-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MgI6oUm4hB9Mi2O3Sk+75dxkszo28TazpHpHof2RhpaK9FJH4VmOb2w3o+mhAXj2 YxIdq6rm9M8nJEpfGL3ldg== 0001193125-09-182816.txt : 20090827 0001193125-09-182816.hdr.sgml : 20090827 20090827135937 ACCESSION NUMBER: 0001193125-09-182816 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20090630 FILED AS OF DATE: 20090827 DATE AS OF CHANGE: 20090827 EFFECTIVENESS DATE: 20090827 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI ASSET ALLOCATION TRUST CENTRAL INDEX KEY: 0001003632 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-07445 FILM NUMBER: 091038933 BUSINESS ADDRESS: STREET 1: 1 FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 BUSINESS PHONE: 610 676-3097 MAIL ADDRESS: STREET 1: 1 FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 0001003632 S000005808 SAAT AGGRESSIVE STRATEGY FUND C000015946 SAAT AGGRESSIVE STRATEGY FUND - CLASS A C000015947 SAAT AGGRESSIVE STRATEGY FUND - CLASS I 0001003632 S000005809 SAAT DIVERSIFIED MODERATE GROWTH FUND C000015948 SAAT DIVERSIFIED MODERATE GROWTH FUND - CLASS I C000015949 SAAT DIVERSIFIED MODERATE GROWTH FUND - CLASS A SAMGX C000015950 SAAT DIVERSIFIED MODERATE GROWTH FUND - CLASS D SMGDX 0001003632 S000005810 SAAT DIVERSIFIED U.S. STOCK FUND C000015951 SAAT DIVERSIFIED U.S. STOCK FUND - CLASS I C000015952 SAAT DIVERSIFIED U.S. STOCK FUND - CLASS A SAUSX C000015953 SAAT DIVERSIFIED U.S. STOCK FUND - CLASS D SADDX 0001003632 S000005811 SAAT MARKET GROWTH STRATEGY FUND C000015954 SAAT MARKET GROWTH STRATEGY FUND - CLASS A C000015955 SAAT MARKET GROWTH STRATEGY FUND - CLASS I 0001003632 S000005812 SAAT MODERATE STRATEGY FUND C000015956 SAAT MODERATE STRATEGY FUND - CLASS A C000015957 SAAT MODERATE STRATEGY FUND - CLASS I 0001003632 S000005813 SAAT TAX-MANAGED AGGRESSIVE STRATEGY FUND C000015958 SAAT TAX-MANAGED AGGRESSIVE STRATEGY FUND - CLASS A 0001003632 S000005814 SAAT CONSERVATIVE STRATEGY ALLOCATION FUND C000015959 SAAT CONSERVATIVE STRATEGY ALLOCATION FUND - CLASS A 0001003632 S000005815 SAAT CORE MARKET STRATEGY ALLOCATION FUND C000015960 SAAT CORE MARKET STRATEGY ALLOCATION FUND - CLASS A 0001003632 S000005816 SAAT DEFENSIVE STRATEGY ALLOCATION FUND C000015961 SAAT DEFENSIVE STRATEGY ALLOCATION FUND - CLASS A 0001003632 S000005817 SAAT MARKET GROWTH STRATEGY ALLOCATION FUND C000015962 SAAT MARKET GROWTH STRATEGY ALLOCATION FUND - CLASS A 0001003632 S000005818 SAAT MODERATE STRATEGY ALLOCATION FUND C000015963 SAAT MODERATE STRATEGY ALLOCATION FUND - CLASS A 0001003632 S000005819 SAAT CONSERVATIVE STRATEGY FUND C000015964 SAAT CONSERVATIVE STRATEGY FUND - CLASS A C000015965 SAAT CONSERVATIVE STRATEGY FUND - CLASS I 0001003632 S000005820 SAAT CORE MARKET STRATEGY FUND C000015966 SAAT CORE MARKET STRATEGY FUND - CLASS A C000015967 SAAT CORE MARKET STRATEGY FUND - CLASS I 0001003632 S000005821 SAAT DEFENSIVE STRATEGY FUND C000015968 SAAT DEFENSIVE STRATEGY FUND - CLASS A C000015969 SAAT DEFENSIVE STRATEGY FUND - CLASS I 0001003632 S000005822 SAAT DIVERSIFIED CONSERVATIVE FUND C000015970 SAAT DIVERSIFIED CONSERVATIVE FUND - CLASS I C000015971 SAAT DIVERSIFIED CONSERVATIVE FUND - CLASS A SACNX C000015972 SAAT DIVERSIFIED CONSERVATIVE FUND - CLASS D SEADX 0001003632 S000005823 SAAT DIVERSIFIED CONSERVATIVE INCOME FUND C000015973 SAAT DIVERSIFIED CONSERVATIVE INCOME FUND - CLASS I C000015974 SAAT DIVERSIFIED CONSERVATIVE INCOME FUND - CLASS A SACIX C000015975 SAAT DIVERSIFIED CONSERVATIVE INCOME FUND - CLASS D SDCDX 0001003632 S000005824 SAAT DIVERSIFIED GLOBAL GROWTH FUND C000015976 SAAT DIVERSIFIED GLOBAL GROWTH FUND - CLASS I C000015977 SAAT DIVERSIFIED GLOBAL GROWTH FUND - CLASS A SAGRX C000015978 SAAT DIVERSIFIED GLOBAL GROWTH FUND - CLASS D SAGDX 0001003632 S000005825 SAAT DIVERSIFIED GLOBAL MODERATE GROWTH FUND C000015979 SAAT DIVERSIFIED GLOBAL MODERATE GROWTH FUND - CLASS I C000015980 SAAT DIVERSIFIED GLOBAL MODERATE GROWTH FUND - CLASS A SAGMX C000015981 SAAT DIVERSIFIED GLOBAL MODERATE GROWTH FUND - CLASS D SDMDX 0001003632 S000005826 SAAT DIVERSIFIED GLOBAL STOCK FUND C000015982 SAAT DIVERSIFIED GLOBAL STOCK FUND - CLASS I C000015983 SAAT DIVERSIFIED GLOBAL STOCK FUND - CLASS A SAGSX C000015984 SAAT DIVERSIFIED GLOBAL STOCK FUND - CLASS D SDGDX N-Q 1 dnq.htm SEI ASSET ALLOCATION TRUST SEI Asset Allocation Trust

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-07445

 

 

SEI Asset Allocation Trust

(Exact name of registrant as specified in charter)

 

 

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Address of principal executive offices) (Zip code)

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

CT Corporation

101 Federal Street

Boston, MA 02110

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-800-342-5734

Date of fiscal year end: March 31, 2010

Date of reporting period: June 30, 2009

 

 

 

Item 1. Schedule of Investments

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Diversified Conservative Income Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.0%

      

FIXED INCOME FUND — 55.2%

      

SEI Institutional Managed Trust Core Fixed Income Fund, Class A*

    2,408,654    $ 22,497
         

Total Fixed Income Fund
(Cost $23,785) ($ Thousands)

         22,497
         

EQUITY FUNDS — 24.8%

      

SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A

    1,423,397      8,910

SEI Institutional Managed Trust Small Cap Growth Fund, Class A

    36,354      405

SEI Institutional Managed Trust Small Cap Value Fund, Class A

    35,669      400

SEI Institutional Managed Trust Small/Mid Cap Diversified Alpha Fund, Class A

    78,987      404
         

Total Equity Funds
(Cost $12,709) ($ Thousands)

         10,119
         

MONEY MARKET FUND (A) — 20.0%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    8,145,978      8,146
         

Total Money Market Fund
(Cost $8,146) ($ Thousands)

         8,146
         

Total Investments — 100.0%
(Cost $44,640) ($ Thousands)†

       $ 40,762
         

 

Percentages are based on Net Assets of $40,769 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
* The Fund’s investment in the SEI Institutional Managed Trust Core Fixed Income Fund, Class A represents greater than 50% of the Fund’s total investments. The SEI Institutional Managed Trust Core Fixed Income Fund seeks to have current income consistent with the preservation of capital. For further financial information, available upon request at no charge, on the SEI Institutional Managed Trust Core Fixed Income Fund please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $48,064 ($ Thousands), and the unrealized appreciation and depreciation were $160 ($ Thousands) and $(7,462) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Fixed Income Fund

    $ 22,497    $ —      $ —      $ 22,497

Equity Funds

      10,119      —        —        10,119

Money Market Fund

      8,146      —        —        8,146
               
            $ 40,762
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Diversified Conservative Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.1%

      

FIXED INCOME FUND — 59.3%

      

SEI Institutional Managed Trust Core Fixed Income Fund, Class A*

    2,818,149    $ 26,322
         

Total Fixed Income Fund
(Cost $27,361) ($ Thousands)

         26,322
         

EQUITY FUNDS — 39.7%

      

SEI Institutional International Trust International Equity Fund, Class A

    526,253      3,520

SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A

    1,987,342      12,441

SEI Institutional Managed Trust Small Cap Growth Fund, Class A

    50,277      560

SEI Institutional Managed Trust Small Cap Value Fund, Class A

    49,828      559

SEI Institutional Managed Trust Small/Mid Cap Diversified Alpha Fund, Class A

    110,107      563
         

Total Equity Funds
(Cost $22,960) ($ Thousands)

         17,643
         

MONEY MARKET FUND (A) — 1.1%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    478,315      478
         

Total Money Market Fund
(Cost $478) ($ Thousands)

         478
         

Total Investments — 100.1%
(Cost $50,799) ($ Thousands)†

       $ 44,443
         

 

Percentages are based on Net Assets of $44,409 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
* The Fund’s investment in the SEI Institutional Managed Trust Core Fixed Income Fund, Class A represents greater than 50% of the Fund’s total investments. The SEI Institutional Managed Trust Core Fixed Income Fund seeks to have current income consistent with the preservation of capital. For further financial information, available upon request at no charge, on the SEI Institutional Managed Trust Core Fixed Income Fund please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $55,975 ($ Thousands), and the unrealized appreciation and depreciation were $120 ($ Thousands) and $(11,652) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Fixed Income Fund

    $ 26,322    $ —      $ —      $ 26,322

Equity Funds

      17,643      —        —        17,643

Money Market Fund

      478      —        —        478
               
            $ 44,443
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Diversified Global Moderate Growth Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.2%

      

EQUITY FUNDS — 59.8%

      

SEI Institutional International Trust Emerging Markets Equity Fund, Class A

    143,499    $ 1,144

SEI Institutional International Trust International Equity Fund, Class A

    2,380,450      15,925

SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A

    7,222,580      45,213

SEI Institutional Managed Trust Small Cap Growth Fund, Class A

    182,172      2,030

SEI Institutional Managed Trust Small Cap Value Fund, Class A

    182,732      2,050

SEI Institutional Managed Trust Small/Mid Cap Diversified Alpha Fund, Class A

    398,677      2,037
         

Total Equity Funds
(Cost $75,199) ($ Thousands)

         68,399
         

FIXED INCOME FUNDS — 39.4%

      

SEI Institutional International Trust Emerging Markets Debt Fund, Class A

    125,140      1,144

SEI Institutional Managed Trust Core Fixed Income Fund, Class A

    3,827,479      35,749

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    1,407,724      8,108
         

Total Fixed Income Funds
(Cost $44,543) ($ Thousands)

         45,001
         

MONEY MARKET FUND (A) — 1.0%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    1,175,362      1,175
         

Total Money Market Fund
(Cost $1,175) ($ Thousands)

         1,175
         

Total Investments — 100.2%
(Cost $120,917) ($ Thousands)†

       $ 114,575
         

 

Percentages are based on Net Assets of $114,386 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $133,421 ($ Thousands), and the unrealized appreciation and depreciation were $6,167 ($ Thousands) and $(25,013) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 68,399    $ —      $ —      $ 68,399

Fixed Income Funds

      45,001      —        —        45,001

Money Market Fund

      1,175      —        —        1,175
               
            $ 114,575
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Diversified Moderate Growth Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.3%

      

EQUITY FUNDS — 59.9%

      

SEI Institutional International Trust International Equity Fund, Class A

    1,286,322    $ 8,606

SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A

    4,856,509      30,402

SEI Institutional Managed Trust Small Cap Growth Fund, Class A

    122,566      1,365

SEI Institutional Managed Trust Small Cap Value Fund, Class A

    122,923      1,379

SEI Institutional Managed Trust Small/Mid Cap Diversified Alpha Fund, Class A

    268,195      1,370
         

Total Equity Funds
(Cost $51,857) ($ Thousands)

         43,122
         

FIXED INCOME FUND — 39.4%

      

SEI Institutional Managed Trust Core Fixed Income Fund, Class A

    3,035,628      28,353
         

Total Fixed Income Fund
(Cost $28,114) ($ Thousands)

         28,353
         

MONEY MARKET FUND (A) — 1.0%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    752,187      752
         

Total Money Market Fund
(Cost $752) ($ Thousands)

         752
         

Total Investments — 100.3%
(Cost $80,723) ($ Thousands)†

       $ 72,227
         

 

Percentages are based on Net Assets of $72,013 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $96,767 ($ Thousands), and the unrealized appreciation and depreciation were $0 ($ Thousands) and $(24,540) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 43,122    $ —      $ —      $ 43,122

Fixed Income Fund

      28,353      —        —        28,353

Money Market Fund

      752      —        —        752
               
            $ 72,227
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Diversified Global Growth Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.0%

      

EQUITY FUNDS — 79.7%

      

SEI Institutional International Trust Emerging Markets Equity Fund, Class A

    296,230    $ 2,361

SEI Institutional International Trust International Equity Fund, Class A

    3,163,753      21,166

SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A*

    9,955,339      62,320

SEI Institutional Managed Trust Small Cap Growth Fund, Class A

    251,883      2,806

SEI Institutional Managed Trust Small Cap Value Fund, Class A

    251,151      2,818

SEI Institutional Managed Trust Small/Mid Cap Diversified Alpha Fund, Class A

    547,994      2,800
         

Total Equity Funds
(Cost $133,905) ($ Thousands)

         94,271
         

FIXED INCOME FUNDS — 19.2%

      

SEI Institutional Managed Trust Core Fixed Income Fund, Class A

    1,914,524      17,881

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    831,549      4,790
         

Total Fixed Income Funds
(Cost $22,616) ($ Thousands)

         22,671
         

MONEY MARKET FUND (A) — 1.1%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    1,242,028      1,242
         

Total Money Market Fund
(Cost $1,242) ($ Thousands)

         1,242
         

Total Investments — 100.0%
(Cost $157,763) ($ Thousands)†

       $ 118,184
         

 

Percentages are based on Net Assets of $118,234 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
* The Fund’s investment in the SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A represents greater than 50% of the Fund’s total investments. The SEI Institutional Managed Trust Large Cap Diversified Alpha Fund seeks to provide capital appreciation. For further financial information, available upon request at no charge, on the SEI Institutional Managed Trust Large Cap Diversified Alpha Fund please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $173,102 ($ Thousands), and the unrealized appreciation and depreciation were $584 ($ Thousands) and $(55,502) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 94,271    $ —      $ —      $ 94,271

Fixed Income Funds

      22,671      —        —        22,671

Money Market Fund

      1,242      —        —        1,242
               
            $ 118,184
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Diversified Global Stock Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.8%

      

EQUITY FUNDS — 99.8%

      

SEI Institutional International Trust Emerging Markets Equity Fund, Class A

    157,420    $ 1,255

SEI Institutional International Trust International Equity Fund, Class A

    2,150,798      14,389

SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A*

    6,531,075      40,885

SEI Institutional Managed Trust Small Cap Growth Fund, Class A

    165,065      1,839

SEI Institutional Managed Trust Small Cap Value Fund, Class A

    165,016      1,851

SEI Institutional Managed Trust Small/Mid Cap Diversified Alpha Fund, Class A

    359,335      1,836
         

Total Equity Funds
(Cost $85,064) ($ Thousands)

         62,055
         

MONEY MARKET FUND (A) — 1.0%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    631,277      631
         

Total Money Market Fund
(Cost $631) ($ Thousands)

         631
         

Total Investments — 100.8%
(Cost $85,695) ($ Thousands)†

       $ 62,686
         

 

Percentages are based on Net Assets of $62,215 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
* The Fund’s investment in the SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A represents greater than 50% of the Fund’s total investments. The SEI Institutional Managed Trust Large Cap Diversified Alpha Fund seeks to provide capital appreciation. For further financial information, available upon request at no charge, on the SEI Institutional Managed Trust Large Cap Diversified Alpha Fund please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $92,792 ($ Thousands), and the unrealized appreciation and depreciation were $1,682 ($ Thousands) and $(31,788) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 62,055    $ —      $ —      $ 62,055

Money Market Fund

      631      —        —        631
               
            $ 62,686
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Diversified U.S. Stock Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.0%

      

EQUITY FUNDS — 99.0%

      

SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A*

    5,368,005    $ 33,604

SEI Institutional Managed Trust Small Cap Growth Fund, Class A

    135,792      1,513

SEI Institutional Managed Trust Small Cap Value Fund, Class A

    135,518      1,520

SEI Institutional Managed Trust Small/Mid Cap Diversified Alpha Fund, Class A

    296,118      1,513
         

Total Equity Funds
(Cost $58,444) ($ Thousands)

         38,150
         

MONEY MARKET FUND (A) — 1.0%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    403,031      403
         

Total Money Market Fund
(Cost $403) ($ Thousands)

         403
         

Total Investments — 100.0%
(Cost $58,847) ($ Thousands)†

       $ 38,553
         

 

Percentages are based on Net Assets of $38,534 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
* The Fund’s investment in the SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A represents greater than 50% of the Fund’s total investments. The SEI Institutional Managed Trust Large Cap Diversified Alpha Fund seeks to provide capital appreciation. For further financial information, available upon request at no charge, on the SEI Institutional Managed Trust Large Cap Diversified Alpha Fund please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $61,099 ($ Thousands), and the unrealized appreciation and depreciation were $1 ($ Thousands) and $(22,547) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 38,150    $ —      $ —      $ 38,150

Money Market Fund

      403      —        —        403
               
            $ 38,553
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Defensive Strategy Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.4%

      

FIXED INCOME FUNDS — 20.1%

      

SEI Institutional Managed Trust Core Fixed Income Fund, Class A

    472,743    $ 4,415

SEI Institutional Managed Trust Enhanced Income Fund, Class A

    323,603      2,197

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    385,008      2,218
         

Total Fixed Income Funds
(Cost $9,921) ($ Thousands)

         8,830
         

MONEY MARKET FUND (A) — 80.3%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%*

    35,245,646      35,246
         

Total Money Market Fund
(Cost $35,246) ($ Thousands)

         35,246
         

Total Investments — 100.4%
(Cost $45,167) ($ Thousands)†

       $ 44,076
         

 

Percentages are based on Net Assets of $43,910 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
* The Fund’s investment in the SEI Liquid Asset Trust Prime Obligation Fund, Class A represents greater than 50% of the Fund’s total investments. The SEI Liquid Asset Trust Prime Obligation Fund seeks to preserve principal value and maintain a high degree of liquidity while providing current income. For further financial information, available upon request at no charge, on the SEI Liquid Asset Trust Prime Obligation Fund please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $45,934 ($ Thousands), and the unrealized appreciation and depreciation were $70 ($ Thousands) and $(1,928) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Fixed Income Funds

    $ 8,830    $ —      $ —      $ 8,830

Money Market Fund

      35,246      —        —        35,246
               
            $ 44,076
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Defensive Strategy Allocation Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.2%

      

EQUITY FUNDS — 59.9%

      

SEI Institutional Managed Trust Real Estate Fund, Class A

    263,495    $ 1,895

SEI Institutional Managed Trust U.S. Managed Volatility Fund, Class A

    430,520      3,741
         

Total Equity Funds
(Cost $6,197) ($ Thousands)

         5,636
         

FIXED INCOME FUND — 40.0%

      

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    654,239      3,768
         

Total Fixed Income Fund
(Cost $4,764) ($ Thousands)

         3,768
         

MONEY MARKET FUND (A) — 0.3%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    23,532      24
         

Total Money Market Fund
(Cost $24) ($ Thousands)

         24
         

Total Investments — 100.2%
(Cost $10,985) ($ Thousands)†

       $ 9,428
         

 

Percentages are based on Net Assets of $9,412 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $13,306 ($ Thousands), and the unrealized appreciation and depreciation were $106 ($ Thousands) and $(3,984) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 5,636    $ —      $ —      $ 5,636

Fixed Income Fund

      3,768      —        —        3,768

Money Market Fund

      24      —        —        24
               
            $ 9,428
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Conservative Strategy Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.1%

      

FIXED INCOME FUNDS — 60.2%

      

SEI Daily Income Trust Ultra Short Bond Fund, Class A

    3,298,157    $ 28,661

SEI Institutional Managed Trust Core Fixed Income Fund, Class A

    1,181,725      11,037

SEI Institutional Managed Trust Enhanced Income Fund, Class A

    1,940,821      13,178

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    2,309,134      13,301
         

Total Fixed Income Funds
(Cost $77,279) ($ Thousands)

         66,177
         

EQUITY FUNDS — 10.9%

      

SEI Institutional Managed Trust Global Managed Volatility Fund, Class A

    453,210      3,295

SEI Institutional Managed Trust Real Estate Fund, Class A

    307,356      2,210

SEI Institutional Managed Trust U.S. Managed Volatility Fund, Class A

    754,993      6,561
         

Total Equity Funds
(Cost $13,504) ($ Thousands)

         12,066
         

MONEY MARKET FUND (A) — 29.0%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    31,879,171      31,879
         

Total Money Market Fund
(Cost $31,879) ($ Thousands)

         31,879
         

Total Investments — 100.1%
(Cost $122,662) ($ Thousands)†

       $ 110,122
         

 

Percentages are based on Net Assets of $109,975 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $128,609 ($ Thousands), and the unrealized appreciation and depreciation were $1 ($ Thousands) and $(18,488) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Fixed Income Funds

    $ 66,177    $ —      $ —      $ 66,177

Equity Funds

      12,066      —        —        12,066

Money Market Fund

      31,879      —        —        31,879
               
            $ 110,122
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Conservative Strategy Allocation Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 99.6%

      

EQUITY FUNDS — 66.4%

      

SEI Institutional Managed Trust Real Estate Fund, Class A

    670,700    $ 4,822

SEI Institutional Managed Trust U.S. Managed Volatility Fund, Class A

    1,120,777      9,740
         

Total Equity Funds
(Cost $16,112) ($ Thousands)

         14,562
         

FIXED INCOME FUND — 32.8%

      

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    1,247,279      7,184
         

Total Fixed Income Fund
(Cost $6,365) ($ Thousands)

         7,184
         

MONEY MARKET FUND (A) — 0.4%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    89,631      90
         

Total Money Market Fund
(Cost $90) ($ Thousands)

         90
         

Total Investments — 99.6%
(Cost $22,567) ($ Thousands)†

       $ 21,836
         

 

Percentages are based on Net Assets of $21,914 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $26,896 ($ Thousands), and the unrealized appreciation and depreciation were $769 ($ Thousands) and $(5,829) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 14,562    $ —      $ —      $ 14,562

Fixed Income Fund

      7,184      —        —        7,184

Money Market Fund

      90      —        —        90
               
            $ 21,836
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Moderate Strategy Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.2%

      

FIXED INCOME FUNDS — 54.0%

      

SEI Institutional Managed Trust Core Fixed Income Fund, Class A

    5,787,274    $ 54,053

SEI Institutional Managed Trust Enhanced Income Fund, Class A

    7,622,362      51,756

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    7,159,427      41,238
         

Total Fixed Income Funds
(Cost $156,894) ($ Thousands)

         147,047
         

EQUITY FUNDS — 46.0%

      

SEI Institutional Managed Trust Global Managed Volatility Fund, Class A

    5,620,839      40,864

SEI Institutional Managed Trust Large Cap Growth Fund, Class A

    868,206      13,535

SEI Institutional Managed Trust Large Cap Value Fund, Class A

    1,136,586      13,526

SEI Institutional Managed Trust Real Estate Fund, Class A

    2,292,367      16,482

SEI Institutional Managed Trust U.S. Managed Volatility Fund, Class A

    4,681,830      40,685
         

Total Equity Funds
(Cost $154,642) ($ Thousands)

         125,092
         

MONEY MARKET FUND (A) — 0.2%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    571,918      572
         

Total Money Market Fund
(Cost $572) ($ Thousands)

         572
         

Total Investments — 100.2%
(Cost $312,108) ($ Thousands)†

       $ 272,711
         

 

Percentages are based on Net Assets of $272,264 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $366,576 ($ Thousands), and the unrealized appreciation and depreciation were $11 ($ Thousands) and $(93,876) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Fixed Income Funds

    $ 147,047    $ —      $ —      $ 147,047

Equity Funds

      125,092      —        —        125,092

Money Market Fund

      572      —        —        572
               
            $ 272,711
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Moderate Strategy Allocation Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 99.9%

      

EQUITY FUNDS — 81.9%

      

SEI Institutional International Trust International Equity Fund, Class A

    856,900    $ 5,733

SEI Institutional Managed Trust Real Estate Fund, Class A

    811,340      5,833

SEI Institutional Managed Trust Tax-Managed Large Cap Fund, Class A

    1,295,907      11,482

SEI Institutional Managed Trust U.S. Managed Volatility Fund, Class A

    3,387,693      29,439
         

Total Equity Funds
(Cost $62,389) ($ Thousands)

         52,487
         

FIXED INCOME FUND — 18.0%

      

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    1,999,305      11,516
         

Total Fixed Income Fund
(Cost $11,657) ($ Thousands)

         11,516
         

Total Investments — 99.9%
(Cost $74,046) ($ Thousands)†

       $ 64,003
         

 

Percentages are based on Net Assets of $64,094 ($ Thousands).

 

† At June 30, 2009, the tax basis cost of the Fund’s investments was $85,906 ($ Thousands), and the unrealized appreciation and depreciation were $57 ($ Thousands) and $(21,960) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 52,487    $ —      $ —      $ 52,487

Fixed Income Fund

      11,516      —        —        11,516
               
            $ 64,003
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Aggressive Strategy Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.6%

      

EQUITY FUNDS — 80.0%

      

SEI Institutional International Trust Emerging Markets Equity Fund, Class A

    692,145    $ 5,516

SEI Institutional International Trust International Equity Fund, Class A

    7,388,797      49,431

SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A

    20,998,670      131,452

SEI Institutional Managed Trust Small Cap Growth Fund, Class A

    992,846      11,060

SEI Institutional Managed Trust Small Cap Value Fund, Class A

    985,802      11,061

SEI Institutional Managed Trust Small/Mid Cap Diversified Alpha Fund, Class A

    2,159,538      11,035
         

Total Equity Funds
(Cost $332,173) ($ Thousands)

         219,555
         

FIXED INCOME FUNDS — 20.3%

      

SEI Institutional International Trust Emerging Markets Debt Fund, Class A

    2,125,923      19,431

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    6,311,315      36,353
         

Total Fixed Income Funds
(Cost $58,088) ($ Thousands)

         55,784
         

MONEY MARKET FUND (A) — 0.3%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    696,624      697
         

Total Money Market Fund
(Cost $697) ($ Thousands)

         697
         

Total Investments — 100.6%
(Cost $390,958) ($ Thousands)†

       $ 276,036
         

 

Percentages are based on Net Assets of $274,280 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $419,206 ($ Thousands), and the unrealized appreciation and depreciation were $1,969 ($ Thousands) and $(145,139) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 219,555    $ —      $ —      $ 219,555

Fixed Income Funds

      55,784      —        —        55,784

Money Market Fund

      697      —        —        697
               
            $ 276,036
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Tax-Managed Aggressive Strategy Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.7%

      

EQUITY FUNDS — 88.5%

      

SEI Institutional International Trust Emerging Markets Equity Fund, Class A

    128,144    $ 1,022

SEI Institutional International Trust International Equity Fund, Class A

    1,215,990      8,135

SEI Institutional Managed Trust Tax-Managed Large Cap Fund, Class A*

    3,218,164      28,513

SEI Institutional Managed Trust Tax-Managed Small Cap Fund, Class A

    912,800      7,147
         

Total Equity Funds
(Cost $45,887) ($ Thousands)

         44,817
         

FIXED INCOME FUNDS — 12.0%

      

SEI Institutional International Trust Emerging Markets Debt Fund, Class A

    168,447      1,540

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    786,519      4,530
         

Total Fixed Income Funds
(Cost $5,426) ($ Thousands)

         6,070
         

MONEY MARKET FUND (A) — 0.2%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    115,288      115
         

Total Money Market Fund
(Cost $115) ($ Thousands)

         115
         

Total Investments — 100.7%
(Cost $51,428) ($ Thousands)†

       $ 51,002
         

 

Percentages are based on Net Assets of $50,627 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
* The Fund’s investment in the SEI Institutional Managed Trust Tax-Managed Large Cap Fund, Class A represents greater than 50% of the Fund’s total investments. The SEI Institutional Managed Trust Tax-Managed Large Cap Fund seeks to provide high long-term after-tax returns. For further financial information, available upon request at no charge, on the SEI Institutional Managed Trust Tax-Managed Large Cap Fund please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $53,956 ($ Thousands), and the unrealized appreciation and depreciation were $2,375 ($ Thousands) and $(5,329) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 44,817    $ —      $ —      $ 44,817

Fixed Income Funds

      6,070      —        —        6,070

Money Market Fund

      115      —        —        115
               
            $ 51,002
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Core Market Strategy Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.0%

      

FIXED INCOME FUNDS — 60.1%

      

SEI Institutional International Trust Emerging Markets Debt Fund, Class A

    142,007    $ 1,298

SEI Institutional Managed Trust Core Fixed Income Fund, Class A

    3,455,184      32,271

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    905,009      5,213
         

Total Fixed Income Funds
(Cost $39,956) ($ Thousands)

         38,782
         

EQUITY FUNDS — 39.7%

      

SEI Institutional International Trust Emerging Markets Equity Fund, Class A

    80,912      645

SEI Institutional International Trust International Equity Fund, Class A

    860,793      5,759

SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A

    2,459,168      15,394

SEI Institutional Managed Trust Small Cap Growth Fund, Class A

    115,407      1,286

SEI Institutional Managed Trust Small Cap Value Fund, Class A

    114,276      1,282

SEI Institutional Managed Trust Small/Mid Cap Diversified Alpha Fund, Class A

    251,554      1,285
         

Total Equity Funds
(Cost $34,916) ($ Thousands)

         25,651
         

MONEY MARKET FUND (A) — 0.2%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    121,916      122
         

Total Money Market Fund
(Cost $122) ($ Thousands)

         122
         

Total Investments — 100.0%
(Cost $74,994) ($ Thousands)†

       $ 64,555
         

 

Percentages are based on Net Assets of $64,561 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $81,707 ($ Thousands), and the unrealized appreciation and depreciation were $616 ($ Thousands) and $(17,768) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Fixed Income Funds

    $ 38,782    $ —      $ —      $ 38,782

Equity Funds

      25,651      —        —        25,651

Money Market Fund

      122      —        —        122
               
            $ 64,555
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Core Market Strategy Allocation Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 99.8%

      

EQUITY FUNDS — 87.9%

      

SEI Institutional International Trust Emerging Markets Equity Fund, Class A

    41,159    $ 328

SEI Institutional International Trust International Equity Fund, Class A

    390,617      2,613

SEI Institutional Managed Trust Tax-Managed Large Cap Fund, Class A*

    1,033,805      9,160

SEI Institutional Managed Trust Tax-Managed Small Cap Fund, Class A

    293,240      2,296
         

Total Equity Funds
(Cost $14,890) ($ Thousands)

         14,397
         

FIXED INCOME FUNDS — 11.9%

      

SEI Institutional International Trust Emerging Markets Debt Fund, Class A

    54,118      494

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    252,723      1,456
         

Total Fixed Income Funds
(Cost $1,791) ($ Thousands)

         1,950
         

Total Investments — 99.8%
(Cost $16,681) ($ Thousands)†

       $ 16,347
         

 

Percentages are based on Net Assets of $16,384 ($ Thousands).

 

* The Fund’s investment in the SEI Institutional Managed Trust Tax-Managed Large Cap Fund, Class A represents greater than 50% of the Fund’s total investments. The SEI Institutional Managed Trust Tax-Managed Large Cap Fund seeks to provide high long-term after-tax returns. For further financial information, available upon request at no charge, on the SEI Institutional Managed Trust Tax-Managed Large Cap Fund please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $17,203 ($ Thousands), and the unrealized appreciation and depreciation were $511 ($ Thousands) and $(1,367) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 14,397    $ —      $ —      $ 14,397

Fixed Income Funds

      1,950      —        —        1,950
               
            $ 16,347
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Market Growth Strategy Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.2%

      

EQUITY FUNDS — 59.6%

      

SEI Institutional International Trust Emerging Markets Equity Fund, Class A

    531,078    $ 4,233

SEI Institutional International Trust International Equity Fund, Class A

    8,806,208      58,914

SEI Institutional Managed Trust Large Cap Diversified Alpha Fund, Class A

    23,417,170      146,591

SEI Institutional Managed Trust Small Cap Growth Fund, Class A

    1,141,057      12,711

SEI Institutional Managed Trust Small Cap Value Fund, Class A

    1,132,961      12,712

SEI Institutional Managed Trust Small/Mid Cap Diversified Alpha Fund, Class A

    3,302,338      16,875
         

Total Equity Funds
(Cost $363,925) ($ Thousands)

         252,036
         

FIXED INCOME FUNDS — 40.3%

      

SEI Institutional International Trust Emerging Markets Debt Fund, Class A

    1,858,912      16,990

SEI Institutional Managed Trust Core Fixed Income Fund, Class A

    11,418,937      106,653

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    8,183,665      47,138
         

Total Fixed Income Funds
(Cost $177,452) ($ Thousands)

         170,781
         

MONEY MARKET FUND (A) — 0.3%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    1,083,206      1,083
         

Total Money Market Fund
(Cost $1,083) ($ Thousands)

         1,083
         

Total Investments — 100.2%
(Cost $542,460) ($ Thousands)†

       $ 423,900
         

 

Percentages are based on Net Assets of $423,024 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $588,338 ($ Thousands), and the unrealized appreciation and depreciation were $3,589 ($ Thousands) and $(168,027) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 252,036    $ —      $ —      $ 252,036

Fixed Income Funds

      170,781      —        —        170,781

Money Market Fund

      1,083      —        —        1,083
               
            $ 423,900
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

SCHEDULE OF INVESTMENTS (UNAUDITED)

 

Market Growth Strategy Allocation Fund

June 30, 2009

 

Description

    Shares    Market Value
($ Thousands)

AFFILIATED INVESTMENT FUNDS — 100.2%

      

EQUITY FUNDS — 87.9%

      

SEI Institutional International Trust Emerging Markets Equity Fund, Class A

    224,584    $ 1,790

SEI Institutional International Trust International Equity Fund, Class A

    2,134,550      14,280

SEI Institutional Managed Trust Tax-Managed Large Cap Fund, Class A*

    5,647,781      50,039

SEI Institutional Managed Trust Tax-Managed Small Cap Fund, Class A

    1,601,931      12,543
         

Total Equity Funds
(Cost $85,445) ($ Thousands)

         78,652
         

FIXED INCOME FUNDS — 11.9%

      

SEI Institutional International Trust Emerging Markets Debt Fund, Class A

    296,338      2,709

SEI Institutional Managed Trust High Yield Bond Fund, Class A

    1,380,271      7,950
         

Total Fixed Income Funds
(Cost $9,698) ($ Thousands)

         10,659
         

MONEY MARKET FUND (A) — 0.4%

      

SEI Liquid Asset Trust Prime Obligation Fund, Class A, 0.040%

    322,627      323
         

Total Money Market Fund
(Cost $323) ($ Thousands)

         323
         

Total Investments — 100.2%
(Cost $95,466) ($ Thousands)†

       $ 89,634
         

 

Percentages are based on Net Assets of $89,488 ($ Thousands).

 

(A) Rate shown is the 7-day effective yield as of June 30, 2009.
* The Fund’s investment in the SEI Institutional Managed Trust Tax-Managed Large Cap Fund, Class A represents greater than 50% of the Fund’s total investments. The SEI Institutional Managed Trust Tax-Managed Large Cap Fund seeks to provide high long-term after-tax returns. For further financial information, available upon request at no charge, on the SEI Institutional Managed Trust Tax-Managed Large Cap Fund please go to the Securities Exchange Commission’s website at http://www.sec.gov or call 1-800-DIAL-SEI.
† At June 30, 2009, the tax basis cost of the Fund’s investments was $100,435 ($ Thousands), and the unrealized appreciation and depreciation were $3,346 ($ Thousands) and $(14,147) ($ Thousands) respectively.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund’s investments carried at value:

 

Investments in Affiliated Investment Funds

    Level 1    Level 2    Level 3    Total

Equity Funds

    $ 78,652    $ —      $ —      $ 78,652

Fixed Income Funds

      10,659      —        —        10,659

Money Market Fund

      323      —        —        323
               
            $ 89,634
               

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

1   SEI Asset Allocation Trust / Quarterly Report / June 30, 2009

Item 2. Controls and Procedures

(a) The certifying officers, whose certifications are included herewith, have evaluated the Registrant’s disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the Registrant’s disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the Registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no significant changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

(a) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), is filed herewith.

SIGNATURES

Pursuant to the requirements of the securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)     SEI Asset Allocation Trust
By (Signature and Title)    

/s/ Robert A. Nesher

    Robert A. Nesher, President & CEO

Date August 27, 2009

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)    

/s/ Robert A. Nesher

    Robert A. Nesher, President & CEO

Date August 27, 2009

 

By (Signature and Title)    

/s/ Stephen F. Panner

    Stephen F. Panner, Controller & CFO

Date August 27, 2009

EX-99.CERT 2 dex99cert.htm CERTIFICATIONS Certifications

Certification

Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

I, Robert A. Nesher, certify that:

1. I have reviewed this report on Form N-Q of SEI Asset Allocation Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal controls over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal controls which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 27, 2009

 

/s/ Robert A. Nesher

Robert A. Nesher
President & CEO

Certification

Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

I, Stephen F. Panner, certify that:

1. I have reviewed this report on Form N-Q of SEI Asset Allocation Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal controls over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal controls which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 27, 2009

 

/s/ Stephen F. Panner

Stephen F. Panner
Controller & CFO
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