Annual Report as of
September 30, 1999
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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SEI Investments
The art of people.
The science of results.
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TABLE OF CONTENTS
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Management's Discussion and Analysis of
Fund Performance...................................... 1
Report of Independent Accountants......................... 16
Statements of Net Assets
/Schedules of Investments.............................. 17
Statement of Assets and Liabilities....................... 72
Statements of Operations.................................. 73
Statements of Changes in Net Assets....................... 75
Financial Highlights...................................... 77
Notes to Financial Statements............................. 80
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI Institutional Managed Trust -- September 30, 1999
Large Cap Value Fund
Adviser--SEI Investments Management Corporation
Sub-Advisers--Mellon Equity Associates
Sanford C. Bernstein
LSV Asset Management
OBJECTIVE
The Fund seeks to provide long-term growth of capital and income.
STRATEGY
With respect to this Fund, SEI Investments Management Corporation employs
a multi-manager structure to gain exposure to the entire large cap value sector,
adding value through stock selection while minimizing risk in the form of
capitalization, valuation and economic sector exposures. Assets of the Fund are
strategically allocated among its three sub-advisers, each of whom has
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a
unique expertise or substyle to the Fund. LSV Asset Management invests in
companies trading at deep discounts to their intrinsic value. Mellon Equity
Associates invests primarily in large cap value stocks that are representative
of the market. Sanford C. Bernstein incorporates intensive fundamental research
to invest in undervalued stocks where there is a relationship between the
current price, its future earnings power and dividend producing capability.
Each of the aforementioned sub-styles assumes a different importance in
determining overall style risk, and must therefore be weighted accordingly.
ANALYSIS
The Large Cap Value Fund posted a 17.1% return for the fiscal year ended
September 30, 1999 as a result of continued moderate inflation in the United
States, a resurgence of global economies which lifted commodity prices, and
controls on the production of oil.
Even within the Value area of the marketplace there was still a heavy
appetite for technology oriented names, which lead performance for the year. The
traditional slow growth industry of telephones was bolstered by a spate of
mergers and broadening out of product lines to satisfy the need for bandwidth
driven by the proliferation of the Internet. Financial service names were
somewhat bolstered by ongoing moderate inflation and continued mergers. Basic
industries and commodities rebounded from lows as the global economy improved
and OPEC instituted oil production constraints.
The Fund performed relatively in line with the benchmark for the year
benefiting from strong stock selection, which offset weak performance from
industry exposures. Strong stock selection was centered within the banking and
finance industries. An overweight to retail and underweight to telephone stocks
caused performance to lag.
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LARGE CAP VALUE
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AVERAGE ANNUAL TOTAL RETURN(1)
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One Year Annualized Annualized
Return 3 Year Return Inception to Date
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17.13% 18.51% 20.18%
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Comparison of Change in the Value of a $10,000 Investment in the Large Cap Value
Fund, versus the Frank Russell 1000 Value Index, the S&P 500 Composite Index,
and the S&P 500/BARRA Value Index
In the printed version, a line graph appears which depicts the following
plot points:
Large Cap Frank Russell S&P 500/
Growth Fund 1000 Growth Index BARRA Growth Index
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12/31/94 10,000 10,000 10,000
9/95 12,751 13,123 13,079
9/96 15,377 15,931 15,964
9/97 22,196 21,714 22,586
9/98 24,049 24,124 26,690
9/99 33,126 32,532 35,602
(1)For the period ended 9/30/99. Past performance is not predictive of future
performance. The performance indicated above begins on October 3, 1994 at which
time Mellon Equity Associates acted as investment adviser to the Fund. Previous
periods during which the Fund was advised by another investment adviser are not
shown.
1
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI Institutional Managed Trust -- September 30, 1999
Large Cap Growth Fund
Adviser--SEI Investments Management Corporation
Sub-Advisers--Alliance Capital Management, L.P.
TCW Funds Management Inc.
Provident Investment Counsel
OBJECTIVE
The investment objective of the Large Cap Growth Fund is capital
appreciation.
STRATEGY
With respect to this Fund, SEI Investments Management Corporation employs
a multi-manager structure to gain exposure to the entire large cap growth
sector, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. Assets of the Fund
are strategically allocated among its sub-advisers, each of which has
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a
unique expertise or sub-style to the Fund. Alliance Capital Management, L.P.
invests in large cap growth stocks that are representative of the market. TCW
Funds Management Inc. invests bottom-up primarily in large-cap growth stocks
while assessing the operating prospects of each prospective holding. Provident
Investment Counsel invests primarily in mid-cap and large-cap stocks which are
expected to demonstrate very high long term earnings growth. Each of the
aforementioned sub-styles assumes a different importance in determining overall
style risk, and must therefore be weighted accordingly.
ANALYSIS
The Large Cap Growth Fund posted a return of 37.7% for the fiscal year
ended September 30, 1999 as this sector once again dominated the performance of
the broad domestic equity market driven by continued strong corporate profits,
moderate inflation and a relatively calm international landscape.
Returns were driven by the largest technology names in the index,
especially those who derive benefit from the proliferation of the Internet. This
area of the market significantly exceeded the performance of smaller companies
and the value sector of the market. Performance across individual securities was
highly variable for the year with companies in slower growth industries
experiencing moderate returns and those that failed to meet analyst expectations
punished severely.
The Fund's return relative to the market was attributable to both
individual security selection as well as industry and style exposures. Strong
stock selection was experienced in the miscellaneous finance area, where
companies derived strong revenue growth from Internet trading, and the business
services industry. From an industry perspective the Fund's active bet to
underweight the more slowly growing drugs and food industries proved to be
positive.
The underlying manager structure remained constant during the year. Fund
risk continues to be driven almost exclusively by stock specific issues, with
industry and style exposures making up the residual.
2
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LARGE CAP GROWTH
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AVERAGE ANNUAL TOTAL RETURN(1)
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One Year Annualized Annualized
Return 3 Year Return Inception to Date
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37.74% 29.15% 28.66%
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Comparison of Change in the Value of a $10,000 Investment in the Large Cap
Growth Fund, versus the Frank Russell 1000 Growth Index, and the S&P 500/BARRA
Growth Index
In the printed version, a line graph appears which depicts the following
plot points:
Large Cap Frank Russell S&P 500/
Growth Fund 1000 Growth Index BARRA Growth Index
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12/31/94 10,000 10,000 10,000
9/95 12,751 13,123 13,079
9/96 15,377 15,931 15,964
9/97 22,196 21,714 22,586
9/98 24,049 24,124 26,690
9/99 33,126 32,532 35,602
(1) For the period ended 9/30/99. Past performance of the Fund is not predictive
of future performance. Shares of the Fund were offset beginning 12/20/94.
Tax-Managed Large
Cap Fund
Adviser--SEI Investments Management Corporation
Sub-Adviser--Alliance Capital Management, L.P.
Mellon Equity Associates
Sanford C. Bernstein & Company, Inc.
OBJECTIVE
The investment objective of the Tax-Managed Large Cap Fund is to achieve
high long-term after-tax returns for its shareholders.
STRATEGY
With respect to this Fund, SEI Investments Management Corporation employs
a multi-manager structure to gain exposure to the entire U.S. large cap market,
adding value through stock selection in a tax-aware framework while minimizing
risk in the form of capitalization, valuation and economic sector exposures.
Assets of the Fund are strategically allocated among its sub-advisers, each of
which has responsibility for stock selection for its respective assets under
management.
Through various investment approaches, each sub-adviser contributes a
unique expertise to the Fund. Alliance Capital Management, L.P. invests in the
large cap growth area of the market employing tax-aware trading techniques.
Sanford C. Bernstein and Company, Inc. invests in the large-cap value area of
the market utilizing a sophisticated tax-aware optimizer to manage after-tax
return and risk exposures. Mellon Equity Associates invests in both value and
growth large-cap stocks through a quantitative process and aggressively harvests
tax-losses in the portfolio. Each of the aforementioned managers is weighted to
minimize uncompensated style and industry risks relative to a broad-based large
cap benchmark.
ANALYSIS
The Tax-Managed Large Cap Fund returned 32.6% for the period ended
September 30, 1999. The domestic equity marketplace, and large cap stocks in
particular, benefited from continued domestic economic prosperity and
strengthening foreign economies particularly centered in Asia. Against this
backdrop and with the Fed lowering rates late last year, large cap companies as
a whole produced better than expected growth.
Once again growth stocks outperformed large cap, driven in large part by
the technology sector which has benefited from the proliferation of the
Internet. On the value side low rates and a strong economy helped financials
produce positive returns. One area of the marketplace which experienced a
resurgence after being maligned for some time was the basic industry and
commodity sector. This was driven by increased demand globally as well as OPEC
led oil production limitations.
3
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI Institutional Managed Trust -- September 30, 1999
The Fund experienced impressive relative performance during the quarter on
both a pre- and post-tax basis. Fund outperformance can be attributed to both
strong stock selection and relative industry exposures. Specific stocks which
helped performance were spread across industries and included such market
leaders as Cisco Systems, Microsoft, Dow Chemical, Solectron and Morgan Stanley
Dean Witter.
The current Fund is well positioned to exploit the strong global economy
and looming higher interest rates. The broad diversification and careful risk
control should help to moderate market volatility. The Fund continues to target
a style neutral position to the Russell 1000 Index that controls unnecessary
risk and puts the focus on stock selection from the specialist sub-advisers who
evaluate all Fund transactions in a tax-sensitive manner.
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Tax-Managed Large Cap
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AVERAGE ANNUAL TOTAL RETURN(1)
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One Year Annualized
Return Inception to Date
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32.60% 16.73%
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Comparison of Change in the Value of a $10,000 Investment in the Tax-Managed
Large Cap Fund, versus the Frank Russell 1000 Index
In the printed version, a line graph appears which depicts the following
plot points:
Tax-Managed Frank Russell
Large Cap Fund 1000 Index
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3/31/98 10,000 10,000
9/98 9,151 9,193
9/99 12,134 11,673
(1) For the period ended 9/30/99. Past performance of the Fund is not predictive
of future performance. Shares of the Fund were offered beginning 3/4/98.
Small Cap Value Fund
Adviser--SEI Investments Management Corporation
Sub-Advisers--Artisan Partners Limited Partnership
Boston Partners Asset Management
LSVAsset Management
Mellon EquityAssociates
Security Capital Inc., Global Capital
Management Group Inc.
OBJECTIVE
The Small Cap Value Fund seeks to provide capital appreciation.
STRATEGY
With respect to this Fund, SEI Investments Management Corporation employs
a multi-manager structure to gain exposure to the entire small cap value sector,
adding value through stock selection while minimizing risk in the form of
capitalization, valuation and economic sector exposures. The Small Cap Value
Fund is jointly sub-advised by five investment managers. Assets of the Fund are
strategically allocated among its five sub-advisers, each of which has a
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a
particular expertise or sub-style to the Fund. Using a bottom-up process,
Artisan Partners Limited Partnership seeks to identify companies which are
currently trading below the intrinsic value of the business that have little or
no institutional following. Boston Partners Asset Management, L.P. combines
quantitative and fundamental approaches to identify a company's fundamental
worth. LSV Asset Management invests in companies trading at deep discounts to
their intrinsic value that have exhibited some catalyst to turn
4
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around performance. Mellon Equity Associates adheres to a tightly
risk-controlled philosophy that focuses on stock selection while maintaining
portfolio characteristics very close to that of the Russell 2000 Value Index.
Security Capital is a Real Estate Investment Trust specialist seeking out
publicly traded real estate investment opportunities that provide an attractive
valuation to growth relationship. Each of the aforementioned sub-styles assumes
a different importance in determining overall style risk and must therefore be
weighted accordingly.
ANALYSIS
The Small Cap Value Fund posted a 4.5% return for the fiscal year ended
September 30, 1999. There were some changes in the Fund over the fiscal year.
First, 1838 Investment Advisers was terminated in June due to style related
issues, they were replaced by Artisan Partners, whose deep value orientation
improved the risk characteristics of the fund. Second, Security Capital was
added to the fund in September to improve the structure of the fund by
eliminating a persistent underweight to REIT's in the fund. Both of these
changes brought the funds characteristics closer in line to the Russell 2000
Value.
Small cap value stocks lagged their growth brethren as investors
disregarded relative valuations and invested heavily in Internet related names.
During most of the year assets flowed out of small cap value area of the market
into larger and more growth oriented names, which stunted returns. Continued
domestic economic prosperity and moderate inflation allowed for better than
expected earnings growth in many of the small cap value names. Returns across
industries were widely different for the year as technology oriented issues
performed well and commodity oriented names experienced extremely volatile
performance.
The Fund experienced strong stock selection and moderate outperformance
from industry weightings. In particular, strong stock selection was experienced
in the business services, construction, railroad and travel industries. From an
industry perspective the funds active underweight to interest sensitive stocks,
particularly in the banking industry, contributed positively. An underweight to
the electronics industry moderately detracted from performance.
The Fund continues to be positioned to capture the opportunities in the
small cap value area of the market under a variety of market conditions. To this
end, the Fund targets a style neutral position relative to the Russell 2000
Value Index to control unnecessary risks and put the focus on stock selection
from the specialist sub-advisers.
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SMALL CAP VALUE
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AVERAGE ANNUAL TOTAL RETURN(1)
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One Year Annualized Annualized
Return 3 Year Return Inception to Date
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4.47% 9.89% 13.05%
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Comparison of Change in the Value of a $10,000 Investment in the Small Cap Value
Fund, versus the Frank Russell 2000 Value Index
In the printed version, a line graph appears which depicts the following
plot points:
Small Cap Frank Russell
Value Fund 2000 Value Index
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12/31/94 10,000 10,000
9/95 11,889 12,219
9/96 13,180 13,866
9/97 19,396 19,780
9/98 16,742 17,250
9/99 17,491 18,255
(1) For the period ended 9/30/99. Past performance is not predictive of future
performance. Shares of the Fund were offered beginning 12/20/94.
5
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI Institutional Managed Trust -- September 30, 1999
Small Cap Growth Fund
Adviser--SEI Investments Management Corporation
Sub-Advisers--Furman Selz Capital Management
Nicholas-Applegate Capital Management
RS Investment Management
Wall Street Associates
Sawgrass Asset Management
OBJECTIVE
The Small Cap Growth Fund seeks to provide long-term capital appreciation.
STRATEGY
With respect to this Fund, SEI Investments Management Corporation employs
a multi-manager structure to gain exposure to the entire small cap growth
sector, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. The Small Cap Growth
Fund is jointly sub-advised by five investment managers. Assets of the Fund are
strategically allocated among its five sub-advisers, each of which has a
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a
particular expertise or sub-style to the Fund. Furman Selz Capital Management
invests primarily in stocks exhibiting relative price strength trading at
attractive valuations. Nicholas-Applegate Capital Management screens stocks for
high and accelerated earnings growth and then selects those with attractive
current prices relative to sustainable cash flow. RS Investment Management
pursues an investment strategy that focuses on emerging growth companies that
exhibit very high revenue growth. Wall Street Associates seeks out micro-cap
stocks with long-term earnings growth potential. Sawgrass Asset Management seeks
to invest in companies that exhibit reasonable relative valuations, strong
earnings momentum and rising analyst expectations. Each of the aforementioned
sub-styles assumes a different importance in determining overall style risk and
must therefore be weighted accordingly.
ANALYSIS
The Small Cap Growth Fund Class D
posted a 54.6% return for the fiscal year ended September 30, 1999. There were
some changes in the Fund over the fiscal year as Spyglass Asset Management was
terminated due to organizational concerns and performance issues. Sawgrass Asset
Management was added to the fund in the same time period to provide a unique
sub-style to the portfolio. This transition provided greater valuation
sensitivity to the portfolio while maintaining the growth characteristics in
line with the Russell 2000 Growth Index.
Small cap growth stocks were the second best performing style in the U.S.
equity marketplace for fiscal year 1999. Returns in this area of the marketplace
were driven predominately by stocks that were associated with the Internet in
some way. On balance all non- Internet related stocks within the Small Cap
Growth area of the marketplace continued to experience better than expected
earnings growth than Large Cap stocks. Commodity driven and finance related
names lagged for the year, both from their slower earnings growth relative to
technology names and investor neglect. Apparel and retail stocks continued to
lag the market as several specialty retailers experienced earnings
disappointments driven by poor seasonal offerings.
6
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The Fund's returns were bolstered relative to the index from both industry
weighting and stock specific holdings. In particular, several of the
sub-advisers correctly identified the investing opportunity of Internet stocks
and were able to be early investors in some of the best names. Additionally, our
managers made correct timing decisions to begin investing in more Internet
infrastructure names in areas like semi-conductor capital equipment makers.
These stocks are likely to produce more consistent returns due to the fact that
many of them actually have earnings and demand for the products will only
increase with the proliferation of the Internet. From an industry perspective
the fund's underweights to banks, chemicals, energy and oil were all positive.
The Fund continues to be positioned to capture the opportunities in the
small cap growth area of the market under a variety of market conditions. To
this end, the Fund targets a style neutral position relative to the Russell 2000
Growth Index to control unnecessary risks and put the focus on stock selection
from the specialist sub-advisers.
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SMALL CAP GROWTH
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AVERAGE ANNUAL TOTAL RETURN(1)
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Annualized Annualized
One Year 3 Year 5 Year Annualized
Return Return Return Inception to Date
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Class A 55.00% 10.11% 19.07% 18.44%
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Synthetic Class D 54.58% 9.77% 18.71% 17.06%*
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Synthetic Class D,
w/load 46.80% 7.91% 17.49% 15.95%*
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Comparison of Change in the Value of a $10,000 Investment in the Small Cap
Growth Fund, Institutional and Synthetic Class D, versus the Frank Russell 2000
Growth Index, the S&P 500 Composite Index, and the Wilshire Target Small Growth
Index
In the printed version, a line graph appears which depicts the following
plot points:
Small Cap
Small Cap Frank Russell S&P 500/ Wilshire Target Growth Fund
Growth Fund 2000 Growth 500 Composite Small Growth Class D
Class A Index Index Index (Synthetic)
----------- ------------- ------------- --------------- -----------
4/30/92 10,000 10,000 10,000 10,000 9,500
9/92 10,659 9,522 10,212 9,837 10,126
9/93 14,690 12,301 11,534 13,382 13,955
9/94 14,723 12,409 11,959 13,719 13,938
9/95 20,856 15,905 15,511 18,619 19,714
9/96 26,395 17,909 18,663 20,835 24,842
9/97 30,943 22,092 26,208 27,092 29,016
9/98 22,734 16,607 28,583 19,904 21,257
9/99 35,237 22,025 36,529 23,226 32,859
(1) For the period ended 9/30/99. Past performance is not predictive of future
performance. Class A and Class D shares of the Fund were offered beginning
4/20/92 and 5/2/94, respectively. The performance shown for the Class D shares
prior to such date is based on the performance of Class A adjusted to reflect
the maximum sales charge of 5.00% for the Class D shares.
*Actual, not synthetic.
Mid-Cap Fund
Adviser--SEI Investments Management Corporation
Sub-Adviser--Martingale Asset Management, L.P.
OBJECTIVE
The Fund seeks to provide long-term capital appreciation.
STRATEGY
The Fund's investment philosophy is based on a bottom-up stock selection
process that emphasizes securities that have dramatic earnings acceleration,
sustainable growth, positive relative price momentum and an attractive
valuation. This philosophy results in a Fund
7
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI Institutional Managed Trust -- September 30, 1999
which will tend to have a higher than average price-to-earnings ratio,
price-to-book ratio, and return on equity, and a lower than average dividend
yield.
ANALYSIS
The Mid-Cap Fund posted a 16.5% return for the fiscal year ended September
30, 1999 as the continued strength of the domestic economy and resurgence of
Asian markets provided a backdrop for good performance in technology related
issues as well as the more cyclical basic industries. The best performing area
of the marketplace continued to be the largest and most growth oriented names,
which are predominately found in the technology sector. Continued low inflation
and the Fed's decrease in interest rates allowed investors to substantiate the
historically high valuations. The capitalization bias of this Fund moderated its
performance relative to the broad market as investors shied away from smaller
issues, with the exception of Internet related stocks.
The Fund performed relatively well in comparison to the index for the past
year as industry weighting added value, which partially offset weak stock
selection. The Fund's overweight to the high growth industries of business
services, business machines, electronics and retail proved to be good decisions.
This helped offset poor stock specific decisions lead by holdings in Network
Associates, Waste Management, Office Depot and Rite Aid.
Going forward the Fund will continue to provide mid-cap exposure within
the domestic equity marketplace. The fund maintains broad diversification across
all sectors and holds in excess of 100 names.
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MID-CAP
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AVERAGE ANNUAL TOTAL RETURN(1)
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Annualized Annualized
One Year 3 Year 5 Year Annualized
Return Return Return Inception to Date
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16.53% 12.16% 14.42% 12.51%
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Comparison of Change in the Value of a $10,000 Investment in the Mid-Cap Fund,
versus the Frank Russell Mid-Cap Index, the S&P 500 Composite Index, and the
Wilshire Target Mid-Cap Growth Index
In the printed version, a line graph appears which depicts the following
plot points:
Frank Russell S&P 500 Wilshire Target
Mid-Cap Mid-Cap Composite Mid-Cap
Fund Index Index Growth Index
------- ------------- --------- ---------------
2/28/93 10,000 10,000 10,000 10,000
9/93 11,779 11,049 10,522 11,217
9/94 10,825 11,232 10,910 11,878
9/95 12,966 14,274 14,151 16,119
9/96 15,045 16,564 17,026 18,597
9/97 21,534 22,370 23,910 23,423
9/98 18,215 21,025 26,076 18,368
9/99 21,226 25,115 33,325 22,516
(1) For the period ended 9/30/99. Past performance of the Fund is not predictive
of future performance. Shares of the Fund were offered beginning 2/16/93.
Capital Appreciation Fund
Adviser--SEI Investments Management Corporation
Sub-Adviser--STI Capital Management, N.A.
OBJECTIVE
The Capital Appreciation Fund seeks to provide capital appreciation
through a diversified portfolio of common stocks. Dividend income is incidental
to the growth of capital. Securities are selected for the Fund based on factors
believed to be favorable for long-term appreciation, such as historical returns
on equity and earnings growth rates. Holdings in the Fund are rotated between
various market sectors based on economic analysis of the business cycle.
8
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STRATEGY
The investment management process followed by the sub-adviser emphasizes
business cycle analysis, sector rotation and stock selection. The sub-adviser
identifies market sectors that appear undervalued and/or are outperforming other
sectors during a specific interval in the business cycle. The sub-adviser then
selects securities with a history of growth and a P/E ratio below comparable
companies in that market sector. Trading ranges are assigned for the prices of
these companies and these companies are actively traded while the sector remains
in favor. As a sector's favor changes over the business cycle, holdings are
shifted into the sectors showing the most potential for return.
ANALYSIS
The Capital Appreciation Fund posted a 23.1% return for the fiscal year
ended September 30, 1999. The fund, and broad domestic equity market, managed
another year of strong gains bolstered by continued investor confidence, a
strong U.S. economy and a resurgence of economic prosperity in Asian economies.
For the year large cap and growth oriented companies continued to lead the
market driven by a stronger than expected domestic economy and new business
opportunities globally. This was particularly true for the technology area of
the marketplace. Commodity stocks also enjoyed favorable returns in the past
year driven by prosperity in emerging markets and OPEC controls to oil
production worldwide. Smaller cap issues, with the exception of Internet stocks,
continued to lag the market due in part to their domestic orientation and also a
lack of attention from the investing marketplace.
Returns within sectors were quite differentiated with higher growth
industries such as business machines, electronics, telephones and retail names
providing the market leadership. More value oriented or basic industries such as
chemicals, oil, energy and food stocks experienced much more moderate gains.
The portfolio benefited from its industry weightings for the year by
remaining overweighted to the high growth areas of the market mentioned above
and limiting exposure to industries such as drugs, energy and food. Moderate
weakness was experienced from specific stock selection within retail and
business services names.
The portfolio's largest weightings include healthcare, retail and
technology companies, with minor investments in utilities, capital goods and oil
companies. The portfolio is diversified across economic sectors and currently
holds more than 120 securities.
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CAPITAL APPRECIATION
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AVERAGE ANNUAL TOTAL RETURN(1)
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Annualized Annualize Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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23.13% 20.90% 20.77% 14.91% 16.07%
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Comparison of Change in the Value of a $10,000 Investment in the Capital
Appreciation Fund, versus the S&P 500 Composite Index, and the S&P 500/BARRA
Growth Index
In the printed version, a line graph appears which depicts the following
plot points:
Capital S&P 500 S&P 500/
Appreciation Fund Composite Index BARRA Growth Index
----------------- --------------- ------------------
9/30/89 10,000 10,000 10,000
9/90 9,425 9,077 9,462
9/91 12,412 11,900 12,813
9/92 13,777 13,220 14,252
9/93 15,638 14,930 14,760
9/94 15,621 15,481 15,778
9/95 18,594 20,079 20,777
9/96 22,711 24,159 25,360
9/97 30,437 33,927 35,879
9/98 32,592 37,001 42,399
9/99 40,130 47,287 56,556
(1) For the period ended 9/30/99. Past performance of the Fund is not predictive
of future performance. Shares of the Fund were offset beginning 3/1/88.
9
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI Institutional Managed Trust -- September 30, 1999
Equity Income Fund
Adviser--SEI Investments Management Corporation
Sub-Advisor--HighMark Capital Management, (previously
known as Pacific Alliance Capital Management)
OBJECTIVE
The Fund seeks to provide current income and, as a secondary objective,
moderate capital appreciation through a diversified portfolio of common stocks.
The Fund invests in securities that have a high current yield and a low level of
volatility relative to the market while participating in rising markets.
STRATEGY
The investment management process followed by the sub-adviser emphasizes
current income. The Fund is managed to provide a yield that is approximately 120
to 200 basis points above the yield on the S&P 500 Index. Securities that have
favorable long-term fundamental characteristics are selected for the Fund when
their current yields are at the upper end of their historic yield ranges. When
the price of a stock rises sufficiently to cause its yield to drop to the lower
end of this historic range, the security is a candidate to be sold. The yield of
a security might vary between its buy and sell range over a three or four year
cycle.
ANALYSIS
The Equity Income Fund posted a 15.4% return for the fiscal year ended
September 30, 1999 as its search for yield and appetite for more defensive names
did not allow the portfolio to participate fully in the strong market returns.
The best performing areas of the marketplace continued to be the largest
and most growth oriented names, which are predominately found in the technology
sector. Continued low inflation and the Fed's decrease in interest rates allowed
investors to substantiate the historically high valuations. Industry performance
was broadly positive as slower growth and more cyclical companies benefited from
an uptick in global demand.
The portfolio lagged the index due to both stock specific and industry
weighting decisions. The fund's underweight to the technology area, and in
particular electronics and business machines, hurt. Additionally an overweight
to financial services companies hurt as they were unable to keep pace with
technology names. From a stock selection perspective the portfolio was hurt by
its valuation discipline which didn't allow investment in the highest growth
names in the business machines, electronics and retail industries.
Going forward, the portfolio's diversification into mostly defensive
positions is expected to protect it from experiencing severe losses compared to
the market though it is not likely to fully participate in a strong market.
- --------------------------------------------------------------------------------
EQUITY INCOME
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1)
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
15.35% 16.04% 17.83% 13.08% 14.38%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the Equity Income
Fund, versus the Frank Russell 1000 Value Index, the S&P 500 Composite Index,
and the S&P 500/BARRA Value Index
In the printed version, a line graph appears which depicts the following
plot points:
Equity Frank Russell S&P 500 S&P 500/
Income Fund 1000 Value Index Composite Index BARRA Value Index
----------- ---------------- --------------- -----------------
9/30/89 10,000 10,000 10,000 10,000
9/90 8,498 8,473 9,077 8,641
9/91 11,223 10,924 11,900 10,971
9/92 12,682 12,279 13,220 12,152
9/93 14,881 15,422 14,930 14,887
9/94 15,041 15,319 15,481 14,969
9/95 18,500 19,561 20,079 19,116
9/96 21,862 23,072 24,159 22,681
9/97 29,176 32,836 33,927 31,574
9/98 29,617 34,018 37,001 31,514
9/99 34,163 40,383 47,287 38,280
(1) For the period ended 9/30/99. Past performance of the Fund is not predictive
of future performance. Shares of the Fund were offered beginning 6/2/88.
10
<PAGE>
Balanced Fund
Adviser--SEI Investments Management Corporation
Sub-Adviser--STI Capital Management, N.A.
OBJECTIVE
The Balanced Fund seeks to achieve total return while preserving capital
by investing in a combination of common stocks and fixed income securities. By
altering the mix of equity and fixed income securities, the Fund seeks to
minimize losses during declining equity markets while realizing strong returns
in rising markets.
STRATEGY
The manager views equities as the primary source of return in balanced
portfolios, with fixed income instruments primarily providing stability and
diversification. The Fund combines a core group of demonstrated growth stocks
with securities selected through business cycle analysis and sector rotation.
This approach tends to result in a fund of large capitalization stocks with
price-to-earnings ratios, growth rates and returns on equity higher than the
market averages. Fixed income selection attempts to provide fund stability and
incremental return by identifying inexpensive areas of the yield curve and
improving corporate credits.
ANALYSIS
The Balanced Fund posted an 11.2% return for the fiscal year ended
September 30, 1999. Once again equities lead fixed income securities due in
large part to continued strength in the domestic economy and better than
expected economic growth internationally. For most of the year the fixed income
portfolio benefited from declining interest rates driven by Fed rate changes.
For the year large cap and growth oriented companies continued to lead the
market driven by a stronger than expected domestic economy and new business
opportunities globally. This was particularly true for the technology area of
the marketplace. Commodity stocks also enjoyed positive returns in the past year
driven by prosperity in emerging markets and OPEC controls to oil production
worldwide. Smaller cap issues, with the exception of Internet stocks, continued
to lag the market due in part to their domestic orientation and also a lack of
attention from the investing marketplace.
Returns within sectors were quite differentiated with higher growth
industries such as business machines, electronics, telephones and retail names
providing the market leadership. More value oriented or basic industries such as
chemicals, oil, energy and food stocks experienced much more moderate gains.
The portfolio successfully managed to mitigate volatility from the
marketplace by investing in large domestic equities along with conservative
fixed income investments. The Balanced Fund continues to maintain
diversification across sectors and holdings in excess of 120 securities.
11
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
- --------------------------------------------------------------------------------
BALANCED
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1)
- --------------------------------------------------------------------------------
One Year Annualized Annualized Annualized
Return 3 Year Return 5 Year Return Inception to Date
- --------------------------------------------------------------------------------
11.22% 14.22% 14.55% 11.74%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the Balanced Fund,
versus the S&P 500 Composite Index, the Lehman Gov't./Corporate Index, and the
S&P 500/BARRA Growth Index
In the printed version, a line graph appears which depicts the following
plot points:
S&P 500 Lehman Gov't./ S&P 500/
Balanced Composite Corporate BARRA Growth
Fund Index Index Index
-------- --------- -------------- ------------
8/31/90 10,000 10,000 10,000 10,000
9/90 9,929 9,514 9,484 10,083
9/91 11,514 12,473 12,843 11,683
9/92 12,850 13,856 14,286 13,229
9/93 14,712 15,649 14,794 14,745
9/94 14,234 16,227 15,815 14,134
9/95 16,377 21,046 20,825 16,163
9/96 18,835 25,322 25,419 16,892
9/97 23,050 35,560 35,963 18,512
9/98 25,237 38,782 42,497 20,888
9/99 28,069 49,563 56,687 20,550
(1) For the period ended 9/30/99. Past performance of the Fund is not predictive
of future performance. Shares of the Fund were offered beginning 8/7/90.
Core Fixed Income Fund
Adviser--SEI Investments Management Corporation
Sub-Advisers--Western Asset Management Company
Firstar Investment Research &
Management Company, L.L.P.
BlackRock Financial Management, Inc.
OBJECTIVE
The Core Fixed Income Fund seeks to provide current income consistent with
the preservation of capital by investing in a diversified portfolio of fixed
income securities while also limiting fluctuations in principal value. The Fund
invests in every sector of the fixed income universe, including Treasuries,
agencies, mortgage-backed issues, investment-grade corporates, and Yankee bonds.
STRATEGY
With respect to this Fund, SEI Investments Management Corporation employs
a multi-manager structure. The sub-advisers' investment strategies focus on
sector rotation, both among and within sectors, and issue selection. Risk is
principally controlled by explicitly limiting fund interest rate exposure
relative to the Lehman Aggregate Bond Index. The sub-advisers focus on four key
areas in determining portfolio structure: duration weighting, term structure,
sector allocation, and issue selection. While the duration and term structure
decision underlie the implementation process, the advisers primarily concentrate
on sector and issue selection to add value. In addition, the sub-advisers may
use futures and options primarily for tactical hedging purposes and to implement
portfolio strategies more efficiently.
ANALYSIS
The Core Fixed Income Fund posted an -0.96% return for the fiscal year
ended September 30, 1999, underperforming the Lehman Aggregate Bond Index return
of -0.37 % over the same period. The U.S. Treasury market had a difficult year
and ended the fiscal period with interest rates 1% to 1.5% higher. The fiscal
year opened with interest rates at very low levels following a flight-to-safety
rally amid significant market turmoil. Responding to the global financial
crisis, the Fed had previously eased rates by 0.25% and the market had priced in
several more rate reductions. As the crisis subsided and investors moved out of
U.S. Treasuries and into other assets, interest rates began to rise. Interest
rates rose in every quarter of the fiscal year. Accommodative monetary policy
and excess global capacity supported strong growth in the U.S. in the early
months of 1999. In May, bond yields rose sharply in response to higher than
expected domestic growth and concerns that inflationary pressures were building.
This prompted two Fed rate hikes during the summer.
12
<PAGE>
- --------------------------------------------------------------------------------
In an environment of rising interest rates, the Fund's longer duration
posture, maintained between 105% and 110% of benchmark exposure throughout the
period, detracted from performance. However, the Fund's underweight to
intermediate term issues helped returns as intermediate term interest rates rose
by nearly twice as much as longer and shorter term yields.
Spreads in the corporate and mortgage markets moved dramatically over the
fiscal year. The funds overweight position in the corporate and mortgage sectors
benefited performance for the year as these sectors outperformed Treasuries on a
duration-adjusted basis. During the first part of the year, spreads narrowed as
stabilization in the global economic picture and robust growth in the U.S.
attracted investors to the extra yield offered by corporate bonds and mortgage
backed securities. However, during the later part of the year spreads suffered
due to the combination of robust new issuance in the corporate market and fears
of Fed rate hikes. In September of 1999, when the deluge of new corporate
issuance failed to materialize, spreads began to contract. The Fund began the
year with a modest overweight to corporate and mortgage spreads and increased
that overweight position as spreads widened into the summer of 1999. Overall the
Fund's sector positioning helped Fund returns.
During the first part of the fiscal year, lower quality investment grade
credits outperformed but later in the year these credits underperformed as
liquidity concerns weighed. The Fund's overweight to lower quality investment
grade credits hurt relative performance. Security selection contributed to
overall fund performance, reflecting manager skill in finding relative value
opportunities.
- --------------------------------------------------------------------------------
CORE FIXED INCOME
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1)
- --------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Annualized
Return Return Return Return Inception to Date
- --------------------------------------------------------------------------------
-0.96% 6.61% 7.97% 7.38% 7.54%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the Core Fixed
Income Fund, versus the Lehman Aggregate Bond Index
In the printed version, a line graph appears which depicts the following
plot points:
Core Fixed Lehman Aggregate
Income Fund Bond Index
----------- ----------------
9/30/89 10,000 10,000
9/90 10,658 10,755
9/91 12,077 12,475
9/92 13,511 14,042
9/93 14,672 15,443
9/94 13,877 14,946
9/95 16,091 17,048
9/96 16,817 17,880
9/97 18,465 19,622
9/98 20,573 21,879
9/99 20,376 21,798
(1) For the period ended 9/30/99. Past performance of the Fund is not predictive
of future performance. Shares of the Fund were offered beginning 5/4/87.
High Yield Bond Fund
Adviser--SEI Investments Management Corporation
Sub-Advisers--Credit Suisse Asset Management
Nomura Corporate Research and
Asset Management
OBJECTIVE
The High Yield Bond Fund seeks to maximize total return by investing
primarily in a diversified portfolio of higher yielding, lower rated fixed
income securities. The strategy seeks to achieve a high level of total return
through sector rotation and security selection.
STRATEGY
Fund strategy is to identify high yield market sectors and securities that
offer investment opportunities through the analysis of macro-
13
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
economic, interest rate, industry, and technical factors. Those companies that
are best suited to benefit from the identified trends are then selected for
investment. Risk is controlled through a high level of diversification, and by
performing detailed and ongoing credit analysis on the companies considered and
purchased.
ANALYSIS
The High Yield Bond Fund posted a 3.51% return for the fiscal year ended
September 30, 1999.
Effective 12/31/98, the CS First Boston (CSFB) Domestic Plus High Yield
Index replaced the CS First Boston Global High Yield Index as the benchmark for
the SIMT High Yield Fixed Income Fund. The new CSFB Domestic Plus High Yield
Index is a sub-sector of the existing CSFB Global High Yield Index, and includes
primarily U.S. issuance and G7+ country issuance that is U.S. dollar
denominated. The exclusion of emerging market corporate debt is the only
differentiating characteristic of the domestic index versus the global index.
Nomura Corporate Research and Asset Management was added as an additional
sub-adviser to the Fund at the close of the year. Nomura Corporate Research and
Asset Management emphasizes a research-intensive, bottom-up approach to identify
fundamentally strong and quality companies. The addition of Nomura is expected
to compliment the Fund's existing top-down style, thus enhancing the overall
risk/return profile of the Fund. The Fund will maintain a 70% allocation to
Credit Suisse Asset Management and a 30% allocation to Nomura Corporate Research
and Asset Management. These allocations are targeted to be fully implemented by
the second quarter of 2000.
Despite a come back in the market for the majority of the fiscal year,
mounting concern over higher interest rates and sustained liquidity in the
marketplace reversed earlier period positive momentum. The aura of uncertainty
in the global markets that had plagued investors for some time dwindled during
the year amid signs of economic recovery in Southeast Asia and a healthy
European economy. Unfortunately, the high yield market could not maintain its
positive momentum and lost ground at the end of the year. Bearish market
sentiment evolved as interest rates inched upward in the U.S., and cash inflows
decreased and subsequently turned negative coupled with constrained
broker-dealer liquidity. Liquidity constraints surfaced due to broker-dealers
still stunned by previous period losses that occurred as a result of the Asian
and Russian crises, and concerns over year-end and Y2K. Also weighing down the
market was evidence of increasing defaults and negative sector-specific events.
Volatility remained a consistent characteristic in the market, and through out
the period, the market was forced to battle increased volatility. However, all
was not gloom for the market. Higher commodity prices served to lift
commodity-related sector returns such as energy, and paper and packaging, while
merger and acquisition (M&A) activity dominated the telecommunication, cable,
and gaming sectors and helped to support prices in these sectors. Spreads
narrowed somewhat during the year, but still remained wide relative to the
rolling 10-year average. A more risk-averse investor profile and tightened
liquidity left the high yield market spread, relative to the 10-year Treasury,
at 607 basis points at the close of the period.
14
<PAGE>
- --------------------------------------------------------------------------------
For the most part, performance of the Fund was a story of what the Fund
did not own versus what it did own during the year! This was particularly seen
in the general industrial sector where the Fund's positive security selection
greatly benefited return. Within the mobile communications sector, M&A activity
positively contributed to performance complimented by an underweight to
satellite and paging issues. The satellite sector came under pressure as
companies such as Iridium and ICO Global defaulted on their debt obligations.
Paging issues drifted downward in price amid stepped-up competition and
lower-than expected earnings.
The Fund's underweight to the healthcare sector and long-term care
securities also bolstered return. The healthcare sector posted the worst
performance for the year. Long-term care securities pulled down returns within
the overall sector due to unfavorable regulatory changes in U.S. Medicare
reimbursement practices.
Merger and acquisition activity in the fixed telecom sector also served to
enhance return of the Fund. As a whole, the telecom sector benefited from
favorable M&A activity, and the Fund's holdings in issues such as Sprint
Spectrum, IXC Communications, and Global Crossing that were either acquired, or
merged, with other companies during the year lifted return.
Within the gaming sector, continued consolidation in the casino industry,
in addition to strong gaming revenues, served to bolster the Fund's return. An
underweight to Atlantic City issues and a focus on off-strip Las Vegas and
emerging, or non-Las Vegas, issues credits was a plus.
The Fund's underweight to the paper and packaging sector, and in
particular paper-related issues, dampened performance somewhat. As the global
economy began to recover, thus serving as a catalyst for improved commodity
prices, the paper and packaging sector performed exceptionally well. This strong
performance was most predominant in the fourth quarter of 1998. This sector had
been severely distressed for some time through out 1997 and 1998 and was poised
for a rebound. Given the strength in commodity prices, the Fund has begun to
increase its exposure to paper-related issues.
Consistent with the positive trend in the global economy and commodities,
in addition to diminished supply, oil prices rebounded throughout 1999. Energy
companies held by the Fund did not benefit from rallying oil prices, and this
negatively impacted return.
Given near-term uncertainty and an unstable market environment, the Fund
will continue to focus on more liquid and fundamentally sound sectors and
securities.
- --------------------------------------------------------------------------------
HIGH YIELD BOND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN(1)
- --------------------------------------------------------------------------------
One Year Annualized Annualized
Return 3 Year Return Inception to Date
- --------------------------------------------------------------------------------
3.51% 6.86% 10.24%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the High Yield Bond
Fund, versus the CS First Boston Global High Yield Index(2)
In the printed version, a line graph appears which depicts the following
plot points:
CS First Boston
High Yield Global High
Bond Fund Yield Index
---------- ---------------
1/31/95 10,000 10,000
9/95 11,254 11,282
9/96 12,994 12,508
9/97 14,982 14,474
9/98 15,319 14,399
9/99 15,856 14,968
(1) For the period ended 9/30/99. Past performance of the Fund is not predictive
of future performance. Shares of the Fund were offered beginning 1/11/95.
(2) The inception date of the CS First Boston Domestic Plus High Yield Index was
12/31/98. Index performance less than a year is not shown in the graph.
15
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of
SEI Institutional Managed Trust
In our opinion, the accompanying statements of net assets and statement of
assets and liabilities, including the schedule of investments, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Small Cap Value, Small
Cap Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, Core Fixed
Income and High Yield Bond Funds (constituting SEI Institutional Managed Trust,
hereafter referred to as the "Trust") at September 30, 1999, the results of
their operations, the changes in their net assets and the financial highlights
for the periods presented, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Trust's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at September 30, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 24, 1999
16
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Large Cap Value Fund
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stocks -- 97.6%
Aerospace & Defense -- 1.0%
Cordant Technologies 202,000 $ 6,148
Litton Industries* 220,300 12,061
Lockheed Martin 214,500 7,011
---------
25,220
---------
Air Transportation -- 0.6%
AMR* 119,100 6,491
Continental Airlines, Cl B* 22,800 747
Delta Air Lines 139,200 6,751
---------
13,989
---------
Aircraft -- 3.0%
Allied Signal 432,000 25,893
Rockwell International 405,600 21,294
United Technologies 461,600 27,379
---------
74,566
---------
Apparel/Textiles -- 0.4%
VF 287,800 8,922
---------
Automotive -- 2.9%
Delphi Automotive Systems* 114,344 1,837
Ford Motor 842,100 42,263
General Motors 177,500 11,171
Genuine Parts 163,200 4,335
Navistar International* 225,000 10,462
---------
70,068
---------
Banks -- 11.9%
Amsouth Bancorp 332,775 7,799
Astoria Financial* 195,600 6,015
Bank of America 1,149,583 64,017
Bank One 890,696 31,007
Chase Manhattan 754,400 56,863
Comerica 295,700 14,970
Commerce Bancshares 123,965 4,385
Firstar 414,000 10,609
Fleet Financial Group 474,000 17,360
Golden West Financial 123,500 12,134
JP Morgan 92,100 10,522
MBNA 634,300 14,470
PNC Bank 571,400 30,106
Republic New York 202,100 12,417
---------
292,674
---------
Broadcasting, Newspapers & Advertising -- 0.2%
Fox Entertainment Group, Cl A* 221,500 4,679
---------
Building & Construction -- 0.8%
Centex 309,500 9,150
Fluor 183,900 7,402
Pulte 185,000 4,024
---------
20,576
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Chemicals -- 6.5%
Dow Chemical 576,900 $ 65,550
Eastman Chemical 175,900 7,036
EI du Pont de Nemours 191,700 11,670
FMC* 212,700 10,263
Lubrizol 143,700 3,691
Millenium Chemicals 102,200 2,089
Nalco Chemical 142,600 7,201
PPG Industries 327,400 19,644
Praxair 345,800 15,907
Union Carbide 294,300 16,720
--------
159,771
--------
Communications Equipment -- 1.4%
GTE 239,200 18,389
Harris 166,400 4,597
Sprint 229,200 12,434
--------
35,420
--------
Computers & Services -- 4.4%
Apple Computer* 277,400 17,563
Cirrus Logic* 220,800 17,774
IBM 325,500 39,508
Quantum - DLT &
Storage Systems* 384,900 5,413
Quantum Corp-Hard Disk drive* 192,450 1,431
Seagate Technology* 387,700 11,946
Unisys* 309,000 13,944
--------
107,579
--------
Concrete & Mineral Products -- 0.1%
Owens-Corning Fiberglass 100,500 2,180
--------
Containers & Packaging -- 0.5%
Ball 163,000 7,182
Crown Cork & Seal 194,900 4,726
--------
11,908
--------
Drugs -- 1.2%
Eli Lilly 81,200 5,197
Pharmacia & Upjohn 138,400 6,868
Schering Plough 397,100 17,323
--------
29,388
--------
Electrical Services -- 5.9%
American Electric Power 179,300 6,119
Central & South West 298,700 6,310
Consolidated Edison 230,600 9,570
Constellation Energy Group* 318,300 8,952
DTE Energy 129,500 4,678
Edison International 461,400 11,218
Energy East 443,800 10,540
FPL Group 278,500 14,029
New Century Energies 101,500 3,394
17
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Large Cap Value Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
PG&E 378,200 $ 9,786
Pinnacle West Capital 236,700 8,610
Public Service Enterprise Group 715,000 27,617
Reliant Energy 118,000 3,193
Southern 614,500 15,823
Wisconsin Energy 217,300 5,093
---------
144,932
---------
Entertainment -- 0.2%
King World Productions* 108,400 4,065
---------
Financial Services -- 2.8%
Bear Stearns 279,000 10,724
Countrywide Credit Industries 352,300 11,362
FNMA 336,600 21,101
Greenpoint Financial 125,400 3,331
Lehman Brothers 172,700 10,071
Morgan Stanley 131,500 11,728
---------
68,317
---------
Food, Beverage & Tobacco -- 3.0%
Adolph Coors, Cl B 155,800 8,433
Conagra 275,000 6,205
Earthgrains 125,000 2,766
General Mills 122,000 9,897
IBP 722,100 17,827
Nabisco Group 182,100 2,732
Philip Morris 282,825 9,669
Ralston-Ralston Purina Group 356,000 9,901
RJ Reynolds Tobacco* 84,333 2,277
Tyson Foods 195,200 3,209
---------
72,916
---------
Gas/Natural Gas -- 0.4%
National Fuel & Gas 104,900 4,950
Sempra Energy* 198,000 4,121
---------
9,071
---------
Household Products -- 0.8%
Maytag 413,100 13,761
Whirlpool 105,600 6,897
---------
20,658
---------
Insurance -- 8.4%
Aetna 164,800 8,116
Allstate* 771,800 19,247
Ambac 267,700 12,682
American General 100,600 6,357
Chubb 156,700 7,806
Cigna 348,500 27,096
Citigroup 793,650 34,921
Conseco 326,700 6,309
Financial Security Assurance 97,400 5,034
Foundation Health Systems, Cl A* 26,600 251
Hartford Financial Services Group 511,200 20,895
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Lincoln National 225,800 $ 8,482
Marsh & McLennan 139,200 9,535
MBIA 76,200 3,553
Old Republic International 178,150 2,572
Pacificare Health Systems* 44,900 1,942
Penncorp Financial Group 173,800 7,104
Providian Financial 102,600 8,125
St. Paul 278,478 7,658
XL Capital, Cl A 197,200 8,874
---------
206,559
---------
Machinery -- 1.3%
Caterpillar 278,600 15,271
Cummins Engine 213,400 10,630
NACCO Industries, Cl A 27,700 1,936
Timken 201,200 3,244
---------
31,081
---------
Measuring Devices -- 0.5%
Mallinckrodt 367,000 11,079
---------
Medical Products & Services -- 1.2%
Bausch & Lomb 346,600 22,854
Becton, Dickinson 219,700 6,165
---------
29,019
---------
Miscellaneous Business Services -- 1.4%
Compuware* 228,200 5,947
NCR* 137,500 4,546
Oracle Systems* 184,950 8,415
Reynolds & Reynolds, Cl A 267,900 5,458
Symantec* 253,000 9,100
---------
33,466
---------
Miscellaneous Manufacturing -- 0.6%
Cooper Industries 126,943 5,935
Tyco International Ltd. 95,000 9,809
---------
15,744
---------
Paper & Paper Products -- 3.6%
Boise Cascade 166,600 6,070
Champion International 649,000 33,342
Consolidated Papers 118,900 3,195
Georgia-Pacific 254,000 10,287
International Paper 606,724 29,161
Mead 85,800 2,949
Westvaco 157,500 4,036
---------
89,040
---------
Petroleum & Fuel Products -- 3.2%
Atlantic Richfield 411,400 36,460
Diamond Offshore Drilling 309,900 10,343
Occidental Petroleum 581,600 13,450
Phillips Petroleum 396,800 19,344
---------
79,597
---------
18
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Petroleum Refining -- 6.0%
Ashland 99,100 $ 3,332
Chevron 185,200 16,437
Coastal 375,800 15,384
Exxon 828,500 62,914
Lyondell Petrochemical 143,200 1,915
Mobil 322,500 32,492
Sunoco 159,910 4,378
USX-Marathon Group 334,700 9,790
---------
146,642
---------
Printing & Publishing -- 1.8%
Electronics for Imaging* 54,100 2,781
Gannett 295,200 20,424
Lafarge 274,800 8,828
Tribune 246,200 12,248
---------
44,281
---------
Railroads -- 2.4%
Canadian Pacific Ltd. 167,600 3,823
CSX 508,800 21,560
Norfolk Southern 482,600 11,824
Union Pacific 442,625 21,274
---------
58,481
---------
Retail -- 5.3%
Darden Restaurants 412,000 8,060
Dayton-Hudson 218,500 13,124
Dillards, Cl A 179,700 3,650
Federated Department Stores* 450,400 19,677
Great Atlantic & Pacific Tea 211,400 6,408
JC Penney 449,460 15,450
Kmart* 1,069,000 12,494
May Department Stores 218,962 7,978
Ross Stores 113,500 2,284
Ruddick 113,600 1,803
Safeway* 235,200 8,952
Sears Roebuck 680,100 21,338
Tech Data* 70,000 1,630
TJX 233,300 6,547
---------
129,395
---------
Rubber & Plastic -- 1.3%
Cooper Tire & Rubber 153,700 2,709
Goodyear Tire & Rubber 334,000 16,074
Premark International 242,500 12,246
---------
31,029
---------
Semi-Conductors/Instruments -- 0.1%
Conexant Systems* 27,250 1,980
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Specialty Machinery -- 0.5%
American Standard* 144,000 $ 5,526
Tecumseh Products, Cl A 119,300 5,980
---------
11,506
---------
Steel & Steel Works -- 1.0%
AK Steel Holding 413,600 7,548
Alcan Aluminum 286,261 8,946
Alcoa 68,700 4,264
Texas Industries 109,300 4,044
---------
24,802
---------
Telephones & Telecommunication -- 9.8%
Alltel 280,700 19,754
Ameritech 738,100 49,591
AT&T 897,550 39,043
BellSouth 984,400 44,298
Lucent Technologies 140,000 9,083
MCI WorldCom* 435,900 31,330
Motorola 128,600 11,317
SBC Telecommunications 191,100 9,758
Sprint (PCS Group)* 55,850 4,164
Telephone & Data Systems 132,000 11,723
US West 184,500 10,528
---------
240,589
---------
Trucking -- 0.1%
Ryder System 18,200 371
Yellow* 154,800 2,564
---------
2,935
---------
Wholesale -- 1.1%
Arrow Electronics* 115,000 2,027
Avnet 46,300 1,945
Bergen Brunswig, Cl A 214,500 2,225
BJ Wholesale Club* 398,200 11,772
Supervalu 453,800 9,899
---------
27,868
---------
Total Common Stocks
(Cost $2,302,386) 2,391,992
---------
U.S. Treasury Obligation -- 0.1%
U. S. Treasury Bill
0.000%, 02/03/00 (A) 2,700 2,656
---------
Total U.S. Treasury Obligation
(Cost $2,658) 2,656
---------
19
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Large Cap Value Fund--Concluded
- --------------------------------------------------------------------------------
Face Market
Description Amount (000)/Shares Value (000)
- --------------------------------------------------------------------------------
Repurchase Agreement -- 1.9%
J.P. Morgan
5.350%, dated 09/30/99, matures
10/01/99, repurchase price
$47,000,000 (collateralized by
U.S. Treasury Note, par value
$46,345,000, 6.250%, 04/30/01,
total market value: $47,933,000) $46,994 $ 46,994
----------
Total Repurchase Agreement
(Cost $46,994) 46,994
----------
Money Market -- 0.1%
Evergreen Select Money
Market Fund 2,614 2,614
----------
Total Money Market
(Cost $2,614) 2,614
----------
Total Investments -- 99.7%
(Cost $2,354,652) 2,444,256
----------
Other Assets and Liabilities, Net-- 0.3% 8,284
----------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 129,289,781 outstanding shares
of beneficial interest 2,249,122
Undistributed net investment income 7,716
Accumulated net realized gain
on investments 107,072
Net unrealized depreciation on futures (974)
Net unrealized appreciation on investments 89,604
----------
Total Net Assets -- 100.0% $2,452,540
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $18.97
==========
* Non-income producing security
(A) Security pledged as collateral on open futures contract.
Cl -- Class
FNMA -- Federal National Mortgage Association
Ltd. -- Limited
The accompanying notes are an integral part of the financial statements.
Large Cap Growth Fund
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stocks -- 97.0%
Aircraft -- 1.9%
Allied Signal 391,500 $ 23,466
United Technologies 448,700 26,614
---------
50,080
---------
Automotive -- 0.3%
Delphi Automotive Systems* 426,200 6,846
---------
Banks -- 3.0%
Bank of America 455,600 25,371
Chase Manhattan 253,100 19,077
MBNA 1,481,987 33,808
---------
78,256
---------
Beauty Products -- 1.3%
Avon Products 141,500 3,511
Colgate-Palmolive 416,000 19,032
Procter & Gamble 110,600 10,369
---------
32,912
---------
Broadcasting, Newspapers & Advertising -- 2.1%
Clear Channel Communications* 172,200 13,754
Cox Communications* 357,000 14,905
Mediaone Group* 381,500 26,061
---------
54,720
---------
Communications Equipment -- 1.9%
Nokia, Cl A, ADR 466,600 41,906
Tellabs* 139,000 7,914
---------
49,820
---------
Computers & Services -- 11.0%
Cirrus Logic* 196,600 15,826
Cisco Systems* 1,651,700 113,245
Dell Computer* 2,402,000 100,434
EMC* 378,100 27,011
IBM 268,000 32,528
---------
289,044
---------
Drugs -- 8.8%
Amgen* 145,000 11,817
Bristol-Myers Squibb 791,800 53,446
Genentech* 82,400 12,056
Pfizer 1,878,600 67,512
Schering Plough 1,184,000 51,652
Warner Lambert 540,600 35,882
---------
232,365
---------
20
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Electrical Services -- 0.5%
AES* 234,000 $ 13,806
---------
Entertainment -- 0.6%
Mirage Resorts* 1,139,500 16,024
---------
Financial Services -- 3.1%
Associates First Capital 575,800 20,729
Charles Schwab 508,400 17,127
Goldman Sachs Group* 20,700 1,263
Morgan Stanley 341,200 30,431
T. Rowe Price & Associates 403,900 11,082
---------
80,632
---------
Food, Beverage & Tobacco -- 1.2%
Coca-Cola 471,000 22,637
Philip Morris 294,400 10,065
---------
32,702
---------
Gas/Natural Gas -- 1.2%
Enron 744,600 30,715
---------
Household Products -- 3.5%
Gillette 246,700 8,372
Solectron* 1,153,800 82,857
---------
91,229
---------
Insurance -- 4.7%
American International Group 639,512 55,598
Citigroup 898,800 39,547
Progressive of Ohio 211,300 17,261
Providian Financial 149,500 11,839
---------
124,245
---------
Machinery -- 1.3%
Applied Materials* 313,100 24,324
Baker Hughes 362,900 10,524
---------
34,848
---------
Medical Products & Services -- 1.4%
Guidant 165,400 8,870
Medimmune* 75,600 7,534
Medtronic 563,000 19,986
---------
36,390
---------
Miscellaneous Business Services-- 8.6%
Altera* 654,500 28,389
Microsoft* 1,406,400 127,367
Pixar* 217,600 8,187
Siebel Systems* 434,400 28,942
Sun Microsystems* 369,800 34,391
---------
227,276
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Miscellaneous Consumer Services -- 0.4%
Robert Half International* 454,800 $ 10,915
---------
Miscellaneous Manufacturing -- 6.3%
General Electric 543,500 64,439
TYCO International, Ltd. 984,900 101,691
---------
166,130
---------
Petroleum & Fuel Products -- 1.3%
Noble Drilling* 667,000 14,591
Schlumberger 300,900 18,750
---------
33,341
---------
Printing & Publishing -- 1.7%
Time Warner 477,900 29,032
Viacom, Cl B* 370,000 15,632
---------
44,664
---------
Professional Services -- 1.1%
Gartner Group, Cl B* 1 --
Paychex 467,300 15,947
Veritas Software* 154,000 11,694
---------
27,641
---------
Railroads -- 0.9%
Kansas City Southern Industries 525,200 24,389
---------
Retail -- 10.3%
Bed Bath & Beyond* 272,200 9,510
Dayton-Hudson 198,000 11,892
Dollar Tree Stores* 201,200 8,035
Home Depot 1,390,500 95,423
Kohls* 764,100 50,526
Kroger* 962,900 21,244
Lowe's 276,000 13,455
Safeway* 287,600 10,947
The Gap 414,000 13,248
Wal-Mart Stores 754,500 35,886
---------
270,166
---------
Semi-Conductors/Instruments -- 7.7%
Intel 1,728,200 128,427
Maxim Integrated Products* 584,100 36,853
PMC-Sierra* 108,200 10,008
Texas Instruments 191,800 15,776
Vitesse Semiconductor* 135,400 11,560
---------
202,624
---------
Software -- 1.1%
America Online* 128,500 13,364
BMC Software* 230,100 16,467
---------
29,831
---------
21
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Large Cap Growth Fund--Continued
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Telephones & Telecommunication -- 9.3%
Alltel 253,300 $ 17,826
AT&T-Liberty Media, Cl A* 1,443,900 53,605
Lucent Technologies 812,500 52,711
MCI WorldCom* 1,010,600 72,637
McLeod USA, Cl A* 230,600 9,815
Motorola 273,500 24,068
Vodafone Group PLC ADR 60,500 14,384
----------
245,046
----------
Wholesale -- 0.5%
Costco* 173,900 12,521
----------
Total Common Stocks
(Cost $1,833,397) 2,549,178
----------
U.S. Treasury Obligation -- 0.1%
U.S. Treasury Bill
0.000%, 02/03/00 (A) 2,700 2,656
----------
Total U.S. Treasury Obligation
(Cost $2,658) 2,656
----------
Commercial Paper -- 1.1%
Ford Motor Credit
5.370%, 10/01/99 11,308 11,308
5.390%, 10/04/99 1,473 1,472
5.330%, 10/05/99 8,982 8,977
Prudential Funding
5.350%, 10/01/99 6,483 6,482
----------
Total Commercial Paper
(Cost $28,240) 28,239
----------
Repurchase Agreement -- 2.1%
Morgan Stanley
5.180%, dated 09/30/99, matures
10/01/99, repurchase price
$56,190,000 (collateralized by
U.S. Treasury Bond, par value
$48,439,000, 8.125%, 08/15/19,
total market value: $57,331,000) $56,182 56,182
----------
Total Repurchase Agreement
(Cost $56,182) 56,182
----------
Money Markets -- 0.7%
Evergreen Select Money
Market Fund 3,079 3,079
SEI Daily Income Trust Prime
Obligation Fund 16,156 16,156
----------
Total Money Markets
(Cost $19,235) 19,235
----------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Total Investments -- 101.1%
(Cost $1,939,712) $2,655,490
----------
Other Assets and Liabilities, Net -- (1.1%) (28,683)
----------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value)
based on 91,918,414 outstanding
shares of beneficial interest 1,827,341
Accumulated net realized gain
on investments 84,571
Net unrealized depreciation on futures (883)
Net unrealized appreciation on investments 715,778
----------
Total Net Assets -- 100.0% $2,626,807
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $28.58
==========
* 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.
Tax-Managed Large
Cap Fund
Common Stocks -- 95.1%
Aerospace & Defense -- 0.2%
Litton Industries* 13,300 $ 728
Lockheed Martin 12,500 409
----------
1,137
----------
Air Transportation -- 0.2%
Delta Air Lines 34,700 1,683
----------
Aircraft -- 2.1%
Allied Signal 131,700 7,894
United Technologies 121,114 7,184
----------
15,078
----------
Apparel/Textiles -- 0.4%
VF 91,300 2,830
----------
22
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Automotive -- 1.4%
Ford Motor 131,100 $ 6,580
Genuine Parts 130,200 3,458
---------
10,038
---------
Banks -- 9.7%
Bank of America 326,000 18,154
Bank One 313,630 10,918
Bankboston 92,000 3,990
Chase Manhattan 114,700 8,646
Comerica 40,900 2,071
First Union 283,000 10,064
Fleet Financial Group 74,100 2,714
Golden West Financial 25,300 2,486
MBNA 288,000 6,570
PNC Bank 36,200 1,907
Republic New York 20,000 1,229
---------
68,749
---------
Beauty Products -- 0.7%
Avon Products 24,000 595
Colgate-Palmolive 71,700 3,280
Dial 50,000 1,275
---------
5,150
---------
Broadcasting, Newspapers & Advertising -- 0.6%
Mediaone Group* 60,500 4,133
---------
Building & Construction -- 0.2%
Centex 45,000 1,330
---------
Chemicals -- 2.4%
Dow Chemical 78,400 8,908
Eastman Chemical 26,600 1,064
Lubrizol 28,300 727
Millenium Chemicals 50,600 1,034
Nalco Chemical 13,900 702
Praxair 62,100 2,857
Union Carbide 30,200 1,716
---------
17,008
---------
Communications Equipment -- 1.9%
GTE 49,000 3,767
Nokia, Cl A, ADR 73,300 6,583
Tellabs* 53,000 3,018
---------
13,368
---------
Computers & Services -- 7.2%
Ceridian* 96,000 2,388
Cirrus Logic* 46,000 3,703
Cisco Systems* 216,500 14,844
Dell Computer* 288,900 12,080
IBM 101,700 12,344
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Quantum -Dlt & Storagesystems* 71,700 $ 1,008
Quantum Corp-Hard Diskdrive* 35,850 267
Seagate Technology* 148,300 4,569
---------
51,203
---------
Concrete & Mineral Products -- 0.1%
Owens-Corning Fiberglass 20,700 449
---------
Containers & Packaging -- 0.5%
Crown Cork & Seal 90,000 2,182
Owens-Illinois* 83,300 1,650
---------
3,832
---------
Drugs -- 6.0%
Abbott Laboratories 100,000 3,675
Amgen* 51,800 4,222
Bristol-Myers Squibb 202,600 13,675
Pfizer 155,400 5,585
Schering Plough 272,500 11,888
Warner Lambert 49,300 3,272
---------
42,317
---------
Electrical Services -- 4.1%
AES* 37,500 2,212
American Electric Power 7,500 256
Central & South West 80,000 1,690
Cinergy 90,000 2,548
FirstEnergy* 162,900 4,154
New Century Energies 84,000 2,809
Northern States Power 52,000 1,121
PG&E 238,600 6,174
Pinnacle West Capital 78,000 2,837
Public Service Enterprise Group 77,000 2,974
Wisconsin Energy 111,100 2,604
---------
29,379
---------
Entertainment -- 0.3%
King World Productions* 47,000 1,762
---------
Financial Services -- 2.9%
Associates First Capital 86,700 3,121
FNMA 36,100 2,263
Household International 71,000 2,849
Morgan Stanley 101,000 9,008
SLM Holding 69,000 2,967
---------
20,208
---------
Food, Beverage & Tobacco -- 3.8%
Coca-Cola 52,000 2,499
Conagra 260,000 5,866
General Mills 47,700 3,870
IBP 24,400 602
Philip Morris 80,800 2,762
Quaker Oats 62,000 3,836
23
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Tax Managed Large Cap Fund--Concluded
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Ralston-Ralston Purina Group 120,000 $ 3,338
RJ Reynolds Tobacco Holdings* 7,566 204
Sara Lee 80,300 1,882
Tyson Foods 137,700 2,263
---------
27,122
---------
Gas/Natural Gas -- 0.4%
El Paso Natural Gas 53,000 2,110
Utilicorp United 41,600 876
---------
2,986
---------
Household Products -- 1.8%
Maytag 33,000 1,099
Solectron* 129,100 9,271
Whirlpool 35,000 2,286
---------
12,656
---------
Insurance -- 4.5%
Aetna 6,500 320
American General 12,800 809
American International Group 51,300 4,460
Chubb 81,600 4,065
Cigna 7,020 546
Citigroup 253,000 11,132
Conseco 140,000 2,704
MBIA 45,000 2,098
Pacificare Health Systems* 1,550 67
Safeco 90,000 2,520
St. Paul 13,000 358
XL Capital, Cl A 66,500 2,993
---------
32,072
---------
Leisure Products -- 0.6%
Mattel 222,000 4,218
---------
Machinery -- 0.8%
Applied Materials* 47,600 3,698
Ingersoll Rand 42,000 2,307
---------
6,005
---------
Medical Products & Services -- 1.4%
Guidant 33,300 1,786
Johnson & Johnson 52,200 4,796
Medtronic 88,400 3,138
---------
9,720
---------
Miscellaneous Business Services -- 4.5%
Adaptec* 59,500 2,361
Altera* 103,000 4,468
Microsoft* 175,300 15,876
Oracle Systems* 133,200 6,061
Sun Microsystems* 33,000 3,069
---------
31,835
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Miscellaneous Manufacturing -- 4.6%
Cooper Industries 56,500 $ 2,641
General Electric 159,300 18,887
Tyco International Ltd. 109,100 11,265
---------
32,793
---------
Paper & Paper Products -- 2.8%
Champion International 34,900 1,793
Consolidated Papers 27,700 744
Georgia-Pacific 57,600 2,333
International Paper 140,348 6,745
Kimberly-Clark 50,000 2,625
Mead 4,400 151
Smurfit-Stone Container* 135,000 2,919
Temple-Inland 18,500 1,119
Westvaco 13,800 354
Willamette Industries 25,000 1,078
---------
19,861
---------
Petroleum & Fuel Products -- 1.9%
Atlantic Richfield 37,000 3,279
Noble Drilling* 107,200 2,345
Occidental Petroleum 171,000 3,954
Phillips Petroleum 48,700 2,374
Transocean Offshore 44,700 1,369
---------
13,321
---------
Petroleum Refining -- 2.4%
Ashland 31,800 1,069
Coastal 61,500 2,518
Conoco* 123,000 3,413
Exxon 49,200 3,736
Lyondell Petrochemical 24,000 321
Mobil 58,000 5,844
---------
16,901
---------
Printing & Publishing -- 2.0%
Gannett 35,000 2,422
New York Times, Cl A 23,900 896
Time Warner 72,600 4,410
Tribune 76,000 3,781
Viacom, Cl B* 61,000 2,577
---------
14,086
---------
Railroads -- 1.7%
Norfolk Southern 213,000 5,219
Union Pacific 139,400 6,700
---------
11,919
---------
Retail -- 8.4%
Dayton-Hudson 30,500 1,832
Dillards Incorporated, Cl A 28,800 585
Federated Department Stores* 180,500 7,886
Home Depot 120,700 8,283
24
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
JC Penney 65,500 $ 2,252
Kohl's* 81,700 5,402
Kroger* 146,100 3,223
May Department Stores 148,200 5,400
Safeway 70,000 2,664
Sears Roebuck 124,000 3,891
Tech Data* 17,600 410
The Gap 133,950 4,286
TJX 94,100 2,641
Wal-Mart Stores 236,200 11,234
---------
59,989
---------
Rubber & Plastic -- 1.2%
BF Goodrich 110,100 3,193
Cooper Tire & Rubber 38,200 673
Goodyear Tire & Rubber 33,600 1,617
Sealed Air* 40,000 2,053
Sonoco Products 45,000 1,027
---------
8,563
---------
Semi-Conductors/Instruments -- 2.4%
Intel 229,300 17,040
---------
Software -- 1.5%
America Online* 44,300 4,607
BMC Software* 88,000 6,298
---------
10,905
---------
Specialty Construction -- 0.2%
Fortune Brands 34,000 1,097
---------
Specialty Machinery -- 0.3%
American Standard* 60,000 2,303
---------
Steel & Steel Works -- 0.4%
Alcan Aluminum 39,200 1,225
Alcoa 20,600 1,278
---------
2,503
---------
Telephones & Telecommunication -- 5.8%
Alltel 55,000 3,871
Ameritech 80,000 5,375
AT&T 141,700 6,164
AT&T Liberty Media, Cl A* 198,700 7,377
Lucent Technologies 104,900 6,805
MCI WorldCom* 162,500 11,680
---------
41,272
---------
Transportation Services -- 0.4%
CSX 74,000 3,136
---------
Wholesale -- 0.4%
Arrow Electronics* 52,200 920
Avnet 6,000 252
Bergen Brunswig, Cl A 75,000 778
Ingram Micro* 90,000 1,159
---------
3,109
---------
Total Common Stocks
(Cost $640,708) 675,066
---------
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
U.S. Treasury Obligation -- 0.2%
U.S. Treasury Bill
0.000%, 02/03/00 (A) $ 1,600 $ 1,574
---------
Total U.S. Treasury Obligation
(Cost $1,575) 1,574
---------
Commercial Paper -- 0.3%
Ford Motor Credit
5.370%, 10/01/99 2,033 2,033
---------
Total Commercial Paper
(Cost $2,033) 2,033
---------
Repurchase Agreement -- 3.2%
Morgan Stanley
5.23%, dated 09/30/99, matures
10/01/99, repurchase price
$23,081,000 (collateralized by
various Government Obligations,
par value $93,015,000, 0.000%,
10/15/19-01/15/24, total
market value: $23,655,000) 23,077 23,077
---------
Total Repurchase Agreement
(Cost $23,077) 23,077
---------
Money Market -- 0.7%
Evergreen Select Money
Market Fund 4,814 4,814
---------
Total Money Market
(Cost $4,814) 4,814
---------
Total Investments -- 99.5%
(Cost $672,207) 706,564
---------
Other Assets and Liabilities, Net -- 0.5% 3,572
---------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value)
based on 56,125,462 outstanding
shares of beneficial interest 673,418
Undistributed net investment income 1,200
Accumulated net realized gain
on investments 1,379
Net unrealized depreciation on futures (218)
Net unrealized appreciation on investments 34,357
---------
Total Net Assets -- 100.0% $ 710,136
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 12.65
=========
*Non-income producing security
(A) Security pledged as collateral on open futures contract.
ADR -- American Depository Receipt
Cl -- Class
FNMA -- Federal National Mortgage Association
Ltd. -- Limited
The accompanying notes are an integral part of the financial statements.
25
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Small Cap Value Fund
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stocks -- 95.9%
Aerospace & Defense -- 1.6%
Cordant Technologies 22,400 $ 682
Esco Electronics* 51,050 568
Gencorp 150,000 2,747
General Cable* 171,500 2,058
Homebase* 476,000 1,874
Howmet International* 85,000 1,190
---------
9,119
---------
Air Transportation -- 0.5%
Airborne Freight 38,900 819
Alaska Airgroup* 31,000 1,261
America West Holdings, Cl B* 57,700 999
---------
3,079
---------
Aircraft -- 0.1%
Tristar Aerospace* 124,900 765
---------
Apparel/Textiles -- 0.8%
Delta Woodside Industries 106,300 292
Guilford Mills 158,300 1,365
Kellwood 28,770 633
Pillowtex 31,470 236
Ralph Lauren* 124,000 2,224
---------
4,750
---------
Automotive -- 3.0%
Arctic Cat 209,600 2,004
Arvin Industries 90,800 2,809
Borg-Warner Automotive 18,910 813
Clarcor 101,400 1,705
Dura Automotive Systems* 13,100 315
JLG Industries 115,300 1,751
Kaydon 31,600 786
Midas* 95,100 1,961
Modine Manufacturing 50,000 1,166
Regal Beloit 115,100 2,388
Smith (A.O.) 58,550 1,771
---------
17,469
---------
Banks -- 6.2%
Andover Bancorp 26,362 793
Bancorpsouth 95,600 1,619
Bancwest 52,100 2,117
Bank United, Cl A* 30,100 974
Chittenden 47,600 1,357
City National 70,200 2,356
Cullen/Frost Bankers 50,200 1,255
Dime Bancorp* 30,242 529
Dime Community Bancorp* 102,300 2,123
Downey Financial 34,580 696
Firstfed Financial* 49,440 859
Flagstar Bancorp 33,400 514
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Imperial Bancorp* 106,200 $ 2,257
John Hancock Bank &
Thrift Opportunity 208,900 1,776
Republic Bancorp 15,238 176
Richmond County Financial* 240,100 4,517
Roslyn Bancorp 68,121 1,218
Staten Island Bancorp* 231,500 4,355
Webster Financial 133,700 3,409
Westamerica Bancorporation 90,200 2,729
---------
35,629
---------
Beauty Products -- 0.9%
Church & Dwight 45,500 1,137
Playtex Products* 278,400 4,106
---------
5,243
---------
Broadcasting, Newspapers & Advertising -- 1.1%
Enstar Group* 40,700 636
Grey Advertising 6,800 2,502
On Command 78,300 1,488
Young Broadcasting, Cl A* 30,500 1,597
---------
6,223
---------
Building & Construction -- 1.4%
Centex 40,360 1,193
Pulte 113,000 2,458
Ryland Group 43,800 996
Standard Pacific 200,400 2,054
Webb (Del E.) 47,100 1,036
---------
7,737
---------
Building & Construction Supplies -- 2.6%
Centex Construction Products 14,300 531
Giant Cement Holdings* 113,700 2,608
Lone Star Industries 186,620 9,308
MDC Holdings 90,090 1,458
Nortek* 26,120 891
---------
14,796
---------
Chemicals -- 2.8%
Airgas* 168,900 1,963
Albemarle 14,900 300
American Pacific* 135,100 1,064
Cambrex 78,900 2,086
CFC International* 43,300 363
Cytec Industries* 111,200 2,669
Dexter 110,150 4,110
Ethyl 168,300 652
Geon 24,100 621
Macdermid 29,300 998
Terra Industries 298,200 503
Wellman 42,100 760
---------
16,089
---------
26
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Communications -- 0.1%
National Dentex* 30,800 $ 526
---------
Communications Equipment -- 2.6%
Andrew* 121,400 2,109
Dii Group* 145,800 5,130
Harman International 24,000 1,009
Intervoice* 157,000 1,737
Tekelec* 90,200 1,246
Vishay Intertechnology* 153,375 3,643
---------
14,874
---------
Computers & Services -- 1.0%
Astro Med 37,200 214
Bell & Howell* 60,800 2,231
Intelligent Systems 80,400 191
Maxtor Corp* 186,700 1,231
SCM Microsystems* 22,700 1,031
Western Digital* 237,600 891
---------
5,789
---------
Concrete & Mineral Products -- 0.6%
Dal-Tile International* 280,300 2,225
Florida Rock Industries 34,240 1,190
---------
3,415
---------
Consumer Products -- 1.2%
Brown Shoe 46,400 850
Justin Industries 111,700 1,585
Public Service of New Mexico 149,970 2,737
R.G. Barry 270,100 1,654
---------
6,826
---------
Containers & Packaging -- 1.3%
Ball 105,100 4,631
Greif Brothers 74,700 2,110
Ivex Packaging* 51,200 512
---------
7,253
---------
Drugs -- 1.3%
Alpharma, Cl A 17,600 621
Barr Laboratories* 47,400 1,505
Ivax 251,900 4,156
Ocular Sciences* 44,900 870
---------
7,152
---------
Electrical Services -- 2.6%
Calpine* 13,300 1,131
Cleco 40,080 1,300
Conectiv 83,400 1,637
El Paso Electric* 596,700 5,370
Emcor Group* 63,300 1,219
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Idacorp 29,800 $ 898
Nstar* 41,047 1,591
Rgs Energy Group 19,000 466
United Illuminating 21,800 1,055
---------
14,667
---------
Electrical Technology -- 0.4%
Belden 45,300 929
Smart Modular* 35,400 1,206
---------
2,135
---------
Entertainment -- 0.4%
Anchor Gaming* 21,800 1,297
Cinar Films, Cl B* 30,100 911
---------
2,208
---------
Environmental Services -- 0.4%
Casella Waste Systems, Cl A* 60,500 1,010
Gundle/SLT Environmental* 211,800 635
IT Group* 30,800 295
Sevenson Environmental Services 18,900 175
---------
2,115
---------
Financial Services -- 8.5%
Acceptance Insurance* 171,600 2,188
Amli Residential Properties 57,150 1,200
Arden Realty Group 67,400 1,466
Asset Investors (Del) 90,600 1,206
Avalonbay Communities 42,400 1,436
Boston Properties 36,500 1,120
Capital Southwest 22,300 1,639
Charles E. Smith Residential Realty 50,550 1,728
Cornerstone Properties 78,100 1,191
Dain Rauscher 44,400 2,176
Doral Financial 90,500 1,210
Duff & Phelps Credit Rating 7,600 608
Equity Office Properties Trust 50,300 1,169
Equity Residential Properties Trust 34,350 1,456
Essex Property Trust 40,700 1,422
Federal Realty Investment Trust 57,500 1,204
Franchise Finance of America 136,000 3,179
Heller Financial* 97,800 2,201
Highwoods Properties 71,300 1,845
HRPT Properties Trust 98,800 1,149
John Nuveen, CL A 4,100 153
JSB Financial 21,850 1,251
Kilroy Realty* 76,400 1,733
Legg Mason 81,300 3,115
Metris* 28,842 849
Nationwide Health Properties 124,100 2,063
Pacific Gulf Properties 94,950 2,107
27
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Small Cap Value Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Somerset Group 22,700 $ 400
Spieker Properties 40,250 1,396
Starwood Hotels and Resorts
World Wide* 88,100 1,966
White Mountains Insurance Group 19,300 2,618
---------
48,444
---------
Food, Beverage & Tobacco -- 3.5%
Adolph Coors, Cl B 22,830 1,236
Aurora Foods* 182,100 2,914
Corn Products International 48,000 1,461
Dean Foods 99,100 4,317
M & F Worldwide* 207,800 1,662
Pilgrim's Pride Cl A* 16,100 83
Pilgrims Pride 32,200 280
Ralcorp Holdings* 33,100 585
Rare Hospitality* 37,900 820
Robert Mondavi* 56,300 2,115
Ryan's Family Steak Houses* 226,380 2,037
Smithfield Foods* 75,000 2,006
Universal Foods 33,600 771
---------
20,287
---------
Gas/Natural Gas -- 2.3%
Connecticut Energy 37,220 1,440
Energen 36,460 738
Oneok* 83,700 2,537
Southwest Gas 46,400 1,250
UGI 91,300 2,123
Washington Gas Light 112,800 3,060
Wicor 61,400 1,784
---------
12,932
---------
Glass Products -- 0.3%
Libbey* 54,300 1,605
---------
Hotels & Lodging -- 0.2%
Supertel Hospitality* 92,600 1,186
---------
Household Furniture & Fixtures -- 0.7%
Chromcraft Revington* 29,000 363
Ethan Allen Interiors 46,200 1,470
Furniture Brands International* 50,000 984
O'Sullivan Industries Holdings* 66,280 994
---------
3,811
---------
Household Products -- 1.0%
Genlyte Group* 90,900 2,159
NCH 12,730 575
Salton/Maxim Housewares* 32,000 966
Simpson Manufacturing* 26,000 1,219
Thomas Industries 42,595 796
---------
5,715
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Insurance -- 7.0%
American Heritage Life Insurance 35,900 $ 1,140
Amerus Life Holdings, Cl A* 73,100 731
Annuity & Life Re Holdings* 115,600 2,876
Arthur J. Gallegher 38,600 2,055
Chicago Title 41,500 1,657
CNA Surety* 118,700 1,558
Delphi Financial Group, Cl A* 19,067 576
E.W. Blanch Holdings 45,000 2,931
Everest Reinsurance Holdings 46,900 1,117
FBL Financial Group Cl A 44,600 920
Financial Security Assurance
Holdings 44,900 2,321
First American Financial 89,725 1,200
Frontier Insurance Group 214,300 1,875
HCC Insurance Holdings 72,200 1,214
Hilb, Rogal & Hamilton 134,500 3,371
Horace Mann Educators 12,300 231
Landamerica Financial Group 7,400 146
Lasalle Re Holdings 105,100 1,458
Leucadia National 50,400 1,058
Life USA Holdings* 36,290 748
Merchants Group 22,400 512
PMI Group 117,920 2,019
Radian Group 62,990 2,705
Risk Capital Holdings* 91,800 1,434
Scottish Annuity & Life* 94,800 924
Stewart Information Services 131,000 2,399
Superior National Insurance* 43,700 615
---------
39,791
---------
Leasing & Renting -- 0.2%
Rent-A-Center* 32,000 596
Xtra 18,600 739
---------
1,335
---------
Leisure Products -- 0.8%
Boyds Collection Ltd.* 116,000 1,421
Jostens 128,100 2,450
Standard Motor Products 46,500 904
---------
4,775
---------
Lumber & Wood Products -- 0.3%
Champion Enterprises* 97,600 878
T J International 37,490 942
---------
1,820
---------
Machinery -- 4.0%
Alliant Techsystems* 48,088 3,333
Amcast Industrial 38,310 510
Aptar Group 43,400 1,161
Asyst Technologies* 15,400 508
Briggs & Stratton 11,100 648
28
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Commercial Intertech 38,700 $ 467
Cree Research* 35,900 1,218
Fisher Scientific International* 76,400 2,206
Gardner Denver Machinery* 27,195 411
Gehl* 21,100 375
Gleason 265,230 4,459
Lincoln Electric Holdings 172,700 3,605
Manitowoc 21,400 730
SPS Technologies* 75,600 2,868
Twin Disc 31,800 525
---------
23,024
---------
Manufacturing -- 2.5%
Barnes Group 38,450 771
Commercial Metals 65,200 1,875
L.B. Foster, Cl A* 192,900 928
Mark IV Industries 61,900 1,223
Mueller Industries 98,300 2,918
Newport News Shipbuilding 191,000 6,172
Smith Investment 5,200 261
---------
14,148
---------
Marine Transportation -- 0.2%
Alexander & Baldwin 51,300 1,225
---------
Measuring Devices -- 0.1%
Moore Products* 36,600 828
---------
Medical Products & Services -- 2.7%
Haemonetics* 72,200 1,925
Hanger Orthopedic Group* 110,000 1,595
Idexx* 77,500 1,334
Lifepoint Hospitals* 155,500 1,351
Orthodontic Centers of America* 81,000 1,418
Patterson Dental* 32,900 1,631
Priority Healthcare, Cl B* 30,105 929
Quest Diagnostic* 87,600 2,278
Sola International* 7,100 110
Sun Healthcare Group* 107,300 3,098
---------
15,669
---------
Metals & Mining -- 0.9%
Cleveland Cliffs 106,250 3,307
Kaiser Aluminum* 219,300 1,823
---------
5,130
---------
Miscellaneous Business Services -- 2.9%
Advo Systems* 132,300 2,638
Ardent Software* 68,400 1,843
Burns International Services* 79,400 1,280
Cognos* 70,900 1,848
Complete Business Solutions* 70,200 961
Computer Task Group 70,000 1,033
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Mastech* 54,100 $ 730
Radisys* 25,200 989
Sensormatic Electronics 303,800 3,854
Sybase* 99,700 1,178
Technology Solutions* 30,800 435
---------
16,789
---------
Miscellaneous Consumer Services -- 0.4%
Angelica 8,400 97
Craig, Cl A* 97,900 636
Metamor Worldwide* 22,700 403
Ogden 124,000 1,240
---------
2,376
---------
Miscellaneous Manufacturing -- 0.3%
Department 56* 51,500 1,233
RTI International Metals* 22,200 222
---------
1,455
---------
Miscellaneous Transportation -- 0.1%
Fleetwood Enterprises 27,700 559
---------
Office Furniture & Fixtures -- 0.6%
Kimball International* 141,800 2,730
PH Glatfelter 54,600 897
---------
3,627
---------
Paper & Paper Products -- 1.4%
Chesapeake 12,300 372
Domtar 326,200 3,384
Fletcher Challenge Energy ADR* 57,700 1,421
Mail-Well* 60,200 835
Pope & Talbot* 81,800 1,109
Rock Tenn, Cl A 50,800 733
---------
7,854
---------
Petroleum & Fuel Products -- 3.8%
Berry Petroleum 116,300 1,577
Cabot Oil & Gas, Cl A 75,500 1,302
Cal Dive International* 43,900 1,504
Citation* 37,300 634
Forest Oil* 204,800 3,494
Giant Industries 44,460 517
Helmerich & Payne 30,300 767
Louis Dreyfus Natural Gas 70,800 1,518
Ocean Energy* 265,500 2,705
Oceaneering International* 31,000 521
Patina Oil & Gas 64,900 576
Santa Fe Snyder* 208,150 1,873
Seitel* 83,600 815
Swift Energy* 224,700 2,837
Tom Brown* 79,200 1,168
---------
21,808
---------
29
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Small Cap Value Fund--Concluded
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Petroleum Refining -- 2.2%
Murphy Oil 25,000 $ 1,352
Tesoro Petroleum* 413,100 6,816
Trizec Hahn 93,250 1,766
Valero Energy 128,600 2,476
---------
12,410
---------
Printing & Publishing -- 0.6%
Big Flower Holdings* 25,800 730
Courier 7,500 180
Standard Register 11,040 259
Wallace Computer Services 128,500 2,602
---------
3,771
---------
Professional Services -- 1.2%
CDI* 59,300 1,620
Consolidated Graphics* 55,000 2,317
Harding Lawson
Associates Group* 49,800 392
Navigant Consulting* 51,000 2,365
---------
6,694
---------
Real Estate -- 0.1%
Catellus Development* 41,700 490
---------
Real Estate Investments Trust -- 0.7%
Public Storage 57,700 1,453
Reckson Associates Realty 59,120 1,230
Urban Shopping Centers 58,900 1,708
---------
4,391
---------
Repair Services -- 0.2%
Rollins Truck Leasing 103,600 1,049
---------
Retail -- 4.5%
Action Performance* 30,900 651
BMC West* 148,600 2,935
Children's Place Retail Stores* 39,200 1,044
Claire's Stores 102,400 1,696
Dress Barn* 42,910 787
Footstar* 53,700 1,893
Grand Union* 315,100 4,303
Haverty Furniture 114,600 1,662
Michaels Stores* 106,400 3,139
Neiman-Marcus Group 105,200 2,459
Shopko Stores 84,560 2,452
Zale* 79,000 3,027
---------
26,048
---------
Rubber & Plastic -- 0.1%
Cooper Tire & Rubber 42,800 754
---------
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Semi-Conductors/Instruments -- 1.2%
FSI International* 157,100 $ 1,296
Silicon Valley Group* 98,600 1,165
SIPEX* 104,800 1,500
Stoneridge* 154,900 2,691
---------
6,652
---------
Specialty Construction -- 0.5%
DR Horton* 176,300 2,281
Integrated Electrica* 42,000 664
---------
2,945
---------
Specialty Machinery -- 1.2%
Fedders 61,400 1,121
Powell Industries* 137,200 1,183
Tecumseh Products, Cl A 52,100 2,612
York International 49,900 1,793
---------
6,709
---------
Steel & Steel Works -- 2.5%
AK Steel Holding 147,800 2,697
Armco* 144,700 1,013
Insteel Industries 202,300 1,821
Intermet 234,600 1,987
LTV 259,400 1,410
National Steel, Cl B* 63,330 439
Reliance Steel & Aluminum 40,960 860
Roanoke Electric Steel 85,300 1,493
Ryerson Tull 51,400 1,189
Worthington Industries 78,500 1,335
---------
14,244
---------
Telephones & Telecommunication -- 0.1%
Pacific Gateway Exchange* 44,400 727
---------
Transportation Services -- 0.2%
GATX 32,880 1,021
---------
Trucking -- 1.0%
Arkansas Best* 40,400 500
Consolidated Freightways* 48,400 478
Pittston Services 31,300 726
US Freightways 71,870 3,405
Yellow* 34,150 566
---------
5,675
---------
Wholesale -- 2.0%
Aviall* 108,600 1,113
Barnett* 111,900 1,028
Bindley Western Industries 137,866 1,973
BJ Wholesale Club* 161,400 4,771
Handleman 40,200 533
30
<PAGE>
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Hughes Supply 14,800 $ 322
Universal 57,430 1,500
---------
11,240
---------
Total Common Stocks
(Cost $546,703) 548,872
---------
U.S. Treasury Obligation -- 0.4%
U.S. Treasury Bill
0.000%, 02/03/00 (A) 2,200 2,164
---------
Total U.S. Treasury Obligation
(Cost $2,166) 2,164
---------
Repurchase Agreements -- 4.5%
Morgan Stanley
5.230%, dated 09/30/99, matures
10/01/99, repurchase price
$25,008,000 (collateralized by
Resolution Trust Funding
Corporation, total par value
$98,210,000, 8.125%, 10/15/19,
total market value: $25,631,000) $25,005 25,005
Merrill Lynch
5.02%, dated 09/30/99, matures
10/01/99, repurchase price
$879,000 (collateralized by U.S.
Treasury Bond, total par value
$772,469, 8.125%, 08/15/21,
total market value; $933,481) 879 879
---------
Total Repurchase Agreements
(Cost $25,884) 25,884
---------
Total Investments -- 100.8%
(Cost $574,753) 576,920
---------
Other Assets and Liabilities, Net -- (0.8%) (4,795)
---------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
40,679,846 outstanding shares of
beneficial interest 573,919
Undistributed net investment income 691
Accumulated net realized loss
on investments (4,309)
Net unrealized depreciation on futures (343)
Net unrealized appreciation on investments 2,167
---------
Total Net Assets-- 100.0% $572,125
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $14.06
=========
*Non-income producing security
(A) Security has been pledged as collateral on open futures contracts.
ADR -- American Depository Receipt
Cl -- Class
Ltd. -- Limited
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Small Cap Growth Fund
Common Stocks -- 94.8%
Aerospace & Defense -- 0.7%
Aeroflex* 146,000 $ 1,779
Getty Images* 63,300 1,527
Monaco Coach* 97,550 2,378
Titan 38,500 553
---------
6,237
---------
Air Transportation -- 0.5%
Airtran Holdings* 137,200 690
Alaska Airgroup* 23,500 956
Atlantic Coast Air* 57,000 1,012
Midwest Express Holdings* 28,700 752
Skywest 49,900 1,095
---------
4,505
---------
Apparel/Textiles -- 0.7%
Quiksilver* 295,900 5,400
Tommy Hilfiger* 42,000 1,184
---------
6,584
---------
Automotive -- 0.5%
Arvin Industries 16,700 517
Borg-Warner 24,087 1,036
Gentex* 66,000 1,363
Oshkosh Truck 31,950 851
Teleflex 15,000 592
---------
4,359
---------
Banks -- 1.2%
Astoria Financial 20,000 615
Commerce Bancorp New Jersey 17,300 718
Community First Bankshares 52,000 877
Cullen/Frost Bankers 43,000 1,075
Flagstar Bancorp 26,500 407
Greater Bay Bancorp 12,400 420
Hudson United Bancorp 21,913 675
Peoples Heritage Financial Group 38,000 632
Richmond County Financial* 32,500 611
Southwest Bancorp of Texas* 35,000 610
Terayon Communication 47,500 2,322
Trustmark 49,600 1,116
Westamerica Bancorporation 34,500 1,044
---------
11,122
---------
Beauty Products -- 0.1%
Church & Dwight 38,800 970
---------
Broadcasting, Newspapers & Advertising -- 3.5%
Acme Communications* 8,100 251
Antec* 139,300 7,400
Citadel Communications* 136,900 4,672
31
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Small Cap Growth Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Cox Radio, Cl A* 39,100 $ 2,326
Cumulus Media* 52,300 1,710
Cybergold* 109,600 1,082
Emmis Broadcasting* 68,000 4,492
Freeshop.com* 5,150 59
Lamar Advertising* 66,200 3,277
Network Event Theater* 21,800 488
Pegasus Communications* 30,500 1,376
Silknet Software* 27,900 1,287
Tivo* 10,400 311
Tmp Worldwide* 62,100 3,780
Wink Communications* 11,850 518
---------
33,029
---------
Building & Construction -- 0.7%
Carlisle 25,200 995
Crossman Communities* 25,000 408
Granite Construction 19,000 495
Jacobs Engineering Group* 38,500 1,251
Ryland Group 77,900 1,772
Standard Pacific 83,700 858
US Home* 15,000 417
---------
6,196
---------
Building & Construction Supplies -- 0.2%
Centex Construction Products 27,400 1,017
Nortek* 28,200 962
Universal Forest Products 18,700 244
---------
2,223
---------
Chemicals -- 0.6%
Brady 24,700 790
Geon 26,700 688
OM Group 38,000 1,458
Spartech 84,600 2,480
---------
5,416
---------
Communications -- 0.4%
Direct Focus* 28,000 528
Jakks Pacific* 43,300 1,624
Microfinancial* 57,000 620
Shopnow.com* 24,550 285
Visible Genetics* 27,700 519
---------
3,576
---------
Communications Equipment -- 5.5%
Black Box* 26,000 1,365
C-Cor Electronics 56,600 1,719
Concord Communications* 23,600 938
CTC Communications* 109,500 1,800
CTS 68,600 3,944
Dii Group* 183,900 6,471
Dionex* 8,000 342
Ditech Communications 24,300 1,276
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Efficient Networks* 50,900 $ 1,851
Excel Switching* 14,600 524
Extreme Networks* 52,000 3,292
Inter-Tel* 60,600 1,076
Intervoice* 128,600 1,423
Kemet* 56,600 1,809
L-3 Communications* 33,500 1,265
Mercury Computer Systems* 29,400 1,000
Mercury Interactive* 100,000 6,456
Plantronics* 34,000 1,691
Polycom* 59,400 2,831
Power Integration* 56,000 3,878
Sawtek* 170,400 5,964
Sinclair Broadcast Group* 95,500 865
---------
51,780
---------
Computers & Services -- 7.3%
24/7 Media* 121,900 4,617
Answerthink Consulting Group* 82,900 798
Audible* 65,700 690
Bell & Howell* 32,600 1,196
Business Objects* 63,400 3,741
Caci International* 26,500 565
Ciber* 71,100 1,089
Creo Products* 70,700 1,737
Cybex Computer Products* 128,400 4,285
Digital River* 120,600 2,623
Foundry Networks* 8,100 1,021
Garden.com* 20,150 380
Global Imaging Systems* 23,000 342
In Focus Systems* 49,900 836
Jack Henry & Associates* 64,900 2,397
Javelin Systems* 235,900 2,330
Kronos* 18,300 671
Medscape* 68,900 698
Microchip Technology* 43,500 2,235
Micros Systems* 101,900 4,127
National Computer Systems 47,200 1,810
Netegrity* 83,000 2,023
Netsolve* 23,800 422
Pinnacle Systems* 101,500 4,301
Pivotal* 30,500 547
QRS* 79,350 5,088
Radiant Systems* 45,900 743
Research In Motion* 103,200 3,193
S3* 175,300 1,830
SanDisk* 19,500 1,271
Scient* 34,450 2,205
Sportsline USA* 76,300 2,256
Tanning Technology* 54,900 1,441
Whittman-Hart* 87,700 3,401
Yes Mail* 99,350 1,056
---------
67,965
---------
32
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Concrete & Mineral Products -- 0.1%
Ferro 45,250 $ 964
---------
Drugs -- 4.4%
Abgenix* 48,300 1,893
Andrx* 20,600 1,206
Anesta* 51,900 477
Biomatrix* 106,300 2,385
ChiRex* 98,300 2,537
Coulter Pharmaceutical* 33,000 460
Cytyc* 278,500 10,774
Incyte Pharmaceuticals* 66,900 1,547
Jones Pharmaceuticals 159,850 5,270
King Pharmaceuticals* 97,300 3,406
Medarex* 88,500 631
Medco Research* 39,800 993
Medicis Pharmaceutical, Cl A* 111,500 3,178
Millipore 30,000 1,127
Pharmacyclics* 58,800 2,403
Protein Design Laboratories* 24,300 878
Shire Pharmaceuticals Group PLC* 41,100 1,184
Vaxgen* 49,400 722
---------
41,071
---------
Electrical Services -- 0.4%
Gemstar International* 44,500 3,477
---------
Electrical Technology -- 0.2%
ANADIGICS* 26,700 751
Proxim* 20,700 952
---------
1,703
---------
Entertainment -- 1.0%
Argosy Gaming* 60,400 800
Bally Total Fitness* 40,300 1,232
Hollywood Park* 51,000 784
Macrovision* 69,200 3,071
Premier Parks* 37,300 1,082
SFX Entertainment, Cl A* 65,700 2,004
Youbet.com* 84,900 637
---------
9,610
---------
Financial Services -- 3.0%
Donaldson, Lufkin &
Jenrette Direct* 56,800 859
Financial Federal* 198,100 3,739
Hambrecht & Quist* 103,200 5,050
Investment Technology Group* 64,570 1,485
John Nuveen, CL A 17,000 636
Knight/Trimark Group, Cl A* 94,600 2,803
Legg Mason 99,200 3,801
Metris* 129,500 3,812
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Nextcard* 56,100 $ 1,374
NVR* 18,400 929
Waddell & Reed Financial, Cl A* 152,000 3,372
---------
27,860
---------
Food, Beverage & Tobacco -- 1.0%
Adolph Coors, Cl B 27,200 1,472
Agribrands International* 19,500 968
Canandaigua Brands, Cl A* 13,500 807
Hain Food Group* 21,600 535
Smithfield Foods* 21,300 570
Wild Oates Markets* 130,300 5,147
---------
9,499
---------
Hotels & Lodging -- 1.3%
Aztar* 283,900 2,910
Extended Stay America* 332,700 2,994
Four Seasons Hotel* 68,100 2,490
Pegasus Systems* 71,900 2,696
Station Casinos* 41,500 965
---------
12,055
---------
Household Furniture & Fixtures -- 0.3%
Ethan Allen Interiors 56,000 1,781
Furniture Brands International* 51,000 1,004
---------
2,785
---------
Household Products -- 0.2%
Salton/Maxim Housewares* 34,950 1,055
Simpson Manufacturing* 19,600 919
---------
1,974
---------
Insurance -- 0.3%
E.W. Blanch Holdings 13,900 905
Nationwide Financial Services 51,000 1,804
Uici* 20,000 511
---------
3,220
---------
Leasing & Renting -- 0.2%
Dollar Thrifty Automotive* 96,200 1,990
---------
Leisure Products -- 0.6%
Acclaim Entertainment* 147,300 1,119
Boyds Collection Ltd.* 108,500 1,329
Fossil* 56,900 1,540
T-HQ* 35,900 1,548
---------
5,536
---------
Lumber & Wood Products -- 0.0%
Modtech Holdings* 24,232 179
---------
33
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Small Cap Growth Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Machinery -- 2.6%
Applied Power, Cl A 43,500 $ 1,321
Applied Science & Technology* 23,100 476
Aptar Group 44,000 1,177
Astec Industries* 20,700 499
Asyst Technologies* 11,900 393
Briggs & Stratton 20,800 1,214
Cree Research* 61,100 2,074
Donaldson 51,200 1,187
Helix Technology 71,400 2,374
Lam Research* 45,000 2,745
Manitowoc 31,800 1,085
Micrel* 72,000 3,123
Pentair 30,000 1,204
Photronics Labs* 93,300 2,093
Toro 23,000 860
Zebra Technologies, Cl A* 47,000 2,137
---------
23,962
---------
Measuring Devices -- 0.8%
Cohu 63,100 1,333
Credence Systems* 120,700 5,416
Electroglas* 22,500 526
---------
7,275
---------
Medical Products & Services -- 3.6%
Algos Pharmaceuticals* 82,000 697
Apria Healthcare Group* 54,000 904
Conmed* 67,900 1,664
Gilead Sciences* 33,600 2,157
Gliatech* 27,800 476
Impath* 45,000 1,311
Invacare 35,100 687
Laser Vision Centers* 204,100 2,864
Medquist* 82,000 2,742
Minimed* 31,500 3,095
Optical Coating Laboratories 23,200 2,136
Pharmaceutical Product
Development* 58,300 791
Priority Healthcare, Cl B* 31,850 983
Resmed* 122,400 4,047
Sun Healthcare Group* 38,300 1,106
Superior Consultant Holdings* 20,000 235
Techne* 22,000 690
TLC Laser Center* 33,200 818
Visix Space* 21,400 1,693
Wesley Jessen* 29,100 908
Xomed Surgical Products* 61,700 3,517
---------
33,521
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Miscellaneous Business Services -- 7.0%
@plan.inc* 126,450 $ 1,399
ABM Industries 34,000 863
About.com* 62,800 3,548
Acxiom* 33,000 649
American Management Systems* 83,800 2,150
Career Education* 17,000 493
Coinstar* 104,500 1,038
Corporate Executive Board* 43,400 1,769
CSG Systems International* 92,600 2,538
Dendrite International* 34,000 1,606
Harmonic Lightwaves* 21,700 2,839
Homestore.com* 54,900 2,289
Hooper Holmes 137,500 3,523
Hotjobs.com Ltd.* 147,500 3,743
Infospace.com* 54,200 2,229
ISS Group* 48,400 1,319
Labor Ready* 209,325 2,106
Lason* 106,800 4,756
Memberworks* 104,600 3,491
NCO Group* 19,200 902
Network Solutions* 80,900 7,433
On Assignment* 61,300 1,471
Profit Recovery Group
International* 77,600 3,463
Security First Technologies* 51,200 1,990
Sybase* 331,100 3,911
Xircom* 99,600 4,252
---------
65,770
---------
Miscellaneous Consumer Services -- 0.3%
CSK Auto* 40,000 872
G&K Services 28,200 1,142
Mediconsult.com* 47,000 364
Regis 48,000 924
---------
3,302
---------
Miscellaneous Manufacturing -- 0.9%
Blyth Industries* 44,300 1,243
Commscope* 173,400 5,635
National-Oilwell* 93,400 1,535
---------
8,413
---------
Paper & Paper Products -- 0.0%
Pope & Talbot* 28,000 380
---------
Petroleum & Fuel Products -- 2.7%
Basin Exploration* 126,500 3,036
Coflexip-Sponsored 24,500 1,170
34
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Devon Energy 75,000 $ 3,108
Equitable Resources 27,600 1,044
Evergreen Resources* 30,000 722
Forest Oil* 160,300 2,735
Marine Drilling* 89,300 1,412
Newfield Exploration* 70,700 2,329
Patterson Energy* 170,800 2,594
Precision Drilling* 144,900 3,360
Stone Energy* 18,100 921
UTI Energy* 102,100 1,985
Veritas DGC* 35,400 681
---------
25,097
---------
Printing & Publishing -- 0.4%
Electronics for Imaging* 29,500 1,516
McClatchy Newspapers 25,800 922
Valassis Communications* 27,700 1,217
---------
3,655
---------
Professional Services -- 2.4%
Devry* 107,300 2,146
Ecsoft Group PLC* 58,700 807
Educational Management* 91,600 1,134
F.Y.I.* 23,600 795
International Network Services* 12,000 652
Navigant Consulting* 153,400 7,114
Pre Paid Legal* 62,200 2,449
Strayer Education 2,500 50
Student Advantage* 189,050 2,174
Sylvan Learning Systems* 63,000 1,221
Tetra Tech* 161,062 2,688
US Oncology* 90,000 816
---------
22,046
---------
Retail -- 6.4%
American Eagle Outfitters* 93,400 4,524
AnnTaylor Stores* 28,500 1,165
Brinker International* 30,100 816
CDW Computer Centers* 24,400 1,193
CEC Entertainment* 26,700 958
Cheap Tickets* 66,200 2,143
Children's Place Retail Stores* 27,700 738
Consolidated Products* 55,500 541
Cost Plus* 21,200 1,028
Dollar Tree Stores* 61,037 2,438
Foodmaker* 46,800 1,167
Goto.com* 40,500 2,111
Haverty Furniture 41,400 600
Insight Enterprises* 162,437 5,279
Intertan* 47,200 926
Intimate Brands 29,190 1,137
Kenneth Cole Productions* 73,600 2,751
Linens N Things* 100,400 3,388
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Men's Wearhouse* 59,800 $ 1,286
Pacific Sunwear of California* 172,900 4,847
PJ America* 74,300 1,551
Rex Stores* 14,200 440
Rowecom* 106,700 2,961
Ruby Tuesday 61,100 1,191
SLI* 48,200 1,027
Sonic Automotive* 59,700 776
Talbots 19,700 885
Ticketmaster Online-CitySearch* 31,800 769
Tweeter Home Entertainment
Group* 55,700 2,082
Valuevision International** 41,400 1,076
Williams Sonoma* 102,100 4,958
Zale* 71,500 2,739
---------
59,491
---------
Semi-Conductors/Instruments -- 8.4%
Advanced Digital Information* 152,000 4,228
Alpha Industries* 68,600 3,869
American Xtal Technology* 34,500 737
Applied Micro Circuits* 113,400 6,464
Atmi* 135,600 5,060
Burr-Brown* 22,500 889
Conexant Systems* 44,400 3,226
Cymer* 161,000 5,585
Dupont Photomasks* 25,000 1,152
Ess Technology* 81,900 1,085
Etec Systems* 52,900 1,990
Fairchild Semiconductor
International, Cl A* 55,500 1,304
Galileo Technology Ltd.* 98,100 2,453
Genesis Microchip* 49,600 877
Hadco* 23,200 1,003
HI /FN* 26,100 2,878
Integrated Device Technology* 209,500 3,876
International Rectifier* 177,100 2,701
Lattice Semiconductor* 97,400 2,892
Mips Technologies* 59,000 1,877
MMC Networks* 22,100 689
Nvidia* 74,600 1,436
Plx Technology* 65,200 1,573
Power-One* 113,600 2,897
Qlogic* 21,000 1,466
RF Micro Devices* 32,800 1,501
Santa Cruz Operation* 53,500 639
Semtech* 24,800 908
Telecom Semiconductor* 68,600 875
Transwitch* 67,450 3,845
Triquint Semiconductor* 116,200 6,645
Varian Semiconductor Equipment
Associates* 75,500 1,590
---------
78,210
---------
35
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Small Cap Growth Fund--Concluded
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Software -- 15.2%
Advent Software* 84,150 $ 5,238
Ardent Software* 180,500 4,862
Avt* 28,500 873
Bea Systems* 130,500 4,608
Bindview Development* 41,600 819
Brio Technology* 108,000 2,403
Broadbase Software* 94,400 1,504
Broadvision* 25,666 3,415
Checkpoint Software* 34,900 2,947
Clarent 65,300 3,326
Concentric Network* 238,850 4,852
Digex* 73,400 1,739
Dset* 96,300 1,414
Earthlink Network* 29,500 1,267
E.piphany* 18,100 882
Egain Communication* 56,700 1,049
Esps* 126,900 1,087
Exchange Applications* 88,500 2,572
Genesys Telecom Labs* 14,200 649
Globix* 103,500 4,839
High Speed Access* 60,600 1,390
Informatica* 40,000 2,030
Internap Network Services 11,500 513
Liquid Audio* 150,500 5,568
Lycos* 63,900 3,203
Macromedia* 159,900 6,536
Micromuse* 38,300 2,461
National Information Consortium* 129,350 3,193
National Instruments* 75,000 2,651
Netiq* 123,050 3,645
Netopia* 113,950 4,544
OneMain.com* 43,300 712
Packeteer* 19,300 657
Peregrine Systems* 216,900 8,839
Pervasive Software* 119,500 4,123
Primus Knowledge Solution* 15,400 424
Progress Software* 43,300 1,359
Proxicom* 62,700 3,668
Psinet* 64,300 2,313
Quest Software* 52,000 2,418
RealNetworks* 39,700 4,151
Rhythms NetConnections* 59,700 2,060
Scientific Learning 104,100 1,744
Silverstream Software* 9,150 285
Software.com* 86,500 3,709
Tibco Software* 33,150 998
Transaction Systems Architects* 36,200 975
TSI International Software, Ltd.* 166,700 4,522
Verio* 119,000 3,689
Verity* 70,800 4,872
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Vignette* 47,800 $ 4,326
Watchguard Technologies* 32,000 480
---------
142,403
---------
Specialty Construction -- 1.0%
Caprock Communications* 104,500 2,430
DR Horton 45,000 582
Elcor 27,900 698
Horizon Offshore* 307,000 2,456
Insituform Technologies* 117,200 2,930
---------
9,096
---------
Steel & Steel Works -- 0.1%
Maverick Tube* 73,700 1,225
---------
Technology, General -- 0.2%
Cobalt Group* 76,650 740
Multex.com* 69,600 887
---------
1,627
---------
Telephones & Telecommunication -- 3.9%
Allegiance Telecommunications* 106,500 5,605
American Tower Systems* 160,700 3,144
Audiovox Cl A* 126,700 2,217
Com21* 41,000 533
Dycom Industries* 26,500 1,118
Electric Lightwave* 184,400 2,443
ICG Communications* 122,800 1,911
ITC Deltacom* 50,700 1,394
Itxc 22,650 721
McLeod USA, Cl A* 128,000 5,448
Metromedia Fiber Network* 69,100 1,693
Pinnacle Holdings* 119,800 3,130
Price Communications* 46,940 1,176
Primus Telecommunications
Group* 92,600 1,945
Teligent* 26,700 1,327
Viatel* 88,700 2,622
---------
36,427
---------
Testing Laboratories -- 0.8%
Celgene* 107,000 2,896
Medimmune* 36,400 3,627
Plexus* 30,500 934
---------
7,457
---------
Transportation Services -- 0.3%
Forward Air* 102,000 2,410
---------
Trucking -- 1.3%
American Freightways* 139,400 2,535
C.H. Robinson Worldwide 29,000 977
36
<PAGE>
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Expeditors International
of Washington 64,200 $ 2,060
Landstar System* 26,200 910
Swift Transportation* 51,750 1,019
US Freightways 88,600 4,197
Werner Enterprises 35,000 617
---------
12,315
---------
Wholesale -- 1.6%
Amerisource Health* 162,600 3,852
Copart* 99,700 1,838
Patterson Dental* 45,250 2,243
Performance Food Group* 37,000 948
SCP Pool* 61,200 1,438
Syncor International* 43,100 1,616
Tower Automotive* 58,000 1,149
United Stationers 52,800 1,125
U.S. Foodservice* 68,000 1,224
---------
15,433
---------
Total Common Stocks
(Cost $701,590) 885,400
---------
U.S. Treasury Obligation -- 0.2%
U.S. Treasury Bill
0.000%, 02/03/00 (A) 1,900 1,869
---------
Total U.S. Treasury Obligation
(Cost $1,870) 1,869
---------
Repurchase Agreement -- 4.2%
J.P. Morgan
4.950%, dated 09/30/99, matures
10/01/99, repurchase price
$38,954,000 (collateralized by
various Government Obligations,
par value $39,971,000, 5.500%-6.375%,
02/28/03-08/15/27, total market
value: $39,728,000) $38,948 38,948
---------
Total Repurchase Agreement
(Cost $38,948) 38,948
---------
Money Market -- 0.4%
Evergreen Select Money
Market Trust 3,357 3,357
---------
Total Money Market
(Cost $3,357) 3,357
---------
Total Investments -- 99.6%
(Cost $745,765) 929,574
---------
Other Assets and Liabilities, Net -- 0.4% 3,864
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 44,089,199 outstanding shares of
beneficial interest $675,866
Portfolio Shares of Class D (unlimited
authorization -- no par value) based
on 117,029 outstanding shares of
beneficial interest 2,029
Accumulated net realized gain
on investments 72,083
Net unrealized depreciation on futures (349)
Net unrealized appreciation on investments 183,809
---------
Total Net Assets -- 100.0% $ 933,438
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $21.12
=========
Net Asset Value and Redemption
Price Per Share -- Class D $20.63
=========
Maximum Offering Price Per Share --
Class D (20.63 divided by 95%) $21.72
=========
* Non-income producing security
(A) Security has been pledged as collateral on open futures contracts.
Cl -- Class
Ltd. -- Limited
PLC -- Public Limited Company
The accompanying notes are an integral part of the financial statements.
Mid-Cap Fund
Common Stocks -- 99.6%
Aerospace & Defense -- 1.2%
Cordant Technologies 10,500 $ 320
SCI Systems* 2,200 98
---------
418
---------
Air Transportation -- 0.9%
Continental Airlines, Cl B* 1,600 52
Delta Air Lines 5,200 252
---------
304
---------
Apparel/Textiles -- 1.3%
Jones Apparel Group* 5,200 149
Mohawk Industries* 11,900 237
Shaw Industries 3,500 56
---------
442
---------
37
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Mid-Cap Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Automotive -- 0.7%
Borg-Warner 2,900 $ 125
Paccar 2,100 107
---------
232
---------
Banks -- 6.6%
Amsouth Bancorp 6,100 143
Charter One Financial 26,735 618
City National 7,400 248
Comerica 5,900 299
Golden State Bancorp* 8,500 152
M&T Bank 500 229
Pacific Century Financial 9,500 194
SouthTrust 1,700 61
TCF Financial 6,900 197
Zions Bancorp 3,000 165
---------
2,306
---------
Beauty Products -- 0.1%
International Specialty Products* 3,300 33
---------
Broadcasting, Newspapers & Advertising -- 1.5%
AMFM* 1,100 67
Cox Communications* 1,848 77
NTL* 900 86
Univision Communications* 3,600 293
---------
523
---------
Building & Construction -- 1.1%
Centex 11,100 328
Lennar 3,400 54
---------
382
---------
Chemicals -- 2.7%
Cytec Industries* 8,600 206
FMC* 5,500 265
Praxair 1,800 83
W.R. Grace* 23,500 377
---------
931
---------
Communications Equipment -- 1.7%
ADC Telecommunications* 3,000 126
Broadcom, Cl A* 700 76
Qualcomm* 2,100 397
---------
599
---------
Computers & Services -- 3.5%
Apple Computer* 4,100 260
Catalina Marketing* 2,100 178
Cirrus Logic* 2,600 209
Diebold 2,400 55
Gateway* 1,600 71
Unisys* 10,000 451
---------
1,224
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Concrete & Mineral Products -- 1.2%
USG* 8,500 $ 404
---------
Containers & Packaging -- 0.3%
Ball 1,600 70
Crown Cork & Seal 1,600 39
---------
109
---------
Drugs -- 1.3%
Biogen* 1,800 142
Forest Laboratories* 1,500 63
Genzyme* 1,100 50
ICN Pharmaceuticals 10,600 182
Millipore 800 30
---------
467
---------
Electrical Services -- 9.3%
Allegheny Energy 6,500 207
Ameren 2,800 106
DTE Energy 16,400 592
Energy East 22,500 534
FirstEnergy* 11,100 283
General Public Utilities 17,700 577
LG&E Energy 17,300 368
Public Service Enterprise Group 7,300 282
Reliant Energy 11,100 300
---------
3,249
---------
Entertainment -- 0.3%
King World Productions* 2,600 97
---------
Financial Services -- 5.7%
AG Edwards & Sons 4,100 108
American General Hospitality 1,500 57
Ameritrade Holding Cl A* 900 17
Archstone Community Trust 2,100 41
Bear Stearns 6,200 238
CIT Group, Cl A 21,100 434
Countrywide Credit Industries 7,800 252
Crescent Real Estate Equities 3,900 70
Equity Office Properties Trust 10,000 232
FINOVA Group 2,700 99
H&R Block 2,400 104
Lehman Brothers Holding 3,400 198
Painewebber Group 4,100 149
---------
1,999
---------
Food, Beverage & Tobacco -- 3.8%
IBP 24,000 593
International Home Foods* 7,400 130
Keebler Foods* 2,300 69
Lancaster Colony 10,500 336
Suiza Foods* 5,300 199
---------
1,327
---------
38
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Gas/Natural Gas -- 0.8%
El Paso Natural Gas 4,900 $ 195
Utilicorp United 4,300 91
---------
286
---------
General Utilities -- 0.6%
PECO Energy 5,300 199
---------
Hotels & Lodging -- 0.6%
Harrah's Entertainment* 7,900 219
---------
Household Furniture & Fixtures -- 0.2%
Furniture Brands International* 2,800 55
---------
Household Products -- 0.2%
Valspar 2,000 65
---------
Insurance -- 5.6%
Allmerica Financial* 4,500 214
Ambac 7,700 365
Conseco 13,400 259
Healtheon* 300 11
Lincoln National 5,400 203
MGIC Investment 10,900 520
Pacificare Health Systems* 2,300 99
Providian Financial 2,300 182
St. Paul 4,500 124
---------
1,977
---------
Leasing & Renting -- 0.3%
United Rentals* 5,300 115
---------
Lumber & Wood Products -- 1.2%
Louisiana-Pacific 26,400 413
---------
Machinery -- 1.6%
Briggs & Stratton 1,800 105
Brunswick 7,600 189
Cummins Engine 4,100 204
Prologis Trust 3,000 57
---------
555
---------
Measuring Devices -- 0.9%
Beckman Coulter 1,100 50
JDS Uniphase* 2,000 228
Thermo Instrument Systems* 4,400 47
---------
325
---------
Medical Products & Services -- 1.1%
Biomet* 2,000 53
Dentsply International 9,100 207
Omnicare 9,900 95
Visix Space* 500 40
---------
395
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Miscellaneous Business Services -- 5.3%
Acnielsen* 3,100 $ 70
Adaptec* 12,400 492
C-Net* 600 34
CMG Information Services* 1,100 113
Convergys* 6,600 131
CSG Systems International* 9,600 263
Doubleclick* 400 48
E*trade Group* 2,400 56
Infoseek* 700 22
Inktomi* 500 60
Modis Professional Services* 5,300 70
National Data 2,600 68
Network Solutions* 200 18
Sungard Data Systems* 8,100 213
Teradyne* 1,800 63
USWeb* 1,100 38
Verisign* 500 53
---------
1,812
---------
Miscellaneous Manufacturing -- 0.3%
Blyth Industries* 2,000 56
Crane 2,000 45
---------
101
---------
Office Furniture & Fixtures -- 1.0%
Johnson Controls 5,500 365
---------
Paper & Paper Products -- 1.2%
Georgia-Pacific 10,200 413
---------
Petroleum & Fuel Products -- 2.7%
Diamond Offshore Drilling 8,400 280
Noble Drilling* 16,800 368
Vastar Resources 4,800 300
---------
948
---------
Petroleum Refining -- 3.1%
Coastal 8,900 364
Tosco 18,700 472
Ultramar Diamond Shamrock 5,300 135
USX-Marathon Group 3,800 111
---------
1,082
---------
Printing & Publishing -- 2.5%
Central Newspapers 3,400 151
Meredith 4,300 156
Tribune 11,500 572
---------
879
---------
39
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Mid-Cap Fund--Concluded
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Professional Services -- 0.5%
Gartner Group* 1,200 $ 19
Sylvan Learning Systems* 2,300 45
Veritas Software* 1,600 122
---------
186
---------
Retail -- 6.3%
Best Buy* 4,700 292
Circuit City Stores 1,600 68
Dollar Tree Stores* 2,100 84
Ikon Office Solutions 7,200 77
Kmart* 5,600 65
Office Depot* 9,200 94
Officemax* 15,100 88
Ross Stores 12,800 258
Saks* 4,500 68
Tandy 4,100 212
Tech Data* 5,600 130
TJX 7,200 202
Warnaco Group 13,900 254
Zale* 8,400 322
---------
2,214
---------
Rubber & Plastic -- 1.3%
BF Goodrich 12,800 371
Tupperware 4,900 99
---------
470
---------
Semi-Conductors/Instruments -- 3.4%
Analog Devices* 2,100 108
Conexant Systems* 400 29
LSI Logic* 1,000 52
Micron Technology 1,800 120
National Semiconductor* 4,000 122
Novellus Systems* 1,300 88
PMC-Sierra* 1,600 148
Qlogic* 700 49
RF Micro Devices* 1,200 55
Sanmina* 1,900 147
Vitesse Semiconductor* 1,300 111
Xilinx* 2,500 164
---------
1,193
---------
Software -- 3.5%
Adobe Systems 600 68
Citrix Systems* 1,100 68
Compuware* 6,100 159
Earthlink Network* 300 13
Infospace.com* 300 12
Keane* 2,400 55
Lycos* 1,000 50
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Macromedia* 500 $ 20
Mindspring Enterprises* 500 14
Networks Associates* 2,000 38
Novell* 2,000 41
Psinet* 600 22
RealNetworks* 400 42
Rhythms NetConnections* 800 28
Sterling Software* 13,600 272
Symantec* 7,600 273
Vignette* 200 18
Verio* 900 28
---------
1,221
---------
Steel & Steel Works -- 0.3%
Nucor 2,500 119
---------
Telephones & Telecommunication -- 4.4%
Allegiance Telecommunications* 1,000 53
Centurytel 11,650 473
Cincinnati Bell 19,500 379
Covad Communications Group* 1,000 44
Exodus Communications* 1,200 86
Metromedia Fiber Network* 1,500 37
Nextlink Communications* 1,900 99
RNC* 500 21
United States Cellular* 3,600 245
Voicestream Wireless 900 56
Winstar Communications* 1,400 55
---------
1,548
---------
Testing Laboratories -- 0.4%
Medimmune* 900 90
Quintiles Transnational* 3,000 57
---------
147
---------
Transportation Services -- 2.4%
Galileo International* 12,000 483
GATX 11,900 370
---------
853
---------
Wholesale -- 4.7%
Arrow Electronics* 11,400 201
Avnet 7,600 319
Bergen Brunswig, Cl A 30,500 316
Ingram Micro* 5,600 72
Meritor Automotive 7,600 159
Supervalu 27,100 591
---------
1,658
---------
Total Common Stocks
(Cost $34,366) 34,859
---------
40
<PAGE>
- --------------------------------------------------------------------------------
Face Amount Market
Description (000)/Shares Value (000)
- --------------------------------------------------------------------------------
Repurchase Agreement -- 0.6%
J.P. Morgan
5.350%, dated 09/30/99, matures
10/01/99, repurchase price $219,000
(collateralized by FNMA obligation,
total par value $239,000,
6.000%, 09/01/29) $219 $ 219
---------
Total Repurchase Agreement
(Cost $219) 219
---------
Total Investments -- 100.2%
(Cost $34,585) 35,078
---------
Other Assets and Liabilities, Net -- (0.2%) (83)
---------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 2,304,290 outstanding shares of
beneficial interest 31,573
Undistributed net investment income 25
Accumulated net realized gain
on investments 2,904
Net unrealized appreciation on investments 493
---------
Total Net Assets -- 100.0% $ 34,995
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $15.19
==========
*Non-income producing security
Cl -- Class
FNMA -- Federal National Mortgage Association
The accompanying notes are an integral part of the financial statements.
Capital Appreciation Fund
Common Stocks -- 90.0%
Air Transportation -- 0.1%
Southwest Airlines 3,600 $ 55
---------
Aircraft -- 1.5%
United Technologies 21,300 1,263
---------
Banks -- 4.0%
Bank of America 11,763 655
Bank of New York 6,600 221
Bank One 3,081 107
Bank United, Cl A 5,800 188
Bankboston 8,500 369
Comerica 6,200 314
First American of Tennesse 4,200 180
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
First Security 7,300 $ 174
North Fork Bancorporation 11,500 224
U.S. Bancorp 12,000 362
Washington Mutual 20,188 590
---------
3,384
---------
Beauty Products -- 0.8%
Avon Products 13,900 345
Dial 8,300 212
Procter & Gamble 1,400 131
---------
688
---------
Broadcasting, Newspapers & Advertising -- 1.2%
Fox Entertainment Group, Cl A* 12,700 268
Interpublic Group 5,200 214
Mediaone Group* 8,100 553
---------
1,035
---------
Chemicals -- 1.6%
Air Products & Chemicals 35,100 1,020
Avery Dennison 2,300 121
Monsanto 6,700 239
---------
1,380
---------
Communications Equipment -- 1.9%
ADC Telecommunications* 18,000 755
General Instrument* 4,600 221
GTE 3,800 292
Nortel Networks 7,400 377
---------
1,645
---------
Computers & Services -- 10.0%
Ceridian* 36,300 903
Cisco Systems* 25,700 1,762
Comverse Technology* 5,600 528
Dell Computer* 5,400 226
EMC* 16,700 1,193
Hewlett Packard 9,000 828
IBM 24,900 3,022
---------
8,462
---------
Drugs -- 7.2%
Alza* 16,200 694
American Home Products 3,000 124
Bristol-Myers Squibb 13,000 878
Eli Lilly 20,350 1,302
Forest Laboratories* 14,200 598
Merck 17,100 1,108
Schering Plough 2,600 113
Warner Lambert 17,400 1,155
Watson Pharmaceuticals* 5,000 153
---------
6,125
---------
41
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Capital Appreciation Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Electrical Services -- 0.0%
Niagara Mohawk Holdings* 1,000 $ 15
---------
Environmental Services -- 0.9%
Allied Waste Industries* 20,400 238
Republic Services, Cl A* 18,800 204
Waste Management* 15,500 298
---------
740
---------
Financial Services -- 3.8%
Associates First Capital 12,500 450
Equifax 4,800 135
FHLMC 9,200 478
Household International 3,379 136
Mellon Bank 26,300 888
Starwood Hotels and Resorts
World Wide* 10,373 231
Textron 11,400 882
---------
3,200
---------
Food, Beverage & Tobacco -- 4.5%
Coca-Cola 8,400 404
Coca-Cola Enterprises 25,900 584
Conagra 8,300 187
Flowers Industries 5,900 80
Nabisco Group Holdings 24,600 369
Pepsi Bottling Group* 17,000 290
PepsiCo 21,300 644
Ralston-Ralston Purina Group 7,800 217
Sara Lee 19,100 448
Seagram 6,900 314
Unilever NV* 3,700 252
---------
3,789
---------
Gas/Natural Gas -- 0.2%
Consolidated Natural Gas 2,500 156
---------
Household Products -- 0.3%
Maytag 8,000 267
---------
Insurance -- 3.6%
Ace, Ltd. 21,900 371
American International Group 11,617 1,010
Conseco 27,500 531
Radian Group 1,300 56
Torchmark 22,300 577
Unumprovident 16,000 471
---------
3,016
---------
Leasing & Renting -- 0.5%
United Rentals* 20,400 444
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Leisure Products -- 1.1%
Hasbro 25,400 $ 545
Mattel 21,050 400
---------
945
---------
Machinery -- 0.1%
SPX 700 64
---------
Marine Transportation -- 1.0%
Carnival 18,300 796
Oak Industries 1,700 77
---------
873
---------
Measuring Devices -- 0.7%
Honeywell 5,300 590
---------
Medical Products & Services -- 1.6%
Baxter International 9,800 590
Boston Scientific* 9,900 244
Health Management Associates*,
Cl A 14,900 110
Healthsouth Rehabilitation* 29,401 178
Tenet Healthcare* 15,200 267
---------
1,389
---------
Miscellaneous Business Services -- 7.1%
Cendant* 47,054 835
Computer Sciences* 2,500 176
Ecolab 18,500 631
Microsoft* 34,450 3,120
Sun Microsystems* 12,900 1,200
---------
5,962
---------
Miscellaneous Manufacturing -- 6.9%
General Electric 28,300 3,355
Harley-Davidson 4,000 200
Tyco International, Ltd. 22,288 2,301
---------
5,856
---------
Office Furniture & Fixtures -- 0.6%
Lear* 14,300 503
---------
Paper & Paper Products -- 0.3%
Fort James 5,500 147
Mead 3,300 113
---------
260
---------
Petroleum & Fuel Products -- 1.7%
Anadarko Petroleum 9,400 287
Atlantic Richfield 5,400 479
Burlington Resources 13,500 496
Eog Resourses 6,300 134
---------
1,396
---------
42
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Petroleum Refining -- 2.3%
Conoco* 15,900 $ 435
Texaco 17,500 1,105
Unocal 10,900 404
---------
1,944
---------
Photographic Equipment & Supplies -- 0.9%
Xerox 18,400 772
---------
Printing & Publishing -- 1.7%
Gannett 10,200 706
Time Warner 3,800 231
Viacom, Cl B* 10,900 461
---------
1,398
---------
Professional Services -- 0.8%
Halliburton 11,100 455
International Network Services* 3,300 179
---------
634
---------
Retail -- 10.0%
Bed Bath & Beyond* 10,600 370
CVS 31,400 1,282
Dayton-Hudson 8,100 487
Kroger* 51,000 1,125
Linens N Things* 800 27
Lowe's 34,800 1,697
Office Depot* 70,350 717
Rite Aid 25,700 355
Safeway* 11,200 426
Saks* 23,700 360
Tandy 30,800 1,592
The Gap 1,000 32
---------
8,470
---------
Semi-Conductors/Instruments -- 2.8%
Analog Devices* 7,800 400
Intel 17,200 1,278
Texas Instruments 8,800 724
---------
2,402
---------
Software -- 0.4%
BMC Software* 4,800 344
---------
Specialty Construction -- 1.2%
Masco 33,400 1,035
---------
Telephones & Telecommunication -- 3.0%
Centurytel 13,700 557
Lucent Technologies 14,300 928
MCI WorldCom* 14,397 1,035
---------
2,520
---------
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Wholesale -- 3.7%
Cardinal Health 22,085 $ 1,204
Costco 16,500 1,188
U.S. Foodservice* 35,090 632
W.W. Grainger 2,200 106
---------
3,130
---------
Total Common Stocks
(Cost $57,820) 76,151
---------
Preferred Stocks -- 0.9%
Electrical Services -- 0.5%
Cms Energy 11,500 420
---------
Financial Services -- 0.4%
Suiza Capital Trust II* 9,800 342
---------
Total Preferred Stocks
(Cost $814) 762
---------
U.S. Treasury Obligation -- 0.9%
U.S Treasury Bill
0.000%, 02/03/00 (A) 800 787
---------
Total U.S. Treasury Obligation
(Cost $788) 787
---------
Repurchase Agreement -- 3.6%
J.P. Morgan
5.350%, dated 09/30/99, matures
10/01/99, repurchase price
$3,052,000 (collateralized by
various GNMA obligation,
par value $4,255,000, 7.500%,
10/15/28, total market value:
$3,112,000) $3,052 3,052
---------
Total Repurchase Agreement
(Cost $3,052) 3,052
---------
Total Investments -- 95.4%
(Cost $62,474) 80,752
---------
Other Assets and Liabilities, Net -- 4.6% 3,845
---------
43
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Capital Appreciation Fund--Concluded
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 6,395,897 outstanding shares of
beneficial interest $ 48,983
Undistributed net investment income 148
Accumulated net realized gain
on investments 17,188
Net unrealized appreciation on investments 18,278
---------
Total Net Assets -- 100.0% 84,597
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $13.23
=========
*Non-income producing security
(A) Security has been pledged as collateral on open futures contracts.
Cl -- Class
FHLMC -- Federal Home Loan Mortgage Corporation
GNMA -- Government National Mortgage Association
Ltd. -- Limited
The accompanying notes are an integral part of the financial statements.
Equity Income Fund
Common Stocks -- 91.1%
Aircraft -- 0.7%
Boeing 12,450 $ 531
---------
Automotive -- 1.7%
Dana 15,625 580
Ford Motor 15,700 788
---------
1,368
---------
Banks -- 9.8%
Bank of America 24,500 1,364
Bank One 26,527 923
Chase Manhattan 11,225 846
First Union 17,325 616
Fleet Financial Group 41,575 1,523
National City 11,075 296
SunTrust Banks 5,075 334
U.S. Bancorp 22,900 691
Washington Mutual 23,400 684
Wells Fargo 15,325 607
---------
7,884
---------
Beauty Products -- 1.1%
Avon Products 15,500 385
International Flavors & Fragrances 15,125 522
---------
907
---------
Building & Construction -- 1.5%
Fluor 30,625 1,233
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Chemicals -- 3.5%
BF Goodrich 26,500 $ 768
Dow 4,475 508
EI du Pont de Nemours 10,606 646
Hercules 21,650 620
PPG Industries 2,475 148
Rohm & Haas 4,200 152
---------
2,842
---------
Communications Equipment -- 1.9%
GTE 20,500 1,576
---------
Computers & Services -- 5.7%
Compaq Computer 27,525 631
Diebold 24,950 577
Hewlett Packard 17,100 1,573
IBM 14,950 1,815
---------
4,596
---------
Containers & Packaging -- 0.5%
Newell Rubbermaid 13,875 396
---------
Drugs -- 4.4%
Abbott Laboratories 17,350 638
Bristol-Myers Squibb 15,025 1,014
Merck 12,075 783
Pharmacia & Upjohn 21,975 1,091
---------
3,526
---------
Electrical Services -- 4.8%
Central & South West 17,000 359
Constellation Energy Group* 24,225 681
Duke Power 10,850 598
FPL Group 7,475 377
Pacificorp 8,375 169
Southern 30,225 778
Texas Utilities 23,875 891
---------
3,853
---------
Entertainment -- 0.4%
Walt Disney 12,200 316
---------
Financial Services -- 5.2%
American General Hospitality 12,100 463
Equifax 10,825 304
FNMA 17,600 1,103
Household International 4,175 168
Kimco Realty 12,100 433
Merrill Lynch 13,300 894
Morgan Stanley 3,525 314
Simon Property Group 23,575 529
---------
4,208
---------
44
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Food, Beverage & Tobacco -- 4.6%
Campbell Soup 18,200 $ 712
General Mills 3,850 312
Hershey Foods 9,700 472
Kellogg 11,475 430
PepsiCo 4,825 146
Philip Morris 28,650 979
Sara Lee 29,150 683
---------
3,734
---------
Gas/Natural Gas -- 3.1%
El Paso Natural Gas 18,125 722
Enron 24,300 1,002
Sempra Energy* 29,100 606
Williams 3,825 143
---------
2,473
---------
Household Products -- 0.5%
Sherwin Williams 19,275 404
---------
Insurance -- 6.6%
American General 17,500 1,106
Citigroup 27,025 1,189
Jefferson Pilot 6,312 399
Lincoln National 17,193 646
Marsh & McLennan 17,900 1,226
St. Paul 28,375 780
---------
5,346
---------
Leasing & Renting -- 0.2%
Pitney Bowes 2,775 169
---------
Machinery -- 1.0%
Baker Hughes 23,250 674
Brunswick 6,075 151
---------
825
---------
Measuring Devices -- 0.2%
Snap-On Tools 4,625 150
---------
Medical Products & Services -- 0.9%
Baxter International 11,825 712
---------
Miscellaneous Business Services -- 2.6%
Autodesk 13,425 294
Automatic Data Processing 7,875 351
Deluxe 6,675 227
Electronic Data Systems 12,600 667
Shared Medical Systems 12,675 593
---------
2,132
---------
Miscellaneous Manufacturing -- 1.7%
General Electric 7,675 910
Minnesota Mining & Manufacturing 5,225 502
---------
1,412
---------
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Paper & Paper Products -- 1.7%
Kimberly-Clark 17,600 $ 924
Willamette Industries 9,925 428
---------
1,352
---------
Petroleum Refining -- 9.7%
BP Amoco Plc-Spons, ADR 9,488 1,051
Chevron 10,400 923
Conoco* 11,928 327
Exxon 22,575 1,714
Mobil 13,925 1,403
Royal Dutch Petroleum 22,125 1,307
Texaco 18,100 1,143
---------
7,868
---------
Photographic Equipment & Supplies -- 1.1%
Eastman Kodak 11,920 899
---------
Printing & Publishing -- 1.9%
McGraw-Hill 18,300 885
R.R. Donnelley & Sons 22,800 658
---------
1,543
---------
Professional Services -- 1.0%
Halliburton 19,475 798
---------
Repair Services -- 0.5%
Ryder System 21,800 444
---------
Retail -- 1.8%
JC Penney 11,025 379
May Department Stores 14,100 514
Sears Roebuck 17,675 555
---------
1,448
---------
Rubber & Plastic -- 1.0%
Armstrong World Industries 18,850 847
---------
Specialty Services -- 0.3%
National Service Industries 7,300 230
---------
Steel & Steel Works -- 3.0%
Alcoa 14,725 914
Engelhard 42,300 769
Worthington Industries 43,200 734
---------
2,417
---------
Telephones & Telecommunication -- 4.9%
Alltel 10,000 704
AT&T 28,162 1,225
Bell Atlantic 6,395 430
SBC Telecommunications 5,749 294
US West 22,866 1,305
---------
3,958
---------
45
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Equity Income Fund--Concluded
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Wholesale -- 1.6%
Motorola 14,300 $ 1,258
---------
Total Common Stocks
(Cost $60,862) 73,655
---------
U.S. Treasury Obligation -- 1.0%
U.S. Treasury Bill
0.000%, 02/03/00 (A) 800 787
---------
Total U.S. Treasury Obligation
(Cost $788) 787
---------
Repurchase Agreement -- 8.1%
J.P. Morgan
5.350%, dated 09/30/99, matures
10/01/99, repurchase price
$6,536,000, (collateralized by
GNMA obligation, par value
$9,112,000, 7.500%, 10/15/28,
total market value: $6,665,000) $6,535 6,535
---------
Total Repurchase Agreement
(Cost $6,535) 6,535
---------
Total Investments -- 100.2%
(Cost $68,185) 80,977
---------
Other Assets and Liabilities, Net -- (0.2%) (142)
---------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 6,422,252 outstanding shares of
beneficial interest 42,939
Undistributed net investment income 439
Accumulated net realized gain
on investments 24,927
Net unrealized depreciation on futures (262)
Net unrealized appreciation on investments 12,792
---------
Total Net Assets -- 100.0% $ 80,835
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $12.59
==========
* Non-income producing security
(A) Security has been pledged as collateral on open futures contracts.
ADR -- American Depository Receipt
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
PLC -- Public Limited Company
The accompanying notes are an integral part of the financial statements.
Balanced Fund
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stocks -- 58.6%
Aerospace & Defense -- 0.0%
Raytheon Company, Cl B 400 $ 20
---------
Air Transportation -- 0.1%
Southwest Airlines 1,900 29
---------
Aircraft -- 0.9%
United Technologies 8,200 486
---------
Banks -- 2.8%
Bank of America 4,674 260
Bank of New York 2,900 97
Bank One 556 19
Bank United, Cl A 2,200 71
Bankboston 3,900 169
Comerica 3,500 177
First Security 2,400 57
First American of Tennessee 1,500 64
North Fork Bancorporation 3,500 68
PNC Bank 2,200 116
U.S. Bancorp 6,800 205
Washington Mutual 7,656 224
---------
1,527
---------
Beauty Products -- 0.5%
Avon Products 6,100 151
Dial 3,900 99
Procter & Gamble 200 19
---------
269
---------
Broadcasting, Newspapers & Advertising -- 0.8%
Fox Entertainment Group, Cl A* 5,000 106
Interpublic Group 2,300 95
Mediaone Group* 3,700 253
---------
454
---------
Chemicals -- 1.0%
Air Products & Chemicals 13,700 398
Avery Dennison 400 21
Monsanto 3,000 107
---------
526
---------
Communications Equipment -- 0.9%
ADC Telecommunications* 4,300 180
General Instrument* 2,000 96
GTE 1,100 85
Nortel Networks 2,400 122
---------
483
---------
Computers & Services -- 6.6%
Ceridian* 14,100 351
Cisco Systems* 11,800 809
Comverse Technology* 1,600 151
Dell Computer* 2,200 92
46
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
EMC* 7,300 $ 522
Hewlett Packard 4,100 377
IBM 10,400 1,262
---------
3,564
---------
Drugs -- 4.9%
Alza* 6,800 291
American Home Products 3,900 162
Bristol-Myers Squibb 5,000 338
Eli Lilly 8,700 557
Forest Laboratories* 5,700 240
Merck 6,800 441
Schering Plough 1,700 74
Warner Lambert 7,200 478
Watson Pharmaceuticals* 2,200 67
---------
2,648
---------
Electrical Services -- 0.1%
Niagara Mohawk Holdings* 2,200 34
---------
Environmental Services -- 0.5%
Allied Waste Industries* 8,100 95
Republic Services, Cl A* 7,300 79
Waste Management* 6,213 120
---------
294
---------
Financial Services -- 2.5%
Associates First Capital 4,700 169
Equifax 2,000 56
FHLMC 3,500 182
Household International 1,259 51
Mellon Bank 11,300 381
Starwood Hotels and Resorts
World Wide* 4,161 93
Textron 5,700 441
---------
1,373
---------
Food, Beverage & Tobacco -- 2.7%
Coca-Cola 3,500 168
Coca-Cola Enterprises 9,700 219
Conagra 3,300 75
Flowers Industries 4,700 64
Nabisco Group Holdings 8,400 126
Pepsi Bottling Group* 6,700 114
PepsiCo 8,300 251
Ralston-Ralston Purina Group 2,500 70
Sara Lee 7,100 166
Seagram 2,300 105
Unilever NV* 1,800 123
---------
1,481
---------
Gas/Natural Gas -- 0.1%
Consolidated Natural Gas 1,100 69
---------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Household Products -- 0.2%
Maytag 3,400 $ 113
---------
Insurance -- 2.1%
Ace, Ltd. 7,400 125
American International Group 4,553 396
Conseco 8,600 166
Radian Group 1,200 52
Torchmark 7,900 204
Unumprovident 6,400 188
---------
1,131
---------
Leasing & Renting -- 0.2%
United Rentals* 5,100 111
---------
Leisure Products -- 0.7%
Hasbro 9,850 211
Mattel 8,200 156
---------
367
---------
Machinery -- 0.1%
SPX 800 73
---------
Marine Transportation -- 0.7%
Carnival 8,200 357
Oak Industries 1,000 45
---------
402
---------
Measuring Devices -- 0.5%
Honeywell 2,500 278
---------
Medical Products & Services -- 1.0%
Baxter International 3,900 235
Boston Scientific* 4,300 106
Health Management Associates*,
Cl A 6,300 47
Healthsouth Rehabilitation* 11,742 71
Tenet Healthcare* 3,600 63
---------
522
---------
Miscellaneous Business Services -- 4.3%
Cendant* 15,032 267
Computer Sciences* 2,200 155
Ecolab 8,600 294
Microsoft* 12,900 1,168
Sun Microsystems* 5,000 465
---------
2,349
---------
Miscellaneous Manufacturing -- 4.7%
General Electric 11,700 1,387
Harley-Davidson 4,600 230
Tyco International, Ltd. 9,139 944
---------
2,561
---------
47
<PAGE>
STATEMENT OF NET ASSETS
- -------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Balanced Fund--Continued
- -----------------------------------------------------------
Market
Description Shares Value (000)
- -----------------------------------------------------------
Office Furniture & Fixtures -- 0.4%
Lear* 5,900 $ 208
------
Paper & Paper Products -- 0.2%
Fort James 2,400 64
Mead 1,600 55
------
119
------
Petroleum & Fuel Products -- 1.0%
Anadarko Petroleum 4,000 122
Atlantic Richfield 2,000 177
Burlington Resources 5,500 202
Eog Resourses 1,100 23
------
524
------
Petroleum Refining -- 1.6%
Conoco* 6,400 175
Mobil 600 60
Texaco 7,500 473
Unocal 4,300 159
------
867
------
Photographic Equipment & Supplies-- 0.5%
Xerox 6,900 289
------
Printing & Publishing -- 1.5%
Gannett 6,200 429
McGraw-Hill 1,000 48
Time Warner 1,500 91
Viacom, Cl B* 5,200 220
------
788
------
Professional Services -- 0.5%
International Network Services* 1,400 76
Halliburton 4,800 197
------
273
------
Railroads -- 0.1%
Burlington Northern Santa Fe 2,300 63
------
Retail -- 6.2%
Bed Bath & Beyond* 4,700 164
CVS 12,000 490
Dayton-Hudson 3,100 186
Home Depot 400 28
Kroger* 19,500 430
Linens N Things* 200 7
Lowe's 15,200 741
Office Depot* 25,900 264
Rite Aid 10,000 138
Safeway* 4,100 156
Saks* 11,400 173
- -----------------------------------------------------------
Market
Description Shares Value (000)
- -----------------------------------------------------------
Tandy 11,800 $ 610
The Gap 400 13
------
3,400
------
Semi-Conductors/Instruments -- 1.7%
Analog Devices* 2,700 138
Intel 6,900 513
Texas Instruments 3,600 296
------
947
------
Software -- 0.3%
BMC Software* 2,500 179
------
Specialty Construction -- 0.8%
Masco 13,250 411
------
Telephones & Telecommunication -- 2.6%
Centurytel 4,900 199
Lucent Technologies 11,844 768
MCI WorldCom* 6,585 473
------
1,440
------
Wholesale -- 2.3%
Cardinal Health 8,566 467
Costco* 6,900 497
U.S. Foodservice* 13,730 247
W.W. Grainger 700 34
------
1,245
------
Total Common Stocks
(Cost $24,972) 31,917
------
Preferred Stocks -- 0.7%
Air Transportation -- 0.0%
Trans World Air* 700 16
------
Electrical Services -- 0.3%
Cms Energy 4,500 165
------
Financial Services -- 0.2%
Suiza Capital Trust II* 3,400 119
------
Insurance -- 0.2%
Conseco Financial Trust* 3,000 83
------
Total Preferred Stocks
(Cost $504) 383
------
48
<PAGE>
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
U.S. Treasury Obligations -- 5.1%
U.S. Treasury Notes
6.375%, 01/15/00 $ 100 $ 100
7.750%, 01/31/00 149 150
5.500%, 04/15/00 150 150
5.750%, 10/31/00 100 100
7.750%, 02/15/01 125 129
5.625%, 02/28/01 325 325
6.375%, 09/30/01 100 101
6.625%, 03/31/02 155 158
6.250%, 06/30/02 100 101
6.000%, 08/15/09 625 630
U.S Treasury Bond
5.750%, 06/30/01 840 841
------
Total U.S. Treasury Obligations
(Cost $2,776) 2,785
------
U.S. Government Mortgage-Backed Obligations -- 2.5%
FHLMC
8.000%, 12/01/02 198 202
5.750%, 03/15/09 1,075 1,005
FNMA
5.800%, 12/10/03 100 98
6.400%, 09/27/05 50 50
------
Total U.S. Government Mortgage-Backed Obligations
(Cost $1,361) 1,355
------
Corporate Obligations -- 29.5%
Aon
6.900%, 07/01/04 590 586
Aristar
7.250%, 06/15/06 290 285
Associates
6.250%, 11/01/08 500 472
AT&T
6.890%, 01/25/02 1,340 1,337
6.000%, 03/15/09 250 232
Bank of America
6.625%, 06/15/04 495 491
Bausch & Lomb
6.150%, 08/01/01 1,340 1,328
Capital One Bank
6.375%, 02/15/03 1,000 976
Cit Group Holdings
6.500%, 06/14/02 650 648
Countrywide Funding
6.690%, 07/14/13 995 985
Dillards
6.430%, 08/01/04 725 698
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Finova Capital
6.560%, 11/15/02 $ 680 $ 669
7.300%, 09/22/03 420 422
Ford Motor Credit
6.375%, 04/15/00 125 126
6.125%, 04/28/03 280 273
General Electric Capital, Ser A
6.267%, 07/23/03 865 856
Heller Financial, Ser I
6.500%, 07/22/02 280 278
Household Finance
7.200%, 07/15/06 150 149
5.875%, 02/01/09 50 45
Ing Groep NV (Equitable Iowa)
8.500%, 02/15/05 645 685
International Lease Financial
5.800%, 06/15/01 390 387
5.850%, 11/25/03 400 387
Merrill Lynch
8.250%, 11/15/99 705 707
6.000%, 01/15/01 100 100
Paine Webber Group, MTN
6.020%, 04/22/02 400 392
Provident
6.375%, 07/15/05 1,600 1,516
Reliastar Financial
6.500%, 11/15/08 400 375
Sears Roebuck Acceptance
6.250%, 05/01/09 180 165
Wachovia
6.700%, 06/21/04 260 259
5.625%, 12/15/08 260 234
------
Total Corporate Obligations
(Cost $16,352) 16,063
------
Convertible Bonds -- 0.8%
Devon Energy,
Convertible to 9.3283 shares
4.950%, 08/15/08 300 296
WMX Technologies,
Convertible to 26.078 shares
2.000%, 01/24/05 200 163
------
Total Convertible Bonds
(Cost $518) 459
------
Warrants -- 0.0%
Coram Healthcare* 198 --
------
Total Warrants
(Cost $0) --
------
49
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
- ------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Balanced Fund--Concluded
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Repurchase Agreement -- 1.1%
J.P. Morgan
5.350%, dated 09/30/99,
matures 10/01/99,
repurchase price $601,000
(collateralized by GNMA
obligation, par value
$838,000, 7.500%, 10/15/28,
total market value: $613,000) $601 $ 601
--------
Total Repurchase Agreement
(Cost $601) 601
--------
Total Investments -- 98.3%
(Cost $47,084) 53,563
--------
Other Assets and Liabilities, Net -- 1.7% 924
--------
Net Assets:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
4,363,661 outstanding shares of
beneficial interest 43,340
Undistributed net investment income 297
Accumulated net realized gain
on investments 4,371
Net unrealized appreciation on investments 6,479
--------
Total Net Assets -- 100.0% $ 54,487
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $12.49
========
*Non-income producing security
Cl -- Class
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
Ltd. -- Limited
MTN -- Medium Term Note
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
The accompanying notes are an integral part of the financial statements.
Core Fixed Income Fund
U.S. Treasury Obligations -- 25.9%
U.S. Treasury Bonds
5.500%, 02/29/00 $ 19,700 $ 19,729
11.875%, 11/15/03 410 497
10.750%, 08/15/05 5,615 6,896
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
9.875%, 11/15/15 $ 23,250 $ 31,141
9.250%, 02/15/16 153,340 196,245
8.500%, 02/15/20 3,500 4,300
8.000%, 11/15/21 64,590 76,338
6.375%, 08/15/27 46,659 46,716
U.S. Treasury Notes
5.875%, 09/30/02 22,500 22,576
7.500%, 02/15/05 450 481
6.875%, 05/15/06 3,050 3,182
7.000%, 07/15/06 2,800 2,939
6.500%, 10/15/06 3,250 3,323
3.625%, 04/15/28 36,979 34,183
5.250%, 11/15/28 21,370 18,505
U.S. Treasury Note (E)
3.625%, 01/15/08 33,322 32,229
U.S. Treasury Note (E)
3.875%, 04/15/29 67,862 65,550
U.S. Treasury STRIPS
0.000%, 11/15/04 39,275 28,913
--------
Total U.S. Treasury Obligations
(Cost $603,651) 593,743
--------
Corporate Obligations -- 26.6%
AAAB
7.250%, 05/31/05 8,000 8,010
ABN Amro Bank of Chicago
6.625%, 10/31/01 2,500 2,503
Allstate Insurance
7.500%, 06/15/13 1,000 1,020
America West Air (B)
7.930%, 01/02/19 12,000 11,926
Archer Daniels
6.625%, 05/01/29 410 365
Associated P&C Holdings (B)
6.750%, 07/15/03 9,205 9,124
Banco Nacional de Mexico Ser 1996 (B)
6.250%, 12/01/03 3,845 3,802
Banco Santander Chile
6.500%, 11/01/05 4,225 4,040
BankAmerica
8.125%, 02/01/02 1,043 1,078
9.200%, 05/15/03 1,350 1,450
Bankers Trust NY
8.125%, 05/15/02 10,060 10,337
7.500%, 11/15/15 1,000 959
Bear Stearns
9.375%, 06/01/01 1,253 1,303
6.250%, 07/15/05 960 919
Boeing
7.875%, 04/15/43 8,000 8,160
British Aerospace Financial (B)
7.500%, 07/01/27 13,000 12,837
50
<PAGE>
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Cendant
7.750%, 12/01/03 $ 5,020 $ 5,001
Citicorp
7.625%, 05/01/05 2,000 2,060
Commonwealth Edison
9.875%, 06/15/20 850 958
Conectiv
6.730%, 06/01/06 2,850 2,818
Consolidated Rail
7.875%, 05/15/43 670 664
Continental Airlines
6.800%, 07/02/07 9,159 8,759
Continental Bank, N.A.
12.500%, 04/01/01 1,850 2,010
Continental Cablevision
9.000%, 09/01/08 2,900 3,172
9.500%, 08/01/13 7,625 8,473
Countrywide Capital I
8.000%, 12/15/26 1,750 1,625
Countrywide Funding (A)
5.078%, 01/26/00 5,000 4,996
Cox Communication
7.875%, 08/15/09 750 772
Dayton Hudson
10.000%, 01/01/11 1,000 1,222
8.600%, 01/15/12 941 1,053
Deutsche Bank Funding Trust
Private Placement (B)
7.872%, 12/29/49 3,200 3,055
Diageo Capital PLC Note
6.675%, 06/24/04 3,000 2,985
Donaldson Lufkin & Jenrette
6.170%, 07/15/03 2,500 2,444
6.875%, 11/01/05 1,750 1,715
Dresdner Bank
7.250%, 09/15/15 2,700 2,575
Dresdner Funding Private
Placement (B)
8.151%, 06/30/31 2,710 2,534
Dryden Investor Trust (B)
7.157%, 07/23/08 10,075 9,698
Duty Free International
7.000%, 01/15/04 6,825 6,876
Dynegy Bond
7.450%, 07/15/06 7,150 7,121
Equitable Companies
9.000%, 12/15/04 4,250 4,617
Federal Express
8.400%, 03/23/10 600 626
9.650%, 06/15/12 3,175 3,651
6.845%, 01/15/19 1,472 1,419
9.625%, 10/15/19 850 883
Federal Paperboard
8.875%, 07/01/12 1,700 1,940
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
First Boston, Ser 1998-C2, Cl A1
5.960%, 12/15/07 $ 10 $ 10
First National Bank of Omaha
7.320%, 12/01/10 750 753
First Union
8.125%, 06/24/02 1,100 1,133
First USA
7.000%, 08/20/01 1,175 1,193
First USA Bank MTN
5.850%, 02/22/01 4,000 3,985
Fleet Financial Group
9.900%, 06/15/01 2,000 2,115
Ford Capital
10.125%, 11/15/00 1,275 1,326
Ford Capital Note
9.875%, 05/15/02 850 914
Ford Motor
9.215%, 09/15/21 1,000 1,165
7.400%, 11/01/46 300 289
Ford Motor Capital
9.500%, 07/01/01 1,000 1,049
Ford Motor Credit
7.700%, 05/15/97 4,200 4,147
Ford Motor Global
6.625%, 10/01/28 750 668
General Motors Acceptance
9.625%, 12/15/01 1,850 1,961
5.950%, 03/14/03 1,820 1,768
5.850%, 01/15/09 4,300 3,918
General Motors Global
6.750%, 05/01/28 5,330 4,810
General Motors MTN
8.875%, 05/15/03 2,400 2,553
Georgia Pacific
9.500%, 12/01/11 1,500 1,719
9.875%, 11/01/21 4,975 5,361
GMAC, IO
0.000%, 06/15/15 10,000 3,125
Goldman Sachs
6.250%, 02/01/03 4,700 4,600
GTE
5.546%, 06/12/00 10,000 9,994
Heller Financial (A)
5.776%, 06/25/01 15,000 14,964
Household Netherlands
6.200%, 12/01/03 3,450 3,368
Hydro Quebec, Ser FU
11.750%, 02/01/12 1,300 1,770
Hydro Quebec, Ser GW
9.750%, 01/15/18 3,850 4,119
J Seagram & Sons
6.400%, 12/15/03 3,310 3,215
6.800%, 12/15/08 1,600 1,516
7.500%, 12/15/18 2,550 2,435
7.600%, 12/15/28 2,800 2,656
51
<PAGE>
SCHEDULE OF INVESTMENTS
- ------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Core Fixed Income Fund--Continued
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
JC Penney
9.750%, 06/15/21 $ 2,550 $ 2,757
8.250%, 08/15/22 1,500 1,457
6.900%, 08/15/26 3,000 2,989
Jersey Central Power & Light
6.375%, 05/01/03 2,441 2,420
John Deere
6.000%, 02/15/09 3,100 2,852
JP Morgan
6.000%, 01/15/09 1,790 1,631
JP Morgan Capital
7.950%, 02/01/27 700 668
Key Bank (A)
5.130%, 03/18/02 5,060 5,038
Keycorp Student Loan
6.000%, 10/05/01 5,000 5,000
KN Energy
9.625%, 08/01/21 1,900 2,031
Korea Development Bank
7.125%, 09/17/01 1,300 1,292
Korea Electric Power
7.750%, 04/01/13 1,285 1,155
6.750%, 08/01/27 1,075 1,017
Lehman Brothers
9.875%, 10/15/00 3,225 3,335
6.125%, 02/01/01 3,325 3,296
8.750%, 05/15/02 6,105 6,342
8.750%, 03/15/05 1,000 1,059
Lehman Brothers Holdings
8.875%, 03/01/02 5,000 5,200
7.500%, 09/01/06 3,025 3,010
Lincoln National
9.125%, 10/01/24 3,700 3,936
Loew's
7.625%, 06/01/23 2,550 2,391
Lucent Technologies
6.450%, 03/15/29 4,700 4,236
May Department Stores
9.875%, 06/15/21 2,150 2,327
Merrill Lynch
6.875%, 11/15/18 5,200 4,771
Midland Bank PLC
6.950%, 03/15/11 3,700 3,566
Money Store
8.050%, 04/15/02 1,700 1,751
Money Store (A)
5.520%, 07/15/25 2,128 2,111
MSC 98-CF1, IO (A)
0.840%, 12/15/12 8,943 399
N R G Energy (B)
7.625%, 02/01/06 2,750 2,712
Nabisco
7.550%, 06/15/15 2,000 1,935
6.375%, 02/01/35 5,000 4,781
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
National Bank of Hungary
8.875%, 11/01/13 $ 1,550 $ 1,633
National Rural Utilities
Cooperative Finance
9.000%, 09/01/21 3,950 4,143
National Westminster Bancorp
9.375%, 11/15/03 4,568 4,968
NCNB Bank
10.200%, 07/15/15 6,565 7,911
New York Telephone
9.375%, 07/15/31 2,900 3,110
Newcourt
7.125%, 12/17/03 4,110 4,105
Newcourt Credit
6.875%, 02/16/05 10,655 10,375
News America
6.750%, 01/09/38 1,120 1,040
News America Holdings
10.125%, 10/15/12 2,325 2,587
Norfolk Southern Railway
7.800%, 05/15/27 1,680 1,684
Norsk Hydro A/S
9.000%, 04/15/12 1,725 1,915
Northwest Airlines
8.130%, 02/01/14 2,460 2,347
NRG Energy
7.500%, 06/15/07 2,000 1,930
Oneok
7.750%, 08/15/06 1,000 1,007
Orion Capital
7.250%, 07/15/05 3,000 2,970
Osprey Trust (B)
8.310%, 01/15/03 6,000 6,022
Paine Webber
6.750%, 02/01/06 750 722
Paine Webber Group
6.450%, 12/01/03 1,500 1,459
7.115%, 01/27/04 2,000 1,982
8.875%, 03/15/05 1,300 1,380
6.500%, 11/01/05 2,775 2,643
7.390%, 10/16/17 3,000 2,771
Paine Webber Group, MTN
6.930%, 08/15/03 1,200 1,189
Pandhandle Eastern Pipeline
7.000%, 07/15/29 2,300 2,038
Pepsi Bottling Note
7.000%, 03/01/29 7,950 7,324
Philip Morris
7.750%, 01/15/27 8,490 8,341
Phillips Petroleum
9.180%, 09/15/21 2,800 3,010
52
<PAGE>
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Pohang Iron & Steel
7.125%, 07/15/04 $ 1,250 $ 1,202
7.375%, 05/15/05 585 562
Potomac Electric Power
9.000%, 09/01/21 1,000 1,044
Principal Financial Group
Private Placement (B)
8.200%, 08/15/09 9,000 9,067
Province of NewFoundland
10.000%, 12/01/20 850 1,057
PVNGS II Funding
8.000%, 12/30/15 4,500 4,674
Quebec Province
7.220%, 07/22/36 1,660 1,741
Republic of Korea
8.875%, 04/15/08 3,760 3,892
RJR Nabisco
7.750%, 05/15/06 7,100 6,751
RJR Nabisco (B)
7.875%, 05/15/09 4,680 4,388
Rochester Telephone
9.000%, 08/15/21 1,000 1,004
Royal & Sun Alliance (B)
8.950%, 10/15/29 3,120 3,057
Salomon Brothers
6.750%, 02/15/03 5,550 5,536
Santander Yankee Bond
7.250%, 11/01/15 3,600 3,384
Santander Financial
7.750%, 05/15/05 3,810 3,839
Security Capital Group
7.750%, 11/15/03 2,850 2,807
Silverado Apartments (D)
7.175%, 11/30/39 2,335 2,277
South Western Electric PLC (B)
6.500%, 07/15/02 675 672
Sumitomo Bank International
9.550%, 07/15/00 3,000 3,045
Swiss Bank
7.000%, 10/15/15 1,700 1,598
System Energy Resources
7.430%, 01/15/11 4,232 4,100
TCI Communications
6.375%, 05/01/03 3,040 3,006
7.875%, 02/15/26 5,470 5,641
7.125%, 02/15/28 4,630 4,375
Tenneco
7.450%, 12/15/25 500 464
Time Warner
9.125%, 01/15/13 2,100 2,370
Toll Road Investment
Partnership II (B)
0.000%, 02/15/06 10,300 6,322
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Transamerica Finance
6.125%, 11/01/01 $ 5,100 $ 5,068
Union Camp
10.000%, 05/01/19 230 242
Union Oil Comp of California
7.350%, 06/15/09 10,000 9,912
United Airlines
7.270%, 01/30/13 1,670 1,564
United Healthcare
6.600%, 12/01/03 6,885 6,610
US Air
7.500%, 04/15/08 2,573 2,574
US West Cap Funding (B)
5.960%, 06/15/00 6,600 6,606
US West Communication
8.875%, 06/01/31 2,000 2,070
USF&G
7.125%, 06/01/05 1,000 1,002
Walt Disney
5.620%, 12/01/08 7,280 6,698
Waste Management
7.125%, 12/15/17 8,250 6,765
Westdeutsche Landesbank NY
6.050%, 01/15/09 6,750 6,176
Western National
7.125%, 02/15/04 3,000 3,041
Westvaco
10.125%, 06/01/19 1,000 1,052
Weyerhaeuser
7.250%, 07/01/13 1,875 1,873
Wharf Capital
8.875%, 11/01/04 975 945
Wharf International Finance
7.625%, 03/13/07 1,300 1,129
YPF Sociedad Anonima
7.750%, 08/27/07 5,000 4,819
Zurich Capital Trust (B)
8.376%, 06/01/37 8,700 8,526
--------
Total Corporate Obligations
(Cost $630,130) 608,772
--------
U.S. Government Agency Obligations -- 1.1%
FFCA Secured Lending (A),
Ser 1997-1, IO (A), (F)
1.083%, 07/18/15 22,331 960
FFCA Secured Lending,
Ser 1999-1A, IO (F)
1.803%, 03/18/16 24,900 2,000
FNMA
4.820%, 11/12/99 200 199
6.029%, 05/01/29 2,271 2,254
FHLMC Discount Note
0.000%, 11/12/99 6,190 6,155
53
<PAGE>
SCHEDULE OF INVESTMENTS
- ------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Core Fixed Income Fund--Continued
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Resolution Trust Funding STRIPS
0.000%, 10/15/19 $ 53,800 $ 14,114
--------
Total U.S. Government Agency Obligations
(Cost $26,890) 25,682
--------
U.S. Government Mortgage-Backed Obligations -- 37.6%
FHLMC
5.500%, 10/01/13-07/01/14 30,226 28,468
6.000%, 03/01/14-02/01/29 24,622 23,349
6.500%, 08/01/08-07/01/29 40,901 39,319
6.625%, 09/15/09 23,000 22,885
6.956%, 07/01/27 3,854 3,902
7.000%, 02/01/09-09/01/25 8,543 8,406
7.500%, 06/01/10-09/01/29 6,266 6,304
8.000%, 07/01/12-01/01/28 6,950 7,120
9.000%, 12/01/05 114 119
FHLMC COFI ARM (A)
7.500%, 03/01/24 635 636
FHLMC REMIC, Ser 1005, Cl D
6.500%, 10/15/05 575 572
FHLMC REMIC, Ser 1563 (A)
9.210%, 08/15/08 289 286
FHLMC REMIC, Ser 1907, Cl LP
9.300%, 04/15/19 1,997 2,098
FHLMC TBA
6.500%, 10/01/29-10/14/29 107,220 102,861
7.000%, 10/01/29 15,100 14,850
7.500%, 10/01/29 3,380 3,396
FNMA
5.500%, 09/01/13-06/01/14 15,635 14,712
6.000%, 10/01/13-04/01/29 50,480 47,916
6.140%, 09/10/08 2,790 2,609
6.500%, 04/01/09-11/01/29 23,903 23,157
7.000%, 05/01/11-05/01/26 9,402 9,393
7.500%, 06/01/22-10/01/29 27,608 27,698
8.000%, 11/01/10-09/01/29 23,906 24,415
8.500%, 09/01/13 97 100
9.000%, 07/01/07 99 103
FNMA CMO, Ser 1997-G5
7.050%, 06/25/04 4,011 4,016
FNMA PO, Ser 94-9-C
Zero Coupon, 08/25/23 108 96
FNMA REMIC
6.500%, 03/25/07 4,535 4,488
5.500%, 08/25/20 2,666 2,553
FNMA REMIC Ser 1990-106, Cl J
8.500%, 09/25/20 515 535
FNMA REMIC Ser 1991-156, Cl A
7.500%, 10/25/21 1,736 1,739
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
FNMA REMIC Ser 1996-56,
STRIPS, CMO
9.000%, 09/25/25 $ 547 $ 571
FNMA Ser 93-254, Cl C, PO
Zero Coupon, 08/25/23 30 29
FNMA TBA
5.500%, 10/01/14 787 740
6.000%, 10/19/14-10/14/29 104,520 96,776
6.500%, 10/19/14-10/14/29 75,090 72,536
7.000%, 10/14/29 16,000 15,710
7.500%, 10/01/28-10/14/29 25,490 25,545
8.000%, 10/14/29 11,000 11,220
8.500%, 10/14/29 5,000 5,173
GNMA
6.500%, 04/15/23-06/15/29 50,995 48,978
6.625%, 08/20/22 3,470 3,542
7.000%, 12/15/22-08/15/29 50,287 49,354
7.500%, 09/15/06-09/15/29 40,234 40,358
7.700%, 11/15/38 1,506 1,524
7.790%, 03/15/38 1,358 1,429
8.000%, 05/15/25-09/01/27 2,223 2,273
8.040%, 02/01/39 499 531
8.500%, 11/15/00-12/15/21 387 401
9.500%, 01/15/19 372 399
GNMA (A)
6.875%, 06/20/18 207 209
6.625%, 09/20/19 200 204
GNMA TBA
6.000%, 10/01/14-10/01/29 38,320 35,826
6.500%, 10/01/29 14,999 14,329
7.500%, 10/01/28 3,800 3,810
--------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $861,980) 859,568
--------
Asset-Backed Securities -- 3.4%
Asset Securitization, Ser 1997-D4,
Cl A1-C
7.420%, 04/14/29 3,100 3,160
Banc One Credit Card Master Trust
7.340%, 10/25/26 942 952
Chase Manhattan Auto Grantor
Trust, Ser 1996-B, Cl A
6.230%, 06/15/03 10,175 10,213
Citibank Credit Card Master
Trust I, Ser 1996-1, Cl A, PO
0.000%, 02/07/03 11,839 10,655
Citibank Credit Card Master
Trust Ser 1996-1, Cl A
0.000%, 02/07/03 2,703 2,433
54
<PAGE>
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Copel 99-B-A3
6.610%, 12/18/02 $ 3,700 $ 3,701
Delta Funding Home Equity Loan,
Ser 1998-1, Cl A1-F (A)
5.270%, 10/25/17 1,134 1,135
Discover Card Master Trust I,
Ser 1995-2, Cl A
6.550%, 02/18/03 4,275 4,297
Fairbanks Capital Mortgage
Ser 1991-1 A (F)
5.810%, 05/25/28 12,017 11,988
GMACC, Ser 98-C2
0.823%, 05/15/31 25,665 1,015
Greentree Recreational Equipment
& Consumer Trust Ser 1999-A A3
0.000%, 07/15/03 5,900 5,887
MBNA Master Credit Card Trust
Ser 1999-B, Cl A
5.900%, 08/15/11 1,375 1,293
MBNA Master Credit Card Trust
Ser 1999-J, Cl A
7.000%, 02/15/12 1,200 1,206
New South 1999-1 Class A6, IO
8.000%, 05/25/30 3,000 363
Olympic Automobile Receivables
Trust , Ser 1995-D, Cl A5
6.150%, 07/15/01 11,370 11,382
Sears Credit
6.050%, 01/15/08 2,135 2,103
Sears Credit Account Master
Trust II, Ser 95-5, Cl A
7.000%, 10/15/04 1,416 1,429
Sears Credit Account Master
Trust, Ser 95-3, Cl A
8.100%, 06/15/04 1,833 1,862
Structured Asset Securities
Ser 1998-C2A, Cl A (A)
5.550%, 12/25/00 5 6
Union Acceptance, Ser 1998-B,
Cl A2
5.830%, 10/09/01 3,418 3,419
--------
Total Asset-Backed Securities
(Cost $77,890) 78,499
--------
Mortgage-Backed Obligations -- 7.1%
Advanta Mortgage Trust,
Ser 1993-4, Cl A1
5.500%, 03/25/10 1,714 1,667
American Airlines
9.780%, 11/26/11 4,331 4,731
Arbors of Little Rock (D)
7.450%, 01/01/39 1,995 1,981
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Capco American Securitization,
Ser 1998-D7, Cl A1B
6.260%, 09/15/08 $ 530 $ 494
Castle Terrace (D)
8.000%, 05/01/37 1,503 1,538
Chase Commercial Mortgage
7.370%, 02/19/07 107 108
Chase Commercial Mortgage,
Ser 1997-2, Cl A1
6.450%, 12/19/04 2,561 2,511
Chase Commercial Mortgage Securities,
CMO, Ser 1998-1, Cl A2
6.560%, 05/18/08 1,225 1,170
Citibank Credit Card Master
Trust I, Ser 1997-6, Cl A
0.000%, 08/15/06 1,133 809
Commercial Mortgage Asset
Trust, Ser 1999-C1, Cl A1
6.250%, 08/17/06 1,949 1,892
Community Program Loan Trust
7.720%, 06/25/23 3,612 3,716
Contimortgage Home Equity
Loan Trust
6.630%, 12/15/20 2,500 2,494
Contimortgage Home Equity
Loan Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28 3,250 3,241
Continental Airlines Series 99-2
Class C-1
7.730%, 03/15/11 5,500 5,441
Creekwood (D)
7.300%, 11/15/38 1,998 2,043
Delta Funding Home Equity Loan
Trust Ser 1997-3, Cl A6f
6.860%, 10/25/28 4,000 3,948
Delta Funding Home Equity Loan
Trust Ser 1997-4, Cl A5f
6.670%, 01/25/28 5,500 5,364
Deutsche Mortgage, Ser 1998,
Cl A1
6.220%, 09/15/07 1,087 1,059
Discover Card Master Trust
6.200%, 05/16/06 6,080 5,988
DLJ Commercial Mortgage
1998-Cf2 Class A1a
5.880%, 11/12/31 5,906 5,659
Enclave of Stone Brook (D)
0.000%, 08/29/37 3 3
7.500%, 11/01/38 1,923 1,917
Enterprise Mortgage Acceptance,
Ser 1991-1, Cl A, IO (A) (F)
1.240%, 10/12/23 61,030 3,967
55
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
- ------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Core Fixed Income Fund--Concluded
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Equivantage Home Equity Loan
Trust 1997-2 Cl A3
7.275%, 07/25/28 $ 2,183 $ 2,241
First Union-Lehman Brothers
Ser 1997-C2, CMO, IO (B)
1.530%, 11/18/27 4,600 344
Ge Capital Mortgage
Services 97-7: A15
5.000%, 02/25/09 1,170 1,015
Goldman Sachs Mortgage Securities,
Ser 1998-2, Cl A CMO
7.750%, 05/19/27 1,237 1,253
Green Tree Financial,
Ser 1996-10, Cl A6
7.290%, 03/15/28 1,250 1,193
GSMS 98-1 A CMO
8.000%, 08/19/19 1,346 1,375
Holt Apartments (D)
7.275%, 10/01/38 2,056 2,017
Household Automobile Revolving
Trust Series 1999-1 Class A2
5.719%, 05/17/02 11,360 11,355
Impac Commercial Holdings
6.060%, 10/20/07 4,482 4,354
JP Morgan Commercial Mortgage
Finance, Ser 1997-C5,
Cl X, CMO, IO (A) (B)
1.540%, 09/15/29 12,396 921
Lehman Brothers Commercial
Conduit Mortgage Trust Series
1998-C4 Class A1b
6.210%, 10/15/08 1,620 1,512
Matterhorn One Ltd Trust
Certificates (A)(B)
7.120%, 04/13/36 5,100 5,107
Merrill Lynch
7.430%, 09/01/22 1,833 1,843
Merrill Lynch Mortgage Investors,
Ser 1996-C2, Cl A3
6.960%, 11/21/28 7,940 7,888
Mortgage Capital Funding 98MC2
Cmbs Senior Class A
6.423%, 05/18/08 275 259
MSCI, Series 98-Cf1, Cl A1
6.330%, 10/15/07 809 791
Nationslink Funding
1999 Sl Class A1
5.805%, 02/10/01 6,451 6,424
Orchard Park Inn (D)
0.000%, 03/01/28 -- 1
PP&l Transition Bond LLC Series
1999-1 Class A1
6.080%, 03/25/03 14,800 14,803
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Rali 98-Qs6 Series Cb6
6.750%, 05/25/28 $ 2,008 $ 1,987
Renaissance Place Apartments
7.395%, 08/02/32 1,344 1,329
Residential Asset Securitization
Trust, Ser 1998-A1
7.000%, 03/25/28 37 38
Rosewood (D)
8.000%, 07/01/37 1,502 1,538
RTC 92-7-A2D
6.200%, 06/25/21 550 544
RTC ARM 92-B3 (A)
7.280%, 09/25/29 2,397 2,399
RTC ARM M-3 (A)
6.650%, 05/25/21 11,033 10,993
RTC ARM M-6 (A)
6.600%, 10/25/24 3,000 2,989
Ryland Mortgage Ser 1994-7a, Cl A2
7.000%, 08/25/25 1,217 1,214
Sanctuary At Tuttle Crossing (D)
8.250%, 06/01/37 1,318 1,365
Silverado Apartments (D)
0.000%, 11/30/39 233 227
Somerford Place Facility (D)
7.475%, 07/01/38 1,964 1,953
TMSRT, Ser 97-2, Cl A1
6.650%, 11/15/07 107 108
UCFC Home Equity Loan,
Ser 1998-A, Cl A1 (A)
5.460%, 07/15/11 1,109 1,109
UCFC Home Equity Loan,
Ser 95-B-1, Cl A5
7.250%, 12/10/20 2,450 2,477
Union Planters Mortgage Finance,
CMO, Ser 1998-1, Cl A1
6.350%, 01/25/28 936 941
Village at Stone Falls (D)
7.375%, 08/29/37 2,030 2,005
Villages at Clear Springs (D)
7.625%, 09/30/38 2,009 2,017
-------
Total Mortgage-Backed Obligations
(Cost $164,159) 161,670
-------
Commercial Paper -- 0.4%
Lockheed Martin
6.150%, 02/18/00 3,300 3,223
TRW
6.220%, 02/15/00 6,000 5,858
-------
Total Commercial Paper
(Cost $9,079) 9,081
-------
56
<PAGE>
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Options -- 0.0%
December 1999 90 Day Euro$
Call $ 771 $ 87
November 1999 5 Year Note
Call (153) (60)
November 1999 US Long Bond
Call (163) (49)
November 1999 US Long Bond
Call (343) (241)
October 1999 US Long Bond
Call (206) (58)
---------
Total Options
(Cost $ (592) (321)
---------
Municipal Bond -- 0.1%
First Chicago Funding
0.000%, 06/30/10 3,850 1,771
---------
Total Municipal Bond
(Cost $1,705) 1,771
---------
Repurchase Agreement -- 17.7%
J.P. Morgan
5.350%, dated 09/30/99,
matures 10/01/99, repurchase
price $404,801,000
(collateralized by various
FNMA obligations, total par
$517,987,000, 5.500-8.000%,
05/01/08-10/01/29, total
market value: $23,655,000) 404,741 404,741
---------
Total Repurchase Agreement
(Cost $404,741) 404,741
---------
Total Investments -- 119.9%
(Cost $2,779,633) 2,743,206
=========
(A) Variable Rate Security -- the rate reported on the Statement of Net Assets
is the rate in effect as of September 30, 1999.
(B) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Directors.
(C) Securities have been pledged as collateral on open futures contracts.
(D) Loans supporting construction in progress.
(E) U.S. Treasury Inflation Index Note
(F) Restricted security, not readily marketable (see note 2).
ARM -- Adjustable Rate Mortgage
Cl -- Class
COFI -- Cost of Funds Index
CMO -- Collateralized Mortgage Obligation
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
FFCA -- Federal Farm Credit Association
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
MTN -- Medium Term Note
PLC -- Public Limited Company
PO -- Principal Only
REMIC -- Real Estate Mortgage Investment Conduit
RTC -- Resolution Trust Corporation
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal
Securities
TBA -- To Be Announced
The accompanying notes are an integral part of the financial statements.
High Yield Bond Fund
Corporate Obligations -- 89.5%
AAF-Mcquay (A)
8.875%, 02/15/03 $ 835 $ 783
Abraxas Petroleum, Ser D
11.500%, 11/01/04 1,250 859
Ackerley Group, Ser B
9.000%, 01/15/09 1,600 1,532
Acme Television (B)*
11.730%, 09/30/04 500 438
Adelphia Cable Communications
10.500%, 07/15/04 500 524
Adelphia Communications
7.875%, 05/01/09 500 452
Adelphia Communications, Ser B
8.375%, 02/01/08 1,750 1,632
ADV Accessory
9.750%, 10/01/07 550 498
Advance Holding (B)
14.781%, 04/15/09 1,500 838
Advance Stores (A)
10.250%, 04/15/08 1,100 1,026
Advanced Glassfiber (A)
9.875%, 01/15/09 1,000 915
AEI Resources (A)
11.500%, 12/15/06 500 424
AES
8.500%, 11/01/07 800 734
8.000%, 12/31/08 500 461
57
<PAGE>
STATEMENT OF NET ASSETS
- ------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
High Yield Bond Fund--Continued
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Aetna Industries
11.875%, 10/01/06 $ 1,000 $ 1,115
AFC Enterprises
10.250%, 05/15/07 1,100 1,070
Agrilink Foods
11.875%, 11/01/08 1,700 1,602
Ainsworth Lumber
12.500%, 07/15/07 1,500 1,650
Airgate PCS (B)
12.991%, 10/01/09 650 353
Airplanes Pass Through Trust
10.875%, 03/15/19 300 270
Alaris Medical (B)
13.302%, 08/01/08 1,000 529
Algoma Steel
12.375%, 07/15/05 1,000 847
Allbritton Communications
9.750%, 11/30/07 800 800
Allied Holdings, Ser B
8.625%, 10/01/07 850 788
Allied Waste North America
7.875%, 01/01/09 1,300 1,147
Allied Waste North America (A)
10.000%, 08/01/09 500 456
AMC Entertainment
9.500%, 03/15/09 1,000 827
9.500%, 02/01/11 1,000 817
American Axle & Manufacturing
9.750%, 03/01/09 500 494
American Builder & Contractors
10.625%, 05/15/07 500 456
American Cellular
10.500%, 05/15/08 750 776
American Commercial Lines
10.250%, 06/30/08 1,100 1,089
American Lawyer Media
Holding (B)
13.156%, 12/15/08 1,000 640
American Lawyer Media
9.750%, 12/15/07 1,250 1,225
American Media Operation (A)
10.250%, 05/01/09 750 727
American Radio Systems
9.000%, 02/01/06 500 526
American Restaurant Group
11.500%, 02/15/03 700 633
American Skiing
12.000%, 07/15/06 450 406
American Tissue
12.500%, 07/15/06 800 774
Ameriking
10.750%, 12/01/06 600 538
Ameriserv Food
8.875%, 10/15/06 200 157
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Ameristar Casino, Ser B
10.500%, 08/01/04 $ 1,350 $ 1,350
AMF Group
10.875%, 03/15/06 700 530
AMF Group Senior (B)
19.935%, 03/15/06 306 177
Amkor Technologies (A)
10.500%, 05/01/09 500 482
Ampex
12.000%, 03/15/03 1,000 1,020
Amphenol
9.875%, 05/15/07 500 501
AMSC Acquisition, Ser B
12.250%, 04/01/08 900 648
Amscan Holdings
9.875%, 12/15/07 400 325
Amtrol
10.625%, 12/31/06 400 394
Anchor Lamina
9.875%, 02/01/08 1,000 877
Anthony Crane Rentals, Ser B
10.375%, 08/01/08 500 451
AP Holdings (B)
14.280%, 03/15/08 1,700 943
Apcoa
9.250%, 03/15/08 700 649
Applied Extrusion Tech, Ser B
11.500%, 04/01/02 800 824
Arcadia Financial Ltd.
11.500%, 03/15/07 500 381
Archibald Candy
10.250%, 07/01/04 1,200 1,185
Argosy Gaming
10.750%, 06/01/09 1,300 1,332
Atlantic Express
10.750%, 02/01/04 500 486
Atlas Air
9.375%, 11/15/06 1,250 1,209
Aurora Foods
8.750%, 07/01/08 850 807
Autotote
10.875%, 08/01/04 1,000 1,044
Avalon Cable Holdings (B)
11.094%, 12/01/08 500 328
Avalon Cable of Michigan
9.375%, 12/01/08 1,250 1,250
Avis Rent A Car (A)
11.000%, 05/01/09 750 769
Aztar (A)
8.875%, 05/15/07 1,500 1,410
B&G Foods
9.625%, 08/01/07 500 462
Ball
8.250%, 08/01/08 700 677
58
<PAGE>
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Balley Total Fitness
9.875%, 10/15/07 $ 400 $ 378
Bayou Steel
9.500%, 05/15/08 750 707
Belden & Blake, Ser B
9.875%, 06/15/07 500 309
Bellwether Exploration
10.875%, 04/01/07 1,200 1,089
Berry Plastics
12.500%, 06/15/06 500 469
Berry Plastics (A)
11.000%, 07/15/07 1,300 1,303
Better Minerals & Aggreg (A)
13.000%, 09/15/09 500 500
Beverly Enterprises
9.000%, 02/15/06 700 621
BGF Industries
10.250%, 01/15/09 1,000 860
Big City Radio (B)
15.386%, 03/15/05 1,700 1,205
Big Flower Press
8.625%, 12/01/08 1,000 957
Blue Bird Body
10.750%, 11/15/06 500 559
Booth Creek
12.500%, 03/15/07 1,000 747
Boyd Gaming
9.500%, 07/15/07 500 489
Boyds Collection
9.000%, 05/15/08 478 471
Brand Scaffold Services
10.250%, 02/15/08 750 677
Breed Technologies* (C)
0.000%, 04/15/08 1,000 35
Bresnan Communication (A)
8.000%, 02/01/09 1,350 1,330
Bresnan Communication (B)
9.611%, 02/01/09 1,700 1,116
Buckeye Cellulose
9.250%, 09/15/08 500 509
Bucyrus International
9.750%, 09/15/07 500 485
Building One Services (A)
10.500%, 05/01/09 750 688
Burke Industries
10.000%, 08/15/07 600 436
BWAY, Ser B
10.250%, 04/15/07 500 501
Caithness Coso (A)
9.050%, 12/15/09 1,000 982
California Steel (A)
8.500%, 04/01/09 500 472
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Call-Net Enterprises
9.375%, 05/15/09 $ 1,050 $ 916
Call-Net Enterprises (B)
11.214%, 08/15/07 1,000 677
Call-Net Enterprises (A) (B)
12.028%, 08/15/08 600 338
12.775%, 05/15/09 500 262
Cambridge Industries, Ser B
10.250%, 07/15/07 500 324
Canadian Airlines
10.000%, 05/01/05 400 319
Canadian Airlines Yankee
12.250%, 08/01/06 950 615
Canadian Forest Oil, Ltd.
8.750%, 09/15/07 500 480
Caprock Communications (A)
11.500%, 05/01/09 1,000 960
Capstar Broadcasting
9.250%, 07/01/07 1,250 1,267
Capstar Broadcasting (B)
10.812%, 02/01/09 1,000 855
Capstar Hotel
8.750%, 08/15/07 500 457
Carrier One
13.250%, 02/15/09 1,000 980
Carrols
9.500%, 12/01/08 1,000 850
Casino Magic
13.000%, 08/15/03 1,600 1,780
Cencall Communication
10.125%, 01/15/04 100 102
Centennial Cellular
10.750%, 12/15/08 1,000 1,040
Century Communications
8.875%, 01/15/07 550 531
Century Communications, Ser B
Zero Coupon, 01/15/08 1,850 789
CF Cable Television
11.625%, 02/15/05 50 55
Chancellor Media
9.375%, 10/01/04 750 748
Chancellor Media (A)
8.000%, 11/01/08 500 486
Charter Communication Holdings (A)
8.625%, 04/01/09 1,500 1,410
Charter Communication Holdings (B)
10.847%, 04/01/11 2,600 1,544
Cinemark USA
9.625%, 08/01/08 600 517
Cinemark USA, Ser B
8.500%, 08/01/08 500 399
59
<PAGE>
STATEMENT OF NET ASSETS
- ------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
High Yield Bond Fund--Continued
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Circus Circus Enterprise
9.250%, 12/01/05 $ 1,000 $ 1,000
Citadel Broadcasting
9.250%, 11/15/08 1,250 1,231
Clark R&M
8.875%, 11/15/07 500 441
Classic Communications (B)
12.034%, 08/01/09 1,000 671
Clearnet Communications (B)
12.344%, 12/15/05 1,800 1,694
Cliffs Drilling
10.250%, 05/15/03 400 396
Climachem, Ser B
10.750%, 12/01/07 1,000 857
CMS Energy
7.500%, 01/15/09 1,100 1,012
Cms Energy, Ser B
6.750%, 01/15/04 850 802
Coast Hotels & Casinos
9.500%, 04/01/09 1,200 1,131
Coaxial Communication
10.000%, 08/15/06 1,700 1,721
Coaxial Communication LLC (B)
11.760%, 08/15/08 1,000 669
Cogentrix Energy
8.750%, 10/15/08 1,000 1,007
Coinstar (B)
11.998%, 10/01/06 1,000 1,046
Collins & Aikman (A)
10.000%, 01/15/07 1,000 977
11.500%, 04/15/06 1,550 1,562
Color Spot Nurseries
10.500%, 12/15/07 900 742
Colorado Gaming &
Entertainment PIK
12.000%, 06/01/03 1,000 955
Comcast
9.375%, 05/15/05 250 263
9.125%, 10/15/06 600 627
Comcast UK Cable (B)
10.810%, 11/15/07 750 679
Commonwealth Aluminum
10.750%, 10/01/06 500 502
Communications Instrument
10.000%, 09/15/04 500 424
Completel Europe (A)(B)
14.441%, 02/15/09 1,800 963
Comstock Resources (A)
11.250%, 05/01/07 500 514
Concentric Network
12.750%, 12/15/07 550 553
Condor Systems (A)
11.875%, 05/01/09 750 721
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Congoleum
8.625%, 08/01/08 $ 1,000 $ 867
Consolidated Container Capital (A)
10.125%, 07/15/09 1,000 1,007
Constellation Finance LLC Ser 1997-1
9.800%, 12/14/02 500 468
Consumers Packaging
9.750%, 02/01/07 750 711
Container
9.750%, 04/01/03 550 568
Costilla Energy (C)
0.000%, 10/01/06 1,000 277
Covad Communications Group
12.500%, 02/15/09 800 756
Crown Central Petroleum
10.875%, 02/01/05 1,000 760
Crown Packaging Enterprises Ltd. (B)
61.003%, 08/01/06 775 39
Crown Paper
11.000%, 09/01/05 1,000 757
CSC Holding
9.250%, 11/01/05 250 264
8.125%, 07/15/09-08/15/09 1,750 1,769
9.875%, 02/15/13 650 682
Cumulus Media (A)
10.375%, 07/01/08 1,450 1,493
D.R. Horton (A)
8.000%, 02/01/09 1,000 912
Dade International
11.125%, 05/01/06 500 516
Day International
9.500%, 03/15/08 600 540
Delaware County Remy
International
10.625%, 08/01/06 1,500 1,504
Details, Ser B
10.000%, 11/15/05 500 473
Diamond Brands Operating (A)
10.125%, 04/15/08 650 500
Diamond Cable Communications (B)
12.698%, 09/30/04 300 306
11.095%, 02/15/07 1,450 1,107
Diamond Cable Communications
PLC (B)
11.222%, 12/15/05 1,050 938
Diamond Holdings PLC
9.125%, 02/01/08 1,000 992
Diamond Triumph Auto (A)
9.250%, 04/01/08 1,000 991
Digital Television Services Ser B
12.500%, 08/01/07 500 541
Diva Systems, Ser B (B)
24.730%, 03/01/08 2,757 824
60
<PAGE>
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Dobson Communications (A)
11.750%, 04/15/07 $ 600 $ 625
Dobson/Sygnet Communications
12.250%, 12/15/08 1,000 1,042
Dolphin Telecom PLC (A)(B)
17.437%, 05/15/09 800 328
Dolphin Telecom PLC (B)
17.133%, 06/01/08 600 268
Doman Industries (A)
12.000%, 07/01/04 1,250 1,259
Doskocil Manufacturing
10.125%, 09/15/07 500 274
Drypers
10.250%, 06/15/07 1,450 1,214
DTI Holdings (B)
22.182%, 03/01/08 1,000 349
Dual Drilling
9.875%, 01/15/04 500 523
Dura Operating (A)
9.000%, 05/01/09 750 711
E.spire Communications
13.750%, 07/15/07 500 429
E.spire Communications (B)
21.488%, 11/01/05 1,800 1,078
21.319%, 04/01/06 500 274
19.165%, 07/01/08 500 184
Eagle Family Foods
8.750%, 01/15/08 1,200 945
Eagle Geophysical (C)*
0.000%, 07/15/08 1,000 157
Earthwatch (B)
13.197%, 07/15/07 2,250 1,564
Echostar DBS
9.375%, 02/01/09 2,300 2,277
Econophone (B)
13.223%, 02/15/08 1,000 597
Eldorado Resorts
10.500%, 08/15/06 500 514
Elgar Holdings
9.875%, 02/01/08 1,000 717
Emmis Communications
8.125%, 03/15/09 1,200 1,137
Empress Entertainment (A)
8.125%, 07/01/06 450 438
Energis PLC (A)
9.750%, 06/15/09 650 652
Energy of America
9.500%, 05/15/07 500 449
Esprit Telecom Group PLC
11.500%, 12/15/07 500 519
Exodus Communications (A)
11.250%, 07/01/08 1,200 1,218
Facilicom International
10.500%, 01/15/08 800 658
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Falcon Building
9.500%, 06/15/07 $ 500 $ 461
Falcon Holding Group (B)
9.555%, 04/15/10 750 532
Falcon Holdings Group
8.375%, 04/15/10 1,165 1,150
Filtronic PLC (A)
10.000%, 12/01/05 1,300 1,267
Finlay Enterprises
9.000%, 05/01/08 200 187
First Wave Marine
11.000%, 02/01/08 1,000 812
Fisher Scientific International
9.000%, 02/01/08 1,000 932
Fitzgeralds Gaming (C)
0.000%, 12/15/04 1,400 749
Flag Ltd.
8.250%, 01/30/08 750 652
Fleming
10.500%, 12/01/04 670 635
Flores & Rucks
9.750%, 10/01/06 400 412
Florida Panthers Holdings
9.875%, 04/15/09 750 694
Focal Communications (B)
14.818%, 02/15/08 1,550 868
Formica (A)
10.875%, 03/01/09 1,000 957
Fountain View (A)
11.250%, 04/15/08 1,000 782
French Fragrances
10.375%, 05/15/07 500 469
Friendly Ice Cream
10.500%, 12/01/07 700 637
Frontier Oil (A)
9.125%, 02/15/06 800 762
Frontiervision Holdings (B)
10.714%, 09/15/07 1,300 1,113
Fundy Cable
11.000%, 11/15/05 500 534
Galaxy Telecom (A)
12.375%, 10/01/05 1,400 1,491
Galey & Lord
9.125%, 03/01/08 750 298
Garden State (A)
8.625%, 07/01/11 1,000 905
Gaylord Container
9.750%, 06/15/07 600 561
Gaylord Container (A)
9.375%, 06/15/07 850 786
GCI
9.750%, 08/01/07 1,250 1,191
Genesis Health Ventures
9.875%, 01/15/09 1,000 517
61
<PAGE>
STATEMENT OF NET ASSETS
- ------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
High Yield Bond Fund--Continued
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Global Crossings Holdings (A)
9.625%, 05/15/08 $ 1,200 $ 1,233
Global Telesystems Group
9.875%, 02/15/05 1,250 1,197
Globalstar
11.375%, 02/15/04 400 259
11.250%, 06/15/04 900 583
Globalstar LP/Capital
11.500%, 06/01/05 250 156
Golden Northwest
12.000%, 12/15/06 700 719
Golden Ocean Group Ltd.
10.000%, 08/31/01 1,032 108
Golden Sky (B)
13.035%, 03/01/07 1,000 579
Golden Sky Systems, Ser B
12.375%, 08/01/06 400 439
Gothic Production
11.125%, 05/01/05 700 600
Graham Packaging
8.750%, 01/15/08 400 379
Granite Broadcasting
9.375%, 12/01/05 1,000 1,002
8.875%, 05/15/08 500 476
Gray Communications System
10.625%, 10/01/06 500 520
Great Lakes Carbon
10.250%, 05/15/08 500 469
Group Maintenance (A)
9.750%, 01/15/09 1,000 957
Grove Worldwide (A)
9.250%, 05/01/08 1,000 550
GS Technologies
12.000%, 09/01/04 1,100 833
GSI Group
10.250%, 11/01/07 1,000 667
GST Equipment Funding
13.250%, 05/01/07 500 514
GST USA Guarantee (B)
15.230%, 12/15/05 1,760 1,406
Gulf Canada Resources
9.625%, 07/01/05 500 510
Gulf Canada Resources (A)
8.375%, 11/15/05 500 494
Gulf States Steel (C)
0.000%, 04/15/03 1,000 157
Hard Rock Hotel (A)
9.250%, 04/01/05 1,850 1,563
Harrahs Operating (A)
7.875%, 12/15/05 1,000 955
Harvey Casinos Resorts
10.625%, 06/01/06 1,400 1,417
Hayes Lemmerz (A)
8.250%, 12/15/08 600 526
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Hayes Wheel International
11.000%, 07/15/06 $ 500 $ 512
9.125%, 07/15/07 600 559
Haynes International
11.625%, 09/01/04 500 467
Helicon (B)
11.000%, 11/01/03 700 728
Hermes Europe Railtel BV
11.500%, 08/15/07 750 765
10.375%, 01/15/09 1,000 977
Hmh Properties
8.450%, 12/01/08 500 462
Hmv Media Group PLC (A)
10.250%, 05/15/08 1,000 980
Hollinger International Publishing
9.250%, 03/15/07 1,000 990
Hollywood Casino (A)
13.000%, 08/01/06 600 614
Hollywood Park, Ser B
9.250%, 02/15/07 1,000 965
9.500%, 08/01/07 800 782
Holmes Products (A)
9.875%, 11/15/07 500 461
Holywood Casino (A)
11.250%, 05/01/07 1,000 1,010
Home Products International
9.625%, 05/15/08 800 712
Homeside
11.250%, 05/15/03 325 372
Horeshoe Gaming Holdings (A)
8.625%, 05/15/09 650 618
Horseshoe Gaming
9.375%, 06/15/07 1,000 1,016
Hosiery of America
13.750%, 08/01/02 700 733
Host Marriott
7.875%, 08/01/05 550 506
7.875%, 08/01/08 800 714
Host Marriott (A)
8.375%, 02/15/06 500 473
HS Resources
9.250%, 11/15/06 500 489
HS Resources (A)
9.250%, 11/15/06 250 244
Huntsman (A)
9.500%, 07/01/07 1,650 1,522
Huntsman ICI Chemicals (A)
10.125%, 07/01/09 1,700 1,658
Zero Coupon, 12/31/09 2,100 554
Huntsman Polymers
11.750%, 12/01/04 250 271
Hyperion Telecommunication (B)
12.234%, 04/15/03 1,900 1,603
62
<PAGE>
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Hyperion Telecommunications
12.250%, 09/01/04 $ 500 $ 525
ICG Holdings (B)
13.591%, 09/15/05 650 571
14.113%, 05/01/06 400 304
12.969%, 03/15/07 900 629
ICG Services (B)
13.174%, 02/15/08 1,250 720
ICN Pharmaceutical (A)
8.750%, 11/15/08 1,270 1,197
ICN Pharmaeuticals
9.250%, 08/15/05 500 476
IHF Holdings
15.000%, 11/15/04 600 71
Imax (A)
7.875%, 12/01/05 1,000 930
Impac Group (A)
10.125%, 03/15/08 1,000 898
Informational Wire Group
11.750%, 06/01/05 500 509
Integrated Electrical Services (A)
9.375%, 02/01/09 750 729
Integrated Health
10.250%, 04/30/06 250 52
Integrated Health Services
9.500%, 09/15/07 500 86
9.250%, 01/15/08 250 43
Interact Systems (B)
55.107%, 08/01/03 700 257
Intermedia Capital Partners
11.250%, 08/01/06 525 579
Intermedia Communications (B)
12.616%, 05/15/06 900 735
12.774%, 07/15/07 750 502
International Cabletel
10.000%, 02/15/07 250 256
International Cabletel (B)
11.849%, 04/15/05 400 390
11.020%, 02/01/06 1,200 1,049
International Home Foods
10.375%, 11/01/06 750 763
International Knife & Saw
11.375%, 11/15/06 500 374
International Utility Structures (A)
10.750%, 02/01/08 1,300 1,209
International Wire Group
11.750%, 06/01/05 500 509
Intrawest
9.750%, 08/15/08 1,000 968
Iron Mountain (A)
8.250%, 07/01/11 500 456
Isle of Capri Casinos (A)
8.750%, 04/15/09 1,500 1,376
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
ISP Holdings
9.000%, 10/15/03 $ 500 $ 485
IT Group (A)
11.250%, 04/01/09 1,000 948
ITC Deltacom
11.000%, 06/01/07 422 443
8.875%, 03/01/08 455 436
9.750%, 11/15/08 250 251
Ivaco
11.500%, 09/15/05 500 504
IXC Communications
9.000%, 04/15/08 1,500 1,481
Jackson Products (A)
9.500%, 04/15/05 1,200 1,101
Jacor Communications
9.750%, 12/15/06 450 476
8.000%, 02/15/10 750 757
James Cable
10.750%, 08/15/04 1,400 1,404
Jitney-Jungle Stores (C)
0.000%, 09/15/07 450 116
JL French Auto Casting (A)
11.500%, 06/01/09 1,000 1,003
Jo-Ann Stores (A)
10.375%, 05/01/07 600 596
John Q Hammons Hotels
8.875%, 02/15/04 500 456
Jones Intercable
9.625%, 03/15/02 350 368
8.875%, 04/01/07 350 382
Jordan Industries
10.375%, 08/01/07 1,000 948
Jordan Telecom Products (B)
13.040%, 08/01/07 1,000 848
Jordon Industries
10.375%, 08/01/07 750 733
JPS Automotive Products
11.125%, 06/15/01 100 102
K-mart
7.750%, 10/01/12 850 818
K-mart (A)
8.540%, 01/02/15 732 728
Kaiser Aluminum & Chemical
9.875%, 02/15/02 700 693
Kaiser Aluminum & Chemical,
Ser B
10.875%, 10/15/06 600 614
Keebler
10.750%, 07/01/06 450 486
Kelley Oil & Gas
10.375%, 10/15/06 750 358
Kelley Oil & Gas (A)
14.000%, 04/15/03 956 954
63
<PAGE>
STATEMENT OF NET ASSETS
- ------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
High Yield Bond Fund--Continued
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Key Energy Services
14.000%, 01/15/09 $ 1,150 $ 1,205
Kitty Hawk
9.950%, 11/15/04 250 243
Kmc Telecom Holdings (B)
15.750%, 02/15/08 1,250 667
Knoll
10.875%, 03/15/06 260 287
Knology Holdings (B)
15.171%, 10/15/07 1,400 796
Kpnqwest BV (A)
8.125%, 06/01/09 1,000 948
KSL Recreation Group
10.250%, 05/01/07 1,000 1,020
L-3 Communications (A)
8.000%, 08/01/08 750 703
Lady Luck Gaming
11.875%, 03/01/01 800 800
Lamar Media
9.625%, 12/01/06 450 457
Laroche Industries
9.500%, 09/15/07 1,400 865
LDM Technologies
10.750%, 01/15/07 500 486
Leiner Health Products
9.625%, 07/10/07 500 508
Lenfest Communications
10.500%, 06/15/06 700 798
Lenfest Communications (A)
8.250%, 02/15/08 650 650
Leslie's Poolmart
10.375%, 07/15/04 800 808
Level 3 Communications
9.125%, 05/01/08 2,100 1,901
Level 3 Communications (B)
12.455%, 12/01/08 750 421
Liberty Group Operating
9.375%, 02/01/08 650 619
Liberty Group Publishings (B)
14.222%, 02/01/09 500 284
Lifepoint Hospitals Holdings (A)
10.750%, 05/15/09 800 796
Lin Holdings (B)
11.290%, 03/01/08 500 327
LLS Private Placement (A)
11.625%, 08/01/09 1,000 990
Lodestar Holdings (A)
11.500%, 05/15/05 750 581
Lodgian Finance (A)
12.250%, 07/15/09 1,000 978
Loews Cineplex Entertainment (A)
8.875%, 08/01/08 1,000 895
Logix Communication Enterprises (A)
12.250%, 06/15/08 1,000 860
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Louisiana Casino (A)
11.000%, 12/01/05 $ 1,000 $ 1,000
Luigino's (A)
10.000%, 02/01/06 1,200 1,143
Lyondell Chemical (A)
9.875%, 05/01/07 1,100 1,089
Magnum Hunter Re
10.000%, 06/01/07 500 470
Mail-Well, Ser B
8.750%, 12/15/08 800 766
Majestic Star Casino (A)
10.875%, 07/01/06 1,300 1,264
Marsh Supermarket
8.875%, 08/01/07 500 490
Mastec
7.750%, 02/01/08 500 487
Maxim Group, Ser B
9.250%, 10/15/07 400 339
Maxxam Group Holdings, Ser B
12.000%, 08/01/03 400 406
McCaw International (B)
16.268%, 04/15/07 1,400 838
McLeod USA
9.250%, 07/15/07 500 495
8.375%, 03/15/08 500 465
McLeod USA (B)*
10.646%, 03/01/07 1,500 1,161
McLeod USA
8.125%, 02/15/09 500 466
Mdc Communications (A)
10.500%, 12/01/06 1,000 1,015
Mediacom (A)
7.875%, 02/15/11 900 785
Mentus Media PIK
53.348%, 02/01/03 949 332
Meristar Hospitality (A)
8.750%, 08/15/07 500 463
Metallurg
11.000%, 12/01/07 800 774
Metromedia Fiber
10.000%, 11/15/08 1,000 965
Metromedia International Group
14.000%, 06/01/04 830 614
Metronet Communications
12.000%, 08/15/07 500 578
Metronet Communications (B)
8.209%, 06/15/08 1,400 1,080
Microcell Telecommunication (B)
11.419%, 06/01/06 1,000 836
MMI Products
11.250%, 04/15/07 1,000 1,013
Mohegan Tribal Gaming
8.750%, 01/01/09 1,300 1,274
Moog
10.000%, 05/01/06 500 496
64
<PAGE>
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Morris Materials Handling
9.500%, 04/01/08 $ 400 $ 143
Motors & Gears
10.750%, 11/15/06 1,050 1,034
Mrs Fields (B)
25.504%, 12/01/05 800 400
Mrs Fields, Ser B
10.125%, 12/01/04 760 678
Muzak Holdings (B)
14.471%, 03/15/10 500 286
Muzak LLC (A)
9.875%, 03/15/09 1,000 965
National Steel
9.875%, 03/01/09 750 739
National Wine & Spirits (A)
10.125%, 01/15/09 1,000 1,003
Nci Building Systems
9.250%, 05/01/09 500 474
Ne Restaurant (A)
10.750%, 07/15/08 600 545
Nebraska Book
8.750%, 02/15/08 1,300 1,053
Neenah
11.125%, 05/01/07 500 471
Neff
10.250%, 06/01/08 500 494
New World Pasta (A)
9.250%, 02/15/09 1,250 1,172
Nextel Communications (B)
9.750%, 08/15/04 500 504
10.559%, 09/15/07 1,250 923
10.485%, 02/15/08 1,400 978
Nextel Partners (B)
14.368%, 02/01/09 2,000 1,173
Nextlink Communications
12.500%, 04/15/06 800 846
Nextlink Communications (B)
11.820%, 04/15/08 800 486
Nextlink Communications
10.750%, 11/15/08 500 500
Niagra Mohawk Power
7.750%, 10/01/08 800 814
NL Industries
11.750%, 10/15/03 350 368
Northland Cable Television
10.250%, 11/15/07 1,000 1,000
Northwestern Steel & Wire
9.500%, 06/15/01 1,000 568
NTL Communications
11.500%, 10/01/08 600 647
Nuevo Energy
9.500%, 06/01/08 400 398
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Numatics
9.625%, 04/01/08 $ 800 $ 684
Ocean Energy
10.375%, 10/15/05 250 261
Octel Developments
10.000%, 05/01/06 950 977
Offshore Logistics
7.875%, 01/15/08 600 566
Oglebay Norton
10.000%, 02/01/09 1,000 970
Omega Cabinets
10.500%, 06/15/07 1,000 978
Optel
13.000%, 02/15/05 300 188
Optel (A)
11.500%, 07/01/08 500 340
Orange PLC (A)
9.000%, 06/01/09 750 752
Orbital Imaging
11.625%, 03/01/05 950 639
Orion Network Systems
11.250%, 01/15/07 800 598
Owens & Minor
10.875%, 06/01/06 500 521
Oxford Automotive
10.125%, 06/15/07 1,200 1,104
Oxford Health Plans (A)
11.000%, 05/15/05 500 516
P&L Coal Holdings (A)
8.875%, 05/15/08 250 246
Pac-West Telecom (A)
13.500%, 02/01/09 900 915
Packaged Ice
9.750%, 02/01/05 1,000 880
Packaging Resources
11.625%, 05/01/03 500 501
Pagemart Nationwide (B)
17.492%, 02/01/05 750 652
Pantry
10.250%, 10/15/07 800 790
Paracelsus Healthcare
10.000%, 08/15/06 00 341
Park Place Entertainment
7.875%, 12/15/05 1,000 945
Parker Drilling, Ser B
9.750%, 11/15/06 1,000 965
Pathmark Stores
9.625%, 05/01/03 1,400 1,397
Pegasus Communications, Ser B
9.625%, 10/15/05 550 528
9.750%, 12/01/06 500 493
Pegasus Shipping Hellas
11.875%, 11/15/04 600 149
65
<PAGE>
STATEMENT OF NET ASSETS
- ------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
High Yield Bond Fund--Continued
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Peninsula Gaming (A)
12.250%, 07/01/06 $ 1,000 $ 1,055
Perkins Family Restaurant/
Finance, Ser B
10.125%, 12/15/07 1,000 995
Perry-Judd
10.625%, 12/15/07 500 455
Petersburg Long Distance (A) (D)
9.000%, 06/01/06 90 38
Phase Metrics (A)
10.750%, 02/01/05 500 138
Philipp Brothers Chemical (A)
9.875%, 06/01/08 1,200 1,083
Phillips Van-Heusen (A)
9.500%, 05/01/08 1,000 955
Phoenix Color
10.375%, 02/01/09 750 699
Pierce Leahy (A)
9.125%, 07/15/07 450 437
Pillowtex
10.000%, 11/15/06 500 339
Players International
10.875%, 04/15/05 500 526
Playtex Products
8.875%, 07/15/04 400 405
Pogo Producing
8.750%, 05/15/07 850 797
Polymer Group, Ser B
9.000%, 07/01/07 600 567
Port Royal Holdings
10.250%, 10/01/07 1,000 1,044
Portola Packaging
10.750%, 10/01/05 200 207
Powertel
11.125%, 06/01/07 500 516
Powertel (B)
11.595%, 02/01/06 500 433
Premier International Food
PLC (A)
12.000%, 09/01/09 1,500 1,500
Premier Parks
9.250%, 04/01/06 500 479
9.750%, 01/15/07 500 509
9.750%, 06/15/07 1,000 968
Price Communications Wireless
11.750%, 07/15/07 250 273
Price Communications Wireless,
Ser B
9.125%, 12/15/06 1,100 1,117
Pride International
10.000%, 06/01/09 500 513
Pride Petroleum Services
9.375%, 05/01/07 750 759
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Prime Hospitality
9.250%, 01/15/06 $ 600 $ 594
9.750%, 04/01/07 450 434
Primus Telecom Group (A)
11.250%, 01/15/09 1,500 1,436
Primus Telecommunications
11.750%, 08/01/04 600 588
Printpack, Ser B
10.625%, 08/15/06 800 750
Production Resources Group
11.500%, 01/15/08 500 474
Protection One Alarm Protection (A)
8.125%, 01/15/09 350 268
Psinet
10.000%, 02/15/05 950 910
11.500%, 11/01/08 350 354
Psinet (A)
11.000%, 08/01/09 1,750 1,728
PTC International Finance BV (B)
12.079%, 07/01/07 1,000 689
Pueblo Xtra International
9.500%, 08/01/03 1,000 858
Quest Diagnostic
10.750%, 12/15/06 450 493
Qwest Communications
10.875%, 04/01/07 325 369
Qwest Communications (B)
9.058%, 10/15/07 1,050 815
R&B Falcon (A)
6.950%, 04/15/08 1,000 828
Ram Energy
11.500%, 02/15/08 500 240
Randall's Food Markets, Ser B
9.375%, 07/01/07 1,150 1,259
RCN
10.000%, 10/15/07 750 725
RCN (B)
12.575%, 10/15/07 750 490
12.267%, 02/15/08 1,300 791
Regal Cinemas (A)
9.500%, 06/01/08 900 612
8.875%, 12/15/10 450 285
Regional Independent Media
Group (A)
10.500%, 07/01/08 1,000 998
Renaissance Media Group (B)
10.327%, 04/15/08 1,000 691
Renco Metals
11.500%, 07/01/03 500 449
Repap New Brunswick
10.625%, 04/15/05 1,750 1,518
Republic Group (A)
9.500%, 07/15/08 700 677
66
<PAGE>
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
RTI Capital
13.750%, 07/15/09 $ 750 $ 739
Revlon Consumer Products*
8.625%, 02/01/08 800 662
RH Donnelly (A)
9.125%, 06/01/08 800 792
Rhythms Netcommunications (B)
16.301%, 05/15/08 1,700 873
Rhythms Netconnections (A)
12.750%, 04/15/09 500 456
Rifkin Acquisition Partners
11.125%, 01/15/06 750 835
Riverwood International
10.875%, 04/01/08 800 754
Riviera Black Hawk (A)
13.000%, 05/01/05 700 730
Rogers Cantel
9.375%, 06/01/08 500 536
Rogers Communications
9.125%, 01/15/06 400 413
8.875%, 07/15/07 350 355
Roma (A)
12.000%, 07/01/06 750 726
RSL Communications PLC
9.125%, 03/01/08 500 449
12.000%, 11/01/08 750 752
RSL Communications PLC (A)
9.875%, 11/15/09 1,850 1,614
Rural Cellular
9.625%, 05/15/08 500 511
Russell Stanley Holdings (A)
10.875%, 02/15/09 750 688
Safelite Glass Senior Subordinate
Notes (A)
9.875%, 12/15/06 800 670
Safety Components
10.125%, 07/15/07 500 404
Safety-Kleen (A)
9.250%, 05/15/09 750 743
Safety-Kleen Services (A)
9.250%, 06/01/08 750 743
Salem Communications, Ser B
9.500%, 10/01/07 800 802
Santa Fe Hotel
11.000%, 12/15/00 1,571 1,532
Sbarro (A)
11.000%, 09/15/09 400 394
Scotts (A)
8.625%, 01/15/09 1,500 1,433
SD Warren
14.000%, 12/15/06 927 1,061
SD Warren, Ser B
12.000%, 12/15/04 1,450 1,591
Sealy Mattress
9.875%, 12/15/07 500 496
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Sealy Mattress (B)
11.823%, 12/15/07 $ 500 $ 334
Sequa
9.000%, 08/01/09 1,000 983
SF Holdings Group (B)
18.400%, 03/15/08 1,000 446
SFX Broadcasting
10.750%, 05/15/06 394 437
SFX Entertainment
9.125%, 12/01/08 500 459
Sheffield Steel, Ser B
11.500%, 12/01/05 500 409
Silver Cinemas (A)
10.500%, 04/15/05 800 396
Simonds Industries (A)
10.250%, 07/01/08 600 606
Sinclair Broadcast
10.000%, 09/30/05 800 818
Sitel (A)
9.250%, 03/15/06 500 428
Southwest Royalties, Ser B
10.500%, 10/15/04 500 244
Sovereign Specialty Chemical, Ser B
9.500%, 08/01/07 450 449
Spanish Broadcasting
11.000%, 03/15/04 500 554
Specialty Paperboard
9.375%, 10/15/06 500 506
Sprint Spectrum
11.000%, 08/15/06 1,040 1,166
Stanadyne Automotive
10.250%, 12/15/07 500 434
Stater Brothers (A)
10.750%, 08/15/06 1,000 1,021
Station Casinos
10.125%, 03/15/06 500 513
Station Casinos (A)
9.750%, 04/15/07 1,000 1,013
STC Broadcasting
11.000%, 03/15/07 500 509
Sterling Chemical (A)
12.375%, 07/15/06 500 471
Sterling Chemical Holdings (B)
28.392%, 08/15/08 1,000 339
Sterling Chemical
11.750%, 08/15/06 500 310
Stone Container (A)
11.500%, 08/15/06 400 419
Sun International Hotels
9.000%, 03/15/07 1,300 1,212
Sun Media
9.500%, 05/15/07 325 326
Susquehanna Media (A)
8.500%, 05/15/09 1,250 1,228
67
<PAGE>
STATEMENT OF NET ASSETS
- ------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
High Yield Bond Fund--Continued
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Synthetic Industries
9.250%, 02/15/07 $ 400 $ 399
T/SF Communications, Ser B
10.375%, 11/01/07 500 471
Tekni-Plex
11.250%, 04/01/07 800 842
Telewest Communications (A)(B)
10.339%, 04/15/09 1,650 1,000
Telewest Communications PLC
9.625%, 10/01/06 150 152
11.250%, 11/01/08 500 535
Telewest Communications (B)
11.086%, 10/01/07 2,750 2,458
Teligent
11.500%, 12/01/07 1,000 923
Tembec Industries (A)
8.625%, 06/30/09 500 491
Tenet Healthcare
8.625%, 01/15/07 500 484
Texas Petrochem
11.125%, 07/01/06 450 379
Therma-Wave
10.625%, 05/15/04 500 349
Thermadyne Holdings (B)
16.530%, 06/01/08 550 266
Time Warner (A)
9.750%, 07/15/08 1,250 1,258
Titan Wheel International
8.750%, 04/01/07 500 498
Trans World Airlines
11.375%, 03/01/06 900 576
Transamerican Energy, Ser B (C)
0.000%, 06/15/02 900 104
Transportation Manufacturing (A)
11.250%, 05/01/09 1,500 1,485
Tri-State Outdoor Media
11.000%, 05/15/08 1,350 1,350
Tritel PCS (A) (B)
12.575%, 05/15/09 1,000 573
Tropical Sportswear International
11.000%, 06/15/08 500 449
TV Guide (A)
8.125%, 03/01/09 1,000 944
Twin Laboratories
10.250%, 05/15/06 325 344
Ultapetrol
10.500%, 04/01/08 800 646
Unisys
12.000%, 04/15/03 550 598
11.750%, 10/15/04 500 558
7.875%, 04/01/08 400 391
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
United International Holdings,
Ser B (B)
12.900%, 02/15/08 $ 2,000 $ 1,210
United Pan-Europe
Communications (A)(B)
12.339%, 08/01/09 1,000 564
10.875%, 08/01/09 1,750 1,763
United Rentals
9.250%, 01/15/09 800 766
Universal Compression (B)
12.369%, 02/15/08 800 485
Universal Health Services
8.750%, 08/15/05 250 253
URS (A)
12.250%, 05/01/09 1,000 1,001
US Office Products (A)
9.750%, 06/15/08 750 411
Vail Resorts (A)
8.750%, 05/15/09 600 581
Vencor (C)
0.000%, 05/01/05 500 108
Verio
10.375%, 04/01/05 500 496
Versatel Telecom
11.875%, 07/15/09 1,000 945
Viasystems
9.750%, 06/01/07 500 429
Viasystems Ser B
9.750%, 06/01/07 600 515
Viatel (B)
14.939%, 04/15/08 1,500 825
Vlasic Foods International (A)
10.250%, 07/01/09 1,250 1,119
Waste Systems (A)
11.500%, 01/15/06 550 546
Waste Systems International (A)
7.000%, 05/13/05 800 688
Waterford Gaming (A)
9.500%, 03/15/10 1,075 1,070
Waxman Industries (B)
35.027%, 06/01/04 600 302
WCI Steel
10.000%, 12/01/04 1,000 968
Weirton Steel
11.375%, 07/01/04 250 242
Wells Aluminum
10.125%, 06/05/05 500 491
Werner Holdings
10.000%, 11/15/07 1,400 1,327
Western Federal (C)
0.000%, 09/15/99 500 127
Western Wireless
10.500%, 06/01/06 400 426
10.500%, 02/01/07 300 308
68
<PAGE>
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Wheeling-Pittsburgh
9.250%, 11/15/07 $ 900 $ 857
WHX
10.500%, 04/15/05 750 703
William Carter (A)
10.375%, 12/01/06 750 750
Williams Communication
10.875%, 10/01/09 1,600 1,588
Winstar Communications
10.000%, 03/15/08 500 419
Winstar Communications (B)
15.324%, 10/15/05 1,250 1,023
Wiser Oil
9.500%, 05/15/07 600 492
World Color Press
7.750%, 02/15/09 1,500 1,423
Worldwide Fiber (A)
12.500%, 12/15/05 750 753
12.889%, 08/01/09 1,000 978
Worldwide Flight Service (A)
12.250%, 08/15/07 800 792
Young Broadcasting
9.000%, 01/15/06 400 396
8.750%, 06/15/07 1,200 1,173
Ziff-Davis
8.500%, 05/01/08 1,000 938
Zilog, Ser B
9.500%, 03/01/05 1,200 1,104
ZSC Specialty Chemicals (A)
11.000%, 07/01/09 1,500 1,500
--------
Total Corporate Obligations
(Cost $492,202) 453,935
--------
Units -- 0.8%
Australis Media 1 Unit = $1M senior
subordinate discount note + 1
warrant (A)(B)(C)
0.000%, 05/15/03 400 4
Colt Telecom Group PLC 1 Unit =
1 senior discount note + 1
warrant (B)
9.773%, 12/15/06 600 528
County Seat Stores 1 Unit =
$1M senior note + 1 warrant
0.000%, 11/01/04 (A)(C) 500 45
Globix 1 Unit = $1m Sr
Notes + 1 Warrant
13.000%, 05/01/05 1,400 1,236
International Utility Structure 1
Unit = $1M senior exchanged
preferred + 1 warrant PIK
13.000%, 02/01/08 500 469
- -----------------------------------------------------------
Face Amount Market
Description (000)/Shares Value (000)
- -----------------------------------------------------------
Pegasus Communications 1
Unit = $1M preferred share + 1
warrant PIK* $ 2,500 $ 268
Startec Global Communication, 1
Unit = $1m Sr Notes + 1 Warrant
12.000%, 05/15/08 500 447
Verio, 1 Unit = $1m Senior Note +
8 Warrants To Buy 1.7604 common
shares
13.500%, 06/15/04 1,000 1,100
--------
Total Units
(Cost $4,869) 4,097
--------
Preferred Stocks -- 2.0%
Adelphia Communications* 2,500 274
Ameriking PIK 2,581,400 568
Benedek Communications PIK* 500,000 370
Coinstar* 4,545 45
Concentric Network* 6,974 142
Diva Systems, Ser C* 41,615 333
E.Spire Communications PIK (A)* 530 188
GPA Group, PLC (A)* 1,000,000 525
Granite Ltd.* 100 9
Hyperion Telecomm* 9 8
ICG Communications* 1,155 18
Intermedia Communication* 2,280 50
Intermedia Communication (A)* 20,000 435
Intermedia Communication PIK* 338 304
International Utility PIK* 66 6
Jordan Communication Products (A) 500 5
Jordan Telecommunication PIK* 646 662
Loral Space & Communication* 454 8
Nextel Communications PIK* 640 691
Nextel Communications PIK* 3,586 351
Nextlink Communications PIK* 7,050 349
Optel (A)* 300 --
Pegasus Communications* 610 61
Price Communications (C)* 89,949 2,254
Primedia* 4,000 396
Primus Telecommunications Group* 1,047 22
Renaissance Cosmetics (A) (C)* 5,890 --
Renaissance Cosmetics (C)* 40 --
SF Holdings Cl C (A)* 2,000 --
Siligan Holdings 336,000 374
TCR Holdings Ser B* 1,580 --
TCR Holdings Ser C* 869 --
TCR Holdings Ser D* 2,291 --
TCR Holdings Ser E* 4,739 --
Verio* 28,166 873
Viatel* 2,863 85
Weatherford International* 23,691 758
--------
Total Preferred Stocks
(Cost $9,853) 10,164
--------
69
<PAGE>
STATEMENT OF NET ASSETS
- ------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
High Yield Bond Fund--Concluded
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
U.S. Government Agency Obligation -- 0.4%
FHLB Discount Note
0.000%, 10/01/99 $ 2,000 $ 2,000
--------
Total U.S. Government Agency Obligation
(Cost $2,000) 2,000
--------
Warrants -- 0.1%
Advanced Radio Telecom* 10,117 128
American Communication
Services* 1,320 7
American Mobile (A)* 900 4
Ampex (A)* 34,000 23
Australis (A)* 500 --
Bell Technology* 1,400 15
Carrier1 (A) 1,000 2
Classic Cable* 3,000 50
Clearnet* 1,334 --
Crown Packaging* 100,848 --
Diva System* 1,025 8
Diva Systems (D)* 8,271 --
DTI Holdings (A)* 5,000 --
E.spire Communications* 500 63
Globalstar Telecom* 400 40
Golden Ocean Group* 688 1
Intelcom Group* 700 --
Key Energy Services* 1,150 23
Kmc Telecom Holdings* 1,250 3
Mccaw International* 1,400 6
Mentus Media* 2,365 --
Metronet (A) (D)* 500 4
Microcell Telecomm (A)* 2,400 48
Nextlink Communications* 5,000 --
Orbital Imaging (A)* 950 19
PLD Telekom* 830 --
Signature* 500 --
Startec Global* 500 1
USN Communication* 11,540 12
Waste Systems International* 8,250 --
Wireless One* 20 --
--------
Total Warrants
(Cost $85) 457
--------
Rights -- 0.0%
Primestar* 8,827 62
--------
Total Rights
(Cost $0) 62
--------
- -----------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- -----------------------------------------------------------
Repurchase Agreement -- 6.5%
Merrill Lynch
4.750%, dated 09/30/99,
matures 10/01/99, repurchase
price $33,003,000,
(collateralized by U.S.
Treasury Notes, par value
$33,705,000, 5.875%,
09/30/01, total market value:
$33,663,000) $ 32,999 $ 32,999
--------
Total Repurchase Agreement
(Cost $32,999) 32,999
--------
Total Investments -- 99.3%
(Cost $542,008) 503,714
--------
Other Assets and Liabilities, Net-- 0.7% 3,504
--------
Net Assets:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
50,184,524 outstanding shares of
beneficial interest $547,219
Undistributed net investment income (5)
Accumulated net realized loss
on investments (1,702)
Net unrealized depreciation on investments (38,294)
--------
Total Net Assets -- 100.0% $507,218
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.11
========
*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
effective yield on September 30, 1999. The coupon on a step bond changes on
a specific date.
(C) In default on interest payments.
(D) Restricted security, not readily marketable (see note 2).
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.
70
<PAGE>
PERCENTAGE OF TOTAL
INDUSTRY CORPORATE OBLIGATIONS
- ------------------------------------------------------
Communications 17.1%
Cable 11.5
Media 9.1
General Industrial 8.4
Gaming 7.1
Energy 4.9
Packaging 4.9
Technology 3.9
Metals 3.2
Services 3.2
Food & Beverage 3.1
Chemicals 3.0
Entertainment 2.8
Automobile 2.7
Consumer Mfg. 2.6
Healthcare 2.2
Real Estate 1.7
Transportation 1.6
Restaurants 1.5
Hotels 1.4
Retail 1.4
Supermarket 1.3
Utility 0.9
Financial 0.5
------
100.00%
======
71
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
<TABLE>
<CAPTION>
----------
Core Fixed
Income
----------
<S> <C>
Assets:
Investments at value
(Cost $2,779,546) $2,743,206
Cash 6,313
Income receivable 22,500
Investment securities sold 108,585
Capital shares sold receivable 102
Other receivables 70,817
----------
Total Assets 2,951,523
----------
Liabilities:
Distribution payable 10,799
Investment securities purchased 520,161
Accrued expenses payable 1,201
Other payables 70,909
----------
Total Liabilities 603,070
----------
Total Net Assets $2,348,453
==========
Net Assets:
Fund Shares of Class A
(unlimited authorization -- no par value) based on
234,241,969 outstanding shares of beneficial interest 2,419,727
Undistributed net investment income 225
Accumulated net realized loss on investments (34,802)
Net unrealized depreciation on futures (270)
Net unrealized depreciation on investments (36,427)
----------
Total Net Assets-- 100.0% $2,348,453
==========
Net Asset Value, Offering and
Redemption Price Per Share-- Class A $ 10.03
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
73
<PAGE>
STATEMENTS OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- For the year ended September 30, 1999
<TABLE>
<CAPTION>
--------- --------- ----------- --------- ---------
Large Cap Large Cap Tax Managed Small Cap Small Cap
Value Growth Large Cap Value Growth
--------- --------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $ 40,858 $ 10,180 $ 5,452 $ 5,745 $ 1,141
Interest Income 2,917 2,771 1,104 1,788 1,610
-------- -------- ------- ------- --------
Total Investment Income 43,775 12,951 6,556 7,533 2,751
-------- -------- ------- ------- --------
Expenses:
Management Fees 7,270 7,399 1,467 1,787 2,546
Waiver of Management Fees -- -- -- -- --
Investment Advisory Fees 7,270 8,456 1,677 3,319 4,729
Waiver of Investment Advisory Fees -- (1,057) (209) -- --
Custodian/Wire Agent Fees 224 229 103 66 76
Transfer Agent Fees (1) -- -- -- -- 3
Professional Fees 62 81 34 22 22
Registration Fees 313 248 150 81 29
Printing Fees 65 65 27 24 22
Trustee Fees 25 26 10 7 9
Shareholder Servicing Fees 2,354 2,463 275 283 558
Distribution Fees (1) -- -- -- -- 6
Waiver of Distribution Fees (1) (1)
Other Expenses 73 60 28 28 11
-------- -------- ------- ------- --------
Total Expenses 17,656 17,970 3,562 5,617 8,010
-------- -------- ------- ------- --------
Net Investment Income/(Loss) 26,119 (5,019) 2,994 1,916 (5,259)
-------- -------- ------- ------- --------
Net Realized and Unrealized Gain/
(Loss) on Investments:
Net Realized Gain/(Loss) from
Security Transactions 121,308 104,335 3,236 (5,649) 107,462
Net Realized Gain/(Loss) from
Futures Contracts 6,656 6,632 2,089 4,164 2,939
Net Change in Unrealized
Appreciation/(Depreciation)
on Investments 68,454 427,980 46,250 17,865 205,116
-------- -------- ------- ------- --------
Net Increase (Decrease) in Net Assets
from Operations $222,537 $533,928 $54,569 $18,296 $310,258
======== ======== ======= ======= ========
</TABLE>
(1) Fees are incurred at the Class D level only.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
74
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------- ------------ ------ -------- ---------- ----------
Capital Equity Core Fixed High Yield
Mid-Cap Appreciation Income Balanced Income Bond
------- ------------ ------ -------- ---------- ----------
Investment Income:
<S> <C> <C> <C> <C> <C> <C>
Dividends $ 495 $ 1,053 $ 2,243 $ 336 $ -- $ 299
Interest Income 36 504 378 1,534 115,393 42,978
------ ------- ------- ------ -------- --------
Total Investment Income 531 1,557 2,621 1,870 115,393 43,277
------ ------- ------- ------ -------- --------
Expenses:
Management Fees 132 416 365 208 5,324 1,446
Waiver of Management Fees -- -- -- -- -- (159)
Investment Advisory Fees 151 475 418 238 5,229 2,014
Waiver of Investment Advisory Fees -- (82) (63) (30) -- --
Custodian/Wire Agent Fees 4 9 9 6 148 58
Transfer Agent Fees (1) -- -- -- -- -- --
Professional Fees 2 1 2 2 41 18
Registration Fees 11 4 2 2 300 65
Printing Fees -- 3 4 1 50 13
Trustee Fees 1 1 -- -- 12 5
Shareholder Servicing Fees 74 169 148 17 240 --
Distribution Fees (1) -- -- -- -- -- --
Waiver of Distribution Fees (1)
Other Expenses 3 1 6 2 65 56
------ ------- ------- ------ -------- --------
Total Expenses 378 997 891 446 11,409 3,516
------ ------- ------- ------ -------- --------
Net Investment Income/(Loss) 153 560 1,730 1,424 103,984 39,761
------ ------- ------- ------ -------- --------
Net Realized and Unrealized Gain/
(Loss) on Investments:
Net Realized Gain/(Loss) from
Security Transactions 2,913 17,206 25,790 4,743 (35,787) (1,682)
Net Realized Gain/(Loss) from
Futures Contracts -- 1,558 2,074 -- 2,940 --
Net Change in Unrealized
Appreciation/(Depreciation)
on Investments 2,720 7,939 (11,164) 3,412 (89,226) (26,407)
------ ------- ------- ------ -------- --------
Net Increase (Decrease) in Net Assets
from Operations $5,786 $27,263 $18,430 $9,579 $(18,089) $ 11,672
====== ======= ======= ====== ======== ========
</TABLE>
75
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- For the years ended September 30, 1999 and
September 30, 1998
<TABLE>
<CAPTION>
-------------------------- -------------------------- --------------------------
Large Cap Large Cap Tax Managed
Value Growth Large Cap(1)
-------------------------- -------------------------- --------------------------
10/1/98- 10/1/97- 10/1/98- 10/1/97- 10/1/98- 3/4/98-
9/30/99 9/30/98 9/30/99 9/30/98 9/30/99 9/30/98
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net Investment Income/(Loss) $ 26,119 $ 16,665 $ (5,019) $ 1,236 $ 2,994 $ 551
Net Realized Gain (Loss) from
Investment Transactions
and Futures Contracts 127,964 112,467 110,967 24,024 5,325 (3,607)
Net Change in Unrealized
Appreciation/(Depreciation)
of Investments 68,454 (190,201) 427,980 35,634 46,250 (12,111)
----------- ----------- ----------- ----------- ----------- -----------
Net increase/(Decrease) in
Net Assets from Operations 222,537 (61,069) 533,928 60,894 54,569 (15,167)
----------- ----------- ----------- ----------- ----------- -----------
Distributions to Shareholders:
Net Investment Income:
Class A (23,551) (14,525) (263) (1,905) (2,277) (68)
Class D -- -- -- -- -- --
Net Realized Gains:
Class A (86,387) (77,927) (20,249) (43,786) -- --
Class D -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (109,938) (92,452) (20,512) (45,691) (2,277) (68)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions:
Class A:
Shares Issued 1,360,331 878,602 1,380,695 813,306 571,869 201,157
Reinvestment of Cash
Distributions 97,218 78,187 18,036 39,098 2,229 66
Shares Redeemed (528,511) (259,191) (664,539) (288,887) (86,351) (15,891)
----------- ----------- ----------- ----------- ----------- -----------
Increase/(Decrease) in Net
Assets Derived from
Class A Transactions 929,038 697,598 734,192 563,517 487,747 185,332
----------- ----------- ----------- ----------- ----------- -----------
Class D:
Shares Issued -- -- -- -- -- --
Reinvestment of Cash
Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Increase/(Decrease) in
Net Assets Derived from
Class D Transactions -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Increase/(Decrease) in
Net Assets Derived
from Capital Share
Transactions 929,038 697,598 734,192 563,517 487,747 185,332
----------- ----------- ----------- ----------- ----------- -----------
Net Increase/(Decrease)
in Net Assets 1,041,637 544,077 1,247,608 578,720 540,039 170,097
----------- ----------- ----------- ----------- ----------- -----------
Net Assets:
Beginning of Period 1,410,903 866,826 1,379,199 800,479 170,097 --
----------- ----------- ----------- ----------- ----------- -----------
End of Period $ 2,452,540 $ 1,410,903 $ 2,626,807 $ 1,379,199 $ 710,136 $ 170,097
=========== =========== =========== =========== =========== ===========
Shares Issued and Redeemed:
Class A:
Shares Issued 69,200 46,137 49,658 37,613 45,189 19,248
Shares Issued in Lieu of
Cash Distributions 5,273 4,224 858 1,956 188 6
Shares Redeemed (26,707) (13,588) (24,235) (13,164) (6,943) (1,563)
----------- ----------- ----------- ----------- ----------- -----------
Total Class A Transactions 47,766 36,773 26,281 26,405 38,434 17,691
=========== =========== =========== =========== =========== ===========
Class D:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Class D Transactions -- -- -- -- -- --
=========== =========== =========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
-------------------------- --------------------------
Small Cap Small Cap
Value Growth
-------------------------- --------------------------
10/1/98- 10/1/97- 10/1/98- 10/1/97-
9/30/99 9/30/98 9/30/99 9/30/98
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Operations:
Net Investment Income/(Loss) $ 1,916 $ 1,429 $ (5,259) $ (3,300)
Net Realized Gain (Loss) from
Investment Transactions
and Futures Contracts (1,485) 6,703 110,401 1,918
Net Change in Unrealized
Appreciation/(Depreciation)
of Investments 17,865 (79,746) 205,116 (173,230)
----------- ----------- ----------- -----------
Net increase/(Decrease) in
Net Assets from Operations 18,296 (71,614) 310,258 (174,612)
----------- ----------- ----------- -----------
Distributions to Shareholders:
Net Investment Income:
Class A (1,735) (1,046) -- --
Class D -- -- -- --
Net Realized Gains:
Class A (5,679) (38,318) (2,521) (19,092)
Class D -- -- (8) --
----------- ----------- ----------- -----------
Total Distributions (7,414) (39,364) (2,529) (19,092)
----------- ----------- ----------- -----------
Capital Share Transactions:
Class A:
Shares Issued 337,780 394,312 542,770 365,558
Reinvestment of Cash
Distributions 6,101 31,295 1,996 14,438
Shares Redeemed (212,648) (207,956) (456,962) (212,008)
----------- ----------- ----------- -----------
Increase/(Decrease) in Net
Assets Derived from
Class A Transactions 131,233 217,651 87,804 167,988
----------- ----------- ----------- -----------
Class D:
Shares Issued -- -- 162 924
Reinvestment of Cash
Distributions -- -- 8 77
Shares Redeemed -- -- (609) (557)
----------- ----------- ----------- -----------
Increase/(Decrease) in
Net Assets Derived from
Class D Transactions -- -- (439) 444
----------- ----------- ----------- -----------
Increase/(Decrease) in
Net Assets Derived
from Capital Share
Transactions 131,233 217,651 87,365 168,432
----------- ----------- ----------- -----------
Net Increase/(Decrease)
in Net Assets 142,115 106,673 395,094 (25,272)
----------- ----------- ----------- -----------
Net Assets:
Beginning of Period 430,010 323,337 538,344 563,616
----------- ----------- ----------- -----------
End of Period $ 572,125 $ 430,010 $ 933,438 $ 538,344
=========== =========== =========== ===========
Shares Issued and Redeemed:
Class A:
Shares Issued 23,701 23,720 29,984 21,710
Shares Issued in Lieu of
Cash Distributions 424 1,966 128 853
Shares Redeemed (14,896) (12,352) (25,232) (12,410)
----------- ----------- ----------- -----------
Total Class A Transactions 9,229 13,334 4,880 10,153
=========== =========== =========== ===========
Class D:
Shares Issued -- -- 9 57
Shares Issued in Lieu of
Cash Distributions -- -- 1 5
Shares Redeemed -- -- (38) (32)
----------- ----------- ----------- -----------
Total Class D Transactions -- -- (28) 30
=========== =========== =========== ===========
</TABLE>
(1)The Tax Managed Large Cap Fund commenced operations on March 4, 1998.
Amounts designated as " -- " are zero or have been rounded to zero.
76
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------------------- -------------------------- --------------------------
Capital Equity
Mid-Cap Appreciation Income
-------------------------- -------------------------- --------------------------
10/1/98- 10/1/97- 10/1/98- 10/1/97- 10/1/98- 10/1/97-
9/30/99 9/30/98 9/30/99 9/30/98 9/30/99 9/30/98
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net Investment Income/(Loss) $ 153 $ 376 $ 560 $ 1,502 $ 1,730 $ 2,736
Net Realized Gain (Loss) from
Investment Transactions
and Futures Contracts 2,913 3,053 18,764 32,570 27,864 29,966
Net Change in Unrealized
Appreciation/(Depreciation)
of Investments 2,720 (10,148) 7,939 (21,720) (11,164) (27,624)
----------- ----------- ----------- ----------- ----------- -----------
Net increase/(Decrease) in
Net Assets from Operations 5,786 (6,719) 27,263 12,352 18,430 5,078
----------- ----------- ----------- ----------- ----------- -----------
Distributions to Shareholders:
Net Investment Income:
Class A (175) (344) (775) (1,501) (1,872) (3,519)
Class D -- -- -- -- -- --
Net Realized Gains:
Class A (2,535) (5,482) (30,075) (45,107) (29,773) (31,064)
Class D -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (2,710) (5,826) (30,850) (46,608) (31,645) (34,583)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions:
Class A:
Shares Issued 11,842 19,585 32,245 32,355 28,403 25,510
Reinvestment of Cash
Distributions 2,081 4,021 23,588 32,093 14,288 13,168
Shares Redeemed (17,164) (10,948) (86,390) (75,689) (65,217) (66,363)
----------- ----------- ----------- ----------- ----------- -----------
Increase/(Decrease) in Net
Assets Derived from
Class A Transactions (3,241) 12,658 (30,557) (11,241) (22,526) (27,685)
----------- ----------- ----------- ----------- ----------- -----------
Class D:
Shares Issued -- -- -- -- -- --
Reinvestment of Cash
Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Increase/(Decrease) in
Net Assets Derived from
Class D Transactions -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Increase/(Decrease) in
Net Assets Derived
from Capital Share
Transactions (3,241) 12,658 (30,557) (11,241) (22,526) (27,685)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase/(Decrease)
in Net Assets (165) 113 (34,144) (45,497) (35,741) (57,190)
----------- ----------- ----------- ----------- ----------- -----------
Net Assets:
Beginning of Period 35,160 35,047 118,741 164,238 116,576 173,766
----------- ----------- ----------- ----------- ----------- -----------
End of Period $ 34,995 $ 35,160 $ 84,597 $ 118,741 $ 80,835 $ 116,576
=========== =========== =========== =========== =========== ===========
Shares Issued and Redeemed:
Class A:
Shares Issued 755 1,129 2,359 2,140 2,112 1,610
Shares Issued in Lieu of
Cash Distributions 140 241 1,898 2,352 1,153 872
Shares Redeemed (1,102) (651) (6,336) (5,038) (4,822) (4,144)
----------- ----------- ----------- ----------- ----------- -----------
Total Class A Transactions (207) 719 (2,079) (546) (1,557) (1,662)
=========== =========== =========== =========== =========== ===========
Class D:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Class D Transactions -- -- -- -- -- --
=========== =========== =========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
-------------------------- -------------------------- --------------------------
Core Fixed High Yield
Balanced Income Bond
-------------------------- -------------------------- --------------------------
10/1/98- 10/1/97- 10/1/98- 10/1/97- 10/1/98- 10/1/97-
9/30/99 9/30/98 9/30/99 9/30/98 9/30/99 9/30/98
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net Investment Income/(Loss) $ 1,424 $ 1,507 $ 103,984 $ 70,603 $ 39,761 $ 24,014
Net Realized Gain (Loss) from
Investment Transactions
and Futures Contracts 4,743 7,888 (32,847) 29,954 (1,682) 3,851
Net Change in Unrealized
Appreciation/(Depreciation)
of Investments 3,412 (2,971) (89,226) 35,382 (26,407) (25,378)
----------- ----------- ----------- ----------- ----------- -----------
Net increase/(Decrease) in
Net Assets from Operations 9,579 6,424 (18,089) 135,939 11,672 2,487
----------- ----------- ----------- ----------- ----------- -----------
Distributions to Shareholders:
Net Investment Income:
Class A (1,553) (1,595) (103,767) (70,603) (39,761) (24,014)
Class D -- -- -- -- -- --
Net Realized Gains:
Class A (7,596) (6,148) (32,584) (1,847) (1,963) (1,688)
Class D -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (9,149) (7,743) (136,351) (72,450) (41,724) (25,702)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions:
Class A:
Shares Issued 15,963 17,427 1,496,575 832,979 277,641 194,775
Reinvestment of Cash
Distributions 7,799 7,317 117,984 56,940 40,166 24,467
Shares Redeemed (25,961) (18,364) (576,951) (551,458) (95,474) (117,547)
----------- ----------- ----------- ----------- ----------- -----------
Increase/(Decrease) in Net
Assets Derived from
Class A Transactions (2,199) 6,380 1,037,608 338,461 222,333 101,695
----------- ----------- ----------- ----------- ----------- -----------
Class D:
Shares Issued -- -- -- -- -- --
Reinvestment of Cash
Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Increase/(Decrease) in
Net Assets Derived from
Class D Transactions -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Increase/(Decrease) in
Net Assets Derived
from Capital Share
Transactions (2,199) 6,380 1,037,608 338,461 222,333 101,695
----------- ----------- ----------- ----------- ----------- -----------
Net Increase/(Decrease)
in Net Assets (1,769) 5,061 883,168 401,950 192,281 78,480
----------- ----------- ----------- ----------- ----------- -----------
Net Assets:
Beginning of Period 56,256 51,195 1,465,285 1,063,335 314,937 236,457
----------- ----------- ----------- ----------- ----------- -----------
End of Period $ 54,487 $ 56,256 $ 2,348,453 $ 1,465,285 $ 507,218 $ 314,937
=========== =========== =========== =========== =========== ===========
Shares Issued and Redeemed:
Class A:
Shares Issued 1,482 1,432 144,349 78,521 26,304 16,862
Shares Issued in Lieu of
Cash Distributions 629 571 11,370 5,361 3,807 2,121
Shares Redeemed (2,018) (1,373) (55,637) (51,924) (9,051) (10,131)
----------- ----------- ----------- ----------- ----------- -----------
Total Class A Transactions 93 630 100,082 31,958 21,060 8,852
=========== =========== =========== =========== =========== ===========
Class D:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Class D Transactions -- -- -- -- -- --
=========== =========== =========== =========== =========== ===========
</TABLE>
77
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- For the periods ended September 30.
For a Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
Ratio
of Net
Invest-
Ratio Ratio ment
of Net of Ex- Income
Net Invest- penses (Loss)
Realized Divi- Ratio ment to to
and Un- dends Distri- of Ex- Income Average Average
Net realized from butions Net penses (Loss) Net Net Port-
Net Asset Invest- Gains/ Net from Asset to to Assets Assets folio
Value, ment (Losses) Invest- Realized Value, Net Assets Average Average (Ex- (Ex- Turn-
Beginning Income on Se- ment Capital End of Total End of Net Net cluding cluding over
of Period (Loss) curities Income Gains Period Return Period (000) Assets Assets Waivers) Waivers) Rate
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
Large Cap Value Fund
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A
1999 $17.31 $ 0.24 $ 2.67 $(0.24) $(1.01) $18.97 17.13% $2,452,540 0.85% 1.26% 0.85% 1.26% 49%
1998 19.37 0.25 (0.42) (0.26) (1.63) 17.31 (1.40) 1,410,903 0.85 1.42 0.85 1.42 79
1997 14.78 0.28 5.77 (0.29) (1.17) 19.37 44.12 866,826 0.85 1.74 0.85 1.74 67
1996 13.00 0.32 2.01 (0.26) (0.29) 14.78 18.33 515,011 0.83 2.31 0.83 2.31 75
1995 10.71 0.33 2.44 (0.33) (0.15) 13.00 26.83 331,692 0.76 2.92 0.82 2.86 99
- ----------------------------------------------------------------------------------------------------------------------------------
Large Cap Growth Fund
- ----------------------------------------------------------------------------------------------------------------------------------
Class A
1999 $21.01 $(0.05) $ 7.92 $ -- $(0.30) $28.58 37.74% $2,626,807 0.85% (0.24)% 0.90% (0.29)% 45%
1998 20.40 0.03 1.62 (0.04) (1.00) 21.01 8.35 1,379,199 0.85 0.11 0.90 0.06 80
1997 15.03 0.03 6.33 (0.05) (0.94) 20.40 44.35 800,479 0.85 0.22 0.90 0.17 73
1996 12.75 0.07 2.51 (0.08) (0.22) 15.03 20.59 482,079 0.82 0.50 0.87 0.45 90
1995(4) 10.00 0.11 2.72 (0.08) -- 12.75 37.90 297,377 0.85 1.15 0.89 1.11 44
- ----------------------------------------------------------------------------------------------------------------------------------
Tax-Managed Large Cap Fund
- ----------------------------------------------------------------------------------------------------------------------------------
Class A
1999 $ 9.61 $ 0.08 $ 3.04 $(0.08) $ -- $12.65 32.60% $ 710,136 0.85% 0.71% 0.90% 0.66% 21%
1998(7) 10.00 0.04 (0.42) (0.01) -- 9.61 (3.82) 170,097 0.85 1.18 0.90 1.13 12
- ----------------------------------------------------------------------------------------------------------------------------------
Small Cap Value Fund
- ----------------------------------------------------------------------------------------------------------------------------------
Class A
1999 $13.67 $ 0.05 $ 0.57 $(0.05) $(0.18) $14.06 4.47% $ 572,125 1.10% 0.38% 1.10% 0.38% 130%
1998 17.85 0.05 (2.22) (0.04) (1.97) 13.67 (13.68) 430,010 1.10 0.34 1.10 0.34 77
1997 13.17 0.05 5.74 (0.05) (1.06) 17.85 47.16 323,337 1.11 0.37 1.11 0.37 98
1996 12.19 0.02 1.27 (0.01) (0.30) 13.17 10.86 163,177 1.11 0.15 1.11 0.15 121
1995(5) 10.00 0.03 2.19 (0.03) -- 12.19 29.38 102,975 1.10 0.26 1.12 0.24 64
- ----------------------------------------------------------------------------------------------------------------------------------
Small Cap Growth Fund
- ----------------------------------------------------------------------------------------------------------------------------------
Class A
1999 $13.68 $(0.12) $ 7.62 $ -- $(0.06) $21.12 55.00% $ 931,024 1.10% (0.72)% 1.10% (0.72)% 141%
1998 19.32 (0.08) (4.92) -- (0.64) 13.68 (26.53) 536,393 1.10 (0.56) 1.10 (0.56) 128
1997 20.51 0.02 2.64 -- (3.85) 19.32 17.23 561,414 1.10 (0.60) 1.10 (0.60) 107
1996 19.88 (0.08) 4.37 -- (3.66) 20.51 26.56 380,525 1.10 (0.63) 1.11 (0.64) 167
1995 14.04 (0.14) 5.98 -- -- 19.88 41.65 310,238 1.10 (0.60) 1.13 (0.63) 113
Class D
1999 $13.40 $(0.26) $ 7.55 $ -- $(0.06) $20.63 54.58% $ 2,414 1.42% (1.04)% 1.47% (1.09)% 141%
1998 18.99 (0.14) (4.81) -- (0.64) 13.40 (26.74)* 1,951 1.46 (0.92) 1.46 (0.92) 128
1997 20.29 (0.11) 2.66 -- (3.85) 18.99 16.80* 2,202 1.46 (0.95) 1.46 (0.95) 107
1996 19.78 (0.07) 4.24 -- (3.66) 20.29 26.01* 1,826 1.49 (1.02) 1.49 (1.02) 167
1995 13.99 (0.09) 5.88 -- -- 19.78 41.44* 786 1.50 (1.03) 1.55 (1.08) 113
</TABLE>
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
78
<PAGE>
<TABLE>
<CAPTION>
Ratio
of Net
Ratio Invest-
Ratio of ment
Net of Net Expenses Income
Realized Divi- Ratio Invest- to to
and Un- dends Distri- of ment Average Average
realized from butions Net Expenses Income Net Net Port-
Net Asset Net Gains Net from Asset to to Assets Assets folio
Value, Invest- (Losses) Invest- Realized Value, Net Assets Average Average (Ex- (Ex- Turn-
Beginning ment on Se- ment Capital End of Total End of Net Net cluding cluding over
of Period Income curities Income Gains Period Return Period (000) Assets Assets Waivers) Waivers) Rate
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
Mid-Cap Fund
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A
1999 $14.00 $ 0.07 $ 2.21 $(0.07) $(1.02) $15.19 16.53% $ 34,995 1.00% 0.40% 1.00% 0.40% 139%
1998 19.56 0.13 (2.67) (0.15) (2.87) 14.00 (15.41) 35,160 1.00 0.93 1.00 0.93 106
1997 14.96 0.13 5.86 (0.14) (1.25) 19.56 43.13 35,047 0.93 0.79 0.94 0.78 92
1996 13.04 0.18 1.89 (0.15) -- 14.96 16.03 24,954 0.77 1.28 0.88 1.17 101
1995 10.89 0.01 2.14 -- -- 13.04 19.78 27,898 0.94 0.04 1.09 (0.11) 108
- ----------------------------------------------------------------------------------------------------------------------------------
Capital Appreciation Fund
- ----------------------------------------------------------------------------------------------------------------------------------
Class A
1999 $14.01 $ 0.07 $ 2.92 $(0.09) $(3.68) $13.23 23.13% $ 84,597 0.84% 0.47% 0.91% 0.41% 147%
1998 18.20 0.16 0.92 (0.16) (5.11) 14.01 7.08 118,741 0.84 1.03 0.89 0.98 238
1997 18.14 0.21 4.65 (0.22) (4.58) 18.20 34.02 164,238 0.84 1.20 0.89 1.15 178
1996 16.70 0.20 3.18 (0.17) (1.77) 18.14 22.14 236,581 0.84 1.20 0.86 1.18 153
1995 15.18 0.22 2.42 (0.23) (0.89) 16.70 19.03 310,693 0.84 1.39 0.89 1.34 107
- ----------------------------------------------------------------------------------------------------------------------------------
Equity Income Fund
- ----------------------------------------------------------------------------------------------------------------------------------
Class A
1999 $14.61 $ 0.24 $ 1.87 $(0.24) $(3.89) $12.59 15.35% $ 80,835 0.85% 1.66% 0.91% 1.60% 75%
1998 18.02 0.41 (0.09) (0.38) (3.35) 14.61 1.51 116,576 0.85 1.85 0.90 1.80 66
1997 16.40 0.39 4.33 (0.42) (2.68) 18.02 33.46 173,766 0.85 2.38 0.90 2.33 40
1996 16.07 0.49 2.20 (0.41) (1.95) 16.40 18.17 202,823 0.83 3.00 0.86 2.97 43
1995 14.06 0.55 2.48 (0.55) (0.47) 16.07 23.00 250,609 0.82 3.72 0.88 3.66 47
- ----------------------------------------------------------------------------------------------------------------------------------
Balanced Fund
- ----------------------------------------------------------------------------------------------------------------------------------
Class A
1999 $13.17 $ 0.31 $ 1.10 $(0.34) $(1.75) $12.49 11.22% $ 54,487 0.75% 2.39% 0.75% 2.39% 188%
1998 14.06 0.41 0.80 (0.40) (1.70) 13.17 9.49 56,256 0.75 2.90 0.80 2.85 183
1997 13.94 0.41 2.27 (0.42) (2.14) 14.06 22.38 51,195 0.75 3.15 0.81 3.09 197
1996 12.76 0.42 1.44 (0.34) (0.34) 13.94 15.01 57,915 0.75 2.98 0.84 2.89 143
1995 11.52 0.34 1.34 (0.34) (0.10) 12.76 15.05 70,464 0.75 2.92 0.90 2.77 159
</TABLE>
79
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- For the periods ended September 30.
For a Share Outstanding throughout the Period
<TABLE>
<CAPTION>
Ratio
of Net
Ratio Invest-
Ratio of ment
Net of Net Expenses Income
Realized Divi- Ratio Invest- to to
and Un- dends Distri- of ment Average Average
realized from butions Net Expenses Income Net Net Port-
Net Asset Net Gains Net from Asset to to Assets Assets folio
Value, Invest- (Losses) Invest- Realized Value, Net Assets Average Average (Ex- (Ex- Turn-
Beginning ment on Se- ment Capital End of Total End of Net Net cluding cluding over
of Period Income curities Income Gains Period Return Period (000) Assets Assets Waivers) Waivers) Rate
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
Core Fixed Income Fund
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A
1999 $10.92 $ 0.56 $(0.66) $(0.56) $(0.23) $10.03 (0.96)% $2,348,453 0.60% 5.47% 0.60% 5.47% 334%
1998 10.40 0.61 0.54 (0.61) (0.02) 10.92 11.42 1,465,285 0.60 5.77 0.60 5.77 344
1997 10.23 0.63 0.33 (0.63) (0.16) 10.40 9.80 1,063,335 0.60 6.17 0.61 6.16 216
1996 10.46 0.64 (0.18) (0.69) -- 10.23 4.51 655,300 0.57 6.24 0.64 6.17 311
1995 9.65 0.65 0.82 (0.66) -- 10.46 15.87 419,959 0.55 6.60 0.68 6.47 294
- ----------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Fund
- ----------------------------------------------------------------------------------------------------------------------------------
Class A
1999 $10.81 $ 1.02 $(0.64) $(1.02) $(0.06) $10.11 3.51% $ 507,218 0.85% 9.62% 0.89% 9.58% 17%
1998 11.66 1.04 (0.75) (1.04) (0.10) 10.81 2.25 314,937 0.85 8.94 0.89 8.90 56
1997 11.14 1.04 0.57 (1.04) (0.05) 11.66 15.30 236,457 0.86 9.33 0.91 9.28 68
1996 10.64 0.94 0.62 (1.03) (0.03) 11.14 15.46 107,545 0.87 9.01 0.94 8.94 55
1995(6) 10.00 0.67 0.55 (0.58) -- 10.64 17.72 23,724 0.67 10.02 0.86 9.83 56
</TABLE>
(1) Mid-Cap Class A shares were offered beginning February 16, 1993. All ratios
including total return for that period have been annualized.
(2) Small Cap Growth Class A shares were offered beginning April 20, 1992. All
ratios including total return for that period have been annualized.
(3) Small Cap Growth Class D shares were offered May 2, 1994. All ratios
including total return for that period have been annualized.
(4) Large Cap Growth shares were offered beginning December 20, 1994. All ratios
including total return for that period have been annualized.
(5) Small Cap Value shares were offered beginning December 20, 1994. All ratios
including total return for that period have been annualized.
(6) High Yield Bond shares were offered beginning January 11, 1995. All ratios
including total return for that period have been annualized.
(7) Tax Managed Large Cap Class A shares were offered beginning March 4, 1998.
All ratios have been annualized.
* Sales load is not reflected in total return.
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
80
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
1. Organization
SEI Institutional Managed Trust (the "Trust") is organized as a
Massachusetts Business Trust under a Declaration of Trust dated October 20,
1986. The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end investment company with eleven diversified Funds (the
"Funds"): Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Small Cap
Value, Small Cap Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced,
Core Fixed Income, and High Yield Bond. The Trust is registered to offer Class A
shares of the Large Cap Value, Large Cap Growth, Small Cap Value, Small Cap
Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, Core Fixed
Income, and High Yield Bond Funds and Class D shares of the Small Cap Growth
Fund. The Funds' prospectus provides a description of each Funds' investment
objective, policies, and strategies.
2. Significant Accounting Policies
The following is a summary of the significant accounting policies followed
by the Trust. The preparation of financial statements in conformity with
generally accepted accounting principles requires the use of management
estimates. Actual results could differ from the estimates.
Security Valuation -- Investments in equity securities which are traded on
a national securities exchange (or reported on NASDAQ national market system)
are stated at the last quoted sales price if readily available for such equity
securities on each business day; other equity securities traded in the
over-the-counter market and listed equity securities for which no sale was
reported on that date are stated at the last quoted bid price. Debt obligations
with remaining maturities in excess of sixty days are valued at the most
recently quoted bid price. Debt obligations with remaining maturities of sixty
days or less are valued at their amortized cost which approximates market value.
Securities for which quotations are not readily available are valued at fair
value using methods determined in good faith under general Trustee supervision.
Federal Income Taxes--It is each Fund's intention to qualify as a regulated
investment company for Federal income tax purposes and distribute all of its
taxable income (including net capital gains). Accordingly, no provision for
Federal income taxes is required.
Net Asset Value Per Share--Net asset value per share is calculated on a
daily basis by dividing the assets of each Fund less its liabilities by the
number of outstanding shares of the Fund.
Repurchase Agreements--Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreement. The Funds also invest in tri-party repurchase agreements.
Securities held as collateral for tri-party repurchase agreements are maintained
by the broker's custodian bank in a segregated account until maturity of the
repurchase agreement. Provisions of the repurchase agreement and procedures
adopted by the Manager and the Advisers of the Trust require that the market
value of the collateral, including accrued interest thereon, is sufficient in
the event of default by the counterparty. If the counterparty defaults and the
value of the collateral declines or if the counterparty enters into an
insolvency proceeding, realization of the collateral by the Funds may be delayed
or limited.
Compensating Balances--Funds with cash overdrafts in excess of $100,000 are
required to leave 112% in compensating balance with First Union, the custodian
of the Trust, on the following day. Funds with positive cash balances in excess
of $100,000 are allowed to overdraw 90% of the balance with First Union on the
following day.
Discount and Premium Amortization--Amortization and accretion is calculated
using the effective interest method over the holding period of the security.
Amortization of premiums and discounts is included in interest income.
Expenses--Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Funds are
prorated to the funds on the basis of relative net assets.
Classes--Class-specific expenses are borne by that class of shares. Income,
realized and unrealized gains/losses and non class-specific expenses are
allocated to the respective classes on the basis of relative daily net assets.
Futures Contracts--The Large Cap Growth, Large Cap Value, Tax-Managed Large
Cap, Small Cap Value, Small Cap Growth, Capital Appreciation and
81
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Equity Income Funds utilized S&P 500 Index futures contracts and the Core Fixed
Income Fund utilized U.S. Long T-Bond and five and ten year note futures
contracts during the period ended September 30, 1999. The Funds' investment in
S&P 500 Index futures contracts is designed to enable the Funds to more closely
approximate the performance of their benchmark indices. The Core Fixed Income
Fund's use of futures contracts is primarily for tactical hedging purposes.
Initial margin deposits of cash or securities are made upon entering into
futures contracts. The contracts are marked to market daily and the resulting
changes in value are accounted for as unrealized gains and losses. Variation
margin payments are paid or received, depending upon whether unrealized losses
or gains are incurred. When the contract is closed, the Fund records a realized
gain or loss equal to the difference between the proceeds from (or cost of) the
closing transaction and the amount invested in the contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform. Futures contracts involve risk of loss in excess of the
amounts recognized in the Statement of Net Assets to the extent of the contract
amounts.
Option Selling/Purchasing -- Each Fund may invest in financial options
contracts solely for the purpose of hedging its existing fund securities, or
securities that the Fund intends to purchase, against fluctuations in fair value
caused by changes in prevailing market interest rates. When the Fund sells or
purchases an option, an amount equal to the premium received or paid by the Fund
is recorded as a liability or an asset and is subsequently adjusted to the
current market value of the option written or purchased. Premiums received or
paid from purchasing options which expire unexercised are treated by the Fund on
the expiration date as realized gains or losses. The difference between the
premium and the amount paid or received on effecting a closing purchase or sale
transaction, including brokerage commissions, is also treated as a realized gain
or loss. If an option is exercised, the premium paid or received is added to the
cost of the purchase or proceeds from the sale in determining whether the Fund
has realized a gain or a loss on investment transactions.
TBA and Other Purchase Commitments -- The Funds may enter into purchase
commitments to purchase securities for a fixed price at a future date. Purchase
commitments may be considered securities and involve a risk of loss if the value
of the security to be purchased declines prior to settlement date, which risk is
in addition to the risk of decline in the value of a Fund's other assets.
Unsettled purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under "Security
Valuation" above.
Structured Notes and Indexed Notes--The Core Fixed Income Fund may invest
in structured notes and indexed notes whose values are linked either directly or
inversely to changes in foreign currency exchange rates, interest rates,
indices, or other reference instruments. The values of these instruments may be
more volatile than the rates, indices or instruments to which they refer, but
any loss is limited to the amount of the original investment.
Restricted Securities--Certain of the Fund's investments are restricted as
to resale. The table below shows the number of shares held, the acquisition
date, cost, market value as of September 30, 1999, value per share of such
securities and percentage of net assets which the securities comprise:
Number Acquisition
of Shares Date Cost
---------- ----------- -----------
Core Fixed Income Fund
Fairbanks Capital Mortgage
Series 1991-1A 12,017,130 06/28/1999 $12,017,130
Enterprise Mortgage
Acceptance Series 1991-A 61,030,000 03/31/1999 4,190,563
FFCA Secured Lending
Series 1997-1 22,331,804 03/17/1999 1,032,846
FFCA Secured Lending
Series 1999-1A 24,900,000 04/22/1999 2,006,063
Market Value Value per Percentage of
at 09/30/99 Share Net Assets
------------ --------- -------------
Core Fixed Income Fund
Fairbanks Capital Mortgage
Series 1991-1A $11,987,686 $1.00 0.01
Enterprise Mortgage
Acceptance Series 1991-A 3,966,950 0.07 0.00
FFCA Secured Lending
Series 1997-1 959,970 0.04 0.00
FFCA Secured Lending
Series 1999-1A 1,999,781 0.08 0.00
82
<PAGE>
- --------------------------------------------------------------------------------
Number Acquisition
of Shares Date Cost
---------- ----------- -------
High Yield Bond Fund
Diva Systems 8,271 02/02/1999 $ --
Metronet 500 02/11/1998 9,657
Petersburg Long Distance 90,000 05/28/1999 90,000
Market Value Value per Percentage of
at 09/30/99 Share Net Assets
------------ --------- -------------
High Yield Bond Fund
Diva Systems $ 83 $0.01 0.00
Metronet 4,125 8.25 0.00
Petersburg Long Distance 38,250 0.43 0.00
Distributions -- Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid-in-capital in the period that the difference arises.
The Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, and Small Cap
Growth Funds utilized earnings and profits distributed to shareholders on
redemption of shares as a part of the dividends paid deduction for income tax
purposes.
Other--Security transactions are recorded on the trade date of the security
purchase or sale. Costs used in determining net realized capital gains and
losses on the sale of securities are those of the specific securities sold.
Dividend income is recognized on the ex-dividend date, and interest income is
recognized using the accrual basis of accounting.
The market values of the Core Fixed Income Fund's investments will change
in response to interest rate changes and other factors. During periods of
falling interest rates, the values of fixed income securities generally rise.
Conversely, during periods of rising interest rates, the values of such
securities generally decline. Changes by recognized rating agencies in the
ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
3. Management, Investment Advisory, and Distribution Agreements
The Trust and SEI Investments Fund Management (the "Manager"), are parties
to a management agreement (the "Agreement") dated January 22, 1987. Under this
Agreement, the Manager provides management, administrative, and shareholder
servicing for an annual fee of .35% of the average daily net assets of the Large
Cap Value, Large Cap Growth, Tax-Managed Large Cap, Small Cap Value, Small Cap
Growth, Mid-Cap, Capital Appreciation, Equity Income, Balanced, and High Yield
Bond Funds; and .28% of the average daily net assets of the Core Fixed Income
Fund. The Manager has agreed to waive all or a portion of its fee in order to
limit the operating expenses of a Fund. Any such waiver is voluntary and may be
terminated at any time at the Manager's sole discretion.
SEI Investments Management Corporation ("SIMC") serves as investment
adviser to each Fund. In connection with serving as investment adviser, SIMC is
entitled to a fee, which is calculated daily and paid monthly, at an annual rate
of .35% of the Large Cap Value Fund's average daily net assets, at an annual
rate of .40% of the Large Cap Growth, Tax Managed Large Cap, Mid-Cap, Capital
Appreciation, Equity Income and Balanced Funds' average daily net assets, at an
annual rate of .65% of the Small Cap Value and Small Cap Growth Funds' average
daily net assets, at an annual rate of .275% of the Core Fixed Income Fund's
average daily net assets and .4875% of the High Yield Bond Fund's average daily
net assets. The adviser has voluntarily agreed to waive a portion of its fee in
an amount equal to .05% of the average daily net assets of the Large Cap Growth,
Tax Managed Large Cap, Capital Appreciation, Equity Income, and Balanced Funds.
Mellon Equity Associates, LLC, LSV Asset Management and Sanford C.
Bernstein & Co., Inc. each serve as an investment sub-adviser to a portion of
the assets of the Large Cap Value Fund and are party to investment sub-advisory
agreements with the Trust and SIMC dated December 16, 1994, March 31, 1995 and
December 15, 1997, respectively. Under the investment sub-advisory agreements,
each party receives an annual fee, paid by SIMC.
Alliance Capital Management L.P., Provident Investment Counsel, Inc., and
Trust Company of the West each serve as an investment sub-adviser to a portion
of the assets of the Large Cap Growth Fund and are party to investment
sub-advisory
83
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
agreements with the Trust and SIMC dated December 16, 1994, May 1, 1996 and
September 18, 1998, respectively. Under the investment sub-advisory agreements,
each party receives an annual fee, paid by SIMC.
Alliance Capital Management L.P., Mellon Equity Associates, LLC and Sanford
C. Bernstein & Co. each serve as an investment sub-adviser to a portion of the
assets of the Tax-Managed Large Cap Fund and are party to investment
sub-advisory agreements with the Trust and SIMC dated February 23, 1998. Under
the investment sub-advisory agreements, each party receives an annual fee, paid
by SIMC.
LSV Asset Management L.P., Boston Partners Asset Management, L.P., Mellon
Equity Associates, LLC, and Artisan Partners, LP each serve as an investment
sub-adviser to a portion of the assets of the Small Cap Value Fund and are party
to investment sub-advisory agreements with the Trust and SIMC dated May 30,
1997, December 18, 1994, November 13, 1995, September 21, 1998 and April 1,
1999, respectively. Under the investment sub-advisory agreements, each party
receives an annual fee, paid by SIMC.
Nicholas-Applegate Capital Management, Inc., Wall Street Associates, Furman
Selz Capital Management, LLC, Robertson Stephens Investment Management, and
Sawgrass Asset Management, LLC, each serve as an investment sub-adviser to a
portion of the assets of the Small Cap Growth Fund and are party to investment
sub-advisory agreements with the Trust and SIMC dated August 11, 1995, August
11, 1995, August 11, 1995, March 24, 1998, and April 4, 1999, respectively.
Under the investment sub-advisory agreements, each party receives an annual fee,
paid by SIMC.
Martingale Asset Management, L.P. serves as investment sub-adviser to the
Mid-Cap Fund and is party to an investment sub-advisory agreement with the Trust
and SIMC dated August 14, 1995. Under the investment sub-advisory agreement,
Martingale Asset Management, L.P. receives an annual fee, paid by SIMC.
HighMark Capital Management, Inc. (formerly Pacific Alliance Capital
Management) serves as investment sub-adviser to the Equity Income Fund and is
party to an investment sub-advisory agreement with the Trust and SIMC dated
April 1, 1996. Under the investment sub-advisory agreement, HighMark Capital
Management receives an annual fee, paid by SIMC.
STI Capital Management, N.A. ("STI") serves as investment sub-adviser to
the Capital Appreciation and Balanced Funds and is party to an investment
sub-advisory agreement with the Trust and SIMC dated July 10, 1995. Under the
investment sub-advisory agreement, STI receives an annual fee for each Fund,
paid by SIMC.
Western Asset Management Company, BlackRock Financial Management, Inc., and
Firstar Investment Research & Management Company each serve as an investment
sub-adviser to a portion of the assets of the Core Fixed Income Fund and are
parties to investment sub-advisory agreements with the Trust and SIMC dated
November 13, 1995, January 2, 1996, and November 13, 1995, respectively. Under
the investment sub-advisory agreements, each party receives an annual fee, paid
by SIMC.
Credit Suisse Asset Management (formerly BEA Associates) serves as
investment sub-adviser to the High Yield Bond Fund and is a party to an
investment sub-advisory agreement with the Trust and SIMC dated August 11, 1995.
Under the investment sub-advisory agreement, BEA Associates receives an annual
fee, paid by SIMC.
SEI Investments Distribution Company. (the "Distributor"), a wholly-owned
subsidiary of SEI, serves as each Fund's distributor pursuant to a distribution
agreement with the Trust. The Trust has adopted a shareholder servicing plan for
Class A shares (the "Class A Plan") under which a shareholder servicing fee of
up to .25% of average daily net assets attributable to Class A shares will be
paid to the Distributor.
The Trust has adopted a distribution plan for its Class D shares (the
"Class D Plan") pursuant to which a 12b-1 fee of up to .30% of the average daily
net assets attributable to the Class D shares will be paid to the Distributor.
This payment may be used to compensate financial institutions that provide
distribution-related services to their customers. Under both the Class A Plan
and the Class D Plan, the Distributor may retain as profit any difference
between the fee it receives and the amount it pays to third parties.
The Distribution Agreement between the Distributor and the Trust provides
that the Distributor may receive compensation on fund transactions effected for
the Trust in accordance with the rules of the Securities and Exchange Commission
("SEC").
84
<PAGE>
Accordingly, it is expected that fund transactions may result in brokerage
commissions being paid to the Distributor. The SEC rules require that such
commissions not exceed usual and customary commissions.
4. Transactions with Affiliates
Certain officers and/or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated Trustees of the Trust is paid by the Manager.
Each of the Funds also used the Distributor as an agent in placing
repurchase agreements. For this service the Distributor retains a portion of the
interest earned as a commission. Aggregate commissions paid by the Trust for
repurchase agreements placed during the period ended September 30, 1999 were
$197,206.
5. Investment Transactions
The cost of security purchases and proceeds from the sale of securities,
other than temporary cash investments during the period ended September 30, 1999
were as follows:
Purchases
---------
U.S. Gov't. Other Total
(000) (000) (000)
---------- ---------- ----------
Large Cap Value $ -- $1,832,579 $1,832,579
Large Cap Growth -- 1,624,029 1,624,029
Tax-Managed Large Cap -- 547,673 547,673
Small Cap Value -- 755,370 755,370
Small Cap Growth -- 1,051,068 1,051,068
Mid-Cap -- 51,128 51,128
Capital Appreciation -- 155,831 155,831
Equity Income -- 71,281 71,281
Balanced 37,332 66,897 104,229
Core Fixed Income 6,363,061 597,919 6,960,980
High Yield Bond -- 267,150 267,150
Sales
---------
U.S. Gov't. Other Total
(000) (000) (000)
---------- ---------- ----------
Large Cap Value $ -- $976,074 $ 976,074
Large Cap Growth -- 931,639 931,639
Tax-Managed Large Cap -- 83,786 83,786
Small Cap Value -- 618,477 618,477
Small Cap Growth -- 990,229 990,229
Mid-Cap -- 55,607 55,607
Capital Appreciation -- 207,299 207,299
Equity Income -- 117,299 117,299
Balanced 45,639 64,614 110,253
Core Fixed Income 5,671,033 276,574 5,947,607
High Yield Bond -- 67,899 67,899
At September 30, 1999, the total cost of securities and the net realized
gains or losses on securities sold for Federal income tax purposes was not
materially different from amounts reported for financial reporting purposes. The
aggregate gross unrealized appreciation and depreciation on investments at
September 30, 1999 is as follows:
Net
Unrealized
Appreciated Depreciated Appreciation
Securities Securities Depreciation
(000) (000) (000)
----------- ----------- ------------
Large Cap Value $268,946 $ (180,316) $ 88,630
Large Cap Growth 770,555 (55,660) 714,895
Tax-Managed
Large Cap 75,677 (41,538) 34,139
Small Cap Value 46,434 (44,610) 1,824
Small Cap Growth 222,951 (39,491) 183,460
Mid-Cap 4,281 (3,788) 493
Capital Appreciation 24,445 (6,167) 18,278
Equity Income 16,661 (4,131) 12,530
Balanced 9,298 (2,819) 6,479
Core Fixed Income 9,906 (46,603) (36,697)
High Yield Bond 6,823 (45,117) (38,294)
6. Futures Contracts
The following Funds had futures contracts open as of September 30, 1999:
Unrealized
Contract Number of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- --------- -------- ------------- -----------
Large Cap Growth
S&P 500 25 1,283.00 December 1999 $ 95
S&P 500 25 1,284.00 December 1999 88
S&P 500 20 1,359.45 December 1999 (306)
S&P 500 18 1,325.50 December 1999 (123)
S&P 500 15 1,354.00 December 1999 (209)
S&P 500 14 1,352.50 December 1999 (190)
S&P 500 12 1,339.50 December 1999 (124)
S&P 500 12 1,291.00 December 1999 21
S&P 500 9 1,334.80 December 1999 (82)
S&P 500 8 1,288.00 December 1999 20
S&P 500 6 1,304.00 December 1999 (9)
S&P 500 5 1,360.30 December 1999 (78)
S&P 500 5 1,291.30 December 1999 9
S&P 500 3 1,291.40 December 1999 5
-----
$(883)
=====
85
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999
Unrealized
Contract Number of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- --------- -------- ------------- -----------
Large Cap Value
S&P 500 26 1,360.25 December 1999 $(404)
S&P 500 17 1,283.50 December 1999 62
S&P 500 16 1,354.00 December 1999 (222)
S&P 500 16 1,352.50 December 1999 (217)
S&P 500 13 1,340.00 December 1999 (136)
S&P 500 13 1,291.00 December 1999 23
S&P 500 11 1,292.50 December 1999 15
S&P 500 9 1,318.30 December 1999 (45)
S&P 500 8 1,288.00 December 1999 20
S&P 500 7 1,334.80 December 1999 (64)
S&P 500 4 1,304.00 December 1999 (6)
-----
$(974)
=====
Tax-Managed Large Cap
S&P 500 12 1,340.00 December 1999 $(126)
S&P 500 9 1,335.00 December 1999 (83)
S&P 500 9 1,291.00 December 1999 16
S&P 500 7 1,283.50 December 1999 26
S&P 500 6 1,304.00 December 1999 (9)
S&P 500 5 1,352.50 December 1999 (68)
S&P 500 5 1,318.30 December 1999 (25)
S&P 500 5 1,292.30 December 1999 7
S&P 500 5 1,284.00 December 1999 18
S&P 500 4 1,285.50 December 1999 13
S&P 500 4 1,288.00 December 1999 10
S&P 500 2 1,292.50 December 1999 3
-----
$(218)
=====
Small Cap Value
RUSSELL 2000 37 438.60 December 1999 $(169)
S&P 500 7 1,360.25 December 1999 (109)
S&P 500 6 1,325.50 December 1999 (41)
S&P 500 2 1,291.00 December 1999 4
S&P 500 2 1,292.50 December 1999 3
S&P 500 1 1,359.45 December 1999 (15)
S&P 500 1 1,354.00 December 1999 (14)
S&P 500 1 1,304.00 December 1999 (2)
-----
$(343)
=====
Small Cap Growth
RUSSELL 2000 53 438.60 December 1999 $(242)
RUSSELL 2000 1 441.00 December 1999 (6)
RUSSELL 2000 1 435.80 December 1999 (3)
RUSSELL 2000 1 422.50 December 1999 4
S&P 500 19 1,325.50 December 1999 (130)
S&P 500 15 1,291.50 December 1999 25
S&P 500 2 1,291.40 December 1999 3
-----
$(349)
=====
Unrealized
Contract Number of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- --------- -------- ------------- -----------
Equity Income
S&P 500 16 1,360.25 December 1999 $(248)
S&P 500 1 1,354.00 December 1999 (14)
-----
$(262)
=====
Core Fixed Income
U.S. 5 Year Note (1) 109.92 December 1999 $ 0
U.S. 5 Year Note (6) 109.67 December 1999 (3)
U.S. 5 Year Note (7) 110.02 December 1999 (1)
U.S. 5 Year Note (8) 108.18 December 1999 (2)
U.S. 5 Year Note (9) 109.13 December 1999 (9)
U.S. 5 Year Note (9) 109.77 December 1999 (3)
U.S. 5 Year Note (10) 109.51 December 1999 (6)
U.S. 5 Year Note (13) 108.05 December 1999 (5)
U.S. 5 Year Note (17) 108.58 December 1999 2
U.S. 5 Year Note (21) 108.27 December 1999 (4)
U.S. 5 Year Note (22) 108.11 December 1999 (8)
U.S. 5 Year Note (37) 108.23 December 1999 (9)
U.S. 5 Year Note (41) 108.32 December 1999 (6)
U.S. 5 Year Note (41) 108.27 December 1999 (9)
U.S. 5 Year Note (46) 108.01 December 1999 (21)
U.S. 5 Year Note (48) 108.50 December 1999 1
U.S. 5 Year Note (67) 108.78 December 1999 20
U.S. 5 Year Note (114) 108.03 December 1999 (51)
U.S. 5 Year Note (142) 108.39 December 1999 (12)
U.S. 5 Year Note (161) 107.84 December 1999 (102)
U.S. 10 Year Note 36 109.17 December 1999 34
U.S. 10 Year Note 35 110.07 December 1999 2
U.S. 10 Year Note 11 109.18 December 1999 10
U.S. 10 Year Note (8) 109.20 December 1999 (7)
U.S. 10 Year Note (22) 110.35 December 1999 5
U.S. 30 Year T Bond 63 113.99 December 1999 (3)
U.S. 30 Year T Bond 43 113.56 December 1999 16
U.S. 30 Year T Bond 34 113.48 December 1999 15
U.S. 30 Year T Bond 28 113.66 December 1999 7
U.S. 30 Year T Bond 6 113.03 December 1999 5
U.S. 30 Year T Bond 22 99.47 March 2000 (114)
U.S. 30 Year T Bond 6 93.75 March 2000 3
U.S. 30 Year T Bond 6 96.06 March 2000 (11)
U.S. 30 Year T Bond 4 93.94 March 2000 1
U.S. 30 Year T Bond 4 93.96 March 2000 1
U.S. 30 Year T Bond 3 95.13 March 2000 (3)
U.S. 30 Year T Bond 3 95.69 March 2000 (4)
U.S. 30 Year T Bond 2 94.00 March 2000 1
-----
$(270)
=====
86
<PAGE>
- --------------------------------------------------------------------------------
7. Written Options Transactions
Written option transactions entered into during the year ending September
30, 1999 are summarized as follows:
Core Fixed Income
----------------------------
Premium
# of Contracts (000)
-------------- -------
Balance at the beginning
of period 663 $ 319
Written 6,091,872 7,965
Expired (6,083,917) (1,705)
Exercised -- --
Closing Buys (7,753) (5,804)
---------- -------
Balanced at end of period 865 $ 775
========== =======
At September 30, 1999 the Core Fixed Income Fund had sufficient cash and/or
securities at least equal to the value of written options.
87
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust -- September 30, 1999 (Unaudited)
For shareholders that do not have a September 30, 1999 taxable year end, this
notice is for informational purposes only. For shareholders with a September 30,
1999 taxable year end, please consult your tax advisor as to the pertinence of
this notice.
For the fiscal year ended September 30, 1999 the funds of the SEI Institutional
Managed Trust are designating long term capital gains and qualifying dividend
income with regard to distributions paid during the year as follows:
<TABLE>
<CAPTION>
(A) (B)
Long Term Ordinary
Capital Gains Income Total (C)
Distributions Distributions Distributions Qualifying
Fund (Tax Basis) (Tax Basis) (Tax Basis) Dividends (1)
- ---- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Large Cap Value 61% 39% 100% 48%
Large Cap Growth 98% 2% 100% 88%
Tax-Managed Large Cap 13% 87% 100% 92%
Small Cap Value 68% 32% 100% 63%
Small Cap Growth 27% 73% 100% 1%
Mid-Cap 94% 6% 100% 88%
Capital Appreciation 59% 41% 100% 5%
Equity Income 89% 11% 100% 45%
Balanced 57% 43% 100% 6%
Core Fixed Income 4% 96% 100% 0%
High Yield Bond 2% 98% 100% 0%
</TABLE>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
* Items (A) and (B) are based on the percentage of each fund's total
distribution.
** Item (C) is based on the percentage of ordinary income distributions of each
fund.
88
<PAGE>
- -----------------
SEI INSTITUTIONAL
MANAGED TRUST
- -----------------
ANNUAL REPORT
- -----------------
September 30, 1999
Robert A. Nesher
Chairman
Trustees
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Officers
Edward D. Loughlin
President and Chief Executive Officer
Lydia Gavalis
Vice President, Assistant Secretary
Cynthia M. Parrish
Vice President, Assistant Secretary
Todd Cipperman
Vice President, Assistant Secretary
Kathy Heilig
Vice President, Assistant Secretary
Lynda Striegel
Vice President, Assistant Secretary
James Foggo
Vice President, Assistant Secretary
Kevin P. Robins
Vice President, Assistant Secretary
Mark Nagle
Controller and Chief Financial Officer
Richard W. Grant
Secretary
Investment Adviser
Equity & Balanced Funds
SEI Investments Management Corporation
Fixed Income Funds
SEI Investments Management Corporation
Manager and Shareholder Servicing Agent
SEI Investments Fund Management
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Accountants
PricewaterhouseCoopers LLP
This annual report and the financial statements contained herein are submitted
for the general information of the shareholders of the Trust and must be
preceded or accompanied by a current prospectus. Shares of the SEI Funds are not
deposits or obligations of, or guaranteed or endorsed by, any bank. The shares
are not federally insured by the Federal Deposit Insurance Corporation (FDIC),
the Federal Reserve Board, or any other government agency. Investment in the
shares involves risk, including the possible loss of principal.
For more information call
1[BULLET]800[BULLET]DIAL[BULLET]SEI / 1[BULLET]800[BULLET]342[BULLET]5734
<PAGE>
SEI Investments
Distribution
Co. [LOGO OMITTED]
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-087-07
