SEMI-ANNUAL REPORT AS OF
MARCH 31, 1998
SEI INSTITUTIONAL
MANAGED TRUST
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Large Cap Value
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Large Cap Growth
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Tax Managed Large Cap
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Small Cap Value
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Small Cap Growth
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Mid-Cap
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Capital Appreciation
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Equity Income
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Balanced
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Core Fixed Income
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High Yield Bond
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[LOGO OMITTED]
SEI INVESTMENTS
The art of people.
The science of results.
<PAGE>
TABLE OF CONTENTS
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STATEMENT OF NET ASSETS.............................................. 1
STATEMENT OF ASSETS AND LIABILITIES.................................. 47
STATEMENT OF OPERATIONS.............................................. 48
STATEMENT OF CHANGES IN NET ASSETS................................... 50
FINANCIAL HIGHLIGHTS................................................. 52
NOTES TO FINANCIAL STATEMENTS........................................ 55
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
LARGE CAP VALUE PORTFOLIO
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MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 97.7%
AEROSPACE & DEFENSE -- 1.1%
Gencorp 101,400 $ 3,118
Litton Industries* 78,700 4,540
Thiokol 118,800 5,740
-----------
13,398
-----------
AIR TRANSPORTATION -- 1.5%
AMR* 62,600 8,964
Delta Air Lines 46,100 5,451
FDX* 5,100 363
UAL* 50,500 4,693
-----------
19,471
-----------
AIRCRAFT -- 1.7%
Northrop 34,500 3,707
Rockwell International 103,200 5,921
Textron 66,800 5,144
United Technologies 68,900 6,360
-----------
21,132
-----------
APPAREL/TEXTILES -- 0.7%
Springs Industries, Cl A 30,500 1,676
VF 144,300 7,585
-----------
9,261
-----------
AUTOMOTIVE -- 4.6%
Chrysler 85,500 3,554
Dana 48,300 2,810
Eaton 61,000 5,806
Ford Motor 419,400 27,182
General Motors 240,300 16,205
Paccar 30,000 1,787
-----------
57,344
-----------
BANKS -- 13.1%
Astoria Financial* 68,300 4,222
BankAmerica 172,000 14,211
Bankers Trust New York 92,501 11,129
Chase Manhattan 213,100 28,742
Comerica 101,500 10,740
First American Bank 156,500 13,537
First Chicago 71,000 6,257
Golden West Financial 158,500 15,186
J.P. Morgan 42,700 5,735
National City 84,600 6,202
NationsBank 223,000 16,265
Onbancorp 45,900 3,179
Republic New York 129,500 17,272
Southtrust 135,800 5,687
SunTrust 79,800 6,015
-----------
164,379
-----------
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MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BEAUTY PRODUCTS -- 0.8%
Avon Products 26,300 $ 2,051
Eastman Chemical 74,600 5,031
FMC* 35,800 2,810
-----------
9,892
-----------
BUILDING & CONSTRUCTION -- 0.6%
Centex 194,200 7,404
-----------
CHEMICALS -- 2.3%
Cabot 17,800 656
Dow Chemical 98,600 9,589
Millenium Chemicals 284,000 9,514
Nalco Chemical 62,800 2,547
Union Carbide 131,300 6,581
-----------
28,887
-----------
COMMUNICATIONS EQUIPMENT -- 1.9%
GTE 226,100 13,538
Harris 96,100 5,009
Sprint 71,700 4,853
-----------
23,400
-----------
COMPUTERS & SERVICES -- 3.2%
Cirrus Logic* 77,100 3,479
IBM 329,000 34,175
Quantum* 129,300 2,756
-----------
40,410
-----------
CONCRETE & MINERAL PRODUCTS -- 0.1%
Owens-Corning Fiberglass 50,500 1,815
-----------
DRUGS -- 1.6%
Bristol-Myers Squibb 63,300 6,603
Johnson & Johnson 54,500 3,996
Perrigo* 206,500 2,530
Schering Plough 81,400 6,649
-----------
19,778
-----------
ELECTRICAL SERVICES -- 6.3%
Allegheny Energy 116,500 3,910
American Electric Power 179,300 9,010
Baltimore Gas & Electric 154,800 5,060
Consolidated Edison 93,100 4,352
DQE 131,900 4,913
DTE Energy 57,900 2,276
Edison International 167,500 4,920
FirstEnergy* 98,500 3,035
FPL Group 88,200 5,667
GPU 126,800 5,611
Houston Industries 29,145 838
Illinova 67,100 2,026
Long Island Lighting 55,400 1,745
1
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
LARGE CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
New York State Electric & Gas 113,000 $ 4,506
PG&E 112,959 3,728
Pinnacle West Capital 272,100 12,091
Texas Utilities 133,000 5,229
-----------
78,917
-----------
ELECTRONICS -- 0.3%
Philips Electronics, ADR 58 4,274
-----------
ENTERTAINMENT -- 0.0%
Bally Total Fitness* 15,150 477
-----------
ENVIRONMENTAL SERVICES -- 0.1%
Browning-Ferris Industries 56,300 1,837
-----------
FINANCIAL SERVICES -- 3.0%
Bear Stearns 261,330 13,426
Federal Home Loan Mortgage
Corporation 53,500 2,538
Firstplus Financial Group* 100,300 4,213
Green Tree Financial 55,400 1,575
Lehman Brothers Holding 101,200 7,577
Morgan Stanley 57,700 4,205
SLM Holding 85,100 3,712
-----------
37,246
-----------
FOOD, BEVERAGE & TOBACCO -- 2.8%
Adolph Coors, Cl B 95,100 3,328
Anheuser Busch 112,300 5,201
General Mills 62,200 4,727
Hormel Foods 5,200 202
Philip Morris 322,825 13,458
RJR Nabisco 210,500 6,591
Sara Lee 55,400 3,414
-----------
36,921
-----------
GAS/NATURAL GAS -- 0.4%
Coastal 49,100 3,198
National Fuel & Gas 43,600 2,049
-----------
5,247
-----------
HOTELS & LODGING -- 0.1%
Promus Hotel* 14,400 688
-----------
HOUSEHOLD PRODUCTS -- 0.7%
Maytag 146,900 7,024
Whirlpool 29,000 1,988
-----------
9,012
-----------
INSURANCE -- 11.0%
Aetna 141,400 11,798
Allstate 89,600 8,238
Ambac 160,100 9,356
American General 260,600 16,858
Chubb 156,700 12,281
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MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Cigna 93,800 $ 19,229
Conseco 95,900 5,430
Exel 153,700 11,912
Foundation Health Systems, Cl A* 26,600 733
Lincoln National 4,000 339
Loew's 35,700 3,722
Old Republic International 191,300 8,477
Orion Capital 107,100 5,857
Pacificare Health Systems, Cl B* 44,900 3,379
Safeco 197,500 10,795
St. Paul 62,339 5,556
Torchmark 96,000 4,398
-----------
138,358
-----------
LEASING & RENTING -- 0.6%
Comdisco 167,725 7,317
-----------
MACHINERY -- 2.7%
Aerquip-Vickers 97,800 5,654
Caterpillar 150,100 8,265
Cummins Engine 55,000 3,032
NACCO Industries, Cl A 20,900 2,801
New Holland* 161,500 4,401
Parker-Hannifin 108,300 5,550
Timken 121,700 4,115
-----------
33,818
-----------
MEASURING DEVICES -- 0.2%
Mallinckrodt 62,700 2,477
-----------
MEDICAL PRODUCTS & SERVICES -- 1.2%
Baxter International 97,975 5,401
Healthsouth Rehabilitation* 204,200 5,730
Novacare* 248,800 3,701
-----------
14,832
-----------
METALS & MINING -- 0.7%
Vulcan Materials 53,500 5,858
-----------
MISCELLANEOUS BUSINESS SERVICES-- 0.5%
Sun Microsystems* 79,900 3,333
Teradyne* 79,400 3,181
-----------
6,514
-----------
PAPER & PAPER PRODUCTS -- 3.3%
Champion International 31,900 1,733
Consolidated Papers 42,000 2,688
Fort James 183,200 8,393
International Paper 250,550 11,729
Kimberly-Clark 94,800 4,752
Mead 85,800 3,073
Temple-Inland 56,000 3,479
Union Camp 73,000 4,362
Westvaco 97,500 2,998
-----------
43,207
-----------
2
<PAGE>
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MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PETROLEUM & FUEL PRODUCTS -- 2.4%
Atlantic Richfield 152,100 $ 11,959
Nabors Industries* 51,600 1,222
Phillips Petroleum 274,500 13,708
Rowan* 100,300 2,909
-----------
29,798
-----------
PETROLEUM REFINING -- 6.1%
Amoco 82,525 7,128
Ashland 37,300 2,112
British Petroleum, PLC, ADR 53,500 4,604
Chevron 75,700 6,080
Exxon 409,600 27,699
Mobil 98,950 7,582
Sun 129,500 5,293
Texaco 208,500 12,562
Valero Energy* 121,100 4,042
-----------
77,102
-----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.5%
Xerox 55,600 5,918
-----------
PRINTING & PUBLISHING -- 1.8%
Bowne 87,300 3,612
Gannett 81,300 5,843
Lafarge 51,200 1,965
New York Times, Cl A 93,200 6,524
Tribune 62,600 4,413
-----------
22,357
-----------
RAILROADS -- 0.6%
Canadian Pacific Ltd 81,800 2,413
Norfolk Southern 77,200 2,885
Union Pacific 33,625 1,889
-----------
7,187
-----------
REPAIR SERVICES -- 0.1%
Ryder System 18,200 692
-----------
RETAIL -- 5.7%
Darden Restaurants 154,400 2,403
Dayton-Hudson 155,000 13,640
Dillards Incorporated, Cl A 101,900 3,764
Federated Department Stores* 265,700 13,767
Fred Meyer* 110,501 5,104
Great Atlantic & Pacific Tea 65,200 1,972
JC Penney 70,850 5,362
May Department Stores 127,375 8,088
Ruddick 95,800 1,778
Tech Data* 12,300 474
TJX 98,900 4,475
Toys "R" Us* 357,300 10,741
-----------
71,568
-----------
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SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
RUBBER & PLASTIC -- 1.5%
Goodyear Tire & Rubber 148,800 $ 11,272
Premark International 113,200 3,750
Sonoco Products 110,800 4,439
-----------
19,461
-----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.3%
National Semiconductor* 156,300 3,273
-----------
SPECIALTY MACHINERY -- 0.5%
American Standard* 9,000 413
Cooper Industries 60,000 3,566
Tecumseh Products, Cl A 38,200 2,053
-----------
6,032
-----------
STEEL & STEEL WORKS -- 2.1%
Alcan Aluminum 216,261 6,758
Alumax* 14,000 633
Aluminum Company of America 62,300 4,287
Asarco 60,400 1,612
Texas Industries 89,900 5,197
USX-Marathon Group 160,800 6,050
USX-US Steel Group 56,700 2,140
-----------
26,677
-----------
TELEPHONES & TELECOMMUNICATION -- 7.4%
Airtouch Communications* 126,400 6,186
Alltel 59,000 2,578
Ameritech 372,700 18,425
AT&T 338,100 22,188
Bell Atlantic 194,294 19,915
BellSouth 225,700 15,249
US West 102,200 5,595
WorldCom* 75,000 3,230
-----------
93,366
-----------
TRANSPORTATION SERVICES -- 1.1%
CSX 238,800 14,209
-----------
TRUCKING -- 0.2%
Yellow* 131,100 2,507
-----------
WHOLESALE -- 0.3%
BJ Wholesale Club* 87,500 3,413
-----------
Total Common Stocks
(Cost $960,342) 1,227,131
-----------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill (A)
5.340%, 06/25/98 $3,500 3,458
-----------
Total U.S. Treasury Obligation
(Cost $3,459) 3,458
-----------
3
<PAGE>
STATEMENT OF NET ASSETS
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SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
LARGE CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.8%
J.P. Morgan
6.050%, dated 03/31/98, matures
04/01/96, repurchase price
$41,775,000 (collateralized by
various U.S. Treasury Notes
total par value $35,945,000,
5.375%-5.875%, 01/31/99-
09/30/01, total market
value: $36,481,000) $35,765 $ 35,765
-----------
Total Repurchase Agreement
(Cost $35,765) 35,765
-----------
Total Investments -- 100.8%
(Cost $999,566) 1,266,354
-----------
Other Assets and Liabilities, Net -- (0.8%)
Investment Securities Sold 17,694
Investment Securities Purchased (31,382)
Other Assets and Liabilities 3,541
-----------
Total Other Assets and Liabilities, Net (10,147)
-----------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
61,736,771 outstanding shares
of beneficial interest 909,520
Undistributed net investment income 3,661
Accumulated net realized gain
on investments 75,466
Net unrealized appreciation
on futures contracts 772
Net unrealized appreciation
on investments 266,788
-----------
Total Net Assets -- 100.0% $ 1,256,207
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $20.35
===========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
LTD -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
SLMA -- STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
LARGE CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 97.5%
AIRCRAFT -- 1.6%
Allied Signal 245,000 $ 10,290
United Technologies 101,500 9,370
-----------
19,660
-----------
APPAREL/TEXTILES -- 0.3%
U.S. Industries* 133,000 3,998
-----------
BANKS -- 7.1%
BankAmerica 66,000 5,453
BankBoston 36,700 4,046
Chase Manhattan 78,800 10,628
First Chicago 53,200 4,688
MBNA 869,525 31,140
NationsBank 150,500 10,977
Norwest 195,800 8,138
State Street 99,500 6,772
Washington Mutual 94,600 6,785
-----------
88,627
-----------
BEAUTY PRODUCTS -- 3.1%
Colgate-Palmolive 278,800 24,151
Procter & Gamble 164,000 13,838
-----------
37,989
-----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.2%
Chancellor Media, Cl A* 45,800 2,101
-----------
COMMUNICATIONS EQUIPMENT -- 2.2%
Andrew* 121,200 2,401
L.M. Ericsson Telephone, ADR 103,300 4,913
Tellabs* 287,500 19,298
-----------
26,612
-----------
COMPUTERS & SERVICES -- 7.1%
America Online* 71,800 4,905
Bay Networks* 79,300 2,151
Cisco Systems* 550,400 37,634
Compaq Computer 900,100 23,290
Dell Computer* 286,900 19,438
-----------
87,418
-----------
DRUGS -- 12.9%
Abbott Laboratories 103,000 7,757
American Home Products 62,300 5,942
Amgen* 101,200 6,161
Bristol-Myers Squibb 174,000 18,150
Elan, ADR 132 8,531
Eli Lilly 106,900 6,374
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Merck 284,700 $ 36,548
Pfizer 223,500 22,280
Schering Plough 451,400 36,874
Warner Lambert 70,400 11,990
-----------
160,607
-----------
ELECTRICAL SERVICES -- 0.4%
AES* 103,800 5,443
-----------
ENTERTAINMENT -- 2.0%
Liberty Media Group, Cl A* 371,000 12,753
Walt Disney 118,750 12,677
-----------
25,430
-----------
ENVIRONMENTAL SERVICES -- 0.8%
USA Waste Services* 235,250 10,483
-----------
FINANCIAL SERVICES -- 6.7%
Associates First Capital 41,600 3,286
Federal National Mortgage
Association 185,900 11,758
Household International 51,100 7,039
Merrill Lynch 116,800 9,694
Morgan Stanley 196,820 14,343
Starwood Lodging Trust 103,662 5,539
Travelers 517,800 31,068
-----------
82,727
-----------
FOOD, BEVERAGE & TOBACCO -- 3.8%
Bestfoods 31,100 3,635
Campbell Soup 143,700 8,155
Coca-Cola 123,000 9,525
General Mills 59,300 4,507
Philip Morris 506,400 21,111
Vlasic Foods International* 14,370 367
-----------
47,300
-----------
HOUSEHOLD PRODUCTS -- 9.1%
General Electric 448,600 38,664
Gillette 314,600 37,339
Illinois Tool Works 139,650 9,042
Minnesota Mining &
Manufacturing 41,500 3,784
Solectron* 311,000 13,140
Sunbeam Oster 250,890 11,055
-----------
113,024
-----------
INSURANCE -- 3.4%
American International Group 154,700 19,483
MGIC Investment 81,800 5,373
United Healthcare 57,000 3,691
UNUM 241,500 13,328
-----------
41,875
-----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MACHINERY -- 3.9%
Deere 142,300 $ 8,814
Tyco International Ltd 730,400 39,898
-----------
48,712
-----------
MEDICAL PRODUCTS & SERVICES -- 3.4%
Baxter International 165,600 9,129
Guidant 62,600 4,593
Healthsouth Rehabilitation* 121,600 3,412
Medtronic 491,900 25,517
-----------
42,651
-----------
MISCELLANEOUS BUSINESS SERVICES-- 6.2%
3Com* 112,400 4,039
Altera* 111,500 4,209
Cendant* 414,000 16,405
Computer Associates
International 196,500 11,348
Computer Sciences* 229,500 12,623
Microsoft* 272,100 24,353
Sungard Data Systems* 99,700 3,670
-----------
76,647
-----------
MISCELLANEOUS CONSUMER SERVICES -- 0.6%
Service International 175,100 7,431
-----------
PAPER & PAPER PRODUCTS -- 0.3%
Kimberly-Clark 69,500 3,484
-----------
PETROLEUM & FUEL PRODUCTS -- 1.9%
BJ Services* 159,000 5,794
Global Marine* 174,100 4,309
Noble Drilling* 301,400 9,212
Schlumberger 56,400 4,272
-----------
23,587
-----------
PETROLEUM REFINING -- 0.7%
Chevron 10,400 835
Mobil 55,200 4,230
Tosco 100,800 3,553
-----------
8,618
-----------
PROFESSIONAL SERVICES -- 1.4%
Halliburton 192,800 9,676
Paychex 128,800 7,430
-----------
17,106
-----------
RETAIL -- 8.9%
Bed Bath & Beyond* 55,600 2,568
Costco* 169,500 9,047
CVS 96,700 7,301
Dayton-Hudson 166,300 14,634
Dollar General 238,063 9,210
General Nutrition* 54,700 2,174
Home Depot 269,700 18,188
5
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
LARGE CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Kohls* 167,600 $ 13,701
Kroger* 155,700 7,191
Lowe's 54,500 3,825
Rite Aid 292,500 10,018
Wal-Mart Stores 144,500 7,342
Walgreen 132,900 4,676
-----------
109,875
-----------
RUBBER & PLASTIC -- 0.7%
Sealed Air* 139,600 9,144
-----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.8%
Intel 125,880 9,827
-----------
SPECIALTY CONSTRUCTION -- 0.5%
Masco 96,500 5,742
-----------
STEEL & STEEL WORKS -- 0.2%
Aluminum Company of America 45,000 3,097
-----------
TELEPHONES & TELECOMMUNICATION -- 4.8%
Airtouch Communications* 217,400 10,639
Lucent Technologies 171,600 21,943
Nextel Communications, Cl A* 99,500 3,358
WorldCom* 541,700 23,327
-----------
59,267
-----------
WHOLESALE -- 2.5%
Cardinal Health 44,000 3,880
Motorola 60,200 3,650
Safeway* 641,700 23,703
-----------
31,233
-----------
Total Common Stocks
(Cost $819,056) 1,209,715
-----------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill (A)
5.340%, 06/25/98 $1,650 1,630
-----------
Total U.S. Treasury Obligation
(Cost $1,630) 1,630
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.2%
FHLB
5.440%, 04/01/98 540 540
5.460%, 04/13/98 770 769
FHLMC
5.440%, 04/03/98 390 390
5.480%, 04/20/98 130 130
FNMA
3.770%, 05/04/98 380 378
-----------
Total U.S. Government Agency Obligations
(Cost $2,207) 2,207
-----------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 0.4%
Ford Motor Credit
5.610%, 04/02/98 $ 947 $ 947
5.550%, 04/03/98 564 564
Prudential Funding
5.420%, 04/01/98 3,571 3,571
-----------
Total Commercial Paper
(Cost $5,082) 5,082
-----------
REPURCHASE AGREEMENT -- 2.1%
Lehman Brothers
5.870%, dated 03/31/98,
matures 04/01/98, repurchase
price $25,919,000 (collateralized
by various U.S. Treasury
Obligations, par value
$23,225,000, 5.875%-11.875%,
10/31/99-11/15/04, total
market value: $26,569,000) 25,915 25,915
-----------
Total Repurchase Agreement
(Cost $25,915) 25,915
-----------
Total Investments -- 100.3%
(Cost $853,890) 1,244,549
-----------
Other Assets and Liabilities, Net -- (0.3%) (4,045)
-----------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
54,969,516 outstanding shares
of beneficial interest 829,599
Undistributed net investment income 1,211
Accumulated net realized gain
on investments 18,212
Net unrealized appreciation
on futures contracts 823
Net unrealized appreciation on investments 390,659
-----------
Total Net Assets -- 100.0% $1,240,504
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $22.57
===========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLB -- FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD -- LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<PAGE>
- --------------------------------------------------------------------------------
TAX MANAGED LARGE CAP
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 86.7%
AIR TRANSPORTATION -- 0.4%
AMR* 300 $ 43
FDX* 200 14
-------
57
-------
AIRCRAFT -- 2.3%
Allied Signal 2,090 88
Boeing 800 42
Northrop 300 32
United Technologies 1,720 159
-------
321
-------
APPAREL/TEXTILES -- 0.3%
VF 700 37
-------
AUTOMOTIVE -- 1.8%
Dana 600 35
Eaton 500 48
Ford Motor 2,500 162
-------
245
-------
BANKS -- 5.0%
Chase Manhattan 1,770 239
Comerica 800 85
First Chicago 400 35
Golden West Financial 500 48
MBNA 300 11
NationsBank 2,950 215
Washington Mutual 700 50
-------
683
-------
BEAUTY PRODUCTS -- 2.6%
Colgate Palmolive 1,200 104
Gillette 1,400 166
Procter & Gamble 1,000 84
-------
354
-------
CHEMICALS -- 2.5%
Eastman Chemical 1,100 74
FMC* 300 23
Millenium Chemicals 1,900 64
Nalco Chemical 500 20
PPG Industries 700 48
Rohm & Haas 300 31
Union Carbide 1,800 90
-------
350
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 2.4%
GTE 600 $ 36
L.M. Ericsson Telephone, ADR 900 43
Lucent Technologies 1,150 147
Tellabs* 1,660 111
-------
337
-------
COMPUTERS & SERVICES -- 6.2%
Cirrus Logic* 1,400 63
Cisco Systems* 3,640 249
Compaq Computer 6,150 159
Dell Computer* 2,210 150
IBM 2,200 228
-------
849
-------
CONCRETE & MINERAL PRODUCTS -- 0.2%
Owens-Corning Fiberglass 700 25
-------
DRUGS -- 6.6%
Abbott Laboratories 2,080 157
Amgen* 500 30
Bristol-Myers Squibb 1,490 155
Merck 1,740 223
Pharmacia & Upjohn 400 17
Schering Plough 3,320 271
Warner Lambert 300 51
-------
904
-------
ELECTRICAL SERVICES -- 2.3%
AES* 1,200 63
Allegheny Energy 1,200 40
American Electric Power 2,300 116
FPL Group 1,100 71
Wisconsin Energy 800 25
-------
315
-------
ENTERTAINMENT -- 1.5%
Liberty Media Group, Cl A* 3,150 108
Walt Disney 1,010 108
-------
216
-------
ENVIRONMENTAL SERVICES -- 1.5%
Browning-Ferris Industries 2,300 75
Republic Industries* 2,000 52
USA Waste Services* 2,000 89
-------
216
-------
FINANCIAL SERVICES -- 2.7%
Bear Stearns 500 26
Federal Home Loan Mortgage
Corporation 700 33
Merrill Lynch 1,000 83
Morgan Stanley 2,180 159
SLM Holding 1,500 65
-------
366
-------
7
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
TAX MANAGED LARGE CAP
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 6.8%
Anheuser Busch 1,500 $ 69
Coca-Cola 2,150 166
Campbell Soup 1,300 74
General Mills 900 68
Interstate Bakeries 1,600 52
Philip Morris 7,600 317
RJR Nabisco 2,000 63
Sara Lee 1,200 74
Tyson Foods 2,500 48
Vlasic Foods International* 130 3
-------
934
-------
HOUSEHOLD PRODUCTS -- 1.3%
Solectron* 2,650 112
Sunbeam Oster 1,650 73
-------
185
-------
INSURANCE -- 7.7%
Aetna 1,700 142
Allstate 800 74
American General 2,200 142
American International Group 745 94
Chubb 2,000 157
Cigna 540 111
Conseco 800 45
Pacificare Health Systems, Cl B* 350 26
Safeco 800 44
St. Paul 500 45
Travelers 2,400 144
United Healthcare 500 32
-------
1,056
-------
MACHINERY -- 3.0%
Caterpillar 1,200 66
Deere 1,100 68
General Electric 3,200 276
-------
410
-------
MARINE TRANSPORTATION -- 0.4%
Carnival, Cl A 800 56
-------
MEDICAL PRODUCTS & SERVICES -- 1.4%
Becton Dickinson 500 34
Guidant 600 44
Healthsouth* 1,100 31
Medtronic 1,550 80
-------
189
-------
MISCELLANEOUS BUSINESS SERVICES -- 1.9%
Altera* 950 36
Computer Associates International 1,100 63
Microsoft* 1,070 96
Sun Microsystems* 1,200 50
Teradyne* 400 16
-------
261
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MISCELLANEOUS MANUFACTURING -- 1.1%
Tyco International Ltd 2,900 $ 158
-------
PAPER & PAPER PRODUCTS -- 3.2%
Champion International 300 16
Consolidated Papers 650 42
Fort James 800 37
International Paper 3,500 164
Kimberly-Clark 1,200 60
Mead 1,000 36
Temple-Inland 200 12
Union Camp 750 45
Westvaco 1,100 34
-------
446
-------
PETROLEUM & FUEL PRODUCTS -- 2.1%
Atlantic Richfield 300 24
BJ Services* 1,400 51
Ensco International 1,800 50
Noble Drilling* 2,570 79
Phillips Petroleum 1,800 90
-------
294
-------
PETROLEUM REFINING -- 2.4%
Amoco 600 52
Ashland 800 45
British Petroleum, PLC, ADR 300 26
Coastal 900 59
Exxon 1,700 115
Mobil 350 27
-------
324
-------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.4%
Xerox 500 53
-------
PRINTING & PUBLISHING -- 1.0%
Lafarge 800 31
New York Times, Cl A 700 49
Tribune 700 49
-------
129
-------
PROFESSIONAL SERVICES -- 1.0%
Cognizant 900 52
Halliburton 1,640 82
-------
134
-------
RETAIL -- 6.0%
Dayton-Hudson 760 67
Dillards Incorporated, Cl A 1,000 37
Home Depot 1,510 102
JC Penney 1,700 129
Kohls* 750 61
May Department Stores 2,100 133
8
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Mercantile Stores 500 $ 34
The Gap 900 40
TJX 1,600 72
Wal-Mart Stores 2,830 144
-------
819
-------
RUBBER & PLASTIC -- 1.6%
Goodyear Tire & Rubber 1,900 144
Sealed Air* 1,190 78
-------
222
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.4%
Intel 650 51
-------
STEEL & STEEL WORKS -- 0.8%
Alcan Aluminum 2,000 62
Aluminum Company of America 700 48
-------
110
-------
TELEPHONES & TELECOMMUNICATION -- 2.9%
Ameritech 1,600 79
AT&T 1,600 105
WorldCom* 5,000 215
-------
399
-------
TRANSPORTATION SERVICES -- 1.1%
CSX 2,600 155
-------
WHOLESALE -- 1.9%
Johnson & Johnson 3,000 220
Safeway* 1,100 41
-------
261
-------
Total Common Stocks
(Cost $11,635) 11,921
-------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill (A)
5.340%, 06/25/98 $45 44
-------
Total U.S. Treasury Obligation
(Cost $44) 44
-------
Total Investments -- 87.0%
(Cost $11,679) $11,965
=======
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
LTD -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 96.9%
AEROSPACE & DEFENSE -- 2.2%
Cole National* 35,600 $ 1,375
Commonwealth Industries 31,630 552
Doncasters, PLC, ADR* 40,900 1,068
Esco Electronics* 45,250 747
General Cable* 78,400 3,557
Homebase* 331,900 2,780
-------
10,079
-------
AGRICULTURE -- 0.3%
Sylvan* 105,000 1,536
-------
AIR TRANSPORTATION -- 1.4%
Airborne Freight 34,500 1,298
America West Holdings, Cl B* 150,200 3,849
Skywest 30,790 1,124
-------
6,271
-------
APPAREL/TEXTILES -- 3.2%
Culp 37,300 765
Dan River* 95,700 1,818
First Years 20,400 717
Galey & Lord* 138,700 3,190
Guilford Mills 38,230 1,128
Kellwood 25,470 786
Pillowtex 69,982 3,390
Quaker Fabric* 50,700 1,293
Quiksilver* 31,300 1,119
Worldtex* 76,200 576
-------
14,782
-------
AUTOMOTIVE -- 2.2%
Arvin Industries 27,800 1,138
Borg-Warner Automotive 66,010 4,233
Coachmen Industries 79,200 2,138
Delco Remy International* 88,000 1,336
Federal Mogul 28,400 1,511
-------
10,356
-------
BANKS -- 11.8%
Albank Financial 16,180 811
Andover Bancorp 18,690 745
Astoria Financial* 84,504 5,223
Bank North Group 33,600 2,453
Carolina First 21,500 546
Coast Federal* 83,200 1,352
Dime Bancorp* 26,842 807
Dime Community Bancorp* 99,000 2,425
Downey Financial 112,187 3,632
Eagle Financial 46,700 2,700
Firstfed Financial* 99,520 4,167
Flushing Financial* 52,300 1,301
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Long Island Bancorp 110,300 $ 6,976
Magna Group 24,810 1,441
Onbancorp 10,890 754
PFF Bancorp* 138,800 2,863
Prime Bancshares* 58,200 1,491
Reliance Bancorp 24,430 947
Republic Bancorp 54,791 1,113
Resource Bancshares
Mortgage Group 42,100 668
Richmond County Financial* 135,100 2,592
Riggs National 80,460 2,273
SIS Bancorp 23,630 951
Staten Island Bancorp* 151,800 3,112
T R Financial 94,130 3,271
-------
54,614
-------
BEAUTY PRODUCTS -- 0.6%
Block Drug, Cl A 21,115 887
French Fragrances* 69,800 1,187
Playtex Products* 48,900 721
-------
2,795
-------
BUILDING & CONSTRUCTION -- 1.2%
Centex 35,760 1,363
Engle Homes 60,100 1,007
Ryland Group 28,400 785
Toll Brothers* 63,000 1,772
Willbros Group* 46,500 764
-------
5,691
-------
BUILDING & CONSTRUCTION SUPPLIES-- 0.7%
Griffon* 69,400 1,102
MDC Holdings 79,890 1,418
Nortek* 23,120 740
-------
3,260
-------
CHEMICALS -- 2.0%
Cambrex 63,300 3,189
Dexter 24,550 1,016
General Chemical Group 78,400 2,269
H.B. Fuller 15,610 935
OM Group 41,000 1,727
-------
9,136
-------
COAL MINING -- 0.1%
Zeigler Coal Holding 18,730 321
-------
COMMUNICATIONS EQUIPMENT -- 0.2%
Applied Signal Technology* 44,400 799
-------
COMPUTERS & SERVICES -- 2.0%
Channell Commercial* 13,100 126
Genicom* 62,500 758
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
HMT Technology* 86,600 $ 1,120
Kentek Information Systems 82,700 656
Komag* 76,300 1,106
National Computer Systems 42,000 945
Wang Laboratories* 144,200 4,461
-------
9,172
-------
CONCRETE & MINERAL PRODUCTS -- 0.2%
Florida Rock Industries 30,340 867
-------
CONSUMER PRODUCTS -- 1.2%
Central Louisiana Electric 30,380 1,040
Public Service of New Mexico 120,070 2,934
U.S. Can* 76,500 1,358
-------
5,332
-------
CONTAINERS & PACKAGING -- 0.4%
Silgan Holdings* 48,900 1,718
-------
DRUGS -- 0.7%
Ivax* 387,400 3,390
-------
ELECTRICAL SERVICES -- 1.0%
Commonwealth Energy System 36,380 1,451
Sierra Pacific Resources 29,540 1,110
Sigcorp 36,900 1,178
United Illuminating 18,500 895
-------
4,634
-------
ELECTRICAL TECHNOLOGY -- 0.3%
Belden 37,600 1,574
-------
ENTERTAINMENT -- 2.0%
Anchor Gaming* 29,800 2,213
Harveys Casinos Resorts* 37,600 1,067
Primadonna Resorts* 124,600 1,962
Royal Olympic Cruise Lines* 53,700 899
WMS Industries* 93,900 2,940
-------
9,081
-------
FINANCIAL SERVICES -- 5.7%
Arden Reality Group 77,600 2,212
Brandywine Realty Trust 49,000 1,167
Burnham Pacific Properties 87,800 1,284
Dain Rauscher 16,960 976
Equity Inns, REIT 142,300 2,197
Greenbrier 144,000 2,484
Healthcare Realty Trust 46,100 1,302
Home Properties of New York 41,600 1,154
JSB Financial 19,350 1,082
Kilroy Realty, REIT 131,300 3,750
McDonald & Co. 71,700 2,142
Mid-America Apartment
Communities 54,500 1,536
10
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Pacific Gulf Properties 48,100 $ 1,103
Piper Jaffray 22,250 823
RFS Hotels Investors 174,400 3,183
-------
26,395
-------
FOOD, BEVERAGE & TOBACCO -- 1.0%
Adolph Coors, Cl B 28,830 1,009
M&F Worldwide* 92,200 836
Pilgrims Pride 28,500 415
Ralcorp Holdings* 67,500 1,401
Schweitzer-Manduit International 30,700 1,059
-------
4,720
-------
GAS/NATURAL GAS -- 0.5%
Connecticut Energy 33,020 1,015
Energen 32,360 712
Northwest Natural Gas 17,940 505
-------
2,232
-------
GLASS PRODUCTS -- 0.7%
Excel Industries 39,790 821
Hirsch International* 34,600 320
Libbey* 51,400 1,915
-------
3,056
-------
HOUSEHOLD FURNITURE & FIXTURES -- 0.6%
Furniture Brands International* 70,100 2,256
O'Sullivan Industries Holdings* 58,780 749
-------
3,005
-------
HOUSEHOLD PRODUCTS -- 1.8%
American Safety Razor* 193,160 3,404
Holophane* 52,900 1,270
National Presto Industries 33,700 1,451
NCH 11,330 802
Royal Appliance Manufacturing* 93,100 559
Thomas Industries 37,795 841
-------
8,327
-------
INSURANCE -- 9.6%
Allmerica Financial* 29,800 1,903
American Heritage Life Insurance 31,800 656
CNA Surety* 13,090 209
Delphi Financial Group, Cl A* 15,910 847
E.W. Blanch Holdings 55,200 2,118
Enhance Financial Services Group 34,500 2,396
ESG Re Limited* 52,600 1,368
Everest Reinsurance Holdings 28,600 1,176
First American Financial 20,375 1,304
FPIC Insurance* 50,100 1,616
Fremont General 18,400 1,082
Harleysville Group* 73,800 1,919
Highlands Insurance* 77,300 2,077
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
HCC Insurance Holdings 61,200 $ 1,408
Horace Mann Educators 81,500 2,863
IPC Holdings 120,600 3,889
LaSalle Re Holdings 37,500 1,573
Life USA Holdings* 127,490 1,952
Orion Capital 21,300 1,165
Penn Treaty American* 25,100 734
Penncorp Financial Group 44,600 1,288
PMI Group 19,100 1,542
Presidential Life 41,220 781
Renaissancere Holdings 36,500 1,825
RLI 18,130 979
State Auto Financial 57,700 2,294
Stirling Cooke Brown Holdings* 38,700 1,026
Terra Nova Holdings 27,000 823
WR Berkley 25,950 1,229
Zenith National Insurance 9,900 286
-------
44,328
-------
LEASING & RENTING -- 0.5%
Aaron Rents 45,700 1,111
Xtra 16,500 1,064
-------
2,175
-------
LEISURE PRODUCTS -- 0.5%
Standard Motor Products 37,300 716
Velcro Industries 15,700 1,743
-------
2,459
-------
LUMBER & WOOD PRODUCTS -- 0.5%
American Woodmark 38,900 1,011
T J International 33,190 1,062
-------
2,073
-------
MACHINERY -- 3.3%
Amcast Industrial 34,010 735
Commercial Intertech 53,800 1,284
CTB International* 54,200 932
Moog, Cl A* 75,400 3,176
Gardner Denver Machinery* 24,095 714
Gehl* 18,700 400
Gleason 28,530 1,000
Omniquip International* 72,500 1,794
Watts Industries, Cl A 70,000 2,091
Wyman-Gordan* 135,200 3,093
-------
15,219
-------
MANUFACTURING -- 1.4%
Avondale Industries* 228,110 6,558
-------
MARINE TRANSPORTATION -- 0.9%
Oak Industries* 66,500 2,161
Sea Containers 46,200 1,782
-------
3,943
-------
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
SMALL CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MEASURING DEVICES -- 0.3%
Fluke 50,600 $ 1,208
-------
MEDICAL PRODUCTS & SERVICES -- 5.1%
American Homepatient* 83,200 1,617
Del Global Technologies* 122,500 1,393
Haemonetics* 67,600 1,213
Hologic* 71,200 1,976
Imation* 90,700 1,678
Integrated Health Services 125,800 4,945
Mariner Health Group* 35,800 613
Maxxim Medical* 53,400 1,532
Novacare* 251,210 3,737
Paragon Health Network* 60,807 1,209
Retirement Care Association* 92,100 760
Sun Healthcare Group* 61,400 1,144
Trigon Healthcare* 62,400 1,876
-------
23,693
-------
METALS & MINING -- 0.3%
Cleveland Cliffs 21,650 1,164
-------
MINING -- 0.4%
Wolverine Tube* 43,100 1,729
-------
MISCELLANEOUS BUSINESS SERVICES -- 2.2%
Learning* 333,500 7,712
Project Software & Development* 83,900 2,014
Wall Data* 44,300 664
-------
10,390
-------
MISCELLANEOUS MANUFACTURING -- 0.4%
Coastcast* 86,100 1,797
-------
OFFICE FURNITURE & FIXTURES -- 0.3%
Day Runner* 35,800 797
Kimball International* 35,700 821
-------
1,618
-------
PAPER & PAPER PRODUCTS -- 0.8%
American Pad & Paper* 77,800 564
Shorewood Packaging* 120,000 3,217
-------
3,781
-------
PETROLEUM & FUEL PRODUCTS -- 1.4%
Belco Oil & Gas* 42,600 719
Berry Petroleum 122,400 1,851
Giant Industries 39,460 809
Seacor Holdings* 28,000 1,629
Snyder Oil 43,000 876
Wiser Oil 41,010 523
-------
6,407
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PRINTING & PUBLISHING -- 2.2%
Big Flower Holdings* 89,200 $ 2,709
Bowne 38,200 1,581
Journal Register* 54,400 1,136
Lone Star Industries 18,060 1,254
Southdown 18,830 1,312
Standard Register 27,640 938
World Color Press* 35,800 1,244
-------
10,174
-------
RAILROADS -- 0.4%
Canadian National Railway 27,900 1,786
-------
REPAIR SERVICES -- 0.7%
Rollins Truck Leasing 233,600 3,227
-------
RETAIL -- 9.4%
Boise Cascade Office Products* 107,200 2,037
Brylane* 34,100 1,912
Building Material Holding* 116,900 1,593
Burlington Coat Factory* 243,820 4,236
Cash America International 72,920 1,185
Claire's Stores 58,000 1,330
Dress Barn * 38,010 1,093
Duck-Wall Alco Stores* 39,600 604
Fingerhut 40,200 1,043
Finlay Enterprises* 45,200 1,150
Footstar* 103,300 3,719
Little Switzerland* 152,400 1,172
Longs Drug Stores 136,800 4,164
O'Charleys* 53,000 1,126
Pier 1 Imports 34,110 925
Ruddick 205,900 3,822
Ryan's Family Steak Houses* 103,180 935
Shopko Stores 204,860 6,491
Tropical Sportswear* 89,600 1,266
Value City Department Stores* 97,800 1,656
Zale* 64,900 1,874
-------
43,333
-------
RUBBER & PLASTIC -- 0.3%
Hanna 53,800 1,315
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.9%
AVX 76,500 1,540
Burr-Brown* 115,950 2,899
Memc Electronic Materials* 72,800 1,156
Read-Rite* 94,600 1,307
Stoneridge* 95,400 1,908
-------
8,810
-------
12
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
SPECIALTY MACHINERY -- 0.3%
Fedders 135,500 $ 720
Pameco* 40,100 737
-------
1,457
-------
STEEL & STEEL WORKS -- 2.2%
Inland Steel Industries 41,610 1,149
LTV 192,500 2,527
National Steel, Cl B* 226,130 3,872
Quanex 30,800 926
Reliance Steel & Aluminum 26,340 1,014
WHX 61,100 997
-------
10,485
-------
TECHNOLOGY, GENERAL -- 1.5%
Buckeye Technologies* 122,600 2,605
Marshall Industries* 48,100 1,605
Walter Industries* 145,000 3,099
-------
7,309
-------
TRANSPORTATION SERVICES -- 0.6%
Galileo International* 49,600 1,925
GATX 14,540 1,134
-------
3,059
-------
TRUCKING -- 0.4%
Arkansas Best* 35,800 392
US Freightways 28,870 1,039
Yellow* 30,250 579
-------
2,010
-------
WATER UTILITIES -- 0.2%
California Water Service Group 31,940 864
-------
WHOLESALE -- 4.9%
Barnes Group 34,050 1,135
Bindley Western Industries 29,800 1,131
BJ Wholesale Club* 301,000 11,739
Cameron Ashley Building
Products* 45,400 831
Marquette Medical Systems, Cl A* 59,800 1,659
Pioneer Standard Electronics 94,300 1,155
SED International Holdings* 35,200 400
Standard Commercial 22,370 357
Tower Automotive* 28,500 1,282
United Stationers 27,100 1,675
Universal 26,430 1,165
-------
22,529
-------
Total Common Stocks
(Cost $354,969) 448,043
-------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A)
5.340%, 06/25/98 $ 900 $ 889
--------
Total U.S. Treasury Obligation
(Cost $889) 889
--------
REPURCHASE AGREEMENT -- 5.5%
Lehman Brothers
5.910%, dated 03/31/98,
matures 04/01/98, repurchase
price $25,751,000 (collateralized
by various U.S. Treasury
Obligations, total par
value $23,355,000, 6.375%-
10.750%, 02/15/01-
11/15/03, total market
value: $26,391,000) 25,746 25,746
--------
Total Repurchase Agreement
(Cost $25,746) 25,746
--------
Total Investments -- 102.6%
(Cost $381,604) 474,678
--------
Other Assets and Liabilities, Net -- (2.6%)
Investment Securities Purchased (12,807)
Other Assets and Liabilities, Net 601
--------
Total Other Assets and Liabilities, Net (12,206)
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
25,898,256 outstanding shares
of beneficial interest 352,365
Undistributed net investment income 429
Accumulated net realized gain
on investments 16,405
Net unrealized appreciation
on futures contracts 199
Net unrealized appreciation on investments 93,074
--------
Total Net Assets -- 100.0% $462,472
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $17.86
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
PLC -- PUBLIC LIMITED COMPANY
REIT -- REAL ESTATE INVESTMENT TRUST
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
SMALL CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 88.4%
AEROSPACE & DEFENSE -- 2.5%
Aeroflex* 131,600 $ 1,744
Allied Products 33,000 769
Coinstar* 77,000 703
Deltek Systems* 13,000 231
Getty Images Inc* 83,900 2,108
Herley Industries* 42,400 111
Infinium Software* 62,200 1,240
Mac-Gray* 74,000 1,230
Monaco Coach* 40,000 1,570
N2K* 64,500 1,927
Pride International* 55,000 1,313
Schick Technologies* 21,800 556
Tredegar Industries 6,200 449
United Rentals* 29,600 770
Vistana* 50,300 1,333
--------
16,054
--------
AIR TRANSPORTATION -- 0.8%
Alaska Airgroup* 44,300 2,401
Mesaba Holdings* 50,500 1,588
Skywest 28,600 1,044
--------
5,033
--------
AIRCRAFT -- 0.3%
BE Aerospace* 40,000 1,125
Kaman 38,000 698
--------
1,823
--------
APPAREL/TEXTILES -- 1.7%
Ashworth* 52,400 897
Culp 25,050 514
Interface 36,300 1,509
Nautica Enterprises* 54,800 1,685
Novel Denim Holdings* 42,800 1,172
Quiksilver* 37,300 1,333
St. John Knits 30,000 1,417
Tefron* 57,400 1,399
Tommy Hilfiger* 16,600 997
--------
10,923
--------
AUTOMOTIVE -- 0.2%
Gentex* 33,000 1,120
National R.V. Holdings* 9,000 325
--------
1,445
--------
BANKS -- 2.2%
Affiliated Community Bancorp 40,750 1,599
Astoria Financial 20,000 1,236
Bay View Capital 35,000 1,216
Commercial Federal 30,000 1,091
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Community First Bankshares 18,000 $ 918
Cullen/Frost Bankers 10,000 591
Downey Financial 24,750 801
Hubco 15,450 592
Imperial Bancorp* 42,675 1,376
North Fork Bancorporation 30,000 1,159
Peoples Heritage Financial Group 19,000 917
Silicon Valley Bancshares* 10,000 611
Trans Financial 39,100 1,691
Westamerica Bancorporation 19,500 651
--------
14,449
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.6%
CKS Group* 42,700 803
Cox Radio, Cl A* 21,400 1,038
Emmis Broadcasting* 18,500 976
Pegasus Communications* 18,100 416
Scandanavian Broadcasting* 11,800 389
TMP Worldwide* 11,300 360
--------
3,982
--------
BUILDING & CONSTRUCTION -- 0.8%
Crossman Communities* 25,000 742
Engle Homes 40,700 682
Jacobs Engineering Group* 29,000 939
Lennar 27,500 947
Spiros Development 2* 60,400 966
US Home* 13,000 596
--------
4,872
--------
CHEMICALS -- 0.4%
OM Group 30,000 1,264
Scotts* 13,100 454
Special Devices* 33,600 958
--------
2,676
--------
COMMUNICATIONS EQUIPMENT -- 3.2%
Black Box* 25,000 922
Comverse Technology* 31,775 1,553
Concord Communications* 15,000 392
Davox* 63,500 1,976
Digital Microwave* 193,100 2,848
Dionex* 4,000 223
DM Management* 75,700 1,599
Inter-Tel* 72,500 1,953
Mercury Interactive* 68,200 2,489
Nice Systems Ltd* 18,000 828
Reltec* 13,300 471
Sawtek* 105,800 2,685
Tekelec* 62,200 2,822
--------
20,761
--------
14
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMPUTERS & SERVICES -- 4.9%
Apex PC Solutions* 21,400 $ 575
Avid Technology* 86,200 3,545
CMG Information Services* 10,100 585
Coventry* 86,900 1,396
Documentum* 14,700 796
HMT Technology* 27,800 360
HNC Software* 38,400 1,445
Hyperion Software* 105,500 4,668
In Focus Systems* 74,600 671
Inspire Insurance Solutions* 30,400 1,011
Level One Communications* 30,750 723
Maxwell Technologies* 57,800 1,674
Memco Software Ltd* 34,900 1,091
Micros Systems* 24,300 1,461
Natural Microsystems* 88,700 3,515
Network Appliance* 78,100 2,773
Pinnacle Systems* 19,500 739
Sequent Computer Systems* 40,000 730
Splash Technologies Holdings* 10,000 167
Sportsline USA* 27,500 890
Telxon 66,700 1,768
Trident Microsystems* 100,100 744
--------
31,327
--------
CONCRETE & MINERAL PRODUCTS -- 0.2%
Ferro 35,250 1,035
--------
CONSUMER PRODUCTS -- 0.4%
Stride Rite 85,000 1,153
Wolverine World Wide 39,500 1,116
--------
2,269
--------
DRUGS -- 3.4%
Alkermes* 44,200 1,099
Alpharma, Cl A 60,500 1,312
Anesta* 43,100 803
ChiRex* 45,600 864
Cytyc* 37,300 932
Fuisz Technologies* 55,450 690
Guilford Pharmaceuticals* 91,600 2,015
IDEC Pharmaceuticals* 17,100 757
Inhale Therapeutic Systems* 13,000 353
Jones Medical Industries 42,300 1,531
Medicis Pharmaceutical, Cl A* 43,800 1,911
NBTY* 17,000 1,033
Ocular Sciences* 49,600 1,581
Parexel International* 83,800 2,619
Pathogenesis* 47,100 1,578
Pharmacyclics* 21,100 615
Sangstat Medical* 20,500 653
Shire Pharmaceuticals Group, PLC* 46,800 1,003
Twinlab* 15,600 632
Usana* 3,500 98
--------
22,079
--------
ELECTRICAL SERVICES -- 0.0%
Gemstar International* 3,900 117
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
ELECTRICAL TECHNOLOGY -- 0.4%
C&D Technologies 34,600 $ 1,801
Smart Modular* 20,700 472
--------
2,273
--------
ENTERTAINMENT -- 0.5%
Cinar Films, Cl B* 8,900 379
Family Golf Centers* 60,300 2,442
Royal Olympic Cruise Lines* 14,200 238
--------
3,059
--------
ENVIRONMENTAL SERVICES -- 0.9%
American Disposal Services* 34,500 1,302
Culligan Water Technologies* 24,300 1,447
Eastern Environmental Services* 55,100 1,398
Newpark Resources* 86,300 1,575
--------
5,722
--------
FINANCIAL SERVICES -- 2.7%
Americredit* 72,300 1,988
Bedford Property Investors 58,000 1,120
Century Business Services* 20,500 363
Financial Federal 52,000 1,326
First Alliance* 10,000 157
Franchise Mortgage Acceptance* 64,600 1,623
Healthcare Financial Partners* 13,900 659
IMC Mortgage* 117,900 1,577
Imperial Credit Industries* 81,300 1,926
Liberty Property Trust 66,300 1,981
Metris* 20,000 870
NS Group* 22,800 333
Sirrom Capital 51,600 1,551
T&W Financial* 63,500 1,826
Waddell & Reed Financial, Cl A* 13,600 354
--------
17,654
--------
FOOD, BEVERAGE & TOBACCO -- 0.6%
Michael Foods 75,700 2,025
Suiza Foods* 29,750 1,830
--------
3,855
--------
GAS/NATURAL GAS -- 0.3%
Unit* 198,500 1,613
--------
HOTELS & LODGING -- 1.3%
CapStar Hotel* 15,200 527
Four Seasons Hotel* 41,900 1,430
Pegasus Systems* 85,200 2,194
Prime Hospitality* 51,000 994
Promus Hotel* 11,600 554
Signature Resorts* 68,500 1,353
Silverleaf Resorts* 72,300 1,740
--------
8,792
--------
15
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
SMALL CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
HOUSEHOLD FURNITURE & FIXTURES -- 1.3%
Bush Industries 31,600 $ 897
Ethan Allen Interiors 100,200 5,987
Furniture Brands International* 47,000 1,513
--------
8,397
--------
HOUSEHOLD PRODUCTS -- 0.5%
Advanced Lighting Technologies* 71,300 1,845
Windmere 60,800 1,581
--------
3,426
--------
INSURANCE -- 1.4%
Arm Financial Group* 37,400 867
E.W. Blanch Holdings 50,000 1,919
Fidelity National Financial 48,900 1,797
Healthplan Services* 48,600 1,279
Horace Mann Educators 22,000 773
Total Renal Care Holdings* 46,725 1,557
Vesta Insurance Group 21,000 1,126
--------
9,318
--------
LEASING & RENTING -- 0.2%
Rental Service* 50,300 1,169
--------
LEISURE PRODUCTS -- 0.3%
Fossil* 15,300 495
Metromedia International Group* 29,300 445
Standard Motor Products 25,600 491
Travel Services* 20,000 665
--------
2,096
--------
LUMBER & WOOD PRODUCTS -- 0.4%
Modtech* 82,450 1,695
T J International 33,900 1,085
--------
2,780
--------
MACHINERY -- 3.2%
Applied Science & Technology* 109,900 1,731
Aptar Group 22,000 1,321
Asyst Technologies* 98,000 2,278
Camco International 8,000 484
Donaldson 14,000 360
Eagle Hardware & Garden* 26,200 462
Gardner Denver Machinery* 35,700 1,058
Idex 15,000 546
Kuhlman 73,900 3,598
Lindsay Manufacturing* 13,750 626
Micrel* 40,000 1,517
Photronics Labs* 43,000 1,204
Robbins & Myers 30,000 1,144
Terex* 22,700 614
UNR Industries 51,600 1,542
Varco International* 60,000 1,545
Zebra Technologies, Cl A* 19,200 739
--------
20,769
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MANUFACTURING -- 0.1%
Halter Marine Group* 48,750 $ 774
--------
MARINE TRANSPORTATION -- 0.1%
Hvide Marine* 30,000 529
--------
MEASURING DEVICES -- 1.1%
Advanced Energy Industries* 43,400 632
Benchmarq Microelectronics* 6,000 103
Chart Industries 56,600 1,684
Cohu 22,000 836
Cyberonics* 30,300 966
Cyberoptics* 42,600 1,150
Esterline Technologies* 34,800 1,468
--------
6,839
--------
MEDICAL PRODUCTS & SERVICES -- 5.8%
1-800 Contacts* 29,100 578
Adac Laboratories 69,800 1,614
Algos Pharmaceuticals* 68,000 2,057
Assisted Living Concepts* 52,900 1,144
Digene* 46,300 411
ESC Medical Systems* 22,400 787
First Consulting Group* 17,600 363
Healthworld* 77,800 1,478
Horizon Health* 41,700 1,016
Impath* 27,100 1,037
Interim Services* 41,800 1,411
Invacare 10,000 260
Medquist* 16,500 607
Mentor 37,500 1,036
Minimed* 24,000 1,062
Molecular Devices* 22,500 433
NCS Healthcare, Cl A* 54,100 1,812
National Surgery Centers* 39,000 997
Orthodontic Centers of America* 125,700 2,726
Pediatrix Medical Group* 51,000 2,371
PHP Healthcare* 46,400 766
Prime Medical Services* 45,000 529
Res-Care* 62,900 2,343
Respironics* 37,600 1,088
Sabratek* 16,300 570
Safeskin* 78,400 5,792
Sofamor/Danek Group* 19,000 1,620
Techne* 18,000 349
Urologix* 40,300 374
Wesley Jessen* 29,900 983
--------
37,614
--------
MISCELLANEOUS BUSINESS SERVICES-- 13.9%
Abacus Direct* 63,600 3,323
Acxiom* 33,000 846
Arbor Software* 65,700 3,030
Aspen Technology* 81,700 3,370
16
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Axent Technologies* 20,500 $ 625
Borland International* 138,100 1,239
Broadvision* 15,000 268
Career Education* 81,200 1,786
Credit Management Solutions* 44,600 379
CSG Systems International* 9,500 430
Doubleclick* 15,000 527
Engineering Animation* 21,500 892
Envoy* 92,700 3,986
Excite* 7,300 372
FileNet* 10,000 489
Genesys Telecom Labs* 23,200 882
Harbinger* 16,200 612
Hooper Holmes 27,500 588
I2 Technologies* 7,700 505
Icon CMT* 63,300 981
Industri-Matematik International* 23,600 740
Information Advantage* 158,900 1,231
Insight Enterprises* 64,950 2,639
Intevac* 76,300 587
J.D. Edwards* 17,600 575
JDA Software Group* 84,300 4,478
Labor Ready* 86,700 2,791
Lason* 21,400 808
Legato Systems* 18,500 1,098
Macromedia* 10,000 149
Manugistics* 63,900 3,582
Metzler Group* 51,400 2,557
Micromuse* 49,400 1,204
National Instruments* 25,000 853
NCO Group* 35,700 892
Network Solutions* 3,300 123
Networks Associates* 22,175 1,469
Novacare Employee Services* 48,000 339
Peerless Systems* 100,200 1,804
Pegasystems* 25,000 456
Pervasive Software* 53,300 773
PRI Automation* 35,000 917
Quickresponse Services* 36,800 1,969
Radiant Systems* 15,000 371
Real Network* 20,200 586
Remedy* 21,300 418
Renaissance Worldwide* 74,500 2,044
Ritchie Bros. Auctioneers* 34,600 833
Saville Systems Ireland* 11,800 605
Security Dynamics Technology* 19,200 790
Siebel Systems* 25,200 724
Software AG Systems* 155,000 4,107
Staff Leasing* 58,000 1,609
Staffmark* 41,700 1,710
Superior Services* 20,500 639
Systems & Computers Technology* 45,700 1,885
Technology Solutions* 64,000 1,696
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Transaction Systems Architects* 30,400 $ 1,182
Transition Systems* 50,000 1,019
TSI International Software Ltd* 34,900 615
Vantive* 30,500 1,115
Verisign* 11,300 497
Veritas Software* 48,850 2,888
Visio* 83,500 3,590
Wackenhut Corrections* 86,900 2,178
Wind River Systems* 30,000 1,192
--------
89,457
--------
MISCELLANEOUS CONSUMER SERVICES-- 1.7%
Carriage Services* 60,000 1,440
G&K Services 28,200 1,237
Lamalie Associates* 56,600 1,259
Metamor Worldwide* 15,100 567
Robert Half International* 10,500 504
Romac International* 26,400 726
Sos Staffing Services* 81,500 2,160
Steiner Leisure Ltd* 41,000 2,083
Unifirst 26,000 728
--------
10,704
--------
MISCELLANEOUS MANUFACTURING -- 1.0%
AFC Cable Systems* 17,500 680
Cable Design Technologies* 52,250 1,574
Coastcast* 46,000 960
Hexcel* 35,000 962
Media Arts Group* 53,300 1,053
RMI Titanium* 26,600 575
Varlen 21,350 822
--------
6,626
--------
PETROLEUM & FUEL PRODUCTS -- 3.4%
Basin Exploration* 5,000 103
Cabot Oil & Gas, Cl A 24,000 543
Cliffs Drilling* 41,200 1,702
Cross Timbers Oil 62,775 1,263
Eagle Geophysical* 37,700 608
Edge Petroleum* 46,800 597
EVI* 9,400 435
Forcenergy Gas* 13,900 368
Grey Wolf* 80,900 364
HS Resources* 64,400 1,006
IRI International* 47,900 587
Key Energy Group* 72,500 1,183
Marine Drilling* 196,000 4,238
National Energy Group
International* 245,200 690
Patterson Energy* 42,000 483
Petroglyph Energy* 28,400 241
Pool Energy Services* 78,500 1,835
17
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
SMALL CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Seacor Holdings* 18,500 $ 1,076
Seitel* 73,400 1,110
Veritas DGC* 62,200 3,145
--------
21,577
--------
PRINTING & PUBLISHING -- 0.9%
Applied Graphics Technologies* 24,500 1,179
Lone Star Industries 25,400 1,764
Medusa 16,000 548
Southdown 37,500 2,613
--------
6,104
--------
PROFESSIONAL SERVICES -- 3.3%
American Oncology Resources* 160,100 2,442
Balanced Care Group* 149,200 1,473
Caribiner International* 18,700 720
CDI* 20,000 861
Childrens Comprehensive* 51,800 984
Consolidated Graphics* 10,000 579
Devry* 35,000 1,197
Ecsoft Group PLC* 20,700 517
Educational Management* 71,200 2,421
Equity International* 105,100 2,516
International Network Services* 51,900 1,518
Nichols Research* 20,000 560
Pre Paid Legal* 22,400 795
Preview Travel* 27,400 890
Strayer Education 20,000 665
Sylvan Learning Systems* 27,000 1,272
Tetra Tech* 45,000 1,091
White Cap Industries* 25,900 596
--------
21,097
--------
RAILROADS -- 0.1%
Rural/Metro* 12,500 411
--------
REAL ESTATE -- 0.7%
CB Commercial Real Estate* 30,500 1,220
Golf Trust of America 80,400 2,523
Intrawest 40,900 867
--------
4,610
--------
REPAIR SERVICES -- 0.7%
Central Parking 12,200 583
Personnel Group of America* 36,000 819
Rollins Truck Leasing 72,000 994
World Access* 58,000 1,885
--------
4,281
--------
RETAIL -- 7.6%
Ames Department Stores* 138,900 2,934
Authentic Fitness 52,900 1,051
Bombay* 158,100 790
Brylane* 13,100 734
Buckle* 38,600 1,935
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CDW Computer Centers* 4,400 $ 263
Children's Place Retail Stores* 45,700 411
CKE Restaurants 89,430 3,287
Compucom Systems* 106,700 880
Cost Plus* 15,900 505
Dollar Tree Stores* 18,525 984
Dominick's Supermarkets* 17,000 774
Dress Barn* 70,900 2,038
Foodmaker* 44,600 864
Gadzooks* 68,100 1,524
Genesco* 60,500 1,097
Goodys Family Clothing* 51,600 2,283
Hot Topic* 53,300 1,492
Information Management
Associates* 42,900 574
Kenneth Cole Productions* 39,200 789
Landry's Seafood Restaurants* 40,000 1,230
Men's Wearhouse* 16,700 618
Michaels Stores* 59,400 2,220
Pacific Sunwear of California* 94,500 3,922
Papa John's International* 37,100 1,424
Pier 1 Imports 25,500 692
Piercing Pagoda* 31,200 975
Proffitts* 16,400 595
Rexall Sundown* 69,500 2,367
Ross Stores 73,400 3,239
Showbiz Pizza Time* 70,200 2,339
Sonic* 57,800 1,936
Williams Sonoma* 13,600 787
Zale* 43,000 1,242
--------
48,795
--------
RUBBER & PLASTIC -- 1.9%
Aetrium* 21,200 307
Carlisle 23,700 1,164
Computer Products* 30,000 699
Etec Systems* 39,400 2,325
Hadco* 20,000 793
MRV Communications* 22,700 531
Remec* 62,850 1,803
Sanmina* 50,900 3,560
Vitesse Semiconductor* 21,900 1,033
--------
12,215
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.0%
Aavid Thermal Technologies* 27,200 840
Applied Micro Circuits 94,700 2,131
DSP Group* 58,300 1,115
Herley Industries* 77,700 1,083
Hutchinson Technology* 27,000 716
Integrated Device Technology* 25,200 354
MMC Networks* 14,300 295
PMC-Sierra* 58,600 2,227
Qlogic* 39,600 1,406
RF Micro Devices* 57,300 838
18
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Semtech* 53,400 $ 1,362
Visual Networks* 20,500 533
--------
12,900
--------
SPECIALTY CONSTRUCTION -- 0.2%
Insituform Technologies* 38,100 426
Oakwood Homes 25,000 916
--------
1,342
--------
STEEL & STEEL WORKS -- 0.1%
Precision Castparts 10,000 592
--------
TELEPHONES & TELECOMMUNICATION -- 2.2%
Advanced Communications
Group* 18,000 287
Boston Communications
Group* 105,000 1,011
Brightpoint* 63,600 1,093
Concentric Network* 39,900 778
Exodus Communications* 59,500 1,666
Forsoft Ltd* 62,100 1,195
Geotel Communications 15,000 414
LCC International* 62,800 1,248
Metromedia Fiber Network* 32,600 1,096
Nextlink Communications* 32,500 1,044
P-Com* 4,800 96
Pacific Gateway Exchange* 7,500 429
Pairgain Technologies* 26,300 631
Primus Telecommunications
Group* 20,100 583
Smartalk Teleservices* 23,100 738
Telegroup* 27,200 551
United Video Satellite Group,
Cl A* 37,600 1,598
--------
14,458
--------
TESTING LABORATORIES -- 0.8%
Aurora Biosciences* 49,000 564
Celgene* 68,400 744
Curative Technologies* 28,800 959
International Telecommunications
Data Systems* 74,400 1,944
Neurex* 26,200 626
--------
4,837
--------
TRUCKING -- 1.6%
Air Express International 12,000 319
Arkansas Best* 86,500 946
Budget Group, Cl A* 40,100 1,504
Expeditors International
of Washington 58,800 2,521
Gilead Sciences* 15,600 562
Heartland Express* 12,000 333
JB Hunt Transport Services 25,000 711
Roadway Express 30,000 737
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Swift Transportation* 34,500 $ 828
US Freightways 39,000 1,404
Werner Enterprises 22,000 561
--------
10,426
--------
WHOLESALE -- 3.6%
AAR 52,500 1,431
Adflex Solutions* 32,100 550
Amerisource Health* 18,000 1,082
Central Garden and Pet* 61,200 2,391
Daisytek International* 63,800 1,555
Egghead* 35,500 985
Ha Lo Industries* 38,800 1,356
Integrated Circuit Systems* 63,100 1,321
Iron Mountain* 25,000 938
North Face* 72,100 1,748
Patterson Dental* 41,250 1,279
Performance Food Group* 37,000 763
Richfood Holdings 35,000 1,120
SCP Pool* 49,800 1,121
SED International Holdings* 50,900 579
Serologicals* 42,150 1,191
Tower Automotive* 29,000 1,305
U.S. Foodservice* 34,000 1,252
United Stationers 12,800 791
U.S. Office Products* 38,250 727
--------
23,485
--------
Total Common Stocks
(Cost $436,667) 569,441
--------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bill (A)
5.340%, 06/25/98 $ 2,540 2,510
--------
Total U.S. Treasury Obligation
(Cost $2,510) 2,510
--------
REPURCHASE AGREEMENT -- 12.6%
J.P. Morgan
6.050%, dated 03/31/98,
matures 04/01/98, repurchase
price $81,098,000 (collateralized
by various U.S. Treasury
obligations, par value
$139,005,000, 0.000%-6.125%,
01/31/99-10/15/17, and
FNMA obligations, par value
$21,362,000, 0.000%, 04/20/98,
total market value:
$82,709,000) 81,086 81,086
--------
Total Repurchase Agreement
(Cost $81,086) 81,086
--------
19
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
SMALL CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
Total Investments -- 101.4%
(Cost $520,263) $653,037
--------
Other Assets and Liabilities, Net -- (1.4%)
Cash 7,467
Investment Securities Sold 14,454
Investment Securities Purchased (31,215)
Other Assets and Liabilities, Net 36
--------
Total Other Assets and Liabilities, Net (9,258)
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
34,554,266 outstanding shares
of beneficial interest 488,651
Portfolio Shares of Class D
(unlimited authorization --
no par value) based on
132,624 outstanding shares
of beneficial interest 2,242
Accumulated net investment loss (1,427)
Accumulated net realized gain
on investments 19,705
Net unrealized appreciation
on futures contracts 1,834
Net unrealized appreciation on investments 132,774
--------
Total Net Assets -- 100.0% $643,779
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $18.56
========
Net Asset Value and Redemption Price
Per Share -- Class D $18.19
========
Maximum Offering Price Per Share --
Class D ($18.19 [DIVIDE] 95%) $19.15
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
MID-CAP PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 93.9%
AEROSPACE & DEFENSE -- 1.5%
Litton Industries* 5,700 $ 329
SCI Systems* 10,000 356
-------
685
-------
AGRICULTURE -- 0.5%
Dole Food 4,400 213
-------
AIR TRANSPORTATION -- 0.6%
Continental Airlines, Cl B* 4,400 259
-------
AUTOMOTIVE -- 0.8%
Dial 4,500 108
Paccar 4,300 256
-------
364
-------
BANKS -- 8.0%
Bankers Trust New York 4,100 493
Charter One Financial 11,100 743
Comerica 6,000 635
First Empire State 200 100
Golden West Financial 5,700 546
Republic New York 5,900 787
SouthTrust 6,750 283
-------
3,587
-------
CHEMICALS -- 3.4%
Ethyl 17,100 137
FMC* 8,600 675
IMC Fertilizer Group 3,100 118
Olin 3,400 160
Terra Industries 10,000 109
Union Carbide 6,600 331
-------
1,530
-------
COMMUNICATIONS EQUIPMENT -- 1.2%
Andrew* 7,500 149
General Instrument* 19,000 398
-------
547
-------
COMPUTERS & SERVICES -- 3.9%
Cirrus Logic* 8,900 402
Quantum* 11,200 239
Storage Technology* 4,800 365
Unisys* 40,100 762
-------
1,768
-------
CONTAINERS & PACKAGING -- 1.6%
Owens-Illinois* 17,000 735
-------
DRUGS -- 1.7%
Medpartners* 39,700 407
Mylan Laboratories 11,300 260
Watson Pharmaceuticals* 2,400 86
-------
753
-------
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
ELECTRICAL SERVICES -- 6.7%
DTE Energy 14,300 $ 562
Entergy 7,100 211
FirstEnergy* 21,500 662
General Public Utilities 17,000 752
Long Island Lighting 12,100 381
New York State Electric & Gas 10,700 427
-------
2,995
-------
ENERGY & POWER -- 1.1%
Calenergy* 17,800 503
-------
ENTERTAINMENT -- 0.6%
King World Productions* 8,600 252
-------
FINANCIAL SERVICES -- 3.5%
Bear Stearns 15,800 812
SLM Holding 17,700 772
-------
1,584
-------
FOOD, BEVERAGE & TOBACCO -- 2.9%
Chiquita Brands International 26,800 367
Dean Foods 3,300 166
IBP 3,800 85
Lancaster Colony 15,900 675
-------
1,293
-------
GAS/NATURAL GAS -- 1.4%
Columbia Gas System 7,800 606
-------
INSURANCE -- 9.2%
Ambac 14,600 853
Conseco 6,300 357
Equitable 10,100 570
MBIA 1,900 147
Old Republic International 16,700 740
Torchmark 9,100 417
Transatlantic Holdings 2,900 219
Wellpoint Health Networks* 12,300 830
-------
4,133
-------
LEISURE PRODUCTS -- 0.7%
Callaway Golf 11,300 328
-------
MACHINERY -- 5.5%
Aerquip-Vickers 11,200 647
Brunswick 2,800 98
Case Equipment 10,000 681
Cummins Engine 7,700 424
Harnischfeger Industries 3,900 133
Ingersoll Rand 6,150 295
Parker-Hannifin 3,300 169
-------
2,447
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MEASURING DEVICES -- 0.6%
Tektronix 6,300 $ 281
-------
MEDICAL PRODUCTS & SERVICES -- 0.6%
Healthsouth* 6,200 174
Vencor* 3,700 111
-------
285
-------
MISCELLANEOUS BUSINESS SERVICES -- 4.3%
GTech* 21,600 840
Olsten 22,900 364
Reynolds & Reynolds, Cl A 32,500 711
-------
1,915
-------
MISCELLANEOUS MANUFACTURING -- 0.8%
International Game Technology 13,800 345
-------
PAPER & PAPER PRODUCTS -- 2.6%
Consolidated Papers 6,000 384
Fort James 17,100 783
-------
1,167
-------
PETROLEUM & FUEL PRODUCTS -- 4.5%
Ensco International 20,600 572
Rowan* 10,600 307
Tidewater 6,100 267
Union Pacific Resources 23,700 566
Union Texas Petroleum 7,100 157
Vastar Resources 3,400 148
-------
2,017
-------
PETROLEUM REFINING -- 4.0%
Lyondell Petrochemical 21,200 722
Sun 5,900 241
USX-Marathon Group 5,800 218
Valero Energy 17,800 594
-------
1,775
-------
PRINTING & PUBLISHING -- 0.8%
American Greetings, Cl A 5,500 253
Lafarge 2,300 88
-------
341
-------
REPAIR SERVICES -- 1.3%
Ryder System 15,300 581
-------
RETAIL -- 6.9%
Dayton-Hudson 9,000 792
F.W. Woolworth* 18,200 455
Federated Department Stores* 2,700 140
Lone Star Steakhouse & Saloon* 10,400 236
Neiman-Marcus Group 3,400 140
Outback Steakhouse* 3,400 133
Ross Stores 15,800 697
TJX 10,800 489
-------
3,082
-------
21
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
MID-CAP PORTFOLIO
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.6%
Atmel* 16,800 $ 253
-------
STEEL & STEEL WORKS -- 2.3%
Engelhard 36,800 699
Precision Castparts 6,000 355
-------
1,054
-------
TELEPHONES & TELECOMMUNICATION -- 1.3%
Century Telephone Enterprises 9,500 581
-------
TRUCKING -- 0.8%
Pittston Services 9,700 370
-------
WHOLESALE -- 7.7%
Arrow Electronics* 23,300 631
Bergen Brunswig, Cl A 16,800 716
First Brands 23,100 576
Richfood Holdings 23,600 755
Supervalue 3,200 149
Universal 14,600 643
-------
3,470
-------
Total Common Stocks
(Cost $32,810) 42,099
-------
REPURCHASE AGREEMENT -- 5.7%
J.P. Morgan
6.050%, dated 03/31/98,
matures 04/01/98, repurchase
price $3,029,000 (collateralized
by FNMA obligation, total par
value $3,203,000, 7.000%,
11/01/25, total market
value: $2,645,000) $ 2,593 2,593
-------
Total Repurchase Agreement
(Cost $2,593) 2,593
-------
Total Investments -- 99.6%
(Cost $35,403) 44,692
-------
Other Assets and Liabilities, Net -- 0.4% 164
-------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
2,417,830 outstanding shares
of beneficial interest 33,090
Undistributed net investment income 48
Accumulated net realized gain
on investments 2,429
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Net unrealized appreciation
on investments $ 9,289
-------
Total Net Assets-- 100.0% $44,856
=======
Net Asset Value, Offering and
Redemption Price Per Share-- Class A $18.55
=======
* NON-INCOME PRODUCING SECURITY
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPITAL APPRECIATION PORTFOLIO
COMMON STOCKS -- 81.9%
AIR TRANSPORTATION -- 2.0%
AMR* 3,700 $ 530
Continental Airlines, Cl B* 10,400 612
Delta Air Lines 16,900 1,998
-------
3,140
-------
AIRCRAFT -- 3.7%
Allied Signal 48,100 2,020
Boeing 13,000 678
United Technologies 32,600 3,009
-------
5,707
-------
AUTOMOTIVE -- 0.2%
Chrysler 8,700 362
-------
BANKS -- 5.8%
BankAmerica 7,300 603
Chase Manhattan 18,200 2,455
Crestar Financial 4,400 260
Deposit Guaranty 2,800 159
First Commerce 13,900 1,192
First Commercial 13,500 944
Fleet Financial Group 9,677 823
Mellon Bank 19,900 1,264
PNC Bank 9,300 557
Summit Bancorp 14,300 716
-------
8,973
-------
BEAUTY PRODUCTS -- 1.6%
Avon Products 20,500 1,599
Colgate Palmolive 9,700 840
-------
2,439
-------
22
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.4%
Omnicom Group 12,600 $ 593
-------
CHEMICALS -- 2.4%
Air Products & Chemicals 10,700 887
Avery Dennison 8,500 454
Betz Laboratories 7,300 412
Morton International 17,500 574
Praxair 25,600 1,317
-------
3,644
-------
COMMUNICATIONS EQUIPMENT -- 0.2%
Northern Telecom Ltd 5,100 330
-------
COMPUTERS & SERVICES -- 4.3%
Ceridian* 29,600 1,597
Cisco Systems* 32,250 2,205
EMC* 14,800 560
IBM 21,400 2,223
-------
6,585
-------
DRUGS -- 5.7%
Abbott Laboratories 12,900 972
American Home Products 25,600 2,442
Bristol-Myers Squibb 27,500 2,869
Eli Lilly 12,600 751
Merck 7,900 1,014
Warner Lambert 4,000 681
-------
8,729
-------
ENVIRONMENTAL SERVICES -- 1.9%
Allied Waste Industries* 12,000 300
Culligan Water Technologies* 11,600 691
USA Waste Services* 43,099 1,921
-------
2,912
-------
FINANCIAL SERVICES -- 3.5%
Associates First Capital 7,800 616
Federal Home Loan Mortgage
Corporation 64,000 3,036
Household International 5,800 799
Starwood Lodging Trust 11,074 592
Textron 4,500 346
-------
5,389
-------
FOOD, BEVERAGE & TOBACCO -- 5.1%
Bestfoods 3,900 456
Campbell Soup 31,000 1,759
Conagra 32,700 1,050
Interstate Bakeries 33,400 1,079
Kellogg 14,700 634
Ralston-Ralston Purina Group 13,700 1,452
Sara Lee 13,900 857
Vlasic Foods International* 3,100 79
William Wrigley, Jr. 7,100 580
-------
7,946
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 3.7%
Clorox 8,700 $ 745
General Electric 57,700 4,973
-------
5,718
-------
INSURANCE -- 2.3%
American International Group 11,800 1,486
General Re 2,300 507
Torchmark 7,500 344
Travelers 20,146 1,209
-------
3,546
-------
LEISURE PRODUCTS -- 0.7%
Mattel 28,750 1,139
-------
MACHINERY -- 2.6%
Dover 13,100 498
Emerson Electric 17,500 1,141
Tyco International Ltd 42,744 2,335
-------
3,974
-------
MARINE TRANSPORTATION -- 1.3%
Carnival, Cl A 29,200 2,037
-------
MEASURING DEVICES -- 1.5%
Honeywell 27,000 2,233
-------
MEDICAL PRODUCTS & SERVICES -- 1.5%
Baxter International 8,000 441
Healthsouth Rehabilitation* 50,101 1,406
Phycor* 4,400 99
Tenet Healthcare* 11,200 407
-------
2,353
-------
MISCELLANEOUS BUSINESS SERVICES -- 3.3%
Cendant* 42,403 1,680
Ecolab 18,000 522
Microsoft* 29,200 2,613
Networks Associates* 5,100 338
-------
5,153
-------
MISCELLANEOUS CONSUMER SERVICES -- 0.4%
Manpower 16,000 646
-------
MISCELLANEOUS MANUFACTURING -- 0.1%
U.S. Filter* 2,800 98
-------
OFFICE FURNITURE & FIXTURES -- 0.8%
Lear* 21,000 1,184
-------
PETROLEUM & FUEL PRODUCTS -- 0.5%
Schlumberger 6,000 454
Weatherford Enterra* 6,600 280
-------
734
-------
23
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PETROLEUM REFINING -- 1.5%
British Petroleum, PLC, ADR 14,951 $ 1,287
Texaco 13,600 819
Unocal 5,100 197
-------
2,303
-------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 1.3%
Eastman Kodak 4,400 285
Xerox 16,100 1,714
-------
1,999
-------
PRINTING & PUBLISHING -- 1.3%
McGraw-Hill 18,900 1,438
New York Times, Cl A 8,300 581
-------
2,019
-------
PROFESSIONAL SERVICES -- 1.0%
Halliburton 31,100 1,561
-------
RAILROADS -- 1.3%
Burlington Northern Santa Fe 18,600 1,934
-------
RETAIL -- 10.3%
Consolidated Stores* 27,600 1,185
Costco* 30,900 1,649
CVS 32,900 2,484
Federated Department Stores* 23,400 1,212
Home Depot 5,500 371
Lowe's 13,000 912
Office Depot* 39,300 1,223
Rite Aid 39,600 1,356
Sherwin Williams 25,600 909
Staples* 23,650 548
Tandy 35,000 1,645
The Limited 39,900 1,145
Walgreen 38,000 1,337
-------
15,976
-------
RUBBER & PLASTIC -- 0.3%
EVI* 11,500 533
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.9%
Intel 17,400 1,358
-------
SPECIALTY CONSTRUCTION -- 1.3%
Masco 32,800 1,952
-------
TELEPHONES & TELECOMMUNICATION -- 2.2%
L.M. Ericsson Telephone, ADR 17,300 823
MCI Communications 42,400 2,099
WorldCom* 12,800 551
-------
3,473
-------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
WHOLESALE -- 5.0%
Gillette 4,000 $ 475
Philip Morris 56,200 2,343
Safeway* 54,800 2,024
U.S. Foodservice* 21,795 802
Unilever NV, ADR 16,450 1,129
W.W. Grainger 10,000 1,028
-------
7,801
-------
Total Common Stocks
(Cost $91,582) 126,473
-------
PREFERRED STOCK -- 0.3%
MISCELLANEOUS BUSINESS SERVICES -- 0.3%
Cendant* 10,000 521
-------
Total Preferred Stock
(Cost $500) 521
-------
CONVERTIBLE BONDS -- 4.3%
Macerich, Convertible
to 32.1285 shares (A)
7.250%, 12/15/02 $ 2,000 2,050
Mark IV Industries, Convertible
to 30.4762 shares
4.750%, 11/01/04 3,000 2,850
Office Depot, Convertible
to 19.5090 shares
Zero coupon, 12/11/07 700 635
USA Waste Services, Convertible
to 35.3243 shares
5.000%, 03/01/06 700 1,137
-------
Total Convertible Bonds
(Cost $6,267) 6,672
-------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill (B)
5.340%, 06/25/98 400 395
-------
Total U.S. Treasury Obligation
(Cost $395) 395
-------
REPURCHASE AGREEMENT -- 13.9%
Lehman Brothers
6.050%, dated 03/31/98,
matures 04/01/98,
repurchase price
$21,499,000 (collateralized
by GNMA obligation, par
value $27,854,000, 9.000%,
06/15/27, total market value:
$21,924,000) 21,495 21,495
-------
Total Repurchase Agreement
(Cost $21,495) 21,495
-------
Total Investments -- 100.7%
(Cost $120,239) 155,556
-------
24
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Other Assets and Liabilities, Net -- (0.7%)
Investment Securities Sold $ 1,993
Investment Securities Purchased (2,493)
Other Assets and Liabilities, Net (554)
--------
Total Other Assets and Liabilities, Net (1,054)
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
10,041,544 outstanding shares
of beneficial interest 103,428
Undistributed net investment income 368
Accumulated net realized gain
on investments 15,095
Net unrealized appreciation
on futures contracts 294
Net unrealized appreciation on investments 35,317
--------
Total Net Assets -- 100.0% $154,502
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $15.39
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(B) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LTD -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY INCOME PORTFOLIO
COMMON STOCKS -- 92.8%
AUTOMOTIVE -- 2.6%
Ford Motor 61,275 $ 3,971
--------
BANKS -- 16.6%
Banc One 109,052 6,898
First Union 85,650 4,861
Fleet Financial Group 50,200 4,270
JP Morgan 13,950 1,874
National City 42,975 3,151
NationsBank 64,950 4,737
--------
25,791
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BEAUTY PRODUCTS -- 2.8%
Avon Products 37,325 $ 2,911
International Flavors
& Fragrances 29,100 1,371
--------
4,282
--------
CHEMICALS -- 3.7%
BF Goodrich 42,350 2,163
EI du Pont de Nemours 42,025 2,858
Rohm & Haas 7,150 739
--------
5,760
--------
COMMUNICATIONS EQUIPMENT -- 1.0%
GTE 25,950 1,554
--------
DRUGS -- 4.7%
Bristol-Myers Squibb 35,925 3,747
Merck 17,000 2,182
Smithkline Beecham, PLC, ADR 22,550 1,411
--------
7,340
--------
ELECTRICAL SERVICES -- 4.5%
Duke Power 24,100 1,435
FPL Group 50,050 3,216
Pacificorp 33,925 835
TECO Energy 50,300 1,421
--------
6,907
--------
ENVIRONMENTAL SERVICES -- 0.6%
Browning-Ferris Industries 30,600 998
--------
FOOD, BEVERAGE & TOBACCO -- 3.0%
Anheuser Busch 14,875 689
General Mills 18,375 1,397
HJ Heinz 11,475 670
Philip Morris 44,300 1,847
--------
4,603
--------
GAS/NATURAL GAS -- 1.5%
Williams 71,600 2,291
--------
HOUSEHOLD PRODUCTS -- 2.0%
General Electric 35,625 3,070
--------
INSURANCE -- 7.8%
American General 38,700 2,503
Jefferson Pilot 18,400 1,636
Lincoln National 12,209 1,036
Marsh & McLennan 51,875 4,529
St. Paul 26,200 2,335
--------
12,039
--------
LEASING & RENTING -- 1.5%
Pitney Bowes 46,100 2,314
--------
25
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MACHINERY -- 2.6%
Dresser Industries 35,600 $ 1,711
Emerson Electric 27,925 1,820
Tenneco 12,850 549
--------
4,080
--------
MEDICAL PRODUCTS & SERVICES -- 2.1%
Baxter International 58,800 3,241
--------
MISCELLANEOUS MANUFACTURING -- 0.7%
Minnesota Mining &
Manufacturing 12,550 1,144
--------
PAPER & PAPER PRODUCTS -- 2.0%
International Paper 5,800 272
Kimberly-Clark 27,625 1,385
Weyerhaeuser 24,975 1,411
--------
3,068
--------
PETROLEUM & FUEL PRODUCTS -- 2.3%
Atlantic Richfield 23,700 1,863
Phillips Petroleum 35,325 1,764
--------
3,627
--------
PETROLEUM REFINING -- 8.4%
Amoco 16,075 1,388
Chevron 19,575 1,572
Exxon 83,375 5,638
Mobil 29,600 2,268
Texaco 36,575 2,204
--------
13,070
--------
PRINTING & PUBLISHING -- 5.1%
McGraw-Hill 58,525 4,452
R.R. Donnelley & Sons 82,475 3,387
--------
7,839
--------
RETAIL -- 3.7%
JC Penney 27,875 2,110
May Department Stores 24,500 1,556
Sears Roebuck 35,650 2,048
--------
5,714
--------
RUBBER & PLASTIC -- 0.4%
Dow Chemical 6,025 586
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.1%
AMP 37,325 1,635
Thomas & Betts 26,200 1,677
--------
3,312
--------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
SPECIALTY MACHINERY -- 1.5%
Cooper Industries 40,050 $ 2,380
--------
SPECIALTY SERVICES -- 1.2%
National Service Industries 31,993 1,882
--------
TELEPHONES & TELECOMMUNICATION -- 8.4%
Ameritech 57,750 2,855
AT&T 29,675 1,947
Bell Atlantic 43,960 4,506
SBC Telecommunications 40,174 1,753
US West 35,766 1,958
--------
13,019
--------
Total Common Stocks
(Cost $95,998) 143,882
--------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill (A)
5.340%, 06/25/98 $ 500 494
--------
Total U.S. Treasury Obligation
(Cost $494) 494
--------
REPURCHASE AGREEMENT -- 6.8%
J.P. Morgan
6.050%, dated 03/31/98,
matures 04/01/98, repurchase
price $10,592,000,
(collateralized by various
GNMA obligations, par value
$33,848,000, 9.000%,
01/15/25- 07/15/27, total
market value:
$10,801,000) 10,590 10,590
--------
Total Repurchase Agreement
(Cost $10,590) 10,590
--------
Total Investments -- 99.9%
(Cost $107,082) 154,966
--------
Other Assets and Liabilities, Net -- 0.1% 142
--------
26
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
9,337,323 outstanding shares
of beneficial interest $ 87,099
Undistributed net investment income 1,160
Accumulated net realized gain
on investments 18,589
Net unrealized appreciation
on futures contracts 376
Net unrealized appreciation on investments 47,884
--------
Total Net Assets -- 100.0% $155,108
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $16.61
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
BALANCED PORTFOLIO
COMMON STOCKS -- 54.1%
AIR TRANSPORTATION -- 0.9%
AMR* 800 $ 115
Continental Airlines, Cl B* 2,100 124
Delta Air Lines 1,800 213
General Dynamics 100 9
--------
461
--------
AIRCRAFT -- 2.6%
Allied Signal 11,200 470
Boeing 2,300 120
Lockheed Martin 800 90
United Technologies 7,500 692
--------
1,372
--------
AUTOMOTIVE -- 0.3%
Chrysler 3,500 145
--------
BANKS -- 4.1%
Banc One 1,764 112
Bank United, Cl A 1,300 65
BankAmerica 1,600 132
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Bankboston 1,500 $ 165
Chase Manhattan 4,100 553
Crestar Financial 500 30
Cullen/Frost Bankers 300 18
Deposit Guaranty 200 11
First American Bank 500 43
First Commerce 2,200 189
Fleet Financial Group 2,182 186
Mellon 4,500 286
PNC Bank 3,400 204
Regions Financial 900 38
State Street 900 61
Washington Mutual 1,020 73
--------
2,166
--------
BEAUTY PRODUCTS -- 1.0%
Avon Products 4,700 367
Colgate-Palmolive 1,600 139
Procter & Gamble 100 8
--------
514
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.3%
Omnicom Group 2,900 136
--------
CHEMICALS -- 1.7%
Air Products & Chemicals 2,600 215
Avery Dennison 400 21
Betz Laboratories 1,700 96
Imperial Chemical Industries 1,400 101
Morton International 4,400 144
Praxair 6,200 319
--------
896
--------
COMMUNICATIONS EQUIPMENT -- 0.1%
Northern Telecom Ltd 1,100 71
--------
COMPUTERS & SERVICES -- 2.8%
3Com* 800 29
Ceridian* 4,100 221
Cisco Systems* 7,300 499
Compaq Computer 4,400 114
EMC* 3,400 129
IBM 4,900 509
--------
1,501
--------
CONTAINERS & PACKAGING -- 0.0%
Newell 400 19
--------
DRUGS -- 3.8%
Abbott Laboratories 3,200 241
American Home Products 5,400 515
Bristol-Myers Squibb 7,200 751
Eli Lilly 2,900 173
Merck 1,100 141
Warner Lambert 1,200 204
--------
2,025
--------
27
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES -- 1.0%
Allied Waste Industries* 2,800 $ 70
USA Waste Services* 9,630 429
--------
499
--------
FINANCIAL SERVICES -- 1.7%
Associates First Capital 1,800 142
Federal Home Loan Mortgage
Corporation 8,500 403
Household International 1,200 165
Starwood Lodging Trust 1,562 83
Textron 1,100 85
Waddell & Reed Financial, Cl A* 200 5
--------
883
--------
FOOD, BEVERAGE & TOBACCO -- 3.1%
Bestfoods 900 105
Campbell Soup 7,400 420
Conagra 6,500 209
Interstate Bakeries 1,000 32
Kellogg 3,700 160
Ralston-Ralston Purina 3,200 339
Sara Lee 3,200 197
Vlasic Foods International* 740 19
William Wrigley, Jr. 2,000 164
--------
1,645
--------
HOUSEHOLD PRODUCTS -- 2.5%
Clorox 2,000 171
General Electric 13,100 1,129
--------
1,300
--------
INSURANCE -- 1.6%
American International Group 2,825 356
CMAC Investment 300 20
General Re 500 110
MGIC Investment 700 46
SunAmerica 500 24
Torchmark 400 18
Travelers 4,580 275
--------
849
--------
LEISURE PRODUCTS -- 0.5%
Mattel 6,500 258
--------
MACHINERY -- 2.0%
Culligan Water Technologies* 2,600 155
Dover 3,000 114
Emerson Electric 3,300 215
Tyco International Ltd 10,158 555
--------
1,039
--------
MARINE TRANSPORTATION -- 0.9%
Carnival 6,500 453
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MEASURING DEVICES -- 0.9%
Honeywell 6,000 $ 496
--------
MEDICAL PRODUCTS & SERVICES -- 1.1%
Baxter International 1,800 99
Healthsouth Rehabilitation* 10,542 296
Phycor* 1,100 25
Tenet Healthcare* 3,900 142
--------
562
--------
MISCELLANEOUS BUSINESS SERVICES-- 2.4%
Cendant* 9,085 360
Ecolab 3,100 90
First Data 4,700 153
Microsoft* 6,400 573
Networks Associates* 900 60
Sun Microsystems* 1,200 50
--------
1,286
--------
MISCELLANEOUS CONSUMER SERVICES-- 0.3%
Manpower 3,900 157
--------
MISCELLANEOUS MANUFACTURING -- 0.9%
Masco 7,200 428
U.S. Filter* 600 21
--------
449
--------
OFFICE FURNITURE & FIXTURES -- 0.5%
Lear* 4,700 265
--------
PAPER & PAPER PRODUCTS -- 0.0%
Fort James 600 27
--------
PETROLEUM & FUEL PRODUCTS -- 0.5%
Schlumberger 1,400 106
Union Pacific Resources 3,326 79
Weatherford Enterra* 1,500 64
--------
249
--------
PETROLEUM REFINING -- 1.1%
British Petroleum, PLC, ADR 3,330 287
Mobil 1,000 77
Texaco 3,100 187
Unocal 1,200 46
--------
597
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.8%
Eastman Kodak 600 39
Xerox 3,700 394
--------
433
--------
PRINTING & PUBLISHING -- 1.0%
McGraw-Hill 4,300 327
New York Times, Cl A 2,900 203
--------
530
--------
28
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PROFESSIONAL SERVICES -- 0.7%
Halliburton 6,900 $ 346
--------
RAILROADS -- 0.8%
Burlington Northern Santa Fe 4,100 426
--------
RETAIL -- 7.3%
Consolidated Stores* 3,200 137
Costco* 6,700 358
CVS 7,600 574
Federated Department Stores* 5,400 280
Home Depot 1,249 84
Intimate Brands 3,600 97
Lowe's 2,900 204
Office Depot* 8,900 277
PepsiCo 400 17
Rite Aid 9,100 312
Safeway* 11,900 440
Sherwin Williams 5,800 206
Staples* 7,250 168
Tandy 4,100 193
The Limited 9,200 264
Wal-Mart Stores 900 46
Walgreen 1,900 67
Wendy's International 6,000 134
--------
3,858
--------
RUBBER & PLASTIC -- 0.2%
EVI* 2,600 120
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.6%
AMP 400 18
Intel 4,000 312
--------
330
--------
TELEPHONES & TELECOMMUNICATION -- 1.4%
L.M. Ericsson Telephone, ADR 3,900 185
Lucent Technologies 1,201 154
MCI Communications 6,600 327
WorldCom* 2,700 116
--------
782
--------
WASTE MANAGEMENT -- 0.0%
Molten Metal Technology* 10,000 5
--------
WHOLESALE -- 2.7%
Gillette 900 107
Philip Morris 12,400 517
U.S. Foodservice* 4,665 172
Unilever NV, ADR 3,800 261
W.W. Grainger 3,400 350
--------
1,407
--------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Total Common Stocks
(Cost $20,588) $ 28,557
--------
PREFERRED STOCKS -- 1.7%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Ralston Purina* 1,400 88
--------
INSURANCE -- 0.3%
Conseco Financial Trust* 3,000 181
--------
MISCELLANEOUS BUSINESS SERVICES -- 1.2%
Cendant* 3,000 156
Microsoft 5,200 481
--------
637
--------
Total Preferred Stocks
(Cost $802) 906
--------
U.S. TREASURY OBLIGATIONS -- 11.9%
U.S. Treasury Notes
8.000%, 05/15/01 $ 400 426
6.500%, 05/31/01 1,765 1,807
6.250%, 01/31/02 2,035 2,073
6.625%, 03/31/02 985 1,017
7.250%, 08/15/04 495 535
7.500%, 02/15/05 375 412
--------
Total U.S. Treasury Obligations
(Cost $6,251) 6,270
--------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 4.6%
FHLMC
6.000%, 12/01/98 133 134
8.000%, 06/01/02 284 290
7.000%, 10/01/02 551 559
8.000%, 12/01/02 415 420
FNMA
7.000%, 10/01/03 992 1,007
--------
Total U.S. Government
Mortgage-Backed Obligations
(Cost $2,393) 2,410
--------
29
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 20.2%
AMR
9.500%, 07/15/98 $ 275 $ 278
American General Finance
5.860%, 01/22/01 830 823
Bear Stearns
7.000%, 03/01/07 800 822
Capital One
6.660%, 08/17/98 220 220
Capital One Bank
7.000%, 04/30/01 1,140 1,153
Caterpillar Financial
6.950%, 11/01/00 750 766
Chrysler Financial
5.760%, 01/16/01 175 173
Cooper Industries
5.640%, 02/15/01 880 871
Countrywide Funding
6.690%, 07/14/13 995 1,016
Household Finance
8.375%, 11/15/01 355 381
Ikon Capital Resources
7.040%, 04/25/00 675 688
Intl Lease Financial
5.800%, 06/15/01 390 386
Merrill Lynch
8.250%, 11/15/99 705 727
Praxair
6.900%, 11/01/06 755 781
Salomon Smith Barney
6.250%, 01/15/05 1,045 1,025
Sears Roebuck
7.120%, 06/26/01 545 559
--------
Total Corporate Obligations
(Cost $10,604) 10,669
--------
CONVERTIBLE BONDS -- 1.9%
Hewlett Packard, Convertible
to 5.4300 shares, (A)
Zero coupon, 10/14/17 1,000 540
Staples, Convertible
to 30.303 shares
4.500%, 10/01/00 200 321
USA Waste Services, Convertible
to 35.3243 shares
5.000%, 03/01/06 100 162
--------
Total Convertible Bonds
(Cost $867) 1,023
--------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.9%
J.P. Morgan
6.050%, dated 03/31/98,
matures 04/01/98,
repurchase price $2,599,000
(collateralized by various
GNMA obligations, par value
$10,859,000, 9.000%,
08/15/26-02/15/27, total
market value: $2,651,000) $2,599 $ 2,599
--------
Total Repurchase Agreement
(Cost $2,599) 2,599
--------
Total Investments -- 99.3%
(Cost $44,104) 52,434
--------
Other Assets and Liabilities, Net -- 0.7%
Investment Securities Sold 799
Investment Securities Purchased (638)
Other Assets and Liabilities, Net 222
--------
Total Other Assets and Liabilities, Net 383
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
3,862,853 outstanding shares
of beneficial interest 41,904
Undistributed net investment income 485
Accumulated net realized gain
on investments 2,098
Net unrealized appreciation
on investments 8,330
--------
Total Net Assets -- 100.0% $ 52,817
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $13.67
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
LTD -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30
<PAGE>
- --------------------------------------------------------------------------------
CORE FIXED INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 26.5%
U.S. Treasury Bill
Zero coupon, 09/03/98 $ 3,190 $ 3,121
U.S. Treasury Bonds
5.500%, 02/29/00 19,700 19,660
10.750%, 08/15/05 19,325 25,037
9.250%, 02/15/16 85,615 115,917
6.625%, 02/15/27 22,228 24,107
6.375%, 08/15/27 1,400 1,479
6.125%, 11/15/27 31,780 32,573
U.S. Treasury Notes
5.750%, 09/30/99 5,500 5,512
6.500%, 05/31/02 2,000 2,058
5.750%, 10/31/02 6,300 6,313
5.500%, 02/28/03 1,630 1,619
6.500%, 10/15/06 14,470 15,175
3.375%, 01/15/07 (F) 25,200 24,429
3.625%, 01/15/08 (F) 40,340 39,862
6.250%, 08/15/23 1,145 1,180
--------
Total U.S. Treasury Obligations
(Cost $310,167) 318,042
--------
CORPORATE OBLIGATIONS -- 23.9%
ABN Amro Bank of Chicago
6.625%, 10/31/01 2,500 2,531
Allstate Insurance
7.500%, 06/15/13 1,000 1,065
Associates Corporation
of North America
9.125%, 04/01/00 1,375 1,454
BA Capital Trust A (B)
7.900%, 01/15/27 4,630 4,804
Banco Nacional de Mexico
Ser 1996 (B)
6.250%, 12/01/03 4,425 4,413
BankAmerica
9.200%, 05/15/03 850 956
Bear Stearns
6.500%, 06/15/00 2,550 2,575
6.750%, 08/15/00 2,000 2,032
9.375%, 06/01/01 1,000 1,094
Boston Edison
9.875%, 06/01/20 2,000 2,225
9.375%, 08/15/21 4,500 5,062
British Aerospace Financial (B)
7.500%, 07/01/27 11,550 12,589
Commonwealth Edison
9.750%, 02/15/20 2,475 2,701
9.875%, 06/15/20 850 1,008
Continental Bank, N.A.
12.500%, 04/01/01 1,850 2,167
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Continental Cablevision
8.875%, 09/15/05 $ 1,050 $ 1,184
9.000%, 09/01/08 2,900 3,371
9.500%, 08/01/13 3,975 4,626
Countrywide Capital I
8.000%, 12/15/26 1,750 1,798
Dayton Hudson
10.000%, 01/01/11 1,000 1,265
8.600%, 01/15/12 941 1,101
Delta Funding Hel, Ser 1998-1,
Cl A1-F (A)
5.798%, 10/25/17 5,000 5,000
Deseret Generator &
Transportation Coop
9.375%, 01/02/11 953 990
Dresdner Bank
7.250%, 09/15/15 2,700 2,842
Eckerd Jack Corporate
9.250%, 02/15/04 1,000 1,075
Equitable Companies
9.000%, 12/15/04 4,000 4,540
Federal Express
9.650%, 06/15/12 3,175 3,933
9.625%, 10/15/19 850 912
Federal Paperboard
8.875%, 07/01/12 1,700 2,049
First National Bank of Omaha
7.320%, 12/01/10 750 772
First Union-Lehman Brothers CMO,
IO, Ser 1997-C2, Cl IO (B)
1.540%, 11/18/27 4,600 420
First USA
7.000%, 08/20/01 1,175 1,201
First USA Bank MTN
5.850%, 02/22/01 4,000 3,970
First USA Bank of Wilmington
Delaware
6.375%, 10/23/00 6,000 6,038
Fleet Financial Group
9.900%, 06/15/01 2,000 2,210
FNMA MTN
8.250%, 04/23/12 3,375 3,383
Ford Capital
10.125%, 11/15/00 1,275 1,396
Ford Capital Note
9.875%, 05/15/02 850 961
Ford Motor Capital
9.500%, 07/01/01 1,000 1,096
Ford Motor Credit
7.700%, 05/15/97 4,200 4,568
6.850%, 08/15/00 3,425 3,485
9.500%, 09/15/11 1,000 1,255
31
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
CORE FIXED INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
General Motors Capital
9.625%, 12/01/00 $ 1,450 $ 1,573
Georgia Pacific
9.500%, 12/01/11 1,500 1,854
9.875%, 11/01/21 3,475 3,935
GMAC
8.000%, 10/01/99 1,850 1,897
9.375%, 04/01/00 1,250 1,325
9.625%, 05/15/00 1,060 1,133
0.000%, 06/15/15 10,000 3,188
Goldman Sachs
6.250%, 02/01/03 4,700 4,682
GTE
10.250%, 11/01/20 1,700 1,902
Holt Apartments
7.275%, 08/01/37 320 329
Hydro Quebec
8.050%, 07/07/24 2,550 2,952
Hydro Quebec, Ser FU
11.750%, 02/01/12 1,300 1,862
Hydro Quebec, Ser GW
9.750%, 01/15/18 3,850 4,331
J.C. Penney
9.750%, 06/15/21 2,550 2,840
J.P. Morgan Capital
7.950%, 02/01/27 700 739
J.P. Morgan Commercial Mortgage
Finance, Ser 1997-C5, Cl X,
CMO, IO (A) (B)
1.560%, 09/15/29 15,900 1,461
K N Energy
9.625%, 08/01/21 1,900 2,123
Korea Development Bank
7.125%, 09/17/01 1,300 1,222
Korea Electric Power
7.750%, 04/01/13 1,285 1,095
6.750%, 08/01/27 1,075 942
Lehman Brothers
9.875%, 10/15/00 3,225 3,495
6.125%, 02/01/01 2,825 2,811
8.750%, 05/15/02 1,000 1,081
Loew's
7.625%, 06/01/23 2,550 2,646
May Department Stores
9.875%, 06/15/21 2,150 2,456
Midland Bank PLC
6.950%, 03/15/11 3,700 3,806
Mobile Energy Services
8.665%, 01/01/17 746 811
N R G Energy (B)
7.625%, 02/01/06 2,000 2,095
Nabisco
6.125%, 02/01/03 5,000 4,900
National Bank of Hungary
8.875%, 11/01/13 1,550 1,660
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
National Rural Utilities
Cooperative Finance
9.000%, 09/01/21 $ 1,400 $ 1,552
National Westminster Bank,
New York
9.450%, 05/01/01 1,500 1,637
NCNB Bank
10.200%, 07/15/15 3,280 4,395
New York Tel
9.375%, 07/15/31 2,900 3,284
News America Holdings
10.125%, 10/15/12 1,100 1,277
Nomura Asset Securities,
Ser 1998, Cl D6
6.590%, 03/15/28 6,000 6,092
Norsk Hydro A/S
9.000%, 04/15/12 1,725 2,122
Oneok
9.750%, 12/01/20 1,150 1,279
Paine Webber Group, MTN
6.930%, 08/15/03 1,200 1,223
Petroliam Nasional Berhd (B)
7.625%, 10/15/26 1,180 1,027
Philip Morris Global
7.000%, 07/15/05 1,850 1,892
Phillips Petroleum
9.180%, 09/15/21 2,800 3,094
Pohang Iron & Steel
7.125%, 07/15/04 1,250 1,100
7.375%, 05/15/05 585 514
Province of NewFoundland
10.000%, 12/01/20 850 1,161
Public Services Electric & Gas
7.625%, 02/01/00 1,170 1,202
PVNGS II Funding
8.000%, 12/30/15 4,500 4,933
RJR Nabisco
8.750%, 08/15/05 950 1,019
8.500%, 07/01/07 600 626
8.750%, 07/15/07 2,235 2,369
Rohm & Haas
9.500%, 04/01/21 2,500 2,803
Salomon Brothers
7.750%, 05/15/00 1,275 1,318
6.750%, 02/15/03 5,550 5,626
Sumitomo Bank International
9.550%, 07/15/00 2,000 2,090
Swiss Bank
7.000%, 10/15/15 1,700 1,743
System Energy Resources
7.430%, 01/15/11 2,195 2,248
TCI Communications
8.750%, 08/01/15 6,495 7,526
Tele-Communications
9.250%, 01/15/23 850 956
Tenneco
7.450%, 12/15/25 500 514
32
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Transamerica Finance
6.750%, 06/01/00 $ 3,455 $ 3,498
UCFC Home Equity Loan,
Ser 1998-A, Cl A1 (A)
5.768%, 07/15/11 9,000 9,000
Union Camp
10.000%, 05/01/19 1,700 1,842
9.250%, 08/15/21 500 546
US West Capital Funding
7.900%, 02/01/27 3,650 3,969
USA Waste Services
7.125%, 10/01/07 2,000 2,078
Westvaco
10.125%, 06/01/19 1,000 1,091
Weyerhaeuser
7.250%, 07/01/13 1,875 1,988
Wharf Capital
8.875%, 11/01/04 975 954
Wharf International Finance
7.625%, 03/13/07 1,300 1,162
YPF Sociedad Anonima
7.750%, 08/27/07 5,000 5,075
Zurich Capital Trust (B)
8.376%, 06/01/37 8,700 9,483
--------
Total Corporate Obligations
(Cost $279,595) 286,571
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.4%
REFCO STRIPS
Zero coupon, 10/15/20 945 236
Resolution Trust Funding STRIPS
Zero coupon, 10/15/19 16,000 4,261
--------
Total U.S. Government
Agency Obligations
(Cost $3,454) 4,497
--------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 26.2%
FHLMC
9.000%, 12/01/05 203 213
7.500%, 11/01/11 1,584 1,629
6.000%, 10/01/23 4,509 4,347
6.500%, 01/01/23 - 04/01/26 600 594
8.000%, 08/01/26 5,364 5,555
7.000%, 01/01/27 - 12/01/26 12,570 12,710
FHLMC COFI ARM (A)
7.500%, 03/01/24 1,024 1,050
FHLMC REMIC Ser 1563 (A)
8.210%, 08/15/08 1,071 1,079
FHLMC REMIC Ser 1005, Cl D
6.500%, 10/15/05 1,100 1,100
FHLMC REMIC, Ser 1907, Cl LP
9.300%, 04/15/19 3,460 3,683
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FHLMC TBA
6.000%, 04/16/13 $13,000 $ 12,801
6.500%, 04/16/13 7,300 7,325
FNMA
8.000%, 04/13/05 2,000 2,005
9.000%, 07/01/07 206 216
6.750%, 07/30/07 1,000 1,017
8.500%, 09/01/13 104 109
7.000%, 01/01/24 - 09/01/27 13,288 13,417
6.000%, 01/01/26 - 03/01/26 31,187 30,047
6.500%, 11/01/27 - 01/01/28 3,296 3,259
FNMA CMO, Ser 1997-G5
7.050%, 06/25/04 5,029 5,109
FNMA PO, Ser 94-9-C
Zero coupon, 08/25/23 363 309
FNMA REMIC
5.500%, 08/25/20 4,455 4,324
FNMA REMIC Ser 1990-106, Cl-J
8.500%, 09/25/20 1,162 1,214
FNMA REMIC Ser 1991-156, Cl A
7.500%, 10/25/21 3,538 3,580
FNMA REMIC Ser 1996-56, Cl E, PO
9.000%, 09/25/25 1,076 1,148
FNMA Ser 93-216, Cl B, PO
Zero coupon, 04/25/23 221 178
FNMA Ser 93-254, Cl C, PO
Zero coupon, 08/25/23 484 470
FNMA TBA
6.000%, 04/01/13 9,800 9,632
6.500%, 04/01/28 - 05/13/28 64,600 63,813
7.000%, 04/01/28 2,100 2,117
FNMA, PO
Zero coupon, 11/20/21 4,170 4,272
GNMA
8.500%, 11/15/00 - 12/15/21 728 768
8.000%, 01/15/07 - 09/01/27 4,179 4,328
9.500%, 01/15/19 749 812
7.125%, 08/20/22 5,050 5,170
7.500%, 01/15/23 - 07/15/27 2,227 2,285
7.000%, 01/15/24 - 10/15/27 5,562 5,616
6.500%, 04/13/28 - 12/15/23 22,240 22,010
GNMA (A)
7.375%, 06/20/18 282 291
7.000%, 09/20/19 315 324
GNMA TBA
7.000%, 04/01/28 33,990 34,266
7.500%, 04/01/28 20,300 20,789
6.500%, 04/20/28 500 494
SLMA Ser 1997-3, Cl A-1(A)
5.764%, 04/25/06 18,943 18,873
--------
Total U.S. Government
Mortgage-Backed Obligations
(Cost $312,538) 314,348
--------
33
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
CORE FIXED INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 7.2%
Asset Securitization, Ser 1997-D4,
Cl A1-C
7.420%, 04/14/29 $ 3,100 $ 3,303
Asset Securitization, Ser 1997-D4
4.500%, 10/01/18 2,034 1,837
AT&T Universal Card
6.300%, 09/15/00 6,325 6,387
5.950%, 10/17/02 4,275 4,278
Banc One Credit Card
7.340%, 10/25/26 2,125 2,142
Banc One Credit Card Master Trust
6.150%, 07/15/02 4,600 4,627
Champion 95-2 A2 (B)
6.610%, 09/15/02 694 700
Chase Manhattan Auto Grantor
Trust, Ser 1996-B, Cl A
6.230%, 06/15/03 10,175 10,251
Chemical Master Credit Card
5.900%, 07/15/03 888 888
Chevy Auto Receivables Trust,
Ser 1996-2, Cl A (C)
5.900%, 02/07/03 3,649 3,072
Citibank Credit Card Master
Trust I, Ser 1996-1, Cl A, PO
Zero coupon, 02/07/03 8,190 6,895
Zero coupon, 02/18/03 4,275 4,333
Discover Card
7.150%, 04/15/01 4,275 4,354
Empire Funding Home Loan
Owner Trust, Ser 1997-4,
Cl A1 (A)
5.720%, 01/25/08 2,565 2,563
Household Private Label
Credit Card
4.550%, 11/15/00 613 611
IBM Credit Receivables Lease
Master Trust, Ser 93-1 A
5.800%, 07/15/00 624 629
Money Store Trust, Cl 1998-A,
Ser A1
6.405%, 03/15/06 9,000 9,008
NationsBank
4.900%, 10/15/98 52 52
6.450%, 04/15/03 3,975 4,028
Nomura Asset Securities, Ser 1996-
MD5, Cl A1B
8.400%, 03/01/37 162 176
Premier Auto Trust, Ser 93-2, Cl A3
4.900%, 12/15/98 94 95
Premier Auto Trust, Ser 93-5
4.650%, 11/02/99 683 679
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Premier Auto Trust,
Ser 93-6, Cl A2
4.220%, 03/02/99 $ 1,117 $ 1,115
Premier Auto Trust, Ser 95-3
4.450%, 03/02/99 246 246
Premier Auto Trust, Tranche
1993-5, Cl A2
7.000%, 08/15/00 5,975 6,065
Residential Asset
Securitization Trust
7.500%, 01/25/27 1,493 1,501
Sears Credit
6.050%, 01/15/08 2,135 2,134
Sears Credit Account Master
Trust II, Ser 95-5, Cl A
7.000%, 10/15/04 1,700 1,736
Sears Credit Account Master
Trust, Ser 95-3, Cl A
8.100%, 06/15/04 2,750 2,852
SPNB Home Equity Loan
5.000%, 11/15/99 246 246
--------
Total Asset-Backed Securities
(Cost $86,054) 86,803
--------
MORTGAGE-BACKED OBLIGATIONS -- 11.1%
Amherest Nursing Center
8.350%, 05/01/37 1,867 2,022
Arbors of Little Rock
7.450%, 01/01/39 1,995 2,060
Castle Terrace
8.000%, 05/01/37 1,503 1,596
Chase Commercial Mortgage
Security
7.370%, 02/19/07 107 111
CLC Excelsior II Apartments
7.875%, 02/01/39 500 532
Community Program Loan Trust
8.050%, 06/25/23 5,771 5,887
Contimortgage Home Equity
Loan Trust, Ser 1998-1, Cl A2
6.180%, 07/15/12 15,000 14,993
Creekwood
7.300%, 11/30/38 2,000 2,071
Enclave of Stone Brook
7.500%, 08/29/37 1,929 2,008
First Plus Home Loan Trust
Ser 1998-2 Class A1 12/10/08 (A)
5.798%, 12/10/08 8,500 8,492
Fund America Investors CMO
REMIC ARM Ser 1993-A (A)
7.300%, 11/15/28 1,350 1,420
34
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
GMAC Commercial
Mortgage Security
6.869%, 08/15/07 $4,300 $ 4,434
Green Tree Financial,
Ser 1996-10, Cl A6
7.290%, 03/15/28 1,250 1,300
Green Tree Financial,
Ser 1998 B, Cl A4
6.390%, 02/15/25 3,450 3,450
Hillsboro Bay Club
7.950%, 03/01/37 1,576 1,672
Holt Apartments
7.275%, 07/30/38 1,709 1,754
Matterhorn One Limited Trust
Certificates (Monthly Reset =
1 Month Libor + 45 BP) (A)(B)
7.120%, 04/13/36 5,100 5,347
Merrill Lynch
7.430%, 09/01/22 1,921 1,978
Merrill Lynch Bank 1997-Ml 1
6.500%, 12/15/30 6,173 6,243
Merrill Lynch Mortgage
Investors 1996-C2 A3
6.960%, 11/21/28 9,440 9,753
Merrill Lynch Mortgage
Investors, Cl 1996-C2
6.960%, 11/21/28 530 515
Olmstead Commons
7.840%, 03/01/28 591 628
8.400%, 03/01/37 800 868
Orchard Park Inn
7.840%, 03/01/28 1,757 1,802
Renaissance Place Apartments
7.375%, 08/02/32 1,342 1,386
Residential Accredit Loans,
Ser 1998-QS05, Cl A1
6.750%, 04/25/28 2,600 2,594
Residential Accredit Loans,
Ser 1997-QS10, Cl A1
7.250%, 10/25/27 2,383 2,394
Rosewood
8.000%, 07/01/37 1,503 1,602
RTC 92-7-A2D
6.670%, 06/25/21 1,330 1,330
RTC ARM 92-B3 (A)
7.970%, 09/25/29 3,837 3,833
RTC ARM M-3 (A)
6.670%, 05/25/21 11,566 11,445
RTC ARM M-6 (A)
6.600%, 10/25/24 8,000 8,016
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Ryland Mortgage
Ser 1994-7a, Cl A2
7.000%, 08/25/25 $ 1,910 $ 1,917
Sanctuary At Tuttle Crossing
8.250%, 06/01/37 1,287 1,383
SASCO 96-CFL CC
8.550%, 09/15/11 1,053 1,091
Scottsdale Links
7.650%, 07/01/38 1,459 1,535
Security Pacific Acceptance,
Ser 91-2, Cl B
7.100%, 07/01/00 1,451 1,461
Shavano Park
7.875%, 07/01/38 1,510 1,593
Silverado Apartments
7.175%, 11/30/39 2,568 2,606
Somerford Place Facility
7.475%, 12/30/38 1,964 2,042
TMSRT, Ser 97-2, Cl A1
6.650%, 07/15/06 1,786 1,791
Village at Stone Falls
7.375%, 08/29/37 1,995 2,058
Villages at Clear Springs
7.620%, 09/30/38 2,008 2,102
--------
Total Mortgage-Backed Obligations
(Cost $130,445) 133,115
--------
COMMERCIAL PAPER -- 0.5%
Levi Strauss
5.720%, 04/17/98 4,000 3,990
Lockheed Martin
5.680%, 04/03/98 2,000 1,999
--------
Total Commercial Paper
(Cost $5,989) 5,989
--------
OPTIONS -- 0.0%
Euro $ Future Sept Call,
Strike Price $94.50 167 27
Euro $ Future June Call,
Strike Price $94.75 (221) (6)
Euro$ Future June Call,
Strike Price $94.25 268 67
US Long Bond Future May Call,
Strike Price $123.00 (167) (23)
US Long Bond Future May Put,
Strike Price $119.00 (11) (5)
US Long Bond Future June Call,
Strike Price $124.00 (110) (34)
US Long Bond Future June Call,
Strike Price $128.00 (176) (8)
35
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
CORE FIXED INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
US Long Bond Future September
Call, Strike Price $124.00 $ 110 $ 111
US Long Bond Future September
Call, Strike Price $128.00 (159) (57)
----------
Total Options
(Cost $(174)) 72
----------
MUNICIPAL BOND -- 0.1%
First Chicago Funding
Zero coupon, 06/30/10 3,850 1,670
----------
Total Municipal Bond
(Cost $1,522) 1,670
----------
REPURCHASE AGREEMENT -- 18.4%
J.P. Morgan
6.050%, dated 03/31/98,
matures 04/01/98,
repurchase price $221,428,000
(collateralized by various
GNMA obligations, total par
$839,292,000, 9.000%, 09/15/16-
07/15/27, total market
value: $225,819,000) 221,391 221,391
----------
Total Repurchase Agreement
(Cost $221,391) 221,391
----------
Total Investments -- 114.3%
(Cost $1,350,981) $1,372,498
==========
(A) VARIABLE RATE SECURITY--THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT AS OF MARCH 31, 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) U.S. TREASURY INFLATION INDEX NOTE
ARM -- ADJUSTABLE RATE MORTGAGE
BP -- BASIS POINTS
CL -- CLASS
CMO -- COLLATERALIZED MORTGAGE OBLIGATION
COFI -- COST OF FUNDS INDEX
FHLB -- FEDERAL HOME LOAN BANK
FHMLC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO -- INTEREST ONLY
LIBOR -- LONDON INTER BANK OFFERING RATE
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
MTN -- MEDIUM TERM NOTE
PO -- PRINCIPAL ONLY
REMIC -- REAL ESTATE MORTGAGE INVESTMENT CONDUIT
RFCO -- RESOLUTION TRUST FUNDING CORPORATION
RTC -- RESOLUTION TRUST CORPORATION
SER -- SERIES
SLMA -- STUDENT LOAN MARKETING ASSOCIATION
STRIPS -- SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
TBA -- TO BE ANNOUNCED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
HIGH YIELD BOND PORTFOLIO
CORPORATE OBLIGATIONS -- 91.1%
Abraxas (A)
11.500%, 11/01/04 $1,250 $ 1,275
Acme Television/Finance (A) (B)
0.000%, 09/30/04 500 410
Adelphia Cable Communications
10.500%, 07/15/04 500 551
Adelphia Communications (A)
8.375%, 02/01/08 750 752
ADV Accessory/AAS Cap (A)
9.750%, 10/01/07 500 512
Advanced Micro Devices
11.000%, 08/01/03 600 642
Advanced Radio Telecom
14.000%, 02/15/07 500 552
AES (A)
8.500%, 11/01/07 800 826
AFC Enterprises
10.250%, 05/15/07 900 954
Ainsworth Lumber
12.500%, 07/15/07 600 616
Airplanes Pass Through Trust
10.875%, 03/15/19 300 338
Algoma Steel First Mortgage
12.375%, 07/15/05 500 594
Allbritton Communications
9.750%, 11/30/07 800 846
Allied Holdings, Ser B
8.625%, 10/01/07 1,200 1,234
Allied Waste
10.250%, 12/01/06 650 724
Allied Waste Industries (A) (B)
0.000%, 06/01/07 750 547
Allied Waste Industries (B)
0.000%, 06/01/07 450 328
American Builder & Contractors
10.625%, 05/15/07 500 524
36
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
American Communication
Services
13.750%, 07/15/07 $ 500 $ 600
American Communication
Services (B)
0.000%, 11/01/05 1,250 1,069
0.000%, 04/01/06 500 407
American Lawyer Media (A)
9.750%, 12/15/07 400 421
American Radio Systems
9.000%, 02/01/06 500 534
American Restaurant Services (A)
11.500%, 02/15/03 700 723
American Skiing
12.000%, 07/15/06 450 505
Ameristar Casino, Ser B
10.500%, 08/01/04 500 525
AMF Group
10.875%, 03/15/06 300 331
AMF Group Senior (B)
0.000%, 03/15/06 306 248
Ampex (A)
12.000%, 03/15/03 1,000 1,005
Amphenol
9.875%, 05/15/07 500 540
Amscan Holdings (A)
9.875%, 12/15/07 400 418
Amtrol
10.625%, 12/31/06 400 413
Anchor Lamina (A)
9.875%, 02/01/08 1,000 1,015
Apcoa (A)
9.250%, 03/15/08 500 505
Applied Extrusion Tech Ser B
11.500%, 04/01/02 800 855
Arcadia Financial Ltd
11.500%, 03/15/07 500 496
Archibald Candy
10.250%, 07/01/04 600 639
Atlantic Express (A)
10.750%, 02/01/04 500 535
Autotote
10.875%, 08/01/04 600 643
Bally Total Fitness, Ser B
9.875%, 10/15/07 400 426
Belco Oil & Gas, Ser B
8.875%, 09/15/07 250 257
Belden & Blake, Ser B
9.875%, 06/15/07 500 509
Bellwether Exploration
10.875%, 04/01/07 800 848
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Berry Plastics
12.500%, 06/15/06 $ 500 $ 551
Beverly Enterprises
9.000%, 02/15/06 700 731
Big City Radio (A) (B)
0.000%, 03/15/05 750 551
Blue Bird Body
10.750%, 11/15/06 500 552
Booth Creek
12.500%, 03/15/07 600 619
Boyd Gaming
9.500%, 07/15/07 500 535
Brand Scaffold Services (A)
10.250%, 02/15/08 500 516
Brylane
10.000%, 09/01/03 400 425
BTI Telecom (A)
10.500%, 09/15/07 500 526
Buckeye Cellulose
9.250%, 09/15/08 500 530
Bucyrus International
9.750%, 09/15/07 500 502
Burke Industries
10.000%, 08/15/07 600 638
Busse Broadcasting
11.625%, 10/15/00 700 755
BWAY
10.250%, 04/15/07 500 542
Call-Net Enterprises (B)
0.000%, 08/15/07 1,000 709
Cambridge Industries, Ser B
10.250%, 07/15/07 500 524
Canadian Forest Oil Ltd
8.750%, 09/15/07 500 510
Canadian Forest Oil Ltd (A)
8.750%, 09/15/07 500 510
Capstar Broadcasting
9.250%, 07/01/07 500 527
Capstar Broadcasting (B)
0.000%, 02/01/09 500 375
Capstar Hotel
8.750%, 08/15/07 500 519
Casino America
12.500%, 08/01/03 800 892
Casino Magic
13.000%, 08/15/03 1,600 1,860
CCA Holding
13.000%, 12/31/99 1,000 1,485
Celestica International
10.500%, 12/31/06 500 546
Cencall Communication (B)
0.000%, 01/15/04 100 97
37
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Century Communications
8.875%, 01/15/07 $ 500 $ 525
Century Communications (A)
0.000%, 01/15/08 1,000 439
CF Cable Television
11.625%, 02/15/05 50 57
Chancellor Media
9.375%, 10/01/04 750 788
Charter Communications South East
11.250%, 03/15/06 500 556
Chattem (A)
8.875%, 04/01/08 500 506
CHC Helicopter
11.500%, 07/15/02 700 751
Chemical Leaman
10.375%, 06/15/05 500 532
Cinemark USA
9.625%, 08/01/08 500 526
Cinemark USA (A)
8.500%, 08/01/08 500 501
Clark R&M
8.875%, 11/15/07 500 506
Clearnet Communications (B)
0.000%, 12/15/05 800 663
Cliffs Drilling
10.250%, 05/15/03 400 433
Climachem
10.750%, 12/01/07 500 524
Coast Hotels & Casino
13.000%, 12/15/02 800 920
Coinstar (B)
0.000%, 10/01/06 900 703
Collins & Aikman (A)
11.500%, 04/15/06 550 617
10.000%, 01/15/07 500 529
Color Spot Nurseries
10.500%, 12/15/07 900 899
Colorado Gaming &
Entertainment PIK
0.000%, 06/01/03 750 809
Comcast
9.375%, 05/15/05 250 266
9.125%, 10/15/06 250 267
Comcast Cellular (A)
9.500%, 05/01/07 800 842
Comcast UK Cable (B)
0.000%, 11/15/07 500 416
Commodore Media (B)
7.500%, 05/01/03 100 113
Commonwealth Aluminum
10.750%, 10/01/06 500 537
Communications Instrument
10.000%, 09/15/04 500 520
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Constellation Finance
LLC Ser 1997-1
9.800%, 12/14/02 $ 500 $ 510
Container
9.750%, 04/01/03 550 593
Costilla Energy
10.250%, 10/01/06 450 456
Costilla Energy (A)
10.250%, 10/01/06 1,000 1,012
Covad Communications Group
0.000%, 03/15/08 750 394
Crown Packaging
Enterprises Ltd (B)
0.000%, 08/01/06 775 39
Crown Paper
11.000%, 09/01/05 500 535
CSC Holdings
9.250%, 11/01/05 250 266
9.875%, 02/15/13 650 718
CSC Holdings, Ser B
8.125%, 08/15/09 500 526
Dade International
11.125%, 05/01/06 500 556
Dailey International (A)
9.500%, 02/15/08 850 858
Dawson Production Services
9.375%, 02/01/07 500 514
Deleware County Remy
International
10.625%, 08/01/06 550 606
Derlan Man
10.000%, 01/15/07 500 526
Details (A)
10.000%, 11/15/05 400 418
Diamond Cable (B)
0.000%, 02/15/07 1,450 1,029
Diamond Cable
Communications (B)
0.000%, 09/30/04 300 279
0.000%, 12/15/05 850 681
Diamond Holdings, PLC (A)
9.125%, 02/01/08 1,000 1,030
Diamond Triumph Auto (A)
9.250%, 04/01/08 700 710
Digital Television Services
DTS Capital, Ser B
12.500%, 08/01/07 500 572
Dobson Communications (A)
11.750%, 04/15/07 600 664
Doskocil Manufacturing (A)
10.125%, 09/15/07 500 532
Drypers (A)
10.250%, 06/15/07 1,000 1,042
38
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Dual Drilling
9.875%, 01/15/04 $ 500 $ 539
Dyersburg, Ser B
9.750%, 09/01/07 550 573
Eagle Family Foods (A)
8.750%, 01/15/08 1,150 1,159
Echostar Satellite Broadcast (B)
0.000%, 03/15/04 1,200 1,099
Eldorado Resorts
10.500%, 08/15/06 500 555
Elgar Holdings (A)
9.875%, 02/01/08 1,000 1,017
Empress River Casino
10.750%, 04/01/02 500 546
Energy of America
9.500%, 05/15/07 500 501
Esprit Telecom Group, PLC
11.500%, 12/15/07 500 551
Euramax International, PLC
11.250%, 10/01/06 450 493
Facilicom International (A)
10.500%, 01/15/08 800 836
Falcon Building
9.500%, 06/15/07 500 523
Falcon Drilling (A)
8.875%, 03/15/03 500 557
Falcon Holding Group PIK
0.000%, 09/15/03 1,159 1,243
First Wave Marine
11.000%, 02/01/08 500 519
Fisher Scientific International (A)
9.000%, 02/01/08 800 816
Fitzgeralds Gaming
12.250%, 12/15/04 450 454
Flag Ltd (A)
8.250%, 01/30/08 750 772
Fleming
10.500%, 12/01/04 600 637
Flores & Rucks
9.750%, 10/01/06 400 440
Focal Communications (A)
0.000%, 02/15/08 1,000 582
Fonorola
12.500%, 08/15/02 300 335
Forcenergy (A)
8.500%, 02/15/07 500 499
Four M
12.000%, 06/01/06 500 529
Fox/Liberty Networks, LLC
8.875%, 08/15/07 500 520
French Fragrances
10.375%, 05/15/07 500 537
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Fresh del Monte Produce
10.000%, 05/01/03 $ 341 $ 358
Friendly Ice Cream
10.500%, 12/01/07 600 634
Galey & Lord (A)
9.125%, 03/01/08 500 506
Gaylord Container
9.750%, 06/15/07 500 514
GCI
9.750%, 08/01/07 500 534
Geotek Communications
12.000%, 02/15/01 760 536
Global Telesystems Group
9.875%, 02/15/05 1,000 1,034
Globalstar
11.375%, 02/15/04 400 420
11.250%, 06/15/04 900 945
Golden Ocean Group Ltd (A)
10.000%, 08/31/01 688 527
Graham Field Health
9.750%, 08/15/07 650 689
Graham Packaging (A)
8.750%, 01/15/08 400 403
Grand Casinos (A)
9.000%, 10/15/04 500 516
Granite Broadcasting
9.375%, 12/01/05 500 517
Grant Geophysical (A)
9.750%, 02/15/08 500 492
Gray Communications System
10.625%, 10/01/06 500 551
Great Lakes Carbon
10.000%, 01/01/06 250 272
GS Technologies
12.000%, 09/01/04 500 554
GST Equipment Funding
13.250%, 05/01/07 500 599
GST Telecommunications (A) (B)
0.000%, 12/15/05 70 71
GST USA Guarantee (B)
0.000%, 12/15/05 1,660 1,384
Gulf States Steel
13.500%, 04/15/03 650 671
Hard Rock Hotel (A)
9.250%, 04/01/05 800 816
Harris Chemical (B)
10.250%, 07/15/01 400 419
Harvey Casinos Resorts
10.625%, 06/01/06 500 562
Hawk
10.250%, 12/01/03 500 537
Hayes Wheel International
11.000%, 07/15/06 500 566
9.125%, 07/15/07 400 423
39
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Haynes International
11.625%, 09/01/04 $ 500 $ 566
Helicon (B)
11.000%, 11/01/03 400 430
Hermes Europe Railtel BV
11.500%, 08/15/07 500 566
HMC Acquisition Properties
9.000%, 12/15/07 500 525
HMH Properties
8.875%, 07/15/07 500 527
Hollinger International Publishing
9.250%, 03/15/07 600 639
Hollywood Casino
12.750%, 11/01/03 500 552
Hollywood Park (A)
9.500%, 08/01/07 500 522
Hollywood Theaters (A)
10.625%, 08/01/07 500 544
Homeside
11.250%, 05/15/03 325 385
Horseshoe Gaming
9.375%, 06/15/07 500 539
Hosiery of America
13.750%, 08/01/02 500 551
HS Resources
9.250%, 11/15/06 500 512
Huntsman (A)
9.500%, 07/01/07 500 522
Huntsman Polymers
11.750%, 12/01/04 250 279
Hyperion Telecommunications
12.250%, 09/01/04 500 577
Hyperion Telecommunication (B)
0.000%, 04/15/03 1,900 1,465
ICG Holding (B)
0.000%, 09/15/05 350 301
ICG Holdings (A) (B)
0.000%, 03/15/07 500 353
ICG Services (A), (B)
0.000%, 02/15/08 1,600 1,028
ICN Pharmaeuticals
9.250%, 08/15/05 500 530
ICX Communications
12.500%, 10/01/05 900 1,048
IDT (A)
8.750%, 02/15/06 500 499
IHF Holdings
0.000%, 11/15/04 600 507
Impac Group (A)
10.125%, 03/15/08 1,000 1,017
Imperial Holly
9.750%, 12/15/07 400 412
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Integrated Health
10.250%, 04/30/06 $ 250 $ 273
Integrated Health Services
9.500%, 09/15/07 500 533
9.250%, 01/15/08 250 263
Intelcom Group (B)
0.000%, 05/01/06 400 319
Interact Systems (B)
0.000%, 08/01/03 700 278
Intermedia Capital Partners
11.250%, 08/01/06 750 841
Intermedia Communications
of Florida (B)
0.000%, 05/15/06 900 744
0.000%, 07/15/07 500 374
International Cabletel
10.000%, 02/15/07 250 271
International Cabletel (B)
0.000%, 04/15/05 400 345
0.000%, 02/01/06 1,200 962
International Home Foods
10.375%, 11/01/06 750 833
International Knife & Saw
11.375%, 11/15/06 500 546
International Utility Structures (A)
10.750%, 02/01/08 500 521
International Wire Group
11.750%, 06/01/05 500 555
Iridium, LLC (A)
11.250%, 07/15/05 300 318
14.000%, 07/15/05 750 871
ISP Holdings
9.000%, 10/15/03 500 526
ITC Deltacom
11.000%, 06/01/07 650 735
Ivaco
11.500%, 09/15/05 500 558
Jacor Communications
9.750%, 12/15/06 450 488
8.000%, 02/15/10 750 755
James Cable
10.750%, 08/15/04 850 907
Jitney-Jungle Stores
10.375%, 09/15/07 450 468
John Q Hammons Hotels
8.875%, 02/15/04 500 508
Jones Intercable
9.625%, 03/15/02 350 378
8.875%, 04/01/07 350 372
Jordan Industries
10.375%, 08/01/07 1,000 1,035
Jordan Telecom Products (B)
0.000%, 08/01/07 1,000 849
40
<PAGE>
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
JPS Automotive Products
11.125%, 06/15/01 $ 100 $ 111
K-Mart
7.750%, 10/01/12 550 551
Kaiser Aluminum & Chemical,
Ser B
10.875%, 10/15/06 350 381
KCS Energy
8.875%, 01/15/08 800 792
Keebler
10.750%, 07/01/06 450 511
Kelley Oil & Gas
10.375%, 10/15/06 500 520
Keystone Consolidated (A)
9.625%, 08/01/07 800 825
Kitty Hawk (A)
9.950%, 11/15/04 250 259
KMC Telecom Holdings (B)
0.000%, 02/15/08 1,250 744
Knoll
10.875%, 03/15/06 260 296
KSL Recreation Group
10.250%, 05/01/07 500 545
Lady Luck Gaming
11.875%, 03/01/01 500 513
Lamar Advertising (A)
9.625%, 12/01/06 450 489
Laroche Industries (A)
9.500%, 09/15/07 800 792
LDM Technologies
10.750%, 01/15/07 400 436
Leiner Health Products
9.625%, 07/10/07 500 542
Lenfest Communications
10.500%, 06/15/06 700 798
Lenfest Communications (A)
8.250%, 02/15/08 650 659
Leslie's Poolmart
10.375%, 07/15/04 800 834
Liberty Group Operating (A)
9.375%, 02/01/08 500 511
Liberty Group Publishing (A)
11.625%, 02/01/09 500 301
Liberty Group Publishing (B)
0.000%, 02/01/10 1,500 379
Lin Holdings (A) (B)
0.000%, 03/01/08 500 314
Magellan Health Services (A)
9.000%, 02/15/08 850 859
Magnum Hunter Re
10.000%, 06/01/07 500 489
Majestic Star Casino
12.750%, 05/15/03 750 812
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Marcus Cable (B)
0.000%, 08/01/04 $ 600 $ 573
0.000%, 12/15/05 800 728
Mariner Health
9.500%, 04/01/06 500 526
Marsh Supermarket
8.875%, 08/01/07 500 520
Mastec (A)
7.750%, 02/01/08 500 501
Maxim Group, Ser B
9.250%, 10/15/07 400 406
Maxxam Group Holdings, Ser B
12.000%, 08/01/03 400 441
Mccaw International (B)
0.000%, 04/15/07 1,400 931
Mcleodusa
9.250%, 07/15/07 500 536
Mcleodusa (A)
8.375%, 03/15/08 500 518
Mcleodusa (B)
0.000%, 03/01/07 1,100 843
MDC Communications
10.500%, 12/01/06 500 538
Metallurg
11.000%, 12/01/07 800 840
Metals USA (A)
8.625%, 02/15/08 500 498
Metronet Communications
12.000%, 08/15/07 500 578
Microcell Telecommunication (A) (B)
0.000%, 06/01/06 800 595
MMI Products
11.250%, 04/15/07 500 555
Mohegan Tribal Gaming
13.500%, 11/15/02 750 968
Moog
10.000%, 05/01/06 500 519
Morris Materials Handling (A)
9.500%, 04/01/08 750 756
Motor Coach Industries
0.000%, 11/15/02 1,000 945
Motors & Gears
10.750%, 11/15/06 850 925
Mrs Fields (A)
10.125%, 12/01/04 300 300
Nebraska Book (A)
8.750%, 02/15/08 750 748
Neenah
11.125%, 05/01/07 500 554
Nextel Communications
0.000%, 09/15/07 900 602
41
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Nextel Communications (A) (B)
0.000%, 02/15/08 $1,400 $ 896
Nextel Communications (B)
0.000%, 08/15/04 1,000 963
Nextel Communications,
PIK (A) (B)
0.000%, 02/15/10 500 532
Nextlink Communications
12.500%, 04/15/06 800 925
Nextlink Communications (A) (B)
0.000%, 04/15/08 700 444
NL Industries
11.750%, 10/15/03 350 388
NL Industries (B)
0.000%, 10/15/05 350 357
North Atlantic Trading
11.000%, 06/15/04 500 515
Northland Cable Television (A)
10.250%, 11/15/07 1,000 1,069
Northwestern Steel & Wire
9.500%, 06/15/01 800 809
NS Group
13.500%, 07/15/03 300 350
Nuevo Energy
9.500%, 04/15/06 400 428
Numatics (A)
9.625%, 04/01/08 800 818
Offshore Logistics (A)
7.875%, 01/15/08 750 748
Omega Cabinets
10.500%, 06/15/07 750 789
Optel
13.000%, 02/15/05 300 333
Orbital Imaging
11.625%, 03/01/05 950 1,045
Orion Network Systems
11.250%, 01/15/07 750 868
Owens & Minor
10.875%, 06/01/06 500 558
Oxford Automotive (A)
10.125%, 06/15/07 1,000 1,063
Packaged Ice (A)
9.750%, 02/01/05 700 714
Packaging Resources
11.625%, 05/01/03 500 499
Pagemart Nationwide (B)
0.000%, 02/01/05 750 664
Pantry
10.250%, 10/15/07 250 259
Paracelsus Healthcare
10.000%, 08/15/06 500 521
Parker Drilling (A)
9.750%, 11/15/06 500 535
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Parker Drilling, Ser B
9.750%, 11/15/06 $ 500 $ 535
Pegasus Communications, Ser B
9.625%, 10/15/05 550 578
Pegasus Shipping Hellas (A)
11.875%, 11/15/04 600 605
Peoples Telephone
12.250%, 07/15/02 300 320
Perkins Family Restaurant (A)
10.125%, 12/15/07 500 526
Perry-Judd (A)
10.625%, 12/15/07 500 525
Petersburg Long Distance (A)
9.000%, 06/01/06 90 86
Petersburg Long Distance (A) (B)
0.000%, 06/01/04 830 830
Phase Metrics (A)
10.750%, 02/01/05 500 506
Pierce Leahy (A)
9.125%, 07/15/07 450 475
Pillowtex
10.000%, 11/15/06 500 547
Plastic Containers
10.000%, 12/15/06 400 442
Players International
10.875%, 04/15/05 500 545
Playtex Products
8.875%, 07/15/04 400 414
Pogo Producing
8.750%, 05/15/07 500 519
Polymer Group, Ser B
9.000%, 07/01/07 600 623
Port Royal Holdings
10.250%, 10/01/07 600 628
Portola Packaging
10.750%, 10/01/05 200 214
Powertel
11.125%, 06/01/07 500 555
Premier Parks
9.250%, 04/01/06 500 500
9.750%, 01/15/07 500 539
Price Comm Wireless
11.750%, 07/15/07 250 280
Pricecellular Wireless
10.750%, 11/01/04 400 454
Pricecellular Wireless (B)
0.000%, 10/01/03 500 529
Pride Petroleum Services
9.375%, 05/01/07 500 533
Prime Hospitality
9.250%, 01/15/06 600 641
9.750%, 04/01/07 450 482
Primus Telecommunications
11.750%, 08/01/04 600 671
42
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Printpack, Ser B
10.625%, 08/15/06 $ 500 $ 544
Production Resources Group (A)
11.500%, 01/15/08 500 493
PTC International Finance BV (B)
0.000%, 07/01/07 1,000 684
Pueblo Xtra International
9.500%, 08/01/03 1,000 975
Quest Diagnostic
10.750%, 12/15/06 450 500
Qwest Communications
10.875%, 04/01/07 500 579
Qwest Communications (B)
0.000%, 10/15/07 900 662
Ram Energy
11.500%, 02/15/08 500 498
Randall's Food Markets, Ser B
9.375%, 07/01/07 400 428
RCN (A) (B)
0.000%, 02/15/08 1,300 817
Renaissance Cosmetics
11.750%, 02/15/04 400 215
Renco Metals
11.500%, 07/01/03 500 536
Repap New Brunswick
10.625%, 04/15/05 750 758
Republic Engineered Steel
9.875%, 12/15/01 800 811
Revlon Consumer Products (A)
8.625%, 02/01/08 500 508
Revlon Worldwide (B)
0.000%, 03/15/01 500 385
Rifkin Acquisition Partners
11.125%, 01/15/06 750 831
Rio Hotel & Casino
10.625%, 07/15/05 250 275
Riverwood International
10.875%, 04/01/08 800 810
Rogers Cantel
9.375%, 06/01/08 500 529
Rogers Communications
9.125%, 01/15/06 400 409
8.875%, 07/15/07 350 355
RSL Communications, PLC
9.125%, 03/01/08 500 506
Safelite Glass (A)
9.875%, 12/15/06 300 318
Safety Components
10.125%, 07/15/07 500 522
Salem Communications (A)
9.500%, 10/01/07 500 526
Santa Fe Hotel
11.000%, 12/15/00 90 89
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Sealy Mattress (A)
9.875%, 12/15/07 $ 500 $ 530
Sealy Mattress (A) (B)
0.000%, 12/15/07 500 331
SF Holdings Group (A) (B)
0.000%, 03/15/08 1,000 560
SFX Broadcasting
10.750%, 05/15/06 600 670
Sheffield Steel
11.500%, 12/01/05 500 520
Shop-Vac
10.625%, 09/01/03 625 683
Showboat
9.250%, 05/01/08 525 566
Showboat Marina
13.500%, 03/15/03 250 298
Signature Brands USA
13.000%, 08/15/02 500 551
Sinclair Broadcast
10.000%, 09/30/05 550 578
Sitel (A)
9.250%, 03/15/06 500 505
Southwest Royalties (A)
10.500%, 10/15/04 500 445
Sovereign Specialty Chemical (A)
9.500%, 08/01/07 450 473
Spanish Broadcasting
11.000%, 03/15/04 500 551
Specialty Equipment
11.375%, 12/01/03 500 537
Specialty Paperboard
9.375%, 10/15/06 500 520
Sprint Spectrum
11.000%, 08/15/06 750 866
Stanadyne Automotive (A)
10.250%, 12/15/07 500 511
Stater Brothers
9.000%, 07/01/04 500 523
Sterling Chemical Holdings (B)
0.000%, 08/15/08 1,000 604
Stone Container (A)
11.500%, 08/15/06 400 420
Sun International Hotels
9.000%, 03/15/07 500 525
Sun Media
9.500%, 05/15/07 325 349
Synthetic Industries
9.250%, 02/15/07 400 419
TSF Communications (A)
10.375%, 11/01/07 500 506
Talton Holdings (A)
11.000%, 06/30/07 500 551
TCI Satellite Entertainment (A)
10.875%, 02/15/07 700 747
43
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TCI Satellite Entertainment (A) (B)
0.000%, 02/15/07 $ 900 $ 648
Tekni-Plex
11.250%, 04/01/07 800 867
Teleport Communications
9.875%, 07/01/06 500 574
Teleport Communications (B)
0.000%, 07/01/07 800 692
Telewest Communications
9.625%, 10/01/06 150 160
Telewest Communications (B)
0.000%, 10/01/07 1,500 1,223
Teligent
11.500%, 12/01/07 750 791
Tenet Healthcare
8.625%, 01/15/07 500 519
Texas Petrochem
11.125%, 07/01/06 450 497
Therma-Wave
10.625%, 05/15/04 500 529
Titan Wheel International
8.750%, 04/01/07 500 525
Tokheim Ser B
11.500%, 08/01/06 500 569
Tracor
8.500%, 03/01/07 500 508
Trans World Airlines (A)
11.375%, 03/01/06 800 808
Transamerican Energy, Ser B
11.500%, 06/15/02 900 896
Trident Automotive
10.000%, 12/15/05 500 518
Twin Laboratories
10.250%, 05/15/06 500 553
Unifi Comm
14.000%, 03/01/04 600 401
Unisys
12.000%, 04/15/03 550 626
11.750%, 10/15/04 500 580
7.875%, 04/01/08 400 402
United International
Holdings (A) (B)
0.000%, 02/15/08 1,300 811
United Meridian
10.375%, 10/15/05 250 277
United Refining
10.750%, 06/15/07 500 530
Universal Compression (A) (B)
0.000%, 02/15/08 800 497
Universal Health Services
8.750%, 08/15/05 250 265
US Air
10.000%, 07/01/03 700 739
Van de Kamps
12.000%, 09/15/05 250 280
Vanguard Cellular System
9.375%, 04/15/06 500 529
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Vencor
8.625%, 07/15/07 $ 800 $ 898
Verio (A)
10.375%, 04/01/05 500 519
Viasystems
9.750%, 06/01/07 500 524
Viasystems (A)
9.750%, 06/01/07 600 629
Wainoco Oil (A)
9.125%, 02/15/06 800 806
Walbro (A)
10.125%, 12/15/07 500 508
Waterford Gaming
12.750%, 11/15/03 473 523
Waxman Industries (B)
0.000%, 06/01/04 600 539
WCI Steel
10.000%, 12/01/04 800 844
Weirton Steel
11.375%, 07/01/04 250 271
Wells Aluminum
10.125%, 06/05/05 500 534
Werner Holdings (A)
10.000%, 11/15/07 700 738
Western Federal Notes (C)
0.000%, 09/15/99 500 510
Western Wireless
10.500%, 06/01/06 400 439
10.500%, 02/01/07 300 330
Westmin Resources Ltd
11.000%, 03/15/07 500 573
Wheeling-Pittsburgh (A)
9.250%, 11/15/07 250 254
William Carter (A)
10.375%, 12/01/06 500 536
Winstar Communications (B)
0.000%, 10/15/05 1,100 921
Young Broadcasting
9.000%, 01/15/06 400 415
--------
Total Corporate Obligations
(Cost $243,670) 256,660
--------
UNITS -- 3.6%
American Mobile 1 Unit = $1M
senior note + 1 warrant
12.250%, 04/01/08 900 936
Australis Holdings 1 Unit = $1M
senior subordinate discount
note + 1 warrant (A) (B)
0.000%, 11/02/02 500 175
Australis Media 1 Unit = $1M
senior subordinate discount
note + 1 warrant (A) (B)
0.000%, 05/15/03 400 100
44
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
- --------------------------------------------------------------------------------
Colt Telecom Group 1 Unit = 1
senior discount note + 1
warrant (B)
0.000%, 12/15/06 $ 600 $ 528
Concentric Network 1 Unit = $1M
senior note + 1 warrant (A)
12.750%, 12/15/07 550 633
County Seat Stores 1 Unit = $1M
senior note + 1 warrant
12.750%, 11/01/04 500 506
Diva Systems 1 Unit = $1M
senior discount note + 3
warrants (B)
0.000%, 03/01/08 2,607 1,486
DTI Holdings 1Unit = $1M senior
discount note + 5 warrants (B)
0.000%, 03/01/08 1,000 588
Ermis Maritime Holdings Ltd 1
Unit = $1.1M mortgage
notes + 1 warrant
12.500%, 03/15/06 725 731
International Utility Structure 1
Unit = $1M senior exchanged
preferred + 1 warrant PIK
13.000%, 02/01/08 500 525
Mentus Media 1 Unit = $1M senior
secured payment-in-kind
notes + 2.78311
warrants PIK
Zero coupon, 02/01/03 850 852
Pegasus Communications 1
Unit = $1M preferred share + 1
warrant PIK* 2,500 293
Price Comm Cellular 1 Unit =
$1M senior note + 3.44
warrant (B)
0.000%, 08/01/07 1,000 668
USN Communications 1 Unit =
$1M senior discount note + 10
warrants
14.625%, 08/15/04 1,154 946
Verio 1 Unit = $1M senior
note + 8 warrants (A)
13.500%, 06/15/04 1,000 1,350
--------
Total Units
(Cost $9,820) 10,317
--------
PREFERRED STOCKS -- 2.4%
Adelphia Communications* 2,500 295
Ameriking PIK
Zero coupon, 12/01/08 2,272 614
Coinstar* 4,545 41
Diva Systems, Ser C* 41,615 474
GPA Group, PLC (A)* 1,000,000 570
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Granite Ltd* 100 $ 11
Hyperion Telecomm* 258 302
Intermedia Communication* 20,278 1,049
Jordan Telecommunication* 500 660
Nextel Communications, PIK 531 600
Nextlink Communications* 5,738 359
Pegasus Communications* 130 15
Primedia* 4,000 412
Renaissance Cosmetics (A)* 52 1
Renaissance Cosmetics, PIK (A)* 5,000 50
SD Warren, Ser B* 20,000 880
Siligan Holdings 336 383
--------
Total Preferred Stocks
(Cost $5,806) 6,716
--------
U.S. GOVERNMENT AGENCY OBLIGATION -- 1.3%
FHLB
5.440%, 04/01/98 $ 3,684 3,684
--------
Total U.S. Government Agency Obligation
(Cost $3,684) 3,684
--------
WARRANTS -- 0.2%
Advanced Radio Telecom* 7,500 165
American Communication Services* 1,820 37
Ampex (A)* 34,000 60
Cellular Communications
International* 500 2
Clearnet* 1,334 1
Globalstar Telecom* 400 56
Golden Ocean Group* 688 3
Hyperion* 1,155 20
Intelcom Group* 700 29
McCaw International* 1,400 1
Metronet (A)* 500 1
Microcell Telecomm (A)* 2,400 30
Orion Network Systems* 750 10
Primus Telecommunications* 600 19
Wireless One* 20 2
--------
Total Warrants
(Cost $91) 436
--------
Total Investments -- 98.6%
(Cost $263,071) 277,813
--------
Other Assets and Liabilities, Net -- 1.4%
Investment Securities Sold 5,437
Accrued Income 5,403
Investment Securities Purchased (4,807)
Other Assets and Liabilities, Net (2,198)
--------
Total Other Assets and Liabilities, Net 3,835
--------
45
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
HIGH YIELD BOND PORTFOLIO
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
23,879,594 outstanding shares
of beneficial interest $264,757
Overdistributed net investment income (116)
Accumulated net realized loss
on investments 2,265
Net unrealized appreciation
on investments 14,742
--------
Total Net Assets -- 100.0% $281,648
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $11.79
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALERS IN THAT PROGRAM OR OTHER
"ACCREDITED INVESTORS." THESE SECURITIES HAVE BEEN DETERMINED TO BE LIQUID
UNDER GUIDELINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(B) STEP BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE RATE
IN EFFECT ON MARCH 31, 1998. THE INITIAL COUPON ON A STEP BOND CHANGES ON A
SPECIFIC DATE, TO A PREDETERMINED HIGHER RATE.
(C) IN DEFAULT ON INTEREST PAYMENTS.
FHLB -- FEDERAL HOME LOAN BANK
LLC -- LIMITED LIABILITY COMPANY
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
- --------------------------------------------------------------------------------
Aerospace 0.86
Airlines 0.85
Cable 10.26
Chemicals 2.00
Communications 19.87
Conglomerate 1.65
Consumer Mfg. 4.85
Energy 7.60
Entertainment 2.15
Financial 0.70
Food & Beverage 2.62
Gaming 5.38
General Industrial 8.71
Healthcare 3.94
Hotels 1.49
Media 6.22
Metals 4.29
Packaging 4.02
Real Estate 1.41
Restaurants 1.06
Retail 1.45
Supermkt. 1.17
Technology 2.61
Transportation Non-Air 4.53
Utility 0.31
------
100.00
======
46
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
----------- ----------
TAX MANAGED CORE FIXED
LARGE CAP INCOME
----------- ----------
ASSETS:
<S> <C> <C>
Cash $ 3,618 $ --
Investments at value (Cost $11,679 and $1,350,981, respectively) 11,965 1,372,498
Income receivable 4 10,694
Investment securities sold -- 36,335
Other receivables 3 --
------- ----------
Total Assets 15,590 1,419,527
------- ----------
LIABILITIES:
Income payable -- (5,798)
Investment securities purchased (1,829) (211,460)
Accrued expenses payable (5) (599)
Other payables -- (538)
------- ----------
Total Liabilities (1,834) (218,395)
------- ----------
Total Net Assets $13,756 $1,201,132
======= ==========
NET ASSETS:
Portfolio Shares of Class A (unlimited authorization -- no par value) based
on 1,309,097 and 113,883,479, respectively of outstanding
shares of beneficial interest 13,440 1,166,398
Undistributed net investment income 2 15
Accumulated net realized gain on investments 7 13,392
Net unrealized appreciation (depreciation) on futures 21 (190)
Net unrealized appreciation on investments 286 21,517
------- ----------
TOTAL NET ASSETS -- 100.0% $13,756 $1,201,132
======= ==========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE -- CLASS A $ 10.51 $ 10.55
======= ==========
<FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
</TABLE>
47
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE PERIOD ENDED MARCH 31, 1998
<TABLE>
<CAPTION>
---------- ----------- -------------- ---------- ---------- --------
LARGE CAP LARGE CAP TAX MANAGED SMALL CAP SMALL CAP
VALUE GROWTH LARGE CAP(2) VALUE GROWTH MID-CAP
---------- ----------- -------------- ---------- ---------- --------
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C> <C>
Dividends $ 10,417 $ 3,696 $ 4 $ 2,040 $ 508 $ 240
Interest Income 993 1,264 2 606 1,123 84
-------- -------- ---- ------- ------- ------
Total Investment Income 11,410 4,960 6 2,646 1,631 324
-------- -------- ---- ------- ------- ------
EXPENSES:
Management Fees 1,736 1,681 2 640 971 67
Waiver of Management Fees -- -- -- -- -- --
Investment Advisory Fees 1,736 1,921 2 1,188 1,804 76
Waiver of Investment Advisory Fees -- (240) -- -- -- --
Custodian/Wire Agent Fees 64 62 -- 24 36 3
Transfer Agent Fees (1) -- -- -- -- 2 --
Professional Fees 19 19 -- 7 11 1
Registration Fees 91 97 -- 36 48 2
Printing Expense -- 13 -- 5 12 --
Trustee Fees 13 12 -- 5 8 1
Insurance Expense 4 3 -- -- 2 --
Pricing Fees 3 2 -- 2 2 --
Shareholder Servicing Fees 1,249 1,209 -- 459 695 48
Waiver of Shareholder
Servicing Fees (733) (708) -- (361) (542) (8)
Distribution Fees -- Class D (1) -- -- -- -- 3 --
Amortization of Deferred
Organizational Costs -- 4 -- 4 -- --
Other Expenses 34 10 -- 4 6 1
-------- -------- ---- ------- ------- ------
Total Expenses 4,216 4,085 4 2,013 3,058 191
-------- -------- ---- ------- ------- ------
NET INVESTMENT INCOME (LOSS) 7,194 875 2 633 (1,427) 133
-------- -------- ---- ------- ------- ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain from
Security Transactions 85,632 17,281 -- 18,596 19,077 2,982
Net Realized Gain (Loss) from
Futures Contracts 4,547 3,366 7 1,692 3,264 --
Net Change in Unrealized
Appreciation (Depreciation)
on Investments 57,184 140,198 307 29,569 (16,967) 1,368
-------- -------- ---- ------- ------- ------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $154,557 $161,720 $316 $50,490 $ 3,947 $4,483
======== ======== ==== ======= ======= ======
</TABLE>
<TABLE>
<CAPTION>
------------- ------- -------- ---------- ----------
CAPITAL EQUITY CORE FIXED HIGH YIELD
APPRECIATION INCOME BALANCED INCOME BOND
------------ ------- -------- ---------- ----------
INVESTMENT INCOME:
<S> <C> <C> <C> <C> <C>
Dividends $ 785 $ 2,029 $ 172 $ -- $ 140
Interest Income 681 218 721 36,337 11,275
------- ------- ------ ------- -------
Total Investment Income 1,466 2,247 893 36,337 11,415
------- ------- ------ ------- -------
EXPENSES:
Management Fees 267 273 89 1,550 408
Waiver of Management Fees -- -- (1) (23) (45)
Investment Advisory Fees 305 312 102 1,522 568
Waiver of Investment Advisory Fees (38) (39) (12) -- --
Custodian/Wire Agent Fees 10 11 3 70 16
Transfer Agent Fees (1) -- -- -- -- --
Professional Fees 2 3 1 22 5
Registration Fees 5 5 2 96 22
Printing Expense 3 -- -- 26 4
Trustee Fees 2 2 1 15 3
Insurance Expense 1 -- -- 5 --
Pricing Fees -- -- 1 10 4
Shareholder Servicing Fees 192 197 64 1,392 293
Waiver of Shareholder
Servicing Fees (111) (104) (60) (1,376) (293)
Distribution Fees -- Class D (1) -- -- -- -- --
Amortization of Deferred
Organizational Costs -- -- -- -- 4
Other Expenses 2 2 1 13 3
------- ------- ------ ------- -------
Total Expenses 640 662 191 3,322 992
------- ------- ------ ------- -------
NET INVESTMENT INCOME (LOSS) 826 1,585 702 33,015 10,423
------- ------- ------ ------- -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain from
Security Transactions 18,146 20,828 2,560 19,013 4,063
Net Realized Gain (Loss) from
Futures Contracts 831 876 -- (6,290) --
Net Change in Unrealized
Appreciation (Depreciation)
on Investments 3,552 (3,058) 2,292 4,180 1,250
------- ------- ------ ------- -------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $23,355 $20,231 $5,554 $49,918 $15,736
======= ======= ====== ======= =======
<FN>
(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.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
48 & 49
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE SIX MONTH PERIOD ENDED MARCH 31, 1998
(UNAUDITED) AND FOR THE YEAR ENDED SEPTEMBER 30, 1997.
<TABLE>
<CAPTION>
-------------------- ---------------------- ----------- ------------------ ------------------
LARGE CAP LARGE CAP TAX MANAGED SMALL CAP SMALL CAP
VALUE GROWTH LARGE CAP VALUE GROWTH
-------------------- ---------------------- ----------- ------------------ ------------------
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
3/31/98 9/30/97 3/31/98 9/30/97 3/31/98 3/31/98 9/30/97 3/31/98 9/30/97
---------- -------- ---------- ---------- ----------- -------- -------- -------- --------
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Investment Income (Loss) $ 7,194 $ 11,297 $ 875 $ 1,340 $ 2 $ 633 $ 807 $ (1,427) $ (2,462)
Net Realized Gain (Loss) from
Security Transactions 90,179 69,094 20,647 40,177 7 20,288 35,962 22,341 17,612
Net Change in Unrealized
Appreciation (Depreciation)
of Investments 57,184 162,008 140,198 189,767 307 29,569 52,651 (16,967) 74,705
---------- -------- ---------- -------- ------- -------- -------- -------- --------
Net Increase in Net Assets
from Operations 154,557 242,399 161,720 231,284 316 50,490 89,420 3,947 89,855
---------- -------- ---------- -------- ------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (6,540) (11,086) (570) (1,617) -- (367) (777) -- --
Class D -- -- -- -- -- -- -- -- --
Net Realized Gains:
Class A (77,927) (40,762) (41,126) (29,959) -- (38,318) (13,817) (19,012) (74,231)
Class D -- -- -- -- -- -- -- (80) (355)
---------- -------- ---------- -------- ------- -------- -------- -------- --------
Total Distributions (84,467) (51,848) (41,696) (31,576) -- (38,685) (14,594) (19,092) (74,586)
---------- -------- ---------- -------- ------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares Issued 361,468 318,214 381,028 317,148 13,839 182,990 143,371 173,008 257,047
Shares Issued in Lieu of Cash
Distributions 71,410 40,932 35,630 25,572 -- 30,746 11,028 14,438 49,459
Shares Redeemed (113,587) (197,882) (96,657) (224,028) (399) (86,406) (69,065) (92,422) (140,925)
---------- -------- ---------- -------- ------- -------- -------- -------- --------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 319,291 161,264 320,001 118,692 13,440 127,330 85,334 95,024 165,581
---------- -------- ---------- -------- ------- -------- -------- -------- --------
Class D:
Shares Issued -- -- -- -- -- -- -- 401 551
Shares Issued in Lieu of Cash
Distributions -- -- -- -- -- -- -- 77 355
Shares Redeemed -- -- -- -- -- -- -- (194) (491)
---------- -------- ---------- -------- ------- -------- -------- -------- --------
Increase in Net Assets
Derived from Class D
Transactions -- -- -- -- -- -- -- 284 415
---------- -------- ---------- -------- ------- -------- -------- -------- --------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions 319,291 161,264 320,001 118,692 13,440 127,330 85,334 95,308 165,996
---------- -------- ---------- -------- ------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Assets 389,381 351,815 440,025 318,400 13,756 139,135 160,160 80,163 181,265
---------- -------- ---------- -------- ------- -------- -------- -------- --------
NET ASSETS:
Beginning of Period 866,826 515,011 800,479 482,079 -- 323,337 163,177 563,616 382,351
---------- -------- ---------- -------- ------- -------- -------- -------- --------
End of Period $1,256,207 $866,826 $1,240,504 $800,479 $13,756 $462,472 $323,337 $643,779 $563,616
========== ======== ========== ======== ======= ======== ======== ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 19,135 19,261 18,688 18,242 1,347 11,015 9,600 10,007 15,890
Shares Issued in Lieu of
Cash Distributions 3,891 2,749 1,803 1,644 -- 1,935 843 853 3,140
Shares Redeemed (6,039) (12,099) (4,753) (12,724) (38) (5,169) (4,717) (5,361) (8,530)
---------- -------- ---------- -------- ------- -------- -------- -------- --------
Total Class A Transactions 16,987 9,911 15,738 7,162 1,309 7,781 5,726 5,499 10,500
========== ======== ========== ======== ======= ======== ======== ======== ========
Class D:
Shares Issued -- -- -- -- -- -- -- 23 33
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- -- -- 5 23
Shares Redeemed -- -- -- -- -- -- -- (11) (30)
---------- -------- ---------- -------- ------- -------- -------- -------- --------
Total Class D Transactions -- -- -- -- -- -- -- 17 26
========== ======== ========== ======== ======= ======== ======== ======== ========
Undistributed Net
Investment Income (Loss) $ 3,661 $ 3,008 $ 1,211 $ 907 $ 2 $ 429 $ 163 $ (1,427) $ --
========== ======== ========== ======== ======= ======== ======== ======== ========
<FN>
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
</TABLE>
50
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------- ----------------- ------------------ ------------------- --------------------- --------------------
CAPITAL EQUITY CORE FIXED HIGH YIELD
MID-CAP APPRECIATION INCOME BALANCED INCOME BOND
- ----------------- ----------------- ------------------ ------------------- --------------------- --------------------
10/1/97- 10/1/96- 10/1/97- 10/1/96- 10/1/97- 10/1/96- 10/1/97- 10/1/96- 10/1/97- 10/1/96- 10/1/97- 10/1/96-
3/31/98 9/30/97 3/31/98 9/30/97 3/31/98 9/30/97 3/31/98 9/30/97 3/31/98 9/30/97 3/31/98 9/30/97
- -------- -------- -------- -------- -------- -------- -------- -------- --------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 133 $ 226 $ 826 $ 2,243 $ 1,585 $ 4,515 $ 702 $ 1,605 $ 33,015 $ 51,626 $ 10,423 $ 15,566
2,982 5,433 18,977 43,785 21,704 31,754 2,560 6,041 12,723 4,733 4,063 (110)
1,368 4,865 3,552 7,498 (3,058) 18,385 2,292 2,510 4,180 22,140 1,250 10,144
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
4,483 10,524 23,355 53,526 20,231 54,654 5,554 10,156 49,918 78,499 15,736 25,600
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
(125) (243) (820) (2,573) (1,773) (5,055) (731) (1,690) (33,015) (51,626) (10,423) (15,566)
-- -- -- -- -- -- -- -- -- -- -- --
(5,482) (2,094) (44,920) (56,597) (31,064) (32,447) (5,945) (8,229) (1,847) (10,904) (1,688) (589)
-- -- -- -- -- -- -- -- -- -- -- --
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
(5,607) (2,337) (45,740) (59,170) (32,837) (37,502) (6,676) (9,919) (34,862) (62,530) (12,111) (16,155)
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
12,925 14,732 19,724 35,788 17,110 35,121 5,797 12,160 343,026 524,149 104,096 146,492
3,867 1,563 31,501 36,927 12,613 13,123 6,355 9,567 21,927 44,116 9,457 15,164
(5,859) (14,389) (38,576)(139,414) (35,775) (94,453) (9,408) (28,684) (242,212) (176,199) (71,987) (42,189)
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
10,933 1,906 12,649 (66,699) (6,052) (46,209) 2,744 (6,957) 122,741 392,066 41,566 119,467
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
-- -- -- -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- -- -- -- --
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
-- -- -- -- -- -- -- -- -- -- -- --
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
10,933 1,906 12,649 (66,699) (6,052) (46,209) 2,744 (6,957) 122,741 392,066 41,566 119,467
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
9,809 10,093 (9,736) (72,343) (18,658) (29,057) 1,622 (6,720) 137,797 408,035 45,191 128,912
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
35,047 24,945 164,238 236,581 173,766 202,823 51,195 57,915 1,063,335 655,300 236,457 107,545
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
$44,856 $35,047 $154,502 $164,238 $155,108 $173,766 $52,817 $51,195 $1,201,132 $1,063,335 $281,648 $236,457
======= ======= ======== ======== ======== ======== ======= ======= ========== ========== ======== ========
740 918 1,314 2,206 1,086 2,202 434 920 32,531 51,087 8,944 13,006
232 106 2,314 2,548 838 886 501 775 2,081 4,295 811 1,342
(346) (900) (2,609) (8,773) (2,228) (5,817) (714) (2,208) (22,931) (17,227) (6,148) (3,731)
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
626 124 1,019 (4,019) (304) (2,729) 221 (513) 11,681 38,155 3,607 10,617
======= ======= ======== ======== ======== ======== ======= ======= ========== ========== ======== ========
-- -- -- -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- -- -- -- --
- ------- ------- -------- -------- -------- -------- ------- ------- ---------- ---------- -------- --------
-- -- -- -- -- -- -- -- -- -- -- --
======= ======= ======== ======== ======== ======== ======= ======= ========== ========== ======== ========
$ 48 $ 40 $ 368 $ 362 $ 1,160 $ 1,348 $ 485 $ 514 $ 15 $ 15 $ (116) $ (116)
======= ======= ======== ======== ======== ======== ======= ======= ========== ========== ======== ========
</TABLE>
51
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
ENDED MARCH 31, 1998 (UNAUDITED) AND FOR THE YEARS ENDED SEPTEMBER 30.
<TABLE>
<CAPTION>
NET REALIZED RATIO OF NET
AND DISTRIBUTIONS INVESTMENT
NET ASSET NET UNREALIZED DIVIDENDS FROM RATIO OF INCOME
VALUE, INVESTMENT GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES (LOSS)
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
- -------------------------
LARGE CAP VALUE PORTFOLIO
- -------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998** $19.37 $ 0.12 $ 2.62 $(0.13) $(1.63) $20.35 15.23% $1,256,207 0.85% 1.44%
1997 14.78 0.28 5.77 (0.29) (1.17) 19.37 44.12% 866,826 0.85% 1.74%
1996 13.00 0.32 2.01 (0.26) (0.29) 14.78 18.33% 515,011 0.83% 2.31%
1995 10.71 0.33 2.44 (0.33) (0.15) 13.00 26.83% 331,692 0.76% 2.92%
1994 11.54 0.28 (0.46) (0.27) (0.38) 10.71 (1.64)% 133,178 0.75% 2.51%
1993 12.49 0.31 0.22 (0.33) (1.15) 11.54 4.35% 205,157 0.75% 2.64%
1992 12.05 0.34 0.71 (0.33) (0.28) 12.49 9.17% 242,065 0.75% 2.79%
- --------------------------
LARGE CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1998** $20.40 $ 0.01 $ 3.12 $(0.01) $(0.95) $22.57 16.05% $1,240,504 0.85% 0.18%
1997 15.03 0.03 6.33 (0.05) (0.94) 20.40 44.35% 800,479 0.85% 0.22%
1996 12.75 0.07 2.51 (0.08) (0.22) 15.03 20.59% 482,079 0.82% 0.50%
1995(4) 10.00 0.11 2.72 (0.08) -- 12.75 37.90% 297,377 0.85% 1.15%
- -------------------------------
TAX MANAGED LARGE CAP PORTFOLIO
- -------------------------------
CLASS A
1998(7) $10.00 $ -- $ 0.51 $ -- $ -- $10.51 5.10% $ 13,756 0.85% 0.34%
- -------------------------
SMALL CAP VALUE PORTFOLIO
- -------------------------
CLASS A
1998** $17.85 $ 0.03 $ 1.97 $(0.02) $(1.97) $17.86 12.62% $ 462,472 1.10% 0.35%
1997 13.17 0.05 5.74 (0.05) (1.06) 17.85 47.16% 323,337 1.11% 0.37%
1996 12.19 0.02 1.27 (0.01) (0.30) 13.17 10.86% 163,177 1.11% 0.15%
1995(5) 10.00 0.03 2.19 (0.03) -- 12.19 29.38% 102,975 1.10% 0.26%
- --------------------------
SMALL CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1998** $19.32 $(0.04) $(0.08) $ -- $(0.64) $18.56 (0.33)% $ 641,366 1.10% (0.51)%
1997 20.51 0.02 2.64 -- (3.85) 19.32 17.23% 561,414 1.10% (0.60)%
1996 19.88 (0.08) 4.37 -- (3.66) 20.51 26.56% 380,525 1.10% (0.63)%
1995 14.04 (0.14) 5.98 -- -- 19.88 41.65% 310,238 1.10% (0.60)%
1994 14.67 (0.05) 0.07 -- (0.65) 14.04 0.23% 300,296 1.01% (0.51)%
1993 10.65 (0.02) 4.05 (0.01) -- 14.67 37.81% 193,816 0.97% (0.25)%
1992(2) 10.00 0.02 0.65 (0.02) -- 10.65 15.07% 36,191 0.97% 0.49%
CLASS D
1998** $18.99 $(0.07) $(0.09) $ -- $(0.64) $18.19 (0.55)% $ 2,413 1.48% (0.89)%
1997 20.29 (0.11) 2.66 -- (3.85) 18.99 16.80%* 2,202 1.46% (0.95)%
1996 19.78 (0.07) 4.24 -- (3.66) 20.29 26.01%* 1,826 1.49% (1.02)%
1995 13.99 (0.09) 5.88 -- -- 19.78 41.44%* 786 1.50% (1.03)%
1994(3) 14.04 (0.02) (0.03) -- -- 13.99 (3.02)%* 171 1.49% (0.92)%
- -----------------
MID-CAP PORTFOLIO
- -----------------
CLASS A
1998** $19.56 $ 0.05 $ 1.87 $(0.06) $(2.87) $18.55 11.55% $ 44,856 1.00% 0.69%
1997 14.96 0.13 5.86 (0.14) (1.25) 19.56 43.13% 35,047 0.93% 0.79%
1996 13.04 0.18 1.89 (0.15) -- 14.96 16.03% 24,954 0.77% 1.28%
1995 10.89 0.01 2.14 -- -- 13.04 19.78% 27,898 0.94% 0.04%
1994 12.10 0.01 (0.98) (0.01) (0.23) 10.89 (8.10)% 108,002 0.93% 0.03%
1993(1) 10.00 0.01 2.10 (0.01) -- 12.10 34.06% 57,669 0.90% 0.26%
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME (LOSS)
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO AVERAGE
(EXCLUDING (EXCLUDING TURNOVER COMMISSION
WAIVERS) WAIVERS) RATE RATE+
- --------------------------------------------------------
- -------------------------
LARGE CAP VALUE PORTFOLIO
- -------------------------
CLASS A
<S> <C> <C> <C> <C>
1998** 1.00% 1.29% 49% $0.0495
1997 0.85% 1.74% 67% 0.0496
1996 0.83% 2.31% 75% 0.0531
1995 0.82% 2.86% 99% N/A
1994 0.75% 2.51% 67% N/A
1993 0.76% 2.63% 96% N/A
1992 0.80% 2.74% 17% N/A
- --------------------------
LARGE CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1998** 1.05% (0.02)% 29% $0.0504
1997 0.90% 0.17% 73% 0.0539
1996 0.87% 0.45% 90% 0.0602
1995(4) 0.89% 1.11% 44% N/A
- -------------------------------
TAX MANAGED LARGE CAP PORTFOLIO
- -------------------------------
CLASS A
1998(7) 0.90% 0.29% --% $0.0498
- -------------------------
SMALL CAP VALUE PORTFOLIO
- -------------------------
CLASS A
1998** 1.30% 0.15% 35% $0.0452
1997 1.11% 0.37% 98% 0.0510
1996 1.11% 0.15% 121% 0.0507
1995(5) 1.12% 0.24% 64% N/A
- --------------------------
SMALL CAP GROWTH PORTFOLIO
- --------------------------
CLASS A
1998** 1.29% (0.70)% 45% $0.0693
1997 1.10% (0.60)% 107% 0.0723
1996 1.11% (0.64)% 167% 0.0529
1995 1.13% (0.63)% 113% N/A
1994 1.11% (0.61)% 97% N/A
1993 1.14% (0.42)% 85% N/A
1992(2) 1.29% 0.17% 33% N/A
CLASS D
1998** 1.67% (1.08)% 45% $0.0693
1997 1.46% (0.95)% 107% 0.0723
1996 1.49% (1.02)% 167% 0.0529
1995 1.55% (1.08)% 113% N/A
1994(3) 1.52% (0.95)% 97% N/A
- -----------------
MID-CAP PORTFOLIO
- -----------------
CLASS A
1998** 1.04% 0.65% 51% $0.0722
1997 0.94% 0.78% 92% 0.0268
1996 0.88% 1.17% 101% 0.0124
1995 1.09% (0.11)% 108% N/A
1994 1.06% (0.10)% 89% N/A
1993(1) 1.12% 0.04% 87% N/A
<FN>
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
52
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET REALIZED RATIO OF NET
AND DISTRIBUTIONS INVESTMENT
NET ASSET UNREALIZED DIVIDENDS FROM RATIO OF INCOME
VALUE, NET GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES (LOSS)
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ------------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998** $18.20 $ 0.08 $2.28 $(0.08) $(5.09) $15.39 16.85% $ 154,502 0.84% 1.08%
1997 18.14 0.21 4.65 (0.22) (4.58) 18.20 34.02% 164,238 0.84% 1.20%
1996 16.70 0.20 3.18 (0.17) (1.77) 18.14 22.14% 236,581 0.84% 1.20%
1995 15.18 0.22 2.42 (0.23) (0.89) 16.70 19.03% 310,693 0.84% 1.39%
1994 16.36 0.24 (0.22) (0.25) (0.95) 15.18 (0.11)% 729,100 0.79% 1.45%
1993 15.09 0.32 1.68 (0.30) (0.43) 16.36 13.50% 776,745 0.75% 2.06%
1992 14.15 0.30 1.23 (0.30) (0.29) 15.09 11.03% 536,028 0.75% 2.12%
- -----------------------
EQUITY INCOME PORTFOLIO
- -----------------------
CLASS A
1998** $18.02 $ 0.17 $1.95 $(0.18) $(3.35) $16.61 14.05% $ 155,108 0.85% 2.02%
1997 16.40 0.39 4.33 (0.42) (2.68) 18.02 33.46% 173,766 0.85% 2.38%
1996 16.07 0.49 2.20 (0.41) (1.95) 16.40 18.17% 202,823 0.83% 3.00%
1995 14.06 0.55 2.48 (0.55) (0.47) 16.07 23.00% 250,609 0.82% 3.72%
1994 15.00 0.51 (0.38) (0.50) (0.57) 14.06 1.05% 418,207 0.78% 3.68%
1993 13.33 0.51 1.75 (0.51) (0.08) 15.00 17.34% 337,939 0.75% 3.73%
1992 12.36 0.52 1.05 (0.52) (0.08) 13.33 13.03% 178,756 0.75% 4.15%
- ------------------
BALANCED PORTFOLIO
- ------------------
CLASS A
1998** $14.06 $ 0.18 $1.26 $(0.19) $(1.64) $13.67 11.49% $ 52,817 0.75% 2.75%
1997 13.94 0.41 2.27 (0.42) (2.14) 14.06 22.38% 51,195 0.75% 3.15%
1996 12.76 0.42 1.44 (0.34) (0.34) 13.94 15.01% 57,915 0.75% 2.98%
1995 11.52 0.34 1.34 (0.34) (0.10) 12.76 15.05% 70,464 0.75% 2.92%
1994 12.24 0.23 (0.62) (0.22) (0.11) 11.52 (3.25)% 65,480 0.75% 2.05%
1993 11.35 0.25 1.29 (0.26) (0.39) 12.24 14.49% 33,807 0.75% 2.24%
1992 10.70 0.52 0.73 (0.53) (0.07) 11.35 11.64% 5,974 0.75% 4.83%
- ---------------------------
CORE FIXED INCOME PORTFOLIO
- ---------------------------
CLASS A
1998** $10.40 $ 0.31 $0.17 $(0.31) $(0.02) $10.55 4.67% $1,201,132 0.60% 5.93%
1997 10.23 0.63 0.33 (0.63) (0.16) 10.40 9.80% 1,063,335 0.60% 6.17%
1996 10.46 0.64 (0.18) (0.69) -- 10.23 4.51% 655,300 0.57% 6.24%
1995 9.65 0.65 0.82 (0.66) -- 10.46 15.87% 419,959 0.55% 6.60%
1994 10.87 0.56 (1.12) (0.55) (0.11) 9.65 (5.36)% 311,955 0.55% 5.57%
1993 10.77 0.60 0.28 (0.60) (0.18) 10.87 8.58% 295,798 0.55% 5.63%
1992 10.30 0.69 0.49 (0.69) (0.02) 10.77 11.91% 213,632 0.55% 6.71%
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO AVERAGE
(EXCLUDING (EXCLUDING TURNOVER COMMISSION
WAIVERS) WAIVERS) RATE RATE+
- ---------------------------------------------------------
- ------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ------------------------------
CLASS A
<S> <C> <C> <C> <C>
1998** 1.03% 0.89% 121% $0.0550
1997 0.89% 1.15% 178% 0.0568
1996 0.86% 1.18% 153% 0.0517
1995 0.89% 1.34% 107% N/A
1994 0.84% 1.40% 109% N/A
1993 0.84% 1.97% 119% N/A
1992 0.88% 1.99% 84% N/A
- -----------------------
EQUITY INCOME PORTFOLIO
- -----------------------
CLASS A
1998** 1.03% 1.84% 35% $0.0584
1997 0.90% 2.33% 40% 0.0582
1996 0.86% 2.97% 43% 0.0429
1995 0.88% 3.66% 47% N/A
1994 0.84% 3.62% 28% N/A
1993 0.85% 3.63% 39% N/A
1992 0.87% 4.03% 18% N/A
- ------------------
BALANCED PORTFOLIO
- ------------------
CLASS A
1998** 1.03% 2.47% 76% $0.0578
1997 0.81% 3.09% 197% 0.0572
1996 0.84% 2.89% 143% 0.0382
1995 0.90% 2.77% 159% N/A
1994 0.91% 1.89% 149% N/A
1993 0.94% 2.05% 109% N/A
1992 1.12% 4.46% 101% N/A
- ---------------------------
CORE FIXED INCOME PORTFOLIO
- ---------------------------
CLASS A
1998** 0.84% 5.69% 138% N/A
1997 0.61% 6.16% 216% N/A
1996 0.64% 6.17% 311% N/A
1995 0.68% 6.47% 294% N/A
1994 0.62% 5.50% 370% N/A
1993 0.66% 5.52% 35% N/A
1992 0.68% 6.58% 39% N/A
</TABLE>
53
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
ENDED MARCH 31, 1998 (UNAUDITED) AND FOR THE YEARS ENDED SEPTEMBER 30.
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS RATIO OF NET
NET ASSET UNREALIZED DIVIDENDS FROM RATIO OF INVESTMENT
VALUE, NET GAINS FROM NET REALIZED NET ASSET NET ASSETS EXPENSES INCOME
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF TO AVERAGE TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
- -------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998** $11.66 $0.52 $ 0.23 $(0.52) $(0.10) $11.79 6.61% $281,648 0.85% 8.94%
1997 11.14 1.04 0.57 (1.04) (0.05) 11.66 15.30% 236,457 0.86% 9.33%
1996 10.64 0.94 0.62 (1.03) (0.03) 11.14 15.46% 107,545 0.87% 9.01%
1995(6) 10.00 0.67 0.55 (0.58) -- 10.64 17.72% 23,724 0.67% 10.02%
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME
TO AVERAGE TO AVERAGE
NET ASSETS NET ASSETS PORTFOLIO
(EXCLUDING (EXCLUDING TURNOVER
WAIVERS) WAIVERS) RATE
- ---------------------------------------------
- -------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
CLASS A
<S> <C> <C> <C>
1998** 1.15% 8.64% 44%
1997 0.91% 9.28% 68%
1996 0.94% 8.94% 55%
1995(6) 0.86% 9.83% 56%
<FN>
1 MID-CAP CLASS A SHARES WERE OFFERED BEGINNING FEBRUARY 16, 1993. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
2 SMALL CAP GROWTH CLASS A SHARES WERE OFFERED BEGINNING APRIL 20, 1992. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
3 SMALL CAP GROWTH CLASS D SHARES WERE OFFERED MAY 2, 1994. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
4 LARGE CAP GROWTH SHARES WERE OFFERED BEGINNING DECEMBER 20, 1994. ALL
RATIOS INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
5 SMALL CAP VALUE SHARES WERE OFFERED BEGINNING DECEMBER 20, 1994. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
6 HIGH YIELD BOND SHARES WERE OFFERED BEGINNING JANUARY 11, 1995. ALL RATIOS
INCLUDING TOTAL RETURN FOR THAT PERIOD HAVE BEEN ANNUALIZED.
7 TAX MANAGED LARGE CAP CLASS A SHARES WERE OFFERED BEGINNING MARCH 4, 1998.
ALL RATIOS EXCEPT TOTAL RETURN AND PORTFOLIO TURNOVER FOR THAT PERIOD HAVE
BEEN ANNUALIZED.
* SALES LOAD IS NOT REFLECTED IN TOTAL RETURN.
** FOR THE SIX MONTH PERIOD ENDED MARCH 31, 1998. ALL RATIOS EXCEPT TOTAL
RETURN AND PORTFOLIO TURNOVER FOR THAT PERIOD HAVE BEEN ANNUALIZED.
+ AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND SALES
DURING THE PERIOD. PRESENTATION OF THE RATE IS REQUIRED FOR FISCAL YEARS
BEGINNING AFTER SEPTEMBER 1, 1995.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
54
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
1. ORGANIZATION
SEI Institutional Managed Trust (the "Trust") is organized as a
Massachusetts Business Trust under a Declaration of Trust dated October 20,
1986.
2. SIGNIFICANT ACCOUNTING POLICIES
The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end investment company with eleven diversified Portfolios
(the "Portfolios"): 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 Portfolios and Class D shares of the Small Cap
Growth Portfolio. The Funds' prospectus provides a description of each Fund's
investment objective, policies, and strategies. The following is a summary of
the significant accounting policies consistently followed by the Trust.
SECURITY VALUATION--Investments in equity securities which are traded on a
national securities exchange (or reported on NASDAQ national market system) are
stated at the last quoted sales price if readily available for such equity
securities on each business day; other equity securities traded in the
over-the-counter market and listed equity securities for which no sale was
reported on that date are stated at the last quoted bid price. Debt obligations
with remaining maturities in excess of sixty days are valued at the most
recently quoted bid price. Debt obligations with remaining maturities of sixty
days or less are valued at their amortized cost. Securities for which quotations
are not readily available are valued at fair value using methods determined in
good faith under general Trustee supervision.
FEDERAL INCOME TAXES--It is each Portfolio's intention to qualify as a
regulated investment company for Federal income tax purposes and distribute all
of its taxable income (including net capital gains). Accordingly, no provision
for Federal income taxes is required.
NET ASSET VALUE PER SHARE--Net asset value per share is calculated on a
daily basis by dividing the assets of each Portfolio less its liabilities by the
number of outstanding shares of the Portfolio.
REPURCHASE AGREEMENTS--Securities pledged as collateral for repurchase
agreements are held by each Portfolio's custodian bank until maturity of the
repurchase agreement. The Portfolios also invest in tri-party repurchase
agreements. Securities held as collateral for tri-party repurchase agreements
are maintained by the broker's custodian bank in a segregated account until
maturity of the repurchase agreement. Provisions of the repurchase agreement and
procedures adopted by the Manager and the Advisers of the Trust require that the
market value of the collateral, including accrued interest thereon, is
sufficient in the event of default by the counterparty. If the counterparty
defaults and the value of the collateral declines or if the counterparty enters
into an insolvency proceeding, realization of the collateral by the Portfolios
may be delayed or limited.
DISCOUNT AND PREMIUM AMORTIZATION--Amortization and accretion is calculated
using the effective interest method over the holding period of the security.
Amortization of premiums and discounts is included in interest income.
EXPENSES--Expenses that are directly related to one of the Portfolios are
charged directly to that Portfolio. Other operating expenses of the Portfolios
are prorated to the Portfolios on the basis of relative net assets.
CLASSES--Class-specific expenses are borne by that class of shares. Income,
realized and unrealized gains/losses and non class-specific expenses are
allocated to the respective classes on the basis of relative daily net assets.
FUTURES CONTRACTS--The Large Cap Growth, Large Cap Value, Tax Managed Large
Cap, Small Cap Value, Small Cap Growth, Capital Appreciation and Equity Income
Portfolios utilized S&P 500 Index futures contracts and the Core Fixed Income
Portfolio utilized U.S. Long T-Bond futures contracts during the period ended
March 31, 1998. The Portfolios' investment in S&P 500 Index futures contracts is
designed to enable the Portfolios to more closely approximate the performance of
their benchmark indices. The Core Fixed Income Portfolio's use of futures
contracts is
55
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
primarily for tactical hedging purposes. Initial margin deposits of cash or
securities are made upon entering into futures contracts. The contracts are
marked to market daily and the resulting changes in value are accounted for as
unrealized gains and losses. Variation margin payments are paid or received,
depending upon whether unrealized losses or gains are incurred. When the
contract is closed, the Portfolio records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the amount invested in the contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform. Futures contracts involve risk of loss in excess of the
amounts recognized in the Statement of Net Assets to the extent of the contract
amounts.
DETERMINATION, DISCLOSURE AND FINANCIAL STATEMENT PRESENTATION OF INCOME
AND CAPITAL GAIN--Effective October 1, 1993, the Trust adopted Statement of
Position 93-2: Determination, Disclosure, and Financial Statement Presentation
of Income, Capital Gain, and Return of Capital Distributions by Investment
Companies.
Based on this Statement of Position, the reclassifications were as follows:
ACCUMULATED UNDISTRIBUTED
PAID-IN- REALIZED INVESTMENT
CAPITAL GAIN (LOSS) INCOME (LOSS)
(000) (000) (000)
-------- ----------- -------------
Large Cap Value $ 6 $ (51) $ 45
Large Cap Growth 256 (950) 694
Tax Managed Large Cap -- -- --
Small Cap Value -- (26) 26
Small Cap Growth (2,464) 2 2,462
Mid-Cap -- 10 (10)
Capital Appreciation (164) 188 (24)
Equity Income 10 (460) 450
Balanced (38) (108) 146
Core Fixed Income (17) 2 15
High Yield Bond -- 116 (116)
These reclassifications have no effect on net assets or net asset values
per share.
STRUCTURED NOTES AND INDEXED NOTES--The Core Fixed Income Portfolio may
invest in structured notes and indexed notes whose values are linked either
directly or inversely to changes in foreign currency exchange rates, interest
rates, indices, or other reference instruments. The values of these instruments
may be more volatile than the rates, indices or instruments to which they refer.
OTHER--Security transactions are recorded on the trade date of the security
purchase or sale. Costs used in determining net realized capital gains and
losses on the sale of securities are those of the specific securities sold.
Dividend income is recognized on the ex-dividend date, and interest income is
recognized using the accrual basis of accounting.
3. MANAGEMENT, INVESTMENT ADVISORY, AND DISTRIBUTION AGREEMENTS
The Trust and SEI Fund Management (the "Manager"), are parties to a
management agreement (the "Agreement") dated January 22, 1987. Under this
Agreement, the Manager provides management, administrative, and shareholder
servicing for an annual fee of .35% of the average daily net assets of the Large
Cap Value, Large Cap Growth, Tax Managed Large Cap, Small Cap Value, High Yield
Bond, Small Cap Growth, Mid-Cap, Capital Appreciation, Equity Income, and
Balanced Portfolios; and .28% of the average daily net assets of the Core Fixed
Income Portfolio. The Manager has agreed to waive all or a portion of its fee in
order to limit the operating expenses of a Portfolio. Any such waiver is
voluntary and may be terminated at any time at the Manager's sole discretion.
SEI Investments Management Corporation ("SIMCO") serves as investment
adviser to each Portfolio. In connection with serving as investment adviser,
SIMCO is entitled to a fee, which is calculated daily and paid monthly, at an
annual rate of .35% of the Large Cap Value Portfolio's average daily net assets,
at an annual rate of .40% of the Large Cap Growth, Tax Managed Large Cap,
Mid-Cap, Capital Appreciation, Equity Income and Balanced Portfolios' average
daily net assets, at an annual rate of .65% of the Small Cap Value and Small Cap
Growth Portfolios' average daily net assets, at an annual rate of .275% of the
Core Fixed Income Portfolio's average daily net assets and .4875% of the High
Yield Bond Portfolio's average daily net assets. The adviser has
56
<PAGE>
- --------------------------------------------------------------------------------
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 Portfolios.
Mellon Equity Associates, LLC, Pacific Alliance Capital Management, 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
Portfolio and are party to investment sub-advisory agreements with the Trust and
SIMCO dated December 16, 1994, April 1, 1996, March 31, 1995 and December 15,
1997, respectively. Under the investment sub-advisory agreements, each party
receives an annual fee, paid by SIMCO.
American Express Asset Management, Alliance Capital Management L.P., and
Provident Investment Counsel, Inc. each serve as an investment sub-adviser to a
portion of the assets of the Large Cap Growth Portfolio and are party to
investment sub-advisory agreements with the Trust and SIMCO dated December 16,
1994, December 16, 1994, and May 1, 1996, respectively. Under the investment
sub-advisory agreements, each party receives an annual fee, paid by SIMCO.
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 Portfolio and are party to investment
sub-advisory agreements with the Trust and SIMCO dated February 3, 1998,
February 3, 1998 and February 3, 1998, respectively. Under the investment
sub-advisory agreements, each party receives an annual fee, paid by SIMCO.
LSV Asset Management, 1838 Investment Advisors, L.P. and Boston Partners
Asset Management, L.P. each serve as an investment sub-adviser to a portion of
the assets of the Small Cap Value Portfolio and are party to investment
sub-advisory agreements with the Trust and SIMCO dated May 30, 1997, December
18, 1994, and November 13, 1995, respectively. Under the investment sub-advisory
agreements, each party receives an annual fee, paid by SIMCO.
Nicholas-Applegate Capital Management, Inc., Wall Street Associates, Furman
Selz Capital Management, LLC and Robertson, Stephens Investment Management Inc.
each serve as an investment sub-adviser to a portion of the assets of the Small
Cap Growth Portfolio and are party to investment sub-advisory agreements with
the Trust and SIMCO 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 SIMCO.
Martingale Asset Management, L.P. serves as investment sub-adviser to the
Mid-Cap Portfolio and is party to an investment sub-advisory agreement with the
Trust and SIMCO dated August 14, 1995. Under the investment sub-advisory
agreement, Martingale Asset Management, L.P. receives an annual fee, paid by
SIMCO.
Pacific Alliance Capital Management serves as investment sub-adviser to the
Equity Income Portfolio and is party to an investment sub-advisory agreement
with the Trust and SIMCO dated April 1, 1996. Under the investment sub-advisory
agreement, Pacific Alliance Capital Management receives an annual fee, paid by
SIMCO.
STI Capital Management, N.A. ("STI") serves as investment sub-adviser to
the Capital Appreciation and Balanced Portfolios and is party to an investment
sub-advisory agreement with the Trust and SIMCO dated July 10, 1995. Under the
investment sub-advisory agreement, STI receives an annual fee for each
Portfolio, paid by SIMCO.
Western Asset Management Company, BlackRock Financial Management, Inc., and
Firstar Investment Research & Management Company each serve as an investment
sub-adviser to a portion of the assets of the Core Fixed Income Portfolio and
are parties to investment sub-advisory agreements with the Trust and SIMCO dated
November 13, 1995, January 2, 1996, and November 13, 1995, respectively. Under
the investment sub-advisory agreements, each party receives an annual fee, paid
by SIMCO.
BEA Associates serves as investment sub-adviser to the High Yield Bond
Portfolio and is a party to an investment sub-advisory agreement with the Trust
and SIMCO dated August 11, 1995. Under the investment sub-advisory agreement,
BEA Associates receives an annual fee, paid by SIMCO.
SEI Investments Distribution Co. (the "Distributor"), a wholly-owned
subsidiary of SEI, serves as
57
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- MARCH 31, 1998 (UNAUDITED)
each Portfolio's distributor pursuant to a distribution agreement with the
Trust. Effective April 15, 1996, the Trust adopted a shareholder servicing plan
for Class A shares (the "Class A Plan") under which a shareholder servicing fee
of up to .25% of average daily net assets attributable to Class A shares will be
paid to the Distributor. Prior to April 15, 1996, SEI Investments Distribution
Co. acted as the distributor of shares of the Trust under distribution plans
which provided for the Trust to reimburse the Distributor for certain
distribution-related expenses incurred by the Distributor. Such expenses could
not exceed .30% of the average daily net assets of a Portfolio, provided the
expenses were permissible as to both type and amount under a budget approved and
monitored by the Board of Trustees.
The Trust has adopted a distribution plan for its Class D shares (the
"Class D Plan") pursuant to which a 12b-1 fee of up to .30% of the average daily
net assets attributable to the Class D shares will be paid to the Distributor.
This payment may be used to compensate financial institutions that provide
distribution-related services to their customers. Under both the Class A Plan
and the Class D Plan, the Distributor may retain as profit any difference
between the fee it receives and the amount it pays to third parties.
The Distribution Agreement between the Distributor and the Trust provides
that the Distributor may receive compensation on portfolio transactions effected
for the Trust in accordance with the rules of the Securities and Exchange
Commission ("SEC"). Accordingly, it is expected that portfolio transactions may
result in brokerage commissions being paid to the Distributor. The SEC rules
require that such commissions not exceed usual and customary commissions.
4. ORGANIZATIONAL COSTS AND TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized by the Trust and are being
amortized over sixty months commencing with operations. In the event any of the
initial shares are redeemed by any holder thereof during the period that the
Trust is amortizing its organizational costs, the redemption proceeds payable to
the holder thereof by the Trust will be reduced by the unamortized
organizational costs in the same ratio as the number of initial shares
outstanding at the time of the redemption.
Certain officers and/or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated Trustees of the Trust is paid by the Manager.
Each of the Portfolios also used the Distributor as an agent in placing
repurchase agreements. For this service the Distributor retains a portion of the
interest earned as a commission. Aggregate commissions paid by the Trust for
repurchase agreements placed during the period ended March 31, 1998 were
nominal.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities,
other than temporary cash investments during the period ended March 31, 1998
were as follows:
PURCHASES
---------
U.S. GOV'T. OTHER TOTAL
(000) (000) (000)
---------- -------- ----------
Large Cap Value $ -- $713,850 $ 713,850
Large Cap Growth -- 543,761 543,761
Tax Managed Large Cap -- 11,635 11,635
Small Cap Value -- 210,842 210,842
Small Cap Growth -- 256,930 256,930
Mid-Cap -- 23,456 23,456
Capital Appreciation -- 166,895 166,895
Equity Income -- 52,331 52,331
Balanced 6,540 30,110 36,650
Core Fixed Income 1,399,582 144,216 1,543,798
High Yield Bond -- 143,586 143,586
SALES
-----------
U.S. GOV'T. OTHER TOTAL
(000) (000) (000)
---------- -------- -----------
Large Cap Value $ -- $474,638 $ 474,638
Large Cap Growth -- 274,276 274,276
Tax Managed Large Cap -- -- --
Small Cap Value -- 121,802 121,802
Small Cap Growth -- 235,950 235,950
Mid-Cap -- 18,008 18,008
Capital Appreciation -- 208,698 208,698
Equity Income -- 88,895 88,895
Balanced 5,083 35,577 40,660
Core Fixed Income 1,341,170 96,079 1,437,249
High Yield Bond -- 100,407 100,407
58
<PAGE>
- --------------------------------------------------------------------------------
At March 31, 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 March 31, 1998
is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
----------- ------------ ------------
Large Cap Value $276,930 $ (9,370) $267,560
Large Cap Growth 396,635 (5,153) 391,482
Tax Managed
Large Cap 425 (118) 307
Small Cap Value 97,964 (4,691) 93,273
Small Cap Growth 151,154 (16,546) 134,608
Mid-Cap 9,980 (691) 9,289
Capital Appreciation 36,124 (513) 35,611
Equity Income 48,484 (224) 48,260
Balanced 8,651 (321) 8,330
Core Fixed Income 25,962 (4,635) 21,327
High Yield Bond 17,606 (2,864) 14,742
6. FUTURES CONTRACTS
The following Portfolios had futures contracts open as of March 31, 1998:
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
----------- --------- ----- ---------- -----------
Core Fixed Income
U.S. 5 Year Note (35) 108.68 June 1998 $ (7)
U.S. 8 Year Note 1 108.88 June 1998 --
U.S. 8 Year Note 7 109.09 June 1998 (1)
U.S. 8 Year Note 24 109.37 June 1998 (12)
U.S. 8 Year Note 37 109.27 June 1998 (15)
U.S. 8 Year Note 56 109.47 June 1998 (34)
U.S. 10 Year Note (60) 112.45 June 1998 4
U.S. 10 Year Note (64) 112.31 June 1998 (4)
U.S. 10 Year Note 9 112.25 June 1998 1
U.S. 10 Year Note 11 112.23 June 1998 1
U.S. 10 Year Note 12 112.24 June 1998 2
U.S. Long T Bond (56) 120.09 June 1998 (9)
U.S. Long T Bond (7) 120.26 June 1998 --
U.S. Long T Bond (12) 120.22 June 1998 --
U.S. Long T Bond 105 121.34 June 1998 (116)
-----
$(190)
=====
Large Cap Value
S & P 500 49 1,047.15 June 1998 $ 776
S & P 500 8 1,112.40 June 1998 (4)
-----
$ 772
=====
UNREALIZED
CONTRACT NUMBER OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
----------- --------- ----- ---------- -----------
Large Cap Growth
S&P 500 50 1,047.15 June 1998 $ 790
S&P 500 5 1,081.50 June 1998 36
S&P 500 5 1,117.00 June 1998 (8)
S&P 500 11 1,108.30 June 1998 6
S&P 500 1 1,108.50 June 1998 1
S&P 500 5 1,112.40 June 1998 (2)
-------
$ 823
=======
Tax Managed Large Cap
S&P 500 1 1,051.00 June 1998 $ 15
S&P 500 1 1,081.50 June 1998 7
S&P 500 2 1,112.40 June 1998 (1)
-------
$ 21
=======
Small Cap Value
S&P 500 1 1,047.15 June 1998 $ 15
S&P 500 12 1,049.20 June 1998 184
-------
$ 199
=======
Small Cap Growth
S&P 500 76 1,047.15 June 1998 $ 1,203
S&P 500 1 1,051.00 June 1998 15
S&P 500 2 1,067.30 June 1998 21
S&P 500 8 1,067.50 June 1998 86
S&P 500 1 1,072.60 June 1998 9
S&P 500 8 1,077.50 June 1998 66
S&P 500 6 1,081.50 June 1998 43
S&P 500 1 1,082.90 June 1998 7
S&P 500 2 1,089.30 June 1998 11
S&P 500 3 1,089.60 June 1998 16
S&P 500 69 1,089.09 June 1998 369
S&P 500 1 1,090.40 June 1998 5
S&P 500 5 1,099.90 June 1998 13
S&P 500 1 1,102.80 June 1998 2
S&P 500 1 1,108.00 June 1998 1
S&P 500 1 1,112.70 June 1998 (1)
S&P 500 9 1,124.80 June 1998 (32)
S&P 500 3 1,112.80 June 1998 (2)
S&P 500 3 1,108.50 June 1998 2
-------
$ 1,834
=======
Capital Appreciation
S&P 500 17 1,047.15 June 1998 $ 269
S&P 500 10 1,102.60 June 1998 20
S&P 500 3 1,102.80 June 1998 5
-------
$ 294
=======
Equity Income
S&P 500 13 1,047.15 June 1998 $ 206
S&P 500 23 1,080.90 June 1998 170
-------
$ 376
=======
59
<PAGE>
NOTES
<PAGE>
- -------------------
SEI INSTITUTIONAL
- -------------------
MANAGED TRUST
- -------------------
SEMI-ANNUAL REPORT
- -------------------
MARCH 31, 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
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 ADVISOR
EQUITY & BALANCED PORTFOLIOS
SEI Investments Management Corporation
FIXED INCOME PORTFOLIOS
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
THIS SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST
BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE
NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE
SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION
(FDIC), THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN
THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL.
FOR MORE INFORMATION CALL
1[BULLET]800[BULLET]DIAL[BULLET]SEI/1[BULLET]800[BULLET]342[BULLET]5734
<PAGE>
[LOGO OMITTED]
SEI
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-092-05
