlanta 8,300 188
---------
226
---------
COMPUTERS & SERVICES -- 2.2%
3Com* 1,300 67
Autotote, Cl A* 7,181 19
Ceridian* 3,000 111
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Cisco Systems* 5,400 $ 395
Compaq Computer* 500 37
Hewlett Packard 600 42
IBM 4,100 434
---------
1,105
---------
CONTAINERS & PACKAGING -- 0.0%
Newell 400 16
---------
DRUGS -- 3.9%
Abbott Laboratories 4,100 262
American Home Products 8,000 584
Amgen* 1,900 91
Bristol-Myers Squibb 5,100 422
Eli Lilly 600 72
Medpartners* 7,200 154
Merck 1,900 190
Warner Lambert 1,500 202
---------
1,977
---------
ENTERTAINMENT -- 0.5%
Walt Disney 3,136 253
---------
ENVIRONMENTAL SERVICES -- 0.4%
USA Waste Services* 3,530 141
Waste Management 1,200 42
---------
183
---------
FINANCIAL SERVICES -- 0.5%
FHLMC 5,700 201
Quick & Reilly Group 1,500 56
---------
257
---------
FOOD, BEVERAGE & TOBACCO -- 3.1%
Coca-Cola 4,800 292
CPC International 2,300 213
Hershey Foods 1,300 73
Kellogg 900 38
PepsiCo 2,900 118
Philip Morris 12,900 536
Ralston-Ralston Purina 3,200 283
RJR Nabisco 1,100 38
---------
1,591
---------
GLASS PRODUCTS -- 0.2%
Corning 2,200 104
---------
HOTELS & LODGING -- 0.1%
HFS* 400 30
ITT* 400 27
---------
57
---------
HOUSEHOLD PRODUCTS -- 2.0%
General Electric 14,700 1,001
---------
40
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
INSURANCE -- 2.9%
American International Group 3,425 $ 353
Equifax 4,400 138
General Re 600 119
Hartford Financial Services Group 4,500 387
Nationwide Financial Services 2,200 61
PMI Group 3,000 172
Travelers 3,820 261
---------
1,491
---------
LEISURE PRODUCTS -- 0.6%
Hasbro 1,000 28
Mattel 7,700 255
---------
283
---------
MACHINERY -- 1.7%
Baker Hughes 2,200 96
Bell & Howell* 1,500 49
Emerson Electric 1,300 75
Tenneco 700 34
Tyco International Ltd 7,279 597
---------
851
---------
MARINE TRANSPORTATION -- 0.6%
Carnival, Cl A 6,300 291
---------
MEASURING DEVICES -- 0.6%
Honeywell 4,500 302
---------
MEDICAL PRODUCTS & SERVICES -- 2.2%
Baxter International 6,400 334
Boston Scientific* 3,370 186
Healthsouth Rehabilitation* 6,400 171
Horizon/CMS Healthcare* 4,200 94
Tenet Healthcare* 9,300 271
Vencor* 1,300 54
---------
1,110
---------
MISCELLANEOUS BUSINESS SERVICES-- 3.0%
Automatic Data Processing 1,500 75
CUC International* 6,000 186
First Data 10,300 387
McAfee Associates* 2,200 117
Microsoft* 4,300 569
Oracle Systems* 5,900 215
---------
1,549
---------
MISCELLANEOUS MANUFACTURING -- 0.3%
Masco 2,000 92
Minnesota Mining & Manufacturing 700 65
---------
157
---------
OFFICE FURNITURE & FIXTURES -- 0.5%
Lear* 5,300 261
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PETROLEUM & FUEL PRODUCTS -- 1.0%
Halliburton 4,800 $ 250
Schlumberger 1,700 143
Transocean Offshore 1,000 48
Union Pacific Resources 2,826 74
---------
515
---------
PETROLEUM REFINING -- 1.3%
British Petroleum, PLC, ADR 3,300 300
Mobil 4,000 296
Tosco 2,700 94
---------
690
---------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.9%
Xerox 5,400 455
---------
PRINTING & PUBLISHING -- 0.9%
Gannett 1,800 194
New York Times, Cl A 3,800 199
Tribune 1,200 64
Viacom, Cl B* 965 31
---------
488
---------
RAILROADS -- 0.5%
Burlington Northern Santa Fe 2,500 242
---------
RETAIL -- 6.9%
Albertson's 5,500 192
American Stores 1,900 46
Costco* 5,100 192
CVS 7,400 421
Federated Department Stores* 5,500 237
Gillette 7,817 675
Home Depot 5,049 263
Johnson & Johnson 8,500 490
The Limited 1,400 34
Office Depot* 9,100 184
Rite Aid 3,600 200
Safeway* 5,100 277
Sherwin Williams 4,200 124
Staples* 2,700 75
Tandy 1,400 47
Wendy's International 4,300 91
---------
3,548
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.1%
Intel 6,200 572
---------
SPECIALTY MACHINERY -- 0.3%
American Standard* 4,300 173
---------
41
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
STEEL & STEEL WORKS -- 0.3%
Aluminum Company of America 1,900 $ 156
---------
TELEPHONES & TELECOMMUNICATION -- 1.0%
BellSouth 200 9
Lucent Technologies 2,327 189
L.M. Ericsson Telephone, ADR* 4,300 206
MCI Communications 3,800 112
---------
516
---------
WASTE MANAGEMENT -- 0.2%
Allied Waste Industries* 2,800 54
Molten Metal Technology* 10,000 55
---------
109
---------
WHOLESALE -- 1.6%
JP Food Service* 2,600 82
Motorola 1,784 128
Sysco 7,900 292
Unilever NV, ADR 800 170
W.W. Grainger 1,600 142
---------
814
---------
Total Common Stocks
(Cost $21,661) 26,781
---------
PREFERRED STOCKS -- 1.9%
AGRICULTURE -- 0.1%
Houston Industries*
Convertible to 0.8264 shares 1,100 57
---------
COMPUTER & SERVICES -- 0.9%
Microsoft
Convertible to 1.0000 shares 5,200 456
---------
FOOD, BEVERAGE & TOBACCO -- 0.3%
Campbell Soup 700 34
Ralston Purina*
Convertible to 1.6394 shares 1,400 94
---------
128
---------
METALS & MINING -- 0.3%
Freeport-McMoran Copper & Gold,
Convertible to 0.8350 shares 6,000 166
---------
TELEPHONES & TELECOMMUNICATION -- 0.3%
Sprint, Convertible to
0.8673 shares 4,200 158
---------
Total Preferred Stocks
(Cost $871) 965
---------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 6.2%
U.S. Treasury Notes
8.000%, 05/15/01 400 $ 426
7.250%, 08/15/04 1,490 1,585
6.625%, 05/15/07 1,120 1,157
---------
Total U.S. Treasury Obligations
(Cost $3,013) 3,168
---------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 7.8%
FNMA
7.000%, 10/01/03 1,143 1,155
FHLMC
6.000%, 12/01/98 151 151
8.000%, 06/01/02 368 376
7.000%, 10/01/02 641 649
8.000%, 12/01/02 488 495
FHLMC REMIC, Ser 1637, Cl E
5.750%, 02/15/19 1,185 1,174
---------
Total U.S. Government Mortgage-Backed
Obligations (Cost $3,842) 4,000
---------
CORPORATE OBLIGATIONS -- 26.2%
American General Finance
8.000%, 02/15/00 830 863
American Home Products
7.900%, 02/15/05 850 912
AMR
9.500%, 07/15/98 275 282
Bear Stearns
7.000%, 03/01/07 800 807
Capital One
6.660%, 08/17/98 220 221
7.000%, 04/30/01 1,140 1,149
Caterpillar
6.180%, 09/01/99 750 750
Cooper Industries
5.650%, 02/15/01 880 863
Countrywide Funding
6.690%, 07/14/13 995 1,001
Fleet Mortgage Group
6.500%, 06/15/00 1,085 1,089
Ford Motor Credit
5.800%, 01/24/01 175 172
GMAC, MTN
6.800%, 04/17/01 985 997
Homeside Lending, MTN
6.875%, 05/15/00 550 555
Household Finance
8.375%, 11/15/01 355 380
Ikon Capital Resources
7.040%, 04/25/00 675 687
42
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Merrill Lynch
8.250%, 11/15/99 705 $ 734
6.450%, 08/30/00 390 392
Sears Roebuck
7.120%, 06/26/01 545 557
WMX Technologies
6.700%, 05/01/01 980 991
---------
Total Corporate Obligations
(Cost $13,065) 13,402
---------
CONVERTIBLE BONDS -- 1.4%
Staples, Convertible to 30.303
shares
4.500%, 10/01/00 200 262
USA Waste Services, Convertible
to 35.3243 shares
5.000%, 03/01/06 100 150
WMX Technologies, Convertible
to 26.078 shares
2.000%, 01/24/05 300 289
---------
Total Convertible Bonds
(Cost $527) 701
---------
REPURCHASE AGREEMENT -- 2.8%
J.P. Morgan
6.050%, dated 09/30/97, matures
10/01/97, repurchase price
$1,435,000 (collateralized by
GNMA obligation, par value
$1,431,000, 7.500%, 09/15/27,
total market value:
$1,464,000) 1,435 1,435
---------
Total Repurchase Agreement
(Cost $1,435) 1,435
---------
Total Investments -- 98.6%
(Cost $44,414) 50,452
---------
Other Assets and Liabilities, Net-- 1.4% 743
---------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
3,641,297 outstanding shares of
beneficial interest $39,159
Undistributed net investment income 514
Accumulated net realized gain
on investments 5,484
Net unrealized appreciation
on investments 6,038
---------
Total Net Assets-- 100.0% $51,195
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $14.06
=========
* NON-INCOME PRODUCING SECURITY
ADR -- AMERICAN DEPOSITORY RECEIPT
CL --CLASS
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE CORPORATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MTN -- MEDIUM TERM NOTE
PLC -- PUBLIC LIMITED CORPORATION
REMIC -- REAL ESTATE MORTGAGE INVESTMENT CONDUIT
SER -- SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CORE FIXED INCOME PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 28.7%
U.S. Treasury Bill
Zero coupon, 03/05/98 1,800 $ 1,760
U.S. Treasury Bonds
10.750%, 02/15/03 3,750 4,543
9.250%, 02/15/16 70,365 91,340
6.500%, 11/15/26 22,290 22,448
6.625%, 02/15/27 89,040 91,134
6.375%, 08/15/27 9,410 9,359
U.S. Treasury Notes
6.000%, 06/30/99 24,800 24,883
5.875%, 11/15/99 960 961
6.375%, 05/15/00 3,045 3,081
6.625%, 07/31/01 14,490 14,799
6.500%, 05/31/02 8,000 8,148
6.250%, 06/30/02 520 525
6.250%, 08/31/02 6,000 6,051
5.875%, 09/30/02 2,200 2,187
3.375%, 01/15/07*(E) 24,523 24,040
---------
43
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
CORE FIXED INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Total U.S. Treasury Obligations
(Cost $298,210) $ 305,259
---------
CORPORATE OBLIGATIONS -- 23.6%
Associates Corporation of North America
9.125%, 04/01/00 1,375 1,466
BA Capital Trust A (A) (B)
7.900%, 01/15/27 4,630 4,665
Banco Nacional de Mexico
Ser 1996 (B)
6.250%, 12/01/03 4,425 4,405
BankAmerica
9.200%, 05/15/03 850 955
Bear Stearns
6.500%, 06/15/00 2,550 2,566
6.750%, 08/15/00 2,000 2,025
9.375%, 06/01/01 1,000 1,097
Boston Edison
9.875%, 06/01/20 2,000 2,187
9.375%, 08/15/21 4,500 5,102
British Aerospace Financial (A)
7.500%, 07/01/27 11,550 11,969
Chrysler Financial
13.250%, 10/15/99 850 964
Commonwealth Edison
9.750%, 02/15/20 2,475 2,682
9.875%, 06/15/20 850 985
Continental Bank, N.A.
12.500%, 04/01/01 1,850 2,192
Continental Cablevision
8.875%, 09/15/05 1,050 1,175
9.000%, 09/01/08 2,900 3,339
9.500%, 08/01/13 2,950 3,440
Countrywide Capital I
8.000%, 12/15/26 1,750 1,761
Dayton Hudson
10.000%, 01/01/11 1,000 1,239
8.600%, 01/15/12 941 1,074
Deseret Generator &
Transportation Coop
9.375%, 01/02/11 967 1,008
Dresdner Bank
7.250%, 09/15/15 1,700 1,721
Eckerd Jack Corporate
9.250%, 02/15/04 1,000 1,075
Equitable Companies
9.000%, 12/15/04 4,000 4,495
Federal Express
9.650%, 06/15/12 3,175 3,838
9.625%, 10/15/19 850 915
Federal Paperboard
8.875%, 07/01/12 1,700 1,997
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
First National Bank of Omaha
7.320%, 12/01/10 750 $ 747
First USA
7.000%, 08/20/01 1,175 1,200
First USA Bank, MTN
5.850%, 02/22/01 4,000 3,940
First USA Bank of
Wilmington Delaware, MTN
6.375%, 10/23/00 6,000 6,022
Fleet Financial Group
9.900%, 06/15/01 2,000 2,217
FNMA, MTN
8.250%, 04/23/12 3,375 3,401
Ford Capital
10.125%, 11/15/00 1,275 1,410
Ford Motor Credit
8.375%, 01/15/00 1,850 1,936
6.850%, 08/15/00 3,425 3,481
9.500%, 09/15/11 1,000 1,227
7.700%, 05/15/37 4,200 4,410
General Motors Capital
9.625%, 12/01/00 1,450 1,586
Georgia Pacific
9.500%, 12/01/11 1,500 1,811
9.750%, 01/15/18 2,250 2,343
9.875%, 11/01/21 3,475 3,927
GMAC
8.000%, 10/01/99 1,850 1,912
9.375%, 04/01/00 1,250 1,339
9.625%, 05/15/00 1,060 1,143
Zero coupon, 06/15/15 10,000 2,875
Goldman Sachs
6.250%, 02/01/03 4,700 4,612
GTE
10.250%, 11/01/20 1,700 1,923
Hydro Quebec
8.050%, 07/07/24 2,550 2,843
Hydro Quebec, Ser FU
11.750%, 02/01/12 1,300 1,828
Hydro Quebec, Ser GW
9.750%, 01/15/18 3,850 4,326
JC Penney
9.750%, 06/15/21 2,550 2,834
JP Morgan Capital
7.950%, 02/01/27 700 717
K N Energy
9.625%, 08/01/21 1,900 2,251
Korea Development Bank
7.125%, 09/17/01 1,300 1,311
Korea Electric Power
7.750%, 04/01/13 1,285 1,320
6.750%, 08/01/27 1,075 1,060
44
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Lehman Brothers
9.875%, 10/15/00 3,225 $ 3,519
6.125%, 02/01/01 2,825 2,797
Lehman Brothers, MTN
9.375%, 01/15/99 3,600 3,744
Loew's
7.625%, 06/01/23 2,550 2,544
Long Island Lighting
9.625%, 07/01/24 2,110 2,237
May Department Stores
9.875%, 06/15/21 2,150 2,459
Midland Bank PLC
6.950%, 03/15/11 3,700 3,695
Mobile Energy Services
8.665%, 01/01/17 758 806
NRG Energy (A) (B)
7.625%, 02/01/06 2,000 2,057
National Bank of Hungary
8.875%, 11/01/13 1,550 1,736
National Rural Utilities
Cooperative Finance
9.000%, 09/01/21 1,400 1,585
NCNB Bank
10.200%, 07/15/15 3,040 3,941
New York Tel
9.375%, 07/15/31 2,900 3,291
News America Holdings
10.125%, 10/15/12 1,100 1,280
Norsk Hydro A/S
9.000%, 04/15/12 1,575 1,886
Oneok
9.750%, 12/01/20 1,150 1,292
Paine Webber Group, MTN
6.930%, 08/15/03 1,200 1,204
Philip Morris Global
7.000%, 07/15/05 1,850 1,864
Phillips Petroleum
9.180%, 09/15/21 2,800 3,080
Pohang Iron & Steel
7.125%, 07/15/04 1,250 1,236
7.375%, 05/15/05 585 586
Province of NewFoundland
10.000%, 12/01/20 850 1,108
Public Services Electric & Gas
7.625%, 02/01/00 1,170 1,205
PVNGS II Funding
8.000%, 12/30/15 4,500 4,809
RJR Nabisco
8.250%, 07/01/04 3,750 3,858
8.750%, 08/15/05 950 996
8.500%, 07/01/07 600 624
8.750%, 07/15/07 2,535 2,681
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Rohm & Haas
9.500%, 04/01/21 2,500 $ 2,787
Salomon Brothers
7.750%, 05/15/00 1,275 1,318
6.750%, 02/15/03 2,100 2,100
Sumitomo Bank International
9.550%, 07/15/00 2,000 2,160
Swiss Bank
7.000%, 10/15/15 1,700 1,687
System Energy Resources
7.430%, 01/15/11 2,262 2,252
TCI Communications
8.750%, 08/01/15 6,495 7,136
Tele-Communications
9.250%, 01/15/23 850 932
Tenneco
7.450%, 12/15/25 500 494
Transamerica Finance
6.750%, 06/01/00 3,455 3,490
Union Camp
10.000%, 05/01/19 1,700 1,874
9.250%, 08/15/21 500 544
US West Capital Funding
7.900%, 02/01/27 3,650 3,837
USA Waste Services
7.125%, 10/01/07 2,000 2,025
Westvaco
10.125%, 06/01/19 1,000 1,101
Weyerhaeuser
7.250%, 07/01/13 1,875 1,924
Wharf Capital
8.875%, 11/01/04 975 1,059
Wharf International Finance
7.625%, 03/13/07 750 763
Zurich Capital Trust (A) (B)
8.376%, 06/01/37 8,700 9,298
---------
Total Corporate Obligations
(Cost $246,124) 251,190
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.5%
Resolution Trust Funding
8.625%, 01/15/30 1,410 1,795
Resolution Trust Funding STRIPS
Zero coupon, 10/15/20 945 205
Resolution Trust Funding STRIPS
Zero coupon, 10/15/19 16,000 3,720
---------
Total U.S. Government Agency Obligations
(Cost $4,937) 5,720
---------
45
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
CORE FIXED INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 25.0%
FHLMC
9.000%, 12/01/05 234 $ 246
7.000%, 02/01/09-09/01/27 31,532 31,460
7.500%, 06/01/10-06/01/26 7,533 7,715
6.500%, 04/01/12-04/01/26 7,382 7,198
6.000%, 10/01/23 4,768 4,539
8.000%, 08/01/26 5,904 6,099
FHLMC REMIC, Ser 1563 (A)
8.444%, 08/15/08 1,401 1,405
FHLMC REMIC, Ser 1005, Cl D
6.500%, 10/15/05 1,190 1,187
FHLMC REMIC, Cl IZ
9.300%, 04/15/19 3,849 4,112
FHLMC TBA
6.500%, 10/16/27 7,296 7,248
FNMA
9.000%, 07/01/07 242 254
6.750%, 07/30/07 1,000 1,000
8.500%, 09/01/13 106 111
7.000%, 05/01/23-10/14/27 15,589 15,527
7.500%, 03/01/24 1,092 1,110
FNMA CMO, Ser 1997-G5
7.050%, 06/25/04 5,345 5,401
FNMA PO, Ser 94-9-C
0.000%, 08/25/23 363 286
FNMA REMIC
5.500%, 08/25/20 5,192 4,975
FNMA REMIC, Ser 1990-106, Cl J
8.500%, 09/25/20 1,332 1,397
FNMA REMIC, Ser 1991-156, Cl A
7.500%, 10/25/21 4,095 4,144
FNMA CMO STRIP, Ser 269-1
9.000%, 09/25/25 1,222 1,316
FNMA Ser 96-56, Cl E, PO
0.000%, 04/25/23 248 162
FNMA Ser 93-254, Cl C, PO
0.000%, 08/25/23 847 805
FNMA
7.000%, 11/01/23 3,245 3,232
FNMA TBA
7.500%, 10/14/27 992 1,015
GNMA
8.500%, 11/15/00-01/15/27 2,807 2,938
8.000%, 01/15/07-09/01/27 24,835 25,674
7.500%, 04/15/07-10/20/27 12,565 12,780
7.000%, 03/15/11-10/20/27 53,856 53,997
9.500%, 01/15/19 847 918
6.875%, 11/20/21 4,586 4,713
7.125%, 08/20/22 5,606 5,761
6.500%, 01/01/23-07/01/27 6,993 6,839
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
GNMA ARM(A)
7.125%, 06/20/18 300 $ 311
7.125%, 09/20/19 356 367
SLMA, Ser 1997-3, Cl A-1(A)
5.630%, 04/25/06 40,000 39,856
---------
Total U.S. Government Mortgage-Backed
Obligations (Cost $262,986) 266,098
---------
ASSET-BACKED SECURITIES -- 8.3%
Advanta Credit Card Master Trust
5.968%, 10/01/01 4,000 4,020
AT&T Universal Card
5.950%, 10/17/02 4,275 4,260
Banc One Credit Card
6.300%, 09/15/00 6,325 6,363
6.150%, 07/15/02 4,600 4,609
Champion 95-2 A2 (B)
7.340%, 10/25/26 2,547 2,570
Chase Manhattan Auto Grantor
Trust, Ser 1996-B, Cl A
6.230%, 06/15/03 15,175 15,240
Chevy Auto Receivables Trust,
Ser 1996-2, Cl A
5.900%, 07/15/03 1,128 1,123
Citibank Credit Card Master
Trust I, Ser 1996-1, Cl A, PO
Zero coupon, 02/07/03 10,839 8,824
Discover Card
6.550%, 02/18/03 4,275 4,319
First Boston
7.240%, 04/20/07 4,800 4,968
First Chicago
7.150%, 04/15/01 4,275 4,363
First USA Credit Card Master
Trust (A)
6.058%, 08/15/03 2,000 2,016
Household Private Label
Credit Card
7.800%, 09/20/03 1,450 1,483
IBM Credit Receivables Lease
Master Trust, Ser 93-1 A
4.550%, 11/15/00 1,237 1,232
Keycorp Auto Grantor Trust
1995-A, Cl A
5.800%, 07/15/00 1,022 1,030
NationsBank
6.450%, 04/15/03 3,975 4,014
Premier Auto Trust, Ser 93-3, Cl A3
4.900%, 12/15/98 273 274
Premier Auto Trust, Ser 93-6
4.650%, 11/02/99 1,265 1,258
46
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Premier Auto Trust, Ser 93-5, Cl A2
4.220%, 03/02/99 2,430 $ 2,425
Premier Auto Trust, Ser 93-5
4.450%, 03/02/99 439 437
Premier Auto Trust,
Ser 93-2, Cl A3
4.900%, 10/15/98 240 240
Sears Credit, Ser 95-5, Cl A
7.000%, 08/15/00 5,975 6,076
6.050%, 01/15/08 2,135 2,109
Sears Credit Account Master
Trust II, Ser 95-5, Cl A
7.000%, 10/15/04 1,700 1,736
Sears Credit Account Master
Trust, Ser 95-2, Cl A
8.100%, 06/15/04 2,750 2,872
USAA Auto Loan Guarantor
5.000%, 11/15/99 573 573
---------
Total Asset-Backed Securities
(Cost $88,094) 88,434
---------
MORTGAGE-BACKED OBLIGATIONS -- 10.7%
Amherest Nursing Center (D)
8.350%, 05/01/37 1,866 1,981
Asset Securitization Ser 1997-D4,
Cl A1-C
7.420%, 04/14/29 3,100 3,247
Asset Securitization, Ser 1997-D4
7.490%, 04/14/27 7,600 8,017
Castle Terrace (D)
8.000%, 05/01/37 1,502 1,562
Chase Commercial Mortgage
Security
7.370%, 02/19/07 3,275 3,418
Chase Manhattan, Agt 1996-B,
6.610%, 09/15/02 877 887
CLC Excelsior II Apartments (D)
8.040%, 02/01/39 499 520
Community Program Loan Trust
4.500%, 10/01/18 2,087 1,975
Contimortgage Home Equity Loan
Trust, Ser 1997-4, Cl A7
6.630%, 09/15/16 2,400 2,389
Creekwood (D)
7.300%, 11/30/38 2,000 2,019
Enclave of Stone Brook (D)
7.500%, 08/29/37 1,928 1,959
Fund America Investors CMO,
REMIC, ARM, Ser 1993-A (A)
8.119%, 06/25/23 6,245 6,324
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
GMAC Commercial Mortgage
6.869%, 08/15/07 4,300 $ 4,360
Green Tree Financial, Ser 1996-10,
Cl A6
7.290%, 03/15/28 1,250 1,256
Green Tree Financial, Ser 1997-1,
Cl A-6
7.300%, 11/15/28 1,350 1,373
Hillsboro Bay Club (D)
7.950%, 03/01/37 1,575 1,636
Holt Apartments (D)
7.275%, 07/30/38 2,029 2,035
JP Morgan Commercial Mortgage
Finance, CMO, IO, Cl X,
Ser 1997-C5 (A) (B)
1.562%, 09/15/29 15,900 1,508
Matterhorn One Limited Trust
Certificates (A)(B)
6.114%, 01/21/06 1,599 1,601
Merrill Lynch Mortgage
Investors 1996-C2 A3
6.960%, 11/21/28 3,700 3,758
Nomura Asset Securities, CMO
Ser 1996-MD5, Cl A1B
7.120%, 04/13/36 5,100 5,263
Olmstead Commons (D)
8.400%, 03/01/37 962 1,021
Orchard Park Inn (D)
7.840%, 03/01/28 1,359 1,412
Parkhaven Apartments (D)
7.550%, 11/01/38 2,000 2,050
Rali (D)
7.250%, 10/25/27 2,600 2,619
Renaissance Place Apartments (D)
7.375%, 08/01/37 1,343 1,353
Residential Asset
Securitization Trust
7.500%, 01/25/27 1,980 1,991
Rosewood (D)
8.000%, 07/01/37 1,503 1,568
RTC ARM 92-12 AZA
7.500%, 08/25/23 1,280 1,284
RTC ARM 94-1 M3 (A)
7.970%, 09/25/29 4,285 4,355
RTC ARM 92-3, B3 (A)
6.700%, 05/25/21 11,717 11,126
RTC ARM M-6 (A)
6.530%, 06/25/21 1,695 1,685
Ryland Mortgage Security,
Ser 1994-7a, Cl A2
7.000%, 08/25/25 2,095 2,107
SBA, Ser 1996-I
7.700%, 09/01/16 1,836 1,929
47
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
CORE FIXED INCOME PORTFOLIO
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
SBA, Ser 1996-J
7.200%, 10/01/16 887 $ 908
Sanctuary At Tuttle Crossing (D)
8.250%, 06/01/37 1,287 1,352
SASCO 96-CFL CC
6.600%, 10/25/24 8,000 7,940
Scottsdale Links (D)
7.650%, 07/01/38 1,459 1,502
Security Pacific Acceptance,
Ser 91-2, Cl B
8.550%, 09/15/11 1,127 1,168
Shavano Park (D)
7.875%, 07/01/38 1,510 1,517
Somerford Place Facility (D)
7.475%, 12/30/38 1,964 1,969
Village at Stone Falls (D)
7.375%, 08/29/37 1,996 2,008
Villages At Clear Springs (D)
7.625%, 09/30/38 2,008 2,052
Western Financial Grantor Trust
Ser 95-2, Cl A-1
7.100%, 07/01/00 2,108 2,128
---------
Total Mortgage-Backed Obligations
(Cost $112,246) 114,132
---------
COMMERCIAL PAPER -- 1.4%
Levi-Strauss
5.730%, 10/16/97 5,000 4,988
Nissan
5.770%, 10/01/97 10,000 10,000
---------
Total Commercial Paper
(Cost $14,988) 14,988
---------
WRITTEN OPTION -- 0.0%
US Long Bond Call Option* 85 (183)
---------
Total Option
(Cost ($127)) (183)
---------
MUNICIPAL BOND -- 0.2%
Los Angeles County, CA TPO, Ser D
Zero coupon, 06/30/10 3,850 1,554
---------
Total Municipal Bond
(Cost $1,463) 1,554
---------
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
REPURCHASE AGREEMENT -- 4.5%
J.P. Morgan
6.050%, dated 09/30/97, matures
10/01/97, repurchase price $47,610,000
(collateralized by various FNMA
obligations, total par value
$44,802,000, 05/13/04-10/02/07,
6.740%-6.840%, and FHLMC
obligation, total par value
$4,195,000, 6.530%, 02/02/98,
total market value: $48,555,000) 47,602 $ 47,602
-----------
Total Repurchase Agreement
(Cost $47,602) 47,602
-----------
Total Investments -- 102.9%
(Cost $1,076,523) 1,094,794
-----------
Other Assets and Liabilities, Net -- (2.9%)
Investment Securities Purchased (64,749)
Other Assets and Liabilities, Net 33,290
-----------
Total Other Assets and Liabilities (31,459)
-----------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
102,202,383 outstanding shares of
beneficial interest 1,043,643
Undistributed net investment income 15
Accumulated net realized gain on
investments 2,515
Net unrealized depreciation on
futures contracts (1,109)
Net unrealized appreciation on investments 18,271
-----------
Total Net Assets-- 100.0% $1,063,335
===========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $10.40
===========
*NON-INCOME PRODUCING SECURITY
(A) VARIABLE RATE SECURITY--THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT AS OF SEPTEMBER 30, 1997.
(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) LOANS SUPPORTING CONSTRUCTION IN PROGRESS
(E) U.S. TREASURY INFLATION INDEX NOTE
ARM --ADJUSTABLE RATE MORTGAGE
BP --BASIS POINTS
CL --CLASS
COFI -- COST OF FUNDS INDEX
48
<PAGE>
================================================================================
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
CMO --COLLATERALIZED MORTGAGE OBLIGATION
FHLB --FEDERAL HOME LOAN BANK
FHLMC --FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE CORPORATION
GNMA --GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO --INTEREST ONLY
LIBOR --LONDON INTER BANK OFFERING RATE
MTN -- MEDIUM TERM NOTE
PLC -- PUBLIC LIMITED COMPANY
PO --PRINCIPAL ONLY
REFCO --RESOLUTION TRUST FUNDING CORPORATION
REMIC --REAL ESTATE MORTGAGE INVESTMENT CONDUIT
RTC --RESOLUTION TRUST CORPORATION
SBA -- SMALL BUSINESS ADMINISTRATION
SER --SERIES
SLMA -- STUDENT LOAN MARKETING ASSOCIATION
STRIPS --SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
TBA --TO BE ANNOUNCED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BOND PORTFOLIO
U.S. TREASURY OBLIGATIONS -- 34.9%
U.S. Treasury Bill (C)
Zero coupon, 03/05/98 500 $ 489
U.S. Treasury Notes
6.000%, 06/30/99 350 351
5.875%, 09/30/02 200 199
7.000%, 07/15/06 3,705 3,906
3.375%, 01/15/07 1,047 1,027
U.S. Treasury Bond
6.625%, 02/15/27 290 297
---------
Total U.S. Treasury Obligations
(Cost $6,226) 6,269
---------
CORPORATE OBLIGATIONS -- 19.2%
British Aerospace Financial (B)
7.500%, 07/01/27 500 518
News Amer Holdings
8.150%, 10/17/36 500 514
Philip Morris Global Bond
7.000%, 07/15/05 70 70
RJR Nabisco
8.750%, 08/15/05 300 315
8.500%, 07/01/07 200 208
TCI Communications
8.750%, 08/01/15 500 549
Time Warner Entertainment
8.375%, 03/15/23 500 539
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
US West Capital Funding Guaranteed
7.950%, 02/01/97 300 $ 312
Zurich Capital Trust (A)
8.376%, 06/01/37 400 427
---------
Total Corporate Obligations
(Cost $3,197) 3,452
---------
ASSET-BACKED SECURITIES -- 10.2%
Advanta Credit Card Master Trust,
Ser 1995-C, Cl A
5.919%, 01/01/05 200 201
First Boston
7.240%, 04/20/07 400 414
Ford Credit Grantor
7.300%, 10/15/99 1,006 1,018
Union Acceptance 1997-B A2
6.700%, 06/10/03 200 202
---------
Total Asset-Backed Securities
(Cost $1,819) 1,835
---------
MORTGAGE-BACKED OBLIGATIONS -- 6.7%
Asset Securitization, Ser 1997-D4,
Cl A1-C
7.420%, 04/14/29 400 419
Chase Commercial Mortgage
7.370%, 02/19/07 380 397
FHLMC, Ser 1997-A, Cl A
7.350%, 04/15/19 168 173
GMAC Commercial Mortgage
Security
6.869%, 08/15/07 200 203
---------
Total Mortgage-Backed Obligations
(Cost $1,171) 1,192
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 24.8%
GNMA
7.000%, 01/15/24 419 419
7.000%, 02/15/24 182 183
7.000%, 05/15/24 2,985 2,985
GNMA ARM II (A)
7.125%, 05/20/17 300 310
7.125%, 05/20/18 227 236
SLMA, Ser 1996-3, Cl A1 (A)
5.520%, 10/25/04 323 323
---------
Total U.S. Government Agency Obligations
(Cost $4,412) 4,456
---------
49
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
BOND PORTFOLIO
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
REPURCHASE AGREEMENT -- 3.1%
J.P. Morgan
6.050%, dated 09/30/97, matures
10/01/97, repurchase price $555,000
(collateralized by FHLMC obligation,
par value $550,000, 7.090%, 11/24/08,
total market value $569,000) 555 $ 555
---------
Total Repurchase Agreement
(Cost $555) 555
---------
Total Investments -- 98.9%
(Cost $17,380) 17,759
---------
Other Assets and Liabilities, Net-- 1.1% 189
---------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
1,626,963 outstanding shares of
beneficial interest 21,221
Overdistributed net investment income (90)
Accumulated net realized loss
on investments (3,562)
Net unrealized appreciation on investments 379
---------
Total Net Assets-- 100.0% $17,948
=========
Net Asset Value, Offering and
Redemption Price Per Share-- Class A $11.03
=========
(A) VARIABLE RATE SECURITY -- THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT AS OF SEPTEMBER 30, 1997.
(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) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ARM -- ADJUSTABLE RATE MORTGAGE
CL --CLASS
FHLMC --FEDERAL HOME LOAN MORTGAGE CORPORATION
GNMA --GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
SER --SERIES
SLMA --STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
HIGH YIELD BOND PORTFOLIO
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
CORPORATE OBLIGATIONS -- 88.2%
Acme Television/Finance (A) (B)
0.000%, 09/30/04 1,000 $ 732
Adelphia Communications (A)
10.500%, 07/15/04 500 531
Advanced Micro Devices
11.000%, 08/01/03 750 846
Advanced Radio Telecom
14.000%, 02/15/07 500 419
AFC Enterprises (A)
10.250%, 05/15/07 750 787
Ainsworth Lumber (A) PIK
12.500%, 07/15/07 500 494
Airplanes Pass Through Trust
10.875%, 03/15/19 300 354
AK Steel
10.750%, 04/01/04 100 108
Algoma Steel First Mortgage
12.375%, 07/15/05 750 877
Allbritton Communications
9.750%, 11/30/07 550 547
Allied Waste Industries (A) (B)
0.000%, 06/01/07 750 512
Allied Waste
10.250%, 12/01/06 900 985
Alpine Group
12.250%, 07/15/03 500 556
Altos Hornos Mexico
11.375%, 04/30/02 500 541
American Builder & Contract
10.625%, 05/15/07 500 523
American Communication
Services (B)
0.000%, 11/01/05 750 553
American Communication
Services (A)
13.750%, 07/15/07 500 571
American Radio Systems
9.000%, 02/01/06 500 531
American Skiing
12.000%, 07/15/06 450 504
Ameristar Casino (A)
10.500%, 08/01/04 500 501
AMF Group
10.875%, 03/15/06 300 333
AMF Group Senior (B)
0.000%, 03/15/06 500 359
Amphenol
9.875%, 05/15/07 750 792
Amtrol
10.625%, 12/31/06 400 414
Anker Coal Group (A)
9.750%, 10/01/07 500 509
50
<PAGE>
================================================================================
- -------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -------------------------------------------------------------
Archibald Candy (A)
10.250%, 07/01/04 600 $ 625
Argyle Television
9.750%, 11/01/05 250 267
Armco (A)
9.000%, 09/15/07 750 757
Astor
10.500%, 10/15/06 450 479
Atlantic Express (A)
10.750%, 02/01/04 500 530
Autotote (A)
10.875%, 08/01/04 600 618
B & G Foods (A)
9.625%, 08/01/07 750 752
Bally Total Fitness Hld (A)
9.875%, 10/15/07 650 650
Bayou Steel
10.250%, 03/01/01 100 103
Belco Oil & Gas (A)
8.875%, 09/15/07 250 252
Bellwether Exploration
10.875%, 04/01/07 850 918
Berry Plastics
12.500%, 06/15/06 750 823
Beverly Enterprises
9.000%, 02/15/06 700 735
Blue Bird Body
10.750%, 11/15/06 500 536
Booth Creek
12.500%, 03/15/07 600 613
Boyd Gaming (A)
9.500%, 07/15/07 500 511
Brooks Fiber Properties
10.000%, 06/01/07 500 562
Brooks Fiber Properties (B)
0.000%, 03/01/06 950 746
0.000%, 11/01/06 610 466
Brunos
10.500%, 08/01/05 600 364
Brylane
10.000%, 09/01/03 400 426
BTI Telecom (A)
10.500%, 09/15/07 500 514
Buckeye Cellulose
9.250%, 09/15/08 750 786
Bucyrus International (A)
9.750%, 09/15/07 500 505
Building Materials (B)
0.000%, 07/01/04 400 373
Burke Industries (A)
10.000%, 08/15/07 600 613
Bway
10.250%, 04/15/07 500 539
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Cablevision Systems
9.250%, 11/01/05 250 $ 261
9.875%, 02/15/13 900 970
Call-Net Enterprises (B)
0.000%, 08/15/07 1,000 659
Cambridge Industries (A)
10.250%, 07/15/07 500 522
Canadian Forest Oil (A)
8.750%, 09/15/07 750 752
Capstar Broadcasting (A)
9.250%, 07/01/07 500 512
Capstar Broadcasting (B)
0.000%, 02/01/09 500 344
Capstar Hotel (A)
8.750%, 08/15/07 500 504
Casino America
12.500%, 08/01/03 800 858
Casino Magic
13.000%, 08/15/03 750 724
Casino Magic Financing
11.500%, 10/15/01 250 241
CCA Holdings (A)
13.000%, 12/31/99 1,000 1,360
Celestica International
10.500%, 12/31/06 500 541
Cencall Communication (B)
0.000%, 01/15/04 100 89
Century Communications
9.750%, 02/15/02 250 265
8.875%, 01/15/07 500 504
CF Cable Television
11.625%, 02/15/05 50 58
Chancellor Radio Broadcasting
9.375%, 10/01/04 750 786
Charter Communications South East
11.250%, 03/15/06 500 550
Chemical Leaman (A)
10.375%, 06/15/05 750 783
Cinemark USA
9.625%, 08/01/08 500 515
Cliffs Drilling
10.250%, 05/15/03 400 434
Coast Hotels & Casino
13.000%, 12/15/02 500 561
Coinstar (B)
0.000%, 10/02/06 650 509
Collins & Aikman (A)
10.000%, 01/15/07 750 774
Collins & Aikman Products
11.500%, 04/15/06 800 914
Colorado Gaming and
Entertainment PIK
12.000%, 06/01/03 750 807
51
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
HIGH YIELD BOND PORTFOLIO
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Comcast
9.375%, 05/15/05 150 $ 161
9.125%, 10/15/06 250 268
9.500%, 01/15/08 50 54
Comcast Cellular (A)
9.500%, 05/01/07 700 732
Comcast UK Cable (B)
0.000%, 11/15/07 500 394
Commodore Media (B)
7.500%, 05/01/03 100 109
Commonwealth Aluminum
10.750%, 10/01/06 500 544
Communications Instrument
10.000%, 09/15/04 500 509
Container
9.750%, 04/01/03 550 594
Costilla Energy
10.250%, 10/01/06 700 728
Coty
10.250%, 05/01/05 100 108
County Seat Stores (C)
0.000%, 10/01/02 100 50
Crown Packaging Enterprises Ltd (B)
0.000%, 08/01/06 775 39
Crown Paper
11.000%, 09/01/05 750 812
Dade International
11.125%, 05/01/06 500 562
Dailey Petroleum Service (A)
9.750%, 08/15/07 600 610
Dairy Mart Convenience Stores
10.250%, 03/15/04 500 506
Dawson Production Svcs
9.375%, 02/01/07 750 784
Day International Group
11.125%, 06/01/05 200 205
Decisionone 5
9.750%, 08/01/07 500 521
Decisionone Holdings (B)
0.000%, 08/01/08 500 332
Delaware County Remy (A)
10.625%, 08/01/06 550 591
Derlan Man
10.000%, 01/15/07 500 524
Dial Call Communications (B)
0.000%, 04/15/04 650 605
Diamond Cable (B)
0.000%, 02/15/07 800 521
Diamond Cable Communications (B)
0.000%, 09/30/04 300 262
0.000%, 12/15/05 850 641
Digital Television Services (A)
12.500%, 08/01/07 750 778
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Diva Systems (A) (B)
0.000%, 05/15/06 1,025 $ 618
Dobson Communications (A)
11.750%, 04/15/07 500 496
Doskocil Manuf (A)
10.125%, 09/15/07 750 771
Dual Drilling
9.875%, 01/15/04 750 813
Dyersburg (A)
9.750%, 09/01/07 550 566
Echostar Satellite Broadcast (B)
0.000%, 03/15/04 600 505
Eldorado Resorts
10.500%, 08/15/06 500 549
Empress River Casino
10.750%, 04/01/02 750 808
Energy of America (A)
9.500%, 05/15/07 500 501
Euramax International PC
11.250%, 10/01/06 750 825
Exide Electronics
11.500%, 03/15/06 250 289
Falcon Building (A)
9.500%, 06/15/07 500 515
Falcon Drilling (A)
8.875%, 03/15/03 750 793
Falcon Holding Group PIK
11.00%, 09/15/03 483 506
Farm Fresh
12.250%, 10/01/00 300 272
Farm Fresh, Ser A
12.250%, 10/01/00 200 181
Fedders North America (A)
9.375%, 08/15/07 750 763
Fleming (A)
10.500%, 12/01/04 600 627
Flores & Rucks
9.750%, 10/01/06 650 694
Fonorola
12.500%, 08/15/02 300 335
Forcenergy
9.500%, 11/01/06 350 367
Forcenergy (A)
8.500%, 02/15/07 500 497
Four M
12.000%, 06/01/06 500 539
Fox/Liberty Networks LLC (A)
8.875%, 08/15/07 500 504
Fox/Liberty Networks LLC (A) (B)
0.000%, 08/15/07 400 256
Freedom Chemical (A)
10.625%, 10/15/06 500 535
52
<PAGE>
================================================================================
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
French Fragrances
10.375%, 05/15/07 1,000 $ 1,059
Fresh del Monte Produce
10.000%, 05/01/03 600 634
Gaylord Container (A)
9.750%, 06/15/07 700 710
Gaylord Container (B)
12.750%, 05/15/05 750 821
GCI
9.750%, 08/01/07 500 524
General Media
10.625%, 12/31/00 100 87
Geotek Communications
12.000%, 02/15/01 760 644
Giant Industries (A)
9.000%, 09/01/07 500 504
Globalstar
11.375%, 02/15/04 400 416
11.250%, 06/15/04 500 517
GPA Delaware
8.750%, 12/15/98 350 357
Graham Field Health Pds (A)
9.750%, 08/15/07 750 782
Granite Broadcasting
9.375%, 12/01/05 500 499
Gray Communications System
10.625%, 10/01/06 750 810
Great Bay Property Funding
10.875%, 01/15/04 505 456
Great Lakes Carbon
10.000%, 01/01/06 250 260
GS Technologies
12.000%, 09/01/04 500 546
GST Equipment Funding (A)
13.250%, 05/01/07 500 579
GST Telecommunications (A) (B)
0.000%, 12/15/05 70 56
GST USA Guarantee (B)
0.000%, 12/15/05 860 649
Gulf Canada Resources Ltd
9.250%, 01/15/04 500 529
Gulf States Steel - Alabama
13.500%, 04/15/03 900 929
Harris Chemical (B)
10.250%, 07/15/01 400 418
Harvey Casinos Resorts
10.625%, 06/01/06 500 542
Hawk
10.250%, 12/01/03 500 527
Hayes Wheels International (A)
9.125%, 07/15/07 400 410
Hayes Wheels International
11.000%, 07/15/06 750 838
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Haynes International
11.625%, 09/01/04 750 $ 832
Helicon (B)
11.000%, 11/01/03 400 424
Hermes Europe Railtel BV (A)
11.500%, 08/15/07 500 540
Hills Stores
12.500%, 07/01/03 500 415
HMC Acquisition Properties
9.000%, 12/15/07 500 516
HMH Properties (A)
8.875%, 07/15/07 750 771
Hollinger International Publishing
9.250%, 03/15/07 850 882
Hollywood Park (A)
9.500%, 08/01/07 500 544
Hollywood Theaters (A)
10.625%, 08/01/07 500 530
Homeside
11.250%, 05/15/03 325 383
Horseshoe Gaming (A)
9.375%, 06/15/07 750 775
Hosiery of America
13.750%, 08/01/02 500 544
HS Resources
9.250%, 11/15/06 500 514
Huntsman (A)
9.500%, 07/01/07 500 524
Huntsman Polymers
11.750%, 12/01/04 250 283
Hyperion Telecommunications (A)
12.250%, 09/01/04 500 546
ICG Holdings (B)
0.000%, 09/15/05 350 276
ICG Holdings (A) (B)
0.000%, 03/15/07 500 329
ICN Pharmaceuticals (A)
9.250%, 08/15/05 750 782
ICX Communications
12.500%, 10/01/05 700 805
IHF Holdings (B)
0.000%, 11/15/04 600 516
Insilco (A)
10.250%, 08/15/07 100 103
Integrated Health Services (A)
10.250%, 04/30/06 250 266
9.500%, 09/15/07 500 514
9.250%, 01/15/08 250 254
Intelcom Group (B)
0.000%, 05/01/06 400 293
Interact Systems (B)
0.000%, 08/01/03 700 325
53
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
HIGH YIELD BOND PORTFOLIO
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
Intercel (A)
11.125%, 06/01/07 500 $ 525
Intermedia Capital Partners
11.250%, 08/01/06 750 823
Intermedia Communications (B)
0.000%, 07/15/07 500 336
Intermedia Communications
of Florida (B)
0.000%, 05/15/06 500 386
International Cabletel
10.000%, 02/15/07 250 262
International Cabletel (B)
0.000%, 04/15/05 400 329
0.000%, 02/01/06 900 675
International Home Foods
10.375%, 11/01/06 750 825
International Knife and Saw
11.375%, 11/15/06 500 542
International Wire Group
11.750%, 06/01/05 750 823
Iridium LLC (A)
14.000%, 07/15/05 750 810
ISP Holdings
9.000%, 10/15/03 500 523
ITC Deltacom (A)
11.000%, 06/01/07 650 715
Ivaco Yankee Bond
11.500%, 09/15/05 500 554
Jacor Communications
9.750%, 12/15/06 450 480
James Cable Partners - LLC(A)
10.750%, 08/15/04 750 784
Jitney-Jungle (A)
10.375%, 09/15/07 700 722
Jitney-Jungle Stores
12.000%, 03/01/06 500 565
Jones Intercable
9.625%, 03/15/02 100 107
Jordan Industries (A)
10.375%, 08/01/07 500 510
Jordan Telecom Products (A) (B)
0.000%, 08/01/07 500 391
JPS Automotive Products
11.125%, 06/15/01 100 111
K & F Industries
10.375%, 09/01/04 500 566
K-Mart
7.750%, 10/01/12 800 756
Kasier Aluminum & Chemical
12.750%, 02/01/03 600 651
Keebler
10.750%, 07/01/06 450 501
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Kelley Oil & Gas
10.375%, 10/15/06 750 $ 778
Keystone Consolidated Inds (A)
9.625%, 08/01/07 800 820
Knoll
10.875%, 03/15/06 260 290
Krystal
10.250%, 10/01/07 500 507
KSL Recreation Group (A)
10.250%, 05/01/07 500 529
Lady Luck Gaming
11.875%, 03/01/01 500 501
Lamar Advertising (A)
9.625%, 12/01/06 450 475
Laroche Industries (A)
9.500%, 09/15/07 500 504
LDM Technologies
10.750%, 01/15/07 400 432
Leiner Health Products (A)
9.625%, 07/10/07 750 788
Lenfest Communications
10.500%, 06/15/06 700 772
Leslie's Poolmart (A)
10.375%, 07/15/04 1,000 1,037
Magnum Hunter Resources (A)
10.000%, 06/01/07 500 507
Majestic Star Casino
12.750%, 05/15/03 750 826
Marcus Cable (B)
0.000%, 08/01/04 600 543
0.000%, 12/15/05 600 498
Mariner Health
9.500%, 04/01/06 500 519
Marsh Supermarket (A)
8.875%, 08/01/07 500 500
Maxxam Group Holdings, Ser B
12.000%, 08/01/03 400 432
McCaw International (B)
0.000%, 04/15/07 1,400 845
Mcleodusa (A)
9.250%, 07/15/07 500 527
Mcleodusa (B)
0.000%, 03/01/07 500 356
MDC Communications
10.500%, 12/01/06 500 539
Merit Behavioral Care
11.500%, 11/15/05 250 274
Mesa Operating
10.625%, 07/01/06 250 287
Mesa Operating (B)
0.000%, 07/01/06 1,200 960
Microcell Telecommunication (A) (B)
0.000%, 06/01/06 600 407
54
<PAGE>
================================================================================
- -----------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- -----------------------------------------------------------
MMI Products
11.250%, 04/15/07 500 $ 542
Mohegan Tribal Gaming
13.500%, 11/15/02 750 982
Moog
10.000%, 05/01/06 500 519
Motor Coach Industries
0.000%, 11/15/02 1,000 905
Motors & Gears
10.750%, 11/15/06 500 534
MVE
12.500%, 02/15/02 500 509
Neenah (A)
11.125%, 05/01/07 500 540
Nextel (A) (B)
0.000%, 09/15/07 900 561
Nextel Communications (B)
0.000%, 08/15/04 1,000 867
Nextlink Communications
12.500%, 04/15/06 800 922
NL Industries
11.750%, 10/15/03 600 661
NL Industries (B)
0.000%, 10/15/05 600 592
Noble Drilling
9.125%, 07/01/06 500 544
North Atlantic Trading (A)
11.000%, 06/15/04 750 788
NS Group
13.500%, 07/15/03 500 581
Nuevo Energy
9.500%, 04/15/06 400 428
Omega Cabinets (A)
10.500%, 06/15/07 650 660
Optel
13.000%, 02/15/05 300 299
Orion Network Systems
11.250%, 01/15/07 750 812
Owens & Minor
10.875%, 06/01/06 500 550
Oxford Automotive (A)
10.125%, 06/15/07 850 890
Packaging Resources
11.625%, 05/01/03 500 523
Pagemart Nationwide (B)
0.000%, 02/01/05 750 623
Panda Global Energy
12.500%, 04/15/04 1,000 971
Paracelsus Healthcare
10.000%, 08/15/06 800 828
Parisian
9.875%, 07/15/03 500 522
Parker Drilling, Ser B
9.750%, 11/15/06 500 535
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Pathmark Stores
11.625%, 06/15/02 600 $ 611
Penn Traffic
10.250%, 02/15/02 750 688
Peoples Telephone
12.250%, 07/15/02 300 317
Petersburg Long Distance (A)
9.000%, 06/01/06 90 119
Petersburg Long Distance (A) (B)
0.000%, 06/01/04 830 782
Petersen Publishing
11.125%, 11/15/06 500 563
Petsec Energy
9.500%, 06/15/07 250 257
Pierce Leahy (A)
9.125%, 07/15/07 450 471
Pillowtex
10.000%, 11/15/06 500 528
Plantronics
10.000%, 01/15/01 175 183
Plastic Containers
10.000%, 12/15/06 400 425
Players International
10.875%, 04/15/05 750 801
Playtex Products
8.875%, 07/15/04 400 404
Pogo Producing
8.750%, 05/15/07 750 767
Portola Packaging
10.750%, 10/01/05 200 209
Premier Parks
9.750%, 01/15/07 750 792
Price Comm Wireless (A)
11.750%, 07/15/07 250 269
Pricecellular Wireless
10.750%, 11/01/04 400 429
Pricellular Wireless (B)
0.000%, 10/01/03 500 495
Pride Petroleum Services
9.375%, 05/01/07 500 533
Prime Hospitality
9.750%, 04/01/07 450 476
Prime Hospitality
9.250%, 01/15/06 850 891
Printpack, Ser B
10.625%, 08/15/06 500 540
PTC Intl Finance BV (A) (B)
0.000%, 07/01/07 1,000 654
Pueblo Xtra International
9.500%, 08/01/03 500 498
Quest Diagnostic
10.750%, 12/15/06 450 492
Qwest Communications International
10.875%, 04/01/07 500 564
55
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
HIGH YIELD BOND PORTFOLIO
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Ralphs Grocery
10.450%, 06/15/04 800 $ 876
Randall's Food Mkts (A)
9.375%, 07/01/07 750 759
Red Roof Inns
9.625%, 12/15/03 450 462
Regal Cinemas (A)
8.500%, 10/01/07 500 502
Regency Health Services
9.875%, 10/15/02 350 388
12.250%, 07/15/03 500 594
Renaissance Cosmetics
11.750%, 02/15/04 400 405
Renco Metals
11.500%, 07/01/03 750 809
Repap Wisconsin
9.875%, 05/01/06 100 109
Republic Engineered Steel
9.875%, 12/15/01 450 435
Revlon Consumer Products
9.375%, 04/01/01 250 259
Revlon Consumer Products, Ser B
10.500%, 02/15/03 100 106
Revlon Worldwide
Zero coupon, 03/15/01 1,000 725
Rifkin Acquisition Partners
11.125%, 01/15/06 750 818
Rio Hotel & Casino
10.625%, 07/15/05 250 271
Rogers Cantel
9.375%, 06/01/08 500 535
Rogers Communications
9.125%, 01/15/06 400 410
8.875%, 07/15/07 600 605
Safelite Glass (A)
9.875%, 12/15/06 300 320
Safety Components Intl (A)
10.125%, 07/15/07 750 763
Salem Communications (A)
9.500%, 10/01/07 500 508
Santa Fe Energy Resource
11.000%, 05/15/04 50 54
Santa Fe Hotel
11.000%, 12/15/00 90 74
SFX Broadcasting
10.750%, 05/15/06 600 658
Shop-Vac
10.625%, 09/01/03 625 674
Shoppers Food Warehouse (A)
9.750%, 06/15/04 500 510
Showboat
9.250%, 05/01/08 525 545
Showboat Marina
13.500%, 03/15/03 250 287
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Signature Brands USA
13.000%, 08/15/02 500 $ 538
Sinclair Broadcast
10.000%, 09/30/05 800 840
Sovereign Specialty Chemical (A)
9.500%, 08/01/07 450 458
Spanish Broadcasting
11.000%, 03/15/04 500 546
Specialty Equipment
11.375%, 12/01/03 500 544
Specialty Paperboard
9.375%, 10/15/06 500 521
Sprint Spectrum
11.000%, 08/15/06 750 841
Stater Brothers Holdings (A)
9.000%, 07/01/04 750 767
Sterling Chemical Holdings (B)
0.000%, 08/15/08 1,000 705
Stone Container (A)
11.500%, 08/15/06 1,000 1,049
Sun International Hotels
9.000%, 03/15/07 500 518
Sun Media
9.500%, 02/15/07 400 414
9.500%, 05/15/07 500 518
Synthetic Industries
9.250%, 02/15/07 400 417
Talton Holdings (A)
11.000%, 06/30/07 750 806
TCI Satellite Entertainment (A)
10.875%, 02/15/07 950 995
TCI Satellite Entertainment (A) (B)
0.000%, 02/15/07 750 488
Tekni-Plex (A)
11.250%, 04/01/07 500 550
Teleport Communications
9.875%, 07/01/06 500 547
Teleport Communications (B)
0.000%, 07/01/07 600 474
Telesystems Intl Wireless (A)
0.000%, 06/30/07 1,000 624
Teletrac Unit
14.000%, 08/01/07 500 525
Telewest Communications
9.625%, 10/01/06 150 156
Telewest Communications (B)
0.000%, 10/01/07 900 677
Tenet Healthcare
8.625%, 01/15/07 750 792
Texas Petrochem
11.125%, 07/01/06 450 493
Therma-Wave (A)
10.625%, 05/14/04 500 539
56
<PAGE>
================================================================================
- ------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Titan Wheel International
8.750%, 04/01/07 500 $ 519
Tokheim Ser B
11.500%, 08/01/06 500 540
Tracor
8.500%, 03/01/07 500 508
Transamerican Energy (A)
11.500%, 06/15/02 700 698
Tultex (A)
9.625%, 04/15/07 500 534
Twin Laboratories
10.250%, 05/15/06 500 563
UCC Investors
11.000%, 05/01/03 50 54
Unifi Comm
14.000%, 03/01/04 600 593
Unisys
12.000%, 04/15/03 550 618
11.750%, 10/15/04 500 561
United International Holding
Zero coupon, 11/15/99 1,100 896
United Meridian
10.375%, 10/15/05 250 273
United Refining
10.750%, 06/15/07 500 516
Universal Health Services
8.750%, 08/15/05 250 266
US Air
10.000%, 07/01/03 750 787
Van de Kamps
12.000%, 09/15/05 250 278
Vanguard Cellular System
9.375%, 04/15/06 500 519
Vencor (A)
8.625%, 07/15/07 800 814
Viasystems (A)
9.750%, 06/01/07 500 520
Waterford Gaming
12.750%, 11/15/03 500 554
Waxman Industries (B)
0.000%, 06/01/04 600 521
WCI Steel
10.000%, 12/01/04 500 532
Weirton Steel
11.375%, 07/01/04 775 845
Wells Aluminum (A)
10.125%, 06/05/05 500 525
Western Federal Notes (C)
0.000%, 09/15/99 500 395
Western Wireless
10.500%, 06/01/06 400 420
10.500%, 02/01/07 300 315
- --------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)/SHARES VALUE (000)
- --------------------------------------------------------------
Westmin Resources Ltd
11.000%, 03/15/07 500 $ 535
William Carter (A)
10.375%, 12/01/06 500 524
Wilshire Financial Services (A)
13.000%, 08/15/04 500 506
Wyndham Hotels
10.500%, 05/15/06 500 569
Young Broadcasting
9.000%, 01/15/06 400 401
Young Broadcasting (A)
8.750%, 06/15/07 500 490
Zale (A)
8.500%, 10/01/07 500 501
---------
Total Corporate Obligations
(Cost $196,879) 208,661
---------
UNITS -- 3.4%
Australis Holdings 1 Unit = $1M
senior subordinate discount
note + 1 warrant (A) (B)
0.000%, 11/02/02 500 405
Australis Media 1 Unit = $1M senior
subordinate discount note + 1
warrant (A) (B)
0.000%, 05/15/03 400 328
Cellular Communications 1 Unit =
$1M senior discount note +
1 warrant (B)
0.000%, 08/15/00 500 380
Colt Telecom Group 1 Unit = 1 senior
discount note + 1 warrant (B)
0.000%, 12/15/06 600 449
Golden Ocean Group 1 Unit = 1 senior
subordinate note + 1 1/2%
Supplemental Interest
Certificate (A)
10.000%, 08/31/01 688 530
Highwaymaster Comm 1 Unit =
$1M senior note + 1 warrant
13.750%, 09/15/05 500 525
Metronet Communications 1 Unit =
$1M senior note + 1 warrant
12.000%, 08/15/07 500 553
Olympic Financial One 1 Unit =
$1M senior note + 1 warrant
11.500%, 03/15/07 750 784
Pegasus Communications 1 Unit =
$1M preferred share +
1 warrant PIK* 2,500 270
57
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
HIGH YIELD BOND PORTFOLIO
- ------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- ------------------------------------------------------------
Price Comm Cellular 1 Unit =
$1M note + 3.44 warrant (B)
0.000%, 08/01/07 1,000 $ 538
Primus Telecomm Group 1 Unit =
$1M senior note + 1 warrant
11.750%, 08/01/04 600 639
Stone Container 1 Unit = $1M
senior discount note +
10 warrants (A)
12.250%, 04/01/02 500 519
Urohealth Systems 1 Unit = 1
senior subordinate note +
1 warrant (A)
12.500%, 04/01/04 200 199
USN Communications 1 Unit =
$1M senior discount note +
10 warrants
14.625%, 08/15/04 1,154 790
Verio 1 Unit = $1M senior note +
8 warrants (A)
13.500%, 06/15/04 1,000 1,173
---------
Total Units
(Cost $7,430) 8,082
---------
PREFERRED STOCKS -- 2.8%
Adelphia Communications (A)* 2,500 278
Ameriking PIK* 2,000 560
Diva Systems, Ser C* 41,615 479
GPA Group, PLC (A)* 1,000,000 530
Granite Broadcasting (A)* 100 11
Intermedia Communication (A)* 26 311
Jitney-Jungle (A)* 4,250 629
Jordan Telecommunication PIK* 500 536
Nextel Communications PIK* 500 576
Nextlink Communications PIK* 5,358 335
NTL PIK* 5,335 612
Pegasus Communications PIK* 130 14
Renaissance Cosmetics (A)* 37 3
Renaissance Cosmetics, PIK (A)* 5,000 350
SD Warren, Ser B* 20,000 880
Siligan Holdings, PIK* 336 384
---------
Total Preferred Stocks
(Cost $5,664) 6,488
---------
U.S. GOVERNMENT AGENCY OBLIGATION -- 3.0%
FHLB Discount Note
6.750%, 10/01/97 7,093 7,093
---------
Total U.S. Government Agency Obligation
(Cost $7,093) 7,093
---------
- -----------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -----------------------------------------------------------
WARRANTS -- 0.3%
Advanced Radio Telecom* 7,500 $ 105
American Communication Services* 500 29
Australis* 500 --
Clearnet* 1,319 7
Coinstar* 650 9
Crown Packaging* 100,750 13
Dairy Mart Convenience Stores* 1,334 1
Exide Electors Group* 250 6
Globalstar Telecom* 400 44
Golden Ocean Group* 688 1
Intelcom Group* 1,155 13
Interact Systems* 700 32
K-III Communications* 4,000 411
McCaw International* 1,400 --
Microcell Telecom Conditional* 2,400 2
Microcell Telecomm (A)* 2,400 38
Nextlink Communications* 5,000 --
Optel Inc* 300 --
Orion Network Systems* 750 6
Signature Warrant* 500 --
Unifi Warrant* 600 --
Wireless One* 750 --
Wright Medical Technology* 20 2
---------
Total Warrants
(Cost $486) 719
---------
Total Investments -- 97.7%
(Cost $217,552) $231,043
---------
Other Assets and Liabilities, Net-- 2.3% 5,414
---------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
20,271,718 outstanding shares of
beneficial interest 223,192
Overdistributed net investment income (116)
Accumulated net realized loss
on investments (110)
Net unrealized appreciation
on investments 13,491
---------
Total Net Assets-- 100.0% $236,457
=========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $11.66
=========
* NON-INCOME PRODUCING SECURITY
58
<PAGE>
================================================================================
- -----------------------------------------------------------
DESCRIPTION
- -----------------------------------------------------------
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION (A) OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(B) STEP BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE RATE
IN EFFECT ON SEPTEMBER 30, 1997. 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
LLC -- LIMITED LIABILITY COMPANY
PIK -- PAYMENT IN KIND
PLC -- PUBLIC LIMITED COMPANY
SER -- SERIES
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SUMMARY OF CORPORATE OBLIGATIONS BY INDUSTRY
PERCENTAGE OF TOTAL
INDUSTRY CORPORATE OBLIGATIONS
- -------------------------------------------------------
Communications 15.77
Cable 8.77
General Industrial 8.39
Energy 7.82
Media 6.90
Gaming 5.98
Metals 5.49
Healthcare 5.32
Packaging 4.16
Consumer Mfg. 4.15
Transportation Non-Air 3.27
SuperMkt. 3.15
Chemicals 2.89
Food & Beverage 2.47
Entertainment 2.46
Hotels 2.18
Real Estate 2.12
Retail 1.95
Technology 1.74
Aerospace 1.37
Financial 1.32
Conglomerate 0.91
Restaurants 0.60
Utility 0.46
Airlines 0.36
------
100.00
======
59
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE YEAR ENDED SEPTEMBER 30, 1997
<TABLE>
<CAPTION>
-------------- -------------- -------------- -------------- -------
LARGE CAP LARGE CAP SMALL CAP SMALL CAP
VALUE GROWTH VALUE GROWTH MID-CAP
-------------- -------------- -------------- -------------- -------
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C>
Dividends $ 15,965 $ 5,550 $ 2,458 $ 566 $ 427
Interest Income 866 1,049 790 1,516 66
-------- -------- ------- ------- -------
Total Investment Income 16,831 6,599 3,248 2,082 493
-------- -------- ------- ------- -------
EXPENSES:
Management Fees 2,279 2,156 771 1,441 101
Waiver of Management Fees -- -- -- -- (4)
Investment Advisory Fees 2,279 2,465 1,432 2,675 115
Waiver of Investment Advisory Fees -- (308) -- -- --
Custodian/Wire Agent Fees 89 86 30 54 3
Transfer Agent Fees (1) -- -- -- 2 --
Professional Fees 38 38 13 23 2
Registration Fees 91 76 32 77 2
Printing Expense 54 63 27 54 4
Trustee Fees 26 24 9 16 1
Insurance Expense 4 -- -- 4 --
Pricing Fees 6 6 3 4 1
Shareholder Servicing Fees 644 603 90 163 38
Distribution Fees-- Class D (1) -- -- -- 5 --
Amortization of Deferred
Organizational Costs -- 26 26 11 2
Other Expenses 24 24 8 15 2
-------- -------- ------- ------- -------
Total Expenses 5,534 5,259 2,441 4,544 267
-------- -------- ------- ------- -------
NET INVESTMENT INCOME (LOSS) 11,297 1,340 807 (2,462) 226
-------- -------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from Security
Transactions 66,343 37,914 33,861 12,564 5,433
Net Realized Gain (Loss) from Futures
Contracts 2,751 2,008 2,101 5,048 --
Net Gain from In-Kind
Redemptions -- 255 -- -- --
Net Change in Unrealized
Appreciation on Investments 162,008 189,767 52,651 74,705 4,865
-------- -------- ------- ------- -------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $242,399 $231,284 $89,420 $89,855 $10,524
======== ======== ======= ======= =======
------------ -------- -------- ---------- -------- ----------
CAPITAL EQUITY CORE FIXED HIGH YIELD
APPRECIATION INCOME BALANCED INCOME BOND BOND
------------ -------- -------- ---------- -------- ----------
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C> <C>
Dividends $ 2,639 $ 5,797 $ 417 $ -- $ -- $ 137
Interest Income 1,180 328 1,571 56,646 1,367 16,867
------- ------- ------- ------- ------ -------
Total Investment Income 3,819 6,125 1,988 56,646 1,367 17,004
------- ------- ------- ------- ------ -------
EXPENSES:
Management Fees 657 663 179 2,343 61 583
Waiver of Management Fees -- -- (3) (108) (3) (82)
Investment Advisory Fees 751 757 204 2,301 60 812
Waiver of Investment Advisory Fees (94) (95) (26) -- -- --
Custodian/Wire Agent Fees 24 24 7 101 3 23
Transfer Agent Fees (1) -- -- -- -- -- --
Professional Fees 8 8 3 47 1 11
Registration Fees 24 20 6 161 1 32
Printing Expense 46 40 6 90 3 10
Trustee Fees 7 8 2 33 1 7
Insurance Expense 2 -- 1 7 -- --
Pricing Fees 1 1 2 18 -- 8
Shareholder Servicing Fees 140 178 -- -- 4 --
Distribution Fees-- Class D (1) -- -- -- -- -- --
Amortization of Deferred
Organizational Costs -- -- -- -- -- 26
Other Expenses 10 6 2 27 -- 8
------- ------- ------- ------- ------ -------
Total Expenses 1,576 1,610 383 5,020 131 1,438
------- ------- ------- ------- ------ -------
NET INVESTMENT INCOME (LOSS) 2,243 4,515 1,605 51,626 1,236 15,566
------- ------- ------- ------- ------ -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from Security
Transactions 41,710 29,815 6,041 5,321 399 (110)
Net Realized Gain (Loss) from Futures
Contracts 2,075 1,939 -- (588) -- --
Net Gain from In-Kind
Redemptions -- -- -- -- -- --
Net Change in Unrealized
Appreciation on Investments 7,498 18,385 2,510 22,140 436 10,144
------- ------- ------- ------- ------ -------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $53,526 $54,654 $10,156 $78,499 $2,071 $25,600
======= ======= ======= ======= ====== =======
<FN>
(1) FEES ARE INCURRED AT THE CLASS D LEVEL ONLY.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
60 & 61
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE YEARS ENDED SEPTEMBER 30, 1997 AND
SEPTEMBER 30, 1996
<TABLE>
<CAPTION>
------------------ ------------------ ------------------ ------------------
LARGE CAP LARGE CAP SMALL CAP SMALL CAP
VALUE GROWTH VALUE GROWTH
------------------ ------------------ ------------------ ------------------
10/1/96- 10/1/95- 10/1/96- 10/1/95- 10/1/96- 10/1/95- 10/1/96- 10/1/95-
9/30/97 9/30/96 9/30/97 9/30/96 9/30/97 9/30/96 9/30/97 9/30/96
-------- -------- -------- -------- -------- -------- -------- --------
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Investment Income (Loss) $ 11,297 $ 10,530 $ 1,340 $ 2,094 $ 807 $ 219 $ (2,462) $ (2,055)
Net Realized Gain (Loss) from
Security Transactions 69,094 57,267 40,177 49,158 35,962 16,664 17,612 94,616
Net Change in Unrealized
Appreciation (Depreciation)
of Investments 162,008 4,879 189,767 27,983 52,651 190 74,705 (11,662)
-------- -------- -------- -------- -------- -------- -------- --------
Net Increase in Net Assets
from Operations 242,399 72,676 231,284 79,235 89,420 17,073 89,855 80,899
-------- -------- -------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (11,086) (8,234) (1,617) (2,207) (777) (84) -- --
Class D -- -- -- -- -- -- -- --
Net Realized Gains:
Class A (40,762) (8,350) (29,959) (5,917) (13,817) (3,268) (74,231) (55,473)
Class D -- -- -- -- -- -- (355) (169)
-------- -------- -------- -------- -------- -------- -------- --------
Total Distributions (51,848) (16,584) (31,576) (8,124) (14,594) (3,352) (74,586) (55,642)
-------- -------- -------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 318,214 336,634 317,148 335,867 143,371 116,387 257,047 181,315
Shares Issued in Lieu of Cash
Distributions 40,932 12,320 25,572 6,421 11,028 2,567 49,459 36,973
Shares Redeemed (197,882) (221,727) (224,028) (228,697) (69,065) (72,473) (140,925) (173,127)
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 161,264 127,227 118,692 113,591 85,334 46,481 165,581 45,161
-------- -------- -------- -------- -------- -------- -------- --------
Class D:
Shares Issued -- -- -- -- -- -- 551 1,397
Shares Issued in Lieu of Cash
Distributions -- -- -- -- -- -- 355 146
Shares Redeemed -- -- -- -- -- -- (491) (634)
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions -- -- -- -- -- -- 415 909
-------- -------- -------- -------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Capital Share Transactions 161,264 127,227 118,692 113,591 85,334 46,481 165,996 46,070
-------- -------- -------- -------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Assets 351,815 183,319 318,400 184,702 160,160 60,202 181,265 71,327
-------- -------- -------- -------- -------- -------- -------- --------
NET ASSETS:
Beginning of Period 515,011 331,692 482,079 297,377 163,177 102,975 382,351 311,024
-------- -------- -------- -------- -------- -------- -------- --------
End of Period $866,826 $515,011 $800,479 $482,079 $323,337 $163,177 $563,616 $382,351
======== ======== ======== ======== ======== ======== ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 19,261 24,060 18,242 24,470 9,600 9,497 15,890 9,925
Shares Issued in Lieu of
Cash Distributions 2,749 900 1,644 484 843 222 3,140 2,292
Shares Redeemed (12,099) (15,627) (12,724) (16,217) (4,717) (5,772) (8,530) (9,271)
-------- -------- -------- -------- -------- -------- -------- --------
Total Class A Transactions 9,911 9,333 7,162 8,737 5,726 3,947 10,500 2,946
======== ======== ======== ======== ======== ======== ======== ========
Class D:
Shares Issued -- -- -- -- -- -- 33 75
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- -- 23 9
Shares Redeemed -- -- -- -- -- -- (30) (34)
-------- -------- -------- -------- -------- -------- -------- --------
Total Class D Transactions -- -- -- -- -- -- 26 50
======== ======== ======== ======== ======== ======== ======== ========
Undistributed Net
Investment Income (Loss) $ 3,008 $ 2,752 $ 907 $ 490 $ 163 $ 107 $ -- $ --
======== ======== ======== ======== ======== ======== ======== ========
------------------
MID-CAP
------------------
10/1/96- 10/1/95-
9/30/97 9/30/96
-------- --------
OPERATIONS:
<S> <C> <C>
Net Investment Income (Loss) $ 226 $ 314
Net Realized Gain (Loss) from
Security Transactions 5,433 2,538
Net Change in Unrealized
Appreciation (Depreciation)
of Investments 4,865 703
-------- --------
Net Increase in Net Assets
from Operations 10,524 3,555
-------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (243) (265)
Class D -- --
Net Realized Gains:
Class A (2,094) --
Class D -- --
-------- --------
Total Distributions (2,337) (265)
-------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 14,732 11,967
Shares Issued in Lieu of Cash
Distributions 1,563 158
Shares Redeemed (14,389) (18,394)
-------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 1,906 (6,269)
-------- --------
Class D:
Shares Issued -- --
Shares Issued in Lieu of Cash
Distributions -- --
Shares Redeemed -- (73)
-------- --------
Increase (Decrease) in Net
Assets Derived from
Class D Transactions -- (73)
-------- --------
Increase (Decrease) in Net
Assets Derived from
Capital Share Transactions 1,906 (6,342)
-------- --------
Net Increase (Decrease)
in Net Assets 10,093 (3,052)
-------- --------
NET ASSETS:
Beginning of Period 24,954 28,006
-------- --------
End of Period $ 35,047 $ 24,954
======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 918 904
Shares Issued in Lieu of
Cash Distributions 106 12
Shares Redeemed (900) (1,391)
-------- --------
Total Class A Transactions 124 (475)
======== ========
Class D:
Shares Issued -- --
Shares Issued in Lieu of
Cash Distributions -- --
Shares Redeemed -- (5)
-------- --------
Total Class D Transactions -- (5)
======== ========
Undistributed Net
Investment Income (Loss) $ 40 $ 67
======== ========
<FN>
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
62
<PAGE>
================================================================================
<TABLE>
<CAPTION>
- ------------------ ------------------ ------------------ -------------------- ------------------ ------------------
CAPITAL EQUITY CORE FIXED HIGH YIELD
APPRECIATION INCOME BALANCED INCOME BOND BOND
- ------------------ ------------------ ------------------ -------------------- ------------------ ------------------
10/1/96- 10/1/95- 10/1/96- 10/1/95- 10/1/96- 10/1/95- 10/1/96- 10/1/95- 10/1/96- 10/1/95- 10/1/96- 10/1/95-
9/30/97 9/30/96 9/30/97 9/30/96 9/30/97 9/30/96 9/30/97 9/30/96 9/30/97 9/30/96 9/30/97 9/30/96
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$2,243 $ 3,162 $ 4,515 $ 7,016 $ 1,605 $ 1,933 $ 51,626 $ 34,035 $ 1,236 $ 2,458 $ 15,566 $ 5,215
43,785 57,840 31,754 37,481 6,041 8,223 4,733 7,570 399 2,616 (110) 484
7,498 (7,355) 18,385 (5,951) 2,510 (922) 22,140 (18,923) 436 (3,365) 10,144 2,983
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
53,526 53,647 54,654 38,546 10,156 9,234 78,499 22,682 2,071 1,709 25,600 8,682
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
(2,573) (2,737) (5,055) (6,148) (1,690) (1,656) (51,626) (36,189) (1,233) (2,732) (15,566) (5,405)
-- (3) -- (41) -- -- -- (8) -- (5) -- --
(56,597) (29,520) (32,447) (28,137) (8,229) (1,716) (10,904) -- -- -- (589) (92)
-- (91) -- (254) -- -- -- -- -- -- -- --
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
(59,170) (32,351) (37,502) (34,580) (9,919) (3,372) (62,530) (36,197) (1,233) (2,737) (16,155) (5,497)
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
35,788 50,143 35,121 69,550 12,160 16,421 524,149 472,189 5,132 10,939 146,492 85,242
36,927 18,957 13,123 9,470 9,567 3,265 44,116 23,028 487 1,312 15,164 5,127
(139,414) (165,075) (94,453) (131,146) (28,684) (38,097) (176,199) (246,431) (17,372) (36,711) (42,189) (9,733)
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
(66,699) (95,975) (46,209) (52,126) (6,957) (18,411) 392,066 248,786 (11,753) (24,460) 119,467 80,636
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
-- 16 -- 4,144 -- -- -- 6 -- -- -- --
-- 74 -- 267 -- -- -- 4 -- 2 -- --
-- (523) -- (6,340) -- -- -- (149) -- (58) -- --
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
-- (433) -- (1,929) -- -- -- (139) -- (56) -- --
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
(66,699) (96,408) (46,209) (54,055) (6,957) (18,411) 392,066 248,647 (11,753) (24,516) 119,467 80,636
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
(72,343) (75,112) (29,057) (50,089) (6,720) (12,549) 408,035 235,132 (10,915) (25,544) 128,912 83,821
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
236,581 311,693 202,823 252,912 57,915 70,464 655,300 420,168 28,863 54,407 107,545 23,724
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
$164,238 $236,581 $173,766 $202,823 $51,195 $ 57,915 $1,063,335 $655,300 $17,948 $ 28,863 $236,457 $107,545
======== ======== ======= ======== ======= ======= ======== ======== ======= ======= ======= ======
2,206 2,969 2,202 4,398 920 1,240 51,087 45,721 476 1,007 13,006 7,848
2,548 1,203 886 620 775 251 4,295 2,232 45 121 1,342 471
(8,773) (9,773) (5,817) (8,272) (2,208) (2,861) (17,227) (24,048) (1,615) (3,411) (3,731) (892)
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
(4,019) (5,601) (2,729) (3,254) (513) (1,370) 38,155 23,905 (1,094) (2,283) 10,617 7,427
======== ======== ======= ======== ======= ======= ======== ======== ======= ======= ======= ======
-- 1 -- 273 -- -- -- 1 -- -- -- --
-- 5 -- 17 -- -- -- -- -- -- -- --
-- (31) -- (404) -- -- -- (14) -- (5) -- --
- -------- -------- ------- -------- ------- ------- -------- -------- ------- ------- ------- ------
-- (25) -- (114) -- -- -- (13) -- (5) -- --
======== ======== ======= ======== ======= ======= ======== ======== ======= ======= ======= ======
$ 362 $ 716 $ 1,348 $ 1,438 $ 514 $ 453 $ 15 $ -- $ (90) $ -- $ (116) $ --
======== ======== ======= ======== ======= ======= ======== ======== ======= ======= ======= ======
</TABLE>
63
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE PERIODS ENDED SEPTEMBER 30.
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
NET REALIZED RATIO OF NET
AND DISTRIBUTIONS INVESTMENT
NET ASSET NET UNREALIZED DIVIDENDS FROM RATIO OF INCOME
VALUE, INVESTMENT GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES (LOSS)
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
- --------------------------
LARGE CAP VALUE PORTFOLIO
- --------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997 $14.78 $ 0.28 $5.77 $(0.29) $(1.17) $19.37 44.12% $866,826 0.85% 1.74%
1996 13.00 0.32 2.01 (0.26) (0.29) 14.78 18.33% 515,011 0.83% 2.31%
1995 10.71 0.33 2.44 (0.33) (0.15) 13.00 26.83% 331,692 0.76% 2.92%
1994 11.54 0.28 (0.46) (0.27) (0.38) 10.71 (1.64)% 133,178 0.75% 2.51%
1993 12.49 0.31 0.22 (0.33) (1.15) 11.54 4.35% 205,157 0.75% 2.64%
1992 12.05 0.34 0.71 (0.33) (0.28) 12.49 9.17% 242,065 0.75% 2.79%
- --------------------------
LARGE CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1997 $15.03 $ 0.03 $6.33 $(0.05) $(0.94) $20.40 44.35% $800,479 0.85% 0.22%
1996 12.75 0.07 2.51 (0.08) (0.22) 15.03 20.59% 482,079 0.82% 0.50%
1995(4) 10.00 0.11 2.72 (0.08) -- 12.75 37.90% 297,377 0.85% 1.15%
- --------------------------
SMALL CAP VALUE PORTFOLIO
- --------------------------
CLASS A
1997 $13.17 $ 0.05 $5.74 $(0.05) $(1.06) $17.85 47.16% $323,337 1.11% 0.37%
1996 12.19 0.02 1.27 (0.01) (0.30) 13.17 10.86% 163,177 1.11% 0.15%
1995(5) 10.00 0.03 2.19 (0.03) -- 12.19 29.38% 102,975 1.10% 0.26%
- ---------------------------
SMALL CAP GROWTH PORTFOLIO
- ---------------------------
CLASS A
1997 $20.51 $ 0.02 $2.64 $ -- $(3.85) $19.32 17.23% $561,414 1.10% (0.60)%
1996 19.88 (0.08) 4.37 -- (3.66) 20.51 26.56% 380,525 1.10% (0.63)%
1995 14.04 (0.14) 5.98 -- -- 19.88 41.65% 310,238 1.10% (0.60)%
1994 14.67 (0.05) 0.07 -- (0.65) 14.04 0.23% 300,296 1.01% (0.51)%
1993 10.65 (0.02) 4.05 (0.01) -- 14.67 37.81% 193,816 0.97% (0.25)%
1992(2) 10.00 0.02 0.65 (0.02) -- 10.65 15.07% 36,191 0.97% 0.49%
CLASS D
1997 $20.29 $(0.11) $2.66 $ -- $(3.85) $18.99 16.80%* $ 2,202 1.46% (0.95)%
1996 19.78 (0.07) 4.24 -- (3.66) 20.29 26.01%* 1,826 1.49% (1.02)%
1995 13.99 (0.09) 5.88 -- -- 19.78 41.44%* 786 1.50% (1.03)%
1994(3) 14.04 (0.02) (0.03) -- -- 13.99 (3.02)%* 171 1.49% (0.92)%
- ------------------
MID-CAP PORTFOLIO
- ------------------
CLASS A
1997 $14.96 $0.13 $5.86 $(0.14) $(1.25) $19.56 43.13% $ 35,047 0.93% 0.79%
1996 13.04 0.18 1.89 (0.15) -- 14.96 16.03% 24,954 0.77% 1.28%
1995 10.89 0.01 2.14 -- -- 13.04 19.78% 27,898 0.94% 0.04%
1994 12.10 0.01 (0.98) (0.01) (0.23) 10.89 (8.10)% 108,002 0.93% 0.03%
1993(1) 10.00 0.01 2.10 (0.01) -- 12.10 34.06% 57,669 0.90% 0.26%
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME (LOSS)
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO AVERAGE
(EXCLUDING (EXCLUDING TURNOVER COMMISSION
WAIVERS) WAIVERS) RATE RATE+
- --------------------------------------------------------
- --------------------------
LARGE CAP VALUE PORTFOLIO
- --------------------------
CLASS A
<S> <C> <C> <C> <C>
1997 0.85% 1.74% 67% $0.0496
1996 0.83% 2.31% 75% 0.0531
1995 0.82% 2.86% 99% N/A
1994 0.75% 2.51% 67% N/A
1993 0.76% 2.63% 96% N/A
1992 0.80% 2.74% 17% N/A
- --------------------------
LARGE CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1997 0.90% 0.17% 73% $0.0539
1996 0.87% 0.45% 90% 0.0602
1995(4) 0.89% 1.11% 44% N/A
- --------------------------
SMALL CAP VALUE PORTFOLIO
- --------------------------
CLASS A
1997 1.11% 0.37% 98% $0.0510
1996 1.11% 0.15% 121% 0.0507
1995(5) 1.12% 0.24% 64% N/A
- ---------------------------
SMALL CAP GROWTH PORTFOLIO
- ---------------------------
CLASS A
1997 1.10% (0.60)% 107% $0.0723
1996 1.11% (0.64)% 167% 0.0529
1995 1.13% (0.63)% 113% N/A
1994 1.11% (0.61)% 97% N/A
1993 1.14% (0.42)% 85% N/A
1992(2) 1.29% 0.17% 33% N/A
CLASS D
1997 1.46% (0.95)% 107% $0.0723
1996 1.49% (1.02)% 167% 0.0529
1995 1.55% (1.08)% 113% N/A
1994(3) 1.52% (0.95)% 97% N/A
- ------------------
MID-CAP PORTFOLIO
- ------------------
CLASS A
1997 0.94% 0.78% 92% $0.0268
1996 0.88% 1.17% 101% 0.0124
1995 1.09% (0.11)% 108% N/A
1994 1.06% (0.10) 89% N/A
1993(1) 1.12% 0.04% 87% N/A
<FN>
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
64
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NET REALIZED RATIO OF NET
AND DISTRIBUTIONS
NET ASSET UNREALIZED DIVIDENDS FROM RATIO OF INVESTMENT
VALUE, NET GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES INCOME
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
- -------------------------------
CAPITAL APPRECIATION PORTFOLIO
- -------------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997 $18.14 $ 0.21 $4.65 $(0.22) $(4.58) $18.20 34.02% $164,238 0.84% 1.20%
1996 16.70 0.20 3.18 (0.17) (1.77) 18.14 22.14% 236,581 0.84% 1.20%
1995 15.18 0.22 2.42 (0.23) (0.89) 16.70 19.03% 310,693 0.84% 1.39%
1994 16.36 0.24 (0.22) (0.25) (0.95) 15.18 (0.11)% 729,100 0.79% 1.45%
1993 15.09 0.32 1.68 (0.30) (0.43) 16.36 13.50% 776,745 0.75% 2.06%
1992 14.15 0.30 1.23 (0.30) (0.29) 15.09 11.03% 536,028 0.75% 2.12%
- ------------------------
EQUITY INCOME PORTFOLIO
- ------------------------
CLASS A
1997 $16.40 $ 0.39 $4.33 $(0.42) $(2.68) $18.02 33.46% $173,766 0.85% 2.38%
1996 16.07 0.49 2.20 (0.41) (1.95) 16.40 18.17% 202,823 0.83% 3.00%
1995 14.06 0.55 2.48 (0.55) (0.47) 16.07 23.00% 250,609 0.82% 3.72%
1994 15.00 0.51 (0.38) (0.50) (0.57) 14.06 1.05% 418,207 0.78% 3.68%
1993 13.33 0.51 1.75 (0.51) (0.08) 15.00 17.34% 337,939 0.75% 3.73%
1992 12.36 0.52 1.05 (0.52) (0.08) 13.33 13.03% 178,756 0.75% 4.15%
- -------------------
BALANCED PORTFOLIO
- -------------------
CLASS A
1997 $13.94 $ 0.41 $2.27 $(0.42) $(2.14) $14.06 22.38% $ 51,195 0.75% 3.15%
1996 12.76 0.42 1.44 (0.34) (0.34) 13.94 15.01% 57,915 0.75% 2.98%
1995 11.52 0.34 1.34 (0.34) (0.10) 12.76 15.05% 70,464 0.75% 2.92%
1994 12.24 0.23 (0.62) (0.22) (0.11) 11.52 (3.25)% 65,480 0.75% 2.05%
1993 11.35 0.25 1.29 (0.26) (0.39) 12.24 14.49% 33,807 0.75% 2.24%
1992 10.70 0.52 0.73 (0.53) (0.07) 11.35 11.64% 5,974 0.75% 4.83%
- ----------------------------
CORE FIXED INCOME PORTFOLIO
- ----------------------------
CLASS A
1997 $10.23 $ 0.63 $ 0.33 $(0.63) $(0.16) $10.40 9.80% $1,063,335 0.60% 6.17%
1996 10.46 0.64 (0.18) (0.69) -- 10.23 4.51% 655,300 0.57% 6.24%
1995 9.65 0.65 0.82 (0.66) -- 10.46 15.87% 419,959 0.55% 6.60%
1994 10.87 0.56 (1.12) (0.55) (0.11) 9.65 (5.36)% 311,955 0.55% 5.57%
1993 10.77 0.60 0.28 (0.60) (0.18) 10.87 8.58% 295,798 0.55% 5.63%
1992 10.30 0.69 0.49 (0.69) (0.02) 10.77 11.91% 213,632 0.55% 6.71%
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO AVERAGE
(EXCLUDING (EXCLUDING TURNOVER COMMISSION
WAIVERS) WAIVERS) RATE RATE+
- ---------------------------------------------------------
- -------------------------------
CAPITAL APPRECIATION PORTFOLIO
- -------------------------------
CLASS A
<S> <C> <C> <C> <C>
1997 0.89% 1.15% 178% $0.0568
1996 0.86% 1.18% 153% 0.0517
1995 0.89% 1.34% 107% N/A
1994 0.84% 1.40% 109% N/A
1993 0.84% 1.97% 119% N/A
1992 0.88% 1.99% 84% N/A
- ------------------------
EQUITY INCOME PORTFOLIO
- ------------------------
CLASS A
1997 0.90% 2.33% 40% $0.0582
1996 0.86% 2.97% 43% 0.0429
1995 0.88% 3.66% 47% N/A
1994 0.84% 3.62% 28% N/A
1993 0.85% 3.63% 39% N/A
1992 0.87% 4.03% 18% N/A
- -------------------
BALANCED PORTFOLIO
- -------------------
CLASS A
1997 0.81% 3.09% 197% $0.0572
1996 0.84% 2.89% 143% 0.0382
1995 0.90% 2.77% 159% N/A
1994 0.91% 1.89% 149% N/A
1993 0.94% 2.05% 109% N/A
1992 1.12% 4.46% 101% N/A
- ----------------------------
CORE FIXED INCOME PORTFOLIO
- ----------------------------
CLASS A
1997 0.61% 6.16% 216% N/A
1996 0.64% 6.17% 311% N/A
1995 0.68% 6.47% 294% N/A
1994 0.62% 5.50% 370% N/A
1993 0.66% 5.52% 35% N/A
1992 0.68% 6.58% 39% N/A
</TABLE>
65
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE PERIODS ENDED SEPTEMBER 30.
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS RATIO OF NET
NET ASSET UNREALIZED DIVIDENDS FROM RATIO OF INVESTMENT
VALUE, NET GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES INCOME
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
- ---------------
BOND PORTFOLIO
- ---------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997 $10.61 $0.61 $ 0.42 $(0.61) $ -- $11.03 9.97% $ 17,948 0.60% 5.65%
1996 10.86 0.62 (0.19) (0.68) -- 10.61 4.01% 28,863 0.57% 5.68%
1995 9.95 0.70 0.97 (0.69) (0.07) 10.86 17.53% 54,286 0.55% 6.46%
1994 12.25 0.59 (1.62) (0.59) (0.68) 9.95 (9.12)% 123,329 0.55% 5.61%
1993 11.09 0.66 1.19 (0.67) (0.02) 12.25 17.36% 97,163 0.55% 5.87%
1992 10.47 0.73 0.62 (0.73) -- 11.09 13.52% 65,061 0.55% 6.98%
- --------------------------
HIGH YIELD BOND PORTFOLIO
- --------------------------
CLASS A
1997 $11.14 $1.04 $ 0.57 $(1.04) $(0.05) $11.66 15.30% $236,457 0.86% 9.33%
1996 10.64 0.94 0.62 (1.03) (0.03) 11.14 15.46% 107,545 0.87% 9.01%
1995(6) 10.00 0.67 0.55 (0.58) -- 10.64 17.72% 23,724 0.67% 10.02%
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO
(EXCLUDING (EXCLUDING TURNOVER
WAIVERS) WAIVERS) RATE
- ----------------------------------------------
- ---------------
BOND PORTFOLIO
- ---------------
CLASS A
<S> <C> <C> <C>
1997 0.60% 5.65% 305%
1996 0.70% 5.55% 66%
1995 0.70% 6.31% 79%
1994 0.67% 5.49% 73%
1993 0.66% 5.76% 47%
1992 0.71% 6.82% 24%
- --------------------------
HIGH YIELD BOND PORTFOLIO
- --------------------------
CLASS A
1997 0.91% 9.28% 68%
1996 0.94% 8.94% 55%
1995(6) 0.86% 9.83% 56%
<FN>
1 MID-CAP CLASS A SHARES WERE OFFERED BEGINNING FEBRUARY 16, 1993. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
2 SMALL CAP GROWTH CLASS A SHARES WERE OFFERED BEGINNING APRIL 20, 1992. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 SMALL CAP GROWTH CLASS D SHARES WERE OFFERED MAY 2, 1994. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 LARGE CAP GROWTH SHARES WERE OFFERED BEGINNING DECEMBER 20, 1994. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 SMALL CAP VALUE SHARES WERE OFFERED BEGINNING DECEMBER 20, 1994. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 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.
+ 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 SEPTEMBER 1, 1995.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
66
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
1. ORGANIZATION
SEI Institutional Managed Trust (the "Trust") is organized as a
Massachusetts Business Trust under a Declaration of Trust dated October 20,
1986.
2. SIGNIFICANT ACCOUNTING POLICIES
The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end investment company with eleven diversified Portfolios
(the "Portfolios"): Large Cap Value, Large Cap Growth, Small Cap Value, Small
Cap Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, Core Fixed
Income, Bond, and High Yield Bond. The Trust is registered to offer Class A
shares of the Large Cap Value, Large Cap Growth, Small Cap Value, Small Cap
Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, Core Fixed
Income, Bond, and High Yield Bond Portfolios and Class D shares of the Small Cap
Growth Portfolio. The Funds' prospectus provides a description of each Fund's
investment objective, policies, and strategies. The following is a summary of
the significant accounting policies consistently 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. Securities for which quotations
are not readily available are valued at fair value using methods determined in
good faith under general Trustee supervision.
FEDERAL INCOME TAXES--It is each Portfolio's intention to qualify as a
regulated investment company for Federal income tax purposes and distribute all
of its taxable income (including net capital gains). Accordingly, no provision
for Federal income taxes is required.
NET ASSET VALUE PER SHARE--Net asset value per share is calculated on a
daily basis by dividing the assets of each Portfolio less its liabilities by the
number of outstanding shares of the Portfolio.
REPURCHASE AGREEMENTS--Securities pledged as collateral for repurchase
agreements are held by each Portfolio's custodian bank until maturity of the
repurchase agreement. The Portfolios also invest in tri-party repurchase
agreements. Securities held as collateral for tri-party repurchase agreements
are maintained by the broker's custodian bank in a segregated account until
maturity of the repurchase agreement. Provisions of the repurchase agreement and
procedures adopted by the Manager and the Advisers of the Trust require that the
market value of the collateral, including accrued interest thereon, is
sufficient in the event of default by the counterparty. If the counterparty
defaults and the value of the collateral declines or if the counterparty enters
into an insolvency proceeding, realization of the collateral by the Portfolios
may be delayed or limited.
DISCOUNT AND PREMIUM AMORTIZATION--Amortization and accretion is calculated
using the effective interest method over the holding period of the security.
Amortization of premiums and discounts is included in interest income.
EXPENSES--Expenses that are directly related to one of the Portfolios are
charged directly to that Portfolio. Other operating expenses of the Portfolios
are prorated to the Portfolios on the basis of relative net assets.
CLASSES--Class-specific expenses are borne by that class of shares. Income,
realized and unrealized gains/losses and non class-specific expenses are
allocated to the respective classes on the basis of relative daily net assets.
FUTURES CONTRACTS--The Large Cap Growth, Large Cap Value, Small Cap Value,
Small Cap Growth, Capital Appreciation and Equity Income Portfolios utilized S&P
500 Index futures contracts and the Core Fixed Income Portfolio utilized U.S.
Long T-Bond futures contracts during the period ended September 30, 1997. The
Portfolios' 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
67
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
Core Fixed Income Portfolio's use of futures contracts is primarily for
tactical hedging purposes. Initial margin deposits of cash or securities are
made upon entering into futures contracts. The contracts are marked to market
daily and the resulting changes in value are accounted for as unrealized gains
and losses. Variation margin payments are paid or received, depending upon
whether unrealized losses or gains are incurred. When the contract is closed,
the Portfolio records a realized gain or loss equal to the difference between
the proceeds from (or cost of) the closing transaction and the amount invested
in the contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform. Futures contracts involve risk of loss in excess of the
amounts recognized in the Statement of Net Assets to the extent of the contract
amounts.
DETERMINATION, DISCLOSURE AND FINANCIAL STATEMENT PRESENTATION OF INCOME
AND CAPITAL GAIN--Effective October 1, 1993, the Trust adopted Statement of
Position 93-2: Determination, Disclosure, and Financial Statement Presentation
of Income, Capital Gain, and Return of Capital Distributions by Investment
Companies.
Based on this Statement of Position, the reclassifications were as follows:
ACCUMULATED UNDISTRIBUTED
PAID-IN- REALIZED INVESTMENT
CAPITAL GAIN (LOSS) INCOME (LOSS)
(000) (000) (000)
-------- ----------- -------------
Large Cap Value $ 6 $ (51) $ 45
Large Cap Growth 256 (950) 694
Small Cap Value -- (26) 26
Small Cap Growth (2,464) 2 2,462
Mid-Cap -- 10 (10)
Capital Appreciation (164) 188 (24)
Equity Income 10 (460) 450
Balanced (38) (108) 146
Core Fixed Income (17) 2 15
Bond (24) 117 (93)
High Yield Bond -- 116 (116)
These reclassifications have no effect on net assets or net asset values
per share.
During the year ended September 30, 1997, the Large Cap Growth Portfolio
transferred securities to shareholders in order to meet fund share redemptions.
This security transfer resulted in non-taxable realized gains to the Portfolio
of $255,000 which have been reclassified to paid-in capital, a component of
equity.
STRUCTURED NOTES AND INDEXED NOTES--The Core Fixed Income Portfolio may
invest in structured notes and indexed notes whose values are linked either
directly or inversely to changes in foreign currency exchange rates, interest
rates, indices, or other reference instruments. The values of these instruments
may be more volatile than the rates, indices or instruments to which they refer.
OTHER--Security transactions are recorded on the trade date of the security
purchase or sale. Costs used in determining net realized capital gains and
losses on the sale of securities are those of the specific securities sold.
Dividend income is recognized on the ex-dividend date, and interest income is
recognized using the accrual basis of accounting.
3. MANAGEMENT, INVESTMENT
ADVISORY, AND DISTRIBUTION
AGREEMENTS
The Trust and SEI Fund Management (the "Manager"), are parties to a
management agreement (the "Agreement") dated January 22, 1987. Under this
Agreement, the Manager provides management, administrative, and shareholder
servicing for an annual fee of .35% of the average daily net assets of the Large
Cap Value, Large Cap Growth, Small Cap Value, High Yield Bond, Small Cap Growth,
Mid-Cap, Capital Appreciation, Equity Income, and Balanced Portfolios; and .28%
of the average daily net assets of the Core Fixed Income and Bond Portfolios.
The Manager has agreed to waive all or a portion of its fee in order to limit
the operating expenses of a Portfolio. Any such waiver is voluntary and may be
terminated at any time at the Manager's sole discretion.
SEI Investments Management Corporation ("SIMCO") serves as investment
adviser to each Portfolio. In connection with serving as investment adviser,
SIMCO 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
68
<PAGE>
================================================================================
Growth, Mid-Cap, Capital Appreciation, Equity Income and Balanced
Portfolios' average daily net assets, at an annual rate of .65% of the Small Cap
Value and Small Cap Growth Portfolios' average daily net assets, at an annual
rate of .275% of the Core Fixed Income and Bond Portfolios' average daily net
assets and .4875% of the High Yield Bond Portfolio's average daily net assets.
The adviser has voluntarily agreed to waive a portion of its fee in an amount
equal to .05% of the average daily net assets of the Large Cap Growth, Capital
Appreciation, Equity Income, and Balanced Portfolios.
Mellon Equity Associates, Pacific Alliance Capital Management and LSV Asset
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 SIMCO dated December 16, 1994, April 1, 1996 and
March 31, 1995, respectively. Under the investment sub-advisory agreements, each
party receives an annual fee, paid by SIMCO.
American Express Asset Management, Alliance Capital Management L.P., and
Provident Investment Counsel, Inc. each serve as an investment sub-adviser to a
portion of the assets of the Large Cap Growth Portfolio and are party to
investment sub-advisory agreements with the Trust and SIMCO dated December 16,
1994, December 16, 1994, and May 1, 1996, respectively. Under the investment
sub-advisory agreements, each party receives an annual fee, paid by SIMCO.
LSV Asset 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 SIMCO dated May 30, 1997, December
18, 1994, and November 13, 1995, respectively. Under the investment sub-advisory
agreements, each party receives an annual fee, paid by SIMCO.
Nicholas-Applegate Capital Management, Inc., First of America Investment
Corporation, Wall Street Associates, and Furman Selz Capital Management, LLC
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 SIMCO dated August 11, 1995, June 14, 1996, August 11, 1995 and
August 11, 1995, respectively. Under the investment sub-advisory agreements,
each party receives an annual fee, paid by SIMCO.
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 SIMCO dated August 14, 1995. Under the investment sub-advisory
agreement, Martingale Asset Management, L.P. receives an annual fee, paid by
SIMCO.
Pacific Alliance Capital Management serves as investment sub-adviser to the
Equity Income Portfolio and is party to an investment sub-advisory agreement
with the Trust and SIMCO dated April 1, 1996. Under the investment sub-advisory
agreement, Pacific Alliance Capital Management receives an annual fee, paid by
SIMCO.
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 SIMCO dated July 10, 1995. Under the
investment sub-advisory agreement, STI receives an annual fee for each
Portfolio, paid by SIMCO.
Western Asset Management Company serves as investment sub-adviser to the
Bond Portfolio and is a party to an investment sub-advisory agreement with the
Trust and SIMCO dated March 17, 1997. Under the investment sub-advisory
agreement, Western Asset Management Company receives an annual fee, paid by
SIMCO.
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 SIMCO dated
November 13, 1995, January 2, 1996, and November 13, 1995, respectively. Under
the investment sub-advisory agreements, each party receives an annual fee, paid
by SIMCO.
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
69
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997
and SIMCO dated August 11, 1995. Under the investment sub-advisory agreement,
BEA Associates receives an annual fee, paid by SIMCO.
SEI Investments Distribution Co. (the "Distributor"), a wholly-owned
subsidiary of SEI, serves as each Portfolio's distributor pursuant to a
distribution agreement with the Trust. Effective April 15, 1996, the Trust
adopted a shareholder servicing plan for Class A shares (the "Class A Plan")
under which a shareholder servicing fee of up to .25% of average daily net
assets attributable to Class A shares will be paid to the Distributor. Prior to
April 15, 1996, SEI Investments Distribution Co. acted as the distributor of
shares of the Trust under distribution plans which provided for the Trust to
reimburse the Distributor for certain distribution-related expenses incurred by
the Distributor. Such expenses could not exceed .30% of the average daily net
assets of a Portfolio, provided the expenses were permissible as to both type
and amount under a budget approved and monitored by the Board of Trustees.
The Trust has adopted a distribution plan for its Class D shares (the
"Class D Plan") pursuant to which a 12b-1 fee of up to .30% of the average daily
net assets attributable to the Class D shares will be paid to the Distributor.
This payment may be used to compensate financial institutions that provide
distribution-related services to their customers. Under both the Class A Plan
and the Class D Plan, the Distributor may retain as profit any difference
between the fee it receives and the amount it pays to third parties.
The Distribution Agreement between the Distributor and the Trust provides
that the Distributor may receive compensation on portfolio transactions effected
for the Trust in accordance with the rules of the Securities and Exchange
Commission ("SEC"). Accordingly, it is expected that portfolio transactions may
result in brokerage commissions being paid to the Distributor. The SEC rules
require that such commissions not exceed usual and customary commissions.
4. ORGANIZATIONAL COSTS AND TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized
by the Trust and are being amortized over sixty months commencing with
operations. In the event any of the initial shares are redeemed by any holder
thereof during the period that the Trust is amortizing its organizational costs,
the redemption proceeds payable to the holder thereof by the Trust will be
reduced by the unamortized organizational costs in the same ratio as the number
of initial shares outstanding at the time of the redemption.
Certain officers and/or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated Trustees of the Trust is paid by the Manager.
Each of the Portfolios also used the Distributor as an agent in placing
repurchase agreements. For this service the Distributor retains a portion of the
interest earned as a commission. Aggregate commissions paid by the Trust for
repurchase agreements placed during the period ended September 30, 1997 were
$97,000.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities,
other than temporary cash investments during the year ended September 30, 1997
were as follows:
PURCHASES
---------
U.S. GOV'T. OTHER TOTAL
(000) (000) (000)
------------ -------- ----------
Large Cap Value $ -- $548,417 $ 548,417
Large Cap Growth -- 529,804 529,804
Small Cap Value -- 275,587 275,587
Small Cap Growth -- 496,913 496,913
Mid-Cap -- 25,197 25,197
Capital Appreciation -- 312,366 312,366
Equity Income -- 73,677 73,677
Balanced 27,368 67,785 95,153
Core Fixed Income 1,594,870 335,116 1,929,986
Bond 55,270 6,579 61,849
High Yield Bond -- 214,303 214,313
SALES
----------
U.S. GOV'T. OTHER TOTAL
(000) (000) (000)
------------ -------- -----------
Large Cap Value $ -- $427,618 $ 427,618
Large Cap Growth -- 438,998 438,998
Small Cap Value -- 206,649 206,649
Small Cap Growth -- 417,601 417,601
Mid-Cap -- 27,323 27,323
Capital Appreciation -- 437,524 437,524
Equity Income -- 157,843 157,843
Balanced 34,902 73,740 108,642
Core Fixed Income 1,451,828 137,587 1,589,415
Bond 70,561 418 70,979
High Yield Bond -- 108,038 108,038
70
<PAGE>
================================================================================
At September 30, 1997, the total cost of securities and the net realized
gains or losses on securities sold for Federal income tax purposes was not
materially different from amounts reported for financial reporting purposes. The
aggregate gross unrealized appreciation and depreciation on investments at
September 30, 1997 is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
----------- ----------- ------------
Large Cap Value $213,631 $(3,255) $210,376
Large Cap Growth 254,713 (3,431) 251,282
Small Cap Value 65,857 (2,152) 63,705
Small Cap Growth 159,960 (8,385) 151,575
Mid-Cap 8,332 (411) 7,921
Capital Appreciation 34,375 (2,315) 32,060
Equity Income 51,697 (379) 51,318
Balanced 6,506 (468) 6,038
Core Fixed Income 21,968 (4,806) 17,162
Bond 381 (2) 379
High Yield Bond 14,608 (1,117) 13,491
At September 30, 1997 the following Portfolio had available realized
capital losses to offset future net capital gains through fiscal year ended
2004.
(000)
------
Bond $ 3,562
6. FUTURES CONTRACTS
The following Portfolios had futures contracts open as of September 30,
1997:
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- -------------- --------- ----- ---------- -----------
Core Fixed Income
U.S. 5 Year Note (68) 106.98 December 1997 $ (29)
U.S. 5 Year Note (1) 106.64 December 1997 (1)
U.S. 10 Year Note (108) 108.94 December 1997 (129)
U.S. 10 Year Note (20) 110.00 December 1997 (3)
U.S. 10 Year Note (19) 110.03 December 1997 (2)
U.S. Long T-Bond (332) 112.98 December 1997 (770)
U.S. Long T-Bond (91) 114.00 December 1997 (117)
U.S. Long T-Bond (22) 112.78 December 1997 (55)
U.S. Long T-Bond (8) 115.75 December 1997 4
U.S. Long T-Bond (3) 113.08 December 1997 (7)
-------
$(1,109)
=======
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- -------------- --------- ----- ---------- -----------
Large Cap Value
S & P 500 5 $937.80 December 1997 $ 42
S & P 500 5 939.00 December 1997 39
S & P 500 4 952.50 December 1997 4
S & P 500 3 926.50 December 1997 43
S & P 500 3 953.75 December 1997 1
S & P 500 2 937.75 December 1997 17
S & P 500 1 923.75 December 1997 15
S & P 500 1 963.80 December 1997 (5)
S & P 500 1 959.30 December 1997 (3)
----
$153
====
Large Cap Growth
S & P 500 4 $952.50 December 1997 $ 4
S & P 500 3 941.25 December 1997 21
S & P 500 2 923.75 December 1997 31
S & P 500 2 937.80 December 1997 16
S & P 500 2 959.30 December 1997 (5)
---
$67
===
Small Cap Value
S & P 500 4 $937.80 December 1997 $ 35
S & P 500 4 959.30 December 1997 (10)
S & P 500 2 926.50 December 1997 28
S & P 500 1 923.75 December 1997 15
S & P 500 1 935.00 December 1997 10
S & P 500 1 952.40 December 1997 1
-----
$ 79
=====
Small Cap Growth
S & P 500 2 $939.75 December 1997 $ 15
S & P 500 2 940.75 December 1997 14
S & P 500 2 952.50 December 1997 2
S & P 500 2 958.25 December 1997 (4)
S & P 500 1 923.75 December 1997 15
S & P 500 1 926.50 December 1997 14
S & P 500 1 937.80 December 1997 8
S & P 500 1 938.75 December 1997 9
S & P 500 1 946.25 December 1997 4
S & P 500 1 954.00 December 1997 --
S & P 500 1 965.25 December 1997 (5)
S & P 500 1 963.90 December 1997 (5)
S & P 500 1 963.80 December 1997 (5)
S & P 500 1 963.00 December 1997 (4)
S & P 500 1 959.30 December 1997 (3)
-----
$ 55
=====
Capital Appreciation
S & P 500 12 $937.80 December 1997 $100
=====
Equity Income
S & P 500 12 $952.75 December 1997 $ 11
S & P 500 3 937.80 December 1997 25
-----
$ 36
=====
71
<PAGE>
NOTICE TO SHAREHOLDERS
================================================================================
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1997 (UNAUDITED)
For shareholders that do not have a September 30, 1997 taxable year end, this
notice is for informational purposes only. For shareholders with a September 30,
1997 taxable year end, please consult your tax advisor as to the pertinence of
this notice.
For the fiscal year ended September 30, 1997 the portfolios of the SEI
Institutional Managed Trust are designating net capital gains and qualifying
dividend income with regard to distributions paid during the year as follows:
<TABLE>
<CAPTION>
(A) (B)
NET ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS)
-------- ------------- ------------- -------------
<S> <C> <C> <C>
Large Cap Value 57% 43% 100%
Large Cap Growth 63% 37% 100%
Small Cap Value 14% 86% 100%
Small Cap Growth 71% 29% 100%
Mid-Cap 68% 32% 100%
Capital Appreciation 38% 62% 100%
Equity Income 68% 32% 100%
Balanced 27% 73% 100%
Core Fixed Income 16% 84% 100%
Bond 0% 100% 100%
High Yield Bond 1% 99% 100%
(C) (D)
QUALIFYING TAX EXEMPT FOREIGN
PORTFOLIO DIVIDENDS (1) INTEREST TAX CREDIT
-------- ------------- ------------ ------------
<S> <C> <C> <C>
Large Cap Value 65% 0% 0%
Large Cap Growth 43% 0% 0%
Small Cap Value 15% 0% 0%
Small Cap Growth 2% 0% 0%
Mid-Cap 52% 0% 0%
Capital Appreciation 5% 0% 0%
Equity Income 47% 0% 0%
Balanced 4% 0% 0%
Core Fixed Income 0% 0% 0%
Bond 0% 0% 0%
High Yield Bond 0% 0% 0%
<FN>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
* Items (A) and (B) are based on the percentage of each portfolio's total
distribution.
** Items (C) and (D) are based on the percentage of ordinary income
distributions of each portfolio.
</FN>
</TABLE>
72
<PAGE>
==================
SEI INSTITUTIONAL
==================
MANAGED TRUST
==================
ANNUAL REPORT
==================
SEPTEMBER 30, 1997
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Marc H. Cahn
VICE PRESIDENT, ASSISTANT SECRETARY
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Mark Nagle
CONTROLLER, CHIEF FINANCIAL OFFICER
Richard W. Grant
SECRETARY
INVESTMENT ADVISOR
EQUITY & BALANCED PORTFOLIOS
SEI Investments Management Corporation
FIXED INCOME PORTFOLIOS
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
THIS ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED
FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE NOT
DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE SHARES
ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC),
THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE
SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL.
FOR MORE INFORMATION CALL 1[BULLET]800[BULLET]DIAL[BULLET]
SEI/1[BULLET]800[BULLET]342[BULLET]5734
<PAGE>
[Logo Omitted]
SEI
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-087-05
