ANNUAL REPORT AS OF
SEPTEMBER 30, 1998
SEI INSTITUTIONAL
MANAGED TRUST
- --------------------------
Large Cap Value
- --------------------------
Large Cap Growth
- --------------------------
Tax Managed Large Cap
- --------------------------
Small Cap Value
- --------------------------
Small Cap Growth
- --------------------------
Mid-Cap
- --------------------------
Capital Appreciation
- --------------------------
Equity Income
- --------------------------
Balanced
- --------------------------
Core Fixed Income
- --------------------------
High Yield Bond
- --------------------------
[SEI Logo Omitted]
The art of people.
The science of results.
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FUND PERFORMANCE...................................... 1
REPORT OF INDEPENDENT ACCOUNTANTS......................... 17
SCHEDULES OF INVESTMENTS/
STATEMENTS OF NET ASSETS............................... 18
STATEMENTS OF ASSETS AND LIABILITIES...................... 67
STATEMENTS OF OPERATIONS.................................. 68
STATEMENTS OF CHANGES IN NET ASSETS....................... 70
FINANCIAL HIGHLIGHTS...................................... 72
NOTES TO FINANCIAL STATEMENTS............................. 75
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
LARGE CAP VALUE FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--MELLON EQUITY ASSOCIATES, L.L.P.
LSV ASSET MANAGEMENT, L.P.
SANFORD C. BERNSTEIN & CO., INC.
OBJECTIVE
The Large Cap Value Fund (the "Fund" seeks to provide long-term growth of
capital and income by investing in the equity securities of large companies. The
Fund invests primarily in a diversified portfolio of high quality, income
producing common stocks, which in the advisers' opinion, are undervalued in the
marketplace at the time of purchase.
STRATEGY
With respect to this Fund, 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 Fund are
strategically allocated among its three sub-advisers, each of whom has
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a
unique expertise or substyle to the Fund. LSV Asset Management, L.P. invests in
companies trading at deep discounts to their intrinsic value. Mellon Equity
Associates, L.L.P. invests primarily in large cap value stocks that are
representative of the market. Sanford C. Bernstein & Co., Inc. incorporates
intensive fundamental research to invest in undervalued stocks where there is a
relationship between the current price, its future earnings power and dividend
producing capability.
Each of the aforementioned substyles assumes a different importance in
determining overall style risk, and must therefore be weighted accordingly.
ANALYSIS
The Fund posted an -1.40% return for the fiscal year ended September 30,
1998 as a result of broad weakness in value companies coupled with weakness in
security selection within the financial service sector.
Global economic weakness weighed heavily on financial services companies
as well as cyclical and commodity sectors.
Asian, Latin American and Russian economies were expected to be the leading
regions for global economic growth but instead their economies screeched to a
halt or in some cases into recession. This led financial services companies such
as the money center banks and large brokerage firms as well as commodity
industries such as oil, steel, chemicals, energy and transportation sharply
lower. Collectively, these industries account for a substantial portion of the
large cap value sector. The bright spots of the large cap value sector include
telephones, healthcare, technology and autos companies.
The Fund's relative performance is driven primarily from security
selection as it is diversified amongst industries and style and therefore its
relative exposures to these areas are minimal. Security selection was weak
during the year primarily in the financial services sector as investments in
this sector were dominated by the large money center banks such as Chase
Manhattan, Bankers Trust, Republic NY and BankAmerica and large brokerage firms
such as Bear Stearns and Lehman Brothers, each which were off significantly
because of their exposure to the uncertain emerging market regions. However,
individual security selection contributed to relative performance in technology,
tobacco and oil sectors.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
HighMark Capital Management, Inc. (formerly Pacific Alliance Capital
Management) was replaced by Sanford C. Bernstein & Co., Inc. in the Fund in an
effort to improve performance and the overall risk profile of the fund. As a
result, the weightings to the substyle managers was modified with the core
manager remaining at 50% of the strategy while 30% is allocated to the relative
value substyle and 20% is allocated to the contrarian substyle.
- --------------------------------------------------------------------------------
LARGE CAP VALUE
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Year Annualized Annualized
Return 3 Year Return Inception to Date
- --------------------------------------------------------------------------------
-1.40% 18.91% 20.97%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE LARGE CAP VALUE
FUND, VERSUS THE 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:
Russell 1000 Value Index
S&P 500 Composite Index
S&P 500/BARRA Value Index
SIMT Large Cap Russell 1000 S&P 500 S&P 500/
Value Fund Value Index Composite Index BARRA Value 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
9/98 20,888 21,901 23,375 20,604
1 FOR THE PERIOD ENDED 9/30/98. 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 FUND.
PREVIOUS PERIODS DURING WHICH THE FUND WAS ADVISED BY ANOTHER INVESTMENT
ADVISER ARE NOT SHOWN.
LARGE CAP GROWTH FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--ALLIANCE CAPITAL MANAGEMENT, L.P.
PROVIDENT INVESTMENT COUNSEL, INC.
TRUST COMPANY OF THE WEST
OBJECTIVE
The investment objective of the Large Cap Growth Fund (the "Fund") is
capital appreciation by investing in the equity securities of large companies.
The Fund invests in the securities of issuers believed to possess significant
growth potential.
STRATEGY
With respect to this Fund, 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 Fund
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 Fund. Alliance Capital Management, L.P.
invests in large cap growth stocks that are representative of the market. Trust
Company of the West invests bottom-up primarily in large-cap growth stocks while
assessing the operating prospects of each prospective holding. 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.
2
<PAGE>
- --------------------------------------------------------------------------------
ANALYSIS
The Fund posted an 8.35% return for the fiscal year ended September 30,
1998 as this sector of the market dominated the performance of the broad market
resulting from concerns over the strength of the global economy and domestic
corporate earnings growth.
In a flight to quality and more predictable corporate earnings growth,
investors flocked to invest in the industries which dominate the large cap
growth sector of the market such as technology, healthcare, tobacco and producer
goods companies. This area of the market significantly exceeded the performance
of smaller companies and the value sector of the market. However, performance of
the individual industries within the large cap growth sector varied
significantly with those mentioned above demonstrating double-digit returns
while travel & recreation, aerospace, apparel and electronics showed double
digit losses.
The Fund's return relative to the market is dominated by the individual
securities selected and to a lessor extent its industry exposures and style.
Security selection was strong in technology companies but not enough to make up
for the weakness in financial services and healthcare companies. The financial
services sector holdings were heavily weighted in the poorly performing money
center banks and major brokerage firms which were hit especially hard by the
severe weakness in the emerging Asian, Latin American and Russian economies.
Security selection will continue to drive the relative performance of the
Fund while corporate earnings growth and health of the domestic and global
economies will drive absolute performance. In the continued effort to improve
performance, American Express Asset Management was replaced by Trust Company of
the West. Trust Company of the West manages a more concentrated portfolio with
fewer holdings and emphasizes performance due to individual securities selected
for investment. Their addition has reduced the number of names in the Fund to
approximately 80 from an earlier high of over 130 names. The Fund is
concentrated in names which are expected to outperform the market and are
expected to further enhance returns.
- --------------------------------------------------------------------------------
LARGE CAP GROWTH
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Year Annualized Annualized
Return 3 Year Return Inception to Date
- --------------------------------------------------------------------------------
8.35% 23.55% 26.38%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE LARGE CAP
GROWTH FUND, VERSUS THE FRANK RUSSELL 1000 GROWTH INDEX, AND THE S&P 500/BARRA
GROWTH INDEX
[Line Graph Omitted]
Plot Points are as follows:
SIMT Large Cap Frank Russell 1000 S&P 500/
Growth Fund Growth Index BARRA Growth Index
12/31/94 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
9/98 24,049 24,124 26,690
1 FOR THE PERIOD ENDED 9/30/98. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 12/20/94.
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
TAX MANAGED LARGE
CAP FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--ALLIANCE CAPITAL MANAGEMENT, L.P.
MELLON EQUITY ASSOCIATES, L.L.P.
SANFORD C. BERNSTEIN & CO., INC.
OBJECTIVE
The investment objective of the Tax Managed Large Cap Fund (the "Fund") is
capital appreciation by investing in the equity securities of large companies.
The Fund attempts to maximize after-tax returns to investors through lower
turnover and tax management techniques.
STRATEGY
With respect to this Fund, SEI Financial Management Corporation employs a
multi-manager structure to gain exposure to the entire U.S. large cap market,
adding value through stock selection in a tax-aware framework while minimizing
risk in the form of capitalization, valuation and economic sector exposures.
Assets of the Fund 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 to the Fund. Alliance Capital Management, L.P. invests in the
large cap growth area of the market employing tax-aware trading techniques.
Sanford C. Bernstein & Co., Inc. invests in the large-cap value area of the
market utilizing a sophisticated tax-aware optimizer to manage after-tax return
and risk exposures. Mellon Equity Associates, L.L.P. invests in both value and
growth large-cap stocks through a quantitative process and aggressively harvests
tax-losses in the Fund. Each of the aforementioned managers is weighted to
minimize uncompensated style and industry risks relative to a broad-based large
cap benchmark.
ANALYSIS
The Fund commenced operations in March of 1998. During the period ended
September 30, 1998 the Fund posted a -3.820% return in a difficult environment
for global stocks. Performance was driven by the overall poor performance of the
market as well as the sector and group weightings in the Fund. Specific stock
selection decisions within sectors and risk control measures helped to mitigate
the losses.
After a strong start to 1998, U.S. stocks gave ground in the third quarter
as the combination of weak market fundamentals, deteriorating economic
conditions in both developed and emerging markets and growing political
uncertainty at home sent the averages tumbling off the highs set in mid July.
From a sector perspective the worst performers were in the finance area as many
banks and brokerages announced trading and hedge fund losses related to the
financial meltdown in Asia, Russia and Latin America. The other laggards were
primarily stocks with strong earnings ties to emerging economies including the
apparel, energy and commodity areas. Among the better performing groups were the
business machines and services areas, which benefited from continued strength in
corporate investment in the U.S. and Europe. In addition, more traditional
defensive groups such as utilities, liquor and tobacco also posted positive
returns.
While the broad market declined over the period ended September 30, 1998,
larger com-
4
<PAGE>
- --------------------------------------------------------------------------------
panies continued to perform better than small cap companies in the downturn.
Careful risk control helped to mitigate losses over the period as the Fund
avoided the smaller companies which fell more sharply. In addition, specific
stock selection decisions by the sub-advisors in the business machines,
insurance, retail and commodities areas also helped to limit the losses. From a
tax management perspective, the Fund exploited the volatile market environment
by aggressively harvesting losses in the Fund.
The current Fund is well positioned to exploit an economic environment of
slower economic growth and lower interest rates as the broad diversification and
careful risk control should help to moderate market volatility. The Fund
continues to target a style neutral position to the Russell 1000 Index which
controls unnecessary risk and puts the focus on stock selection from the
specialist sub-advisers who evaluate all fund transactions in a tax-sensitive
manner.
- --------------------------------------------------------------------------------
TAX MANAGED LARGE CAP
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Cumulative
Inception to Date Inception to Date
- --------------------------------------------------------------------------------
-6.58% -3.82%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN
THE TAX-MANAGED LARGE CAP FUND, VERSUS THE FRANK RUSSELL
1000 INDEX
[Line Graph Omitted]
Plot Points are as follows:
SIMT TAX-MANAGED LARGE CAP FUND
FRANK RUSSELL 1000 INDEX
3/98 10,000 10,000
9/98 9,151 9,193
1 FOR THE PERIOD ENDED 9/30/98. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 3/4/98.
SMALL CAP VALUE FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--1838 INVESTMENT ADVISORS, L.P.
BOSTON PARTNERS ASSET MANAGEMENT, L.P.
LSV ASSET MANAGEMENT, L.P.
MELLON EQUITY ASSOCIATES, L.L.P.
OBJECTIVE
The Small Cap Value Fund (the "Fund") seeks to provide capital
appreciation by investing in equity securities of smaller companies. The Fund
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 Fund, 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 Fund is jointly
sub-advised by four investment managers. Assets of the Fund are strategically
allocated among its four sub-advisers, each of which has a responsibility for
stock selection for its respective assets under management.
Through various investment approaches, each sub-advisor contributes a
particular expertise or sub-style to the Fund. 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, L.P. invests in companies trading at deep discounts
to their intrinsic value that have exhibited some catalyst to turn around
performance. Mellon Equity Associates,
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
L.L.P. adheres to a tightly risk-controlled philosophy that focuses on stock
selection while maintaining portfolio characteristics very close to that of the
Russell 2000 Value Index. Each of the aforementioned sub-styles assumes a
different importance in determining overall style risk and must therefore be
weighted accordingly.
ANALYSIS
The Fund posted a -13.68% return for the fiscal year ended September 30,
1998. There were some changes in the Fund over the fiscal year as Mellon Equity
Associates, L.L.P. was added in September of 1998. This addition brought Fund
characteristics more in line with the Russell 2000 Value Index.
Small cap value stocks fared far better than small cap growth stocks for
the year, primarily due to their heightened sensitivity to interest rates.
Declining interest rates benefited the financials, on a relative basis, to which
the value component is much more heavily exposed. Utilities posted the best
relative performance followed closely by banks and insurance companies. Oil
related stocks and business machine stocks turned in the worst relative results
in the face of declining worldwide demand and weak pricing environments.
The Fund benefited from its overweight to the retail sector during the
fiscal year, but was negatively impacted by its overweight to business machines
as well as its underweight to utilities. Stock selection was strong in business
machines and air transportation, with both adding substantially to performance.
Stock selection in producer goods and drugs & medicine detracted from the year's
results.
The Fund 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 Fund 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-advisors.
- --------------------------------------------------------------------------------
SMALL CAP VALUE
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Year Annualized Annualized
Return 3 Year Return Inception to Date
- --------------------------------------------------------------------------------
-13.68% 12.09% 15.45%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SMALL CAP VALUE
FUND, VERSUS THE FRANK RUSSELL 2000 VALUE INDEX
[Line Graph Omitted]
Plot Points are as follows:
SIMT SMALL CAP VALUE FUND RUSSELL 2000 VALUE INDEX
12/31/94 10,000 10,000
9/95 11,889 12,219
9/96 13,180 13,866
9/97 19,396 19,780
9/98 16,742 17,250
1 FOR THE PERIOD ENDED 9/30/98. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 12/20/94.
SMALL CAP GROWTH FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--FURMAN SELZ CAPITAL MANAGEMENT, L.L.C.
NICHOLAS-APPLEGATE CAPITAL MANAGEMENT, INC.
ROBERTSON STEPHENS INVESTMENT MANAGEMENT
WALL STREET ASSOCIATES
OBJECTIVE
The Small Cap Growth Fund (the "Fund") seeks to provide long-term capital
appreciation by investing in equity securities of smaller companies. The Fund
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.
6
<PAGE>
- --------------------------------------------------------------------------------
STRATEGY
With respect to this Fund, 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 Fund is jointly
sub-advised by four investment managers. Assets of the Fund are strategically
allocated among its four sub-advisers, each of whom has a responsibility for
stock selection for its respective assets under management.
Through various investment approaches, each sub-advisor contributes a
particular expertise or sub-style to the Fund. Furman Selz Capital Management,
L.L.C. invests primarily in stocks exhibiting relative price strength trading at
attractive valuations. 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. Robertson Stephens
Investment Management pursues an investment strategy which focuses on emerging
growth companies that exhibit very high revenue growth. 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 Fund posted a -26.53% return for the fiscal year ended September 30,
1998. There were some changes in the Fund over the fiscal year as First of
America Investment Corp. was terminated in March of 1998 due to organizational
issues. They were replaced by Robertson Stephens Investment Management the same
month. This transition boosted the Fund's emerging growth exposure while
maintaining valuation characteristics 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 1998 as the Asian Crisis led to numerous earnings
disappointments targeting formerly fast growing companies. Additionally, mutual
fund flows favored larger, more liquid names. The worldwide collapse in
commodity prices reversed the performance of one of last years stellar
performers, oil service stocks. On a relative basis all commodity related
industries lagged for the year due to pricing weakness. Apparel and retailers
also lagged due to a decline in worldwide demand and fears of a developing
slowdown here in the U.S. The continued decline in interest rates helped to make
financials the strongest performers on a relative basis. Banks, insurance
companies and miscellaneous finance stocks all benefited from the trend.
Business service stocks, led by internet-related stocks, also provided returns
substantially above the benchmark.
The Fund's returns were hurt during the fiscal year by an overweight in
the apparel sector and an underweight in the media sector of the market. The
Fund's heavy overweighting in the business services sector and the underweight
to the energy sector paid off for the year on a relative basis. Stock selection
in the business services area was a positive contributor for the year, but was
offset by weak stock selection in both electronics and producer goods.
Technology hardware and components vendors were hard hit by the weakness in Asia
and the overall excess manufacturing capacity that has developed throughout the
world. Together these two factors led to slackening demand and weak pricing, not
a healthy combination.
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
The Fund 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 Fund 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-advisors.
- --------------------------------------------------------------------------------
SMALL CAP GROWTH
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year 3 Year 5 Year Annualized
Return Return Return Inception to Date
- --------------------------------------------------------------------------------
Class A -26.53% 2.91% 9.13% 13.60%
- --------------------------------------------------------------------------------
Synthetic Class D -26.74% 2.54% 8.78% 9.93%*
- --------------------------------------------------------------------------------
Synthetic Class D,
w/lood -30.40% 0.81% 7.67% 8.66%*
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SMALL CAP
GROWTH FUND, CLASS A AND CLASS D (SYNTHETIC), VERSUS THE FRANK RUSSELL 2000
GROWTH INDEX, THE S&P 500 COMPOSITE INDEX, AND THE WILSHIRE SMALL GROWTH INDEX
[Line Graph Omitted]
Plot Points are as follows:
SMALL CAP GROWTH FRANK RUSSELL
SIMT SMALL CAP SYNTHETIC CLASS D 2000 S&P 500 WILSHIRE SMALL
GROWTH FUND W/LOAD GROWTH INDEX COMPOSITE INDEX GROWTH 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 24,842 17,909 18,663 20,835
9/97 30,943 29,016 22,092 26,208 27,092
9/98 22,734 21,257 16,607 28,583 19,904
1 FOR THE PERIOD ENDED 9/30/98. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE. CLASS A AND CLASS D SHARES OF THE FUND 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.
* ACTUAL, NOT SYNTHETIC.
MID-CAP FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--MARTINGALE ASSET MANAGEMENT, L.P.
OBJECTIVE
The Mid-Cap Fund(the "Fund") seeks to provide long-term capital
appreciation by investing primarily in equity securities of mid-sized companies.
STRATEGY
The Fund'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 Fund which will tend to have a higher
than average price-to-earnings ratio, price-to-book ratio, and return on equity,
and a lower than average dividend yield.
ANALYSIS
The Fund posted an -15.41% return for the fiscal year ended September 30,
1998 as the crises in international economies coupled with the continued
earnings growth success of larger companies put severe downward pressure on
mid-cap companies. Additionally, the performance relative to its benchmark was
lower due to weak security selection in technology, food and producer goods
companies.
U.S. economic conditions remain quite healthy though international
economies are quite weak with many emerging countries in recessions. The effects
of this environment are reflected in the performance of companies as a result of
their size and industry. Larger companies held up much better than smaller
companies and mid-cap companies performed quite poorly. Further, industries
related to global prosperity such as basis chemicals, paper, steel,
transportation and energy came under severe pressure while industries resilient
to economic swings such as technology, healthcare, tobacco, retail and utilities
performed better.
Selection of the individual securities detracted from performance across
multiple industries. Holdings in technology performed poorly as a result the
severe slowdown in global consumption of electronic technologies
8
<PAGE>
- --------------------------------------------------------------------------------
such as those provided by Western Digital, Arrow Electronics, National
Semiconductor and Tektronix. Additionally, producer goods companies such as Case
Equipment, FMC, Aeroquip-Vickers and Agco experienced a slowdown in the
consumption of their products as well.
The health of the global economy is in a delicate period as many emerging
economies work through their troubles. However, the economies of the developed
countries are quite healthy. In addition, the global financial services sector
is relatively healthy and is seen as critical to the recovery of the world's
current economic difficulties. As a result, the mid-cap sector of the market
will likely rebound and provide improved returns in the future.
- --------------------------------------------------------------------------------
MID-CAP
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized
One Year 3 Year 5 Year Annualized
Return Return Return Inception to Date
- --------------------------------------------------------------------------------
-15.41% 12.00% 9.11% 11.81%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE MID-CAP FUND,
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
SIMT RUSSELL MID-CAP S&P 500 WILSHIRE MID-CAP
MID-CAP FUND INDEX COMPOSITE INDEX GROWTH 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
9/98 18,215 21,025 26,076 18,368
1 FOR THE PERIOD ENDED 9/30/98. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 2/16/93.
CAPITAL APPRECIATION FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--STI CAPITAL MANAGEMENT, N.A.
OBJECTIVE
The Capital Appreciation Fund(the "Fund") 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 Fund
based on factors believed to be favorable for long-term appreciation, such as
historical returns on equity and earnings growth rates. Holdings in the Fund are
rotated between various market sectors based on economic analysis of the
business cycle.
STRATEGY
The investment management process followed by the sub-adviser emphasizes
business cycle analysis, sector rotation and stock selection. The sub-adviser
identifies market sectors that appear undervalued and/or are outperforming other
sectors during a specific interval in the business cycle. The sub-adviser then
selects securities with a history of growth and a P/E ratio below comparable
companies in that market sector. Trading ranges are assigned for the prices of
these companies and these companies are actively traded while the sector remains
in favor. As a sector's favor changes over the business cycle, holdings are
shifted into the sectors showing the most potential for return.
ANALYSIS
The Fund posted a 7.08% return for the fiscal year ended September 30,
1998. Against substantial pressures from numerous extremely weak international
economies, the fund, as well as the broad U.S. equity market, managed modest
gains.
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
Strong corporate earnings growth for large companies coupled with a flight
to quality due to the uncertainty in the overseas markets continued to push
larger stocks higher than small stocks. Further, controlled inflation and robust
economic growth also benefited the larger companies. Additionally, large growth
companies did significantly better than the other areas of the market.
Collectively, these factors helped the performance of the fund.
Returns within sectors were quite differentiated with energy, telephone,
healthcare, tobacco and technology stocks demonstrating considerable returns
while apparel, electronics, papers and steel stocks suffered sharp declines.
The Fund's largest weightings include healthcare, retail, technology and
financial services companies while having minor investments in utilities,
capital goods and oil companies. The Fund is diversified across economic sectors
as well as through its more than 120 holdings.
- --------------------------------------------------------------------------------
CAPITAL APPRECIATION
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
7.08% 20.57% 15.82% 16.18% 15.43%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE CAPITAL
APPRECIATION FUND, VERSUS THE S&P 500 COMPOSITE INDEX, AND THE S&P 500/BARRA
GROWTH INDEX
[Line Graph Omitted]
Plot Points are as follows:
SEI S&P 500
CAPITAL APPREICATION FUND COMPOSITE INDEX S&P 500/BARRA GROWTH INDEX
9/88 10,000 10,000 10,000
9/89 13,743 13,294 13,485
9/90 12,953 12,067 12,760
9/91 17,058 15,820 17,279
9/92 18,934 17,574 19,219
9/93 21,492 19,848 19,904
9/94 21,468 20,581 21,277
9/95 25,554 26,693 28,017
9/96 31,211 32,117 34,198
9/97 41,829 45,102 48,383
9/98 44,791 49,188 57,175
1 FOR THE PERIOD ENDED 9/30/98. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 3/1/88.
EQUITY INCOME FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--HIGHMARK CAPITAL MANAGEMENT, (FORMERLY
PACIFIC ALLIANCE CAPITAL MANAGEMENT)
OBJECTIVE
The Equity Income Fund (the "Fund") seeks to provide current income and
long-term growth of capital through a diversified portfolio of common stocks.
The Fund 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 Fund is managed to provide a yield which is approximately
120 to 200 basis points above the yield on the S&P 500 Index. Securities which
have favorable long-term fundamental characteristics are selected for the Fund
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 is a candidate to 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 Fund is typically a low 30% per year.
ANALYSIS
The Fund posted an 1.51% return for the fiscal year ended September 30,
1998 as its defensive strategy protected the Fund from losses in a difficult
environment though it did not fully participate in the returns available in the
broad market.
Weakness in the global economy adversely effected the largest sector
exposure in the Fund, financial services companies. The money center banks and
to a lessor degree the regional banks
10
<PAGE>
- --------------------------------------------------------------------------------
as well as brokerage firms were hit especially hard due to their direct and
indirect exposures to ailing international economies in Asia, Russia and
Latin America.
Industry performance was mixed with a large divergence between the various
areas of the market. Many areas of the market such as autos, retail, tobacco,
phones, media and healthcare were up sharply while papers, energy, electronics,
oil and banks were off sharply. Performance for most industries was determined
by their dependence on a healthy global economy and therefore most commodity and
financial services companies were hit especially hard.
The Fund is diversified across multiple sectors and participated in both
the weakest areas of the market as well as the most profitable areas of the
market resulting in modest gains during the fiscal year. In addition to the
financial services sector, the Fund is heavily weighted in healthcare, oil,
telephones and media companies. Individual security selection was mixed with
strong selection in foods, oils, autos and banks companies though the gains were
offset by weak selection in media, retail, phones and technology companies.
Going forward, the Fund's diversification into mostly defensive positions
is expected to protect it from experiencing severe losses compared to the market
though it is not likely to fully participate in a strong market.
- --------------------------------------------------------------------------------
EQUITY INCOME
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
1.51% 16.98% 14.76% 14.31% 14.30%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE EQUITY INCOME
FUND, 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
SIMT Equity Russell 1000 S&P 500
Income Fund Value Index Composite Index S&P 500/BARRA Value Index
9/88 10,000 10,000 10,000 10,000
9/89 12,853 12,839 13,294 13,048
9/90 10,922 10,878 12,067 11,275
9/91 14,425 14,026 15,820 14,316
9/92 16,301 15,765 17,574 15,856
9/93 19,127 19,801 19,848 19,425
9/94 19,332 19,668 20,581 19,532
9/95 23,778 25,114 26,693 24,942
9/96 28,099 29,622 32,117 29,594
9/97 37,500 42,158 45,102 41,198
9/98 38,067 43,676 49,188 41,120
1 FOR THE PERIOD ENDED 9/30/98. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 6/2/88.
BALANCED FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--STI CAPITAL MANAGEMENT., N.A.
OBJECTIVE
The Balanced Fund (the "Fund") 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 Fund seeks to minimize losses during falling equity markets while realizing
strong returns in rising markets.
STRATEGY
The manager views equities as the primary source of return in balanced
portfolios, with fixed income instruments primarily providing stability and
diversification. The Fund combines a core group of demonstrated growth stocks
with securities selected through business cycle analysis and sector rotation.
This
11
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
approach tends to result in a fund of large capitalization stocks with price-to
- -earnings ratios, growth rates and returns on equity higher than the market
averages. Fixed income selection attempts to provide fund stability and
incremental return by identifying inexpensive areas of the yield curve and
improving corporate credits.
ANALYSIS
The Fund posted a 9.49% return for the fiscal year ended September 30,
1998. The fixed income allocation benefited significantly from steadily lower
interest rates while the equity allocation experienced substantial pressures
from numerous extremely weak international economies.
Subdued inflation, controlled economic growth and a flight to quality due
to the uncertainty in the overseas markets pushed interest rates lower and
prices of fixed income securities higher. Additionally, strong corporate
earnings growth for large companies pushed larger stocks higher than small
stocks. Further, large growth companies did significantly better than the other
areas of the market. Collectively, these factors helped the performance of the
Fund.
Returns within the equity sectors were quite differentiated with energy,
telephone, healthcare, tobacco and technology stocks demonstrating considerable
returns while apparel, electronics, papers and steel stocks suffered sharp
declines.
The Fund's largest equity weightings include healthcare, retail,
technology and financial services companies while having minor investments in
utilities, capital goods and oil companies. The Fund is diversified across
economic sectors as well as through its more than 120 holdings.
- --------------------------------------------------------------------------------
BALANCED
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Year Annualized Annualized Annualized
Return 3 Year Return5 Year Return Inception to Date
- --------------------------------------------------------------------------------
9.49% 15.51% 11.40% 11.82%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE BALANCED FUND,
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
SIMT S&P 500 Gov't./Corporate S&P 500/
Balanced Fund Composite Index Bond Index BARRA Growth 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 12,850 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 23,050 35,560 18,512 35,963
9/98 25,237 38,782 20,888 42,497
1 FOR THE PERIOD ENDED 9/30/98. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 8/7/90.
CORE FIXED INCOME FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--WESTERN ASSET MANAGEMENT COMPANY
FIRSTAR INVESTMENT RESEARCH &
MANAGEMENT COMPANY, L.L.C.
BLACKROCK FINANCIAL MANAGEMENT, INC.
OBJECTIVE
The Core Fixed Income Fund (the "Fund") seeks to provide current income by
investing in a diversified portfolio of fixed income securities while also
limiting fluctuations in principal value. The Fund invests in every sector of
the fixed income universe, including Treasuries, agencies, mortgage-backed
issues, investment-grade corporates, and Yankee bonds.
STRATEGY
With respect to this Fund, SEI Investments Management Corporation employs
a multi-manager structure. The sub-advisers' invest-
12
<PAGE>
- --------------------------------------------------------------------------------
ment 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 fund structure: duration
weighting, term structure, sector allocation, and issue selection. While the
duration and term structure decision underlie the implementation process, the
advisers primarily concentrate on sector and issue selection to add value. In
addition, the sub-advisers may use futures and options primarily for tactical
hedging purposes and to implement portfolio strategies more efficiently.
ANALYSIS
The Fund posted an 11.42% return for the fiscal year ended September 30,
1998, slightly underperforming the Lehman Aggregate Bond Index return of 11.5%
over the same period. The U.S. Treasury market experienced strong performance
throughout the period, benefiting from "safe-haven" status during a period of
global capital market volatility. Despite news of continued strong domestic
growth, yields plummeted across the curve based upon expectations of a slowdown
due to global economic factors. At the end of the fiscal period, the Fed
executed one 25 basis point lowering of the federal funds rate in an effort to
keep recessionary dangers at bay. Additional Fed movements were also priced into
the market, with expectations that the Fed would continue on this track of
easier monetary policy in order to enhance global liquidity. Throughout the
period, 30-year bond yields declined 1.44%, reaching a 30-year low of 4.97% by
period's end. Yields on intermediate maturity securities declined even further,
benefiting the most from expectations of easier monetary policy. 2- and 5-year
yields declined 1.51% and 1.76%, respectively, resulting in a steeper yield
curve. The Fund's modestly longer duration posture, maintained between 105% and
110% of benchmark exposure throughout the period, contributed strongly to
performance. However, a barbell yield curve exposure, which de-emphasized
intermediate securities in favor of a combination of long and short maturities,
hindered relative gains.
Overweights to the higher-yielding corporate and mortgage-backed sectors
throughout the period detracted from performance as both of these sectors
significantly underperformed U.S. Treasuries on both an absolute and
duration-adjusted basis. Investment-grade corporate securities posted the worst
broad sector performance for the period, as credit spread levels gapped to their
widest levels since 1990-1991 in most industries. A variety of factors
negatively impacted corporate performance, including equity market volatility,
lowered earnings expectations, record levels of supply, and political
uncertainty. The Yankee and Finance sub-sectors suffered the most during the
period, negatively impacted by the global economic crisis and concerns over loan
exposures and/or market-related losses in Russia and other downtrodden markets.
Lower credit quality securities and long-maturity bonds also suffered relative
to their higher quality and shorter maturity peers. A slight overweight to
corporate securities combined with security selection within the Yankee sector
detracted from relative Fund performance. Mortgage-backed securities also lagged
Treasuries by a wide margin as prepayment and new supply fears swept the market.
The yield on 10-year Treasuries, often used as a benchmark for
13
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
mortgage rates, declined by 1.70% to 4.41%. This sharp decline in rates spurred
a significant increase in new home buying and refinancing activity, thus
escalating prepayments on existing mortgages. Rumors of hedge fund
mortgage-backed securities liquidations circulated in the markets towards the
end of the period, further widening spreads and negatively impacting market
liquidity. An overweight to mortgage-backed securities hindered results for the
period, while an emphasis in discount coupon structures benefited performance.
- --------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------
11.42% 8.53% 6.99% 8.45% 8.30%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE CORE FIXED
INCOME FUND, VERSUS THE LEHMAN AGGREGATE BOND INDEX
SIMT CORE FIXED INCOME FUND LEHMAN AGGREGATE BOND INDEX
9/88 10,000 10,000
9/89 10,939 11,126
9/90 11,659 11,966
9/91 13,211 13,879
9/92 14,780 15,623
9/93 16,050 17,182
9/94 15,191 16,629
9/95 17,602 18,968
9/96 18,396 19,894
9/97 20,198 21,831
9/98 22,505 24,342
1FOR THE PERIOD ENDED 9/30/98. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 5/4/87.
HIGH YIELD BOND FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--BEA ASSOCIATES
OBJECTIVE
The High Yield Bond Fund (the "Fund") seeks to maximize total return by
investing primarily in a diversified fund 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
Fund 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 Fund posted a 2.25% return for the fiscal year ended September 30,
1998.
It was a volatile year for the high yield market as global macro-economic
concerns eventually humbled the market. At the onset of the year, the high yield
market exhibited signs of strength amid the outlook for economic growth, low
inflation, strong company fundamentals, and a strong equity market. New issuance
continued to flourish and was met with avid investor demand. The Southeast Asian
debacle surfaced early in the year, and thus put downward pressure on certain
sectors and in particular the packaging sector. Ironically, the high yield
market was the benefactor of "flight-to-quality" moves from emerg-
14
<PAGE>
- --------------------------------------------------------------------------------
ing market investors as the emerging debt market was the first market to
feel the negative impact of global market turmoil. However, during the second
half of the year, the high yield market followed on the heels of the equity
market and was not able to keep pace with the rallying Treasury market.
Swelling supply levels, the influence of growing financial crises in
Japan, Russia, and certain Latin American countries, in addition to the existing
Asian contagion, all contributed to a turnaround in the high yield market's
performance. New supply virtually came to a halt, and investors fled the high
yield market on concern that the economy was poised for a slowdown. As a credit
crunch evolved in the global markets, liquidity dissolved in the high yield
market and spreads widened dramatically. High yield spreads, relative to the
10-year Treasury, widened 335 basis points from the close of the prior year and
stood at 691 basis points at the end of the period.
The Fund maintained its thematic sector approach, coupled with diligent
security selection. The primary driver of performance for the year was the
Fund's avoidance of fundamentally weaker credits, in addition to non-investment
in those issues that had exposure to Southeast Asia and emerging countries.
Overall, the Fund continued to overweight the communications sector given
the outlook that merger and acquisition (M&A) activity would continue within the
sector. The intended AT&T and Tele-Communications merger, in addition to
Worldcom's acquisition of MCI, lent support and encouragement to the industry.
During the year, Fund holdings such as Qwest Communications and Orion Network
gained in price after these companies were acquired. Wireless issues ADV Telecom
and Winstar added to return on increased subscriber growth and a favorable
investor outlook. At the close of the period, the Fund's investment in more
financially sound telecommunication companies largely benefited performance.
Within the gaming sector, consolidation in the casino industry, in
addition to improved gaming revenues, bolstered the Fund's return. Issues held
by the Fund that rallied in price during the year on M&A activity and stronger
revenues included Harvey's Casino and Casino Magic, and Ameristar Casino and
Santa Fe Hotel, respectively. The allocation to Atlantic City gaming bonds was
significantly reduced due to increased competition and near-market capacity.
Also boosting return, especially in the wake of increased market volatility, was
the Fund's overweight to the gaming sector. The gaming sector is viewed as a
more defensive sector.
The Fund's non-investment in Asian-related securities within the packaging
sector positively contributed to return for the year. The drop in currency
values drove Asian pulp and paper companies' product prices down which
ultimately put pricing pressure on domestic companies. The Fund's underweight to
the paper and pulp sub-sector fueled return. Instead, a concentration in the
packaging sub-sector was maintained. Holdings in Stone Container aided return as
Stone focused on deleveraging during the year and announced its intention to
merge with Jefferson Smurfit, another packaging company.
Given the expectation for slower global growth, recent volatility in the
market, and the outlook that the high yield market will remain
15
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
unstable in the near-term, the Fund will focus on purchasing those securities
in more liquid and defensive sectors such as cable, gaming, and communications.
- --------------------------------------------------------------------------------
HIGH YIELD BOND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
One Year Annualized Annualized
Return 3 Year Return Inception to Date
- --------------------------------------------------------------------------------
2.25% 10.83% 12.13%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE HIGH YIELD BOND
FUND, VERSUS THE CS FIRST BOSTON HIGH YIELD INDEX
SIMT
HIGH YIELD BOND FUND CS FIRST BOSTON HIGH YIELD INDEX
1/31/95 10,000 10,000
9/95 11,254 11,292
9/96 12,994 12,508
9/97 14,982 14,474
9/98 15,319 14,399
1 FOR THE PERIOD ENDED 9/30/98. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 1/11/95.
16
<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 or statements of
assets and liabilities, including the schedules of investments, and the related
statements of operations, changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of Large Cap
Value, Large Cap Growth, Tax Managed Large Cap, Small Cap Value, Small Cap
Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, Core Fixed
Income and High Yield Bond Funds (constituting SEI Institutional Managed Trust,
hereafter referred to as the "Trust") at September 30, 1998, the results of each
of their operations, the changes in their net assets and the financial
highlights for the periods presented, 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, 1998 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 20, 1998
17
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
LARGE CAP VALUE FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 95.3%
AEROSPACE & DEFENSE -- 1.2%
Cordant Technologies 133,200 $ 5,636
Gencorp 113,900 2,193
Litton Industries* 150,400 9,024
---------
16,853
---------
AIR TRANSPORTATION -- 1.1%
AMR* 148,700 8,244
Delta Air Lines 29,500 2,869
UAL* 56,700 3,675
---------
14,788
---------
AIRCRAFT -- 0.8%
Textron 74,900 4,541
United Technologies 88,900 6,795
---------
11,336
---------
APPAREL/TEXTILES -- 0.4%
Springs Industries, Cl A 34,200 1,188
VF 114,300 4,243
---------
5,431
---------
AUTOMOTIVE -- 3.8%
Chrysler 252,600 12,093
Eaton 90,100 5,648
Ford Motor 576,600 27,064
General Motors 72,700 3,976
Navistar International* 148,000 3,348
Paccar 33,600 1,384
---------
53,513
---------
BANKS -- 11.8%
Amsouth Bancorp 153,250 5,230
Astoria Financial 76,600 3,227
BankAmerica 166,200 9,993
Bankers Trust New York 48,001 2,832
Chase Manhattan 589,800 25,509
Comerica 195,900 10,738
Commerce Bancshares 79,700 3,138
First Chicago 195,800 13,412
Golden West Financial 59,900 4,901
JP Morgan 47,800 4,045
KeyCorp 286,900 8,284
MBNA 213,800 6,120
NationsBank 648,600 34,700
PNC Bank 362,600 16,317
Republic New York 100,800 3,982
Star Banc 135,500 8,960
SunTrust 89,500 5,549
---------
166,937
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BUILDING & CONSTRUCTION -- 0.6%
Centex 218,200 $ 7,528
Fluor 12,200 501
---------
8,029
---------
CHEMICALS -- 4.7%
Dow Chemical 427,300 36,507
Eastman Chemical 89,600 4,519
Millenium Chemicals 298,300 5,556
Nalco Chemical 62,800 1,853
PPG Industries 93,700 5,113
Praxair 198,000 6,472
Union Carbide 131,300 5,662
---------
65,682
---------
COMMUNICATIONS EQUIPMENT -- 1.6%
GTE 237,700 13,073
Harris 107,900 3,453
Sprint 80,400 5,789
---------
22,315
---------
COMPUTERS & SERVICES -- 3.9%
Apple Computer* 203,500 7,758
IBM 232,400 29,747
Lexmark* 134,500 9,323
Quantum* 291,200 4,623
Unisys* 153,000 3,481
---------
54,932
---------
CONCRETE & MINERAL PRODUCTS -- 0.1%
Owens-Corning Fiberglass 50,500 1,644
---------
DRUGS -- 1.4%
American Home Products 4,500 236
Bristol-Myers Squibb 3,900 405
Johnson & Johnson 54,500 4,265
Perrigo* 231,700 2,114
Schering Plough 79,800 8,264
Warner Lambert 58,300 4,402
---------
19,686
---------
ELECTRICAL SERVICES -- 8.2%
Allegheny Energy 116,500 3,677
American Electric Power 179,300 8,752
Baltimore Gas & Electric 199,500 6,658
Central & South West 121,900 3,482
Consolidated Edison 119,800 6,245
DTE Energy 83,400 3,769
Edison International 187,100 4,806
Energy East 161,600 8,242
FirstEnergy* 110,900 3,445
FPL Group 113,400 7,903
Houston Industries 31,645 985
18
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Illinova 75,100 $ 2,154
Marketspan 54,652 1,568
PG&E 278,559 8,896
Pinnacle West Capital 327,700 14,685
Public Service Enterprise Group 182,400 7,171
Scana 156,600 5,256
Southern 255,700 7,527
Unicom 291,300 10,887
---------
116,108
---------
ELECTRICAL TECHNOLOGY -- 0.0%
Thomas & Betts 14,900 567
---------
ENTERTAINMENT -- 0.0%
Bally Total Fitness* 13,450 234
---------
ENVIRONMENTAL SERVICES -- 0.3%
Waste Management 77,200 3,710
---------
FINANCIAL SERVICES -- 2.9%
American Express 40,800 3,167
Bear Stearns 120,130 3,717
FirstPlus Financial Group* 184,300 2,108
FNMA 147,200 9,458
Lehman Brothers Holding 113,700 3,212
Morgan Stanley 118,600 5,107
SLM Holding 109,700 3,558
Transamerica 100,600 10,664
---------
40,991
---------
FOOD, BEVERAGE & TOBACCO -- 2.9%
Adolph Coors, Cl B 107,200 4,924
General Mills 124,500 8,715
Hormel Foods 5,200 141
Philip Morris 342,825 15,791
Ralston-Ralston Purina Group 199,800 5,844
RJR Nabisco 219,100 5,519
---------
40,934
---------
GAS/NATURAL GAS -- 1.1%
Coastal 224,900 7,590
Consolidated Natural Gas 80,000 4,360
National Fuel & Gas 80,100 3,765
---------
15,715
---------
GLASS PRODUCTS -- 0.1%
Corning 41,000 1,207
---------
HOTELS & LODGING -- 0.3%
Promus Hotel* 150,200 4,140
---------
HOUSEHOLD PRODUCTS -- 0.9%
Maytag 164,700 7,864
Whirlpool 105,500 4,958
---------
12,822
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
INSURANCE -- 10.2%
Aetna 164,800 $ 11,454
Allstate 403,600 16,825
Ambac 206,100 9,893
American General 260,600 16,646
Chubb 156,700 9,872
Cigna 289,800 19,163
Exel Ltd., Cl A* 131,400 8,278
Foundation Health Systems, Cl A* 26,600 249
Lincoln National 68,500 5,634
MBIA 76,200 4,091
Old Republic International 359,750 8,094
Orion Capital 120,100 4,286
Pacificare Health Systems, Cl B* 44,900 3,345
Safeco 151,700 6,324
St. Paul 297,478 9,668
SunAmerica 96,000 5,856
Travelers 109,300 4,099
---------
143,777
---------
MACHINERY -- 1.7%
Aeroquip-Vickers 109,800 3,157
Caterpillar 193,500 8,623
Cummins Engine 61,600 1,833
Ingersoll Rand 165,000 6,260
NACCO Industries, Cl A 25,900 2,590
Timken 136,700 2,068
---------
24,531
---------
MEASURING DEVICES -- 0.1%
Mallinckrodt 70,300 1,428
---------
MEDICAL PRODUCTS & SERVICES -- 0.3%
Healthsouth Rehabilitation* 263,200 2,780
NovaCare* 278,700 854
---------
3,634
---------
METALS & MINING -- 0.3%
Vulcan Materials 46,500 4,705
---------
MISCELLANEOUS BUSINESS SERVICES -- 0.9%
Oracle Systems* 359,500 10,470
Teradyne* 139,400 2,544
---------
13,014
---------
MISCELLANEOUS MANUFACTURING -- 0.6%
FMC* 35,800 1,846
Tyco International Ltd. 111,600 6,166
---------
8,012
---------
PAPER & PAPER PRODUCTS -- 3.5%
Champion International 119,800 3,751
Consolidated Papers 118,900 2,987
Fort James 257,700 8,456
19
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
LARGE CAP VALUE FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
International Paper 393,450 $ 18,345
Mead 85,800 2,526
Temple-Inland 61,000 2,920
Union Camp 89,900 3,540
Westvaco 97,500 2,340
Willamette Industries 149,200 4,280
---------
49,145
---------
PETROLEUM & FUEL PRODUCTS -- 1.2%
Atlantic Richfield 66,100 4,689
Phillips Petroleum 268,700 12,125
---------
16,814
---------
PETROLEUM REFINING -- 6.7%
Amoco 164,800 8,879
Ashland 147,200 6,808
Exxon 515,200 36,161
Lyondell Petrochemical 143,200 3,186
Mobil 241,950 18,373
Sun 145,100 4,643
Texaco 210,500 13,196
Valero Energy 134,400 2,671
---------
93,917
---------
PHOTOGRAPHIC EQUIPMENT &
SUPPLIES -- 0.4%
Eastman Kodak 78,300 6,054
---------
PRINTING & PUBLISHING -- 1.8%
Bowne 195,600 3,313
Gannett 104,700 5,608
Lafarge 209,900 5,995
Time Warner 117,000 10,245
---------
25,161
---------
RAILROADS -- 1.6%
Burlington Northern Santa Fe 213,400 6,829
Canadian Pacific Ltd. 81,800 1,692
Norfolk Southern 290,400 8,440
Union Pacific 138,625 5,909
---------
22,870
---------
REPAIR SERVICES -- 0.0%
Midas 1 --
Ryder System 18,200 453
---------
453
---------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
RETAIL -- 4.7%
Darden Restaurants 297,400 $ 4,758
Dayton-Hudson 298,200 10,661
Dillards Incorporated, Cl A 101,900 2,885
Federated Department Stores* 144,400 5,253
Great Atlantic & Pacific Tea 73,200 1,775
JC Penney 399,460 17,951
Kmart* 343,400 4,099
May Department Stores 145,975 7,518
Ruddick 107,300 1,824
TJX 254,500 4,533
Toys `R' Us* 285,100 4,615
---------
65,872
---------
RUBBER & PLASTIC -- 1.0%
Goodyear Tire & Rubber 208,800 10,727
Premark International 127,200 3,570
---------
14,297
---------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.8%
Intel 92,000 7,889
National Semiconductor* 306,300 2,967
---------
10,856
---------
SPECIALTY MACHINERY -- 0.6%
American Standard* 144,000 3,798
Cooper Industries 67,200 2,738
Tecumseh Products, Cl A 42,900 2,145
---------
8,681
---------
STEEL & STEEL WORKS -- 1.8%
Alcan Aluminum 286,261 6,709
Aluminum Company of America 197,471 14,020
Asarco 67,600 1,293
Texas Industries 100,900 2,535
---------
24,557
---------
TELEPHONES & TELECOMMUNICATION -- 7.4%
Alltel 76,000 3,600
Ameritech 475,700 22,536
AT&T 328,000 19,167
Bell Atlantic 356,000 17,244
BellSouth 305,400 22,981
MCI WorldCom* 159,600 7,800
SBC Telecommunications 120,000 5,333
US West 114,500 6,004
---------
104,665
---------
TRANSPORTATION SERVICES -- 0.9%
CSX 313,800 13,199
---------
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TRUCKING -- 0.1%
Yellow* 146,700 $ 1,980
----------
WHOLESALE -- 0.6%
BJ Wholesale Club* 95,100 3,495
Safeway* 122,200 5,667
----------
9,162
----------
Total Common Stocks
(Cost $1,324,573) 1,344,358
----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill
5.050%, 11/19/98 (A) $ 2,500 2,486
----------
Total U.S. Treasury Obligation
(Cost $2,482) 2,486
----------
REPURCHASE AGREEMENT -- 1.1%
J.P. Morgan
5.600%, dated 09/30/98,
matures 10/01/98, repurchase
price $15,053,000 (collateralized
by various U.S. Treasury Notes
total par value $9,426,000,
10.625%, 08/15/15, total
market value: $15,353,000) 15,051 15,051
----------
Total Repurchase Agreement
(Cost $15,051) 15,051
----------
MONEY MARKET -- 2.2%
Evergreen Select Money
Market Fund 31,814 31,814
----------
Total Money Market
(Cost $31,814) 31,814
----------
Total Investments -- 98.8%
(Cost $1,373,920) $1,393,709
----------
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD. -- LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
LARGE CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 95.8%
AIRCRAFT -- 1.2%
Allied Signal 77,100 $ 2,727
United Technologies 173,000 13,224
----------
15,951
----------
BANKS -- 4.1%
Chase Manhattan 214,000 9,255
Firstar 128,600 6,510
MBNA 882,525 25,262
NationsBank 302,000 16,157
----------
57,184
----------
BEAUTY PRODUCTS -- 2.6%
Avon Products 304,000 8,531
Colgate-Palmolive 217,100 14,871
Procter & Gamble 170,500 12,095
----------
35,497
----------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.9%
Clear Channel Communications* 122,500 5,819
Cox Communications* 125,100 6,834
----------
12,653
----------
CHEMICALS -- 0.4%
Monsanto 100,600 5,671
----------
COMPUTERS & SERVICES -- 10.7%
America Online* 88,300 9,823
Cisco Systems* 918,150 56,753
Compaq Computer 601,700 19,029
Dell Computer* 943,000 62,002
----------
147,607
----------
DRUGS -- 15.9%
American Home Products 304,800 15,964
Bristol-Myers Squibb 287,000 29,812
Elan, ADR, PLC* 166,000 11,962
Merck 130,000 16,843
Pfizer 472,400 50,045
Schering Plough 535,000 55,406
Warner Lambert 522,700 39,464
----------
219,496
----------
ENTERTAINMENT -- 3.7%
HBO 364,000 10,510
Liberty Media Group, Cl A* 481,000 17,647
Mirage Resorts* 1,073,800 17,986
Walt Disney 218,000 5,518
----------
51,661
----------
21
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
LARGE CAP GROWTH FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 1.1%
Waste Management 314,000 $ 15,092
----------
FINANCIAL SERVICES -- 7.1%
Associates First Capital 263,700 17,206
Charles Schwab 286,100 11,265
FNMA 196,600 12,632
Merrill Lynch 323,400 15,321
Morgan Stanley 291,700 12,561
T. Rowe Price & Associates 423,800 12,449
Travelers 453,100 16,991
----------
98,425
----------
FOOD, BEVERAGE & TOBACCO -- 2.6%
Coca-Cola 369,100 21,269
Philip Morris 308,700 14,219
----------
35,488
----------
GAS/NATURAL GAS -- 0.5%
Enron 118,400 6,253
----------
HOUSEHOLD PRODUCTS -- 4.9%
General Electric 432,000 34,371
Gillette 305,000 11,666
Solectron* 442,000 21,216
----------
67,253
----------
INSURANCE -- 2.2%
American International Group 242,700 18,688
Progressive of Ohio 100,000 11,275
----------
29,963
----------
MACHINERY -- 3.9%
Applied Materials* 493,300 12,456
Tyco International, Ltd. 738,200 40,786
----------
53,242
----------
MEDICAL PRODUCTS & SERVICES -- 2.4%
Health Management
Associates, Cl A* 419,650 7,659
Medtronic 429,800 24,875
----------
32,534
----------
MISCELLANEOUS BUSINESS SERVICES-- 7.2%
Altera* 256,000 8,992
Automatic Data Processing 97,500 7,288
Computer Sciences* 247,300 13,478
Microsoft* 525,700 57,860
Pixar* 66,200 2,590
Sap Aktiengesellschaft ADR* 121,700 4,739
Sungard Data Systems* 118,400 3,730
----------
98,677
----------
MISCELLANEOUS CONSUMER SERVICES -- 0.9%
Robert Half International* 291,600 12,593
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PETROLEUM & FUEL PRODUCTS -- 1.2%
BJ Services* 187,800 $ 3,052
Halliburton 328,000 9,368
Noble Drilling* 329,700 4,863
----------
17,283
----------
PRINTING & PUBLISHING -- 0.5%
Time Warner 86,500 7,574
----------
PROFESSIONAL SERVICES -- 1.2%
Paychex 318,200 16,407
----------
RAILROADS -- 0.5%
Kansas City Southern Industries 187,100 6,548
----------
RETAIL -- 11.2%
Bed Bath & Beyond* 231,000 5,400
Costco* 214,600 10,167
CVS 210,900 9,240
Dayton-Hudson 350,000 12,513
Dollar General 375,978 10,010
Home Depot 1,046,700 41,345
Kohls* 601,800 23,470
Kroger* 96,000 4,800
Lowe's 344,700 10,966
Office Depot* 198,200 4,447
Sodexho Marriott Services* 36,800 1,104
Staples* 224,300 6,589
Wal-Mart Stores 291,000 15,896
----------
155,947
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.3%
Intel 209,700 17,982
----------
TELEPHONES & TELECOMMUNICATION -- 5.3%
Airtouch Communications* 75,900 4,326
LM Ericsson Telephone, ADR 134,800 2,477
Lucent Technologies 388,800 26,852
MCI WorldCom* 810,800 39,628
----------
73,283
----------
WHOLESALE -- 2.3%
Cardinal Health 79,900 8,250
Safeway* 501,600 23,262
----------
31,512
----------
Total Common Stocks
(Cost $1,036,716) 1,321,776
----------
U.S. TREASURY OBLIGATION -- 0.5%
U.S. Treasury Bill
5.050%, 11/19/98 (A) $ 6,450 6,415
----------
Total U.S. Treasury Obligation
(Cost $6,410) 6,415
----------
22
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 1.5%
Ford Motor
5.520%, 10/01/98 $ 5,234 $ 5,234
Prudential Funding
5.350%, 10/01/98 971 971
5.300%, 10/02/98 14,553 14,551
----------
Total Commercial Paper
(Cost $20,756) 20,756
----------
REPURCHASE AGREEMENT -- 0.8%
Morgan Stanley 5.300%, dated
09/30/98, matures 10/01/98,
repurchase price $10,503,000
(collateralized by U.S.
Treasury Note, par value
$10,590,000 5.500%, 02/29/00,
total market value:
$10,764,000) 10,501 10,501
----------
Total Repurchase Agreement
(Cost $10,501) 10,501
----------
MONEY MARKET -- 2.7%
Evergreen Select Money
Market Trust 37,813 37,813
----------
Total Money Market
(Cost $37,813) 37,813
----------
Total Investments -- 101.3%
(Cost $1,112,196) 1,397,261
----------
Other Assets and Liabilities, Net -- (1.3%)
Securities Purchased Payable (26,432)
Other Assets and Liabilities, Net 8,370
----------
Total Other Assets and Liabilities,
Net (18,062)
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value)
based on 65,636,793 outstanding
shares of beneficial interest 1,078,331
Undistributed net investment income 132
Accumulated net realized gain on
investments 13,821
Net unrealized appreciation on
futures 1,850
Net unrealized appreciation on
investments 285,065
----------
Total Net Assets -- 100.0% $1,379,199
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $21.01
==========
* 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
LTD. -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
TAX MANAGED
LARGE CAP FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 94.8%
AEROSPACE & DEFENSE -- 0.2%
Litton Industries* 4,700 $ 282
----------
AIR TRANSPORTATION -- 1.0%
AMR* 9,900 549
FDX* 24,500 1,106
----------
1,655
----------
AIRCRAFT -- 1.3%
Allied Signal 6,700 237
United Technologies 26,700 2,041
----------
2,278
----------
APPAREL/TEXTILES -- 0.4%
VF 16,700 620
----------
AUTOMOTIVE -- 1.5%
Ford Motor 53,500 2,511
----------
BANKS -- 8.2%
Banc One 43,000 1,833
Chase Manhattan 52,400 2,266
Comerica 14,900 817
First Chicago 11,500 788
Golden West Financial 10,300 843
MBNA 42,900 1,228
NationsBank 83,800 4,483
PNC Bank 34,000 1,530
Washington Mutual 7,100 240
----------
14,028
----------
BEAUTY PRODUCTS -- 2.3%
Avon Products 27,700 777
Colgate Palmolive 16,400 1,123
Gillette 34,700 1,327
Procter & Gamble 9,000 638
----------
3,865
----------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.2%
Clear Channel Communications* 6,600 313
----------
CHEMICALS -- 1.7%
Eastman Chemical 13,600 686
FMC* 300 15
Lubrizol 4,000 106
Millenium Chemicals 2,400 45
Nalco Chemical 13,900 410
PPG Industries 7,800 426
Praxair 24,000 784
Rohm & Haas 12,900 359
Union Carbide 3,200 138
----------
2,969
----------
23
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
TAX MANAGED LARGE CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 1.3%
GTE 600 $ 33
Lucent Technologies 24,000 1,657
Tellabs* 11,400 454
----------
2,144
----------
COMPUTERS & SERVICES -- 7.1%
Lexmark 16,000 1,109
Cisco Systems* 65,100 4,024
Compaq Computer 56,900 1,799
Dell Computer* 57,300 3,767
IBM 9,600 1,229
Quantum* 12,000 190
----------
12,118
----------
CONCRETE & MINERAL PRODUCTS -- 0.0%
Owens-Corning Fiberglass 700 23
----------
CONTAINERS & PACKAGING -- 0.5%
Newell 17,300 797
----------
DRUGS -- 8.2%
Abbott Laboratories 28,500 1,238
Amgen* 9,700 733
Bristol-Myers Squibb 28,500 2,960
Merck 12,400 1,607
Pfizer 18,500 1,960
Pharmacia & Upjohn 400 20
Schering Plough 43,300 4,484
Warner Lambert 12,900 974
----------
13,976
----------
ELECTRICAL SERVICES -- 2.2%
Allegheny Energy 5,700 180
American Electric Power 7,500 366
Baltimore Gas & Electric 11,700 390
FPL Group 14,600 1,017
Unicom 34,800 1,301
Wisconsin Energy 11,100 350
----------
3,604
----------
ENTERTAINMENT -- 2.1%
HBO 54,900 1,585
Liberty Media Group, Cl A* 47,300 1,735
Walt Disney 20,000 506
----------
3,826
----------
ENVIRONMENTAL SERVICES -- 0.9%
Waste Management* 30,100 1,447
----------
FINANCIAL SERVICES -- 3.0%
Associates First Capital 20,500 1,338
Bear Stearns 10,700 331
FNMA 9,500 610
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Merrill Lynch 15,000 $ 711
Morgan Stanley 33,300 1,434
SLM Holding 18,700 607
----------
5,031
----------
FOOD, BEVERAGE & TOBACCO -- 4.8%
Anheuser Busch 1,500 81
Coca-Cola 38,500 2,219
General Mills 10,100 707
Interstate Bakeries 22,300 691
Philip Morris 62,100 2,860
Ralston-Ralston Purina Group 5,900 173
RJR Nabisco 22,700 572
Sara Lee 15,300 826
Tyson Foods 2,500 50
----------
8,179
----------
GLASS PRODUCTS -- 0.5%
Corning 30,000 883
----------
HOTELS & LODGING -- 0.2%
Promus Hotel* 9,600 265
----------
HOUSEHOLD PRODUCTS -- 1.7%
Solectron* 44,900 2,155
Whirlpool 15,000 705
----------
2,860
----------
INSURANCE -- 5.7%
Aetna 6,500 452
Allstate 29,500 1,230
American General 12,800 818
American International Group 15,100 1,163
Chubb 21,600 1,361
Cigna 7,020 464
Exel Ltd., Cl A* 7,300 460
Pacificare Health Systems, Cl B* 1,550 115
Safeco 9,900 413
St. Paul 13,000 422
SunAmerica 3,800 232
Transamerica 5,600 594
Travelers 52,200 1,957
----------
9,681
----------
MACHINERY -- 2.9%
Caterpillar 17,700 789
General Electric 46,600 3,708
Ingersoll Rand 13,100 497
----------
4,994
----------
MARINE TRANSPORTATION -- 0.3%
Carnival, Cl A 14,900 474
----------
24
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MEDICAL PRODUCTS & SERVICES -- 1.5%
Becton, Dickinson 12,000 $ 493
Guidant 7,900 587
Healthsouth Corporation* 21,100 223
Medtronic 22,700 1,314
----------
2,617
----------
MISCELLANEOUS BUSINESS SERVICES -- 3.5%
Altera* 24,600 864
Computer Associates
International 15,200 562
Microsoft* 24,000 2,641
Oracle Systems* 27,300 795
Sun Microsystems* 16,500 822
Teradyne* 16,300 297
----------
5,981
----------
MISCELLANEOUS MANUFACTURING -- 1.7%
Tyco International Ltd. 51,400 2,840
----------
PAPER & PAPER PRODUCTS -- 4.0%
Champion International 34,900 1,093
Consolidated Papers 27,700 696
Fort James 8,900 292
International Paper 55,600 2,592
Kimberly-Clark 7,700 312
Mead 4,400 130
Temple-Inland 18,500 886
Union Camp 1,950 77
Westvaco 2,400 58
Willamette Industries 25,000 717
----------
6,853
----------
PETROLEUM & FUEL PRODUCTS -- 1.3%
BJ Services* 11,000 179
Halliburton 33,000 943
Noble Drilling* 30,000 442
Phillips Petroleum 15,300 690
----------
2,254
----------
PETROLEUM REFINING -- 1.3%
Amoco 50,500 2,721
Ashland 11,800 546
Coastal 21,200 716
Exxon 18,300 1,284
Lyondell Petrochemical 24,000 534
Mobil 6,450 490
----------
6,291
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.2%
Eastman Kodak 4,800 371
----------
PRINTING & PUBLISHING -- 0.7%
Lafarge 7,600 217
New York Times, Cl A 9,600 264
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Time Warner 4,100 $ 359
Tribune 7,700 387
----------
1,227
----------
PROFESSIONAL SERVICES -- 0.3%
IMS Health 9,400 582
----------
RAILROADS -- 1.3%
Norfolk Southern 43,600 1,267
Union Pacific 22,000 938
----------
2,205
----------
RETAIL -- 7.5%
Dayton-Hudson 34,100 1,219
Dillards, Cl A 14,800 419
Home Depot 50,300 1,987
JC Penney 44,500 2,000
Kohls* 34,600 1,349
Kroger* 9,100 455
May Department Stores 9,000 464
Tech Data* 2,600 130
The Gap 14,500 765
TJX 39,700 707
Toys `R' Us* 22,600 366
Wal-Mart Stores 51,700 2,824
----------
12,685
----------
RUBBER & PLASTIC -- 2.5%
Dow Chemical 29,300 2,503
Goodyear Tire & Rubber 33,600 1,726
----------
4,229
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.8%
Intel 10,000 858
National Semiconductor* 50,000 484
----------
1,342
----------
SPECIALTY MACHINERY -- 0.2%
American Standard* 15,000 396
----------
STEEL & STEEL WORKS -- 1.4%
Alcan Aluminum 18,800 441
Aluminum Company of America 28,300 2,009
----------
2,450
----------
TELEPHONES & TELECOMMUNICATION -- 3.5%
Ameritech 23,400 1,109
AT&T 23,400 1,367
MCI WorldCom* 69,500 3,397
----------
5,873
----------
TRANSPORTATION SERVICES -- 0.7%
CSX 29,000 1,220
----------
25
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
TAX MANAGED LARGE
CAP FUND--CONCLUDED
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000)VALUE (000))
- --------------------------------------------------------------------------------
WHOLESALE -- 1.8%
Johnson & Johnson 28,700 $ 2,246
Safeway* 16,700 774
----------
3,020
----------
Total Common Stocks
(Cost $173,584) 161,259
----------
TREASURY BILL -- 0.7%
U.S. Treasury Bill
5.050%, 11/19/98 (A) $1,175 1,169
----------
Total Treasury Bill
(Cost $1,167) 1,169
----------
COMMERCIAL PAPER -- 3.9%
Prudential Funding
5.350%, 10/01/98 6,605 6,605
----------
Total Commercial Paper
(Cost $6,605) 6,605
----------
REPURCHASE AGREEMENT -- 4.0%
Morgan Stanley 5.330%, dated
09/30/98, matures 10/01/98,
repurchase price $6,830,000
(collateralized by FHLB,
par value $13,190,000,
0.00%-7.350%, 12/03/12-
08/11/17, total market
value: $7,032,000) 6,829 6,829
----------
Total Repurchase Agreement
(Cost $6,829) 6,829
----------
MONEY MARKET -- 1.3%
Evergreen Select Money
Market Fund 2,155 2,155
----------
Total Money Market
(Cost $2,155) 2,155
----------
Total Investments -- 104.7%
(Cost $190,340) 178,017
----------
Other Assets and Liabilities,
Net-- (4.7%)
Securities Purchased Payable (8,299)
Other Assets and Liabilities, Net 379
----------
Total Other Assets and Liabilities,
Net (7,920)
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
17,691,306 outstanding shares of
beneficial interest $185,332
Undistributed net investment income 483
Accumulated net realized loss
on investments (3,607)
Net unrealized appreciation on futures 212
Net unrealized depreciation on investments (12,323)
----------
Total Net Assets-- 100.0% $170,097
==========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $9.61
==========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL -- CLASS
FHLB -- FEDERAL HOME LOAN BANK
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD. -- LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALL CAP VALUE FUND
COMMON STOCKS -- 92.7%
AEROSPACE & DEFENSE -- 1.2%
Cole National* 73,360 $ 1,527
Cordant Technologies 1,900 80
Esco Electronics* 51,050 523
Gencorp 11,500 221
Homebase* 427,100 2,856
----------
5,207
----------
AGRICULTURE -- 0.4%
Springs Industries, Cl A 6,400 222
Sylvan* 126,400 1,691
----------
1,913
----------
AIR TRANSPORTATION -- 0.7%
Airborne Freight 38,900 673
Alaska Airgroup* 3,200 109
America West Holdings, Cl B* 45,300 566
Continental Airlines, Cl B* 4,900 185
Skywest 69,380 1,327
----------
2,860
----------
26
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
APPAREL/TEXTILES -- 2.2%
Cone Mills* 259,800 $ 1,299
Dan River* 120,400 1,324
Galey & Lord* 33,400 399
Gerber Childrenswear* 86,250 685
Guilford Mills 131,430 1,955
Interface 14,400 173
Kellwood 28,770 773
Pillowtex 31,470 924
Quaker Fabric* 92,350 433
Quiksilver* 77,600 1,411
----------
9,376
----------
AUTOMOTIVE -- 2.0%
Arvin Industries 39,800 1,483
Borg-Warner Automotive 18,910 701
Coachmen Industries 95,700 1,902
Delco Remy International* 110,400 1,235
Smith (A.O.) 28,550 560
Standard Motor Products 104,300 2,542
----------
8,423
----------
BANKS -- 7.1%
Albank Financial 18,280 1,019
Andover Bancorp 26,362 827
Astoria Financial 14,530 612
Bancorpsouth 11,800 212
Bank North Group 108,700 3,179
Carolina First 28,400 628
Chittenden 2,400 72
City National 5,400 169
CNB Bancshares 23,625 1,081
Coast Federal* 90,400 797
Commercial Federal 6,600 156
Cullen/Frost Bankers 5,500 265
Dime Bancorp 30,242 766
Dime Community Bancorp 119,100 2,471
Downey Financial 34,580 823
Firstfed Financial* 112,040 1,912
Long Island Bancorp 17,800 857
PFF Bancorp* 155,500 2,371
Prime Bancshares 81,000 1,397
Republic Bancorp 77,238 1,043
Resource Bancshares
Mortgage Group 11,600 206
Richmond County Financial 170,000 2,550
SIS Bancorp 26,630 1,029
St. Paul Bancorp 16,600 362
Staten Island Bancorp 216,700 3,901
T R Financial 33,230 885
Webster Financial 34,300 836
Westamerica Bancorporation 8,300 240
----------
30,666
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BEAUTY PRODUCTS -- 0.9%
Block Drug, Cl A 25,526 $ 919
Chemed 3,300 93
French Fragrances* 103,400 750
Playtex Products* 164,800 2,318
----------
4,080
----------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.5%
Emmis Broadcasting* 57,000 2,152
----------
BUILDING & CONSTRUCTION -- 2.1%
Building Material Holding* 141,800 1,861
Centex 40,360 1,392
Engle Homes 75,600 1,075
Pulte 15,700 386
Ryland Group 43,800 1,068
Standard Pacific 13,900 196
Toll Brothers* 95,200 2,184
US Home* 6,300 185
Webb (Del E.) 9,700 204
Willbros Group* 54,000 344
----------
8,895
----------
BUILDING & CONSTRUCTION SUPPLIES-- 0.6%
MDC Holdings 90,090 1,661
Nortek* 26,120 712
----------
2,373
----------
CHEMICALS -- 1.6%
Cambrex 76,300 1,798
Dexter 27,650 677
General Chemical Group 95,000 1,793
Mississippi Chemical 8,600 104
HB Fuller 17,610 667
OM Group 48,800 1,376
Wellman 42,100 537
----------
6,952
----------
COMMUNICATIONS EQUIPMENT -- 0.1%
Applied Signal Technology* 50,100 617
----------
COMPUTERS & SERVICES -- 2.1%
Catalina Marketing* 4,200 197
Compucom Systems* 62,000 248
HMT Technology* 108,400 847
Kentek Information Systems 103,700 668
Maxtor Corp* 244,400 2,139
National Computer Systems 47,400 1,398
Neomagic* 9,800 113
Wang Laboratories* 172,400 3,340
----------
8,950
----------
27
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
SMALL CAP VALUE FUND--CONTINUED
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CONCRETE & MINERAL PRODUCTS -- 0.2%
Florida Rock Industries 34,240 $ 847
----------
CONSUMER PRODUCTS -- 1.1%
Brown Group 59,600 916
Maxwell Shoe* 84,300 1,001
Timberland, Cl A* 33,200 1,212
US Can* 97,700 1,429
----------
4,558
----------
CONTAINERS & PACKAGING -- 1.3%
Ball 117,100 4,128
Silgan Holdings* 60,200 1,430
----------
5,558
----------
DRUGS -- 1.0%
Ivax 511,200 4,473
----------
ELECTRICAL SERVICES -- 5.2%
BEC Energy 8,300 362
Calpine* 3,900 79
Cleco 40,080 1,350
Commonwealth Energy System 40,980 1,491
Conectiv 5,300 121
El Paso Electric* 545,400 5,284
Nevada Power 117,700 3,163
Orange & Rockland Utility 4,300 236
Public Service of New Mexico 143,670 3,188
Rochester Gas & Electric 99,300 3,103
Sierra Pacific Resources 33,340 1,294
Sigcorp 41,600 1,344
United Illuminating 21,800 1,139
----------
22,154
----------
ELECTRICAL TECHNOLOGY -- 0.5%
Belden 45,500 611
General Cable 87,000 1,610
----------
2,221
----------
ENTERTAINMENT -- 0.7%
Hastings Entertainment* 103,050 889
King World Productions* 7,700 201
Primadonna Resorts* 212,700 1,635
Royal Olympic Cruise Lines* 67,600 444
----------
3,169
----------
FINANCIAL SERVICES -- 1.5%
Dain Rauscher 19,160 604
Eaton Vance 8,300 191
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Greenbrier 120,000 $ 1,703
Heller Financial* 84,600 2,030
JSB Financial 21,850 1,121
Metris 14,423 673
Peoples Heritage
Financial Group 8,500 152
----------
6,474
----------
FOOD, BEVERAGE & TOBACCO -- 1.7%
Adolph Coors, Cl B 32,530 1,494
Aurora Foods* 73,700 1,013
M & F Worldwide* 112,400 1,117
Pilgrims Pride 32,200 670
Schweitzer-Manduit 36,100 785
Smithfield Foods* 117,100 2,071
Universal Foods 7,100 148
----------
7,298
----------
GAS/NATURAL GAS -- 1.4%
Atmos Energy 7,600 217
Connecticut Energy 37,220 1,005
Energen 36,460 693
Oneok 5,600 190
Southwest Gas 35,700 730
Washington Gas Light 116,300 3,220
----------
6,055
----------
GLASS PRODUCTS -- 0.4%
Libbey 59,800 1,764
----------
HOUSEHOLD FURNITURE & FIXTURES -- 0.6%
Ethan Allen Interiors 6,200 225
Furniture Brands International* 85,600 1,669
O'Sullivan Industries Holdings* 66,280 642
----------
2,536
----------
HOUSEHOLD PRODUCTS -- 1.1%
American Safety Razor* 125,760 1,226
Holophane* 66,900 1,639
NCH 12,730 781
Thomas Industries 42,595 913
----------
4,559
----------
INSURANCE -- 10.6%
Allmerica Financial 45,500 2,713
American Heritage
Life Insurance 35,900 819
Amerin* 7,900 149
Arm Financial Group 78,900 1,401
Arthur J. Gallegher 4,400 182
Capital Re 11,300 309
28
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CNA Surety* 189,800 $ 2,752
Delphi Financial Group, Cl A* 18,328 722
EW Blanch Holdings 67,600 2,615
Enhance Financial
Services Group 62,900 1,860
Everest Reinsurance Holdings 66,200 2,470
FLB Financial Group, Cl A 3,100 72
FPIC Insurance Group* 58,300 1,618
Financial Security Assurance
Holdings 7,400 361
First American Financial 45,525 1,457
Fremont General 20,800 998
Harleysville Group 88,300 1,821
HCC Insurance Holdings 76,900 1,490
Horace Mann Educators 102,600 3,078
IPC Holdings 151,700 3,489
LaSalle Re Holdings 51,900 1,382
Life USA Holdings 36,290 476
Orion Capital 24,000 857
Penn Treaty American* 30,100 726
PMI Group 30,800 1,409
Presidential Life 60,420 906
Reliance Group Holdings 106,400 1,496
Renaissancere Holdings 53,000 2,405
RLI 25,537 970
State Auto Financial 104,400 1,449
Stirling Cooke Brown Holdings 48,800 720
Terra Nova Holdings 83,000 2,241
Zenith National Insurance 11,600 291
----------
45,704
----------
LEASING & RENTING -- 0.6%
Aaron Rents 51,500 773
Leasing Solutions* 28,900 791
Xtra 18,600 866
----------
2,430
----------
LEISURE PRODUCTS -- 0.9%
Department 56* 3,100 84
Fossil* 8,600 117
Jan Bell Marketing* 250,900 1,631
Velcro Industries 18,500 2,211
----------
4,043
----------
LUMBER & WOOD PRODUCTS -- 0.5%
American Woodmark 48,800 1,238
T J International 37,490 703
----------
1,941
----------
MACHINERY -- 1.8%
Amcast Industrial 38,310 563
Commercial Intertech 38,700 714
Gardner Denver Machinery* 27,195 384
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Gehl* 21,100 $ 288
Gleason 32,230 518
Graco 9,500 221
Idex 6,300 167
Lincoln Electric Holdings 16,300 379
Moog, Cl A 54,400 1,574
SPS Technologies* 5,600 261
Wyman-Gordan* 199,400 2,866
----------
7,935
----------
MANUFACTURING -- 1.3%
Avondale Industries* 217,910 5,393
----------
MARINE TRANSPORTATION -- 0.9%
Oak Industries* 78,300 2,114
Sea Containers 72,200 1,737
----------
3,851
----------
MEASURING DEVICES -- 0.0%
Cohu 4,400 73
----------
MEDICAL PRODUCTS & SERVICES -- 4.1%
Del Global Technologies* 149,200 1,100
Genesis Health Ventures* 95,700 1,172
Haemonetics* 139,800 2,691
Idexx* 84,600 2,020
Integrated Health Services 71,000 1,194
Mariner Post-Acute Network* 182,325 934
Maxxim Medical* 56,000 1,439
Novacare* 287,810 881
Physio-Control International* 72,100 1,983
Steris* 3,800 107
Sun Healthcare Group* 132,394 861
Trigon Healthcare* 105,500 3,271
----------
17,653
----------
METALS & MINING -- 0.3%
Cleveland Cliffs 28,250 1,102
----------
MINING -- 0.2%
Wolverine Tube* 50,600 1,066
----------
MISCELLANEOUS BUSINESS SERVICES-- 2.2%
American Bank Note* 115,100 906
Learning* 278,700 5,522
Midway Games* 143,366 1,676
Wall Data* 95,700 1,459
----------
9,563
----------
MISCELLANEOUS MANUFACTURING -- 0.0%
RMI Titanium* 5,100 103
----------
29
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
SMALL CAP VALUE FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
OFFICE FURNITURE & FIXTURES -- 0.4%
Day Runner* 44,200 $ 862
Kimball International 46,400 713
----------
1,575
----------
PAPER & PAPER PRODUCTS -- 1.1%
Boise Cascade Office Products* 147,200 1,343
Earthgrains 56,900 1,760
Rock Tenn, Cl A 2,200 24
Shorewood Packaging* 130,500 1,762
----------
4,889
----------
PETROLEUM & FUEL PRODUCTS -- 1.2%
Berry Petroleum 141,900 1,827
Giant Industries 44,460 536
Helmerich & Payne 10,200 214
Seacor Holdings* 47,300 1,963
St. Mary Land & Exploration 4,500 107
Swift Energy* 66,800 647
----------
5,294
----------
PETROLEUM REFINING -- 0.4%
Tesoro Petroleum* 132,700 1,733
----------
PRINTING & PUBLISHING -- 4.4%
Big Flower Holdings* 149,200 3,488
Bowne 96,200 1,629
Journal Register* 65,600 968
Lone Star Industries 24,760 1,479
Southdown 27,130 1,221
Standard Register 31,140 847
Valassis Communications* 93,600 3,744
World Color Press* 179,700 5,571
----------
18,947
----------
PROFESSIONAL SERVICES -- 0.2%
Consolidated Graphics* 3,600 137
Indigo Aviation ADR* 94,300 813
----------
950
----------
REAL ESTATE INVESTMENT TRUSTS -- 2.2%
Brandywine Realty Trust 59,500 1,138
Burnham Pacific Properties 106,400 1,483
Equity Inns 165,000 1,908
Healthcare Realty Trust 58,200 1,484
Franchise Finance of America 7,000 192
Pacific Gulf Properties 58,200 1,171
RFS Hotel Investors 156,100 1,873
----------
9,249
----------
REPAIR SERVICES -- 0.8%
Rollins Truck Leasing 300,250 3,359
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
RETAIL -- 8.5%
Ann Taylor Stores* 35,600 $ 723
Burlington Coat Factory* 85,220 1,257
Bon Ton Stores* 101,700 763
Brylane* 42,800 685
Claire's Stores 122,300 2,201
Dominick's Supermarkets Inc 71,900 3,074
Dress Barn* 42,910 520
Eagle Hardware & Garden* 47,800 1,037
Finlay Enterprises* 72,900 611
Fingerhut 45,300 498
Longs Drug Stores 56,000 2,251
Maxim Group* 68,300 1,289
Neiman-Marcus 6,400 138
O'Charleys* 100,300 1,016
Rare Hospitality* 93,000 1,000
Ross Stores 7,800 223
Ruby Tuesday 98,800 1,494
Ruddick 253,800 4,315
Ryan's Family Steak Houses* 130,180 1,554
Shopko Stores 178,160 5,790
Talbots 35,600 636
Tropical Sportswear 113,100 2,107
Zale 132,400 3,393
----------
36,575
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.2%
Applied Micro Circuits* 6,500 97
AVX 155,900 2,319
Burr-Brown* 67,375 1,145
Stoneridge* 98,200 1,590
----------
5,151
----------
SPECIALTY CONSTRUCTION -- 0.9%
DR Horton 236,200 3,779
----------
SPECIALTY MACHINERY -- 0.7%
Fedders 163,200 755
Hussman International 94,400 1,339
Pameco* 48,800 756
----------
2,850
----------
STEEL & STEEL WORKS -- 1.0%
AK Steel Holding 11,200 184
Armco* 144,700 724
Inland Steel Industries 42,354 921
National Steel, Cl B 63,330 443
Quanex 46,200 915
Reliance Steel & Aluminum 30,040 986
----------
4,173
----------
30
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TECHNOLOGY, GENERAL -- 1.3%
Buckeye Technologies* 153,200 $ 2,767
Marshall Industries* 58,200 1,284
Walter Industries* 119,800 1,490
----------
5,541
----------
TELEPHONES & TELECOMMUNICATION -- 0.0%
Aliant Communications 5,900 146
----------
TESTING LABORATORIES -- 0.0%
Curative Technologies* 3,800 116
----------
TRANSPORTATION SERVICES -- 0.2%
GATX 32,880 1,087
----------
TRUCKING -- 0.8%
Arkansas Best* 40,400 232
Arnold Industries 9,400 135
Pittston Services 52,600 1,841
US Freightways 32,570 647
Yellow* 34,150 461
----------
3,316
----------
WATER UTILITIES -- 0.0%
California Water Service Group 5,300 120
----------
WHOLESALE -- 5.8%
Barnes Group 38,450 1,105
Bindley Western Industries 50,000 1,650
BJ Wholesale Club* 288,700 10,610
CHS Electronics* 6,600 72
Commercial Metals 6,200 143
Ingram Micro* 2,800 150
Marquette Medical Systems, Cl A* 71,600 3,110
Richfood Holdings 39,600 609
Serologicals* 6,800 171
Standard Commercial 25,270 188
Tower Automotive* 206,900 4,086
United Stationers 69,600 1,662
Universal 35,230 1,259
----------
24,815
----------
Total Common Stocks
(Cost $415,524) 398,652
----------
U.S. TREASURY OBLIGATION -- 0.7%
United States Treasury Bill
5.050%, 11/19/98 (A) $3,100 3,083
----------
Total U.S. Treasury Obligation
(Cost $3,080) 3,083
----------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 8.3%
Morgan Stanley 5.330%, dated
09/30/98, matures 10/01/98,
repurchase price $35,496,000,
collateralized by various
FHLB Obligations, total par
value $35,170,000,
6.150%-7.500%,
10/29/07- 02/19/13,
total market value:
$36,417,000) $35,491 $ 35,491
----------
Total Repurchase Agreement
(Cost $35,491) 35,491
----------
MONEY MARKET -- 0.0%
Evergreen Select Money
Market Fund 48 48
----------
Total Money Market
(Cost $48) 48
----------
Total Investments -- 101.7%
(Cost $454,143) 437,274
----------
Other Assets and Liabilities, Net -- (1.7%)
Securities Sold Receivable 5,119
Securities Purchased Payable (10,307)
Other Assets and Liabilities, Net (2,076)
----------
Total Other Assets and Liabilities, Net (7,264)
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
31,450,696 outstanding shares
of beneficial interest 442,686
Undistributed net investment income 530
Accumulated net realized gain
on investments 2,835
Net unrealized appreciation on futures 828
Net unrealized depreciation on investments (16,869)
----------
Total Net Assets-- 100.0% $ 430,010
==========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $13.67
==========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLB -- FEDERAL HOME LOAN BANK
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
31
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 94.9%
AEROSPACE & DEFENSE -- 0.2%
Aeroflex* 131,600 $ 1,300
----------
AIR TRANSPORTATION -- 1.0%
Alaska Airgroup* 44,300 1,509
Mesaba Holdings* 75,750 1,098
Skywest 137,800 2,635
----------
5,242
----------
AIRCRAFT -- 0.2%
BE Aerospace* 40,000 880
----------
APPAREL/TEXTILES -- 2.2%
Interface 87,600 1,051
Mohawk Industries* 48,900 1,339
Nautica Enterprises* 45,000 841
Novel Denim Holdings* 49,700 584
Phillips Van Heusen 88,000 836
Quiksilver* 86,200 1,568
St. John Knits 24,200 390
Tarrant Apparel Group* 99,100 2,403
Tefron* 66,300 522
Tommy Hilfiger* 43,900 1,800
Wolverine World Wide 39,500 430
----------
11,764
----------
AUTOMOTIVE -- 0.8%
Gentex* 66,000 990
Monaco Coach* 55,200 1,394
United Rentals* 80,300 1,922
----------
4,306
----------
BANKS -- 1.6%
Astoria Financial 20,000 842
Commercial Federal 30,000 707
Community First Bankshares 52,000 923
Cullen/Frost Bankers 20,000 965
Downey Financial 25,987 619
Hubco 15,913 404
Peoples Heritage Financial Group 38,000 682
Silicon Valley Bancshares* 28,800 461
Southwest Bancorp of Texas* 40,000 625
Telebanc Financial Group* 12,700 205
UST 57,457 1,214
Westamerica Bancorporation 34,500 998
----------
8,645
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 1.6%
Cox Radio, Cl A* 24,200 $ 850
Emmis Broadcasting* 42,700 1,612
Getty Images* 96,100 1,670
Lamar Advertising* 53,500 1,498
Scandanavian Broadcasting* 44,900 954
TMP Worldwide* 64,200 2,107
----------
8,691
----------
BUILDING & CONSTRUCTION -- 1.7%
Crossman Communities* 25,000 503
Engle Homes 47,200 671
Granite Construction 51,300 1,510
Jacobs Engineering Group* 38,500 1,193
Lennar 85,100 1,899
Pulte 48,900 1,201
Ryland Group 61,900 1,509
US Home* 20,000 587
----------
9,073
----------
CHEMICALS -- 0.2%
OM Group 38,000 1,071
----------
COMMUNICATIONS -- 0.1%
Wavephore* 51,100 326
----------
COMMUNICATIONS EQUIPMENT -- 2.9%
Black Box* 25,000 606
Broadcom, Cl A* 24,500 1,739
Comverse Technology* 31,775 1,299
Concord Communications* 62,900 2,500
Dionex* 8,000 186
DM Management* 173,350 1,398
DSP Communications* 87,000 718
Mercury Interactive* 68,200 2,707
Polycom* 78,100 1,030
Power Integration* 40,000 542
Reltec* 38,800 572
Tekelec* 157,800 2,406
----------
15,703
----------
COMPUTERS & SERVICES -- 6.3%
24/7 Media* 168,100 1,807
Apex PC Solutions* 75,900 1,490
Avid Technology* 42,500 1,012
CMG Information Services* 39,800 2,119
Earthlink Network* 76,500 3,156
HMT Technology* 115,100 899
HNC Software* 78,700 3,197
Inspire Insurance Solutions* 51,750 1,223
Level One Communications* 111,275 2,239
32
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Maxwell Technologies* 66,000 $ 1,386
Micros Systems* 75,200 2,256
N2k* 207,300 1,490
Network Appliance* 65,100 3,296
New Era of Networks* 34,300 1,398
Pilot Network Services* 4,600 30
Pinnacle Systems* 17,900 465
Psinet* 124,500 1,735
QRS* 47,500 1,514
Sportsline USA* 212,500 3,705
----------
34,417
----------
CONCRETE & MINERAL PRODUCTS -- 0.2%
Ferro 45,250 899
----------
DRUGS -- 3.7%
Anesta* 49,900 929
ChiRex* 42,800 511
Coulter Pharmaceutical* 31,700 789
Fuisz Technologies* 97,250 778
Incyte Pharmaceuticals* 22,700 482
Jones Pharmaceuticals 49,900 1,435
Medicis Pharmaceutical, Cl A* 88,100 3,491
Natural Alternatives
International* 39,000 478
NBTY* 121,900 960
Ocular Sciences* 126,000 2,646
Parexel International* 30,000 1,170
Pathogenesis* 24,200 808
Sangstat Medical* 43,200 918
Sequus Pharmaceuticals* 84,500 819
Shire Pharmaceuticals
Group PLC* 66,600 1,457
Twinlab* 50,200 1,286
Usana* 20,400 260
Zonagen* 50,000 775
----------
19,992
----------
ELECTRICAL SERVICES -- 0.7%
Gemstar International* 82,500 3,826
----------
ELECTRICAL TECHNOLOGY -- 0.4%
C & D Technologies 69,200 1,652
Smart Modular* 15,300 315
----------
1,967
----------
ENTERTAINMENT -- 1.7%
Ambassador International* 39,600 713
Anchor Gaming* 17,900 1,025
Family Golf Centers* 127,550 2,264
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Macrovision* 49,500 $ 1,448
Premier Parks* 119,000 2,082
SFX Entertainment, Cl A* 52,200 1,625
----------
9,157
----------
ENVIRONMENTAL SERVICES -- 0.2%
American Disposal Services* 28,000 1,090
----------
FINANCIAL SERVICES -- 2.5%
Americredit* 72,300 1,762
Ameritrade Holding
Corporation, Cl A* 122,900 2,212
Century Business Services* 86,600 1,764
Creditrust* 21,300 314
Financial Federal* 116,200 2,549
Haven Bancorp 57,000 891
IMC Mortgage* 88,000 173
Knight/Trimark Group, Cl A* 198,600 1,638
T & W Financial* 73,400 1,069
Waddell & Reed Financial, Cl A 50,000 950
----------
13,322
----------
FOOD, BEVERAGE & TOBACCO -- 1.0%
Adolph Coors, Cl B 35,200 1,617
American Italian Pasta* 48,100 1,263
Michael Foods 75,700 1,798
Robert Mondavi* 11,400 254
Wild Oates Markets* 22,000 597
----------
5,529
----------
GAS/NATURAL GAS -- 0.1%
Unit* 90,900 443
----------
HOTELS & LODGING -- 0.8%
Fours Seasons Hotel 98,700 2,023
Pegasus Systems* 82,200 1,053
Silverleaf Resorts* 99,000 990
----------
4,066
----------
HOUSEHOLD FURNITURE & FIXTURES -- 0.8%
Ethan Allen Interiors 89,700 3,252
Furniture Brands International* 47,000 916
----------
4,168
----------
HOUSEHOLD PRODUCTS -- 0.5%
Advanced Lighting Technologies* 75,900 645
Helen of Troy, Ltd.* 69,500 1,347
Juno Lighting 27,100 606
----------
2,598
----------
33
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
SMALL CAP GROWTH FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
INSURANCE -- 0.9%
Fidelity National Financial 48,900 $ 1,653
First American Financial 60,600 1,939
Foremost of America 28,000 516
Horace Mann Educators 22,000 660
----------
4,768
----------
LEASING & RENTING -- 0.5%
Rental Service* 91,600 1,649
Stride Rite 120,000 982
----------
2,631
----------
LEISURE PRODUCTS -- 0.3%
Global Vacation Group* 43,800 315
Movado Group 52,900 1,111
----------
1,426
----------
LUMBER & WOOD PRODUCTS -- 0.2%
Modtech* 68,700 1,202
----------
MACHINERY -- 2.2%
Aptar Group 44,000 1,001
Donaldson 14,000 224
Gardner Denver Machinery* 35,700 504
Gerber Scientific 43,200 1,166
Graco 48,800 1,135
Idex 15,000 398
Kuhlman 76,900 2,494
Lindsay Manufacturing 20,625 307
Micrel* 40,000 1,060
Pentair 1,500 48
SPS Technologies* 27,000 1,257
Uniphase* 28,300 1,160
Zebra Technologies, Cl A* 30,000 1,005
----------
11,759
----------
MEASURING DEVICES -- 0.5%
Esterline Technologies* 69,600 1,366
Veeco Instruments* 49,200 1,550
----------
2,916
----------
MEDICAL PRODUCTS & SERVICES -- 6.0%
Algos Pharmaceuticals* 78,800 1,822
Healthworld* 90,000 1,395
Impath* 145,500 4,329
Integrated Health Services 41,200 693
Interim Services* 41,800 860
Invacare 35,100 825
Maxxim Medical* 55,400 1,423
Medquist* 95,900 3,033
Minimed* 24,000 1,584
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Pediatrix Medical Group* 54,600 $ 2,450
Province Healthcare* 43,900 1,495
Sabratek* 56,200 1,272
Safeskin* 141,800 4,476
Sofamor/Danek Group* 19,000 1,691
Trigon Healthcare* 47,900 1,485
Techne* 18,000 263
Theragenics* 22,100 314
Total Renal Care Holdings* 46,725 1,121
Trex Medical* 37,000 472
Visix Space* 24,200 1,621
----------
32,624
----------
MISCELLANEOUS BUSINESS SERVICES-- 22.2%
Abacus Direct* 32,300 1,647
ABM Industries 34,000 994
Acxiom* 33,000 819
American Management Systems 33,800 925
Analysts International 43,600 1,308
Answerthink Consulting Group* 100,800 1,821
Aspect Development* 82,500 3,248
Beyond.com* 140,400 1,457
Brightstar Information Tech* 43,500 266
Broadvision* 119,200 1,259
Brooktrout Tech* 81,200 1,104
Cognizant Technology* 148,800 2,306
Coinstar* 89,800 556
CSG Systems International* 51,100 2,261
Data Processing Resources* 84,200 2,463
Datastream Systems* 32,300 563
Dendrite International* 50,900 1,215
Diamond Technology Partners* 87,100 1,437
Envoy* 63,500 1,389
FileNet* 171,400 2,400
Genesys Telecom Labs* 89,100 1,654
Hooper Holmes 27,500 548
Hyperion Solutions* 123,875 2,687
IDT* 69,200 1,592
Information Management
Resources* 161,800 4,005
Information Resources* 35,000 459
Insight Enterprises* 75,525 2,134
Intelligroup* 56,500 960
JD Edwards* 96,700 4,642
JDA Software Group* 164,300 2,269
Labor Ready* 211,250 3,090
Lason* 10,000 512
Learning* 58,500 1,159
Legato Systems* 77,000 3,956
Lycos* 58,800 1,988
Macromedia* 126,000 2,047
MAPICS* 117,000 2,581
Mastech* 79,800 1,920
34
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Metzler Group* 109,600 $ 3,754
Microstrategy* 17,700 664
Mindspring Enterprises* 38,300 1,589
National Instruments* 25,000 623
NCO Group* 98,800 2,748
Network Solutions* 62,400 2,597
Newsedge* 76,300 658
Nova* 87,600 2,688
On Assignment* 53,200 1,968
Ovid Technologies* 57,600 1,390
Peerless Systems* 10,500 39
Pervasive Software* 119,500 1,300
Ritchie Bros. Auctioneers* 59,700 1,321
Saville Systems Ireland ADR* 53,600 777
Siebel Systems* 83,600 2,398
Software AG Systems* 161,800 2,751
SPR* 87,150 2,004
Staffmark* 97,700 1,783
Superior Services* 30,500 860
Systems & Computers
Technology* 91,400 1,177
Technology Solutions* 119,700 1,347
Transaction Systems Architects* 36,200 1,285
TSI International Software, Ltd.* 113,900 3,944
Verio* 74,600 1,846
Visio* 51,700 1,244
Wackenhut Corrections* 40,000 887
Westaff* 64,000 832
Whittman-Hart* 114,100 2,097
Wind River Systems* 68,000 3,213
Xircom* 76,500 1,874
----------
119,299
----------
MISCELLANEOUS CONSUMER SERVICES-- 1.9%
Carriage Services* 79,400 1,960
G&K Services 28,200 1,322
Mac-Gray* 91,700 825
Metamor Worldwide* 44,100 1,213
Regis 27,200 857
Select Appointments
Holdings, ADR* 41,000 712
SOS Staffing Services* 39,500 578
Steiner Leisure, Ltd.* 124,650 1,948
Unifirst 26,000 700
----------
10,115
----------
MISCELLANEOUS MANUFACTURING -- 1.3%
AFC Cable Systems* 17,500 416
Blyth Industries* 20,000 549
Cable Design Technologies* 52,250 666
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
General Cable 52,400 $ 969
Media Arts Group* 94,200 860
RMI Titanium* 26,600 535
Superior Telecom 39,300 1,901
Tredegar Industries 18,600 341
Varlen 21,350 598
----------
6,835
----------
MISCELLANEOUS TRANSPORTATION -- 0.2%
Fleetwood Enterprises 38,100 1,150
----------
OFFICE FURNITURE & FIXTURES -- 0.3%
Knoll* 70,100 1,533
----------
PETROLEUM & FUEL PRODUCTS -- 0.4%
Cross Timbers Oil 100,625 1,516
Edge Petroleum* 49,300 438
----------
1,954
----------
PRINTING & PUBLISHING -- 1.0%
Hollinger International 93,200 1,340
Information Holdings* 32,900 350
Lone Star Industries 25,400 1,518
New England Business Services 16,000 495
Southdown 37,500 1,687
----------
5,390
----------
PROFESSIONAL SERVICES -- 5.0%
American Oncology Resources* 80,000 810
Bright Horizons Family Solutions* 49,400 1,050
Consolidated Graphics* 20,900 794
Devry* 70,000 1,641
Ecsoft Group PLC ADR* 111,400 2,298
Educational Management* 108,200 3,841
Equity International* 40,000 900
International Network Services* 125,600 5,212
ITT Educational Services* 108,000 3,456
Nichols Research* 20,000 385
Ogden 46,800 1,331
Pre Paid Legal* 20,000 511
Preview Travel* 56,900 1,038
Professional Detailing* 40,900 1,145
Strayer Education 20,000 522
Sylvan Learning Systems* 43,000 1,005
Tetra Tech* 56,250 1,266
----------
27,205
----------
REAL ESTATE -- 1.6%
Building One Services* 36,500 452
CB Richard Ellis Services* 87,000 1,745
Centex Construction Products 29,100 993
35
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
SMALL CAP GROWTH FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Golf Trust of America 92,700 $ 2,758
Intrawest 144,800 2,217
Resourtquest International* 79,900 704
----------
8,869
----------
REPAIR SERVICES -- 1.0%
Central Parking 63,900 3,219
Personnel Group of America* 66,000 813
Rollins Truck Leasing 72,000 805
World Access* 40,000 810
----------
5,647
----------
RETAIL -- 6.9%
Abercrombie & Fitch, Cl A* 44,700 1,967
Ames Department Stores* 44,200 561
Buckle* 34,300 617
Buffets** 95,600 1,034
CEC Entertainment* 51,300 1,039
CKE Restaurants 89,430 2,661
CompUSA* 80,000 1,385
Cost Plus* 48,200 1,283
Dollar Tree Stores* 53,937 1,689
Dress Barn* 54,600 662
Foodmaker* 44,600 700
Goodys Family Clothing* 114,000 1,368
Hibbet Sporting Goods* 21,500 539
Hot Topic* 61,700 895
Kenneth Cole Productions* 121,500 2,179
Linens N Things* 30,000 825
Men's Wearhouse* 68,300 1,178
Michaels Stores* 31,300 798
Micro Warehouse* 64,300 969
Musicland Stores* 90,700 1,122
Pacific Sunwear of California* 151,400 3,369
Papa John's International* 37,000 1,221
Pier 1 Imports 38,250 287
Piercing Pagoda* 53,400 614
PJ America* 60,500 930
Restoration Hardware* 19,900 410
Rexall Sundown* 58,400 902
Ross Stores 28,000 802
Sonic* 51,800 907
Timberland, Cl A* 19,200 701
Trans World Entertainment* 43,200 788
Williams Sonoma* 67,600 1,441
Zale* 43,000 1,102
----------
36,945
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
RUBBER & PLASTIC -- 0.9%
Carlisle 23,700 $ 923
Etec Systems* 39,700 1,035
Transwitch* 128,100 1,913
Vitesse Semiconductor* 43,800 1,035
----------
4,906
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.3%
Applied Micro Circuits* 143,900 2,141
Artisan Components* 69,100 510
DSP Group* 58,300 860
Hutchinson Technology* 80,000 1,370
Mips Technologies* 163,400 3,248
MMC Networks* 43,900 719
Qlogic* 39,600 2,584
Recoton* 41,000 800
----------
12,232
----------
SPECIALTY CONSTRUCTION -- 0.3%
DR Horton 57,500 920
Insituform Technologies* 38,100 505
Oakwood Homes 5,800 76
----------
1,501
----------
SPECIALTY MACHINERY -- 0.2%
Oak Industries* 37,400 1,010
----------
STEEL & STEEL WORKS -- 0.1%
Bethlehem Steel* 58,300 481
----------
TELEPHONES & TELECOMMUNICATION -- 2.0%
Amdocs, Ltd.* 88,100 997
Brightpoint* 83,600 643
Carrier Access* 2,900 52
Com21* 132,400 2,367
Concentric Network* 46,100 968
Electric Lightwave* 157,400 1,338
ICG Communications* 88,000 1,485
Pairgain Technologies* 98,100 797
Premisys Communications* 55,100 386
Startec Global Communications* 73,200 503
Telegroup* 125,500 722
United Video Satellite
Group, Ser A* 44,000 652
----------
10,910
----------
36
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TESTING LABORATORIES -- 1.1%
Celgene* 102,800 $ 1,009
Curative Technologies* 28,800 882
International Telecommunications
Data Systems* 95,100 2,758
Roberts Pharmaceutical* 66,500 1,272
----------
5,921
----------
TRANSPORTATION SERVICES -- 0.1%
Carey International* 47,900 719
----------
TRUCKING -- 1.0%
Budget Group, Cl A* 40,100 915
Expeditors International of
Washington 49,200 1,365
JB Hunt Transport Services 25,000 363
Suiza Foods* 29,750 930
Swift Transportation* 34,500 599
US Freightways 39,000 775
Werner Enterprises 27,500 433
----------
5,380
----------
WASTE DISPOSAL -- 0.2%
US Liquids* 69,200 1,228
----------
WHOLESALE -- 2.9%
AAR 52,500 1,030
Amerisource Health* 21,000 1,143
Central Garden & Pet* 98,000 1,813
Ha Lo Industries* 53,800 1,574
Inso* 90,500 1,731
Patterson Dental* 45,250 1,674
Performance Food Group* 37,000 823
Richfood Holdings 35,000 538
SCP Pool* 85,800 1,115
Tower Automotive* 58,000 1,146
United Stationers 78,400 1,872
US Foodservice* 34,000 1,415
----------
15,874
----------
Total Common Stocks
(Cost $533,420) 510,905
----------
U.S. TREASURY OBLIGATION -- 0.4%
United States Treasury Bill
5.050%, 11/19/98 (A) $2,125 2,113
----------
Total U.S. Treasury Obligation
(Cost $2,111) 2,113
----------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 7.1%
J.P. Morgan
5.600%, dated 09/30/98, matures
10/01/98, repurchase price
$37,995,000 (collateralized by
FNMA obligation, par value
$37,616,000, 6.340%, 08/27/08,
total market value:
$38,746,000) $37,989 $ 37,989
----------
Total Repurchase Agreement
(Cost $37,989) 37,989
----------
Total Investments -- 102.4%
(Cost $573,520) 551,007
----------
Other Assets and Liabilities, Net -- (2.4%)
Securities Purchased Payable (13,767)
Other Assets and Liabilities, Net 1,104
----------
Total Other Assets and Liabilities, Net (12,663)
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
39,208,873 outstanding shares of
beneficial interest 563,087
Fund Shares of Class D (unlimited
authorization -- no par value) based on
145,550 outstanding shares
of beneficial interest 2,403
Accumulated net realized loss
on investments (5,490)
Net unrealized appreciation on futures 857
Net unrealized depreciation on investments (22,513)
----------
Total Net Assets-- 100.0% $ 538,344
==========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $13.68
==========
Net Asset Value and Redemption Price
Per Share -- Class D $13.40
==========
Maximum Offering Price Per Share --
Class D (13.40 O 95%) $14.11
==========
* 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
LTD. -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
SER -- SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
37
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
MID-CAP FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 95.9%
AEROSPACE & DEFENSE -- 2.0%
Cordant Technologies 10,000 $ 423
SCI Systems* 10,000 269
----------
692
----------
AIR TRANSPORTATION -- 1.2%
Continental Airlines, Cl B* 10,800 408
----------
AIRCRAFT -- 1.1%
Sundstrand 8,500 394
----------
APPAREL/TEXTILES -- 0.6%
Fruit of the Loom, Cl A* 14,900 224
----------
AUTOMOTIVE -- 0.8%
Dana 1,900 71
Navistar International* 5,300 120
Paccar 2,100 86
----------
277
----------
BANKS -- 6.6%
Bankers Trust New York 4,100 242
Charter One Financial 23,310 580
City National 5,700 178
Comerica 9,000 493
Golden West Financial 1,600 131
M & T Bank 400 184
Republic New York 11,800 466
Sovereign Bancorp 3,400 45
TCF Financial 1,100 22
----------
2,341
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.1%
Cablevision Systems
Corporation, Cl A* 9,100 393
----------
BUILDING & CONSTRUCTION -- 0.5%
Lennar 6,200 138
Southdown 800 36
----------
174
----------
CHEMICALS -- 2.1%
Cytec Industries* 10,400 186
FMC* 8,600 443
Olin 3,400 98
----------
727
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 2.3%
Andrew* 29,100 $ 386
General Instrument* 19,000 411
----------
797
----------
COMPUTERS & SERVICES -- 4.7%
Apple Computer* 1,500 57
Lexmark International* 8,900 617
Quantum* 15,100 240
Storage Technology* 9,600 244
Unisys* 21,800 496
----------
1,654
----------
CONCRETE & MINERAL PRODUCTS -- 1.2%
USG* 9,600 415
----------
CONSUMER PRODUCTS -- 0.2%
Brunswick 5,600 72
----------
CONTAINERS & PACKAGING -- 1.6%
Owens-Illinois* 21,800 545
----------
DRUGS -- 1.4%
Genzyme* 3,400 123
ICN Pharmaceuticals 13,700 240
Watson Pharmaceuticals* 2,400 122
----------
485
----------
ELECTRICAL SERVICES -- 8.0%
DTE Energy 17,300 782
Energy East 10,700 546
FirstEnergy 21,500 668
General Public Utilities 12,300 523
OGE Energy 10,400 300
----------
2,819
----------
ENERGY & POWER -- 0.3%
Calenergy* 4,500 119
----------
ENTERTAINMENT -- 0.6%
King World Productions* 8,600 225
----------
ENVIRONMENTAL SERVICES -- 0.6%
Allied Waste Industries* 8,900 208
----------
FINANCIAL SERVICES -- 4.5%
Bear Stearns 12,400 384
Countrywide Credit Industries 4,700 196
GATX 12,600 417
SLM Holding 17,700 574
----------
1,571
----------
38
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 3.5%
Chiquita Brands International 26,800 $ 283
Lancaster Colony 12,400 381
Quaker Oats 6,800 401
Suiza Foods* 6,100 191
----------
1,256
----------
GAS/NATURAL GAS -- 2.6%
Columbia Gas System 11,700 686
Questar 11,400 219
----------
905
----------
GENERAL UTILITIES -- 0.6%
PECO Energy 5,300 194
----------
HOTELS & LODGING -- 0.5%
Harrah's Entertainment* 12,600 168
----------
INSURANCE -- 9.1%
Allmerica Financial* 5,400 322
Ambac 2,900 139
Conseco 11,700 358
Equitable 5,800 240
Fremont General 2,900 139
Jefferson Pilot 5,700 345
Lincoln National 2,600 214
MBIA 4,400 236
MGIC Investment 1,000 37
Old Republic International 25,050 564
Wellpoint Health Networks* 11,000 617
----------
3,211
----------
LEASING & RENTING -- 0.3%
Comdisco 6,500 89
----------
MACHINERY -- 2.6%
Aeroquip-Vickers 11,200 322
Case Equipment 4,300 94
Cummins Engine 2,600 77
Ingersoll Rand 6,150 233
Parker-Hannifin 6,500 193
----------
919
----------
MEDICAL PRODUCTS & SERVICES -- 1.3%
First Health Group* 2,400 58
Healthsouth* 6,200 65
Integrated Health Services 19,300 324
----------
447
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES-- 5.3%
Autodesk 17,000 $ 446
GTech* 21,600 574
Olsten 22,900 130
Reynolds & Reynolds, Cl A 40,600 723
----------
1,873
----------
MISCELLANEOUS MANUFACTURING -- 1.5%
International Game Technology 13,800 256
Trinity Industries 8,100 263
----------
519
----------
PAPER & PAPER PRODUCTS -- 1.6%
Fort James 17,100 561
----------
PETROLEUM & FUEL PRODUCTS -- 1.2%
Helmerich & Payne 12,400 260
Vastar Resources 3,400 153
----------
413
----------
PETROLEUM REFINING -- 4.3%
Coastal 6,500 219
Lyondell Petrochemical 23,400 521
USX-Marathon Group 15,700 556
Valero Energy 11,400 227
----------
1,523
----------
PRINTING & PUBLISHING -- 0.2%
Amazon.com* 500 56
----------
REAL ESTATE INVESTMENT TRUSTS -- 1.8%
Crescent Real Estate Equities 3,400 86
Equity Office Properties Trust 5,300 130
Meditrust 5,000 85
Simon Property Group 4,700 140
Starwood Lodging Trust 3,800 116
Vornado Realty Trust 2,300 76
----------
633
----------
REPAIR SERVICES -- 1.5%
Ryder System 21,100 525
----------
RETAIL -- 6.5%
Best Buy* 3,700 154
CKE Restaurants 11,100 330
Dayton-Hudson 14,100 504
Federated Department Stores* 2,700 98
Kmart* 7,300 87
Neiman-Marcus Group 3,400 74
Payless Shoesource* 7,300 302
39
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
MID-CAP FUND--CONCLUDED
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Pier 1 Imports 6,750 $ 51
Ross Stores 15,800 452
TJX 14,800 264
----------
2,316
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.3%
Atmel* 12,100 110
----------
STEEL & STEEL WORKS -- 1.9%
Engelhard 36,800 651
----------
TELEPHONES & TELECOMMUNICATION -- 2.1%
Century Telephone Enterprises 14,250 673
Cincinnati Bell 1,900 49
----------
722
----------
TRUCKING -- 1.0%
Pittston Services 9,700 339
----------
WHOLESALE -- 4.9%
Arrow Electronics* 23,300 306
First Brands 23,100 504
Richfood Holdings 26,400 406
Universal 14,600 522
----------
1,738
----------
Total Common Stocks
(Cost $35,935) 33,708
----------
REPURCHASE AGREEMENT -- 6.4%
J.P. Morgan
5.600%, dated 09/30/98,
matures 10/01/98, repurchase
price $2,264,000 (collateralized
by FNMA obligation, total
par value $2,269,000, 6.500%,
09/01/28, total market
value: $2,310,000) $2,264 2,264
----------
Total Repurchase Agreement
(Cost $2,264) 2,264
----------
Total Investments -- 102.3%
(Cost $38,199) $ 35,972
==========
* NON-INCOME PRODUCING SECURITY
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 83.4%
AIR TRANSPORTATION -- 0.8%
AMR* 5,500 $ 305
Continental Airlines, Cl B* 1,300 49
Delta Air Lines 5,900 574
----------
928
----------
AIRCRAFT -- 1.4%
Allied Signal 6,700 237
United Technologies 18,800 1,437
----------
1,674
----------
BANKS -- 7.2%
Amsouth Bancorp 4,000 136
Banc One 23,371 996
Bank of New York 1,700 47
BankAmerica 17,200 1,034
BankBoston 9,600 317
Citicorp 6,600 613
Compass Bancshares 5,600 185
Cullen/Frost Bankers 4,600 222
First Chicago 5,500 377
First American of Tennesse 5,100 196
First Security 2,100 35
First Tennessee National 10,300 281
First Union 2,000 102
First Virginia 1,800 80
Firstar 2,500 127
HF Ahmanson 6,600 366
KeyCorp 7,500 217
Mellon Bank 20,700 1,140
North Fork Bancorporation 700 14
PNC Bank 27,800 1,251
SouthTrust 2,500 87
Summit Bancorp 10,000 375
Wells Fargo 1,000 355
----------
8,553
----------
BEAUTY PRODUCTS -- 2.0%
Avon Products 35,700 1,002
Colgate Palmolive 8,800 603
Procter & Gamble 11,100 787
----------
2,392
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.6%
Tele-Communications, Cl A* 17,300 677
----------
CHEMICALS -- 3.7%
Air Products & Chemicals 54,900 1,633
Imperial Chemical Industries, ADR 8,600 273
Monsanto 39,900 2,249
40
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Morton International 7,000 $ 153
Praxair 3,100 101
----------
4,409
----------
COMMUNICATIONS EQUIPMENT -- 0.3%
Northern Telecom Ltd. 7,700 246
Tellabs* 1,300 52
----------
298
----------
COMPUTERS & SERVICES -- 5.8%
3Com* 5,300 159
Ceridian* 20,600 1,182
Cisco Systems* 31,875 1,970
Compaq Computer 9,400 297
EMC* 14,300 818
Hewlett Packard 5,600 296
IBM 16,900 2,163
----------
6,885
----------
CONTAINERS & PACKAGING -- 0.4%
Newell 10,900 502
----------
DRUGS -- 6.7%
Abbott Laboratories 20,500 890
Alza* 3,900 169
American Home Products 13,300 697
Bristol-Myers Squibb 25,700 2,670
Ecolab 3,800 108
Eli Lilly 3,200 251
Forest Laboratories* 13,200 454
Merck 12,000 1,555
Pfizer 1,400 148
Warner Lambert 13,900 1,049
----------
7,991
----------
ENVIRONMENTAL SERVICES -- 2.4%
Allied Waste Industries* 13,400 313
Republic Industries* 12,300 179
Republic Services, Cl A* 21,500 419
Waste Management 40,085 1,927
----------
2,838
----------
FINANCIAL SERVICES -- 2.5%
Associates First Capital 11,200 731
FHLMC 12,200 603
Household International 22,479 843
PacifiCorp 1,600 31
Textron 12,000 727
----------
2,935
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 4.0%
Bestfoods 3,800 $ 184
Coca-Cola 32,800 828
Conagra 15,700 423
Flowers Industries 14,300 312
International Home Foods* 31,000 419
Ralston-Ralston Purina Group 43,500 1,272
Sara Lee 20,900 1,129
William Wrigley, Jr. 2,100 159
----------
4,726
----------
HOTELS & LODGING -- 0.2%
Marriott International, Cl A 1,300 31
Promus Hotel* 6,400 176
----------
207
----------
HOUSEHOLD PRODUCTS -- 3.5%
Clorox 2,600 214
General Electric 46,700 3,716
Stanley Works 8,400 250
----------
4,180
----------
INSURANCE -- 4.6%
Allstate 4,100 171
American International Group 11,150 859
Chubb 6,100 384
Conseco 27,700 847
MGIC Investment 24,600 907
SunAmerica 10,000 610
Torchmark 29,500 1,060
Travelers 14,946 560
----------
5,398
----------
LEISURE PRODUCTS -- 1.0%
Hasbro 11,300 333
Mattel 28,150 788
----------
1,121
----------
MACHINERY -- 1.0%
Tyco International Ltd. 21,846 1,207
----------
MARINE TRANSPORTATION -- 1.8%
Carnival, Cl A 68,300 2,173
----------
MEASURING DEVICES -- 1.1%
Honeywell 16,100 1,031
Thermo Electron* 16,800 253
----------
1,284
----------
MEDICAL PRODUCTS & SERVICES -- 2.4%
Baxter International 10,600 631
Boston Scientific* 5,300 272
41
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
CAPITAL APPRECIATION FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Healthsouth Rehabilitation* 42,301 $ 447
Tenet Healthcare* 34,200 983
United States Surgical 10,700 446
----------
2,779
----------
MISCELLANEOUS BUSINESS SERVICES-- 4.0%
Cendant* 61,303 713
Microsoft* 21,600 2,377
Networks Associates* 30,039 1,066
Sun Microsystems* 11,300 563
----------
4,719
----------
MISCELLANEOUS CONSUMER SERVICES-- 0.1%
Service International 1,900 61
----------
MISCELLANEOUS MANUFACTURING -- 0.4%
US Filter* 31,862 510
----------
OFFICE FURNITURE & FIXTURES -- 0.8%
Lear* 22,900 1,002
----------
PAPER & PAPER PRODUCTS -- 0.4%
Fort James 13,900 456
----------
PETROLEUM & FUEL PRODUCTS -- 1.4%
Diamond Offshore Drilling 1,700 44
Halliburton 29,800 851
Schlumberger 7,300 367
Shell Transport & Trading, ADR 1,400 51
Union Pacific Resources 24,200 298
----------
1,611
----------
PETROLEUM REFINING -- 2.0%
British Petroleum, PLC, ADR 9,300 811
Mobil 2,400 182
Texaco 18,300 1,147
Unocal 7,600 276
----------
2,416
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.7%
Xerox 10,400 881
----------
PRINTING & PUBLISHING -- 2.1%
American Greetings 14,200 562
Gannett 4,800 257
McGraw-Hill 19,000 1,506
New York Times, Cl A 3,100 85
Viacom, Cl B* 1,700 99
----------
2,509
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
RAILROADS -- 0.8%
Burlington Northern Santa Fe 27,600 $ 883
Norfolk Southern 1,000 29
----------
912
----------
REAL ESTATE INVESTMENT TRUSTS -- 0.3%
Starwood Lodging Trust, REIT 11,073 338
----------
RETAIL -- 8.7%
Autozone* 3,200 79
Bed Bath & Beyond* 4,900 115
Consolidated Stores* 22,300 438
Costco* 30,600 1,450
CVS 35,700 1,564
Dollar General 2,750 73
Federated Department Stores* 10,400 378
Fred Meyer* 15,100 587
Lowe's 52,600 1,673
McDonald's 3,700 221
Office Depot* 54,800 1,230
PepsiCo 2,300 68
Rite Aid 30,400 1,079
Saks* 18,000 404
Sherwin Williams 3,600 78
Tandy 13,800 738
The Limited 8,700 191
----------
10,366
----------
RUBBER & PLASTIC -- 0.5%
Goodyear Tire & Rubber 6,200 319
Weatherford International* 15,540 336
----------
655
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.9%
Intel 9,900 849
Texas Instruments 5,300 280
----------
1,129
----------
SPECIALTY CONSTRUCTION -- 1.4%
LM Ericsson Telephone, ADR 11,800 217
Masco 59,100 1,455
----------
1,672
----------
SPECIALTY MACHINERY -- 0.3%
Cooper Industries 8,100 330
----------
TELEPHONES & TELECOMMUNICATION -- 2.3%
Alltel 3,000 142
Century Telephone Enterprises 13,600 643
MCI WorldCom* 38,997 1,906
----------
2,691
----------
42
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
WHOLESALE -- 3.0%
Gillette 11,300 432
Philip Morris 27,700 1,276
Safeway* 14,700 682
US Foodservice* 14,095 $ 587
WW Grainger 14,700 619
----------
3,596
----------
Total Common Stocks
(Cost $88,402) 99,011
----------
PREFERRED STOCKS -- 0.7%
AIR TRANSPORTATION -- 0.2%
Trans World Air* 5,400 264
----------
FINANCIAL SERVICES -- 0.5%
Dollar General, STRYPES* 13,100 472
Suiza Capital Trust 2,900 95
----------
567
----------
Total Preferred Stocks
(Cost $1,170) 831
----------
CONVERTIBLE BONDS -- 2.9%
Mascotech, Convertible to
32.2580 shares
4.500%, 12/15/03 $ 2,000 1,650
Office Depot, Convertible to
14.1566 shares
Zero coupon, 11/01/08 500 334
Office Depot, Convertible to
19.5090 shares
Zero coupon, 12/11/07 700 473
WMX Technologies, Convertible
to 26.078 shares
2.000%, 01/24/05 1,000 979
----------
Total Convertible Bonds
(Cost $3,672) 3,436
----------
U.S. TREASURY OBLIGATION -- 0.6%
U.S. Treasury Bill
5.050%, 11/19/98 (A) 760 756
----------
Total U.S. Treasury Obligation
(Cost $755) 756
----------
REPURCHASE AGREEMENT -- 15.2%
Lehman Brothers 5.600%, dated
09/30/98, matures 10/01/98,
repurchase price $18,077,000
(collateralized by various GNMA
obligations, par value
$28,551,000, 7.500%-11.000%,
09/15/17-07/20/28, total
market value: $18,435,000) 18,074 18,074
----------
Total Repurchase Agreement
(Cost $18,074) 18,074
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Total Investments -- 102.8%
(Cost $112,073) $ 122,108
----------
Other Assets and Liabilities, Net -- (2.8%)
Securities Sold Receivable 1,370
Securities Purchased Payable (4,638)
Other Assets and Liabilities, Net (99)
----------
Total Other Assets and Liabilities, Net (3,367)
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
8,475,484 outstanding shares of
beneficial interest 79,540
Undistributed net investment income 363
Accumulated net realized gain
on investments 28,499
Net unrealized appreciation on futures 304
Net unrealized appreciation on investments 10,035
----------
Total Net Assets-- 100.0% $118,741
==========
Net Asset Value, Offering and Redemption
Price Per Share-- Class A $14.01
==========
* 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
LTD. -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
STRYPES -- STRUCTURED YIELD PRODUCT ENHANCED STOCK
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY INCOME FUND
COMMON STOCKS -- 89.6%
AUTOMOTIVE -- 2.1%
Ford Motor 51,525 $ 2,418
----------
BANKS -- 12.9%
Banc One 31,927 1,361
Chase Manhattan 17,650 763
First Union 82,925 4,245
Fleet Financial Group 43,125 3,167
National City 36,925 2,435
NationsBank 56,300 3,012
----------
14,983
----------
BEAUTY PRODUCTS -- 0.5%
Avon Products 22,350 627
----------
43
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
EQUITY INCOME FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CHEMICALS -- 1.9%
BF Goodrich 9,950 $ 325
EI du Pont de Nemours 25,725 1,444
PPG Industries 8,175 446
----------
2,215
----------
COMMUNICATIONS EQUIPMENT -- 1.1%
GTE 22,300 1,227
----------
COMPUTERS & SERVICES -- 6.0%
Hewlett Packard 49,225 2,606
IBM 34,125 4,368
----------
6,974
----------
DRUGS -- 9.0%
Abbott Laboratories 34,725 1,508
Bristol-Myers Squibb 37,250 3,869
Merck 17,300 2,241
Pharmacia & Upjohn 36,025 1,808
SmithKline Beecham, PLC, ADR 19,350 1,059
----------
10,485
----------
ELECTRICAL SERVICES -- 1.4%
Duke Power 10,275 680
FPL Group 13,100 913
----------
1,593
----------
ENVIRONMENTAL SERVICES -- 0.7%
Browning-Ferris Industries 26,300 796
----------
FINANCIAL SERVICES -- 3.1%
Associates First Capital 13,809 901
FNMA 42,225 2,713
----------
3,614
----------
FOOD, BEVERAGE & TOBACCO -- 4.9%
General Mills 24,250 1,698
HJ Heinz 9,850 504
Philip Morris 28,725 1,323
Sara Lee 39,550 2,136
----------
5,661
----------
GAS/NATURAL GAS -- 2.0%
Enron 23,050 1,217
Williams 39,650 1,140
----------
2,357
----------
HOUSEHOLD PRODUCTS -- 3.1%
General Electric 46,000 3,660
----------
INSURANCE -- 7.6%
American General 33,250 2,124
Jefferson Pilot 26,987 1,633
Lincoln National 10,459 860
Marsh & McLennan 74,975 3,730
St. Paul 15,675 509
----------
8,856
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
LEASING & RENTING -- 1.3%
Pitney Bowes 29,250 $ 1,537
----------
MACHINERY -- 1.1%
Emerson Electric 19,825 1,234
----------
MEDICAL PRODUCTS & SERVICES -- 3.7%
Baxter International 73,375 4,366
----------
PAPER & PAPER PRODUCTS -- 0.3%
Kimberly-Clark 8,025 325
----------
PETROLEUM & FUEL PRODUCTS -- 1.5%
Halliburton 25,700 734
Phillips Petroleum 22,725 1,026
----------
1,760
----------
PETROLEUM REFINING -- 8.6%
Amoco 27,650 1,490
Chevron 16,800 1,412
Exxon 52,200 3,664
Mobil 25,450 1,933
Texaco 23,950 1,501
----------
10,000
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.4%
Eastman Kodak 6,600 510
----------
PRINTING & PUBLISHING -- 5.8%
McGraw-Hill 50,300 3,986
RR Donnelley & Sons 79,850 2,810
----------
6,796
----------
RETAIL -- 2.5%
JC Penney 9,875 444
May Department Stores 21,075 1,085
Sears Roebuck 30,625 1,353
----------
2,882
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.6%
Thomas & Betts 17,100 651
----------
SPECIALTY SERVICES -- 0.4%
National Service Industries 14,518 463
----------
TELEPHONES & TELECOMMUNICATION -- 6.7%
Alltel 36,850 1,746
Ameritech 26,975 1,278
AT&T 18,600 1,087
Bell Atlantic 24,295 1,177
SBC Telecommunications 29,524 1,312
US West 24,166 1,267
----------
7,867
----------
44
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
WHOLESALE -- 0.4%
Motorola 12,300 $ 525
----------
Total Common Stocks
(Cost $81,090) 104,382
----------
U.S. TREASURY OBLIGATION -- 0.7%
United States Treasury Bill
5.050%, 11/19/98 (A) $ 800 796
----------
Total U.S. Treasury Obligation
(Cost $795) 796
----------
REPURCHASE AGREEMENT -- 9.9%
J.P. Morgan
5.600%, dated 09/30/98,
matures 10/01/98, repurchase
price $11,582,000,
(collateralized by various
GNMA obligations, par value
$39,758,000, 8.500%,
01/15/17-04/15/26, total market
value: $11,812,000) 11,580 11,580
----------
Total Repurchase Agreement
(Cost $11,580) 11,580
----------
Total Investments -- 100.2%
(Cost $93,465) 116,758
----------
Other Assets and Liabilities, Net -- (0.2%) (182)
----------
NET ASSETS:
Fund Shares of Class A
(unlimited authorization --
no par value) based on
7,978,856 outstanding shares of
beneficial interest 65,465
Undistributed net investment income 581
Accumulated net realized gain
on investments 26,836
Net unrealized appreciation on futures 401
Net unrealized appreciation on investments 23,293
----------
Total Net Assets -- 100.0% $116,576
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $14.61
==========
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
PLC --PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BALANCED FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 45.6%
AIR TRANSPORTATION -- 0.5%
AMR* 1,600 $ 89
Continental Airlines, Cl B* 300 11
Delta Air Lines 1,600 156
----------
256
----------
AIRCRAFT -- 0.8%
Allied Signal 1,900 67
United Technologies 5,200 397
----------
464
----------
BANKS -- 3.6%
Amsouth Bancorp 800 27
Banc One 6,088 260
Bank of New York 300 8
Bank United, Cl A 900 32
BankAmerica 3,600 216
BankBoston 2,500 83
Citicorp 1,500 139
Compass Bancshares 1,000 33
Cullen/Frost Bankers 1,200 58
First American of Tennesse 700 27
First Chicago 1,400 96
First Security 500 8
First Tennessee National 2,100 57
First Union 300 15
First Virginia 500 22
Firstar 500 25
HF Ahmanson 1,700 94
KeyCorp 2,000 58
Mellon 5,500 303
North Fork Bancorporation 200 4
PNC Bank 7,200 324
SouthTrust 700 24
Summit Bancorp 2,700 101
----------
2,014
----------
BEAUTY PRODUCTS -- 1.1%
Avon Products 9,400 264
Colgate-Palmolive 2,300 158
Procter & Gamble 2,900 206
----------
628
----------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 0.3%
Tele-Communications, Cl A* 4,600 180
----------
45
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
BALANCED FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CHEMICALS -- 1.7%
Air Products & Chemicals 11,400 $ 339
Imperial Chemical
Industries, ADR 2,300 73
Monsanto 8,100 457
Morton International 3,600 79
Praxair 900 29
----------
977
----------
COMMUNICATIONS EQUIPMENT -- 0.1%
Northern Telecom Ltd. 1,700 54
Tellabs* 300 12
----------
66
----------
COMPUTERS & SERVICES -- 3.2%
3Com* 1,400 42
Ceridian* 5,400 310
Cisco Systems* 7,800 482
Compaq Computer 2,500 79
EMC* 3,800 217
Hewlett Packard 1,500 79
IBM 4,500 576
----------
1,785
----------
CONTAINERS & PACKAGING -- 0.2%
Newell 2,700 124
----------
DRUGS -- 3.6%
Abbott Laboratories 5,400 235
Alza* 900 39
American Home Products 3,300 173
Bristol-Myers Squibb 6,900 717
Eli Lilly 800 63
Forest Laboratories* 2,600 89
Merck 3,000 389
Pfizer 300 32
Warner Lambert 3,800 287
----------
2,024
----------
ELECTRICAL SERVICES -- 0.0%
PacifiCorp 400 8
----------
ENVIRONMENTAL SERVICES -- 1.3%
Allied Waste Industries* 3,500 82
Republic Industries* 3,300 48
Republic Services, Cl A* 5,700 111
Waste Management 10,465 503
----------
744
----------
FINANCIAL SERVICES -- 1.6%
Associates First Capital 3,000 196
FHLMC 3,200 158
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Household International 7,659 $ 287
Textron 4,100 249
----------
890
----------
FOOD, BEVERAGE & TOBACCO -- 2.6%
Bestfoods 1,000 48
Coca-Cola 7,200 182
Conagra 4,149 112
Flowers Industries 3,300 72
International Home Foods* 100 1
Philip Morris 7,400 341
Ralston-Ralston Purina 11,500 336
Sara Lee 5,700 308
William Wrigley, Jr. 600 46
----------
1,446
----------
HOTELS & LODGING -- 0.1%
Marriott International, Cl A 400 10
Promus Hotel* 1,400 39
----------
49
----------
HOUSEHOLD PRODUCTS -- 2.2%
Clorox 700 58
General Electric 12,400 987
Gillette 3,000 115
Stanley Works 1,500 45
----------
1,205
----------
INSURANCE -- 2.7%
Allstate 1,100 46
American International Group 2,987 230
Chubb 900 57
Conseco 7,300 223
MGIC Investment 6,500 240
SunAmerica 3,400 207
Torchmark 7,200 259
Travelers 6,080 228
----------
1,490
----------
LEISURE PRODUCTS -- 0.6%
Hasbro 2,700 80
Mattel 8,100 227
----------
307
----------
MACHINERY -- 0.6%
Tyco International, Ltd. 5,758 318
----------
MARINE TRANSPORTATION -- 1.0%
Carnival 18,000 573
----------
46
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MEASURING DEVICES -- 0.6%
Honeywell 4,300 $ 275
Thermo Electron* 4,200 63
----------
338
----------
MEDICAL PRODUCTS & SERVICES -- 1.3%
Baxter International 2,800 167
Boston Scientific* 1,400 72
Healthsouth Rehabilitation* 10,742 113
Tenet Healthcare* 8,300 239
United States Surgical 2,900 121
----------
712
----------
MISCELLANEOUS BUSINESS SERVICES -- 2.0%
Cendant* 15,485 180
Ecolab 700 20
Microsoft* 5,400 594
Networks Associates* 5,897 209
Sun Microsystems* 2,800 139
----------
1,142
----------
MISCELLANEOUS CONSUMER SERVICES -- 0.0%
Service International 500 16
----------
MISCELLANEOUS MANUFACTURING -- 0.9%
Masco 15,600 384
US Filter* 8,537 137
----------
521
----------
OFFICE FURNITURE & FIXTURES -- 0.4%
Lear* 5,700 249
----------
PAPER & PAPER PRODUCTS -- 0.2%
Fort James 3,700 121
----------
PETROLEUM & FUEL PRODUCTS -- 0.7%
Diamond Offshore Drilling 400 10
Halliburton 7,000 200
Schlumberger 2,600 131
Union Pacific Resources 4,726 58
----------
399
----------
PETROLEUM REFINING -- 1.2%
British Petroleum, PLC, ADR 2,630 229
Mobil 900 68
Texaco 5,100 320
Unocal 2,000 73
----------
690
----------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.4%
Xerox 2,700 $ 229
----------
PRINTING & PUBLISHING -- 1.0%
American Greetings 3,500 138
Gannett 1,000 54
McGraw-Hill 3,900 309
New York Times, Cl A 1,600 44
Viacom, Cl B* 400 23
----------
568
----------
RAILROADS -- 0.4%
Burlington Northern Santa Fe 7,300 234
Norfolk Southern 300 9
----------
243
----------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Starwood Lodging Trust, REIT 2,161 66
----------
RETAIL -- 5.2%
Autozone* 800 20
Bed Bath & Beyond* 1,300 30
Consolidated Stores* 5,900 116
Costco* 8,100 384
CVS 9,400 412
Dollar General 625 17
Federated Department Stores* 3,600 131
Fred Meyer* 3,100 121
Intimate Brands 2,700 51
Lowe's 13,900 442
McDonald's 800 48
Office Depot* 13,700 307
PepsiCo 600 18
Rite Aid 10,100 359
Safeway* 3,000 139
Saks* 3,800 85
Sherwin Williams 700 15
Tandy 3,600 193
The Limited 2,500 55
----------
2,943
----------
RUBBER & PLASTIC -- 0.3%
Goodyear Tire & Rubber 1,600 82
Weatherford International* 3,615 78
----------
160
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.5%
Intel 2,600 223
Texas Instruments 1,300 69
----------
292
----------
47
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
BALANCED FUND--CONCLUDED
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 2.0%
Alltel 300 $ 14
Century Telephone Enterprises 4,100 194
Cooper Industries 1,700 69
LM Ericsson Telephone, ADR 3,000 55
Lucent Technologies 4,802 332
MCI WorldCom* 8,985 439
----------
1,103
----------
WHOLESALE -- 0.6%
US Foodservice* 3,665 153
WW Grainger 3,900 164
----------
317
----------
Total Common Stocks
(Cost $23,379) 25,657
----------
PREFERRED STOCKS -- 1.1%
AIR TRANSPORTATION -- 0.1%
Trans World Air* 1,100 54
----------
FINANCIAL SERVICES -- 0.2%
Dollar General, STRYPES 2,700 97
Suiza Cap Trust* 700 23
----------
120
----------
INSURANCE -- 0.2%
Conseco Financial Trust 3,000 118
----------
MISCELLANEOUS BUSINESS SERVICES-- 0.6%
Microsoft 3,500 337
----------
Total Preferred Stocks
(Cost $648) 629
----------
U.S. TREASURY OBLIGATIONS -- 16.9%
U.S. Treasury Notes
5.000%, 01/31/99 $ 125 125
6.000%, 10/15/99 125 127
7.500%, 10/31/99 345 355
6.375%, 01/15/00 100 102
5.500%, 04/15/00 150 152
6.375%, 05/15/00 495 510
5.750%, 10/31/00 100 103
5.750%, 11/15/00 375 385
7.750%, 02/15/01 125 134
5.625%, 02/28/01 100 103
8.000%, 05/15/01 400 435
6.500%, 05/31/01 1,105 1,163
6.375%, 09/30/01 100 105
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
6.375%, 09/30/01 $4,085 $ 4,315
6.625%, 03/31/02 10 11
6.250%, 06/30/02 100 106
6.375%, 08/15/02 100 107
6.250%, 02/15/03 100 107
5.750%, 08/15/03 150 159
5.875%, 02/15/04 225 241
7.250%, 05/15/04 175 200
5.625%, 02/15/06 50 54
6.625%, 05/15/07 360 414
----------
Total U.S. Treasury Obligations
(Cost $9,201) 9,513
----------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 5.1%
FHLMC
6.000%, 12/01/98 123 125
8.000%, 06/01/02 169 173
7.000%, 10/01/02 457 467
8.000%, 12/01/02 331 337
FNMA
7.000%, 10/01/03 775 796
5.800%, 12/10/03 100 105
6.400%, 09/27/05 50 54
5.875%, 02/02/06 755 800
----------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $2,772) 2,857
----------
CORPORATE OBLIGATIONS -- 20.4%
Amer Gen Finance
5.860%, 01/22/01 830 846
Bausch & Lomb
6.150%, 08/01/01 1,340 1,374
Bear Stearns, MTN
7.000%, 03/01/07 800 862
Capital One Bank
7.000%, 04/30/01 1,140 1,178
Caterpillar Financial Services
5.930%, 10/10/02 410 423
Countrywide Funding, MTN
6.690%, 07/14/13 995 1,061
Dillards
6.430%, 08/01/04 725 763
Household Finance
8.375%, 11/15/01 355 387
Ikon Capital Resources
7.040%, 04/25/00 675 691
48
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
International Lease Financial
5.800%, 06/15/01 $ 390 $ 397
Merrill Lynch
8.250%, 11/15/99 705 729
Provident
6.375%, 07/15/05 1,600 1,666
Salomon Smith Barney
6.250%, 01/15/05 1,045 1,083
----------
Total Corporate Obligations
(Cost $11,046) 11,460
----------
CONVERTIBLE BOND -- 0.4%
WMX Technologies, Convertible
to 26.078 shares
2.000%, 01/24/05 200 196
----------
Total Convertible Bond
(Cost $216) 196
----------
CERTIFICATE OF DEPOSIT -- 1.4%
BankBoston
7.000%, 09/15/07 740 783
----------
Total Certificate of Deposit
(Cost $766) 783
----------
REPURCHASE AGREEMENT -- 9.8%
J.P. Morgan
5.600%, dated 09/30/98,
matures 10/01/98, repurchase
price $5,533,000 (collateralized
by GNMA obligation, par value
$14,310,000, 8.500%, 6/15/25,
total market value: $5,643,000) 5,533 5,533
----------
Total Repurchase Agreement
(Cost $5,533) 5,533
----------
Total Investments -- 100.7%
(Cost $53,561) 56,628
----------
Other Assets and Liabilities, Net-- (0.7%)
Securities Purchased Payable (1,102)
Other Assets and Liabilities, Net 730
----------
Total Other Assets and Liabilities, Net (372)
----------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
4,270,923 outstanding shares of
beneficial interest $ 45,539
Undistributed net investment income 426
Accumulated net realized gain
on investments 7,224
Net unrealized appreciation on investments 3,067
----------
Total Net Assets -- 100.0% $56,256
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $13.17
==========
* 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
LTD.-- LIMITED
MTN -- MEDIUM TERM NOTE
PLC -- PUBLIC LIMITED CORPORATION
STRYPES -- STRUCTURED YIELD PRODUCT ENHANCED STOCK
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CORE FIXED INCOME FUND
U.S. TREASURY OBLIGATIONS -- 31.0%
U.S. Treasury Bonds
5.500%, 02/29/00 $ 19,700 $ 19,969
10.750%, 08/15/05 42,850 58,591
9.250%, 02/15/16 106,390 156,631
6.375%, 08/15/27 56,619 66,752
5.625%, 08/15/28 35 38
U.S. Treasury Notes
6.500%, 08/31/01 2,500 2,642
6.500%, 05/31/02 2,000 2,141
5.625%, 12/31/02 4,000 4,193
5.500%, 01/31/03 29,970 31,296
5.750%, 04/30/03 22,500 23,800
5.750%, 08/15/03 2,280 2,418
3.375%, 01/15/07 (E) 25,200 24,799
3.625%, 01/15/08 (E) 23,012 23,077
6.250%, 08/15/23 140 160
3.625%, 04/15/28 (E) 37,890 37,772
U.S. Treasury STRIPS
Zero Coupon, 11/15/04 400 306
----------
Total U.S. Treasury Obligations
(Cost $425,968) 454,585
----------
49
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
CORE FIXED INCOME FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 21.5%
ABN Amro Bank of Chicago
6.625%, 12/31/01 $ 2,500 $ 2,591
Allstate Insurance
7.500%, 06/15/13 1,000 1,170
Associated P&C Holdings (B)
6.750%, 07/15/03 4,205 4,436
Associates Corporation of
North America PLC (B)
6.500%, 07/15/02 675 708
BA Capital Trust A (B)
7.900%, 01/15/27 4,630 4,271
Banco Nacional de Mexico,
Cl A-1 (B)
6.250%, 12/01/03 4,425 4,442
BankAmerica
8.125%, 02/01/02 1,043 1,134
9.200%, 05/15/03 850 983
Bankers Trust
8.125%, 05/15/20 1,660 1,770
Bear Stearns
6.500%, 06/15/00 2,550 2,604
6.750%, 08/15/00 2,000 2,055
9.375%, 06/01/01 1,253 1,380
Boston Edison
9.875%, 06/01/20 2,000 2,212
9.375%, 08/15/21 4,500 5,107
British Aerospace Financial (B)
7.500%, 07/01/27 11,550 12,676
Commonwealth Edison
9.750%, 02/15/20 2,475 2,695
9.875%, 06/15/20 850 1,035
Continental Bank, N.A.
12.500%, 04/01/01 1,850 2,171
Continental Cablevision
9.000%, 09/01/08 2,900 3,549
9.500%, 08/01/13 5,025 6,482
Countrywide Capital I
8.000%, 12/15/26 1,750 1,942
Dayton Hudson
10.000%, 01/01/11 1,000 1,371
8.600%, 01/15/12 941 1,206
Deseret Generator &
Transportation Coop
9.375%, 01/02/11 942 978
Dresdner Bank
7.250%, 09/15/15 2,700 2,757
Dryden Investor Trust (B)
7.157%, 07/23/08 10,800 11,029
Eckerd Jack
9.250%, 02/15/04 1,000 1,047
Equitable Companies
9.000%, 12/15/04 4,000 4,780
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Federal Express
9.650%, 06/15/12 $ 3,175 $ 4,171
9.625%, 10/15/19 850 911
Federal Paperboard
8.875%, 07/01/12 1,700 2,246
First National Bank of Omaha
7.320%, 12/01/10 750 843
First Union
8.125%, 06/24/02 1,100 1,211
First USA Bank
7.000%, 08/20/01 1,175 1,235
First USA Bank MTN
5.850%, 02/22/01 4,000 4,080
Fleet Financial Group
9.900%, 06/15/01 2,000 2,237
Ford Capital
10.125%, 11/15/00 1,275 1,406
9.875%, 05/15/02 850 986
Ford Motor
9.215%, 09/15/21 1,000 1,312
Ford Motor Capital
9.500%, 07/01/01 1,000 1,114
Ford Motor Credit
7.700%, 05/15/97 4,200 4,798
Ford Motor Global
6.625%, 10/01/28 3,810 3,867
General Motors Acceptance
9.625%, 12/15/01 1,850 2,097
General Motors Global
6.750%, 05/01/28 5,330 5,450
General Motors Notes
6.375%, 05/01/08 4,300 4,547
Georgia Pacific
9.500%, 12/01/11 1,500 1,989
9.875%, 11/01/21 3,475 3,983
GMAC
8.000%, 10/01/99 1,850 1,901
9.375%, 04/01/00 1,250 1,328
6.250%, 06/15/15 10,000 3,575
Goldman Sachs
6.250%, 02/01/03 4,700 4,882
GTE
10.250%, 11/01/20 1,700 1,919
Hydro Quebec
8.050%, 07/07/24 2,550 3,047
Hydro Quebec, Ser FU
11.750%, 02/01/12 1,300 2,031
Hydro Quebec, Ser GW
9.750%, 01/15/18 3,850 4,514
IBM Credit
5.680%, 07/07/99 5,000 5,026
JC Penney
9.750%, 06/15/21 2,550 2,859
50
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
JP Morgan Capital
7.950%, 02/01/27 $ 700 $ 756
K N Energy
9.625%, 08/01/21 1,900 2,156
Korea Development Bank
7.125%, 09/17/01 1,300 1,123
Korea Electric Power
7.750%, 04/01/13 1,285 774
6.750%, 08/01/27 1,075 766
Lehman Brothers
9.875%, 10/15/00 3,225 3,459
6.125%, 02/01/01 2,825 2,829
8.750%, 05/15/02 1,105 1,192
Loew's
7.625%, 06/01/23 2,550 2,764
May Department Stores
9.875%, 06/15/21 2,150 2,494
Midland Bank PLC
6.950%, 03/15/11 3,700 3,950
Mobile Energy Services
8.665%, 01/01/17 733 308
Money Store
8.050%, 04/15/02 1,700 1,853
MSC 98-CF1 (A) CMO
15.710%, 12/15/12 19,710 1,054
N R G Energy (B)
7.625%, 02/01/06 2,000 2,227
Nabisco
7.550%, 06/15/15 2,000 2,138
6.375%, 02/01/35 5,000 5,113
National Bank of Hungary
8.875%, 11/01/13 1,550 1,914
National Rural Utilities
Cooperative Finance
9.000%, 09/01/21 1,400 1,580
National Westminster Bancorp
8.375%, 11/15/03 3,568 4,175
NCNB Bank
10.200%, 07/15/15 3,280 4,453
New York Telephone
9.375%, 07/15/31 2,900 3,328
News America (B)
6.750%, 01/09/38 1,120 1,189
News America Holdings
10.125%, 10/15/12 1,100 1,305
Norfolk Southern Railway
7.800%, 05/15/27 3,200 3,776
Norsk Hydro A/S
9.000%, 04/15/12 1,725 2,234
Oneok
9.750%, 12/01/20 1,150 1,291
Paine Webber Group
6.500%, 11/01/05 2,000 2,098
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Paine Webber Group, MTN
6.930%, 08/15/03 $1,200 $ 1,278
Philip Morris Global
7.000%, 07/15/05 1,850 1,980
Phillips Petroleum
9.180%, 09/15/21 2,800 3,164
Pohang Iron & Steel
7.125%, 07/15/04 1,250 939
7.375%, 05/15/05 585 429
Potomac Electric Power
9.000%, 06/01/21 1,000 1,115
Province of Manitoba
9.500%, 09/15/18 3,580 4,930
Province of NewFoundland
10.000%, 12/01/20 850 1,221
Public Services Electric & Gas
7.625%, 02/01/00 1,170 1,209
PVNGS II Funding
8.000%, 12/30/15 4,500 5,276
RJR Nabisco
8.750%, 08/15/05 950 993
8.500%, 07/01/07 600 656
8.750%, 07/15/07 2,235 2,478
Salomon Brothers
7.750%, 05/15/00 1,275 1,328
6.750%, 02/15/03 5,550 5,855
Sumitomo Bank International
9.550%, 07/15/00 2,000 2,113
Swiss Bank
7.000%, 10/15/15 1,700 1,857
System Energy Resources
7.430%, 01/15/11 2,184 2,439
TCI Communications
8.750%, 08/01/15 2,415 3,001
Tele-Communications
9.250%, 01/15/23 850 992
Tenneco
7.450%, 12/15/25 500 556
Time Warner
9.125%, 01/15/13 1,850 2,384
Transamerica Finance
6.750%, 06/01/00 3,455 3,546
U.S. West Communication
8.875%, 06/01/31 1,000 1,128
Union Camp
10.000%, 05/01/19 1,700 1,825
9.250%, 08/15/21 500 542
Western National
7.125%, 02/15/04 3,000 3,270
Westvaco
10.125%, 06/01/19 1,000 1,081
Weyerhaeuser
7.250%, 07/01/13 1,875 2,091
51
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
CORE FIXED INCOME FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Wharf Capital
8.875%, 11/01/04 $ 975 $ 686
Wharf International Finance
7.625%, 03/13/07 1,300 715
Worldcom
6.250%, 08/15/03 8,960 9,352
YPF Sociedad Anonima
7.750%, 08/27/07 5,000 4,069
Zurich Capital Trust (B)
8.376%, 06/01/37 8,700 9,788
----------
Total Corporate Obligations
(Cost $304,760) 314,731
----------
U.S. GOVERNMENT AGENCY OBLIGATION -- 0.2%
FNMA Discount Note (C)
5.870%, 02/17/99 3,190 3,129
----------
Total U.S. Government Agency Obligation
(Cost $3,126) 3,129
----------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 29.1%
FHLMC
6.000%, 04/01/13-10/01/23 12,930 13,024
6.500%, 01/01/23-01/01/24 563 574
7.000%, 02/01/09-09/01/25 11,299 11,595
7.500%, 06/01/10-11/01/10 1,196 1,234
8.000%, 07/01/12-03/01/28 32,356 33,496
9.000%, 12/01/05 171 179
FHLMC CMO
7.000%, 03/15/28 405 121
7.000%, 04/15/28 357 88
FHLMC
7.500%, 03/01/24 882 910
FHLMC REMIC, Ser 1005, Cl D
6.500%, 10/15/05 914 925
FHLMC REMIC, Ser 1563, Cl SB (A)
8.320%, 08/15/08 412 421
FHLMC REMIC, Ser 1, Cl Z
9.300%, 04/15/19 2,869 3,105
FHLMC TBA
6.500%, 10/19/13 14,300 14,586
6.000%, 10/01/28 50,990 50,894
FNMA
6.500%, 09/01/12-10/14/28 20,952 21,326
6.750%, 07/30/07 1,000 1,063
7.000%, 05/01/26 3 4
7.500%, 06/01/22-07/01/28 991 1,021
8.000%, 11/01/10-05/01/13 6,745 6,969
8.500%, 09/01/13 101 106
9.000%, 07/01/07 164 173
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 1997-G5
7.050%, 06/25/04 $ 4,701 $ 4,734
FNMA PO, Ser 94-9-C
Zero Coupon, 08/25/23 268 253
FNMA REMIC
5.500%, 08/25/20 4,071 4,087
FNMA REMIC Ser 1990-106, Cl-J
8.500%, 09/25/20 895 947
FNMA REMIC Ser 1991-156, Cl A
7.500%, 10/25/21 2,852 2,916
FNMA REMIC Ser 1996-56,
STRIPS, CMO
9.000%, 09/25/25 883 932
FNMA, Ser 93-216, Cl C, PO
Zero Coupon, 08/25/23 112 107
FNMA TBA
6.000%, 10/01/13-10/01/28 16,600 16,664
6.500%, 10/01/13-10/01/28 39,672 37,517
7.000%, 10/01/13 2,000 2,049
GNMA
6.000%, 07/20/27 2,432 2,476
6.500%, 04/15/23-09/15/28 35,678 40,570
6.875%, 06/20/18 241 247
7.000%, 09/20/19 285 292
7.000%, 04/15/22-09/15/28 41,118 42,567
7.125%, 08/20/22 4,432 4,521
8.000%, 05/15/25-09/01/27 3,400 3,541
8.500%, 11/15/00-12/15/21 585 618
9.500%, 01/15/19 616 665
GNMA TBA
6.500%, 10/01/28 40,800 41,616
7.000%, 10/01/28 8,000 8,237
7.500%, 09/15/06-10/01/28 47,233 48,946
----------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $419,356) 426,316
----------
ASSET-BACKED SECURITIES -- 6.6%
Asset Securitization, Ser 1997-D4,
Cl A1-C
7.420%, 04/14/29 3,100 3,404
AT&T Universal Card
5.950%, 10/17/02 4,275 4,361
Banc One Credit Card
Master Trust
6.300%, 09/15/00 6,325 6,489
6.150%, 07/15/02 4,600 4,693
Champion 95-2 A2 (B)
7.340%, 10/25/26 1,482 1,486
Chase Manhattan Auto Guarantor
Trust, Ser 96-B, Cl A
6.610%, 04/16/02 513 520
52
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Chase Credit Card Master
Trust, Ser 1996-B, Cl A
6.230%, 06/15/03 $ 10,175 $ 10,435
Chevy Auto Receivables Trust,
Ser 1996-2, Cl A
5.900%, 07/15/03 667 672
Citibank Credit Card Master
Trust I, Ser 1996-1, Cl A, PO
Zero Coupon, 02/07/03 14,542 12,870
Citibank Credit Card Master
Trust I Series 1997-6, Class A
Zero Coupon, 08/15/06 1,133 839
Delta Funding Hel, Ser 1998-1,
Cl A1-F (A)
5.770%, 10/25/17 4,233 4,233
Discover Card, Ser 1995-2, Cl A
6.550%, 02/18/03 4,275 4,395
Empire Funding Home Loan
Owner Trust, Ser 1997-4,
Cl A1 (A)
5.750%, 01/25/08 1,143 1,143
First Chicago Master Trust
7.150%, 04/15/01 4,275 4,353
GMACC, Ser 98-C2
18.010%, 05/15/31 25,665 1,173
IBM Credit Receivables Lease
Master Trust, Ser 93-1 A
4.550%, 11/15/00 234 234
Keycorp Auto Guarantor Trust
5.800%, 07/15/00 1,460 1,468
Money Store Trust, Cl 1998-A,
Ser A1
6.405%, 03/15/06 6,251 6,263
NationsBank
6.450%, 04/15/03 3,975 4,116
Sears Credit, Cl A
6.050%, 01/15/08 2,135 2,206
Sears Credit Account Master
Trust II, Ser 95-2, Cl A
7.000%, 10/15/04 1,700 1,755
Sears Credit Account Master
Trust, Ser 95-3, Cl A
8.100%, 06/15/04 2,750 2,853
Sears Credit Account Master
Trust, Ser 95-5, Cl A
7.000%, 01/15/04 5,726 5,820
Structured Asset Securities
Ser 1998-C2A, Cl A (A)
5.770%, 01/25/13 816 815
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Union Acceptance, Ser 1998-B,
Cl A2
5.830%, 10/09/01 $ 10,000 $ 10,005
----------
Total Asset-Backed Securities
(Cost $93,677) 96,601
----------
MORTGAGE-BACKED OBLIGATIONS -- 9.6%
Arbors of Little Rock (D)
7.450%, 01/01/39 1,995 2,127
Castle Terrace (D)
8.000%, 05/01/37 1,503 1,642
Chase Commercial
Mortgage Security
7.370%, 02/19/07 107 116
CLC Excelsior II Apartments (D)
8.040%, 02/01/39 500 548
Contimortgage Home Equity
Loan Trust, Ser 1998-1, Cl A2
6.180%, 07/15/12 15,000 15,191
Creekwood (D)
7.300%, 11/30/38 1,999 2,133
Enclave of Stone Brook (D)
7.500%, 08/29/37 1,929 2,068
First Plus Home Loan Trust,
Ser 1998-2, Cl A1 (A)
5.740%, 12/10/08 5,639 5,630
First Union-Lehman Brothers
CMO, IO, Ser 1997-C2, Cl IO (B)
1.540%, 11/18/27 4,600 403
Fund America Investors Corp. II,
CMO, ARM, REMIC,
Ser 93-A, Cl A-2
7.950%, 06/25/23 4,888 4,986
Global Franchise Trust,
Ser 98-1, Cl X (B)
6.200%, 06/10/18 17,500 1,610
Goldman Sachs Mortgage
Securities, Ser 1998-2, Cl A CMO
7.750%, 05/19/27 1,441 1,511
Green Tree Financial
Ser 1996-10, Cl A6
7.290%, 03/15/28 1,250 1,348
Green Tree Financial
Ser 1998 B, Cl A4
6.390%, 02/15/25 3,450 3,566
GSMS 98-1 A CMO
8.000%, 08/19/19 1,627 1,714
Holt Apartments (D)
7.275%, 07/30/38 2,030 2,150
53
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
CORE FIXED INCOME FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
JP Morgan Commercial Mortgage
Finance, Ser 1997-C5, Cl X,
CMO, IO (A) (B)
8.078%, 09/15/29 $ 15,900 $ 1,399
Nomura Asset Securities Corp.,
CMO, Ser 96-, Cl A-1B
7.120%, 04/13/36 5,100 5,535
Merit Securities CMO
Ser 11, Cl 1A1
6.580%, 07/28/22 1,063 1,064
Merit Security Corporation,
98-Wf1 CMBS CMO
6.250%, 07/15/07 1,423 1,459
Merrill Lynch
7.430%, 09/01/22 1,907 2,020
Merrill Lynch Mortgage
Investors, Ser 1996-C2, Cl A3
6.960%, 11/21/28 7,940 8,444
Merrill Lynch Mortgage
Investors, Ser 1996-C2
6.960%, 11/21/28 530 549
MSCI, Ser 98-Cf1, Cl A1
6.330%, 05/15/30 1,767 1,811
Olmstead Commons (D)
7.840%, 03/01/28 798 869
Orchard Park Inn (D)
7.840%, 03/01/28 560 611
Rali 97-Qs12a7 CMO
7.250%, 11/25/27 1,788 1,845
Renaissance Place
Apartments (D)
7.395%, 08/02/32 1,342 1,429
Residential Accredit Loans,
Ser 1997-QS10, Cl A1
7.250%, 10/25/27 1,940 1,980
Residential Accredit Loans,
Ser 1998-QS05, Cl A1
6.750%, 04/25/28 2,350 2,373
Residential Accredit Loans,
Ser 1998-QS4, Cl A1
6.500%, 03/25/28 1,472 1,482
Residential Asset
Securitization
Trust, Ser 1998-A1
7.000%, 03/25/28 2,853 2,904
Residential Asset
Securitization
Trust, Ser 98-A8, Cl A2 (A)
6.750%, 06/25/28 1,290 1,295
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Residential Asset Securitization,
Ser 1998-A6, Cl A1
6.750%, 03/01/28 $ 2,606 $ 2,619
Rosewood (D)
8.000%, 07/01/37 1,502 1,644
RTC 92-7-A2D, ARM
6.590%, 06/25/21 871 871
RTC ARM 92-B3 (A)
7.920%, 09/25/29 3,225 3,323
RTC ARM M-3 (A)
6.710%, 05/25/21 11,381 11,355
Ryland Mortgage, Ser 1994-7a,
Cl A2
7.000%, 08/25/25 1,681 1,724
Sanctuary at Tuttle Crossing (D)
8.250%, 06/01/37 1,287 1,419
Security Pacific Acceptance Corp.
8.550%, 09/15/11 744 753
Shavano Park (D)
7.875%, 07/01/38 1,510 1,639
Silverado Apartments (D)
7.175%, 11/30/39 2,568 2,689
Somerford Place Facility (D)
7.475%, 12/30/38 1,964 2,105
Structured Assets Securities
Corp., Ser 93-C1
6.600%, 10/25/24 8,000 8,051
The Money Store Trust, Ser 97-2,
Cl A1 (A)
6.650%, 11/15/07 1,284 1,294
UCFC Home Equity Loan,
Ser 95-B-1, Cl A5
7.250%, 12/10/20 2,450 2,678
UCFC Home Equity Loan,
Ser 1998-A, Cl A1 (A)
5.720%, 07/15/11 7,107 7,105
Union Planters Mortgage
Finance, CMO,
Ser 1998-1, Cl A1
6.350%, 01/25/28 1,707 1,719
Village at Stone Falls (D)
7.375%, 08/29/37 1,996 2,122
Villages at Clear Springs (D)
7.625%, 09/30/38 2,008 2,167
Western Financial Grantors Trust
Ser 95-2, Cl A1
7.100%, 07/01/00 936 943
----------
Total Mortgage-Backed Obligations
(Cost $134,923) 140,032
----------
54
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
OPTIONS -- 0.1%
March 1999 90 Day Euro$ Call $ 782 $ 1,525
December 1998 90 Day Euro$ Call 339 559
December 1998 90 Day Euro$ Call 167 190
March 1999 Euro$ Call (171) (62)
December 1998 US Long Bond Put (288) (32)
March 1999 US Long Bond Call (204) (363)
----------
Total Options
(Cost $488) 1,817
----------
MUNICIPAL BOND -- 0.1%
LA County
Zero coupon, 06/30/10 3,850 1,988
----------
Total Municipal Bond
(Cost $1,580) 1,988
----------
REPURCHASE AGREEMENT -- 15.0%
J.P. Morgan
5.600%, dated 09/30/98, matures
10/01/98, repurchase price
$219,666,000 (collateralized
by various GNMA obligations,
total par $457,470,000,
9.000%, 06/15/16-12/15/28, total
market value: $224,024,000) 219,631 219,631
----------
Total Repurchase Agreements
(Cost $219,631) 219,631
----------
Total Investments -- 113.2%
(Cost $1,604,783) 1,658,830
----------
Other Assets and Liabilities, Net -- (13.2%) (193,545)
----------
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
219,666,000 outstanding shares
of beneficial interest 1,382,119
Undistributed net investment income 46
Accumulated net realized gain
on investments 30,591
Net unrealized depreciation on futures (1,518)
Net unrealized appreciation on investments 54,047
----------
Total Net Assets -- 100.0% $1,465,285
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.92
==========
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
(A) VARIABLE RATE SECURITY--THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT AS OF SEPTEMBER 30, 1998.
(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
CL -- CLASS
COFI -- COST OF FUNDS INDEX
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
MTN -- MEDIUM TERM NOTE
PLC -- PUBLIC LIMITED COMPANY
PO -- PRINCIPAL ONLY
REMIC -- REAL ESTATE MORTGAGE INVESTMENT CONDUIT
RTC -- RESOLUTION TRUST CORPORATION
SER -- SERIES
STRIPS -- SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
TBA -- TO BE ANNOUNCED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
HIGH YIELD BOND FUND
CORPORATE OBLIGATIONS -- 88.1%
Abraxas Petroleum, Ser D
11.500%, 11/01/04 $1,250 $ 1,003
Acme Television/Finance (A) (B)
11.730%, 09/30/04 500 386
Adelphia Cable Communications
10.500%, 07/15/04 500 541
Adelphia Communications, Ser B
8.375%, 02/01/08 750 761
ADV Accessory
9.750%, 10/01/07 550 533
55
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
HIGH YIELD BOND FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Advance Holding (A) (B)
12.610%, 04/15/09 $ 1,100 $ 637
Advanced Radio Telecom
14.000%, 02/15/07 500 389
Advanve Stores (A)
10.250%, 04/15/08 300 293
AES
8.500%, 11/01/07 800 758
Aetna Industries
11.875%, 10/01/06 900 945
AFC Enterprises
10.250%, 05/15/07 900 916
Ainsworth Lumber
12.500%, 07/15/07 1,000 997
Airplanes Pass Through Trust
10.875%, 03/15/19 300 318
Alaris Medical (A) (B)
14.740%, 08/01/08 750 329
Algoma Steel First Mortgage
12.375%, 07/15/05 800 710
Allbritton Communications
9.750%, 11/30/07 800 822
Allied Holdings, Ser B
8.625%, 10/01/07 700 695
Allied Waste
10.250%, 12/01/06 650 709
Allied Waste Industries (B)
7.780%, 06/01/07 1,650 1,219
American Builder & Contractors
10.625%, 05/15/07 500 482
American Cellular (A)
10.500%, 05/15/08 750 726
American Commercial Lines
10.250%, 06/30/08 600 586
American Lawyer Media
9.750%, 12/15/07 750 748
American Radio Systems
9.000%, 02/01/06 500 522
American Restaurant Services (A)
11.500%, 02/15/03 700 678
American Skiing
12.000%, 07/15/06 450 460
Ameristar Casino, Ser B
10.500%, 08/01/04 750 718
AMF Group
10.875%, 03/15/06 700 607
AMF Group Senior (B)
15.130%, 03/15/06 306 183
Ampex
12.000%, 03/15/03 1,000 1,000
Amphenol
9.875%, 05/15/07 500 495
Amscan Holdings
9.875%, 12/15/07 400 359
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Amtrol
10.625%, 12/31/06 $ 400 $ 381
Anchor Lamina
9.875%, 02/01/08 1,000 822
Anthony Crane Rentals (A)
10.375%, 08/01/08 500 474
Apcoa
9.250%, 03/15/08 200 192
Apcoa (A)
9.250%, 03/15/08 500 481
Applied Extrusion Tech, Ser B
11.500%, 04/01/02 800 845
Arcadia Financial Ltd.
11.500%, 03/15/07 500 354
Archibald Candy
10.250%, 07/01/04 600 613
Atlantic Express
10.750%, 02/01/04 500 504
Aurora Foods
8.750%, 07/01/08 650 658
Autotote
10.875%, 08/01/04 750 779
Ball
8.250%, 08/01/08 700 723
Bally Total Fitness, Ser B
9.875%, 10/15/07 400 374
Bayou Steel (A)
9.500%, 05/15/08 500 449
Belden & Blake, Ser B
9.875%, 06/15/07 500 416
Bellwether Exploration
10.875%, 04/01/07 800 762
Berry Plastics
12.500%, 06/15/06 500 536
Beverly Enterprises
9.000%, 02/15/06 700 675
Big City Radio (B)
13.590%, 03/15/05 750 533
Blue Bird Body
10.750%, 11/15/06 500 531
Booth Creek
12.500%, 03/15/07 600 592
Boyd Gaming
9.500%, 07/15/07 500 495
Boyds Collection (A)
9.000%, 05/15/08 800 767
Brand Scaffold Services (A)
10.250%, 02/15/08 750 742
BTI Telecom
10.500%, 09/15/07 500 416
Buckeye Cellulose
9.250%, 09/15/08 500 511
Bucyrus International
9.750%, 09/15/07 500 369
56
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Burke Industries
10.000%, 08/15/07 $ 600 $ 598
Busse Broadcasting
11.625%, 10/15/00 700 745
BWAY, Ser B
10.250%, 04/15/07 500 527
Call-Net Enterprises (B)
9.920%, 08/15/07 1,000 645
Call-Net Enterprises (A) (B)
10.220%, 08/15/08 700 409
Cambridge Industries, Ser B
10.250%, 07/15/07 500 501
Canadian Airlines
10.000%, 05/01/05 400 379
Canadian Airlines Yankee
12.250%, 08/01/06 950 906
Canadian Forest Oil, Ltd.
8.750%, 09/15/07 500 454
Capstar Broadcasting
9.250%, 07/01/07 500 510
Capstar Broadcasting (B)
10.550%, 02/01/09 600 443
Capstar Hotel
8.750%, 08/15/07 500 475
Casino America
12.500%, 08/01/03 900 974
Casino Magic
13.000%, 08/15/03 1,600 1,756
CCA Holding
13.000%, 12/31/99 1,000 1,497
Cencall Communication (B)
9.790%, 01/15/04 100 101
Century Communications
8.875%, 01/15/07 550 577
Century Communications, Ser B
12.390%, 01/15/08 1,000 461
CEX Holdings (A)
9.625%, 06/01/08 800 762
CF Cable Television
11.625%, 02/15/05 50 55
Chancellor Media
9.375%, 10/01/04 750 771
Charter Communications
South East
11.250%, 03/15/06 600 653
Chattem
8.875%, 04/01/08 500 463
Cinemark USA
9.625%, 08/01/08 600 613
Cinemark USA, Ser B
8.500%, 08/01/08 500 476
Clark R&M
8.875%, 11/15/07 500 469
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Classic Cable (A)
9.875%, 08/01/08 $ 500 $ 509
Classic Cable (A) (B)
12.780%, 08/01/09 600 339
Clearnet Communications (B)
12.010%, 12/15/05 1,000 831
Cliffs Drilling
10.250%, 05/15/03 400 423
Climachem, Ser B
10.750%, 12/01/07 500 507
Coast Hotels & Casino
13.000%, 12/15/02 800 896
Coaxial Communication
10.000%, 08/15/06 1,200 1,177
Coinstar (B)
14.520%, 10/01/06 900 729
Collins & Aikman (A)
10.000%, 01/15/07 500 504
Collins & Aikman (A)
11.500%, 04/15/06 550 573
Color Spot Nurseries
10.500%, 12/15/07 900 376
Colorado Gaming &
Entertainment PIK
9.050%, 06/01/03 750 793
Comcast
9.375%, 05/15/05 250 260
9.125%, 10/15/06 600 624
Comcast Cellular (A)
9.500%, 05/01/07 800 821
Comcast UK Cable (B)
10.620%, 11/15/07 500 404
Commonwealth Aluminum
10.750%, 10/01/06 500 510
Communications Instrument
10.000%, 09/15/04 500 504
Concentric Network
12.750%, 12/15/07 550 507
Constellation Finance LLC
Ser 1997-1
9.800%, 12/14/02 500 499
Container
9.750%, 04/01/03 550 549
Costilla Energy
10.250%, 10/01/06 1,000 872
Crown Packaging
Enterprises Ltd. (B)
14.000%, 08/01/06 775 39
Crown Paper
11.000%, 09/01/05 500 369
CSC Holdings
9.250%, 11/01/05 250 263
9.875%, 02/15/13 650 720
57
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
HIGH YIELD BOND FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CSC Holdings, Ser B
8.125%, 08/15/09 $ 550 $ 573
Cumulus Media (A)
10.375%, 07/01/08 500 499
Dade International
11.125%, 05/01/06 500 535
Dailey International, Ser B
9.500%, 02/15/08 850 576
Dawson Production Services
9.375%, 02/01/07 1,000 987
Day International
9.500%, 03/15/08 600 557
Deleware County Remy
International
10.625%, 08/01/06 550 560
Derlan Man
10.000%, 01/15/07 500 474
Details, Ser B
10.000%, 11/15/05 500 484
Diamond Brands Operating (A)
10.125%, 04/15/08 650 616
Diamond Cable (B)
10.070%, 02/15/07 1,450 1,042
Diamond Cable
Communications (B)
10.720%, 09/30/04 300 279
10.720%, 12/15/05 950 761
Diamond Holdings PLC
9.125%, 02/01/08 1,000 977
Diamond Triumph Auto (A)
9.250%, 04/01/08 700 685
Digital Television Services, Ser B
12.500%, 08/01/07 500 541
Dobson Communications (A)
11.750%, 04/15/07 600 603
Dobson Wireline (A)
12.250%, 06/15/08 500 465
Dolphin Telecom PLC (A) (B)
7.540%, 06/01/08 100 49
Doskocil Manufacturing
10.125%, 09/15/07 500 515
Drypers
10.250%, 06/15/07 1,000 932
DTI Holdings (B)
10.210%, 03/01/08 1,000 391
Dual Drilling
9.875%, 01/15/04 500 530
Dyersburg, Ser B
9.750%, 09/01/07 550 494
E.spire Communications
13.750%, 07/15/07 500 549
E.spire Communications (A) (B)
12.820%, 07/01/08 500 257
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
E.spire Communications (B)
12.740%, 11/01/05 $ 1,550 $ 1,246
14.980%, 04/01/06 500 401
Eagle Family Foods
8.750%, 01/15/08 1,200 1,125
Eagle Geophysical (A)
10.750%, 07/15/08 600 532
Echostar Satellite Broadcast (B)
11.320%, 03/15/04 1,200 1,060
Eldorado Resorts
10.500%, 08/15/06 500 521
Elgar Holdings
9.875%, 02/01/08 1,000 835
Empress Entertainment (A)
8.125%, 07/01/06 450 448
Empress River Casino
10.750%, 04/01/02 500 536
Energy of America
9.500%, 05/15/07 500 474
Ermis Maritime Holdings, Ltd.
12.500%, 03/15/06 797 774
Esprit Telecom Group PLC
11.500%, 12/15/07 500 456
Euramax International PLC
11.250%, 10/01/06 450 451
Facilicom International
10.500%, 01/15/08 800 698
Falcon Building
9.500%, 06/15/07 500 469
Falcon Holding Group (B)
13.680%, 04/15/10 750 509
Falcon Holdings Group
8.375%, 04/15/10 250 251
Finlay Enterprises
9.000%, 05/01/08 500 449
First Wave Marine
11.000%, 02/01/08 500 517
Fisher Scientific International
9.000%, 02/01/08 800 770
Fitzgeralds Gaming
12.250%, 12/15/04 550 385
Flag Ltd.
8.250%, 01/30/08 750 711
Fleming
10.500%, 12/01/04 670 642
Flores & Rucks
9.750%, 10/01/06 400 414
Focal Communications (A)
7.780%, 02/15/08 1,250 611
Forcenergy (A)
8.500%, 02/15/07 500 360
Fountain View (A)
11.250%, 04/15/08 800 711
58
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Four M
12.000%, 06/01/06 $ 500 $ 467
Fox/Liberty Networks LLC
8.875%, 08/15/07 500 490
French Fragrances
10.375%, 05/15/07 500 521
Fresh Foods (A)
10.750%, 06/01/06 500 449
Friendly Ice Cream
10.500%, 12/01/07 700 621
Frontier Oil (A)
9.125%, 02/15/06 800 750
Fundy Cable
11.000%, 11/15/05 500 525
Galey & Lord
9.125%, 03/01/08 750 660
Gaylord Container
9.750%, 06/15/07 500 409
GCI
9.750%, 08/01/07 500 474
Global Crossings Holdings (A)
9.625%, 05/15/08 600 588
Global Telesystems Group
9.875%, 02/15/05 1,000 860
Globalstar
11.375%, 02/15/04 400 264
11.250%, 06/15/04 900 612
Globalstar LP/Capital
11.500%, 06/01/05 250 167
Golden Ocean Group Ltd.
10.000%, 08/31/01 1,032 516
Golden Sky Systems (A)
12.375%, 08/01/06 400 405
Gothic Production
11.125%, 05/01/05 350 255
Graham Packaging
8.750%, 01/15/08 400 379
Grand Casinos
9.000%, 10/15/04 500 519
Granite Broadcasting
9.375%, 12/01/05 500 489
8.875%, 05/15/08 300 280
Gray Communications System
10.625%, 10/01/06 500 526
Great Lakes Carbon (A)
10.250%, 05/15/08 500 489
GS Technologies
12.000%, 09/01/04 500 529
GST Equipment Funding
13.250%, 05/01/07 500 520
GST USA Guarantee (B)
13.900%, 12/15/05 1,660 1,230
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Gulf Canada Resources
9.625%, 07/01/05 $ 500 $ 501
Gulf States Steel
13.500%, 04/15/03 700 453
Hard Rock Hotel (A)
9.250%, 04/01/05 1,100 1,081
Harris Chemical (B)
10.250%, 07/15/01 400 415
Harvey Casinos Resorts
10.625%, 06/01/06 600 636
Hawk
10.250%, 12/01/03 325 345
Hayes Wheel International
11.000%, 07/15/06 500 549
9.125%, 07/15/07 400 404
Haynes International
11.625%, 09/01/04 500 556
Helicon
11.000%, 11/01/03 700 737
Hermes Europe Railtel BV
11.500%, 08/15/07 750 786
Hollinger International Publishing
9.250%, 03/15/07 700 714
Hollywood Casino
12.750%, 11/01/03 600 619
Hollywood Park, Ser B
9.500%, 08/01/07 500 475
Hollywood Theaters
10.625%, 08/01/07 500 506
Home Products International
9.625%, 05/15/08 800 705
Homeside
11.250%, 05/15/03 325 377
Horseshoe Gaming
9.375%, 06/15/07 800 770
Hosiery of America
13.750%, 08/01/02 500 530
Host Marriott
7.875%, 08/01/05 550 550
7.875%, 08/01/08 500 494
HS Resources
9.250%, 11/15/06 500 465
Huntsman (A)
9.500%, 07/01/07 500 502
Huntsman Polymers
11.750%, 12/01/04 250 274
Hyperion Telecommunication (B)
14.250%, 04/15/03 1,900 1,311
Hyperion Telecommunications
12.250%, 09/01/04 500 494
ICG Holding (B)
13.360%, 09/15/05 350 278
ICG Holdings (A) (B)
13.120%, 03/15/07 500 332
59
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
HIGH YIELD BOND FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
ICG Services (B)
7.290%, 02/15/08 $1,250 $ 639
ICN Pharmaceutical (A)
8.750%, 11/15/08 300 297
ICN Pharmaeuticals
9.250%, 08/15/05 500 495
ICO Global
15.000%, 08/01/05 250 199
IDT
8.750%, 02/15/06 500 440
IHF Holdings
15.000%, 11/15/04 600 119
Impac Group (A)
10.125%, 03/15/08 1,000 982
Integrated Health
10.250%, 04/30/06 250 249
Integrated Health Services
9.500%, 09/15/07 500 482
9.250%, 01/15/08 250 239
Intelcom Group (B)
12.920%, 05/01/06 400 284
Interact Systems ((B)
14.000%, 08/01/03 700 272
Intermedia Capital Partners
11.250%, 08/01/06 750 811
Intermedia Communications
of Florida (B)
10.360%, 05/15/06 900 733
10.170%, 07/15/07 500 359
International Cabletel
10.000%, 02/15/07 250 252
International Cabletel (B)
10.510%, 04/15/05 400 344
10.550%, 02/01/06 1,200 930
International Home Foods
10.375%, 11/01/06 750 790
International Knife & Saw
11.375%, 11/15/06 500 509
International Utility Structures (A)
10.750%, 02/01/08 500 437
International Wire Group
11.750%, 06/01/05 500 515
Intrawest
9.750%, 08/15/08 750 721
Iridium LLC, Ser C
11.250%, 07/15/05 300 241
Iridium LLC (A)
14.000%, 07/15/05 750 667
ISP Holdings
9.000%, 10/15/03 500 520
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
ITC Deltacom
11.000%, 06/01/07 $ 422 $ 458
8.875%, 03/01/08 455 450
Ivaco
11.500%, 09/15/05 500 536
IXC Communications
9.000%, 04/15/08 900 893
Jackson Products (A)
9.500%, 04/15/05 900 876
Jacor Communications
9.750%, 12/15/06 450 486
8.000%, 02/15/10 750 750
James Cable
10.750%, 08/15/04 1,150 1,207
Jitney-Jungle Stores
10.375%, 09/15/07 450 456
John Q Hammons Hotels
8.875%, 02/15/04 500 488
Jones Intercable
9.625%, 03/15/02 350 371
8.875%, 04/01/07 350 361
Jordan Industries
10.375%, 08/01/07 1,000 962
Jordan Telecom Products (B)
12.560%, 08/01/07 1,000 729
JPS Automotive Products
11.125%, 06/15/01 100 110
K-mart
7.750%, 10/01/12 750 720
Kaiser Aluminum &
Chemical, Ser B
10.875%, 10/15/06 600 592
KCS Energy
8.875%, 01/15/08 800 632
Keebler
10.750%, 07/01/06 450 493
Kelley Oil & Gas
10.375%, 10/15/06 500 414
Kitty Hawk
9.950%, 11/15/04 250 251
KMC Telecom Holdings (B)
8.010%, 02/15/08 1,250 598
Knoll
10.875%, 03/15/06 260 288
KSL Recreation Group
10.250%, 05/01/07 500 528
Lady Luck Gaming
11.875%, 03/01/01 650 652
Lamar Advertising (A)
9.625%, 12/01/06 450 480
60
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Laroche Industries
9.500%, 09/15/07 $ 800 $ 768
LDM Technologies
10.750%, 01/15/07 500 464
Leiner Health Products
9.625%, 07/10/07 500 517
Lenfest Communications
10.500%, 06/15/06 700 794
Lenfest Communications (A)
8.250%, 02/15/08 650 656
LES (A)
9.250%, 06/01/08 500 498
Leslie's Poolmart
10.375%, 07/15/04 800 825
Level 3 Communications
9.125%, 05/01/08 1,150 1,087
Liberty Group Operating
9.375%, 02/01/08 500 479
Liberty Group Publishings (B)
15.230%, 02/01/09 500 279
Lin Holdings (A) (B)
9.900%, 03/01/08 500 328
Lodestar Holdings (A)
11.500%, 05/15/05 750 727
Magellan Health Services (A)
9.000%, 02/15/08 850 730
Magnum Hunter Re
10.000%, 06/01/07 500 424
Majestic Star Casino
12.750%, 05/15/03 750 774
Marcus Cable (B)
8.110%, 08/01/04 600 589
10.420%, 12/15/05 900 843
Marsh Supermarket
8.875%, 08/01/07 500 487
Mastec
7.750%, 02/01/08 500 466
Maxim Group, Ser B
9.250%, 10/15/07 400 402
Maxxam Group Holdings, Ser B
12.000%, 08/01/03 400 439
Mccaw International (B)
8.310%, 04/15/07 1,400 698
Mcleodusa
9.250%, 07/15/07 500 514
8.375%, 03/15/08 500 492
Mcleodusa (B)
10.000%, 03/01/07 1,100 802
MDC Communications
10.500%, 12/01/06 500 511
Metallurg
11.000%, 12/01/07 800 819
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Metronet Communications
12.000%, 08/15/07 $ 500 $ 529
Metronet Communications (B)
11.590%, 06/15/08 600 331
Microcell
Telecommunication (A) (B)
12.620%, 06/01/06 1,000 714
MMI Products
11.250%, 04/15/07 500 545
Mohegan Tribal Gaming
13.500%, 11/15/02 750 967
Moog
10.000%, 05/01/06 500 504
Morris Materials Handling
9.500%, 04/01/08 750 564
Motor Coach Industries
12.610%, 11/15/02 1,000 945
Motors & Gears
10.750%, 11/15/06 850 831
Mrs. Fields, Ser B
10.125%, 12/01/04 760 714
Mrs Fields (B)
8.320%, 12/01/05 800 446
Ne Restaurant (A)
10.750%, 07/15/08 600 588
Nebraska Book
8.750%, 02/15/08 750 674
Neenah
11.125%, 05/01/07 500 501
Nextel Communications (B)
9.930%, 08/15/04 500 480
11.070%, 09/15/07 900 577
11.240%, 02/15/08 1,400 844
Nextlink Communications
12.500%, 04/15/06 800 864
Nextlink Communications (B)
10.980%, 04/15/08 800 463
Niagra Mohawk Power
7.750%, 10/01/08 800 855
NL Industries
11.750%, 10/15/03 350 377
NL Industries (B)
11.820%, 10/15/05 350 368
Northland Cable Television
10.250%, 11/15/07 1,000 1,058
Northwestern Steel & Wire
9.500%, 06/15/01 800 749
NS Group
13.500%, 07/15/03 300 325
61
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
HIGH YIELD BOND FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Nuevo Energy
9.500%, 04/15/06 $ 400 $ 408
Numatics
9.625%, 04/01/08 800 781
Ocean Energy
10.375%, 10/15/05 250 263
Octel Developments (A)
10.000%, 05/01/06 950 942
Offshore Logistics
7.875%, 01/15/08 750 721
Omega Cabinets
10.500%, 06/15/07 750 742
Optel
13.000%, 02/15/05 300 301
Orbital Imaging
11.625%, 03/01/05 950 855
Orion Network Systems
11.250%, 01/15/07 800 871
Owens & Minor
10.875%, 06/01/06 500 524
Oxford Automotive
10.125%, 06/15/07 1,000 918
P & L Coal (A)
8.875%, 05/15/08 250 254
Packaged Ice
9.750%, 02/01/05 900 851
Packaging Resources
11.625%, 05/01/03 500 493
Pagemart Nationwide (B)
11.770%, 02/01/05 750 675
Pantry
10.250%, 10/15/07 250 243
Paracelsus Healthcare
10.000%, 08/15/06 500 464
Parker Drilling, Ser B
9.750%, 11/15/06 1,000 930
Pathmark Stores
9.625%, 05/01/03 1,000 968
Pathnet
12.250%, 04/15/08 750 638
Pegasus Communications, Ser B
9.625%, 10/15/05 550 538
Pegasus Shipping Hellas
11.875%, 11/15/04 600 539
Peoples Telephone
12.250%, 07/15/02 300 333
Perkins Family Restaurant/
Finance, Ser B
10.125%, 12/15/07 1,000 1,000
Perry-Judd
10.625%, 12/15/07 500 499
Petersburg Long Distance (A)
9.000%, 06/01/06 90 45
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Petersburg Long Distance (A) (B)
9.220%, 06/01/04 $ 830 $ 498
Phase Metrics (A)
10.750%, 02/01/05 500 349
Philipp Bros Chem (A)
9.875%, 06/01/08 750 739
Phillips Van-Heusen (A)
9.500%, 05/01/08 500 481
Pierce Leahy (A)
9.125%, 07/15/07 450 459
Pillowtex
10.000%, 11/15/06 500 509
Plastic Containers
10.000%, 12/15/06 400 412
Players International
10.875%, 04/15/05 500 526
Playtex Products
8.875%, 07/15/04 400 405
Pogo Producing
8.750%, 05/15/07 500 470
Polymer Group, Ser B
9.000%, 07/01/07 600 575
Polyvision
12.000%, 10/01/06 600 600
Port Royal Holdings
10.250%, 10/01/07 600 609
Portola Packaging
10.750%, 10/01/05 200 198
Powertel
11.125%, 06/01/07 500 495
Premier Parks
9.250%, 04/01/06 500 493
9.750%, 01/15/07 500 531
Price Comm Wireless
11.750%, 07/15/07 250 255
Price Communication Cellular, PIK
11.250%, 08/15/08 750 758
Price Communications Wire (A)
9.125%, 12/15/06 500 490
Pride Petroleum Services
9.375%, 05/01/07 500 470
Prime Hospitality
9.250%, 01/15/06 600 606
9.750%, 04/01/07 450 426
Primus Telecommunications
11.750%, 08/01/04 600 576
Printpack, Ser B
10.625%, 08/15/06 500 500
Production Resources Group
11.500%, 01/15/08 500 474
Psinet
10.000%, 02/15/05 950 952
PTC Intl Finance BV (B)
14.550%, 07/01/07 1,000 673
62
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Pueblo Xtra International
9.500%, 08/01/03 $ 1,000 $ 969
Quest Diagnostic
10.750%, 12/15/06 450 487
Qwest Communications
10.875%, 04/01/07 500 576
Qwest Communications (B)
7.760%, 10/15/07 1,000 766
Ram Energy
11.500%, 02/15/08 500 434
Randall's Food Markets, Ser B
9.375%, 07/01/07 750 759
RCN (B)
7.120%, 02/15/08 1,300 674
Regal Cinimas (A)
9.500%, 06/01/08 900 909
Regional Independent Media
Group (A)
10.500%, 07/01/08 500 488
Renaissance Media Group (A), (B)
9.480%, 04/15/08 1,000 669
Renco Metals
11.500%, 07/01/03 500 514
Repap New Brunswick
10.625%, 04/15/05 750 471
Republic Engineered Steel
9.875%, 12/15/01 800 790
Republic Group (A)
9.500%, 07/15/08 700 674
Revlon Consumer Products
8.625%, 02/01/08 500 491
Revlon Worldwide
11.060%, 03/15/01 800 614
Rifkin Acquisition Partners
11.125%, 01/15/06 750 803
Rio Hotel & Casino
10.625%, 07/15/05 300 325
Riverwood International
10.875%, 04/01/08 800 658
Rogers Cantel
9.375%, 06/01/08 500 508
Rogers Communications
9.125%, 01/15/06 400 399
8.875%, 07/15/07 350 346
Roma (A)
12.000%, 07/01/06 400 394
RSL Communications PLC
9.125%, 03/01/08 500 430
Rural Cellular
9.625%, 05/15/08 500 457
Safelite Glass (A)
9.875%, 12/15/06 800 783
Safety Components
10.125%, 07/15/07 500 504
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Salem Communications, Ser B
9.500%, 10/01/07 $ 550 $ 545
Santa Fe Hotel
11.000%, 12/15/00 821 821
SD Warren, Ser B
12.000%, 12/15/04 800 881
Sealy Mattress
9.875%, 12/15/07 500 493
Sealy Mattress (B)
10.120%, 12/15/07 500 309
SF Holdings Group (B)
8.780%, 03/15/08 1,000 444
SFX Broadcasting
10.750%, 05/15/06 394 432
Sheffield Steel, Ser B
11.500%, 12/01/05 500 419
Shop-Vac
10.625%, 09/01/03 625 669
Showboat Marina
13.500%, 03/15/03 250 292
Signature Brands USA
13.000%, 08/15/02 500 557
Silver Cinemas (A)
10.500%, 04/15/05 800 782
Simonds Industries (A)
10.250%, 07/01/08 300 296
Sinclair Broadcast
10.000%, 09/30/05 800 834
Sitel (A)
9.250%, 03/15/06 500 466
Southwest Royalties, Ser B
10.500%, 10/15/04 500 274
Sovereign Specialty
Chemical, Ser B
9.500%, 08/01/07 450 456
Spanish Broadcasting
11.000%, 03/15/04 500 500
Specialty Equipment
11.375%, 12/01/03 500 525
Specialty Paperboard
9.375%, 10/15/06 500 509
Splitrock Services
11.750%, 07/15/08 700 634
Sprint Spectrum
11.000%, 08/15/06 1,040 1,170
Stanadyne Automotive
10.250%, 12/15/07 500 483
Stater Brothers
9.000%, 07/01/04 500 469
Sterling Chemical Holdings (B)
8.050%, 08/15/08 1,000 459
Stone Container (A)
11.500%, 08/15/06 400 420
63
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
HIGH YIELD BOND FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Sun International Hotels
9.000%, 03/15/07 $ 500 $ 506
Sun Media
9.500%, 05/15/07 325 326
Synthetic Industries
9.250%, 02/15/07 400 399
T/SF Communications, Ser B
10.375%, 11/01/07 500 493
Talton Holdings, Ser B
11.000%, 06/30/07 500 500
TCI Satellite Entertainment
10.875%, 02/15/07 700 642
TCI Satellite Entertainment (B)
14.110%, 02/15/07 900 548
Tekni-Plex
11.250%, 04/01/07 800 832
Telewest Communications
9.625%, 10/01/06 150 151
Telewest Communications (B)
9.840%, 10/01/07 1,600 1,316
Teligent
11.500%, 12/01/07 750 583
Tenet Healthcare
8.625%, 01/15/07 500 534
Texas Petrochem
11.125%, 07/01/06 450 424
Therma-Wave
10.625%, 05/15/04 500 398
Thermadyne Holdings (A), (B)
7.410%, 06/01/08 550 272
Time Warner (A)
9.750%, 07/15/08 500 505
Titan Wheel International
8.750%, 04/01/07 500 480
Tokheim Ser B
11.500%, 08/01/06 305 337
Trans World Airlines
11.375%, 03/01/06 900 792
Transamerican Energy, Ser B
11.500%, 06/15/02 900 539
Tri-State Outdoor Media (A)
11.000%, 05/15/08 600 578
Trident Automotive
10.000%, 12/15/05 500 526
Tropical Sportswear International
11.000%, 06/15/08 500 494
Twin Laboratories
10.250%, 05/15/06 325 350
Unisys
12.000%, 04/15/03 550 611
11.750%, 10/15/04 500 562
7.875%, 04/01/08 400 399
United Artists Theatre
9.750%, 04/15/08 1,000 933
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
United International
Holdings, Ser B (B)
8.040%, 02/15/08 $1,400 $ 669
United Refining
10.750%, 06/15/07 500 461
Universal Compression (A) (B)
10.990%, 02/15/08 800 479
Universal Health Services
8.750%, 08/15/05 250 256
US Office Products (A)
9.750%, 06/15/08 750 641
USN Communications, Ser B (B)
7.470%, 08/15/04 554 360
Vanguard Cellular System
9.375%, 04/15/06 500 504
Verio
10.375%, 04/01/05 500 486
Viasystems
9.750%, 06/01/07 11,000 938
Viatel (A) (B)
8.190%, 04/15/08 700 342
Walbro
10.125%, 12/15/07 500 486
Waste Systems International (A)
7.000%, 05/13/05 800 782
Waterford Gaming
12.750%, 11/15/03 473 512
Waxman Industries (B)
12.510%, 06/01/04 600 548
WCI Steel
10.000%, 12/01/04 800 766
Weirton Steel
11.375%, 07/01/04 250 235
Wells Aluminum
10.125%, 06/05/05 500 490
Werner Holdings
10.000%, 11/15/07 700 671
Western Federal Notes (C)
0.000%, 09/15/99 500 375
Western Wireless
10.500%, 06/01/06 400 404
10.500%, 02/01/07 300 303
Wheeling-Pittsburgh
9.250%, 11/15/07 250 231
WHX
10.500%, 04/15/05 750 688
William Carter (A)
10.375%, 12/01/06 500 521
Winstar Communications (B)
16.600%, 10/15/05 1,250 823
Wiser Oil
9.500%, 05/15/07 600 470
64
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Young Broadcasting
9.000%, 01/15/06 $ 400 $ 394
8.750%, 06/15/07 250 243
Ziff-Davis
8.500%, 05/01/08 1,000 956
----------
Total Corporate Obligations
(Cost $289,823) 277,429
----------
UNITS -- 2.1%
Australis Media 1 Unit = $1M
senior subordinate discount
note + 1 warrant (A) (B) (C)
0.000%, 05/15/03 400 6
Bell Technology Group
Unit = $1m senior note
13.000%, 05/01/05 500 424
Colt Telecom Group 1 Unit = 1
senior discount note +
1 warrant (B)
7.660%, 12/15/06 600 528
County Seat Stores 1 Unit = $1M
senior note + 1 warrant
12.750%, 11/01/04 500 495
Diva Systems 1 Unit = $1M
senior discount note +
3 warrants (B) 12.625%, 03/01/08 2,607 886
International Utility Structure
1 Unit = $1M senior exchanged
preferred + 1 warrant PIK
13.000%, 02/01/08 500 475
Long Distance International,
1 Unit = $1m Senior Notes +
1 Warrant
12.250%, 04/15/08 500 502
Mentus Media 1 Unit = $1M senior
secured payment-in-kind notes +
2.78311 warrants PIK
12.500%, 02/01/03 850 852
Pegasus Communications 1 Unit =
$1M preferred share +
1 warrant PIK* 2,500 289
Rhythms Netconnections Unit (A) (B)
1 Unit = $1m Senior Discount Notes +
4 Warrants
13.500%, 05/15/08 1,200 540
Startec Global Communication,
1 Unit = $1m Sr Notes +
1 Warrant
12.000%, 05/15/08 500 480
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Verio, 1 Unit = $1m Senior Note +
8 Warrants
13.500%, 06/15/04 $1,000 $ 1,098
----------
Total Units
(Cost $7,438) 6,575
----------
PREFERRED STOCKS -- 2.3%
Adelphia Communications* 2,500 282
Ameriking PIK 2,422,800 654
Benedek Communications PIK* 500,000 505
Coinstar* 4,545 28
Diva Systems, Ser C* 41,615 474
GPA Group, PLC (A)* 1,000,000 521
Granite Ltd.* 106 11
Hyperion Telecomm* 274 318
Intermedia Communication* 20,306 823
Jordan Telecommunication* 500 475
Nextel Communications PIK* 3,795 936
Nextlink Communications* 6,145 363
Pegasus Communications* 440 49
Primedia* 4,000 415
Renaissance Cosmetics (A)* 5,930 6
SD Warren, Ser B* 20,000 980
Siligan Holdings 336 359
Viatel* 352 18
----------
Total Preferred Stocks
(Cost $6,739) 7,217
----------
U.S. GOVERNMENT AGENCY OBLIGATION -- 1.8%
FHLB Discount Note
5.150%, 10/01/98 5,722 5,722
----------
Total U.S. Government Agency Obligation
(Cost $5,722) 5,722
----------
WARRANTS -- 0.3%
Advanced Radio Telecom* 7,500 38
Ampex (A)* 34,000 26
Bell Technology* 500 1
Clearnet* 1,320 8
Concentric Network* 550 50
Dairy Mart Convenience Store 1,334 1
Diva System 1,025 236
DTI Holdings (A) 5,000 5
E.spire Communications* 500 55
Globalstar Telecom* 400 42
Golden Ocean Group* 688 3
Hyperion* 1,155 31
65
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
HIGH YIELD BOND
FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Intermedia Communications
of Florida* $ 590 $ 14
International Utility* 32 3
Jordan Telecommunication
Products (A) 500 1
KMC Telecom Holdings* 1,250 4
Loral Orion Network Systems* 750 8
McCaw International* 1,400 1
Metronet (A)* 500 2
Microcell Telecomm (A)* 2,400 36
Orbital Imaging (A)* 950 46
Price Communications* 3,440 105
Primus Telecommunications* 600 3
SF Holdings (A)* 2,000 4
USN Communication* 11,540 23
Verio 8,000 248
Wright Medical Technologies 20 1
----------
Total Warrants
(Cost $103) 995
----------
Total Investments -- 94.6%
(Cost $309,825) $297,938
==========
* NON-INCOME PRODUCING SECURITY
(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
EFFECTIVE YIELD ON SEPTEMBER 30, 1998. THE COUPON ON A STEP BOND CHANGES ON
A SPECIFIC DATE.
(C) IN DEFAULT ON INTEREST PAYMENTS.
FHLB -- FEDERAL HOME LOAN BANK
LLC -- LIMITED LIABILITY COMPANY
LTD. -- LIMITED
PIK -- PAYMENT IN KIND
PLC -- PUBLIC LIMITED COMPANY
SER -- SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SUMMARY OF CORPORATE OBLIGATIONS BY INDUSTRY
- --------------------------------------------------------------------------------
PERCENTAGE OF TOTAL
INDUSTRY CORPORATE OBLIGATIONS
- --------------------------------------------------------------------------------
Communications 18.32%
Cable 10.43
General Industrial 8.54
Media 7.40
Energy 6.50
Gaming 5.49
Consumer Mfg. 4.91
Transportation Non-Air 4.35
Packaging 3.97
Metals 3.95
Healthcare 3.11
Entertainment 3.01
Food & Beverage 2.91
Technology 2.67
Chemicals 2.05
Retail 1.76
Hotels 1.72
Supermarket 1.70
Conglomerate 1.62
Restaurants 1.49
Real Estate 1.43
Airlines 0.94
Aerospace 0.61
Utility 0.57
Financial 0.56
------
100.00%
======
66
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
<TABLE>
<S> <C> <C> <C>
---------------------------------------------------------
LARGE CAP HIGH YIELD
VALUE MID-CAP BOND
---------------------------------------------------------
ASSETS:
Cash $ 165 $ -- $ 1
Investments at value
(Cost $1,373,920, $38,199 and $309,825, respectively) 1,393,709 35,972 297,938
Income receivable 2,626 40 7,154
Investment securities sold 57,229 3,023 --
Capital shares sold receivable 42,937 9 12,295
Other receivables -- -- 22
---------- ------- --------
Total Assets 1,496,666 39,044 317,410
---------- ------- --------
LIABILITIES:
Cash overdraft -- 114 --
Distribution payable -- -- 100
Investment securities purchased 81,923 3,571 1,718
Capital shares redeemed payable 2,358 167 403
Accrued expenses payable 1,085 32 230
Other payables 397 -- 22
---------- ------- --------
Total Liabilities 85,763 3,884 2,473
---------- ------- --------
Total Net Assets $1,410,903 $35,160 $314,937
========== ======= ========
NET ASSETS:
Fund Shares of Class A (unlimited authorization --
no par value) based on
81,523,652, 2,511,177 and 29,124,356
outstanding shares of beneficial interest 1,301,542 34,814 324,886
Undistributed net investment income (deficit) 3,397 47 (1)
Accumulated net realized gain on investments 85,788 2,526 1,939
Net unrealized appreciation on futures 387 -- --
Net unrealized appreciation (depreciation) on investments 19,789 (2,227) (11,887)
---------- ------- --------
TOTAL NET ASSETS-- 100.0% $1,410,903 $35,160 $314,937
========== ======= ========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE-- CLASS A $ 17.31 $ 14.00 $ 10.81
========== ======= ========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
67
<PAGE>
STATEMENTS OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE YEAR ENDED SEPTEMBER 30, 1998
<TABLE>
<S> <C> <C> <C> <C> <C>
--------- --------- ------------ --------- ---------
LARGE CAP LARGE CAP TAX MANAGED SMALL CAP SMALL CAP
VALUE GROWTH LARGE CAP(2) VALUE GROWTH
--------- --------- ------------ --------- ---------
INVESTMENT INCOME:
Dividends $ 24,010 $ 8,446 $ 605 $ 4,321 $ 1,050
Interest Income 2,634 2,729 339 1,698 2,074
--------- ------- -------- --------- ---------
Total Investment Income 26,644 11,175 944 6,019 3,124
--------- ------- -------- --------- ---------
EXPENSES:
Management Fees 4,109 4,091 162 1,460 2,041
Waiver of Management Fees -- -- -- -- --
Investment Advisory Fees 4,109 4,676 185 2,711 3,791
Waiver of Investment Advisory Fees -- (584) (23) -- --
Custodian/Wire Agent Fees 156 156 7 58 77
Transfer Agent Fees (1) -- -- -- -- 3
Professional Fees 46 47 3 17 22
Registration Fees 250 224 52 93 86
Printing Expense 42 13 2 3 7
Trustee Fees 21 20 1 8 11
Insurance Expense 5 5 -- 2 3
Shareholder Servicing Fees 1,225 1,269 2 226 368
Distribution Fees-- Class D (1) -- -- -- -- 6
Other Expenses 16 22 2 12 9
--------- ------- -------- --------- ---------
Total Expenses 9,979 9,939 393 4,590 6,424
--------- ------- -------- --------- ---------
NET INVESTMENT INCOME (LOSS) 16,665 1,236 551 1,429 (3,300)
--------- ------- -------- --------- ---------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from
Security Transactions 109,135 23,624 (2,257) 9,068 (2,118)
Net Realized Gain (Loss) from
Futures Contracts 3,332 400 (1,350) (2,365) 4,036
Net Change in Unrealized
Appreciation (Depreciation)
on Investments (190,201) 35,634 (12,111) (79,746) (173,230)
--------- ------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (61,069) $60,894 $(15,167) $(71,614) $(174,612)
========= ======= ======== ======== =========
</TABLE>
(1) FEES ARE INCURRED AT THE CLASS D LEVEL ONLY.
(2) TAX MANAGED LARGE CAP COMMENCED OPERATIONS ON MARCH 4, 1998.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
68
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C>
------- ------------ ----------- -------- ---------- ----------
CAPITAL EQUITY CORE FIXED HIGH YIELD
MID-CAP APPRECIATION INCOME BALANCED INCOME BOND
------- ------------ ----------- -------- ---------- ----------
$ 633 $ 1,464 $ 3,492 $ 340 $ -- $ 292
147 1,266 502 1,565 77,930 26,006
------- ------- -------- ------ -------- -------
780 2,730 3,994 1,905 77,930 26,298
------- ------- -------- ------ -------- -------
141 511 518 186 3,419 940
-- -- -- -- (23) (105)
162 585 592 213 3,358 1,309
-- (73) (74) (27) -- --
6 19 22 6 161 35
-- -- -- -- -- --
1 4 4 2 42 9
5 (3) 2 4 189 60
1 -- -- -- 31 8
1 2 2 1 21 5
-- 1 1 -- 7 1
84 185 196 11 74 --
-- -- -- -- -- --
3 (3) (5) 2 48 22
------- ------- ------- ------ -------- -------
404 1,228 1,258 398 7,327 2,284
------- ------- ------- ------ -------- -------
376 1,502 2,736 1,507 70,603 24,014
------- ------- ------- ------ -------- -------
3,053 32,750 29,682 7,888 38,588 3,851
-- (180) 284 -- (8,634) --
(10,148) (21,720) (27,624) (2,971) 35,382 (25,378)
------- ------- ------- ------ -------- -------
$(6,719) $12,352 $ 5,078 $6,424 $135,939 $ 2,487
======= ======= ======= ====== ======== =======
</TABLE>
69
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE YEARS ENDED SEPTEMBER 30, 1998 AND
SEPTEMBER 30, 1997
<TABLE>
--------------------- --------------------- ------------- --------------------- -------------------
LARGE CAP LARGE CAP TAX MANAGED SMALL CAP SMALL CAP
VALUE GROWTH LARGE CAP (1) VALUE GROWTH
-------------------- -------------------- ------------- --------------------- -------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/1/97- 10/1/96- 10/1/97- 10/1/96- 3/4/98- 10/1/97- 10/1/96- 10/1/97- 10/1/96-
9/30/98 9/30/97 9/30/98 9/30/97 9/30/98 9/30/98 9/30/97 9/30/98 9/30/97
---------- ---------- ---------- ---------- ------------- ---------- --------- -------- ---------
OPERATIONS:
Net Investment Income (Loss) $ 16,665 $ 11,297 $ 1,236 $ 1,340 $ 551 $ 1,429 $ 807 $ (3,300) $(2,462)
Net Realized Gain (Loss) from
Security Transactions 112,467 69,094 24,024 40,177 (3,607) 6,703 35,962 1,918 17,612
Net Change in Unrealized
Appreciation (Depreciation)
of Investments (190,201) 162,008 35,634 189,767 (12,111) (79,746) 52,651 (173,230) 74,705
---------- -------- ------- -------- -------- -------- -------- -------- -------
Net Increase (Decrease) in
Net Assets from Operations (61,069) 242,399 60,894 231,284 (15,167) (71,614) 89,420 (174,612) 89,855
---------- -------- --------- -------- -------- -------- -------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (14,525) (11,086) (1,905) (1,617) (68) (1,046) (777) -- --
Class D -- -- -- -- -- -- -- -- --
Net Realized Gains:
Class A (77,927) (40,762) (43,786) (29,959) -- (38,318) (13,817) (19,092) (74,231)
Class D -- -- -- -- -- -- -- -- (355)
---------- -------- --------- -------- -------- -------- -------- -------- -------
Total Distributions (92,452) (51,848) (45,691) (31,576) (68) (39,364) (14,594) (19,092) (74,586)
---------- -------- --------- -------- -------- -------- -------- -------- -------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 878,602 318,214 813,306 317,148 201,157 394,312 143,371 365,558 257,047
Reinvestment of Cash
Distributions 78,187 40,932 39,098 25,572 66 31,295 11,028 14,438 49,459
Shares Redeemed (259,191) (197,882) (288,887) (224,028) (15,891) (207,956) (69,065) (212,008)(140,925)
---------- -------- --------- -------- -------- -------- -------- -------- -------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 697,598 161,264 563,517 118,692 185,332 217,651 85,334 167,988 165,581
---------- -------- --------- -------- -------- -------- -------- -------- -------
Class D:
Shares Issued -- -- -- -- -- -- -- 924 551
Reinvestment of Cash
Distributions -- -- -- -- -- -- -- 77 355
Shares Redeemed -- -- -- -- -- -- -- (557) (491)
---------- -------- --------- -------- -------- -------- -------- -------- -------
Increase in Net Assets
Derived from Class D
Transactions -- -- -- -- -- -- -- 444 415
---------- -------- --------- -------- -------- -------- -------- -------- -------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions 697,598 161,264 563,517 118,692 185,332 217,651 85,334 168,432 165,996
---------- -------- --------- --------- -------- -------- -------- -------- -------
Net Increase (Decrease)
in Net Assets 544,077 351,815 578,720 318,400 170,097 106,673 160,160 (25,272) 181,265
---------- -------- --------- --------- -------- -------- -------- -------- -------
NET ASSETS:
Beginning of Period 866,826 515,011 800,479 482,079 -- 323,337 163,177 563,616 382,351
---------- -------- --------- --------- -------- -------- -------- -------- -------
End of Period $1,410,903 $866,826 $1,379,199 $ 800,479 $170,097 $430,010 $323,337 $538,344 $563,616
========== ======== ========== ========= ======== ======== ======== ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 46,137 19,261 37,613 18,242 19,248 23,720 9,600 21,710 15,890
Shares Issued in Lieu of
Cash Distributions 4,224 2,749 1,956 1,644 6 1,966 843 853 3,140
Shares Redeemed (13,588) (12,099) (13,164) (12,724) (1,563) (12,352) (4,717) (12,410) (8,530)
---------- -------- --------- --------- -------- -------- -------- -------- --------
Total Class A Transactions 36,773 9,911 26,405 7,162 17,691 13,334 5,726 10,153 10,500
========== ======== ========== ========= ======== ======== ======== ======== ========
Class D:
Shares Issued -- -- -- -- -- -- -- 57 33
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- -- -- 5 23
Shares Redeemed -- -- -- -- -- -- -- (32) (30)
---------- -------- --------- --------- -------- -------- -------- -------- -------
Total Class D Transactions -- -- -- -- -- -- -- 30 26
========== ======== ========== ========= ======== ======== ======== ======== ========
Undistributed Net
Investment Income (Loss) $ 3,397 $ 3,008 $ 132 $ 907 $ 483 $ 530 $ 163 $ -- $ --
========== ======== ========== ========= ======== ======== ======== ======== ========
</TABLE>
(1)THE TAX MANAGED LARGE CAP FUND COMMENCED OPERATIONS ON MARCH 4, 1998.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
70
<PAGE>
<TABLE>
- --------------------- --------------------- --------------------- --------------------- --------------------- ---------------------
CAPITAL EQUITY CORE FIXED HIGH YIELD
MID-CAP APPRECIATION INCOME BALANCED INCOME BOND
- --------------------- --------------------- --------------------- --------------------- --------------------- ---------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/1/97- 10/1/96- 10/1/97- 10/1/96- 10/1/97- 10/1/96- 10/1/96- 10/1/97- 10/1/96- 10/1/97- 10/1/96- 10/1/97-
9/30/98 9/30/97 9/30/98 9/30/97 9/30/98 9/30/97 9/30/97 9/30/98 9/30/97 9/30/98 9/30/97 9/30/98
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------- --------- --------
$ 376 $ 226 $ 1,502 $ 2,243 $ 2,736 $ 4,515 $ 1,507 $ 1,605 $ 70,603 $ 51,626 $ 24,014 $ 15,566
3,053 5,433 32,570 43,785 29,966 31,754 7,888 6,041 29,954 4,733 3,851 (110)
(10,148) 4,865 (21,720) 7,498 (27,624) 18,385 (2,971) 2,510 35,382 22,140 (25,378) 10,144
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ---------- --------- --------
(6,719) 10,524 12,352 53,526 5,078 54,654 6,424 10,156 135,939 78,499 2,487 25,600
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ---------- --------- --------
(344) (243) (1,501) (2,573) (3,519) (5,055) (1,595) (1,690) (70,603) (51,626) (24,014) (15,566)
-- -- -- -- -- -- -- -- -- -- -- --
(5,482) (2,094) (45,107) (56,597) (31,064) (32,447) (6,148) (8,229) (1,847) (10,904) (1,688) (589)
-- -- -- -- -- -- -- -- -- -- -- --
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ---------- --------- --------
(5,826) (2,337) (46,608) (59,170) (34,583) (37,502) (7,743) (9,919) (72,450) (62,530) (25,702) (16,155)
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ---------- --------- --------
19,585 14,732 32,355 35,788 25,510 35,121 17,427 12,160 832,979 524,149 194,775 146,492
4,021 1,563 32,093 36,927 13,168 13,123 7,317 9,567 56,940 44,116 24,467 15,164
(10,948) (14,389) (75,689) (139,414) (66,363) (94,453) (18,364) (28,684) (551,458) (176,199) (117,547) (42,189)
--------- -------- -------- -------- -------- -------- -------- -------- --------- ---------- --------- --------
12,658 1,906 (11,241) (66,699) (27,685) (46,209) 6,380 (6,957) 338,461 392,066 101,695 119,467
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ---------- --------- --------
-- -- -- -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- -- -- -- --
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ---------- --------- --------
-- -- -- -- -- -- -- -- -- -- -- --
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ---------- --------- --------
12,658 1,906 (11,241) (66,699) (27,685) (46,209) 6,380 (6,957) 338,461 392,066 101,695 119,467
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ---------- --------- --------
113 10,093 (45,497) (72,343) (57,190) (29,057) 5,061 (6,720) 401,950 408,035 78,480 128,912
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ---------- --------- --------
35,047 24,954 164,238 236,581 173,766 202,823 51,195 57,915 1,063,335 655,300 236,457 107,545
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ---------- --------- --------
$35,160 $35,047 $118,741 $164,238 $116,576 $173,766 $ 56,256 $ 51,195 $1,465,285 $1,063,335 $ 314,937 $236,457
========= ======== ======== ======== ======== ======== ======== ======== ========== ========== ========= ========
1,129 918 2,140 2,206 1,610 2,202 1,432 920 78,521 51,087 16,862 13,006
241 106 2,352 2,548 872 886 571 775 5,361 4,295 2,121 1,342
(651) (900) (5,038) (8,773) (4,144) (5,817) (1,373) (2,208) (51,924) (17,227) (10,131) (3,731)
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ---------- --------- --------
719 124 (546) (4,019) (1,662) (2,729) 630 (513) 31,958 38,155 8,852 10,617
========= ======== ======== ======== ======== ======== ======== ======== ========== =========== ========= ========
-- -- -- -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- -- -- -- --
- --------- -------- -------- -------- -------- -------- -------- -------- ---------- ----------- --------- --------
-- -- -- -- -- -- -- -- -- -- -- --
========= ======== ======== ======== ======== ======== ======== ======== ========== =========== ========= ========
$ 47 $ 40 $ 363 $ 362 $ 581 $ 1,348 $ 426 $ 514 $ 46 $ 15 $ (1) $ (116)
========= ======== ======== ======== ======== ======== ======== ======== ========== ========== ======== ========
</TABLE>
71
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE PERIODS ENDED SEPTEMBER 30.
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
NET
REALIZED
AND DISTRIBUTIONS
NET ASSET NET UNREALIZED DIVIDENDS FROM
VALUE, INVESTMENT GAINS FROM NET REALIZED NET ASSET
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN
- ---------------------------------------------------------------------------------------------------------------------------
- --------------------
LARGE CAP VALUE FUND
- --------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1998 $19.37 $ 0.25 $(0.42) $(0.26) $(1.63) $17.31 (1.40)%
1997 14.78 0.28 5.77 (0.29) (1.17) 19.37 44.12
1996 13.00 0.32 2.01 (0.26) (0.29) 14.78 18.33
1995 10.71 0.33 2.44 (0.33) (0.15) 13.00 26.83
1994 11.54 0.28 (0.46) (0.27) (0.38) 10.71 (1.64)
1993 12.49 0.31 0.22 (0.33) (1.15) 11.54 4.35
1992 12.05 0.34 0.71 (0.33) (0.28) 12.49 9.17
- ---------------------
LARGE CAP GROWTH FUND
- ---------------------
CLASS A
1998 $20.40 $ 0.03 $ 1.62 $(0.04) $(1.00) $21.01 8.35%
1997 15.03 0.03 6.33 (0.05) (0.94) 20.40 44.35
1996 12.75 0.07 2.51 (0.08) (0.22) 15.03 20.59
1995(4) 10.00 0.11 2.72 (0.08) -- 12.75 37.90
- --------------------------
TAX MANAGED LARGE CAP FUND
- --------------------------
CLASS A
1998(7) $10.00 $ 0.04 $(0.42) $(0.01) $ -- $ 9.61 (3.82)%
- --------------------
SMALL CAP VALUE FUND
- --------------------
CLASS A
1998 $17.85 $ 0.05 $(2.22) $(0.04) $(1.97) $13.67 (13.68)%
1997 13.17 0.05 5.74 (0.05) (1.06) 17.85 47.16
1996 12.19 0.02 1.27 (0.01) (0.30) 13.17 10.86
1995(5) 10.00 0.03 2.19 (0.03) -- 12.19 29.38
- ---------------------
SMALL CAP GROWTH FUND
- ---------------------
CLASS A
1998 $19.32 $(0.08) $(4.92) $ -- $(0.64) $13.68 (26.53)%
1997 20.51 0.02 2.64 -- (3.85) 19.32 17.23
1996 19.88 (0.08) 4.37 -- (3.66) 20.51 26.56
1995 14.04 (0.14) 5.98 -- -- 19.88 41.65
1994 14.67 (0.05) 0.07 -- (0.65) 14.04 0.23
1993 10.65 (0.02) 4.05 (0.01) -- 14.67 37.81
1992(2) 10.00 0.02 0.65 (0.02) -- 10.65 15.07
CLASS D
1998 $18.99 $(0.14) $(4.81) $ -- $(0.64) $13.40 (26.74)%*
1997 20.29 (0.11) 2.66 -- (3.85) 18.99 16.80*
1996 19.78 (0.07) 4.24 -- (3.66) 20.29 26.01*
1995 13.99 (0.09) 5.88 -- -- 19.78 41.44*
1994(3) 14.04 (0.02) (0.03) -- -- 13.99 (3.02)*
- ------------
MID-CAP FUND
- ------------
CLASS A
1998 $19.56 $ 0.13 $(2.67) $(0.15) $(2.87) $14.00 (15.41)%
1997 14.96 0.13 5.86 (0.14) (1.25) 19.56 43.13%
1996 13.04 0.18 1.89 (0.15) -- 14.96 16.03%
1995 10.89 0.01 2.14 -- -- 13.04 19.78%
1994 12.10 0.01 (0.98) (0.01) (0.23) 10.89 (8.10)%
1993(1) 10.00 0.01 2.10 (0.01) -- 12.10 34.06%
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
RATIO OF NET
RATIO OF NET RATIO OF INVESTMENT
INVESTMENT EXPENSES INCOME (LOSS)
RATIO OF INCOME TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES (LOSS) NET ASSETS NET ASSETS PORTFOLIO
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- --------------------------------------------------------------------------------------------------------
- --------------------
LARGE CAP VALUE FUND
- --------------------
<S> <C> <C> <C> <C> <C> <C>
CLASS A
1998 $1,410,903 0.85% 1.42% 0.85% 1.42% 79%
1997 866,826 0.85 1.74 0.85 1.74 67
1996 515,011 0.83 2.31 0.83 2.31 75
1995 331,692 0.76 2.92 0.82 2.86 99
1994 133,178 0.75 2.51 0.75 2.51 67
1993 205,157 0.75 2.64 0.76 2.63 96
1992 242,065 0.75 2.79 0.80 2.74 17
- ---------------------
LARGE CAP GROWTH FUND
- ---------------------
CLASS A
1998 $1,379,199 0.85% 0.11% 0.90% 0.06% 80%
1997 800,479 0.85 0.22 0.90 0.17 73
1996 482,079 0.82 0.50 0.87 0.45 90
1995(4) 297,377 0.85 1.15 0.89 1.11 44
- --------------------------
TAX MANAGED LARGE CAP FUND
- --------------------------
CLASS A
1998(7) $ 170,097 0.85% 1.18% 0.90% 1.13% 12%
- --------------------
SMALL CAP VALUE FUND
- --------------------
CLASS A
1998 $ 430,010 1.10% 0.34% 1.10% 0.34% 77%
1997 323,337 1.11 0.37 1.11 0.37 98
1996 163,177 1.11 0.15 1.11 0.15 121
1995(5) 102,975 1.10 0.26 1.12 0.24 64
- ---------------------
SMALL CAP GROWTH FUND
- ---------------------
CLASS A
1998 $ 536,393 1.10% (0.56)% 1.10% (0.56)% 128%
1997 561,414 1.10 (0.60) 1.10 (0.60) 107
1996 380,525 1.10 (0.63) 1.11 (0.64) 167
1995 310,238 1.10 (0.60) 1.13 (0.63) 113
1994 300,296 1.01 (0.51) 1.11 (0.61) 97
1993 193,816 0.97 (0.25) 1.14 (0.42) 85
1992(2) 36,191 0.97 0.49 1.29 0.17 33
CLASS D
1998 $ 1,951 1.46% (0.92)% 1.46% (0.92)% 128%
1997 2,202 1.46 (0.95) 1.46 (0.95) 107
1996 1,826 1.49 (1.02) 1.49 (1.02) 167
1995 786 1.50 (1.03) 1.55 (1.08) 113
1994(3) 171 1.49 (0.92) 1.52 (0.95) 97
- ------------
MID-CAP FUND
- ------------
CLASS A
1998 $ 35,160 1.00% 0.93% 1.00% 0.93% 106%
1997 35,047 0.93 0.79 0.94 0.78 92
1996 24,954 0.77 1.28 0.88 1.17 101
1995 27,898 0.94 0.04 1.09 (0.11) 108
1994 108,002 0.93 0.03 1.06 (0.10) 89
1993(1) 57,669 0.90 0.26 1.12 0.04 87
</TABLE>
<TABLE>
NET
REALIZED
AND DISTRIBUTIONS
NET ASSET UNREALIZED DIVIDENDS FROM
VALUE, NET GAINS FROM NET REALIZED NET ASSET
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN
- ---------------------------------------------------------------------------------------------------------------------------------
- -------------------------
CAPITAL APPRECIATION FUND
- -------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1998 $18.20 $ 0.16 $0.92 $(0.16) $(5.11) $14.01 7.08%
1997 18.14 0.21 4.65 (0.22) (4.58) 18.20 34.02
1996 16.70 0.20 3.18 (0.17) (1.77) 18.14 22.14
1995 15.18 0.22 2.42 (0.23) (0.89) 16.70 19.03
1994 16.36 0.24 (0.22) (0.25) (0.95) 15.18 (0.11)
1993 15.09 0.32 1.68 (0.30) (0.43) 16.36 13.50
1992 14.15 0.30 1.23 (0.30) (0.29) 15.09 11.03
- ------------------
EQUITY INCOME FUND
- ------------------
CLASS A
1998 $18.02 $ 0.41 $(0.09) $(0.38) $(3.35) $14.61 1.51%
1997 16.40 0.39 4.33 (0.42) (2.68) 18.02 33.46
1996 16.07 0.49 2.20 (0.41) (1.95) 16.40 18.17
1995 14.06 0.55 2.48 (0.55) (0.47) 16.07 23.00
1994 15.00 0.51 (0.38) (0.50) (0.57) 14.06 1.05
1993 13.33 0.51 1.75 (0.51) (0.08) 15.00 17.34
1992 12.36 0.52 1.05 (0.52) (0.08) 13.33 13.03
- -------------
BALANCED FUND
- -------------
CLASS A
1998 $14.06 $ 0.41 $0.80 $(0.40) $(1.70) $13.17 9.49%
1997 13.94 0.41 2.27 (0.42) (2.14) 14.06 22.38
1996 12.76 0.42 1.44 (0.34) (0.34) 13.94 15.01
1995 11.52 0.34 1.34 (0.34) (0.10) 12.76 15.05
1994 12.24 0.23 (0.62) (0.22) (0.11) 11.52 (3.25)
1993 11.35 0.25 1.29 (0.26) (0.39) 12.24 14.49
1992 10.70 0.52 0.73 (0.53) (0.07) 11.35 11.64
- ----------------------
CORE FIXED INCOME FUND
- ----------------------
CLASS A
1998 $10.40 $ 0.61 $0.54 $(0.61) $(0.02) $10.92 11.42%
1997 10.23 0.63 0.33 (0.63) (0.16) 10.40 9.80
1996 10.46 0.64 (0.18) (0.69) -- 10.23 4.51
1995 9.65 0.65 0.82 (0.66) -- 10.46 15.87
1994 10.87 0.56 (1.12) (0.55) (0.11) 9.65 (5.36)
1993 10.77 0.60 0.28 (0.60) (0.18) 10.87 8.58
1992 10.30 0.69 0.49 (0.69) (0.02) 10.77 11.91
</TABLE>
<TABLE>
RATIO OF NET
RATIO OF INVESTMENT
RATIO OF NET EXPENSES INCOME (LOSS)
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES INCOME NET ASSETS NET ASSETS PORTFOLIO
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- -----------------------------------------------------------------------------------------------------
- -------------------------
CAPITAL APPRECIATION FUND
- -------------------------
<S> <C> <C> <C> <C> <C> <C>
CLASS A
1998 $ 118,741 0.84% 1.03% 0.89% 0.98% 238%
1997 164,238 0.84 1.20 0.89 1.15 178
1996 236,581 0.84 1.20 0.86 1.18 153
1995 310,693 0.84 1.39 0.89 1.34 107
1994 729,100 0.79 1.45 0.84 1.40 109
1993 776,745 0.75 2.06 0.84 1.97 119
1992 536,028 0.75 2.12 0.88 1.99 84
- ------------------
EQUITY INCOME FUND
- ------------------
CLASS A
1998 $ 116,576 0.85% 1.85% 0.90% 1.80% 66%
1997 173,766 0.85 2.38 0.90 2.33 40
1996 202,823 0.83 3.00 0.86 2.97 43
1995 250,609 0.82 3.72 0.88 3.66 47
1994 418,207 0.78 3.68 0.84 3.62 28
1993 337,939 0.75 3.73 0.85 3.63 39
1992 178,756 0.75 4.15 0.87 4.03 18
- -------------
BALANCED FUND
- -------------
CLASS A
1998 $ 56,256 0.75% 2.90% 0.80% 2.85% 183%
1997 51,195 0.75 3.15 0.81 3.09 197
1996 57,915 0.75 2.98 0.84 2.89 143
1995 70,464 0.75 2.92 0.90 2.77 159
1994 65,480 0.75 2.05 0.91 1.89 149
1993 33,807 0.75 2.24 0.94 2.05 109
1992 5,974 0.75 4.83 1.12 4.46 101
- ----------------------
CORE FIXED INCOME FUND
- ----------------------
CLASS A
1998 $1,465,285 0.60% 5.77% 0.60% 5.77% 344%
1997 1,063,335 0.60 6.17 0.61 6.16 216
1996 655,300 0.57 6.24 0.64 6.17 311
1995 419,959 0.55 6.60 0.68 6.47 294
1994 311,955 0.55 5.57 0.62 5.50 370
1993 295,798 0.55 5.63 0.66 5.52 35
1992 213,632 0.55 6.71 0.68 6.58 39
73
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE PERIODS ENDED SEPTEMBER 30.
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
NET
REALIZED
AND DISTRIBUTIONS
NET ASSET UNREALIZED DIVIDENDS FROM
VALUE, NET GAINS FROM NET REALIZED NET ASSET
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN
- ----------------------------------------------------------------------------------------------------------------------------
- --------------------
HIGH YIELD BOND FUND
- --------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1998 $11.66 $1.04 $(0.75) $(1.04) $(0.10) $10.81 2.25%
1997 11.14 1.04 0.57 (1.04) (0.05) 11.66 15.30
1996 10.64 0.94 0.62 (1.03) (0.03) 11.14 15.46
1995(6) 10.00 0.67 0.55 (0.58) -- 10.64 17.72
</TABLE>
<TABLE>
RATIO OF NET
RATIO OF NET RATIO OF INVESTMENT
INVESTMENT EXPENSES INCOME (LOSS)
RATIO OF INCOME TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES (LOSS) NET ASSETS NET ASSETS PORTFOLIO
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- -----------------------------------------------------------------------------------------------------
- --------------------
HIGH YIELD BOND FUND
- --------------------
<S> <C> <C> <C> <C> <C> <C>
CLASS A
1998 $ 314,937 0.85% 8.94% 0.89% 8.90% 56%
1997 236,457 0.86 9.33 0.91 9.28 68
1996 107,545 0.87 9.01 0.94 8.94 55
1995(6) 23,724 0.67 10.02 0.86 9.83 56
</TABLE>
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.
7 TAX MANAGED LARGE CAP CLASS A SHARES WERE OFFERED BEGINNING MARCH 4, 1998.
ALL RATIOS HAVE BEEN ANNUALIZED.
* SALES LOAD IS NOT REFLECTED IN TOTAL RETURN.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
74
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
1. ORGANIZATION
SEI Institutional Managed Trust (the "Trust") is organized as a
Massachusetts Business Trust under a Declaration of Trust dated October 20,
1986. The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end investment company with eleven diversified Funds (the
"Funds"): Large Cap Value, Large Cap Growth, Tax Managed Large Cap, Small Cap
Value, Small Cap Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced,
Core Fixed Income, 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, and High Yield Bond Funds and Class D shares of the Small Cap Growth
Fund. The Funds' prospectus provides a description of each Funds' investment
objective, policies, and strategies.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed
by the Trust. The preparation of financial statements in conformity with
generally accepted accounting principles requires the use of management
estimates. Actual results could differ from the estimates.
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 which approximates market value.
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 Fund'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 Fund less its liabilities by the
number of outstanding shares of the Fund.
REPURCHASE AGREEMENTS--Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreement. The Funds 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 Funds 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 Funds are
charged directly to that Fund. Other operating expenses of the Funds are
prorated to the Funds 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, Tax Managed Large
Cap, Small Cap Value, Small Cap Growth, Capital Appreciation and Equity Income
Funds utilized S&P 500 Index futures contracts and the Core Fixed Income Fund
utilized U.S. Long T-Bond futures contracts during the period ended September
30, 1998 . The Funds' investment in S&P 500 Index futures contracts is designed
to enable the Funds to more closely approximate the performance of their
benchmark indices. The Core Fixed
75
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
Income Fund'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 Fund
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.
OPTION SELLING/PURCHASING -- Each Fund may invest in financial options
contracts solely for the purpose of hedging its existing fund securities, or
securities that the Fund intends to purchase, against fluctuations in fair value
caused by changes in prevailing market interest rates. When the Fund sells or
purchases an option, an amount equal to the premium received or paid by the Fund
is recorded as a liability or an asset and is subsequently adjusted to the
current market value of the option written or purchased. Premiums received or
paid from purchasing options which expire unexercised are treated by the Fund on
the expiration date as realized gains or losses. The difference between the
premium and the amount paid or received on effecting a closing purchase or sale
transaction, including brokerage commissions, is also treated as a realized gain
or loss. If an option is exercised, the premium paid or received is added to the
cost of the purchase or proceeds from the sale in determining whether the Fund
has realized a gain or a loss on investment transactions.
TBA AND OTHER PURCHASE COMMITMENTS -- The Funds may enter into purchase
commitments to purchase securities for a fixed price at a future date. Purchase
commitments may be considered securities and involve a risk of loss if the value
of the security to be purchased declines prior to settlement date, which risk is
in addition to the risk of decline in the value of a Fund's other assets.
Unsettled purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under "Security
Valuation" above.
STRUCTURED NOTES AND INDEXED NOTES--The Core Fixed Income Fund may invest
in structured notes and indexed notes whose values are linked either directly or
inversely to changes in foreign currency exchange rates, interest rates,
indices, or other reference instruments. The values of these instruments may be
more volatile than the rates, indices or instruments to which they refer, but
any loss is limited to the amount of the original investment.
DISTRIBUTIONS -- Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid-in-capital in the period that the difference arises.
The reclassifications were as follows:
ACCUMULATED UNDISTRIBUTED
PAID-IN- REALIZED INVESTMENT
CAPITAL GAIN (LOSS) INCOME (LOSS)
(000) (000) (000)
------- ----------- -------------
Large Cap Value $13,716 $ (11,965) $(1,751)
Large Cap Growth 5,216 (5,109) (107)
Tax Managed Large Cap -- -- --
Small Cap Value -- 15 (15)
Small Cap Growth 1,471 (4,771) 3,300
Mid-Cap -- 25 (25)
Capital Appreciation -- -- --
Equity Income -- (16) 16
Balanced -- -- --
Core Fixed Income -- (31) 31
High Yield Bond -- (115) 115
The Large Cap Value and Large Cap Growth Funds utilized earnings and
profits distributed to shareholders on redemption of shares as a part of the
dividends paid deduction for income tax purposes.
These reclassifications have no effect on net assets or net asset values
per share.
76
<PAGE>
- --------------------------------------------------------------------------------
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.
The market values of the Core Fixed Income Fund's investments will change
in response to interest rate changes and other factors. During periods of
falling interest rates, the values of fixed income securities generally rise.
Conversely, during periods of rising interest rates, the values of such
securities generally decline. Changes by recognized rating agencies in the
ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
3. MANAGEMENT, INVESTMENT ADVISORY, AND DISTRIBUTION AGREEMENTS
The Trust and SEI Investments 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, Tax Managed Large Cap, Small Cap Value, Small Cap
Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, and High Yield
Bond Funds; and .28% of the average daily net assets of the Core Fixed Income
Fund. The Manager has agreed to waive all or a portion of its fee in order to
limit the operating expenses of a Fund. Any such waiver is voluntary and may be
terminated at any time at the Manager's sole discretion.
SEI Investments Management Corporation ("SIMC") serves as investment
adviser to each Fund. In connection with serving as investment adviser, SIMC is
entitled to a fee, which is calculated daily and paid monthly, at an annual rate
of .35% of the Large Cap Value Fund's average daily net assets, at an annual
rate of .40% of the Large Cap Growth, Tax Managed Large Cap, Mid-Cap, Capital
Appreciation, Equity Income and Balanced Funds' average daily net assets, at an
annual rate of .65% of the Small Cap Value and Small Cap Growth Funds' average
daily net assets, at an annual rate of .275% of the Core Fixed Income Fund's
average daily net assets and .4875% of the High Yield Bond Fund'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,
Tax Managed Large Cap, Capital Appreciation, Equity Income, and Balanced Funds.
Mellon Equity Associates, LLC, LSV Asset Management and Sanford C.
Bernstein & Co., Inc. each serve as an investment sub-adviser to a portion of
the assets of the Large Cap Value Fund and are party to investment sub-advisory
agreements with the Trust and SIMC dated December 16, 1994, March 31, 1995 and
December 15, 1997, respectively. Under the investment sub-advisory agreements,
each party receives an annual fee, paid by SIMC.
Alliance Capital Management L.P., Provident Investment Counsel, Inc., and
Trust Company of the West each serve as an investment sub-adviser to a portion
of the assets of the Large Cap Growth Fund and are party to investment
sub-advisory agreements with the Trust and SIMC dated December 16, 1994, May 1,
1996 and September 18, 1998, respectively. Under the investment sub-advisory
agreements, each party receives an annual fee, paid by SIMC.
Alliance Capital Management L.P., Mellon Equity Associates, LLC and Sanford
C. Bernstein & Co. each serve as an investment sub-adviser to a portion of the
assets of the Tax Managed Large Cap Fund and are party to investment
sub-advisory agreements with the Trust and SIMC dated February 23, 1998. Under
the investment sub-advisory agreements, each party receives an annual fee, paid
by SIMC.
77
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
LSV Asset Management L.P., 1838 Investment Advisors, L.P., Boston Partners
Asset Management, L.P. and Mellon Equity Associates, LLC each serve as an
investment sub-adviser to a portion of the assets of the Small Cap Value Fund
and are party to investment sub-advisory agreements with the Trust and SIMC
dated May 30, 1997, December 18, 1994, November 13, 1995 and September 21, 1998,
respectively. Under the investment sub-advisory agreements, each party receives
an annual fee, paid by SIMC.
Nicholas-Applegate Capital Management, Inc., Wall Street Associates, Furman
Selz Capital Management, LLC and Robertson Stephens Investment Management, each
serve as an investment sub-adviser to a portion of the assets of the Small Cap
Growth Fund and are party to investment sub-advisory agreements with the Trust
and SIMC dated August 11, 1995, August 11, 1995, August 11, 1995 and March 24,
1998, respectively. Under the investment sub-advisory agreements, each party
receives an annual fee, paid by SIMC.
Martingale Asset Management, L.P. serves as investment sub-adviser to the
Mid-Cap Fund and is party to an investment sub-advisory agreement with the Trust
and SIMC dated August 14, 1995. Under the investment sub-advisory agreement,
Martingale Asset Management, L.P. receives an annual fee, paid by SIMC.
HighMark Capital Management, Inc. (formerly Pacific Alliance Capital
Management) serves as investment sub-adviser to the Equity Income Fund and is
party to an investment sub-advisory agreement with the Trust and SIMC dated
April 1, 1996. Under the investment sub-advisory agreement, HighMark Capital
Management receives an annual fee, paid by SIMC.
STI Capital Management, N.A. ("STI") serves as investment sub-adviser to
the Capital Appreciation and Balanced Funds and is party to an investment
sub-advisory agreement with the Trust and SIMC dated July 10, 1995. Under the
investment sub-advisory agreement, STI receives an annual fee for each Fund,
paid by SIMC.
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 Fund and are
parties to investment sub-advisory agreements with the Trust and SIMC 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 SIMC.
BEA Associates serves as investment sub-adviser to the High Yield Bond Fund
and is a party to an investment sub-advisory agreement with the Trust and SIMC
dated August 11, 1995. Under the investment sub-advisory agreement, BEA
Associates receives an annual fee, paid by SIMC.
SEI Investments Distribution Co. (the "Distributor"), a wholly-owned
subsidiary of SEI, serves as each Fund's distributor pursuant to a distribution
agreement with the Trust. The Trust has 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.
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 fund transactions effected for
the Trust in accordance with the rules of the Securities and Exchange Commission
("SEC"). Accordingly, it is expected that fund 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. TRANSACTIONS WITH AFFILIATES
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.
78
<PAGE>
- --------------------------------------------------------------------------------
Each of the Funds 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, 1998 were
$173,993.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities,
other than temporary cash investments during the period ended September 30, 1998
were as follows:
PURCHASES
---------
U.S. GOV'T. OTHER TOTAL
(000) (000) (000)
------------ ---------- ----------
Large Cap Value $ -- $1,462,620 $1,462,620
Large Cap Growth -- 1,366,241 1,366,241
Tax Managed Large Cap -- 185,755 185,755
Small Cap Value -- 454,728 454,728
Small Cap Growth -- 814,050 814,050
Mid-Cap -- 48,000 48,000
Capital Appreciation -- 304,415 304,415
Equity Income -- 90,860 90,860
Balanced 18,847 70,336 89,183
Core Fixed Income 3,995,299 271,177 4,266,476
High Yield Bond -- 228,189 228,189
SALES
-----
U.S. GOV'T. OTHER TOTAL
(000) (000) (000)
------------ ---------- ----------
Large Cap Value $ -- $882,680 $ 882,680
Large Cap Growth -- 882,270 882,270
Tax Managed Large Cap -- 9,915 9,915
Small Cap Value -- 295,605 295,605
Small Cap Growth -- 690,837 690,837
Mid-Cap -- 39,499 39,499
Capital Appreciation -- 365,913 365,913
Equity Income -- 151,187 151,187
Balanced 16,145 75,714 91,859
Core Fixed Income 3,738,097 223,828 3,961,925
High Yield Bond -- 142,956 142,956
At September 30, 1998, 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, 1998 is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
SECURITIES SECURITIES DEPRECIATION
(000) (000) (000)
---------- ---------- ------------
Large Cap Value $158,832 $ (138,656) $ 20,176
Large Cap Growth 347,484 (60,569) 286,915
Tax Managed
Large Cap 7,080 (19,191) (12,111)
Small Cap Value 40,484 (56,525) (16,041)
Small Cap Growth 64,258 (85,914) (21,656)
Mid-Cap 4,344 (6,571) (2,227)
Capital Appreciation 20,619 (10,280) 10,339
Equity Income 26,243 (2,549) 23,694
Balanced 5,680 (2,613) 3,067
Core Fixed Income 60,872 (8,343) 52,529
High Yield Bond 7,852 (19,739) (11,887)
6. FUTURES CONTRACTS
The following Funds had futures contracts open as of September 30, 1998:
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- ----------- --------- ----- ---------- ----------
Large Cap Value
S&P 500 42 982.64 December 1998 $ 455
S&P 500 4 1,059.04 December 1998 (33)
S&P 500 7 1,046.04 December 1998 (35)
-------
$ 387
=======
Large Cap Growth
S&P 500 4 993.04 December 1998 $ 33
S&P 500 161 982.64 December 1998 1,745
S&P 500 9 993.04 December 1998 97
S&P 500 5 1,029.04 December 1998 (4)
S&P 500 24 1,029.54 December 1998 (21)
-------
$ 1,850
=======
Tax Managed Large Cap
S&P 500 22 982.64 December 1998 $ 239
S&P 500 1 1,005.04 December 1998 5
S&P 500 2 1,060.04 December 1998 (17)
S&P 500 3 1,046.04 December 1998 (15)
-------
$ 212
=======
79
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- ----------- ---------- ----- ---------- ----------
Small Cap Value
S&P 500 16 982.64 December 1998 $ 174
S&P 500 65 982.59 December 1998 705
S&P 500 3 1,071.54 December 1998 (34)
S&P 500 2 1,040.04 December 1998 (7)
S&P 500 2 1,046.04 December 1998 (10)
-------
$ 828
=======
Small Cap Growth
S&P 500 82 982.64 December 1998 $ 889
S&P 500 2 1,059.04 December 1998 (17)
S&P 500 3 1,046.04 December 1998 (15)
-------
$ 857
=======
Capital Appreciation
S&P 500 28 982.64 December 1998 $ 304
=======
Equity Income
S&P 500 37 982.64 December 1998 $ 401
=======
Core Fixed Income
U.S. 5 Year Note (35) 110.96 December 1998 $ (140)
U.S. 5 Year Note (57) 111.90 December 1998 (174)
U.S. 5 Year Note 79 114.37 December 1998 46
U.S. 5 Year Note 682 114.93 December 1998 13
U.S. 10 Year Note (25) 115.60 December 1998 (145)
U.S. 10 Year Note (30) 115.42 December 1998 (181)
U.S. 10 Year Note (40) 115.56 December 1998 (235)
U.S. 10 Year Note (125) 117.52 December 1998 (490)
U.S. 30-Year T Bond (17) 125.98 December 1998 (93)
U.S. 30-Year T Bond (5) 131.09 December 1998 (2)
U.S. 30-Year T Bond(163) 130.75 December 1998 (117)
-------
$(1,518)
=======
80
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 1998 (UNAUDITED)
For shareholders that do not have a September 30, 1998 taxable year end, this
notice is for informational purposes only. For shareholders with a September 30,
1998 taxable year end, please consult your tax advisor as to the pertinence of
this notice.
For the fiscal year ended September 30, 1998 the funds of the SEI Institutional
Managed Trust are designating long and mid term capital gains and qualifying
dividend income with regard to distributions paid during the year as follows:
<TABLE>
<S> <C> <C> <C> <C>
(A) (B) (C)
LONG TERM MID TERM ORDINARY
CAPITAL GAINS INCOME INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
FUND (TAX BASIS) (TAX BASIS) (TAX BASIS) (TAX BASIS)
-------- ---------------- ------------- ------------- -------------
Large Cap Value 26% 20% 54% 100%
Large Cap Growth 49% 30% 21% 100%
Tax Managed Large Cap 0% 0% 100% 100%
Small Cap Value 18% 16% 66% 100%
Small Cap Growth 57% 43% 0% 100%
Mid-Cap 27% 22% 51% 100%
Capital Appreciation 16% 20% 64% 100%
Equity Income 41% 32% 27% 100%
Balanced 12% 18% 70% 100%
Core Fixed Income 0% 0% 100% 100%
High Yield Bond 4% 0% 96% 100%
(D)
QUALIFYING
FUND DIVIDENDS (1)
-------- -------------
Large Cap Value 59%
Large Cap Growth 47%
Tax Managed Large Cap 64%
Small Cap Value 24%
Small Cap Growth 0%
Mid-Cap 57%
Capital Appreciation 5%
Equity Income 54%
Balanced 5%
Core Fixed Income 0%
High Yield Bond 0%
</TABLE>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction. * Items (A), (B) and (C) are based on the
percentage of each fund's total distribution. ** Item (D) is based on the
percentage of ordinary income distributions of each fund.
81
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
- ------------------
SEI INSTITUTIONAL
MANAGED TRUST
- ------------------
- ------------------
ANNUAL REPORT
- ------------------
SEPTEMBER 30, 1998
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Joseph M. O'Donnell
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Kathy Heilig
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 AND CHIEF FINANCIAL OFFICER
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
EQUITY & BALANCED FUNDS
SEI Investments Management Corporation
FIXED INCOME FUNDS
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers 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[BULET]DIAL[BULLET]SEI/1[BULLET]800[BULLET]342[BULLET]5734
<PAGE>
[LOGO OMITTED]
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-087-06
