ANNUAL REPORT AS OF
SEPTEMBER 30, 2000
SEI INSTITUTIONAL
MANAGED TRUST
--------------------------------------------------------------------------------
Large Cap Value Fund
--------------------------------------------------------------------------------
Large Cap Growth Fund
--------------------------------------------------------------------------------
Tax-Managed Large Cap Fund
--------------------------------------------------------------------------------
Small Cap Value Fund
--------------------------------------------------------------------------------
Small Cap Growth Fund
--------------------------------------------------------------------------------
Mid-Cap Fund
--------------------------------------------------------------------------------
Capital Appreciation Fund
--------------------------------------------------------------------------------
Equity Income Fund
--------------------------------------------------------------------------------
Balanced Fund
--------------------------------------------------------------------------------
Core Fixed Income Fund
--------------------------------------------------------------------------------
High Yield Bond Fund
--------------------------------------------------------------------------------
[SEI Investments logo omitted]
<PAGE>
TABLE OF CONTENTS
--------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FUND PERFORMANCE........................................ 1
STATEMENTS OF NET ASSETS
/SCHEDULES OF INVESTMENTS......................... 19
STATEMENTS OF ASSETS AND LIABILITIES...................... 77
STATEMENTS OF OPERATIONS.................................. 78
STATEMENTS OF CHANGES IN NET ASSETS....................... 80
FINANCIAL HIGHLIGHTS...................................... 82
NOTES TO FINANCIAL STATEMENTS............................. 85
REPORT OF INDEPENDENT ACCOUNTANTS......................... 92
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
LARGE CAP VALUE FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--MELLON EQUITY ASSOCIATES, LLP
SANFORD C. BERNSTEIN & CO.
LSV ASSET MANAGEMENT L.P.
IRIDIAN 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 four sub-advisers, each of whom has
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a
unique expertise or substyle to the Fund. LSV Asset Management L.P. invests in
companies trading at deep discounts to their intrinsic value. Mellon Equity
Associates, LLP invests primarily in large cap value stocks that are
representative of the market. Sanford C. Bernstein & Co. 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. Iridian Asset Management, our most recent addition, is a
"bottom-up" manager investing in large-cap value stocks. As a "relative value"
manager, Iridian identifies potential catalysts of "corporate change" and buys
undervalued companies that they expect will benefit from the change, and are
therefore poised for growth. This addition is intended to achieve a more
style-neutralposition relative to the benchmark, and further controls
unnecessary "substyle" risk.
ANALYSIS
The Large Cap Value Fund posted a 4.47% return for the fiscal year ended
September 30th, 2000, as divergence between the "old economy" and the "new
economy" stocks continued. Interest rate and inflation concerns, as well as
surging oil prices further fueled the narrowness in the market place, where a
handful of technology related stocks drove much of the market returns.
The earlier part of the year was characterized by technology dominating
the marketplace. The Large Cap Value Fund was underweight in this segment of the
market, as none of our value managers could justify such lofty valuations.
Instead, they were positioning their portfolio in deep value industries such as
commodities, retail and banks as these industries were trading at attractive
valuations.
The Fund underperformed the Russell 1000 Value Index benchmark, which had
a return of 8.91% for the comparable time period. Strong stock selection in the
portfolio was offset by weaker performance from industry exposures. Positive
stock selection was centered within the banking and finance industries. An
overweight to retail and underweight to telephone stocks caused performance to
lag. Most of the underperformance came from the portfolio's positioning in
chemicals, paper products, railroads & shipping and energy industries.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
Some of these cyclical industry returns were down 20-30% for the year even
though they posted 20-25% earnings growth numbers. The portfolio benefited from
the wave of consolidation that took place within the banking and the commodities
industries. Some of the positive contributors to the portfolio return included
Boeing, JP Morgan, PNC Financial Services Group, Phillips Petroleum, United
Health Group, Constellation Energy Group, Exxon Mobil, Lehman Brothers Holdings,
Fort James, Sears Roebuck, and SBC Communications.
--------------------------------------------------------------------------------
LARGE CAP VALUE FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN 1
--------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
--------------------------------------------------------------------------------
4.47% 6.46% 15.52% 17.39%
--------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE LARGE CAP VALUE
FUND, VERSUS THE RUSSELL 1000 VALUE INDEX, THE S&P 500 COMPOSITE INDEX, AND THE
S&P 500/BARRA VALUE INDEX
[line graph omitted]
plot points as follows:
LARGE CAP RUSSELL 1000 S&P 500 S&P 500
VALUE VALUE COMPOSITE BARRA VALUE
10/31/94 10,000 10,000 10,000 10,000
9/95 12,422 12,593 12,685 12,498
9/96 14,699 14,854 15,263 14,829
9/97 2,184 21,140 21,434 20,643
9/98 20,888 21,901 23,375 20,604
9/99 24,466 25,988 29,874 25,028
9/00 25,559 28,315 33,841 28,469
1 FOR THE PERIOD ENDED 9/30/00. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE. THE PERFORMANCE INDICATED ABOVE BEGINS ON OCTOBER 3, 1994 AT
WHICH TIME MELLON EQUITY ASSOCIATES ACTED AS INVESTMENT ADVISER TO THE FUND.
PREVIOUS PERIODS DURING WHICH THE FUND WAS ADVISED BY ANOTHER INVESTMENT
ADVISER ARE NOT SHOWN.
LARGE CAP GROWTH FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--ALLIANCE CAPITAL MANAGEMENT, L.P.
TCW INVESTMENT MANAGEMENT COMPANY
PROVIDENT INVESTMENT COUNSEL, INC.
OBJECTIVE
The investment objective of the Large Cap Growth Fund is capital
appreciation.
STRATEGY
With respect to this Fund, SEI Investments Management 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
Investment Management Company invests bottom-up primarily in large-cap growth
stocks while assessing the operating prospects of each prospective holding.
Provident Investment Counsel, Inc. invests primarily in mid-cap and large-cap
stocks which are expected to demonstrate very high long term earnings growth.
Each of the aforementioned sub-styles assumes a different importance in
determining overall style risk, and must therefore be weighted accordingly.
2
<PAGE>
ANALYSIS
The Large Cap Growth Fund posted a return of 30.67% for the fiscal year
ended September 30th, 2000, significantly out performing its benchmark Russell
1000 Growth Index which had a return of 23.4% over the same time period.
The fiscal year ended September 30th, 2000, was characterized by highly
volatile markets in which the dispersion between growth & value stocks was
unprecedented. The dominant theme of 1999, "new economy vs. old economy" stocks
continued to influence investor behavior. The return of the Russell 1000 Growth
Index was concentrated in technology industries such as electronics, business
services and internet. The financial services sector also posted strong returns,
driven by investors' assumptions that the Federal Reserve has completed its
raising of interest rates.
The Fund outperformance relative to the benchmark was attributable to
strong stock selection and relative positioning of the Fund in various
industries. Our managers' overweight to business services, electronics,
specialty finance and insurance helped performance. The portfolio also benefited
from an overweight to a number of emerging market leaders within the technology
sector. Several of the positive contributors to the portfolio return included:
Siebel Systems, Veritas Software, Amgen, Maxim Integrated Products, Altera,
CIENA, Extreme Networks, PMC-Sierra, EMC-Mass, Morgan Stanley Dean Witter, and
Citigroup.
The underlying manager structure remained more or less constant during the
year. We increased the weight to our more aggressive manager to reflect the
changes that took place to the Russell 1000 Growth Index benchmark after
reconstitution on June 30th, 2000. This was done to remain style neutral to the
benchmark and to manage portfolio risk to be driven exclusively by stock
specific decisions rather than industry or style decisions.
--------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
--------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
--------------------------------------------------------------------------------
30.67% 24.94% 27.69% 28.99%
--------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE LARGE CAP
GROWTH FUND, VERSUS THE RUSSELL 1000 GROWTH INDEX, AND THE S&P 500/BARRA GROWTH
INDEX
[line graph omitted]
plot points as follows:
LARGE CAP FRANK RUSSELL S&P 500/
SEI Russel BARRA GROWTH
10/31/94 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
9/00 43,285 40,154 39,888
1 FOR THE PERIOD ENDED 9/30/00. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 12/20/94.
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
TAX-MANAGED LARGE
CAP FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--ALLIANCE CAPITAL MANAGEMENT, L.P.
PROVIDENT INVESTMENT COUNCEL, INC.
MELLON EQUITY ASSOCIATES, LLP
SANFORD C. BERNSTEIN & CO.
EQUINOX CAPITAL MANAGEMENT
OBJECTIVE
The investment objective of the Tax-Managed Large Cap Fund is to achieve
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, seeking to add 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. and Provident
Investment Counsel, Inc. invest in the large cap growth area of the market
employing tax-aware trading techniques. Sanford C. Bernstein & Co. 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, LLP invests in both value and growth large-cap stocks through a
quantitative process and aggressively harvests tax-losses in the portfolio.
Beginning in the fourth quarter, the Fund included Equinox Capital
Management as a new sub-adviser in order to improve the overall structure of the
Fund. As a relative value manager, Equinox searches for undervalued stocks that
are in the early stages of achieving their true value and are therefore poised
for growth. Equinox typically holds a concentrated portfolio of approximately 30
names, and tends to hold positions over longer periods of time, resulting in a
lower turnover than the average manager; these characteristics lend themselves
to a naturally tax-efficient portfolio. This addition is intended to achieve a
more style-neutral position relative to the Russell 1000 Index, and further
controls unnecessary "substyle" risk in a tax-sensitive manner.
ANALYSIS
The Tax-Managed Large Cap Fund posted an 8.66% return for the fiscal year
ended September 30, 2000. There was one significant change to the Fund during
the fiscal year, as Equinox Capital Management was added to the Fund at the end
of September in order to enhance the overall structure.
During this period, domestic equity markets benefited from continued
domestic economic prosperity. However, throughout the year the markets began
cooling off as the Federal Open Market Committee ("FOMC") raised rates to head
off inflation and as earnings announcements began to disappoint investors. In
general, growth stocks outperformed value stocks. This was driven in large part
by the strong performance of the technology sector in the fourth quarter of
1999, specifically the internet industry. On the value side, the insurance and
specialty finance stocks helped the financial sector produce positive returns as
investors developed the
4
<PAGE>
--------------------------------------------------------------------------------
belief that the Fed has completed its round of monetary tightening. Another
area of the market which performed well was the energy sector, primarily driven
by decreased oil production by the OPEC nations which caused energy prices to
increase.
The Fund experienced a difficult environment during the first half of the
period, as technology companies found favor among investors nearly to the
exclusion of all else. During this period the Fund was underexposed to most
technology industries, including business machines, business services,
electronics, internet, and optical & photo, while holding overweighted positions
in "old economy" stocks in industries such as energy and utilities as well as
railroad and shipping. Such positioning in companies with tangible products,
earnings and sales growth was not beneficial in a period when investors were
enamored with "dot-com fever." In addition, security selection in the energy and
utilities industry was especially difficult, as 13 of 15 stocks experienced
negative absolute returns, 8 of which were in the double-digit range. Specific
stocks in this group which hindered performance included PG&E, Consolidated
Edison and Cinergy.
As the market regained some sense of rationality in the second half of the
period, and investors once again sought real earnings, the Fund's positioning
added value in these areas. During this period, security selection was positive
across the portfolio in general, and especially so in the electronics and
internet groups, as well as energy and utility firms. Specific stocks which
helped performance in the second half included electronics firms CIENA,
Solectron and Transwitch, internet company Extreme Networks, and energy firms
AES, Pinnacle West Capital, Dynegy, Cinergy and XCEL Energy. The extreme
volatility of the market during the year is best illustrated by an example --
While Cinergy was down 21% in the first half of the period, it was up 59% in the
second half of the period, for a net 25% increase over the full year. The fund
was slightly weighted towards mid-caps, specifically those companies with a
market capitalization between $2 billion and $20 billion, and slightly
underweighted to the largest cap firms, during the second half of the period;
this positioning also added incremental return as mid-caps were the best
performing area during the period.
During the third quarter of 2000, SEI and the sub-advisers worked closely
to actively take advantage of year-end tax management techniques, including
increasing the basis of securities held at a gain through tax aware trading, and
active loss harvesting, to effectively eliminate the net realized capital gains
in the Fund for the fiscal year ended September 30, 2000. These actions are
intended to increase the after-tax returns by limiting what would potentially be
taxable capital gains distributed to shareholders. The current portfolio is well
positioned going into the fourth quarter of 2000, and continues to target a
style neutral position to the Russell 1000 Index.
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
--------------------------------------------------------------------------------
One Year Annualized
Return Inception to Date
--------------------------------------------------------------------------------
8.66% 13.51%
--------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE TAX-MANAGED
LARGE CAP FUND, VERSUS THE RUSSELL 1000 INDEX
[line graph omitted]
plot points as follows:
TAX-MANAGED FRANK RUSSELL
LARGE CAP 1000
3/31/98 10,000 10,000
9/98 9,151 9,193
9/99 12,134 11,673
9/00 13,185 13,751
1 FOR THE PERIOD ENDED 9/30/00. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 3/5/98.
SMALL CAP VALUE FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--ARTISAN PARTNERS LIMITED PARTNERSHIP
BOSTON PARTNERS ASSET MANAGEMENT, L.P.
LSV ASSET MANAGEMENT, L.P.
MELLON EQUITY ASSOCIATES, LLP
SECURITY CAPITAL GLOBAL CAPITAL
MANAGEMENT GROUP, INC.
CHARTWELL INVESTMENT PARTNERS
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 six investment managers. Assets of the Fund are
strategically allocated among its six 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. (BPAM)
combines quantitative and fundamental approaches to identify a company's
fundamental worth. LSV Asset Management, L.P. (LSV) invests in companies trading
at deep discounts to their intrinsic value that have exhibited some catalyst to
turn around performance. Mellon Equity Associates, LLP (Mellon) 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 Global Capital Management Group, Inc. (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. Chartwell Investment Partners (Chartwell) is a value
manager that seeks to identify companies that have high growth potential and are
at low valuations relative to their historical levels. Each of the
aforementioned sub-styles assumes a different importance in determining overall
style risk and must therefore be weighted accordingly.
6
<PAGE>
--------------------------------------------------------------------------------
ANALYSIS
The Small Cap Value Fund posted a 15.74% return for the fiscal
year ended September 30, 2000. There was one significant change to the Fund
during the fiscal year, as Chartwell was added to the Fund in September to
enhance the overall structure.
The domestic equity market performance for the year ending September 30,
2000 was characterized by a strong market rotation. Initially, the markets
favored small cap growth, which significantly outperformed small cap value from
October, 1999 through the beginning of March, 2000 as investors invested heavily
in the technology sector, specifically internet-related names. Following the
market correction in April, 2000 value outperformed growth as investors
emphasized valuation and earnings. Overall, growth out-performed value for the
year as a result of very robust performance in technology related names early
on. However, the rotation to the more value-oriented sectors benefited the Small
Cap Value Fund and led to the strong performance for the year. Returns across
industries were widely dispersed for the year, as technology and energy stocks
performed well while capital goods and transportation securities were extremely
volatile.
The Fund's strong relative performance was driven by good stock selection
to a larger extent than by industry weighting decisions. In particular, stock
selection in the specialty finance, construction and banking industries was
especially strong. Positive relative performance was slightly hindered by a
slightly negative impact of industry exposures, primarily due to an underweight
to the electronics industry and an overweight to the steel industry.
The addition of Security Capital as a Real Estate Investment Trust (REIT)
specialist has significantly enhanced the structure and performance of the Small
Cap Value Fund. REITs are an area of the market in which the other managers in
the Fund do not place a significant focus. In addition, the fact that REITs
represent a significant and distinct portion of the market, leads to our
conviction that a dedicated REIT manager is necessary. The decision to bring in
Security Capital as the REIT manager has added value, as Security Capital has
been a top-performing manager within the REIT market since inception.
The Fund is 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 in
order to control unnecessary risks and put the focus on stock selection from the
specialist sub-advisers.
--------------------------------------------------------------------------------
SMALL CAP VALUE FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
--------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
--------------------------------------------------------------------------------
15.74% 1.44% 11.23% 13.51%
--------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SMALL CAP VALUE
FUND, VERSUS THE RUSSELL 2000 VALUE INDEX
[line graph omitted]
plot points as follows:
SMALL CAP RUSSELL 2000
VALUE VALUE
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
9/00 20,244 21,059
1 FOR THE PERIOD ENDED 9/30/00. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 12/20/94.
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
SMALL CAP GROWTH FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--MAZAMA CAPITAL MANAGEMENT, LLC
NICHOLAS-APPLEGATE CAPITAL MANAGEMENT
RS INVESTMENT MANAGEMENT, L.P.
SAWGRASS ASSET MANAGEMENT, LLC
WALL STREET ASSOCIATES
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. Mazama Capital Management, LLC
(Mazama) invests primarily in stocks entering extended periods of growth not yet
understood by the market. Nicholas-Applegate Capital Management (NACM) screens
stocks for high and accelerated earnings growth and then selects those with
attractive current prices relative to sustainable cash flow. RS Investment
Management, L.P. (RSIM) pursues an investment strategy that focuses on emerging
growth companies that exhibit very high revenue growth. Sawgrass Asset
Management, LLC (Sawgrass) seeks to invest in companies that exhibit reasonable
relative valuations, strong earnings momentum and rising analyst expectations.
Wall Street Associates (WSA) seeks out micro-cap and small cap stocks with
long-term earnings growth potential. Each of the aforementioned sub-styles
assumes a different importance in determining overall style risk and must
therefore be weighted accordingly.
ANALYSIS
The Small Cap Growth Fund, Class A Shares posted a 55.28% return for
the fiscal year ended September 30, 2000. There were some changes in the Fund
over the fiscal year as Mazama was added to the fund in December 1999 to provide
exposure to companies entering extended periods of growth. This transition
provided greater valuation sensitivity to the Fund while maintaining growth
characteristics in line with the Russell 2000 Growth Index.
Small cap growth stocks were the second best performing style behind only
mid-cap growth stocks in the U.S. equity marketplace for the fiscal year ended
September 30, 2000. Returns in this area of the marketplace were driven
predominately by stocks that were associated with drugs and medicine and
electronics stocks, which is in contrast from the prior year when Internet
related stocks were the leading contributors. Domestic oil also outperformed the
market, bolstered by energy supply concerns. Internet and telecom lagged the
market as investors placed a higher premium on valuation and earnings.
The Fund's significant outperformance of the benchmark was driven
primarily by strong stock selection across a broad range of indus-
8
<PAGE>
--------------------------------------------------------------------------------
tries. All current sub-advisers to the fund outperformed the benchmark for
the year. There were times during the year; however, when each of the styles
outperformed the others, demonstrating the value the Fund's diversified
multi-manager approach. RSIM and WSA were the top performers early in the fiscal
year when aggressive growth investing was the primary positive driver of the
benchmark. The balance of the year favored growth investors with an earnings and
valuation emphasis such as Sawgrass and Mazama. NACM and WSA also outperformed
the benchmark in the latter half of the year through strong stock selection.
Their emphasis on sustainable cash flow and long-term growth, respectively, led
them to stocks that were more highly desired by the market. RSIM lagged the
benchmark in the second half of the year due primarily to their strong emphasis
on high tech emerging growth industries including telecom and Internet. Net
industry exposures contributed positively, driven by overweights to domestic oil
and apparel. An underweight to drugs & medicine was a negative contributor to
performance.
The Fund is 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
in order to control unnecessary risks and put the focus on stock selection from
the specialist sub-advisers.
--------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
--------------------------------------------------------------------------------
Annualized Annualized
One Year 3 Year 5 Year Annualized
Return Return Return Inception to Date
--------------------------------------------------------------------------------
Class A 55.28% 20.92% 21.28% 22.29%
--------------------------------------------------------------------------------
Synthetic
Class D 54.87% 20.60% 20.88% 22.26%*
--------------------------------------------------------------------------------
Synthetic
Class D,
w/load 47.10% 18.55% 19.65% 21.29%*
--------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SMALL CAP
GROWTH FUND, CLASS A OR SYNTHETIC CLASS D, VERSUS THE FRANK RUSSELL 2000 GROWTH
INDEX, THE S&P 500 COMPOSITE INDEX, AND THE WILSHIRE TARGET SMALL GROWTH INDEX
[line graph omitted]
plot points as follows:
WILSHIRE
SMALL CAP SMALL CAP FRANK RUSSELL TARGET
GROWTH, GROWTH, 2000 S&P 500 SMALL
CLASS A CLASS D GROWTH COMPOSITE GROWTH
4/30/92 10,000 9,500 10,000 10,000 10,000
9/92 10,659 10,126 9,522 10,212 9,837
9/93 14,690 13,955 12,301 11,534 13,382
9/94 14,723 13,938 12,409 11,959 13,719
9/95 20,856 19,714 15,905 15,511 18,619
9/96 26,395 24,842 17,909 18,663 20,835
9/97 30,943 29,016 22,092 26,208 27,092
9/98 22,734 21,257 16,607 28,583 19,904
9/99 35,237 32,859 22,025 36,529 23,226
9/00 54,716 50,888 28,558 41,380 29,346
1 FOR THE PERIOD ENDED 9/30/00. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE. CLASS A AND CLASS D SHARES OF THE FUND WERE OFFERED BEGINNING
4/20/92 AND 04/29/94, 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 Mid-Cap Fund's fully invested, industry neutral approach to managing
domestic equities emphasizes individual stock selection rather than industry or
style bets. This philoso-
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
phy results in a Fund which will tend to have lower than average
price-to-earnings and price-to-book ratios.
ANALYSIS
The Mid-Cap Fund returned 27.14% for the fiscal year ended September 30,
2000. Mid-cap stocks as a group have outperformed the rest of the market for the
previous year. Technology stocks led this segment of the market, especially
internet related companies and biotech stocks, until March of this year. At this
time investors fled from the high-flying growth stocks and turned to companies
with more reasonable valuations such as energy, financials and utilities. This
change in market sentiment was good news for the Mid-Cap Fund, which does not
invest in companies with extreme valuations.
While the Fund had an impressive year, its performance lagged that of its
benchmark. The Fund's under-performance is attributable to difficult stock
selection in the electronics and food & agriculture, air transportation and
media industries. It should be noted that part of the under-performance is a
result of avoiding those stocks with excessive valuations (P/E and P/B ratios).
The Mid-Cap Fund has benefited from strong performing insurance and energy
holdings, including Reliant Energy and PPL, especially in the last six months.
Going forward the portfolio will remain broadly diversified across all sectors
and will provide exposure to mid cap stocks in the domestic equity stock market.
--------------------------------------------------------------------------------
MID-CAP FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
--------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
--------------------------------------------------------------------------------
27.14% 7.82% 15.79% 14.32%
--------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE MID-CAP FUND,
VERSUS THE RUSSELL MID-CAP INDEX, THE S&P 500 COMPOSITE INDEX, AND THE WILSHIRE
TARGET MID-CAP GROWTH INDEX
[line graph omitted]
plot points as follows:
WILSHIRE
TARGET
RUSSELL S&P 500 MID-CAP
MID-CAP MID-CAP COMPOSITE GROWTH
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
9/00 26,987 33,056 37,751 28,588
1 FOR THE PERIOD ENDED 9/30/00. 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--PROVIDENT INVESTMENT COUNSEL, INC.
OBJECTIVE
The Capital Appreciation Fund seeks to provide capital appreciation.
STRATEGY
The investment management process followed by the sub-adviser seeks to
identify stocks, which it believes will deliver superior sustainable earnings
growth. The sub-adviser concentrates its idea generation in companies which are
exhibiting strong earnings and revenue growth. The sub-adviser then selects
10
<PAGE>
--------------------------------------------------------------------------------
securities, which have unique catalysts for long-term growth, such as new
products, demographic trends, proprietary products, increasing market share or a
changing cost structure. The sub-adviser believes these catalysts for growth
will result in superior revenue growth, earnings growth, and profitability for
the companies.
ANALYSIS
The Capital Appreciation Fund posted a return of 18.46% for the fiscal
year ended September 30, 2000. The Fund and the broader U.S. markets posted
another strong year of performance driven by continued economic growth, low
inflation and investor buoyancy.
Both large and small cap growth stocks led the market higher last year as
investors focused on "new economy" stocks and shunned companies in traditional
value-oriented cyclical industries. Energy-related stocks also enjoyed a strong
year as oil and natural gas prices rose on reduced OPEC production worldwide.
The internet, finance and optical industries outpaced all other industries
as investors continue to perceive strong growth opportunities in those
industries. The telephone industry lagged for the year as increased competition
and maturing markets slowed the growth of those companies. Also, falling behind
for the year were stocks in the business machines industry; such as Dell
Computer and IBM, as the economy slowed and revenue growth waned.
The Fund benefited strongly from specific stock selection in business
services, electronics and internet names. Stock selection in miscellaneous
finance names slightly detracted from results. The Fund's industry weightings
were a negative contributor for the year; specifically detracting, was an
underweight to miscellaneous finance and energy-related securities. An
underweight to telephone names enhanced returns somewhat.
The Fund's largest weightings include business machines, internet and
drugs & medicine. The Fund is diversified across industries and currently holds
89 securities.
--------------------------------------------------------------------------------
CAPITAL APPRECIATION FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN 1
--------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
--------------------------------------------------------------------------------
18.46% 16.03% 20.65% 17.57% 16.25%
--------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE CAPITAL
APPRECIATION FUND, VERSUS THE S&P 500 COMPOSITE INDEX, AND THE S&P 500/BARRA
GROWTH INDEX
[line graph omitted]
plot points as follows:
CAPITAL S&P 500 S&P 500/
APPRECIATION COMPOSITE BARRA GROWTH
9/30/90 10,000 10,000 10,000
9/91 13,169 13,110 13,542
9/92 14,618 14,564 15,063
9/93 16,592 16,448 15,599
9/94 16,574 17,055 16,675
9/95 19,728 22,121 21,958
9/96 24,096 26,616 26,802
9/97 32,294 37,377 37,920
9/98 34,580 40,763 44,809
9/99 42,578 52,095 59,771
9/00 50,438 59,013 66,968
1 FOR THE PERIOD ENDED 9/30/00. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 3/1/88.
11
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
EQUITY INCOME FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--HIGHMARK CAPITAL MANAGEMENT, INC., (PREVIOUSLY
KNOWN AS PACIFIC ALLIANCE CAPITAL MANAGEMENT)
OBJECTIVE
The Fund seeks to provide current income and, as a secondary objective,
moderate capital appreciation.
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 Value 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 historical yield ranges.
When the price of a stock rises sufficiently to cause its yield to drop to the
lower end of this historical 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 6.60% return for the fiscal year ended
September 30, 2000 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 were predominately found in the
internet, electronics and drugs & medicine industries.
The Fund seeks to purchase high quality, financially strong companies that
offer high dividends. Dividend-paying companies are generally larger,
well-established firms that have demonstrated steady growth in earnings. The
expectation of a quarterly dividend coupled with the underlying stability of
earnings can cushion the effect of price volatility. At the end of the fiscal
year the portfolio's average dividend yield was 2.2% compared to 1.8% for its
benchmark.
The Fund's underperformance was driven by difficult stock selection in the
internet and electronics industries, as well as by its style of investing in
dividend-paying stocks. In the past six months, stocks with lower valuations
have begun to outperform. However, the strong performance of the growth stocks
in the first six months of the year more than offset the performance of these
new market leaders. Going forward, the Fund's diversification into mostly
defensive positions is expected to protect it in a declining market.
--------------------------------------------------------------------------------
EQUITY INCOME FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN 1
--------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
--------------------------------------------------------------------------------
6.60% 7.67% 14.51% 15.67% 13.73%
--------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE EQUITY INCOME
FUND, VERSUS THE RUSSELL 1000 VALUE INDEX, THE S&P 500 COMPOSITE INDEX, AND THE
S&P 500/BARRA VALUE INDEX
[line graph omitted]
plot points as follows:
EQUITY RUSSELL 1000 S&P 500 S&P 500/
INCOME VALUE COMPOSITE BARRA VALUE
9/30/90 10,000 10,000 10,000 10,000
9/91 13,207 12,893 13,110 12,697
9/92 14,924 14,492 14,564 14,063
9/93 17,512 18,202 16,448 17,229
9/94 17,699 18,080 17,055 17,324
9/95 21,770 23,086 22,121 22,122
9/96 25,725 27,230 26,616 26,248
9/97 34,333 38,754 37,377 36,540
9/98 34,852 40,149 40,763 36,470
9/99 40,201 47,660 52,095 44,301
9/00 42,855 51,907 59,013 50,392
1 FOR THE PERIOD ENDED 9/30/00. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 6/2/88.
12
<PAGE>
--------------------------------------------------------------------------------
BALANCED FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISER--PROVIDENT INVESTMENT COUNSEL, INC.
OBJECTIVE
The Balanced Fund seeks to achieve total return while preserving capital.
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's equity exposure is comprised of growth stocks, which
the sub-adviser believes will have superior sustainable earnings growth. 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 a return of 9.18% for the fiscal year ended
September 30, 2000. A healthy economy with low inflation propelled domestic
equity markets higher than fixed income markets again last year. Fixed income
portfolios benefited last year from treasury supply concerns and more volatile
equity markets.
Both large and small cap growth stocks led the market higher last year as
investors focused on "new economy" stocks and shunned companies in traditional
value-oriented cyclical industries. Energy-related stocks also enjoyed a strong
year as oil and natural gas prices rose on reduced OPEC production worldwide.
The internet, finance and optical industries outpaced all other industries
as investors continue to perceive strong growth opportunities in those
industries. The telephone industry lagged for the year as increased competition
and maturing markets slowed the growth of those companies. Also, falling behind
for the year were stocks in the business machines industry; such as Dell
Computer and IBM, as the economy slowed and revenue growth waned.
The Fund benefited strongly from specific stock selection in business
services, electronics and internet names. Stock selection in miscellaneous
finance names slightly detracted from results. The Fund's industry weightings
were a negative contributor for the year; specifically detracting, was an
underweight to miscellaneous finance and an overweight to electronics.
The Fund was able to mitigate higher volatility in the capital markets
last year by maintaining a diversified portfolio of equity names and higher
quality fixed income issues.
--------------------------------------------------------------------------------
BALANCED FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
--------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
--------------------------------------------------------------------------------
9.18% 9.96% 13.35% 11.93% 11.48%
--------------------------------------------------------------------------------
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./CREDIT INDEX, AND THE S&P
500/BARRA GROWTH INDEX
[line graph omitted]
plot points as follows:
S&P 500 LEHMAN S&P 500/
BALANCED COMPOSITE GOV'T/CREDIT BARRA GROWTH
9/30/90 10,000 10,000 10,000 10,000
9/91 11,596 13,110 11,587 13,542
9/92 12,942 14,564 13,120 15,063
9/93 14,818 16,448 14,624 15,599
9/94 14,336 17,055 14,018 16,675
9/95 16,494 22,121 16,030 21,958
9/96 18,969 26,616 16,753 26,802
9/97 23,215 37,377 18,359 37,920
9/98 25,418 40,763 20,717 44,809
9/99 28,270 52,095 20,381 59,771
9/00 30,865 59,013 21,751 66,968
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 8/7/90.
13
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
CORE FIXED INCOME FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--WESTERN ASSET MANAGEMENT COMPANY
ROBERT W. BAIRD & CO., INC.
BLACKROCK FINANCIAL MANAGEMENT, INC.
OBJECTIVE
The Core Fixed Income Fund seeks to provide current income constent with
the preservation of capital.
STRATEGY
The Core Fixed Income Fund's investment strategy focuses 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 U.S. Aggregate Bond Index. The Fund's 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
For the period October 1, 1999 through September 30, 2000 the Core Fixed
Income Fund returned 6.97%. Performance was positively impacted by exposure to
the long end of the Treasury curve, an overweighting to GNMA mortgage-backed
securities, an allocation to Treasury Inflation Protected Securities (TIPS) and
portfolio duration longer than the Index. The Fund's overweight to corporate
bonds, especially lower rated securities, was the biggest detractor from
performance.
Inflation expectations, Federal Reserve Bank and U.S. Treasury Department
activity were the key drivers of return in the fixed income markets for the year
ending September 30th. The fiscal year began on a negative note on concern of
growing inflation, an overheating economy and the Fed's resolve to combat them.
During the first half of the fiscal year, Fed policy makers acted to slow the
accelerating economy and quell inflation by raising interest rates four times to
a target of 6.50%. The Treasury department also roiled the bond markets by
responding to record government surpluses with the announcement of a buyback
program for longer-dated Treasuries. The move dramatically increased prices of
longer Treasuries amid investor anticipation of a dwindling supply. These events
combined to invert the Treasury yield curve, enhancing Fund returns through an
overweighting to longer Treasuries. By the end of the period a slowing economy,
benign inflation despite rising oil prices, stable monetary policy and a more
positive outlook for future Treasury supply combined to significantly steepen
the
14
<PAGE>
--------------------------------------------------------------------------------
curve, removing the inversion from 5 to 30 years. Long-term yields, however,
remained well below October 1999 levels and the Fund continued to benefit from
exposure to this area of the curve. In addition, TIPS benefited from the earlier
heightened inflation expectations and returned over 9.00% for the period.
Spread product experienced a similar roller coaster ride as levels widened
to historical highs by mid-May, only to trade off those levels as a rosier
economic picture took shape. Agency debt experienced additional turmoil amid a
Congressional inquiry into the implied government guarantee for the housing
Government Sponsored Entities ("GSEs") (FNMA and FHLMC). Spreads were pushed to
all-time wide levels as investor concern grew regarding the future of the GSE's
Aaa ratings. Market expectations calmed, however, as the year progressed and the
likelihood of any Congressional action became remote. The Fund's underweight to
this sector was a slight positive as Agencies rebounded on the more positive
outlook, yet still underperformed the Index by 26 basis points. Mortgages were
among the best performing sectors within the Index, as a decline in implied
volatility throughout the fiscal year pushed mortgage prices higher. The Fund
benefited from an overweighting to GNMA mortgages versus FNMA/FHLMC, as the
uncertainty regarding the latter's credit quality slightly muted overall gains.
Corporate bonds were the worst hit among spread product and failed to gain any
significant momentum throughout the period as an increasingly volatile equity
market and overwhelming supply concerns kept pressure on credit spreads. The
Fund's overweighting to corporate bonds, particularly lower rated, Baa
securities, detracted from performance as corporates underperformed the Index by
115 basis points.
The Fund will continue to emphasize the long end of the Treasury curve and
its overweighting to the GNMA mortgage sector. The Fund has also been increasing
its allocation to Agency debentures and higher quality corporate issues. The
Funds duration will remain slightly longer than the Index.
--------------------------------------------------------------------------------
CORE FIXED INCOME FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
--------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Annualized
Return Return Return Return Inception to Date
--------------------------------------------------------------------------------
6.97% 5.68% 6.26% 7.42% 7.49%
--------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE CORE FIXED
INCOME FUND, VERSUS THE LEHMAN AGGREGATE BOND INDEX
[line graph omitted]
plot points as follows:
CORE LEHMAN
FIXED AGGREGATE
INCOME BOND
9/30/90 10,000 10,000
9/91 11,331 11,599
9/92 12,677 13,056
9/93 13,766 14,359
9/94 13,030 13,896
9/95 15,097 15,852
9/96 15,778 16,625
9/97 17,325 18,245
9/98 19,303 20,343
9/99 19,118 20,267
9/00 20,450 21,684
1 FOR THE PERIOD ENDED 9/30/00. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 5/1/87.
15
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
HIGH YIELD BOND FUND
ADVISER--SEI INVESTMENTS MANAGEMENT CORPORATION
SUB-ADVISERS--CREDIT SUISSE ASSET MANAGEMENT, LLC
NOMURA CORPORATE RESEARCH AND ASSET MANAGEMENT
OBJECTIVE
The High Yield Bond Fund seeks to maximize total return.
STRATEGY
Fund strategy is to identify high yield market sectors and securities that
offer investment opportunities through the analysis of macro-economic, interest
rate, industry, and technical factors. Those companies that are best suited to
benefit from the identified trends are then selected for investment. Risk is
controlled through a high level of diversification, and by performing detailed
and ongoing credit analysis on the companies considered and purchased.
ANALYSIS
The High Yield Bond Fund posted a -0.09% net return for the fiscal year
ended September 30, 2000.
Nomura Corporate Research and Asset Management ("Nomura") was added as an
additional sub-adviser to the Fund in September 1999. Nomura emphasizes a
research-intensive, bottom-up approach to identify fundamentally strong and
quality companies. The addition of Nomura compliments Credit Suisse Asset
Management's ("CSAM") top-down style, thus enhancing the overall risk/return
profile of the Fund. The Fund maintains a 70% allocation to Credit Suisse Asset
Management and a 30% allocation to Nomura Corporate Research and Asset
Management.
The high yield market continued to come under pressure for the period as
spattered concern over the direction of U.S. interest rates, increased
volatility in the U.S. equity markets, escalating default rates, ongoing
reluctance from broker-dealers to make markets, and an onslaught of
disappointing earnings announcements and downward revised earnings estimates
pushed market returns down. Investors' risk appetite for high yield was
evidenced by large and ongoing mutual fund cash outflows that put additional
selling pressure on the market. Investors also upheld their low tolerance for
any bad news associated with high yield companies and punished those companies
that were associated with unexpected and unfavorable news. The entertainment,
metals, and fixed communications sectors were some of the hardest hit sectors.
Within the entertainment sector, and in particular the movie theatre sector,
defaults surfaced due to weakening company margins and poor financial results.
Increased capital expenditures by movie theatre companies to remain competitive,
overlaid by lackluster movie ticket sales, contributed to tighter margins and
softer earnings. The metals sector lost ground as a strong U.S. dollar spurred
an increase in imports, thus stiffening competition for U.S. companies. Until
recently, the fixed communications sector had been one of the more lucrative
high yield sectors that fueled market activity. However, the inability of many
communication companies to raise capital via the equity market left them with
funding shortfalls to complete the build out of their systems. Announcements
from many communications companies that they would not meet projections weighed
down the sector's return, and in addition, later period volatility in the
European
16
<PAGE>
--------------------------------------------------------------------------------
high yield market further served to negatively impact the communications
sector. Energy was the top-performing sector as many high yield companies
benefited from high oil and natural gas prices. At the close of the fiscal year,
high yield spreads stood at 830 basis points, 223 basis points higher than the
close of the comparable 1999 period.
Nomura was a strong driver of return for the year and helped to mitigate
CSAM's underperformance. Both managers' overweight to the gaming sector, coupled
by Nomura's security selection in the services sector, positively benefited
return. Security selection in the retail sector by CSAM also positively
contributed to overall Fund performance. CSAM's security selection in the fixed
communications sector took away from return, however, Nomura's positive security
selection in this sector largely offset CSAM's negative security selection. In
addition, CSAM's security selection in the general industrial sector and
Nomura's security selection in the food and beverage sector dampened performance
as well.
The fixed communications sector, and in particular the competitive local
exchange carrier (CLEC) and data/Internet sub sectors, was one of the worst
performing sectors for the annual period. Volatility in the equity markets was
one of the key drivers to underperformance in this sector as many high yield
telecomm companies were negatively impacted by lower equity valuations and the
inability to access capital via the equity market. In addition, negative
earnings announcements by certain companies also put downward pressure on the
sector. CSAM's holdings in Covad Communications Group, Psinet, ICG Holdings,
Teligent, and Completel Holdings were some of the largest detractors from
return. These issues lost in price as a result of shortfalls in earnings. The
sudden resignation of ICG Holdings' chairman and two directors also hurt ICG's
bond prices. Volatility in the Euro high yield market did not help the
performance of certain securities such as Completel, Hermes, and Viatel. For the
most part, Nomura's non-investment in those issues that experienced problems
during the year helped to cushion return.
General industrial credit Grove Worldwide pulled down return after the
company released poor earnings attributed to the results of a specific business
unit. The company had problems with its inventory control system and was able to
successfully correct the problems, however, a reversal in earnings after some
good momentum hurt bond prices. AP Holdings, a parking facility operator in the
general industrial sector, continued to post weak financial results. Also, a key
management person at AP is part of Ameriserve investment group. Ameriserve filed
for Chapter 11 status under the U.S. Bankruptcy Code during the period and the
management association between Ameriserve and AP Holdings was not viewed as
favorable by investors. CSAM's holding in both of these credits did not benefit
return.
Nomura's investment in Aurora Foods did little to boost Fund return.
Aurora, a food and beverage sector issue, weighed down return after the company
announced that earnings would have to be re-stated as a result of accounting
practice irregularities. Aurora had always been viewed as one of the more stable
high yield credits in the universe, and this news shocked investors.
Consequently, Aurora's bond prices dropped significantly on the news. Nomura
eventually sold Aurora during the year, but was not able to escape volatility
associated with the company's unfavorable news.
17
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
The gaming sector continued to do well as gaming companies reported strong
gaming revenues and select merger and acquisition activity took place within the
sector. Gaming is also considered a more defensive sector and tends to do well
in periods of heightened market volatility. Both managers' overweight positively
added to overall performance. The retail sector was another sector in the high
yield market that did not fare well for the period. Historically, the retail
sector has been a sector that has been plagued with financial problems. CSAM's
non-investment in those issues that experienced problems during the period
coupled by its underweight and diverse holdings in the sector benefited
performance. Within the services sector, Nomura's avoidance of those securities
that encountered financial difficulty during the year benefited the Fund. In
particular, their investment in Avis Rent a Car was a plus after Avis spun off
80% of its European business and used the proceeds to pay down debt.
Given the near-term outlook that market conditions will remain
less-than-favorable, the Fund will look to increase its exposure to more
defensive, or less volatile, sectors.
--------------------------------------------------------------------------------
HIGH YIELD BOND FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
--------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
--------------------------------------------------------------------------------
-0.09% 1.88% 7.08% 8.35%
--------------------------------------------------------------------------------
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
[Line graph omitted]
plot points as follows:
HIGH YIELD CS FIRST
BOND BOSTON
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
9/00 15,842 15,260
1 FOR THE PERIOD ENDED 9/30/00. PAST PERFORMANCE OF THE FUND IS NOT PREDICTIVE
OF FUTURE PERFORMANCE. SHARES OF THE FUND WERE OFFERED BEGINNING 1/11/95.
18
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
LARGE CAP VALUE FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 98.4%
AEROSPACE & DEFENSE -- 2.8%
BF Goodrich 319,700 $ 12,528
Boeing 969,000 61,047
General Dynamics 67,200 4,221
Litton Industries* 238,100 10,640
United Technologies 156,500 10,838
-------
99,274
-------
AIR TRANSPORTATION -- 0.8%
AMR* 392,300 12,823
Delta Air Lines 359,000 15,931
-------
28,754
-------
APPAREL/TEXTILES -- 0.2%
VF 287,800 7,105
-------
AUTOMOTIVE -- 2.2%
Dana 372,200 8,002
Delphi Automotive Systems 114,344 1,729
Ford Motor 1,120,832 28,371
General Motors 515,500 33,508
Navistar International* 225,000 6,736
Visteon 32,576 493
-------
78,839
-------
BANKS -- 9.2%
Astoria Financial 249,200 9,625
Bank of America 1,473,483 77,174
Bank of New York 291,800 16,359
Bank One 730,800 28,227
First Union 453,000 14,581
Firstar 384,000 8,592
FleetBoston Financial 909,000 35,451
Golden West Financial 393,600 21,107
Greenpoint Financial 405,400 12,010
Mellon Financial 185,900 8,621
PNC Financial Services Group 579,800 37,687
Union Planters 270,500 8,943
UnionBanCal 334,700 7,803
Washington Mutual 146,800 5,844
Wells Fargo 784,000 36,015
--------
328,039
--------
BEAUTY PRODUCTS -- 0.7%
Avon Products 436,600 17,846
Procter & Gamble 94,200 6,312
-------
24,158
-------
BIOTECHNOLOGY -- 0.2%
Biogen* 144,500 8,815
-------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.6%
AT&T - Liberty Media, Cl A* 1,483,400 26,701
Gannett 389,800 20,659
New York Times, Cl A 243,600 9,577
USA Networks* 307,000 6,735
Walt Disney 773,000 29,567
-------
93,239
-------
BUILDING & CONSTRUCTION -- 0.9%
American Standard* 144,000 6,399
Centex 309,500 9,943
Fluor 187,200 5,616
Owens Corning 160,500 421
Pulte 221,800 7,319
Texas Industries 109,300 3,484
-------
33,182
-------
CHEMICALS -- 3.0%
Air Products & Chemicals 227,500 8,190
Ashland 299,900 10,103
Dow Chemical 1,385,700 34,556
Eastman Chemical 494,200 18,254
Lubrizol 143,700 2,829
Lyondell Chemical 208,200 2,459
Millennium Chemicals 102,200 1,514
Praxair 185,800 6,944
Sigma-Aldrich 236,700 7,811
Union Carbide 329,300 12,431
-------
105,091
-------
COMMERCIAL SERVICES -- 0.1%
R.R. Donnelley & Sons 177,500 4,360
-------
COMMUNICATIONS EQUIPMENT -- 0.2%
Motorola 261,300 7,382
-------
COMPUTERS & SERVICES -- 3.6%
3Com* 38,900 746
Apple Computer* 105,000 2,703
Brocade Communications System* 33,800 7,977
Compaq Computer 254,900 7,031
DST Systems* 134,500 15,804
Electronic Data Systems 318,300 13,209
Hewlett-Packard 80,200 7,779
IBM 245,000 27,562
NCR* 683,000 25,826
Quantum - DLT & Storage* 384,900 5,798
Sandisk* 112,700 7,523
Sungard Data Systems* 53,200 2,278
Tech Data* 70,000 2,992
-------
127,228
-------
19
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
LARGE CAP VALUE FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
CONTAINERS & PACKAGING -- 0.6%
Ball 163,000 $ 5,165
Crown Cork & Seal 394,900 4,220
Owens-Illinois* 339,700 3,142
Smurfit-Stone Container* 543,700 6,524
Sonoco Products 200,000 3,612
---------
22,663
---------
DRUGS -- 2.9%
Abbott Laboratories 329,400 15,667
American Home Products 95,700 5,413
Bergen Brunswig, Cl A 214,500 2,507
Bristol-Myers Squibb 382,200 21,834
Merck 671,900 50,014
Schering-Plough 139,400 6,482
---------
101,917
---------
ELECTRICAL SERVICES -- 6.6%
American Electric Power 804,820 31,489
Cinergy 459,300 15,186
Constellation Energy Group 420,500 20,920
DTE Energy 209,300 8,006
Edison International 464,000 8,961
Energy East 443,800 10,041
FirstEnergy 714,500 19,247
FPL Group 108,400 7,127
General Motors,
Cl H (Hughes Electronics)* 222,800 8,284
GPU 160,000 5,190
PG&E 457,800 11,073
Pinnacle West Capital 248,800 12,658
Public Service Enterprise Group 805,700 36,005
Reliant Energy 309,500 14,392
Scana 126,600 3,909
TXU 352,700 13,976
Vishay Intertechnology* 127,400 3,918
Wisconsin Energy 217,300 4,332
---------
234,714
---------
ELECTRONICS -- 0.5%
Arrow Electronics* 187,700 6,394
Avnet 246,600 6,997
Thomas & Betts 200,800 3,501
---------
16,892
---------
ENVIRONMENTAL SERVICES -- 0.3%
Republic Services* 294,400 3,864
Waste Management 295,300 5,150
---------
9,014
----------
FINANCIAL SERVICES -- 10.8%
American Express 263,200 15,989
Associates First Capital, Cl A 345,000 13,110
AXA Financial 115,500 5,883
Bear Stearns 292,950 18,456
Citigroup 1,505,299 81,380
Countrywide Credit 352,300 13,299
Household International 928,800 52,593
JP Morgan 329,700 53,864
Lehman Brothers Holdings 167,400 24,733
MBNA 547,600 21,083
Merrill Lynch 245,500 16,203
Metris 336,750 13,302
Morgan Stanley Dean Witter 426,300 38,980
Providian Financial 114,000 14,478
---------
383,353
---------
FOOD, BEVERAGE & TOBACCO -- 4.0%
Adolph Coors, Cl B 155,800 9,845
Conagra Foods 872,800 17,511
Great Atlantic & Pacific Tea 211,400 2,339
IBP 498,400 9,127
Kroger* 565,800 12,766
Nabisco Group Holdings 182,100 5,190
Pepsico 480,100 22,085
Philip Morris 1,021,525 30,071
Quaker Oats 115,400 9,131
RJ Reynolds Tobacco Holdings 38,400 1,238
Ruddick 113,600 1,576
Supervalu 956,432 14,406
Sysco 145,300 6,729
Tyson Foods, Cl A 195,200 1,952
---------
143,966
---------
GAS/NATURAL GAS -- 0.4%
KeySpan 170,100 6,825
Sempra Energy 150,100 3,124
---------
9,949
---------
HOTELS & LODGING -- 0.4%
Starwood Hotels &
Resorts Worldwide 425,100 13,284
---------
HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 0.9%
Fortune Brands 342,100 9,066
Illinois Tool Works 66,300 3,705
Maytag 312,700 9,713
Newell Rubbermaid 17,700 404
Whirlpool 197,500 7,678
---------
30,566
---------
20
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
INSURANCE -- 7.7%
Aetna 164,800 $ 9,569
Allstate 216,100 7,509
AMBAC Financial Group 222,100 16,269
American General 197,200 15,381
American International Group 536,600 51,346
Chubb 266,700 21,103
Cigna 423,400 44,202
Hartford Financial Services 347,700 25,361
Lincoln National 225,800 10,867
Marsh & McLennan 142,200 18,877
MBIA 76,200 5,420
Old Republic International 351,450 8,457
PMI Group 293,400 19,878
Radian Group 109,400 7,384
St. Paul 278,478 13,732
--------
275,355
--------
MACHINERY -- 1.0%
Cummins Engine 213,400 6,389
Deere 158,800 5,280
Dover 214,000 10,045
Nacco Industries, Cl A 27,700 1,163
Rockwell International 267,200 8,083
Tecumseh Products, Cl A 144,900 6,068
--------
37,028
--------
MEDICAL PRODUCTS & SERVICES -- 3.2%
Bausch & Lomb 153,000 5,957
Becton Dickinson 202,400 5,351
Boston Scientific* 389,200 6,397
HCA - The Healthcare 302,900 11,245
Johnson & Johnson 394,200 37,030
Mallinckrodt 372,500 16,995
Pacificare Health Systems* 44,900 1,563
Tenet Healthcare* 177,400 6,453
UnitedHealth Group 246,100 24,302
--------
115,293
--------
METALS & METAL FABRICATE/HARDWARE -- 0.2%
Allegheny Technologies 243,600 4,415
Timken 201,200 2,754
--------
7,169
--------
METALS & MINING -- 0.2%
Alcan Aluminium 261,261 7,560
--------
MISCELLANEOUS BUSINESS SERVICES -- 0.3%
First Data 266,800 10,422
--------
MISCELLANEOUS MANUFACTURING -- 2.1%
Cooper Industries 579,043 20,411
FMC* 217,800 14,606
Minnesota Mining &
Manufacturing 255,700 23,301
Tyco International 305,000 15,822
--------
74,140
--------
PAPER & PAPER PRODUCTS -- 2.7%
Boise Cascade 166,600 4,425
Fort James 589,700 18,023
Georgia-Pacific Group 423,800 9,959
International Paper 702,535 20,154
Kimberly-Clark 520,400 29,045
Westvaco 557,500 14,878
--------
96,484
--------
PETROLEUM & FUEL PRODUCTS -- 10.6%
Amerada Hess 404,800 27,096
Baker Hughes 201,500 7,481
BJ Services* 246,800 15,086
BP Amoco ADR 100,300 5,315
Chevron 201,700 17,195
Conoco, Cl A 395,000 10,319
Exxon Mobil 1,076,834 95,973
Halliburton 131,600 6,440
Noble Drilling* 159,100 7,995
Occidental Petroleum 1,214,100 26,483
Phillips Petroleum 1,452,400 91,138
Texaco 160,000 8,400
Tosco 408,600 12,743
Total Fina Elf ADR 87,400 6,419
Ultramar Diamond Shamrock 345,600 8,770
USX-Marathon Group 559,600 15,879
Valero Energy 146,500 5,155
Williams 179,400 7,579
--------
375,466
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.5%
Eastman Kodak 422,300 17,262
--------
RAILROADS -- 2.3%
Burlington Northern Santa Fe 820,400 17,690
Canadian Pacific 167,600 4,358
CSX 734,600 16,023
Norfolk Southern 949,500 13,886
Union Pacific 773,525 30,071
--------
82,028
--------
21
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
LARGE CAP VALUE FUND--CONCLUDED
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
RETAIL -- 3.6%
Darden Restaurants 1,040,500 $ 21,655
Dillards, Cl A 179,700 1,909
Federated Department Stores* 510,400 13,334
Limited 221,100 4,878
Lowe's 123,900 5,560
May Department Stores 777,662 15,942
Sears Roebuck 1,591,100 51,584
Toys "R" US* 393,200 6,389
Zale* 148,000 4,801
----------
126,052
----------
RUBBER-TIRES -- 0.3%
Cooper Tire & Rubber 153,700 1,547
Goodyear Tire & Rubber 444,000 7,992
----------
9,539
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.5%
Fairchild Semiconductor
International, Cl A* 215,000 6,047
KLA-Tencor* 87,300 3,596
Teradyne* 142,800 4,998
----------
14,641
----------
SOFTWARE -- 0.3%
Oracle* 66,200 5,213
Symantec* 115,400 5,078
----------
10,291
----------
TELEPHONE & TELECOMMUNICATIONS -- 8.3%
AT&T 1,513,750 44,466
BellSouth 1,170,400 47,109
Copper Mountain Networks* 50,700 1,901
Cox Communications, Cl A* 157,600 6,028
Global Crossing* 249,300 7,728
Harris 221,100 6,288
Nextel Communications, Cl A* 186,500 8,719
Qwest Communications
International* 319,059 15,335
SBC Communications 1,457,582 72,879
Sprint (FON Group) 229,200 6,718
Telephone & Data Systems 125,500 13,893
Verizon Communications* 1,313,260 63,611
----------
294,675
----------
TRUCKING -- 0.4%
United Parcel Service 218,200 12,301
Yellow* 214,000 3,237
----------
15,538
----------
WHOLESALE -- 0.3%
Genuine Parts 348,200 6,638
Ingram Micro, Cl A* 325,000 4,468
----------
11,106
----------
Total Common Stocks
(Cost $3,315,270) 3,491,833
----------
PREFERRED STOCK -- 0.2%
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.2%
News Corporation ADR 180,900 8,480
----------
Total Preferred Stock
(Cost $7,179) 8,480
----------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bill (A) (B)
6.031%, 11/09/00 $13,000 12,919
----------
Total U.S. Treasury Obligation
(Cost $12,917) 12,919
----------
REPURCHASE AGREEMENT -- 1.1%
JP Morgan
6.590%, dated 09/29/00,
matures 10/02/00, repurchase
price $38,932,258 (collateralized
by FHLB and FNMA obligations,
total par value $38,955,000, 0.000%-
6.290%, 10/04/00-07/06/10,
total market value: $39,700,397) 38,912 38,912
----------
Total Repurchase Agreement
(Cost $38,912) 38,912
----------
MONEY MARKET -- 0.1%
Evergreen Select Money Market
Fund, Cl Y 5,015,311 5,015
----------
Total Money Market
(Cost $5,015) 5,015
----------
Total Investments -- 100.2%
(Cost $3,379,293) $3,557,159
==========
22
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELD SHOWN IS EFFECTIVE YIELD AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLB -- FEDERAL HOME LOAN BANK
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
LARGE CAP GROWTH FUND
COMMON STOCKS -- 98.7%
AEROSPACE & DEFENSE -- 0.4%
United Technologies 282,000 $ 19,528
----------
AIR TRANSPORTATION -- 0.6%
Southwest Airlines 1,175,500 28,506
----------
BANKS -- 0.7%
Bank of America 176,000 9,218
Chase Manhattan 530,000 24,479
----------
33,697
----------
BEAUTY PRODUCTS -- 0.8%
Colgate-Palmolive 578,000 27,282
Gillette 434,400 13,412
----------
40,694
----------
BIOTECHNOLOGY -- 2.7%
Amgen* 601,600 42,009
Biogen* 775,600 47,312
Genentech* 232,200 43,117
----------
132,438
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 4.3%
AT&T - Liberty Media, Cl A* 3,023,000 54,414
Time Warner 1,368,200 107,062
Viacom, Cl B* 875,200 51,199
----------
212,675
----------
COMMERCIAL SERVICES -- 1.0%
Paychex 984,800 51,702
----------
COMMUNICATIONS EQUIPMENT -- 3.8%
CIENA* 643,600 79,042
Nokia Oyj ADR 1,670,800 66,519
Nortel Networks 668,000 39,787
----------
185,348
----------
COMPUTERS & SERVICES -- 12.8%
Cisco Systems* 4,181,100 231,005
Dell Computer* 2,556,500 78,772
EMC-Mass* 1,200,900 119,039
Extreme Networks* 531,800 60,891
Genuity* 704,368 4,600
IBM 91,200 10,260
Network Appliance* 105,300 13,413
Sun Microsystems* 925,300 108,029
----------
626,009
----------
DRUGS -- 9.9%
Alza* 461,700 39,937
Elan ADR* 500,000 27,375
IDEC Pharmaceuticals* 138,300 24,252
Immunex* 387,500 16,856
Medimmune* 256,900 19,846
Pfizer 4,922,200 221,191
QLT* 180,000 12,757
Schering-Plough 1,413,300 65,718
SCI Systems* 328,000 13,448
Teva Pharmaceutical ADR 318,000 23,274
Watson Pharmaceutical* 332,600 21,577
----------
486,231
----------
ELECTRICAL SERVICES -- 0.9%
AES* 612,000 41,922
----------
ELECTRONICS -- 1.5%
Solectron* 1,557,000 71,817
----------
ENTERTAINMENT -- 0.2%
Metro-Goldwyn-Mayer* 469,700 11,273
----------
23
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
LARGE CAP GROWTH FUND--CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
FINANCIAL SERVICES -- 9.2%
American Express 354,100 $ 21,512
Capital One Financial 113,300 7,938
Charles Schwab 1,300,650 46,173
Citigroup 1,407,866 76,113
Goldman Sachs Group 296,100 33,737
MBNA 1,285,000 49,472
Morgan Stanley Dean Witter 1,025,700 93,787
Providian Financial 312,200 39,649
Stilwell Financial* 1,491,900 64,898
T. Rowe Price Associates 336,800 15,809
----------
449,088
----------
FOOD, BEVERAGE & TOBACCO -- 1.1%
Kroger* 579,000 13,064
Safeway* 826,800 38,601
----------
51,665
----------
INSURANCE -- 3.2%
American International Group 954,825 91,365
Progressive Ohio 815,000 66,728
----------
158,093
----------
MEDICAL PRODUCTS & SERVICES -- 2.8%
Allergan 334,000 28,202
Medtronic 901,400 46,704
Millennium Pharmaceuticals* 166,300 24,290
Pharmacia 620,500 37,346
----------
136,542
----------
MISCELLANEOUS MANUFACTURING -- 5.0%
General Electric 2,816,100 162,454
Tyco International 1,569,000 81,392
----------
243,846
----------
PETROLEUM & FUEL PRODUCTS -- 1.3%
BP Amoco ADR 109,500 5,803
Enron 240,700 21,091
Global Marine* 491,600 15,178
Noble Drilling* 393,000 19,748
----------
61,820
----------
RETAIL -- 5.3%
Dollar Tree Stores* 219,900 8,920
Home Depot 2,039,900 108,242
Kohl's* 1,362,400 78,593
Lowe's 350,200 15,715
Wal-Mart Stores 1,031,600 49,646
----------
261,116
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 11.9%
Altera* 1,536,000 73,344
Analog Devices* 543,400 44,864
Applied Materials* 700,400 41,542
Applied Micro Circuits* 164,600 34,083
Broadcom, Cl A* 113,700 27,714
Cree* 69,700 8,103
Flextronics International* 172,200 14,141
Intel 3,302,900 137,277
Maxim Integrated Products* 779,200 62,677
Micron Technology* 410,000 18,860
PMC - Sierra* 145,000 31,211
QLogic* 297,000 26,136
Transwitch* 519,600 33,124
Xilinx* 343,100 29,378
----------
582,454
----------
SOFTWARE -- 12.0%
Adobe Systems 326,100 50,627
Agile Software* 271,200 24,391
Alteon Websystems* 176,100 19,088
America Online* 304,000 16,340
Ariba* 313,800 44,957
Foundry Networks* 246,000 16,467
I2 Technologies* 85,000 15,900
Interwoven* 160,000 18,090
Intuit* 389,000 22,173
Mercury Interactive* 214,300 33,592
Microsoft* 1,179,000 71,108
Oracle* 540,000 42,525
Pixar* 484,700 15,571
Quest Software* 70,700 4,391
Rational Software* 372,000 25,807
Siebel Systems* 798,200 88,850
VeriSign* 195,700 39,641
Veritas Software* 170,000 24,140
Yahoo* 146,500 13,332
----------
586,990
----------
TELEPHONE & TELECOMMUNICATIONS -- 7.0%
Amdocs* 454,300 28,337
AT&T 587,722 17,264
AT&T Wireless Group* 1,649,800 34,440
Corning 275,500 81,824
JDS Uniphase* 704,300 66,688
Juniper Networks* 113,000 24,740
Metromedia Fiber Network, Cl A* 747,500 18,174
Nextel Communications, Cl A* 424,700 19,855
Nextel Partners, Cl A* 250,800 7,305
Sycamore Networks* 330,600 35,705
Vodafone Group ADR 276,700 10,240
----------
344,572
----------
24
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
WHOLESALE -- 0.3%
Costco Wholesale* 435,800 $ 15,226
----------
Total Common Stocks
(Cost $3,503,063) 4,833,252
----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A) (B)
6.150%, 11/09/00 $ 8,000 7,950
----------
Total U.S. Treasury Obligation
(Cost $7,949) 7,950
----------
COMMERCIAL PAPER -- 0.7%
Ford Motor Credit
6.510%, 10/03/00 35,024 35,011
----------
Total Commercial Paper
(Cost $35,011) 35,011
----------
MONEY MARKETS -- 0.1%
Evergreen Select Money Market
Fund, Cl I 1,079,808 1,080
Evergreen Select Money Market
Fund, Cl Y 6,176,517 6,177
----------
Total Money Markets
(Cost $7,257) 7,257
----------
REPURCHASE AGREEMENT -- 0.5%
JP Morgan
6.460%, dated 09/29/00,
matures 10/02/00, repurchase
price $24,447,086 (collateralized
by FNMA obligation and
U.S. Treasury Note, total par
value $25,413,000, 0.000%-5.250%,
05/31/01-04/01/03, total
market value: $25,031,596) 24,434 24,434
----------
Total Repurchase Agreement
(Cost $24,434) 24,434
----------
Total Investments -- 100.2%
(Cost $3,577,714) 4,907,904
----------
Other Assets and Liabilities, Net -- (0.2%) (9,854)
----------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no par value)
based on 135,158,668 outstanding shares
of beneficial interest $3,377,939
Accumulated net realized gain on investments 190,075
Net unrealized depreciation on futures (154)
Net unrealized appreciation on investments 1,330,190
----------
Total Net Asset -- 100.0% $4,898,050
==========
Net Asset Value, Offering and
Redemption Price Per Share -- Class A $36.24
==========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELD SHOWN IS
EFFECTIVE YIELD AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
TAX MANAGED
LARGE CAP FUND
COMMON STOCKS -- 97.5%
AEROSPACE & DEFENSE -- 1.9%
BF Goodrich 155,100 $ 6,078
Boeing 100,000 6,300
Litton Industries* 43,300 1,935
Northrop Grumman 56,000 5,089
United Technologies 249,714 17,293
--------
36,695
--------
AIR TRANSPORTATION -- 0.1%
Delta Air Lines 53,100 2,356
--------
APPAREL/TEXTILES -- 0.1%
VF 91,300 2,254
--------
AUTOMOTIVE -- 0.6%
Dana 195,000 4,192
Ford Motor* 150,000 3,797
General Motors 67,000 4,355
--------
12,344
--------
25
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
TAX MANAGED LARGE CAP FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
BANKS -- 4.2%
Bank of America 656,100 $ 34,363
Bank One 335,100 12,943
Chase Manhattan 146,000 6,743
First Union 283,000 9,109
FleetBoston Financial 333,064 12,989
PNC Financial Services Group 111,000 7,215
---------
83,362
---------
BEAUTY PRODUCTS -- 1.0%
Avon Products 140,000 5,722
Colgate-Palmolive 165,000 7,788
Procter & Gamble 99,000 6,633
---------
20,143
---------
BIOTECHNOLOGY -- 0.4%
Amgen* 100,800 7,039
---------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 3.8%
AT&T - Liberty Media, Cl A* 834,500 15,021
Clear Channel Communications* 96,000 5,424
Gannett 90,000 4,770
New York Times, Cl A 114,000 4,482
Time Warner 279,000 21,832
Tribune 139,000 6,064
Viacom, Cl B* 288,000 16,848
---------
74,441
---------
BUILDING & CONSTRUCTION -- 0.3%
American Standard* 60,000 2,666
Centex 90,000 2,891
Owens Corning 70,700 186
---------
5,743
---------
CHEMICALS -- 1.4%
Ashland 31,800 1,071
Dow Chemical 512,700 12,785
Eastman Chemical 26,600 983
Lubrizol 88,200 1,736
Lyondell Chemical 101,500 1,199
Millennium Chemicals 50,600 750
Praxair 62,100 2,321
Union Carbide 185,200 6,991
---------
27,836
---------
COMMUNICATIONS EQUIPMENT -- 2.2%
CIENA* 82,000 10,071
Digital Lightwave* 29,000 2,106
Ericsson ADR 289,000 4,281
Nokia Oyj ADR 287,800 11,458
Nortel Networks 180,000 10,721
Tellabs* 86,000 4,106
---------
42,743
---------
COMPUTERS & SERVICES -- 9.9%
Apple Computer* 59,800 1,540
Brocade Communications System* 18,000 4,248
Cisco Systems* 1,157,700 63,963
Compaq Computer 152,000 4,192
Dell Computer* 419,000 12,910
DST Systems* 21,000 2,468
EMC-Mass* 362,000 35,883
Extreme Networks* 114,000 13,053
IBM 158,000 17,775
Network Appliance* 73,800 9,400
Quantum - DLT & Storage* 71,700 1,080
Sun Microsystems* 186,000 21,715
Sungard Data Systems* 120,000 5,137
Tech Data* 17,600 752
---------
194,116
---------
CONTAINERS & PACKAGING -- 0.5%
Crown Cork & Seal 190,000 2,031
Owens-Illinois* 174,000 1,609
Smurfit-Stone Container* 280,000 3,360
Sonoco Products 175,000 3,161
---------
10,161
---------
DRUGS -- 7.8%
Alza* 87,000 7,525
Bergen Brunswig, Cl A 75,000 877
Bristol-Myers Squibb 280,000 15,995
Elan ADR* 95,100 5,207
IDEC Pharmaceuticals* 28,000 4,910
Immunex* 68,200 2,967
Medimmune* 48,000 3,708
Merck 283,700 21,118
Pfizer 1,289,025 57,926
QLT* 33,900 2,403
Schering-Plough 500,200 23,259
Teva Pharmaceutical ADR 90,000 6,587
Watson Pharmaceutical* 22,600 1,466
---------
153,948
---------
ELECTRICAL SERVICES -- 4.4%
AES* 166,000 11,371
American Electric Power 248,500 9,723
C&D Technologies 85,000 4,824
Cinergy 210,000 6,943
Consolidated Edison 215,400 7,351
Entergy 181,000 6,742
FirstEnergy 282,900 7,621
GPU 85,000 2,757
PG&E 159,400 3,855
Pinnacle West Capital 125,000 6,359
Technitrol 30,000 3,030
Vishay Intertechnology* 180,000 5,535
Wisconsin Energy 111,100 2,215
XCEL Energy* 296,600 8,156
---------
86,482
---------
26
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
ELECTRONICS -- 1.3%
Arrow Electronics* 111,500 $ 3,798
Avnet 12,000 340
Solectron* 432,000 19,926
Thomas & Betts 100,200 1,747
--------
25,811
--------
FINANCIAL SERVICES -- 6.9%
American Express 130,000 7,897
Bear Stearns 47,000 2,961
Citigroup 799,999 43,250
Goldman Sachs Group 51,800 5,902
JP Morgan 76,000 12,416
Lehman Brothers Holdings 70,000 10,342
MBNA 529,100 20,370
Morgan Stanley Dean Witter 289,000 26,425
Stilwell Financial* 146,400 6,368
--------
135,931
--------
FOOD, BEVERAGE & TOBACCO -- 2.9%
Anheuser-Busch 114,000 4,824
Conagra Foods 529,000 10,613
Kroger* 154,000 3,475
Pepsico 120,000 5,520
Philip Morris 412,100 12,131
Quaker Oats 40,000 3,165
Safeway* 136,600 6,378
Sara Lee 198,000 4,022
Supervalu 333,000 5,016
Tyson Foods, Cl A 137,700 1,377
--------
56,521
--------
HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 0.2%
Newell Rubbermaid 3,600 82
Whirlpool 100,000 3,887
--------
3,969
--------
INSURANCE -- 3.2%
Aetna 6,500 377
AMBAC Financial Group 38,000 2,783
American International Group 166,500 15,932
AON 169,000 6,633
Arthur J. Gallagher 57,000 3,370
Chubb 183,000 14,480
Hartford Financial Services 181,000 13,202
MBIA 45,000 3,201
Metlife* 129,000 3,378
St. Paul 13,000 641
--------
63,997
--------
MEDICAL PRODUCTS & SERVICES -- 3.0%
Allergan 63,000 5,320
HCA - The Healthcare 141,000 5,235
Johnson & Johnson 172,000 16,157
Medtronic 118,000 6,114
Millennium Pharmaceuticals* 31,000 4,528
Pharmacia 117,000 7,042
St. Jude Medical* 56,000 2,856
Tenet Healthcare* 80,000 2,910
UnitedHealth Group 90,000 8,888
--------
59,050
--------
METALS & MINING -- 0.1%
Alcan Aluminium 39,200 1,134
--------
MISCELLANEOUS MANUFACTURING -- 4.8%
Cooper Industries 106,500 3,754
FMC* 52,900 3,548
General Electric 1,060,500 61,178
Honeywell International 60,000 2,138
Tyco International 464,000 24,070
--------
94,688
--------
PAINT & RELATED PRODUCTS -- 0.2%
Sherwin-Williams 165,400 3,535
--------
PAPER & PAPER PRODUCTS -- 1.7%
Fort James 251,900 7,699
Georgia-Pacific Group 105,000 2,468
International Paper 407,932 11,703
Kimberly-Clark 100,000 5,581
Temple-Inland 66,700 2,526
Westvaco 123,800 3,304
Willamette Industries 25,000 700
--------
33,981
--------
PETROLEUM & FUEL PRODUCTS -- 6.2%
Amerada Hess 169,600 11,353
BP Amoco ADR 29,000 1,537
Conoco, Cl A 211,750 5,532
Dynegy, Cl A 106,000 6,042
Enron 94,000 8,237
Exxon Mobil 281,968 25,130
Global Marine* 93,000 2,871
Kerr-McGee 57,500 3,809
Noble Drilling* 204,000 10,251
Occidental Petroleum 415,300 9,059
Phillips Petroleum 463,700 29,097
Unocal 132,000 4,678
USX-Marathon Group 170,000 4,824
--------
122,420
--------
27
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
TAX MANAGED LARGE CAP FUND--CONCLUDED
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
RAILROADS -- 1.7%
Burlington Northern Santa Fe 440,900 $ 9,507
CSX 249,000 5,431
Norfolk Southern 495,500 7,247
Union Pacific 305,400 11,872
----------
34,057
----------
RETAIL -- 4.9%
Darden Restaurants 110,000 2,289
Dillards, Cl A 28,800 306
Dollar Tree Stores* 41,000 1,663
Federated Department Stores* 119,500 3,122
Home Depot 550,300 29,200
Kohl's* 347,500 20,046
May Department Stores 343,400 7,040
Sears Roebuck 362,000 11,736
Talbots 48,000 3,180
Target 75,000 1,922
TJX 135,000 3,038
Wal-Mart Stores 260,000 12,513
----------
96,055
----------
RUBBER-TIRES -- 0.1%
Cooper Tire & Rubber 38,200 384
Goodyear Tire & Rubber 135,700 2,443
----------
2,827
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 7.0%
Altera* 410,000 19,578
Analog Devices* 116,800 9,643
Applied Materials* 183,000 10,854
Applied Micro Circuits* 14,000 2,899
Broadcom, Cl A* 17,000 4,144
Credence Systems* 37,500 1,125
Flextronics International* 48,000 3,942
Intel 1,088,000 45,220
Micron Technology* 100,000 4,600
Nvidia* 96,000 7,860
PMC - Sierra* 38,400 8,266
QLogic* 61,400 5,403
Teradyne* 77,000 2,695
Transwitch* 98,800 6,299
Vitesse Semiconductor* 53,500 4,758
----------
137,286
----------
SOFTWARE -- 8.2%
Adobe Systems 90,000 13,973
Alteon Websystems* 31,400 3,403
America Online* 396,800 21,328
Ariba* 59,000 8,453
Computer Associates International 142,000 3,577
Foundry Networks* 67,000 4,485
I2 Technologies* 16,000 2,993
Interwoven* 30,400 3,437
Intuit* 85,800 4,891
Mercury Interactive* 40,000 6,270
Microsoft* 367,400 22,159
Oracle* 316,000 24,885
Portal Software* 120,000 4,800
Rational Software* 70,000 4,856
Symantec* 60,000 2,640
VeriSign* 88,900 18,008
Veritas Software* 44,500 6,319
Yahoo* 43,000 3,913
----------
160,390
----------
TELEPHONE & TELECOMMUNICATIONS -- 6.2%
Alltel 55,000 2,870
Amdocs* 102,500 6,393
AT&T 306,816 9,013
AT&T Wireless Group* 454,800 9,494
BellSouth 250,000 10,063
Copper Mountain Networks* 64,000 2,400
Corning 81,400 24,176
JDS Uniphase* 80,200 7,594
Metromedia Fiber Network, Cl A* 153,700 3,737
Nextel Communications, Cl A* 77,000 3,600
Nextel Partners, Cl A* 45,400 1,322
SBC Communications 405,880 20,294
SDL* 12,800 3,959
Sycamore Networks* 68,700 7,420
Vodafone Group ADR 78,000 2,886
WorldCom* 247,000 7,503
----------
122,724
----------
WHOLESALE -- 0.3%
Genuine Parts 180,200 3,435
Ingram Micro, Cl A* 210,000 2,888
----------
6,323
----------
Total Common Stocks
(Cost $1,776,630) 1,920,362
----------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A) (B)
6.045%, 11/09/00 $ 4,500 4,472
----------
Total U.S. Treasury Obligation
(Cost $4,472) 4,472
----------
COMMERCIAL PAPER -- 0.1%
Ford Motor Credit
6.510%, 10/03/00 2,947 2,946
----------
Total Commercial Paper
(Cost $2,946) 2,946
----------
28
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.5%
JP Morgan
6.590%, dated 09/29/00,
matures 10/02/00, repurchase
price $29,014,853 (FHLMC and
FNMA obligations, total par value
$30,218,000, 5.750%, 06/15/01-
02/15/08, total market value:
$29,616,995) $28,999 $ 28,999
----------
Total Repurchase Agreement
(Cost $28,999) 28,999
----------
MONEY MARKETS -- 0.3%
Evergreen Select Money
Market Fund, Cl Y 2,711,512 2,712
Evergreen Select Money
Market Fund, Cl I 2,913,083 2,913
----------
Total Money Markets
(Cost $5,625) 5,625
----------
Total Investments -- 99.6%
(Cost $1,818,672) $1,962,404
==========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELD SHOWN IS EFFECTIVE YIELD AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL
MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALL CAP VALUE FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 94.5%
AEROSPACE & DEFENSE -- 1.3%
Alliant Techsystems* 45,388 3,727
BE Aerospace* 136,700 2,204
Doncasters ADR* 100,300 2,031
Litton Industries* 8,700 389
Primex Technologies 97,100 2,822
United Industrial 34,700 377
---------
11,550
---------
AIR TRANSPORTATION -- 0.7%
America West Holdings, Cl B* 236,100 2,877
Offshore Logistics* 66,200 1,183
Skywest 26,600 1,363
UAL 9,300 391
---------
5,814
---------
APPAREL/TEXTILES -- 1.7%
Guilford Mills 200,400 376
Kellwood 189,500 3,458
Liz Claiborne 9,300 358
Phillips-Van Heusen 39,500 407
Polo Ralph Lauren* 155,700 2,511
Quiksilver* 74,300 1,430
RG Barry* 270,100 810
Russell 53,600 851
Springs Industries, Cl A 55,900 1,576
Tommy Hilfiger* 343,700 3,308
Tropical Sportswear International* 6,200 105
---------
15,190
---------
AUTOMOTIVE -- 2.2%
ArvinMeritor 31,600 464
Bandag 12,600 453
Borg Warner 164,100 5,436
Dura Automotive Systems* 112,700 1,041
Harsco 58,600 1,293
Midas 75,900 1,063
Modine Manufacturing 160,200 4,513
Paccar 9,200 341
Standard Motor Products 46,500 372
Superior Industries International 156,400 4,692
---------
19,668
---------
BANKS -- 5.7%
Andover Bancorp 26,362 804
Astoria Financial 61,300 2,368
Bancwest 89,300 1,736
Bank United, Cl A 53,300 2,702
Chittenden 42,000 1,079
City National 31,600 1,221
Commerce Bancshares 14,200 523
29
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
SMALL CAP VALUE FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Community First Bankshares 57,500 $ 1,010
Cullen/Frost Bankers 98,800 3,211
Dime Bancorp 30,242 652
Dime Community Bancshares 96,900 2,398
Downey Financial 78,100 3,085
FirstFed Financial* 86,100 1,980
Flagstar Bancorp 51,500 631
Greater Bay Bancorp 14,100 979
Greenpoint Financial 21,600 640
Hamilton Bancorp* 30,800 524
Hibernia, Cl A 35,100 430
Hudson United Bancorp 56,600 1,564
IndyMac Bancorp* 120,500 2,478
MAF Bancorp 10,200 254
OceanFirst Financial 41,000 851
PFF Bancorp 24,100 524
Richmond County Financial 27,600 668
Roslyn Bancorp 55,300 1,237
Silicon Valley Bancshares* 30,700 1,788
Southwest Bancorp of Texas* 90,500 2,958
Staten Island Bancorp 286,000 5,720
Trustmark 19,200 374
UnionBanCal 26,400 615
Washington Federal 83,400 1,897
Webster Financial 34,200 921
Westamerica Bancorporation 41,400 1,384
Whitney Holding 21,000 763
Wilmington Trust 18,600 997
---------
50,966
---------
BEAUTY PRODUCTS -- 0.4%
Alberto-Culver, Cl B 42,900 1,236
Dial 163,500 1,901
---------
3,137
---------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.3%
Banta 67,300 1,640
Courier 44,400 1,288
Entercom Communications* 30,600 916
Grey Global Group 5,100 3,161
Hollinger International 231,400 3,876
Lee Enterprises 31,400 907
Penton Media 41,300 1,136
R.H. Donnelley* 162,200 3,426
Scholastic* 20,200 1,607
True North Communications 20,800 744
Young Broadcasting, Cl A* 71,100 2,235
---------
20,936
---------
BUILDING & CONSTRUCTION -- 4.4%
Centex 40,360 1,297
DR Horton 134,552 2,313
Dycom Industries* 13,300 554
EMCOR Group* 208,600 5,424
Fleetwood Enterprises 145,800 1,977
Fluor 9,300 279
Granite Construction 98,200 2,381
Jacobs Engineering Group* 220,400 8,885
Kaufman & Broad Home 80,800 2,177
MDC Holdings 90,090 2,342
NVR* 5,100 413
Pulte 87,600 2,891
Ryland Group 68,000 2,108
Standard-Pacific 125,800 2,264
Toll Brothers* 42,400 1,457
U.S. Aggregates 136,500 2,261
Winnebago Industries 51,100 639
---------
39,662
---------
BUILDING & CONSTRUCTION SUPPLIES -- 2.9%
Centex Construction Products 123,600 3,067
Dal-Tile International* 586,000 7,325
Genlyte Group* 252,500 6,455
Johns Manville 58,200 658
Lennox International 158,700 1,488
Mobile Mini* 9,600 185
Nortek* 26,120 457
Simpson Manufacturing* 18,100 809
Southdown 4,200 299
York International 214,000 5,323
---------
26,066
---------
CHEMICALS -- 3.6%
Albemarle 133,500 2,695
American Pacific* 158,800 983
Arch Chemicals 98,200 1,792
Ashland 16,700 563
Cambrex 173,200 6,408
CFC International* 55,400 325
Cytec Industries* 148,500 4,965
Engelhard 23,500 382
Ethyl 168,300 242
H.B. Fuller 7,200 207
Hercules 151,600 2,141
Lubrizol 15,600 307
Millennium Chemicals 30,700 455
Minerals Technologies 59,700 2,746
Olin 400,300 6,480
Polyone 60,400 442
W.R. Grace* 28,500 196
Wellman 45,300 654
---------
31,983
---------
30
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
CLOSED-END REGULATED INVESTMENT COMPANY -- 0.5%
John Hancock Bank and
Thrift Opportunity Fund 576,600 $ 4,577
--------
COMMERCIAL SERVICES -- 1.5%
Advo* 108,800 3,590
CDI* 65,700 1,051
F.Y.I.* 69,400 2,594
Gartner Group, Cl A* 179,000 2,081
Kelly Services, Cl A 11,100 262
Modis Professional Services* 28,300 147
R.R. Donnelley & Sons 23,300 572
Reynolds & Reynolds, Cl A 66,400 1,320
Spherion* 73,300 875
Stewart Enterprises, Cl A 444,000 860
--------
13,352
--------
COMMUNICATIONS EQUIPMENT -- 0.1%
Cable Design Technologies* 22,200 540
--------
COMPUTERS & SERVICES -- 1.1%
Astro-Med 37,200 188
Avant!* 129,400 2,362
Factset Research Systems 33,900 1,275
Intergraph* 59,300 426
Iomega* 257,300 1,286
Kronos* 31,300 939
Mentor Graphics* 27,300 643
M-Systems Flash Disk Pioneers* 12,500 477
NCR* 11,400 431
Radisys* 30,300 1,532
--------
9,559
--------
CONTAINERS & PACKAGING -- 0.5%
Ball 14,600 463
Bemis 32,700 1,050
Greif Brothers, Cl A 84,200 2,800
Longview Fibre 46,500 558
--------
4,871
--------
DRUGS -- 1.2%
Albany Molecular Research* 31,400 1,764
Alpharma, Cl A 31,000 1,895
Bindley WesternIndustries 43,935 1,406
Coulter Pharmaceutical* 33,600 970
Dura Pharmaceuticals* 54,500 1,928
Noven Pharmaceuticals* 36,400 1,556
Perrigo* 183,100 1,253
--------
10,772
--------
ELECTRICAL COMPONENTS & EQUIPMENT -- 0.2%
Belden 56,000 1,323
Insteel Industries 202,300 822
--------
2,145
--------
ELECTRICAL SERVICES -- 5.1%
Allete 56,800 1,257
Cleco 40,080 1,874
Conectiv 64,400 1,151
Constellation Energy Group 12,300 612
El Paso Electric* 632,100 8,704
Energy East 7,663 173
GPU 7,800 253
Hawaiian Electric Industries 51,000 1,779
Idacorp 37,300 1,725
Ipalco Enterprises 102,200 2,338
MDU Resources Group 128,500 3,823
OGE Energy 111,300 2,372
Otter Tail Power 3,900 90
Pinnacle West Capital 14,000 712
PPL 17,700 739
Public Service of New Mexico 322,800 8,352
Puget Sound Energy 12,300 312
RGS Energy Group 69,800 1,967
Scana 45,100 1,392
Sierra Pacific Resources 132,500 2,385
UIL Holdings 29,100 1,497
Unisource Energy 87,200 1,428
WPS Resources 25,300 829
--------
45,764
--------
ELECTRONICS -- 1.3%
APW* 46,000 2,243
CTS 26,000 1,316
FEI* 26,800 581
Kemet* 24,200 669
Sensormatic Electronics* 328,900 4,933
Tektronix 23,900 1,836
--------
11,578
--------
ENTERTAINMENT -- 0.3%
Anchor Gaming* 22,400 1,782
Cinar, Cl B* 32,300 97
Zomax* 74,100 519
--------
2,398
--------
ENVIRONMENTAL SERVICES -- 0.0%
Sevenson Environmental Services 20,790 225
--------
FINANCIAL SERVICES -- 3.7%
Advanta, Cl B 23,400 190
Affiliated Managers Group* 71,300 4,060
AG Edwards 10,700 560
AmeriCredit* 84,700 2,440
Bear Stearns 8,300 523
Blackrock* 118,500 3,792
Dain Rauscher 26,100 2,427
Doral Financial 79,500 1,287
Financial Federal* 37,300 902
31
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
SMALL CAP VALUE FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Heller Financial 51,400 $ 1,468
Jefferies Group 27,600 742
John Nuveen, Cl A 93,700 4,533
Metris 44,100 1,742
Neuberger Berman 23,100 1,421
Raymond James Financial 151,500 4,990
Somerset Group 4,200 119
Southwest Securities Group 70,300 2,056
--------
33,252
--------
FOOD, BEVERAGE & TOBACCO -- 1.5%
Adolph Coors, CL B 22,830 1,443
Constellation Brands* 15,000 815
Corn Products International 107,800 2,452
Dean Foods 9,000 299
Fleming Companies 87,800 1,147
Michael Foods 45,900 1,073
Pilgrims Pride, Cl A 16,100 85
Pilgrims Pride, Cl B 32,200 221
Ralcorp Holdings* 74,000 1,045
Smithfield Foods* 51,400 1,349
Suiza Foods* 50,100 2,539
Universal 38,530 1,132
--------
13,600
--------
FORESTRY -- 0.1%
Rayonier 37,000 1,330
--------
GAS/NATURAL GAS -- 1.5%
Cascade Natural Gas 30,100 527
Energen 73,300 2,181
National Fuel Gas 7,200 404
Oneok 90,000 3,577
Peoples Energy 11,900 397
Sempra Energy 29,900 622
UGI 168,800 4,093
Washington Gas Light 70,700 1,900
--------
13,701
--------
HAND/MACHINE TOOLS -- 1.4%
Franklin Electric 23,900 1,649
Lincoln Electric Holdings 358,600 4,774
Powell Industries* 147,400 1,750
Regal Beloit 269,900 4,578
--------
12,751
--------
HOLDING COMPANY -- 0.0%
Craig 97,900 294
--------
HOTELS & LODGING -- 1.2%
Aztar* 117,400 1,805
Prime Hospitality* 77,700 787
Starwood Hotels &
Resorts Worldwide 222,100 6,941
Station Casinos* 85,000 1,211
--------
10,744
--------
HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 1.7%
Chromcraft Revington* 45,300 368
Ethan Allen Interiors 80,400 2,276
Furniture Brands International* 18,300 304
Harman International Industries 139,900 5,470
Kimball International, Cl B 190,900 3,412
Salton* 83,700 2,705
Standard Register 11,040 177
Tupperware 30,900 556
Whirlpool 8,700 338
--------
15,606
--------
INSURANCE -- 6.8%
Acceptance Insurance* 171,600 1,137
AmerUs Group 75,400 1,942
Annuity and Life Re 141,900 3,423
Arch Capital Group* 150,800 2,375
Arthur J. Gallagher 29,500 1,744
CNA Surety 31,600 363
Commerce Group 86,100 2,492
Delphi Financial Group, Cl A* 19,448 788
Enhance Financial Services Group 23,700 308
Everest Re Group 67,400 3,336
FBL Financial Group, Cl A 44,600 725
First American 109,800 2,292
HCC Insurance Holdings 60,800 1,235
Hilb, Rogal & Hamilton 73,200 3,052
IPC Holdings 134,600 2,490
LandAmerica Financial Group 26,600 760
Leucadia National 52,100 1,394
Markel* 11,200 1,700
MGIC Investment 5,400 330
Mony Group 49,700 1,982
Mutual Risk Management 113,300 2,486
Old Republic International 24,600 592
Pico Holdings* 133,300 1,741
PMI Group 7,300 495
Presidential Life 117,020 1,748
Radian Group 32,890 2,220
Scottish Annuity & Life Holdings 203,500 1,882
Stancorp Financial Group 31,300 1,338
Stewart Information Services 241,700 3,716
W.R. Berkley 120,700 4,172
White Mountains Insurance Group 25,900 7,067
--------
61,325
--------
32
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
INVESTMENT COMPANY -- 0.2%
Capital Southwest 29,600 $ 1,769
--------
LEASING & RENTING -- 1.0%
Avis Group Holdings* 15,800 468
Gatx 33,800 1,415
Rent-A-Center* 32,000 1,110
Rent-Way* 43,200 1,312
Rollins Truck Leasing 46,400 293
Ryder System 210,700 3,885
Xtra* 18,600 827
--------
9,310
--------
LEISURE PRODUCTS -- 0.8%
Arctic Cat 297,600 3,757
Brunswick 24,300 443
Gtech Holdings* 18,200 301
Jakks Pacific* 91,300 859
Topps* 107,800 990
West Marine* 62,000 512
--------
6,862
--------
MACHINERY -- 2.5%
Agco 263,700 3,131
Briggs & Stratton 140,200 5,301
Flowserve* 52,500 863
Gardner Denver* 45,400 738
Gehl* 21,100 244
Imation* 51,200 954
JLG Industries 139,700 1,703
Magnetek* 111,300 1,183
Manitowoc 62,700 1,207
Stewart & Stevenson Services 69,400 1,210
Tecumseh Products, Cl A 81,800 3,425
Thomas Industries 84,800 1,717
Twin Disc 31,800 533
--------
22,209
--------
MARINE TRANSPORTATION -- 0.7%
Alexander & Baldwin 106,500 2,769
Kirby* 40,600 797
Sea Containers, Cl A 45,200 1,054
Teekay Shipping 38,900 1,826
--------
6,446
--------
MEDICAL PRODUCTS & SERVICES -- 4.3%
America Service Group* 66,300 1,724
Cooper 123,600 4,372
Datascope 9,800 328
Diagnostic Products 37,600 2,016
Edwards Lifesciences* 220,700 4,814
Foundation Health Systems, Cl A* 64,200 1,067
Healthsouth* 75,000 609
Hooper Holmes 12,600 120
ICU Medical* 1,800 47
Inamed* 92,100 2,590
Lincare Holdings* 41,800 1,199
National Dentex* 67,200 1,159
Orthodontic Centers of America* 46,900 1,562
Oxford Health Plans* 88,900 2,732
Pacificare Health Systems* 9,900 345
Patterson Dental* 37,500 844
Renal Care Group* 315,400 5,874
Respironics* 14,400 240
Sola International* 50,100 323
Varian Medical Systems* 33,100 1,496
Wesley Jessen Visioncare* 142,700 5,485
--------
38,946
--------
METALS & METAL FABRICATE/HARDWARE -- 2.4%
Amcast Industrial 38,310 362
Cleveland-Cliffs 172,900 3,955
Commercial Metals 85,200 2,173
Intermet 213,500 1,548
Kaydon 225,800 5,193
LB Foster, Cl A* 149,400 514
Mueller Industries* 180,200 4,043
Precision Castparts 44,100 1,692
Timken 12,000 164
Velcro Industries 157,800 1,696
Worthington Industries 25,000 234
--------
21,574
--------
MISCELLANEOUS MANUFACTURING -- 2.3%
AO Smith 28,550 359
Aptargroup 29,200 699
Barnes Group 38,450 707
Carlisle 108,000 4,482
Clarcor 252,250 4,919
ESCO Technologies* 51,050 893
FMC* 7,800 523
Lancaster Colony 22,000 540
M&F Worldwide* 144,400 839
National Service Industries 48,800 955
NCH 12,730 450
Pittston Brink's Group 232,900 3,610
Smith Investment 10,100 333
SPS Technologies* 21,700 1,052
U.S. Industries 39,200 390
--------
20,751
--------
33
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
SMALL CAP VALUE FUND--CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
PAPER & PAPER PRODUCTS -- 0.5%
Louisiana-Pacific 183,200 $ 1,683
Pope & Talbot 106,500 1,524
Potlatch 5,100 161
Rock-Tenn, Cl A 50,800 505
Westvaco 17,500 467
--------
4,340
--------
PETROLEUM & FUEL PRODUCTS -- 6.3%
Amerada Hess 6,600 442
Barrett Resources* 90,900 3,437
Cabot Oil & Gas, Cl A 209,200 4,262
CAL Dive International* 31,900 1,824
EOG Resources 13,500 525
Equitable Resources 30,100 1,908
Fletcher Challenge Energy 165,200 5,927
Forest Oil* 236,600 3,830
Giant Industries* 44,460 233
Helmerich & Payne 29,100 1,051
Hydril* 78,500 1,786
Lone Star Technologies* 39,800 1,837
Louis Dreyfus Natural Gas* 30,100 1,193
Murphy Oil 16,200 1,050
Newpark Resources* 179,800 1,663
Noble Affiliates 9,900 368
Nuevo Energy* 149,100 2,740
Patina Oil & Gas 120,100 2,402
Precision Drilling* 34,500 1,229
Prima Energy* 17,850 951
Pure Resources* 89,305 1,892
St. Mary Land & Exploration 45,400 1,047
Sunoco 11,000 296
Swift Energy* 101,000 4,198
Tom Brown* 183,100 4,486
Tosco 14,100 440
Ultramar Diamond Shamrock 23,900 606
Valero Energy 90,300 3,177
Vintage Petroleum 57,500 1,308
--------
56,108
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.1%
Polaroid 53,900 724
--------
REAL ESTATE INVESTMENT TRUSTS -- 8.5%
Alexandria Real Estate Equities 46,000 1,578
American Land Lease 89,200 1,015
AMLI Residential Properties 101,250 2,430
Apartment Investment &
Management, Cl A 47,000 2,165
Arden Realty 218,100 5,848
AvalonBay Communities 85,300 4,068
Boston Properties 102,400 4,397
Charles E. Smith Residential 73,250 3,324
Equity Office Properties Trust 248,108 7,707
Equity Residential PropsTrust 45,950 2,206
Essex Property Trust 63,400 3,511
Federal Realty Investments Trust 144,800 2,769
General Growth Properties 136,200 4,384
Highwoods Properties 52,400 1,238
Home Properties of New York 32,000 956
Liberty Property Trust 163,200 4,488
Mack-Cali Realty 123,600 3,484
Post Properties 52,800 2,300
Prentiss Properties Trust 184,650 4,824
PS Business Parks 56,700 1,545
Public Storage 212,400 5,084
SL Green Realty 47,800 1,341
Spieker Properties 43,450 2,501
Urban Shopping Centers 69,500 3,301
--------
76,464
--------
RETAIL -- 4.8%
Barnett* 144,600 1,889
Bob Evans Farms 16,800 311
Brown Shoe 46,400 426
Cato, Cl A 86,200 1,078
CBRL Group 246,200 3,539
Childrens Place* 47,600 1,226
Darden Restaurants 17,400 362
Dress Barn* 151,010 3,171
Footstar* 164,200 5,306
Haverty Furniture 166,200 1,818
Jack in the Box* 46,000 986
K-Swiss, Cl A 19,000 428
Men's Wearhouse* 37,200 1,053
Michaels Stores* 16,200 648
MSC Industrial Direct, Cl A* 35,400 540
Neiman-Marcus Group, Cl A* 14,200 461
Payless Shoesource* 4,800 269
Pier 1 Imports 178,400 2,420
Rare Hospitality International* 56,850 1,158
Reebok International* 140,400 2,641
Ross Stores 235,400 3,384
Ruby Tuesday 79,500 894
Ryan's Family Steak Houses* 116,380 895
ShopKo Stores* 181,400 1,882
Spiegel, Cl A 115,900 811
Toys "R" US* 28,500 463
Venator Group* 280,600 3,472
Zale* 34,800 1,129
--------
42,660
--------
RUBBER-TIRES -- 0.0%
Cooper Tire & Rubber 42,800 431
--------
34
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.3%
ATMI* 58,500 $ 1,367
C-Cube Microsystems* 38,600 791
Credence Systems* 16,800 504
Electroglas* 21,600 369
ESS Technology* 11,400 163
Gasonics International* 26,200 321
General Semiconductor* 121,300 1,478
Helix Technology 42,700 1,276
JNI* 19,600 1,744
Johnson Controls 7,600 404
LTX* 89,000 1,685
Pioneer Standard Electronics 46,300 628
Silicon Valley Group* 14,300 376
Varian Semiconductor Equipment* 10,400 389
--------
11,495
--------
SHIPBUILDING -- 0.3%
Newport News Shipbuilding 59,900 2,598
--------
SOFTWARE -- 0.7%
Digi International* 33,100 261
IMRglobal* 147,700 1,717
Midway Games* 47,300 331
Proxicom* 40,500 790
Sybase* 98,200 2,259
Timberline Software 119,400 716
--------
6,074
--------
STEEL & STEEL WORKS -- 1.1%
AK Steel Holding 486,205 4,558
Carpenter Technology 75,000 2,184
Roanoke Electric Steel 118,600 1,171
Ryerson Tull 52,300 494
Schnitzer Steel Industries, Cl A 111,400 1,587
--------
9,994
--------
TELEPHONE & TELECOMMUNICATIONS -- 0.4%
Harris 18,100 515
Leap Wireless International* 11,700 732
Lightbridge* 23,200 270
Puma Technology* 47,600 967
PurchasePro.com* 16,200 1,424
--------
3,908
--------
TRUCKING -- 1.0%
Arkansas Best* 57,600 886
Roadway Express 124,900 2,240
USFreightways 237,600 5,391
Yellow* 34,150 517
--------
9,034
--------
WHOLESALE -- 0.4%
Aviall* 136,500 879
Handleman* 97,000 1,200
United Stationers* 49,600 1,333
--------
3,412
--------
Total Common Stocks
(Cost $774,717) 848,465
--------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill (A) (B)
6.022%, 11/09/00 $2,500 2,484
--------
Total U.S. Treasury Obligation
(Cost $2,484) 2,484
--------
REPURCHASE AGREEMENTS -- 4.1%
Merrill Lynch
6.256%, dated 09/29/00,
matures 10/02/00, repurchase
price $3,696,151 (collateralized
by U.S. Treasury Bonds and Notes,
total par value $3,694,224, 4.750%-
11.875%, 07/31/01-11/15/21,
total market value: $3,849,407) 3,694 3,694
Morgan Stanley Dean Witter
6.420%, dated 09/29/00,
matures 10/02/00, repurchase
price $32,946,683 (collateralized
by FHLMC obligation, total par
value $33,120,000, 7.220%,
11/01/06, total market value:
$33,769,402) 32,947 32,947
--------
Total Repurchase Agreements
(Cost $36,641) 36,641
--------
Total Investments -- 98.9%
(Cost $813,842) $887,590
========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELD SHOWN IS
EFFECTIVE YIELD AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
35
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
SMALL CAP GROWTH FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 96.0%
AEROSPACE & DEFENSE -- 0.2%
Remec* 98,600 $ 2,903
--------
AIR TRANSPORTATION -- 0.5%
Hawaiian Airlines* 796,400 1,991
Offshore Logistics* 139,200 2,488
Skywest 70,100 3,593
--------
8,072
--------
APPAREL/TEXTILES -- 1.9%
Christopher & Banks* 54,300 2,111
Columbia Sportswear* 70,400 3,230
Jones Apparel Group* 158,300 4,195
Phillips-Van Heusen 435,700 4,493
Polo Ralph Lauren* 407,000 6,563
Quiksilver* 346,900 6,678
Tommy Hilfiger* 186,900 1,799
--------
29,069
--------
BANKS -- 1.8%
East-West Bancorp 36,100 706
GBC Bancorp 15,500 528
Greater Bay Bancorp 79,700 5,534
Pacific Century Financial 251,800 4,312
PBOC Holdings* 176,000 1,496
Silicon Valley Bancshares* 258,700 15,065
TCF Financial 32,000 1,204
--------
28,845
--------
BIOTECHNOLOGY -- 0.8%
Genzyme Transgenics* 122,400 4,315
Lynx Therapeutics* 129,300 4,049
Maxim Pharmaceuticals* 20,300 1,233
Neose Technologies* 58,400 2,825
--------
12,422
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.7%
ACTV* 149,900 2,061
Citadel Communications* 101,300 1,722
Cox Radio, Cl A* 164,200 2,863
Entercom Communications* 59,700 1,787
Getty Images* 107,500 3,272
Lamar Advertising* 97,000 3,674
Paxson Communications* 140,000 1,610
Pegasus Communications* 61,000 2,947
Penton Media 37,700 1,037
Spanish Broadcasting System,
Cl A* 128,550 1,510
TMP Worldwide* 44,100 3,550
--------
26,033
--------
BUILDING & CONSTRUCTION -- 1.5%
Centex 70,200 2,255
Dycom Industries* 131,800 5,486
EMCOR Group* 99,900 2,597
Insituform Technologies, Cl A* 45,300 1,523
Lennar 75,900 2,253
Standard-Pacific 90,000 1,620
Toll Brothers* 209,900 7,215
--------
22,949
--------
CHEMICALS -- 0.2%
Calgon Carbon 83,900 572
SurModics* 41,100 2,250
Symyx Technologies* 11,500 499
--------
3,321
--------
COMMERCIAL SERVICES -- 3.3%
Advo* 54,700 1,805
Aurora Biosciences* 79,400 5,399
Career Education* 98,100 4,365
CV Therapeutics* 10,900 848
F.Y.I.* 48,100 1,798
Forrester Research* 33,350 2,126
Hall Kinion & Associates* 262,900 7,476
Horizon Offshore* 307,000 5,411
HotJobs.com* 183,300 3,128
Learning Tree International* 98,800 4,705
Management Network Group* 44,600 931
Memberworks* 114,700 3,771
Professional Detailing* 118,300 6,743
Profit Recovery Group
International* 36,600 361
Student Advantage* 169,950 1,253
Teletech Holdings* 85,000 2,104
Trimeris* 7,100 497
--------
52,721
--------
COMMUNICATIONS EQUIPMENT -- 4.4%
American Tower, Cl A* 168,000 6,331
Andrew* 135,700 3,554
Cable Design Technologies* 341,450 8,301
Celeritek* 158,900 5,989
Cobalt Networks* 97,300 5,631
Floware Wireless Systems* 16,200 403
Inrange Technologies, Cl B* 1,200 64
Netro* 46,000 2,725
Network Engines* 99,200 4,061
Research In Motion* 45,600 4,494
SBA Communications* 83,700 3,510
Spectrasite Holdings* 152,500 2,831
Symmetricom* 119,250 1,863
Terayon* 56,900 1,931
Tollgrade Communications* 27,800 3,859
Tut Systems* 96,600 8,338
Wireless Facilities* 72,400 4,177
WJ Communications* 22,300 825
--------
68,887
--------
36
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMPUTERS & SERVICES -- 10.7%
About.com* 43,600 $ 1,412
Auspex Systems* 292,200 3,616
Avocent* 310,375 17,109
Axent Technologies* 23,300 502
Brooktrout* 65,800 2,167
Carreker* 112,000 2,184
Check Point Software
Technologies* 25,700 4,048
Circle.com* 167,700 493
Cirrus Logic* 53,100 2,141
Click Commerce* 54,500 2,330
Cognizant Technology Solutions* 58,900 2,297
Digital Insight* 322,300 11,563
Documentum* 39,000 3,166
Eloyalty* 63,200 806
Extreme Networks* 77,600 8,885
GoTo.com* 120,000 1,980
Heidrick & Struggles* 26,500 1,361
Immersion* 455,000 7,053
InFocus* 65,000 3,445
Information Resources Engine* 81,700 2,471
Interlink Electronics* 134,500 2,606
Internet.com* 27,300 845
Jack Henry & Associates 70,100 3,041
Jupiter Media Metrix* 332,937 5,306
Lexar Media* 277,400 3,225
LivePerson* 70,700 309
Manhattan Associates* 61,900 3,791
McAfee.com* 139,700 2,078
Mentor Graphics* 1,055,000 24,858
MMC Networks* 45,700 5,781
Mobility Electronics* 150,300 1,371
M-Systems Flash Disk Pioneers* 52,000 1,986
Netegrity* 126,750 8,873
NetZero* 506,000 1,075
Niku* 154,000 3,754
Paradyne Networks* 170,200 920
Quantum - Hard Disk Drive
Group* 78,900 784
Radisys* 45,800 2,316
RSA Security* 39,300 1,695
Secure Computing* 112,600 2,935
Silicon Storage Technology* 262,600 7,139
Simple Technology* 900 9
SonicWall* 12,000 342
Stratos Lightwave* 80,500 2,596
Tech Data* 22,700 970
Technology Solutions* 667,400 1,669
--------
169,303
--------
DRUGS -- 8.3%
Abgenix* 85,800 6,934
Accredo Health* 130,900 6,398
Albany Molecular Research* 39,500 2,219
Alexion Pharmaceuticals* 7,600 866
Alkermes* 222,500 8,594
Alpharma, Cl A 40,100 2,451
Amylin Pharmaceuticals* 57,100 614
Andrx Group* 16,700 1,559
Anesta* 118,000 2,714
Arqule* 92,100 1,571
Avax Technologies* 89,300 698
Barr Laboratories* 15,900 1,054
Biomatrix* 183,000 3,203
Cell Therapeutics* 109,200 7,282
Cephalon* 155,500 7,542
Connetics* 282,900 6,825
COR Therapeutics* 51,100 3,184
Cubist Pharmaceuticals* 215,200 11,204
Emisphere Technologies* 46,700 1,398
First Horizon Pharmaceutical* 428,200 7,761
Geltex Pharmaceuticals* 11,200 524
Guilford Pharmaceuticals* 79,500 1,833
King Pharmaceuticals* 85,837 2,870
Medarex* 48,600 5,701
Medicis Pharmaceutical* 84,400 5,191
MGI Pharma* 66,800 2,004
Neurocrine Biosciences* 88,100 3,965
Noven Pharmaceuticals* 68,200 2,916
OSI Pharmaceuticals* 32,200 2,254
Pharmacyclics* 217,300 10,784
Sangstat Medical* 106,250 1,361
SICOR* 143,400 1,470
Tanox* 73,900 2,503
Titan Pharmaceuticals* 55,600 3,614
--------
131,061
--------
ELECTRICAL SERVICES -- 1.9%
American Superconductor* 103,100 5,068
Amphenol, Cl A* 12,800 729
Artesyn Technologies* 69,000 2,010
C&D Technologies 70,900 4,024
Merix* 124,400 8,063
PerkinElmer 18,800 1,962
Plexus* 16,800 1,184
Proton Energy Systems* 1,000 29
Technitrol 56,300 5,686
Valence Technology* 74,500 1,285
--------
30,040
--------
ELECTRONICS -- 4.2%
BEI Technologies 54,600 2,280
Coherent* 16,000 1,088
Cyberoptics* 75,250 1,378
Cymer* 136,300 4,183
DSP Group* 33,000 1,233
Electro Scientific Industries* 262,200 9,210
Entegris* 259,400 2,481
FEI* 417,000 9,044
37
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
SMALL CAP GROWTH FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Kemet* 220,000 $ 6,078
Kent Electronics* 104,100 2,485
L-3 Communications Holdings* 71,700 4,051
Mettler Toledo International* 30,100 1,324
Microchip Technology* 50,600 1,673
Molecular Devices* 31,200 3,065
Nanometrics* 44,800 2,394
Photon Dynamics* 93,400 3,526
Power Integrations* 111,700 1,557
Robotic Vision Systems* 277,600 1,657
Sawtek* 73,600 2,835
Universal Electronics* 30,500 738
Veeco Instruments* 39,500 4,197
--------
66,477
--------
ENTERTAINMENT -- 0.5%
Macrovision* 102,400 8,294
--------
ENVIRONMENTAL SERVICES -- 0.1%
Millennium Cell* 80,700 1,791
--------
FINANCIAL SERVICES -- 3.3%
Affiliated Managers Group* 114,700 6,531
AmeriCredit* 49,800 1,435
CompuCredit* 19,100 1,071
Doral Financial 77,500 1,255
Federated Investors, Cl B 13,300 329
Financial Federal* 185,500 4,487
Friedman, Billings, Ramsey
Group, Cl A* 288,600 2,688
Gabelli Asset Management, Cl A* 37,000 1,110
Investment Technology Group* 95,100 3,798
Knight Trading Group* 99,300 3,575
Metris 329,400 13,011
Morgan Keegan 43,100 754
NCO Group* 71,500 849
Waddell & Reed Financial 366,350 11,357
--------
52,250
--------
FOOD, BEVERAGE & TOBACCO -- 0.3%
Pepsi Bottling Group 13,100 394
Suiza Foods* 34,800 1,764
Wild Oats Markets* 197,700 2,323
--------
4,481
--------
HOTELS & LODGING -- 0.8%
Aztar* 264,200 4,062
Extended Stay America* 49,400 655
Four Seasons Hotels 74,700 5,467
Mandalay Resort Group* 46,300 1,186
MGM Mirage 37,000 1,413
--------
12,783
--------
HOUSEHOLD PRODUCTS FURNITURE & FIXTURES -- 0.6%
Polycom* 145,700 9,757
--------
INSURANCE -- 0.2%
Old Republic International 18,100 436
PMI Group 24,100 1,633
Radian Group 7,100 479
Stancorp Financial Group 31,500 1,347
--------
3,895
--------
LEASING & RENTING -- 0.5%
Dollar Thrifty Automotive Group* 89,500 1,768
Rent-A-Center* 42,200 1,464
Rent-Way* 152,400 4,629
--------
7,861
--------
LEISURE PRODUCTS -- 0.6%
Callaway Golf 196,200 3,017
Direct Focus* 55,150 2,192
International Game Technology* 40,600 1,365
Jakks Pacific* 81,900 770
Shuffle Master* 113,100 2,198
--------
9,542
--------
MACHINERY -- 0.2%
Asyst Technologies* 84,500 1,711
Satcon Technology* 53,300 1,905
--------
3,616
--------
MARINE TRANSPORTATION -- 0.1%
Overseas Shipholding Group 42,700 1,169
--------
MEDICAL PRODUCTS & SERVICES -- 8.8%
Adac Laboratories* 145,700 3,032
American Medical Systems
Holdings* 149,600 2,338
Aradigm* 72,100 1,654
Arena Pharmaceuticals* 14,100 606
Biomet 21,600 756
Biosite Diagnostics* 149,700 5,969
Caremark Rx* 256,700 2,888
Celgene* 800 48
Charles River Laboratories
International* 26,250 893
Columbia Laboratories* 539,200 3,134
Cytyc* 217,600 9,384
Entremed* 95,100 2,651
Enzon* 36,400 2,402
Epoch Pharmaceuticals* 3,700 36
Impath* 151,400 9,557
Intermagnetics General* 44,600 1,187
Invacare 60,000 1,928
Invitrogen* 163,200 11,608
38
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Laboratory of America Holdings* 8,300 $ 994
LifePoint Hospitals* 229,500 8,147
Medicines* 208,000 7,111
Oakley* 414,500 7,280
Orthodontic Centers of America* 45,300 1,509
Oxford Health Plans* 276,600 8,501
Packard Biosciences* 72,200 1,408
Paradigm Genetics* 86,400 2,063
PolyMedica* 286,600 12,288
Priority Healthcare, Cl B* 34,800 2,654
Province Healthcare* 147,300 5,883
Quest Diagnostics* 9,600 1,102
Regeneron Pharmaceutical* 61,700 2,013
RehabCare Group* 50,600 2,151
Resmed* 76,800 2,400
Syncor International* 45,800 1,686
Techne* 32,900 3,685
Thoratec Labs* 153,650 3,380
Transgenomic* 170,200 3,861
Trigon Healthcare* 6,500 342
Wellpoint Health Networks* 4,100 394
--------
138,923
--------
METALS & METAL FABRICATE/HARDWARE -- 1.2%
Consol Energy 97,300 1,563
Maverick Tube* 299,600 8,070
Precision Castparts 9,400 361
Shaw Group* 129,700 9,144
--------
19,138
--------
PETROLEUM & FUEL PRODUCTS -- 6.3%
CAL Dive International* 54,600 3,122
Callon Petroleum* 173,800 2,748
Clayton Williams Energy* 19,100 774
Core Laboratories* 93,500 2,297
Cross Timbers Oil 119,850 2,300
Ensco International 34,700 1,327
Equitable Resources 12,000 761
Hanover Compressor* 40,700 1,341
Helmerich & Payne 78,700 2,843
HS Resources* 58,700 1,974
Hydril* 26,700 607
Key Energy Services* 439,300 4,311
Louis Dreyfus Natural Gas* 60,700 2,405
Marine Drilling* 145,100 4,144
National-Oilwell* 187,000 5,844
Newfield Exploration* 112,200 5,238
Noble Drilling* 28,400 1,427
Ocean Energy* 32,100 496
Patina Oil & Gas 128,400 2,568
Patterson Energy* 485,800 16,699
Precision Drilling* 179,200 6,384
Smith International* 5,900 481
Superior Energy Services* 308,600 3,240
Swift Energy* 56,800 2,361
UTI Energy* 266,100 11,875
Valero Energy 172,400 6,066
Vintage Petroleum 229,900 5,230
--------
98,863
--------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.2%
Concord Camera* 98,900 2,534
--------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Pinnacle Holdings* 122,400 3,259
Wilshire Real Estate Investment* 189,400 533
--------
3,792
--------
RETAIL -- 4.3%
American Eagle Outfitters* 128,400 4,045
Cheesecake Factory* 264,800 11,453
Chico's FAS* 24,600 836
Childrens Place* 196,400 5,057
Dollar Tree Stores* 79,850 3,239
Duane Reade* 120,800 2,929
Factory 2-U Stores* 53,900 1,647
Genesco* 63,400 1,074
HOT Topic* 161,400 4,842
Insight Enterprises* 47,700 1,300
Kenneth Cole Productions, Cl A* 175,350 6,192
Men's Wearhouse* 15,500 439
Michaels Stores* 38,800 1,552
MSC Industrial Direct, Cl A* 58,200 888
Reebok International* 130,800 2,461
School Specialty* 98,500 2,099
Stein Mart* 77,300 836
Talbots 73,400 4,863
Tiffany 21,000 810
Too* 92,100 2,187
Tweeter Home Entertainment
Group* 174,400 6,333
Ultimate Electronics* 32,200 1,324
Venator Group* 93,700 1,160
--------
67,566
--------
RETIREMENT/AGED CARE -- 0.2%
Sunrise Assisted Living* 141,600 3,071
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 7.4%
Actel* 228,400 8,208
ASM International* 60,000 1,050
Credence Systems* 108,000 3,240
Cree* 10,300 1,197
Cypress Semiconductor* 7,600 316
Elantec Semiconductor* 17,200 1,714
Electroglas* 178,000 3,037
Exar* 51,450 6,225
Fairchild Semiconductor
International, Cl A* 47,700 1,342
FSI International* 177,000 2,522
39
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
SMALL CAP GROWTH FUND--CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Globespan* 30,000 $ 3,660
Helix Technology 32,750 978
Integrated Device Technology* 22,200 2,009
Integrated Measurement Systems* 147,600 1,993
International Rectifier* 136,200 6,887
LTX* 121,000 2,291
Micrel* 21,400 1,434
Microsemi* 104,800 3,996
MIPS Technologies, Cl A* 18,200 837
Nvidia* 87,400 7,156
O2Micro International* 4,800 83
OAK Technology* 325,100 8,900
Omnivision Technologies* 70,500 2,551
Pericom Semiconductor* 171,600 6,446
Photronics* 149,900 3,270
PLX Technology* 94,600 2,542
PSI Technologies Holdings ADR* 103,900 1,325
QuickLogic* 101,200 1,670
Rudolph Technologies* 97,900 3,274
Semtech* 26,000 1,121
Silicon Valley Group* 284,100 7,475
Triquint Semiconductor* 106,800 3,892
TTM Technologies* 21,600 508
Tvia* 124,200 2,228
Varian Semiconductor Equipment* 55,500 2,078
Virata* 82,300 5,442
Xicor* 151,300 1,248
Zoran* 59,600 2,906
--------
117,051
--------
SOFTWARE -- 14.8%
24/7 Media* 119,300 1,204
Accrue Software* 273,300 3,263
Actuate* 29,900 1,033
Anixter International* 225,200 6,559
AremisSoft* 68,300 2,561
Art Technology Group* 54,800 5,192
At Road* 7,650 55
Avantgo* 650 13
Avistar Communications* 221,100 1,492
Barra* 11,600 720
Bsquare* 59,300 919
Business Objects ADR* 29,300 3,313
C-Bridge Internet Solutions* 164,200 3,079
Cerner* 199,100 9,246
Clarent* 9,300 366
Clarus* 58,000 1,323
Critical Path* 39,800 2,418
Cysive* 167,200 1,118
Digex* 70,000 3,281
Digimarc* 757,900 14,116
Digital Island* 79,750 1,495
Docent* 7,200 132
Embarcadero Technologies* 67,100 3,447
Equinix* 17,900 159
Espeed, Cl A* 98,300 2,795
Exchange Applications* 232,800 1,055
Exe Technologies* 80,200 1,203
Finisar* 21,200 1,026
Firepond* 123,500 1,791
Homestore.com* 159,200 7,443
Informatica* 132,400 12,346
Interwoven* 16,700 1,888
Intranet Solutions* 149,200 7,460
ISG International Software Group* 96,700 1,142
JDA Software Group* 126,500 1,613
LifeMinders* 151,200 3,468
Macromedia* 25,300 2,045
Mapinfo* 49,500 1,550
Matrixone* 116,900 4,676
Moldflow* 193,400 4,545
National Instruments* 98,300 4,337
Navisite* 70,200 1,891
NETIQ* 222,500 14,615
Netopia* 99,450 1,094
Netspeak* 55,400 627
Network Associates* 163,100 3,690
Objective Systems Integrator* 88,500 769
Onyx Software* 131,100 2,704
Packeteer* 35,200 1,335
Peoplesoft* 11,400 318
Peregrine Systems* 73,900 1,399
Pixar* 218,200 7,010
Primus Knowledge Solutions* 14,100 209
Proxicom* 97,700 1,905
Quest Software* 45,700 2,838
Resonate* 450 18
Retek* 195,700 10,372
Scient* 66,470 1,392
Serena Software* 72,300 3,330
Software.com* 26,600 4,826
Sybase* 129,000 2,967
Symantec* 131,100 5,768
THQ* 43,100 1,002
Tibco Software* 56,950 4,809
Ticketmaster Online-CitySearch,
Cl B* 178,500 3,023
Tumbleweed Communications* 20,000 1,020
Verity* 283,800 10,128
Versata* 86,000 2,279
Vitria Technology* 101,500 4,732
WatchGuard Technologies* 94,150 5,649
webMethods* 51,260 5,901
--------
234,507
--------
TELEPHONE & TELECOMMUNICATIONS -- 3.4%
Allegiance Telecom* 56,400 2,101
Boston Communications Group* 84,900 1,634
Cosine Communications* 1,750 97
Crown Castle International* 84,600 2,628
40
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
CTC Communications Group* 164,250 $ 3,326
Dobson Communications, Cl A* 316,200 4,644
Efficient Networks* 92,800 3,463
Elastic Networks* 132,400 1,845
Exfo Electro Optical Engineering* 41,650 1,814
Integrated Telecom Express* 127,800 2,652
Lantronix* 422,150 4,010
Leap Wireless International* 29,400 1,839
Mastec* 79,950 2,498
MCK Communications* 115,200 2,606
Metawave Communications* 86,400 1,582
Metrocall* 629,700 1,889
MRV Communications* 24,000 1,088
Natural Microsystems* 33,400 1,797
Nextlink Communications, Cl A* 72,288 2,544
Omnisky* 4,200 85
Plantronics* 29,100 1,106
Puma Technology* 78,700 1,599
Triton PCS Holdings, Cl A* 7,200 198
Viasat* 100,700 2,253
WebLink Wireless* 142,500 1,095
West Teleservices* 61,500 1,353
Z-Tel Technologies* 244,800 1,775
----------
53,521
----------
TRANSPORTATION -- 0.4%
Forward Air* 176,200 6,200
----------
WHOLESALE -- 0.2%
United Stationers* 116,500 3,131
----------
Total Common Stocks
(Cost $1,281,643) 1,515,839
----------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill (A) (B)
6.018%, 11/09/00 4,500 4,472
----------
Total U.S. Treasury Obligation
(Cost $4,472) 4,472
----------
WARRANTS -- 0.0%
Endo Pharmaceuticals Holdings,
Expires 12/31/02* 82,000 205
----------
Total Warrants
(Cost $298) 205
----------
MONEY MARKETS -- 0.3%
Evergreen Select Money
Market Fund, Cl I 4,223,388 4,223
Evergreen Select Money
Market Fund, Cl Y 1,005,475 1,005
----------
Total Money Markets
(Cost $5,228) 5,228
----------
REPURCHASE AGREEMENT -- 2.5%
JP Morgan
6.600%, dated 09/29/00,
matures 10/02/00, repurchase
price $39,432,901 (collateralized
by FNMA obligations, total par
value $41,526,000, 0.000%,
03/29/01, total market value:
$40,200,241) $39,411 $ 39,411
----------
Total Repurchase Agreement
(Cost $39,411) 39,411
----------
Total Investments -- 99.1%
(Cost $1,331,052) 1,565,155
----------
Other Assets and Liabilities, Net -- 0.9% 14,637
----------
NET ASSETS:
Portfolio Shares of Class A (unlimited authorization
-- no par value) based on
51,533,891 outstanding shares
of beneficial interest 990,147
Portfolio Shares of Class D (unlimited
authorization -- no par value) based on
145,626 outstanding shares
of beneficial interest 3,181
Accumulated net realized gain on investments 352,979
Net unrealized depreciation on futures (618)
Net unrealized appreciation on investments 234,103
----------
Total Net Assets -- 100.0% $1,579,792
==========
Net Asset Value, Offering and
Redemption Price Per Share -- Class A $30.57
==========
Net Asset Value and Redemption
Price Per Share -- Class D $29.73
==========
Maximum Offering Price Per Share --
Class D (29.73 / 95%) $31.29
==========
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELD SHOWN IS EFFECTIVE YIELD AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
41
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
MID-CAP FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 96.5%
AEROSPACE & DEFENSE -- 0.6%
BF Goodrich 6,400 $ 251
------
AIR TRANSPORTATION -- 1.6%
AMR* 4,400 144
Continental Airlines, Cl B* 1,200 54
Delta Air Lines 6,200 275
Sabre Holdings* 7,000 203
------
676
------
APPAREL/TEXTILES -- 0.5%
Jones Apparel Group* 7,700 204
------
AUTOMOTIVE -- 0.9%
Delphi Automotive Systems 21,400 324
Navistar International* 2,200 66
------
390
------
BANKS -- 5.6%
Bancwest 3,000 58
BB&T 4,000 120
Charter One Financial 6,441 157
City National 2,300 89
Comerica 6,100 356
Commerce Bancshares 3,800 140
Golden State Bancorp 5,400 128
Greenpoint Financial 13,000 385
Hibernia, Cl A 26,900 329
Huntington Bancshares 12,600 185
Summit Bancorp 4,200 145
TCF Financial 6,900 260
------
2,352
------
BEAUTY PRODUCTS -- 0.3%
Avon Products 3,000 123
------
BIOTECHNOLOGY -- 0.7%
Biogen* 3,000 183
Genzyme - General Division* 1,400 95
------
278
------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.4%
Adelphia Communications, Cl A* 2,000 55
Interpublic Group 3,100 106
New York Times, Cl A 5,600 220
Scientific-Atlanta 2,500 159
True North Communications 3,800 136
Univision Communications* 9,200 344
------
1,020
------
CHEMICALS -- 0.9%
Ashland 7,100 239
Eastman Chemical 3,500 129
------
368
------
COMMERCIAL SERVICES -- 3.3%
Cendant* 12,500 136
H&R Block 5,500 204
Manpower 5,500 176
Pitney Bowes 5,000 197
R.R. Donnelley & Sons 11,400 280
Reynolds & Reynolds, Cl A 12,400 246
Viad 6,400 170
------
1,409
------
COMMUNICATIONS EQUIPMENT -- 0.4%
Andrew* 2,700 71
Kana Communications* 1,000 22
RF Micro Devices* 2,400 77
------
170
------
COMPUTERS & SERVICES -- 4.9%
Brocade Communications System* 1,300 307
CSG Systems International* 4,700 136
Deluxe 6,700 136
DST Systems* 1,600 188
Internet Capital Group* 2,300 40
Lexmark International* 1,600 60
NCR* 5,700 216
Palm* 3,100 164
Priceline.com* 800 9
Quantum - DLT & Storage* 15,200 229
Sandisk* 700 47
Sapient* 1,700 69
Sungard Data Systems* 3,200 137
Tech Data* 3,500 150
Unisys* 13,300 150
VerticalNet* 1,100 39
------
2,077
------
DRUGS -- 4.9%
Abgenix* 1,400 113
Andrx Group* 1,600 149
Chiron* 2,400 108
Forest Laboratories, CL A* 2,900 333
ICN Pharmaceuticals 5,100 170
IDEC Pharmaceuticals* 700 123
Immunex* 3,200 139
IVAX* 8,600 396
King Pharmaceuticals* 4,725 158
Medarex* 600 70
42
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Medimmune* 2,100 $ 162
Protein Design Labs* 400 48
Sepracor* 800 98
------
2,067
------
ELECTRICAL SERVICES -- 8.4%
Calpine* 1,600 167
Energy East 14,300 324
FirstEnergy 11,100 299
PG&E 19,600 474
Pinnacle West Capital 8,600 438
PPL 16,500 689
Public Service Enterprise Group 10,300 460
Reliant Energy 10,400 484
Vishay Intertechnology* 6,550 201
------
3,536
------
ELECTRONICS -- 5.6%
Arrow Electronics* 11,700 399
Avnet 14,400 409
AVX 9,200 240
Jabil Circuit* 1,700 96
Kemet* 11,900 329
Millipore 1,100 53
PE Biosystems Group 2,300 268
Sanmina* 2,600 243
Sawtek* 1,500 58
Symbol Technologies 4,100 147
Waters* 1,200 107
------
2,349
------
ENVIRONMENTAL SERVICES -- 0.2%
Republic Services* 5,200 68
------
FINANCIAL SERVICES -- 5.2%
AG Edwards 2,200 115
Ameritrade Holding, Cl A* 900 16
Bear Stearns 6,415 404
Capital One Financial 2,000 140
CIT Group, Cl A 8,000 140
E*trade Group* 2,900 48
Lehman Brothers Holdings 4,200 621
Providian Financial 2,100 267
Stilwell Financial* 3,100 135
USA Education 6,500 313
------
2,199
------
FOOD, BEVERAGE & TOBACCO -- 2.7%
Archer-Daniels-Midland 13,125 113
Conagra Foods 20,000 401
IBP 7,300 134
Nabisco Group Holdings 3,500 100
Pepsi Bottling Group 3,300 99
Supervalu 18,200 274
------
1,121
------
GAS/NATURAL GAS -- 2.7%
KeySpan 6,700 269
Nicor 4,800 174
Sempra Energy 32,724 681
------
1,124
------
HOTELS & LODGING -- 0.3%
Mandalay Resort Group* 5,700 146
------
HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 0.7%
Black & Decker 2,800 96
Fortune Brands 3,900 103
Newell Rubbermaid 4,700 107
------
306
------
INSURANCE -- 4.7%
Allmerica Financial 3,900 249
AMBAC Financial Group 2,600 190
Hartford Financial Services 1,900 139
Loew's 4,900 409
MGIC Investment 3,800 232
Old Republic International 6,300 152
PMI Group 6,200 420
Torchmark 7,400 206
------
1,997
------
LEASING & RENTING -- 0.3%
Comdisco 3,000 57
Hertz, Cl A 2,700 86
------
143
------
LEISURE PRODUCTS -- 1.2%
Brunswick 15,600 285
Galileo International 14,200 220
------
505
------
MACHINERY -- 1.5%
Dover 5,600 263
Ingersoll-Rand 3,200 108
Lam Research* 5,300 111
Rockwell International 4,500 136
------
618
------
43
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
MID-CAP FUND--CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
MEDICAL PRODUCTS & SERVICES -- 4.2%
Allergan 3,100 $ 262
Beckman Coulter 1,700 131
Boston Scientific* 5,100 84
Celgene* 1,100 65
Cytyc* 2,000 86
Dentsply International 4,200 147
Millennium Pharmaceuticals* 500 73
Oxford Health Plans* 6,200 191
Pacificare Health Systems* 8,000 278
PE - Celera Genomics Group* 600 60
Tenet Healthcare* 3,100 113
Trigon Healthcare* 2,300 121
UnitedHealth Group 1,700 168
------
1,779
------
MISCELLANEOUS MANUFACTURING -- 1.4%
FMC* 5,000 335
ITT Industries 5,100 165
Pentair 3,400 91
------
591
------
PAPER & PAPER PRODUCTS -- 1.8%
Fort James 1,900 58
Georgia-Pacific Group 12,100 284
Westvaco 7,900 211
Weyerhaeuser 2,400 97
Willamette Industries 3,700 104
------
754
------
PETROLEUM & FUEL PRODUCTS -- 7.9%
Apache 4,100 242
BJ Services* 3,900 238
Dynegy, Cl A 6,000 342
Ensco International 5,400 207
Global Marine* 4,900 151
Noble Drilling* 5,900 296
Occidental Petroleum 32,900 718
Rowan* 7,800 226
Tosco 6,300 196
USX-Marathon Group 14,700 417
Valero Energy 8,400 296
------
3,329
------
REAL ESTATE INVESTMENT TRUSTS -- 1.3%
Apartment Investment &
Management, Cl A 3,100 143
Equity Office Properties Trust 9,400 292
Prologis Trust 4,300 102
------
537
------
RETAIL -- 2.6%
Autozone* 7,800 177
Bed Bath & Beyond* 4,000 98
Brinker International* 2,000 60
Darden Restaurants 9,700 202
Federated Department Stores* 9,700 253
RadioShack 1,700 110
Tiffany 1,800 69
TJX 2,200 49
Toys "R" US* 5,700 93
------
1,111
------
SEMI-CONDUCTORS/INSTRUMENTS -- 5.2%
Advanced Micro Devices* 8,200 194
Applied Micro Circuits* 1,300 269
Atmel* 8,200 125
Cypress Semiconductor* 4,800 199
Globespan* 400 49
Integrated Device Technology* 2,900 262
International Rectifier* 1,600 81
Johnson Controls 3,400 181
KLA-Tencor* 3,300 136
National Semiconductor* 5,800 233
Novellus Systems* 2,500 116
Nvidia* 1,100 90
Rambus* 1,100 87
Vitesse Semiconductor* 1,700 151
------
2,173
------
SOFTWARE -- 8.2%
Akamai Technologies* 600 31
Alteon Websystems* 400 43
Ariba* 2,100 301
Art Technology Group* 700 66
At Home, Cl A* 3,000 42
Autodesk 5,800 147
BMC Software* 7,900 151
BroadVision* 2,600 67
Cacheflow* 200 29
CNET Networks* 900 22
Commerce One* 2,500 196
Compuware* 12,900 108
Critical Path* 500 30
Cybear Group* 387 --
Digex* 300 14
DoubleClick* 1,400 45
E.piphany* 400 31
Fiserv* 2,300 138
Homestore.com* 600 28
Infospace* 1,800 54
Inktomi* 1,100 125
Intuit* 1,900 108
Liberate Technologies* 600 17
44
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Lycos* 1,100 $ 76
Macromedia* 700 57
Mercury Interactive* 1,000 157
Micromuse* 500 100
Network Associates* 9,400 213
Parametric Technology* 5,000 55
Portal Software* 1,200 48
Psinet* 1,900 18
Rational Software* 2,200 153
RealNetworks* 900 36
Software.com* 400 73
Sybase* 5,200 120
Symantec* 5,800 255
Synavant* 210 1
Tibco Software* 2,000 169
Vignette* 2,800 84
Vitria Technology* 900 42
webMethods* 200 23
-------
3,473
-------
TELEPHONE & TELECOMMUNICATIONS -- 3.2%
Allegiance Telecom* 2,600 97
CenturyTel 5,250 143
Commscope* 2,900 71
Copper Mountain Networks* 600 22
Efficient Networks* 400 15
Nextlink Communications, Cl A* 4,000 141
NTL* 1,700 79
PanAmSat* 3,400 109
Phone.com* 200 23
Redback Networks* 1,400 230
Telephone & Data Systems 2,600 288
US Cellular* 1,800 126
-------
1,344
-------
WHOLESALE -- 0.2%
Ingram Micro, Cl A* 6,000 82
-------
Total Common Stocks
(Cost $36,944) 40,670
-------
REPURCHASE AGREEMENT -- 3.2%
JP Morgan
6.250%, dated 09/29/00, matures
10/02/00, repurchase price
$1,352,812 (collateralized by
FNMA obligations, total par
value $1,565,615, 5.500%,
05/01/14-03/01/29, total market
value: $1,379,150) $1,352 1,352
-------
Total Repurchase Agreement
(Cost $1,352) 1,352
-------
Total Investments -- 99.7%
(Cost $38,296) 42,022
-------
Other Assets and Liabilities, Net -- 0.3% 126
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 2,419,942 outstanding shares of
beneficial interest 33,404
Undistributed net investment income 32
Accumulated net realized gain on investments 4,986
Net unrealized appreciation on investments 3,726
-------
Total Net Assets -- 100.0% $42,148
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $17.42
=======
*NON-INCOME PRODUCING SECURITY
CL -- CLASS
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
AMOUNTS DESIGNATED AS "--" AREZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
CAPITAL APPRECIATION
FUND
COMMON STOCKS -- 93.7%
AUTOMOTIVE -- 0.6%
Harley-Davidson 6,100 $ 292
------
BIOTECHNOLOGY -- 0.5%
Amgen* 3,300 230
------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.2%
AT&T - Liberty Media, Cl A* 8,900 160
Time Warner 4,300 336
Viacom, Cl B* 9,510 556
------
1,052
------
COMMUNICATIONS EQUIPMENT -- 3.5%
ADC Telecommunications* 5,200 140
CIENA* 5,800 712
Lucent Technologies 18,034 551
Nokia Oyj ADR 6,000 239
------
1,642
------
45
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
CAPITAL APPRECIATION FUND--CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMPUTERS & SERVICES -- 21.2%
Apple Computer* 6,100 $ 157
Automatic Data Processing 2,500 167
Cisco Systems* 48,900 2,702
Dell Computer* 4,100 126
EMC-Mass* 22,100 2,191
Hewlett-Packard 5,300 514
IBM 11,900 1,339
Network Appliance* 2,200 280
Sun Microsystems* 21,400 2,498
------
9,974
------
DRUGS -- 9.5%
Alza* 3,900 337
American Home Products 7,200 407
Cardinal Health 3,100 273
Elan ADR* 5,200 285
IDEC Pharmaceuticals* 1,200 210
Immunex* 4,000 174
Medimmune* 3,300 255
Merck 2,800 208
Pfizer 34,300 1,541
Schering-Plough 8,400 391
Watson Pharmaceutical* 6,200 402
------
4,483
------
FINANCIAL SERVICES -- 2.9%
American Express 8,700 529
Goldman Sachs Group 1,800 205
Morgan Stanley Dean Witter 3,200 293
Stilwell Financial* 7,400 322
------
1,349
------
FOOD, BEVERAGE & TOBACCO -- 1.4%
Coca-Cola 7,700 424
Safeway* 5,400 252
------
676
------
MEDICAL PRODUCTS & SERVICES -- 3.9%
Allergan 3,200 270
Baxter International 3,200 255
Johnson & Johnson 4,800 451
Medtronic 7,900 409
Pharmacia 7,400 445
------
1,830
------
MISCELLANEOUS MANUFACTURING -- 9.7%
General Electric 47,000 2,711
Tyco International 35,176 1,825
------
4,536
------
PAPER & PAPER PRODUCTS -- 0.7%
Kimberly-Clark 5,400 301
------
PETROLEUM & FUEL PRODUCTS -- 1.9%
Enron 5,200 456
Halliburton 2,700 132
Schlumberger 3,800 313
------
901
------
RETAIL -- 6.8%
Best Buy* 4,300 274
Home Depot 7,000 371
Kohl's* 4,000 231
Lowe's 4,300 193
RadioShack 20,500 1,325
Wal-Mart Stores 16,600 799
------
3,193
------
SEMI-CONDUCTORS/INSTRUMENTS -- 8.6%
Analog Devices* 8,400 694
Applied Materials* 3,200 190
Broadcom, Cl A* 700 171
Flextronics International* 4,700 386
Intel 34,000 1,413
PMC - Sierra* 600 129
QLogic* 3,000 264
Teradyne* 1,500 53
Texas Instruments 9,000 425
Vitesse Semiconductor* 3,700 329
------
4,054
------
SOFTWARE -- 11.8%
Adobe Systems 4,200 652
America Online* 9,100 489
Ariba* 2,600 373
BEA Systems* 4,300 335
Microsoft* 27,750 1,674
Oracle* 14,000 1,103
Siebel Systems* 1,600 178
VeriSign* 1,800 365
Veritas Software* 2,700 383
------
5,552
------
TELEPHONE & TELECOMMUNICATIONS -- 8.2%
Amdocs* 1,800 112
AT&T 3 --
Corning 3,800 1,129
Exodus Communications* 2,200 109
Juniper Networks* 2,800 613
McLeodUSA, Cl A* 14,300 205
Nextel Communications, Cl A* 8,400 393
Qwest Communications
International* 3 --
SBC Communications 4,000 200
SDL* 2,200 680
Sycamore Networks* 1,000 108
VoiceStream Wireless* 1,500 174
WorldCom* 4,695 143
------
3,866
------
46
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
WHOLESALE -- 0.3%
Costco Wholesale* 3,800 $ 133
-------
Total Common Stocks
(Cost $30,674) 44,064
-------
RIGHTS -- 0.1%
Cendant* 10,000 63
-------
Total Rights
(Cost $0) 63
-------
U.S. TREASURY OBLIGATION -- 1.0%
U.S. Treasury Bill (A) (B)
5.750%, 11/09/00 $ 500 497
-------
Total U.S. Treasury Obligation
(Cost $497) 497
-------
MONEY MARKET -- 0.8%
Evergreen Select Money
Market Fund, Cl I 366,658 367
-------
Total Money Market
(Cost $367) 367
-------
REPURCHASE AGREEMENT -- 4.6%
JP Morgan
6.600%, dated 09/29/00, matures
10/02/00, repurchase price
$2,157,235 (collateralized by
GNMA obligations, total par
value $2,500,773, 6.500%,
11/15/28-12/15/28, total market
value: $2,199,280) 2,156 2,156
-------
Total Repurchase Agreement
(Cost $2,156) 2,156
-------
Total Investments -- 100.2%
(Cost $33,694) 47,147
-------
Other Assets and Liabilities, Net -- (0.2%) (105)
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 3,985,166 outstanding shares of
beneficial interest 21,059
Accumulated net realized gain on investments 12,633
Net unrealized depreciation on futures (103)
Net unrealized appreciation on investments 13,453
-------
Total Net Assets -- 100.0% $47,042
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $11.80
======
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELD SHOWN IS EFFECTIVE YIELD AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EQUITY INCOME FUND
COMMON STOCKS -- 89.1%
AEROSPACE & DEFENSE -- 3.2%
BF Goodrich 8,550 $ 335
Boeing 5,950 375
General Dynamics 1,425 89
Raytheon, Cl B 6,225 177
United Technologies 2,275 158
------
1,134
------
AUTOMOTIVE -- 1.2%
Ford Motor* 7,450 189
General Motors 2,778 181
TRW 1,575 64
------
434
------
BANKS -- 10.6%
Bank of America 10,875 570
Bank of New York 7,825 439
Bank One 5,152 199
Chase Manhattan 7,625 352
Comerica 4,450 260
Fifth Third Bancorp 3,237 174
First Union 5,575 179
Firstar 2,825 63
FleetBoston Financial 8,050 314
Mellon Financial 6,100 283
Washington Mutual 11,275 449
Wells Fargo 11,275 518
------
3,800
------
BEAUTY PRODUCTS -- 2.0%
Avon Products 1,750 72
Gillette 6,050 187
Procter & Gamble 6,825 457
------
716
------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 2.4%
Knight Ridder 5,875 298
McGraw-Hill 2,025 129
Walt Disney 11,500 440
------
867
------
47
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
EQUITY INCOME FUND--CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
BUILDING & CONSTRUCTION SUPPLIES -- 0.1%
Masco 2,700 $ 50
------
CHEMICALS -- 1.9%
Ashland 2,925 99
Dow Chemical 5,025 125
E.I. du Pont de Nemours 5,356 222
Engelhard 6,700 109
Hercules 5,775 82
Rohm & Haas 1,475 43
------
680
------
COMMUNICATIONS EQUIPMENT -- 1.6%
Lucent Technologies 3,475 106
Motorola 15,975 451
------
557
------
COMPUTERS & SERVICES -- 4.2%
Compaq Computer 16,675 460
Electronic Data Systems 4,000 166
Hewlett-Packard 5,075 492
IBM 3,250 366
------
1,484
------
DRUGS -- 1.2%
American Home Products 3,825 216
Merck 2,650 197
------
413
------
ELECTRICAL SERVICES -- 5.3%
Ameren 8,700 364
Constellation Energy Group 10,075 501
Duke Energy 2,100 180
Edison International 3,450 67
Emerson Electric 3,125 209
PG&E 9,250 224
Southern 3,950 128
TXU 5,550 220
------
1,893
------
FINANCIAL SERVICES -- 11.1%
Associates First Capital, Cl A 6,775 257
Bear Stearns 3,200 202
Citigroup 30,466 1,647
Fannie Mae 6,825 488
Household International 6,525 369
Merrill Lynch 4,375 289
Morgan Stanley Dean Witter 6,925 633
T. Rowe Price Associates 1,675 79
------
3,964
------
FOOD, BEVERAGE & TOBACCO -- 3.3%
Albertson's 4,060 85
Coca-Cola 3,875 214
Hershey Foods 1,800 97
Pepsico 7,750 356
Philip Morris 13,675 403
Supervalu 1,700 26
------
1,181
------
GAS/NATURAL GAS -- 2.0%
El Paso Energy 9,000 555
Sempra Energy 7,825 163
------
718
------
HOUSEHOLD PRODUCTS, FURNITURE & FIXTURES -- 0.4%
Illinois Tool Works 1,800 101
Whirlpool 750 29
------
130
------
INSURANCE -- 5.3%
Aetna 2,125 123
American General 3,175 248
Hartford Financial Services 5,250 383
Jefferson-Pilot 1,537 104
Marsh & McLennan 3,075 408
MBIA 4,075 290
St. Paul 6,725 332
------
1,888
------
LEASING & RENTING -- 0.2%
Ryder System 2,875 53
------
LEISURE PRODUCTS -- 0.4%
Mattel 11,725 131
------
MACHINERY -- 0.1%
Ingersoll-Rand 1,500 51
------
MEDICAL PRODUCTS & SERVICES -- 2.7%
Baxter International 5,325 425
Mallinckrodt 1,250 57
Pharmacia 7,999 481
------
963
------
METALS & METAL FABRICATE/HARDWARE -- 0.1%
Worthington Industries 5,300 50
------
METALS & MINING -- 0.9%
Alcan Aluminium 2,450 71
Alcoa 7,650 194
Barrick Gold 4,875 74
------
339
------
MISCELLANEOUS MANUFACTURING -- 2.2%
General Electric 5,100 294
Honeywell International 4,750 169
Minnesota Mining &
Manufacturing 3,425 312
------
775
------
48
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
PAPER & PAPER PRODUCTS -- 1.2%
Kimberly-Clark 3,100 $ 173
Weyerhaeuser 3,800 153
Willamette Industries 3,175 89
-------
415
-------
PETROLEUM & FUEL PRODUCTS -- 14.5%
Baker Hughes 5,675 211
Burlington Resources 5,575 205
Chevron 4,200 358
Conoco, Cl B 4,728 127
Enron 5,900 517
Exxon Mobil 21,848 1,947
Halliburton 4,175 204
Phillips Petroleum 3,475 218
Royal Dutch Petroleum ADR 12,975 778
Schlumberger 1,375 113
Texaco 3,175 167
Unocal 7,550 268
Williams 1,625 69
-------
5,182
-------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.6%
Eastman Kodak 2,570 105
Xerox 6,450 97
-------
202
-------
RAILROADS -- 0.2%
Burlington Northern Santa Fe 2,975 64
-------
REAL ESTATE INVESTMENT TRUSTS -- 2.1%
Apartment Investment &
Management, Cl A 3,750 173
Kimco Realty 4,325 183
Post Properties 4,739 206
Simon Property Group 8,725 204
-------
766
-------
RETAIL -- 1.1%
JC Penney 3,750 44
May Department Stores 1,200 25
McDonald's 8,075 244
Sears Roebuck 2,400 78
-------
391
-------
SOFTWARE -- 0.1%
Autodesk 1,900 48
-------
TELEPHONE & TELECOMMUNICATIONS -- 6.8%
Alltel 3,025 158
AT&T 17,387 511
Qwest Communications
International* 9,003 433
SBC Communications 8,124 406
Verizon Communications* 19,084 924
-------
2,432
-------
WHOLESALE -- 0.1%
WW Grainger 1,975 52
-------
Total Common Stocks
(Cost $23,439) 31,823
-------
U.S. TREASURY OBLIGATION -- 1.3%
U.S. Treasury Bill (A) (B)
5.981%, 11/09/00 $ 450 447
-------
Total U.S. Treasury Obligation
(Cost $447) 447
-------
REPURCHASE AGREEMENTS -- 9.9%
JP Morgan
6.430%, dated 09/29/00, matures
10/02/00, repurchase price
$3,537,032 (collateralized by
GNMA, total par value
$3,785,363, 7.000%, 09/20/29,
total market value: $3,605,881) 3,535 3,535
-------
Total Repurchase Agreements
(Cost $3,535) 3,535
-------
Total Investments -- 100.3%
(Cost $27,421) 35,805
-------
Other Assets and Liabilities, Net -- (0.3%) (107)
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 3,838,373 outstanding shares of
beneficial interest 21,406
Undistributed net investment income 174
Accumulated net realized gain on investments 5,788
Net unrealized depreciation on futures (54)
Net unrealized appreciation on investments 8,384
-------
Total Net Assets -- 100.0% $35,698
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $9.30
=======
*NON-INCOME PRODUCING SECURITY
(A) SECURITY PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(B) YIELD SHOWN IS EFFECTIVE YIELD AT TIME OF PURCHASE.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
49
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
BALANCED FUND
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 10.5%
U.S. Treasury Notes
6.750%, 05/15/05 $ 555 $ 575
6.500%, 03/31/02 400 402
6.250%, 06/30/02 100 100
6.250%, 02/15/03 3,000 3,018
------
Total U.S. Treasury Obligations
(Cost $4,072) 4,095
------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.2%
FHLMC
5.750%, 03/15/09 335 312
FNMA
7.250%, 01/15/10 1,890 1,949
5.800%, 12/10/03 100 98
FNMA, MTN
6.400%, 09/27/05 50 50
------
Total U.S. Government Agency Obligations
(Cost $2,367) 2,409
------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATION -- 0.3%
FHLMC
8.000%, 12/01/02 101 102
------
Total U.S. Government Mortgage-
Backed Obligation
(Cost $101) 102
------
CORPORATE OBLIGATIONS -- 21.3%
BANKS -- 7.6%
Bank One
7.625%, 08/01/05 1,000 1,020
Chase Manhattan
7.875%, 06/15/10 600 625
First Union
7.100%, 08/15/04 500 497
FleetBoston Financial
7.250%, 09/15/05 400 403
Wachovia
7.450%, 07/15/05 400 408
------
2,953
------
FINANCIAL SERVICES -- 7.7%
EOP Operating
6.375%, 01/15/02 600 592
Ford Credit
6.125%, 04/28/03 280 274
General Motors Acceptance
7.500%, 07/15/05 500 507
Household Finance
8.000%, 07/15/10 350 361
Merrill Lynch
6.000%, 01/15/01 100 100
Morgan Stanley Dean Witter,
Ser C, MTN
7.375%, 04/15/03 350 354
PaineWebber Group, Ser C, MTN
6.020%, 04/22/02 400 395
PDVSA Finance, Ser 1999-F
8.750%, 02/15/04 438 438
------
3,021
------
MISCELLANEOUS MANUFACTURING -- 2.8%
Repsol International Finance
7.450%, 07/15/05 600 607
Tyco International Group (A)
6.875%, 09/05/02 500 499
------
1,106
------
TELEPHONE & TELECOMMUNICATIONS -- 2.2%
Orange
8.750%, 06/01/06 400 418
Telefonica Europe
7.350%, 09/15/05 420 422
------
840
------
UTILITIES -- 1.0%
Dominion Resources, Ser B
7.625%, 07/15/05 400 406
------
Total Corporate Obligations
(Cost $8,212) 8,326
------
CONVERTIBLE BOND -- 0.2%
Cox Communication, PRIZES,
CV to 1.1748 Shares* 1,200 88
------
Total Convertible Bond
(Cost $106) 88
------
COMMON STOCKS -- 60.3%
AUTOMOTIVE -- 0.4%
Harley-Davidson 3,400 163
------
BEAUTY PRODUCTS -- 0.2%
Colgate-Palmolive 1,700 80
------
BIOTECHNOLOGY -- 0.3%
Amgen* 1,800 126
------
50
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.5%
AT&T - Liberty Media, Cl A* 4,600 $ 83
Time Warner 2,400 188
Viacom, Cl B* 5,189 304
------
575
------
COMMERCIAL SERVICES -- 0.4%
Paychex 2,800 147
------
COMMUNICATIONS EQUIPMENT -- 2.4%
CIENA* 4,000 491
Lucent Technologies 10,414 318
Nokia Oyj ADR 2,800 111
------
920
------
COMPUTERS & SERVICES -- 11.8%
Apple Computer* 4,800 124
Automatic Data Processing 2,500 167
Brocade Communications System* 500 118
Cisco Systems* 24,600 1,359
Dell Computer* 4,000 123
EMC-Mass* 10,900 1,080
Hewlett-Packard 1,100 107
IBM 4,000 450
Network Appliance* 1,200 153
Sun Microsystems* 8,100 946
------
4,627
------
DRUGS -- 6.8%
Alza* 4,200 363
American Home Products 4,200 238
Cardinal Health 1,700 150
Elan ADR* 2,800 153
IDEC Pharmaceuticals* 600 105
Immunex* 4,000 174
Medimmune* 1,800 139
Merck 1,900 141
Pfizer 17,325 779
Schering-Plough 4,500 209
Watson Pharmaceutical* 3,100 201
------
2,652
------
FINANCIAL SERVICES -- 2.0%
American Express 4,600 279
Charles Schwab 2,200 78
Goldman Sachs Group 1,000 114
Morgan Stanley Dean Witter 1,700 155
Stilwell Financial* 4,000 174
------
800
------
FOOD, BEVERAGE & TOBACCO -- 1.2%
Coca-Cola 4,000 220
Pepsico 2,200 101
Safeway* 3,000 140
------
461
------
MEDICAL PRODUCTS & SERVICES -- 2.8%
Allergan 2,600 220
Baxter International 2,400 192
Johnson & Johnson 2,900 272
Medtronic 2,500 130
Pharmacia 4,800 289
------
1,103
------
MISCELLANEOUS MANUFACTURING -- 4.6%
General Electric 31,000 1,788
------
PAPER & PAPER PRODUCTS -- 0.4%
Kimberly-Clark 3,000 167
------
PETROLEUM & FUEL PRODUCTS -- 1.4%
Enron 2,800 245
Halliburton 2,700 132
Schlumberger 2,100 173
------
550
------
RETAIL -- 3.3%
Best Buy* 2,400 153
CVS 1,800 83
Dollar Tree Stores* 1,800 73
Home Depot 4,000 212
Kohl's* 2,200 127
Lowe's 2,400 108
RadioShack 2,000 129
Wal-Mart Stores 8,700 419
------
1,304
------
SEMI-CONDUCTORS/INSTRUMENTS -- 7.2%
Analog Devices* 5,100 421
Applied Materials* 1,600 95
Applied Micro Circuits* 600 124
Broadcom, Cl A* 800 195
Flextronics International* 2,500 205
Intel 23,200 964
PMC - Sierra* 700 151
QLogic* 1,700 150
Teradyne* 1,300 45
Texas Instruments 5,700 269
Vitesse Semiconductor* 2,000 178
------
2,797
------
SOFTWARE -- 8.1%
Adobe Systems 2,300 357
America Online* 8,800 473
Ariba* 1,400 201
BEA Systems* 2,300 179
51
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
BALANCED FUND--CONCLUDED
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Microsoft* 12,300 $ 742
Oracle* 7,900 622
Siebel Systems* 1,800 200
VeriSign* 1,000 203
Veritas Software* 1,400 199
-------
3,176
-------
TELEPHONE & TELECOMMUNICATIONS -- 5.5%
Amdocs* 900 56
Corning 2,100 624
Exodus Communications* 1,200 59
Juniper Networks* 1,500 328
McLeod USA, Cl A* 7,200 103
Nextel Communications, Cl A* 4,600 215
Qwest Communications
International* 3 --
SBC Communications 2,200 110
SDL* 1,100 340
Sycamore Networks* 800 86
VoiceStream Wireless* 800 93
WorldCom* 4,527 137
-------
2,151
-------
Total Common Stocks
(Cost $17,754) 23,587
-------
RIGHTS -- 0.0%
Cendant* 3,000 19
-------
Total Rights
(Cost $0) 19
-------
MONEY MARKET -- 1.2%
Evergreen Select Money
Market Fund, Cl I 462,696 463
-------
Total Money Market
(Cost $463) 463
-------
Total Investments -- 100.0%
(Cost $33,075) 39,089
-------
Other Assets and Liabilities, Net -- 0.0% (6)
-------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 3,235,715 outstanding shares of
beneficial interest $29,903
Undistributed net investment income 173
Accumulated net realized gain on investments 2,993
Net unrealized appreciation on investments 6,014
-------
Total Net Assets -- 100.0% $39,083
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $12.08
=======
(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 GUIDLINES ESTABLISHED BY THE BOARD OF DIRECTORS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
CV -- CONVERTIBLE SECURITY
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
MTN -- MEDIUM TERM NOTE
SER -- SERIES
PRIZES -- PARTICIPATING REDEEMABLE INDEXED ZERO-PREMIUM EXCHANGEABLE SECURITIES
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
CORE FIXED INCOME FUND
U.S. TREASURY OBLIGATIONS -- 18.9%
U.S. Treasury Bonds
9.875%, 11/15/15 $ 59,875 $ 81,860
9.250%, 02/15/16 149,040 195,242
8.500%, 02/15/20 8,130 10,297
8.000%, 11/15/21 93,050 113,666
6.500%, 02/15/10 47,190 49,137
6.125%, 08/15/29 2,535 2,589
5.750%, 08/15/10 1,080 1,076
U.S. Treasury Bonds (E)
4.250%, 01/15/10 9,992 10,207
3.875%, 04/15/29 46,542 46,236
3.625%, 04/15/28 43,789 41,613
U.S. Treasury Notes
11.875%, 11/15/03 410 478
5.625%, 05/15/08 2,240 2,197
U.S. Treasury Note (E)
3.625%, 01/15/08 32,805 32,047
U.S. Treasury STRIPS
6.309%, 11/15/21 8,885 2,482
--------
Total U.S. Treasury Obligations
(Cost $574,887) 589,127
--------
52
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.1%
FHLB Discount Note
13.388%, 11/09/00 $ 600 $ 596
FHLMC
6.625%, 09/15/09 35,700 35,254
FHLMC Discount Note
6.610%, 11/09/00 900 894
6.400%, 11/07/96 900 892
FHLMC REMIC, Ser 1, Cl Z
9.300%, 04/15/19 1,531 1,576
FHLMC REMIC, Ser 1005, Cl D
6.500%, 10/15/05 403 400
FHLMC REMIC, Ser 1563, Cl B (A)
8.850%, 08/15/08 279 276
FNMA
7.250%, 05/15/30 10,530 11,043
7.125%, 03/15/07 35,800 36,703
7.000%, 07/15/05 171,000 173,969
5.750%, 02/15/08 700 661
FNMA (G)
6.590%, 11/09/00 2,000 1,986
FNMA CMO STRIPS, Ser 269, Cl 1
9.000%, 08/01/22 434 454
FNMA CMO, Ser 1990-58, Cl J
7.000%, 05/25/20 4,507 4,457
FNMA CMO, Ser 1997-5, Cl VG
7.050%, 06/25/04 3,270 3,262
FNMA CMO, Ser 69, Cl Z
6.000%, 01/25/22 1,396 1,329
FNMA CMO, Ser 9, Cl C PO
0.000%, 08/25/23 73 67
FNMA REMIC, Ser 1990-106, Cl J
8.500%, 09/25/20 405 417
FNMA REMIC, Ser 1991-156, Cl A
7.500%, 10/25/21 2,011 2,026
FNMA REMIC, Ser 93, Cl G
5.500%, 08/25/20 2,054 1,933
TVA
7.125%, 05/01/30 4,950 5,058
----------
Total U.S. Government Agency Obligations
(Cost $280,339) 283,253
----------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 33.9%
FHLMC
9.000%, 12/01/05 87 91
8.000%, 01/01/25 to 08/01/26 3,318 3,367
7.500%, 06/01/10 to 09/01/30 32,691 32,660
7.000%, 07/15/05 to 01/01/30 27,953 27,623
6.875%, 09/15/10 1,970 1,983
6.500%, 08/01/08 to 06/01/30 167,228 160,809
6.000%, 12/01/12 to 06/01/29 71,849 68,652
5.500%, 02/01/13 to 08/01/14 28,698 27,109
FHLMC TBA
7.500%, 10/01/30 10,000 9,984
6.500%, 10/01/30 11,000 10,567
6.000%, 10/01/15 2,000 1,926
FNMA
9.000%, 07/01/07 61 64
8.500%, 09/01/13 to 10/01/28 5,360 5,487
8.096%, 07/01/28 5,877 6,043
8.000%, 02/01/13 to 12/01/29 6,570 6,677
7.500%, 09/01/13 to 08/01/30 47,150 47,062
7.000%, 09/01/07 to 03/01/30 23,966 23,616
6.500%, 02/01/12 to 11/01/29 48,309 47,005
6.000%, 10/01/13 to 12/01/29 84,492 79,559
5.500%, 09/01/13 to 09/01/14 31,786 29,963
FNMA TBA
8.000%, 10/01/15 to 10/01/30 70,800 71,775
7.500%, 10/01/30 to 10/16/30 61,600 61,451
7.000%, 10/01/30 14,700 14,397
6.500%, 10/01/30 12,700 11,755
6.000%, 09/01/15 5,399 5,159
5.500%, 10/01/14 6,100 5,745
GNMA
9.500%, 01/15/19 302 314
8.500%, 11/15/20 to 12/15/21 310 319
8.000%, 05/15/25 to 08/15/30 8,475 8,634
7.500%, 09/15/06 to 01/15/30 53,962 54,137
7.000%, 12/15/22 to 12/15/28 62,337 61,423
6.500%, 07/15/14 to 01/15/30 91,033 87,869
6.000%, 03/15/14 to 06/15/29 23,263 22,079
GNMA TBA
8.000%, 10/01/30 34,400 35,002
7.500%, 10/01/30 12,700 12,732
7.000%, 10/01/30 10,600 10,438
----------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $1,049,689) 1,053,476
----------
CORPORATE OBLIGATIONS -- 26.4%
AEROSPACE & DEFENSE -- 0.9%
Boeing
7.875%, 04/15/43 8,000 8,100
British Aerospace Financial (B)
7.500%, 07/01/27 13,000 12,090
Lockheed Martin
8.500%, 12/01/29 4,530 4,790
Raytheon
6.750%, 08/15/07 5,000 4,775
---------
29,755
---------
AIR TRANSPORTATION -- 1.5%
America West Airlines, Ser 1999-1
7.930%, 01/02/19 11,723 11,803
53
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
CORE FIXED INCOME FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
American Airlines, Ser 94, Cl A4
9.780%, 11/26/11 $ 4,028 $ 4,389
Atlas Air, Ser 00-1
8.707%, 01/02/20 4,900 4,979
Continental Airlines, Ser 974, Cl C
6.800%, 07/02/07 8,872 8,565
Continental Airlines, Ser 99-2
7.730%, 03/15/11 3,110 3,054
Federal Express, Ser 98-1, Cl B
6.845%, 01/15/19 1,396 1,294
Federal Express, Ser A3
8.400%, 03/23/10 600 602
Northwest Airlines, Ser 1999-1, Cl C
8.130%, 02/01/14 2,354 2,276
Northwest Airlines, Ser 1999-3, Cl C
9.152%, 04/01/10 2,500 2,527
United Air Lines, Ser 96-A, Cl 1
7.270%, 01/30/13 1,938 1,841
United Airlines, Ser A-3
8.390%, 01/21/11 1,798 1,781
US Airways, Ser 98-1
7.350%, 01/30/18 1,983 1,813
US Airways, Cl B
7.500%, 04/15/08 2,827 2,638
--------
47,562
--------
AUTOMOTIVE -- 0.4%
Ford Motor
9.215%, 09/15/21 1,000 1,095
7.700%, 05/15/97 4,200 3,790
7.450%, 07/16/31 300 279
7.400%, 11/01/46 300 265
General Motors
8.875%, 05/15/03 2,400 2,508
Visteon
8.250%, 08/01/10 5,600 5,614
--------
13,551
--------
BANKS -- 3.6%
ABN-AMRO Bank
7.250%, 05/31/05 8,000 8,050
Allfirst Financial
7.200%, 07/01/07 1,800 1,762
Andina de Fomento
8.875%, 06/01/05 5,700 5,949
Banco Santander-Chile MBIA
6.500%, 11/01/05 4,225 4,082
Bank of America
10.200%, 07/15/15 7,440 8,761
7.125%, 09/15/06 5,000 4,998
9.200%, 05/15/03 1,350 1,421
8.125%, 02/01/02 1,043 1,057
Bank of Montreal-Chicago
6.100%, 09/15/05 2,230 2,124
Bank of Oklahoma
7.125%, 08/15/07 10,500 9,870
Bank of Tokyo-Mitsubishi
8.400%, 04/15/10 5,720 5,819
Bankers Trust
7.500%, 11/15/15 1,000 954
Barclays North America Capital
9.750%, 05/15/21 4,230 4,516
Citicorp
7.625%, 05/01/05 2,000 2,047
Compass Bank
6.450%, 05/01/09 4,400 4,015
Dresdner Bank-New York
7.250%, 09/15/15 2,700 2,514
First National Bank Omaha
7.320%, 12/01/10 3,250 3,063
First Union
8.125%, 06/24/02 1,100 1,117
First USA Bank
7.000%, 08/20/01 1,175 1,176
HSBC Bank
6.950%, 03/15/11 3,700 3,501
Key Bank
7.125%, 08/15/06 1,000 991
Keycorp
6.750%, 03/15/06 2,500 2,428
Korea Development Bank
7.125%, 09/17/01 1,300 1,298
National Bank of Hungary
8.875%, 11/01/13 1,550 1,649
National Westminster Bank
9.375%, 11/15/03 4,568 4,859
Royal Bank of Scotland Group, Ser 2
8.817%, 03/31/49 6,500 6,776
Santander Financial Issuances
7.750%, 05/15/05 3,810 3,872
7.250%, 11/01/15 3,600 3,348
Swiss Bank - New York
7.000%, 10/15/15 1,700 1,583
US Bank
8.350%, 11/01/04 1,000 1,039
Washington Mutual
7.500%, 08/15/06 1,500 1,502
Westdeutsche Landesbank
6.050%, 01/15/09 6,750 6,168
--------
112,309
--------
BROADCASTING, TELEVISION & RADIO -- 0.8%
Comcast
8.875%, 04/01/07 7,765 8,144
54
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Continental Cablevision
9.500%, 08/01/13 $ 8,795 $ 9,817
9.000%, 09/01/08 2,900 3,099
Cox Communications
7.875%, 08/15/09 750 760
TCI Communications
7.875%, 02/15/26 3,940 3,827
--------
25,647
--------
CHEMICALS -- 0.3%
Dow Chemical
7.375%, 11/01/29 4,840 4,665
Rohm & Haas
7.850%, 07/15/29 6,250 6,156
--------
10,821
--------
COMMERCIAL SERVICES -- 0.1%
Cendant
7.750%, 12/01/03 5,020 4,913
--------
COMPUTERS & SERVICES -- 0.4%
Electronic Data Systems
7.450%, 10/15/29 5,000 4,850
IBM
7.125%, 12/01/96 1,000 936
7.000%, 10/30/45 5,550 5,141
--------
10,927
--------
DIVERSIFIED MANUFACTURING -- 0.4%
Norsk Hydro A/S
9.000%, 04/15/12 1,725 1,893
Parker-Hannifin
9.750%, 02/15/21 3,500 3,669
Toll Road Investment Part II (B) (G)
6.635%, 02/15/06 10,300 6,979
--------
12,541
--------
ELECTRIC GENERAL UTILITIES SERVICES -- 2.4%
Alabama Power
9.000%, 12/01/24 1,350 1,402
Arizona Public Services
8.000%, 12/30/15 4,500 4,410
CE Generation LLC
7.416%, 12/15/18 4,935 4,616
Commonwealth Edison, Ser 75
9.875%, 06/15/20 850 928
Conectiv, Ser A MTN
6.730%, 06/01/06 7,550 7,448
FPL Group Capital
7.375%, 06/01/09 5,000 4,925
Hydro-Quebec, Ser FU
11.750%, 02/01/12 1,300 1,734
Hydro-Quebec, Ser GW
9.750%, 01/15/18 3,850 4,033
Hydro-Quebec, Ser HQ
9.500%, 11/15/30 1,930 2,350
Hydro-Quebec, Ser HY
8.400%, 01/15/22 2,320 2,511
Jersey Central Power & Light
6.375%, 05/01/03 2,441 2,399
Kansas City Power & Light MTN (A)
6.912%, 03/20/02 12,000 12,001
Korea Electric Power
7.750%, 04/01/13 2,045 1,899
6.750%, 08/01/27 1,075 1,035
Midwest Generation LLC (B)
8.300%, 07/02/09 3,000 2,959
National Rural Utilities, Ser V
9.000%, 09/01/21 3,950 4,113
Potomac Electric Power
9.000%, 06/01/21 1,000 1,039
PSI Energy
7.850%, 10/15/07 6,300 6,308
System Energy Resources
7.430%, 01/15/11 4,043 3,921
Utilicorp United
7.000%, 07/15/04 3,250 3,185
--------
73,216
--------
ENVIRONMENTAL SERVICES -- 0.1%
Waste Management
7.100%, 08/01/26 3,000 2,899
--------
FINANCIAL SERVICES -- 5.6%
Aon
8.650%, 05/15/05 1,675 1,761
Bear Stearns
7.800%, 08/15/07 2,800 2,835
6.250%, 07/15/05 960 919
CIT Holdings, Ser A
7.125%, 12/17/03 4,110 4,105
CIT Holdings, Ser B
6.875%, 02/16/05 10,655 10,520
Countrywide Capital I
8.000%, 12/15/26 1,750 1,525
Donaldson, Lufkin & Jenrette
6.875%, 11/01/05 1,750 1,719
Donaldson, Lufkin & Jenrette MTN
6.170%, 07/15/03 2,500 2,441
5.625%, 02/15/16 1,835 1,807
Dryden Investor Trust (B)
7.157%, 07/23/08 9,680 9,317
Finova Capital, Ser C MTN
6.560%, 11/15/02 1,100 874
First Union
8.050%, 04/15/02 1,700 1,724
Ford Capital
9.875%, 05/15/02 850 887
55
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
CORE FIXED INCOME FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Ford Motor Credit
7.875%, 06/15/10 $ 4,500 $ 4,559
7.600%, 08/01/05 6,000 6,056
General Motors Acceptance
5.950%, 03/14/03 1,820 1,778
5.850%, 01/14/09 9,630 8,643
General Motors Acceptance (G)
7.125%, 06/15/15 10,000 3,225
Goldman Sachs Group MTN
7.800%, 01/28/10 7,000 7,131
6.250%, 02/01/03 4,700 4,602
Heller Financial (A)
6.508%, 06/25/01 3,000 3,001
Heller Financial, Ser I MTN (A)
6.849%, 04/02/01 7,000 6,998
Heller Financial, Ser J MTN (A)
6.840%, 03/13/02 5,000 5,000
Household Finance
8.000%, 05/09/05 5,000 5,162
Household Netherlands
6.200%, 12/01/03 4,450 4,333
John Deere Capital
6.000%, 02/15/09 3,100 2,805
JP Morgan MTN, Ser A
6.000%, 01/15/09 1,790 1,647
JPM Capital Trust II
7.950%, 02/01/27 700 647
Lehman Brothers
9.875%, 10/15/00 3,225 3,228
7.250%, 04/15/03 5,149 5,174
6.125%, 02/01/01 3,325 3,315
Lehman Brothers Holdings
8.750%, 05/15/02 2,405 2,467
8.750%, 03/15/05 1,000 1,052
8.250%, 06/15/07 1,500 1,553
Lehman Brothers Holdings,
Ser F MTN
7.500%, 09/01/06 3,025 3,014
Merrill Lynch
7.430%, 09/01/22 1,802 1,763
6.875%, 11/15/18 5,200 4,751
PaineWebber Group
8.875%, 03/15/05 1,300 1,384
6.750%, 02/01/06 750 732
6.500%, 11/01/05 2,775 2,702
6.450%, 12/01/03 1,500 1,472
PaineWebber Group, Ser C MTN
7.390%, 10/16/17 5,405 5,060
7.115%, 01/27/04 2,000 2,005
PaineWebber Group, Ser D MTN
6.930%, 08/15/03 1,200 1,198
Principal Financial Group (B)
8.200%, 08/15/09 9,000 9,042
Salomon Smith Barney Holding
6.750%, 02/15/03 5,550 5,529
Transamerica Finance, Ser E MTN
6.125%, 11/01/01 5,100 5,055
Washington Mutual Financial
8.250%, 06/15/05 4,700 4,864
Wharf Capital International
8.875%, 11/01/04 975 1,008
Wharf International Finance
7.625%, 03/13/07 1,300 1,230
--------
173,619
--------
FOOD, BEVERAGE & TOBACCO -- 1.5%
Diageo Capital PLC
6.625%, 06/24/04 3,000 2,966
Earthgrains
8.500%, 08/01/05 4,300 4,278
J Seagram & Sons
7.600%, 12/15/28 2,800 2,765
7.500%, 12/15/18 2,550 2,496
6.800%, 12/15/08 1,600 1,548
6.400%, 12/15/03 3,310 3,252
Nabisco
7.550%, 06/15/15 2,000 1,830
Nabisco (A)
6.375%, 02/01/35 5,000 4,669
Pepsi Bottling Group, Ser B
7.000%, 03/01/29 3,950 3,619
Philip Morris
7.750%, 01/15/27 8,490 7,567
Philip Morris Capital
7.500%, 07/16/09 1,400 1,302
RJ Reynolds Tobacco Holdings, Ser B
7.750%, 05/15/06 7,100 6,417
RJ Reynolds Tobacco, Ser B
7.875%, 05/15/09 4,680 4,101
--------
46,810
--------
INDEPENDENT POWER PRODUCER -- 0.2%
NRG Energy
7.625%, 02/01/06 5,750 5,657
7.500%, 06/15/07 2,000 1,932
--------
7,589
--------
INSURANCE -- 1.4%
Allstate
7.500%, 06/15/13 1,000 987
American General
7.125%, 02/15/04 3,000 2,989
Associated P&C Holdings
6.750%, 07/15/03 9,205 8,963
AXA Financial
9.000%, 12/15/04 4,250 4,500
56
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Conseco
8.750%, 02/09/04 $ 8,189 $ 5,896
Hartford Financial Services Group
7.750%, 06/15/05 2,000 2,050
Lincoln National
9.125%, 10/01/24 4,200 4,505
Loew's
7.625%, 06/01/23 2,550 2,317
7.000%, 10/15/23 850 713
Safeco Capital Trust
8.072%, 07/15/37 3,120 2,648
USF&G
7.125%, 06/01/05 1,000 984
Zurich Capital Trust I (B)
8.376%, 06/01/37 8,700 8,276
-------
44,828
-------
MACHINERY -- 0.2%
Caterpillar
7.375%, 03/01/97 6,100 5,513
-------
MEDICAL-HMO SERVICES -- 0.2%
United Healthcare Group
6.600%, 12/01/03 6,885 6,658
-------
MULTI-MEDIA -- 0.9%
News America
6.750%, 01/09/38 1,120 1,030
News America Holdings
10.125%, 10/15/12 2,325 2,523
8.150%, 10/17/36 5,500 5,101
7.900%, 12/01/95 3,380 3,017
7.750%, 12/01/45 2,550 2,238
Time Warner
9.125%, 01/15/13 3,600 4,005
6.625%, 05/15/29 3,000 2,546
Walt Disney MTN
5.620%, 12/01/08 7,280 6,406
-------
26,866
-------
NON-HAZARDOUS WASTE DISPOSAL -- 0.3%
Waste Management
7.125%, 12/15/17 9,980 8,558
-------
OIL DISTRIBUTOR -- 0.2%
Phillips Petroleum
9.180%, 09/15/21 2,800 2,940
YPF Sociedad Anonima, Ser A MTN
7.750%, 08/27/07 5,000 4,750
-------
7,690
-------
PAPER & PAPER PRODUCTS -- 0.5%
Federal Paper Board
8.875%, 07/01/12 1,700 1,800
Georgia-Pacific
9.875%, 11/01/21 4,975 5,241
9.500%, 12/01/11 1,500 1,612
International Paper (B)
8.125%, 07/08/05 2,000 2,063
Pactiv
8.000%, 04/15/07 3,000 2,853
7.950%, 12/15/25 825 677
Weyerhaeuser
7.250%, 07/01/13 1,875 1,786
-------
16,032
-------
PIPELINES -- 0.5%
CMS Panhandle Holding Pipeline
7.000%, 07/15/29 2,300 1,949
Dynegy
7.450%, 07/15/06 7,150 7,143
KN Energy
9.625%, 08/01/21 1,900 2,104
Oneok
7.750%, 08/15/06 1,000 1,011
Yosemite Security Trust I (B)
8.250%, 11/15/04 4,000 4,055
-------
16,262
-------
RAILROAD TRANSPORTATION SERVICES -- 0.2%
Consolidated Rail
7.875%, 05/15/43 670 631
CSX
7.950%, 05/01/27 600 580
Union Pacific
7.125%, 02/01/28 5,785 5,156
-------
6,367
-------
REAL ESTATE INVESTMENT TRUST -- 0.2%
Security Capital Group, Ser A MTN
7.750%, 11/15/03 4,850 4,802
-------
REGIONAL AGENCIES -- 0.2%
Newfoundland
10.000%, 12/01/20 850 1,059
Quebec Province
7.500%, 09/15/29 1,769 1,780
Republic of Korea
8.875%, 04/15/08 3,000 3,143
-------
5,982
-------
RETAIL -- 1.3%
BAA
7.000%, 01/15/04 6,825 6,586
Dillards
6.875%, 06/01/05 2,500 1,980
Dollar General (B)
8.625%, 06/15/10 8,000 8,040
57
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
CORE FIXED INCOME FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
JC Penney
9.750%, 06/15/21 $ 2,550 $ 1,970
8.250%, 08/15/22 1,500 1,046
7.600%, 04/01/07 3,590 2,921
6.900%, 08/15/26 3,000 2,694
May Department Stores
9.875%, 06/15/21 3,550 3,746
Target
9.250%, 03/01/06 3,175 3,182
8.600%, 01/15/12 941 1,016
Wal-Mart Stores
6.875%, 08/10/09 6,600 6,518
--------
39,699
--------
SPECIAL PURPOSE ENTITY -- 0.6%
Air 2 US (B)
8.627%, 10/01/20 1,500 1,539
8.027%, 10/01/19 3,000 3,047
Marlin Water Trust/Capital (B)
7.090%, 12/15/01 2,500 2,484
Osprey Trust/Osprey I (B)
8.310%, 01/15/03 6,000 6,075
7.797%, 01/15/03 4,000 4,000
--------
17,145
--------
STEEL & STEEL WORKS -- 0.1%
Pohang Iron & Steel
7.375%, 05/15/05 585 570
7.125%, 07/15/04 1,250 1,217
--------
1,787
--------
TELEPHONE & TELECOMMUNICATION -- 1.4%
AT&T
7.125%, 02/15/28 9,230 8,076
AT&T Canada (D)
6.952%, 06/15/08 4,700 3,831
Deutsche Telekom
8.250%, 06/15/30 5,175 5,317
Global Crossing
9.000%, 08/15/21 1,000 986
Koninklijke KPN (B)
8.375%, 10/01/30 1,970 1,965
New York Telephone
9.375%, 07/15/31 2,900 3,041
Qwest
8.875%, 06/01/31 2,000 2,010
Sprint Capital MTN (A)
7.010%, 06/10/02 10,000 10,000
TCI Communications
6.375%, 05/01/03 3,040 2,994
Telefonica Europe
8.250%, 09/15/30 4,400 4,515
--------
42,735
--------
Total Corporate Obligations
(Cost $846,851) 823,083
--------
ASSET-BACKED SECURITIES -- 7.6%
CREDIT CARDS -- 1.5%
Banc One Credit Card Master Trust
7.340%, 10/25/26 584 587
Chemical Master Credit Card Trust,
Ser 1995-2 A
6.230%, 06/15/03 10,175 10,173
Citibank Credit Card Issuance
Trust, Ser 2000-A1, Cl A1
6.900%, 10/17/07 8,300 8,286
Citibank Credit Card Master Trust,
Ser 1997-6 A PO (G)
4.436%, 08/15/06 1,133 870
Credit Card Merchant Voucher
Receipt, Ser 1996-A A1
6.250%, 12/01/03 3,030 2,993
Discover Card Master Trust I,
Ser 1993-3 A
6.200%, 05/16/06 6,080 5,985
MBNA Master Credit Card Trust,
Ser 1999-M, Cl A
6.600%, 04/16/07 5,000 4,975
Providian Gateway Master Trust,
Ser 2000-C, Cl A (A)
6.840%, 03/15/07 10,000 10,000
Sears Credit Account Master Trust,
Ser 1995-2 A
8.100%, 06/15/04 458 459
Sears Credit Account Master Trust,
Ser 1995-3 A
7.000%, 10/15/04 567 567
Sears Credit Account Master Trust,
Ser 1995-5 A
6.050%, 01/15/08 2,135 2,103
--------
46,998
--------
MORTGAGE RELATED SECURITIES -- 6.1%
Advanta Mortgage Loan Trust,
Ser 1993-4 A1
5.500%, 03/25/10 1,336 1,297
Asset Securitization, Ser 1996-D2,
Cl A1
6.920%, 02/14/29 10,012 9,914
Capco America Securitization,
Ser 1998-D7 A1B
6.260%, 09/15/08 530 502
Chase Commercial Mortgage
Securities, Ser 1997-1 A2
7.370%, 02/19/07 107 109
Chase Commercial Mortgage
Securities, Ser 1998-2 A1
6.025%, 08/18/07 9,603 9,287
58
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Cityscape Home Equity Loan Trust,
Ser 1997-C, Cl A4
7.000%, 07/25/28 $ 2,288 $ 2,273
Contimortgage Home Equity Loan,
Ser 1997-2 A9
7.090%, 04/15/28 3,218 3,209
Contimortgage Home Equity Loan,
Ser 1997-5 A5
6.630%, 12/15/20 2,500 2,468
Contimortgage Home Equity Loan,
Ser 1998-1 A6
6.580%, 12/15/18 1,015 1,002
Delta Funding Home Equity Loan,
Ser 1997-1, Cl A6
7.210%, 04/25/29 2,386 2,381
Delta Funding Home Equity Loan,
Ser 1997-3 A6F
6.860%, 10/25/28 4,000 3,949
Delta Funding Home Equity Loan,
Ser 1997-4 A5F
6.670%, 01/25/28 5,500 5,395
Delta Funding Home Equity Loan,
Ser 1999-3 A1A
5.869%, 09/15/29 16,051 16,108
Deutsche Mortgage & Asset
Receiving, Ser 1998-C1 A1
6.220%, 09/15/07 1,738 1,696
Donaldson, Lufkin & Jenrette
Commercial Mortgage,
Ser 1998-CF2 A1A
5.880%, 11/12/31 5,493 5,262
Enterprise Mortgage Acceptance,
Ser 1999-1, IO (F)
1.240%, 10/12/23 1,541 97
Equivantage Home Equity Loan
Trust, Ser 1997-2 A3
7.275%, 07/25/28 1,990 1,988
FFCA Secured Lending,
Ser 1997-1, IO (F)
1.083%, 07/18/15 20,851 805
FFCA Secured Lending,
Ser 1999-1A, Cl IO (A)
1.790%, 11/18/11 23,897 1,673
First Union-Lehman Brothers,
1997-C2, IO
1.530%, 11/18/27 4,419 314
Fund America Investors,
Ser 1993-A A2
7.578%, 06/25/23 2,858 2,862
GE Capital Mortgage Services,
Ser 1994-7 A15
5.000%, 02/25/09 1,170 1,022
GE Capital Mortgage Services,
Ser 1997-HE3, Cl A6
6.720%, 10/25/27 7,400 7,312
GMAC Commercial Mortgage
Securities, Ser 1998-C2 X IO
0.823%, 08/15/23 25,472 924
GMAC Commercial Mortgage
Securities, Ser 1999-FL1 A
6.981%, 10/15/09 11,114 11,116
Government Loan Trust, Ser 1-B
8.500%, 04/01/06 5,941 6,357
Green Tree Financial,
Ser 1994-2, Cl A4
7.900%, 05/15/19 1,612 1,628
Green Tree Home Equity Loan Trust,
Ser 1997-B A6
7.120%, 04/15/27 963 964
GS Mortgage Securities,
Ser 1998-1 A
8.000%, 08/19/19 1,073 1,115
GS Mortgage Securities,
Ser 1998-2 A
7.750%, 05/19/27 1,032 1,038
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 4,100 3,913
GS Mortgage Securities,
Ser 1999-3 A
8.000%, 08/20/22 3,884 3,947
IMC Home Equity Loan Trust,
Ser 1997-5, Cl A10
6.880%, 11/20/28 3,850 3,809
IMC Home Equity Loan Trust,
Ser 1998-1, Cl A6
6.520%, 06/20/29 2,250 2,189
IMC Home Equity Loan Trust,
Ser 1998-3 A8
6.340%, 08/20/29 8,500 8,245
IMPAC Commercial Holdings,
Ser 1998-C1 A1A
6.060%, 10/20/07 3,913 3,805
JP Morgan Commercial Mortgage,
Ser 1997-C5 X
1.610%, 09/15/29 11,434 775
LB Commercial Conduit Mortgage
Trust, Ser 1998-C4, Cl A1A
5.870%, 08/15/06 3,724 3,598
Merrill Lynch Mortgage Investors,
Ser 1996-C2 A3
6.960%, 11/21/28 7,940 7,872
Money Store Home Equity Trust,
Ser 1997-B, Cl A8
6.900%, 07/15/38 2,707 2,678
59
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
CORE FIXED INCOME FUND--CONCLUDED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Money Store Home Equity Trust,
Ser 1997-D, Cl AF7
6.485%, 12/15/38 $ 2,265 $ 2,210
Morgan Stanley Capital I,
Ser 1998-CF1 X IO
1.133%, 12/15/12 8,440 362
New South Home Equity Trust,
Ser 1999-1 A6 IO
8.000%, 05/25/30 3,000 134
Nomura Asset Securities,
Ser 1996-MD5 A1B
7.120%, 04/13/36 5,100 5,103
PP&L Transition Bond LLC,
Ser 1999-1 A1
6.080%, 03/25/03 4,480 4,463
Residential Funding Mortgage
Securities, Ser 2000-HI1 AI7
8.290%, 02/25/25 13,038 13,471
Resolution Trust, Ser 1994-1 M3
7.720%, 09/25/29 1,900 1,891
Saxon Asset Securities,
Ser 1, Cl AF6
6.350%, 02/25/29 8,543 8,158
TMS SBA Loan Trust 1999-1 A
7.178%, 07/15/25 1,926 1,926
UCFC Home Equity Loan,
Ser 1995-B1 A5
7.250%, 12/10/20 2,450 2,450
Union Planters Mortgage Finance,
Ser 1998-1 A1
6.350%, 01/25/28 572 567
Westvaco
8.400%, 06/01/07 4,300 4,472
----------
190,105
----------
Total Asset-Backed Securities
(Cost $240,623) 237,103
----------
MUNICIPAL BONDS -- 0.1%
Los Angeles County, California
Taxable Pension Obligation,
Ser D, RB, MBIA (G)
7.725%, 06/30/10 3,850 1,911
----------
Total Municipal Bonds
(Cost $1,839) 1,911
----------
COMMERCIAL PAPER -- 0.3%
TRW
7.203%, 03/25/02 9,000 8,989
----------
Total Commercial Paper
(Cost $8,997) 8,989
----------
OPTIONS -- 0.0%
October 2000 Euro$ Future Put 302 9
October 2000 Ten Year Note
Future Call 71 1
October 2000 US Long Bond
Future Call 272 119
November 2000 US Long Bond
Future Put 272 391
December 2000 Put 121 57
March 2001 Euro$ Future Put 576 259
March 2001 Euro$ Future Put 339 30
----------
Total Options
(Cost $1,185) 866
----------
REPURCHASE AGREEMENT -- 7.8%
JP Morgan
6.600%, dated 09/29/00, matures
10/02/00, repurchase price
$242,473,867 (collateralized by
GNMA and FHLMC obligations,
total par value $305,928,953,
6.000%-7.500%, 08/15/24-
01/20/30, total market
value: $247,362,701) 242,341 242,341
----------
Total Repurchase Agreement
(Cost $242,341) 242,341
----------
Total Investments -- 104.1%
(Cost $3,246,751) $3,240,149
==========
WRITTEN OPTIONS -- 0.0%
October 2000 US Long Bond
Future Call (122) (6)
November 2000 US Long Bond
Future Call (498) (148)
November 2000 US Long Bond
Future Put (272) (442)
November 2000 Five Year Note
Future Call (141) (117)
November 2000 Ten Year Note
Future Put (56) (5)
November 2000 Ten Year Note
Future Put (168) (63)
December 2000 Ten Year Note
Future Call (338) (79)
December 2000 US Long Bond
Future Put (301) (42)
December 2000 US Long Bond
Future Put (340) (213)
December 2000 US Long Bond
Future Put (168) (163)
December 2000 US Long Bond
Future Put (109) (7)
January 2001 US Long Bond
Future Call (969) (242)
February 2001 US Long Bond
Future Put (112) (75)
----------
Total Written Options
(Cost $(2,250)) $ (1,602)
==========
60
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
(A) VARIABLE RATE SECURITY -- THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT AS OF SEPTEMBER 30, 2000.
(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 GUIDLINES ESTABLISHED BY THE BOARD OF DIRECTORS.
(C) SECURITIES HAVE BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(D) STEP BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE
EFFECTIVE YIELD ON SEPTEMBER 30, 2000. THE COUPON ON A STEP BOND CHANGES
ON A SPECIFIC DATE.
(E) U.S. TREASURY INFLATION INDEX SECURITY
(F) RESTRICTED SECURITY, NOT READILY MARKETABLE (SEE NOTE 2).
(G) ZERO-COUPON SECURITY. RATE SHOWN IS THE EFFECTIVE YIELD AT THE DATE
OF PURCHASE.
CL -- CLASS
CMO -- COLLATERALIZED MORTGAGE OBLIGATION
FFCA -- FEDERAL FARM CREDIT ASSOCIATION
FHLB -- FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO -- INTEREST ONLY SECURITY
LLC -- LIMITED LIABILITY COMPANY
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
MTN -- MEDIUM TERM NOTE
PLC -- PUBLIC LIMITED COMPANY
PO -- PRINCIPAL ONLY SECURITY
RB -- REVENUE BOND
REMIC -- REAL ESTATE MORTGAGE INVESTMENT CONDUIT
SER -- SERIES
STRIPS -- SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES
TBA -- TO BE ANNOUNCED
TVA -- TENNESSEE VALLEY AUTHORITY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
HIGH YIELD BOND FUND
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATION -- 3.8%
FHLB Discount Note
6.203%, 10/02/00 $28,901 $ 28,896
--------
Total U.S. Government Mortgage-
Backed Obligation
(Cost $28,896) 28,896
--------
CORPORATE OBLIGATIONS -- 88.9%
AIR TRANSPORTATION -- 0.3%
Atlas Air
9.375%, 11/15/06 1,250 1,248
Kitty Hawk (C)
9.950%, 11/15/04 250 144
Pegasus Shipping Hellas, Ser A (C)
11.875%, 11/15/04 600 204
Trans World Airlines
11.375%, 03/01/06 900 361
--------
1,957
--------
APPAREL/TEXTILES -- 0.5%
Collins & Aikman Floorcove,
Ser B (B)
10.000%, 01/15/07 1,200 1,170
Flooring America, Ser B (C)
9.250%, 10/15/07 296 44
Galey & Lord
9.125%, 03/01/08 1,250 794
HCI Direct
13.750%, 08/01/02 700 602
Phillips Van-Heusen
9.500%, 05/01/08 1,000 940
Pillowtex
10.000%, 11/15/06 500 85
Tropical Sportswear International,
Ser A
11.000%, 06/15/08 500 470
--------
4,105
--------
AUTOMOTIVE -- 1.9%
Advance Stores, Ser B
10.250%, 04/15/08 2,350 1,833
Aetna Industries
11.875%, 10/01/06 1,000 720
American Axle & Manufacturing
9.750%, 03/01/09 500 485
Breed Technologies (C)
9.250%, 04/15/08 1,000 7
Collins & Aikman
11.500%, 04/15/06 1,700 1,632
Delco Remy International
10.625%, 08/01/06 1,500 1,470
61
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Diamond Triumph Auto
9.250%, 04/01/08 $ 1,000 $ 842
Dura Operating, Ser B
9.000%, 05/01/09 750 641
Hayes Lemmerz International
11.000%, 07/15/06 500 477
Hayes Lemmerz International, Ser B
9.125%, 07/15/07 600 514
8.250%, 12/15/08 600 486
JL French Auto Casting, Ser B
11.500%, 06/01/09 1,000 740
LDM Technologies
10.750%, 01/15/07 500 335
Motor Coach Industries International
11.250%, 05/01/09 3,500 2,555
Pep Boys MTN, Ser A
6.710%, 11/03/04 1,500 979
Stanadyne Automotive, Ser B
10.250%, 12/15/07 500 422
Titan Wheel International
8.750%, 04/01/07 500 325
-------
14,463
-------
BROADCASTING, TELEVISION & RADIO -- 12.7%
Ackerley Group, Ser B
9.000%, 01/15/09 1,600 1,508
ACME Television (B)
24.130%, 09/30/04 500 475
Adelphia Communications
10.875%, 10/01/10 3,000 2,940
8.875%, 01/15/07 650 591
7.875%, 05/01/09 500 418
Adelphia Communications, Ser B
10.500%, 07/15/04 500 501
8.375%, 02/01/08 2,050 1,773
Adelphia Communications, Ser B (E)
8.553%, 01/15/08 1,850 749
Allbritton Communications, Ser B
9.750%, 11/30/07 800 782
Australis Media (B) (F)
9.722%, 05/15/03 400 4
Big City Radio (B)
30.910%, 03/15/05 1,700 918
Cable Satisfaction International
12.750%, 03/01/10 2,000 1,720
Calahan Nordrhein-Westfalen (A)
14.000%, 07/15/10 2,950 2,935
Charter Communications Holdings
10.250%, 01/15/10 1,750 1,713
Charter Communications
Holdings LLC
8.625%, 04/01/09 1,500 1,346
Charter Communications
Holdings LLC (B)
12.270%, 04/01/11 1,600 936
Citadel Broadcasting
9.250%, 11/15/08 1,850 1,841
Classic Cable
10.500%, 03/01/10 1,400 1,197
Clear Channel Communications
9.250%, 07/01/07 1,250 1,339
8.000%, 11/01/08 500 505
Clear Channel Communications (B)
8.030%, 02/01/09 1,000 954
Coaxial Communication LLC
10.000%, 08/15/06 2,000 1,960
Coaxial Communication LLC (B)
12.510%, 08/15/08 1,600 1,136
Comcast
10.500%, 06/15/06 700 790
9.625%, 03/15/02 350 360
9.125%, 10/15/06 600 628
8.875%, 04/01/07 350 367
8.250%, 02/15/08 650 652
CSC Holdings
9.875%, 02/15/13 650 665
9.250%, 11/01/05 250 252
CSC Holdings, Ser B
8.125%, 07/15/09 1,400 1,391
8.125%, 08/15/09 750 745
Cumulus Media
10.375%, 07/01/08 1,450 1,232
Details, Ser B
10.000%, 11/15/05 500 490
Diamond Cable
Communications PLC (B)
27.200%, 09/30/04 300 313
13.940%, 02/15/07 1,450 1,087
12.730%, 12/15/05 1,050 987
Diamond Holdings PLC
9.125%, 02/01/08 1,000 910
Echostar DBS
9.375%, 02/01/09 2,500 2,450
Ekable Hessen (A)
14.500%, 09/01/10 4,000 4,000
Emmis Communications, Ser B
8.125%, 03/15/09 1,200 1,140
Frontiervision Holdings (B)
12.350%, 09/15/07 600 522
Frontiervision Holdings, Ser B (B)
12.330%, 09/15/07 700 609
Fundy Cable
11.000%, 11/15/05 500 530
Golden Sky Systems, Ser B
12.375%, 08/01/06 400 436
Granite Broadcasting
9.375%, 12/01/05 1,000 750
8.875%, 05/15/08 500 350
62
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Gray Communications System
10.625%, 10/01/06 $ 700 $ 698
James Cable Partnership LP, Ser B
10.750%, 08/15/04 1,500 1,275
Lamar Media
9.625%, 12/01/06 450 461
Lin Holdings (B)
11.140%, 03/01/08 500 364
Mediacom Capital LLC
7.875%, 02/15/11 5,250 4,620
Muzak Holdings LLC (B)
14.860%, 03/15/10 500 280
Northland Cable Television
10.250%, 11/15/07 1,200 936
NTL, Ser B
10.000%, 02/15/07 400 366
Olympus LP, Ser B
10.625%, 11/15/06 2,000 1,990
Pegasus Communications, Ser B
12.500%, 08/01/07 500 535
9.750%, 12/01/06 500 486
9.625%, 10/15/05 550 535
Price Communications Wireless, Ser B
9.125%, 12/15/06 1,500 1,515
Production Resources Group
11.500%, 01/15/08 500 150
Renaissance Media Group (B)
11.630%, 04/15/08 1,000 700
Rogers Cablesystems
10.000%, 12/01/07 450 470
Rogers Communications
9.125%, 01/15/06 400 400
8.875%, 07/15/07 650 651
Salem Communications, Ser B
9.500%, 10/01/07 1,875 1,837
Sinclair Broadcast Group
10.000%, 09/30/05 800 792
9.000%, 07/15/07 4,250 4,016
STC Broadcasting
11.000%, 03/15/07 2,000 1,970
Sun Media
9.500%, 05/15/07 325 327
Susquehanna Media
8.500%, 05/15/09 1,350 1,316
Telewest Communication (B)
13.420%, 04/15/09 1,650 883
Telewest Communications PLC
11.250%, 11/01/08 500 485
9.625%, 10/01/06 750 690
Telewest Communications PLC (A)
9.875%, 02/01/10 500 457
Telewest Communications PLC (B)
11.960%, 10/01/07 2,000 1,915
Time Warner (A)
9.750%, 07/15/08 1,350 1,228
Tri-State Outdoor Media
11.000%, 05/15/08 1,450 1,254
United Globalcom, Ser B (B)
13.040%, 02/15/08 2,000 1,370
United Pan-Europe Communication,
Ser B (B)
16.260%, 08/01/09 350 165
United Pan-Europe
Communications, Ser B
11.500%, 02/01/10 1,000 867
11.250%, 02/01/10 4,000 3,500
10.875%, 08/01/09 1,000 850
Viacom
9.000%, 02/01/06 500 514
Williams Communications (A)
11.700%, 08/01/08 1,000 955
XM Satellite Radio (A)
14.000%, 03/15/10 1,200 840
Young Broadcasting
11.750%, 11/15/04 2,500 2,569
Young Broadcasting, Ser B
9.000%, 01/15/06 150 144
8.750%, 06/15/07 1,400 1,323
-------
96,596
-------
BUILDING & CONSTRUCTION -- 1.4%
AAF-McQuay
8.875%, 02/15/03 835 739
Amtrol
10.625%, 12/31/06 400 353
Brand Scaffold Services
10.250%, 02/15/08 1,650 1,485
California Steel Industry, Ser B
8.500%, 04/01/09 500 455
Dayton Superior
13.000%, 06/15/09 1,500 1,515
Formica, Ser B
10.875%, 03/01/09 1,000 500
International Utility Structures
10.750%, 02/01/08 1,300 936
MMI Products
11.250%, 04/15/07 1,000 977
Morris Materials Handling (C)
9.500%, 04/01/08 400 24
Oglebay Norton
10.000%, 02/01/09 1,000 925
Republic Group
9.500%, 07/15/08 700 701
Ryland Group
9.750%, 09/01/10 1,000 995
Standard Pacific
9.500%, 09/15/10 1,250 1,241
63
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Waxman Industries (C)
12.750%, 06/01/04 $ 600 $ 150
-------
10,996
-------
CHEMICALS -- 3.5%
Avecia Group PLC
11.000%, 07/01/09 6,250 6,156
Borden Chemicals & Plastics
9.500%, 05/01/05 1,100 748
Georgia Gulf
10.375%, 11/01/07 800 804
Huntsman (A)
9.500%, 07/01/07 1,650 1,320
Huntsman ICI Chemicals
10.125%, 07/01/09 6,200 6,084
Huntsman ICI Chemicals (E)
13.069%, 12/31/09 2,100 672
Huntsman Polymers
11.750%, 12/01/04 250 252
ISP Holdings
9.000%, 10/15/03 500 440
LaRoche Industries, Ser B (C)
9.500%, 09/15/07 2,000 180
LLS
11.625%, 08/01/09 1,000 930
Lyondell Chemical
10.875%, 05/01/09 1,900 1,841
Lyondell Chemical, Ser B
9.875%, 05/01/07 3,400 3,319
NL Industries
11.750%, 10/15/03 350 353
Octel Developments
10.000%, 05/01/06 950 893
Philipp Brothers Chemical
9.875%, 06/01/08 1,200 888
Sterling Chemical, Ser B
12.375%, 07/15/06 500 505
Sterling Chemicals
11.750%, 08/15/06 1,000 700
Sterling Chemicals Holdings (B)
30.800%, 08/15/08 1,000 330
Texas Petrochemical, Ser B
11.125%, 07/01/06 450 373
-------
26,788
-------
COMMERCIAL SERVICES -- 1.0%
Coinstar (B)
13.000%, 10/01/06 1,000 1,015
Iron Mountain
8.250%, 07/01/11 750 690
Iron Mountain (A)
9.125%, 07/15/07 450 439
IT Group
11.250%, 04/01/09 1,000 875
La Petite Acadamy, Ser B
10.000%, 05/15/08 1,190 750
Mail-Well, Ser B
8.750%, 12/15/08 500 435
Protection One Alarm Monitor (A)
8.125%, 01/15/09 350 192
Trico Marine Service, Ser G
8.500%, 08/01/05 1,800 1,723
URS, Ser B
12.250%, 05/01/09 900 922
Worldwide Flight Service, Ser B
12.250%, 08/15/07 800 452
-------
7,493
-------
COMMUNICATIONS -- 1.7%
Allegiance Telecom, Ser B (B)
13.940%, 02/15/08 1,100 737
Covad Communications Group
12.500%, 02/15/09 800 612
Exodus Communications
11.250%, 07/01/08 1,200 1,191
10.750%, 12/15/09 2,150 2,085
Global Crossing Holdings
9.125%, 11/15/06 4,200 4,158
Nextel International (A)
12.750%, 08/01/10 1,800 1,764
PTC International Finance II
11.250%, 12/01/09 1,000 985
Voicestream Wire (B)
9.580%, 11/15/09 1,750 1,260
-------
12,792
-------
COMPUTERS & SERVICES -- 1.4%
Diva Systems, Ser B (B)
21.260%, 03/01/08 3,757 1,691
Earthwatch (B)
18.370%, 07/15/07 2,250 1,350
Exodus Communications (A)
11.625%, 07/15/10 3,000 3,007
Psinet
11.500%, 11/01/08 350 234
11.000%, 08/01/09 1,000 650
Psinet, Ser B
10.000%, 02/15/05 950 617
Rhythms Netconnections
12.750%, 04/15/09 2,300 1,495
Rhythms Netconnections, Ser B (B)
13.914%, 05/15/08 1,700 646
Unisys
11.750%, 10/15/04 500 528
7.875%, 04/01/08 650 596
-------
10,814
-------
64
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
CONTAINERS & PACKAGING -- 0.7%
Ball
8.250%, 08/01/08 $ 700 $ 678
BWAY, Ser B
10.250%, 04/15/07 800 790
Consolidated Container Capital
10.125%, 07/15/09 1,000 1,001
Consumers Packaging
9.750%, 02/01/07 750 165
Crown Packaging (B)
37.200%, 08/01/06 775 21
Graham Packaging, Ser B
8.750%, 01/15/08 400 344
Huntsman Packaging
13.000%, 06/01/10 1,300 1,163
Packaged Ice, Ser B
9.750%, 02/01/05 1,000 870
SF Holdings Group, Ser B (B)
18.640%, 03/15/08 1,000 520
-------
5,552
-------
DIVERSIFIED OPERATIONS -- 2.5%
Amscan Holdings
9.875%, 12/15/07 400 324
Buhrmann US
12.250%, 11/01/09 2,000 2,070
Elgar Holdings
9.875%, 02/01/08 1,000 570
Jordan Industries, Ser B
10.375%, 08/01/07 1,200 1,128
Jordan Industries, Ser D
10.375%, 08/01/07 1,025 963
Kansas City Southern (A)
9.500%, 10/01/08 2,500 2,519
Knology Holdings (B)
19.390%, 10/15/07 6,100 3,111
Lodestar Holdings
11.500%, 05/15/05 750 120
Maxxam Group Holdings, Ser B
12.000%, 08/01/03 400 369
SCG Holding
12.000%, 08/01/09 4,623 4,854
Tekni-Plex (A)
12.750%, 06/15/10 850 837
Werner Holdings, Ser A
10.000%, 11/15/07 1,750 1,680
Western Federal Notes (H)
15.500%, 09/30/99 500 150
-------
18,695
-------
DRUGS -- 0.7%
Dade International, Ser B
11.125%, 05/01/06 500 130
ICN Pharmaceuticals (A)
8.750%, 11/15/08 1,270 1,267
ICN Pharmaceuticals, Ser B
9.250%, 08/15/05 1,150 1,133
NBTY, Ser B
8.625%, 09/15/07 1,800 1,539
Twin Laboratories
10.250%, 05/15/06 1,675 1,591
-------
5,660
-------
ELECTRICAL SERVICES -- 2.3%
Aavid Thermal Technology
12.750%, 02/01/07 500 470
AES
9.375%, 09/15/10 2,400 2,436
8.500%, 11/01/07 800 764
8.000%, 12/31/08 500 465
Ampex, Ser B
12.000%, 03/15/03 1,000 750
CMS Energy
7.500%, 01/15/09 1,800 1,613
CMS Energy, Ser B
6.750%, 01/15/04 800 751
Cogentrix Energy
8.750%, 10/15/08 1,250 1,253
Communications Instrument, Ser B
10.000%, 09/15/04 500 440
Condor Systems (A)
11.875%, 05/01/09 1,250 856
Flextronics International (A)
9.875%, 07/01/10 1,000 1,027
Integrated Electrical Services, Ser B
9.375%, 02/01/09 2,500 2,256
Muzak LLC
9.875%, 03/15/09 1,000 885
Niagra Mohawk Power, Ser G
7.750%, 10/01/08 800 805
Viasystems
9.750%, 06/01/07 1,000 942
Wesco Distribution, Ser B
9.125%, 06/01/08 1,750 1,632
-------
17,345
-------
ENTERTAINMENT -- 8.7%
Alliance Atlantis Communications
13.000%, 12/15/09 1,750 1,811
AMC Entertainment
9.500%, 03/15/09 1,000 460
9.500%, 02/01/11 1,000 460
AMF Bowling Worldwide,
Ser B (B) (C)
63.41%, 03/15/06 306 63
AMF Bowling Worldwide,
65
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Ser B (C)
10.875%, 03/15/06 $ 700 $ 150
Argosy Gaming
10.750%, 06/01/09 5,975 6,251
Autotote (A)
12.500%, 08/15/10 1,500 1,522
Aztar
8.875%, 05/15/07 1,900 1,843
Bally Total Fitness Holding, Ser D
9.875%, 10/15/07 400 380
Booth Creek Ski Holdings, Ser B
12.500%, 03/15/07 1,000 752
Boyd Gaming
9.500%, 07/15/07 1,250 1,169
Boyds Collection, Ser B
9.000%, 05/15/08 1,978 1,889
Cinemark USA, Ser B
9.625%, 08/01/08 100 47
8.500%, 08/01/08 500 215
Cinemark USA, Ser D
9.625%, 08/01/08 500 235
Eldorado Resorts
10.500%, 08/15/06 1,000 990
Fitzgeralds Gaming, Ser B (C)
12.250%, 12/15/04 1,400 700
Hard Rock Hotel, Ser B
9.250%, 04/01/05 2,250 2,104
Horseshoe Gaming Holdings, Ser B
8.625%, 05/15/09 1,000 980
Horseshoe Gaming LLC, Ser B
9.375%, 06/15/07 1,100 1,097
Imax
7.875%, 12/01/05 1,750 1,592
Isle of Capri Casinos
8.750%, 04/15/09 1,600 1,488
KSL Recreation Group, Ser B
10.250%, 05/01/07 1,000 980
Loews Cineplex Entertainment
8.875%, 08/01/08 1,000 380
Louisiana Casino Cruises, Ser B
11.000%, 12/01/05 1,000 1,070
Mandalay Resort Group
9.250%, 12/01/05 1,600 1,584
Mandalay Resort Group (A)
10.250%, 08/01/07 5,000 5,156
9.500%, 08/01/08 1,000 1,020
MGM Mirage
9.750%, 06/01/07 2,000 2,070
8.500%, 09/15/10 1,725 1,727
Mohegan Tribal Gaming
8.750%, 01/01/09 1,800 1,782
Park Place Entertainment
9.375%, 02/15/07 850 863
8.875%, 09/15/08 5,000 4,950
7.875%, 12/15/05 1,000 964
Pinnacle Entertainment, Ser B
9.500%, 08/01/07 3,225 3,330
9.250%, 02/15/07 1,000 1,032
Regal Cinemas
9.500%, 06/01/08 900 108
8.875%, 12/15/10 450 54
Riviera Black Hawk
13.000%, 05/01/05 700 717
Silver Cinemas (C)
10.500%, 04/15/05 800 80
Six Flags
9.750%, 01/15/07 500 492
9.750%, 06/15/07 1,050 982
9.250%, 04/01/06 500 466
Station Casinos
10.125%, 03/15/06 3,450 3,450
Town Sports International, Ser B
9.750%, 10/15/04 3,500 3,412
Vail Resorts
8.750%, 05/15/09 1,100 1,045
Waterford Gaming LLC (A)
9.500%, 03/15/10 1,053 1,032
Windsor Woodmount Black Hawk
13.000%, 03/15/06 1,000 980
Yanknets LLC (A)
12.750%, 03/01/07 750 739
-------
66,663
-------
ENVIRONMENTAL SERVICES -- 0.8%
Allied Waste North America, Ser B
10.000%, 08/01/09 5,000 4,362
7.875%, 01/01/09 1,300 1,134
Waste Systems International (A)
7.000%, 05/13/05 800 400
Waste Systems International, Ser B
11.500%, 01/15/06 550 357
-------
6,253
-------
FINANCIAL SERVICES -- 0.5%
Homeside, Ser B
11.250%, 05/15/03 325 349
Labrache
12.000%, 03/02/07 1,000 1,070
Lodgian Financing
12.250%, 07/15/09 900 765
Madison River Financial
13.250%, 03/01/10 600 480
Sovereign Bancorp
10.500%, 11/15/06 1,000 1,017
-------
3,681
-------
66
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
FOOD, BEVERAGE & TOBACCO -- 2.0%
Agrilink Foods
11.875%, 11/01/08 $ 2,000 $ 1,480
Archibald Candy
10.250%, 07/01/04 1,200 666
Aurora Foods, Ser B
9.875%, 02/15/07 1,050 829
8.750%, 07/01/08 850 650
Avado Brands
11.750%, 06/15/09 1,225 628
B&G Foods
9.625%, 08/01/07 1,500 1,080
Carrols
9.500%, 12/01/08 1,000 860
Conagra
10.375%, 11/01/06 750 802
Eagle Family Foods, Ser B
8.750%, 01/15/08 1,300 702
Fleming, Ser B
10.500%, 12/01/04 670 586
Keebler
10.750%, 07/01/06 600 635
Luigino's
10.000%, 02/01/06 1,200 948
Mrs. Fields Holdings (B)
25.590%, 12/01/05 800 360
Mrs. Fields Original, Ser B
10.125%, 12/01/04 760 661
National Wine & Spirits
10.125%, 01/15/09 1,550 1,472
New World Pasta
9.250%, 02/15/09 1,000 590
Premier International Food
12.000%, 09/01/09 1,800 1,503
Pueblo Xtra International
9.500%, 08/01/03 1,000 470
Vlasic Foods International, Ser B
10.250%, 07/01/09 1,250 650
-------
15,572
-------
FORESTRY -- 0.1%
Tembec Industries (A)
8.625%, 06/30/09 920 897
-------
GARDEN PRODUCTS -- 0.3%
Color Spot Nurseries
10.500%, 12/15/07 1,300 455
Scotts (A)
8.625%, 01/15/09 1,800 1,764
-------
2,219
-------
GAS/NATURAL GAS -- 0.2%
Western Gas Resources
10.000%, 06/15/09 1,450 1,515
-------
HOTELS & LODGING -- 3.7%
American Skiing, Ser B
12.000%, 07/15/06 450 369
Ameristar Casino, Ser B
10.500%, 08/01/04 1,750 1,759
Boca Resorts
9.875%, 04/15/09 900 868
Coast Hotels & Casinos
9.500%, 04/01/09 1,500 1,481
Harrahs Operating (A)
7.875%, 12/15/05 1,000 962
Harvey Casinos Resorts
10.625%, 06/01/06 2,650 2,756
HMH Properties, Ser A
7.875%, 08/01/05 550 518
HMH Properties, Ser B
7.875%, 08/01/08 1,250 1,150
HMH Properties, Ser C
8.450%, 12/01/08 500 475
Hollywood Casino
11.250%, 05/01/07 3,500 3,631
Hollywood Casino Shreveport
13.000%, 08/01/06 1,600 1,712
John Q. Hammons Hotels
8.875%, 02/15/04 500 475
Majestic Star Casino, Ser B
10.875%, 07/01/06 1,300 1,144
Peninsula Gaming, Ser B
12.250%, 07/01/06 1,000 982
Prime Hospitality
9.250%, 01/15/06 600 600
Prime Hospitality, Ser B
9.750%, 04/01/07 450 448
Santa Fe Hotel
11.000%, 12/15/00 1,571 1,571
Station Casinos (A)
9.875%, 07/01/10 4,700 4,712
Station Casinos
9.750%, 04/15/07 1,150 1,147
Sun International Hotels
9.000%, 03/15/07 1,950 1,833
-------
28,593
-------
HOUSEHOLD PRODUCTS FURNITURE & FIXTURES -- 0.9%
Congoleum
8.625%, 08/01/08 1,000 602
Holmes Products, Ser D
9.875%, 11/15/07 500 295
Home Products International
9.625%, 05/15/08 800 456
International Knife & Saw
11.375%, 11/15/06 500 249
67
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Jostens
12.750%, 05/01/10 $ 1,500 $ 1,545
Safelite Glass, Ser B
9.875%, 12/15/06 800 6
Sealy Mattress, Ser B
9.875%, 12/15/07 600 582
Sealy Mattress, Ser B (B)
11.910%, 12/15/07 500 372
Simmons
10.250%, 03/15/09 1,500 1,432
Sleepmaster
11.000%, 05/15/09 1,250 1,119
-------
6,658
-------
LEASING & RENTING -- 0.3%
Anthony Crane Rental LP, Ser B
10.375%, 08/01/08 875 437
Neff
10.250%, 06/01/08 500 225
United Rentals, Ser B
9.250%, 01/15/09 800 724
Universal Compression (B)
10.250%, 02/15/08 1,200 927
-------
2,313
-------
MACHINERY -- 1.4%
APCOA
9.250%, 03/15/08 700 255
Applied Extrusion Technologies,
Ser B
11.500%, 04/01/02 800 786
BGF Industries, Ser B
10.250%, 01/15/09 1,000 952
Eagle Geophysical (C)
1.152%, 07/15/08 1,000 110
Fisher Scientific International
9.000%, 02/01/08 1,000 922
Grove Worldwide
9.250%, 05/01/08 1,000 117
GSI Group
10.250%, 11/01/07 1,000 697
Jackson Products, Ser B
9.500%, 04/15/05 1,600 1,488
Moog, Ser B
10.000%, 05/01/06 500 495
Motors & Gears, Ser D
10.750%, 11/15/06 1,640 1,624
Numatics, Ser B
9.625%, 04/01/08 800 632
Sequa
9.000%, 08/01/09 1,700 1,670
Simonds Industries (A)
10.250%, 07/01/08 600 462
Thermadyne Holdings (B)
24.680%, 06/01/08 550 192
-------
10,402
-------
MARINE TRANSPORTATION -- 0.3%
First Wave Marine
11.000%, 02/01/08 1,000 270
Golden Ocean Group (C)
10.000%, 08/31/01 1,032 164
Sea Containers
10.750%, 10/15/06 700 560
Ultapetrol
10.500%, 04/01/08 800 680
Vectura Group, Ser B
10.250%, 06/30/08 1,100 935
-------
2,609
-------
MEDICAL PRODUCTS & SERVICES -- 2.7%
Alaris Medical (B)
28.090%, 08/01/08 1,000 260
Beverly Enterprises
9.000%, 02/15/06 700 658
Fountain View, Ser B
11.250%, 04/15/08 1,000 280
HCA - Healthcare
8.750%, 09/01/10 4,200 4,290
HealthSouth (A)
10.750%, 10/01/08 2,000 2,006
Iasis Healthcare
13.000%, 10/15/09 2,000 2,065
Leiner Health Products
9.625%, 07/10/07 500 215
Lifepoint Hospitals Holdings, Ser B
10.750%, 05/15/09 4,300 4,553
Oxford Health Plans
11.000%, 05/15/05 500 525
Paracelsus Healthcare (C)
10.000%, 08/15/06 500 200
Quest Diagnostic
10.750%, 12/15/06 450 477
Tenet Healthcare
8.625%, 01/15/07 500 495
Tenet Healthcare (A)
9.250%, 09/01/10 4,200 4,389
Universal Health Services
8.750%, 08/15/05 250 251
-------
20,664
-------
METALS & METAL FABRICATE/HARDWARE -- 0.8%
AEI Resources (A)
11.500%, 12/15/06 500 30
Commonwealth Industries
10.750%, 10/01/06 500 477
68
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Golden Northwest Aluminum
12.000%, 12/15/06 $ 700 $ 688
GS Technologies
12.000%, 09/01/04 1,100 132
Gulf States Steel (C)
13.500%, 04/15/03 1,000 10
Haynes International
11.625%, 09/01/04 850 671
Kaiser Aluminum & Chemical
9.875%, 02/15/02 700 691
Kaiser Aluminum & Chemical, Ser B
10.875%, 10/15/06 600 589
Metallurg, Ser B
11.000%, 12/01/07 800 640
Neenah, Ser B
11.125%, 05/01/07 500 387
Oxford Automotive, Ser D
10.125%, 06/15/07 1,800 1,584
Renco Metals
11.500%, 07/01/03 500 189
Wheeling-Pittsburgh
9.250%, 11/15/07 900 405
-------
6,493
-------
MISCELLANEOUS BUSINESS SERVICES -- 0.0%
Knoll
10.875%, 03/15/06 260 260
-------
MISCELLANEOUS MANUFACTURING -- 1.0%
ADV Accessory, Ser B
9.750%, 10/01/07 550 441
Advanced Glassfiber
9.875%, 01/15/09 1,000 915
Burke Industries
10.000%, 08/15/07 600 198
Cambridge Industries, Ser B (C)
10.250%, 07/15/07 500 102
Day International Group
11.125%, 06/01/05 1,700 1,700
Diamond Brands Operating
10.125%, 04/15/08 650 325
Doskocil Manufacturing
10.125%, 09/15/07 500 169
GST USA (C)
13.250%, 05/01/07 500 293
JPS Automotive Products
11.125%, 06/15/01 100 102
Omega Cabinets
10.500%, 06/15/07 1,000 945
Polymer Group, Ser B
9.000%, 07/01/07 600 462
Safety Components International,
Ser B (C)
10.125%, 07/15/07 500 110
Wabtec
9.375%, 06/15/05 900 869
Wabtec, Ser B2
9.375%, 06/15/05 300 290
William Carter (A)
10.375%, 12/01/06 750 725
-------
7,646
-------
PAPER & PAPER PRODUCTS -- 1.9%
American Tissue, Ser B
12.500%, 07/15/06 1,500 1,493
Berry Plastics, Ser B
11.000%, 07/15/07 1,300 1,170
Buckeye Technologies
9.250%, 09/15/08 500 513
Container Corporation of America
9.750%, 04/01/03 550 553
Doman Industries
12.000%, 07/01/04 1,250 1,242
8.750%, 03/15/04 750 503
Drypers, Ser B (C) (D)
10.250%, 06/15/07 1,450 232
Fibermark
9.375%, 10/15/06 500 490
Four M, Ser B
12.000%, 06/01/06 1,200 1,134
Gaylord Container, Ser B
9.750%, 06/15/07 600 408
9.375%, 06/15/07 850 570
Norampac
9.500%, 02/01/08 1,875 1,889
Playtex Products, Ser B
8.875%, 07/15/04 400 399
Portola Packaging
10.750%, 10/01/05 200 152
Repap Enterprises (A)
6.000%, 06/30/05 400 312
Repap New Brunswick
10.625%, 04/15/05 1,800 1,854
Riverwood International
10.875%, 04/01/08 1,100 1,007
Stone Container (A)
11.500%, 08/15/06 400 412
-------
14,333
-------
PETROLEUM & FUEL PRODUCTS -- 5.2%
Abraxas Petroleum, Ser A
11.500%, 11/01/04 1,375 1,220
Bellwether Exploration
10.875%, 04/01/07 1,800 1,737
Calpine
7.750%, 04/15/09 2,000 1,903
Canadian Forest Oil
8.750%, 09/15/07 1,500 1,455
69
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Chesapeake Energy, Ser B
9.625%, 05/01/05 $ 1,450 $ 1,439
Clark R&M
8.875%, 11/15/07 500 350
Continental Resources
10.250%, 08/01/08 500 450
Contour Energy
14.000%, 04/15/03 1,906 1,982
Costilla Energy (C)
10.250%, 10/01/06 1,000 448
Crown Central Petroleum
10.875%, 02/01/05 1,200 1,020
Denbury Management
9.000%, 03/01/08 1,800 1,656
Energy of America, Ser A
9.500%, 05/15/07 500 380
Frontier Oil
11.750%, 11/15/09 800 812
Frontier Oil, Ser A
9.125%, 02/15/06 800 720
Gothic Production, Ser B
11.125%, 05/01/05 1,700 1,781
Gulf Canada Resources
9.625%, 07/01/05 500 515
9.250%, 01/15/04 700 711
8.375%, 11/15/05 500 500
HS Resources
9.250%, 11/15/06 600 600
HS Resources, Ser B
9.250%, 11/15/06 600 600
Key Energy Services, Ser B
14.000%, 01/15/09 1,150 1,308
Magnum Hunter Re
10.000%, 06/01/07 2,000 1,980
Nuevo Energy (A)
9.375%, 10/01/10 750 745
Nuevo Energy, Ser B
9.500%, 06/01/08 1,500 1,500
Ocean Energy, Ser B
8.875%, 07/15/07 950 968
Parker Drilling, Ser D
9.750%, 11/15/06 4,200 4,190
Plains Resources (A)
10.250%, 03/15/06 625 634
Plains Resources, Ser B
10.250%, 03/15/06 975 990
Pogo Producing, Ser B
8.750%, 05/15/07 1,000 964
Pride International
10.000%, 06/01/09 500 525
9.375%, 05/01/07 850 865
R&B Falcon, Ser B
10.250%, 05/15/03 1,000 1,026
R&B Falcon, Ser B
6.950%, 04/15/08 1,000 930
Ram Energy
11.500%, 02/15/08 500 378
Southwest Royalties, Ser B
10.500%, 10/15/04 500 410
Swift Energy
10.250%, 08/01/09 1,250 1,284
Wiser Oil
9.500%, 05/15/07 600 486
-------
39,462
-------
PRINTING & PUBLISHING -- 1.6%
American Lawyer Media
Holdings, Ser B (B)
14.480%, 12/15/08 1,000 665
American Lawyer Media, Ser B
9.750%, 12/15/07 1,150 1,087
American Media Operation
10.250%, 05/01/09 900 878
Garden State Newspapers
8.625%, 07/01/11 1,000 933
Hollinger International Publishing
9.250%, 03/15/07 1,000 1,005
Liberty Group Operating
9.375%, 02/01/08 650 527
Liberty Group Publishings (B)
25.420%, 02/01/09 500 300
MDC Communications
10.500%, 12/01/06 1,000 910
Official Information, Ser B
10.375%, 11/01/07 700 653
Perry-Judd
10.625%, 12/15/07 500 445
Phoenix Color
10.375%, 02/01/09 750 630
Printpack, Ser B
10.625%, 08/15/06 800 776
Quebecor World
7.750%, 02/15/09 1,500 1,399
Regional Independent Media Group
10.500%, 07/01/08 1,000 1,040
Ziff Davis Media (A)
12.000%, 07/15/10 1,200 1,188
-------
12,436
-------
REAL ESTATE -- 1.1%
DR Horton
9.750%, 09/15/10 3,600 3,492
DR Horton (A)
8.000%, 02/01/09 900 826
Host Marriott (A)
9.250%, 10/01/07 1,250 1,234
70
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Host Marriott, Ser E
8.375%, 02/15/06 $ 500 $ 480
Intrawest
9.750%, 08/15/08 1,250 1,250
Meristar Hospitality
8.750%, 08/15/07 1,000 939
-------
8,221
-------
RETAIL -- 3.3%
AFC Enterprises
10.250%, 05/15/07 1,830 1,839
American Restaurant Group, Ser B
11.500%, 02/15/03 700 637
Ameriking
10.750%, 12/01/06 600 348
Avado Brands
9.750%, 06/01/06 1,250 978
Finlay Enterprises
9.000%, 05/01/08 200 182
Friendly Ice Cream
10.500%, 12/01/07 700 560
HMV Media Group, Ser B
10.250%, 05/15/08 1,000 660
Home Interior & Gifts
10.125%, 06/01/08 1,500 450
Jitney-Jungle Stores (C)
10.375%, 09/15/07 450 3
Jo-Ann Stores
10.375%, 05/01/07 600 510
K-Mart
7.750%, 10/01/12 850 655
K-Mart, Ser 95K3
8.540%, 01/02/15 733 664
Leslie's Poolmart
10.375%, 07/15/04 1,350 1,080
Marsh Supermarket, Ser B
8.875%, 08/01/07 500 469
Ne Restaurant
10.750%, 07/15/08 600 456
Nebraska Book
8.750%, 02/15/08 1,000 795
Pantry
10.250%, 10/15/07 1,200 1,158
Perkins Family Restaurant, Ser B
10.125%, 12/15/07 1,000 940
Port Royal Holdings
10.250%, 10/01/07 1,000 853
RH Donnelly
9.125%, 06/01/08 800 784
Romacorp
12.000%, 07/01/06 750 420
Sbarro
11.000%, 09/15/09 3,600 3,708
Sonic Automotive, Ser B
11.000%, 08/01/08 2,000 1,800
Stater Brother Holdings
10.750%, 08/15/06 1,900 1,606
Travelcenters of America
10.250%, 04/01/07 3,750 3,778
-------
25,333
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.2%
Amkor Technologies
10.500%, 05/01/09 4,000 4,055
Amphenol
9.875%, 05/15/07 450 459
Fairchild Semiconductor
10.375%, 10/01/07 4,550 4,601
-------
9,115
-------
SPECIAL PURPOSE ACQUISITION -- 0.4%
Advance Holding, Ser B (B)
23.020%, 04/15/09 1,500 578
AP Holdings, Ser B (B)
49.530%, 03/15/08 1,700 170
DTI Holdings, Ser B (B)
21.990%, 03/01/08 1,500 653
P&L Coal Holdings, Ser B
9.625%, 05/15/08 1,250 1,213
8.875%, 05/15/08 250 247
------
2,861
------
SPECIAL PURPOSE ENTITY -- 0.3%
Airplanes Pass Through Trust, Ser D
10.875%, 03/15/19 988 803
Caithness Coso Fund, Ser B
9.050%, 12/15/09 1,000 1,010
Russell-Stanley Holdings
10.875%, 02/15/09 750 278
------
2,091
------
STEEL & STEEL WORKS -- 0.7%
AK Steel
9.125%, 12/15/06 1,000 970
Algoma Steel
12.375%, 07/15/05 1,000 710
Bayou Steel
9.500%, 05/15/08 500 380
LTV
11.750%, 11/15/09 500 250
National Steel, Ser D
9.875%, 03/01/09 500 295
Northwestern Steel & Wire
9.500%, 06/15/01 1,000 455
Republic Technology
13.750%, 07/15/09 750 135
71
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Sheffield Steel, Ser B
11.500%, 12/01/05 $ 500 $ 295
WCI Steel, Ser B
10.000%, 12/01/04 1,000 885
Weirton Steel
11.375%, 07/01/04 250 208
WHX
10.500%, 04/15/05 750 413
------
4,996
------
TELEPHONE & TELECOMMUNICATION -- 18.6%
360Networks
12.500%, 12/15/05 750 728
12.000%, 08/01/09 500 445
Adelphia Business Solutions (B)
19.380%, 04/15/03 2,000 1,665
Adelphia Business Solutions, Ser B
12.250%, 09/01/04 500 453
Airgate PCS (B)
13.330%, 10/01/09 4,650 2,802
Alamosa PCS Holdings (B)
13.670%, 02/15/10 9,100 4,914
AT&T Canada
12.000%, 08/15/07 500 563
AT&T Canada (B)
10.738%, 06/15/08 1,400 1,141
Call-Net Enterprises
9.375%, 05/15/09 1,050 494
Call-Net Enterprises (B)
23.080%, 08/15/07 1,000 390
22.970%, 05/15/09 500 150
22.890%, 08/15/08 600 189
Caprock Communications
11.500%, 05/01/09 1,000 600
Carrier One International, Ser B
13.250%, 02/15/09 1,000 935
Centennial Cellular
10.750%, 12/15/08 1,000 978
Clearnet Communications (B)
10.710%, 12/15/05 1,800 1,890
Colo.com (A)
13.875%, 03/15/10 750 765
Colt Telecommunications Group (B)
2.560%, 12/15/06 600 1,056
Completel Europe (B)
17.600%, 02/15/09 1,800 864
Covad Communications Group,
Ser B
12.000%, 02/15/10 4,250 3,188
Crown Castle International
10.750%, 08/01/11 1,500 1,541
Dobson Communications
10.875%, 07/01/10 3,350 3,275
Dobson/Sygnet Communications
12.250%, 12/15/08 1,000 998
Dolphin Telecommunications (B)
34.080%, 06/01/08 600 120
30.560%, 05/15/09 2,550 510
E.spire Communications
13.750%, 07/15/07 500 270
E.spire Communications (B)
35.970%, 11/01/05 1,800 900
34.090%, 04/01/06 500 240
25.550%, 07/01/08 500 165
Echostar Broadband (A)
10.375%, 10/01/07 5,000 4,975
Energis
9.750%, 06/15/09 650 640
Equinix
13.000%, 12/01/07 800 639
Fairpoint Communications
12.500%, 05/01/10 1,100 1,062
Flag
8.250%, 01/30/08 750 653
Focal Communications, Ser B (B)
18.070%, 02/15/08 1,550 729
Galaxy Telecommunications (A)
12.375%, 10/01/05 1,400 840
GCI
9.750%, 08/01/07 1,400 1,302
Global Crossing Holdings (A)
9.625%, 05/15/08 1,710 1,710
Global Telesystems
11.500%, 12/15/07 500 175
Global Telesystems Group
9.875%, 02/15/05 1,250 538
Globalstar LP/Capital
11.500%, 06/01/05 250 75
11.375%, 02/15/04 400 120
11.250%, 06/15/04 900 261
Golden Sky, Ser B (B)
13.500%, 03/01/07 1,000 700
GST USA (B) (C)
40.370%, 12/15/05 1,760 722
GT Group Telecomunications (B)
17.070%, 02/01/10 1,250 538
Hermes Europe Railtel BV
11.500%, 08/15/07 750 375
10.375%, 01/15/09 1,000 500
Horizon PCS (B)
6.850%, 10/01/10 5,400 2,754
ICG Holdings (B)
52.120%, 05/01/06 400 80
47.440%, 03/15/07 900 162
13.500%, 09/15/05 1,200 264
ICG Services (B)
39.480%, 02/15/08 1,250 175
72
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Insight Midwest
9.750%, 10/01/09 $ 2,250 $ 2,267
Intermedia Communications (B)
11.920%, 05/15/06 900 860
Intermedia Communications,
Ser B (B)
11.070%, 07/15/07 750 623
International Wire Group
11.750%, 06/01/05 1,250 1,256
International Wire Group, Ser B
11.750%, 06/01/05 2,250 2,261
IPCS (B)
13.370%, 07/15/10 2,750 1,513
ITC Deltacom
11.000%, 06/01/07 422 380
9.750%, 11/15/08 250 210
8.875%, 03/01/08 455 369
KMC Telecommunications
Holdings (B)
23.490%, 02/15/08 1,250 500
KPN Qwest BV
8.125%, 06/01/09 1,450 1,334
L-3 Communications, Ser B (A)
8.000%, 08/01/08 750 675
Leap Wireless International
12.500%, 04/15/10 5,500 4,290
Level 3 Communications
11.000%, 03/15/08 5,000 4,775
9.125%, 05/01/08 1,600 1,542
Level 3 Communications (B)
13.390%, 12/01/08 500 295
Loral Space & Communications
11.250%, 01/15/07 800 416
Mannesmann AG
9.000%, 06/01/09 1,350 1,404
Mastec, Ser B
7.750%, 02/01/08 700 665
McLeod USA
9.250%, 07/15/07 1,100 1,026
8.375%, 03/15/08 500 438
8.125%, 02/15/09 500 433
McLeod USA (B)
11.530%, 03/01/07 2,000 1,640
Metricom Finance
13.000%, 02/15/10 1,000 660
Metromedia Fiber Network
10.000%, 12/15/09 600 561
Metromedia Fiber Network, Ser B
10.000%, 11/15/08 1,200 1,122
Metromedia International Group,
Ser B
9.000%, 09/30/07 1,322 608
Microcell Telecommunications,
Ser B (B)
9.730%, 06/01/06 1,600 1,536
Motient, Ser B
12.250%, 04/01/08 900 650
MPower Communications
13.000%, 04/01/10 3,500 2,345
Nextel Communications (B)
10.670%, 02/15/08 1,600 1,224
10.510%, 09/15/07 1,700 1,394
Nextel Partners (A)
11.000%, 03/15/10 1,000 1,008
Nextel Partners (B)
12.420%, 02/01/09 1,301 917
Nextlink Communications
12.750%, 12/15/07 550 550
12.500%, 04/15/06 800 782
10.750%, 11/15/08 4,900 4,533
10.500%, 12/01/09 650 595
Nextlink Communications (B)
14.300%, 04/15/08 800 468
Northpoint Communications Group
12.875%, 02/15/10 800 800
NTL (B)
12.090%, 11/15/07 750 720
NTL, Ser A (B)
12.750%, 04/15/05 400 402
NTL, Ser B (B)
12,070%, 02/01/06 1,200 1,134
NTL Communications (A)
11.875%, 10/01/10 1,000 979
NTL Communications, Ser B
11.500%, 10/01/08 1,350 1,303
Orange PLC
8.000%, 08/01/08 650 650
Orbital Imaging, Ser B
11.625%, 03/01/05 950 333
Pac-West Telecommunications
13.500%, 02/01/09 1,900 1,672
Pagemart Nationwide (B)
15.000%, 02/01/05 750 690
Powertel
11.125%, 06/01/07 500 536
Powertel (B)
10.660%, 02/01/06 500 505
Price Communication Wireless
11.750%, 07/15/07 250 268
Primus Telecommunications Group
11.750%, 08/01/04 600 336
11.250%, 01/15/09 1,500 765
PTC International Finance (B)
13.900%, 07/01/07 1,000 700
Qwest Communications (B)
8.500%, 10/15/07 1,050 919
Qwest Communications, Ser B
10.875%, 04/01/07 325 353
73
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
HIGH YIELD BOND FUND--CONTINUED
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
RCN
10.125%, 01/15/10 $ 3,750 $ 2,663
10.000%, 10/15/07 1,720 1,273
RCN , Ser B (B)
18.160%, 02/15/08 1,300 624
RCN (B)
18.280%, 10/15/07 750 398
Rogers Cantel
9.375%, 06/01/08 900 927
RSL Communications
12.000%, 11/01/08 750 184
9.875%, 11/15/09 1,000 230
9.125%, 03/01/08 500 100
Rural Cellular, Ser B
9.625%, 05/15/08 850 812
Sitel
9.250%, 03/15/06 500 465
Sprint Spectrum
11.000%, 08/15/06 1,040 1,118
Startec Global Communications
12.000%, 05/15/08 500 395
Telecorp PCS (A)
10.625%, 07/15/10 4,000 4,040
Telecorp PCS (B)
11.520%, 04/15/09 3,750 2,541
Teligent
11.500%, 12/01/07 1,000 450
Tritel PCS (B)
11.860%, 05/15/09 4,150 2,801
Triton PCS (B)
11.010%, 05/01/08 1,000 750
US Unwired, Ser B (B)
14.560%, 11/01/09 1,800 963
Versatel Telecommunications
11.875%, 07/15/09 1,000 865
Viasystems, Ser B
9.750%, 06/01/07 600 566
Viatel
11.500%, 03/15/09 686 316
Viatel (B)
31.510%, 04/15/08 1,500 375
Voicestream Wire
10.375%, 11/15/09 1,650 1,782
Weblink Wireless (B)
23.600%, 02/01/08 1,500 570
Western Wireless
10.500%, 06/01/06 400 412
10.500%, 02/01/07 300 309
Williams Communications
10.875%, 10/01/09 1,350 1,235
Winstar Communications (A)
12.750%, 04/15/10 1,700 1,233
World Access
13.250%, 01/15/08 800 576
--------
142,381
--------
TRANSPORTATION SERVICES -- 0.2%
Allied Holdings, Ser B
8.625%, 10/01/07 850 723
Atlantic Express
10.750%, 02/01/04 500 443
Offshore Logistics, Ser B
7.875%, 01/15/08 600 549
--------
1,715
--------
WHOLESALE -- 0.1%
Owens & Minor
10.875%, 06/01/06 500 516
--------
Total Corporate Obligations
(Cost $773,128) 679,154
--------
CONVERTIBLE BOND -- 0.1%
Key Energy Group, CV to
25.9740 Shares
5.000%, 09/15/04 910 746
--------
Total Convertible Bond
(Cost $727) 746
--------
ASSET-BACKED OBLIGATION -- 0.1%
Constellation Finance LLC, Ser 1997-1
9.800%, 12/14/02 500 465
--------
Total Asset-Backed Obligation
(Cost $500) 465
--------
COMMON STOCKS -- 0.9%
Advanced Radio Telecom* 10,117 86
AT&T Canada* 1,714 52
Coinstar* 4,545 62
Completel Holdings (A)* 18,000 810
Crown Packaging* 100,848 --
Globalstar Telecommunications* 3,303 28
Globix* 19,712 460
Grant Prideco* 23,691 520
ICG Communications* 1,155 1
Intermedia Communications* 3,369 99
Jordan Telecommunications (F)* 500 15
Loral Space & Communication* 454 3
Metretek Technologies* 60,000 165
Microcell Telecommunications* 5,152 150
Nextlink Communications, Cl A* 8,974 316
OpTel (A)* 300 --
Pathmark Store* 74,685 920
Phase Metrics Cl A* 36,136 361
Price Communications* 89,949 1,760
Primus Telecommunications
Group* 1,047 10
74
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
SF Holdings Group, Cl C (A)* 200 $ --
Viatel* 2,863 29
Weatherford International* 23,167 996
World Access* 2,514 14
-------
Total Common Stocks
(Cost $4,832) 6,857
-------
PREFERRED/CONVERTIBLE STOCKS -- 1.4%
Adelphia Business Solution,
Ser B PIK 10 6
Adelphia Communications,
Ser B, Exchange 13.000% 2,500 248
Ainsworth Lumber PIK 1,500,000 1,395
Ameriking PIK (F) 3,127,200 125
Benedek Communications PIK 500,000 280
BPC Holding, Ser B PIK 568,443 455
Classic Communications (A) 3,000 50
Climachem PIK, Ser B 1,000,000 255
Crown Paper PIK 1,500,000 338
Diva Systems, Ser C (F)* 41,615 583
E.Spire Communications PIK (A) 580 99
Earthwatch 110,463 28
GPA Group (A) 1,000,000 530
Granite 100 8
Great Lakes Carbon, Ser B PIK 500,000 390
Interact Electriconic Marketing,
Convertible $14.00 (F) 700 70
Interact Operating PIK 400,715 92
Intermedia Communication,
Convertible $30.235 (A) 20,000 520
Intermedia Communication,
Ser B PIK 384 365
International Utility PIK (A) 181 11
International Utility
Structure PIK 500,000 350
Jazz Casino PIK 10,543 190
Mentus Media, Ser B PIK 1,128,000 451
Metretek Technologies* 300 326
Nextel Communications, Ser D PIK 725 769
Nextel Communications, Ser E PIK 3,977 382
Nextlink Communications PIK 8,088 356
Pegasus Communications PIK 2,500 307
Pegasus Communications,
Ser A PIK 1,212 127
Peninsula Gaming* 7,042 42
Primedia, Ser D, Exchange 10.000% 4,000 376
SD Warren PIK 927,000 1,017
Siligan Holdings PIK 336,000 353
-------
Total Preferred/Convertible Stocks
(Cost $14,161) 10,894
-------
WARRANTS -- 0.2%
Aavid Thermal Technologies,
Expires 02/01/07* 500 5
Airgate PCS, Expires 10/01/09* 1,400 121
Ampex, Expires 03/15/03 (A)* 34,000 --
Australis Media, Expires
10/30/01 (A) (F)* 500 --
Cable Satisfacton,
Expires 03/01/05* 2,000 40
Carrier1, Expires 02/19/09 (A)* 1,000 240
Clearnet Communications,
Expires 09/15/05* 1,320 44
Dairy Mart Stores, Expires
01/01/01* 1,334 --
Dayton Superior, Expires 06/15/09* 1,500 30
Diva System, Expires 01/01/10* 1,125 675
Diva Systems, Expires 03/01/08 (F)*11,271 158
DTI Holdings,
Expires 03/01/08 (A)* 6,250 --
E.Spire Communications,
Expires 11/01/05* 500 17
Equinix,
Expires 12/01/07* 800 120
Golden Ocean Group,
Expires 08/31/01* 688 --
GT Group Telecom,
Expires 02/01/10* 1,250 100
HF Holdings, Expires 07/15/02* 3,156 --
Inter Act Electronics,
Expires 12/15/09 (A)* 700 7
Inter Act Systems, Expires 08/01/03* 700 --
Key Energy Services,
Expires 01/15/09* 1,150 74
KMC Telecommunications
Holdings, Expires 04/15/08 (A)* 1,250 25
Leap Wireless,
Expires 04/15/10* 5,500 --
Metretek Technologies,
Expires 09/10/03* 30,000 4
Metricom, Expires 02/15/10* 1,000 20
Motient, Expires 04/01/08 (A)* 900 36
Mrs. Fields Holdings,
Expires 12/01/05* 800 --
Next Generation Media,
Expires 02/01/08* 2,365 --
Nextel International,
Expires 04/15/07* 1,400 39
Nextlink Communications,
Expires 02/01/09 (A)* 5,000 --
Orbital Imaging,
Expires 03/01/05 (A)* 950 5
75
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
HIGH YIELD BOND FUND--CONCLUDED
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
PLD Telekom,
Expires 06/01/06* 830 $ --
Republic Technology,
Expires 07/15/09* 750 --
Startec Global,
Expires 05/15/08 (A)* 500 2
USN Communication,
Expires 08/15/04* 11,540 12
Waste Systems International,
Expires 01/15/06* 8,250 --
Worldwide Flight,
Expires 08/15/07* 800 --
Wright Medical,
Expires 06/30/03* 20 --
XM Satellite Radio Holdings,
Expires 03/15/10* 1,200 168
--------
Total Warrants
(Cost $895) 1,942
--------
RIGHTS -- 0.0%
Abraxas Petroleum* 74,523 9
--------
Total Rights
(Cost $0) 9
--------
COMMERCIAL PAPER -- 2.6%
First Capital
6.630%, 10/02/00 $19,724 19,720
--------
Total Commercial Paper
(Cost $19,720) 19,720
--------
Total Investments -- 98.0%
(Cost $842,859) 748,683
--------
Other Assets and Liabilities, Net -- 2.0% 15,258
--------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based
on 83,450,852 outstanding shares of
beneficial interest $869,469
Undistributed net investment income 4
Accumulated net realized loss on investments (11,356)
Net unrealized depreciation on investments (94,176)
--------
Total Net Assets -- 100.0% $763,941
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $9.15
========
*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 GUIDLINES 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, 2000. 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).
(E) ZERO-COUPON SECURITY. RATE SHOWN IS THE EFFECTIVE YIELD AT THE DATE OF
PURCHASE.
(F) SECURITY CONSIDERED ILLIQUID
(H) IN DEFAULT ON INTEREST AND PRINCIPAL PAYMENT.
CV -- CONVERTIBLE SECURITY
FHLB -- FEDERAL HOME LOAN BANK
LLC -- LIMITED LIABILITY COMPANY
LP -- LIMITED PARTNERSHIP
MTN -- MEDIUM TERM NOTE
PCS -- PERSONAL COMMUNICATIONS SYSTEM
PIK -- PAYMENT-IN-KIND
PLC -- PUBLIC LIMITED COMPANY
SER -- SERIES
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS
76
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES (000)
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
--------------- --------------- -------------- --------------
LARGE CAP TAX-MANAGED SMALL CAP CORE FIXED
VALUE LARGE CAP VALUE INCOME
FUND FUND FUND FUND
--------------- --------------- -------------- --------------
<S> <C> <C> <C> <C>
ASSETS:
Investments at value
(Cost $3,379,293, $1,818,672,
$813,842 and $3,246,751, respectively) $3,557,159 $1,962,404 $ 887,590 $3,240,149
Cash -- -- 24 --
Income receivable 5,970 2,049 1,494 36,347
Receivable for investment securities sold 201,626 121,058 84,086 269,342
Receivable for capital shares sold 6,621 2,859 2,224 18,294
Other receivables 351 -- -- 944
---------- ---------- ---------- ----------
Total Assets 3,771,727 2,088,370 975,418 3,565,076
---------- ---------- ---------- ----------
LIABILITIES:
Distribution payable -- -- -- 16,102
Payable for investment securities purchased 215,800 115,927 66,688 429,634
Options written, at fair value (premiums
received $(2,250)) -- -- -- 1,602
Payable for capital shares redeemed 3,397 525 10,311 2,443
Accrued expenses payable 676 632 133 616
Payable for investment advisory fees 657 359 365 43
Payable for management fees 1,008 572 257 702
Payable for shareholder servicing fees 720 408 184 627
Other payables 371 343 204 --
Cash overdraft due to custodian 268 302 -- 204
---------- ---------- ---------- ----------
Total Liabilities 222,897 119,068 78,142 451,973
---------- ---------- ---------- ----------
Total Net Assets $3,548,830 $1,969,302 $ 897,276 $3,113,103
========== ========== ========== ==========
NET ASSETS:
Fund Shares of Class A (unlimited
authorization -- no par value) based on
189,765,829, 144,548,485, 55,613,095 and
308,961,580, respectively) 3,352,373 1,862,095 790,611 3,161,942
Undistributed net investment income/
(Distributions in excess of net
investment income) 12,549 2,512 2,033 (34)
Accumulated net realized gain (loss)
on investments 6,092 (38,864) 31,428 (43,504)
Net unrealized appreciation
(depreciation) on futures and options (50) (173) (544) 1,301
Net unrealized appreciation
(depreciation) on investments 177,866 143,732 73,748 (6,602)
---------- ---------- ---------- ----------
TOTAL NET ASSETS -- 100.0% $3,548,830 $1,969,302 $ 897,276 $3,113,103
========== ========== ========== ==========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE -- CLASS A $ 18.70 $ 13.62 $ 16.13 $ 10.08
========== ========== ========== ==========
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
77
<PAGE>
STATEMENTS OF OPERATIONS (000)
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE YEAR ENDED SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
-------------- -------------- ---------------- -------------- --------------
LARGE CAP LARGE CAP TAX-MANAGED SMALL CAP SMALL CAP
VALUE GROWTH LARGE CAP VALUE GROWTH
FUND FUND FUND FUND FUND
-------------- -------------- ---------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 66,388 $ 13,782 $ 18,103 $ 13,022 $ 984
Interest Income 6,704 7,114 3,520 2,050 4,010
-------- -------- -------- -------- --------
Total Investment Income 73,092 20,896 21,623 15,072 4,994
-------- -------- -------- -------- --------
EXPENSES:
Management Fees 10,648 13,788 4,898 2,476 4,876
Investment Advisory Fees 10,648 15,758 5,598 4,599 9,056
Waiver of Investment Advisory Fees (542) (2,002) (856) (382) (215)
Custodian/Wire Agent Fees 258 295 187 73 85
Transfer Agent Fees (1) -- -- -- -- 5
Professional Fees 69 76 50 21 23
Registration Fees 285 333 461 69 47
Printing Fees 81 81 59 23 27
Trustee Fees 21 24 17 7 7
Shareholder Servicing Fees 7,601 9,844 3,497 1,768 3,471
Waiver of Shareholder Servicing Fees (3,281) (4,773) (2,067) (894) (2,080)
Distribution Fees (1) -- -- -- -- 10
Other Expenses 71 62 52 23 23
-------- -------- -------- -------- --------
Total Expenses 25,859 33,486 11,896 7,783 15,335
-------- -------- -------- -------- --------
NET INVESTMENT INCOME (LOSS) 47,233 (12,590) 9,727 7,289 (10,341)
-------- -------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from
Security Transactions 19,640 235,607 (43,714) 39,470 496,609
Net Realized Gain from
Futures Contracts 2,749 2,306 5,441 3,009 1,119
Net Change in Unrealized
Appreciation (Depreciation) on
Investments and Futures Contracts 89,186 615,141 109,420 71,380 50,025
-------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $158,808 $840,464 $ 80,874 $121,148 $537,412
======== ======== ======== ======== ========
</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.
78
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------- ---------------- -------------- --------------
CAPITAL EQUITY
MID-CAP APPRECIATION INCOME BALANCED
FUND FUND FUND FUND
-------------- ---------------- -------------- --------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 530 $ 399 $ 1,104 $ 222
Interest Income 27 344 283 1,213
------ ------- ------- ------
Total Investment Income 557 743 1,387 1,435
------ ------- ------- ------
EXPENSES:
Management Fees 132 208 178 163
Investment Advisory Fees 151 238 204 186
Waiver of Investment Advisory Fees -- (45) (43) (24)
Custodian/Wire Agent Fees 7 6 4 4
Transfer Agent Fees (1) -- -- -- --
Professional Fees 2 1 2 1
Registration Fees 1 -- -- --
Printing Fees 2 2 1 1
Trustee Fees 1 1 -- --
Shareholder Servicing Fees 94 148 127 116
Waiver of Shareholder Servicing Fees (19) (63) (43) (104)
Distribution Fees (1) -- -- -- --
Other Expenses 6 3 3 5
------ ------- ------- ------
Total Expenses 377 499 433 348
------ ------- ------- ------
NET INVESTMENT INCOME (LOSS) 180 244 954 1,087
------ ------- ------- ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from
Security Transactions 5,452 15,093 6,164 3,510
Net Realized Gain from
Futures Contracts -- 825 514 --
Net Change in Unrealized
Appreciation (Depreciation) on
Investments and Futures Contracts 3,233 (4,928) (4,200) (465)
------ ------- ------- ------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $8,865 $11,234 $ 3,432 $4,132
====== ======= ======= ======
</TABLE>
[TABLE CONTINUED]
<TABLE>
<CAPTION>
-------------- ------------
CORE FIXED HIGH YIELD
INCOME BOND
FUND FUND
-------------- ------------
<S> <C> <C>
INVESTMENT INCOME:
Dividends $ -- $ 119
Interest Income 184,515 69,524
-------- --------
Total Investment Income 184,515 69,643
-------- --------
EXPENSES:
Management Fees 7,524 2,265
Investment Advisory Fees 7,390 3,155
Waiver of Investment Advisory Fees (655) (411)
Custodian/Wire Agent Fees 221 57
Transfer Agent Fees (1) -- --
Professional Fees 58 15
Registration Fees 179 83
Printing Fees 70 17
Trustee Fees 18 5
Shareholder Servicing Fees 6,714 1,617
Waiver of Shareholder Servicing Fees (5,554) (1,345)
Distribution Fees (1) -- --
Other Expenses 156 43
-------- --------
Total Expenses 16,121 5,501
-------- --------
NET INVESTMENT INCOME (LOSS) 168,394 64,142
-------- --------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from
Security Transactions (11,130) (9,654)
Net Realized Gain from
Futures Contracts 2,428 --
Net Change in Unrealized
Appreciation (Depreciation) on
Investments and Futures Contracts 31,396 (55,882)
-------- --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $191,088 $ (1,394)
======== ========
</TABLE>
79
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (000)
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE YEARS ENDED SEPTEMBER 30, 2000
AND SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
--------------- ------------------- ----------------- -------------------
LARGE CAP LARGE CAP TAX MANAGED SMALL CAP
VALUE FUND GROWTH FUND LARGE CAP FUND VALUE FUND
--------------- ------------------- ----------------- -------------------
10/1/99- 10/1/98- 10/1/99- 10/1/98- 10/1/99- 10/1/98- 10/1/99- 10/1/98-
9/30/00 9/30/99 9/30/00 9/30/99 9/30/00 9/30/99 9/30/00 9/30/99
--------- -------- --------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 47,233 $ 26,119 $ (12,590) $ (5,019) $ 9,727 $ 2,994 $ 7,289 $ 1,916
Net Realized Gain (Loss) from
Investment Transactions
and Futures Contracts 22,389 127,964 237,913 110,967 (38,273) 5,325 42,479 (1,485)
Net Change in Unrealized
Appreciation (Depreciation)
on Investments and
Futures Contracts 89,186 68,454 615,141 427,980 109,420 46,250 71,380 17,865
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
Net Increase (Decrease) in
Net Assets from Operations 158,808 222,537 840,464 533,928 80,874 54,569 121,148 18,296
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (42,400) (23,551) -- (263) (8,415) (2,277) (5,947) (1,735)
Class D -- -- -- -- -- -- -- --
Net Capital Gains:
Class A (117,434) (86,387) (93,509) (20,249) (1,970) -- -- (5,679)
Class D -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
Total Distributions (159,834) (109,938) (93,509) (20,512) (10,385) (2,277) (5,947) (7,414)
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares
Issued 1,935,065 1,360,331 2,440,172 1,380,695 1,444,684 571,869 430,626 337,780
Reinvestment of Cash
Distributions 146,901 97,218 85,579 18,036 9,571 2,229 5,174 6,101
Cost of Shares Redeemed (984,650) (528,511) (1,001,463) (664,539) (265,578) (86,351) (225,850) (212,648)
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 1,097,316 929,038 1,524,288 734,192 1,188,677 487,747 209,950 131,233
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
Class D:
Proceeds from Shares Issued -- -- -- -- -- -- -- --
Reinvestment of Cash
Distributions -- -- -- -- -- -- -- --
Cost of Shares Redeemed -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
Increase (Decrease) in
Net Assets Derived from
Class D Transactions -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions 1,097,316 929,038 1,524,288 734,192 1,188,677 487,747 209,950 131,233
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
Net Increase (Decrease)
in Net Assets 1,096,290 1,041,637 2,271,243 1,247,608 1,259,166 540,039 325,151 142,115
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
NET ASSETS:
Beginning of Period 2,452,540 1,410,903 2,626,807 1,379,199 710,136 170,097 572,125 430,010
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
End of Period $3,548,830 $2,452,540 $4,898,050 $2,626,807 $1,969,302 $710,136 $897,276 $572,125
========== ========== ========== ========== ========== ======== ======== =========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 106,621 69,200 69,501 49,658 107,191 45,189 30,258 23,701
Shares Issued in Lieu of
Cash Distributions 7,894 5,273 2,673 858 700 188 365 424
Shares Redeemed (54,039) (26,707) (28,933) (24,235) (19,468) (6,943) (15,690) (14,896)
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
Total Class A Transactions 60,476 47,766 43,241 26,281 88,423 38,434 14,933 9,229
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
Class D:
Shares Issued -- -- -- -- -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
Total Class D Transactions -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- -------- -------- ---------
Increase (Decrease) in Share
Transactions 60,476 47,766 43,241 26,281 88,423 38,434 14,933 9,229
========== ========== ========== ========== ========== ======== ======== =========
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
------------------
SMALL CAP
GROWTH FUND
------------------
10/1/99- 10/1/98-
9/30/00 9/30/99
-------- --------
<S> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ (10,341) $ (5,259)
Net Realized Gain (Loss) from
Investment Transactions
and Futures Contracts 497,728 110,401
Net Change in Unrealized
Appreciation (Depreciation)
on Investments and
Futures Contracts 50,025 205,116
---------- ---------
Net Increase (Decrease) in
Net Assets from Operations 537,412 310,258
---------- ---------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A -- --
Class D -- --
Net Capital Gains:
Class A (80,820) (2,521)
Class D (213) (8)
---------- ---------
Total Distributions (81,033) (2,529)
---------- ---------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares
Issued 1,068,219 542,770
Reinvestment of Cash
Distributions 67,665 1,996
Cost of Shares Redeemed (946,720) (456,962)
---------- ---------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 189,164 87,804
---------- ---------
Class D:
Proceeds from Shares Issued 1,338 162
Reinvestment of Cash
Distributions 210 8
Cost of Shares Redeemed (737) (609)
---------- ---------
Increase (Decrease) in
Net Assets Derived from
Class D Transactions 811 (439)
---------- ---------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions 189,975 87,365
---------- ---------
Net Increase (Decrease)
in Net Assets 646,354 395,094
---------- ---------
NET ASSETS:
Beginning of Period 933,438 538,344
---------- ---------
End of Period $1,579,792 $ 933,438
========== =========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 36,448 29,984
Shares Issued in Lieu of
Cash Distributions 2,709 128
Shares Redeemed (31,712) (25,232)
---------- ---------
Total Class A Transactions 7,445 4,880
---------- ---------
Class D:
Shares Issued 44 9
Shares Issued in Lieu of
Cash Distributions 9 1
Shares Redeemed (24) (38)
---------- ---------
Total Class D Transactions 29 (28)
---------- ---------
Increase (Decrease) in Share
Transactions 7,474 4,852
========== =========
</TABLE>
80
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
---------------- ------------------- ------------------ -----------------
MID-CAP CAPITAL EQUITY BALANCED
FUND APPRECIATION FUND INCOME FUND FUND
---------------- ------------------- ------------------ -----------------
10/1/99- 10/1/98- 10/1/99- 10/1/98- 10/1/99- 10/1/98- 10/1/99- 10/1/98-
9/30/00 9/30/99 9/30/00 9/30/99 9/30/00 9/30/99 9/30/00 9/30/99
------------------ ------------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 180 $ 153 $ 244 $ 560 $ 954 $ 1,730 $ 1,087 $ 1,424
Net Realized Gain (Loss) from
Investment Transactions
and Futures Contracts 5,452 2,913 15,918 18,764 6,678 27,864 3,510 4,743
Net Change in Unrealized
Appreciation (Depreciation)
on Investments and
Futures Contracts 3,233 2,720 (4,928) 7,939 (4,200) (11,164) (465) 3,412
------- -------- -------- -------- -------- -------- ------- --------
Net Increase (Decrease) in
Net Assets from Operations 8,865 5,786 11,234 27,263 3,432 18,430 4,132 9,579
------- -------- -------- -------- -------- -------- ------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (173) (175) (407) (775) (1,219) (1,872) (1,211) (1,553)
Class D -- -- -- -- -- -- -- --
Net Capital Gains:
Class A (3,370) (2,535) (20,458) (30,075) (25,817) (29,773) (4,888) (7,596)
Class D -- -- -- -- -- -- -- --
------- -------- -------- -------- -------- -------- ------- --------
Total Distributions (3,543) (2,710) (20,865) (30,850) (27,036) (31,645) (6,099) (9,149)
------- -------- -------- -------- -------- -------- ------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares Issued 18,223 11,842 21,588 32,245 27,327 28,403 9,765 15,963
Reinvestment of Cash
Distributions 2,602 2,081 13,507 23,588 14,435 14,288 5,078 7,799
Cost of Shares Redeemed (18,994) (17,164) (63,019) (86,390) (63,295) (65,217) (28,280) (25,961)
------- -------- -------- -------- -------- -------- ------- --------
Increase (Decrease) in Net
Assets Derived from 1,831 (3,241) (27,924) (30,557) (21,533) (22,526) (13,437) (2,199)
Class A Transactions ------- -------- -------- -------- -------- -------- ------- --------
Class D: -- -- -- -- -- -- -- --
Proceeds from Shares Issued
Reinvestment of Cash -- -- -- -- -- -- -- --
Distributions -- -- -- -- -- -- -- --
Cost of Shares Redeemed ------- -------- -------- -------- -------- -------- ------- --------
Increase (Decrease) in
Net Assets Derived from -- -- -- -- -- -- -- --
Class D Transactions ------- -------- -------- -------- -------- -------- ------- --------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions 1,831 (3,241) (27,924) (30,557) (21,533) (22,526) (13,437) (2,199)
------- -------- -------- -------- -------- -------- ------- --------
Net Increase (Decrease) 7,153 (165) (37,555) (34,144) (45,137) (35,741) (15,404) (1,769)
in Net Assets ------- -------- -------- -------- -------- -------- ------- --------
NET ASSETS:
Beginning of Period 34,995 35,160 84,597 118,741 80,835 116,576 54,487 56,256
------- -------- -------- -------- -------- -------- ------- --------
End of Period $42,148 $ 34,995 $ 47,042 $ 84,597 $ 35,698 $ 80,835 $39,083 $ 54,487
======= ======== ======== ======== ======== ======== ======= ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 1,124 755 1,816 2,359 2,475 2,112 814 1,482
Shares Issued in Lieu of
Cash Distributions 176 140 1,255 1,898 1,571 1,153 429 629
Shares Redeemed (1,184) (1,102) (5,482) (6,336) (6,630) (4,822) (2,371) (2,018)
------- -------- -------- -------- -------- -------- ------- --------
Total Class A Transactions 116 (207) (2,411) (2,079) (2,584) (1,557) (1,128) 93
------- -------- -------- -------- -------- -------- ------- --------
Class D:
Shares Issued -- -- -- -- -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- -- -- --
------- -------- -------- -------- -------- -------- ------- --------
Total Class D Transactions -- -- -- -- -- -- -- --
------- -------- -------- -------- -------- -------- ------- --------
Increase (Decrease) in Share
Transactions 116 (207) (2,411) (2,079) (2,584) (1,557) (1,128) 93
======= ======= ======== ======== ======== ======== ======= ========
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------ ------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
------------------ -------------------
10/1/99- 10/1/98- 10/1/99- 10/1/98-
9/30/00 9/30/99 9/30/00 9/30/99
------------------ -------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net Investment Income (Loss) $ 168,394 $ 103,984 $ 64,142 $ 39,761
Net Realized Gain (Loss) from
Investment Transactions
and Futures Contracts (8,702) (32,847) (9,654) (1,682)
Net Change in Unrealized
Appreciation (Depreciation)
on Investments and
Futures Contracts 31,396 (89,226) (55,882) (26,407)
---------- ---------- -------- --------
Net Increase (Decrease) in
Net Assets from Operations 191,088 (18,089) (1,394) 11,672
---------- ---------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income:
Class A (168,653) (103,767) (64,133) (39,761)
Class D -- -- -- --
Net Capital Gains:
Class A -- (32,584) -- (1,963)
Class D -- -- -- --
---------- ---------- -------- --------
Total Distributions (168,653) (136,351) (64,133) (41,724)
---------- ---------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares Issued 1,371,881 1,496,575 388,032 277,641
Reinvestment of Cash
Distributions 152,255 117,984 61,918 40,166
Cost of Shares Redeemed (781,921) (576,951)(127,700) (95,474)
---------- ---------- -------- --------
Increase (Decrease) in Net
Assets Derived from 742,215 1,037,608 322,250 222,333
Class A Transactions ---------- ---------- -------- --------
Class D: -- -- -- --
Proceeds from Shares Issued
Reinvestment of Cash -- -- -- --
Distributions -- -- -- --
Cost of Shares Redeemed ---------- ---------- -------- --------
Increase (Decrease) in
Net Assets Derived from -- -- -- --
Class D Transactions ---------- ---------- -------- --------
Increase (Decrease) in
Net Assets Derived
from Capital Share
Transactions 742,215 1,037,608 322,250 222,333
---------- ---------- -------- --------
Net Increase (Decrease) 764,650 883,168 256,723 192,281
in Net Assets ---------- ---------- -------- --------
NET ASSETS:
Beginning of Period 2,348,453 1,465,285 507,218 314,937
---------- ---------- -------- --------
End of Period $3,113,103 $2,348,453 $763,941 $507,218
========== ========== ======== ========
SHARES ISSUED AND REDEEMED:
Class A:
Shares Issued 138,379 144,349 39,913 26,304
Shares Issued in Lieu of
Cash Distributions 15,329 11,370 6,462 3,807
Shares Redeemed (78,988) (55,637) (13,109) (9,051)
---------- ---------- -------- --------
Total Class A Transactions 74,720 100,082 33,266 21,060
---------- ---------- -------- --------
Class D:
Shares Issued -- -- -- --
Shares Issued in Lieu of
Cash Distributions -- -- -- --
Shares Redeemed -- -- -- --
---------- ---------- -------- --------
Total Class D Transactions -- -- -- --
---------- ---------- -------- --------
Increase (Decrease) in Share
Transactions 74,720 100,082 33,266 21,060
========== ========== ======== ========
</TABLE>
81
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE PERIODS ENDED SEPTEMBER 30,
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET NET UNREALIZED DIVIDENDS FROM
VALUE, INVESTMENT GAINS/ FROM NET REALIZED NET ASSET NET ASSETS
BEGINNING INCOME (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF
OF PERIOD (LOSS) ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIO (000)
----------------------------------------------------------------------------------------------------------------------------
--------------------
LARGE CAP VALUE FUND
--------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
2000 $18.97 $ 0.27 $ 0.56 $(0.26) $(0.84) $18.70 4.47% $3,548,830
1999 17.31 0.24 2.67 (0.24) (1.01) 18.97 17.13 2,452,540
1998 19.37 0.25 (0.42) (0.26) (1.63) 17.31 (1.40) 1,410,903
1997 14.78 0.28 5.77 (0.29) (1.17) 19.37 44.12 866,826
1996 13.00 0.32 2.01 (0.26) (0.29) 14.78 18.33 515,011
---------------------
LARGE CAP GROWTH FUND
---------------------
CLASS A
2000 $28.58 $(0.04) $ 8.67 $ -- $(0.97) $36.24 30.67% $4,898,050
1999 21.01 (0.05) 7.92 -- (0.30) 28.58 37.74 2,626,807
1998 20.40 0.03 1.62 (0.04) (1.00) 21.01 8.35 1,379,199
1997 15.03 0.03 6.33 (0.05) (0.94) 20.40 44.35 800,479
1996 12.75 0.07 2.51 (0.08) (0.22) 15.03 20.59 482,079
--------------------------
TAX-MANAGED LARGE CAP FUND
--------------------------
CLASS A
2000 $12.65 $ 0.09 $ 1.00 $(0.09) $(0.03) $13.62 8.66% $1,969,302
1999 9.61 0.08 3.04 (0.08) -- 12.65 32.60 710,136
1998(1) 10.00 0.04 (0.42) (0.01) -- 9.61 (3.82) 170,097
---------------------
SMALL CAP VALUE FUND
---------------------
CLASS A
2000 $14.06 $ 0.15 $ 2.05 $(0.13) $ -- $16.13 15.74% $ 897,276
1999 13.67 0.05 0.57 (0.05) (0.18) 14.06 4.47 572,125
1998 17.85 0.05 (2.22) (0.04) (1.97) 13.67 (13.68) 430,010
1997 13.17 0.05 5.74 (0.05) (1.06) 17.85 47.16 323,337
1996 12.19 0.02 1.27 (0.01) (0.30) 13.17 10.86 163,177
---------------------
SMALL CAP GROWTH FUND
---------------------
CLASS A
2000 $21.12 $(0.01) $11.28 $ -- $(1.82) $30.57 55.28% $1,575,462
1999 13.68 (0.12) 7.62 -- (0.06) 21.12 55.00 931,024
1998 19.32 (0.08) (4.92) -- (0.64) 13.68 (26.53) 536,393
1997 20.51 0.02 2.64 -- (3.85) 19.32 17.23 561,414
1996 19.88 (0.08) 4.37 -- (3.66) 20.51 26.56 380,525
CLASS D
2000 $20.63 $ 0.29 $10.63 $ -- $(1.82) $29.73 54.87%* $ 4,330
1999 13.40 (0.26) 7.55 -- (0.06) 20.63 54.58* 2,414
1998 18.99 (0.14) (4.81) -- (0.64) 13.40 (26.74)* 1,951
1997 20.29 (0.11) 2.66 -- (3.85) 18.99 16.80* 2,202
1996 19.78 (0.07) 4.24 -- (3.66) 20.29 26.01* 1,826
</TABLE>
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF NET RATIO OF INVESTMENT
INVESTMENT EXPENSES INCOME (LOSS)
RATIO OF INCOME TO AVERAGE TO AVERAGE
EXPENSES (LOSS) NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
---------------------------------------------------------------------------------------
--------------------
LARGE CAP VALUE FUND
--------------------
<S> <C> <C> <C> <C> <C>
CLASS A
2000 0.85% 1.55% 0.97% 1.43% 70%
1999 0.85 1.26 0.85 1.26 49
1998 0.85 1.42 0.85 1.42 79
1997 0.85 1.74 0.85 1.74 67
1996 0.83 2.31 0.83 2.31 75
----------------
LARGE CAP GROWTH
----------------
CLASS A
2000 0.85% (0.32)% 1.02% (0.49)% 69%
1999 0.85 (0.24) 0.90 (0.29) 45
1998 0.85 0.11 0.90 0.06 80
1997 0.85 0.22 0.90 0.17 73
1996 0.82 0.50 0.87 0.45 90
--------------------------
TAX-MANAGED LARGE CAP FUND
--------------------------
CLASS A
2000 0.85% 0.69% 1.06% 0.48% 47%
1999 0.85 0.71 0.90 0.66 21
1998(1) 0.85 1.18 0.90 1.13 12
--------------------
SMALL CAP VALUE FUND
--------------------
CLASS A
2000 1.10% 1.03% 1.28% 0.85% 119%
1999 1.10 0.38 1.10 0.38 130
1998 1.10 0.34 1.10 0.34 77
1997 1.11 0.37 1.11 0.37 98
1996 1.11 0.15 1.11 0.15 121
---------------------
SMALL CAP GROWTH FUND
---------------------
CLASS A
2000 1.10% (0.74)% 1.27% (0.91)% 182%
1999 1.10 (0.72) 1.10 (0.72) 141
1998 1.10 (0.56) 1.10 (0.56) 128
1997 1.10 (0.60) 1.10 (0.60) 107
1996 1.10 (0.63) 1.11 (0.64) 167
CLASS D
2000 1.35% (0.99)% 1.41% (1.05)% 182%
1999 1.42 (1.04) 1.47 (1.09) 141
1998 1.46 (0.92) 1.46 (0.92) 128
1997 1.46 (0.95) 1.46 (0.95) 107
1996 1.49 (1.02) 1.49 (1.02) 167
</TABLE>
82
<PAGE>
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET UNREALIZED DIVIDENDS FROM
VALUE, NET GAINS FROM NET REALIZED NET ASSET NET ASSETS
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL END OF
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000)
------------------------------------------------------------------------------------------------------------------------------------
------------
MID-CAP FUND
------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
2000 $15.19 $ 0.07 $ 3.76 $(0.07) $(1.53) $17.42 27.14% $ 42,148
1999 14.00 0.07 2.21 (0.07) (1.02) 15.19 16.53 34,995
1998 19.56 0.13 (2.67) (0.15) (2.87) 14.00 (15.41) 35,160
1997 14.96 0.13 5.86 (0.14) (1.25) 19.56 43.13 35,047
1996 13.04 0.18 1.89 (0.15) -- 14.96 16.03 24,954
-------------------------
CAPITAL APPRECIATION FUND
-------------------------
CLASS A
2000 $13.23 $ 0.05 $ 2.03 $(0.08) $(3.43) $11.80 18.46% $ 47,042
1999 14.01 0.07 2.92 (0.09) (3.68) 13.23 23.13 84,597
1998 18.20 0.16 0.92 (0.16) (5.11) 14.01 7.08 118,741
1997 18.14 0.21 4.65 (0.22) (4.58) 18.20 34.02 164,238
1996 16.70 0.20 3.18 (0.17) (1.77) 18.14 22.14 236,581
------------------
EQUITY INCOME FUND
------------------
CLASS A
2000 $12.59 $ 0.20 $ 0.50 $(0.22) $(3.77) $ 9.30 6.60% $ 35,698
1999 14.61 0.24 1.87 (0.24) (3.89) 12.59 15.35 80,835
1998 18.02 0.41 (0.09) (0.38) (3.35) 14.61 1.51 116,576
1997 16.40 0.39 4.33 (0.42) (2.68) 18.02 33.46 173,766
1996 16.07 0.49 2.20 (0.41) (1.95) 16.40 18.17 202,823
-------------
BALANCED FUND
-------------
CLASS A
2000 $12.49 $ 0.28 $ 0.80 $(0.31) $(1.18) $12.08 9.18% $ 39,083
1999 13.17 0.31 1.10 (0.34) (1.75) 12.49 11.22 54,487
1998 14.06 0.41 0.80 (0.40) (1.70) 13.17 9.49 56,256
1997 13.94 0.41 2.27 (0.42) (2.14) 14.06 22.38 51,195
1996 12.76 0.42 1.44 (0.34) (0.34) 13.94 15.01 57,915
* SALES LOAD IS NOT REFLECTED IN TOTAL RETURN.
(1) TAX MANAGED LARGE CAP CLASS A SHARES WERE OFFERED BEGINNING MARCH 4, 1998. ALL RATIOS HAVE BEEN ANNUALIZED.
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF RATIO INVESTMENT
NET OF EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
EXPENSES INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
-------------------------------------------------------------------------------------------------
------------
MID-CAP FUND
------------
<S> <C> <C> <C> <C> <C>
CLASS A
2000 1.00% 0.48% 1.05% 0.43% 170%
1999 1.00 0.40 1.00 0.40 139
1998 1.00 0.93 1.00 0.93 106
1997 0.93 0.79 0.94 0.78 92
1996 0.77 1.28 0.88 1.17 101
--------------------
CAPITAL APPRECIATION
--------------------
CLASS A
2000 0.84% 0.41% 1.02% 0.23% 140%
1999 0.84 0.47 0.91 0.41 147
1998 0.84 1.03 0.89 0.98 238
1997 0.84 1.20 0.89 1.15 178
1996 0.84 1.20 0.86 1.18 153
------------------
EQUITY INCOME FUND
------------------
CLASS A
2000 0.85% 1.88% 1.02% 1.71% 91%
1999 0.85 1.66 0.91 1.60 75
1998 0.85 1.85 0.90 1.80 66
1997 0.85 2.38 0.90 2.33 40
1996 0.83 3.00 0.86 2.97 43
-------------
BALANCED FUND
-------------
CLASS A
2000 0.75% 2.34% 1.02% 2.07% 205%
1999 0.75 2.39 0.75 2.39 188
1998 0.75 2.90 0.80 2.85 183
1997 0.75 3.15 0.81 3.09 197
1996 0.75 2.98 0.84 2.89 143
</TABLE>
83
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- FOR THE PERIODS ENDED SEPTEMBER 30,
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
NET REALIZED
AND DISTRIBUTIONS
NET ASSET UNREALIZED DIVIDENDS FROM
VALUE, NET GAINS FROM NET REALIZED NET ASSET
BEGINNING INVESTMENT (LOSSES) INVESTMENT CAPITAL VALUE, END TOTAL
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN
-------------------------------------------------------------------------------------------------------------------------------
----------------------
CORE FIXED INCOME FUND
----------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
2000 $10.03 $ 0.62 $ 0.05 $(0.62) $ -- $10.08 6.97%
1999 10.92 0.56 (0.66) (0.56) (0.23) 10.03 (0.96)
1998 10.40 0.61 0.54 (0.61) (0.02) 10.92 11.42
1997 10.23 0.63 0.33 (0.63) (0.16) 10.40 9.80
1996 10.46 0.64 (0.18) (0.69) -- 10.23 4.51
--------------------
HIGH YIELD BOND FUND
--------------------
CLASS A
2000 $10.11 $ 0.96 $(0.96) $(0.96) $ -- $ 9.15 (0.09)%
1999 10.81 1.02 (0.64) (1.02) (0.06) 10.11 3.51
1998 11.66 1.04 (0.75) (1.04) (0.10) 10.81 2.25
1997 11.14 1.04 0.57 (1.04) (0.05) 11.66 15.30
1996 10.64 0.94 0.62 (1.03) (0.03) 11.14 15.46
AMOUNTS DESIGNATED AS "--" ARE ZERO OR HAVE BEEN ROUNDED TO ZERO.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF RATIO INVESTMENT
NET OF EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES INCOME NET ASSETS NET ASSETS PORTFOLIO
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
----------------------------------------------------------------------------------------------------------------------------
----------------------
CORE FIXED INCOME FUND
----------------------
<S> <C> <C> <C> <C> <C>
CLASS A
2000 $3,113,103 0.60% 6.27% 0.83% 6.04% 265%
1999 2,348,453 0.60 5.47 0.60 5.47 334
1998 1,465,285 0.60 5.77 0.60 5.77 344
1997 1,063,335 0.60 6.17 0.61 6.16 216
1996 655,300 0.57 6.24 0.64 6.17 311
--------------------
HIGH YIELD BOND FUND
--------------------
CLASS A 3
2000 $ 763,941 0.85% 9.92% 1.12% 9.65% 40%
1999 507,218 0.85 9.62 0.89 9.58 17
1998 314,937 0.85 8.94 0.89 8.90 56
1997 236,457 0.86 9.33 0.91 9.28 68
1996 107,545 0.87 9.01 0.94 8.94 55
</TABLE>
84
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
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 Funds. The Trust is registered to offer
Class A shares 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, 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
85
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
allocated to the respective classes on the basis of relative daily net assets.
FUTURES CONTRACTS--The Large Cap Value, Large Cap Growth, Tax-Managed Large
Cap, Capital Appreciation and Equity Income Funds utilized S&P 500 Composite
Index futures contracts; the Small Cap Value and the Small Cap Growth Funds
utilized the Russell 2000 Index future contracts and the S&P 500 Composite Index
future contracts; and the Core Fixed Income Fund utilized U.S. Long T-Bond, five
and ten year note, and Euro futures contracts during the period ended September
30, 2000 . The Funds' investment in S&P 500 Composite 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.
The following Funds had futures contracts open as of September 30, 2000:
<TABLE>
<CAPTION>
CONTRACT UNREALIZED
TYPE OF NUMBER OF VALUE EXPIRATION DEPRECIATION
FUND CONTRACT CONTRACTS (000) DATE (000)
-------------------------- ----------------------- --------------- ------------ ---------- ---------------
<S> <C> <C> <C> <C> <C>
Large Cap Value Fund S&P 500 Composite Index 49 $17,858 12/15/00 $ (50)
-----
Large Cap Growth Fund S&P 500 Composite Index 86 31,409 12/15/00 (154)
-----
Tax Managed Large Cap Fund S&P 500 Composite Index 62 22,706 12/15/00 (173)
-----
Small Cap Value Fund Russell 2000 Index 46 12,587 12/15/00 (457)
S&P 500 Composite Index 23 8,446 12/15/00 (87)
-----
(544)
-----
Small Cap Growth Fund Russell 2000 Index 93 25,121 12/15/00 (598)
S&P 500 Composite Index 8 2,928 12/15/00 (20)
-----
(618)
-----
Capital Appreciation Fund S&P 500 Composite Index 7 2,647 12/15/00 (103)
-----
Equity Income Fund S&P 500 Composite Index 9 3,325 12/15/00 (54)
-----
</TABLE>
86
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
CONTRACT APPRECIATION
TYPE OF NUMBER OF VALUE EXPIRATION (DEPRECIATION)
FUND CONTRACT CONTRACTS (000) DATE (000)
---------------------- ----------------------------------- ------------ ---------- ------------ ------------
<S> <C> <C> <C> <C> <C>
Core Fixed Income Fund September 2000 U.S. Long Bond 1,844 181,652 10/06/00 $ (824)
September 2000 U.S. Long Bond (1,844) (181,509) 10/06/00 681
September 2000 Ten Year Note 899 88,558 10/06/00 1,300
September 2000 Ten Year Note (899) (89,061) 10/06/00 (796)
September 2000 Ten Year Agency Note 196 18,270 10/06/00 129
September 2000 Ten Year Agency Note (196) (18,413) 10/06/00 13
September 2000 Five Year Note 1,660 163,824 10/06/00 2,539
September 2000 Five Year Note (1,660) (164,291) 10/06/00 (2,072)
December 2000 Ten Year Note (276) (27,567) 01/02/01 (93)
December 2000 Ten Year Note (310) (30,914) 01/02/01 (154)
December 2000 Ten Year Agency Note 547 51,328 12/29/00 389
December 2000 U.S. Long Bond 28 2,754 12/20/00 8
December 2000 U.S. Long Bond 1,835 181,908 12/20/00 (874)
December 2000 U.S. Long Bond (1,057) (104,634) 12/20/00 355
December 2000 Five Year Note 349 34,998 01/02/01 93
December 2000 Five Year Note (1) (100) 01/02/01 --
December 2000 Five Year Note 502 50,413 01/02/01 61
December 2000 Five Year Note (1,876) (188,509) 01/02/01 (117)
June 2001 Euro$ (55) (12,798) 06/18/01 (60)
June 2001 Euro$ 55 12,781 06/18/01 77
-------
$ 655
</TABLE>
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,
87
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
cost, market value as of September 30, 2000, 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
Enterprise Mortgage
Acceptance, Ser 1991-1, IO 1,540,738 03/31/99 $ 104,763
FFCA Secured Lending
Series 1997-1, IO 20,851,282 03/17/99 964,372
MARKET VALUE VALUE PER PERCENTAGE OF
AT 09/30/00 SHARE NET ASSETS
------------ --------- -------------
CORE FIXED INCOME FUND
Enterprise Mortgage
Acceptance, Ser 1991-1, IO $ 96,958 0.06 0.00%
FFCA Secured Lending
Series 1997-1, IO 804,729 0.04 0.03
NUMBER ACQUISITION
OF SHARES DATE COST
---------- ----------- ------
HIGH YIELD BOND FUND
Drypers, Ser B 1,450,000 03/13/98 $1,450,000
MARKET VALUE VALUE PER PERCENTAGE OF
AT 09/30/00 SHARE NET ASSETS
------------ ---------- -------------
HIGH YIELD BOND FUND
Drypers, Ser B $232,000 $0.16 0.03%
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, Small Cap Value, 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.
RECLASSIFICATION OF COMPONENTS OF NET ASSETS--The timing and
characterization of certain income and capital gains distributions are
determined annually in accordance with federal tax regulations which may differ
from generally accepted accounting principals. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for a
reporting period may differ significantly from distributions during such period.
These book/tax differences may be temporary or permanent in nature. To the
extent these differences are permanent, they are charged or credited to
paid-in-capital or accumulated net realized gain, as appropriate, in the period
that the differences arise. Accordingly, the following permanent differences,
primarily attributable to net operating losses and the classification of
short-term capital gains and ordinary income for tax purposes, have been
reclassified to/from the following accounts:
UNDISTRI-
BUTED NET
ACCUMULATED INVESTMENT
PAID-IN- REALIZED INCOME/
CAPITAL GAIN/ (LOSS)
(000) (LOSS) (000) (000)
---------- ------------- ----------
Large Cap Value Fund $ 5,935 $ (5,935) $ --
Large Cap Growth Fund 26,310 (38,900) 12,590
Small Cap Value Fund 6,742 (6,742) --
Small Cap Growth Fund 125,458 (135,799) 10,341
Capital Appreciation Fund -- (15) 15
These reclassification have no effect on net assets or net asset value per
share.
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,
88
<PAGE>
--------------------------------------------------------------------------------
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, LLP, LSV Asset Management L.P., Iridian 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, September 25, 2000 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
TCW Investment Management Company each serve as an investment sub-adviser to a
portion of the assets of the Large Cap Growth Fund and are party to investment
sub-advisory agreements with the Trust and SIMC dated December 16, 1994, May 1,
1996 and September 18, 1998, respectively. Under the investment sub-advisory
agreements, each party receives an annual fee, paid by SIMC.
Alliance Capital Management L.P., Mellon Equity Associates, LLP, Sanford C.
Bernstein & Co., Equinox Capital Management and Provident Investment Councel,
Inc. 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, with the exception of Provident
Investment Councel, Inc., which started March 22, 2000 and Equinox Capital
Management, which started September 25, 2000. Under the investment sub-advisory
agreements, each party receives an annual fee, paid by SIMC.
Boston Partners Asset Management, L.P., LSV Asset Management L.P., Mellon
Equity Associates, LLP, Artisan Partners Limited Partnership, Chartwell
Investment Partners and Security Capital Global Capital Management Group Inc.
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 November 1, 1995, December 9, 1996, September 10, 1998,
March 26, 1999, September 27, 2000 and September 14, 1999, respectively. Under
the investment sub-advisory agreements, each party receives an annual fee, paid
by SIMC.
Nicholas-Applegate Capital Management, Wall Street Associates, RS
Investment Management, L.P., Sawgrass Asset Management, LLC and Mazama Capital
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, March
24, 1998, April 4, 1999 and December 13, 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.
89
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000
Provident Investment Counsel, Inc. ("PIC") 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 May 1, 1996. Under the
investment sub-advisory agreement, PIC receives an annual fee for each Fund,
paid by SIMC.
HighMark Capital Management, Inc. 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.
Western Asset Management Company, BlackRock Financial Management, Inc., and
Robert W. Baird & Co., Inc. 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 March 20, 2000, January 2,
1996, and March 20, 2000, respectively. Under the investment sub-advisory
agreements, each party receives an annual fee, paid by SIMC.
Credit Suisse Asset Management, LLC and Nomura Corporate Research and Asset
Management each serve as an investment sub-adviser to the High Yield Bond Fund
and are parties to an investment sub-advisory agreement with the Trust and SIMC
dated August 11, 1995, and September 22, 1999, respectively. Under the
investment sub-advisory agreement, Credit Suisse Asset Management LLC/Americas
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"). 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 have entered into agreements with the Distributor to act
as an agent in placing repurchase agreements for the Funds. For its services,
the Distributor received $326,413 for the year ended September 30, 2000.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities,
other than temporary cash investments during the year ended September 30, 2000
were as follows:
PURCHASES
----------
U.S. GOV'T. OTHER TOTAL
(000) (000) (000)
------------ ------------ ------------
Large Cap Value Fund $ -- $3,000,778 $3,000,778
Large Cap Growth Fund -- 4,050,178 4,050,178
Tax-Managed Large
Cap Fund -- 1,809,629 1,809,629
Small Cap Value Fund -- 998,712 998,712
Small Cap Growth Fund -- 2,478,161 2,478,161
Mid-Cap Fund -- 63,286 63,286
Capital Appreciation Fund -- 75,609 75,609
Equity Income Fund -- 42,338 42,338
Balanced Fund 26,521 63,319 89,840
Core Fixed Income Fund 6,532,966 656,430 7,189,396
High Yield Bond Fund -- 514,990 514,990
90
<PAGE>
--------------------------------------------------------------------------------
SALES
------------
U.S.GOV'T. OTHER TOTAL
(000) (000) (000)
---------- ----------- -----------
Large Cap Value Fund $ -- $2,052,471 $2,052,471
Large Cap Growth Fund -- 2,649,617 2,649,617
Tax-Managed Large
Cap Fund -- 630,356 630,356
Small Cap Value Fund -- 810,130 810,130
Small Cap Growth Fund -- 2,394,393 2,394,393
Mid-Cap Fund -- 66,159 66,159
Capital Appreciation Fund -- 118,693 118,693
Equity Income Fund -- 85,927 85,927
Balanced Fund 23,874 81,919 105,793
Core Fixed Income Fund 6,119,901 442,178 6,562,079
High Yield Bond Fund -- 229,348 229,348
At September 30, 2000, 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, 2000 is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
------------ ------------ ------------
Large Cap
Value Fund $ 456,581 $(278,715) $177,866
Large Cap
Growth Fund 1,460,442 (130,252) 1,330,190
Tax-Managed
Large Cap Fund 267,651 (123,919) 143,732
Small Cap
Value Fund 130,001 (56,253) 73,748
Small Cap
Growth Fund 354,304 (120,201) 234,103
Mid-Cap Fund 6,758 (3,032) 3,726
Capital Appreciation
Fund 14,949 (1,496) 13,453
Equity Income Fund 9,402 (1,018) 8,384
Balanced Fund 6,780 (766) 6,014
Core Fixed
Income Fund 33,142 (39,744) (6,602)
High Yield
Bond Fund 12,687 (106,863) (94,176)
Subsequent to October 31, 1999, the Funds recognized net capital losses for
tax purposes that have been deferred to 2001 and can be used to offset future
capital gains at September 30, 2001. The funds also had capital loss
carryforwards at September 30, 2000 as follows:
CAPITAL POST
LOSS 10/31
CARRYOVER EXPIRES EXPIRES DEFERRED
09/30/00 2007 2008 LOSS
(000) (000) (000) (000)
--------- ------- -------- ---------
Tax Managed Large
Cap Fund $ 1,508 $-- $ 1,508 $22,675
Core Fixed Income
Fund 35,450 -- 35,450 1,013
High Yield Bond Fund 3,723 8 3,715 6,493
6. WRITTEN OPTIONS TRANSACTIONS
Written option transactions entered into during the year ending September
30, 2000 are summarized as follows:
CORE FIXED INCOME FUND
--------------------------------
PREMIUM
# OF CONTRACTS (000)
---------------- ----------
Balance at the beginning
of period 865 $ 775
Written 11,345 6,990
Expired (3,019) (1,391)
Exercised -- --
Closing Buys (5,597) (4,124)
----------- --------
Balanced at the
end of period 3,594 $ 2,250
=========== ========
At September 30, 2000 the Core Fixed Income Fund had sufficient cash and/or
securities at least equal to the value of written options.
7. LINE OF CREDIT
The Large Cap Growth, Small Cap Growth, Mid-Cap, Capital Appreciation,
Equity Income, Balanced, Core Fixed Income and High Yield Bond Funds
collectively entered into an agreement which enbables them to participate in a
$21,513,926 unsecured line of credit with Chase Manhattan Bank. Interest is
charged to each participating Fund based on its borrowings at a rate per annum
equal to the Federal Funds rate plus 0.625%. Borrowings under the line of credit
are secured by investment securities of the Funds equal to 110% of such
borrowings which may not exceed 10% of the Fund's total assets. During the year
ended September 30, 2000, no borrowings were made from this line of credit.
91
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
--------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of
SEI Institutional Managed Trust
In our opinion, the accompanying 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, 2000, the results of their operations, the changes
in their net assets and the financial highlights for the periods presented, in
conformity with accounting principles generally accepted in the United States of
America. 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 auditing standards generally accepted in the United States of
America, 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, 2000 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 17, 2000
92
<PAGE>
NOTICE TO SHAREHOLDERS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2000 (UNAUDITED)
For shareholders that do not have a September 30, 2000 taxable year end, this
notice is for informational purposes only. For shareholders with a September 30,
2000 taxable year end, please consult your tax adviser as to the pertinence of
this notice.
For the fiscal year ended September 30, 2000 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:
(A)* (B)*
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL (C)**
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS QUALIFYING
FUND (TAX BASIS) (TAX BASIS) (TAX BASIS) DIVIDENDS(1)
-------- ------------- ------------- ------------ -------------
Large Cap Value Fund 37% 63% 100% 66%
Large Cap Growth Fund 93 7 100 49
Tax-Managed
Large Cap Fund 19 81 100 99
Small Cap Value Fund 15 85 100 38
Small Cap Growth Fund 35 65 100 1
Mid-Cap Fund 82 18 100 43
Capital Appreciation
Fund 74 26 100 8
Equity Income Fund 75 25 100 51
Balanced Fund 34 66 100 8
Core Fixed Income
Fund -- 100 100 --
High Yield Bond Fund -- 100 100 --
(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.
93
<PAGE>
NOTES
<PAGE>
-------------------------------------
SEI INSTITUTIONAL
MANAGED TRUST
-------------------------------------
ANNUAL REPORT
-------------------------------------
SEPTEMBER 30, 2000
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
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
Timothy D. Barto
VICE PRESIDENT, ASSISTANT SECRETARY
James Foggo
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Mark Nagle
CONTROLLER AND CHIEF FINANCIAL OFFICER
Christine McCullough
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
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 1o800oDIALoSEI/1o800o342o5734
<PAGE>
[SEI logo omitted]
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456
800-DIAL-SEI/800-342-5734
SEI-F-087 (9/00)
