-----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, FuwIZ1NT7yu3d28hImbtgZi1JGYjzbNELNE98vX15cP7baNiup+A1z04p/jCIJsg uvUlRwopQc1H+cicoBXNnw== 0000935069-08-002962.txt : 20081209 0000935069-08-002962.hdr.sgml : 20081209 20081209161629 ACCESSION NUMBER: 0000935069-08-002962 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 6 CONFORMED PERIOD OF REPORT: 20080930 FILED AS OF DATE: 20081209 DATE AS OF CHANGE: 20081209 EFFECTIVENESS DATE: 20081209 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI INSTITUTIONAL MANAGED TRUST CENTRAL INDEX KEY: 0000804239 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-04878 FILM NUMBER: 081238642 BUSINESS ADDRESS: STREET 1: 2 OLIVER ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8003455734 MAIL ADDRESS: STREET 1: SEI INVESTMENTS STREET 2: 1 FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 FORMER COMPANY: FORMER CONFORMED NAME: TRUSTFUNDS INSTITUTIONAL MANAGED TRUST DATE OF NAME CHANGE: 19890509 0000804239 S000006667 SIMT CORE FIXED INCOME FUND C000018186 SIMT CORE FIXED INCOME FUND - CLASS I C000018187 SIMT CORE FIXED INCOME FUND - CLASS A TRLVX C000073414 SIMT Core Fixed Income Fund - Class G 0000804239 S000006668 SIMT LARGE CAP DIVERSIFIED ALPHA FUND C000018188 SIMT LARGE CAP DIVERSIFIED ALPHA FUND - CLASS A C000030066 SIMT LARGE CAP DIVERSIFIED ALPHA FUND - CLASS I C000073415 SIMT Large Cap Diversified Alpha Fund - Class G 0000804239 S000006669 SIMT REAL ESTATE FUND C000018189 SIMT REAL ESTATE FUND - CLASS A SETAX C000036883 Class I C000073416 SIMT Real Estate Fund - Class G 0000804239 S000006670 SIMT SMALL CAP GROWTH FUND C000018190 SIMT SMALL CAP GROWTH FUND - CLASS I C000018191 SIMT SMALL CAP GROWTH FUND - CLASS A SSCGX C000073417 SIMT Small Cap Growth Fund - Class G 0000804239 S000006671 SIMT LARGE CAP GROWTH FUND C000018192 SIMT LARGE CAP GROWTH FUND - CLASS I C000018193 SIMT LARGE CAP GROWTH FUND - CLASS A SELCX C000073418 SIMT Large Cap Growth Fund - Class G 0000804239 S000006672 SIMT SMALL CAP VALUE FUND C000018194 SIMT SMALL CAP VALUE FUND - CLASS I C000018195 SIMT SMALL CAP VALUE FUND - CLASS A SESVX C000073419 SIMT Small Cap Value Fund - Class G 0000804239 S000006673 SIMT HIGH YIELD BOND FUND C000018196 SIMT HIGH YIELD BOND FUND - CLASS A SHYAX C000036884 Class I C000073420 SIMT High Yield Bond Fund - Class G 0000804239 S000006674 SIMT LARGE CAP VALUE FUND C000018197 SIMT LARGE CAP VALUE FUND - CLASS I C000018198 SIMT LARGE CAP VALUE FUND - CLASS A TRMVX C000073421 SIMT Large Cap Value Fund - Class G 0000804239 S000006675 SIMT MID CAP FUND C000018199 SIMT MID CAP FUND - CLASS A SEMCX C000030067 SIMT MID CAP FUND - CLASS I C000073422 SIMT Mid-Cap Fund - Class G 0000804239 S000006676 SIMT TAX-MANAGED LARGE CAP FUND C000018200 SIMT TAX-MANAGED LARGE CAP FUND - CLASS Y C000018201 SIMT TAX-MANAGED LARGE CAP FUND - CLASS A TMLCX C000073423 SIMT Tax-Managed Large Cap Fund - Class G 0000804239 S000006677 SIMT TAX-MANAGED SMALL CAP FUND C000018202 SIMT TAX-MANAGED SMALL CAP FUND - CLASS A STMSX C000073424 SIMT Tax-Managed Small Cap Fund - Class G 0000804239 S000006678 SIMT US MANAGED VOLATILITY FUND C000018203 SIMT US MANAGED VOLATILITY FUND - CLASS A C000036885 Class I C000073425 SIMT U.S. Managed Volatility Fund - Class G 0000804239 S000010829 SIMT ENHANCED INCOME FUND C000030062 SIMT ENHANCED INCOME FUND - CLASS A C000036886 Class I C000073426 SIMT Enhanced Income Fund - Class G 0000804239 S000010830 SIMT GLOBAL MANAGED VOLATILITY FUND C000030063 SIMT GLOBAL MANAGED VOLATILITY FUND - CLASS A C000036887 Class I C000073427 SIMT Global Managed Volatility Fund - Class G 0000804239 S000010831 SIMT SMALL/MID CAP DIVERSIFIED ALPHA FUND C000030064 SIMT SMALL/MID CAP DIVERSIFIED ALPHA FUND - CLASS A C000030065 SIMT SMALL/MID CAP DIVERSIFIED ALPHA FUND - CLASS I C000073428 SIMT Small/Mid Cap Diversified Alpha Fund - Class G 0000804239 S000017259 SIMT Tax-Managed Managed Volatility Fund C000047774 SIMT Tax-Managed Managed Volatility Fund - Class A 0000804239 S000018490 SIMT S&P 500 Index Fund C000051280 Class A C000051281 Class E C000051282 Class I N-CSR 1 simtcombar9_08.txt SIMT AR COMB 9_08 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSR -------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-04878 SEI INSTITUTIONAL MANAGED 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: SEPTEMBER 30, 2008 DATE OF REPORTING PERIOD: SEPTEMBER 30, 2008 ITEM 1. REPORTS TO STOCKHOLDERS. (SEI LOGO) New ways. New answers.(R) SEI Institutional Managed Trust Annual Report as of September 30, 2008 Large Cap Value Fund Large Cap Growth Fund Tax-Managed Large Cap Fund Large Cap Diversified Alpha Fund S&P 500 Index Fund Small Cap Value Fund Small Cap Growth Fund Tax-Managed Small Cap Fund Small/Mid Cap Diversified Alpha Fund Mid-Cap Fund U.S. Managed Volatility Fund Global Managed Volatility Fund Tax-Managed Managed Volatility Fund Real Estate Fund Enhanced Income Fund Core Fixed Income Fund High Yield Bond Fund TABLE OF CONTENTS Management's Discussion and Analysis of Fund Performance 1 Schedules of Investments 34 Statements of Assets and Liabilities 204 Statements of Operations 208 Statements of Changes in Net Assets 212 Financial Highlights 217 Notes to Financial Statements 221 Report of Independent Registered Public Accounting Firm 236 Trustees and Officers of the Trust 237 Disclosure of Fund Expenses 240 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements 242 Notice to Shareholders 245
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission ("Commission") for the first and third quarters of each fiscal year on Form N-Q within sixty days after period end. The Trust's Form N-Q is available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Large Cap Value Fund Objective The Large Cap Value Fund (the "Fund") seeks to provide long-term growth of capital and income by investing in the equity securities of large companies. The Fund invests primarily in a diversified portfolio of high quality, income producing common stocks, which in the advisor's opinion, are undervalued in the marketplace at the time of purchase. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire large cap value sector, adding value through stock selection while managing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its five 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 sub-style to the Fund. Aronson + Johnson + Ortiz ("AJO") invests in asset-rich companies selling at relatively low multiples of earnings which have earnings and price momentum. LSV Asset Management ("LSV") invests in companies trading at deep discounts to their intrinsic value, while INTECH Investment Management ("INTECH") employs a volatility capture strategy. AllianceBernstein 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. Legg Mason Capital Management's growth equity mandate seeks to invest in large cap stocks trading at attractive valuations that have sustainable competitive advantages with the prospect of forward earnings growth that is higher than the market. Analysis The Large Cap Value Fund, Class A, returned -25.95% for the fiscal year, lagging behind the value area of the market for the period. The Russell 1000 Value Index (the "Index") returned -23.56% for the fiscal year ended September 30, 2008. U.S. large cap stocks sold off during the fiscal year, losing close to 22% for the one year ending September 30, 2008. Investors became increasingly concerned about global economic growth being stunted by the current financial crisis, which has led to higher borrowing costs and a decaying economic picture that pressured consumers. Continued weakness in housing sent prices sharply lower as the rally in oil prices, which peaked above $145 barrel in July, and tightening credit further exacerbated the ongoing subprime crisis. The year began on shaky ground as large cap stocks rallied from their August lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of September, but then soon gave way to downward pressure as several financial institutions took large write-downs due to growing foreclosures and falling asset (in particular homes) prices. In January alone, the market lost more than 10% as credit markets froze, which led the Fed to cut interest rates by 125 basis points in a two week span. In March, the market was stunned as Bear Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal government back stopping the deal. Markets then had a very brief rally driven by energy and technology before eventually succumbing to pressure from credit markets over the summer. The financial crisis led to unprecedented government actions in the last quarter of the fiscal year, which included the following: The SEC banned short sales on financial firms twice, as the Government watched the FDIC take over IndyMac, placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to declare bankruptcy and go out of business, provided an $85 billion bridge loan to AIG (the world's largest insurer) to prevent widespread financial collapse, took over Washington Mutual selling off its assets to JPMorgan Chase and brokered a deal for Wells Fargo to takeover Wachovia. By the end of September, stocks were under severe selling pressure as the odds of a recession increased, and frozen credit markets worldwide prevented companies and consumers from accessing credit. The fiscal year saw sharp reversals in trends as energy and materials sectors continued to lead markets for the first nine months with returns of approximately 17% and 4%, respectively. Energy rallied on the back of strong oil prices and heightened supply concerns. The financial sector was a significant underperformer, weighed down by SEI Institutional Managed Trust / Annual Report / September 30, 2008 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 the seizure in credit markets. Thrifts and mortgage finance, consumer finance and investment banks were among the weakest performers. Momentum factors outpaced value factors as investors sent energy and materials stocks higher and financials lower; however, in July, investors quickly shifted capital from energy markets into more defensive positions and oversold financials. This marked a sharp reversal in trends from the previous nine months as value stocks outpaced growth stocks by 6% and small cap stocks beat their large cap brethren by 8% in the 4th quarter of the fiscal year. Despite the reversal in the 4th quarter, the Russell 1000 Growth Index still managed to outpace the Index by close to 3% as both stronger growing and more expensive stocks, as measured by P/E, outperformed despite losing significant ground later in the fiscal year. In the end, this environment benefited lower beta stocks over the entire fiscal year with investors flight to quality picking up pace as credit markets deteriorated. The portfolio trailed the Index for the fiscal year as this difficult market environment proved to be even harder to navigate in the value space especially within financials and industrials. On the positive side, the portfolio benefited from an underweight to financials and strong stock selection in information technology and telecommunication services. However, the portfolio was hurt by an allocation to higher beta names with investors' flight to quality benefiting lower beta names. Also, an overweight to the cheaper, deep value names hurt as investors witnessed severe multiple compression particularly in January. Two of the fund's sub-advisers, AJO and INTECH, beat the Index with LSV and AllianceBernstein trailing. AJO benefited from defensive positioning within individual sectors particularly from strong stock selection in financials within the diversified financials, banks and insurance sub-industries. INTECH, on the other hand, benefited from higher volatility within individual stocks especially within the financial sector, but did face headwinds from higher stock correlations, which minimized their positive return potential. LSV struggled as severe multiple compression hurt deep value names, which tend to underperform during difficult market environments. Finally, AllianceBernstein underperformed due to poor stock selection across the board, especially within financials, energy and industrials. AllianceBernstein suffered from its exposure to headline financial names. There was one new sub-adviser, Legg Mason Capital Management, which SIMC added towards the end of the fiscal year. Large Cap Value 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 -------- ---------- ---------- ---------- ----------- Large Cap Value Fund, Class A -25.95% -1.46% 5.82% 4.46% 8.93% Large Cap Value Fund, Class I -26.13% -1.70% 5.56% 4.17% 8.60%
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class A and Class I, versus the Russell 1000 Value Index (PERFORMANCE GRAPH)
Large Cap Value Large Cap Value Russell 1000 Fund, Class A Fund, Class I Value Index -------------- --------------- ------------ 9/30/98 $100,000 $100,000 $100,000 9/30/99 117,132 116,721 118,719 9/30/00 122,372 121,503 129,303 9/30/01 116,159 114,966 117,778 9/30/02 95,186 93,994 97,816 9/30/03 116,646 114,837 121,651 9/30/04 139,583 137,032 146,609 9/30/05 161,741 158,421 171,074 9/30/06 183,451 179,262 196,086 9/30/07 208,976 203,719 224,419 9/30/08 154,755 150,488 171,551
(1) For the period ended 9/30/08. Past performance is no indication of future performance. The performance indicated above for Class A Shares begins on 10/3/94 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. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/3/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 2 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Large Cap Growth Fund Objective The investment objective of the Large Cap Growth Fund (the "Fund") is capital appreciation by investing in the equity securities of large companies. The Fund invests in the securities of issuers believed to possess significant growth potential that is underappreciated by the market. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire large cap growth sector, adding value through stock selection while managing 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. Goldman Sachs Asset Management ("GSAM") invests in companies with strong business franchises that are attractively priced relative to their discounted cash flows. Quantitative Management Associates ("QMA") favors large cap stocks that have positive news flow and attractive valuation characteristics. Montag & Caldwell invests in large cap stocks that exhibit accelerating earnings, are trading at a discount to fair value, and are financially stable. INTECH Investment Management ("INTECH") employs a volatility capture strategy, while Delaware Management invests in stocks that are attractively valued from a cash flow basis and have strong prospects for organic growth in the future. Legg Mason Capital Management's ("LMCM") growth equity mandate seeks to invest in large cap stocks trading at attractive valuations that have sustainable competitive advantages with the prospect of forward earnings growth that is higher than the market. Analysis The Large Cap Growth Fund, Class A, returned -22.26% for the fiscal year, lagging behind the growth area of the market for the period. The Russell 1000 Growth Index (the "Index") returned -20.88% for the fiscal year ended September 30, 2008. U.S. large cap stocks sold off during the fiscal year, losing close to 22% for the one year ending September 30, 2008. Investors became increasingly concerned about global economic growth being stunted by the current financial crisis, which has led to higher borrowing costs and a decaying economic picture that pressured consumers. Continued weakness in housing sent prices sharply lower as the rally in oil prices, which peaked above $145 barrel in July, and tightening credit further exacerbated the ongoing subprime crisis. The year began on shaky ground as large cap stocks rallied from their August lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of September, but then soon gave way to downward pressure as several financial institutions took large write-downs due to growing foreclosures and falling asset (in particular homes) prices. In January alone, the market lost more than 10% as credit markets froze, which led the Fed to cut interest rates by 125 basis points in a two week span. In March, the market was stunned as Bear Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal government back stopping the deal. Markets then had a very brief rally driven by energy and technology before eventually succumbing to pressure from credit markets over the summer. The financial crisis led to unprecedented government actions in the last quarter of the fiscal year, which included the following: The SEC banned short sales on financial firms twice, as the Government watched the FDIC take over IndyMac, placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to declare bankruptcy and go out of business, provided an $85 billion bridge loan to AIG (the worlds largest insurer) to prevent widespread financial collapse, took over Washington Mutual selling off its assets to JPMorgan Chase and brokered a deal for Wells Fargo to takeover Wachovia. By the end of September, stocks were under severe selling pressure as the odds of a recession increased, and frozen credit markets worldwide prevented companies and consumers from accessing credit. The fiscal year saw sharp reversals in trends as energy and materials sectors continued to lead markets for the first nine months with returns of approximately 17% and 4%, respectively. Energy rallied on the back of strong oil prices and heightened supply concerns. The SEI Institutional Managed Trust / Annual Report / September 30, 2008 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 financial sector was a significant underperformer, weighed down by the credit market seizure. Thrifts and mortgage finance, consumer finance and investment banks were among the weakest performers. Momentum factors outpaced value factors as investors sent energy and materials stocks higher and financials lower; however, in July, investors quickly shifted capital from energy markets into more defensive positions and oversold financials. This marked a sharp reversal in trends from the previous nine months as value stocks outpaced growth stocks by 6% and small cap stocks beat their large cap brethren by 8% in the 4th quarter of the fiscal year. Despite the reversal in the 4th quarter, the Index still managed to outpace the Russell 1000 Value Index by close to 3% as both stronger growing and more expensive stocks, as measured by P/E, outperformed despite losing significant ground later in the fiscal year. In the end, this environment benefited lower beta stocks over the entire fiscal year with investors flight to quality picking up pace as credit markets deteriorated. The portfolio struggled relative to the Index due to poor stock selection within the financial sector, which was at the epicenter of the credit crisis. Stock selection was also weak within energy and industrials. Particularly, stock selection within several headline names that had their equity wiped out by government intervention weighed on the portfolio as a whole. Sector positioning within the Fund including underweights to materials, industrials and financials along with an overweight to healthcare helped to mitigate the under performance caused by financials. Montag & Caldwell performed very well for the period benefiting from its defensive positioning with an overweight to consumer staples as well as strong stock selection in consumer discretionary and financial sectors. GSAM's focus on higher quality names led to strong stock selection in information technology and healthcare leading to positive relative performance. Delaware Management struggled due to poor stock selection in information technology and exposure to higher growth stocks, which both sold off significantly towards the end of the period. INTECH fell behind in the growth space in spite of higher stock volatility as stock correlations increased sharply over the period. QMA was relatively flat versus the Index due to mixed factor performance in a difficult market environment. Finally, LMCM's growth equity mandate hurt performance due to stock positioning in several headline financial names. There was one new sub-adviser, Legg Mason Capital Management, which SIMC added towards the end of the fiscal year. Large Cap Growth 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 -------- ---------- ---------- ---------- ----------- Large Cap Growth Fund, Class A -22.26% -1.23% 3.37% -0.20% 6.47% Large Cap Growth Fund, Class I -22.43% -1.46% 3.12% -0.50% 6.12%
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class A and Class I, versus the Russell 1000 Growth Index (PERFORMANCE GRAPH)
Large Cap Growth Large Cap Growth Russell 1000 Fund, Class A Fund, Class I Growth Index ---------------- ---------------- ------------ 9/30/98 $100,000 $100,000 $100,000 9/30/99 137,743 137,171 134,855 9/30/00 179,983 178,503 166,450 9/30/01 88,056 86,968 90,483 9/30/02 68,266 67,202 70,117 9/30/03 83,055 81,561 88,289 9/30/04 90,218 88,427 94,918 9/30/05 101,719 99,412 105,924 9/30/06 105,710 103,119 112,317 9/30/07 126,073 122,615 134,055 9/30/08 98,007 95,112 106,066
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is the performance derived from the performance of the Class A Shares.The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 4 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Tax-Managed Large Cap Fund Objective The investment objective of the Tax-Managed Large Cap Fund (the "Fund") is capital appreciation by investing in the equity securities of large companies. The Fund attempts to maximize after-tax returns to investors through lower turnover and tax management techniques. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") 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. Goldman Sachs Asset Management ("GSAM"), Delaware Management and Montag & Caldwell focus on stocks that have growth characteristics. AllianceBernstein, LSV Asset Management and Aronson + Johnson + Ortiz ("AJO") focus on selecting stocks that have value-oriented characteristics. Quantitative Management Associates ("QMA") invests a core portfolio that favors large cap stocks with positive news flow trading at attractive valuations. Parametric Portfolio Associates invests in both value and growth large-cap stocks through a quantitative process which aggressively harvests tax-losses in the portfolio. Legg Mason Capital Management's ("LMCM") growth equity mandate seeks to invest in large cap stocks, which have a sustainable competitive advantage leading to forward earnings growth higher than the market and are trading at an attractive valuation. LMCM's core equity mandate utilizes differentiated analysis and valuation models, which seeks to identify companies with long-term intrinsic value that are underappreciated by the market. Analysis The Tax-Managed Large Cap Fund, Class A, returned -23.76% for the fiscal year, finishing behind the broad market for the period. The Russell 1000 Index (the "Index") returned -22.10% for the fiscal year ended September 30, 2008. U.S. large cap stocks sold off during the fiscal year, losing close to 22% for the one year ending September 30, 2008. Investors became increasingly concerned about global economic growth being stunted by the current financial crisis, which has led to higher borrowing costs and a decaying economic picture that pressured consumers. Continued weakness in housing sent prices sharply lower as the rally in oil prices, which peaked above $145 barrel in July, and tightening credit further exacerbated the ongoing subprime crisis. The year began on shaky ground as large cap stocks rallied from their August lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of September, but then soon gave way to downward pressure as several financial institutions took large write-downs due to growing foreclosures and falling asset (in particular homes) prices. In January alone, the market lost more than 10% as credit markets froze, which led the Fed to cut interest rates by 125 basis points in a two week span. In March, the market was stunned as Bear Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal government back stopping the deal. Markets then had a very brief rally driven by energy and technology before eventually succumbing to pressure from credit markets over the summer. The financial crisis led to unprecedented government actions in the last quarter of the fiscal year, which included the following: The SEC banned short sales on financial firms twice, as the Government watched the FDIC take over IndyMac, placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to declare bankruptcy and go out of business, provided an $85 billion bridge loan to AIG (the world's largest insurer) to prevent widespread financial collapse, took over Washington Mutual selling off its assets to JPMorgan Chase and brokered a deal for Wells Fargo to takeover Wachovia. By the end of September, stocks were under severe selling pressure as the odds of a recession increased, and frozen credit markets worldwide prevented companies and consumers from accessing credit. The fiscal year saw sharp reversals in trends as energy and materials sectors continued to lead markets for the first nine months with returns of approximately 17% and 4%, respectively. Energy rallied on the back of strong oil prices and heightened supply concerns. The financial sector was a significant underperformer, weighed down by the seizure in credit markets. Thrifts and mortgage finance, consumer finance and investment banks were among the weakest performers. SEI Institutional Managed Trust / Annual Report / September 30, 2008 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Momentum factors outpaced value factors as investors sent energy and materials stocks higher and financials lower; however, in July, investors quickly shifted capital from energy markets into more defensive positions and oversold financials. This marked a sharp reversal in trends from the previous nine months as value stocks outpaced growth stocks by 6% and small cap stocks beat their large cap brethren by 8% in the 4th quarter of the fiscal year. Despite the reversal in the 4th quarter, the Russell 1000 Growth Index still managed to outpace the Russell 1000 Value Index by close to 3% as both stronger growing and more expensive stocks, as measured by P/E, outperformed despite losing significant ground later in the fiscal year. In the end, this environment benefited lower beta stocks over the entire fiscal year with investors flight to quality picking up pace as credit markets deteriorated. The Fund benefitted from having more growth exposure than the Index; however, that benefit was outweighed by an underweight to consumer staples and poor stock selection in financials and energy. Weakness in the financial sector was driven by a few headline names that had their equity wiped out due to the financial crisis. Also, investors' current flight to quality weighed on fund performance as an underweight to staples, which has benefited from a low beta environment, led to negative relative performance. Several bright spots within the portfolio were within sector positioning as the Fund had a modest underweight to materials and industrials as well as a small underweight to financials. In the 4th quarter of the fiscal year, which was marked by the collapse of commodities (July forward), material stocks continued to sell off significantly in the face of worldwide demand destruction and concerns over economic decay. This contributed positively to the portfolio's relative performance. Two of the three growth managers, Montag & Caldwell and GSAM, strongly outpaced the Index while the value managers, with the exception of AJO, lagged the value area of the market. The one standout on the positive side was Montag and Caldwell, whose strong performance during the period was driven by a large overweight to consumer staples and strong stock selection within the financial and consumer discretionary sectors. AllianceBernstein, on the other hand, was one of the largest negative contributors to the Fund due to poor stock selection across all sectors, in particular within financials. One of the new additions, LMCM, with its growth equity mandate, also impacted performance negatively towards the end of the fiscal year as emerging/anticipatory growth managers came under pressure. Investors sold out of higher growth stocks and struggled to distinguish cyclical growth stocks from secular growth stocks, which also weighed on Delaware Management. The core managers provided some diversification benefit to the Fund's relative performance and provided better after-tax return through Parametric Portfolio Associates' tax loss harvesting process. During the fiscal year, SIMC added two mandates to the portfolio, growth and core, from one sub-adviser, Legg Mason Capital Management. Tax-Managed Large Cap 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 -------- ---------- ---------- ---------- ----------- Tax-Managed Large Cap Fund, Class A -23.76% -1.05% 4.80% 2.32% 1.82% Tax-Managed Large Cap Fund, Class Y -23.52% -0.76% 5.12% 2.52% 2.00%
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class A and Class Y, versus the Russell 1000 Index (PERFORMANCE GRAPH)
Tax-Managed Large Cap Tax-Managed Large Cap Fund, Class A Fund, Class Y Russell 1000 Index --------------------- --------------------- ------------------- 9/30/98 $100,000.00 $100,000.00 $100,000.00 9/30/99 132,602.00 132,602.00 126,966.00 9/30/00 144,081.00 144,081.00 149,576.00 9/30/01 100,974.00 100,974.00 107,064.00 9/30/02 80,330.00 80,393.00 86,175.00 9/30/03 99,480.00 99,898.00 107,841.00 9/30/04 113,453.00 114,298.00 122,835.00 9/30/05 129,788.00 131,197.00 140,345.00 9/30/06 140,922.00 142,780.00 154,724.00 9/30/07 164,950.00 167,672.00 180,877.00 9/30/08 125,756.00 128,242.00 140,911.00
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class Y Shares performance for the period prior to 4/8/02 is performance derived from the performance of the Class A Shares. The performance of Class Y Shares may be different from the performance of Class A Shares because of different distribution fees paid by Class Y shareholders. Class A Shares were offered beginning 3/5/98 and Class Y Shares were offered beginning 4/8/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 6 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Large Cap Diversified Alpha Fund Objective The Large Cap Diversified Alpha Fund (the "Fund") seeks to provide long-term growth of capital and income by investing in the equity securities of large companies and in portfolio strategies designed to correlate to a portfolio composed of large cap equity securities. While the Fund is expected to have an absolute return and risk profile similar to the broad U.S. large cap equity market, returns may be derived in part from investing significant portions of the Fund in securities outside of the large cap market. Strategy The Fund uses a multi-manager approach under the general supervision of SEI Investments Management Corporation ("SIMC"), allocating the assets among multiple sub-advisers that use different investment strategies to seek returns in excess of the performance of a broad U.S. large cap benchmark. This allocation among investment strategies aims to diversify the sources from which sub-advisers seek to achieve excess returns (i.e., returns in excess of a benchmark index), and thereby diversify the relative risk of the Fund. Some sub-advisers may engage in short sales up to 30% of the value of their Fund allocation and use the proceeds from the sale to purchase long positions in additional equity securities. Some sub-advisers may also use portfolio strategies that are designed to correlate with a portfolio of large cap equity securities, but are composed of derivative instruments backed by other types of securities. Aronson + Johnson + Ortiz ("AJO"), Analytic Investors, and Quantitative Management Associates seek to overweight stocks with attractive fundamental and/or technical characteristics and underweight or sell short stocks with unattractive fundamental and/or technical characteristics. INTECH Investment Management ("INTECH") employs a volatility capture strategy, Delaware Management seeks to identify stocks with underappreciated growth characteristics, while Smith Breeden Associates seeks to generate excess return within the U.S. fixed income market and transport it to the equity market. Legg Mason Capital Management's ("LMCM") growth equity mandate seeks to invest in large cap stocks trading at attractive valuations that have sustainable competitive advantages with the prospect of forward earnings growth that is higher than the market. LMCM's core equity mandate utilizes differentiated analysis and valuation models, which seek to identify companies with long-term intrinsic value that are underappreciated by the market. Analysis The Large Cap Diversified Alpha Fund, Class A, returned -26.42% for the fiscal year, trailing the broad market. The Russell 1000 Index (the "Index") returned - -22.10% for the fiscal year ended September 30, 2008. U.S. large cap stocks sold off during the fiscal year, losing close to 22% for the one year ending September 30, 2008. Investors became increasingly concerned about global economic growth being stunted by the current financial crisis, which has led to higher borrowing costs and a decaying economic picture that pressured consumers. Continued weakness in housing sent prices sharply lower as the rally in oil prices, which peaked above $145 barrel in July, and tightening credit further exacerbated the ongoing subprime crisis. The year began on shaky ground as large cap stocks rallied from their August lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of September, but then soon gave way to downward pressure as several financial institutions took large write-downs due to growing foreclosures and falling asset (in particular homes) prices. In January alone, the market lost more than 10% as credit markets froze, which led the Fed to cut interest rates by 125 basis points in a two week span. In March, the market was stunned as Bear Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal government back stopping the deal. Markets then had a very brief rally driven by energy and technology before eventually succumbing to pressure from credit markets over the summer. The financial crisis led to unprecedented government actions in the last quarter of the fiscal year, which included the following: The SEC banned short sales on financial firms twice, as the Government watched the FDIC take over IndyMac, placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to declare bankruptcy and go out of business, provided an $85 billion bridge loan to AIG (the world's largest insurer) to prevent widespread financial collapse, took over Washington Mutual selling off its assets to JPMorgan Chase and brokered a deal for Wells Fargo to takeover Wachovia. By the end of September, stocks were under severe selling pressure as the odds of a recession increased, and frozen credit markets worldwide prevented companies and consumers from accessing credit. The fiscal year saw sharp reversals in trends as energy and materials sectors continued to lead markets for the first nine months with SEI Institutional Managed Trust / Annual Report / September 30, 2008 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 returns of approximately 17% and 4%, respectively. Energy rallied on the back of strong oil prices and heightened supply concerns. The financial sector was a significant underperformer, weighed down by the seizure in credit markets. Thrifts and mortgage finance, consumer finance and investment banks were among the weakest performers. Momentum factors outpaced value factors as investors sent energy and materials stocks higher and financials lower; however, in July, investors quickly shifted capital from energy markets into more defensive positions and oversold financials. This marked a sharp reversal in trends from the previous nine months as value stocks outpaced growth stocks by 6% and small cap stocks beat their large cap brethren by 8% in the 4th quarter of the fiscal year. Despite the reversal in the 4th quarter, the Russell 1000 Growth Index still managed to outpace the Russell 1000 Value Index by close to 3% as both stronger growing and more expensive stocks, as measured by P/E, outperformed despite losing significant ground later in the fiscal year. In the end, this environment benefited lower beta stocks over the entire fiscal year with investors flight to quality picking up pace as credit markets deteriorated. The Fund trailed the Index, particularly due to exposure to the fixed income markets through the Smith Breeden Associate's portable alpha strategy. Although Smith Breeden Associate's portfolio was generally higher quality with very limited exposure to the sub-prime area of the market, the credit crunch was far reaching, and impacted markets outside of sub-prime as credit spreads widened to historical records. Investors' risk aversion led to forced selling of mortgage backed and asset backed securities in particular, as derivative markets all but dried up and hedge funds continued to experience large redemptions. The portfolio's exposure to anticipatory growth names also hurt relative performance as investors' sold off these names sharply due to concerns surrounding economic decay. We believe this was further exacerbated by hedge fund liquidations of high quality growth names which comprise a large portion of names within the anticipatory growth alpha source. On the positive side, the Fund's relaxation of the long-only constraint benefited our 130/30 managers, leading to strong positive stock selection within financials. From an individual manager standpoint, INTECH and AJO were the only managers that beat the broad market during this volatile period. INTECH benefited from higher stock volatility although its volatility capture process did face head winds as stock correlation increased dramatically within this time period. The addition of LMCM, in particular, with its growth equity mandate, also impacted performance negatively towards the end of the fiscal year as emerging/anticipatory growth managers came under pressure as investors sold out of higher growth stocks and struggled to distinguish cyclical growth stocks from secular growth stocks. During the fiscal year, SIMC added two mandates into the portfolio, growth and core, from one sub-adviser, Legg Mason Capital Management. Large Cap Diversified Alpha Fund: AVERAGE ANNUAL TOTAL RETURN(1)
Annualized One Year Inception Return to Date -------- ---------- Large Cap Diversified Alpha Fund, Class A -26.42% -4.14% Large Cap Diversified Alpha Fund, Class I -26.70% -4.33%
Comparison of Change in the Value of a $100,000 Investment in the Large Cap Diversified Alpha Fund, Class A and Class I, versus the Russell 1000 Index (PERFORMANCE GRAPH)
Large Cap Diversified Large Cap Diversified Alpha Fund, Class A Alpha Fund, Class I Russell 1000 Index --------------------- --------------------- ------------------ 12/14/05 $100,000 $100,000 $100,000 9/30/06 104,436 104,436 106,061 9/30/07 120,768 120,536 123,988 9/30/08 88,857 88,355 96,592
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 9/14/06 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/14/05 and Class I Shares were offered beginning 9/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 8 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 S&P 500 Index Fund Objective The S&P 500 Index Fund (the "Fund") seeks to provide investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index (the "Index"). The Index is a capitalization-weighted index of 500 stocks intended to be a representative sample of leading companies in leading industries within the U.S. economy. Stocks in the Index are chosen for market size (large cap), liquidity, and industry group representation. Strategy The Fund attempts to match the performance of the widely followed Index by replicating its composition in full. The fifty largest stocks in the index account for approximately 50% of the weighting of the index. Deviation of performance between the Fund and the Index, measured as tracking error, is typically attributable to trading costs and cash reserves held for liquidity needs. The presence of cash in the Fund may result in underperformance relative to the Index in rising markets and out-performance in declining markets. To mitigate these effects, the Fund may use stock index futures to hedge its cash position. Futures contracts enable the Fund to maintain exposure to the market with reduced trading expenses, since the cost of the futures contract is relatively nominal. The value of stock index futures held by the Fund may not exceed 20% of the Fund's assets. Analysis The S&P 500 Index Fund, Class A, returned -22.30% for the fiscal year ended September 30, 2008. The Index returned -21.98% for the fiscal year. U.S. large cap stocks sold off during the fiscal year, losing close to 22% for the period ended September 30, 2008. Investors became increasingly concerned about global economic growth being stunted by the current financial crisis, which has led to higher borrowing costs and a decaying economic picture that pressured consumers. Continued weakness in housing sent prices sharply lower as the rally in oil prices, which peaked above $145 barrel in July, and tightening credit further exacerbated the ongoing subprime crisis. The year began on shaky ground as large cap stocks rallied from their August lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of September, but then soon gave way to downward pressure as several financial institutions took large write-downs due to growing foreclosures and falling asset (in particular homes) prices. In January alone, the market lost more than 10% as credit markets froze, which led the Fed to cut interest rates by 125 basis points in a two week span. In March, the market was stunned as Bear Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal government back stopping the deal. Markets then had a very brief rally driven by energy and technology before eventually succumbing to pressure from credit markets over the summer. The financial crisis led to unprecedented government actions in the last quarter of the fiscal year, which included the following: The SEC banned short sales on financial firms twice, as the Government watched the FDIC take over IndyMac, placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to declare bankruptcy and go out of business, provided an $85 billion bridge loan to AIG (the world's largest insurer) to prevent widespread financial collapse, took over Washington Mutual selling off its assets to JPMorgan Chase and brokered a deal for Wells Fargo to takeover Wachovia. By the end of September, stocks were under severe selling pressure as the odds of a recession increased, and frozen credit markets worldwide prevented companies and consumers from accessing credit. The fiscal year saw sharp reversals in trends as energy and materials sectors continued to lead markets for the first nine months with returns of approximately 17% and 4%, respectively. Energy rallied on the back of strong oil prices and heightened supply concerns. The financial sector was a significant underperformer, weighed down by the credit market seizure. Thrifts and mortgage finance, consumer finance and investment banks were among the weakest performers. Momentum factors outpaced value factors as investors sent energy and materials stocks higher and financials lower; however, in July, investors quickly shifted capital from energy markets into more defensive positions and oversold financials. This marked a sharp SEI Institutional Managed Trust / Annual Report / September 30, 2008 9 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 reversal in trends from the previous nine months as value stocks outpaced growth stocks by 6% and small cap stocks beat their large cap brethren by 8% in the 4th quarter of the fiscal year. Despite the reversal in the 4th quarter of the fiscal year, growth stocks still managed to outpace their value oriented counterparts by close to 3% as both stronger growing and more expensive stocks, as measured by P/E, outperformed despite losing significant ground in the latter part of the fiscal year. In the end, this environment benefited lower beta stocks over the entire fiscal year with investors flight to quality picking up pace as credit markets deteriorated. Nine out of ten Global Industry Classification Standard sectors generated negative returns during the fiscal year. Consumer staples were the only sector to post positive gains benefiting from an environment that rewarded lower beta & non-cyclical stocks. Meanwhile, financials, information technology and consumer discretionary stocks led the way lower amidst a darkening economic backdrop. Overall, the financial sector was the worst performing sector during the fiscal year as many of these stocks were at the center of the storm (continued write-downs) embroiling credit markets. There were no sub-adviser changes during the fiscal year. S&P 500 Index 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 -------- ---------- ---------- ---------- ----------- S&P 500 Index Fund, Class A -22.30% -0.16% 4.75% 2.65% 6.17% S&P 500 Index Fund, Class E -22.19% -0.02% 4.91% 2.81% 10.34% S&P 500 Index Fund, Class I -22.49% -0.41% 4.48% 2.37% 5.86%
Comparison of Change in the Value of a $10,000 Investment in the S&P 500 Index Fund, Class A, Class E, and Class I, versus the S&P 500 Index (PERFORMANCE GRAPH)
S&P 500 Index S&P 500 Index S&P 500 Index, S&P 500 Fund, Class A Fund, Class E Class I Index ------------- -------------- -------------- ------- 9/30/98 $10,000 $10,000 $10,000 $10,000 9/30/99 12,757 12,731 12,682 12,780 9/30/00 14,418 14,366 14,255 14,478 9/30/01 10,543 10,488 10,369 10,624 9/30/02 8,363 8,309 8,205 8,447 9/30/03 10,384 10,296 10,147 10,508 9/30/04 11,793 11,673 11,473 11,966 9/30/05 13,203 13,048 12,793 13,431 9/30/06 14,593 14,403 14,084 14,881 9/30/07 16,958 16,713 16,301 17,327 9/30/08 13,196 12,985 12,635 13,519
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/96. Class E shares were offered beginning 7/31/85. Class I shares were offered beginning 6/28/02. Class I shares performance for the period prior to 6/28/02 is performance derived from performance of the Class A shares. The performance of the Class A and Class I shares may be lower than the performance of Class E shares because of different distribution fees paid by Class A and Class I shareholders. Effective 7/31/97, the Board of Trustees approved the renaming of Class A and Class E shares to Class E and Class A shares, respectively. In addition, returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. SEI Institutional Managed Trust / Annual Report / September 30, 2008 10 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Small Cap Value Fund Objective The Small Cap Value Fund (the "Fund") seeks to provide capital appreciation by investing in equity securities of smaller companies. The Fund invests in the stocks of companies perceived to be undervalued in light of fundamental characteristics such as earnings, book value, and return on equity. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire small cap value sector, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by nine investment managers. Assets of the Fund are strategically allocated among its 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 ("Artisan") seeks to identify companies which are currently trading below the intrinsic value of their business and which have little institutional following. BlackRock Capital Management ("BlackRock") focuses on attractively valued companies with a near term business catalyst. David J. Greene and Company ("DJ Greene") invests in complex multi-segment businesses often possessing several growth areas masked by a more-well known, slower growing segment. Lee Munder Investments ("Lee Munder") uses a classic value approach of identifying quality businesses trading below their normalized valuations. LSV Asset Management ("LSV") takes advantage of behavioral biases to invest in companies trading at deep discounts to their intrinsic value and with near term earnings visibility. Martingale Asset Management ("Martingale") employs a systematic approach focused on relative valuation, sustainable growth, and management quality. Wellington Management Company ("Wellington") utilizes a unique risk/reward relative valuation assessment to identify attractive real estate investments. Robeco Investment Management ("Robeco") seeks to exploit market anomalies through both traditional value investments and special situations, investing when a near-term, positive catalyst exists at company and sector levels. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Analysis The U.S. small-cap value market, as measured by the Russell 2000 Value Index (the "Index"), lost 12.25% during the fiscal year ended September 30, 2008. The market was negatively impacted by the flight from risk and de-linking from fundamentals that resulted from the U.S. sub-prime mortgage meltdown. U.S. financial institutions have been obligated to downsize their balance sheets by writing-down billions of dollars to account for housing losses, while hedge funds, facing margin calls, were compelled to de-leverage their portfolios by selling their most liquid, highest quality assets. Fears related to the sub-prime mortgage crisis spread through the market, seizing credit and liquidity, as banks stopped lending to one another. In addition, energy prices surged to historical highs in the first half of 2008, adding inflationary and recessionary pressures to a plethora of issues: declining housing values, higher food costs, increasing debt, and insignificant wage growth faced by U.S. consumers. Such a market environment proved to be unprecedented as the U.S. economy witnessed the nationalization of government sponsored entities Fannie Mae and Freddie Mac, its largest bank failure ever in Washington Mutual, Lehman Brothers' filing for Chapter 11 bankruptcy, and the U.S. Treasury ("Treasury") bailout of insurance giant AIG. In order to address investors' growing concern about the state of the U.S./global economy, the U.S. Federal Reserve cut rates seven times over the past year to foster liquidity and ignite lending among banks, while the Treasury requested an unprecedented $700B bailout package from Congress. The fiscal year was marked by a de-linking from fundamentals amid the increased levels of volatility, as measured by the VIX Index, and heightened levels of risk aversion. Thus, the most expensive securities, as measured by P/E, higher return on equity, high momentum, and largest market cap stock quintiles were the worst performing areas of the small cap value market. Two of the ten Global Industry Classification Standard sectors, energy and utilities, posted SEI Institutional Managed Trust / Annual Report / September 30, 2008 11 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 positive returns, while technology and consumer discretionary dragged down the market, losing over 29% for the period. Financials regained some of the losses incurred during the first nine months of the fiscal year with a fierce rally, particularly in the banks and real estate areas, during the final quarter of the period. The Small Cap Value Fund, Class A, lost 16.02% for the year ended September 30, 2008; though four of the managers surpassed the Index. A combination of adverse sector allocation and stock selection hampered the Fund's performance over the period, despite positive relative performance in the consumer staples, discretionary and materials sectors. The Fund's struggles were particularly evident in the energy, real estate, and technology areas, as these detracted the most from performance. On a manager level, DJ Greene was hampered by its typical overweight to technology and poor stock selection in energy and healthcare. BlackRock also struggled during the period due to the manager's adverse allocation to energy, coupled with poor stock selection in the diversified financials, real estate, technology and materials areas. Systematic manager Martingale managed slight excess returns over the fiscal year, despite struggling in the third quarter of 2008 as many valuation metrics, such as forward one year P/E, exhibited negative returns. On a positive note, Artisan posted strong performance relative to the Index amid strong stock selection in consumer discretionary and industrials, coupled with a sizeable overweight and strong stock selection in energy. Artisan has strongly benefited from their returns in the energy sector during the past several years, and have only recently pared down their significant overweight. DJ Greene was acquired by Neuberger Berman Management ("Neuberger") during the fiscal year. SIMC retained Neuberger as a sub-adviser. Small Cap Value 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 -------- ---------- ---------- ---------- ---------- Small Cap Value Fund, Class A -16.02% 0.85% 9.33% 9.43% 11.05% Small Cap Value Fund, Class I -16.21% 0.62% 9.06% 9.10% 10.68%
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class A and Class I, versus the Russell 2000 Value Index (PERFORMANCE GRAPH)
Small Cap Small Cap Russell Value Fund, Value Fund, 2000 Class A Class I Value Index ----------- ----------- ----------- 9/30/98 $100,000 $100,000 $100,000 9/30/99 104,471 104,139 105,829 9/30/00 120,915 119,923 122,082 9/30/01 124,683 123,208 128,930 9/30/02 121,939 120,170 127,042 9/30/03 157,645 154,917 167,268 9/30/04 198,107 194,094 210,191 9/30/05 240,123 234,629 247,503 9/30/06 264,945 258,349 282,170 9/30/07 293,289 285,252 299,363 9/30/08 246,305 239,017 262,665
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 2/11/02 is performance derived from the performance of the Class A Shares.The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 2/11/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 12 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Small Cap Growth Fund Objective The Small Cap Growth Fund (the "Fund") seeks to provide long-term capital appreciation by investing in equity securities of smaller companies. The Fund invests in the stocks of companies that have significant growth potential in light of such characteristics as revenue, earnings growth and positive earnings surprises. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire universe of small cap growth stocks, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by eight investment managers. Assets of the Fund are strategically allocated among its 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 ("Mazama") invests primarily in stocks entering extended periods of growth not yet understood by the market. Wellington Management Company ("Wellington") focuses on companies that demonstrate growth at reasonable prices. Lee Munder Investments ("Lee Munder") seeks companies growing faster than the market while demonstrating skill in their ability to differentiate an attractive stock from a good company. McKinley Capital Management ("McKinley") emphasizes acceleration of the growth rate of companies relative to that of the market and looks for companies with positive earnings surprise. Martingale employs a systematic approach focused on relative valuation, sustainable growth, and management quality. Oppenheimer Capital uses an opportunistic approach that seeks to uncover: high growing stocks with substantial cash flows to be reinvested in the business, sustainable growth stocks that have been unfairly affected by market conditions, and sound companies to which the market has overreacted on negative company-specific news. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Oppenheimer Capital was added to the portfolio during the final quarter of the fiscal year. PanAgora Asset Management and Delaware Management were terminated from the Fund's managerial lineup over the same period. Analysis The U.S. small-cap growth market, as measured by the Russell 2000 Growth Index (the "Index"), lost 17.07% during the fiscal year ended September 30, 2008. The market was negatively impacted by the flight from risk and de-linking from fundamentals that resulted from the U.S. sub-prime mortgage meltdown. U.S. financial institutions have been obligated to downsize their balance sheets by writing-down billions of dollars to account for housing losses, while hedge funds, facing margin calls, were compelled to de-leverage their portfolios by selling their most liquid, highest quality assets. Fears related to the sub-prime mortgage crisis spread through the market, seizing credit and liquidity, as banks stopped lending to one another. In addition, energy prices surged to historical highs in the first half of 2008, adding inflationary and recessionary pressures to a plethora of issues: declining housing values, higher food costs, increasing debt, and insignificant wage growth faced by U.S. consumers. Such a market environment proved to be unprecedented as the U.S. economy witnessed the nationalization of government-sponsored entities Fannie Mae and Freddie Mac, its largest bank failure ever in Washington Mutual, Lehman Brothers' filing for Chapter 11 bankruptcy, and the U.S. Treasury bailout of insurance giant AIG. In order to address investors' growing concern about the state of the U.S./global economy, the Fed cut rates seven times over the past year to foster liquidity and ignite lending among banks, while the U.S. Treasury requested an unprecedented $700B bailout package from Congress. The fiscal year was marked by a de-linking from fundamentals amid the increased levels of volatility, as measured by the VIX Index, and increased levels of risk aversion. Thus, the fastest growing, most expensive, higher return on equity, high momentum, and largest market cap stock quintiles were the worst performing areas of the small cap growth market. Of the ten Global Industry Classification Standard sectors, only energy posted positive returns, while SEI Institutional Managed Trust / Annual Report / September 30, 2008 13 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 technology and consumer discretionary were the worst performers, down over 25% for the period. The Small Cap Growth Fund, Class A, lost 30.36% for the year ended September 30, 2008. Poor stock selection in consumer durables, technology, capital goods and retailing, coupled with the reversal in energy and financials proved detrimental to the Fund's relative performance. From a manager standpoint, Mazama's contrarian approach remained unrewarded by the market despite the manager's attractive valuations relative to peers and the Index. Risk aversion forced skittish investors to ignore the strong fundamentals of Mazama's growth companies. Wellington significantly detracted from performance due to the manager's underweight to energy during the ramp up in prices within the sector, and underweight to financials during the price reversal that dominated the sector in the final quarter of the fiscal year. McKinley and Martingale also significantly contributed to underperformance because of the managers' momentum exposures which were adversely caught in the price reversal of energy and financials. In addition, McKinley was hurt by holding securities which were generally larger and more liquid. There were two new sub-advisers, Los Angeles Capital Management and Equity Research and Oppenheimer Capital, which SIMC added towards the end of the fiscal year. Small Cap Growth 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 -------- ---------- ---------- ---------- ---------- Small Cap Growth Fund, Class A -30.36% -5.11% 1.58% 5.45% 8.58% Small Cap Growth Fund, Class I -30.57% -5.36% 1.31% 5.12% 8.23%
Comparison of Change in the Value of a $100,000 Investment in the Small Cap Growth Fund, Class A and Class I, versus the Russell 2000 Growth Index (PERFORMANCE GRAPH)
Small Cap Small Cap Russell Growth Fund, Growth Fund, 2000 Class A Class I Growth Index ------------ ------------ ------------ 9/30/98 $100,000 $100,000 $100,000 9/30/99 155,000 154,330 132,626 9/30/00 240,682 238,584 171,968 9/30/01 137,606 135,917 98,734 9/30/02 107,188 105,542 80,803 9/30/03 157,216 154,407 114,517 9/30/04 168,692 165,302 128,173 9/30/05 198,999 194,466 151,201 9/30/06 206,799 201,620 160,091 9/30/07 244,125 237,388 190,406 9/30/08 170,020 164,826 157,897
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares.The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 4/20/92 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 14 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Tax-Managed Small Cap Fund Objective The investment objective of the Tax-Managed Small Cap Fund (the "Fund") is capital appreciation by investing in the equity securities of small companies. The Fund attempts to maximize after-tax returns to investors through investing in undervalued securities, selling stocks with the highest tax cost first and offsetting losses with gains where possible. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire small/mid cap universe, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by eight investment managers. Assets of the Fund are strategically allocated among the 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. BlackRock Capital Management ("BlackRock") focuses on attractively valued companies with a near-term business catalyst. David J. Greene and Company ("DJ Greene") invests in complex multi-segment businesses often possessing several growth areas masked by a more-well known, slower growing segment. LSV Asset Management ("LSV") takes advantage of behavioral biases to invest in companies trading at deep discounts to their intrinsic value and with near term earnings visibility. Mazama Capital Management ("Mazama") invests primarily in stocks entering extended periods of growth not yet understood by the market. McKinley Capital Management ("McKinley") emphasizes acceleration of the growth rate of companies relative to that of the market and looks for companies with positive earnings surprise. Parametric Portfolio Associates ("Parametric") invests in both value and growth small-cap stocks through a quantitative process which aggressively harvests tax-losses in the portfolio. Los Angeles Capital Management and Equity Research ("LA Capital") relies on a disciplined systematic approach which looks at factor rotation in the market. The research process is focused on identifying investment characteristics and factors that will work consistently across a broad group of stocks. Wells Capital Management ("WCM") evaluates a company's relative growth in conjunction with its relative valuation and fundamentals over a two to three year timeframe. Attractiveness of a stock depends on what the team considers the current and future risk premiums to be, and the extent to which they will be rewarded for holding that stock. Analysis The Russell 2500 Index lost 17.99% during the fiscal year ended September 30, 2008. The market was negatively impacted by the flight from risk and de-linking from fundamentals that resulted from the U.S. sub-prime mortgage meltdown. U.S. financial institutions have been obligated to downsize their balance sheets by writing-down billions of dollars to account for housing losses, while hedge funds, facing margin calls, were compelled to de-leverage their portfolios by selling their most liquid, highest quality assets. Fears related to the sub-prime mortgage crisis spread through the market, seizing credit and liquidity, as banks stopped lending to one another. In addition, energy prices surged to historical highs in the first half of 2008, adding inflationary and recessionary pressures to a plethora of issues: declining housing values, higher food costs, increasing debt, and insignificant wage growth faced by U.S. consumers. Such a market environment proved to be unprecedented as the U.S. economy witnessed the nationalization of government sponsored-entities Fannie Mae and Freddie Mac, its largest bank failure ever in Washington Mutual, Lehman Brothers' filing for Chapter 11 bankruptcy, and the U.S. Treasury ("Treasury") bailout of insurance giant AIG. In order to address investors' growing concern about the state of the U.S./global economy, the Fed cut rates seven times over the past year to foster liquidity and ignite lending among banks, while the Treasury requested an unprecedented $700B bailout package from Congress. The fiscal year was marked by a de-linking from fundamentals amid the increased levels of volatility, as measured by the VIX Index, and heightened levels of fear. In this regard, the most expensive securities, as measured by P/E, higher return on equity, high momentum and largest market cap stock quintiles were the worst performing areas of the small/mid cap market. None of the ten Global SEI Institutional Managed Trust / Annual Report / September 30, 2008 15 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Industry Classification Standard sectors posted positive returns during the period, with technology, telecom, and consumer discretionary weighing on the market, down over 25% for the period. Financials recuperated some of the losses incurred during the first nine months of the fiscal year with a fierce rally, particularly in the banks and real estate areas, during the final fiscal quarter. The Tax-Managed Small Cap Fund, Class A, lost 23.34% for the year ended September 30, 2008. A combination of adverse sector allocation and stock selection in the consumer durables, real estate, energy, and diversified financials areas overshadowed strong stock selection in industrials to drive the Fund's underperformance for the period. On a manager level, Mazama's poor stock selection in the technology, healthcare, and consumer discretionary severely detracted from the manager's performance. Risk aversion forced skittish investors to ignore the strong fundamentals of Mazama's growth companies. McKinley's exposure to high price momentum stocks detracted from performance in the midst of the sudden changes in market leaderships during the final quarter of the fiscal year: shifts from energy boom to a bust, and a rally in financials after serious losses. In addition, McKinley was hurt by holding securities which were generally larger and more liquid. On a positive note, Parametric's systematic tax harvesting process positively contributed to relative performance amid strong stock selection, particularly in the consumer staples and materials sectors. There was one new sub-adviser, Wells Capital Management, which SIMC added towards the end of the fiscal year. DJ Greene was acquired by Neuberger Berman Management ("Neuberger") during the fiscal year. SIMC retained Neuberger as a sub-adviser. Tax-Managed Small Cap Fund: AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date -------- ---------- ---------- ---------- Tax-Managed Small Cap Fund, Class A -23.34% -2.11% 5.68% 3.56%
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small Cap Fund, Class A, versus the Russell 2500 Index (PERFORMANCE GRAPH)
Tax-Managed Russell Small Cap Fund, 2500 Class A Index --------------- -------- 10/31/00 $100,000 $100,000 9/30/01 81,544 83,519 9/30/02 75,440 77,293 9/30/03 100,053 104,804 9/30/04 116,362 124,206 9/30/05 140,561 150,646 9/30/06 148,293 163,907 9/30/07 172,016 188,766 9/30/08 131,866 154,813
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Fund shares were offered beginning 10/31/00. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower SEI Institutional Managed Trust / Annual Report / September 30, 2008 16 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Small/Mid Cap Diversified Alpha Fund Objective The Small/Mid Cap Diversified Alpha Fund (the "Fund") seeks to provide long-term growth of capital and income by investing in the equity securities of small- and mid-cap companies and in portfolio strategies designed to correlate to a portfolio composed of small- and mid-cap equity securities. While the Fund is expected to have an absolute return and risk profile similar to the broad U.S. small/mid cap equity market, returns may be derived in part from investing significant portions of the Fund in securities outside of the small/ mid cap market. Strategy The Fund uses a multi-manager approach under the general supervision of SEI Investments Management Corporation, allocating the assets among multiple sub-advisers that use different investment strategies to seek to achieve returns in excess of the performance of a broad U.S. large cap benchmark. This allocation among investment strategies aims to diversify the sources from which sub-advisers seek to achieve excess returns (i.e., returns in excess of a benchmark index), and thereby diversify the relative risk of the Fund. Some sub-advisers may engage in short sales of up to 30% of the value of their Fund allocation and use the proceeds from the sale to purchase long positions in additional equity securities. Some sub-advisers may also use portfolio strategies that are designed to correlate with a portfolio of small/mid cap equity securities, but which are composed of derivative instruments backed by other types of securities. Los Angeles Capital Management and Equity Research ("L.A. Capital"), Martingale Asset Management ("Martingale"), and PanAgora Asset Management ("PanAgora") seek to overweight stocks with attractive fundamental and/or technical characteristics and underweight those without attractive characteristics. All three sub-advisers use quantitative techniques to identify stock characteristics or factors that they believe are predictive of future outperformance, although the specific factors, definition of the factors and the factor weights in the model vary. Integrity Asset Management ("Integrity") uses a blend of qualitative and quantitative elements at each step of its process and focuses on the timing of purchases to avoid value traps. Wellington Management Company focuses on companies that demonstrate growth at reasonable prices. Smith Breeden seeks to generate alpha within the U.S. fixed income market and transport it to the equity market. Analysis The Russell 2500 Index lost 17.99% during the fiscal year ended September 30, 2008. The market was negatively impacted by the flight from risk and de-linking from fundamentals that followed the U.S. sub-prime mortgage meltdown. U.S. financial institutions have been obligated to downsize their balance sheets by writing-down billions of dollars to account for housing losses, while hedge funds, facing margin calls, were compelled to de-leverage their portfolios by selling their most liquid, highest quality assets. Fears related to the sub-prime mortgage crisis spread through the market, seizing credit and liquidity, as banks stopped lending to one another. In addition, energy prices surged to historical highs in the first half of 2008, adding inflationary and recessionary pressures to a plethora of issues: declining housing values, higher food costs, increasing debt, and insignificant wage growth faced by U.S. consumers. Such a market environment proved to be unprecedented as the U.S. economy witnessed the nationalization of government sponsored entities Fannie Mae and Freddie Mac, its largest bank failure ever in Washington Mutual, Lehman Brothers' filing for Chapter 11 bankruptcy, and the U.S. Treasury ("Treasury") bailout of insurance giant AIG. In order to address investors' growing concerns about the state of the U.S./global economy, the U.S. Federal Reserve cut rates seven times over the past year to foster liquidity and ignite lending among banks, while the Treasury requested an unprecedented $700B bailout package from congress. The fiscal year was marked by a de-linking from fundamentals amid the increased levels of volatility, as measured by the VIX Index, and heightened levels of risk aversion. In this regard, the most expensive securities, as measured by P/E, higher return on equity, high momentum and largest market cap stock quintiles were the worst SEI Institutional Managed Trust / Annual Report / September 30, 2008 17 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 performing areas of the small/mid cap market. None of the ten Global Industry Classification Standard sectors posted positive returns during the period, with technology, telecom and consumer discretionary weighing on the market, down over 25% for the period. Financials recuperated some of the losses incurred during the first nine months of the fiscal year with a fierce rally, particularly in the banks and real estate areas, during the final fiscal quarter. The Small/Mid Cap Diversified Alpha Fund lost 27.63% for the year ended September 30, 2008, principally due to the struggles of alpha transport manager Smith Breeden which remains entangled in the dislocation of the credit market. From an equity sector standpoint, the Fund was adversely affected by poor stock selection, particularly in the financials and industrials areas. From a manager standpoint, Wellington particularly struggled with sector positioning, suffering from dramatic price reversals that saw energy rise to historical highs and financials fiercely rallying in the last quarter of the fiscal year. Martingale's momentum exposure was also hampered by the aforementioned price reversals, causing the manager to detract from performance in the period. L.A. Capital's factor rotation, which focuses on factor sustainability, faced a challenging environment due to the re-emergence of volatility and increased fears in the markets. Finally, Smith Breeden underperformed for the period as major issues in the credit markets generated significant stumbling blocks for the manager's process during the period. There were no sub-adviser changes during the fiscal year. Small/Mid Cap Diversified Alpha Fund: AVERAGE ANNUAL TOTAL RETURN(1)
Annualized One Year Inception Return to Date -------- ---------- Small/Mid Cap Diversified Alpha Fund, Class A -27.63% -15.82% Small/Mid Cap Diversified Alpha Fund, Class I -27.72% -15.97%
Comparison of Change in the Value of a $100,000 Investment in the Small/Mid Cap Diversified Alpha Fund, Class A and Class I, versus the Russell 2500 Index (PERFORMANCE GRAPH)
Small/Mid Cap Small/Mid Cap Diversified Alpha Diversified Alpha Fund, Class A Fund, Class I Russell 2500 Index ----------------- ----------------- ------------------ 12/20/06 $100,000 $100,000 $100,000 9/30/07 101,712 101,508 105,938 9/30/08 73,604 73,373 86,883
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 12/20/06 and Class I Shares were offered beginning 10/01/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 18 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Mid-Cap Fund Objective The Mid-Cap Fund (the "Fund") seeks to provide long-term capital appreciation by investing primarily in equity securities of mid-sized companies in a core style. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire small/mid cap universe, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by eight investment managers. Assets of the Fund are strategically allocated among the 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. Martingale Asset Management ("Martingale") employs a systematic approach focused on valuation, relative performance and management quality. Martingale selects stocks of companies that have low price to earnings ratios and price to book ratios, but that also have high sustainable growth levels and some prospects of high positive earnings revisions. Quantitative Management Associates ("QMA") believes that markets are largely efficient, but that investors make systematic mistakes, and a quantitative investment process that reduces the influence of biases on investment decisions will more effectively identify and exploit common investor mistakes. QMA emphasizes different factor metrics, depending on the growth rate of a company to identify and exploit mispriced stocks. Analysis The U.S. mid-cap equity market, as measured by the Russell Mid-Cap Index, lost 22.36% during the fiscal year ended September 30, 2008. After five years of steady growth, U.S. mid cap stocks were negatively impacted by the flight from risk and de-linking from fundamentals that resulted from the sub-prime mortgage meltdown. U.S. financial institutions were obligated to downsize their balance sheets by writing-down billions of dollars to account for housing losses, while hedge funds, facing margin calls, were compelled to deleverage their portfolios by selling their most liquid, highest quality assets. Fears related to the sub-prime mortgage crisis spread through the market, seizing credit and liquidity, as banks stopped lending to one another. In addition, energy prices surged to all-time highs in the first half of 2008, adding inflationary and recessionary pressures to a plethora of issues: declining housing values, higher food costs, increasing debt, and insignificant wage growth faced by U.S. consumers. Such a market environment proved to be unprecedented as the U.S. economy witnessed the nationalization of government-sponsored entities Fannie Mae and Freddie Mac, its largest bank failure ever in Washington Mutual, Lehman Brothers' filing for Chapter 11 bankruptcy, and the U.S. Treasury bailout of insurance giant AIG. In order to address investors' growing concern about the state of the U.S./global economy, the U.S. Federal Reserve cut rates seven times over the past year to foster liquidity and ignite lending among banks, while the U.S. Treasury requested an unprecedented $700B bailout package from Congress. During the past fiscal year there has been a value bias in the mid cap universe, as growth stocks underperformed their value counterparts by nearly 4%. Most of this differential was realized in the last three months of the period due to a sharp reversal and downturn of energy prices (energy has a higher weight in the growth benchmark) and a rebound in consumer staples and financials' performances (these sectors are more heavily weighted in the value benchmark). The fiscal year was also marked by a de-linking from fundamentals amid the increased levels of volatility, as measured by the VIX Index, and risk aversion. Thus, the fastest growing, most expensive, higher return on equity, and largest market cap stock quintiles were the worst performing areas of the mid cap market. None of the ten Global Industry Classification Standard sectors posted positive returns, and the consumer discretionary, technology, and telecom sectors were the worst performers, down over 29% for the period. The Mid-Cap Fund, Class A, lost 25.45% for the year ended September 30, 2008. The Fund was hampered by adverse stock selection in the consumer staples, materials and real estate areas, which erased the strong performance realized in the consumer discretionary sector. From a manager standpoint, Martingale's SEI Institutional Managed Trust / Annual Report / September 30, 2008 19 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 exposure to price momentum proved to be detrimental in the midst of sudden price reversals in energy and financials. The manager's poor stock selection to high P/E stocks significantly detracted from performance, as those stocks led the market. QMA also underperformed during the period amid poor stock selection in energy and adversely participating in the price reversal that dominated the last quarter of the fiscal year. In addition, the manager was hurt by its allocation to the growth areas of the market as measured by forward one year earnings growth. There were no sub-adviser changes during the fiscal year. Mid-Cap 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 -------- ---------- ---------- ---------- ---------- Mid-Cap Fund, Class A -25.45% -1.68% 8.29% 8.25% 9.52% Mid-Cap Fund, Class I -25.70% -1.96% 7.97% 7.94% 9.20%
Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A and Class I, versus the Russell Mid-Cap Index (PERFORMANCE GRAPH)
Mid-Cap Fund, Mid-Cap Fund, Russell Mid-Cap Class A Class I Index ------------- ------------- --------------- 9/30/98 $100,000 $100,000 $100,000 9/30/99 116,532 116,153 119,450 9/30/00 148,160 147,260 157,221 9/30/01 119,130 118,043 122,069 9/30/02 115,149 113,787 111,106 9/30/03 148,453 146,368 147,355 9/30/04 181,456 178,285 177,631 9/30/05 232,534 227,928 222,220 9/30/06 252,292 246,568 243,484 9/30/07 296,475 289,036 286,996 9/30/08 221,023 214,766 222,828
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 2/16/93 and Class I Shares were offered beginning 10/01/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 20 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 U.S. Managed Volatility Fund Objective The U.S. Managed Volatility Fund (the "Fund") invests in common stocks and other equity securities and employs a broad range of investment strategies intended to generate capital appreciation, but with a lower level of volatility than the broad U.S. equity markets. Strategy The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation ("SIMC"). Each sub-adviser, in managing its portion of the Fund's assets, employs various investment strategies intended to achieve returns similar to that of the broad U.S. equity markets, but with a lower level of volatility over the long-term. The Fund seeks to achieve lower volatility by constructing a portfolio of securities that effectively weights securities based on their total expected risk and return, without regard to market capitalization, industry or tracking error targets relative to the broad market. As such, the Fund is expected to have meaningful differentiations in terms of sector weights and short-term performance relative to broad market indices. The Fund utilizes Aronson + Johnson + Ortiz ("AJO") and Analytic Investors ("Analytic") as sub-advisers; each utilizes a differentiated investment and risk model. Analysis The U.S. Managed Volatility Fund, Class A, lost 12.38% for the fiscal year ended September 30, 2008. The S&P 500 Index lost 21.98% for the fiscal year. U.S. large cap stocks sold off during the fiscal year, losing close to 22% for the period ending September 30, 2008. Investors became increasingly concerned about global economic growth being stunted by the current financial crisis, which has led to higher borrowing costs and a decaying economic picture that pressured consumers. Continued weakness in housing sent prices sharply lower as the rally in oil prices, which peaked above $145 barrel in July, and tightening credit further exacerbated the ongoing subprime crisis. The year began on shaky ground as large cap stocks rallied from their August lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of September, but then soon gave way to downward pressure as several financial institutions took large write-downs due to growing foreclosures and falling asset (in particular homes) prices. In January alone, the market lost more than 10% as credit markets froze, which led the Fed to cut interest rates by 125 basis points in a two week span. In March, the market was stunned as Bear Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal government back stopping the deal. Markets then had a very brief rally driven by energy and technology before eventually succumbing to pressure from credit markets over the summer. The financial crisis led to unprecedented government actions in the last quarter of the fiscal year, which included the following: The SEC banned short sales on financial firms twice, as the Government watched the FDIC take over IndyMac, placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to declare bankruptcy and go out of business, provided an $85 billion bridge loan to AIG (the world's largest insurer) to prevent widespread financial collapse, took over Washington Mutual selling off its assets to JPMorgan Chase and brokered a deal for Wells Fargo to takeover Wachovia. By the end of September, stocks were under severe selling pressure as the odds of a recession increased, and frozen credit markets worldwide prevented companies and consumers from accessing credit. The fiscal year saw sharp reversals in trends as energy and materials sectors continued to lead markets for the first nine months with returns of approximately 17% and 4%, respectively. Energy rallied on the back of strong oil prices and heightened supply concerns. The financial sector was a significant underperformer weighed, down by the seizure in credit markets. Thrifts and mortgage finance, consumer finance and investment banks were among the weakest performers. Momentum factors outpaced value factors as investors sent energy and materials stocks higher and financials lower; however, in July, investors quickly shifted capital from energy markets into more defensive positions and oversold financials. This marked a sharp reversal in trends from the previous nine months as value stocks outpaced growth stocks by 6% and small cap stocks beat their large cap brethren by 8% in the 4th quarter of the fiscal year. SEI Institutional Managed Trust / Annual Report / September 30, 2008 21 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Despite the reversal in the 4th quarter, the Russell 1000 Growth Index still managed to outpace the Russell 1000 Value Index by close to 3% as both stronger growing and more expensive stocks, as measured by P/E, outperformed despite losing significant ground later in the fiscal year. In the end, this environment benefited lower beta stocks over the entire fiscal year with investors flight to quality picking up pace as credit markets deteriorated. Given that the Fund is not managed against a specific benchmark; we would expect it to vary significantly from the broad market performance on a shorter-term basis. In particular, the Fund generally favors stocks with relatively low beta to the overall equity market, such as utilities and consumer staples, and largely avoids high beta stocks, such as information technology. We would expect the Fund to have a difficult time keeping up with strongly rallying markets, but provide strong downside protection in bear markets. In the recent fiscal year, the broad equity market lost over 21%, and as such we are extremely pleased with the portfolio's performance during a difficult market environment. For the fiscal period, underweights to financials, information technology and consumer discretionary stocks and overweights to staples and healthcare stocks were beneficial. Strong stock selection across almost all sectors, particularly utilities, also benefited the portfolio's relative performance. As an overall theme for the year, investors rewarded a premium to lower beta stocks as a flight to quality took hold and concerns about economic decay mounted. Both managers, Analytic and AJO, outperformed in the period due to an overall emphasis on lower beta stocks, which led to strong stock selection. There were no sub-adviser changes during the fiscal year. U.S. Managed Volatility Fund: AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized One Year 3 Year Inception Return Return to Date -------- ---------- ---------- U.S. Managed Volatility Fund, Class A -12.38% 3.07% 6.03% U.S. Managed Volatility Fund, Class I -12.58% 2.70% 5.63%
Comparison of Change in the Value of a $150,000 Investment in the U.S. Managed Volatility Fund, Class A and Class I, versus the S&P 500 Index (PERFORMANCE GRAPH)
U.S. Managed Volatility U.S. Managed Volatility Fund, Class A Fund, Class I S&P 500 Index ----------------------- ----------------------- ------------- 10/28/04 $150,000 $150,000 $150,000 9/30/05 172,403 171,722 166,248 9/30/06 185,578 184,170 184,188 9/30/07 215,431 212,765 214,468 9/30/08 188,766 186,001 167,337
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower then the performance of the Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/28/04 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 22 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Global Managed Volatility Fund Objective The Global Managed Volatility Fund (the "Fund") invests in common stocks and other equity securities and employs a broad range of investment strategies intended to generate capital appreciation, but with a lower level of volatility than the broad global equity market. Strategy The Fund uses a multi-manager approach, relying on sub-advisers with differing investment approaches to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation. Each sub-adviser employs various investment strategies intended to achieve returns similar to that of the broad global equity markets, but with a lower level of volatility over the long-term. The Fund seeks to achieve lower volatility by constructing a portfolio that effectively weights securities based on their total expected risk and return, without regard to market capitalization, industry or tracking error targets relative to the broad market. As such, the Fund is expected to have meaningful differentiations in terms of sector weights and short-term performance relative to broad market indices. The Fund utilizes Acadian Asset Management ("Acadian") and Analytic Investors ("Analytic") as sub-advisers, and each utilizes a differentiated investment and risk model. Analysis The Fund's preference for low volatility stocks provided meaningful downside protection for the fiscal year ended September 30, 2008. While the Fund declined 16.60%, it outperformed the Morgan Stanley MSCI World Index, which fell 26.04%, by more than 9%. The Fund's reduction in volatility was achieved by targeting low beta and low correlation stocks. Over 80 percent of the Fund's weight is concentrated in the lower 2 quintiles of beta as calculated by Barra. Within the traditional framework of sector attribution, the Fund was and remains defensively positioned with an overweight to consumer staples, health care and utilities and underweight to financials, energy, information technology, materials and to a lesser extent industrials. Sector positioning was an overall positive and contributed over 400 basis points ("bps") of alpha. In particular, the overweight stance to consumer staples and health care generated over 300 bps of excess return. Strong stock selection in financials and industrials further aided return. Both managers outperformed during the year. Success was driven primarily by beneficial portfolio positioning among the lower volatility stocks. Analytics' alpha model also contributed but to a lesser extent. Stock selection was particularly strong in financials. Acadian's positive alpha can be attributed to its positioning in low beta stocks. Over 90 percent of Acadian's portfolio is located in the lower quintiles of beta. The managers' alpha model, however, continued to generate a negative selection effect. Sector selection, primarily in consumer staples and health care was beneficial. In addition, positive stock selection within financials, industrials and information technology sectors further aided return. There were no sub-adviser changes during the fiscal year. SEI Institutional Managed Trust / Annual Report / September 30, 2008 23 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Global Managed Volatility Fund: AVERAGE ANNUAL TOTAL RETURN(1)
Annualized One Year Inception Return to Date -------- ---------- Global Managed Volatility Fund, Class A -16.60% -2.31% Global Managed Volatility Fund, Class I -16.86% -2.71%
Comparison of Change in the Value of a $100,000 Investment in the Global Managed Volatility Fund, Class A and Class I, versus the Morgan Stanley MSCI World Index (PERFORMANCE GRAPH)
Global Managed Global Managed Volatility Fund, Volatility Fund, Morgan Stanley Class A Class I MSCI World Index ---------------- ---------------- ---------------- 7/27/06 $100,000 $100,000 $100,000 9/30/06 103,700 103,586 104,898 9/30/07 113,945 113,288 127,031 9/30/08 95,033 94,191 93,952
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower then the performance of the Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 24 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Tax-Managed Managed Volatility Fund Objective The Tax-Managed Managed Volatility Fund (the "Fund") invests in common stocks and other equity securities and employs a broad range of investment strategies intended to generate capital appreciation, but with a lower level of volatility than the broad U.S. equity markets. The Fund attempts to enhance after-tax returns to investors through lower turnover and tax management techniques. Strategy The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation. Each sub-adviser, in managing its portion of the Fund's assets, employs various investment strategies intended to achieve returns similar to that of the broad U.S. equity markets, but with a lower level of volatility over the long-term. The Fund seeks to achieve lower volatility by constructing a portfolio of securities that effectively weights securities based on their total expected risk and return, without regard to market capitalization, industry or tracking error targets relative to the broad market. As such, the Fund is expected to have meaningful differentiation in terms of sector weights and short-term performance relative to broad market indices. The Fund utilizes Aronson + Johnson + Ortiz ("AJO"), Analytic Investors ("Analytic") and Parametric Portfolio Associates ("Parametric") as sub-advisers; each brings a differentiated investment and risk model. Parametric serves as the implementation manager for Analytic's investment process of harvesting tax losses in order to enhance after-tax return. Analysis The Tax-Managed Managed Volatility Fund, Class A, returned -9.24% for the fiscal period (inception December 20, 2007) ended September 30, 2008. The Russell 3000 Index returned -21.52% for the fiscal period. U.S. equity markets sold off during the fiscal period losing close to 19% since the Fund's inception through September 30, 2008. Investors became increasingly concerned about global economic growth being stunted by the current financial crisis, which has led to higher borrowing costs and a decaying economic picture that pressured consumers. Continued weakness in housing sent prices sharply lower as the rally in oil prices, which peaked above $145 barrel in July, and tightening credit further exacerbated the ongoing subprime crisis. The year began on shaky ground as large cap stocks rallied from their August lows following a U.S. Federal Reserve (the "Fed") rate cut at the end of September, but then soon gave way to downward pressure as several financial institutions took large write-downs due to growing foreclosures and falling asset (in particular homes) prices. In January alone, the market lost more than 10% as credit markets froze, which led the Fed to cut interest rates by 125 basis points in a two week span. In March, the market was stunned as Bear Stearns declared bankruptcy and was bought by JPMorgan Chase, with the federal government back stopping the deal. Markets then had a very brief rally driven by energy and technology before eventually succumbing to pressure from credit markets over the summer. The financial crisis led to unprecedented government actions in the last quarter of the fiscal year, which included the following: The SEC banned short sales on financial firms twice, as the Government watched the FDIC take over IndyMac, placed Fannie Mae and Freddie Mac in conservatorship, allowed Lehman Brothers to declare bankruptcy and go out of business, provided an $85 billion bridge loan to AIG (the world's largest insurer) to prevent widespread financial collapse, took over Washington Mutual selling off its assets to JPMorgan Chase and brokered a deal for Wells Fargo to takeover Wachovia. By the end of September, stocks were under severe selling pressure as the odds of a recession increased, and frozen credit markets worldwide prevented companies and consumers from accessing credit. The fiscal year saw sharp reversals in trends as energy and materials sectors continued to lead markets for the first nine months with returns of approximately 17% and 4%, respectively. Energy rallied on the back of strong oil prices and heightened supply concerns. The financial sector was a significant underperformer, weighed down by SEI Institutional Managed Trust / Annual Report / September 30, 2008 25 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 the credit market seizure. Thrifts and mortgage finance, consumer finance and investment banks were among the weakest performers. Momentum factors outpaced value factors as investors sent energy and materials stocks higher and financials lower; however, in July, investors quickly shifted capital from energy markets into more defensive positions and oversold financials. This marked a sharp reversal in trends from the previous nine months as value stocks outpaced growth stocks by 6% and small cap stocks beat their large cap brethren by 8% in the 4th quarter of the fiscal year. Despite the reversal in the 4th quarter, the Russell 1000 Growth Index still managed to outpace the Russell 1000 Value Index by close to 3% as both stronger growing and more expensive stocks, as measured by P/E, outperformed despite losing significant ground later in the fiscal year. In the end, this environment benefited lower beta stocks over the entire fiscal year with investors flight to quality picking up pace as credit markets deteriorated. Given that the Fund is not managed against a specific index; we would expect it to vary significantly from the broad market performance on a short-term basis. In particular, the Fund generally favors stocks with relatively low beta to the overall equity market, such as utilities and consumer staples, and largely avoids stocks with high beta, such as information technology. We would expect the Fund to have a difficult time keeping up with strongly rallying markets, but provide strong downside protection in bear markets. In the recent fiscal period, the broad equity market lost over 19%, and as such we are extremely pleased with how the portfolio performed during a difficult market environment. For the fiscal period, being underweight financials, information technology and consumer discretionary stocks and overweight staples and healthcare, benefited the Fund's relative performance. Strong stock selection across most sectors, particularly utilities, was also beneficial. As an overall theme for the year, investors rewarded a premium to lower beta stocks as a flight to quality took hold and concerns about economic decay mounted. Both sub-advisers, Analytic and AJO, outperformed in the period due to an overall emphasis on lower beta stocks, which led to their strong stock selection. There were no sub-adviser changes during this fiscal period. Tax-Managed Managed Volatility Fund: AVERAGE ANNUAL TOTAL RETURN(1)
Cumulative Inception to Date ---------- Tax-Managed Managed Volatility Fund -9.24%
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Managed Volatility Fund, versus the Russell 3000 Index (PERFORMANCE GRAPH)
Tax-Managed Managed Russell 3000 Volatility Fund Index --------------- ------------ 12/20/07 $100,000 $100,000 9/30/08 90,762 81,635
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Fund shares were offered beginning 12/20/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 26 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Real Estate Fund Objective The Real Estate Fund (the "Fund") seeks to provide total return including current income and capital appreciation by investing in real estate securities. Strategy With respect to this Fund, SEI Investments Management Corporation employs a multi-manager structure to gain exposure to the entire real estate sector in the United States. The Fund is non-diversified and expects to hold a small number of securities, thus increasing the importance of each holding. The Fund will invest at least 80% of its net assets in equity securities of real estate investment companies and real estate operating companies. The Fund is jointly sub-advised by two investment managers. Assets of the Fund are strategically allocated among its two 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. Security Capital Research and Management ("Security Capital") integrates research on real estate sub-market analysis with fundamental company analysis to find attractively priced securities. Wellington Management Company ("Wellington") utilizes a unique risk/reward relative valuation assessment to identify attractive real estate investments. Analysis The Wilshire Real Estate Securities (Full Cap) Index (the "Index") lost 12.86% for the year ended September 30, 2008. The real estate segment of the market experienced a broad based slowdown over the last twelve months, with a majority of industries posting negative returns for the period. Three of the largest detractors from the Index's performance were the hotel, regional malls and industrials areas, while self storage was a positive contributor. Hotel Real Estate Investment Trust's ("REIT") sold off as concerns surrounding debt laden consumers continued to mount, and popular tourist areas showed signs of significant drop-offs in volume. Regional malls also came under pressure due to weakening consumer sentiment and slowing consumer spending. Industrial REIT's were also hit hard as higher input costs and sharp declines in manufacturing put pressure on the industry as a whole. Overall, investors became increasingly concerned about REIT's ability to roll over issuance of debt as credit markets seized up towards the end of the period. This put further pressure on the equity of those companies, as investors sought to exploit the historically large yield premiums available on debt and preferred instruments due to continued fallout from the subprime meltdown and credit crisis. The Real Estate Fund, Class A, returned -17.15% for the year ended September 30, 2008. The Fund lagged the Index in seven of its twelve sectors. Wellington negatively impacted the Fund through stock selection in regional malls and an underweight to the healthcare and self storage industries, the best performing areas of the REIT market. Security Capital outperformed the Index for the period through strong stock selection in regional malls and strip centers. Avoiding troubled companies helped Security Capital to mitigate poor stock selection in hotels and industrials. There were no sub-adviser changes during the fiscal year. Real Estate Fund: AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized One Year 3 Year Inception Return Return to Date -------- ---------- ---------- Real Estate Fund, Class A -17.15% 4.47% 12.67% Real Estate Fund, Class I -17.33% 4.20% 12.39%
Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class A and Class I, versus the Wilshire Real Estate Securities (Full Cap) Index (PERFORMANCE GRAPH)
Wilshire Real Estate Securities Real Estate Fund, Real Estate Fund, (Full Cap) Class A Class I Index ----------------- ----------------- ---------------- 11/13/03 $100,000 $100,000 $100,000 9/30/04 120,817 120,526 120,298 9/30/05 157,028 156,310 154,808 9/30/06 204,821 203,342 198,677 9/30/07 216,076 213,934 206,378 9/30/08 179,016 176,863 179,841
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 11/13/03 and Class I Shares were offered beginning 10/01/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 27 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Enhanced Income Fund Objective The Enhanced Income Fund (the "Fund") seeks to provide an enhanced return above LIBOR (London InterBank Offered Rate). Strategy The Fund's investment strategy, using multiple sub-advisers, focuses on generating absolute return through the management of securities in multiple asset classes, including currency. The Fund's managers employ security selection to invest in a diversified portfolio of short duration investment grade and non-investment grade securities, including bank loans. Active currency management is also utilized to enhance long-term performance. Analysis The Enhanced Income Fund, Class A, returned -12.42% for the year ended September 30, 2008, compared to 3.47% for the 3-Month LIBOR Index. The fixed income markets experienced turbulent conditions during the period as escalating delinquencies and defaults on sub-prime mortgages triggered a flight to safety into U.S. Treasury ("Treasury") obligations. As economic momentum slowed and the risk of recession grew, the U.S. Federal Reserve (the "Fed") lowered the benchmark Fed Funds rate to 2% in late September (subsequently lowered to 1.0% at the end of October) from 4.75% in September 2007. The two year Treasury yield fell from almost 4.00% to roughly 2.00% at the end of September. Ten year Treasury yields fell 76 basis points to 3.8% as the yield curve steepened. The 3-Month LIBOR rate fell from 5.23% to 4.05% during the period. The spread to Fed Funds and short dated Treasury Bills widened significantly, however, reflecting the market's concern about liquidity and counterparty risk. The anticipation of increased losses in mortgage-backed and asset-backed securities led to massive write downs on the balance sheets of some of the world's premier financial institutions including Citigroup, UBS, Merrill Lynch, Wachovia Bank and Lehman Brothers. The fixed income markets became dysfunctional as the leading institutions ceased to provide liquidity even to some of the highest quality sectors of the market. The crisis came to a boiling point in mid March when the Government engineered a bailout of Bear Stearns, which was subsequently acquired by JPMorgan Chase. In unprecedented action, the Fed put several new liquidity facilities in place for the dealer community, including the allowance of investment banks to borrow from the Fed's discount window, a right historically limited to commercial banks. These efforts proved too little, as we later witnessed the U.S. government takeover of Fannie Mae and Freddie Mac, the fall of Lehman Brothers and Washington Mutual, the acquisition of Merrill Lynch by Bank of America, the U.S. government bailout of AIG, foreign government bailouts for various European banks, and a large U.S. money market fund "breaking the buck." The non-Treasury sectors of the market lagged the powerful rally in Treasury securities leading to significant underperformance in these sectors. Asset-backed securities underperformed similar duration Treasuries by 14.90% for the period, while investment grade corporate bonds underperformed by 16.46% and agency mortgages underperformed by 0.51%. Senior bank loans also underperformed as investors began to anticipate higher levels of defaults in these sectors. The Fund's heavy emphasis on the non-Treasury sectors detracted from relative return for the period as yield spreads widened dramatically in the corporate, mortgage and asset-backed markets. The Fund had a heavy allocation to mortgage and asset-backed securities throughout the period, and emphasized non-agency AAA-rated senior securities. These holdings detracted significantly from performance as prices deteriorated with the loss of liquidity, and valuations deteriorated to a level below what traditional credit fundamentals would suggest. The portfolio's roughly 30% allocation to senior bank loans was the other major detractor from performance during the period. Valuations in these below investment grade instruments fell dramatically during the period, despite their seniority in the capital structure, reflecting increased concerns about economic strength and corporate profitability. The default rate in this sector increased to an annualized rate of 3.1% at the end of September, outpacing the market's long term average 12-month trailing default rate of 2.40%. In addition, the massive backlog of bank loans on bank balance sheets, while slowly declining, caused significant technical pressures on the market, further pushing down secondary prices. Finally, the portfolio's currency strategy detracted from SEI Institutional Managed Trust / Annual Report / September 30, 2008 28 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 performance modestly due to the increase in volatility and underperformance of higher yielding currencies. There was one new sub-adviser, UBS Global Asset Management, which SEI Investments Management Corporation added towards the end of the fiscal year. Enhanced Income Fund: AVERAGE ANNUAL TOTAL RETURN(1)
Annualized One Year Inception Return to Date -------- ---------- Enhanced Income Fund, Class A -12.42% -4.16% Enhanced Income Fund, Class I -12.61% -4.61%
Comparison of Change in the Value of a $100,000 Investment in the Enhanced Income Fund, Class A and Class I, versus the 3-Month LIBOR Index (PERFORMANCE GRAPH)
Enhanced Income Enhanced Income 3-Month LIBOR Fund, Class A Fund, Class I Index --------------- --------------- ------------- 7/27/06 $100,000 $100,000 $100,000 9/30/96 101,100 100,993 100,997 9/30/07 104,089 103,258 106,623 9/30/08 91,161 90,237 110,767
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 6/29/07 is performance derived from the performance of the Class A Shares.The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 7/27/06 and Class I Shares were offered beginning 6/29/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 29 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Core Fixed Income Fund Objective The Core Fixed Income Fund (the "Fund") seeks to provide current income consistent with the preservation of capital. Strategy The 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 Barclays Capital Aggregate Bond Index (the "Index"), formerly the Lehman 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 decisions underlie the implementation process, the sub-advisers primarily concentrate on sector and issue selection to add value. In addition, the sub-advisers may engage in currency transactions using futures, foreign currency forward contracts and other derivatives either to hedge the Fund's currency exposure, or to enhance the Fund's return. This Fund also allows tactical allocation to high yield and emerging market debt securities. Analysis The Core Fixed Income Fund, Class A, lost 3.25% for the year ended September 30, 2008 compared to 3.66% for the Index. The fixed income markets experienced turbulent conditions during the period as escalating delinquencies and defaults on sub-prime mortgages triggered a flight to safety into U.S. Treasury ("Treasury") obligations. As economic momentum slowed and the risk of recession grew, the U.S. Federal Reserve (the "Fed") lowered the benchmark Fed Funds rate to 2% in late September (subsequently lowered to 1.0% at the end of October) from 4.75% in September 2007. The two year Treasury yield fell from almost 4.00% to roughly 2.00% at the end of September. Ten year Treasury yields fell 76 basis points to 3.8% as the yield curve steepened. The anticipation of increased losses in mortgage-backed and asset-backed securities led to massive write downs on the balance sheets of some of the world's premier financial institutions including Citigroup, UBS, Merrill Lynch, Wachovia Bank and Lehman Brothers. The fixed income markets became dysfunctional as the leading institutions ceased to provide liquidity even to some of the highest quality sectors of the market. The crisis came to boiling point in mid March when the U.S. government engineered a bailout of Bear Stearns, which was subsequently acquired by JPMorgan Chase. In unprecedented action, the Fed put several new liquidity facilities in place for the dealer community, including the allowance of investment banks to borrow from the Fed's discount window, a right historically limited to commercial banks. These efforts proved too little as we later witnessed the U.S. government takeover of Fannie Mae and Freddie Mac, the fall of Lehman Brothers and Washington Mutual, the acquisition of Merrill Lynch by Bank of America, the U.S. government bailout of AIG, foreign government bailouts for various European banks, and a large U.S. money market fund "breaking the buck." The non-Treasury sectors of the market lagged the powerful rally in Treasury securities leading to significant underperformance in these sectors. Asset-backed securities underperformed similar duration Treasuries by 14.90% for the period, while investment grade corporate bonds underperformed by 16.46% and agency mortgages underperformed by 0.51%. High yield bonds and senior bank loans also underperformed as investors began to anticipate higher levels of defaults in these sectors. The Fund's overweighted position in mortgage-backed securities ("MBS"), particularly non-agency MBS, was the primary source of underperformance for the period. While actual sub-prime and nonagency holdings were limited to mostly AAA-rated senior bonds, pricing in all sectors of the mortgage market suffered as liquidity deteriorated. The portfolio maintained a modest underweight to the corporate sector during the period, which was advantageous as yield spreads widened. However, overweighted exposure to BBB-rated securities and security selection within the financial sector caused a negative impact on return from the corporate strategy. The Fund held a modestly long duration position for the majority of the period, and was positioned with a yield curve steepening bias, which added to relative performance as the Fed eased interest rates and yields fell. The success of the interest rate strategy, however, was not enough to offset the large underperformance in the mortgage sector. There were no sub-adviser changes during the fiscal year. SEI Institutional Managed Trust / Annual Report / September 30, 2008 30 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 Core Fixed 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 -------- ---------- ---------- ---------- ---------- Core Fixed Income Fund, Class A -3.25% 1.40% 2.27% 4.22% 6.38% Core Fixed Income Fund, Class I -3.58% 1.14% 2.00% 3.89% 5.92%
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A and Class I, versus the Barclays Capital Aggregate Bond Index+ (PERFORMANCE GRAPH)
Core Fixed Core Fixed Barclays Income Fund, Income Fund, Capital Aggregate Class A Class I Bond Index+ ------------ ------------ ----------------- 9/30/98 $100,000 $100,000 $100,000 9/30/99 99,038 98,574 99,634 9/30/00 105,941 104,943 106,599 9/30/01 119,716 118,232 120,407 9/30/02 126,763 124,767 130,757 9/30/03 135,171 132,714 137,831 9/30/04 141,089 138,184 142,900 9/30/05 145,083 141,608 146,895 9/30/06 150,305 146,480 152,289 9/30/07 156,316 151,959 160,095 9/30/08 151,243 146,516 165,961
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares.The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 5/1/87 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. + Formerly the Lehman Aggregate Bond Index. SEI Institutional Managed Trust / Annual Report / September 30, 2008 31 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 High Yield Bond Fund Objective The investment objective of the High Yield Bond Fund (the "Fund") is to maximize total return by investing primarily in a diversified portfolio of higher yielding, lower rated fixed income securities. The strategy seeks to achieve a high level of total return through sector ration and security selection. Strategy Fund strategy is to identify high yield market sectors and securities that offer investment opportunities through the analysis of macroeconomic, 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 Merrill Lynch U.S. High Yield Master II Constrained Index (the "Index") lost 11.09% for the year ended September 30, 2008, as the financial crisis, recessionary fears and limited market liquidity weighed heavily on the high yield market. Health Services was the top performing sector on a contribution to return basis. HCA and Tenet Healthcare, which are the two largest constituents, led the sector higher as hospital companies attempted to improve free cash flow and reduce debt. The integrated electric and pharmaceutical sectors were also top performing sectors on a contribution to return basis. The auto loans sector was the worst performing sector, as Ford Motor Credit Company and General Motors Acceptance Corporation ("GMAC"), the only two constituents, struggled mightily due to plummeting auto sales. GMAC also has exposure to the subprime residential loan market, a terrible performer since last year, through its ownership interest in Residential Capital. The gaming and printing/publishing sectors were also poor performers on a contribution to return basis. Moody's global issuer-based default rate, which began the period at just under 1%, climbed higher to 2.8% by period's end. Although defaults are still currently below the historical average of roughly 4.5%, the rating agency is forecasting a higher than average default rate of 7.9% by September 2009, as a result of fallout from the credit crisis that has gripped the markets since the summer of 2007. The High Yield Bond Fund, Class A, underperformed the Index with a loss of 12.09% return during the year ended September 30, 2008. The major contributors were underweights to Residential Capital, Washington Mutual, and Harrah's. Residential Capital was extremely volatile, exhibiting negative performance because their business primarily deals with subprime mortgages. Washington Mutual filed for bankruptcy as regulators declared the company unstable and failing after a panicky depositor run on the banking unit, and arranged to sell its branch network and other valuable assets to JPMorgan. Harrah's recently completed a leveraged buyout ("LBO") that resulted in more debt for the company. The company's existing bonds sold off as did the newly issued debt. The major detractors from performance during the period were overweights to RR Donnelley, Claire's Stores and Delphi. RR Donnelley bonds were hit hard as the printer-publisher experienced slower than expected growth with fears of online advertising leading to questions regarding the firm's long term viability. Claire's Stores was one of the last LBOs completed before the market meltdown. The retailer's bonds suffered mightily on the heels of weak consumer confidence, poor financial results, and recession fears. Delphi, a defaulted automotive supplier thus an off-benchmark allocation, has been working its way through bankruptcy, ran into trouble with its exit financing and its recovery valuations suffered with the rest of the market. There was one new sub-adviser, Delaware Management Company, which SEI Investments Management Corporation added towards the end of the fiscal year. SEI Institutional Managed Trust / Annual Report / September 30, 2008 32 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2008 High Yield Bond 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 -------- ---------- ---------- ---------- ---------- High Yield Bond Fund, Class A -12.09% -0.02% 3.40% 3.94% 6.10% High Yield Bond Fund, Class I -12.19% -0.13% 3.29% 3.82% 5.99%
Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A and Class I, versus the Merrill Lynch U.S. High Yield Master II Constrained Index. (PERFORMANCE GRAPH)
Merrill Lynch U.S. High Yield High Yield High Yield Bond Fund, Bond Fund, Master II Class A Class I Constrained Index ---------- ---------- ------------------ 9/30/98 $100,000 $100,000 $100,000 9/30/99 103,508 103,302 103,862 9/30/00 103,414 103,173 104,792 9/30/01 98,492 97,989 98,367 9/30/02 103,859 103,230 97,308 9/30/03 124,503 123,770 125,331 9/30/04 137,999 136,891 140,779 9/30/05 147,262 146,103 150,052 9/30/06 156,847 155,466 160,881 9/30/07 167,392 165,746 173,414 9/30/08 147,158 145,549 154,179
(1) For the period ended 9/30/08. Past performance is no indication of future performance. Class I Shares performance for the period prior to 10/01/07 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I Shares. Class A Shares were offered beginning 1/11/95 and Class I Shares were offered beginning 10/01/07. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. SEI Institutional Managed Trust / Annual Report / September 30, 2008 33 SCHEDULE OF INVESTMENTS Large Cap Value Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Financials 22.2% Energy 14.0% Affiliated Partership 13.6% Health Care 10.3% Industrials 7.8% Consumer Discretionary 7.2% Consumer Staples 6.9% Utilities 5.0% Telecommunication Services 4.8% Materials 3.5% Information Technology 3.0% Short-Term Investment 1.6% U.S. Treasury Obligation 0.1%
# Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK@ -- 98.2% CONSUMER DISCRETIONARY -- 8.3% Aeropostale* (A) 88,100 $ 2,829 AnnTaylor Stores* 5,500 114 Ascent Media, Cl A* (A) 2,710 66 Autoliv 156,600 5,285 Autonation* 13,400 151 Barnes & Noble (A) 94,200 2,457 Bed Bath & Beyond* 8,000 251 Black & Decker 18,900 1,148 BorgWarner 11,000 360 Brinker International 139,100 2,488 Brunswick (A) 105,100 1,344 Cablevision Systems, Cl A 25,300 637 Career Education* 7,900 129 Carnival (A) 49,300 1,743 CBS, Cl B 411,600 6,001 Centex 106,100 1,719 Coach* 87,400 2,188 Comcast, Cl A 478,700 9,397 Darden Restaurants 96,200 2,754 DIRECTV Group* 169,600 4,438 Discovery Communications, Cl A* (A) 27,100 386 Discovery Communications, Cl C* (A) 27,100 384 DR Horton (A) 51,400 669 Eastman Kodak (A) 167,400 2,575 Expedia* 25,300 382 Family Dollar Stores (A) 8,700 206 Foot Locker 8,300 134 Fortune Brands 1,200 69 Gannett (A) 211,700 3,580 Gap (A) 324,100 5,762 General Motors (A) 103,300 976 Genuine Parts 6,400 257 Goodyear Tire & Rubber* 114,800 1,758
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Harley-Davidson (A) 58,000 $ 2,163 Hasbro (A) 204,200 7,090 Home Depot (A) 930,600 24,093 HSN* 1,260 14 Idearc (A) 30,420 38 Interpublic Group* 13,600 105 Interval Leisure Group* 1,260 13 J.C. Penney 94,700 3,157 Jarden* 1,900 45 Johnson Controls 136,400 4,137 Jones Apparel Group 15,800 292 KB Home (A) 65,400 1,287 Kohl's* (A) 60,200 2,774 Leggett & Platt 4,600 100 Lennar, Cl A (A) 27,100 412 Liberty Global, Cl A* (A) 102,700 3,112 Liberty Media - Capital, Ser A* 5,000 67 Liberty Media - Interactive, Cl A* (A) 91,200 1,177 Limited Brands 7,600 132 Lowe's 100,200 2,374 Macy's 167,100 3,004 Mattel 181,300 3,271 McDonald's 74,300 4,584 McGraw-Hill 27,800 879 MDC Holdings 3,400 124 Mohawk Industries* (A) 1,900 128 New York Times, Cl A (A) 23,500 336 Newell Rubbermaid 31,000 535 News, Cl A 584,500 7,008 NVR* (A) 6,300 3,604 Office Depot* 57,100 332 Omnicom Group 2,700 104 O'Reilly Automotive* (A) 2,900 78 Orient-Express Hotels, Cl A (A) 3,300 80 Pulte Homes 49,000 685 Ross Stores (A) 67,500 2,485 Royal Caribbean Cruises 4,100 85 Saks* (A) 4,400 41 Scripps Networks Interactive, Cl A (A) 42,400 1,540 Sears Holdings* (A) 900 84 Service International 26,300 220 Sherwin-Williams (A) 58,400 3,338 Signet Jewelers 7,600 178 Snap-On 10,300 542 Stanley Works 122,797 5,126 Staples 36,300 817 Target 4,700 231 Ticketmaster* 1,260 14 Time Warner (A) 1,504,000 19,717 Time Warner Cable, Cl A* (A) 15,500 375 Toll Brothers* 42,900 1,082 VF 28,100 2,172
SEI Institutional Managed Trust / Annual Report / September 30, 2008 34
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Viacom, Cl B* 22,700 $ 564 Walt Disney (A) 433,400 13,301 Washington Post, Cl B 500 278 Whirlpool (A) 44,400 3,520 Williams-Sonoma (A) 6,400 104 Wyndham Worldwide 229,200 3,601 ------------ 199,386 ------------ CONSUMER STAPLES -- 7.9% Alberto-Culver 35,600 970 Altria Group 196,300 3,895 Anheuser-Busch 6,400 415 Archer-Daniels-Midland (A) 219,300 4,805 BJ's Wholesale Club* (A) 11,200 435 Brown-Forman, Cl B 8,000 574 Bunge (A) 21,100 1,333 Campbell Soup 3,500 135 Clorox 4,600 288 Coca-Cola (A) 112,100 5,929 Coca-Cola Enterprises (A) 326,500 5,475 Colgate-Palmolive 20,600 1,552 ConAgra Foods (A) 203,600 3,962 Constellation Brands, Cl A* (A) 43,700 938 Corn Products International 59,100 1,908 CVS Caremark 47,000 1,583 Del Monte Foods 368,100 2,871 General Mills 110,900 7,621 Herbalife 59,900 2,367 HJ Heinz 69,500 3,473 Hormel Foods 19,800 718 JM Smucker 13,000 659 Kellogg 50,800 2,850 Kimberly-Clark 177,700 11,522 Kraft Foods, Cl A 196,760 6,444 Kroger 518,200 14,240 Lorillard 5,700 406 Molson Coors Brewing, Cl B 9,500 444 Pepsi Bottling Group 324,100 9,454 PepsiCo 92,900 6,621 Philip Morris International 18,200 875 Procter & Gamble 627,700 43,744 Reynolds American 92,500 4,497 Safeway (A) 296,127 7,024 Sara Lee 192,400 2,430 Smithfield Foods* (A) 17,200 273 SUPERVALU 181,237 3,933 SYSCO 117,800 3,632 Tyson Foods, Cl A 164,500 1,964 UST 55,000 3,660
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Wal-Mart Stores 157,900 $ 9,457 WM Wrigley Jr. 58,300 4,629 ------------ 190,005 ------------ ENERGY -- 16.2% Anadarko Petroleum 163,300 7,922 Apache 150,500 15,694 BJ Services 40,900 782 Cabot Oil & Gas 18,200 658 Cameron International* 33,800 1,303 Chesapeake Energy (A) 25,800 925 Chevron 936,700 77,259 Cimarex Energy (A) 123,600 6,045 ConocoPhillips 821,193 60,152 Devon Energy 135,400 12,348 El Paso (A) 81,200 1,036 Encore Acquisition* 3,800 159 ENSCO International 1,800 104 EOG Resources 41,000 3,668 Exterran Holdings* (A) 8,100 259 Exxon Mobil 1,896,000 147,243 Forest Oil* 17,400 863 Helix Energy Solutions Group* (A) 12,700 308 Helmerich & Payne 19,200 829 Hercules Offshore* (A) 19,900 302 Key Energy Services* 9,800 114 Marathon Oil 293,900 11,718 Mariner Energy* 20,300 416 Murphy Oil 45,900 2,944 Nabors Industries* 39,200 977 Newfield Exploration* 19,300 617 Noble Energy 30,400 1,690 Occidental Petroleum 49,900 3,515 Overseas Shipholding Group (A) 8,600 501 Patterson-UTI Energy (A) 122,300 2,448 Petro-Canada 68,100 2,271 PetroHawk Energy* 2,100 45 Pioneer Natural Resources (A) 3,400 178 Plains Exploration & Production* 5,000 176 Pride International* 10,800 320 Rowan (A) 11,000 336 Schlumberger 28,350 2,214 SEACOR Holdings* 1,200 95 St. Mary Land & Exploration 5,900 210 Sunoco 59,700 2,124 Tidewater 28,600 1,583 Unit* 2,000 100 Valero Energy 373,300 11,311 W&T Offshore (A) 56,700 1,547 XTO Energy 53,100 2,470 ------------ 387,779 ------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 35 SCHEDULE OF INVESTMENTS Large Cap Value Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- FINANCIALS -- 25.7% ACE 62,810 $ 3,400 Alexandria Real Estate Equities+ (A) 8,100 911 Alleghany* (A) 581 212 Allied Capital (A) 30,500 329 Allied World Assurance Holdings 25,500 906 Allstate (A) 443,400 20,450 AMB Property+ (A) 20,800 942 American Capital (A) 17,200 439 American Express 5,600 198 American Financial Group 133,200 3,929 American International Group (A) 755,300 2,515 Ameriprise Financial (A) 131,800 5,035 Annaly Capital Management+ (A) 206,200 2,773 AON 42,800 1,924 Apartment Investment & Management, Cl A+ (A) 14,098 494 Associated Banc-Corp (A) 23,000 459 Assurant 91,800 5,049 Astoria Financial 49,000 1,016 AvalonBay Communities+ (A) 2,800 276 Axis Capital Holdings 252,300 8,000 Bancorpsouth (A) 33,900 954 Bank of America (A) 2,235,150 78,230 Bank of Hawaii (A) 13,000 695 Bank of New York Mellon 142,322 4,637 BB&T (A) 252,000 9,526 BlackRock 2,800 545 Boston Properties+ (A) 8,200 768 BRE Properties, Cl A+ 2,600 127 Brown & Brown 1,500 32 Camden Property Trust+ (A) 2,700 124 Capital One Financial (A) 190,900 9,736 CapitalSource+ (A) 51,400 632 CB Richard Ellis Group, Cl A* (A) 191,900 2,566 CBL & Associates Properties+ 4,400 88 Charles Schwab 156,400 4,066 Chubb 265,800 14,592 Cincinnati Financial 7,100 202 CIT Group (A) 268,700 1,870 Citigroup 1,989,200 40,798 City National (A) 1,500 81 CME Group 18,500 6,873 Comerica (A) 102,700 3,368 Commerce Bancshares (A) 27,200 1,262 Conseco* 9,300 33 Credicorp 13,200 822 Cullen/Frost Bankers 84,500 5,070 Digital Realty Trust+ (A) 2,600 123 Discover Financial Services (A) 256,050 3,539 Douglas Emmett+ 11,300 261 Duke Realty+ (A) 14,100 347
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Endurance Specialty Holdings (A) 185,000 $ 5,720 Equity Residential+ (A) 20,000 888 Erie Indemnity, Cl A 3,400 144 Essex Property Trust+ 5,600 663 Everest Re Group 80,000 6,922 Fannie Mae (A) 28,600 44 Federal Realty Investment Trust+ (A) 3,600 308 Federated Investors, Cl B (A) 78,500 2,265 Fidelity National Financial, Cl A 67,600 994 Fifth Third Bancorp (A) 101,300 1,205 First American 9,000 266 First Horizon National (A) 70,700 662 Franklin Resources 86,700 7,641 Freddie Mac 8,900 15 Fulton Financial (A) 55,400 604 Genworth Financial, Cl A 117,200 1,009 Goldman Sachs Group 181,000 23,168 Hanover Insurance Group 37,500 1,707 Hartford Financial Services Group 181,400 7,436 HCC Insurance Holdings 6,900 186 HCP+ (A) 42,200 1,693 Health Care+ (A) 33,800 1,799 Hospitality Properties Trust+ (A) 94,500 1,939 Hudson City Bancorp 145,700 2,688 Huntington Bancshares (A) 15,000 120 Invesco 27,700 581 Janus Capital Group (A) 122,200 2,967 Jefferies Group (A) 11,100 249 Jones Lang LaSalle 2,400 104 JPMorgan Chase 1,404,004 65,567 Keycorp (A) 381,500 4,555 Kilroy Realty+ 7,100 339 Kimco Realty+ 10,000 369 Legg Mason (A) 9,900 377 Leucadia National (A) 88,800 4,035 Liberty Property Trust+ 11,200 422 Lincoln National 203,467 8,710 Loews 178,400 7,045 M&T Bank (A) 9,800 875 Mack-Cali Realty+ (A) 11,400 386 Markel* 1,700 598 Marsh & McLennan 21,200 673 Marshall & Ilsley (A) 4,600 93 MBIA (A) 95,400 1,135 Merrill Lynch (A) 146,500 3,706 MetLife (A) 158,200 8,859 MGIC Investment (A) 78,700 553 Moody's (A) 35,000 1,190 Morgan Stanley 438,400 10,083 NASDAQ Stock Market* 16,900 517 National City (A) 213,600 374
SEI Institutional Managed Trust / Annual Report / September 30, 2008 36
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Nationwide Financial Services, Cl A (A) 87,300 $ 4,307 Nationwide Health Properties+ 30,100 1,083 New York Community Bancorp (A) 89,800 1,508 Northern Trust (A) 16,700 1,206 NYSE Euronext (A) 37,900 1,485 Old Republic International (A) 12,600 161 PartnerRe 18,400 1,253 People's United Financial (A) 66,000 1,271 Philadelphia Consolidated Holding* 9,400 551 Plum Creek Timber+ 10,100 504 PNC Financial Services Group (A) 117,955 8,811 Popular (A) 167,100 1,385 Principal Financial Group (A) 110,000 4,784 Progressive (A) 261,200 4,545 Prologis+ (A) 63,000 2,600 Protective Life 12,700 362 Prudential Financial 112,000 8,064 Public Storage+ 31,700 3,139 Raymond James Financial (A) 14,600 482 Rayonier+ 8,300 393 Regency Centers+ (A) 8,100 540 Regions Financial (A) 667,084 6,404 Reinsurance Group of America, Cl A (A) 3,000 162 RenaissanceRe Holdings 20,700 1,076 St. Joe (A) 3,300 129 StanCorp Financial Group 10,900 567 State Street 70,100 3,987 Sunstone Hotel Investors+ (A) 95,800 1,293 SunTrust Banks (A) 133,900 6,024 Synovus Financial (A) 31,400 325 T. Rowe Price Group (A) 51,800 2,782 TCF Financial (A) 12,500 225 Torchmark (A) 80,700 4,826 Travelers 553,700 25,027 Tree.com* 210 1 UDR+ (A) 34,900 913 UnionBanCal 4,800 352 Unum Group (A) 136,300 3,421 US Bancorp (A) 378,700 13,641 Valley National Bancorp (A) 17,469 366 Ventas+ (A) 21,700 1,072 Vornado Realty Trust+ 14,700 1,337 Wachovia (A) 387,280 1,355 Washington Federal (A) 22,300 411 Weingarten Realty Investors+ (A) 10,100 360 Wells Fargo (A) 992,100 37,234 Whitney Holding (A) 2,800 68 Wilmington Trust (A) 12,900 372 WR Berkley 144,200 3,396
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- XL Capital, Cl A (A) 104,200 $ 1,869 Zions Bancorporation (A) 58,900 2,279 ------------ 615,380 ------------ HEALTH CARE -- 12.0% Abbott Laboratories 21,200 1,221 Aetna 11,000 397 Alcon 27,700 4,474 AmerisourceBergen 168,400 6,340 Amgen* 402,000 23,827 Barr Pharmaceuticals* 6,300 411 Baxter International 18,000 1,181 Becton Dickinson 22,900 1,838 Boston Scientific* 238,600 2,928 Cardinal Health 130,900 6,451 Celgene* 66,500 4,208 Charles River Laboratories International* 5,900 328 Cigna 148,700 5,053 Community Health Systems* (A) 8,600 252 Coventry Health Care* 86,800 2,825 Covidien 82,350 4,427 Eli Lilly 387,000 17,040 Forest Laboratories* (A) 127,800 3,614 Genentech* 40,200 3,565 Gilead Sciences* 96,800 4,412 Health Management Associates, Cl A* 22,700 94 Health Net* 4,400 104 Hill-Rom Holdings (A) 3,200 97 Hologic* 10,500 203 Hospira* (A) 11,400 435 Humana* 71,000 2,925 ImClone Systems* 2,500 156 IMS Health 3,300 62 Invitrogen* (A) 25,700 971 Johnson & Johnson 670,100 46,425 King Pharmaceuticals* (A) 582,900 5,584 LifePoint Hospitals* (A) 5,500 177 McKesson 107,400 5,779 Medco Health Solutions* 78,900 3,551 Merck 736,200 23,234 Mylan Laboratories* (A) 47,600 544 Omnicare 7,400 213 Pediatrix Medical Group* 2,200 119 PerkinElmer 7,500 187 Pfizer 3,694,600 68,128 Tenet Healthcare* (A) 54,700 304 Thermo Fisher Scientific* 40,000 2,200 UnitedHealth Group 235,800 5,987 Universal Health Services, Cl B 6,100 342 WellPoint* 95,600 4,471
SEI Institutional Managed Trust / Annual Report / September 30, 2008 37 SCHEDULE OF INVESTMENTS Large Cap Value Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Wyeth 490,300 $ 18,112 Zimmer Holdings* 8,500 549 ------------ 285,745 ------------ INDUSTRIALS -- 9.1% 3M 35,200 2,405 AGCO* 6,400 273 Alexander & Baldwin 3,600 159 Alliant Techsystems* 1,000 94 Allied Waste Industries* 174,100 1,934 AMR* (A) 22,900 225 Avery Dennison 7,700 342 Caterpillar 50,500 3,010 Cintas 9,400 270 Continental Airlines, Cl B* 6,600 110 Con-way 9,400 415 Cooper Industries, Cl A 3,900 156 Crane 24,000 713 CSX 42,000 2,292 Cummins 97,100 4,245 Danaher 4,600 319 Deere (A) 22,400 1,109 Delta Air Lines* (A) 25,800 192 Dover 59,800 2,425 DRS Technologies 5,600 430 Dun & Bradstreet 1,200 113 Eaton 67,100 3,770 Emerson Electric 75,800 3,092 Equifax 13,800 475 FedEx 51,100 4,039 Flowserve 4,900 435 Fluor 17,400 969 Gardner Denver* 55,100 1,913 GATX (A) 10,500 415 General Dynamics 67,900 4,999 General Electric 3,787,400 96,579 Harsco 56,700 2,109 Hertz Global Holdings* 73,900 559 Honeywell International 117,900 4,899 Hubbell, Cl B 6,000 210 Illinois Tool Works 212,400 9,441 Ingersoll-Rand, Cl A 147,600 4,601 Kansas City Southern* 6,500 288 KBR 3,200 49 L-3 Communications Holdings 40,500 3,982 Lincoln Electric Holdings 5,500 354 Lockheed Martin 30,600 3,356 Manpower 14,800 639 Masco (A) 92,500 1,659 Norfolk Southern 81,600 5,403 Northrop Grumman 152,700 9,244 Northwest Airlines* (A) 47,400 428
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Owens Corning* (A) 12,600 $ 301 Parker Hannifin 56,700 3,005 Pentair 19,200 664 Quanta Services* 4,000 108 Raytheon 65,600 3,510 Republic Services 1,300 39 RR Donnelley & Sons 10,600 260 Ryder System 19,800 1,228 Spirit Aerosystems Holdings, Cl A* 19,700 317 Teleflex 300 19 Terex* (A) 31,400 958 Timken 13,800 391 Trinity Industries (A) 14,900 383 Tyco International 72,600 2,542 Union Pacific 36,000 2,562 United Technologies 247,700 14,877 URS* 9,900 363 USG* (A) 6,100 156 Waste Management 12,400 390 WESCO International* 5,600 180 ------------ 217,391 ------------ INFORMATION TECHNOLOGY -- 3.5% ADC Telecommunications* (A) 10,400 88 Advanced Micro Devices* (A) 30,100 158 Affiliated Computer Services, Cl A* (A) 16,400 830 Amdocs* 5,100 140 Anixter International* 42,100 2,505 Apple* 36,400 4,137 Arrow Electronics* 33,800 886 Avnet* 3,300 81 Brocade Communications Systems* 45,300 264 CA 15,600 311 Cisco Systems* 71,900 1,622 Computer Sciences* 182,800 7,347 Compuware* (A) 126,200 1,223 Convergys* 40,300 596 Cree* (A) 16,400 374 EMC* 27,700 331 Fidelity National Information Services 9,300 172 Flextronics International* 236,500 1,674 Google, Cl A* 11,100 4,446 Hewitt Associates, Cl A* 96,500 3,516 Hewlett-Packard 200,300 9,262 IAC* 10,350 179 Ingram Micro, Cl A* 77,200 1,241 Intel 183,500 3,437 International Business Machines 28,400 3,322 Intersil, Cl A 1,300 22 Jabil Circuit 6,800 65 JDS Uniphase* 12,300 104 Lender Processing Services 3,800 116
SEI Institutional Managed Trust / Annual Report / September 30, 2008 38
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Lexmark International, Cl A* 17,500 $ 570 LSI Logic* (A) 84,100 451 Micron Technology* (A) 49,700 201 Microsoft 108,000 2,883 Molex (A) 28,500 640 Motorola 597,100 4,263 NCR* 5,300 117 Novellus Systems* (A) 10,600 208 QLogic* (A) 33,200 510 Qualcomm 26,400 1,134 SAIC* 6,300 127 SanDisk* (A) 5,000 98 Seagate Technology 405,200 4,911 Sun Microsystems* (A) 26,300 200 Symantec* 261,600 5,122 Synopsys* 18,000 359 Tech Data* 7,600 227 Teradata* 5,800 113 Teradyne* 15,600 122 Texas Instruments 106,600 2,292 Tyco Electronics 33,550 929 Vishay Intertechnology* (A) 146,800 972 Western Digital* 224,000 4,776 Xerox 319,200 3,680 ------------ 83,354 ------------ MATERIALS -- 4.1% Air Products & Chemicals 20,700 1,418 Alcoa (A) 360,500 8,140 Aptargroup 4,400 172 Ashland 22,900 670 Ball (A) 44,500 1,757 Bemis 11,300 296 Cabot 8,900 283 Carpenter Technology 56,600 1,452 Century Aluminum* (A) 1,700 47 Dow Chemical (A) 516,400 16,411 E.I. Du Pont de Nemours (A) 231,700 9,338 Eastman Chemical (A) 121,500 6,690 FMC 24,300 1,249 Freeport-McMoRan Copper & Gold, Cl B (A) 126,855 7,212 International Paper (A) 267,100 6,993 Lubrizol 127,400 5,496 MeadWestvaco (A) 8,600 200 Monsanto 45,000 4,454 Nucor (A) 195,300 7,714 Owens-Illinois* (A) 60,200 1,770 Packaging Corp of America 1,600 37 Pactiv* (A) 16,400 407 PPG Industries 81,200 4,736 Reliance Steel & Aluminum 4,000 152
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- RPM International (A) 14,700 $ 284 Schnitzer Steel Industries, Cl A 2,000 78 Sealed Air (A) 46,200 1,016 Sigma-Aldrich (A) 33,500 1,756 Smurfit-Stone Container* 237,700 1,117 Sonoco Products 111,800 3,318 Steel Dynamics 18,800 321 United States Steel 200 16 Valspar 74,900 1,670 Vulcan Materials (A) 9,300 693 Weyerhaeuser 10,100 612 ------------ 97,975 ------------ TELECOMMUNICATION SERVICES -- 5.6% AT&T 2,943,602 82,186 CenturyTel (A) 96,900 3,551 Crown Castle International* 35,200 1,020 Frontier Communications 15,900 183 Leap Wireless International* (A) 4,800 183 Sprint Nextel (A) 1,112,950 6,789 Telephone & Data Systems 4,200 150 Verizon Communications 1,214,100 38,960 Windstream 36,026 394 ------------ 133,416 ------------ UTILITIES -- 5.8% Alliant Energy 243,200 7,833 Ameren (A) 111,700 4,360 American Electric Power 261,300 9,676 American Water Works (A) 5,400 116 Atmos Energy 7,700 205 Centerpoint Energy 3,700 54 CMS Energy (A) 119,700 1,493 Consolidated Edison (A) 128,400 5,516 Constellation Energy Group 6,500 158 Dominion Resources (A) 93,800 4,013 DPL (A) 14,300 355 DTE Energy (A) 187,300 7,514 Duke Energy 507,448 8,845 Dynegy, Cl A* 17,100 61 Edison International 118,500 4,728 Energen 32,800 1,485 Entergy 49,900 4,442 Exelon 70,100 4,390 FirstEnergy 143,400 9,606 FPL Group 67,900 3,415 Great Plains Energy 5,400 120 Hawaiian Electric Industries (A) 41,400 1,205 Integrys Energy Group 6,400 320 MDU Resources Group 15,400 447 National Fuel Gas (A) 9,600 405
SEI Institutional Managed Trust / Annual Report / September 30, 2008 39 SCHEDULE OF INVESTMENTS Large Cap Value Fund (Concluded) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- NiSource 29,700 $ 438 Northeast Utilities 1,800 46 NRG Energy* 9,000 223 NSTAR (A) 20,000 670 OGE Energy 20,100 621 Oneok 77,500 2,666 Pepco Holdings 183,400 4,202 PG&E 184,400 6,906 Pinnacle West Capital (A) 238,900 8,221 Progress Energy 65,200 2,812 Public Service Enterprise Group (A) 105,800 3,469 Puget Energy 62,200 1,661 Questar 24,800 1,015 Reliant Energy* 255,100 1,875 SCANA (A) 28,900 1,125 Sempra Energy 41,000 2,069 Sierra Pacific Resources 206,700 1,980 Southern (A) 153,100 5,770 Southern Union 5,100 105 TECO Energy 27,600 434 UGI 45,600 1,177 Vectren 30,500 849 Wisconsin Energy 65,500 2,941 Xcel Energy (A) 318,500 6,367 ------------ 138,404 ------------ Total Common Stock (Cost $2,458,480) ($ Thousands) 2,348,835 ------------ AFFILIATED PARTNERSHIP -- 15.7% SEI Liquidity Fund, L.P., 2.590%**++ (B) 381,977,620 376,211 ------------ Total Affiliated Partnership (Cost $381,978) ($ Thousands) 376,211 ------------ CASH EQUIVALENT -- 1.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 43,354,807 43,355 ------------ Total Cash Equivalent (Cost $43,355) ($ Thousands) 43,355 ------------
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bills 1.657%, 11/20/08 (C) (D) $ 4,199 $ 4,198 ------------ Total U.S. Treasury Obligation (Cost $4,189) ($ Thousands) 4,198 ------------ Total Investments -- 115.9% (Cost $2,888,002) ($ Thousands) $ 2,772,599 ============
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- ------------- S&P 500 Composite Index 87 Dec-2008 $(512) =====
Percentages are based on Net Assets of $2,391,872 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). @ Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. (A) This Security or a partial position of this security is on loan at September 30, 2008 (see Note 7). The total market value of securities on loan at September 30, 2008 was $395,738 ($ Thousands). (B) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2008 was $376,211 ($ Thousands). (C) The rate reported is the effective yield at time of purchase. (D) Security, or portion thereof, has been pledged as collateral on open futures contracts. Cl -- Class L.P. -- Limited Partnership Ser -- Series The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 40 SCHEDULE OF INVESTMENTS Large Cap Growth Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Information Technology 28.2% Health Care 13.3% Consumer Staples 9.8% Industrials 9.8% Energy 9.2% Affiliated Partnership 8.6% Consumer Discretionary 8.5% Financials 6.0% Materials 2.5% Cash Equivalents 1.7% Telecommunication Services 1.4% Utilities 0.8% U.S. Treasury Obligation 0.2%
# Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK@ -- 98.5% CONSUMER DISCRETIONARY -- 9.4% Abercrombie & Fitch, Cl A 11,400 $ 450 Advance Auto Parts 8,100 321 Amazon.com* (A) 272,680 19,840 American Eagle Outfitters (A) 90,900 1,386 Apollo Group, Cl A* (A) 83,400 4,946 Autozone* 3,169 391 Bed Bath & Beyond* 7,500 236 Best Buy 22,700 851 Big Lots* (A) 41,200 1,147 BorgWarner 23,400 767 Boyd Gaming (A) 13,200 124 Brinker International 72,900 1,304 Burger King Holdings 16,200 398 Carnival 3,500 124 Central European Media Enterprises, Cl A* 2,300 150 Chipotle Mexican Grill, Cl A* 700 39 Coach* 367,381 9,199 Coldwater Creek* (A) 15,500 90 Comcast, Cl A 229,320 4,502 Darden Restaurants 21,459 614 DeVry 6,300 312 Dick's Sporting Goods* 12,400 243 DIRECTV Group* 233,800 6,119 DISH Network, Cl A* 24,600 517 Dollar Tree* (A) 34,789 1,265 Fortune Brands (A) 120,420 6,907 GameStop, Cl A* 70,700 2,419 Gap 60,100 1,069 Garmin 2,300 78 Gentex 3,200 46 Goodyear Tire & Rubber* 32,400 496 Guess? 9,000 313 Gymboree* 21,100 749
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- H&R Block 119,600 $ 2,721 Hanesbrands* 17,300 376 Hasbro 25,400 882 International Game Technology 109,700 1,885 Interpublic Group* 17,900 139 ITT Educational Services* (A) 11,800 955 J.C. Penney 19,600 653 John Wiley & Sons, Cl A 5,800 235 Johnson Controls (A) 318,200 9,651 Kohl's* (A) 57,900 2,668 Liberty Global, Cl A* 71,882 2,178 Liberty Media - Entertainment, Cl A * 91,500 2,285 Limited Brands (A) 29,400 509 LKQ* 22,500 382 Lowe's 531,215 12,584 Macy's 34,700 624 Marriott International, Cl A (A) 130,160 3,396 McDonald's 311,200 19,201 McGraw-Hill 148,821 4,704 MGM Mirage* (A) 552,800 15,755 New York* 11,300 108 Newell Rubbermaid 116,330 2,008 News, Cl A 45,384 544 Nike, Cl B 150,600 10,075 Omnicom Group 17,628 680 Orient-Express Hotels, Cl A 5,200 125 Panera Bread, Cl A* 2,800 143 Penn National Gaming* 12,600 335 Polo Ralph Lauren 1,800 120 priceline.com* 7,300 500 Pulte Homes 11,600 162 Ross Stores 30,800 1,134 Sherwin-Williams 1,800 103 Sirius XM Radio* 337,640 192 Stamps.com* 15,500 181 Staples (A) 823,400 18,527 Starwood Hotels & Resorts Worldwide 112,870 3,176 Strayer Education 1,100 220 Target 285,732 14,015 Tiffany 16,800 597 Tim Hortons 15,903 471 Time Warner Cable, Cl A* 3,200 77 Titan International (A) 16,425 350 TJX 55,700 1,700 Urban Outfitters* (A) 86,400 2,754 Viacom, Cl B* 273,211 6,787 WABCO Holdings 1,333 47 Walt Disney (A) 30,800 945 Weight Watchers International (A) 370,800 13,570 Williams-Sonoma 5,300 86 Wynn Resorts 6,500 531 Yum! Brands 104,604 3,411 ------------ 232,869 ------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 41 SCHEDULE OF INVESTMENTS Large Cap Growth Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- CONSUMER STAPLES -- 10.8% Alberto-Culver 5,300 $ 144 Altria Group 264,440 5,246 Anheuser-Busch 10,063 653 Avon Products 36,500 1,517 Brown-Forman, Cl B 21,000 1,508 Campbell Soup 23,467 906 Central European Distribution* 7,000 318 Church & Dwight 17,700 1,099 Coca-Cola (A) 722,457 38,204 Colgate-Palmolive 177,267 13,357 Costco Wholesale (A) 123,000 7,986 CVS Caremark 422,331 14,216 Diamond Foods 2,200 62 Energizer Holdings* 6,100 491 Estee Lauder, Cl A 6,700 334 General Mills 1,000 69 Herbalife 12,600 498 HJ Heinz 54,300 2,713 Kellogg 13,900 780 Kimberly-Clark 89,902 5,829 Kraft Foods, Cl A 108,520 3,554 Kroger 200,500 5,510 Lorillard 4,400 313 McCormick 1,100 42 NBTY* 5,800 171 PepsiCo 577,164 41,134 Philip Morris International 291,940 14,042 Procter & Gamble 795,405 55,432 Reynolds American 31,500 1,532 SYSCO 6,400 197 Walgreen 568,285 17,594 Wal-Mart Stores 496,001 29,706 Whole Foods Market 17,600 353 WM Wrigley Jr. 25,600 2,033 ------------ 267,543 ------------ ENERGY -- 10.2% Arch Coal 24,700 812 Atwood Oceanics* 4,800 175 Baker Hughes 2,333 141 Cabot Oil & Gas 19,500 705 Cameron International* (A) 207,352 7,991 Chesapeake Energy (A) 365,008 13,089 Chevron 17,622 1,453 Consol Energy 28,500 1,308 Continental Resources* 19,300 757 Core Laboratories 27,800 2,817 Denbury Resources* 37,900 722 Devon Energy 53,000 4,834
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Diamond Offshore Drilling (A) 12,300 $ 1,268 Dresser-Rand Group* 5,300 167 Encore Acquisition* 6,000 251 ENSCO International 70,900 4,086 EOG Resources 200,400 17,928 Exxon Mobil 143,300 11,129 FMC Technologies* 18,200 847 Foundation Coal Holdings 10,300 366 Frontline 12,600 606 Halliburton 785,990 25,458 Hess 204,060 16,749 Mariner Energy* 33,900 695 Massey Energy (A) 37,200 1,327 Murphy Oil 39,500 2,534 Nabors Industries* 185,800 4,630 National Oilwell Varco* 31,729 1,594 Noble 96,900 4,254 Noble Energy 35,900 1,996 Occidental Petroleum 250,900 17,676 Oceaneering International* 1,300 69 Oil States International* 3,200 113 Overseas Shipholding Group 4,300 251 Patriot Coal* 34,200 994 Patterson-UTI Energy (A) 42,600 853 Peabody Energy 8,800 396 PetroHawk Energy* 31,800 688 Plains Exploration & Production* 24,900 875 Pride International* 42,800 1,267 Quicksilver Resources* 45,400 891 Range Resources 33,100 1,419 SandRidge Energy* 7,100 139 Schlumberger 524,382 40,949 SEACOR Holdings* (A) 14,000 1,105 Smith International 48,400 2,838 Southwestern Energy* (A) 160,700 4,908 St. Mary Land & Exploration 2,400 86 Suncor Energy 310,040 13,065 Superior Energy Services* 24,600 766 Swift Energy* 5,200 201 Tesoro 1,800 30 Tidewater 11,400 631 Transocean 38,412 4,219 Ultra Petroleum* 50,800 2,811 Unit* 45,100 2,247 W&T Offshore 9,700 265 Weatherford International* (A) 476,726 11,985 Whiting Petroleum* 12,800 912 Williams (A) 121,500 2,873 XTO Energy 130,586 6,075 ------------ 252,286 ------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 42
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- FINANCIALS -- 6.6% Aflac 49,034 $ 2,881 American Express 357,346 12,661 American Physicians Capital 9,800 415 Apartment Investment & Management, Cl A+ 12,713 445 Aspen Insurance Holdings 14,100 388 BlackRock 6,400 1,245 Camden Property Trust+ 2,800 128 CB Richard Ellis Group, Cl A* 8,600 115 Charles Schwab (A) 885,211 23,015 Citigroup 440,300 9,031 CME Group 100,244 37,242 Digital Realty Trust+ 6,900 326 Discover Financial Services (A) 34,500 477 Eaton Vance 6,700 236 Essex Property Trust+ 3,700 438 Federal Realty Investment Trust+ 1,600 137 Federated Investors, Cl B 25,000 721 First Cash Financial Services* 10,100 152 Goldman Sachs Group 15,596 1,996 HCP+ 16,200 650 Health Care+ 5,800 309 Hudson City Bancorp 170,000 3,137 Interactive Brokers Group, Cl A* (A) 3,000 67 IntercontinentalExchange* 286,750 23,135 Invesco 900 19 Investment Technology Group* 37,300 1,135 JPMorgan Chase 50,560 2,361 Merrill Lynch (A) 428,500 10,841 Morgan Stanley 24,272 558 MSCI, Cl A* 3,900 94 NASDAQ Stock Market* 32,900 1,006 Nationwide Health Properties+ 3,600 130 Northern Trust 25,118 1,814 NYSE Euronext (A) 203,200 7,961 PartnerRe 18,600 1,266 Philadelphia Consolidated Holding* 2,300 135 Platinum Underwriters Holdings (A) 46,800 1,660 Plum Creek Timber+ 9,700 484 Prudential Financial 1,000 72 Rayonier+ 2,900 137 Riskmetrics Group* 9,400 184 Simon Property Group+ 15,900 1,542 St. Joe 22,200 868 State Street 5,500 313 T. Rowe Price Group 16,124 866 Taubman Centers+ 12,600 630 TD Ameritrade Holding* (A) 191,200 3,097 Tree.com* 2,950 14 Ventas+ 14,200 702
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Waddell & Reed Financial, Cl A 50,200 $ 1,242 Wells Fargo 158,300 5,941 ------------ 164,419 ------------ HEALTH CARE -- 14.6% Abbott Laboratories 455,316 26,217 Aetna 21,000 758 Albany Molecular Research* 4,400 80 Alkermes* 31,300 416 Allergan 587,958 30,280 American Medical Systems Holdings* (A) 22,100 392 Amylin Pharmaceuticals* (A) 190,189 3,846 Applied Biosystems 76,600 2,624 Baxter International 274,772 18,033 Beckman Coulter 1,500 106 Becton Dickinson 79,425 6,375 Biogen Idec* (A) 40,100 2,017 BioMarin Pharmaceuticals* 27,300 723 Boston Scientific* 35,000 429 Bristol-Myers Squibb 337,700 7,041 C.R. Bard 20,900 1,983 Cardinal Health 2,688 132 Celgene* 33,560 2,124 Cephalon* (A) 31,700 2,456 Charles River Laboratories International* 12,500 694 Cigna 67,521 2,294 Community Health Systems* 4,000 117 Covance* 43,400 3,837 Cubist Pharmaceuticals* (A) 18,000 400 Dentsply International 48,300 1,813 Dionex* (A) 4,300 273 Edwards Lifesciences* 2,600 150 Eli Lilly 99,290 4,372 Endo Pharmaceuticals Holdings* 57,000 1,140 Express Scripts* (A) 105,680 7,801 Forest Laboratories* (A) 91,600 2,590 Genentech* 466,120 41,336 Gen-Probe* 4,300 228 Genzyme* 19,000 1,537 Gilead Sciences* 485,178 22,114 Health Management Associates, Cl A* 30,600 127 Henry Schein* 18,500 996 Hill-Rom Holdings (A) 7,000 212 Hologic* 11,700 226 Hospira* 5,400 206 Humana* 76,500 3,152 Idexx Laboratories* 50,300 2,756
SEI Institutional Managed Trust / Annual Report / September 30, 2008 43 SCHEDULE OF INVESTMENTS Large Cap Growth Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Illumina* 22,400 $ 908 ImClone Systems* 11,300 706 Intuitive Surgical* 22,500 5,422 Invitrogen* 17,100 646 Johnson & Johnson 271,052 18,778 Kinetic Concepts* 3,600 103 Laboratory Corp of America Holdings* 5,700 396 Martek Biosciences (A) 10,200 320 McKesson 19,212 1,034 Medco Health Solutions* 96,582 4,346 Medicines* 25,200 585 Medicis Pharmaceutical, Cl A (A) 12,000 179 Medtronic 233,000 11,673 Merck 495,483 15,637 Merit Medical Systems* 12,300 231 Patterson* 6,400 195 Pediatrix Medical Group* 17,700 954 PerkinElmer 2,100 52 Perrigo 28,600 1,100 Pharmaceutical Product Development 22,400 926 Quest Diagnostics 23,500 1,214 Resmed* 2,500 108 Schering-Plough 869,521 16,060 St. Jude Medical* 203,350 8,844 Stryker 219,700 13,687 Synovis Life Technologies* 7,200 136 Techne* 16,200 1,168 Tenet Healthcare* 90,300 501 Teva Pharmaceutical Industries ADR (A) 211,397 9,680 Thermo Fisher Scientific* (A) 254,890 14,019 UnitedHealth Group (A) 755,820 19,190 Varian Medical Systems* 19,000 1,085 VCA Antech* 2,020 60 Warner Chilcott, Cl A* (A) 112,500 1,701 Waters* 1,600 93 WellCare Health Plans* 3,000 108 Zimmer Holdings* 102,773 6,635 ------------ 362,883 ------------ INDUSTRIALS -- 10.8% 3M 84,826 5,795 Acuity Brands (A) 22,100 923 Aecom Technology* 7,900 193 AGCO* 6,200 264 Alliant Techsystems* 7,000 658 Ametek 28,100 1,146 Boeing 144,316 8,277 Brink's 17,400 1,062 Bucyrus International, Cl A 34,800 1,555 Burlington Northern Santa Fe 64,130 5,928 C.H. Robinson Worldwide 19,766 1,007 Caterpillar (A) 193,900 11,556
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Cenveo* (A) 8,800 $ 68 Con-way 5,400 238 Cooper Industries, Cl A 1,000 40 Copart* 49,000 1,862 Corrections Corp of America* 6,000 149 Covanta Holding* 5,600 134 CSX 155,900 8,507 Cummins 102,200 4,468 Danaher 62,380 4,329 Deere 55,000 2,723 Donaldson 18,900 792 Dover 21,700 880 Dun & Bradstreet 500 47 Eaton 2,500 140 Emerson Electric 362,108 14,770 Energy Conversion Devices* (A) 29,400 1,713 Equifax 3,500 121 Expeditors International of Washington 439,100 15,298 Fastenal (A) 30,800 1,521 FedEx (A) 71,100 5,620 First Solar* (A) 20,600 3,892 Flowserve 20,600 1,829 Fluor 235,600 13,123 Foster Wheeler* 135,300 4,886 FTI Consulting* 4,700 340 General Cable* (A) 218,100 7,771 Goodrich 43,300 1,801 Harsco 40,100 1,491 Honeywell International 189,100 7,857 Hubbell, Cl B (A) 11,900 417 IHS, Cl A* 4,200 200 Illinois Tool Works 22,800 1,013 ITT 6,300 350 Jacobs Engineering Group* 54,800 2,976 JB Hunt Transport Services 33,000 1,101 John Bean Technologies* 20,411 258 Joy Global 13,800 623 Kansas City Southern* 21,100 936 KBR 6,100 93 Kirby* 27,400 1,040 L-3 Communications Holdings 35,600 3,500 Landstar System 18,100 797 Lennox International 11,300 376 Lincoln Electric Holdings 3,000 193 Lockheed Martin 86,515 9,488 Manitowoc 7,300 114 Manpower 1,000 43 McDermott International* 9,900 253 MSC Industrial Direct, Cl A 2,300 106 NCI Building Systems* (A) 14,500 460 Norfolk Southern 51,300 3,397 Northrop Grumman 69,948 4,235 PACCAR 13,150 502
SEI Institutional Managed Trust / Annual Report / September 30, 2008 44
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Pall 6,300 $ 217 Parker Hannifin 28,550 1,513 Perini* (A) 15,100 389 Precision Castparts 54,961 4,330 Quanta Services* (A) 373,800 10,096 Raytheon 52,500 2,809 Republic Services 36,400 1,091 Rockwell Automation 4,700 175 Roper Industries 5,700 325 Ryder System 24,900 1,544 Shaw Group* 198,400 6,097 SPX 8,200 631 Steelcase, Cl A 17,400 187 Stericycle* 66,190 3,899 Textron 50,200 1,470 Thomas & Betts* 233,100 9,107 Tyco International 141,600 4,959 Union Pacific 103,800 7,386 United Parcel Service, Cl B 317,875 19,991 United Technologies 158,740 9,534 USG* 3,800 97 UTI Worldwide 6,800 116 Valmont Industries 1,800 149 Walter Industries 16,000 759 WESCO International* (A) 73,200 2,355 WW Grainger 1,400 122 ------------ 266,593 ------------ INFORMATION TECHNOLOGY -- 31.0% Accenture, Cl A 169,300 6,434 Activision Blizzard* (A) 754,844 11,647 Adobe Systems* (A) 131,900 5,206 Affiliated Computer Services, Cl A* 10,600 537 Agilent Technologies* 112,300 3,331 Akamai Technologies* 9,600 167 Altera 3,200 66 Amphenol, Cl A 26,000 1,044 Analog Devices 100,200 2,640 Ansys* 11,300 428 Apple* 414,699 47,135 Applied Materials 49,705 752 Applied Micro Circuits* 33,700 202 Arrow Electronics* 1,400 37 Automatic Data Processing 9,100 389 Avnet* 8,000 197 Avocent* 3,900 80 BMC Software* 28,500 816 Broadcom, Cl A* (A) 218,200 4,065 Broadridge Financial Solutions 33,300 512 Brocade Communications Systems* 50,700 295 CA 76,900 1,535 Ciena* 9,600 97
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Cisco Systems* 1,968,356 $ 44,406 Citrix Systems* 5,100 129 CommScope* 8,600 298 Compuware* 12,200 118 Corning 199,500 3,120 Cree* 3,600 82 Daktronics (A) 58,500 975 Dell* 827,176 13,632 Dolby Laboratories, Cl A* 16,000 563 DST Systems* 2,900 162 Earthlink* 34,600 294 eBay* 1,279,500 28,635 Electronic Arts* (A) 619,820 22,927 EMC* (A) 585,500 7,003 Equinix* 1,200 83 Factset Research Systems 2,600 136 Fiserv* 11,200 530 Flir Systems* 19,000 730 Global Payments 16,400 736 Google, Cl A* 180,311 72,218 Harris 55,000 2,541 Hewitt Associates, Cl A* 46,300 1,687 Hewlett-Packard 741,100 34,268 IAC* (A) 36,550 632 Integral Systems 6,200 129 Integrated Device Technology* 128,100 997 Intel 793,387 14,860 International Business Machines 250,939 29,350 Intersil, Cl A 24,400 405 Intuit* 749,400 23,689 Iron Mountain* 21,900 535 Itron* 1,800 159 Juniper Networks* (A) 413,300 8,708 Linear Technology (A) 207,010 6,347 LSI Logic* (A) 143,800 771 Mastercard, Cl A (A) 150,500 26,688 McAfee* 26,100 886 MEMC Electronic Materials* 27,259 770 Mettler Toledo International* 10,800 1,058 Micrel (A) 28,200 256 Microchip Technology 4,800 141 Microsoft 2,205,248 58,858 Molex 12,000 269 National Semiconductor 198,000 3,408 NCR* 29,900 659 NetApp* (A) 52,700 961 NeuStar, Cl A* 1,200 24 Nokia ADR 527,400 9,836 Nuance Communications* 15,700 191 ON Semiconductor* 17,500 118 Oracle* 452,565 9,192 QLogic* (A) 90,700 1,393 Qualcomm 1,872,428 80,458
SEI Institutional Managed Trust / Annual Report / September 30, 2008 45 SCHEDULE OF INVESTMENTS Large Cap Growth Fund (Concluded) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Rambus* 29,900 $ 384 Red Hat* 499,100 7,521 Research In Motion* (A) 356,730 24,365 Salesforce.com* 29,500 1,428 Seagate Technology 1,324,100 16,048 Silicon Laboratories* (A) 106,700 3,276 Sohu.com* 14,200 792 SPSS* 17,700 520 Symantec* 36,200 709 Synaptics* (A) 31,400 949 Teradata* 649,100 12,657 Teradyne* 15,100 118 Texas Instruments 553,715 11,905 Trimble Navigation* 10,000 259 Valueclick* (A) 53,800 550 VeriSign* (A) 701,400 18,293 Visa, Cl A (A) 551,170 33,836 VMware, Cl A* 2,700 72 Volterra Semiconductor* (A) 52,600 670 Western Digital* 180,200 3,842 Western Union 566,620 13,979 Xilinx 17,400 408 Yahoo!* 696,400 12,048 Zebra Technologies, Cl A* 9,600 267 ------------ 769,529 ------------ MATERIALS -- 2.7% Air Products & Chemicals 60,200 4,123 Airgas 6,000 298 AK Steel Holding (A) 70,900 1,838 Alcoa 59,000 1,332 Alpha Natural Resources* 18,900 972 Aptargroup 6,100 239 Ball 100 4 Celanese, Ser A 15,000 419 Century Aluminum* 4,500 125 CF Industries Holdings 8,200 750 Cleveland-Cliffs 27,700 1,466 Crown Holdings* 27,900 620 Ecolab 12,700 616 FMC 5,100 262 Freeport-McMoRan Copper & Gold, Cl B (A) 13,400 762 Greif, Cl A 53,700 3,524 Intrepid Potash* 47,700 1,438 Martin Marietta Materials 1,300 146 Monsanto 88,114 8,722 Mosaic 90,800 6,176 Nalco Holding 14,300 265 Newmont Mining 20,900 810 Nucor 12,600 498
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Owens-Illinois* 48,900 $ 1,438 Packaging Corp of America 1,300 30 Praxair 281,800 20,216 Rohm & Haas 1,000 70 Sigma-Aldrich 27,700 1,452 Southern Copper 26,200 500 Steel Dynamics 31,900 545 Terra Industries (A) 87,200 2,564 United States Steel 63,200 4,905 ------------ 67,125 ------------ TELECOMMUNICATION SERVICES -- 1.5% American Tower, Cl A* 288,140 10,364 Crown Castle International* 809,620 23,455 MetroPCS Communications* 8,300 116 Windstream (A) 285,900 3,128 ------------ 37,063 ------------ UTILITIES -- 0.9% AES* 220,900 2,582 Allegheny Energy 9,300 342 Calpine* 31,300 407 Constellation Energy Group 24,000 583 DPL (A) 44,100 1,094 Energen 5,800 262 Entergy 25,400 2,261 Equitable Resources 49,900 1,830 Exelon 36,800 2,304 NRG Energy* 47,500 1,176 PPL 81,800 3,028 Public Service Enterprise Group 68,300 2,240 Questar 11,100 453 Reliant Energy* (A) 492,600 3,621 Sierra Pacific Resources 34,100 327 ------------ 22,510 ------------ Total Common Stock (Cost $2,428,111) ($ Thousands) 2,442,820 ------------ AFFILATED PARTNERSHIP -- 9.5% SEI Liquidity Fund, L.P., 2.590%**++ (B) 238,690,140 234,816 ------------ Total Affilated Partnership (Cost $238,690) ($ Thousands) 234,816 ------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 46
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- CASH EQUIVALENTS -- 1.8% Merrill Lynch EBP Master, 1.670%** 9,641,395 $ 9,641 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 35,915,212 35,915 ------------ Total Cash Equivalents (Cost $45,556) ($ Thousands) 45,556 ------------ U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bills 1.657%, 11/20/08 (C) (D) $ 5,785 5,784 ------------ Total U.S. Treasury Obligation (Cost $5,772) ($ Thousands) 5,784 ------------ Total Investments -- 110.0% (Cost $2,718,129) ($ Thousands) $ 2,728,976 ============
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- ------------- S&P 500 Composite Index 84 Dec-2008 $(433) =====
Percentages are based on Net Assets of $2,479,747 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). @ Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. (A) This Security or a partial position of this security is on loan at September 30, 2008 (see Note 7). The total market value of securities on loan at September 30, 2008 was $244,955 ($ Thousands). (B) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2008 was $234,816 ($ Thousands). (C) The rate reported is the rate effective yield at time of purchase. (D) Security, or portion thereof, has been pledged as collateral on open futures contracts. ADR -- American Depositary Receipt Cl -- Class L.P. -- Limited Partnership Ser -- Series The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 47 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Information Technology 16.1% Financials 14.6% Affiliated Partnership 12.1% Health Care 11.9% Energy 11.1% Consumer Discretionary 8.8% Industrials 7.7% Consumer Staples 7.6% Telecommunication Services 3.0% Utilities 2.7% Materials 2.6% Short-Term Investments 1.7% U.S. Treasury Obligations 0.1%
# Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK -- 97.8% CONSUMER DISCRETIONARY -- 10.1% Abercrombie & Fitch, Cl A 2,300 $ 91 Aeropostale* 35,700 1,146 Amazon.com* (A) 224,320 16,322 American Eagle Outfitters (A) 6,300 96 America's Car-Mart* (A) 8,900 165 Apollo Group, Cl A* 18,325 1,087 Ascent Media, Cl A* 234 6 Autoliv 58,550 1,976 Autonation* (A) 6,700 75 Autozone* 3,200 395 Barnes & Noble (A) 21,250 554 Bed Bath & Beyond* 1,700 53 Belo, Cl A (A) 36,800 219 Best Buy (A) 7,687 288 Big Lots* (A) 3,200 89 Black & Decker 7,450 453 Brunswick (A) 27,400 350 Cablevision Systems, Cl A 9,900 249 Career Education* 2,700 44 Carmax* (A) 4,080 57 Carnival (A) 4,200 148 Cavco Industries* 130 5 CBS, Cl B 175,810 2,563 CEC Entertainment* 2,800 93 Centex 28,650 464 Clear Channel Outdoor Holdings, Cl A* 3,500 48 Coach* 232,170 5,814 Coldwater Creek* (A) 6,100 35 Comcast, Cl A 318,091 6,244 Darden Restaurants 14,900 427 DeVry 1,021 51 Dick's Sporting Goods* 2,600 51 DIRECTV Group* 156,765 4,103
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Discovery Communications, Cl A* 2,340 $ 33 Discovery Communications, Cl C* 2,340 33 DISH Network, Cl A* (A) 16,350 343 Dollar Tree* 6,300 229 DR Horton (A) 7,250 94 DreamWorks Animation SKG, Cl A* 1,800 57 Eastman Kodak (A) 365,700 5,624 Ethan Allen Interiors (A) 30,500 855 Expedia* 1,535 23 FGX International Holdings* 3,100 34 Foot Locker 5,350 86 Ford Motor* (A) 69,672 362 Fortune Brands (A) 88,882 5,098 GameStop, Cl A* (A) 3,622 124 Gannett (A) 104,500 1,767 Gap 175,300 3,117 Gentex 3,100 44 Genuine Parts 2,650 107 Goodyear Tire & Rubber* 55,150 844 Gymboree* 2,700 96 H&R Block 46,800 1,065 Harley-Davidson (A) 28,400 1,059 Hasbro (A) 89,100 3,094 Hearst-Argyle Television (A) 700 16 Home Depot (A) 384,200 9,947 HSN* 238 3 Idearc (A) 11,225 14 International Game Technology 6,200 107 International Speedway, Cl A (A) 7,100 276 Interpublic Group* 3,050 24 Interval Leisure Group* 238 2 ITT Educational Services* 1,200 97 J.C. Penney 135,700 4,524 Johnson Controls 156,500 4,747 Jones Apparel Group 55,200 1,022 KB Home (A) 17,900 352 Kohl's* (A) 42,400 1,954 Las Vegas Sands* (A) 1,100 40 Leggett & Platt (A) 59,300 1,292 Lennar, Cl A (A) 3,800 58 Liberty Global, Ser C* 2,201 62 Liberty Global, Cl A* (A) 14,170 429 Liberty Media - Capital, Ser A* 2,390 32 Liberty Media - Entertainment, Cl A* 9,560 239 Liberty Media - Interactive, Cl A* (A) 23,975 310 Limited Brands 2,950 51 Lowe's 376,124 8,910 Macy's 107,207 1,928 Marriott International, Cl A (A) 95,280 2,486 Mattel 98,000 1,768 McDonald's (A) 178,762 11,030 McGraw-Hill 105,611 3,338 MDC Holdings 1,150 42
SEI Institutional Managed Trust / Annual Report / September 30, 2008 48
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- MGM Mirage* (A) 304,000 $ 8,664 Mohawk Industries* (A) 950 64 Newell Rubbermaid 77,020 1,329 News, Cl A 212,594 2,549 Nike, Cl B 67,200 4,496 Nordstrom (A) 9,800 282 NVR* (A) 2,700 1,544 Office Depot* 7,100 41 Omnicom Group 15,500 598 O'Reilly Automotive* 1,800 48 PetSmart 1,700 42 Pulte Homes 2,800 39 Rent-A-Center* (A) 36,500 813 Ross Stores (A) 45,100 1,660 Royal Caribbean Cruises 4,700 98 Saks* (A) 6,000 56 Sears Holdings* (A) 61,415 5,742 Service International 40,100 335 Shaw Communications, Cl B 84,600 1,720 Sherwin-Williams (A) 21,600 1,235 Snap-On 1,950 103 Stanley Works 40,800 1,703 Staples 465,525 10,474 Starbucks* 13,700 204 Starwood Hotels & Resorts Worldwide 72,440 2,038 Target 185,620 9,105 Ticketmaster* 238 3 Tiffany (A) 1,300 46 Time Warner (A) 1,051,100 13,780 Time Warner Cable, Cl A* (A) 2,400 58 Titan International (A) 3,000 64 TJX (A) 59,700 1,822 Toll Brothers* 2,400 61 Under Armour, Cl A* (A) 12,800 407 Urban Outfitters* (A) 12,250 390 Valassis Communications* (A) 36,800 319 VF 2,800 216 Viacom, Cl B* 83,642 2,078 Virgin Media 4,500 36 WABCO Holdings 1,200 43 Walt Disney (A) 200,900 6,166 Weight Watchers International (A) 213,400 7,810 Whirlpool (A) 34,745 2,755 Williams-Sonoma (A) 2,000 32 Wyndham Worldwide 87,700 1,378 Wynn Resorts (A) 1,100 90 Yum! Brands 23,200 757 ------------ 216,342 ------------ CONSUMER STAPLES -- 8.6% Altria Group 119,100 2,363 Anheuser-Busch 16,600 1,077 Archer-Daniels-Midland 142,857 3,130
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Avon Products 11,200 $ 466 BJ's Wholesale Club* (A) 8,500 330 Brown-Forman, Cl B 1,200 86 Bunge (A) 21,300 1,346 Campbell Soup 5,900 228 Clorox 27,950 1,752 Coca-Cola (A) 308,651 16,321 Coca-Cola Enterprises (A) 111,950 1,877 Colgate-Palmolive 68,802 5,184 ConAgra Foods 136,300 2,652 Constellation Brands, Cl A* (A) 3,000 64 Costco Wholesale 63,769 4,141 CVS Caremark 221,745 7,464 Dean Foods* 1,350 32 Del Monte Foods 127,800 997 Energizer Holdings* 3,200 258 General Mills 59,500 4,089 Herbalife 27,500 1,087 Hershey (A) 2,400 95 HJ Heinz 1,750 87 Hormel Foods 4,000 145 Kellogg 20,400 1,144 Kimberly-Clark 56,200 3,644 Kraft Foods, Cl A 139,876 4,581 Kroger 230,800 6,342 Lorillard 5,300 377 McCormick 2,100 81 Molson Coors Brewing, Cl B 7,700 360 Pepsi Bottling Group 130,500 3,807 PepsiAmericas 9,300 193 PepsiCo 272,567 19,426 Philip Morris International 93,900 4,517 Procter & Gamble 651,906 45,431 Reynolds American 47,100 2,290 Safeway (A) 149,134 3,537 Sara Lee (A) 216,600 2,736 Smithfield Foods* (A) 1,350 21 SUPERVALU 79,850 1,733 SYSCO 61,050 1,882 TreeHouse Foods* 282 8 Tyson Foods, Cl A (A) 26,372 315 UST 20,100 1,337 Walgreen 332,900 10,307 Wal-Mart Stores 236,100 14,140 Whole Foods Market (A) 2,500 50 WM Wrigley Jr. 22,725 1,804 ------------ 185,334 ------------ ENERGY -- 12.6% Anadarko Petroleum 65,500 3,177 Apache 76,471 7,974 Arch Coal 2,400 79 Baker Hughes 3,841 233
SEI Institutional Managed Trust / Annual Report / September 30, 2008 49 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- BJ Services 3,100 $ 59 Cabot Oil & Gas 1,000 36 Cameron International* (A) 115,200 4,440 Chesapeake Energy (A) 182,920 6,560 Chevron 417,562 34,441 Cimarex Energy (A) 43,685 2,137 Clayton Williams Energy* 1,700 120 Complete Production Services* 21,000 423 ConocoPhillips 388,875 28,485 Consol Energy 2,800 128 Devon Energy 108,790 9,922 Diamond Offshore Drilling (A) 2,400 247 Dresser-Rand Group* 1,450 46 El Paso (A) 59,400 758 ENSCO International 26,900 1,550 EOG Resources (A) 113,400 10,145 Exxon Mobil 822,494 63,875 Forest Oil* 1,150 57 Foundation Coal Holdings 850 30 Global Industries* 5,200 36 Gulfport Energy* 8,400 84 Halliburton 422,966 13,700 Helix Energy Solutions Group* 850 21 Helmerich & Payne 4,300 186 Hess 117,540 9,648 Holly 30,600 885 Marathon Oil 129,374 5,158 Mariner Energy* 931 19 Massey Energy 2,200 78 Murphy Oil (A) 27,500 1,764 Nabors Industries* (A) 62,500 1,558 National Oilwell Varco* 10,430 524 Newfield Exploration* 5,100 163 Noble 34,300 1,506 Noble Energy 5,800 322 Occidental Petroleum 152,800 10,765 Oil States International* 2,000 71 Overseas Shipholding Group (A) 22,200 1,294 Patriot Coal* (A) 880 26 Patterson-UTI Energy (A) 80,400 1,610 Peabody Energy 4,400 198 Petro-Canada 27,000 900 Pioneer Natural Resources 4,950 259 Plains Exploration & Production* 4,095 144 Pride International* 1,050 31 Rowan (A) 5,600 171 Schlumberger 238,146 18,597 SEACOR Holdings* (A) 1,800 142 Smith International 7,200 422 Southwestern Energy* 5,700 174 Spectra Energy 10,922 260 Suncor Energy 205,288 8,651
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Sunoco 20,100 $ 715 Superior Energy Services* 13,900 433 Tesoro 2,700 45 Tidewater 950 53 Transocean 2,339 257 Unit* 750 37 Valero Energy 115,694 3,506 W&T Offshore (A) 24,900 680 Weatherford International* (A) 266,610 6,703 Williams 10,500 248 XTO Energy (A) 70,320 3,271 ------------ 270,237 ------------ FINANCIALS -- 16.6% ACE 49,200 2,663 Affiliated Managers Group* 675 56 Aflac 8,350 491 Allied Capital (A) 8,900 96 Allied World Assurance Holdings 600 21 Allstate (A) 200,800 9,261 AMB Property+ 1,700 77 American Capital (A) 5,100 130 American Equity Investment Life Holding (A) 3,800 29 American Express 153,650 5,444 American Financial Group 65,400 1,929 American International Group (A) 314,500 1,047 American Physicians Capital 13,000 550 Ameriprise Financial 71,400 2,727 Annaly Capital Management+ (A) 124,600 1,676 AON 18,250 821 Apartment Investment & Management, Cl A+ 1,400 49 Arch Capital Group* 8,700 635 Assurant 48,500 2,668 Astoria Financial 8,500 176 AvalonBay Communities+ 500 49 Axis Capital Holdings 112,150 3,556 Bank of America (A) 946,171 33,116 Bank of Hawaii 950 51 Bank of New York Mellon 55,391 1,805 BB&T (A) 120,200 4,544 BlackRock 200 39 Boston Properties+ 1,600 150 Brandywine Realty Trust+ 88,000 1,411 Camden Property Trust+ 1,100 50 Capital One Financial (A) 196,401 10,016 CapitalSource+ (A) 4,000 49 CB Richard Ellis Group, Cl A* (A) 83,100 1,111 CBL & Associates Properties+ (A) 16,500 331 Cedar Shopping Centers+ 6,400 85
SEI Institutional Managed Trust / Annual Report / September 30, 2008 50
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Central Pacific Financial (A) 34,500 $ 580 Charles Schwab 600,353 15,609 Chubb 162,300 8,910 Cincinnati Financial 37,500 1,067 CIT Group (A) 80,200 558 Citigroup 1,073,057 22,008 CME Group 61,280 22,766 Colonial Properties Trust+ (A) 6,000 112 Comerica (A) 37,000 1,213 Credicorp 22,400 1,394 Discover Financial Services (A) 102,450 1,416 Duke Realty+ (A) 5,550 136 E*Trade Financial* (A) 32,400 91 Endurance Specialty Holdings (A) 50,100 1,549 Equity Residential+ 8,950 397 Erie Indemnity, Cl A 1,700 72 Everest Re Group 30,100 2,605 Federal Realty Investment Trust+ 300 26 Federated Investors, Cl B (A) 40,800 1,177 Fidelity National Financial, Cl A 32,299 475 Fifth Third Bancorp (A) 57,400 683 First Horizon National (A) 32,774 307 First Midwest Bancorp (A) 8,300 201 Forestar Real Estate Group* 366 5 Franklin Resources 44,600 3,931 Freddie Mac (A) 15,500 27 Genworth Financial, Cl A 45,700 393 Goldman Sachs Group (A) 59,100 7,565 Hanover Insurance Group 8,200 373 Hartford Financial Services Group 104,300 4,275 HCC Insurance Holdings 1,500 41 HCP+ 2,900 116 Health Care+ 650 35 Highwoods Properties+ 1,500 53 Hospitality Properties Trust+ (A) 53,400 1,096 Host Hotels & Resorts+ 36,532 486 HRPT Properties Trust+ (A) 6,800 47 Hudson City Bancorp (A) 31,600 583 Huntington Bancshares (A) 75,300 602 IntercontinentalExchange* 155,700 12,562 Invesco 5,400 113 Investment Technology Group* 2,400 73 Janus Capital Group (A) 55,050 1,337 Jefferies Group (A) 3,800 85 JPMorgan Chase 861,240 40,220 Keycorp (A) 149,000 1,779 Kimco Realty+ (A) 1,600 59 Legg Mason 3,100 118 Lexington Realty Trust+ (A) 18,700 322 Liberty Property Trust+ 1,650 62 Lincoln National 58,036 2,485 Loews 12,900 509 M&T Bank 650 58
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Macerich+ 650 $ 41 Mack-Cali Realty+ 2,400 81 MainSource Financial Group (A) 2,300 45 Manulife Financial (A) 9,245 339 Marsh & McLennan 5,900 187 MBIA (A) 50,900 606 Merrill Lynch (A) 372,400 9,422 MetLife (A) 81,000 4,536 MGIC Investment (A) 29,700 209 Montpelier Re Holdings (A) 20,800 343 Moody's (A) 50,400 1,714 Morgan Stanley 209,900 4,828 NASDAQ Stock Market* 2,100 64 National City (A) 102,900 180 Nationwide Financial Services, Cl A (A) 37,850 1,867 Nationwide Health Properties+ 1,300 47 New York Community Bancorp (A) 2,237 38 Northern Trust 3,400 245 NorthStar Realty Finance+ (A) 19,700 153 NYSE Euronext (A) 101,500 3,977 Old Republic International (A) 70,975 905 Oriental Financial Group 18,200 325 PartnerRe 5,800 395 Patriot Capital Funding 2,600 17 Pennsylvania Real Estate Investment Trust+ (A) 46,400 875 Penson Worldwide* 5,000 69 People's United Financial 4,725 91 PHH* 957 13 Phoenix 9,700 90 Piper Jaffray* 366 16 Platinum Underwriters Holdings (A) 42,800 1,519 Plum Creek Timber+ 3,900 194 PMI Group (A) 16,000 47 PNC Financial Services Group 37,100 2,771 Popular (A) 21,600 179 Principal Financial Group (A) 45,400 1,974 Progressive (A) 108,700 1,891 Prologis+ (A) 24,354 1,005 Protective Life 1,300 37 Prudential Financial 61,100 4,399 Public Storage+ 6,650 658 Raymond James Financial (A) 2,025 67 Realty Income+ (A) 1,050 27 Regency Centers+ 850 57 Regions Financial (A) 327,614 3,145 Reinsurance Group of America, Cl A (A) 28,000 1,512 SeaBright Insurance Holdings* 13,200 172 Simon Property Group+ (A) 6,425 623 SL Green Realty+ 600 39 SLM* (A) 10,200 126 Sovereign Bancorp (A) 66,990 265
SEI Institutional Managed Trust / Annual Report / September 30, 2008 51 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- St. Joe (A) 1,350 $ 53 State Street 24,755 1,408 Student Loan 600 56 Sunstone Hotel Investors+ (A) 36,400 491 SunTrust Banks (A) 122,600 5,516 SVB Financial Group* (A) 1,550 90 Synovus Financial (A) 5,000 52 T. Rowe Price Group (A) 33,100 1,778 Taubman Centers+ 1,250 63 TCF Financial (A) 6,800 122 TD Ameritrade Holding* 4,350 70 Torchmark (A) 32,750 1,958 Travelers 253,031 11,437 Tree.com* 39 -- UDR+ 2,800 73 UnionBanCal 18,550 1,360 Unitrin 550 14 Unum Group (A) 47,750 1,199 US Bancorp (A) 195,861 7,055 Ventas+ 2,050 101 Vornado Realty Trust+ (A) 6,260 569 Wachovia (A) 98,600 345 Waddell & Reed Financial, Cl A 3,900 97 Washington Federal (A) 26,600 491 Washington Mutual (A) 104,600 9 Weingarten Realty Investors+ 700 25 Wells Fargo (A) 457,755 17,180 Whitney Holding (A) 1,200 29 Wilmington Trust (A) 4,300 124 WR Berkley 48,500 1,142 XL Capital, Cl A (A) 39,600 710 Zions Bancorporation (A) 32,700 1,265 ------------ 356,978 ------------ HEALTH CARE -- 13.5% Abbott Laboratories 171,100 9,852 Advanced Medical Optics* 1,222 22 Aetna 239,400 8,645 Alcon 9,800 1,583 Allergan 341,808 17,603 AmerisourceBergen 64,702 2,436 Amgen* 239,642 14,204 AMN Healthcare Services* 2,700 47 Amylin Pharmaceuticals* (A) 125,930 2,546 Applied Biosystems 4,950 170 Barr Pharmaceuticals* 1,850 121 Baxter International 140,400 9,214 Beckman Coulter 600 43 Becton Dickinson 34,550 2,773 Biogen Idec* 8,420 423 Boston Scientific* 72,317 887 Bristol-Myers Squibb 102,200 2,131 C.R. Bard 6,400 607
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Cardinal Health 63,430 $ 3,126 Celgene* 25,700 1,626 Cephalon* 700 54 Charles River Laboratories International* 18,300 1,016 Cigna 56,900 1,933 Covance* 3,350 296 Coventry Health Care* 45,900 1,494 Covidien 30,150 1,621 CryoLife* 7,500 98 DaVita* 2,325 133 Dentsply International 900 34 Eli Lilly 178,947 7,879 Endo Pharmaceuticals Holdings* 9,600 192 Express Scripts* 30,200 2,229 Forest Laboratories* 45,972 1,300 Genentech* 262,430 23,272 Genzyme* 4,350 352 Gilead Sciences* 306,680 13,978 Health Management Associates, Cl A* 4,600 19 Health Net* 1,600 38 HLTH* 10,300 118 Hospira* 1,450 55 Humana* 43,700 1,800 Illumina* 1,000 41 ImClone Systems* 650 41 IMS Health 1,972 37 Intuitive Surgical* (A) 3,550 855 Inverness Medical Innovations* (A) 7,300 219 Invitrogen* (A) 2,700 102 Isis Pharmaceuticals* (A) 2,100 35 Johnson & Johnson 393,655 27,272 King Pharmaceuticals* (A) 133,500 1,279 Laboratory Corp of America Holdings* (A) 5,300 368 Life Sciences Research* 1,700 60 Martek Biosciences (A) 14,000 440 McKesson 52,526 2,826 Medco Health Solutions* 49,386 2,222 Medicines* 27,900 648 Medtronic 57,000 2,856 Merck 526,985 16,632 Merit Medical Systems* 6,300 118 Millipore* 700 48 Mylan Laboratories* (A) 7,875 90 Patterson* 2,100 64 PerkinElmer 11,950 298 Perrigo 1,300 50 Pfizer 1,368,933 25,243 Pharmaceutical Product Development 4,300 178 PharMerica* 428 10 Quest Diagnostics 4,500 233 Schering-Plough 563,971 10,417
SEI Institutional Managed Trust / Annual Report / September 30, 2008 52
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- St. Jude Medical* 123,640 $ 5,377 STERIS 2,700 101 Stryker 114,937 7,161 Synovis Life Technologies* 2,700 51 Teva Pharmaceutical Industries ADR (A) 139,970 6,409 Thermo Fisher Scientific* 145,076 7,979 UnitedHealth Group 673,592 17,103 Valeant Pharmaceuticals International* (A) 6,000 123 Varian Medical Systems* 2,300 131 Vertex Pharmaceuticals* 2,500 83 Warner Chilcott, Cl A* (A) 46,900 709 Waters* 5,800 337 Watson Pharmaceuticals* 1,550 44 WellPoint* 52,741 2,467 Wyeth 233,700 8,633 Zimmer Holdings* 74,630 4,818 ------------ 290,178 ------------ INDUSTRIALS -- 8.7% 3M 44,300 3,026 Acuity Brands 15,200 635 AGCO* 1,500 64 Allied Waste Industries* 76,354 848 AMR* (A) 18,200 179 Avery Dennison 1,600 71 Avis Budget Group* 37,750 217 Boeing 27,903 1,600 Brink's 650 40 Bucyrus International, Cl A 6,600 295 Burlington Northern Santa Fe (A) 28,870 2,668 C.H. Robinson Worldwide (A) 3,200 163 Caterpillar (A) 81,100 4,834 Continental Airlines, Cl B* (A) 2,450 41 Cooper Industries, Cl A 1,100 44 Covanta Holding* 1,150 28 Crane 850 25 CSX 50,200 2,739 Cummins 75,000 3,279 Danaher 45,510 3,158 Deere 17,900 886 Delta Air Lines* (A) 12,800 95 Dover 30,000 1,217 DRS Technologies 650 50 Dun & Bradstreet 800 75 Eaton 32,300 1,815 Emerson Electric 176,300 7,191 Energy Conversion Devices* (A) 4,500 262 Equifax 4,601 159 Expeditors International of Washington 249,400 8,689 Fastenal (A) 3,600 178
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- FedEx (A) 40,200 $ 3,177 First Solar* (A) 1,400 264 Flowserve 3,000 266 Fluor 109,800 6,116 Foster Wheeler* 37,900 1,369 Gardner Denver* 28,300 983 GATX 1,600 63 General Cable* 68,100 2,426 General Dynamics 25,700 1,892 General Electric 1,778,864 45,361 GeoEye* 2,100 46 Goodrich 3,950 164 Harsco 4,600 171 Herman Miller (A) 950 23 Hertz Global Holdings* 5,300 40 Honeywell International 68,800 2,859 Hubbell, Cl B 4,850 170 Hudson Highland Group* 750 5 IKON Office Solutions 2,650 45 Illinois Tool Works 65,500 2,911 Ingersoll-Rand, Cl A (A) 43,600 1,359 Iron Mountain* (A) 4,725 115 ITT 4,000 222 Jacobs Engineering Group* 2,080 113 JB Hunt Transport Services (A) 1,300 43 John Bean Technologies* 3,588 45 Joy Global 1,500 68 Kansas City Southern* (A) 1,200 53 Kirby* 1,700 64 L-3 Communications Holdings 400 39 Lockheed Martin 37,000 4,058 Manitowoc (A) 1,300 20 Manpower 2,200 95 Masco (A) 70,700 1,268 Monster Worldwide* (A) 5,000 75 MSC Industrial Direct, Cl A (A) 4,000 184 NCI Building Systems* (A) 7,600 241 Norfolk Southern 78,200 5,178 Northrop Grumman 125,234 7,582 Oshkosh Truck 3,200 42 PACCAR (A) 15,168 579 Pall 4,750 163 Parker Hannifin 62,400 3,307 Pentair 2,400 83 Precision Castparts 16,390 1,291 Quanta Services* (A) 121,000 3,268 Raytheon 64,300 3,441 Republic Services 9,600 288 Robert Half International 5,800 144 Rockwell Automation 6,000 224 Rockwell Collins 7,900 380 RR Donnelley & Sons 113,300 2,779 Ryder System (A) 12,400 769
SEI Institutional Managed Trust / Annual Report / September 30, 2008 53 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Shaw Group* 63,050 $ 1,938 Skywest 4,400 70 Southwest Airlines 3,150 46 Spirit Aerosystems Holdings, Cl A* 18,900 304 SPX 1,050 81 Steelcase, Cl A 3,900 42 Stericycle* (A) 16,000 943 Sunpower, Cl A* (A) 600 43 Sunpower, Cl B* 1,714 118 Thomas & Betts* 72,800 2,844 Timken 27,500 780 Trinity Industries (A) 1,400 36 Tyco International 72,700 2,546 Union Pacific 33,200 2,363 United Parcel Service, Cl B 169,300 10,647 United Rentals* 2,837 43 United Technologies 179,292 10,768 URS* 1,100 40 USG* (A) 1,700 44 Viad 425 12 Waste Management 64,209 2,022 WESCO International* (A) 19,600 631 WW Grainger (A) 4,800 417 ------------ 187,280 ------------ INFORMATION TECHNOLOGY -- 18.4% Accenture, Cl A 61,000 2,318 Activision Blizzard* (A) 440,760 6,801 Adobe Systems* 29,912 1,181 Advent Software* (A) 1,400 49 Affiliated Computer Services, Cl A* 2,100 106 Agilent Technologies* 14,100 418 Akamai Technologies* 3,800 66 Alliance Data Systems* 800 51 Altera (A) 6,400 132 Amkor Technology* 16,100 103 Amphenol, Cl A 2,200 88 Analog Devices 2,450 65 Apple* 221,310 25,154 Applied Materials 7,716 117 Applied Micro Circuits* 18,000 108 Arrow Electronics* 26,100 684 Autodesk* 4,100 138 Automatic Data Processing 21,300 911 Avnet* 10,000 246 Avocent* 14,000 286 AVX 4,550 46 BMC Software* 8,900 255 Broadcom, Cl A* (A) 76,400 1,423 Broadridge Financial Solutions 3,275 50 Brocade Communications Systems* 7,300 42 CA (A) 190,800 3,808
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Cisco Systems* 836,843 $ 18,879 Citrix Systems* 11,750 297 Cognizant Technology Solutions, Cl A* 4,456 102 Computer Sciences* 45,075 1,812 Compuware* 44,362 430 Corning 25,700 402 CSG Systems International* 4,050 71 Cypress Semiconductor* (A) 6,250 33 Daktronics (A) 15,600 260 Dell* 423,450 6,978 Dolby Laboratories, Cl A* (A) 2,900 102 DST Systems* (A) 850 48 Earthlink* (A) 46,800 398 eBay* 850,134 19,026 EchoStar, Cl A* 1,070 26 Electronic Arts* 411,002 15,203 EMC* (A) 256,000 3,062 Equinix* (A) 600 42 Fair Isaac 2,025 47 Fidelity National Information Services (A) 3,667 68 Fiserv* 2,125 101 Flextronics International* 77,159 546 Global Payments 4,000 179 Google, Cl A* 100,265 40,158 Harris 20,800 961 Hewitt Associates, Cl A* 41,400 1,509 Hewlett-Packard 441,638 20,421 IAC* 595 10 Ingram Micro, Cl A* 86,400 1,388 Integral Systems 8,700 181 Integrated Device Technology* 16,600 129 Intel 192,036 3,597 International Business Machines 99,236 11,607 Intuit* 430,400 13,605 Jabil Circuit 3,000 29 Juniper Networks* (A) 233,250 4,915 Lam Research* 1,300 41 Lender Processing Services 1,833 56 Lexmark International, Cl A* 40,400 1,316 Linear Technology (A) 127,451 3,908 LSI Logic* (A) 26,006 139 Macrovision Solutions* 23 -- Marvell Technology Group* (A) 9,100 85 Mastercard, Cl A (A) 76,200 13,513 McAfee* 4,400 149 MEMC Electronic Materials* 800 23 Metavante Technologies* 1,533 30 Mettler Toledo International* 2,300 225 Micrel 7,000 63 Microchip Technology (A) 3,650 107 Micron Technology* (A) 15,200 62 Microsoft 643,740 17,181
SEI Institutional Managed Trust / Annual Report / September 30, 2008 54
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- MKS Instruments* 1,750 $ 35 Molex 700 16 Motorola 138,100 985 National Semiconductor 51,600 888 NCR* 9,700 214 NetApp* 10,900 199 Nokia ADR 164,700 3,072 Novell* 3,500 18 Nvidia* 19,150 205 ON Semiconductor* 5,300 36 Oracle* 145,144 2,948 Paychex 1,500 50 PC-Telephone 5,400 50 Perot Systems, Cl A* 2,900 50 PMC - Sierra* (A) 6,450 47 Polycom* (A) 5,600 130 QLogic* (A) 119,700 1,839 Qualcomm 938,512 40,328 Red Hat* (A) 151,700 2,286 Research In Motion* (A) 208,430 14,236 Salesforce.com* 1,500 73 SanDisk* 5,100 100 Seagate Technology 920,900 11,161 Semtech* 3,250 45 Silicon Laboratories* 24,000 736 Sun Microsystems* (A) 85,200 648 Sybase* 1,200 37 Symantec* 201,127 3,938 Synopsys* 9,289 185 Teradata* 360,000 7,020 Teradyne* 5,200 41 Texas Instruments 318,900 6,856 Tyco Electronics 7,000 194 United Online 3,300 31 Verigy* 863 14 VeriSign* (A) 357,450 9,322 Visa, Cl A (A) 277,560 17,039 Vishay Intertechnology* (A) 81,300 538 Volterra Semiconductor* (A) 23,400 298 Western Digital* 92,500 1,972 Western Union 366,911 9,052 Xerox 230,400 2,657 Xilinx (A) 4,300 101 Yahoo!* 466,350 8,068 ---------- 395,924 ---------- MATERIALS -- 2.9% Air Products & Chemicals 16,500 1,130 Airgas 7,600 377 AK Steel Holding 1,700 44 Alcoa 178,200 4,024 Allegheny Technologies 1,200 35
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Ashland (A) 11,700 $ 342 Ball (A) 13,400 529 Carpenter Technology 22,800 585 Celanese, Ser A 23,200 648 CF Industries Holdings 300 27 Cleveland-Cliffs (A) 1,800 95 Crown Holdings* 3,000 67 Dow Chemical (A) 220,200 6,998 E.I. Du Pont de Nemours (A) 125,000 5,038 Eagle Materials 753 17 Eastman Chemical (A) 45,400 2,500 Ecolab (A) 5,600 272 Freeport-McMoRan Copper & Gold, Cl B (A) 39,610 2,252 Greif, Cl A 2,900 190 Hercules 3,250 64 Huntsman 3,700 47 International Flavors & Fragrances 3,100 122 International Paper 105,800 2,770 Intrepid Potash* 22,800 687 Lubrizol 24,800 1,070 Martin Marietta Materials (A) 550 62 MeadWestvaco (A) 2,450 57 Methanex 58,300 1,160 Monsanto 40,078 3,967 Mosaic 20,400 1,388 Newmont Mining (A) 7,900 306 Nucor 104,300 4,120 OM Group* 5,350 120 Owens-Illinois* (A) 21,650 637 Pactiv* 4,000 99 PPG Industries 30,400 1,773 Praxair 169,520 12,161 Reliance Steel & Aluminum 21,600 820 Rohm & Haas 600 42 RPM International 3,000 58 Sealed Air (A) 21,000 462 Sigma-Aldrich 2,700 142 Smurfit-Stone Container* 65,600 308 Sonoco Products 46,000 1,365 Steel Dynamics 33,800 578 Temple-Inland (A) 3,100 47 Terra Industries 27,600 811 United States Steel 18,400 1,428 Valspar 30,400 678 Vulcan Materials (A) 1,700 127 Weyerhaeuser 1,000 61 ---------- 62,707 ---------- TELECOMMUNICATION SERVICES -- 3.4% American Tower, Cl A* 187,614 6,748 AT&T 1,113,742 31,096
SEI Institutional Managed Trust / Annual Report / September 30, 2008 55 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Concluded) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Atlantic Telegraph-Network 2,300 $ 64 CenturyTel 36,600 1,341 Crown Castle International* 459,212 13,303 Embarq 3,076 125 Fairpoint Communications (A) 946 8 Frontier Communications (A) 7,800 90 Leap Wireless International* (A) 1,100 42 Level 3 Communications* (A) 28,700 77 MetroPCS Communications* 3,000 42 NII Holdings* 2,600 99 Qwest Communications International (A) 52,061 168 SBA Communications, Cl A* (A) 2,550 66 Sprint Nextel (A) 514,962 3,141 Telephone & Data Systems 2,600 93 Telephone & Data Systems, Cl L 2,600 93 US Cellular* 4,600 216 Verizon Communications 517,805 16,616 Windstream 8,323 91 ------------ 73,519 ------------ UTILITIES -- 3.0% AES* 604,000 7,061 Allegheny Energy 11,900 438 Alliant Energy 83,900 2,702 Ameren (A) 43,900 1,713 American Electric Power 167,500 6,203 Aqua America (A) 1,333 24 Centerpoint Energy 38,600 562 CMS Energy (A) 49,700 620 Consolidated Edison (A) 52,700 2,264 Constellation Energy Group 8,600 209 Dominion Resources 35,900 1,536 DTE Energy (A) 101,500 4,072 Duke Energy 261,044 4,550 Dynegy, Cl A* 6,800 24 Edison International 89,000 3,551 Entergy 29,550 2,630 Equitable Resources 900 33 Exelon 28,600 1,791 FirstEnergy 61,800 4,140 FPL Group 11,600 583 Great Plains Energy 1,950 43 Nicor (A) 1,250 55 NiSource 19,500 288 OGE Energy 6,100 188 Pepco Holdings 111,000 2,543 PG&E 62,150 2,328 Pinnacle West Capital (A) 81,100 2,791 PPL 4,900 181 Progress Energy 18,100 781 Public Service Enterprise Group 56,800 1,862
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- Questar 8,400 $ 344 Reliant Energy* 206,762 1,520 Sempra Energy 29,550 1,491 Sierra Pacific Resources 77,300 741 Southern (A) 44,500 1,677 TECO Energy 4,900 77 Wisconsin Energy 18,200 817 Xcel Energy (A) 137,000 2,739 ------------ 65,172 ------------ Total Common Stock (Cost $2,074,830) ($ Thousands) 2,103,671 ------------ AFFILATED PARTNERSHIP -- 13.8% SEI Liquidity Fund, L.P., 2.590%**++ (B) 302,154,319 297,567 ------------ Total Affilated Partnership (Cost $302,154) ($ Thousands) 297,567 ------------ CASH EQUIVALENTS -- 1.9% Merrill Lynch EBP Master, 1.670%** 6,375,026 6,375 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 34,251,779 34,252 ------------ Total Cash Equivalents (Cost $40,627) ($ Thousands) 40,627 ------------ U.S. TREASURY OBLIGATIONS -- 0.2% U.S. Treasury Bills 1.237%, 12/18/08 (C) (D) $ 100 100 1.657%, 11/20/08 (C) (D) 4,274 4,273 ------------ Total U.S. Treasury Obligations (Cost $4,364) ($ Thousands) 4,373 ------------ Total Investments -- 113.7% (Cost $2,421,975) ($ Thousands) $ 2,446,238 ============
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- ------------- S&P 500 Index E-MINI 3 Dec-2008 $ (2) S&P 500 Composite Index 98 Dec-2008 (834) S&P Mid 400 Index E-MINI 57 Dec-2008 (154) ----- $(990) =====
SEI Institutional Managed Trust / Annual Report / September 30, 2008 56 Description Percentages are based on Net Assets of $2,152,169 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) This Security or a partial position of this security is on loan at September 30, 2008 (see Note 7). The total market value of securities on loan at September 30, 2008 was $315,154 ($ Thousands). (B) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2008 was $297,567 ($ Thousands). (C) The rate reported is the effective yield at time of purchase. (D) Security, or portion thereof has been pledged as collateral on open futures contracts. ADR -- American Depositary Receipt Cl -- Class L.P. -- Limited Partnership Ser -- Series Amounts designated as "--" are $0 or rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 57 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Information Technology 16.0% Financials 12.0% Mortgage-Backed Securities 12.0% Health Care 10.2% Energy 9.0% Consumer Discretionary 8.9% Industrials 8.9% Consumer Staples 6.4% Short-Term Investment 4.8% Materials 2.7% Asset-Backed Securities 2.6% Utilities 2.4% Telecommunication Services 2.3% U.S. Government Agency Obligations 0.9% U.S. Treasury Obligations 0.9%
# Percentages based on total investments.
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK -- 94.0% CONSUMER DISCRETIONARY -- 10.6% Abercrombie & Fitch, Cl A 3,400 $ 134 Advance Auto Parts 3,600 143 Aeropostale* (A) 49,300 1,583 Amazon.com* 101,500 7,385 American Eagle Outfitters 17,500 267 American Greetings, Cl A 6,300 96 AnnTaylor Stores* 11,500 237 Apollo Group, Cl A* 16,000 949 Ascent Media, Cl A* 1,125 27 Autoliv 17,000 574 Autozone* 1,283 158 Bed Bath & Beyond* 3,800 119 Best Buy (A) 42,063 1,577 Big Lots* (A) 134,068 3,731 BorgWarner 13,600 446 Boyd Gaming 29,900 280 Brinker International 36,900 660 Burger King Holdings 2,000 49 Cablevision Systems, Cl A (A) 11,262 283 California Pizza Kitchen* 22,600 291 Career Education* 1,679 27 Carnival 4,000 141 CBS, Cl B 45,199 659 Centex 6,000 97 Central European Media Enterprises, Cl A* 1,700 111 Christopher & Banks 25,300 194 Coach* (A) 130,795 3,275 Comcast, Cl A (A) 200,172 3,929 Darden Restaurants (A) 30,700 879 Deckers Outdoor* 2,900 302 DeVry 2,000 99 Dick's Sporting Goods* 3,400 67 DIRECTV Group* (A) 177,796 4,653
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Discovery Communications, Cl A* 11,250 $ 160 Discovery Communications, Cl C* 11,250 159 Dollar Tree* 19,500 709 DR Horton 12,900 168 Eastman Kodak 161,560 2,485 Expedia* 29,231 442 Family Dollar Stores 6,800 161 Federal Mogul, Cl A* 5,360 67 Ford Motor* (A) 288,658 1,501 GameStop, Cl A* 15,900 544 Gannett 67,831 1,147 Gap (A) 117,400 2,087 Garmin 600 20 General Motors 11,900 112 Gentex 36,400 521 Genuine Parts 3,263 131 Goodyear Tire & Rubber* 11,100 170 Guess? 10,690 372 Gymboree* (A) 31,200 1,108 H&R Block (A) 226,078 5,143 Hanesbrands* 7,300 159 Harman International Industries 25,728 877 Hasbro (A) 61,100 2,121 Home Depot (A) 142,700 3,695 HSN* 5,780 64 International Game Technology 37,800 649 International Speedway, Cl A 4,200 163 Interpublic Group* (A) 306,647 2,377 ITT Educational Services* 10,300 833 J.C. Penney 34,300 1,144 John Wiley & Sons, Cl A 3,000 121 Johnson Controls 27,809 843 Jones Apparel Group (A) 60,000 1,111 KB Home 2,500 49 Kohl's* (A) 5,456 251 Las Vegas Sands* 800 29 Leggett & Platt 17,700 386 Liberty Global, Cl A* 36,704 1,112 Liberty Media - Entertainment, Cl A* 34,900 871 LKQ* 2,700 46 Lowe's 2,200 52 Macy's 3,500 63 Marriott International, Cl A 1,700 44 Mattel 2,400 43 McDonald's (A) 91,942 5,673 McGraw-Hill 8,098 256 MDC Holdings 900 33 MGM Mirage* 117,200 3,340 NetFlix* (A) 43,200 1,334 New York Times, Cl A 3,200 46 Newell Rubbermaid 3,002 52 News, Cl A 333,431 3,998
SEI Institutional Managed Trust / Annual Report / September 30, 2008 58
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Nike, Cl B 11,324 $ 758 NVR* (A) 3,745 2,142 Office Depot* 25,047 146 Omnicom Group 3,448 133 Orient-Express Hotels, Cl A 1,900 46 Panera Bread, Cl A* 800 41 Penn National Gaming* 1,500 40 Polo Ralph Lauren (A) 35,721 2,380 priceline.com* 900 62 Pulte Homes 14,000 196 RadioShack 49,600 857 Ross Stores 8,300 306 Royal Caribbean Cruises 1,700 35 Scripps Networks Interactive, Cl A 10,200 370 Sears Holdings* 31,400 2,936 Service International 77,901 651 Shaw Communications, Cl B (A) 87,200 1,773 Sherwin-Williams 20,680 1,182 Sirius XM Radio* 86,840 49 Snap-On (A) 40,686 2,143 Stamps.com* 17,100 200 Stanley Works 8,100 338 Staples 184,900 4,160 Starwood Hotels & Resorts Worldwide 2,700 76 Strayer Education 200 40 Target 5,445 267 Tiffany 4,300 153 Tim Hortons 3,887 115 Time Warner (A) 614,694 8,059 Time Warner Cable, Cl A* 10,845 262 Titan International 14,800 316 TJX 77,100 2,353 Toll Brothers* 13,100 331 TravelCenters of America LLC* 1 -- TRW Automotive Holdings* (A) 98,554 1,568 Urban Outfitters* (A) 46,700 1,488 VF 6,118 473 Viacom, Cl B* (A) 38,600 959 Virgin Media 82,800 654 WABCO Holdings 26,700 949 Walt Disney (A) 110,809 3,401 Warnaco Group* 26,100 1,182 Warner Music Group 22,243 169 Weight Watchers International 78,700 2,880 Williams-Sonoma 1,900 31 Wyndham Worldwide (A) 114,341 1,796 Wynn Resorts 2,000 163 Yum! Brands 28,210 920 ------------ 132,013 ------------ CONSUMER STAPLES -- 7.6% Alberto-Culver 6,521 178 Altria Group (A) 96,474 1,914
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Anheuser-Busch 16,021 $ 1,039 Archer-Daniels-Midland (A) 106,455 2,332 Avon Products 9,000 374 Bare Escentuals* 50,694 551 BJ's Wholesale Club* (A) 51,336 1,995 Brown-Forman, Cl B (A) 37,569 2,698 Bunge (A) 17,927 1,133 Central European Distribution* 700 32 Church & Dwight 3,000 186 Coca-Cola (A) 94,005 4,971 Coca-Cola Enterprises (A) 84,700 1,420 Colgate-Palmolive 26,012 1,960 ConAgra Foods 58,700 1,142 Constellation Brands, Cl A* 7,200 155 Corn Products International 4,346 140 Costco Wholesale (A) 32,575 2,115 CVS Caremark 22,388 754 Dean Foods* 10,305 241 Del Monte Foods 69,300 541 Dr Pepper Snapple Group* 16,400 434 Energizer Holdings* 2,000 161 Estee Lauder, Cl A 800 40 General Mills (A) 20,600 1,416 Hansen Natural* 1,400 42 Herbalife (A) 43,200 1,707 HJ Heinz 7,374 368 Hormel Foods 7,200 261 JM Smucker 1,200 61 Kellogg 11,875 666 Kimberly-Clark (A) 35,435 2,298 Kraft Foods, Cl A 9,939 326 Kroger (A) 149,421 4,106 Lorillard 6,350 452 McCormick 1,053 40 Molson Coors Brewing, Cl B (A) 24,292 1,136 Pepsi Bottling Group 8,600 251 PepsiAmericas (A) 46,400 961 PepsiCo (A) 85,747 6,111 Philip Morris International (A) 84,373 4,058 Procter & Gamble (A) 295,205 20,573 Reynolds American (A) 26,190 1,273 Safeway (A) 86,406 2,050 Smithfield Foods* 4,300 68 SUPERVALU 64,053 1,390 SYSCO (A) 212,791 6,560 Tyson Foods, Cl A (A) 173,897 2,076 UST 2,100 140 Walgreen 126,148 3,906 Wal-Mart Stores (A) 89,124 5,338 Whole Foods Market 12,400 248 WM Wrigley Jr. 9,376 744 ------------ 95,132 ------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 59 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- ENERGY -- 10.7% Anadarko Petroleum 23,600 $ 1,145 Apache (A) 18,722 1,952 Arch Coal 9,113 300 Atwood Oceanics* 1,100 40 Baker Hughes 12,750 772 Cabot Oil & Gas 6,200 224 Cameron International* (A) 29,576 1,140 Chesapeake Energy 35,600 1,277 Chevron (A) 221,900 18,302 Cimarex Energy (A) 55,500 2,715 ConocoPhillips (A) 145,116 10,630 Consol Energy 6,700 307 Continental Resources* 3,100 122 Denbury Resources* 10,400 198 Devon Energy (A) 12,500 1,140 Diamond Offshore Drilling 1,700 175 Dresser-Rand Group* 1,400 44 El Paso 49,772 635 Encore Acquisition* 1,300 54 ENSCO International (A) 20,500 1,181 EOG Resources 39,900 3,569 Exterran Holdings* 1,300 42 Exxon Mobil (A) 449,744 34,927 FMC Technologies* 5,000 233 Forest Oil* 5,200 258 Foundation Coal Holdings 10,779 384 Frontier Oil 2,400 44 Frontline 3,700 178 Halliburton (A) 131,272 4,252 Helix Energy Solutions Group* 1,400 34 Helmerich & Payne (A) 31,600 1,365 Hercules Offshore* 1,600 24 Hess (A) 18,845 1,547 Key Energy Services* 22,738 264 Marathon Oil (A) 47,610 1,898 Mariner Energy* (A) 75,400 1,546 Massey Energy 31,600 1,127 Murphy Oil (A) 50,233 3,222 Nabors Industries* 32,400 807 National Oilwell Varco* 13,533 680 Newfield Exploration* 4,100 131 Noble (A) 25,400 1,115 Noble Energy 9,100 506 Occidental Petroleum (A) 81,708 5,756 Oceaneering International* 200 11 Oil States International* 1,200 42 Overseas Shipholding Group 30,300 1,767 Patriot Coal* 6,300 183 Patterson-UTI Energy (A) 87,600 1,754 Peabody Energy 1,700 77 Petro-Canada (A) 40,000 1,334 PetroHawk Energy* 5,400 117
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Pioneer Natural Resources (A) 39,936 $ 2,088 Plains Exploration & Production* 16,897 594 Pride International* (A) 30,700 909 Quicksilver Resources* 27,037 531 Range Resources 7,300 313 Rowan 400 12 Schlumberger (A) 60,252 4,705 SEACOR Holdings* (A) 13,200 1,042 Smith International 5,600 328 Southwestern Energy* (A) 46,145 1,409 Superior Energy Services* 49,900 1,554 Swift Energy* 5,500 213 Tesoro 1,600 26 Tidewater (A) 20,100 1,113 Transocean 6,619 727 Unit* 18,400 917 Valero Energy (A) 58,000 1,757 W&T Offshore (A) 35,700 974 Weatherford International* 15,500 390 Whiting Petroleum* 5,665 404 Williams (A) 50,900 1,204 XTO Energy 27,591 1,284 ------------ 134,041 ------------ FINANCIALS -- 14.4% Aflac 17,816 1,047 Alexandria Real Estate Equities+ 1,800 203 Alleghany* 139 51 Allied World Assurance Holdings 21,700 771 Allstate (A) 66,560 3,070 AMB Property+ 6,200 281 American Capital 1,600 41 American Express 74,139 2,627 American Financial Group (A) 83,014 2,449 American International Group 47,022 157 American National Insurance 342 30 American Physicians Capital 6,600 279 Ameriprise Financial (A) 50,288 1,921 Annaly Capital Management+ (A) 100,700 1,354 AON 11,786 530 Apartment Investment & Management, Cl A+ 6,624 232 Arch Capital Group* 10,300 752 Aspen Insurance Holdings 11,800 325 Associated Banc-Corp 28,724 573 Assurant (A) 36,174 1,990 Astoria Financial 10,600 220 AvalonBay Communities+ 10,851 1,068 Axis Capital Holdings (A) 49,800 1,579 Bancorpsouth 7,800 219 Bank of America (A) 225,401 7,889 Bank of Hawaii 5,115 273 Bank of New York Mellon (A) 99,384 3,238
SEI Institutional Managed Trust / Annual Report / September 30, 2008 60
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- BB&T 33,611 $ 1,270 BlackRock (A) 7,012 1,364 BOK Financial 9,459 458 Boston Properties+ (A) 40,995 3,840 Brandywine Realty Trust+ (A) 82,100 1,316 Brown & Brown 3,963 86 Camden Property Trust+ 1,500 69 Capital One Financial (A) 73,500 3,748 Capitol Federal Financial 6,458 286 CapLease+ 5,700 45 CB Richard Ellis Group, Cl A* 3,800 51 CBL & Associates Properties+ (A) 53,800 1,080 Charles Schwab (A) 272,158 7,076 Chubb (A) 78,304 4,299 Cincinnati Financial 4,200 119 Citigroup 371,601 7,622 CME Group 17,299 6,427 Colonial Properties Trust+ 1,000 19 Commerce Bancshares 5,200 241 Credicorp (A) 21,700 1,351 Cullen/Frost Bankers 7,500 450 Digital Realty Trust+ 1,400 66 Discover Financial Services 55,769 771 Douglas Emmett+ 4,900 113 Eaton Vance 3,700 130 Endurance Specialty Holdings (A) 86,200 2,665 Equity Residential+ 5,800 258 Erie Indemnity, Cl A 1,000 42 Essex Property Trust+ 2,200 260 Everest Re Group 3,900 337 Fannie Mae 2,247 3 Federal Realty Investment Trust+ 606 52 Federated Investors, Cl B 32,100 926 Fidelity National Financial, Cl A 8,200 121 Fifth Third Bancorp 6,000 71 First Cash Financial Services* 2,600 39 First Citizens BancShares, Cl A 2,208 395 Forest City Enterprises, Cl A 12,218 375 Franklin Resources (A) 25,281 2,228 Fulton Financial 18,300 200 General Growth Properties+ 15,300 231 Goldman Sachs Group 34,324 4,393 Greenhill 12,400 915 Hanover Insurance Group (A) 26,500 1,206 Hartford Financial Services Group 14,503 594 HCC Insurance Holdings 2,100 57 HCP+ 12,800 514 Health Care+ 10,000 532 Hospitality Properties Trust+ 20,187 414 Host Hotels & Resorts+ 62,974 837 Hudson City Bancorp (A) 184,000 3,395 Huntington Bancshares 35,700 285 Interactive Brokers Group, Cl A* 4,900 109
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- IntercontinentalExchange* 68,300 $ 5,510 Invesco 4,000 84 Investment Technology Group* 23,200 706 Janus Capital Group (A) 133,029 3,230 Jefferies Group 900 20 Jones Lang LaSalle 15,920 692 JPMorgan Chase (A) 251,117 11,727 Kimco Realty+ 2,800 103 Lazard, Cl A 1,000 43 Leucadia National 21,000 954 Liberty Property Trust+ 1,300 49 Loews (A) 90,849 3,588 M&T Bank 2,200 196 Mack-Cali Realty+ 3,100 105 Markel* 94 33 Marsh & McLennan (A) 81,377 2,585 Merrill Lynch 159,835 4,044 MetLife (A) 22,242 1,246 Montpelier Re Holdings 14,900 246 Moody's 3,300 112 Morgan Stanley 26,862 618 NASDAQ Stock Market* 39,462 1,206 Nationwide Health Properties+ 9,600 345 New York Community Bancorp 27,400 460 Northern Trust 32,649 2,357 NorthStar Realty Finance+ 56,600 439 NYSE Euronext 104,929 4,111 PartnerRe (A) 17,300 1,178 People's United Financial 13,100 252 Philadelphia Consolidated Holding* 2,000 117 Platinum Underwriters Holdings 10,800 383 Plum Creek Timber+ 5,297 264 PNC Financial Services Group 4,046 302 Popular 21,100 175 Principal Financial Group 7,389 321 Progressive 6,100 106 Prologis+ 3,600 149 Protective Life 1,500 43 Prudential Financial 3,400 245 Public Storage+ 18,127 1,795 Raymond James Financial 32,061 1,057 Rayonier+ (A) 87,645 4,150 Regency Centers+ 800 53 Regions Financial (A) 286,955 2,755 RenaissanceRe Holdings 41,100 2,137 SeaBright Insurance Holdings* 2,800 36 Simon Property Group+ 2,600 252 St. Joe 5,500 215 StanCorp Financial Group 2,900 151 State Street 4,000 228 Sunstone Hotel Investors+ 28,800 389 SunTrust Banks 821 37 Synovus Financial 20,700 214
SEI Institutional Managed Trust / Annual Report / September 30, 2008 61 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- T. Rowe Price Group (A) 61,733 $ 3,316 Taubman Centers+ 3,000 150 TCF Financial 5,200 94 TD Ameritrade Holding* (A) 180,400 2,922 TFS Financial 4,661 58 Torchmark 3,171 190 Transatlantic Holdings (A) 1,127 61 Travelers (A) 91,076 4,117 Tree.com* 1,013 5 UDR+ 11,800 309 UnionBanCal 1,000 73 Unum Group 6,000 151 US Bancorp 16,002 576 Valley National Bancorp 955 20 Ventas+ 14,700 726 Wachovia (A) 100,481 352 Waddell & Reed Financial, Cl A 13,800 342 Washington Federal 41,000 756 Webster Financial 8,200 207 Weingarten Realty Investors+ 1,400 50 Wells Fargo (A) 100,679 3,778 Whitney Holding 400 10 Wilmington Trust 4,700 136 WR Berkley (A) 58,000 1,366 XL Capital, Cl A 19,900 357 Zions Bancorporation (A) 13,100 507 ------------ 179,362 ------------ HEALTH CARE -- 12.2% Abbott Laboratories 25,275 1,455 Aetna (A) 167,056 6,032 Alkermes* 28,200 375 Allergan 92,394 4,758 AmerisourceBergen (A) 151,405 5,700 Amgen* (A) 134,948 7,998 Applied Biosystems (A) 127,045 4,351 Barr Pharmaceuticals* 600 39 Baxter International 22,089 1,450 Becton Dickinson (A) 27,348 2,195 Biogen Idec* (A) 34,900 1,755 BioMarin Pharmaceuticals* 4,700 125 Boston Scientific* 13,700 168 Bristol-Myers Squibb (A) 136,341 2,843 C.R. Bard 3,200 304 Cardinal Health (A) 130,662 6,439 Celgene* 4,906 310 Cephalon* (A) 16,800 1,302 Cerner* 20,556 918 Charles River Laboratories International* 4,400 244 Cigna (A) 108,225 3,677 Community Health Systems* 1,400 41 Covance* 10,000 884
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Covidien 4,700 $ 253 Cubist Pharmaceuticals* (A) 39,400 876 Dentsply International 14,568 547 Dionex* 3,300 210 Edwards Lifesciences* 9,644 557 Eli Lilly (A) 50,089 2,205 Endo Pharmaceuticals Holdings* 34,900 698 Express Scripts* (A) 56,100 4,141 Forest Laboratories* (A) 73,300 2,073 Genentech* 79,500 7,050 Gen-Probe* 500 27 Genzyme* 20,877 1,689 Gilead Sciences* 10,700 488 Health Management Associates, Cl A* 102,625 427 Henry Schein* 5,200 280 Hill-Rom Holdings 4,630 140 HLTH* 76,296 872 Hologic* 1,800 35 Hospira* 1,200 46 Humana* (A) 58,400 2,406 Idexx Laboratories* (A) 30,200 1,655 Illumina* 3,800 154 ImClone Systems* 4,500 281 Intuitive Surgical* (A) 6,100 1,470 Inverness Medical Innovations* 12,600 378 Invitrogen* 12,392 468 Isis Pharmaceuticals* 7,600 128 Johnson & Johnson (A) 161,562 11,193 Kinetic Concepts* 1,000 29 King Pharmaceuticals* (A) 209,800 2,010 Laboratory Corp of America Holdings* 745 52 LifePoint Hospitals* 10,400 334 Lincare Holdings* 45,900 1,381 Martek Biosciences 17,500 550 McKesson (A) 105,458 5,675 Medco Health Solutions* (A) 89,995 4,050 Medicis Pharmaceutical, Cl A 16,700 249 Medtronic (A) 56,292 2,820 Merck (A) 103,936 3,280 Merit Medical Systems* 8,400 158 Mylan Laboratories* 3,600 41 Omnicare 26,900 774 OSI Pharmaceuticals* 10,000 493 Owens & Minor 17,300 839 Patterson* 2,200 67 Pediatrix Medical Group* 4,500 243 PerkinElmer 15,173 379 Perrigo 6,800 262 Pfizer (A) 518,017 9,552 Pharmaceutical Product Development 6,800 281 Quest Diagnostics 6,500 336 Resmed* 1,100 47 Schering-Plough 3,096 57 Sepracor* 20,246 371
SEI Institutional Managed Trust / Annual Report / September 30, 2008 62
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Somanetics* 2,900 $ 63 St. Jude Medical* 2,300 100 STERIS 38,100 1,432 Stryker (A) 76,815 4,786 Techne* 15,221 1,098 Tenet Healthcare* 316,319 1,756 Thermo Fisher Scientific* 15,112 831 UnitedHealth Group (A) 356,265 9,046 Universal Health Services, Cl B 14,655 821 Varian Medical Systems* 5,800 331 VCA Antech* 1,900 56 Vertex Pharmaceuticals* 1,500 50 Warner Chilcott, Cl A* (A) 66,200 1,001 Waters* 7,063 411 Watson Pharmaceuticals* 1,400 40 WellCare Health Plans* 2,500 90 WellPoint* (A) 31,945 1,494 Wyeth 22,056 815 Zimmer Holdings* 2,000 129 ------------ 152,790 ------------ INDUSTRIALS -- 10.6% 3M (A) 26,245 1,793 AAON 7,700 140 Acuity Brands 6,300 263 Aecom Technology* 27,799 679 AGCO* 14,900 635 Alliant Techsystems* 1,900 178 Allied Waste Industries* 69,914 777 Ametek 8,200 334 BE Aerospace* 1,400 22 Boeing (A) 103,677 5,946 Brink's 4,500 275 Bucyrus International, Cl A (A) 20,300 907 Burlington Northern Santa Fe 8,800 813 C.H. Robinson Worldwide (A) 40,487 2,063 Caterpillar (A) 54,700 3,260 Cenveo* 12,700 98 Columbus McKinnon* 2,200 52 Continental Airlines, Cl B* 4,900 82 Con-way 3,200 141 Copart* 16,400 623 Corporate Executive Board 1,500 47 Corrections Corp of America* 3,000 75 Covanta Holding* 1,800 43 Crane 18,700 556 CSX (A) 85,413 4,661 Cummins (A) 97,891 4,280 Danaher 2,345 163 Deere 11,600 574 Delta Air Lines* 2,500 19 Donaldson 5,900 247 Dover (A) 53,900 2,186
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- DRS Technologies 3,200 $ 246 Dun & Bradstreet 10,974 1,036 Eaton 100 6 Emerson Electric (A) 42,718 1,742 Equifax 2,600 90 Expeditors International of Washington 94,000 3,275 Fastenal 22,700 1,121 FedEx (A) 62,302 4,924 First Solar* (A) 7,400 1,398 Flowserve 5,100 453 Fluor (A) 40,801 2,273 Foster Wheeler* 32,600 1,177 FTI Consulting* 900 65 Gardner Denver* (A) 33,700 1,170 GATX 2,600 103 General Cable* 36,400 1,297 General Dynamics 18,985 1,398 General Electric (A) 573,188 14,616 Goodrich (A) 49,100 2,043 Harsco (A) 23,642 879 Hertz Global Holdings* 3,200 24 Honeywell International 34,674 1,441 Hubbell, Cl B 7,700 270 IHS, Cl A* 1,000 48 Illinois Tool Works 3,200 142 Ingersoll-Rand, Cl A 7,953 248 ITT 518 29 Jacobs Engineering Group* (A) 57,702 3,134 JB Hunt Transport Services 5,400 180 John Bean Technologies* 6,403 81 Joy Global 2,300 104 Kansas City Southern* 4,600 204 KBR (A) 101,792 1,554 Kennametal 4,659 126 Kirby* 5,800 220 L-3 Communications Holdings (A) 22,900 2,252 Landstar System 3,300 145 Lennox International (A) 44,600 1,484 Lincoln Electric Holdings 1,400 90 Lockheed Martin (A) 66,884 7,335 Manitowoc (A) 16,268 253 Manpower 1,600 69 McDermott International* 3,600 92 NCI Building Systems* 1,100 35 Norfolk Southern (A) 24,700 1,635 Northrop Grumman (A) 60,283 3,650 Northwest Airlines* 6,000 54 Owens Corning* 1,200 29 PACCAR 1,488 57 Pacer International 1,800 30 Pall 1,200 41 Parker Hannifin (A) 58,385 3,094 Pentair 1,900 66
SEI Institutional Managed Trust / Annual Report / September 30, 2008 63 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Precision Castparts 17,164 $ 1,352 Quanta Services* 110,479 2,984 Raytheon (A) 63,905 3,420 Republic Services 11,500 345 Robert Half International (A) 37,000 916 Rockwell Automation 700 26 Roper Industries 1,838 105 Ryder System 10,000 620 Shaw Group* 33,100 1,017 Southwest Airlines 99,325 1,441 SPX 5,194 400 Steelcase, Cl A 76,711 825 Stericycle* (A) 31,270 1,842 Terex* 1,400 43 Textron 12,100 354 Thomas & Betts* 37,900 1,481 Timken 64,925 1,841 Trinity Industries 10,620 273 Tyco International (A) 50,379 1,764 Union Pacific (A) 47,378 3,371 United Parcel Service, Cl B 67,759 4,261 United Rentals* 15,000 229 United Technologies 14,804 889 URS* 9,018 331 USG* 1,700 44 UTI Worldwide 31,192 531 Valmont Industries 1,600 132 Walter Industries 22,900 1,087 Waste Management 8,113 255 WESCO International* (A) 26,600 856 WW Grainger 600 52 ------------ 132,547 ------------ INFORMATION TECHNOLOGY -- 19.1% Accenture, Cl A (A) 126,100 4,792 Activision Blizzard* 52,600 812 ADC Telecommunications* 900 8 Adobe Systems* (A) 102,200 4,034 Advanced Micro Devices* 5,600 29 Affiliated Computer Services, Cl A* 6,300 319 Agilent Technologies* 23,366 693 Akamai Technologies* 4,200 73 Altera 900 19 Amdocs* 39,812 1,090 Amkor Technology* 60,700 387 Amphenol, Cl A 11,940 479 Analog Devices (A) 43,800 1,154 Anixter International* (A) 24,400 1,452 Ansys* 1,500 57 Apple* (A) 50,848 5,779 Applied Materials 5,995 91 Applied Micro Circuits* 46,000 275
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Arrow Electronics* 3,200 $ 84 Autodesk* 700 23 Automatic Data Processing (A) 6,301 269 Avnet* (A) 89,800 2,212 Avocent* 5,500 113 AVX 60,402 615 BMC Software* 8,600 246 Broadcom, Cl A* (A) 62,100 1,157 Broadridge Financial Solutions 13,200 203 Brocade Communications Systems* 77,400 450 CA (A) 152,778 3,049 Cabot Microelectronics* 3,100 99 Check Point Software Technologies* (A) 74,900 1,703 Ciena* 50,800 512 Cisco Systems* (A) 437,430 9,868 Citrix Systems* 300 8 Cognex 10,000 202 CommScope* 2,600 90 Computer Sciences* 45,451 1,827 Compuware* (A) 158,600 1,537 Convergys* (A) 91,564 1,353 Corning (A) 226,542 3,543 Cree* 5,100 116 Daktronics 22,800 380 Dell* 52,700 868 Dolby Laboratories, Cl A* 3,400 120 DST Systems* 221 12 Earthlink* 50,200 427 eBay* (A) 475,410 10,640 Electronic Arts* 67,300 2,489 EMC* 144,335 1,726 Factset Research Systems 7,300 381 Fairchild Semiconductor International* (A) 28,603 254 Fidelity National Information Services 1,946 36 Fiserv* 3,200 151 Flir Systems* 2,453 94 Global Payments (A) 30,653 1,375 Google, Cl A* (A) 36,120 14,467 Harris 25,901 1,197 Hewitt Associates, Cl A* (A) 61,600 2,245 Hewlett-Packard (A) 390,103 18,038 IAC* 14,600 253 Ingram Micro, Cl A* 34,970 562 Integral Systems 6,800 141 Integrated Device Technology* 215,500 1,677 Intel (A) 231,588 4,338 International Business Machines (A) 60,962 7,130 Intersil, Cl A (A) 40,700 675 Intuit* 167,100 5,282 Iron Mountain* 12,400 303 Itron* 600 53 Jabil Circuit (A) 108,458 1,035
SEI Institutional Managed Trust / Annual Report / September 30, 2008 64
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Juniper Networks* (A) 49,000 $ 1,032 Kla-Tencor 500 16 Lender Processing Services 21,826 666 Lexmark International, Cl A* 1,400 46 Linear Technology 2,600 80 LSI Logic* 15,600 84 Mastercard, Cl A (A) 43,471 7,709 McAfee* 11,900 404 MEMC Electronic Materials* 4,074 115 Mettler Toledo International* 4,962 486 Micrel 36,000 327 Microchip Technology 1,500 44 Microsoft (A) 746,624 19,927 Molex 99,773 2,240 Motorola 160,430 1,145 Multi-Fineline Electronix* 7,000 104 National Semiconductor (A) 62,700 1,079 NCR* 31,800 701 NetApp* (A) 49,400 901 NeuStar, Cl A* 2,100 42 Nokia ADR 85,800 1,600 Nuance Communications* 3,400 41 Nvidia* 800 9 ON Semiconductor* 6,200 42 Oracle* (A) 134,708 2,736 QLogic* (A) 116,400 1,788 Qualcomm (A) 322,300 13,849 Rambus* 6,100 78 Red Hat* 83,900 1,264 Research In Motion* 49,000 3,347 SAIC* 1,400 28 Salesforce.com* 5,200 252 Seagate Technology 316,200 3,832 Silicon Laboratories* (A) 40,100 1,231 Sohu.com* 8,136 454 Sun Microsystems* (A) 94,332 717 Sybase* 47,900 1,467 Symantec* (A) 219,256 4,293 Synaptics* 10,400 314 Synopsys* (A) 83,878 1,673 Tech Data* (A) 49,119 1,466 Teradata* 137,300 2,677 Teradyne* (A) 119,700 935 Texas Instruments (A) 374,781 8,058 Trimble Navigation* 29,800 771 Tyco Electronics 67,621 1,870 Unisys* (A) 302,265 831 Valueclick* 44,400 454 VeriSign* 158,400 4,131 Visa, Cl A (A) 105,000 6,446 VMware, Cl A* 500 13 Volterra Semiconductor* 47,000 598 WebMD Health, Cl A* 130 4
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Western Digital* 28,700 $ 612 Western Union 51,611 1,273 Xerox (A) 101,840 1,174 Xilinx 2,700 63 Yahoo!* 236,500 4,091 Zebra Technologies, Cl A* 3,700 103 ------------ 238,904 ------------ MATERIALS -- 3.2% Air Products & Chemicals 8,800 603 Airgas 3,300 164 AK Steel Holding (A) 51,877 1,345 Alcoa (A) 65,600 1,481 Allegheny Technologies 400 12 Alpha Natural Resources* 3,600 185 Aptargroup 2,700 106 Ashland (A) 1,049 31 Cabot (A) 72,384 2,300 Celanese, Ser A (A) 29,831 833 Century Aluminum* 2,000 55 CF Industries Holdings 1,600 146 Cleveland-Cliffs 6,400 339 Commercial Metals 5,247 89 Crown Holdings* 10,100 224 Dow Chemical (A) 95,584 3,038 E.I. Du Pont de Nemours 49,734 2,004 Eastman Chemical 10,900 600 Ecolab 8,500 412 FMC 7,800 401 Freeport-McMoRan Copper & Gold, Cl B (A) 14,850 844 Greif, Cl A 18,300 1,201 Huntsman 3,200 40 Intrepid Potash* 27,800 838 Lubrizol (A) 36,400 1,570 Monsanto (A) 20,412 2,020 Mosaic (A) 25,400 1,728 Nalco Holding (A) 146,946 2,724 Newmont Mining (A) 39,953 1,549 Nucor (A) 46,900 1,853 Owens-Illinois* 18,200 535 Packaging Corp of America 1,800 42 PPG Industries 1,000 58 Praxair 47,615 3,416 Reliance Steel & Aluminum 42,600 1,618 Schnitzer Steel Industries, Cl A 14,742 578 Sealed Air 10,300 226 Sigma-Aldrich 9,800 514 Sonoco Products 3,700 110 Southern Copper 11,500 219 Steel Dynamics 8,500 145 Temple-Inland 21,810 333 Terra Industries (A) 29,139 857
SEI Institutional Managed Trust / Annual Report / September 30, 2008 65 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- United States Steel (A) 30,200 $ 2,344 Vulcan Materials 600 45 Weyerhaeuser 1,000 61 ------------ 39,836 ------------ TELECOMMUNICATION SERVICES -- 2.7% American Tower, Cl A* (A) 28,500 1,025 AT&T (A) 534,566 14,925 CenturyTel (A) 23,700 869 Crown Castle International* 121,100 3,508 Frontier Communications 4,811 55 iPCS* 4,500 100 Leap Wireless International* (A) 22,900 872 MetroPCS Communications* 7,921 111 NII Holdings* 25,478 966 Qwest Communications International 28,000 90 Sprint Nextel (A) 152,700 931 Telephone & Data Systems 12,540 448 US Cellular* (A) 36,224 1,700 USA Mobility 8,100 89 Verizon Communications (A) 216,375 6,943 Windstream (A) 127,752 1,398 ------------ 34,030 ------------ UTILITIES -- 2.9% AES* 364,000 4,255 AGL Resources 12,700 399 Allegheny Energy 5,406 199 Alliant Energy 40,540 1,306 Ameren 10,800 422 American Electric Power 15,700 581 American Water Works 10,300 221 Atmos Energy 19,130 509 Calpine* 128,294 1,668 Centerpoint Energy (A) 58,100 847 Consolidated Edison 1,200 52 Constellation Energy Group 6,400 156 Dominion Resources 25,969 1,111 DPL 44,046 1,092 DTE Energy (A) 41,100 1,649 Duke Energy (A) 43,400 756 Edison International (A) 70,000 2,793 Energen 6,700 303 Entergy 5,700 507 Equitable Resources 16,300 598 Exelon 2,574 161 FirstEnergy (A) 21,965 1,471 FPL Group 17,200 865 Hawaiian Electric Industries 10,800 314 MDU Resources Group 35,937 1,042 National Fuel Gas 5,400 228 NiSource (A) 81,300 1,200
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- NRG Energy* 16,900 $ 418 NSTAR 1,900 64 OGE Energy 1,500 46 Oneok 15,400 530 Pepco Holdings (A) 37,900 868 PG&E 15,179 568 Pinnacle West Capital 3,600 124 PPL 22,462 832 Public Service Enterprise Group (A) 74,502 2,443 Puget Energy 11,500 307 Questar 5,700 233 Reliant Energy* (A) 234,293 1,722 SCANA 4,000 156 Sempra Energy 1,992 101 Sierra Pacific Resources 129,899 1,244 Southern 9,727 367 Southern Union 1,243 26 TECO Energy 32,314 508 UGI 23,800 614 Vectren 4,200 117 Wisconsin Energy 5,600 251 Xcel Energy 11,071 221 ------------ 36,465 ------------ Total Common Stock (Cost $1,304,685) ($ Thousands) 1,175,120 ------------ MORTGAGE-BACKED SECURITIES--14.2% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 8.2% FHLMC 6.000%, 03/01/23 $ 1,900 1,935 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 (B) (E) 5,847 1,283 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 (B) (E) 963 187 FNMA TBA 6.500%, 10/01/37 6,000 6,152 6.000%, 10/20/21 37,000 37,682 5.500%, 10/15/22 to 10/01/38 44,000 44,331 FNMA ARM 5.496%, 11/25/08 820 834 FNMA CMO, Ser 2005-115, Cl OC 6.000%, 10/25/33 2,194 2,231 FNMA CMO, Ser 2005-108, Cl TA 5.500%, 03/25/22 1,027 1,030 FNMA CMO, Ser 2006-33, Cl QA 6.000%, 01/25/29 3,386 3,444 FNMA CMO, STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 367 75
SEI Institutional Managed Trust / Annual Report / September 30, 2008 66
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 $ 15,966 $ 3,502 GNMA ARM 5.625%, 11/20/08 337 340 ------------ 103,026 ------------ NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.0% American Home Mortgage Assets, Ser 2006-3, Cl M5 3.827%, 10/27/08 (C) 250 11 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A 5.294%, 11/25/08 (C) 3,510 1,949 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A 5.350%, 11/25/08 (C) 1,913 1,274 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 5.100%, 11/25/08 (C) 1,141 855 Banc of America Commercial Mortgage, Ser 2005-5, Cl AM 5.176%, 11/10/08 (C) 1,762 1,490 Banc of America Commercial Mortgage, Ser 2005-6, Cl AM 5.352%, 11/10/08 (C) 1,619 1,367 Banc of America Commercial Mortgage, Ser 2006-2, Cl A4 5.930%, 05/10/45 (C) 1,911 1,729 Banc of America Commercial Mortgage, Ser 2006-3, Cl A4 5.889%, 11/10/08 (C) 1,854 1,678 Banc of America Commercial Mortgage, Ser 2007-3, Cl A4 5.838%, 11/10/08 (C) 5,050 4,292 Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A3 5.915%, 11/15/08 (C) 3,249 2,939 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 6.721%, 11/25/08 (C) 227 172 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 4.357%, 10/27/08 (C) 235 16 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 5.207%, 10/27/08 (C) 375 12 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl M3 3.637%, 10/27/08 (C) 500 60
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- Countrywide Alternative Loan Trust, Ser 2006-OA16, Cl M5 3.757%, 10/27/08 (C) $ 225 $ 3 Countrywide Home Loans, Ser 2004-22, Cl A1 5.089%, 11/25/08 (C) 355 286 Countrywide Home Loans, Ser 2006-OA4, Cl M4 4.027%, 10/27/08 (C) 285 10 Countrywide Home Loans, Ser 2006-OA4, Cl M5 4.077%, 10/27/08 (C) 195 6 Countrywide Home Loans, Ser 2006-OA5, Cl 1M4 4.257%, 10/27/08 (C) 275 6 Countrywide Home Loans, Ser 2007-HYB1, Cl 1A1 5.491%, 11/25/08 (C) 1,503 1,120 Credit Suisse Mortgage Capital Certificates, Cl A3 5.311%, 12/15/39 5,600 4,854 Credit Suisse Mortgage Capital Certificates, Ser 2006-C3, Cl A3 6.021%, 11/15/08 (C) 2,381 2,164 Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR4, Cl B1 3.630%, 10/20/08 (C) 267 71 First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 5.628%, 11/25/08 (C) 2,905 1,999 First Horizon Mortgage Pass- Through, Ser 2006-AR3, Cl 1A1 5.656%, 11/25/08 (C) 616 525 Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl AM 6.112%, 11/10/08 (C) 2,100 1,753 GS Mortgage Securities II, Ser 2006-GG6, Cl AM 5.622%, 11/10/08 (C) 3,800 3,127 Impac CMB Trust, Ser 2004-10, Cl 4M1 3.807%, 10/27/08 (C) 230 161 Impac Secured Assets CMO Owner Trust, Ser 2007-1, Cl A1 3.267%, 10/27/08 (C) 4,475 3,923 Impac Secured Assets CMO Owners Trust, Ser 2007-2, Cl 1A1A 3.317%, 10/27/08 (C) 2,782 2,379 Indymac Index Mortgage Loan Trust, Ser 2006-AR12, Cl M2 3.757%, 10/27/08 (C) 235 36
SEI Institutional Managed Trust / Annual Report / September 30, 2008 67 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M6 4.957%, 10/27/08 (C) $ 240 $ 6 Indymac Index Mortgage Loan Trust, Ser 2006-AR4, Cl M4 3.907%, 10/27/08 (C) 165 4 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3 5.336%, 05/15/47 1,155 994 JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4 5.716%, 02/15/51 7,000 5,849 JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4 5.440%, 06/12/47 5,050 4,213 Merrill Lynch Mortgage Investors, Ser 2005-A4, Cl 1A 5.114%, 11/25/08 (C) 364 270 Merrill Lynch Mortgage Investors, Ser 2006-1, Cl 1A 5.248%, 11/25/08 (C) 1,267 1,171 Merrill Lynch Mortgage Trust, Ser 2005-CKI1, Cl A6 5.416%, 11/12/08 (C) 2,316 2,115 Merrill Lynch Mortgage Trust, Ser 2008-C1, Cl AM 6.461%, 11/12/08 (C) 756 606 Merrill Lynch/Countrywide Commercial Mortgage, Ser 2006-4, Cl A3 5.172%, 11/12/08 (C) 5,667 4,865 Morgan Stanley Mortgage Loan Trust, Ser 2007-14AR, Cl 6A1 6.471%, 11/25/08 (C) 1,692 1,112 Nomura Asset Acceptance, Ser 2007-1, Cl 1A1A 5.995%, 03/25/47 1,684 1,417 Residential Accredit Loans, Ser 2006-QO1, Cl 2A3 3.607%, 10/27/08 (C) 303 118 Residential Accredit Loans, Ser 2006-QO3, Cl M5 3.987%, 10/27/08 (C) 251 5 Residential Accredit Loans, Ser 2006-QO3, Cl M4 3.927%, 10/27/08 (C) 251 8 Residential Accredit Loans, Ser 2006-QO6, Cl M5 3.707%, 10/27/08 (C) 350 11
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 5.249%, 11/25/08 (C) $ 1,096 $ 1,064 Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-16XS, Cl M2 4.107%, 10/27/08 (C) 505 25 Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-9, Cl 2A1 5.994%, 11/25/08 (C) 1,799 1,176 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B4 4.157%, 10/27/08 (C) 191 9 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B5 4.257%, 10/27/08 (C) 121 11 Structured Asset Securities, Ser 2006-NC1, Cl A4 3.357%, 10/27/08 (C) 300 180 Wachovia Bank Commercial Mortgage Trust, Cl A3 6.011%, 11/15/08 (C) 5,000 4,524 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY4, Cl 1A1 5.542%, 11/25/08 (C) 4,013 2,981 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 1A1 5.664%, 11/25/08 (C) 3,287 2,213 ------------ 75,214 ------------ Total Mortgage-Backed Securities (Cost $198,608) ($ Thousands) 178,240 ------------ ASSET-BACKED SECURITIES -- 3.0% MORTGAGE RELATED SECURITIES -- 1.3% ABSC NIM Trust, Ser 2005-HE6, Cl A1 5.050%, 08/27/35 (D) 29 -- Ace Securities, Ser 2003-OP1, Cl M1 3.907%, 10/27/08 (C) 500 370 Ace Securities, Ser 2005-HE7, Cl A2D 3.537%, 10/27/08 (C) 800 676 Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 4.257%, 10/27/08 (C) 38 29 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 4.557%, 10/27/08 (C) 384 266
SEI Institutional Managed Trust / Annual Report / September 30, 2008 68
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- Argent Securities, Ser 2003-W5, Cl M1 3.907%, 10/27/08 (C) $ 250 $ 196 Argent Securities, Ser 2003-W9, Cl M1 3.897%, 10/27/08 (C) 343 250 Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A2 4.300%, 06/25/35 (B) 231 228 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 3.613%, 10/15/08 (C) 547 432 Bear Stearns Asset-Backed Securities Trust, Ser 2006-HE7, Cl 2A2 3.367%, 10/27/08 (C) 1,300 914 Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE4, Cl 1A1 3.327%, 10/27/08 (C) 1,916 1,836 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 1,101 1,000 Home Equity Asset Trust, Ser 2003-4, Cl M2 5.607%, 10/27/08 (C) 252 169 Home Equity Asset Trust, Ser 2006-5, Cl 2A3 3.357%, 10/27/08 (C) 250 170 Home Equity Mortgage Trust, Ser 2006-5, Cl A1 5.500%, 01/25/37 2,021 483 Irwin Home Equity, Ser 2007-1, Cl 2A1 3.357%, 10/27/08 (C) (D) 3,507 2,455 Morgan Stanley ABS Capital I, Ser 2003-NC10, Cl M1 4.227%, 10/27/08 (C) 583 466 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 4.461%, 08/25/35 (B) 58 57 Novastar Home Equity Loan, Ser 2007-1, Cl A2A1 3.307%, 10/27/08 (C) 2,397 2,250 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 3.857%, 10/27/08 (C) 111 77 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 3.327%, 10/27/08 (C) 2,002 1,749 Residential Asset Securities, Ser 2005-KS12, Cl A3 3.527%, 10/27/08 (C) 800 568 Terwin Mortgage Trust, Ser 2006-2HGS, Cl A1 4.500%, 11/25/08 (C) (D) 1,430 390
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- Terwin Mortgage Trust, Ser 2006-4SL, Cl A1 4.500%, 11/25/08 (C) (D) $ 1,483 $ 552 Terwin Mortgage Trust, Ser 2006-6, Cl 1A1 4.500%, 11/25/08 (C) 734 235 Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8A 6.207%, 10/27/08 (C) (D) 189 31 ------------ 15,849 ------------ OTHER ASSET-BACKED SECURITIES -- 1.7% Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A3 3.340%, 05/25/26 37 37 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 4.807%, 10/27/08 (C) 251 180 Countrywide Asset-Backed Certificates, Ser 2005-7, Cl MV8 4.657%, 10/27/08 (C) 250 88 Credit-Based Asset Servicing and Securitization, Ser 2005-CB2, Cl M1 3.647%, 10/27/08 (C) 96 81 Credit-Based Asset Servicing and Securitization, Ser 2007-CB4, Cl A2A 5.844%, 04/25/37 (B) 1,810 1,724 Credit-Based Asset Servicing and Securitization, Ser 2007-CB4, Cl A1A 3.297%, 10/27/08 (C) 1,715 1,515 FBR Securitization Trust, Ser 2005-2, Cl M10 5.457%, 10/27/08 (C) 71 1 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2006-FF11, Cl M1 3.457%, 10/27/08 (C) 3,500 893 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2006-FF14, Cl A2 3.267%, 10/27/08 (C) 1,791 1,675 GSAMP Trust, Ser 2007-HE2, Cl A2A 2.592%, 10/27/08 (C) 1,761 1,651 Lehman XS Trust, Ser 2005-5N, Cl M4 4.957%, 10/27/08 (C) 725 13 Lehman XS Trust, Ser 2005-7N, Cl M51 4.457%, 10/27/08 (C) 150 7
SEI Institutional Managed Trust / Annual Report / September 30, 2008 69 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- Lehman XS Trust, Ser 2005-7N, Cl M7I 4.957%, 10/27/08 (C) $ 325 $ 6 Lehman XS Trust, Ser 2005-9N, Cl M6 4.957%, 10/27/08 (C) 415 9 Lehman XS Trust, Ser 2006-12N, Cl M4 3.757%, 10/27/08 (C) 270 33 Lehman XS Trust, Ser 2006-12N, Cl M5 3.807%, 10/27/08 (C) 150 3 Lehman XS Trust, Ser 2006-2N, Cl M5 4.357%, 10/27/08 (C) 240 5 Long Beach Mortgage Loan Trust, Ser 2005-WL2, Cl M1 3.677%, 10/27/08 (C) 700 524 Long Beach Mortgage Loan Trust, Ser 2006-WL1, Cl 1A3 3.537%, 10/27/08 (C) 560 425 Merrill Lynch Mortgage Investors, Ser 2007-HE2, Cl A2A 3.327%, 10/27/08 (C) 1,991 1,861 Merrill Lynch Mortgage Investors, Ser 2007-SL1, Cl A1 3.507%, 10/27/08 (C) 2,043 703 Morgan Stanley ABS Capital I, Ser 2005-HE6, Cl A2C 3.527%, 10/27/08 (C) 1,600 1,375 Ownit Mortgage Loan Asset-Backed Certificates, Ser 2006-1, Cl AF1 5.424%, 12/25/36 (B) 223 221 RAAC Series, Ser 2007-SP1, Cl A1 3.357%, 10/27/08 (C) 1,941 1,732 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B 3.357%, 10/27/08 (C) (D) 1,000 849 Saco I Trust, Ser 2005-10, Cl 2A1 3.467%, 10/27/08 (C) 2,415 1,986 Securitized Asset-Backed Receivables Trust LLC, Ser 2005-HE1, Cl A3C 3.537%, 10/27/08 (C) 400 337 SLM Student Loan Trust, Ser 2006-C, Cl C 3.209%, 12/15/08 (C) 1,000 654 Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 6.207%, 10/27/08 (C) 154 111
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Structured Asset Securities, Ser 2007-BC1, Cl A4 3.337%, 10/27/08 (C) $ 1,400 $ 838 Wachovia Student Loan Trust, Ser 2006-1, Cl B 3.040%, 10/27/08 (C) (D) 3,200 2,475 ------------ 22,012 ------------ Total Asset-Backed Securities (Cost $55,947) ($ Thousands) 37,861 ------------ CORPORATE OBLIGATIONS -- 0.1% CONSUMER DISCRETIONARY -- 0.1% Autozone 6.500%, 01/15/14 340 336 ------------ FINANCIALS -- 0.0% Discover Financial Services 6.450%, 06/12/17 (C) 115 83 Shinsei Finance Cayman 6.418%, 07/20/09 (C) (D) 400 169 Washington Mutual Preferred Funding 6.534%, 03/29/49 (C) (D) 400 1 ------------ 253 ------------ Total Corporate Obligations (Cost $1,268) ($ Thousands) 589 ------------ CASH EQUIVALENT -- 5.7% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 71,010,213 71,010 ------------ Total Cash Equivalent (Cost $71,010) ($ Thousands) 71,010 ------------ U.S. TREASURY OBLIGATIONS -- 1.1% U.S. Treasury Bills 1.933%, 12/04/08 (E) (F) 870 869 1.237%, 11/20/08 (E) (F) 3,609 3,608 U.S. Treasury Bond TIPS 3.000%, 07/15/12 4,558 4,744 2.375%, 04/15/11 1,469 1,486 2.375%, 01/15/25 (F) 3,110 3,013 ------------ Total U.S. Treasury Obligations (Cost $14,012) ($ Thousands) 13,720 ------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 70
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.1% FNMA 2.798%, 02/11/09 (F) $ 300 $ 297 2.611%, 02/02/09 (F) 2,800 2,772 2.621%, 12/10/08 (F) 1,650 1,642 FHLMC 2.717%, 02/09/09 (F) 1,021 1,010 2.102%, 11/03/08 (F) 8,379 8,364 ------------ Total U.S. Government Agency Obligations (Cost $14,089) ($ Thousands) 14,085 ------------ Total Investments -- 119.2% (Cost $1,659,619) ($ Thousands) $ 1,490,625 ============ COMMON STOCK SOLD SHORT -- (13.8)% CONSUMER DISCRETIONARY -- (2.7)% Amazon.com* (10,700) (779) Apollo Group, Cl A* (24,545) (1,456) Autozone* (648) (80) Centex (97,100) (1,573) Central European Media Enterprises, Cl A* (33,969) (2,222) Choice Hotels International (32,900) (892) Clear Channel Outdoor Holdings, Cl A* (26,300) (360) CTC Media* (2,036) (31) DR Horton (173,324) (2,257) DreamWorks Animation SKG, Cl A* (47,866) (1,505) Eastman Kodak (10,800) (166) EW Scripps, Cl A (38,503) (272) Gannett (18,643) (315) Goodyear Tire & Rubber* (58,800) (900) Hillenbrand (20,634) (416) International Game Technology (2,000) (34) KB Home (33,049) (650) Lamar Advertising, Cl A* (6,664) (206) Las Vegas Sands* (40,600) (1,466) Lennar, Cl A (114,600) (1,741) Liberty Media - Entertainment, Cl A* (8,480) (212) Liz Claiborne (7,775) (128) LKQ* (31,316) (531) Marriott International, Cl A (2,800) (73) MDC Holdings (5,790) (212) MGM Mirage* (58,000) (1,653) Newell Rubbermaid (86,500) (1,493) News, Cl A (24,300) (291) Nike, Cl B (12,900) (863) OfficeMax (20,067) (178) O'Reilly Automotive* (72,373) (1,937) Orient-Express Hotels, Cl A (33,000) (796) priceline.com* (16,500) (1,129) Pulte Homes (124,000) (1,732) Regal Entertainment Group, Cl A (78,009) (1,231)
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Royal Caribbean Cruises (10,364) $ (215) Saks* (57,800) (535) Scientific Games, Cl A* (54,600) (1,257) Scripps Networks Interactive, Cl A (1,800) (65) Ticketmaster* (22,000) (236) Toll Brothers* (26,267) (663) Washington Post, Cl B (300) (167) Weight Watchers International (31,176) (1,141) ------------ (34,059) ------------ CONSUMER STAPLES -- (0.4)% Central European Distribution* (19,200) (872) Dr Pepper Snapple Group* (34,199) (906) Energizer Holdings* (23,424) (1,887) Estee Lauder, Cl A (5,400) (270) Hansen Natural* (8,744) (265) JM Smucker (2,426) (123) Smithfield Foods* (39,400) (626) ------------ (4,949) ------------ ENERGY -- (1.8)% Atwood Oceanics* (947) (34) BJ Services (27,600) (528) Cabot Oil & Gas (32,900) (1,189) Cameco (48,800) (1,089) Chesapeake Energy (74,544) (2,673) Delta Petroleum* (73,300) (995) Denbury Resources* (4,700) (89) Diamond Offshore Drilling (6,403) (660) Dril-Quip* (15,400) (668) Enbridge (46,200) (1,760) Encore Acquisition* (3,718) (155) Exterran Holdings* (19,800) (633) Foundation Coal Holdings (10,800) (384) Frontier Oil (5,400) (99) Global Industries* (111,386) (773) Goodrich Petroleum* (23,100) (1,007) Hercules Offshore* (9,900) (150) Holly (35,100) (1,015) National Oilwell Varco* (13,100) (658) Overseas Shipholding Group (3,703) (216) PetroHawk Energy* (44,600) (965) Range Resources (68,073) (2,918) Rowan (3,400) (104) SandRidge Energy* (10,500) (206) Teekay Shipping (24,229) (639) Tetra Technologies* (6,152) (85) TransCanada (55,100) (1,992) Transocean (3,700) (406) Unit* (544) (27) ------------ (22,117) ------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 71 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- FINANCIALS -- (2.0)% Affiliated Managers Group* (3,662) $ (303) Alexandria Real Estate Equities+ (4,200) (473) Arthur J. Gallagher (5,800) (149) Assured Guaranty (54,700) (889) AvalonBay Communities+ (5,800) (571) Bancorpsouth (2,500) (70) Brown & Brown (23,100) (499) CapitalSource+ (87,771) (1,080) Citigroup (105,000) (2,154) Commerce Bancshares (6,200) (288) Conseco* (83,069) (292) Digital Realty Trust+ (1,500) (71) Federal Realty Investment Trust+ (4,600) (394) Fidelity National Financial, Cl A (76,712) (1,128) First American (21,600) (637) First Horizon National (214,510) (2,008) Forest City Enterprises, Cl A (50,800) (1,558) Goldman Sachs Group (4,039) (517) HCC Insurance Holdings (14,400) (389) Jefferies Group (50,219) (1,125) Lazard, Cl A (12,700) (543) Legg Mason (41,566) (1,582) Markel* (600) (211) Marshall & Ilsley (54,820) (1,105) Mercury General (7,500) (411) MF Global* (7,084) (31) MGIC Investment (58,460) (411) Morgan Stanley (8,116) (187) MSCI, Cl A* (8,529) (205) Nationwide Financial Services, Cl A (6,968) (344) OneBeacon Insurance Group, Cl A (3,786) (80) Sovereign Bancorp (69,095) (273) Student Loan (872) (81) TFS Financial (87,400) (1,094) UDR+ (10,646) (278) Ventas+ (60,088) (2,970) Webster Financial (5,752) (145) XL Capital, Cl A (54,802) (983) ------------ (25,529) ------------ HEALTH CARE -- (1.6)% Advanced Medical Optics* (10,000) (178) Amylin Pharmaceuticals* (3,467) (70) BioMarin Pharmaceuticals* (85,708) (2,270) Brookdale Senior Living (65,700) (1,445) Celgene* (8,400) (532) Henry Schein* (14,800) (797) Hologic* (43,197) (835) Lincare Holdings* (30,714) (924) Millipore* (7,300) (502) Mylan Laboratories* (152,099) (1,737)
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- NuVasive* (28,600) $ (1,411) Omnicare (17,800) (512) Onyx Pharmaceuticals* (24,900) (901) Perrigo (42,729) (1,643) Resmed* (18,800) (808) Schering-Plough (28,800) (532) Tenet Healthcare* (363,300) (2,016) Varian Medical Systems* (2,700) (154) VCA Antech* (57,400) (1,692) Vertex Pharmaceuticals* (39,100) (1,300) Waters* (371) (22) ------------ (20,281) ------------ INDUSTRIALS -- (1.4)% Aecom Technology* (28,600) (699) Alexander & Baldwin (11,600) (511) Alliant Techsystems* (1,500) (141) AMR* (111,517) (1,095) Copa Holdings, Cl A (12,513) (407) Corporate Executive Board (8,204) (256) Corrections Corp of America* (922) (23) Covanta Holding* (5,872) (141) Delta Air Lines* (42,403) (316) Dun & Bradstreet (9,552) (901) Expeditors International of Washington (12,600) (439) FTI Consulting* (51,972) (3,754) General Cable* (18,400) (656) IHS, Cl A* (13,900) (662) John Bean Technologies* (7,722) (98) Kennametal (33,500) (909) McDermott International* (8,583) (219) Oshkosh Truck (51,316) (675) Pall (13,600) (468) Pitney Bowes (76,584) (2,547) Quanta Services* (50,300) (1,359) Shaw Group* (13,900) (427) Southwest Airlines (77,900) (1,130) SPX (1,700) (131) ------------ (17,964) ------------ INFORMATION TECHNOLOGY -- (2.5)% Alliance Data Systems* (9,676) (613) Amphenol, Cl A (31,400) (1,260) Ansys* (11,916) (451) Applied Materials (43,700) (661) Autodesk* (6,900) (231) AVX (17,400) (177) Cadence Design Systems* (200,700) (1,357) Ciena* (25,045) (252) Cognizant Technology Solutions, Cl A* (27,100) (619) CommScope* (31,200) (1,081) Concur Technologies* (31,300) (1,198)
SEI Institutional Managed Trust / Annual Report / September 30, 2008 72
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- EchoStar, Cl A* (12,900) $ (311) Electronic Arts* (19,900) (736) Equinix* (36,800) (2,556) Fiserv* (21,052) (996) Iron Mountain* (78,200) (1,909) Itron* (9,423) (834) Kla-Tencor (31,200) (987) Lam Research* (48,962) (1,542) Linear Technology (63,784) (1,956) Micron Technology* (148,100) (600) Molex (47,500) (1,066) Motorola (21,800) (156) NeuStar, Cl A* (14,000) (278) Novell* (29,400) (151) Novellus Systems* (57,800) (1,135) Nuance Communications* (18,438) (225) Nvidia* (79,000) (846) ON Semiconductor* (101,700) (687) Rambus* (129,942) (1,670) Red Hat* (58,100) (876) Salesforce.com* (28,700) (1,389) SanDisk* (32,746) (640) Tellabs* (24,500) (99) Varian Semiconductor Equipment Associates* (45,808) (1,151) Vishay Intertechnology* (11,797) (78) ------------ (30,774) ------------ MATERIALS -- (0.9)% Albemarle (6,600) (204) Aptargroup (11,700) (458) Bemis (1,840) (48) Century Aluminum* (53,890) (1,492) Eagle Materials (48,333) (1,081) Greif, Cl A (7,138) (468) Huntsman (46,800) (590) Ivanhoe Mines* (155,100) (940) Owens-Illinois* (15,808) (465) Scotts Miracle-Gro, Cl A (19,321) (457) Sealed Air (3,100) (68) Silver Standard Resources* (31,800) (526) Temple-Inland (8,000) (122) Weyerhaeuser (63,704) (3,859) ------------ (10,778) ------------
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- TELECOMMUNICATION SERVICES -- (0.3)% Embarq (30,399) $ (1,233) Frontier Communications (101,057) (1,162) MetroPCS Communications* (43,600) (610) NII Holdings* (23,400) (887) ------------ (3,892) ------------ UTILITIES -- (0.2)% American Water Works (6,527) (140) Constellation Energy Group (17,000) (413) Mirant* (31,497) (576) NSTAR (4,900) (164) PPL (19,800) (733) Vectren (3,800) (106) ------------ (2,132) ------------ Total Common Stock Sold Short (Proceeds $(207,537)) ($ Thousands) (172,475) ------------
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- -------------- 10-Year Swap (283) Dec-2008 $ 576 30-Day FED Fund (12) Oct-2008 (19) 90-Day Euro$ 55 Mar-2009 (86) 90-Day Euro$ 153 Jun-2009 296 90-Day Euro$ 104 Sep-2009 163 90-Day Euro$ 4 Dec-2009 (8) 90-Day Euro$ (20) Mar-2010 (65) 90-Day Euro$ (119) Jun-2010 (346) 90-Day Euro$ (18) Mar-2011 (27) 90-Day Euro$ (5) Jun-2011 (1) 90-Day Euro$ (3) Sep-2011 -- 90-Day Euro$ (9) Dec-2011 (7) 90-Day Euro$ (9) Mar-2012 (8) 90-Day Euro$ (4) Jun-2012 (1) 90-Day Euro$ (4) Sep-2012 (2) S&P Composite Index 713 Dec-2008 (14,732) U.S. 10-Year Note (207) Dec-2008 198 U.S. 2-Year Note 241 Dec-2008 290 U.S. 5-Year Note 68 Dec-2008 13 U.S. Long Treasury Bond (93) Dec-2008 57 -------- $(13,709) ========
SEI Institutional Managed Trust / Annual Report / September 30, 2008 73 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Concluded) September 30, 2008 A summary of outstanding swap agreements held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements): CREDIT DEFAULT SWAPS
NET UNREALIZED (PAYS)/ APPRECIATION BUY/SELL RECEIVES TERMINATION NOTIONAL AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE ($ THOUSANDS) ($ THOUSANDS) - ------------ ----------------------------------------- ---------- -------- ----------- --------------- -------------- Bank Of America Alcan Inc., 4.875%, 09/15/12 Buy (0.35)% 12/20/13 $ 750 $ 2 Bank Of America Alcan Inc., 4.875%, 09/15/12 Buy (0.32) 03/20/14 650 3 Goldman Sachs Anheuser-Busch Cos Inc., 5.625%, 10/01/10 Buy (1.08) 09/20/13 750 (1) Barclays Anheuser-Busch Cos Inc., 5.625%, 10/01/10 Buy (1.08) 09/20/13 750 (2) Bank Of America Autozone Inc., 5.875%, 10/15/20 Buy (0.44) 12/20/11 750 6 JPMorgan Chase Bank Autozone Inc., 5.875%, 10/15/20 Buy (0.46) 12/20/11 750 6 Bank Of America Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 750 7 JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 750 17 Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.66) 03/20/13 1,250 8 Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.80) 03/20/13 1,000 1 Bank Of America Campbell Soup Co., 4.875%, 10/01/13 Buy (0.20) 06/20/14 1,150 5 JPMorgan Chase Bank Carnival Corp., 6.65%, 01/15/28 Buy (0.22) 06/20/12 650 19 Goldman Sachs CDX.NA.LG.9 Index Buy (0.60) 12/20/12 1,250 10 Goldman Sachs Centurytel Inc., 6.00%, 04/01/17 Buy (1.10) 03/20/13 1,250 18 JPMorgan Chase Bank CMBX.NA.A 2 Index Buy (0.25) 03/15/49 1,000 13 Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000 235 Bank Of America Computer Science Corp., 5.00%, 02/15/13 Buy (0.65) 06/20/13 1,500 (6) Bank Of America Darden Restaurants Inc., 7.125%, 02/01/16 Buy (0.45) 12/20/11 750 27 Merrill Lynch Dow Chemical Inc., 6.00%, 10/01/12 Buy (0.25) 12/20/13 750 21 JPMorgan Chase Bank Dow Chemical Inc., 6.00%, 10/01/12 Buy (0.26) 12/20/13 750 9 JPMorgan Chase Bank Gap Inc., 8.80%, 12/15/08 Buy (1.18) 12/20/11 750 13 Bank Of America Gap Inc., 8.80%, 12/15/08 Buy (1.18) 12/20/11 750 12 JPMorgan Chase Bank Hasbro Inc., 2.75%, 12/01/21 Buy (0.39) 12/20/11 750 15 Bank Of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.37) 12/20/13 750 38 Bank Of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.39) 12/20/13 750 17 JPMorgan Chase Bank Jones Apparel Group., 5.125%, 11/15/14 Buy (0.77) 12/20/11 750 36 Merrill Lynch Kroger Co. 5.50%, 02/01/13 Buy (0.64) 03/20/13 1,500 (5) Bank Of America Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.95) 03/20/13 1,000 (12) Bank Of America Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.60) 09/20/13 1,250 6 Merrill Lynch Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.13) 12/20/11 750 8 Merrill Lynch Lubrizol Corp., 7.25%, 06/15/25 Buy (0.45) 12/20/11 750 4 JPMorgan Chase Bank Lubrizol Corp., 7.25%, 06/15/35 Buy (0.45) 12/20/11 750 4 Bank Of America Lubrizol Corp., 7.25%, 06/15/25 Buy (0.81) 09/20/13 500 -- Bank Of America Masco Corp., 5.875%, 07/15/12 Buy (0.73) 12/20/13 750 39 Merrill Lynch MDC Holdings Inc., 5.50%, 05/15/13 Buy (0.90) 12/20/11 750 10 Bank Of America Meadwestavaco Corp., 6.85%, 04/01/12 Buy (0.48) 12/20/11 750 19 Bank Of America MGIC Investment Corp., 6.00%, 11/01/15 Buy (0.35) 12/20/13 750 252 JPMorgan Chase Bank MGIC Investment Corp., 6.00%, 11/01/15 Buy (0.35) 12/20/13 750 213 JPMorgan Chase Bank Nordstrom Inc., 6.95%, 03/15/28 Buy (0.28) 12/20/13 750 19 Merrill Lynch Nordstrom Inc., 6.95%, 03/15/28 Buy (0.28) 12/20/13 750 19 Bank Of America Nucor Corp., 4.875%, 10/01/12 Buy (0.22) 12/20/11 750 23 JPMorgan Chase Bank Nucor Corp., 4.875%, 10/01/12 Buy (0.22) 12/20/11 750 10 Bank Of America Pitney Bowes Inc., 4.625%, 10/01/12 Buy (0.14) 12/20/11 1,500 18 JPMorgan Chase Bank PMI Group Inc., 6.00%, 09/15/16 Buy (0.35) 12/20/13 750 283 Bank Of America PMI Group Inc., 6.00%, 09/15/16 Buy (0.35) 12/20/13 750 282 JPMorgan Chase Bank PPG Industries Inc., 7.05%, 08/15/09 Buy (0.20) 12/20/11 750 12 JPMorgan Chase Bank Radian Group Inc., 7.75%, 06/01/11 Buy (0.39) 12/20/13 750 363 Bank Of America Radian Group Inc., 7.75%, 06/01/11 Buy (0.39) 12/20/13 750 395 Merrill Lynch RR Donnelley & Sons, 4.95%, 04/01/14 Buy (0.69) 12/20/11 750 17 Bank Of America Safeway Inc., 5.80%, 08/15/12 Buy (0.59) 03/20/13 1,250 1 JPMorgan Chase Bank Safeway Inc., 5.80%, 08/15/12 Buy (0.64) 03/20/13 1,250 (1) Bank Of America Southwest Airlines Co., 6.50%, 03/01/12 Buy (1.40) 06/20/13 750 2 Merrill Lynch Southwest Airlines Co., 6.50%, 03/01/12 Buy (0.27) 12/20/11 750 43 JPMorgan Chase Bank Southwest Airlines Co., 6.50%, 03/01/12 Buy (0.27) 12/20/11 750 43 Bank Of America The Limited Inc., 6.125%, 12/01/12 Buy (0.48) 12/20/11 750 46 Bank Of America TJX Companies Inc., 7.45%, 12/15/09 Buy (0.19) 12/20/11 750 4 JPMorgan Chase Bank Washington Mutual Co., 5.25%, 09/15/17 Buy (0.32) 03/20/12 700 244 Bank Of America Weyerhaeuser Company, 6.75%, 03/15/12 Buy (0.45) 12/20/11 350 11 Merrill Lynch Weyerhaeuser Company, 6.75%, 03/15/12 Buy (0.45) 03/20/12 750 27 JPMorgan Chase Bank Whirlpool Corp., 7.75%, 07/15/16 Buy (0.34) 12/20/11 750 28 Goldman Sachs Whirlpool Corp., 7.75%, 07/15/16 Buy (1.02) 09/20/13 1,000 5 ------ $2,961 ======
SEI Institutional Managed Trust / Annual Report / September 30, 2008 74 TOTAL RETURN SWAPS
NOTIONAL NET UNREALIZED REFERENCE TERMINATION AMOUNT DEPRECIATION COUNTERPARTY ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE ($ THOUSANDS) ($ THOUSANDS) - ------------ ----------------- -------------------------- -------------------- ----------- ------------- -------------- Bank Of America BAS AAA 10YR Negative Spread Return Initial Index Spread 10/01/08 $ 5,000 $ (383) CMBS Daily Index Plus 0 bps Bank Of America BAS AAA 10YR Negative Spread Return Initial Index Spread 10/31/08 18,000 (1,376) CMBS Daily Index Minus 10 bps Bank Of America BAS AAA 10YR Negative Spread Return Initial Index Spread 12/31/08 12,000 (918) CMBS Daily Index Minus 115 bps Bank Of America BAS AAA 10YR Negative Spread Return Initial Index Spread 01/30/09 13,000 (994) CMBS Daily Index Minus 95 bps JPMorgan Chase Bank BAS AAA 10YR Negative Spread Return Initial Index Spread 03/31/09 5,000 -- CMBS Daily Index Minus 150 bps JPMorgan Chase Bank BAS AAA 10YR Negative Spread Return Initial Index Spread 10/31/08 12,000 (918) CMBS Daily Index Minus 70 bps Merrill Lynch S&P 500 Total 3-Month LIBOR Minus 12 bps Price Return 12/25/08 23,344 (1,873) Return Index ------- $(6,462) =======
Percentages are based on Net Assets of $1,250,704 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) All or a portion of this security is held as collateral for securities sold short. The total value of collateral for securities sold short at September 30, 2008 was $543,973 ($ Thousands). (B) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2008. The coupon on a step bond changes on a specific date. (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2008. (D) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may not be sold to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (E) Security, or portion thereof has been pledged as collateral on open futures contracts. (F) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. ABS -- Asset-Based Security ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage Cl -- Class CMBS -- Commercial Mortgage-Backed Securities CMO -- Collateralized Mortgage Obligation FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only -- face amount represents notional amount LLC -- Limited Liability Company NIM -- Net Interest Margin Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflation Protected Security Amounts designated as "--" are $0 or rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 75 SCHEDULE OF INVESTMENTS S&P 500 Index Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Information Technology 14.1% Financials 13.9% Energy 11.8% Health Care 11.5% Affiliated Partnership 11.0% Consumer Staples 10.6% Industrials 9.7% Consumer Discretionary 7.5% Utilities 3.1% Materials 3.0% Telecommunication Services 2.7% Short-Term Investment 1.0% U.S. Treasury Obligation 0.1%
# Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK -- 98.7% CONSUMER DISCRETIONARY -- 8.4% Abercrombie & Fitch, Cl A 10,500 $ 414 Amazon.com* (A) 38,500 2,801 Apollo Group, Cl A* 13,203 783 Autonation* (A) 14,426 162 Autozone* 5,094 628 Bed Bath & Beyond* (A) 31,633 994 Best Buy (A) 42,841 1,607 Big Lots* (A) 10,813 301 Black & Decker 7,809 474 Carnival (A) 55,084 1,947 CBS, Cl B 85,601 1,248 Centex 16,644 270 Coach* 41,910 1,049 Comcast, Cl A 361,244 7,091 Darden Restaurants 17,613 504 Dillard's, Cl A (A) 8,405 99 DIRECTV Group* 71,800 1,879 DR Horton (A) 31,949 416 Eastman Kodak (A) 31,710 488 Expedia* 28,100 425 Family Dollar Stores (A) 16,422 389 Ford Motor* (A) 273,280 1,421 Fortune Brands 18,019 1,034 GameStop, Cl A* (A) 18,600 636 Gannett (A) 28,647 484 Gap 54,931 977 General Motors (A) 72,948 689 Genuine Parts 19,636 790 Goodyear Tire & Rubber* 31,593 484 H&R Block 40,904 931 Harley-Davidson (A) 29,008 1,082 Harman International Industries 7,900 269 Hasbro (A) 15,591 541 Home Depot (A) 209,664 5,428 International Game Technology 35,456 609 Interpublic Group* (A) 55,901 433 J.C. Penney 26,980 900
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Johnson Controls 73,657 $ 2,234 Jones Apparel Group 10,990 203 KB Home (A) 10,655 210 Kohl's* 37,947 1,749 Leggett & Platt (A) 19,654 428 Lennar, Cl A (A) 19,007 289 Limited Brands (A) 37,627 652 Liz Claiborne (A) 14,123 232 Lowe's 182,836 4,331 Macy's 51,464 925 Marriott International, Cl A (A) 37,940 990 Mattel 44,118 796 McDonald's 138,760 8,561 McGraw-Hill 40,521 1,281 Meredith (A) 5,363 150 New York Times, Cl A (A) 14,392 206 Newell Rubbermaid 33,247 574 News, Cl A 287,433 3,446 Nike, Cl B 47,194 3,157 Nordstrom (A) 21,002 605 Office Depot* 38,120 222 Omnicom Group (A) 39,604 1,527 Polo Ralph Lauren (A) 6,900 461 Pulte Homes 24,855 347 RadioShack (A) 14,825 256 Scripps Networks Interactive, Cl A 11,600 421 Sears Holdings* (A) 7,065 661 Sherwin-Williams (A) 11,816 675 Snap-On 6,653 350 Stanley Works 9,979 417 Staples 87,114 1,960 Starbucks* 89,658 1,334 Starwood Hotels & Resorts Worldwide 22,535 634 Target 93,119 4,567 Tiffany (A) 16,373 582 Time Warner (A) 442,214 5,797 TJX 52,567 1,604 VF 10,614 821 Viacom, Cl B* 78,601 1,952 Walt Disney (A) 232,327 7,130 Washington Post, Cl B 755 420 Whirlpool (A) 9,005 714 Wyndham Worldwide 20,602 324 Yum! Brands 58,770 1,916 ---------- 106,788 ---------- CONSUMER STAPLES -- 12.0% Altria Group 255,056 5,060 Anheuser-Busch 88,074 5,714 Archer-Daniels-Midland (A) 79,866 1,750 Avon Products 52,951 2,201 Brown-Forman, Cl B 10,076 724 Campbell Soup 26,275 1,014
SEI Institutional Managed Trust / Annual Report / September 30, 2008 76
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Clorox 16,642 $ 1,043 Coca-Cola (A) 244,896 12,950 Coca-Cola Enterprises 34,117 572 Colgate-Palmolive 62,493 4,709 ConAgra Foods 55,852 1,087 Constellation Brands, Cl A* (A) 23,000 494 Costco Wholesale 54,018 3,507 CVS Caremark 176,595 5,944 Dean Foods* 18,100 423 Estee Lauder, Cl A 13,800 689 General Mills 41,691 2,865 Hershey (A) 19,812 783 HJ Heinz 39,049 1,951 Kellogg 31,367 1,760 Kimberly-Clark 50,899 3,300 Kraft Foods, Cl A 185,098 6,062 Kroger 82,159 2,258 Lorillard 21,876 1,556 McCormick 15,461 594 Molson Coors Brewing, Cl B 18,746 876 Pepsi Bottling Group 15,936 465 PepsiCo 193,967 13,824 Philip Morris International 255,156 12,273 Procter & Gamble 374,176 26,076 Reynolds American 21,040 1,024 Safeway (A) 53,546 1,270 Sara Lee 86,687 1,095 SUPERVALU 25,297 549 SYSCO 74,620 2,301 Tyson Foods, Cl A 35,090 419 UST 18,640 1,240 Walgreen 123,744 3,831 Wal-Mart Stores 277,611 16,626 Whole Foods Market (A) 19,400 389 WM Wrigley Jr. 26,660 2,117 ------------ 153,385 ------------ ENERGY -- 13.2% Anadarko Petroleum 58,380 2,832 Apache 41,000 4,275 Baker Hughes 38,334 2,321 BJ Services 36,556 699 Cabot Oil & Gas 12,900 466 Cameron International* 27,300 1,052 Chesapeake Energy (A) 64,800 2,324 Chevron 253,297 20,892 ConocoPhillips 187,225 13,714 Consol Energy 22,600 1,037 Devon Energy 55,013 5,017 El Paso (A) 85,394 1,090 ENSCO International 17,500 1,009 EOG Resources 30,944 2,768 Exxon Mobil 640,736 49,760
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Halliburton 109,079 $ 3,533 Hess 35,075 2,879 Marathon Oil 88,356 3,523 Massey Energy 10,700 382 Murphy Oil (A) 23,563 1,511 Nabors Industries* 34,478 859 National Oilwell Varco* 51,768 2,600 Noble 33,242 1,459 Noble Energy 21,600 1,201 Occidental Petroleum 101,504 7,151 Peabody Energy 33,700 1,517 Pioneer Natural Resources (A) 14,800 774 Range Resources 19,700 845 Rowan (A) 13,097 400 Schlumberger 148,562 11,601 Smith International 26,000 1,525 Southwestern Energy* 42,300 1,292 Spectra Energy 75,061 1,786 Sunoco 15,357 546 Tesoro (A) 18,800 310 Transocean (A) 39,202 4,306 Valero Energy 65,608 1,988 Weatherford International* (A) 84,708 2,130 Williams 72,565 1,716 XTO Energy 66,918 3,113 ------------ 168,203 ------------ FINANCIALS -- 15.6% Aflac 59,208 3,478 Allstate (A) 67,059 3,093 American Capital (A) 25,100 640 American Express 142,815 5,060 American International Group (A) 332,371 1,107 Ameriprise Financial 26,884 1,027 AON 33,929 1,525 Apartment Investment & Management, Cl A+ (A) 10,325 362 Assurant 14,800 814 AvalonBay Communities+ (A) 9,300 915 Bank of America (A) 562,111 19,674 Bank of New York Mellon 140,986 4,593 BB&T (A) 67,697 2,559 Boston Properties+ (A) 14,600 1,367 Capital One Financial (A) 47,262 2,410 CB Richard Ellis Group, Cl A* (A) 22,000 294 Charles Schwab 115,527 3,004 Chubb 45,356 2,490 Cincinnati Financial 21,479 611 CIT Group (A) 32,508 226 Citigroup 672,946 13,802 CME Group 8,307 3,086 Comerica (A) 17,783 583 Developers Diversified Realty+ (A) 15,300 485
SEI Institutional Managed Trust / Annual Report / September 30, 2008 77 SCHEDULE OF INVESTMENTS S&P 500 Index Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Discover Financial Services (A) 55,530 $ 767 E*Trade Financial* (A) 59,539 167 Equity Residential+ (A) 34,040 1,512 Federated Investors, Cl B 9,945 287 Fifth Third Bancorp (A) 70,711 841 First Horizon National (A) 18,670 175 Franklin Resources 19,315 1,702 General Growth Properties+ (A) 26,700 403 Genworth Financial, Cl A 52,000 448 Goldman Sachs Group 53,952 6,906 Hartford Financial Services Group 36,986 1,516 HCP+ (A) 30,600 1,228 Host Hotels & Resorts+ 62,900 836 Hudson City Bancorp 63,200 1,166 Huntington Bancshares (A) 42,375 339 IntercontinentalExchange* 8,000 645 Invesco 47,500 997 Janus Capital Group 15,577 378 JPMorgan Chase 454,208 21,212 Keycorp (A) 58,183 695 Kimco Realty+ (A) 27,500 1,016 Legg Mason (A) 18,200 693 Leucadia National (A) 22,200 1,009 Lincoln National 31,998 1,370 Loews 44,849 1,771 M&T Bank (A) 8,661 773 Marsh & McLennan 63,450 2,015 Marshall & Ilsley (A) 33,170 668 MBIA (A) 24,727 294 Merrill Lynch 188,047 4,758 MetLife (A) 84,726 4,745 MGIC Investment (A) 12,095 85 Moody's (A) 25,508 867 Morgan Stanley 138,461 3,185 National City (A) 88,148 154 Northern Trust (A) 27,505 1,986 NYSE Euronext (A) 33,300 1,305 Plum Creek Timber+ (A) 21,435 1,069 PNC Financial Services Group (A) 43,083 3,218 Principal Financial Group (A) 32,548 1,416 Progressive 83,568 1,454 Prologis+ (A) 31,960 1,319 Prudential Financial 52,666 3,792 Public Storage+ 15,528 1,537 Regions Financial (A) 83,763 804 Simon Property Group+ (A) 27,909 2,707 SLM* (A) 56,343 695 Sovereign Bancorp (A) 55,244 218 State Street 53,191 3,026 SunTrust Banks (A) 43,496 1,957 T. Rowe Price Group (A) 32,108 1,725 Torchmark (A) 10,705 640 Travelers 72,732 3,287
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Unum Group (A) 42,352 $ 1,064 US Bancorp (A) 215,106 7,748 Vornado Realty Trust+ (A) 16,614 1,511 Wachovia (A) 266,660 933 Washington Mutual (A) 178,219 15 Wells Fargo 408,406 15,327 XL Capital, Cl A (A) 36,705 658 Zions Bancorporation (A) 12,560 486 ------------ 198,725 ------------ HEALTH CARE -- 12.9% Abbott Laboratories 190,568 10,973 Aetna 58,402 2,109 Allergan 38,166 1,966 AmerisourceBergen 18,496 696 Amgen* 130,193 7,717 Applied Biosystems 21,557 738 Barr Pharmaceuticals* 13,200 862 Baxter International 77,338 5,076 Becton Dickinson 30,362 2,437 Biogen Idec* (A) 36,300 1,826 Boston Scientific* 186,712 2,291 Bristol-Myers Squibb 244,101 5,090 C.R. Bard 12,488 1,185 Cardinal Health 44,355 2,186 Celgene* 56,600 3,582 Cigna 34,671 1,178 Coventry Health Care* 19,113 622 Covidien 62,282 3,348 DaVita* 13,100 747 Eli Lilly 122,130 5,377 Express Scripts* 31,152 2,300 Forest Laboratories* (A) 37,563 1,062 Genzyme* 33,232 2,688 Gilead Sciences* 113,676 5,181 Hospira* (A) 19,304 737 Humana* 21,197 873 IMS Health 23,295 441 Intuitive Surgical* 4,820 1,162 Johnson & Johnson 345,356 23,926 King Pharmaceuticals* (A) 33,586 322 Laboratory Corp of America Holdings* (A) 13,463 936 McKesson 34,369 1,849 Medco Health Solutions* 63,116 2,840 Medtronic 138,817 6,955 Merck 265,517 8,380 Millipore* 6,493 447 Mylan Laboratories* (A) 38,511 440 Patterson* (A) 10,500 319 PerkinElmer 13,740 343 Pfizer 832,504 15,351
SEI Institutional Managed Trust / Annual Report / September 30, 2008 78
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Quest Diagnostics 19,324 $ 998 Schering-Plough 202,372 3,738 St. Jude Medical* 41,994 1,826 Stryker 29,642 1,847 Tenet Healthcare* (A) 51,376 285 Thermo Fisher Scientific* (A) 52,143 2,868 UnitedHealth Group 150,747 3,827 Varian Medical Systems* 15,300 874 Waters* 11,497 669 Watson Pharmaceuticals* 14,171 404 WellPoint* 62,861 2,940 Wyeth 164,766 6,086 Zimmer Holdings* 27,455 1,772 ------------ 164,692 ------------ INDUSTRIALS -- 10.9% 3M 86,982 5,942 Allied Waste Industries* 39,742 442 Avery Dennison (A) 12,815 570 Boeing 91,632 5,255 Burlington Northern Santa Fe 34,824 3,219 C.H. Robinson Worldwide (A) 20,700 1,055 Caterpillar 75,697 4,512 Cintas 15,507 445 Cooper Industries, Cl A (A) 20,286 810 CSX 50,450 2,753 Cummins 25,440 1,112 Danaher 31,648 2,196 Deere (A) 52,202 2,584 Dover 23,837 967 Eaton 20,269 1,139 Emerson Electric 95,306 3,888 Equifax 16,725 576 Expeditors International of Washington 25,300 881 Fastenal (A) 16,000 790 FedEx (A) 38,605 3,051 Fluor 21,344 1,189 General Dynamics 49,026 3,609 General Electric 1,226,907 31,286 Goodrich 15,520 646 Honeywell International 92,655 3,850 Illinois Tool Works 49,324 2,192 Ingersoll-Rand, Cl A 37,888 1,181 ITT 22,100 1,229 Jacobs Engineering Group* 14,800 804 L-3 Communications Holdings 15,523 1,526 Lockheed Martin 40,894 4,485 Manitowoc 17,400 271 Masco (A) 45,368 814 Monster Worldwide* (A) 13,934 208 Norfolk Southern 46,826 3,100 Northrop Grumman 41,219 2,495
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- PACCAR 45,191 $ 1,726 Pall 14,395 495 Parker Hannifin 19,871 1,053 Pitney Bowes 25,075 834 Precision Castparts 17,100 1,347 Raytheon 51,068 2,733 Robert Half International (A) 20,327 503 Rockwell Automation 17,726 662 Rockwell Collins 18,778 903 RR Donnelley & Sons 26,311 645 Ryder System 7,254 450 Southwest Airlines (A) 90,049 1,307 Terex* 12,400 378 Textron 30,598 896 Tyco International 59,982 2,101 Union Pacific 63,594 4,526 United Parcel Service, Cl B 124,790 7,848 United Technologies 118,883 7,140 Waste Management 60,828 1,915 WW Grainger 8,165 710 ------------ 139,244 ------------ INFORMATION TECHNOLOGY -- 15.8% Adobe Systems* 66,236 2,614 Advanced Micro Devices* (A) 81,163 426 Affiliated Computer Services, Cl A* (A) 12,549 635 Agilent Technologies* 44,406 1,317 Akamai Technologies* 22,600 394 Altera (A) 36,151 748 Amphenol, Cl A 21,800 875 Analog Devices 36,499 962 Apple* 109,692 12,468 Applied Materials 168,850 2,555 Autodesk* 27,417 920 Automatic Data Processing 63,050 2,695 BMC Software* 22,849 654 Broadcom, Cl A* (A) 55,136 1,027 CA 47,527 949 Ciena* (A) 11,842 119 Cisco Systems* 728,063 16,425 Citrix Systems* 24,242 612 Cognizant Technology Solutions, Cl A* 36,300 829 Computer Sciences* 18,433 741 Compuware* 30,175 292 Convergys* 13,676 202 Corning 196,578 3,074 Dell* 216,874 3,574 eBay* 133,932 2,997 Electronic Arts* 38,378 1,420 EMC* (A) 258,040 3,086
SEI Institutional Managed Trust / Annual Report / September 30, 2008 79 SCHEDULE OF INVESTMENTS S&P 500 Index Fund (Concluded) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Fidelity National Information Services (A) 22,565 $ 417 Fiserv* 19,780 936 Google, Cl A* 29,516 11,822 Harris 16,600 767 Hewlett-Packard 303,252 14,022 Intel 695,994 13,036 International Business Machines 166,990 19,531 Intuit* 40,386 1,277 Jabil Circuit 25,679 245 JDS Uniphase* (A) 29,456 249 Juniper Networks* (A) 64,900 1,367 Kla-Tencor (A) 20,671 654 Lexmark International, Cl A* 10,239 333 Linear Technology (A) 27,894 855 LSI Logic* (A) 83,346 447 Mastercard, Cl A (A) 9,000 1,597 MEMC Electronic Materials* 28,000 791 Microchip Technology (A) 22,000 647 Micron Technology* (A) 88,969 360 Microsoft 968,262 25,843 Molex (A) 16,160 363 Motorola 280,506 2,004 National Semiconductor 24,137 415 NetApp* (A) 41,776 762 Novell* 46,989 242 Novellus Systems* (A) 9,327 183 Nvidia* 66,548 713 Oracle* 485,156 9,854 Paychex (A) 39,456 1,303 QLogic* (A) 17,648 271 Qualcomm 201,932 8,677 Salesforce.com* 12,800 620 SanDisk* (A) 26,400 516 Sun Microsystems* (A) 99,502 757 Symantec* 104,347 2,043 Tellabs* 44,199 179 Teradata* 21,268 415 Teradyne* 25,907 202 Texas Instruments 161,034 3,462 Total System Services 21,280 349 Tyco Electronics 59,182 1,637 Unisys* 47,795 131 VeriSign* (A) 24,500 639 Western Union 92,012 2,270 Xerox 110,936 1,279 Xilinx (A) 35,209 826 Yahoo!* 171,438 2,966 ------------ 200,884 ------------
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- MATERIALS -- 3.4% Air Products & Chemicals 26,126 $ 1,789 AK Steel Holding (A) 14,800 384 Alcoa (A) 101,535 2,293 Allegheny Technologies 12,459 368 Ashland 7,693 225 Ball 12,491 493 Bemis (A) 11,390 299 CF Industries Holdings 6,890 630 Dow Chemical 113,675 3,613 E.I. Du Pont de Nemours 110,935 4,471 Eastman Chemical (A) 9,008 496 Ecolab 21,430 1,040 Freeport-McMoRan Copper & Gold, Cl B (A) 47,868 2,721 Hercules 16,107 319 International Flavors & Fragrances 10,594 418 International Paper 52,070 1,363 MeadWestvaco (A) 22,415 522 Monsanto 67,848 6,716 Newmont Mining (A) 56,408 2,186 Nucor 38,882 1,536 Pactiv* 15,287 380 PPG Industries 19,945 1,163 Praxair 38,999 2,798 Rohm & Haas 15,722 1,101 Sealed Air (A) 18,828 414 Sigma-Aldrich 15,536 814 Titanium Metals (A) 12,100 137 United States Steel 14,626 1,135 Vulcan Materials (A) 13,949 1,039 Weyerhaeuser (A) 25,888 1,568 ------------ 42,431 ------------ TELECOMMUNICATION SERVICES -- 3.0% American Tower, Cl A* 49,200 1,770 AT&T 726,558 20,286 CenturyTel 13,260 486 Embarq (A) 17,686 717 Frontier Communications 38,531 443 Qwest Communications International (A) 182,326 589 Sprint Nextel (A) 355,122 2,166 Verizon Communications 352,422 11,309 Windstream 58,746 643 ------------ 38,409 ------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 80
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- UTILITIES -- 3.5% AES* 82,590 $ 965 Allegheny Energy (A) 20,468 753 Ameren (A) 25,344 989 American Electric Power 49,715 1,841 Centerpoint Energy 39,168 571 CMS Energy (A) 30,792 384 Consolidated Edison (A) 32,433 1,393 Constellation Energy Group 21,999 535 Dominion Resources 72,040 3,082 DTE Energy (A) 19,545 784 Duke Energy 157,322 2,742 Dynegy, Cl A* 56,489 202 Edison International 41,153 1,642 Entergy 23,764 2,115 Exelon 80,854 5,063 FirstEnergy 37,887 2,538 FPL Group 50,820 2,556 Integrys Energy Group 8,934 446 Nicor (A) 6,125 272 NiSource 30,079 444 Pepco Holdings 26,800 614 PG&E 44,229 1,656 Pinnacle West Capital (A) 11,749 404 PPL 46,271 1,713 Progress Energy 31,183 1,345 Public Service Enterprise Group 63,230 2,073 Questar 21,300 872 Sempra Energy 30,965 1,564 Southern (A) 95,635 3,604 TECO Energy 24,512 387 Xcel Energy (A) 52,819 1,055 ------------ 44,604 ------------ Total Common Stock (Cost $723,472) ($ Thousands) 1,257,365 ------------ AFFILIATED PARTNERSHIP -- 12.4% SEI Liquidity Fund, L.P., 2.590%**++ (B) 160,665,938 157,766 ------------ Total Affiliated Partnership (Cost $160,666) ($ Thousands) 157,766 ------------ CASH EQUIVALENT -- 1.0% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 13,131,811 13,132 ------------ Total Cash Equivalent (Cost $13,132) ($ Thousands) 13,132 ------------
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- U.S. TREASURY OBLIGATION --0.1% U.S. Treasury Bills 1.657%, 12/11/08 (C) (D) $ 1,358 $ 1,356 ------------ Total U.S. Treasury Obligation (Cost $1,354) ($ Thousands) 1,356 ------------ Total Investments -- 112.2% (Cost $898,624) ($ Thousands) $ 1,429,619 ============
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- ------------- S&P 500 Index E-MINI 366 Dec-2008 $(1,666) =======
Percentages are based on Net Assets of $1,274,051 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) This Security or a partial position of this security is on loan at September 30, 2008 (see Note 7). The total market value of securities on loan at September 30, 2008 was $164,681 ($ Thousands). (B) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2008 was $157,766 ($ Thousands). (C) The rate reported is the effective yield at time of purchase. (D) Security, or portion thereof, has been pledged as collateral on open futures contracts. Cl -- Class L.P. -- Limited Partnership The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 81 SCHEDULE OF INVESTMENTS Small Cap Value Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Affilated Partnership 23.9% Financials 23.0% Information Technology 11.8% Industrials 11.0% Consumer Discretionary 8.4% Health Care 5.1% Energy 3.8% Consumer Staples 3.6% Materials 3.4% Utilities 2.7% Short-Term Investments 2.7% U.S. Treasury Obligation 0.3% Telecommunication Services 0.2% Exchange Traded Fund 0.1%
# Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK@ -- 97.0% CONSUMER DISCRETIONARY -- 11.2% Advance Auto Parts 35,200 $ 1,396 American Axle & Manufacturing Holdings (A) 99,667 534 American Greetings, Cl A (A) 44,900 687 Ameristar Casinos (A) 74,600 1,059 AnnTaylor Stores* 109,100 2,252 Arctic Cat 43,600 399 ArvinMeritor (A) 88,400 1,153 ATC Technology* (A) 45,888 1,089 Bebe Stores (A) 56,756 555 Belo, Cl A 346,894 2,067 Big 5 Sporting Goods 54,100 558 Blyth 25,900 294 Bob Evans Farms (A) 16,300 445 Brown Shoe 53,200 871 Cache* 11,000 76 Callaway Golf (A) 42,700 601 Carrols Restaurant Group* 111,500 335 Carter's* 87,300 1,722 Casual Male Retail Group* 186,180 732 Cato, Cl A 59,500 1,044 CBRL Group (A) 22,200 584 CEC Entertainment* (A) 20,600 684 Childrens Place Retail Stores* 16,900 564 Collective Brands* (A) 130,100 2,382 Columbia Sportswear (A) 37,000 1,553 Cooper Tire & Rubber (A) 87,268 751 Corinthian Colleges* (A) 111,600 1,674 Cox Radio, Cl A* (A) 35,900 379 Dress Barn* (A) 51,100 781
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- DSW, Cl A* (A) 120,098 $ 1,645 Einstein Noah Restaurant Group* 14,700 148 Ethan Allen Interiors (A) 130,025 3,643 EW Scripps, Cl A (A) 65,800 465 Finish Line, Cl A 1 -- Foot Locker 34,400 556 Fossil* 56,800 1,603 Genesco* (A) 30,748 1,029 Group 1 Automotive (A) 11,000 239 Gymboree* 5,700 202 Harte-Hanks (A) 43,000 446 Helen of Troy* 17,000 387 International Speedway, Cl A 35,600 1,385 Jack in the Box* (A) 58,400 1,232 Jackson Hewitt Tax Service (A) 17,200 264 Jakks Pacific* (A) 50,900 1,268 Jarden* (A) 38,086 893 Jo-Ann Stores* 5,000 105 Jones Apparel Group 52,100 964 Journal Communications, Cl A 107,100 523 Lakeland Industries* 86,510 1,116 Landry's Restaurants 1,800 28 Leapfrog Enterprises* (A) 149,853 1,582 Lear* 43,900 461 Lee Enterprises 101,000 354 Lennar, Cl A (A) 95,400 1,449 Libbey 169,100 1,439 Lifetime Brands 168,000 1,638 Lions Gate Entertainment* (A) 151,100 1,375 LKQ* 87,237 1,480 Marriott International, Cl A 34,300 895 Marvel Entertainment* (A) 48,300 1,649 MDC Partners, Cl A* 473,770 3,184 Media General, Cl A (A) 11,100 138 Men's Wearhouse (A) 88,455 1,879 Meredith (A) 77,100 2,162 Modine Manufacturing (A) 99,200 1,436 Morgans Hotel Group* (A) 36,078 394 Nautilus (A) 18,400 84 New Frontier Media 100,200 238 New York* (A) 50,000 477 O'Charleys 36,300 318 OfficeMax (A) 69,200 615 Orient-Express Hotels, Cl A (A) 41,948 1,012 Pacific Sunwear of California* 97,912 659 PC Mall* 8,200 56 Perry Ellis International* 44,950 670 Polaris Industries (A) 21,800 992 Princeton Review* 62,372 499 Quiksilver* 255,400 1,466 Regis 39,565 1,088 Rent-A-Center* 228,300 5,087 Ruby Tuesday* (A) 52,100 302
SEI Institutional Managed Trust / Annual Report / September 30, 2008 82
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Russ Berrie* (A) 15,500 $ 119 Sally Beauty Holdings* (A) 31,862 274 Scholastic 81,000 2,080 Scientific Games, Cl A* (A) 82,248 1,893 Shoe Carnival* 20,000 328 Sinclair Broadcast Group, Cl A (A) 68,900 347 Skechers U.S.A., Cl A* 9,900 167 Smith & Wesson Holding* 72,700 272 Sonic Automotive, Cl A (A) 36,400 308 Speedway Motorsports (A) 9,800 191 Stage Stores 73,700 1,007 Steven Madden* (A) 27,300 676 Stoneridge* 21,200 239 Tempur-Pedic International (A) 136,316 1,603 Thor Industries (A) 71,600 1,777 Trans World Entertainment* 56,100 159 Valassis Communications* (A) 157,400 1,363 Warner Music Group (A) 235,000 1,786 World Wrestling Entertainment, Cl A (A) 37,600 581 ------------ 95,610 ------------ CONSUMER STAPLES -- 4.8% Alliance One International* 643,690 2,446 BJ's Wholesale Club* (A) 33,500 1,302 Casey's General Stores 17,930 541 Central Garden and Pet, Cl A* (A) 63,010 375 Central Garden and Pet* 73,557 433 Chattem* (A) 28,600 2,236 Constellation Brands, Cl A* (A) 66,800 1,434 Corn Products International 27,059 873 Dean Foods* 90,953 2,125 Del Monte Foods 407,366 3,177 Fresh Del Monte Produce* 18,900 420 Hain Celestial Group* (A) 148,600 4,091 Lancaster Colony 5,900 222 Molson Coors Brewing, Cl B 34,500 1,613 Nash Finch (A) 34,064 1,469 Pantry* (A) 59,993 1,271 Ralcorp Holdings* 57,494 3,876 Ruddick 75,238 2,441 Sanderson Farms (A) 97,825 3,594 Spartan Stores (A) 105,400 2,622 TreeHouse Foods* (A) 37,800 1,123 Universal (A) 55,200 2,710 Weis Markets 21,000 756 ---------- 41,150 ---------- ENERGY -- 5.0% Allis-Chalmers Energy* (A) 62,000 784 Alon USA Energy (A) 27,700 373 American Oil & Gas* 72,300 189 Approach Resources* 98,950 1,431
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Atlas America 51,263 $ 1,748 Berry Petroleum, Cl A (A) 67,614 2,619 Cal Dive International* (A) 228,587 2,423 Clayton Williams Energy* 1,000 71 Complete Production Services* 64,500 1,298 Delek US Holdings 145,000 1,344 Delta Petroleum* (A) 72,700 987 DHT Maritime 105,800 710 Dresser-Rand Group* 50,000 1,574 Geokinetics* 23,300 443 GeoMet* 152,700 831 Global Industries* (A) 154,400 1,072 GMX Resources* (A) 18,300 875 Grey Wolf* (A) 447,000 3,478 Hercules Offshore* 37,000 561 Holly 120,200 3,475 ION Geophysical* (A) 144,900 2,056 Lufkin Industries 12,600 1,000 Natural Gas Services Group* 18,600 325 North American Energy Partners* 93,862 973 Oil States International* (A) 10,100 357 Overseas Shipholding Group 10,900 636 Parker Drilling* (A) 205,200 1,646 Pioneer Drilling* 40,100 533 Rosetta Resources* 6,845 126 RPC 98,900 1,391 SEACOR Holdings* (A) 13,100 1,034 Smith International 2 -- Stone Energy* 21,400 906 Swift Energy* (A) 105,471 4,081 Teekay Tankers, Cl A (A) 14,600 247 Tesoro (A) 17,000 280 Tetra Technologies* 102,800 1,424 ------------ 43,301 ------------ FINANCIALS -- 30.5% 1st Source (A) 13,400 315 Acadia Realty Trust+ 11,800 298 Advance America Cash Advance Centers 46,700 140 Advanta, Cl B 31,500 259 Agree Realty+ (A) 8,900 255 AMB Property+ (A) 85,100 3,855 Amcore Financial 20,662 191 American Equity Investment Life Holding (A) 60,561 454 American Physicians Capital 13,700 580 Amtrust Financial Services 39,900 542 Annaly Capital Management+ (A) 30,300 408 Anthracite Capital+ (A) 146,800 787 Anworth Mortgage Asset+ 96,200 570 Apollo Investment* 43,200 737 Ares Capital 58,800 613
SEI Institutional Managed Trust / Annual Report / September 30, 2008 83 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Ashford Hospitality Trust+ 45,300 $ 183 Aspen Insurance Holdings (A) 90,200 2,481 Associated Estates Realty+ 26,700 348 Assured Guaranty (A) 65,900 1,072 Astoria Financial 102,700 2,129 Banco Latinoamericano de Exportaciones, Cl E 45,500 656 Bancorp Rhode Island 6,400 184 Bancorpsouth (A) 59,832 1,683 Bank Mutual (A) 161,980 1,838 BankFinancial 7,800 115 Berkshire Hills Bancorp (A) 47,200 1,510 BioMed Realty Trust+ 6,300 167 Boston Private Financial Holdings (A) 33,700 295 Boston Properties+ (A) 20,200 1,892 British Land (United Kingdom)+ 129,399 1,717 British Land+ 20,530 273 Brookfield Asset Management, Cl A 60,000 1,646 Brookfield Properties 22,800 361 Camden Property Trust+ (A) 43,271 1,984 CapLease+ (A) 194,700 1,544 Capstead Mortgage+ (A) 153,300 1,679 Cardinal Financial 124,271 1,004 Care Investment Trust+ 2,300 26 Cash America International 25,800 930 Cathay General Bancorp (A) 41,546 989 CBL & Associates Properties+ (A) 74,766 1,501 Cedar Shopping Centers+ (A) 44,600 590 Central Pacific Financial (A) 45,700 768 Chemical Financial (A) 48,100 1,498 Citizens Republic Bancorp (A) 61,236 189 City Bank 15,200 237 City Holding 33,700 1,424 CNA Surety* 35,700 596 Colonial BancGroup (A) 192,591 1,514 Columbia Banking System 23,400 415 Commerce Bancshares 22,070 1,024 Community Bank System 24,300 611 Community Trust Bancorp 6,500 224 CompuCredit* 14,800 58 Cousins Properties+ (A) 77,400 1,953 CVB Financial (A) 80,900 1,125 Danvers Bancorp 86,600 1,104 Dawnay Day Sirius (United Kingdom) 405,932 285 Dawnay Day Treveria (United Kingdom) 471,407 61 Delphi Financial Group, Cl A 40,900 1,147 Dime Community Bancshares 26,900 409 Doral Financial* 18,500 202 Douglas Emmett+ 136,500 3,149 Duke Realty+ (A) 113,100 2,780 East West Bancorp (A) 73,500 1,007 Education Realty Trust+ 134,271 1,488 Employers Holdings 102,880 1,788
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Encore Bancshares* 31,540 $ 568 Endurance Specialty Holdings (A) 29,049 898 Entertainment Properties Trust+ (A) 18,600 1,018 Equity One+ (A) 48,065 985 Equity Residential+ (A) 164,000 7,283 ESSA Bancorp 45,100 627 Farmers Capital Bank 3,200 86 FBL Financial Group, Cl A 16,300 455 Federal Agricultural Mortgage, Cl C 7,200 30 Federated Investors, Cl B (A) 33,303 961 Financial Federal (A) 28,800 660 First American 94,800 2,797 First Bancorp (A) 49,500 547 First Commonwealth Financial 49,800 671 First Community Bancshares (A) 7,300 274 First Financial (A) 5,400 254 First Financial Bancorp (A) 184,032 2,687 First Financial Bankshares 600 31 First Financial Holdings 6,600 173 First Industrial Realty Trust+ (A) 10,500 301 First Merchants (A) 19,200 438 First Midwest Bancorp (A) 66,600 1,614 First Niagara Financial Group (A) 186,500 2,937 First Place Financial 4,900 63 FirstFed Financial* (A) 56,800 445 FirstMerit (A) 142,156 2,985 Flagstar Bancorp (A) 124,100 370 Flushing Financial (A) 67,000 1,173 FNB (Pennsylvania) 9,900 158 Forest City Enterprises, Cl A (A) 101,400 3,110 Fpic Insurance Group* (A) 16,800 863 Frontier Financial 14,400 193 General Growth Properties+ (A) 290,070 4,380 Getty Realty+ 9,300 206 Glacier Bancorp 32,600 808 Green Bankshares (A) 29,600 696 Guaranty Bancorp* 14,500 88 Guaranty Financial Group* 43,300 171 Hallmark Financial Services* 12,600 115 Hammerson (United Kingdom)+ 71,891 1,244 Hancock Holding (A) 21,664 1,105 Hanmi Financial (A) 117,300 592 Hanover Insurance Group 52,200 2,376 Harleysville National 13,200 224 Hatteras Financial+ 71,600 1,661 Heartland Financial USA (A) 1,800 45 Hercules Technology Growth Capital 7,900 77 Hersha Hospitality Trust+ 139,200 1,036 Highwoods Properties+ 24,400 868 Hilb Rogal & Hobbs 74,300 3,473 Home Bancshares 6,300 163 Home Federal Bancorp 45,560 581 Horace Mann Educators 60,854 783 Host Hotels & Resorts+ (A) 559,855 7,440
SEI Institutional Managed Trust / Annual Report / September 30, 2008 84
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- HRPT Properties Trust+ (A) 137,600 $ 948 Independent Bank 12,000 374 Infinity Property & Casualty (A) 42,194 1,738 International Bancshares 13,800 373 Investors Bancorp* 47,500 715 IPC Holdings (A) 45,900 1,387 Irwin Financial (A) 29,800 118 Kimco Realty+ (A) 219,800 8,119 Knight Capital Group, Cl A* (A) 28,100 418 LaBranche* (A) 55,800 251 Lakeland Bancorp 16,800 196 Lakeland Financial 8,900 195 LaSalle Hotel Properties+ 25,900 604 Lexington Realty Trust+ (A) 46,400 799 Liberty Property Trust+ (A) 33,200 1,250 MainSource Financial Group (A) 37,200 729 Max Capital Group (A) 56,600 1,315 MB Financial 13,700 453 Meadowbrook Insurance Group 268,080 1,893 Medical Properties Trust+ 44,800 508 MFA Mortgage Investments+ 665,591 4,326 Mid-America Apartment Communities+ 19,037 935 Mission West Properties+ 5,000 49 Montpelier Re Holdings (A) 65,500 1,081 Nara Bancorp 18,100 203 National Financial Partners 11,800 177 National Penn Bancshares 19,500 285 National Retail Properties+ (A) 54,300 1,300 Navigators Group* 31,352 1,818 NBT Bancorp 84,900 2,540 Nelnet, Cl A 100,000 1,420 New York Community Bancorp 19,100 321 NewAlliance Bancshares 139,127 2,091 NorthStar Realty Finance+ (A) 69,200 536 Northwest Bancorp 21,800 600 OceanFirst Financial 20,600 373 Odyssey Re Holdings (A) 29,400 1,288 Old National Bancorp 36,600 733 Old Second Bancorp 13,600 252 One Liberty Properties+ 12,900 228 Oriental Financial Group (A) 97,400 1,740 Pacific Capital Bancorp 12,400 252 PacWest Bancorp (A) 53,400 1,527 Park National 6,600 515 Parkway Properties+ 16,700 632 PennantPark Investment 92,902 688 Pennsylvania Real Estate Investment Trust+ (A) 19,200 362 Peoples Bancorp (A) 7,000 152 PHH* (A) 193,622 2,573 Pico Holdings* (A) 20,500 736 Piper Jaffray* 8,885 384 Platinum Underwriters Holdings (A) 151,456 5,374
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- PMI Group 51,300 $ 151 Presidential Life 31,600 499 ProAssurance* (A) 35,105 1,966 Prologis+ (A) 59,300 2,447 Prosperity Bancshares 23,300 792 Provident Bankshares (A) 153,600 1,491 Provident Financial Services 61,000 1,007 Provident New York Bancorp 29,500 390 PS Business Parks+ 20,999 1,210 Rainier Pacific Financial Group 12,383 54 RAIT Financial Trust+ (A) 29,400 161 RenaissanceRe Holdings 20,000 1,040 Renasant 33,100 719 Republic Bancorp, Cl A (A) 30,700 931 Resource Capital+ (A) 47,400 287 RLI (A) 7,100 441 S&T Bancorp (A) 36,500 1,344 Safety Insurance Group 18,200 690 Sanders Morris Harris Group (A) 14,000 121 Sandy Spring Bancorp (A) 29,800 659 Santander BanCorp (A) 82,300 889 Saul Centers+ (A) 17,700 895 SCBT Financial (A) 9,500 357 SeaBright Insurance Holdings* 22,300 290 Selective Insurance Group (A) 64,900 1,488 Signature Bank NY* (A) 57,260 1,997 Simmons First National, Cl A 5,600 199 Simon Property Group+ (A) 69,200 6,712 Smithtown Bancorp (A) 4,200 95 South Financial Group (A) 98,793 724 Southside Bancshares (A) 19,150 483 Southwest Bancorp 9,300 164 Sterling Bancorp, Cl N 14,000 202 Sterling Bancshares (A) 139,227 1,455 Sterling Financial 30,000 435 Stewart Information Services (A) 99,700 2,966 Stifel Financial* (A) 16,100 803 Student Loan 7,000 651 Suffolk Bancorp 4,000 158 Sun Communities+ 59,700 1,183 Sunstone Hotel Investors+ (A) 48,300 652 Superior Bancorp* (A) 20,647 174 Susquehanna Bancshares 16,400 320 SVB Financial Group* 13,300 770 SWS Group 29,600 597 SY Bancorp 4,500 138 TCF Financial (A) 119,927 2,159 Thomas Properties Group 60,200 608 Tompkins Financial (A) 9,300 470 TradeStation Group* 71,400 668 Trustco Bank NY 46,100 540 Trustmark 4,000 83 UCBH Holdings (A) 122,400 785 UMB Financial 16,500 867
SEI Institutional Managed Trust / Annual Report / September 30, 2008 85 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Umpqua Holdings 35,200 $ 518 Unibail (France)+ 10,016 1,999 United Bankshares (A) 43,922 1,537 United Financial Bancorp 83,056 1,233 U-Store-It Trust+ 51,200 628 Validus Holdings 41,600 967 Verde Realty PIPE* (B) (G) 21,100 696 ViewPoint Financial Group 23,700 415 Virginia Commerce Bancorp* (A) 11,800 74 Vornado Realty Trust+ (A) 37,900 3,447 Washington Real Estate Investment Trust+ (A) 28,500 1,044 Webster Financial 40,636 1,026 WesBanco (A) 55,700 1,483 Westamerica Bancorporation 5,800 334 Western Alliance Bancorp* (A) 6,800 105 Westfield Financial 104,900 1,080 Whitney Holding (A) 43,700 1,060 Wilshire Bancorp (A) 55,000 669 Wintrust Financial (A) 63,265 1,857 WR Berkley 37,837 891 WSFS Financial 30,017 1,801 Zenith National Insurance 101,100 3,704 Zions Bancorporation (A) 25,209 976 ------------ 260,439 ------------ HEALTH CARE -- 6.8% Accelrys* 192,400 1,056 Advanced Medical Optics* (A) 116,500 2,071 Albany Molecular Research* 17,600 318 Amedisys* (A) 38,500 1,874 America Service Group* 9,200 88 American Dental Partners* 21,099 247 AMN Healthcare Services* 141,900 2,493 Amsurg* 53,662 1,367 Apria Healthcare Group* 51,300 936 Brookdale Senior Living (A) 76,000 1,671 Cambrex* (A) 323,820 1,991 Cardiac Science* 12,600 131 Celera* 86,000 1,329 Centene* (A) 34,400 706 Chemed (A) 41,900 1,720 Community Health Systems* 55,500 1,627 Conmed* 91,672 2,934 Cooper (A) 158,835 5,521 Cross Country Healthcare* 151,000 2,460 Discovery Laboratories* (A) 95,900 179 Emergency Medical Services, Cl A* (A) 19,300 577 Emergent Biosolutions* (A) 15,200 199 Gentiva Health Services* 4,100 110 Greatbatch* 26,700 655
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Health Management Associates, Cl A* 131,100 $ 545 Health Net* 78,600 1,855 Healthspring* 66,000 1,397 Hill-Rom Holdings (A) 53,100 1,609 ICU Medical* 40,894 1,244 IMS Health 56,100 1,061 Kindred Healthcare* 20,800 573 LCA-Vision (A) 34,600 161 Life Sciences Research* 10,500 368 LifePoint Hospitals* (A) 67,466 2,168 Magellan Health Services* 20,799 854 Medical Staffing Network Holdings* 125,100 206 Myriad Genetics* (A) 11,200 727 National Dentex* 29,200 178 NovaMed* 80,160 380 Owens & Minor (A) 19,200 931 Par Pharmaceutical* 26,300 323 Pediatrix Medical Group* 21,856 1,178 Pharmacopeia* 115,450 172 PharMerica* (A) 68,200 1,534 Providence Service* 89,810 880 PSS World Medical* (A) 49,836 972 Res-Care* 36,174 656 Sciele Pharma (A) 25,800 794 Sirona Dental Systems* (A) 4,100 95 Skilled Healthcare Group, Cl A* 41,700 663 Sun Healthcare Group* 72,924 1,069 Sunrise Senior Living* (A) 40,900 564 Symmetry Medical* 83,300 1,546 Varian* 15,900 682 Viropharma* 27,100 356 ------------ 58,001 ------------ INDUSTRIALS -- 14.5% ABM Industries 65,100 1,422 ACCO Brands* 29,700 224 Actuant, Cl A (A) 17,700 447 Acuity Brands (A) 76,700 3,203 Airtran Holdings* 75,900 184 Alamo Group 8,900 152 Alaska Air Group* 23,700 483 Albany International, Cl A (A) 39,600 1,082 American Railcar Industries (A) 17,500 281 American Woodmark (A) 13,400 301 Ampco-Pittsburgh 13,400 347 AO Smith (A) 44,800 1,756 Apogee Enterprises 16,100 242 Applied Industrial Technologies 18,425 496 Applied Signal Technology 6,400 111 Arkansas Best (A) 84,900 2,860 Astec Industries* (A) 38,600 1,190
SEI Institutional Managed Trust / Annual Report / September 30, 2008 86
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Avis Budget Group* (A) 138,010 $ 792 Barnes Group 31,100 629 BE Aerospace* 87,098 1,379 Beacon Roofing Supply* 16,700 261 Belden (A) 38,162 1,213 Bowne 30,200 349 Brady, Cl A (A) 51,217 1,807 Briggs & Stratton 19,700 319 Brink's 60,600 3,698 CAI International* 18,600 206 Ceradyne* 16,700 612 CIRCOR International 9,900 430 Columbus McKinnon* 23,200 547 Comfort Systems USA (A) 87,400 1,168 Con-way (A) 64,900 2,863 Courier 51,060 1,040 CRA International* 7,200 198 Crane 68,200 2,026 Cubic 14,500 356 Curtiss-Wright 24,700 1,123 Danaos (A) 41,100 610 Deluxe (A) 122,500 1,763 Diamond Management & Technology Consultants 133,700 627 Ducommun 5,800 139 Dycom Industries* (A) 143,000 1,862 EMCOR Group* (A) 76,400 2,011 EnPro Industries* (A) 54,300 2,017 ESCO Technologies* 29,800 1,435 Federal Signal (A) 96,885 1,327 G&K Services (A) 33,213 1,098 Gardner Denver* 33,190 1,152 GATX (A) 21,600 855 Genco Shipping & Trading 6,000 199 Geo Group* (A) 68,000 1,374 Gibraltar Industries 42,200 790 GrafTech International* 35,900 542 Granite Construction (A) 67,800 2,429 Greenbrier (A) 6,900 134 Griffon* (A) 9,900 89 Hawaiian Holdings* (A) 54,900 509 Hubbell, Cl B 41,400 1,451 Hudson Highland Group* 129,600 901 ICF International* 97,000 1,916 IDEX 39,047 1,211 IKON Office Solutions (A) 92,200 1,568 Insteel Industries 12,100 164 Interface, Cl A 35,853 408 Kadant* 39,315 895 Kansas City Southern* 18,884 838 Kaydon (A) 30,984 1,396 KBR 67,600 1,032 Kelly Services, Cl A 19,700 375
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Kforce* 161,200 $ 1,646 Knoll 30,300 458 Korn/Ferry International* (A) 95,400 1,700 Ladish* (A) 82,600 1,673 LECG* 92,500 746 Lennox International 15,000 499 Lydall* 6,000 58 MasTec* 35,400 470 Mcgrath Rentcorp 1,200 35 Mesa Air Group* (A) 56,600 19 Michael Baker* 14,600 508 Milacron* (A) 27,343 29 Mine Safety Appliances (A) 33,500 1,277 MPS Group* 175,500 1,769 Mueller Industries 33,200 764 NACCO Industries, Cl A 6,100 577 Navistar International* 13,000 704 NCI Building Systems* (A) 16,800 533 NN 32,400 416 Orbital Sciences* (A) 98,100 2,351 Oshkosh Truck 127,272 1,675 Pacer International (A) 93,200 1,535 Pall 73,800 2,538 Paragon Shipping, Cl A 34,100 291 Park-Ohio Holdings* 8,100 145 Perini* (A) 26,800 691 Quanex Building Products (A) 128,675 1,961 Regal-Beloit 47,600 2,024 Republic Airways Holdings* (A) 91,800 935 Robbins & Myers 7,300 226 Rollins (A) 116,500 2,211 RSC Holdings* (A) 61,700 701 Ryder System (A) 40,500 2,511 Saia* 8,900 118 School Specialty* (A) 88,233 2,752 Skywest (A) 71,600 1,144 Spherion* 99,700 486 Steelcase, Cl A 62,200 669 Tecumseh Products, Cl A* 64,000 1,603 Teledyne Technologies* (A) 44,300 2,532 Teleflex 15,267 969 Tetra Tech* (A) 13,017 313 Textainer Group Holdings (A) 29,400 447 Trimas* 28,000 184 Triumph Group (A) 21,695 992 TrueBlue* (A) 67,200 1,086 Ultrapetrol Bahamas* 3,600 28 United Rentals* (A) 11,221 171 United Stationers* (A) 29,200 1,397 Wabash National (A) 80,900 765 Waste Connections* (A) 59,100 2,027 Waste Services* 16,100 119 Watson Wyatt Worldwide, Cl A 33,300 1,656
SEI Institutional Managed Trust / Annual Report / September 30, 2008 87 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - -------------------------------------------- ------------- ------------- Watts Water Technologies, Cl A (A) 32,845 $ 898 WESCO International* (A) 42,157 1,357 YRC Worldwide* (A) 24,900 298 ------------ 124,601 ------------ INFORMATION TECHNOLOGY -- 15.7% 3Com* 226,700 528 Actel* 70,100 875 Actuate* 171,210 599 Acxiom 152,500 1,912 Airvana* (A) 21,000 124 Alliance Semiconductor 199,300 149 Amkor Technology* 149,100 950 Applied Micro Circuits* 174,125 1,041 ARM Holdings ADR (A) 293,800 1,528 Arris Group* (A) 462,750 3,577 ATMI* 65,100 1,170 Avanex* (A) 38,720 181 Avocent* 81,910 1,676 Axesstel* 314,380 211 BearingPoint* (A) 263,600 137 Benchmark Electronics* (A) 188,000 2,647 Black Box 46,917 1,620 Blackboard* (A) 15,800 637 Broadridge Financial Solutions 108,700 1,673 Brocade Communications Systems* 476,300 2,772 CACI International, Cl A* 102,469 5,134 Ciber* 93,000 650 Ciena* 43,100 434 Cognex (A) 52,300 1,054 Coherent* 48,391 1,720 Comverse Technology* 171,500 1,641 Convergys* 146,600 2,167 CPI International* 29,200 423 CSG Systems International* 117,000 2,051 CTS (A) 115,000 1,470 Cymer* (A) 57,700 1,462 Diebold 38,815 1,285 Digi International* 78,300 799 DSP Group* 45,600 349 Earthlink* (A) 249,300 2,119 Emulex* 133,273 1,422 Entegris* (A) 188,060 910 Fair Isaac (A) 130,300 3,003 Forrester Research* (A) 36,100 1,058 Global Cash Access Holdings* (A) 80,900 409 Ikanos Communications* (A) 174,800 346 Imation (A) 91,000 2,056 Intersil, Cl A 35,500 589 Intevac* 80,100 852 Jack Henry & Associates (A) 22,000 447 JDA Software Group* 22,500 342 JDS Uniphase* (A) 139,550 1,181
Market Value Description Shares ($ Thousands) - -------------------------------------------- ------------- ------------- Kemet* (A) 87,300 $ 119 Kenexa* 10,700 169 Keynote Systems* 105,800 1,402 Lawson Software* (A) 682,228 4,776 LeCroy* (A) 38,900 299 Lionbridge Technologies* 46,600 114 Littelfuse* 50,537 1,502 LTX-Credence* (A) 263,800 459 Manhattan Associates* 87,600 1,957 MAXIMUS (A) 63,100 2,325 Maxwell Technologies* (A) 26,400 352 Mentor Graphics* (A) 72,100 818 Mercury Computer Systems* 138,400 1,232 Merrimac Industries* 25,000 136 Methode Electronics 106,200 949 Micrel (A) 68,100 618 MicroStrategy, Cl A* 31,500 1,875 MKS Instruments* 49,200 980 ModusLink Global Solutions* 51,400 494 Multi-Fineline Electronix* (A) 31,700 469 Ness Technologies* 92,500 1,061 Netgear* 2,800 42 Omnivision Technologies* (A) 70,690 807 ON Semiconductor* 71,530 484 Orbotech* 186,100 1,487 Orckit Communications* 85,600 527 Parametric Technology* (A) 122,161 2,248 PC Connection* 4,300 29 Perot Systems, Cl A* 104,836 1,819 Photon Dynamics* 45,400 697 Photronics* 41,400 78 Plantronics 16,100 363 PLATO Learning* 65,970 187 PMC - Sierra* (A) 40,000 297 Polycom* (A) 37,100 858 Powerwave Technologies* (A) 188,248 745 QLogic* 18,400 283 Quantum* 343,200 360 Rackable Systems* 82,550 810 Radisys* (A) 61,700 531 RADWARE* 139,930 1,166 RF Micro Devices* (A) 151,600 443 Richardson Electronics 49,857 309 Rogers* 3,000 111 Rudolph Technologies* 125,000 1,048 S1* 49,200 301 Seachange International* 152,800 1,476 SI International* 59,900 1,800 Silicon Image* (A) 116,300 621 SkillSoft ADR* 214,488 2,244 Skyworks Solutions* (A) 441,100 3,688 SPSS* 25,700 755 SRA International, Cl A* 68,900 1,559 Standard Microsystems* 68,700 1,716
SEI Institutional Managed Trust / Annual Report / September 30, 2008 88
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Super Micro Computer* 27,800 $ 250 Sybase* (A) 62,291 1,907 SYNNEX* (A) 24,100 538 Synopsys* 49,666 991 Technitrol 63,300 936 Tekelec* (A) 124,200 1,738 TIBCO Software* (A) 380,700 2,787 TNS* 22,300 432 TriQuint Semiconductor* 66,400 318 Tyler Technologies* 55,300 839 Ultra Clean Holdings* 93,600 472 Ultratech* (A) 163,300 1,976 United Online 129,200 1,216 Utstarcom* (A) 225,900 761 Verigy* 56,637 922 Verint Systems* 112,500 1,873 Wavecom ADR* (A) 72,400 403 Xyratex* 200,654 2,233 Zoran* (A) 260,110 2,122 ------------ 134,089 ------------ MATERIALS -- 4.6% AM Castle 21,900 378 Arch Chemicals 16,602 586 Bemis 28,779 754 Buckeye Technologies* 71,800 588 Bway Holding* 4,500 53 Cabot 34,558 1,098 Carpenter Technology 5,000 128 Chemtura (A) 217,600 992 Constar International* (A) 79,100 49 Crown Holdings* 103,300 2,294 Cytec Industries (A) 79,484 3,093 Ferro (A) 56,400 1,134 FMC 13,046 670 Glatfelter 8,900 121 H.B. Fuller (A) 109,300 2,281 Innophos Holdings 8,900 217 Innospec 17,900 216 Kaiser Aluminum 6,300 271 KapStone Paper and Packaging* (A) 13,800 88 Mercer International* (A) 64,200 235 Minerals Technologies 10,300 611 Myers Industries 16,700 211 Neenah Paper 46,286 916 NewMarket 10,000 526 Olin 46,800 908 Olympic Steel 13,500 398 OM Group* 10,000 225 Omnova Solutions* 88,000 175 Owens-Illinois* 51,598 1,517 Pactiv* (A) 68,307 1,696 Quaker Chemical 26,300 748
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Rock-Tenn, Cl A 44,000 $ 1,759 Schulman A 22,900 453 Schweitzer-Mauduit International 31,300 594 Scotts Miracle-Gro, Cl A 30,900 730 Sensient Technologies (A) 114,730 3,227 Silgan Holdings 93,619 4,783 Smurfit-Stone Container* 224,700 1,056 Solutia* 82,200 1,151 Temple-Inland 98,400 1,502 Universal Stainless & Alloy* 8,200 210 Worthington Industries (A) 29,400 439 ------------ 39,081 ------------ TELECOMMUNICATION SERVICES -- 0.3% Atlantic Telegraph-Network 20,000 560 Premiere Global Services* 45,300 637 Syniverse Holdings* 59,200 983 USA Mobility 21,900 241 ------------ 2,421 ------------ UTILITIES -- 3.6% AGL Resources 62,298 1,955 Allete (A) 43,300 1,927 Atmos Energy 49,453 1,316 Avista (A) 37,700 818 Black Hills 42,400 1,317 Centerpoint Energy 118,200 1,722 CMS Energy (A) 107,400 1,339 El Paso Electric* 126,200 2,650 Empire District Electric (A) 28,717 613 Great Plains Energy 17,000 378 Idacorp 21,502 625 Laclede Group 13,600 659 NorthWestern 23,300 586 Ormat Technologies (A) 30,900 1,123 PNM Resources (A) 24,500 251 Portland General Electric 154,241 3,649 South Jersey Industries 19,300 689 Southern Union 75,800 1,565 Southwest Gas 48,998 1,483 Synthesis Energy Systems* 73,000 354 UGI 30,400 784 UIL Holdings 30,700 1,054 Unisource Energy 1,800 53 Vectren 14,300 398 Westar Energy (A) 79,249 1,826 WGL Holdings (A) 33,539 1,088 Wisconsin Energy 9,671 434 ------------ 30,656 ------------ Total Common Stock (Cost $858,244) ($ Thousands) 829,349 ------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 89 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Concluded) September 30, 2008
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- EXCHANGE TRADED FUND -- 0.2% iShares Russell 2000 Index Fund (A) 21,566 $ 1,475 ------------ Total Exchange Traded Fund (Cost $1,461) ($ Thousands) 1,475 ------------ Number of Warrants ------------- WARRANTS -- 0.0% Washington Mutual* (C) 269,942 24 ------------ Total Warrants (Cost $38) ($ Thousands) 24 ------------ AFFILIATED PARTNERSHIP -- 31.7% SEI Liquidity Fund, L.P., 2.590%**++ (D) 275,445,659 271,069 ------------ Total Affiliated Partnership (Cost $275,446) ($ Thousands) 271,069 ------------ CASH EQUIVALENTS -- 3.5% Merrill Lynch EBP Master, 1.670%** 3,934,628 3,935 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 26,261,435 26,261 ------------ Total Cash Equivalents (Cost $30,196) ($ Thousands) 30,196 ------------ U.S. TREASURY OBLIGATION -- 0.4% U.S. Treasury Bills 1.237%, 11/20/08 (E) (F) $ 2,910 2,909 ------------ Total U.S. Treasury Obligation (Cost $2,903) ($ Thousands) 2,909 ------------ Total Investments -- 132.8% (Cost $1,168,288) ($ Thousands) $ 1,135,022 ============
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- ------------- Russell 2000 Index E-MINI 319 Dec-2008 $(775) =====
Description - ------------------------------------------------ Percentages are based on Net Assets of $854,887 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). @ Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. (A) This Security or a partial position of this security is on loan at September 30, 2008 (see Note 7). The total market value of securities on loan at September 30, 2008 was $273,301 ($ Thousands). (B) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2008 was $696 ($ Thousands) and represented 0.08% of Net Assets. (C) This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date. (D) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2008 was $271,069 ($ Thousands). (E) The rate reported is the effective yield at time of pruchase. (F) Security, or portion thereof, has been pledged as collateral on open futures contracts. (G) Security considered illiquid and restricted. The total value of such security as of September 30, 2008 was $696 ($ Thousands) and represented 0.08% of Net Assets. ADR -- American Depositary Receipt Cl -- Class L.P. -- Limited Partnership PIPE -- Private Investment in Public Entity The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 90 Small Cap Growth Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Affiliated Partnership 24.2% Information Technology 18.1% Health Care 14.5% Industrial 11.0% Consumer Discretionary 10.3% Energy 6.7% Financials 6.3% Materials 2.8% Telecommunication Services 1.8% Short-Term Investments 1.8% Consumer Staples 1.6% Utilities 0.5% U.S. Treasury Obligation 0.2% Exchange Traded Fund 0.1% Convertible Bond 0.1% Warrants 0.0%
# Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK -- 97.8% CONSUMER DISCRETIONARY -- 13.6% 1-800-FLOWERS.COM, Cl A* 48,700 $ 293 Aaron Rents 34,575 936 Aeropostale* (A) 54,790 1,759 American Public Education* 9,700 468 Amerigon* (A) 107,723 709 Bally Technologies* 6,800 206 Bebe Stores 102,635 1,003 Big Lots* (A) 27,240 758 BJ's Restaurants* (A) 87,583 1,046 Blue Nile* (A) 23,690 1,016 Buckle (A) 13,000 722 Buffalo Wild Wings* 1,500 60 Build-A-Bear Workshop* 7,000 51 Cache* 13,200 91 Capella Education* 15,144 649 Casual Male Retail Group* (A) 357,700 1,406 Cato, Cl A 72,200 1,267 CEC Entertainment* (A) 48,575 1,613 Century Casinos* 127,054 267 Charming Shoppes* (A) 139,400 682 Cheesecake Factory* (A) 66,300 969 Chipotle Mexican Grill, Cl A* (A) 26,400 1,465 Christopher & Banks 2,400 18 CKE Restaurants 22,500 239 Coldwater Creek* (A) 69,423 402 Corinthian Colleges* (A) 64,030 960 CROCS* (A) 259,600 929 Crown Media Holdings, Cl A* (A) 29,600 149 Deckers Outdoor* (A) 14,400 1,499 Dick's Sporting Goods* (A) 85,216 1,669 Dover Downs Gaming & Entertainment (A) 40,450 315 DreamWorks Animation SKG, Cl A* 1,400 44 DSW, Cl A* (A) 119,500 1,637
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Dufry South America (United Kingdom) 72,800 $ 604 Eddie Bauer Holdings* (A) 290,051 1,552 Einstein Noah Restaurant Group* 10,300 104 Exide Technologies* (A) 58,600 432 Finish Line, Cl A 76,725 766 Focus Media Holding ADR* (A) 32,856 937 Fossil* 22,800 644 Fuel Systems Solutions* (A) 18,785 647 Fuqi International* 18,900 154 Gaiam, Cl A* (A) 59,200 628 Genius Products* 349,055 42 Global Sources* (A) 34,010 342 Gray Television 8,000 14 Gymboree* 16,365 581 Hanesbrands* (A) 30,795 670 hhgregg* (A) 53,900 526 Hibbett Sports* (A) 20,989 420 Iconix Brand Group* 4,200 55 Interactive Data 15,700 396 J Crew Group* (A) 47,100 1,346 Jackson Hewitt Tax Service 1,400 21 Jarden* 66,040 1,549 Jo-Ann Stores* (A) 23,770 499 K12* 63,862 1,692 Life Time Fitness* (A) 56,585 1,769 Live Nation* (A) 49,455 805 Liz Claiborne 37,475 616 LKQ* 44,400 753 Lululemon Athletica* (A) 30,400 700 Maidenform Brands* 1,200 17 Marvel Entertainment* (A) 35,780 1,222 Matthews International, Cl A 1,700 86 McCormick & Schmick's Seafood Restaurants* 47,200 460 Morningstar* (A) 21,387 1,186 National CineMedia 77,940 861 NetFlix* (A) 87,490 2,702 New York* 46,600 445 Office Depot* 220,000 1,280 OfficeMax (A) 115,500 1,027 Orbitz Worldwide* (A) 151,300 888 Overstock.com* 3,700 73 Panera Bread, Cl A* (A) 16,200 825 Peet's Coffee & Tea* (A) 30,721 858 Perry Ellis International* 9,600 143 Pinnacle Entertainment* 183,986 1,391 Polaris Industries (A) 24,900 1,133 Quiksilver* 149,200 856 Raser Technologies* (A) 42,900 365 RC2* 600 12 Red Robin Gourmet Burgers* (A) 12,600 338 Regis 48,500 1,334 Retail Ventures* 211,800 826
SEI Institutional Managed Trust / Annual Report / September 30, 2008 91 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- RHI Entertainment* 89,500 $ 1,334 RRSat Global Communications Network 67,500 846 Shutterfly* (A) 302,500 2,907 Skechers U.S.A., Cl A* 800 13 Snap-On 21,245 1,119 Sotheby's 9,400 189 Stamps.com* 23,700 277 Steven Madden* (A) 39,610 982 Strayer Education 1,000 200 Tecnisa (Brazil) 282,700 679 Texas Roadhouse, Cl A* 66,200 595 Thunderbird Resorts PIPE* (B) (F) 3,200 29 Thunderbird Resorts PIPE* (B) (F) (G) 153,500 1,381 Titan International (A) 39,050 833 True Religion Apparel* (A) 107,880 2,789 Tupperware Brands 92,650 2,560 Under Armour, Cl A* 21,000 667 Universal Electronics* 1,400 35 Universal Technical Institute* 2,600 44 Volcom* 46,410 802 Warnaco Group* 49,900 2,260 Westport Innovations* 49,200 450 Wet Seal, Cl A* 115,210 418 Williams-Sonoma (A) 106,500 1,723 WMS Industries* (A) 11,250 344 Wolverine World Wide 1,100 29 Wonder Auto Technology* 4,600 29 Zale* (A) 22,565 564 Zumiez* (A) 31,800 524 ------------ 87,511 ------------ CONSUMER STAPLES -- 2.1% American Oriental Bioengineering* (A) 31,900 207 Asiatic Development (Malaysia) 933,500 1,247 Bare Escentuals* (A) 62,300 677 Boston Beer, Cl A* (A) 24,860 1,181 Chattem* (A) 3,900 305 Cosan SA Industria e Comercio (Brazil)* 192,700 1,299 Darling International* 66,500 739 Diamond Foods 9,000 252 Flowers Foods (A) 39,705 1,166 Green Mountain Coffee Roasters* 22,000 865 Hansen Natural* 1,824 55 Herbalife 24,509 969 Lance 63,600 1,443 Ralcorp Holdings* 13,000 876 SunOpta* 69,990 431 Universal 900 44 USANA Health Sciences* 1,900 78 Whole Foods Market (A) 70,700 1,416 Zhongpin* (A) 11,900 126 ------------ 13,376 ------------
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- ENERGY -- 9.0% Arena Resources* 105,198 $ 4,087 Arlington Tankers (A) 89,000 1,369 ATP Oil & Gas* (A) 79,100 1,409 Atwood Oceanics* 47,300 1,722 Aventine Renewable Energy Holdings* 43,700 138 Basic Energy Services* (A) 54,000 1,150 Berry Petroleum, Cl A (A) 22,825 884 Bill Barrett* (A) 9,900 318 BPZ Energy PIPE* 76,500 1,316 BPZ Resources* (A) 20,000 344 Brigham Exploration* 3,000 33 Cano Petroleum* (A) 175,300 405 CARBO Ceramics 400 21 Carrizo Oil & Gas* 51,210 1,857 Cimarex Energy (A) 22,050 1,078 Clayton Williams Energy* 8,300 585 Complete Production Services* 103,405 2,082 Comstock Resources* (A) 58,200 2,913 Concho Resources* (A) 29,200 806 Core Laboratories 8,180 829 Crosstex Energy (A) 6,400 160 CVR Energy* (A) 43,400 370 Denbury Resources* 5,400 103 Encore Acquisition* 1,000 42 Endeavour International* 18,800 25 Energy Partners* 211,000 1,829 Energy XXI Bermuda (A) 166,490 506 EXCO Resources* 173,122 2,825 Forest Oil* 300 15 Geokinetics* 3,700 70 GMX Resources* 25,059 1,198 Goodrich Petroleum* (A) 26,905 1,173 Gran Tierra Energy* 17,500 65 Gulf Island Fabrication 15,500 534 Gulfmark Offshore* 1,500 67 Gulfport Energy* 17,000 171 Helmerich & Payne 14,580 630 Hercules Offshore* (A) 127,300 1,930 Infinity Bio-Energy* 741,494 1,446 ION Geophysical* (A) 124,710 1,770 Kodiak Oil & Gas* 269,100 404 Lufkin Industries 1,800 143 Mahalo Energy* 267,800 302 Matrix Service* 2,900 55 McMoRan Exploration* (A) 33,000 780 Mitcham Industries* 19,900 201 NATCO Group, Cl A* 12,941 520 Natural Gas Services Group* 1,200 21 Nordic American Tanker Shipping 1,600 51 Oilsands Quest* (A) 219,000 655 OPTI (Canada)* 82,000 852 OYO Geospace* 1,100 43
SEI Institutional Managed Trust / Annual Report / September 30, 2008 92
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Parallel Petroleum* 5,100 $ 48 PetroHawk Energy* 98,000 2,120 Petroleum Development* 2,600 115 Petroquest Energy* 83,300 1,279 Pioneer Drilling* 13,300 177 Quicksilver Resources* 74,500 1,462 Rentech* (A) 530,800 706 Rosetta Resources* 2,000 37 St. Mary Land & Exploration 12,612 450 StealthGas (A) 93,989 1,272 Superior Energy Services* 34,741 1,082 Superior Well Services* 7,000 177 Swift Energy* 36,000 1,393 Tesco ADR* 20,400 427 TXCO Resources* 3,300 33 Unit* 9,560 476 Uranium One (Canada)* 52,549 114 Vaalco Energy* 12,400 85 Venoco* 3,800 49 W&T Offshore 800 22 Warren Resources* 3,000 30 Whiting Petroleum* 15,105 1,076 Willbros Group* (A) 65,771 1,743 World Fuel Services 32,885 757 ------------ 57,432 ------------ FINANCIALS -- 8.2% Affiliated Managers Group* (A) 13,100 1,085 Amtrust Financial Services 38,900 529 Anworth Mortgage Asset+ 246,800 1,461 Associated Estates Realty+ 29,400 383 Brasil Brokers Participacoes* 220,000 683 Canaccord Capital (Canada) 73,600 552 CapitalSource+ 131,947 1,623 Capitol Federal Financial (A) 20,550 911 Capstead Mortgage+ (A) 120,409 1,318 Cardtronics* 67,620 531 Cash America International 15,100 544 Cohen & Steers 2,500 71 Companhia Brasileira de Desenvolvimento Imobiliari Turistico (Brazil)* 4,200 1,198 Dollar Financial* (A) 92,800 1,428 Dundee (Canada)+ 41,100 1,153 East West Bancorp (A) 55,500 760 eHealth* (A) 8,400 134 Evercore Partners, Cl A (A) 59,500 1,070 Ezcorp, Cl A* 6,100 115 FCStone Group* 104,650 1,883 Financial Federal 2,100 48 First Cash Financial Services* 3,800 57 General Shopping Brasil (Brazil)* 113,000 434 General Shopping Brazil (Brazil)* 208,900 801
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Getty Realty+ 4,200 $ 93 Gluskin Sheff + Associates (Canada) 70,100 1,019 GMP Capital Trust (Canada) 76,400 724 Greenhill (A) 15,550 1,147 Grubb & Ellis (A) 444,080 1,199 Hancock Holding 3,300 168 Hatteras Financial+ 40,094 930 Hercules Technology Growth Capital 74,608 724 Hersha Hospitality Trust+ 195,200 1,452 Highbury Financial* (A) 152,100 479 Investors Real Estate Trust+ (A) 130,000 1,455 Jefferies Group (A) 15,100 338 Jones Lang LaSalle 10,665 464 Kansas City Life Insurance 23,107 1,063 Knight Capital Group, Cl A* 3,100 46 LTC Properties+ 5,700 167 MarketAxess Holdings* 138,195 1,115 Meruelo Maddux Properties* 312,000 381 MFA Mortgage Investments+ 242,900 1,579 MSCI, Cl A* 95,502 2,292 Nelnet, Cl A 125,411 1,781 Omega Healthcare Investors+ (A) 44,400 873 optionsXpress Holdings 60,230 1,170 Penson Worldwide* 3,000 42 Platinum Underwriters Holdings (A) 44,560 1,581 PS Business Parks+ 12,900 743 Pzena Investment Management, Cl A (A) 20,800 197 RAM Holdings* (A) 99,300 167 Rayonier+ 400 19 Riskmetrics Group* 56,630 1,108 Sterling Financial (A) 48,800 708 Stifel Financial* 13,300 664 SVB Financial Group* 13,730 795 SWS Group 8,000 161 Titanium Asset* 140,900 740 Tower Group 1,700 40 TradeStation Group* (A) 56,900 532 Trustco Bank NY 11,300 132 UCBH Holdings (A) 262,300 1,681 UMB Financial 800 42 Uranium Participation* 171,000 994 US Global Investors, Cl A 1,300 13 Value Creation* (B) (F) 121,940 962 Victory Acquisition* (A) 50,532 480 World Acceptance* (A) 43,000 1,547 Zenith National Insurance 400 15 ------------ 52,794 ------------ HEALTH CARE -- 19.3% 3SBio ADR* 86,900 561 Abaxis* (A) 56,921 1,121 Abiomed* (A) 71,600 1,271
SEI Institutional Managed Trust / Annual Report / September 30, 2008 93 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Accuray* 1,500 $ 12 Achillion Pharmaceuticals* 77,560 101 Acorda Therapeutics* (A) 72,247 1,723 Affymax* 9,100 181 Affymetrix* (A) 191,000 1,478 Akorn* 5,800 30 Albany Molecular Research* 10,400 188 Alexion Pharmaceuticals* 55,070 2,164 Align Technology* 6,300 68 Alkermes* (A) 147,376 1,960 Allos Therapeutics* 10,000 74 Allscripts Healthcare Solutions* 4,405 55 Alnylam Pharmaceuticals* (A) 21,682 628 Alpharma, Cl A* 3,900 144 AMAG Pharmaceuticals* (A) 12,770 495 Amedisys* 3,600 175 American Medical Systems Holdings* (A) 68,777 1,221 Amicus Therapeutics* 1,800 27 AMN Healthcare Services* 24,000 422 Amsurg* (A) 45,700 1,164 Analogic (A) 10,700 532 Angiodynamics* 3,800 60 Arena Pharmaceuticals* (A) 250,400 1,252 Ariad Pharmaceuticals* (A) 331,200 818 Arqule* 6,500 21 Array Biopharma* (A) 93,855 721 Arthrocare* 1,700 47 BioMarin Pharmaceuticals* 70,800 1,875 Bio-Rad Laboratories, Cl A* 10,100 1,001 Bruker BioSciences* 43,600 581 Cardiome Pharma* 164,800 1,252 Centene* 35,800 734 Cepheid* 56,195 777 Charles River Laboratories International* 200 11 Chemed 2,800 115 Chindex International* 8,200 89 Columbia Laboratories* 7,600 20 Conmed* 29,525 945 Corvel* 1,300 37 Covance* 2,100 186 CryoLife* 44,400 583 Cubist Pharmaceuticals* (A) 248,011 5,513 CV Therapeutics* (A) 282,099 3,047 Cyberonics* (A) 70,900 1,205 Cynosure, Cl A* (A) 33,200 596 Cypress Bioscience* (A) 97,542 717 Cytori Therapeutics* (A) 10,000 53 Dionex* (A) 13,700 871 Durect* 260,381 1,458 Eclipsys* (A) 4,800 101 Edwards Lifesciences* (A) 11,325 654 Enzo Biochem* 6,400 70
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Enzon Pharmaceuticals* (A) 27,100 $ 200 eResearchTechnology* 5,300 63 ev3* 69,709 700 Exactech* 15,100 336 Exelixis* (A) 358,153 2,178 Genoptix* 900 29 Gen-Probe* 1,500 80 Gentiva Health Services* 33,505 903 GTx* (A) 11,800 224 Haemonetics* 7,491 462 Halozyme Therapeutics* 76,600 562 Hanger Orthopedic Group* 45,450 793 Hansen Medical* 31,900 429 HealthExtras* 32,710 854 Healthways* 24,285 392 HMS Holdings* 1,000 24 Human Genome Sciences* (A) 325,300 2,066 ICU Medical* 500 15 Idexx Laboratories* 6,500 356 I-Flow* 71,585 666 Immucor* (A) 80,320 2,567 Incyte* 191,500 1,465 Indevus Pharmaceuticals* 305,000 1,022 Inspire Pharmaceuticals* 7,400 26 Integra LifeSciences Holdings* (A) 8,068 355 InterMune* (A) 21,000 359 Intuitive Surgical* 200 48 Invitrogen* 3,600 136 IPC The Hospitalist* 39,747 1,021 Isis Pharmaceuticals* (A) 31,032 524 Kendle International* 3,100 139 KV Pharmaceutical, Cl A* (A) 23,843 541 Landauer 2,000 146 LHC Group* 49,560 1,411 Life Sciences Research* 8,900 312 Luminex* (A) 26,709 668 Martek Biosciences (A) 26,853 844 Masimo* (A) 16,900 629 Medarex* (A) 547,736 3,544 Medcath* 4,700 84 Medicines* 82,168 1,908 Medicis Pharmaceutical, Cl A (A) 68,400 1,020 Mentor 6,300 150 Meridian Bioscience 9,100 264 Merit Medical Systems* 80,275 1,507 Metabolix* (A) 90,400 984 Micrus Endovascular* (A) 98,857 1,379 Molina Healthcare* 1,900 59 Momenta Pharmaceuticals* (A) 59,050 774 MWI Veterinary Supply* 23,500 923 Myriad Genetics* (A) 34,530 2,240 National Healthcare 1,300 61 Natus Medical* 4,600 104 Nighthawk Radiology Holdings* 1,500 11
SEI Institutional Managed Trust / Annual Report / September 30, 2008 94
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Noven Pharmaceuticals* 4,900 $ 57 NuVasive* (A) 38,731 1,911 Obagi Medical Products* 33,500 334 Odyssey HealthCare* 118,300 1,201 Omnicell* 51,875 682 Omrix Biopharmaceuticals* (A) 26,284 472 Onyx Pharmaceuticals* (A) 22,246 805 Orthofix International* 24,080 449 OSI Pharmaceuticals* 27,800 1,370 Owens & Minor (A) 23,200 1,125 Pain Therapeutics* 11,000 107 Palomar Medical Technologies* 6,600 89 Par Pharmaceutical* 1,400 17 Parexel International* 74,030 2,122 PDL BioPharma* 47,478 442 Pediatrix Medical Group* 24,250 1,308 Perrigo 40,245 1,548 Pharmaceutical Product Development 1,000 41 PharmaNet Development Group* 4,800 35 PharMerica* 36,205 814 Phase Forward* 74,799 1,564 Pozen* (A) 195,149 2,051 Profarma Distribuidora de Produtos Farmaceuticos (Brazil) 132,700 1,090 Psychiatric Solutions* (A) 96,700 3,670 Qiagen* 49,392 975 Questcor Pharmaceuticals* 19,800 146 Quidel* (A) 26,600 437 Regeneron Pharmaceuticals* 28,100 613 Resmed* 19,521 839 Rigel Pharmaceuticals* (A) 116,012 2,709 RTI Biologics* 41,476 388 Salix Pharmaceuticals* 9,300 60 Savient Pharmaceuticals* (A) 6,500 97 Seattle Genetics* (A) 69,667 745 Sepracor* 33,200 608 Sequenom* (A) 8,500 226 Sirona Dental Systems* (A) 30,000 698 Somanetics* 4,500 98 STERIS 32,500 1,221 Sucampo Pharmaceuticals, Cl A* 5,300 45 Sun Healthcare Group* 59,100 866 SurModics* 6,500 205 Symmetry Medical* 1,800 33 Techne* 1,200 87 Theravance* (A) 98,975 1,233 Thoratec* 35,625 935 TomoTherapy* 78,120 358 TranS1* (A) 26,700 264 United Therapeutics* 20,365 2,142 Valeant Pharmaceuticals International* 4,100 84
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Viropharma* 23,400 $ 307 Vivus* (A) 41,800 332 Volcano* (A) 55,280 956 Waters* 1,200 70 West Pharmaceutical Services 12,342 603 Wright Medical Group* (A) 17,128 521 XenoPort* 32,022 1,553 Zoll Medical* 3,700 121 Zymogenetics* (A) 15,200 101 ------------ 123,742 ------------ INDUSTRIALS -- 14.7% AAON 12,400 226 Actuant, Cl A (A) 38,400 969 Acuity Brands (A) 18,700 781 Administaff 21,800 593 Advanced Battery Technologies* 13,800 45 Advisory Board* 3,400 103 Aegean Marine Petroleum Network 140,032 3,130 AerCap Holdings* 103,327 1,096 Aircastle (A) 18,800 186 Airtran Holdings* 124,700 303 Allen-Vanguard* 563,000 180 Altra Holdings* 35,100 518 American Railcar Industries (A) 7,900 127 American Superconductor* 1,400 33 Ameron International 3,700 265 Applied Signal Technology 10,000 174 Argon ST* 3,700 87 Arkansas Best 800 27 Astec Industries* 400 12 Axsys Technologies* 400 24 AZZ* 1,100 46 Badger Meter 1,000 47 Barnes Group 45,655 923 BE Aerospace* 41,400 655 Beacon Roofing Supply* (A) 44,605 697 Brady, Cl A 1,200 42 Briggs & Stratton 7,900 128 Bucyrus International, Cl A 30,900 1,381 CAI International* 35,000 387 Canadian Solar* (A) 59,400 1,160 Celadon Group* 39,079 448 Cenveo* (A) 30,800 237 Ceradyne* 4,500 165 Chart Industries* 82,925 2,368 China Architectural Engineering* 26,300 186 China Direct* (A) 7,500 32 China Fire & Security Group* (A) 11,600 122 CIRCOR International 21,198 921 Clarcor 20,155 765 Clean Harbors* 6,000 405 Columbus McKinnon* 28,600 674
SEI Institutional Managed Trust / Annual Report / September 30, 2008 95 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Comfort Systems USA 11,000 $ 147 Copa Holdings, Cl A 18,700 608 Corrections Corp of America* 49,982 1,242 CoStar Group* (A) 45,884 2,083 CRA International* 44,114 1,212 Crane 17,700 526 Cubic 1,700 42 Curtiss-Wright 500 23 Deluxe 2,600 37 Ducommun 600 14 Duff & Phelps* 6,200 130 Dycom Industries* 4,300 56 Dynamic Materials (A) 89,066 2,067 Eagle Bulk Shipping 3,200 45 EMCOR Group* 21,800 574 Energy Conversion Devices* (A) 25,081 1,461 Energy Recovery* (A) 60,639 582 EnerNOC* 52,500 543 EnerSys* (A) 22,445 442 EnPro Industries* (A) 13,800 513 ESCO Technologies* 2,200 106 Esterline Technologies* 18,645 738 Evergreen Solar* (A) 233,500 1,289 Expeditors International of Washington 42,900 1,495 Flow International* 1,800 9 Force Protection* (A) 197,500 529 Forward Air (A) 28,725 782 Franklin Electric 2,100 94 FTI Consulting* 6,100 441 Fuel Tech* (A) 51,100 924 Gardner Denver* 22,330 775 Genco Shipping & Trading (A) 18,700 622 Geo Group* (A) 69,365 1,402 GeoEye* 50,000 1,107 GrafTech International* (A) 96,310 1,455 Graham (A) 6,600 357 GT Solar International* (A) 92,700 1,006 H&E Equipment Services* (A) 109,300 1,056 Hawaiian Holdings* (A) 71,400 663 Healthcare Services Group (A) 41,972 768 Heartland Express 1,100 17 Heico, Cl A 36,728 1,031 Hexcel* 51,800 709 Horizon Lines, Cl A 101,660 1,003 Houston Wire & Cable (A) 9,900 170 HUB Group, Cl A* 30,120 1,134 Huron Consulting Group* 23,800 1,356 ICF International* 33,400 660 IHS, Cl A* 3,008 143 II-VI* 20,532 794 Innerworkings* 138,433 1,535 JA Solar Holdings ADR* 91,294 966 JB Hunt Transport Services 11,600 387
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Kaman 7,100 $ 202 Kansas City Southern* 32,410 1,438 Kaydon 21,300 960 Kforce* 12,100 124 Kirby* (A) 24,330 923 Knight Transportation 45,072 765 Knoll (A) 78,400 1,185 Ladish* 3,000 61 Landstar System 12,945 570 Layne Christensen* 3,700 131 Lindsay 300 22 Lydall* 7,400 71 Marten Transport* 3,400 66 MasTec* 73,170 972 Mcgrath Rentcorp 600 17 Metalico* 3,400 20 Met-Pro 2,200 32 Michael Baker* 9,400 327 Middleby* 4,300 234 Mine Safety Appliances 2,000 76 MPS Group* 26,033 262 Navigant Consulting* 3,100 62 NN 31,400 403 Nordson 400 20 Northwest Pipe* 11,445 499 Old Dominion Freight Line* 47,675 1,351 Orbital Sciences* 30,300 726 Orion Marine Group* 126,200 1,324 Pacer International 27,300 450 Perini* (A) 24,000 619 PRG-Schultz International* 28,300 254 Quanta Services* (A) 61,480 1,661 Raven Industries 16,930 666 Resources Connection* 43,060 970 Robbins & Myers 9,100 281 Rollins 11,000 209 RSC Holdings* (A) 224,600 2,551 Rush Enterprises, Cl A* 55,370 709 Ryder System 3,100 192 Sauer-Danfoss 8,500 210 Standard Parking* 54,155 1,203 Standard Register 5,900 58 Sun Hydraulics (A) 15,700 409 Sunpower, Cl B* 6,973 481 TAL International Group (A) 61,800 1,287 Taser International* 14,000 100 TBS International, Cl A* (A) 15,800 213 Team* 1,300 47 Teledyne Technologies* (A) 20,300 1,160 Tennant 1,200 41 Tetra Tech* (A) 50,429 1,213 Textainer Group Holdings 93,900 1,426 TransDigm Group* 29,435 1,008 Tredegar 3,100 55
SEI Institutional Managed Trust / Annual Report / September 30, 2008 96
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- United Stationers* 2,500 $ 120 Valmont Industries 400 33 Vitran* 36,250 488 Wabtec (A) 25,700 1,317 Waste Connections* 1,200 41 Watson Wyatt Worldwide, Cl A 45,210 2,248 Werner Enterprises 1,100 24 Woodward Governor (A) 18,900 667 Xerium Technologies (A) 69,600 448 ------------ 94,240 ------------ INFORMATION TECHNOLOGY -- 24.0% Acme Packet* 3,200 18 Actuate* 10,000 35 Adtran 3,700 72 Advanced Analogic Technologies* 117,300 545 Advanced Energy Industries* 61,318 839 Advent Software* (A) 28,900 1,018 Agilysys 1,700 17 Alvarion* 140,300 815 Amkor Technology* (A) 81,500 519 Ansys* 53,875 2,040 Applied Micro Circuits* 72,700 435 Ariba* (A) 71,317 1,008 Arris Group* 246,125 1,903 Art Technology Group* 356,584 1,255 Asyst Technologies* 418,900 1,005 Atheros Communications* (A) 154,470 3,642 Atmel* 201,335 683 ATMI* 86,742 1,560 Avocent* 1,300 27 Bankrate* (A) 54,424 2,118 Benchmark Electronics* 33,600 473 Blackboard* (A) 28,327 1,141 Blue Coat Systems* (A) 15,400 219 BluePhoenix Solutions* 111,100 391 BMC Software* 1,000 29 Cabot Microelectronics* 1,600 51 CACI International, Cl A* 10,900 546 Checkpoint Systems* 2,500 47 China Digital TV Holding ADR* 77,500 635 Ciena* (A) 48,700 491 Cirrus Logic* 5,900 32 Cogent* 12,400 127 Cognex 2,100 42 Coherent* 22,635 805 CommScope* 25,085 869 Commvault Systems* (A) 102,310 1,233 Compuware* 1,600 16 comScore* 111,342 1,963 Concur Technologies* (A) 26,547 1,016 Cree* (A) 22,500 513 CSG Systems International* 57,300 1,004
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- CTS 8,100 $ 104 Cybersource* (A) 90,285 1,454 Cymer* 500 13 Cypress Semiconductor* 25,430 133 Daktronics 4,700 78 DealerTrack Holdings* (A) 136,480 2,298 DemandTec* 1,700 15 Dice Holdings* 25,800 183 Digital River* (A) 23,900 774 Diodes* (A) 45,470 839 Dolby Laboratories, Cl A* 2,200 77 Double-Take Software* 1,700 17 DSP Group* (A) 226,800 1,735 DTS* 39,870 1,110 Earthlink* (A) 83,700 711 EFJ* (A) 117,900 147 Electronics for Imaging* 3,900 54 Elixir Gaming Technologies* 347,345 115 EMS Technologies* 10,400 232 Emulex* 15,200 162 Equinix* (A) 31,017 2,154 Euronet Worldwide* 79,745 1,334 Factset Research Systems (A) 18,935 989 FARO Technologies* 600 12 Flir Systems* 11,300 434 Formfactor* 1,800 31 Forrester Research* 500 15 Foundry Networks* 3,200 58 Greenfield Online* 1,400 24 GSI Commerce* (A) 76,175 1,179 Hackett Group* 4,200 23 Harmonic* 3,800 32 Harris Stratex Networks, Cl A* 194,500 1,519 Heartland Payment Systems 10,400 266 Hittite Microwave* 3,700 124 Hutchinson Technology* 50,900 589 Imation 61,700 1,394 Immersion* (A) 122,000 710 infoGROUP 10,000 66 Information Services Group* 108,680 533 Infospace 9,200 100 Integral Systems 75,330 1,565 InterDigital* 1,700 41 Intermec* 13,400 263 Interwoven* 3,300 47 IPG Photonics* 49,290 962 IXYS 7,800 71 j2 Global Communications* 33,900 792 JDA Software Group* (A) 141,300 2,149 Jupitermedia* 103,000 119 Kenexa* 31,000 489 Knot* (A) 256,379 2,141 Longtop Financial Technologies ADR* (A) 18,800 265
SEI Institutional Managed Trust / Annual Report / September 30, 2008 97 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- LoopNet* (A) 14,100 $ 139 Macrovision Solutions* 6,600 102 Mantech International, Cl A* 20,300 1,204 Marchex, Cl A (A) 138,700 1,427 MAXIMUS 700 26 Measurement Specialties* 1,200 21 Mentor Graphics* 43,300 491 MercadoLibre* 800 16 Micrel 4,300 39 Micros Systems* 1,600 43 Microsemi* (A) 97,569 2,486 MicroStrategy, Cl A* 1,800 107 MIPS Technologies* (A) 349,200 1,226 MKS Instruments* 27,478 547 Monolithic Power Systems* (A) 61,370 1,066 Move* 27,500 58 MTS Systems 500 21 Multi-Fineline Electronix* (A) 31,900 472 Net 1 UEPS Technologies* 85,167 1,902 Netgear* 84,000 1,260 Netlogic Microsystems* (A) 86,655 2,620 Netscout Systems* 28,900 307 NeuStar, Cl A* (A) 82,854 1,648 Neutral Tandem* 2,800 52 Novatel Wireless* (A) 230,517 1,397 Nuance Communications* (A) 77,018 939 NVE* 7,600 215 Omniture* (A) 153,919 2,826 ON Semiconductor* (A) 148,600 1,005 Open Text* (A) 32,215 1,114 OpenTV, Cl A* 15,500 22 OSI Systems* 50,400 1,185 Palm (A) 186,200 1,112 Parametric Technology* 8,100 149 Park Electrochemical (A) 50,600 1,227 Parkervision* (A) 136,800 1,368 Perfect World ADR* (A) 59,100 1,326 Perficient* 2,800 19 Pericom Semiconductor* 3,800 40 Phoenix Technologies* 5,700 46 Plantronics 400 9 Plexus* 2,900 60 PLX Technology* (A) 130,471 668 PMC - Sierra* (A) 296,955 2,203 Polycom* (A) 172,700 3,995 Power Integrations* 55,199 1,330 Presstek* (A) 75,722 427 QLogic* (A) 65,915 1,012 Quality Systems (A) 22,741 961 Rackable Systems* (A) 19,600 192 Radiant Systems* (A) 28,800 250 Red Hat* (A) 208,600 3,144 RF Micro Devices* (A) 293,100 856 Riverbed Technology* (A) 209,600 2,624
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Rogers* 1,000 $ 37 Rudolph Technologies* 200,800 1,683 S1* 43,500 266 Sapient* 119,700 889 SAVVIS* 62,130 835 Seachange International* 110,000 1,063 Silicon Image* (A) 102,000 545 Sina* 30,540 1,075 Skyworks Solutions* (A) 334,415 2,796 Sohu.com* (A) 23,645 1,317 Sonic Solutions* 5,900 26 Sonus Networks* 6,100 18 SPSS* (A) 19,400 570 SRA International, Cl A* 2,000 45 Standard Microsystems* 2,800 70 Starent Networks* 51,900 672 STEC* (A) 28,200 217 Stratasys* (A) 81,635 1,425 Super Micro Computer* 21,100 190 Switch & Data Facilities* 54,100 674 Sybase* (A) 108,810 3,332 Synaptics* 35,125 1,061 SYNNEX* 800 18 Syntel 30,400 745 Taleo, Cl A* 35,989 716 TechTarget* 36,105 253 Techwell* (A) 20,400 192 Tekelec* (A) 67,370 942 TeleCommunication Systems, Cl A* (A) 154,995 1,071 TeleTech Holdings* 700 9 Terremark Worldwide* 155,105 1,066 Tessera Technologies* 84,957 1,388 THQ* 92,254 1,111 TNS* 79,705 1,544 Trident Microsystems* 5,400 13 Trimble Navigation* 20,645 534 TriQuint Semiconductor* (A) 259,500 1,243 TTM Technologies* (A) 128,600 1,275 Tyler Technologies* 9,900 150 Ultimate Software Group* (A) 29,500 797 Ultratech* 43,000 520 United Online 6,400 60 Universal Display* (A) 80,100 877 Valueclick* (A) 13,400 137 Vasco Data Security International* (A) 61,333 635 Veeco Instruments* 4,800 71 Verigy* 2,869 47 Virtusa* (A) 34,638 225 VistaPrint* (A) 123,179 4,045 Volterra Semiconductor* (A) 91,125 1,160 Wind River Systems* 235,800 2,357 Zygo* 98,301 1,237 ------------ 154,183 ------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 98
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- MATERIALS -- 3.7% ADA-ES* (A) 26,700 $ 216 Alpha Natural Resources* (A) 16,035 825 AMCOL International (A) 37,500 1,172 Carpenter Technology 55,100 1,413 CF Industries Holdings 2,400 220 China Precision Steel* 34,300 114 Ferro (A) 26,500 533 Flotek Industries* 3,900 42 Frontera Copper (Canada)* 420,300 482 General Steel Holdings* (A) 49,800 356 Greif, Cl A 26,985 1,771 Grupo Simec ADR* 109,000 968 Horsehead Holding* 227,384 1,342 Innophos Holdings 38,795 946 Innospec 4,400 53 Intrepid Potash* 23,000 693 Katanga Mining (Canada)* 174,700 826 Koppers Holdings (A) 35,045 1,311 Olin (A) 57,475 1,115 Olympic Steel 6,100 180 OM Group* 50,000 1,125 Quaker Chemical 13,500 384 Royal Gold 1,500 54 RTI International Metals* 31,100 608 Schnitzer Steel Industries, Cl A 22,000 863 ShengdaTech* (A) 13,800 97 Sherritt International (Canada) 96,600 517 Silgan Holdings 26,085 1,333 Terra Industries (A) 20,700 609 Universal Stainless & Alloy* 42,500 1,086 Western Goldfields* 875,600 1,313 Westlake Chemical 36,075 759 Zep 27,200 480 ------------ 23,806 ------------ TELECOMMUNICATION SERVICES -- 2.4% Atlantic Telegraph-Network 4,700 132 Cbeyond* (A) 41,022 590 Centennial Communications* (A) 206,400 1,288 Clearwire, Cl A* (A) 142,900 1,698 Fairpoint Communications (A) 163,800 1,420 Globalstar* (A) 455,000 773 NTELOS Holdings (A) 72,710 1,955 Premiere Global Services* 56,400 793 SBA Communications, Cl A* (A) 143,669 3,717 Sierra Wireless* 95,000 947 Syniverse Holdings* 93,850 1,559 tw telecom inc, Cl A* 42,835 445 USA Mobility 2,700 30 ---------- 15,347 ----------
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- UTILITIES -- 0.8% Allete 500 $ 22 Black Hills 800 25 Cascal 39,800 418 Cia de Saneamento de Minas Gerais-COPASA (Brazil) 108,400 1,135 ITC Holdings 43,699 2,263 National Fuel Gas 1,000 42 PNOC Energy Development (Phillippines) 12,377,500 1,053 ------------ 4,958 ------------ Total Common Stock (Cost $735,710)($ Thousands) 627,389 ------------ EXCHANGE TRADED FUND -- 0.1% Midcap SPDR Trust Series 1 5,930 782 ------------ Total Exchange Traded Fund (Cost $878) ($ Thousands) 782 ------------ PREFERRED STOCK -- 0.1% FINANCIALS -- 0.1% East West Bancorp (C) 662 582 ------------ Total Preferred Stock (Cost $662) ($ Thousands) 582 ------------ Number of Warrants ------------ WARRANTS -- 0.1% Oilsands Quest Expires 12/05/09* 17,500 13 Rentech Expires 04/25/12* (B)(F) 19,400 8 Titanium Asset Management Expires 06/21/11* 147,800 200 Victory Acquisition Expires 04/30/11* 157,010 71 ------------ Total Warrants (Cost $266) ($ Thousands) 292 ------------ CONVERTIBLE BOND -- 0.1% Nova BioSource CV to 273.2240 10.000%, 09/30/12 $ 1,926 573 ------------ Total Convertible Bond (Cost $1,926)($ Thousands) 573 ------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 99 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Concluded) September 30, 2008
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------------------------------------------- ------------- ------------- CORPORATE OBLIGATION -- 0.1% FINANCIALS -- 0.1% Scorpio Mining PIPE 7.000%, 05/05/11 (B) (F) $ 462 $ 387 ------------ Total Corporate Obligation (Cost $453) ($ Thousands) 387 ------------ AFFILIATED PARTNERSHIP -- 32.1% SEI Liquidity Fund, L.P., 2.590%**++ (D) 209,560,464 206,214 ------------ Total Affiliated Partnership (Cost $209,560) ($ Thousands) 206,214 ------------ CASH EQUIVALENTS -- 2.3% Merrill Lynch EBP Master, 1.670%** 1,451,522 1,452 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 13,469,520 13,470 ------------ Total Cash Equivalents (Cost $14,922) ($ Thousands) 14,922 ------------ U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bills 1.657%, 11/20/08 (C) (E) 1,655 1,655 ------------ Total U.S. Treasury Obligation (Cost $1,651)($ Thousands) 1,655 ------------ Total Investments -- 132.9% (Cost $966,028)($ Thousands) $ 852,796 ============
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ------------- ------------ ---------- ------------- Russell 2000 Index E-MINI 121 Dec-2008 $ (268) =============
Description - ----------------------------------------------- Percentages are based on Net Assets of $641,625 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affilated Security (see Note 3). (A) This Security or a partial position of this security is on loan at September 30, 2008 (see Note 7). The total market value of securities on loan at September 30, 2008 was $204,338 ($ Thousands). (B) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2008 was $2,767 ($ Thousands) and represented 0.43% of Net Assets. (C) Security, or portion thereof, has been pledged as collateral on open futures contracts. (D) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2008 was $206,214 ($ Thousands). (E) The rate reported is the effective yield at time of purchase. (F) Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2008 was $2,767 ($ Thousands) and represents 0.43% of Net Assets. (G) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may not be sold to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. ADR -- American Depositary Receipt Cl -- Class CV -- Convertible Security L.P. -- Limited Partnership PIPE -- Private Investment in Public Entity The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 100 Tax-Managed Small Cap Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Information Technology 17.4% Industrials 16.4% Financials 14.6% Consumer Discretionary 12.7% Health Care 12.5% Energy 5.8% Afffilated Partnership 5.4% Materials 4.2% Utilities 4.0% Consumer Staples 3.4% Short-Term Investment 1.7% Telecommunication Services 1.7% U.S. Treasury Obligation 0.2% Warrants 0.0%
# Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK -- 97.8% CONSUMER DISCRETIONARY -- 13.4% Aaron Rents 18,795 $ 509 Abercrombie & Fitch, Cl A 600 24 Advance Auto Parts 17,600 698 Aeropostale* 1,500 48 American Axle & Manufacturing Holdings 4,900 26 American Eagle Outfitters 23,150 353 American Greetings, Cl A 20,800 318 Ameristar Casinos 5,000 71 AnnTaylor Stores* 23,000 475 Apollo Group, Cl A* 3,500 208 Arbitron 2,400 107 ArvinMeritor 21,100 275 Autoliv 16,000 540 Autonation* (A) 8,315 93 Bally Technologies* 3,600 109 Barnes & Noble 3,200 83 Beazer Homes USA (A) 6,200 37 Bed Bath & Beyond* 2,100 66 Belo, Cl A 28,600 170 Big Lots* 22,215 618 Black & Decker 11,000 668 Blue Nile* (A) 5,100 219 Blyth 2,500 28 Bob Evans Farms 4,700 128 Bon-Ton Stores (A) 9,300 25 BorgWarner 12,200 400 Brookfield Homes 2,600 37 Brunswick 22,200 284 Cabela's* 2,900 35 Cablevision Systems, Cl A 17,500 440 California Pizza Kitchen* 2,600 33 Callaway Golf 26,000 366
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Career Education* 3,700 $ 60 Carmax* (A) 2,100 29 Carter's* 26,900 531 Cato, Cl A 35,350 620 CBRL Group 9,800 258 CEC Entertainment* 8,500 282 Centex 23,200 376 Central European Media Enterprises, Cl A* 1,300 85 Cheesecake Factory* 26,900 393 Chico's FAS* 95,700 523 Chipotle Mexican Grill, Cl A* (A) 10,100 560 Choice Hotels International 1,300 35 Christopher & Banks 4,200 32 Churchill Downs 900 44 Cinemark Holdings 18,600 253 CKE Restaurants 2,700 29 Coinstar* 2,000 64 Coldwater Creek* 6,500 38 Collective Brands* 4,000 73 Columbia Sportswear (A) 1,200 50 Cooper Tire & Rubber 7,700 66 Corinthian Colleges* 50,765 761 CROCS* (A) 96,200 344 Crown Media Holdings, Cl A* 7,300 37 Dana Holding* 4,900 24 Deckers Outdoor* 5,800 604 DeVry 1,400 69 Dick's Sporting Goods* 10,400 204 Dollar Tree* 4,700 171 Domino's Pizza* 5,000 61 Dover Downs Gaming & Entertainment 4,100 32 DreamWorks Animation SKG, Cl A* 8,325 262 DSW, Cl A* 2,600 36 Ethan Allen Interiors 1,200 34 Expedia* 9,900 150 Family Dollar Stores 13,700 325 Finish Line, Cl A 26,110 261 Fisher Communications 900 35 Fossil* 28,900 816 Fred's, Cl A 2,900 41 Fuel Systems Solutions* 7,355 253 GameStop, Cl A* 2,206 75 Gaylord Entertainment* 1,700 50 Gentex 5,300 76 Goodyear Tire & Rubber* 19,600 300 Group 1 Automotive 1,700 37 Guess? 17,100 595 Gymboree* 2,300 82 Hanesbrands* 12,730 277 Harman International Industries 902 31 Harte-Hanks 10,200 106 Hasbro 11,500 399
SEI Institutional Managed Trust / Annual Report / September 30, 2008 101 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - -------------------------------------------- ------------- ------------- Hearst-Argyle Television (A) 6,600 $ 147 Heelys* 7,100 32 Helen of Troy* 2,200 50 Hillenbrand 3,500 71 Hooker Furniture 17,800 316 HOT Topic* 6,900 46 Hovnanian Enterprises, Cl A* 5,300 42 HSN* 1,900 21 Iconix Brand Group* (A) 4,600 60 Insight Enterprises* 26,100 350 Interactive Data 900 23 Interval Leisure Group* 1,900 20 iRobot* 900 13 ITT Educational Services* 2,459 199 J Crew Group* (A) 17,200 491 Jack in the Box* 8,300 175 Jakks Pacific* 16,800 418 Jarden* 3,521 83 Jones Apparel Group 24,122 446 Journal Communications, Cl A 39,400 192 KB Home 3,100 61 K-Swiss, Cl A 3,200 56 Lamar Advertising, Cl A* (A) 7,400 229 Landry's Restaurants 3,200 50 Lear* 15,700 165 Lee Enterprises (A) 6,400 22 Life Time Fitness* 1,000 31 Limited Brands 20,300 352 Live Nation* 40,695 662 Liz Claiborne 4,600 76 LKQ* 46,157 783 Lululemon Athletica* (A) 11,100 256 Martha Stewart Living Omnimedia, Cl A* (A) 39,600 337 Matthews International, Cl A 3,200 162 MDC Holdings 1,100 40 Mediacom Communications, Cl A* 6,100 36 Men's Wearhouse 3,000 64 Meredith 1,600 45 Modine Manufacturing 22,000 319 Morgans Hotel Group* 5,500 60 Morningstar* 400 22 National CineMedia 34,030 376 NetFlix* (A) 18,830 581 New York* 3,500 33 NVR* 700 400 Office Depot* 5,500 32 OfficeMax 29,100 259 O'Reilly Automotive* 2,900 78 Orient-Express Hotels, Cl A 5,459 132 Pacific Sunwear of California* 5,200 35 Panera Bread, Cl A* (A) 7,565 385 Papa John's International* 1,400 38
Market Value Description Shares ($ Thousands) - -------------------------------------------- ------------- ------------- Penn National Gaming* 8,600 $ 229 Phillips-Van Heusen 24,800 940 Pinnacle Entertainment* 2,900 22 Polaris Industries (A) 14,900 678 Polo Ralph Lauren 9,100 606 Pool (A) 7,300 170 Pre-Paid Legal Services* 800 33 priceline.com* 12,755 873 Quiksilver* 113,500 651 RadioShack 17,100 295 Raser Technologies* (A) 6,400 54 Regal Entertainment Group, Cl A 16,300 257 Regis 4,100 113 Rent-A-Center* 6,086 136 RHI Entertainment* 33,200 495 Ross Stores 15,920 587 Ruby Tuesday* 34,800 201 Ryland Group 2,100 56 Saks* (A) 5,000 46 Sally Beauty Holdings* 4,200 36 Sauer-Danfoss 4,211 104 Scholastic 17,700 455 Scientific Games, Cl A* 30,954 713 Sealy (A) 10,300 67 Service International 3,400 28 Sinclair Broadcast Group, Cl A 2,700 14 Skechers U.S.A., Cl A* 2,500 42 Snap-On 7,360 389 Sonic* 3,500 51 Sonic Automotive, Cl A 12,800 108 Sotheby's 4,700 94 Stage Stores 25,300 346 Stamps.com* 4,400 51 Standard-Pacific 7,100 35 Stewart Enterprises, Cl A 4,300 34 Strayer Education 1,500 301 Systemax 2,300 32 Talbots (A) 7,810 102 Tempur-Pedic International 3,600 42 Texas Roadhouse, Cl A* 3,400 31 Thor Industries (A) 1,500 37 Ticketmaster* 1,900 20 Tiffany 13,100 465 Tractor Supply* 5,700 240 Tupperware Brands 19,760 546 Ulta Salon Cosmetics & Fragrance* 2,500 33 Under Armour, Cl A* 650 21 Universal Electronics* 2,400 60 Urban Outfitters* 14,300 456 Vail Resorts* (A) 1,400 49 Warnaco Group* 2,110 96 Warner Music Group 71,500 543 Weight Watchers International 7,500 275
SEI Institutional Managed Trust / Annual Report / September 30, 2008 102
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Wet Seal, Cl A* 36,470 $ 132 Whirlpool 8,500 674 Williams-Sonoma (A) 40,300 652 WMS Industries* 26,350 806 Wolverine World Wide 2,000 53 Wynn Resorts 800 65 Zale* (A) 11,105 278 Zumiez* 1,800 30 ----------- 42,860 ----------- CONSUMER STAPLES -- 3.6% Alberto-Culver 24,400 665 American Italian Pasta, Cl A* (A) 6,300 105 American Oriental Bioengineering* 25,000 162 Avon Products 5,452 227 Bare Escentuals* 26,200 285 BJ's Wholesale Club* 11,400 443 Boston Beer, Cl A* 800 38 Casey's General Stores 900 27 Central Garden and Pet, Cl A* 24,141 144 Chattem* (A) 7,800 610 Church & Dwight 4,400 273 Constellation Brands, Cl A* 32,100 689 Corn Products International 3,864 125 Dean Foods* 20,300 474 Del Monte Foods 3,900 30 Diamond Foods 1,900 53 Flowers Foods 15,335 450 Fresh Del Monte Produce* 5,400 120 Hain Celestial Group* 40,900 1,126 Hansen Natural* 2,325 70 J&J Snack Foods 2,100 71 Lancaster Colony 1,000 38 Lance 1,400 32 Longs Drug Stores 700 53 Molson Coors Brewing, Cl B 14,200 664 Nash Finch 11,300 487 NBTY* 1,200 35 Pepsi Bottling Group 14,200 414 PepsiAmericas 9,200 191 Pilgrim's Pride 8,000 20 Prestige Brands Holdings* 5,100 45 Ralcorp Holdings* 12,600 849 Ruddick 20,167 654 SUPERVALU 20,900 454 Tootsie Roll Industries 3,000 87 TreeHouse Foods* 4,800 143 Tyson Foods, Cl A 2,200 26 United Natural Foods* 1,600 40 Universal 6,600 324 Vector Group 3,255 57 Village Super Market, Cl A 3,200 153
Market Value Description Shares ($ Thousands) - -------------------------------------------- ------------- ------------- WD-40 900 $ 32 Weis Markets 1,000 36 Whole Foods Market (A) 26,200 525 ----------- 11,546 ----------- ENERGY -- 6.2% APCO Argentina 1,000 28 Arch Coal 1,600 53 Arena Resources* 750 29 Atlas America 1,000 34 ATP Oil & Gas* 4,575 81 Atwood Oceanics* 18,600 677 Basic Energy Services* 3,100 66 Berry Petroleum, Cl A 10,390 402 Bill Barrett* 1,000 32 BPZ Resources* 4,500 77 Brigham Exploration* 2,200 24 Bristow Group* 3,700 125 Cal Dive International* 32,300 342 Cameron International* 2,950 114 CARBO Ceramics 1,200 62 Cimarex Energy 8,800 430 Complete Production Services* 7,240 146 Concho Resources* 29,400 812 Consol Energy 1,600 73 Core Laboratories 5,055 512 Crosstex Energy 1,100 27 Denbury Resources* 9,000 171 Dresser-Rand Group* 18,340 577 Dril-Quip* 1,200 52 Encore Acquisition* 1,400 58 Energy XXI Bermuda 66,570 202 ENSCO International 1,800 104 EOG Resources 800 72 EXCO Resources* 20,090 328 Exterran Holdings* 1,052 34 FMC Technologies* 17,020 792 Forest Oil* 4,159 206 Foundation Coal Holdings 6,325 225 Frontline (A) 5,300 255 General Maritime 1,400 27 GeoMet* 4,900 27 Global Industries* 47,300 328 GMX Resources* 1,075 51 Goodrich Petroleum* 8,000 349 Grey Wolf* 12,000 93 Gulf Island Fabrication 1,200 41 Gulfmark Offshore* 1,000 45 Gulfport Energy* 2,200 22 Harvest Natural Resources* 2,600 26 Helix Energy Solutions Group* 10,400 253 Helmerich & Payne 10,000 432 Hercules Offshore* 22,000 334
SEI Institutional Managed Trust / Annual Report / September 30, 2008 103 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Hess 3,400 $ 279 Holly 1,100 33 Hornbeck Offshore Services* 900 35 Hugoton Royalty Trust 3,850 103 ION Geophysical* 46,800 665 Lufkin Industries 1,100 87 Mariner Energy* 10,874 223 Massey Energy 3,069 109 McMoRan Exploration* (A) 3,710 88 Meridian Resource* 6,600 12 National Oilwell Varco* 4,000 201 Newfield Exploration* 3,400 109 Nordic American Tanker Shipping 1,100 35 Oceaneering International* 6,650 355 Oil States International* 1,300 46 Overseas Shipholding Group 6,800 397 Patriot Coal* 480 14 Patterson-UTI Energy 20,500 410 Peabody Energy 2,400 109 Penn Virginia 5,600 299 PetroHawk Energy* 31,300 677 Petroleum Development* 2,950 131 Pioneer Drilling* 6,800 90 Plains Exploration & Production* 3,625 127 Quicksilver Resources* 1,300 26 Range Resources 4,200 180 Rosetta Resources* 4,100 75 Rowan 13,700 419 RPC 3,375 47 SEACOR Holdings* 6,000 475 Smith International 1,079 63 Southwestern Energy* 2,000 61 Stone Energy* 2,664 113 Sunoco 11,600 413 Superior Energy Services* 14,000 436 Swift Energy* 16,500 638 Tesoro 32,600 538 Tetra Technologies* 33,850 469 Tidewater 10,720 593 Transmontaigne Partners 600 13 Ultra Petroleum* 900 50 Unit* 12,805 638 USEC* 51,000 276 W&T Offshore 2,250 61 Whiting Petroleum* 1,000 71 Willbros Group* 1,900 50 Williams 2,985 71 ----------- 19,660 ----------- FINANCIALS -- 15.3% 1st Source 1,900 45 Abington Bancorp 3,900 39 Acadia Realty Trust+ 2,000 51
Market Value Description Shares ($ Thousands) - -------------------------------------------- ------------- ------------- Advance America Cash Advance Centers 34,500 $ 103 Advanta, Cl B 4,900 40 Affiliated Managers Group* 11,700 969 Alexander's*+ 100 40 Alexandria Real Estate Equities+ 200 23 Allied Capital (A) 16,900 183 Allied World Assurance Holdings 1,800 64 AMB Property+ 3,900 177 American Campus Communities+ 1,200 41 American Financial Group 33,300 982 AmeriCredit* (A) 30,500 309 Anchor Bancorp Wisconsin 4,100 30 Annaly Capital Management+ 12,000 161 Anthracite Capital+ 6,300 34 Anworth Mortgage Asset+ 57,200 339 AON 4,000 180 Apollo Investment* 3,700 63 Argo Group International Holdings* 4,300 158 Aspen Insurance Holdings 21,400 589 Associated Banc-Corp (A) 13,100 261 Assurant 7,300 402 Assured Guaranty 2,700 44 Astoria Financial 31,218 647 Bancfirst 700 34 Banco Latinoamericano de Exportaciones, Cl E 31,500 454 Bancorpsouth 3,200 90 Bank Mutual 7,000 79 Bank of Hawaii 900 48 Beneficial Mutual Bancorp* 9,000 114 BioMed Realty Trust+ 800 21 BlackRock 896 174 Blackstone Group 59,400 911 Boston Private Financial Holdings 39,000 341 Brandywine Realty Trust+ 7,000 112 BRE Properties, Cl A+ 400 20 Capital City Bank Group 1,400 44 Capital Southwest 300 43 Capitol Federal Financial 7,310 324 CapLease+ 2,500 20 Capstead Mortgage+ 4,000 44 Cash America International 1,000 36 Castlepoint Holdings 5,600 62 Cathay General Bancorp (A) 5,900 140 CB Richard Ellis Group, Cl A* 20,100 269 Cedar Shopping Centers+ 5,400 71 Central Pacific Financial 27,000 454 Chemical Financial 2,300 72 Cincinnati Financial 4,600 131 CIT Group 30,100 209 City Bank 1,732 27 City National 500 27
SEI Institutional Managed Trust / Annual Report / September 30, 2008 104
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Clifton Savings Bancorp 9,700 $ 116 CME Group 104 39 Cohen & Steers 3,100 88 Colonial BancGroup (A) 69,100 543 Columbia Banking System 528 9 Comerica 14,100 462 Commerce Bancshares 2,082 97 Corporate Office Properties Trust+ 700 28 Corus Bankshares 5,141 21 Cousins Properties+ 2,600 66 Cowen Group* 4,600 39 Credit Acceptance* 2,100 37 Cullen/Frost Bankers 4,300 258 CVB Financial (A) 7,500 104 Delphi Financial Group, Cl A 2,400 67 DiamondRock Hospitality+ 7,200 66 Discover Financial Services 6,800 94 Dollar Financial* 1,900 29 Douglas Emmett+ 15,500 358 E*Trade Financial* (A) 26,200 73 East West Bancorp (A) 30,900 424 EastGroup Properties+ 1,200 58 Eaton Vance 5,879 207 eHealth* 380 6 EMC Insurance Group 3,520 105 Employers Holdings 5,700 99 Encore Capital Group* 10,300 141 Endurance Specialty Holdings 1,100 34 Enstar Group* 400 39 Entertainment Properties Trust+ 800 44 Equity Lifestyle Properties+ 2,800 148 Equity One+ 2,800 57 Everest Re Group 9,500 822 Extra Space Storage+ 10,200 157 FBL Financial Group, Cl A 3,700 103 FBR Capital Markets*+ 7,400 48 FCStone Group* 4,000 72 Federal Realty Investment Trust+ 300 26 FelCor Lodging Trust+ 12,200 87 Financial Federal 22,500 516 Financial Institutions 1,900 38 First American 32,300 953 First Commonwealth Financial 18,500 249 First Financial Bancorp 10,800 158 First Financial Bankshares 1,500 79 First Horizon National 8,966 84 First Industrial Realty Trust+ (A) 3,700 106 First Niagara Financial Group 2,600 41 First Potomac Realty Trust+ 1,100 19 FirstMerit 3,300 69 Flagstone Reinsurance Holdings 4,400 45 Flushing Financial 1,500 26 Franklin Street Properties+ 8,800 114 Frontier Financial (A) 4,200 56
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Fulton Financial 20,400 $ 223 Getty Realty+ 3,100 69 GLG Partners 4,300 23 Greenhill (A) 5,300 391 Hancock Holding 3,600 184 Hanmi Financial 8,900 45 Hanover Insurance Group 33,191 1,512 Harleysville Group (A) 3,500 132 Harleysville National 3,300 56 Hatteras Financial+ 2,500 58 HCC Insurance Holdings 21,900 591 Health Care+ 2,100 112 Healthcare Realty Trust+ 3,100 90 Hersha Hospitality Trust+ 57,600 429 Highwoods Properties+ 600 21 Hilb Rogal & Hobbs 2,300 108 Hilltop Holdings* 13,000 134 Hospitality Properties Trust+ 23,100 474 HRPT Properties Trust+ 112,900 778 Hudson City Bancorp 5,600 103 Huntington Bancshares (A) 34,000 273 IBERIABANK 700 37 Infinity Property & Casualty 1,000 41 Inland Real Estate+ 10,200 160 IntercontinentalExchange* 1,235 100 Investment Technology Group* 1,100 33 Investors Real Estate Trust+ 11,900 133 IPC Holdings 18,700 565 Janus Capital Group 6,400 155 Jefferies Group (A) 22,800 511 Jones Lang LaSalle 1,800 78 Kearny Financial 6,100 75 Keycorp 20,900 250 Kilroy Realty+ 4,375 209 Knight Capital Group, Cl A* 2,300 34 LandAmerica Financial Group 7,600 184 Lazard, Cl A 5,975 256 Leucadia National 1,000 45 Lexington Realty Trust+ 5,500 95 LTC Properties+ 2,900 85 Macerich+ 5,900 376 Markel* 500 176 Max Capital Group 2,000 46 MBIA (A) 27,500 327 MCG Capital 15,900 42 Meadowbrook Insurance Group 30,700 217 Medical Properties Trust+ 6,000 68 Meruelo Maddux Properties* 115,100 140 MF Global* 7,700 33 MFA Mortgage Investments+ 102,100 664 MGIC Investment 19,300 136 Mid-America Apartment Communities+ 1,300 64 Montpelier Re Holdings 31,600 522
SEI Institutional Managed Trust / Annual Report / September 30, 2008 105 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- MSCI, Cl A* 21,000 $ 504 NASDAQ Stock Market* 28,800 880 National Financial Partners 9,157 137 National Health Investors+ 11,500 393 National Retail Properties+ 3,000 72 Nationwide Financial Services, Cl A 10,300 508 Nationwide Health Properties+ 11,200 403 Navigators Group* 5,163 299 NBT Bancorp 3,100 93 Nelnet, Cl A 2,900 41 New York Community Bancorp 2,723 46 NewAlliance Bancshares 14,800 222 NewStar Financial* 8,700 70 Northfield Bancorp* 3,100 38 NorthStar Realty Finance+ 11,700 91 Northwest Bancorp 1,100 30 NYSE Euronext 1,375 54 Och-Ziff Capital Management Group, Cl A 26,900 314 Ocwen Financial* 7,500 60 Old National Bancorp 10,200 204 Old Republic International 27,375 349 Omega Healthcare Investors+ 7,100 140 optionsXpress Holdings 3,800 74 Pacific Capital Bancorp 3,200 65 PacWest Bancorp 1,900 54 Park National (A) 5,400 421 Parkway Properties+ 3,300 125 PartnerRe 700 48 PennantPark Investment 4,500 33 Penson Worldwide* 2,700 37 People's United Financial 22,324 430 PHH* 39,451 524 Phoenix 3,300 30 Piper Jaffray* 2,727 118 Platinum Underwriters Holdings 18,500 656 Popular (A) 23,100 191 Portfolio Recovery Associates* 900 44 Post Properties+ 1,600 45 Potlatch+ 900 42 ProAssurance* 3,500 196 Provident Bankshares (A) 28,790 280 PS Business Parks+ 1,800 104 Public Storage+ 3,275 324 Radian Group (A) 16,300 82 RAIT Financial Trust+ (A) 42,000 231 Ramco-Gershenson Properties+ 2,600 58 Rayonier+ 9,550 452 Realty Income+ (A) 7,400 189 Regions Financial 41,700 400 S&T Bancorp 5,300 195 Sandy Spring Bancorp 2,500 55 Saul Centers+ 1,300 66 South Financial Group (A) 14,900 109
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Sovran Self Storage+ 500 $ 22 St. Joe (A) 2,851 111 StanCorp Financial Group 8,800 458 State Auto Financial 1,400 41 State Street 452 26 Sterling Bancshares 42,495 444 Sterling Financial 12,700 184 Strategic Hotels & Resorts+ 13,400 101 Sun Communities+ 1,800 36 Sunstone Hotel Investors+ 25,800 348 Susquehanna Bancshares 5,100 100 SVB Financial Group* 2,600 151 SWS Group 7,600 153 Tanger Factory Outlet Centers+ 1,600 70 TCF Financial (A) 35,300 635 TD Ameritrade Holding* 8,829 143 Trustco Bank NY 23,500 275 Trustmark 1,800 37 UCBH Holdings (A) 95,200 610 UMB Financial 2,785 146 UnionBanCal 800 59 United Community Banks (A) 27,018 358 United Fire & Casualty 1,200 34 Unitrin 10,800 269 Universal Health Realty Income Trust+ 300 12 Unum Group 39,200 984 U-Store-It Trust+ 3,500 43 Validus Holdings 1,800 42 Ventas+ 1,400 69 Waddell & Reed Financial, Cl A 5,900 146 Washington Federal 7,000 129 Washington Real Estate Investment Trust+ 1,600 59 Westamerica Bancorporation (A) 1,200 69 Western Alliance Bancorp* (A) 7,000 108 Westfield Financial 2,625 27 Whitney Holding 24,800 601 WR Berkley 16,800 396 Zions Bancorporation (A) 18,000 697 ----------- 48,651 ----------- HEALTH CARE -- 13.2% Abaxis* 2,200 43 Accelrys* 51,000 280 Adolor* 5,900 20 Advanced Medical Optics* 32,800 583 Affymetrix* 70,900 549 Albany Molecular Research* 5,100 92 Alexion Pharmaceuticals* 9,690 381 Align Technology* 8,465 92 Allos Therapeutics* 3,500 26 Allscripts Healthcare Solutions* 2,500 31
SEI Institutional Managed Trust / Annual Report / September 30, 2008 106
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Alpharma, Cl A* 1,108 $ 41 Amedisys* (A) 8,400 409 American Medical Systems Holdings* 3,400 60 AMERIGROUP* 3,420 86 AmerisourceBergen 10,400 392 Amsurg* 4,200 107 Amylin Pharmaceuticals* 2,400 49 Analogic 1,574 78 Angiodynamics* 1,400 22 Applied Biosystems 14,865 509 Apria Healthcare Group* 21,400 390 Assisted Living Concepts, Cl A* 5,500 35 Barr Pharmaceuticals* 2,000 131 Beckman Coulter 3,600 256 Biogen Idec* 3,100 156 BioMarin Pharmaceuticals* 33,200 879 Bio-Rad Laboratories, Cl A* 900 89 Brookdale Senior Living (A) 1,700 37 Bruker BioSciences* 22,600 301 Cambrex* 86,000 529 Celera* 30,200 467 Celgene* 1,422 90 Cephalon* 3,321 257 Cerner* 400 18 Charles River Laboratories International* 3,550 197 Chemed 16,864 692 Community Health Systems* 20,900 613 Computer Programs & Systems 920 27 Conmed* 2,900 93 Cooper 37,835 1,315 Corvel* 693 20 Covance* 5,075 449 Coventry Health Care* 9,700 316 Cubist Pharmaceuticals* 71,100 1,581 CV Therapeutics* 3,800 41 Cyberonics* 12,450 212 Cypress Bioscience* 6,200 46 DaVita* 8,000 456 Dentsply International 29,220 1,097 Dionex* 800 51 Discovery Laboratories* 29,000 54 Eclipsys* 6,096 128 Edwards Lifesciences* 9,240 534 Endo Pharmaceuticals Holdings* 4,800 96 Enzo Biochem* 8,400 92 Enzon Pharmaceuticals* 2,600 19 eResearchTechnology* 11,148 133 ev3* 4,095 41 Exelixis* 14,300 87 Express Scripts* 5,350 395 Forest Laboratories* 4,975 141 Gen-Probe* 6,500 345 Gentiva Health Services* 10,910 294
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Genzyme* 3,102 $ 251 Geron* 8,900 35 Greatbatch* 12,200 299 GTx* 2,200 42 Haemonetics* 1,000 62 Halozyme Therapeutics* 5,900 43 Hanger Orthopedic Group* 15,725 274 Health Management Associates, Cl A* 64,400 268 Health Net* 38,125 900 Healthsouth* 7,900 146 Healthspring* 1,900 40 Healthways* 3,095 50 Henry Schein* 3,200 172 Hill-Rom Holdings 6,600 200 HLTH* 9,900 113 Hologic* 21,594 417 Human Genome Sciences* 14,800 94 Humana* 6,900 284 Idexx Laboratories* 5,100 279 Illumina* 15,040 610 Immucor* 8,150 260 IMS Health 15,900 301 Integra LifeSciences Holdings* 1,000 44 InterMune* (A) 2,500 43 Intuitive Surgical* 1,450 349 Inverness Medical Innovations* 16,900 507 Invitrogen* 6,100 231 Isis Pharmaceuticals* 3,900 66 Kendle International* 2,200 98 Kindred Healthcare* 3,327 92 Kinetic Concepts* 5,400 154 King Pharmaceuticals* 23,700 227 KV Pharmaceutical, Cl A* 1,900 43 Laboratory Corp of America Holdings* 6,500 452 Landauer 700 51 LCA-Vision 18,400 85 LHC Group* 3,000 85 LifePoint Hospitals* 11,175 359 Lincare Holdings* 9,200 277 Magellan Health Services* 18,893 776 Martek Biosciences 6,300 198 Masimo* 6,300 234 Medarex* 182,800 1,183 MedAssets* 14,100 243 Medicines* 5,800 135 Medicis Pharmaceutical, Cl A 28,600 426 Meridian Bioscience 5,000 145 Merit Medical Systems* 16,330 307 Metabolix* (A) 32,800 357 Millipore* 400 28 Molina Healthcare* 1,100 34 Momenta Pharmaceuticals* 13,485 177
SEI Institutional Managed Trust / Annual Report / September 30, 2008 107 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Mylan Laboratories* 24,700 $ 282 Myriad Genetics* 19,535 1,267 National Healthcare 1,600 75 Nektar Therapeutics* 9,000 32 Nighthawk Radiology Holdings* 3,400 25 NuVasive* 1,600 79 Omnicell* 1,831 24 Onyx Pharmaceuticals* 2,700 98 Orexigen Therapeutics* 3,800 41 OSI Pharmaceuticals* 6,818 336 Owens & Minor 3,085 150 Par Pharmaceutical* 3,870 48 Parexel International* 10,600 304 Patterson* 8,400 255 PDL BioPharma* 3,100 29 Pediatrix Medical Group* 11,000 593 PerkinElmer 14,400 360 Perrigo 12,805 492 Pharmaceutical Product Development 11,100 459 Pharmacopeia* 29,750 44 PharmaNet Development Group* 4,600 33 PharMerica* 31,000 697 Phase Forward* 3,300 69 PSS World Medical* (A) 1,400 27 Psychiatric Solutions* 17,870 678 Qiagen* 16,874 333 Quidel* 2,800 46 Resmed* 5,665 244 Salix Pharmaceuticals* 3,300 21 Savient Pharmaceuticals* 2,100 31 Sciele Pharma 1,800 55 Seattle Genetics* 3,800 41 Sirona Dental Systems* 25,859 602 Somanetics* 4,200 92 STERIS 2,400 90 SurModics* (A) 1,100 35 Symmetry Medical* 8,100 150 Techne* 3,000 216 Theravance* 5,100 64 Thermo Fisher Scientific* 3,400 187 Thoratec* 12,200 320 TranS1* 9,100 90 Universal Health Services, Cl B 1,614 90 Valeant Pharmaceuticals International* 7,600 156 Varian* 14,100 605 Varian Medical Systems* 4,900 280 VCA Antech* 800 24 Vertex Pharmaceuticals* 1,300 43 Viropharma* 8,000 105 Vital Signs 1,400 103 Vnus Medical Technologies* 4,400 92 Volcano* 15,590 270
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Waters* 2,025 $ 118 Watson Pharmaceuticals* 27,800 792 WellCare Health Plans* 5,975 215 West Pharmaceutical Services 1,200 59 Wright Medical Group* 2,900 88 XenoPort* 700 34 Zoll Medical* 3,100 101 Zymogenetics* 7,700 51 ------------ 41,936 ------------ INDUSTRIALS -- 17.3% AAON 1,500 27 Actuant, Cl A 34,452 870 Acuity Brands 8,300 347 Advisory Board* 7,900 238 AGCO* 10,970 467 Aircastle 16,800 166 Alaska Air Group* 13,800 281 Albany International, Cl A 11,084 303 Alexander & Baldwin 2,039 90 Alliant Techsystems* 688 65 Allied Waste Industries* 2,300 26 Amerco* 441 18 American Reprographics* 2,700 47 American Superconductor* (A) 2,800 66 Ametek 750 31 Ampco-Pittsburgh 8,000 207 AO Smith 12,200 478 Apogee Enterprises 2,300 35 Applied Industrial Technologies 1,050 28 Arkansas Best 7,200 243 Atlas Air Worldwide Holdings* 800 32 Avis Budget Group* 9,700 56 Baldor Electric 1,300 37 Barnes Group 1,900 38 BE Aerospace* 15,300 242 Beacon Roofing Supply* 19,350 302 Blount International* 2,475 28 BlueLinx Holdings (A) 9,000 48 Bowne 23,500 271 Brady, Cl A 1,600 56 Briggs & Stratton (A) 29,100 471 Brink's 29,085 1,775 Bucyrus International, Cl A 8,220 367 C.H. Robinson Worldwide 1,800 92 Ceradyne* 2,000 73 Chart Industries* 17,320 495 China Architectural Engineering* 4,100 29 Clarcor 1,600 61 Clean Harbors* 500 34 CNH Global 3,060 67 Columbus McKinnon* 3,049 72
SEI Institutional Managed Trust / Annual Report / September 30, 2008 108
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Copa Holdings, Cl A 1,900 $ 62 Copart* 9,600 365 Corrections Corp of America* 14,800 368 CoStar Group* 1,500 68 Crane 19,300 573 Cummins 13,900 608 Curtiss-Wright 9,500 432 Danaos 11,000 163 Delta Air Lines* 10,700 80 Deluxe 44,200 636 Donaldson 600 25 Dun & Bradstreet 7,949 750 Dycom Industries* 10,200 133 Dynamic Materials 10,300 239 Eagle Bulk Shipping 5,900 82 EMCOR Group* 6,414 169 Energy Conversion Devices* 5,780 337 EnerSys* 9,200 181 Ennis 2,900 45 EnPro Industries* 14,100 524 Equifax 8,417 290 ESCO Technologies* 11,410 550 Esterline Technologies* 8,100 321 Evergreen Solar* (A) 86,700 479 Expeditors International of Washington 15,800 550 Fastenal 1,200 59 Federal Signal 2,400 33 Flowserve 2,900 257 Forward Air 1,500 41 Franklin Electric 800 36 FTI Consulting* 11,200 809 G&K Services 1,000 33 Gardner Denver* 27,570 957 GATX 5,100 202 GenCorp* 12,925 87 General Cable* 2,639 94 Geo Group* 5,488 111 Goodrich 10,257 427 Gorman-Rupp 1,250 47 Graco 500 18 GrafTech International* 34,995 529 Graham 600 32 Granite Construction 14,400 516 GT Solar International* 34,400 373 H&E Equipment Services* 7,475 72 Harsco 3,600 134 Heartland Express 1,800 28 Herman Miller 2,700 66 Hexcel* 21,000 287 HNI 2,000 51 HUB Group, Cl A* 18,010 678 Hubbell, Cl B 23,900 838 Huron Consulting Group* 400 23
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- IHS, Cl A* 10,500 $ 500 II-VI* 1,200 46 IKON Office Solutions 3,300 56 Interline Brands* 2,100 34 ITT 8,300 462 Jacobs Engineering Group* 3,949 214 JB Hunt Transport Services 18,900 631 John Bean Technologies* 779 10 Joy Global 5,800 262 Kaman 2,407 69 Kansas City Southern* 24,580 1,090 Kaydon 13,400 604 KBR 19,100 292 Kelly Services, Cl A 17,900 341 Kennametal 900 24 Kirby* 24,999 948 Knoll 2,900 44 Korn/Ferry International* 2,200 39 Ladish* 25,717 521 Landstar System 3,200 141 Lennox International 20,800 692 Lincoln Electric Holdings 6,295 405 Lydall* 4,500 43 Manitowoc 14,900 232 Manpower 5,600 242 MasTec* 2,500 33 Mcgrath Rentcorp 1,200 35 Milacron* 7,436 8 Mine Safety Appliances 11,100 423 Monster Worldwide* 11,200 167 Moog, Cl A* 2,300 99 MPS Group* 3,000 30 MSC Industrial Direct, Cl A 1,200 55 Mueller Industries 24,300 559 Navistar International* 3,600 195 NCI Building Systems* 900 29 Nordson 1,000 49 Northwest Airlines* 10,900 98 Old Dominion Freight Line* 1,850 52 Orbital Sciences* 25,900 621 Oshkosh Truck 10,200 134 Otter Tail 2,200 68 Owens Corning* 8,930 214 Pall 36,450 1,254 Perini* 4,600 119 Pike Electric* 2,500 37 Quanex Building Products 2,700 41 Quanta Services* 40,936 1,106 RBC Bearings* 1,200 40 Regal-Beloit 8,100 344 Republic Airways Holdings* 3,600 37 Resources Connection* 52,449 1,182 Robert Half International 1,300 32 Rollins 22,600 429
SEI Institutional Managed Trust / Annual Report / September 30, 2008 109 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Roper Industries 500 $ 28 RR Donnelley & Sons 1,500 37 RSC Holdings* 9,000 102 Ryder System 42,770 2,652 School Specialty* 900 28 Seaboard 89 112 Shaw Group* 1,100 34 Skywest 2,400 38 Southwest Airlines 19,500 283 Spirit Aerosystems Holdings, Cl A* 8,100 130 SPX 6,255 482 Standard Register 4,464 44 Steelcase, Cl A 43,200 464 Stericycle* 1,000 59 Sunpower, Cl A* (A) 15,800 1,121 Sunpower, Cl B* 1,344 93 Suntech Power Holdings ADR* 6,700 240 SYKES Enterprises* 39,684 871 TAL International Group 2,200 46 Tecumseh Products, Cl A* 18,100 453 Teledyne Technologies* 12,600 720 Teleflex 8,100 514 Tetra Tech* 5,700 137 Textainer Group Holdings 2,000 30 Textron 13,100 384 Thomas & Betts* 6,300 246 Timken 8,700 247 Toro 1,400 58 TrueBlue* 2,200 36 Twin Disc 1,305 18 UAL (A) 13,300 117 United Rentals* 15,149 231 United Stationers* 17,012 814 United Technologies 1,085 65 Universal Forest Products 2,200 77 URS* 8,900 326 UTI Worldwide 4,700 80 Viad 1,900 55 Vicor 3,100 28 Wabash National 22,200 210 Wabtec 10,137 519 Walter Industries 5,200 247 Waste Connections* 21,234 728 Waste Services* 4,300 32 Watsco 1,700 85 Watson Wyatt Worldwide, Cl A 30,445 1,514 Watts Water Technologies, Cl A 2,300 63 Woodward Governor 1,200 42 WW Grainger 10,900 948 YRC Worldwide* (A) 20,600 246 ---------- 55,113 ----------
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- INFORMATION TECHNOLOGY -- 18.3% 3Com* 132,200 $ 308 ACI Worldwide* 2,700 47 Activision Blizzard* 23,965 370 Acxiom 27,648 347 Adtran 2,200 43 Advanced Analogic Technologies* 8,875 41 Advanced Energy Industries* 2,300 31 Advanced Micro Devices* 13,400 70 Advent Software* 10,600 373 Akamai Technologies* 9,806 171 Alliance Data Systems* 6,200 393 Alliance Semiconductor 32,500 24 Amkor Technology* 29,900 190 Anixter International* 6,400 381 Ansys* 10,000 379 Applied Micro Circuits* 29,825 178 Ariba* 8,700 123 ARM Holdings ADR 90,400 470 Arris Group* 80,600 623 Arrow Electronics* 1,000 26 Aruba Networks* 6,600 34 Aspen Technology* 3,200 41 Atheros Communications* 17,695 417 Atmel* 15,900 54 Autodesk* 1,000 34 Avanex* 14,520 68 Avid Technology* 1,700 41 Avnet* 29,600 729 BearingPoint* 75,000 39 Benchmark Electronics* 4,600 65 Black Box 8,000 276 Blackboard* 3,625 146 BMC Software* 4,600 132 Brightpoint* 2,705 19 Broadridge Financial Solutions 29,100 448 Brocade Communications Systems* 131,600 766 Brooks Automation* 3,800 32 Cabot Microelectronics* 5,200 167 CACI International, Cl A* 1,500 75 Cadence Design Systems* 33,800 228 Checkpoint Systems* 6,077 114 China Digital TV Holding ADR* 28,500 233 Ciena* 18,000 181 Cirrus Logic* 7,887 43 Citrix Systems* 5,621 142 Cognex 19,400 391 Cognizant Technology Solutions, Cl A* 7,100 162 Coherent* 5,745 204 CommScope* 1,000 35 Commvault Systems* 19,300 233 Computer Sciences* 9,800 394
SEI Institutional Managed Trust / Annual Report / September 30, 2008 110
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Comtech Telecommunications* 1,000 $ 49 Comverse Technology* 48,500 464 Convergys* 21,400 316 Cree* (A) 3,649 83 CSG Systems International* 22,634 397 CTS 47,450 606 Cybersource* 2,000 32 Cymer* 9,401 238 Cypress Semiconductor* 4,900 26 DealerTrack Holdings* 4,300 72 Diebold 6,875 228 Digital River* 9,800 318 Dolby Laboratories, Cl A* 12,000 422 DST Systems* 2,900 162 Echelon* 2,600 26 EchoStar, Cl A* 1,200 29 Electronics for Imaging* 9,790 136 Emulex* 800 9 Entegris* 3,000 15 Epicor Software* 4,600 36 Equinix* 4,400 306 Euronet Worldwide* 2,700 45 Exar* 4,100 31 F5 Networks* 2,000 47 Factset Research Systems 10,685 558 Fair Isaac 25,900 597 FEI* 2,700 64 Fidelity National Information Services 900 17 Flextronics International* 76,500 542 Flir Systems* 16,910 650 Formfactor* 3,700 64 Forrester Research* 900 26 Foundry Networks* 5,100 93 Gartner* 22,514 511 Gevity HR 48,900 356 Global Payments 800 36 Greenfield Online* 4,400 77 GSI Commerce* 88,832 1,375 Harris 800 37 Harris Stratex Networks, Cl A* 3,300 26 Heartland Payment Systems 16,935 433 Hewitt Associates, Cl A* 1,834 67 IAC* 4,750 82 Ikanos Communications* 45,600 90 Imation 6,600 149 Immersion* 45,800 267 Infinera* 9,000 86 Informatica* 2,900 38 Ingram Micro, Cl A* 1,200 19 Integral Systems 13,670 284 Integrated Device Technology* 42,900 334 InterDigital* 1,700 41 Intermec* 3,601 71 International Rectifier* 907 17
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Intersil, Cl A 52,600 $ 872 Intuit* 7,900 250 IPG Photonics* 4,400 86 Iron Mountain* 1,200 29 Isilon Systems* 16,100 71 Itron* 4,715 417 j2 Global Communications* 1,300 30 Jabil Circuit 3,200 31 Jack Henry & Associates 2,200 45 JDS Uniphase* 39,300 332 Juniper Networks* 2,654 56 Kenexa* 1,900 30 Keynote Systems* 34,400 456 Kulicke & Soffa Industries* 32,700 147 L-1 Identity Solutions, Cl 1* 2,300 35 Lam Research* 7,350 231 Lawson Software* 116,840 818 Lender Processing Services 11,450 349 Lexmark International, Cl A* 24,600 801 Linear Technology 4,400 135 Littelfuse* 2,200 65 LSI Logic* 60,300 323 Macrovision Solutions* 2,924 45 Manhattan Associates* 3,000 67 Mantech International, Cl A* 1,500 89 MAXIMUS 11,400 420 Maxwell Technologies* (A) 7,500 100 McAfee* 2,031 69 MEMC Electronic Materials* 2,925 83 Mentor Graphics* 10,200 116 Mercury Computer Systems* 38,800 345 Merrimac Industries* 6,300 34 Methode Electronics 33,500 299 Mettler Toledo International* 3,500 343 Micrel 8,400 76 Microsemi* 38,081 970 MicroStrategy, Cl A* 437 26 Microtune* 6,235 17 MKS Instruments* 22,400 446 ModusLink Global Solutions* 2,600 25 Molex 13,100 294 Monolithic Power Systems* 6,628 115 Move* 38,855 82 MSC.Software* 2,900 31 MTS Systems 2,419 102 National Instruments 1,300 39 NCR* 2,625 58 Ness Technologies* 2,600 30 Net 1 UEPS Technologies* 1,300 29 Netezza* 4,800 51 Netlogic Microsystems* 625 19 NeuStar, Cl A* 1,600 32 NIC 3,700 26 Novell* 4,200 22
SEI Institutional Managed Trust / Annual Report / September 30, 2008 111 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Omniture* 19,800 $ 364 Omnivision Technologies* 2,800 32 ON Semiconductor* 108,379 733 Open Text* (A) 10,985 380 Opnext* 6,800 31 Orckit Communications* 25,100 155 Park Electrochemical 1,900 46 Perfect World ADR* 13,165 295 Pericom Semiconductor* 2,100 22 Plantronics 1,600 36 Plexus* 1,200 25 PMC - Sierra* 94,700 703 Polycom* 81,300 1,880 Powerwave Technologies* 7,400 29 Progress Software* 1,200 31 QLogic* 22,265 342 Quest Software* 2,900 37 Radware* 18,900 157 Rambus* 2,400 31 RealNetworks* 15,150 77 Red Hat* 79,900 1,204 RF Micro Devices* 107,800 315 Riverbed Technology* 76,500 958 Rofin-Sinar Technologies* 3,600 110 S1* 3,900 24 SAIC* 2,800 57 Salesforce.com* 12,490 605 Sapient* 40,900 304 Satyam Computer Services ADR 4,000 65 SAVVIS* 5,000 67 Seachange International* 42,900 414 Seagate Technology 1,369 17 Semtech* 4,000 56 Silicon Laboratories* 13,850 425 Sina* 9,950 350 SkillSoft ADR* 141,895 1,484 Skyworks Solutions* 175,735 1,469 Sohu.com* 3,960 221 Solera Holdings* 38,803 1,114 Sonus Networks* 15,500 45 SRA International, Cl A* 1,500 34 Standard Microsystems* 748 19 Sun Microsystems* 39,900 303 Supertex* 900 25 Sybase* 3,000 92 Sycamore Networks* 11,300 36 Symyx Technologies* 3,703 37 Synaptics* 9,690 293 SYNNEX* 3,118 70 Synopsys* 3,053 61 Syntel 2,100 51 Take-Two Interactive Software 2,600 43 Tech Data* 1,600 48 Technitrol 22,300 330
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Tekelec* 45,400 $ 635 TeleCommunication Systems, Cl A* 26,075 180 TeleTech Holdings* 31,200 388 Teradata* 12,000 234 Teradyne* 18,600 145 Tessera Technologies* 3,100 51 THQ* 3,750 45 TIBCO Software* 77,700 569 TiVo* 4,100 30 TNS* 15,795 306 Trimble Navigation* 20,705 535 TriQuint Semiconductor* 102,500 491 Ultratech* 22,200 269 United Online 31,500 297 Universal Display* 28,200 309 Utstarcom* (A) 74,600 251 Valueclick* 12,600 129 Varian Semiconductor Equipment Associates* 5,575 140 Veeco Instruments* 7,471 111 VeriFone Holdings* 8,000 132 Verigy* 12,032 196 Verint Systems* 31,800 529 Viasat* 900 22 Vishay Intertechnology* 53,500 354 VistaPrint* 36,264 1,191 Volterra Semiconductor* 15,330 195 Wavecom ADR* 19,700 110 Websense* 3,400 76 Western Digital* 39,700 846 Wind River Systems* 39,200 392 Wright Express* 31,499 940 Zoran* 55,600 454 ----------- 58,444 ----------- MATERIALS -- 4.5% Airgas 9,870 490 Albemarle 10,000 308 Allegheny Technologies 1,200 35 Alpha Natural Resources* 9,465 487 Aptargroup 4,400 172 Ashland 8,725 255 Ball 16,900 667 Cabot 3,369 107 Carpenter Technology 2,653 68 Chemtura 61,500 280 Commercial Metals 1,400 24 Compass Minerals International 2,700 141 Constar International* 18,500 11 Crown Holdings* 54,800 1,217 Cytec Industries 21,600 840 Deltic Timber 700 45 Eastman Chemical 10,700 589
SEI Institutional Managed Trust / Annual Report / September 30, 2008 112
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Flotek Industries* (A) 4,000 $ 44 FMC 16,177 831 Glatfelter 2,300 31 Greif, Cl A 9,248 607 H.B. Fuller 1,400 29 Headwaters* 2,800 37 Hercules 10,400 206 Innophos Holdings 8,870 216 Innospec 3,300 40 International Flavors & Fragrances 500 20 Koppers Holdings 1,200 45 Lubrizol 14,300 617 MeadWestvaco 14,800 345 Minerals Technologies 500 30 Mosaic 500 34 Neenah Paper 1,942 38 NewMarket 792 42 Owens-Illinois* 4,877 143 Packaging Corp of America 900 21 PolyOne* 37,100 239 Reliance Steel & Aluminum 6,400 243 Rock-Tenn, Cl A 2,600 104 Rockwood Holdings* 7,800 200 Royal Gold 900 32 RTI International Metals* 2,600 51 Schnitzer Steel Industries, Cl A 300 12 Schulman A 13,800 273 Schweitzer-Mauduit International 1,500 28 Scotts Miracle-Gro, Cl A 10,300 243 Sensient Technologies 3,400 96 ShengdaTech* 2,600 18 Sigma-Aldrich 5,500 288 Silgan Holdings 14,010 716 Sims Group ADR 1,435 33 Smurfit-Stone Container* 40,800 192 Steel Dynamics 6,300 108 Temple-Inland 33,000 504 Terra Industries 23,900 703 Texas Industries 700 29 Titanium Metals (A) 32,800 372 United States Steel 2,200 171 Westlake Chemical 11,025 232 Worthington Industries 16,900 252 ----------- 14,251 ----------- TELECOMMUNICATION SERVICES -- 1.8% Alaska Communications Systems Group 19,670 241 American Tower, Cl A* 3,515 126 Centennial Communications* 56,500 353 CenturyTel 19,200 704 Clearwire, Cl A* (A) 56,900 676 Crown Castle International* 3,022 88
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Embarq 5,000 $ 203 Fairpoint Communications 9,637 84 General Communication, Cl A* 5,600 52 Global Crossing* 2,100 32 Iowa Telecommunications Services 6,215 116 NII Holdings* 40,600 1,540 NTELOS Holdings 16,025 431 SBA Communications, Cl A* 35,645 922 tw telecom inc, Cl A* 8,790 91 USA Mobility 3,575 39 Vonage Holdings* (A) 36,195 37 Windstream 2,200 24 ----------- 5,759 ----------- UTILITIES -- 4.2% AGL Resources 2,500 79 Allegheny Energy 1,500 55 Allete 2,400 107 Alliant Energy 13,278 428 Avista 3,700 80 Black Hills 4,385 136 California Water Service Group 1,400 54 Cascal 14,700 154 Centerpoint Energy 58,100 847 CH Energy Group 3,000 131 Cleco 1,200 30 CMS Energy 45,000 562 DPL 10,725 266 El Paso Electric* 2,000 42 Empire District Electric 11,631 248 Energen 13,500 611 EnergySouth 800 49 Equitable Resources 6,054 222 Hawaiian Electric Industries 6,200 180 Idacorp 3,100 90 Integrys Energy Group 10,060 503 ITC Holdings 3,684 191 Laclede Group 2,875 139 MDU Resources Group 12,640 367 MGE Energy 4,400 156 National Fuel Gas 2,400 101 New Jersey Resources 1,950 70 Nicor 7,200 319 NiSource 34,600 511 Northeast Utilities 4,000 103 Northwest Natural Gas 1,300 68 NorthWestern 16,125 405 NRG Energy* 1,200 30 Oneok 3,150 108 Ormat Technologies 11,100 403 Pepco Holdings 500 11 Pinnacle West Capital 19,300 664 PNM Resources 7,152 73
SEI Institutional Managed Trust / Annual Report / September 30, 2008 113 Tax-Managed Small Cap Fund (Concluded) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Portland General Electric 4,670 $ 110 PPL 2,600 96 Puget Energy 16,000 427 Questar 1,500 61 Reliant Energy* 17,238 127 SCANA 29,147 1,136 Sempra Energy 2,800 141 Southern Union 24,600 508 Southwest Gas 12,850 389 UGI 14,600 376 UIL Holdings 1,533 54 Vectren 700 19 Westar Energy 21,600 498 WGL Holdings 1,100 36 Wisconsin Energy 17,200 773 ----------- 13,344 ----------- Total Common Stock (Cost $330,865) ($ Thousands) 311,564 ----------- PREFERRED STOCK -- 0.1% FINANCIALS -- 0.1% East West Bancorp (A) 215 189 ----------- Total Preferred Stock (Cost $215) ($ Thousands) 189 ----------- Number of Warrants ------------- WARRANTS -- 0.0% Washington Mutual* (C) 124,600 11 ----------- Total Warrants (Cost $29) ($ Thousands) 11 ----------- AFFILIATED PARTNERSHIP -- 5.6% SEI Liquidity Fund, L.P., 2.590%**++ (D) 18,232,307 18,006 ----------- Total Affiliated Partnership (Cost $18,232) ($ Thousands) 18,006 ----------- CASH EQUIVALENT -- 1.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 5,784,576 5,785 ----------- Total Cash Equivalent (Cost $5,785) ($ Thousands) 5,785 -----------
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- U.S. TREASURY OBLIGATION -- 0.4% U.S. Treasury Bills 1.657%, 11/20/08 (B) (E) $ 1,116 $ 1,116 ----------- Total U.S. Treasury Obligation (Cost $1,114) ($ Thousands) 1,116 ----------- Total Investments -- 105.7% (Cost $356,240) ($ Thousands) $ 336,671 ===========
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 In the Notes to Financial Statements:
NUMBER OF UNREALIZED CONTRACTS EXPIRATION DEPRECIATION TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ---------------- ------------ ---------- ------------- Russell 2000 Index E-MINI 52 Dec-2008 $(100) S&P Mid 400 Index E-MINI 46 Dec-2008 (115) ----- $(215) =====
Percentages are based on Net Assets of $318,520 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) This Security or a partial position of this security is on loan at September 30, 2008 (see Note 7). The total market value of securities on loan at September 30, 2008 was $18,009 ($ Thousands). (B) Security, or portion thereof, has been pledged as collateral on open futures contracts. (C) This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date. (D) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2008 was $18,006 ($ Thousands). (E) The rate reported is the effective yield at time of purchase. ADR -- American Depositary Receipt Cl -- Class L.P. -- Limited Partnership The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 114 Small/Mid Cap Diversified Alpha Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Mortgage-Backed Securities 16.1% Financials 14.4% Information Technology 10.9% Industrials 10.2% Health Care 9.7% Short-Term Investment 9.2% Consumer Discretionary 7.9% Energy 5.3% Materials 4.4% Utilities 3.9% Asset-Backed Securities 3.1% Consumer Staples 1.9% U.S. Government Agency Obligations 1.3% Telecommunication Services 1.3% U.S. Treasury Obligations 0.4% Convertible Bond 0.0% Warrants 0.0%
#Percentages based on total investments.
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK -- 84.9% CONSUMER DISCRETIONARY -- 9.6% 1-800-FLOWERS.COM, Cl A* (A) 11,300 $ 68 Aaron Rents 3,600 97 Abercrombie & Fitch, Cl A 764 30 Advance Auto Parts (A) 6,346 252 Aeropostale* (A) 750 24 American Eagle Outfitters 10,300 157 AnnTaylor Stores* (A) 8,169 169 ArvinMeritor 2,633 34 Autoliv SDR 2,186 74 Bally Technologies* 82 2 Bed Bath & Beyond* 1,000 31 Belo, Cl A (A) 8,100 48 Big Lots* (A) 7,953 221 Black & Decker 1,138 69 Borders Group 3,921 26 BorgWarner 2,203 72 Brown Shoe 11,391 187 Buckle (A) 500 28 Cache* 900 6 Callaway Golf 3,250 46 Career Education* (A) 7,288 119 Carter's* 3,000 59 Casual Male Retail Group* 40,000 157 Cato, Cl A 18,000 316 CBRL Group 2,553 67 CEC Entertainment* (A) 6,521 216 Central European Media Enterprises, Cl A* 675 44 Charming Shoppes* 23,600 115 Childrens Place Retail Stores* (A) 500 17 Chipotle Mexican Grill, Cl A* 175 10
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Christopher & Banks 2,100 $ 16 Cinemark Holdings 6,162 84 CKE Restaurants 1,073 11 Cooper Tire & Rubber 2,100 18 Corinthian Colleges* 1,300 20 Cox Radio, Cl A* (A) 8,689 92 CSS Industries 1,504 39 Deckers Outdoor* 200 21 DeVry 700 35 DISH Network, Cl A* (A) 3,800 80 Dollar Tree* (A) 5,000 182 Dover Downs Gaming & Entertainment (A) 2,700 21 DreamWorks Animation SKG, Cl A* (A) 12,609 397 DSW, Cl A* 15,500 212 Dufry South America (United Kingdom) 9,000 75 Eddie Bauer Holdings* 28,700 154 Entercom Communications 7,864 39 Exide Technologies* 3,509 26 Family Dollar Stores (A) 6,900 164 FGX International Holdings* (A) 1,000 11 Finish Line, Cl A 9,259 92 Foot Locker 3,216 52 Fossil* 1,000 28 Fred's, Cl A 218 3 Fuel Systems Solutions* 1,400 48 Furniture Brands International 6,870 72 Genesco* (A) 2,825 95 Harman International Industries 415 14 Harris Interactive* 7,300 13 Harte-Hanks 2,600 27 Hasbro (A) 8,933 310 Hibbett Sports* 100 2 Hillenbrand 800 16 HOT Topic* 3,725 25 Hovnanian Enterprises, Cl A* 6 -- HSN* 1,365 15 Iconix Brand Group* 2,300 30 Interactive Data 2,989 75 Interpublic Group* 3,569 28 Interval Leisure Group* 1,365 14 iRobot* 400 6 ITT Educational Services* 930 75 Jones Apparel Group 4,553 84 Lear* (A) 3,300 35 Lee Enterprises 3,200 11 Lennar, Cl B* 100 1 Lennar, Cl A 5,366 82 Lin TV, Cl A* 989 5 LKQ* 2,100 36 M/I Homes (A) 1,700 39
SEI Institutional Managed Trust / Annual Report / September 30, 2008 115 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Matthews International, Cl A 1,214 $ 62 McClatchy, Cl A 4,900 22 Media General, Cl A (A) 3,000 37 Meredith (A) 2,765 78 Meritage Homes* 1,834 45 Morgans Hotel Group* 900 10 Morningstar* 175 10 NetFlix* (A) 3,775 117 New York* (A) 11,825 113 Nutri/System 67 1 NVR* (A) 205 117 O'Charleys (A) 6,618 58 Office Depot* 30,500 178 OfficeMax 18,200 162 O'Reilly Automotive* 1,406 38 Pacific Sunwear of California* 2,600 17 Penn National Gaming* 5,015 133 Perry Ellis International* (A) 4,200 63 Phillips-Van Heusen 2,800 106 Playboy Enterprises, Cl B* 536 2 priceline.com* 600 41 Pulte Homes (A) 6,822 95 RadioShack (A) 5,886 102 RC2* 1,300 26 RCN* (A) 1,700 21 Regis 5,900 162 Rent-A-Center* (A) 7,396 165 Retail Ventures* 26,000 101 Ross Stores (A) 6,472 238 Russ Berrie* 9,435 72 Ryland Group 900 24 Sauer-Danfoss 1,655 41 Scholastic 3,196 82 Shutterfly* 21,000 202 Snap-On (A) 2,100 111 Sotheby's 1,700 34 Stage Stores 1,500 20 Stamps.com* 2,200 26 Standard-Pacific 18,146 89 Stanley Works 285 12 Steven Madden* (A) 4,900 121 Strayer Education 400 80 Systemax 1,100 15 Talbots 5,195 68 Tecnisa (Brazil) 43,500 104 Thunderbird Resorts PIPE* (B) (C) (E) 15,300 138 Thunderbird Resorts PIPE* (B) (C) 1,700 15 Ticketmaster* 1,365 15 Titan International 75 2 Tractor Supply* (A) 2,176 92 TRW Automotive Holdings* (A) 7,000 111 Tupperware Brands (A) 1,100 30 Tween Brands* 5,671 56
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Under Armour, Cl A* 350 $ 11 Universal Electronics* 500 12 Urban Outfitters* 400 13 WABCO Holdings 1,004 36 Warnaco Group* (A) 3,165 143 Warner Music Group (A) 6,300 48 Weight Watchers International 2,287 84 Wolverine World Wide 3,112 82 Zumiez* (A) 5,072 84 ------- 10,184 ------- CONSUMER STAPLES -- 2.3% Asiatic Development (Malaysia) 119,500 160 Avon Products 2,815 117 BJ's Wholesale Club* (A) 2,895 113 Casey's General Stores 225 7 Central Garden and Pet, Cl A* 2,795 17 Chiquita Brands International* 4,148 66 Church & Dwight (A) 1,980 123 Constellation Brands, Cl A* 3,861 83 Corn Products International (A) 4,346 140 Cosan SA Industria e Comercio (Brazil)* 24,200 163 Darling International* (A) 16,683 185 Dean Foods* 4,342 101 Del Monte Foods 11,357 89 Diamond Foods (A) 600 17 Energizer Holdings* 6 -- Hansen Natural* 1,200 36 Herbalife (A) 1,100 43 Hormel Foods 1,862 68 Lance 8,400 191 Lorillard 2,187 156 NBTY* (A) 3,671 108 Pepsi Bottling Group (A) 2,500 73 Prestige Brands Holdings* 8,641 77 Ralcorp Holdings* (A) 2,539 171 Ruddick 78 3 Smithfield Foods* 2,575 41 Spartan Stores 1,600 40 Tyson Foods, Cl A 18 -- Universal 45 2 Zhongpin* (A) 2,900 31 ------- 2,421 ------- ENERGY -- 6.4% Allis-Chalmers Energy* (A) 5,600 71 Approach Resources* 2,805 41 Arena Resources* 400 16 Arlington Tankers 11,700 180 ATP Oil & Gas* 12,530 223 Basic Energy Services* 6,450 137 BPZ Energy PIPE* 10,100 174
SEI Institutional Managed Trust / Annual Report / September 30, 2008 116
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- BPZ Resources* 11,845 $ 204 Brigham Exploration* 1,100 12 Bristow Group* 1,000 34 Bronco Drilling* 2,800 29 Callon Petroleum* 1,305 24 Cameron International* 1,450 56 Cano Petroleum* 23,600 55 Carrizo Oil & Gas* 2,016 73 Cimarex Energy (A) 3,051 149 Clayton Williams Energy* (A) 1,300 92 Complete Production Services* (A) 9,850 198 Comstock Resources* 282 14 Denbury Resources* 3,500 67 Dresser-Rand Group* 2,145 68 Encore Acquisition* 1,642 69 Energy Partners* (A) 33,330 289 Energy XXI Bermuda 4,800 15 ENSCO International (A) 2,400 138 FMC Technologies* 1,259 59 Forest Oil* (A) 3,206 159 Foundation Coal Holdings (A) 3,634 129 GMX Resources* 550 26 Grey Wolf* (A) 12,934 101 Gulfport Energy* 1,100 11 Helix Energy Solutions Group* 1,250 30 Helmerich & Payne (A) 5,000 216 Hercules Offshore* 8,400 127 Hornbeck Offshore Services* 2,951 114 Hugoton Royalty Trust 1,950 52 Infinity Bio-Energy* 75,000 228 ION Geophysical* 4,887 69 Lufkin Industries (A) 1,419 113 Mahalo Energy* 33,500 38 Mariner Energy* (A) 8,938 183 Massey Energy (A) 6,638 237 Matrix Service* (A) 3,100 59 McMoRan Exploration* (A) 3,560 84 Meridian Resource* 3,300 6 Mitcham Industries* (A) 2,100 21 Newfield Exploration* 1,750 56 Oceaneering International* 1,075 57 Oilsands Quest* 30,700 92 Oilsands Quest PIPE* 3,500 10 OPTI (Canada)* 9,800 102 PetroHawk Energy* 900 19 Petroleum Development* 1,050 47 Plains Exploration & Production* (A) 3,400 120 PrimeEnergy * 517 38 Quicksilver Resources* 700 14 Rentech* 71,600 95 Rex Energy* 5,559 88 Rowan 2,342 72 StealthGas 13,000 176 Stone Energy* (A) 1,266 54
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Superior Energy Services* (A) 3,838 $ 120 Swift Energy* 6,875 266 T-3 Energy Services, Cl 3* 2,245 83 Tetra Technologies* (A) 2,350 33 Tidewater 880 49 Transmontaigne Partners 325 7 Unit* (A) 8,314 414 Uranium One (Canada)* 15,000 32 Uranium Participation (Canada)* 2,600 15 W&T Offshore (A) 3,819 104 Whiting Petroleum* 785 56 Willbros Group* 2,145 57 Williams 1,540 36 ------- 6,802 ------- FINANCIALS -- 17.5% Advance America Cash Advance Centers 9,791 29 Alexander's*+ 100 40 Alexandria Real Estate Equities+ 2,099 236 Allied World Assurance Holdings (A) 2,700 96 AMBAC Financial Group 4,681 11 American Financial Group (A) 9,961 294 AmeriCredit* 2,600 26 Amtrust Financial Services (A) 11,705 159 Annaly Capital Management+ (A) 14,018 189 Anthracite Capital+ (A) 18,900 101 Anworth Mortgage Asset+ (A) 71,923 426 AON 2,085 94 Apartment Investment & Management, Cl A+ (A) 1,511 53 Arch Capital Group* (A) 4,210 307 Aspen Insurance Holdings (A) 4,000 110 Associated Banc-Corp 5,514 110 Assurant 3,125 172 Astoria Financial (A) 4,700 97 Axis Capital Holdings (A) 2,200 70 Bancorpsouth (A) 5,019 141 Bank Mutual 2,600 30 Bank of Hawaii (A) 3,289 176 Bank of the Ozarks 3,190 86 Berkshire Hills Bancorp (A) 900 29 BGC Partners 9,768 42 BioMed Realty Trust+ 2,682 71 BlackRock 470 91 Brasil Brokers Participacoes* 20,000 62 Calamos Asset Management, Cl A 4,244 76 Canaccord Capital (Canada) 9,600 72 CapitalSource+ 1,082 13 Capitol Federal Financial 1,976 88 Capstead Mortgage+ 21,234 233 Cash America International (A) 5,913 213 Cathay General Bancorp 2,484 59
SEI Institutional Managed Trust / Annual Report / September 30, 2008 117 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Cedar Shopping Centers+ (A) 9,200 $ 122 Centerline Holding 100 -- Central Pacific Financial 4,112 69 Chimera Investment+ 6,121 38 CIT Group 3,300 23 City Bank 865 13 CME Group 90 33 CNA Surety* (A) 5,465 91 Colonial BancGroup 14,131 111 Colonial Properties Trust+ 5,700 107 Columbia Banking System 264 5 Commerce Bancshares (A) 2,243 104 Community Bank System 1,812 46 Companhia Brasileira de Desenvolvimento Imobiliari Turistico (Brazil)* 500 143 Compass Diversified Holdings 2,809 39 Corus Bankshares 2,570 10 Cullen/Frost Bankers 2,085 125 CVB Financial 3,800 53 Darwin Professional Underwriters* 2,459 76 Delphi Financial Group, Cl A (A) 2,979 84 Digital Realty Trust+ 2,310 109 Dime Community Bancshares 6,637 101 Discover Financial Services 3,400 47 Dollar Financial* 13,396 206 Dundee (Canada)+ 3,600 101 E*Trade Financial* 23,323 65 EastGroup Properties+ 500 24 Eaton Vance 4,623 163 eHealth* 200 3 EMC Insurance Group 1,815 54 Encore Capital Group* 1,923 26 Entertainment Properties Trust+ 1,060 58 Equity Lifestyle Properties+ 729 39 Evercore Partners, Cl A 9,100 164 FCStone Group* 2,000 36 Federated Investors, Cl B (A) 3,490 101 Fidelity National Financial, Cl A 4,578 67 Financial Federal 3,600 83 First Cash Financial Services* 4,332 65 First Commonwealth Financial 2,900 39 First Financial Bancorp 3,500 51 First Financial Bankshares 553 29 First Horizon National 7,136 67 First Midwest Bancorp 7,386 179 First Niagara Financial Group 1,300 20 First Potomac Realty Trust+ 5,075 87 FirstFed Financial* (A) 3,200 25 FirstMerit 5,304 111 Flushing Financial (A) 3,000 53 GAMCO Investors, Cl A (A) 400 24 General Shopping Brasil (Brazil)* 35,900 138 GLG Partners (A) 12,800 69
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Gluskin Sheff + Associates (Canada) 9,500 $ 138 GMP Capital Trust (Canada) 10,100 96 Greenhill (A) 1,545 114 Grubb & Ellis 55,000 149 Hallmark Financial Services* 6,741 61 Hancock Holding 3,882 198 Hanover Insurance Group 5,780 263 Hatteras Financial+ 5,000 116 Health Care+ (A) 9,366 499 Healthcare Realty Trust+ 1,305 38 Hersha Hospitality Trust+ (A) 34,400 256 Highbury Financial* 13,600 42 Highwoods Properties+ (A) 3,900 139 HRPT Properties Trust+ 4,800 33 Huntington Bancshares 4,021 32 IntercontinentalExchange* 580 47 Investment Technology Group* 5,899 180 Investors Bancorp* 39 1 Investors Real Estate Trust+ 17,500 196 Janus Capital Group (A) 4,614 112 Kansas City Life Insurance 2,900 133 KBW* 3,528 116 Kilroy Realty+ 1,300 62 Knight Capital Group, Cl A* (A) 11,045 164 LandAmerica Financial Group 700 17 Lazard, Cl A 2,550 109 Lexington Realty Trust+ (A) 8,300 143 LTC Properties+ 4,584 134 Macerich+ 441 28 Mack-Cali Realty+ (A) 3,300 112 MCG Capital 8,000 21 MFA Mortgage Investments+ 55,231 359 Mid-America Apartment Communities+ 719 35 Midwest Banc Holdings 2,620 10 MSCI, Cl A* 1,200 29 NASDAQ Stock Market* (A) 2,849 87 National City 466 1 National Financial Partners 2,885 43 National Health Investors+ 1,135 39 National Penn Bancshares 5,528 81 National Retail Properties+ 3,458 83 Nationwide Health Properties+ (A) 8,333 300 Navigators Group* 1,075 62 NBT Bancorp (A) 2,900 87 New York Community Bancorp 22,004 369 NewAlliance Bancshares 8,602 129 Northern Trust (A) 500 36 NorthStar Realty Finance+ (A) 30,925 240 NYSE Euronext 720 28 OceanFirst Financial (A) 1,400 25 Old National Bancorp 2,436 49 Omega Healthcare Investors+ (A) 6,226 122 One Liberty Properties+ (A) 1,100 19
SEI Institutional Managed Trust / Annual Report / September 30, 2008 118
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- optionsXpress Holdings (A) 4,083 $ 79 Oriental Financial Group (A) 7,400 132 PacWest Bancorp 2,238 64 Penson Worldwide* 300 4 People's United Financial 1,265 24 Philadelphia Consolidated Holding* 1,124 66 Platinum Underwriters Holdings 5,864 208 PMA Capital* (A) 3,100 27 Preferred Bank 143 2 Prosperity Bancshares 1,300 44 Provident Bankshares 4,054 39 PS Business Parks+ 96 6 Public Storage+ 1,650 163 Pzena Investment Management, Cl A (A) 3,600 34 RAIT Financial Trust+ 78 -- RAM Holdings* 10,700 18 Raymond James Financial (A) 3,824 126 Rayonier+ (A) 5,531 262 Realty Income+ 9,290 238 Republic Bancorp, Cl A (A) 2,200 67 Resource Capital+ (A) 5,500 33 S&T Bancorp 1,700 63 Sanders Morris Harris Group (A) 1,200 10 SCBT Financial 700 26 SLM* (A) 1,200 15 South Financial Group 7,238 53 Southside Bancshares (A) 935 24 St. Joe 1,485 58 StanCorp Financial Group (A) 2,100 109 Stifel Financial* (A) 4,813 240 Sun Bancorp* 105 1 Susquehanna Bancshares 1,400 27 SVB Financial Group* (A) 1,501 87 SWS Group 3,800 77 TD Ameritrade Holding* 4,430 72 Titanium Asset* 15,400 81 Torchmark 600 36 TradeStation Group* (A) 9,663 90 Transatlantic Holdings (A) 2,842 154 Tree.com* 72 -- Trustco Bank NY 8,100 95 Trustmark 2,830 59 UMB Financial 1,410 74 Uranium Participation* 18,400 107 U-Store-It Trust+ (A) 9,300 114 Valley National Bancorp (A) 6,300 132 Value Creation* (B) (C) 8,040 63 Ventas+ (A) 2,829 140 Waddell & Reed Financial, Cl A 2,519 62 Washington Federal 9,023 166 Webster Financial (A) 2,100 53 Weingarten Realty Investors+ 1,300 46
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Westamerica Bancorporation 600 $ 35 World Acceptance* 9,032 325 WR Berkley 1,927 45 WSFS Financial 847 51 XL Capital, Cl A (A) 5,100 91 Zions Bancorporation 5,449 211 ------------- 18,508 ------------- HEALTH CARE -- 11.8% Adolor* 2,900 10 Affymax* (A) 1,000 20 Affymetrix* (A) 5,600 43 Albany Molecular Research* 1,000 18 Align Technology* 1,855 20 Allos Therapeutics* 1,800 13 Alnylam Pharmaceuticals* (A) 3,409 99 Alpharma, Cl A* 570 21 Amedisys* 800 39 American Medical Systems Holdings* 2,195 39 AMERIGROUP* (A) 7,095 179 Amsurg* 9,222 235 Analogic 335 17 Angiodynamics* 3,200 51 Arena Pharmaceuticals* 33,000 165 Ariad Pharmaceuticals* 45,200 112 Array Biopharma* (A) 3,500 27 Assisted Living Concepts, Cl A* 1,640 10 Biogen Idec* 1,600 80 BioScrip* 10,538 31 Cantel Medical* 4,297 41 Caraco Pharmaceutical Laboratories* 99 1 Cardiac Science* 3,951 41 Centene* (A) 7,975 164 Cephalon* (A) 1,040 81 Charles River Laboratories International* 1,800 100 Chemed 2,334 96 Chindex International* 330 4 Computer Programs & Systems 1,545 45 Conmed* (A) 4,300 138 Cooper 895 31 Corvel* 2,544 73 Covance* 2,350 208 Cross Country Healthcare* 2,558 42 CryoLife* (A) 1,300 17 Cubist Pharmaceuticals* (A) 5,715 127 CV Therapeutics* (A) 21,900 237 Cyberonics* (A) 3,200 54 Cynosure, Cl A* (A) 4,200 75 Cypress Bioscience* 3,100 23 Datascope 974 50 Dentsply International (A) 5,500 206 Depomed* 12,402 45 Eclipsys* 2,035 43
SEI Institutional Managed Trust / Annual Report / September 30, 2008 119 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Edwards Lifesciences* (A) 1,000 $ 58 Emergency Medical Services, Cl A* (A) 3,400 102 Emergent Biosolutions* 7,767 102 Endo Pharmaceuticals Holdings* (A) 18,804 376 Enzo Biochem* 2,800 31 eResearchTechnology* 5,575 66 Exactech* (A) 800 18 Exelixis* (A) 38,300 233 Express Scripts* 1,975 146 Forest Laboratories* 2,550 72 Gen-Probe* 1,457 77 Genzyme* 1,555 126 GTx* (A) 3,000 57 Health Management Associates, Cl A* 10,663 44 Health Net* 5,350 126 HealthExtras* (A) 3,027 79 Healthsouth* 2,223 41 Healthways* 2,365 38 Henry Schein* 706 38 Hill-Rom Holdings (A) 6,700 203 Hologic* 3,346 65 Human Genome Sciences* (A) 32,200 204 Idexx Laboratories* 2,100 115 Illumina* (A) 650 26 Immucor* 3,100 99 IMS Health (A) 3,800 72 Incyte* 25,900 198 InterMune* (A) 2,900 50 Intuitive Surgical* 550 133 Invitrogen* 3,562 135 Isis Pharmaceuticals* 2,753 46 Kendle International* (A) 3,147 141 Kensey Nash* 1,642 52 Kindred Healthcare* (A) 7,510 207 Kinetic Concepts* (A) 5,555 159 King Pharmaceuticals* (A) 21,367 205 Laboratory Corp of America Holdings* 3,300 229 LHC Group* 2,826 80 LifePoint Hospitals* (A) 4,220 136 Lincare Holdings* (A) 8,637 260 Magellan Health Services* 3,520 145 Martek Biosciences (A) 3,000 94 Medical Action Industries* 200 3 Medicines* 7,700 179 Medicis Pharmaceutical, Cl A (A) 1,200 18 Meridian Bioscience 2,600 76 Merit Medical Systems* 900 17 Micrus Endovascular* 10,000 140 Molina Healthcare* 2,048 63 Neurocrine Biosciences* (A) 4,300 20 Nighthawk Radiology Holdings* 1,700 12 Odyssey HealthCare* 17,400 177 Omnicare (A) 4,500 129 Omnicell* 845 11
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- OSI Pharmaceuticals* (A) 5,048 $ 249 Owens & Minor (A) 3,940 191 Par Pharmaceutical* 815 10 Parexel International* 1,100 32 Patterson* (A) 3,685 112 PDL BioPharma* 1,743 16 Pediatrix Medical Group* 1,200 65 PerkinElmer 4,798 120 Perrigo 3,058 118 Pharmaceutical Product Development 2,600 108 PharmaNet Development Group* 2,360 17 Pozen* (A) 1,300 14 Profarma Distribuidora de Produtos Farmaceuticos (Brazil) 15,900 131 Quidel* 5,624 92 Regeneron Pharmaceuticals* (A) 2,800 61 Repligen* 500 2 Res-Care* 2,094 38 Resmed* 2,535 109 Rigel Pharmaceuticals* 11,900 278 Salix Pharmaceuticals* 1,600 10 Savient Pharmaceuticals* 1,000 15 Sirona Dental Systems* (A) 6,310 147 Somanetics* 5,156 113 STERIS (A) 1,100 41 Symmetry Medical* 600 11 Synta Pharmaceuticals* (A) 2,300 18 Techne* 1,500 108 Universal American Financial* 187 2 Universal Health Services, Cl B 3,165 177 Valeant Pharmaceuticals International* 800 16 Vertex Pharmaceuticals* (A) 3,000 100 Viropharma* (A) 16,518 217 Vital Signs 1,220 90 Warner Chilcott, Cl A* (A) 5,100 77 Waters* (A) 5,978 348 Watson Pharmaceuticals* (A) 10,732 306 WellCare Health Plans* 250 9 Zoll Medical* 700 23 ------------- 12,491 ------------- INDUSTRIALS -- 12.4% Actuant, Cl A (A) 8,893 224 Acuity Brands (A) 1,500 63 Administaff 100 3 Advisory Board* 1,557 47 AGCO* (A) 10,956 467 Aircastle 4,100 41 Alamo Group (A) 800 14 Albany International, Cl A 1,480 40 Alexander & Baldwin 1,010 44 Allen-Vanguard* 70,000 22
SEI Institutional Managed Trust / Annual Report / September 30, 2008 120
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Alliant Techsystems* (A) 2,045 $ 192 Allied Waste Industries* (A) 1,974 22 Altra Holdings* (A) 3,300 49 Amerco* 187 8 American Railcar Industries 1,411 23 AO Smith 1,570 62 Apogee Enterprises (A) 7,200 108 Applied Industrial Technologies 3,071 83 Applied Signal Technology (A) 1,100 19 Arkansas Best 1,115 38 Armstrong World Industries 1,000 29 Avis Budget Group* (A) 4,300 25 BE Aerospace* 4,363 69 Belden 3,182 101 Blount International* 1,275 14 Brady, Cl A 2,536 89 Briggs & Stratton 10,495 170 Brink's 8 -- Bucyrus International, Cl A (A) 1,600 71 C.H. Robinson Worldwide 900 46 Ceradyne* 1,000 37 Chart Industries* (A) 2,773 79 China Architectural Engineering* (A) 4,000 28 CIRCOR International (A) 600 26 Columbus McKinnon* (A) 3,800 90 Comfort Systems USA (A) 9,000 120 COMSYS IT Partners* (A) 1,100 11 Consolidated Graphics* 2,883 87 Continental Airlines, Cl B* 5,171 86 Corrections Corp of America* 9,138 227 CRA International* 6,927 190 Crane (A) 5,849 174 Curtiss-Wright 1,251 57 Deluxe 18 -- Dollar Thrifty Automotive Group* 11,052 21 Dover (A) 2,200 89 Duff & Phelps* (A) 1,300 27 Dun & Bradstreet 3,855 364 Dycom Industries* 8,060 105 Dynamic Materials 5,000 116 EMCOR Group* (A) 10,918 287 Encore Wire 1,500 27 Ennis 1,400 22 EnPro Industries* (A) 4,200 156 Equifax 3,825 132 ESCO Technologies* 875 42 Federal Signal (A) 5,600 77 Flowserve (A) 823 73 Force Protection* 27,200 73 Gardner Denver* (A) 5,033 175 GATX 800 32 GenCorp* 4,000 27 General Cable* 1,295 46
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Geo Group* 4,951 $ 100 GeoEye* 7,250 160 Gibraltar Industries (A) 4,500 84 Goodrich 1,250 52 GrafTech International* (A) 13,751 208 Graham 300 16 H&E Equipment Services* 16,980 164 Harsco (A) 2,600 97 Hawaiian Holdings* (A) 14,997 139 Heidrick & Struggles International 2,555 77 Herman Miller 2,482 61 Hertz Global Holdings* (A) 11,700 89 HNI 2,184 55 Houston Wire & Cable 1,971 34 Hubbell, Cl B (A) 1,845 65 Hubbell, Cl A 118 5 IKON Office Solutions (A) 6,023 102 Jacobs Engineering Group* 1,715 93 JB Hunt Transport Services 7,900 264 John Bean Technologies* 271 3 Joy Global 769 35 Kaman 1,245 35 Kansas City Southern* (A) 7,500 333 KBR (A) 1,100 17 Kennametal 400 11 Kirby* (A) 6,695 254 Korn/Ferry International* 40 1 Ladish* 1,200 24 Lennox International 1,222 41 Lincoln Electric Holdings (A) 4,199 270 Lydall* 2,200 21 Manitowoc (A) 2,700 42 Manpower 1,633 70 Marten Transport* 2,021 39 MasTec* (A) 16,301 217 Michael Baker* (A) 1,500 52 Navigant Consulting* 4,665 93 NCI Building Systems* (A) 3,200 102 Old Dominion Freight Line* 1,831 52 Orion Marine Group* 17,500 184 Oshkosh Truck 2,407 32 Pacer International (A) 10,977 181 Pall 7,409 255 Pentair 1,415 49 Perini* (A) 3,100 80 PowerSecure International* 200 1 PRG-Schultz International* (A) 2,400 22 Quanta Services* 7,440 201 Republic Airways Holdings* (A) 11,100 113 Robbins & Myers (A) 2,573 80 Rollins 100 2 RR Donnelley & Sons 540 13 RSC Holdings* (A) 21,100 240
SEI Institutional Managed Trust / Annual Report / September 30, 2008 121 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Rush Enterprises, Cl A* (A) 7,012 $ 90 Rush Enterprises, Cl B* 1,200 15 Ryder System (A) 9,531 591 School Specialty* 54 2 Shaw Group* (A) 2,097 64 Skywest (A) 4,035 64 Southwest Airlines 9,900 144 Spirit Aerosystems Holdings, Cl A* 4,050 65 SPX (A) 400 31 Standard Parking* 500 11 Standard Register 2,230 22 Standex International 2,421 67 Sunpower, Cl A* 1,075 76 Sunpower, Cl B* 360 25 TAL International Group 8,200 171 TBS International, Cl A* (A) 1,100 15 Tecumseh Products, Cl B* 3,200 72 Tecumseh Products, Cl A* 15 -- Teleflex 595 38 Textainer Group Holdings (A) 13,200 201 Toro 537 22 Trex Co* (A) 700 13 Trimas* 6,657 44 Twin Disc 1,209 17 United Rentals* 2,017 31 United Stationers* 4,795 229 United Technologies 510 31 Wabtec 3,460 177 Waste Connections* 1,985 68 Waste Services* (A) 1,800 13 Watson Wyatt Worldwide, Cl A (A) 3,546 176 Werner Enterprises 4,586 100 WESCO International* (A) 2,561 82 Xerium Technologies (A) 8,030 52 YRC Worldwide* 2,088 25 ------------ 13,160 ------------ INFORMATION TECHNOLOGY -- 13.2% 3Com* 37,660 88 Activision Blizzard* (A) 6,688 103 ADC Telecommunications* (A) 15,118 128 Advanced Analogic Technologies* 4,455 21 Advanced Energy Industries* 6,360 87 Advanced Micro Devices* 6,800 36 Akamai Technologies* 3,775 66 Alliance Data Systems* (A) 2,000 127 Amkor Technology* (A) 13,500 86 Ansys* 2,900 110 Applied Micro Circuits* (A) 13,800 83 Ariba* 1,300 18 Arris Group* 20,626 159 Arrow Electronics* (A) 8,095 212 Asyst Technologies* 33,600 81
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Atmel* 99,231 $ 336 Avnet* 1,881 46 Avocent* (A) 8,288 170 Benchmark Electronics* (A) 15,587 219 Blackboard* 725 29 BMC Software* (A) 3,338 96 Brightpoint* 11,987 86 Broadridge Financial Solutions (A) 12,636 194 Cabot Microelectronics* 706 23 CACI International, Cl A* 1,267 63 Checkpoint Systems* 3,040 57 Ciena* 39 -- Cirrus Logic* 3,940 21 Citrix Systems* 1,695 43 Cognex 1,600 32 CommScope* (A) 900 31 Compuware* 3,500 34 Comtech Telecommunications* 1,074 53 Cree* 840 19 CSG Systems International* (A) 12,183 214 CTS 4,620 59 Cymer* 565 14 Cypress Semiconductor* 5,407 28 Dice Holdings* 4,542 32 Diebold 5,182 172 Digital River* (A) 4,071 132 Diodes* 5,986 110 Dolby Laboratories, Cl A* (A) 4,700 165 DSP Group* 35,803 274 DST Systems* 1,100 62 Earthlink* (A) 13,600 116 EFJ* 21,000 26 Electronics for Imaging* 3,770 53 Emulex* 200 2 Fair Isaac 2,708 62 Fairchild Semiconductor International* (A) 5,500 49 Flir Systems* 2,635 101 Global Cash Access Holdings* (A) 2,900 15 Harris (A) 1,800 83 Harris Stratex Networks, Cl A* 27,469 215 Heartland Payment Systems 2,690 69 Hewitt Associates, Cl A* (A) 4,806 175 Hutchinson Technology* 8,200 95 Hypercom* 8,836 35 IAC* 6,810 118 Imation 10,904 246 Integral Systems 1,100 23 Integrated Device Technology* (A) 37,735 294 Intermec* 1,040 20 International Rectifier* 510 10 Intersil, Cl A (A) 900 15 Intuit* 4,025 127 Itron* 1,265 112
SEI Institutional Managed Trust / Annual Report / September 30, 2008 122
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- IXYS 3,402 $ 31 j2 Global Communications* (A) 900 21 Jabil Circuit (A) 9,400 90 JDA Software Group* (A) 18,274 278 JDS Uniphase* (A) 9,829 83 Juniper Networks* 1,315 28 Jupitermedia* 19,300 22 Kenexa* (A) 4,000 63 Knot* 24,600 205 Lam Research* 2,900 91 Lexmark International, Cl A* (A) 5,886 192 Linear Technology 2,200 67 Lionbridge Technologies* 1,173 3 LSI Logic* (A) 32,300 173 LTX-Credence* 15,850 28 McAfee* 575 20 MEMC Electronic Materials* 625 18 Mentor Graphics* (A) 15,778 179 Metavante Technologies* (A) 5,500 106 Mettler Toledo International* (A) 3,483 341 Micrel 4,300 39 Micros Systems* 264 7 Microsemi* 3,350 85 MicroStrategy, Cl A* 1,522 91 Microtune* 3,110 8 MIPS Technologies* 36,500 128 ModusLink Global Solutions* 1,700 16 Monolithic Power Systems* 3,285 57 Move* 19,535 41 MTS Systems (A) 3,349 141 Multi-Fineline Electronix* (A) 5,600 83 National Semiconductor 3,574 62 NCR* 1,375 30 Net 1 UEPS Technologies* (A) 2,207 49 Netgear* 15,565 233 Netlogic Microsystems* 320 10 Novatel Wireless* 28,300 171 Nvidia* (A) 600 6 ON Semiconductor* 3,810 26 Open Text* 2,371 82 OSI Systems* 6,250 147 Palm 26,600 159 Parametric Technology* (A) 6,811 125 Park Electrochemical 8,000 194 Parkervision* 16,300 163 PC Connection* 5,373 36 Pegasystems 2,958 38 Plantronics 1,644 37 Plexus* 4,218 87 PMC-Sierra* 18,800 139 QLogic* (A) 12,900 198 RealNetworks* 2,575 13 Rogers* 369 14 Rudolph Technologies* 22,000 184
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- SAIC* (A) 8,835 $ 179 Salesforce.com* 965 47 Sapient* 4,491 33 Scansource* 24 1 Seachange International* 15,000 145 Secure Computing* 9,445 52 Silicon Laboratories* 1,200 37 Skyworks Solutions* (A) 5,500 46 Sohu.com* (A) 3,976 222 Standard Microsystems* 420 10 Sybase* (A) 14,638 448 Symyx Technologies* 1,845 18 Synaptics* (A) 949 29 SYNNEX* 685 15 Synopsys* (A) 12,079 241 Taleo, Cl A* 90 2 TeleCommunication Systems, Cl A* (A) 5,100 35 Teradata* 5,084 99 Teradyne* (A) 13,500 105 TIBCO Software* 5,000 37 TNS* (A) 5,000 97 Trimble Navigation* 1,600 41 TriQuint Semiconductor* (A) 18,526 89 TTM Technologies* 24,881 247 Tyler Technologies* 3,699 56 Ultratech* (A) 2,300 28 Unisys* 9,888 27 United Online (A) 4,399 41 Valueclick* (A) 1,100 11 Varian Semiconductor Equipment Associates* 1,725 43 Veeco Instruments* 3,190 47 VeriFone Holdings* 550 9 Vishay Intertechnology* 12,965 86 Websense* 925 21 Western Digital* (A) 2,600 55 Zebra Technologies, Cl A* 755 21 Zygo* 9,000 113 ------------ 14,051 ------------ MATERIALS -- 5.4% Airgas 4,058 201 AK Steel Holding (A) 1,400 36 Albemarle 2,612 81 AM Castle 4,073 70 AMCOL International 5,150 161 Ashland 4,425 129 Buckeye Technologies* (A) 10,100 83 Cabot 1,755 56 Carpenter Technology 10,583 271 Celanese, Ser A 2,204 62 Century Aluminum* 1,830 51
SEI Institutional Managed Trust / Annual Report / September 30, 2008 123 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Cincinnati Bell* 22,624 $ 70 Eastman Chemical 1,095 60 Ferro (A) 10,242 206 Flotek Industries* 2,000 22 FMC (A) 4,730 243 Frontera Copper (Canada)* 59,000 68 Glatfelter 5,555 75 Greif, Cl A 4,091 268 Grief, Cl B* 100 5 Grupo Simec ADR* 14,000 124 H.B. Fuller 6,555 137 Hercules 39 1 Horsehead Holding* 32,600 192 Innophos Holdings (A) 1,300 32 Innospec 1,700 21 James River Coal* 1,000 22 Katanga Mining (Canada)* 28,200 133 LSB Industries* 31 -- Lubrizol 561 24 Minerals Technologies (A) 1,400 83 Myers Industries 9,337 118 Nalco Holding 1,600 30 Neenah Paper 1,020 20 NewMarket 370 19 Olin (A) 12,805 248 Olympic Steel (A) 1,128 33 OM Group* 6,700 151 Owens-Illinois* (A) 4,849 143 Packaging Corp of America 3,400 79 Pactiv* 7,378 183 Reliance Steel & Aluminum (A) 4,893 186 Rock-Tenn, Cl A (A) 4,200 168 Rockwood Holdings* 400 10 RTI International Metals* 1,300 25 Schnitzer Steel Industries, Cl A 4,135 162 Scotts Miracle-Gro, Cl A 3,000 71 ShengdaTech* (A) 5,200 36 Sherritt International (Canada) 9,600 51 Silgan Holdings 2,540 130 Sonoco Products (A) 10,530 313 Terra Industries (A) 4,634 136 Titanium Metals 2,400 27 Universal Stainless & Alloy* (A) 6,000 153 US Concrete* 7,218 32 Western Goldfields* 117,000 176 Zep (A) 900 16 ---------- 5,703 ---------- TELECOMMUNICATION SERVICES -- 1.6% Alaska Communications Systems Group 8,755 107 Atlantic Telegraph-Network (A) 1,400 39 Centennial Communications* 32,000 200
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- CenturyTel (A) 6,310 $ 232 Embarq (A) 2,700 109 Fairpoint Communications 23,100 200 Globalstar* 60,300 103 Iowa Telecommunications Services 6,710 125 iPCS* 56 1 NTELOS Holdings (A) 4,935 134 Sierra Wireless* 18,500 184 Syniverse Holdings* (A) 8,700 145 tw telecom inc, Cl A* 4,390 47 USA Mobility 1,825 20 Vonage Holdings* 21,335 22 ---------- 1,668 ---------- UTILITIES -- 4.7% AES* (A) 9,300 109 AGL Resources 4,254 133 Alliant Energy (A) 3,475 112 Atmos Energy (A) 3,781 101 Avista (A) 4,100 89 Black Hills 1,385 43 Centerpoint Energy (A) 17,500 255 Cia de Saneamento de Minas Gerais-COPASA (Brazil) 13,800 145 Cleco (A) 10,284 260 DPL 4,325 107 Edison International (A) 600 24 El Paso Electric* 800 17 Empire District Electric 2,900 62 Energen (A) 9,281 420 Equitable Resources 3,065 112 Great Plains Energy 1,837 41 Idacorp 4,541 132 Laclede Group 755 37 MDU Resources Group (A) 3,788 110 New Jersey Resources 5,519 198 Northeast Utilities 5,691 146 Northwest Natural Gas 4,016 209 NorthWestern 6,125 154 NRG Energy* (A) 500 12 OGE Energy 2,312 71 Oneok (A) 7,266 250 Pepco Holdings (A) 3,000 69 PNM Resources 860 9 Portland General Electric 5,357 127 Questar 800 33 Reliant Energy* 4,500 33 SCANA (A) 8,161 318 Sierra Pacific Resources 7,795 75 South Jersey Industries (A) 800 29 Southern Union 3,844 79 TECO Energy (A) 2,200 35 UGI (A) 9,789 252
SEI Institutional Managed Trust / Annual Report / September 30, 2008 124
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Vectren 7,948 $ 221 Westar Energy 1,748 40 WGL Holdings 780 25 Wisconsin Energy 6,620 297 ---------- 4,991 ---------- Total Common Stock (Cost $104,010) ($ Thousands) 89,979 ---------- Number of Warrants ------------ WARRANTS -- 0.0% Oilsands Quest Expires 12/05/09* 2,250 2 Rentech Expires 04/25/12* (B) (C) 1,000 -- Titanium Asset Management Expires 06/21/11* 8,400 11 ---------- Total Warrants (Cost $--) ($Thousands) 13 ---------- MORTGAGE-BACKED SECURITIES -- 19.6% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 16.0% FHLMC TBA 6.000%, 10/01/19 $ 2,000 2,031 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 3,649 801 FNMA TBA 6.000%, 10/20/21 8,000 8,148 5.500%, 10/15/22 to 10/01/38 4,800 4,832 FNMA CMO 5.000%, 11/25/25 240 241 FNMA CMO, Cl OC 6.000%, 10/25/33 297 302 FNMA CMO, Cl QA 6.000%, 01/25/29 453 461 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 629 138 ---------- 16,954 ---------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 3.6% American Home Mortgage Investment Trust, Ser 2004-3, Cl 2A 4.654%, 10/25/34 (D) 167 116 American Home Mortgage Investment Trust, Ser 2005-1, Cl 4A1 5.102%, 06/25/45 (D) 68 48 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A 5.350%, 11/25/08 (D) 478 318
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Bear Stearns Alternative Loan Trust, Ser 2004-12, Cl 2A2 6.504%, 01/25/35 (D) $ 148 $ 130 Citigroup Mortgage Loan Trust, Ser 2007-AR5, Cl 1A2A 5.609%, 04/25/37 (D) 379 283 Countrywide Home Loans, Ser 2007-HYB1, Cl 1A1 5.491%, 11/25/08 (D) 376 280 Countrywide Home Loans, Ser 2007-HYB2, Cl 3A1 5.453%, 02/25/47 (D) 86 56 GS Mortgage Securities II, Ser 2007-GG10, Cl A4 5.993%, 11/10/08 (D) 100 85 Impac Secured Assets CMO Owners Trust, Ser 2007-2, Cl 1A1A 3.317%, 10/27/08 (D) 312 267 Impac Secured Assets CMO Owners Trust, Ser 2007-3, Cl 1A1A 3.317%, 09/25/37 (D) 376 355 JP Morgan Chase Commercial Mortgage, Ser 2006-CB17, Cl A4 5.429%, 12/12/43 200 173 Lehman XS Trust, Ser 2007-4N, Cl 1A1 3.337%, 03/25/47 (D) 300 155 Merrill Lynch Mortgage Investors, Ser 2005-A4, Cl 1A 5.114%, 11/25/08 (D) 140 104 Morgan Stanley Mortgage Loan Trust, Ser 2007-11AR, Cl 2A5 5.985%, 06/25/37 (D) 89 47 Morgan Stanley Mortgage Loan Trust, Ser 2007-14AR, Cl 6A1 6.471%, 11/25/37 (D) 508 333 Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-9, Cl 2A1 5.994%, 11/25/08 (D) 450 294 Structured Adjustable Rate Mortgage, Ser 2006-3, Cl 2A1 5.965%, 04/25/36 (D) 412 303 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY4, Cl 1A1 5.542%, 11/25/08 (D) 321 237 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 1A1 5.664%, 11/25/08 (D) 329 221 ---------- 3,805 ---------- Total Mortgage-Backed Securities (Cost $22,296) ($ Thousands) 20,759 ----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 125 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- ASSET-BACKED SECURITIES -- 3.7% MORTGAGE RELATED SECURITIES -- 1.2% GMAC Mortgage Loan Trust, Ser 2007-HE1, Cl A2 5.621%, 11/25/08 (D) $ 216 $ 136 Home Equity Mortgage Trust, Ser 2007-2, Cl 2A1A 3.357%, 06/25/37 (D) 331 187 Novastar Home Equity Loan, Ser 2007-1, Cl A2A1 3.307%, 10/27/08 (D) 227 213 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 3.327%, 10/27/08 (D) 312 273 Renaissance Home Equity Loan Trust, Ser 2007-1, Cl AV1 3.337%, 04/25/37 (D) 243 232 Residential Funding Mortgage Securities, Ser 2007-HI1, Cl A1 3.337%, 03/25/37 (D) 212 199 ----------- 1,240 ----------- OTHER ASSET-BACKED SECURITIES -- 2.5% Carrington Mortgage Loan Trust, Ser 2007-FRE1, Cl A1 3.327%, 10/27/08 (D) 242 231 Countrywide Asset-Backed Certificates, Ser 2007-BC1, Cl M1 3.457%, 05/25/37 (D) 400 69 Credit-Based Asset Servicing and Securitization, Ser 2007-CB4, Cl A1A 3.297%, 10/27/08 (D) 348 307 First Franklin Mortgage Loan Asset- Backed Certificates, Ser 2006-FF14, Cl A2 3.267%, 10/27/08 (D) 287 269 First Franklin Mortgage Loans, Ser 2006-FF12, Cl A2 3.247%, 09/25/36 (D) 94 91 GSAMP Trust, Ser 2007-HE2, Cl A2A 2.592%, 10/27/08 (D) 235 220 Indymac Residential Asset-Backed Trust, Ser 2007-A, Cl 2A1 3.337%, 04/25/47 (D) 197 190 Merrill Lynch Mortgage Investors, Ser 2007-HE2, Cl A2A 3.327%, 10/27/08 (D) 271 253 RAAC Series, Ser 2007-SP1, Cl A1 3.357%, 10/27/08 (D) 204 182
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- Residential Asset Securities, Ser 2007-KS3, Cl A1A 3.317%, 04/25/37 (D) $ 237 $ 226 Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 6.207%, 10/27/08 (D) 51 37 Structured Asset Securities, Ser 2007-EQ1, Cl A2 3.297%, 03/25/37 (D) 367 332 Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1 3.297%, 04/25/37 (D) 306 292 ----------- 2,699 ----------- Total Asset-Backed Securities (Cost $4,781) ($ Thousands) 3,939 ----------- CONVERTIBLE BOND -- 0.1% Nova BioSource CV to 273.2240 10.000%, 09/30/12 (E) (F) 223 66 ----------- Total Convertible Bond (Cost $221) ($ Thousands) 66 ----------- CORPORATE OBLIGATIONS -- 0.1% FINANCIALS -- 0.1% Discover Financial Services 6.450%, 06/12/17 10 7 Scorpio Mining PIPE 7.000%, 05/05/11 (B) (C) 52 44 ----------- Total Corporate Obligations (Cost $62) ($ Thousands) 51 ----------- CASH EQUIVALENT -- 11.1% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 11,806,887 11,807 ----------- Total Cash Equivalent (Cost $11,807) ($ Thousands) 11,807 ----------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.6% FNMA 5.500%, 11/01/22 500 503 2.068%, 11/07/08 (G) 950 948 2.611%, 02/02/09 (G) (H) 275 270 ----------- Total U.S. Government Agency Obligations (Cost $1,754) ($ Thousands) 1,721 -----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 126
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- U.S. TREASURY OBLIGATIONS -- 0.5% U.S. Treasury Bills 1.237%, 11/20/08 (H) $ 380 $ 380 1.442%, 10/16/08 (G) (H) 18 18 U.S. Treasury Bond TIPS 2.375%, 04/15/11 (H) 96 98 2.375%, 01/15/25 (H) 58 56 ---------- Total U.S. Treasury Obligations (Cost $552) ($ Thousands) 552 ---------- Total Investments -- 121.6% (Cost $145,483) ($ Thousands) $ 128,887 ---------- COMMON STOCK SOLD SHORT -- (6.6)% CONSUMER DISCRETIONARY -- (1.1)% Arctic Cat (3,100) (28) Audiovox, Cl A* (1,300) (12) Cavco Industries* (1,910) (69) Century Casinos* (84) -- Churchill Downs (600) (29) Coinstar* (5) -- Coldwater Creek* (2,275) (13) CPI (200) (2) Dolan Media* (3,766) (38) Dover Motorsports (8,271) (45) Fisher Communications (1,366) (54) Gaylord Entertainment* (700) (21) Great Wolf Resorts* (11,371) (42) Group 1 Automotive (4,300) (93) K-Swiss, Cl A (7,100) (124) Lakes Entertainment* (14,960) (98) Leapfrog Enterprises* (6,024) (64) Lifetime Brands (190) (2) Lithia Motors, Cl A (1,800) (8) MTR Gaming Group* (13,055) (43) Penn National Gaming* (800) (21) Pinnacle Entertainment* (2,100) (16) Princeton Review* (5,306) (42) Ruth's Chris Steak House* (62) -- Spartan Motors (4,828) (15) Steak N Shake* (314) (3) Texas Roadhouse, Cl A* (200) (2) Universal Technical Institute* (5,400) (92) Washington Post, Cl B (170) (95) Wendy's/Arby's Group (1,613) (8) Weyenberg Shoe (1,401) (47) Woodbridge Holdings* (7,882) (22) World Wrestling Entertainment, Cl A (2,650) (41) ---------- (1,189) ---------- CONSUMER STAPLES -- (0.3)% Alico (153) (7)
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Andersons (1,278) $ (45) Calavo Growers (5,366) (67) Great Atlantic & Pacific Tea* (4,300) (47) Smithfield Foods* (3,500) (56) United Natural Foods* (3,500) (87) ---------- (309) ---------- ENERGY -- (0.4)% CARBO Ceramics (2,600) (134) Dril-Quip* (400) (17) EXCO Resources* (2,900) (47) Exterran Holdings* (700) (22) Harvest Natural Resources* (11,100) (112) Luby's* (2,700) (22) OYO Geospace* (1,633) (64) Rex Energy* (1,200) (19) ---------- (437) ---------- FINANCIALS -- (1.3)% Apollo Investment* (5,200) (89) Ares Capital (2,791) (29) BankFinancial (2,481) (36) Camden Property Trust+ (700) (32) Cardinal Financial (74) (1) Centerstate Banks of Fl* (2,741) (49) Chemical Financial (2,406) (75) Colonial Properties Trust+ (2,200) (41) Cowen Group* (53) -- Deerfield Capital+ (171) -- Dime Community Bancshares (100) (2) Fidelity National Financial, Cl A (100) (1) Fresenius Kabi Pharmaceuticals Holding* (17) -- Guaranty Bancorp* (24) -- Harris & Harris Group* (7,798) (50) Hilltop Holdings* (2,500) (26) Independence Holding* (4,855) (56) Irwin Financial (100) -- Meridian Interstate Bancorp* (100) (1) NYMAGIC* (4,750) (120) Post Properties+ (2,859) (80) Potlatch+ (1,800) (84) Stewart Information Services (7,109) (211) Sun Communities+ (2,250) (45) TCF Financial (2,800) (50) Tejon Ranch* (1,900) (71) Thomas Weisel Partners Group* (700) (6) TICC Capital (8,065) (41) Trustmark (2,180) (45) Zenith National Insurance (2,600) (95) ---------- (1,336) ----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 127 SCHEDULE OF INVESTMENTS Small/Mid Cap Diversified Alpha Fund (Concluded) September 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- HEALTH CARE -- (0.4)% Abaxis* (1,898) $ (37) Abiomed* (3,000) (53) AMAG Pharmaceuticals* (1,600) (62) Auxilium Pharmaceuticals* (700) (23) Emeritus* (3,407) (85) Enzo Biochem* (7,181) (79) Insulet* (2,776) (39) Micrus Endovascular* (1,500) (21) Minrad International* (26,545) (29) Spectranetics* (8,200) (38) Vital Images* (1,600) (24) ----------- (490) ----------- INDUSTRIALS -- (0.8)% AAR* (1,900) (32) Blount International* (3,325) (37) Coleman Cable* (7,451) (75) Corrections Corp of America* (1,500) (37) Courier (1,000) (20) Flanders* (198) (1) GeoEye* (1,000) (22) Great Lakes Dredge & Dock (5,623) (35) Healthcare Services Group (6,200) (113) Hexcel* (2,902) (40) Innovative Solutions & Support (2,584) (14) Ladish* (100) (2) LMI Aerospace* (3,807) (77) Mine Safety Appliances (1,100) (42) Multi-Color (600) (14) Northwest Pipe* (300) (13) Patriot Transportation* (709) (56) Team* (1,426) (52) Tennant (4,609) (158) Vicor (500) (4) ----------- (844) ----------- INFORMATION TECHNOLOGY -- (1.1)% Agilysys (4,100) (41) Ariba* (5,067) (72) Aruba Networks* (7,200) (37) Atheros Communications* (1,200) (28) Cavium Networks* (4,411) (62) DealerTrack Holdings* (900) (15) Ditech Networks* (2,059) (2) Electronic Arts* (300) (11) Finisar* (2,889) (3) Hughes Communications* (1,321) (48) Immersion* (10,100) (59) IPG Photonics* (3,533) (69)
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Lam Research* (900) $ (28) LivePerson* (21,672) (63) Micron Technology* (9,570) (39) MoSys* (14,671) (62) Park Electrochemical (2,900) (70) PDF Solutions* (8,217) (43) PLX Technology* (4,400) (23) SanDisk* (3,700) (72) SAVVIS* (4,900) (66) Silicon Laboratories* (300) (9) Smith Micro Software* (6,126) (43) Sourcefire* (7,369) (54) SourceForge* (36,551) (50) THQ* (5,400) (65) ----------- (1,134) ----------- MATERIALS -- (0.8)% Balchem (100) (3) Deltic Timber (1,236) (79) Eagle Materials (4,100) (92) General Moly* (2,800) (12) Louisiana-Pacific (6,935) (64) OM Group* (3,300) (74) Penford (2,100) (37) Royal Gold (48) (2) RTI International Metals* (1,700) (33) Temple-Inland (12,342) (188) Titanium Metals (1,800) (20) Valhi (1,200) (22) Westlake Chemical (2,500) (53) Weyerhaeuser (2,100) (127) ----------- (806) ----------- TELECOMMUNICATION SERVICES -- (0.0)% Alaska Communications Systems Group (2,100) (26) Cbeyond* (1,600) (23) ----------- (49) ----------- UTILITIES -- (0.4)% California Water Service Group (2,137) (82) Central Vermont Public Service (1,852) (43) CH Energy Group (1,100) (48) Connecticut Water Services* (3,007) (87) Middlesex Water* (4,161) (73) SJW (2,595) (78) Synthesis Energy Systems* (1,100) (5) ----------- (416) ----------- Total Common Stock Sold Short (Proceeds $(8,258)) ($ Thousands) (7,010) -----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 128 A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- -------------- 10-Year Swap (37) Dec-2008 $ (15) 90-Day Euro$ 5 Dec-2008 (8) 90-Day Euro$ 11 Mar-2009 (7) 90-Day Euro$ 27 Jun-2009 46 90-Day Euro$ 28 Sep-2009 46 90-Day Euro$ 13 Dec-2009 (6) 90-Day Euro$ 3 Mar-2010 1 90-Day Euro$ (17) Jun-2010 (46) 90-Day Euro$ 1 Sep-2010 -- 90-Day Euro$ 1 Dec-2010 -- 90-Day Euro$ 1 Mar-2011 (1) 90-Day Euro$ 2 Jun-2011 (1) 90-Day Euro$ 2 Sep-2011 (1) 90-Day Euro$ 1 Dec-2011 -- 90-Day Euro$ 1 Mar-2012 -- 90-Day Euro$ 6 Jun-2012 3 90-Day Euro$ 6 Sep-2012 7 90-Day Euro$ 2 Dec-2012 1 Russell 2000 Index E-MINI 145 Dec-2008 (529) S&P Mid 400 Index E-MINI 151 Dec-2008 (676) U.S. 10-Year Note 3 Dec-2008 (1) U.S. 2-Year Note (6) Dec-2008 (8) U.S. 5-Year Note (4) Dec-2008 (1) ------- $(1,196) =======
A summary of outstanding swap agreements held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements): CREDIT DEFAULT SWAPS
NET UNREALIZED (PAYS)/ NOTIONAL APPRECIATION BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE ($ THOUSANDS) ($ THOUSANDS) - ------------ -------------------------------- ---------- -------- ----------- ------------- -------------- Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.80)% 03/20/13 $ 250 $ -- Goldman Sachs CDX.NA.LG.9 Index Buy (0.60) 12/20/12 1,000 12 Goldman Sachs CDX.NA.LG.9 Index Buy (0.60) 12/20/12 500 5 Goldman Sachs CDX.NA.LG.9 Index Buy (0.60) 12/20/12 500 4 Bank Of America CDX.NA.LG.9 Index Buy (0.60) 12/20/12 500 17 Goldman Sachs CDX.NA.LG.10 Index Buy (1.55) 06/20/13 1,250 14 Goldman Sachs Centurytel Inc., 6.00%, 04/01/17 Buy (1.10) 03/20/13 250 4 Goldman Sachs CMBX.NA.BBB 2 Index Buy (0.60) 03/14/49 1,000 137 Bank Of America Lowes Companies Inc., 8.25%, Buy (0.95) 03/20/13 250 (3) 06/01/10 Bank Of America Safeway Inc., 5.80%, 08/15/12 Buy (0.59) 03/20/13 250 -- ---- $190 ====
TOTAL RETURN SWAPS
NET NOTIONAL UNREALIZED FUND TERMINATION AMOUNT DEPRECIATION COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS RECEIVES DATE ($ THOUSANDS) ($ THOUSANDS) - ------------ ----------------------------- --------------- ------------- ----------- ------------- -------------- Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Initial Index 02/28/09 $10,000 $ (765) Return Spread Minus 50 bps Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Initial Index 02/28/09 4,000 (306) Return Spread Minus 52 bps ------- $(1,071) =======
Percentages are based on Net Assets of $106,011 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) All or a portion of this security is held as collateral for securities sold short. The total value of collateral for securities sold short at September 30, 2008 was $27,882 ($ Thousands). (B) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2008 was $260 ($ Thousands) and represented 0.25% of Net Assets. (C) Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2008 was $260 ($ Thousands) and represented 0.25% of Net Assets. (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2008. (E) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may not be sold to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (F) Step Bond -- The rate reflected on the Schedule of Investments is the effective yield as of September 30, 2008. The coupon on a step bond changes on a specified date. (G) Zero Coupon Security. The rate reported is the rate in effect as of September 30, 2008. (H) Security, or portion thereof has been pledged as collateral on open futures contracts. ADR -- American Depositary Receipt Cl -- Class CMO -- Collateralized Mortgage Obligation CV -- Convertible Security FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association IO -- Interest Only - face amount represents notional amount PIPE -- Private Investment in Public Entity SDR -- Swedish Depositary Receipt Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflation Protected Security Amounts designated as "--" are $0 or rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 129 SCHEDULE OF INVESTMENTS Mid-Cap Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Affiliated Partnership 16.5% Financials 13.9% Consumer Discretionary 13.5% Information Technology 12.4% Industrials 11.0% Health Care 7.6% Energy 7.0% Utilities 5.6% Materials 4.7% Consumer Staples 4.4% Short-Term Investment 1.9% Telecommunication Services 1.5%
# Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK -- 97.4% CONSUMER DISCRETIONARY -- 16.1% Advance Auto Parts 21,800 $ 865 American Eagle Outfitters 14,300 218 America's Car-Mart* (A) 3,800 71 AnnTaylor Stores* 2,300 47 Apollo Group, Cl A* 6,400 380 Autozone* 3,400 419 Belo, Cl A 14,000 83 Big Lots* (A) 23,800 662 Brinker International 10,400 186 CBS, Cl B 29,900 436 Centex 8,200 133 Christopher & Banks (A) 4,500 35 Coach* 15,000 376 Darden Restaurants 19,400 555 DIRECTV Group* 2,200 58 DISH Network, Cl A* (A) 39,900 838 Dollar Tree* (A) 26,500 964 DreamWorks Animation SKG, Cl A* 5,300 167 Expedia* 39,600 598 Family Dollar Stores (A) 44,300 1,050 FGX International Holdings* 1,400 15 Gannett (A) 19,200 325 Gap 31,100 553 Genuine Parts 2,800 113 Gymboree* 1,300 46 H&R Block 12,500 284 Harley-Davidson (A) 2,100 78 Hasbro (A) 18,500 642 Hillenbrand 26,800 540 International Speedway, Cl A 5,000 195 ITT Educational Services* 900 73 J.C. Penney 10,400 347 Jack in the Box* 5,300 112
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- John Wiley & Sons, Cl A 6,500 $ 263 Jones Apparel Group 17,100 317 Kohl's* 4,300 198 Lennar, Cl A (A) 17,500 266 Liberty Media - Capital, Ser A* 13,100 175 Limited Brands 7,300 126 Macy's 5,100 92 Mattel 13,100 236 Newell Rubbermaid 5,400 93 NVR* (A) 1,700 972 Polo Ralph Lauren (A) 2,500 167 RadioShack 1,300 22 Ross Stores (A) 30,300 1,115 Service International 80,400 672 Sherwin-Williams (A) 900 51 Snap-On 14,100 743 Stamps.com* 2,400 28 Stanley Works 2,000 83 Titan International 400 9 TJX (A) 34,000 1,038 TRW Automotive Holdings* 31,000 493 Urban Outfitters* 9,000 287 VF 2,800 216 WABCO Holdings 6,900 245 Warner Music Group (A) 76,500 581 Weight Watchers International 500 18 Whirlpool (A) 1,900 151 Wyndham Worldwide 3,000 47 Yum! Brands 5,200 170 ------- 20,338 ------- CONSUMER STAPLES -- 5.2% Avon Products 13,900 578 Bunge (A) 4,000 253 Campbell Soup 5,400 208 Central European Distribution* 2,900 132 Coca-Cola Enterprises 25,800 433 ConAgra Foods 14,300 278 Del Monte Foods 23,100 180 Herbalife 13,200 522 HJ Heinz 2,500 125 Molson Coors Brewing, Cl B 17,900 837 Pepsi Bottling Group 32,000 933 PepsiAmericas 8,300 172 Reynolds American 5,000 243 Safeway 23,800 565 Sara Lee 9,400 119 SUPERVALU 40,200 872 Tyson Foods, Cl A 14,100 168 ------- 6,618 -------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 130
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- ENERGY -- 8.4% Cameron International* 8,300 $ 320 Cimarex Energy (A) 5,200 254 El Paso 77,100 984 ENSCO International 23,900 1,377 Helmerich & Payne 23,300 1,006 Mariner Energy* 4,600 94 Massey Energy 15,500 553 Murphy Oil 18,100 1,161 Nabors Industries* 4,200 105 Newfield Exploration* 2,000 64 Noble 7,000 307 Noble Energy 5,700 317 Overseas Shipholding Group (A) 2,000 117 Patterson-UTI Energy 26,400 529 Pioneer Natural Resources (A) 5,100 267 Plains Exploration & Production* 19,900 700 Pride International* 12,900 382 SEACOR Holdings* (A) 1,300 103 Smith International 1,400 82 Southwestern Energy* 11,400 348 Spectra Energy 1,300 31 St. Mary Land & Exploration 800 29 Superior Energy Services* 1,800 56 Swift Energy* 900 35 Tidewater (A) 5,800 321 Unit* 20,900 1,041 ------- 10,583 ------- FINANCIALS -- 16.6% Allied World Assurance Holdings 7,600 270 American Capital (A) 3,700 94 American Financial Group 11,800 348 American Physicians Capital 4,300 182 Ameriprise Financial 22,200 848 Annaly Capital Management+ 107,600 1,447 Apartment Investment & Management, Cl A+ (A) 22,025 771 Arch Capital Group* 18,700 1,366 Astoria Financial 31,400 651 Axis Capital Holdings 8,900 282 Bank of Hawaii (A) 17,100 914 Brandywine Realty Trust+ 56,100 899 CBL & Associates Properties+ 13,800 277 Central Pacific Financial (A) 5,600 94 CNA Financial 4,400 115 Colonial Properties Trust+ 700 13 Comerica (A) 1,000 33 Conseco* 2,700 10 Developers Diversified Realty+ 1,900 60 Discover Financial Services (A) 26,500 366
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Duke Realty+ (A) 29,900 $ 735 Endurance Specialty Holdings (A) 5,200 161 Everest Re Group 3,500 303 Fulton Financial (A) 20,000 218 General Growth Properties+ (A) 10,700 162 Genworth Financial, Cl A 9,200 79 Hartford Financial Services Group 500 20 Health Care+ (A) 8,300 442 Hercules Technology Growth Capital (A) 1,400 14 Hospitality Properties Trust+ 17,900 367 Host Hotels & Resorts+ (A) 21,900 291 Hudson City Bancorp 26,000 480 Huntington Bancshares (A) 12,100 97 IntercontinentalExchange* 400 32 Investment Technology Group* 4,100 125 Janus Capital Group 27,800 675 Jones Lang LaSalle (A) 1,300 57 Keycorp (A) 6,500 78 Kohlberg Capital (A) 1,200 10 Lazard, Cl A 7,800 334 Lexington Realty Trust+ (A) 9,400 162 Liberty Property Trust+ 21,400 806 Macerich+ 1,500 95 Mack-Cali Realty+ 22,800 772 MainSource Financial Group (A) 1,000 20 Marshall & Ilsley 4,800 97 Northern Trust 7,600 549 Oriental Financial Group 700 13 PartnerRe 4,600 313 Pennsylvania Real Estate Investment Trust+ 8,100 153 Platinum Underwriters Holdings 4,100 145 Prospect Capital (A) 3,200 41 Raymond James Financial 1,900 63 Regions Financial (A) 35,800 344 RenaissanceRe Holdings 12,600 655 SeaBright Insurance Holdings* 2,600 34 SLM* (A) 63,600 785 Sovereign Bancorp (A) 18,800 74 Sunstone Hotel Investors+ (A) 21,500 290 SunTrust Banks 600 27 TCF Financial (A) 12,400 223 Tree.com* 553 3 Valley National Bancorp (A) 41,495 870 Washington Federal (A) 14,300 264 Webster Financial 2,900 73 WR Berkley 11,500 271 XL Capital, Cl A (A) 8,200 147 ------- 21,009 -------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 131 SCHEDULE OF INVESTMENTS Mid-Cap Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- HEALTH CARE -- 9.0% Allergan 3,600 $ 185 AmerisourceBergen 3,100 117 Applied Biosystems 6,200 212 C.R. Bard 2,200 209 Cephalon* 4,500 349 Charles River Laboratories International* 1,500 83 Cigna 19,200 652 Cooper 1,900 66 Covance* 3,500 309 Dentsply International 1,400 53 Edwards Lifesciences* 4,200 243 Endo Pharmaceuticals Holdings* 8,800 176 Express Scripts* 7,500 554 Forest Laboratories* 6,800 192 Hill-Rom Holdings (A) 300 9 Hospira* 3,000 115 Humana* 9,500 391 Idexx Laboratories* 4,900 269 IMS Health 43,600 824 Intuitive Surgical* 1,700 410 Inverness Medical Innovations* (A) 5,900 177 Invitrogen* (A) 3,400 129 Kinetic Concepts* (A) 21,800 623 King Pharmaceuticals* (A) 17,900 171 LifePoint Hospitals* (A) 25,400 816 Lincare Holdings* (A) 19,300 581 Sepracor* (A) 7,300 134 St. Jude Medical* 35,700 1,553 Techne* 2,200 159 Universal Health Services, Cl B 3,800 213 Vertex Pharmaceuticals* (A) 10,500 349 Warner Chilcott, Cl A* 22,500 340 Waters* 13,300 774 ---------- 11,437 ---------- INDUSTRIALS -- 13.1% AGCO* 4,500 192 Alliant Techsystems* 1,900 178 Allied Waste Industries* 17,400 193 Armstrong World Industries (A) 22,100 639 Bucyrus International, Cl A 5,700 255 Cooper Industries, Cl A 4,100 164 Copart* 5,200 198 Crane 26,200 778 Cummins 20,400 892 Dover 25,200 1,022 Eaton 2,900 163 Energy Conversion Devices* (A) 900 52 Fastenal (A) 8,500 420
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- First Solar* 200 $ 38 Fluor 21,400 1,192 Foster Wheeler* 10,100 365 Gardner Denver* 18,200 632 GeoEye* 400 9 Goodrich 17,700 736 Harsco 23,600 878 Hertz Global Holdings* 28,100 213 Hubbell, Cl B 6,900 242 Ingersoll-Rand, Cl A 1,500 47 Jacobs Engineering Group* 3,600 196 John Bean Technologies* 1,425 18 KBR 7,700 117 Kirby* 18,200 691 L-3 Communications Holdings 3,900 383 Manpower 9,600 414 Masco (A) 5,100 91 NCI Building Systems* 700 22 Northrop Grumman 2,100 127 Northwest Airlines* 10,500 95 Parker Hannifin 10,150 537 Perini* 200 5 Pitney Bowes 30,800 1,024 Raytheon 4,600 246 Robert Half International 600 15 Rockwell Automation 3,500 131 RR Donnelley & Sons 10,500 258 Ryder System (A) 19,500 1,208 Shaw Group* 21,100 648 Stericycle* 6,700 395 Textron 100 3 Tyco International 6,600 231 United Rentals* (A) 5,100 78 WESCO International* 5,300 171 ---------- 16,602 ---------- INFORMATION TECHNOLOGY -- 14.8% Accenture, Cl A 1,600 61 ADC Telecommunications* (A) 53,600 453 Adobe Systems* 3,400 134 Affiliated Computer Services, Cl A* 2,800 142 Agilent Technologies* 9,200 273 Alliance Data Systems* (A) 15,700 995 Altera (A) 3,900 81 Amdocs* 200 5 Analog Devices 13,100 345 Arrow Electronics* 1,300 34 Avnet* 7,800 192 BMC Software* (A) 11,700 335 Broadcom, Cl A* (A) 29,800 555 Broadridge Financial Solutions 43,300 666
SEI Institutional Managed Trust / Annual Report / September 30, 2008 132
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Brocade Communications Systems* 5,200 $ 30 CA 43,800 874 CommScope* 2,700 94 Computer Sciences* 800 32 DST Systems* (A) 1,000 56 Global Payments 3,900 175 Harris 28,400 1,312 Hewitt Associates, Cl A* 29,700 1,082 IAC* 8,300 144 Ingram Micro, Cl A* 10,500 169 Integrated Device Technology* 105,700 822 Intersil, Cl A 3,200 53 Intuit* (A) 30,600 967 Jabil Circuit 47,000 448 Juniper Networks* 1,000 21 LSI Logic* (A) 132,500 710 McAfee* 2,200 75 MEMC Electronic Materials* 17,100 483 Metavante Technologies* 32,400 624 Mettler Toledo International* 5,100 500 National Semiconductor 16,700 287 NCR* 13,400 295 NetApp* 15,800 288 ON Semiconductor* 18,500 125 QLogic* (A) 21,000 323 SAIC* 13,100 265 Silicon Laboratories* 9,100 279 Sohu.com* (A) 9,500 530 Symantec* 11,100 217 Synopsys* 26,500 529 Teradyne* 63,600 497 Trimble Navigation* 2,200 57 Vishay Intertechnology* (A) 95,300 631 Western Digital* 35,000 746 Xerox 33,300 384 Xilinx (A) 11,700 274 ---------- 18,669 ---------- MATERIALS -- 5.6% Airgas 5,900 293 AK Steel Holding (A) 6,800 176 Celanese, Ser A 24,500 684 CF Industries Holdings 9,000 823 Chemtura 58,700 268 Commercial Metals 1,000 17 Crown Holdings* 1,600 36 Domtar* 1,800 8 Eastman Chemical (A) 5,500 303 Greif, Cl A 5,000 328 Intrepid Potash* 7,300 220 Lubrizol 12,100 522
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Mosaic 300 $ 20 Nalco Holding 2,000 37 Owens-Illinois* 21,800 641 Reliance Steel & Aluminum 22,600 858 Sonoco Products 29,900 887 Spartech 3,600 36 Steel Dynamics 1,200 21 Terra Industries 24,700 726 United States Steel 2,600 202 ---------- 7,106 ---------- TELECOMMUNICATION SERVICES -- 1.9% CenturyTel 9,300 341 Embarq (A) 33,100 1,342 NII Holdings* 3,800 144 Qwest Communications International (A) 21,700 70 US Cellular* 1,800 84 Windstream 31,300 342 ---------- 2,323 ---------- UTILITIES -- 6.7% AES* 107,400 1,256 Ameren (A) 4,100 160 American Electric Power 10,500 389 American Water Works 5,700 123 Atmos Energy 11,800 314 Centerpoint Energy 20,000 291 CMS Energy (A) 11,400 142 DTE Energy 12,900 518 Edison International 37,700 1,504 Energen 2,400 109 Mirant* (A) 5,200 95 NiSource 20,600 304 NRG Energy* 18,600 460 OGE Energy 1,200 37 Oneok 23,900 822 Pepco Holdings 54,000 1,236 Questar 900 37 Sempra Energy 3,100 156 Sierra Pacific Resources 22,400 215 UGI 13,600 351 ---------- 8,519 ---------- Total Common Stock (Cost $144,698) ($ Thousands) 123,204 ---------- AFFILIATED PARTNERSHIP -- 19.6% SEI Liquidity Fund, L.P., 2.590%**++ (B) 25,218,254 24,856 ---------- Total Affiliated Partnership (Cost $25,218) ($ Thousands) 24,856 ----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 133 SCHEDULE OF INVESTMENTS Mid-Cap Fund (Concluded) September 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- CASH EQUIVALENT -- 2.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 2,943,226 $ 2,943 ---------- Total Cash Equivalent (Cost $2,943) ($ Thousands) 2,943 ---------- Total Investments -- 119.3% (Cost $172,859) ($ Thousands) $ 151,003 ==========
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED TYPE OF NUMBER OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------------- ---------- ------------- S&P Mid 400 Index E-MINI 36 Dec-2008 $(100) =====
Percentages are based on Net Assets of $126,561 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) This Security or a partial position of this security is on loan at September 30, 2008 (see Note 7). The total market value of securities on loan at September 30, 2008 was $25,129 ($ Thousands). (B) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2008 was $24,856 ($ Thousands). (C) Security, or a portion thereof has been pledged as collateral on open futures contracts. Cl -- Class L.P. -- Limited Partnership Ser -- Series The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 134 U.S. Managed Volatility Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Health Care 26.1% Utilities 13.0% Financials 10.5% Industrials 9.9% Consumer Staples 9.1% Information Technology 8.2% Energy 7.9% Consumer Discretionary 6.4% Telecommunication Services 4.1% Materials 4.0% Short-Term Investment 0.6% U.S. Treasury Obligation 0.2%
# Percentages based on total investments.
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK@ -- 97.7% CONSUMER DISCRETIONARY -- 6.3% Autoliv 51,600 $ 1,742 Buckle 24,700 1,372 Burger King Holdings 74,100 1,820 Choice Hotels International 36,700 995 CTC Media* 116,000 1,740 DIRECTV Group* 73,700 1,929 DreamWorks Animation SKG, Cl A* 65,600 2,063 Genuine Parts 42,700 1,717 Hillenbrand 87,642 1,767 International Speedway, Cl A 38,200 1,486 ITT Educational Services* 9,500 769 John Wiley & Sons, Cl A 17,300 700 Liberty Global, Cl A* 70,700 2,142 Panera Bread, Cl A* 7,800 397 Polaris Industries 12,400 564 Shaw Communications, Cl B 96,300 1,958 Starwood Hotels & Resorts Worldwide 47,200 1,328 TRW Automotive Holdings* 73,000 1,161 Tupperware Brands 28,400 785 Washington Post, Cl B 4,462 2,484 ------- 28,919 ------- CONSUMER STAPLES -- 8.9% Alberto-Culver 2,752 75 Brown-Forman, Cl B 47,035 3,378 Campbell Soup 48,754 1,882 Church & Dwight 33,500 2,080 Costco Wholesale 8,043 522 Dean Foods* 40,800 953 Flowers Foods 27,000 793 General Mills 35,057 2,409 Hershey 60,300 2,384 Hormel Foods 197,982 7,183
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- JM Smucker 18,883 $ 957 Kellogg 42,634 2,392 Kimberly-Clark 12,100 785 McCormick 47,765 1,837 Pepsi Bottling Group 61,600 1,797 PepsiCo 38,149 2,719 Philip Morris International 96,678 4,650 Reynolds American 10,952 532 SYSCO 38,202 1,178 Tyson Foods, Cl A 79,103 944 UST 22,073 1,469 ------- 40,919 ------- ENERGY -- 7.8% Baker Hughes 51,852 3,139 Cameco 19,200 428 Carrizo Oil & Gas* 27,200 987 Chevron 67,707 5,584 Cimarex Energy 40,400 1,976 Enbridge 55,900 2,129 Exxon Mobil 59,355 4,610 Imperial Oil 13,400 571 International Coal Group* 129,000 805 Key Energy Services* 40,644 471 Murphy Oil 10,000 641 Nexen 23,300 541 Penn Virginia 17,000 908 Petro-Canada 34,200 1,141 Schlumberger 10,340 807 SEACOR Holdings* 66,739 5,269 Ship Finance International 65,700 1,416 Southern Union 14,182 293 Spectra Energy 109,179 2,598 TransCanada 31,800 1,150 ------- 35,464 ------- FINANCIALS -- 10.3% Alleghany* 5,491 2,004 American National Insurance 9,126 788 Arch Capital Group* 7,366 538 Arthur J. Gallagher 14,919 383 Bancorpsouth 80,600 2,267 BOK Financial 35,729 1,730 Boston Properties+ 14,668 1,374 Brown & Brown 47,100 1,018 Capitol Federal Financial 11,854 525 Cincinnati Financial 25,400 722 Commerce Bancshares 15,500 719 Credicorp 25,900 1,612 Erie Indemnity, Cl A 2,612 110 Federated Investors, Cl B 58,600 1,691 First Citizens BancShares, Cl A 10,918 1,954 Fulton Financial 168,200 1,835
SEI Institutional Managed Trust / Annual Report / September 30, 2008 135 SCHEDULE OF INVESTMENTS U.S. Managed Volatility Fund (Concluded) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Investment Technology Group* 29,900 $ 910 Loews 94,127 3,717 Markel* 8,598 3,022 Mercury General 39,494 2,162 OneBeacon Insurance Group, Cl A 94,628 2,001 Regions Financial 164,300 1,577 RenaissanceRe Holdings 38,000 1,976 StanCorp Financial Group 34,500 1,794 TFS Financial 173,800 2,176 Transatlantic Holdings 38,474 2,091 UMB Financial 38,700 2,033 Valley National Bancorp 89,565 1,877 Wesco Financial 2,384 851 White Mountains Insurance Group 2,343 1,101 Whitney Holding 31,700 769 -------- 47,327 -------- HEALTH CARE -- 25.8% Abbott Laboratories 74,469 4,288 Alcon 13,800 2,229 AmerisourceBergen 101,145 3,808 Applied Biosystems 56,876 1,948 Baxter International 74,687 4,902 Beckman Coulter 32,885 2,335 Becton Dickinson 52,781 4,236 BioMarin Pharmaceuticals* 59,200 1,568 Brookdale Senior Living 65,900 1,449 C.R. Bard 28,096 2,665 Cardinal Health 4,089 202 Celgene* 17,000 1,076 Covance* 60,560 5,354 Dentsply International 109,464 4,109 Edwards Lifesciences* 63,954 3,694 Eli Lilly 35,049 1,543 Endo Pharmaceuticals Holdings* 71,700 1,434 Genentech* 54,710 4,852 Genzyme* 27,212 2,201 Henry Schein* 98,290 5,292 Hill-Rom Holdings 126,754 3,842 HLTH* 14,513 166 Hospira* 56,155 2,145 Idexx Laboratories* 55,883 3,062 Immucor* 54,100 1,729 Johnson & Johnson 62,804 4,351 King Pharmaceuticals* 165,400 1,585 Laboratory Corp of America Holdings* 82,686 5,747 McKesson 105,904 5,699 Medco Health Solutions* 59,425 2,674 Medtronic 51,955 2,603 Onyx Pharmaceuticals* 43,100 1,559 Owens & Minor 38,100 1,848 Patterson* 72,640 2,209 Perrigo 57,000 2,192
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Pharmaceutical Product Development 47,817 $ 1,977 Quest Diagnostics 41,576 2,148 STERIS 40,200 1,511 Techne* 64,553 4,656 United Therapeutics* 20,200 2,124 Universal Health Services, Cl B 92,889 5,205 Warner Chilcott, Cl A* 7,436 112 -------- 118,329 -------- INDUSTRIALS -- 9.7% Alexander & Baldwin 53,963 2,376 Alliant Techsystems* 20,500 1,926 C.H. Robinson Worldwide 81,825 4,170 FTI Consulting* 27,500 1,987 Gardner Denver* 39,500 1,371 General Cable* 40,500 1,443 General Dynamics 46,958 3,457 Granite Construction 18,600 666 Hertz Global Holdings* 224,100 1,696 Hubbell, Cl B 16,300 571 JetBlue Airways* 82,800 410 Landstar System 37,900 1,670 Lennox International 56,100 1,866 Lincoln Electric Holdings 28,900 1,859 Lockheed Martin 12,374 1,357 Nordson 21,300 1,046 Northrop Grumman 70,418 4,263 Pitney Bowes 81,444 2,709 Ritchie Bros Auctioneers 83,100 1,941 Robert Half International 85,100 2,106 Union Pacific 10,900 776 United Parcel Service, Cl B 49,539 3,116 UTI Worldwide 13,817 235 Woodward Governor 42,600 1,503 -------- 44,520 -------- INFORMATION TECHNOLOGY -- 8.0% Acxiom 37,200 466 Adtran 19,500 380 Affiliated Computer Services, Cl A* 41,800 2,116 Amdocs* 33,727 923 AVX 17,984 183 Factset Research Systems 14,100 737 Flir Systems* 32,600 1,252 Harris 14,500 670 Hewitt Associates, Cl A* 50,900 1,855 Hewlett-Packard 23,986 1,109 Ingram Micro, Cl A* 195,402 3,140 International Business Machines 24,283 2,840 Lexmark International, Cl A* 47,400 1,544 Mantech International, Cl A* 32,800 1,945 Mettler Toledo International* 93 9
SEI Institutional Managed Trust / Annual Report / September 30, 2008 136
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Molex 14,920 $ 335 National Instruments 27,777 835 NCR* 29,469 650 Perot Systems, Cl A* 109,900 1,907 Qualcomm 15,700 675 Silicon Laboratories* 16,600 510 Solera Holdings* 63,300 1,818 Sybase* 57,800 1,770 Synopsys* 41,130 821 Tech Data* 157,173 4,692 Tyco Electronics 50,113 1,386 Zebra Technologies, Cl A* 81,128 2,259 ------- 36,827 ------- MATERIALS -- 3.9% Aptargroup 44,300 1,733 Bemis 31,800 833 Compass Minerals International 28,900 1,514 Domtar* 354,200 1,629 Eagle Materials 18,100 405 Greif, Cl A 31,800 2,088 Methanex 25,500 507 Newmont Mining 102,437 3,970 Nova Chemicals 59,600 1,347 Packaging Corp of America 75,000 1,739 Rockwood Holdings* 55,900 1,434 Sonoco Products 22,300 662 ------- 17,861 ------- TELECOMMUNICATION SERVICES -- 4.0% AT&T 77,300 2,158 CenturyTel 55,300 2,027 Embarq 38,400 1,557 Frontier Communications 162,300 1,866 Sprint Nextel 247,900 1,512 Telephone & Data Systems 82,370 2,945 US Cellular* 53,934 2,531 Verizon Communications 118,187 3,793 ------- 18,389 ------- UTILITIES -- 13.0% AGL Resources 64,385 2,020 Alliant Energy 87,495 2,818 Atmos Energy 90,726 2,415 Calpine* 33,892 441 Consolidated Edison 70,890 3,045 Constellation Energy Group 14,900 362 Dominion Resources 129,955 5,559 DPL 66,200 1,642 DTE Energy 48,000 1,926 Edison International 44,700 1,784 Hawaiian Electric Industries 108,570 3,160 Integrys Energy Group 48,571 2,426
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- MDU Resources Group 88,587 $ 2,569 National Fuel Gas 36,305 1,532 NiSource 112,600 1,662 Northeast Utilities 70,800 1,816 NSTAR 60,779 2,036 OGE Energy 147,185 4,545 Oneok 32,308 1,111 Pepco Holdings 86,200 1,975 Progress Energy 30,140 1,300 Questar 29,962 1,226 SCANA 64,687 2,519 TECO Energy 105,800 1,664 UGI 8,277 213 Vectren 113,568 3,163 Westar Energy 47,700 1,099 Wisconsin Energy 74,355 3,338 -------- 59,366 -------- Total Common Stock (Cost $466,476) ($ Thousands) 447,921 -------- CASH EQUIVALENT -- 0.6% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 2,858,593 2,859 -------- Total Cash Equivalent (Cost $2,859) ($ Thousands) 2,859 -------- U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bills 1.657%, 11/20/08 (A) (B) $ 883 883 -------- Total U.S. Treasury Obligation (Cost $881) ($ Thousands) 883 -------- Total Investments -- 98.5% (Cost $470,216) ($ Thousands) $451,663 ========
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------- ------------ ---------- ------------- S&P 500 Index E-MINI 109 Dec-2008 $(51) ====
Percentages are based on Net Assets of $458,674 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Security (see Note 3). @ Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. (A) The rate reported is the effective yield at time of purchase. (B) Security, or portion thereof, has been pledged as collateral on open futures contracts. Cl -- Class The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 137 SCHEDULE OF INVESTMENTS Global Managed Volatility Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Consumer Staples 21.1% Health Care 15.2% Financials 12.9% Industrials 11.7% Utilities 10.2% Consumer Discretionary 10.1% Materials 6.2% Information Technology 5.5% Telecommunication Services 3.5% Energy 2.4% Short-Term Investment 0.9% U.S. Treasury Obligation 0.3%
# Percentages based on total investments.
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK -- 93.5% AUSTRALIA -- 1.6% AGL Energy (A) 26,688 $ 294 Aquarius Platinum 3,050 14 Aristocrat Leisure (A) 80,970 423 BlueScope Steel (A) 38,830 228 Brambles 54,187 337 Centennial Coal (A) 10,459 31 Iluka Resources 76,385 290 Incitec Pivot 107,380 429 ING Industrial Fund+ (A) 155,003 196 MFS* 17,170 13 TABCORP Holdings (A) 9,014 59 Telstra (A) 197,431 661 Wesfarmers (A) 14,486 336 ---------- 3,311 ---------- BELGIUM -- 3.2% Barco 667 30 Bekaert (A) 493 66 Belgacom 15,112 568 Cofinimmo+ 7,645 1,331 Colruyt (A) 5,553 1,391 Compagnie d'Entreprises 1,748 147 D'ieteren 186 42 Euronav (A) 7,369 203 InBev 8,903 528 Intervest Offices+ 1,579 60 Mobistar (A) 26,854 1,886 Nationale A Portefeuille (A) 1,561 103 Sipef 49 20 Tessenderlo Chemie (A) 3,379 169 ---------- 6,544 ----------
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- BERMUDA -- 0.3% Aspen Insurance Holdings 5,553 $ 153 Nabors Industries* 3,700 92 Platinum Underwriters Holdings 8,315 295 ---------- 540 ---------- CANADA -- 7.7% Agnico-Eagle Mines 16,000 874 Agrium 700 39 Alimentation Couche Tard, Cl B 2,800 37 ARC Energy Trust 47,200 1,026 Bank of Montreal 15,300 661 Bank of Nova Scotia 14,900 673 Barrick Gold 28,400 1,041 Celestica* 51,200 321 CGI Group, Cl A* 22,500 197 Cott* 2,900 3 Enbridge 19,300 715 Fairfax Financial Holdings 400 128 Fording Canadian Coal Trust 9,800 804 George Weston 3,900 189 Goldcorp 31,100 979 Harvest Energy Trust 1,300 22 Industrial Alliance Insurance and Financial Services 1,800 57 Kinross Gold 57,900 931 Laurentian Bank of Canada 1,100 39 Manitoba Telecom Services 9,200 340 Manulife Financial 16,100 580 Methanex 12,800 251 Metro, Cl A 1,700 49 MI Developments, Cl A 800 15 Nova Chemicals 17,500 385 Onex 8,000 207 PAN American Silver* 3,300 72 Penn West Energy Trust 13,200 314 Potash Corp of Saskatchewan 3,800 493 Provident Energy Trust 58,300 521 Ritchie Bros Auctioneers 23,900 566 Royal Bank of Canada 11,600 551 Saputo 29,800 708 Shoppers Drug Mart 6,700 324 Superior Plus Income Fund 2,200 24 TMX Group 13,000 355 Toronto-Dominion Bank 10,600 639 TransAlta 14,400 387 TransForce 3,500 19 Yamana Gold 19,700 162 ---------- 15,698 ----------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 138
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- CAYMAN ISLANDS -- 0.3% Greenlight Capital Re* 3,074 $ 71 Herbalife 11,770 465 ---------- 536 ---------- DENMARK -- 0.6% Coloplast, Cl B 1,175 87 D/S Norden (A) 3,030 146 Danske Bank (A) 10,000 240 Novo Nordisk, Cl B (A) 12,850 665 Topdanmark* 675 97 ---------- 1,235 ---------- FINLAND -- 0.6% Componenta 7,368 94 Fortum (A) 12,983 435 Kesko, Cl B 8,554 218 Orion, Cl B (A) 10,732 181 Outokumpu (A) 13,522 215 Ramirent 3,884 24 Tietoenator 3,475 51 ---------- 1,218 ---------- FRANCE -- 2.2% Air Liquide (A) 13,718 1,504 Casino Guichard Perrachon (A) 5,629 501 Cie Generale d'Optique Essilor International 15,856 790 CNP Assurances (A) 1,911 215 Eramet (A) 452 173 France Telecom (A) 19,591 548 Sanofi-Aventis (A) 8,956 588 SEB 639 28 Societe BIC (A) 100 5 Societe Des Autoroutes Paris-Rhin-Rhone 1,073 94 ---------- 4,446 ---------- GERMANY -- 0.5% Deutsche Euroshop 1,124 36 Deutsche Postbank 7,270 275 EnBW Energie Baden-Wuerttemberg 436 25 Fraport Frankfurt Airport Services Worldwide 949 56 Fresenius Medical Care (A) 12,552 648 ---------- 1,040 ---------- HONG KONG -- 3.9% Cheung Kong Infrastructure Holdings 51,000 237 CLP Holdings (A) 251,500 2,029
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Esprit Holdings (A) 3,500 $ 22 Guoco Group (A) 22,000 186 Hang Seng Bank (A) 83,200 1,573 Hong Kong & China Gas 184,000 420 Hong Kong Aircraft Engineerg 2,000 23 Hong Kong Electric Holdings (A) 231,500 1,454 Jardine Matheson Holdings (A) 26,400 690 Link+ 421,000 875 MTR (A) 43,500 128 Shun Tak Holdings 94,000 32 Wing Hang Bank (A) 16,500 127 Yue Yuen Industrial Holdings (A) 31,500 86 ---------- 7,882 ---------- IRELAND -- 0.0% Paddy Power 2,515 44 ---------- ITALY -- 0.3% Banca Carige 26,625 88 Banca Popolare dell'Emilia Romagna 27,244 390 CSP International Fashion Group 10,228 16 Telecom Italia (A) 46,221 69 ---------- 563 ---------- JAPAN -- 34.6% 77 Bank (A) 93,000 470 Able 3,000 31 Acom (A) 12,070 413 Aeon Delight 1,400 33 Aisin Seiki (A) 12,200 299 Ajis 1,300 29 Alfresa Holdings 1,800 87 Asahi Breweries (A) 85,500 1,501 Asatsu 1,700 49 Astellas Pharma (A) 17,000 716 Autobacs Seven 1,200 30 Awa Bank 4,000 23 Bank of Yokohama 30,000 149 Benesse (A) 43,300 1,772 Canon Marketing Japan 1,400 21 Casio Computer 68,000 640 Central Japan Railway (A) 235 2,220 Chubu Electric Power (A) 59,200 1,397 Chugoku Electric Power 35,600 731 Circle K Sunkus (A) 5,700 95 Coca-Cola West Holdings (A) 3,500 79 Combi 9,500 56 Dai Nippon Printing 23,000 311 Daihatsu Motor (A) 54,000 592 Daiichi Sankyo (A) 28,000 723 Dainippon Sumitomo Pharma (A) 32,000 263 Daisan Bank 10,000 34
SEI Institutional Managed Trust / Annual Report / September 30, 2008 139 SCHEDULE OF INVESTMENTS Global Managed Volatility Fund (Continued) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Daito Trust Construction 14,300 $ 533 East Japan Railway (A) 244 1,823 Ezaki Glico 3,000 28 FamilyMart (A) 31,200 1,323 Fast Retailing (A) 1,100 112 Fuji Oil (A) 3,300 38 FUJI SOFT 19,200 340 Gunma Bank (A) 131,000 748 Haruyama Trading 2,000 9 Hino Motors (A) 249,000 1,009 Hisamitsu Pharmaceutical (A) 19,900 873 Hitachi 75,000 507 Hokkaido Electric Power (A) 23,800 498 Hokuriku Electric Power 51,900 1,251 Horipro 1,300 11 IBJ Leasing 1,000 17 Ito En 15,800 205 Itoham Foods 22,000 102 Iyo Bank 4,000 44 Japan Airlines 156,000 322 J-Oil Mills 14,000 61 Jupiter Telecommunications 42 30 Kameda Seika 1,200 16 Kanamoto 5,000 20 Kansai Electric Power (A) 89,500 1,995 Kao (A) 47,000 1,263 Keihin Electric Express Railway 46,000 302 Keiyo Bank (A) 10,000 48 Kinden (A) 4,000 38 Kintetsu 169,000 590 Kirin Holdings (A) 31,000 408 Kobayashi Pharmaceutical 3,200 98 Koito Manufacturing (A) 7,000 66 Kokuyo 27,600 217 Konica Minolta Holdings (A) 13,000 149 Kureha 5,000 27 Kyoei Steel 1,100 21 Kyushu Electric Power 32,000 668 Lawson (A) 30,900 1,428 Mabuchi Motor (A) 24,000 1,093 Matsushita Electric Industrial (A) 35,000 604 McDonald's Holdings Japan 2,100 29 MCJ 80 7 Mediceo Paltac Holdings 46,000 564 Meiji Dairies 194,000 1,039 Meiji Seika Kaisha (A) 26,000 119 Meitec 6,100 164 Miraca Holdings 8,800 171 Mitani 2,100 12 Mitsubishi Gas Chemical (A) 27,000 131 Morinaga Milk Industry (A) 12,000 34 Namco Bandai Holdings (A) 31,700 349 Nankai Electric Railway 8,000 31
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- NEC Electronics* 5,400 $ 113 NET One Systems 130 187 NGK Insulators 18,000 221 Nichi-iko Pharmaceutical (A) 6,600 161 Nichirei (A) 417,000 2,225 Nintendo (A) 1,500 637 Nippon Kayaku 4,000 24 Nippon Meat Packers (A) 166,000 2,522 Nippon Oil (A) 35,000 177 Nippon Shinyaku (A) 7,000 67 Nippon Telegraph & Telephone (A) 154 689 Nippon Yusen (A) 48,000 313 Nisshin Seifun Group (A) 55,000 742 Nissin Food Products 9,200 328 Nitori 11,550 687 Noevir 2,500 22 NTT DoCoMo (A) 436 699 Odakyu Electric Railway 154,000 1,142 Ogaki Kyoritsu Bank 5,000 27 Okumura 202,000 773 Omron (A) 10,900 169 Osaka Gas 178,000 614 Otsuka 2,400 157 Proto 1,000 23 QP (A) 13,800 129 Rengo 7,000 48 Rinnai 3,000 123 Round One 183 147 Sanden 21,000 71 San-In Godo Bank (A) 7,000 54 Sankyo (A) 24,300 1,236 Sanyo Electric* 59,000 103 Sawai Pharmaceutical 1,100 44 Seiko Epson (A) 66,500 1,549 Shikoku Electric Power 61,800 1,555 Shimachu 22,600 510 Shimano (A) 16,200 559 Shinkin Central Bank 9 34 Shinsei Bank 55,000 169 Shizuoka Bank 117,000 1,154 Suzuken (A) 62,400 1,900 Taisho Pharmaceutical (A) 62,000 1,232 Taiyo Nippon Sanso 2,000 16 Takefuji (A) 11,140 145 Terumo (A) 12,300 643 Toagosei (A) 25,000 64 Tobu Railway (A) 33,000 160 Toda 180,000 718 Toho 29,600 621 Toho Gas 86,000 475 Tohoku Electric Power (A) 75,500 1,626 Tokyo Electric Power (A) 28,000 690 Tokyo Gas (A) 315,000 1,317
SEI Institutional Managed Trust / Annual Report / September 30, 2008 140
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Tokyo Style (A) 36,000 $ 305 Toppan Printing (A) 27,000 211 Torii Pharmaceutical 2,400 34 TOTO 28,000 207 Toyo Kohan 3,000 12 Toyo Seikan Kaisha (A) 5,100 78 Toyo Suisan Kaisha (A) 11,000 279 Toyoda Gosei (A) 3,700 63 Toyota Auto Body 2,300 42 Toyota Boshoku 11,800 131 Unicharm (A) 22,600 1,738 Uniden 14,000 55 Wacoal Holdings 100,000 1,121 Weathernews 7,300 101 West Japan Railway (A) 117 502 Yakult Honsha 20,800 642 Yamagata Bank 6,000 34 Yamaguchi Financial Group (A) 28,000 342 Yamato Holdings 22,000 247 Yamazaki Baking (A) 17,000 207 Yaoko 1,200 39 Yorozu 5,000 56 ----------- 70,606 ----------- NETHERLANDS -- 0.4% Corio+ 7,009 497 Eurocommercial Properties+ 924 40 OCE 16,811 120 Royal Dutch Shell, Cl A (A) 3,854 113 TomTom* 488 9 Vastned Offices+ 1,257 26 Vastned Retail+ 1,094 77 ----------- 882 ----------- NEW ZEALAND -- 0.1% Fisher & Paykel Healthcare (A) 84,812 168 ---------- PORTUGAL -- 0.0% Jeronimo Martins (A) 10,241 87 ---------- SINGAPORE -- 0.5% Hotel Grand Central 53,000 25 Jardine Cycle & Carriage (A) 25,000 276 Singapore Post 91,000 61 Singapore Telecommunications (A) 266,500 612 SunVic Chemical Holdings 108,000 17 ----------- 991 -----------
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- SPAIN -- 0.1% Construcciones y Auxiliar de Ferrocarriles 187 $ 66 Ebro Puleva 7,908 125 ----------- 191 ----------- SWEDEN -- 0.8% Axfood 3,500 94 Lundin Petroleum* 800 7 Svenska Cellulosa, Cl B (A) 10,000 105 Swedish Match (A) 88,400 1,534 ----------- 1,740 ----------- SWITZERLAND -- 3.4% Adecco (A) 6,875 299 Affichage Holding Genf 153 23 Alcon 4,753 768 Atel Holding 105 54 Basler Kantonalbank 272 28 Bell Holding 13 20 Financiere Tradition 163 19 Forbo Holding 58 23 Galenica (A) 417 150 Kuehne & Nagel International (A) 6,901 462 Lonza Group (A) 5,203 655 MCH Messe Schweiz Holding 530 28 Nestle (A) 18,060 783 Novartis (A) 13,436 709 PSP Swiss Property 10,382 606 Schindler Holding (A) 6,361 384 St. Galler Kantonalbank 83 34 Swiss Life Holding (A) 4,366 636 Swisscom (A) 2,103 628 Syngenta (A) 1,900 402 Valiant Holding 1,719 305 ----------- 7,016 ----------- UNITED KINGDOM -- 2.4% Beazley Group 49,315 105 Brixton+ 22,719 86 Carphone Warehouse Group 115,472 358 Centrica (A) 11,604 65 GlaxoSmithKline (A) 76,914 1,670 Great Portland Estates+ 18,816 114 HMV Group 362,484 832 Johnson Matthey 2 -- Reckitt Benckiser Group (A) 8,362 406 Scottish & Southern Energy (A) 12,805 327 Segro+ (A) 6,791 51
SEI Institutional Managed Trust / Annual Report / September 30, 2008 141 SCHEDULE OF INVESTMENTS Global Managed Volatility Fund (Concluded) September 30, 2008
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Stagecoach Group 55,813 $ 254 Tate & Lyle (A) 97,122 669 ----------- 4,937 ----------- UNITED STATES -- 30.0% Abbott Laboratories 11,900 685 Activision Blizzard* 62,500 964 Air Products & Chemicals 2,600 178 Alberto-Culver 30,300 825 Alleghany* 204 74 Altria Group 28,200 559 AmerisourceBergen 14,700 553 Amgen* 9,700 575 Andersons 2,500 88 Anixter International* 4,100 244 Apollo Group, Cl A* 4,700 279 Applied Materials 59,900 906 Archer-Daniels-Midland 18,300 401 Argan* 2,000 31 Automatic Data Processing 13,000 556 Avid Technology* 1,400 34 Baxter International 6,200 407 Berkshire Hathaway, Cl B* 690 3,033 Biogen Idec* 5,400 272 BJ Services 8,200 157 Blockbuster, Cl A* 34,900 72 Bunge 1,419 90 Campbell Soup 14,900 575 Carriage Services* 3,600 13 Celgene* 8,700 551 CF Industries Holdings 3,400 311 Church & Dwight 9,100 565 Colgate-Palmolive 33,300 2,509 ConocoPhillips 8,800 645 Con-way 12,200 538 Costco Wholesale 1,600 104 Covance* 6,500 575 Darling International* 30,500 339 Delta Air Lines* 40,400 301 DIRECTV Group* 22,600 591 Expeditors International of Washington 14,800 516 Family Dollar Stores 21,600 512 First American 12,200 360 First Niagara Financial Group 10,600 167 FirstEnergy 4,800 322 FMC Technologies* 1,300 61 Foot Locker 33,700 545 Gap 29,700 528 Genentech* 16,700 1,481 General Electric 21,300 543 General Mills 14,400 990 Genzyme* 7,300 590
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Hewitt Associates, Cl A* 20,200 $ 736 Home Depot 21,800 564 Hormel Foods 14,100 512 Hospira* 23,600 902 Hudson City Bancorp 55,800 1,030 Hutchinson Technology* 6,300 73 Integral Systems 6,000 125 International Shipholding* 18,900 414 JetBlue Airways* 54,100 268 Johnson & Johnson 11,400 790 Kellogg 14,300 802 Kimberly-Clark 8,700 564 Krispy Kreme Doughnuts* 10,800 36 Laboratory Corp of America Holdings* 5,100 354 LaBranche* 10,500 47 Liberty Media - Capital, Ser A* 11,100 149 Life Partners Holdings 1,800 65 Life Sciences Research* 800 28 Lincare Holdings* 2,600 78 Lockheed Martin 7,100 779 M&T Bank 3,700 330 Magellan Health Services* 13,300 546 Mastercard, Cl A 1,800 319 McClatchy, Cl A 17,900 79 Medco Health Solutions* 2,900 131 Medtronic 32,100 1,608 Mosaic 4,000 272 New York* 6,000 57 Newmont Mining 31,900 1,236 NN 489 6 North American Galvanizing & Coating* 1,754 9 Northrop Grumman 10,000 605 OpenTV, Cl A* 22,560 32 Overhill Farms* 3,300 17 Owens & Minor 11,300 548 PAM Transportation Services* 6,200 68 Patterson-UTI Energy 11,900 238 PepsiCo 8,700 620 Pfizer 30,900 570 Procter & Gamble 8,200 571 Prospect Capital 5,200 67 Quest Diagnostics 46,100 2,382 Ralcorp Holdings* 3,300 222 Raytheon 16,500 883 RehabCare Group* 1,600 29 Rent-A-Center* 24,700 550 Republic Bancorp, Cl A 5,200 158 Rollins 14,850 282 SandRidge Energy* 11,700 229 Solera Holdings* 4,400 126 Southern 21,400 807
SEI Institutional Managed Trust / Annual Report / September 30, 2008 142
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Southwest Airlines 124,700 $ 1,808 State Street 9,600 546 Stepan 600 33 Stoneridge* 5,300 60 Sun Microsystems* 12,200 93 Symantec* 36,700 718 Talbots 10,600 139 TJX 55,300 1,688 UST 18,200 1,211 Vaalco Energy* 14,200 96 Varian Medical Systems* 10,800 617 Walgreen 15,400 477 Wal-Mart Stores 50,700 3,036 Washington Post, Cl B 800 445 Wells Fargo 15,900 597 Werner Enterprises 23,600 511 Whole Foods Market 22,900 459 Wyeth 14,700 543 Zions Bancorporation 26,200 1,014 ----------- 61,219 ----------- Total Common Stock (Cost $201,997) ($ Thousands) 190,894 ----------- CASH EQUIVALENT -- 0.9% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 1,809,208 1,809 ----------- Total Cash Equivalent (Cost $1,809) ($ Thousands) 1,809 ----------- U.S. TREASURY OBLIGATION -- 0.3% U.S. Treasury Bills 1.633%, 11/20/08 (B) (C) $ 705 705 ----------- Total U.S. Treasury Obligation (Cost $703) ($ Thousands) 705 ----------- Total Investments -- 94.7% (Cost $204,509) ($ Thousands) $ 193,408 ===========
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION CONTRACTS EXPIRATION (DEPRECIATION) TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ---------------- ------------ ---------- -------------- DJ Euro Stoxx 50 Index 10 Dec-2008 $ (2) FTSE 100 Index 2 Dec-2008 (6) Hang Seng Index 1 Oct-2008 (6) S&P 500 Composite Index 4 Dec-2008 (6) SPI 200 Index 3 Dec-2008 (17) Topix Index 6 Dec-2008 (51) ---- $(88) ====
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY CURRENCY APPRECIATION TO DELIVER TO RECEIVE (DEPRECIATION) SETTLEMENT DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - --------------- ------------- ----------- -------------- 10/30/08 AUD 4,091 USD 3,406 $ 183 10/30/08 CAD 16,569 USD 16,033 416 10/30/08 EUR 20,581 USD 30,174 1,181 10/30/08 GBP 3,860 USD 7,119 224 10/30/08 JPY 9,062,695 USD 85,382 (426) 10/30/08 USD 130 AUD 165 -- 10/30/08 USD 570 CAD 605 -- 10/30/08 USD 1,116 EUR 792 -- 10/30/08 USD 377 GBP 211 -- 10/30/08 USD 4,297 JPY 454,113 2 ------ $1,580 ======
Percentages are based on Net Assets of $204,166 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2008 was $77,784 ($ Thousands) and represented 38.10% of Net Assets. (B) The rate reported is the effective yield at time of purchase. (C) Security, or portion thereof, has been pledged as collateral on open futures contracts. AUD -- Australian Dollar CAD -- Canadian Dollar Cl -- Class EUR -- Euro GBP -- British Pound Sterling JPY -- Japanese Yen Ser -- Series USD -- United States Dollar Amounts designated as "--" are $0 or rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 143 SCHEDULE OF INVESTMENTS Tax-Managed Managed Volatility Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Consumer Staples 20.3% Health Care 18.3% Industrials 10.6% Utilities 10.3% Short-Term Investment 8.7% Financials 7.1% Consumer Discretionary 7.0% Information Technology 6.0% Energy 4.3% Materials 3.8% Telecommunication Services 3.1% U.S. Treasury Obligation 0.5%
# Percentages based on total investments.
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMON STOCK -- 91.6% CONSUMER DISCRETIONARY -- 7.0% Autoliv 9,600 $ 324 Buckle 6,100 339 Burger King Holdings 14,500 356 Career Education* 2,900 47 Choice Hotels International 6,600 179 CTC Media* 20,900 314 DIRECTV Group* 13,100 343 DreamWorks Animation SKG, Cl A* 11,800 371 Fortune Brands 464 27 Genuine Parts 4,600 185 H&R Block 5,800 132 Hillenbrand 1,576 32 International Speedway, Cl A 16,239 632 ITT Educational Services* 2,000 162 J.C. Penney 4,100 137 John Wiley & Sons, Cl A 4,600 186 Liberty Global, Cl A* 10,600 321 Liberty Media - Capital, Ser A* 29,537 395 Panera Bread, Cl A* 600 31 Penn National Gaming* 2,800 74 Polaris Industries 900 41 Shaw Communications, Cl B 17,900 364 Starwood Hotels & Resorts Worldwide 10,100 284 TRW Automotive Holdings* 16,000 255 Tupperware Brands 9,700 268 Washington Post, Cl B 1,754 977 ---------- 6,776 ---------- CONSUMER STAPLES -- 20.6% Altria Group 3,817 76 Anheuser-Busch 15,981 1,037 Brown-Forman, Cl B 10,963 787 Campbell Soup 8,371 323
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Church & Dwight 22,307 $ 1,385 Clorox 6,721 421 Coca-Cola 7,636 404 Colgate-Palmolive 15,424 1,162 Dean Foods* 10,200 238 Flowers Foods 5,500 161 General Mills 23,944 1,645 Hershey 13,913 550 HJ Heinz 13,882 694 Hormel Foods 28,023 1,017 JM Smucker 16,899 857 Kellogg 29,409 1,650 Kimberly-Clark 21,685 1,406 McCormick 26,304 1,011 Pepsi Bottling Group 8,300 242 PepsiCo 9,257 660 Philip Morris International 18,696 899 Procter & Gamble 12,802 892 Reynolds American 18,780 913 UST 17,938 1,194 WM Wrigley Jr. 2,832 225 ---------- 19,849 ---------- ENERGY -- 4.3% Cameco 2,900 65 Carrizo Oil & Gas* 4,100 149 Cimarex Energy 7,900 386 Enbridge 7,700 293 Exxon Mobil 3,900 303 Imperial Oil 9,300 396 International Coal Group* 20,500 128 Murphy Oil 1,200 77 Nexen 3,900 91 Penn Virginia 4,700 251 Petro-Canada 4,900 163 SEACOR Holdings* 17,683 1,396 Ship Finance International 9,800 211 TransCanada 7,100 257 ---------- 4,166 ---------- FINANCIALS -- 7.1% Bancorpsouth 13,300 374 Brown & Brown 9,800 212 Capitol Federal Financial 15,271 677 Cincinnati Financial 11,300 321 Commerce Bancshares 6,200 288 Credicorp 5,800 361 Erie Indemnity, Cl A 2,900 123 Federated Investors, Cl B 11,200 323 Fulton Financial 26,000 284 Investment Technology Group* 4,000 122 Loews 1,791 71
SEI Institutional Managed Trust / Annual Report / September 30, 2008 144
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- Mercury General 10,804 $ 592 OneBeacon Insurance Group, Cl A 14,700 311 Regions Financial 17,200 165 RenaissanceRe Holdings 6,900 359 StanCorp Financial Group 7,400 385 TFS Financial 30,200 378 UMB Financial 6,500 341 Valley National Bancorp 17,700 371 Wesco Financial 2,190 782 Whitney Holding 2,200 53 ---------- 6,893 ---------- HEALTH CARE -- 18.5% Abbott Laboratories 14,338 826 Alcon 2,100 339 AmerisourceBergen 24,740 931 Barr Pharmaceuticals* 2,000 131 Beckman Coulter 4,600 327 Becton Dickinson 1,847 148 BioMarin Pharmaceuticals* 13,100 347 Brookdale Senior Living 14,700 323 C.R. Bard 6,437 611 Celgene* 2,800 177 Covance* 11,631 1,028 Dentsply International 20,017 751 Edwards Lifesciences* 9,416 544 Eli Lilly 12,080 532 Endo Pharmaceuticals Holdings* 16,600 332 Genentech* 6,919 614 Henry Schein* 18,879 1,016 Hill-Rom Holdings 12,033 365 Hospira* 9,300 355 Idexx Laboratories* 15,577 854 Immucor* 10,500 336 Johnson & Johnson 17,169 1,189 King Pharmaceuticals* 24,500 235 Laboratory Corp of America Holdings* 10,599 737 Lincare Holdings* 20,677 622 McKesson 7,100 382 Medtronic 6,667 334 Onyx Pharmaceuticals* 6,200 224 Owens & Minor 6,000 291 Patterson* 16,967 516 Perrigo 9,200 354 Quest Diagnostics 5,044 261 STERIS 8,100 304 Techne* 11,065 798 United Therapeutics* 2,900 305 Universal Health Services, Cl B 8,102 454 ---------- 17,893 ----------
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- INDUSTRIALS -- 10.6% Alexander & Baldwin 6,000 $ 264 Alliant Techsystems* 3,400 319 C.H. Robinson Worldwide 7,400 377 Curtiss-Wright 3,900 177 Dun & Bradstreet 7,628 720 FTI Consulting* 4,800 347 Gardner Denver* 5,700 198 General Cable* 9,300 331 Granite Construction 1,300 47 Hertz Global Holdings* 39,300 298 Hubbell, Cl B 1,200 42 JetBlue Airways* 5,900 29 Landstar System 8,400 370 Lennox International 8,900 296 Lincoln Electric Holdings 5,100 328 Nordson 4,100 201 Northrop Grumman 14,898 902 Pitney Bowes 28,225 939 Republic Services 18,748 562 Ritchie Bros Auctioneers 14,300 334 Robert Half International 12,500 309 Rollins 18,600 353 Stericycle* 18,687 1,101 Union Pacific 2,600 185 United Parcel Service, Cl B 7,073 445 UTI Worldwide 6,400 109 Valmont Industries 4,400 364 Woodward Governor 9,100 321 ---------- 10,268 ---------- INFORMATION TECHNOLOGY -- 6.1% Acxiom 2,600 33 Adtran 1,400 27 Affiliated Computer Services, Cl A* 7,500 380 Applied Materials 20,615 312 Diebold 10,921 362 Factset Research Systems 3,100 162 Flir Systems* 8,300 319 Harris 5,300 245 Hewitt Associates, Cl A* 8,600 313 Ingram Micro, Cl A* 21,100 339 Jack Henry & Associates 4,200 85 Lexmark International, Cl A* 6,000 195 Linear Technology 10,756 330 Mantech International, Cl A* 5,600 332 Microchip Technology 12,632 372 Micros Systems* 4,700 125 National Instruments 10,009 301 Perot Systems, Cl A* 17,600 305 Qualcomm 2,300 99 Silicon Laboratories* 1,200 37
SEI Institutional Managed Trust / Annual Report / September 30, 2008 145 SCHEDULE OF INVESTMENTS Tax-Managed Managed Volatility Fund (Concluded) September 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Solera Holdings* 10,900 $ 313 Sybase* 9,800 300 Tech Data* 7,462 223 Zebra Technologies, Cl A* 12,715 354 ---------- 5,863 ---------- MATERIALS -- 3.8% Aptargroup 8,500 332 Bemis 7,200 189 Compass Minerals International 5,200 272 Domtar* 68,500 315 Eagle Materials 1,300 29 Greif, Cl A 4,300 282 Methanex 4,900 97 Newmont Mining 30,178 1,170 Nova Chemicals 9,900 224 Packaging Corp of America 13,200 306 Rockwood Holdings* 10,700 275 Sonoco Products 5,600 166 ---------- 3,657 ---------- TELECOMMUNICATION SERVICES -- 3.2% AT&T 16,000 446 CenturyTel 20,504 751 Embarq 7,200 292 Frontier Communications 50,213 577 Sprint Nextel 36,700 224 Telephone & Data Systems 9,040 323 Verizon Communications 13,800 443 ---------- 3,056 ---------- UTILITIES -- 10.4% AGL Resources 10,300 323 Alliant Energy 10,900 351 Ameren 18,583 725 Atmos Energy 11,700 311 Consolidated Edison 13,506 580 Constellation Energy Group 7,400 180 DPL 13,900 345 DTE Energy 7,900 317 Edison International 9,700 387 Hawaiian Electric Industries 25,448 741 Integrys Energy Group 6,700 335 MDU Resources Group 10,000 290 NiSource 13,900 205 Northeast Utilities 11,500 295 NSTAR 7,600 255 OGE Energy 20,572 635 Pepco Holdings 10,600 243 PG&E 3,800 142 Puget Energy 11,262 301
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- SCANA 26,728 $ 1,041 Southern 13,831 521 TECO Energy 24,100 379 Vectren 19,217 535 Westar Energy 9,700 223 Wisconsin Energy 7,400 332 ---------- 9,992 ---------- Total Common Stock (Cost $91,677) ($ Thousands) 88,413 ---------- CASH EQUIVALENT -- 8.7% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**+ 8,445,221 8,445 ---------- Total Cash Equivalent (Cost $8,445) ($ Thousands) 8,445 ---------- U.S. TREASURY OBLIGATION -- 0.5% United States Treasury Bill 1.657%, 11/20/08 (A) (B) $ 455 455 ---------- Total U.S. Treasury Obligation (Cost $454) ($ Thousands) 455 ---------- Total Investments -- 100.8% (Cost $100,576) ($ Thousands) $ 97,313 ==========
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED CONTRACTS EXPIRATION DEPRECIATION TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ---------------- ------------ ----------- ------------- S&P 500 Index E-MINI 76 Dec-2008 $ (118) =============
Percentages are based on Net Assets of $96,523 ($Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Investment in Affiliated Security (see Note 3). (A) The rate reported is the effective yield at time of purchase. (B) Security, of portion thereof, has been pledged as collateral on open futures contracts. Cl -- Class Ser -- Series The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 146 Real Estate Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Financials 63.5% Affiliated Partnership 30.4% Short-Term Investment 3.5% Consumer Discretionary 1.6% Health Care 1.0%
# Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7).
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- COMMON STOCK -- 94.1% CONSUMER DISCRETIONARY -- 2.3% Marriott International, Cl A (A) 52,000 $ 1,357 Starwood Hotels & Resorts Worldwide 156,400 4,401 ------------- 5,758 ------------- FINANCIALS -- 90.4% Acadia Realty Trust+ 17,700 447 AMB Property+ (A) 198,800 9,006 Annaly Capital Management+ 46,200 621 AvalonBay Communities+ (A) 66,900 6,584 Boston Properties+ (A) 161,583 15,134 Brandywine Realty Trust+ 117,000 1,876 British Land (United Kingdom)+ (B) 233,274 3,096 Brookfield Asset Management, Cl A 101,400 2,782 Brookfield Properties 35,500 562 Camden Property Trust+ 176,900 8,113 Corporate Office Properties Trust+ (A) 132,300 5,338 Dawnay Day Sirius (United Kingdom) 507,655 357 Dawnay Day Treveria (United Kingdom) 490,861 64 Douglas Emmett+ (A) 297,825 6,871 Duke Realty+ (A) 176,700 4,343 Equity Residential+ (A) 411,600 18,279 Essex Property Trust+ 21,500 2,544 Extra Space Storage+ (A) 205,200 3,152 Federal Realty Investment Trust+ (A) 94,000 8,046 Forest City Enterprises, Cl A 149,700 4,591 General Growth Properties+ (A) 462,510 6,984 Hammerson (United Kingdom)+ 112,006 1,939 HCP+ (A) 129,600 5,201 Host Hotels & Resorts+ (A) 801,594 10,653 Kimco Realty+ (A) 339,800 12,552 LaSalle Hotel Properties+ 58,300 1,360 Liberty Property Trust+ 51,000 1,920 Macerich+ (A) 98,900 6,295 Post Properties+ (A) 198,400 5,549 Prologis+ (A) 327,300 13,508 PS Business Parks+ 23,605 1,360 Public Storage+ (A) 55,354 5,481 Saul Centers+ 31,100 1,572 Simon Property Group+ (A) 178,550 17,319
Market Value Description Shares ($ Thousands) - ------------------------------------------------ ------------- ------------- SL Green Realty+ (A) 89,800 $ 5,819 Strategic Hotels & Resorts+ (A) 197,800 1,493 Taubman Centers+ (A) 83,250 4,163 Thomas Properties Group (A) 71,458 722 Unibail (France)+ (B) 15,483 3,091 Ventas+ (A) 123,600 6,108 Verde Realty PIPE* (B) (D) 21,400 706 Vornado Realty Trust+ (A) 129,700 11,796 ------------ 227,397 ------------ HEALTH CARE -- 1.4% Brookdale Senior Living (A) 117,700 2,587 Sunrise Senior Living* (A) 63,800 880 ------------ 3,467 ------------ Total Common Stock (Cost $246,383) ($ Thousands) 236,622 ------------ AFFILIATED PARTNERSHIP -- 43.3% SEI Liquidity Fund, L.P., 2.560%**++ (C) 110,583,503 108,957 ------------ Total Affiliated Partnership (Cost $110,583) ($ Thousands) 108,957 ------------ CASH EQUIVALENT -- 5.1% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**++ 12,697,992 12,698 ------------ Total Cash Equivalent (Cost $12,698) ($ Thousands) 12,698 ------------ Total Investments -- 142.5% (Cost $369,664) ($ Thousands) $ 358,277 ============
Percentages are based on Net Assets of $251,384 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) This Security or a partial position of this security is on loan at September 30, 2008 (see Note 7). The total market value of securities on loan at September 30, 2008 was $114,040 ($ Thousands). (B) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2008 was $6,893 ($ Thousands) and represented 2.74% of Net Assets. (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2008 was $108,957 ($ Thousands). (D) Security considered illiquid and restricted. The total market value of such securities as of September 30, 2008 was $706 ($ Thousands) and represented 0.28% of Net Assets. Cl -- Class L.P. -- Limited Partnership PIPE -- Private Investment in Public Entity The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 147 SCHEDULE OF INVESTMENTS Enhanced Income Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Mortgage-Backed Securities 28.6% Loan Participations 27.5% Asset-Backed Securities 17.4% Corporate Obligations 10.1% Time Deposits 8.2% Short-Term Investments 8.2%
# Percentages based on total investments.
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- MORTGAGE-BACKED SECURITIES -- 29.5% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 13.3% FHLMC 6.000%, 09/01/26 $ 1,041 $ 1,057 FHLMC CMO STRIPS, Ser 245, Cl IO, IO 5.000%, 05/15/37 1,592 356 FNMA TBA 6.500%, 10/01/37 10,000 10,253 6.000%, 11/01/14 to 11/01/26 5,648 5,752 FNMA 6.500%, 09/01/26 571 587 6.000%, 10/01/26 to 01/01/27 8,542 8,683 2.380%, 10/21/08 (B) 15,000 14,996 --------------- 41,684 --------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 16.2% American Tower Trust, Ser 2007-1A, Cl D 5.957%, 04/15/37 1,250 1,119 Arkle Master Issuer PLC, Ser 2006-1A, Cl 3M 2.997%, 11/17/08 (D) 1,000 938 Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1 4.758%, 11/25/08 (D) 332 313 Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2 4.709%, 11/25/08 (D) 951 877 Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 4.868%, 11/25/08 (D) 667 606 Bayview Commercial Asset Trust, Ser 2006-4A, Cl A2 3.477%, 10/27/08 (D) 519 447 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1 5.469%, 11/25/08 (D) 703 572 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1 5.276%, 11/25/08 (D) 1,705 1,481
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Citigroup Commercial Mortgage Trust, Ser 2006-FL2, Cl D 2.698%, 10/15/08 (D) $ 400 $ 358 Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J 3.438%, 10/15/08 (D) 775 475 Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A 4.453%, 11/25/08 (D) 205 163 Citigroup Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1 4.900%, 11/25/08 (D) 714 653 Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2 2.588%, 10/15/08 (D) 986 883 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-22, Cl 2A1 5.256%, 11/25/08 (D) 767 574 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-HY10, Cl 3A1A 5.379%, 11/20/08 (D) 490 341 Crown Castle Towers LLC, Ser 2006-1A, Cl E 6.065%, 11/15/36 1,775 1,553 Crusade Global Trust, Ser 2004-2, Cl A1 2.939%, 11/19/08 (D) 180 167 Crusade Global Trust, Ser 2007-1, Cl A1 2.846%, 10/20/08 (D) 1,141 1,024 Diversified REIT Trust, Ser 1999-1A, Cl A2 6.780%, 03/18/11 255 255 First Horizon Alternative Mortgage Securities, Ser 2005-AA3, Cl 3A1 5.352%, 11/25/08 (D) 1,347 1,045 First Horizon Asset Securities, Ser 2005-AR4, Cl 2A1 5.333%, 11/25/08 (D) 1,130 913 Gracechurch Mortgage Financing PLC, Ser 2007-1A, Cl 2D1 3.200%, 11/20/08 (D) 1,195 1,048 Granite Master Issuer PLC, Ser 2006-3, Cl M1 2.966%, 10/20/08 (D) 570 476 Granite Master Issuer PLC, Ser 2007-1, Cl 1C1 3.504%, 12/22/08 (D) 410 267
SEI Institutional Managed Trust / Annual Report / September 30, 2008 148
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Granite Master Issuer PLC, Ser 2007-2, Cl 2C1 3.219%, 10/17/08 (D) $ 525 $ 356 Greenwich Capital Commercial Funding, Ser 2006-FL4A, Cl C 4.275%, 11/05/08 (D) 810 668 GS Mortgage Securities II, Ser 2007-EOP, Cl K 5.095%, 11/06/08 (D) 380 318 GSR Mortgage Loan Trust, Ser 2005-AR2, Cl 1A2 6.379%, 11/25/08 (D) 302 258 GSR Mortgage Loan Trust, Ser 2006-AR2, Cl 3A1 5.748%, 11/25/08 (D) 950 758 GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1 5.779%, 11/25/08 (D) 2,073 1,540 Harborview Mortgage Loan Trust, Ser 2005-14, Cl 3A1A 5.301%, 11/19/08 (D) 1,451 1,316 Impac CMB Trust, Ser 2005-1, Cl 1A1 3.467%, 10/27/08 (D) 410 229 Impac CMB Trust, Ser 2005-4, Cl 1M1 3.637%, 10/27/08 (D) 634 304 Interstar Millennium Trust, Ser 2002-1G, Cl A2 2.971%, 01/07/09 (D) 103 99 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-FL2A, Cl J 3.138%, 10/15/08 (D) 1,966 1,554 JPMorgan Mortgage Trust, Ser 2006-A6, Cl 4A1 5.248%, 11/25/08 (D) 1,094 1,003 JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1 5.457%, 11/25/08 (D) 1,988 1,542 Leek Finance PLC, Ser 2006-18A, Cl A2B 3.334%, 12/22/08 (D) 414 402 Master Adjustable Rate Mortgages Trust, Ser 2004-12, Cl 5A1 5.884%, 11/25/08 (D) 98 84 Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A 5.023%, 11/25/08 (D) 375 279 Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2 4.487%, 11/25/08 (D) 1,656 1,340 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1A 5.142%, 11/25/08 (D) 1,401 1,313
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1E 5.142%, 11/25/08 (D) $ 2,030 $ 1,779 MLCC Mortgage Investors, Ser 2006-1, Cl 2A1 5.377%, 11/25/08 (D) 1,108 1,003 Morgan Stanley Capital I, Ser 2007-XLFA, Cl C 2.648%, 10/15/08 (D) 1,025 842 MortgageIT Trust, Ser 2005-5, Cl A1 3.467%, 10/27/08 (D) 1,400 1,129 Permanent Master Issuer PLC, Ser 2006-1, Cl 2C 3.191%, 10/15/08 (D) 700 635 Prudential Commercial Mortgage Trust, Ser 2003-PWR1, Cl A1 3.669%, 02/11/36 727 701 Residential Funding Mortgage Securities I, Ser 2006-SA1, Cl 1A1 5.672%, 11/25/08 (D) 586 473 Residential Funding Mortgage Securities I, Ser 2007-SA2, Cl 2A2 5.674%, 11/25/08 (D) 976 803 Residential Funding Mortgage Securities I, Ser 2007-SA2, Cl 2A1 5.674%, 11/25/08 (D) 2,010 1,655 Sequoia Mortgage Trust, Ser 2004-10, Cl A2 3.508%, 10/20/08 (D) 267 258 Sequoia Mortgage Trust, Ser 2004-11, Cl A1 3.488%, 10/20/08 (D) 212 200 Sequoia Mortgage Trust, Ser 2005-2, Cl A1 3.408%, 10/20/08 (D) 119 109 Sequoia Mortgage Trust, Ser 2007-1, Cl 2A1 5.824%, 11/20/08 (D) 1,914 1,597 Washington Mutual Mortgage Pass-Through Certificates, Ser 2004-AR5, Cl A6 3.838%, 11/25/08 (D) 1,200 1,192 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR3, Cl A2 4.636%, 11/25/08 (D) 1,264 1,091 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 5.297%, 11/25/08 (D) 696 568
SEI Institutional Managed Trust / Annual Report / September 30, 2008 149 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A4 4.452%, 11/25/08 (D) $ 151 $ 149 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2 4.556%, 11/25/08 (D) 705 603 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1 4.499%, 11/25/08 (D) 918 743 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR2, Cl 2A2 4.549%, 11/25/08 (D) 803 694 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2 4.537%, 11/25/08 (D) 471 409 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1 5.636%, 11/25/08 (D) 1,173 899 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR16, Cl A1 5.665%, 11/25/08 (D) 1,621 1,369 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1 5.539%, 11/25/08 (D) 1,554 1,240 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1 5.240%, 11/25/08 (D) 1,116 959 --------------- 51,011 --------------- Total Mortgage-Backed Securities (Cost $102,209) ($ Thousands) 92,695 --------------- LOAN PARTICIPATIONS -- 28.3% Acument Global Technologies, Term B Loan 6.004%, 08/11/13 1,967 1,810 Alpha Topco, 2nd Lien 6.634%, 06/30/14 2,000 1,655 Arclin US Holdings, 1st Lien 5.560%, 07/10/14 1,840 1,500 Barrington Broadcasting Group 5.044%, 08/05/13 983 766 Bio Tech Research Labs, 1st Lien 4.470%, 03/17/14 986 818 CCS Medical 6.060%, 09/30/12 5,300 4,222 Cequel Communications, 1st Lien 4.795%, 11/05/13 1,463 1,274 Charter Communications 4.800%, 03/06/14 1,995 1,586 Claire's Stores, Term B Loan 5.556%, 05/29/14 2,992 1,787
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Clarke American, Tranche B 5.298%, 06/30/14 $ 1,980 $ 1,515 Delphi, Tranche C, 1st Lien 8.500%, 12/31/08 1,000 819 Delta Air Lines, 2nd Lien 5.719%, 04/30/14 484 337 Dollar General 5.219%, 07/07/14 1,500 1,298 Dollar General, Tranche B-2 5.219%, 07/07/14 1,500 1,298 DTN, 1st Lien, Tranche C 5.819%, 08/15/14 872 811 Eddie Bauer 5.880%, 04/01/14 857 583 Emerson Reinsurance, Term A Loan 4.570%, 12/15/11 1,300 1,079 Emerson Reinsurance, Term B Loan 5.820%, 12/15/11 500 415 Emerson Reinsurance, Term C Loan 8.070%, 12/15/11 200 166 Euramax International, 1st Lien 8.000%, 06/29/12 1,429 1,110 Ferro 1.000%, 06/06/12 (F) 644 48 First Data 5.903%, 09/24/14 3,491 2,982 Foamex L.P., 1st Lien 6.022%, 02/12/13 2,449 1,457 Fontainebleau Miami, Term B Loan 8.819%, 06/06/12 2,500 1,475 Freescale Semiconductor 4.236%, 11/29/13 1,995 1,620 Fresenius, Tranch B1 0.000%, 08/20/14 (E) 1,300 1,274 Fresenius, Tranch B2 0.000%, 08/20/14 (E) 700 686 Ginn La Conduit Lender, 1st Lien, Tranche A 8.545%, 06/08/11 (G) 631 148 Ginn La Conduit Lender, 1st Lien, Tranche B 9.500%, 06/08/11 (G) 1,352 316 Global Petroleum 8.526%, 07/26/13 1,960 1,803 Green Valley Ranch Gaming 5.707%, 02/16/14 974 677 Green Valley Ranch Gaming, 2nd Lien 6.959%, 08/16/14 1,000 493 HCA 7.610%, 11/07/13 1 1 II Exploration L.P., Term B Loan 7.292%, 10/28/13 988 741
SEI Institutional Managed Trust / Annual Report / September 30, 2008 150
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Keane International 4.720%, 06/04/13 $ 1,842 $ 1,234 Keane International (Synthetic) 4.720%, 06/04/13 140 93 Kuilima Resort, 1st Lien 0.000%, 09/30/10 (G) 1,577 972 Lake at Las Vegas 12.000%, 06/20/12 1,000 995 0.171%, 06/20/12 1,759 323 Lake at Las Vegas (Synthetic) 16.100%, 06/20/12 (G) 241 44 Land Investment Consortium, 1st Lien 7.704%, 05/09/11 897 628 Latham Manufacturing 8.520%, 06/30/12 2 1 Lifecare Holding 7.960%, 08/11/12 492 404 LNR Property, Tranche B 6.040%, 07/12/11 1,080 702 Manitowoc 0.000%, 04/14/14 (F) 2,000 -- Medical Staffing Network, 1st Lien 6.306%, 07/02/13 990 970 Metro PCS Wireless, Tranche B 5.402%, 11/04/13 1,995 1,781 0.000%, 11/04/13 (E) 1,000 893 Monitor Oil, 2nd Lien 0.000%, 01/25/15 (F) 47 -- Movie Gallery, 1st Lien 12.250%, 03/08/12 1,436 969 9.750%, 03/08/12 479 323 Movie Gallery, 1st Lien (Synthetic) 8.551%, 03/08/12 57 38 8.551%, 03/08/12 19 13 Mylan Laboratiories, Term Loan B 7.037%, 10/02/14 1,994 1,862 Penton Media, 1st Lien 5.067%, 02/01/13 1,481 1,059 Pinnacle Foods Group 5.433%, 04/19/14 990 818 Pivotal Promontory LLC, 1st Lien 7.000%, 08/31/10 (G) 2,957 1,951 Realogy (Synthetic) 2.440%, 10/10/13 483 361 Realogy, Term B Loan 5.570%, 10/10/13 (E) 2,232 1,670 Roofing Supply Group 9.770%, 06/30/13 956 705 Serena Software 4.680%, 03/11/13 1,707 1,536 Sirva Worldwide, Term B Loan 12.500%, 12/01/10 1,787 655 9.400%, 12/01/10 888 888 6.370%, 12/01/10 1,000 366 0.000%, 12/01/10 (F) 18 --
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Sitel LLC 5.345%, 01/30/14 $ 2,727 $ 1,882 Spirit Finance 5.801%, 07/15/13 3,500 2,415 Texas Competitive Electric Holdings 6.231%, 10/10/14 755 635 Texas Electric, Tranche B-2 6.231%, 10/10/14 (E) 1,194 1,003 The Newark Group 9.530%, 03/22/13 240 180 The Newark Group (Synthetic) 10.210%, 03/22/13 1,619 1,214 Total Safety, 1st Lien, Tranche B 5.222%, 12/08/12 990 941 Totes Isotoner, 1st Lien 5.158%, 01/31/13 741 593 5.150%, 01/31/13 738 590 5.139%, 01/31/13 2,461 1,969 US Airways Group 6.209%, 03/19/14 6,435 3,952 Venoco, 2nd Lien 6.812%, 05/07/14 1,000 930 Verint Systems 5.736%, 05/27/14 1,877 1,539 Waiccs Las Vegas 3 LLC, 1st Lien 6.198%, 02/01/09 2,000 1,600 Waiccs Las Vegas 3 LLC, 2nd Lien 11.698%, 02/01/09 2,000 1,400 WideOpenWest Finance, 1st Lien 5.397%, 06/30/14 2,000 1,500 5.397%, 06/01/14 3,000 2,249 WideOpenWest Finance, 2nd Lien 9.500%, 06/27/15 1,303 978 Wm. Bolthouse Farms, 1st Lien 5.063%, 12/17/12 2,952 2,656 --------------- Total Loan Participations (Cost $116,936) ($Thousands) 89,050 --------------- ASSET-BACKED SECURITIES -- 17.9% AUTOMOTIVE -- 3.3% AmeriCredit Automobile Receivables Trust, Ser 2006-1, Cl A4 5.200%, 03/06/11 830 813 Americredit Prime Automobile Receivable, Ser 2007-1, Cl D 5.620%, 01/08/12 775 599 Capital Auto Receivables Asset Trust, Ser 2007-1, Cl B 5.150%, 09/17/12 955 835 Carmax Auto Owner Trust, Ser 2007-1, Cl C 5.530%, 07/15/13 190 134
SEI Institutional Managed Trust / Annual Report / September 30, 2008 151 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Ford Credit Auto Owner Trust, Ser 2007-A, Cl C 5.800%, 02/15/13 $ 515 $ 399 Harley-Davidson Motorcycle Trust, Ser 2006-1, Cl B 5.240%, 11/15/13 1,550 1,509 Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl B 5.430%, 11/15/14 890 774 Harley-Davidson Motorcycle Trust, Ser 2007-2, Cl B 5.230%, 03/15/14 1,225 1,077 Hyundai Auto Receivables Trust, Ser 2006-B, Cl D 5.410%, 05/15/13 680 648 Hyundai Auto Receivables Trust, Ser 2007-A, Cl A4 5.260%, 11/15/12 660 658 Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3A 5.040%, 01/17/12 660 660 Merrill Auto Trust Securitization, Ser 2007-1, Cl C 5.960%, 12/15/13 1,593 1,464 WFS Financial Owner Trust, Cl A4 3.930%, 02/17/12 667 667 --------------- 10,237 --------------- CREDIT CARDS -- 5.9% Advanta Business Card Master Trust, Ser 2004-C1, Cl C 4.238%, 10/20/08 (D) 485 400 Advanta Business Card Master Trust, Ser 2006-B2, Cl B2 3.438%, 10/20/08 (D) 1,000 663 Advanta Business Card Master Trust, Ser 2006-C1, Cl C1 3.668%, 10/20/08 (D) 1,500 739 Advanta Business Card Master Trust, Ser 2007-B1, Cl B 3.438%, 10/20/08 (D) 2,000 1,233 American Express Credit Account Master Trust, Ser 2004-C, Cl C 2.988%, 10/15/08 (D) 124 119 Bank of America Credit Card Trust, Ser 2006-C7, Cl C7 2.718%, 10/15/08 (D) 1,000 951 Cabela's Master Credit Card Trust, Ser 2006-3A, Cl C 2.867%, 10/15/08 (D) 520 444 Capital One Master Trust, Ser 2002-1A, Cl B 3.088%, 10/15/08 (D) 525 523
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Capital One Multi-Asset Execution Trust, Ser 2005-C1, Cl C1 2.888%, 10/15/08 (D) $ 1,800 $ 1,592 Citibank Credit Card Issuance Trust, Ser 2006-C4, Cl C4 4.330%, 11/07/08 (D) 1,800 1,687 Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5 4.730%, 11/07/08 (D) 2,000 1,721 First National Master Note Trust, Ser 2007-1, Cl B 2.688%, 10/15/08 (D) 1,335 1,253 GE Capital Credit Card Master Note Trust, Ser 2007-4, Cl B 2.688%, 10/15/08 (D) 3,150 2,556 MBNA Master Credit Card Trust, Ser 1997-B, Cl B 2.838%, 10/15/08 (D) 2,100 1,831 MBNA Master Credit Card Trust, Ser 1999-J, Cl C 7.850%, 02/15/12 (C) 1,500 1,495 Washington Mutual Master Note Trust, Ser 2006-C2A, Cl C2 2.988%, 10/15/08 (C) (D) 800 465 Washington Mutual Master Note Trust, Ser 2006-C3A, Cl C3A 2.868%, 10/15/08 (D) 1,000 859 --------------- 18,531 --------------- MORTGAGE RELATED SECURITIES -- 1.5% ACE Securities, Ser 2006-HE1, Cl M2 3.607%, 10/27/08 (D) 515 53 ACE Securities, Ser 2006-OP2, Cl A2B 3.317%, 10/27/08 (D) 1,000 895 Asset-Backed Funding Certificates, Ser 2006-OPT2, Cl A3B 3.317%, 10/27/08 (D) 1,100 1,015 New Century Home Equity Loan Trust, Ser 2005-1, Cl A1MZ 3.497%, 10/27/08 (D) 35 29 Option One Mortgage Loan Trust, Ser 2005-3, Cl M1 3.677%, 10/27/08 (D) 428 298 Option One Mortgage Loan Trust, Ser 2007-2, Cl M1 3.567%, 10/27/08 (D) 2,635 370 Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3 5.611%, 11/25/08 (D) 285 173 Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A1 5.900%, 03/25/37 1,136 1,120
SEI Institutional Managed Trust / Annual Report / September 30, 2008 152
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 3.327%, 10/27/08 (D) $ 873 $ 763 --------------- 4,716 --------------- OTHER ASSET-BACKED SECURITIES -- 7.2% ACAS Business Loan Trust, Ser 2006-1A, Cl A 3.040%, 11/28/08 (D) 1,750 1,461 ACAS Business Loan Trust Ser 2007-1A, Cl C 3.657%, 11/17/08 (D) 1,837 1,510 AIG Credit Premium Finance Master Trust, Ser 2007-AA, Cl C 2.888%, 10/15/08 (D) 1,245 1,071 Babson CLO , Ser 2007-1A, Cl A1 3.010%, 10/20/08 (D) 1,120 984 Blackrock Senior Income Series, Ser 2006-4A, Cl C 3.466%, 10/20/08 (D) 1,930 1,158 Capital Trust Re CDO Ltd., Ser 2006-4A, Cl A1 3.498%, 10/20/08 (D) 1,059 709 CapitalSource Commercial Loan Trust, Ser 2006-2A, Cl A1A 3.398%, 10/20/08 (D) 730 651 CapitalSource Commercial Loan Trust, Ser 2007-1, Cl C 3.838%, 10/20/08 (D) 467 337 CIT Equipment Collateral, Ser 2006-VT2, Cl C 5.290%, 04/20/14 68 67 Citigroup Mortgage Loan Trust, Ser 2006-WFH3, Cl M1 3.497%, 10/27/08 (D) 805 335 Countrywide Asset-Backed Certificates, Ser 2005-13, Cl 3AV3 3.457%, 10/27/08 (D) 1,301 1,214 Countrywide Asset-Backed Certificates, Ser 2006-18, Cl M1 3.507%, 10/27/08 (D) 1,000 242 Countrywide Asset-Backed Certificates, Ser 2006-22, Cl M3 3.517%, 10/27/08 (D) 1,000 107 Countrywide Asset-Backed Certificates, Ser 2006-22, Cl M1 3.437%, 10/27/08 (D) 1,500 272 Credit-Based Asset Servicing and Securitization CDO, Ser 2006-16A, Cl A 3.065%, 12/08/08 (D) 523 78 Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 5.261%, 04/25/37 2,200 1,784
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2007-FF1, Cl M2 3.467%, 10/27/08 (D) $ 1,145 $ 135 GE Business Loan Trust, Ser 2003-2A, Cl B 3.488%, 10/15/08 (D) 101 84 GE Business Loan Trust, Ser 2004-2A, Cl A 2.708%, 10/15/08 (D) 136 105 GE Business Loan Trust, Ser 2004-2A, Cl B 2.968%, 10/15/08 (D) 102 92 GE Business Loan Trust, Ser 2006-2A, Cl D 3.238%, 10/15/08 (D) 281 213 GE Commercial Equipment Financing, Ser 2004-1, Cl B 3.388%, 10/20/08 (D) 591 588 GE Commercial Loan Trust, Ser 2006-3, Cl C 3.336%, 10/20/08 (D) 344 184 GE Dealer Floorplan Master Note Trust, Ser 2006-2, Cl C 3.618%, 10/20/08 (D) 460 323 GMAC Mortgage Loan Trust, Ser 2006-HE4, Cl A2 3.347%, 10/27/08 (D) 1,052 662 JPMorgan Mortgage Acquisition, Ser 2006-CH1, Cl M1 2.689%, 10/27/08 (D) 335 138 JPMorgan Mortgage Acquisition, Ser 2006-CH2, Cl MV1 3.417%, 10/27/08 (D) 1,125 318 JPMorgan Mortgage Acquisition, Ser 2006-WMC3, Cl A4 3.357%, 10/27/08 (D) 1,250 525 JPMorgan Mortgage Acquisition, Ser 2007-CH3, Cl M3 3.577%, 10/27/08 (D) 385 66 Katonah, Ser 2005-7A, Cl B 3.224%, 11/17/08 (D) 700 539 Lambda Finance , Ser 2005-1A, Cl A3 3.034%, 11/17/08 (D) 1,600 1,490 Marriott Vacation Club Owner Trust, Ser 2006-2A, Cl A 5.362%, 10/20/28 153 141 Marriott Vacation Club Owner Trust, Ser 2007-1A, Cl D 6.135%, 05/20/29 700 557 Mayport CLO, Ser 2006-1A, Cl A3L 3.462%, 11/24/08 (D) 270 174 Mayport CLO, Ser 2006-1A, Cl A2L 3.172%, 11/24/08 (D) 1,005 736
SEI Institutional Managed Trust / Annual Report / September 30, 2008 153 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Prima, Ser 2006-1, Cl A1 5.417%, 12/28/48 $ 2,144 $ 1,844 Race Point CLO, Ser 2007-4A, Cl D 4.801%, 11/03/08 (D) 500 175 Sierra Receivables Funding, Ser 2007-2A, Cl A2 4.188%, 10/20/08 (D) 1,050 848 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl C 3.088%, 10/15/08 (D) 215 184 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl B 2.788%, 10/15/08 (D) 115 103 Triton Container Finance LLC, Ser 2006-1A, Cl N 3.599%, 10/27/08 (D) 612 481 Wadsworth CDO, Ser 2006-1A, Cl A2 3.184%, 11/05/08 (D) 940 9 Wadsworth CDO, Ser 2006-1A, Cl B 3.254%, 11/05/08 (D) 315 3 --------------- 22,697 --------------- Total Asset-Backed Securities (Cost $78,058) ($ Thousands) 56,181 --------------- CORPORATE OBLIGATIONS -- 10.4% CONSUMER DISCRETIONARY -- 0.8% Harrah's Operating 5.500%, 07/01/10 1,000 750 President and Fellows of Harvard College 3.700%, 04/01/13 1,060 1,029 Univision Communications 3.875%, 10/15/08 825 817 --------------- 2,596 --------------- FINANCIALS -- 7.3% Banco Santander Chile 3.164%, 12/09/08 (C) (D) 1,750 1,718 BTM Curacao Holdings MTN 4.760%, 01/21/09 (C) 1,000 974 Citigroup 3.361%, 11/25/08 (D) 1,500 684 Everest Reinsurance Holdings 8.750%, 03/15/10 1,050 1,094 6.600%, 11/15/08 2,000 1,169 Goldman Sachs Capital III 3.581%, 12/01/08 (D) 2,600 919 ILFC E-Capital Trust I 5.900%, 12/21/08 (C) (D) 1,000 301 JPMorgan Chase Capital XXI, Ser U 3.741%, 11/03/08 (D) 2,550 1,976
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Liberty Property L.P. 7.250%, 03/15/11 ++ $ 1,000 $ 1,015 MBIA Insurance 14.000%, 01/15/09 (C) (D) 1,000 580 Mellon Funding 2.954%, 11/17/08 (D) 2,100 1,986 Merrill Lynch 3.579%, 12/15/08 (D) 700 547 Monumental Global Funding III 2.991%, 10/15/08 (C) (D) 1,800 1,613 Prudential Financial MTN 5.100%, 12/14/11 310 304 RSHB Capital 7.175%, 05/16/13 (C) 115 94 6.299%, 05/15/17 1,065 760 State Street 2.896%, 10/30/08 (D) 1,215 1,207 State Street Capital Trust IV 3.819%, 12/15/08 (D) 850 561 UBS Luxembourg 7.429%, 02/11/09 500 453 Unitrin 6.000%, 05/15/17 1,270 1,066 4.875%, 11/01/10 1,000 966 VTB 24 Capital PLC MTN, Ser E 3.635%, 12/08/08 (D) 1,000 960 Western Union 5.400%, 11/17/11 1,175 1,185 Willis North America 5.125%, 07/15/10 1,000 990 --------------- 23,122 --------------- HEALTH CARE -- 0.6% Quest Diagnostics 5.125%, 11/01/10 1,000 1,008 UnitedHealth Group 4.102%, 11/07/08 (D) 1,000 980 --------------- 1,988 --------------- INDUSTRIALS -- 0.3% Continental Airlines, Ser 061G 3.161%, 12/02/08 (D) 1,000 795 --------------- REGIONAL AGENCIES -- 0.2% Republic of Trinidad & Tobago 9.875%, 10/01/09 500 523 --------------- TELECOMMUNICATION SERVICES -- 1.0% Corning 6.050%, 06/15/15 1,000 956 Telecom Italia Capital 3.395%, 10/20/08 (D) 1,000 933
SEI Institutional Managed Trust / Annual Report / September 30, 2008 154
Face Amount ($ Thousands)/ Market Value Description Shares ($ Thousands) - --------------------------------------------------------- --------------- --------------- Vodafone Group PLC 3.090%, 11/28/08 (D) $ 1,300 $ 1,225 --------------- 3,114 --------------- UTILITIES -- 0.2% Southern, Ser A 5.300%, 01/15/12 665 667 --------------- Total Corporate Obligations (Cost $39,935) ($ Thousands) 32,805 --------------- TIME DEPOSITS -- 8.4% Barclays Bank London 2.520%, 10/31/08 5,422 5,422 Lloyds TSB London 2.560%, 10/10/08 5,223 5,223 Royal Bank of Scotland London 2.600%, 11/12/08 5,140 5,140 2.450%, 11/13/08 4,744 4,744 UBS London 3.920%, 11/13/08 6,054 6,053 --------------- Total Time Deposits (Cost $26,582) ($ Thousands) 26,582 --------------- CASH EQUIVALENT -- 3.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%*+ 12,131,746 12,132 --------------- Total Cash Equivalent (Cost $12,132) ($ Thousands) 12,132 --------------- REPURCHASE AGREEMENT -- 4.5% Bank of America (A) 2.250%, dated 09/30/08, to be repurchased on 10/01/08, repurchase price $14,300,894 (collateralized by a U.S. Government Obligation, par value $15,816,325, 5.500%, 01/01/38; market value $14,521,915) 14,300 14,300 --------------- Total Repurchase Agreement (Cost $14,300) ($ Thousands) 14,300 --------------- Total Investments -- 102.8% (Cost $390,152) ($ Thousands) $ 323,745 ===============
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ----------------------- ------------ ---------- -------------- U.S. 10-Year Note (130) Dec-2008 $ 149 U.S. 2-Year Note (125) Dec-2008 (134) U.S. 5-Year Note (90) Dec-2008 9 U.S. Long Treasury Bond (24) Dec-2008 7 ----- $ 31 =====
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY CURRENCY APPRECIATION SETTLEMENT TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - ----------------- ------------ ------------ -------------- 10/10/08 AUD 6,367 EUR 3,632 $ 87 10/10/08 AUD 3,900 GBP 1,790 118 10/10/08 CAD 3,760 USD 3,563 24 10/10/08 EUR 3,247 AUD 5,771 (15) 10/10/08 EUR 2,698 SEK 25,710 (105) 10/10/08 GBP 2,732 AUD 6,035 (115) 10/10/08 SEK 25,710 EUR 2,701 110 10/10/08 USD 1,280 CAD 1,370 10 10/10/08-12/10/08 AUD 3,958 USD 3,600 487 10/10/08-12/10/08 CHF 6,200 NZD 8,007 (236) 10/10/08-12/10/08 EUR 9,115 USD 14,000 1,172 10/10/08-12/10/08 GBP 10,501 USD 20,300 1,556 10/10/08-12/10/08 NZD 8,097 CHF 6,200 175 10/10/08-12/10/08 USD 3,600 AUD 3,860 (565) 10/10/08-12/10/08 USD 14,000 EUR 9,005 (1,327) 10/10/08-12/10/08 USD 20,300 GBP 10,420 (1,701) 10/10/08-1/14/09 NOK 29,499 JPY 587,000 602 10/10/08-2/11/09 GBP 2,385 SGD 6,200 97 10/10/08-2/12/09 JPY 674,000 NOK 33,909 (697) 10/10/08-3/11/09 EUR 14,807 JPY2,353,000 1,495 10/10/08-3/11/09 GBP 6,038 JPY1,182,000 501 10/10/08-3/11/09 JPY2,353,000 EUR 14,676 (1,679) 10/10/08-3/11/09 JPY1,182,000 GBP 5,925 (703) 10/10/08-3/11/09 SGD 7,300 GBP 2,791 (149) 1/13/09 CHF 3,200 EUR 1,999 (62) 1/13/09 EUR 2,014 CHF 3,200 40 1/13/09-2/11/09 AUD 1,705 CHF 1,600 106 1/13/09-2/11/09 CHF 1,600 AUD 1,686 (121) 1/13/09-2/11/09 GBP 4,012 CHF 8,000 40 1/13/09-2/11/09 NZD 3,198 USD 2,200 96 1/13/09-3/11/09 CHF 9,700 GBP 4,842 (93) 1/13/09-3/11/09 USD 2,900 NZD 4,152 (171) ------- $(1,023) =======
SEI Institutional Managed Trust / Annual Report / September 30, 2008 155 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Concluded) September 30, 2008 A summary of outstanding swap agreements held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements): CREDIT DEFAULT SWAPS
NET UNREALIZED APPRECIATION BUY/SELL (PAYS)/ TERMINATION NOTIONAL AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RECEIVES RATE DATE (THOUSANDS) ($THOUSANDS) - ------------- ----------------------------------- ---------- ------------- ----------- --------------- -------------- Goldman Sachs AIG, 2.80%, 09/20/13 Buy (2.80)% 09/20/13 $ 485 $158 Goldman Sachs Republic of Italy, 6.875%, 09/27/23 Sell 0.19 12/20/16 1,700 (48) ---- $110 ====
Percentages are based on Net Assets of $314,811 ($ Thousands). * Rate shown is the 7-day effective yield as of September 30, 2008. + Investment in Affiliated Security (see Note 3). ++ Real Estate Investment Trust. (A) Tri-Party Repurchase Agreement. (B) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. (C) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2008. The date reported on the Schedule of Investments is the next reset date. (E) Unsettled bank loan. Interest rate not available. (F) Unfunded bank loan. Interest rate not available. (G) Security in default on interest payments. AUD -- Australian Dollar CAD -- Canadian Dollar CDO -- Collateralized Debt Obligation CHF -- Swiss Franc Cl -- Class CLO -- Collateralized Loan Obligation CMO -- Collateralized Mortgage Obligation EUR -- Euro FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound IO -- Interest Only-face amount represents notional amount JPY -- Japanese Yen LLC -- Limited Liability Company L.P. -- Limited Partnership Ltd. -- Limited MTN -- Medium Term Note NOK -- Norwegian Krone NZD -- New Zealand Dollar PLC -- Public Limited Company REIT -- Real Estate Investment Trust SEK -- Swedish Krona Ser -- Series SGD -- Singapore Dollar STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced USD -- United States Dollar Amounts designated as "--" are $0 or rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 156 SCHEDULE OF INVESTMENTS Core Fixed Income Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Mortgage-Backed Securities 57.4% Financials 9.6% Asset-Backed Securities 7.4% Affiliated Partnership 4.5% U.S.Treasury Obligations 3.6% Energy 2.5% U.S. Government Agency Obligations 2.2% Utilities 2.1% Industrials 1.5% Telecommunication Services 1.3% Consumer Discretionary 1.3% Short-Term Investments 1.2% Commercial Paper 0.9% Health Care 0.9% Loan Participations 0.9% Materials 0.7% Repurchase Agreement 0.6% Consumer Staples 0.5% Sovereign 0.4% Municipal Bonds 0.2% Information Technology 0.2% Purchase Swaptions 0.1% Certificates of Deposit 0.0% Purchase Option 0.0%
# Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7).
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- MORTGAGE-BACKED SECURITIES -- 72.5% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 54.4% FHLB, Ser 2014-I7, Cl 1 5.340%, 03/20/14 $ 3,100 $ 3,107 FHLB, Ser 2015-VN, Cl A 5.460%, 11/27/15 6,669 6,717 FHLMC TBA 6.000%, 10/01/19 4,500 4,569 5.500%, 10/15/37 to 11/01/37 95,500 94,866 5.000%, 10/15/33 5,400 5,260 FHLMC 7.500%, 11/01/29 to 09/01/32 2,063 2,229 7.000%, 06/01/09 to 01/01/32 487 508 6.500%, 07/01/34 823 852 6.500%, 12/01/13 to 08/01/38 36,864 37,914 6.000%, 08/01/16 to 03/01/38 77,373 78,524 5.625%, 11/23/35 4,830 4,747 5.500%, 12/01/13 to 05/01/38 183,838 183,418 5.000%, 10/01/14 to 06/01/38 61,905 60,818 4.500%, 04/01/28 to 03/01/36 7,256 6,893 4.125%, 09/27/13 (A) 16,660 16,790 4.000%, 04/01/19 to 10/01/33 2,855 2,649 2.164%, 10/24/08 (B) 54 54 2.132%, 10/14/08 (B) 450 450 FHLMC ARM 6.888%, 12/15/08 949 971 6.654%, 12/15/08 568 587 6.643%, 12/15/08 608 626 6.389%, 12/15/08 833 859 6.309%, 12/15/08 301 308 6.305%, 12/15/08 1,061 1,095
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- 6.145%, 12/15/08 $ 2,503 $ 2,583 6.138%, 12/15/08 3,131 3,185 6.033%, 12/15/08 7 7 5.943%, 12/15/08 339 343 5.941%, 12/15/08 327 332 5.930%, 12/15/08 427 432 5.914%, 12/15/08 2,830 2,885 5.909%, 12/15/08 689 702 5.889%, 12/15/08 6,710 6,850 5.884%, 12/15/08 14,622 14,937 5.874%, 12/15/08 2,465 2,507 5.848%, 12/15/08 1,044 1,066 5.846%, 12/15/08 2,359 2,402 5.829%, 12/15/08 671 677 5.740%, 12/15/08 1,507 1,525 5.510%, 12/15/08 3,187 3,243 5.118%, 12/15/08 5,796 5,855 FHLMC CMO, Cl BQ 5.500%, 10/15/17 1,839 1,874 FHLMC CMO, Cl BG 4.500%, 04/15/32 1,259 1,212 FHLMC CMO, Cl TB 5.500%, 06/15/30 545 550 FHLMC CMO, Cl BC 5.000%, 08/15/19 1,292 1,271 FHLMC CMO, Cl PG 5.000%, 04/15/36 243 231 FHLMC CMO, Cl PB 5.000%, 06/15/31 494 486 FHLMC CMO, Cl HA 4.000%, 07/15/17 2,165 2,130 FHLMC CMO, Cl AD 4.500%, 08/15/32 1,175 1,129 FHLMC CMO 4.500%, 08/15/35 1,777 1,760 FHLMC CMO, Cl BY 5.000%, 03/15/18 322 317 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 11,393 2,501 FHLMC CMO STRIPS, Ser 233, Cl 6, IO 4.500%, 08/15/35 477 101 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 3,215 624 FHLMC CMO STRIPS, Ser 245, Cl IO, IO 5.000%, 05/15/37 2,760 618 FHLMC CMO, Ser 1, Cl Z 9.300%, 04/15/19 143 152 FHLMC CMO, Ser 1611, Cl Z 6.500%, 11/15/23 15,041 15,389 FHLMC CMO, Ser 1983, Cl Z 6.500%, 12/15/23 2,152 2,150 FHLMC CMO, Ser 2043, Cl CJ 6.500%, 04/15/28 3,117 3,226
SEI Institutional Managed Trust / Annual Report / September 30, 2008 157 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- FHLMC CMO, Ser 2277, Cl B 7.500%, 01/15/31 $ 435 $ 444 FHLMC CMO, Ser 2389, Cl CD 6.000%, 03/15/16 2,135 2,161 FHLMC CMO, Ser 2399, Cl XG 6.500%, 01/15/32 6,311 6,494 FHLMC CMO, Ser 2542, Cl ES 5.000%, 12/15/17 2,316 2,282 FHLMC CMO, Ser 2544, Cl IW, IO 5.500%, 03/15/26 352 1 FHLMC CMO, Ser 2558, Cl BD 5.000%, 01/15/18 1,785 1,760 FHLMC CMO, Ser 2583, Cl TD 4.500%, 12/15/13 1,621 1,629 FHLMC CMO, Ser 2590, Cl NU 5.000%, 06/15/17 1,305 1,318 FHLMC CMO, Ser 2603, Cl KT 4.750%, 07/15/14 787 795 FHLMC CMO, Ser 2623, Cl AJ 4.500%, 07/15/16 1,309 1,307 FHLMC CMO, Ser 2672, Cl HA 4.000%, 09/15/16 587 584 FHLMC CMO, Ser 2694, Cl QG 4.500%, 01/15/29 1,930 1,930 FHLMC CMO, Ser 2725, Cl PC 4.500%, 05/15/28 724 725 FHLMC CMO, Ser 2727, Cl PW 3.570%, 06/15/29 550 545 FHLMC CMO, Ser 2733, Cl ME 5.000%, 01/15/34 5,995 5,590 FHLMC CMO, Ser 2780, Cl TB 3.000%, 12/15/24 568 566 FHLMC CMO, Ser 2790, Cl TN 4.000%, 05/15/24 1,398 1,242 FHLMC CMO, Ser 2945, Cl SA 7.817%, 10/15/08 (C) 4,854 4,580 FHLMC CMO, Ser 3035, Cl PA 5.500%, 09/15/35 460 467 FHLMC CMO, Ser 3104, Cl QC 5.000%, 09/15/31 1,199 1,185 FHLMC CMO, Ser 3117 5.000%, 06/15/31 242 243 FHLMC CMO, Ser 3133, Cl GA 5.000%, 06/15/33 933 938 FHLMC CMO, Ser 3268, Cl HC 5.000%, 12/15/32 957 932 FHLMC CMO, Ser 3289, Cl PB 5.000%, 11/15/29 1,241 1,234 FHLMC CMO, Ser 3298, Cl VB 5.000%, 11/15/25 1,046 976 FHLMC CMO, Ser 3316, Cl HA 5.000%, 07/15/35 3,272 3,236 FHLMC CMO, Ser 3372, Cl BD 4.500%, 10/15/22 1,188 1,083
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- FHLMC CMO, Ser 3460, Cl PC 5.000%, 08/15/34 $ 1,038 $ 1,006 FNMA TBA 6.500%, 10/01/37 39,025 40,012 5.500%, 10/15/22 to 10/01/38 197,810 281,058 5.000%, 10/15/18 to 10/01/38 222,710 222,620 FNMA 8.000%, 10/01/15 11 12 7.000%, 10/01/13 to 10/01/33 1,337 1,408 7.000%, 09/01/26 to 12/01/37 7,162 7,515 6.500%, 05/01/17 to 04/01/38 36,147 37,134 6.000%, 05/01/21 to 10/01/37 99,006 100,456 5.500%, 06/01/14 to 08/01/37 175,888 176,766 5.000%, 01/01/20 to 12/01/36 113,157 111,253 5.000%, 04/01/37 to 07/01/38 28,990 28,266 4.500%, 07/01/33 to 04/01/38 9,297 8,819 4.500%, 06/01/13 to 09/01/37 78,154 74,240 4.000%, 08/01/20 to 05/01/34 7,120 6,571 0.000%, 06/31/07 148 146 FNMA ARM 6.252%, 11/25/08 236 243 6.116%, 11/25/08 581 596 6.109%, 11/25/08 1,021 1,038 6.098%, 11/25/08 1,035 1,061 6.068%, 11/25/08 872 892 6.026%, 11/25/08 712 726 6.003%, 11/25/08 499 506 5.978%, 11/25/08 727 736 5.946%, 11/25/08 899 913 5.943%, 11/25/08 1,889 1,929 5.901%, 11/25/08 3,088 3,148 5.881%, 11/25/08 598 606 5.800%, 11/25/08 4,434 4,482 5.798%, 11/25/08 8,615 8,759 5.766%, 11/25/08 1,733 1,762 5.751%, 11/25/08 1,174 1,191 5.731%, 11/25/08 10,231 10,399 5.707%, 11/25/08 4,764 4,826 5.637%, 11/25/08 13,319 13,582 5.595%, 11/25/08 705 716 5.545%, 11/25/08 638 647 5.059%, 11/25/08 9,171 9,433 5.054%, 11/25/08 1,946 2,001 5.051%, 11/25/08 1,988 2,045 5.044%, 11/25/08 1,964 2,020 5.042%, 11/25/08 6,166 6,342 5.041%, 11/25/08 4,298 4,420 5.038%, 11/25/08 1,972 2,029 5.036%, 11/25/08 1,957 2,013 FNMA CMO, Cl HE 6.500%, 01/25/32 15,542 15,951 FNMA CMO, PO 3.223%, 10/25/08 (C) 15,000 1,453
SEI Institutional Managed Trust / Annual Report / September 30, 2008 158
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- FNMA CMO, Cl NB 5.000%, 04/25/29 $ 3,520 $ 3,555 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 1,482 305 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 25,325 5,555 FNMA CMO, Ser 1999-11, Cl Z 5.500%, 03/25/29 5,881 6,050 FNMA CMO, Ser 2003-108, Cl BE 4.000%, 11/25/18 706 658 FNMA CMO, Ser 2003-113, Cl PN 3.500%, 02/25/13 3 3 FNMA CMO, Ser 2003-15, Cl CH 4.000%, 02/25/17 599 596 FNMA CMO, Ser 2003-16, Cl PN 4.500%, 10/25/15 743 744 FNMA CMO, Ser 2003-3, Cl HJ 5.000%, 02/25/18 1,156 1,137 FNMA CMO, Ser 2003-92, Cl NM 3.500%, 04/25/13 111 110 FNMA CMO, Ser 2004-34, Cl PL 3.500%, 05/25/14 345 345 FNMA CMO, Ser 2004-60, Cl PA 5.500%, 04/25/34 880 889 FNMA CMO, Ser 2005-57, Cl EG 3.507%, 10/25/08 (C) 3,042 2,958 FNMA CMO, Ser 2005-58, Cl MA 5.500%, 07/25/35 777 790 FNMA CMO, Ser 2006-10, Cl FD 3.557%, 10/25/08 (C) 3,657 3,562 FNMA CMO, Ser 2007-113, Cl DB 4.500%, 12/25/22 1,522 1,373 FNMA CMO, Ser 2007-26, Cl BA 5.500%, 05/25/29 400 401 FNMA CMO, Ser 2007-39, Cl NA 4.250%, 01/25/37 2,980 2,912 FNMA CMO, Ser 2007-T2, Cl B 6.022%, 11/25/10 4,500 4,625 FNMA CMO, Ser 2020-94, IO 5.500%, 04/25/16 176 2 FNMA CMO, Ser 365, IO 5.000%, 04/01/36 1,379 277 FNMA CMO, Ser 365, Cl 2, IO 5.000%, 02/01/36 1,307 287 GNMA 8.000%, 11/15/29 to 11/15/30 157 173 7.500%, 03/15/29 to 01/15/32 375 405 7.000%, 08/15/13 95 100 6.500%, 04/15/24 to 08/20/38 17,793 18,282 6.000%, 03/15/14 to 11/15/35 50,610 51,514 5.500%, 02/20/35 524 524 5.000%, 05/15/33 to 10/15/35 6,309 6,193 4.500%, 09/15/34 2,868 2,742
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- GNMA TBA 6.500%, 10/01/34 $ 2,500 $ 2,559 6.000%, 10/01/36 3,200 3,247 5.500%, 11/01/34 7,000 7,007 GNMA ARM 6.500%, 11/20/08 1,055 1,072 5.625%, 11/20/08 673 680 5.000%, 11/20/08 568 572 4.750%, 11/20/08 12,504 12,584 4.500%, 11/20/08 to 11/20/08 6,082 6,099 4.000%, 11/20/08 to 11/20/08 1,672 1,669 GNMA CMO, Ser 2001-18, Cl WH 17.792%, 10/20/08 (C) 299 323 GNMA CMO, Ser 2002-51, Cl SG 18.688%, 10/20/08 (C) 272 307 GNMA CMO, Ser 2003-58, Cl LG, IO 5.500%, 05/17/29 2,440 32 GNMA CMO, Ser 2003-86, Cl ZK 5.000%, 10/20/33 9,585 8,569 GNMA CMO, Ser 2004-80, Cl IP, IO 5.500%, 07/20/34 4,318 226 GNMA CMO, Ser 2006-3, Cl A 4.212%, 01/16/28 517 514 GNMA CMO, Ser 2006-37, Cl JG 5.000%, 07/20/36 879 841 --------------- 2,011,425 --------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 18.1% Adjustable Rate Mortgage Trust, Ser 2005-8, Cl 4A11 5.437%, 11/25/08 (C) 10,729 9,040 American Home Mortgage Assets, Ser 2007-2, Cl A1 3.332%, 10/27/08 (C) 10,445 6,276 American Home Mortgage Investment Trust, Ser 2004-1, Cl 4A 3.280%, 11/25/08 (C) 433 358 American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A 4.390%, 11/25/08 (C) 1,977 1,324 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A 5.294%, 11/25/08 (C) 5,796 3,218 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A 5.350%, 11/25/08 (C) 5,534 3,684 American Tower Trust, Ser 2007-1A, Cl AFX 5.420%, 04/15/37 (E) 1,749 1,576 Banc of America Commercial Mortgage Securities, Ser 2000-1, Cl A2A 7.333%, 11/15/08 (C) 1,477 1,485
SEI Institutional Managed Trust / Annual Report / September 30, 2008 159 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B 6.309%, 06/11/35 $ 659 $ 655 Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A2 4.648%, 09/11/36 746 695 Banc of America Commercial Mortgage Securities, Ser 2004-2, Cl A5 4.580%, 11/10/38 294 266 Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4 4.668%, 07/10/43 11,300 10,004 Banc of America Commercial Mortgage Securities, Ser 2006-2, Cl A1 5.611%, 05/10/45 2,005 1,973 Banc of America Commercial Mortgage Securities, Ser 2007-3, Cl A4 5.838%, 11/10/08 (C) 12,260 10,419 Banc of America Commercial Mortgage Securities, Ser 2007-4, Cl A4 5.936%, 11/10/08 (C) 9,079 7,759 Banc of America Commercial Mortgage Securities, Ser 2008-1, Cl A4 6.346%, 11/10/08 (C) 21,566 18,952 Banc of America Funding, Ser 2003-1, Cl A1 6.000%, 05/20/33 85 82 Banc of America Funding, Ser 2005-B, Cl 2A1 5.093%, 11/20/08 (C) 5,258 4,368 Banc of America Mortgage Securities, Ser 2003-1, Cl 2A4 5.000%, 02/25/18 4,488 4,232 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A 5.316%, 11/25/08 (C) 5,327 4,674 Bear Stearns Commercial Mortgage Securities, Cl A2 4.720%, 11/11/08 (C) 806 758 Bear Stearns Commercial Mortgage Securities, Ser 2000-WF1, Cl A2 7.780%, 11/15/08 (C) 1,386 1,404 Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR6, Cl A6 4.825%, 11/11/41 333 303 Bear Stearns Structured Products, Ser 2007-R11, Cl A1A 3.807%, 10/28/08 (C) (E) 17,714 17,671 Chase Commercial Mortgage Securities, Ser 2000-3, Cl A2 7.319%, 10/15/32 2,299 2,336 Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 5.237%, 11/25/08 (C) 12,400 10,320
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A3 5.915%, 11/15/08 (C) $ 17,397 $ 15,735 Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4 6.299%, 11/10/08 (C) 1,771 1,556 Citigroup Mortgage Loan Trust, Ser 2005-11, Cl A3 4.900%, 11/25/08 (C) 9,763 8,528 Citigroup, Ser 2007-CD4, Cl A4 5.322%, 12/11/49 10,520 8,779 Citimortgage Alternative Loan Trust, Ser 2006-A1, Cl 1A6 6.000%, 04/25/36 1,482 1,055 Commercial Mortgage Asset Trust, Ser 1999-C2, Cl A2 7.546%, 10/17/08 (C) 3,735 3,765 Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2 6.096%, 07/16/34 (E) 2,619 2,596 Countrywide Alternative Loan Trust, Ser 2003-20BC, Cl 1A1 5.500%, 10/25/33 1,584 1,263 Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 6.000%, 02/25/34 734 633 Countrywide Alternative Loan Trust, Ser 2005-21, Cl 3A2 3.955%, 11/25/08 (C) 593 329 Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 3.517%, 10/27/08 (C) 8,293 5,175 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 3.537%, 10/21/08 (C) 10,244 6,534 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO 0.000%, 05/20/46 (D) 33,415 872 Countrywide Alternative Loan Trust, Ser 2006-OC6, Cl 2A1 3.277%, 10/27/08 (C) 1,275 1,196 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-HYB10, Cl 1A1 5.292%, 11/20/08 (C) 2,036 1,628 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-HYB9, Cl 1A1 5.013%, 11/20/08 (C) 1,178 816 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-HYB9, Cl 1A2 5.013%, 11/20/08 (C) 256 195
SEI Institutional Managed Trust / Annual Report / September 30, 2008 160
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF 3.607%, 10/25/08 (C) (E) $ 6,025 $ 5,290 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2006-HYB1, Cl 1A1 5.342%, 11/20/08 (C) 2,918 1,845 CS First Boston Mortgage Securities, Ser 1998-C2, Cl A2 6.300%, 11/15/30 734 733 CS First Boston Mortgage Securities, Ser 2001-CF2, Cl A4 6.505%, 02/15/34 1,062 1,066 CS First Boston Mortgage Securities, Ser 2001-CK1, Cl A3 6.380%, 12/18/35 564 565 CS First Boston Mortgage Securities, Ser 2002-CKN2, Cl A3 6.133%, 04/15/37 257 254 CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1 4.485%, 11/15/36 32 31 CS First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 5.183%, 11/15/36 2,428 2,319 CS First Boston Mortgage Securities, Ser CP5, Cl A2 4.940%, 12/15/35 426 402 CS First Boston Mortgage Securities, Ser CPN1, Cl A2 4.597%, 03/15/35 362 336 CS First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 4.791%, 11/25/08 (C) 6,674 6,528 CS First Boston Mortgage Securities, Ser 2003-C4, Cl A4 5.137%, 11/15/08 (C) 1,339 1,259 CS First Boston Mortgage Securities, Ser 2003-C5, Cl A4 4.900%, 11/15/08 (C) 906 839 CS First Boston Mortgage Securities, Ser 2003-CK2, Cl A4 4.801%, 03/15/36 537 501 CS First Boston Mortgage Securities, Ser 2004-CKN5, Cl A4 5.435%, 09/15/34 1,134 1,108 Deutsche Mortgage Securities, Ser 2004-4, Cl 7AR2 3.657%, 10/25/08 (C) 1,810 1,678 DLJ Commercial Mortgage, Ser 1999-CG1, Cl A1B 6.460%, 03/10/32 2,087 2,084
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- DLJ Commercial Mortgage, Ser 2000-CKP1, Cl A1B 7.180%, 11/10/33 $ 1,054 $ 1,070 DLJ Commercial Mortgage, Ser CG3, Cl A1B 7.340%, 10/10/32 1,259 1,268 Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B 3.430%, 10/20/08 (C) 2,976 1,513 Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR3, Cl B2 4.130%, 10/20/08 (C) 552 110 FFCA Secured Lending, Ser 1999-1A, IO 1.359%, 11/18/08 (C) (E) 8,173 218 First Horizon Alternative Mortgage Securities, Ser 2006-FA6, Cl 2A10 6.000%, 11/25/36 867 831 First Horizon Alternative Mortgage Securities, Ser 2006-RE1, Cl A1 5.500%, 05/25/35 1,440 1,004 First Union National Bank Commercial Mortgage, Ser 1999-C4, Cl A2 7.390%, 12/15/31 61 62 First Union National Bank Commercial Mortgage, Ser 2000-C2, Cl A2 7.202%, 10/15/32 798 810 First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B 6.417%, 12/12/33 809 807 Fund America Investors II, Ser 1993-A, Cl A2 6.523%, 11/25/08 (C) 282 263 GE Capital Assurance, Ser 2003-1, Cl A4 5.254%, 11/12/08 (C) (E) 7,530 7,173 GE Capital Commercial Mortgage, Ser 2001-2, Cl A3 6.030%, 08/11/33 433 433 GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3 6.269%, 12/10/35 6,318 6,274 GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 4.996%, 12/10/37 12,500 11,855 GE Capital Commercial Mortgage, Ser 2005-C4, Cl A3A 5.512%, 11/10/08 (C) 13,025 12,448 GE Capital Commercial Mortgage, Ser 2006-C1, Cl A3 5.518%, 11/10/08 (C) 2,845 2,583
SEI Institutional Managed Trust / Annual Report / September 30, 2008 161 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4 5.543%, 12/10/49 $ 1,510 $ 1,275 GMAC Commercial Mortgage Securities, Cl A2 5.667%, 11/10/08 (C) 535 510 GMAC Commercial Mortgage Securities, Ser 1999-C2, Cl A2 6.945%, 09/15/33 197 197 GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2 7.455%, 11/16/08 (C) 1,798 1,827 GMAC Commercial Mortgage Securities, Ser 2000-C3, Cl A2 6.957%, 09/15/35 3,043 3,080 GMAC Commercial Mortgage Securities, Ser 2001-C1, Cl A2 7.724%, 11/15/08 (C) 2,633 2,668 GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl A2 6.700%, 04/15/34 13,372 13,496 GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2 4.930%, 07/10/39 1,394 1,318 GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 5.023%, 04/10/40 2,881 2,681 GMAC Commercial Mortgage Securities, Ser 2004-C1, Cl A1 3.118%, 03/10/38 109 108 GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A1 3.896%, 08/10/38 82 81 GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4 5.238%, 11/10/08 (C) 4,800 4,221 GNMA TBA 6.000%, 12/01/33 18,400 18,630 Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB 4.619%, 08/10/42 6,305 5,914 GS Mortgage Securities II, Cl A2 6.449%, 11/05/08 (C) (E) 2,284 2,289 GS Mortgage Securities II, Ser 2005-GG4, Cl A4A 4.751%, 07/10/39 6,500 5,832 GS Mortgage Securities II, Ser 2005-GG4, Cl AABA 4.680%, 07/10/39 350 326 GS Mortgage Securities II, Ser 2006-GG6, Cl AM 5.622%, 11/10/08 (C) 4,300 3,539
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- GS Mortgage Securities II, Ser 2007-GG10, Cl A4 5.993%, 11/10/08 (C) $ 9,099 $ 7,768 GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A 8.000%, 11/19/08 (C) (E) 79 81 GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 4.492%, 11/25/08 (C) 6,663 6,175 GSR Mortgage Loan Trust, Ser 2006-8F, Cl 3A5 6.250%, 09/25/36 3,819 3,658 Harborview Mortgage Loan Trust, Ser 2005-1, Cl X, IO 2.488%, 03/19/35 16,546 168 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO 2.385%, 11/19/08 (C) (D) 22,253 223 Harborview Mortgage Loan Trust, Ser 2007-3, Cl 2A1A 3.230%, 10/20/08 (C) 15,194 9,247 Heller Financial Commercial Mortgage Asset, Ser 1999-PH1, Cl C 7.055%, 11/15/08 (C) 250 250 Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1 3.557%, 10/27/08 (C) 884 621 Impac Secured Assets CMO Owner Trust, Ser 2006-3, Cl A4 3.297%, 10/27/08 (C) 4,381 4,151 Impac Secured Assets CMO Owner Trust, Ser 2007-1, Cl A1 3.267%, 10/27/08 (C) 14,488 12,701 Indymac INDA Mortgage Loan Trust, Ser 2005-AR2, Cl 1A1 4.801%, 11/25/08 (C) 450 360 Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1 6.250%, 11/25/08 (C) 2,027 1,678 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO 0.000%, 12/25/34 (D) 6,116 55 Indymac Index Mortgage Loan Trust, Ser 2007-AR15, Cl 2A1 5.980%, 11/25/08 (C) 9,167 5,900 JP Morgan Chase Commercial Mortgage Securities, Cl A3 6.465%, 11/15/35 2,486 2,486 JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl A3 6.429%, 04/15/35 5,170 5,176 JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB5, Cl A2 5.161%, 10/12/37 590 563
SEI Institutional Managed Trust / Annual Report / September 30, 2008 162
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB7, Cl A4 4.879%, 11/12/08 (C) $ 2,014 $ 1,855 JPMorgan Chase Commercial Mortgage Securities, Ser 2003-PM1A, Cl A4 5.326%, 11/12/08 (C) 184 173 JPMorgan Chase Commercial Mortgage Securities, Ser 2004-C3, Cl A1 3.765%, 01/15/42 82 81 JPMorgan Chase Commercial Mortgage Securities, Ser 2005-CB12, Cl A4 4.895%, 09/12/37 680 605 JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A1 4.334%, 07/15/42 50 50 JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP3, Cl A1 4.655%, 08/15/42 234 230 JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A4 4.918%, 11/15/08 (C) 3,700 3,288 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl ASB 5.790%, 11/12/08 (C) 711 663 JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4 5.440%, 06/12/47 11,000 9,177 JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD11, Cl AM 6.007%, 11/15/08 (C) 3,836 2,994 JPMorgan Commercial Mortgage Finance, Ser 2000-C10, Cl A2 7.371%, 11/15/08 (C) 907 917 JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2 4.498%, 11/25/08 (C) 12,385 9,164 JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2 5.755%, 11/25/08 (C) 12,600 9,363 JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4 5.735%, 11/25/08 (C) 13,560 10,109 LB Commercial Conduit Mortgage Trust, Ser 1999-C2, Cl B 7.425%, 10/15/32 378 382 LB-UBS Commercial Mortgage Trust, Cl A2 6.510%, 12/15/26 1,349 1,357 LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 5.594%, 06/15/31 7,367 7,168 LB-UBS Commercial Mortgage Trust, Ser 2003-C5, Cl A2 3.478%, 07/15/27 16 16
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl AM 5.493%, 10/15/08 (C) $ 1,753 $ 1,337 Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 6.000%, 08/25/34 (E) 4,135 3,981 Master Seasoned Securities Trust, Ser 2004-2, Cl A2 6.500%, 08/25/32 4,204 3,890 Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A 5.291%, 11/25/08 (C) 6,213 5,341 Merrill Lynch Mortgage Trust, Cl A4 4.864%, 11/12/08 (C) 1,127 1,023 Merrill Lynch Mortgage Trust, Ser 2005-MCP1, Cl A4 4.747%, 11/12/08 (C) 3,780 3,362 Merrill Lynch Mortgage Trust, Ser 2008-C1, Cl A4 5.690%, 02/12/51 2,476 2,092 Merrill Lynch Mortgage Trust, Ser 2008-C1, Cl AM 6.461%, 11/12/08 (C) 2,453 1,967 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl A4 5.378%, 08/12/48 1,270 1,061 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl AM 5.526%, 11/12/08 (C) 2,411 1,845 MLCC Mortgage Investors, Ser 2004-B, Cl A3 4.590%, 11/25/08 (C) 931 846 Morgan Stanley Capital I, Ser 2003-IQ5, Cl A4 5.010%, 04/15/38 2,161 2,043 Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4 4.800%, 01/13/41 1,109 1,017 Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB 5.037%, 01/14/42 1,700 1,611 Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A 4.989%, 08/13/42 5,600 5,042 Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB 5.355%, 11/14/08 (C) 2,189 2,069 Morgan Stanley Capital I, Ser 2006-T21, Cl A4 5.162%, 11/12/08 (C) 2,500 2,191 Morgan Stanley Capital I, Ser 2007-IQ14, Cl A4 5.692%, 11/15/08 (C) 13,680 11,620
SEI Institutional Managed Trust / Annual Report / September 30, 2008 163 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Morgan Stanley Dean Witter Capital I, Ser 2000-LIFE, Cl A2 7.570%, 11/15/08 (C) $ 2,659 $ 2,689 Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4 6.390%, 07/15/33 1,468 1,468 Morgan Stanley Dean Witter Capital I, Ser 2001-TOP5, Cl A4 6.390%, 10/15/35 2,492 2,486 Morgan Stanley Dean Witter Capital I, Ser 2002-IQ2, Cl A3 5.520%, 12/15/35 227 226 Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 4.920%, 03/12/35 1,846 1,732 Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S 3.317%, 10/27/08 (C) 526 504 RBSGC Mortgage Pass-Through Certificates, Ser 2007-B, Cl 1A4 3.657%, 10/25/08 (C) 5,096 3,900 Residential Accredit Loans, Ser 2006-QO1, Cl 2A3 3.607%, 10/27/08 (C) 682 265 Residential Accredit Loans, Ser 2007-QS1, Cl 2A2 3.567%, 10/25/08 (C) 5,538 3,121 Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 6.500%, 11/25/31 2,433 2,481 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 5.229%, 11/25/08 (C) 2,761 2,354 Salomon Brothers Mortgage Securities VII, Ser 2000-C3, Cl A2 6.592%, 12/18/33 398 400 Salomon Brothers Mortgage Securities VII, Ser 2001-C2, Cl A3 6.499%, 11/13/36 5,508 5,519 Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2 4.467%, 03/18/36 1,042 997 Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19, Cl 1A1 3.527%, 10/27/08 (C) 2,065 1,284 Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-7, Cl 2AS2 5.697%, 11/25/08 (C) 11,909 8,056 Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A 3.407%, 10/27/08 (C) 5,370 3,273 Structured Asset Securities, Ser 2005-17, Cl 5A1 5.500%, 10/25/35 3,514 2,942
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Thornburg Mortgage Securities Trust, Ser 2006-1, Cl A3 3.377%, 10/27/08 (C) $ 9,053 $ 8,991 Thornburg Mortgage Securities Trust, Ser 2006-3, Cl A3 3.317%, 10/27/08 (C) 12,459 12,335 Thornburg Mortgage Securities Trust, Ser 2006-3, Cl A2 3.312%, 10/27/08 (C) 11,412 10,920 Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1 6.214%, 11/25/08 (C) 5,688 4,769 Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 2A1 6.217%, 11/25/08 (C) 5,954 5,090 US Bank, Ser 2007-1, Cl A 5.920%, 05/25/12 3,994 4,151 Wachovia Bank Commercial Mortgage Trust, Cl A3 6.011%, 11/15/08 (C) 1,368 1,238 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1A, Cl A4 6.287%, 04/15/34 1,543 1,524 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C2, Cl A4 4.980%, 11/15/34 1,816 1,705 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C5, Cl A2 3.989%, 06/15/35 449 404 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3 4.957%, 11/15/08 (C) 2,490 2,409 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 4.241%, 10/15/35 (E) 339 330 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 4.445%, 11/15/35 873 846 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C10, Cl A4 4.748%, 02/15/41 1,254 1,134 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C11, Cl A4 5.030%, 01/15/41 599 563 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl APB 5.997%, 06/15/45 1,046 977 WaMu Mortgage Pass Through Certificates, Cl 1A 3.665%, 11/25/08 (C) 9,332 5,384 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A 5.000%, 02/25/18 1,665 1,570
SEI Institutional Managed Trust / Annual Report / September 30, 2008 164
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS2, Cl 3A1 5.000%, 03/25/18 $ 5,418 $ 4,945 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1 3.497%, 10/25/08 (C) 4,686 2,960 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2 3.487%, 10/25/08 (C) 7,000 4,431 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A 5.101%, 11/25/08 (C) 12,955 11,452 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2 3.497%, 10/25/08 (C) 6,809 4,775 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR12, Cl 1A1 6.067%, 11/25/08 (C) 768 703 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1 4.530%, 11/25/08 (C) 7,221 6,548 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl B1 5.813%, 11/25/08 (C) 190 163 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-17, Cl 1A1 5.500%, 01/25/36 10,354 9,289 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-2, Cl 3A1 5.750%, 03/25/36 1,892 1,603 Wells Fargo Mortgage-Backed Securities Trust, Ser 2007-16, Cl 1A1 6.000%, 12/28/37 15,257 13,455 --------------- 667,591 --------------- Total Mortgage-Backed Securities (Cost $2,770,211) ($ Thousands) 2,679,016 --------------- CORPORATE OBLIGATIONS -- 26.5% CONSUMER DISCRETIONARY -- 1.6% American Achievement 8.250%, 04/01/12 (E) 900 898 Autozone 6.500%, 01/15/14 960 949
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Boyd Gaming 7.125%, 02/01/16 (A) $ 350 $ 242 6.750%, 04/15/14 (A) 570 409 Caesars Entertainment 8.125%, 05/15/11 (A) 540 319 CCH I Holdings LLC 11.000%, 10/01/15 (A) 740 488 Clear Channel Communications 6.250%, 03/15/11 2,230 1,438 4.250%, 05/15/09 990 931 Comcast 6.500%, 01/15/15 985 946 6.500%, 01/15/17 720 677 5.850%, 11/15/15 465 428 5.700%, 05/15/18 2,340 2,042 5.450%, 11/15/10 525 527 5.300%, 01/15/14 2,340 2,145 Comcast Cable Communications 6.750%, 01/30/11 (A) 2,310 2,343 Comcast Cable Communications 8.375%, 03/15/13 4,635 4,861 Community Health Systems 8.875%, 07/15/15 1,030 979 COX Communications 7.875%, 08/15/09 750 752 6.250%, 06/01/18 (E) 300 279 4.625%, 06/01/13 805 744 Daimler Finance LLC 8.500%, 01/18/31 420 422 7.300%, 01/15/12 1,400 1,416 6.500%, 11/15/13 3,790 3,699 Daimler Finance LLC, MTN 3.169%, 12/15/08 (C) 2,460 2,451 DirecTV Holdings 8.375%, 03/15/13 350 346 Eastman Kodak 7.250%, 11/15/13 2,740 2,562 Echostar DBS 7.125%, 02/01/16 720 578 Ford Motor 9.215%, 09/15/21 1,000 475 7.450%, 07/16/31 (A) 2,940 1,264 General Motors 8.250%, 07/15/23 (A) 3,100 1,217 Hertz 8.875%, 01/01/14 725 625 Home Depot 5.875%, 12/16/36 735 517 Idearc 8.000%, 11/15/16 1,280 349 Inn of the Mountain Gods Resort & Casino 12.000%, 11/15/10 1,010 687
SEI Institutional Managed Trust / Annual Report / September 30, 2008 165 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Lamar Media, Ser B 6.625%, 08/15/15 $ 720 $ 596 Marriott International, Ser J 5.625%, 02/15/13 235 222 McDonald's MTN 6.300%, 03/01/38 660 636 MGM Mirage 8.500%, 09/15/10 160 147 7.625%, 01/15/17 1,440 1,037 News America 6.650%, 11/15/37 180 151 6.200%, 12/15/34 65 52 Nordstrom 7.000%, 01/15/38 800 696 RH Donnelley 8.875%, 10/15/17 (A) 169 57 River Rock Entertainment Authority 9.750%, 11/01/11 930 856 Service International 7.625%, 10/01/18 340 304 7.500%, 04/01/27 670 513 6.750%, 04/01/16 20 17 Station Casinos 7.750%, 08/15/16 (A) 1,495 811 Sun Media 7.625%, 02/15/13 470 432 Thomson Reuters 5.950%, 07/15/13 930 929 Time Warner 7.700%, 05/01/32 3,645 3,186 6.875%, 05/01/12 2,455 2,434 Time Warner Cable 7.300%, 07/01/38 480 427 6.750%, 07/01/18 360 336 Time Warner Entertainment 8.375%, 07/15/33 1,110 1,055 TL Acquisitions 10.500%, 01/15/15 (E) 480 379 Viacom 6.875%, 04/30/36 500 401 5.750%, 04/30/11 495 481 Visteon 12.250%, 12/31/16 (A) (E) 448 269 8.250%, 08/01/10 (A) 174 144 Wal-Mart Stores 6.200%, 04/15/38 1,240 1,131 Yum! Brands 6.875%, 11/15/37 1,215 1,026 --------------- 57,730 ---------------
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- CONSUMER STAPLES -- 0.6% Anheuser-Busch 5.050%, 10/15/16 $ 940 $ 814 CVS Caremark 9.350%, 01/10/23 (E) 8,600 8,606 Dr Pepper Snapple Group 6.820%, 05/01/18 (E) 2,895 2,799 General Mills 6.000%, 02/15/12 750 764 5.650%, 09/10/12 945 954 5.250%, 08/15/13 90 89 HJ Heinz 5.350%, 07/15/13 510 500 Kellogg, Ser B 6.600%, 04/01/11 890 924 Kraft Foods 6.125%, 02/01/18 2,730 2,558 6.125%, 08/23/18 900 840 Philip Morris Capital 7.500%, 07/16/09 1,750 1,750 Philip Morris International 5.650%, 05/16/18 835 772 Reynolds American 6.750%, 06/15/17 1,260 1,177 --------------- 22,547 --------------- ENERGY -- 3.2% Anadarko Finance, Ser B 7.500%, 05/01/31 3,610 3,310 6.750%, 05/01/11 20 20 Anadarko Petroleum 6.450%, 09/15/36 5,370 4,210 5.950%, 09/15/16 340 312 3.219%, 12/15/08 (C) 4,000 3,953 Apache 6.000%, 09/15/13 2,570 2,561 Canadian Natural Resources 5.850%, 02/01/35 800 582 5.700%, 05/15/17 265 232 Chesapeake Energy 7.250%, 12/15/18 705 649 6.375%, 06/15/15 500 446 Cie Generale de Geophysique-Veritas 7.750%, 05/15/17 110 105 7.500%, 05/15/15 1,205 1,151 Conoco Funding 7.250%, 10/15/31 530 563 6.350%, 10/15/11 920 953 ConocoPhillips 5.900%, 05/15/38 1,790 1,579 5.900%, 10/15/32 1,090 988 ConocoPhillips Holding 6.950%, 04/15/29 1,460 1,468
SEI Institutional Managed Trust / Annual Report / September 30, 2008 166
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Devon Financing 6.875%, 09/30/11 $ 2,325 $ 2,425 Dynegy Holdings 7.750%, 06/01/19 1,485 1,188 El Paso 7.800%, 08/01/31 967 815 7.750%, 01/15/32 1,830 1,532 7.000%, 06/15/17 (A) 3,360 3,002 6.950%, 06/01/28 6,750 5,330 El Paso Natural Gas 5.950%, 04/15/17 440 389 El Paso Performance-Linked Trust 7.750%, 07/15/11 (E) 5,470 5,539 Energy Transfer Partners 6.700%, 07/01/18 2,220 2,104 EOG Resources 6.875%, 10/01/18 575 573 GAZ Capital 6.510%, 03/07/22 (E) 3,460 2,491 6.212%, 11/22/16 (E) 3,570 2,832 Halliburton 5.900%, 09/15/18 200 197 Hess 7.875%, 10/01/29 1,070 1,046 7.300%, 08/15/31 4,380 4,009 Husky Energy 6.800%, 09/15/37 450 372 Husky Oil 7.550%, 11/15/16 650 643 KazMunaiGaz Finance MTN 8.375%, 07/02/13 (E) 4,020 3,457 Kerr-McGee 7.875%, 09/15/31 820 770 6.950%, 07/01/24 450 425 Kinder Morgan Energy Partners 7.125%, 03/15/12 90 91 6.950%, 01/15/38 1,950 1,671 6.750%, 03/15/11 510 516 6.300%, 02/01/09 570 569 6.000%, 02/01/17 3,485 3,159 5.950%, 02/15/18 1,045 931 5.850%, 09/15/12 1,085 1,054 5.000%, 12/15/13 2,735 2,533 Knight 6.500%, 09/01/12 3,150 2,969 Nabors Industries 6.150%, 02/15/18 (E) 795 758 OPTI Canada 8.250%, 12/15/14 700 627 7.875%, 12/15/14 880 779 Peabody Energy, Ser B 6.875%, 03/15/13 300 290
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Pemex Project Funding Master Trust 6.625%, 06/15/35 (E) $ 110 $ 101 6.625%, 06/15/35 (A) 1,557 1,426 Petrobras International Finance 6.125%, 10/06/16 3,240 3,054 5.875%, 03/01/18 2,420 2,199 Petro-Canada 6.800%, 05/15/38 1,265 1,001 Plains All American Pipeline 6.500%, 05/01/18 (E) 1,368 1,234 Ras Laffan Liquefied Natural Gas III 6.332%, 09/30/27 (E) 1,055 951 SemGroup L.P. 8.750%, 11/15/15 (E) (F) 500 50 Shell International Finance 5.200%, 03/22/17 1,265 1,249 Southern Natural Gas 8.000%, 03/01/32 170 158 5.900%, 04/01/17 (E) (I) 1,115 987 Spectra Energy Capital 7.500%, 09/15/38 900 836 Suburban Propane Partners 6.875%, 12/15/13 735 650 Tennessee Gas Pipeline 7.625%, 04/01/37 830 737 Tosco 8.125%, 02/15/30 400 445 TransCanada Pipelines 7.250%, 08/15/38 675 649 Transocean 6.000%, 03/15/18 1,690 1,577 Vastar Resources 6.500%, 04/01/09 3,490 3,522 Weatherford International 7.000%, 03/15/38 465 404 6.800%, 06/15/37 370 332 6.350%, 06/15/17 1,225 1,134 5.950%, 06/15/12 700 700 Williams 8.750%, 03/15/32 5,860 6,008 7.750%, 06/15/31 (A) 1,880 1,757 Williams, Ser A 7.500%, 01/15/31 90 82 XTO Energy 7.500%, 04/15/12 850 890 6.750%, 08/01/37 310 275 6.500%, 12/15/18 2,340 2,171 6.375%, 06/15/38 285 233 5.750%, 12/15/13 2,375 2,280 5.500%, 06/15/18 2,410 2,130 --------------- 117,390 ---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 167 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- FINANCIALS -- 12.1% ABX Financing 6.350%, 10/15/36 (E) $ 4,250 $ 3,511 Ace INA Holdings 6.700%, 05/15/36 265 236 5.700%, 02/15/17 575 526 Aiful 5.000%, 08/10/10 (E) 1,420 1,103 Allied Capital 6.625%, 07/15/11 3,105 3,024 Allied World Assurance Holdings 7.500%, 08/01/16 2,500 2,206 Allstate Life Global Funding Trusts MTN 5.375%, 04/30/13 2,020 1,950 American Express 8.150%, 03/19/38 1,145 1,024 6.800%, 03/01/09 (C) 2,010 1,718 6.150%, 08/28/17 1,200 1,021 American Express Credit MTN 7.300%, 08/20/13 500 482 American General Finance MTN 6.900%, 12/15/17 2,820 1,308 American Honda Finance 5.100%, 03/27/12 (E) 1,685 1,636 American International Group MTN 8.250%, 08/15/18 (E) 1,205 701 6.250%, 03/15/37 2,560 410 5.850%, 01/16/18 4,340 2,178 4.950%, 03/20/12 880 543 ASIF Global Financing XIX 4.900%, 01/17/13 (E) 390 320 BAC Capital Trust XIV 5.630%, 03/15/09 (C) 130 67 Bank of America 8.000%, 01/30/09 (C) 4,500 3,563 7.400%, 01/15/11 1,325 1,298 5.750%, 12/01/17 2,835 2,404 5.650%, 05/01/18 2,730 2,299 5.420%, 03/15/17 4,300 3,423 5.375%, 06/15/14 2,665 2,464 Bank of New York Mellon 5.125%, 08/27/13 900 858 Bank One 7.875%, 08/01/10 3,525 3,614 Banponce Trust I, Ser A 8.327%, 02/01/27 2,590 2,401 Barnett Capital III 3.426%, 11/01/08 (C) 425 316 Bear Stearns 7.250%, 02/01/18 7,370 7,092 6.400%, 10/02/17 500 467 5.350%, 02/01/12 3,280 3,120 4.500%, 10/28/10 1,470 1,428
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Berkshire Hathaway Finance 5.400%, 05/15/18 (E) $ 830 $ 804 BRE Properties 7.450%, 01/15/11++ 2,430 2,449 Bunge Finance 5.900%, 04/01/17 (A) 600 518 4.375%, 12/15/08 425 424 Capital One Financial MTN 3.097%, 12/10/08 (C) 1,500 1,399 Caterpillar Financial Services MTN 7.050%, 10/01/18 115 115 6.200%, 09/30/13 (A) 3,650 3,650 4.900%, 08/15/13 300 284 China Development Bank 5.000%, 10/15/15 500 471 Chubb 5.750%, 05/15/18 245 227 CIT Group 4.250%, 02/01/10 (A) 1,275 840 Citigroup 8.400%, 10/30/08 (C) 4,930 3,356 6.875%, 03/05/38 8,555 6,999 6.500%, 08/19/13 9,595 8,537 6.125%, 05/15/18 4,820 3,991 5.875%, 02/22/33 1,685 1,104 5.500%, 02/15/17 2,350 1,803 5.500%, 04/11/13 3,140 2,741 5.000%, 09/15/14 5,905 4,527 3.625%, 02/09/09 1,215 1,189 Citigroup Capital XXI 8.300%, 12/21/08 (C) 1,800 1,341 CMP Susquehenna 4.492%, 06/27/13 993 687 Countrywide Financial MTN 5.800%, 06/07/12 4,175 3,527 3.418%, 12/24/08 (A) (C) 6,070 5,925 Countrywide Financial, Cl A 6.250%. 05/15/16 (A) 1,080 769 2.748%, 10/15/08 (C) 169 132 Countrywide Home Loans MTN 4.000%, 03/22/11 3,200 2,753 Credit Suisse New York MTN 6.000%, 02/15/18 (A) 5,465 4,761 5.000%, 05/15/13 4,845 4,490 Credit Suisse USA 5.125%, 08/15/15 1,080 962 4.875%, 08/15/10 2,210 2,197 Depfa ACS Bank 5.125%, 03/16/37 (E) 3,000 2,844 Deutsche Bank 4.875%, 05/20/13 1,830 1,748 Deutsche Bank Capital Funding Trust VII 5.628%, 01/19/09 (C) (E) 2,760 2,114
SEI Institutional Managed Trust / Annual Report / September 30, 2008 168
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- DI Finance 9.500%, 02/15/13 $ 90 $ 88 Discover Financial Services 6.450%, 06/12/17 250 181 East Lane Re 8.801%, 11/03/08 (C) (E) 650 649 Equity One 3.875%, 04/15/09++ 7,480 7,333 Export-Import Bank of Korea 5.500%, 10/17/12 1,510 1,433 Farmers Exchange Capital 7.200%, 07/15/48 (E) 1,465 1,130 7.050%, 07/15/28 (E) 1,434 1,145 Farmers Insurance Exchange 8.625%, 05/01/24 (E) 3,017 2,880 First Industrial L.P. MTN 7.500%, 12/01/17 1,800 1,590 Ford Motor Credit LLC 12.000%, 05/15/15 4,700 3,587 8.069%, 12/15/08 (C) 3,863 2,813 8.000%, 12/15/16 (A) 4,680 2,959 7.875%, 06/15/10 7,405 5,652 7.375%, 10/28/09 3,250 2,613 5.700%, 01/15/10 220 168 Forest City Enterprises 7.625%, 06/01/15 500 400 6.500%, 02/01/17 270 207 GE Global Insurance Solutions 7.500%, 06/15/10 1,225 1,226 General Electric Capital 6.750%, 03/15/32 1,665 1,390 6.375%, 11/15/08 (C) 5,870 4,750 6.000%, 06/15/12 1,175 1,134 5.875%, 01/14/38 1,300 958 5.625%, 09/15/17 610 524 5.625%, 05/01/18 (A) 5,910 5,004 5.450%, 01/15/13 20 19 3.750%, 12/15/09 1,653 1,596 Genworth Financial 5.650%, 06/15/12 1,280 1,095 4.950%, 10/01/15 1,595 1,281 Glen Meadow Pass-Through Trust 6.505%, 02/15/09 (C) (E) 2,200 1,623 Glitnir Banki HF 7.451%, 03/14/09 (C) (E) 400 206 6.693%, 12/15/08 (C) (E) 3,960 2,096 6.375%, 09/25/12 (E) 2,330 1,765 6.330%, 07/28/11 (E) 1,980 1,566 GMAC LLC 7.750%, 01/19/10 (A) 10,170 6,089 7.250%, 03/02/11 3,520 1,665 6.875%, 09/15/11 6,120 2,731 5.850%, 01/14/09 (A) 1,680 1,436 5.625%, 05/15/09 (A) 14,680 10,489 5.011%, 12/01/08 (C) 5,668 2,617
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Goldman Sachs Capital I 6.345%, 02/15/34 (A) $ 520 $ 342 Goldman Sachs Capital II 5.793%, 12/29/49 (C) 2,630 1,155 Goldman Sachs Group, 4.5 6.750%, 10/01/37 (A) 1,710 1,142 6.150%, 04/01/18 3,015 2,507 5.950%, 01/18/18 260 214 5.450%, 11/01/12 3,670 3,110 5.350%, 01/15/16 660 534 5.250%, 10/15/13 3,565 2,999 5.150%. 01/15/14 1,325 1,088 5.125%, 01/15/15 1,105 912 4.500%, 06/15/10 1,600 1,485 3.288%, 10/14/08 (C) 1,750 1,139 3.191%, 10/22/08 (C) 500 310 Hartford Financial Services Group MTN 6.000%, 01/15/19 245 214 HBOS Capital Funding 6.071%, 12/31/08 (C) (E) 1,330 860 HBOS PLC 6.750%, 05/21/18 (E) 1,250 1,048 5.920%, 04/01/09 (C) (E) 5,850 3,450 HCP 6.000%, 01/30/17++ 4,000 3,198 5.650%, 12/15/13++ 1,835 1,616 Highwoods Properties 7.500%, 04/15/18++ 1,142 1,012 HSBC Finance 8.000%, 07/15/10 3,475 3,546 7.000%, 05/15/12 1,505 1,463 6.375%, 11/27/12 585 563 4.625%, 09/15/10 650 622 4.125%, 11/16/09 2,155 2,084 4.125%, 12/15/08 1,000 989 HSBC Holdings PLC 6.800%, 06/01/38 (A) 945 800 HSBK Europe 9.250%, 10/16/13 (E) 1,820 1,383 ICICI Bank 6.375%, 10/30/08 (C) (E) 2,320 1,601 6.375%, 04/30/22 960 729 6.375%, 10/30/08 (C) 678 515 ILFC E-Capital Trust II 6.250%, 12/21/65 (C) (E) 900 269 International Lease Finance MTN 5.750%, 06/15/11 1,235 890 4.750%, 01/13/12 1,176 806 iStar Financial 5.875%, 03/15/16++ 795 390 Jackson National Life Global Funding MTN 5.375%, 05/08/13 (E) 700 667
SEI Institutional Managed Trust / Annual Report / September 30, 2008 169 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- John Deere Capital MTN 4.900%, 09/09/13 $ 705 $ 682 JP Morgan Chase Capital XIII 4.712%, 12/30/08 (C) 1,000 771 JPMorgan Chase 7.900%, 10/30/08 (C) 4,400 3,704 7.500%, 12/28/07 (C) 1,960 1,806 6.400%, 05/15/38 4,850 4,193 6.000%, 01/15/18 225 205 5.750%, 01/02/13 6,435 6,161 4.750%, 05/01/13 510 475 JPMorgan Chase Bank 6.000%, 10/01/17 1,340 1,228 JPMorgan Chase Capital XV 5.875%, 03/15/35 1,645 1,142 Kaupthing Bank 7.625%, 02/28/15 (E) 8,810 8,246 7.125%, 05/19/16 (E) 1,350 822 5.750%, 10/04/11 (E) 960 763 Korea Development Bank 4.625%, 09/16/10 1,000 980 Landsbanki Islands 6.100%, 08/25/11 (E) 5,570 4,722 Lazard Group 7.125%, 05/15/15 2,390 2,074 6.850%, 06/15/17 1,841 1,525 Lehman Brothers Holdings MTN 14.500%, 12/20/08 (C) (F) 3,977 507 11.000%, 11/07/08 (C) (F) 4,283 546 8.920%, 02/16/17 (F) 2,370 302 6.750%, 12/28/17 (F) 4,320 5 6.200%, 09/26/14 (F) 1,160 145 5.500%, 04/04/16 (F) 520 65 5.250%, 02/06/12 (F) 1,220 153 Lehman Brothers Holdings Capital Trust V MTN 5.857%, 11/29/49 (F) 4,280 -- Liberty Mutual Group 7.500%, 08/15/36 (E) 1,108 874 6.500%, 03/15/35 (E) 1,525 1,107 Lincoln National 5.650%, 08/27/12 480 472 Merna Reinsurance, Ser B 5.512%, 12/31/08 (C) (E) 3,750 3,586 Merrill Lynch MTN 8.950%, 11/18/08 (C) 1,790 1,759 8.680%, 11/02/08 (C) 3,160 2,382 7.430%, 09/01/22 4 4 6.875%, 04/25/18 (A) 250 222 6.110%, 01/29/37 1,405 975 6.050%, 05/16/16 1,270 1,036 5.700%, 05/02/17 1,300 1,064 5.450%, 02/05/13 2,080 1,874
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- MetLife 6.817%, 08/15/18 $ 2,850 $ 2,696 6.400%, 12/15/36 1,265 789 MetLife Capital Trust IV 7.875%, 12/15/37 (E) 1,200 822 MetLife Capital Trust X 9.250%, 04/08/09 (C) (E) 1,800 1,709 Metropolitan Life Global Funding I MTN 5.125%, 04/10/13 (E) 580 563 Morgan Stanley MTN 6.750%, 04/15/11 125 93 6.625%, 04/01/18 8,255 5,462 6.250%, 08/28/17 1,340 831 6.000%, 04/28/15 630 429 5.950%, 12/28/17 1,680 1,052 5.750%, 08/31/12 2,320 1,636 5.450%, 01/09/17 470 292 5.300%, 03/01/13 575 395 4.750%, 04/01/14 1,220 647 4.250%, 05/15/10 3,065 2,491 4.000%, 01/15/10 1,400 1,148 3.235%, 10/20/08 (C) 1,200 782 3.071%, 10/15/08 (C) 1,350 1,014 MUFG Capital Finance 1 6.346%, 01/25/09 (C) 1,670 1,264 National Australia Bank 5.350%, 06/12/13 (E) 3,500 3,364 National Capital Trust II 5.486%, 12/17/08 (C) (E) 2,231 1,823 National City Bank MTN 5.800%, 06/07/17 1,290 479 Nationwide Mutual Insurance 6.600%, 04/15/34 (E) 690 557 NB Capital Trust IV 8.250%, 04/15/27 4,500 4,331 North Front Pass-Through Trust MTN 5.810%, 12/15/08 (C) (E) 1,975 1,782 Northern Trust 5.500%, 08/15/13 200 200 Pacific Life Global Funding 5.150%, 04/15/13 (E) 370 370 PNC Funding 5.250%, 11/15/15 1,205 1,064 Power Receivables Financial 6.290%, 01/01/12 (E) 230 238 6.290%, 01/01/12 2,798 2,895 Prime Property Fund 5.600%, 06/15/11++ (E) 1,384 1,385 5.500%, 01/15/14++ (E) 1,850 1,739 Rabobank Capital Funding II 5.260%, 12/31/08 (C) (E) 200 185 Rabobank Capital Funding Trust 5.254%, 12/31/08 (C) (E) 420 362
SEI Institutional Managed Trust / Annual Report / September 30, 2008 170
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Realogy 12.375%, 04/15/15 (A) $ 2,950 $ 1,003 Residential Capital 9.625%, 05/15/15 (E) 1,456 349 8.500%, 05/15/10 (A) (E) 1,188 653 Resona Preferred Global Securities 7.191%, 07/30/09 (C) (E) 580 431 Royal Bank of Scotland Group MTN 7.640%, 03/31/09 (C) 1,000 745 6.990%, 04/05/09 (C) (E) 1,570 1,170 RSHB Capital 6.299%, 05/15/17 (E) 4,140 2,956 Shinsei Finance Cayman 6.418%, 07/20/09 (A) (C) (E) 5,180 2,172 Simon Property Group L.P. 5.750%, 05/01/12++ 1,860 1,807 5.750%, 12/01/15++ 910 860 5.600%, 09/01/11++ 690 681 3.750%, 01/30/09++ 2,500 2,470 SLM MTN 5.625%, 08/01/33 695 348 5.375%, 05/15/14 4,905 3,041 5.050%, 11/14/14 690 421 5.000%, 10/01/13 5,645 3,500 5.000%, 04/15/15 120 72 Standard Chartered Bank 6.400%, 09/26/17 (E) 715 662 Stingray Pass-Through Trust MTN 5.902%, 01/12/15 (E) 2,723 354 Sumitomo Mitsui Banking MTN 5.625%, 10/15/15 (C) (E) 2,620 2,093 SunTrust Preferred Capital I 5.853%, 12/15/08 (C) 1,540 847 TNK-BP Finance MTN 7.875%, 03/13/18 (E) 1,570 1,099 7.500%, 07/18/16 (E) 3,320 2,324 7.500%, 07/18/16 100 72 6.625%, 03/20/17 (E) 720 468 Toyota Motor Credit 5.500%, 12/15/08 120 120 Travelers 6.250%, 03/15/09 (C) 1,470 1,131 5.375%, 06/15/12 370 371 TuranAlem Finance 8.250%, 01/22/37 (E) 4,190 2,346 TuranAlem Finance BV MTN 8.250%, 01/22/37 3,614 2,024 UDR MTN 5.000%, 01/15/12++ 2,000 1,962 Ventas Realty L.P. 9.000%, 05/01/12++ 180 188 6.500%, 06/01/16++ 495 468
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Wachovia 5.750%, 02/01/18 $ 2,260 $ 1,695 5.625%, 10/15/16 1,950 1,215 5.500%, 08/01/35 1,405 736 5.300%, 10/15/11 2,155 1,797 5.250%, 08/01/14 4,390 2,692 4.875%, 02/15/14 875 537 Wachovia Bank 6.000%, 11/15/17 4,700 2,787 Wachovia Capital Trust III 5.800%, 03/15/09 (C) 2,230 937 Washington Mutual Preferred Funding 6.534%, 03/29/49 (E) (F) 1,600 2 WEA Finance 7.125%, 04/15/18 (E) 6,445 5,794 Wells Fargo 5.375%, 02/07/35 2,085 1,534 4.375%, 01/31/13 2,000 1,838 Wells Fargo Capital X 5.950%, 12/15/36 (A) 760 626 Wells Fargo Capital XV 9.750%, 03/26/09 (A) (C) 3,790 3,676 Westfield Capital 4.375%, 11/15/10 (E) 2,103 2,048 Westfield Group 5.400%, 10/01/12++ (E) 1,357 1,254 Woodbourne Capital Trust I 5.210%, 11/08/08 (C) (E) 625 369 Woodbourne Capital Trust II 5.210%, 11/08/08 (C) (E) 625 369 Woodbourne Capital Trust III 5.210%, 11/08/08 (C) (E) 625 369 Woodbourne Capital Trust IV 5.210%, 11/10/08 (C) (E) 625 369 ZFS Finance USA Trust I 6.150%, 12/15/08 (C) (E) 1,522 1,105 Zuni Mortgage Trust, Ser 2006-OA1, Cl A1 3.337%, 10/27/08 (C) 6,375 6,146 --------------- 448,698 --------------- HEALTH CARE -- 1.1% Aetna 6.000%, 06/15/16 1,570 1,510 AstraZeneca PLC 5.400%, 09/15/12 2,295 2,306 Bristol-Myers Squibb 6.125%, 05/01/38 245 223 5.450%, 05/01/18 245 231 Coventry Health Care 5.950%, 03/15/17 (A) 1,920 1,600
SEI Institutional Managed Trust / Annual Report / September 30, 2008 171 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- DaVita 6.625%, 03/15/13 $ 1,065 $ 1,012 FMC Finance III 6.875%, 07/15/17 1,600 1,540 GlaxoSmithKline Capital 6.375%, 05/15/38 1,200 1,127 5.650%, 05/15/18 5,190 4,928 HCA 9.625%, 11/15/16 50 48 9.250%, 11/15/16 1,639 1,594 9.125%, 11/15/14 230 224 7.500%, 11/06/33 (A) 3,380 2,400 6.500%, 02/15/16 749 594 6.250%, 02/15/13 119 99 5.750%, 03/15/14 3,090 2,410 Humana 7.200%, 06/15/18 870 824 Schering-Plough 6.550%, 09/15/37 1,460 1,341 6.000%, 09/15/17 365 342 Tenet Healthcare 9.875%, 07/01/14 4,115 4,012 7.375%, 02/01/13 336 306 Teva Pharmaceutical Finance LLC 6.150%, 02/01/36 830 727 5.550%, 02/01/16 475 442 UnitedHealth Group 6.875%, 02/15/38 1,095 964 6.000%, 06/15/17 860 789 WellPoint 6.800%, 08/01/12 (A) 1,000 1,050 5.875%, 06/15/17 2,190 2,027 5.250%, 01/15/16 465 428 Wyeth 6.950%, 03/15/11 3,276 3,458 5.950%, 04/01/37 2,680 2,416 --------------- 40,972 --------------- INDUSTRIALS -- 1.9% America West Airlines, Ser 1999-1 7.930%, 01/02/19 927 843 American Airlines, Ser 1999-1 7.024%, 10/15/09 3,630 3,439 Burlington Northern Santa Fe 6.750%, 07/15/11 1,610 1,680 5.750%, 03/15/18 1,355 1,300 Cedar Brakes I LLC 8.500%, 02/15/14 (E) 1,306 1,398 Cedar Brakes II LLC 9.875%, 09/01/13 (E) 2,205 2,399 Complete Production Services 8.000%, 12/15/16 1,005 955 Continental Airlines, Ser 1997, Cl 1A 7.461%, 04/01/15 1,818 1,582
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Continental Airlines, Ser 1997, Cl 4A 6.900%, 01/02/18 $ 1,629 $ 1,433 Continental Airlines, Ser 1999-2 7.256%, 03/15/20 2,849 2,543 Continental Airlines, Ser A 5.983%, 04/19/22 (A) 2,036 1,568 Delta Air Lines 6.821%, 08/10/22 1,776 1,474 6.619%, 03/18/11 369 351 Delta Air Lines, Ser 2001-1 7.111%, 09/18/11 6,250 5,765 Diageo Capital 5.750%, 10/23/17 430 413 5.200%, 01/30/13 725 721 DRS Technologies 6.625%, 02/01/16 505 510 FedEx, Ser A3 8.400%, 03/23/10 421 430 General Electric 5.000%, 02/01/13 1,140 1,050 Hutchison Whampoa International 7.450%, 11/24/33 (E) 740 678 JetBlue Airways 2004-1 G-1 Pass-Through Trust 3.194%, 12/15/08 (C) 905 792 JetBlue Airways 2004-2 G-1 Pass-Through Trust 3.179%, 11/17/08 (C) 4,140 3,436 L-3 Communications, Ser B 6.375%, 10/15/15 520 478 Systems 2001 Asset Trust 6.664%, 09/15/13 (E) 1,258 1,315 Teekay 8.875%, 07/15/11 1,785 1,803 Terex 7.375%, 01/15/14 320 291 Tyco International Group 6.875%, 01/15/29 (E) 7,160 6,832 6.750%, 02/15/11 3,470 3,521 6.375%, 10/15/11 7,150 7,207 6.125%, 01/15/09 80 80 6.125%, 11/01/08 230 230 6.000%, 11/15/13 165 162 United AirLines, Ser A-3 8.390%, 01/21/11 (D) (F) 578 -- United Parcel Service 4.500%, 01/15/13 5,270 5,327 United Technologies 6.500%, 06/01/09 2,365 2,383 Waste Management 7.125%, 12/15/17 5,305 5,374 7.100%, 08/01/26 1,710 1,619 --------------- 71,382 ---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 172
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- INFORMATION TECHNOLOGY -- 0.3% Corning 7.250%, 08/15/36 $ 405 $ 359 Electronic Data Systems 7.125%, 10/15/09 3,680 3,739 Freescale Semiconductor 8.875%, 12/15/14 95 66 NXP Funding LLC 9.500%, 10/15/15 (A) 335 173 7.875%, 10/15/14 110 74 Oracle 5.750%, 04/15/18 1,522 1,413 Sungard Data Systems 10.250%, 08/15/15 725 629 Xerox 6.750%, 02/01/17 240 226 6.350%, 05/15/18 2,185 1,998 5.500%, 05/15/12 900 858 --------------- 9,535 --------------- MATERIALS -- 0.9% Alcoa 6.750%, 07/15/18 505 485 6.000%, 07/15/13 5,040 4,944 CodelCo 4.750%, 10/15/14 (E) 960 912 EI Du Pont de Nemours 6.000%, 07/15/18 405 395 Evraz Group 8.875%, 04/24/13 (E) 3,310 2,516 8.875%, 04/24/13 250 210 Freeport-McMoRan Copper & Gold 8.375%, 04/01/17 4,870 4,797 Georgia Gulf 9.500%, 10/15/14 220 135 Graham Packaging 9.875%, 10/15/14 (A) 210 183 8.500%, 10/15/12 590 546 Lafarge 6.150%, 07/15/11 770 755 Potash of Saskatchewan 4.875%, 03/01/13 1,220 1,146 PPG Industries 6.650%, 03/15/18 435 430 5.750%, 03/15/13 435 431 Rio Tinto Finance USA 6.500%, 07/15/18 4,810 4,548 5.875%, 07/15/13 2,455 2,407 Steel Dynamics 6.750%, 04/01/15 810 697 United States Steel 6.050%, 06/01/17 245 213
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Vale Overseas 6.875%, 11/21/36 $ 5,100 $ 4,540 Vedanta Resources 8.750%, 01/15/14 (E) 1,960 1,748 Westlake Chemicals 6.625%, 01/15/16 (A) 610 519 Weyerhaeuser 6.750%, 03/15/12 370 366 --------------- 32,923 --------------- SOVEREIGN -- 0.5% Canadian Government 4.000%, 12/01/31 823 1,030 Deutsche Bundesrepublik 3.750%, 01/04/15 (EUR) 6,320 8,809 Emirate of Abu Dhabi 5.500%, 08/02/12 (E) 1,000 1,045 United Mexican States MTN, Ser A 7.500%, 04/08/33 176 192 6.750%, 09/27/34 5,858 5,887 5.875%, 01/15/14 450 453 --------------- 17,416 --------------- TELECOMMUNICATION SERVICES -- 1.6% America Movil 6.375%, 03/01/35 301 266 6.125%, 11/15/37 310 262 5.625%, 11/15/17 1,710 1,603 AT&T 6.500%, 09/01/37 1,380 1,174 6.450%, 06/15/34 625 536 6.400%, 05/15/38 627 528 5.500%, 02/01/18 2,660 2,369 5.100%, 09/15/14 4,960 4,640 4.125%, 09/15/09 795 789 AT&T Mobility LLC 6.500%, 12/15/11 1,455 1,481 BellSouth 6.000%, 11/15/34 850 689 4.750%, 11/15/12 170 161 British Telecommunications 9.125%, 12/15/30 1,105 1,102 British Telecommunications PLC 8.375%, 12/15/10 1,250 1,307 Citizens Communications 7.875%, 01/15/27 555 416 7.125%, 03/15/19 170 135 Deutsche Telekom International Finance 8.500%, 06/15/10 925 960 5.750%, 03/23/16 1,920 1,713
SEI Institutional Managed Trust / Annual Report / September 30, 2008 173 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Deutsche Telekom International Finance BV 6.750%, 08/20/18 $ 590 $ 547 France Telecom 7.750%, 03/01/11 1,315 1,380 Koninklijke 8.000%, 10/01/10 650 681 Level 3 Financing 9.250%, 11/01/14 690 521 Motorola 5.375%, 11/15/12 1,190 1,093 New Cingular Wireless Services 8.125%, 05/01/12 1,595 1,701 Qwest 7.500%, 10/01/14 1,890 1,635 Qwest Communications International 6.304%, 11/15/08 (C) 545 538 Rogers Communications 7.875%, 05/01/12 550 572 6.750%, 03/15/15 1,015 996 6.375%, 03/01/14 2,795 2,673 5.500%, 03/15/14 620 573 Sprint Capital 8.750%, 03/15/32 660 515 8.375%, 03/15/12 3,430 3,087 6.900%, 05/01/19 100 78 Telecom Italia Capital 6.999%, 06/04/18 2,080 1,867 6.200%, 07/18/11 1,730 1,731 5.250%, 10/01/15 90 75 5.250%, 11/15/13 790 701 4.950%, 09/30/14 1,250 1,054 Telefonica Emisiones 5.984%, 06/20/11 2,025 2,003 5.855%, 02/04/13 575 553 Telefonica Europe 7.750%, 09/15/10 (A) 1,925 1,965 US West Communications 5.625%, 11/15/08 430 426 Verizon Communications 6.100%, 04/15/18 2,095 1,935 5.500%, 04/01/17 (A) 475 426 5.500%, 02/15/18 1,920 1,697 Verizon New Jersey, Ser A 7.850%, 11/15/29 1,135 1,022 5.875%, 01/17/12 2,175 2,135 Verizon New York, Ser A 6.875%, 04/01/12 660 660 VIP Finance Ireland for Vimpel Communications 8.375%, 04/30/13 (E) 3,040 2,417 Virgin Media Finance PLC 9.125%, 08/15/16 80 67
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Vodafone Group PLC 5.625%, 02/27/17 $ 720 $ 640 5.350%, 02/27/12 400 393 Windstream 8.625%, 08/01/16 1,460 1,354 --------------- 59,842 --------------- UTILITIES -- 2.7% Abu Dhabi National Energy 5.620%, 10/25/12 (E) 4,681 4,540 AES 8.000%, 10/15/17 5,690 5,135 8.000%, 06/01/20 (E) 5,690 4,979 7.750%, 10/15/15 1,040 944 Allegheny Energy Supply 8.250%, 04/15/12 (E) (I) 955 965 Baltimore Gas & Electric 6.125%, 07/01/13 360 356 CMS Energy 6.550%, 07/17/17 745 651 Commonwealth Edison 6.150%, 09/15/17 1,115 1,054 Consolidated Edison of New York 5.850%, 04/01/18 2,200 2,089 Detroit Edison, Ser A 6.625%, 06/01/36 990 928 Dominion Resources 5.700%, 09/17/12 3,870 3,832 4.750%, 12/15/10 1,895 1,886 DPL 6.875%, 09/01/11 2,130 2,175 Duke Energy Carolinas 6.250%, 01/15/12 2,000 2,059 6.000%, 01/15/38 540 485 5.625%, 11/30/12 4,000 4,051 Edison Mission Energy 7.625%, 05/15/27 420 340 7.200%, 05/15/19 1,160 1,021 7.000%, 05/15/17 880 792 Energy Future Holdings 11.250%, 11/01/17 (E) 18,250 15,422 10.875%, 11/01/17 (E) 40 36 6.500%, 11/15/24 (A) 1,320 841 Exelon 5.625%, 06/15/35 2,720 2,110 Exelon Generation LLC 6.950%, 06/15/11 (E) 1,825 1,848 FirstEnergy, Ser B 6.450%, 11/15/11 510 512 FirstEnergy, Ser C 7.375%, 11/15/31 5,845 5,434 Florida Power 6.400%, 06/15/38 1,365 1,293
SEI Institutional Managed Trust / Annual Report / September 30, 2008 174
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- FPL Group Capital 5.350%, 06/15/13 $ 280 $ 280 Intergas Finance BV 6.375%, 05/14/17 220 165 6.375%, 05/14/17 (E) 3,485 2,509 Midamerican Energy Holdings 5.750%, 04/01/18 615 568 Nevada Power, Ser A 8.250%, 06/01/11 1,800 1,922 Nisource Finance 6.800%, 01/15/19 2,261 2,054 NRG Energy 7.250%, 02/01/14 1,610 1,493 Oncor Electric Delivery 6.800%, 09/01/18 (E) 2,340 2,080 Pacific Gas & Electric 6.050%, 03/01/34 2,110 1,862 5.800%, 03/01/37 800 682 Pacificorp 6.250%, 10/15/37 1,200 1,089 5.650%, 07/15/18 605 573 Power Contract Financing 6.256%, 02/01/10 (E) 1,470 1,489 Progress Energy 6.850%, 04/15/12 655 674 Public Service of New Mexico 7.950%, 05/15/18 1,805 1,704 PVNGS II Funding 8.000%, 12/30/15 2,876 3,018 Sonat 7.625%, 07/15/11 2,850 2,884 South Carolina Electric & Gas 6.500%, 11/01/18 215 232 Southern California Edison 6.000%, 01/15/34 1,505 1,395 Swepco Capital I 5.250%, 10/01/43 (C) 4,255 4,265 TXU, Ser P 5.550%, 11/15/14 540 403 TXU, Ser R 6.550%, 11/15/34 (A) 4,135 2,541 Virginia Electric and Power 5.400%, 04/30/18 545 498 --------------- 100,158 --------------- Total Corporate Obligations (Cost $1,155,110) ($ Thousands) 978,593 --------------- ASSET-BACKED SECURITIES -- 9.3% AUTOMOTIVE -- 0.6% AmeriCredit Prime Automobile Receivable, Ser 2007-1, Cl A3 5.270%, 11/08/11 1,863 1,857
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Capital Auto Receivables Asset Trust, Ser 2006-2, Cl B 5.070%, 12/15/11 $ 2,620 $ 2,442 Daimler Chrysler Master Owner Trust, Ser 2006-A, Cl A 2.518%, 10/15/08 (C) 3,084 2,932 Ford Credit Auto Owner Trust, Cl A4A 5.150%, 02/15/12 837 819 Harley-Davidson Motorcycle Trust, Ser 2007-2, Cl A4 5.120%, 08/15/13 835 818 Harley-Davidson Motorcycle Trust, Ser 2008-1, Cl A3A 4.250%, 02/15/13 958 931 Honda Auto Receivables Owner Trust, Ser 2008-1, Cl A4 4.880%, 08/18/11 975 934 Huntington Auto Trust, Ser 2008-1, Cl A4 5.640%, 02/15/13 (E) 3,294 3,140 Huntington Auto Trust, Ser 2008-1, Cl A3A 4.810%, 04/16/12 (E) 3,223 3,126 Hyundai Auto Receivables Trust, Ser 2008-A, Cl A4 5.480%, 11/17/14 378 362 Nissan Auto Receivables Owner Trust, Ser 2007-B, Cl A4 5.160%, 03/17/14 1,388 1,360 Triad Auto Receivables Owner Trust, Ser 2006-B, Cl A3 5.410%, 08/12/11 1,848 1,828 Triad Auto Receivables Owner Trust, Ser 2006-C, Cl A3 5.260%, 11/14/11 981 963 Volkswagen Auto Loan Enhanced Trust, Ser 2008-1, Cl A3 4.500%, 07/20/12 1,243 1,222 --------------- 22,734 --------------- CREDIT CARDS -- 1.7% American Express Credit Account Master Trust, Ser 2006-B, Cl A 2.528%, 10/15/08 (C) (E) 4,700 4,531 Capital One Multi-Asset Execution Trust, Cl A7 2.518%, 10/15/08 (C) 388 364 Capital One Multi-Asset Execution Trust, Cl A6 2.841%, 10/15/08 (C) 1,036 934 2.558%, 10/15/08 (C) 1,321 1,285 Capital One Multi-Asset Execution Trust, Ser 2006-A11, Cl A11 2.578%, 10/15/08 (C) 5,249 4,220
SEI Institutional Managed Trust / Annual Report / September 30, 2008 175 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5 2.548%, 10/15/08 (C) $ 1,214 $ 1,077 Capital One Multi-Asset Execution Trust, Ser 2007-A4, Cl A4 2.518%, 10/15/08 (C) 2,104 1,827 Capital One Multi-Asset Execution Trust, Ser 2007-A7, Cl A7 5.750%, 07/15/20 2,852 2,504 Capital One Multi-Asset Execution Trust, Ser 2008-A3, Cl A3 5.050%, 02/15/16 11,696 10,968 Capital One Multi-Asset Execution Trust, Ser 2008-A5, Cl A5 4.850%, 02/18/14 1,610 1,565 Chase Issuance Trust, Ser 2005-A8, Cl A8 2.528%, 10/15/08 (C) 5,400 5,246 Chase Issuance Trust, Ser 2006-A1, Cl A 2.528%, 10/15/08 (C) 5,400 5,198 Citibank Credit Card Issuance Trust, Ser 2005-A3, Cl A3 3.246%, 10/24/08 (C) 4,450 4,189 Discover Card Master Trust I, Ser 2003-3A, Cl A 2.688%, 10/15/08 (C) 776 753 Discover Card Master Trust I, Ser 2006-2, Cl A3 2.568%, 10/15/08 (C) 1,089 958 Discover Card Master Trust I, Ser 2006-2, Cl A2 2.518%, 10/15/08 (C) 2,638 2,461 Discover Card Master Trust, Ser 2007-A1, Cl A1 5.650%, 03/16/20 1,994 1,728 Discover Card Master Trust, Ser 2007-A2, Cl A2 3.159%, 12/15/08 (C) 1,826 1,650 Discover Card Master Trust, Ser 2008-A3, Cl A3 5.100%, 10/15/13 3,240 3,165 Discover Card Master Trust, Ser 2008-A4, Cl A4 5.650%, 12/15/15 4,898 4,666 Washington Mutual Master Note Trust, Ser 2006-A2A 2.538%, 10/15/08 (C) (E) 1,358 1,168 Washington Mutual Master Note Trust, Ser 2007-A2, Cl A2 2.518%, 10/15/08 (C) (E) 237 195 --------------- 60,652 ---------------
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- MORTGAGE RELATED SECURITIES -- 2.4% ABS Home Equity Loan Trust, Ser 2007-HE3, Cl A1 3.028%, 10/15/08 (C) $ 418 $ 363 Ace Securities, Ser 2003-OP1, Cl M1 3.907%, 10/27/08 (C) 1,000 741 ACE Securities, Ser 2005-HE7, Cl A1B2 3.507%, 10/27/08 (C) 1,263 1,066 Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 4.257%, 10/27/08 (C) 105 80 AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2 3.477%, 10/27/08 (C) 114 73 AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A 3.447%, 10/27/08 (C) 4,431 1,571 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 4.557%, 10/27/08 (C) 1,281 886 Argent Securities, Ser 2003-W5, Cl M1 3.907%, 10/27/08 (C) 600 470 Argent Securities, Ser 2003-W9, Cl M1 3.897%, 10/27/08 (C) 1,287 937 Asset-Backed Funding Certificates, Ser 2003-WF1, Cl A2 3.597%, 10/25/08 (C) 2,494 2,249 Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A2 4.300%, 06/25/35 808 799 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 3.613%, 10/15/08 (C) 1,733 1,367 Asset-Backed Securities Home Equity, Ser 2003-HE4, Cl M2 4.488%, 10/15/08 (C) 310 234 Bear Stearns Asset-Backed Securities Trust, Ser 2000-2, Cl M2 8.280%, 08/25/30 7,268 6,978 Bear Stearns Asset-Backed Securities Trust, Ser 2003-1, Cl A1 3.707%, 10/27/08 (C) 3,996 3,340 Bear Stearns Asset-Backed Securities Trust, Ser 2007-AQ2, Cl A1 3.307%, 10/27/08 (C) 4,946 4,547 Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1 3.307%, 10/27/08 (C) 8,321 8,028 BNC Mortgage Loan Trust, Ser 2007-1, Cl A2 3.267%, 10/27/08 (C) 2,490 2,357
SEI Institutional Managed Trust / Annual Report / September 30, 2008 176
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- BNC Mortgage Loan Trust, Ser 2007-1, Cl M1 3.447%, 10/27/08 (C) $ 6,300 $ 969 Centex Home Equity, Cl AV4 3.457%, 10/27/08 (C) 4,917 3,346 Citigroup Mortgage Loan Trust, Ser 2006-FX1, Cl A1 3.307%, 10/27/08 (C) 1,152 1,069 Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A 3.247%, 10/27/08 (C) 573 528 Conseco Finance, Ser 2001-D, Cl A5 6.190%, 10/15/08 (C) 1,800 1,773 Contimortgage Home Equity Trust 1998-3, Ser 1997-1, Cl A9 7.050%, 03/15/28 32 31 Contimortgage Home Equity Trust 1998-3, Ser 1997-2, Cl A9 7.090%, 04/15/28 27 27 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 1,258 1,143 Countrywide Asset-Backed Certificates, Ser 2007-S2, Cl A2 5.649%, 11/25/08 (C) 3,306 2,066 EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 3.677%, 10/27/08 (C) (E) 1,720 1,426 Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 7.775%, 07/25/28 148 99 GMAC Mortgage Loan Trust, Ser 2007-HE1, Cl A2 5.621%, 11/25/08 (C) 4,497 2,837 GSAA Trust, Ser 2006-2, Cl 2A1 3.307%, 10/27/08 (C) 1,274 1,264 Home Equity Asset Trust, Ser 2003-4, Cl M2 5.607%, 10/27/08 (C) 869 583 Master Asset-Backed Securities Trust, Ser 2006-AB1, Cl A1 3.347%, 10/27/08 (C) 2,143 2,116 Merrill Lynch Mortgage Investors, Ser 2003-OPT1, Cl A3 3.567%, 10/27/08 (C) 1,227 1,009 Morgan Stanley Capital I, Ser 2003-NC8, Cl M1 4.257%, 10/27/08 (C) 2,063 1,405 Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A 3.247%, 10/27/08 (C) 467 441 Morgan Stanley Dean Witter Capital I, Ser 2003-NC4, Cl M2 6.207%, 10/27/08 (C) 98 77
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 3.257%, 10/27/08 (C) $ 421 $ 396 Nationstar Home Equity Loan Trust, Cl 2AV2 3.337%, 10/27/08 (C) 5,500 3,967 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 4.461%, 08/25/35 266 264 Novastar Home Equity Loan, Ser 2007-1, Cl A2A1 3.307%, 10/27/08 (C) 8,687 8,154 Option One Mortgage Loan Trust, Ser 2001-4, Cl A 3.807%, 10/27/08 (C) 426 389 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 3.857%, 10/27/08 (C) 454 314 Option One Mortgage Loan Trust, Ser 2007-3, Cl 2A4 3.537%, 10/27/08 (C) 1,350 597 Option One Mortgage Loan Trust, Ser 2007-6, Cl 2A4 3.457%, 10/27/08 (C) 4,574 2,146 Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7 8.290%, 02/25/25 2,152 1,882 Residential Funding Mortgage Securities II, Ser 2005-HS1, Cl AI1 3.327%, 10/27/08 (C) 863 842 Soundview Home Equity Loan Trust, Cl A3 3.367%, 10/27/08 (C) 6,450 3,974 Start, Ser 2003-2 3.186%, 10/21/08 (C) (E) 1,679 1,634 Terwin Mortgage Trust, Ser 2005-9HG3, Cl A1 4.000%, 11/25/08 (C) (E) 1,054 957 Terwin Mortgage Trust, Ser 2006-2HGS, Cl A1 4.500%, 11/25/08 (C) (E) 4,529 1,234 Terwin Mortgage Trust, Ser 2006-4SL, Cl A1 4.500%, 11/25/08 (C) (E) 4,327 1,610 Terwin Mortgage Trust, Ser 2006-6, Cl 1A2 4.750%, 11/25/08 (C) 7,600 1,996 Terwin Mortgage Trust, Ser 2006-6, Cl 1A1 4.500%, 11/25/08 (C) 3,855 1,234 Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8B 5.000%, 11/25/08 (C) (E) 371 48 --------------- 89,933 ---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 177 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- OTHER ASSET-BACKED SECURITIES -- 4.6% BankAmerica Manufactured Housing Contract Trust, Ser 1997-1, Cl M 6.800%, 01/10/28 $ 3,310 $ 3,717 Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2002-1, Cl 2A2 3.707%, 10/27/08 (C) 1,552 1,340 Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A3 3.340%, 05/25/26 150 149 Citicorp Residential Mortgage Securities, Cl A5 6.046%, 03/25/37 1,970 1,372 Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A1 5.956%, 07/25/36 109 108 Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A2 5.682%, 07/25/36 1,236 1,222 Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A2 5.557%, 09/25/36 1,163 1,150 Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 8.130%, 10/15/08 (C) 1,496 1,453 Conseco Finance Securitizations, Ser 2000-4, Cl A6 8.310%, 11/01/08 (C) 1,340 1,012 Countrywide Asset-Backed Certificates, Cl 1AF3 5.711%, 11/25/08 (C) 6,450 4,129 Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 3.807%, 10/27/08 (C) 38 29 Countrywide Asset-Backed Certificates, Ser 2004-14, Cl A4 3.487%, 10/27/08 (C) 845 693 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 3.347%, 10/27/08 (C) 376 375 Countrywide Asset-Backed Certificates, Ser 2006-10, Cl MV1 3.467%, 10/27/08 (C) 10,450 3,648 Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 2.788%, 10/15/08 (C) 1,268 915 Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A 2.728%, 10/15/08 (C) 2,510 1,456 Countrywide Home Equity Loan Trust, Ser 2007-GW, Cl A 3.038%, 10/15/08 (C) 13,872 9,712
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A 5.600%, 09/25/31 $ 929 $ 917 Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 5.261%, 04/25/37 (E) 1,743 1,414 Embarcadero Aircraft Securitization Trust, Ser 2000-A, Cl A1 2.968%, 10/15/08 (C) (E) 4,097 2,868 First Franklin Mortgage Loan Asset Backed Certificates, Ser 2004-FF11, Cl 1A2 3.557%, 10/27/08 (C) 138 102 First Franklin Mortgage Loan Asset Backed Certificates, Ser 2005-FF10, Cl A4 3.527%, 10/27/08 (C) 8,400 7,576 First Franklin Mortgage Loan Asset Backed Certificates, Ser 2005-FF9, Cl A3 3.487%, 10/27/08 (C) 7,982 7,579 First Franklin Mortgage Loan Asset Backed Certificates, Ser 2006-FFA, Cl A3 3.327%, 10/27/08 (C) 5,298 1,633 First Horizon ABS Trust, Ser 2004-HE2, Cl A 3.427%, 10/27/08 (C) 1,885 1,507 Ford Credit Floorplan Master Owner Trust, Ser 2006-4 2.738%, 10/15/08 (C) 2,249 2,236 GMAC Mortgage Loan Trust, Ser 2005-HE3, Cl A1VN 3.467%, 10/27/08 (C) 5,861 1,945 Great America Leasing Receivables, Ser 2006-1, Cl A3 5.340%, 01/15/10 (E) 648 648 Green Tree Financial, Ser 1993-4, Cl A5 7.050%, 01/15/19 335 329 Green Tree Financial, Ser 1996-5, Cl A6 7.750%, 07/15/27 1,040 1,068 GSAMP Trust, Ser 2003-SEA, Cl A1 3.607%, 10/27/08 (C) 3,409 2,595 HSI Asset Securitization Trust, Ser 2005-NC1, Cl 2A4 3.527%, 10/27/08 (C) 903 794 HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3 3.497%, 10/27/08 (C) 8,000 6,765 Lehman XS Trust, Ser 2005-5N, Cl M4 4.957%, 10/27/08 (C) 1,800 32
SEI Institutional Managed Trust / Annual Report / September 30, 2008 178
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Lehman XS Trust, Ser 2005-5N, Cl 1A1 3.507%, 10/27/08 (C) $ 5,643 $ 3,533 Lehman XS Trust, Ser 2006-GP1, Cl A4A 3.537%, 10/27/08 (C) 5,565 2,497 Lehman XS Trust, Ser 2007-1, Cl WF1 7.000%, 01/25/37 2,904 1,586 Lehman XS Trust, Ser 2007-9, Cl 1A1 3.327%, 10/27/08 (C) 11,768 9,661 Long Beach Mortgage Loan Trust, Ser 2006-WL1, Cl 1A3 3.537%, 10/27/08 (C) 1,306 992 Master Specialized Loan Trust, Ser 2007-2, Cl A 3.557%, 10/27/08 (C) (E) 10,331 6,973 Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2001-1, Cl M1 3.587%, 10/27/08 (C) 2,084 374 Merrill Lynch Mortgage Investors, Ser 2005-SL3, Cl A1 3.437%, 10/27/08 (C) 640 501 Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D 5.895%, 03/25/37 5,200 3,406 Merrill Lynch Mortgage Investors, Ser 2007-MLN1, Cl M1 3.607%, 10/27/08 (C) 3,010 594 Merrill Lynch Mortgage Investors, Ser 2007-SL1, Cl A1 3.507%, 10/27/08 (C) 6,664 2,292 Mid-State Trust, Ser 11, Cl A1 4.864%, 07/15/38 4,838 4,430 Morgan Stanley Dean Witter Capital Heloc Trust, Ser 2005-1, Cl A 3.397%, 10/27/08 (C) 573 392 Nelnet Student Loan Trust, Ser 2008-4, Cl A4 4.280%, 10/27/08 (C) 2,740 2,647 Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 4.030%, 02/15/12 2,196 2,189 Orchid Structured Finance CDO, Ser 2003-1A, Cl A1MM 2.957%, 11/18/08 (C) (E) 3,086 1,852 Ownit Mortgage Loan Asset Backed Certificates, Ser 2006-1, Cl AF1 5.424%, 12/25/36 933 925 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 4.302%, 10/27/08 (C) 188 138 Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII 3.887%, 10/27/08 (C) 70 38
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Residential Asset Mortgage Products, Ser 2007-RS1, Cl A1 3.287%, 10/27/08 (C) $ 3,281 $ 3,207 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A 3.307%, 10/27/08 (C) (E) 2,327 2,273 Saco I, Ser 2005-9, Cl A1 3.457%, 10/27/08 (C) 1,068 598 Saco I, Ser 2005-WM3, Cl A1 3.467%, 10/27/08 (C) 1,061 579 Saco I, Ser 2006-6, Cl A1 3.337%, 10/27/08 (C) 3,864 849 SLC Student Loan Trust, Ser 2006-2, Cl B 3.049%, 12/15/08 (C) 5,250 4,349 SLM Student Loan Trust, Cl A5B 4.000%, 10/27/08 (C) 3,532 3,407 SLM Student Loan Trust, Cl A4 4.450%, 10/27/08 (C) 681 675 4.255%, 10/27/08 (C) 4,311 4,038 SLM Student Loan Trust, Ser 2006-9, Cl B 3.030%, 10/27/08 (C) 4,000 3,071 SLM Student Loan Trust, Ser 2006-C, Cl C 3.209%, 12/15/08 (C) 4,000 2,616 SLM Student Loan Trust, Ser 2008-6, Cl A4 4.064%, 10/27/08 (C) 3,666 3,421 Small Business Administration, Ser 2003-P10A, Cl 1 4.524%, 02/10/13 2,268 2,212 Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 6.207%, 10/27/08 (C) 154 111 Structured Asset Receivables Trust, Ser 2003-1, Cl CTFS 3.286%, 10/21/08 (C) (E) 3,175 2,952 Structured Asset Securities, Ser 2006-GEL4, Cl A1 3.327%, 10/27/08 (C) (E) 2,833 2,622 Structured Asset Securities, Ser 2007-BC2, Cl A2 3.297%, 10/27/08 (C) 11,008 10,447 Structured Asset Securities, Ser 2007-BC4, Cl A3 3.457%, 10/27/08 (C) 6,001 5,308 Swift Master Auto Receivables Trust, Ser 2007-1, Cl A 2.588%, 10/15/08 (C) 940 836 --------------- 171,079 --------------- Total Asset-Backed Securities (Cost $437,244) ($ Thousands) 344,398 ---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 179 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- U.S. TREASURY OBLIGATIONS -- 4.7% U.S. Treasury Bonds 8.875%, 02/15/19 (A) $ 2,047 $ 2,865 8.750%, 08/15/20 310 440 8.125%, 08/15/19 (A) 716 961 7.125%, 02/15/23 (A) 4,800 6,194 6.250%, 05/15/30 (A) 6,991 8,780 5.375%, 02/15/31 (A) 6,923 7,867 5.250%, 02/15/29 2,670 2,961 5.000%, 05/15/37 (A) 2,450 2,726 4.750%, 02/15/37 (A) 4,924 5,268 4.500%, 02/15/36 to 05/15/38 (A) 7,872 8,117 4.375%, 02/15/38 (A) 1,053 1,067 3.443%, 11/15/21 (A) (B) 15,810 8,674 1.750%, 01/15/28 (A) 21,177 18,475 U.S. Treasury Bonds TIPS 3.875%, 04/15/29 4,853 5,803 3.625%, 04/15/28 (A) 13,683 15,742 2.500%, 07/15/16 (A) 3,635 3,720 2.375%, 01/15/25 to 01/15/27 (A) 41,614 40,305 2.000%, 01/15/16 to 01/15/26 (A) 9,402 9,158 U.S. Treasury Notes 4.875%, 08/15/16 (A) 9,130 9,883 4.750%, 08/15/17 402 431 4.000%, 08/15/18 (A) 2,240 2,246 3.875%, 05/15/18 -- -- 3.375%, 07/31/13 (A) 3,367 3,429 3.125%, 08/31/13 to 09/30/13 924 932 U.S. Treasury STRIPS 4.498%, 11/15/27 (A) (B) 5,282 2,205 U.S. Treasury Bills 1.512%, 10/16/08 (B) 300 300 1.442%, 10/16/08 (B) 251 251 0.020%, 10/23/08 (B) 4,006 4,005 --------------- Total U.S. Treasury Obligations (Cost $170,164) ($ Thousands) 172,805 --------------- LOAN PARTICIPATIONS -- 1.1% Adesa, Term B Loan 5.060%, 09/22/13 962 795 Allison Transmission, Term B Loan 0.000%, 08/07/14 1,985 1,641 Alltel Wireless, Term B2 Loan 6.334%, 05/15/15 (C) 496 479 Aramark 6.334%, 01/26/14 (C) 61 53 4.571%, 01/31/14 931 811 Ashmore Energy (Synthetic Revolving Deposits) 5.801%, 03/30/14 1,312 1,148 3.100%, 03/07/12 144 126
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Bausch & Lomb 6.051%, 04/11/15 (C) $ 796 $ 740 0.000%, 04/11/15 (C) 200 186 Berry Plastics Holding 4.798%, 04/03/15 (C) 992 800 Cablevision, Term B Loan 4.217%, 03/30/13 992 893 Charter Communications, Term B Loan 4.800%, 03/15/14 1,493 1,186 DAE Aviation Holdings, Term B1 Loan 6.585%, 07/31/14 287 264 DAE Aviation Holdings, Term B2 Loan 6.550%, 07/31/14 285 262 DaimlerChrysler Financial Services North America, Term B Loan 6.820%, 08/03/12 (C) 990 671 Dollar General, Term B Loan 5.650%, 07/15/14 1,000 889 Education Management, Term C Loan 4.562%, 06/15/13 1,488 1,295 Enterprise GP Holdings, Term B Loan 6.084%, 11/10/14 (C) 1,000 968 First Data, Term B2 Loan 5.905%, 10/15/14 4,814 4,147 Freescale Semiconductor 4.221%, 12/01/13 992 806 General Motors, Term B Loan 5.059%, 12/15/13 992 638 Georgia-Pacific, Term B Loan 4.451%, 12/23/13 1,432 1,248 Harrah's Operating, Term B2 Loan 7.334%, 01/28/15 (C) 750 613 Hertz 6.084%, 12/21/12 (C) 841 753 Hertz LOC (Synthetic) 3.204%, 02/08/12 (C) 152 135 Host Marriott L.P., Ser Q 6.750%, 06/01/16++ 455 372 IASIS 4.465%, 05/01/14 692 637 IASIS (Delayed Draw) 4.462%, 05/01/14 239 220 IASIS (Synthetic) 4.704%, 05/01/14 64 59 Iconix, Term B Loan 5.060%, 05/01/14 941 875 Idearc, Term B Loan 4.786%, 11/01/14 995 584 Insight Midwest Holdings LLC, Term B Loan 4.470%, 04/06/14 675 622 Las Vegas Sands LLC (Delayed Draw) 4.550%, 05/08/14 (C) 367 282
SEI Institutional Managed Trust / Annual Report / September 30, 2008 180
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Las Vegas Sands LLC, Term B Loan 4.550%, 05/08/14 (C) $ 1,633 $ 1,255 Lodgenet Entertainment, Term B Loan 4.810%, 04/04/14 984 840 Manor Care, Term B Loan 4.962%, 11/15/14 1,000 830 NewPage 7.956%, 11/05/14 (C) 993 905 Nuveen Investments, Term B Loan 7.084%, 11/01/14 (C) 2 1 Petco Animal Supplies, Term B Loan 5.018%, 11/15/13 992 868 Regal Cinemas, Term B Loan 4.301%, 10/19/10 992 865 Royalty Pharma, Term B Loan 5.051%, 05/15/14 992 939 Sunguard, Term B Loan 4.552%, 08/15/12 1,241 1,077 Telesat Canada, Term B Loan 5.794%, 10/15/14 1,042 935 Telesat Canada, Term B Loan (Unfunded) 5.670%, 10/15/14 118 12 Texas Competitive Electric Holdings, Term B2 Loan 7.334%, 10/10/14 (C) 1,985 1,668 Tribune 6.834%, 05/30/09 (C) 366 339 United Airlines 4.575%, 01/12/14 711 436 Univision 164.142%, 09/15/14 84 53 Univision Communications, Term B Loan 5.123%, 09/15/14 2,416 1,538 UPC Financing Partnership 4.214%, 03/30/14 1,000 803 Visteon, Term B Loan 7.194%, 06/20/13 1,000 616 Yankee Candle, Term B Loan 4.607%, 01/15/14 928 747 --------------- Total Loan Participations (Cost $46,780) ($ Thousands) 39,925 --------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.8% FHLB 4.050%, 01/21/09 2,000 2,000 2.403%, 10/28/08 (B) 6,450 6,448 2.402%, 12/18/08 (B) 9,825 9,774 2.304%, 10/20/08 (B) 9,130 9,119 2.080%, 10/17/08 (B) (J) 21,305 21,285 1.280%, 10/08/08 (B) 17,100 17,093
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- FHLMC 2.893%, 03/30/09 (B) $ 300 $ 296 FNMA 5.250%, 08/01/12 1,860 1,881 3.875%, 07/12/13 4,540 4,529 2.875%, 10/12/10 8,320 8,282 2.462%, 12/08/08 (B) 1,285 1,279 2.212%, 12/22/08 (B) (J) (K) 225 224 6.250%, 02/01/11 4,952 5,180 5.500%, 11/01/22 7,000 7,041 1.700%, 12/15/08 (B) (J) (K) 7,919 7,877 FNMA 2.611%, 02/02/09 (B) 450 449 2.127%, 10/15/08 (B) 525 525 2.084%, 11/07/08 (B) 975 972 --------------- Total U.S. Government Agency Obligations (Cost $104,041) ($ Thousands) 104,254 --------------- MUNICIPAL BONDS -- 0.2% Galveston County Texas, Ser C, GO, AMBAC Pre-Refunded @ 100 5.000%, 02/01/13 (G) 1,435 1,524 Greenville County School District, RB Pre-Refunded @ 101 5.500%, 12/01/12 (G) 890 977 Harris County Texas, Ser B, GO Pre-Refunded @ 100 5.250%, 10/01/13 (G) 2,005 2,173 Massachusetts State, Consolidated Loan, Ser B, GO, FSA Pre-Refunded @ 100 5.500%, 03/01/12 (G) 1,515 1,608 Massachusetts State, Consolidated Loan, Ser E, GO, FSA Pre-Refunded @ 100 5.250%, 01/01/13 (G) 1,260 1,345 Massachusetts State, Ser B, GO, AMBAC Pre-Refunded @ 100 5.000%, 08/01/14 (G) 810 850 Metropolitan Atlanta Rapid Transit Authority, Ser 2nd Indenture, RB, MBIA Pre-Refunded @ 100 5.000%, 01/01/13 (G) 450 480 --------------- Total Municipal Bonds (Cost $9,077) ($ Thousands) 8,957 ---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 181 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008
Notional Amount (Thousands)/ Contracts Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - --------------------------------------------------------- --------------- --------------- PURCHASED SWAPTIONS -- 0.1% U.S. Swaption Call, Merrill Lynch* 8,765,000 $ 1,077 U.S. Swaption Call, Merrill Lynch* 66,431,000 1,320 --------------- Total Purchased Swaption (Cost $719) ($ Thousands) 2,397 --------------- PURCHASED OPTION -- 0.0% December 2008 U.S. 10 Year Treasury Note Put, Expires 11/22/08 Strike Price $116* 120 259 --------------- Total Purchased Option (Cost $113) ($ Thousands) 259 --------------- CERTIFICATE OF DEPOSIT --0.1% JPMorgan Chase Bank 8.750%, 11/28/21 $ 2,152 2,089 --------------- Total Certificate of Deposit (Cost $2,105) ($ Thousands) 2,089 --------------- REPURCHASE AGREEMENT -- 0.8% Merrill Lynch 0.250%, dated 09/30/08, to be repurchased on 10/01/08, repurchase price $29,700,206 (collateralized by a FNMA Obligation, par value $30,219,000, 3.375%, 03/05/10; market value $30,294,001) 29,700 29,700 --------------- Total Repurchase Agreement (Cost $29,700) ($ Thousands) 29,700 --------------- AFFILIATED PARTNERSHIP -- 5.6% SEI Liquidity Fund, L.P., 2.590%**+ (H) 212,703,875 208,795 --------------- Total Affiliated Partnership (Cost $212,704) ($ Thousands) 208,795 --------------- CASH EQUIVALENTS -- 1.5% Evergreen Institutional Money Market Fund, 2.740%** 948,366 948 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**+ 54,727,358 54,728 --------------- Total Cash Equivalents (Cost $55,676) ($ Thousands) 55,676 ---------------
Face Amount ($ Thousands) Market Value Description /Contracts ($ Thousands) - --------------------------------------------------------- --------------- --------------- COMMERCIAL PAPER -- 1.2% Bank of America 3.208%, 10/17/08 $ 5,005 $ 4,998 BNP Paribas Finance 3.970%, 10/09/08 12,570 12,558 General Electric Capital 2.306%, 10/23/08 12,180 12,163 National Rural Utilities Cooperative Finance 2.554%, 10/07/08 13,560 13,553 --------------- Total Commercial Paper (Cost $43,274) ($ Thousands) 43,272 --------------- Total Investments -- 126.4% (Cost $5,036,918) ($ Thousands) $ 4,670,136 =============== WRITTEN OPTIONS* -- (0.1)% December 2008 U.S. 10 Year Treasury Note Put, Expires 11/24/08, Strike Price $111.00 (89) (63) November 2008 10 Year Treasury Note Put, Expires 10/27/08, Strike Price $114.00 (109) (128) December 2008 U.S.10 Year Treasury Note Call, Expires 11/24/08, Strike Price $115.50 (115) (185) December 2008 10 Year Treasury Note Put, Expires 11/24/08, Strike Price $108.00 (173) (46) December 2008 U.S. 10 Year Treasury Note Put, Expires 11/24/08, Strike Price $112.00 (100) (136) December 2008 U.S. 10 Year Treasury Note Put, Expires 11/25/08, Strike Price $116.50 (100) (311) November 2008 U.S. 5 Year Treasury, Note Put, Expires 10/27/08, Strike Price $112.00 (108) (104) December 2008 U.S. 10 Year Treasury Note Put, Expires 11/24/08, Strike Price $112.50 (108) (120) November 2008 U.S. 5 Year Treasury Note Call, Expires 10/27/08, Strike Price $116.00 (108) (16) December 2008 U.S. 30 Year Treasury Bond Call, Expires 11/24/08, Strike Price $122.00 (80) (83) December 2008 U.S. 10 Year Treasury Note Call, Expires 11/24/08, Strike Price $117.50 (221) (206)
SEI Institutional Managed Trust / Annual Report / September 30, 2008 182
Contracts/ Notional Amount Market Value Description (Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- December 2008 U.S. 30 Year Treasury Bond Put, Expires 11/22/08, Strike Price $118.00 (240) $ (195) March 2009 90 day Euro Call, Expires 03/17/09, Strike Price $97.50 (107) (54) June 2009 90 Day Euro Call, Expires 06/16/09, Strike Price $96.75 (99) (94) December 2008 U.S. 10 Year Treasury Note Call, Expires 11/21/08, Strike Price $118.00 (120) (376) December 2008 U.S. 10 Year Treasury Note Call, Expires 12/31/08, Strike Price $119.00 (178) (108) December 2008 U.S. 10 Year Treasury Note Call, Expires 11/24/08, Strike Price $120.00 (89) (39) December 2008 U.S. 10 Year Treasury Note Put, Expires 12/31/08, Strike Price $114.00 (134) (228) December 2008 U.S. 10 Year Treasury Note Put, Expires 11/25/08, Strike Price $113.00 (89) (114) December 2008 U.S. 30 Year Treasury Bond Call, Expires 11/24/08, Strike Price $123.00 (80) (68) December 2008 U.S. 10 Year Treasury Note Put, Expires 11/25/08, Strike Price $112.00 (178) (170) December 2008 U.S. 10 Year Treasury Note Put, Expires 11/25/08, Strike Price $115.00 (286) (629) December 2008 U.S. 10 Treasury Note Call, Expires 11/24/08, Strike Price $117.00 (160) (173) --------------- Total Written Options (Premiums Received $(2,347)) ($ Thousands) (3,646) --------------- WRITTEN SWAPTION -- (0.1)% U.S. Swaption Call, Merrill Lynch* (33,000) (2,125) --------------- Total Written Swaption (Premiums Received $(719)) ($ Thousands) (2,125) ---------------
A summary of the open futures contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- -------------- 10-Year Swap (344) Dec-2008 $ 701 90-Day Euro$ 73 Dec-2008 (67) 90-Day Euro$ 1,008 Mar-2009 284 90-Day Euro$ 373 Jun-2009 1,555 90-Day Euro$ 201 Sep-2009 823 90-Day Euro$ 64 Dec-2009 258 90-Day Euro$ 59 Mar-2010 144 90-Day Euro$ (282) Jun-2010 (762) 90-Day Euro$ (14) Sep-2010 (12) 90-Day Euro$ (6) Dec-2010 7 90-Day Euro$ (22) Mar-2011 (26) 90-Day Euro$ (22) Jun-2011 (24) 90-Day Sterling 131 Mar-2009 299 Euro-Bond 108 Dec-2008 (20) U.S. 10-Year Note (1,344) Dec-2008 1,492 U.S. 2-Year Note 1,642 Dec-2008 2,034 U.S. 5-Year Note 2,869 Dec-2008 1,136 U.S. Long Treasury Bond (195) Dec-2008 115 ------ $7,937 ======
A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements):
CURRENCY CURRENCY UNREALIZED SETTLEMENT TO DELIVER TO RECEIVE APPRECIATION DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - ---------- ----------- ----------- ------------- 11/5/08 EUR 20,545 USD 32,254 $3,305 11/5/08 GBP 6,740 USD 13,317 1,274 11/5/08 USD 18,577 JPY 1,981,542 204 ------ $4,783 ======
SEI Institutional Managed Trust / Annual Report / September 30, 2008 183 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2008 A summary of outstanding swap agreements held by the Fund at September 30, 2008, is as follows (see Note 2 in Notes to Financial Statements): CREDIT DEFAULT SWAPS
NET UNREALIZED (PAYS)/ NOTIONAL APPRECIATION BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE ($ THOUSANDS) ($ THOUSANDS) - ------------ ----------------------------------------- ---------- -------- ----------- ------------- -------------- Citigroup ABX.HE.AA 07-1 Index Sell 0.15% 08/25/37 $ 975 $ (677) Citigroup ABX.HE.AA 07-1 Index Sell 0.15 08/25/37 985 (640) JPMorgan Chase Bank ABX.HE.AA 07-2 Index Sell 1.92 01/25/38 985 (714) JPMorgan Chase Bank ABX.HE.AA 07-2 Index Sell 1.92 01/25/38 1,960 (1,326) JPMorgan Chase Bank ABX.HE.AA 07-2 Index Sell 1.92 01/25/38 3,435 (2,212) Credit Suisse First Boston ABX.HE.AAa 06-1 Index Sell 0.09 08/25/37 2,000 174 Citigroup ABX.HE.AAa 06-2 Index Sell 0.11 05/25/46 1,350 89 Credit Suisse First Boston ABX.HE.AAa 06-2 Index Sell 0.17 05/25/46 2,550 114 Greenwich Capital Markets ABX.HE.AAa 06-2 Index Sell 0.17 05/25/46 2,000 90 Goldman Sachs ABX.HE.AAa 06-2 Index Sell 0.17 05/25/46 2,500 106 Credit Suisse First Boston ABX.HE.AAa 06-2 Index Sell 0.17 05/25/46 3,500 130 Morgan Stanley ABX.HE.AAa 07-1 Index Sell 0.09 08/25/37 1,700 45 Morgan Stanley ABX.HE.AAa 07-1 Index Sell 0.09 08/25/37 3,800 135 Goldman Sachs ABX.HE.AAa 07-1 Index Sell 0.09 08/25/37 2,700 96 Citigroup ABX.HE.AAa 07-1 Index Sell 0.09 08/25/37 5,795 (1,766) Barclays ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 4,500 (120) Morgan Stanley ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 2,000 (90) Morgan Stanley ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 1,000 (40) Greenwich Capital Markets ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 1,450 62 Goldman Sachs ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 1,300 56 Credit Suisse First Boston ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 2,900 161 Barclays ABX.HE.AAa 07-2 Index Sell 0.76 01/25/38 2,500 151 Citigroup ABX.HE.BBB 07-2 Index Sell 5.00 01/25/38 1,750 (609) Bank Of America Alcan Inc., 4.875%, 09/15/12 Buy (0.35) 12/20/13 2,125 5 Bank Of America Alcan Inc., 4.875%, 09/15/12 Buy (0.32) 03/20/14 1,800 7 Goldman Sachs Anheuser-Busch Cos Inc., 5.625%, 10/01/10 Buy (1.08) 09/20/13 2,000 (3) Barclays Anheuser-Busch Cos Inc., 5.625%, 10/01/10 Buy (1.08) 09/20/13 2,500 (4) JPMorgan Chase Bank Autozone Inc., 5.875%, 10/15/20 Buy (0.46) 12/20/11 2,125 17 Bank Of America Autozone Inc., 5.875%, 10/15/20 Buy (0.44) 12/20/11 2,125 18 Bank Of America Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 2,125 30 JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 2,125 30 Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.66) 03/20/13 4,250 28 Goldman Sachs Borgwarner Inc., 6.50%, 02/15/09 Buy (0.80) 03/20/13 2,250 2 Bank Of America Campbell Soup Co., 4.875%, 10/01/13 Buy (0.20) 06/20/14 2,775 13 JPMorgan Chase Bank Carnival Corp., 6.65%, 1/15/28 Buy (0.22) 06/20/12 1,600 46 Goldman Sachs CDX.NA.LG.9 Index Sell 0.60 12/20/12 8,250 (175) Bank Of America CDX.NA.LG.9 Index Sell 0.60 12/20/12 4,500 (113) Goldman Sachs CDX.NA.LG.9 Index Sell 0.60 12/20/12 32,375 (983) Merrill Lynch Centex Corp., 5.25%, 06/15/15 Buy (3.56) 12/20/12 1,350 40 Merrill Lynch Centex Corp., 5.25%, 06/15/15 Buy (3.65) 12/20/12 925 25 Goldman Sachs Centurytel Inc., 6.00%, 04/01/17 Buy (1.10) 03/20/13 4,500 63 Bank Of America Computer Science Corp., 5.0%, 02/15/13 Buy (0.65) 06/20/13 4,000 (7) Deutsche Bank CTX, 5.125%, 06/15/15 Buy (4.40) 12/20/13 125 -- Citigroup Darden Restaurants Inc., 7.125%, 02/01/16 Buy (2.40) 03/20/15 800 (18) Deutsche Bank Darden Restaurants Inc., 7.125%, 02/01/16 Buy (2.25) 03/20/13 400 (7) Morgan Stanley Darden Restaurants Inc., 7.125%, 02/01/16 Buy (2.25) 03/20/13 400 (7) Bank Of America Darden Restaurants Inc., 7.125%, 02/01/16 Buy (0.45) 12/20/11 2,250 81 JPMorgan Chase Bank Dow Chemical Inc., 6.00%, 10/01/12 Buy (0.26) 12/20/13 2,125 58 Merrill Lynch Dow Chemical Inc., 6.00%, 10/01/12 Buy (0.25) 12/20/13 2,125 59 Bank Of America Gap Inc., 8.80%, 12/15/08 Buy (1.18) 12/20/11 2,125 (29) JPMorgan Chase Bank Gap Inc., 8.80%, 12/15/08 Buy (1.18) 12/20/11 2,250 (31) JPMorgan Chase Bank Goldman Sachs Group Inc., 6.60%, 12/20/12 Buy (0.74) 12/20/12 3,150 416 Barclays Goldman Sachs Group Inc., 6.60%, 12/20/12 Buy (0.75) 12/20/12 200 26 JPMorgan Chase Bank Hasbro Inc., 2.75%, 12/01/21 Buy (0.39) 12/20/11 2,250 46 Bank Of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.39) 12/20/13 2,125 107 Bank Of America Johnson Controls Inc., 7.125%, 07/15/17 Buy (0.37) 12/20/13 2,125 109 JPMorgan Chase Bank Jones Apparel Group., 5.125%, 11/15/14 Buy (0.77) 12/20/11 2,250 135 Merrill Lynch Kroger Co. 5.50%, 02/01/13 Buy (0.64) 03/20/13 4,500 (15) Bank Of America Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.95) 03/20/13 3,000 (36) Bank Of America Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.60) 09/20/13 3,250 15 Merrill Lynch Lowes Companies Inc., 8.25%, 06/01/10 Buy (0.13) 12/20/11 2,250 30 Merrill Lynch Lubrizol Corp., 7.25%, 06/15/25 Buy (0.45) 12/20/11 2,125 12 JPMorgan Chase Bank Lubrizol Corp., 7.25%, 06/15/35 Buy (0.45) 12/20/11 2,125 12 Bank Of America Lubrizol Corp., 7.25%, 06/15/25 Buy (0.81) 09/20/13 1,250 -- Bank Of America Masco Corp., 5.875%, 07/15/12 Buy (0.73) 12/20/13 2,250 191 Merrill Lynch MDC Holdings Inc., 5.50%, 05/15/13 Buy (0.90) 12/20/11 2,250 47 Bank Of America Meadwestavaco Corp., 6.85%, 04/01/12 Buy (0.48) 12/20/11 2,250 63 Bank Of America MGIC Investment Corp., 6.00%, 11/01/15 Buy (0.35) 12/20/13 2,125 713 JPMorgan Chase Bank MGIC Investment Corp., 6.00%, 11/01/15 Buy (0.35) 12/20/13 2,125 801 JPMorgan Chase Bank Morgan Stanley, 6.60% 04/01/12 Buy (0.91) 12/20/12 2,200 512 Goldman Sachs Motorola Inc., 6.50%, 09/01/25 Buy (1.93) 03/20/13 1,200 29
SEI Institutional Managed Trust / Annual Report / September 30, 2008 184
NET UNREALIZED (PAYS)/ NOTIONAL APPRECIATION BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE ($ THOUSANDS) ($ THOUSANDS) - ------------ ----------------------------------------- ---------- -------- ----------- ------------- -------------- JPMorgan Chase Bank Nordstrom Inc., 6.95%, 03/15/28 Buy (0.28)% 12/20/13 $2,125 $ 116 Merrill Lynch Nordstrom Inc., 6.95%, 03/15/28 Buy (0.28) 12/20/13 2,125 116 JPMorgan Chase Bank Nucor Coro., 4.875%, 10/01/12 Buy (0.22) 12/20/11 2,125 31 Bank Of America Nucor Corp., 4.875%, 10/01/12 Buy (0.22) 12/20/11 2,125 31 Bank Of America Pitney Bowes Inc., 4.625%, 10/01/12 Buy (0.14) 12/20/11 4,500 53 Bank Of America PMI Group Inc., 6.00%, 09/15/16 Buy (0.35) 12/20/13 2,125 801 JPMorgan Chase Bank PMI Group Inc., 6.00%, 09/15/16 Buy (0.35) 12/20/13 2,125 713 JPMorgan Chase Bank PPG Industries Inc., 7.05%, 08/15/09 Buy (0.20) 12/20/11 2,250 39 Deutsche Bank Pulte Homes Inc, 5.25% 01/15/14 Buy (4.00) 03/20/15 1,500 (133) Deutsche Bank Pulte Homes Inc, 5.25% 01/15/14 Buy (4.62) 03/20/13 1,500 (123) Citigroup Pulte Homes Inc, 5.25% 01/15/14 Buy (3.88) 12/20/12 2,200 (112) Citigroup Pulte Homes Inc, 5.25% 01/15/14 Buy (3.91) 12/20/12 1,150 (60) JPMorgan Chase Bank Radian Group Inc., 7.75%, 06/01/11 Buy (0.39) 12/20/13 2,250 17 Bank Of America Radian Group Inc., 7.75%, 06/01/11 Buy (0.39) 12/20/13 2,125 1,120 Merrill Lynch RR Donnelley & Sons, 4.95%, 04/01/14 Buy (0.69) 12/20/11 2,250 55 Bank Of America Safeway Inc., 5.80%, 08/15/12 Buy (0.59) 03/20/13 3,750 3 JPMorgan Chase Bank Safeway Inc., 5.80%, 08/15/12 Buy (0.64) 03/20/13 3,500 (4) Bank Of America Southwest Airlines Co., 6.50%, 03/01/12 Buy (1.40) 06/20/13 1,500 5 Merrill Lynch Southwest Airlines Co., 6.50%, 03/01/12 Buy (0.27) 12/20/11 2,125 58 JPMorgan Chase Bank Southwest Airlines Co., 6.50%, 03/01/12 Buy (0.27) 12/20/11 2,250 61 Bank Of America The Limited Inc., 6.125%, 12/01/12 Buy (0.48) 12/20/11 2,250 143 Bank Of America TJX Companies Inc., 7.45%, 12/15/09 Buy (0.19) 12/20/11 2,250 15 Merrill Lynch Toll Brothers, 6.875%, 11/15/12 Buy (2.83) 12/20/12 1,435 (22) Merrill Lynch Toll Brothers, 6.875%, 11/15/12 Buy (2.78) 12/20/12 2,450 (33) Citigroup Toll Brothers, 6.875%, 11/15/12 Buy (2.83) 12/20/12 1,000 (15) Merrill Lynch Weyerhaeuser Company, 6.75%, 03/15/12 Buy (0.45) 03/20/12 2,125 76 Goldman Sachs Whirlpool Corp., 7.75%, 07/15/16 Buy (1.02) 09/20/13 1,500 7 JPMorgan Chase Bank Whirlpool Corp., 7.75%, 07/15/16 Buy (0.34) 12/20/11 2,250 39 ------- $(1,430) =======
INTEREST RATE SWAPS
NET UNREALIZED APPRECIATION TERMINATION NOTIONAL AMOUNT (DEPRECIATION) COUNTERPARTY FUND PAYS FUND RECEIVES DATE ($ THOUSANDS) ($ THOUSANDS) - ------------ --------------- --------------- ----------- --------------- -------------- JPMorgan Chase Bank 4.6975% 3-month LIBOR 09/26/19 $12,230 $ (12) Deutsche Bank 4.44 6-month EURIBOR 04/14/18 11,300 305 Citigroup 4.97 3-month LIBOR 06/11/19 9,250 (254) Citigroup 5.0575 3-month LIBOR 06/10/19 5,550 (191) Deutsche Bank 3-month LIBOR 4.40% 05/31/12 9,091 268 Citigroup 3-month LIBOR 4.2063 06/11/11 37,970 314 Citigroup 3-month LIBOR 4.2275 06/10/11 22,780 199 Citigroup 3-month LIBOR 4.04 12/15/10 7,360 169 JPMorgan Chase Bank 3-month LIBOR 4.03 09/26/11 50,210 48 Merrill Lynch 3-month LIBOR 3.40123 02/26/13 4,556 (106) Merrill Lynch 3-month LIBOR 3.70058 02/27/09 9,086 (99) Merrill Lynch 3-month LIBOR 3.95 12/15/10 21,760 453 Deutsche Bank 6-month EURIBOR 4.253 04/14/10 54,500 (560) Deutsche Bank 6-month EURIBOR 4.464 05/12/10 4,300 (20) ----- $ 514 =====
TOTAL RETURN SWAPS
NET UNREALIZED NOTIONAL APPRECIATION TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS) ($ THOUSANDS) - ------------ ----------------------------- ---------------------- -------------------- ----------- ----------- -------------- Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread 10/31/08 Minus 10 bps $20,000 $(1,529) Bank Of America BAS AAA 10YR CMBS Daily Index Negative Spread Return Initial Index Spread 01/30/09 Minus 95 bps 20,000 (1,530) ------- $(3,059) =======
SEI Institutional Managed Trust / Annual Report / September 30, 2008 185 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Concluded) September 30, 2008 Description Percentages are based on a Net Assets of $3,694,723 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Investment in Affiliated Security (see Note 3). ++ Real Estate Investment Trust (A) This security or a partial position of this security is on loan at September 30, 2008. The total value of securities on loan at September 30, 2008 was $187,345 ($ Thousands). (B) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2008. The date reported on the Schedule of Investments is the next reset date. (D) Securities considered illiquid. The total value of such securities as of September 30, 2008 was $1,150 ($ Thousands) and represented 0.03% of Net Assets. (E) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the board of Trustees. (F) Security in default on interest payments. (G) Pre-Refunded Security -- The maturity date shown is the pre-refunded date. (H) This security was purchased with cash collateral held from securities on loan (see Note 7) The total value of such securities as of September 30, 2008 was $208,795 ($ Thousands). (I) Security considered restricted. The total value of such securities as of September 30, 2008 was $1,952 ($ Thousands) and represented 0.05% of Net Assets. (J) Security, or portion thereof has been pledged as collateral on open futures contracts. (K) Security, or portion thereof has been pledged as collateral on written options. ABS -- Asset-Based Security ARM -- Adjustable Rate Mortgage CDO -- Collateralized Debt Obligation Cl -- Class CMO -- Collateralized Mortgage Obligation EUR -- Euro FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association GO -- General Obligation IO -- Interest Only -- face amount represents notional amount LLC -- Limited Liability Company L.P. -- Limited Partnership MTN -- Medium Term Note PLC -- Public Limited Company PO -- Principal Only RB -- Revenue Bond Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflation Protected Security Amounts designated as "--" are $0 or have been rounded to $0 The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 186 High Yield Bond Fund September 30, 2008 SECTOR WEIGHTINGS# (UNAUDITED): (PERFORMANCE GRAPH) Consumer Discretionary 20.3% Affiliated Partnership 10.8% Energy 9.7% Loan Participations 8.2% Materials 7.2% Telecommunication Services 7.1% Financials 7.0% Industrials 6.3% Collateralized Debt Obligations 5.1% Health Care 4.9% Information Technology 3.9% Short-Term Investment 3.2% Utilities 3.1% Consumer Staples 2.5% Preferred Stock 0.4% Common Stock 0.2% Convertible Bonds 0.1% Warrant 0.0%
# Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7).
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- CORPORATE OBLIGATIONS -- 80.3% CONSUMER DISCRETIONARY -- 22.6% Adelphia Communications (Escrow Security) 10.250%, 06/15/11 $ 150 $ 6 0.000%, 01/15/09 225 9 Adelphia Communications (Escrow Security), Ser B 0.000%, 02/15/04 25 1 American Greetings 7.375%, 06/01/16 600 546 AmeriGas Partners 7.125%, 05/20/16 385 345 Amscan Holdings 8.750%, 05/01/14 1,185 960 ArvinMeritor 8.750%, 03/01/12 2,165 1,819 Asbury Automotive Group 7.625%, 03/15/17 150 96 Ashtead Capital 9.000%, 08/15/16 (A) 1,860 1,600 Ashtead Holdings PLC 8.625%, 08/01/15 (A) (B) 225 194 AutoNation 4.791%, 10/15/08 (C) 930 784 Avis Budget Car Rental 7.750%, 05/15/16 50 31 5.304%, 11/17/08 (C) 965 593 Bausch & Lomb 9.875%, 11/01/15 (A) 1,720 1,634 Beazer Homes USA 8.625%, 05/15/11 270 219 6.875%, 07/15/15 (B) 2,155 1,336 Blockbuster 9.000%, 09/01/12 (B) 2,125 1,519
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Bonten Media Acquisition 9.000%, 06/01/15 (A) $ 275 $ 162 Boyd Gaming 7.125%, 02/01/16 1,650 1,143 6.750%, 04/15/14 (B) 1,350 969 Broder Brothers, Ser B 11.250%, 10/15/10 (B) 1,260 655 Brown Shoe 8.750%, 05/01/12 1,100 1,067 Burlington Coat Factory Warehouse 11.125%, 04/15/14 (B) 950 525 Cablevision Systems, Ser B 8.334%, 04/01/09 (C) 375 370 Caesars Entertainment 7.875%, 03/15/10 (B) 1,075 836 Carrols 9.000%, 01/15/13 1,245 896 CBS 7.700%, 07/30/10 3,000 3,080 CCH I Holdings LLC 11.750%, 05/15/14 (B) 150 58 11.125%, 01/15/14 800 278 11.000%, 10/01/15 175 114 11.000%, 10/01/15 (B) 6,046 3,989 10.000%, 05/15/14 300 111 9.920%, 04/01/14 (B) 350 130 CCH II LLC 10.250%, 09/15/10 200 179 10.250%, 09/15/10 (B) 1,535 1,382 CCO Holdings LLC 8.750%, 11/15/13 (B) 4,070 3,540 Centex 5.125%, 10/01/13 275 217 4.550%, 11/01/10 160 142 Charter Communications Operating 10.875%, 09/15/14 (A) (B) 1,950 1,892 Choctaw Resort Development Enterprise 7.250%, 11/15/19 (A) 1,032 774 Cinemark 11.991%, 03/15/09 (D) 450 433 Claire's Stores 10.500%, 06/01/17 (B) 400 134 9.625%, 06/01/15 2,135 587 9.250%, 06/01/15 (B) 625 259 Clear Channel Communications 10.750%, 08/01/16 (A) 365 190 Community Health Systems 8.875%, 07/15/15 4,845 4,603 Cooper-Standard Automotive 8.375%, 12/15/14 550 347 Couche-Tard US 7.500%, 12/15/13 4,508 4,146
SEI Institutional Managed Trust / Annual Report / September 30, 2008 187 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- COX Communications 7.875%, 08/15/09 $ 1,140 $ 1,143 COX Enterprises 7.375%, 06/15/09 (A) 2,900 2,896 CSC Holdings 8.500%, 06/15/15 (A) (B) 255 237 8.125%, 07/15/09 3,300 3,267 Dana 0.000%, 03/15/28 200 5 0.000%, 03/01/29 850 21 0.000%, 03/01/09 350 9 Delphi 7.125%, 05/01/29 (E) 875 105 6.500%, 05/01/09 (B) (E) 750 90 Denny's 10.000%, 10/01/12 65 59 Dex Media 9.962%, 11/15/13 (B) (D) 3,680 1,693 8.000%, 11/15/13 250 115 Dex Media West, Ser B 9.875%, 08/15/13 4,755 2,948 8.500%, 08/15/10 3,250 2,868 DirecTV Holdings 7.625%, 05/15/16 (A) 1,785 1,615 6.375%, 06/15/15 4,765 4,192 Dollar General 10.625%, 07/15/15 (B) 960 946 DR Horton 6.000%, 04/15/11 745 667 Echostar DBS 7.750%, 05/31/15 4,780 4,050 7.125%, 02/01/16 4,250 3,411 6.625%, 10/01/14 600 482 5.750%, 10/01/08 3,765 3,765 Education Management 8.750%, 06/01/14 150 125 El Dorado Casino Shreveport PIK 10.000%, 08/01/12 (B) 1,193 1,151 Expedia 8.500%, 07/01/16 (A) 690 621 Eye Care Centers of America 10.750%, 02/15/15 700 725 Fontainebleau Las Vegas Holdings 10.250%, 06/15/15 (A) 4,150 1,162 Ford Motor 7.450%, 07/16/31 (B) 1,755 755 6.500%, 08/01/18 2,775 1,138 4.250%, 12/15/36 125 82 GameStop 8.000%, 10/01/12 1,220 1,226
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Gaylord Entertainment 8.000%, 11/15/13 $ 995 $ 866 6.750%, 11/15/14 180 151 General Motors 8.375%, 07/15/33 (B) 2,445 978 8.250%, 07/15/23 (B) 5,000 1,962 7.700%, 04/15/16 1,112 445 7.200%, 01/15/11 (B) 1,690 993 7.125%, 07/15/13 (B) 2,855 1,313 General Motors Nova Scotia Finance 6.850%, 10/15/08 4,350 4,306 General Nutrition Centers PIK 7.584%, 03/15/09 (C) 575 479 Goodyear Tire & Rubber 9.000%, 07/01/15 (B) 655 648 8.625%, 12/01/11 837 829 7.857%, 08/15/11 725 705 Great Canadian Gaming 7.250%, 02/15/15 (A) (B) 300 270 Group 1 Automotive 8.250%, 08/15/13 200 182 Hanesbrands, Ser B 6.508%, 12/15/08 (C) 3,795 3,150 Harrah's Operating 10.750%, 02/01/16 (A) 4,060 2,071 8.000%, 02/01/11 675 511 5.500%, 07/01/10 470 353 Herbst Gaming 8.125%, 06/01/12 (E) 1,050 53 7.000%, 11/15/14 (B) (E) 1,000 50 Hertz 8.875%, 01/01/14 3,810 3,286 Idearc 8.000%, 11/15/16 1,580 431 Indianapolis Downs & Capital 11.000%, 11/01/12 (A) (B) 1,350 918 Inn of the Mountain Gods Resort & Casino 12.000%, 11/15/10 275 187 Jarden 7.500%, 05/01/17 (B) 5,515 4,591 Lamar Media 7.250%, 01/01/13 (B) 2,850 2,579 6.625%, 08/15/15 (B) 2,680 2,218 6.625%, 08/15/15 475 393 Lamar Media, Ser B 6.625%, 08/15/15 25 21 Laureate Education 10.000%, 08/15/15 (A) (B) 525 446 LBI Media 9.471%, 10/15/13 (D) 675 506 8.500%, 08/01/17 (A) 195 129
SEI Institutional Managed Trust / Annual Report / September 30, 2008 188
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Lear 8.750%, 12/01/16 $ 975 $ 678 Leslie's Poolmart 7.750%, 02/01/13 550 465 Levi Strauss 9.750%, 01/15/15 287 240 Liberty Media 7.875%, 07/15/09 3,050 3,059 LIN Television 6.500%, 05/15/13 520 406 6.500%, 05/15/13 (B) 2,500 1,950 M/I Homes 6.875%, 04/01/12 290 232 Majestic Holdings LLC 2.880%, 10/15/11 (A) (D) 50 1 MediMedia USA 11.375%, 11/15/14 (A) 775 760 MGM Mirage 8.375%, 02/01/11 (B) 1,025 838 7.500%, 06/01/16 (B) 6,170 4,503 6.875%, 04/01/16 3,010 2,189 6.750%, 09/01/12 1,000 783 6.750%, 04/01/13 2,450 1,910 6.000%, 10/01/09 1,250 1,169 5.875%, 02/27/14 1,485 1,073 Michaels Stores 11.375%, 11/01/16 150 71 10.000%, 11/01/14 (B) 625 394 Mohegan Tribal Gaming Authority 6.875%, 02/15/15 (B) 1,025 707 6.125%, 02/15/13 (B) 325 270 Neff 10.000%, 06/01/15 (B) 1,450 435 Neiman-Marcus Group PIK 9.000%, 10/15/15 2,995 2,508 Neiman-Marcus Group 10.375%, 10/15/15 (B) 1,315 1,101 Nexstar Broadcasting 7.000%, 01/15/14 (B) 2,250 1,688 OSI Restaurant Partners 10.000%, 06/15/15 (B) 800 356 Penhall International 12.000%, 08/01/14 (A) 1,850 1,277 Penn National Gaming 6.750%, 03/01/15 3,285 2,890 Penske Auto Group 7.750%, 12/15/16 2,000 1,430 Perry Ellis International, Ser B 8.875%, 09/15/13 1,326 1,167 Pinnacle Entertainment 8.750%, 10/01/13 405 388 8.250%, 03/15/12 125 121
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Pokagon Gaming Authority 10.375%, 06/15/14 (A) $ 955 $ 967 Quebecor Media 7.750%, 03/15/16 950 831 7.750%, 03/15/16 4,955 4,335 Rent-A-Center, Ser B 7.500%, 05/01/10 (B) 3,125 3,055 Rental Services 9.500%, 12/01/14 (B) 3,220 2,439 RH Donnelley 11.750%, 05/15/15 (A) 1,126 687 8.875%, 10/15/17 (B) 3,750 1,275 RH Donnelley, Ser A-1 6.875%, 01/15/13 850 332 RH Donnelley, Ser A-2 6.875%, 01/15/13 250 98 RH Donnelley, Ser A-3 8.875%, 01/15/16 75 26 RJ Tower 12.000%, 06/01/13 (B) (E) 172 -- Royal Caribbean Cruises 7.250%, 06/15/16 955 793 7.000%, 06/15/13 (B) 610 525 Ryland Group 6.875%, 06/15/13 355 296 5.375%, 05/15/12 425 346 Sally Holdings LLC 10.500%, 11/15/16 (B) 530 504 9.250%, 11/15/14 (B) 2,950 2,780 Sealy Mattress 8.250%, 06/15/14 (B) 4,576 3,591 Seminole Indian Tribe of Florida 7.804%, 10/01/20 (A) 720 669 Seneca Gaming 7.250%, 05/01/12 125 109 Service International 7.375%, 10/01/14 1,527 1,389 7.000%, 06/15/17 1,155 988 6.750%, 04/01/15 1,105 964 6.750%, 04/01/16 1,075 919 SGS International 12.000%, 12/15/13 1,400 1,134 Shingle Springs Tribal Gaming Authority 9.375%, 06/15/15 (A) 600 432 Simmons 13.423%, 12/15/14 5,625 3,150 7.875%, 01/15/14 1,200 900 Sinclair Broadcast Group 8.000%, 03/15/12 (B) 2,000 1,930 4.875%, 07/15/18 (A) (D) 450 408
SEI Institutional Managed Trust / Annual Report / September 30, 2008 189 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Six Flags 9.625%, 06/01/14 (B) $ 275 $ 154 Sonic Automotive, Ser B 8.625%, 08/15/13 1,628 1,107 Stanadyne Holdings 10.249%, 08/15/09 (D) 1,575 1,150 Stanadyne Holdings, Ser 1 10.000%, 08/15/14 450 419 Station Casinos 6.875%, 03/01/16 125 35 6.625%, 03/15/18 2,255 598 Steinway Musical Instruments 7.000%, 03/01/14 (A) 5,170 4,472 Stewart Enterprises 6.250%, 02/15/13 1,005 925 Sun Media 7.625%, 02/15/13 1,110 1,021 Tenneco 8.625%, 11/15/14 (B) 3,781 3,006 8.125%, 11/15/15 330 282 Toll 8.250%, 02/01/11 700 676 8.250%, 12/01/11 1,095 1,051 Town Sports International 3.578%, 02/01/14 (D) 1,092 1,018 Travelport LLC 11.875%, 09/01/16 (B) 4,915 3,527 7.436%, 12/01/08 (C) 2,371 1,826 TRW Automotive 7.250%, 03/15/17 (A) 3,240 2,560 7.000%, 03/15/14 (A) 2,350 1,939 United Components 9.375%, 06/15/13 1,290 1,071 United Rentals North America 7.750%, 11/15/13 100 76 7.000%, 02/15/14 1,325 928 6.500%, 02/15/12 1,805 1,507 Universal City Florida Holding I 8.375%, 05/01/10 100 97 7.551%, 11/01/08 (C) 1,247 1,172 Univision Communications 9.750%, 03/15/15 (A) (B) 325 151 7.850%, 07/15/11 80 62 Vail Resorts 6.750%, 02/15/14 3,060 2,868 Vicorp Restaurants 10.500%, 04/15/11 (E) 426 66 Videotron 9.125%, 04/15/18 (A) 1,105 1,116 6.875%, 01/15/14 4,670 4,412 6.375%, 12/15/15 420 370 Visant Holding 11.836%, 12/01/13 (B) (D) 5,995 5,424 8.750%, 12/01/13 1,040 954
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Visteon 12.250%, 12/31/16 (A) (B) $ 234 $ 140 8.250%, 08/01/10 (B) 225 187 7.000%, 03/10/14 25 10 WMG Acquisition 7.375%, 04/15/14 235 174 Wynn Las Vegas Capital 6.625%, 12/01/14 3,716 3,168 XM Satellite Radio Holdings 13.000%, 08/01/13 (A) 110 65 --------------- 243,204 --------------- CONSUMER STAPLES -- 2.8% B & G Foods 8.000%, 10/01/11 525 504 Chiquita Brands International 8.875%, 12/01/15 1,795 1,453 7.500%, 11/01/14 290 223 Constellation Brands 8.375%, 12/15/14 580 574 7.250%, 05/15/17 (B) 4,100 3,772 7.250%, 09/01/16 4,525 4,164 Del Monte 8.625%, 12/15/12 250 248 6.750%, 02/15/15 2,605 2,345 Dole Food 7.250%, 06/15/10 200 176 Elizabeth Arden 7.750%, 01/15/14 1,150 1,047 Fleming 10.125%, 04/01/08 (E) 1,025 31 9.250%, 06/15/10 (E) 183 5 Merisant 9.500%, 07/15/13 (B) 2,300 1,334 Merisant Worldwide 8.849%, 05/15/14 (D) 1,075 183 Michael Foods 8.000%, 11/15/13 2,765 2,681 National Beef Packing 10.500%, 08/01/11 470 468 NBTY 7.125%, 10/01/15 3,026 2,647 Pantry 7.750%, 02/15/14 2,325 1,796 Rite Aid 9.500%, 06/15/17 (B) 3,930 2,062 9.375%, 12/15/15 525 276 8.625%, 03/01/15 725 381 7.700%, 02/15/27 (B) 150 59 7.500%, 03/01/17 (B) 1,105 840 6.875%, 08/15/13 (B) 100 45 6.875%, 12/15/28 (A) (B) 375 135
SEI Institutional Managed Trust / Annual Report / September 30, 2008 190
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Smithfield Foods 7.750%, 07/01/17 $ 100 $ 79 7.750%, 05/15/13 225 189 7.000%, 08/01/11 250 218 Spectrum Brands 7.375%, 02/01/15 (B) 1,733 745 SuperValu 7.500%, 11/15/14 1,425 1,382 Tyson Foods 7.350%, 04/01/16 380 314 --------------- 30,376 --------------- ENERGY -- 10.8% Allis-Chalmers Energy 9.000%, 01/15/14 3,442 3,097 8.500%, 03/01/17 100 86 Arch Western Finance 6.750%, 07/01/13 6,265 5,888 Atlas Energy Resources 10.750%, 02/01/18 (A) 1,300 1,170 Atlas Pipeline Partners 8.125%, 12/15/15 375 345 Aventine Renewable Energy Holdings 10.000%, 04/01/17 (B) 2,750 1,458 Brigham Exploration 9.625%, 05/01/14 750 626 Chaparral Energy 8.875%, 02/01/17 2,000 1,580 8.500%, 12/01/15 225 178 Chesapeake Energy 7.625%, 07/15/13 100 96 7.500%, 06/15/14 (B) 806 772 7.500%, 09/15/13 1,100 1,064 7.250%, 12/15/18 1,075 989 7.000%, 08/15/14 874 817 6.875%, 01/15/16 450 411 6.875%, 11/15/20 150 128 6.500%, 08/15/17 (B) 2,235 1,956 Cie Generale de Geophysique-Veritas 7.750%, 05/15/17 660 627 7.500%, 05/15/15 513 490 Cimarex Energy 7.125%, 05/01/17 1,650 1,518 Colorado Interstate Gas 6.800%, 11/15/15 88 83 Compton Petroleum Finance 7.625%, 12/01/13 1,245 1,092 Connacher Oil and Gas 10.250%, 12/15/15 (A) 1,085 1,042 Copano Energy 7.750%, 06/01/18 (A) 3,660 3,203
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Denbury Resources 7.500%, 04/01/13 $ 3,660 $ 3,458 7.500%, 12/15/15 2,225 2,047 Dynegy Holdings 8.375%, 05/01/16 1,425 1,240 7.750%, 06/01/19 2,705 2,164 7.500%, 06/01/15 3,140 2,653 El Paso 8.050%, 10/15/30 375 325 7.875%, 06/15/12 1,345 1,324 7.800%, 08/01/31 1,050 885 7.420%, 02/15/37 1,225 976 7.250%, 06/01/18 (B) 3,015 2,803 7.000%, 06/15/17 1,320 1,179 6.875%, 06/15/14 640 590 El Paso Performance-Linked Trust 7.750%, 07/15/11 (A) 725 734 Encore Acquisition 7.250%, 12/01/17 330 271 Energy Partners 9.750%, 04/15/14 (B) 1,585 1,165 7.916%, 10/15/08 (C) 175 129 Forest Oil 8.000%, 12/15/11 785 785 7.750%, 05/01/14 455 430 7.250%, 06/15/19 (A) 1,190 1,017 Frontier Oil 8.500%, 09/15/16 325 313 6.625%, 10/01/11 100 95 Gulfmark Offshore 7.750%, 07/15/14 875 823 Helix Energy Solutions Group 9.500%, 01/15/16 (A) 3,075 2,875 Hilcorp Energy I 9.000%, 06/01/16 (A) 1,245 1,133 7.750%, 11/01/15 (A) 4,070 3,500 Holly Energy Partners 6.250%, 03/01/15 1,225 980 International Coal Group 10.250%, 07/15/14 815 727 KCS Energy 7.125%, 04/01/12 1,565 1,377 Key Energy Services 8.375%, 12/01/14 (A) 440 422 Mariner Energy 8.000%, 05/15/17 435 368 MarkWest Energy Partners 8.750%, 04/15/18 2,345 2,228 MarkWest Energy Partners, Ser B 8.500%, 07/15/16 1,800 1,701 6.875%, 11/01/14 1,325 1,193
SEI Institutional Managed Trust / Annual Report / September 30, 2008 191 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Massey Energy 6.875%, 12/15/13 $ 710 $ 643 Newfield Exploration 7.125%, 05/15/18 1,700 1,479 6.625%, 04/15/16 2,350 2,092 OPTI Canada 8.250%, 12/15/14 1,630 1,459 7.875%, 12/15/14 1,125 996 Pacific Energy Partners 7.125%, 06/15/14 225 221 6.250%, 09/15/15 100 94 Parker Drilling 9.625%, 10/01/13 236 229 Peabody Energy 7.375%, 11/01/16 375 360 Peabody Energy, Ser B 6.875%, 03/15/13 2,600 2,508 PetroHawk Energy 9.125%, 07/15/13 2,966 2,787 7.875%, 06/01/15 (A) 2,280 1,984 Petroleum Development 12.000%, 02/15/18 1,570 1,507 PetroProd 10.850%, 05/24/13 800 664 PHI 7.125%, 04/15/13 125 111 Plains Exploration & Production 7.750%, 06/15/15 150 138 7.625%, 06/01/18 635 562 7.000%, 03/15/17 1,045 909 Pride International 7.375%, 07/15/14 (B) 2,469 2,358 Quicksilver Resources 8.250%, 08/01/15 1,825 1,670 7.125%, 04/01/16 700 571 Range Resources 7.250%, 05/01/18 620 586 Sabine Pass LNG 7.250%, 11/30/13 (B) 1,400 1,106 Sabine Pass LNG L.P. 7.500%, 11/30/16 600 468 SandRidge Energy 8.625%, 04/01/15 (A) 1,050 940 8.000%, 06/01/18 (A) 2,080 1,789 Seitel 9.750%, 02/15/14 2,700 2,201 SESI 6.875%, 06/01/14 1,000 870 Sevan Marine 9.250%, 12/20/11 500 450 Southwestern Energy 7.500%, 02/01/18 (A) 1,800 1,746 Swift Energy 7.625%, 07/15/11 4,650 4,417
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Targa Resources 8.500%, 11/01/13 $ 225 $ 199 Targa Resources Partners 8.250%, 07/01/16 (A) 875 753 Tesoro 6.625%, 11/01/15 1,130 921 United Refining 10.500%, 08/15/12 675 581 Venoco 8.750%, 12/15/11 2,730 2,347 Whiting Petroleum 7.250%, 05/01/13 635 589 Williams 7.750%, 06/15/31 500 467 Williams Partners L.P. 7.250%, 02/01/17 1,610 1,497 --------------- 115,895 --------------- FINANCIALS -- 7.8% AAC Group Holding 2.814%, 10/01/12 (A) 1,080 1,069 AAC Group Holding PIK 14.750%, 10/01/12 780 741 ACE Cash Express 10.250%, 10/01/14 (A) 775 558 ALH Finance LLC 8.500%, 01/15/13 4,075 3,800 Alliant Holdings I 11.000%, 05/01/15 (A) 1,075 935 Buffalo Thunder Development Authority 9.375%, 12/15/14 (A) 2,175 914 Calfrac Holdings 7.750%, 02/15/15 (A) 2,850 2,366 Cardtronics 9.250%, 08/15/13 805 724 9.250%, 08/15/13 455 410 Cebridge PIK 8.801%, 05/05/14 403 326 Felcor Lodging L.P. 4.803%, 12/01/08++ (C) 225 180 Ferrellgas Escrow 6.750%, 05/01/14 520 424 Ferrellgas Partners 6.750%, 05/01/14 (A) 1,250 1,019 FireKeepers Development Authority 13.875%, 05/01/15 (A) 625 550 Ford Motor Credit LLC 12.000%, 05/15/15 200 153 9.750%, 09/15/10 979 702 8.000%, 12/15/16 (B) 1,800 1,138 7.800%, 06/01/12 5,240 3,254 7.375%, 10/28/09 125 100 7.375%, 02/01/11 300 199
SEI Institutional Managed Trust / Annual Report / September 30, 2008 192
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- 7.250%, 10/25/11 (B) $ 1,290 $ 820 7.241%, 10/15/08 (C) 3,185 2,945 7.000%, 10/01/13 6,063 3,726 5.538%, 10/14/08 (C) 300 192 4.361%, 10/15/08 (C) 515 422 Galaxy Entertainment Finance 9.875%, 12/15/12 (A) 680 462 Global Cash Access 8.750%, 03/15/12 390 343 GMAC LLC 8.000%, 11/01/31 2,007 757 7.750%, 01/19/10 75 45 7.250%, 03/02/11 375 177 7.000%, 02/01/12 100 41 6.875%, 08/28/12 7,005 2,784 6.875%, 09/15/11 2,050 915 6.750%, 12/01/14 7,601 2,917 6.625%, 05/15/12 1,260 533 6.000%, 12/15/11 375 167 4.054%, 05/15/09 (C) 375 271 GrafTech Finance 10.250%, 02/15/12 65 67 Hawker Beechcraft Acquisition 9.750%, 04/01/17 (A) 200 179 Hawker Beechcraft Acquisition PIK 8.875%, 04/01/15 2,620 2,371 Hellas Telecommunications Luxembourg II 8.541%, 10/15/08 (A) (C) 2,250 1,361 Hexion US Finance 9.750%, 11/15/14 3,835 3,030 7.304%, 11/15/08 (C) 750 540 Host Hotels & Resorts 6.875%, 11/01/14++ 1,930 1,669 Host Marriott L.P., Ser Q 6.750%, 06/01/16++ 2,525 2,064 Host Marriott LP 7.125%, 11/01/13++ 1,485 1,322 Host Marriott LP, Ser M 7.000%, 08/15/12++ 150 134 Host Marriott LP, Ser O 6.375%, 03/15/15++ 915 743 HUB International Holdings 9.000%, 12/15/14 (A) 2,850 2,537 Hughes Network Systems 9.500%, 04/15/14 630 611 Icahn Enterprises 7.125%, 02/15/13 5,575 4,264 Inergy L.P. 8.250%, 03/01/16 (A) 350 322 6.875%, 12/15/14 855 748 iPayment 9.750%, 05/15/14 750 600
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- KAR Holdings 10.000%, 05/01/15 $ 25 $ 19 8.750%, 05/01/14 1,930 1,573 6.801%, 11/03/08 (C) 800 628 LaBranche 11.000%, 05/15/12 245 230 Leucadia National 8.125%, 09/15/15 310 301 Marlin Water Trust II 6.310%, 07/15/03 (A) (E) 4,200 21 Nielsen Finance 10.000%, 08/01/14 (A) 425 404 3.290%, 08/01/11 (D) 1,225 796 Nielsen Finance LLC 10.000%, 08/01/14 800 760 Novelis 7.250%, 02/15/15 700 609 7.250%, 02/15/15 150 131 Nuveen Investments 10.500%, 11/15/15 (A) (B) 550 424 10.500%, 11/15/15 (A) 6,720 5,173 Omega Healthcare Investors 7.000%, 01/15/16++ 1,300 1,170 Petroplus Finance 7.000%, 05/01/17 (A) 1,990 1,652 6.750%, 05/01/14 1,130 972 Pinnacle Foods Finance 10.625%, 04/01/17 (B) 1,025 769 PXRE Capital Trust I 8.850%, 02/01/27 1,100 798 Realogy 12.375%, 04/15/15 325 111 Regency Energy Partners 8.375%, 12/15/13 1,922 1,730 Residential Capital LLC MTN 5.889%, 10/17/08 (C) 400 184 Rouse L.P. 6.750%, 05/01/13++ (A) 950 646 Senior Housing Properties Trust 7.875%, 04/15/15++ 671 658 Snoqualmie Entertainment Authority 9.125%, 02/01/15 (A) 1,050 759 6.875%, 02/01/09 (A) (C) 300 216 SPX 7.625%, 12/15/14 (A) 1,190 1,190 Ventas Realty L.P. 9.000%, 05/01/12++ 675 704 7.125%, 06/01/15++ 300 298 6.750%, 04/01/17++ 850 803 6.625%, 10/15/14++ 375 360 --------------- 83,730 ---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 193 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- HEALTH CARE -- 5.5% Advanced Medical Optics 7.500%, 05/01/17 $ 2,095 $ 1,823 Alliance Imaging 7.250%, 12/15/12 375 341 Biomet 11.625%, 10/15/17 175 176 10.375%, 10/15/17 7,595 7,518 10.000%, 10/15/17 745 760 Bio-Rad Laboratories 6.125%, 12/15/14 950 884 Cooper 7.125%, 02/15/15 2,190 2,157 CRC Health 10.750%, 02/01/16 2,100 1,617 DaVita 6.625%, 03/15/13 3,250 3,088 DJO Finance 10.875%, 11/15/14 2,750 2,633 FMC Finance III 6.875%, 07/15/17 325 313 Fresenius Medical Care Capital Trust IV 7.875%, 06/15/11 1,050 1,061 HCA 9.625%, 11/15/16 7,115 6,758 9.250%, 11/15/16 7,875 7,657 8.750%, 09/01/10 51 50 6.750%, 07/15/13 615 517 Healthsouth 9.133%, 12/15/08 (C) 750 728 MedCath Holdings 9.875%, 07/15/12 (B) 431 448 NMH Holdings 9.944%, 12/15/08 (A) (C) 717 591 Psychiatric Solutions 7.750%, 07/15/15 2,350 2,186 ReAble Therapeutics Finance 11.750%, 11/15/14 850 761 Res-Care 7.750%, 10/15/13 675 635 Select Medical 7.625%, 02/01/15 1,660 1,345 Spheris 11.000%, 12/15/12 1,400 749 Sun Healthcare Group 9.125%, 04/15/15 375 358 Surgical Care Affiliates 8.875%, 07/15/15 (A) 1,415 1,231 Tenet Healthcare 9.250%, 02/01/15 (B) 4,425 4,181 6.375%, 12/01/11 150 138
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- United Surgical Partners International 8.875%, 05/01/17 (B) $ 3,775 $ 3,171 United Surgical Partners International PIK 9.250%, 05/01/17 2,230 1,896 Universal Hospital Services 6.303%, 12/01/08 (C) 175 154 Universal Hospital Services PIK 8.500%, 06/01/15 225 210 US Oncology 9.000%, 08/15/12 775 775 VWR Funding 10.250%, 07/15/15 2,100 1,838 --------------- 58,748 --------------- INDUSTRIALS -- 7.1% ACCO Brands 7.625%, 08/15/15 4,655 3,560 ACIH 11.500%, 12/15/12 (A) (E) 1,250 150 Actuant 6.875%, 06/15/17 3,000 2,865 AGY Holding 11.000%, 11/15/14 675 601 Ahern Rentals 9.250%, 08/15/13 (B) 700 350 Aleris International PIK 2.775%, 12/15/14 425 259 Aleris International 10.000%, 12/15/16 (B) 1,800 1,116 Allied Waste North America 7.250%, 03/15/15 (B) 205 196 6.500%, 11/15/10 3,300 3,225 6.125%, 02/15/14 (B) 2,030 1,868 Allied Waste North America, Ser B 7.375%, 04/15/14 860 836 7.125%, 05/15/16 545 508 Allison Transmission 11.250%, 11/01/15 (A) (B) 375 308 11.000%, 11/01/15 (A) (B) 525 457 American Airlines, Ser 01-1 7.379%, 05/23/16 (B) 95 48 American Axle & Manufacturing 7.875%, 03/01/17 1,100 583 American Railcar Industries 7.500%, 03/01/14 300 266 Ames True Temper 10.000%, 07/15/12 (B) 1,165 617 6.791%, 10/15/08 (C) 1,345 1,009
SEI Institutional Managed Trust / Annual Report / September 30, 2008 194
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Aramark Services 8.500%, 02/01/15 $ 970 $ 912 6.301%, 11/03/08 (C) 350 306 Associated Materials 9.750%, 04/15/12 115 113 Baker & Taylor 11.500%, 07/01/13 (A) 950 741 Baldor Electric 8.625%, 02/15/17 (B) 1,860 1,776 BE Aerospace 8.500%, 07/01/18 1,650 1,600 Belden 7.000%, 03/15/17 200 178 Casella Waste Systems 9.750%, 02/01/13 820 804 Chart Industries 9.125%, 10/15/15 325 333 Complete Production Services 8.000%, 12/15/16 220 209 Cornell 10.750%, 07/01/12 500 500 Corrections Corp of America 7.500%, 05/01/11 1,000 996 6.750%, 01/31/14 170 160 6.250%, 03/15/13 1,447 1,353 D R Horton 5.625%, 01/15/16 525 389 Delta Air Lines, Ser 2002-1 8.300%, 12/15/29 (B) 925 21 Delta Air Lines, Ser 2002-1, Cl C 7.779%, 01/02/12 (B) 750 690 Deluxe 7.375%, 06/01/15 200 170 DRS Technologies 7.625%, 02/01/18 1,140 1,191 6.875%, 11/01/13 300 297 6.625%, 02/01/16 775 783 Education Management LLC 10.250%, 06/01/16 (B) 2,475 1,980 Esco 6.694%, 12/15/08 (A) (C) 150 138 FTI Consulting 7.750%, 10/01/16 525 534 7.625%, 06/15/13 740 754 Greenbrier 8.375%, 05/15/15 620 533 Indalex Holding, Ser B 11.500%, 02/01/14 659 316 Interline Brands 8.125%, 06/15/14 1,040 1,029 J.B. Poindexter 8.750%, 03/15/14 (B) 425 289
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- K Hovnanian Enterprises 11.500%, 05/01/13 (A) $ 50 $ 49 8.625%, 01/15/17 1,920 1,171 7.500%, 05/15/16 825 479 6.500%, 01/15/14 200 118 6.375%, 12/15/14 250 145 6.250%, 01/15/16 1,050 604 6.250%, 01/15/15 700 399 Kansas City Southern de Mexico 9.375%, 05/01/12 680 694 L-3 Communications 5.875%, 01/15/15 2,981 2,697 L-3 Communications, Ser B 6.375%, 10/15/15 2,374 2,184 Language Line 11.125%, 06/15/12 50 50 Maax Holdings 9.750%, 06/15/12 (E) 375 6 Meritage Homes 7.000%, 05/01/14 75 58 6.250%, 03/15/15 50 37 Mobile Mini 6.875%, 05/01/15 1,000 870 Mobile Services Group 9.750%, 08/01/14 450 419 Moog 7.250%, 06/15/18 (A) 230 221 Mueller Water Products 7.375%, 06/01/17 1,000 790 Nebraska Book 8.625%, 03/15/12 250 188 Neenah Foundary 9.500%, 01/01/17 475 361 Noble Group 6.625%, 03/17/15 (A) 575 421 Northwest Airlines 0.000%, 06/01/06 (B) 1,575 6 0.000%, 03/15/08 175 1 0.000%, 11/15/23 (D) 1,200 6 0.000%, 02/01/09 75 -- NTK Holdings 9.258%, 09/01/09 (B) (D) 425 183 Propex Fabrics 10.000%, 12/01/12 (E) 175 1 Quality Distribution 9.000%, 11/15/10 825 347 Quebecor World Capital 8.750%, 03/15/16 (A) (B) (E) 1,765 706 6.125%, 11/15/13 (B) (E) 1,725 526 Rainbow National Services 10.375%, 09/01/14 (A) 380 388 Rainbow National Services LLC 8.750%, 09/01/12 (A) 435 435
SEI Institutional Managed Trust / Annual Report / September 30, 2008 195 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- RBS Global and Rexnord 11.750%, 08/01/16 (B) $ 1,000 $ 945 9.500%, 08/01/14 840 790 8.875%, 09/01/16 2,410 2,193 Sabine Pass LNG 7.500%, 11/30/16 (A) 550 429 Sequa 11.750%, 12/01/15 (A) 975 819 St. Acquisition 12.500%, 05/15/17 (A) (B) 225 74 Stallion Oilfield Services 9.750%, 02/01/15 (A) 2,280 1,482 Standard-Pacific 7.750%, 03/15/13 575 468 7.000%, 08/15/15 (B) 150 113 Terex 8.000%, 11/15/17 7,210 6,560 Thermadyne Holdings 9.500%, 02/01/14 710 675 Titan International 8.000%, 01/15/12 3,100 3,007 TransDigm 7.750%, 07/15/14 1,775 1,669 UCI Holdings 11.789%, 12/15/13 (C) 998 759 United Air Lines 9.125%, 01/15/12 (E) 1,075 -- United Air Lines, Ser 95A1 9.560%, 10/19/18 624 188 9.020%, 04/19/12 398 119 United Air Lines, Ser A 10.670%, 05/01/04 (E) 525 -- Vanguard Health Holding I 12.027%, 10/01/15 (D) 600 519 Vought Aircraft Industries 8.000%, 07/15/11 2,600 2,261 8.000%, 07/15/11 735 639 --------------- 76,186 --------------- INFORMATION TECHNOLOGY -- 4.4% Activant Solutions 9.500%, 05/01/16 1,500 1,110 Advanced Micro Devices 7.750%, 11/01/12 (B) 1,642 1,264 Amkor Technology 9.250%, 06/01/16 75 63 7.125%, 03/15/11 2,400 2,160 Compucom Systems 12.500%, 10/01/15 (A) 900 801 First Data 9.875%, 09/24/15 (A) 2,215 1,738
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Flextronics International 6.500%, 05/15/13 $ 1,300 $ 1,154 6.250%, 11/15/14 1,250 1,056 Freescale Semiconductor 10.125%, 12/15/16 (B) 100 64 8.875%, 12/15/14 2,290 1,580 6.694%, 12/15/08 (C) 275 184 Freescale Semiconductor PIK 9.125%, 12/15/14 5,830 3,673 Innophos 8.875%, 08/15/14 440 440 Iron Mountain 8.750%, 07/15/18 70 71 8.625%, 04/01/13 1,297 1,278 8.000%, 06/15/20 1,205 1,157 7.750%, 01/15/15 140 139 6.625%, 01/01/16 (B) 2,720 2,556 Lender Processing Services 8.125%, 07/01/16 (A) 175 171 MagnaChip Semiconductor 6.875%, 12/15/11 (B) 450 158 Nortel Networks 10.750%, 07/15/16 153 94 10.750%, 07/15/16 (A) 1,285 787 10.125%, 07/15/13 350 223 NXP Funding LLC 9.500%, 10/15/15 (B) 4,959 2,554 7.875%, 10/15/14 1,850 1,240 Open Solutions 9.750%, 02/01/15 (A) 4,295 2,792 Sanmina-SCI 5.569%, 12/15/08 (A) (C) 1,250 1,088 5.569%, 12/15/08 (A) (C) 1,699 1,597 Sensata Technologies 8.000%, 05/01/14 3,715 3,139 Smart Modular Technologies 9.383%, 01/01/09 (C) 1,670 1,670 Sungard Data Systems 10.250%, 08/15/15 7,454 6,465 9.125%, 08/15/13 953 858 3.750%, 01/15/09 3,250 3,209 Travelport 9.875%, 09/01/14 400 326 --------------- 46,859 --------------- MATERIALS -- 8.0% Abitibi-Consolidated 8.850%, 08/01/30 125 30 8.550%, 08/01/10 2,450 931 Abitibi-Consolidated of Canada 6.000%, 06/20/13 1,275 338 AK Steel 7.750%, 06/15/12 3,300 3,168
SEI Institutional Managed Trust / Annual Report / September 30, 2008 196
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Altos Hornos de Mexico, Ser A 11.375%, 04/30/02 (E) $ 500 $ 164 Altos Hornos de Mexico, Ser B 11.875%, 04/30/04 (E) 900 295 Appleton Papers 9.750%, 06/15/14 1,050 806 8.125%, 06/15/11 175 154 Basell AF SCA 8.375%, 08/15/15 (A) (B) 1,225 576 Bowater 9.500%, 10/15/12 500 193 Bowater Canada Finance 7.950%, 11/15/11 300 138 BWAY 10.000%, 10/15/10 934 906 California Steel Industries 6.125%, 03/15/14 185 151 Cascades 7.250%, 02/15/13 655 511 Catalyst Paper 8.625%, 06/15/11 1,108 875 7.375%, 03/01/14 455 309 Crown Americas 7.750%, 11/15/15 864 842 Crown Cork & Seal 8.000%, 04/15/23 1,475 1,239 Domtar 9.500%, 08/01/16 (B) 275 270 7.125%, 08/15/15 2,025 1,863 Evraz Group 9.500%, 04/24/18 (A) (B) 2,675 1,926 8.875%, 04/24/13 (A) 1,425 1,083 FMG Finance 10.625%, 09/01/16 (A) (B) 1,860 1,823 Freeport-McMoRan Copper & Gold 8.375%, 04/01/17 4,950 4,875 8.250%, 04/01/15 1,785 1,754 7.084%, 04/01/09 (C) 1,200 1,149 Georgia Gulf 9.500%, 10/15/14 275 169 7.125%, 12/15/13 150 90 Georgia-Pacific LLC 8.125%, 05/15/11 (B) 565 559 8.000%, 01/15/24 (B) 1,500 1,320 7.700%, 06/15/15 (B) 2,020 1,848 7.125%, 01/15/17 (A) 1,360 1,214 7.000%, 01/15/15 (A) 3,485 3,171 Glatfelter 7.125%, 05/01/16 1,705 1,645 Graham Packaging 9.875%, 10/15/14 (B) 3,753 3,264 8.500%, 10/15/12 330 305
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Graphic Packaging International 9.500%, 08/15/13 $ 905 $ 819 Huntsman International 7.875%, 11/15/14 (B) 1,355 1,165 Huntsman LLC 11.500%, 07/15/12 905 923 Ineos Group Holdings PLC 8.500%, 02/15/16 (A) 3,000 1,620 Innophos Holdings 9.500%, 04/15/12 (A) 725 732 Intertape Polymer US 8.500%, 08/01/14 800 674 Jefferson Smurfit US 8.250%, 10/01/12 175 146 MacDermid 9.500%, 04/15/17 (A) 1,725 1,449 Methanex 6.000%, 08/15/15 175 154 Millar Western Forest Products 7.750%, 11/15/13 605 345 Millennium America 7.625%, 11/15/26 175 70 Momentive Performance Materials 11.500%, 12/01/16 (B) 875 595 9.750%, 12/01/14 670 529 Mosaic 7.625%, 12/01/16 (A) (B) 2,550 2,605 7.375%, 12/01/14 (A) 650 673 Mosaic Global Holdings 7.300%, 01/15/28 350 342 Nalco 8.875%, 11/15/13 1,265 1,262 7.750%, 11/15/11 (B) 1,455 1,426 Newark Group 9.750%, 03/15/14 825 289 NewPage 10.000%, 05/01/12 1,195 1,070 Noranda Aluminium Acquisition PIK 6.828%, 11/15/08 (C) 2,965 2,253 Noranda Aluminium Holdings PIK 8.578%, 11/17/08 (C) 925 611 Owens Brockway Glass Container 8.250%, 05/15/13 305 303 6.750%, 12/01/14 1,045 993 Packaging Dynamics Finance 10.000%, 05/01/16 (A) 2,495 1,622 PolyOne 8.875%, 05/01/12 (B) 2,990 2,841 Reichhold Industries 9.000%, 08/15/14 (A) 1,969 1,890 Rock-Tenn 9.250%, 03/15/16 (A) 150 152 5.625%, 03/15/13 2,200 2,024
SEI Institutional Managed Trust / Annual Report / September 30, 2008 197 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Rockwood Specialties Group 7.500%, 11/15/14 (B) $ 1,270 $ 1,207 Ryerson 12.000%, 11/01/15 (A) 720 616 10.176%, 11/01/08 (A) (C) 125 102 Sappi Papier Holding 6.750%, 06/15/12 (A) 700 553 Smurfit-Stone Container Enterprises 8.375%, 07/01/12 (B) 2,645 2,222 Solutia 0.000%, 10/15/08 (B) 450 -- Steel Capital for OAO Severstal 9.750%, 07/29/13 (A) 245 201 Steel Dynamics 7.750%, 04/15/16 (A) 1,930 1,718 7.375%, 11/01/12 2,410 2,205 Stone Container Enterprises 8.000%, 03/15/17 (B) 950 741 Terra Capital, Ser B 7.000%, 02/01/17 1,870 1,777 Tube City IMS 9.750%, 02/01/15 800 712 United States Steel 6.650%, 06/01/37 150 112 Vedanta Resources 9.500%, 07/18/18 (A) 1,700 1,443 Verso Paper Holdings and Verson Paper 11.375%, 08/01/16 300 243 Vitro 11.750%, 11/01/13 780 671 9.125%, 02/01/17 3,585 2,330 --------------- 86,384 --------------- TELECOMMUNICATION SERVICES -- 7.9% American Tower 7.500%, 05/01/12 50 49 Centennial Cellular Operating 10.125%, 06/15/13 300 297 Centennial Communications 9.633%, 01/01/09 (C) 425 387 8.125%, 02/01/14 (B) 575 569 Cincinnati Bell 7.250%, 07/15/13 1,770 1,593 7.000%, 02/15/15 495 416 Citizens Communications 9.250%, 05/15/11 970 970 7.125%, 03/15/19 1,010 803 6.625%, 03/15/15 1,480 1,228 Cricket Communications 10.000%, 07/15/15 (A) 375 358 9.375%, 11/01/14 4,755 4,422 9.375%, 11/01/14 1,385 1,288
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Digicel Group 9.250%, 09/01/12 (A) $ 2,290 $ 2,267 9.125%, 01/15/15 (A) 571 480 8.875%, 01/15/15 (A) (B) 2,730 2,293 Fairpoint Communications 13.125%, 04/01/18 (A) 1,930 1,756 GCI 7.250%, 02/15/14 1,525 1,327 Hawaiian Telcom Communications, Ser B 9.750%, 05/01/13 (B) 550 110 Inmarsat Finance 10.375%, 11/15/08 (D) 1,235 1,216 Intelsat 9.250%, 06/15/16 (A) 150 138 7.625%, 04/15/12 100 76 6.500%, 11/01/13 1,875 1,200 Intelsat Bermuda 11.250%, 06/15/16 3,785 3,681 Intelsat Jackson Holdings 9.500%, 06/15/16 (A) 690 642 Intelsat Subsidiary Holding 8.875%, 01/15/15 (A) 3,165 2,896 8.500%, 01/15/13 (A) 2,050 1,896 iPCS 4.926%, 11/03/08 (C) 1,335 1,088 iPCS PIK 6.051%, 11/03/08 (C) 2,590 2,020 Level 3 Financing 9.250%, 11/01/14 1,405 1,061 8.750%, 02/15/17 825 598 6.845%, 02/17/09 (C) 125 84 Local Insight Regatta Holdings 11.000%, 12/01/17 (A) 1,000 560 Lucent Technologies 6.450%, 03/15/29 525 320 MetroPCS Wireless 9.250%, 11/01/14 5,945 5,558 Nextel Communications 6.875%, 10/31/13 575 391 Nordic Telephone Holdings 8.875%, 05/01/16 (A) 3,495 3,180 Orascom Telecom Finance 7.875%, 02/08/14 (A) (B) 2,000 1,750 PAETEC Holding 9.500%, 07/15/15 2,805 1,921 Primus Telecommunications 8.000%, 01/15/14 (B) 1,650 512 Qwest 7.500%, 10/01/14 380 329 7.250%, 10/15/35 1,200 852 7.250%, 09/15/25 350 261 6.875%, 09/15/33 225 151
SEI Institutional Managed Trust / Annual Report / September 30, 2008 198
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Qwest Capital Funding 7.250%, 02/15/11 $ 680 $ 636 Qwest Communications International 7.250%, 02/15/11 3,005 2,847 6.304%, 11/15/08 (C) 3,798 3,750 Qwest Communications International, Ser B 7.500%, 02/15/14 1,120 969 Rogers Wireless 8.000%, 12/15/12 50 50 Sprint Capital 8.750%, 03/15/32 1,490 1,162 8.375%, 03/15/12 1,020 918 7.625%, 01/30/11 600 546 6.900%, 05/01/19 4,575 3,546 6.875%, 11/15/28 300 201 Sprint Nextel 6.000%, 12/01/16 1,900 1,463 Telcordia Technologies 10.000%, 03/15/13 (A) 1,525 1,228 Time Warner Telecom Holdings 9.250%, 02/15/14 375 347 VIP Finance Ireland for Vimpel Communications 9.125%, 04/30/18 (A) 905 703 Virgin Media Finance PLC 8.750%, 04/15/14 840 706 West 11.000%, 10/15/16 (B) 1,275 918 9.500%, 10/15/14 3,215 2,459 Wind Acquisition Finance 10.750%, 12/01/15 (A) 3,925 3,847 Windstream 8.625%, 08/01/16 3,875 3,594 8.625%, 08/01/16 (B) 225 209 8.125%, 08/01/13 950 903 7.000%, 03/15/19 1,775 1,420 --------------- 85,416 --------------- UTILITIES -- 3.4% AES 8.875%, 02/15/11 1,400 1,379 8.750%, 05/15/13 (A) 128 129 8.000%, 06/01/20 (A) 2,320 2,030 8.000%, 10/15/17 3,150 2,843 7.750%, 03/01/14 150 140 Calpine Generating 14.320%, 10/01/07 (C) (E) 1,600 320 Dynegy Holdings 6.875%, 04/01/11 200 182 Edison Mission Energy 7.625%, 05/15/27 385 312 7.500%, 06/15/13 605 581 7.000%, 05/15/17 (B) 2,020 1,818
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Elwood Energy 8.159%, 07/05/26 $ 475 $ 435 Energy Future Holdings 10.875%, 11/01/17 (A) 2,660 2,401 Ipalco Enterprises 7.250%, 04/01/16 (A) 250 239 Mirant 0.000%, 07/15/09 50 1 0.000%, 07/15/04 (B) 450 5 Mirant Americas Generation LLC 8.500%, 10/01/21 2,397 1,858 8.300%, 05/01/11 605 582 Mirant North America LLC 7.375%, 12/31/13 3,180 2,989 NRG Energy 7.375%, 02/01/16 1,655 1,490 7.375%, 01/15/17 4,475 4,071 7.250%, 02/01/14 2,395 2,221 Orion Power Holdings 12.000%, 05/01/10 540 524 PNM Resources 9.250%, 05/15/15 375 369 Public Service of New Mexico 7.950%, 05/15/18 2,900 2,737 Sierra Pacific Resources 7.803%, 06/15/12 775 783 Tenaska Alabama Partners 7.000%, 06/30/21 (A) 327 295 Texas Competitive Electric Holdings 10.250%, 11/01/15 (A) 840 758 10.250%, 11/01/15 (A) 225 203 10.250%, 11/01/15 (A) 6,020 5,432 --------------- 37,127 --------------- Total Corporate Obligations (Cost $1,027,080) ($ Thousands) 863,925 --------------- LOAN PARTICIPATIONS -- 9.1% Advansta Communications, 2nd Lien 8.762%, 11/30/14 1,250 761 Aeroflex, Term Loan B-1 6.063%, 08/16/14 645 555 Affinion Holding PIK 9.367%, 03/01/12 (C) 2,800 2,240 Affinion Holding 9.367%, 03/01/12 (C) 1,900 1,520 Alliant Insurance Services, Term Loan B 5.801%, 08/21/14 1,241 1,067 Allison Transmission 5.332%, 08/07/14 2,206 1,824 Alltel Holdings, Term Loan B3 5.314%, 05/16/15 69 68 4.966%, 08/07/14 1,075 1,049
SEI Institutional Managed Trust / Annual Report / September 30, 2008 199 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Concluded) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Asurion, 2nd Lien 8.989%, 07/07/15 (C) $ 866 $ 776 8.988%, 07/02/15 (C) (F) 1,075 964 8.988%, 07/07/15 500 448 8.987%, 07/07/15 (C) 106 95 8.986%, 07/07/15 (C) 528 473 Asurion, Term Loan B 5.798%, 07/07/14 1,000 872 5.621%, 07/02/14 (C) 550 479 BOC Edwards 8.560%, 11/30/14 175 109 4.810%, 11/30/14 (F) 747 644 Boise Paper 11.000%, 02/22/15 800 720 Boston Generating 9.801%, 12/21/16 180 130 Boston Generating, 2nd Lien 7.051%, 06/21/14 700 533 CCFC 9.762%, 08/26/09 2,036 2,020 Cebridge, 2nd Lien, PIK 8.801%, 05/05/14 1,323 1,069 1.075%, 05/05/14 243 196 Central Parking 7.250%, 05/22/14 (C) 224 191 7.215%, 05/22/14 (C) 566 482 5.317%, 05/22/14 (C) 569 483 4.946%, 05/22/14 (C) 896 761 Central Parking (Synthetic) 4.946%, 05/22/14 (C) 846 719 Century Cable, Term Loan B (Escrow Security) 10.250%, 06/30/09 3 -- Cequel Communications, PIK 8.801%, 05/05/14 (C) 665 538 Community Health Systems 6.539%, 07/25/14 (C) 3 3 Cooper Standard, Term Loan D 5.312%, 02/28/10 2,194 1,865 DAE Aviation Holdings, Term Loan B1 8.039%, 09/27/14 (C) 194 179 DAE Aviation Holdings, Term Loan B1 6.519%, 09/27/14 166 152 DAE Aviation Holdings, Term Loan B2 8.039%, 09/27/14 (C) 285 263 DAE Aviation Holdings, Term Loan B2 8.039%, 09/27/14 (C) 72 66 Delta, 2nd Lien 5.719%, 04/30/14 223 155 DirecTV 0.000%, 04/13/13 (F) 2,294 2,179 Dresser, 1st Lien 5.096%, 05/04/14 461 402
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Dresser, 2nd Lien 8.557%, 05/04/15 $ 3,145 $ 2,948 Entegra PIK 8.801%, 04/04/15 256 165 Entegra, 3rd Lien PIK 8.801%, 04/19/15 1,706 1,098 First Data 5.946%, 09/24/14 1,444 1,233 5.926%, 09/24/14 293 250 5.922%, 09/24/14 274 235 5.551%, 09/24/14 106 88 5.244%, 09/24/14 1,171 1,000 Ford Motor 7.039%, 12/16/13 (C) 385 254 7.039%, 12/16/13 (C) 245 162 Ford, 1st Lien 5.800%, 12/12/13 500 330 5.460%, 12/12/13 21 14 General Motors 6.664%, 12/15/13 (C) 445 286 Georgia Pacific 4.466%, 02/14/13 355 310 5.064%, 12/20/10 1,800 1,668 Georgia Pacific, Term Loan B 4.431%, 02/14/13 951 830 Green Valley Ranch Gaming, 2nd Lien 6.959%, 08/06/14 2,000 985 Greek Town Casino 1.000%, 12/03/12 225 196 0.972%, 12/03/12 225 196 Hexion Specialty Chemicals, Term Loan C1 5.063%, 05/05/13 (C) 2,515 1,886 Hexion Specialty Chemicals, Term Loan C2 6.063%, 05/05/13 469 352 Iasis Health Care 8.043%, 06/15/14 2,258 1,919 Intelsat Bermuda 5.200%, 02/01/14 (C) 2,100 1,701 JG Wentworth, 1st Lien 5.056%, 04/04/14 1,025 707 KAR Holdings 5.060%, 10/18/13 1,204 995 Language Line, Term Loan B 7.539%, 05/14/11 (C) 1,868 1,756 Lyondell Chemical 8.039%, 12/20/14 (C) 400 280 Lyondell Chemical, Term Loan B 8.039%, 12/20/14 (C) 798 558 8.039%, 12/20/14 (C) 450 314 7.000%, 12/20/14 5,467 3,855 Marvell Technology Group 4.969%, 11/08/09 (C) 2,475 2,456 4.969%, 11/08/09 (C) 400 397
SEI Institutional Managed Trust / Annual Report / September 30, 2008 200
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- McKechnie Aerospace 7.470%, 05/11/15 $ 700 $ 526 4.470%, 05/11/14 545 486 Metroflag, 2nd Lien 11.472%, 01/06/09 300 213 Murray, 2nd Lien 11.310%, 01/31/11 2,011 1,891 News Day 9.750%, 07/29/13 (F) 875 851 Nielsen Finance (VNU) 4.803%, 08/09/13 (F) 249 219 Nielsen Finance LLC 4.803%, 08/09/13 27 21 NRG Energy 6.039%, 06/02/13 (C) 1,346 1,179 6.039%, 06/02/13 (C) 450 394 Orbitz Worldwide 6.789%, 07/01/14 (C) 2,447 1,776 6.789%, 07/01/14 (C) 450 327 5.941%, 07/01/14 1,994 1,447 Penhall 10.132%, 03/28/12 709 425 Pinnacle Foods, Term Loan B 5.440%, 04/02/14 841 695 ProQuest, 2nd Lien 8.405%, 02/09/15 1,200 1,146 Resolute, 2nd Lien 7.300%, 06/27/13 1,500 1,305 Rexnord, Term Loan B 9.676%, 02/20/13 2,265 2,094 Reynolds & Reynolds, 3rd Lien 12.342%, 04/01/14 (C) 1,200 1,050 10.301%, 04/24/14 (C) 1,200 1,051 10.301%, 04/01/14 (C) 1,300 1,138 10.301%, 04/01/14 1,300 1,138 Royalty Pharmaceuticals 2.804%, 05/15/15 1,175 1,093 Simmons 8.345%, 02/15/12 2,645 1,058 Sorenson Communications, 2nd Lien 11.289%, 02/16/14 (C) 2,650 2,498 9.810%, 02/16/14 1,250 1,178 Talecris 9.310%, 12/06/14 410 396 TD Ameritrade Holding 3.470%, 12/31/11 1,650 1,485 5.789%, 12/31/12 (C) 1,800 1,676 Texas Competitive Electric 6.271%, 10/27/14 742 626 6.236%, 10/10/14 1,246 1,048 6.234%, 10/10/14 822 692
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- Town Sports International 4.370%, 02/27/14 $ 247 $ 196 Tribune 0.000%, 06/04/14 (F) 195 459 Tropicana Entertainment 8.250%, 12/31/11 1,421 980 TXU, Term Loan B-14 7.289%, 10/10/14 (C) 950 799 6.221%, 10/10/14 2,050 1,725 Venoco 6.812%, 05/07/14 375 349 Verint Systems 5.736%, 05/09/14 1,877 1,539 Wind Acquisition Holdings 13.061%, 12/21/11 1,167 1,027 10.035%, 12/12/11 2,852 2,509 New World Gaming 8.283%, 05/18/15 1,225 898 --------------- Total Loan Participations (Cost $115,956) ($ Thousands) 98,077 --------------- COLLATERALIZED DEBT OBLIGATIONS -- 5.7% ACAS Business Loan Trust 2004-1, Cl A 3.207%, 11/17/08 (A) (C) 6,417 4,636 ARES CLO, Ser 2006-1A, Cl SUB 0.000%, 02/24/18 (A) 7,000 2,730 ARES CLO, Ser 2007-11A, Cl SUB 0.000%, 10/11/21 (A) 2,400 1,200 ARES CLO, Ser 2007-1A, Cl SUB 0.000%, 04/16/21 (A) 3,800 1,786 Babson CLO, Ser 2004-II, Cl SUB 0.000%, 11/15/16 (A) 1,700 459 Babson CLO, Ser 2007-2A, Cl INC 0.000%, 04/15/21 (A) 2,500 798 Babson CLO, Ser 2007-2A, Cl D 4.491%, 10/15/08 (A) (C) 900 346 Battalion CLO, Ser 2007-1A, Cl E 7.038%, 10/14/08 (A) (C) 2,300 1,139 Battalion CLO, Ser 2007-I, Cl SUB 0.000%, 07/14/22 (A) 1,750 805 Capitalsource Advisors, Ser 2006-1A, Cl SUB 0.000%, 08/27/20 (A) 3,200 1,120 Carlyle High Yield Partners CLO, Ser 2006-8A, Cl N 0.000%, 05/21/21 3,700 1,110 CIFC Funding, Ser 2007-2A 0.000%, 04/15/21 (A) 2,700 1,080 CIFC Funding, Ser 2007-IV 0.000%, 12/19/07 1,000 646 CIT CLO, Ser 2007-1A, Cl E 8.204%, 12/22/08 (C) 1,900 609
SEI Institutional Managed Trust / Annual Report / September 30, 2008 201 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Concluded) September 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - --------------------------------------------------------- --------------- --------------- CIT CLO, Ser 2007-1A, Cl D 5.204%, 12/22/08 (A) (C) $ 2,800 $ 890 Commercial Industrial Finance, Cl A2L 3.624%, 12/22/08 (A) (C) 5,000 2,572 Commercial Industrial Finance, Cl A1L 3.070%, 12/01/08 (A) (C) 7,500 5,738 Commercial Industrial Finance, Ser 2006-1BA 4.034%, 12/22/08 (A) (C) 3,150 1,274 Commercial Industrial Finance, Ser 2007-1A, Cl A1LB 3.143%, 11/10/08 (A) (C) 3,000 1,666 Commercial Industrial Finance, Ser 2007-3A, Cl B 4.045%, 10/27/08 (A) (C) 2,500 957 Connecticut Valley Structured Credit CDO, Ser 2006-3A, Cl NOTE 0.000%, 03/23/23 (A) 2,200 374 Copper River CLO, Ser 2006-1A, Cl INC 0.000%, 01/20/21 (A) 3,000 1,202 De Meer Middle Market CLO, Ser 2006-1A, Cl INC 0.000%, 10/20/18 (A) 3,366 1,640 De Meer Middle Market CLO, Ser 2006-1A, Cl B 3.186%, 10/20/08 (A) (C) 1,029 725 Denali Capital CLO VII, Ser 2007-1A, Cl INC 0.000%, 01/22/22 (A) 2,200 726 Duane Street CLO, Ser 2007-5A, Cl SN 0.000%, 10/14/21 (A) 3,300 1,425 Gale Force CLO, Ser 2007-4A, Cl E 9.210%, 11/20/08 (C) 1,100 494 Gale Force CLO, Ser 2008-4A, Cl INC 2.810%, 11/20/08 (C) 1,500 627 Gleneagles CLO, Ser AI 0.000%, 11/01/08 (C) 8,500 2,925 GoldenTree Loan Opportunities III, Ser 2007-3A, Cl SUB 0.000%, 05/01/22 (A) 3,400 1,462 ING Investment Management CLO I 0.000%, 12/01/17 (A) (C) 12,500 2,688 ING Investment Management CLO II 0.000%, 08/01/20 (A) (C) 5,600 1,120 Lightpoint CLO, Ser 2006-4A, Cl INC 0.000%, 04/15/18 (A) 2,500 376 Marathon CLO, Ser 2005-2A, Cl B 4.004%, 12/22/08 (A) (C) 1,200 864 Marathon CLO, Ser 2005-2A, Cl INC 0.000%, 12/20/19 (A) 3,000 1,260
Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------- --------------- --------------- Marlborough Street CLO, Ser 2007-1A, Cl INC 0.000%, 04/18/19 (A) $ 2,400 $ 920 Peritus I CDO, Ser 2005-1A, Cl C 9.000%, 05/24/15 (A) 13,171 6,454 Sands Point Funding, Ser 2006-1A, Cl C 3.585%, 10/20/08 (A) (C) 640 351 Stanfield Bristol CLO, Ser 2005-1A, Cl SUB 0.000%, 10/15/19 (A) 6,300 1,890 Stanfield Daytona CLO 0.000%, 04/27/21 3,200 1,056 Stanfield Veyron CLO, Ser 2006-1A, Cl SUB 0.000%, 07/15/18 2,300 449 Tralee CDO, Ser 2007-1A, Cl SUB 0.000%, 04/16/22 (A) 2,700 1,134 --------------- 61,723 --------------- Total Collateralized Debt Obligations (Cost $109,137) ($ Thousands) 61,723 --------------- PREFERRED STOCK -- 0.4% CIFC Funding, Ser 2006-I, Cl I 0.000%, 10/20/20 (A) (C) 2,300 852 CIFC Funding, Ser 2006-II 0.000%, 03/01/21 (A) (C) 3,000 1,080 Peritus I CDO 0.000%, 12/19/17 3,750 188 Rockwall Investors 0.000%, 08/01/21 (A) (C) 4,000 1,480 Whitehorse II 0.000%, 0315/2013 (A) (C) 3,000 780 --------------- Total Preferred Stock (Cost $8,451) ($ Thousands) 4,380 --------------- CONVERTIBLE BONDS -- 0.1% Flextronics International CV to 64.4122 1.000%, 08/01/10 905 792 Freeport-McMoRan Copper & Gold 6.750%, 05/01/10 6 488 Mirant 0.000%, 07/15/07 1,150 2 Mirant CV to 14.7167 0.000%, 06/15/21 (B) 2,200 4 --------------- Total Convertible Bonds (Cost $1,807) ($ Thousands) 1,286 ---------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 202
Market Value Description Shares ($ Thousands) - --------------------------------------------------------- --------------- --------------- COMMON STOCK -- 0.3% Armstrong World Industries (B) 6,237 $ 180 Core-Mark Holding* (B) 13,788 345 Dana, Ser B* 548 345 Dana Holding* (B) 53,322 258 Federal Mogul, Cl A* 34,017 427 Huntsman 8,061 102 Mirant* (B) 4,276 79 Northwest Airlines* 2,451 22 Owens Corning* 24,229 580 Shreveport Gaming Holdings 13,948 251 Solutia* (B) 26,089 365 Winn-Dixie Stores* (B) 8,445 118 --------------- Total Common Stock (Cost $4,015) ($ Thousands) 3,072 --------------- Number of Warrants --------------- WARRANT -- 0.0% Grande Communications, Expires 04/01/11* 850 8 --------------- Total Warrant (Cost $8) ($ Thousands) 8 --------------- AFFILIATED PARTNERSHIP -- 12.1% SEI Liquidity Fund, L.P., 2.590%** + (G) 131,993,530 129,893 --------------- Total Affiliated Partnership (Cost $131,994) ($ Thousands) 129,893 --------------- CASH EQUIVALENT -- 3.6% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 2.350%**+ 38,443,439 38,443 --------------- Total Cash Equivalent (Cost $38,443) ($ Thousands) 38,443 --------------- Total Investments -- 111.6% (Cost $1,436,891) ($ Thousands) $ 1,200,807 ===============
Description - --------------------------------------------------------- Percentages are based on Net Assets of $1,076,426 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2008. + Investment in Affiliated Security (see Note 3). ++ Real Estate Investment Trust (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) This security or a partial position of this security is on loan at September 30, 2008. The total market value of securities on loan at September 30, 2008 was $120,609 ($ Thousands). (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2008. The date reported on the Schedule of Investments is the next reset date. (D) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2008. The coupon on a step bond changes on a specified date. (E) Security in default on interest payments. (F) Unsettled bank loan. Interest rate not available. (G) This security was purchased with cash collateral held from securities on loan (see Note 7). The total market value of such securities as of September 30, 2008 was $129,893 ($ Thousands). CDO -- Collateralized Debt Obligation Cl -- Class CLO -- Collateralized Loan Obligation CMO -- Collateralized Mortgage Obligation CV -- Convertible Security FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association IO -- Interest Only. Face amount represents notional amount LLC -- Limited Liability Company L.P. -- Limited Partnership MTN -- Medium Term Note PIK -- Payment-in-Kind PLC -- Public Limited Company Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 203 Statements of Assets and Liabilities ($ Thousands) September 30, 2008
LARGE CAP LARGE CAP TAX-MANAGED VALUE FUND GROWTH FUND LARGE CAP FUND -------------------- -------------------- -------------------- ASSETS: Investments at value+ $ 2,353,033* $ 2,458,245* $ 2,114,419* Affiliated investment, at value++ 419,566 270,731 331,819 Cash 47 4 28 Foreign currency, at value+++ -- -- -- Restricted cash held for securities sold short -- -- -- Receivable for investment securities sold 33,400 17,521 19,048 Receivable for fund shares sold 2,364 2,791 2,704 Dividends and interest receivable 4,653 2,565 3,012 Receivable for variation margin 1,301 1,259 32,939 Unrealized gain on foreign spot currency contracts -- -- -- Receivable for shareholder servicing fees Class A -- -- -- Prepaid expenses 22 13 16 -------------------- -------------------- -------------------- Total Assets 2,814,386 2,753,129 2,503,985 -------------------- -------------------- -------------------- LIABILITIES: Payable upon return on securities loaned 381,978 238,690 302,154 Payable for securities sold short++++ -- -- -- Payable for investment securities purchased 29,814 23,014 12,505 Payable for fund shares redeemed 8,730 9,605 3,759 Payable to custodian -- -- -- Payable for variation margin -- -- 31,630 Margin call -- -- -- Administration fees payable 730 779 664 Investment advisory fees payable 602 787 624 Shareholder servicing fees payable Class A 517 351 352 Shareholder servicing fees payable Class E -- -- -- Shareholder servicing fees payable Class I 2 2 -- Chief Compliance Officer fees payable 8 8 7 Overdraft of foreign currency, at value+++ -- -- -- Administration servicing fees payable Class I 2 1 -- Swap contracts, at value+++++ -- -- -- Accrued expense payable 131 145 121 -------------------- -------------------- -------------------- Total Liabilities 422,514 273,382 351,816 -------------------- -------------------- -------------------- Net Assets $ 2,391,872 $ 2,479,747 $ 2,152,169 -------------------- -------------------- -------------------- + Cost of investments 2,462,669 2,443,524 2,085,569 ++ Cost of affiliated investments 425,333 274,605 336,406 +++ Cost of foreign currency -- -- -- ++++ Proceeds from securities sold short -- -- -- +++++ Premiums received/(paid) -- -- -- * Includes market value of securities on loan 395,738 244,955 315,154 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 2,579,688 $ 3,570,522 $ 2,434,852 Undistributed (distributions in excess of) net investment income 13,493 2,427 6,493 Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swap contracts and foreign currency (85,394) (1,103,616) (312,449) Net unrealized appreciation (depreciation) on investments, affiliated investments, securities sold short and option contracts (115,403) 10,847 24,263 Net unrealized depreciation on futures contracts (512) (433) (990) Net unrealized depreciation on swap contracts -- -- -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- -- -------------------- -------------------- -------------------- Net Assets $ 2,391,872 $ 2,479,747 $ 2,152,169 -------------------- -------------------- -------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 15.79 $ 18.39 $ 11.08 ($2,381,010,831 / ($2,472,051,781 / ($2,148,949,299 / 150,766,606 shares) 134,423,069 shares) 193,938,870 shares) -------------------- -------------------- -------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class E N/A N/A N/A -------------------- -------------------- -------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 15.78 $ 18.20 N/A ($10,861,400 / ($7,695,327 / 688,187 shares) 422,846 shares) -------------------- -------------------- -------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A N/A $ 11.24 ($3,219,764 / 286,477 shares) -------------------- -------------------- --------------------
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 204
LARGE CAP DIVERSIFIED S&P 500 SMALL CAP SMALL CAP TAX-MANAGED ALPHA FUND INDEX FUND VALUE FUND GROWTH FUND SMALL CAP FUND - --------------------- ------------------ ------------------- ------------------ ------------------ $ 1,419,615 $ 1,258,721* $ 837,692* $ 633,112* $ 312,880* 71,010 170,898 297,330 219,684 23,791 -- 7 -- 115 3 -- -- 18 -- -- 1,862 -- -- -- -- 81,775 3,453 6,690 8,628 4,225 19,249 4,580 654 981 305 2,171 1,911 1,317 414 321 10,190 889 973 363 301 -- -- -- 3 -- -- 16 -- -- -- 10 112 -- 5 2 - -------------------- ------------------ ------------------- ------------------ ------------------ 1,605,882 1,440,587 1,144,674 863,305 341,828 - -------------------- ------------------ ------------------- ------------------ ------------------ -- 160,666 275,446 209,560 18,232 172,475 -- -- -- -- 173,874 2,349 9,713 8,619 3,593 606 3,119 3,644 2,772 1,142 1,503 -- 89 -- -- 684 -- -- -- -- 2,050 -- -- -- -- 381 231 262 206 100 430 33 481 372 147 193 -- 88 111 71 -- 52 -- -- -- -- 1 2 1 -- 4 8 3 2 1 17 -- -- -- -- -- 1 2 1 -- 2,889 -- -- -- -- 72 76 57 36 22 - -------------------- ------------------ ------------------- ------------------ ------------------ 355,178 166,536 289,787 221,680 23,308 - -------------------- ------------------ ------------------- ------------------ ------------------ $ 1,250,704 $ 1,274,051 $ 854,887 $ 641,625 $ 318,520 - -------------------- ------------------ ------------------- ------------------ ------------------ 1,588,609 724,826 866,581 742,998 332,223 71,010 173,798 301,707 223,030 24,017 19 -- 17 -- -- (207,537) -- -- -- -- 612 -- -- -- -- -- 164,681 273,301 204,338 18,009 $ 1,588,027 $ 739,512 $ 929,123 $ 862,642 $ 353,750 2,555 6,651 1,491 (992) 401 (188,737) (1,441) (41,686) (106,518) (15,847) (133,932) 530,995 (33,266) (113,232) (19,569) (13,709) (1,666) (775) (268) (215) (3,501) -- -- -- -- 1 -- -- (7) -- - -------------------- ------------------ ------------------- ------------------ ------------------ $ 1,250,704 $ 1,274,051 $ 854,887 $ 641,625 $ 318,520 - -------------------- ------------------ ------------------- ------------------ ------------------ $ 8.23 $ 32.43 $ 15.38 $ 13.98 $ 10.16 ($1,250,304,149 / ($462,947,498 / ($846,492,024 / ($638,256,375 / ($318,519,823 / 151,982,418 shares) 14,277,144 shares) 55,022,401 shares) 45,664,140 shares) 31,342,355 shares) - -------------------- ------------------ ------------------- ------------------ ------------------ N/A $ 32.54 N/A N/A N/A ($805,605,511 / 24,757,294 shares) - -------------------- ------------------ ------------------- ------------------ ------------------ $ 8.22 $ 32.47 $ 15.29 $ 13.71 N/A ($400,332 / ($5,498,152 / ($8,395,332 / ($3,368,358 / 48,676 shares) 169,345 shares) 549,148 shares) 245,684 shares) - -------------------- ------------------ ------------------- ------------------ ------------------ N/A N/A N/A N/A N/A - -------------------- ------------------ ------------------- ------------------ ------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 205 Statements of Assets and Liabilities ($ Thousands) September 30, 2008
SMALL/MID CAP DIVERSIFIED ALPHA MID-CAP U.S. MANAGED FUND FUND VOLATILITY FUND ------------------ ----------------- ------------------ ASSETS: Investments at value+ $ 117,080 $ 123,204* $ 448,804 Affiliated investment, at value++ 11,807 27,799 2,859 Repurchase agreement+ -- -- -- Cash -- 6 28 Foreign currency, at value+++ -- -- -- Cash collateral on futures -- -- -- Cash collateral on swaps -- -- -- Restricted cash held for securities sold short 17 -- -- Receivable for investment securities sold 8,331 487 8,646 Receivable for fund shares sold 1,006 229 3,068 Dividends and interest receivable 188 234 641 Receivable for variation margin 1,042 115 122 Receivable for unsettled foreign currency contract -- -- -- Swap contracts, at value+++++ 653 -- -- Receivable shareholder services fees Class A -- -- -- Unrealized gain on forward foreign currency contracts -- -- -- Prepaid expenses 1 -- 3 ------------------ ----------------- ------------------ Total Assets 140,125 152,074 464,171 ------------------ ----------------- ------------------ LIABILITIES: Payable upon return on securities loaned -- 25,218 -- Payable for securities sold short++++ 7,010 -- -- Payable for investment securities purchased 24,076 -- 4,278 Payable for fund shares redeemed 134 174 805 Payable to custodian 1,005 -- -- Payable for variation margin 116 -- -- Margin call 580 -- -- Administration fees payable 33 41 140 Investment advisory fees payable 57 48 158 Shareholder servicing fees payable Class A 21 22 88 Shareholder servicing fees payable Class I -- -- -- Chief Compliance Officer fees payable -- -- 2 Overdraft of foreign currency, at value+++ -- -- -- Administration servicing fees payable Class I -- -- -- Income distribution payable -- -- -- Swap contracts, at value+++++ 1,072 -- -- Options written, at value # -- -- -- Swaptions written, at value@ -- -- -- Unrealized loss on forward foreign currency contracts -- -- -- Accrued expense payable 10 10 26 ------------------ ----------------- ------------------ Total Liabilities 34,114 25,513 5,497 ------------------ ----------------- ------------------ Net Assets $ 106,011 $ 126,561 $ 458,674 ------------------ ----------------- ------------------ + Cost of investments and repurchase agreements 133,676 144,698 467,357 ++ Cost of affiliated investments 11,807 28,161 2,859 +++ Cost of foreign currency/(overdraft of foreign currency) -- -- -- ++++ Proceeds from securities sold short (8,258) -- -- +++++ Premiums received/(paid) 462 -- -- # Premiums received -- -- -- @ Premiums received -- -- -- * Includes market value of securities on loan -- 25,129 -- NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 144,141 $ 165,843 $ 487,933 Undistributed (distributions in excess of) net investment income 19 236 1,257 Accumulated net realized loss on investments, securities sold short, option contracts, futures, swap contracts, swaptions and foreign currency (20,731) (17,562) (11,912) Net unrealized depreciation on investments, affiliated investments, securities sold short and option contracts (15,348) (21,856) (18,553) Net unrealized appreciation (depreciation) on futures contracts (1,196) (100) (51) Net unrealized appreciation (depreciation) on swaps (881) -- -- Net unrealized depreciation on swaptions -- -- -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 7 -- -- ------------------ ----------------- ------------------ Net Assets $ 106,011 $ 126,561 $ 458,674 ------------------ ----------------- ------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 7.23 $ 14.87 $ 11.25 ($105,993,078 / ($126,509,478 / ($458,668,599 / 14,666,319 shares) 8,510,113 shares) 40,786,449 shares) ------------------ ----------------- ------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 7.23 $ 14.86 $ 11.24 ($17,544 / ($51,810 / ($5,692 / 2,428 shares) 3,485.4 shares) 506.5 shares) ------------------ ----------------- ------------------
Amounts designated as "--" are $0 or have been rounded to $0. (1) The Tax-Managed Managed Volatility Fund commenced operations on December 20, 2007. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 206
GLOBAL MANAGED TAX-MANAGED MANAGED REAL ESTATE ENHANCED CORE FIXED HIGH YIELD VOLATILITY FUND VOLATILITY FUND(1) FUND INCOME FUND INCOME FUND BOND FUND - ----------------- ------------------- ------------------- ----------------- -------------------- ------------------ $ 191,599 $ 88,868 $ 236,622* $ 297,313 $ 4,376,913* $ 1,032,471* 1,809 8,445 121,655 12,132 263,523 168,336 -- -- -- 14,300 29,700 -- 3,356 2 6 1,955 -- -- -- -- 26 -- -- -- -- -- -- 700 -- -- -- -- -- 211 -- -- -- -- -- -- -- -- 1,911 10 3,210 4,261 410,834 10,178 1,899 645 2,478 370 2,030 612 2,126 214 1,124 1,950 33,024 26,700 118 220 -- 585 4,171 -- 443 -- -- -- -- -- -- -- -- 110 17,846 -- -- -- -- 53 -- -- 2,006 -- -- 6,716 4,783 -- 2 -- 2 3 25 3 - ----------------- ------------------- ------------------- ----------------- -------------------- ------------------ 205,269 98,404 365,123 340,659 5,142,849 1,238,300 - ----------------- ------------------- ------------------- ----------------- -------------------- ------------------ -- -- 110,583 -- 212,704 131,994 -- -- -- -- -- -- -- 1,304 1,808 13,200 1,110,888 12,135 273 504 1,094 4,436 33,864 12,052 -- -- -- -- 22,919 4,302 59 -- -- -- 7,339 -- -- -- -- 211 1,583 -- 59 26 75 62 887 332 110 29 133 163 834 406 42 13 18 -- 385 6 -- -- -- -- 2 -- 1 -- 1 1 11 3 111 -- -- -- 1,242 -- -- -- -- -- 1 -- -- -- -- -- 797 529 -- -- -- -- 48,555 -- -- -- -- -- 3,646 -- -- -- -- -- 2,125 -- 426 -- -- 7,739 -- -- 22 5 27 36 344 115 - ----------------- ------------------- ------------------- ----------------- -------------------- ------------------ 1,103 1,881 113,739 25,848 1,448,126 161,874 - ----------------- ------------------- ------------------- ----------------- -------------------- ------------------ $ 204,166 $ 96,523 $ 251,384 $ 314,811 $ 3,694,723 $ 1,076,426 - ----------------- ------------------- ------------------- ----------------- -------------------- ------------------ 202,700 92,131 246,383 378,020 4,769,487 1,266,454 1,809 8,445 123,281 12,132 267,431 170,437 320 -- 26 -- (1,486) -- -- -- -- -- -- -- -- -- -- -- (26,734) -- -- -- -- -- (2,347) -- -- -- -- -- (719) -- -- -- 114,040 -- 187,345 120,609 $ 236,935 $ 103,166 $ 274,358 $ 412,335 $ 4,123,716 $ 1,546,482 (4,095) 369 3,186 1,684 (8,518) (15,209) (18,996) (3,631) (14,772) (31,922) (59,484) (218,763) (11,101) (3,263) (11,387) (66,407) (368,081) (236,084) (88) (118) -- 31 7,937 -- -- -- -- 110 (3,975) -- -- -- -- -- (1,406) -- 1,511 -- (1) (1,020) 4,534 -- - ----------------- ------------------- ------------------- ----------------- -------------------- ------------------ $ 204,166 $ 96,523 $ 251,384 $ 314,811 $ 3,694,723 $ 1,076,426 - ----------------- ------------------- ------------------- ----------------- -------------------- ------------------ $ 9.07 $ 9.02 $ 13.73 $ 8.21 $ 9.37 $ 6.57 ($204,155,785 / ($96,522,675 / ($251,359,210 / 314,794,468 / ($3,686,633,437 / ($1,076,379,362 / 22,519,538 shares) 10,705,851 shares) 18,307,160 shares) 38,340,532 shares) 393,580,591 shares) 163,842,146 shares) - ----------------- ------------------- ------------------- ----------------- -------------------- ------------------ $ 9.02 N/A $ 13.72 $ 8.20 $ 9.36 $ 6.58 ($9,903 / ($25,285 / ($16,206 / ($8,089,905 / ($46,745 / 1,098 shares) 1,842.3 shares) 1,976 shares) 863,968 shares) 7,104 shares) - ----------------- ------------------- ------------------- ----------------- -------------------- ------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 207 Statements of Operations ($ Thousands) For the year or period ended September 30, 2008
LARGE CAP LARGE CAP TAX-MANAGED VALUE FUND GROWTH FUND LARGE CAP FUND ---------- ----------- -------------- INVESTMENT INCOME: Dividends $ 85,513 $ 35,584 $ 48,475 Dividends from Affiliated Investments* 2,058 2,528 2,255 Interest Income 142 495 287 Securities Lending Income -- Net** 1,877 1,424 1,448 Less: Foreign Taxes Withheld (50) (63) (65) --------- --------- --------- Total Investment Income 89,540 39,968 52,400 --------- --------- --------- EXPENSES: Investment Advisory Fees 10,589 12,818 10,457 Administration Fees 10,589 11,216 9,142*** Shareholder Servicing Fees (A) 7,522 7,977 6,526 Shareholder Servicing Fees (E) -- -- -- Shareholder Servicing Fees (I) 41 34 -- Shareholder Servicing Fees (Y) -- -- 6 Trustee Fees 47 50 40 Administration Servicing Fees (I) 41 34 -- Chief Compliance Officer Fees 7 17 8 Printing Fees 172 194 155 Custodian/Wire Agent Fees 161 182 148 Professional Fees 114 144 99 Registration Fees 41 66 28 Dividend Expense on Short Sales -- -- -- Interest Expense on Short Sales -- -- -- Licensing Fees -- -- -- Other Expenses 79 86 70 --------- --------- --------- Total Expenses 29,403 32,818 26,679 --------- --------- --------- Less: Waiver of Investment Advisory Fees (1,944) (1,833) (2,216) Waiver of Shareholder Servicing Fees (A) (847) (2,657) (1,437) Waiver of Shareholder Servicing Fees (E) -- -- -- Waiver of Shareholder Servicing Fees (I) (4) (8) -- Waiver of Shareholder Servicing Fees (Y) -- -- (2) Waiver of Administration Fees -- -- -- Fees Paid Indirectly (61) (200) (116) --------- --------- --------- Net Expenses 26,547 28,120 22,908 --------- --------- --------- NET INVESTMENT INCOME 62,993 11,848 29,492 --------- --------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments (28,611) 59,301 8,953 Securities Sold Short -- -- -- Futures Contracts (13,229) (15,744) (10,809) Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency Transactions -- -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (917,633) (801,835) (708,486) Affiliated Investments (5,767) (3,874) (4,587) Securities Sold Short -- -- -- Futures Contracts (1,354) (1,406) (3,604) Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies -- -- -- --------- --------- --------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(903,601) $(751,710) $(689,041) --------- --------- ---------
Amounts designated as "--" are $0 or have been rounded to $0. * See Note 3 in Notes to Financial Statements. ** Affiliated. *** Fees relate to Class A only The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 208
LARGE CAP DIVERSIFIED S&P 500 SMALL CAP SMALL CAP TAX-MANAGED ALPHA FUND INDEX FUND VALUE FUND GROWTH FUND SMALL CAP FUND - ----------- ---------- ---------- ----------- -------------- $ 24,407 $ 31,192 $ 13,493 $ 6,648 $ 4,202 4,264 1,082 1,103 660 664 9,568 70 108 373 27 -- 847 1,755 2,615 819 (38) -- (34) -- (4) --------- --------- --------- --------- -------- 38,201 33,191 16,425 10,296 5,708 --------- --------- --------- --------- -------- 5,947 454 6,379 5,811 2,436 5,314 3,329 3,435 3,129 1,312 3,795 1,475 2,428 2,222 937 -- 2,313 -- -- -- 1 21 25 14 -- -- -- -- -- -- 23 24 15 14 6 1 21 25 14 -- 4 15 13 2 1 93 130 64 50 23 96 100 56 59 22 57 20 64 42 19 11 29 46 23 6 4,322 -- -- -- -- 1,697 -- -- -- -- -- 81 -- -- -- 49 43 35 31 21 --------- --------- --------- --------- -------- 21,410 8,055 12,585 11,411 4,783 --------- --------- --------- --------- -------- (50) -- (15) (96) (511) (916) (555) (1,265) (1,243) (18) -- (2,313) -- -- -- -- (8) (12) -- -- -- -- -- -- -- -- (399) -- -- -- -- -- (210) (133) (93) --------- --------- --------- --------- -------- 20,444 4,780 11,083 9,939 4,161 --------- --------- --------- --------- -------- 17,757 28,411 5,342 357 1,547 --------- --------- --------- --------- -------- (106,881) 21,702 (19,027) (76,610) (8,852) 26,844 -- -- -- -- (56,638) (6,679) (3,478) (225) (2,234) 7 -- -- -- -- (27,127) -- -- -- -- -- -- (11) (106) -- (316,639) (411,197) (152,450) (233,380) (88,960) -- (2,900) (4,377) (3,346) (227) 39,397 -- -- -- -- (24,211) (3,334) (1,481) (592) (670) 35 -- -- -- -- (1,055) -- -- -- -- 2 -- -- (63) -- --------- --------- --------- --------- -------- $(448,509) $(373,997) $(175,482) $(313,965) $(99,396) --------- --------- --------- --------- --------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 209 Statements of Operations ($ Thousands) For the year or period ended September 30, 2008
SMALL/MID CAP U.S. MANAGED DIVERSIFIED MID-CAP VOLATILITY ALPHA FUND FUND FUND ------------- -------- ------------ INVESTMENT INCOME: Dividends $ 1,712 $ 2,496 $ 9,049 Dividends from Affiliated Investments* 389 137 759 Interest Income 642 11 29 Securities Lending Income -- Net** -- 50 -- Less: Foreign Taxes Withheld (9) -- (71) -------- -------- -------- Total Investment Income 2,734 2,694 9,766 -------- -------- -------- EXPENSES: Investment Advisory Fees 945 675 3,440 Administration Fees 441 590 1,852 Shareholder Servicing Fees (A) 315 422 1,323 Shareholder Servicing Fees (I) -- -- -- Trustee Fees 2 3 8 Administration Servicing Fees (I) -- -- -- Chief Compliance Officer Fees -- 2 2 Dividend Expense on Short Sales 149 -- -- Interest Expense on Short Sales 130 -- -- Registration Fees 12 3 3 Printing Fees 9 11 34 Custodian/Wire Agent Fees 7 10 34 Professional Fees 6 7 22 Interest Expense -- -- -- Overdraft fees -- -- -- Other Expenses 17 8 15 -------- -------- -------- Total Expenses 2,033 1,731 6,733 -------- -------- -------- Less: Waiver of Investment Advisory Fees (184) -- (1,348) Waiver of Shareholder Servicing Fees (A) (56) (16) (93) Waiver of Shareholder Servicing Fees (E) -- -- -- Waiver of Shareholder Servicing Fees (I) -- -- -- Waiver of Administration Fees -- -- -- Fees Paid Indirectly (3) -- -- -------- -------- -------- Net Expenses 1,790 1,715 5,292 -------- -------- -------- NET INVESTMENT INCOME 944 979 4,474 -------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments (14,112) (16,211) (2,535) Securities Sold Short 1,420 -- -- Futures Contracts (4,259) (993) (2,782) Written Options (2) -- -- Swaptions -- -- -- Swap Contracts (5,659) -- -- Foreign Currency Transactions (5) -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (17,275) (28,715) (67,045) Affiliated Investments -- (362) -- Securities Sold Short 364 -- -- Futures Contracts (1,333) (170) (780) Written Options 6 -- -- Swaptions -- -- -- Swap Contracts 275 -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies 7 -- -- -------- -------- -------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(39,629) $(45,472) $(68,668) -------- -------- --------
Amounts designated as "--" are $0 or have been rounded to $0. * See Note 3 in Notes to Financial Statements. ** Affiliated. (1) The Tax-Managed Managed Volatility Fund commenced operations on December 20, 2007. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 210
GLOBAL TAX-MANAGED MANAGED MANAGED REAL VOLATILITY VOLATILITY ESTATE ENHANCED CORE FIXED HIGH YIELD FUND FUND(1) FUND INCOME FUND INCOME FUND BOND FUND - ---------- ----------- -------- ----------- ----------- ---------- $ 5,508 $ 1,142 $ 4,158 $ 38 $ 64 $ 10,917 156 127 409 770 2,978 1,843 159 7 -- 25,689 241,758 105,387 -- -- 412 -- 3,295 1,294 (363) (6) (33) (10) (40) (25) -------- ------- -------- -------- --------- --------- 5,460 1,270 4,946 26,487 248,055 119,416 -------- ------- -------- -------- --------- --------- 1,514 342 1,621 1,767 11,807 6,060 816 184 873 1,546 12,021 4,351 582 132 624 1,104 10,711 3,108 -- -- -- -- 22 -- 4 1 4 7 67 19 -- -- -- -- 22 -- 1 1 1 1 13 9 -- -- -- -- -- -- -- -- -- -- -- -- -- -- 1 3 63 39 14 4 15 26 260 86 40 5 16 29 259 75 9 3 10 16 182 75 -- -- -- -- 6 -- 28 -- -- -- -- -- 50 1 5 99 621 201 -------- ------- -------- -------- --------- --------- 3,058 673 3,170 4,598 36,054 14,023 -------- ------- -------- -------- --------- --------- (482) (140) (85) (754) (525) (797) (4) (7) (256) (1,157) (7,194) (2,317) -- -- -- -- -- -- -- -- -- -- (16) -- -- -- -- (33) -- -- -- -- (15) -- -- -- -------- ------- -------- -------- --------- --------- 2,572 526 2,814 2,654 28,319 10,909 -------- ------- -------- -------- --------- --------- 2,888 744 2,132 23,833 219,736 108,507 -------- ------- -------- -------- --------- --------- (12,397) (2,127) (4,335) (19,068) 55,438 (55,543) -- -- -- -- -- -- (2,527) (1,504) -- (6,951) 12,614 -- -- -- -- -- 7,703 -- -- -- -- -- 927 -- -- -- -- (2,754) (67,933) -- (6,086) -- (12) (4,725) (2,437) -- (25,463) (3,263) (41,450) (51,437) (356,979) (204,455) -- -- (1,626) -- (3,909) (2,101) -- -- -- -- -- -- (351) (118) -- 140 3,369 -- -- -- -- -- (1,422) -- -- -- -- -- (756) -- -- -- -- 1,419 5,880 -- 1,989 -- (2) 1,116 4,541 -- -------- ------- -------- -------- --------- --------- $(41,947) $(6,268) $(45,293) $(58,427) $(123,228) $(153,592) -------- ------- -------- -------- --------- ---------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 211 Statements of Changes in Net Assets ($ Thousands) For the years or period ended September 30,
LARGE CAP LARGE CAP TAX-MANAGED VALUE FUND GROWTH FUND LARGE CAP FUND ------------------------- ------------------------ ------------------------ 2008 2007 2008 2007 2008 2007 ----------- ----------- ----------- ---------- ---------- ----------- OPERATIONS: Net Investment Income (Loss) $ 62,993 $ 65,244 $ 11,848 $ 9,091 $ 29,492 $ 27,256 Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (41,840) 387,608 43,557 235,321 (1,856) 135,641 Net Realized Loss on Foreign Currency Transactions -- -- -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (924,754) 40,982 (807,115) 372,559 (716,677) 250,631 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies -- -- -- -- -- -- ----------- ----------- ----------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations (903,601) 493,834 (751,710) 616,971 (689,041) 413,528 ----------- ----------- ----------- ---------- ---------- ---------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (64,076) (65,236) (11,649) (7,660) (30,228) (25,173) Class E -- -- -- -- -- -- Class I (330) (491) (14) (5) -- -- Class Y -- -- -- -- (49) (48) Net Realized Gains: Class A (308,944) (341,377) -- -- -- -- Class E -- -- -- -- -- -- Class I (2,094) (2,981) -- -- -- -- ----------- ----------- ----------- ---------- ---------- ---------- Total Dividends and Distributions (375,444) (410,085) (11,663) (7,665) (30,277) (25,221) ----------- ----------- ----------- ---------- ---------- ---------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 602,496 539,733 598,288 541,381 523,966 517,527 Reinvestment of Dividends & Distributions 348,733 380,665 11,071 7,269 28,387 23,768 Cost of Shares Redeemed (915,076) (1,149,311) (1,000,068) (917,952) (578,042) (409,521) ----------- ----------- ----------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Derived from Class A Transactions 36,153 (228,913) (390,709) (369,302) (25,689) 131,774 ----------- ----------- ----------- ---------- ---------- ---------- Class E: Proceeds from Shares Issued -- -- -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- -- -- Cost of Shares Redeemed -- -- -- -- -- -- ----------- ----------- ----------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Derived from Class E Transactions -- -- -- -- -- -- ----------- ----------- ----------- ---------- ---------- ---------- Class I: Proceeds from Shares Issued 5,082 11,017 5,612 7,267 -- -- Reinvestment of Dividends & Distributions 2,377 3,446 13 5 -- -- Cost of Shares Redeemed (17,887) (17,516) (19,955) (14,646) -- -- ----------- ----------- ----------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Derived from Class I Transactions (10,428) (3,053) (14,330) (7,374) -- -- ----------- ----------- ----------- ---------- ---------- ---------- Class Y: Proceeds from Shares Issued -- -- -- -- 177 97 Reinvestment of Dividends & Distributions -- -- -- -- 49 47 Cost of Shares Redeemed -- -- -- -- (627) (713) ----------- ----------- ----------- ---------- ---------- ---------- Decrease in Net Assets Derived from Class Y Transactions -- -- -- -- (401) (569) ----------- ----------- ----------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 25,725 (231,966) (405,039) (376,676) (26,090) 131,205 ----------- ----------- ----------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets (1,253,320) (148,217) (1,168,412) 232,630 (745,408) 519,512 ----------- ----------- ----------- ---------- ---------- ---------- NET ASSETS: BEGINNING OF YEAR/PERIOD 3,645,192 3,793,409 3,648,159 3,415,529 2,897,577 2,378,065 ----------- ----------- ----------- ---------- ---------- ---------- END OF YEAR/PERIOD $ 2,391,872 $ 3,645,192 $ 2,479,747 $3,648,159 $2,152,169 $2,897,577 ----------- ----------- ----------- ---------- ---------- ---------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/(ACCUMULATED NET INVESTMENT LOSS) INCLUDED IN NET ASSETS AT PERIOD END $ 13,493 $ 14,943 $ 2,427 $ 2,335 $ 6,493 $ 6,748 ----------- ----------- ----------- ---------- ---------- ----------
(1) See Note 4 in Notes to Financial Statements for additional information. (2) For the six months ended September 30, 2007. Effective September 14, 2007, the Fund's fiscal year end changed from March 31 to September 30. (3) On September 14, 2007, the SEI Institutional Managed Trust acquired the assets of the SEI S&P 500 Index Fund in a tax-free reorganization. (4) For the year ended March 31. (5) Includes realized gain of $4,368 ($ Thousands) due to in-kind redemptions (see Note 9). (6) Includes realized gain of $2,168 ($ Thousands) due to in-kind redemptions (see Note 9). The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 212
LARGE CAP DIVERSIFIED S&P 500 SMALL CAP SMALL CAP ALPHA FUND INDEX FUND(3) VALUE FUND GROWTH FUND - ----------------------- ------------------------------------ ----------------------- ----------------------- 2008 2007 2008 2007(2) 2007(4) 2008 2007 2008 2007 - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- $ 17,757 $ 16,920 $ 28,411 $ 14,373 $ 33,720 $ 5,342 $ 2,232 $ 357 $ (5,052) (163,795) 59,820 15,023 72,082 26,839(5) (22,505) 161,341(6) (76,835) 117,347(7) -- (1) -- -- -- (11) (4) (106) (293) (302,473) 108,322 (417,431) 58,964 144,755 (158,308) (39,729) (237,318) 79,583 2 1 -- -- -- -- -- (63) 56 - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- (448,509) 185,062 (373,997) 145,419 205,314 (175,482) 123,840 (313,965) 191,641 - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- (19,433) (15,519) (11,020) (2,463) (10,300) (3,805) (7,396) (728) -- -- -- (18,292) (4,424) (23,648) -- -- -- -- (5) (2) (142) (50) (200) (27) (67) -- -- (63,042) (7,983) (31,110) -- (8,617) (136,351) (112,541) (85,670) -- -- -- (51,009) -- (17,342) -- -- -- -- (19) -- (592) -- (200) (1,639) (1,420) (580) -- - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- (82,499) (23,504) (112,165) (6,937) (60,307) (141,822) (121,424) (86,978) -- - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 510,287 731,868 364,642 54,359 99,732 261,960 252,503 180,243 268,659 81,901 23,418 40,033 2,336 18,041 133,874 114,441 82,911 -- (465,367) (344,582) (405,229) (76,635) (155,992) (357,873) (407,378)(8) (380,544) (415,459)(8) - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 126,821 410,704 (554) (19,940) (38,219) 37,961 (40,434) (117,390) (146,800) - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- -- -- 138,713 61,905 109,388 -- -- -- -- -- -- 63,336 3,942 36,859 -- -- -- -- -- -- (172,607) (209,444) (802,024)(8) -- -- -- -- - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- -- -- 29,442 (143,597) (655,777) -- -- -- -- - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 61 758 2,932 2,533 4,846 5,865 6,715 1,873 3,906 24 3 734 50 400 1,652 1,479 573 -- (35) (304) (8,507) (4,795) (5,071) (9,403) (8,531) (5,811) (8,663) - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 50 457 (4,841) (2,212) 175 (1,886) (337) (3,365) (4,757) - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- -- -- -- -- -- -- -- -- -- - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 126,871 411,161 24,047 (165,749) (693,821) 36,075 (40,771) (120,755) (151,557) - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- (404,137) 572,719 (462,115) (27,267) (548,814) (281,229) (38,355) (521,698) 40,084 - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- 1,654,841 1,082,122 1,736,166 1,763,433 2,312,247 1,136,116 1,174,471 1,163,323 1,123,239 - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- $1,250,704 $1,654,841 $1,274,051 $1,736,166 $1,763,433 $ 854,887 $1,136,116 $ 641,625 $1,163,323 - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- $ 2,555 $ 4,550 $ 6,651 $ 7,544 $ -- $ 1,491 $ (898) $ (992) $ (1,655) - ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(7) Includes realized loss of $4,305 ($ Thousands) due to in-kind redemptions (see Note 9). (8) Includes redemption as a result of an in-kind transfer of securities (see Note 9). Amounts designated as "--" are $0 or have been rounded to $0. SEI Institutional Managed Trust / Annual Report / September 30, 2008 213 Statements of Changes in Net Assets ($ Thousands) For the years or period ended September 30,
SMALL/MID CAP TAX-MANAGED DIVERSIFIED SMALL CAP FUND ALPHA FUND(2) MID-CAP FUND -------------------- ------------------- ------------------- 2008 2007 2008 2007 2008 2007 --------- -------- -------- -------- -------- -------- OPERATIONS: Net Investment Income $ 1,547 $ 1,175 $ 944 $ 1,017 $ 979 $ 430 Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (11,086) 25,492 (22,612) (1,562) (17,204) 22,196 Net Realized Loss on Foreign Currency Transactions -- -- (5) (4) -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (89,857) 25,122 (17,963) 538 (29,247) (581) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies -- -- 7 -- -- -- --------- -------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations (99,396) 51,789 (39,629) (11) (45,472) 22,045 --------- -------- -------- -------- -------- -------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (1,291) (1,517) (1,355) (699) (847) (641) Net Realized Gains: Class A (23,726) (23,058) -- -- (16,926) (6,793) Class I -- -- -- -- (18) -- --------- -------- -------- -------- -------- -------- Total Dividends and Distributions (25,017) (24,575) (1,355) (699) (17,791) (7,434) --------- -------- -------- -------- -------- -------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 115,260 110,154 58,072 139,849 88,803 161,788 Reinvestment of Dividends & Distributions 23,295 22,918 1,343 698 16,367 6,259 Cost of Shares Redeemed (112,567) (57,674) (43,148) (9,130) (98,735) (89,579) --------- -------- -------- -------- -------- -------- Increase (Decrease) in Net Assets Derived from Class A Transactions 25,988 75,398 16,267 131,417 6,435 78,468 --------- -------- -------- -------- -------- -------- Class I: Proceeds from Shares Issued -- -- 27 -- 222 -- Reinvestment of Dividends & Distributions -- -- -- -- 18 -- Cost of Shares Redeemed -- -- (6) -- (138) -- --------- -------- -------- -------- -------- -------- Increase in Net Assets Derived from Class I Transactions -- -- 21 -- 102 -- --------- -------- -------- -------- -------- -------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 25,988 75,398 16,288 131,417 6,537 78,468 --------- -------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets (98,425) 102,612 (24,696) 130,707 (56,726) 93,079 --------- -------- -------- -------- -------- -------- NET ASSETS: BEGINNING OF YEAR/PERIOD 416,945 314,333 130,707 -- 183,287 90,208 --------- -------- -------- -------- -------- -------- END OF YEAR/PERIOD $ 318,520 $416,945 $106,011 $130,707 $126,561 $183,287 --------- -------- -------- -------- -------- -------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ 401 $ 85 $ 19 $ 29 $ 236 $ 38 --------- -------- -------- -------- -------- --------
(1) See Note 4 in Notes to Financial Statements for additional information. (2) The Small/Mid Cap Diversified Alpha Fund commenced operations on December 20, 2006. (3) The Tax-Managed Managed Volatility Fund commenced operations on December 20, 2007. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 214
TAX-MANAGED MANAGED U.S. MANAGED GLOBAL MANAGED VOLATILITY REAL ESTATE VOLATILITY FUND VOLATILITY FUND FUND(3) FUND - --------------------- -------------------- ----------- --------------------- 2008 2007 2008 2007 2008 2008 2007 - --------- --------- --------- -------- ----------- --------- --------- $ 4,474 $ 5,264 $ 2,888 $ 3,057 $ 744 $ 2,132 $ 3,646 (5,317) 20,239 (14,924) 4,915 (3,631) (4,335) 12,360 -- -- (6,086) (7,134) -- (12) (4) (67,825) 32,661 (25,814) 12,452 (3,381) (43,076) (5,812) -- -- 1,989 (743) -- (2) 1 - --------- --------- --------- -------- -------- --------- --------- (68,668) 58,164 (41,947) 12,547 (6,268) (45,293) 10,191 - --------- --------- --------- -------- -------- --------- --------- (4,113) (4,993) (4,301) (1,567) (375) (5,783) (4,265) (22,450) (8,410) (3,779) (675) -- (15,877) (10,114) -- -- -- -- -- (1) -- - --------- --------- --------- -------- -------- --------- --------- (26,563) (13,403) (8,080) (2,242) (375) (21,661) (14,379) - --------- --------- --------- -------- -------- --------- --------- 231,699 364,416 116,518 225,851 122,400 194,132 202,514 25,758 13,136 7,898 2,217 331 20,844 13,799 (289,416) (139,978) (145,982) (57,576) (19,565) (141,657) (159,808) - --------- --------- --------- -------- -------- --------- --------- (31,959) 237,574 (21,566) 170,492 103,166 73,319 56,505 - --------- --------- --------- -------- -------- --------- --------- 7 1 21 1 -- 30 -- -- -- -- -- -- 1 -- (2) -- (11) -- -- (3) -- - --------- --------- --------- -------- -------- --------- --------- 5 1 10 1 -- 28 -- - --------- --------- --------- -------- -------- --------- --------- (31,954) 237,575 (21,556) 170,493 103,166 73,347 56,505 - --------- --------- --------- -------- -------- --------- --------- (127,185) 282,336 (71,583) 180,798 96,523 6,393 52,317 - --------- --------- --------- -------- -------- --------- --------- 585,859 303,523 275,749 94,951 -- 244,991 192,674 - --------- --------- --------- -------- -------- --------- --------- $ 458,674 $ 585,859 $ 204,166 $275,749 $ 96,523 $ 251,384 $ 244,991 - --------- --------- --------- -------- -------- --------- --------- $ 1,257 $ 944 $ (4,095) $ (3,844) $ 369 $ 3,186 $ 2,518 - --------- --------- --------- -------- -------- --------- ---------
SEI Institutional Managed Trust / Annual Report / September 30, 2008 215 Statements of Changes in Net Assets ($ Thousands) For the years or period ended September 30,
ENHANCED CORE FIXED HIGH YIELD INCOME FUND INCOME FUND BOND FUND --------------------- ------------------------- ----------------------- 2008 2007 2008 2007 2008 2007 --------- --------- ----------- ----------- ---------- ---------- OPERATIONS: Net Investment Income $ 23,833 $ 27,282 $ 219,736 $ 214,085 $ 108,507 $ 92,638 Net Realized Gain (Loss) on Investments, Futures Contracts, Written Options, Swaptions and Swap Contracts (28,773) (3,742) 8,749 (2,410) (55,543) 7,250 Net Realized Gain (Loss) on Foreign Currency Transactions (4,725) 2,747 (2,437) -- -- -- Net Change in Unrealized Depreciation on Investments, Affiliated Investments, Futures Contracts, Written Options, and Swap Contracts (49,878) (16,515) (353,817) (37,572) (206,556) (26,071) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies 1,116 (2,542) 4,541 417 -- -- --------- --------- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations (58,427) 7,230 (123,228) 174,520 (153,592) 73,817 --------- --------- ----------- ----------- ---------- ---------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (27,074) (21,572) (217,442) (214,787) (108,737) (93,629) Class I (1) -- (432) (635) (3) -- Net Realized Gains: Class A (15,203) --------- --------- ----------- ----------- ---------- ---------- Total Dividends and Distributions (27,075) (21,572) (217,874) (215,422) (123,943) (93,629) --------- --------- ----------- ----------- ---------- ---------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 208,486 610,800 968,244 1,187,007 559,747 504,196 Reinvestment of Dividends & Distributions 26,019 21,073 205,900 203,045 116,295 86,274 Cost of Shares Redeemed (455,141) (232,582) (1,747,665) (1,041,969) (569,749) (391,756) --------- --------- ----------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Derived from Class A Transactions (220,636) 399,291 (573,521) 348,083 106,293 198,714 --------- --------- ----------- ----------- ---------- ---------- Class I: Proceeds from Shares Issued 11 12 6,623 6,866 77 -- Reinvestment of Dividends & Distributions -- -- 419 636 3 -- Cost of Shares Redeemed (4) -- (11,215) (8,508) (25) -- --------- --------- ----------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Derived from Class I Transactions 7 12 (4,173) (1,006) 55 -- --------- --------- ----------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions (220,629) 399,303 (577,694) 347,077 106,348 198,714 --------- --------- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets (306,131) 384,961 (918,796) 306,175 (171,187) 178,902 --------- --------- ----------- ----------- ---------- ---------- NET ASSETS: BEGINNING OF YEAR 620,942 235,981 4,613,519 4,307,344 1,247,613 1,068,711 --------- --------- ----------- ----------- ---------- ---------- END OF YEAR $ 314,811 $ 620,942 $ 3,694,723 $ 4,613,519 $1,076,426 $1,247,613 --------- --------- ----------- ----------- ---------- ---------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ 1,684 $ 9,839 $ (8,518) $ (6,273) $ (15,209) $ 624 --------- --------- ----------- ----------- ---------- ----------
(1) See Note 4 in the Notes to Financial Statements for additional information. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 216 Financial Highlights For the years or period ended September 30, (unless otherwise indicated) For a Share Outstanding Throughout the Periods
Net Realized and Distributions Total Net Asset Net Unrealized Dividends from Dividends, Value, Investment Gains from Net Realized Distributions Beginning Income (Losses) on Total from Investment Capital Return and Return of Period (Loss) Securities Operations Income Gains of Capital of Capital --------- ---------- ----------- ---------- ---------- ------------- ---------- ------------- LARGE CAP VALUE FUND Class A 2008 $23.97 $ 0.40(1) $(6.10)(1) $(5.70) $(0.41) $(2.07) $-- $(2.48) 2007 23.54 0.41(1) 2.69(1) 3.10 (0.41) (2.26) -- (2.67) 2006 22.45 0.37(1) 2.41(1) 2.78 (0.37) (1.32) -- (1.69) 2005 19.80 0.35(1) 2.76(1) 3.11 (0.34) (0.12) -- (0.46) 2004 16.81 0.30(1) 2.99(1) 3.29 (0.30) -- -- (0.30) Class I 2008 $23.95 $ 0.36(1) $(6.11)(1) $(5.75) $(0.35) $(2.07) $-- $(2.42) 2007 23.52 0.35(1) 2.69(1) 3.04 (0.35) (2.26) -- (2.61) 2006 22.43 0.31(1) 2.42(1) 2.73 (0.32) (1.32) -- (1.64) 2005 19.78 0.29(1) 2.77(1) 3.06 (0.29) (0.12) -- (0.41) 2004 16.80 0.25(1) 2.98(1) 3.23 (0.25) -- -- (0.25) LARGE CAP GROWTH FUND Class A 2008 $23.74 $ 0.08(1) $(5.35)(1) $(5.27) $(0.08) $ -- $-- $(0.08) 2007 19.95 0.06(1) 3.78(1) 3.84 (0.05) -- -- (0.05) 2006 19.23 0.04(1) 0.71(1) 0.75 (0.03) -- -- (0.03) 2005 17.13 0.09(1) 2.09(1) 2.18 (0.08) -- -- (0.08) 2004 15.77 (0.01)(1) 1.37(1) 1.36 -- -- -- -- Class I 2008 $23.48 $ 0.03(1) $(5.29)(1) $(5.26) $(0.02) $ -- $-- $(0.02) 2007 19.75 --*(1) 3.73(1) 3.73 --* -- -- -- 2006 19.04 (0.01)(1) 0.72(1) 0.71 -- -- -- -- 2005 17.00 0.04(1) 2.07(1) 2.11 (0.07) -- -- (0.07) 2004 15.68 (0.05)(1) 1.37(1) 1.32 -- -- -- -- TAX-MANAGED LARGE CAP FUND Class A 2008 $14.70 $ 0.15(1) $(3.62)(1) $(3.47) $(0.15) $ -- $-- $(0.15) 2007 12.68 0.14(1) 2.01(1) 2.15 (0.13) -- -- (0.13) 2006 11.78 0.11(1) 0.90(1) 1.01 (0.11) -- -- (0.11) 2005 10.41 0.12(1) 1.37(1) 1.49 (0.12) -- -- (0.12) 2004 9.20 0.08(1) 1.21(1) 1.29 (0.08) -- -- (0.08) Class Y 2008 $14.87 $ 0.19(1) $(3.66)(1) $(3.47) $(0.16) $ -- $-- $(0.16) 2007 12.79 0.18(1) 2.04(1) 2.22 (0.14) -- -- (0.14) 2006 11.86 0.15(1) 0.89(1) 1.04 (0.11) -- -- (0.11) 2005 10.45 0.16(1) 1.38(1) 1.54 (0.13) -- -- (0.13) 2004 9.21 0.12(1) 1.20(1) 1.32 (0.08) -- -- (0.08) LARGE CAP DIVERSIFIED ALPHA FUND Class A 2008 $11.78 $ 0.13(1) $(3.11)(1) $(2.98) $(0.13) $(0.44) $-- $(0.57) 2007 10.38 0.14(1) 1.47(1) 1.61 (0.13) (0.08) -- (0.21) 2006(2) 10.00 0.10(1) 0.34(1) 0.44 (0.06) -- -- (0.06) Class I 2008 $11.78 $ 0.09(1) $(3.11)(1) $(3.02) $(0.10) $(0.44) $-- $(0.54) 2007 10.38 0.11(1) 1.48(1) 1.59 (0.11) (0.08) -- (0.19) 2006(3) 10.28 0.01(1) 0.09(1) 0.10 -- -- -- -- Ratio of Expenses to Average Ratio of Net Ratio of Expenses Assets Net to Average (Excluding Investment Ratio of Net Assets Fees Paid Income Net Asset Net Assets Expenses (Excluding Indirectly (Loss) Portfolio Value, End Total End of Period to Average Fees Paid and to Average Turnover of Period Return+ ($Thousands) Net Assets Indirectly) Waivers) Net Assets Rate+ ---------- ------- ------------- ---------- ----------- ---------- ---------- --------- LARGE CAP VALUE FUND Class A 2008 $ 15.79 (25.95)% $2,381,011 0.88% 0.88% 0.97% 2.09% 53% 2007 23.97 13.91 3,616,120 0.86 0.86 0.97 1.74 36 2006 23.54 13.42 3,762,101 0.86 0.87 0.97 1.67 58 2005 22.45 15.87 4,230,717 0.86 0.86 0.97 1.63 44 2004 19.80 19.66 4,153,475 0.85 0.85 0.97 1.59 46 Class I 2008 $ 15.78 (26.13)% $ 10,861 1.11% 1.11% 1.22% 1.85% 53% 2007 23.95 13.64 29,072 1.11 1.11 1.22 1.49 36 2006 23.52 13.16 31,308 1.11 1.12 1.22 1.40 58 2005 22.43 15.61 24,735 1.11 1.11 1.22 1.37 44 2004 19.78 19.33 20,180 1.10 1.10 1.22 1.33 46 LARGE CAP GROWTH FUND Class A 2008 $ 18.39 (22.26)% $2,472,052 0.88% 0.88% 1.02% 0.37% 78% 2007 23.74 19.26 3,622,963 0.86 0.86 1.02 0.26 55 2006 19.95 3.92 3,387,749 0.86 0.87 1.02 0.18 89 2005 19.23 12.75 4,004,347 0.86 0.86 1.02 0.47 52 2004 17.13 8.62 3,846,240 0.85 0.85 1.02 (0.03) 36 Class I 2008 $ 18.20 (22.43)% $ 7,695 1.11% 1.11% 1.27% 0.13% 78% 2007 23.48 18.91 25,196 1.11 1.11 1.27 0.01 55 2006 19.75 3.73 27,780 1.11 1.12 1.27 (0.07) 89 2005 19.04 12.42 29,689 1.11 1.11 1.27 0.22 52 2004 17.00 8.42 28,431 1.10 1.10 1.27 (0.28) 36 TAX-MANAGED LARGE CAP FUND Class A 2008 $ 11.08 (23.76)% $2,148,949 0.88% 0.88% 1.02% 1.13% 61% 2007 14.70 17.05 2,892,866 0.86 0.86 1.02 1.02 44 2006 12.68 8.58 2,373,507 0.86 0.87 1.02 0.91 65 2005 11.78 14.40 2,172,885 0.86 0.86 1.02 1.08 31 2004 10.41 14.05 1,977,883 0.85 0.85 1.02 0.83 29 Class Y 2008 $ 11.24 (23.52)% $ 3,220 0.56% 0.56% 0.72% 1.44% 61% 2007 14.87 17.43 4,711 0.56 0.56 0.72 1.32 44 2006 12.79 8.83 4,558 0.56 0.57 0.72 1.21 65 2005 11.86 14.78 5,067 0.56 0.56 0.72 1.39 31 2004 10.45 14.41 4,909 0.55 0.55 0.72 1.13 29 LARGE CAP DIVERSIFIED ALPHA FUND Class A 2008 $ 8.23 (26.42)% $1,250,304 1.35%(16) 1.35%(16) 1.41% 1.17% 93% 2007 11.78 15.64 1,654,324 1.21(11) 1.21(11) 1.29 1.25 84 2006(2) 10.38 4.44 1,082,101 1.09@ 1.09@ 1.16 1.18 72 Class I 2008 $ 8.22 (26.70)% $ 400 1.60%(16) 1.60%(16) 1.66% 0.92% 93% 2007 11.78 15.42 517 1.46(11) 1.46(11) 1.54 0.99 84 2006(3) 10.38 0.97 21 1.08@ 1.08@ 1.15 1.12 72
SEI Institutional Managed Trust / Annual Report / September 30, 2008 217 Financial Highlights For the years or period ended September 30, (unless otherwise indicated) For a Share Outstanding Throughout the Periods
Net Realized and Distributions Total Net Asset Net Unrealized Dividends from Dividends, Value, Investment Gains from Net Realized Distributions Beginning Income (Losses) on Total from Investment Capital and Return of Period (Loss) Securities Operations Income Gains of Capital --------- ---------- ----------- ---------- ---------- ------------- ------------- S&P 500 INDEX FUND Class A 2008 $44.71 $ 0.68(1) $(10.10)(1) $(9.42) $(0.70) $(2.16) $(2.86) 2007(4) 41.45 0.34(1) 3.09(1) 3.43 (0.17) -- (0.17) 2007(5) 38.38 0.63(1) 3.70(1) 4.33 (0.68) (0.58) (1.26) 2006(5) 36.21 0.56(1) 3.47(1) 4.03 (0.54) (1.32) (1.86) 2005(5) 34.66 0.59(1) 1.57(1) 2.16 (0.58) (0.03) (0.61) 2004(5) 26.18 0.42(1) 8.58(1) 9.00 (0.52) -- (0.52) Class E 2008 $44.85 $ 0.75(1) $(10.14)(1) $(9.39) $(0.76) $(2.16) $(2.92) 2007(4) 41.57 0.30(1) 3.17(1) 3.47 (0.19) -- (0.19) 2007(5) 38.48 0.69(1) 3.72(1) 4.41 (0.74) (0.58) (1.32) 2006(5) 36.31 0.62(1) 3.48(1) 4.10 (0.61) (1.32) (1.93) 2005(5) 34.76 0.66(1) 1.55(1) 2.21 (0.63) (0.03) (0.66) 2004(5) 26.26 0.47(1) 8.61(1) 9.08 (0.58) -- (0.58) Class I 2008 $44.74 $ 0.60(1) $(10.12)(1) $(9.52) $(0.59) $(2.16) $(2.75) 2007(4) 41.51 0.28(1) 3.09(1) 3.37 (0.14) -- (0.14) 2007(5) 38.43 0.53(1) 3.71(1) 4.24 (0.58) (0.58) (1.16) 2006(5) 36.26 0.47(1) 3.46(1) 3.93 (0.44) (1.32) (1.76) 2005(5) 34.72 0.51(1) 1.56(1) 2.07 (0.50) (0.03) (0.53) 2004(5) 26.22 0.34(1) 8.60(1) 8.94 (0.44) -- (0.44) SMALL CAP VALUE FUND Class A 2008 $21.26 $ 0.09(1) $ (3.22)(1) $(3.13) $(0.07) $(2.68) $(2.75) 2007 21.28 0.04(1) 2.23(1) 2.27 (0.14) (2.15) (2.29) 2006 21.58 0.05(1) 1.97(1) 2.02 (0.06) (2.26) (2.32) 2005 20.74 0.06(1) 4.02(1) 4.08 (0.05) (3.19) (3.24) 2004 17.45 0.03(1) 4.32(1) 4.35 (0.06) (1.00) (1.06) Class I 2008 $21.17 $ 0.05(1) $ (3.21)(1) $(3.16) $(0.04) $(2.68) $(2.72) 2007 21.21 (0.01)(1) 2.21(1) 2.20 (0.09) (2.15) (2.24) 2006 21.52 --(1) 1.98(1) 1.98 (0.03) (2.26) (2.29) 2005 20.71 (0.01)(1) 4.03(1) 4.02 (0.02) (3.19) (3.21) 2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02) (1.00) (1.02) SMALL CAP GROWTH FUND Class A 2008 $21.91 $ 0.01(1) $ (6.22)(1) $(6.21) $(0.01) $(1.71) $(1.72) 2007 18.56 (0.09)(1) 3.44(1) 3.35 -- -- -- 2006 17.86 (0.07)(1) 0.77(1) 0.70 -- -- -- 2005 15.14 (0.10)(1) 2.82(1) 2.72 -- -- -- 2004 14.11 (0.10)(1) 1.13(1) 1.03 -- -- -- Class I 2008 $21.57 $(0.03)(1) $ (6.12)(1) $(6.15) $ -- $(1.71) $(1.71) 2007 18.32 (0.14)(1) 3.39(1) 3.25 -- -- -- 2006 17.67 (0.12)(1) 0.77(1) 0.65 -- -- -- 2005 15.02 (0.14)(1) 2.79(1) 2.65 -- -- -- 2004 14.03 (0.14)(1) 1.13(1) 0.99 -- -- -- Ratio of Expenses to Average Ratio of Net Ratio of Expenses Assets Net to Average (Excluding Investment Ratio of Net Assets Fees Paid Income Net Asset Net Assets Expenses (Excluding Indirectly (Loss) Portfolio Value, End Total End of Period to Average Fees Paid and to Average Turnover of Period Return+ ($Thousands) Net Assets Indirectly) Waivers) Net Assets Rate+ ---------- ------- ------------- ---------- ----------- ---------- ---------- --------- S&P 500 INDEX FUND Class A 2008 $32.43 (22.30)% $ 462,947 0.41% 0.41% 0.53% 1.77% 27% 2007(4) 44.71 8.28 650,792 0.40 0.40 0.43 1.55 2 2007(5) 41.45 11.38 621,898 0.40 0.40 0.43 1.59 6 2006(5) 38.38 11.32 614,246 0.40 0.40 0.43 1.49 18 2005(5) 36.21 6.25 655,378 0.40 0.40 0.43 1.67 11 2004(5) 34.66 34.62 686,129 0.40 0.40 0.43 1.33 7 Class E 2008 $32.54 (22.19)% $ 805,606 0.25% 0.25% 0.53% 1.95% 27% 2007(4) 44.85 8.34 1,072,141 0.25 0.25 0.53 1.70 2 2007(5) 41.57 11.57 1,127,189 0.25 0.25 0.53 1.74 6 2006(5) 38.48 11.49 1,684,857 0.25 0.25 0.53 1.65 18 2005(5) 36.31 6.39 1,307,631 0.25 0.25 0.53 1.86 11 2004(5) 34.76 34.83 904,534 0.25 0.25 0.53 1.47 7 Class I 2008 $32.47 (22.49)% $ 5,498 0.65% 0.65% 0.78% 1.53% 27% 2007(4) 44.74 8.12 13,233 0.65 0.65 0.78 1.29 2 2007(5) 41.51 11.12 14,346 0.65 0.65 0.78 1.34 6 2006(5) 38.43 11.02 13,144 0.65 0.65 0.78 1.25 18 2005(5) 36.26 5.97 11,452 0.65 0.65 0.78 1.44 11 2004(5) 34.72 34.28 6,370 0.65 0.65 0.78 1.06 7 SMALL CAP VALUE FUND Class A 2008 $15.38 (16.02)% $ 846,492 1.13% 1.15% 1.28% 0.55% 91% 2007 21.26 10.70 1,122,027 1.11 1.13 1.27 0.19 86 2006 21.28 10.34 1,160,178 1.11 1.13 1.27 0.31 72 2005 21.58 21.21 1,066,189 1.11 1.11 1.27 0.27 71 2004 20.74 25.67 942,037 1.10 1.10 1.27 0.17 89 Class I 2008 $15.29 (16.21)% $ 8,395 1.36% 1.39% 1.53% 0.31% 91% 2007 21.17 10.41 14,089 1.36 1.38 1.52 (0.04) 86 2006 21.21 10.11 14,293 1.36 1.38 1.52 0.06 72 2005 21.52 20.88 12,713 1.36 1.36 1.52 (0.03) 71 2004 20.71 25.29 7,400 1.35 1.35 1.52 (0.09) 89 SMALL CAP GROWTH FUND Class A 2008 $13.98 (30.36)% $ 638,257 1.11% 1.12% 1.28% 0.04% 124% 2007 21.91 18.05 1,154,000 1.11 1.13 1.27 (0.43) 135 2006 18.56 3.92 1,111,329 1.11 1.13 1.27 (0.40) 99 2005 17.86 17.97 1,058,413 1.11 1.11 1.27 (0.60) 116 2004 15.14 7.30 970,759 1.10 1.10 1.27 (0.63) 124 Class I 2008 $13.71 (30.57)% $ 3,368 1.36% 1.37% 1.53% (0.19)% 124% 2007 21.57 17.74 9,323 1.36 1.38 1.52 (0.67) 135 2006 18.32 3.68 11,910 1.36 1.38 1.52 (0.65) 99 2005 17.67 17.64 11,077 1.36 1.36 1.52 (0.85) 116 2004 15.02 7.06 8,530 1.35 1.35 1.52 (0.90) 124
SEI Institutional Managed Trust / Annual Report / September 30, 2008 218
Net Realized and Distributions Total Net Asset Net Unrealized Dividends from Dividends, Value, Investment Gains from Net Realized Distributions Net Asset Beginning Income (Losses) on Total from Investment Capital and Return Value, End Total of Period (Loss) Securities Operations Income Gains of Capital of Period Return+ --------- ---------- ----------- ---------- ---------- ------------- ------------- ---------- ------- TAX-MANAGED SMALL CAP FUND Class A 2008 $14.14 $ 0.05(1) $(3.19)(1) $(3.14) $(0.04) $(0.80) $(0.84) $10.16 (23.34)% 2007 13.10 0.04(1) 2.00(1) 2.04 (0.06) (0.94) (1.00) 14.14 16.00 2006 13.13 0.01(1) 0.68(1) 0.69 -- (0.72) (0.72) 13.10 5.50 2005 11.63 (0.02)(1) 2.36(1) 2.34 -- (0.84) (0.84) 13.13 20.80 2004 10.00 (0.04)(1) 1.67(1) 1.63 -- -- -- 11.63 16.30 SMALL/MID CAP DIVERSIFIED ALPHA FUND Class A 2008 $10.10 $ 0.06(1) $(2.83)(1) $(2.77) $(0.10) $ -- $(0.10) $ 7.23 (27.63)% 2007(10) 10.00 0.10(1) 0.07(1)++ 0.17 (0.07) -- (0.07) 10.10 1.71 Class I 2008(15) $10.28 $ 0.03(1) $(2.99)(1) $(2.96) $(0.09) $ -- $(0.09) $ 7.23 (28.98)% MID-CAP FUND Class A 2008 $22.22 $ 0.11(1) $(5.28)(1) $(5.17) $(0.09) $(2.09) $(2.18) $14.87 (25.45)% 2007 20.40 0.06(1) 3.40(1) 3.46 (0.10) (1.54) (1.64) 22.22 17.51 2006 20.29 0.14(1) 1.49(1) 1.63 (0.12) (1.40) (1.52) 20.40 8.50 2005 17.84 0.06(1) 4.61(1) 4.67 (0.06) (2.16) (2.22) 20.29 28.15 2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40) 17.84 22.23 Class I 2008(15) $22.56 $ 0.06(1) $(5.63)(1) $(5.57) $(0.04) $(2.09) $(2.13) $14.86 (26.82)% U.S. MANAGED VOLATILITY FUND Class A 2008 $13.45 $ 0.10(1) $(1.69)(1) $(1.59) $(0.10) $(0.51) $(0.61) $11.25 (12.38)% 2007 12.02 0.15(1) 1.74(1) 1.89 (0.14) (0.32) (0.46) 13.45 16.09 2006 11.41 0.10(1) 0.75(1) 0.85 (0.09) (0.15) (0.24) 12.02 7.64 2005(7) 10.00 0.10(1) 1.39(1) 1.49 (0.08) --* (0.08) 11.41 14.94 Class I 2008 $13.43 $ 0.09(1) $(1.71)(1) $(1.62) $(0.06) $(0.51) $(0.57) $11.24 (12.58)% 2007(13) 13.54 0.01(1) (0.05)(1) (0.04) (0.07) -- (0.07) 13.43 (0.32) GLOBAL MANAGED VOLATILITY FUND Class A 2008 $11.22 $ 0.12(1) $(1.92)(1) $(1.80) $(0.18) $(0.17) $(0.35) $ 9.07 (16.60)% 2007 10.37 0.17(1) 0.85(1) 1.02 (0.11) (0.06) (0.17) 11.22 9.88 2006(8) 10.00 0.02(1) 0.35(1) 0.37 -- -- -- 10.37 3.70 Class I 2008 $11.20 $ 0.14(1) $(1.97)(1) $(1.83) $(0.18) $(0.17) $(0.35) $ 9.02 (16.86)% 2007(13) 11.45 0.01(1) (0.26)(1) (0.25) -- -- -- 11.20 (2.18) TAX-MANAGED MANAGED VOLATILITY FUND Class A 2008(14) $10.00 $ 0.10(1) $(1.02)(1) $(0.92) $(0.06) $ -- $(0.06) $ 9.02 (9.24)% REAL ESTATE FUND Class A 2008 $18.20 $ 0.13 $(3.11)(1) $(2.98) $(0.38) $(1.11) $(1.49) $13.73 (17.15)% 2007 18.43 0.30(1) 0.76(1) 1.06 (0.36) (0.93) (1.29) 18.20 5.49 2006 14.86 0.23(1) 4.15(1) 4.38 (0.36) (0.45) (0.81) 18.43 30.44 2005 11.89 0.27(1) 3.22(1) 3.49 (0.26) (0.26) (0.52) 14.86 29.97 2004(9) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17) 11.89 20.82 Class I 2008(15) $18.55 $ 0.13(1) $(3.49)(1) $(3.36) $(0.36) $(1.11) $(1.47) $13.72 (18.89)%
Ratio of Ratio of Expenses Ratio of Expenses to Average Net to Average Net Assets Investment Ratio of Net Assets (Excluding Income Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio End of Period to Average Fees Paid Indirectly to Average Turnover ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+ ------------- ---------- ----------- ------------ ---------- --------- TAX-MANAGED SMALL CAP FUND Class A 2008 $318,520 1.11% 1.13% 1.28% 0.41% 96% 2007 416,945 1.11 1.14 1.27 0.31 72 2006 314,333 1.11 1.14 1.27 0.09 73 2005 269,519 1.11 1.11 1.27 (0.17) 99 2004 214,859 1.10 1.10 1.27 (0.31) 86 SMALL/MID CAP DIVERSIFIED ALPHA FUND Class A 2008 $105,993 1.42%(6) 1.42%(6) 1.62% 0.75% 170% 2007(10) 130,707 1.29(12) 1.29(12) 1.50 1.25 112 Class I 2008(15) $ 18 1.67%(6) 1.67%(6) 1.71% 0.37% 170% MID-CAP FUND Class A 2008 $126,509 1.02% 1.02% 1.03% 0.58% 126% 2007 183,287 1.01 1.01 1.02 0.26 176 2006 90,208 1.01 1.01 1.03 0.67 135 2005 71,162 1.01 1.01 1.03 0.30 137 2004 53,642 1.00 1.00 1.02 0.53 121 Class I 2008(15) $ 52 1.26% 1.26% 1.27% 0.33% 126% U.S. MANAGED VOLATILITY FUND Class A 2008 $458,668 1.00% 1.00% 1.27% 0.85% 85% 2007 585,858 1.04 1.04 1.27 1.19 112 2006 303,523 1.11 1.11 1.27 0.91 133 2005(7) 160,047 1.11 1.11 1.27 1.03 102 Class I 2008 $ 6 1.25% 1.25% 1.57% 0.71% 85% 2007(13) 1 1.36 1.36 1.86 0.19 112 GLOBAL MANAGED VOLATILITY FUND Class A 2008 $204,156 1.11% 1.11% 1.31% 1.24% 113% 2007 275,748 1.11 1.11 1.32 1.56 119 2006(8) 94,951 1.10 1.10 1.30 1.22 13 Class I 2008 $ 10 1.36% 1.36% 1.56% 1.49% 113% 2007(13) 1 1.36 1.36 2.26 0.23 119 TAX-MANAGED MANAGED VOLATILITY FUND Class A 2008(14) $ 96,523 1.00% 1.00% 1.29% 1.43% 65% REAL ESTATE FUND Class A 2008 $251,359 1.13% 1.13% 1.27% 0.86% 52% 2007 244,991 1.11 1.12 1.27 1.55 84 2006 192,674 1.11 1.12 1.27 1.39 65 2005 96,405 1.11 1.11 1.27 1.95 58 2004(9) 35,008 1.10 1.10 1.30 2.20 98 Class I 2008(15) $ 25 1.36% 1.36% 1.52% 0.86% 52%
SEI Institutional Managed Trust / Annual Report / September 30, 2008 219 Financial Highlights For the years or period ended September 30, (unless otherwise indicated) For a Share Outstanding Throughout the Periods
Net Realized and Distributions Total Net Asset Unrealized Dividends from Dividends, Value, Net Gains from Net Realized Distributions Net Asset Beginning Investment (Losses) on Total from Investment Capital and Return Value, End Total of Period Income Securities Operations Income Gains of Capital of Period Return+ --------- ---------- ----------- ---------- ---------- ------------- ------------- ---------- ------- ENHANCED INCOME FUND Class A 2008 $ 9.92 $0.49(1) $(1.68)(1) $(1.19) $(0.52) $ -- $(0.52) $ 8.21 (12.42)% 2007 10.11 0.57(1) (0.27)(1) 0.30 (0.49) -- (0.49) 9.92 2.96 2006(8) 10.00 0.10(1) 0.01(1) 0.11 -- -- -- 10.11 1.10 Class I 2008 $ 9.91 $0.43(1) $(1.63)(1) $(1.20) $(0.51) $ -- $(0.51) $ 8.20 (12.61)% 2007(13) 10.25 0.15(1) (0.35)(1) (0.20) (0.14) -- (0.14) 9.91 (2.01) CORE FIXED INCOME FUND Class A 2008 $10.19 $0.51(1) $(0.82)(1) $(0.31) $(0.51) $ -- $(0.51) $ 9.37 (3.25)% 2007 10.29 0.50(1) (0.10)(1) 0.40 (0.50) -- (0.50) 10.19 4.00 2006 10.44 0.47(1) (0.11)(1) 0.36 (0.48) (0.03) (0.51) 10.29 3.60 2005 10.65 0.40(1) (0.11)(1) 0.29 (0.41) (0.09) (0.50) 10.44 2.83 2004 10.71 0.37(1) 0.08(1) 0.45 (0.38) (0.13) (0.51) 10.65 4.38 Class I 2008 $10.19 $0.49(1) $(0.84)(1) $(0.35) $(0.48) $ -- $(0.48) $ 9.36 (3.58)% 2007 10.29 0.41(1) (0.03)(1) 0.38 (0.48) -- (0.48) 10.19 3.74 2006 10.43 0.45(1) (0.11)(1) 0.34 (0.45) (0.03) (0.48) 10.29 3.44 2005 10.65 0.38(1) (0.12)(1) 0.26 (0.39) (0.09) (0.48) 10.43 2.48 2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49) 10.65 4.12 HIGH YIELD BOND FUND Class A 2008 $ 8.26 $0.66(1) $(1.60)(1) $(0.94) $(0.66) $(0.09) $(0.75) $ 6.57 (12.09)% 2007 8.38 0.67(1) (0.11)(1) 0.56 (0.68) -- (0.68) 8.26 6.72 2006 8.50 0.65(1) (0.12)(1) 0.53 (0.65) -- (0.65) 8.38 6.51 2005 8.58 0.64(1) (0.08)(1) 0.56 (0.64) -- (0.64) 8.50 6.71 2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67) 8.58 10.84 Class I 2008(15 $ 8.26 $0.66(1) $(1.61)(1) $(0.95) $(0.64) $(0.09) $(0.73) $ 6.58 (12.20)%
Ratio of Ratio of Expenses Expenses to Average Ratio of to Average Net Assets Net Ratio of Net Assets (Excluding Investment Net Assets Expenses (Excluding Fees Paid Income Portfolio End of Period to Average Fees Paid Indirectly to Average Turnover ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+ ------------- ---------- ----------- ------------ ---------- --------- ENHANCED INCOME FUND Class A 2008 $ 314,795 0.60% 0.60% 1.04% 5.40% 42% 2007 620,931 0.60 0.60 1.03 5.67 43 2006(8) 235,981 0.60 0.60 1.10 5.54 70 Class I 2008 $ 16 0.85% 0.85% 1.29% 4.82% 42% 2007(13) 11 1.09 1.09 1.56 5.78 43 CORE FIXED INCOME FUND Class A 2008 $3,686,633 0.66% 0.66% 0.84% 5.12% 335% 2007 4,600,629 0.64 0.64 0.84 4.89 413 2006 4,293,309 0.63 0.63 0.84 4.62 478 2005 4,094,011 0.61 0.61 0.84 3.83 557 2004 4,067,065 0.61** 0.61** 0.84 3.52 430 Class I 2008 $ 8,090 0.90% 0.90% 1.09% 4.87% 335% 2007 12,890 0.89 0.89 1.09 3.96 413 2006 14,035 0.88 0.88 1.09 4.37 478 2005 12,979 0.86 0.86 1.09 3.60 557 2004 10,420 0.86** 0.86** 1.09 3.25 430 HIGH YIELD BOND FUND Class A 2008 $1,076,379 0.88% 0.88% 1.13% 8.73% 69% 2007 1,247,613 0.86 0.86 1.12 7.89 91 2006 1,068,711 0.86 0.86 1.12 7.69 126 2005 1,599,921 0.86 0.86 1.12 7.46 132 2004 1,197,554 0.85 0.85 1.11 7.84 179 Class I 2008(15) $ 47 1.11% 1.11% 1.38% 8.96% 69%
+ Returns and turnover rates are for the period indicated and have not been annualized. ++ The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. @ The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 0.95% and 0.75% for Class A and Class I Shares, respectively. * Amount represents less than $0.01. ** The expense ratio includes the litigation fees paid. Had these fees been excluded the ratio would have been 0.60% and 0.85% for Class A and Class I, respectively. (1) Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. (2) Commenced operations on December 14, 2005. All ratios for the period have been annualized. (3) Commenced operations on September 14, 2006. All ratios for the period have been annualized. (4) For the six months ended September 30, 2007. The Fund's fiscal year end changed from March 31 to September 30. All ratios for the period have been annualized. (5) For the year or period ended March 31. (6) The expense ratios include dividend expense and interest expense on securities sold short and reverse repurchase agreements. Had these expenses been excluded the ratios would have been 1.20% and 1.45% for Class A and Class I, respectively. (7) Commenced operations on October 28, 2004. All ratios for the period have been annualized. (8) Commenced operations on July 27, 2006. All ratios for the period have been annualized. (9) Commenced operations on November 13, 2003. All ratios for the period have been annualized. (10) Commenced operations on December 20, 2006. All ratios for the period have been annualized. (11) The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 0.94% and 1.20% for Class A and Class I Shares, respectively. (12) The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 1.17%. (13) Commenced operations on June 29, 2007. All ratios for the period have been annualized. (14) Commenced operations on December 20, 2007. All ratios for the period have been annualized. (15) Commenced operations on October 1, 2007. All ratios for the period have been annualized. (16) The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 1.15% and 1.40% for Class A and Class I, respectively. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 220 Notes to Financial Statements September 30, 2008 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 19 Funds: Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond, Real Return Plus and Prime Obligation Funds (each a "Fund," collectively the "Funds"). The Trust is registered to offer: Class A shares of the Funds; Class E shares of the S&P 500 Fund; Class I shares of the Large Cap Value, Large Cap Growth, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small Cap Growth, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond and Real Return Plus Funds; and Class Y shares of the Tax-Managed Large Cap Fund. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held. The Funds' prospectuses provide a description of each Fund's investment objective, policies, and strategies. As of September 30, 2008, the Real Return Plus and Prime Obligation Funds had not yet commenced operations. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the significant accounting policies followed by the Funds. USE OF ESTIMATES -- The preparation of financial statements, in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Funds' Board of Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Funds' Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when, under normal conditions, it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security's last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates net asset value if an event that could materially affect the value of those securities (a "Significant Event") has occurred between the time of the security's last close and the time that the Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates net asset value, it may request that a Fair Value Committee Meeting be called. In addition, the Funds' administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time the Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided. Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing SEI Institutional Managed Trust / Annual Report / September 30, 2008 221 Notes to Financial Statements (Continued) September 30, 2008 bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Income from payment-in-kind securities is recorded daily based on the effective interest method of accrual. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions. Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase agreements are held by each Fund's custodian bank until the repurchase date 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 the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust's policies 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. REVERSE REPURCHASE AGREEMENTS -- The Small/Mid Cap Diversified Alpha and Core Fixed Income Funds may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no reverse repurchase agreements outstanding as of September 30, 2008. COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are required to leave 112% in compensating balance with US Bank, 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 US Bank on the following day. 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 daily net assets. CLASSES -- Class-specific expenses are borne by that class of shares. Income, realized and unrealized gains/losses and non class-specific expenses are allocated to the respective class on the basis of relative daily net assets. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars on the following basis: (I) market value of investment securities, assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities. The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Small Cap Growth, Global Managed Volatility, Enhanced Income and Core Fixed Income Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. The Core Fixed Income Fund may also engage in currency transactions to enhance the Fund's returns. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Small Cap Growth, Global Managed Volatility, Enhanced Income and Core Fixed Income Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. At the year ended September 30, 2008, the Small Cap Growth Fund did not have any forward foreign currency contracts outstanding. FUTURES CONTRACTS -- All Funds, with the exception of the Real Estate and High Yield Bond Funds, utilized futures contracts during the year or period ended September 30, 2008. The Funds' investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Core Fixed Income Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund's returns. Initial margin SEI Institutional Managed Trust / Annual Report / September 30, 2008 222 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 gains or losses 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 of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. OPTIONS/SWAPTIONS WRITING/PURCHASING -- Each Fund may invest in financial options/swaptions contracts 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. The Core Fixed Income Fund may also invest in financial option/swaption contracts to enhance the Fund's returns. When the Fund writes or purchases an option/swaption, 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/swaption written or purchased. Premiums received or paid from writing or purchasing options/swaptions 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/swaption 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. The Large Cap Diversified Alpha, Small/Mid Cap Diversified Alpha and Core Fixed Income Funds had option/swaption contracts as of September 30, 2008 as disclosed in the Fund's Schedule of Investments. The risk in writing a call option/swaption is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is that the Funds may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is that the Funds pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statement of Assets and Liabilities. Written option transactions entered into during the year ended September 30, 2008 are summarized as follows:
Large Cap Diversified Alpha Fund ------------------------- Number of Premium Contracts ($ Thousands) --------- ------------- Balance at the beginning of period 43 $ 7 Written -- -- Expired -- -- Closing Buys (43) (7) --- --- Balance at the end of period -- -- --- ---
Small/Mid Cap Diversified Alpha Fund ------------------------- Number of Premium Contracts ($ Thousands) --------- ------------- Balance at the beginning of period 7 $ 1 Written -- -- Expired -- -- Closing Buys (7) (1) --- --- Balance at the end of period -- -- --- ---
Core Fixed Income Fund ------------------------- Number of Premium Contracts ($ Thousands) --------- ------------- Balance at the beginning of period 2,086 $ 1,344 Written 13,326 8,673 Expired (7,795) (5,017) Closing Buys (4,546) (2,653) ------ ------- Balance at the end of period 3,071 2,347 ------ -------
Written swaptions transactions entered into during the year ended September 30, 2008 are summarized as follows:
Core Fixed Income Fund --------------------------- Notional Amount Premium (Thousands) ($ Thousands) ----------- ------------- Balance at the beginning of period 102,000 $ 2,255 Written 9,240 -- Expired -- -- Closing buys (78,240) (1,536) ------- ------- Balance at the end of period 33,000 $ 719 ------- -------
At September 30, 2008, the Core Fixed Income Fund had cash and/or securities at least equal to the value of written options/swaptions. SECURITIES SOLD SHORT -- As consistent with the Funds' investment objectives, the Funds may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, the Fund must borrow the security to SEI Institutional Managed Trust / Annual Report / September 30, 2008 223 Notes to Financial Statements (Continued) September 30, 2008 make delivery to the buyer. The Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by the Fund. Until the security is replaced, the Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, the Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale. Until a Fund closes its short position or replaces the borrowed security, the Fund will: (a) maintain a segregated account containing cash or liquid securities at such a level that (i) the amount deposited in the account plus the amount deposited with the broker as collateral will equal the current value of the security sold short; and (ii) the amount deposited in the segregated account plus the amount deposited with the broker as collateral will not be less than the market value of the security at the time the security was sold short, or (b) otherwise cover the Fund's short positions. SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by the Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage the Fund's exposure to interest rates. Payments received or made are recorded as realized gains or loss. The Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the Fund's portfolio. In connection with swap agreements securities may be set aside as collateral by the Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect the Fund's value from changes in interest rates, or to expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. DELAYED DELIVERY TRANSACTIONS -- The Core Fixed Income Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. SEI Institutional Managed Trust / Annual Report / September 30, 2008 224 For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class. The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but are not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. RESTRICTED SECURITIES -- At September 30, 2008, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at September 30, 2008, were as follows:
RIGHT TO NUMBER ACQUISITION ACQUIRE COST MARKET VALUE % OF NET OF SHARES DATE DATE ($ THOUSANDS) ($ THOUSANDS) ASSETS --------- ----------- -------- ------------- ------------- -------- SMALL CAP VALUE FUND Verde Realty PIPE 21,100 02/16/07 02/16/07 $ 696 $ 696 0.08% ====== ====== ==== SMALL CAP GROWTH FUND Rentech Warrant 19,400 04/20/07 04/20/07 $ -- $ 8 0.00% Scorpio Mining PIPE 461,700 05/05/08 05/05/08 453 387 0.06 Thunderbird Resorts PIPE 153,500 11/15/07 11/15/07 1,382 1,381 0.22 Thunderbird Resorts PIPE 3,200 02/06/08 02/06/08 29 29 0.00 Value Creation 121,940 08/10/06 08/10/06 1,491 962 0.15 ------ ------ ---- $3,355 $2,767 0.43% ====== ====== ==== SMALL/MID CAP DIVERSIFIED ALPHA FUND Rentech Warrant 1,000 05/30/07 05/30/07 $ -- $ -- 0.00% Scorpio Mining PIPE 52,300 05/08/08 05/08/08 52 44 0.04 Thunderbird Resorts PIPE 15,300 11/15/07 11/15/07 138 138 0.13 Thunderbird Resorts PIPE 1,700 02/07/08 02/07/08 15 15 0.02 Value Creation 8,040 04/30/07 04/30/07 87 63 0.06 ------ ------ ---- $ 292 $ 260 0.25% ====== ====== ==== REAL ESTATE FUND Verde Realty PIPE 21,400 02/16/07 02/16/07 $ 706 $ 706 0.28% ====== ====== ==== CORE FIXED INCOME FUND Allegheny Energy Supply 955 12/15/07 12/15/07 $1,034 $ 965 0.02% Southern Natural Gas 1,115 10/19/07 10/19/07 1,089 987 0.03 ------ ------ ---- $2,123 $1,952 0.05% ====== ====== ====
SEI Institutional Managed Trust / Annual Report / September 30, 2008 225 Notes to Financial Statements (Continued) September 30, 2008 DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Tax-Managed Managed Volatility, Real Estate and Enhanced Income Funds; are declared and paid annually for the Global Managed Volatility Fund; and declared daily and paid monthly for the Core Fixed Income and High Yield Bond Funds. Any net realized capital gains on sales of securities are distributed to shareholders at least annually. Dividends and distributions are recorded on the ex-dividend date. The Large Cap Value, Large Cap Diversified Alpha, Small Cap Value, Tax-Managed Small Cap, Mid-Cap and U.S. Managed Volatility Funds utilized earnings and profits distributed to shareholders on redemption of shares as a part of the dividends paid deduction for income tax purposes. INVESTMENTS IN REITS -- With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments Global Funds Services (the "Administrator") are parties to an amended and restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and transfer agency services to the Funds for an annual fee of 0.35% of the average daily net assets of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap Class A, Large Cap Diversified Alpha, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income and High Yield Bond Funds; 0.15% of the average daily net assets of the Tax-Managed Large Cap Class Y, 0.22% of the average daily net assets of the S&P 500 Index Fund; and 0.28% of the average daily net assets of the Core Fixed Income Fund. The Administrator has agreed voluntarily 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 Administrator's sole discretion. INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC") serves as investment adviser (the "Adviser") to each Fund. In connection with serving as Adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund, exclusive of short sale expenses, will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows:
Voluntary Expense Voluntary Limitations Advisory Expense Prior to Fees Limitations 03/01/08 -------- ----------- ----------- Large Cap Value Fund, Class A 0.3500% 0.8900% 0.8600% Large Cap Value Fund, Class I 0.3500 1.1100 1.1100 Large Cap Growth Fund, Class A 0.4000 0.8900 0.8600 Large Cap Growth Fund, Class I 0.4000 1.1100 0.1100 Tax-Managed Large Cap Fund, Class A 0.4000 0.8900 0.8600 Tax-Managed Large Cap Fund, Class Y 0.4000 0.5600 0.5600 Large Cap Diversified Alpha Fund, Class A 0.4000 0.9500 0.9500 Large Cap Diversified Alpha Fund, Class I 0.4000 1.2000 1.2000 S&P 500 Index Fund, Class A 0.0300 0.4300 0.4000 S&P 500 Index Fund, Class E 0.0300 0.2500 0.2500 S&P 500 Index Fund, Class I 0.0300 0.6500 0.6500 Small Cap Value Fund, Class A 0.6500 1.1400 1.1100 Small Cap Value Fund, Class I 0.6500 1.3600 1.3600 Small Cap Growth Fund, Class A 0.6500 1.1100 1.1100 Small Cap Growth Fund, Class I 0.6500 1.3600 1.3600 Tax-Managed Small Cap Fund, Class A 0.6500 1.1100 1.1100 Small/Mid Cap Diversified Alpha Fund, Class A 0.7500 1.2000 1.2000 Small/Mid Cap Diversified Alpha Fund, Class I 0.7500 1.4500 1.4500 Mid-Cap Fund, Class A 0.4000 1.0200 1.0100 Mid-Cap Fund, Class I 0.4000 1.2600 1.2600 U.S. Managed Volatility Fund, Class A 0.6500 1.0000 1.0000 U.S. Managed Volatility Fund, Class I 0.6500 1.2500 1.2500 Global Managed Volatility Fund, Class A 0.6500 1.1100 1.1100 Global Managed Volatility Fund, Class I 0.6500 1.3600 1.3600 Tax-Managed Managed Volatility Fund, Class A 0.6500 1.0000 1.0000 Real Estate Fund, Class A 0.6500 1.1400 1.1100 Real Estate Fund, Class I 0.6500 1.3600 1.3600 Enhanced Income Fund, Class A 0.4000 0.6000 0.6000 Enhanced Income Fund, Class I 0.4000 0.8500 0.8500 Core Fixed Income Fund, Class A 0.2750 0.6700 0.6400 Core Fixed Income Fund, Class I 0.2750 0.8900 0.8900 High Yield Bond Fund, Class A 0.4875 0.8900 0.8600 High Yield Bond Fund, Class I 0.4875 1.1100 1.1100
SEI Institutional Managed Trust / Annual Report / September 30, 2008 226 As of September 30, 2008, SIMC has entered into investment sub-advisory agreements with the following parties: Investment Sub-Adviser LARGE CAP VALUE FUND AllianceBernstein LP Aronson + Johnson + Ortiz, LP INTECH Investment Management, LLC Legg Mason Capital Management Inc. LSV Asset Management LARGE CAP GROWTH FUND Delaware Management Company INTECH Investment Management, LLC Goldman Sachs Asset Management, L.P. Legg Mason Capital Management Inc. Montag & Caldwell, Inc. Quantitative Management Associates LLC TAX-MANAGED LARGE CAP FUND AllianceBernstein LP Aronson + Johnson + Ortiz, LP Delaware Management Company Goldman Sachs Asset Management, L.P. Legg Mason Capital Management Inc. LSV Asset Management Montag & Caldwell, Inc. Parametric Portfolio Associates Quantitative Management Associates LLC LARGE CAP DIVERSIFIED ALPHA FUND Analytic Investors, LLC Aronson + Johnson + Ortiz, LP Delaware Management Company INTECH Investment Management, LLC Legg Mason Capital Management Inc. Quantitative Management Associates LLC Smith Breeden Associates, Inc. S&P 500 INDEX FUND SSgA Funds Management, Inc. SMALL CAP VALUE FUND Artisan Partners Limited Partnership BlackRock Capital Management, Inc. LSV Asset Management Lee Munder Investments, Ltd. Martingale Asset Management, L.P. Neuberger Berman Management LLC PanAgora Asset Management, Inc.* Robeco Investment Management, INC. Wellington Management Company, LLP SMALL CAP GROWTH FUND Janus Capital Management, Inc. Lee Munder Investments, Ltd. Los Angeles Capital Management and Equity Research Inc. Martingale Asset Management, L.P. Mazama Capital Management, Inc. McKinley Capital Management Inc. Investment Sub-Adviser SMALL CAP GROWTH FUND (continued) Oppenheimer Capital LLC Wellington Management Company, LLP TAX-MANAGED SMALL CAP FUND BlackRock Capital Management, Inc. Los Angeles Capital Management and Equity Research, Inc. LSV Asset Management Mazama Capital Management, Inc. McKinley Capital Management Inc. Neuberger Berman Management LLC Parametric Portfolio Associates Wells Capital Management, Inc. SMALL/MID CAP DIVERSIFIED ALPHA FUND Integrity Asset Management LLC Los Angeles Capital Management and Equity Research, Inc. Martingale Asset Management, L.P. PanAgora Asset Management, Inc. Smith Breeden Associates, Inc. Wellington Management Company, LLP MID-CAP FUND Martingale Asset Management, L.P. Quantitative Management Associates LLC U.S. MANAGED VOLATILITY FUND Analytic Investors, LLC Aronson + Johnson + Ortiz, LP GLOBAL MANAGED VOLATILITY FUND Acadian Asset Management, LLC Analytic Investors, LLC TAX-MANAGED MANAGED VOLATILITY FUND Analytic Investors, LLC Aronson + Johnson + Ortiz, LP Parametric Portfolio Associates REAL ESTATE FUND Security Capital Research and Management, Inc. Wellington Management Company, LLP ENHANCED INCOME FUND Highland Capital Management, L.P. Record Currency Management Limited UBS Global Asset Management (Americas) Inc. Wellington Management Company, LLP CORE FIXED INCOME FUND Metropolitan West Asset Management LLC Smith Breeden Associates, Inc. Wells Capital Management, Inc. Western Asset Management Company Western Asset Management Company Limited HIGH YIELD BOND FUND Ares Management LLC Delaware Management Company J.P. Morgan Investment Management, Inc. Nomura Corporate Research and Asset Management, Inc. * Not funded Under the investment sub-advisory agreements, each party receives an annual fee paid by SIMC. SEI Institutional Managed Trust / Annual Report / September 30, 2008 227 Notes to Financial Statements (Continued) September 30, 2008 DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary of SEI Investments Company ("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, Class E, Class I and Class Y shares (the "Shareholder Servicing Plans") under which a shareholder servicing fee of up to 0.25% of average daily net assets attributable to Class A shares of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income and High Yield Bond Funds, Class E and Class I shares, and a shareholder servicing fee of up to 0.15% of average daily net assets attributable to Class A shares of the S&P 500 Index Fund and Class Y shares, will be paid to the Distributor. In addition to the Shareholder Servicing Plans, the Class I shares have adopted administrative service plans that provide for administrative service fees payable to the Distributor of up to 0.25% of the average daily net assets attributed to that class. OTHER -- 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. SEC rules require that such commissions not exceed usual and customary commissions. Such commissions for the year ended September 30, 2008 were as follows ($ Thousands): Large Cap Value Fund $ 110 Large Cap Growth Fund 518 Tax-Managed Large Cap Fund 388 Large Cap Diversified Alpha Fund 96 Small Cap Value Fund 283 Small Cap Growth Fund 341 Tax-Managed Small Cap Fund 190 Small/Mid Cap Diversified Alpha Fund 4 Real Estate Fund 17 ------ $1,947 ======
Under both the Shareholder Servicing Plans and administrative service plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. For the year ended September 30, 2008, the Distributor retained 100% of the shareholder servicing fees, less the waiver, and 100% of the administration servicing fees. Certain officers and/or trustees of the Trust are also officers of the Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator. A portion of the services provided by the Chief Compliance Officer ("CCO") and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust's Adviser, sub-advisers and service providers as required by SEC regulations. The CCO's services have been approved by and are reviewed by the Board. LSV Asset Management (a partially owned subsidiary of SIMC) serves as the sub-adviser to the Large Cap Value, Tax-Managed Large Cap, Small Cap Value and Tax-Managed Small Cap Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2008 were as follows ($ Thousands): Large Cap Value Fund $1,065 Tax-Managed Large Cap Fund 482 Small Cap Value Fund 504 Tax-Managed Small Cap Fund 242 ------ $2,293 ====== FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Fund's expense ratio, as a percentage of the Fund's average daily net assets for the year ended September 30, 2008, can be found on the Statement of Operations. INVESTMENT IN AFFILIATED SECURITY -- The Funds may invest the cash collateral from the securities lending program in the SEI Liquidity Fund, L.P. SEI Institutional Managed Trust / Annual Report / September 30, 2008 228 4. CAPITAL SHARE TRANSACTIONS Capital Share Transactions for the Funds were as follows (Thousands): For the years or period ended September 30,
LARGE CAP LARGE CAP LARGE CAP TAX-MANAGED DIVERSIFIED VALUE FUND GROWTH FUND LARGE CAP FUND ALPHA FUND ---------------- ---------------- ---------------- ---------------- 2008 2007 2008 2007 2008 2007 2008 2007 ------- ------- ------- ------- ------- ------- ------- ------- Class A: Shares Issued 31,408 22,820 26,830 24,904 39,724 37,459 51,288 65,075 Shares Issued in Lieu of Dividends & Distributions 17,150 16,663 491 339 2,117 1,745 7,606 2,114 Shares Redeemed (48,667) (48,402) (45,519) (42,404) (44,699) (29,612) (47,337) (30,979) ------- ------- ------- ------- ------- ------- ------- ------- Total Class A Transactions (109) (8,919) (18,198) (17,161) (2,858) 9,592 11,557 36,210 ------- ------- ------- ------- ------- ------- ------- ------- Class I: Shares Issued 258 467 254 339 -- -- 6 68 Shares Issued in Lieu of Dividends & Distributions 116 151 1 -- -- -- 2 -- Shares Redeemed (900) (735) (905) (673) -- -- (3) (27) ------- ------- ------- ------- ------- ------- ------- ------- Total Class I Transactions (526) (117) (650) (334) -- -- 5 41 ------- ------- ------- ------- ------- ------- ------- ------- Class Y: Shares Issued -- -- -- -- 14 7 -- -- Shares Issued in Lieu of Dividends & Distributions -- -- -- -- 3 3 -- -- Shares Redeemed -- -- -- -- (48) (49) -- -- ------- ------- ------- ------- ------- ------- ------- ------- Total Class Y Transactions -- -- -- -- (31) (39) -- -- ------- ------- ------- ------- ------- ------- ------- ------- Net Increase (Decrease) in Capital Share Transactions (635) (9,036) (18,848) (17,495) (2,889) 9,553 11,562 36,251 ------- ------- ------- ------- ------- ------- ------- -------
S&P 500 SMALL CAP SMALL CAP TAX-MANAGED INDEX FUND(3) VALUE FUND GROWTH FUND SMALL CAP FUND ----------------------------- ----------------- ---------------- -------------- 2008 2007(1) 2007(2) 2008 2007 2008 2007 2008 2007 ------- ------- ----------- -------- ------- ------- ------- ----- ------- Class A: Shares Issued 9,729 1,250 2,517 15,531 11,573 10,427 12,999 9,660 7,958 Shares Issued in Lieu of Dividends & Distributions 984 53 445 7,807 5,373 4,398 -- 1,848 1,709 Shares Redeemed (10,992) (1,749) (3,966) (21,084) (18,686)(4) (21,820) (20,205)(4) (9,652) (4,181) ------- ------ ------- ------- ------- ------- ------- ------ ------ Total Class A Transactions (279) (446) (1,004) 2,254 (1,740) (6,995) (7,206) 1,856 5,486 ------- ------ ------- ------- ------- ------- ------- ------ ------ Class E: Shares Issued 3,760 1,414 2,742 -- -- -- -- -- -- Shares Issued in Lieu of Dividends & Distributions 1,550 89 908 -- -- -- -- -- -- Shares Redeemed (4,458) (4,713) (20,320)(4) -- -- -- -- -- -- ------- ------ ------- ------- ------- ------- ------- ------ ------ Total Class E Transactions 852 (3,210) (16,670) -- -- -- -- -- -- ------- ------ ------- ------- ------- ------- ------- ------ ------ Class I: Shares Issued 75 58 123 327 310 108 190 -- -- Shares Issued in Lieu of Dividends & Distributions 18 1 10 97 70 31 -- -- -- Shares Redeemed (220) (109) (129) (541) (388) (325) (408) -- -- ------- ------ ------- ------- ------- ------- ------- ------ ------ Total Class I Transactions (127) (50) 4 (117) (8) (186) (218) -- -- ------- ------ ------- ------- ------- ------- ------- ------ ------ Net Increase (Decrease) in Capital Share Transactions 446 (3,706) (17,670) 2,137 (1,748) (7,181) (7,424) 1,856 5,486 ------- ------ ------- ------- ------- ------- ------- ------ ------
(1) For the six months ended September 30, 2007. Effective September 17, 2007 the Fund's fiscal year end changed from March 31 to September 30. (2) For the year ended March 31. (3) On September 14, 2007, the SEI Institutional Managed Trust acquired the net assets of the SEI S&P 500 Index Fund in a tax-free reorganization. (4) Includes redemption as a result of in-kind transfer of securities (see Note 9). Amounts designated as "--" are $0 or have been rounded to $0. SEI Institutional Managed Trust / Annual Report / September 30, 2008 229 Notes to Financial Statements (Continued) September 30, 2008
SMALL/MID TAX-MANAGED DIVERSIFIED MID-CAP U.S. MANAGED GLOBAL MANAGED MANAGED ALPHA FUND(1) FUND VOLATILITY FUND VOLATILITY FUND VOLATILITY FUND (2) -------------- --------------- ---------------- ---------------- ------------------ 2008 2007 2008 2007 2008 2007 2008 2007 2008 ------ ------ ------ ------ ------- ------- ------- ------ ------------------ Class A: Shares Issued 6,741 13,754 4,773 7,597 18,890 28,238 11,668 20,365 12,750 Shares Issued in Lieu of Dividends & Distributions 155 66 851 300 2,023 1,043 736 204 36 Shares Redeemed (5,169) (881) (5,364) (4,069) (23,693) (10,963) (14,456) (5,154) (2,080) ------ ------ ------ ------ ------- ------- ------- ------ ------ Total Class A Transactions 1,727 12,939 260 3,828 (2,780) 18,318 (2,052) 15,415 10,706 ------ ------ ------ ------ ------- ------- ------- ------ ------ Class I: Shares Issued 3 -- 10 -- 1 -- 2 -- -- Shares Issued in Lieu of Dividends & Distributions -- -- 1 -- -- -- -- -- -- Shares Redeemed (1) -- (8) -- -- -- (1) -- -- ------ ------ ------ ------ ------- ------- ------- ------ ------ Total Class I Transactions 2 -- 3 -- 1 -- 1 -- -- ------ ------ ------ ------ ------- ------- ------- ------ ------ Net Increase (Decrease) in Capital Share Transactions 1,729 12,939 263 3,828 (2,779) 18,318 (2,051) 15,415 10,706 ------ ------ ------ ------ ------- ------- ------- ------ ------
REAL ESTATE ENHANCED CORE FIXED HIGH YIELD FUND INCOME FUND INCOME FUND BOND FUND -------------- ---------------- ------------------ ---------------- 2008 2007 2008 2007 2008 2007 2008 2007 ------ ------ ------- ------- -------- -------- ------- ------- Class A: Shares Issued 13,153 10,713 22,832 60,371 96,550 115,881 72,483 59,539 Shares Issued in Lieu of Dividends & Distributions 1,356 720 2,805 2,090 20,633 19,804 15,447 10,186 Shares Redeemed (9,661) (8,428) (49,890) (23,206) (174,884) (101,625) (75,185) (46,105) ------ ------ ------- ------- -------- -------- ------- ------- Total Class A Transactions 4,848 3,005 (24,253) 39,255 (57,701) 34,060 12,745 23,620 ------ ------ ------- ------- -------- -------- ------- ------- Class I: Shares Issued 2 -- 1 1 662 669 10 -- Shares Issued in Lieu of Dividends & Distributions -- -- -- -- 42 62 -- -- Shares Redeemed -- -- -- -- (1,105) (830) (3) -- ------ ------ ------- ------- -------- -------- ------- ------- Total Class I Transactions 2 -- 1 1 (401) (99) 7 -- ------ ------ ------- ------- -------- -------- ------- ------- Net Increase (Decrease) in Capital Share Transactions 4,850 3,005 (24,252) 39,256 (58,102) 33,961 12,752 23,620 ------ ------ ------- ------- -------- -------- ------- -------
(1) The Small/Mid Cap Diversified Alpha Fund commenced operations on December 20, 2006. (2) The Tax-Managed Managed Volatility Fund commenced operations on December 20, 2007. Amounts designated as "--" are $0 or have been rounded to $0. 5. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year or period ended September 30, 2008, were as follows:
U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) ------------- -------------- ------------- LARGE CAP VALUE FUND Purchases ........... $-- $1,558,373 $1,558,373 Sales ............... -- 1,860,932 1,860,932 LARGE CAP GROWTH FUND Purchases ........... -- 2,442,016 2,442,016 Sales ............... -- 2,790,677 2,790,677 TAX-MANAGED LARGE CAP FUND Purchases ........... -- 1,558,456 1,558,456 Sales ............... -- 1,556,928 1,556,928
U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- -------------- LARGE CAP DIVERSIFIED ALPHA FUND Purchases ........... $990,956 $ 622,953 $1,613,909 Sales ............... 949,510 622,602 1,572,112 S&P 500 INDEX FUND Purchases ........... -- 397,881 397,881 Sales ............... -- 432,160 432,160 SMALL CAP VALUE FUND Purchases ........... -- 863,313 863,313 Sales ............... -- 964,321 964,321 SMALL CAP GROWTH FUND Purchases ........... -- 1,082,425 1,082,425 Sales ............... -- 1,278,992 1,278,992
SEI Institutional Managed Trust / Annual Report / September 30, 2008 230
U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- TAX-MANAGED SMALL CAP FUND Purchases .......................... $ -- $ 355,101 $ 355,101 Sales .............................. -- 346,713 346,713 SMALL/MID CAP DIVERSIFIED ALPHA FUND Purchases .......................... 179,486 65,889 245,375 Sales .............................. 180,716 53,689 234,405 MID-CAP FUND Purchases .......................... -- 206,087 206,087 Sales .............................. -- 217,539 217,539 U.S. MANAGED VOLATILITY FUND Purchases .......................... -- 435,052 435,052 Sales .............................. -- 470,870 470,870 GLOBAL MANAGED VOLATILITY FUND Purchases .......................... -- 253,428 253,428 Sales .............................. -- 288,281 288,281 TAX-MANAGED MANAGED VOLATILITY FUND+ Purchases .......................... -- 134,205 134,205 Sales .............................. -- 40,401 40,401 REAL ESTATE FUND Purchases .......................... -- 174,212 174,212 Sales .............................. -- 122,839 122,839 ENHANCED INCOME FUND Purchases .......................... 59,130 13,400 72,530 Sales .............................. 77,389 124,618 202,007 CORE FIXED INCOME FUND Purchases .......................... 12,987,961 1,321,124 14,309,085 Sales .............................. 13,683,055 1,136,374 14,819,429 HIGH YIELD BOND FUND Purchases .......................... -- 753,605 753,605 Sales .............................. -- 689,927 689,927
+ For the period December 20, 2007 through September 30, 2008. 6. FEDERAL TAX INFORMATION It is each Fund's intention to continue to qualify as a regulated investment company under Subchapter M of The Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States. 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, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage- and asset-backed securities for tax purposes, return of capital, swap income reclassification, nontaxable redemption in-kind gain/loss, distribution reclassification, REIT income reclassification and utilization of earnings and profits on shareholder redemptions and net operating losses have been reclassified to/from the following accounts as of September 30, 2008:
Undistributed Accumulated Paid-in Net Investment Realized Capital Income/(Loss) Gain/(Loss) ($ Thousands) ($ Thousands) ($ Thousands) ------------- -------------- ------------- Large Cap Value Fund $ -- $ (37) $ 37 Large Cap Growth Fund -- (93) 93 Tax-Managed Large Cap Fund (437) 530 (93) Large Cap Diversified Alpha Fund -- (314) 314 S&P 500 Index Fund 2,637 150 (2,787) Small Cap Value Fund 637 879 (1,516) Small Cap Growth Fund -- 1,034 (1,034) Tax-Managed Small Cap Fund -- 60 (60) Small/Mid Cap Diversified Alpha Fund (3,564) 401 3,163 Mid-Cap Fund -- 66 (66) U.S. Managed Volatility Fund -- (48) 48 Global Managed Volatility Fund (4,752) 1,162 3,590 Real Estate Fund (1,951) 4,319 (2,368) Enhanced Income Fund -- (4,913) 4,913 Core Fixed Income Fund -- (4,107) 4,107 High Yield Bond Fund -- (15,600) 15,600
The tax character of dividends and distributions paid during the years or period ended September 30, 2008 and September 30, 2007 (unless otherwise indicated) was as follows:
Ordinary Long-term Return Income Capital Gain of Capital Total ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- Large Cap Value Fund 2008 $93,371 $282,073 $-- $375,444 2007 89,084 321,001 -- 410,085 Large Cap Growth Fund 2008 11,663 -- -- 11,663 2007 7,665 -- -- 7,665 Tax-Managed Large Cap Fund 2008 30,277 -- -- 30,277 2007 25,221 -- -- 25,221 Large Cap Diversified Alpha Fund 2008 51,516 30,983 -- 82,499 2007 15,521 7,983 -- 23,504
SEI Institutional Managed Trust / Annual Report / September 30, 2008 231 Notes to Financial Statements (Continued) September 30, 2008
Ordinary Long-term Return Income Capital Gain of Capital Total ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- S&P 500 Index Fund 2008 $ 30,514 $ 81,651 $ -- $112,165 2007(1) 6,937 -- -- 6,937 2007(2) 33,765 26,542 -- 60,307 Small Cap Value Fund 2008 35,546 106,276 -- 141,822 2007 28,891 92,533 -- 121,424 Small Cap Growth Fund 2008 728 86,250 -- 86,978 Tax-Managed Small Cap Fund 2008 4,502 20,515 -- 25,017 2007 4,745 19,830 -- 24,575 Small/Mid Cap Diversified Alpha Fund 2008 110 -- 1,245 1,355 2007 699 -- -- 699 Mid-Cap Fund 2008 7,244 10,547 -- 17,791 2007 1,396 6,038 -- 7,434 U.S. Managed Volatility Fund 2008 15,544 11,019 -- 26,563 2007 9,194 4,209 -- 13,403 Global Managed Volatility Fund 2008 7,306 774 -- 8,080 2007 2,197 45 -- 2,242 Tax Managed Volatility Fund 2008 375 -- -- 375 Real Estate Fund 2008 8,331 11,379 1,951 21,661 2007 6,013 8,207 159 14,379 Enhanced Income Fund 2008 27,075 -- -- 27,075 2007 21,572 -- -- 21,572 Core Fixed Income Fund 2008 217,874 -- -- 217,874 2007 215,422 -- -- 215,422 High Yield Bond Fund 2008 123,943 -- -- 123,943 2007 93,629 -- -- 93,629
(1) For the six months ended September 30, 2007. The Fund's fiscal year end changed from March 31 to September 30. (2) For the year ended March 31. As of September 30, 2008, the components of Distributable Earnings/(Accumulated Losses) were as follows:
Total Post Distributable Undistributed Undistributed Capital Post October Unrealized Other Earnings Ordinary Long-Term Loss October Currency Appreciation Temporary (Accumulated Income Capital Gain Carryforwards Losses Losses (Depreciation) Differences Losses) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- ------------- -------------- ------------- ------------- Large Cap Value Fund $13,491 $ -- $ -- $ (30,481) $ -- $(170,826) $ -- $ (187,816) Large Cap Growth Fund 2,429 -- (1,025,029) -- -- (68,175) -- (1,090,775) Tax-Managed Large Cap Fund 6,490 -- (271,803) (9,561) -- (7,810) 1 (282,683) Large Cap Diversified Alpha Fund 2,506 -- (3,489) (153,227) -- (183,163) 50 (337,323) S&P 500 Index Fund 6,652 10,295 -- -- -- 517,592 -- 534,539 Small Cap Value Fund 2,675 3,167 -- (26,795) (15) (53,268) -- (74,236) Small Cap Growth Fund 79 -- -- (82,461) (63) (137,565) (1,007) (221,017) Tax-Managed Small Cap Fund 379 -- -- (11,615) -- (23,994) -- (35,230) Small/Mid Cap Diversified Alpha Fund -- -- (1,577) (18,479) (3) (18,090) 19 (38,130) Mid-Cap Fund 236 -- (303) (16,941) -- (22,274) -- (39,282) U.S. Managed Volatility Fund 1,257 -- -- (9,680) -- (20,836) -- (29,259) Global Managed Volatility Fund -- -- -- (17,684) (2,362) (10,989) (1,734) (32,769) Tax Managed Managed Volatility Fund 369 -- -- (3,423) -- (3,589) -- (6,643) Real Estate Fund* 3,234 (10,928) -- -- (5) (15,021) (254) (22,974) Enhanced Income Fund 5,056 -- (3,953) (27,938) (4,237) (67,321) 869 (97,524) Core Fixed Income Fund 13,237 -- (50,341) -- -- (370,135) (21,754) (428,993) High Yield Bond Fund 18,715 -- (158,425) (48,103) -- (248,318) (33,925) (470,056)
* Information reflects Fund activity based on Fund's December 31, 2007 tax reporting year. SEI Institutional Managed Trust / Annual Report / September 30, 2008 232 Post October losses represent losses realized on investment transactions from November 1, 2007 through September 30, 2008 that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:
Total Capital Expires Expires Expires Expires Expires Expires Expires Loss 2016 2015 2014 2013 2012 2011 2010 Carryforwards ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- Large Cap Growth Fund $ -- $ -- $ -- $-- $ 7,113 $625,971 $391,945 $1,025,029 Tax-Managed Large Cap Fund -- -- -- -- 16,066 203,461 52,276 271,803 Large Cap Diversified Alpha Fund 3,489 -- -- -- -- -- -- 3,489 Small/Mid Cap Diversified Alpha Fund 1,577 -- -- -- -- -- -- 1,577 Mid-Cap Fund 303 -- -- -- -- -- -- 303 Enhanced Income Fund 3,427 526 -- -- -- -- -- 3,953 Core Fixed Income Fund 1,574 40,684 8,083 -- -- -- -- 50,341 High Yield Bond Fund 3,037 21,474 8,149 -- -- 57,113 68,652 158,425
During the year ended September 30, 2008, the Large Cap Growth, Tax-Managed Large Cap and Core Fixed Income Fund utilized $56,336,044, $18,155,675 and $8,777,535, respectively, of capital loss carryforward to offset capital gains. For Federal income tax purposes, the cost of securities owned at September 30, 2008, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at September 30, 2008, were as follows:
Net Unrealized Federal Appreciated Depreciated Appreciation/ Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- -------------- Large Cap Value Fund $2,943,425 $334,236 $(505,062) $(170,826) Large Cap Growth Fund 2,797,151 327,398 (395,573) (68,175) Tax-Managed Large Cap Fund 2,454,048 346,213 (354,023) (7,810) Large Cap Diversified Alpha Fund 1,705,351 110,405 (325,131) (214,726) S&P 500 Index Fund 912,027 621,209 (103,617) 517,592 Small Cap Value Fund 1,188,290 93,123 (146,391) (53,268) Small Cap Growth Fund 990,354 41,688 (179,246) (137,558) Tax-Managed Small Cap Fund 360,665 36,211 (60,205) (23,994) Small/Mid Cap Diversified Alpha Fund 147,353 6,954 (25,420) (18,466) Mid-Cap Fund 173,277 3,769 (26,043) (22,274) U.S. Managed Volatility Fund 472,499 26,036 (46,872) (20,836) Global Managed Volatility Fund 205,826 263,774 (276,192) (12,418) Tax-Managed Managed Volatility Fund 100,902 3,382 (6,971) (3,589) Real Estate Fund 373,298 24,569 (39,590) (15,021)
Net Unrealized Federal Appreciated Depreciated Appreciation/ Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- -------------- Enhanced Income Fund $ 390,152 $ 571 $ (66,978) $ (66,407) Core Fixed Income Fund 5,041,239 68,566 (439,669) (371,103) High Yield Bond Fund 1,449,125 2,054 (250,372) (248,318)
Management has analyzed the Funds' tax position taken on federal income tax returns for all open tax years and has concluded that as of September 30, 2008, no provision for income tax would be required in the Funds' financial statements. The Funds' federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. 7. SECURITIES LENDING Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust's Board of Trustees. These loans may not exceed 33 1/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral between 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day's market fluctuations and the current day's lending activity. Income from lending activity is determined by the amount of interest SEI Institutional Managed Trust / Annual Report / September 30, 2008 233 Notes to Financial Statements (Concluded) September 30, 2008 earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities. Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund L.P., repurchase agreements, which are collateralized by United States Treasury and Government Agency securities, and high-quality, short-term instruments, such as floating rate corporate obligations, commercial paper, and private placements with an average weighted maturity not to exceed 60 days and a maturity not to exceed 397 days. There is no guarantee that these investments will not lose value. 8. CONCENTRATIONS/RISKS In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Funds to the counterparty to the contract. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote. The market values of the Core Fixed Income and High Yield Bond Funds' 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. 9. IN-KIND TRANSFER OF SECURITIES During the year ended March 31, 2007, the S&P 500 Index Fund redeemed shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of transaction.
Transaction Date Shares Redeemed Value Gain - ---------------- --------------- ----------- ---------- 10/31/06 1,159,503 $47,458,439 $4,367,598
During the year ended September 30, 2007, the Small Cap Value and Small Cap Growth Funds redeemed shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of transaction.
Transaction Shares Gain Date Redeemed Value (Loss) ----------- --------- ----------- ------------ Small Cap Value Fund 10/31/06 2,111,117 $47,246,783 $ 2,167,503 Small Cap Growth Fund 10/31/06 3,291,723 64,649,433 (4,305,289)
For the year ended September 30, 2008 there were no In-Kind transfers of securities for any Funds. 10. RECENT ACCOUNTING PRONOUNCEMENTS In September 2006, the FASB issued Statement on Financial Accounting Standards ("SFAS") No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2008, the Funds do not believe the adoption of SFAS No. 157 will impact the amounts reported in the financial statements, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements reported in the financial statements for a fiscal period. In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES. SFAS No. 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS No.161 requires enhanced disclosures about the Funds' derivative and hedging activities, including how such activities are accounted for and their effect on the Funds' financial position, performance, and cash flows. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Funds' financial statements and related disclosures. On September 12, 2008, the FASB issued FASB Staff Position ("FSP") No. FAS 133-1 and FASB Interpretation Number ("FIN") 45-4 ("FSP 133-1"), DISCLOSURES ABOUT CREDIT DERIVATIVES AND CERTAIN GUARANTEES: AN AMENDMENT OF FASB STATEMENT NO. 133 AND FASB INTERPRETATION NO. 45; AND CLARIFICATION OF THE EFFECTIVE DATE OF FASB STATEMENT NO. 161. The FSP is intended to improve disclosures about credit derivatives by requiring more information about the potential adverse effects of changes in credit risk on the financial position, financial performance, and cash flows of the sellers of credit derivatives. It amends FASB Statement No. 133, ACCOUNTING FOR DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES, to require disclosures by sellers of credit derivatives, including credit derivatives embedded in hybrid instruments. The FSP also amends FIN 45, GUARANTOR'S ACCOUNTING AND DISCLOSURE REQUIREMENTS FOR GUARANTEES, INCLUDING INDIRECT GUARANTEES OF INDEBTEDNESS TO OTHERS, to require an additional disclosure about the current status of the payment/performance risk of a guarantee. FSP 133-1 and FIN 45-4 is effective for reporting periods (annual or interim) ending after November 15, 2008. Management of the Fund is currently assessing the impact of adopting FSP No. FAS 133-1 and FIN 45-4. SEI Institutional Managed Trust / Annual Report / September 30, 2008 234 11. OTHER MATTERS (Unaudited) Due to volatility in the fixed income and equity markets, the market value of some of the Fund's holdings may currently be lower than shown in the Schedules of Investments ("SOI"). The values shown in the SOI's were the market values as of September 30, 2008 and do not reflect any market events after September 30, 2008. SEI Institutional Managed Trust / Annual Report / September 30, 2008 235 Report of Independent Registered Public Accounting Firm To the Board of Trustees and Shareholders of SEI Institutional Managed Trust We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of SEI Institutional Managed Trust, comprising the Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, Large Cap Diversified Alpha Fund, S&P 500 Index Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Small/Mid Cap Diversified Alpha Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund and High Yield Bond Fund (collectively, the "Funds"), as of September 30, 2008, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights of the Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Real Estate Fund, Core Fixed Income Fund and High Yield Bond Fund for each of the years or periods in the two-year period ended September 30, 2005 and prior, were audited by other auditors. Those auditors expressed an unqualified opinion on those financial highlights in their reports dated November 28, 2005. The financial highlights of the S&P 500 Index Fund for each of the years or periods in the two-year period ended March 31, 2005 were audited by other auditors. Those auditors expressed an unqualified opinion on those financial highlights in their reports dated May 31, 2005. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2008, by correspondence with custodians and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Managed Trust as of September 30, 2008, and the results of their operations for the year or period then ended, the changes in their net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the three-year period then ended, in conformity with U.S. generally accepted accounting principles. (KPMG LLP) Philadelphia, Pennsylvania November 26, 2008 SEI Institutional Managed Trust / Annual Report / September 30, 2008 236 TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) The following chart lists Trustees and Officers as of November 21, 2008. Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS NAME ADDRESS, AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE - ----------------------- ----------- ---------- ------------------------------ ------------- ------------------------------ INTERESTED TRUSTEES Robert A. Nesher Chairman since 1982 Currently performs various 80 Trustee of The Advisors' Inner One Freedom of the services on behalf of SEI Circle Fund, The Advisors' Valley Drive, Board of Investments for which Mr. Inner Circle Fund II, Bishop Oaks, PA 19456 Trustees* Nesher is compensated. Street Funds, Director of SEI 61 yrs. old Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Opportunity Fund, L.P., SEI Structured Credit Fund, L.P., and SEI Multi- Strategy Funds plc. William M. Doran Trustee* since 1982 Self-employed consultant since 80 Trustee of The Advisors' Inner 1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors' Philadelphia, PA Bockius LLP (law firm) from Inner Circle Fund II, Bishop 19103 1976 to 2003, counsel to the Street Funds, Director of SEI 68 yrs. old Trust, SEI, SIMC, the since 1974. Director of the Administrator and the Distributor since 2003. Distributor. Secretary of SEI Director of SEI Investments -- since 1978. Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited and SEI Asset Korea Co., Ltd. TRUSTEES James M. Storey Trustee since 1995 Attorney, sole practitioner 80 Trustee of The Advisors' Inner One Freedom since 1994. Partner, Dechert Circle Fund, The Advisors' Valley Drive, Price & Rhoads, September Inner Circle Fund II, Bishop Oaks, PA 19456 1987-December 1993. Street Funds, Massachusetts 77 yrs. old Health and Education Tax- Exempt Trust, and U.S. Charitable Gift Trust.
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR. (1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. (2) THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, L.P. SEI Institutional Managed Trust / Annual Report / September 30, 2008 237 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)
TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS NAME ADDRESS, AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE - ----------------------- ----------- ---------- ------------------------------ ------------- ------------------------------ TRUSTEES (CONTINUED) George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 80 Trustee of The Advisors' Inner One Freedom Newfound Consultants Inc. Circle Fund, The Advisors' Valley Drive since April 1997. Inner Circle Fund II, Bishop Oaks, PA 19456 Street Funds, State Street 65 yrs. old Navigator Securities Lending Trust, SEI Opportunity Fund, L.P.,and SEI Structured Credit Fund, L.P. Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 80 Director, Sonoco, Inc.; One Freedom Health Care Reform, Director, Exelon Corporation; Valley Drive Commonwealth of Pennsylvania Trustee, Pennsylvania Real Oaks, PA 19456 since 2003. Founder and Estate Investment Trust. 62 yrs. old Principal, Grecoventures Ltd. from 1999 to 2002. Nina Lesavoy Trustee since 2003 Founder and Managing Director, 80 Director of SEI Opportunity One Freedom Avec Capital since 2008. Fund, L.P., and SEI Structured Valley Drive, Managing Director, Cue Capital Credit Fund, L.P. Oaks, PA 19456 from March 2002-March 2008. 51 yrs. old James M. Williams Trustee since 2004 Vice President and Chief 80 Trustee/Director of Ariel One Freedom Investment Officer, J. Paul Mutual Funds, SEI Opportunity Valley Drive, Getty Trust, Non-Profit Fund, L.P., and SEI Structured Oaks, PA 19456 Foundation for Visual Arts, Credit Fund, L.P. 60 yrs. old since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Mitchell A. Johnson Trustee since 2007 Private Investor since 1994. 80 Trustee of the Advisors' Inner One Freedom Circle Fund, The Advisor's Valley Drive, Inner Circle Fund II, and Oaks, PA 19456 Bishop Street Funds. 66 yrs. old Hubert L. Harris, Jr. Trustee since 2008 Retired since December 2005. 80 Director of Colonial One Freedom Chief Executive Officer and BancGroup, Inc. and Chair of Valley Drive, Chair of the Board of the Board of Trustees, Georgia Oaks, PA 19456 Directors, AMVESCAP Tech Foundation, Inc. 65 yrs. old Retirement, Inc., (nonprofit corporation). 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003-December 2005. OFFICERS Robert A. Nesher President since 2005 Currently performs various N/A N/A One Freedom & CEO services on behalf of SEI for Valley Drive, which Mr. Nesher is Oaks, PA 19456 compensated. 61 yrs. old Stephen F. Panner Controller since 2005 Fund Accounting Director of N/A N/A One Freedom and Chief the Administrator since 2005. Valley Drive, Financial Fund Administration Manager, Oaks, PA 19456 Officer Old Mutual Fund Services, 38 yrs. old 2000-2005. Chief Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2000-2004. Assistant Treasurer, Old Mutual Advisors Fund, 2004-2005.
SEI Institutional Managed Trust / Annual Report / September 30, 2008 238
TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS NAME ADDRESS, AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE - ----------------------- ----------- ---------- ------------------------------ ------------- ------------------------------ OFFICERS (CONTINUED) Russell Emery Chief since 2006 Chief Compliance Officer of N/A N/A One Freedom Compliance SEI Alpha Strategy Portfolios, Valley Drive Officer L.P., SEI Structured Credit Oaks, PA 19456 Fund, L.P., since June 2007. 45 yrs. old SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, SEI Opportunity Fund, L.P., The Advisors' Inner Circle Fund, The Advisors' Inner Circle Fund II, and Bishop Street Funds, since March 2006. Director of Investment Product Management and Development of SIMC, February 2003-March 2006. Senior Investment Analyst-- Equity Team of SEI, March 2000-February 2003. Timothy D. Barto Vice since 2002 General Counsel, Vice N/A N/A One Freedom President President and Secretary of Valley Drive and SIMC and the Administrator Oaks, PA 19456 Secretary since 2004. Vice President and 40 yrs. old Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. James Ndiaye Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Valley Drive and Vice President, Deutsche Asset Oaks, PA 19456 Assistant Management (2003-2004). 39 yrs. old Secretary Associate, Morgan, Lewis & Bockius LLP (2000-2003). Michael T. Pang Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Valley Drive and Counsel, Caledonian Bank & Oaks, PA 19456 Assistant Trust's Mutual Funds Group 36 yrs. old Secretary (2004). Counsel, Permal Asset Management (2001-2004). Aaron Buser Vice since 2008 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2007. Valley Drive and Associate at Stark & Stark Oaks, PA 19456 Assistant (2004-2007). Associate at 37 yrs. old Secretary Flaster/Greenberg, P.C. (2000-2004). John J. McCue Vice since 2004 Director of Portfolio N/A N/A One Freedom President Implementations for SIMC since Valley Drive 1995. Managing Director of Oaks, PA 19456 Money Market Investments for 45 yrs. old SIMC since 2003. Andrew S. Decker Anti-Money since 2008 Compliance Officer and Product N/A N/A One Freedom Laundering Manager, SEI 2005-2008. Vice Valley Drive Compliance President, Old Mutual Capital, Oaks, PA 19456 Officer 2000-2005. 44 yrs. old
(1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. (2) THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, L.P. SEI Institutional Managed Trust / Annual Report / September 30, 2008 239 Disclosure of Fund Expenses (Unaudited) All mutual funds have operating expenses. As a shareholder of a mutual fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the mutual fund's gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the mutual fund's average net assets; this percentage is known as the mutual fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on the next page illustrates your Fund's costs in two ways: - - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the "Ending Account Value" number is derived from deducting that expense cost from the Fund's gross investment return. You can use this information, together with the actual amount you invested in your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under "Expenses Paid During Period." - - HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with those of other mutual funds. It assumes that your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund's comparative cost by comparing the hypothetical result for your Fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other mutual funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's actual return -- the account values shown do not apply to your specific investment. SEI Institutional Managed Trust / Annual Report / September 30, 2008 240
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/08 9/30/08 RATIOS PERIOD* --------- --------- ---------- ------- LARGE CAP VALUE FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 878.90 0.89% $4.18 Class I Shares 1,000.00 878.20 1.12 5.26 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.55 0.89% $4.50 Class I Shares 1,000.00 1,019.40 1.12 5.65 LARGE CAP GROWTH FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 874.30 0.89% $4.17 Class I Shares 1,000.00 873.30 1.12 5.25 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.55 0.89% $4.50 Class I Shares 1,000.00 1,019.40 1.12 5.65 TAX-MANAGED LARGE CAP FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 877.40 0.89% $4.18 Class Y Shares 1,000.00 879.00 0.57 2.68 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.25 0.89% $4.50 Class Y Shares 1,000.00 1,022.15 0.57 2.88 LARGE CAP DIVERSIFIED ALPHA FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 864.30 1.07% $4.99 Class I Shares 1,000.00 862.70 1.32 6.15 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.65 1.07% $5.40 Class I Shares 1,000.00 1,018.40 1.32 6.66 S&P 500 INDEX FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 888.70 0.41% $1.94 Class E Shares 1,000.00 889.30 0.26 1.23 Class I Shares 1,000.00 887.50 0.65 3.07 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.95 0.41% $2.07 Class E Shares 1,000.00 1,023.70 0.26 1.32 Class I Shares 1,000.00 1,021.75 0.65 3.29 SMALL CAP VALUE FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 968.80 1.14% $5.61 Class I Shares 1,000.00 968.50 1.37 6.74 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.30 1.14% $5.76 Class I Shares 1,000.00 1,018.15 1.37 6.91 SMALL CAP GROWTH FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 879.80 1.11% $5.22 Class I Shares 1,000.00 878.30 1.36 6.39 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.45 1.11% $5.60 Class I Shares 1,000.00 1,018.20 1.36 6.86 TAX-MANAGED SMALL CAP FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 919.00 1.11% $5.33 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.45 1.11% $5.60 SMALL/MID CAP DIVERSIFIED ALPHA FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 895.70 1.27% $6.02 Class I Shares 1,000.00 895.00 1.52 7.20 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,018.65 1.27% $6.41 Class I Shares 1,000.00 1,017.40 1.52 7.67
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/08 9/30/08 RATIOS PERIOD* --------- --------- ---------- ------- MID-CAP FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 863.20 1.02% $4.75 Class I Shares 1,000.00 862.00 1.27 5.91 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.90 1.02% $5.15 Class I Shares 1,000.00 1,018.65 1.27 6.41 U.S. MANAGED VOLATILITY FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 974.70 1.00% $4.94 Class I Shares 1,000.00 973.30 1.25 6.17 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.00 1.00% $5.05 Class I Shares 1,000.00 1,018.75 1.25 6.31 GLOBAL MANAGED VOLATILITY FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 956.70 1.10% $5.38 Class I Shares 1,000.00 955.50 1.35 6.60 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.50 1.10% $5.55 Class I Shares 1,000.00 1,018.25 1.35 6.81 TAX-MANAGED MANAGED VOLATILITY FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 981.00 1.00% $4.95 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.00 1.00% $5.05 REAL ESTATE FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 927.30 1.14% $5.49 Class I Shares 1,000.00 926.10 1.37 6.60 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.30 1.14% $5.76 Class I Shares 1,000.00 1,018.15 1.37 6.91 ENHANCED INCOME FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 954.50 0.60% $2.93 Class I Shares 1,000.00 952.80 0.84 4.10 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.00 0.60% $3.03 Class I Shares 1,000.00 1,020.80 0.84 4.24 CORE FIXED INCOME FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 953.70 0.67% $3.27 Class I Shares 1,000.00 951.60 0.90 4.39 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,021.65 0.67% $3.39 Class I Shares 1,000.00 1,020.50 0.90 4.55 HIGH YIELD BOND FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 937.90 0.89% $4.31 Class I Shares 1,000.00 938.20 1.12 5.43 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.55 0.89% $4.50 Class I Shares 1,000.00 1,019.40 1.12 5.65
* Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period shown). SEI Institutional Managed Trust / Annual Report / September 30, 2008 241 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) SEI Institutional Managed Trust (the "Trust") and SEI Investments Management Corporation ("SIMC") have entered into an investment advisory agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the "Funds") and may manage the cash portion of the Funds' assets. Pursuant to separate sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers' skills and investment results in managing assets for specific asset classes, investment styles and strategies. The Investment Company Act of 1940, as amended (the "1940 Act") requires that the initial approval of, as well as the continuation of, the Funds' Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds' Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission ("SEC") takes the position that, as part of their fiduciary duties with respect to a mutual fund's fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement. Consistent with these responsibilities, the Trust's Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC's and the Sub-Advisers' affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust's Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers. Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers' investment management and other services; (b) SIMC's and the Sub-Advisers' investment management personnel; (c) SIMC's and the Sub-Advisers' operations and financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds' overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and the Sub-Advisers' profitability from their Fund-related operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and the Sub-Advisers' policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds' performance compared with similar mutual funds. SEI Institutional Managed Trust / Annual Report / September 30, 2008 242 At the June 25-26, 2008 and September 17-18, 2008 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: - - the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; - - the Funds' investment performance and how it compared to that of other comparable mutual funds; - - the Funds' expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; - - the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and - - the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC's and the Sub-Advisers' personnel, experience, track record and compliance program. The Trustees found the level of SIMC's professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements. FUND PERFORMANCE. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds' performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds' net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds' respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. SEI Institutional Managed Trust / Annual Report / September 30, 2008 243 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded) PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements. ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds' shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. SEI Institutional Managed Trust / Annual Report / September 30, 2008 244 Notice to Shareholders (Unaudited) For shareholders who do not have a September 30, 2008, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2008, taxable year end, please consult your tax adviser as to the pertinence of this notice. For the fiscal year ended September 30, 2008, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
(C) (B) DIVIDENDS (A) ORDINARY QUALIFYING LONG-TERM INCOME TOTAL FOR CORPORATE CAPITAL GAIN DISTRIBUTIONS RETURN OF DISTRIBUTIONS DIVIDENDS REC. FUND DISTRIBUTION (TAX BASIS) CAPITAL (TAX BASIS) DEDUCTION (1) - ---- --------------- --------------- ------------ ------------- -------------- Large Cap Value Fund 75% 25% 0% 100% 95% Large Cap Growth Fund 0% 100% 0% 100% 100% Tax-Managed Large Cap Fund 0% 100% 0% 100% 100% Large Cap Diversified Alpha Fund 38% 62% 0% 100% 61% S&P 500 Index Fund 73% 27% 0% 100% 96% Small Cap Value Fund 75% 25% 0% 100% 34% Small Cap Growth Fund 81% 19% 0% 100% 39% Tax-Managed Small Cap Fund 82% 18% 0% 100% 77% Small/Mid Cap Diversified Alpha Fund 0% 8% 92% 100% 66% Mid-Cap Fund 59% 41% 0% 100% 24% U.S. Managed Volatility Fund 41% 59% 0% 100% 57% Global Managed Volatility Fund 10% 90% 0% 100% 16% Tax-Managed Managed Volatility 0% 100% 0% 100% 100% Real Estate Fund(6) 52% 39% 9% 100% 0% Enhanced Income Fund 0% 100% 0% 100% 0% Core Fixed Income Fund 0% 100% 0% 100% 0% High Yield Bond Fund 0% 100% 0% 100% 0%
(D) QUALIFYING DIVIDEND INCOME (E) INTEREST SHORT-TERM (15% TAX RATE U.S. GOVERNMENT RELATED CAPITAL GAIN FUND FOR QDI) (2) INTEREST (3) DIVIDENDS(4) DIVIDENDS (5) - ---- --------------- --------------- ------------ ------------- Large Cap Value Fund 95% 1% 1% 100% Large Cap Growth Fund 100% 1% 1% 0% Tax-Managed Large Cap Fund 100% 1% 1% 0% Large Cap Diversified Alpha Fund 46% 1% 17% 100% S&P 500 Index Fund 91% 1% 1% 100% Small Cap Value Fund 34% 1% 1% 100% Small Cap Growth Fund 35% 1% 1% 100% Tax-Managed Small Cap Fund 68% 1% 1% 100% Small/Mid Cap Diversified Alpha Fund 55% 0% 71% 0% Mid-Cap Fund 24% 1% 1% 100% U.S. Managed Volatility Fund 56% 0% 1% 100% Global Managed Volatility Fund 14% 1% 4% 100% Tax-Managed Managed Volatility 100% 1% 1% 0% Real Estate Fund(6) 0% 0% 0% 0% Enhanced Income Fund 0% 0% 99% 0% Core Fixed Income Fund 0% 9% 14% 100% High Yield Bond Fund 0% 0% 80% 100%
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). (2) The percentage in this column represents the amount of "Qualifying Dividend Income" and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). (3) "U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. (4) The percentage in this column represents the amount of "Interest Related Dividends" and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors. (5) The percentage in this column represents the amount of "Short-Term Capital Gain Dividends" as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. (6) Information reflects Fund activity based on Fund's December 31, 2007 tax reporting year. Items (A) and (B) are based on the percentages of each Fund's total distribution. Items (C) and (D) are based on the percentage of ordinary income distributions of each Fund. Item (E) is based on the percentage of gross income of each Fund. Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records. SEI Institutional Managed Trust / Annual Report / September 30, 2008 245 Notes Notes Notes SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2008 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams Mitchell A. Johnson Hubert L. Harris, Jr. OFFICERS Robert A. Nesher PRESIDENT AND CHIEF EXECUTIVE OFFICER Stephen F. Panner CONTROLLER AND CHIEF FINANCIAL OFFICER Russell Emery CHIEF COMPLIANCE OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY James Ndiaye VICE PRESIDENT, ASSISTANT SECRETARY Michael T. Pang VICE PRESIDENT, ASSISTANT SECRETARY Aaron Buser VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Andrew S. Decker ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP This 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 Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) (SEI(R) LOGO) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-087 (9/08) ITEM 2. CODE OF ETHICS. The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) The Registrant's board of trustees has determined that the Registrant has one audit committee financial expert serving on the audit committee. (a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr. Sullivan is an independent trustee as defined in Form N-CSR Item 3 (a) (2) ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Fees billed by KPMG LLP (KPMG) related to the Registrant. KPMG billed the Registrant aggregate fees for services rendered to the Registrant for fiscal year 2008 and for fiscal year 2007 as follows:
- ------------------ ----------------------------------------------------- ----------------------------------------------------- FISCAL YEAR 2008 FISCAL YEAR 2007 - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- All fees and All fees All other fees All fees and All fees and All other fees services to and services and services services to services to and services the Registrant to service to service the Registrant service to service that were affiliates affiliates that that were affiliates affiliates that pre-approved that were did not require pre-approved that were did not require pre-approved pre-approval pre-approved pre-approval - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (a) Audit $483,000 $0 N/A $390,500 N/A N/A Fees (1) - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (b) Audit- Related $0 $0 N/A $0 $0 N/A Fees - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (c) Tax $83,000 $0 N/A N/A N/A N/A Fees (2) - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (d) All $248,500 $0 N/A $15,215 $254,300 $0 Other Fees - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes: (1) Audit fees include amounts related to the audit of the Registrant's annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. (2) Review of Federal income tax returns of the Registrant. (e)(1) All requests or applications for services to be provided by the independent auditor shall be submitted to the Chief Financial Officer ("CFO") of the Registrant and must include a detailed description of the services proposed to be rendered. The Registrant `s CFO will determine whether such services (1) require specific pre-approval, (2) are included within the list of services that have received the general pre-approval of the audit committee or (3) have been previously pre-approved in connection with the independent auditor's annual engagement letter for the applicable year or otherwise. Requests or applications to provide services that require specific pre-approval by the audit committee will be submitted to the audit committee by the CFO. The audit committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The audit committee has delegated specific pre-approval authority to either the audit committee chair or financial expert, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the audit committee at its next regularly scheduled meeting. All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services. In addition, the audit committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor's independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
---------------------------- ----------------- ---------------- FYE 2008 FYE 2007 ---------------------------- ----------------- ---------------- Audit-Related Fees 0% 0% ---------------------------- ----------------- ---------------- Tax Fees 0% 0% ---------------------------- ----------------- ---------------- All Other Fees 0% 0% ---------------------------- ----------------- ----------------
(f) Not Applicable. (g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal year 2008 and fiscal year 2007 were $248,500 and $269,515, respectively. Non- audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17 Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant. (h) During the past fiscal year, Registrant's principal accountant provided certain non-audit services to Registrant's investment adviser or to entities controlling, controlled by, or under common control with Registrant's investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The audit committee of Registrant's board of trustees reviewed and considered these non-audit services provided by Registrant's principal accountant to Registrant's affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant's independence. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS Included in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not applicable. ITEM 9. PURCHASERS OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Registrant has a standing nominating committee (the "Committee") currently consisting of the independent trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant's board of trustees (the "Board"). Pursuant to the Committee's charter, adopted on June 18, 2004 and as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant's office. ITEM 11. 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 Registrants internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) 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)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit. - -------------------------------------------------------------------------------- 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 Institutional Managed Trust By (Signature and Title) /s/ Robert A. Nesher ------------------------------- Robert A. Nesher President & CEO Date: November 26, 2008 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: November 26, 2008 By (Signature and Title) /s/ Stephen F. Panner ------------------------------- Stephen F. Panner Controller & CFO Date: November 26, 2008 EX-99.CODE ETH 2 simtcoear9_08.txt SIMT AR CODE OF ETHICS 9_08 SEI LIQUID ASSET TRUST SEI TAX EXEMPT TRUST SEI DAILY INCOME TRUST SEI ASSET ALLOCATION TRUST SEI INSTITUTIONAL MANAGED TRUST SEI INSTITUTIONAL INTERNATIONAL TRUST SEI INSTITUTIONAL INVESTMENTS TRUST SEI ALPHA STRATEGY PORTFOLIOS, LP CODE OF ETHICS Adopted Under Rule 17j-1 While affirming its confidence in the integrity and good faith of all of its officers and trustees, each of SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Asset Allocation Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, and SEI Alpha Strategy Portfolios, LP (the "Trusts"), recognize that the knowledge of present or future portfolio transactions and, in certain instances, the power to influence portfolio transactions which may be possessed by certain of officers, employees and trustees could place such individuals, if they engage in personal transactions in securities which are eligible for investment by the Trust, in a position where their personal interest may conflict with that of the Trust. In view of the foregoing and of the provisions of Rule 17j-1(b)(1) under the Investment Company Act of 1940 (the "1940 Act"), each Trust has determined to adopt this Code of Ethics to specify and prohibit certain types of transactions deemed to create conflicts of interest (or at least the potential for or the appearance of such a conflict), and to establish reporting requirements and enforcement procedures. I. STATEMENT OF GENERAL PRINCIPLES. In recognition of the trust and confidence placed in each Trust by its shareholders, and to give effect to each Trust's belief that its operations should be directed to the benefit of its shareholders, each Trust hereby adopts the following general principles to guide the actions of its trustees, officers and employees: (1) The interests of the Trusts' shareholders are paramount, and all of the Trusts' personnel must conduct themselves and their operations to give maximum effect to this tenet by assiduously placing the interests of the shareholders before their own. (2) All personal transactions in securities by the Trusts' personnel must be accomplished so as to avoid even the appearance of a conflict of interest on the part of such personnel with the interests of the Trusts and their shareholders. (3) All of the Trusts' personnel must avoid actions or activities that allow (or appear to allow) a person to profit or benefit from his or her position with respect to the Trusts, or that otherwise bring into question the person's independence or judgment. (4) All of the Trusts' personnel are prohibited from disclosing material nonpublic information to others or engaging in the purchase or sale (or recommending or suggesting that any person engage in the purchase or sale) of any security to which such information relates. II. DEFINITIONS. (1) "Access Person" shall mean (i) each director/trustee or officer of a Trust, (ii) each director/trustee, officer or employee of a Trust or any of a Trust's advisers or sub-advisers (or of any company in a Control relationship to the Trust or such advisers or sub-advisers) who, in connection with his or her regular functions or duties, makes, participates in, or obtains information regarding, the purchase or sale of a Security by each Trust or any series thereof (each a "Fund"), or whose functions relate to the making of any recommendations with respect to such purchases or sales, (iii) any natural person in a Control relationship to a Trust or any of a Trust's advisers or sub-advisers who obtains information concerning recommendations made to the Trust with respect to the purchase or sale of a Security by any Fund; and (iv) each director, officer or general partner of any principal underwriter for a Trust, but only where such person, in the ordinary course of business, either makes, participates in, or obtains information regarding the purchase or sale of Securities by the Fund(s), or whose functions relate to the making of recommendations regarding Securities to the Fund(s). (2) "Automatic Investment Plan" shall mean a program in which regular periodic purchases (or withdrawals) are made automatically in (or from) investment accounts in accordance with a predetermined schedule and allocation. An Automatic Investment Plan includes a dividend reinvestment plan. (3) "Beneficial Ownership" of a security is to be determined in the same manner as it is for purposes of Section 16 of the Securities Exchange Act of 1934. This means that a person should generally consider himself the beneficial owner of any securities in which he has a direct or indirect pecuniary interest. In addition, a person should consider himself the beneficial owner of securities held by his spouse, his minor children, a relative who shares his home, orother persons by reason of any contract, arrangement, understanding or relationship that provides him with sole or shared voting or investment power. (4) "Control" shall have the same meaning as that set forth in Section 2(a)(9) of the 1940 Act. Section 2(a)(9) provides that "control" means the power to exercise a controlling influence over the management or policies of a company, unless such power is solely the result of an official position with such company. Ownership of 25% or more of a company's outstanding voting security is presumed to give the holder thereof control over the company. Such presumption may be countered by the facts and circumstances of a given situation. (5) "Independent Trustee" means a Trustee of a Trust who is not an "interested person" of that Trust within the meaning of Section 2(a)(19) of the 1940 Act. (6) "Initial Public Offering" ("IPO") means an offering of Securities registered under the Securities Act of 1933, the issuer of which, immediately before registration, was not subject to the reporting requirements of Section 13 or Section 15(d) of the Securities Exchange Act of 1934. (7) "Private Placement" means an offering that is exempt from registration under the Securities Act of 1933 pursuant to Section 4(2) or Section 4(6) in the Securities Act of 1933. (8) "Purchase or sale of a Security" includes, among other things, the writing of an option to purchase or sell a Security. (9) "Security" shall have the same meaning as that set forth in Section 2(a)(36) of the 1940 Act, except that it shall not include securities issued by the Government of the United States or an agency thereof, bankers' acceptances, bank certificates of deposit, commercial paper and high quality short-term debt instruments (including repurchase agreements), and shares of registered open-end mutual funds not organized as unit investment trusts, unless advised by SIMC. (Please note that transactions in Exchange Traded Funds that are organized as unit investment trusts and mutual funds advised by SIMC are subject to the reporting and holding period requirements of this Code of Ethics). (10) A Security "held or to be acquired" by a Trust or any Fund means (A) any Security which, within the most recent fifteen days, (i) is or has been considered by a Fund's investment adviser or sub- adviser for purchase by the Fund; (B) and any option to purchase or sell and any Security convertible into or exchangeable for any Security described in (A) above. (11) A Security is "being purchased or sold" by a Trust from the time when a purchase or sale program has been communicated to the person who places the buy and sell orders for the Trust until the time when such program has been fully completed or terminated. (12) "SEI Access Person" means any Access Person as defined in (1) above, except directors/trustees, officers, or employees of any of the Trusts' Sub-advisers. (13) "Special Purpose Investment Personnel" means each SEI Access Person who, in connection with his or her regular functions (including, where appropriate, attendance at Board meetings and other meetings at which the official business of a Trust or any Fund thereof is discussed or carried on), obtains contemporaneous information regarding the purchase or sale of a Security by a Fund. Special Purpose Investment Personnel shall occupy this status only with respect to those Securities as to which he or she obtains such contemporaneous information. III. PROHIBITED PURCHASES AND SALES OF SECURITIES. (1) No Access Person shall, in connection with the purchase or sale, directly or indirectly, by such person of a Security held or to be acquired by a Trust or any Fund: (A) Employ any device, scheme or artifice to defraud such Fund; (B) Make to such Fund any untrue statement of a material fact or omit to state to such Fund a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading; (C) Engage in any act, practice or course of business which would operate as a fraud or deceit upon such Fund; or (D) Engage in any manipulative practice with respect to a Fund. (2) No Special Purpose Investment Personnel may purchase or sell, directly or indirectly, any Security as to which such person is a Special Purpose Investment Personnel in which he had (or by reason of such transaction acquires) any Beneficial Ownership at any time within seven calendar days before or after the time that the same (or a related) Security is being purchased or sold by any Fund. (3) No SEI Access Person may sell a Security within 60 days of acquiring beneficial ownership of that Security. IV. ADDITIONAL RESTRICTIONS AND REQUIREMENTS. (1) Each SEI Access Person must obtain approval from the Review Officer before acquiring Beneficial Ownership of any securities offered in connection with an IPO or a Private Placement. (2) No SEI Access Person shall accept or receive any gift of more than de minimis value from any person or entity that does business with or on behalf of a Trust. (3) Each Access Person (other than a Trust's Independent Trustees) who is not required to provide such information under the terms of a code of ethics described in Section VII hereof must provide to the Review Officer, no later than ten days after he or she becomes an Access Person, an initial holdings report, and, within forty-five days after the end of each calendar year, an annual holdings report. The initial and annual holding reports shall disclose: (A) The title, number of shares and principal of amount of each Security in which such Access Person had any direct or indirect Beneficial Ownership; (B) The name of any broker, dealer or bank with whom the Access Person maintained an account in which any securities were held for the direct or indirect benefit of the Access Person; and (C) The date that the report was submitted by the Access Person. The information included in the initial holdings report must be current as of a date no more than 45 days prior to the date such person becomes an Access Person. The information included in the annual holdings report must be as of each calendar year-end. The Initial Holdings Report and Annual Holdings Report are attached as APPENDIX II and APPENDIX III, respectively. (4) Access Persons are not required to submit an initial or annual holdings report with respect to transactions effected for, and Securities held in, any account over which the Access Person has no direct or indirect influence or Control. V. REPORTING OBLIGATIONS. (1) Except as discussed below, each SEI Access Person (other than a Trust's Independent Trustees) shall report all transactions in Securities in which the person has, or by reason of such transaction acquires, any direct or indirect Beneficial Ownership. Reports shall be filed with the Review Officer quarterly. The Review Officer shall submit confidential quarterly reports with respect to his or her own personal securities transactions to an officer designated to receive his or her reports ("Alternate Review Officer"), who shall act in all respects in the manner prescribed herein for the Review Officer. (2) Every report shall be made not later than 30 days after the end of the calendar quarter in which the transaction to which the report relates was effected, and shall contain the following information: (A) The date of the transaction, the title, the interest rate and maturity date (if applicable), the number of shares and the principal amount of each Security involved; (B) The nature of the transaction (i.e., purchase, sale or any other type of acquisition or disposition); (C) The price of the Security at which the transaction was effected; (D) The name of the broker, dealer or bank with or through whom the transaction was effected; (E) The date the report was submitted by the Access Person; and (F) With respect to any account established by the Access Person in which any securities were held during the quarter for the direct or indirect benefit of the Access Person: (i) The name of the broker, dealer or bank with whom the Access Person established the account; (ii) The date the account was established; and (iii) The date the report was submitted by the Access Person. The Quarterly Transaction Report is attached as APPENDIX I. (3) Any such report may contain a statement that the report shall not be construed as an admission by the person making such report that he or she has any direct or indirect Beneficial Ownership in the Securities to which the report relates. (4) An SEI Access Person need not make a quarterly transaction report with respect to transactions effected pursuant to an Automatic Investment Plan. In addition, SEI Access Persons are not required to submit a quarterly transaction report with respect to transactions effected for, and Securities held in, any account over which the SEI Access Person has no direct or indirect influence or Control. (5) In the event no reportable transactions occurred during the quarter, the report should be so noted and returned signed and dated. (6) An Access Person who would otherwise be required to report his or her transactions under this Code shall not be required to file reports pursuant to this Section V where such person is required to file reports pursuant to a code of ethics described in Section VII, hereof. (7) An Independent Trustee shall report transactions in Securities only if the Trustee knew at the time of the transaction or, in the ordinary course of fulfilling his or her official duties as a trustee, should have known, that during the 15 day period immediately preceding or following the date of the trustee's transaction, such Security was purchased or sold, or was being considered for purchase or sale, by a Trust. (The "should have known" standard implies no duty of inquiry, does not presume there should have been any deduction or extrapolation from discussions or memoranda dealing with tactics to be employed meeting a Funds' investment objectives, or that any knowledge is to be imputed because of prior knowledge of the Fund's portfolio holdings, market considerations, or the Fund's investment policies, objectives and restrictions.) (8) An SEI Access Person need not submit a quarterly report if the report would duplicate information contained in broker trade confirmations or account statements received by the Review Officer, provided that all required information is contained in the broker trade confirmations or account statements and is received by the Review Officer no later than 30 days after the end of the calendar quarter. (9) Each Independent Trustee shall report the name of any publicly-owned company (or any company anticipating a public offering of its equity securities) and the total number of its shares beneficially owned by him or her if such total ownership is more than 1/2 of 1% of the company's outstanding shares. Such report shall be made promptly after the date on which the Trustee's ownership interest equaled or exceeded 1/2 of 1%. VI. REVIEW AND ENFORCEMENT. (1) The Review Officer is responsible for identifying each person who is (a) an Access Person of a Trust; and (b) required to report his or her transactions under this Code and shall inform such Access Persons of their reporting obligation under the Code. Such Access Persons shall execute the Compliance Certification attached hereto as APPENDIX IV. (2) The Review Officer shall compare all reported personal securities transactions with completed portfolio transactions of a Trust to determine whether a violation of this Code may have occurred. Before making any determination that a violation has been committed by any person, the Review Officer shall give such person an opportunity to supply additional explanatory material. (3) If the Review Officer determines that a violation of this Code may have occurred, he shall submit his written determination, together with the confidential monthly report and any additional explanatory material provided by the individual, to the Chief Compliance Officer of such Trust, who shall make an independent determination as to whether a violation has occurred. (4) If the Chief Compliance Officer finds that a violation has occurred, he shall impose upon the individual such sanctions as he deems appropriate and shall report the violation and the sanction imposed to the Board of Trustees of such Trust. (5) No person shall participate in a determination of whether he has committed a violation of the Code or of the imposition of any sanction against himself. If a securities transaction of the Chief Compliance Officer is under consideration, any Compliance Officer shall act in all respects in the manner prescribed herein for the Chief Compliance Officer. VII. INVESTMENT ADVISER'S AND PRINCIPAL UNDERWRITER'S CODE OF ETHICS. Each investment adviser (including, where applicable, any sub-adviser) and principal underwriter of a Trust shall: (1) Submit to the Board of Trustees of such Trust a copy of its code of ethics adopted pursuant to or in compliance with Rule 17j-1; (2) Promptly report to the appropriate Trust in writing any material amendments to such code of ethics; (3) Promptly furnish to such Trust, upon request, copies of any reports made pursuant to such code of ethics by any person who is an Access Person as to the Trust; (4) Shall immediately furnish to such Trust, upon request, all material information regarding any violation of such code of ethics by any person who is an Access Person as to the Trust; and (5) At least once a year, provide such Trust a written report that describes any issue(s) that arose during the previous year under its code of ethics, including any material code violations and any resulting sanction(s), and a certification that it has adopted measures reasonably necessary to prevent its personnel from violating its code of ethics. VIII. ANNUAL WRITTEN REPORT TO THE BOARD. At least once a year, the Chief Compliance Officer for each Trust will provide the Board of Trustees a written report that includes: (1) Issues Arising Under the Code. The Report will describe any issue(s) that arose during the previous year under the Code, including any material Code violations, and any resulting sanction(s). (2) Certification. The Report will certify to the Board of Trustees that each Trust has adopted measures reasonably necessary to prevent its personnel from violating the Code. IX. RECORDS. Each Trust shall maintain records in the manner and to the extent set forth below, which records may be maintained under the conditions described in Rule 31a-2 under the Investment Company Act and shall be available for examination by representatives of the Securities and Exchange Commission. (1) A copy of this Code and any other code which is, or at any time within the past five years has been, in effect shall be preserved in an easily accessible place; (2) A record of any violation of this Code and of any action taken as a result of such violation shall be preserved in an easily accessible place for a period of not less than five years following the end of the fiscal year in which the violation occurs; (3) A copy of each report submitted by an Access Person who is required to report under this Code, including any information provided in lieu of any such reports, shall be preserved for a period of not less than five years from the end of the fiscal year in which it is made or the information is provided, the first two years in an easily accessible place; (4) A list of all persons who are, or within the past five years have been, required to submit their reports pursuant to this Code, or who are or were responsible for reviewing these reports, shall be maintained in an easily accessible place; (5) A copy of each annual report to the Board of Trustees will be maintained for at least five years from the end of the fiscal year in which it is made, the first two years in an easily accessible place; and (6) A record of any decision, and the reasons supporting the decision, to approve the acquisition of Securities in an IPO or a Private Placement, shall be preserved for at least five years after the end of the fiscal year in which the approval is granted. X. MISCELLANEOUS. (1) Confidentiality. All reports of securities transactions and any other information filed with a Trust pursuant to this Code shall be treated as confidential. (2) Interpretation of Provisions. The Board of Trustees may from time to time adopt such interpretations of this Code as it deems appropriate. (3) Periodic Review and Reporting. The Chief Compliance Officer of each Trust shall report to the Board of Trustees at least annually as to the operation of this Code and shall address in any such report the need (if any) for further changes or modifications to this Code. Adopted March 6, 1995. Revised December 7, 2005 Revised June 9, 2008 APPENDIX I QUARTERLY PERSONAL SECURITIES TRANSACTIONS REPORT Name of Reporting Person: __________________________ Calendar Quarter Ended: __________________________ Date Report Due: __________________________ Date Report Submitted: __________________________
Securities Transactions - ---------------- ----------------- ------------- ------------------ -------------- ----------- ----------------- Principal Name of Issuer No. of Amount, Maturity Name of Broker, and Shares Date and Dealer or Bank Date of Title of (if Interest Rate Type of Effecting Transaction Security applicable) (if applicable) Transaction Price Transaction - ---------------- ----------------- ------------- ------------------ -------------- ----------- ----------------- - ---------------- ----------------- ------------- ------------------ -------------- ----------- ----------------- - ---------------- ----------------- ------------- ------------------ -------------- ----------- ----------------- - ---------------- ----------------- ------------- ------------------ -------------- ----------- -----------------
If you have no securities transactions to report for the quarter, please check here. |_| If you do not want this report to be construed as an admission that you have beneficial ownership of one or more securities reported above, please describe below and indicate which securities are at issue. Securities Accounts If you established a securities account during the quarter, please provide the following information:
- ------------------------------------------- ----------------------------------- ----------------------------------- Name of Broker, Dealer or Bank Date Account was Established Name(s) on and Type of Account - ------------------------------------------- ----------------------------------- ----------------------------------- - ------------------------------------------- ----------------------------------- ----------------------------------- - ------------------------------------------- ----------------------------------- ----------------------------------- - ------------------------------------------- ----------------------------------- -----------------------------------
If you did not establish a securities account during the quarter, please check here. |_| I certify that I have included on this report all securities transactions and accounts required to be reported pursuant to the Code of Ethics. - ------------------------------------------ -------------------- Signature Date APPENDIX II INITIAL HOLDINGS REPORT Name of Reporting Person: ____________________________ Date Person Became Subject to the Code's Reporting Requirements: ____________________________ Information in Report Dated as of: ____________________________ Date Report Submitted: ____________________________
Securities Holdings - ------------------------------ --------------------- --------------------------------------------------------- Name of Issuer and No. of Shares Principal Amount Title of Security (if applicable) (if applicable) - ------------------------------ --------------------- --------------------------------------------------------- - ------------------------------ --------------------- --------------------------------------------------------- - ------------------------------ --------------------- --------------------------------------------------------- - ------------------------------ --------------------- ---------------------------------------------------------
If you have no securities holdings to report, please check here. |_| If you do not want this report to be construed as an admission that you have beneficial ownership of one or more securities reported above, please describe below and indicate which securities are at issue. Securities Accounts If you maintain an account in which any securities are held for your direct or indirect benefit, please provide the following information:
- ----------------------------------------------------- --------------------------------------------------------- Name of Broker, Dealer or Bank Name(s) on and Type of Account - ----------------------------------------------------- --------------------------------------------------------- - ----------------------------------------------------- --------------------------------------------------------- - ----------------------------------------------------- --------------------------------------------------------- - ----------------------------------------------------- ---------------------------------------------------------
If you have no securities accounts to report, please check here. |_| I certify that I have included on this report all securities holdings and accounts required to be reported pursuant to the Code of Ethics. - ------------------------------------------ -------------------- Signature Date APPENDIX III ANNUAL HOLDINGS REPORT Name of Reporting Person: ________________________ Information in Report Dated as of: ________________________ Date Report Submitted: ________________________ Calendar Year Ended: December 31, ____ Securities Holdings
Securities Holdings - ------------------------------ --------------------- --------------------------------------------------------- Name of Issuer and No. of Shares Principal Amount Title of Security (if applicable) (if applicable) - ------------------------------ --------------------- --------------------------------------------------------- - ------------------------------ --------------------- --------------------------------------------------------- - ------------------------------ --------------------- --------------------------------------------------------- - ------------------------------ --------------------- ---------------------------------------------------------
If you have no securities holdings to report, please check here. |_| If you do not want this report to be construed as an admission that you have beneficial ownership of one or more securities reported above, please describe below and indicate which securities are at issue. Securities Accounts If you maintain an account in which any securities are held for your direct or indirect benefit, please provide the following information:
- ----------------------------------------------------- --------------------------------------------------------- Name of Broker, Dealer or Bank Name(s) on and Type of Account - ----------------------------------------------------- --------------------------------------------------------- - ----------------------------------------------------- --------------------------------------------------------- - ----------------------------------------------------- --------------------------------------------------------- - ----------------------------------------------------- ---------------------------------------------------------
If you have no securities accounts to report, please check here. |_| I certify that I have included on this report all securities holdings and accounts required to be reported pursuant to the Code of Ethics. - ------------------------------------------ -------------------- Signature Date APPENDIX IV
COMPLIANCE CERTIFICATION - ------------------------------------------------------------------------ Initial Certification I certify that I: (i) have received, read and reviewed the Trusts' Code of Ethics; (ii) understand the policies and procedures in the Code; (iii) recognize that I am subject to such policies and procedures; (iv) understand the penalties for non-compliance; (v) will fully comply with the Trusts' Code of Ethics; and (vi) have fully and accurately completed this Certificate. Signature: --------------------------------------- Name: --------------------------------------- (Please print) Date Submitted: ---------------------------------------
EX-99.CERT 3 simt302cert9_08rn.txt SIMT 302 CERT 9_08 RN 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-CSR of SEI Institutional Managed 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 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 control 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 half-year (the registrant's second fiscal half-year in the case of an annual report) 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 control over financial reporting 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: November 26, 2008 /s/ Robert A. Nesher - ----------------------- Robert A. Nesher President & CEO EX-99.CERT 4 simt302cert9_08sp.txt SIMT 302 CERT 9_08 SP 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-CSR of SEI Institutional Managed 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 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 control 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 half-year (the registrant's second fiscal half-year in the case of an annual report) 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 control over financial reporting 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: November 26, 2008 /s/ Stephen F. Panner - ----------------------- Stephen F. Panner Controller & CFO EX-99.906CERT 5 simt906cert9_08rn.txt SIMT 906 CERT 9_08 RN CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Chief Executive Officer of SEI Institutional Managed Trust (the "Fund"), with respect to the Fund's Form N-CSR for the year ended September 30, 2008 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: November 26, 2008 /s/ Robert A. Nesher -------------------- Robert A. Nesher EX-99.906CERT 6 simt906cert9_08sp.txt SIMT 906 CERT 9_08 SP CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Controller & CFO of SEI Institutional Managed Trust (the "Fund"), with respect to the Fund's Form N-CSR for the year ended September 30, 2008 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: November 26, 2008 /s/ Stephen F. Panner ----------------------- Stephen F. Panner -----END PRIVACY-ENHANCED MESSAGE-----