N-CSR

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)

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, 2011

Date of reporting period: September 30, 2011

Item 1. Reports to Stockholders.

SEI Institutional Managed Trust

Annual Report as of September 30, 2011

Large Cap Fund

Large Cap Value Fund

Large Cap Growth Fund

Tax-Managed Large Cap Fund

S&P 500 Index Fund

Small Cap Fund

Small Cap Value Fund

Small Cap Growth Fund

Tax-Managed Small/Mid Cap Fund (formerly, Tax-Managed Small Cap 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

U.S. Fixed Income Fund

High Yield Bond Fund

Real Return Fund

Multi-Strategy Alternative Fund

TABLE OF CONTENTS

Management’s Discussion and Analysis and Future Performance	1
Summary Schedules of Investments/Schedules of Investments	28
Statements of Assets and Liabilities	148
Statements of Operations	152
Statements of Changes in Net Assets	156
Financial Highlights	162
Notes to Financial Statements	167
Report of Independent Registered Public Accounting Firm	185
Trustees and Officers of the Trust	186
Disclosure of Fund Expenses	189
Board of Trustees Considerations in Approving the Advisory  and Sub-Advisory Agreements	191
Notice to Shareholders	194

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, 2011

Large Cap Fund

I. Objective

The Large Cap Fund (the “Fund”) seeks to provide long-term growth of capital and income.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: AQR Capital Management, LLC, Aronson + Johnson + Ortiz, L.P., Brown Investment Advisory Incorporated, Delaware Management Company, LSV Asset Management, Neuberger Berman Management LLC, Waddell + Reed Asset Management Company and WestEnd Advisors LLC. During the fiscal year, Analytic Investors, LLC, Legg Mason Capital Management, Inc. and Quantitative Management Associates, LLC were terminated. AQR Capital Management, LLC, Brown Investment Advisory Incorporated, Waddell + Reed Asset Management Company and WestEnd Advisors LLC were added during the period.

III. Market Commentary

The markets gained 0.91% for the year ended September 30, 2011, as measured by the Russell 1000 Index (the “Index”). Investor confidence and the subsequent “risk-on” trade that returned during the second quarter of 2010 continued through the end of the year and the first quarter of 2011 as fears of a double-dip recession subsided. Macro events that previously drove the market, along with high correlations and volatility, abated and investors appeared to focus on individual stocks. The second quarter of 2011 saw the resurgence of macro concerns inspired by civil unrest in the Middle East, the European sovereign debt crisis and a legislative stalemate in Washington over the U.S. debt ceiling. The “risk-off” trade last seen in the second quarter of 2010 appeared again. This environment persisted through the third quarter, sustained by U.S. debt ceiling debates, the subsequent downgrade of the U.S. credit rating by Standard & Poor’s and further complications regarding the debt situation in Greece.

From a style perspective, growth stocks outperformed their value counterparts until early August, when the two nearly converged before growth once again outperformed. Through September 30, 2011, growth outperformed value by nearly 7.5%. Large-cap stocks

outperformed small-cap stocks by a few percentage points, though dispersion between the two groups narrowed in August and remained narrow through September.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Large Cap Fund, Class A underperformed the Russell 1000 Index, returning (1.71)% versus the Index return of 0.91%.

V. Fund Attribution

The Fund’s underperformance was driven largely by negative stock selection across several sectors, particularly Energy. Within the Consumer Discretionary sector, stock picking in the retailing and consumer services industry groups was lackluster. Positions in Information Technology helped performance.

Large Cap Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized Inception to Date
Large Cap Fund, Class A		(1.71)%		3.50%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, Class A, versus the Russell 1000 Index

¹  For the period ended 9/30/11. Past performance is no indication of future performance. Class A shares were offered beginning 10/01/09. 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 the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 1

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Large Cap Value Fund

I. Objective

The Large Cap Value Fund (the “Fund”) seeks to provide long-term growth of capital and income.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Aronson + Johnson + Ortiz, LP, INTECH Investment Management, LLC, Lazard Asset Management LLC, Tocqueville Asset Management LP and LSV Asset Management. During the year ended September 30, 2011, the Fund added Tocqueville Asset Management LP.

III. Market Commentary

The markets declined 1.89% for the year ended September 30, 2011, as measured by the Russell 1000 Value Index (the “Index”). Investor confidence and the subsequent “risk-on” trade that returned during the second quarter of 2010 continued through the first quarter of 2011 as fears of a double-dip recession subsided. Macro events that previously drove the market, along with high correlations and volatility, abated and investors appeared to focus on individual stocks. The second quarter of 2011 saw the resurgence of macro concerns inspired by civil unrest in the Middle East, the European sovereign debt crisis and a legislative stalemate in Washington over the U.S. debt ceiling. The “risk-off” trade last seen in the second quarter of 2010 appeared again. This environment persisted through the third quarter of 2011, sustained by U.S. debt ceiling debates, the subsequent downgrade of the U.S. credit rating by Standard & Poor’s and further complications regarding the debt situation in Greece.

From a style perspective, growth stocks outperformed their value counterparts until early August, when the two nearly converged before growth once again outperformed. Through September 30, 2011, growth outperformed value by nearly 7.5%. Large-cap stocks outperformed small-cap stocks by a few percentage points, though the dispersion between the two groups narrowed in August and remained narrow through September.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Large Cap Value Fund, Class A, underperformed the Russell 1000 Value Index, returning (2.89)% versus the Index return of (1.89)%.

V. Fund Attribution:

The Fund’s underperformance was driven by subpar stock selection decisions that were somewhat mitigated by sector allocation decisions. From a sector allocation perspective, an underweight to Financials, which sold off significantly during the period, benefitted the Fund, while an underweight to Utilities and an overweight to Materials detracted. Lackluster stock selection within Utilities and Materials further exacerbated underperformance.

Large Cap Value Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Value Fund, Class A		(2.89)%		(1.73)%		(4.35)%		2.37%		6.83%
Large Cap Value Fund, Class I		(3.14)%		(1.94)%		(4.57)%		2.13%		6.66%

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

¹  For the period ended 9/30/11. 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.

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Large Cap Growth Fund

I. Objective

The Large Cap Growth Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Brown Investment Advisory Incorporated, Delaware Management Company, INTECH Investment Management, LLC and Neuberger Berman LLC. During the year ended September 30, 2011, the Fund terminated Legg Mason Capital Management Inc.

III. Market Commentary

The markets gained 3.78% for the year ended September 30, 2011, as measured by the Russell 1000 Growth Index (the “Index”). Investor confidence and the subsequent “risk-on” trade that returned during the second quarter of 2010 continued through the first quarter of 2011 as fears of a double-dip recession subsided. Macro events that previously drove the market, along with high correlations and volatility, abated and investors appeared to focus on individual stocks. The second quarter of 2011 saw the resurgence of macro concerns inspired by civil unrest in the Middle East, the European sovereign debt crisis and a legislative stalemate in Washington over the U.S. debt ceiling. The “risk-off” trade last seen in the second quarter of 2010 appeared again. This environment persisted through the third quarter of 2011, sustained by U.S. debt ceiling debates, the subsequent downgrade of the U.S. credit rating by Standard & Poor’s and further complications regarding the debt situation in Europe.

From a style perspective, growth stocks outperformed their value counterparts until early August, when the two nearly converged before growth once again outperformed. Through September 30, 2011, growth outperformed value by nearly 7.5%. Large-cap stocks outperformed small-cap stocks by a few percentage points, though the dispersion between the two groups narrowed in August and remained narrow through September.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Large Cap Growth Fund, Class A underperformed the Russell 1000 Growth Index, returning 0.97% versus the Index return of 3.78%.

V. Fund Attribution

The Fund’s underperformance was driven by subpar stock selection across multiple sectors. Holdings in the Energy sector were the most notable performance detractors. The Information Technology sector also proved to be challenging in terms of stock selection. Holdings in Materials as well as an underweight to the sector were beneficial.

Large Cap Growth Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Large Cap Growth Fund, Class A		0.97%		3.05%		0.29%		1.99%		5.85%
Large Cap Growth Fund, Class I		0.73%		2.82%		0.05%		1.75%		5.52%

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

¹  For the period ended 9/30/11. 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, 2011 3

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Tax-Managed Large Cap Fund

I. Objective

The Tax-Managed Large Cap Fund (the “Fund”) aims to provide high long-term after-tax returns.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: AQR Capital Management LLC, Aronson + Johnson + Ortiz, L.P., Brown Investment Advisory Incorporated, Delaware Management Company, LSV Asset Management, Neuberger Berman Management LLC, Parametric Portfolio Associates, Waddell + Reed Investment Management Company and WestEnd Advisors. For the fiscal year, Analytic Investors LLC, Legg Mason Capital Management, Inc. and Quantitative Management Associates, LLC were terminated. AQR Capital Management LLC, Brown Investment Advisory Incorporated, Waddell + Reed Investment Management Company and WestEnd Advisors were added during the fiscal year.

III. Market Commentary

The markets gained 0.91% for the year ended September 30, 2011, as measured by the Russell 1000 Index (the “Index”). Investor confidence and the subsequent “risk-on” trade that returned during the second quarter of 2010 continued through the first quarter of 2011 as fears of a double-dip recession subsided. Macro events that previously drove the market, along with high correlations and volatility, abated and investors appeared to focus on individual stocks. The second quarter of 2011 saw the resurgence of macro concerns inspired by civil unrest in the Middle East, the European sovereign debt crisis and a legislative stalemate in Washington over the U.S. debt ceiling. The “risk-off” trade last seen in the second quarter of 2010 appeared again. This environment persisted through the third quarter, sustained by U.S. debt ceiling debates, the subsequent downgrade of the U.S. credit rating by Standard & Poor’s and further complications regarding the debt situation in Greece.

From a style perspective, growth stocks outperformed their value counterparts until early August, when the two nearly converged before growth once again outperformed. Through September 30, 2011, growth outperformed value by nearly 7.5%. Large-cap stocks outperformed small-cap stocks by a few percentage points, though dispersion between the two groups narrowed in August and remained narrow through September.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Tax-Managed Large Cap Fund, Class A, underperformed the Russell 1000 Index, returning (1.20)% versus the Index return of 0.91%.

V. Fund Attribution

The Fund’s underperformance was driven largely by negative stock selection across several sectors, particularly Energy. Within the Consumer Discretionary sector, stock picking in the retailing and consumer services industry groups was lackluster. Positions in Information Technology helped performance.

Tax-Managed Large Cap Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Tax-Managed Large Cap Fund, Class A		(1.20)%		0.33%		(2.06)%		2.32%		1.49%
Tax-Managed Large Cap Fund, Class Y		(0.68)%		0.71%		(1.71)%		2.64%		1.72%

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

¹  For the period ended 9/30/11. 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.

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

S&P 500 Index Fund

I. Objective

The S&P 500 Index Fund (the “Fund”) seeks to achieve investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index (the “Index”).

II. Multi-Manager Approach Statement

The Fund uses a sub-adviser to manage the Fund under the supervision of SIMC. Currently, the sub-adviser is SSgA Funds Management, Inc. No manager changes were made during the fiscal year.

III. Market Commentary

The markets gained 1.14% for the year ended September 30, 2011, as measured by the Index. Investor confidence and the subsequent “risk-on” trade that returned during the second quarter of 2010 continued through the first quarter of 2011 as fears of a double-dip recession subsided. Macro events that previously drove the market, along with high correlations and volatility, abated and investors appeared to focus on individual stocks. The second quarter of 2011 saw the resurgence of macro concerns inspired by civil unrest in the Middle East, the European sovereign debt crisis and a legislative stalemate in Washington over the U.S. debt ceiling. The “risk-off” trade last seen in the second quarter of 2010 appeared again. This environment persisted through the third quarter, sustained by U.S. debt ceiling debates, the subsequent downgrade of the U.S. credit rating by Standard & Poor’s and further complications regarding the debt situation in Greece.

From a style perspective, growth stocks outperformed their value counterparts until early August, when the two nearly converged before growth once again outperformed. Through September 30, 2011, growth outperformed value by nearly 7.5%. Large-cap stocks outperformed small-cap stocks by a few percentage points, though the dispersion between the two groups narrowed in August and remained narrow through September.

IV. Return vs. Benchmark:

For the year ended September 30, 2011, the S&P 500 Fund, Class A, underperformed the S&P 500 Index, returning 0.75% versus the Index return of 1.14%. Please note that one cannot invest directly in an index. Unlike a mutual fund, an index does not have an investment adviser and does not pay any commissions or expenses; therefore, its performance is higher than that of a mutual fund that passively invests in the same index.

V. Fund Attribution

The Fund’s performance followed a pattern similar to the performance of the Index, since it invested in the same securities with generally the

same weights. Though Index performance seemed unimpressive, individual sector performance was significantly dispersed. Defensive sectors, most notably Utilities and Consumer Staples, were the best performers. Energy performed strongly for the year as the sector experienced solid gains in the third quarter of 2010 and first quarter of 2011. The selloff that ensued in the following quarter and persisted through next, however, chipped away at the sector’s outperformance-but not enough to send the Energy into negative territory. Financials were the clear laggards for the period, as the sector outperformed the broader market in only one of the past four quarters. The sector has been plagued by uncertainty, both domestically (with regard to regulation) and overseas (with regard to the European sovereign debt crisis).

S&P 500 Index Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
S&P 500 Index Fund, Class A		0.75%		0.87%		(1.54)%		2.42%		5.13%
S&P 500 Index Fund, Class E		0.96%		1.06%		(1.37)%		2.59%		9.23%
S&P 500 Index Fund, Class I		0.56%		0.66%		(1.76)%		2.20%		4.84%

Comparison of Change in the Value of a $100,000 Investment in the S&P 500 Index Fund, Class A, Class E, and Class I, versus the S&P 500 Index

¹  For the period ended 9/30/11. 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, 2011 5

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Small Cap Fund

I. Objective

The Small Cap Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Allianz Global Investors Capital LLC, AQR Capital Management, LLC, Integrity Asset Management, LLC, JP Morgan Investment Management Company, Los Angeles Capital Management and Equity Research, Inc., Robeco Investment Management, Inc. and Wellington Management Company, LLP. For the year ended September 30, 2011, JP Morgan Investment Management Company was added to the Fund.

III. Market Commentary

The markets, as measured by the Russell 2000 Index (the “Index”), declined 3.53% for the year ended September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the three months ending September due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three months ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three-month period ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the year were lost.

Real estate securities performed relatively well over the fiscal year given the returns of equities overall, with the Wilshire Real Estate Securities Index returning 1.76%.

Growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks still outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Small Cap Fund, Class A, underperformed the Russell 2000 Index, returning (6.54)% versus the Index return of (3.53)%.

V. Fund Attribution

The Fund underperformed its benchmark due to poor stock selection, which overwhelmed its slightly favorable asset allocation. The major detractor was the Energy sector, in which the Fund’s holdings in oil, gas and consumable fuels struggled. Health Care and Industrials both significantly detracted as well. In the Health Care sector, the Fund’s stock picks in the equipment and services area were disappointing. In the Industrials sector, the Fund’s holdings in capital goods companies dragged on performance. Strong security selection in the Consumer Discretionary sector, mostly in durables and apparel, helped performance. The Materials sector contributed as well, largely through stocks in the chemicals, metals and mining areas.

Small Cap Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized Inception to Date
Small Cap Fund, Class A		(6.54)%		2.14%

Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, Class A, versus the Russell 2000 Index

¹  For the period ended 9/30/11. Past performance is no indication of future performance. Class A shares were offered beginning 10/01/09. 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 the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower.

6 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Small Cap Value Fund

I. Objective

The Small Cap Value Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Artisan Partners Limited Partnership, Lee Munder Capital Group LLC, LSV Asset Management, Martingale Asset Management, L.P., Robeco Investment Management, Security Capital Research + Management Incorporated, Wellington Management Company, LLP and William Blair + Company, LLC. For the year ended September 30, 2011, Security Capital Research & Management Incorporated was added to the Fund.

III. Market Commentary

The markets, as measured by the Russell 2000 Value Index (the “Index”), declined 5.99% for the year ended September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the September quarter due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three months ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three months ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the year were lost.

Real estate securities performed relatively well over the 12-month period given the returns of equities overall, with the Wilshire Real Estate Securities Index returning 1.76%.

Growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Small Cap Value Fund, Class A, underperformed the Russell 2000 Value Index, returning (7.15)% versus the Index return of (5.99)%.

V. Fund Attribution

Unfavorable sector allocation was the cause of the Fund’s slight underperformance, while stock selection was positive. The Energy sector detracted the most during the fiscal year due to an underweight position at the portfolio level as well as unfavorable security selection within the oil, gas and consumable fuel segment, which was affected by volatile commodity prices. An underweight to the Utilities sector also hurt. On the positive side, stock picks in the Financials sector helped performance, particularly among the Fund’s real estate holdings. Materials added value as well, especially in chemicals.

Small Cap Value Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Small Cap Value Fund, Class A		(7.15)%		(1.38)%		(2.26)%		6.60%		8.72%
Small Cap Value Fund, Class I		(7.40)%		(1.62)%		(2.51)%		6.33%		8.37%

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

¹  For the period ended 9/30/11. 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, 2011 7

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Small Cap Growth Fund

I. Objective

The Small Growth Fund (the “Fund”) seeks to provide long-term capital appreciation.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Allianz Global Investors Capital LLC, AQR Capital Management LLC, Janus Capital Management LLC and Los Angeles Capital Management and Equity Research, Inc. For the year ended September 30, 2011, Lee Munder Capital Group, LLC was terminated from the Fund.

III. Market Commentary

The markets, as measured by the Russell 2000 Growth Index, declined 1.12% for the year ended September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the three-month period ending September due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three-month period ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three-month period ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the fiscal year were lost.

Real estate securities performed relatively well over the 12-month period given the returns of equities overall, with the Wilshire Real Estate Securities Index returning 1.76%.

Growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Small Cap Growth Fund, Class A, underperformed the Russell 2000 Growth Index, returning (3.34)% versus the Index return of (1.12)%.

V. Fund Attribution

The Fund underperformed the Index due to poor stock selection, which more than offset a slight benefit from sector allocation choices. The Energy sector was the biggest detractor during the fiscal year due to security selection in the oil, gas and consumable fuels segment. An underweight to the Consumer Staples sector was broadly disadvantageous, and holdings in transportation weighed on the Fund’s performance in the Industrials sector. The Materials sector contributed the most with favorable stock picks in metals and mining. The Fund also benefited from solid stock selection in the durables and apparel portion of the Consumer Discretionary sector.

Small Cap Growth Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Small Cap Growth Fund, Class A		(3.34)%		0.53%		(3.53)%		2.30%		7.29%
Small Cap Growth Fund, Class I		(3.63)%		0.27%		(3.80)%		2.03%		6.96%

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

¹  For the period ended 9/30/11. 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.

8 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Tax-Managed Small/Mid Cap Fund^‡

I. Objective

The Tax-Managed Small/Mid Cap Fund (the “Fund”), formerly the Tax-Managed Small Cap Fund, seeks to provide high long-term after-tax returns.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Century Capital Management, LLC, Lee Munder Capital Group LLC, Los Angeles Capital Management and Equity Research, Inc., LSV Asset Management, Parametric Portfolio Associates, Wellington Management Company, LLP and William Blair + Company, LLC. For the year ended September 30, 2011, Wells Capital Management was terminated from the Fund.

III. Market Commentary

The markets, as measured by the Russell 2500 Index (the “Index”), declined 2.22% for the year ended September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the three-month period ending September due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three-month period ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three-month period ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the year were lost.

Real estate securities performed relatively well over the fiscal year given the positive returns of equities overall, with the Wilshire Real Estate Securities Index returning 1.76%.

Growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Tax-Managed Small/Mid Cap Fund, Class A, underperformed the Russell 2500 Index, returning (3.66)% versus the Index return of (2.22)%.

V. Fund Attribution

Favorable sector positioning was unable to offset weak stock selection in the fiscal year, causing the Fund to underperform the Russell 2500 Index. Energy was the biggest detractor because of both an underweight position in the sector and poor stock picks in the oil, gas, and consumable fuel segment. Information Technology also weighed on returns due to unfavorable security selection in the internet software and services area. Exposure to Health Care providers and services added value. An underweight to the Financials sector, especially in the capital markets industry, contributed to performance as well.

Futures contracts are used to equitize the cash balance for the Fund. The use of derivatives did not have a material impact on performance.

Tax-Managed Small/Mid Cap Fund^‡:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Tax-Managed Small/Mid Cap Fund, Class A‡		(3.66)%		1.15%		(1.65)%		5.29%		2.89%

Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small/Mid Cap Fund^‡, Class A, versus the Russell 2500 Index

¹  For the period ended 9/30/11. 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

^‡  See Note 1 in Notes to Financial Statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 9

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Mid-Cap Fund

I. Objective

The Mid-Cap Fund (the “Fund”) seeks to provide long-term capital appreciation.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: JP Morgan Investment Management Company, Lee Munder Capital Group LLC and Quantitative Management Associates LLC. For the year ended September 30, 2011, Wells Capital Management was terminated from the Fund and JP Morgan Investment Management Company was added.

III. Market Commentary

The markets, as measured by the Russell Midcap Index (the “Index”), declined 0.88% for the year ended September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the three-month period ending September due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three-month period ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three-months ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the year were lost.

Real estate securities performed relatively well over the period given the returns of equities overall, with the Wilshire Real Estate Securities Index returning 1.76%.

Growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks still outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Mid Cap Fund, Class A, underperformed the Russell Midcap Index, returning (4.67)% versus the Index return of (0.88)%.

V. Fund Attribution

The Fund underperformed the Index due to poor stock selection and a slightly unfavorable sector positioning. Consumer Discretionary was the weakest sector for the Fund as holdings in services, media and retailing all detracted. An underweight to the Consumer Staples sector hurt performance as well, mostly due to the food product segment. The Industrials sector was a strong performer, with portfolio holdings in capital goods adding significant value. Energy contributed through selections in oil, gas and consumable fuels.

Mid-Cap Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Mid-Cap Fund, Class A		(4.67)%		0.99%		(2.04)%		6.69%		8.10%
Mid-Cap Fund, Class I		(4.95)%		0.78%		(2.27)%		6.42%		7.79%

Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A and Class I, versus the Russell Midcap Index

¹  For the period ended 9/30/11. 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.

10 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

U.S. Managed Volatility Fund

I. Objective

The U.S. Managed Volatility Fund (the “Fund”) seeks capital appreciation with less volatility than the broad U.S. equity markets.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Analytic Investors, LLC, Aronson + Johnson + Ortiz, LP and LSV Asset Management. For the year ended September 30, 2011, LSV Asset Management was added to the Fund.

III. Market Commentary

The year ended September 30, 2011, saw a strong market rally for the remainder of 2010 and the beginning of 2011 followed by a strong selloff in the last two quarters. With all the volatility, the Russell 3000 Index (the “Index”) ended up posting a meager 0.55% for the period.

The U.S. Federal Reserve’s quantitative easing fueled commodity price inflation, and in turn, the prices of Materials and Energy stocks. By the time the market peaked in April 2011, the Energy sector posted the best performance in the U.S. by a wide margin. Materials and Industrials followed, with the latter benefitting from the weak dollar.

The last two quarters of the period fiscal year were far less rosy. The Japanese disaster, lingering sovereign defaults in Europe, a stumbling U.S. recovery and faltering Chinese growth were enough to send equity prices spiraling downward worldwide. Ineffectiveness on the part of politicians on both sides of the Atlantic only exacerbated the fragile sentiment.

With a European recession almost certain, an economic slowdown in China, and the U.S. recovery on hold, high-beta sectors significantly underperformed in the second and third quarters of calendar year 2011—and many, including Industrials and Materials, posted negative returns for the entire 12 months.

Financials was the worst performing sector as economic issues were further compounded by solvency and liquidity fears. Investors’ fear of

contagion within Europe was a source of banking misery, while the mortgage litigation saga did nothing to help on the U.S. front. Consumer staples and Utilities proved to be most immune to volatility, delivering the best returns over the last 12 months.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the U.S. Managed Volatility Fund, Class A, outperformed the Russell 3000 Index, returning 7.63% versus the Index return of 0.55%.

V. Fund Attribution

For the fiscal year, the Fund achieved its primary objective of lowering volatility, with the realized annualized standard deviation of 16.6% (daily frequency), compared to the Index’s results of 20.8%, constituting a 20% relative reduction and exceeding the long-term target of 17%.

With high-beta names significantly lagging the broad market, the Fund benefited from its low-volatility profile. As the markets began their slump in May 2011, the Fund began to preserve more capital for further compounding when the markets eventually start recovering in the months ahead.

Industry positioning was also beneficial. In particular, the Fund’s strong underweight to Diversified Financials added 1.35% at the total portfolio level as worries about European contagion and domestic litigation drove big banking shares down. Overweighting the stable Utilities sector and the health care equipment and food and beverage sub-sectors added approximately 1.0% each to the Fund’s performance over the period. An underweight to the volatile Energy sector was the biggest detractor; by the market peak in April, it accounted for a 1.0% negative contribution to the Fund’s return. The position was profitable since then, however, and the overall impact was limited to 0.35% for the entire 12-month period.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 11

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

U.S. Managed Volatility Fund (Concluded)

U.S. Managed Volatility Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
U.S. Managed Volatility Fund, Class A		7.63%		2.13%		1.62%		4.32%
U.S. Managed Volatility Fund, Class I		7.39%		1.87%		1.32%		3.99%

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 Russell 3000 Index

¹  For the period ended 9/30/11. 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.

12 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Global Managed Volatility Fund

I. Objective

The Global Managed Volatility Fund (the “Fund”) seeks capital appreciation with less volatility than the broad global equity markets.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Acadian Asset Management LLC and Analytic Investors, LLC. For the year ended September 30, 2011, no manager changes were made in the Fund.

III. Market Commentary

The year ended September 30, 2011, saw a strong rally for the remainder of 2010 and the beginning of 2011, followed by a strong selloff in the last two quarters of the fiscal year. With all the volatility, the MSCI World Index, Hedged (the “Index”) ended up dropping 5.04% for the period.

The U.S. Federal Reserve’s quantitative easing fueled commodity price inflation, and in turn, the prices of Materials and Energy stocks. By the time the market reached its peak in April 2011, Energy posted the best performance globally by far, followed by Materials and Industrials.

The last two quarters of the fiscal year were far less rosy. The Japanese disaster, lingering sovereign defaults in Europe, a stumbling U.S. recovery and faltering Chinese growth were enough to send equity prices spiraling downward worldwide. Ineffectiveness on the part of politicians on both sides of the Atlantic only exacerbated the fragile sentiment.

With a European recession almost certain, an economic slowdown in China, and the U.S. recovery on hold, high-beta sectors significantly underperformed in the second and third quarters of calendar year 2011—and many posted negative returns for the entire 12-months.

Financials was the worst performing sector as economic issues were further compounded by solvency and liquidity fears. European banks were hit particularly hard as the possibility of a disorderly sovereign default became less remote. The mortgage litigation saga did nothing

to help U.S. banks. Consumer Staples and Health Care proved to be most immune to volatility and delivered the best returns over the last 12 months. Uncharacteristically for a defensive sector, Utilities finished the fiscal year broadly in line with the Index, as its defensive properties were offset by the direct effects of the tsunami in Japan and subsequent German legislation that outlawed nuclear power.

With the country in a virtual default and a severe recession, Greek equities were the worst performers for the year. New Zealand delivered the best results. Among the major economies, U.S. markets performed best, benefitting from the depreciating U.S. dollar in the first half and an improved economic outlook in the second half of the fiscal year. Germany, Europe’s strongest economy, was the best performing market by April 2011 but ended up at the bottom with Italy and Israel by September 2011. Germany lost over 50% since its peak less than six months ago.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Global Managed Volatility Fund, Class A, outperformed the MSCI World Index, Hedged, returning 3.90% versus the Index return of (5.04)%.

V. Fund Attribution

For the fiscal year, the Fund successfully reached its objective of smoothing market volatility. In local terms, it realized an annualized intra-year standard deviation more than 40% lower than that of the Index. With high-beta names significantly lagging the broad market, the Fund benefited from its low-volatility profile. As the markets began their slump in May 2011, the Fund began to preserve more capital for further compounding when the markets eventually start recovering in the months ahead.

Industry positioning was beneficial. In particular, an overweight to the food, beverage and tobacco industry added over 1.0% for the period. Underweighting the volatile capital goods and Materials also contributed strongly. Staying out of U.S. and European big banks helped returns as worries about European contagion and U.S. litigation drove shares down. An underweight to the volatile Energy sector was the biggest detractor; by the market peak in April, it accounted for a 1.0% negative contribution to the Fund’s return. The position was profitable since then, and over the entire period the impact was limited to 0.55%.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 13

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Global Managed Volatility Fund (Concluded)

Derivatives were used in the Fund to hedge currency risks. Currency forwards were used to sell foreign currencies against the U.S. dollar in order to mitigate their risk from impacting investors’ portfolios. Currency hedging activity subtracted from the Fund’s returns as the U.S. dollar depreciated over most currencies during the period. In the stressful months during the summer of 2011, hedging protected the Fund’s returns as intended, positively contributing to the results.

Global Managed Volatility Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year return		Annualized Inception to Date
Global Managed Volatility Fund, Class A		3.90%		(1.91)%		(2.84)%		(2.06)%
Global Managed Volatility Fund, Class I		3.56%		(2.10)%		(3.12)%		(2.36)%

Comparison of Change in the Value of a $100,000 Investment in the Global Managed Volatility Fund, Class A and Class I, versus the MSCI World Index, Hedged

¹  For the period ended 9/30/11. 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.

14 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Tax-Managed Managed Volatility Fund

I. Objective

The Tax-Managed Managed Volatility Fund (the “Fund”) seeks to maximize after-tax returns, but with a lower level of volatility than the broad U.S. equity markets.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Analytic Investors LLC, Aronson + Johnson + Ortiz, LP and LSV Asset Management. For the year ended September 30, 2011, LSV Asset Management was added to the Fund.

III. Market Commentary

The year ended September 30, 2011, saw a strong rally for the remainder of 2010 and the beginning of 2011 followed by a strong selloff in the last two quarters. With all the volatility, the Russell 3000 Index (the “Index”) ended up posting a meager 0.55% for the period.

The U.S. Federal Reserve’s quantitative easing fueled commodity price inflation, and in turn, the prices of Materials and Energy stocks. By the time the market reached its peak in April 2011, the Energy sector posted the best performance in the U.S. by a wide margin. Materials and Industrials followed, with the latter benefitting from the weak dollar.

The last two quarters of the one-year period were far less rosy. The Japanese disaster, lingering sovereign defaults in Europe, a stumbling U.S. recovery and faltering Chinese growth were enough to send equity prices spiraling worldwide. Ineffectiveness on the part of politicians on both sides of the Atlantic only exacerbated the fragile sentiment.

With a European recession almost certain, an economic slowdown in China, and the U.S. recovery on hold, high-beta sectors significantly underperformed in the second and third quarters of calendar year 2011—and many, including Industrials and Materials, posted negative returns for the entire 12 months.

Financials was the worst performing sector as economic issues were further compounded by solvency and liquidity fears. Contagion in

Europe was a source of the banking misery while the mortgage litigation saga did nothing to help on the U.S. front. Consumer staples and Utilities have proved to be most immune to volatility, delivering the best returns over the last 12 months.

IV. Return vs. Benchmark:

For the year ended September 30, 2011, the Tax-Managed Managed Volatility Fund, Class A, outperformed the Russell 3000 Index, returning 7.13% versus the index return of 0.55%.

V. Fund Attribution

For the fiscal year, the Fund achieved its primary objective of lowering volatility, with the realized annualized standard deviation of 16% (daily frequency), compared to the Index’s results of 20.8%, constituting a 23% relative risk reduction and exceeding the long-term target of 17%.

With high-beta names significantly lagging the broad market, the Fund benefited from its low-volatility profile. As the markets began their slump in May 2011, the Fund began to preserve more capital for further compounding when the markets eventually start recovering in the months ahead.

Industry positioning was also beneficial. In particular, the Fund’s strong underweight to the Diversified Financials industry added 1.25% at the total portfolio level as worries about European contagion and domestic litigation drove big banking shares down. Overweighting the stable Utilities sector and the health care equipment and food and beverage sub-sectors added approximately 1.0% each to the Fund’s performance over the period. An underweight to the volatile Energy sector was the biggest detractor; by the market peak in April, it accounted for a 1.3% negative contribution to the Fund’s return. The position was profitable since then, and over the entire period the impact was limited to 0.40%.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 15

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Tax-Managed Managed Volatility Fund (Concluded)

Tax-Managed Managed Volatility Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized Inception to Date
Tax-Managed Managed Volatility Fund, Class A		7.13%		4.21%		0.71%

Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Managed Volatility Fund, Class A versus the Russell 3000 Index

¹  For the period ended 9/30/11. 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.

16 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Real Estate Fund

I. Objective

The Real Estate Fund (the “Fund”) seeks to provide total return, including current income and capital appreciation.

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Security Capital Research and Management, Inc. and Urdang Capital Management. For the year ended September 30, 2011, Wellington Management Company, LLP was terminated from the Fund and Urdang Capital Management was added.

III. Market Commentary

The markets, as measured by the Russell 2000 Index, declined 3.53% for the one-year period ending September 30, 2011. Small-cap stocks, which gained nearly 160% from their bottom in March 2009 to their peak in the second quarter of 2011, faced steep declines in the three-month period ending September due to fears of the spreading European debt crisis and a double-dip recession. The first half of the fiscal year was marked by relatively positive expectations and strong market returns as investors shrugged off negative macroeconomic events such as the Japanese earthquake and the approaching U.S. debt ceiling debate. In the three-month period ending June, though, markets began to discount a slowdown in economic growth resulting from sustained high unemployment and cutbacks in government spending. This was followed by uncertainty over the stability of European banks given Greece’s debt issues and the impact of an International Monetary Fund resolution, which sent investors into a flight to safety in the three-month period ending September. Volatility spiked and the market declined precipitously (small caps lost 22%), and virtually all gains made during the year were lost.

Real estate securities performed relatively well over the fiscal year given the returns of equities overall, with the Wilshire Real Estate Securities Index (the “RESI”) returning 1.76%. In the third quarter, the RESI lost about 15%, beating small-cap stocks by nearly 7% as their value was buoyed by the yield advantage they held over other cash flow-producing securities.

From a factor perspective, growth-oriented stocks consistently beat value-oriented investments through the first three quarters of the fiscal year. In the fourth quarter, value declined slightly less than growth; but for the full fiscal year, growth stocks still outperformed by nearly 5%. Large-cap stocks outperformed their small-cap counterparts by about 4% for the fiscal year despite a small-cap advantage through the first three quarters.

IV. Return vs. Benchmark

For year ended September 30, 2011, the Real Estate Fund, Class A, outperformed the Wilshire U.S. Real Estate Securities Index, returning 2.41% versus the index return of 1.76%.

V. Fund Attribution

The Fund benefited from both industry allocation and solid stock selection, outperforming its benchmark. It generated favorable results through its overweight position in health care real estate investment trusts (“REITs”), and through an underweight to and beneficial stock-level decisions within the diversified REIT area. Real estate operators contributed to performance as well. Office REITs detracted in the fiscal year due to unfavorable security selection within and a slight overweight to the sector amid an uncertain employment backdrop. Exposure to retail REITs also hurt performance as malls remained a challenging area given weak consumer demand.

Real Estate Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Real Estate Fund, Class A		2.41%		(2.38)%		(4.06)%		6.69%
Real Estate Fund, Class I		2.19%		(2.58)%		(4.27)%		6.44%

Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class A and Class I, versus the Wilshire U.S. Real Estate Securities Index

¹  For the period ended 9/30/11. 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, 2011 17

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Enhanced Income Fund

I. Objective

Using multiple sub-advisers, the Enhanced Income Fund (the “Fund”) seeks to provide an enhanced return above 3-month LIBOR (“London Inter Bank Offering Rate”).

II. Multi-Manager Approach Statement

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 Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Ares Management LLC and Wellington Management Company, LLP. For the year ended September 30, 2011, no manager changes were made to the Fund.

III. Market Commentary

The non-Treasury sectors of the U.S. fixed-income market saw extreme volatility during the year ended September 30, 2011. We saw solid performance versus duration-neutral Treasurys at the beginning of the fiscal year; however, the market worsened and experienced significant volatility in the second half.

Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the devastating earthquake and tsunami in Japan, and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. The first- and second-quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations and the market sharply lowered GDP expectations for the remainder of the year. In response, the U.S. Federal Reserve (the “Fed”) kept the Fed funds rate near zero to support the economy, but let the $600 billion quantitative easing program expire at the end of June. Despite the exit, Treasurys rallied significantly in the second and third quarters of calendar year 2011 due to weak economic data and fears surrounding Europe. A U.S. debt ceiling resolution passed at the beginning of August; however, Standard and Poor’s downgraded the U.S. credit rating to AA+ from AAA because the U.S. government had not addressed longer-term fiscal issues that could continue to burden the country. In the third quarter of calendar year 2011, the Federal Open Market Committee

(“FOMC”) announced “Operation Twist” in response to a weakening economy. This program will extend the average maturity of the Fed’s holdings by actively selling $400 billion in Treasury securities maturing within three years and reinvesting the proceeds into securities maturing in six to 30 years. The FOMC also announced that it would reinvest the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasurys.

Corporate fundamentals remained solid as balance sheets improved, earnings were better than expected, and event risk remained remote. However, Financials widened significantly as the sector continued to be plagued by fears regarding their mortgage-related liabilities and European concerns. In addition, Moody’s downgraded several major banks because of the ratings uplift caused by government-support assumptions. Agency MBS outperformed duration-neutral Treasurys on continued demand from domestic and foreign banks, and refinancing activity remained muted in the face of historically low mortgage rates. Non-agency MBS performed well at the beginning of the fiscal year because of attractive loss-adjusted yields, but turned weaker in the second quarter of calendar year 2011 due to increased supply from the Fed’s Maiden Lane portfolio. Commercial mortgage-backed securities outperformed for the fiscal year, but were weaker later in the period due to overall market volatility and economic concerns.

Lastly, the senior bank loan market posted strong performance, helped by low default rates, improving liquidity and strong demand, before selling off during the last quarter of the fiscal year. Both leveraged loans and high-yield bonds were down over 3.5% for the quarter as investors sought a safe haven in U.S. Treasury bonds. In addition, loan funds experienced eight weeks of outflows, with August seeing a record monthly outflow.

IV . Return vs. Benchmark

For the year ended September 30, 2011, the Enhanced Income Fund, Class A, outperformed the BofA Merrill Lynch 3-month Constant Maturity LIBOR Index (the “Index”), returning 0.83% versus the Index return of 0.27%.

18 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

V. Fund Attribution

During the fiscal year, the Fund’s exposures to bank loans, investment-grade corporate securities and non-agency MBS were the key drivers of performance. Treasury futures were used to efficiently assist in managing the Fund’s duration and yield-curve exposure. The notional size of these positions was relatively small and did not have a material impact on performance.

Enhanced Income Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date
Enhanced Income Fund, Class A		0.83%		(0.88)%		(2.57)%		(2.28)%
Enhanced Income Fund, Class I		0.72%		(1.13)%		(2.89)%		(2.61)%

Comparison of Change in the Value of a $100,000 Investment in the Enhanced Income Fund, Class A and Class I, versus the BofA Merrill Lynch 3-Month Constant Maturity LIBOR Index

¹  For the period ended 9/30/11. 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, 2011 19

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Core Fixed Income Fund

I. Objective

The Core Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Jennison Associates, LLC, J.P. Morgan Investment Management, Inc., Metropolitan West Asset Management LLC, Wells Capital Management, Inc., Western Asset Management Company and Wells Capital Management Company Limited. For the year ended September 30, 2011, no manager changes were made to the Fund.

III. Market Commentary

For the year ended September 30, 2011, the non-Treasury sectors of the U.S. fixed-income market were mixed in regard to spread compression and risk appetite. We saw solid performance versus duration-neutral Treasurys at the beginning of the fiscal year; however, the market worsened and experienced significant volatility in the second half.

Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the devastating earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. The first- and second-quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations and the market sharply lowered GDP expectations for the remainder of the year. In response, the U.S. Federal Reserve (the “Fed”) kept the Fed funds rate near zero to support the economy, but let the $600 billion quantitative easing program expire at the end of June. Despite the exit, Treasurys rallied significantly in the second and third quarters of calendar year 2011 due to weak economic data and fears surrounding Europe. A U.S. debt ceiling resolution passed at the beginning of August; however, Credit rating agency Standard and Poor’s downgraded the U.S. to AA+

from AAA because the U.S. government had not addressed longer-term fiscal issues that could continue to burden the country. In the third quarter of calendar year 2011, the Federal Open Market Committee (“FOMC”) announced “Operation Twist” in response to a weakening economy. This program is intended to extend the average maturity of the Fed’s holdings by actively selling $400 billion in Treasury securities maturing within three years and reinvesting the proceeds into securities maturing in six to 30 years. The FOMC also announced that it would reinvest the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasurys.

Corporate fundamentals remained solid as balance sheets improved, earnings were better than expected and event risk remained remote. However, Financials widened significantly as the sector continued to be plagued by fears regarding their mortgage-related liabilities and European concerns. In addition, Moody’s downgraded several major banks because of the ratings uplift that existed due to government-support assumptions. Agency MBS outperformed duration-neutral Treasurys as demand remained robust from domestic and foreign banks, and refinancing activity was muted in the face of historically low mortgage rates. Non-agency MBS performed well at the beginning of the period because of attractive loss-adjusted yields, but turned weaker in the second quarter of calendar year 2011 due to increased supply from the Fed’s Maiden Lane portfolio. Commercial mortgage-backed securities outperformed for the fiscal year, but were weaker later in the period due to overall market volatility and economic concerns.

IV. Return vs. Benchmark

For year ended September 30, 2011, the Core Fixed Income Fund, Class A, outperformed the Barclays Capital U.S. Aggregate Bond Index (the “Index”), returning 5.43% versus the Index return of 5.26%.

V. Fund Attribution

The Fund’s overweight position in non-agency MBS was the primary contributor to performance. Credit protection was bought by utilizing credit default swaps on a basket of commercial mortgage-backed securities (“CMBS”), which assisted in partially hedging systemic risk

20 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

associated with the portfolio’s CMBS exposure. Duration exposure had a negative impact given the flight to safety that occurred in the second half of the fiscal year. Treasury futures, options and interest-rate swaps were used to efficiently assist in managing the Fund’s duration and yield curve exposure. An overweight to large-cap Financials generated underperformance relative to Treasurys. Mortgage-related liabilities, sovereign risk concerns, weak economic data and market volatility contributed to underperformance. Allocations to corporate high-yield debt detracted from performance due to investor risk aversion. The Fund used credit default swaps to synthetically and efficiently gain exposure to specific corporate issuers. Credit default swaps were also used to buy credit protection on specific companies in order to moderately hedge the portfolio’s broad corporate exposure.

Core Fixed Income Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
Core Fixed Income Fund, Class A		5.43%		10.68%		6.41%		5.53%		6.90%
Core Fixed Income Fund, Class I		5.20%		10.44%		6.15%		5.26%		6.46%

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 U.S. Aggregate Bond Index

¹  For the period ended 9/30/11. 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.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 21

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

U.S. Fixed Income Fund

I. Objective

The U.S. Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisors as of September 30, 2011: Jennison Associates, LLC, J.P. Morgan Investment Management, Inc., Metropolitan West Asset Management LLC, Wells Capital Management, Inc., Western Asset Management Company and Wells Capital Management Company Limited. For the year ended September 30, 2011, no manager changes were made to the Fund.

III. Market Commentary

For the year ended September 30, 2011, the non-Treasury sectors of the U.S. fixed-income market were mixed in regard to spread compression and risk appetite. We saw solid performance versus duration-neutral Treasurys at the beginning of the fiscal year; however, the market worsened and experienced significant volatility in the second half.

Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the devastating earthquake and tsunami in Japan, and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. The first- and second-quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations and the market sharply lowered GDP expectations for the remainder of the year. In response, the U.S. Federal Reserve (the “Fed”) kept the Fed funds rate near zero to support the economy, but let the $600 billion quantitative easing program expire at the end of June. Despite the exit, Treasurys rallied significantly in the second and third quarters of calendar year 2011 due to weak economic data and fears surrounding Europe. A U.S. debt ceiling resolution passed at the beginning of August; however, Credit rating agency Standard and Poor’s downgraded the U.S. to AA+

from AAA because the U.S. government had not addressed longer-term fiscal issues that could continue to burden the country. In the third quarter of calendar year 2011, the Federal Open Market Committee (“FOMC”) announced “Operation Twist” in response to a weakening economy. This program is intended to extend the average maturity of the Fed’s holdings by actively selling $400 billion in Treasury securities maturing within three years and reinvesting the proceeds into securities maturing in six to 30 years. The FOMC also announced that it would reinvest the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasurys.

Corporate fundamentals remained solid as balance sheets improved, earnings were better than expected and event risk remained remote. However, Financials widened significantly as the sector continued to be plagued by fears regarding their mortgage-related liabilities and European concerns. In addition, Moody’s downgraded several major banks because of the ratings uplift caused by government-support assumptions. Agency MBS outperformed duration-neutral Treasurys on continued demand from domestic and foreign banks, and as refinancing activity remained muted in the face of historically low mortgage rates. Non-agency MBS performed well at the beginning of the fiscal year because of attractive loss-adjusted yields, but turned weaker in the second quarter of calendar year 2011 due to increased supply from the Fed’s Maiden Lane portfolio. Commercial mortgage-backed securities outperformed for the fiscal year, but were weaker later in the period due to overall market volatility and economic concerns.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the U.S. Fixed Income Fund, Class A outperformed the Barclays Capital U.S. Aggregate Bond Index (the “Index”), returning 5.43% versus the Index return of 5.26%.

V. Fund Attribution

The Fund’s overweight position in non-agency MBS was the primary contributor to performance. Credit protection was bought by utilizing credit default swaps on a basket of commercial mortgage-backed securities (“CMBS”), which assisted in partially hedging systemic risk

22 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

associated with the portfolio’s CMBS exposure. Duration exposure had a negative impact given the flight to safety that occurred in the second half of the fiscal year. Treasury futures, options and interest-rate swaps were used to efficiently assist in managing the Fund’s duration and yield curve exposure. An overweight to large-cap Financials generated underperformance relative to Treasurys. Mortgage-related liabilities, sovereign risk concerns, weak economic data, and market volatility contributed to the underperformance. Credit default swaps were used to buy credit protection on specific companies in order to moderately hedge the portfolios broad corporate exposure.

U.S. Fixed Income Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized Inception to Date
U.S. Fixed Income Fund, Class A		5.43%		8.16%

Comparison of Change in the Value of a $100,000 Investment in the U.S. Fixed Income Fund, Class A, versus the Barclays Capital U.S. Aggregate Bond Index

¹  For the period ended 9/30/11. Past performance is no indication of future performance. Class A shares were offered beginning 7/2/09. 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, 2011 23

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

High Yield Bond Fund

I. Objective

The High Yield Bond Fund (the “Fund”) seeks to maximize total return.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund utilized the following sub-advisers as of September 30, 2011: Ares Management LLC, Brigade Capital Management, LLC, Delaware Management Company, Guggenheim Investment Management, LLC, J.P. Morgan Investment Management, Inc. During the year ended September 30, 2011, no manager changes were made to the Fund.

III. Market Commentary

For the fiscal year ending September 30, 2011, the high-yield market, as measured by the BofA Merrill Lynch High Yield Constrained Index (the “Index”), returned 1.30%. High-yield returns were strong through the fourth quarter of 2010 and the first seven months of 2011 before faltering due to fears of a banking crisis in Europe, political grandstanding in both the U.S. and Europe, and renewed concerns about a double-dip recession as the fiscal year drew to a close. Returns of (4.01)% in August and (2.83)% in September were the first back-to-back monthly declines since 2008. Fundamentals within the universe of high-yield companies remain strong with leverage ratios declining, improving free cash flow, expense reduction and modest expansion of top-line growth. As a result, default rates continued to decline, with the Moody’s U.S. default rate declining to 2.00% from 3.99% one year ago. Projections of default rates remain below 4.00% for the foreseeable future. During the “risk-off” trade in August and September, high-yield spreads widened 804 basis points as investors fled to the safety of U.S. Treasury bonds despite the country’s credit downgrade by rating agency Standard and Poor’s. For the fiscal year, spreads widened 237 basis points. After touching a record low yield of 6.65% in May 2011, yields in the high-yield market rose 2.88%, ending the period at 9.53%. Issuance set a calendar-year record in both 2009 and 2010, and was on a record pace in 2011 before slowing late in the period. Refinancing continues to be

the theme, with nearly 60% of new issuance for refinancing purposes. Cash flows in the asset class have been positive, with June and August experiencing the two largest monthly outflows on record—$7.0 billion and $6.4 billion, respectively. With the risk avoidance late in the period, CCC-rated bonds produced the lowest return at -2.02%, followed by B-rated bonds at 1.70%. BB-rated bonds produced the best return of 2.17%.

The best performing sector on both a contribution to return basis and an absolute basis was Energy, which returned 5.61%. Consumer Cyclical and Health Care companies also produced strong results, returning 3.35% and 2.38%, respectively. The worst performing sector on a contribution to return basis was Real Estate, which returned -2.38% as the housing market continued to struggle with growth.

IV. Return vs. Benchmark:

For the year ended September 30, 2011, the High Yield Fund, Class A, outperformed the BofA Merrill Lynch U.S. High Yield Constrained Index, returning 2.96% versus the Index return of 1.30%.

V. Fund Attribution

The Fund’s allocation to structured credit in the form of collateralized loan obligations was a major contributor to performance, as this area continued its multi-year rebound due to improved fundamentals and ample access to capital markets for many loan issuers. Declining default rates and increased investor risk appetite also served as a tailwind for leveraged finance investments, including both loans and bonds, for a majority of the period. An underweight to the Basic Industry sector was positive and enhanced relative performance when combined with strong security selection within metal, paper and steel companies. The Technology sector produced strong results as companies continued to invest capital in computers and services that will improve productivity. Security selection and an overweight to the more defensive Health Care sector also helped returns.

An underweight to the outperforming Energy sector detracted from performance, as its higher-quality bias and the longer-term nature of its maturity profile benefited from declining U.S. Treasurys. Security selection in the sector, however, helped to mitigate

24 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

underperformance. The Fund’s underweight to the positively performing Automotive sector subtracted from performance as automotive companies benefited from a higher-quality bias and the end of supply chain disruptions emanating from the earthquake and tsunami in Japan.

High Yield Bond Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date
High Yield Bond Fund, Class A		2.96%		12.00%		5.68%		7.70%		7.13%
High Yield Bond Fund, Class I		1.19%		11.21%		5.19%		7.41%		6.91%

Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A and Class I, versus the BofA Merrill Lynch U.S. High Yield Constrained Index

¹  For the period ended 9/30/11. 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, 2011 25

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Real Return Fund

I. Objective

The Real Return Fund’s (the “Fund”) objective is to provide return characteristics similar to Treasury Inflation Protected Securities (“TIPS”) with a maturity range of one to five years.

II. Multi-Manage Approach Statement

The Fund currently relies on a single sub-advisor to manage the Fund’s portfolio under the general supervision of SEI Investments Management Corp. The Fund uses the following sub-adviser as of September 30, 2011: Wellington Management Company, LLP. During the year ended September 30, 2011, no manager changes were made to the Fund.

III. Market Commentary

For the year ended September 30, 2011, the non-Treasury sectors of the U.S. fixed-income market were mixed in regard to spread compression and risk appetite.

Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the devastating earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. The first- and second-quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations and the market sharply lowered GDP expectations for the remainder of the year. In response, the U.S. Federal Reserve (the “Fed”) kept the Fed funds rate near zero to support the economy, but let the $600 billion quantitative easing program expire at the end of June. Despite the exit, Treasurys rallied significantly in the second and third quarters of calendar year 2011 due to weak economic data and fears surrounding Europe. A U.S. debt ceiling resolution passed at the beginning of August. Nevertheless, credit rating agency Standard and Poor’s downgraded the U.S. to AA+ from AAA because the U.S. government had not addressed longer-term fiscal issues that could continue to burden the country. In the third quarter of calendar year 2011, the Federal Open Market Committee (“FOMC”) announced “Operation Twist” in response to a weakening economy. This program is intended to extend the average maturity of the Fed’s holdings by actively selling $400 billion in Treasury securities maturing within three years and reinvesting the proceeds into securities maturing in six to 30 years. The FOMC also announced that it would reinvest the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasurys.

The TIPS market experienced a higher level of volatility due to transitory events, including extreme weather in the U.S., Russia and Australia, and political tensions in the Middle East. The five-year TIPS breakeven inflation rate, which is the rate of inflation that equalizes the return of nominal and inflation-linked Treasurys, widened from

1.4% to 1.6%. The core Consumer Price Index also increased modestly from historically low levels.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Real Return Fund, Class A, underperformed the Barclays 1-5 Year U.S. TIPS Index (the “Index”), returning 4.51% versus the Index return of 4.79%.

V. Fund Attribution

A tactical and timely allocation to nominal Treasurys helped the Fund’s performance due to the decline in Treasury yields during the year. In addition, the drop in TIPS yields served to support the Fund’s absolute return.

The Fund used derivatives as a way to manage duration, yield-curve positioning, currency risk and spread duration in a more efficient manner. Futures were used for this purpose, and had a modestly positive impact on Fund performance.

Real Return Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized Inception to Date
Real Return Fund, Class A		4.51%		5.19%

Comparison of Change in the Value of a $100,000 Investment in the Real Return Fund, Class A, versus the Barclays 1-5 Year U.S. TIPS Index

¹  For the period ended 9/30/11. Past performance is no indication of future performance. Class A shares were offered beginning 7/2/09. 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 for waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

26 SEI Institutional Managed Trust / Annual Report / September 30, 2011

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI INSTITUTIONAL MANAGED TRUST — SEPTEMBER 30, 2011

Multi-Strategy Alternative Fund

I. Objective

The Multi-Strategy Alternative Fund (the “Fund”) allocates its assets among a variety of investment strategies to seek to generate an absolute return with reduced correlation to the stock and bond markets.

II. Multi-Manager Approach Statement

The Fund uses a fund-of-funds approach, investing in a number of funds managed by different sub-advisors with differing investment approaches. The fund selection and portfolio construction are conducted by Turner Investment Partners, Inc.

The Multi-Strategy Alternative Fund had investments in the following funds as of September 30, 2011: AQR Diversified Arbitrage Fund, Institutional Class (ADAIX), AQR Managed Futures Strategy Fund, Institutional Class (AQMIX), DWS Diversified Market Neutral Fund, Class A (DDMAX), Eaton Vance Global Macro Absolute Return Fund, Institutional Class (EIGMX), J.P. Morgan Market Neutral Fund, Institutional Class (JPMNX), Driehaus Active Income Fund, Class A (LCMAX), The Merger Fund (MERFX), Managers AMG FQ Alternative Fund, Class A (MGAAX), TFS Market Neutral Fund (TFSMX) and Turner Spectrum Fund (TSPEX).

For the year ended September 30, 2011, Aberdeen Equity Long Short Fund, Institutional Class (GGUIX) and Managers AMG FW Alternative Fund, Institutional Class, (MGAIX) were terminated.

III. Market Commentary

Markets were highly volatile during the period. The first half of the fiscal year saw a significant run-up as most risk assets rallied strongly. The second and third quarters of calendar year 2011 saw a selloff in risk assets. The recovery during the second half of 2010 and first quarter of 2011 was not as robust as had been hoped, as choppy market conditions presented challenges for several investment strategies. Fears of sovereign defaults and the deterioration in economic prospects drove risk markets down during the second and third quarters. Throughout this volatility, the Fund achieved its main objective to protect investor capital, experiencing a relatively modest drawdown during the second and third quarters. The risk in the portfolio was reduced during the second and third quarters of 2011.

IV. Return vs. Benchmark

For the year ended September 30, 2011, the Multi-Strategy Alternative Fund, Class A underperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Index”), returning (2.16)% versus 0.14% for the Index.

Although the Fund performance is benchmarked against the return of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, an investment in the Fund is substantially different from an investment in

U.S. Treasury bills. Among other things, Treasury bills are backed by the full faith and credit of the U.S. government and have a fixed rate of return. Investors in Treasury bills do not risk losing their investment, whereas loss of money is a risk of investing in the Fund. Further, an investment in the Fund is expected to be substantially more volatile than an investment in Treasury bills because of the breadth and types of securities and other instruments in which the Fund may invest.

V. Fund Attribution

The Fund’s largest detractor was Tactical Trading as the environment proved challenging for tactical managers. The Managed Futures strategy was whipsawed as the market oscillated between enthusiasm and pessimism, while the Global Macro Strategy had difficulties allocating risk in markets that were driven mostly by a flight to quality. The Equity Hedge strategy also posted losses. Both Long/Short Equity and Market-Neutral managers detracted as equity market prices were mostly driven by global macroeconomic and political concerns rather than stock-specific data. Relative Value managers generated smaller losses due to widening of credit spreads and interest hedging. The Event Driven allocation also detracted since Merger Arbitrage was negatively impacted by spread widening.

Multi-Strategy Alternative Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized Inception to Date
Multi-Strategy Alternative Fund, Class A		(2.16)%		(1.90)%

Comparison of Change in the Value of a $100,000 Investment in the Multi-Strategy Alternative Fund, Class A, versus the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index

¹  For the period ended 9/30/11. Past performance is no indication of future performance. Class A shares were offered beginning 3/31/10. 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 the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 27

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 96.8%
Consumer Discretionary — 14.6%
Apollo Group, CI A*		0.5	%		192,000	$	7,605
CBS, Cl B		0.7			533,840		10,880
Coach		1.1			327,548		16,977
Harley-Davidson		0.6			251,784		8,644
Johnson Controls		0.5			301,991		7,963
Lowe’s		0.9			672,602		13,008
Macy’s		0.6			338,790		8,917
McDonald’s		0.6			98,831		8,679
Nike, Cl B		0.7			130,957		11,198
Target		0.7			228,949		11,228
Time Warner Cable, Cl A		0.6			130,770		8,195
Other Securities		7.1					108,866
							222,160
Consumer Staples — 9.5%
Coca-Cola		0.8			185,650		12,543
Costco Wholesale		1.1			208,310		17,106
Mead Johnson Nutrition, Cl A		0.9			196,120		13,499
Philip Morris International		0.6			141,380		8,819
Procter & Gamble		1.2			294,401		18,600
Walgreen		0.5			251,100		8,259
Other Securities		4.4					66,566
							145,392
Energy — 9.3%
Chevron		1.6			256,600		23,741
ConocoPhillips		1.4			336,320		21,296
Exxon Mobil		1.2			248,400		18,041
Schlumberger		0.6			156,008		9,318
Other Securities		4.5					68,570
							140,966
Financials — 11.9%
Capital One Financial (A)		0.5			209,030		8,284
Citigroup		0.7			423,900		10,860
JPMorgan Chase		1.4			711,160		21,420

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Wells Fargo		1.0	%		624,400	$	15,061
Other Securities		8.3					124,931
							180,556
Health Care — 12.3%
Allergan		0.9			170,566		14,051
Amgen		0.9			253,518		13,931
Express Scripts*		0.6			223,883		8,299
Johnson & Johnson (A)		1.1			256,840		16,363
Merck		0.8			382,800		12,521
Pfizer		1.2			989,500		17,494
UnitedHealth Group		0.6			204,771		9,444
WellPoint		0.5			121,800		7,951
Other Securities		5.7					87,767
							187,821
Industrials — 8.5%
General Electric		0.9			885,200		13,491
Precision Castparts		0.8			82,728		12,861
Other Securities		6.8					102,895
							129,247
Information Technology — 22.3%
Adobe Systems*		0.7			438,183		10,591
Apple*		3.2			129,445		49,342
Cisco Systems		0.6			628,700		9,739
EMC*		0.6			404,986		8,501
Google, Cl A*		1.9			54,877		28,228
Intel		1.5			1,093,099		23,316
International Business Machines		0.6			52,226		9,141
Mastercard, Cl A		1.2			57,183		18,136
Microsoft		0.8			509,406		12,679
Oracle		1.2			641,475		18,436
Qualcomm		1.5			462,194		22,476
Visa, Cl A		0.5			95,400		8,178
Other Securities		8.0					121,471
							340,234
Materials — 2.3%
Other Securities		2.3					35,229
Telecommunication Services — 3.5%
AT&T		1.3			719,380		20,517
Verizon Communications		1.2			477,911		17,587
Other Securities		1.0					14,564
							52,668
Utilities — 2.6%
American Electric Power		0.5			200,146		7,609

28 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Other Securities		2.1	%			$	31,844
							39,453
Total Common Stock (Cost $1,545,888) ($ Thousands)							1,473,726
AFFILIATED PARTNERSHIP — 7.0%
SEI Liquidity Fund, L.P. 0.130%**† (B)		7.0			105,803,821		105,804
Total Affiliated Partnership (Cost $105,804) ($ Thousands)							105,804
CASH EQUIVALENTS — 2.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		2.7			41,118,451		41,118
Other Securities		0.1					1,338
Total Cash Equivalents (Cost $42,456) ($ Thousands)							42,456
U.S. TREASURY OBLIGATION (C) — 0.3%
Other Securities		0.3					5,132
Total U.S. Treasury Obligation (Cost $5,132) ($ Thousands)							5,132
Total Investments — 106.9% (Cost $1,699,280) ($ Thousands)						$	1,627,118

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		422		Dec-2011	$	(864	)
S&P Mid 400 Index E-MINI		48		Dec-2011		(258	)
					$	(1,122	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,521,942 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Investment in Affiliated Security (see Note 5).

(A) This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $100,274 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $105,804 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be

disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,473,726	$	—	$	—	$	1,473,726
Affiliated Partnership		—		105,804		—		105,804
Cash Equivalents		41,118		1,338		—		42,456
U.S. Treasury Obligation		—		5,132		—		5,132
Total Investments in Securities	$	1,514,844	$	112,274	$	—	$	1,627,118

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(1,122	)	$	—	$	—	$	(1,122	)
Total Other Financial Instruments	$	(1,122	)	$	—	$	—	$	(1,122	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 29

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Value Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 97.6%
Consumer Discretionary — 8.3%
CBS, Cl B		0.5	%		274,900	$	5,602
Newell Rubbermaid		0.5			491,885		5,839
Time Warner (A)		0.5			209,100		6,267
Other Securities		6.8					82,803
							100,511
Consumer Staples — 8.8%
Coca-Cola		0.5			85,350		5,766
CVS Caremark		0.9			337,200		11,323
Procter & Gamble		1.9			367,100		23,193
Wal-Mart Stores		1.1			251,610		13,059
Other Securities		4.4					52,281
							105,622
Energy — 11.8%
Apache		0.5			80,450		6,455
Chevron		3.3			424,100		39,238
ConocoPhillips		1.7			318,500		20,167
Devon Energy		0.5			103,300		5,727
Exxon Mobil		1.5			253,450		18,408
Murphy Oil		0.6			158,150		6,984
Occidental Petroleum		0.5			91,300		6,528
Valero Energy		0.5			316,000		5,619
Other Securities		2.7					33,044
							142,170
Financials — 20.3%
Aflac		0.7			230,350		8,051
Ameriprise Financial		0.5			165,800		6,526
Bank of America		0.6			1,232,600		7,543
Chubb		0.8			155,300		9,317
Citigroup		1.1			486,030		12,452
Discover Financial Services		0.5			244,800		5,616
Fifth Third Bancorp		0.5			627,700		6,340
JPMorgan Chase		2.5			1,005,500		30,286
PNC Financial Services Group		1.0			250,700		12,081
Prudential Financial		0.7			175,600		8,229

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Travelers		0.5	%		114,400	$	5,575
Wells Fargo		2.4			1,188,400		28,664
Other Securities		8.5					103,770
							244,450
Health Care — 14.1%
Aetna		0.7			233,300		8,481
Amgen		1.0			217,000		11,924
Gilead Sciences*		0.5			159,400		6,185
Johnson & Johnson		1.4			272,450		17,358
Merck		1.7			609,200		19,927
Pfizer		3.1			2,115,200		37,397
UnitedHealth Group		0.8			217,300		10,022
WellPoint		1.2			215,000		14,035
Other Securities		3.7					44,682
							170,011
Industrials — 9.0%
General Dynamics		0.5			103,300		5,877
General Electric		2.4			1,905,500		29,040
Northrop Grumman (A)		0.8			181,400		9,462
Other Securities		5.3					63,624
							108,003
Information Technology — 11.8%
Cisco Systems		1.4			1,086,750		16,834
Hewlett-Packard		0.5			265,300		5,956
Intel		2.6			1,467,250		31,297
Microsoft		1.5			700,950		17,447
Other Securities		5.8					71,022
							142,556
Materials — 5.0%
Freeport-McMoRan Copper & Gold, Cl B		0.5			203,400		6,194
Newmont Mining		0.9			178,700		11,240
Other Securities		3.6					43,422
							60,856
Telecommunication Services — 3.5%
AT&T		2.4			1,014,900		28,945
Verizon Communications (A)		1.0			311,400		11,460
Other Securities		0.1					1,417
							41,822
Utilities — 5.0%
American Electric Power		0.7			235,400		8,950
Entergy		0.7			133,600		8,856
Exelon (A)		0.5			149,800		6,383
Other Securities		3.1					35,610
							59,799
Total Common Stock (Cost $1,303,315) ($ Thousands)							1,175,800

30 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
EXCHANGE TRADED FUND — 0.7%
SPDR Gold Shares		0.7	%		48,800	$	7,714
Total Exchange Traded Fund (Cost $7,137) ($ Thousands)							7,714
AFFILIATED PARTNERSHIP — 6.0%
SEI Liquidity Fund, L.P. 0.130%**† (B)		6.0			77,060,229		72,295
Total Affiliated Partnership (Cost $77,060) ($ Thousands)							72,295
CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		2.0			23,988,205		23,988
Total Cash Equivalent (Cost $23,988) ($ Thousands)							23,988
U.S. TREASURY OBLIGATIONS (C) — 0.3%
Other Securities		0.3					3,961
Total U.S. Treasury Obligations (Cost $3,961) ($ Thousands)							3,961
Total Investments — 106.6% (Cost $1,415,461) ($ Thousands)						$	1,283,758

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		236		Dec-2011	$	(575	)
Russell 2000 Index E-MINI		8		Dec-2011		(41	)
					$	(616	)

For the period ended September 30, 2011, the total number of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,204,345 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Investment in Affiliated Security (see Note 5).

(A) This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $73,116 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $72,295 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

SPDR — Standard & Poor’s Depositary Receipts

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be

disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,175,800	$	—	$	—	$	1,175,800
Exchange Traded Fund		7,714		—		—		7,714
Affiliated Partnership		—		72,295		—		72,295
Cash Equivalent		23,988		—		—		23,988
U.S. Treasury Obligations		—		3,961		—		3,961
Total Investments in Securities	$	1,207,502	$	76,256	$	—	$	1,283,758

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(616	)	$	—	$	—	$	(616	)
Total Other Financial Instruments	$	(616	)	$	—	$	—	$	(616	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 31

SUMMARY SCHEDULE OF INVESTMENTS

Large Cap Growth Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 97.9%‡
Consumer Discretionary — 14.7%
Amazon.com*		0.7	%		43,042	$	9,307
Apollo Group, Cl A*		0.8			246,200		9,752
Coach		1.2			287,495		14,901
Fossil*		1.0			154,488		12,523
McDonald’s		0.9			126,527		11,112
Nike, Cl B		0.7			101,050		8,641
priceline.com* (A)		1.3			36,325		16,327
Other Securities		8.1					106,590
							189,153
Consumer Staples — 11.7%
Altria Group		0.9			448,097		12,013
Coca-Cola (A)		1.2			235,110		15,884
Costco Wholesale		1.5			237,775		19,526
Mead Johnson Nutrition, Cl A		1.3			233,546		16,075
Philip Morris International		0.7			134,097		8,365
Walgreen		1.1			426,100		14,015
Other Securities		5.0					63,939
							149,817
Energy — 9.0%
Canadian Natural Resources		0.9			396,813		11,615
EOG Resources (A)		1.1			196,118		13,926
Exxon Mobil		1.3			229,700		16,683
FMC Technologies* (A)		1.1			364,494		13,705
Schlumberger		1.1			236,582		14,131
Other Securities		3.5					45,667
							115,727
Financials — 3.8%
CME Group		1.0			49,358		12,162
Intercontinental Exchange* (A)		0.9			97,850		11,572
Other Securities		1.9					25,741
							49,475

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Health Care — 14.0%
Allergan		1.5	%		236,245	$	19,462
Covance*		0.9			255,415		11,608
DaVita*		0.6			131,489		8,240
Express Scripts*		1.2			405,013		15,014
Idexx Laboratories* (A)		0.7			135,991		9,379
Illumina* (A)		0.7			219,015		8,962
Intuitive Surgical* (A)		1.0			35,631		12,980
Other Securities		7.4					93,746
							179,391
Industrials — 9.4%
Caterpillar		0.8			139,900		10,330
Danaher		0.9			267,512		11,219
Fluor		1.0			264,282		12,303
Roper Industries		0.8			154,366		10,637
Stericycle* (A)		1.3			205,308		16,572
Other Securities		4.6					59,333
							120,394
Information Technology — 31.2%
Accenture, Cl A (A)		0.9			223,683		11,784
Amphenol, Cl A		0.7			213,575		8,708
Ansys*		0.7			187,240		9,182
Apple*		5.9			200,563		76,450
Citrix Systems*		1.1			254,903		13,900
Cognizant Technology Solutions, Cl A* (A)		0.9			186,652		11,703
Google, Cl A*		3.2			79,609		40,949
Intuit		0.9			241,200		11,443
Mastercard, Cl A		2.3			91,900		29,147
Microsoft		0.8			379,093		9,436
National Instruments		0.6			367,444		8,400
NetApp* (A)		0.8			291,964		9,909
Oracle		0.8			358,220		10,295
Qualcomm		2.4			632,215		30,745
Teradata*		0.9			225,900		12,092
VeriSign		0.8			348,600		9,973
Visa, Cl A (A)		1.3			191,350		16,402
Other Securities		6.2					81,095
							401,613
Materials — 2.5%
Other Securities		2.5					32,013
Telecommunication Services — 1.1%
Crown Castle International*		1.0			326,900		13,295
Other Securities		0.1					1,089
							14,384

32 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Utilities — 0.5%
Other Securities		0.5	%			$	5,841
Total Common Stock (Cost $1,236,432) ($ Thousands)							1,257,808
AFFILIATED PARTNERSHIP — 14.2%
SEI Liquidity Fund, L.P. 0.130%**† (B)		14.2			186,265,391		182,576
Total Affiliated Partnership (Cost $186,265) ($ Thousands)							182,576
CASH EQUIVALENTS — 2.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		2.0			25,517,997		25,518
Other Securities		0.2					2,426
Total Cash Equivalents (Cost $27,944) ($ Thousands)							27,944
U.S. TREASURY OBLIGATIONS (C) — 0.2%
Other Securities		0.2					3,257
Total U.S. Treasury Obligations (Cost $3,257) ($ Thousands)							3,257
Total Investments — 114.5% (Cost $1,453,898) ($ Thousands)						$	1,471,585

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		301		Dec-2011	$	(813	)
Russell 2000 Index E-MINI		40		Dec-2011		(207	)
					$	(1,020	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,285,233 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Investment in Affiliated Security (see Note 5).

‡ 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, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $177,214 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $182,576 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,257,808	$	—	$	—	$	1,257,808
Affiliated Partnership		—		182,576		—		182,576
Cash Equivalents		25,518		2,426		—		27,944
U.S. Treasury Obligations		—		3,257		—		3,257
Total Investments in Securities	$	1,283,326	$	188,259	$	—	$	1,471,585

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(1,020	)	$	—	$	—	$	(1,020	)
Total Other Financial Instruments	$	(1,020	)	$	—	$	—	$	(1,020	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 -— Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 33

SUMMARY SCHEDULE OF INVESTMENTS

Tax-Managed Large Cap Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 99.0%
Consumer Discretionary — 13.9%
Apollo Group, Cl A*		0.5	%		195,978	$	7,763
CBS, Cl B		0.6			451,553		9,203
Coach		1.0			300,249		15,562
Harley-Davidson		0.5			231,344		7,942
Lowe’s		0.7			569,040		11,005
Macy’s		0.6			331,340		8,721
McDonald’s		0.6			95,639		8,399
Nike, Cl B		0.7			120,799		10,330
Target		0.8			247,603		12,142
Time Warner Cable, Cl A		0.5			124,373		7,794
Other Securities		7.4					108,655
							207,516
Consumer Staples — 10.2%
Coca-Cola		0.8			182,111		12,303
Costco Wholesale		1.2			209,569		17,210
Mead Johnson Nutrition, Cl A		0.9			188,136		12,949
Philip Morris International		0.5			124,558		7,770
Procter & Gamble		1.3			305,330		19,291
Walgreen		0.5			226,237		7,441
Wal-Mart Stores		0.6			172,048		8,929
Other Securities		4.4					67,121
							153,014
Energy — 9.8%
Chevron		1.6			256,751		23,755
ConocoPhillips		1.4			326,204		20,655
Exxon Mobil		1.3			272,146		19,766
Schlumberger		0.8			195,377		11,670
Other Securities		4.7					70,963
							146,809
Financials — 11.7%
Capital One Financial (A)		0.5			181,999		7,213
Citigroup		0.5			314,295		8,052

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
JPMorgan Chase		1.3	%		644,177	$	19,403
Wells Fargo		1.0			611,901		14,759
Other Securities		8.4					126,006
							175,433
Health Care — 13.0%
Allergan		0.8			144,706		11,921
Amgen		1.0			275,324		15,129
Celgene*		0.5			118,659		7,347
Intuitive Surgical*		0.5			19,439		7,081
Johnson & Johnson		1.2			278,618		17,751
Merck		0.9			400,535		13,101
Pfizer		1.1			954,300		16,872
UnitedHealth Group		0.7			224,892		10,372
Other Securities		6.3					95,331
							194,905
Industrials — 8.7%
General Electric		1.1			1,040,296		15,854
Precision Castparts		0.8			74,974		11,655
Other Securities		6.8					103,482
							130,991
Information Technology — 22.3%
Adobe Systems*		0.6			362,339		8,758
Apple*		3.2			126,936		48,385
Cisco Systems		0.7			647,869		10,036
Citrix Systems*		0.5			137,048		7,473
Google, Cl A*		1.8			52,993		27,259
Intel		1.6			1,079,376		23,023
International Business Machines		0.8			64,371		11,267
Mastercard, Cl A		1.2			54,569		17,307
Microsoft		1.0			571,607		14,227
Oracle		1.2			614,753		17,668
Qualcomm		1.4			428,623		20,844
Visa, Cl A (A)		0.6			104,451		8,954
Other Securities		7.7					118,069
							333,270
Materials — 2.6%
Other Securities		2.6					38,314
Telecommunication Services — 3.6%
AT&T		1.6			815,594		23,261
Verizon Communications (A)		1.1			466,738		17,176
Other Securities		0.9					13,631
							54,068
Utilities — 3.2%
American Electric Power		0.6			224,436		8,533

34 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Other Securities		2.6	%			$	38,785
							47,318
Total Common Stock (Cost $1,455,932) ($ Thousands)							1,481,638
AFFILIATED PARTNERSHIP — 7.9%
SEI Liquidity Fund, L.P. 0.130%**† (B)		7.9			122,520,224		118,529
Total Affiliated Partnership (Cost $122,520) ($ Thousands)							118,529
CASH EQUIVALENT — 1.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		1.3			19,398,403		19,398
Total Cash Equivalent (Cost $19,398) ($ Thousands)							19,398
U.S. TREASURY OBLIGATION (C) — 0.2%
Other Securities		0.2					3,314
Total U.S. Treasury Obligation (Cost $3,314) ($ Thousands)							3,314
Total Investments — 108.4% (Cost $1,601,164) ($ Thousands)						$	1,622,879

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		255		Dec-2011	$	(641	)
S&P Mid 400 Index E-MINI		29		Dec-2011		(186	)
					$	(827	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,496,696 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Investment in Affiliated Security (see Note 5).

(A) This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $116,488 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $118,529 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise

apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,481,638	$	—	$	—	$	1,481,638
Affiliated Partnership		—		118,529		—		118,529
Cash Equivalent		19,398		—		—		19,398
U.S. Treasury Obligation		—		3,314		—		3,314
Total Investments in Securities	$	1,501,036	$	121,843	$	—	$	1,622,879

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(827	)	$	—	$	—	$	(827	)
Total Other Financial Instruments	$	(827	)	$	—	$	—	$	(827	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 35

SUMMARY SCHEDULE OF INVESTMENTS

S&P 500 Index Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 96.1%
Consumer Discretionary — 10.3%
Amazon.com* (A)		0.7	%		49,600	$	10,725
Comcast, Cl A		0.6			375,822		7,855
Home Depot		0.5			210,996		6,935
McDonald’s		0.8			140,770		12,362
Walt Disney (A)		0.5			253,727		7,652
Other Securities		7.2					104,040
							149,569
Consumer Staples — 11.2%
Altria Group		0.5			283,256		7,594
Coca-Cola		1.4			312,953		21,143
CVS Caremark		0.4			184,035		6,180
Kraft Foods, Cl A		0.6			241,398		8,106
PepsiCo		0.9			215,985		13,369
Philip Morris International		1.0			239,565		14,944
Procter & Gamble		1.6			374,501		23,661
Wal-Mart Stores (A)		0.9			239,944		12,453
Other Securities		3.9					56,600
							164,050
Energy — 11.1%
Chevron		1.7			272,978		25,256
ConocoPhillips (A)		0.8			187,443		11,869
Exxon Mobil		3.3			662,198		48,095
Occidental Petroleum		0.5			111,059		7,941
Schlumberger		0.8			184,243		11,005
Other Securities		4.0					58,246
							162,412
Financials — 13.1%
American Express		0.4			142,115		6,381
Bank of America		0.6			1,384,828		8,475
Berkshire Hathaway, Cl B* (A)		1.2			239,847		17,039
Citigroup		0.7			398,408		10,207

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Goldman Sachs Group		0.5	%		69,156	$	6,539
JPMorgan Chase		1.1			531,757		16,016
US Bancorp		0.4			262,906		6,189
Wells Fargo		1.2			719,963		17,366
Other Securities		7.0					102,257
							190,469
Health Care — 11.7%
Abbott Laboratories		0.7			212,546		10,870
Amgen		0.5			126,418		6,947
Bristol-Myers Squibb (A)		0.5			233,275		7,320
Johnson & Johnson		1.6			373,482		23,794
Merck		0.9			420,344		13,749
Pfizer		1.3			1,063,776		18,808
UnitedHealth Group		0.5			147,247		6,791
Other Securities		5.7					81,871
							170,150
Industrials — 9.8%
3M		0.5			97,082		6,969
Boeing		0.4			101,432		6,138
Caterpillar		0.5			88,397		6,527
General Electric		1.5			1,444,874		22,020
United Parcel Service, Cl B		0.6			134,011		8,463
United Technologies		0.6			124,132		8,734
Other Securities		5.7					83,701
							142,552
Information Technology — 18.8%
Apple*		3.3			126,231		48,117
Cisco Systems		0.8			750,804		11,630
Google, Cl A*		1.2			34,391		17,690
Hewlett-Packard		0.4			283,765		6,370
Intel		1.0			716,215		15,277
International Business Machines		1.9			162,737		28,484
Microsoft		1.7			1,016,193		25,293
Oracle		1.1			538,888		15,488
Qualcomm		0.8			229,332		11,152
Other Securities		6.6					93,927
							273,428
Materials — 3.2%
Other Securities		3.2					47,144
Telecommunication Services — 3.1%
AT&T		1.6			807,740		23,037
Verizon Communications		1.0			386,198		14,212
Other Securities		0.5					8,617
							45,866

36 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Utilities — 3.8%
Other Securities		3.8	%			$	55,269
Total Common Stock (Cost $826,868) ($ Thousands)							1,400,909
AFFILIATED PARTNERSHIP — 9.7%
SEI Liquidity Fund, L.P. 0.130%**† (B)		9.7			144,794,925		141,957
Total Affiliated Partnership (Cost $144,794) ($ Thousands)							141,957
CASH EQUIVALENT — 3.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		3.5			50,902,659		50,903
Total Cash Equivalent (Cost $50,903) ($ Thousands)							50,903
U.S. TREASURY OBLIGATIONS (C) — 0.4%
Other Securities		0.4					5,400
Total U.S. Treasury Obligations (Cost $5,400) ($ Thousands)							5,400
Total Investments — 109.7% (Cost $1,027,965) ($ Thousands)						$	1,599,169

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		1,038		Dec-2011	$	(2,827	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,458,272 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Investment in Affiliated Security (see Note 5).

(A) This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $137,997 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $141,957 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio

holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,400,909	$	—	$	—	$	1,400,909
Affiliated Partnership		—		141,957		—		141,957
Cash Equivalent		50,903		—		—		50,903
U.S. Treasury Obligations		—		5,400		—		5,400
Total Investments in Securities	$	1,451,812	$	147,357	$	—	$	1,599,169

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(2,827	)	$	—	$	—	$	(2,827	)
Total Other Financial Instruments	$	(2,827	)	$	—	$	—	$	(2,827	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 -— Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 37

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 96.5%
Consumer Discretionary — 12.5%
American Public Education* (A)		0.4	%		23,623	$	803
Childrens Place Retail Stores* (A)		0.5			21,158		985
Jones Group (A)		0.4			85,967		792
Life Time Fitness* (A)		0.5			27,397		1,010
National CineMedia		0.3			42,480		616
Other Securities		10.4					21,196
							25,402
Consumer Staples — 2.6%
Ruddick (A)		0.3			15,455		603
Other Securities		2.3					4,797
							5,400
Energy — 6.6%
Berry Petroleum, Cl A		0.3			17,824		631
Dril-Quip*		0.3			11,100		598
Other Securities		6.0					12,332
							13,561
Financials — 19.1%
BioMed Realty Trust†		0.4			47,285		784
Education Realty Trust†		0.4			95,995		825
FirstMerit		0.4			65,036		739
Hancock Holding		0.4			34,178		915
Hanover Insurance Group		0.5			28,542		1,013
Highwoods Properties† (A)		0.5			36,277		1,025
Meadowbrook Insurance Group		0.5			107,718		960
National Retail Properties† (A)		0.5			34,763		934
Western Alliance Bancorp* (A)		0.5			173,182		949
Other Securities		15.0					30,851
							38,995
Health Care — 13.8%
Ariad Pharmaceuticals* (A)		0.3			74,030		651

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Cubist Pharmaceuticals* (A)		0.4	%		25,662	$	906
Healthspring*		0.4			21,750		793
Invacare		0.3			27,038		623
Magellan Health Services*		0.6			26,997		1,304
Medicis Pharmaceutical, Cl A		0.3			18,757		684
Mednax* (A)		0.3			9,835		616
Questcor Pharmaceuticals* (A)		0.5			35,250		961
Other Securities		10.7					21,536
							28,074
Industrials — 17.1%
Actuant, Cl A (A)		0.3			34,488		681
AerCap Holdings*		0.3			61,058		606
EMCOR Group		0.4			40,584		825
Geo Group*		0.3			38,050		706
HEICO (A)		0.3			14,311		705
Marten Transport		0.3			36,650		632
Old Dominion Freight Line*		0.4			29,909		866
Robbins & Myers		0.4			24,717		858
Wabash National* (A)		0.6			237,243		1,132
Other Securities		13.8					27,873
							34,884
Information Technology — 16.4%
Adtran		0.3			22,775		603
BroadSoft* (A)		0.5			30,991		941
Digital River* (A)		0.3			29,635		614
Hittite Microwave*		0.3			13,800		672
Inphi* (A)		0.4			84,455		741
Integrated Device Technology* (A)		0.3			117,791		607
Mellanox Technologies*		0.4			24,110		753
Parametric Technology*		0.3			44,499		684
Sycamore Networks		0.3			35,176		635
Other Securities		13.3					27,118
							33,368
Materials — 4.5%
Globe Specialty Metals		0.4			51,761		752
Innophos Holdings		0.4			18,158		724
PolyOne		0.4			71,460		765
RTI International Metals* (A)		0.4			30,595		713
Other Securities		2.9					6,281
							9,235
Telecommunication Services — 0.7%
Other Securities		0.7					1,429
Utilities — 3.2%
PNM Resources		0.3			36,344		597
Portland General Electric		0.3			27,995		663
UIL Holdings (A)		0.4			26,876		885

38 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Other Securities		2.2	%			$	4,328
							6,473
Total Common Stock (Cost $222,750) ($ Thousands)							196,821
CONVERTIBLE BONDS — 0.1%
Energy — 0.1%
Other Securities		0.1					70
Financials — 0.0%
Other Securities		0.0					26
Total Convertible Bonds (Cost $103) ($ Thousands)							96
PREFERRED STOCK — 0.1%
Consumer Discretionary — 0.1%
Other Securities		0.1					103
Energy — 0.0%
Other Securities		0.0					49
Financials — 0.0%
Other Securities		0.0					46
Total Preferred Stock (Cost $346) ($ Thousands)							198
WARRANTS — 0.0%
Other Securities		0.0					6
Total Warrants (Cost $—) ($ Thousands)							6
AFFILIATED PARTNERSHIP — 29.1%
SEI Liquidity Fund, L.P. 0.130%**†† (B)		29.1			59,288,692		59,289
Total Affiliated Partnership (Cost $59,289) ($ Thousands)							59,289
CASH EQUIVALENT — 3.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**††		3.4			6,921,005		6,921
Total Cash Equivalent (Cost $6,921) ($ Thousands)							6,921

Description	Percentage of Net Assets (%)			Face Amount ($ Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS (C) (D) — 0.6%
U.S. Treasury Bills 0.014%, 12/15/2011		0.4	%	$	753	$	753
Other Securities		0.2					510
Total U.S. Treasury Obligations (Cost $1,263) ($ Thousands)							1,263
Total Investments — 129.8% (Cost $290,672) ($ Thousands)						$	264,594

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		75		Dec-2011	$	(213	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $203,909 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security (see Note 5).

(A) This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $55,648 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $59,289 ($ Thousands).

(C) Security, or portion thereof has been pledged as collateral on open futures contracts.

(D) The rate reported is the effective yield at time of purchase.

Cl — Class

L.P. — Limited Partnership

Amounts designated as “—” are $0 or have been rounded to $0.

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	196,817	$	2	$	2	$	196,821
Convertible Bonds		—		96		—		96
Preferred Stock		—		198		—		198
Warrants		—		6		—		6
Affiliated Partnership		—		59,289		—		59,289
Cash Equivalent		6,921		—		—		6,921
U.S. Treasury Obligations		—		1,263		—		1,263
Total Investments in Securities	$	203,738	$	60,854	$	2	$	264,594

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(213	)	$	—	$	—	$	(213	)
Total Other Financial Instruments	$	(213	)	$	—	$	—	$	(213	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 39

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap Fund (Concluded)

September 30, 2011

The following is a reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

	Common Stock			Corporate Obligation
Beginning balance as of October 1, 2010	$	6		$	19
Accrued discounts/premiums		—			(1	)
Realized gain/(loss)		—			2
Change in unrealized appreciation/(depreciation)		(4	)		—
Net purchases/sales		—			(20	)
Net transfer in and/or out of Level 3		—			—
Ending balance as of September 30, 2011	$	2		$	—
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	(4	)	$	—

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 -— Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

40 SEI Institutional Managed Trust / Annual Report / September 30, 2011

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap Value Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 97.6%‡
Consumer Discretionary — 9.5%
Regis (A)		0.5	%		139,424	$	1,964
Rent-A-Center		0.5			73,800		2,026
Other Securities		8.5					32,082
							36,072
Consumer Staples — 3.6%
Corn Products International		0.4			36,258		1,423
Pantry*		0.5			144,953		1,758
Other Securities		2.7					10,426
							13,607
Energy — 4.7%
Berry Petroleum, Cl A (A)		0.4			43,513		1,540
Other Securities		4.3					16,511
							18,051
Financials — 34.7%
AvalonBay Communities† (A)		0.4			12,719		1,451
BioMed Realty Trust† (A)		0.4			104,392		1,730
Boston Private Financial Holdings (A)		0.5			295,228		1,736
CNO Financial Group*		0.4			291,900		1,579
Education Realty Trust†		0.4			163,464		1,404
Endurance Specialty Holdings		0.4			48,384		1,652
Equity Residential†		0.5			39,100		2,028
FirstMerit		0.5			154,878		1,759
Hancock Holding (A)		0.6			84,915		2,274
HCP†		0.5			53,262		1,867
Highwoods Properties† (A)		0.4			49,545		1,400
Infinity Property & Casualty (A)		0.4			31,113		1,633
Meadowbrook Insurance Group (A)		0.7			287,673		2,563
Mid-America Apartment Communities† (A)		0.5			29,555		1,780
Ocwen Financial* (A)		0.4			109,300		1,444
Platinum Underwriters Holdings		0.7			85,574		2,631
ProAssurance (A)		0.5			27,463		1,978

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
ProLogis†		0.4	%		63,244	$	1,534
Simon Property Group†		0.5			18,294		2,012
Ventas† (A)		0.4			30,319		1,498
Western Alliance Bancorp* (A)		0.4			272,775		1,495
Other Securities		24.8					94,757
							132,205
Health Care — 4.7%
Conmed*		0.4			64,910		1,494
Magellan Health Services*		0.4			29,035		1,402
Other Securities		3.9					15,004
							17,900
Industrials — 17.8%
Belden		0.4			53,382		1,377
EMCOR Group		0.6			116,918		2,377
FTI Consulting* (A)		0.7			75,600		2,783
G&K Services		0.5			66,621		1,702
Geo Group*		0.6			127,400		2,365
Kaydon		0.7			86,422		2,479
Spirit Airlines* (A)		0.5			140,700		1,759
Teledyne Technologies*		0.4			35,158		1,718
Teleflex (A)		0.5			37,066		1,993
Tetra Tech*		0.6			117,416		2,200
Towers Watson, Cl A		0.6			38,769		2,317
Tutor Perini		0.4			138,300		1,589
Wabash National* (A)		0.4			344,700		1,644
Other Securities		10.9					41,519
							67,822
Information Technology — 12.0%
CACI International, Cl A*		0.4			31,429		1,570
Diebold (A)		0.6			80,111		2,204
Digital River* (A)		0.7			125,065		2,593
Earthlink (A)		0.4			237,535		1,551
Other Securities		9.9					37,866
							45,784
Materials — 5.6%
RTI International Metals* (A)		0.4			69,348		1,617
Sensient Technologies		0.5			58,655		1,909
Other Securities		4.7					17,926
							21,452
Telecommunication Services — 0.7%
Other Securities		0.7					2,883
Utilities — 4.3%
AGL Resources		0.4			37,383		1,523
Great Plains Energy (A)		0.6			119,752		2,311
Portland General Electric		1.1			183,499		4,347
Other Securities		2.2					8,220
							16,401
Total Common Stock (Cost $429,446) ($ Thousands)							372,177

SEI Institutional Managed Trust / Annual Report / September 30, 2011 41

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap Value Fund (concluded)

September 30, 2011

Description	Percentage of Net Assets (%)			Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
EXCHANGE TRADED FUND — 0.1%
Other Securities		0.1	%			$	300
Total Exchange Traded Fund (Cost $299) ($ Thousands)							300
PREFERRED STOCK — 0.0%
Energy — 0.0%
Other Securities		0.0					160
Total Preferred Stock (Cost $174) ($ Thousands)							160
RIGHTS — 0.0%
Other Securities		0.0					—
Total Rights (Cost $—) ($ Thousands)							—
WARRANT — 0.0%
Other Securities		0.0					—
Total Warrant (Cost $—) ($ Thousands)							—
AFFILIATED PARTNERSHIP — 26.0%
SEI Liquidity Fund, L.P. 0.130%**†† (B)		26.0			102,791,837		98,987
Total Affiliated Partnership (Cost $102,792) ($ Thousands)							98,987
CASH EQUIVALENT — 2.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**††		2.7			10,219,315		10,219
Total Cash Equivalent (Cost $10,219) ($ Thousands)							10,219
U.S. TREASURY OBLIGATION (C) (D) — 0.5%
U.S. Treasury Bills 0.062%, 12/15/2011		0.5		$	1,857		1,857
Total U.S. Treasury Obligation (Cost $1,857) ($ Thousands)							1,857
Total Investments — 126.9% (Cost $544,787) ($ Thousands)						$	483,700

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		93		Dec-2011	$	(523	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on Net Assets of $381,130 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

‡ Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

† Real Estate Investment Trust

†† Investment in Affiliated Security (see Note 5).

(A) This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $96,575 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $98,987 ($ Thousands).

(C) Security, or portion thereof has been pledged as collateral on open futures contracts.

(D) The rate reported is the effective yield at the time of purchase.

Cl — Class

L.P. — Limited Partnership

Amounts designated as “—” are $0 or have been rounded to $0.

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	371,821	$	—	$	356	$	372,177
Exchange Traded Fund		300		—		—		300
Preferred Stock		—		160		—		160
Rights		—		—		—		—
Warrant		—		—		—		—
Affiliated Partnership		—		98,987		—		98,987
Cash Equivalent		10,219		—		—		10,219
U.S. Treasury Obligation		—		1,857		—		1,857
Total Investments in Securities	$	382,340	$	101,004	$	356	$	483,700

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(523	)	$	—	$	—	$	(523	)
Total Other Financial Instruments	$	(523	)	$	—	$	—	$	(523	)

* Futures contracts are value at the unrealized depreciation on the instrument.

The following is reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

	Common Stock
Beginning balance as of October 1, 2010	$	398
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(42	)
Net purchases/sales		—
Net transfer in and/or out of Level 3		—
Ending balance as of September 30, 2011	$	356
Changes in unrealized gains (losses included in earnings to securities still held at reporting date	$	(42	)

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

42 SEI Institutional Managed Trust / Annual Report / September 30, 2011

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap Growth Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 97.8%
Consumer Discretionary — 15.1%
American Public Education* (A)		0.6	%		51,494	$	1,751
Life Time Fitness* (A)		0.8			61,983		2,284
National CineMedia		0.9			163,726		2,376
Oxford Industries (A)		0.4			33,900		1,163
Saks* (A)		0.5			169,955		1,487
Shutterfly*		0.5			34,871		1,436
Skullcandy* (A)		0.5			88,848		1,255
Ulta Salon Cosmetics & Fragrance* (A)		0.6			24,200		1,506
Zumiez* (A)		0.6			96,588		1,691
Other Securities		9.7					26,462
							41,411
Consumer Staples — 1.8%
Fresh Market* (A)		0.4			30,475		1,163
Lancaster Colony (A)		0.6			26,657		1,626
Other Securities		0.8					2,160
							4,949
Energy — 8.1%
Comstock Resources* (A)		0.5			91,247		1,411
Dril-Quip*		0.5			23,100		1,245
Goodrich Petroleum* (A)		0.5			114,766		1,357
Quicksilver Resources* (A)		0.5			164,886		1,250
World Fuel Services		0.5			40,322		1,316
Other Securities		5.6					15,810
							22,389
Financials — 7.1%
Financial Engines* (A)		0.5			72,013		1,304
MarketAxess Holdings		0.6			59,592		1,551
Other Securities		5.9					16,604
							19,459
Health Care — 20.6%
Ariad Pharmaceuticals* (A)		0.5			146,600		1,289

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
athenahealth* (A)		0.4	%		19,990	$	1,190
Cubist Pharmaceuticals* (A)		0.7			58,393		2,062
Healthspring*		0.6			47,400		1,728
Masimo (A)		0.6			75,364		1,632
NuVasive* (A)		0.5			77,402		1,321
NxStage Medical* (A)		0.4			56,150		1,171
Omnicell*		0.6			122,188		1,684
Questcor Pharmaceuticals* (A)		0.8			86,300		2,353
Zoll Medical*		0.5			33,800		1,276
Other Securities		15.0					41,041
							56,747
Industrials — 17.1%
AerCap Holdings*		0.5			147,922		1,467
CoStar Group* (A)		0.8			41,011		2,131
Middleby*		0.4			17,100		1,205
Polypore International*		0.5			23,550		1,331
Simpson Manufacturing		0.5			51,500		1,284
United Rentals* (A)		0.5			76,477		1,288
Wabtec		0.6			30,009		1,587
Other Securities		13.5					36,762
							47,055
Information Technology — 23.8%
Ancestry.com* (A)		0.4			51,417		1,208
BroadSoft* (A)		0.8			69,608		2,113
Ceva*		0.6			71,333		1,734
Constant Contact* (A)		0.4			68,105		1,177
Gartner*		0.5			39,208		1,367
Hittite Microwave*		0.5			30,100		1,466
Jack Henry & Associates		0.6			52,508		1,522
Measurement Specialties*		0.5			46,364		1,204
Mellanox Technologies*		0.6			53,775		1,679
RealPage* (A)		0.6			81,631		1,669
SolarWinds* (A)		0.5			58,000		1,277
Sycamore Networks		0.6			85,253		1,539
Taleo, Cl A*		0.4			46,200		1,188
VistaPrint* (A)		0.7			67,995		1,838
Other Securities		16.1					44,466
							65,447
Materials — 3.5%
Globe Specialty Metals		0.4			85,153		1,236
Other Securities		3.0					8,283
							9,519
Telecommunication Services — 0.7%
Other Securities		0.7					1,919
Total Common Stock (Cost $315,015) ($ Thousands)							268,895

SEI Institutional Managed Trust / Annual Report / September 30, 2011 43

SUMMARY SCHEDULE OF INVESTMENTS

Small Cap Growth Fund (Concluded)

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
WARRANTS — 0.0%
Other Securities		0.0	%			$	—
Total Warrants (Cost $—) ($ Thousands)							—
AFFILIATED PARTNERSHIP — 31.7%
SEI Liquidity Fund, L.P. 0.130%**† (B)		31.7			90,211,020		87,261
Total Affiliated Partnership (Cost $90,211) ($ Thousands)							87,261
CASH EQUIVALENT — 3.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		3.1			8,480,345		8,480
Total Cash Equivalent (Cost $8,480) ($ Thousands)							8,480
U.S. TREASURY OBLIGATIONS (C) — 0.4%
Other Securities		0.4					1,212
Total U.S. Treasury Obligations (Cost $1,212) ($ Thousands)							1,212
Total Investments — 133.0% (Cost $414,918) ($ Thousands)						$	365,848

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		94		Dec-2011	$	(247)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $275,101 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Investment in Affiliated Security (see Note 5).

(A) This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $84,713 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $87,261 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

Amounts designated as “—” are $0 or have been rounded to $0.

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	268,643	$	—	$	252	$	268,895
Warrants		—		—		—		—
Affiliated Partnership		—		87,261		—		87,261
Cash Equivalent		8,480		—		—		8,480
U.S. Treasury Obligations		—		1,212		—		1,212
Total Investments in Securities	$	277,123	$	88,473	$	252	$	365,848

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(247	)	$	—	$	—	$	(247	)
Total Other Financial Instruments	$	(247	)	$	—	$	—	$	(247	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

	Common Stock
Beginning balance as of October 1, 2010	$	403
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(296	)
Net purchases/sales		—
Net transfer in and/or out of Level 3		145
Ending balance as of September 30, 2011	$	252
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	(296	)

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

44 SEI Institutional Managed Trust / Annual Report / September 30, 2011

SUMMARY SCHEDULE OF INVESTMENTS

Tax-Managed Small/Mid Cap Fund‡

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 97.0%
Consumer Discretionary — 14.9%
Chico’s FAS		0.3	%		74,157	$	848
Hanesbrands*		0.3			28,100		703
O’Reilly Automotive*		0.3			10,410		694
Shutterfly* (A)		0.4			24,080		992
Tempur-Pedic International* (A)		0.5			22,074		1,161
Ulta Salon Cosmetics & Fragrance*		0.4			14,370		894
Weight Watchers International		0.3			12,480		727
Other Securities		12.4					32,008
							38,027
Consumer Staples — 4.1%
Diamond Foods (A)		0.3			10,111		807
Green Mountain Coffee Roasters* (A)		0.5			14,070		1,308
Herbalife		0.3			15,197		815
Other Securities		3.0					7,518
							10,448
Energy — 5.5%
Dril-Quip* (A)		0.3			15,693		846
Other Securities		5.2					13,261
							14,107
Financials — 17.6%
Hancock Holding (A)		0.3			27,756		743
ProAssurance (A)		0.5			15,772		1,136
Signature Bank NY* (A)		0.4			18,612		888
Unum Group		0.3			36,883		773
Zions Bancorporation		0.3			56,804		799
Other Securities		15.8					40,489
							44,828

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Health Care — 12.8%
Allscripts Healthcare Solutions*		0.3	%		39,870	$	719
Catalyst Health Solutions*		0.7			28,804		1,662
Cooper		0.3			9,910		784
Coventry Health Care*		0.4			37,538		1,081
Gen-Probe*		0.3			13,750		787
Salix Pharmaceuticals* (A)		0.3			30,704		909
Sirona Dental Systems*		0.3			19,386		822
SXC Health Solutions*		0.5			20,340		1,133
Volcano* (A)		0.3			24,720		732
Other Securities		9.4					24,154
							32,783
Industrials — 15.6%
Advisory Board* (A)		0.4			15,030		970
AGCO*		0.4			27,962		967
BE Aerospace*		0.3			23,260		770
Corrections Corp of America*		0.3			33,910		769
Interface, Cl A (A)		0.4			82,070		973
Kansas City Southern*		0.3			13,786		689
Kaydon (A)		0.3			25,653		736
Moog, Cl A*		0.3			22,795		744
Teledyne Technologies*		0.3			14,148		691
Towers Watson, Cl A		0.3			13,688		818
United Rentals*		0.3			45,520		766
Other Securities		12.0					30,881
							39,774
Information Technology — 16.4%
Adtran (A)		0.3			30,505		807
Ansys*		0.3			14,386		705
Cadence Design Systems* (A)		0.3			86,320		798
Jabil Circuit		0.3			41,010		730
Power Integrations (A)		0.3			22,619		692
QLIK Technologies*		0.3			36,088		782
SolarWinds* (A)		0.5			52,259		1,151
Synopsys*		0.3			30,164		735
Syntel (A)		0.3			16,435		710
VeriFone Holdings*		0.3			22,093		774
Other Securities		13.2					33,914
							41,798
Materials — 5.1%
PolyOne (A)		0.3			73,490		787
Other Securities		4.8					12,352
							13,139
Telecommunication Services — 0.7%
Other Securities		0.7					1,684
Utilities — 4.3%
AGL Resources		0.4			25,042		1,020

SEI Institutional Managed Trust / Annual Report / September 30, 2011 45

SUMMARY SCHEDULE OF INVESTMENTS

Tax-Managed Small/Mid Cap Fund (Concluded)

September 30, 2011

Description	Percentage of Net Assets (%)			Shares/ Face Amount ($ Thousands)		Market Value ($ Thousands)
Great Plains Energy (A)		0.4	%		58,008	$	1,120
Portland General Electric (A)		0.6			58,302		1,381
Other Securities		2.9					7,473
							10,994
Total Common Stock (Cost $264,658) ($ Thousands)							247,582
RIGHTS — 0.0%
Other Securities		0.0					—
Total Rights (Cost $—) ($ Thousands)							—
WARRANT — 0.0%
Other Securities		0.0					—
Total Warrant (Cost $—) ($ Thousands)							—
EXCHANGE TRADED FUND — 0.0%
Other Securities		0.0					66
Total Exchange Traded Fund (Cost $85) ($ Thousands)							66
AFFILIATED PARTNERSHIP — 15.5%
SEI Liquidity Fund, L.P. 0.130%**† (B)		15.5			39,860,685		39,567
Total Affiliated Partnership (Cost $39,861) ($ Thousands)							39,567
CASH EQUIVALENT — 3.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		3.3			8,452,373		8,452
Total Cash Equivalent (Cost $8,452) ($ Thousands)							8,452
U.S. TREASURY OBLIGATION (C) (D) — 0.4%
U.S. Treasury Bills 0.067%, 12/15/2011		0.4		$	1,000		1,000
Total U.S. Treasury Obligation (Cost $1,000) ($ Thousands)							1,000
Total Investments — 116.2% (Cost $314,056) ($ Thousands)						$	296,667

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		49		Dec-2011	$	(148	)
S&P Mid 400 Index E-MINI		37		Dec-2011		(147	)
					$	(295	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $255,297 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

‡ See Note 1 in Notes to Financial Statements for additional information.

† Investment in Affiliated Security (see Note 5).

(A) This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $37,783 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $39,567 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

(D) The rate reported is the effective yield at time of purchase.

Cl — Class

NY — New York

L.P. — Limited Partnership

S&P — Standard and Poor’s

Amounts designated as “—” are $0 or have been rounded to $0.

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	247,582	$	—	$	—	$	247,582
Rights		—		—		—		—
Warrant		—		—		—		—
Exchange Traded Fund		66		—		—		66
Affiliated Partnership		—		39,567		—		39,567
Cash Equivalent		8,452		—		—		8,452
U.S. Treasury Obligation		—		1,000		—		1,000
Total Investments in Securities	$	256,100	$	40,567	$	—	$	296,667

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(295	)	$	—	$	—	$	(295	)
Total Other Financial Instruments	$	(295	)	$	—	$	—	$	(295	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

46 SEI Institutional Managed Trust / Annual Report / September 30, 2011

SUMMARY SCHEDULE OF INVESTMENTS

Mid Cap Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 96.9%
Consumer Discretionary — 14.8%
BorgWarner* (A)		0.6	%		7,800	$	472
Coach		0.7			9,200		477
Harley-Davidson		1.2			26,905		923
International Game Technology		0.8			41,863		608
Marriott International, Cl A (A)		0.6			16,900		461
Newell Rubbermaid		0.7			45,486		540
Royal Caribbean Cruises (A)		0.8			28,366		614
Other Securities		9.4					6,997
							11,092
Consumer Staples — 3.5%
Kroger		0.6			21,702		477
Molson Coors Brewing, Cl B		0.7			13,366		530
Other Securities		2.2					1,608
							2,615
Energy — 7.3%
Cameron International*		0.8			14,600		607
Concho Resources*		0.8			8,300		590
Murphy Oil		0.6			10,454		462
Newfield Exploration*		0.9			17,322		688
Range Resources (A)		1.0			13,268		776
Other Securities		3.2					2,392
							5,515
Financials — 14.8%
Comerica		0.7			21,585		496
Digital Realty Trust† (A)		0.6			8,082		446
Fifth Third Bancorp		1.0			76,295		771
Liberty Property Trust† (A)		0.8			20,356		593
Moody’s (A)		0.6			14,900		453
Unum Group		0.8			27,950		586
Willis Group Holdings		0.6			13,524		465
Zions Bancorporation (A)		0.6			32,728		460
Other Securities		9.1					6,848
							11,118

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Health Care — 11.8%
Alexion Pharmaceuticals*		0.6	%		7,200	$	461
Hologic*		0.6			31,745		483
Humana		0.8			8,620		627
Quest Diagnostics		0.6			9,058		447
STERIS		0.6			15,360		450
Valeant Pharmaceuticals International		0.8			16,300		605
Other Securities		7.8					5,771
							8,844
Industrials — 15.7%
Cummins		0.6			5,500		449
Dover		0.7			11,830		551
Goodrich		0.8			5,100		615
IHS, Cl A*		0.6			6,100		456
Republic Services		0.9			22,366		628
Stericycle*		0.6			5,600		452
Towers Watson, Cl A		0.7			8,659		518
WW Grainger (A)		1.0			5,050		755
Other Securities		9.8					7,366
							11,790
Information Technology — 17.1%
Adobe Systems*		0.6			19,445		470
Alliance Data Systems* (A)		0.7			5,900		547
Brocade Communications Systems*		0.6			108,050		467
Molex (A)		0.6			22,103		450
Nuance Communications* (A)		0.6			22,800		464
Synopsys*		0.8			23,485		572
Other Securities		13.2					9,858
							12,828
Materials — 5.9%
Allegheny Technologies		0.7			14,699		544
FMC		0.7			7,000		484
Sherwin-Williams (A)		0.6			6,100		453
Other Securities		3.9					2,966
							4,447
Telecommunication Services — 0.3%
Other Securities		0.3					235
Utilities — 5.7%
AGL Resources (A)		0.9			16,263		662
Great Plains Energy (A)		0.9			34,204		660
SCANA (A)		0.8			14,866		601
TECO Energy		0.6			26,146		448
Xcel Energy		0.7			20,193		499

SEI Institutional Managed Trust / Annual Report / September 30, 2011 47

SUMMARY SCHEDULE OF INVESTMENTS

Mid Cap Fund (Concluded)

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Other Securities		1.8	%			$	1,437
							4,307
Total Common Stock (Cost $88,014) ($ Thousands)							72,791
AFFILIATED PARTNERSHIP — 17.6%
SEI Liquidity Fund, L.P. 0.130%**†† (B)		17.6			13,558,149		13,234
Total Affiliated Partnership (Cost $13,558) ($ Thousands)							13,234
CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**††		2.1			1,573,526		1,574
Total Cash Equivalent (Cost $1,574) ($ Thousands)							1,574
U.S. TREASURY OBLIGATIONS (C) — 0.6%
Other Securities		0.6					458
Total U.S. Treasury Obligations (Cost $457) ($ Thousands)							458
Total Investments — 117.2% (Cost $103,603) ($ Thousands)						$	88,057

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P Mid 400 Index E- MINI		29		Dec-2011	$	(33	)

For the year ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $75,140 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security (see Note 5).

(A) This Security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $12,771 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $13,234 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	72,791	$	—	$	—	$	72,791
Affiliated Partnership		—		13,234		—		13,234
Cash Equivalent		1,574		—		—		1,574
U.S. Treasury Obligations		—		458		—		458
Total Investments in Securities	$	74,365	$	13,692	$	—	$	88,057

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(33	)	$	—	$	—	$	(33	)
Total Other Financial Instruments	$	(33	)	$	—	$	—	$	(33	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

48 SEI Institutional Managed Trust / Annual Report / September 30, 2011

SUMMARY SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 97.1%
Consumer Discretionary — 7.0%
priceline.com*		0.8	%		7,423	$	3,337
Other Securities		6.2					28,227
							31,564
Consumer Staples — 20.9%
Altria Group		0.8			137,322		3,682
BJ’s Wholesale Club*		1.1			96,730		4,956
Brown-Forman, Cl B		0.8			53,351		3,742
Coca-Cola Enterprises		1.1			197,603		4,916
CVS Caremark		0.6			82,600		2,774
Hansen Natural*		1.0			51,423		4,489
Hershey		1.1			83,440		4,943
Hormel Foods		1.4			227,871		6,157
Kimberly-Clark		1.0			62,100		4,410
Kroger		1.1			223,541		4,909
Lorillard		1.5			62,441		6,912
McCormick		0.8			83,800		3,868
Philip Morris International		0.8			57,047		3,558
Reynolds American		1.5			175,746		6,587
SYSCO		0.7			122,927		3,184
Walgreen		0.7			97,900		3,220
Wal-Mart Stores		1.0			84,700		4,396
Other Securities		3.9					17,974
							94,677
Energy — 4.0%
Chevron		1.0			48,900		4,524
Exxon Mobil		1.2			75,300		5,469
Other Securities		1.8					8,180
							18,173
Financials — 10.7%
Chubb		0.7			52,400		3,143
Commerce Bancshares		0.6			79,838		2,774
Other Securities		9.4					42,606
							48,523

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Health Care — 21.4%
Abbott Laboratories		1.9	%		171,052	$	8,748
Alexion Pharmaceuticals*		0.9			63,215		4,050
AmerisourceBergen		1.1			133,111		4,961
Amgen		1.5			120,605		6,627
Becton Dickinson		0.9			53,064		3,891
Biogen Idec*		0.6			31,923		2,974
C.R. Bard		0.7			35,110		3,073
Cardinal Health		1.3			142,717		5,977
Cephalon*		0.9			48,952		3,950
Eli Lilly		1.4			165,393		6,114
McKesson		1.1			65,786		4,783
Merck		1.0			140,200		4,586
SXC Health Solutions*		0.7			56,265		3,134
Techne		0.9			60,866		4,140
Other Securities		6.5					29,910
							96,918
Industrials — 5.1%
L-3 Communications Holdings		0.6			44,100		2,733
Raytheon		0.7			80,200		3,278
Other Securities		3.8					17,070
							23,081
Information Technology — 7.3%
International Business Machines		1.4			36,900		6,459
Microsoft		0.7			130,000		3,236
Other Securities		5.2					23,441
							33,136
Materials — 2.4%
Newmont Mining		0.8			62,054		3,903
Other Securities		1.6					6,965
							10,868
Telecommunication Services — 3.3%
AT&T		1.1			182,100		5,193
Other Securities		2.2					9,568
							14,761
Utilities — 15.0%
American Water Works		0.6			92,332		2,787
Atmos Energy		0.7			96,100		3,118
Consolidated Edison		0.9			70,158		4,000
DTE Energy		0.8			75,069		3,680
Entergy		0.9			58,368		3,869
NSTAR		1.0			100,557		4,506
UGI		0.8			142,437		3,742
Wisconsin Energy		1.0			142,032		4,444

SEI Institutional Managed Trust / Annual Report / September 30, 2011 49

SUMMARY SCHEDULE OF INVESTMENTS

U.S. Managed Volatility Fund (Concluded)

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Other Securities		8.3	%			$	37,412
							67,558
Total Common Stock (Cost $410,793) ($ Thousands)							439,259
CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		2.5			11,391,407		11,391
Total Cash Equivalent (Cost $11,391) ($ Thousands)							11,391
U.S. TREASURY OBLIGATION (A) — 0.2%
Other Securities		0.2					925
Total U.S. Treasury Obligation (Cost $925) ($ Thousands)							925
Total Investments — 99.8% (Cost $423,109) ($ Thousands)						$	451,575

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		94		Dec-2011	$	(197	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $452,541 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Investment in Affiliated Security (see Note 5).

(A) Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

S&P — Standard and Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	439,259	$	—	$	—	$	439,259
Cash Equivalent		11,391		—		—		11,391
U.S. Treasury Obligation		—		925		—		925
Total Investments in Securities	$	450,650	$	925	$	—	$	451,575

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(197	)	$	—	$	—	$	(197	)
Total Other Financial Instruments	$	(197	)	$	—	$	—	$	(197	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

50 SEI Institutional Managed Trust / Annual Report / September 30, 2011

SUMMARY SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 85.9%
Australia — 6.7%
AGL Energy (A)		0.7	%		249,840	$	3,441
CSL (A)		0.8			145,057		4,136
Metcash (A)		0.9			1,208,210		4,783
Other Securities		4.3					22,572
							34,932
Austria — 0.1%
Other Securities		0.1					385
Belgium — 1.8%
Colruyt (A)		0.6			71,095		2,958
Mobistar (A)		0.6			57,098		3,264
Other Securities		0.6					3,301
							9,523
Bermuda — 0.0%
Other Securities		0.0					29
Canada — 11.3%
Empire, Cl A		0.6			57,130		3,152
George Weston		0.7			52,240		3,471
Metro, Cl A		1.0			117,668		5,174
Rogers Communications, Cl B		0.6			86,052		2,962
Saputo		0.9			121,087		4,797
TMX Group		0.6			76,910		3,022
Yamana Gold		0.6			214,400		2,959
Other Securities		6.3					33,716
							59,253
Cayman Islands — 0.1%
Other Securities		0.1					318
Denmark — 2.3%
Coloplast, Cl B (A)		0.9	%		34,116		4,923
Novo Nordisk, Cl B (A)		0.8			40,943		4,090
Other Securities		0.6					3,165
							12,178

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Finland — 1.1%
Orion, Cl B (A)		0.7	%		192,640	$	3,885
Other Securities		0.4					2,060
							5,945
France — 1.2%
Societe BIC (A)		0.9			51,656		4,404
Other Securities		0.3					1,901
							6,305
Germany — 1.7%
Other Securities		1.7					8,803
Hong Kong — 3.1%
CLP Holdings (A)		0.9			536,500		4,835
Link† (A)		0.8			1,337,500		4,227
Power Assets Holdings (A)		1.2			807,000		6,177
Other Securities		0.2					866
							16,105
Ireland — 0.1%
Other Securities		0.1					308
Israel — 1.0%
Check Point Software Technologies*		0.6			53,807		2,839
Other Securities		0.4					2,179
							5,018
Italy — 1.2%
Snam Rete Gas (A)		0.7			785,167		3,630
Other Securities		0.5					2,585
							6,215
Japan — 15.8%
Central Japan Railway (A)		0.6			331		2,891
FamilyMart (A)		0.6			74,800		2,859
Kobayashi Pharmaceutical (A)		0.5			53,300		2,865
Lawson (A)		1.2			111,800		6,332
McDonald’s Holdings Japan (A)		0.7			139,000		3,710
Miraca Holdings (A)		0.5			65,100		2,863
NTT DoCoMo (A)		1.1			3,208		5,849
Other Securities		10.6					55,041
							82,410
Jersey — 0.5%
Shire (A)		0.5			91,127		2,839
Luxembourg — 0.1%
Other Securities		0.1					679

SEI Institutional Managed Trust / Annual Report / September 30, 2011 51

SUMMARY SCHEDULE OF INVESTMENTS

Global Managed Volatility Fund (Concluded)

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Netherlands — 0.9%
Other Securities		0.9	%			$	4,710
New Zealand — 0.6%
Other Securities		0.6					2,923
Portugal — 0.3%
Other Securities		0.3					1,416
Singapore — 0.4%
Other Securities		0.4					2,077
Spain — 1.2%
Other Securities		1.2					6,455
Sweden — 1.1%
Other Securities		1.1					5,702
Switzerland — 2.1%
Swisscom (A)		0.9			11,105		4,509
Other Securities		1.2					6,346
							10,855
United Kingdom — 6.1%
AstraZeneca (A)		1.0			122,467		5,429
Centrica (A)		1.1			1,225,575		5,644
Scottish & Southern Energy (A)		0.6			165,453		3,317
Vodafone Group (A)		0.9			1,851,096		4,766
Other Securities		2.5					12,946
							32,102
United States — 25.1%
AmerisourceBergen		0.5			77,773		2,899
Annaly Capital Management†		1.1			335,613		5,581
Autozone*		1.2			18,904		6,034
Campbell Soup		0.8			133,426		4,319
Church & Dwight		0.6			70,919		3,135
Dollar Tree*		0.6			43,063		3,235
Dr Pepper Snapple Group		0.6			73,930		2,867
Duke Energy		0.6			151,980		3,038
Eli Lilly		0.6			79,593		2,943
Hershey		0.8			74,043		4,386
Hormel Foods		1.0			184,526		4,986
Kimberly-Clark		1.3			98,224		6,975
Kroger		0.8			180,647		3,967
Southern		0.6			66,762		2,829
Verizon Communications		0.5			79,248		2,916
Wal-Mart Stores		0.8			86,409		4,485
Other Securities		12.7					66,760
							131,355
Total Common Stock (Cost $428,513) ($ Thousands)							448,840

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
PREFERRED STOCK — 0.0%
Germany — 0.0%
Other Securities		0.0	%			$	120
Total Preferred Stock (Cost $131) ($ Thousands)							120
RIGHTS — 0.0%
Other Securities		0.0					4
Total Rights (Cost $—) ($ Thousands)							4
CASH EQUIVALENT — 5.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**††		5.5			28,800,069		28,800
Total Cash Equivalent (Cost $28,800) ($ Thousands)							28,800
U.S. TREASURY OBLIGATION (B) — 0.4%
Other Securities		0.4					1,923
Total U.S. Treasury Obligation (Cost $1,923) ($ Thousands)							1,923
Total Investments — 91.8% (Cost $459,367) ($ Thousands)						$	479,687

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		137		Dec-2011	$	139
FTSE Index		62		Dec-2011		(1	)
Hang Seng Index		27		Nov-2011		(45	)
S&P 500 Index E-MINI		309		Dec-2011		(387	)
SPI 200 Index		26		Dec-2011		(22	)
					$	(316	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.

52 SEI Institutional Managed Trust / Annual Report / September 30, 2011

A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2011, is as follows:

Maturity Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
10/28/11		AUD	51,015		USD	50,640	$	1,232
10/28/11		CAD	66,852		USD	65,661		1,533
10/28/11		EUR	73,609		USD	100,283		1,554
10/28/11		GBP	24,806		USD	38,922		293
10/28/11		JPY	6,502,326		USD	84,864		458
10/28/11		USD	598		AUD	605		(13	)
10/28/11		USD	292		CAD	299		(6	)
10/28/11		USD	995		EUR	729		(17	)
10/28/11		USD	388		GBP	247		(2	)
10/28/11		USD	242		JPY	18,581		(1	)
							$	5,031

A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2011, is as follows:

Counterparty	Settlement Date		Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Brown Brothers Harriman		10/28/11		(337,815	)		342,846	$	5,031
								$	5,031

Percentages are based on Net Assets of $522,667 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security (see Note 5).

(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, 2011 was $252,967 ($ Thousands) and represented 48.4% of Net Assets.

(B) Security, or portion thereof, has been pledged as collateral on open futures contracts.

AUD — Australia Dollar

CAD — Canadian Dollar

Cl — Class

DJ — Dow Jones

EUR — Euro

FTSE — Financial Times and the London Stock Exchange

GBP — British Pound

JPY — Japanese Yen

S&P — Standard and Poor’s

SPI — Swiss Performance Index

USD — U.S. Dollar

Amounts designated as “—” are $0 or have been rounded to $0.

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	195,993	$	252,847	$	—	$	448,840
Preferred Stock		—		120		—		120
Rights		4		—		—		4
Cash Equivalent		28,800		—		—		28,800
U.S. Treasury Obligation		—		1,923		—		1,923
Total Investments in Securities	$	224,797	$	254,890	$	—	$	479,687

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(316	)	$	—	$	—	$	(316	)
Forward Currency Contracts*		—			5,031		—		5,031
Total Other Financial Instruments	$	(316	)	$	5,031	$	—	$	4,715

* Futures contracts and Forwards are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended September 30, 2011, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Level 1 and 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (see Note 2).

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 -— Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 53

SUMMARY SCHEDULE OF INVESTMENTS

Tax-Managed Managed Volatility Fund

September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
COMMON STOCK — 96.3%
Consumer Discretionary — 7.8%
McDonald’s		0.9	%		29,013	$	2,548
priceline.com*		0.7			4,353		1,957
Other Securities		6.2					17,296
							21,801
Consumer Staples — 23.5%
Altria Group		0.9			88,748		2,379
Brown-Forman, Cl B		0.7			28,552		2,003
Church & Dwight		1.1			67,116		2,967
Coca-Cola		0.7			27,334		1,847
Colgate-Palmolive		0.9			26,855		2,382
General Mills		0.9			64,531		2,483
Hormel Foods		1.4			142,462		3,849
Kellogg		0.8			40,491		2,154
Kimberly-Clark		1.7			68,020		4,830
Kroger		0.7			83,964		1,844
Lorillard		1.5			38,659		4,280
McCormick		0.6			37,915		1,750
Philip Morris International		0.8			34,312		2,140
Procter & Gamble		0.6			27,548		1,740
Reynolds American		1.4			105,415		3,951
Walgreen		0.6			54,500		1,792
Wal-Mart Stores		1.7			93,499		4,853
Other Securities		6.5					18,307
							65,551
Energy — 3.7%
Chevron		1.0			29,600		2,739
Exxon Mobil		1.1			43,900		3,188
Other Securities		1.6					4,354
							10,281
Financials — 10.1%
Chubb		0.6			29,100		1,746
Commerce Bancshares		0.6			50,647		1,760
People’s United Financial		0.6			154,577		1,762

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
Other Securities		8.3	%			$	23,035
							28,303
Health Care — 16.7%
Abbott Laboratories		1.3			68,983		3,528
Alexion Pharmaceuticals*		1.0			43,122		2,762
AmerisourceBergen		0.8			64,037		2,387
Becton Dickinson		0.7			25,037		1,836
Eli Lilly		0.7			57,069		2,110
Henry Schein*		0.7			29,829		1,850
Johnson & Johnson		1.2			53,183		3,388
Merck		1.0			88,300		2,888
Pfizer		0.6			93,500		1,653
Techne		0.7			27,621		1,878
Other Securities		8.0					22,467
							46,747
Industrials — 5.4%
Raytheon		0.7			44,700		1,827
Stericycle*		0.9			28,597		2,308
Other Securities		3.8					10,879
							15,014
Information Technology — 10.7%
Automatic Data Processing		0.6			34,714		1,637
Google, Cl A*		0.6			3,383		1,740
IAC*		1.1			74,514		2,947
Intel		0.6			83,400		1,779
International Business Machines		1.5			24,418		4,274
Microsoft		0.8			82,700		2,058
VeriSign		0.7			69,121		1,978
Other Securities		4.8					13,412
							29,825
Materials — 2.1%
Other Securities		2.1					5,857
Telecommunication Services — 3.1%
AT&T		0.9			87,700		2,501
Other Securities		2.2					6,197
							8,698
Utilities — 13.2%
Atmos Energy		0.6			53,600		1,739
Nicor		0.6			32,810		1,805
NSTAR		1.0			63,534		2,847
OGE Energy		0.7			38,501		1,840
Southern		0.8			54,515		2,310
Wisconsin Energy		0.9			82,950		2,596
Other Securities		8.6					23,838
							36,975
Total Common Stock (Cost $248,040) ($ Thousands)							269,052

54 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Percentage of Net Assets (%)			Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 5.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		5.5	%		15,465,311	$	15,465
Total Cash Equivalent (Cost $15,465) ($ Thousands)							15,465
U.S. TREASURY OBLIGATIONS (A) — 0.2%
Other Securities		0.2					615
Total U.S. Treasury Obligations (Cost $615) ($ Thousands)							615
Total Investments — 102.0% (Cost $264,120) ($ Thousands)						$	285,132

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		74		Dec-2011	$	(160	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $279,408 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Investment in Affiliated Security (see Note 5).

(A) Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

S&P — Standard and Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a summary of the inputs used as of September 30, 2011, in valuing the Funds investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	269,052	$	—	$	—	$	269,052
Cash Equivalent		15,465		—		—		15,465
U.S. Treasury Obligations		—		615		—		615
Total Investments in Securities	$	284,517	$	615	$	—	$	285,132

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(160	)	$	—	$	—	$	(160	)
Total Other Financial Instruments	$	(160	)	$	—	$	—	$	(160	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 -— Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 55

SCHEDULE OF INVESTMENTS

Real Estate Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 93.6%
Consumer Discretionary — 1.2%
Hyatt Hotels, Cl A*		54,400	$	1,706
				1,706
Financials — 92.4%‡
Acadia Realty Trust†		18,310		342
Alexandria Real Estate Equities†		25,740		1,580
American Campus Communities†		18,500		688
Apartment Investment & Management, Cl A†		167,934		3,715
AvalonBay Communities† (A)		47,721		5,443
BioMed Realty Trust† (A)		163,080		2,702
Boston Properties† (A)		55,540		4,949
Brandywine Realty Trust†		66,820		535
BRE Properties, Cl A†		5,950		252
Camden Property Trust†		20,580		1,137
Colonial Properties Trust† (A)		187,500		3,405
CommonWealth†		176,262		3,344
Corporate Office Properties Trust†		109,400		2,383
CubeSmart†		51,680		441
DDR† (A)		19,780		216
DiamondRock Hospitality†		58,430		408
Digital Realty Trust† (A)		24,510		1,352
Douglas Emmett† (A)		35,930		614
Duke Realty†		81,180		852
Entertainment Properties Trust†		7,140		278
Equity Residential† (A)		194,250		10,076
Essex Property Trust† (A)		11,640		1,397
Excel Trust†		26,540		255
Extra Space Storage†		90,450		1,685
Federal Realty Investment Trust†		20,007		1,649
General Growth Properties†		263,849		3,193
HCP†		241,030		8,451
Health Care† (A)		106,210		4,971
Home Properties†		7,610		432
Host Hotels & Resorts†		436,844		4,779
Hudson Pacific Properties†		38,480		448
Kilroy Realty† (A)		16,980		531
Kimco Realty† (A)		97,910		1,472
LaSalle Hotel Properties†		23,620		454
Liberty Property Trust† (A)		71,660		2,086
Macerich† (A)		110,469		4,709
Mack-Cali Realty†		95,650		2,559
National Retail Properties† (A)		32,110		863
Pebblebrook Hotel Trust†		8,640		135
Piedmont Office Realty Trust, Cl A† (A)		97,800		1,581

Description	Shares		Market Value ($ Thousands)
ProLogis†		314,056	$	7,616
Public Storage†		48,711		5,424
Realty Income† (A)		16,620		536
Regency Centers† (A)		88,980		3,144
RLJ Lodging Trust†		24,530		313
Senior Housing Properties Trust†		15,950		344
Simon Property Group†		96,828		10,649
SL Green Realty† (A)		82,180		4,779
Sunstone Hotel Investors*†		75,300		428
Tanger Factory Outlet Centers†		21,950		571
Taubman Centers†		10,660		536
UDR†		26,140		579
Ventas† (A)		161,810		7,993
Verde Realty PIPE* (C) (D)		21,400		361
Vornado Realty Trust†		33,550		2,503
				132,138
Total Common Stock (Cost $112,403) ($ Thousands)				133,844
AFFILIATED PARTNERSHIP — 21.2%
SEI Liquidity Fund, L.P. 0.130%** (B)††		31,708,470		30,342
Total Affiliated Partnership (Cost $31,708) ($ Thousands)				30,342
CASH EQUIVALENT — 5.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**††		8,025,984		8,026
Total Cash Equivalent (Cost $8,026) ($ Thousands)				8,026
Total Investments — 120.4% (Cost $152,137) ($ Thousands)			$	172,212

Percentages are based on Net Assets of $142,983 ($ Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security (See Note 5).

‡ 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, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $29,971 ($ Thousands)

(B) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $30,342 ($ Thousands).

(C) Security considered illiquid and restricted. The total market value of such securities as of September 30, 2011 was $361 ($ Thousands) and represented 0.25% of Net Assets.

(D) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustee’s. The total market value of such securities as of September 30, 2011 was $361 ($ Thousands) and represented 0.25% of Net Assets.

Cl — Class

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

56 SEI Institutional Managed Trust / Annual Report / September 30, 2011

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	133,483	$	—	$	361	$	133,844
Affiliated Partnership		—		30,342		—		30,342
Cash Equivalent		8,026		—		—		8,026
Total Investments in Securities	$	141,509	$	30,342	$	361	$	172,212

	Investments in Securities
Beginning balance as of October 1, 2010	$	404
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(43	)
Net purchases/sales		—
Net transfer in and/or out of Level 3		—
Ending balance as of September 30, 2011	$	361
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	(43	)

During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 57

SCHEDULE OF INVESTMENTS

Enhanced Income Fund

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS — 28.3%
Consumer Discretionary — 2.1%
Affinion Group
7.875%, 12/15/18	$	450	$	347
Allison Transmission
7.125%, 05/15/19 (A)		144		130
Comcast Cable Holdings
9.800%, 02/01/12		550		565
President and Fellows of Harvard College
3.700%, 04/01/13		1,060		1,109
Rent-A-Center
6.625%, 11/15/20		616		591
Reynolds Group Issuer
6.875%, 02/15/21 (A)		185		166
Volkswagen International Finance
0.856%, 04/01/14 (A) (B)		475		476
				3,384
Consumer Staples — 1.8%
Anheuser-Busch InBev Worldwide
0.802%, 01/27/14 (B)		500		504
0.609%, 07/14/14 (B)		600		600
Archer-Daniels-Midland
0.446%, 08/13/12 (B)		500		501
Coca-Cola Enterprises
0.593%, 02/18/14 (B)		600		600
PepsiCo
0.800%, 08/25/14		385		383
0.355%, 05/10/13 (B)		325		325
				2,913
Energy — 0.7%
BP Capital Markets
3.125%, 03/10/12		575		580
Energy Transfer Equity
7.500%, 10/15/20		500		514
				1,094

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Financials — 18.1%
Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13	$	500	$	530
Ally Financial
0.350%, 12/19/12 (B)		1,250		1,251
American Express Credit
1.208%, 06/24/14 (B)		750		743
American Honda Finance
1.850%, 09/19/14 (A)		500		501
Bank of America MTN
1.673%, 01/30/14 (B)		300		272
Bank of Montreal MTN
0.723%, 04/29/14 (B)		650		650
BB&T
0.953%, 04/28/14 (B)		600		596
Caterpillar Financial Services
1.375%, 05/20/14		140		141
0.536%, 04/01/14 (B)		500		501
CIT Group
7.000%, 05/02/17 (A)		400		388
Citigroup
0.862%, 08/25/36 (B)		1,500		981
Citigroup Funding
1.875%, 11/15/12		2,500		2,543
Danske Bank MTN
1.299%, 04/14/14 (A) (B)		650		617
General Electric Capital MTN
1.142%, 05/09/16 (B)		600		573
0.353%, 12/21/12 (B)		5,150		5,154
Goldman Sachs Group
1.269%, 02/07/14 (B)		850		814
HSBC Bank
0.716%, 05/15/13 (A) (B)		600		600
ILFC E-Capital Trust I
4.770%, 12/21/65 (A) (B)		1,000		695
John Deere Capital MTN
0.399%, 07/15/13 (B)		315		314
JPMorgan Chase Capital XXI, Ser U
1.205%, 02/02/37 (B)		1,300		925
MassMutual Global Funding II
0.629%, 01/14/14 (A) (B)		526		526
Mellon Funding
0.436%, 05/15/14 (B)		900		893
Merrill Lynch
1.107%, 09/15/36 (B)		700		472
Metropolitan Life Global Funding I
0.996%, 01/10/14 (A) (B)		500		499
Monumental Global Funding III
0.449%, 01/15/14 (A) (B)		900		873
Morgan Stanley
1.853%, 01/24/14 (B)		500		467
1.233%, 04/29/13 (B)		400		378
NCUA Guaranteed Notes
0.245%, 06/12/13 (B)		295		295

58 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Royal Bank of Canada MTN
0.550%, 04/17/14 (B)	$	600	$	598
Societe Generale MTN
1.438%, 04/11/14 (A) (B)		600		537
Standard Chartered
1.231%, 05/12/14 (A) (B)		600		594
State Street
0.683%, 03/07/14 (B)		421		417
0.353%, 04/30/12 (B)		615		615
State Street Capital Trust IV
1.347%, 06/15/37 (B)		375		257
Toronto-Dominion Bank
0.549%, 07/14/14 (B)		310		310
Unitrin
6.000%, 05/15/17		670		691
Wells Fargo
0.343%, 01/24/12 (B)		355		355
Western Union
5.400%, 11/17/11		1,175		1,181
				28,747
Health Care — 1.0%
Alere
9.000%, 05/15/16		200		191
American Renal Holdings
8.375%, 05/15/18		250		252
Express Scripts
5.250%, 06/15/12		450		462
Sanofi
0.673%, 03/28/14 (B)		750		748
				1,653
Industrials — 0.8%
CDRT Merger Sub
8.125%, 06/01/19 (A)		306		283
Continental Airlines, Ser 061G
0.677%, 06/02/13 (B)		569		546
Danaher
1.300%, 06/23/14		400		405
				1,234
Information Technology — 1.5%
Hewlett-Packard
0.719%, 05/30/14 (B)		600		583
NXP BV/NXP Funding LLC
9.750%, 08/01/18 (A)		160		167
Texas Instruments
0.466%, 05/15/13 (B)		600		600
Western Union
0.913%, 03/07/13 (B)		485		486
Xerox
1.110%, 05/16/14 (B)		595		590
				2,426

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Materials — 0.8%
E.I. du Pont de Nemours
0.778%, 03/25/14 (B)	$	705	$	707
Packaging Dynamics
8.750%, 02/01/16 (A)		500		490
				1,197
Telecommunication Services — 0.7%
Verizon Communications
0.973%, 03/28/14 (B)		450		451
Vodafone Group PLC
0.599%, 02/27/12 (B)		650		651
				1,102
Utilities — 0.8%
Calpine
7.500%, 02/15/21 (A)		375		358
DTE Energy
1.031%, 06/03/13 (B)		255		255
Southern, Ser A
5.300%, 01/15/12		665		673
				1,286
Total Corporate Obligations (Cost $47,086) ($ Thousands)				45,036
LOAN PARTICIPATIONS — 27.7%
Advantage Sales and Marketing, 2nd Lien Term Loan
9.250%, 06/18/18		450		431
Affinion Group Holdings
5.000%, 10/08/16		493		447
Allison Transmission
2.980%, 08/07/14		833		783
Ameristar Casino’s, Term B Loan
4.000%, 04/14/18		124		120
Aramark
2.244%, 01/26/14		400		386
Aramark LOC
0.089%, 01/26/14		32		31
Asurion, 1st Lien Term Loan
5.500%, 06/10/18		637		599
Asurion, 2nd Lien Term Loan
9.000%, 05/20/19		600		569
Atlantic Broadband Finance, Term B Loan
4.000%, 02/24/16		15		14
Atlantic Broadband Finance, Tranch B-2
4.000%, 02/24/16		457		433
Avaya, Term Loan B-1
3.064%, 10/26/14		165		149
Avaya, Term Loan B-3
4.814%, 10/26/17		331		280

SEI Institutional Managed Trust / Annual Report / September 30, 2011 59

SCHEDULE OF INVESTMENTS

Enhanced Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Biomet
3.358%, 03/25/15	$	396	$	377
3.239%, 03/25/15		18		18
3.235%, 03/25/15		131		125
Calpine
4.500%, 04/01/18		200		187
Cannery Casino
4.489%, 05/17/13		238		219
CDW
3.729%, 10/12/14		225		208
Cedar Fair
4.000%, 12/15/16		425		418
Cengage Learning Holding
2.500%, 06/28/14		933		726
Ceridian
3.239%, 11/08/14		496		429
Charter Communications, Term B Loan
3.620%, 09/06/16		608		587
2.240%, 03/15/14		2		2
CITCO Group Limited, 1st Lien
6.250%, 05/24/18		650		614
City Center Holdings
7.500%, 01/31/15		360		352
Claire’s Stores
3.003%, 05/27/14		106		89
2.989%, 05/27/14		505		425
CommScope
5.000%, 01/14/18		299		292
Community Health Systems
3.721%, 01/25/17		223		202
2.569%, 07/25/14		451		421
2.471%, 07/25/14		1		1
Community Health Systems, Delayed Draw
2.569%, 07/25/14		16		15
2.471%, 07/25/14		—		—
ConvaTec
5.750%, 12/30/16		696		663
Cristal Inorganic Chemicals
6.119%, 11/15/14		500		487
DAE Aviation, Tranche B-1
5.260%, 07/31/14		292		274
DAE Aviation, Tranche B-2
5.260%, 09/27/14		280		263
5.220%, 09/27/14		1		1
Davita
4.500%, 10/20/16		546		538
Del Monte Foods
4.500%, 03/08/18		400		371
Dex Media West
7.000%, 10/24/14		717		477
DJO Finance LLC
3.239%, 5/20/14		450		426
Dunkin’ Brands
4.000%, 11/23/17		498		481

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Emergency Medical Services, Initial Term Loan
5.250%, 04/27/18	$	431	$	409
EquiPower Resource Holdings
5.750%, 01/26/18		482		466
Federal Mogul
2.177%, 12/29/14		1		1
2.167%, 12/29/14		40		37
2.158%, 12/29/14		212		195
Federal Mogul, Term C Loan
2.177%, 12/28/15		—		—
2.167%, 12/28/15		114		105
2.158%, 12/28/15		15		14
Fidelity National Information Services
5.250%, 07/18/16		416		414
First Data
4.235%, 03/24/18		424		343
First Data, Initial Tranche B-1
2.985%, 09/24/14		469		407
First Data, Term Loan B-3
2.985%, 09/24/14		45		39
Firth Rixson, Facility B
4.869%, 12/18/15		250		227
Firth Rixson, Facility C
5.369%, 12/20/16		250		228
Freescale Semiconductor
4.471%, 12/01/16		891		814
Gambro Holding
3.232%, 06/05/15		4		4
2.232%, 06/05/14		4		4
Gibson Energy
5.750%, 06/14/18		499		488
Global Cash Access
7.000%, 02/01/16		341		333
Graphic Packaging International, Incremental Term Loan
2.999%, 05/16/14		47		46
2.996%, 05/16/14		104		102
2.996%, 05/16/14		201		198
2.981%, 05/16/14		78		76
Harron Communications, Term B Loan
5.250%, 10/05/17		482		465
Hertz
3.750%, 03/04/18		279		265
Hexion Specialty Chemical, Term Loan C-1
2.500%, 05/05/13		310		293
Hexion Specialty Chemical, Term Loan C-2
2.625%, 05/05/13		139		131
Hub International Limited, Delayed Draw
2.869%, 06/13/14		130		119

60 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Hub International Limited, Initial Term Loan
2.869%, 06/13/14	$	578	$	531
IASIS Healthcare
5.000%, 05/03/18		324		303
IMS Health
4.500%, 08/31/17		595		583
Infor Enterprise Solutions
5.990%, 07/28/12		319		291
Infor Global Solutions, Delayed Draw
6.489%, 03/02/14		202		157
Infor Global Solutions, Extended Delayed Draw
5.990%, 07/28/15		166		152
Infor Global Solutions, Initial Dollar Loan
6.471%, 03/02/14		329		255
Infor Global Solutions, Term Loan B-2
7.250%, 07/28/15		497		454
Integra Telecom, Term B Loan
9.250%, 04/07/15		673		634
Intelsat
5.250%, 04/03/18		304		289
Intelsat Bermuda
3.246%, 02/01/14		500		465
Inventiv Health, Term B Loan
6.500%, 08/04/16		636		605
J. Crew Group
4.750%, 03/07/18		599		531
JHT Holding, 2nd Lien
12.500%, 12/21/12 (C) (D)		43		14
Knology, Term Loan B-1
4.000%, 08/08/17		498		479
Lamar Media
4.000%, 10/01/16		284		280
Language Line, Term B Loan
6.250%, 06/20/16		487		460
Live Nation, Term B Loan
4.500%, 10/20/16		247		239
MediMedia USA, Term Loan B
4.500%, 10/05/13		75		70
2.490%, 10/05/13		163		153
Meg Energy, Initial Term Loan
4.000%, 03/18/18		650		636
Nalco
4.500%, 09/21/17		495		492
Neiman Marcus Group
4.750%, 05/10/18		327		302
Nelson Education, Term Loan B-1L
2.869%, 07/05/14		500		397
Nexstar Broadcasting, Term B Loan
5.000%, 09/30/16		298		292
NXP BV, Term Loan
4.500%, 03/07/17		399		373
Penn National Gaming, Term Loan B
3.750%, 06/14/18		224		221

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Realogy, Extended Synthetic
4.522%, 10/10/16	$	734	$	593
4.400%, 10/10/16		103		83
Regal Cinemas
3.369%, 08/23/17		546		529
Remax International LLC, Term B Loan
5.500%, 03/11/16		459		448
Renal Advantage Holdings, Term B Loan
5.750%, 11/12/16		465		462
Rock-Tenn, Term B Loan
3.500%, 05/29/18		399		395
Roundy’s Supermarkets
10.000%, 04/16/16		500		488
Rovi Guides, Tranche B Loan
4.000%, 02/07/18		75		73
Sealed Air, Term Loan B-1
0.000%, 09/23/18 (F)		500		500
Sedgwick Claims Management
5.000%, 12/31/16		119		113
Seminole Tribe of Florida
1.875%, 03/05/14		461		434
Sensata Technologies
4.000%, 05/10/18		500		485
Star West Generation LLC, Term B Loan
6.000%, 05/17/18		445		419
Sungard Data Systems
3.899%, 02/28/16		336		323
3.894%, 02/28/16		108		104
3.871%, 02/28/16		23		22
3.858%, 02/28/16		54		52
1.982%, 02/28/14		13		13
1.976%, 02/28/14		87		83
Syniverse Holdings
5.250%, 12/21/17		496		488
Telesat Canada U.S., Term I Loan
3.240%, 10/31/14		346		336
Terex, Term Loan
5.500%, 07/28/17		250		245
Texas Competitive Electric Holdings, Extending Term Loan
4.772%, 10/10/17		333		222
4.726%, 10/10/17		314		209
3.772%, 10/10/14		—		—
3.726%, 10/10/14		341		240
Trans Union LLC
4.750%, 02/26/18		399		389
Transdigm
4.000%, 02/14/17		498		485
TWCC Holding, Term Loan
4.250%, 02/11/17		499		491
U.S. Telepacific
5.750%, 02/23/17		499		475
United Surgical Partners
2.240%, 04/19/14		324		304
2.240%, 04/21/14		74		70

SEI Institutional Managed Trust / Annual Report / September 30, 2011 61

SCHEDULE OF INVESTMENTS

Enhanced Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Universal Healthcare
4.000%, 05/16/16	$	321	$	311
Univision Communications, Term B Loan
4.489%, 03/31/17		693		581
UPC Broadband Holding
3.722%, 12/31/17		250		238
Vanguard Health
5.000%, 01/15/16		694		674
Verint Systems, Term B Loan
4.500%, 10/06/17		405		394
VML US Finance
4.740%, 05/25/12		57		57
4.740%, 05/25/13		469		465
Waiccs Las Vegas 3 LLC, 2nd Lien
13.250%, 07/30/10 (E)		2,000		—
Walter Energy, Term B Loan
4.000%, 04/02/18		499		481
Warner Chilcott
4.250%, 03/14/18		195		190
4.250%, 03/15/18		90		87
Waste Industries
4.750%, 03/16/17		498		466
Wide Open West Finance LLC, Term Loan
4.750%, 06/30/14		—		—
2.730%, 06/30/14		432		401
Wide Open West Finance LLC, Ser A
8.750%, 06/30/14		—		—
6.721%, 06/30/14		300		288
Total Loan Participations (Cost $47,983) ($ Thousands)				44,017
ASSET-BACKED SECURITIES — 26.0%
Automotive — 13.7%
Ally Auto Receivables Trust, Ser 2009-A, Cl A4
3.000%, 10/15/15 (A)		495		508
Ally Auto Receivables Trust, Ser 2009-A, Cl A3
2.330%, 06/17/13 (A)		510		513
Ally Auto Receivables Trust, Ser 2009-B, Cl A4
3.050%, 12/15/14 (A)		625		647
Ally Auto Receivables Trust, Ser 2010-4, Cl A2
0.710%, 02/15/13		104		104
Ally Auto Receivables Trust, Ser 2011-1, Cl A2
0.810%, 10/15/13		347		347
AmeriCredit Automobile Receivables Trust, Ser 2007-DF, Cl A4A
5.560%, 06/06/14		308		317
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B
1.990%, 10/08/15		576		575

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AmeriCredit Automobile Receivables Trust, Ser 2010-B, Cl A2
1.180%, 02/06/14	$	241	$	241
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2
0.900%, 09/08/14		200		200
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3
1.170%, 01/08/16		275		275
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2
0.920%, 03/09/15		240		240
Americredit Prime Automobile Receivable, Ser 2007-1, Cl D
5.620%, 09/08/14		775		779
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A3
2.210%, 01/15/14		285		286
Avis Budget Rental Car Funding AESOP, Ser 2009- 2A, Cl A
5.680%, 02/20/14 (A)		415		434
Bank of America Auto Trust, Ser 2009-1A
3.520%, 06/15/16 (A)		600		614
Bank of America Auto Trust, Ser 2009-2A, Cl A4
3.030%, 10/15/16 (A)		345		353
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (A)		449		451
BMW Vehicle Lease Trust, Ser 2010-1, Cl A3
0.820%, 04/15/13		546		546
BMW Vehicle Lease Trust, Ser 2011-1, Cl A3
1.060%, 02/20/14		276		277
BMW Vehicle Owner Trust, Ser 2011-A, Cl A3
0.760%, 08/25/15		415		415
CarMax Auto Owner Trust, Ser 2010-1, Cl A4
2.400%, 04/15/15		395		405
CarMax Auto Owner Trust, Ser 2010-3, Cl A3
0.990%, 02/17/15		315		316
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A2
0.690%, 01/08/13		196		196
Daimler Chrysler Auto Trust, Ser 2007-A, Cl A4
5.280%, 03/08/13		55		56
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A2
0.750%, 10/15/12 (A)		358		358

62 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A4
1.040%, 12/15/13 (A)	$	510	$	511
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2
0.740%, 09/15/13		301		301
Ford Credit Auto Owner Trust, Ser 2007-A, Cl C
5.800%, 02/15/13		515		520
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3
2.790%, 08/15/13		188		189
Ford Credit Auto Owner Trust, Ser 2011-A
0.620%, 07/15/13		285		285
Ford Credit Auto Owner Trust, Ser 2011-B, Cl A3
0.840%, 06/15/15		250		251
Harley-Davidson Motorcycle Trust, Ser 2009-2
2.620%, 03/15/14		221		222
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A4
2.400%, 07/15/14		275		278
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A2
0.830%, 11/15/13		311		311
Harley-Davidson Motorcycle Trust, Ser 2011-1, Cl A3
0.960%, 05/16/16		491		491
Hertz Vehicle Financing, Ser 2009-2A, Cl A1
4.260%, 03/25/14 (A)		485		503
Hertz Vehicle Financing, Ser 2011-1A, Cl A1
2.200%, 03/25/16 (A)		445		451
Honda Auto Receivables Owner Trust, Ser 2010-3, Cl A2
0.530%, 01/21/13		319		319
Honda Auto Receivables Owner Trust, Ser 2011-1, Cl A2
0.650%, 06/17/13		275		275
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/15		270		271
Huntington Auto Trust, Ser 2009-1A, Cl A4
5.730%, 01/15/14 (A)		420		432
Huntington Auto Trust, Ser 2011-1A, Cl A3
1.010%, 01/15/16 (A)		250		250
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A2
0.690%, 11/15/13 (A)		280		280

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3
2.030%, 08/15/13	$	499	$	502
Hyundai Auto Receivables Trust, Ser 2011-A
0.690%, 11/15/13		310		310
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2
0.590%, 03/15/14		375		375
Hyundai Auto Receivables Trust, Ser 2011-C, Cl A3
0.830%, 12/15/15		415		415
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3
0.850%, 03/16/15		195		195
Navistar Financial Owner Trust, Ser 2010-A, Cl A3
1.990%, 01/21/14 (A)		650		654
Navistar Financial Owner Trust, Ser 2010-A, Cl B
4.170%, 10/20/14 (A)		565		579
Nissan Auto Lease Trust, Ser 2010-B, Cl A2
0.900%, 05/15/13		350		350
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2
0.650%, 12/16/13		590		592
Santander Consumer Acquired Receivables Trust, Ser 2011-WO, Cl A2
0.910%, 11/15/13 (A)		127		127
Santander Drive Auto Receivables Trust, Ser 2010-3, Cl A2
0.930%, 06/17/13		204		204
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2
0.940%, 02/18/14		450		450
Wachovia Auto Owner Trust, Ser 2008-A, Cl A4B
1.380%, 03/20/14 (B)		495		498
World Omni Auto Receivables Trust, Ser 2011-A, Cl A2
0.640%, 11/15/13		405		405
World Omni Automobile Lease Securitization Trust, Ser 2009-A, Cl A3
1.650%, 02/15/13		118		118
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2
0.810%, 10/15/13		480		480
				21,847
Credit Cards — 4.3%
Capital One Multi-Asset Execution Trust, Ser 2005-A7, Cl A7
4.700%, 06/15/15		466		482

SEI Institutional Managed Trust / Annual Report / September 30, 2011 63

SCHEDULE OF INVESTMENTS

Enhanced Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5
0.844%, 11/07/14 (B)	$	1,100	$	1,100
Citibank Omni Master Trust, Ser 2009-A8, Cl A8
2.329%, 05/16/16 (A) (B)		650		656
Citibank Omni Master Trust, Ser 2009-A12, Cl A12
3.350%, 08/15/16 (A)		405		412
Discover Card Master Trust, Ser 2009-A1, Cl A1
1.529%, 12/15/14 (B)		515		519
Discover Card Master Trust, Ser 2009-A2, Cl A
1.529%, 02/17/15 (B)		650		657
Discover Card Master Trust, Ser 2011-A2
0.439%, 11/16/15 (B)		300		300
GE Capital Credit Card Master Note Trust, Ser 2007-4, Cl B
0.429%, 06/15/15 (B)		1,150		1,142
GE Capital Credit Card Master Note Trust, Ser 2009-1, Cl A
2.329%, 04/15/15 (B)		550		556
MBNA Master Credit Card Trust, Ser 1997-B, Cl B
0.579%, 08/15/14 (B)		1,000		997
				6,821
Mortgage Related Securities — 0.1%
New Century Home Equity Loan Trust, Ser 2005-1, Cl A1MZ
0.525%, 03/25/35 (B)		35		29
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3
5.611%, 01/25/37 (B)		285		131
				160
Other Asset-Backed Securities — 7.9%
Ally Master Owner Trust, Ser 2010-1, Cl A
1.979%, 01/15/15 (A) (B)		650		660
Ally Master Owner Trust, Ser 2010-3, Cl A
2.880%, 04/15/15 (A)		750		769
Babson CLO, Ser 2007-1A, Cl A1
0.475%, 01/18/21 (A) (B)		1,060		977
CIT Equipment Collateral, Ser 2009-VT1
3.070%, 08/15/16 (A)		57		57
CNH Equipment Trust, Ser 2009-B
5.170%, 10/15/14		341		351
CNH Equipment Trust, Ser 2010-C, Cl A2
0.830%, 04/15/13		228		228

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CNH Equipment Trust, Ser 2011-A, Cl A2
0.620%, 06/16/14	$	255	$	255
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (A)		2,200		2,222
Ford Credit Floorplan Master Owner Trust, Ser 2009-2
1.779%, 09/15/14 (B)		600		606
Ford Credit Floorplan Master Owner Trust, Ser 2010-1
2.479%, 12/15/14 (A) (B)		485		493
1.879%, 12/15/14 (A) (B)		550		558
GE Business Loan Trust, Ser 2003-2A, Cl B
1.229%, 11/15/31 (A) (B)		64		52
GE Business Loan Trust, Ser 2004-2A, Cl A
0.449%, 12/15/32 (A) (B)		94		81
GE Business Loan Trust, Ser 2004-2A, Cl B
0.709%, 12/15/32 (A) (B)		70		50
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A
1.779%, 10/20/14 (A) (B)		700		707
GE Equipment Midticket, Ser 2010-1
0.610%, 01/14/13 (A)		249		249
GE Equipment Midticket, Ser 2010-1, Cl A3
0.940%, 07/14/14 (A)		450		450
GE Equipment Transportation, Ser 2011-1, Cl A4
1.330%, 05/20/19		250		251
John Deere Owner Trust, Ser 2011-A, Cl A2
0.640%, 06/16/14		335		335
Katonah, Ser 2005-7A, Cl B
0.706%, 11/15/17 (A) (B)		700		539
Marriott Vacation Club Owner Trust, Ser 2006-2A, Cl A
5.362%, 10/20/28 (A)		50		51
Marriott Vacation Club Owner Trust, Ser 2007-1A, Cl D
6.135%, 05/20/29 (A)		365		336
Navistar Financial Dealer Note Master Trust, Ser 2009-1, Cl A
1.685%, 10/26/15 (A) (B)		600		605
SLM Student Loan Trust, Ser 2008-5, Cl A2
1.353%, 10/25/16 (B)		365		368
SLM Student Loan Trust, Ser 2011-1
0.755%, 03/25/26 (B)		571		572
SLM Student Loan Trust, Ser 2011-B, Cl A1
1.079%, 12/16/24 (A) (B)		338		338

64 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Triton Container Finance LLC, Ser 2006-1A, Cl N
0.400%, 11/26/21 (A) (B)	$	387	$	353
				12,513
Total Asset-Backed Securities (Cost $41,883) ($ Thousands)				41,341
MORTGAGE-BACKED SECURITIES — 16.2%
Agency Mortgage-Backed Obligations — 11.0%
FHLMC
6.000%, 09/01/26		378		414
1.750%, 06/15/12		1,500		1,516
FHLMC TBA
4.000%, 10/14/40		2,500		2,616
FNMA
6.500%, 09/01/26		227		250
6.000%, 11/01/26 to 04/01/40		2,110		2,321
5.000%, 02/01/23 to 03/01/25		664		717
FNMA TBA
4.000%, 10/01/18 to 10/14/39		2,800		2,936
3.500%, 10/01/40		4,400		4,594
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.674%, 10/07/20 (B)		659		660
NCUA Guaranteed Notes CMO, Ser 2011-R1, Cl 1A
0.674%, 01/08/20 (B)		290		291
NCUA Guaranteed Notes CMO, Ser 2011-R3
0.625%, 03/11/20 (B)		287		287
NCUA Guaranteed Notes CMO, Ser 2011-R4, Cl 1A
0.581%, 03/06/20 (B)		362		362
NCUA Guaranteed Notes CMO, Ser 2011-R6
0.604%, 05/07/20 (B)		475		475
				17,439
Non-Agency Mortgage-Backed Obligations — 5.2%
American Tower Trust, Ser 1A, Cl D
5.957%, 04/15/37 (A)		625		668
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1
3.143%, 11/25/34 (B)		190		166
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2
2.863%, 04/25/35 (B)		597		476
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1
2.954%, 10/25/35 (B)		405		306
Bayview Commercial Asset Trust, Ser 2006-4A, Cl A2
0.505%, 12/25/36 (A) (B)		398		221

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
2.800%, 09/25/34 (B)	$	131	$	119
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2
0.329%, 12/15/20 (A) (B)		549		534
Greenwich Capital Commercial Funding, Ser 2006-FL4A, Cl C
0.452%, 11/15/21 (A) (B)		810		766
Impac CMB Trust, Ser 2005-1, Cl 1A1
0.755%, 04/25/35 (B)		292		213
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/46 (A)		314		313
JPMorgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2
4.903%, 10/15/42		550		556
JPMorgan Mortgage Trust, Ser 2006-A6, Cl 4A1
2.722%, 10/25/36 (B)		701		522
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A
2.891%, 12/25/34 (B)		263		214
MortgageIT Trust, Ser 2005- 5, Cl A1
0.495%, 12/25/35 (B)		921		621
Prudential Commercial Mortgage Trust, Ser 2003-PWR1, Cl A1
3.669%, 02/11/36		340		342
Sequoia Mortgage Trust, Ser 2004-10, Cl A2
0.550%, 11/20/34 (B)		217		177
Sequoia Mortgage Trust, Ser 2004-11, Cl A1
0.530%, 12/20/34 (B)		174		142
Sequoia Mortgage Trust, Ser 2005-2, Cl A1
0.450%, 03/20/35 (B)		95		74
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
2.555%, 03/25/36 (B)		402		298
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.738%, 01/25/35 (B)		418		367
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1
2.727%, 02/25/35 (B)		506		421
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR2, Cl 2A2
2.737%, 03/25/35 (B)		428		380

SEI Institutional Managed Trust / Annual Report / September 30, 2011 65

SCHEDULE OF INVESTMENTS

Enhanced Income Fund (Concluded)

September 30, 2011

Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
WF-RBS Commercial Mortgage Trust, Ser 2011-C3
1.988%, 03/15/44 (A)	$	344	$	349
				8,245
Total Mortgage-Backed Securities (Cost $26,818) ($ Thousands)				25,684
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.5%
FHLB
0.350%, 07/25/12		1,500		1,499
FNMA
1.000%, 12/27/12		2,000		2,016
0.500%, 10/30/12		500		502
Total U.S. Government Agency Obligations (Cost $4,017) ($ Thousands)				4,017
MUNICIPAL BOND — 0.4%
New Jersey State Turnpike Authority, Ser B, RB, AMBAC
4.252%, 01/01/16		600		629
Total Municipal Bonds (Cost $629) ($ Thousands)				629
COMMON STOCK — 0.0%
JHT Holding*		4,002		—
Total Common Stock (Cost $—) ($ Thousands)				—
CERTIFICATE OF DEPOSIT — 0.4%
Bank of Nova Scotia
0.522%, 08/09/12 (B)		650		652
Total Certificate of Deposit (Cost $650) ($ Thousands)				652
CASH EQUIVALENT — 3.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		4,900,706		4,901
Total Cash Equivalent (Cost $4,901) ($ Thousands)				4,901
Total Investments — 104.6% (Cost $173,967) ($ Thousands)			$	166,277

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(28	)		Dec-2011	$	(37	)
U.S. 2-Year Treasury Note		(22	)		Jan-2012		7
U.S. 5-Year Treasury Note		15			Dec-2011		3
						$	(27	)

For the year ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.

Percentages are based on a Net Assets of $158,955 ($ Thousands)

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011

† Investment in Affiliated Security (See Note 5).

(A) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2011. The date reported on the Schedule of Investments is the final maturity date.

(B) 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.

(C) Security considered illiquid and restricted. The total market value of such securities as of September 30, 2011 was $14 ($ Thousands) and represented 0.01% of Net Assets.

(D) 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, 2011 was $14 ($ Thousands) and represented 0.01% of Net Assets.

(E) Security in default on interest payments.

(F) Unsettled Bank Loan. Interest rate not available.

AMBAC — American Municipal Bond Assurance Corporation

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

LLC — Limited Liability Company

LOC — Line of Credit

MTN — Medium Term Note

NCUA — National Credit Union Administration

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

TBA — To Be Announced

Amounts designated as “—” are $0 or have been rounded to $0

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	45,036	$	—	$	45,036
Loan Participations		—		44,003		14		44,017
Asset-Backed Securities		—		41,341		—		41,341
Mortgage-Backed Securities		—		25,684		—		25,684
U.S. Government Agency Obligations		—		4,017		—		4,017
Municipal Bond		—		629		—		629
Common Stock		—		—		—		—
Certificate of Deposit		—		652		—		652
Cash Equivalent		4,901		—		—		4,901
Total Investments in Securities	$	4,901	$	161,362	$	14	$	166,277

66 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(27	)	$	—	$	—	$	(27	)
Total Other Financial Instruments	$	(27	)	$	—	$	—	$	(27	)

* Futures Contracts are valued at the unrealized depreciation on the instruments.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

	Investments in Loan Participations
Beginning balance as of October 1, 2010	$	339
Accrued discounts/premiums		(9	)
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(18	)
Net purchases/sales		2
Net transfer in and/or out of Level 3		(300	)
Ending balance as of September 30, 2011	$	14
Change in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(24	)

	Investments in Asset-Backed Securities
Beginning balance as of October 1, 2010	$	509
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		—
Net purchases/sales		—
Net transfer in and/or out of Level 3		(509	)
Ending balance as of September 30, 2011	$	—
Change in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	—

During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 67

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 53.2%
Agency Mortgage-Backed Obligations — 42.2%
FHLMC
7.500%, 11/01/29 to 09/01/32	$	1,056	$	1,234
7.000%, 12/01/11 to 01/01/32		249		287
6.500%, 06/01/17 to 09/01/39		2,662		2,939
6.000%, 03/01/20 to 10/01/38		13,086		14,392
5.500%, 03/01/14 to 03/01/38		19,054		20,839
5.000%, 10/01/18 to 08/01/41		48,846		52,827
4.500%, 04/01/35 to 10/01/41		32,998		35,449
4.000%, 04/01/19 to 04/01/41		11,192		11,798
3.500%, 12/01/25		8,839		9,223
1.350%, 04/29/14		560		571
0.230%, 12/01/11 (A)		3,180		3,180
0.120%, 01/10/12 (A) (I)		230		230
FHLMC ARM (B)
6.101%, 06/01/37		101		110
6.012%, 10/01/37		834		904
5.983%, 06/01/38		674		728
5.961%, 01/01/37		784		847
5.929%, 06/01/36		399		433
5.880%, 03/01/37		69		75
5.771%, 11/01/37		3		4
5.767%, 07/01/38		1,389		1,505
5.690%, 03/01/36		158		172
5.679%, 03/01/36		211		228
5.599%, 08/01/39		893		968
5.591%, 10/01/38		195		211
FHLMC CMO, Ser 1988-1, Cl Z
9.300%, 04/15/19		72		81
FHLMC CMO, Ser 1997-1983, Cl Z
6.500%, 12/15/23		1,461		1,677
FHLMC CMO, Ser 1998-2043, Cl CJ
6.500%, 04/15/28		857		992
FHLMC CMO, Ser 2001-2277, Cl B
7.500%, 01/15/31		286		334

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2002-2399, Cl XG
6.500%, 01/15/32	$	2,260	$	2,616
FHLMC CMO, Ser 2002-48, Cl 1A
6.318%, 07/25/33 (B)		19		22
FHLMC CMO, Ser 2003-57, Cl 1A2
7.000%, 07/25/43		266		310
FHLMC CMO, Ser 2003-57, Cl 1A3
7.500%, 07/25/43		225		265
FHLMC CMO, Ser 2004-59, Cl 1A3
7.500%, 10/25/43		295		345
FHLMC CMO, Ser 2004-60, Cl 1A3
7.500%, 03/25/44		309		356
FHLMC CMO, Ser 2005-2945, Cl SA
11.882%, 03/15/20 (B)		1,924		2,271
FHLMC CMO, Ser 2005-2980, Cl QA
6.000%, 05/15/35		1,093		1,229
FHLMC CMO, Ser 2005-3028, Cl PG
5.500%, 09/15/35		428		484
FHLMC CMO, Ser 2005-3035, Cl PA
5.500%, 09/15/35		200		226
FHLMC CMO, Ser 2007-3294, Cl CB
5.500%, 03/15/37		5,614		6,206
FHLMC CMO, Ser 2009-3508, Cl PK
4.000%, 02/15/39		311		329
FHLMC CMO, Ser 2009-3598, Cl MA
4.500%, 11/15/38		686		724
FHLMC CMO, Ser 2009-3613, Cl HJ
5.500%, 12/15/39		4,495		4,935
FHLMC CMO, Ser 2010-3626, Cl MB
5.000%, 03/15/32		382		412
FHLMC CMO, Ser 2010-3704, Cl CA
4.000%, 12/15/36		405		434
FHLMC CMO, Ser 2010-3738, Cl BP
4.000%, 12/15/38		400		423
FHLMC CMO, Ser 2010-3754, Cl MB
4.000%, 01/15/39		900		954
FHLMC CMO, Ser 2011-3871, Cl JB
5.500%, 06/15/41		1,300		1,518
FHLMC CMO, Ser 3631, Cl PA
4.000%, 02/15/40		1,488		1,573
FHLMC CMO, Ser 3652, Cl AP
4.500%, 03/15/40		3,095		3,365
FHLMC Multi-family Structured Pass-Through Certificates CMO, Ser 2010-K005, Cl A2
4.317%, 11/25/19		792		879
FHLMC Multi-family Structured Pass-Through Certificates CMO, Ser K007, Cl X1, IO
1.412%, 04/25/20 (B)		5,352		404
FHLMC Multi-family Structured Pass-Through Certificates CMO, Ser K008, Cl X1, IO
1.841%, 06/25/20 (B)		6,721		681

68 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC Multi-family Structured Pass-Through Certificates CMO, Ser K009, Cl X1, IO
1.684%, 08/25/20 (B)	$	3,143	$	292
FHLMC Multi-family Structured Pass-Through Certificates CMO, Ser K702, IO
1.734%, 02/25/18 (B)		10,320		805
FHLMC Multi-family Structured Pass-Through Certificates CMO, Ser K703, IO
2.094%, 05/25/18 (B)		5,792		625
FHLMC Multi-family Structured Pass-Through Certificates, Ser 2009- K003, Cl AAB
4.768%, 05/25/18		857		955
FHLMC Multi-family Structured Pass-Through Certificates, Ser K006, IO
1.229%, 01/25/20 (B)		2,737		176
FHLMC TBA
4.000%, 10/14/40		300		314
3.500%, 10/15/41		3,100		3,182
2.400%, 12/15/41		1,500		1,598
FNMA
7.000%, 09/01/26 to 04/01/32		2,081		2,389
6.500%, 05/01/17 to 10/01/41		11,006		12,308
6.000%, 10/01/19 to 10/01/39		51,760		57,501
5.500%, 06/01/14 to 05/01/40		48,303		52,706
5.000%, 01/01/20 to 09/01/41		69,499		75,233
4.500%, 05/01/24 to 08/01/41		20,331		21,825
4.303%, 07/01/21		3,139		3,441
4.000%, 08/01/20 to 02/01/41		18,024		19,031
FNMA ARM (B)
6.313%, 10/01/36		122		133
6.277%, 09/01/37		197		216
6.124%, 12/01/36		178		193
6.092%, 11/01/37		192		209
6.052%, 10/01/37		413		448
6.032%, 09/01/37		93		101
6.028%, 01/01/37		206		223
5.988%, 07/01/37		158		171
5.977%, 04/01/37		292		316
5.957%, 01/01/37		378		409
5.939%, 03/01/37		218		235
5.925%, 07/01/37		317		344
5.879%, 09/01/37		146		160
5.878%, 02/01/37		212		229
5.842%, 09/01/37		394		427
5.729%, 10/01/37		151		163
5.490%, 02/01/39		471		511
2.263%, 10/01/35		4,498		4,636
2.260%, 11/01/35		1,337		1,387
2.242%, 11/01/35		2,416		2,488
2.235%, 11/01/35		1,252		1,296

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
2.202%, 11/01/35	$	730	$	757
2.192%, 10/01/35		391		404
2.189%, 10/01/35		3,270		3,366
FNMA CMO STRIPS, Ser 2005-360, Cl 2, IO
5.000%, 08/01/35		11,073		1,439
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		1,492		1,634
FNMA CMO, Ser 2002-33, Cl A2
7.500%, 06/25/32		226		259
FNMA CMO, Ser 2002-95, Cl DB
6.000%, 01/25/33		896		1,026
FNMA CMO, Ser 2005-117, Cl LC
5.500%, 11/25/35		4,796		5,272
FNMA CMO, Ser 2005-5, Cl PA
5.000%, 01/25/35		447		490
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35		338		380
FNMA CMO, Ser 2006-112, Cl ST, IO
6.465%, 11/25/36 (B)		9,201		1,445
FNMA CMO, Ser 2006-56, Cl CA
6.000%, 07/25/36		219		248
FNMA CMO, Ser 2008-2, Cl PC
5.000%, 07/25/37		525		573
FNMA CMO, Ser 2008-22, Cl SI, IO
6.195%, 03/25/37 (B)		11,808		1,527
FNMA CMO, Ser 2009-105, Cl CB
6.000%, 12/25/39		1,915		2,149
FNMA CMO, Ser 2009-11, Cl LC
4.500%, 03/25/49		1,162		1,250
FNMA CMO, Ser 2009-31, Cl A2
4.287%, 07/25/19		1,359		1,522
FNMA CMO, Ser 2009-66, Cl KE
4.000%, 09/25/39		1,918		2,022
FNMA CMO, Ser 2009-78, Cl J
5.000%, 09/25/19		1,173		1,272
FNMA CMO, Ser 2009-86, Cl BO, PO
4.713%, 03/25/37		7,161		6,814
FNMA CMO, Ser 2009-93, Cl PD
4.500%, 09/25/39		829		907
FNMA CMO, Ser 2009-M2, Cl A3
4.001%, 01/25/19		1,459		1,586
FNMA CMO, Ser 2010-118, IO
6.265%, 10/25/40 (B)		1,729		244
FNMA CMO, Ser 2010-43, Cl HJ
5.500%, 05/25/40		2,943		3,286
FNMA CMO, Ser 2010-54, Cl EA
4.500%, 06/25/40		2,064		2,260
FNMA CMO, Ser 2010-M3, Cl A2
4.450%, 09/25/19		467		528
FNMA CMO, Ser 2010-M3, Cl A3
4.332%, 03/25/20 (B)		3,196		3,538

SEI Institutional Managed Trust / Annual Report / September 30, 2011 69

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2011-53, Cl DT
4.500%, 06/25/41	$	1,591	$	1,710
FNMA CMO, Ser 2011-59, Cl NZ
5.500%, 07/25/41		1,708		2,067
FNMA CMO, Ser 2011-63, IO
6.445%, 07/25/41 (B)		2,143		301
FNMA CMO, Ser 2011-96, IO
6.337%, 10/25/41 (B)		5,600		1,033
FNMA Whole Loan CMO, Ser 2003-W17, Cl 1A7
5.750%, 08/25/33		248		291
FNMA TBA
6.000%, 10/01/37 to 12/01/37		65,700		71,964
5.500%, 10/01/41 to 10/25/41		8,158		8,908
5.000%, 11/01/37 to 10/01/38		4,950		5,310
4.500%, 11/15/34 to 10/01/39		15,200		16,128
4.000%, 10/14/39 to 10/25/41		59,695		62,568
3.500%, 10/01/40 to 11/01/40		51,600		53,659
3.000%, 10/25/26 to 11/25/26		30,035		30,923
GNMA
8.000%, 11/15/29 to 09/15/30		93		111
7.500%, 03/15/29 to 01/15/32		253		296
7.000%, 08/15/13		22		23
6.500%, 04/15/26 to 09/15/35		8,556		9,861
6.000%, 03/15/14 to 10/20/40		16,851		18,859
5.000%, 07/20/40 to 11/20/40		6,441		7,084
4.000%, 03/20/26 to 09/20/26		38,052		40,601
3.500%, 12/20/40 to 03/20/41		1,568		1,642
GNMA ARM
4.000%, 04/20/41 to 05/20/41 (B)		2,779		2,961
3.500%, 05/20/41 to 08/20/41 (B)		5,182		5,468
3.000%, 07/20/41 to 08/20/41 (B)		2,117		2,214
GNMA CMO, Ser 2001-56, Cl PT
6.000%, 11/20/31		3,918		4,450
GNMA CMO, Ser 2003-79, Cl PV
5.500%, 10/20/23		389		441
GNMA CMO, Ser 2005-13, Cl SD, IO
6.569%, 02/20/35 (B)		477		85
GNMA CMO, Ser 2005-78, Cl A
5.000%, 07/16/33		4,028		4,426
GNMA CMO, Ser 2005-81, Cl SD, IO
6.069%, 12/20/34 (B)		764		89
GNMA CMO, Ser 2005-82, Cl NS, IO
6.069%, 07/20/34 (B)		510		80
GNMA CMO, Ser 2006-47, Cl SA, IO
6.571%, 08/16/36 (B)		1,224		271
GNMA CMO, Ser 2008-60, Cl SH, IO
5.921%, 07/16/38 (B)		465		66

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2009-10, Cl ST, IO
6.221%, 03/16/34 (B)	$	481	$	56
GNMA CMO, Ser 2009-106, IO
5.970%, 05/20/37 (B)		1,708		246
GNMA CMO, Ser 2009-35, Cl SP, IO
6.171%, 05/16/37 (B)		1,109		132
GNMA CMO, Ser 2009-45, IO
5.731%, 04/16/39 (B)		474		55
GNMA CMO, Ser 2009-61, IO
6.470%, 08/20/39 (B)		1,888		253
GNMA CMO, Ser 2009-61, Cl WQ, IO
6.021%, 11/16/35 (B)		1,289		190
GNMA CMO, Ser 2009-68, IO
6.521%, 04/16/39 (B)		452		58
GNMA CMO, Ser 2009-87, Cl TS, IO
5.870%, 07/20/35 (B)		1,091		166
GNMA CMO, Ser 2009-87, Cl SI, IO
6.519%, 02/20/35 (B)		596		107
GNMA CMO, Ser 2009-87, Cl KI, IO
6.069%, 09/20/35 (B)		537		78
GNMA CMO, Ser 2010-107, IO
5.920%, 02/20/38 (B)		747		123
GNMA CMO, Ser 2010-109, IO
6.370%, 08/20/40 (B)		372		75
GNMA CMO, Ser 2010-117, IO
5.770%, 10/20/39 (B)		2,988		487
GNMA CMO, Ser 2010-14, Cl SH, IO
5.771%, 02/16/40 (B)		665		120
GNMA CMO, Ser 2010-14, Cl SA, IO
7.769%, 12/20/32 (B)		576		80
GNMA CMO, Ser 2010-14, Cl SC, IO
4.612%, 08/20/35 (B)		1,150		194
GNMA CMO, Ser 2010-146, IO
5.870%, 06/20/39 (B)		1,142		217
GNMA CMO, Ser 2010-147, IO
6.420%, 11/20/40 (B)		750		166
GNMA CMO, Ser 2010-151, IO
5.820%, 11/20/40 (B)		769		126
GNMA CMO, Ser 2010-160, IO
6.320%, 10/20/38 (B)		1,053		167
GNMA CMO, Ser 2010-167, IO
6.400%, 11/20/38 (B)		464		69
GNMA CMO, Ser 2010-3, IO
6.320%, 11/20/38 (B)		674		101
GNMA CMO, Ser 2010-31, IO
6.287%, 03/20/39 (B)		584		88
GNMA CMO, Ser 2010-39, IO
6.320%, 11/20/38 (B)		199		29
GNMA CMO, Ser 2010-4, Cl NS, IO
6.161%, 01/16/40 (B)		20,489		3,042
GNMA CMO, Ser 2010-47, Cl XN, IO
6.321%, 04/16/34 (B)		876		83

70 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2010-47, Cl VS, IO
6.021%, 11/16/37 (B)	$	886	$	119
GNMA CMO, Ser 2010-68, IO
6.350%, 06/20/40 (B)		2,203		389
GNMA CMO, Ser 2010-85, IO
6.420%, 01/20/40 (B)		458		74
GNMA CMO, Ser 2010-87, Cl SK, IO
6.271%, 07/16/40 (B)		1,665		292
GNMA CMO, Ser 2010-H27, Cl FA
0.565%, 12/20/60 (B)		2,037		2,012
GNMA CMO, Ser 2010-H28, Cl FE
0.631%, 12/20/60 (B)		1,320		1,304
GNMA CMO, Ser 2011-32, IO
5.771%, 03/16/41 (B)		284		47
GNMA CMO, Ser 2011-40, IO
5.901%, 02/16/36 (B)		2,293		379
GNMA CMO, Ser 2011-70, IO
6.471%, 12/16/36 (B)		969		198
GNMA CMO, Ser 2011-81, IO
5.169%, 06/20/41 (B)		1,269		203
GNMA CMO, Ser 2011-H08, Cl FG
0.710%, 03/20/61 (B)		1,290		1,280
GNMA CMO, Ser 2011-H09, Cl AF
0.731%, 03/20/61 (B)		884		877
GNMA TBA
5.500%, 11/01/34		800		884
4.500%, 10/22/33		16,500		17,926
4.000%, 10/01/39 to 10/15/41		13,080		13,987
3.500%, 12/15/41		15,300		15,847
3.000%, 10/20/41		282		283
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT
2.650%, 10/29/20		956		992
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A
0.671%, 11/05/20 (B)		1,870		1,875
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.594%, 11/06/17 (B)		3,082		3,083
				928,522
Non-Agency Mortgage-Backed Obligations — 11.0%
American Home Mortgage Assets, Ser 2007-2, Cl A1
0.360%, 03/25/47 (B)		7,951		4,206
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A
2.475%, 06/25/45 (B)		3,697		2,756
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A
2.225%, 11/25/45 (B)		3,384		2,340

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Americold Trust, Ser 2010-ARTA, Cl A1
3.847%, 01/14/29 (C)	$	1,150	$	1,199
Banc of America Funding, Ser 2003-1, Cl A1
6.000%, 05/20/33		21		22
Banc of America Funding, Ser 2005-B, Cl 2A1
2.897%, 04/20/35 (B)		3,959		2,904
Banc of America Merrill Lynch Commercial Mortgage, Ser 2002-2, Cl B
5.271%, 07/11/43		225		226
Banc of America Merrill Lynch Commercial Mortgage, Ser 2002-PB2, Cl B
6.309%, 06/11/35		414		414
Banc of America Merrill Lynch Commercial Mortgage, Ser 2004-6, Cl A3
4.512%, 12/10/42		303		305
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-2, Cl A5
4.857%, 07/10/43 (B)		3,280		3,521
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-3, Cl A4
4.668%, 07/10/43		1,900		2,031
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/44 (B)		2,845		3,066
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-5, Cl A4
5.414%, 09/10/47		228		238
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-6, Cl A4
5.356%, 10/10/45		2,772		2,892
Banc of America Merrill Lynch Commercial Mortgage, Ser 2007-1, Cl A2
5.381%, 01/15/49		466		467
Banc of America Merrill Lynch Commercial Mortgage, Ser 2007-3, Cl A3
5.801%, 06/10/49 (B)		1,360		1,423
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
5.302%, 05/25/34 (B)		1,552		1,385

SEI Institutional Managed Trust / Annual Report / September 30, 2011 71

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/38	$	129	$	132
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3
4.240%, 08/13/39 (B)		72		73
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2
4.945%, 02/11/41		425		427
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.295%, 10/12/42 (B)		3,875		4,258
Chase Mortgage Finance, Ser 2005-A1, Cl 2A3
2.927%, 12/25/35 (B)		12,400		10,304
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.886%, 12/10/49 (B)		1,285		1,384
Citigroup, Ser 2005-CD1, Cl AM
5.399%, 07/15/44 (B)		624		641
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (B)		225		233
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (C)		1		1
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl B
6.304%, 07/16/34 (C)		826		824
Commercial Mortgage Pass-Through Certificates, Ser 2004-LB4A, Cl A5
4.840%, 10/15/37		2,081		2,170
Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33		1,084		1,135
Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1
6.000%, 02/25/34		234		238
Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2
1.352%, 08/25/35 (B)		420		206
Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1
0.516%, 11/20/35 (B)		4,243		2,392
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF
0.635%, 09/25/35 (B) (C)		3,273		2,743
Credit Suisse First Boston Mortgage Securities, Ser 2001-CK6, Cl A3
6.387%, 08/15/36		32		32
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36		255		259

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP3, Cl A3
5.603%, 07/15/35	$	166	$	169
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP5, Cl A2
4.940%, 12/15/35		894		917
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4
2.628%, 10/25/33 (B)		2,836		2,397
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B
5.253%, 08/15/36 (B)		461		480
Credit Suisse First Boston Mortgage Securities, Ser 2003-CPN1, Cl B
4.723%, 03/15/35		298		299
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3
4.813%, 02/15/38		660		671
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4
4.832%, 04/15/37		939		990
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM
4.730%, 07/15/37		450		450
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3
5.467%, 09/15/39		1,177		1,211
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		3,910		4,091
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/46 (C)		1,279		1,312
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A2
3.386%, 07/10/44 (C)		760		769
DBUBS Mortgage Trust, Ser 2011-LC3A, IO
1.651%, 08/10/44 (B) (C)		2,988		180
Deutsche Mortgage Securities, Ser 2004-4, Cl 7AR2
0.685%, 06/20/34 (B)		715		570
Developers Diversified Realty, Ser 2009-DDR1, Cl A
3.807%, 10/14/22 (C)		1,781		1,856
Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
0.630%, 11/19/44 (B)		2,086		834
Extended Stay America Trust, Ser 2010-ESHA, Cl A
2.951%, 11/05/27 (C)		2,335		2,296

72 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FFCA Secured Lending, Ser 1999-1A, Cl M18, IO
0.860%, 09/18/25 (B) (C)	$	336	$	1
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B
6.417%, 12/12/33		540		539
Fund America Investors II, Ser 1993-A, Cl A2
4.573%, 06/25/23 (B)		133		124
GE Capital Assurance, Ser 2003-1, Cl A4
5.254%, 05/12/35 (B) (C)		3,724		3,913
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3
6.269%, 12/10/35		3,080		3,110
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2
4.996%, 12/10/37		9,282		9,487
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl A2
6.700%, 04/15/34		24		24
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B
6.790%, 04/15/34		136		136
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl D
5.671%, 05/10/40 (B)		233		233
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		352		370
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM
5.290%, 11/10/45 (B)		847		809
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6
5.135%, 06/10/36 (B)		309		310
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7
5.317%, 06/10/36 (B) (D)		3,890		4,116
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB
4.619%, 08/10/42		3,581		3,666
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (B)		1,584		1,682
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4
6.074%, 07/10/38 (B) (D)		8,810		9,486
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39		5,450		5,651
GS Mortgage Securities II, Ser 2005-GG4, Cl A4
4.761%, 07/10/39		291		307

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GS Mortgage Securities II, Ser 2005-GG4, Cl AABA
4.680%, 07/10/39	$	138	$	140
GS Mortgage Securities II, Ser 2011-GC5, Cl A4
3.707%, 08/10/44 (B)		4,535		4,524
GS Mortgage Securities, Ser 2011-GC3, Cl A4
4.753%, 03/10/44 (C)		190		197
GS Mortgage Securities II,
Ser 2011-GC5, CI XA, IO 1.952%, 08/10/44		3,070		277
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/27 (B) (C)		56		58
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1
4.447%, 10/25/33 (B)		1,648		1,629
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 3A5
2.772%, 07/25/35 (B)		7,000		4,859
Impac Funding, Ser 2010-1, Cl A1
5.314%, 01/25/51 (C)		1,524		1,607
Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1
0.585%, 08/25/36 (B)		648		559
Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1
5.785%, 11/01/37 (B)		1,125		852
Indymac Index Mortgage Loan Trust, Ser 2007-AR15, Cl 2A1
5.123%, 08/25/37 (B)		6,196		3,748
JPMorgan Alternative Loan Trust, Ser 2006-A7, Cl 2A6
5.750%, 12/25/36 (B)		12,253		4,087
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D
6.847%, 04/15/35 (B)		306		305
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB3, Cl A3
6.465%, 11/15/35		160		159
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl A2
5.050%, 12/12/34		394		405
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B
5.211%, 12/12/34 (B)		144		145
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB4, Cl C
6.450%, 05/12/34 (B)		456		456

SEI Institutional Managed Trust / Annual Report / September 30, 2011 73

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-C1, Cl A1
4.275%, 01/12/37	$	198	$	200
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB6, Cl A1
4.393%, 07/12/37		87		88
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2
5.115%, 07/15/41		1,191		1,261
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A
4.678%, 07/15/42		205		209
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3
5.336%, 05/15/47		2,180		2,251
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A1S
5.284%, 05/15/47		80		80
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2
5.134%, 05/15/47		253		258
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-C1, Cl ASB
5.857%, 02/15/51		359		383
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3
5.420%, 01/15/49		472		489
JPMorgan Chase Commercial Mortgage Securities, Ser 2009-IWST, Cl A2
5.633%, 12/05/27 (C)		718		783
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1
3.853%, 06/15/43 (C)		2,058		2,133
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1
3.300%, 08/05/32 (C)		365		367
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A2
4.311%, 08/05/32 (C)		1,250		1,244

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A3
4.171%, 08/15/46	$	942	$	966
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3
6.130%, 07/15/44 (B)		303		319
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4
5.594%, 06/15/31		270		274
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4
4.563%, 09/15/26		99		100
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5
4.628%, 10/15/29		294		303
LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4
4.998%, 04/15/30		884		896
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB
5.403%, 02/15/40		138		145
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40		80		82
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A3
5.933%, 07/15/40		1,151		1,204
LB-UBS Commercial Mortgage Trust, Ser C1, Cl A4
5.424%, 02/15/40		979		1,033
Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/34 (C)		3,050		2,979
Master Seasoned Securities Trust, Ser 2004-2, Cl A2
6.500%, 08/25/32		1,136		1,177
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.239%, 02/25/34 (B)		2,014		2,002
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A
4.949%, 07/12/38 (B)		371		379
Merrill Lynch Mortgage Trust, Ser 2005-MCP1, Cl A4
4.747%, 06/12/43 (B)		2,150		2,308
Merrill Lynch Mortgage Trust, Ser 2005-MKB2, Cl A4
5.204%, 09/12/42 (B)		735		784
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3
5.172%, 12/12/49 (B)		7,000		7,465

74 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MLCC Mortgage Investors, Ser 2004-B, Cl A3
2.059%, 05/25/29 (B)	$	701	$	657
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A4
4.900%, 06/15/40		121		122
Morgan Stanley Capital I, Ser 2004-T13, Cl A3
4.390%, 09/13/45		194		198
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42		125		129
Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42		1,400		1,508
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB
6.656%, 11/14/42 (B)		99		102
Morgan Stanley Capital I, Ser 2005-T19, Cl A4A
4.890%, 06/12/47		3,230		3,508
Morgan Stanley Capital I, Ser 2006-HQ8, Cl AM
5.647%, 03/12/44 (B)		315		312
Morgan Stanley Capital I, Ser 2006-HQ9, Cl A4
5.731%, 07/12/44 (B)		2,280		2,482
Morgan Stanley Capital I, Ser 2006-IQ12, Cl ANM
5.310%, 12/15/43		689		688
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/52 (B)		2,500		2,702
Morgan Stanley Capital I, Ser 2007-HQ13, Cl A1
5.357%, 12/15/44		261		262
Morgan Stanley Capital I, Ser 2007-IQ14, Cl A4
5.692%, 04/15/49 (B)		3,200		3,317
Morgan Stanley Capital I, Ser 2011-C3, Cl A2
3.224%, 07/15/49		1,360		1,379
Morgan Stanley Capital I, Ser 2011-C3, Cl A4
4.118%, 07/15/49		748		774
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33		48		48
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl B
6.640%, 04/15/34		226		228
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		208		215

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B
5.040%, 03/12/35	$	248	$	254
Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S
0.345%, 02/25/47 (B)		112		89
Nomura Asset Securities, Ser 1998-D6, Cl A2
7.313%, 03/15/30 (B)		921		977
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31		379		382
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1
5.000%, 08/25/19		488		487
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.701%, 12/25/34 (B)		843		746
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36		32		32
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1
3.750%, 02/25/40 (B)		190		188
Sequoia Mortgage Trust, Ser 2011-1, Cl A1
4.125%, 02/25/41 (B)		283		282
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1
0.555%, 10/25/35 (B)		1,350		809
Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-7, Cl 2AS2
4.900%, 08/25/15 (B)		7,761		4,684
Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A
0.435%, 10/25/36 (B)		3,960		2,065
Structured Asset Securities, Ser 2005-17, Cl 5A1
5.500%, 10/25/35		2,511		2,101
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A1
5.544%, 08/15/39 (B)		38		38
US Bank, Ser 2007-1, Cl A
5.920%, 05/25/12		1,324		1,368
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4
6.287%, 04/15/34		137		138

SEI Institutional Managed Trust / Annual Report / September 30, 2011 75

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (C)	$	88	$	88
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35		497		498
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C29, Cl A4
5.308%, 11/15/48		234		249
Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/18		521		526
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR5, Cl A6
2.571%, 05/25/35 (B)		9,220		6,948
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1
0.525%, 10/25/47 (B)		3,455		2,653
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2
0.515%, 11/25/47 (B)		5,227		3,554
Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A
2.584%, 12/25/35 (B)		12,955		8,924
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR13, Cl 1A
1.132%, 10/25/46 (B)		3,419		2,114
Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A
1.062%, 07/25/47 (B)		7,683		4,489
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1
2.698%, 06/25/34 (B)		2,115		2,093
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, IO
1.365%, 02/15/44 (B) (C)		3,620		206
WF-RBS Commercial Mortgage Trust, Ser 2011-C4, Cl A4
4.902%, 06/15/44 (B) (C)		500		525

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WF-RBS Commercial Mortgage Trust, Ser C3, Cl A4
4.375%, 03/15/44 (C)	$	350	$	354
				242,964
Total Mortgage-Backed Securities (Cost $1,158,230) ($ Thousands)				1,171,486
CORPORATE OBLIGATIONS — 27.7%
Consumer Discretionary — 1.7%
Boyd Gaming
7.125%, 02/01/16 (D)		350		257
CCO Holdings
7.000%, 01/15/19		440		427
7.000%, 01/15/19 (C)		240		232
CityCenter Holdings
7.625%, 01/15/16 (C)		350		329
Comcast
6.500%, 01/15/15		985		1,123
6.500%, 01/15/17		2,385		2,801
5.650%, 06/15/35		120		126
5.300%, 01/15/14 (D)		2,340		2,537
Comcast Cable Communications
8.375%, 03/15/13		1,189		1,306
COX Communications
5.450%, 12/15/14		450		498
Daimler Finance LLC
7.300%, 01/15/12		1,400		1,424
6.500%, 11/15/13		1,320		1,449
Daimler Finance North America
3.875%, 09/15/21 (C)		555		541
1.875%, 09/15/14 (C)		1,575		1,555
DIRECTV Holdings
6.000%, 08/15/40		950		1,014
DISH DBS
7.875%, 09/01/19		690		704
6.750%, 06/01/21 (C)		320		306
Echostar DBS
7.750%, 05/31/15		30		31
Gap
5.950%, 04/12/21		1,400		1,317
Inn of the Mountain Gods Resort & Casino
8.750%, 11/30/20 (C)		277		266
MGM Mirage
7.625%, 01/15/17		440		378
NBCUniversal Media
4.375%, 04/01/21		480		493
2.875%, 04/01/16 (D)		924		941
News America
6.650%, 11/15/37		180		198
6.200%, 12/15/34		65		70

76 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.150%, 03/01/37	$	1,785	$	1,907
6.150%, 02/15/41 (D)		126		133
Reynolds Group Issuer
8.500%, 10/15/16 (C)		490		491
7.125%, 04/15/19 (C)		240		223
6.875%, 02/15/21 (C)		1,230		1,107
Thomson Reuters
5.950%, 07/15/13		482		521
Time Warner
6.250%, 03/29/41 (D)		545		622
4.750%, 03/29/21		1,150		1,207
3.150%, 07/15/15		1,100		1,138
Time Warner Cable
8.750%, 02/14/19		210		269
8.250%, 04/01/19		2,095		2,623
6.550%, 05/01/37		1,645		1,829
5.875%, 11/15/40		1,050		1,076
5.500%, 09/01/41		1,415		1,399
4.125%, 02/15/21 (D)		240		239
4.000%, 09/01/21		1,135		1,110
Time Warner Entertainment
8.375%, 07/15/33		60		78
United Business Media
5.750%, 11/03/20 (C)		550		588
				36,883
Consumer Staples — 1.3%
Altria Group
10.200%, 02/06/39		320		464
9.250%, 08/06/19		1,250		1,638
4.750%, 05/05/21		1,150		1,190
Anheuser-Busch
5.050%, 10/15/16		940		1,057
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19		2,570		3,338
5.375%, 11/15/14		255		285
5.375%, 01/15/20 (D)		1,360		1,584
5.000%, 04/15/20		560		641
Cencosud
5.500%, 01/20/21 (C)		355		356
Coca-Cola
1.800%, 09/01/16 (C)		1,075		1,078
CVS Caremark
9.350%, 01/10/23 (C)		3,330		3,831
5.750%, 05/15/41		355		397
Diageo Capital
4.828%, 07/15/20		2,430		2,719
HJ Heinz
5.350%, 07/15/13		510		550
Kraft Foods
6.500%, 02/09/40		1,385		1,693
5.375%, 02/10/20		2,120		2,399
PepsiCo
2.500%, 05/10/16		855		885

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Pernod-Ricard
5.750%, 04/07/21 (C)	$	1,325	$	1,452
Reynolds American
6.750%, 06/15/17		1,260		1,452
Wal-Mart Stores
5.625%, 04/15/41		1,055		1,300
				28,309
Energy — 3.1%
Anadarko Finance, Ser B
7.500%, 05/01/31		910		1,078
Anadarko Petroleum
6.375%, 09/15/17		410		460
Apache
6.000%, 09/15/13		2,570		2,812
Arch Coal
7.000%, 06/15/19 (C)		920		874
Baker Hughes
7.500%, 11/15/18		1,960		2,576
BP Capital Markets
5.250%, 11/07/13		1,790		1,927
3.875%, 03/10/15		210		223
3.125%, 03/10/12 (D)		240		242
Chesapeake Energy
6.875%, 11/15/20 (D)		450		470
6.625%, 08/15/20		30		31
6.500%, 08/15/17		275		285
Cie Generale de Geophysique-Veritas
7.750%, 05/15/17		110		108
CNOOC Finance 2011
4.250%, 01/26/21 (C)		210		211
Conoco Funding
7.250%, 10/15/31		50		69
ConocoPhillips
5.900%, 10/15/32		10		12
5.900%, 05/15/38		1,680		2,067
Consol Energy
8.250%, 04/01/20		660		695
Devon Energy
5.600%, 07/15/41		1,745		2,012
2.400%, 07/15/16		910		922
El Paso
6.950%, 06/01/28		6,750		7,126
El Paso Pipeline Partners Operating
7.500%, 11/15/40		340		397
5.000%, 10/01/21		325		326
Encana
6.500%, 02/01/38		1,345		1,535
Energen
4.625%, 09/01/21		1,010		1,002
Energy Transfer Partners
9.000%, 04/15/19		470		566
6.700%, 07/01/18		1,250		1,399

SEI Institutional Managed Trust / Annual Report / September 30, 2011 77

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Enterprise Products Operating
9.750%, 01/31/14	$	1,910	$	2,235
5.700%, 02/15/42		1,110		1,168
4.050%, 02/15/22		360		361
Gazprom Via Gaz Capital
6.212%, 11/22/16 (C)		220		222
Hess
7.875%, 10/01/29		1,070		1,440
7.300%, 08/15/31		540		690
Husky Energy
7.250%, 12/15/19		499		611
Kerr-McGee
7.875%, 09/15/31		670		824
6.950%, 07/01/24		1,900		2,221
Key Energy Services
6.750%, 03/01/21		790		760
Kinder Morgan Energy Partners
7.125%, 03/15/12		70		72
6.000%, 02/01/17		505		572
5.850%, 09/15/12		130		135
5.000%, 12/15/13		720		772
Marathon Petroleum
6.500%, 03/01/41 (C)		410		442
Newfield Exploration
5.750%, 01/30/22		550		544
Occidental Petroleum
3.125%, 02/15/22		910		910
Peabody Energy
6.500%, 09/15/20		630		662
Pemex Project Funding Master Trust
6.625%, 06/15/35		1,667		1,788
Petrobras International Finance
6.125%, 10/06/16		655		710
5.750%, 01/20/20		574		596
5.375%, 01/27/21		1,380		1,395
3.875%, 01/27/16		600		595
Petro-Canada
6.800%, 05/15/38		1,665		2,014
Plains All American Pipeline
6.650%, 01/15/37		149		165
Pride International
6.875%, 08/15/20		375		433
QEP Resources
6.875%, 03/01/21		700		731
Rockies Express Pipeline
3.900%, 04/15/15 (C)		1,243		1,274
Schlumberger Investment
1.950%, 09/14/16 (C)		810		806
Shell International Finance BV
5.500%, 03/25/40		340		423
4.375%, 03/25/20		1,700		1,909
Southern Natural Gas
8.000%, 03/01/32		170		219

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Southern Union
8.250%, 11/15/29	$	1,315	$	1,550
Suncor Energy
6.500%, 06/15/38		115		134
Talisman Energy
7.750%, 06/01/19		570		700
TC Pipelines
4.650%, 06/15/21		145		149
Tennessee Gas Pipeline
7.625%, 04/01/37		430		544
7.000%, 10/15/28		1,140		1,334
Transcontinental Gas Pipeline
5.400%, 08/15/41 (C)		80		84
Western Gas Partners
5.375%, 06/01/21		1,235		1,239
Williams
7.875%, 09/01/21		2,360		2,798
7.750%, 06/15/31		1,392		1,671
Williams, Ser A
7.500%, 01/15/31		465		544
				67,871
Financials — 14.9%
ABB Treasury Center USA
4.000%, 06/15/21 (C)		610		613
2.500%, 06/15/16 (C)		1,995		2,039
Achmea Hypotheekbank
3.200%, 11/03/14 (C)		2,470		2,611
Allstate
7.450%, 05/16/19		1,085		1,326
Ally Financial
2.526%, 12/01/14 (B)		2,234		1,918
American Express
7.250%, 05/20/14		120		136
6.800%, 09/01/66 (B)		2,150		2,083
American Express Credit MTN
2.800%, 09/19/16		1,625		1,617
1.208%, 06/24/14 (B)		280		277
American Honda Finance MTN
3.875%, 09/21/20 (C)		1,065		1,066
American International Group
6.400%, 12/15/20		260		265
6.250%, 03/15/37		2,560		1,773
5.850%, 01/16/18		2,260		2,239
4.250%, 09/15/14		590		574
3.750%, 11/30/13 (C)		500		500
ASIF Global Financing XIX
4.900%, 01/17/13 (C)		390		395
Australia & New Zealand Banking Group
3.700%, 01/13/15 (C)		1,445		1,503
BAC Capital Trust XIV
5.630%, 03/15/12 (B)		130		71

78 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BAC Capital Trust XV
1.126%, 06/01/56 (B)	$	5,715	$	3,063
Bank of America
6.500%, 08/01/16		3,375		3,352
6.000%, 09/01/17		880		847
5.750%, 12/01/17		1,470		1,379
5.650%, 05/01/18		390		370
5.420%, 03/15/17		4,400		3,823
5.000%, 05/13/21		2,850		2,543
4.500%, 04/01/15		180		171
3.750%, 07/12/16		1,185		1,078
3.625%, 03/17/16		2,275		2,071
Bank of Montreal
2.850%, 06/09/15 (C)		445		470
Bank of Nova Scotia
2.150%, 08/03/16 (C)		440		447
1.450%, 07/26/13 (C)		2,630		2,656
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/15 (C)		450		478
Barclays Bank
6.050%, 12/04/17 (C)		1,230		1,129
5.125%, 01/08/20		1,310		1,284
5.000%, 09/22/16		170		170
Barnett Capital III
0.879%, 02/01/27 (B)		425		266
BBVA US Senior SAU
3.250%, 05/16/14		1,610		1,509
Bear Stearns
6.400%, 10/02/17		70		80
5.350%, 02/01/12 (D)		3,280		3,330
4.650%, 07/02/18		995		1,044
Berkshire Hathaway
3.750%, 08/15/21		3,560		3,610
3.200%, 02/11/15		950		999
Berkshire Hathaway Finance
5.400%, 05/15/18		830		948
Boeing Capital
4.700%, 10/27/19		490		556
2.900%, 08/15/18		425		439
Caisse Centrale Desjardinsdu Quebec
2.550%, 03/24/16 (C)		555		576
Canadian Imperial Bank of Commerce
2.600%, 07/02/15 (C)		655		682
Capital One Financial
4.750%, 07/15/21		1,060		1,061
CDP Financial
3.000%, 11/25/14 (C)		2,450		2,561
Chase Capital VI
0.879%, 08/01/28 (B)		2,500		1,976
Citigroup
6.875%, 03/05/38		3,235		3,512
6.125%, 05/15/18		3,970		4,258

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.000%, 12/13/13	$	2,250	$	2,363
5.375%, 08/09/20		780		808
5.000%, 09/15/14		3,245		3,183
3.953%, 06/15/16 (D)		1,028		1,026
0.607%, 06/09/16 (B)		3,650		3,039
Citigroup Capital III
7.625%, 12/01/36		1,500		1,517
Citigroup Funding
1.875%, 10/22/12		1,855		1,884
CNA Financial
6.500%, 08/15/16		330		355
5.750%, 08/15/21		535		540
Commonwealth Bank of Australia MTN
5.000%, 10/15/19 (C)		450		467
3.750%, 10/15/14 (C)		1,060		1,101
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
11.000%, 12/31/49 (B) (C)		1,810		2,177
5.250%, 05/24/41		993		1,088
Countrywide Financial
6.250%, 05/15/16		1,080		953
Credit Agricole
8.375%, 12/31/49 (B) (C) (D)		2,460		1,937
2.625%, 01/21/14 (C)		730		697
Credit Suisse NY
6.000%, 02/15/18		3,253		3,301
Credit Suisse NY MTN
4.375%, 08/05/20		650		629
Deutsche Bank MTN
4.875%, 05/20/13		1,830		1,891
Deutsche Bank Capital Funding Trust VII
5.628%, 01/19/49 (B) (C)		2,760		1,849
Dexia Credit Local
2.750%, 04/29/14 (C)		4,090		4,028
DnB Boligkreditt
2.100%, 10/14/15 (C)		2,820		2,854
Farmer Mac Guaranteed Notes Trust 2007-1
5.125%, 04/19/17 (C)		3,540		4,134
Farmers Exchange Capital
7.050%, 07/15/28 (C)		1,434		1,537
Farmers Insurance Exchange
8.625%, 05/01/24 (C)		3,017		3,701
FDIC Structured Sale Guaranteed Notes
1.450%, 10/25/13 (A) (C)		470		459
First Industrial L.P. MTN
7.500%, 12/01/17		970		934
Fleet Capital Trust II
7.920%, 12/11/26		1,050		945
Ford Motor Credit
8.125%, 01/15/20 (D)		1,440		1,634

SEI Institutional Managed Trust / Annual Report / September 30, 2011 79

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.875%, 08/02/21 (D)	$	920	$	915
General Electric Capital MTN
6.875%, 01/10/39		295		339
6.375%, 11/15/19 (B)		5,870		5,518
6.150%, 08/07/37		600		641
5.900%, 05/13/14		1,400		1,530
5.875%, 01/14/38		1,645		1,686
5.625%, 05/01/18		5,135		5,621
5.450%, 01/15/13		20		21
5.300%, 02/11/21		150		156
4.625%, 01/07/21		1,474		1,530
4.375%, 09/16/20		2,460		2,503
0.648%, 05/05/26 (B)		3,500		2,803
0.428%, 03/20/14 (B)		1,900		1,860
Glitnir Banki HF
7.451%, 09/14/16 (C) (E)		400		—
6.693%, 06/15/16 (C) (E)		3,960		—
6.375%, 09/25/12 (C) (E)		2,330		606
6.330%, 07/28/11 (C) (E)		1,980		515
Goldman Sachs Capital II
5.793%, 12/29/49 (B)		200		124
Goldman Sachs Group MTN
6.600%, 01/15/12		180		183
6.250%, 02/01/41		2,300		2,237
6.150%, 04/01/18		3,780		3,917
6.000%, 06/15/20		705		725
5.950%, 01/18/18		3,310		3,408
5.450%, 11/01/12		2,540		2,618
5.375%, 03/15/20		3,090		3,069
5.350%, 01/15/16		660		683
5.300%, 02/14/12		80		81
5.250%, 10/15/13		390		405
5.250%, 07/27/21		845		834
4.750%, 07/15/13		40		41
3.625%, 08/01/12		270		274
3.625%, 02/07/16		2,700		2,629
0.653%, 07/22/15 (B)		500		446
Hartford Financial Services Group
5.500%, 03/30/20		445		434
HBOS Capital Funding
6.071%, 06/30/49 (B) (C)		1,330		798
HBOS PLC MTN
6.750%, 05/21/18 (C)		2,100		1,790
HCP MTN‡
6.750%, 02/01/41 (D)		310		332
6.300%, 09/15/16		1,075		1,150
6.000%, 01/30/17		4,000		4,212
5.650%, 12/15/13		964		1,013
Health Care REIT‡
6.500%, 03/15/41		1,325		1,257
5.250%, 01/15/22		900		853
4.950%, 01/15/21		2,500		2,401
Highwoods Properties‡
7.500%, 04/15/18		1,142		1,325

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HSBC Bank
4.750%, 01/19/21 (C)	$	1,760	$	1,822
HSBC Finance
6.676%, 01/15/21 (C)		60		59
HSBC Holdings
5.100%, 04/05/21		805		829
HSBC Holdings PLC
6.800%, 06/01/38		910		910
ICICI Bank
6.375%, 04/30/22 (B) (C)		1,260		1,046
ILFC E-Capital Trust II
6.250%, 12/21/65 (B) (C)		400		296
ING Capital Funding Trust III
3.969%, 12/29/49 (B)		40		30
International Lease Finance
7.125%, 09/01/18 (C)		1,080		1,084
6.500%, 09/01/14 (C)		2,530		2,530
Intesa Sanpaolo SPA
3.625%, 08/12/15 (C) (D)		710		622
Itau Unibanco Holding MTN
6.200%, 04/15/20 (C)		290		293
Jefferies Group
5.125%, 04/13/18		500		468
JPMorgan Chase
6.000%, 01/15/18		135		150
5.750%, 01/02/13		1,710		1,792
5.600%, 07/15/41		720		752
4.750%, 05/01/13		510		536
4.400%, 07/22/20		210		212
4.350%, 08/15/21		215		217
4.250%, 10/15/20		1,260		1,263
3.450%, 03/01/16		2,785		2,796
JPMorgan Chase Bank
6.000%, 07/05/17		2,250		2,425
6.000%, 10/01/17		250		263
0.668%, 06/13/16 (B)		1,300		1,193
JPMorgan Chase Capital XIII
1.196%, 09/30/34 (B)		1,000		776
JPMorgan Chase Capital XXIII
1.286%, 05/15/47 (B)		1,900		1,276
JPMorgan Chase Capital XXV
6.800%, 10/01/37		612		616
Kaupthing Bank MTN
7.625%, 02/28/15 (C) (E)		8,810		2,158
7.125%, 05/19/16 (C) (E)		1,350		—
5.750%, 10/04/11 (C) (E)		960		235
Kilroy Realty‡
6.625%, 06/01/20		360		391
5.000%, 11/03/15		265		275
4.800%, 07/15/18		715		690
Korea Development Bank
3.250%, 03/09/16 (D)		882		850
Landsbanki Islands
6.100%, 08/25/11 (C) (E)		5,570		390

80 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Lazard Group
7.125%, 05/15/15	$	967	$	1,068
6.850%, 06/15/17		1,332		1,467
Lehman Brothers Holdings MTN
6.750%, 12/28/17 (E)		4,320		2
Lehman Brothers Holdings Capital Trust VII MTN
5.857%, 11/29/49 (E)		4,280		—
Lloyds TSB Bank
6.375%, 01/21/21		1,270		1,252
5.800%, 01/13/20 (C)		240		228
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (C)		1,125		1,694
MBNA Capital A
8.278%, 12/01/26		1,450		1,348
Merrill Lynch MTN
8.950%, 05/18/17 (B)		1,790		1,979
8.680%, 05/02/17 (B)		3,160		3,465
7.430%, 09/01/22		3		3
6.050%, 05/16/16		350		315
5.700%, 05/02/17		1,300		1,160
5.450%, 02/05/13		2,080		2,061
MetLife
6.750%, 06/01/16		1,060		1,219
6.400%, 12/15/36		450		399
5.700%, 06/15/35		295		315
4.750%, 02/08/21		540		562
MetLife Capital Trust IV
7.875%, 12/15/37 (C)		800		788
MetLife Capital Trust X
9.250%, 04/08/38 (C)		1,800		2,025
Metropolitan Life Global Funding I MTN (C)
5.125%, 04/10/13		1,260		1,322
5.125%, 06/10/14		1,600		1,728
2.500%, 09/29/15		1,090		1,098
Morgan Stanley MTN
7.300%, 05/13/19		2,345		2,417
6.625%, 04/01/18		1,640		1,627
6.000%, 05/13/14		5,710		5,782
6.000%, 04/28/15		630		627
5.950%, 12/28/17		100		97
5.625%, 09/23/19		160		150
0.700%, 10/18/16 (B)		5,815		4,527
MUFG Capital Finance 1
6.346%, 07/25/49 (B)		870		879
National Australia Bank
5.350%, 06/12/13 (C)		2,500		2,642
National Bank of Canada
1.650%, 01/30/14 (C)		1,380		1,402
Nationwide Mutual Insurance
5.810%, 12/15/24 (B) (C)		1,975		1,939
NB Capital Trust IV
8.250%, 04/15/27		1,055		978

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
New York Life Global Funding
3.000%, 05/04/15 (C)	$	1,840	$	1,913
New York Life Insurance
6.750%, 11/15/39 (C)		415		513
Nordea Bank (C)
4.875%, 01/14/21		180		187
4.875%, 05/13/21		1,765		1,508
3.700%, 11/13/14		1,010		1,028
Nordea Eiendomskreditt
1.875%, 04/07/14 (C)		1,865		1,889
Northwestern Mutual Life Insurance
6.063%, 03/30/40 (C)		755		889
PNC Funding
2.700%, 09/19/16		885		885
Power Receivables Financial
6.290%, 01/01/12		220		220
Pricoa Global Funding I
5.450%, 06/11/14 (C)		3,400		3,703
Prime Property Fund‡
5.500%, 01/15/14 (C)		1,850		1,863
Protective Life
8.450%, 10/15/39		285		329
Prudential Financial MTN
5.625%, 05/12/41		200		190
Prudential Holdings
8.695%, 12/18/23 (C)		1,300		1,640
Residential Capital
9.625%, 05/15/15		15		12
Royal Bank of Scotland Group
7.648%, 08/31/49 (B)		160		104
7.640%, 09/29/17		900		432
6.400%, 10/21/19		1,190		1,138
5.000%, 11/12/13		250		237
5.000%, 10/01/14		990		922
3.950%, 09/21/15		10		10
Santander US Debt Unipersonal
3.781%, 10/07/15 (C)		100		89
3.724%, 01/20/15 (C) (D)		1,600		1,484
Simon Property Group L.P.‡
5.750%, 12/01/15		910		1,004
SL Green Realty‡
5.000%, 08/15/18		180		174
SLM MTN
5.625%, 08/01/33 (D)		595		474
5.050%, 11/14/14		690		666
5.000%, 04/15/15		120		112
Sparebank 1 Boligkreditt
1.250%, 10/25/13 (C)		745		748
Stadshypotek
1.450%, 09/30/13 (C)		1,245		1,252
Standard Chartered
3.200%, 05/12/16 (C)		1,245		1,234
State Street
4.956%, 03/15/18		1,260		1,333

SEI Institutional Managed Trust / Annual Report / September 30, 2011 81

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sumitomo Mitsui Banking
3.150%, 07/22/15 (C) (D)	$	1,360	$	1,402
3.100%, 01/14/16 (C)		200		206
SunTrust Preferred Capital I
5.853%, 12/15/11 (B)		259		196
Svensk Exportkredit
3.250%, 09/16/14		1,484		1,576
1.750%, 10/20/15		1,820		1,846
Swedbank Hypotek
2.950%, 03/28/16 (C)		800		835
2.125%, 08/31/16 (C)		555		557
Teachers Insurance & Annuity Association of America
6.850%, 12/16/39 (C)		1,300		1,593
TNK-BP Finance
7.500%, 07/18/16 (C)		230		239
Toronto-Dominion Bank
1.625%, 09/14/16 (C)		2,710		2,701
Toyota Motor Credit MTN
3.400%, 09/15/21		1,180		1,190
Travelers
3.900%, 11/01/20		475		487
UBS MTN
4.875%, 08/04/20		320		308
3.875%, 01/15/15		820		817
2.250%, 01/28/14		1,050		1,023
UDR MTN
5.000%, 01/15/12‡		2,000		2,014
US Bancorp MTN
2.450%, 07/27/15		350		359
Wachovia
5.250%, 08/01/14		2,570		2,696
Wachovia Capital Trust III
5.570%, 05/31/16 (B)		2,850		2,337
WEA Finance
7.125%, 04/15/18 (C)		3,000		3,427
6.750%, 09/02/19 (C)		1,230		1,367
4.625%, 05/10/21 (C)		505		482
Wells Fargo
4.600%, 04/01/21		160		171
3.676%, 06/15/16 (D)		680		708
Wells Fargo Bank
4.750%, 02/09/15		2,095		2,183
Wells Fargo Capital X
5.950%, 12/15/36		760		741
Westpac Banking
4.875%, 11/19/19		105		110
3.000%, 12/09/15		1,055		1,072
Woodbourne Capital Trust II
1.360%, 04/08/49 (B) (C)		375		127
Woodbourne Capital Trust III
1.360%, 04/08/49 (B) (C)		500		170
Woodbourne Capital Trust IV
1.360%, 04/08/49 (B) (C)		275		93

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WR Berkley
5.375%, 09/15/20	$	405	$	416
XL Group
5.750%, 10/01/21		300		299
				327,998
Health Care — 1.1%
Amgen
5.650%, 06/15/42		1,060		1,282
Boston Scientific
6.400%, 06/15/16		675		754
Coventry Health Care
5.950%, 03/15/17		1,092		1,224
5.450%, 06/15/21		255		275
Giant Funding
8.250%, 02/01/18 (C)		190		190
Gilead Sciences
4.500%, 04/01/21		925		997
GlaxoSmithKline Capital
5.650%, 05/15/18		810		979
HCA
7.500%, 11/15/95		3,800		2,850
Humana
7.200%, 06/15/18		1,150		1,362
Life Technologies
5.000%, 01/15/21		910		942
Medtronic
4.450%, 03/15/20		730		827
Roche Holdings
7.000%, 03/01/39 (C)		430		615
6.000%, 03/01/19 (C)		1,410		1,723
Sanofi-Aventis
2.625%, 03/29/16		880		911
Stryker
2.000%, 09/30/16		445		447
Tenet Healthcare
8.875%, 07/01/19		900		952
Thermo Fisher Scientific
3.600%, 08/15/21		350		363
3.200%, 03/01/16		435		457
UnitedHealth Group
6.875%, 02/15/38		100		131
6.000%, 06/15/17		51		58
5.800%, 03/15/36		280		324
5.700%, 10/15/40		510		582
3.875%, 10/15/20		530		560
WellPoint
6.800%, 08/01/12		1,000		1,049
5.875%, 06/15/17		2,190		2,505
Wyeth
5.950%, 04/01/37		1,100		1,401
				23,760

82 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Industrials — 1.1%
Allied Waste North America
6.875%, 06/01/17	$	260	$	278
Boeing
4.875%, 02/15/20		1,380		1,575
Burlington Northern Santa Fe
5.750%, 05/01/40		287		338
Caterpillar
5.200%, 05/27/41		785		918
3.900%, 05/27/21		550		593
Cedar Brakes I LLC
8.500%, 02/15/14 (C)		722		746
Complete Production Services
8.000%, 12/15/16		1,005		1,005
Continental Airlines Pass-Through Trust, Ser 1999-2
7.256%, 03/15/20		2,749		2,804
Continental Airlines Pass-Through Trust, Ser 2007-1
5.983%, 04/19/22 (D)		1,610		1,618
Continental Airlines, Ser 2009-1
9.000%, 07/08/16		2,736		2,955
Delta Air Lines Pass-Through Trust, Ser 2007-1
6.821%, 08/10/22		1,437		1,448
Hutchison Whampoa International
5.750%, 09/11/19 (C)		895		961
JetBlue Airways, Ser 2004-2
0.661%, 08/15/16 (B)		2,807		2,484
Kansas City Southern de Mexico
12.500%, 04/01/16		522		599
Lockheed Martin
3.350%, 09/15/21		1,035		1,025
Northrop Grumman
1.850%, 11/15/15		1,140		1,133
Raytheon
3.125%, 10/15/20		430		428
United Air Lines
9.750%, 01/15/17		213		234
United Parcel Service
4.500%, 01/15/13		980		1,029
Verisk Analytics
5.800%, 05/01/21		495		556
Waste Management
7.375%, 05/15/29		330		419
2.600%, 09/01/16		290		291
				23,437
Information Technology — 0.4%
Adobe Systems
4.750%, 02/01/20		587		617
Cisco Systems
5.500%, 01/15/40		270		311

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Fiserv
3.125%, 06/15/16	$	505	$	511
Freescale Semiconductor
10.125%, 12/15/16		60		61
Hewlett-Packard
6.000%, 09/15/41		900		949
3.000%, 09/15/16		359		362
Intel
3.300%, 10/01/21		2,525		2,579
International Business Machines
1.950%, 07/22/16		835		842
Microsoft
5.300%, 02/08/41		1,435		1,767
National Semiconductor
6.600%, 06/15/17		170		203
				8,202
Materials — 0.6%
ArcelorMittal
5.500%, 03/01/21 (D)		371		332
Barrick North America Finance
4.400%, 05/30/21		1,230		1,261
Braskem America Finance
7.125%, 07/22/41 (C)		560		511
CF Industries
7.125%, 05/01/20		70		80
CodelCo
4.750%, 10/15/14 (C)		470		500
Dow Chemical
8.550%, 05/15/19		1,033		1,324
FMG Resources
6.375%, 02/01/16 (C)		120		108
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17		1,390		1,491
Novelis
8.750%, 12/15/20		460		451
Potash Corp of Saskatchewan
4.875%, 03/30/20		280		314
PPG Industries
6.650%, 03/15/18		435		535
5.750%, 03/15/13		435		463
Rio Tinto Finance USA
6.500%, 07/15/18		2,990		3,587
3.750%, 09/20/21		490		488
Steel Dynamics
6.750%, 04/01/15		810		796
Teck Resources
10.250%, 05/15/16		52		61
6.250%, 07/15/41		646		678
Vale Overseas
6.875%, 11/21/36		1,510		1,629
				14,609

SEI Institutional Managed Trust / Annual Report / September 30, 2011 83

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Telecommunication Services — 1.3%
America Movil
6.125%, 03/30/40	$	595	$	619
5.625%, 11/15/17		440		489
5.000%, 03/30/20		750		792
2.375%, 09/08/16		835		807
American Tower
5.050%, 09/01/20		259		259
4.500%, 01/15/18		920		921
AT&T
6.500%, 09/01/37		1,380		1,612
6.450%, 06/15/34		625		719
6.400%, 05/15/38		290		337
5.550%, 08/15/41		1,370		1,475
5.500%, 02/01/18		710		820
5.100%, 09/15/14		1,530		1,680
3.875%, 08/15/21		40		41
AT&T Mobility LLC
6.500%, 12/15/11		1,455		1,471
BellSouth
4.750%, 11/15/12		170		177
British Telecommunications PLC
9.875%, 12/15/30		50		72
Cellco Partnership
8.500%, 11/15/18		520		693
7.375%, 11/15/13		275		308
CenturyLink
7.600%, 09/15/39		493		443
Deutsche Telekom International Finance
5.750%, 03/23/16		1,380		1,520
France Telecom
2.750%, 09/14/16		1,005		997
Frontier Communications
9.000%, 08/15/31		210		179
8.250%, 04/15/17		870		844
Intelsat Jackson Holdings
9.500%, 06/15/16		180		182
8.500%, 11/01/19		250		244
New Cingular Wireless Services
8.125%, 05/01/12		1,595		1,659
Rogers Communications
6.800%, 08/15/18		450		547
6.750%, 03/15/15		1,015		1,187
Sprint Capital
8.750%, 03/15/32		1,010		877
Telefonica Emisiones SAU
6.221%, 07/03/17		110		111
5.877%, 07/15/19		130		128
5.462%, 02/16/21		70		66
5.134%, 04/27/20		790		736
Telefonica Moviles Chile
2.875%, 11/09/15 (C)		505		483

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Telemar Norte Leste SA
5.500%, 10/23/20 (C)	$	820	$	779
Verizon Communications
6.100%, 04/15/18		465		554
6.000%, 04/01/41 (D)		680		827
5.500%, 02/15/18		1,920		2,226
Verizon Global Funding
7.750%, 12/01/30		1,060		1,457
Verizon New York
6.875%, 04/01/12		660		679
				30,017
Utilities — 2.2%
AEP Texas Central Transition Funding
5.090%, 07/01/15		3,600		3,990
Ameren
8.875%, 05/15/14		690		781
Aquila
11.875%, 07/01/12		2,535		2,726
Calpine
7.500%, 02/15/21 (C)		860		822
Carolina Power & Light
3.000%, 09/15/21		760		765
Cedar Brakes II LLC
9.875%, 09/01/13 (C)		920		945
Cleveland Electric Illuminating
8.875%, 11/15/18		685		926
CMS Energy
5.050%, 02/15/18		680		672
2.750%, 05/15/14		415		406
Dominion Resources
8.875%, 01/15/19		1,510		2,013
4.900%, 08/01/41		230		238
1.950%, 08/15/16		265		264
Duke Energy
6.300%, 02/01/14		140		155
Duke Energy Carolinas
5.625%, 11/30/12		1,470		1,542
EDF
4.600%, 01/27/20 (C)		145		152
Enel Finance International
6.000%, 10/07/39 (C)		895		754
Energy Future Holdings
10.000%, 12/01/20		686		669
Exelon
5.625%, 06/15/35		1,060		1,106
Exelon Generation
6.250%, 10/01/39		45		52
5.200%, 10/01/19		40		43
FirstEnergy, Ser B
6.450%, 11/15/11		23		23
FirstEnergy, Ser C
7.375%, 11/15/31 (D)		1,735		2,140

84 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Great Plains Energy
4.850%, 06/01/21	$	143	$	151
Hydro Quebec
2.000%, 06/30/16		1,275		1,301
KCP&L Greater Missouri Operations
8.270%, 11/15/21		2,700		3,387
Korea Hydro & Nuclear Power
3.125%, 09/16/15 (C) (D)		720		704
LG&E and KU Energy
4.375%, 10/01/21 (C)		745		745
Midamerican Energy Holdings
6.500%, 09/15/37		1,445		1,807
6.125%, 04/01/36		330		395
National Grid
6.300%, 08/01/16		355		408
Nisource Finance
6.800%, 01/15/19		2,261		2,637
Oncor Electric Delivery
6.800%, 09/01/18		1,075		1,307
Pacific Gas & Electric
8.250%, 10/15/18		210		280
5.800%, 03/01/37		800		930
Panhandle Eastern Pipeline
8.125%, 06/01/19		2,500		3,169
PPL Electric Utilities
3.000%, 09/15/21		490		489
PPL WEM Holdings
3.900%, 05/01/16 (C)		600		629
Progress Energy
6.850%, 04/15/12		526		543
PSEG Power
2.750%, 09/15/16		320		319
Public Service of Colorado
4.750%, 08/15/41		115		128
Public Service of New Mexico
7.950%, 05/15/18		1,805		2,071
Puget Energy
6.000%, 09/01/21		700		694
PVNGS II Funding
8.000%, 12/30/15		1,733		1,905
Sempra Energy
2.000%, 03/15/14		1,135		1,147
Texas-New Mexico Power
9.500%, 04/01/19 (C)		1,380		1,812
				48,142
Total Corporate Obligations (Cost $608,446) ($ Thousands)				609,228
U.S. TREASURY OBLIGATIONS — 11.4%
U.S. Treasury Bills
0.000%, 11/10/11 (A) (H)		10		10
U.S. Treasury Bonds
8.000%, 11/15/21 (D)		7,743		12,094

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
7.625%, 02/15/25	$	3,895	$	6,273
5.000%, 05/15/37		10,460		14,562
4.750%, 02/15/41		605		827
4.500%, 02/15/36 (D)		3,918		5,073
4.375%, 11/15/39 to 05/15/41 (D)		28,026		36,186
4.250%, 11/15/40 (D)		2,217		2,804
3.875%, 08/15/40 (H)		24,080		28,610
3.750%, 08/15/41		11,197		13,036
3.543%, 02/15/41 (A)		6,560		2,653
U.S. Treasury Inflation Protected Security
3.875%, 04/15/29		522		786
3.625%, 04/15/28		2,105		3,028
3.000%, 07/15/12		7,388		7,596
2.500%, 01/15/29		1,863		2,391
2.375%, 01/15/25 to 01/15/27 (I)		1,181		1,463
2.125%, 02/15/41 (D)		5,380		6,871
2.000%, 01/15/26		91		108
1.750%, 01/15/28		54		63
U.S. Treasury Notes
4.250%, 11/15/17		5,705		6,728
3.125%, 05/15/21		5,003		5,553
2.125%, 08/15/21 (D)		13,211		13,444
1.875%, 02/28/14		2,100		2,176
1.875%, 09/30/17		4,335		4,501
1.500%, 07/31/16 to 08/31/18 (D)		18,660		19,128
1.375%, 09/30/18		1,496		1,489
1.000%, 08/31/16 to 09/30/16 (D)		40,808		40,891
0.625%, 07/15/14		7,287		7,331
0.500%, 05/31/13		100		100
0.375%, 06/30/13 (D)		1,739		1,743
0.375%, 07/31/13		1,462		1,465
0.250%, 09/15/14		2,183		2,172
Total U.S. Treasury Obligations (Cost $225,550) ($ Thousands)				251,155
ASSET-BACKED SECURITIES — 7.2%
Automotive — 0.2%
Ally Auto Receivables Trust, Ser 2011-4, Cl A4
1.140%, 06/15/16		675		673
Avis Budget Rental Car Funding AESOP, Ser 2010- 3A, Cl A
4.640%, 05/20/16 (C)		600		643
Avis Budget Rental Car Funding AESOP, Ser 2010- 5A, Cl A
3.150%, 03/20/17 (C)		140		144
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4
3.320%, 02/15/17		102		104

SEI Institutional Managed Trust / Annual Report / September 30, 2011 85

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Hertz Vehicle Financing, Ser 2009-2A, Cl A2
5.290%, 03/25/16 (C)	$	1,100	$	1,191
Hyundai Auto Receivables Trust, Ser 2011-C, Cl A4
1.300%, 02/15/18		601		601
MMCA Automobile Trust, Ser 2011-A, Cl A4
2.020%, 10/17/16 (C)		492		503
World Omni Auto Receivables Trust, Ser 2008-A, Cl A4
4.740%, 10/15/13		871		888
				4,747
Credit Cards — 0.7%
Capital One Multi-Asset Execution Trust, Ser 2004-A4, Cl A4
0.449%, 03/15/17 (B)		316		316
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A
0.309%, 09/15/15 (B)		602		601
Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5
0.289%, 01/15/16 (B)		127		127
Chase Issuance Trust, Ser 2005-A6, Cl A6
0.299%, 07/15/14 (B)		450		450
Chase Issuance Trust, Ser 2005-A11, Cl A
0.299%, 12/15/14 (B)		1,395		1,395
Citibank Credit Card Issuance Trust, Ser 2005- A2, Cl A2
4.850%, 03/10/17		200		226
Citibank Omni Master Trust, Ser 2009-A8, Cl A8
2.329%, 05/16/16 (B) (C)		2,109		2,127
Citibank Omni Master Trust, Ser 2009-A14A, Cl A14
2.979%, 08/15/18 (B) (C)		3,888		4,068
DBRR Trust, Ser 2011-LC2
4.537%, 04/12/21		1,320		1,379
Discover Card Master Trust, Ser 2009-A1, Cl A1
1.529%, 12/15/14 (B)		583		588
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A
3.690%, 07/15/15		739		756
MBNA Master Credit Card Trust, Ser 1997-B, Cl A
0.389%, 08/15/14 (B)		2,697		2,697
World Financial Network Credit Card Master Trust, Ser 2009-A, Cl A
4.600%, 09/15/15		1,206		1,211
				15,941

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Mortgage Related Securities — 1.1%
ABS Home Equity Loan Trust, Ser 2001-HE3, Cl A1
0.769%, 11/25/31 (B)	$	337	$	273
AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2
0.505%, 04/25/28 (B)		50		38
AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A
0.475%, 03/25/30 (B)		3,059		976
Bear Stearns Asset-Backed Securities Trust, Ser 2000-2, Cl M2
8.280%, 08/25/30		2,635		2,557
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1
0.335%, 03/25/37 (B)		1,202		1,157
Centex Home Equity, Ser 2006-A, Cl AV4
0.485%, 06/25/36 (B)		4,917		2,617
Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A
0.275%, 12/25/36 (B)		94		91
Conseco Finance, Ser 2001-D, Cl A5
6.690%, 11/15/32 (B)		764		771
Contimortgage Home Equity Trust, Ser 1997-1, Cl A9
7.050%, 03/15/28		1		1
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28		6		5
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1
0.705%, 05/25/39 (B) (C)		1,208		993
HSBC Home Equity Loan Trust, Ser 2005-3, Cl A1
0.491%, 01/20/35 (B)		2,536		2,336
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.390%, 01/20/36 (B)		3,362		3,132
HSBC Home Equity Loan Trust, Ser 2006-3, Cl A2V
0.361%, 03/20/36 (B)		530		528
Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A
0.275%, 01/25/37 (B)		43		42
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1
0.285%, 12/25/36 (B)		14		14
Option One Mortgage Loan Trust, Ser 2001-4, Cl A
0.835%, 01/25/32 (B)		270		235

86 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Option One Mortgage Loan Trust, Ser 2007-1, Cl 2A3
0.375%, 01/25/37 (B)	$	9,500	$	3,029
Option One Mortgage Loan Trust, Ser 2007-6, Cl 2A4
0.485%, 07/25/37 (B)		4,574		1,460
Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7
8.790%, 02/25/25		857		844
Soundview Home Equity Loan Trust, Ser 2006-EQ2, Cl A3
0.395%, 01/25/37 (B)		6,450		2,309
Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1
4.000%, 08/25/35 (B) (C)		159		155
Truman Capital Mortgage Loan Trust, Ser 2006-1, Cl A
0.495%, 03/25/36 (B) (C)		360		249
				23,812
Other Asset-Backed Securities — 5.2%
Aircastle Aircraft Lease Backed Trust, Ser 2007-1A, Cl G1
0.486%, 06/14/37 (B) (C)		2,526		2,248
Ally Master Owner Trust, Ser 2011-1, Cl A2
2.150%, 01/15/16		1,330		1,351
Ally Master Owner Trust, Ser 2011-3, Cl A2
1.810%, 05/15/16		515		519
Ally Master Owner Trust, Ser 2011-4, Cl A2
1.540%, 09/15/16		750		749
Babcock & Brown Air Funding I, Ser 2007-1A, Cl G1
0.529%, 11/14/33 (B) (C)		3,089		2,726
Brazos Higher Education Authority, Ser 2010-1, Cl A2
1.457%, 02/25/35 (B)		2,200		2,097
Brazos Higher Education Authority, Ser 2011-2, Cl A3
1.247%, 10/27/36 (B)		1,000		910
Carrington Mortgage Loan Trust, Ser 2005-NC4, Cl A3
0.635%, 09/25/35 (B)		3,528		3,233
CIT Education Loan Trust, Ser 2007-1, Cl A
0.448%, 03/25/42 (B) (C)		2,215		2,028
Citicorp Residential Mortgage Securities, Ser 2007-1, Cl A5
6.046%, 03/25/37		1,970		1,310
Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1
8.130%, 08/15/31 (B)		624		603

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1
0.835%, 06/25/33 (B)	$	38	$	33
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1
0.695%, 10/25/35 (B)		3,426		3,289
Countrywide Asset-Backed Certificates, Ser 2007-5, Cl 2A1
0.335%, 09/25/47 (B)		945		925
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2
1.035%, 10/25/47 (B)		4,808		3,488
Countrywide Home Equity Loan Trust, Ser 2002-E, Cl A
0.489%, 10/15/28 (B)		55		53
Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2
0.529%, 02/15/34 (B)		838		500
Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A
0.469%, 12/15/35 (B)		1,551		749
Countrywide Home Equity Loan Trust, Ser 2006-HW, Cl 2A1B
0.336%, 11/15/36 (B)		206		156
Countrywide Home Equity Loan Trust, Ser 2007-GW, Cl A
0.779%, 11/15/28 (B)		167		133
Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A
5.600%, 09/25/31		433		441
Educational Funding of the South, Ser 2011-1, Cl A2
0.903%, 04/25/35 (B)		2,100		1,944
First Horizon ABS Trust, Ser 2004-HE2, Cl A
0.455%, 02/25/34 (B)		855		579
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1
2.120%, 02/15/16		765		779
GE Seaco Finance, Ser 2005-1A, Cl A
0.480%, 11/17/20 (B) (C)		3,281		3,093
Genesis Funding, Ser 2006- 1A, Cl G1
0.470%, 12/19/32 (B) (C)		2,937		2,592
Goal Capital Funding Trust, Ser 2006-1, Cl A3
0.432%, 11/25/26 (B)		2,150		2,027
Green Tree Financial, Ser 1993-4, Cl A5
7.050%, 01/15/19		1,337		1,351
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27		432		441

SEI Institutional Managed Trust / Annual Report / September 30, 2011 87

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Green Tree, Ser 2008-MH1, Cl A2
8.970%, 04/25/38 (B) (C)	$	2,500	$	2,797
Green Tree, Ser 2008-MH1, Cl A3
8.970%, 04/25/38 (B) (C)		1,064		1,136
Greenpoint Manufactured Housing, Ser 1999-2, Cl A2
3.104%, 03/18/29 (B)		675		540
Greenpoint Manufactured Housing, Ser 1999-3, Cl 2A2
3.713%, 06/19/29 (B)		350		280
Greenpoint Manufactured Housing, Ser 1999-3, Cl 1A7
7.270%, 06/15/29		1,300		1,213
Greenpoint Manufactured Housing, Ser 1999-4, Cl A2
3.686%, 02/20/30 (B)		375		300
Greenpoint Manufactured Housing, Ser 2000-6
2.187%, 11/22/31		500		414
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2
3.706%, 02/20/32 (B)		575		376
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2
3.187%, 03/13/32 (B)		700		445
GSAMP Trust, Ser 2003-SEA, Cl A1
0.635%, 02/25/33 (B)		2,436		1,742
GSAMP Trust, Ser 2006-SEA1, Cl A
0.535%, 05/25/36 (B) (C)		480		390
HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3
0.815%, 11/25/35 (B)		3,552		2,730
Illinois Student Assistance Commission, Ser 2010-1, Cl A3
1.153%, 07/25/45 (B)		3,100		2,975
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4
5.270%, 09/15/18		1,828		1,908
Lehman XS Trust, Ser 2005- 5N, Cl 1A1
0.535%, 11/25/35 (B)		1,476		1,080
Lehman XS Trust, Ser 2006-GP1, Cl A4A
0.565%, 05/25/46 (B)		5,081		1,082
Master Specialized Loan Trust, Ser 2007-2, Cl A
0.585%, 05/25/37 (B) (C)		6,984		2,178
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/38		3,109		3,133
Morgan Stanley Dean Witter Capital Heloc Trust, Ser 2005-1, Cl A
0.425%, 07/25/17 (B)		400		333

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Nelnet Student Loan Trust, Ser 2005-2, Cl A5
0.455%, 03/23/37 (B)	$	535	$	485
Nelnet Student Loan Trust, Ser 2006-1, Cl A4
0.393%, 11/23/22 (B)		914		892
Nelnet Student Loan Trust, Ser 2006-2, Cl A4
0.333%, 10/26/26 (B)		1,157		1,147
Nelnet Student Loan Trust, Ser 2007-1, Cl A3
0.382%, 05/27/25 (B)		1,592		1,456
Nelnet Student Loan Trust, Ser 2008-3, Cl A4
1.962%, 11/25/24 (B)		1,854		1,914
Origen Manufactured Housing, Ser 2006-A, Cl A2
3.708%, 10/15/37 (B)		3,050		1,921
Origen Manufactured Housing, Ser 2007-A, Cl A2
3.708%, 04/15/37 (B)		5,900		3,599
Park Place Securities, Ser 2004-WCW1, Cl M2
0.915%, 09/25/34 (B)		3,747		3,331
PG&E Energy Recovery Funding, Ser 2005-1, Cl A4
4.370%, 06/25/14		224		227
Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1
1.330%, 12/25/33 (B)		188		128
Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII
0.915%, 03/25/33 (B)		48		32
RSB Bondco, Ser 2007-A, Cl A3
5.820%, 06/28/19		775		927
SLC Student Loan Trust, Ser 2007-2, Cl A2
0.686%, 05/15/28 (B)		1,428		1,372
SLM Student Loan Trust, Ser 2003-4, Cl A5A
1.097%, 03/15/33 (B) (C)		167		162
SLM Student Loan Trust, Ser 2003-11, Cl A6
0.637%, 12/15/25 (B) (C)		850		799
SLM Student Loan Trust, Ser 2003-14, Cl A5
0.483%, 01/25/23 (B)		2,128		2,094
SLM Student Loan Trust, Ser 2004-3, Cl A5
0.423%, 07/25/23 (B)		594		575
SLM Student Loan Trust, Ser 2005-6, Cl A5A
0.363%, 07/27/26 (B)		1,621		1,572

88 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SLM Student Loan Trust, Ser 2006-4, Cl A5
0.353%, 10/25/25 (B)	$	315	$	307
SLM Student Loan Trust, Ser 2006-5, Cl A5
0.363%, 01/25/27 (B)		1,540		1,454
SLM Student Loan Trust, Ser 2006-5, Cl A6B
0.373%, 10/25/40 (B)		1,980		1,681
SLM Student Loan Trust, Ser 2007-4, Cl A3
0.313%, 01/25/22 (B)		431		428
SLM Student Loan Trust, Ser 2008-4, Cl A2
1.303%, 07/25/16 (B)		766		775
SLM Student Loan Trust, Ser 2008-6, Cl A2
0.803%, 10/25/17 (B)		347		347
SLM Student Loan Trust, Ser 2008-9, Cl A
1.753%, 04/25/23 (B)		1,107		1,138
Small Business Administration, Ser 2003-P10A, Cl 1
4.524%, 02/10/13		395		409
SMS Student Loan Trust, Ser 2000-A, Cl A2
0.443%, 10/28/28 (B)		816		813
South Carolina Student Loan, Ser 2005, Cl A2
0.446%, 12/01/20 (B)		1,850		1,745
Structured Asset Securities, Ser 2007-BC2, Cl A2
0.325%, 03/25/37 (B)		1,629		1,575
Structured Asset Securities, Ser 2008-BC4, Cl A3
0.485%, 11/25/37 (B)		2,597		2,428
TAL Advantage, Ser 2006-1A
0.421%, 04/20/21 (B) (C)		710		646
TAL Advantage, Ser 2010-2A, Cl A
4.300%, 10/20/25 (C)		1,431		1,357
TAL Advantage, Ser 2011-1A, Cl A
4.600%, 01/20/26 (C)		233		233
Textainer Marine Containers, Ser 2005-1A, Cl A
0.480%, 05/15/20 (B) (C)		1,659		1,543
Textainer Marine Containers, Ser 2011-1A, Cl A
4.700%, 06/15/26 (C)		1,658		1,667
Trinity Rail Leasing, Ser 2006-1A, Cl A1
5.900%, 05/14/36 (C)		1,225		1,331
Trip Rail Master Funding, Ser 2011-1A, Cl A1A
4.370%, 07/15/41 (C)		2,157		2,168

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Triton Container Finance, Ser 2006-1A, Cl N
0.400%, 11/26/21 (B) (C)	$	2,273	$	2,072
Triton Container Finance, Ser 2007-1A, Cl N
0.370%, 02/26/19 (B) (C)		1,324		1,231
				113,380
Total Asset-Backed Securities (Cost $173,589) ($ Thousands)				157,880
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.8%
FHLB
5.500%, 07/15/36		1,580		2,039
0.321%, 02/10/12 (A)		4,560		4,555
FICO STRIPS
9.800%, 04/06/18		850		1,263
9.700%, 04/05/19		1,050		1,608
8.600%, 09/26/19		2,490		3,688
2.648%, 12/27/15 (A)		1,745		1,658
1.868%, 02/08/13 (A)		2,225		2,206
3.448%, 02/08/18 to 09/26/19 (A)		11,780		10,402
FNMA
7.918%, 10/09/19 (A)		1,520		1,156
6.250%, 05/15/29		2,110		2,992
5.250%, 08/01/12		1,860		1,937
Resolution Funding STRIPS
3.315%, 01/15/16 (A)		2,730		2,601
Tennessee Valley Authority
5.250%, 09/15/39		880		1,127
4.625%, 09/15/60		1,370		1,659
3.875%, 02/15/21		1,510		1,700
Total U.S. Government Agency Obligations (Cost $35,880) ($ Thousands)				40,591
MUNICIPAL BONDS — 1.3%
Birmingham Commercial Development Authority, Ser A, RB Callable 10/01/20 @ 100
5.500%, 04/01/41		70		75
Brazos Higher Education Authority, Ser 2006-2, RB
1.726%, 06/25/42 (B)		1,250		1,050
City of Chicago, O’Hare International Airport Revenue, Ser A, RB Callable 01/01/21 @ 100
5.625%, 01/01/35		90		99
City of Chicago, O’Hare International Airport Revenue, Ser C, RB Callable 01/01/21 @ 100
5.500%, 01/01/31		190		208

SEI Institutional Managed Trust / Annual Report / September 30, 2011 89

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
County of Clark Nevada, Ser A, RB, AGM Callable 01/01/20 @ 100
5.250%, 07/01/39	$	110	$	114
County of Clark Nevada, Ser C, RB
6.820%, 07/01/45		595		737
Florida Educational Loan Marketing, Sub-Ser B, AMT, RB Callable 11/08/11 @ 100
0.555%, 12/01/36 (B)		2,400		1,998
Los Angeles Community College District, GO
6.750%, 08/01/49		570		764
Los Angeles Department of Airports, Ser A, RB Callable 05/15/19 @ 100
5.250%, 05/15/39		120		130
Los Angeles Department of Airports, Ser A, RB Callable 05/15/20 @ 100
5.000%, 05/15/35		150		159
Los Angeles Department of Water & Power, RB
6.574%, 07/01/45		840		1,090
Metropolitan Atlanta Rapid Transit Authority, RB Callable 07/01/19 @ 100
5.000%, 07/01/39		100		104
Municipal Electric Authority of Georgia, RB
6.655%, 04/01/57		320		338
6.637%, 04/01/57		560		598
New Jersey State Turnpike Authority, RB
7.102%, 01/01/41		730		977
New York Liberty Development, RB
5.250%, 10/01/35		210		214
North Texas Tollway Authority, RB
6.718%, 01/01/49		653		828
Pennsylvania Higher Education Assistance Agency, RB
1.113%, 05/01/46 (B)		4,825		4,523
San Mateo County Community College District, Ser B, GO Callable 09/01/16 @ 100
5.000%, 09/01/38		40		42
Santa Clara Valley Transportation Authority, RB
5.876%, 04/01/32		690		825
State of California, GO
7.600%, 11/01/40		725		897
7.300%, 10/01/39		2,735		3,252
6.650%, 03/01/22		1,375		1,592

Description		Face Amount ($ Thousands) (1)		Market Value ($ Thousands)
State of Illinois, GO
5.877%, 03/01/19		$	1,200	$	1,281
5.665%, 03/01/18			3,180		3,423
5.365%, 03/01/17			480		513
5.100%, 06/01/33			2,725		2,463
Total Municipal Bonds (Cost $25,478) ($ Thousands)					28,294
SOVEREIGN DEBT — 0.8%
Chile Government International Bond
3.250%, 09/14/21			745		726
Hungary Government International Bond
7.625%, 03/29/41			148		144
Japan Finance Organization for Municipalities
4.000%, 01/13/21			1,800		2,001
Malaysia Government Bond
4.262%, 09/15/16	MYR		9,750		3,169
Mexican Bonos
8.000%, 06/11/20	MXP		57,030		4,566
Mexico Government International Bond
5.750%, 10/12/10			976		961
5.125%, 01/15/20 (D)			623		675
Province of Quebec Canada
2.750%, 08/25/21			865		857
Qatar Government International Bond
4.000%, 01/20/15 (C)			1,420		1,495
RSHB Capital
6.299%, 05/15/17 (C)			700		689
Russian Foreign Bond — Eurobond
7.500%, 03/31/30			142		160
United Mexican States MTN
6.050%, 01/11/40			248		280
United Mexican States, Ser A MTN
7.500%, 04/08/33			176		233
6.750%, 09/27/34			748		920
Total Sovereign Debt (Cost $17,172) ($ Thousands)					16,876
LOAN PARTICIPATIONS — 0.7%
Allison Transmission
2.980%, 08/07/14			896		843
Aramark
2.244%, 01/26/14			121		117
0.036%, 01/26/14			18		17
Aramark LOC
0.089%, 01/26/14			12		11

90 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Aramark, Term Loan B
3.496%, 07/26/16	$	267	$	258
Charter Communications, Term C Loan
3.620%, 09/06/16		1,286		1,241
DAE Aviation, Tranche B-1
5.260%, 07/31/14		287		270
DAE Aviation, Tranche B-2
5.260%, 09/27/14		276		259
First Data
4.235%, 03/24/18		1,515		1,224
First Data, Term Loan B-2
2.985%, 09/24/14		1,837		1,592
Harrah’s Operating, Term Loan B-2
3.253%, 01/28/15		394		327
3.235%, 01/28/15		212		176
Insight Midwest
2.000%, 04/07/14		222		218
1.970%, 04/07/14		384		376
Las Vegas Sands, Delayed Draw
2.720%, 11/23/16		233		222
Las Vegas Sands, Term B Loan
2.720%, 11/23/16		1,029		981
Pinafore
4.250%, 09/21/16		451		441
Sungard Data Systems
3.894%, 02/28/16		238		229
3.858%, 02/28/16		119		114
Sunguard
3.899%, 02/28/16		737		709
3.871%, 02/28/16		51		49
Telesat Canada, U.S. Term I Loan
3.240%, 10/31/14		1,031		998
Telesat Canada, U.S. Term II Loan
3.240%, 10/31/14		89		86
Texas Competitive Electric Holdings, Extending Term Loan
4.772%, 10/10/17		959		638
4.726%, 10/10/17		901		600
Tribune
3.930%, 06/04/09 (G)		366		189
Univision Communications
4.471%, 09/29/14		2,185		1,983
UPC Financing Partnership
3.688%, 12/30/16		85		81
1.972%, 12/31/14		648		612
Total Loan Participations (Cost $16,761) ($ Thousands)				14,861

Description	Shares/Contracts			Market Value ($ Thousands)
PREFERRED STOCK — 0.0%
Citigroup Capital XII (B)		41		$	1,031
Citigroup Capital XIII (B)		11			280
Total Preferred Stock (Cost $1,293) ($ Thousands)					1,311
COMMON STOCK — 0.0%
SemGroup, Cl A*		1,294			26
Total Common Stock (Cost $40) ($ Thousands)					26
	Number of Warrants
WARRANT — 0.0%
SemGroup Warrants, Expires 2014*		1,362			6
Total Warrant (Cost $0) ($ Thousands)					6
PURCHASED OPTION — 0.0%
CDX.NA.HY.16 Future put Expires 12/12/11, Strike Price $94*		6,900,000			30
Total Purchased Option (Cost $48) ($ Thousands)					30
AFFILIATED PARTNERSHIP — 4.2%
SEI Liquidity Fund, L.P.
0.130%**† (F)		95,555,579			92,036
Total Affiliated Partnership (Cost $95,556) ($ Thousands)					92,036
CASH EQUIVALENT — 10.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		220,468,811			220,469
Total Cash Equivalent (Cost $220,469) ($ Thousands)					220,469
Total Investments — 118.3% (Cost $2,578,512) ($ Thousands)				$	2,604,249
WRITTEN OPTIONS — 0.0%
CDX.NA.HY.16 Future Put, Expires 08/17/91, Strike Price $94.00*		(6,900,000	)		(411	)
December 2011 10 Year U.S. Treasury Bond Future Put, Expires 11/19/11, Strike Price $128.00*		(121	)		(26	)
December 2011 10 Year U.S. Treasury Bond Future Call, Expires 11/19/11, Strike Price $142.00*		(121	)		(442	)

SEI Institutional Managed Trust / Annual Report / September 30, 2011 91

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Continued)

September 30, 2011

Description	Contracts			Market Value ($ Thousands)
November 2020 U.S. CPI Consumers NSA Call, Expires: 11/21/20 Strike Price Inflation: 0.00%*		(3,990,000	)	$	(27	)
Total Written Options (Premiums Received $(789)) ($ Thousands)					(906	)

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$		50			Dec-2012	$	179
U.S. 10-Year Treasury Note		22			Dec-2011		(6	)
U.S. 2-Year Treasury Note		(252	)		Jan-2012		52
U.S. 5-Year Treasury Note		(154	)		Dec-2011		45
U.S. Long Treasury Bond		(105	)		Dec-2011		(386	)
U.S. Ultra Long Treasury Bond		154			Jan-2012		2,343
						$	2,227

For the year ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period

A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2011, is as follows:

Maturity Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
11/16/11		EUR	15,455		USD	21,979	$	1,252
11/16/11		USD	6,937		CAD	6,866		(354	)
							$	898

A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2011, is as follows:

Counterparty	Settlement Date		Currency to Deliver ($ Thousands)		Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Citigroup Global Markets		11/16/11		10,246		14,591	$	851
Citigroup Global Markets		11/16/11		6,937		6,866		(354	)
Morgan Stanley & Co, Inc		11/16/11		5,209		7,387		401
							$	898

A summary of outstanding swap agreements held by the Fund at September 30, 2011, is as follows:

Credit Default Swaps
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate			Termination Date		Notional Amount (Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays Bank PLC	France 4.25 04/19	SELL		0.25			09/20/16		(6,125	)	$	(104	)
Barclays Bank PLC	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		2,590			(868	)
Credit Suisse	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/49		3,055			(985	)
Deutsche Bank	Cmbx.Na.Am.1	SELL		0.50			10/12/52		(1,640	)		(123	)
Deutsche Bank	Cmbx.Na.Am.4	BUY		(0.50	)		02/17/51		984			152
Deutsche Bank	DR Horton Inc., 5.375% 6/15/12	BUY		(1.00	)		09/20/16		410			32
Deutsche Bank	DR Horton Inc., 5.375% 6/15/12	BUY		(1.00	)		09/20/16		375			29
Deutsche Bank	Metlife Inc., 5.0% 06/15/15	SELL		1.00			06/20/18		(1,590	)		(168	)
Goldman Sachs	DR Horton, Inc., 5.375% 6/15/12	BUY		(1.00	)		09/20/16		405			32
Goldman Sachs	DR Horton, Inc., 5.375% 6/15/12	BUY		(1.00	)		09/20/16		370			29
											$	(1,974	)

Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount (Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
Deutsche Bank	0.00%	3-Month LIBOR	02/15/41		5,780,000	$	(234	)
Deutsche Bank	IOS.FN30.450.10	1 Month LIBOR	01/12/41		3,723,883		(44	)
Morgan Stanley	3.93%	3-Month LIBOR	05/15/41		3,225,000		(847	)
Morgan Stanley	IOS.FN30.500.10	1 Month LIBOR	01/12/41		2,684,323		(26	)
Morgan Stanley	IOS.FN30.550.08	1 Month LIBOR	01/12/39		2,607,222		(40	)
						$	(1,191	)

92 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Total Return Swaps
Counterparty	Reference Entity/Obligation	Fund Pays	Fund Receives	Termination Date		Notional Amount (Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
Morgan Stanley	TRX.NA.AAA.1.DEC11	Negative Index Spread Differential	Commencing Index Spread		01/01/12		780	$	(7	)
Morgan Stanley	TRX.NA.AAA.1.DEC11	Negative Index Spread Differential	Commencing Index Spread		01/01/12		430		(4	)
								$	(11	)

Percentages are based on a Net Assets of $2,200,836 ($ Thousands)

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011

(1) In U.S. dollars unless otherwise indicated.

† Investment in Affiliated Security (see Note 5).

‡ Real Estate Investment Trust

(A) The rate reported is the effective yield at time of purchase.

(B) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2011. The date reported on the Schedule of Investments is the final maturity date.

(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) This security or a partial position of this security is on loan at September 30, 2011. The total value of securities on loan at September 30, 2011 was $93,143 ($ Thousands).

(E) Security in default on interest payments.

(F) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of September 30, 2011 was $92,036 ($ Thousands).

(G) Unsettled bank loan. Interest rate not available.

(H) Security, or portion thereof, has been pledged as collateral on open futures contracts.

(I) Security, or portion thereof, has been pledged as collateral on open swaps contracts.

ABS — Asset-Backed Security

AGM — Assured Guaranty Municipal

AMT — Alternative Minimum Tax

ARM — Adjustable Rate Mortgage

CAD — Canadian Dollar

Cl — Class

CMO — Collateralized Mortgage Obligation

EUR — Euro

FDIC — Federal Deposit Insurance Corporation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Financing 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

LOC — Line of Credit

L.P. — Limited Partnership

LIBOR — London Inter Bank Offered Rate

MTN — Medium Term Note

MYR — Malaysian Ringgit

MXP — Mexican Peso

NCUA — National Credit Union Administration

NY — New York

PLC — Public Limited Company

PO — Principal Only

RB — Revenue Bond

REIT — Real Estate Investment Trust

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

USD — United States Dollar

Amounts designated as “—” are $0 or have been rounded to $0.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 93

SCHEDULE OF INVESTMENTS

Core Fixed Income Fund (Concluded)

September 30, 2011

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	1,171,486	$	—	$	1,171,486
Corporate Obligations		—		609,225		3		609,228
U.S. Treasury Obligations		—		251,155		—		251,155
Asset-Backed Securities		—		157,880		—		157,880
U.S. Government Agency Obligations		—		40,591		—		40,591
Municipal Bonds		—		28,294		—		28,294
Sovereign Debt		—		16,876		—		16,876
Loan Participations		—		14,861		—		14,861
Preferred Stock		1,311		—		—		1,311
Warrant		—		6		—		6
Purchased Option		30		—		—		30
Common Stock		26		—		—		26
Affiliated Partnership		—		92,036		—		92,036
Cash Equivalent		220,469		—		—		220,469
Total Investments in Securities	$	221,836	$	2,382,410	$	3	$	2,604,249

Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*	$	2,227		$	—		$	—	$	2,227
Written Options		(468	)		(438	)		—		(906	)
Forwards		—			898			—		898
Credit Default Swaps		—			(1,974	)		—		(1,974	)
Total Return Swaps		—			(11	)		—		(11	)
Interest Rate Swaps		—			(1,191	)		—		(1,191	)
Total Other Financial Instruments	$	1,759		$	(2,716	)	$	—	$	(957	)

* Futures contracts, forwards and swaps are valued at the unrealized appreciation (depreciation) on the instruments.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

	Investments in Mortgage-Backed Securities
Beginning balance as of October 1, 2010	$	5,118
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		—
Net purchases/sales		—
Net transfer in and/or out of Level 3		(5,118	)
Ending balance as of September 30, 2011	$	—
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	—

	Investments in Corporate Obligations
Beginning balance as of October 1, 2010	$	3,285
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		—
Net purchases/sales		—
Net transfer in and/or out of Level 3		(3,282	)
Ending balance as of September 30, 2011	$	3
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	—

	Investments in Loan Participations
Beginning balance as of October 1, 2010	$	818
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		2
Net purchases/sales		(10	)
Net transfer in and/or out of Level 3		(810	)
Ending balance as of September 30, 2011	$	—
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	—

During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

94 SEI Institutional Managed Trust / Annual Report / September 30, 2011

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 51.2%
Agency Mortgage-Backed Obligations — 41.4%
FHLB CMO, Ser 2007-1067, Cl 1
5.300%, 06/15/12	$	216	$	220
FHLMC
11.000%, 02/17/21		394		441
10.000%, 03/17/26 to 10/01/30		1,308		1,549
7.500%, 01/01/32 to 09/01/38		1,563		1,815
6.500%, 10/01/31 to 09/01/38		2,584		2,891
6.000%, 08/01/15 to 10/01/38		6,655		7,336
5.500%, 08/23/17 to 03/01/38		11,166		12,222
5.000%, 03/01/34 to 08/01/41		10,532		11,399
4.500%, 04/01/35 to 10/01/41		14,290		15,317
4.000%, 10/01/33 to 04/01/41		11,932		12,569
3.500%, 12/01/25		3,298		3,441
FHLMC ARM (A)
6.398%, 02/01/37		285		307
6.347%, 10/01/37		446		489
6.101%, 06/01/37		49		54
6.056%, 10/01/37		133		140
6.012%, 04/01/37 to 10/01/37		279		302
6.004%, 11/01/36		210		227
5.992%, 04/01/37		228		243
5.983%, 06/01/38		482		521
5.961%, 01/01/37		824		890
5.949%, 11/01/36		69		73
5.942%, 07/01/37		383		415
5.929%, 06/01/36 to 03/01/37		593		635
5.880%, 03/01/37		21		23
5.794%, 11/01/36		596		629
5.767%, 07/01/38		251		272
5.748%, 05/01/37		378		404
5.739%, 05/01/37		691		735
5.729%, 12/01/36		397		422
5.690%, 03/01/36		96		104
5.679%, 03/01/36		104		112

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.673%, 06/01/37	$	359	$	388
5.655%, 04/01/37		86		91
5.599%, 08/01/39		380		412
5.591%, 10/01/38		93		101
5.295%, 05/01/38		293		312
5.058%, 07/01/36		351		377
5.012%, 05/01/37		495		526
4.986%, 01/01/35		293		314
4.962%, 10/01/36		395		416
4.917%, 02/01/36		768		820
4.294%, 12/01/36		608		643
4.263%, 10/01/36		1,151		1,217
3.263%, 03/01/36		948		1,012
FHLMC CMO, Ser 1591, Cl PV
6.250%, 10/15/23		1,270		1,345
FHLMC CMO, Ser 1998-2043, Cl CJ
6.500%, 04/15/28		571		661
FHLMC CMO, Ser 2002-2399, Cl XG
6.500%, 01/15/32		566		655
FHLMC CMO, Ser 2002-48, Cl 1A
6.318%, 07/25/33 (A)		8		9
FHLMC CMO, Ser 2003-57, Cl 1A3
7.500%, 07/25/43		95		111
FHLMC CMO, Ser 2004-59, Cl 1A3
7.500%, 10/25/43		124		145
FHLMC CMO, Ser 2004-60, Cl 1A3
7.500%, 03/25/44		130		149
FHLMC CMO, Ser 2005-2945, Cl SA
11.882%, 03/15/20 (A)		102		120
FHLMC CMO, Ser 2005-2953, Cl PG
5.500%, 03/15/35		549		647
FHLMC CMO, Ser 2005-2980, Cl QA
6.000%, 05/15/35		217		244
FHLMC CMO, Ser 2005-3028, Cl PG
5.500%, 09/15/35		129		146
FHLMC CMO, Ser 2005-3035, Cl PA
5.500%, 09/15/35		57		64
FHLMC CMO, Ser 2005-3077, Cl TO, PO
0.981%, 04/15/35		272		263
FHLMC CMO, Ser 2006-3153, Cl EO, PO
2.182%, 05/15/36		216		202
FHLMC CMO, Ser 2007-3316, Cl GD
5.500%, 06/15/35		750		820
FHLMC CMO, Ser 2007-3385, Cl SN, IO
5.771%, 11/15/37 (A)		362		38
FHLMC CMO, Ser 2008-3451, Cl SA, IO
5.821%, 05/15/38 (A)		456		54
FHLMC CMO, Ser 2008-3455, Cl AC
5.000%, 06/15/38		457		499

SEI Institutional Managed Trust / Annual Report / September 30, 2011 95

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 2008-3461, Cl LZ
6.000%, 06/15/38	$	243	$	281
FHLMC CMO, Ser 2009-3508, Cl PK
4.000%, 02/15/39		132		140
FHLMC CMO, Ser 2009-3510, Cl OD, PO
3.502%, 02/15/37		240		215
FHLMC CMO, Ser 2009-3598, Cl MA
4.500%, 11/15/38		308		325
FHLMC CMO, Ser 2009-3604, Cl PO, PO
2.231%, 05/15/36		446		417
FHLMC CMO, Ser 2009-3607, Cl TO, PO
3.797%, 10/15/39		233		205
FHLMC CMO, Ser 2009-3613, Cl HJ
5.500%, 12/15/39		2,070		2,273
FHLMC CMO, Ser 2010-3621, PO
1.537%, 01/15/40		164		156
FHLMC CMO, Ser 2010-3626, Cl MB
5.000%, 03/15/32		162		175
FHLMC CMO, Ser 2010-3704, Cl CA
4.000%, 12/15/36		2,117		2,265
FHLMC CMO, Ser 2010-3704, Cl CT
7.000%, 12/15/36		864		1,016
FHLMC CMO, Ser 2010-3714, Cl IP, IO
5.000%, 08/15/40		413		67
FHLMC CMO, Ser 2010-3739, Cl LI, IO
4.000%, 03/15/34		561		68
FHLMC CMO, Ser 2010-3747, Cl HI, IO
4.500%, 07/15/37		796		111
FHLMC CMO, Ser 2010-3756, Cl IP, IO
4.000%, 08/15/35		944		117
FHLMC CMO, Ser 2010-3759, Cl HI, IO
4.000%, 08/15/37		765		112
FHLMC CMO, Ser 2010-3760, Cl GI, IO
4.000%, 10/15/37		477		76
FHLMC CMO, Ser 2010-K005, Cl A2
4.317%, 11/25/19		371		412
FHLMC CMO, Ser 2011-3800, Cl AI, IO
4.000%, 11/15/29		725		111
FHLMC CMO, Ser 2011-3819, Cl ZQ
6.000%, 04/15/36		1,030		1,213
FHLMC CMO, Ser 2033, Cl HC
6.500%, 02/15/28		206		234
FHLMC CMO, Ser 2075, Cl D
6.500%, 08/15/28		420		442

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 239, Cl S30, IO
7.471%, 08/15/36 (A)	$	843	$	110
FHLMC CMO, Ser 2434, Cl ZA
6.500%, 04/15/32		482		558
FHLMC CMO, Ser 2458, Cl ZM
6.500%, 06/15/32		362		409
FHLMC CMO, Ser 2587, Cl CO, PO
1.184%, 03/15/32		150		149
FHLMC CMO, Ser 2591, Cl QO
4.500%, 03/15/18		300		322
FHLMC CMO, Ser 2631, Cl SA
14.430%, 06/15/33 (A)		212		253
FHLMC CMO, Ser 2691, Cl SE
9.220%, 12/15/28 (A)		44		44
FHLMC CMO, Ser 2695, Cl OB, PO
28.139%, 10/15/33		69		61
FHLMC CMO, Ser 2695, Cl SX
16.028%, 10/15/33 (A)		70		76
FHLMC CMO, Ser 2698, Cl SV
8.656%, 11/15/33 (A)		57		57
FHLMC CMO, Ser 2725, Cl SC
8.743%, 11/15/33 (A)		71		73
FHLMC CMO, Ser 2754, Cl JG
4.500%, 03/15/33		—		—
FHLMC CMO, Ser 2812, Cl NO, PO
23.736%, 10/15/33		81		73
FHLMC CMO, Ser 2864, Cl NB
5.500%, 07/15/33		1,007		1,138
FHLMC CMO, Ser 2865, Cl GO, PO
1.733%, 10/15/33		3		3
FHLMC CMO, Ser 2897, Cl EO, PO
31.155%, 10/15/31		10		10
FHLMC CMO, Ser 2903, Cl UZ
5.500%, 07/15/31		37		37
FHLMC CMO, Ser 2950, Cl JO, PO
2.398%, 03/15/20		149		144
FHLMC CMO, Ser 2990, Cl LK
0.599%, 10/15/34 (A)		432		431
FHLMC CMO, Ser 3001, Cl HP
21.084%, 05/15/35 (A)		119		160
FHLMC CMO, Ser 3006, Cl QS
19.533%, 07/15/35 (A)		303		424
FHLMC CMO, Ser 3012, Cl GK
23.719%, 06/15/35 (A)		133		202
FHLMC CMO, Ser 3137, Cl XP
6.000%, 04/15/36		237		267
FHLMC CMO, Ser 3217, Cl CX, IO
6.361%, 09/15/36 (A)		774		105
FHLMC CMO, Ser 3225, Cl EO, PO
1.894%, 10/15/36		370		346
FHLMC CMO, Ser 3262, Cl SG, IO
6.171%, 01/15/37 (A)		772		93
FHLMC CMO, Ser 3342, Cl VG
6.000%, 11/15/23		300		337

96 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC CMO, Ser 3373, Cl TO, PO
2.099%, 04/15/37	$	118	$	110
FHLMC CMO, Ser 3383, Cl SA, IO
6.221%, 11/15/37 (A)		850		109
FHLMC CMO, Ser 3422, Cl SE
16.877%, 02/15/38 (A)		78		96
FHLMC CMO, Ser 3515, Cl PI, IO
5.500%, 07/15/37		360		38
FHLMC CMO, Ser 3607, Cl BO, PO
1.848%, 04/15/36		100		93
FHLMC CMO, Ser 3611, Cl PO, PO
2.560%, 07/15/34		176		165
FHLMC CMO, Ser 3626, Cl MA
5.000%, 02/15/30		2,704		2,840
FHLMC CMO, Ser 3631, Cl PA
4.000%, 02/15/40		633		669
FHLMC CMO, Ser 3632, Cl BS
16.737%, 02/15/40 (A)		100		144
FHLMC CMO, Ser 3652, Cl AP
4.500%, 03/15/40		1,315		1,430
FHLMC CMO, Ser 3688, Cl NI, IO
5.000%, 04/15/32		820		82
FHLMC CMO, Ser 6960, Cl SJ
8.806%, 10/15/33 (A)		234		241
FHLMC CMO, Ser T-42, Cl A5
7.500%, 02/25/42		861		1,037
FHLMC CMO, Ser T-51, Cl 1A
6.500%, 09/25/43 (A)		215		247
FHLMC CMO, Ser T-54, Cl 3A
7.000%, 02/25/43		460		528
FHLMC CMO, Ser T-54, Cl 2A
6.500%, 02/25/43		144		160
FHLMC CMO, Ser T-57, Cl 1A2
7.000%, 07/25/43		606		707
FHLMC CMO, Ser T-58, Cl 4A
7.500%, 09/25/43		675		801
FHLMC CMO, Ser T-60, Cl 1A2
7.000%, 03/25/44		226		274
FHLMC CMO, Ser T-76, Cl 2A
4.787%, 10/25/37 (A)		336		347
FHLMC-GNMA CMO, Ser 1993-21, Cl L
6.250%, 10/25/23		430		454
FHLMC Multi-family Structured Pass-Through Certificates, Ser 2009-K003, Cl AAB
4.768%, 05/25/18		342		381
FHLMC Multi-family Structured Pass-Through Certificates, Ser 2011-K010, Cl A1
3.320%, 07/25/20		2		2
FHLMC Reference REMIC CMO, Ser 2006-R007, Cl ZA
6.000%, 05/15/36		344		407

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FHLMC TBA
3.500%, 10/15/26	$	1,860	$	1,938
2.400%, 12/15/41		701		747
FNMA
7.500%, 10/01/37 to 04/01/39		1,171		1,362
7.000%, 04/01/32 to 01/01/39		664		765
6.500%, 05/01/27 to 10/01/38		2,519		2,839
6.000%, 10/01/19 to 10/01/39		21,980		24,397
5.500%, 02/01/21 to 05/01/39		8,609		9,398
5.000%, 01/01/20 to 09/01/41		36,784		39,829
4.640%, 01/01/21		497		557
4.540%, 01/01/20		490		545
4.530%, 12/01/19		493		548
4.500%, 04/01/25 to 08/01/41		3,648		3,957
4.390%, 05/01/21		250		276
4.380%, 04/01/21		500		551
4.369%, 02/01/20		493		543
4.303%, 07/01/21		1,193		1,307
4.300%, 04/01/21		250		274
4.250%, 04/01/21		750		819
4.240%, 06/01/21		1,000		1,093
4.066%, 07/01/20		400		430
4.060%, 07/01/21		1,000		1,081
4.000%, 10/01/33 to 05/01/37		1,857		1,965
3.738%, 06/01/18		899		963
3.590%, 12/01/20		494		520
3.505%, 09/01/20		985		1,031
3.500%, 01/01/26		3,273		3,422
3.430%, 10/01/20		989		1,030
3.290%, 10/01/20		350		362
3.230%, 11/01/20		350		361
2.970%, 11/01/18		493		508
2.690%, 10/01/17		350		359
FNMA ARM (A)
6.328%, 09/01/36		381		391
6.317%, 02/01/37		599		629
6.313%, 10/01/36		48		52
6.277%, 09/01/37		96		106
6.200%, 08/01/36		135		147
6.124%, 12/01/36		55		60
6.092%, 11/01/37		94		102
6.070%, 07/01/37		430		458
6.052%, 10/01/37		120		130
6.032%, 09/01/37		45		49
6.028%, 01/01/37		63		68
5.988%, 07/01/37		77		84
5.977%, 04/01/37		90		97
5.960%, 09/01/37		22		23
5.957%, 01/01/37		116		125
5.939%, 03/01/37		69		75
5.925%, 07/01/37		155		168
5.922%, 04/01/37		125		133
5.917%, 04/01/36		332		356
5.897%, 09/01/37		275		296

SEI Institutional Managed Trust / Annual Report / September 30, 2011 97

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
5.879%, 09/01/37	$	72	$	78
5.878%, 02/01/37		66		71
5.874%, 11/01/36		190		203
5.848%, 09/01/36		109		113
5.842%, 09/01/37		180		195
5.828%, 12/01/36		254		267
5.785%, 10/01/37		44		47
5.729%, 10/01/37		74		80
5.690%, 11/01/36		277		294
5.629%, 01/01/23		213		232
5.586%, 12/01/36		532		560
5.500%, 07/01/37		426		454
5.490%, 02/01/39		231		250
5.393%, 11/01/37		483		513
5.091%, 07/01/37		234		248
4.633%, 09/01/36		283		299
3.719%, 11/01/37		282		297
3.265%, 03/01/36		330		349
2.599%, 05/01/36		480		509
2.569%, 06/01/36		563		596
FNMA CMO STRIPS, Ser 2005-360, Cl 2, IO
5.000%, 08/01/35		1,230		160
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29		373		409
FNMA CMO, Ser 2000-18, Cl EC, PO
2.673%, 10/25/23		127		118
FNMA CMO, Ser 2001-79, Cl BA
7.000%, 03/25/45		217		252
FNMA CMO, Ser 2002-33, Cl A2
7.500%, 06/25/32		95		109
FNMA CMO, Ser 2002-81, Cl JO, PO
1.322%, 04/25/32		111		109
FNMA CMO, Ser 2002-95, Cl DB
6.000%, 01/25/33		380		435
FNMA CMO, Ser 2003-131, Cl SK
15.731%, 01/25/34 (A)		215		266
FNMA CMO, Ser 2003-23, Cl EQ
5.500%, 04/25/23		1,000		1,141
FNMA CMO, Ser 2003-23, Cl PG
5.500%, 01/25/32		338		349
FNMA CMO, Ser 2003-35, Cl EA, PO
2.618%, 05/25/33		157		145
FNMA CMO, Ser 2003-56, Cl AZ
5.500%, 08/25/31		431		446
FNMA CMO, Ser 2004-46, Cl EP, PO
1.582%, 03/25/34		198		189
FNMA CMO, Ser 2004-52, Cl PX, PO
1.797%, 09/25/32		122		120
FNMA CMO, Ser 2004-61, Cl CO, PO
11.356%, 10/25/31		71		68
FNMA CMO, Ser 2004-61, Cl BO, PO
1.834%, 10/25/32		133		129
FNMA CMO, Ser 2004-89, Cl SM
17.230%, 09/25/24 (A)		568		795

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2005-106, Cl US
23.707%, 11/25/35 (A)	$	843	$	1,241
FNMA CMO, Ser 2005-117, Cl LC
5.500%, 11/25/35		1,864		2,049
FNMA CMO, Ser 2005-118, Cl PN
6.000%, 01/25/32		500		532
FNMA CMO, Ser 2005-5, Cl PA
5.000%, 01/25/35		184		202
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35		101		113
FNMA CMO, Ser 2005-72, Cl SB
16.289%, 08/25/35 (A)		262		322
FNMA CMO, Ser 2005-88, Cl QO, PO
21.051%, 11/25/33		7		7
FNMA CMO, Ser 2005-90, Cl ES
16.289%, 10/25/35 (A)		202		253
FNMA CMO, Ser 2006-105, Cl ME
5.500%, 11/25/36		1,000		1,172
FNMA CMO, Ser 2006-117, Cl GS, IO
6.415%, 12/25/36 (A)		296		45
FNMA CMO, Ser 2006-118, Cl A2
0.255%, 12/25/36 (A)		237		226
FNMA CMO, Ser 2006-15, Cl OP, PO
2.588%, 03/25/36		142		126
FNMA CMO, Ser 2006-27, Cl OH, PO
2.058%, 04/25/36		161		150
FNMA CMO, Ser 2006-43, Cl VB
6.500%, 10/25/17		309		324
FNMA CMO, Ser 2006-56, Cl FC
0.525%, 07/25/36 (A)		335		335
FNMA CMO, Ser 2006-59, Cl QO, PO
1.764%, 01/25/33		132		127
FNMA CMO, Ser 2006-59, Cl CO, PO
1.172%, 08/25/35		12		12
FNMA CMO, Ser 2006-60, Cl DO, PO
2.043%, 04/25/35		156		149
FNMA CMO, Ser 2006-63, Cl ZH
6.500%, 07/25/36		562		684
FNMA CMO, Ser 2006-78, Cl BZ
6.500%, 08/25/36		140		166
FNMA CMO, Ser 2007-100, Cl SM, IO
6.215%, 10/25/37 (A)		638		87
FNMA CMO, Ser 2007-101, Cl A2
0.485%, 06/27/36 (A)		228		227
FNMA CMO, Ser 2007-112, Cl SA, IO
6.215%, 12/25/37 (A)		530		66
FNMA CMO, Ser 2007-114, Cl A6
0.435%, 10/27/37 (A)		200		199
FNMA CMO, Ser 2007-116, Cl PB
5.500%, 08/25/35		1,000		1,140
FNMA CMO, Ser 2007-116, Cl HI, IO
6.338%, 01/25/38 (A)		353		28
FNMA CMO, Ser 2007-27, Cl MA
5.500%, 11/25/29		61		62

98 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2007-29, Cl SG
21.885%, 04/25/37 (A)	$	82	$	117
FNMA CMO, Ser 2007-54, Cl FA
0.635%, 06/25/37 (A)		353		352
FNMA CMO, Ser 2007-65, Cl KI, IO
6.385%, 07/25/37 (A)		592		75
FNMA CMO, Ser 2007-72, Cl EK, IO
6.165%, 07/25/37 (A)		580		75
FNMA CMO, Ser 2007-75, Cl EO, PO
2.029%, 01/25/36		242		234
FNMA CMO, Ser 2007-77, Cl PD
6.000%, 10/25/36		1,000		1,155
FNMA CMO, Ser 2007-83, Cl PC
6.000%, 10/25/33		1,000		1,050
FNMA CMO, Ser 2007-85, Cl SG
15.664%, 09/25/37 (A)		150		186
FNMA CMO, Ser 2008-35, Cl IM, IO
0.642%, 10/25/16 (A)		841		10
FNMA CMO, Ser 2008-4, Cl SD, IO
5.765%, 02/25/38 (A)		1,020		116
FNMA CMO, Ser 2008-95, Cl BA
5.000%, 01/25/24		250		289
FNMA CMO, Ser 2009-103, Cl MB
4.000%, 12/25/39		374		398
FNMA CMO, Ser 2009-105, Cl CB
6.000%, 12/25/39		740		830
FNMA CMO, Ser 2009-11, Cl LC
4.500%, 03/25/49		434		467
FNMA CMO, Ser 2009-31, Cl A2
4.287%, 07/25/19		661		740
FNMA CMO, Ser 2009-52, Cl PI, IO
5.000%, 07/25/39		516		71
FNMA CMO, Ser 2009-66, Cl KE
4.000%, 09/25/39		819		863
FNMA CMO, Ser 2009-70, Cl CO, PO
2.744%, 01/25/37		373		336
FNMA CMO, Ser 2009-78, Cl J
5.000%, 09/25/19		588		638
FNMA CMO, Ser 2009-84, Cl WS, IO
5.665%, 10/25/39 (A)		425		51
FNMA CMO, Ser 2009-86, Cl BO, PO
4.236%, 03/25/37		2,548		2,425
FNMA CMO, Ser 2009-86, Cl IP, IO
5.500%, 10/25/39		284		40
FNMA CMO, Ser 2009-86, Cl OT, PO
3.444%, 10/25/37		317		281
FNMA CMO, Ser 2009-86, Cl UI, IO
4.000%, 10/25/14		1,232		85
FNMA CMO, Ser 2009-93, Cl PD
4.500%, 09/25/39		269		295
FNMA CMO, Ser 2009-99, Cl WA
6.286%, 12/25/39 (A)		397		442
FNMA CMO, Ser 2009-99, Cl SC, IO
5.945%, 12/25/39 (A)		446		56

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA CMO, Ser 2009-M2, Cl A3
4.001%, 01/25/19	$	691	$	751
FNMA CMO, Ser 2010-1, Cl WA
6.153%, 02/25/40 (A)		181		204
FNMA CMO, Ser 2010-16, Cl WA
6.428%, 03/25/40 (A)		198		227
FNMA CMO, Ser 2010-23, Cl KS, IO
6.865%, 02/25/40 (A)		750		104
FNMA CMO, Ser 2010-35, Cl SB, IO
6.185%, 04/25/40 (A)		540		57
FNMA CMO, Ser 2010-39, Cl OT, PO
1.585%, 10/25/35		167		159
FNMA CMO, Ser 2010-43, Cl HJ
5.500%, 05/25/40		1,427		1,594
FNMA CMO, Ser 2010-45, Cl BD
4.500%, 11/25/38		500		553
FNMA CMO, Ser 2010-64, Cl DM
5.000%, 06/25/40		408		444
FNMA CMO, Ser 2010-68, Cl SA, IO
4.765%, 07/25/40 (A)		1,379		177
FNMA CMO, Ser 2010-M1, Cl A2
4.450%, 09/25/19		228		258
FNMA CMO, Ser 2010-M3, Cl A3
4.332%, 03/25/20 (A)		1,049		1,161
FNMA CMO, Ser 2011-39, Cl ZA
6.000%, 11/25/32		1,538		1,734
FNMA CMO, Ser 2011-53, Cl DT
4.500%, 06/25/41		637		684
FNMA CMO, Ser 2011-M2, Cl A3
3.764%, 07/25/21		1,000		1,057
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A1
7.000%, 12/25/41		644		728
FNMA Grantor Trust CMO, Ser 2001-T10, Cl A2
7.500%, 12/25/41		395		434
FNMA Grantor Trust CMO, Ser 2002-T1, Cl A1
6.500%, 11/25/31		409		466
FNMA Grantor Trust CMO, Ser 2002-T19, Cl A2
7.000%, 07/25/42		454		522
FNMA Grantor Trust CMO, Ser 2004-T3, Cl 1A3
7.000%, 02/25/44		422		495
FNMA TBA
6.000%, 11/01/37 to 12/01/37		16,100		17,613
5.500%, 10/01/41 to 10/25/41		4,749		5,153
5.000%, 11/01/37 to 10/01/38		6,415		6,890
4.000%, 10/14/39 to 10/25/41		9,495		9,952
3.500%, 10/01/40 to 11/01/40		15,100		15,699
3.000%, 10/25/26 to 11/25/26		9,070		9,334
FNMA Whole Loan CMO, Ser 2002-W6, Cl 2SI, IO
7.865%, 06/25/42 (A)		541		103

SEI Institutional Managed Trust / Annual Report / September 30, 2011 99

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA Whole Loan CMO, Ser 2003-W1, Cl 2A
7.173%, 12/25/42 (A)	$	293	$	347
FNMA Whole Loan CMO, Ser 2003-W12, Cl 1A8
4.550%, 06/25/43		263		283
FNMA Whole Loan CMO, Ser 2003-W17, Cl 1A7
5.750%, 08/25/33		81		95
FNMA Whole Loan CMO, Ser 2003-W8, Cl 2A
7.000%, 10/25/42		283		330
FNMA Whole Loan CMO, Ser 2004-W1, Cl 2A2
7.000%, 12/25/33		532		621
FNMA Whole Loan CMO, Ser 2004-W2, Cl 2A2
7.000%, 02/25/44		706		834
FNMA Whole Loan CMO, Ser 2005-W3, Cl 2AF
0.455%, 03/25/45 (A)		726		725
FNMA Whole Loan CMO, Ser 2006-W1, Cl 1A3
7.500%, 12/25/45		360		422
FNMA Whole Loan CMO, Ser 2006-W2, Cl 1AF1
0.455%, 02/25/36 (A)		317		317
FNMA Whole Loan CMO, Ser 2007-W1, Cl 1AF1
0.495%, 11/25/46 (A)		464		464
GNMA
7.500%, 10/15/37		292		342
7.000%, 09/15/31		110		128
6.500%, 12/15/32 to 12/15/35		1,747		1,996
6.000%, 01/15/40		1,553		1,734
4.500%, 11/15/39		3,540		3,862
4.000%, 03/20/26 to 09/20/26		18,144		19,359
3.500%, 02/20/41 to 03/20/41		651		682
GNMA ARM (A)
4.000%, 04/20/41 to 05/20/41		1,176		1,253
3.500%, 05/20/41 to 08/20/41		2,491		2,628
3.000%, 07/20/41 to 08/20/41		729		761
2.500%, 02/20/34 (A)		612		634
GNMA CMO, Ser 1999-47, Cl Z
7.500%, 12/20/29		555		684
GNMA CMO, Ser 2001-61, Cl Z
6.500%, 12/20/31		916		1,042
GNMA CMO, Ser 2003-79, Cl PV
5.500%, 10/20/23		164		186
GNMA CMO, Ser 2003-97, Cl SA, IO
6.321%, 11/16/33 (A)		611		129
GNMA CMO, Ser 2004-11, Cl SX
16.831%, 02/20/34 (A)		37		57

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2004-28, Cl SV
8.769%, 04/20/34 (A)	$	420	$	453
GNMA CMO, Ser 2004-34, Cl JO, PO
2.818%, 02/20/34		132		129
GNMA CMO, Ser 2004-71, Cl ST
7.000%, 09/20/34 (A)		188		195
GNMA CMO, Ser 2004-85, Cl PO, PO
2.241%, 01/17/33		61		59
GNMA CMO, Ser 2004-87, Cl SB
7.408%, 03/17/33 (A)		298		319
GNMA CMO, Ser 2005-28, PO
3.288%, 02/17/33		400		352
GNMA CMO, Ser 2005-78, Cl A
5.000%, 07/16/33		1,704		1,872
GNMA CMO, Ser 2005-92, Cl PB
6.000%, 12/20/35		400		483
GNMA CMO, Ser 2006-34, Cl PO, PO
1.848%, 07/20/36		99		92
GNMA CMO, Ser 2006-38, Cl SG, IO
6.419%, 09/20/33 (A)		600		48
GNMA CMO, Ser 2007-17, Cl AF
0.429%, 04/16/37 (A)		524		522
GNMA CMO, Ser 2007-26, Cl SW, IO
5.969%, 05/20/37 (A)		869		125
GNMA CMO, Ser 2007-27, Cl SD, IO
5.969%, 05/20/37 (A)		511		82
GNMA CMO, Ser 2007-72, Cl US, IO
6.320%, 11/20/37 (A)		326		44
GNMA CMO, Ser 2007-78, Cl SA, IO
6.301%, 12/16/37 (A)		3,052		514
GNMA CMO, Ser 2007-82, Cl SA, IO
6.299%, 12/20/37 (A)		440		59
GNMA CMO, Ser 2007-9, Cl CI, IO
5.969%, 03/20/37 (A)		674		90
GNMA CMO, Ser 2008-10, Cl S, IO
5.600%, 02/20/38 (A)		675		81
GNMA CMO, Ser 2008-29, Cl PO, PO
3.209%, 02/17/33		150		138
GNMA CMO, Ser 2008-33, Cl XS, IO
7.471%, 04/16/38 (A)		336		49
GNMA CMO, Ser 2008-55, Cl SA, IO
5.969%, 06/20/38 (A)		772		103
GNMA CMO, Ser 2009-106, Cl AS, IO
6.171%, 11/16/39 (A)		724		91
GNMA CMO, Ser 2009-14, Cl KI, IO
6.500%, 03/20/39		426		66
GNMA CMO, Ser 2009-24, Cl DS, IO
6.069%, 03/20/39 (A)		1,154		130
GNMA CMO, Ser 2009-25, Cl SE, IO
7.369%, 09/20/38 (A)		544		89
GNMA CMO, Ser 2009-43, Cl SA, IO
5.720%, 06/20/39 (A)		642		76
GNMA CMO, Ser 2009-44, Cl MV
6.000%, 04/20/20		1,683		1,882

100 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA CMO, Ser 2009-6, Cl SH, IO
5.810%, 02/20/39 (A)	$	532	$	65
GNMA CMO, Ser 2009-65, Cl IQ, IO
6.000%, 12/20/38		258		35
GNMA CMO, Ser 2009-65, Cl TS, IO
6.170%, 12/20/38 (A)		1,031		123
GNMA CMO, Ser 2009-66, Cl XS, IO
6.571%, 07/16/39 (A)		6,207		931
GNMA CMO, Ser 2009-67, Cl SA, IO
5.821%, 08/16/39 (A)		445		53
GNMA CMO, Ser 2009-75, Cl MN
5.500%, 09/20/39		500		595
GNMA CMO, Ser 2009-79, Cl OK, PO
3.176%, 11/16/37		552		499
GNMA CMO, Ser 2009-83, Cl TS, IO
5.870%, 08/20/39 (A)		781		98
GNMA CMO, Ser 2010-14, Cl CO, PO
3.044%, 08/20/35		125		101
GNMA CMO, Ser 2010-157, Cl OP, PO
3.742%, 12/20/40		484		400
GNMA CMO, Ser 2010-4, Cl NS, IO
6.161%, 01/16/40 (A)		6,659		989
GNMA CMO, Ser 2010-47, Cl PX, IO
6.470%, 06/20/37 (A)		1,096		147
GNMA, Ser 2011-137
5.540%, 10/01/41		1,000		1,125
GNMA TBA
3.500%, 12/15/41		5,700		5,904
3.000%, 10/20/41		625		627
NCUA Guaranteed Notes CMO, Ser 2010-C1, Cl APT
2.650%, 10/29/20		1,210		1,256
NCUA Guaranteed Notes CMO, Ser 2010-R1, Cl 1A
0.674%, 10/07/20 (A)		2,619		2,623
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 2A
0.671%, 11/05/20 (A)		1,445		1,449
NCUA Guaranteed Notes CMO, Ser 2010-R2, Cl 1A
0.594%, 11/06/17 (A)		2,375		2,376
NCUA Guaranteed Notes CMO, Ser 2011-R2, Cl 1A
0.624%, 02/06/20 (A)		1,785		1,785
				402,407
Non-Agency Mortgage-Backed Obligations — 9.8%
AAM ACE Resecuritization Trust, Ser 2011-1, Cl A20
0.370%, 02/02/37 (A) (B)		278		263
American General Mortgage Loan Trust, Ser 2009-1, Cl A4
5.750%, 09/25/48 (A) (B)		325		326

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
American General Mortgage Loan Trust, Ser 2009-1, Cl A5
5.750%, 09/25/48 (A) (B)	$	200	$	202
American General Mortgage Loan Trust, Ser 2009-1, Cl A7
5.750%, 09/25/48 (A) (B)		300		304
American General Mortgage Loan Trust, Ser 2010-1A, Cl A1
5.150%, 03/25/58 (A) (B)		197		202
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A
2.218%, 02/25/45 (A)		1,202		958
Americold Trust, Ser 2010-ARTA, Cl A1
3.847%, 01/14/29 (B)		483		504
ASG Resecuritization Trust, Ser 2009-2, Cl A55
5.367%, 05/24/36 (A) (B)		240		238
ASG Resecuritization Trust, Ser 2009-2, Cl G60
5.345%, 05/24/36 (A) (B)		100		95
ASG Resecuritization Trust, Ser 2009-3, Cl A65
5.235%, 03/26/37 (A) (B)		871		859
ASG Resecuritization Trust, Ser 2010-3, Cl 2A22
0.395%, 10/28/36 (A) (B)		138		134
Banc of America Alternative Loan Trust, Ser 2003-7, Cl 2A4
5.000%, 09/25/18		177		180
Banc of America Alternative Loan Trust, Ser 2003-9, Cl 1CB2
5.500%, 11/25/33		205		211
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 1A1
6.000%, 01/25/34		177		177
Banc of America Alternative Loan Trust, Ser 2003-11, Cl 2A1
6.000%, 01/25/34		399		401
Banc of America Alternative Loan Trust, Ser 2004-1, Cl 5A1
5.500%, 02/25/19		95		96
Banc of America Alternative Loan Trust, Ser 2004-8, Cl 3A1
5.500%, 09/25/19		139		139
Banc of America Funding, Ser 2004-3, Cl 1A7
5.500%, 10/25/34		43		44
Banc of America Funding, Ser 2004-C, Cl 1A1
5.033%, 12/20/34 (A)		98		92
Banc of America Funding, Ser 2010-R11A, Cl 1A6
5.538%, 08/26/35 (A) (B)		219		229

SEI Institutional Managed Trust / Annual Report / September 30, 2011 101

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Banc of America Merrill Lynch Commercial Mortgage, Ser 2002-2, Cl B
5.271%, 07/11/43	$	111	$	112
Banc of America Merrill Lynch Commercial Mortgage, Ser 2002-PB2, Cl B
6.309%, 06/11/35		145		145
Banc of America Merrill Lynch Commercial Mortgage, Ser 2002-PB2, Cl A4
6.186%, 06/11/35		667		669
Banc of America Merrill Lynch Commercial Mortgage, Ser 2004-6, Cl A3
4.512%, 12/10/42		143		144
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-2, Cl A5
4.857%, 07/10/43 (A)		1,260		1,353
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-3, Cl A4
4.668%, 07/10/43		100		107
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-3, Cl AM
4.727%, 07/10/43		300		290
Banc of America Merrill Lynch Commercial Mortgage, Ser 2005-5, Cl A4
5.115%, 10/10/45 (A)		100		109
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/44 (A)		215		232
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-4, Cl A4
5.634%, 07/10/46		225		243
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-5, Cl A4
5.414%, 09/10/47		97		101
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-6, Cl A4
5.356%, 10/10/45		1,344		1,402
Banc of America Merrill Lynch Commercial Mortgage, Ser 2007-1, Cl A2
5.381%, 01/15/49		205		205
Banc of America Mortgage Securities, Ser 2003-3, Cl 2A1
0.785%, 05/25/18 (A)		128		121

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Banc of America Mortgage Securities, Ser 2003-6, Cl 2A1
0.685%, 08/25/18 (A)	$	57	$	54
Banc of America Mortgage Securities, Ser 2004-3, Cl 3A1
5.000%, 04/25/19		93		95
Banc of America Mortgage Securities, Ser 2004-3, Cl 1A26
5.500%, 04/25/34		200		204
Banc of America Mortgage Securities, Ser 2004-5, Cl 4A1
4.750%, 06/25/19		141		145
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/34 (B)		599		610
BCAP LLC Trust, Ser 2009-RR10, Cl 17A1
5.750%, 06/26/37 (B)		245		245
BCAP LLC Trust, Ser 2009-RR13, Cl 11A1
5.250%, 05/26/37 (A) (B)		70		70
BCAP LLC Trust, Ser 2009-RR13, Cl 17A2
5.500%, 04/26/37 (A) (B)		175		177
BCAP LLC Trust, Ser 2010-RR5, Cl 2A5
5.198%, 04/26/37 (A) (B)		360		357
BCAP LLC Trust, Ser 2010-RR6, Cl 5A1
5.500%, 11/26/37 (A) (B)		115		112
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5
5.011%, 04/26/35 (A) (B)		131		128
BCAP LLC Trust, Ser 2010-RR7, Cl 2A1
5.127%, 07/26/45 (A) (B)		315		297
BCAP LLC Trust, Ser 2010-RR7, Cl 15A1
1.019%, 01/26/36 (A) (B)		202		196
BCAP LLC Trust, Ser 2010-RR7, Cl 16A1
0.952%, 02/26/47 (A) (B)		76		70
BCAP LLC Trust, Ser 2010-RR12, Cl 2A5
4.500%, 01/26/36 (A) (B)		221		222
BCAP LLC Trust, Ser 2011-RR4, Cl 6A3
5.000%, 08/26/37 (A) (B)		206		200
BCAP LLC Trust, Ser 2011-RR5
0.386%, 05/28/36 (A) (B)		286		266
BCAP LLC Trust, Ser 2011-RR5, Cl 14A3
2.837%, 07/26/36 (A) (B)		277		265
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A
5.020%, 05/25/34 (A)		124		122

102 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1
2.220%, 08/25/35 (A)	$	201	$	187
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2
4.830%, 08/15/38		65		66
Bear Stearns Commercial Mortgage Securities, Ser 2003-T12, Cl A3
4.240%, 08/13/39 (A)		27		27
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR7, Cl A2
4.945%, 02/11/41		180		181
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, IO
0.298%, 06/11/41 (A) (B)		2,618		40
Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A
5.295%, 10/12/42 (A)		1,505		1,654
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW11, Cl A
5.620%, 03/11/39 (A)		100		109
Chase Mortgage Finance, Ser 2003-S9, Cl AP, PO
6.680%, 10/25/18		97		82
Chase Mortgage Finance, Ser 2003-S15, Cl 2A10
0.685%, 01/25/34 (A)		68		68
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1
2.791%, 02/25/37 (A)		80		76
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
2.753%, 02/25/37 (A)		148		141
Chase Mortgage Finance, Ser 2007-A2, Cl 2A1
2.861%, 07/25/37 (A)		183		173
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
2.775%, 07/25/37 (A)		176		154
Citicorp Mortgage Securities, Ser 2003-6, Cl 1A2
4.500%, 05/25/33		22		22
Citigroup Commercial Mortgage Trust, Ser 2005-C3, Cl AM
4.830%, 05/15/43 (A)		120		121
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.886%, 12/10/49 (A)		485		522
Citigroup Mortgage Loan Trust, Ser 2005-2, Cl 2A11
5.500%, 05/25/35		137		134
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A
5.240%, 11/25/38 (A) (B)		276		269

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup Mortgage Loan Trust, Ser 2010-7, Cl 10A1
2.729%, 02/25/35 (A) (B)	$	119	$	113
Citigroup Mortgage Loan Trust, Ser 2011-3, Cl 1A1
0.315%, 02/25/47 (A) (B)		201		197
Citigroup Mortgage Loan Trust, Ser 2011-5, Cl 1A1
0.425%, 02/25/46 (A) (B)		184		168
Citigroup, Ser 2005-CD1, Cl AM
5.399%, 07/15/44 (A)		281		289
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO
0.106%, 01/15/46 (A) (B)		17,871		44
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD4, IO
0.167%, 12/11/49 (A) (B)		14,471		122
Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4
6.975%, 01/17/32 (A)		178		184
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl A2
6.096%, 07/16/34 (B)		1		1
Commercial Mortgage Pass-Through Certificates, Ser 2001-J2A, Cl B
6.304%, 07/16/34 (B)		393		392
Commercial Mortgage Pass-Through Certificates, Ser 2004-LB4A, Cl A5
4.840%, 10/15/37		960		1,001
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-34, Cl A6
5.250%, 09/25/33		142		143
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-39, Cl A6
5.000%, 10/25/33		298		293
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J7, Cl 4A3
9.470%, 08/25/18 (A)		57		57
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2003-J13, Cl 1A7
5.250%, 01/25/34		525		545
Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-8, Cl 2A1
4.500%, 06/25/19		174		177
Credit Suisse First Boston Mortgage Securities, Ser 2001-CK6, Cl A3
6.387%, 08/15/36		15		15

SEI Institutional Managed Trust / Annual Report / September 30, 2011 103

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36	$	129	$	131
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP3, Cl A3
5.603%, 07/15/35		71		72
Credit Suisse First Boston Mortgage Securities, Ser 2002-CP5, Cl A2
4.940%, 12/15/35		376		386
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3
5.250%, 11/25/33		375		390
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1
7.000%, 12/25/33		138		147
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 8A1
6.000%, 11/25/18		171		175
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4
2.628%, 10/25/33 (A)		1,216		1,027
Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl B
5.253%, 08/15/36 (A)		221		230
Credit Suisse First Boston Mortgage Securities, Ser 2003-CPN1, Cl B
4.723%, 03/15/35		126		126
Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl A3
4.813%, 02/15/38		718		730
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4
4.832%, 04/15/37		378		398
Credit Suisse First Boston Mortgage Securities, Ser 2005-C3, Cl AM
4.730%, 07/15/37		188		188
Credit Suisse Mortgage Capital Certificates, Ser 2006-C2, Cl A3
5.850%, 03/15/39 (A)		215		225
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl A3
5.467%, 09/15/39		571		587
Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3
5.311%, 12/15/39		1,500		1,569
Credit Suisse Mortgage Capital Certificates, Ser 2009-12R, Cl 7A1
5.500%, 10/27/35 (B)		61		61
Credit Suisse Mortgage Capital Certificates, Ser 2010-11R, Cl A1
1.218%, 06/28/47 (A) (B)		161		155
Credit Suisse Mortgage Capital Certificates, Ser 2010-12R, Cl 14A1
2.749%, 09/26/46 (A) (B)		193		184

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit Suisse Mortgage Capital Certificates, Ser 2010-15R, Cl 7A1
5.340%, 10/26/37 (A) (B)	$	73	$	71
Credit Suisse Mortgage Capital Certificates, Ser 2010-16, Cl A3
4.250%, 06/25/50 (A) (B)		100		93
Credit Suisse Mortgage Capital Certificates, Ser 2010-1R, Cl 26A1
4.750%, 05/27/37 (B)		217		218
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1
2.871%, 07/28/36 (A) (B)		187		176
Credit Suisse Mortgage Capital Certificates, Ser 2011-7R, Cl A1
1.471%, 08/28/47 (A) (B)		538		538
Credit Suisse Mortgage Capital Certificates, Ser 2011-9R, Cl A1
2.218%, 03/27/46 (A) (B)		569		568
CW Capital Cobalt, Ser 2006-C1, Cl A4
5.223%, 08/15/48		215		224
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/46 (B)		741		760
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A2
3.386%, 07/10/44 (B)		455		461
Deutsche ALT-A Securities Alternate Loan Trust, Ser 2005-1, Cl 2A1
5.714%, 02/25/20 (A)		113		115
Deutsche Mortgage Securities, Ser 2009-RS2, Cl 4A1
0.348%, 04/26/37 (A) (B)		99		97
Developers Diversified Realty, Ser 2009-DDR1, Cl A
3.807%, 10/14/22 (B)		799		833
Extended Stay America Trust, Ser 2010-ESHA, Cl A
2.951%, 11/05/27 (B)		1,134		1,116
FDIC Structured Sale Guaranteed Notes, Ser 2010-C1, Cl A
2.980%, 12/06/20 (B)		348		361
First Horizon Asset Securities, Ser 2003-8, Cl 2A1
4.500%, 09/25/18		190		192
First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B
6.417%, 12/12/33		132		132
GE Capital Assurance, Ser 2003-1, Cl A4
5.254%, 05/12/35 (A) (B)		763		801
GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3
6.269%, 12/10/35		986		995

104 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GE Capital Commercial Mortgage, Ser 2002-2A, Cl A3
5.349%, 08/11/36	$	1,315	$	1,339
GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2
4.996%, 12/10/37		1,889		1,931
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl A2
6.700%, 04/15/34		10		10
GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl B
6.790%, 04/15/34		53		53
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl D
5.671%, 05/10/40 (A)		94		94
GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40		179		188
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM
5.290%, 11/10/45 (A)		361		345
GMAC Mortgage Loan Trust, Ser 2003-AR1, Cl A4
3.303%, 10/19/33 (A)		235		221
GMAC Mortgage Loan Trust, Ser 2003-GH2, Cl A4
5.000%, 10/25/33		202		200
GMAC Mortgage Loan Trust, Ser 2003-J7, Cl A7
5.000%, 11/25/33		370		381
GMAC Mortgage Loan Trust, Ser 2004-J5, Cl A7
6.500%, 01/25/35		245		258
GMAC Mortgage Loan Trust, Ser 2004-J6, Cl 1A1
5.000%, 01/25/20		134		138
GMAC Mortgage Loan Trust, Ser 2010-1, Cl A
4.250%, 07/25/40 (B)		8		8
Greenwich Capital Commercial Funding, Ser 2002-C1, Cl A4
4.948%, 01/11/35		1,337		1,361
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A6
5.135%, 06/10/36 (A)		176		177
Greenwich Capital Commercial Funding, Ser 2004-GG1, Cl A7
5.317%, 06/10/36 (A) (C)		1,505		1,592
Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB
4.619%, 08/10/42		524		537
Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A5
5.224%, 04/10/37 (A)		673		714

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4
6.074%, 07/10/38 (A)	$	2,250	$	2,423
Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4
5.444%, 03/10/39		1,205		1,249
GS Mortgage Securities II, Ser 2005-GG4, Cl A4
4.761%, 07/10/39		114		120
GS Mortgage Securities II, Ser 2006-GG8, Cl X, IO
0.856%, 11/10/39 (A) (B)		3,355		77
GS Mortgage Securities II, Ser 2011-GC5, Cl A4
3.707%, 08/10/44 (A)		1,725		1,721
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1
4.447%, 10/25/33 (A)		549		543
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3
6.000%, 09/25/34		235		242
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 2A3
5.500%, 06/25/35		79		79
GSR Mortgage Loan Trust, Ser 2005-5F, Cl 8A3
0.735%, 06/25/35 (A)		133		129
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/37		50		47
Homestar Mortgage Acceptance, Ser 2004-5, Cl A1
0.685%, 10/25/34 (A)		1,650		1,473
Impac Funding, Ser 2010-1, Cl A1
5.314%, 01/25/51 (B)		733		773
Impac Secured Assets CMN Owner Trust, Ser 2003-2, Cl A1
5.500%, 08/25/33		149		155
Impac Secured Assets CMN Owner Trust, Ser 2006-1, Cl 2A1
0.585%, 05/25/36 (A)		139		124
Impac Secured Assets CMO Owner Trust, Ser 2006-2, Cl 2A1
0.585%, 08/25/36 (A)		194		168
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB2, Cl D
6.847%, 04/15/35 (A)		134		134
JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB3, Cl A3
6.465%, 11/15/35		77		77

SEI Institutional Managed Trust / Annual Report / September 30, 2011 105

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl A2
5.050%, 12/12/34	$	161	$	166
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C2, Cl B
5.211%, 12/12/34 (A)		46		46
JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB4, Cl C
6.450%, 05/12/34 (A)		192		192
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-C1, Cl A1
4.275%, 01/12/37		84		84
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB6, Cl A1
4.393%, 07/12/37		37		37
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-LN2, Cl A2
5.115%, 07/15/41		512		542
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP1
5.038%, 03/15/46 (A)		1,005		1,078
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP2, Cl A3A
4.678%, 07/15/42		179		182
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB15, Cl X1, IO
0.115%, 06/12/43 (A)		13,824		96
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3SF
0.384%, 05/15/47 (A)		150		135
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3
5.336%, 05/15/47		1,556		1,607
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A1S
5.284%, 05/15/47		38		38
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A2
5.134%, 05/15/47		108		110
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-C1, Cl ASB
5.857%, 02/15/51		167		178

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB18, Cl A4
5.440%, 06/12/47	$	1,200	$	1,246
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3
5.420%, 01/15/49		228		236
JPMorgan Chase Commercial Mortgage Securities, Ser 2009-IWST, Cl A2
5.633%, 12/05/27 (B)		337		368
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1
3.853%, 06/15/43 (B)		993		1,029
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A1
3.300%, 08/05/32 (B)		139		139
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-CNTR, Cl A2
4.311%, 08/05/32 (B)		672		669
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C5, Cl A3
4.171%, 08/15/46		336		344
JPMorgan Mortgage Trust, Ser 2004-A3, Cl 4A1
2.749%, 07/25/34 (A)		62		60
JPMorgan Mortgage Trust, Ser 2004-A4, Cl 1A1
2.759%, 09/25/34 (A)		81		77
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 5A1
4.485%, 02/25/35 (A)		37		37
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
2.749%, 08/25/34 (A)		572		541
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3
2.903%, 11/25/33 (A)		280		257
JPMorgan Mortgage Trust, Ser 2006-A3, Cl 6A1
2.808%, 08/25/34 (A)		288		248
JPMorgan Resecuritization Trust, Ser 2010-4, Cl 7A1
4.285%, 08/26/35 (A) (B)		151		148
LB Commercial Conduit Mortgage Trust, Ser 2007-C3, Cl A3
6.130%, 07/15/44 (A)		129		136
LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4
5.594%, 06/15/31		113		115

106 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A4
4.563%, 09/15/26	$	36	$	36
LB-UBS Commercial Mortgage Trust, Ser 2004-C7, Cl A5
4.628%, 10/15/29		101		104
LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4
4.998%, 04/15/30		374		379
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO
0.169%, 02/15/41 (A) (B)		8,283		85
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.156%, 02/15/31		200		216
LB-UBS Commercial Mortgage Trust, Ser 2006-C4, Cl A4
6.067%, 06/15/38 (A)		125		137
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB
5.403%, 02/15/40		64		67
LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl A3
5.398%, 02/15/40		40		41
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A3
5.933%, 07/15/40		481		503
LB-UBS Commercial Mortgage Trust, Ser C1, Cl A4
5.424%, 02/15/40		452		477
LVII Resecuritization Trust, Ser 2009-2, Cl A4
3.000%, 09/27/37 (A) (B)		200		192
LVII Resecuritization Trust, Ser 2009-2, Cl A5
3.000%, 09/27/37 (A) (B)		300		300
Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A6
2.729%, 11/21/34 (A)		261		255
Master Alternative Loans Trust, Ser 2003-9, Cl 2A1
6.000%, 12/25/33		204		204
Master Resecuritization Trust, Ser 2005, Cl PO, PO
8.734%, 05/28/35 (B)		121		85
Master Seasoned Securities Trust, Ser 2004-2, Cl A2
6.500%, 08/25/32		611		634
MASTR Asset Securitization Trust, Ser 2003-2, Cl 1A1
5.000%, 03/25/18		61		63
MASTR Asset Securitization Trust, Ser 2003-3, Cl 3A18
5.500%, 04/25/33		127		132

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MASTR Asset Securitization Trust, Ser 2003-11, Cl 9A6
5.250%, 12/25/33	$	300	$	311
Merrill Lynch Mortgage Investors, Ser 2003-A4, Cl 2A
2.739%, 07/25/33 (A)		60		55
Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A
5.239%, 02/25/34 (A)		671		667
Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl A3A
4.949%, 07/12/38 (A)		127		130
Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl AJ
5.505%, 01/12/44 (A)		120		106
Merrill Lynch Mortgage Trust, Ser 2005-MKB2, Cl A4
5.204%, 09/12/42 (A)		279		298
Merrill Lynch Mortgage Trust, Ser 2006-C1, Cl A4
5.855%, 05/12/39 (A)		150		166
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, IO
0.344%, 12/12/49 (A) (B)		3,765		47
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl A3
5.172%, 12/12/49 (A)		1,400		1,493
MLCC Mortgage Investors, Ser 2004-A, Cl A2
0.710%, 04/25/29 (A)		101		86
Morgan Stanley Capital I, Ser 2004-IQ8, Cl A4
4.900%, 06/15/40		105		106
Morgan Stanley Capital I, Ser 2004-T13, Cl A3
4.390%, 09/13/45		82		84
Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42		76		78
Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB
6.656%, 11/14/42 (A)		51		52
Morgan Stanley Capital I, Ser 2005-T19, Cl A4A
4.890%, 06/12/47		1,285		1,396
Morgan Stanley Capital I, Ser 2006-HQ8, Cl AM
5.647%, 03/12/44 (A)		134		133
Morgan Stanley Capital I, Ser 2006-IQ12, Cl ANM
5.310%, 12/15/43		291		291

SEI Institutional Managed Trust / Annual Report / September 30, 2011 107

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Morgan Stanley Capital I, Ser 2006-T21, Cl A4
5.162%, 10/12/52 (A)	$	300	$	324
Morgan Stanley Capital I, Ser 2007-HQ11, IO
0.404%, 02/12/44 (A) (B)		9,609		79
Morgan Stanley Capital I, Ser 2007-HQ13, Cl A1
5.357%, 12/15/44		119		119
Morgan Stanley Capital I, Ser 2007-IQ16, Cl A4
5.809%, 12/12/49		846		908
Morgan Stanley Capital I, Ser 2007-T27, Cl A4
5.795%, 06/11/42 (A)		100		112
Morgan Stanley Capital I, Ser 2009-IO, Cl A1
3.000%, 07/17/56 (B)		99		99
Morgan Stanley Capital I, Ser 2011-C3, Cl A2
3.224%, 07/15/49		578		586
Morgan Stanley Capital I, Ser 2011-C3, Cl A4
4.118%, 07/15/49		314		325
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33		20		20
Morgan Stanley Dean Witter Capital I, Ser 2002-HQ, Cl B
6.640%, 04/15/34		111		112
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl B
5.040%, 03/12/35		111		114
Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2
4.920%, 03/12/35		306		316
Morgan Stanley Reremic Trust, Ser 2009-IO, Cl A2
5.000%, 07/17/56 (B)		250		255
Morgan Stanley Reremic Trust, Ser 2010-HQ4B, Cl A7A
4.970%, 04/16/40 (B)		250		261
Morgan Stanley Reremic Trust, Ser 2011-IO, Cl A
2.500%, 03/23/51 (B)		800		798
Nomura Asset Securities, Ser 1998-D6, Cl A2
7.313%, 03/15/30 (A)		406		431
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1
6.000%, 02/25/34		117		124
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO
20.722%, 02/25/34		50		35

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
RBSSP Resecuritization Trust, Ser 2010-4, Cl 12A1
4.500%, 03/26/21 (B)	$	201	$	200
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A5
4.000%, 05/26/37 (A) (B)		250		248
Residential Accredit Loans, Ser 2003-QS15, Cl A7
5.500%, 08/25/33		222		223
Residential Accredit Loans, Ser 2003-QS18, Cl A1
5.000%, 09/25/18		187		193
Residential Accredit Loans, Ser 2004-QA7, Cl A4
5.500%, 05/25/34		298		261
Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8
6.500%, 11/25/31		704		710
Residential Asset Securitization Trust, Ser 2002-A13, Cl A4
5.250%, 12/25/17		108		111
Residential Asset Securitization Trust, Ser 2003-A5, Cl A1
5.500%, 06/25/33		139		142
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.701%, 12/25/34 (A)		843		746
Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2
4.467%, 03/18/36		26		26
Salomon Brothers Mortgage Securities VII, Ser 2003-HYB1, Cl A
3.189%, 09/25/33 (A)		176		163
Sequoia Mortgage Trust, Ser 2010-H1, Cl A1
3.750%, 02/25/40 (A)		76		75
Sequoia Mortgage Trust, Ser 2011-1, Cl A1
4.125%, 02/25/41 (A)		118		117
Springleaf Mortgage Loan Trust, Ser 2011-1A, Cl A1
4.050%, 01/25/58 (A) (B)		232		232
Station Place Securitization Trust, Ser 2010-1, Cl A
1.231%, 12/20/42 (A) (B)		500		499
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4
4.942%, 06/25/34 (A)		104		98
Structured Asset Securities, Ser 2003-16, Cl A3
0.735%, 06/25/33 (A)		164		155
Structured Asset Securities, Ser 2003-24A, Cl 3A2
2.519%, 07/25/33 (A)		355		307

108 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Structured Asset Securities, Ser 2003-32, Cl 1A1
5.218%, 11/25/33 (A)	$	116	$	121
Structured Asset Securities, Ser 2003-33H, Cl 1A1
5.500%, 10/25/33		240		242
Structured Asset Securities, Ser 2003-37A, Cl 2A
5.013%, 12/25/33 (A)		126		124
Structured Asset Securities, Ser 2004-5H, Cl A4
5.540%, 12/25/33		389		379
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A1
5.544%, 08/15/39 (A)		18		18
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A3
5.947%, 08/15/39 (A)		1,000		1,081
US Bank, Ser 2007-1, Cl A
5.920%, 05/25/12		375		388
Vendee Mortgage Trust CMO, Ser 1993-1, Cl ZB
7.250%, 02/15/23		899		1,048
Vericrest Opportunity Loan Transferee, Ser 2011-NL1A, Cl A1
5.926%, 12/26/50 (B)		174		175
Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4
6.287%, 04/15/34		69		70
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1
4.241%, 10/15/35 (B)		21		22
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35		122		122
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
2.446%, 08/25/33 (A)		155		145
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A
2.476%, 08/25/33 (A)		72		67
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
2.589%, 09/25/33 (A)		252		239
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
2.621%, 10/25/33 (A)		278		263
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
16.817%, 06/25/33 (A)		58		64
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/33		754		781

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 21A1
4.500%, 12/25/18	$	115	$	120
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2
2.577%, 06/25/34 (A)		167		161
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A1
2.577%, 06/25/34 (A)		111		108
WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 7A
5.500%, 08/25/19		232		243
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A
7.500%, 07/25/34		610		646
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4
5.500%, 06/25/34		237		237
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-15, Cl 1A1
4.750%, 12/25/18		295		304
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-C, Cl A6
2.657%, 02/25/33 (A)		169		161
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A5
4.417%, 10/25/33 (A)		91		91
Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-K, Cl 1A1
4.443%, 11/25/33 (A)		176		177
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2
4.500%, 05/25/34 (A)		65		64
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A8
4.889%, 05/25/34 (A)		5		5
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2
2.749%, 12/25/34 (A)		267		257
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 3A1
2.848%, 12/25/34 (A)		131		126
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1
2.749%, 12/25/34 (A)		267		254
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl 1A1
2.698%, 06/25/34 (A)		465		460

SEI Institutional Managed Trust / Annual Report / September 30, 2011 109

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1
2.832%, 07/25/34 (A)	$	248	$	231
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-P, Cl 2A1
2.682%, 09/25/34 (A)		133		124
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A2
2.747%, 10/25/34 (A)		273		260
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-V, Cl 1A1
2.747%, 10/25/34 (A)		136		129
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-1, Cl 2A1
5.000%, 01/25/20		92		95
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1
2.759%, 06/25/35 (A)		240		222
WF-RBS Commercial Mortgage Trust, Ser C3, Cl A4
4.375%, 03/15/44 (B)		125		126
				95,126
Total Mortgage-Backed Securities (Cost $480,405) ($ Thousands)				497,533
CORPORATE OBLIGATIONS — 21.5%
Consumer Discretionary — 1.3%
CBS
7.875%, 07/30/30		90		114
5.750%, 04/15/20		25		28
Comcast
6.500%, 01/15/17		1,275		1,498
5.850%, 11/15/15 (C)		465		527
Comcast Cable Communications
8.375%, 03/15/13 (C)		587		645
Comcast Cable Holdings
10.125%, 04/15/22		45		64
COX Communications
5.450%, 12/15/14		70		77
Cox Enterprises
7.375%, 07/15/27 (B)		50		60
Daimler Finance LLC
7.300%, 01/15/12		170		173
6.500%, 11/15/13		80		88
Daimler Finance North America
3.875%, 09/15/21 (B) (C)		270		263
2.625%, 09/15/16 (B) (C)		150		146
1.875%, 09/15/14 (B) (C)		765		755

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
DIRECTV Holdings
6.000%, 08/15/40	$	515	$	550
4.600%, 02/15/21		100		103
Discovery Communications
4.375%, 06/15/21 (C)		53		55
Gap
5.950%, 04/12/21		698		657
Historic TW
9.150%, 02/01/23		200		274
Johnson Controls
4.250%, 03/01/21		65		68
Lowe’s MTN
7.110%, 05/15/37		110		148
NBCUniversal Media
5.950%, 04/01/41		50		56
4.375%, 04/01/21 (C)		221		227
2.875%, 04/01/16		422		430
Newell Rubbermaid
4.700%, 08/15/20		47		48
News America
7.300%, 04/30/28		150		175
7.250%, 05/18/18		50		58
6.650%, 11/15/37		25		27
6.150%, 03/01/37 (C)		707		755
6.150%, 02/15/41		63		67
Staples
9.750%, 01/15/14		80		93
TCI Communications
8.750%, 08/01/15 (C)		210		256
7.125%, 02/15/28		200		245
Thomson Reuters
5.950%, 07/15/13		213		230
4.700%, 10/15/19		75		81
3.950%, 09/30/21		107		107
Time Warner
7.625%, 04/15/31		620		774
6.250%, 03/29/41 (C)		225		257
4.750%, 03/29/21 (C)		205		215
Time Warner Cable
8.250%, 04/01/19 (C)		200		250
7.300%, 07/01/38		110		134
6.750%, 07/01/18		800		931
5.875%, 11/15/40		250		256
5.500%, 09/01/41 (C)		719		711
4.000%, 09/01/21		310		303
				12,979
Consumer Staples — 0.7%
Altria Group
10.200%, 02/06/39 (C)		145		210
4.750%, 05/05/21		200		207
Anheuser-Busch InBev Worldwide
7.750%, 01/15/19		1,095		1,422
5.375%, 11/15/14		220		246

110 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bunge Finance
8.500%, 06/15/19	$	120	$	149
Cencosud
5.500%, 01/20/21 (B)		180		180
Clorox
5.000%, 03/01/13		90		95
Coca-Cola
1.800%, 09/01/16 (B)		525		527
CVS Caremark
6.125%, 09/15/39		40		47
5.750%, 05/15/41		220		246
Diageo Capital
4.828%, 07/15/20 (C)		90		101
Diageo Finance BV
5.500%, 04/01/13		205		219
Kraft Foods
6.500%, 02/09/40 (C)		780		953
6.125%, 08/23/18 (C)		225		265
5.375%, 02/10/20		211		239
Kroger
7.500%, 04/01/31		30		40
5.400%, 07/15/40		14		15
PepsiCo
7.900%, 11/01/18		11		15
3.000%, 08/25/21		31		31
2.500%, 05/10/16 (C)		395		409
SABMiller
5.500%, 08/15/13 (B)		90		97
Wal-Mart Stores
5.625%, 04/15/41 (C)		590		727
				6,440
Energy — 1.2%
Anadarko Petroleum
7.625%, 03/15/14 (C)		180		202
BP Capital Markets
3.875%, 03/10/15		185		196
Canadian Natural Resources
7.200%, 01/15/32		50		64
CenterPoint Energy Resources
5.950%, 01/15/14		70		76
ConocoPhillips
6.000%, 01/15/20		100		122
Devon Energy
5.600%, 07/15/41		260		300
2.400%, 07/15/16 (C)		420		426
Encana
6.500%, 05/15/19 (C)		150		179
6.500%, 02/01/38		675		770
Energen
4.625%, 09/01/21		465		461
Energy Transfer Partners
9.000%, 04/15/19 (C)		225		271

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
ENI
5.700%, 10/01/40 (B)	$	300	$	302
Enterprise Products Operating
5.700%, 02/15/42		40		42
Halliburton
6.150%, 09/15/19 (C)		80		97
Husky Energy
7.250%, 12/15/19 (C)		233		285
Kerr-McGee
6.950%, 07/01/24 (C)		545		637
Marathon Petroleum
6.500%, 03/01/41 (B)		190		205
Occidental Petroleum
1.750%, 02/15/17		35		35
Petro-Canada
6.800%, 05/15/38		475		574
6.050%, 05/15/18		115		134
Plains All American Pipeline
6.650%, 01/15/37		72		80
Pride International
6.875%, 08/15/20		175		202
Rockies Express Pipeline
3.900%, 04/15/15 (B)		560		574
Schlumberger Investment
3.300%, 09/14/21 (B)		47		47
1.950%, 09/14/16 (B)		505		502
Shell International Finance BV
5.500%, 03/25/40		210		261
4.300%, 09/22/19 (C)		300		337
3.100%, 06/28/15		60		64
Southern Union
8.250%, 11/15/29		675		796
Spectra Energy Capital
8.000%, 10/01/19 (C)		200		251
Statoil
3.125%, 08/17/17		50		53
Suncor Energy
6.500%, 06/15/38		100		117
Talisman Energy
7.750%, 06/01/19		365		448
TC Pipelines
4.650%, 06/15/21		65		67
Tennessee Gas Pipeline
8.000%, 02/01/16		1,000		1,162
Tosco
7.800%, 01/01/27		65		90
TransCanada Pipelines
7.125%, 01/15/19		50		63
6.500%, 08/15/18		175		214
Transcontinental Gas Pipeline
5.400%, 08/15/41 (B)		40		42
Transocean
6.500%, 11/15/20 (C)		120		131
Union Pacific Resources Group
7.150%, 05/15/28		52		59

SEI Institutional Managed Trust / Annual Report / September 30, 2011 111

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Williams
7.875%, 09/01/21	$	817	$	969
Williams, Ser A
7.500%, 01/15/31		215		252
				12,159
Financials — 13.0%
ABB Treasury Center USA
4.000%, 06/15/21 (B)		275		277
2.500%, 06/15/16 (B)		1,085		1,109
Abbey National Treasury Services
4.000%, 04/27/16 (C)		600		554
ACE INA Holdings
5.600%, 05/15/15		100		112
Achmea Hypotheekbank
3.200%, 11/03/14 (B)		1,075		1,136
Aflac
8.500%, 05/15/19 (C)		25		30
6.450%, 08/15/40		25		25
AIG SunAmerica Global Financing X
6.900%, 03/15/32 (B)		30		32
Allstate
5.000%, 08/15/14		70		77
Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13		610		646
American Express
7.250%, 05/20/14		105		119
7.000%, 03/19/18 (C)		170		201
American Express Credit MTN
7.300%, 08/20/13		680		744
5.125%, 08/25/14		390		422
2.800%, 09/19/16 (C)		785		781
1.208%, 06/24/14 (A)		135		134
American Honda Finance MTN
3.875%, 09/21/20 (B)		495		495
American International Group
5.850%, 01/16/18 (C)		325		322
4.250%, 09/15/14 (C)		285		277
Andina de Fomento
3.750%, 01/15/16		90		91
ANZ National Int’l
2.375%, 12/21/12 (B)		100		101
AON
6.250%, 09/30/40		19		23
3.500%, 09/30/15		11		11
ASIF Global Financing XIX
4.900%, 01/17/13 (B)		186		188
Associates Corp of North America
6.950%, 11/01/18		200		221
Australia & New Zealand Banking Group
3.700%, 01/13/15 (B)		530		551

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bank of America
7.375%, 05/15/14	$	600	$	619
6.500%, 08/01/16		1,325		1,316
6.100%, 06/15/17		2,600		2,421
6.000%, 09/01/17		445		428
5.750%, 12/01/17		110		103
5.650%, 05/01/18		1,615		1,533
5.625%, 07/01/20		75		69
5.420%, 03/15/17		100		87
5.000%, 05/13/21		700		625
4.500%, 04/01/15		150		142
3.750%, 07/12/16		570		519
3.625%, 03/17/16		155		141
Bank of Montreal
2.850%, 06/09/15 (B)		280		296
Bank of New York Mellon MTN
4.600%, 01/15/20		40		44
3.550%, 09/23/21		34		34
2.950%, 06/18/15 (C)		125		130
Bank of Nova Scotia
3.400%, 01/22/15		94		99
2.375%, 12/17/13 (C)		100		103
2.150%, 08/03/16 (B)		215		219
1.450%, 07/26/13 (B)		1,505		1,520
Bank of Tokyo-Mitsubishi UFJ
3.850%, 01/22/15 (B)		100		106
Barclays Bank
5.200%, 07/10/14		150		153
5.125%, 01/08/20		760		745
5.000%, 09/22/16 (C)		1,450		1,453
2.500%, 01/23/13		150		149
BB&T
5.700%, 04/30/14		195		213
4.900%, 06/30/17 (C)		200		213
3.950%, 04/29/16 (C)		160		169
3.850%, 07/27/12		150		153
Bear Stearns
7.250%, 02/01/18		1,500		1,768
Berkshire Hathaway
3.750%, 08/15/21 (C)		1,313		1,332
Berkshire Hathaway Finance
5.400%, 05/15/18 (C)		690		788
BlackRock
6.250%, 09/15/17 (C)		145		168
Blackstone Holdings Finance
5.875%, 03/15/21 (B)		295		305
Boeing Capital
2.900%, 08/15/18		265		274
Caisse Centrale Desjardins du Quebec
2.550%, 03/24/16 (B)		255		265
Canadian Imperial Bank of Commerce
2.600%, 07/02/15 (B) (C)		655		682
Capital One Financial
7.375%, 05/23/14		225		251

112 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
6.750%, 09/15/17	$	145	$	165
4.750%, 07/15/21 (C)		540		541
Caterpillar Financial Services MTN
7.150%, 02/15/19 (C)		110		141
5.850%, 09/01/17		140		166
CDP Financial
3.000%, 11/25/14 (B)		900		941
Charles Schwab
4.950%, 06/01/14		20		22
Chase Capital II
0.754%, 02/01/27 (A)		560		412
Citigroup
8.125%, 07/15/39 (C)		675		809
6.875%, 03/05/38		685		744
6.500%, 08/19/13 (C)		250		263
6.375%, 08/12/14 (C)		300		318
6.125%, 05/15/18		115		123
6.010%, 01/15/15		325		345
6.000%, 08/15/17		620		658
5.375%, 08/09/20		360		373
5.300%, 01/07/16 (C)		575		598
3.953%, 06/15/16 (C)		500		499
0.862%, 08/25/36 (A)		1,500		981
Citigroup Funding
1.875%, 10/22/12		680		691
CME Group
5.750%, 02/15/14		46		51
CNA Financial
6.500%, 08/15/16		155		167
5.875%, 08/15/20		72		74
5.750%, 08/15/21		245		247
Comerica
3.000%, 09/16/15		35		35
CommonWealth‡
6.650%, 01/15/18		60		67
6.250%, 08/15/16		100		107
Commonwealth Bank of Australia
2.125%, 03/17/14 (B)		1,250		1,255
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
5.800%, 09/30/10 (B)		100		105
5.250%, 05/24/41		480		526
Credit Suisse NY
6.000%, 02/15/18 (C)		370		375
Credit Suisse NY MTN
5.300%, 08/13/19		250		253
4.375%, 08/05/20		285		276
Credit Suisse USA
5.125%, 08/15/15		170		179
Deutsche Bank
4.875%, 05/20/13		750		775
3.875%, 08/18/14 (C)		100		102
2.375%, 01/11/13		1,355		1,346
Dexia Credit Local
2.750%, 04/29/14 (B)		1,795		1,768

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Discover Financial Services
6.450%, 06/12/17	$	250	$	260
DnB Boligkreditt
2.100%, 10/14/15 (B)		1,890		1,913
ERAC USA Finance
2.250%, 01/10/14 (B)		58		58
ERP Operating‡
5.750%, 06/15/17 (C)		125		140
5.125%, 03/15/16		830		890
Farmers Exchange Capital
7.200%, 07/15/48 (B)		1,321		1,424
7.050%, 07/15/28 (B)		480		514
FDIC Structured Sale Guaranteed Notes
1.450%, 10/25/13 (B) (D)		250		244
FUEL Trust
3.984%, 06/15/16 (B)		200		196
General Electric Capital MTN
6.875%, 01/10/39 (C)		495		568
6.750%, 03/15/32 (C)		965		1,102
6.000%, 08/07/19		645		726
5.900%, 05/13/14		850		929
5.875%, 01/14/38		1,100		1,127
5.625%, 09/15/17		700		769
5.500%, 01/08/20 (C)		180		196
5.400%, 02/15/17		200		218
5.375%, 10/20/16 (C)		350		384
5.300%, 02/11/21		300		311
4.625%, 01/07/21 (C)		599		622
0.539%, 08/07/18 (A)		850		740
Goldman Sachs Group MTN
7.500%, 02/15/19 (C)		700		781
6.250%, 09/01/17		650		678
6.250%, 02/01/41		190		185
6.150%, 04/01/18 (C)		780		808
6.000%, 05/01/14		750		794
6.000%, 06/15/20 (C)		975		1,003
5.375%, 03/15/20		950		943
5.250%, 10/15/13		140		145
5.250%, 07/27/21		870		858
3.625%, 02/07/16 (C)		1,060		1,032
GTP Acquisition Partners I
4.347%, 06/15/16 (B)		144		145
Hartford Financial Services Group
5.500%, 03/30/20		215		210
HCP MTN‡
6.750%, 02/01/41 (C)		150		161
6.700%, 01/30/18		975		1,053
6.300%, 09/15/16		375		401
6.000%, 06/15/14		500		531
5.650%, 12/15/13		386		405
Health Care‡
6.125%, 04/15/20		1,775		1,851
Health Care REIT‡
6.500%, 03/15/41		145		138

SEI Institutional Managed Trust / Annual Report / September 30, 2011 113

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Healthcare Realty Trust‡
6.500%, 01/17/17	$	1,400	$	1,511
HSBC Bank
4.125%, 08/12/20 (B)		100		99
1.625%, 07/07/14 (B)		200		201
HSBC Bank USA NY
4.625%, 04/01/14		175		179
HSBC Finance
6.676%, 01/15/21 (B)		1,000		983
5.500%, 01/19/16		140		146
4.750%, 07/15/13 (C)		160		165
HSBC Holdings
5.100%, 04/05/21 (C)		390		402
HSBC Holdings PLC
6.800%, 06/01/38 (C)		230		230
International Lease Finance
7.125%, 09/01/18 (B)		500		502
6.750%, 09/01/16 (B)		500		501
Itau Unibanco Holding MTN
6.200%, 04/15/20 (B)		120		121
Jackson National Life Global Funding MTN
5.375%, 05/08/13 (B)		200		211
Jefferies Group
6.450%, 06/08/27		160		154
6.250%, 01/15/36		120		109
5.125%, 04/13/18 (C)		240		225
John Deere Capital MTN
5.750%, 09/10/18		100		121
JPMorgan Chase
6.000%, 01/15/18		115		128
5.600%, 07/15/41		350		366
4.350%, 08/15/21		50		51
3.450%, 03/01/16		385		387
JPMorgan Chase Bank
6.000%, 10/01/17		2,327		2,446
JPMorgan Chase Capital XIII
1.196%, 09/30/34 (A)		500		388
JPMorgan Chase Capital XXV
6.800%, 10/01/37		283		285
KeyBank
5.800%, 07/01/14 (C)		250		270
Kilroy Realty‡
6.625%, 06/01/20		175		190
5.000%, 11/03/15		130		135
4.800%, 07/15/18		310		299
Korea Development Bank
3.250%, 03/09/16 (C)		374		361
Lazard Group
7.125%, 05/15/15 (C)		438		484
6.850%, 06/15/17		609		671
Lincoln National
4.850%, 06/24/21		10		10

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Lloyds TSB Bank
6.375%, 01/21/21 (C)	$	1,125	$	1,109
5.800%, 01/13/20 (B)		310		295
M&T Bank
5.375%, 05/24/12		80		82
Macquarie Group
7.300%, 08/01/14		1,475		1,597
7.300%, 08/01/14 (B)		120		130
6.250%, 01/14/21 (B)		96		91
Massachusetts Mutual Life Insurance
8.875%, 06/01/39 (B)		640		964
MassMutual Global Funding II
2.875%, 04/21/14 (B)		100		103
MBNA Capital B
1.054%, 02/01/27 (A)		500		322
Merrill Lynch
6.875%, 04/25/18		100		98
6.400%, 08/28/17		150		146
6.150%, 04/25/13		140		140
6.050%, 05/16/16 (C)		920		828
MetLife
6.750%, 06/01/16		390		449
6.400%, 12/15/36 (C)		695		616
5.700%, 06/15/35 (C)		145		155
Metropolitan Life Global Funding I
5.125%, 06/10/14 (B) (C)		100		108
2.500%, 01/11/13 (B)		310		313
2.500%, 09/29/15 (B)		520		524
Monumental Global Funding
5.500%, 04/22/13 (B)		65		69
Morgan Stanley MTN
7.300%, 05/13/19		920		948
6.625%, 04/01/18		1,770		1,756
6.250%, 08/28/17 (C)		200		197
5.950%, 12/28/17		100		97
5.750%, 08/31/12 (C)		180		186
5.750%, 01/25/21		100		92
5.625%, 09/23/19		285		267
5.550%, 04/27/17		100		96
5.500%, 01/26/20		700		643
5.500%, 07/28/21		125		116
5.450%, 01/09/17		470		453
4.750%, 04/01/14		620		589
4.200%, 11/20/14 (C)		156		153
National Australia Bank
3.750%, 03/02/15 (B) (C)		120		125
3.000%, 07/27/16 (B)		180		180
2.500%, 01/08/13 (B)		150		152
National Bank of Canada
1.650%, 01/30/14 (B)		870		884
National City
6.875%, 05/15/19		50		57
4.900%, 01/15/15		200		217

114 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
National City Bank
0.703%, 06/07/17 (A)	$	1,300	$	1,190
National Rural Utilities Cooperative Finance
10.375%, 11/01/18		60		86
2.625%, 09/16/12		25		25
Nationwide Mutual Insurance
9.375%, 08/15/39 (B)		110		128
6.600%, 04/15/34 (B)		35		32
New York Life Global Funding
4.650%, 05/09/13 (B)		150		158
3.000%, 05/04/15 (B)		720		748
New York Life Insurance
6.750%, 11/15/39 (B)		255		315
Nomura Holdings
6.700%, 03/04/20 (C)		115		129
5.000%, 03/04/15		40		42
4.125%, 01/19/16		60		61
Nordea Bank
4.875%, 05/13/21 (B) (C)		230		197
Nordea Eiendomskreditt
1.875%, 04/07/14 (B)		985		998
Northwestern Mutual Life Insurance
6.063%, 03/30/40 (B)		470		553
PACCAR Financial MTN
1.550%, 09/29/14		35		35
Pacific Life Global Funding MTN
5.150%, 04/15/13 (B)		100		104
5.000%, 05/15/17 (B)		50		53
Pipeline Funding
7.500%, 01/15/30 (B)		1,500		1,677
PNC Funding
5.125%, 02/08/20		90		100
2.700%, 09/19/16		570		570
Post Apartment Homes
4.750%, 10/15/17		700		736
Power Receivables Financial
6.290%, 01/01/12 (B)		18		18
Principal Life Income Funding Trusts MTN
5.300%, 12/14/12		125		131
5.300%, 04/24/13 (C)		125		133
5.100%, 04/15/14		225		242
Protective Life
8.450%, 10/15/39		137		158
Prudential Financial MTN
5.625%, 05/12/41		90		85
Prudential Holdings
8.695%, 12/18/23 (B)		1,200		1,514
1.225%, 12/18/17 (A) (B)		750		699
Prudential Insurance of America
8.300%, 07/01/25 (B)		150		196
Rabobank Nederland MTN
3.200%, 03/11/15 (B)		200		207

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Royal Bank of Canada MTN
2.300%, 07/20/16 (C)	$	120	$	121
Simon Property Group‡
10.350%, 04/01/19		130		174
6.750%, 05/15/14		50		56
5.650%, 02/01/20		38		42
Sparebank 1 Boligkreditt
1.250%, 10/25/13 (B)		390		392
Stadshypotek
1.450%, 09/30/13 (B)		1,049		1,055
Standard Chartered
3.200%, 05/12/16 (B) (C)		490		486
Svensk Exportkredit
3.250%, 09/16/14 (C)		667		708
Swedbank Hypotek
2.950%, 03/28/16 (B)		425		444
2.125%, 08/31/16 (B)		495		496
Toronto-Dominion Bank
2.500%, 07/14/16		72		74
2.200%, 07/29/15 (B)		100		103
1.625%, 09/14/16 (B)		1,695		1,689
Toyota Motor Credit MTN
3.400%, 09/15/21		740		746
3.200%, 06/17/15		87		91
2.000%, 09/15/16		200		199
Travelers
3.900%, 11/01/20		300		308
Travelers Property Casualty
7.750%, 04/15/26		100		132
UBS MTN
5.875%, 12/20/17 (C)		120		123
5.750%, 04/25/18 (C)		100		103
US Bancorp MTN
2.875%, 11/20/14		138		143
2.450%, 07/27/15		250		257
Wachovia
5.750%, 06/15/17		485		546
Wachovia Bank MTN
6.000%, 11/15/17		875		970
4.875%, 02/01/15		600		632
0.677%, 03/15/16 (A)		400		357
WEA Finance
7.500%, 06/02/14 (B)		1,140		1,272
7.125%, 04/15/18 (B)		60		69
6.750%, 09/02/19 (B)		70		78
4.625%, 05/10/21 (B) (C)		245		234
Wells Fargo
5.625%, 12/11/17 (C)		180		204
3.676%, 06/15/16 (C)		390		406
Westpac Banking MTN
4.875%, 11/19/19 (C)		260		272
3.000%, 12/09/15		515		523
1.099%, 03/31/14 (A) (B)		1,200		1,204

SEI Institutional Managed Trust / Annual Report / September 30, 2011 115

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WR Berkley
5.375%, 09/15/20	$	180	$	185
XL Group
5.750%, 10/01/21		145		145
ZFS Finance USA Trust IV
5.875%, 05/09/32 (A) (B)		1,750		1,735
				126,037
Health Care — 0.4%
Amgen
5.750%, 03/15/40		62		75
5.650%, 06/15/42		657		795
4.500%, 03/15/20		22		25
3.450%, 10/01/20		50		51
Coventry Health Care
5.950%, 03/15/17		508		569
5.450%, 06/15/21		120		130
Gilead Sciences
4.500%, 04/01/21		425		458
Life Technologies
5.000%, 01/15/21		425		440
Medco Health Solutions
2.750%, 09/15/15		35		35
Pharmacia
6.500%, 12/01/18		120		150
Roche Holdings
7.000%, 03/01/39 (B)		265		379
Sanofi-Aventis
2.625%, 03/29/16		465		481
Stryker
2.000%, 09/30/16		275		276
Thermo Fisher Scientific
3.200%, 03/01/16		225		236
UnitedHealth Group
6.875%, 02/15/38		90		118
				4,218
Industrials — 0.9%
American Airlines, 2011-1 Cl A Pass-Through Trust
5.250%, 01/31/21		19		17
American Airlines, 2011-2 Cl A Pass-Through Trust
8.625%, 10/15/21		80		80
BAE Systems Holdings
5.200%, 08/15/15 (B)		90		99
Burlington Northern Santa Fe
7.290%, 06/01/36		90		127
5.750%, 03/15/18		950		1,119
5.750%, 05/01/40		131		154
5.400%, 06/01/41		50		56
4.700%, 10/01/19		75		84
3.450%, 09/15/21 (C)		16		16

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Canadian National Railway
5.850%, 11/15/17	$	50	$	60
Cargill
7.350%, 03/06/19 (B)		250		319
Caterpillar
5.200%, 05/27/41		460		538
Continental Airlines Pass-Through Trust, Ser 1999-2
7.256%, 03/15/20		271		277
Continental Airlines Pass-Through Trust, Ser 2000-1
8.048%, 11/01/20		370		385
Continental Airlines Pass-Through Trust, Ser 2009-2
7.250%, 11/10/19		190		198
Continental Airlines Pass-Through Trust, Ser A
5.983%, 04/19/22 (C)		540		542
CSX
6.250%, 03/15/18		155		187
Danaher
3.900%, 06/23/21		22		24
Delta Air Lines Pass-Through Trust, Ser 2010-1
6.200%, 07/02/18 (C)		566		583
Delta Air Lines Pass-Through Trust, Ser 2010-2
4.950%, 05/23/19		49		48
Eaton
7.625%, 04/01/24		75		102
Fluor
3.375%, 09/15/21		68		68
Hutchison Whampoa International
5.750%, 09/11/19 (B)		355		381
JetBlue Airways Pass-Through Trust, 2004-1 G-1
0.722%, 12/15/13 (A)		449		410
Koninklijke Philips Electronics
5.750%, 03/11/18		24		28
Lockheed Martin
5.720%, 06/01/40		82		94
3.350%, 09/15/21		650		644
2.125%, 09/15/16		37		37
Norfolk Southern
6.000%, 05/23/11 (C)		158		187
Northrop Grumman
1.850%, 11/15/15		540		537
Pitney Bowes
5.600%, 03/15/18		25		26
5.000%, 03/15/15		50		53
4.875%, 08/15/14		50		54
Ryder System MTN
3.600%, 03/01/16		35		37
Tyco International
7.000%, 12/15/19		30		37

116 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Tyco International Finance
8.500%, 01/15/19	$	50	$	65
Union Pacific
4.163%, 07/15/22 (B) (C)		131		140
United Parcel Service of America
8.375%, 04/01/20		50		70
United Technologies
8.875%, 11/15/19		110		155
Verisk Analytics
5.800%, 05/01/21		220		247
Waste Management
4.750%, 06/30/20		93		101
2.600%, 09/01/16		180		180
				8,566
Information Technology — 0.7%
Adobe Systems
4.750%, 02/01/20		265		278
Arrow Electronics
6.875%, 07/01/13		25		27
6.875%, 06/01/18		95		106
6.000%, 04/01/20		45		48
Cisco Systems
5.900%, 02/15/39		150		180
5.500%, 01/15/40 (C)		265		306
Dell
5.650%, 04/15/18		90		102
Fiserv
3.125%, 06/15/16		295		299
Hewlett-Packard
6.000%, 09/15/41		660		696
4.375%, 09/15/21		39		40
3.000%, 09/15/16		172		173
HP Enterprise Services
7.450%, 10/15/29 (C)		125		154
Intel
4.800%, 10/01/41		65		70
3.300%, 10/01/21		1,640		1,675
International Business Machines
8.000%, 10/15/38		100		151
1.950%, 07/22/16		515		520
Intuit
5.750%, 03/15/17		75		84
Microsoft
5.300%, 02/08/41		775		954
4.500%, 10/01/40		14		15
1.625%, 09/25/15		90		92
National Semiconductor
3.950%, 04/15/15		100		107
Oracle
5.375%, 07/15/40 (B)		17		20
5.000%, 07/08/19 (C)		200		231
Xerox
8.250%, 05/15/14		90		102

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
4.500%, 05/15/21	$	13	$	13
				6,443
Materials — 0.2%
ArcelorMittal
5.500%, 03/01/21		178		159
BHP Billiton Finance USA
6.500%, 04/01/19 (C)		125		154
CRH America
6.000%, 09/30/16		31		33
Dow Chemical
8.550%, 05/15/19		523		670
7.600%, 05/15/14		190		216
E.I. du Pont de Nemours
5.600%, 12/15/36		80		98
4.900%, 01/15/41		25		28
1.950%, 01/15/16		40		40
Potash Corp of Saskatchewan
6.500%, 05/15/19		50		61
PPG Industries
9.000%, 05/01/21		145		203
Praxair
5.200%, 03/15/17		70		81
4.375%, 03/31/14		75		81
Rio Tinto Finance USA
3.750%, 09/20/21		90		90
Rio Tinto Finance USA Ltd.
8.950%, 05/01/14		80		95
Teck Resources
6.250%, 07/15/41 (C)		297		311
Union Carbide
7.750%, 10/01/96		50		60
				2,380
Telecommunication Services — 1.1%
America Movil
6.125%, 03/30/40		285		296
2.375%, 09/08/16 (C)		350		338
American Tower
5.050%, 09/01/20 (C)		124		124
4.500%, 01/15/18 (C)		445		446
AT&T
8.000%, 11/15/31		13		18
6.400%, 05/15/38		135		157
6.300%, 01/15/38		435		498
5.550%, 08/15/41		960		1,034
5.500%, 02/01/18		100		115
5.350%, 09/01/40		423		442
4.850%, 02/15/14 (C)		200		215
BellSouth Telecommunications
6.300%, 12/15/15		137		146
British Telecommunications
5.950%, 01/15/18 (C)		200		222

SEI Institutional Managed Trust / Annual Report / September 30, 2011 117

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
British Telecommunications PLC
9.875%, 12/15/30	$	45	$	65
Cellco Partnership
8.500%, 11/15/18		230		307
7.375%, 11/15/13		240		269
Centel Capital
9.000%, 10/15/19		65		73
CenturyLink
7.600%, 09/15/39		320		288
6.450%, 06/15/21		120		111
Deutsche Telekom International Finance BV
6.000%, 07/08/19		175		202
France Telecom
8.500%, 03/01/31		50		69
2.750%, 09/14/16		665		660
GTE
8.750%, 11/01/21 (C)		300		419
6.840%, 04/15/18		150		181
Qwest
6.750%, 12/01/21		156		153
Telecom Italia Capital
6.999%, 06/04/18		150		150
4.950%, 09/30/14		620		597
Telefonica Emisiones SAU
6.221%, 07/03/17 (C)		205		207
5.462%, 02/16/21		23		22
2.582%, 04/26/13		695		673
Telefonica Moviles Chile
2.875%, 11/09/15 (B) (C)		210		201
Telemar Norte Leste SA
5.500%, 10/23/20 (B)		450		428
Verizon Communications
6.000%, 04/01/41		115		140
5.850%, 09/15/35		40		47
Verizon Global Funding
7.750%, 12/01/30		610		838
Vodafone Group
5.450%, 06/10/19		75		88
				10,239
Utilities — 2.0%
AEP Texas Central Transition Funding
5.170%, 01/01/18		575		673
5.090%, 07/01/15		1,300		1,441
AGL Capital
5.250%, 08/15/19		50		56
4.450%, 04/15/13		120		124
Alabama Power
6.125%, 05/15/38		18		23
5.875%, 12/01/22		95		117
Ameren
8.875%, 05/15/14		310		351

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
American Water Capital
6.085%, 10/15/17	$	100	$	117
Appalachian Power
5.950%, 05/15/33		100		115
Aquila
11.875%, 07/01/12		1,210		1,301
Arizona Public Service
5.050%, 09/01/41		47		51
Atmos Energy
4.950%, 10/15/14		75		82
Carolina Power & Light
5.300%, 01/15/19 (C)		175		206
3.000%, 09/15/21		514		518
CenterPoint Energy
6.500%, 05/01/18		50		59
CenterPoint Energy Resources
4.500%, 01/15/21		81		83
Cleveland Electric Illuminating
8.875%, 11/15/18		320		433
7.880%, 11/01/17		170		214
Consolidated Edison of New York
5.700%, 06/15/40		38		46
Consumers Energy
6.700%, 09/15/19 (C)		100		127
Dominion Resources
8.875%, 01/15/19		700		933
6.400%, 06/15/18		180		217
4.900%, 08/01/41 (C)		105		109
1.950%, 08/15/16		165		164
Duke Energy
6.300%, 02/01/14		120		133
3.550%, 09/15/21		76		76
Duke Energy Carolinas
4.300%, 06/15/20		39		43
Duke Energy Indiana
3.750%, 07/15/20		52		55
EDF
4.600%, 01/27/20 (B)		65		68
Enel Finance International
6.000%, 10/07/39 (B)		375		316
5.125%, 10/07/19 (B)		100		94
Exelon Generation
6.250%, 10/01/39		40		46
5.200%, 10/01/19		35		38
4.000%, 10/01/20		120		119
Florida Power & Light
5.125%, 06/01/41		28		33
Great Plains Energy
4.850%, 06/01/21		60		63
Hydro Quebec
2.000%, 06/30/16 (C)		585		597
Jersey Central Power & Light
7.350%, 02/01/19 (C)		100		127
Kansas City Power & Light
5.300%, 10/01/41		100		102

118 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Korea Hydro & Nuclear Power
3.125%, 09/16/15 (B) (C)	$	350	$	342
LG&E and KU Energy
4.375%, 10/01/21 (B)		360		360
Massachusetts Electric
5.900%, 11/15/39 (B)		55		68
MidAmerican Energy
5.300%, 03/15/18		200		232
MidAmerican Energy Holdings
6.500%, 09/15/37		195		244
6.125%, 04/01/36		100		120
National Grid
6.300%, 08/01/16		170		195
Nevada Power
7.125%, 03/15/19 (C)		110		137
5.375%, 09/15/40		12		14
Niagara Mohawk Power
4.881%, 08/15/19 (B)		80		89
Nisource Finance
6.125%, 03/01/22		1,000		1,133
Northern States Power
6.250%, 06/01/36 (C)		100		133
5.350%, 11/01/39		19		23
Oncor Electric Delivery
6.800%, 09/01/18		460		559
Pacific Gas & Electric
8.250%, 10/15/18		60		80
5.625%, 11/30/17		525		612
5.400%, 01/15/40		42		47
3.250%, 09/15/21		12		12
Pacificorp
6.250%, 10/15/37		90		116
5.650%, 07/15/18		175		211
Panhandle Eastern Pipeline
6.200%, 11/01/17		625		726
PPL Electric Utilities
3.000%, 09/15/21		235		234
PPL WEM Holdings
3.900%, 05/01/16 (B)		275		288
Progress Energy
6.850%, 04/15/12		229		236
PSEG Power
5.500%, 12/01/15		100		111
5.320%, 09/15/16		40		44
5.125%, 04/15/20		45		49
4.150%, 09/15/21		33		33
2.750%, 09/15/16		200		199
Public Service Electric & Gas MTN
5.375%, 11/01/39		28		34
2.700%, 05/01/15		45		47
Public Service of Colorado
4.750%, 08/15/41		55		61
Public Service of Oklahoma
5.150%, 12/01/19		33		37

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sempra Energy
8.900%, 11/15/13	$	180	$	205
6.000%, 10/15/39		50		61
2.000%, 03/15/14 (C)		545		551
Southern
1.950%, 09/01/16		26		26
Southern California Edison
5.500%, 03/15/40		50		62
3.875%, 06/01/21		22		24
Southern Power
5.150%, 09/15/41		11		11
Southwestern Public Service
8.750%, 12/01/18		90		123
Texas-New Mexico Power
9.500%, 04/01/19 (B)		1,290		1,694
Wisconsin Electric Power
2.950%, 09/15/21		3		3
				19,056
Total Corporate Obligations (Cost $201,271) ($ Thousands)				208,517
U.S. TREASURY OBLIGATIONS — 19.0%
U.S. Treasury Bills
0.020%, 11/10/11 to 12/08/11 (D) (F)		50		50
U.S. Treasury Bonds
8.875%, 08/15/17		1,690		2,434
8.750%, 05/15/20 to 08/15/20		775		1,218
8.500%, 02/15/20		425		655
8.125%, 08/15/19		798		1,189
8.000%, 11/15/21		504		787
7.625%, 02/15/25		1,575		2,537
7.500%, 11/15/16		1,200		1,591
6.750%, 08/15/26		250		384
6.500%, 11/15/26		200		301
6.375%, 08/15/27		50		75
6.250%, 05/15/30		200		306
6.125%, 11/15/27		500		737
5.500%, 08/15/28		1,100		1,536
4.750%, 02/15/41		381		521
4.500%, 02/15/36		938		1,215
4.375%, 05/15/40 to 05/15/41 (C)		10,469		13,524
4.250%, 11/15/40 (C)		1,977		2,500
3.875%, 08/15/40		15,940		18,939
3.750%, 08/15/41 (C)		8,092		9,421
3.250%, 12/31/16		1,100		1,225
2.625%, 12/31/14		500		534
2.375%, 10/31/14		500		529
U.S. Treasury Inflation Protected Security
2.500%, 01/15/29		105		135
2.125%, 02/15/41		2,053		2,622

SEI Institutional Managed Trust / Annual Report / September 30, 2011 119

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
U.S. Treasury Notes
4.750%, 08/15/17	$	2,720	$	3,275
4.250%, 11/15/17 (F)		5,460		6,439
3.500%, 02/15/18		2,000		2,272
3.125%, 10/31/16 to 05/15/21 (C)		8,467		9,407
2.750%, 05/31/17 to 12/31/17		5,435		5,921
2.250%, 07/31/18		500		528
2.125%, 08/15/21 (C)		17,237		17,541
1.875%, 09/30/17		545		566
1.500%, 06/30/16 to 08/31/18 (C)		13,355		13,712
1.375%, 09/30/18		726		722
1.000%, 08/31/16 to 09/30/16 (C)		21,547		21,591
0.875%, 01/31/12		9,755		9,781
0.625%, 07/15/14		1,390		1,398
0.375%, 06/30/13 to 07/31/13		2,090		2,095
0.250%, 09/15/14		990		985
U.S. Treasury STRIPS (D)
6.291%, 05/15/24		200		145
5.118%, 11/15/27		200		125
5.044%, 05/15/26		100		67
5.000%, 08/15/25		100		69
4.966%, 11/15/31		50		27
4.871%, 08/15/27		700		443
4.867%, 02/15/24		75		55
4.810%, 05/15/36		100		46
4.763%, 02/15/27		700		452
4.758%, 05/15/29		100		59
4.714%, 08/15/19		1,350		1,178
4.710%, 08/15/24		500		358
4.698%, 02/15/28		600		372
4.693%, 05/15/28		600		369
4.624%, 05/15/27		515		330
4.576%, 05/15/34		175		87
4.545%, 08/15/30		325		184
4.541%, 11/15/33		350		177
4.544%, 11/15/20		1,250		1,043
4.536%, 02/15/34		250		125
4.518%, 02/15/30		1,000		576
4.470%, 11/15/32		150		78
4.455%, 11/15/29		300		174
4.454%, 05/15/33		375		193
4.453%, 08/15/33		300		153
4.422%, 11/15/30		950		533
4.350%, 02/15/32		150		80
4.339%, 11/15/26		1,000		652
4.312%, 11/15/24		150		106
4.283%, 02/15/17		3,660		3,441
4.271%, 05/15/30		200		114
4.120%, 05/15/19		875		771
3.829%, 08/15/18		400		361
3.809%, 11/15/17		1,550		1,429

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
3.805%, 02/15/22	$	600	$	477
3.727%, 08/15/20		3,350		2,816
3.664%, 02/15/18		725		663
3.623%, 05/15/31		185		102
3.433%, 08/15/21		100		81
3.385%, 11/15/16		200		189
3.125%, 11/15/21		200		161
3.113%, 05/15/20		3,824		3,246
3.094%, 05/15/18		250		227
3.037%, 02/15/16		100		96
2.775%, 02/15/15		100		98
2.753%, 02/15/20		200		172
1.179%, 02/15/14		1,200		1,190
Total U.S. Treasury Obligations (Cost $168,158) ($ Thousands)				185,088
ASSET-BACKED SECURITIES — 6.4%
Automotive — 0.7%
Ally Auto Receivables Trust, Ser 2009-A, Cl A3
2.330%, 06/17/13 (B)		68		69
Ally Auto Receivables Trust, Ser 2010-1, Cl A3
1.450%, 05/15/14		84		85
Ally Auto Receivables Trust, Ser 2010-3, Cl A4
1.550%, 08/17/15		89		90
Ally Auto Receivables Trust, Ser 2010-3, Cl A3
1.110%, 10/15/14		225		226
Ally Auto Receivables Trust, Ser 2011-1, Cl A2
0.810%, 10/15/13		157		157
Ally Auto Receivables Trust, Ser 2011-1, Cl A3
1.380%, 01/15/15		85		86
Ally Auto Receivables Trust, Ser 2011-4, Cl A4
1.140%, 06/15/16		328		327
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl A3
1.770%, 03/17/14		33		33
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3
1.140%, 04/08/15		110		110
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A2
0.840%, 06/09/14		127		127
AmeriCredit Automobile Receivables Trust, Ser 2011-1, Cl A3
1.390%, 09/08/15		75		75
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A2
0.840%, 11/10/14		195		195

120 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A3
1.170%, 05/09/16	$	259	$	259
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2
0.920%, 03/09/15		100		100
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13 (B)		37		38
Bank of America Auto Trust, Ser 2009-3A, Cl A3
1.670%, 12/15/13 (B)		53		53
Bank of America Auto Trust, Ser 2010-1A, Cl A4
2.180%, 02/15/17 (B)		100		102
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (B)		83		84
Bank of America Auto Trust, Ser 2010-2, Cl A3
1.310%, 07/15/14		24		24
CarMax Auto Owner Trust, Ser 2010-1, Cl A3
1.560%, 07/15/14		74		74
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A3
0.910%, 08/08/13		250		250
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A3
2.590%, 10/15/13 (B)		235		237
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A4
3.320%, 02/15/17		100		102
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/15		72		72
Huntington Auto Trust, Ser 2011-1A, Cl A3
1.010%, 01/15/16 (B)		200		200
Huntington Auto Trust, Ser 2011-1A, Cl A2
0.760%, 04/15/14 (B)		240		240
Huntington Auto Trust, Ser 2011-1A, Cl A4
1.310%, 11/15/16 (B)		200		200
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3
0.970%, 04/15/15		80		80
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A4
1.630%, 03/15/17		90		91
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A3
1.040%, 09/15/15		64		64

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A4
1.650%, 02/15/17	$	71	$	72
Hyundai Auto Receivables Trust, Ser 2011-C, Cl A4
1.300%, 02/15/18		290		290
LAI Vehicle Lease Securitization Trust, Ser 2010-A, Cl A
2.550%, 09/15/16 (B)		169		169
Mercedes-Benz Auto Receivables Trust, Ser 2010-1A, Cl A3
1.420%, 08/15/14		171		172
MMCA Automobile Trust, Ser 2011-A, Cl A4
2.020%, 10/17/16 (B)		230		235
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A3
0.870%, 07/15/14		95		95
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4
1.310%, 09/15/16		75		76
Santander Drive Auto Receivables Trust, Ser 2010-A, Cl A4
2.390%, 06/15/17 (B)		100		102
Santander Drive Auto Receivables Trust, Ser 2011-S2A, Cl B
2.060%, 06/15/17 (B)		43		43
Toyota Auto Receivables Owner Trust, Ser 2010-C, Cl A3
0.770%, 04/15/14		190		190
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A4
1.560%, 05/15/15		125		127
Toyota Auto Receivables Owner Trust, Ser 2011-A, Cl A3
0.980%, 10/15/14		250		251
USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15		145		149
USAA Auto Owner Trust, Ser 2009-2, Cl A3
1.540%, 02/18/14		64		64
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A3
1.490%, 06/16/14 (B)		70		70
Westlake Automobile Receivables Trust, Ser 2011-1A, Cl A2
1.080%, 07/15/13 (B)		50		50
World Omni Auto Receivables Trust, Ser 2008-A, Cl A4
4.740%, 10/15/13		424		432
World Omni Auto Receivables Trust, Ser 2010-A, Cl A4
2.210%, 05/15/15		135		138
				6,575

SEI Institutional Managed Trust / Annual Report / September 30, 2011 121

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Credit Cards — 0.8%
Capital One Multi-Asset Execution Trust, Ser 2004-A4, Cl A4
0.449%, 03/15/17 (A)	$	154	$	154
Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A
0.309%, 09/15/15 (A)		293		293
Chase Issuance Trust, Ser 2005-A11, Cl A
0.299%, 12/15/14 (A)		676		676
Chase Issuance Trust, Ser 2005-A6, Cl A6
0.299%, 07/15/14 (A)		219		219
Citibank Credit Card Issuance Trust, Ser 2005-A2, Cl A2
4.850%, 03/10/17		485		547
Citibank Credit Card Issuance Trust, Ser 2009-A4, Cl A4
4.900%, 06/23/16		435		483
Citibank Omni Master Trust, Ser 2009-A14A, Cl A14
2.979%, 08/15/18 (A) (B)		1,886		1,973
Citibank Omni Master Trust, Ser 2009-A8, Cl A8
2.329%, 05/16/16 (A) (B)		1,029		1,038
DBRR Trust, Ser 2011-LC2
4.537%, 04/12/21		500		522
Discover Card Master Trust, Ser 2009-A1, Cl A1
1.529%, 12/15/14 (A)		231		233
GE Capital Credit Card Master Note Trust, Ser 2009-2, Cl A
3.690%, 07/15/15		426		436
MBNA Master Credit Card Trust, Ser 1997-B, Cl A
0.389%, 08/15/14 (A)		1,315		1,315
World Financial Network Credit Card Master Trust, Ser 2009-A, Cl A
4.600%, 09/15/15		499		501
				8,390
Mortgage Related Securities — 1.7%
Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1
1.285%, 01/25/34 (A)		505		426
Aegis Asset-Backed Securities Trust, Ser 2004-5, Cl M1
0.885%, 12/25/34 (A)		1,087		959
Aegis Asset-Backed Securities Trust, Ser 2004-6, Cl M1
0.775%, 03/25/35 (A)		1,014		947
Arch Bay Asset-Backed Securities, Ser 2010-2, Cl A
4.125%, 04/25/57 (A) (B)		93		93

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Argent Securities, Ser 2003-W5, Cl M1
0.935%, 10/25/33 (A)	$	418	$	319
Asset-Backed Securities Home Equity, Ser 2005-HE6, Cl M1
0.725%, 07/25/35 (A)		844		810
Bear Stearns Alt-A Trust, Ser 2004-13, Cl A1
0.975%, 11/25/34 (A)		1,576		1,368
Bear Stearns Asset-Backed Securities Trust, Ser 2005-TC2, Cl A3
0.605%, 08/25/35 (A)		1,525		1,243
Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE2, Cl 1A1
0.335%, 03/25/37 (A)		425		409
BNC Mortgage Loan Trust, Ser 2008-4, Cl A3A
0.485%, 11/25/37 (A)		827		799
Contimortgage Home Equity Trust, Ser 1997-1, Cl A9
7.050%, 03/15/28		—		—
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28		2		2
HSBC Home Equity Loan Trust, Ser 2005-2, Cl M2
0.721%, 01/20/35 (A)		110		95
HSBC Home Equity Loan Trust, Ser 2005-2, Cl A1
0.501%, 01/20/35 (A)		88		78
HSBC Home Equity Loan Trust, Ser 2006-1, Cl A1
0.390%, 01/20/36 (A)		1,537		1,432
HSBC Home Equity Loan Trust, Ser 2006-2, Cl A1
0.380%, 03/20/36 (A)		97		89
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2V
0.411%, 03/20/36 (A)		1,295		1,262
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS
0.430%, 03/20/36 (A)		108		91
HSBC Home Equity Loan Trust, Ser 2007-1, Cl M2
0.710%, 03/20/36 (A)		2,000		946
HSBC Home Equity Loan Trust, Ser 2007-1, Cl A2F
5.600%, 03/20/36		173		174
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT
1.430%, 11/20/36 (A)		248		220
IXIS Real Estate Capital Trust, Ser 2005-HE1, Cl M2
0.970%, 06/25/35 (A)		558		510

122 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Lake Country Mortgage Loan Trust, Ser 2006-HE1, Cl A3
0.585%, 07/25/34 (A) (B)	$	190	$	181
Morgan Stanley ABS Capital I, Ser 2004-WMC3, Cl M1
0.985%, 01/25/35 (A)		44		43
Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A
0.275%, 01/25/37 (A)		12		12
Morgan Stanley Capital I, Ser 2011-C3, Cl A3
4.054%, 07/15/49		100		102
Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1
0.285%, 12/25/36 (A)		4		4
Option One Mortgage Loan Trust, Ser 2003-5, Cl M1
1.210%, 08/25/33 (A)		257		145
Residential Asset Securities, Ser 2005-EMX3, Cl AI4
0.605%, 09/25/35 (A)		216		213
Residential Asset Securities, Ser 2005-KS9, Cl A3
0.605%, 10/25/35 (A)		100		94
Salomon Brothers Mortgage Securities VII, Ser 2003-UP1, Cl A
3.950%, 04/25/32 (B)		134		113
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6
4.795%, 06/25/33		88		88
Saxon Asset Securities Trust, Ser 2004-1, Cl M1
1.030%, 03/25/35 (A)		1,684		1,217
Structured Asset Securities, Ser 2002- AL1, Cl A2
3.450%, 02/25/32		90		82
Structured Asset Securities, Ser 2005-NC1, Cl A11
4.690%, 02/25/35		187		184
Vericrest Opportunity Loan Transferee, Ser 2011-NL2A, Cl A1
5.682%, 06/25/51 (B)		150		150
Vericrest Opportunity Loan Transferee, Ser 2011-NL2A, Cl A2
9.317%, 06/25/51 (B)		150		150
Wells Fargo Home Equity Trust, Ser 2004-2, Cl AI6
5.000%, 05/25/34 (A)		1,400		1,396
				16,446

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Other Asset-Backed Securities — 3.2%
AH Mortgage Advance Trust, Ser 2011-1, PO
3.370%, 05/10/43 (B)	$	667	$	664
2.630%, 05/10/42 (B)		139		139
AH Mortgage Advance Trust, Ser 2011-2, Cl B1
6.900%, 09/15/43 (B)		120		120
AH Mortgage Advance Trust, Ser 2011-2, Cl A1
3.270%, 09/15/43 (B)		373		373
Ally Master Owner Trust, Ser 2011-1, Cl A2
2.150%, 01/15/16		765		777
Ally Master Owner Trust, Ser 2011-3, Cl A2
1.810%, 05/15/16		395		398
Ally Master Owner Trust, Ser 2011-4, Cl A2
1.540%, 09/15/16		363		362
Brazos Higher Education Authority, Ser 2010-1, Cl A2
1.457%, 02/25/35 (A)		850		810
Brazos Higher Education Authority, Ser 2011-2, Cl A3
1.247%, 10/27/36 (A)		400		364
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A4
4.499%, 11/25/34		122		121
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5
5.350%, 11/25/34		125		108
CIT Education Loan Trust, Ser 2007-1, Cl A
0.448%, 03/25/42 (A) (B)		893		818
CNH Equipment Trust, Ser 2009-C, Cl A3
1.850%, 12/16/13		10		10
CNH Equipment Trust, Ser 2009-C, Cl A4
3.000%, 08/17/15		560		572
CNH Equipment Trust, Ser 2010-A, Cl A3
1.540%, 07/15/14		204		204
Countrywide Asset-Backed Certificates, Ser 2005-4, Cl MV1
0.695%, 10/25/35 (A)		732		702
EFS Volunteer, Ser 2010-1, Cl A2
1.103%, 10/25/35 (A) (B)		800		759
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A1
2.120%, 02/15/16		480		489

SEI Institutional Managed Trust / Annual Report / September 30, 2011 123

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GE Seaco Finance Srl, Ser 2005-1A, Cl A
0.480%, 11/17/20 (A) (B)	$	1,167	$	1,100
Goal Capital Funding Trust, Ser 2006-1, Cl A3
0.432%, 11/25/26 (A)		984		928
JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AV2
0.295%, 10/25/36 (A)		222		220
Lehman ABS Manufactured Housing Contract Trust, Ser 2001-B, Cl A4
5.270%, 09/15/18		666		695
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/38		1,013		1,021
Nelnet Student Loan Trust, Ser 2005-2, Cl A5
0.455%, 03/23/37 (A)		249		226
Nelnet Student Loan Trust, Ser 2006-1, Cl A4
0.393%, 11/23/22 (A)		341		333
Nelnet Student Loan Trust, Ser 2006-2, Cl A4
0.333%, 10/26/26 (A)		561		556
Nelnet Student Loan Trust, Ser 2007-1, Cl A3
0.382%, 05/27/25 (A)		742		679
Nelnet Student Loan Trust, Ser 2008-3, Cl A4
1.962%, 11/25/24 (A)		865		893
Newcastle Investment Trust, Ser 2011-MH1, Cl A
2.450%, 12/10/33 (B)		47		47
Northstar Education Finance, Ser 2007-1, Cl A3
0.313%, 01/29/46 (A)		750		670
Park Place Securities, Ser 200-MHQ1, Cl M1
0.935%, 12/25/34 (A)		1,219		1,118
PennyMac Loan Trust, Ser 2010-NPL1, Cl A
4.250%, 05/25/50 (A) (B)		22		22
PennyMac Loan Trust, Ser 2010-NPL1, Cl M1
5.000%, 05/25/50 (A) (B)		150		148
PG&E Energy Recovery Funding, Ser 2005-1, Cl A4
4.370%, 06/25/14		152		155
Real Estate Asset Trust, Ser 2011-3A, Cl A1
5.440%, 06/25/31 (B)		80		81
Residential Asset Mortgage Products, Ser 2004-RZ1, Cl AI7
4.030%, 01/25/33 (A)		916		913

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Residential Asset Mortgage Products, Ser 2005-EFC5, Cl A3
0.575%, 10/25/35 (A)	$	150	$	122
Residential Credit Solutions Trust, Ser 2011-1, Cl A1
6.000%, 03/25/41 (B)		179		179
RSB Bondco, Ser 2007-A, Cl A1
5.470%, 10/01/14		54		55
RSB Bondco, Ser 2007-A, Cl A3
5.820%, 06/28/19		405		484
SLC Student Loan Trust, Ser 2007-2, Cl A2
0.686%, 05/15/28 (A)		659		633
SLM Student Loan Trust, Ser 2003-14, Cl A5
0.483%, 01/25/23 (A)		980		964
SLM Student Loan Trust, Ser 2004-3, Cl A5
0.423%, 07/25/23 (A)		288		279
SLM Student Loan Trust, Ser 2005-6, Cl A5A
0.363%, 07/27/26 (A)		737		715
SLM Student Loan Trust, Ser 2006-4, Cl A5
0.353%, 10/25/25 (A)		153		149
SLM Student Loan Trust, Ser 2006-5, Cl A6B
0.373%, 10/25/40 (A)		875		743
SLM Student Loan Trust, Ser 2007-4, Cl A3
0.313%, 01/25/22 (A)		202		201
SLM Student Loan Trust, Ser 2008-4, Cl A2
1.303%, 07/25/16 (A)		265		268
SLM Student Loan Trust, Ser 2008-6, Cl A2
0.803%, 10/25/17 (A)		130		130
SLM Student Loan Trust, Ser 2008-9, Cl A
1.753%, 04/25/23 (A)		486		499
SMS Student Loan Trust, Ser 2000-A, Cl A2
0.443%, 10/28/28 (A)		356		355
Soundview Home Equity Loan Trust, Ser 2005-OPT3, Cl A4
0.535%, 11/25/35 (A)		1,076		982
Structured Asset Investment Loan Trust, Ser 2005-5, Cl A9
0.505%, 06/25/35 (A)		100		92
Structured Asset Securities, Ser 2006-BC5, Cl A2
0.285%, 12/25/36 (A)		667		648
Structured Asset Securities, Ser 2006-BC6, Cl A2
0.315%, 01/25/37 (A)		886		869

124 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Structured Asset Securities, Ser 2006-GEL4, Cl A1
0.355%, 10/25/36 (A) (B)	$	110	$	110
Structured Asset Securities, Ser 2006-WF2, Cl A3
0.385%, 07/25/36 (A)		1,667		1,427
Structured Asset Securities, Ser 2007-BC2, Cl A2
0.325%, 03/25/37 (A)		537		519
TAL Advantage, Ser 2006-1A
0.421%, 04/20/21 (A) (B)		229		209
TAL Advantage, Ser 2010-2A, Cl A
4.300%, 10/20/25 (B)		504		478
TAL Advantage, Ser 2011-1A, Cl A
4.600%, 01/20/26 (B)		233		233
Textainer Marine Containers, Ser 2011-1A, Cl A
4.700%, 06/15/26 (B)		658		662
Trinity Rail Leasing, Ser 2004-1A, Cl A
5.270%, 08/14/27 (B)		328		347
Trip Rail Master Funding, Ser 2011-1A, Cl A1A
4.370%, 07/15/41 (B)		848		852
				30,799
Total Asset-Backed Securities (Cost $62,125) ($ Thousands)				62,210
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.9%
FICO STRIPS
9.800%, 11/30/17		875		1,289
9.700%, 04/05/19		320		490
8.600%, 09/26/19		845		1,251
3.713%, 10/06/17 to 09/26/19 (D)		2,135		1,849
3.230%, 12/06/17 (D)		660		593
2.858%, 05/02/16 (D)		515		485
1.869%, 02/08/13 (D)		815		808
FNMA
5.375%, 06/12/17		50		61
3.477%, 06/01/17 (D)		600		545
Resolution Funding STRIPS
3.315%, 01/15/16 (D)		1,000		953
3.534%, 07/15/20 (D)		400		331
Tennessee Valley Authority
5.250%, 09/15/39		40		51
4.625%, 09/15/60		60		73
Total U.S. Government Agency Obligations (Cost $8,248) ($ Thousands)				8,779
MUNICIPAL BONDS — 0.8%
American Municipal Power, RB
7.499%, 02/15/50		80		104

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bay Area Toll Authority, RB
6.263%, 04/01/49	$	1,330	$	1,731
County of Clark, Ser C, RB
6.820%, 07/01/45		240		297
Los Angeles Community College District, GO
6.750%, 08/01/49		260		349
Los Angeles Department of Water & Power, RB
6.574%, 07/01/45		170		221
New Jersey State Turnpike Authority, RB
7.102%, 01/01/41		335		449
North Texas Tollway Authority, RB
6.718%, 01/01/49		318		403
Port Authority of New York & New Jersey, RB
5.647%, 11/01/40		105		122
State of California, GO
7.600%, 11/01/40		335		414
7.300%, 10/01/39		820		975
6.650%, 03/01/22		175		203
State of Illinois, GO
5.877%, 03/01/19		220		235
5.665%, 03/01/18		1,300		1,399
5.365%, 03/01/17		220		235
5.100%, 06/01/33		810		731
Total Municipal Bonds (Cost $6,582) ($ Thousands)				7,868
SOVEREIGN DEBT — 0.5%
Chile Government International Bond
3.250%, 09/14/21		360		351
Hungary Government International Bond
7.625%, 03/29/41		72		70
Israel Government AID Bond
2.400%, 11/15/19 (D)		500		421
2.311%, 03/15/19 (D)		1,000		862
2.110%, 08/15/17 (D)		1,000		909
Mexico Government International Bond
6.375%, 01/16/13 (C)		200		212
5.750%, 10/12/10		462		455
5.125%, 01/15/20 (C)		280		303
Province of Manitoba Canada
2.125%, 04/22/13		46		47
Province of Ontario Canada
2.950%, 02/05/15		240		254
Province of Quebec Canada
6.350%, 01/30/26		70		92
2.750%, 08/25/21		415		411
Qatar Government International Bond
4.000%, 01/20/15 (B)		645		679
Total Sovereign Debt (Cost $4,971) ($ Thousands)				5,066

SEI Institutional Managed Trust / Annual Report / September 30, 2011 125

SCHEDULE OF INVESTMENTS

U.S. Fixed Income Fund (Concluded)

September 30, 2011

Description	Shares		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 7.4%
SEI Liquidity Fund, L.P. 0.130%**† (E)		72,080,790	$	72,081
Total Affiliated Partnership (Cost $72,081) ($ Thousands)				72,081
CASH EQUIVALENT — 8.4%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A 0.010%**†		81,688,568		81,689
Total Cash Equivalent (Cost $81,689) ($ Thousands)				81,689
Total Investments — 116.1% (Cost $1,085,530) ($ Thousands)			$	1,128,831

Description	Contracts			Market Value ($ Thousands)
WRITTEN OPTION* — 0.0%
November 2020 U.S. CPI Urban Consumers NSA Call, Expires 11/23/20, Strike Inflation 0.00%		(1,490,000	)	$	(10	)
Total Written Option (Premiums Received $(17)) ($ Thousands)					(10	)

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(18	)		Dec-2011	$	(9	)
U.S. 2-Year Treasury Note		(20	)		Jan-2012		5
U.S. 5-Year Treasury Note		(80	)		Dec-2011		25
U.S. Long Treasury Bond		(69	)		Dec-2011		(255	)
U.S. Ultra Long Treasury Bond		(31	)		Jan-2012		(16	)
						$	(250	)

For the year ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

A summary of outstanding swap agreements held by the Fund at September 30, 2011, is as follows

Credit Default Swaps
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate			Termination Date		Notional Amount (Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays Capital	France 4.25 04/19	SELL		0.25	%		09/20/16	$	(2,300	)	$	(39	)
Bank of America	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		100			(15	)
Bank of America	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		1,050			(18	)
Bank of America	CMBX-NA-AJ 1 Index	BUY		(0.84	)		10/12/52		1,050			9
											$	(63	)

Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount (Thousands)		Net Unrealized Depreciation ($ Thousands)
Morgan Stanley	3.93%	3-month LIBOR	05/15/41		1,260	$	(331	)

126 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Percentages are based on a Net Assets of $972,449 ($ Thousands)

* Non-Income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Investment in Affiliated Security (See Note 5).

‡ Real Estate Investment Trust

(A) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2011. The date reported on the Schedule of Investments is the final maturity date.

(B) 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.

(C) This security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total value of securities on loan at September 30, 2011 was $70,168 ($ Thousands).

(D) The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(E) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of September 30, 2011 was $72,081 ($ Thousands).

(F) Security, or portion thereof, has been pledged as collateral on open futures contracts.

ABS — Asset-Based Security

ARM — Adjustable Rate Mortgage

Cl — Class

CMO — Collateralized Mortgage Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Financing 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

Ltd. — Limited

MTN — Medium Term Note

NCUA — National Credit Union Administration

NY — New York

PLC — Public Limited Company

PO — Principal Only

RB — Revenue Bond

REIT — Real Estate Investment Trust

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

Amounts designated as “—” are $O or have been rounded to $O

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	497,533	$	—	$	497,533
Corporate Obligations		—		208,517		—		208,517
U.S. Treasury Obligations		—		185,088		—		185,088
Asset-Backed Securities		—		62,210		—		62,210
U.S. Government Agency Obligations		—		8,779		—		8,779
Municipal Bonds		—		7,868		—		7,868
Sovereign Debt		—		5,066		—		5,066
Affiliated Partnership		—		72,081		—		72,081
Cash Equivalent		81,689		—		—		81,689
Total Investments in Securities	$	81,689	$	1,047,142	$	—	$	1,128,831

Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*	$	(250	)	$	—		$	—	$	(250	)
Written Option		—			(10	)		—		(10	)
Credit Default Swaps		—			(63	)		—		(63	)
Interest Rate Swaps		—			(331	)		—		(331	)
Total Other Financial Instruments	$	(250	)	$	(404	)	$	—	$	(654	)

During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 127

SCHEDULE OF INVESTMENTS

High Yield Bond Fund

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS — 79.3%
Consumer Discretionary — 21.6%
Academy
9.250%, 08/01/19 (A)	$	1,295	$	1,204
Adelphia Communications (Escrow Security)
10.250%, 06/15/11 (B)		150		—
0.000%, 01/15/09 (B)		225		—
Adelphia Communications (Escrow Security), Ser B
0.000%, 02/15/04 (B)		25		—
Affinion Group
11.500%, 10/15/15		2,100		1,638
7.875%, 12/15/18		1,455		1,120
Allison Transmission
7.125%, 05/15/19 (A)		2,631		2,381
AMC Entertainment
9.750%, 12/01/20		2,645		2,394
8.750%, 06/01/19		190		187
AMC Networks
7.750%, 07/15/21 (A)		2,265		2,322
American Achievement
10.875%, 04/15/16 (A)		3,180		2,417
American Axle & Manufacturing Holdings
9.250%, 01/15/17 (A)		90		94
American Media
11.500%, 12/15/17 (A)		550		498
American Standard Americas
10.750%, 01/15/16 (A)		1,850		1,406
Ameristar Casinos
7.500%, 04/15/21 (A)		225		218
Armored Autogroup
9.250%, 11/01/18 (A)		1,235		991
Ashtead Capital
9.000%, 08/15/16 (A)		250		247
Aventine (Escrow Security)
0.000%, 10/15/49 (B) (I) (J) (K)		2,750		65

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Avis Budget Car Rental
9.625%, 03/15/18	$	435	$	431
8.250%, 01/15/19		805		737
7.750%, 05/15/16		605		584
Beazer Homes USA
9.125%, 06/15/18		450		277
9.125%, 05/15/19		1,250		794
Belo
8.000%, 11/15/16		2,080		2,194
7.750%, 06/01/27		1,675		1,424
Bon-Ton Department Stores
10.250%, 03/15/14		790		632
Brands
6.625%, 04/01/21		320		322
Brown Shoe
7.125%, 05/15/19		975		824
Buffalo Thunder Development Authority
9.375%, 12/15/14 (A) (B)		2,175		788
Burlington Coat Factory Warehouse
10.000%, 02/15/19 (A)		6,400		5,440
Cablevision Systems
8.000%, 04/15/20		852		867
7.750%, 04/15/18		792		800
CCO Holdings
8.125%, 04/30/20		1,308		1,360
7.875%, 04/30/18		1,900		1,933
7.250%, 10/30/17		555		555
7.000%, 01/15/19		2,860		2,774
7.000%, 01/15/19 (A)		1,660		1,606
Cedar Fair
9.125%, 08/01/18		1,135		1,172
Cengage Learning Holdco PIK
13.750%, 07/15/15 (A)		3,527		2,010
Cequel Communications Holdings I and Cequel Capital
8.625%, 11/15/17 (A)		3,648		3,612
Choctaw Resort Development Enterprise
7.250%, 11/15/19 (A)		963		580
Chrysler Group
8.250%, 06/15/21 (A)		1,865		1,436
8.000%, 06/15/19 (A)		1,070		835
Chukchansi Economic Development Authority
3.917%, 11/15/12 (A) (C)		1,945		1,318
Cinemark USA
7.375%, 06/15/21		390		369
CityCenter Holdings
7.625%, 01/15/16 (A)		960		902
CKE Restaurants
11.375%, 07/15/18		4,830		5,023
Claire’s Stores
8.875%, 03/15/19		710		511
Clear Channel Communications
9.000%, 03/01/21		2,230		1,656

128 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Clear Channel Worldwide Holdings
9.250%, 12/15/17	$	2,460	$	2,515
Columbus International
11.500%, 11/20/14 (A)		1,295		1,269
Community Health Systems
8.875%, 07/15/15		1,965		1,931
CSC Holdings
8.625%, 02/15/19		2,200		2,415
Dana Holding
6.750%, 02/15/21		1,823		1,732
6.500%, 02/15/19		1,718		1,632
Dave & Buster’s
11.000%, 06/01/18		1,270		1,260
Dave & Buster’s Parent
12.042%, 02/15/16 (A) (D)		6,445		3,577
DCP
10.750%, 08/15/15 (A)		2,220		1,845
Delphi
5.875%, 05/15/19 (A)		1,759		1,635
Dex One PIK
12.000%, 01/29/17		964		202
Diamond Resorts
12.000%, 08/15/18		3,000		2,813
DineEquity
9.500%, 10/30/18		5,255		5,216
DISH DBS
7.875%, 09/01/19		2,695		2,749
Dollar General PIK
11.875%, 07/15/17		1,505		1,663
Easton-Bell Sports
9.750%, 12/01/16		1,360		1,421
Echostar DBS
7.125%, 02/01/16		2,095		2,121
Eldorado Resorts
8.625%, 06/15/19 (A)		3,820		3,257
Empire Today
11.375%, 02/01/17 (A)		600		549
Entravision Communications
8.750%, 08/01/17		1,595		1,495
Equinox Holdings
9.500%, 02/01/16 (A)		940		940
Exide Technologies
8.625%, 02/01/18		1,300		1,209
Ferrellgas
9.125%, 10/01/17		2,100		2,121
6.500%, 05/01/21		1,875		1,594
Fontainebleau Las Vegas Holdings
11.000%, 06/15/15 (A) (B)		3,125		4
Ford Motor
7.450%, 07/16/31		1,165		1,315
Goodyear Tire & Rubber
10.500%, 05/15/16		141		153
8.750%, 08/15/20		380		391
8.250%, 08/15/20		905		921

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Greektown Superholdings
13.000%, 07/01/15	$	1,740	$	1,757
13.000%, 07/01/15		2,740		2,767
GWR Operating Partnership LLP
10.875%, 04/01/17		760		783
Gymboree
9.125%, 12/01/18		1,025		758
Hanesbrands
8.000%, 12/15/16		1,445		1,528
6.375%, 12/15/20		1,085		1,052
Harrah’s Operating
11.250%, 06/01/17		5,135		5,180
10.000%, 12/15/18		4,408		2,623
Hertz
7.500%, 10/15/18		1,470		1,404
Hillman Group
10.875%, 06/01/18		710		703
10.875%, 06/01/18 (A)		140		139
Houghton Mifflin Harcourt Publishers
10.500%, 06/01/19 (A)		1,500		1,065
Icon Health & Fitness
11.875%, 10/15/16 (A)		615		560
Inergy
8.750%, 03/01/15		551		562
7.000%, 10/01/18		1,440		1,354
6.875%, 08/01/21		225		205
International Automotive Components Group SL
9.125%, 06/01/18 (A)		875		818
inVentiv Health
10.000%, 08/15/18 (A)		955		840
10.000%, 08/15/18 (A)		1,100		968
J. Crew Group
8.125%, 03/01/19		905		758
Jaguar Land Rover
8.125%, 05/15/21 (A)		1,305		1,148
Jarden
7.500%, 05/01/17		1,550		1,581
JC Penney
5.750%, 02/15/18		110		107
Kabel BW Erste Beteiligungs GmbH
7.500%, 03/15/19 (A)		2,325		2,261
Knowledge Learning
7.750%, 02/01/15 (A)		1,000		950
Lamar Media
7.875%, 04/15/18		542		542
Laureate Education
11.750%, 08/15/17 (A)		1,100		1,127
10.000%, 08/15/15 (A)		525		515
Lear
7.875%, 03/15/18		370		381
Levi Strauss
7.625%, 05/15/20		845		786

SEI Institutional Managed Trust / Annual Report / September 30, 2011 129

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Libbey Glass
10.000%, 02/15/15	$	523	$	548
Liberty Media LLC
8.250%, 02/01/30		1,970		1,867
Lions Gate Entertainment
10.250%, 11/01/16 (A)		2,290		2,198
Liz Claiborne
10.500%, 04/15/19 (A)		1,550		1,550
M/I Homes
5.625%, 11/15/18		1,820		1,638
Marina District Finance
9.875%, 08/15/18		1,770		1,478
9.500%, 10/15/15		305		275
McClatchy
11.500%, 02/15/17		2,845		2,468
MDC Partners
11.000%, 11/01/16		3,280		3,542
11.000%, 11/01/16 (A)		1,540		1,648
MediMedia USA
11.375%, 11/15/14 (A)		2,100		1,848
MGM Mirage
7.500%, 06/01/16		1,005		872
6.875%, 04/01/16		1,360		1,156
MGM Resorts International
11.375%, 03/01/18		4,140		4,140
11.125%, 11/15/17		1,625		1,783
9.000%, 03/15/20		3,840		3,989
Michaels Stores
11.910%, 11/01/11 (E)		365		376
7.750%, 11/01/18		955		893
Midwest Gaming Borrower
11.625%, 04/15/16 (A)		675		695
Millennium (Escrow Security)
7.625%, 11/15/26 (B)		175		—
MTR Gaming Group
11.500%, 08/01/19 (A)		5,000		4,012
Needle Merger Sub
8.125%, 03/15/19 (A)		570		496
Nexstar Broadcasting
8.875%, 04/15/17		1,875		1,852
Nielsen Finance
7.750%, 10/15/18		3,680		3,754
Norcraft
10.500%, 12/15/15		1,430		1,305
Ono Finance II
10.875%, 07/15/19 (A)		2,152		1,506
OSI Restaurant Partners
10.000%, 06/15/15		1,165		1,162
Peninsula Gaming
10.750%, 08/15/17		1,600		1,544
8.375%, 08/15/15		2,100		2,090
Petco Animal Supplies
9.250%, 12/01/18 (A)		950		950

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Phillips-Van Heusen
7.375%, 05/15/20	$	2,890	$	3,013
Quebecor Media
7.750%, 03/15/16		1,210		1,207
7.750%, 03/15/16		210		210
Quebecor Media (Escrow Security)
0.000%, 11/15/13 (B) (F)		1,725		35
0.000%, 03/15/16 (B)		1,915		38
Quiksilver
6.875%, 04/15/15		1,610		1,433
QVC
7.500%, 10/01/19 (A)		2,755		2,934
7.375%, 10/15/20 (A)		415		442
Reynolds Group Issuer
9.875%, 08/15/19 (A)		1,990		1,751
9.000%, 04/15/19 (A)		4,080		3,468
8.500%, 10/15/16 (A)		2,100		2,105
8.500%, 05/15/18 (A)		1,185		1,001
8.250%, 02/15/21 (A)		2,153		1,701
6.875%, 02/15/21 (A)		250		225
River Rock Entertainment Authority
9.750%, 11/01/11		4,515		3,307
RJ Tower
12.000%, 06/01/13 (B)		172		1
RSC Equipment Rental
10.250%, 11/15/19		100		98
10.000%, 07/15/17 (A)		1,750		1,838
8.250%, 02/01/21		3,449		2,983
Salem Communications
9.625%, 12/15/16		888		888
San Pasqual Casino
8.000%, 09/15/13 (A)		1,670		1,632
Sbarro
10.375%, 02/01/15 (B)		674		57
Sealy Mattress
8.250%, 06/15/14		2,776		2,616
Seneca Gaming
8.250%, 12/01/18 (A)		3,905		3,759
Service International
7.625%, 10/01/18		375		397
7.000%, 06/15/17		310		321
7.000%, 05/15/19		550		555
Seven Seas Cruises S de RL
9.125%, 05/15/19 (A)		1,265		1,252
Shingle Springs Tribal Gaming Authority
9.375%, 06/15/15 (A)		300		175
Simmons Bedding
11.250%, 07/15/15 (A)		1,325		1,366
Sinclair Television Group
9.250%, 11/01/17 (A)		1,520		1,596
8.375%, 10/15/18		1,575		1,551
Sirius XM Radio
9.750%, 09/01/15 (A)		1,425		1,543
8.750%, 04/01/15 (A)		1,300		1,407

130 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Stanadyne Holdings
13.080%, 02/15/15 (E)	$	1,575	$	1,504
Stanadyne Holdings, Ser 1
10.000%, 08/15/14		750		705
Standard Pacific
10.750%, 09/15/16		955		936
Steinway Musical Instruments
7.000%, 03/01/14 (A)		347		347
Stoneridge
9.500%, 10/15/17 (A)		930		949
Tenneco
6.875%, 12/15/20		480		466
Travelport LLC
11.875%, 09/01/16		495		196
4.951%, 09/01/14 (C)		601		349
UCI International
8.625%, 02/15/19		610		565
United Rentals North America
10.875%, 06/15/16		2,600		2,808
9.250%, 12/15/19		770		799
8.375%, 09/15/20		2,822		2,589
Univision Communications
8.500%, 05/15/21 (A)		2,800		2,184
7.875%, 11/01/20 (A)		1,700		1,594
UPC Holding
9.875%, 04/15/18 (A)		4,060		4,060
Vail Resorts
6.500%, 05/01/19 (A)		1,000		985
Videotron
9.125%, 04/15/18		800		872
Visant
10.000%, 10/01/17		1,380		1,276
Visteon
6.750%, 04/15/19 (A)		520		468
WMG Acquisition
11.500%, 10/01/18 (A)		1,905		1,753
9.500%, 06/15/16		1,595		1,615
Wynn Las Vegas
7.750%, 08/15/20		1,100		1,155
XM Satellite Radio
13.000%, 08/01/13 (A)		3,680		4,122
7.625%, 11/01/18 (A)		4,555		4,601
YCC Holdings
10.250%, 02/15/16		3,340		2,839
				284,392
Consumer Staples — 3.5%
American Rock Salt
8.250%, 05/01/18 (A)		2,150		1,881
B&G Foods
7.625%, 01/15/18		310		320
Beverages & More
9.625%, 10/01/14 (A)		3,000		2,978

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
BI-LO
9.250%, 02/15/19 (A)	$	2,550	$	2,473
Bumble Bee Acquisition
9.000%, 12/15/17 (A)		2,645		2,486
Bumble Bee Holdco SCA PIK
9.625%, 03/15/18 (A)		1,750		1,404
Central Garden and Pet
8.250%, 03/01/18		300		286
Constellation Brands
7.250%, 05/15/17		1,000		1,050
Cott Beverages
8.375%, 11/15/17		1,700		1,734
8.125%, 09/01/18		950		969
Dean Foods
7.000%, 06/01/16		820		773
Del Monte Foods
7.625%, 02/15/19 (A)		3,535		2,987
Diversey
8.250%, 11/15/19		1,075		1,282
Dole Food
8.000%, 10/01/16 (A)		205		210
Elizabeth Arden
7.375%, 03/15/21		200		200
Fleming
10.125%, 04/01/08 (B)		1,053		—
Michael Foods
9.750%, 07/15/18		830		857
NBTY
9.000%, 10/01/18		1,980		2,027
Pantry
7.750%, 02/15/14		2,000		1,960
Rite Aid
10.250%, 10/15/19		150		156
9.750%, 06/12/16		475		501
9.500%, 06/15/17		3,640		2,876
8.000%, 08/15/20		9,485		9,888
7.500%, 03/01/17		475		454
Spectrum Brands Holdings
9.500%, 06/15/18		520		554
Spectrum Brands Holdings PIK
12.000%, 08/28/19		1,787		1,935
SuperValu
8.000%, 05/01/16		1,095		1,035
US Foodservice
8.500%, 06/30/19 (A)		1,500		1,354
Viskase
9.875%, 01/15/18 (A)		1,150		1,162
				45,792
Energy — 6.8%
American Petroleum Tankers Parent
10.250%, 05/01/15		878		867
Antero Resources Finance
9.375%, 12/01/17		1,115		1,160

SEI Institutional Managed Trust / Annual Report / September 30, 2011 131

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Aquilex Holdings
11.125%, 12/15/16	$	900	$	396
Arch Coal
8.750%, 08/01/16		975		1,033
7.250%, 06/15/21 (A)		275		265
7.000%, 06/15/19 (A)		450		427
Bill Barrett
7.625%, 10/01/19		800		786
Bluewater Holding BV
3.250%, 07/17/14 (A) (C)		500		370
BreitBurn Energy Partners
8.625%, 10/15/20		1,020		1,000
Brigham Exploration
8.750%, 10/01/18		790		845
6.875%, 06/01/19		200		195
Bristow Group
7.500%, 09/15/17		1,680		1,730
Calumet Specialty Products Partners
9.375%, 05/01/19 (A)		1,930		1,795
Chaparral Energy
8.250%, 09/01/21		1,880		1,716
Chesapeake Energy
6.875%, 08/15/18		2,400		2,472
6.875%, 11/15/20		44		46
6.625%, 08/15/20		1,089		1,122
Cloud Peak Energy Resources
8.250%, 12/15/17		675		700
Comstock Resources
7.750%, 04/01/19		3,940		3,684
Consol Energy
8.250%, 04/01/20		1,450		1,526
8.000%, 04/01/17		1,550		1,620
Continental Resources
7.375%, 10/01/20		2,200		2,277
Copano Energy
7.750%, 06/01/18		3,560		3,640
Crestwood Midstream Partners
7.750%, 04/01/19 (A)		1,750		1,698
Crosstex Energy
8.875%, 02/15/18		1,845		1,891
Dynegy Holdings
7.750%, 06/01/19		755		457
Eagle Rock Energy Partners L.P.
8.375%, 06/01/19 (A)		5,735		5,506
El Paso
7.750%, 01/15/32		295		342
7.250%, 06/01/18		280		313
Energy Transfer Equity
7.500%, 10/15/20		1,218		1,251
EV Energy Partners
8.000%, 04/15/19 (A)		870		840
Forest Oil
8.500%, 02/15/14		75		79
8.000%, 12/15/11		585		585

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
7.250%, 06/15/19	$	2,910	$	2,866
GMX Resources
11.375%, 02/15/19 (A)		510		367
Helix Energy Solutions Group
9.500%, 01/15/16 (A)		805		817
Hercules Offshore
10.500%, 10/15/17 (A)		905		855
Hilcorp Energy I
8.000%, 02/15/20 (A)		765		778
7.625%, 04/15/21 (A)		505		508
James River Escrow
7.875%, 04/01/19 (A)		1,920		1,613
Kinder Morgan Finance
6.000%, 01/15/18 (A)		3,080		3,049
Laredo Petroleum
9.500%, 02/15/19 (A)		1,255		1,318
Linn Energy
8.625%, 04/15/20		1,430		1,473
7.750%, 02/01/21		385		385
6.500%, 05/15/19 (A)		25		23
MarkWest Energy Partners
8.750%, 04/15/18		1,005		1,070
MEG Energy
6.500%, 03/15/21 (A)		616		590
Milagro Oil & Gas
10.500%, 05/15/16 (A)		1,700		1,360
Murray Energy
10.250%, 10/15/15 (A)		1,020		974
Newfield Exploration
7.125%, 05/15/18		3,040		3,146
6.875%, 02/01/20		850		876
NFR Energy
9.750%, 02/15/17 (A)		1,070		942
9.750%, 02/15/17 (A)		505		444
Oasis Petroleum
7.250%, 02/01/19 (A)		1,060		1,028
Ocean Rig
9.500%, 04/27/16		2,300		2,001
Parker Drilling
9.125%, 04/01/18		1,815		1,833
Penn Virginia
10.375%, 06/15/16		400		419
Petroleum Development
12.000%, 02/15/18		2,000		2,140
Pioneer Drilling
9.875%, 03/15/18		515		538
Plains Exploration & Production
10.000%, 03/01/16		85		92
7.750%, 06/15/15		75		77
7.625%, 06/01/18		550		564
7.625%, 04/01/20		325		334
7.000%, 03/15/17		1,575		1,575
Precision Drilling
6.500%, 12/15/21 (A)		255		251

132 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Quicksilver Resources
11.750%, 01/01/16	$	1,000	$	1,080
7.125%, 04/01/16		1,204		1,060
Regency Energy Partners
6.875%, 12/01/18		2,460		2,534
SandRidge Energy
8.000%, 06/01/18 (A)		290		273
7.500%, 03/15/21 (A)		3,530		3,248
Targa Resources Partners
7.875%, 10/15/18		1,845		1,863
Tesoro
9.750%, 06/01/19		950		1,026
Thermon Industries
9.500%, 05/01/17		1,056		1,098
Trinidad Drilling
7.875%, 01/15/19 (A)		550		547
Unit
6.625%, 05/15/21		300		298
Venoco
8.875%, 02/15/19		530		456
				90,423
Financials — 10.0%
Alliant Holdings I
11.000%, 05/01/15 (A)		2,950		3,002
Ally Financial
8.000%, 11/01/31		2,610		2,290
6.250%, 12/01/17		3,335		2,905
American Capital
7.960%, 12/31/13 (A)		285		281
American International Group
8.175%, 05/15/58 (C)		1,480		1,306
BAC Capital Trust VI
5.625%, 03/08/35		2,075		1,486
Bank of America
8.000%, 12/29/49 (C)		1,205		1,024
Bankrate
11.750%, 07/15/15		1,107		1,240
Cardtronics
8.250%, 09/01/18		1,750		1,820
Cemex Finance
9.500%, 12/14/16 (A)		250		181
CEVA Group
11.625%, 10/01/16 (A)		2,925		2,859
11.500%, 04/01/18 (A)		2,500		2,300
CIT Group
7.000%, 05/01/15		1		1
7.000%, 05/04/15 (A)		270		268
7.000%, 05/01/16		2,626		2,547
7.000%, 05/02/16 (A)		451		437
7.000%, 05/01/17		2,007		1,947
7.000%, 05/02/17 (A)		8,992		8,722
6.625%, 04/01/18 (A)		570		567

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup Capital XXI
8.300%, 12/21/57 (C)	$	870	$	853
City National Bank
9.000%, 08/12/19		3,384		4,011
CNO Financial Group
9.000%, 01/15/18 (A)		1,450		1,501
Credit Acceptance
9.125%, 02/01/17		2,400		2,364
9.125%, 02/01/17 (A)		1,300		1,277
E*Trade Financial PIK
12.500%, 11/30/17		1,036		1,168
Fifth Third Capital Trust IV
6.500%, 04/15/37 (C)		1,520		1,444
FireKeepers Development Authority
13.875%, 05/01/15 (A)		3,450		3,899
Ford Motor Credit
6.625%, 08/15/17		1,145		1,192
5.000%, 05/15/18		2,470		2,386
Ford Motor Credit LLC
12.000%, 05/15/15		380		456
8.000%, 12/15/16		800		873
Fresenius US Finance II
9.000%, 07/15/15 (A)		300		331
Genworth Financial
6.150%, 11/15/66 (C)		695		347
HBOS Capital Funding
6.071%, 06/30/49 (A) (C)		1,435		861
Hellas Telecommunications II
6.881%, 01/15/15 (A) (B) (C)		2,250		—
HUB International Holdings
9.000%, 12/15/14 (A)		1,381		1,326
Icahn Enterprises
7.750%, 01/15/16		1,940		1,938
ILFC E-Capital Trust I
4.770%, 12/21/65 (A) (C)		830		577
ILFC E-Capital Trust II
6.250%, 12/21/65 (A) (C)		2,315		1,713
ING Groep
5.775%, 12/29/49 (C)		1,875		1,373
Interactive Data
10.250%, 08/01/18		1,000		1,057
International Lease Finance
8.250%, 12/15/20		400		392
Ironshore Holdings US
8.500%, 05/15/20 (A)		4,600		5,049
Kennedy-Wilson
8.750%, 04/01/19 (A)		2,250		2,098
Liberty Mutual Group
7.000%, 03/15/37 (A) (C)		1,275		1,077
Lyondell Chemical
8.000%, 11/01/17 (A)		973		1,048
Marlin Water Trust II
6.310%, 07/15/03 (A) (B)		4,200		—

SEI Institutional Managed Trust / Annual Report / September 30, 2011 133

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MPT Operating Partnership‡
6.875%, 05/01/21 (A)	$	4,005	$	3,805
National Life Insurance
10.500%, 09/15/39 (A)		990		1,343
NCO Group
11.875%, 11/15/14		2,450		2,230
NSG Holdings
7.750%, 12/15/25 (A)		3,000		2,910
Nuveen Investments
10.500%, 11/15/15		5,910		5,452
Offshore Group Investments
11.500%, 08/01/15		3,025		3,116
11.500%, 08/01/15 (A)		115		118
Ohio Casualty
7.300%, 06/15/14		905		981
Omega Healthcare Investors‡
7.500%, 02/15/20		3,495		3,530
6.750%, 10/15/22		840		801
PHH
9.250%, 03/01/16		980		1,007
Pinafore
9.000%, 10/01/18 (A)		1,133		1,161
Pinnacle Foods Finance
10.625%, 04/01/17		995		997
8.250%, 09/01/17		600		585
PNC Preferred Funding Trust II
6.181%, 03/29/49 (A) (C)		4,670		3,456
Regions Bank
7.500%, 05/15/18		750		742
Regions Financial
5.750%, 06/15/15		230		221
Regions Financing Trust II
6.625%, 05/15/47 (C)		2,055		1,665
RESPARCS Funding I MTN
8.000%, 06/30/11		740		178
Sabra Health Care
8.125%, 11/01/18‡		4,300		3,999
Snoqualmie Entertainment Authority
9.125%, 02/01/15 (A)		2,500		2,406
4.179%, 02/01/14 (A) (C)		500		438
Spencer Spirit Holdings
11.000%, 05/01/17 (A)		1,905		1,810
SunTrust Capital VIII
6.100%, 12/15/36 (C)		1,185		1,173
Susquehanna Capital II
11.000%, 03/23/40		1,300		1,333
UPCB Finance III
6.625%, 07/01/20 (A)		450		423
USB Realty
6.091%, 12/29/49 (A) (C)		3,300		2,393
USI Holdings
9.750%, 05/15/15 (A)		4,619		4,157
XL Capital
6.500%, 12/31/49 (C)		1,600		1,256

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Yankee Acquisition, Ser B
9.750%, 02/15/17	$	1,485	$	1,370
8.500%, 02/15/15		900		864
				131,714
Health Care — 8.5%
Accellent
10.000%, 11/01/17		1,580		1,347
8.375%, 02/01/17		575		548
Alere
9.000%, 05/15/16		4,850		4,632
American Renal Associates Holdings
9.750%, 03/01/16		2,479		2,411
American Renal Holdings
8.375%, 05/15/18		1,620		1,628
Apria Healthcare Group
12.375%, 11/01/14		500		460
Aurora Diagnostics Holdings
10.750%, 01/15/18 (A)		3,505		3,400
Aviv Healthcare Properties
7.750%, 02/15/19		1,220		1,150
Biomet
11.625%, 10/15/17		4,100		4,254
10.000%, 10/15/17		6,245		6,432
Biomet PIK
10.375%, 10/15/17		4,905		5,028
BioScrip
10.250%, 10/01/15		4,420		4,420
Catalent Pharma Solutions PIK
9.500%, 04/15/15		4,960		4,526
ConvaTec Healthcare E
10.500%, 12/15/18 (A)		1,220		1,074
DaVita
6.625%, 11/01/20		256		246
DJO Finance
10.875%, 11/15/14		395		393
9.750%, 10/15/17 (A)		6,581		5,495
7.750%, 04/15/18 (A)		4,080		3,488
Elan Finance PLC
8.875%, 12/01/13		1,250		1,287
Endo Pharmaceuticals Holdings
7.250%, 01/15/22 (A)		1,910		1,915
7.000%, 07/15/19 (A)		3,790		3,804
Fresenius Medical Care US Finance
6.500%, 09/15/18 (A)		1,515		1,538
GCB Oncology (Escrow Security)
0.000%, 08/15/17		1,525		11
Giant Funding
8.250%, 02/01/18 (A)		1,200		1,200
HCA
9.875%, 02/15/17		105		113
7.500%, 02/15/22		3,090		2,851
6.500%, 02/15/20		455		445

134 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
HCA Holdings
7.750%, 05/15/21 (A)	$	2,585	$	2,423
Health Management Associates
6.125%, 04/15/16		1,040		1,022
Healthsouth
7.750%, 09/15/22		745		676
7.250%, 10/01/18		510		484
INC Research
11.500%, 07/15/19 (A)		1,675		1,495
IVD Acquisition
11.125%, 08/15/19 (A)		495		481
Kindred Healthcare
8.250%, 06/01/19 (A)		3,890		2,971
Lantheus Medical Imaging
9.750%, 05/15/17		2,145		1,952
MedAssets
8.000%, 11/15/18 (A)		570		543
Multiplan
9.875%, 09/01/18 (A)		1,230		1,218
Mylan
7.875%, 07/15/20 (A)		1,630		1,703
7.625%, 07/15/17 (A)		270		281
6.000%, 11/15/18 (A)		1,215		1,182
OnCure Holdings
11.750%, 05/15/17		600		531
Radiation Therapy Services
9.875%, 04/15/17		2,100		1,790
Radnet Management
10.375%, 04/01/18		975		902
Select Medical
7.625%, 02/01/15		2,980		2,581
STHI Holding
8.000%, 03/15/18 (A)		3,360		3,242
Surgical Care Affiliates PIK
8.875%, 07/15/15 (A)		1,254		1,204
Symbion PIK
11.000%, 08/23/15		1,366		1,342
Tenet Healthcare
8.875%, 07/01/19		215		227
8.000%, 08/01/20		1,150		1,044
United Surgical Partners International
8.875%, 05/01/17		325		325
United Surgical Partners International PIK
9.250%, 05/01/17		1,300		1,300
Universal Health Services
7.000%, 10/01/18		1,850		1,806
Valeant Pharmaceuticals International
7.250%, 07/15/22 (A)		595		522
7.000%, 10/01/20 (A)		8,012		7,091
6.875%, 12/01/18 (A)		1,630		1,475
6.750%, 10/01/17 (A)		787		725
VWR Funding PIK
10.250%, 07/15/15		5,111		5,060
				111,694

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Industrials — 10.8%
Accuride
9.500%, 08/01/18	$	3,300	$	3,036
ACL I
10.625%, 02/15/16 (A)		2,642		2,061
Actuant
6.875%, 06/15/17		2,000		2,040
Aircastle
9.750%, 08/01/18		645		664
Aleris International
10.000%, 12/15/16 (B)		1,800		—
9.000%, 12/15/14 (B)		725		—
Alion Science & Technology
10.250%, 02/01/15		1,000		610
Alion Science & Technology PIK
12.000%, 11/01/14		2,080		1,830
Alliant Techsystems
6.750%, 04/01/16		1,010		1,013
American Airlines 2011-2 Cl A Pass-Through Trust
8.625%, 10/15/21		800		796
American Axle & Manufacturing
7.875%, 03/01/17		2,505		2,355
American Tire Distributors
9.750%, 06/01/17		555		549
AMGH Merger Sub
9.250%, 11/01/18 (A)		2,629		2,629
Amsted Industries
8.125%, 03/15/18 (A)		775		802
ARAMARK Holdings PIK
8.625%, 05/01/16 (A)		1,180		1,162
Associated Materials
9.125%, 11/01/17		2,210		1,790
Atkore International
9.875%, 01/01/18 (A)		2,035		1,842
AWAS Aviation Capital
7.000%, 10/15/16 (A)		900		882
Baker & Taylor
11.500%, 07/01/13 (A)		1,150		868
BE Aerospace
6.875%, 10/01/20		840		876
Belden
9.250%, 06/15/19		680		734
Building Materials Corp of America
6.875%, 08/15/18 (A)		1,585		1,537
6.750%, 05/01/21 (A)		1,171		1,112
Case New Holland
7.875%, 12/01/17		735		783
Casella Waste Systems
11.000%, 07/15/14		170		180
7.750%, 02/15/19 (A)		900		851
CDRT Merger Sub
8.125%, 06/01/19 (A)		5,864		5,424

SEI Institutional Managed Trust / Annual Report / September 30, 2011 135

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
CDW
12.535%, 10/12/17	$	1,015	$	969
8.000%, 12/15/18 (A)		700		686
Cemex Espana Luxembourg
9.250%, 05/12/20 (A)		1,250		812
Clean Harbors
7.625%, 08/15/16		405		422
Coleman Cable
9.000%, 02/15/18		1,965		1,916
Columbus McKinnon
7.875%, 02/01/19		400		388
CPM Holdings
10.875%, 09/01/14		2,105		2,231
DAE Aviation Holdings
11.250%, 08/01/15 (A)		1,065		1,076
Delta Air Lines
12.250%, 03/15/15 (A)		1,950		2,072
Delta Air Lines 2011-1 Cl B Pass-Through Trust
7.125%, 10/15/14		1,800		1,775
Ducommun
9.750%, 07/15/18 (A)		105		105
DynCorp International
10.375%, 07/01/17		4,510		3,935
Esterline Technologies
7.000%, 08/01/20		300		308
Express
8.750%, 03/01/18		700		735
General Cable
7.125%, 04/01/17		840		840
Global Aviation Holdings
14.000%, 08/15/13		2,559		1,766
Great Lakes Dredge & Dock
7.375%, 02/01/19		745		685
Griffon
7.125%, 04/01/18		1,660		1,465
Huntington Ingalls Industries
7.125%, 03/15/21 (A)		500		464
Intcomex
13.250%, 12/15/14		4,780		4,649
Interface
7.625%, 12/01/18		810		810
Interline Brands
7.000%, 11/15/18		1,335		1,305
International Lease Finance
8.750%, 03/15/17		2,560		2,573
8.625%, 09/15/15		1,035		1,027
6.250%, 05/15/19		150		130
5.750%, 05/15/16		215		191
International Wire Group Holdings
9.750%, 04/15/15 (A)		975		958
Iron Mountain
7.750%, 10/01/19		1,250		1,241

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Kansas City Southern de Mexico
8.000%, 02/01/18	$	750	$	799
6.125%, 06/15/21		500		495
Kratos Defense & Security Solutions
10.000%, 06/01/17		3,635		3,617
Liberty Tire Recycling
11.000%, 10/01/16 (A)		2,500		2,550
Manitowoc
9.500%, 02/15/18		785		767
8.500%, 11/01/20		720		652
Marquette Transportation
10.875%, 01/15/17		850		819
Masonite International
8.250%, 04/15/21 (A)		1,160		1,047
Meritor
8.125%, 09/15/15		675		597
Mueller Water Products
8.750%, 09/01/20		585		576
7.375%, 06/01/17		1,180		920
Neehah Foundry PIK
15.000%, 07/29/15		98		95
Niska Gas Storage US
8.875%, 03/15/18		1,085		1,074
Nortek
8.500%, 04/15/21 (A)		1,240		998
Oshkosh
8.500%, 03/01/20		1,000		970
8.250%, 03/01/17		1,520		1,474
Ply Gem Industries
13.125%, 07/15/14		1,120		1,063
8.250%, 02/15/18		810		660
Polymer Group
7.750%, 02/01/19 (A)		1,390		1,387
Polypore International
7.500%, 11/15/17		2,105		2,116
Quality Distribution
9.875%, 11/01/18		4,000		3,860
RBS Global
8.500%, 05/01/18		1,210		1,159
Sabine Pass LNG L.P.
7.500%, 11/30/16		6,130		5,670
7.500%, 11/30/16 (A)		1,540		1,363
Seminole Indian Tribe of Florida
7.750%, 10/01/17 (A)		680		683
Sequa
13.500%, 12/01/15 (A)		500		530
11.750%, 12/01/15 (A)		3,400		3,570
ServiceMaster
7.250%, 03/01/38		1,515		1,000
ServiceMaster PIK
10.750%, 07/15/15 (A)		2,120		2,141
Spirit Aerosystems
7.500%, 10/01/17		935		968

136 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Swift Services Holdings
10.000%, 11/15/18	$	550	$	490
Swift Transportation
12.500%, 05/15/17 (A)		680		660
syncreon Global Ireland
9.500%, 05/01/18 (A)		3,112		2,925
Tempel Steel
12.000%, 08/15/16 (A)		860		927
Terex
10.875%, 06/01/16		950		1,007
8.000%, 11/15/17		985		872
Thermadyne Holdings
9.000%, 12/15/17		1,500		1,470
Ticketmaster Entertainment
10.750%, 08/01/16		4,890		5,135
Titan International
7.875%, 10/01/17		3,420		3,557
Tops Holding
10.125%, 10/15/15		530		530
Trimas
9.750%, 12/15/17		780		815
United Air Lines
12.000%, 11/01/13 (A)		1,155		1,169
United Air Lines, Ser 95A1
9.020%, 04/19/12 (B)		297		107
3.566%, 10/19/18		467		135
United Maritime Group
11.750%, 06/15/15		3,200		3,232
USG
8.375%, 10/15/18 (A)		1,255		1,048
6.300%, 11/15/16		1,485		1,088
WCA Waste
7.500%, 06/15/19 (A)		1,400		1,330
				142,077
Information Technology — 5.9%
Advanced Micro Devices
7.750%, 08/01/20		1,075		1,054
Amkor Technology
7.375%, 05/01/18		1,460		1,409
Aspect Software
10.625%, 05/15/17		3,700		3,718
Audatex North America
6.750%, 06/15/18 (A)		985		978
Avaya
9.750%, 11/01/15		1,460		1,066
7.000%, 04/01/19 (A)		2,640		2,244
Avaya PIK
10.125%, 11/01/15		2,883		2,111
Brocade Communications Systems
6.625%, 01/15/18		440		448
CommScope
8.250%, 01/15/19 (A)		1,920		1,872

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Compucom Systems
12.500%, 10/01/15 (A)	$	5,880	$	5,909
Eagle Parent
8.625%, 05/01/19 (A)		2,540		2,299
Fidelity National Information Services
7.875%, 07/15/20		600		624
7.625%, 07/15/17		1,230		1,279
First Data
12.625%, 01/15/21 (A)		1,709		1,265
11.250%, 03/31/16		1,190		803
9.875%, 09/24/15		1,540		1,290
8.875%, 08/15/20 (A)		830		780
8.250%, 01/15/21 (A)		1,052		831
7.375%, 06/15/19 (A)		315		280
First Data PIK
10.550%, 09/24/15		3,269		2,721
8.750%, 01/15/22 (A)		1,055		833
Freescale Semiconductor
10.125%, 03/15/18 (A)		212		220
9.250%, 04/15/18 (A)		3,750		3,853
8.050%, 02/01/20		485		439
GXS Worldwide
9.750%, 06/15/15		6,030		5,789
iGate
9.000%, 05/01/16 (A)		7,725		7,184
MagnaChip Semiconductor
10.500%, 04/15/18		2,000		2,110
Mantech International
7.250%, 04/15/18		485		480
MEMC Electronic Materials
7.750%, 04/01/19 (A)		790		675
NXP BV/NXP Funding LLC
9.750%, 08/01/18 (A)		2,840		2,968
NXP Funding LLC
10.000%, 07/15/13 (A)		364		390
9.500%, 10/15/15		30		31
Open Solutions
9.750%, 02/01/15 (A)		4,200		2,163
Sabre Holdings
8.350%, 03/15/16		1,380		1,128
Seagate HDD Cayman
7.750%, 12/15/18 (A)		1,165		1,142
Sensata Technologies BV
6.500%, 05/15/19 (A)		3,078		2,924
Spansion
7.875%, 11/15/17 (A)		1,275		1,249
SSI Investments II
11.125%, 06/01/18		855		851
STATS ChipPAC
7.500%, 08/12/15 (A)		2,375		2,280
Stratus Technologies Bermuda
12.000%, 03/29/15		2,243		1,963
Stream Global Services
11.250%, 10/01/14		1,000		1,023

SEI Institutional Managed Trust / Annual Report / September 30, 2011 137

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Sungard Data Systems
10.250%, 08/15/15	$	2,985	$	3,015
7.375%, 11/15/18		810		753
Travelport
9.875%, 09/01/14		805		527
9.000%, 03/01/16		210		123
Unisys
12.750%, 10/15/14 (A)		898		1,015
				78,109
Materials — 6.1%
AK Steel
7.625%, 05/15/20		1,025		898
Aleris International
7.625%, 02/15/18 (A)		955		857
Algoma Acquisition
9.875%, 06/15/15 (A)		1,415		1,097
APERAM
7.750%, 04/01/18 (A)		1,170		1,018
Appleton Papers
10.500%, 06/15/15 (A)		505		495
ARD Finance PIK
11.125%, 06/01/18 (A)		1,556		1,260
Ardagh Packaging Finance
9.125%, 10/15/20 (A)		1,260		1,134
7.375%, 10/15/17 (A)		300		286
Ashland
9.125%, 06/01/17		1,620		1,792
Berry Plastics
10.250%, 03/01/16		710		618
9.750%, 01/15/21		1,275		1,084
Boise Paper Holdings
9.000%, 11/01/17		1,270		1,327
BWAY Holding
10.000%, 06/15/18		1,130		1,186
Cascades
7.750%, 12/15/17		700		665
Celanese US Holdings
6.625%, 10/15/18		550		569
Cemex
9.000%, 01/11/18 (A)		2,220		1,504
Chemtura
7.875%, 09/01/18		1,205		1,181
Clearwater Paper
7.125%, 11/01/18		865		859
Domtar
9.500%, 08/01/16		275		326
FMG Resources August 2006 Pty
7.000%, 11/01/15 (A)		1,035		963
6.875%, 02/01/18 (A)		210		185
6.375%, 02/01/16 (A)		100		90
Georgia-Pacific LLC
8.000%, 01/15/24		1,690		1,984

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Graham Packaging
8.250%, 01/01/17	$	95	$	96
8.250%, 10/01/18		1,110		1,116
Graphic Packaging International
9.500%, 06/15/17		1,265		1,354
7.875%, 10/01/18		1,170		1,199
Headwaters
7.625%, 04/01/19		1,215		929
Hexion US Finance
9.000%, 11/15/20		1,190		872
8.875%, 02/01/18		1,885		1,555
Huntsman International
8.625%, 03/15/20		435		423
8.625%, 03/15/21		905		867
Ineos Group Holdings PLC
8.500%, 02/15/16 (A)		1,030		762
JMC Steel Group
8.250%, 03/15/18 (A)		1,215		1,142
Kinove German Bondco GmbH
9.625%, 06/15/18 (A)		500		452
Longview Fibre Paper & Packaging
8.000%, 06/01/16 (A)		1,505		1,460
Lyondell Chemical
11.000%, 05/01/18		6,890		7,441
MacDermid
9.500%, 04/15/17 (A)		1,300		1,202
Midwest Vanadium Pty
11.500%, 02/15/18 (A)		1,100		869
Millar Western Forest Products
8.500%, 04/01/21 (A)		665		509
Mirabela Nickel
8.750%, 04/15/18 (A)		1,425		1,154
Momentive Performance Materials
9.000%, 01/15/21		2,155		1,476
Momentive Performance Materials PIK
2.078%, 06/04/17 (I) (J) (K)		1,794		1,569
Nalco
6.625%, 01/15/19 (A)		145		159
NewPage
11.375%, 12/31/14 (B)		380		282
Nexeo Solutions
8.375%, 03/01/18 (A)		1,610		1,590
Noranda Aluminium
Acquisition PIK
4.417%, 05/15/15 (C)		1,746		1,572
Nova Chemicals
8.625%, 11/01/19		350		379
Novelis
8.750%, 12/15/20		835		818
8.375%, 12/15/17		1,920		1,901
Packaging Dynamics
8.750%, 02/01/16 (A)		2,339		2,292
PH Glatfelter
7.125%, 05/01/16		250		246

138 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Pregis
12.375%, 10/15/13	$	3,581	$	3,259
Rain CII Carbon
8.000%, 12/01/18 (A)		310		293
Reichhold Industries
9.000%, 08/15/14 (A)		1,969		1,339
Rhodia
6.875%, 09/15/20 (A)		1,970		2,266
Ryerson
12.000%, 11/01/15		1,215		1,215
Sealed Air
8.375%, 09/15/21 (A)		1,530		1,545
8.125%, 09/15/19 (A)		435		439
Solutia
8.750%, 11/01/17		1,150		1,225
7.875%, 03/15/20		865		910
Standard Steel
12.000%, 05/01/15 (A)		2,850		3,299
SunCoke Energy
7.625%, 08/01/19 (A)		2,435		2,380
Verso Paper Holdings
11.500%, 07/01/14		1,152		1,198
Vertellus Specialties
9.375%, 10/01/15 (A)		3,390		2,966
Vulcan Materials
7.500%, 06/15/21		280		261
6.500%, 12/01/16		280		258
				79,917
Telecommunication Services — 4.8%
Buccaneer Merger Sub
9.125%, 01/15/19 (A)		2,435		2,386
Cincinnati Bell
8.375%, 10/15/20		1,465		1,362
Clearwire Communications
12.000%, 12/01/15 (A)		2,300		1,949
12.000%, 12/01/15 (A)		3,085		2,599
12.000%, 12/01/17 (A)		1,604		966
Cogent Communications Group
8.375%, 02/15/18 (A)		590		608
Cricket Communications
7.750%, 10/15/20		1,815		1,579
7.750%, 10/15/20 (A)		120		103
Crown Castle International
9.000%, 01/15/15		1,365		1,447
Digicel Group
10.500%, 04/15/18 (A)		1,145		1,128
8.250%, 09/01/17 (A)		2,244		2,109
EH Holding
7.625%, 06/15/21 (A)		2,340		2,252
6.500%, 06/15/19 (A)		590		568
Frontier Communications
8.500%, 04/15/20		910		883

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GCI
8.625%, 11/15/19	$	520	$	542
Inmarsat Finance
7.375%, 12/01/17 (A)		2,125		2,130
Integra Telecom Holdings
10.750%, 04/15/16 (A)		1,405		1,243
Intelsat Jackson Holding
7.250%, 04/01/19 (A)		1,865		1,730
7.250%, 10/15/20 (A)		1,305		1,204
Intelsat Luxembourg
11.250%, 02/04/17		2,130		1,848
Intelsat Luxembourg PIK
11.500%, 02/04/17		2,112		1,816
11.500%, 02/04/17 (A)		3,915		3,367
ITC Deltacom
10.500%, 04/01/16		690		704
Level 3 Communications
11.875%, 02/01/19 (A)		670		636
Level 3 Escrow
8.125%, 07/01/19 (A)		400		354
Level 3 Financing
10.000%, 02/01/18		1,820		1,747
9.375%, 04/01/19 (A)		1,105		1,028
Lucent Technologies
6.450%, 03/15/29		1,740		1,444
MetroPCS Wireless
7.875%, 09/01/18		1,115		1,082
NII Capital
7.625%, 04/01/21		590		586
PAETEC Holding
9.875%, 12/01/18		1,960		2,053
8.875%, 06/30/17		700		735
Sable International Finance MTN
7.750%, 02/15/17 (A)		1,340		1,300
Satmex Escrow
9.500%, 05/15/17 (A)		640		618
Sprint Capital
8.750%, 03/15/32		5,295		4,600
Telcordia Technologies
11.000%, 05/01/18 (A)		3,315		4,127
Telesat Canada
12.500%, 11/01/17		760		851
Trilogy International Partners
10.250%, 08/15/16 (A)		75		74
Virgin Media Finance PLC
8.375%, 10/15/19		670		712
West
7.875%, 01/15/19		1,205		1,133
Wind Acquisition Finance
11.750%, 07/15/17 (A)		3,778		3,211
7.250%, 02/15/18 (A)		610		521

SEI Institutional Managed Trust / Annual Report / September 30, 2011 139

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Windstream
8.125%, 09/01/18	$	585	$	589
7.750%, 10/01/21		600		579
7.500%, 04/01/23		1,220		1,138
				63,641
Utilities — 1.3%
AES
9.750%, 04/15/16		870		935
Calpine
7.875%, 07/31/20 (A)		2,737		2,641
7.875%, 01/15/23 (A)		485		468
7.500%, 02/15/21 (A)		2,922		2,791
7.250%, 10/15/17 (A)		300		289
Elwood Energy
8.159%, 07/05/26		711		696
Energy Future Holdings
10.000%, 01/15/20		245		238
Energy Future Intermediate Holding
10.000%, 12/01/20		1,489		1,452
GenOn Energy
9.500%, 10/15/18		965		907
Mirant (Escrow Security)
0.000%, 07/15/04 (B)		450		5
Mirant Americas Generation LLC
8.500%, 10/01/21		1,130		972
North American Energy Alliance
10.875%, 06/01/16 (A)		1,100		1,141
NRG Energy
8.250%, 09/01/20		70		66
7.875%, 05/15/21 (A)		550		503
7.625%, 01/15/18 (A)		1,120		1,042
Public Service of New Mexico
7.950%, 05/15/18		2,600		2,983
				17,129
Total Corporate Obligations (Cost $1,107,253) ($ Thousands)				1,044,888
COLLATERALIZED DEBT OBLIGATIONS — 8.3%
Financials — 2.8%
ACAS CLO, Ser 2007-1A, Cl A1J
0.561%, 04/20/21 (A) (C)		5,207		4,270
CIFC Funding, Ser 2007-3A, Cl B
1.503%, 07/26/21 (A) (C)		2,500		1,754
CIT CLO, Ser 2007-1A, Cl D
2.351%, 06/20/21 (A) (C)		2,800		1,904
Commercial Industrial Finance, Ser 2006-1BA, Cl B2L
4.355%, 12/22/20 (C)		2,386		1,265
Commercial Industrial Finance, Ser 2006-2A
4.326%, 03/01/21 (A) (C)		3,138		1,648

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Commercial Industrial Finance, Ser 2006-2A, Cl B1L
1.926%, 03/01/21 (A) (C)	$	1,980	$	1,089
Commercial Industrial Finance, Ser 2007-1A
4.175%, 05/10/21 (C)		2,009		1,014
Emporia Preferred Funding, Ser 2007-3A, Cl C
1.153%, 04/23/21 (A) (C)		1,708		1,247
Rockwall CDO, Ser 2006-1A, Cl A1LA
0.554%, 08/01/21 (A) (C)		13,673		11,075
Rockwall CDO, Ser 2006-1A, Cl A1LB
0.754%, 08/01/21 (A) (C)		14,055		9,838
Rockwall CDO, Ser 2006-1A, Cl A2L
0.904%, 08/01/21 (A) (C)		3,017		1,931
				37,035
Other Asset-Backed Securities — 5.5%
ARES CLO Funds, Ser 2006- 5RA, Cl D
2.208%, 02/24/18 (A) (C)		1,253		808
Equinox Funding, Ser 2000- 1A, Cl A
0.887%, 11/15/12 (A) (C)		3,094		3,017
FM Leveraged Capital Fund, Ser 2006-2A, Cl B
0.756%, 11/15/20 (A) (C)		3,157		2,620
FM Leveraged Capital Fund, Ser 2006-2A, Cl D
1.886%, 11/15/20 (A) (C)		694		451
GSC Partners CDO Fund, Ser 2007-8A, Cl B
1.000%, 04/17/21 (A) (C)		2,386		1,579
Jasper CLO, Ser 2005-1A, Cl B
0.836%, 08/01/17 (A) (C)		1,826		1,306
Lightpoint CLO, Ser 2007-7A, Cl D
4.286%, 05/15/21 (A) (C)		2,956		1,862
Newstar Trust, Ser 2007-1A, Cl A1
0.559%, 09/30/22 (A) (C)		7,402		6,718
Red River CLO, Ser 2006-1A, Cl C
0.974%, 07/27/18 (A) (C)		5,456		3,519
Red River CLO, Ser 2006-1A, Cl D
1.904%, 07/27/18 (A) (C)		2,946		1,532
Rockwall CDO, Ser 2007-1A, Cl A1LA
0.504%, 08/01/24 (A) (C)		50,064		38,549
Stone Tower CDO, Ser 2004-1A, Cl A1LA
0.753%, 01/29/20 (A) (C)		2,795		2,543
Tricadia CDO, Ser 2007-1AR, Cl A2L
0.819%, 02/28/16 (A) (C)		6,210		5,154
Westwood CDO, Ser 2007-2A, Cl D
2.053%, 04/25/22 (A) (C)		3,367		1,936
				71,594
Total Collateralized Debt Obligations (Cost $113,417) ($ Thousands)				108,629

140 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
LOAN PARTICIPATIONS — 5.8%
AL Gulf Coast Terminals
6.750%, 06/02/16	$	466	$	466
Alliance Laundry Systems
6.750%, 09/23/16		38		38
6.250%, 09/23/16		1,390		1,369
Alliant Holdings I
6.750%, 08/21/14		487		481
Asurion, 1st Lien Term Loan
5.500%, 06/10/18		955		899
Asurion, 2nd Lien Term Loan
9.000%, 05/20/19		3,300		3,132
Attachmate, 1st Lien Term Loan
6.500%, 02/25/17		1,750		1,680
Brock Holdings
10.000%, 03/16/18		390		352
Central Parking
2.400%, 05/22/14		608		501
Central Parking, 1st Lien
2.625%, 05/22/14		1,419		1,170
Claire’s Stores
3.003%, 05/27/14		150		126
2.989%, 05/27/14		717		603
Clear Channel
3.889%, 01/29/16		306		214
Clear Channel, Term Loan B
0.000%, 01/29/16 (G)		475		331
First Data
4.235%, 03/24/18		3,405		2,751
First Data, Initial Tranche B-1
2.985%, 09/24/14		1,400		1,214
First Data, Initial Tranche B-2
2.985%, 09/24/14		28		24
First Data, Term Loan B-3
2.985%, 09/24/14		248		215
Firth Rixson, Facility B
4.869%, 12/18/15		500		453
Firth Rixson, Facility C
5.369%, 12/20/16		500		456
Gambro Aktiebolag
4.980%, 05/24/16		665		655
4.480%, 11/24/16		521		492
Guitar Center, Extended Term Loan
5.620%, 04/09/17		1,833		1,604
Harbinger
10.000%, 01/28/12		4,497		4,497
Harrah’s Operating
9.500%, 01/28/15		2,948		2,855
3.369%, 01/28/15		9		7
3.253%, 01/28/15		1,226		1,020
Inc Research
7.000%, 07/12/18		900		852

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Ineos Group, Term Loan B-2
7.501%, 12/16/13	$	808	$	804
Ineos Group, Term Loan C-2
8.001%, 12/16/14		927		927
Infor Global Enterprise Solutions
6.489%, 03/02/14		917		710
Infor Global Solutions
8.240%, 08/29/14		4,013		1,756
Infor Global Solutions, 2nd Lien
6.489%, 03/02/14		1,583		1,227
Intelsat Jackson Holdings
2.750%, 02/01/14		2,100		1,911
Kalispel Tribal Economic Authority
5.989%, 01/31/17		2,770		2,576
Lawson Software
6.750%, 07/05/17		2,250		2,126
Level 3 Financing (L)
0.000%, 04/21/12		1,000		—
Medical Card
12.000%, 09/15/15		1,458		1,386
Merrill Communications
7.500%, 12/24/12		1,100		1,055
Metroflag, 2nd Lien
14.000%, 01/06/09 (B)		300		—
MGM Mirage
7.000%, 02/21/14		1,489		1,401
NCO Group
8.000%, 05/15/13		893		866
Nelson Edu, Term Loan B-1L
2.869%, 07/05/14		1,000		793
Nuveen Investments, 2nd Lien
12.500%, 07/31/15		910		930
Obsidian Natural Gas Trust
7.000%, 11/02/15		2,367		2,367
PQ
6.740%, 06/14/14		1,297		1,142
Realogy
13.500%, 10/15/17		865		833
Realogy, Term B Loan
4.522%, 10/10/13		709		636
Rite Aid
4.500%, 02/17/18		2,138		1,970
Shield Finance
7.750%, 06/15/16		1,444		1,400
Simmons Holdco Unsecured (Escrow)
0.000%, 02/15/12		1,697		—
SpringLeaf Financial
5.500%, 05/06/17		1,860		1,607
Summit Material
6.500%, 12/03/15		1,290		1,239
Sun Healthcare
7.500%, 09/23/16		2,731		2,308
Targa Resources
3.323%, 02/09/15		866		866

SEI Institutional Managed Trust / Annual Report / September 30, 2011 141

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Continued)

September 30, 2011

Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
3.253%, 02/09/15	$	850	$	850
Texas Competitive Electric Holdings, Extending Term Loan
4.772%, 10/10/17		958		637
4.726%, 10/10/17		900		599
3.726%, 10/10/14		5,837		4,104
Texas Competitive Electric Holdings, Term Loan
3.772%, 10/10/14		5		4
Thronox
7.000%, 10/14/15		1,399		1,386
Vertafore
9.750%, 10/27/17		450		430
Walter Investment Management
7.750%, 06/30/16		3,100		3,009
Wide Open West Finance
8.500%, 06/27/15		—		—
6.480%, 06/27/15		3,075		2,898
Zuffa
7.500%, 06/18/15		1,715		1,671
Total Loan Participations (Cost $80,226) ($ Thousands)				76,881
AUCTION RATE PREFERRED SECURITIES — 0.7%
BlackRock Insured Municipal Income Trust		13,750		1,279
BlackRock Municipal Income Trust		28,250		2,627
BlackRock Municipal Income Trust		13,250		1,232
BlackRock MuniVest Fund		12,750		1,186
Invesco Insured Municipal Trust		19,000		1,653
Invesco Van Kampen Senior Income Trust		18,250		1,643
Total Auction Rate Preferred Securities (Cost $9,002) ($ Thousands)				9,620
ASSET-BACKED SECURITIES — 0.2%
Other Asset-Backed Securities — 0.2%
Airplanes Pass-Through Trust, Ser 2001-1A
0.779%, 03/15/19 (C)		1,533		966
Cajun Global LLC, Ser 2011- 1A
5.955%, 02/20/41 (A)		1,260		1,310
Total Asset-Backed Securities (Cost $2,219) ($ Thousands)				2,276
MUNICIPAL BONDS — 0.7%
Buckeye Tobacco Settlement Finance Authority, Ser A- 2, RB
Callable 06/01/17 @ 100
5.375%, 06/01/24		210		164
5.125%, 06/01/24		610		463

Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
Golden State Tobacco Securitization, Ser A-1, RB
Callable 06/01/17 @ 100
5.750%, 06/01/47	$	2,510	$	1,766
5.125%, 06/01/47		2,095		1,329
4.500%, 06/01/27		65		51
New Jersey Tobacco Settlement Financing, Ser 1A, RB
Callable 06/01/17 @ 100
5.000%, 06/01/41		5,430		3,497
4.750%, 06/01/34		2,000		1,301
Total Municipal Bonds (Cost $8,346) ($ Thousands)				8,571
CONVERTIBLE BONDS — 0.4%
Hologic CV to 25.9110
2.000%, 12/15/37		970		908
Liberty Media CV to 16.7764
3.750%, 02/15/30		3,200		1,704
Liberty Media CV to 22.94686
4.000%, 11/15/29		1,715		978
Mirant CV to 14.7167
0.000%, 06/15/21 (B)		2,200		4
Nortel Networks
2.125%, 04/15/14 (B)		1,660		1,627
Vector Group CV to 59.3618
12.921%, 06/15/26 (C)		373		424
Total Convertible Bonds (Cost $5,672) ($ Thousands)				5,645
PREFERRED STOCK — 0.3%
Ally Financial (A) (C)		48		3,025
Dana Holding (A)		5		530
General Motors		5		168
Total Preferred Stock (Cost $4,207) ($ Thousands)				3,723
	Number of Warrants
WARRANTS — 0.2%
Alion Science & Technology, Expires 03/15/17*		1,790		—
CUI Acquisition (I) (J) (K)		47,444		2,948
Total Warrants (Cost $4,033) ($ Thousands)				2,948
COMMON STOCK — 0.2%
Aventine Renewable Energy Holdings* (A)		66,907		368
Core-Mark Holding*		740		23
Dana Holding*		67,046		704

142 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Description	Shares		Market Value ($ Thousands)
Delta Air Lines*		2,568	$	19
Dex One*		31,547		18
LyondellBasell Industries, Cl A		26,951		658
Neenah Enterprises (K)*		17,244		78
Shreveport Gaming Holdings		13,948		—
United Continental Holdings*		35		1
VSS AHC, Cl A* (I) (J) (K)		27,106		323
Total Common Stock (Cost $4,859) ($ Thousands)				2,192
AFFILIATED PARTNERSHIP — 0.0%
SEI Liquidity Fund, L.P. 0.130%**† (H)		6,083		6
Total Affiliated Partnership (Cost $6) ($ Thousands)				6

Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%**†		27,915,323	$	27,915
Total Cash Equivalent (Cost $27,915) ($ Thousands)				27,915
Total Investments — 98.2% (Cost $1,367,155) ($ Thousands)			$	1,293,294

A summary of outstanding swap agreements held by the Fund at September 30, 2011, is as follows:

Credit Default Swaps
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/ Receives Rate			Termination Date		Notional Amount ($ Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
Barclays Bank PLC	CDX.NA.HY.SERIES 15	BUY		5.00	%		12/20/15	$	11,000	$	976
Barclays Bank PLC	CDX.NA.HY.SERIES 13 12/14	BUY		5.00			12/20/14		14,355		(255	)
										$	721

Percentages are based on a Net Assets of $1,317,073 ($ Thousands)

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011

† Investment in Affiliated Security (see Note 5)

‡ 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) Security in default on interest payments.

(C) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effects as of September 30, 2011. The date reported on the Schedule of Investments is the final maturity date.

(D) The rate reported on the Schedule of Investments is the effective yield at time of purchase.

(E) Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on September 30, 2011. The coupon on a step bond changes on a specified date.

(F) This security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $1,216 ($ Thousands).

(G) Unsettled bank loan. Interest rate not available.

(H) This security was purchased with cash collateral held from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $6 ($ Thousands).

(I) Security considered restricted. The total market value of such securities as of September 30, 2011 was $4,905 ($ Thousands) and represented 0.37% of Net Assets.

(J) 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, 2011 was $4,905 ($ Thousands) and represented 0.37% of Net Assets.

(K) Security considered illiquid. The total market value of such securities as of September 30, 2011 was $4,983 ($ Thousands) and represented 0.38% of Net Assets.

(L) Unfunded Bank Loan

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CV — Convertible Security

LLC — Limited Liability Company

LLP — Limited Liability Partnership

L.P. — Limited Partnership

MTN — Medium Term Note

PIK — Payment-in-Kind

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

Amounts designated as “—” are $O or have been rounded to $O

SEI Institutional Managed Trust / Annual Report / September 30, 2011 143

SCHEDULE OF INVESTMENTS

High Yield Bond Fund (Concluded)

September 30, 2011

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,038,374	$	6,514	$	1,044,888
Collateralized Debt Obligations		—		—		108,629		108,629
Loan Participations		—		64,875		12,006		76,881
Auction Rate Preferred Securities		—		—		9,620		9,620
Asset-Backed Securities		—		966		1,310		2,276
Municipal Bonds		—		8,571		—		8,571
Convertible Bonds		—		4,663		982		5,645
Preferred Stock		698		3,025		—		3,723
Warrants		—		—		2,948		2,948
Common Stock		1,423		368		401		2,192
Affiliated Partnership		—		6		—		6
Cash Equivalent		27,915		—		—		27,915
Total Investments in Securities	$	30,036	$	1,120,848	$	142,410	$	1,293,294

Other Financial Instruments	Level 1		Level 2		Level 3		Total
Credit Default Swaps*	$	—	$	721	$	—	$	721
Total Other Financial Instruments	$	—	$	721	$	—	$	721

* Swaps are valued at the unrealized appreciation on the instrument.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

	Corporate Obligations			Collateralized Debt Obligations			Loan Participations			Auction Rate Preferred Securities			Asset Backed Securities		Convertible Bonds		Warrants			Common Stock
Beginning balance as of October 1, 2010	$	13,812		$	38,280		$	10,626		$	6,515		$	—	$	4	$	—		$	2,273
Accrued discounts/premiums		(202	)		1,247			(33	)		—			—		—		—			—
Realized gain/(loss)		(1,627	)		(921	)		(438	)		179			—		—		4,024			—
Change in unrealized appreciation/(depreciation)		2,704			8,038			548			680			50		—		(1,076	)		(237	)
Net purchases/sales		(5,449	)		61,985			711			(1,050	)		1,260		—		—			—
Net transfer in and/or out of Level 3		(2,724	)		—			592			3,296			—		978		—			(1,635	)
Ending balance as of September 30, 2011	$	6,514		$	108,629		$	12,006		$	9,620		$	1,310	$	982	$	2,948		$	401
Changes in unrealized gains (losses) included in earnings Related to securities held at reporting date	$	(137	)	$	(2,951	)	$	(38	)	$	(283	)	$	—	$	—	$	—		$	(237	)

During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

144 SEI Institutional Managed Trust / Annual Report / September 30, 2011

SCHEDULE OF INVESTMENTS

Real Return Fund

September 30, 2011

Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 99.3%
U.S. Treasury Inflation Protected Security
2.500%, 07/15/16	$	8,083	$	9,289
2.000%, 01/15/14 to 01/15/16 (A)		100,225		108,434
1.875%, 07/15/13 to 07/15/15 (A)		36,972		39,413
1.625%, 01/15/15		37,270		40,106
1.250%, 04/15/14		29,383		30,786
0.625%, 04/15/13		29,207		29,745
0.500%, 04/15/15		46,913		48,815
0.125%, 04/15/16 (A)		48,771		50,390
U.S. Treasury Notes
1.500%, 08/31/18		13,825		13,892
Total U.S. Treasury Obligations (Cost $364,711) ($ Thousands)				370,870
AFFILIATED PARTNERSHIP — 19.9%
SEI Liquidity Fund, L.P. 0.140%*† (B)		74,248,418		74,248
Total Affiliated Partnership (Cost $74,248) ($ Thousands)				74,248
CASH EQUIVALENT — 3.6%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%*†		13,456,714		13,457
Total Cash Equivalent (Cost $13,457) ($ Thousands)				13,457
Total Investments — 122.8% (Cost $452,416) ($ Thousands)			$	458,575

Percentages are based on a Net Assets of $373,560 ($ Thousands)

* Rate shown is the 7-day effective yield as of September 30, 2011.

† Investment in Affiliated Security (see Note 5)

(A) This security or a partial position of this security is on loan at September 30, 2011 (see Note 9). The total market value of securities on loan at September 30, 2011 was $64,511 ($ Thousands).

(B) This security was purchased with cash collateral received from securities on loan (see Note 9). The total market value of such securities as of September 30, 2011 was $ 74,248 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

Amounts designated as “—” are $O or have been rounded to $O

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	370,870	$	—	$	370,870
Affiliated Partnership		—		74,248		—		74,248
Cash Equivalent		13,457		—		—		13,457
Total Investments in Securities	$	13,457	$	445,118	$	—	$	458,575

During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 145

SCHEDULE OF INVESTMENTS

Multi-Strategy Alternative Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
REGISTERED INVESTMENT COMPANIES — 84.2%
AQR Diversified Arbitrage Fund, Class I		3,296,251	$	36,885
AQR Managed Futures Strategy Fund, Class I		3,058,784		30,282
Driehaus Active Income Fund		3,656,731		36,604
DWS Disciplined Market Neutral Fund, Institutional Class		1,193,954		11,235
Eaton Vance Global Macro Absolute Return Fund, Class I		2,827,173		27,819
JPMorgan Research Market Neutral Fund, Institutional Class		1,874,871		27,898
Merger Fund		2,725,429		42,490
TFS Market Neutral Fund		1,254,610		17,489
Turner Spectrum Fund, Institutional Class		1,317,518		15,086
Total Registered Investment Companies (Cost $254,318) ($ Thousands)				245,788
CASH EQUIVALENT — 15.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.010%*†		46,145,109		46,145
Total Cash Equivalent (Cost $46,145) ($ Thousands)				46,145
Total Investments — 100.0% (Cost $300,463) ($ Thousands)			$	291,933

Percentages are based on Net Assets of $292,006 ($Thousands).

* Rate shown is the 7-day effective yield as of September 30, 2011.

† Investment in Affiliated Security (See Note 5).

Cl — Class

As of September 30, 2011, all of the Fund’s investments were considered level 1, in accordance with ASC-820.

During the year ended September 30, 2011, there have been no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there have been no significant transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

146 SEI Institutional Managed Trust / Annual Report / September 30, 2011

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Statements of Assets and Liabilities ($ Thousands)

September 30, 2011

	Large Cap Fund			Large Cap Value Fund			Large Cap Growth Fund
ASSETS:
Investments, at value†	$	1,480,196	*	$	1,187,475	*	$	1,263,491	*
Affiliated investment, at value††		146,922			96,283			208,094
Cash		10			25			—
Receivable for investment securities sold		21,621			11,724			31,510
Receivable for fund shares sold		1,139			443			320
Dividends and interest receivable		1,686			1,743			1,145
Receivable for variation margin		—			19			—
Prepaid Expenses		17			23			17
Total Assets		1,651,591			1,297,735			1,504,577
LIABILITIES:
Payable upon return on securities loaned		105,804			77,060			186,265
Payable for investment securities purchased		20,484			13,688			30,115
Payable for fund shares redeemed		1,436			1,319			1,303
Payable to custodian		—			—			23
Payable for variation margin		719			339			569
Administration fees payable		458			365			395
Investment advisory fees payable		439			322			420
Shareholder servicing fees payable Class A		184			188			139
Shareholder servicing fees payable Class I		—			1			1
Chief Compliance Officer fees payable		2			2			2
Administration servicing fees payable Class I		—			1			1
Accrued expense payable		123			105			111
Total Liabilities		129,649			93,390			219,344
Net Assets	$	1,521,942		$	1,204,345		$	1,285,233
†Cost of investments		1,552,358			1,314,413			1,242,115
††Cost of affiliated investments		146,922			101,048			211,783
* Includes market value of securities on loan		100,274			73,116			177,214
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)	$	1,521,988		$	1,668,887		$	1,601,909
Undistributed (distributions in excess of) net investment income		3,100			4,808			315
Accumulated net realized gain (loss) on investments, futures and foreign currency		70,138			(337,031	)		(333,658	)
Net unrealized appreciation (depreciation) on investments and affiliated investments		(72,162	)		(131,703	)		17,687
Net unrealized depreciation on futures contracts		(1,122	)		(616	)		(1,020	)
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		—			—			—
Net Assets	$	1,521,942		$	1,204,345		$	1,285,233
Net Asset Value, Offering and Redemption Price Per Share — Class A		$10.15			$14.13			$19.77
		($1,521,942,264 ÷ 150,010,170 shares	)		($1,197,272,257 ÷ 84,743,352 shares	)		($1,278,538,337 ÷ 64,675,181 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		N/A			$14.13			$19.57
					($7,073,126 ÷ 500,736 shares	)		($6,694,720 ÷ 342,140 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class Y		N/A			N/A			N/A

‡ See Note 1 in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

148 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Tax-Managed Large Cap Fund			S&P 500 Index Fund			Small Cap Fund			Small Cap Value Fund			Small Cap Growth Fund			Tax-Managed Small/Mid Cap Fund‡			Mid-Cap Fund
	$1,484,952	*		$1,406,309	*		$198,384	*		$374,494	*		$270,107	*		$248,648	*		$73,249	*
	137,927			192,860			66,210			109,206			95,741			48,019			14,808
	10			10			4			64			—			7			6
	23,469			—			994			1,214			1,408			898			2,499
	740			42,386			241			1,404			58			122			92
	1,734			1,926			179			660			61			269			119
	—			—			—			—			—			—			—
	18			163			3			6			4			3			1
	1,648,850			1,643,654			266,015			487,048			367,379			297,966			90,774
	122,520			144,795			59,289			102,792			90,211			39,861			13,558
	25,778			33,929			1,866			2,091			1,230			876			864
	2,187			4,740			591			439			347			1,484			1,094
	—			—			—			—			—			—			—
	464			1,572			145			198			199			183			42
	454			178			63			116			86			79			24
	484			36			97			184			116			104			33
	137			13			35			60			60			56			9
	—			1			—			1			1			—			—
	2			2			—			1			—			—			—
	—			2			—			1			1			—			—
	128			114			20			35			27			26			10
	152,154			185,382			62,106			105,918			92,278			42,669			15,634
	$1,496,696			$1,458,272			$203,909			$381,130			$275,101			$255,297			$75,140
	1,459,246			832,268			224,462			431,776			316,227			265,743			88,471
	141,918			195,697			66,210			113,011			98,691			48,313			15,132
	116,488			137,997			55,648			96,575			84,713			37,783			12,771
	$1,836,818			$   927,595			$199,564			$529,757			$520,845			$298,137			$109,515
	3,368			6,509			(48	)		1,275			(122	)		387			110
	(364,378)			(44,209	)		30,684			(88,292	)		(196,305	)		(25,542	)		(18,906	)
	21,715			571,204			(26,078	)		(61,087	)		(49,070	)		(17,389	)		(15,546	)
	(827	)		(2,827	)		(213	)		(523	)		(247	)		(295	)		(33	)
	—			—			—			—			—			(1	)		—
	$1,496,696			$1,458,272			$203,909			$381,130			$275,101			$255,297			$75,140
	$10.80			$31.03			$9.51			$14.26			$14.20			$10.39			$14.99
	($1,495,782,732 ÷ 138,441,058 shares	)		($255,344,680 ÷ 8,229,185 shares	)		($203,909,320 ÷ 21,450,133 shares	)		($377,221,776 ÷ 26,460,103 shares	)		($272,274,903 ÷ 19,179,075 shares	)		($255,296,509 ÷ 24,574,361 shares	)		($74,199,754 ÷ 4,948,696 shares	)
	N/A			$31.17			N/A			N/A			N/A			N/A			N/A
				($1,195,728,724 ÷ 38,358,358 shares	)
	N/A			$31.12			N/A			$14.15			$13.82			N/A			$14.99
				($7,198,282 ÷ 231,302 shares	)					($3,908,700 ÷ 276,197 shares	)		($2,826,542 ÷ 204,461 shares	)					($940,337 ÷ 62,714 shares	)
	$11.07			N/A			N/A			N/A			N/A			N/A			N/A
	($913,252 ÷ 82,529 shares	)

SEI Institutional Managed Trust / Annual Report / September 30, 2011 149

Statements of Assets and Liabilities ($ Thousands)

September 30, 2011

	U.S. Managed Volatility Fund			Global Managed Volatility Fund			Tax-Managed Managed Volatility Fund
ASSETS:
Investments, at value†	$	440,184		$	450,887		$	269,667
Affiliated investment, at value††		11,391			28,800			15,465
Cash		38			2,400			16
Foreign currency, at value†††		638			2,292			331
Cash collateral on futures contracts		—			—			—
Cash collateral on swaps contracts		—			—			—
Receivable for investment securities sold		—			15			—
Receivable for fund shares sold		667			34,384			725
Dividends and interest receivable		793			2,254			476
Receivable for variation margin		—			—			—
Swap contracts, at value††††		—			—			—
Unrealized gain on forward foreign currency contracts		—			5,070			—
Prepaid Expenses		5			4			3
Total Assets		453,716			526,106			286,683
LIABILITIES:
Payable upon return on securities loaned		—			—			—
Payable for investment securities purchased		—			—			6,239
Payable for fund shares redeemed		647			2,442			575
Payable for variation margin		133			498			222
Administration fees payable		133			140			81
Investment advisory fees payable		139			177			78
Shareholder servicing fees payable Class A		85			100			58
Shareholder servicing fees payable Class I		—			—			—
Chief Compliance Officer fees payable		1			1			—
Administration servicing fees payable Class I		—			—			—
Income distribution payable		—			—			—
Swap contracts, at value††††		—			—			—
Options written, at value#		—			—			—
Unrealized loss on forward foreign currency contracts		—			39			—
Accrued expense payable		37			42			22
Total Liabilities		1,175			3,439			7,275
Net Assets	$	452,541		$	522,667		$	279,408
†Cost of investments		411,718			430,567			248,655
††Cost of affiliated investments		11,391			28,800			15,465
†††Cost of foreign currency/(overdraft of foreign currency)		672			2,352			348
††††Premiums received/(paid)		—			—			—
# Premiums received		—			—			—
* Includes market value of securities on loan		—			—			—
NET ASSETS:
Paid-in-Capital — (unlimited authorization — no par value)	$	471,029		$	548,390		$	246,907
Undistributed (distributions in excess of) net investment income		1,683			(5,910	)		1,046
Accumulated net realized gain (loss) on investments, option contracts, futures, swap contracts and foreign currency		(48,403	)		(44,744	)		10,621
Net unrealized appreciation (depreciation) on investments, affiliated investments and option contracts		28,466			20,320			21,012
Net unrealized appreciation (depreciation) on futures contracts		(197	)		(316	)		(160	)
Net unrealized appreciation (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		(37	)		4,927			(18	)
Net Assets	$	452,541		$	522,667		$	279,408
Net Asset Value, Offering and Redemption Price Per Share — Class A		$11.49			$8.53			$9.77
		($452,489,456 ÷ 39,391,096 shares	)		($522,646,677 ÷ 61,264,691 shares	)		($279,407,540 ÷ 28,609,229 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class I		$11.47			$8.44			N/A
		($51,613 ÷ 4,501 shares	)		($20,685 ÷ 2,452 shares	)

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

150 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Real Estate Fund			Enhanced Income Fund			Core Fixed Income Fund			U.S. Fixed Income Fund			High Yield Bond Fund			Real Return Fund			Multi-Strategy Alternative Fund
	$133,844	*		$161,376			$2,291,744	*		$   975,061	*		$1,265,373	*		$370,870	*		$245,788
	38,368			4,901			312,505			153,770			27,921			87,705			46,145
	—			2,958			2,135			697			537			—			—
	—			—			933			—			—			—			—
	—			100			—			—			—			—			—
	—			—			1,950			—			—			—			—
	247			83			336,011			122,497			2,502			—			—
	4,566			365			3,252			871			2,293			767			389
	357			465			14,378			5,443			29,673			1,107			90
	—			—			438			4			—			—			—
	—			—			5,934			1,253			1,104			—			—
	—			—			1,252			—			—			—			—
	2			2			23			10			17			3			3
	177,384			170,250			2,970,555			1,259,606			1,329,420			460,452			292,415
	31,708			—			95,556			72,081			6			74,248			—
	2,326			11,022			662,704			211,968			9,433			12,256			—
	223			184			1,956			1,118			1,197			243			282
	—			3			124			71			—			—			—
	42			17			506			223			388			42			69
	68			50			463			210			473			67			36
	22			—			111			11			56			6			—
	—			—			3			—			—			—			—
	—			—			37			1			2			1			—
	—			—			3			—			—			—			—
	—			—			460			108			653			—			—
	—			—			6,314			1,209			—			—			—
	—			—			906			10			—			—			—
	—			—			354			—			—			—			—
	12			19			222			147			139			29			22
	34,401			11,295			769,719			287,157			12,347			86,892			409
	$142,983			$158,955			$2,200,836			$   972,449			$1,317,073			$373,560			$292,006
	112,403			169,066			2,262,487			931,760			1,339,234			364,711			254,318
	39,734			4,901			316,025			153,770			27,921			87,705			46,145
	—			—			953			—			—			—			—
	—			—			2,796			438			383			—			—
	—			—			(789	)		(17	)		—			—			—
	29,971			—			93,143			70,168			1,216			64,511			—
	$179,397			$289,878			$2,244,034			$918,112			$1,548,108			$365,819			$304,155
	1,133			984			(4,791	)		107			7,003			916			1,118
	(57,622)			(124,190	)		(63,941	)		11,566			(164,898	)		666			(4,737	)
	20,075			(7,690	)		25,620			43,308			(73,861	)		6,159			(8,530	)
	—			(27	)		2,227			(250	)		—			—			—
	—			—			(3,176	)		(394	)		721			—			—
	—			—			863			—			—			—			—
	$142,983			$158,955			$2,200,836			$   972,449			$1,317,073			$373,560			$292,006
	$11.67			$7.36			$11.14			$10.70			$6.92			$10.60			$9.57
	($142,538,241 ÷ 12,215,140 shares	)		($158,936,150÷ 21,582,320 shares	)		($2,185,134,827 ÷ 196,196,941 shares	)		($972,448,780 ÷ 90,895,979 shares	)		($1,316,157,619 ÷ 190,319,806 shares	)		($373,560,400 ÷ 35,249,382 shares	)		($292,005,819 ÷ 30,506,202 shares	)
	$11.64			$7.36			$11.13			N/A			$6.82			N/A			N/A
	($444,891 ÷ 38,227 shares	)		($18,944 ÷ 2,575 shares	)		($15,701,474 ÷ 1,410,557 shares	)					($915,254 ÷ 134,144 shares	)

SEI Institutional Managed Trust / Annual Report / September 30, 2011 151

Statements of Operations ($ Thousands)

For the year ended September 30, 2011

	Large Cap Fund			Large Cap Value Fund			Large Cap Growth Fund
Investment Income:
Dividends	$	25,497		$	34,659		$	18,523
Dividends from Affiliated Investments†*		40			23			33
Interest Income		7			5			7
Securities Lending Income — Net**		183			180			310
Less: Foreign Taxes Witheld		—			(6	)		—
Total Investment Income		25,727			34,861			18,873
Expenses:
Investment Advisory Fees		6,295			5,449			6,489
Administration Fees		5,650			5,449			5,678
Shareholder Servicing Fees Class (A)		4,036			3,867			4,034
Shareholder Servicing Fees Class (I)		—			26			22
Shareholder Servicing Fees Class (Y)		—			—			—
Administration Servicing Fees Class (I)		—			26			22
Trustee Fees		31			31			32
Chief Compliance Officer Fees		8			7			7
Printing Fees		143			129			134
Professional Fees		99			88			93
Custodian/Wire Agent Fees		145			136			140
Registration Fees		43			52			54
Interest expense		—			—			—
Licensing Fees		—			—			—
Other Expenses		57			61			62
Total Expenses		16,507			15,321			16,767
Less:
Waiver of Investment Advisory Fees		(663	)		(760	)		(734	)
Waiver of Shareholder Servicing Fees Class (A)		(1,389	)		(624	)		(1,460	)
Waiver of Shareholder Servicing Fees Class (I)		—			(7	)		(10	)
Waiver of Shareholder Servicing Fees Class (Y)		—			—			—
Waiver of Administration Fees		—			—			—
Fees Paid Indirectly*		(57	)		(20	)		(72	)
Net Expenses		14,398			13,910			14,491
Net Investment Income (Loss)		11,329			20,951			4,382
Net Realized and Unrealized Gain (Loss) on Investments:
Net Realized Gain (Loss) on:
Investments		94,694			193,650			319,004
Futures Contracts		1,631			736			2,966
Foreign Currency Transactions		(46	)		—			—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		(154,187	)		(222,374	)		(273,890	)
Affiliated Investments		—			259			(210	)
Futures Contracts		(2,012	)		(1,252	)		(2,663	)
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency		—			—			—
Net Increase (Decrease) in Net Assets from Operations	$	(48,591	)	$	(8,030	)	$	49,589

  † Income is from the investment of collateral in an affiliated security.

  ‡ See Note 1 in Notes to Financial Statements.

  * See Note 5 in Notes to Financial Statements.

(1) Includes realized gain of $40,461 ($ Thousands) due to an affiliated transaction (see Note 5).

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

152 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Tax-Managed Large Cap Fund			S&P 500 Index Fund			Small Cap Fund			Small Cap Value Fund			Small Cap Growth Fund			Tax-Managed Small/Mid Cap Fund‡			Mid-Cap Fund
$	28,496		$	35,105		$	2,335		$	8,022		$	2,169		$	3,820		$	1,817
	35			41			8			8			8			7			4
	7			4			16			4			2			1			1
	239			258			293			272			559			280			35
	—			(2	)		(7	)		(19	)		(8	)		(14	)		(4	)
	28,777			35,406			2,645			8,287			2,730			4,094			1,853
	6,872			526			1,639			3,468			2,606			2,068			545
	6,010			3,859			882			1,867			1,403			1,113			470
	4,291			1,483			630			1,317			992			795			333
	—			22			—			17			10			—			2
	2			—			—			—			—			—			—
	—			22			—			17			10			—			2
	34			34			5			11			8			6			3
	8			9			1			2			2			2			1
	149			157			22			43			33			27			14
	102			100			14			29			21			18			9
	152			150			22			46			35			28			12
	51			48			8			18			13			9			4
	—			—			1			1			1			—			—
	—			119			—			—			—			—			—
	67			70			17			25			21			26			9
	17,738			6,599			3,241			6,861			5,155			4,092			1,404
	(1,219	)		—			(128	)		(143	)		(218	)		(406	)		—
	(1,160	)		(415	)		(210	)		(589	)		(449	)		(117	)		—
	—			(9	)		—			(10	)		—			—			—
	(1	)		—			—			—			—			—			—
	—			(615	)		—			—			—			—			—
	(39	)		(37	)		(23	)		(11	)		(21	)		(32	)		(31	)
	15,319			5,523			2,880			6,108			4,467			3,537			1,373
	13,458			29,883			(235	)		2,179			(1,737	)		557			480
	183,924			49,578	(1)		34,081			102,565			120,192			55,367			19,551
	3,656			2,828			834			591			411			844			865
	(18	)		—			(4	)		1			—			(80	)		—
	(214,650	)		(3,308	)		(48,363	)		(119,533	)		(110,782	)		(64,792	)		(21,915	)
	104			(3,981	)		—			194			101			315			54
	(1,549	)		243			(225	)		(1,025	)		(537	)		(669	)		(142	)
	—			—			(1	)		(2	)		—			36			—
$	(15,075	)	$	75,243		$	(13,913	)	$	(15,030	)	$	7,648		$	(8,422	)	$	(1,107	)

SEI Institutional Managed Trust / Annual Report / September 30, 2011 153

Statements of Operations ($ Thousands)

For the year ended September 30, 2011

	U.S. Managed Volatility Fund			Global Managed Volatility Fund			Tax-Managed Managed Volatility Fund
Investment Income:
Dividends	$	11,069		$	15,342		$	6,517
Dividends from Affiliated Investments†*		9			11			7
Interest Income		2			33			1
Securities Lending Income — Net		—			—			—
Less: Foreign Taxes Witheld		(66	)		(1,277	)		(36	)
Total Investment Income		11,014			14,109			6,489
Expenses:
Investment Advisory Fees		3,072			2,849			1,750
Administration Fees		1,654			1,534			942
Shareholder Servicing Fees Class (A)		1,181			1,095			673
Shareholder Servicing Fees Class (I)		—			—			—
Administration Servicing Fees Class (I)		—			—			—
Trustee Fees		9			8			5
Printing Fees		41			41			24
Professional Fees		29			29			17
Custodian/Wire Agent Fees		43			71			24
Registration Fees		13			10			7
Chief Compliance Officer Fees		2			2			1
Overdraft Fees		—			1			—
Interest expense		—			—			—
Licensing Fees		—			—			—
Other Expenses		19			42			11
Total Expenses		6,063			5,682			3,454
Less:
Waiver of Investment Advisory Fees		(1,311	)		(808	)		(756	)
Waiver of Shareholder Servicing Fees Class (A)		(16	)		—			—
Waiver of Shareholder Servicing Fees Class (I)		—			—			—
Waiver of Administration Fees		—			—			—
Fees Paid Indirectly*		—			—			—
Net Expenses		4,736			4,874			2,698
Net Investment Income		6,278			9,235			3,791
Net Realized and Unrealized Gain (Loss) on Investments:
Net Realized Gain (Loss) on:
Investments		52,464			15,626			25,324
Futures Contracts		687			787			(130	)
Written Options		—			—			—
Swap Contracts		—			—			—
Foreign Currency Transactions		11			(10,369	)		6
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		(27,765	)		(9,706	)		(12,895	)
Affiliated Investments		—			—			—
Futures Contracts		(358	)		(459	)		(261	)
Written Options		—			—			—
Swap Contracts		—			—			—
Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency		(37	)		6,375			(18	)
Net Increase (Decrease) in Net Assets from Operations	$	31,280		$	11,489		$	15,817

† Income is from the investment of collateral in an affiliated security.

* See Note 5 in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

154 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Real Estate Fund			Enhanced Income Fund			Core Fixed Income Fund			U.S. Fixed Income Fund			High Yield Bond Fund			Real Return Fund			Multi-Strategy Alternative Fund
$	2,472		$	—		$	121		$	—		$	852		$	—		$	5,733
	6			3			78			25			50			5			6
	—			5,048			86,551			30,953			129,189			11,113			—
	65			—			70			32			—			2			—
	—			—			—			(3	)		(17	)		—			—
	2,543			5,051			86,820			31,007			130,074			11,120			5,739
	1,122			629			6,034			2,427			7,661			696			3,811
	604			550			6,144			2,471			5,500			1,107			889
	430			393			5,446			2,207			3,919			791			635
	1			—			39			—			10			—			—
	1			—			39			—			10			—			—
	4			3			43			17			31			6			5
	12			14			180			75			136			30			24
	10			10			136			57			92			22			17
	16			13			185			76			140			28			23
	7			5			75			28			45			7			16
	1			1			10			4			8			2			1
	—			—			—			—			—			—			—
	—			—			809			—			7			—			—
	—			—			—			—			—			—			—
	8			31			412			306			171			11			8
	2,216			1,649			19,552			7,668			17,730			2,700			5,429
	(93	)		(165	)		(413	)		(112	)		(756	)		—			(3,430	)
	(147	)		(393	)		(3,528	)		(1,714	)		(2,933	)		(778	)		(635	)
	(1	)		—			(30	)		—			(8	)		(492	)		—
	—			(145	)		—			—			—			—			(89	)
	(2	)		—			—			—			—			—			—
	1,973			946			15,581			5,842			14,033			1,430			1,275
	570			4,105			71,239			25,165			116,041			9,690			4,464
	51,224			918			10,859			20,537			57,151			1,621			(2,697	)
	—			(506	)		(7,067	)		(2,153	)		—			(161	)		—
	—			—			1,047			163			—			—			—
	—			—			(9,498	)		(587	)		(1,185	)		—			—
	2			—			(2,243	)		—			1,668			—			—
	(43,227	)		(3,654	)		38,992			4,812			(123,966	)		1,678			(10,037	)
	237			—			(143	)		—			1			—			—
	—			(4	)		2,390			(150	)		—			93			—
	—			—			(34	)		22			—			—			—
	—			—			7,204			669			1,764			—			—
	(3	)		—			1,685			—			—			—			—
$	8,803		$	859		$	114,431		$	48,478		$	51,474		$	12,921		$	(8,270	)

SEI Institutional Managed Trust / Annual Report / September 30, 2011 155

Statements of Changes in Net Assets ($ Thousands)

For the years or period ended September 30,

	Large Cap Fund(2)						Large Cap Value Fund						Large Cap Growth Fund
	2011			10/01/09 to 09/30/10			2011			2010			2011			2010
Operations:
Net Investment Income (Loss)	$	11,329		$	11,805		$	20,951		$	25,362		$	4,382		$	11,627
Net Realized Gain from Investments and Futures Contracts		96,325			30,848			194,386			128,574			321,970			195,691
Net Realized Gain (Loss) on Foreign Currency Transactions		(46	)		—			—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts		(156,199	)		82,915			(223,367	)		(14,902	)		(276,763	)		6,021
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency		—			—			—			—			—			—
Net Increase (Decrease) in Net Assets from Operations		(48,591	)		125,568			(8,030	)		139,034			49,589			213,339
Dividends and Distributions From:
Net Investment Income:
Class A		(11,257	)		(9,179	)		(21,590	)		(28,231	)		(6,569	)		(11,922	)
Class E		—			—			—			—			—			—
Class I		—			—			(124	)		(153	)		(18	)		(35	)
Class Y		—			—			—			—			—			—
Net Capital Gains:
Class A		(51,267	)		(5,320	)		—			—			—			—
Return of Capital:
Class A		—			—			—			—			—			—
Total Dividends and Distributions		(62,524	)		(14,499	)		(21,714	)		(28,384	)		(6,587	)		(11,957	)
Capital Share Transactions(1):
Class A:
Proceeds from Shares Issued		882,457			1,846,164			245,648			279,951			247,545			270,461
Reinvestment of Dividends and Distributions		59,713			13,994			20,560			26,863			6,245			11,357
Cost of Shares Redeemed		(705,012	)		(575,328	)		(543,203	)		(756,272	)		(620,143	)		(914,247	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		237,158			1,284,830			(276,995	)		(449,458	)		(366,353	)		(632,429	)
Class E:
Proceeds from Shares Issued		—			—			—			—			—			—
Reinvestment of Dividends and Distributions		—			—			—			—			—			—
Cost of Shares Redeemed		—			—			—			—			—			—
Increase in Net Assets Derived from Class E Transactions		—			—			—			—			—			—
Class I:
Proceeds from Shares Issued		—			—			2,046			2,902			3,100			2,408
Reinvestment of Dividends and Distributions		—			—			107			130			15			28
Cost of Shares Redeemed		—			—			(5,509	)		(4,747	)		(4,614	)		(4,555	)
Decrease in Net Assets Derived from Class I Transactions		—			—			(3,356	)		(1,715	)		(1,499	)		(2,119	)
Class Y:
Proceeds from Shares Issued		—			—			—			—			—			—
Reinvestment of Dividends and Distributions		—			—			—			—			—			—
Cost of Shares Redeemed		—			—			—			—			—			—
Decrease in Net Assets Derived from Class Y Transactions		—			—			—			—			—			—
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		237,158			1,284,830			(280,351	)		(451,173	)		(367,852	)		(634,548	)
Net Increase (Decrease) in Net Assets		126,043			1,395,899			(310,095	)		(340,523	)		(324,850	)		(433,166	)
Net Assets:
Beginning of Year/Period		1,395,899			—			1,514,440			1,854,963			1,610,083			2,043,249
End of Year/Period	$	1,521,942		$	1,395,899		$	1,204,345		$	1,514,440		$	1,285,233		$	1,610,083
Undistributed (Distributions in Excess of) Net Investment Income/(Accumulated Net Investment Loss) Included in Net Assets at Year or Period End	$	3,100		$	2,840		$	4,808		$	5,338		$	315		$	2,419

(1) See Note 6 in Notes to Financial Statements.

(2) Commenced operations on October 1, 2009.

(3) Includes realized gain of $40,461 ($ Thousands) due to an affiliated transaction (see Note 5).

(4) Includes redemptions as a result of an affiliated transaction (see Note 5).

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

156 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Tax-Managed Large Cap Fund						S&P 500 Index Fund						Small  Cap Fund(2)						Small Cap Value Fund						Small Cap Growth Fund
2011			2010			2011			2010			2011			10/01/09 to 09/30/10			2011			2010			2011			2010
$	13,458		$	15,082		$	29,883		$	26,258		$	(235	)	$	245		$	2,179		$	2,641		$	(1,737	)	$	(862	)
	187,580			90,748			52,406	(3)		3,939			34,915			17,066			103,156			38,352			120,603			48,602
	(18	)		—			—			—			(4	)		(27	)		1			(15	)		—			1
	(216,095	)		37,787			(7,046	)		98,457			(48,588	)		22,297			(120,364	)		24,309			(111,218	)		(6,590	)
	—			—			—			—			(1	)		1			(2	)		6			—			—
	(15,075	)		143,617			75,243			128,654			(13,913	)		39,582			(15,030	)		65,293			7,648			41,151
	(13,808	)		(16,015	)		(10,156	)		(7,350	)		(298	)		(381	)		(3,293	)		(4,124	)		—			—
	—			—			(19,947	)		(18,431	)		—			—			—			—			—			—
	—			—			(122	)		(139	)		—			—			(30	)		(37	)		—			—
	(17	)		(32	)		—			—			—			—			—			—			—			—
	—			—			—			—			(20,459	)		(186	)		—			—			—			—
	—			—			—			—			—			—			—			—			—			(30	)
	(13,825	)		(16,047	)		(30,225	)		(25,920	)		(20,757	)		(567	)		(3,323	)		(4,161	)		—			(30	)
	401,064			344,698			966,434			174,347			180,209			443,002			95,848			186,381			79,496			142,613
	12,604			14,652			9,817			6,982			19,893			548			3,104			3,804			—			28
	(423,565	)		(547,879	)		(1,120,943	)(4)		(332,876	)		(185,501	)		(258,587	)		(239,326	)		(352,875	)		(195,805	)		(280,793	)
	(9,897	)		(188,529	)		(144,692	)		(151,547	)		14,601			184,963			(140,374	)		(162,690	)		(116,309	)		(138,152	)
	—			—			442,098			266,963			—			—			—			—			—			—
	—			—			19,086			17,440			—			—			—			—			—			—
	—			—			(282,508	)		(169,713	)		—			—			—			—			—			—
	—			—			178,676			114,690			—			—			—			—			—			—
	—			—			1,842			2,805			—			—			1,818			2,142			1,913			1,301
	—			—			81			90			—			—			28			34			—			—
	—			—			(3,200	)		(3,736	)		—			—			(4,860	)		(3,477	)		(2,764	)		(2,037	)
	—			—			(1,277	)		(841	)		—			—			(3,014	)		(1,301	)		(851	)		(736	)
	218			50			—			—			—			—			—			—			—			—
	16			32			—			—			—			—			—			—			—			—
	(2,518	)		(460	)		—			—			—			—			—			—			—			—
	(2,284	)		(378	)		—			—			—			—			—			—			—			—
	(12,181	)		(188,907	)		32,707			(37,698	)		14,601			184,963			(143,388	)		(163,991	)		(117,160	)		(138,888	)
	(41,081	)		(61,337	)		77,725			65,036			(20,069	)		223,978			(161,741	)		(102,859	)		(109,512	)		(97,767	)
	1,537,777			1,599,114			1,380,547			1,315,511			223,978			—			542,871			645,730			384,613			482,380
$	1,496,696		$	1,537,777		$	1,458,272		$	1,380,547		$	203,909		$	223,978		$	381,130		$	542,871		$	275,101		$	384,613
$	3,368		$	3,548		$	6,509		$	6,641		$	(48	)	$	(3	)	$	1,275		$	1,236		$	(122	)	$	(4	)

SEI Institutional Managed Trust / Annual Report / September 30, 2011 157

Statements of Changes in Net Assets ($ Thousands)

For the years ended September 30,

	Tax-Managed Small/Mid Cap Fund‡
	2011			2010
Operations:
Net Investment Income	$	557		$	856
Net Realized Gain from Investments and Futures Contracts		56,211			21,226
Net Realized Gain (Loss) on Foreign Currency Transactions		(80	)		(21	)
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments and Futures Contracts		(65,146	)		14,292
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency		36			(37	)
Net Increase (Decrease) in Net Assets from Operations		(8,422	)		36,316
Dividends and Distributions From:
Net Investment Income:
Class A		(741	)		(727	)
Class I		—			—
Total Dividends and Distributions		(741	)		(727	)
Capital Share Transactions(1):
Class A:
Proceeds from Shares Issued		92,360			114,100
Reinvestment of Dividends and Distributions		663			648
Cost of Shares Redeemed		(128,906	)		(112,458	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		(35,883	)		2,290
Class I:
Proceeds from Shares Issued		—			—
Reinvestment of Dividends and Distributions		—			—
Cost of Shares Redeemed		—			—
Increase in Net Assets Derived from Class I Transactions		—			—
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(35,883	)		2,290
Net Increase (Decrease) in Net Assets		(45,046	)		37,879
Net Assets:
Beginning of Year/Period		300,343			262,464
End of Year/Period	$	255,297		$	300,343
Undistributed Net Investment Income Included in Net Assets at Year End	$	387		$	337

‡ See Note 1 in Notes to Financial Statements.

(1) See Note 6 in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

158 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Mid-Cap Fund						U.S. Managed Volatility Fund
2011			2010			2011			2010
$	480		$	706		$	6,278		$	5,117
	20,416			25,301			53,151			22,600
	—			—			11			—
	(22,003	)		(11,372	)		(28,123	)		21,791
	—			—			(37	)		—
	(1,107	)		14,635			31,280			49,508
	(669	)		(728	)		(5,925	)		(5,225	)
	(2	)		(1	)		(1	)		—
	(671	)		(729	)		(5,926	)		(5,225	)
	84,175			110,681			307,919			195,255
	542			620			5,322			4,794
	(133,397	)		(120,415	)		(301,778	)		(209,646	)
	(48,680	)		(9,114	)		11,463			(9,597	)
	593			591			99			32
	2			1			1			—
	(189	)		(338	)		(82	)		(16	)
	406			254			18			16
	(48,274	)		(8,860	)		11,481			(9,581	)
	(50,052	)		5,046			36,835			34,702
	125,192			120,146			415,706			381,004
$	75,140		$	125,192		$	452,541		$	415,706
$	110		$	244		$	1,683		$	1,165

SEI Institutional Managed Trust / Annual Report / September 30, 2011 159

Statements of Changes in Net Assets ($ Thousands)

For the years or periods ended September 30,

	Global Managed Volatility Fund						Tax-Managed Managed Volatility Fund						Real Estate Fund
	2011			2010			2011			2010			2011			2010
Operations:
Net Investment Income (Loss)	$	9,235		$	4,285		$	3,791		$	2,734		$	570		$	1,045
Net Realized Gain (Loss) from Investments, Affiliated Investments, Futures Contracts, Written Options and Swap Contracts		16,413			6,114			25,194			8,265			51,224			21,172
Net Realized Gain (Loss) on Foreign Currency Transactions		(10,369	)		(7,118	)		6			—			2			(3	)
Net Change in Unrealized Appreciation (Depreciation) of Investments, Affiliated Investments, Futures Contracts, Written Options, Written Swaptions and Swap Contracts		(10,165	)		11,196			(13,156	)		17,124			(42,990	)		29,623
Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency		6,375			(606	)		(18	)		—			(3	)		2
Net Increase (Decrease) in Net Assets from Operations		11,489			13,871			15,817			28,123			8,803			51,839
Dividends and Distributions From:
Net Investment Income:
Class A		—			(792	)		(3,483	)		(2,727	)		(2,950	)		(5,227	)
Class I		—			—			—			—			(8	)		(6	)
Net Capital Gains:
Class A		—			—			—			—			—			—
Class I		—			—			—			—			—			—
Return of Capital:
Class A		—			(72	)		—			—			—			(2,156	)
Class I		—			—			—			—			—			(2	)
Total Dividends and Distributions		—			(864	)		(3,483	)		(2,727	)		(2,958	)		(7,391	)
Capital Share Transactions(1):
Class A:
Proceeds from Shares Issued		383,451			206,148			123,851			106,386			62,150			132,143
Reinvestment of Dividends and Distributions		—			807			2,931			2,337			2,812			6,463
Cost of Shares Redeemed		(202,820	)		(103,209	)		(96,110	)		(69,982	)		(149,135	)		(183,367	)
Increase (Decrease) in Net Assets Derived from Class A Transactions		180,631			103,746			30,672			38,741			(84,173	)		(44,761	)
Class I:
Proceeds from Shares Issued		108			102			—			—			482			183
Reinvestment of Dividends and Distributions		—			—			—			—			8			8
Cost of Shares Redeemed		(151	)		(55	)		—			—			(351	)		(66	)
Increase (Decrease) in Net Assets Derived from Class I Transactions		(43	)		47			—			—			139			125
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		180,588			103,793			30,672			38,741			(84,034	)		(44,636	)
Net Increase (Decrease) in Net Assets		192,077			116,800			43,006			64,137			(78,189	)		(188	)
Net Assets:
Beginning of Year/Period		330,590			213,790			236,402			172,265			221,172			221,360
End of Year/Period	$	522,667		$	330,590		$	279,408		$	236,402		$	142,983		$	221,172
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year or Period End	$	(5,910	)	$	(6,384	)	$	1,046		$	658		$	1,133		$	(89	)

(1) See Note 6 in Notes to Financial Statements.

(2) Commenced operations on March 31, 2010.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

160 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Enhanced Income Fund						Core Fixed Income Fund						U.S. Fixed Income  Fund						High Yield Bond Fund						Real Return  Fund						Multi-Strategy Alternative  Fund(2)
2011			2010			2011			2010			2011			2010			2011			2010			2011			2010			2011			03/31/10 to 09/30/10
$	4,105		$	4,262		$	71,239		$	102,782		$	25,165		$	26,290		$	116,041		$	125,624		$	9,690		$	1,877		$	4,464		$	(315	)
	412			(27,682	)		(4,659	)		79,072			18,547			26,003			55,966			59,192			1,460			2,003			(2,697	)		(2,040	)
	—			—			(2,243	)		760			(587	)		—			1,668			—			—			—			—			—
	(3,658)			36,331			48,409			144,048			5,353			22,586			(122,201	)		83,585			1,771			3,629			(10,037	)		1,507
	—			(4	)		1,685			(1,145	)		—			—			—			—			—			—			—			—
	859			12,907			114,431			325,517			48,478			74,879			51,474			268,401			12,921			7,509			(8,270	)		(848	)
	(3,390	)		(6,383	)		(73,839	)		(103,593	)		(26,670	)		(28,602	)		(113,644	)		(119,601	)		(8,787	)		(2,579	)		(3,346	)		—
	—			(1	)		(501	)		(594	)		—			—			(273	)		(29	)		—			—			—			—
	—			—			—			—			(27,315	)		(3,238	)		(8,342	)		(3,632	)		(2,621	)		(147	)		—			—
	—			—			—			—			—			—			(4	)		(1	)		—			—			—			—
	—			—			—			—			—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—			—			—			—			—
	(3,390	)		(6,384	)		(74,340	)		(104,187	)		(53,985	)		(31,840	)		(122,263	)		(123,263	)		(11,408	)		(2,726	)		(3,346	)		—
	135,626			102,789			572,326			743,435			554,048			649,744			955,560			998,870			249,201			206,992			184,224			207,501
	3,119			5,926			68,024			96,256			50,869			30,458			102,267			103,955			10,424			2,541			3,086			—
	(114,501	)		(211,761	)		(830,368	)		(1,175,131	)		(504,670	)		(523,255	)		(1,174,249	)		(1,034,815	)		(128,503	)		(56,959	)		(74,743	)		(15,598	)
	24,244			(103,046	)		(190,018	)		(335,440	)		100,247			156,947			(116,422	)		68,010			131,122			152,574			112,567			191,903
	3			16			5,333			8,103			—			—			16,503			1,773			—			—			—			—
	—			1			363			411			—			—			225			29			—			—			—			—
	—			(47	)		(7,692	)		(6,049	)		—			—			(17,360	)		(198	)		—			—			—			—
	3			(30	)		(1,996	)		2,465			—			—			(632	)		1,604			—			—			—			—
	24,247			(103,076	)		(192,014	)		(332,975	)		100,247			156,947			(117,054	)		69,614			131,122			152,574			112,567			191,903
	21,716			(96,553	)		(151,923	)		(111,645	)		94,740			199,986			(187,843	)		214,752			132,635			157,357			100,951			191,055
	137,239			233,792			2,352,759			2,464,404			877,709			677,723			1,504,916			1,290,164			240,925			83,568			191,055			—
$	158,955		$	137,239		$	2,200,836		$	2,352,759		$	972,449		$	877,709		$	1,317,073		$	1,504,916		$	373,560		$	240,925		$	292,006		$	191,055
$	984		$	791		$	(4,791	)	$	(2,520	)	$	107		$	99		$	7,003		$	8,158		$	916		$	12		$	1,118		$	—

SEI Institutional Managed Trust / Annual Report / September 30, 2011 161

Financial Highlights

For the years or periods ended September 30, (unless otherwise indicated)

For a Share Outstanding Throughout the Periods

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(1)			Net Realized and Unrealized Gains (Losses)  on Securities(1)			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net  Assets (Excluding Fees Paid Indirectly)			Ratio of Expenses to Average Net  Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income (Loss) to Average Net  Assets			Portfolio Turnover Rate†
Large Cap Fund
Class A
2011	$	10.77	$	0.08		$	(0.22	)	$	(0.14	)	$	(0.08	)	$	(0.40	)	$	(0.48	)	$	10.15		(1.71	)%	$	1,521,942		0.89	%		0.89	%		1.02	%		0.70	%		100	%
2010(11)		10.00		0.10			0.80			0.90			(0.08	)		(0.05	)		(0.13	)		10.77		9.00			1,395,899		0.89			0.89			1.02			0.96			90
Large Cap Value Fund
Class A
2011	$	14.75	$	0.22		$	(0.61	)	$	(0.39	)	$	(0.23	)	$	—		$	(0.23	)	$	14.13		(2.89	)%	$	1,197,272		0.89	%		0.89	%		0.98	%		1.35	%		63	%
2010		13.83		0.21			0.94			1.15			(0.23	)		—			(0.23	)		14.75		8.43			1,504,082		0.89			0.89			0.98			1.48			64
2009		15.79		0.30			(1.92	)		(1.62	)		(0.34	)		—			(0.34	)		13.83		(9.88	)		1,843,530		0.89			0.90			0.99			2.51			69
2008		23.97		0.40			(6.10	)		(5.70	)		(0.41	)		(2.07	)		(2.48	)		15.79		(25.95	)		2,381,011		0.88			0.88			0.97			2.09			53
2007		23.54		0.41			2.69			3.10			(0.41	)		(2.26	)		(2.67	)		23.97		13.91			3,616,120		0.86			0.86			0.97			1.74			36
Class I
2011	$	14.76	$	0.18		$	(0.62	)	$	(0.44	)	$	(0.19	)	$	—		$	(0.19	)	$	14.13		(3.14	)%	$	7,073		1.11	%		1.11	%		1.23	%		1.13	%		63	%
2010		13.83		0.18			0.95			1.13			(0.20	)		—			(0.20	)		14.76		8.23			10,358		1.11			1.11			1.24			1.25			64
2009		15.78		0.26			(1.90	)		(1.64	)		(0.31	)		—			(0.31	)		13.83		(10.05	)		11,433		1.11			1.12			1.24			2.19			69
2008		23.95		0.36			(6.11	)		(5.75	)		(0.35	)		(2.07	)		(2.42	)		15.78		(26.13	)		10,861		1.11			1.11			1.22			1.85			53
2007		23.52		0.35			2.69			3.04			(0.35	)		(2.26	)		(2.61	)		23.95		13.64			29,072		1.11			1.11			1.22			1.49			36
Large Cap Growth Fund
Class A
2011	$	19.66	$	0.06		$	0.14		$	0.20		$	(0.09	)	$	—		$	(0.09	)	$	19.77		0.97	%	$	1,278,538		0.89	%		0.89	%		1.03	%		0.27	%		108	%
2010		17.62		0.12			2.04			2.16			(0.12	)		—			(0.12	)		19.66		12.29			1,602,130		0.89			0.89			1.03			0.63			83
2009		18.39		0.11			(0.77	)		(0.66	)		(0.11	)		—			(0.11	)		17.62		(3.47	)		2,034,096		0.89			0.90			1.04			0.74			96
2008		23.74		0.08			(5.35	)		(5.27	)		(0.08	)		—			(0.08	)		18.39		(22.26	)		2,472,052		0.88			0.88			1.02			0.37			78
2007		19.95		0.06			3.78			3.84			(0.05	)		—			(0.05	)		23.74		19.26			3,622,963		0.86			0.86			1.02			0.26			55
Class I
2011	$	19.47	$	0.01		$	0.14		$	0.15		$	(0.05	)	$	—		$	(0.05	)	$	19.57		0.73	%	$	6,695		1.11	%		1.11	%		1.28	%		0.05	%		108	%
2010		17.44		0.08			2.02			2.10			(0.07	)		—			(0.07	)		19.47		12.06			7,953		1.11			1.11			1.28			0.41			83
2009		18.20		0.07			(0.76	)		(0.69	)		(0.07	)		—			(0.07	)		17.44		(3.69	)		9,153		1.11			1.12			1.29			0.51			96
2008		23.48		0.03			(5.29	)		(5.26	)		(0.02	)		—			(0.02	)		18.20		(22.43	)		7,695		1.11			1.11			1.27			0.13			78
2007		19.75		—	*		3.73			3.73			—	*		—			—			23.48		18.91			25,196		1.11			1.11			1.27			0.01			55
Tax-Managed Large Cap Fund
Class A
2011	$	11.02	$	0.10		$	(0.22	)	$	(0.12	)	$	(0.10	)	$	—		$	(0.10	)	$	10.80		(1.20	)%	$	1,495,783		0.89	%		0.89	%		1.03	%		0.78	%		72	%
2010		10.19		0.10			0.84			0.94			(0.11	)		—			(0.11	)		11.02		9.26			1,534,797		0.89			0.89			1.04			0.95			58
2009		11.08		0.13			(0.87	)		(0.74	)		(0.15	)		—			(0.15	)		10.19		(6.44	)		1,596,020		0.89			0.90			1.04			1.54			67
2008		14.70		0.15			(3.62	)		(3.47	)		(0.15	)		—			(0.15	)		11.08		(23.76	)		2,148,949		0.88			0.88			1.02			1.13			61
2007		12.68		0.14			2.01			2.15			(0.13	)		—			(0.13	)		14.70		17.05			2,892,866		0.86			0.86			1.02			1.02			44
Class Y
2011	$	11.24	$	0.14		$	(0.21	)	$	(0.07	)	$	(0.10	)	$	—		$	(0.10	)	$	11.07		(0.68	)%	$	913		0.56	%		0.56	%		0.73	%		1.14	%		72	%
2010		10.37		0.01			0.97			0.98			(0.11	)		—			(0.11	)		11.24		9.54			2,980		0.56			0.56			0.74			1.28			58
2009		11.24		0.16			(0.88	)		(0.72	)		(0.15	)		—			(0.15	)		10.37		(6.12	)		3,094		0.56			0.57			0.74			1.85			67
2008		14.87		0.19			(3.66	)		(3.47	)		(0.16	)		—			(0.16	)		11.24		(23.52	)		3,220		0.56			0.56			0.72			1.44			61
2007		12.79		0.18			2.04			2.22			(0.14	)		—			(0.14	)		14.87		17.43			4,711		0.56			0.56			0.72			1.32			44

162 SEI Institutional Managed Trust / Annual Report / September 30, 2011

	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(1)			Net Realized and Unrealized Gains (Losses)  on Securities(1)			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends, Distributions and Return of Capital			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income (Loss) to Average Net  Assets			Portfolio Turnover Rate†
S&P 500 Index Fund
Class A
2011	$	31.30	$	0.55		$	(0.26	)(14)	$	0.29		$	(0.56	)	$	—		$	(0.56	)	$	31.03		0.75	%	$	255,345		0.43	%		0.43	%		0.53	%		1.61	%		61	%
2010		29.01		0.56			2.29			2.85			(0.56	)		—			(0.56	)		31.30		9.93			325,796		0.43			0.43			0.54			1.85			20
2009		32.43		0.57			(3.12	)		(2.55	)		(0.61	)		(0.26	)		(0.87	)		29.01		(7.33	)		451,069		0.43			0.43			0.55			2.31			29
2008		44.71		0.68			(10.10	)		(9.42	)		(0.70	)		(2.16	)		(2.86	)		32.43		(22.30	)		462,947		0.41			0.41			0.53			1.77			27
2007(4)		41.45		0.34			3.09			3.43			(0.17	)		—			(0.17	)		44.71		8.28			650,792		0.40			0.40			0.43			1.55			2
2007(5)		38.38		0.63			3.70			4.33			(0.68	)		(0.58	)		(1.26	)		41.45		11.38			621,898		0.40			0.40			0.43			1.59			6
Class E
2011	$	31.42	$	0.61		$	(0.25	)(14)	$	0.36		$	(0.61	)	$	—		$	(0.61	)	$	31.17		0.96	%	$	1,195,729		0.25	%		0.25	%		0.29	%		1.76	%		61	%
2010		29.12		0.61			2.29			2.90			(0.60	)		—			(0.60	)		31.42		10.10			1,046,410		0.25			0.25			0.29			2.02			20
2009		32.54		0.61			(3.12	)		(2.51	)		(0.65	)		(0.26	)		(0.91	)		29.12		(7.16	)		855,876		0.25			0.25			0.30			2.44			29
2008		44.85		0.75			(10.14	)		(9.39	)		(0.76	)		(2.16	)		(2.92	)		32.54		(22.19	)		805,606		0.25			0.25			0.53			1.95			27
2007(4)		41.57		0.30			3.17			3.47			(0.19	)		—			(0.19	)		44.85		8.34			1,072,141		0.25			0.25			0.53			1.70			2
2007(5)		38.48		0.69			3.72			4.41			(0.74	)		(0.58	)		(1.32	)		41.57		11.57			1,127,189		0.25			0.25			0.53			1.74			6
Class I
2011	$	31.37	$	0.47		$	(0.25	)(14)	$	0.22		$	(0.47	)	$	—		$	(0.47	)	$	31.12		0.56	%	$	7,198		0.65	%		0.65	%		0.79	%		1.35	%		61	%
2010		29.07		0.49			2.29			2.78			(0.48	)		—			(0.48	)		31.37		9.66			8,341		0.65			0.65			0.79			1.63			20
2009		32.47		0.51			(3.12	)		(2.61	)		(0.53	)		(0.26	)		(0.79	)		29.07		(7.53	)		8,566		0.65			0.65			0.80			2.07			29
2008		44.74		0.60			(10.12	)		(9.52	)		(0.59	)		(2.16	)		(2.75	)		32.47		(22.49	)		5,498		0.65			0.65			0.78			1.53			27
2007(4)		41.51		0.28			3.09			3.37			(0.14	)		—			(0.14	)		44.74		8.12			13,233		0.65			0.65			0.78			1.29			2
2007(5)		38.43		0.53			3.71			4.24			(0.58	)		(0.58	)		(1.16	)		41.51		11.12			14,346		0.65			0.65			0.78			1.34			6
Small Cap Fund
Class A
2011	$	11.14	$	(0.01	)	$	(0.55	)	$	(0.56	)	$	(0.01	)	$	(1.06	)	$	(1.07	)	$	9.51		(6.54	)%	$	203,909		1.14	%		1.14	%		1.28	%		(0.09	)%		123	%
2010(11)		10.00		0.01			1.15			1.16			(0.01	)		(0.01	)		(0.02	)		11.14		11.64			223,978		1.14			1.14			1.29			0.10			115
Small Cap Value Fund
Class A
2011	$	15.45	$	0.07		$	(1.16	)	$	(1.09	)	$	(0.10	)	$	—		$	(0.10	)	$	14.26		(7.15	)%	$	377,222		1.14	%		1.14	%		1.28	%		0.41	%		70	%
2010		13.66		0.07			1.82			1.89			(0.10	)		—			(0.10	)		15.45		13.93			535,938		1.14			1.15			1.29			0.46			69
2009		15.38		0.11			(1.62	)		(1.51	)		(0.13	)		(0.08	)		(0.21	)		13.66		(9.31	)		638,341		1.14			1.16			1.29			1.03			110
2008		21.26		0.09			(3.22	)		(3.13	)		(0.07	)		(2.68	)		(2.75	)		15.38		(16.02	)		846,492		1.13			1.15			1.28			0.55			91
2007		21.28		0.04			2.23			2.27			(0.14	)		(2.15	)		(2.29	)		21.26		10.70			1,122,027		1.11			1.13			1.27			0.19			86
Class I
2011	$	15.34	$	0.03		$	(1.15	)	$	(1.12	)	$	(0.07	)	$	—		$	(0.07	)	$	14.15		(7.40	)%	$	3,908		1.36	%		1.36	%		1.53	%		0.20	%		70	%
2010		13.56		0.04			1.81			1.85			(0.07	)		—			(0.07	)		15.34		13.73			6,933		1.36			1.37			1.54			0.25			69
2009		15.29		0.08			(1.62	)		(1.54	)		(0.11	)		(0.08	)		(0.19	)		13.56		(9.59	)		7,389		1.36			1.38			1.54			0.77			110
2008		21.17		0.05			(3.21	)		(3.16	)		(0.04	)		(2.68	)		(2.72	)		15.29		(16.21	)		8,395		1.36			1.39			1.53			0.31			91
2007		21.21		(0.01	)		2.21			2.20			(0.09	)		(2.15	)		(2.24	)		21.17		10.41			14,089		1.36			1.38			1.52			(0.04	)		86
Small Cap Growth Fund
Class A
2011	$	14.69	$	(0.07	)	$	(0.42	)	$	(0.49	)	$	—		$	—		$	—		$	14.20		(3.34	)%	$	272,275		1.11	%		1.12	%		1.28	%		(0.43	)%		125	%
2010		12.96		(0.03	)		1.76			1.73			—	(2)		—			—			14.69		13.36			380,910		1.11			1.11			1.29			(0.21	)		99
2009		13.98		0.02			(1.04	)		(1.02	)		—	*		—			—			12.96		(7.27	)		478,405		1.11			1.12			1.29			0.17			163
2008		21.91		0.01			(6.22	)		(6.21	)		(0.01	)		(1.71	)		(1.72	)		13.98		(30.36	)		638,257		1.11			1.12			1.28			0.04			124
2007		18.56		(0.09	)		3.44			3.35			—			—			—			21.91		18.05			1,154,000		1.11			1.13			1.27			(0.43	)		135
Class I
2011	$	14.34	$	(0.12	)	$	(0.40	)	$	(0.52	)	$	—		$	—		$	—		$	13.82		(3.63	)%	$	2,826		1.36	%		1.37	%		1.53	%		(0.69	)%		125	%
2010		12.68		(0.06	)		1.72			1.66			—			—			—			14.34		13.09			3,703		1.36			1.36			1.54			(0.45	)		99
2009		13.71		(0.02	)		(1.01	)		(1.03	)		—			—			—			12.68		(7.51	)		3,975		1.36			1.37			1.55			(0.17	)		163
2008		21.57		(0.03	)		(6.12	)		(6.15	)		—			(1.71	)		(1.71	)		13.71		(30.57	)		3,368		1.36			1.37			1.53			(0.19	)		124
2007		18.32		(0.14	)		3.39			3.25			—			—			—			21.57		17.74			9,323		1.36			1.38			1.52			(0.67	)		135

SEI Institutional Managed Trust / Annual Report / September 30, 2011 163

Financial Highlights

For the years or periods ended September 30, (unless otherwise indicated)

For a Share Outstanding Throughout the Periods

	Net Asset Value, Beginning of Period		Net Investment Income(1)		Net Realized and Unrealized Gains (Losses)  on Securities(1)			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends, Distributions and Return of Capital			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income to Average Net Assets			Portfolio Turnover Rate†
Tax-Managed Small/Mid Cap Fund‡
Class A
2011	$	10.81	$	0.02	$	(0.41	)	$	(0.39	)	$	(0.03	)	$	—		$	(0.03	)	$	10.39		(3.66	)%	$	255,297		1.11	%		1.12	%		1.29	%		0.17	%		105	%
2010		9.42		0.03		1.39			1.42			(0.03	)		—			(0.03	)		10.81		15.05			300,343		1.11			1.13			1.29			0.30			75
2009		10.16		0.04		(0.73	)		(0.69	)		(0.05	)		—			(0.05	)		9.42		(6.62	)		262,464		1.11			1.15			1.30			0.50			136
2008		14.14		0.05		(3.19	)		(3.14	)		(0.04	)		(0.80	)		(0.84	)		10.16		(23.34	)		318,520		1.11			1.13			1.28			0.41			96
2007		13.10		0.04		2.00			2.04			(0.06	)		(0.94	)		(1.00	)		14.14		16.00			416,945		1.11			1.14			1.27			0.31			72
Mid-Cap Fund
Class A
2011	$	15.80	$	0.06	$	(0.79	)	$	(0.73	)	$	(0.08	)	$	—		$	(0.08	)	$	14.99		(4.67	)%	$	74,200		1.02	%		1.04	%		1.06	%		0.36	%		151	%
2010		13.92		0.08		1.88			1.96			(0.08	)		—			(0.08	)		15.80		14.13			124,569		1.02			1.04			1.04			0.51			185
2009		14.87		0.11		(0.94	)		(0.83	)		(0.12	)		—			(0.12	)		13.92		(5.34	)		119,872		1.02			1.02			1.04			0.95			143
2008		22.22		0.11		(5.28	)		(5.17	)		(0.09	)		(2.09	)		(2.18	)		14.87		(25.45	)		126,509		1.02			1.02			1.03			0.58			126
2007		20.40		0.06		3.40			3.46			(0.10	)		(1.54	)		(1.64	)		22.22		17.51			183,287		1.01			1.01			1.02			0.26			176
Class I
2011	$	15.81	$	0.03	$	(0.81	)	$	(0.78	)	$	(0.04	)	$	—		$	(0.04	)	$	14.99		(4.95	)%	$	940		1.26	%		1.28	%		1.31	%		0.18	%		151	%
2010		13.92		0.04		1.89			1.93			(0.04	)		—			(0.04	)		15.81		13.91			623		1.26			1.28			1.29			0.30			185
2009		14.86		0.05		(0.89	)		(0.84	)		(0.10	)		—			(0.10	)		13.92		(5.47	)		274		1.26			1.26			1.30			0.48			143
2008(6)		22.56		0.06		(5.63	)		(5.57	)		(0.04	)		(2.09	)		(2.13	)		14.86		(26.82	)		52		1.26			1.26			1.27			0.33			126
U.S. Managed Volatility Fund
Class A
2011	$	10.81	$	0.16	$	0.67		$	0.83		$	(0.15	)	$	—		$	(0.15	)	$	11.49		7.63	%	$	452,489		1.00	%		1.00	%		1.28	%		1.33	%		71	%
2010		9.65		0.14		1.16			1.30			(0.14	)		—			(0.14	)		10.81		13.61			415,669		1.00			1.00			1.29			1.37			53
2009		11.25		0.13		(1.59	)		(1.46	)		(0.14	)		—			(0.14	)		9.65		(12.88	)		380,987		1.00			1.00			1.29			1.56			126
2008		13.45		0.10		(1.69	)		(1.59	)		(0.10	)		(0.51	)		(0.61	)		11.25		(12.38	)		458,668		1.00			1.00			1.27			0.85			85
2007		12.02		0.15		1.74			1.89			(0.14	)		(0.32	)		(0.46	)		13.45		16.09			585,858		1.04			1.04			1.27			1.19			112
Class I
2011	$	10.79	$	0.14	$	0.66		$	0.80		$	(0.12	)	$	—		$	(0.12	)	$	11.47		7.39	%	$	52		1.25	%		1.25	%		1.53	%		1.14	%		71	%
2010		9.63		0.11		1.17			1.28			(0.12	)		—			(0.12	)		10.79		13.38			37		1.25			1.25			1.54			1.08			53
2009		11.24		0.12		(1.61	)		(1.49	)		(0.12	)		—			(0.12	)		9.63		(13.17	)		17		1.25			1.25			1.55			1.38			126
2008		13.43		0.09		(1.71	)		(1.62	)		(0.06	)		(0.51	)		(0.57	)		11.24		(12.58	)		6		1.25			1.25			1.57			0.71			85
2007(9)		13.54		0.01		(0.05	)		(0.04	)		(0.07	)		—			(0.07	)		13.43		(0.32	)		1		1.36			1.36			1.86			0.19			112
Global Managed Volatility Fund
Class A
2011	$	8.21	$	0.18	$	0.14		$	0.32		$	—		$	—		$	—		$	8.53		3.90	%	$	522,646		1.11	%		1.11	%		1.29	%		2.11	%		68	%
2010		7.82		0.13		0.29			0.42			(0.03	)(2)		—			(0.03	)		8.21		5.37			330,526		1.11			1.11			1.31			1.62			91
2009		9.07		0.12		(1.37	)		(1.25	)		—			—			—			7.82		(13.78	)		213,773		1.13	(3)		1.13	(3)		1.35			1.59			155
2008		11.22		0.12		(1.92	)		(1.80	)		(0.18	)		(0.17	)		(0.35	)		9.07		(16.60	)		204,156		1.11			1.11			1.31			1.24			113
2007		10.37		0.17		0.85			1.02			(0.11	)		(0.06	)		(0.17	)		11.22		9.88			275,748		1.11			1.11			1.32			1.56			119
Class I
2011	$	8.15	$	0.15	$	0.14		$	0.29		$	—		$	—		$	—		$	8.44		3.56	%	$	21		1.36	%		1.36	%		1.54	%		1.78	%		68	%
2010		7.76		0.16		0.25			0.41			(0.02	)(2)		—			(0.02	)		8.15		5.32			64		1.36			1.36			1.57			2.00			91
2009		9.02		0.11		(1.37	)		(1.26	)		—			—			—			7.76		(13.97	)		17		1.38	(3)		1.38	(3)		1.62			1.56			155
2008		11.20		0.14		(1.97	)		(1.83	)		(0.18	)		(0.17	)		(0.35	)		9.02		(16.86	)		10		1.36			1.36			1.56			1.49			113
2007(9)		11.45		0.01		(0.26	)		(0.25	)		—			—			—			11.20		(2.18	)		1		1.36			1.36			2.26			0.23			119
Tax-Managed Managed Volatility Fund
Class A
2011	$	9.24	$	0.14	$	0.52		$	0.66		$	(0.13	)	$	—		$	(0.13	)	$	9.77		7.13	%	$	279,408		1.00	%		1.00	%		1.28	%		1.41	%		63	%
2010		8.14		0.12		1.10			1.22			(0.12	)		—			(0.12	)		9.24		15.17			236,402		1.00			1.00			1.29			1.39			28
2009		9.02		0.12		(0.88	)		(0.76	)		(0.12	)		—			(0.12	)		8.14		(8.28	)		172,265		1.00			1.00			1.29			1.69			94
2008(10)		10.00		0.10		(1.02	)		(0.92	)		(0.06	)		—			(0.06	)		9.02		(9.24	)		96,523		1.00			1.00			1.29			1.43			65

164 SEI Institutional Managed Trust / Annual Report / September 30, 2011

	Net Asset Value, Beginning of Period		Net Investment Income(1)			Net Realized and Unrealized Gains (Losses)  on Securities(1)			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends, Distributions and Return of Capital			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income to Average Net Assets			Portfolio Turnover Rate†
Real Estate Fund
Class A
2011	$	11.58	$	0.04		$	0.25		$	0.29		$	(0.20	)	$	—		$	(0.20	)	$	11.67		2.41	%	$	142,538		1.14	%		1.14	%		1.28	%		0.33	%		83	%
2010		9.42		0.05			2.46			2.51			(0.35	)(12)		—			(0.35	)		11.58		27.37			220,866		1.14			1.15			1.29			0.50			69
2009		13.73		0.16			(4.18	)		(4.02	)		(0.29	)(2)		—			(0.29	)		9.42		(28.69	)		221,228		1.14			1.15			1.29			2.08			97
2008		18.20		0.13			(3.11	)		(2.98	)		(0.38	)		(1.11	)		(1.49	)		13.73		(17.15	)		251,359		1.13			1.13			1.27			0.86			52
2007		18.43		0.30			0.76			1.06			(0.36	)		(0.93	)		(1.29	)		18.20		5.49			244,991		1.11			1.12			1.27			1.55			84
Class I
2011	$	11.57	$	(0.01	)	$	0.28		$	0.27		$	(0.20	)	$	—		$	(0.20	)	$	11.64		2.19	%	$	445		1.36	%		1.36	%		1.53	%		(0.07	)%		83	%
2010		9.41		—	*		2.49			2.49			(0.33	)(12)		—			(0.33	)		11.57		27.12			306		1.36			1.37			1.54			0.00			69
2009		13.72		0.09			(4.12	)		(4.03	)		(0.28	)(2)		—			(0.28	)		9.41		(28.83	)		132		1.36			1.37			1.55			1.26			97
2008(6)		18.55		0.13			(3.49	)		(3.36	)		(0.36	)		(1.11	)		(1.47	)		13.72		(18.89	)		25		1.36			1.36			1.52			0.86			52
Enhanced Income Fund
Class A
2011	$	7.46	$	0.20		$	(0.14	)	$	0.06		$	(0.16	)	$	—		$	(0.16	)	$	7.36		0.83	%	$	158,936		0.60	%		0.60	%		1.05	%		2.61	%		174	%
2010		7.21		0.18			0.30			0.48			(0.23	)		—			(0.23	)		7.46		6.78			137,223		0.60			0.60			1.06			2.45			77
2009		8.21		0.29			(1.09	)		(0.80	)		(0.20	)		—			(0.20	)		7.21		(9.56	)		233,747		0.60			0.60			1.06			4.30			132
2008		9.92		0.49			(1.68	)		(1.19	)		(0.52	)		—			(0.52	)		8.21		(12.42	)		314,795		0.60			0.60			1.04			5.40			42
2007		10.11		0.57			(0.27	)		0.30			(0.49	)		—			(0.49	)		9.92		2.96			620,931		0.60			0.60			1.03			5.67			43
Class I
2011	$	7.45	$	0.18		$	(0.12	)	$	0.06		$	(0.15	)	$	—		$	(0.15	)	$	7.36		0.72	%	$	19		0.85	%		0.85	%		1.30	%		2.36	%		174	%
2010		7.20		0.16			0.29			0.45			(0.20	)		—			(0.20	)		7.45		6.35			16		0.85			0.85			1.33			2.21			77
2009		8.20		0.25			(1.06	)		(0.81	)		(0.19	)		—			(0.19	)		7.20		(9.79	)		45		0.85			0.85			1.31			3.73			132
2008		9.91		0.43			(1.63	)		(1.20	)		(0.51	)		—			(0.51	)		8.20		(12.61	)		16		0.85			0.85			1.29			4.82			42
2007(9)		10.25		0.15			(0.35	)		(0.20	)		(0.14	)		—			(0.14	)		9.91		(2.01	)		11		1.09			1.09			1.56			5.78			43
Core Fixed Income Fund
Class A
2011	$	10.93	$	0.36		$	0.22		$	0.58		$	(0.37	)	$	—		$	(0.37	)	$	11.14		5.43	%	$	2,185,135		0.71	%(13)		0.71	%(13)		0.89	%(13)		3.25	%		473	%
2010		9.98		0.44			0.95			1.39			(0.44	)		—			(0.44	)		10.93		14.25			2,335,314		0.67			0.67			0.85			4.20			283
2009		9.37		0.50			0.62			1.12			(0.51	)		—			(0.51	)		9.98		12.55			2,450,746		0.67			0.67			0.86			5.42			329
2008		10.19		0.51			(0.82	)		(0.31	)		(0.51	)		—			(0.51	)		9.37		(3.25	)		3,686,633		0.66			0.66			0.84			5.12			335
2007		10.29		0.50			(0.10	)		0.40			(0.50	)		—			(0.50	)		10.19		4.00			4,600,629		0.64			0.64			0.84			4.89			413
Class I
2011	$	10.92	$	0.33		$	0.23		$	0.56		$	(0.35	)	$	—		$	(0.35	)	$	11.13		5.20	%	$	15,701		0.93	%(13)		0.93	%(13)		1.14	%(13)		3.03	%		473	%
2010		9.97		0.41			0.96			1.37			(0.42	)		—			(0.42	)		10.92		14.01			17,445		0.89			0.89			1.10			3.96			283
2009		9.36		0.48			0.62			1.10			(0.49	)		—			(0.49	)		9.97		12.32			13,658		0.89			0.89			1.11			5.21			329
2008		10.19		0.49			(0.84	)		(0.35	)		(0.48	)		—			(0.48	)		9.36		(3.58	)		8,090		0.90			0.90			1.09			4.87			335
2007		10.29		0.41			(0.03	)		0.38			(0.48	)		—			(0.48	)		10.19		3.74			12,890		0.89			0.89			1.09			3.96			413
U.S. Fixed Income Fund
Class A
2011	$	10.81	$	0.30		$	0.26		$	0.56		$	(0.32	)	$	(0.35	)	$	(0.67	)	$	10.70		5.43	%	$	972,449		0.66	%		0.66	%		0.87	%		2.85	%		337	%
2010		10.28		0.33			0.60			0.93			(0.36	)		(0.04	)		(0.40	)		10.81		9.22			877,709		0.66			0.66			0.86			3.12			299
2009(8)		10.00		0.08			0.27			0.35			(0.07	)		—			(0.07	)		10.28		3.55			677,723		0.66			0.66			0.87			3.23			51
High Yield Bond Fund
Class A
2011	$	7.27	$	0.55		$	(0.32	)	$	0.23		$	(0.54	)	$	(0.04	)	$	(0.58	)	$	6.92		2.96	%	$	1,316,158		0.89	%		0.89	%		1.13	%		7.38	%		82	%
2010		6.52		0.64			0.74			1.38			(0.61	)		(0.02	)		(0.63	)		7.27		21.98			1,503,070		0.89			0.89			1.13			9.22			113
2009		6.57		0.60			(0.02	)		0.58			(0.56	)		(0.07	)		(0.63	)		6.52		11.88			1,289,964		0.89			0.89			1.15			11.03			98
2008		8.26		0.66			(1.60	)		(0.94	)		(0.66	)		(0.09	)		(0.75	)		6.57		(12.09	)		1,076,379		0.88			0.88			1.13			8.73			69
2007		8.38		0.67			(0.11	)		0.56			(0.68	)		—			(0.68	)		8.26		6.72			1,247,613		0.86			0.86			1.12			7.89			91
Class I
2011	$	7.28	$	0.53		$	(0.42	)	$	0.11		$	(0.53	)	$	(0.04	)	$	(0.57	)	$	6.82		1.19	%	$	915		1.11	%		1.11	%		1.37	%		7.06	%		82	%
2010		6.53		0.63			0.74			1.37			(0.60	)		(0.02	)		(0.62	)		7.28		21.76			1,846		1.11			1.11			1.40			8.96			113
2009		6.58		0.58			(0.01	)		0.57			(0.55	)		(0.07	)		(0.62	)		6.53		11.65			200		1.11			1.11			1.40			10.45			98
2008(6)		8.26		0.66			(1.61	)		(0.95	)		(0.64	)		(0.09	)		(0.73	)		6.58		(12.20	)		47		1.11			1.11			1.38			8.96			69

SEI Institutional Managed Trust / Annual Report / September 30, 2011 165

Financial Highlights

For the years or periods ended September 30, (unless otherwise indicated)

For a Share Outstanding Throughout the Periods

	Net Asset Value, Beginning of Period		Net Investment Income(1)			Net Realized and Unrealized Gains (Losses)  on Securities(1)			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends, Distributions and Return of Capital			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income to Average Net Assets			Portfolio Turnover Rate†
Real Return Fund
Class A
2011	$	10.51	$	0.33		$	0.13		$	0.46		$	(0.27	)	$	(0.10	)	$	(0.37	)	$	10.60		4.51	%	$	373,560		0.45	%		0.45	%		0.85	%		3.06	%		77	%
2010		10.19		0.12			0.40			0.52			(0.19	)		(0.01	)		(0.20	)		10.51		5.20			240,925		0.45			0.45			0.86			1.18			94
2009(8)		10.00		0.10			0.09			0.19			—			—			—			10.19		1.90			83,568		0.45			0.45			0.88			4.11			23
Multi-Strategy Alternative Fund
Class A
2011	$	9.93	$	0.20		$	(0.41	)	$	(0.21	)	$	(0.15	)	$	—		$	(0.15	)	$	9.57		(2.16	)%	$	292,006		0.50	%		0.50	%		2.13	%		1.76	%		25	%
2010(7)		10.00		(0.02	)		(0.05	)		(0.07	)		—			—			—			9.93		(0.70	)		191,055		0.50			0.50			2.19			(0.42	)		49

‡ See Note 1 in Notes to Financial Statements.

† Returns and turnover rates are for the period indicated and have not been annualized.

* Amount represents less than $0.01.

(1) Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares.

(2) Includes return of capital of less than $0.01.

(3) The expense ratios include overdraft fees. Had these fees been excluded the ratios would have been 1.11% and 1.36% for Class A and Class I, respectively.

(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) Commenced operations on October 1, 2007. All ratios for the period have been annualized.

(7) Commenced operations on March 31, 2010. All ratios for the period have been annualized.

(8) Commenced operations on July 2, 2009. All ratios for the period have been annualized.

(9) Commenced operations on June 29, 2007. All ratios for the period have been annualized.

(10) Commenced operations on December 20, 2007. All ratios for the period have been annualized.

(11) Commenced operations on October 1, 2009. All ratios for the period have been annualized.

(12) Includes return of capital of $0.10.

(13) The expense ratio includes interest expense. Had this expense been excluded the ratios would have been 0.67%, 0.67% and 0.85 for Class A and 0.89%, 0.89% and 1.10% for Class I, respectively.

(14) The amount shown for the year ended September 30, 2011, for a share outstanding throughout the period does not accord with the aggregate net gains on investments for that period because of the sales and repurchase of Fund shares in relation to fluctuting market value of the investments of the Fund.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

166 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Notes to Financial Statements

September 30, 2011

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 21 funds: Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small/Mid Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond, Real Return, Prime Obligation and Multi-Strategy Alternative Funds (each a “Fund,” collectively the “Funds”) each of which are diversified Funds, with the exception of the Real Estate and Multi-Strategy Alternative Funds. The Trust is registered to offer: Class A shares of the Funds; Class E shares of the S&P 500 Fund; Class G shares of the Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed, Large Cap, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small/Mid Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond and Real Return Funds; Class I shares of the Large Cap, Large Cap Value, Large Cap Growth, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond and Real Return 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 and strategies.

Effective September 6, 2011, the Tax-Managed Small Cap Fund changed its name to the Tax-Managed Small/Mid Cap Fund.

As of September 30, 2011, the Prime Obligation Fund and the Class G shares 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 (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of 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 Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’s 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 a 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 a 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 a Fund calculates net asset value, it may request that a Committee meeting be called. In addition, the Trust’s 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 a Fund calculates net asset value. If price movements in a monitored index or

SEI Institutional Managed Trust / Annual Report / September 30, 2011 167

Notes to Financial Statements (Continued)

September 30, 2011

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 Committee meeting should be called based on the information provided.

The Global Managed Volatility Fund also uses a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by the Fund based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, the Global Managed Volatility Fund will value the non-U.S. securities in its portfolio that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.

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 bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price.

The Assets of the Multi-Strategy Alternative Fund consist primarily of investments in underlying registered investment companies, which are valued at their respective daily net assets in accordance with pricing procedures approved by their respective Boards.

In accordance with GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 1 — quoted prices in active markets for identical investments

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Investments are classified within the level of the lowest significant input considered in determing fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the NYSE. These are generally categorized as Level 2 in the hierarchy.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.

168 SEI Institutional Managed Trust / Annual Report / September 30, 2011

The valuation techniques used by the Funds to measure fair value during the year ended September 30, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs.

For the year ended September 30, 2011, there have been no significant changes to the Trust’s fair valuation methodologies.

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, which is not materially different from the effective interest method. 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 may 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 — To the extent consistent with its Investment Objective and Strategies, a Fund 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, a 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.

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.

Expenses — Expenses that are directly related to a Fund 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.

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 — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. A Fund may also engage in currency transactions to enhance that 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 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 Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open forward foreign currency contracts as of September 30, 2011, if applicable.

Futures Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. In addition, fixed income funds will utilize futures contracts to help manage duration and yield curve exposure. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds

SEI Institutional Managed Trust / Annual Report / September 30, 2011 169

Notes to Financial Statements (Continued)

September 30, 2011

record 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 Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open futures contracts as of September 30, 2011, if applicable.

Options/Swaptions Writing/Purchasing — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing fund securities. To the extent consistent with its Investment Objective and Strategies, a Fund may also invest in financial option/swaption contracts to enhance the Fund’s returns. When a 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 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 Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open option/swaption contracts as of September 30, 2011, if applicable.

Securities Sold Short — To the extent consistent with its Investment Objective and Strategies, a Fund 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 make delivery to the buyer. A 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 a Fund. Until the security is replaced, a 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, a 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 a 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, a 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 — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. 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 a 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

170 SEI Institutional Managed Trust / Annual Report / September 30, 2011

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 a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A 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 a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by a 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 a 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.

This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details. Refer to each Fund’s Schedule of Investments or Summary Schedule of Investments for details regarding open swap agreements as of September 30, 2011, if applicable.

Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a 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 — A Fund 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.

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 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 a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 171

Notes to Financial Statements (Continued)

September 30, 2011

Restricted Securities — At September 30, 2011, 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, 2011, were as follows:

	Number of Shares/ Face Amount ($ Thousands)		Acquisition Date		Right to Acquire Date		Cost ($ Thousands)		Market Value ($ Thousands)		% of Net Assets
Small Cap Fund
Titanium Asset Management PIPE		2,000		10/06/09		10/06/09	$	8	$	2		0.00	%
Small Cap Value Fund
Verde Realty PIPE		21,100		02/16/07		02/16/07	$	696	$	356		0.09	%
Small Cap Growth Fund
Rentech Warrant		19,400		04/20/07		04/20/07	$	—	$	—		0.00	%
Titanium Asset Management PIPE		140,900		06/14/07		06/14/07		845		107		0.04
Value Creation		145,600		08/10/06		08/10/06		1,491		145		0.05
							$	2,336	$	252		0.09	%
Real Estate Fund
Verde Realty PIPE		21,400		02/16/07		02/16/07	$	706	$	361		0.25	%
Enhanced Income Fund
JHT Holding, 2nd Lien	$	43		12/16/08		12/16/08	$	52	$	14		0.01	%
High Yield Bond Fund
Aventine (Escrow Security)	$	2,750		04/21/10		04/21/10	$	—	$	65		0.00	%
CUI Acquisition Warrants		47		09/06/11		09/06/11		4,033		2,948		0.22
Momentive Performance Materials PIK		1,794		12/07/10		12/07/10		1,605		1,569		0.12
VSS AHC, Cl A		27,106		10/08/09		10/08/09		485		323		0.03
							$	6,123	$	4,905		0.37	%

Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small/Mid Cap, Mid-Cap, U.S. Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Real Return and Multi-Strategy Alternative Funds; are declared and paid annually for the Global Managed Volatility Fund; and declared daily and paid monthly for the Core Fixed Income, U.S. 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.

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.

Redemption Fees — The Funds retain a redemption fee based on a dollar threshold for redemptions, or a series of redemptions from a single identifiable source that in the aggregate exceed a specified dollar threshold within any thirty day period, as presented below:

	Dollar Threshold ($Thousands)		Redemption Fee
Large Cap Fund	$	50,000		0.50	%
Large Cap Value Fund		50,000		0.50
Large Cap Growth Fund		50,000		0.50
Tax-Managed Large Cap Fund		50,000		0.50
S&P 500 Index Fund		50,000		0.15
Small Cap Fund		25,000		1.00
Small Cap Value Fund		25,000		1.00
Small Cap Growth Fund		25,000		1.00
Tax-Managed Small/Mid Cap Fund		25,000		1.00
Mid-Cap Fund		10,000		0.75
U.S. Managed Volatility Fund		25,000		0.50
Global Managed Volatility Fund		25,000		0.75
Tax-Managed Managed Volatility Fund		25,000		0.50
Real Estate Fund		10,000		1.00
Enhanced Income Fund		10,000		0.75
Core Fixed Income Fund		50,000		0.60
U.S. Fixed Income Fund		50,000		0.60
High Yield Bond Fund		25,000		1.00
Real Return Fund		10,000		0.25
Multi-Strategy Alternative Fund		25,000		0.25

For the year ended September 30, 2011, the Funds did not retain any redemption fees. Such fees, if any, are retained by the Funds for the benefit of the remaining shareholders.

172 SEI Institutional Managed Trust / Annual Report / September 30, 2011

3. CREDIT DERIVATIVES

A Fund may use credit default swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.

The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.

If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the

swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.

If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.

As of September 30, 2011, the Core Fixed Income Fund and U.S. Fixed Income Fund are the buyers (“receiving protection”) on a total notional amount of $8.2 million and $2.2 million, respectively, and are the sellers (“providing protection”) on a total notional amount of $9.4 million and $2.3 million, respectively. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event was to occur. Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:

CORE FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CDS						CDS ON AN INDEX
REFERENCE ASSET	CORP US$			SOVEREIGN US$			ABS US$			CORP US$		Total
Fair value of written credit derivatives	$	(232,738	)	$	(446,177	)	$	(265,621	)		—	$	(944,536	)
Maximum potential amount of future payments	$	(1,590,000	)	$	(6,125,000	)	$	(1,640,000	)		—	$	(9,355,000	)
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1		—			—			—			—		—
Collateral held by the fund can obtain upon occurrence of triggering event		—			—			—			—		—

U.S. FIXED INCOME FUND WRITTEN CREDIT DERIVATIVE CONTRACTS	SINGLE NAME CDS					CDS ON AN INDEX
REFERENCE ASSET	CORP US$		SOVEREIGN US$			ABS US$		CORP US$		Total
Fair value of written credit derivatives		—	$	(167,544	)		—		—	$	(167,544	)
Maximum potential amount of future payments		—	$	(2,300,000	)		—		—	$	(2,300,000	)
Recourse provisions with third parties to recover any amounts paid under the credit derivative (including any purchased credit protection)1		—		—			—		—		—
Collateral held by the fund can obtain upon occurrence of triggering event		—		—			—		—		—

1 Potential recoveries would include purchased credit derivatives to the extent they offset written credit derivatives which have an identical underlying, or a netting arrangement or credit support annex with the counterparty. There may be other potential recoveries from recourse provisions where agreements cover multiple derivative arrangements but those amounts have not been included.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 173

Notes to Financial Statements (Continued)

September 30, 2011

MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
CORE FIXED INCOME FUND	0-6 MONTHS		6-12 MONTHS		1-5 YEARS		5-10 YEARS		> 10 YEARS		Total
Current credit spread* on underlying (in basis points)
0-200		—		—	$	6,125,000		—		—	$	6,125,000
201-400		—		—		—	$	1,590,000		—	$	1,590,000
> than 400		—		—		—		—	$	1,640,000	$	1,640,000
Total		—		—	$	6,125,000	$	1,590,000	$	1,640,000	$	9,355,000

MAXIMUM POTENTIAL AMOUNT OF FUTURE PAYMENTS BY CONTRACT TERM
U.S. FIXED INCOME FUND	0-6 MONTHS		6-12 MONTHS		1-5 YEARS		5-10 YEARS		> 10 YEARS		Total
Current credit spread* on underlying (in basis points)
0-200		—		—	$	2,300,000		—		—	$	2,300,000
> than 200		—		—		—		—		—		—
Total		—		—	$	2,300,000		—		—	$	2,300,000

* The credit spread on the underlying asset is generally indicative of the current status of the underlying risk of the Fund having to perform. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a contract. Higher credit spreads with a shorter contract term is indicative of a higher likelihood of performance by the Fund.

The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.

4. DERIVATIVE TRANSACTIONS

The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the year. For Funds that held derivatives throughout the year with only one type of risk exposure, additional information can be found on the Summary Schedule of Investments or Schedule of Investments and the Statement of Operations.

The fair value of derivative instruments as of September 30, 2011 was as follows:

	Asset Derivatives				Liability Derivatives
	Year ended September 30, 2011 ($ Thousands)				Year ended September 30, 2011 ($ Thousands)
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Derivatives not accounted for as hedging instruments:
Global Managed Volatility Fund
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts	$	5,070		Unrealized loss on forward foreign currency contracts	$	39
Equity contracts	Net Assets — Unrealized appreciation on futures contracts		139	*	Net Assets — Unrealized depreciation on futures contracts		455	*
Total Derivatives not accounted for as hedging instruments		$	5,209			$	494
Core Fixed Income Fund
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	2,619	*	Net Assets — Unrealized depreciation on futures contracts	$	392	*
	Net Assets — Unrealized appreciation on swap contracts		—		Net Assets — Unrealized depreciation on swap contracts		1,191	†
	Investments, at value		30		Options written, at value		906
Foreign exchange contracts	Unrealized gain on forward foreign currency contracts		1,252		Unrealized loss on forward foreign currency contracts		354
Equity contracts	Net Assets — Unrealized appreciation on swap contracts		—		Net Assets — Unrealized depreciation on swap contracts		11	†
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		274	†	Net Assets — Unrealized depreciation on swap contracts		2,248	†
Total Derivatives not accounted for as hedging instruments		$	4,175			$	5,102
U.S. Fixed Income Fund
Interest rate contracts	Net Assets — Unrealized appreciation on futures contracts	$	30	*	Net Assets — Unrealized depreciation on futures contracts	$	280	*
	Investments, at value		—		Options written, at value		10
	Net Assets — Unrealized appreciation on swap contracts		—		Net Assets — Unrealized depreciation on swap contracts		331	†
Credit contracts	Net Assets — Unrealized appreciation on swap contracts		9	†	Net Assets — Unrealized depreciation on swap contracts		72	†
Total Derivatives not accounted for as hedging instruments		$	39			$	693

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Summary Schedules of Investments or Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities.

† Includes cumulative appreciation/depreciation of swap contracts as reported in the Schedules of Investments. Market Value is reported within the Statements of Assets & Liabilities for swap contracts that have paid premiums.

174 SEI Institutional Managed Trust / Annual Report / September 30, 2011

The effect of derivative instruments on the Statement of Operations for the year ended September 30, 2011.

Amount of Realized Gain or (Loss) on Derivatives Recognized in Income ($ Thousands)

Derivatives Not Accounted for as Hedging Instruments:	Options		Futures			Forward Currency Contracts			Swaps			Total
Small Cap Fund
Equity contracts	$	—	$	834		$	—		$	—		$	834
Foreign exchange contracts		—		—			1			—			1
Total	$	—	$	834		$	1		$	—		$	835
Tax Managed Small/Mid Cap Fund
Equity contracts	$	—	$	844		$	—		$	—		$	844
Foreign exchange contracts		—		—			(39	)		—			(39	)
Total	$	—	$	844		$	(39	)	$	—		$	805
Global Managed Volatility Fund
Equity contracts	$	—	$	787		$	—		$	—		$	787
Foreign exchange contracts		—		—			(10,293	)		—			(10,293	)
Total	$	—	$	787		$	(10,293	)	$	—		$	(9,506	)
Core Fixed Income Fund
Interest rate contracts	$	1,016	$	(7,067	)	$	—		$	(5,406	)	$	(11,457	)
Credit contracts		—		—			—			(4,166	)		(4,166	)
Equity Contracts		—		—			—			74			74
Foreign exchange contracts		—		—			(2,288	)		—			(2,288	)
Total	$	1,016	$	(7,067	)	$	(2,288	)	$	(9,498	)	$	(17,837	)
U.S. Fixed Income Fund
Interest rate contracts	$	163	$	(2,153	)	$	—		$	51		$	(1,939	)
Credit contracts		—		—			—			(638	)		(638	)
Total	$	163	$	(2,153	)	$	—		$	(587	)	$	(2,577	)

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income ($ Thousands):

Derivatives Not Accounted for as Hedging Instruments:	Options			Futures			Forward Currency Contracts		Swaps			Total
Tax-Managed Small/Mid Cap Fund
Equity contracts	$	—		$	(669	)	$	—	$	—		$	(669	)
Foreign exchange contracts		—			—			36		—			36
Total	$	—		$	(669	)	$	36	$	—		$	(633	)
Global Managed Volatility Fund
Equity contracts	$	—		$	(459	)	$	—	$	—		$	(459	)
Foreign exchange contracts		—			—			6,500		—			6,500
Total	$	—		$	(459	)	$	6,500	$	—		$	6,041
Core Fixed Income Fund
Interest rate contracts	$	(52	)	$	2,390		$	—	$	2,058		$	4,396
Credit contracts		—			—			—		5,157			5,157
Equity contracts		—			—			—		(11	)		(11	)
Foreign exchange contacts		—			—			1,726		—			1,726
Total	$	(52	)	$	2,390		$	1,726	$	7,204		$	11,268
U.S. Fixed Income Fund
Interest rate contracts	$	22		$	(150	)	$	—	$	(331	)	$	(459	)
Credit contracts		—			—			—		1,000			1,000
Total	$	22		$	(150	)	$	—	$	669		$	541

The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.

Written options transactions entered into during the year ended September 30, 2011 are summarized as follows:

	Core Fixed Income Fund
	Number of Contracts			Premium ($ Thousands)
Balance at the beginning of year		447		$	401
Written		10,892,378			1,880
Expired		(276	)		(241	)
Closing buys		(2,307	)		(1,251	)
Balance at the end of year		10,890,242		$	789

SEI Institutional Managed Trust / Annual Report / September 30, 2011 175

Notes to Financial Statements (Continued)

September 30, 2011

				U.S. Fixed Income Fund
	Number of Contracts			Premium ($ Thousands)
Balance at the beginning of year		110		$	73
Written		1,490,145			164
Expired		(55	)		(59	)
Closing buys		(200	)		(161	)
Balance at the end of year		1,490,000		$	17

At September 30, 2011 the Funds had cash and/or securities at least equal to the value of written options.

5. ADMINISTRATION, INVESTMENT ADVISORY AND DISTRIBUTION 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, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap Class A, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small/Mid Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, High Yield Bond, Real Return and Multi-Strategy Alternative 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 and U.S. Fixed Income Funds. 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, interest expense and acquired fund fee 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:

	Advisory Fees			Voluntary Expense Limitations
Large Cap Fund, Class A		0.3900	%		0.8900	%
Large Cap Value Fund, Class A		0.3500			0.8900
Large Cap Value Fund, Class I		0.3500			1.1100

	Advisory Fees			Voluntary Expense Limitations
Large Cap Growth Fund, Class A		0.4000	%		0.8900	%
Large Cap Growth Fund, Class I		0.4000			1.1100
Tax-Managed Large Cap Fund, Class A		0.4000			0.8900
Tax-Managed Large Cap Fund, Class Y		0.4000			0.5600
S&P 500 Index Fund, Class A		0.0300			0.4300
S&P 500 Index Fund, Class E		0.0300			0.2500
S&P 500 Index Fund, Class I		0.0300			0.6500
Small Cap Fund, Class A		0.6500			1.1400
Small Cap Value Fund, Class A		0.6500			1.1400
Small Cap Value Fund, Class I		0.6500			1.3600
Small Cap Growth Fund, Class A		0.6500			1.1100
Small Cap Growth Fund, Class I		0.6500			1.3600
Tax-Managed Small/Mid Cap Fund, Class A		0.6500			1.1100
Mid-Cap Fund, Class A		0.4000			1.0200
Mid-Cap Fund, Class I		0.4000			1.2600
U.S. Managed Volatility Fund, Class A		0.6500			1.0000
U.S. Managed Volatility Fund, Class I		0.6500			1.2500
Global Managed Volatility Fund, Class A		0.6500			1.1100
Global Managed Volatility Fund, Class I		0.6500			1.3600
Tax-Managed Managed Volatility Fund, Class A		0.6500			1.0000
Real Estate Fund, Class A		0.6500			1.1400
Real Estate Fund, Class I		0.6500			1.3600
Enhanced Income Fund, Class A		0.4000			0.6000
Enhanced Income Fund, Class I		0.4000			0.8500
Core Fixed Income Fund, Class A		0.2750			0.6700
Core Fixed Income Fund, Class I		0.2750			0.8900
U.S. Fixed Income, Class A		0.2750			0.6600
High Yield Bond Fund, Class A		0.4875			0.8900
High Yield Bond Fund, Class I		0.4875			1.1100
Real Return, Class A		0.2200			0.4500
Multi-Strategy Alternative Fund, Class A		1.5000			0.5000

As of September 30, 2011, SIMC has entered into investment sub-advisory agreements with the following parties:

Investment Sub-Adviser

Large Cap Fund

AQR Capital Management, LLC

Aronson+Johnson+Ortiz, L.P.

Brown Investment Advisory Incorporated

Delaware Management Company

LSV Asset Management

Neuberger Berman Management LLC

Waddell + Reed Investment Management Company

WestEnd Advisors LLC

Large Cap Value Fund

Aronson + Johnson + Ortiz, LP

INTECH Investment Management, LLC

Lazard Asset Management LLC

LSV Asset Management

Tocqueville Asset Management LP

176 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Investment Sub-Adviser

Large Cap Growth Fund

Brown Investment Advisory Incorporated

Delaware Management Company

INTECH Investment Management, LLC

Neuberger Berman Management LLC

Tax-Managed Large Cap Fund

AQR Capital Management, LLC

Aronson + Johnson + Ortiz, LP

Brown Investment Advisory Incorporated

Delaware Management Company

LSV Asset Management

Neuberger Berman Management LLC

Parametric Portfolio Associates

Waddell + Reed Investment Management Company

WestEnd Advisors LLC

S&P 500 Index Fund

SSgA Funds Management, Inc.

Small Cap Fund

Allianz Global Investors Capital LLC

AQR Capital Management, LLC

Integrity Asset Management, LLC

JP Morgan Investment Management Company

Los Angeles Capital Management and Equity Research, Inc.

Robeco Investment Management, Inc.

Wellington Management Company, LLP

Small Cap Value Fund

Artisan Partners Limited Partnership

Lee Munder Capital Group LLC

LSV Asset Management

Martingale Asset Management, L.P.

Robeco Investment Management, Inc.

Security Capital Research + Management Incorporated

Wellington Management Company, LLP

William Blair + Company, LLC

Small Cap Growth Fund

Allianz Global Investors Capital LLC

AQR Capital Management, LLC

Janus Capital Management, LLC

Los Angeles Capital Management and Equity Research, Inc.

Tax-Managed Small/Mid Cap Fund

Century Capital Management, LLC

Lee Munder Capital Group LLC

Los Angeles Capital Management and Equity Research, Inc.

LSV Asset Management

Parametric Portfolio Associates

Wellington Management Company, LLP

William Blair + Company, LLC

Mid-Cap Fund

JP Morgan Investment Management Company

Lee Munder Capital Group LLC

Quantitative Management Associates LLC

U.S. Managed Volatility Fund

Analytic Investors, LLC

Aronson + Johnson + Ortiz, LP

Investment Sub-Adviser

LSV Asset Management

Global Managed Volatility Fund

Acadian Asset Management LLC

Analytic Investors, LLC

Tax-Managed Managed Volatility Fund

Analytic Investors LLC

Aronson + Johnson + Ortiz, LP

LSV Asset Management

Parametric Portfolio Associates

Real Estate Fund

Security Capital Research and Management, Inc.

Urdang Capital Management

Enhanced Income Fund

Ares Management LLC

Wellington Management Company, LLP

Core Fixed Income Fund

Jennison Associates LLC

J.P. Morgan Investment Management Inc.

Metropolitan West Asset Management LLC

Wells Capital Management, Inc.

Western Asset Management Company

Western Asset Management Company Limited

U.S. Fixed Income Fund

Jennison Associates LLC

J.P. Morgan Investment Management, Inc.

Metropolitan West Asset Management LLC

Wells Capital Management, Inc.

Western Asset Management Company

Western Asset Management Company Limited

High Yield Bond Fund

Ares Management LLC

Brigade Capital Management, LLC

Delaware Management Company

Guggenheim Investment Management, LLC

J.P. Morgan Investment Management, Inc.

Real Return Fund

Wellington Management Company, LLP

Multi-Strategy Alternative Fund

Turner Investment Partners, Inc.

Under the investment sub-advisory agreements, each party receives an annual fee paid by SIMC.

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 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 and Class I shares, and a shareholder servicing fee of up to 0.15% of average daily net assets attributable to the 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.

SEI Institutional Managed Trust / Annual Report / September 30, 2011 177

Notes to Financial Statements (Continued)

September 30, 2011

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, 2011 were as follows ($ Thousands):

Large Cap Fund	$	395
Large Cap Value Fund		196
Large Cap Growth Fund		276
Tax-Managed Large Cap Fund		87
S&P 500 Index Fund		58
Small Cap Fund		84
Small Cap Value Fund		83
Small Cap Growth Fund		185
Tax-Managed Small/Mid Cap Fund		141
Mid-Cap Fund		52
U.S. Managed Volatility Fund		63
Tax-Managed Managed Volatility Fund		37
Real Estate Fund		31
	$	1,688

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, 2011, the Distributor retained 100% of the shareholder servicing fees, less the shareholder servicing fee waiver, and 100% of the administration servicing fees.

Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers of the Administrator or the Distributor. 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 Administrator or Distributor.

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 annually by the Board.

LSV Asset Management (a partially owned subsidiary of SIMC) serves as the sub-adviser to the Large Cap, Large Cap Value, Tax-Managed Large Cap, Small Cap Value, Tax-Managed Small/Mid Cap, U.S. Managed Volatility and Tax-Managed Managed Volatility Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2011 were as follows ($ Thousands):

Large Cap Fund	$	331
Large Cap Value Fund		564
Tax-Managed Large Cap Fund		361
Small Cap Value Fund		481
Tax-Managed Small/Mid Cap Fund		165
U.S. Managed Volatility Fund		386
Tax-Managed Managed Volatility Fund		214
	$	2,502

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, 2011, can be found on the Statement of Operations and Financial Highlights, respectively.

Investment in Affiliated Security — The Funds may invest excess cash in the SEI Daily Income Trust Prime Obligation Fund, an affiliated money market fund. Additionally, the Funds may invest the cash collateral from the securities lending program in the SEI Liquidity Fund, L.P.

Affiliated Transaction — On February 25, 2011, the S&P 500 Index Fund participated in a transaction with an affiliated fund. The Fund sold securities in the amount of $767,016,288 resulting in realized gains of $40,460,815.

Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“The Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in The Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula approved by the SEI Funds’ board of trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.

During the fiscal year ended September 30, 2011, the Trust borrowed funds from SEI Liquid Asset Prime Obligation Fund. The total amount of borrowing and interest paid on the borrowing are as follows ($ Thousands).

Borrowing Fund	Amount Borrowed		Interest Paid
High Yield Bond		$512,981		$7
Large Cap Growth		9,500		—
Large Cap Value		14,000		—
Mid Cap		10,846		—
Real Estate		18,974		—
Small Cap Fund		12,500		1
Small Cap Growth		19,600		1
Small Cap Value		14,200		1
Tax-Managed Small/Mid Cap		9,897		—
U.S. Managed Volatility		4,531		—

The Trust had no outstanding loans under the interfund lending agreement at September 30, 2011.

178 SEI Institutional Managed Trust / Annual Report / September 30, 2011

6. CAPITAL SHARE TRANSACTIONS

Capital Share Transactions for the Funds were as follows (Thousands):

For the years or period ended September 30, 2011

	Large Cap Fund(1)						Large Cap Value Fund						Large Cap Growth Fund						Tax-Managed Large Cap Fund						S&P 500 Index Fund
	2011			10/01/09 to 09/30/10			2011			2010			2011			2010			2011			2010			2011			2010
Class A:
Shares Issued		76,628			183,286			15,386			19,666			11,453			14,496			33,056			32,509			29,348			5,739
Shares Issued in Lieu of Cash Distributions		5,309			1,354			1,248			1,902			288			610			1,037			1,408			284			236
Shares Redeemed		(61,580	)		(54,987	)		(33,831	)		(52,909	)		(28,552	)		(49,047	)		(34,953	)		(51,272	)		(31,813	)(3)		(11,115	)
Total Class A Transactions		20,357			129,653			(17,197	)		(31,341	)		(16,811	)		(33,941	)		(860	)		(17,355	)		(2,181	)		(5,140	)
Class E:
Shares Issued		—			—			—			—			—			—			—			—			12,648			8,945
Shares Issued in Lieu of Cash Distributions		—			—			—			—			—			—			—			—			553			587
Shares Redeemed		—			—			—			—			—			—			—			—			(8,142	)		(5,625	)
Total Class E Transactions		—			—			—			—			—			—			—			—			5,059			3,907
Class I:
Shares Issued		—			—			125			200			142			131			—			—			54			92
Shares Issued in Lieu of Cash Distributions		—			—			7			9			1			1			—			—			2			3
Shares Redeemed		—			—			(333	)		(334	)		(210	)		(248	)		—			—			(91	)		(124	)
Total Class I Transactions		—			—			(201	)		(125	)		(67	)		(116	)		—			—			(35	)		(29	)
Class Y:
Shares Issued		—			—			—			—			—			—			18			5			—			—
Shares Issued in Lieu of Cash Distributions		—			—			—			—			—			—			1			2			—			—
Shares Redeemed		—			—			—			—			—			—			(201	)		(41	)		—			—
Total Class Y Transactions		—			—			—			—			—			—			(182	)		(34	)		—			—
Increase (Decrease) in Share Transactions		20,357			129,653			(17,398	)		(31,466	)		(16,878	)		(34,057	)		(1,042	)		(17,389	)		2,843			(1,262	)

	Small Cap Fund(1)						Small Cap Value Fund						Small Cap Growth Fund						Tax-Managed Small/Mid Cap Fund						Mid-Cap Fund
	2011			10/01/09 to 09/30/10			2011			2010			2011			2010			2011			2010			2011			2010
Class A:
Shares Issued		15,415			43,949			5,548			12,391			4,689			9,938			7,540			11,004			4,700			7,278
Shares Issued in Lieu of Cash Distributions		1,753			53			179			275			—			2			56			64			31			43
Shares Redeemed		(15,817	)		(23,903	)		(13,960	)		(24,708	)		(11,437	)		(20,925	)		(10,796	)		(11,156	)		(7,665	)		(8,052	)
Total Class A Transactions		1,351			20,099			(8,233	)		(12,042	)		(6,748	)		(10,985	)		(3,200	)		(88	)		(2,934	)		(731	)
Class I:
Shares Issued		—			—			106			147			113			99			—			—			35			42
Shares Issued in Lieu of Cash Distributions		—			—			2			2			—			—			—			—			—			—
Shares Redeemed		—			—			(284	)		(242	)		(166	)		(154	)		—			—			(11	)		(23	)
Total Class I Transactions		—			—			(176	)		(93	)		(53	)		(55	)		—			—			24			19
Increase (Decrease) in Share Transactions		1,351			20,099			(8,409	)		(12,135	)		(6,801	)		(11,040	)		(3,200	)		(88	)		(2,910	)		(712	)

SEI Institutional Managed Trust / Annual Report / September 30, 2011 179

Notes to Financial Statements (Continued)

September 30, 2011

	U.S. Managed Volatility Fund						Global Managed Volatility Fund						Tax-Managed Managed Volatility Fund						Real Estate Fund						Enhanced Income Fund
	2011			2010			2011			2010			2011			2010			2011			2010			2011			2010
Class A:
Shares Issued		25,913			19,047			44,541			25,777			12,304			12,259			4,879			12,707			18,045			13,933
Shares Issued in Lieu of Cash Distributions		450			479			—			101			292			275			227			652			416			814
Shares Redeemed		(25,421	)		(20,567	)		(23,526	)		(12,968	)		(9,577	)		(8,110	)		(11,962	)		(17,761	)		(15,277	)		(28,772	)
Total Class A Transactions		942			(1,041	)		21,015			12,910			3,019			4,424			(6,856	)		(4,402	)		3,184			(14,025	)
Class I:
Shares Issued		8			3			12			13			—			—			39			17			1			2
Shares Issued in Lieu of Cash Distributions		—			—			—			—			—			—			1			1			—			—
Shares Redeemed		(6	)		(2	)		(18	)		(7	)		—			—			(27	)		(6	)		—			(6	)
Total Class I Transactions		2			1			(6	)		6			—			—			13			12			1			(4	)
Increase (Decrease) in Share Transactions		944			(1,040	)		21,009			12,916			3,019			4,424			(6,843	)		(4,390	)		3,185			(14,029	)

	Core Fixed Income Fund						U.S. Fixed Income Fund						High Yield Bond Fund						Real Return Fund						Multi-Strategy Alternative Fund(2)
	2011			2010			2011			2010			2011			2010			2011			2010			2011			03/31/10 to 09/30/10
Class A:
Shares Issued		52,351			71,455			52,968			62,360			128,071			142,465			23,421			19,945			18,501			20,817
Shares Issued in Lieu of Cash Distributions		6,214			9,212			4,890			2,912			13,788			14,881			985			246			312			—
Shares Redeemed		(76,072	)		(112,569	)		(48,184	)		(49,991	)		(158,177	)		(148,528	)		(12,072	)		(5,476	)		(7,546	)		(1,578	)
Total Class A Transactions		(17,507	)		(31,902	)		9,674			15,281			(16,318	)		8,818			12,334			14,715			11,267			19,239
Class I:
Shares Issued		487			772			—			—			2,215			247			—			—			—			—
Shares Issued in Lieu of Cash Distributions		33			40			—			—			30			4			—			—			—			—
Shares Redeemed		(706	)		(584	)		—			—			(2,364	)		(29	)		—			—			—			—
Total Class I Transactions		(186	)		228			—			—			(119	)		222			—			—			—			—
Increase (Decrease) in Share Transactions		(17,693	)		(31,674	)		9,674			15,281			(16,437	)		9,040			12,334			14,715			11,267			19,239

(1) Commenced operations on October 1, 2009.

(2) Commenced operations on March 31, 2010.

(3) Includes redemptions as a result of an affiliated transaction (see Note 5).

Amounts designated as “—” are zero or have been rounded to zero.

7. INVESTMENT TRANSACTIONS

The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year ended September 30, 2011, were as follows:

	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Large Cap Fund
Purchases	$	—	$	1,729,947	$	1,729,947
Sales		—		1,541,195		1,541,195
Large Cap Value Fund
Purchases		—		949,519		949,519
Sales		—		1,221,240		1,221,240
Large Cap Growth Fund
Purchases		—		1,684,200		1,684,200
Sales		—		1,954,964		1,954,964
Tax-Managed Large Cap Fund
Purchases		—		1,209,506		1,209,506
Sales		—		1,194,734		1,194,734
S&P 500 Index Fund
Purchases		—		1,012,906		1,012,906
Sales		—		1,009,394		1,009,394
Small Cap Fund
Purchases		—		295,085		295,085
Sales		—		300,630		300,630

	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Small Cap Value Fund
Purchases	$	—	$	359,211	$	359,211
Sales		—		496,830		496,830
Small Cap Growth Fund
Purchases		—		485,025		485,025
Sales		—		603,112		603,112
Tax-Managed Small/Mid Cap Fund
Purchases		—		322,231		322,231
Sales		—		355,027		355,027
Mid-Cap Fund
Purchases		—		190,794		190,794
Sales		—		237,116		237,116
U.S. Managed Volatility Fund
Purchases		—		339,492		339,492
Sales		—		326,444		326,444
Global Managed Volatility Fund
Purchases		—		413,414		413,414
Sales		—		278,955		278,955
Tax-Managed Managed Volatility
Purchases		—		193,729		193,729
Sales		—		163,469		163,469
Real Estate Fund
Purchases		—		139,358		139,358
Sales		—		222,198		222,198

180 SEI Institutional Managed Trust / Annual Report / September 30, 2011

	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Enhanced Income Fund
Purchases	$	93,341	$	44,234	$	137,575
Sales		94,574		26,974		121,548
Core Fixed Income Fund
Purchases		9,191,133		796,869		9,988,002
Sales		9,181,632		991,441		10,173,073
U.S Fixed Income Fund
Purchases		2,585,290		342,716		2,928,006
Sales		2,498,658		343,715		2,842,373
High Yield Bond Fund
Purchases		3,060		1,072,923		1,075,983
Sales		2,999		1,225,587		1,228,586
Real Return Fund
Purchases		368,292		—		368,292
Sales		236,992		—		236,992
Multi-Strategy Alternative Fund
Purchases		—		135,645		135,645
Sales		—		61,017		61,017

8. 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.

The Real Estate Fund has a tax year that ends on December 31. The following tax disclosures are representative as of September 30, 2011, except for the permanent reclassification and tax character of distributions, which are as of December 31, 2010. Accordingly, the disclosures are for informational use by shareholders and are subject to change attributable to activity through the end of the tax year-ended December 31, 2011.

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 GAAP. 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, investments in swaps, investments in passive foreign investment companies, investments in partnerships, municipal bonds, collateralized debt obligations, distribution reclassification, expiration of capital losses, REIT income reclassification, redemption in-kind transaction, foreign currency transactions, accretion and amortization on defaulted bonds reclassification and net operating losses have been reclassified to/from the following accounts as of September 30, 2011:

	Paid-in-Capital ($ Thousands)			Undistributed Net Investment Income/(Loss) ($ Thousands)			Accumulated Realized Gain/(loss) ($ Thousands)
Large Cap Fund	$	—		$	188		$	(188	)
Large Cap Value Fund		—			233			(233	)
Large Cap Growth Fund		(338,510	)		101			338,409
Tax-Managed Large Cap Fund		(48,103	)		187			47,916
S&P 500 Index Fund		40,116			210			(40,326	)
Small Cap Fund		—			488			(488	)
Small Cap Value Fund		—			1,183			(1,183	)
Small Cap Growth Fund		(1,411	)		1,619			(208	)
Tax-Managed Small/Mid Cap Fund		—			234			(234	)
Mid-Cap Fund		—			57			(57	)
U.S. Managed Volatility		—			166			(166	)
Global Managed Volatility Fund		(904	)		(8,761	)		9,665
Tax-Managed Managed Volatility Fund		—			80			(80	)
Real Estate Fund		(2,160	)		3,610			(1,450	)
Enhanced Income Fund		—			(522	)		522
Core Fixed Income Fund		81			830			(911	)
U.S. Fixed Income Fund		—			1,513			(1,513	)
High Yield Bond Fund		(56,802	)		(3,279	)		60,081
Real Return Fund		—			1			(1	)

The tax character of dividends and distributions paid during the fiscal years or periods ended September 30, 2011 and September 30, 2010 (unless otherwise indicated) was as follows:

		Ordinary Income ($ Thousands)		Long-Term Capital Gain ($ Thousands)		Return of Capital ($ Thousands)		Total ($ Thousands)
Large Cap Fund	2011	$	55,525	$	6,999	$	—	$	62,524
	2010		12,021		2,478		—		14,499
Large Cap Value Fund	2011		21,714		—				21,714
	2010		28,384		—		—		28,384
Large Cap Growth Fund	2011		6,587		—		—		6,587
	2010		11,957		—		—		11,957
Tax-Managed Large Cap Fund	2011		13,825		—		—		13,825
	2010		16,047		—		—		16,047
S&P 500 Index Fund	2011		30,225		—		—		30,225
	2010		25,920		—		—		25,920
Small Cap Fund	2011		18,003		2,754		—		20,757
	2010		553		14		—		567
Small Cap Value Fund	2011		3,323		—		—		3,323
	2010		4,161		—		—		4,161

SEI Institutional Managed Trust / Annual Report / September 30, 2011 181

Notes to Financial Statements (Continued)

September 30, 2011

		Ordinary Income ($ Thousands)		Long-Term Capital Gain ($ Thousands)		Return of Capital ($ Thousands)		Total ($ Thousands)
Small Cap Growth Fund	2011	$	—	$	—	$	—	$	—
	2010		—		—		30		30
Tax-Managed Small/Mid Cap Fund	2011		741		—		—		741
	2010		727		—		—		727
Mid-Cap Fund	2011		671		—		—		671
	2010		729		—		—		729
U.S. Managed Volatility Fund	2011		5,926		—		—		5,926
	2010		5,225		—		—		5,225
Global Managed Volatility Fund	2011		—		—		—		—
	2010		792		—		72		864
Tax-Managed Managed Volatility Fund	2011		3,483		—		—		3,483
	2010		2,727		—		—		2,727
Real Estate Fund	2011		2,958		—		—		2,958
	2010		5,233		—		2,158		7,391
Enhanced Income Fund	2011		3,390		—		—		3,390
	2010		6,384		—		—		6,384
Core Fixed Income Fund	2011		74,340		—		—		74,340
	2010		104,187		—		—		104,187
U.S. Fixed Income Fund	2011		50,305		3,680		—		53,985
	2010		31,840		—		—		31,840
High Yield Bond Fund	2011		122,263		—		—		122,263
	2010		123,263		—		—		123,263
Real Return Fund	2011		11,366		42		—		11,408
	2010		2,708		18		—		2,726
Multi-Strategy Alternative Fund	2011		3,346		—		—		3,346
	2010		—		—		—		—

As of fiscal year ended September 30, 2011, the components of Distributable Earnings/(Accumulated Losses) were as follows:

	Undistributed Ordinary Income ($ Thousands)		Undistributed Long-Term Capital Gain ($ Thousands)		Capital Loss Carryforwards ($ Thousands)			Post October Losses ($ Thousands)			Post October Currency Losses ($ Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)			Other Temporary Differences ($ Thousands)			Total Distributions Earnings (Accumulated Losses) ($ Thousands)
Large Cap Fund	$	24,895	$	67,355	$	—		$	—		$	(46	)	$	(92,240	)	$	(10	)	$	(46	)
Large Cap Value Fund		4,792		—		(303,613	)		—			—			(165,717	)		(4	)		(464,542	)
Large Cap Growth Fund		270		—		(319,983	)		—			—			3,023			14			(316,676	)
Tax-Managed Large Cap Fund		3,376		—		(333,278	)		—			(18	)		(10,197	)		(5	)		(340,122	)
S&P 500 Index Fund		6,503		—		(32,308	)		—			—			556,478			4			530,677
Small Cap Fund		8,973		24,666		—			—			—			(29,239	)		(55	)		4,345
Small Cap Value Fund		1,352		—		(81,078	)		—			(1	)		(68,815	)		(85	)		(148,627	)
Small Cap Growth Fund		—		—		(193,437	)		—			—			(52,182	)		(125	)		(245,744	)
Tax-Managed Small/Mid Cap Fund		392		—		(22,976	)		—			(15	)		(20,244	)		3			(42,840	)
Mid-Cap Fund		111		—		(17,641	)		—			—			(16,841	)		(4	)		(34,375	)
U.S. Managed Volatility Fund		1,683		—		(46,055	)		—			—			25,884			—			(18,488	)
Global Managed Volatility Fund		—		—		(43,632	)		—			—			22,553			(4,644	)		(25,723	)
Tax-Managed Managed Volatility Fund		1,045		11,182		—			—			—			20,274			—			32,501
Real Estate Fund		1,813		—		(45,087	)		—			—			6,294			604			(36,376	)
Enhanced Income Fund		985		—		(124,218	)		—			—			(7,690	)		—			(130,923	)
Core Fixed Income Fund		20,595		—		—			(49,687	)		(112	)		(4,423	)		(9,571	)		(43,198	)
U.S. Fixed Income Fund		20,591		6,044		—			—			—			29,800			(2,098	)		54,337
High Yield Bond Fund		15,096		—		(160,799	)		—			—			(77,207	)		(8,125	)		(231,035	)
Real Return Fund		2,997		71		—			—			—			4,662			11			7,741
Multi-Strategy Alternative Fund		1,118		—		(1,945	)		(2,715	)		—			(8,607	)		—			(12,149	)

182 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Post October losses represent losses realized on investment transactions from November 1, 2010 through September 30, 2011 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:

	Expires 2019 ($ Thousands)		Expires 2018 ($ Thousands)		Expires 2017 ($ Thousands)		Expires 2016 ($ Thousands)		Expires 2015 ($ Thousands)		Expires 2014 ($ Thousands)		Expires 2013 ($ Thousands)		Expires 2012 ($ Thousands)		Total Capital Loss Carryforwards ($ Thousands)
Large Cap Value Fund	$	—	$	303,613	$	—	$	—	$	—	$	—	$	—	$	—	$	303,613
Large Cap Growth Fund		—		248,707		64,163		—		—		—		—		7,113		319,983
Tax-Managed Large Cap Fund		—		264,576		52,636		—		—		—		—		16,066		333,278
S&P 500 Index Fund		—		31,068		1,240		—		—		—		—		—		32,308
Small Cap Value Fund		—		81,078		—		—		—		—		—		—		81,078
Small Cap Growth Fund		—		182,805		10,632		—		—		—		—		—		193,437
Tax-Managed Small/Mid Cap Fund		—		22,976		—		—		—		—		—		—		22,976
Mid-Cap Fund		—		14,531		3,110		—		—		—		—		—		17,641
U.S. Managed Volatility Fund		—		46,055		—		—		—		—		—		—		46,055
Global Managed Volatility Fund		—		31,146		12,486		—		—		—		—		—		43,632
Real Estate Fund		—		—		45,087		—		—		—		—		—		45,087
Enhanced Income Fund		26,775		61,656		31,834		3,427		526		—		—		—		124,218
High Yield Bond Fund		2,772		61,490		63,877		3,037		21,474		8,149		—		—		160,799
Multi-Strategy Alternative Fund		1,945		—		—		—		—		—		—		—		1,945

During the fiscal year ended September 30, 2011, the following Funds utilized capital loss carryforward to offset capital gains and/or had expired capital loss carryforwards:

	Utilized Capital Loss Carry Forwards ($ Thousands)		Expired Capital Loss Carry Forwards ($ Thousands)
Large Cap Value Fund	$	163,583	$	—
Large Cap Growth Fund		287,461		338,510
Tax-Managed Large Cap Fund		155,358		48,103
S&P 500 Index Fund		4,600		—
Small Cap Value Fund		89,061		—
Small Cap Growth Fund		108,975		—
Tax-Managed Small/Mid Cap Fund		52,255		—
Mid-Cap Fund		18,832		—
U.S. Managed Volatility Fund		51,891		—
Global Managed Volatility Fund		15,506		—
Tax-Managed Managed Volatility Fund		13,382		—
Core Fixed Income Fund		39,374		—
High Yield Bond Fund		—		57,113

Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

For Federal income tax purposes, the cost of securities owned at September 30, 2011, 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 straddles, investments in partnerships that captures losses from other securities, and 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, 2011, were as follows:

	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Large Cap Fund	$	1,719,358	$	105,311	$	(197,551	)	$	(92,240	)
Large Cap Value Fund		1,449,475		112,832		(278,549	)		(165,717	)
Large Cap Growth Fund		1,468,562		165,863		(162,840	)		3,023
Tax-Managed Large Cap Fund		1,633,076		219,169		(229,366	)		(10,197	)
S&P 500 Index Fund		1,042,691		631,191		(74,713	)		556,478
Small Cap Fund		293,833		14,267		(43,506	)		(29,239	)
Small Cap Value Fund		552,515		30,518		(99,333	)		(68,815	)
Small Cap Growth Fund		417,786		16,976		(68,914	)		(51,938	)

SEI Institutional Managed Trust / Annual Report / September 30, 2011 183

Notes to Financial Statements (Concluded)

September 30, 2011

	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Tax-Managed Small/Mid Cap Fund	$	316,911	$	26,638	$	(46,882	)	$	(20,244	)
Mid-Cap Fund		104,898		1,918		(18,759	)		(16,841	)
U.S. Managed Volatility Fund		425,654		54,669		(28,748	)		25,921
Global Managed Volatility Fund		461,745		38,127		(20,185	)		17,942
Tax-Managed Managed Volatility Fund		264,840		34,812		(14,520	)		20,292
Real Estate Fund		165,918		31,180		(24,886	)		6,294
Enhanced Income Fund		173,967		697		(8,387	)		(7,690	)
Core Fixed Income Fund		2,606,299		129,424		(131,474	)		(2,050	)
U.S. Fixed Income Fund		1,098,644		48,688		(18,501	)		30,187
High Yield Bond Fund		1,371,087		31,824		(109,617	)		(77,793	)
Real Return Fund		453,913		6,595		(1,933	)		4,662
Multi-Strategy Alternative Fund		300,540		1,302		(9,909	)		(8,607	)

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of September 30, 2011, 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.

9. 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 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., and the Fund

bears all of the gains and losses on such investment. There is no guarantee that these investments will not lose value.

10. CONCENTRATIONS/RISKS

In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, Management believes that, based on experience, the risk of loss from such claims is considered remote.

In the normal course of business, the Multi-Strategy Alternative Fund invests substantially in underlying funds that are comprised of fixed income and equity securities in specific industries and that may engage in short selling activities, writing option contracts, and equity swaps, and therefore, the Fund may be affected by events in these industries. The Funds Statement of Additional Information provides a description of concentration and risk associated with the different investments in the underlying affiliated investment companies.

The market values of the Core Fixed Income, U.S. 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.

11. RECENT ACCOUNTING PRONOUNCEMENT

In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective Control of Repurchase Agreements” ASU 2011-03 is an amendment to Topic 860 “Transfers and Servicing”. These amendments simplify the accounting for repurchase agreements by eliminating the requirement that the transferor demonstrate it has adequate collateral to fund substantially all the cost of purchasing replacement assets. As a result, more arrangements could be accounted for as secured borrowings rather than sales. The guidance applies to public and nonpublic companies and is effective for interim and annual reporting periods beginning on or after December 15, 2011. The guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or after the effective date. Early adoption is not allowed. At this time, management is evaluating the implications of ASU 2011-03 and its impact on the financial statements.

12. SUBSEQUENT EVENTS

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events. Based on this evaluation, no disclosures and/or adjustments were required to the Financial Statements.

184 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders
SEI Institutional Managed Trust:

We have audited the accompanying statements of assets and liabilities of the SEI Institutional Managed Trust, comprising the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund (formerly, Tax-Managed Small Cap 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, U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund, and Multi-Strategy Alternative Fund (twenty of the funds constituting the SEI Institutional Managed Trust, collectively, the “Funds”), including the schedules of investments or summary schedules of investments, as applicable, as of September 30, 2011, and the related statements of operations for the year 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 five-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.

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, 2011, by correspondence with the 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, 2011, the results of their operations for the year 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 five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Philadelphia, Pennsylvania

November 29, 2011

SEI Institutional Managed Trust / Annual Report / September 30, 2011 185

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)

The following chart lists Trustees and Officers as of September 30, 2011.

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.

Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
INTERESTED TRUSTEES
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 65 yrs. old	Chairman of the Board of Trustees*	since 1982	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	85	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments — Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Structured Credit Fund, L.P.
William M. Doran One Freedom Valley Drive Oaks, PA 19456 71 yrs. old	Trustee*	since 1982	Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the Administrator and the Distributor. Secretary of SEI since 1978.	85	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI since 1974. Director of the Distributor since 2003. Director of Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), SEI Global Nominee Ltd., Limited and SEI Asset Korea Co., Ltd.
TRUSTEES
George J. Sullivan, Jr. One Freedom Valley Drive Oaks, PA 19456 68 yrs. old	Trustee	since 1996	Self-Employed Consultant, Newfound Consultants Inc. since April 1997.	85	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, State Street Navigator Securities Lending Trust, and SEI Structured Credit Fund, L.P., member of the independent review committee for SEI’s Canadian-registered mutual funds.

* 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, SEI Alpha Strategy Portfolios, L.P., and Adviser Managed Trust.

186 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
TRUSTEES (continued)
Rosemarie B. Greco One Freedom Valley Drive Oaks, PA 19456 65 yrs. old	Trustee	since 1999	Director, Governor’s Office of Health Care Reform, Commonwealth of Pennsylvania since 2003.	85	Director, Sunoco, Inc.; Director, Excelon Corporation; Trustee, Pennsylvania Real Estate Investment Trust.
Nina Lesavoy One Freedom Valley Drive Oaks, PA 19456 54 yrs. old	Trustee	since 2003	Founder and Managing Director, Avec Capital since 2008. Managing Director, Cue Capital from March 2002-March 2008.	85	Director of SEI Structured Credit Fund, L.P.
James M. Williams One Freedom Valley Drive Oaks, PA 19456 63 yrs. Old	Trustee	since 2004	Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002.	85	Trustee/Director of Ariel Mutual Funds, and SEI Structured Credit Fund, L.P.
Mitchell A. Johnson One Freedom Valley Drive Oaks, PA 19456 69 yrs. old	Trustee	since 2007	Private Investor since 1994.	85	Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds
Hubert L. Harris, Jr. One Freedom Valley Drive Oaks, PA 19456 68 yrs. old	Trustee	since 2008	Retired since December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003-December 2005.	85	Director of Colonial BancGroup, Inc. and St. Joseph’s Translational Research Institute; Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation); Board of Councilors of the Carter Center.
OFFICERS
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 65 yrs. old	President & CEO	since 2005	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	N/A	N/A
Peter A. Rodriguez One Freedom Valley Drive Oaks, PA 19456 49 yrs. old	Controller and Chief Financial Officer	since 2011	Director, Fund Accounting, Global Fund Services (March 2011, September 2002 to March 2005 and 1997-2002); Director, Mutual Fund Trading, SEI Private Trust Company (May 2009 to February 2011); Director, Asset Data Services, Global Wealth Services (June 2006 to April 2009); Director, Portfolio Accounting, SEI Investments Global Fund Services (March 2005 to June 2006)	N/A	N/A
Russell Emery One Freedom Valley Drive Oaks, PA 19456 48 yrs. old	Chief Compliance Officer	since 2006	Chief Compliance Officer of SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds, since March 2006. Chief Compliance Officer of SEI Structured Credit Fund, LP and SEI Alpha Strategy Portfolios, LP since June 2007. Chief Compliance Officer of Adviser Managed Trust since 2010.	N/A	N/A

SEI Institutional Managed Trust / Annual Report / September 30, 2011 187

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)

Name Address, and Age	Position(s) Held with Trusts	Term of Office and Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
OFFICERS (continued)
Timothy D. Barto One Freedom Valley Drive Oaks, PA 19456 43 yrs. old	Vice President and Secretary	since 2002	General Counsel, Vice President and Secretary of SIMC and the Administrator since 2004. Vice President and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999.	N/A	N/A
James Ndiaye One Freedom Valley Drive Oaks, PA 19456 43 yrs. old	Vice President and Assistant Secretary	since 2005	Vice President and Assistant Secretary of SIMC since 2005.	N/A	N/A
Aaron Buser One Freedom Valley Drive Oaks, PA 19456 40 yrs. old	Vice President and Assistant Secretary	since 2008	Vice President and Assistant Secretary of SIMC since 2007. Associate at Stark & Stark (2004-2007).	N/A	N/A
David F. McCann One Freedom Valley Drive Oaks, PA 19456 35 yrs. old	Vice President and Assistant Secretary	since 2009	Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005-October 2008.	N/A	N/A
John J. McCue One Freedom Valley Drive Oaks, PA 19456 48 yrs. old	Vice President	since 2004	Director of Portfolio Implementation for SIMC since 1995. Managing Director of Money Market Investments for SIMC since 2003.	N/A	N/A
Keri E. Rohn One Freedom Valley Drive Oaks, PA 19456 31 yrs. old	Privacy Officer and Anti-Money Laundering Compliance Officer	since 2009	Compliance Officer of SEI Investments Company, June 2003-present.	N/A	N/A

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, SEI Alpha Strategy Portfolios, L.P. and Adviser Managed Trust.

188 SEI Institutional Managed Trust / Annual Report / September 30, 2011

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.

	Beginning Account Value 04/01/11		Ending Account Value 09/30/11		Annualized Expense Ratios			Expense Paid During Period*
Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	846.00		0.89	%	$	4.13
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.60		0.89	%	$	4.52
Large Cap Value Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	824.60		0.89	%	$	4.08
Class I Shares	$	1,000.00	$	823.50		1.11	%	$	5.08
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.60		0.89	%	$	4.52
Class I Shares	$	1,000.00	$	1,019.50		1.11	%	$	5.63
Large Cap Growth Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	862.90		0.89	%	$	4.17
Class I Shares	$	1,000.00	$	861.80		1.11	%	$	5.19
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.60		0.89	%	$	4.52
Class I Shares	$	1,000.00	$	1,019.50		1.11	%	$	5.63

	Beginning Account Value 04/01/11		Ending Account Value 09/30/11		Annualized Expense Ratios			Expense Paid During Period*
Tax-Managed Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	844.80		0.89	%	$	4.12
Class Y Shares	$	1,000.00	$	846.90		0.56	%	$	2.61
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.60		0.89	%	$	4.52
Class Y Shares	$	1,000.00	$	1,022.25		0.56	%	$	2.85
S&P 500 Index Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	860.30		0.43	%	$	2.01
Class E Shares	$	1,000.00	$	860.90		0.25	%	$	1.18
Class I Shares	$	1,000.00	$	859.30		0.65	%	$	3.04
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.90		0.43	%	$	2.19
Class E Shares	$	1,000.00	$	1,023.80		0.25	%	$	1.28
Class I Shares	$	1,000.00	$	1,021.80		0.65	%	$	3.30
Small Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	753.60		1.14	%	$	5.02
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.34		1.14	%	$	5.78

SEI Institutional Managed Trust / Annual Report / September 30, 2011 189

Disclosure of Fund Expenses (Unaudited) (Concluded)

	Beginning Account Value 04/01/11		Ending Account Value 09/30/11		Annualized Expense Ratios			Expense Paid During Period*
Small Cap Value Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	771.10		1.14	%	$	5.07
Class I Shares	$	1,000.00	$	769.90		1.36	%	$	6.04
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.34		1.14	%	$	5.78
Class I Shares	$	1,000.00	$	1,018.24		1.36	%	$	6.89
Small Cap Growth Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	760.60		1.11	%	$	4.91
Class I Shares	$	1,000.00	$	758.90		1.36	%	$	6.00
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.49		1.11	%	$	5.63
Class I Shares	$	1,000.00	$	1,018.24		1.36	%	$	6.89
Tax-Managed Small/Mid Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	784.90		1.11	%	$	4.98
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.49		1.11	%	$	5.63
Mid-Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	783.80		1.02	%	$	4.57
Class I Shares	$	1,000.00	$	782.90		1.26	%	$	5.65
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.94		1.02	%	$	5.18
Class I Shares	$	1,000.00	$	1,018.73		1.26	%	$	6.40
U.S. Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	936.90		1.00	%	$	4.86
Class I Shares	$	1,000.00	$	935.50		1.25	%	$	6.08
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.05		1.00	%	$	5.07
Class I Shares	$	1,000.00	$	1,018.79		1.25	%	$	6.34
Global Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	978.20		1.11	%	$	5.51
Class I Shares	$	1,000.00	$	976.90		1.36	%	$	6.74
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.49		1.11	%	$	5.63
Class I Shares	$	1,000.00	$	1,018.25		1.36	%	$	6.88
Tax-Managed Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	942.30		1.00	%	$	4.88
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.05		1.00	%	$	5.07

	Beginning Account Value 04/01/11		Ending Account Value 09/30/11		Annualized Expense Ratios			Expense Paid During Period*
Real Estate Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	880.80		1.14	%	$	5.38
Class I Shares	$	1,000.00	$	879.80		1.36	%	$	6.42
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.34		1.14	%	$	5.78
Class I Shares	$	1,000.00	$	1,018.24		1.36	%	$	6.89
Enhanced Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	982.10		0.60	%	$	2.99
Class I Shares	$	1,000.00	$	981.50		0.85	%	$	4.23
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.05		0.60	%	$	3.05
Class I Shares	$	1,000.00	$	1,020.80		0.85	%	$	4.31
Core Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,044.90		0.67	%	$	3.45
Class I Shares	$	1,000.00	$	1,043.80		0.89	%	$	4.57
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.70		0.67	%	$	3.41
Class I Shares	$	1,000.00	$	1,020.60		0.89	%	$	4.52
U.S. Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,056.00		0.66	%	$	3.41
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.75		0.66	%	$	3.35
High Yield Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	948.60		0.89	%	$	4.36
Class I Shares	$	1,000.00	$	935.60		1.11	%	$	5.38
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.59		0.89	%	$	4.52
Class I Shares	$	1,000.00	$	1,019.51		1.11	%	$	5.62
Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,014.80		0.45	%	$	2.28
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.80		0.45	%	$	2.29
Multi-Strategy Alternative Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	956.00		0.50	%	$	2.46
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.55		0.50	%	$	2.55

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown).

190 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Board of Trustee 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 (each, a “Sub-Adviser” and collectively, 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 are also 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 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(s). In connection with their consideration of such approval(s), 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 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 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 from third parties. This information is provided 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, during the course of the Trust’s fiscal year the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) 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; (vi) the Funds’ overall fees and operating expenses compared with similar mutual funds; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance systems; (ix) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (x) SIMC’s and the Sub-Advisers’ reputation, expertise and resources in domestic and/or international financial markets; and (xi) the Funds’ performance compared with similar mutual funds.

At the June 21-22, 2011 and September 13-14, 2011 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Sub-Advisory Agreements and approved the selection of 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 Sub-Advisory Agreements, including the resources of the Sub-Advisers and their affiliates dedicated to the Funds;

SEI Institutional Managed Trust / Annual Report / September 30, 2011 191

Board of Trustee Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (continued)

• the Funds’ investment performance and how it compared to that of other comparable mutual funds;

• the Funds’ expenses under each Sub-Advisory Agreement and how those expenses compared to those of other comparable mutual funds;

• the profitability of the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to 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 Sub-Advisory Agreements reflect those economies of scale for the benefit of Fund investors.

Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by the Sub-Advisers to the Funds and the resources of the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, each Sub-Advisers’ personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by the Sub-Advisers to the Funds and the resources of the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Sub-Advisory Agreements.

Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Sub-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 Sub-Advisory Agreements.

Fund Expenses. With respect to the Funds’ expenses under the Sub-Advisory Agreements, the Trustees considered the rate of compensation called for by the Sub-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 the Sub-Advisers’ fees to prevent total Fund expenses from exceeding a specified cap and concluded that the Funds’ various service providers, 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 Sub-Advisory Agreements.

Profitability. With regard to profitability, the Trustees considered all compensation flowing to the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Sub-Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by 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 the Sub-Advisers is reasonable and supported renewal of the Sub-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.

192 SEI Institutional Managed Trust / Annual Report / September 30, 2011

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 Sub-Advisory Agreements and concluded that the compensation under the Sub-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, 2011 193

Notice to Shareholders (Unaudited)

For shareholders who do not have a September 30, 2011, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2011, taxable year end, please consult your tax adviser as to the pertinence of this notice.

For the fiscal year ended September 30, 2011, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:

Fund	(A) Long-Term Capital Gain Distribution			(B) Ordinary Income Distributions (Tax Basis)			Return of Capital			Total Distributions (Tax Basis)			(C) Dividends Qualifying for Corporate Dividends  Rec. Deduction (1)
Large Cap Fund		11	%		89	%		0	%		100	%		46	%
Large Cap Value Fund		0	%		100	%		0	%		100	%		100	%
Large Cap Growth Fund		0	%		100	%		0	%		100	%		100	%
Tax-Managed Large Cap Fund		0	%		100	%		0	%		100	%		100	%
S&P 500 Index Fund		0	%		100	%		0	%		100	%		92	%
Small Cap Fund		13	%		87	%		0	%		100	%		14	%
Small Cap Value Fund		0	%		100	%		0	%		100	%		92	%
Small Cap Growth Fund		0	%		0	%		0	%		0	%		0	%
Tax-Managed Small/Mid Cap Fund		0	%		100	%		0	%		100	%		100	%
Mid-Cap Fund		0	%		100	%		0	%		100	%		100	%
U.S. Managed Volatility Fund		0	%		100	%		0	%		100	%		100	%
Global Managed Volatility Fund		0	%		0	%		0	%		0	%		0	%
Tax-Managed Managed Volatility		0	%		100	%		0	%		100	%		100	%
Real Estate Fund(6)		0	%		100	%		0	%		100	%		0	%
Enhanced Income Fund		0	%		100	%		0	%		100	%		0	%
Core Fixed Income Fund		0	%		100	%		0	%		100	%		0	%
U.S. Fixed Income Fund		7	%		93	%		0	%		100	%		0	%
High Yield Bond Fund		0	%		100	%		0	%		100	%		0	%
Real Return Fund		1	%		99	%		0	%		100	%		0	%
Multi-Strategy Alternative Fund		0	%		100	%		0	%		100	%		31	%

Fund	(D) Qualifying Dividend Income (15% Tax Rate for QDI) (2)			(E) U.S. Government Interest (3)			Interest Related Dividends (4)			Short-Term Capital Gain Dividends (5)
Large Cap Fund		46	%		1	%		1	%		100	%
Large Cap Value Fund		100	%		1	%		1	%		0	%
Large Cap Growth Fund		100	%		1	%		1	%		0	%
Tax-Managed Large Cap Fund		100	%		1	%		1	%		0	%
S&P 500 Index Fund		91	%		1	%		1	%		0	%
Small Cap Fund		12	%		1	%		1	%		100	%
Small Cap Value Fund		96	%		1	%		1	%		0	%
Small Cap Growth Fund		0	%		0	%		0	%		0	%
Tax-Managed Small/Mid Cap Fund		100	%		1	%		1	%		0	%
Mid-Cap Fund		100	%		1	%		1	%		0	%
U.S. Managed Volatility Fund		100	%		1	%		1	%		0	%
Global Managed Volatility Fund		0	%		0	%		0	%		0	%
Tax-Managed Managed Volatility		100	%		1	%		1	%		0	%
Real Estate Fund(6)		0	%		0	%		0	%		0	%
Enhanced Income Fund		0	%		5	%		100	%		0	%
Core Fixed Income Fund		0	%		9	%		86	%		0	%
U.S. Fixed Income Fund		0	%		8	%		60	%		100	%
High Yield Bond Fund		0	%		0	%		95	%		0	%
Real Return Fund		0	%		88	%		1	%		100	%
Multi-Strategy Alternative Fund		73	%		3	%		2	%		0	%

(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” 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, 2010 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.

194 SEI Institutional Managed Trust / Annual Report / September 30, 2011

SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2011

Robert A. Nesher, Chairman

Trustees

William M. Doran

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

Peter A. Rodriguez

Controller and Chief Financial Officer

Russell Emery

Chief Compliance Officer

Timothy D. Barto

Vice President, Secretary

James Ndiaye

Vice President, Assistant Secretary

Aaron Buser

Vice President, Assistant Secretary

David F. McCann

Vice President, Assistant Secretary

John J. McCue

Vice President

Keri E. Rohn

Anti-Money Laundering Compliance Officer

Privacy 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 Investments Distribution Co.

Oaks, PA 19456    1.800.DIAL.SEI (1.800.342.5734)

SEI-F-087 (9/11)

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 experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Messrs. Sullivan and Harris are independent trustees 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 2011 and for fiscal year 2010 as follows:

		Fiscal Year 2011					Fiscal Year 2010
		All fees and services to the Registrant that were pre- approved		All fees and services to service affiliates that were pre- approved		All other fees and services to service affiliates that did not require pre-approval	All fees and services to the Registrant that were pre- approved		All fees and services to service affiliates that were pre- approved			All other fees and services to service affiliates that did not require pre-approval
(a)	Audit Fees (1)	$	545,000	$	0	N/A	$	513,500	$	0		N/A
(b)	Audit-Related Fees	$	25,000	$	0	N/A	$	0	$	0		N/A
(c)	Tax Fees	$	0	$	0	N/A	$	0	$	139,500	(2)	N/A
(d)	All Other Fees (2)	$	0	$	234,500	N/A	$	0	$	229,500		N/A

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) See section (g)(1).

(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 experts, 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 2011			FYE 2010
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 2011 and fiscal year 2010 were $234,500 and $369,000, respectively. Non-audit fees consist of SAS No. 70 / SSAE No. 16 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 compliance and consulting services.

(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

The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund and Tax-Managed Managed Volatility Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund and Multi-Strategy Alternative Fund is included as part of the report to shareholders filed under Item 1 of this form.

Schedule of Investments

Large Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 96.8%
Consumer Discretionary — 14.6%
Abercrombie & Fitch, Cl A		24,315	$	1,497
Amazon.com*		23,207		5,018
American Axle & Manufacturing Holdings* (A)		52,600		401
American Eagle Outfitters		94,400		1,106
Apollo Group, Cl A*		192,000		7,605
Autoliv (A)		13,600		660
Autozone*		3,600		1,149
Bayerische Motoren Werke		56,560		3,791
Bed Bath & Beyond*		129,744		7,436
Best Buy (A)		96,100		2,239
Big Lots*		27,800		968
BorgWarner*		12,668		767
Career Education* (A)		48,029		627
Carnival		2,700		82
CBS, Cl B		533,840		10,880
Coach		327,548		16,977
Comcast, Cl A		95,300		1,992
Ctrip.com International ADR* (A)		92,900		2,988
Darden Restaurants		15,100		645
DIRECTV, Cl A*		143,070		6,045
Discovery Communications, Cl A*		55,060		2,071
DISH Network, Cl A*		69,800		1,749
Foot Locker		77,000		1,547
Ford Motor*		252,400		2,441
Fossil*		68,628		5,563
GameStop, Cl A* (A)		45,800		1,058
Gannett (A)		59,800		570
Gap		80,200		1,302
Goodyear Tire & Rubber *		203,500		2,053
Guess?		14,900		425
Harley-Davidson		251,784		8,644
Harman International Industries		17,600		503
ITT Educational Services* (A)		34,400		1,980
Johnson Controls		301,991		7,963
Kohl’s		130,701		6,418
Las Vegas Sands*		83,359		3,196
Limited Brands		21,600		832
Lowe’s		672,602		13,008
Macy’s		338,790		8,917
McDonald’s		98,831		8,679
MGM Mirage* (A)		24,500		228
News, Cl A		72,600		1,123
Nike, Cl B		130,957		11,198
Nordstrom		148,801		6,797
Omnicom Group		14,300		527
Pool (A)		7,427		194
priceline.com* (A)		14,125		6,349
RadioShack (A)		39,200		456
Service International		50,857		466
Staples		268,300		3,568
Starbucks		65,800		2,454
Starwood Hotels & Resorts Worldwide		61,845		2,401
Target		228,949		11,228

Description	Shares		Market Value ($ Thousands)
Time Warner		140,443	$	4,209
Time Warner Cable, Cl A		130,770		8,195
TJX		27,600		1,531
TRW Automotive Holdings*		15,300		501
Tupperware Brands		4,200		226
VF (A)		20,004		2,431
Viacom, Cl B		24,400		945
Walt Disney		46,100		1,390
Warnaco Group*		8,400		387
Washington Post, Cl B		1,500		491
Whirlpool (A)		21,700		1,083
Wyndham Worldwide		3,100		88
Wynn Resorts		1,400		161
Yum! Brands		35,261		1,741
				222,160
Consumer Staples — 9.6%
Altria Group		78,900		2,115
Anheuser-Busch InBev ADR		81,752		4,331
Archer-Daniels-Midland		37,800		938
Bunge (A)		10,400		606
Casey’s General Stores (A)		1,300		57
Clorox		3,000		199
Coca-Cola		185,650		12,543
Coca-Cola Enterprises		39,000		970
ConAgra Foods		83,200		2,015
Constellation Brands, Cl A*		9,200		166
Corn Products International		21,300		836
Costco Wholesale		208,310		17,106
CVS Caremark		162,500		5,457
Dr Pepper Snapple Group		25,900		1,004
Estee Lauder, Cl A		54,679		4,803
Herbalife		41,300		2,214
Kimberly-Clark		61,488		4,367
Kraft Foods, Cl A		22,900		769
Kroger		305,446		6,708
Lorillard		24,886		2,755
Mead Johnson Nutrition, Cl A		196,120		13,499
PepsiCo		74,086		4,586
Philip Morris International		141,380		8,819
Procter & Gamble		294,401		18,600
Reynolds American		25,500		956
Safeway (A)		131,800		2,192
Smithfield Foods*		91,500		1,784
Tyson Foods, Cl A		169,889		2,949
Walgreen		251,100		8,259
Wal-Mart Stores		143,766		7,461
Whole Foods Market (A)		96,900		6,328
				145,392
Energy — 9.3%
Apache		25,100		2,014
Atwood Oceanics* (A)		18,400		632
Baker Hughes		5,619		259
BG Group ADR (A)		14,685		1,401
Canadian Natural Resources		219,518		6,425
Chesapeake Energy (A)		23,900		611
Chevron		256,600		23,741
Cimarex Energy		4,800		267
ConocoPhillips		336,320		21,296
Core Laboratories		43,637		3,920
CVR Energy*		50,900		1,076
Devon Energy		41,600		2,306

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
EOG Resources		99,313	$	7,052
Exxon Mobil		248,400		18,041
FMC Technologies* (A)		165,798		6,234
Halliburton		129,370		3,948
Helix Energy Solutions Group*		20,200		265
Hess		64,300		3,373
Marathon Oil		180,000		3,885
Marathon Petroleum		62,350		1,687
McDermott International*		41,500		447
Murphy Oil		59,600		2,632
National Oilwell Varco		63,280		3,241
Noble		16,100		473
Noble Energy		38,900		2,754
Occidental Petroleum		38,500		2,753
Patterson-UTI Energy		47,300		820
Range Resources (A)		24,142		1,411
Schlumberger		156,008		9,318
SEACOR Holdings		5,900		473
Tesoro* (A)		102,200		1,990
Transocean (A)		7,700		368
Valero Energy		291,000		5,174
W&T Offshore (A)		36,607		504
Williams		7,200		175
				140,966
Financials — 11.9%
ACE		70,400		4,266
Aflac		44,400		1,552
Alexandria Real Estate Equities †		1,000		61
Allstate		59,700		1,414
American Express		25,700		1,154
American Financial Group		51,847		1,611
Ameriprise Financial		76,600		3,015
Annaly Capital Management † (A)		51,600		858
Assurant		87,500		3,132
Astoria Financial		7,700		59
AvalonBay Communities † (A)		1,500		171
Bank of America		436,500		2,672
Bank of New York Mellon		108,800		2,022
Berkshire Hathaway, Cl B*		75,900		5,392
BlackRock		3,700		548
Boston Properties †		2,400		214
Brandywine Realty Trust †		67,500		541
Camden Property Trust †		1,200		66
Capital One Financial (A)		209,030		8,284
CBL & Associates Properties † (A)		59,300		674
Charles Schwab (A)		383,306		4,320
Chubb		103,400		6,203
Citigroup		423,900		10,860
CME Group		25,037		6,169
CNA Financial		25,700		577
Comerica		81,957		1,883
Commerce Bancshares		41,000		1,425
CommonWealth †		17,600		334
Digital Realty Trust †		1,700		94
Discover Financial Services		261,900		6,008
Endurance Specialty Holdings		14,700		502
Equity Residential †		5,000		259
Essex Property Trust †		500		60

Description	Shares		Market Value ($ Thousands)
Everest Re Group		8,500	$	675
Federal Realty Investment Trust †		1,000		83
Fifth Third Bancorp		317,700		3,209
Franklin Resources		12,700		1,214
Fulton Financial		9,600		73
Goldman Sachs Group		17,300		1,636
Hartford Financial Services Group		155,800		2,515
HCC Insurance Holdings		1,500		41
HCP †		6,500		228
Health Care † (A)		2,900		136
Hospitality Properties Trust †		89,900		1,909
Host Hotels & Resorts †		11,300		124
Huntington Bancshares		647,600		3,108
IntercontinentalExchange* (A)		48,750		5,765
Jones Lang LaSalle		14,500		751
JPMorgan Chase		711,160		21,420
Keycorp		783,400		4,646
Kimco Realty †		6,400		96
Liberty Property Trust †		1,800		52
Lincoln National		155,100		2,424
Loews		20,500		708
Macerich †		2,200		94
MetLife		37,500		1,050
MFA Financial †		108,000		758
Moody’s (A)		31,600		962
Morgan Stanley		58,200		786
Plum Creek Timber † (A)		2,600		90
PNC Financial Services Group		154,000		7,421
Popular*		778,800		1,168
ProAssurance		16,700		1,203
ProLogis †		6,700		163
Protective Life		25,800		403
Prudential Financial		77,400		3,627
Public Storage †		2,400		267
Rayonier †		2,100		77
Reinsurance Group of America, Cl A		16,800		772
Senior Housing Properties Trust †		28,600		616
Simon Property Group †		4,800		528
SL Green Realty †		1,400		81
State Street		58,800		1,891
Torchmark		38,550		1,344
Travelers		131,400		6,403
UDR †		3,200		71
Unum Group (A)		180,000		3,773
US Bancorp		151,200		3,559
Validus Holdings		23,900		596
Ventas †		4,251		210
Vornado Realty Trust †		3,100		231
Wells Fargo		624,400		15,061
Weyerhaeuser †		8,900		138
				180,556
Health Care — 12.3%
Abbott Laboratories		75,200		3,846
Aetna		132,100		4,802
Allergan		170,566		14,051
AmerisourceBergen (A)		69,500		2,590
Amgen		253,518		13,931

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Biogen Idec*		6,900	$	643
Bristol-Myers Squibb		23,700		744
Cardinal Health		40,900		1,713
Celgene*		107,877		6,680
Chemed		3,470		191
Cigna		31,500		1,321
Community Health Systems*		10,500		175
Covance* (A)		142,688		6,485
Coventry Health Care*		5,700		164
Covidien		92,249		4,068
DaVita*		70,631		4,427
Eli Lilly		97,700		3,612
Endo Pharmaceuticals Holdings*		31,100		871
Express Scripts*		223,883		8,299
Forest Laboratories*		44,100		1,358
Gilead Sciences*		89,800		3,484
Health Net*		100,100		2,373
Hill-Rom Holdings		6,500		195
Humana		60,100		4,371
Idexx Laboratories* (A)		72,378		4,992
Illumina* (A)		66,141		2,706
Intuitive Surgical*		19,818		7,219
Johnson & Johnson (A)		256,840		16,363
McKesson		29,200		2,123
Medco Health Solutions*		37,200		1,744
Medicis Pharmaceutical, Cl A		5,400		197
Medtronic		36,200		1,203
Merck		382,800		12,521
Mylan Laboratories*		20,900		355
Novo Nordisk ADR		38,350		3,817
Omnicare (A)		55,200		1,404
PDL BioPharma (A)		120,700		670
Perrigo		38,200		3,710
Pfizer		989,500		17,494
UnitedHealth Group		204,771		9,444
Waters*		36,902		2,786
WellPoint		121,800		7,951
Zimmer Holdings*		13,600		728
				187,821
Industrials — 8.5%
3M		20,606		1,479
ABB ADR		211,155		3,607
AGCO*		25,500		882
Alaska Air Group*		12,800		721
Alliant Techsystems (A)		3,949		215
Avery Dennison		36,100		906
Boeing		16,000		968
Briggs & Stratton		11,651		157
Caterpillar		31,100		2,296
Con-way		7,500		166
CSX		79,900		1,492
Cummins		29,980		2,448
Danaher		144,112		6,044
Eaton		17,700		628
EMCOR Group		23,800		484
Expeditors International of Washington		88,000		3,568
FedEx		22,000		1,489
Fluor		151,892		7,071
Foster Wheeler*		47,300		841

Description	Shares		Market Value ($ Thousands)
Gardner Denver		17,500	$	1,112
General Dynamics		51,100		2,907
General Electric		885,200		13,491
Granite Construction		7,300		137
Harsco		26,300		510
HNI (A)		5,500		105
Honeywell International		73,760		3,239
Huntington Ingalls Industries* (A)		5,416		132
ITT		23,300		979
KBR		138,300		3,268
L-3 Communications Holdings		48,200		2,987
Lockheed Martin (A)		61,200		4,445
Norfolk Southern		19,000		1,159
Northrop Grumman (A)		101,300		5,284
Owens Corning*		8,500		184
Parker Hannifin		48,410		3,056
Precision Castparts		82,728		12,861
Raytheon		106,237		4,342
Republic Services		58,724		1,648
Roper Industries		80,296		5,533
RR Donnelley & Sons		57,000		805
Ryder System		25,600		960
Simpson Manufacturing		6,200		155
Stericycle*		89,460		7,221
Thomas & Betts*		11,600		463
Timken		59,100		1,940
Tyco International		83,576		3,406
Union Pacific		74,820		6,111
United Continental Holdings* (A)		28,300		548
United Technologies		35,412		2,492
URS*		42,290		1,254
US Airways Group* (A)		63,900		351
Waste Management (A)		21,500		700
				129,247
Information Technology — 22.3%
Accenture, Cl A (A)		127,030		6,692
Activision Blizzard		206,100		2,453
Adobe Systems*		438,183		10,591
Altera		43,380		1,368
Amdocs*		23,500		637
Amphenol, Cl A		118,789		4,843
Ansys*		104,142		5,107
Apple*		129,445		49,342
Applied Materials		77,300		800
Autodesk*		237,584		6,600
Avnet*		17,500		456
Broadcom, Cl A		129,410		4,308
CA		49,700		965
Cisco Systems		628,700		9,739
Citrix Systems*		136,133		7,424
Cognizant Technology Solutions, Cl A*		94,082		5,899
Computer Sciences		39,300		1,055
Convergys*		32,000		300
Corning		101,200		1,251
Dell*		165,900		2,348
DST Systems		14,217		623
EMC*		404,986		8,501

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Fidelity National Information Services		33,000	$	803
Genpact*		261,390		3,761
Google, Cl A*		54,877		28,228
Harris (A)		26,600		909
Hewlett-Packard		178,100		3,998
Ingram Micro, Cl A*		37,800		610
Intel		1,093,099		23,316
International Business Machines		52,226		9,141
Intuit		155,570		7,380
Juniper Networks*		211,496		3,650
Kla-Tencor (A)		31,100		1,190
Lam Research*		16,900		642
Lexmark International, Cl A*		18,500		500
LSI Logic*		187,600		972
Marvell Technology Group*		16,700		243
Mastercard, Cl A		57,183		18,136
Microchip Technology (A)		117,660		3,660
Micron Technology* (A)		152,000		766
Microsoft		509,406		12,679
Molex (A)		5,000		102
Motorola Solutions		39,400		1,651
National Instruments		204,370		4,672
NetApp*		202,429		6,870
Oracle		641,475		18,436
Polycom*		109,400		2,010
Qualcomm		462,194		22,476
SAIC* (A)		61,500		726
Salesforce.com* (A)		37,086		4,238
SanDisk*		18,200		734
Seagate Technology		34,100		351
Symantec*		139,400		2,272
TE Connectivity		33,800		951
Tech Data*		19,800		856
Teradata*		85,700		4,588
VeriFone Holdings*		21,835		765
VeriSign (A)		173,300		4,958
Visa, Cl A		95,400		8,178
Vishay Intertechnology*		38,100		318
Western Digital*		86,200		2,217
Xerox		140,500		979
				340,234
Materials — 2.3%
Agrium		16,200		1,080
Air Products & Chemicals		24,060		1,837
Allegheny Technologies		7,410		274
Ashland		14,400		636
Ball		18,000		558
Cabot		22,900		567
CF Industries Holdings		3,400		420
Cliffs Natural Resources		16,400		839
Commercial Metals		17,200		164
Dow Chemical		108,400		2,435
Eastman Chemical		42,900		2,940
Freeport-McMoRan Copper & Gold, Cl B		148,800		4,531
Huntsman		117,500		1,136
International Paper		68,700		1,597
Monsanto		102,059		6,128
Newmont Mining		6,900		434

Description	Shares		Market Value ($ Thousands)
Nucor (A)		10,600	$	335
PPG Industries		1,600		113
Praxair		16,800		1,570
Rock-Tenn, Cl A		12,600		614
Sealed Air		19,100		319
Sigma-Aldrich		23,629		1,460
Steel Dynamics		111,800		1,109
Syngenta ADR		75,300		3,906
Westlake Chemical (A)		4,300		147
Worthington Industries		5,700		80
				35,229
Telecommunication Services — 3.5%
American Tower, Cl A*		127,471		6,858
AT&T		719,380		20,517
Crown Castle International* (A)		163,000		6,629
NII Holdings*		16,300		439
Telephone & Data Systems (A)		30,000		638
Verizon Communications		477,911		17,587
				52,668
Utilities — 2.6%
AES*		117,200		1,144
Alliant Energy		63,700		2,464
Ameren		82,100		2,444
American Electric Power		200,146		7,609
Atmos Energy		21,600		701
Consolidated Edison		14,900		850
Constellation Energy Group		60,800		2,314
DTE Energy		20,500		1,005
Edison International		62,500		2,391
Entergy		93,700		6,211
Exelon		79,600		3,392
FirstEnergy		1,800		81
NV Energy		68,200		1,003
Public Service Enterprise Group		114,700		3,827
Sempra Energy		78,000		4,017
				39,453
Total Common Stock (Cost $1,545,888) ($ Thousands)				1,473,726
AFFILIATED PARTNERSHIP — 7.0%
SEI Liquidity Fund, L.P. 0.
130%**†† (B)		105,803,821		105,804
Total Affiliated Partnership (Cost $105,804) ($ Thousands)				105,804
CASH EQUIVALENTS — 2.8%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		41,118,451		41,118
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010%		1,338,185		1,338
Total Cash Equivalents (Cost $42,456) ($ Thousands)				42,456

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Fund

September 30, 2011

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATION (C)(D) — 0.3%
U.S. Treasury Bills
0.062%, 12/15/11	$	5,132	$	5,132
Total U.S. Treasury Obligation (Cost $5,132) ($ Thousands)				5,132
Total Investments — 106.9% (Cost $1,699,280) ($ Thousands)			$	1,627,118

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index
E-MINI		422		Dec-2011	$	(864	)
S&P Mid 400 Index
E-MINI		48		Dec-2011		(258	)
					$	(1,122	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,521,942 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

(A) This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $100,274 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2011 was $105,804 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

(D) The rate reported is the effective yield at the time of purchase.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

5 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Fund

September 30, 2011

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,473,726	$	—	$	—	$	1,473,726
Affiliated Partnership		—		105,804		—		105,804
Cash Equivalents		41,118		1,338		—		42,456
U.S. Treasury Obligation		—		5,132		—		5,132
Total Investments in Securities	$	1,514,844	$	112,274	$	—	$	1,627,118

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(1,122	)	$	—	$	—	$	(1,122	)
Total Other Financial Instruments	$	(1,122	)	$	—	$	—	$	(1,122	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

6 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Value Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.6%
Consumer Discretionary — 8.3%
American Eagle Outfitters		119,900	$	1,405
Apollo Group, Cl A*		57,100		2,262
Autoliv (A)		23,600		1,145
Bed Bath & Beyond*		35,000		2,006
Best Buy (A)		29,200		680
CBS, Cl B		274,900		5,602
Coach		64,500		3,343
Comcast, Cl A (A)		261,300		5,432
Dillard’s, Cl A		24,100		1,048
DIRECTV, Cl A*		86,200		3,642
Ford Motor*		492,800		4,765
GameStop, Cl A* (A)		51,200		1,183
Gannett		108,900		1,038
Gap (A)		68,100		1,106
Goodyear Tire & Rubber*		264,100		2,665
Home Depot		92,300		3,034
International Game Technology		94,000		1,366
ITT Educational Services* (A)		26,300		1,514
Kohl’s		106,900		5,249
Lear		29,500		1,265
Lowe’s		235,900		4,562
Macy’s		169,500		4,461
Mattel		66,600		1,724
McGraw-Hill (A)		106,950		4,385
Newell Rubbermaid		491,885		5,839
RadioShack (A)		71,700		833
Staples (A)		240,900		3,204
Target		72,400		3,550
Time Warner (A)		209,100		6,267
Time Warner Cable, Cl A		56,900		3,566
TJX		63,955		3,548
Viacom, Cl B		101,600		3,936
Walt Disney		128,400		3,873
Whirlpool (A)		20,300		1,013
				100,511
Consumer Staples — 8.8%
Altria Group		66,800		1,791
Archer-Daniels-Midland		98,000		2,431
Campbell Soup (A)		156,100		5,053
Coca-Cola		85,350		5,766
Coca-Cola Enterprises		57,700		1,435
Colgate-Palmolive		55,050		4,882
Corn Products International		32,200		1,264
CVS Caremark		337,200		11,323
Energizer Holdings*		29,500		1,960
General Mills		37,400		1,439
Herbalife		60,000		3,216
Kraft Foods, Cl A		119,850		4,025
Kroger		225,200		4,945
Molson Coors Brewing, Cl B (A)		44,600		1,767
Philip Morris International		39,100		2,439
Procter & Gamble		367,100		23,193
Ralcorp Holdings*		28,500		2,186
Safeway (A)		209,400		3,482
Smithfield Foods*		80,300		1,566
SUPERVALU (A)		111,437		742
Unilever (A)		79,300		2,497
Walgreen		156,900		5,161

Description	Shares		Market Value ($ Thousands)
Wal-Mart Stores		251,610	$	13,059
				105,622
Energy — 11.8%
Anadarko Petroleum		17,800		1,122
Apache		80,450		6,455
Chesapeake Energy (A)		19,600		501
Chevron		424,100		39,238
ConocoPhillips		318,500		20,167
CVR Energy*		61,800		1,307
Devon Energy		103,300		5,727
EXCO Resources		127,500		1,367
Exxon Mobil		253,450		18,408
Halliburton		47,600		1,453
Hess		98,900		5,188
Marathon Oil		215,800		4,657
Marathon Petroleum		107,900		2,920
Murphy Oil		158,150		6,984
National Oilwell Varco		33,500		1,716
Noble		30,000		880
Occidental Petroleum		91,300		6,528
QEP Resources		46,300		1,253
Schlumberger		71,350		4,262
Tesoro*		219,000		4,264
Valero Energy		316,000		5,619
Weatherford International*		176,450		2,154
				142,170
Financials — 20.3%
ACE		84,900		5,145
Aflac		230,350		8,051
Allstate		118,500		2,807
American Express		111,450		5,004
American Financial Group		85,400		2,653
Ameriprise Financial		165,800		6,526
Annaly Capital Management †		70,600		1,174
Assurant		85,200		3,050
Bank of America		1,232,600		7,543
Bank of New York Mellon		80,300		1,493
BB&T (A)		53,000		1,131
Berkshire Hathaway, Cl B*		75,200		5,342
Capital One Financial (A)		77,300		3,063
CB Richard Ellis Group, Cl A*		221,000		2,975
CBL & Associates Properties † (A)		103,900		1,180
Chubb		155,300		9,317
Citigroup		486,030		12,452
Discover Financial Services		244,800		5,616
Duke Realty †		105,100		1,103
Endurance Specialty Holdings		39,000		1,332
Everest Re Group		55,335		4,393
Fidelity National Financial, Cl A		276,881		4,203
Fifth Third Bancorp		627,700		6,340
Franklin Resources		23,200		2,219
Goldman Sachs Group		54,695		5,171
Hartford Financial Services Group		137,500		2,219
Hospitality Properties Trust †		128,100		2,720
Huntington Bancshares		870,300		4,178
Invesco		155,300		2,409
Jones Lang LaSalle		21,000		1,088
JPMorgan Chase		1,005,500		30,286
Keycorp		646,200		3,832

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Value Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Lazard, Cl A		164,244	$	3,466
Lincoln National		141,800		2,216
MetLife		134,100		3,756
Morgan Stanley		136,300		1,840
PNC Financial Services Group		250,700		12,081
Popular*		959,100		1,439
ProAssurance		21,300		1,534
Prudential Financial		175,600		8,229
Raymond James Financial (A)		64,300		1,669
Regions Financial		213,000		709
Reinsurance Group of America, Cl A		31,300		1,438
Senior Housing Properties Trust †		58,200		1,254
State Street		69,200		2,225
Travelers		114,400		5,575
Unum Group		190,000		3,982
US Bancorp		171,000		4,025
Wells Fargo		1,188,400		28,664
Weyerhaeuser †		278,650		4,333
				244,450
Health Care — 14.1%
Abbott Laboratories		28,700		1,468
Aetna		233,300		8,481
AmerisourceBergen (A)		101,700		3,790
Amgen		217,000		11,924
Cardinal Health		55,100		2,308
Cigna		87,300		3,661
Coventry Health Care*		71,500		2,060
Covidien		34,500		1,522
Eli Lilly		105,100		3,885
Endo Pharmaceuticals Holdings*		38,700		1,083
Express Scripts*		44,900		1,664
Forest Laboratories*		173,550		5,344
Gilead Sciences*		159,400		6,185
Health Net*		97,200		2,305
Humana		64,100		4,662
Johnson & Johnson		272,450		17,358
McKesson		22,000		1,599
Medtronic		38,200		1,270
Merck		609,200		19,927
Myriad Genetics*		121,300		2,273
Pfizer		2,115,200		37,397
St. Jude Medical		101,200		3,662
UnitedHealth Group		217,300		10,022
Warner Chilcott, Cl A*		148,700		2,126
WellPoint		215,000		14,035
				170,011
Industrials — 9.0%
AGCO*		36,500		1,262
Boeing		62,550		3,785
Briggs & Stratton (A)		192,349		2,599
Dover		47,200		2,200
EMCOR Group (A)		57,300		1,165
Emerson Electric		65,800		2,718
Gardner Denver		27,800		1,767
General Dynamics		103,300		5,877
General Electric		1,905,500		29,040
Honeywell International		40,800		1,791
Huntington Ingalls Industries*		10,016		244

Description	Shares		Market Value ($ Thousands)
Illinois Tool Works		72,500	$	3,016
Ingersoll-Rand (A)		160,420		4,506
ITT		108,250		4,546
KBR		160,800		3,800
L-3 Communications Holdings		53,500		3,315
Lockheed Martin (A)		65,900		4,787
Navistar International*		31,800		1,021
Norfolk Southern		27,100		1,654
Northrop Grumman (A)		181,400		9,462
Parker Hannifin		7,500		473
Raytheon		117,500		4,802
RR Donnelley & Sons (A)		107,300		1,515
Ryder System		35,800		1,343
Teleflex		64,200		3,452
Timken		60,500		1,986
Tyco International		53,662		2,186
Union Pacific		45,200		3,691
				108,003
Information Technology — 11.8%
Activision Blizzard (A)		222,800		2,651
Adobe Systems*		157,950		3,818
Amdocs*		57,500		1,559
Apple*		4,500		1,715
Automatic Data Processing		87,650		4,133
Avnet*		67,400		1,758
Blue Coat Systems*		75,558		1,049
CA		78,000		1,514
Cisco Systems		1,086,750		16,834
Computer Sciences		48,900		1,313
Corning		327,600		4,049
Dell*		149,100		2,110
Fairchild Semiconductor International*		78,700		850
Fidelity National Information Services		53,600		1,303
Google, Cl A*		6,400		3,292
Harris (A)		42,100		1,438
Hewlett-Packard		265,300		5,956
Hitachi ADR		83,256		4,115
Ingram Micro, Cl A*		105,100		1,695
Intel		1,467,250		31,297
International Business Machines		7,400		1,295
LSI Logic*		860,300		4,456
Marvell Technology Group*		100,200		1,456
Mastercard, Cl A		10,650		3,378
Micron Technology* (A)		161,000		811
Microsoft		700,950		17,447
Oracle		87,300		2,509
Seagate Technology		95,200		978
Symantec*		204,900		3,340
TE Connectivity		87,300		2,457
Tech Data*		38,500		1,664
Texas Instruments		80,000		2,132
Total System Services		242,450		4,105
Vishay Intertechnology* (A)		103,400		864
Western Digital*		41,200		1,060
Xerox		309,100		2,155
				142,556
Materials — 5.0%
Agrium		18,000		1,200

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Value Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Air Products & Chemicals		15,900	$	1,214
Alpha Natural Resources*		53,000		938
Ball		30,800		956
BHP Billiton ADR (A)		35,148		2,335
CF Industries Holdings		8,600		1,061
Domtar		7,800		532
Dow Chemical		247,500		5,559
E.I. Du Pont de Nemours		100,300		4,009
Eastman Chemical		51,700		3,543
Ferro*		319,100		1,963
Freeport-McMoRan Copper & Gold, Cl B		203,400		6,194
Huntsman		121,500		1,175
International Paper		158,600		3,687
Newmont Mining		178,700		11,240
Owens-Illinois*		364,350		5,509
Rock-Tenn, Cl A		49,000		2,385
Sealed Air		119,832		2,001
Vulcan Materials (A)		94,100		2,593
WR Grace*		82,950		2,762
				60,856
Telecommunication Services — 3.5%
AT&T		1,014,900		28,945
Telephone & Data Systems (A)		66,700		1,417
Verizon Communications (A)		311,400		11,460
				41,822
Utilities — 5.0%
Alliant Energy		51,200		1,980
Ameren		124,600		3,709
American Electric Power		235,400		8,950
CMS Energy (A)		95,000		1,880
Constellation Energy Group		51,900		1,975
DTE Energy		54,600		2,677
Edison International		99,600		3,810
Entergy		133,600		8,856
Exelon (A)		149,800		6,383
GenOn Energy*		312,206		868
NextEra Energy		70,050		3,784
PG&E		105,400		4,459
Pinnacle West Capital		42,300		1,816
PPL (A)		60,500		1,727
Public Service Enterprise Group		105,800		3,531
Sempra Energy		65,900		3,394
				59,799
Total Common Stock (Cost $1,303,315) ($ Thousands)				1,175,800
EXCHANGE TRADED FUND — 0.6%
SPDR Gold Shares		48,800		7,714
Total Exchange Traded Fund (Cost $7,137) ($ Thousands)				7,714

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 6.0%
SEI Liquidity Fund, L.P.
0.130%**†† (B)		77,060,229	$	72,295
Total Affiliated Partnership (Cost $77,060) ($ Thousands)				72,295
CASH EQUIVALENT — 2.0%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		23,988,205		23,988
Total Cash Equivalent (Cost $23,988) ($ Thousands)				23,988
U.S. TREASURY OBLIGATIONS (C) (D) — 0.3%
U.S. Treasury Bills
0.059%, 12/15/11	$	2,820		2,820
0.025%, 12/08/11		1,141		1,141
Total U.S. Treasury Obligations (Cost $3,961) ($ Thousands)				3,961
Total Investments — 106.6% (Cost $1,415,461) ($ Thousands)			$	1,283,758

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Value Fund

September 30, 2011

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		236		Dec-2011	$	(575	)
Russell 2000 Index E-MINI		8		Dec-2011		(41	)
					$	(616	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,204,345 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

(A) This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $73,116 ($ Thousands).

(B) This security was purchased with cash collateral received from securities lending. The total value of such securities as of September 30, 2011 was $72,295 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

(D) The rate reported is the effective yield at the time of purchase.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,175,800	$	—	$	—	$	1,175,800
Exchange Traded Fund		7,714		—		—		7,714
Affiliated Partnership		—		72,295		—		72,295
Cash Equivalent		23,988		—		—		23,988
U.S. Treasury Obligations		—		3,961		—		3,961
Total Investments in Securities	$	1,207,502	$	76,256	$	—	$	1,283,758

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(616	)	$	—	$	—	$	(616	)
Total Other Financial Instruments	$	(616	)	$	—	$	—	$	(616	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Growth Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.9%‡
Consumer Discretionary — 14.7%
Abercrombie & Fitch, Cl A		49,002	$	3,017
Advance Auto Parts		1,600		93
Amazon.com*		43,042		9,307
AMC Networks, Cl A* (A)		9,600		307
Apollo Group, Cl A*		246,200		9,752
Autonation* (A)		8,700		285
Autozone*		10,769		3,437
Big Lots*		2,400		84
BorgWarner* (A)		45,331		2,744
Carmax* (A)		5,300		126
CBS, Cl B		74,600		1,520
Charter Communications, Cl A*		32,900		1,541
Chico’s FAS		17,100		196
Chipotle Mexican Grill, Cl A* (A)		8,900		2,696
Coach		287,495		14,901
Comcast, Cl A		68,600		1,434
Ctrip.com International ADR* (A)		186,400		5,995
DIRECTV, Cl A*		105,000		4,436
DISH Network, Cl A*		11,700		293
Dollar Tree*		39,900		2,997
Expedia		4,100		105
Family Dollar Stores		800		41
Ford Motor*		35,400		342
Fossil*		154,488		12,523
H&R Block (A)		110,900		1,476
Home Depot		4,300		141
ITT Educational Services* (A)		—		—
John Wiley & Sons, Cl A		24,600		1,093
Johnson Controls		1,300		34
Kohl’s		78,807		3,869
Las Vegas Sands*		154,618		5,928
Liberty Global, Cl A* (A)		4,100		148
Limited Brands		19,600		755
Lowe’s		338,500		6,547
McDonald’s		126,527		11,112
McGraw-Hill		58,600		2,403
NetFlix* (A)		23,200		2,625
Nike, Cl B		101,050		8,641
O’Reilly Automotive*		2,100		140
Panera Bread, Cl A*		600		62
Polaris Industries		12,900		645
priceline.com* (A)		36,325		16,327
Ross Stores		33,600		2,644
Staples		537,700		7,152
Starbucks		122,260		4,559
Starwood Hotels & Resorts Worldwide		114,706		4,453
Tempur-Pedic International*		47,200		2,483
Tiffany		6,300		383
Time Warner (A)		93,726		2,809
Time Warner Cable, Cl A		45,500		2,851
Tractor Supply		42,900		2,683
Tupperware Brands		11,500		618
Ulta Salon Cosmetics & Fragrance*		25,700		1,599
Under Armour, Cl A* (A)		1,300		86

Description	Shares		Market Value ($ Thousands)
VF (A)		37,107	$	4,509
Viacom, Cl B		68,500		2,654
Virgin Media (A)		11,000		268
Weight Watchers International (A)		22,300		1,299
Wynn Resorts		25,300		2,911
Yum! Brands		102,724		5,074
				189,153
Consumer Staples — 11.7%
Altria Group		448,097		12,013
Brown-Forman, Cl B		3,800		267
Church & Dwight (A)		43,000		1,901
Coca-Cola (A)		235,110		15,884
Coca-Cola Enterprises		99,200		2,468
Colgate-Palmolive		900		80
ConAgra Foods		26,300		637
Corn Products International		11,300		443
Costco Wholesale		237,775		19,526
Estee Lauder, Cl A		60,105		5,280
Flowers Foods (A)		64,800		1,261
General Mills		4,700		181
Green Mountain Coffee Roasters* (A)		4,200		390
Hansen Natural*		14,100		1,231
Herbalife		61,400		3,291
HJ Heinz (A)		37,600		1,898
Hormel Foods		41,300		1,116
Kellogg		24,900		1,324
Kimberly-Clark		63,427		4,504
Kroger		249,321		5,475
Lorillard		24,532		2,716
McCormick (A)		28,100		1,297
Mead Johnson Nutrition, Cl A		233,546		16,075
PepsiCo		93,271		5,773
Philip Morris International		134,097		8,365
Procter & Gamble		127,059		8,027
Reynolds American		44,400		1,664
Sara Lee		225,000		3,679
Tyson Foods, Cl A		213,287		3,703
Walgreen		426,100		14,015
Wal-Mart Stores		88,785		4,608
Whole Foods Market		11,100		725
				149,817
Energy — 9.0%
Arch Coal		800		12
Baker Hughes		86,657		4,000
BG Group ADR (A)		26,879		2,564
Cabot Oil & Gas		43,800		2,712
Cameron International*		4,400		183
Canadian Natural Resources		396,813		11,615
CARBO Ceramics (A)		11,500		1,179
Chevron		47,100		4,358
Concho Resources*		36,000		2,561
Consol Energy		28,600		970
Core Laboratories (A)		80,556		7,236
El Paso		158,600		2,772
EOG Resources (A)		196,118		13,926
EXCO Resources		11,500		123
Exxon Mobil		229,700		16,683
FMC Technologies* (A)		364,494		13,705
Halliburton		81,800		2,497

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Growth Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Helmerich & Payne		11,800	$	479
HollyFrontier		140,260		3,678
Kinder Morgan (A)		7,900		205
National Oilwell Varco		63,468		3,251
Oil States International*		4,200		214
Patterson-UTI Energy		11,600		201
Pioneer Natural Resources		3,700		243
QEP Resources		14,400		390
Range Resources (A)		48,738		2,849
SandRidge Energy* (A)		259,600		1,443
Schlumberger		236,582		14,131
SM Energy		25,500		1,547
				115,727
Financials — 3.8%
American Express		14,500		651
Boston Properties †		22,800		2,031
Camden Property Trust †		29,500		1,630
CB Richard Ellis Group, Cl A*		151,400		2,038
Charles Schwab (A)		689,159		7,767
CME Group		49,358		12,162
Comerica		96,237		2,211
Digital Realty Trust † (A)		1,800		99
Discover Financial Services		34,500		791
Equity Residential †		9,400		488
Erie Indemnity, Cl A		9,100		648
Essex Property Trust †		6,000		720
Federal Realty Investment Trust †		1,700		140
Federated Investors, Cl B		2,300		40
IntercontinentalExchange* (A)		97,850		11,572
Lazard, Cl A		2,100		44
Macerich †		1,400		60
Moody’s (A)		93,600		2,850
Plum Creek Timber † (A)		7,600		264
Public Storage † (A)		3,900		434
Rayonier †		44,650		1,643
Simon Property Group †		800		88
TD Ameritrade Holding		14,100		208
Validus Holdings		3,400		84
Weyerhaeuser †		52,200		812
				49,475
Health Care — 14.0%
Abbott Laboratories		4,700		240
Agilent Technologies*		28,200		881
Alexion Pharmaceuticals* (A)		81,800		5,240
Allergan		236,245		19,462
AMERIGROUP* (A)		19,700		769
AmerisourceBergen (A)		119,200		4,443
Baxter International		2,900		163
Becton Dickinson		20,000		1,466
Biogen Idec*		32,600		3,037
Brookdale Senior Living, Cl A*		24,900		312
C.R. Bard		25,900		2,267
Cardinal Health		36,200		1,516
CareFusion *		27,900		668
Cerner *		28,100		1,926
Charles River Laboratories International*		17,900		512
Cooper		6,000		475
Covance*		255,415		11,608
Covidien		120,918		5,332

Description	Shares		Market Value ($ Thousands)
DaVita*		131,489	$	8,240
Edwards Lifesciences*		7,400		527
Express Scripts*		405,013		15,014
Gen-Probe*		28,900		1,655
HCA Holdings*		5,200		105
Henry Schein*		13,500		837
Idexx Laboratories* (A)		135,991		9,379
Illumina* (A)		219,015		8,962
Intuitive Surgical* (A)		35,631		12,980
Johnson & Johnson (A)		122,836		7,826
Kinetic Concepts* (A)		29,500		1,944
Laboratory Corp of America Holdings*		54,100		4,277
Lincare Holdings (A)		23,400		527
McKesson		29,000		2,108
Medco Health Solutions*		53,300		2,499
Mednax*		15,500		971
Medtronic		21,300		708
Mettler Toledo International*		1,000		140
Mylan Laboratories*		16,500		281
Novo Nordisk ADR (A)		76,932		7,656
Perrigo (A)		80,650		7,832
Pharmasset*		30,900		2,545
Quest Diagnostics		3,100		153
Regeneron Pharmaceuticals* (A)		20,100		1,170
Sirona Dental Systems*		7,200		305
St. Jude Medical		17,700		641
Stryker		6,400		302
SXC Health Solutions*		15,300		852
Techne		21,300		1,449
United Therapeutics*		11,400		427
UnitedHealth Group		131,689		6,073
Varian Medical Systems*		7,700		402
Vertex Pharmaceuticals* (A)		60,600		2,699
Waters*		68,601		5,179
Watson Pharmaceuticals* (A)		35,300		2,409
				179,391
Industrials — 9.4%
3M		32,655		2,345
ABB ADR		379,642		6,484
Babcock & Wilcox*		7,900		154
Boeing		29,678		1,796
C.H. Robinson Worldwide (A)		39,200		2,684
Caterpillar		139,900		10,330
Chicago Bridge & Iron		23,200		664
Cooper Industries, Cl A		19,900		918
Copart*		38,200		1,494
CSX		140,900		2,631
Danaher		267,512		11,219
Deere		1,200		78
Dun & Bradstreet		9,900		606
Expeditors International of Washington		176,600		7,161
Fastenal (A)		3,300		110
Fluor		264,282		12,303
Gardner Denver		5,200		331
Graco		27,700		946
Harsco		3,400		66
Hertz Global Holdings*		102,300		910
Honeywell International		13,600		597

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Growth Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
IHS, Cl A*		25,900	$	1,938
Ingersoll-Rand		10,300		289
JB Hunt Transport Services		10,200		368
Kansas City Southern*		1,800		90
Landstar System		16,200		641
Lockheed Martin (A)		18,100		1,315
Masco (A)		18,200		130
Parker Hannifin		12,200		770
Polypore International*		900		51
Precision Castparts		43,379		6,744
Raytheon		65,885		2,693
Republic Services		108,932		3,057
Rockwell Automation		26,600		1,490
Roper Industries		154,366		10,637
Spirit Aerosystems Holdings, Cl A*		5,600		89
Stericycle* (A)		205,308		16,572
Towers Watson, Cl A		1,600		96
TransDigm Group*		32,500		2,654
Tyco International		73,037		2,976
United Technologies		38,961		2,741
UTI Worldwide		1,700		22
Verisk Analytics, Cl A*		13,500		469
Waste Connections		16,200		548
WESCO International*		4,700		157
WW Grainger (A)		200		30
				120,394
Information Technology — 31.2%
Accenture, Cl A (A)		223,683		11,784
Adobe Systems*		335,900		8,119
Alliance Data Systems* (A)		20,600		1,910
Altera		70,300		2,217
Amphenol, Cl A		213,575		8,708
Ansys*		187,240		9,182
Apple*		200,563		76,450
Ariba*		6,600		183
Arrow Electronics*		7,100		197
Atmel*		58,700		474
Autodesk*		2,500		69
Automatic Data Processing		48,600		2,291
Avago Technologies		800		26
Cadence Design Systems*		43,200		399
Ciena* (A)		17,900		201
Citrix Systems*		254,903		13,900
Cognizant Technology Solutions, Cl A* (A)		186,652		11,703
Compuware*		8,300		64
Cypress Semiconductor		24,600		368
DST Systems		2,800		123
eBay*		27,600		814
Electronic Arts*		16,300		333
EMC*		172,028		3,611
Factset Research Systems (A)		14,200		1,263
Fiserv*		5,400		274
Flir Systems		27,600		691
Fortinet*		19,500		328
Gartner*		37,100		1,294
Genpact*		469,962		6,763
Global Payments		39,800		1,607
Google, Cl A*		79,609		40,949
Informatica*		48,900		2,003

Description	Shares		Market Value ($ Thousands)
Intel		213,385	$	4,551
International Business Machines		33,274		5,824
Intuit		241,200		11,443
IPG Photonics*		14,900		647
Iron Mountain (A)		89,800		2,839
Juniper Networks*		120,414		2,078
Kla-Tencor		2,600		100
LSI Logic*		13,300		69
Mastercard, Cl A		91,900		29,147
Microsoft		379,093		9,436
National Instruments		367,444		8,400
NCR*		1,400		24
NetApp* (A)		291,964		9,909
Nvidia*		45,800		572
ON Semiconductor *		110,300		791
Oracle		358,220		10,295
Paychex (A)		125,200		3,302
Polycom*		303,100		5,568
Qualcomm		632,215		30,745
Rackspace Hosting* (A)		30,900		1,055
Rovi* (A)		—		—
Salesforce.com* (A)		66,678		7,620
Sina* (A)		—		—
Skyworks Solutions*		9,700		174
Solera Holdings		2,500		126
Teradata*		225,900		12,092
Texas Instruments		181,210		4,829
TIBCO Software*		42,000		940
Varian Semiconductor Equipment Associates*		12,200		746
VeriFone Holdings*		69,305		2,427
VeriSign		348,600		9,973
Visa, Cl A (A)		191,350		16,402
VistaPrint* (A)		4,800		130
Western Union		52,500		803
Xilinx		9,400		258
				401,613
Materials — 2.5%
Allegheny Technologies		13,666		506
Allied Nevada Gold* (A)		5,400		193
Ball		16,900		524
Celanese, Ser A		12,600		410
CF Industries Holdings		9,800		1,209
Crown Holdings*		107,200		3,282
E.I. Du Pont de Nemours		26,700		1,067
Freeport-McMoRan Copper & Gold, Cl B		40,600		1,236
International Flavors & Fragrances		15,800		888
LyondellBasell Industries, Cl A		13,700		335
Molycorp* (A)		40,700		1,338
Monsanto		80,686		4,844
Mosaic		17,300		847
Praxair		31,162		2,913
Rockwood Holdings*		3,900		132
Royal Gold		16,300		1,044
Scotts Miracle-Gro, Cl A (A)		4,400		196
Sherwin-Williams		6,800		505
Sigma-Aldrich		43,962		2,717

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Large Cap Growth Fund

September 30, 2011

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
Syngenta ADR (A)		150,896	$	7,827
				32,013
Telecommunication Services — 1.1%
Crown Castle International*		326,900		13,295
MetroPCS Communications*		68,000		592
Verizon Communications		13,500		497
				14,384
Utilities — 0.5%
American Electric Power		84,618		3,217
ITC Holdings		28,800		2,230
National Fuel Gas		1,300		64
Oneok		5,000		330
				5,841
Total Common Stock (Cost $1,236,432) ($ Thousands)				1,257,808
AFFILIATED PARTNERSHIP — 14.2%
SEI Liquidity Fund, L.P.
0.130%**†† (B)		186,265,391		182,576
Total Affiliated Partnership (Cost $186,265) ($ Thousands)				182,576
CASH EQUIVALENTS — 2.2%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		25,517,997		25,518
Investors Cash Trust - Treasury Portfolio - DWS US Treasury Money Fund, 0.010%		2,426,108		2,426
Total Cash Equivalents (Cost $27,944) ($ Thousands)				27,944
U.S. TREASURY OBLIGATIONS (C) (D) — 0.2%
U.S. Treasury Bills
0.062%, 12/15/11	$	1,699		1,699
0.025%, 12/08/11		1,558		1,558
Total U.S. Treasury Obligations (Cost $3,257) ($ Thousands)				3,257
Total Investments — 114.5% (Cost $1,453,898) ($ Thousands)			$	1,471,585

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		301		Dec-2011	$	(813	)
Russell 2000 Index E- MINI		40		Dec-2011		(207	)
					$	(1,020	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,285,233 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

‡ 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, 2011. The total market value of securities on loan at September 30, 2011 was $177,214 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2011 was $182,576 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

(D) The rate reported is the effective yield at the time of purchase.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

Ser — Series

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,257,808	$	—	$	—	$	1,257,808
Affiliated Partnership		—		182,576		—		182,576
Cash Equivalents		25,518		2,426		—		27,944
U.S. Treasury Obligations		—		3,257		—		3,257
Total Investments in Securities	$	1,283,326	$	188,259	$	—	$	1,471,585

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(1,020	)	$	—	$	—	$	(1,020	)
Total Other Financial Instruments	$	(1,020	)	$	—	$	—	$	(1,020	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Large Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 99.0%
Consumer Discretionary — 13.9%
Abercrombie & Fitch, Cl A		23,560	$	1,450
Amazon.com*		21,795		4,713
AMC Networks, Cl A*		1,675		54
American Eagle Outfitters		119,561		1,401
Apollo Group, Cl A*		195,978		7,763
Autoliv (A)		22,650		1,098
Bayerische Motoren Werke		53,978		3,618
Bed Bath & Beyond*		121,722		6,976
Best Buy (A)		72,159		1,681
Big Lots*		1,557		54
Blyth		4,100		227
BorgWarner*		15,572		943
Brinker International		3,400		71
Cablevision Systems, Cl A		6,700		105
Career Education* (A)		43,087		562
Carmax* (A)		1,883		45
Carnival		9,000		273
Cavco Industries*		130		5
CBS, Cl B		451,553		9,203
Chico’s FAS		4,700		54
Clear Channel Outdoor Holdings, Cl A*		5,800		54
Coach		300,249		15,562
Comcast, Cl A		121,894		2,548
Ctrip.com International ADR* (A)		80,684		2,595
Darden Restaurants		3,127		134
DeVry		1,021		38
Dick’s Sporting Goods*		3,700		124
DIRECTV, Cl A*		113,036		4,776
Discovery Communications, Cl C*		5,040		177
Discovery Communications, Cl A* (A)		36,072		1,357
DISH Network, Cl A*		15,063		378
Dollar Tree*		1,243		93
DR Horton		6,500		59
Family Dollar Stores		3,212		163
Federal Mogul, Cl A*		5,500		81
Ford Motor* (A)		225,407		2,180
Fortune Brands		1,837		99
Fossil*		67,363		5,460
GameStop, Cl A* (A)		44,722		1,033
Gannett		34,600		330
Gap (A)		59,800		971
Garmin (A)		2,100		67
Gentex		5,500		132
Genuine Parts		2,400		122
Goodyear Tire & Rubber*		135,187		1,364
Harley-Davidson		231,344		7,942
Harman International Industries		4,200		120
Hasbro		2,795		91
Home Depot		21,380		703
Interpublic Group		13,000		94
iRobot* (A)		2,400		60
ITT Educational Services* (A)		32,747		1,885
J.C. Penney (A)		4,030		108
Jarden		4,100		116

Description	Shares		Market Value ($ Thousands)
Johnson Controls		240,188	$	6,334
Kohl’s		95,549		4,692
Lamar Advertising, Cl A* (A)		7,300		124
Las Vegas Sands*		73,220		2,807
Leggett & Platt		9,000		178
Lennar, Cl A		5,100		69
Liberty Global, Cl A* (A)		14,200		514
Liberty Media - Capital, Cl A		6,070		401
Liberty Media - Interactive, Cl A*		6,450		95
Liberty Media - Starz, Cl A*		906		58
Limited Brands		4,317		166
Lowe’s		569,040		11,005
Macy’s		331,340		8,721
Madison Square Garden, Cl A*		1,675		38
Marriott International, Cl A		7,099		193
McDonald’s		95,639		8,399
McGraw-Hill		5,300		217
Mohawk Industries*		2,829		121
NetFlix* (A)		2,089		236
New York Times, Cl A* (A)		10,200		59
News, Cl A		72,600		1,123
Nike, Cl B		120,799		10,330
Nordstrom		134,540		6,146
NVR*		100		60
Omnicom Group		4,000		147
O’Reilly Automotive*		6,600		440
PetSmart		1,608		69
Polaris Industries		600		30
priceline.com* (A)		12,935		5,814
RadioShack (A)		71,347		829
Ralph Lauren, Cl A		900		117
Ross Stores		1,571		124
Royal Caribbean Cruises (A)		3,900		85
Sears Holdings* (A)		900		52
Sirius XM Radio* (A)		19,560		30
Staples		260,927		3,470
Starbucks		91,107		3,397
Starwood Hotels & Resorts Worldwide		49,224		1,911
Target		247,603		12,142
Tempur-Pedic International*		15,900		837
Tiffany		1,800		110
Time Warner		118,323		3,546
Time Warner Cable, Cl A		124,373		7,794
TJX		27,887		1,547
Urban Outfitters*		763		17
VF (A)		22,128		2,689
Viacom, Cl B		38,400		1,488
Virgin Media (A)		12,500		304
Walt Disney		92,207		2,781
Warnaco Group*		3,194		147
Whirlpool (A)		26,000		1,298
Wyndham Worldwide		13,000		371
Yum! Brands		51,272		2,532
				207,516
Consumer Staples — 10.2%
Altria Group		86,575		2,321
Anheuser-Busch InBev ADR		68,168		3,611
Archer-Daniels-Midland		69,778		1,731

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Large Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Avon Products		11,636	$	228
BJ’s Wholesale Club*		18,188		932
Brown-Forman, Cl B		1,500		105
Bunge		9,300		542
Campbell Soup		1,100		36
Clorox		2,769		184
Coca-Cola		182,111		12,303
Coca-Cola Enterprises		48,600		1,209
Colgate-Palmolive		5,620		498
ConAgra Foods		118,917		2,880
Constellation Brands, Cl A*		10,975		198
Corn Products International		30,800		1,209
Costco Wholesale		209,569		17,210
CVS Caremark		190,782		6,406
Dr Pepper Snapple Group		13,839		537
Energizer Holdings*		1,628		108
Estee Lauder, Cl A		53,654		4,713
General Mills		5,168		199
Green Mountain Coffee Roasters* (A)		1,251		116
Herbalife		33,200		1,780
Hershey		1,160		69
Hormel Foods		4,000		108
JM Smucker		9,600		700
Kellogg		3,608		192
Kimberly-Clark		60,600		4,303
Kraft Foods, Cl A		55,929		1,878
Kroger		269,851		5,926
Lorillard		26,289		2,910
McCormick		2,100		97
Mead Johnson Nutrition, Cl A		188,136		12,949
PepsiCo		94,856		5,872
Philip Morris International		124,558		7,770
Procter & Gamble		305,330		19,291
Reynolds American		34,600		1,297
Safeway (A)		145,100		2,413
Sara Lee		12,100		198
Smithfield Foods*		49,081		957
SUPERVALU (A)		54,456		363
Susser Holdings*		5,400		108
SYSCO		5,700		148
Tyson Foods, Cl A		203,429		3,531
Walgreen		226,237		7,441
Wal-Mart Stores		172,048		8,929
Whole Foods Market		99,657		6,508
				153,014
Energy — 9.8%
Anadarko Petroleum		6,656		420
Apache		31,072		2,493
Arch Coal		19,400		283
Baker Hughes		2,758		127
BG Group ADR (A)		16,240		1,549
Cameron International*		613		26
Canadian Natural Resources		214,236		6,271
Chesapeake Energy (A)		4,174		107
Chevron		256,751		23,755
Cimarex Energy		943		53
Complete Production Services* (A)		31,600		596
Concho Resources*		900		64
ConocoPhillips		326,204		20,655

Description	Shares		Market Value ($ Thousands)
Consol Energy		15,400	$	522
Core Laboratories		35,681		3,205
CVR Energy*		42,143		891
Devon Energy		48,490		2,688
Diamond Offshore Drilling (A)		9,700		531
Energen		750		30
EOG Resources (A)		92,748		6,586
EQT		2,100		112
EXCO Resources		3,100		33
Exxon Mobil		272,146		19,766
FMC Technologies* (A)		171,724		6,457
Halliburton		104,136		3,178
Helmerich & Payne		9,295		377
Hess		57,287		3,005
HollyFrontier		3,400		89
Marathon Oil		152,134		3,283
Marathon Petroleum		76,067		2,058
McDermott International*		47,200		508
Murphy Oil		74,516		3,291
Nabors Industries*		38,748		475
National Oilwell Varco		69,442		3,557
Newfield Exploration*		2,500		99
Noble		19,700		578
Noble Energy		43,532		3,082
Occidental Petroleum		31,980		2,287
Oceaneering International		7,800		276
Oil States International*		3,100		158
Patriot Coal*		880		7
Patterson-UTI Energy		49,700		862
Peabody Energy		5,300		180
Pioneer Natural Resources		4,944		325
Plains Exploration & Production*		2,500		57
QEP Resources		3,500		95
Range Resources (A)		26,846		1,569
RPC (A)		4,300		70
Schlumberger		195,377		11,670
SEACOR Holdings		1,200		96
SM Energy		1,000		61
Spectra Energy		9,543		234
Sunoco		1,900		59
Teekay Shipping		3,100		70
Tesoro*		93,483		1,820
Tidewater (A)		1,850		78
Unit*		15,200		561
Valero Energy		225,179		4,004
W&T Offshore (A)		15,575		214
Weatherford International*		14,100		172
Whiting Petroleum*		3,400		119
Williams		39,629		965
				146,809
Financials — 11.7%
ACE		94,846		5,748
Affiliated Managers Group*		1,000		78
Aflac		56,690		1,981
Allstate		68,078		1,613
American Equity Investment Life Holding (A)		15,500		136
American Express		28,081		1,261
American Financial Group		61,500		1,911
Ameriprise Financial		84,290		3,318

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Large Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Annaly Capital Management †		60,288	$	1,003
AON		4,050		170
Apartment Investment & Management, Cl A †		8,615		191
Arthur J. Gallagher		2,600		68
Assurant		79,100		2,832
AvalonBay Communities †		1,900		217
Bank of America		432,420		2,646
Bank of Hawaii		3,716		135
Bank of Montreal		1,470		82
Bank of New York Mellon		71,470		1,328
BB&T (A)		11,249		240
Berkshire Hathaway, Cl B* (A)		94,570		6,718
BlackRock		4,750		703
Boston Properties †		1,600		143
Brandywine Realty Trust †		131,500		1,053
BRE Properties, Cl A †		2,200		93
Camden Property Trust †		2,200		122
Capital One Financial (A)		181,999		7,213
CB Richard Ellis Group, Cl A*		2,800		38
CBL & Associates Properties †		51,300		583
Charles Schwab (A)		407,510		4,592
Chubb		101,164		6,069
Cincinnati Financial (A)		3,700		97
CIT Group*		5,100		155
Citigroup		314,295		8,052
CME Group		22,269		5,487
Comerica		71,526		1,643
Commerce Bancshares		37,205		1,293
CommonWealth †		20,801		395
Digital Realty Trust † (A)		1,300		72
Discover Financial Services		264,657		6,071
Duke Realty †		21,100		221
E*Trade Financial*		7,000		64
Equity Residential †		4,687		243
Erie Indemnity, Cl A		1,400		100
Everest Re Group		15,600		1,238
Federal Realty Investment Trust †		800		66
Fidelity National Financial, Cl A		5,399		82
Fifth Third Bancorp		280,147		2,830
First American Financial		2,100		27
First Citizens BancShares, Cl A		600		86
First Horizon National (A)		15,961		95
First Niagara Financial Group		4,000		36
Forest City Enterprises, Cl A* (A)		9,800		105
Franklin Resources		19,450		1,860
Goldman Sachs Group		26,579		2,513
Hanover Insurance Group		4,297		153
Hartford Financial Services Group		135,344		2,184
HCC Insurance Holdings		1,500		41
Highwoods Properties † (A)		750		21
Hospitality Properties Trust †		66,700		1,416
Host Hotels & Resorts †		19,688		215
Howard Hughes*		295		12
Huntington Bancshares		617,385		2,964
IntercontinentalExchange* (A)		41,891		4,954
Invesco		6,000		93

Description	Shares		Market Value ($ Thousands)
Jefferies Group		7,900	$	98
Jones Lang LaSalle		21,700		1,124
JPMorgan Chase		644,177		19,403
Kemper		4,900		117
Keycorp		568,141		3,369
Kimco Realty †		3,600		54
Legg Mason		2,100		54
Liberty Property Trust † (A)		1,900		55
Lincoln National		111,010		1,735
Loews		3,100		107
M&T Bank		2,969		208
Macerich †		5,647		241
Mack-Cali Realty †		2,700		72
Maiden Holdings		12,500		92
Marsh & McLennan		9,266		246
Mercury General		1,700		65
MetLife		37,870		1,061
Moody’s (A)		3,838		117
Morgan Stanley		97,900		1,322
New York Community Bancorp		3,600		43
Northern Trust		2,850		100
NYSE Euronext		4,300		100
Old Republic International		5,100		45
People’s United Financial		4,725		54
Plum Creek Timber †		2,090		72
PNC Financial Services Group		142,069		6,846
Popular*		436,821		655
Principal Financial Group		8,000		181
Progressive		10,982		195
ProLogis †		5,906		143
Protective Life		6,700		105
Prudential Financial		71,100		3,332
Public Storage † (A)		4,106		457
Raymond James Financial (A)		47,025		1,221
Rayonier †		6,900		254
Regions Financial		365,506		1,217
Reinsurance Group of America, Cl A		21,100		970
Simon Property Group †		7,748		852
SLM		7,400		92
StanCorp Financial Group (A)		1,500		41
State Street		52,912		1,702
SunTrust Banks		27,800		499
SVB Financial Group*		1,550		57
T. Rowe Price Group		5,500		263
TD Ameritrade Holding		4,350		64
TFS Financial* (A)		6,058		49
Transatlantic Holdings		1,400		68
Travelers		120,867		5,890
Unum Group		153,968		3,227
US Bancorp		133,779		3,149
Validus Holdings		30,600		763
Ventas † (A)		3,400		168
Vornado Realty Trust †		5,348		399
Waddell & Reed Financial, Cl A		2,800		70
Walter Investment Management		876		20
Washington Federal		3,900		50
Weingarten Realty Investors † (A)		4,600		97

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Large Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Wells Fargo		611,901	$	14,759
WesBanco		4,600		80
Weyerhaeuser †		9,119		142
XL Group, Cl A		12,400		233
				175,433
Health Care — 13.0%
Abbott Laboratories		92,543		4,732
Aetna		133,200		4,842
Agilent Technologies*		5,250		164
Alere*		1,700		33
Allergan		144,706		11,921
AmerisourceBergen (A)		70,652		2,633
Amgen		275,324		15,129
Amylin Pharmaceuticals* (A)		6,365		59
Baxter International		13,350		749
Becton Dickinson		7,100		521
Biogen Idec*		12,525		1,167
Boston Scientific*		36,600		216
Bristol-Myers Squibb		50,442		1,583
Bruker BioSciences*		8,200		111
C.R. Bard		3,700		324
Cardinal Health		42,500		1,780
CareFusion*		4,200		101
Celgene*		118,659		7,347
Cerner*		2,200		151
Charles River Laboratories International*		1,600		46
Chemed		4,126		227
Cigna		34,340		1,440
Community Health Systems*		1,600		27
Computer Programs & Systems		2,600		172
Cooper		2,100		166
Covance* (A)		122,721		5,578
Coventry Health Care*		52,700		1,518
Covidien		80,422		3,547
Cyberonics*		2,300		65
DaVita*		67,031		4,201
Dentsply International		1,003		31
Edwards Lifesciences*		1,400		100
Eli Lilly		107,461		3,973
Endo Pharmaceuticals Holdings*		43,600		1,220
Express Scripts* (A)		182,185		6,754
Forest Laboratories*		60,900		1,875
Gilead Sciences*		70,497		2,735
Health Net*		88,111		2,089
Henry Schein*		1,000		62
Hill-Rom Holdings		7,800		234
Hologic*		10,100		154
Hospira*		3,100		115
Humana		60,840		4,425
Idexx Laboratories* (A)		72,970		5,033
Illumina* (A)		57,255		2,343
Intuitive Surgical*		19,439		7,081
Invacare		9,200		212
Jazz Pharmaceuticals* (A)		3,000		124
Johnson & Johnson		278,618		17,751
Laboratory Corp of America Holdings*		1,250		99
Life Technologies*		17,591		676

Description	Shares		Market Value ($ Thousands)
McKesson		18,792	$	1,366
Medco Health Solutions*		38,293		1,796
Mednax*		1,500		94
Medtronic		61,427		2,042
Merck		400,535		13,101
Mettler Toledo International*		2,150		301
Mylan Laboratories*		7,475		127
Novo Nordisk ADR (A)		31,800		3,165
Omnicare (A)		35,998		915
Par Pharmaceutical*		4,700		125
Patterson		2,100		60
PerkinElmer		21,850		420
Perrigo (A)		31,600		3,069
Pfizer		954,300		16,872
Pharmaceutical Product Development		2,000		51
Quest Diagnostics		1,304		64
St. Jude Medical		10,300		373
Stryker		4,191		197
SXC Health Solutions*		5,000		278
Techne		817		56
Tenet Healthcare*		9,200		38
Thermo Fisher Scientific*		20,191		1,022
Transcend Services*		800		18
UnitedHealth Group		224,892		10,372
Valeant Pharmaceuticals International		1,780		66
Varian Medical Systems*		1,641		86
Vertex Pharmaceuticals* (A)		1,507		67
Warner Chilcott, Cl A*		31,800		455
Waters*		37,044		2,796
Watson Pharmaceuticals*		2,900		198
WellPoint		98,900		6,456
Zimmer Holdings*		22,868		1,223
				194,905
Industrials — 8.7%
3M		28,366		2,036
ABB ADR		232,186		3,966
AGCO*		24,100		833
Alaska Air Group*		14,400		811
Alexander & Baldwin		2,500		91
Ametek		8,400		277
Armstrong World Industries (A)		4,700		162
Babcock & Wilcox*		1,536		30
Boeing		20,394		1,234
C.H. Robinson Worldwide		2,502		171
Carlisle		1,500		48
Caterpillar		32,319		2,386
Chicago Bridge & Iron		4,600		132
Cintas (A)		5,163		145
CNH Global*		1,600		42
Con-way		3,100		68
Cooper Industries, Cl A		5,300		244
Copart*		14,607		571
Crane		850		30
CSX		97,838		1,827
Cummins		18,415		1,504
Danaher (A)		141,955		5,954
Deere		10,864		701
Delta Air Lines*		8,100		61
Donaldson		1,900		104

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Large Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Dover		15,100	$	704
Dun & Bradstreet		3,054		187
DXP Enterprises*		1,700		32
Eaton		22,358		794
Emerson Electric		20,734		857
Equifax		2,500		77
Expeditors International of Washington		72,400		2,936
Fastenal (A)		5,600		186
FedEx		22,413		1,517
Flowserve		2,004		148
Fluor		133,421		6,211
Gardner Denver		22,900		1,455
GATX		1,600		50
General Dynamics		44,994		2,560
General Electric		1,040,296		15,854
Goodrich		4,976		600
Graco		1,400		48
Harsco		7,572		147
Hertz Global Holdings*		4,200		37
Honeywell International		55,614		2,442
Hubbell, Cl B		500		25
Huntington Ingalls Industries* (A)		6,935		169
Illinois Tool Works		3,529		147
Ingersoll-Rand		3,300		93
Iron Mountain		3,625		115
ITT		11,200		470
John Bean Technologies		216		3
Joy Global		2,600		162
KBR		108,429		2,562
Kennametal		15,000		491
L-3 Communications Holdings		53,800		3,334
Lockheed Martin (A)		60,603		4,402
Manitowoc		4,100		27
Manpower		1,700		57
Masco (A)		7,600		54
MSC Industrial Direct, Cl A		2,000		113
Navistar International*		900		29
Norfolk Southern		25,796		1,574
Northrop Grumman		91,178		4,756
Oshkosh Truck*		24,685		388
Owens Corning*		4,679		101
PACCAR		11,934		404
Pall		2,322		98
Parker Hannifin		49,986		3,156
Pentair		2,400		77
Precision Castparts		74,974		11,655
Quanta Services*		22,700		426
Raytheon		130,624		5,339
Republic Services		57,345		1,609
Robert Half International		9,456		201
Rockwell Automation		3,000		168
Rockwell Collins (A)		3,450		182
Roper Industries		75,999		5,237
RR Donnelley & Sons		47,546		671
Ryder System		18,500		694
Shaw Group*		1,550		34
Skywest		821		9
Southwest Airlines		10,586		85
Spirit Aerosystems Holdings, Cl A*		2,400		38

Description	Shares		Market Value ($ Thousands)
Stanley Black & Decker		4,250	$	209
Stericycle*		85,796		6,926
Textron (A)		5,200		92
Timken		49,531		1,626
Trimas*		2,600		39
Trinity Industries		5,700		122
Tyco International		54,712		2,230
Union Pacific		64,256		5,248
United Continental Holdings* (A)		13,151		255
United Parcel Service, Cl B		8,211		519
United Technologies		55,494		3,905
URS*		5,515		163
Waste Management		3,618		118
WW Grainger (A)		762		114
				130,991
Information Technology — 22.3%
Accenture, Cl A		126,866		6,683
Activision Blizzard		56,068		667
Adobe Systems*		362,339		8,758
Advanced Micro Devices* (A)		7,200		36
Advent Software* (A)		2,756		57
Akamai Technologies*		3,000		60
Alliance Data Systems* (A)		1,100		102
Altera		42,400		1,337
Amdocs*		38,900		1,055
Amphenol, Cl A		112,312		4,579
Analog Devices		2,100		66
Ansys*		97,902		4,801
Apple*		126,936		48,385
Applied Materials		185,583		1,921
Arrow Electronics*		5,000		139
Autodesk*		165,871		4,608
Automatic Data Processing		1,100		52
Avnet*		46,600		1,215
BMC Software*		6,848		264
Broadcom, Cl A		106,636		3,550
Broadridge Financial Solutions		7,069		142
CA		92,897		1,803
Cadence Design Systems*		11,100		102
Cisco Systems		647,869		10,036
Citrix Systems*		137,048		7,473
Cognizant Technology Solutions, Cl A*		89,580		5,617
Computer Sciences		21,400		575
Convergys* (A)		30,269		284
CoreLogic*		12,244		131
Corning		124,854		1,543
Dell*		87,488		1,238
Dolby Laboratories, Cl A*		1,235		34
DST Systems		19,031		834
eBay*		23,211		684
EchoStar, Cl A*		3,100		70
EMC*		336,335		7,060
Equinix*		800		71
F5 Networks*		10,800		767
Factset Research Systems (A)		2,609		232
Fidelity National Information Services		44,709		1,087
Fiserv*		1,300		66

5 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Large Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Flir Systems		1,900	$	48
Genpact*		247,061		3,555
Global Payments		2,000		81
Google, Cl A*		52,993		27,259
Harris (A)		30,100		1,029
Hewlett-Packard		201,707		4,528
IAC*		1,076		43
Ingram Micro, Cl A*		39,100		631
Intel		1,079,376		23,023
Interactive Intelligence Group*		3,600		98
International Business Machines		64,371		11,267
International Rectifier*		3,500		65
Intuit		125,037		5,932
IPG Photonics*		1,600		69
JDS Uniphase*		3,700		37
Juniper Networks*		183,234		3,163
Kla-Tencor		1,400		54
Lam Research*		13,700		520
Lender Processing Services		1,632		22
Lexmark International, Cl A*		27,400		741
Liquidity Services*		800		26
LSI Logic*		204,900		1,061
Marvell Technology Group*		82,020		1,192
Mastercard, Cl A		54,569		17,307
Maxim Integrated Products		4,600		107
Microchip Technology (A)		94,234		2,932
Micron Technology* (A)		128,900		650
Microsoft		571,607		14,227
Monster Worldwide*		3,200		23
Motorola Solutions		22,681		950
National Instruments		175,818		4,019
NetApp*		181,969		6,176
Nuance Communications* (A)		30,000		611
Nvidia*		12,250		153
Oracle		614,753		17,668
Polycom*		93,328		1,714
QLogic*		4,200		53
Qualcomm		428,623		20,844
Rackspace Hosting*		1,378		47
Rambus* (A)		5,000		70
Red Hat*		20,846		881
Rovi* (A)		3,923		169
Salesforce.com* (A)		37,251		4,257
SanDisk*		13,942		562
Seagate Technology		88,600		911
Sina* (A)		5,956		427
Symantec*		138,135		2,252
TE Connectivity		12,900		363
Tech Data*		22,300		964
Teradata*		69,942		3,744
Teradyne* (A)		9,800		108
Texas Instruments		12,500		333
Total System Services		3,100		52
VeriFone Holdings*		22,000		770
VeriSign (A)		163,454		4,676
Visa, Cl A (A)		104,451		8,954
Vishay Intertechnology*		81,300		680
VistaPrint* (A)		1,200		32
VMware, Cl A*		2,000		161
WebMD Health, Cl A*		1,796		54

Description	Shares		Market Value ($ Thousands)
Western Digital*		49,018	$	1,261
Xerox		164,628		1,148
Xilinx (A)		2,300		63
Yahoo!*		14,850		195
Zebra Technologies, Cl A*		2,400		74
				333,270
Materials — 2.6%
Air Products & Chemicals		24,350		1,860
AK Steel Holding (A)		2,313		15
Alcoa		14,234		136
Allegheny Technologies		18,266		676
Alpha Natural Resources*		617		11
Ashland		13,224		584
Ball		19,600		608
Bemis		2,400		70
Cabot		28,400		704
Celanese, Ser A		11,100		361
Cliffs Natural Resources		1,800		92
Domtar		14,000		954
Dow Chemical		93,360		2,097
E.I. Du Pont de Nemours		15,316		612
Eagle Materials		753		13
Eastman Chemical		36,400		2,494
Ecolab (A)		2,400		117
Freeport-McMoRan Copper & Gold, Cl B		209,715		6,386
Greif, Cl A		1,500		64
Huntsman		80,908		782
International Flavors & Fragrances		1,400		79
International Paper		86,200		2,004
Martin Marietta Materials (A)		550		35
MeadWestvaco		7,400		182
Monsanto		96,669		5,804
Mosaic		3,687		181
Nalco Holding		1,855		65
Newmont Mining		4,000		252
Nucor (A)		18,800		595
OM Group*		2,300		60
Owens-Illinois*		21,200		321
PPG Industries		18,100		1,279
Praxair		16,900		1,580
Reliance Steel & Aluminum		4,700		160
Rock-Tenn, Cl A		13,000		633
Rockwood Holdings*		11,500		387
RPM International		1,500		28
Sealed Air		6,700		112
Sherwin-Williams (A)		1,700		126
Sigma-Aldrich		24,520		1,515
Sonoco Products		1,500		42
Steel Dynamics		109,700		1,088
Syngenta ADR (A)		57,700		2,993
United States Steel (A)		1,568		34
Vulcan Materials (A)		1,097		30
Walter Energy		526		31
Westlake Chemical (A)		1,800		62
				38,314
Telecommunication Services — 3.6%
American Tower, Cl A*		122,591		6,595
AT&T		815,594		23,261
CenturyTel		13,815		457

6 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Large Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Crown Castle International*		145,289	$	5,909
MetroPCS Communications*		3,342		29
NII Holdings*		2,900		78
SBA Communications, Cl A*		2,100		73
Sprint Nextel*		40,020		122
Telephone & Data Systems, Cl L		1,300		26
Telephone & Data Systems		1,900		40
US Cellular*		1,976		78
Verizon Communications (A)		466,738		17,176
Windstream (A)		19,223		224
				54,068
Utilities — 3.2%
AES*		8,780		86
Alliant Energy		35,200		1,361
Ameren		95,300		2,837
American Electric Power		224,436		8,533
American Water Works		12,600		380
Centerpoint Energy		4,900		96
CMS Energy		63,700		1,261
Consolidated Edison		3,191		182
Constellation Energy Group		38,947		1,482
Dominion Resources		10,166		516
DTE Energy		32,800		1,608
Duke Energy		20,661		413
Dynegy, Cl A* (A)		1,360		6
Edison International		99,700		3,813
Entergy		85,669		5,679
Exelon (A)		105,076		4,477
FirstEnergy		3,953		177
GenOn Energy*		10,318		29
Great Plains Energy		3,500		68
Hawaiian Electric Industries (A)		3,200		78
MDU Resources Group		2,200		42
National Fuel Gas		1,300		63
NextEra Energy		4,538		245
NiSource (A)		12,500		267
NRG Energy*		45,500		965
NSTAR		7,000		314
NV Energy		36,000		530
OGE Energy		2,612		125
Oneok		4,000		264
PG&E		8,566		362
PPL		4,200		120
Progress Energy		5,500		284
Public Service Enterprise Group		134,900		4,502
Questar		42,200		747
Sempra Energy		71,747		3,695
Southern		7,164		304
Southern Union		2,900		118
UGI		38,700		1,017
Wisconsin Energy		2,000		63
Xcel Energy		8,453		209
				47,318
Total Common Stock (Cost $1,455,932) ($ Thousands)				1,481,638

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 7.9%
SEI Liquidity Fund, L.P.
0.130%**††(B)		122,520,224	$	118,529
Total Affiliated Partnership (Cost $122,520) ($ Thousands)				118,529
CASH EQUIVALENT — 1.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		19,398,403		19,398
Total Cash Equivalent (Cost $19,398) ($ Thousands)				19,398
U.S. TREASURY OBLIGATION (C) (D) — 0.2%
U.S. Treasury Bills
0.062%, 12/15/11	$	3,314		3,314
Total U.S. Treasury Obligation (Cost $3,314) ($ Thousands)				3,314
Total Investments — 108.4% (Cost $1,601,164) ($ Thousands)			$	1,622,879

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index
E-MINI		255		Dec-2011	$	(641	)
S&P Mid 400 Index
E-MINI		29		Dec-2011		(186	)
					$	(827	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,496,696 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

(A) This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $116,488 ($ Thousands).

(B) This security was purchased with cash collateral received from securities lending. The total value of such securities as of September 30, 2011 was $118,529 ($ Thousands).

(C) Security, or portion thereof has been pledged as collateral on open futures contracts.

(D) The rate reported is the effective yield at the time of purchase.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

Ser — Series

7 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Large Cap Fund

September 30, 2011

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,481,638	$	—	$	—	$	1,481,638
Affiliated Partnership		—		118,529		—		118,529
Cash Equivalent		19,398		—		—		19,398
U.S. Treasury Obligation		—		3,314		—		3,314
Total Investments in Securities	$	1,501,036	$	121,843	$	—	$	1,622,879

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(827	)	$	—	$	—	$	(827	)
Total Other Financial Instruments	$	(827	)	$	—	$	—	$	(827	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

8 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

S & P 500 Index Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 96.1%
Consumer Discretionary — 10.3%
Abercrombie & Fitch, Cl A		12,400	$	763
Amazon.com* (A)		49,600		10,725
Apollo Group, Cl A*		17,603		697
Autonation* (A)		8,226		270
Autozone*		4,094		1,307
Bed Bath & Beyond*		33,433		1,916
Best Buy (A)		39,641		924
Big Lots*		9,513		331
Cablevision Systems, Cl A		30,200		475
Carmax* (A)		29,700		708
Carnival (A)		61,384		1,860
CBS, Cl B		89,601		1,826
Chipotle Mexican Grill, Cl A* (A)		4,200		1,272
Coach		39,310		2,037
Comcast, Cl A		375,822		7,855
Darden Restaurants (A)		19,113		817
DeVry		7,200		266
DIRECTV, Cl A*		101,300		4,280
Discovery Communications, Cl A* (A)		37,600		1,414
DR Horton		35,449		321
Expedia (A)		27,500		708
Family Dollar Stores		16,822		856
Ford Motor*		520,680		5,035
Fortune Brands		19,119		1,034
GameStop, Cl A* (A)		16,400		379
Gannett (A)		26,647		254
Gap (A)		52,131		847
Genuine Parts		22,036		1,119
Goodyear Tire & Rubber*		32,993		333
H&R Block (A)		44,204		589
Harley-Davidson		33,208		1,140
Harman International Industries		9,800		280
Hasbro (A)		17,191		560
Home Depot		210,996		6,935
International Game Technology		43,056		626
Interpublic Group (A)		66,101		476
J.C. Penney (A)		18,980		508
Johnson Controls		90,557		2,388
Kohl’s		37,847		1,858
Leggett & Platt		18,054		357
Lennar, Cl A (A)		18,807		255
Limited Brands (A)		34,227		1,318
Lowe’s		173,436		3,354
Macy’s		55,564		1,463
Marriott International, Cl A (A)		37,552		1,023
Mattel		47,118		1,220
McDonald’s		140,770		12,362
McGraw-Hill		41,121		1,686
NetFlix* (A)		7,000		792
Newell Rubbermaid		36,747		436
News, Cl A		313,233		4,846
Nike, Cl B		52,094		4,455
Nordstrom		22,902		1,046
Omnicom Group (A)		38,004		1,400
O’Reilly Automotive*		18,700		1,246

Description	Shares		Market Value ($ Thousands)
priceline.com* (A)		6,880	$	3,093
Pulte Homes*		42,482		168
Ralph Lauren, Cl A		9,100		1,180
Ross Stores		16,234		1,278
Scripps Networks Interactive, Cl A		12,300		457
Sears Holdings* (A)		4,765		274
Snap-on		8,153		362
Staples		92,214		1,227
Starbucks		99,758		3,720
Starwood Hotels & Resorts Worldwide		26,635		1,034
Target		91,519		4,488
Tiffany		16,573		1,008
Time Warner (A)		142,312		4,265
Time Warner Cable, Cl A		44,883		2,813
TJX (A)		51,567		2,860
Urban Outfitters*		15,700		350
VF (A)		12,114		1,472
Viacom, Cl B		77,901		3,018
Walt Disney (A)		253,727		7,652
Washington Post, Cl B (A)		655		214
Whirlpool		10,205		509
Wyndham Worldwide		20,802		593
Wynn Resorts		10,600		1,220
Yum! Brands		62,070		3,066
				149,569
Consumer Staples — 11.2%
Altria Group		283,256		7,594
Archer-Daniels-Midland		91,166		2,262
Avon Products		58,351		1,143
Brown-Forman, Cl B		14,095		989
Campbell Soup (A)		25,575		828
Clorox		16,842		1,117
Coca-Cola		312,953		21,143
Coca-Cola Enterprises		44,217		1,100
Colgate-Palmolive		66,593		5,906
ConAgra Foods		55,352		1,341
Constellation Brands, Cl A*		27,100		488
Costco Wholesale		60,018		4,929
CVS Caremark		184,035		6,180
Dean Foods*		19,500		173
Dr Pepper Snapple Group		30,200		1,171
Estee Lauder, Cl A		15,400		1,353
General Mills		88,882		3,419
Hershey		21,612		1,280
HJ Heinz (A)		44,349		2,239
Hormel Foods		19,400		524
JM Smucker		15,848		1,155
Kellogg		33,767		1,796
Kimberly-Clark		53,799		3,820
Kraft Foods, Cl A		241,398		8,106
Kroger		83,959		1,844
Lorillard		19,276		2,134
McCormick		17,861		825
Mead Johnson Nutrition, Cl A		27,434		1,888
Molson Coors Brewing, Cl B		21,046		834
PepsiCo		215,985		13,369
Philip Morris International		239,565		14,944
Procter & Gamble		374,501		23,661
Reynolds American (A)		45,580		1,708

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

S & P 500 Index Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Safeway (A)		44,046	$	732
Sara Lee		76,687		1,254
SUPERVALU (A)		26,797		178
SYSCO		78,220		2,026
Tyson Foods, Cl A		40,490		703
Walgreen		121,744		4,004
Wal-Mart Stores (A)		239,944		12,453
Whole Foods Market (A)		22,000		1,437
				164,050
Energy — 11.1%
Anadarko Petroleum		68,280		4,305
Apache (A)		52,700		4,229
Baker Hughes		57,949		2,675
Cabot Oil & Gas		13,600		842
Cameron International*		33,000		1,371
Chesapeake Energy (A)		87,800		2,243
Chevron		272,978		25,256
ConocoPhillips (A)		187,443		11,869
Consol Energy		30,700		1,042
Denbury Resources* (A)		53,300		613
Devon Energy		56,313		3,122
Diamond Offshore Drilling (A)		9,600		525
El Paso		103,294		1,805
EOG Resources (A)		35,744		2,538
EQT		21,000		1,120
Exxon Mobil		662,198		48,095
FMC Technologies* (A)		33,600		1,263
Halliburton		126,279		3,854
Helmerich & Payne		14,300		581
Hess		40,475		2,123
Marathon Oil		95,256		2,056
Marathon Petroleum		47,978		1,298
Murphy Oil		26,263		1,160
Nabors Industries*		37,878		464
National Oilwell Varco		58,368		2,990
Newfield Exploration*		16,900		671
Noble (A)		34,300		1,007
Noble Energy (A)		24,500		1,735
Occidental Petroleum		111,059		7,941
Peabody Energy		35,000		1,186
Pioneer Natural Resources (A)		15,900		1,046
QEP Resources		23,300		631
Range Resources (A)		22,500		1,315
Rowan* (A)		17,497		528
Schlumberger		184,243		11,005
Southwestern Energy*		48,400		1,613
Spectra Energy (A)		87,061		2,136
Sunoco		15,257		473
Tesoro*		20,600		401
Valero Energy		76,808		1,366
Williams		78,865		1,919
				162,412
Financials — 13.1%
ACE		45,000		2,727
Aflac		62,608		2,188
Allstate		67,659		1,603
American Express		142,115		6,381
American International Group*		61,008		1,339
Ameriprise Financial		32,784		1,290
AON		44,329		1,861

Description	Shares		Market Value ($ Thousands)
Apartment Investment & Management, Cl A †		13,539	$	300
Assurant		11,700		419
AvalonBay Communities †		13,108		1,495
Bank of America		1,384,828		8,475
Bank of New York Mellon (A)		165,386		3,075
BB&T		93,497		1,994
Berkshire Hathaway, Cl B* (A)		239,847		17,039
BlackRock		13,900		2,057
Boston Properties † (A)		19,500		1,737
Capital One Financial (A)		61,362		2,432
CB Richard Ellis Group, Cl A*		46,700		629
Charles Schwab (A)		149,727		1,687
Chubb		39,156		2,349
Cincinnati Financial (A)		22,079		581
Citigroup		398,408		10,207
CME Group		9,207		2,269
Comerica		25,383		583
Discover Financial Services		73,330		1,682
E*Trade Financial*		29,443		268
Equity Residential †		39,440		2,046
Federated Investors, Cl B (A)		13,345		234
Fifth Third Bancorp		124,611		1,259
First Horizon National (A)		36,636		218
Franklin Resources		20,215		1,933
Genworth Financial, Cl A*		64,600		371
Goldman Sachs Group		69,156		6,539
Hartford Financial Services Group		60,786		981
HCP †		54,500		1,911
Health Care † (A)		24,900		1,165
Host Hotels & Resorts † (A)		99,248		1,086
Hudson City Bancorp		69,400		393
Huntington Bancshares		114,475		549
IntercontinentalExchange* (A)		10,000		1,183
Invesco		63,100		979
Janus Capital Group		23,477		141
JPMorgan Chase		531,757		16,016
Keycorp		135,483		803
Kimco Realty † (A)		54,200		815
Legg Mason (A)		20,500		527
Leucadia National		26,700		606
Lincoln National		41,598		650
Loews		41,949		1,449
M&T Bank (A)		17,061		1,193
Marsh & McLennan		73,450		1,949
MetLife		145,126		4,065
Moody’s (A)		28,508		868
Morgan Stanley		198,061		2,674
NASDAQ OMX Group*		20,700		479
Northern Trust		32,905		1,151
NYSE Euronext		34,600		804
People’s United Financial		47,500		541
Plum Creek Timber † (A)		21,735		754
PNC Financial Services Group		72,375		3,488
Principal Financial Group		43,948		996
Progressive		88,868		1,578
ProLogis †		61,200		1,484
Prudential Financial		65,066		3,049
Public Storage † (A)		18,728		2,085
Regions Financial		166,663		555
Simon Property Group †		40,302		4,432

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

S & P 500 Index Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
SLM		65,843	$	820
State Street		69,691		2,241
SunTrust Banks		74,996		1,346
T. Rowe Price Group (A)		34,908		1,668
Torchmark		13,957		487
Travelers		55,952		2,727
Unum Group		42,252		886
US Bancorp		262,906		6,189
Ventas † (A)		39,932		1,973
Vornado Realty Trust †		24,473		1,826
Wells Fargo		719,963		17,366
Weyerhaeuser †		70,040		1,089
XL Group, Cl A		45,105		848
Zions Bancorporation (A)		23,960		337
				190,469
Health Care — 11.7%
Abbott Laboratories		212,546		10,870
Aetna		51,002		1,854
Agilent Technologies*		46,906		1,466
Allergan		42,266		3,482
AmerisourceBergen		36,992		1,379
Amgen		126,418		6,947
Baxter International		77,938		4,375
Becton Dickinson		29,262		2,145
Biogen Idec*		33,400		3,111
Boston Scientific*		206,912		1,223
Bristol-Myers Squibb (A)		233,275		7,320
C.R. Bard		12,188		1,067
Cardinal Health		47,155		1,975
CareFusion*		29,177		699
Celgene*		61,600		3,814
Cephalon*		10,200		823
Cerner* (A)		19,000		1,302
Cigna		35,271		1,479
Coventry Health Care*		21,413		617
Covidien		66,000		2,911
DaVita*		11,700		733
Dentsply International (A)		17,000		522
Edwards Lifesciences*		16,200		1,155
Eli Lilly		139,630		5,162
Express Scripts*		65,104		2,413
Forest Laboratories*		37,563		1,157
Gilead Sciences*		104,672		4,061
Hospira*		22,004		814
Humana		21,897		1,593
Intuitive Surgical*		5,320		1,938
Johnson & Johnson		373,482		23,794
Laboratory Corp of America Holdings*		13,663		1,080
Life Technologies*		25,443		978
McKesson		33,669		2,448
Medco Health Solutions*		53,316		2,500
Medtronic		142,017		4,721
Merck		420,344		13,749
Mylan Laboratories*		57,411		976
Patterson		13,700		392
PerkinElmer		12,940		248
Pfizer		1,063,776		18,808
Quest Diagnostics		21,524		1,062
St. Jude Medical		45,856		1,659
Stryker (A)		44,742		2,109

Description	Shares		Market Value ($ Thousands)
Tenet Healthcare*		66,076	$	273
Thermo Fisher Scientific*		51,143		2,590
UnitedHealth Group		147,247		6,791
Varian Medical Systems*		16,600		866
Waters*		12,897		974
Watson Pharmaceuticals* (A)		16,671		1,138
WellPoint		48,998		3,199
Zimmer Holdings*		25,955		1,388
				170,150
Industrials — 9.8%
3M		97,082		6,969
Avery Dennison		12,615		316
Boeing		101,432		6,138
C.H. Robinson Worldwide (A)		22,000		1,506
Caterpillar		88,397		6,527
Cintas (A)		14,807		417
CSX		147,050		2,745
Cummins		26,240		2,143
Danaher		78,296		3,284
Deere (A)		55,802		3,603
Dover		25,237		1,176
Dun & Bradstreet		6,900		423
Eaton (A)		47,438		1,684
Emerson Electric		99,906		4,127
Equifax		17,225		529
Expeditors International of Washington		29,700		1,204
Fastenal (A)		40,000		1,331
FedEx (A)		43,705		2,958
Flowserve		7,600		562
Fluor		22,444		1,045
General Dynamics		49,626		2,823
General Electric		1,444,874		22,020
Goodrich		16,920		2,042
Honeywell International		107,255		4,710
Illinois Tool Works (A)		66,724		2,776
Ingersoll-Rand		44,800		1,258
ITT		24,200		1,016
Jacobs Engineering Group* (A)		16,800		542
Joy Global		14,300		892
L-3 Communications Holdings		13,223		819
Lockheed Martin (A)		37,994		2,760
Masco		48,568		346
Norfolk Southern		47,126		2,876
Northrop Grumman (A)		37,319		1,947
PACCAR (A)		50,791		1,718
Pall		16,695		708
Parker Hannifin		21,871		1,381
Pitney Bowes (A)		25,675		483
Precision Castparts		19,200		2,985
Quanta Services*		29,300		551
Raytheon		48,968		2,001
Republic Services		41,183		1,155
Robert Half International		19,927		423
Rockwell Automation		19,626		1,099
Rockwell Collins (A)		21,578		1,138
Roper Industries		12,500		862
RR Donnelley & Sons		21,011		297
Ryder System		5,854		220
Southwest Airlines		113,549		913

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

S & P 500 Index Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Stanley Black & Decker		21,735	$	1,067
Stericycle* (A)		11,400		920
Textron (A)		36,898		651
Tyco International		62,700		2,555
Union Pacific		66,894		5,463
United Parcel Service, Cl B		134,011		8,463
United Technologies		124,132		8,734
Waste Management (A)		63,728		2,075
WW Grainger (A)		7,865		1,176
				142,552
Information Technology — 18.8%
Accenture, Cl A		88,400		4,657
Adobe Systems*		67,936		1,642
Advanced Micro Devices* (A)		77,663		394
Akamai Technologies*		23,900		475
Altera		45,151		1,424
Amphenol, Cl A		22,900		934
Analog Devices		40,599		1,269
Apple*		126,231		48,117
Applied Materials		182,650		1,890
Autodesk* (A)		30,217		839
Automatic Data Processing		66,650		3,142
BMC Software*		24,749		954
Broadcom, Cl A		63,936		2,128
CA		51,827		1,006
Cisco Systems		750,804		11,630
Citrix Systems*		25,442		1,387
Cognizant Technology Solutions, Cl A*		40,700		2,552
Computer Sciences		20,433		549
Compuware*		23,975		184
Corning		209,378		2,588
Dell*		213,474		3,021
eBay*		157,232		4,637
Electronic Arts*		44,378		908
EMC*		282,740		5,935
F5 Networks*		10,200		725
Fidelity National Information Services		35,065		853
First Solar* (A)		7,140		451
Fiserv*		19,980		1,014
Flir Systems		21,700		543
Google, Cl A*		34,391		17,690
Harris (A)		17,400		595
Hewlett-Packard		283,765		6,370
Intel		716,215		15,277
International Business Machines		162,737		28,484
Intuit		40,386		1,916
Iron Mountain (A)		27,600		873
Jabil Circuit		27,979		498
JDS Uniphase*		30,156		301
Juniper Networks*		74,500		1,286
Kla-Tencor		22,571		864
Lexmark International, Cl A* (A)		10,039		271
Linear Technology		29,894		827
LSI Logic*		74,346		385
Mastercard, Cl A		14,600		4,630
MEMC Electronic Materials* (A)		22,700		119

Description	Shares		Market Value ($ Thousands)
Microchip Technology (A)		24,700	$	768
Micron Technology* (A)		142,769		720
Microsoft		1,016,193		25,293
Molex (A)		19,060		388
Monster Worldwide*		18,234		131
Motorola Mobility Holdings*		37,188		1,405
Motorola Solutions		40,129		1,681
NetApp*		51,176		1,737
Novellus Systems* (A)		9,127		249
Nvidia*		84,948		1,062
Oracle		538,888		15,488
Paychex (A)		42,456		1,120
Qualcomm		229,332		11,152
Red Hat*		24,900		1,052
SAIC*		32,944		389
Salesforce.com* (A)		18,000		2,057
SanDisk*		32,400		1,307
Symantec*		101,747		1,659
Tellabs		40,599		174
Teradata*		22,968		1,229
Teradyne* (A)		20,807		229
Texas Instruments		158,549		4,225
Total System Services		19,780		335
VeriSign		23,900		684
Visa, Cl A (A)		70,072		6,007
Western Digital*		30,400		782
Western Union		85,712		1,310
Xerox		189,206		1,319
Xilinx (A)		34,509		947
Yahoo!*		174,438		2,295
				273,428
Materials — 3.2%
Air Products & Chemicals		28,326		2,163
Airgas		8,400		536
AK Steel Holding (A)		11,600		76
Alcoa		148,435		1,421
Allegheny Technologies		13,359		494
Alpha Natural Resources*		28,700		508
Ball		20,482		635
Bemis (A)		13,290		390
CF Industries Holdings		9,590		1,183
Cliffs Natural Resources		19,511		998
Dow Chemical		162,275		3,645
E.I. Du Pont de Nemours		127,735		5,106
Eastman Chemical		8,608		590
Ecolab (A)		31,230		1,527
FMC		9,700		671
Freeport-McMoRan Copper & Gold, Cl B		130,136		3,963
International Flavors & Fragrances		10,894		612
International Paper		57,070		1,327
MeadWestvaco		24,615		605
Monsanto		73,348		4,404
Mosaic		36,700		1,797
Newmont Mining		67,808		4,265
Nucor (A)		40,982		1,297
Owens-Illinois*		23,300		352
PPG Industries		21,345		1,508
Praxair		40,499		3,786
Sealed Air		21,928		366

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

S & P 500 Index Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Sherwin-Williams (A)		12,516	$	930
Sigma-Aldrich		16,136		997
Titanium Metals (A)		9,500		142
United States Steel (A)		17,026		375
Vulcan Materials (A)		17,249		475
				47,144
Telecommunication Services — 3.1%
American Tower, Cl A*		53,000		2,852
AT&T		807,740		23,037
CenturyTel		82,057		2,717
Frontier Communications (A)		130,925		800
MetroPCS Communications*		36,200		315
Sprint Nextel*		387,522		1,178
Verizon Communications		386,198		14,212
Windstream (A)		64,746		755
				45,866
Utilities — 3.8%
AES*		92,990		907
Ameren		31,844		948
American Electric Power		64,415		2,449
Centerpoint Energy		56,168		1,102
CMS Energy (A)		33,492		663
Consolidated Edison (A)		39,233		2,237
Constellation Energy Group		27,399		1,043
Dominion Resources (A)		76,640		3,891
DTE Energy		22,345		1,095
Duke Energy (A)		183,022		3,659
Edison International		43,953		1,681
Entergy		24,064		1,595
Exelon (A)		91,054		3,880
FirstEnergy		55,910		2,511
Integrys Energy Group		10,634		517
NextEra Energy		56,220		3,037
Nicor		6,525		359
NiSource (A)		37,879		810
Northeast Utilities		23,700		798
NRG Energy* (A)		34,500		732
Oneok		14,300		944
Pepco Holdings		30,800		583
PG&E		53,329		2,256
Pinnacle West Capital		15,649		672
PPL		77,371		2,208
Progress Energy		40,783		2,109
Public Service Enterprise Group		67,730		2,260
SCANA (A)		15,500		627
Sempra Energy		32,265		1,662
Southern		117,535		4,980
TECO Energy (A)		27,112		465
Wisconsin Energy		31,200		976
Xcel Energy		65,319		1,613
				55,269
Total Common Stock (Cost $826,868) ($ Thousands)				1,400,909

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 9.7%
SEI Liquidity Fund, L.P.
0.130%**†† (B)		144,794,925	$	141,957
Total Affiliated Partnership (Cost $144,794) ($ Thousands)				141,957
CASH EQUIVALENT — 3.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		50,902,659		50,903
Total Cash Equivalent (Cost $50,903) ($ Thousands)				50,903
U.S. TREASURY OBLIGATIONS (C)(D) — 0.4%
U.S. Treasury Bills
0.014%, 10/20/11	$	1,800		1,800
0.010%, 01/12/12		1,500		1,500
0.010%, 02/23/12		2,100		2,100
Total U.S. Treasury Obligations (Cost $5,400) ($ Thousands)				5,400
Total Investments — 109.7% (Cost $1,027,965) ($ Thousands)			$	1,599,169

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		1,038		Dec-2011	$	(2,827	)

For the period ended September 30, 2011, the total amount of all open futures contracts as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $1,458,272 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

(A) This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $137,997 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2011 was $141,957 ($ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

(D) The rate reported is the effective yield at the time of purchase.

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

5 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

S & P 500 Index Fund

September 30, 2011

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,400,909	$	—	$	—	$	1,400,909
Affiliated Partnership		—		141,957		—		141,957
Cash Equivalent		50,903		—		—		50,903
U.S. Treasury Obligations		—		5,400		—		5,400
Total Investments in Securities	$	1,451,812	$	147,357	$	—	$	1,599,169

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(2,827	)	$	—	$	—	$	(2,827	)
Total Other Financial Instruments	$	(2,827	)	$	—	$	—	$	(2,827	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

6 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 96.5%
Consumer Discretionary — 12.5%
AFC Enterprises*		28,092	$	332
American Axle & Manufacturing Holdings* (A)		7,100		54
American Greetings, Cl A (A)		16,975		314
American Public Education* (A)		23,623		803
Ameristar Casinos		16,238		261
ANN*		6,900		158
Belo, Cl A		38,737		189
BJ’s Restaurants* (A)		8,160		360
Body Central*		7,600		138
Boyd Gaming* (A)		37,650		185
Bravo Brio Restaurant Group*		17,070		284
Brinker International (A)		12,063		252
Brown Shoe (A)		31,800		226
Brunswick		48		1
Cabela’s* (A)		15,980		327
Casual Male Retail Group*		44,400		167
Cato, Cl A		7,494		169
CEC Entertainment		14,150		403
Cheesecake Factory*		2,116		52
Chico’s FAS		28,272		323
Childrens Place Retail Stores* (A)		21,158		985
Collective Brands*		15,960		207
Core-Mark Holding*		9,105		279
Cost Plus*		235		2
CROCS*		14,000		331
Deckers Outdoor*		4,890		456
Destination Maternity		7,600		98
Dick’s Sporting Goods*		4,700		157
Dillard’s, Cl A		39		2
Domino’s Pizza*		3,200		87
Express		6,700		136
Finish Line, Cl A		3,300		66
Francesca’s Holdings*		8,300		176
Gaylord Entertainment* (A)		14,760		285
Genesco*		10,246		528
Gentex		8,840		212
G-III Apparel Group*		3,000		69
Hibbett Sports*		4,200		142
HomeAway* (A)		7,840		264
HOT Topic		13,300		102
HSN (A)		3,455		114
Iconix Brand Group*		265		4
Isle of Capri Casinos* (A)		26,151		127
Jones Group (A)		85,967		792
K12*		5,700		145
Knology*		1,636		21
La-Z-Boy, Cl Z* (A)		8,600		64
Libbey*		23,200		245
Life Time Fitness* (A)		27,397		1,010
LKQ*		4,200		101
Lumber Liquidators Holdings* (A)		16,900		255
Maidenform Brands*		2,400		56
MDC Partners, Cl A		19,400		280
Men’s Wearhouse		14,509		378
Meredith (A)		12,055		273
Meritage Homes* (A)		16,323		247
Monro Muffler (A)		4,955		163

Description	Shares		Market Value ($ Thousands)
Morgans Hotel Group*		50,290	$	301
Morningstar (A)		3,500		197
National CineMedia		42,480		616
New Frontier Media*		20,500		22
Orient-Express Hotels, Cl A*		16,200		112
Oxford Industries (A)		16,340		560
Pandora Media*		6,800		100
Panera Bread, Cl A*		1,300		135
Peet’s Coffee & Tea* (A)		2,400		134
Penske Auto Group (A)		8,908		143
PEP Boys-Manny Moe & Jack		39,899		394
PetMed Express (A)		16,500		148
PF Chang’s China Bistro (A)		2,800		76
Pier 1 Imports*		19,363		189
Pinnacle Entertainment*		34,125		310
Pool		1,000		26
ReachLocal* (A)		31,995		348
Regal Entertainment Group, Cl A (A)		25,640		301
Regis (A)		35,590		502
Ruby Tuesday*		27,216		195
Ryland Group (A)		51,926		553
Sauer-Danfoss*		10,300		298
Select Comfort* (A)		18,298		256
Shutterfly*		12,822		528
Sinclair Broadcast Group, Cl A		4,000		29
Skechers U.S.A., Cl A* (A)		7,700		108
Skullcandy* (A)		20,200		285
Sotheby’s (A)		5,150		142
Stage Stores		29,714		412
Steiner Leisure*		2,600		106
Strayer Education (A)		1,700		130
Sturm Ruger (A)		15,080		392
Systemax*		3		—
Tempur-Pedic International*		2,200		116
Tenneco*		19,509		500
Tesla Motors* (A)		23,330		569
Texas Roadhouse, Cl A		14,075		186
Titan International (A)		11,410		171
Tractor Supply		2,900		181
Ulta Salon Cosmetics & Fragrance*		9,400		585
Universal Technical Institute*		3,500		48
Vail Resorts (A)		9,270		350
Valuevision Media, Cl A*		8,800		21
Vera Bradley* (A)		14,440		521
Warnaco Group*		800		37
Whistler Blackcomb Holdings*		2,100		21
Whistler Blackcomb Holdings		5,100		51
Zumiez*		8,000		140
				25,402
Consumer Staples — 2.6%
Alliance One International*		8,400		21
B&G Foods, Cl A		10,900		182
Casey’s General Stores (A)		12,120		529
Chefs’ Warehouse Holdings*		6,800		80
Chiquita Brands International* (A)		36,400		303
Coca-Cola Bottling Consolidated		1,600		89
Cosan SA Industria e Comercio (Brazil)		6,400		83
Darling International*		12,600		159

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Fresh Market* (A)		15,150	$	578
Hain Celestial Group* (A)		11,607		355
J&J Snack Foods		8,925		429
Medifast* (A)		4,595		74
Nature’s Sunshine Products*		230		3
Nu Skin Enterprises, Cl A (A)		3,700		150
Pantry*		25,182		305
Ruddick (A)		15,455		603
Sanderson Farms		5,560		264
Smart Balance*		320		2
Spartan Stores		33,309		516
Spectrum Brands Holdings*		6,700		158
TreeHouse Foods* (A)		7,027		434
Viterra, Cl Common Subscription Recei		8,400		83
				5,400
Energy — 6.6%
Alberta Oilsands*		184,500		39
Approach Resources* (A)		11,800		200
Berry Petroleum, Cl A		17,824		631
Bill Barrett*		7,580		275
BPZ Resources* (A)		55,700		154
Cabot Oil & Gas		1,100		68
Callon Petroleum*		6,808		26
CARBO Ceramics (A)		2,200		226
Carrizo Oil & Gas*		13,470		290
Clayton Williams Energy* (A)		3,100		133
Cloud Peak Energy* (A)		5,400		91
Complete Production Services*		29,488		556
Comstock Resources* (A)		37,683		583
CVR Energy*		15,000		317
Dawson Geophysical*		1,700		40
Dril-Quip*		11,100		598
Endeavour International*		11,425		91
Energy Partners*		8,300		92
Energy XXI Bermuda*		1,600		34
GeoMet*		48,100		37
GeoResources*		8,200		146
Global Geophysical Services*		22,800		182
Golar LNG		11,800		375
Goodrich Petroleum* (A)		48,477		573
Gulfmark Offshore, Cl A*		800		29
Gulfport Energy*		16,867		408
Houston American Energy		200		3
ION Geophysical*		8,135		38
Karoon Gas Australia*		19,564		54
Key Energy Services*		43,694		415
Kodiak Oil & Gas* (A)		65,975		344
Lone Pine Resources*		23,900		158
Lufkin Industries		3,485		185
Magnum Hunter Resources* (A)		143,120		474
Matrix Service*		23,800		202
Mitcham Industries*		5		—
Newpark Resources*		11,044		67
Northern Oil And Gas* (A)		14,270		277
Oasis Petroleum* (A)		9,100		203
Oceaneering International		4,100		145
Oil States International*		2,200		112
Oilsands Quest*		258,000		54
OYO Geospace*		900		51
Patriot Coal* (A)		3,800		32
Penn Virginia		6,100		34

Description	Shares		Market Value ($ Thousands)
Petroleum Development* (A)		22,105	$	429
Petroquest Energy* (A)		11,500		63
Pioneer Drilling*		44,926		323
Porto Energy*		162,900		55
Quicksilver Resources* (A)		68,079		516
Resolute Energy*		10,600		120
Rosetta Resources*		5,900		202
Scorpio Tankers*		92,537		489
SM Energy		2,000		121
StealthGas*		16,200		64
Stone Energy*		16,800		272
Superior Energy Services*		17,680		464
Swift Energy*		6,650		162
Tesco (A)		20,742		241
Tetra Technologies*		16,100		124
Triangle Petroleum*		21,300		76
Vaalco Energy*		26,891		131
Vantage Drilling* (A)		62,400		78
Venoco*		8,500		75
W&T Offshore (A)		20,500		282
Warren Resources*		29,300		70
Western Refining* (A)		11,700		146
World Fuel Services		486		16
				13,561
Financials — 19.1%
Affiliated Managers Group*		6,050		472
Alexander’s †		200		72
Alterra Capital Holdings (A)		9,200		174
American Assets Trust †		3,500		63
American Campus Communities † (A)		5,200		194
American Capital*		205		1
American Capital Agency † (A)		9,900		268
Amtrust Financial Services (A)		18,434		410
Anworth Mortgage Asset †		11,900		81
Associated Estates Realty †		25,738		398
Bancorpsouth (A)		39,929		351
Bank of Marin Bancorp		315		10
Bank of the Ozarks		16,150		338
Berkshire Hills Bancorp (A)		17,530		324
BGC Partners, Cl A (A)		16,800		101
BioMed Realty Trust †		47,285		784
Boston Private Financial Holdings (A)		52,500		309
Brandywine Realty Trust †		44,935		360
Brasil Brokers Participacoes		15,200		49
BRE Properties, Cl A †		4,530		192
Campus Crest Communities †		35,500		386
Capstead Mortgage †		7,083		82
Cardinal Financial		19,855		171
Cardtronics*		2,700		62
Central Pacific Financial* (A)		30,765		317
Chatham Lodging Trust †		8,200		81
Chemical Financial		43		1
City National		4,650		176
CNO Financial Group* (A)		55,700		301
CoBiz Financial		76,495		342
Cohen & Steers (A)		8,200		236
Colonial Properties Trust †		14,306		260
Cowen Group, Cl A* (A)		23,100		63
CreXus Investment †		36,200		321
CubeSmart †		46,939		400

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
DDR † (A)		32,342	$	353
Delphi Financial Group, Cl A		10,300		222
DFC Global* (A)		5,193		113
DiamondRock Hospitality †		59,856		418
Douglas Emmett † (A)		11,220		192
Duff & Phelps		5,600		60
DuPont Fabros Technology † (A)		17,645		347
Eagle Bancorp*		37,847		445
Education Realty Trust †		95,995		825
Encore Bancshares*		14,150		151
Encore Capital Group*		11,800		258
Equity Lifestyle Properties †		2,162		136
ESSA Bancorp (A)		8,086		85
Excel Trust †		43,474		418
Extra Space Storage †		2,700		50
Ezcorp, Cl A*		3,800		108
FBR*		80,600		192
Financial Engines* (A)		26,405		478
First Busey		300		1
First Cash Financial Services*		672		28
First Financial Bancorp		34,056		470
First Horizon National		188		1
First Midwest Bancorp		4,046		30
First Potomac Realty Trust †		37,000		461
FirstMerit		65,036		739
Flushing Financial		8,700		94
Fpic Insurance Group*		10,920		457
Fulton Financial		38,468		294
Gain Capital Holdings* (A)		19,700		124
General Shopping Brasil (Brazil)*		8,700		47
Gladstone Commercial †		6,500		102
Glimcher Realty Trust † (A)		11,100		79
Global Indemnity, Cl A*		14,500		248
Government Properties Income Trust †		8,000		172
Great American Group*		52,600		5
Greenhill (A)		6,770		194
Hancock Holding		34,178		915
Hanover Insurance Group		28,542		1,013
Highwoods Properties † (A)		36,277		1,025
Home Bancshares		12,800		272
Home Properties † (A)		6,800		386
Hudson Valley Holding		5,337		93
IBERIABANK		2,900		136
Inland Real Estate † (A)		53,035		387
Investors Real Estate Trust †		4,500		32
Kennedy-Wilson Holdings (A)		12,900		137
Kilroy Realty †		3,400		106
Knight Capital Group, Cl A*		10,100		123
LaSalle Hotel Properties †		21,275		409
Lexington Realty Trust † (A)		79,152		518
LTC Properties †		14,538		368
Maiden Holdings		41,400		306
MarketAxess Holdings		10,700		278
MB Financial		21,766		320
Meadowbrook Insurance Group		107,718		960
Medical Properties Trust †		8,700		78
MFA Financial †		11,000		77
Mid-America Apartment Communities † (A)		8,281		499
Nara Bancorp*		30		—
National Financial Partners* (A)		32,435		355
National Health Investors †		191		8

Description	Shares		Market Value ($ Thousands)
National Penn Bancshares (A)		70,704	$	496
National Retail Properties † (A)		34,763		934
Nelnet, Cl A		10,000		188
NorthStar Realty Finance † (A)		70,785		234
Northwest Bancshares (A)		9,100		108
Ocwen Financial*		22,700		300
Old National Bancorp		49,839		464
Omega Healthcare Investors †		4,800		76
One Liberty Properties †		158		2
Pacific Continental		19,397		137
PacWest Bancorp (A)		18,740		261
PennantPark Investment		36,795		328
Platinum Underwriters Holdings		15,025		462
Post Properties †		2,211		77
Potlatch †		2,977		94
ProAssurance		6,455		465
Prosperity Bancshares		14,035		459
Renasant (A)		9,000		115
RLI (A)		7,959		506
Safeguard Scientifics*		36,206		543
Sandy Spring Bancorp		19,018		278
SCBT Financial		7,100		175
Signature Bank NY*		6,320		302
Simmons First National, Cl A		6,300		137
Starwood Property Trust †		6,300		108
Stifel Financial*		10,000		266
Summit Hotel Properties †		11,000		78
Sunstone Hotel Investors* †		54,438		310
Susquehanna Bancshares (A)		72,363		396
Synovus Financial (A)		118,050		126
Tanger Factory Outlet Centers †		7,000		182
THL Credit		13,000		142
Titanium Asset Management*		4,111		2
Titanium Asset Management PIPE* (C) (D)		2,000		2
Trustmark (A)		19,841		360
United Financial Bancorp		6,800		93
Uranium Participation*		14,800		80
Validus Holdings		8,800		219
ViewPoint Financial Group		19,660		225
Waddell & Reed Financial, Cl A		12,754		319
Washington Real Estate Investment Trust † (A)		20,256		571
Webster Financial (A)		25,070		384
West Bancorporation		204		2
Western Alliance Bancorp* (A)		173,182		949
Wintrust Financial (A)		21,104		545
WisdomTree Investments*		38,025		267
World Acceptance* (A)		8,945		501
WSFS Financial		11,993		379
				38,995
Health Care — 13.8%
Abaxis*		8,859		203
ABIOMED* (A)		18,100		200
Accuray* (A)		33,700		135
Acorda Therapeutics*		7,500		150
Aegerion Pharmaceuticals*		13,130		166
Air Methods*		3,005		191
Alere* (A)		10,000		196
Align Technology* (A)		23,700		359
Alkermes*		25,500		389
Amarin ADR*		11,100		102

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
AMERIGROUP* (A)		4,179	$	163
AMN Healthcare Services*		24,500		98
Amsurg*		4,400		99
Ardea Biosciences*		2,700		42
Arena Pharmaceuticals* (A)		72,579		105
Ariad Pharmaceuticals* (A)		74,030		651
Arqule*		11,900		60
Arthrocare*		1,100		32
AVEO Pharmaceuticals* (A)		28,100		432
Bruker BioSciences*		23,060		312
Catalyst Health Solutions*		3,100		179
Centene*		5,500		158
Cepheid* (A)		9,600		373
Chemed		4,208		231
Computer Programs & Systems		4,900		324
Conmed*		16,150		372
Cross Country Healthcare*		7,400		31
Cubist Pharmaceuticals* (A)		25,662		906
Cyberonics*		2,600		74
Depomed* (A)		16,100		87
Durect*		60,618		98
DynaVox, Cl A*		41,614		150
Emergent Biosolutions*		20,555		317
Emeritus* (A)		25,580		361
Ensign Group (A)		6,100		141
Enzon Pharmaceuticals*		245		2
eResearchTechnology*		42,400		189
Exact Sciences*		5,100		34
Fluidigm*		19,117		267
Greatbatch*		20,185		404
Halozyme Therapeutics*		50,620		311
Hansen Medical* (A)		61,282		203
Health Management Associates, Cl A*		67,183		465
Health Net*		13,070		310
Healthsouth*		16,635		248
Healthspring*		21,750		793
HealthStream*		204		3
HeartWare International* (A)		1,800		116
Hill-Rom Holdings		5,800		174
HMS Holdings*		9,900		242
ICU Medical* (A)		12,892		474
Idenix Pharmaceuticals*		24,010		120
Immunogen*		5,000		55
Impax Laboratories*		28,600		512
Imris*		51,717		202
Incyte* (A)		16,400		229
Insulet* (A)		36,865		562
InterMune*		4,800		97
Invacare		27,038		623
IPC The Hospitalist*		8,325		297
Ironwood Pharmaceuticals, Cl A*		3,700		40
ISTA Pharmaceuticals*		57,500		198
Jazz Pharmaceuticals* (A)		6,600		274
Kensey Nash*		2,200		54
Kindred Healthcare* (A)		17,276		149
LHC Group*		4,600		79
LifePoint Hospitals*		11,089		406
Magellan Health Services*		26,997		1,304
MAKO Surgical*		2,900		99
MAP Pharmaceuticals*		4,500		66
Masimo (A)		19,056		413
Maxygen		625		3

Description	Shares		Market Value ($ Thousands)
Medcath*		435	$	6
Medical Action Industries*		31,300		158
Medicines*		14,700		219
Medicis Pharmaceutical, Cl A		18,757		684
Medivation*		3,726		63
Mednax* (A)		9,835		616
MELA Sciences* (A)		24,600		109
Meridian Bioscience		176		3
Momenta Pharmaceuticals*		256		3
MWI Veterinary Supply*		1,700		117
Myriad Genetics*		14,730		276
Natus Medical*		15,800		150
Nektar Therapeutics* (A)		23,330		113
Neogen*		2,100		73
Neoprobe* (A)		29,400		87
Neurocrine Biosciences*		7,200		43
NPS Pharmaceuticals*		10,000		65
NuVasive* (A)		31,978		546
NxStage Medical* (A)		20,800		434
Omnicell*		33,480		461
Onyx Pharmaceuticals*		8,030		241
Optimer Pharmaceuticals*		5,500		76
Pain Therapeutics (A)		3,400		16
PDL BioPharma (A)		2,783		15
Pharmacyclics*		4,800		57
Pharmasset*		700		58
Providence Service*		32,900		350
Questcor Pharmaceuticals* (A)		35,250		961
Rigel Pharmaceuticals*		12,600		93
Sagent Pharmaceuticals*		13,270		269
Salix Pharmaceuticals*		10,937		324
Sirona Dental Systems*		3,000		127
Spectrum Pharmaceuticals* (A)		28,000		214
STERIS		11,148		326
Sunrise Senior Living* (A)		44,500		206
SXC Health Solutions*		3,800		212
Symmetry Medical*		18,500		143
Syneron Medical*		37,330		370
Targacept*		705		10
Theravance* (A)		6,600		133
Thoratec*		7,250		237
Tornier BV* (A)		18,829		386
Viropharma*		9,100		164
Volcano*		4,800		142
WellCare Health Plans*		9,385		356
Zoll Medical*		12,139		458
				28,074
Industrials — 17.1%
AAR (A)		22,511		375
ABM Industries (A)		9,400		179
Acacia Research - Acacia Technologies*		5,200		187
Actuant, Cl A (A)		34,488		681
Acuity Brands (A)		9,670		348
Aegean Marine Petroleum Network (A)		49,400		223
AerCap Holdings*		61,058		606
Air Transport Services Group*		22,900		99
Alaska Air Group*		2,000		113
Altra Holdings*		77		1
Ametek		4,000		132
AO Smith		6,467		207

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
APAC Customer Services*		1,260	$	11
Applied Industrial Technologies		10,900		296
Atlas Air Worldwide Holdings*		2,700		90
Avis Budget Group*		36,180		350
BE Aerospace*		14,600		483
Belden		18,810		485
Brady, Cl A		13,705		362
Briggs & Stratton		102		1
Carlisle		11,620		371
Celadon Group		19,194		170
Ceradyne*		5,546		149
Clean Harbors*		9,500		487
Columbus McKinnon*		24,100		264
Consolidated Graphics*		10,688		390
Copa Holdings, Cl A		2,585		158
Corporate Executive Board		5,475		163
Corrections Corp of America*		4,700		107
CoStar Group*		3,900		203
Crane		15,188		542
Cubic		14,993		586
Curtiss-Wright		17,782		513
DigitalGlobe*		15,950		310
Dollar Thrifty Automotive Group* (A)		3,000		169
Dycom Industries*		28,153		431
Dynamic Materials		16,297		257
EMCOR Group		40,584		825
EnerSys*		12,160		243
ESCO Technologies		17,858		455
Exponent*		3,700		153
Flow International*		15,700		35
Force Protection*		21,700		84
Franklin Electric		1,200		44
FTI Consulting* (A)		14,875		548
G&K Services		16,360		418
Generac Holdings*		10,237		193
General Cable*		12,020		281
Genesee & Wyoming, Cl A* (A)		12,117		564
Geo Group*		38,050		706
Global Power Equipment Group* (A)		6,700		156
Graco		4,740		162
GrafTech International* (A)		4,100		52
Great Lakes Dredge & Dock		11,600		47
Greenbrier*		24,139		281
H&E Equipment Services*		10,400		86
Hawaiian Holdings* (A)		99,330		418
HEICO (A)		14,311		705
Hexcel*		25,328		561
Higher One Holdings*		104		2
Huron Consulting Group*		5,824		181
ICF International*		8,400		158
IDEX		4,900		153
InnerWorkings* (A)		46,371		363
Insituform Technologies, Cl A*		37		1
Insperity		6,300		140
Interface, Cl A		36,930		438
John Bean Technologies		13,030		186
Kadant*		16,522		293
KAR Auction Services*		5		—
Kaydon		14,841		426
Kelly Services, Cl A		2,283		26
Keyw Holding*		11,500		82

Description	Shares		Market Value ($ Thousands)
Kirby*		5,600	$	295
Knight Transportation		4,800		64
Korn/Ferry International*		60		1
Kratos Defense & Security Solutions*		12,000		80
Lincoln Electric Holdings		5,200		151
Lindsay		1,500		81
Marten Transport		36,650		632
MasTec*		250		4
Michael Baker*		4,600		88
Middleby*		7,930		559
Mistras Group*		15,620		275
Mobile Mini* (A)		19,075		314
Moog, Cl A*		12,240		399
Mueller Industries		2,500		96
Mueller Water Products, Cl A (A)		57,884		144
Navigant Consulting*		36,100		335
Northwest Pipe*		9,070		184
Old Dominion Freight Line*		29,909		866
Orion Marine Group*		37,500		216
Polypore International*		9,011		509
Quanex Building Products		21,465		235
Rand Logistics*		9,700		60
Raven Industries		2,928		141
RBC Bearings*		5,400		184
Robbins & Myers		24,717		858
Rollins		10,350		194
RPX*		6,900		143
RSC Holdings* (A)		11,400		81
Rush Enterprises, Cl A*		25,103		355
SeaCube Container Leasing		8,300		101
Simpson Manufacturing		18,160		453
Spirit Airlines*		42,100		526
Standard Parking*		24		—
Standex International (A)		6,211		193
Sun Hydraulics		8,300		169
TAL International Group (A)		17,810		444
Team*		1,300		27
Teleflex		4,700		253
Tennant		1,447		51
Tetra Tech*		18,160		340
Textainer Group Holdings		4,100		83
Thermon Group Holdings*		7,600		105
Titan Machinery*		8,512		152
TMS International, Cl A*		13,200		96
Tredegar		90		1
Trex* (A)		14,600		234
Trinity Industries		5,000		107
TrueBlue*		13,200		150
Tutor Perini		26,400		303
United Rentals* (A)		28,713		483
United Stationers		3,300		90
US Airways Group* (A)		40,800		225
Valmont Industries		1,700		132
Vitran*		17,870		71
Wabash National* (A)		237,243		1,132
Wabtec		7,630		403
Watsco		5,510		282
Werner Enterprises (A)		19,037		396
Zipcar* (A)		20,710		373
				34,884

5 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Information Technology — 16.4%
ACI Worldwide* (A)		8,000	$	220
Adtran		22,775		603
Advent Software*		235		5
Aeroflex Holding*		34,400		313
Amtech Systems* (A)		17,400		139
Ancestry.com* (A)		20,270		476
Ariba*		28		1
Arris Group*		9,300		96
Aruba Networks* (A)		23,470		491
Aspen Technology*		12,300		188
Aviat Networks*		34,687		81
Avid Technology*		49,375		382
Benchmark Electronics*		27,227		354
Blackbaud		400		9
Booz Allen Hamilton Holding, Cl A*		8,357		124
Brightpoint*		48		1
BroadSoft* (A)		30,991		941
Cavium* (A)		11,085		299
CDC Software ADR*		45,199		149
Ceva*		9,200		224
Ciber*		96,900		294
Ciena* (A)		13,771		154
Cirrus Logic*		20		—
Cognex		5,400		146
Coherent*		1,200		52
CommVault Systems*		11,911		441
Comverse Technology*		11,700		82
Concur Technologies* (A)		12,275		457
Constant Contact* (A)		28,130		486
Cornerstone OnDemand* (A)		15,600		196
CSG Systems International*		187		2
Cymer* (A)		11,135		414
Cypress Semiconductor		125		2
DealerTrack Holdings*		28,730		450
Digi International*		15,300		168
Digital River* (A)		29,635		614
DTS*		4,565		113
Earthlink		74,425		486
Electronics for Imaging*		117		2
Emulex*		13,500		86
Entegris*		64,300		410
Envestnet*		23,457		235
Fabrinet* (A)		6,700		125
Fair Isaac		160		4
Fairchild Semiconductor International*		52,126		563
FARO Technologies*		1,500		47
Forrester Research		2,596		84
Fortinet*		17,500		294
Fusion-io* (A)		10,940		208
Glu Mobile* (A)		73,100		154
GT Advanced Technologies* (A)		16,243		114
Hackett Group*		66,600		248
Hittite Microwave*		13,800		672
Informatica*		1,700		70
Inphi* (A)		84,455		741
Integrated Device Technology* (A)		117,791		607
Interactive Intelligence Group* (A)		3,700		100

Description	Shares		Market Value ($ Thousands)
InterDigital (A)		4,500	$	210
International Rectifier* (A)		21,765		405
IntraLinks Holdings*		16,890		127
j2 Global Communications (A)		16,957		456
JDA Software Group*		17,661		414
Keynote Systems		4,500		95
KIT Digital* (A)		11,797		99
Lattice Semiconductor*		56,600		297
Liquidity Services*		4,600		148
LogMein*		12,120		403
Loral Space & Communications*		200		10
LTX-Credence*		14,033		74
Magma Design Automation*		8,300		38
Magnachip Semiconductor*		6,800		46
Manhattan Associates*		9,700		321
MAXIMUS		14,400		503
Mellanox Technologies*		24,110		753
Mentor Graphics*		44,338		427
Micrel		9,700		92
Micros Systems*		2,700		119
Microsemi*		6,900		110
MicroStrategy, Cl A*		2,009		229
Mitel Networks*		32,900		70
Monolithic Power Systems*		25,270		257
Monotype Imaging Holdings*		1,600		19
Move*		12,600		18
MTS Systems		1,700		52
Netgear*		12,600		326
Netlogic Microsystems*		2,900		140
Netscout Systems*		7,400		85
NetSuite* (A)		13,100		354
NIC		23,200		266
Nuance Communications* (A)		16,770		341
Omnivision Technologies*		700		10
OpenTable* (A)		5,300		244
Oplink Communications*		3,500		53
Opnet Technologies		11,100		388
OSI Systems*		2,800		94
Parametric Technology*		44,499		684
Park Electrochemical		6,825		146
Parkervision* (A)		78,100		70
Photronics* (A)		49,966		249
Plantronics		12,700		361
Plexus*		15,156		343
PMC - Sierra*		16,100		96
Progress Software*		2,110		37
QLIK Technologies*		5,500		119
Quality Systems (A)		1,600		155
Quest Software*		277		4
Rackspace Hosting* (A)		7,970		272
RealD* (A)		19,350		181
RealPage* (A)		17,790		364
Responsys*		14,275		154
RF Micro Devices*		31,795		202
RightNow Technologies*		5,400		179
Riverbed Technology*		7,300		146
Rosetta Stone* (A)		23,656		216
Saba Software*		11,900		69
Sapient		48,614		493
Seachange International*		11,300		87
ServiceSource International*		15,500		205
ShoreTel*		21,800		109

6 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Silicon Graphics International* (A)		11,100	$	132
Silicon Image*		41,300		242
Silicon Laboratories* (A)		11,360		381
SolarWinds*		25,530		562
Sourcefire* (A)		15,250		408
SuccessFactors* (A)		13,700		315
Sycamore Networks		35,176		635
SYNNEX*		5,465		143
Syntel		750		32
Taleo, Cl A*		21,500		553
TeleNav* (A)		9,200		82
TeleTech Holdings*		11,603		177
Teradyne*		11,300		124
TIBCO Software*		18,500		414
Travelzoo* (A)		6,388		141
TTM Technologies*		31,073		296
Tyler Technologies*		8,220		208
Ultimate Software Group* (A)		1,457		68
Ultra Clean Holdings*		41,210		177
Universal Display* (A)		1,200		58
Valueclick*		9,322		145
Veeco Instruments* (A)		750		18
VeriFone Holdings*		1,800		63
VirnetX Holding* (A)		2,300		34
VistaPrint* (A)		11,114		300
Vocus*		5,200		87
Websense* (A)		1,990		34
Westell Technologies, Cl A*		1,040		2
XO Group* (A)		10,580		86
				33,368
Materials — 4.5%
Allied Nevada Gold* (A)		2,300		82
AM Castle*		15		—
AMCOL International (A)		8,307		199
Aptargroup		1,700		76
Balchem (A)		4,300		161
Carpenter Technology		9,388		421
Clearwater Paper* (A)		900		31
Commercial Metals		6,680		64
Cytec Industries		31		1
EcoSynthetix*		10,600		77
Ferro*		134		1
Flotek Industries* (A)		35,200		164
Globe Specialty Metals		51,761		752
Great Basin Gold* (A)		134,325		227
H.B. Fuller		251		5
Haynes International		8,300		361
Hecla Mining*		20,752		111
Horsehead Holding*		59,541		442
Innophos Holdings		18,158		724
Innospec*		21,240		514
LSB Industries*		5,500		158
Materion*		4,800		109
Minerals Technologies		8,196		404
New Gold*		7,000		72
NewMarket		872		132
Noranda Aluminum Holding*		32,478		271
OM Group*		3,400		88
PolyOne		71,460		765
Quaker Chemical		8,198		213
Romarco Minerals*		45,600		52

Description	Shares		Market Value ($ Thousands)
RTI International Metals* (A)		30,595	$	713
Sandstorm Gold*		52,900		53
Schweitzer-Mauduit International		2,100		117
Sensient Technologies		15,310		498
Silgan Holdings (A)		13,170		484
Silver Standard Resources*		14,525		267
Solutia*		8,300		107
TPC Group*		2,700		54
Universal Stainless & Alloy*		2,700		69
Worthington Industries (A)		14,067		196
				9,235
Telecommunication Services — 0.7%
AboveNet		800		43
Boingo Wireless*		35,650		255
Cogent Communications Group*		12,205		164
Fairpoint Communications* (A)		30,500		131
IDT, Cl B		6,300		128
Leap Wireless International* (A)		11,100		76
Neutral Tandem*		28,800		279
PAETEC Holding*		66,284		351
Premiere Global Services*		279		2
				1,429
Utilities — 3.2%
Cadiz* (A)		17,000		135
California Water Service Group		3,500		62
Chesapeake Utilities		8,306		333
Cia de Saneamento de Minas Gerais-COPASA (Brazil)		5,000		79
Cleco		14,662		501
El Paso Electric		11,823		379
Idacorp		13,458		508
MGE Energy		260		11
New Jersey Resources (A)		10,492		447
Northwest Natural Gas		8,827		389
PNM Resources		36,344		597
Portland General Electric		27,995		663
Southwest Gas		10,499		380
UIL Holdings (A)		26,876		885
Unisource Energy		2,500		90
Vectren		17,949		486
Westar Energy		3,600		95
WGL Holdings		11,076		433
				6,473
Total Common Stock (Cost $222,750) ($ Thousands)				196,821
PREFERRED STOCK — 0.1%
Consumer Discretionary — 0.1%
Callaway Golf		1,100		103
				103
Energy — 0.0%
GeoMet		5,750		49
				49
Financials — 0.0%
Grubb & Ellis (B)		800		22
Grubb & Ellis Cumulative*		900		24
				46
Total Preferred Stock (Cost $346) ($ Thousands)				198

7 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Fund

September 30, 2011

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
	Number of Warrants
WARRANTS — 0.0%
Kulim Malaysia		10,100	$	—
Magnum Hunter Resources Expires 08/29/14*		12,911		—
Sandstorm Gold Expires 2014*		12,375		6
Total Warrants (Cost $—) ($Thousands)				6
CONVERTIBLE BONDS — 0.1%
Energy — 0.0%
Rentech CV to 249.2522
4.000%, 04/15/13		86		70
Financials — 0.0%
Grubb & Ellis CV to 445.583
7.950%, 05/01/15 (B)		36		26
Total Convertible Bonds (Cost $103) ($ Thousands)				96
AFFILIATED PARTNERSHIP — 29.1%
SEI Liquidity Fund, L.P.
0.130%**†† (E)		59,288,692		59,289
Total Affiliated Partnership (Cost $59,289) ($ Thousands)				59,289
CASH EQUIVALENT — 3.4%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		6,921,005		6,921
Total Cash Equivalent (Cost $6,921) ($ Thousands)				6,921
U.S. TREASURY OBLIGATIONS (F)(G) — 0.6%
U.S. Treasury Bills
0.066%, 06/28/12	$	491		491
0.014%, 12/15/11		753		753
0.000%, 12/08/11		19		19
Total U.S. Treasury Obligations (Cost $1,263) ($ Thousands)				1,263
Total Investments — 129.8% (Cost $290,672) ($ Thousands)			$	264,594

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		75		Dec-2011	$	(213	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $203,909 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

(A) This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $55,648 ($ Thousands).

(B) 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.

(C) Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2011 was $2 ($ Thousands) and represented 0.00% of Net Assets.

(D) 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, 2011 was $2 ($ Thousands) and represented 0.00% of Net Assets.

(E) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2011 was $59,289 ($ Thousands).

(F) Security, or portion thereof, has been pledged as collateral on open futures contracts.

(G) The rate reported is the effective yield at the time of purchase.

ADR — American Depositary Receipt

Cl — Class

CV — Convertible

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

Amounts designated as “—” are $0 or has been rounded to $0.

8 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Fund

September 30, 2011

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	196,817	$	2	$	2	$	196,821
Preferred Stock		—		198		—		198
Warrants		—		6		—		6
Convertible Bonds		—		96		—		96
Affiliated Partnership		—		59,289		—		59,289
Cash Equivalent		6,921		—		—		6,921
U.S. Treasury Obligations		—		1,263		—		1,263
Total Investments in Securities	$	203,738	$	60,854	$	2	$	264,594

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(213	)	$	—	$	—	$	(213	)
Total Other Financial Instruments	$	(213	)	$	—	$	—	$	(213	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

The following is a reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

	Common Stock			Corporate Obligation
Beginning balance as of October 1, 2010	$	6		$	19
Accrued discounts/premiums		—			(1	)
Realized gain/(loss)		—			2
Change in unrealized appreciation/(depreciation)		(4	)		—
Net purchases/sales		—			(20	)
Net transfer in and/or out of Level 3		—			—
Ending balance as of September 30, 2011	$	2		$	—
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	(4	)	$	—

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

9 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Value Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.6%‡
Consumer Discretionary — 9.5%
AFC Enterprises*		48,599	$	575
American Eagle Outfitters		65,884		772
American Greetings, Cl A (A)		50,635		937
Ameristar Casinos		24,851		399
ANN* (A)		31,819		727
Arbitron		12,000		397
Arctic Cat*		25,400		368
Belo, Cl A		104,925		513
Big Lots*		16,200		564
Bob Evans Farms (A)		14,000		399
Body Central*		25,153		457
Brown Shoe (A)		106,240		757
Callaway Golf (A)		113,518		587
Casual Male Retail Group* (A)		148,500		558
Cato, Cl A		15,700		354
Chico’s FAS		48,575		555
Childrens Place Retail Stores* (A)		20,240		942
Coinstar* (A)		7,200		288
Cooper Tire & Rubber		108,416		1,181
Core-Mark Holding*		15,660		480
Cracker Barrel Old Country Store (A)		3,200		128
CSS Industries		24,100		402
DreamWorks Animation SKG, Cl A* (A)		38,500		700
Ethan Allen Interiors (A)		36,972		503
Federal Mogul, Cl A*		28,800		425
Foot Locker		27,600		555
hhgregg* (A)		52,421		511
Hyatt Hotels, Cl A*		12,600		395
Insight Enterprises*		27,600		418
International Speedway, Cl A		24,055		550
Jack in the Box*		35,000		697
Jakks Pacific (A)		33,200		629
Jones Group (A)		113,135		1,042
Journal Communications, Cl A*		107,100		318
La-Z-Boy, Cl Z* (A)		29,020		215
Libbey*		77,719		819
Lincoln Educational Services (A)		22,600		183
Matthews International, Cl A		31,200		960
MDC Partners, Cl A		64,800		935
Men’s Wearhouse		51,963		1,355
Meredith (A)		49,430		1,119
New Frontier Media*		67,336		72
Penske Auto Group (A)		29,400		470
PEP Boys-Manny Moe & Jack (A)		68,683		678
PetMed Express (A)		19,300		174
Pinnacle Entertainment * (A)		58,610		532
Pool (A)		3,380		88
RadioShack		43,800		509
Regis (A)		139,424		1,964
Rent-A-Center		73,800		2,026
Ruby Tuesday* (A)		29,900		214
Ryland Group (A)		31,425		335
Scholastic		25,700		720
Scientific Games, Cl A*		75,620		539
Sinclair Broadcast Group, Cl A		44,400		318

Description	Shares		Market Value ($ Thousands)
Skechers U.S.A., Cl A* (A)		51,400	$	721
Stage Stores		40,100		556
Standard Motor Products		26,700		346
Universal Electronics*		16,800		275
Warnaco Group*		3,400		157
WMS Industries*		40,317		709
				36,072
Consumer Staples — 3.6%
Alliance One International*		28,200		69
Cal-Maine Foods (A)		35,500		1,116
Casey’s General Stores (A)		16,097		703
Central Garden and Pet*		45,135		311
Central Garden and Pet, Cl A*		40,484		287
Chiquita Brands International* (A)		150,220		1,253
Corn Products International		36,258		1,423
Darling International*		20,200		254
Dole Food* (A)		60,343		603
Fresh Del Monte Produce		19,500		452
Imperial Sugar		4,200		27
Ingles Markets, Cl A		31,975		455
J&J Snack Foods		12,205		587
Nash Finch (A)		10,700		288
Pantry*		144,953		1,758
Prestige Brands Holdings*		71,993		652
Sanderson Farms (A)		15,280		726
Seneca Foods, Cl A* (A)		1,465		29
Spartan Stores		77,688		1,203
Spectrum Brands Holdings*		22,300		527
Universal (A)		12,900		462
Village Super Market, Cl A		761		18
Weis Markets		10,900		404
				13,607
Energy — 4.7%
Approach Resources* (A)		39,500		671
Atwood Oceanics* (A)		2,300		79
Berry Petroleum, Cl A (A)		43,513		1,540
Bill Barrett*		13,405		486
BPZ Resources* (A)		96,800		268
Cal Dive International*		37,727		72
Cloud Peak Energy* (A)		57,100		968
Complete Production Services*		24,625		464
Comstock Resources* (A)		45,200		699
Energy Partners *		27,920		309
Forest Oil*		53,300		768
GeoMet*		160,800		124
Global Geophysical Services*		7,060		56
Goodrich Petroleum* (A)		71,358		843
Gulfmark Offshore, Cl A*		15,200		552
Key Energy Services*		134,492		1,276
Lone Pine Resources*		33,000		218
Magnum Hunter Resources* (A)		147,965		490
Matrix Service *		67,400		574
Newpark Resources * (A)		35,880		219
Northern Oil And Gas * (A)		14,860		288
Parker Drilling*		70,800		311
Penn Virginia (A)		52,500		292
Scorpio Tankers* (A)		205,000		1,082
SEACOR Holdings		5,200		417
StealthGas*		54,520		214

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Value Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Superior Energy Services *		12,400	$	326
Swift Energy*		48,998		1,193
Tesoro* (A)		37,600		732
Tidewater (A)		20,000		841
USEC* (A)		134,800		217
W&T Offshore (A)		15,400		212
Western Refining * (A)		33,800		421
World Fuel Services		25,400		829
				18,051
Financials — 34.7%
1st Source		30,000		625
Abington Bancorp		1,100		8
Advance America Cash Advance Centers		85,800		632
Agree Realty † (A)		10,300		224
Alliance Financial (A)		2,000		56
Allied World Assurance Holdings		7,900		424
Alterra Capital Holdings (A)		44,900		852
American Campus Communities †		9,100		339
American Capital Agency † (A)		33,000		894
American Equity Investment Life Holding (A)		45,500		398
Ameris Bancorp*		12,644		110
Ames National (A)		250		4
Anworth Mortgage Asset †		128,000		870
Apartment Investment & Management, Cl A †		52,015		1,151
Ashford Hospitality Trust † (A)		56,700		398
Aspen Insurance Holdings		16,000		369
Astoria Financial		27,200		209
AvalonBay Communities † (A)		12,719		1,451
Bancfirst (A)		4,400		146
Banco Latinoamericano de Exportaciones, Cl E		48,250		735
Bancorp*		13,600		97
Bancorp Rhode Island		1,600		68
Bancorpsouth (A)		74,407		653
Bank of Kentucky Financial		1,600		32
Bank of Marin Bancorp (A)		2,000		66
Bank of the Ozarks		29,940		627
BankFinancial		6,350		42
Banner (A)		13,850		177
Beneficial Mutual Bancorp*		8,600		64
Berkshire Hills Bancorp		30,255		559
BGC Partners, Cl A (A)		33,900		204
BioMed Realty Trust † (A)		104,392		1,730
BofI Holding*		1,450		19
Boston Private Financial Holdings (A)		295,228		1,736
Boston Properties † (A)		9,885		881
Brandywine Realty Trust †		132,705		1,063
Brookline Bancorp (A)		20,700		160
Bryn Mawr Bank		5,500		91
Camden National		13,750		374
Campus Crest Communities †		118,800		1,292
Cape Bancorp*		1,650		12
Capital City Bank Group (A)		5,850		61
CapLease †		102,100		369
Capstead Mortgage † (A)		32,600		376

Description	Shares		Market Value ($ Thousands)
Cardinal Financial		50,411	$	435
Cathay General Bancorp (A)		22,200		253
CBL & Associates Properties † (A)		96,341		1,094
Central Pacific Financial*		13,300		137
Chatham Lodging Trust †		27,600		274
Chemical Financial		10,100		155
Citizens & Northern		4,300		64
Citizens Republic Bancorp*		6,123		42
City Holding (A)		7,250		196
CNB Financial (A)		1,400		18
CNO Financial Group*		291,900		1,579
CoBiz Financial		153,110		684
Colonial Properties Trust † (A)		44,608		810
Columbia Banking System		13,600		195
CommonWealth †		53,529		1,015
Community Bank System (A)		16,500		374
Community Trust Bancorp		19,950		465
Corporate Office Properties Trust † (A)		33,100		721
CreXus Investment †		89,600		796
CVB Financial (A)		97,331		748
CYS Investments † (A)		30,400		368
Delphi Financial Group, Cl A		34,300		738
Dime Community Bancshares		19,700		200
DuPont Fabros Technology † (A)		29,920		589
Dynex Capital † (A)		43,600		351
Eagle Bancorp*		70,472		829
Education Realty Trust †		163,464		1,404
Employers Holdings		89,007		1,136
Encore Bancshares* (A)		47,490		506
Encore Capital Group*		14,800		323
Endurance Specialty Holdings		48,384		1,652
Enterprise Bancorp		1,150		14
Enterprise Financial Services		6,700		91
Equity One † (A)		56,236		892
Equity Residential †		39,100		2,028
ESB Financial		1,490		16
ESSA Bancorp (A)		27,200		286
Excel Trust †		74,161		713
Extra Space Storage †		27,986		521
FBL Financial Group, Cl A (A)		26,800		714
FBR*		269,600		642
Federal Realty Investment Trust † (A)		3,804		314
Federated Investors, Cl B (A)		41,235		723
Financial Institutions		6,900		98
First Bancorp (A)		9,200		96
First BanCorp* (A)		1,880		5
First Busey (A)		37,000		161
First Commonwealth Financial		59,550		220
First Community Bancshares (A)		8,550		87
First Defiance Financial*		3,000		40
First Financial (A)		5,300		146
First Financial Bancorp (A)		77,923		1,075
First Financial Holdings		19,556		78
First Horizon National		119,055		710
First Interstate Bancsystem, Cl A		10,700		115
First Merchants		25,950		183
First Midwest Bancorp		132,499		970
First of Long Island		650		15

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Value Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
First Potomac Realty Trust †		63,710	$	794
FirstMerit		154,878		1,759
Flagstar Bancorp*		5,240		3
Flushing Financial		66,800		721
FNB (Pennsylvania) (A)		63,300		542
Franklin Financial*		50		—
General Growth Properties †		65,582		794
German American Bancorp		2,300		37
GFI Group		88,900		357
Glacier Bancorp (A)		6,350		60
Global Indemnity, Cl A*		48,500		828
Government Properties Income Trust †		27,000		581
Great American Group*		172,900		17
Great Southern Bancorp (A)		4,500		76
Hancock Holding (A)		84,915		2,274
Hanover Insurance Group		27,440		974
Hatteras Financial † (A)		41,500		1,044
HCP †		53,262		1,867
Health Care † (A)		16,300		763
Heartland Financial USA (A)		4,600		65
Hercules Technology Growth Capital (A)		11,800		101
Heritage Commerce*		3,500		13
Heritage Financial		5,350		59
Highwoods Properties † (A)		49,545		1,400
Home Bancshares		56,000		1,188
Horace Mann Educators		81,980		935
Hospitality Properties Trust †		18,600		395
Host Hotels & Resorts †		100,806		1,103
Hudson Valley Holding		7,060		123
IBERIABANK (A)		23,209		1,092
Independent Bank (A)		250		5
Infinity Property & Casualty (A)		31,113		1,633
International Bancshares (A)		65,750		865
Investors Bancorp*		25,700		325
Kennedy-Wilson Holdings (A)		42,700		453
Lakeland Bancorp (A)		10,085		79
Lakeland Financial		8,100		167
LaSalle Hotel Properties † (A)		36,780		706
Lexington Realty Trust † (A)		101,000		661
Liberty Property Trust † (A)		12,931		376
Macerich †		15,211		648
Mack-Cali Realty †		29,611		792
Maiden Holdings		138,500		1,024
MainSource Financial Group (A)		66,007		576
MB Financial		25,200		371
Meadowbrook Insurance Group (A)		287,673		2,563
Merchants Bancshares		1,000		27
Meridian Interstate Bancorp*		2,900		32
Metro Bancorp*		8,700		75
MFA Financial †		156,845		1,101
Mid-America Apartment Communities † (A)		29,555		1,780
Midsouth Bancorp		1,150		12
Montpelier Re Holdings		23,800		421
Nara Bancorp*		34,100		207
National Bankshares (A)		2,100		51
National Financial Partners* (A)		55,865		611
National Penn Bancshares (A)		151,101		1,059
National Retail Properties † (A)		30,610		823

Description	Shares		Market Value ($ Thousands)
NBT Bancorp		13,700	$	255
Nelnet, Cl A		71,800		1,348
Northwest Bancshares (A)		18,475		220
OceanFirst Financial		35,100		410
Ocwen Financial* (A)		109,300		1,444
Old National Bancorp		112,239		1,046
Oriental Financial Group		33,900		328
Oritani Financial		3,200		41
Orrstown Financial Services		2,700		35
Pacific Continental		3,400		24
PacWest Bancorp (A)		70,407		981
Park National (A)		6,299		333
Pebblebrook Hotel Trust †		21,400		335
Pennsylvania † (A)		28,000		216
Peoples Bancorp (A)		3,700		41
PHH*		21,700		349
Pico Holdings*		30,500		626
Piedmont Office Realty Trust, Cl A † (A)		30,263		489
Pinnacle Financial Partners* (A)		23,000		252
Platinum Underwriters Holdings		85,574		2,631
Potlatch † (A)		11,400		359
Presidential Life		13,900		114
PrivateBancorp, Cl A (A)		26,300		198
ProAssurance (A)		27,463		1,978
ProLogis †		63,244		1,534
Prosperity Bancshares (A)		33,485		1,094
Provident Financial Services (A)		29,650		319
Public Storage †		7,057		786
Radian Group (A)		9,950		22
RAIT Financial Trust † (A)		9,799		33
Regency Centers † (A)		22,531		796
Reinsurance Group of America, Cl A		17,680		812
Renasant (A)		43,500		554
Republic Bancorp, Cl A (A)		43,600		772
Rockville Financial		1,051		10
S&T Bancorp (A)		13,000		210
Safeguard Scientifics*		62,442		937
Safety Insurance Group		3,470		131
Sandy Spring Bancorp		40,596		594
SCBT Financial		26,900		664
Selective Insurance Group		26,700		349
Sierra Bancorp (A)		36,800		337
Signature Bank NY* (A)		8,452		403
Simmons First National, Cl A		21,300		462
Simon Property Group †		18,294		2,012
SL Green Realty † (A)		18,042		1,049
Southside Bancshares (A)		29,181		526
Southwest Bancorp		16,750		71
StanCorp Financial Group (A)		7,800		215
Starwood Property Trust † (A)		21,100		362
State Bancorp		7,500		79
State Bank Financial* (A)		12,150		153
StellarOne		9,800		98
Sterling Financial* (A)		9,150		113
Suffolk Bancorp		6,050		50
Susquehanna Bancshares (A)		50,600		277
SVB Financial Group *		6,500		241
SWS Group		55,900		262
Synovus Financial (A)		179,153		192
TCF Financial (A)		91,218		836

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Value Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Territorial Bancorp		4,500	$	86
Texas Capital Bancshares*		3,200		73
THL Credit		43,900		479
Tompkins Financial, Cl US (A)		2,820		101
Trico Bancshares		5,500		67
Trustco Bank NY (A)		46,800		209
Trustmark (A)		16,200		294
UMB Financial		8,300		266
Umpqua Holdings (A)		21,550		189
Union First Market Bankshares		10,100		108
United Bankshares (A)		6,600		133
United Financial Bancorp		29,900		409
Univest Corp of Pennsylvania		3,500		47
Validus Holdings		44,800		1,117
Ventas † (A)		30,319		1,498
Verde Realty PIPE* (B) (C)		21,100		356
ViewPoint Financial Group		87,400		1,001
Virginia Commerce Bancorp* (A)		17,000		100
Walter Investment Management		22,700		521
Washington Banking (A)		7,000		68
Washington Real Estate Investment Trust † (A)		29,800		840
Washington Trust Bancorp		3,550		70
Webster Financial		69,270		1,060
WesBanco		12,500		216
West Bancorporation		4,900		42
West Coast Bancorp* (A)		12,180		171
Westamerica Bancorporation (A)		900		35
Western Alliance Bancorp* (A)		272,775		1,495
Wilshire Bancorp* (A)		36,800		101
Wintrust Financial (A)		11,200		289
WSFS Financial		33,723		1,065
Zions Bancorporation (A)		80,350		1,131
				132,205
Health Care — 4.7%
Accuray* (A)		112,600		453
Alere* (A)		33,400		656
AMN Healthcare Services*		82,400		330
Amsurg*		37,110		835
Cambrex*		110,700		558
Conmed*		64,910		1,494
Continucare*		82,000		523
Cross Country Healthcare*		24,700		103
Enzon Pharmaceuticals* (A)		36,200		255
eResearchTechnology*		139,400		621
Five Star Quality Care*		56,519		141
Greatbatch*		28,880		578
Healthsouth* (A)		65,450		977
Hi-Tech Pharmacal*		8,400		282
ICON ADR*		21,376		344
ICU Medical* (A)		6,958		256
Invacare (A)		28,204		650
Kensey Nash*		7,800		191
Kindred Healthcare* (A)		40,300		347
Kinetic Concepts* (A)		1,400		92
Magellan Health Services*		29,035		1,402
Medical Action Industries*		104,800		529
Medicines*		25,900		386
Mednax *		12,035		754

Description	Shares		Market Value ($ Thousands)
Metropolitan Health Networks* (A)		115,400	$	524
Natus Medical*		52,900		503
Par Pharmaceutical*		30,200		804
PDL BioPharma (A)		64,700		359
PharMerica*		8,100		116
Providence Service *		110,220		1,174
Skilled Healthcare Group, Cl A*		64,200		232
STERIS		27,905		817
Sun Healthcare Group* (A)		51,300		139
Symmetry Medical*		61,600		475
				17,900
Industrials — 17.8%
AAR (A)		14,000		233
ABM Industries (A)		31,700		604
Aegean Marine Petroleum Network (A)		165,100		745
Air Transport Services Group*		76,600		332
Aircastle (A)		72,200		687
Alamo Group		17,000		353
Alaska Air Group*		21,000		1,182
Allegiant Travel, Cl A*		8,600		405
Ampco-Pittsburgh		23,400		479
Astec Industries*		21,900		641
Atlas Air Worldwide Holdings*		18,200		606
BE Aerospace*		17,308		573
Belden		53,382		1,377
Brady, Cl A		50,634		1,338
Briggs & Stratton (A)		23,784		321
Cascade		11,400		381
Clean Harbors*		14,554		747
Columbus McKinnon*		80,520		882
Comfort Systems USA		62,300		518
Consolidated Graphics*		11,500		420
Corrections Corp of America*		15,600		354
Courier (A)		19,544		128
CRA International*		15,400		308
Cubic		15,711		614
Curtiss-Wright		23,600		680
Deluxe		25,800		480
EMCOR Group		116,918		2,377
Encore Wire		5,200		107
EnPro Industries* (A)		10,300		306
ESCO Technologies		30,490		777
Flow International*		53,000		117
Force Protection*		90,500		348
FTI Consulting* (A)		75,600		2,783
G&K Services		66,621		1,702
Genco Shipping & Trading* (A)		21,500		168
General Cable*		23,875		558
Geo Group*		127,400		2,365
Global Power Equipment Group* (A)		22,600		526
GrafTech International* (A)		13,800		175
Granite Construction (A)		33,500		629
Harsco		6,900		134
Hawaiian Holdings* (A)		317,620		1,337
ICF International*		28,100		529
IDEX		18,327		571
Interface, Cl A		87,392		1,036
John Bean Technologies		22,340		319

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Value Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Kadant*		52,285	$	929
Kaydon		86,422		2,479
Kforce*		40,300		395
Kirby*		9,000		474
Marten Transport		27,930		482
Miller Industries		22,200		385
Moog, Cl A*		21,070		687
Mueller Industries (A)		23,600		911
NACCO Industries, Cl A		6,500		412
Navigant Consulting*		120,700		1,119
NN*		26,300		133
Northwest Pipe*		15,595		316
Orion Marine Group* (A)		188,239		1,086
Quad		21,200		383
Quanex Building Products (A)		80,525		882
Rand Logistics*		32,200		200
Republic Airways Holdings* (A)		21,500		61
Robbins & Myers		18,595		645
Ryder System		23,810		893
School Specialty* (A)		95,429		680
Simpson Manufacturing		2,500		62
Skywest		40,400		465
Spirit Aerosystems Holdings, Cl A*		47,600		759
Spirit Airlines* (A)		140,700		1,759
Standex International		11,600		361
SYKES Enterprises*		72,900		1,090
TAL International Group (A)		52,380		1,307
Teledyne Technologies*		35,158		1,718
Teleflex (A)		37,066		1,993
Tetra Tech*		117,416		2,200
TMS International, Cl A*		44,108		321
Towers Watson, Cl A		38,769		2,317
Trinity Industries		17,000		364
Triumph Group (A)		15,959		778
TrueBlue*		29,900		339
Tutor Perini		138,300		1,589
US Airways Group* (A)		136,400		750
VSE (A)		13,900		360
Wabash National* (A)		344,700		1,644
Watts Water Technologies, Cl A (A)		23,997		640
WESCO International*		16,066		539
Woodward		24,200		663
				67,822
Information Technology — 12.0%
Adtran		27,760		734
Aeroflex Holding*		115,094		1,047
Arris Group*		33,800		348
Arrow Electronics*		30,200		839
Avid Technology*		56,848		440
AVX		4,000		47
Benchmark Electronics*		59,000		768
Black Box		12,300		263
Blue Coat Systems*		14,043		195
Booz Allen Hamilton Holding, Cl A*		15,389		229
Brightpoint*		55,900		515
Brocade Communications Systems*		242,872		1,049
CACI International, Cl A*		31,429		1,570

Description	Shares		Market Value ($ Thousands)
CDC Software ADR*		148,600	$	490
Ciber*		323,900		981
Coherent*		29,108		1,250
Comtech Telecommunications (A)		30,660		861
CoreLogic*		37,900		404
CSG Systems International*		34,100		431
CTS		41,000		333
Diebold (A)		80,111		2,204
Digi International*		51,200		563
Digital River* (A)		125,065		2,593
Earthlink (A)		237,535		1,551
Emulex*		125,471		803
Entegris*		88,300		563
Fairchild Semiconductor International*		54,700		591
GT Advanced Technologies* (A)		61,400		431
Hackett Group*		221,140		825
Imation* (A)		30,500		223
Inphi*		43,540		382
Integrated Device Technology* (A)		134,041		690
Intermec*		142,501		929
Intersil, Cl A (A)		106,700		1,098
Ixia*		37,400		287
j2 Global Communications (A)		28,833		776
Lattice Semiconductor*		60,200		316
Lexmark International, Cl A*		33,700		911
Littelfuse		13,349		537
Manhattan Associates*		27,200		900
Mantech International, Cl A (A)		22,300		700
MicroStrategy, Cl A*		5,500		627
Monolithic Power Systems*		43,399		442
Multi-Fineline Electronix*		21,400		427
Orbotech*		16,400		159
Parametric Technology*		88,789		1,365
Photronics* (A)		98,200		489
Plantronics (A)		13,100		373
Power-One* (A)		70,500		317
Progress Software*		52,150		915
QLogic*		44,100		559
Radisys*		27,700		169
Rosetta Stone* (A)		27,200		249
Rudolph Technologies*		31,000		207
Saba Software*		40,100		231
Silicon Laboratories* (A)		19,625		658
SYNNEX* (A)		10,600		278
Synopsys*		41,010		999
Tech Data*		30,200		1,306
TeleCommunication Systems, Cl A*		73,598		254
TNS*		50,747		954
Ultra Clean Holdings* (A)		70,915		304
Ultratech*		45,400		779
United Online (A)		88,200		461
Websense* (A)		32,700		566
Xyratex (A)		111,354		1,032
Zebra Technologies, Cl A*		28,846		893
				45,784

5 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Value Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Materials — 5.6%
Aptargroup		10,855	$	485
Boise (A)		58,800		304
Buckeye Technologies (A)		26,300		634
Cytec Industries		16,228		570
Eagle Materials		17,200		286
Ferro*		83,171		512
Glatfelter		40,900		540
Globe Specialty Metals		60,000		871
Greif, Cl A		13,791		592
H.B. Fuller		72,900		1,328
Huntsman		60,754		587
Innophos Holdings		31,757		1,266
Innospec*		21,500		521
Minerals Technologies		25,770		1,270
Neenah Paper		33,700		478
NewMarket		4,800		729
OM Group*		52,104		1,353
Owens-Illinois*		40,705		615
Packaging Corp of America		29,678		692
PolyOne		106,880		1,145
RTI International Metals* (A)		69,348		1,617
Schnitzer Steel Industries, Cl A		8,900		328
Schweitzer-Mauduit International		19,367		1,082
Sensient Technologies		58,655		1,909
Silgan Holdings (A)		22,595		830
Stepan		7,400		497
Worthington Industries		29,400		411
				21,452
Telecommunication Services — 0.7%
Atlantic Telegraph-Network		15,400		506
Cincinnati Bell* (A)		121,000		374
Fairpoint Communications* (A)		102,765		442
Neutral Tandem*		122,100		1,182
USA Mobility		28,700		379
				2,883
Utilities — 4.3%
AGL Resources		37,383		1,523
Allete		14,000		513
Avista		18,100		432
Cadiz* (A)		57,180		452
California Water Service Group		11,900		211
Chesapeake Utilities		14,271		572
Cleco		28,200		963
Great Plains Energy (A)		119,752		2,311
Idacorp (A)		17,617		666
Northwest Natural Gas		15,150		668
NorthWestern		11,100		354
Portland General Electric		183,499		4,347
Southwest Gas		18,045		653
UIL Holdings (A)		35,790		1,178
Vectren		12,100		328
Westar Energy		18,258		482
WGL Holdings		19,135		748
				16,401
Total Common Stock (Cost $429,446) ($ Thousands)				372,177

Description	Face Amount ($ Thousands)/Shares		Market Value ($ Thousands)
EXCHANGE TRADED FUND — 0.1%
iShares Russell 2000 Index Fund		4,661	$	300
Total Exchange Traded Fund (Cost $299) ($ Thousands)				300
PREFERRED STOCK — 0.0%
Energy — 0.0%
GeoMet		18,893		160
Total Preferred Stock (Cost $174) ($ Thousands)				160
	Number of Rights
RIGHTS — 0.0%
First Bancorp Expires 11/01/11		1,880		—
Ligand Pharma Expires 01/05/12		108,850		—
Total Rights (Cost $—) ($Thousands)				—
	Number of Warrants
WARRANT — 0.0%
Magnum Hunter Resources Expires 08/29/14*		12,327		—
Total Warrant (Cost $—) ($Thousands)				—
AFFILIATED PARTNERSHIP — 26.0%
SEI Liquidity Fund, L.P.
0.130%**†† (D)		102,791,837		98,987
Total Affiliated Partnership (Cost $102,792) ($ Thousands)				98,987
CASH EQUIVALENT — 2.7%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		10,219,315		10,219
Total Cash Equivalent (Cost $10,219) ($ Thousands)				10,219
U.S. TREASURY OBLIGATION (E)(F) — 0.5%
U.S. Treasury Bills
0.062%, 12/15/11	$	1,857		1,857
Total U.S. Treasury Obligation (Cost $1,857) ($ Thousands)				1,857
Total Investments — 126.9% (Cost $544,787) ($ Thousands)			$	483,700

6 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Value Fund

September 30, 2011

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		93		Dec-2011	$	(523	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on Net Assets of $381,130 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

‡ 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, 2011. The total market value of securities on loan at September 30, 2011 was $96,575 ($ Thousands).

(B) Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2011 was $356 ($ Thousands) and represented 0.09% of Net Assets.

(C) 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, 2011 was $356 ($ Thousands) and represented 0.09% of Net Assets.

(D) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2011 was $98,987 ($ Thousands).

(E) Security, or portion thereof has been pledged as collateral on open futures contracts.

(F) The rate reported is the effective yield at the time of purchase.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

Amounts designated as “—” are $0 or have been rounded to $0.

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	371,821	$	—	$	356	$	372,177
Exchange Traded Fund		300		—		—		300
Preferred Stock		—		160		—		160
Rights		—		—		—		—
Warrant		—		—		—		—
Affiliated Partnership		—		98,987		—		98,987
Cash Equivalent		10,219		—		—		10,219
U.S. Treasury Obligation		—		1,857		—		1,857
Total Investments in Securities	$	382,340	$	101,004	$	356	$	483,700

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *	$	(523	)	$	—	$	—	$	(523	)
Total Other Financial Instruments	$	(523	)	$	—	$	—	$	(523	)

7 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Value Fund

September 30, 2011

* Futures contracts are value at the unrealized depreciation on the instrument.

The following is reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

	Common Stock
Beginning balance as of October 1, 2010	$	398
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(42	)
Net purchases/sales		—
Net transfer in and/or out of Level 3		—
Ending balance as of September 30, 2011	$	356
Changes in unrealized gains (losses included in earningsto securities still held at reporting date	$	(42	)

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

8 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Growth Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.8%
Consumer Discretionary — 15.1%
American Axle & Manufacturing Holdings* (A)		8,900	$	68
American Public Education* (A)		51,494		1,751
Ameristar Casinos		2,540		41
ANN*		4,300		98
BJ’s Restaurants* (A)		17,000		750
Boyd Gaming* (A)		67,840		332
Bravo Brio Restaurant Group*		30,775		512
Brinker International		24,387		510
Cabela’s* (A)		38,736		794
Cato, Cl A		4,306		97
Chipotle Mexican Grill, Cl A*		9		3
CROCS*		31,900		755
Deckers Outdoor*		8,860		826
Denny’s* (A)		46,800		156
Dick’s Sporting Goods*		28,153		942
Domino’s Pizza*		18,700		510
Express		23,200		471
Finish Line, Cl A		35,700		714
Francesca’s Holdings* (A)		14,900		316
Genius Products*		859		1
Gentex		15,900		382
Hibbett Sports*		14,300		485
HomeAway* (A)		14,200		478
HSN (A)		6,645		220
K12*		18,600		474
Knology*		964		12
Life Time Fitness* (A)		61,983		2,284
Live Nation*		84,716		679
LKQ*		13,910		336
Lumber Liquidators Holdings* (A)		30,600		462
Maidenform Brands*		2,400		56
Meritage Homes* (A)		39,116		592
Monro Muffler (A)		10,250		338
Morgans Hotel Group* (A)		90,500		542
Morningstar (A)		6,200		350
National CineMedia		163,726		2,376
NVR* (A)		1,041		629
Orient-Express Hotels, Cl A*		53,100		367
Oxford Industries (A)		33,900		1,163
Pandora Media*		22,500		330
Panera Bread, Cl A*		4,200		437
PetMed Express (A)		20,700		186
Pier 1 Imports*		60,800		594
Quiksilver*		306,737		936
ReachLocal* (A)		66,725		725
Regal Entertainment Group, Cl A (A)		46,200		542
Saks* (A)		169,955		1,487
Select Comfort* (A)		54,000		754
Shutterfly*		34,871		1,436
Sinclair Broadcast Group, Cl A		13,400		96
Skullcandy* (A)		88,848		1,255
Sotheby’s (A)		9,300		256
Strayer Education (A)		3,100		238
Sturm Ruger (A)		36,420		946
Tempur-Pedic International*		7,300		384
Tenneco*		14,000		359

Description	Shares		Market Value ($ Thousands)
Tesla Motors* (A)		41,096	$	1,002
Texas Roadhouse, Cl A		34,150		451
Titan International (A)		20,600		309
Tractor Supply		9,400		588
True Religion Apparel*		39,743		1,071
Ulta Salon Cosmetics & Fragrance* (A)		24,200		1,506
Universal Technical Institute*		6,000		81
Vail Resorts (A)		16,700		631
Valuevision Media, Cl A*		24,100		57
Vera Bradley* (A)		26,000		937
Warnaco Group*		5,500		254
Zumiez* (A)		96,588		1,691
				41,411
Consumer Staples — 1.8%
B&G Foods, Cl A		30,300		506
Casey’s General Stores		6,300		275
Chefs’ Warehouse Holdings*		22,400		263
Coca-Cola Bottling Consolidated		2,500		138
Constellation Brands, Cl A*		39		1
Darling International*		6,500		82
Fresh Market* (A)		30,475		1,163
J&J Snack Foods		7,600		365
Lancaster Colony (A)		26,657		1,626
Medifast* (A)		11,967		193
Nu Skin Enterprises, Cl A (A)		8,300		337
				4,949
Energy — 8.1%
Cabot Oil & Gas		3,600		223
CARBO Ceramics (A)		4,000		410
Carrizo Oil & Gas* (A)		32,591		702
Clayton Williams Energy* (A)		6,600		283
Cloud Peak Energy* (A)		2,000		34
Complete Production Services*		16,600		313
Comstock Resources* (A)		91,247		1,411
CVR Energy*		32,500		687
Dawson Geophysical*		5,600		132
Dresser-Rand Group*		25,973		1,053
Dril-Quip*		23,100		1,245
Endeavour International*		27,916		223
Energy XXI Bermuda*		1,600		34
FX Energy*		1,400		6
GeoResources* (A)		19,825		353
Global Geophysical Services*		37,327		298
Golar LNG		29,400		934
Goodrich Petroleum* (A)		114,766		1,357
Gulfport Energy*		6,600		160
Houston American Energy (A)		1,800		25
Lone Pine Resources* (A)		43,000		284
Lufkin Industries		100		5
Magnum Hunter Resources* (A)		104,000		344
Oasis Petroleum* (A)		29,500		659
Oceaneering International		13,400		474
Oil States International*		7,100		362
OYO Geospace*		700		39
Patriot Coal* (A)		9,000		76
Petroleum Development* (A)		21,800		423
Petroquest Energy* (A)		17,500		96
Pioneer Drilling*		69,100		496
Quicksilver Resources* (A)		164,886		1,250
Resolute Energy*		34,800		395

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Growth Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Rosetta Resources* (A)		17,300	$	592
Scorpio Tankers*		75,793		400
SM Energy		6,600		400
Stone Energy*		38,800		629
Superior Energy Services*		34,200		897
Swift Energy*		8,175		199
Targa Resources		29,845		888
Tesco (A)		49,269		572
Tetra Technologies*		29,800		230
Vaalco Energy* (A)		71,460		347
Venoco*		9,800		86
W&T Offshore (A)		47,059		647
Western Refining* (A)		32,100		400
World Fuel Services		40,322		1,316
				22,389
Financials — 7.1%
Affiliated Managers Group*		13,200		1,030
Alexander’s †		600		217
American Assets Trust †		3,000		54
American Campus Communities †		5,600		208
BRE Properties, Cl A †		8,100		343
CapitalSource		101,951		626
Cardtronics*		47,900		1,098
Cash Store Financial Services		52,895		445
City National (A)		8,300		313
Cohen & Steers (A)		14,800		426
Douglas Emmett † (A)		20,100		344
Eaton Vance (A)		26,831		598
Encore Capital Group*		28,625		626
Equity Lifestyle Properties †		3,838		241
Extra Space Storage †		8,700		162
Ezcorp, Cl A*		4,800		137
Financial Engines* (A)		72,013		1,304
First Cash Financial Services*		1,028		43
Greenhill (A)		14,900		426
Home Properties † (A)		13,700		778
IBERIABANK		9,700		457
Investors Real Estate Trust † (A)		14,800		106
Jones Lang LaSalle		12,998		673
Kilroy Realty †		9,100		285
LPL Investment Holdings* (A)		36,783		935
MarketAxess Holdings		59,592		1,551
Mid-America Apartment Communities †		6,749		406
MSCI, Cl A*		31,065		942
Omega Healthcare Investors † (A)		15,300		244
PennantPark Investment (A)		66,171		590
Portfolio Recovery Associates* (A)		3,300		205
Potlatch †		6,523		206
Signature Bank NY*		15,700		749
Stifel Financial*		25,300		672
SVB Financial Group* (A)		12,619		467
Tanger Factory Outlet Centers †		15,900		413
Titanium Asset Management PIPE* (B) (C)		140,900		107
Value Creation* (B) (C)		145,600		145
WisdomTree Investments* (A)		92,025		646
World Acceptance* (A)		4,300		241
				19,459

Description	Shares		Market Value ($ Thousands)
Health Care — 20.6%
Abaxis* (A )		21,491	$	492
ABIOMED* (A)		43,000		474
Achillion Pharmaceuticals* (A)		55,614		263
Acorda Therapeutics*		17,600		351
Aegerion Pharmaceuticals*		23,500		298
Air Methods*		7,395		471
Align Technology* (A)		57,332		870
Alkermes*		39,300		600
Amarin ADR*		36,500		336
Ardea Biosciences*		9,000		141
Ariad Pharmaceuticals* (A)		146,600		1,289
Arqule*		39,300		198
athenahealth* (A)		19,990		1,190
AVEO Pharmaceuticals* (A)		68,400		1,053
BioMarin Pharmaceuticals* (A)		17,184		548
Bruker BioSciences*		41,646		563
Catalyst Health Solutions*		10,200		588
Centene*		18,200		522
Cepheid* (A)		27,200		1,056
Chemed		6,792		373
Computer Programs & Systems		8,500		562
Cubist Pharmaceuticals* (A)		58,393		2,062
Cyberonics*		5,800		164
Depomed* (A)		42,800		231
Durect*		147,241		237
DynaVox, Cl A* (A)		74,847		269
Emergent Biosolutions*		47,111		727
Emeritus* (A)		46,000		649
Ensign Group		8,400		194
eResearchTechnology*		2,800		13
Exelixis* (A)		6,600		36
Fluidigm* (A)		34,304		478
Gen-Probe*		12,953		742
Haemonetics*		12,578		736
Halozyme Therapeutics*		88,100		541
Hansen Medical* (A)		148,575		493
Health Net*		23,500		557
Healthspring*		47,400		1,728
HeartWare International* (A)		10,839		698
Hill-Rom Holdings		16,600		498
HMS Holdings*		29,800		727
Idenix Pharmaceuticals*		43,100		215
Immunogen* (A)		18,000		197
Impax Laboratories*		33,700		603
Imris*		92,957		363
Incyte* (A)		53,763		751
Insulet* (A)		73,425		1,121
InterMune*		8,400		170
IPC The Hospitalist*		23,275		831
Ironwood Pharmaceuticals, Cl A*		12,200		132
ISTA Pharmaceuticals*		57,800		199
Jazz Pharmaceuticals* (A)		17,200		714
MAKO Surgical*		9,500		325
MAP Pharmaceuticals*		14,800		216
Masimo (A)		75,364		1,632
Medcath*		360		5
Medicines*		16,900		251
Medicis Pharmaceutical, Cl A		12,000		438
Medivation*		6,374		108
Mednax*		5,200		326

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Growth Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
MELA Sciences* (A)		44,500	$	197
Momenta Pharmaceuticals*		354		4
MWI Veterinary Supply*		12,556		864
Myriad Genetics*		59,279		1,111
Nektar Therapeutics* (A)		41,900		203
Neogen*		3,600		125
Neoprobe* (A)		91,400		271
Neurocrine Biosciences*		25,500		153
NPS Pharmaceuticals*		40,327		263
NuVasive* (A)		77,402		1,321
NxStage Medical* (A)		56,150		1,171
Omnicare (A)		31,675		805
Omnicell*		122,188		1,684
Onyx Pharmaceuticals*		14,500		435
Optimer Pharmaceuticals*		18,000		249
Pain Therapeutics (A)		8,400		40
Pharmacyclics*		15,700		186
Pharmasset*		2,200		181
PSS World Medical* (A)		51,837		1,021
Questcor Pharmaceuticals* (A)		86,300		2,353
Quidel* (A)		55,413		907
Rigel Pharmaceuticals*		12,900		95
Sagent Pharmaceuticals* (A)		23,800		482
Salix Pharmaceuticals*		38,439		1,138
Seattle Genetics* (A)		22,629		431
Sirona Dental Systems*		13,200		560
Spectrum Pharmaceuticals* (A)		70,000		534
STERIS		21,152		619
Sunrise Senior Living* (A)		113,500		526
SXC Health Solutions*		12,400		691
Syneron Medical*		67,209		666
Targacept*		13,800		207
Techne		13,340		907
Theravance* (A)		10,300		207
Thoratec*		12,950		423
Tornier BV* (A)		33,763		692
Viropharma* (A)		16,400		296
Volcano*		15,600		462
WellCare Health Plans*		9,900		376
Zoll Medical*		33,800		1,276
				56,747
Industrials — 17.1%
Acacia Research - Acacia Technologies*		14,600		525
Actuant, Cl A		22,800		450
Acuity Brands		17,400		627
AerCap Holdings*		147,922		1,467
Alaska Air Group*		3,200		180
Allegiant Travel, Cl A*		1,000		47
Ametek		13,000		429
APAC Customer Services*		17,871		152
Applied Industrial Technologies		19,300		524
Armstrong World Industries (A)		4,965		171
Atlas Air Worldwide Holdings*		8,900		296
Avis Budget Group* (A)		65,100		630
Belden		14,600		377
Carlisle		16,100		513
Celadon Group		50,788		451
Clean Harbors*		12,800		657
Consolidated Graphics*		5,500		201
Copa Holdings, Cl A		6,249		383

Description	Shares		Market Value ($ Thousands)
Corporate Executive Board		13,275	$	396
CoStar Group* (A)		41,011		2,131
Cubic		14,440		564
DigitalGlobe*		28,700		558
Dollar Thrifty Automotive Group*		4,500		253
Dynamic Materials		39,555		623
EnerSys*		22,000		440
Exponent*		2,200		91
Franklin Electric		3,800		138
FTI Consulting* (A)		12,050		444
Gardner Denver		14,516		923
Generac Holdings*		18,442		347
General Cable*		21,600		504
Genesee & Wyoming, Cl A*		13,830		643
Graco		8,500		290
Heico, Cl A		17,458		588
HEICO (A)		19,175		944
Hexcel*		32,300		716
Horizon Lines, Cl A (A)		87,482		37
Huron Consulting Group*		14,099		439
IDEX		16,200		505
IHS, Cl A*		10,005		748
InnerWorkings* (A)		112,244		880
Insperity		3,900		87
Interface, Cl A		79,409		942
Kaman		4,000		111
Kelly Services, Cl A		7,000		80
Keyw Holding*		37,700		268
Kirby*		12,500		658
Knight Transportation		15,600		208
Landstar System		29,074		1,150
Lincoln Electric Holdings		17,200		499
Lindsay		900		49
Marten Transport		39,300		678
Middleby*		17,100		1,205
Mistras Group*		28,100		493
Mobile Mini* (A)		46,274		761
Mueller Industries		3,500		135
Old Dominion Freight Line*		26,900		779
Polypore International*		23,550		1,331
Raven Industries		8,472		409
RBC Bearings*		19,900		676
Resources Connection		56,696		554
Ritchie Bros. Auctioneers (A)		38,346		774
Robbins & Myers		4,900		170
Rollins		27,500		515
RPX*		22,500		466
Rush Enterprises, Cl A* (A)		45,106		639
Sauer-Danfoss*		25,000		722
Simpson Manufacturing		51,500		1,284
Standard Parking*		57,148		894
Sun Hydraulics		8,200		167
Tennant (A)		3,653		129
Thermon Group Holdings*		25,000		345
Titan Machinery*		20,275		363
TransDigm Group*		13,070		1,067
Trex* (A)		26,300		421
TrueBlue*		43,200		489
United Rentals* (A)		76,477		1,288
Valmont Industries		5,700		444
Vitran*		43,355		171
Wabash National* (A)		169,409		808

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Growth Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Wabtec		30,009	$	1,587
Watsco		9,900		506
WESCO International*		24,188		812
Zipcar* (A)		35,500		639
				47,055
Information Technology — 23.8%
ACI Worldwide* (A)		23,000		633
Adtran		21,700		574
Advent Software* (A)		30,507		636
Amtech Systems* (A)		24,900		199
Ancestry.com* (A)		51,417		1,208
Aruba Networks* (A)		47,525		994
AsiaInfo-Linkage* (A)		34,994		258
Aspen Technology*		40,400		617
Atmel*		104,544		844
Blackbaud		8,300		185
Brightpoint*		60		—
BroadSoft* (A)		69,608		2,113
Brooks Automation		6,100		50
Cavium* (A)		21,125		571
Ceva*		71,333		1,734
Ciena* (A)		33,319		373
Cognex		8,100		220
Coherent*		2,200		94
CommVault Systems*		29,814		1,105
Concur Technologies* (A)		25,575		952
Constant Contact* (A)		68,105		1,177
Cornerstone OnDemand* (A)		49,132		616
Cymer* (A)		18,425		685
DealerTrack Holdings*		65,100		1,020
DTS*		46,475		1,154
Entegris*		146,800		937
Envestnet*		42,143		421
Euronet Worldwide*		65,840		1,036
Fairchild Semiconductor International*		41,700		450
FARO Technologies*		1,700		54
Forrester Research		5,404		176
Fortinet*		37,980		638
Fusion-io* (A)		19,760		376
Gartner*		39,208		1,367
Glu Mobile* (A)		190,100		401
GT Advanced Technologies* (A)		37,400		263
Hittite Microwave*		30,100		1,466
IAC*		120		5
Informatica*		5,600		229
Inphi* (A)		131,590		1,154
Interactive Intelligence Group*		8,100		220
InterDigital (A)		10,000		466
International Rectifier* (A)		60,228		1,121
IntraLinks Holdings*		30,300		228
Jack Henry & Associates		52,508		1,522
Keynote Systems		7,600		161
Lattice Semiconductor*		173,100		909
LogMein* (A)		22,700		754
Loral Space & Communications*		600		30
LTX-Credence*		10,566		56
Magma Design Automation*		8,800		40
Magnachip Semiconductor*		22,200		149
Manhattan Associates*		23,800		787
MAXIMUS		30,500		1,065

Description	Shares		Market Value ($ Thousands)
Measurement Specialties*		46,364	$	1,204
Mellanox Technologies*		53,775		1,679
Methode Electronics (A)		9,100		68
Micrel (A)		30,900		293
Micros Systems*		9,000		395
MicroStrategy, Cl A*		4,891		558
MTS Systems		5,800		178
Netgear*		21,700		562
Netlogic Microsystems*		9,400		452
Netscout Systems*		16,600		190
NetSuite*		22,300		602
NIC		24,600		282
Nuance Communications* (A)		30,100		613
OpenTable* (A)		12,000		552
Opnet Technologies		9,100		318
Park Electrochemical		8,975		192
Plantronics (A)		20,100		572
PROS Holdings*		46,199		596
QLIK Technologies* (A)		52,223		1,131
Quest Software*		237		4
Rackspace Hosting* (A)		14,400		492
RealD* (A)		34,800		325
RealPage* (A)		81,631		1,669
Responsys*		34,550		372
Richardson Electronics		10		—
RightNow Technologies*		17,980		594
Riverbed Technology*		13,100		261
Rosetta Stone* (A)		57,259		524
Sapient		42,525		431
ServiceSource International* (A)		27,900		369
ShoreTel*		31,000		154
Silicon Graphics International* (A)		24,000		286
Silicon Image*		117,200		688
SolarWinds* (A)		58,000		1,277
Sourcefire* (A)		27,400		733
SS&C Technologies Holdings*		60,274		861
SuccessFactors* (A)		33,175		763
Sycamore Networks		85,253		1,539
Syntel		4,150		179
Taleo, Cl A*		46,200		1,188
TeleNav*		5,100		45
TeleTech Holdings*		24,947		380
Teradyne*		37,100		408
TIBCO Software*		42,000		940
Travelzoo* (A)		20,100		442
Trimble Navigation*		18,731		628
Tyler Technologies*		45,233		1,144
Ultimate Software Group* (A)		4,143		194
Universal Display* (A)		800		38
Valueclick* (A)		21,078		328
Veeco Instruments* (A)		7,093		173
VeriFone Holdings*		5,900		207
VirnetX Holding* (A)		5,300		79
VistaPrint* (A)		67,995		1,838
Vocus*		55,386		928
Volterra Semiconductor*		700		13
Websense* (A)		1,310		23
				65,447
Materials — 3.5%
Balchem (A)		10,100		377

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Growth Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Clearwater Paper* (A)		3,000	$	102
Commercial Metals		12,160		116
Flotek Industries* (A)		74,500		348
Globe Specialty Metals		85,153		1,236
Golden Star Resources*		58,500		109
Great Basin Gold* (A)		325,175		550
Haynes International		16,000		695
Hecla Mining* (A)		39,329		211
Horsehead Holding*		153,807		1,141
Innophos Holdings		22,200		885
Innospec*		45,800		1,109
LSB Industries*		13,200		378
Materion*		12,900		293
NewMarket		1,828		277
Noranda Aluminum Holding*		18,700		156
PolyOne		25,100		269
Silver Standard Resources*		35,175		645
Solutia*		27,300		351
STR Holdings* (A)		18,839		153
TPC Group*		3,400		68
Worthington Industries (A)		3,600		50
				9,519
Telecommunication Services — 0.7%
AboveNet		1,900		102
Boingo Wireless* (A)		64,100		458
Cogent Communications Group*		13,495		182
IDT, Cl B		20,200		412
SBA Communications, Cl A*		18,022		621
USA Mobility		10,900		144
				1,919
Total Common Stock (Cost $315,015) ($ Thousands)				268,895
	Number of Warrants
WARRANTS — 0.0%
Magnum Hunter Resources Expires 08/29/14*		11,920		—
Rentech Expires 04/25/12* (B)(C)		19,400		—
Total Warrants (Cost $—) ($Thousands)				—
AFFILIATED PARTNERSHIP — 31.7%
SEI Liquidity Fund, L.P.
0.130%**†† (D)		90,211,020		87,261
Total Affiliated Partnership (Cost $90,211) ($ Thousands)				87,261
CASH EQUIVALENT — 3.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		8,480,345		8,480
Total Cash Equivalent (Cost $8,480) ($ Thousands)				8,480

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS (E)(F) — 0.4%
U.S. Treasury Bills
0.065%, 06/28/12	$	627	$	627
0.054%, 12/15/11		585		585
Total U.S. Treasury Obligations (Cost $1,212) ($ Thousands)				1,212
Total Investments — 133.0% (Cost $414,918) ($ Thousands)			$	365,848

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E-MINI		94		Dec-2011	$	(247	)

For the period ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $275,101 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

(A) This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $84,713 ($ Thousands).

(B) Securities considered illiquid and restricted. The total market value of such securities as of September 30, 2011 was $252 ($ Thousands) and represented 0.09% of Net Assets.

(C) 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, 2011 was $252 ($ Thousands) and represented 0.09% of Net Assets.

(D) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2011 was $87,261 ($ Thousands).

(E) Security, or portion thereof has been pledged as collateral on open futures contracts.

(F) The rate reported is the effective yield at the time of purchase.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

PIPE — Private Investment in Public Entity

Amounts designated as “—” are $0 or have been rounded to $0.

5 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Small Cap Growth Fund

September 30, 2011

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	268,643	$	—	$	252	$	268,895
Warrants		—		—		—		—
Affiliated Partnership		—		87,261		—		87,261
Cash Equivalent		8,480		—		—		8,480
U.S. Treasury Obligations		—		1,212		—		1,212
Total Investments in Securities	$	277,123	$	88,473	$	252	$	365,848

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(247	)	$	—	$	—	$	(247	)
Total Other Financial Instruments	$	(247	)	$	—	$	—	$	(247	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

The following is reconciliation on the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

	Common Stock
Beginning balance as of October 1, 2010	$	403
Accrued discounts/premiums		—
Realized gain/(loss)		—
Change in unrealized appreciation/(depreciation)		(296	)
Net purchases/sales		—
Net transfer in and/or out of Level 3		145
Ending balance as of September 30, 2011	$	252
Changes in unrealized gains (losses) included in earnings related to securities still held at reporting date	$	(296	)

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

6 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund‡

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.0%
Consumer Discretionary — 14.9%
Aaron’s		2,100	$	53
Abercrombie & Fitch, Cl A		2,400		148
Aeropostale*		2,250		24
AFC Enterprises* (A)		33,657		398
AMC Networks, Cl A*		7,100		227
American Axle & Manufacturing Holdings*		3,600		27
American Eagle Outfitters		46,089		540
American Greetings, Cl A (A)		32,330		598
America’s Car-Mart*		1,300		38
Amerigon* (A)		3,300		42
Ameristar Casinos		26,278		422
ANN* (A)		14,503		331
Arbitron		800		26
Asbury Automotive Group*		2,900		48
Ascena Retail Group*		1,700		46
Ascent Media, Cl A*		1,500		59
Autoliv (A)		9,302		451
Autonation* (A)		1,905		62
Bally Technologies*		3,100		84
Barnes & Noble		2,584		31
Belo, Cl A		27,708		136
Big Lots*		14,500		505
Biglari Holdings*		90		27
BJ’s Restaurants* (A)		5,100		225
Blue Nile*		3,022		107
Bob Evans Farms		1,700		48
Boyd Gaming* (A)		3,600		18
Brinker International		15,400		322
Brown Shoe (A)		2,700		19
Brunswick (A)		26,520		372
Buffalo Wild Wings*		9,631		576
Cabela’s* (A)		1,900		39
Callaway Golf (A)		29,978		155
Capella Education* (A)		700		20
Carmax*		6,801		162
Carter’s* (A)		2,200		67
Cato, Cl A (A)		9,700		219
Central European Media Enterprises, Cl A*		700		6
Cheesecake Factory* (A)		16,450		405
Chico’s FAS		74,157		848
Childrens Place Retail Stores*		9,535		444
Cinemark Holdings (A)		15,410		291
Coinstar*		1,200		48
Columbia Sportswear (A)		5,960		277
Cooper Tire & Rubber		40,036		436
Core-Mark Holding*		7,675		235
Cracker Barrel Old Country Store (A)		600		24
CROCS* (A)		22,913		542
Dana Holding*		3,100		33
Deckers Outdoor*		4,770		445
DeVry		1,000		37
Dick’s Sporting Goods*		12,500		418
Dillard’s, Cl A		3,400		148
DineEquity*		800		31
Dollar Tree*		7,302		549
Domino’s Pizza*		1,600		44

Description	Shares		Market Value ($ Thousands)
Domino’s Pizza UK & IRL		64,783	$	450
DR Horton		6,100		55
DreamWorks Animation SKG, Cl A*		600		11
DSW, Cl A		14,079		650
Dufry		2,853		251
Eastman Kodak* (A)		20,965		16
Estacio Participacoes		19,605		172
Ethan Allen Interiors (A)		10,864		148
Exide Technologies*		2,925		12
Expedia		6,400		165
Express		25,500		517
Foot Locker		2,900		58
Fossil*		1,503		122
GameStop, Cl A*		12,600		291
Gannett		14,400		137
Gap		18,002		292
Genesco* (A)		3,700		191
Gentex		2,600		62
GNC Holdings, Cl A*		16,680		336
Goodyear Tire & Rubber*		6,100		62
Group 1 Automotive		1,724		61
Guess?		1,400		40
Hanesbrands*		28,100		703
Harley-Davidson		7,055		242
Harman International Industries		1,600		46
Harte-Hanks		1,800		15
Helen of Troy*		2,400		60
hhgregg* (A)		13,843		135
Hibbett Sports*		10,000		339
Hillenbrand		2,500		46
HOT Topic		4,814		37
Iconix Brand Group*		1,300		21
Insight Enterprises* (A)		9,500		144
International Game Technology		11,848		172
International Speedway, Cl A		7,252		166
Interpublic Group		48,639		350
iRobot*		1,700		43
Isle of Capri Casinos*		3,300		16
ITT Educational Services* (A)		700		40
J. Crew*		500		—
Jakks Pacific (A)		12,500		237
Jarden		2,100		59
John Wiley & Sons, Cl A		900		40
Jones Group		51,242		472
JOS A Bank Clothiers*		1,000		47
Journal Communications, Cl A* (A)		39,400		117
K12* (A)		14,500		369
KB Home		9,261		54
Lamar Advertising, Cl A*		1,300		22
Lear		2,700		116
Leggett & Platt		2,000		40
Lennar, Cl A		2,600		35
Liberty Media - Starz, Cl A*		600		38
Life Time Fitness* (A)		11,800		435
Lincoln Educational Services		10,300		83
Lions Gate Entertainment*		10,321		71
Live Nation*		5,200		42
LKQ*		13,200		319
Lululemon Athletica*		4,999		243

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Lumber Liquidators Holdings* (A)		19,300	$	291
Madison Square Garden, Cl A*		1,900		43
Matthews International, Cl A		1,200		37
MDC Holdings		2,000		34
Men’s Wearhouse (A)		20,288		529
Meredith (A)		12,060		273
Meritage Homes*		1,800		27
Modine Manufacturing* (A)		2,100		19
Mohawk Industries*		1,400		60
Monro Muffler		1,600		53
Morningstar (A)		300		17
National CineMedia		30,433		442
National Presto Industries		100		9
New York Times, Cl A*		14,227		83
Newell Rubbermaid		45,596		541
NVR*		100		60
Office Depot*		11,200		23
OfficeMax*		6,223		30
O’Reilly Automotive*		10,410		694
Orient-Express Hotels, Cl A* (A)		44,000		304
Overstock.com*		598		5
Oxford Industries		1,400		48
Pandora Media*		16,400		240
Panera Bread, Cl A*		3,700		384
Peet’s Coffee & Tea*		1,000		56
Penn National Gaming*		1,300		43
Penske Auto Group (A)		1,800		29
PEP Boys-Manny Moe & Jack (A)		36,863		364
PetSmart		1,700		72
PF Chang’s China Bistro		400		11
Pinnacle Entertainment*		28,725		261
Polaris Industries		1,000		50
Pool		2,100		55
Pulte Homes*		25,508		101
PVH		1,100		64
RadioShack		17,600		204
Red Robin Gourmet Burgers*		800		19
Regal Entertainment Group, Cl A		1,592		19
Regis (A)		45,363		639
Royal Caribbean Cruises		11,776		255
Ruby Tuesday* (A)		24,600		176
Rue21* (A)		11,230		255
Ryland Group (A)		17,500		186
Saks*		3,587		31
Sally Beauty Holdings*		1,200		20
Sauer-Danfoss*		1,700		49
Scholastic (A)		4,931		138
Scientific Games, Cl A*		19,972		142
Select Comfort*		34,400		481
Service International		6,700		61
Shutterfly* (A)		24,080		992
Signet Jewelers		3,000		101
Sinclair Broadcast Group, Cl A		21,800		156
Skechers U.S.A., Cl A*		7,869		110
Skullcandy*		14,100		199
Snap-on		800		36
Sotheby’s (A)		1,400		39
Stage Stores (A)		17,500		243
Standard-Pacific*		4,600		11
Steven Madden*		6,545		197
Stewart Enterprises, Cl A (A)		2,900		17

Description	Shares		Market Value ($ Thousands)
Strayer Education		200	$	15
Tempur-Pedic International* (A)		22,074		1,161
Tenneco*		900		23
Texas Roadhouse, Cl A		45,380		600
Thor Industries		700		16
Toll Brothers*		2,600		38
Tractor Supply		8,000		500
True Religion Apparel*		2,200		59
TRW Automotive Holdings*		2,997		98
Tupperware Brands		9,914		533
Ulta Salon Cosmetics & Fragrance*		14,370		894
Under Armour, Cl A* (A)		600		40
Universal Technical Institute*		492		7
Urban Outfitters*		8,722		195
Vail Resorts		1,000		38
Valassis Communications*		1,800		34
WABCO Holdings*		1,500		57
Warnaco Group* (A)		700		32
Weight Watchers International		12,480		727
Whirlpool		5,900		295
Williams-Sonoma		1,200		37
WMS Industries*		31,409		552
Wolverine World Wide		700		23
World Wrestling Entertainment, Cl A		900		8
Wyndham Worldwide		4,822		137
Zumiez*		19,100		334
				38,027
Consumer Staples — 4.1%
B&G Foods, Cl A		2,800		47
BJ’s Wholesale Club*		600		31
Boston Beer, Cl A* (A)		800		58
Cal-Maine Foods		1,100		35
Casey’s General Stores (A)		4,952		216
Central European Distribution*		1,200		8
Central Garden and Pet*		11,883		82
Central Garden and Pet, Cl A* (A)		19,092		135
Chefs’ Warehouse Holdings*		16,300		192
Chiquita Brands International* (A)		5,191		43
Church & Dwight		3,200		142
Constellation Brands, Cl A*		19,091		344
Corn Products International		10,574		415
Darling International* (A)		2,400		30
Dean Foods*		5,300		47
Diamond Foods (A)		10,111		807
Dole Food* (A)		15,966		160
Energizer Holdings*		1,900		126
Flowers Foods		3,000		58
Fresh Del Monte Produce (A)		10,000		232
Fresh Market*		6,870		262
Green Mountain Coffee Roasters* (A)		14,070		1,308
Hain Celestial Group*		1,700		52
Hansen Natural*		1,663		145
Herbalife		15,197		815
Imperial Sugar		8,306		53
J&J Snack Foods		7,280		350
Kroger		16,108		354

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Lancaster Colony (A)		1,200	$	73
Molson Coors Brewing, Cl B		9,920		393
Nash Finch		1,000		27
Nu Skin Enterprises, Cl A		900		36
Omega Protein*		23,400		212
Pantry*		16,126		196
Prestige Brands Holdings*		19,011		172
Ralcorp Holdings*		1,000		77
Safeway		24,500		407
Sanderson Farms (A)		5,036		239
Schiff Nutrition International* (A)		2,200		24
Seneca Foods, Cl A* (A)		449		9
Snyders-Lance (A)		800		17
Spartan Stores		28,075		434
Spectrum Brands Holdings*		1,100		26
SUPERVALU		17,700		118
SYSCO		11,158		289
TreeHouse Foods* (A)		1,800		111
United Natural Foods* (A)		15,547		576
Universal		5,400		194
USANA Health Sciences* (A)		400		11
Vector Group		3,197		55
WD-40		400		16
Weis Markets (A)		5,100		189
				10,448
Energy — 5.5%
Arch Coal		2,167		32
Atlas Energy*		2,541		—
ATP Oil & Gas* (A)		1,700		13
Atwood Oceanics*		13,590		467
Berry Petroleum, Cl A		16,545		585
Bill Barrett* (A)		7,570		274
Brigham Exploration*		2,900		73
Bristow Group		3,700		157
Cabot Oil & Gas		5,864		363
CARBO Ceramics		4,130		423
Carrizo Oil & Gas* (A)		13,020		281
Clayton Williams Energy*		2,200		94
Clean Energy Fuels*		2,390		27
Cobalt International Energy*		851		7
Complete Production Services*		36,070		680
Contango Oil & Gas* (A)		500		27
Core Laboratories		981		88
Crosstex Energy		1,274		17
CVR Energy* (A)		2,700		57
Dresser-Rand Group*		1,300		53
Dril-Quip* (A)		15,693		846
Energen		2,800		114
Energy XXI Bermuda*		640		14
EQT		5,289		282
EXCO Resources		3,300		35
Exterran Holdings*		1,510		15
Global Industries*		7,700		61
Golar LNG (A)		3,200		102
Goodrich Petroleum* (A)		20,248		239
Gulf Island Fabrication		1,700		35
Gulfmark Offshore, Cl A*		15,451		562
Helix Energy Solutions Group*		1,800		24
Helmerich & Payne		2,821		115
Hercules Offshore*		9,373		27
HollyFrontier		14,298		375

Description	Shares		Market Value ($ Thousands)
Hornbeck Offshore Services* (A)		13,250	$	330
ION Geophysical*		50,010		237
Key Energy Services* (A)		48,773		463
Kodiak Oil & Gas*		7,600		40
Magnum Hunter Resources* (A)		72,515		240
McMoRan Exploration*		5,900		59
Murphy Oil		5,830		257
Nabors Industries*		14,880		182
Newfield Exploration*		6,177		245
Newpark Resources*		9,960		61
Northern Oil And Gas*		9,385		182
Oasis Petroleum*		12,600		281
Oceaneering International		11,800		417
Oil States International*		6,100		311
Overseas Shipholding Group		1,426		20
Panhandle Oil and Gas, Cl A		600		17
Parker Drilling*		7,556		33
Patterson-UTI Energy		4,000		69
Penn Virginia		1,300		7
Petroquest Energy*		2,715		15
Pioneer Drilling*		1,400		10
Pioneer Natural Resources		4,364		287
Plains Exploration & Production*		3,200		73
Quicksilver Resources*		2,900		22
Range Resources		4,726		276
Resolute Energy*		25,300		287
RigNet*		519		8
Rosetta Resources* (A)		13,210		452
Rowan*		2,496		75
SandRidge Energy* (A)		10,700		60
SEACOR Holdings		500		40
SM Energy		6,290		382
Stone Energy* (A)		16,100		261
Superior Energy Services*		1,300		34
Swift Energy*		14,139		344
Tesoro*		23,300		454
Tidewater		9,070		381
USEC* (A)		51,000		82
Vaalco Energy*		9,250		45
W&T Offshore		13,700		189
Western Refining* (A)		21,700		270
Willbros Group* (A)		1,500		6
World Fuel Services		1,200		39
				14,107
Financials — 17.6%
1st Source		2,900		60
Acadia Realty Trust †		1,500		28
Advance America Cash Advance Centers (A)		32,400		238
Affiliated Managers Group*		4,400		343
Alexander’s †		100		36
Alexandria Real Estate Equities †		1,100		68
Allied World Assurance Holdings		4,300		231
Alterra Capital Holdings		2,300		44
American Assets Trust †		2,500		45
American Campus Communities †		1,000		37
American Capital*		8,900		61
American Capital Agency †		1,900		51
American Equity Investment Life Holding		4,000		35
American Financial Group		13,800		429

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
American National Insurance		700	$	48
Ameriprise Financial		6,693		263
Amerisafe*		1,639		30
Anworth Mortgage Asset †		31,500		214
Apartment Investment & Management, Cl A †		1,800		40
Apollo Commercial Real Estate Finance †		2,950		39
Arch Capital Group*		900		29
Ares Capital		13,829		190
Argo Group International Holdings		8,007		227
Arthur J. Gallagher		1,800		47
Ashford Hospitality Trust †		4,800		34
Aspen Insurance Holdings		8,500		196
Associated Banc-Corp		3,600		33
Associated Estates Realty †		3,300		51
Assured Guaranty		6,000		66
Axis Capital Holdings		900		23
Banco Latinoamericano de Exportaciones, Cl E (A)		20,200		308
Bancorpsouth		9,351		82
Bank of Hawaii		900		33
Bank of the Ozarks		16,975		355
Berkshire Hills Bancorp		14,825		274
BioMed Realty Trust †		27,815		461
BlackRock Kelso Capital (A)		2,400		18
Boston Private Financial Holdings		23,259		137
Brandywine Realty Trust †		63,835		511
BRE Properties, Cl A †		1,000		42
Brookline Bancorp		1,200		9
Brown & Brown		1,000		18
Camden Property Trust †		600		33
Capstead Mortgage † (A)		1,900		22
Cardinal Financial (A)		15,212		131
Cardtronics*		25,636		588
Cathay General Bancorp		2,100		24
CBL & Associates Properties † (A)		41,801		475
Central Pacific Financial*		665		7
Chemical Financial		10,100		155
Chesapeake Lodging Trust †		3,000		36
Chimera Investment †		70,826		196
City National		500		19
CNA Financial		12,400		279
CNO Financial Group* (A)		55,868		302
CoBiz Financial		64,525		288
Colonial Properties Trust †		4,500		82
Comerica		16,021		368
Commerce Bancshares		1,527		53
CommonWealth †		13,100		248
Community Bank System (A)		11,300		256
Community Trust Bancorp		10,100		235
Cousins Properties † (A)		14,402		84
CubeSmart †		3,500		30
CVB Financial		38,403		295
CYS Investments †		4,400		53
DCT Industrial Trust †		9,100		40
DDR †		2,300		25
Delphi Financial Group, Cl A		1,100		24
DFC Global* (A)		2,400		52
Digital Realty Trust †		7,199		397

Description	Shares		Market Value ($ Thousands)
Dime Community Bancshares (A)		12,200	$	124
Douglas Emmett †		1,400		24
Duke Realty †		6,624		70
DuPont Fabros Technology (A) †		15,030		296
E*Trade Financial*		2,100		19
Eagle Bancorp*		31,819		375
East West Bancorp		150		2
EastGroup Properties †		2,100		80
Eaton Vance (A)		3,729		83
Education Realty Trust †		70,188		603
Employers Holdings		23,504		300
Endurance Specialty Holdings		15,590		532
Enstar Group*		400		38
Entertainment Properties Trust † (A)		1,000		39
Equity Lifestyle Properties †		900		56
Equity One † (A)		15,951		253
Erie Indemnity, Cl A		2,000		142
Essex Property Trust †		4,344		521
Evercore Partners, Cl A		700		16
Everest Re Group		4,400		349
Excel Trust †		38,747		373
Extra Space Storage †		2,600		48
FBL Financial Group, Cl A (A)		2,500		67
Federal Realty Investment Trust †		500		41
Federated Investors, Cl B		29,476		517
FelCor Lodging Trust* † (A)		6,100		14
Fidelity National Financial, Cl A		3,700		56
Fifth Street Finance (A)		11,008		103
Fifth Third Bancorp		48,019		485
First American Financial		3,200		41
First BanCorp*		1,660		5
First Cash Financial Services*		1,400		59
First Financial Bancorp (A)		10,290		142
First Financial Bankshares		900		24
First Horizon National		61,673		368
First Industrial Realty Trust* †		4,500		36
First Midwest Bancorp		31,055		227
First Niagara Financial Group		8,420		77
First Potomac Realty Trust †		34,625		432
FirstMerit (A)		54,738		622
Flagstone Reinsurance Holdings		6,300		49
Flushing Financial		1,600		17
FNB (Pennsylvania) (A)		11,200		96
Forest City Enterprises, Cl A*		3,300		35
Franklin Street Properties † (A)		5,100		58
Fulton Financial		4,400		34
GAMCO Investors, Cl A		400		16
Getty Realty † (A)		3,100		45
GFI Group		37,700		152
Glimcher Realty Trust †		5,600		40
Government Properties Income Trust †		2,000		43
Green Dot, Cl A*		1,108		35
Greenhill		4,700		134
Greenlight Capital Re*		1,000		21
Hampton Roads Bankshares*		1,561		7
Hancock Holding (A)		27,756		743
Hanover Insurance Group		16,350		580
Harleysville Group (A)		5,446		321
Hatteras Financial †		1,900		48
HCC Insurance Holdings		1,700		46

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Healthcare Realty Trust †		3,400	$	57
Hercules Technology Growth Capital		7,354		63
Hersha Hospitality Trust, Cl A † (A)		4,600		16
Highwoods Properties † (A)		13,220		374
Home Properties † (A)		400		23
Horace Mann Educators (A)		20,593		235
Hospitality Properties Trust †		21,600		459
Host Hotels & Resorts †		24,374		267
Huntington Bancshares		102,300		491
IBERIABANK (A)		12,616		594
Independent Bank (A)		800		17
Infinity Property & Casualty (A)		5,937		312
Inland Real Estate †		8,500		62
Invesco Mortgage Capital †		2,400		34
Investors Real Estate Trust †		1,800		13
Janus Capital Group		1,700		10
Jefferies Group		900		11
Jones Lang LaSalle		470		25
Justice Holdings*		22,019		323
KBW (A)		700		10
Kemper		13,200		316
Kilroy Realty †		1,275		40
Knight Capital Group, Cl A* (A)		35,263		429
LaSalle Hotel Properties † (A)		19,425		373
Lexington Realty Trust †		38,167		250
Liberty Property Trust †		14,285		416
LTC Properties †		2,500		63
Macerich †		3,201		136
Mack-Cali Realty †		1,500		40
Markel*		100		36
MarketAxess Holdings (A)		4,077		106
MB Financial		2,400		35
MBIA* (A)		5,600		41
MCG Capital		7,700		30
Meadowbrook Insurance Group (A)		65,822		586
Medical Properties Trust † (A)		5,500		49
Mercury General		500		19
MF Global Holdings*		5,200		21
MFA Financial †		95,106		668
Mid-America Apartment Communities †		10,383		625
Montpelier Re Holdings		18,100		320
Moody’s (A)		17,519		533
MSCI, Cl A*		2,800		85
National Financial Partners*		27,380		299
National Health Investors † (A)		800		34
National Penn Bancshares		32,651		229
National Retail Properties † (A)		16,600		446
National Western Life Insurance, Cl A		200		27
Navigators Group*		800		35
NBT Bancorp (A)		800		15
Nelnet, Cl A		932		17
Netspend Holdings*		15,000		77
Northfield Bancorp (A)		800		11
Northwest Bancshares		4,100		49
Ocwen Financial* (A)		4,200		55
Old National Bancorp (A)		46,891		437
Old Republic International		4,000		36

Description	Shares		Market Value ($ Thousands)
Omega Healthcare Investors †		5,100	$	81
One Liberty Properties †		140		2
Oriental Financial Group		13,000		126
Oritani Financial		4,100		53
Pacific Capital Bancorp*		7,106		181
PacWest Bancorp (A)		16,092		224
Park National (A)		300		16
Parkway Properties †		16,600		183
PartnerRe		7,619		398
Pebblebrook Hotel Trust †		2,300		36
PennantPark Investment		4,200		37
Pennsylvania † (A)		27,100		209
PHH* Platinum Underwriters		1,000		16
Holdings (A)		18,719		576
Popular*		46,600		70
Portfolio Recovery Associates* (A)		400		25
Post Properties †		1,200		42
PrivateBancorp, Cl A		8,400		63
ProAssurance (A)		15,772		1,136
Prospect Capital		5,940		50
Prosperity Bancshares		12,955		423
Protective Life		1,100		17
Provident Financial Services		13,609		146
PS Business Parks †		800		40
RAIT Financial Trust † (A)		13,999		47
Ramco-Gershenson Properties †		2,300		19
Raymond James Financial		1,500		39
Rayonier †		1,200		44
Realty Income †		1,400		45
Redwood Trust † (A)		1,200		13
Regency Centers †		700		25
Regions Financial		49,700		166
Reinsurance Group of America, Cl A		12,333		567
RenaissanceRe Holdings		700		45
Resource Capital † (A)		2,600		13
RLI		800		51
S&T Bancorp (A)		5,000		81
Sabra Health Care REIT †		2,365		23
Safeguard Scientifics*		30,602		459
Sandy Spring Bancorp		16,073		235
Senior Housing Properties Trust †		5,420		117
Signature Bank NY* (A)		18,612		888
Solar Capital		9,642		194
Sovran Self Storage †		1,800		67
StanCorp Financial Group		11,800		325
Starwood Property Trust †		2,300		39
Sterling Financial*		9,178		114
Stifel Financial*		11,600		308
Strategic Hotels & Resorts* †		8,200		35
Sun Communities † (A)		1,400		49
Sunstone Hotel Investors* †		5,100		29
SVB Financial Group* (A)		11,882		440
SWS Group		39,800		187
Synovus Financial (A)		145,973		156
Tanger Factory Outlet Centers † (A)		2,000		52
Taubman Centers †		1,400		70
TCF Financial (A)		57,711		529
Texas Capital Bancshares*		2,000		46

5 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Tower Bancorp		900	$	19
Tower Group		2,965		68
Transatlantic Holdings		1,300		63
Trustmark (A)		900		16
Two Harbors Investment †		4,900		43
UDR †		1,400		31
Umpqua Holdings		1,200		11
United Bankshares (A)		4,300		86
United Fire & Casualty (A)		4,000		71
Unum Group		36,883		773
Validus Holdings		10,400		259
Valley National Bancorp (A)		6,410		68
ViewPoint Financial Group		3,900		45
Waddell & Reed Financial, Cl A		900		23
Walter Investment Management		1,157		27
Washington Federal		1,500		19
Washington Real Estate Investment Trust † (A)		2,400		68
Webster Financial		28,880		442
Weingarten Realty Investors †		1,600		34
WesBanco (A)		12,800		222
Westamerica Bancorporation		900		34
Western Alliance Bancorp*		54,635		299
White Mountains Insurance Group		100		41
Willis Group Holdings		10,038		345
Wintrust Financial (A)		600		15
World Acceptance* (A)		800		45
WR Berkley		5,400		160
WSFS Financial		6,168		195
Zions Bancorporation		56,804		799
				44,828
Health Care — 12.8%
Abaxis*		1,600		37
Accuray* (A)		4,734		19
Affymax* (A)		2,452		11
Affymetrix* (A)		4,300		21
Air Methods*		600		38
Alere*		1,800		35
Alexion Pharmaceuticals*		8,391		538
Align Technology*		3,800		58
Alkermes*		4,000		61
Allscripts Healthcare Solutions*		39,870		719
Amarin ADR*		26,600		245
Amedisys*		4,911		73
AMERIGROUP*		800		31
AmerisourceBergen		6,974		260
Amsurg* (A)		11,000		247
Amylin Pharmaceuticals*		3,200		30
Ardea Biosciences*		14,619		228
Ariad Pharmaceuticals*		26,400		232
Arqule*		28,600		144
Arthrocare*		2,478		71
athenahealth* (A)		1,600		95
AVEO Pharmaceuticals*		10,300		159
BioMarin Pharmaceuticals*		2,100		67
Bio-Reference Labs*		1,000		18
Brookdale Senior Living, Cl A*		1,700		21
Caliper Life Sciences*		7,700		80
Capital Senior Living*		200		1
CareFusion*		21,325		511

Description	Shares		Market Value ($ Thousands)
Catalyst Health Solutions*		28,804	$	1,662
Centene*		14,800		424
Cepheid*		10,800		419
Charles River Laboratories International*		700		20
Chemed		800		44
Computer Programs & Systems		800		53
Conmed*		15,680		361
Cooper		9,910		784
Covance*		12,553		570
Coventry Health Care*		37,538		1,081
Cubist Pharmaceuticals* (A)		2,000		71
Cyberonics* (A)		21,967		622
DexCom*		3,400		41
Emdeon, Cl A*		4,400		83
Emergent Biosolutions*		1,200		19
Emeritus* (A)		1,400		20
Endo Pharmaceuticals Holdings*		11,265		315
Enzon Pharmaceuticals* (A)		2,600		18
Exelixis* (A)		27,980		153
Forest Laboratories*		6,700		206
Gen-Probe*		13,750		787
Gentiva Health Services* (A)		700		4
Geron* (A)		8,900		19
Greatbatch*		16,155		323
Haemonetics*		800		47
Halozyme Therapeutics* (A)		2,500		15
HCA Holdings*		11,855		239
Health Management Associates, Cl A*		27,684		192
Health Net*		1,800		43
Healthsouth* (A)		36,263		541
Healthspring* (A)		11,500		419
Healthways*		3,400		33
HeartWare International*		4,360		281
Hill-Rom Holdings		1,400		42
HMS Holdings*		22,600		551
Hologic*		26,751		407
Human Genome Sciences*		4,900		62
Humana		5,500		400
Idexx Laboratories* (A)		1,000		69
Immunogen*		19,100		209
Impax Laboratories*		13,700		245
Incyte* (A)		29,520		412
Insulet*		15,310		234
InterMune*		6,100		123
Invacare		13,822		318
IPC The Hospitalist*		9,600		343
Ironwood Pharmaceuticals, Cl A*		30,360		328
Isis Pharmaceuticals* (A)		3,300		22
Kindred Healthcare*		3,321		29
Kinetic Concepts*		1,802		119
LHC Group*		500		9
LifePoint Hospitals*		11,632		426
Lincare Holdings		1,800		40
Magellan Health Services*		12,250		592
MAKO Surgical*		6,900		236
MannKind* (A)		9,300		35
MAP Pharmaceuticals*		10,800		158
Masimo		1,600		35
Maxygen		2,900		16
MedAssets*		6,270		60

6 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Medcath*		6,300	$	87
Medicis Pharmaceutical, Cl A		900		33
Mednax*		10,800		676
Meridian Bioscience		2,500		39
Merit Medical Systems*		3,125		41
Metropolitan Health Networks* (A)		46,200		210
Mettler Toledo International*		500		70
Micromet*		9,600		46
Momenta Pharmaceuticals*		5,105		59
MWI Veterinary Supply*		4,082		281
Myriad Genetics*		2,200		41
Nektar Therapeutics* (A)		9,000		44
Neogen* (A)		900		31
NPS Pharmaceuticals*		23,800		155
NuVasive*		13,830		236
NxStage Medical*		19,000		396
Obagi Medical Products* (A)		1,600		15
Omnicare (A)		3,200		81
Omnicell* (A)		1,300		18
Onyx Pharmaceuticals* (A)		10,170		305
Optimer Pharmaceuticals*		13,100		181
Orthofix International*		8,310		287
Owens & Minor (A)		950		27
Par Pharmaceutical*		7,200		192
Parexel International* (A)		22,710		430
Patterson		12,186		349
PDL BioPharma (A)		45,115		250
PerkinElmer		2,800		54
Pharmaceutical Product Development		24,820		637
Pharmacyclics*		11,400		135
Pharmasset*		3,660		302
PharMerica* (A)		10,000		143
PSS World Medical* (A)		1,400		28
QIAGEN*		4,760		66
Quest Diagnostics		6,723		332
Regeneron Pharmaceuticals*		2,328		136
ResMed*		3,577		103
Salix Pharmaceuticals* (A)		30,704		909
Sciclone Pharmaceuticals* (A)		41,200		157
Seattle Genetics* (A)		20,800		397
Select Medical Holdings* (A)		6,100		41
Sirona Dental Systems*		19,386		822
SonoSite*		1,500		46
STERIS		20,169		590
SXC Health Solutions*		20,340		1,133
Symmetry Medical*		1,500		12
Techne		900		61
Tenet Healthcare*		14,100		58
Theravance* (A)		1,400		28
Thoratec*		1,500		49
Tornier BV*		16,361		335
United Therapeutics*		459		17
Universal Health Services, Cl B		1,700		58
US Physical Therapy		900		17
Vertex Pharmaceuticals*		2,500		111
Viropharma*		2,500		45
Volcano* (A)		24,720		732
WellCare Health Plans* (A)		11,100		422
West Pharmaceutical Services		1,100		41

Description	Shares		Market Value ($ Thousands)
WuXi PharmaTech Cayman ADR*		16,400	$	191
Zoll Medical*		13,680		516
				32,783
Industrials — 15.6%
AAON		2,250		35
AAR (A)		1,100		18
ABM Industries		2,100		40
Acacia Research - Acacia Technologies*		1,500		54
ACCO Brands* (A)		18,200		87
Actuant, Cl A		21,545		426
Acuity Brands (A)		500		18
Advisory Board* (A)		15,030		970
Aecom Technology*		12,380		219
Aerovironment*		1,600		45
AGCO*		27,962		967
Aircastle		31,832		303
Alaska Air Group*		800		45
Albany International, Cl A (A)		11,100		203
Alliant Techsystems		715		39
American Superconductor*		5,422		21
Ametek		12,906		426
Ampco-Pittsburgh (A)		8,000		164
AMR*		4,000		12
AO Smith		1,100		35
Arkansas Best (A)		900		14
Atlas Air Worldwide Holdings*		7,300		243
Avery Dennison		11,860		297
Barnes Group (A)		1,100		21
BE Aerospace*		23,260		770
Beacon Roofing Supply*		20,988		336
Belden (A)		19,720		509
Blount International*		5,419		72
Brady, Cl A (A)		18,946		501
Briggs & Stratton (A)		13,290		180
Brink’s		3,100		72
Calgon Carbon*		5,791		84
Carlisle		1,800		57
Chart Industries*		11,511		485
Chicago Bridge & Iron		80		2
Cintas		11,431		322
Clarcor		1,200		50
Clean Harbors* (A)		5,043		259
Colfax* (A)		7,500		152
Con-way		600		13
Copa Holdings, Cl A		9,350		573
Copart*		1,200		47
Corporate Executive Board		1,100		33
Corrections Corp of America*		33,910		769
CoStar Group*		10,500		546
Courier (A)		5,144		34
Covanta Holding		3,100		47
Crane		600		21
Cubic		7,699		301
Curtiss-Wright		900		26
Deluxe (A)		11,400		212
DigitalGlobe* (A)		29,290		569
Dollar Thrifty Automotive Group*		2,333		131
Donaldson		900		49
Dover		6,999		326

7 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
EMCOR Group (A)		33,032	$	672
EnergySolutions*		3,600		13
EnerNOC* (A)		1,300		12
EnPro Industries* (A)		5,991		178
ESCO Technologies		19,513		498
Esterline Technologies*		800		42
Flowserve		3,748		277
Fluor		6,146		286
Forward Air (A)		4,163		106
Franklin Electric (A)		5,485		199
FTI Consulting*		1,400		51
G&K Services		23,863		609
Gardner Denver		600		38
GATX		700		22
Generac Holdings*		4,034		76
General Cable*		6,306		147
Genesee & Wyoming, Cl A*		8,100		377
Geo Group* (A)		28,280		525
GeoEye* (A)		700		20
Gorman-Rupp (A)		1,562		39
Graco		600		21
GrafTech International*		2,200		28
Granite Construction (A)		5,570		105
Great Lakes Dredge & Dock		3,253		13
Harsco		3,200		62
Hawaiian Holdings*		38,385		161
Heartland Express		2,631		36
HEICO		1,409		69
Heidrick & Struggles International (A)		411		7
Herman Miller		1,500		27
Hertz Global Holdings*		4,900		44
Hexcel* (A)		26,190		580
Higher One Holdings*		3,956		64
HNI (A)		3,926		75
HUB Group, Cl A*		1,400		39
IDEX		17,840		556
IHS, Cl A*		800		60
II-VI*		2,000		35
Interface, Cl A (A)		82,070		973
Interline Brands*		1,300		17
International Shipholding (A)		5,600		104
JB Hunt Transport Services		15,070		544
John Bean Technologies		12,327		176
Kadant* (A)		20,228		359
Kaman		2,096		58
Kansas City Southern*		13,786		689
Kaydon (A)		25,653		736
KBR		4,000		94
Kelly Services, Cl A		1,200		14
Kennametal		16,922		554
Keyw Holding*		27,400		195
Kirby*		10,200		537
Knight Transportation		11,400		152
Knoll		1,200		16
Landstar System		1,100		43
Layne Christensen*		1,000		23
LB Foster, Cl A		47		1
Lennox International (A)		2,400		62
Lincoln Electric Holdings		14,346		416
Localiza Rent a Car		15,410		206
Manitowoc		1,690		11

Description	Shares		Market Value ($ Thousands)
Marten Transport		15,090	$	260
MasTec*		5,300		93
Mcgrath Rentcorp		1,900		45
Meritor* (A)		31,430		222
Middleby* (A)		5,000		352
Miller Industries		8,900		154
Moog, Cl A*		22,795		744
MSC Industrial Direct, Cl A		700		39
Mueller Industries		500		19
Mueller Water Products, Cl A		6,176		15
NACCO Industries, Cl A (A)		400		25
Navistar International*		1,800		58
Nordson		1,300		52
Northwest Pipe*		7,640		155
Old Dominion Freight Line* (A)		14,740		427
Orbital Sciences* (A)		9,117		117
Orion Marine Group* (A)		19,282		111
Oshkosh Truck*		8,700		137
Owens Corning*		2,900		63
Pall		4,405		187
Pentair		500		16
Quanex Building Products		19,910		218
Quanta Services*		3,656		69
RBC Bearings*		11,200		381
Regal-Beloit		600		27
Republic Services		16,601		466
Resources Connection		2,600		25
Robbins & Myers		12,710		441
Robert Half International		1,400		30
Roper Industries		7,842		540
RPX*		16,400		340
RR Donnelley & Sons		15,000		212
RSC Holdings*		1,700		12
Ryder System		8,900		334
School Specialty* (A)		14,116		101
Sensata Technologies Holding*		15,868		420
Shaw Group*		630		14
Simpson Manufacturing		14,300		357
Skywest (A)		11,800		136
Spirit Aerosystems Holdings, Cl A*		13,584		217
SPX		600		27
Standex International (A)		6,700		209
Steelcase, Cl A		4,600		29
Swisher Hygiene*		7,621		31
SYKES Enterprises*		26,768		400
TAL International Group (A)		18,395		459
Teledyne Technologies*		14,148		691
Teleflex (A)		12,292		661
Terex*		1,108		11
Tetra Tech*		30,095		564
Thermon Group Holdings*		18,200		252
Thomas & Betts*		1,000		40
Timken		1,200		39
Toro		700		35
Towers Watson, Cl A		13,688		818
TransDigm Group*		500		41
Trex* (A)		12,451		200
Triumph Group (A)		4,215		205
TrueBlue*		32,900		373
Tutor Perini		3,700		42

8 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Unifirst		644	$	29
United Rentals*		45,520		766
United Stationers (A)		10,000		272
Universal Forest Products		1,908		46
URS*		8,200		243
USG*		1,100		7
UTI Worldwide		2,500		33
Valmont Industries		4,300		335
Vicor		2,300		20
Wabtec		1,800		95
Waste Connections		1,800		61
Watsco (A)		600		31
Watts Water Technologies, Cl A (A)		6,337		169
Werner Enterprises		1,900		40
WESCO International*		10,331		347
Woodward		1,580		43
Zipcar* (A)		4,449		80
				39,774
Information Technology — 16.4%
ACI Worldwide*		2,927		81
Acme Packet*		16,139		687
Active Network*		5,384		79
Adobe Systems*		14,432		349
Adtran (A)		30,505		807
Advanced Energy Industries*		1,400		12
Advent Software* (A)		1,000		21
Alliance Data Systems* (A)		1,000		93
Analog Devices		9,903		309
Ancestry.com*		2,670		63
Anixter International (A)		500		24
Ansys*		14,386		705
AOL*		2,700		32
Applied Micro Circuits* (A)		42,890		230
Ariba*		17,570		487
Arris Group*		7,200		74
Arrow Electronics*		1,900		53
Aruba Networks* (A)		28,060		587
Aspen Technology*		30,780		470
Atmel*		12,100		98
ATMI*		800		13
Avid Technology*		27,862		216
Avnet*		8,300		216
AVX		1,535		18
Benchmark Electronics*		26,482		345
Black Box		5,800		124
Blackbaud		1,000		22
Blackboard*		1,300		58
Blue Coat Systems*		4,810		67
Booz Allen Hamilton Holding, Cl A*		7,542		112
Bottomline Technologies*		2,964		60
Broadridge Financial Solutions		1,700		34
BroadSoft* (A)		13,140		399
Brocade Communications Systems*		153,664		664
CACI International, Cl A* (A)		4,024		201
Cadence Design Systems* (A)		86,320		798
Cavium* (A)		8,520		230
Checkpoint Systems*		1,100		15
Ciena* (A)		1,200		13

Description	Shares		Market Value ($ Thousands)
Cognex		1,400	$	38
Coherent*		8,586		369
CommVault Systems*		1,400		52
Computer Sciences		5,000		134
Comtech Telecommunications		11,363		319
Concur Technologies* (A)		9,160		341
Constant Contact*		800		14
Convergys* (A)		16,700		157
CoreLogic*		1,800		19
Cornerstone OnDemand*		2,249		28
Cree*		1,902		49
CSG Systems International*		16,700		211
CTS		17,700		144
Cymer*		600		22
Cypress Semiconductor		19,445		291
DealerTrack Holdings*		26,937		422
Deltek* (A)		4,647		28
DG FastChannel* (A)		800		14
Dice Holdings*		30,800		241
Diebold		8,643		238
Digital River* (A)		29,682		615
Diodes*		1,800		32
DST Systems		600		26
Earthlink		65,265		426
Echo Global Logistics*		1,761		24
EchoStar, Cl A*		2,900		66
Electronics for Imaging*		1,300		17
Emulex* (A)		37,444		240
Entegris*		40,900		261
Equinix*		800		71
Euronet Worldwide*		1,400		22
F5 Networks*		7,246		515
Factset Research Systems		800		71
Fair Isaac (A)		800		17
Fairchild Semiconductor International*		56,200		607
FARO Technologies*		1,300		41
FEI*		1,500		45
Finisar*		11,890		208
Flir Systems		2,400		60
Formfactor* (A)		1,169		7
Forrester Research (A)		15,500		504
Fortinet*		10,700		180
Gartner*		2,600		91
Genpact*		1,200		17
Global Payments		1,700		69
Harris		11,700		400
Heartland Payment Systems		3,000		59
Hittite Microwave* (A)		5,400		263
IAC*		17,100		676
Informatica*		7,000		287
Inphi*		21,340		187
Integrated Device Technology*		51,330		264
InterDigital		1,000		47
Intermec* (A)		27,699		180
International Rectifier*		14,100		263
Intersil, Cl A		4,300		44
IntraLinks Holdings*		1,130		9
IPG Photonics*		900		39
Ixia* (A)		25,300		194
j2 Global Communications		15,830		426
Jabil Circuit		41,010		730

9 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
JDA Software Group*		1,800	$	42
JDS Uniphase*		2,700		27
Kla-Tencor		6,600		253
Lattice Semiconductor*		23,100		121
Lexmark International, Cl A*		6,100		165
Limelight Networks* (A)		1,566		4
Liquidity Services*		6,900		221
Littelfuse (A)		4,325		174
LivePerson*		27,618		275
LogMein*		8,083		268
LoopNet* (A)		1,700		29
Loral Space & Communications*		800		40
LSI Logic*		13,100		68
Magnachip Semiconductor*		16,200		109
Manhattan Associates*		4,119		136
Mantech International, Cl A		900		28
MAXIMUS		1,200		42
Measurement Specialties* (A)		2,900		75
Mellanox Technologies*		10,600		331
Mentor Graphics*		2,400		23
Methode Electronics (A)		2,700		20
Micrel		7,000		66
Micros Systems*		8,100		356
Microsemi*		2,832		45
MicroStrategy, Cl A*		3,350		382
Mindspeed Technologies*		24,090		125
Molex (A)		18,406		375
Monolithic Power Systems*		23,481		239
Monster Worldwide*		1,600		12
MTS Systems		1,000		31
NCR*		2,700		46
Netgear (A)*		18,380		476
Netlogic Microsystems*		7,900		380
Netscout Systems*		4,329		49
NetSuite* (A)		1,400		38
NeuStar, Cl A*		1,000		25
NIC		4,100		47
Novellus Systems*		1,600		44
Nuance Communications*		5,900		120
Omnivision Technologies* (A)		1,400		20
ON Semiconductor*		11,300		81
OpenTable (A)*		9,850		453
OSI Systems*		1,300		44
Parametric Technology* (A)		32,959		507
Pegasystems (A)		14,446		442
Photronics*		29,800		148
Plantronics (A)		1,100		31
Plexus*		1,500		34
PMC - Sierra*		8,500		51
Polycom* (A)		26,630		489
Power Integrations (A)		22,619		692
Pulse Electronics		19,700		56
QLIK Technologies*		36,088		782
QLogic*		150		2
Quality Systems		500		48
Rackspace Hosting*		2,100		72
Rambus*		1,900		27
RealNetworks (A)		2,800		24
RealPage*		6,300		129
RF Micro Devices*		7,340		47
Richardson Electronics		500		7
RightNow Technologies*		12,800		423

Description	Shares		Market Value ($ Thousands)
Riverbed Technology* (A)		17,961	$	358
Rofin-Sinar Technologies* (A)		1,100		21
Rovi* (A)		2,724		117
Rubicon Technology*		404		4
S1*		3,900		36
SAIC*		27,800		328
Sapient		55,810		566
Scansource*		4,632		137
Seagate Technology		29,200		300
Semtech* (A)		3,100		65
Silicon Graphics International* (A)		2,400		29
Silicon Laboratories*		11,220		376
Skyworks Solutions* (A)		33,550		602
SolarWinds* (A)		52,259		1,151
Solera Holdings		900		45
Sonus Networks*		21,550		47
Standard Microsystems*		2,100		41
STEC*		3,349		34
SunPower, Cl A*		329		3
Symantec*		19,494		318
Synaptics* (A)		3,844		92
Synopsys*		30,164		735
Syntel (A)		16,435		710
Take-Two Interactive Software* (A)		2,400		31
Taleo, Cl A*		13,600		350
Tech Data*		8,900		385
Tekelec*		3,400		20
TeleTech Holdings*		5,391		82
Tellabs		22,081		95
Teradyne*		27,400		302
Tessera Technologies*		7,747		93
TIBCO Software*		24,000		537
TiVo*		2,000		19
TNS* (A)		13,401		252
Total System Services		2,800		47
Trimble Navigation*		1,830		61
TriQuint Semiconductor*		4,100		21
Tyler Technologies*		1,277		32
Ultimate Software Group* (A)		800		37
Ultra Clean Holdings*		34,755		149
Ultratech*		1,800		31
Unisys*		670		11
United Online (A)		29,700		155
Universal Display*		4,200		201
Valueclick* (A)		9,527		148
Varian Semiconductor Equipment Associates*		2,075		127
Vasco Data Security International (A)*		295		1
Veeco Instruments* (A)		3,965		97
Velti* (A)		10,863		72
VeriFone Holdings*		22,093		774
Viasat* (A)		1,100		37
Virtusa* (A)		1,600		21
Vishay Intertechnology* (A)		29,200		244
Vishay Precision Group*		192		2
VistaPrint*		900		24
Volterra Semiconductor*		2,100		40
WebMD Health, Cl A*		1,121		34
Websense*		2,994		52

10 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Westell Technologies, Cl A*		12,500	$	27
Western Digital*		13,200		339
Wright Express* (A)		1,100		42
Xyratex (A)		23,178		215
Zebra Technologies, Cl A*		8,517		263
				41,798
Materials — 5.1%
Airgas		1,600		102
AK Steel Holding		5,745		38
Albemarle		4,500		182
Alcoa		17,069		163
Allegheny Technologies		10,910		404
Allied Nevada Gold*		543		19
AMCOL International (A)		1,500		36
Aptargroup		4,666		208
Ashland		2,600		115
Balchem		1,400		52
Ball		7,100		220
Bemis		11,768		345
Boise (A)		36,400		188
Buckeye Technologies		1,900		46
Cabot		2,980		74
Carpenter Technology		1,300		58
Century Aluminum*		5,100		46
Clearwater Paper*		800		27
Coeur d’Alene Mines*		3,300		71
Compass Minerals International		1,100		73
Crown Holdings*		4,800		147
Cytec Industries		5,285		186
Detour Gold*		11,600		304
Domtar		4,200		286
Eagle Materials		700		12
Eastman Chemical		6,400		439
Ferro*		24,227		149
Georgia Gulf*		3,300		46
Glatfelter (A)		1,700		23
Globe Specialty Metals		5,200		76
Greif, Cl A		4,143		178
H.B. Fuller		6,825		124
Hecla Mining*		8,100		43
Horsehead Holding* (A)		2,100		16
Huntsman		40,050		387
Innophos Holdings		14,754		588
International Flavors & Fragrances		900		51
Intrepid Potash*		21,358		531
Jaguar Mining*		6,405		30
James River Coal* (A)		26,220		167
Kaiser Aluminum (A)		2,571		114
Koppers Holdings		480		12
Martin Marietta Materials		700		44
Methanex		14,250		297
Minerals Technologies		6,944		342
Molycorp*		829		27
Nalco Holding		2,100		73
Noranda Aluminum Holding*		6,400		53
Nucor		9,743		308
Olin		2,200		40
OM Group* (A)		8,168		212
Owens-Illinois*		30,241		457
Packaging Corp of America		22,819		532

Description	Shares		Market Value ($ Thousands)
PolyOne (A)		73,490	$	787
Reliance Steel & Aluminum		1,200		41
Rock-Tenn, Cl A		1,000		49
Rockwood Holdings*		1,000		34
Royal Gold		1,700		109
RPM International		3,100		58
RTI International Metals* (A)		21,518		502
Schnitzer Steel Industries, Cl A		400		15
Schulman A (A)		11,275		192
Schweitzer-Mauduit International (A)		7,185		401
Scotts Miracle-Gro, Cl A		1,500		67
Sensient Technologies (A)		14,515		472
Silgan Holdings		12,675		466
Solutia*		29,800		383
Sonoco Products		1,400		39
Steel Dynamics		29,600		294
Stillwater Mining* (A)		2,600		22
STR Holdings*		1,765		14
Temple-Inland		2,300		72
Texas Industries (A)		600		19
Thompson Creek Metals*		4,000		24
Titanium Metals		1,100		16
UFP Technologies*		13,800		199
US Gold*		4,734		19
Valspar		1,200		37
WR Grace*		1,400		47
				13,139
Telecommunication Services — 0.7%
AboveNet		10,556		566
Cincinnati Bell*		4,400		14
Clearwire, Cl A*		4,808		11
Consolidated Communications Holdings (A)		1,600		29
Global Crossing* (A)		1,400		33
Leap Wireless International*		3,400		23
Level 3 Communications*		37,700		56
MetroPCS Communications*		3,100		27
Neutral Tandem*		2,400		23
NII Holdings*		15,547		419
NTELOS Holdings		2,800		50
PAETEC Holding* (A)		6,400		34
Price Communication*		3,800		—
SBA Communications, Cl A*		3,100		107
tw telecom, Cl A*		5,300		87
USA Mobility (A)		15,500		205
				1,684
Utilities — 4.3%
AGL Resources		25,042		1,020
Allete		1,300		48
Alliant Energy		1,300		50
American States Water (A)		1,700		58
American Water Works		2,200		66
Aqua America		269		6
Atmos Energy		2,500		81
Avista (A)		15,500		370
Black Hills		700		21
California Water Service Group		2,800		50
CH Energy Group (A)		1,000		52
Chesapeake Utilities		7,396		297
Cleco (A)		1,600		55

11 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
CMS Energy (A)		18,100	$	358
Constellation Energy Group		11,000		419
DPL		2,000		60
Dynegy, Cl A* (A)		12,014		49
Edison International		7,838		300
El Paso Electric		4,700		151
Empire District Electric (A)		4,400		85
GenOn Energy*		31,600		88
Great Plains Energy (A)		58,008		1,120
Hawaiian Electric Industries		4,800		116
Idacorp (A)		5,128		194
Integrys Energy Group		1,000		49
ITC Holdings		1,000		77
Laclede Group (A)		2,600		101
MDU Resources Group		5,300		102
MGE Energy (A)		1,600		65
New Jersey Resources		750		32
Nicor		900		50
Northeast Utilities		4,000		135
Northwest Natural Gas (A)		8,825		389
NorthWestern		2,600		83
NSTAR		1,100		49
NV Energy		3,400		50
OGE Energy		900		43
Otter Tail		1,800		33
Pepco Holdings		2,200		42
Piedmont Natural Gas		1,800		52
Pinnacle West Capital		4,800		206
PNM Resources		1,700		28
Portland General Electric (A)		58,302		1,381
SCANA		11,566		468
South Jersey Industries		88		5
Southern Union		2,400		97
Southwest Gas		10,045		363
TECO Energy		21,207		363
UGI		4,300		113
UIL Holdings (A)		13,375		440
Unisource Energy		1,300		47
Vectren		2,100		57
Westar Energy		6,710		177
WGL Holdings		10,580		413
Xcel Energy		14,988		370
				10,994
Total Common Stock (Cost $264,658) ($ Thousands)				247,582
EXCHANGE TRADED FUND — 0.0%
iShares Russell 2000 Index Fund		1,036		66
Total Exchange Traded Fund (Cost $85) ($ Thousands)				66

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
	Number of Rights
RIGHTS — 0.0%
Endo Pharmaceuticals		1,900	$	—
First Bancorp Expires 11/01/11		1,660		—
Ligand Pharma Expires 01/05/12		29,750		—
Total Rights (Cost $—) ($Thousands)				—
	Number of Warrants
WARRANT — 0.0%
Magnum Hunter Resources Expires 08/29/14*		6,042		—
Total Warrant (Cost $—) ($Thousands)				—
AFFILIATED PARTNERSHIP — 15.5%
SEI Liquidity Fund, L.P.
0.130%**†† (B)		39,860,685		39,567
Total Affiliated Partnership (Cost $39,861) ($ Thousands)				39,567
CASH EQUIVALENT — 3.3%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		8,452,373		8,452
Total Cash Equivalent (Cost $8,452) ($ Thousands)				8,452
U.S. TREASURY OBLIGATION (C)(D) — 0.4%
U.S. Treasury Bills
0.058%, 12/15/11	$	1,000		1,000
Total U.S. Treasury Obligation (Cost $1,000) ($ Thousands)				1,000
Total Investments — 116.2% (Cost $314,056) ($ Thousands)			$	296,667

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
Russell 2000 Index E- MINI		49		Dec-2011	$	(148	)
S&P Mid 400 Index E- MINI		43		Dec-2011		(147	)
					$	(295	)

For the year ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

12 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Small / Mid Cap Fund

September 30, 2011

Percentages are based on Net Assets of $255,297 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

‡ Formerly Tax-Managed Small Cap Fund.

(A) This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $37,783 ($ Thousands).

(B) This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of September 30, 2011 was $39,567 ($Thousands).

(C) Security, or portion thereof has been pledged as collateral on open futures contracts.

(D) The rate reported is the effective yield at the time of purchase.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

NY — New York

PIPE — Private Investment in Public Entity

S&P — Standard and Poor’s

Amounts designated as “—” are $0 or have been rounded to $0.

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carriedat value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	247,582	$	—	$	—	$	247,582
Exchange Traded Fund		66		—		—		66
Rights		—		—		—		—
Warrant		—		—		—		—
Affiliated Partnership		—		39,567		—		39,567
Cash Equivalent		8,452		—		—		8,452
U.S. Treasury Obligation		—		1,000		—		1,000
Total Investments in Securities	$	256,100	$	40,567	$	—	$	296,667

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(295	)	$	—	$	—	$	(295	)
Total Other Financial Instruments	$	(295	)	$	—	$	—	$	(295	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

13 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Mid-Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 96.9%
Consumer Discretionary — 14.8%
Abercrombie & Fitch, Cl A		5,400	$	332
American Eagle Outfitters		34,815		408
BorgWarner* (A)		7,800		472
Coach		9,200		477
Deckers Outdoor*		3,500		327
Dick’s Sporting Goods*		7,800		261
DISH Network, Cl A*		1,100		28
Dollar Tree*		1,080		81
Federal Mogul, Cl A*		2,400		36
Fossil*		3,900		316
Gap		24,254		394
Genuine Parts		2,400		122
Global Sources*		2,300		16
Harley-Davidson		26,905		923
Harman International Industries		1,900		54
Hasbro		1,900		62
International Game Technology		41,863		608
Interpublic Group		48,752		351
Kohl’s		800		39
Liberty Media - Capital, Cl A		1,000		66
Liberty Media - Starz, Cl A*		700		44
Limited Brands		2,300		89
LKQ*		800		19
Lululemon Athletica* (A)		5,100		248
Macy’s		4,900		129
Marriott International, Cl A (A)		16,900		461
McGraw-Hill		3,400		139
NetFlix* (A)		2,000		226
Newell Rubbermaid		45,486		540
Panera Bread, Cl A*		1,000		104
PetSmart		1,100		47
Polaris Industries		2,000		100
Ross Stores		1,760		139
Royal Caribbean Cruises (A)		28,366		614
Scripps Networks Interactive, Cl A		11,000		409
Signet Jewelers		300		10
Sirius XM Radio* (A)		202,700		306
Sotheby’s (A)		6,000		165
Tempur-Pedic International*		4,300		226
Tesla Motors* (A)		7,900		193
Toll Brothers*		16,200		234
TRW Automotive Holdings*		700		23
Urban Outfitters* (A)		11,750		262
Whirlpool		1,100		55
Williams-Sonoma		3,500		108
WMS Industries*		24,943		439
Wyndham Worldwide		3,200		91
Wynn Resorts		2,600		299
				11,092
Consumer Staples — 3.5%
Avon Products		6,100		119
Bunge		2,100		122
Coca-Cola Enterprises		3,500		87
Constellation Brands, Cl A*		23,218		418
Corn Products International		2,000		79
Herbalife		1,600		86
Hormel Foods		1,500		41
Kroger		21,702		477

Description	Shares		Market Value ($ Thousands)
Lorillard		1,430	$	158
Molson Coors Brewing, Cl B		13,366		530
SYSCO		15,033		389
Tyson Foods, Cl A		6,300		109
				2,615
Energy — 7.3%
Cabot Oil & Gas		360		22
Cameron International*		14,600		607
CARBO Ceramics		1,900		195
Cimarex Energy		200		11
Concho Resources*		8,300		590
Consol Energy		3,100		105
Core Laboratories		3,800		341
Energen		2,200		90
EQT		7,126		380
EXCO Resources		1,900		20
HollyFrontier		3,400		89
Marathon Oil		1,400		30
Marathon Petroleum		1,250		34
McDermott International*		7,200		77
Murphy Oil		10,454		462
Nabors Industries*		22,498		276
Newfield Exploration*		17,322		688
Noble Energy		400		28
Peabody Energy		2,500		85
Pioneer Natural Resources		5,880		387
QEP Resources		200		5
Range Resources (A)		13,268		776
RPC (A)		1,500		25
SEACOR Holdings		1,190		95
SM Energy		510		31
Valero Energy		3,700		66
				5,515
Financials — 14.8%
Aflac		1,200		42
American Capital Agency †		500		14
American Financial Group		1,200		37
Ameriprise Financial		10,517		414
Annaly Capital Management †		8,800		146
Ashford Hospitality Trust †		400		3
Assurant		2,500		90
BOK Financial (A)		6,800		319
Brandywine Realty Trust †		2,500		20
Camden Property Trust †		5,400		298
Chatham Lodging Trust †		2,400		24
Chimera Investment † (A)		15,000		41
Comerica		21,585		496
CommonWealth †		3,650		69
Digital Realty Trust † (A)		8,082		446
Discover Financial Services		5,100		117
Duke Realty †		3,800		40
East West Bancorp		900		13
Endurance Specialty Holdings		11,808		403
Erie Indemnity, Cl A		400		29
Federated Investors, Cl B (A)		22,499		395
Fifth Third Bancorp		76,295		771
Genworth Financial, Cl A*		16,600		95
Hospitality Properties Trust †		3,300		70
Host Hotels & Resorts †		32,839		359
Huntington Bancshares		21,800		105
Inland Real Estate †		4,200		31

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Mid-Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Jones Lang LaSalle		1,200	$	62
Keycorp		18,200		108
Lazard, Cl A		11,600		245
Liberty Property Trust † (A)		20,356		593
Moody’s (A)		14,900		453
NASDAQ OMX Group*		3,100		72
Nelnet, Cl A		1,400		26
PartnerRe		6,896		360
PNC Financial Services Group		300		14
ProAssurance		5,659		408
ProLogis †		10,377		252
Raymond James Financial		4,000		104
Regions Financial		3,900		13
Reinsurance Group of America, Cl A		9,384		431
Resource Capital † (A)		4,900		24
SLM		9,100		114
Sunstone Hotel Investors* †		4,900		28
SunTrust Banks		7,000		126
Synovus Financial (A)		103,691		111
T. Rowe Price Group		8,900		425
TCF Financial (A)		42,387		388
TD Ameritrade Holding		17,300		254
Torchmark		700		24
Unum Group		27,950		586
Vornado Realty Trust †		735		55
Willis Group Holdings		13,524		465
Winthrop Realty Trust †		3,500		30
Zions Bancorporation (A)		32,728		460
				11,118
Health Care — 11.8%
Aetna		2,500		91
Agilent Technologies*		11,600		363
Alexion Pharmaceuticals*		7,200		461
AmerisourceBergen		9,397		350
Brookdale Senior Living, Cl A*		18,100		227
Bruker BioSciences*		13,300		180
C.R. Bard		500		44
CareFusion*		4,700		113
Cerner* (A)		6,000		411
Cigna		1,300		54
Coventry Health Care*		13,200		380
Covidien		700		31
HCA Holdings*		15,972		322
Health Net*		3,300		78
Healthsouth*		23,415		350
Hill-Rom Holdings		2,300		69
Hologic*		31,745		483
Humana		8,620		627
IDEXX Laboratories*		80		5
Illumina*		4,500		184
Intuitive Surgical*		200		73
Life Technologies*		3,000		115
Lincare Holdings		14,700		331
Myriad Genetics*		400		8
Patterson		14,937		428
PerkinElmer		4,800		92
Perrigo		3,720		361
Quest Diagnostics		9,058		447
Sirona Dental Systems*		10,500		445
STERIS		15,360		450

Description	Shares		Market Value ($ Thousands)
SXC Health Solutions*		2,100	$	117
Thoratec*		9,300		303
United Therapeutics*		300		11
Universal Health Services, Cl B		900		31
Valeant Pharmaceuticals International		16,300		605
Warner Chilcott, Cl A*		4,900		70
Zimmer Holdings*		2,500		134
				8,844
Industrials — 15.7%
AGCO*		6,600		228
Air Lease, Cl A* (A)		15,000		288
Alliant Techsystems (A)		800		44
Armstrong World Industries (A)		11,800		406
Avery Dennison		15,979		401
Avis Budget Group* (A)		21,800		211
Carlisle		10,400		331
Cintas		15,400		433
Cooper Industries, Cl A		8,500		392
CSX		200		4
Cummins		5,500		449
Dover		11,830		551
DXP Enterprises*		600		11
Eaton		800		28
Emerson Electric		600		25
Equifax		2,700		83
Flowserve		5,049		374
Fluor		8,280		386
Gardner Denver		1,480		94
General Dynamics		200		11
Goodrich		5,100		615
Hubbell, Cl B		300		15
Huntington Ingalls Industries*		1,400		34
IHS, Cl A*		6,100		456
Ingersoll-Rand		1,900		53
ITT		2,800		118
JB Hunt Transport Services		9,200		332
KBR		2,700		64
L-3 Communications Holdings		1,400		87
Manpower		100		3
Norfolk Southern		400		24
Owens Corning*		1,100		24
Pall		9,900		420
Parker Hannifin		6,910		436
Republic Services		22,366		628
Rockwell Automation		1,700		95
Roper Industries		4,670		322
Spirit Aerosystems Holdings, Cl A*		17,662		282
Stericycle*		5,600		452
Teleflex (A)		7,774		418
Thomas & Betts*		900		36
Timken		3,000		99
Towers Watson, Cl A		8,659		518
TransDigm Group*		3,500		286
URS*		1,700		50
Wabtec		7,900		418
WW Grainger (A)		5,050		755
				11,790
Information Technology — 17.1%
Activision Blizzard		5,500		65

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Mid-Cap Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Adobe Systems*		19,445	$	470
Akamai Technologies*		3,900		78
Alliance Data Systems* (A)		5,900		547
Amphenol, Cl A		7,500		306
Analog Devices		13,942		436
Aruba Networks* (A)		9,700		203
Autodesk*		4,300		120
Avago Technologies		13,400		439
Avnet*		4,200		110
BMC Software*		1,400		54
Brocade Communications Systems*		108,050		467
CA		6,300		122
CGI Group, Cl A*		13,600		256
Citrix Systems*		5,200		284
Concur Technologies* (A)		5,200		194
Dell*		700		10
Dolby Laboratories, Cl A*		2,100		58
Equinix*		4,100		364
F5 Networks*		4,700		334
Factset Research Systems (A)		3,910		348
Fairchild Semiconductor International*		5,200		56
Fidelity National Information Services		1,800		44
Fiserv*		800		41
FleetCor Technologies*		7,300		192
Fortinet*		9,500		160
Freescale Semiconductor Holdings I*		19,700		217
Intuit		2,600		123
Jabil Circuit		3,000		53
Marvell Technology Group*		2,400		35
Mastercard, Cl A		260		82
Maxim Integrated Products		4,700		109
Microchip Technology (A)		11,600		361
Micros Systems*		8,700		382
Molex (A)		22,103		450
Motorola Solutions		200		8
NetApp*		8,000		271
Nuance Communications* (A)		22,800		464
Nvidia*		4,900		61
OpenTable* (A)		4,300		198
PMC - Sierra*		1,300		8
Polycom*		19,600		360
Rackspace Hosting*		6,800		232
Red Hat*		9,900		418
Rovi*		7,700		331
SAIC*		700		8
Salesforce.com*		2,800		320
SanDisk*		3,100		125
Symantec*		26,264		428
Synopsys*		23,485		572
TE Connectivity		11,600		326
VeriFone Holdings*		10,600		371
Visa, Cl A		200		17
Western Digital*		4,200		108
Xerox		17,100		119
Xilinx (A)		11,800		324
Zebra Technologies, Cl A*		6,100		189
				12,828

Description	Shares		Market Value ($ Thousands)
Materials — 5.9%
Albemarle		200	$	8
Alcoa		22,996		220
Allegheny Technologies		14,699		544
Bemis (A)		13,564		398
Cabot		2,100		52
CF Industries Holdings		600		74
Cliffs Natural Resources		200		10
Commercial Metals		1,300		13
Eastman Chemical		1,440		99
FMC		7,000		484
Freeport-McMoRan Copper & Gold, Cl B		200		6
Greif, Cl A		6,500		279
Huntsman		28,439		275
Kronos Worldwide		400		6
Mosaic		300		15
Nucor (A)		13,127		415
Owens-Illinois*		26,260		397
Packaging Corp of America		16,696		389
Reliance Steel & Aluminum		2,700		92
Rock-Tenn, Cl A		1,100		53
Sealed Air		2,100		35
Sherwin-Williams (A)		6,100		453
Solutia*		1,600		21
Steel Dynamics		8,600		85
Walter Energy		230		14
Westlake Chemical		300		10
				4,447
Telecommunication Services — 0.3%
MetroPCS Communications*		7,400		65
NII Holdings*		2,500		67
Telephone & Data Systems		500		11
Windstream (A)		7,900		92
				235
Utilities — 5.7%
AES*		11,500		112
AGL Resources (A)		16,263		662
Ameren		1,600		48
American Water Works		3,800		114
Edison International		10,560		404
Entergy		2,200		146
Great Plains Energy (A)		34,204		660
MDU Resources Group		1,800		34
NRG Energy*		400		9
Oneok		40		3
PG&E		300		13
Portland General Electric		13,982		331
SCANA (A)		14,866		601
Sempra Energy		2,800		144
TECO Energy		26,146		448
UGI		3,000		79
Xcel Energy		20,193		499
				4,307
Total Common Stock (Cost $88,014) ($ Thousands)				72,791

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Mid-Cap Fund

September 30, 2011

Description	Shares/ Face Amount ($ Thousands)		Market Value ($ Thousands)
AFFILIATED PARTNERSHIP — 17.6%
SEI Liquidity Fund, L.P.
0.130%**†† (B)		13,558,149	$	13,234
Total Affiliated Partnership (Cost $13,558) ($ Thousands)				13,234
CASH EQUIVALENT — 2.1%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		1,573,526		1,574
Total Cash Equivalent (Cost $1,574) ($ Thousands)				1,574
U.S. TREASURY OBLIGATIONS (C)(D) — 0.6%
U.S. Treasury Bills
0.032%, 12/15/11	$	412		413
0.024%, 12/08/11		45		45
Total U.S. Treasury Obligations (Cost $457) ($ Thousands)				458
Total Investments — 117.2% (Cost $103,603) ($ Thousands)			$	88,057

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P Mid 400 Index E- MINI		29		Dec-2011	$	(33	)

For the year ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the period.

Percentages are based on Net Assets of $75,140 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

(A) This Security or a partial position of this security is on loan at September 30, 2011. The total market value of securities on loan at September 30, 2011 was $12,771 ($ Thousands).

(B) This security was purchased with cash collateral received from securities lending. The total value of such securities as of September 30, 2011 was $13,234 $ Thousands).

(C) Security, or portion thereof, has been pledged as collateral on open futures contracts.

(D) The rate reported is the effective yield at the time of purchase.

Cl — Class

L.P. — Limited Partnership

S&P — Standard and Poor’s

Ser — Series

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Mid-Cap Fund

September 30, 2011

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	72,791	$	—	$	—	$	72,791
Affiliated Partnership		—		13,234		—		13,234
Cash Equivalent		1,574		—		—		1,574
U.S. Treasury Obligations		—		458		—		458
Total Investments in Securities	$	74,365	$	13,692	$	—	$	88,057

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(33	)	$	—	$	—	$	(33	)
Total Other Financial Instruments	$	(33	)	$	—	$	—	$	(33	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

5 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

U.S. Managed Volatility Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 97.1%
Consumer Discretionary — 7.0%
Aaron’s		34,000	$	858
Advance Auto Parts		31,860		1,851
Amazon.com*		2,757		596
Apollo Group, Cl A*		11,400		451
Autoliv		6,600		320
Best Buy		34,200		797
Big Lots*		28,000		975
Choice Hotels International		22,000		654
Cinemark Holdings		28,800		544
DeVry		17,100		632
DIRECTV, Cl A*		48,100		2,032
Discovery Communications, Cl A*		23,900		899
DreamWorks Animation SKG, Cl A*		27,700		503
Family Dollar Stores		23,100		1,175
GameStop, Cl A*		42,500		982
Gap		63,600		1,033
Gildan Activewear		20,600		532
H&R Block		161,800		2,154
Hillenbrand		44,800		824
Hyatt Hotels, Cl A*		30,400		953
ITT Educational Services*		10,500		605
Kohl’s		33,900		1,665
Liberty Media - Starz, Cl A*		3,558		226
Madison Square Garden, Cl A*		5,336		122
NetFlix*		202		23
Panera Bread, Cl A*		8,800		915
priceline.com*		7,423		3,337
Shaw Communications, Cl B		43,900		887
Target		53,650		2,631
TJX		28,900		1,603
Washington Post, Cl B		2,400		785
				31,564
Consumer Staples — 20.9%
Altria Group		137,322		3,682
Archer-Daniels-Midland		31,500		782
BJ’s Wholesale Club*		96,730		4,956
Brown-Forman, Cl B		53,351		3,742
Bunge		5,517		322
Church & Dwight		21,500		950
Clorox		13,550		899
Coca-Cola Enterprises		197,603		4,916
ConAgra Foods		54,700		1,325
Costco Wholesale		5,741		471
CVS Caremark		82,600		2,774
Dean Foods*		27,200		241
Flowers Foods		121,501		2,364
Fresh Del Monte Produce		31,800		738
General Mills		18,600		716
Hansen Natural*		51,423		4,489
Hershey		83,440		4,943
Hormel Foods		227,871		6,157
Kellogg		16,600		883
Kimberly-Clark		62,100		4,410
Kroger		223,541		4,909
Lorillard		62,441		6,912

Description	Shares		Market Value ($ Thousands)
McCormick		83,800	$	3,868
Metro, Cl A		43,500		1,913
Nash Finch		13,900		374
Philip Morris International		57,047		3,558
Ralcorp Holdings*		17,318		1,328
Reynolds American		175,746		6,587
Ruddick		21,700		846
Safeway		114,000		1,896
SYSCO		122,927		3,184
TreeHouse Foods*		15,400		952
Tyson Foods, Cl A		56,100		974
Walgreen		97,900		3,220
Wal-Mart Stores		84,700		4,396
				94,677
Energy — 4.0%
Berry Petroleum, Cl A		16,400		580
Chevron		48,900		4,524
Cobalt International Energy*		31,900		246
ConocoPhillips		32,000		2,026
Dresser-Rand Group*		22,200		900
Exxon Mobil		75,300		5,469
HollyFrontier		31,400		824
Lufkin Industries		11,600		617
Marathon Petroleum		44,383		1,201
Murphy Oil		17,000		751
Range Resources		17,700		1,035
				18,173
Financials — 10.7%
Alleghany*		1,100		317
Allied World Assurance Holdings		14,300		768
American Campus Communities †		25,800		960
Arch Capital Group*		64,202		2,098
Associated Banc-Corp		62,200		579
Bank of Hawaii		40,066		1,459
BankUnited		8,283		172
Brown & Brown		43,900		781
Capitol Federal Financial		58,177		615
Chubb		52,400		3,143
Commerce Bancshares		79,838		2,774
Corporate Office Properties Trust †		24,100		525
Cullen/Frost Bankers		27,366		1,255
Endurance Specialty Holdings		44,616		1,524
Equity Lifestyle Properties †		14,300		897
Erie Indemnity, Cl A		14,200		1,011
Everest Re Group		22,435		1,781
Federated Investors, Cl B		35,400		620
First Citizens BancShares, Cl A		6,291		903
First Niagara Financial Group		104,996		961
Fulton Financial		67,100		513
Genworth MI Canada		40,500		786
HCC Insurance Holdings		15,200		411
Health Care †		20,200		945
Home Properties †		15,200		863
Hudson City Bancorp		158,700		898
MFA Financial †		112,500		790
National Bank of Canada		22,100		1,482
New York Community Bancorp		98,344		1,170
PartnerRe		9,900		517

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

U.S. Managed Volatility Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Piedmont Office Realty Trust,Cl A †		46,900	$	758
Prosperity Bancshares		24,500		801
Public Storage †		7,100		791
Realty Income †		26,100		841
RenaissanceRe Holdings		14,400		919
Signature Bank NY*		16,300		778
Tanger Factory Outlet Centers †		34,400		895
TFS Financial*		104,300		848
Tower Group		47,500		1,086
Transatlantic Holdings		17,300		839
Travelers		55,300		2,695
Validus Holdings		70,700		1,762
Valley National Bancorp		44,205		468
Ventas †		9,753		482
Washington Real Estate Investment Trust †		12,400		349
White Mountains Insuranc Group		900		365
WR Berkley		78,400		2,328
				48,523
Health Care — 21.4%
Abbott Laboratories		171,052		8,748
Aetna		57,900		2,105
Alexion Pharmaceuticals*		63,215		4,050
AmerisourceBergen		133,111		4,961
Amgen		120,605		6,627
Baxter International		27,800		1,561
Becton Dickinson		53,064		3,891
Biogen Idec*		31,923		2,974
C.R. Bard		35,110		3,073
Cardinal Health		142,717		5,977
Cephalon*		48,952		3,950
Coventry Health Care*		21,700		625
Edwards Lifesciences*		3,290		234
Eli Lilly		165,393		6,114
Endo Pharmaceuticals Holdings*		46,300		1,296
Gilead Sciences*		57,000		2,212
Health Net*		29,900		709
Henry Schein*		21,308		1,321
Humana		18,500		1,345
Johnson & Johnson		34,200		2,179
LifePoint Hospitals*		32,800		1,202
Magellan Health Services*		19,300		932
McKesson		65,786		4,783
Medtronic		52,100		1,732
Merck		140,200		4,586
Myriad Genetics*		38,700		725
Owens & Minor		28,400		809
Par Pharmaceutical*		24,300		647
Patterson		30,300		867
Pfizer		125,200		2,213
SXC Health Solutions*		56,265		3,134
Techne		60,866		4,140
United Therapeutics*		22,200		832
UnitedHealth Group		58,500		2,698
Varian Medical Systems*		4,527		236
Warner Chilcott, Cl A*		31,390		449
WellPoint		29,100		1,900

Description	Shares		Market Value ($ Thousands)
Zimmer Holdings*		20,200	$	1,081
				96,918
Industrials — 5.1%
Alliant Techsystems		11,500		627
C.H. Robinson Worldwide		13,400		918
Clarcor		14,400		596
Huntington Ingalls Industries*		6,933		168
KAR Auction Services*		52,100		631
KBR		33,400		789
L-3 Communications Holdings		44,100		2,733
Landstar System		21,700		858
Lennox International		19,600		505
Lincoln Electric Holdings		27,600		801
Lockheed Martin		37,600		2,731
Northrop Grumman		41,600		2,170
Raytheon		80,200		3,278
Rollins		47,850		895
Stericycle*		22,093		1,783
Unifirst		13,700		621
Verisk Analytics, Cl A*		36,503		1,269
Waste Connections		36,474		1,234
Woodward		17,300		474
				23,081
Information Technology — 7.3%
Activision Blizzard		84,200		1,002
Adtran		28,100		744
Amdocs*		85,041		2,306
Avago Technologies		28,200		924
CGI Group, Cl A*		36,400		685
Cisco Systems		84,600		1,310
Computer Sciences		29,400		789
Dell*		72,600		1,028
DST Systems		14,300		627
EchoStar, Cl A*		25,500		577
Flir Systems		31,400		787
Harris		32,700		1,117
Hewlett-Packard		60,900		1,367
IAC*		8,739		346
Ingram Micro, Cl A*		47,700		769
Intel		69,000		1,472
International Business Machines		36,900		6,459
Jack Henry & Associates		12,300		356
Microsoft		130,000		3,236
SAIC*		208,600		2,463
TE Connectivity		28,000		788
Tech Data*		21,553		932
Texas Instruments		61,100		1,628
Total System Services		43,200		731
Zebra Technologies, Cl A*		22,400		693
				33,136
Materials — 2.4%
Aptargroup		18,800		840
Ball		38,700		1,200
Compass Minerals International		10,300		688
Greif, Cl A		16,800		721
Intrepid Potash*		12,600		313
Newmont Mining		62,054		3,903
Royal Gold		4,464		286

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

U.S. Managed Volatility Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Sealed Air		58,800	$	982
Silgan Holdings		24,800		911
Sonoco Products		26,000		734
Steel Dynamics		29,200		290
				10,868
Telecommunication Services — 3.3%
AT&T		182,100		5,193
BCE		66,300		2,495
MetroPCS Communications*		96,200		838
NTT DoCoMo ADR		73,700		1,346
Rogers Communications, Cl B		61,000		2,100
SK Telecom ADR		64,700		910
Telephone & Data Systems		27,800		591
Verizon Communications		35,000		1,288
				14,761
Utilities — 15.0%
AGL Resources		22,900		933
Alliant Energy		53,200		2,058
Ameren		71,700		2,135
American Electric Power		51,300		1,950
American Water Works		92,332		2,787
Atmos Energy		96,100		3,118
Avista		49,700		1,185
Cia de Saneamento Basico do Estado de Sao Paulo ADR		23,300		1,080
Consolidated Edison		70,158		4,000
DPL		56,453		1,702
DTE Energy		75,069		3,680
Edison International		25,900		991
El Paso Electric		49,800		1,598
Entergy		58,368		3,869
Great Plains Energy		98,600		1,903
Hawaiian Electric Industries		37,000		898
Idacorp		22,500		850
Integrys Energy Group		43,858		2,132
ITC Holdings		3,991		309
Nicor		29,385		1,616
NSTAR		100,557		4,506
OGE Energy		19,900		951
Pepco Holdings		48,000		908
PG&E		44,600		1,887
Piedmont Natural Gas		28,200		815
Pinnacle West Capital		31,054		1,333
Portland General Electric		70,400		1,668
Public Service Enterprise Group		45,400		1,515
SCANA		66,240		2,679
Sempra Energy		20,600		1,061
Southern		26,285		1,114
TECO Energy		25,900		444
UGI		142,437		3,742
Vectren		31,200		845
WGL Holdings		21,800		852
Wisconsin Energy		142,032		4,444
				67,558
Total Common Stock (Cost $410,793) ($ Thousands)				439,259

Description	Shares/ Face Amount ($ Thousands)		Market Value ($ Thousands)
CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		11,391,407	$	11,391
Total Cash Equivalent (Cost $11,391) ($ Thousands)				11,391
U.S. TREASURY OBLIGATION (A)(B) — 0.2%
U.S. Treasury Bill
0.063%, 12/15/11	$	925		925
Total U.S. Treasury Obligation (Cost $925) ($ Thousands)				925
Total Investments — 99.8% (Cost $423,109) ($ Thousands)			$	451,575

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		94		Dec-2011	$	(197	)

For the year ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on Net Assets of $452,541 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

(A) Security, or portion thereof has been pledged as collateral on open futures contracts.

(B) The rate reported is the effective yield at the time of purchase.

ADR — American Depositary Receipt

Cl — Class

S&P — Standard and Poor’s

Amounts designated as “—” are $0 or have been rounded to $0.

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	439,259	$	—	$	—	$	439,259
Cash Equivalent		11,391		—		—		11,391
U.S. Treasury Obligation		—		925		—		925
Total Investments in Securities	$	450,650	$	925	$	—	$	451,575

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

U.S. Managed Volatility Fund

September 30, 2011

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(197	)	$	—	$	—	$	(197	)
Total Other Financial Instruments	$	(197	)	$	—	$	—	$	(197	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Global Managed Volatility Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 85.9%
Australia — 6.7%
Acrux		26,200	$	82
AGL Energy (A)		249,840		3,441
Amcor (A)		153,258		1,019
Ansell (A)		51,104		642
ARB (A)		99,744		782
ASX (A)		29,424		859
Caltex Australia (A)		8,347		86
CFS Retail Property Trust † (A)		1,250,915		2,108
Coca-Cola Amatil (A)		185,472		2,134
Cochlear (A)		14,588		649
CSL (A)		145,057		4,136
Echo Entertainment Group*		388,055		1,377
Goodman Fielder (A)		183,195		84
Hansen Technologies (A)		41,039		33
Iluka Resources (A)		30,914		364
McPherson’s (A)		16,139		37
Metcash (A)		1,208,210		4,783
MSF Sugar (A)		38,132		113
QR National (A)		888,470		2,698
SP AusNet (A)		881,828		795
Stockland † (A)		562,520		1,573
TABCORP Holdings (A)		388,181		961
Tatts Group (A)		1,135,131		2,439
Thorn Group (A)		39,896		64
Transurban Group (A)		62,699		327
Washington H Soul Pattinson (A)		7,318		90
Westfield Retail Trust †		249,542		583
Woolworths (A)		111,353		2,673
				34,932
Austria — 0.1%
Oesterreichische Post (A)		13,522		385
				385
Belgium — 1.8%
Belgacom (A)		68,192		2,055
Colruyt (A)		71,095		2,958
Delhaize Group (A)		20,883		1,223
Intervest Offices † (A)		868		23
Mobistar (A)		57,098		3,264
				9,523
Bermuda — 0.0%
Transport International Holdings (A)		14,000		29
				29
Canada — 11.3%
Alimentation Couche Tard, Cl B		100,100		2,824
Barrick Gold		51,200		2,413
BCE		108,080		4,057
Bell Aliant		96,931		2,572
Brookfield Office Properties		3,100		43
Canadian National Railway		15,507		1,042
Canadian Tire, Cl A		13,378		732
Canadian Utilities, Cl A		18,321		1,092
Cash Store Financial Services		5,200		44
Centerra Gold		27,800		520
CGI Group, Cl A*		115,100		2,177
Cogeco Cable		1,900		87
Constellation Software		1,900		130
Empire, Cl A		57,130		3,152

Description	Shares		Market Value ($ Thousands)
Fortis		27,254	$	861
Genworth MI Canada		22,491		437
George Weston		52,240		3,471
Goldcorp		10,500		484
IGM Financial		1,900		81
Intact Financial		5,500		304
Jean Coutu Group PJC, Cl A		23,600		275
K-Bro Linen		4,265		76
Loblaw		17,215		652
Manitoba Telecom Services		52,934		1,647
Maple Leaf Foods		9,500		104
Metro, Cl A		117,668		5,174
National Bank of Canada		20,113		1,349
North West		2,717		49
Open Text*		4,700		247
Paladin Labs*		1,100		39
Pan American Silver		2,900		79
Premium Brands Holdings		14,400		212
RioCan Real Estate Investment Trust, Cl Trust Unit †		29,600		739
Rogers Communications, Cl B		86,052		2,962
Rogers Sugar		9,663		47
Saputo		121,087		4,797
Sears Canada*		4,500		61
Shaw Communications, Cl B		11,300		231
Shoppers Drug Mart		31,500		1,235
TELUS, Cl A		45,200		2,119
Tim Hortons		31,300		1,463
Timmins Gold*		28,500		79
TMX Group		76,910		3,022
TransAlta		45,100		987
TransCanada		43,100		1,759
Valener		26,491		367
Yamana Gold		214,400		2,959
				59,253
Cayman Islands — 0.1%
Fresh Del Monte Produce		13,711		318
				318
Denmark — 2.3%
Coloplast, Cl B (A)		34,116		4,923
H Lundbeck (A)		34,972		666
Novo Nordisk, Cl B (A)		40,943		4,090
TDC (A)		305,418		2,499
				12,178
Finland — 1.1%
Elisa (A)		94,818		1,941
Kesko, Cl B (A)		2,741		84
Olvi, Cl A (A)		1,700		35
Orion, Cl B (A)		192,640		3,885
				5,945
France — 1.2%
BioMerieux (A)		6,504		567
Boiron (A)		6,078		167
Bonduelle S.C.A. (A)		533		46
Canal + (A)		13,049		77
Esso Francaise (A)		512		47
PagesJaunes Groupe (A)		35,148		139
Sanofi (A)		3,481		229
Sartorius Stedim Biotech (A)		1,980		120

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Global Managed Volatility Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Societe BIC (A)		51,656	$	4,404
Tessi (A)		1,012		79
Vilmorin & Cie (A)		4,395		430
				6,305
Germany — 1.7%
Beiersdorf (A)		3,965		212
Carl Zeiss Meditec (A)		45,263		802
Constantin Medien* (A)		14,561		29
Deutsche Telekom (A)		131,877		1,550
Fresenius (A)		23,290		2,073
Fresenius Medical Care (A)		34,424		2,339
Hornbach Holding (A)		434		29
KWS Saat (A)		235		44
Sto (A)		367		54
Suedzucker (A)		58,707		1,671
				8,803
Hong Kong — 3.1%
CLP Holdings (A)		536,500		4,835
Link † (A)		1,337,500		4,227
PCCW (A)		1,239,000		461
Power Assets Holdings (A)		807,000		6,177
Skyfame Realty Holdings* (A)		1,312,000		136
Yue Yuen Industrial Holdings (A)		104,000		269
				16,105
Ireland — 0.1%
Kerry Group, Cl A (A)		8,802		308
				308
Israel — 1.0%
Bezeq The Israeli Telecommunication (A)		469,326		876
Check Point Software Technologies*		53,807		2,839
El Al Israel Airlines* (A)		65,866		12
Formula Systems 1985 (A)		3,851		46
Frutarom Industries (A)		9,172		79
Fundtech		2,266		52
Hot Telecommunication System* (A)		3,602		44
NICE Systems* (A)		1,373		41
Orbotech*		7,977		77
Rami Levi Chain Stores Hashikma Marketing 2006 (A)		3,700		104
Silicom*		10,545		146
Teva Pharmaceutical Industries (A)		18,991		702
				5,018
Italy — 1.2%
CSP International Fashion Group (A)		6,238		8
DiaSorin (A)		5,332		197
Enel Green Power (A)		555,826		1,268
Recordati (A)		81,516		711
Reply (A)		1,356		31
Snam Rete Gas (A)		785,167		3,630
Terna Rete Elettrica Nazionale (A)		99,688		370
				6,215
Japan — 15.8%
Ajis (A)		1,300		20
Alpen (A)		7,500		139
Amiyaki Tei (A)		13		32
Aozora Bank (A)		78,000		180

Description	Shares		Market Value ($ Thousands)
Artnature (A)		3,900	$	41
Asahi Net (A)		9,000		42
Autobacs Seven (A)		1,300		58
Benefit One (A)		79		55
Benesse (A)		7,100		315
Bic Camera (A)		268		146
BML (A)		2,800		72
Central Japan Railway (A)		331		2,891
Circle K Sunkus (A)		5,700		96
Coca-Cola Central Japan (A)		35,300		499
Daito Trust Construction (A)		14,900		1,367
Dena (A)		36,100		1,513
Duskin (A)		26,900		550
Dydo Drinco (A)		10,500		406
Eisai (A)		40,100		1,619
Electric Power Development (A)		32,200		952
FamilyMart (A)		74,800		2,859
Fuji Oil (A)		95,400		1,579
Gree (A)		3,700		113
Hachijuni Bank (A)		39,000		239
Haruyama Trading (A)		2,000		10
Hiday Hidaka (A)		3,100		50
House Foods (A)		18,900		364
Idemitsu Kosan (A)		28,300		2,537
Infocom (A)		195		180
Ito En (A)		48,600		891
Itochu-Shokuhin (A)		3,900		147
Japan Retail Fund Investment, Cl A † (A)		392		631
Jupiter Telecommunications (A)		304		329
JX Holdings (A)		11,700		66
Kaken Pharmaceutical (A)		22,000		308
Kamigumi (A)		139,000		1,242
Kao (A)		51,900		1,446
Kasumi (A)		16,300		110
Kato Sangyo (A)		4,100		98
KDDI (A)		137		944
Kewpie (A)		120,900		1,756
Kobayashi Pharmaceutical (A)		53,300		2,865
Kokuyo (A)		17,300		139
Komatsu Seiren (A)		5,000		24
Kose (A)		14,800		377
KYORIN Holdings (A)		9,000		188
Lawson (A)		111,800		6,332
Lion (A)		399,000		2,406
Mandom (A)		5,700		170
Marudai Food (A)		82,000		302
Maruzen Showa Unyu (A)		7,000		26
Matsuya Foods (A)		10,900		210
Maxvalu Tokai (A)		3,300		44
McDonald’s Holdings Japan (A)		139,000		3,710
Mikuni Coca-Cola Bottling (A)		19,700		179
Ministop (A)		10,400		195
Miraca Holdings (A)		65,100		2,863
Mitsubishi Shokuhin (A)		3,000		87
Mizuno (A)		8,000		41
Morinaga Milk Industry (A)		83,025		368
Namco Bandai Holdings (A)		23,600		320
NEC Mobiling (A)		1,700		61
Nichii Gakkan (A)		5,100		58
Nichireki (A)		5,000		26
Nihon Shokuhin Kako (A)		2,000		11

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Global Managed Volatility Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Nippon Building Fund † (A)		10	$	104
Nippon Telegraph & Telephone (A)		55,800		2,675
Nissin Food Products (A)		29,200		1,176
Nitori Holdings (A)		10,150		1,022
Noevir Holdings (A)		4,800		55
Nomura Real Estate Office Fund, Cl A † (A)		5		30
NTT DoCoMo (A)		3,208		5,849
Ohsho Food Service (A)		3,400		83
Okumura (A)		56,000		218
Ono Pharmaceutical (A)		33,600		2,006
Oracle Japan (A)		29,000		1,022
Osaka Gas (A)		200,000		831
Plenus (A)		5,400		88
Pola Orbis Holdings (A)		10,600		312
Prima Meat Packers (A)		75,000		94
Rinnai (A)		4,400		367
Rock Field (A)		3,300		56
Saizeriya (A)		35,300		641
Santen Pharmaceutical (A)		37,900		1,594
Sega Sammy Holdings (A)		114,700		2,678
Sekisui Chemical (A)		19,000		160
Seven Bank (A)		172		336
Shikoku Electric Power (A)		13,000		358
Shinsei Bank (A)		794,000		893
Shizuoka Gas (A)		46,500		314
Sugi Holdings (A)		34,500		970
Suzuken (A)		12,900		347
Taisho Pharmaceutical		9,000		221
Takeda Pharmaceutical (A)		51,100		2,425
Teikoku Sen-I, Cl I (A)		6,000		39
Toho Gas (A)		345,000		2,266
Tokyo Gas (A)		205,000		953
TonenGeneral Sekiyu (A)		163,000		1,874
Torii Pharmaceutical (A)		3,200		66
Toyo Suisan Kaisha (A)		8,000		220
Trancom (A)		1,300		26
Tsuruha Holdings (A)		1,800		100
USS (A)		3,990		340
Valor (A)		3,800		65
Yamada Denki (A)		1,790		125
Yamazaki Baking (A)		100,000		1,517
				82,410
Jersey — 0.5%
Shire (A)		91,127		2,839
				2,839
Luxembourg — 0.1%
Altisource Portfolio Solutions*		2,344		83
Millicom International Cellular (A)		5,983		596
				679
Netherlands — 0.9%
Koninklijke Ahold (A)		198,832		2,342
Royal Dutch Shell, Cl A (A)		56,710		1,751
Royal KPN (A)		46,766		617
				4,710
New Zealand — 0.6%
Auckland International Airport (A)		97,029		169
Mainfreight (A)		6,450		48
Port of Tauranga (A)		37,108		278

Description	Shares		Market Value ($ Thousands)
Restaurant Brands New Zealand (A)		21,157	$	34
Sky City Entertainment Group (A)		36,716		93
Sky Network Television (A)		12,841		53
Telecom Corp of New Zealand (A)		1,128,134		2,248
				2,923
Portugal — 0.3%
EDP - Energias de Portugal (A)		309,080		953
Portucel Empresa Produtora de Pasta e Papel (A)		122,445		286
Semapa-Sociedade de Investimento e Gestao (A)		25,343		177
				1,416
Singapore — 0.4%
Ascendas Real Estate Investment Trust † (A)		111,000		172
Broadway Industrial Group (A)		203,000		50
ComfortDelGro (A)		81,000		81
DBS Group Holdings (A)		55,000		495
InnoTek (A)		95,000		24
Singapore Telecommunications (A)		275,000		665
StarHub (A)		176,000		384
UOL Group (A)		65,000		206
				2,077
Spain — 1.2%
Amadeus IT Holding, Cl A (A)		33,047		529
Ebro Foods (A)		140,369		2,401
Enagas (A)		37,451		689
Endesa (A)		6,904		160
Viscofan (A)		74,238		2,676
				6,455
Sweden — 1.1%
Acando (A)		48,859		98
Axfood (A)		81,934		2,790
Betsson (A)		21,858		408
Industrial & Financial Systems, Cl B (A)		2,550		33
Loomis, Cl B (A)		5,690		67
Swedish Match (A)		68,496		2,258
Telefonaktiebolaget LM Ericsson, Cl B (A)		4,986		48
				5,702
Switzerland — 2.1%
Allreal Holding (A)		6,731		1,039
Bell		46		93
BKW FMB Energie (A)		7,267		341
Emmi (A)		1,224		261
Intershop Holdings		169		60
Lindt & Spruengli (A)		2		69
Mobilezone Holding (A)		28,743		291
Myriad Group* (A)		18,931		74
Nestle (A)		46,143		2,535
Orior (A)		660		35
Schindler Holding (A)		491		53
Swiss Prime Site (A)		18,248		1,467
Swisscom (A)		11,105		4,509
Vetropack Holding (A)		17		28
				10,855

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Global Managed Volatility Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
United Kingdom — 6.1%
Associated British Foods (A)		6,055	$	104
AstraZeneca (A)		122,467		5,429
British American Tobacco (A)		27,298		1,151
Centrica (A)		1,225,575		5,644
Cranswick (A)		39,843		391
Devro (A)		70,129		256
Greggs (A)		128,200		916
Imperial Tobacco Group (A)		12,919		436
JD Sports Fashion		2,922		38
LSL Property Services (A)		9,779		34
Reckitt Benckiser Group (A)		32,929		1,667
Robert Wiseman Dairies (A)		13,878		65
Royal Dutch Shell, Cl A (A)		23,825		735
Scottish & Southern Energy (A)		165,453		3,317
Smith & Nephew (A)		28,987		260
Synergy Health (A)		9,400		125
Tesco (A)		438,473		2,566
Unilever (A)		47,695		1,492
Vodafone Group (A)		1,851,096		4,766
WM Morrison Supermarkets (A)		601,639		2,710
				32,102
United States — 25.1%
Abbott Laboratories		26,416		1,351
Advance Auto Parts		26,400		1,534
American Dental Partners*		8,733		84
AmerisourceBergen		77,773		2,899
Amgen		44,342		2,436
Annaly Capital Management †		335,613		5,581
AT&T		70,185		2,002
Autozone*		18,904		6,034
Avista		6,897		164
Booz Allen Hamilton Holding, Cl A*		16,052		239
Bristol-Myers Squibb		77,038		2,417
Brown-Forman, Cl B		4,576		321
C.R. Bard		28,933		2,533
CACI International, Cl A*		19,181		958
Campbell Soup		133,426		4,319
Cephalon*		8,274		668
Chesapeake Utilities		4,667		187
Church & Dwight		70,919		3,135
Clorox		13,493		895
Colgate-Palmolive		31,699		2,811
Commerce Bancshares		18,686		649
ConAgra Foods		106,347		2,576
Dollar Tree*		43,063		3,235
DPL		57,219		1,725
Dr Pepper Snapple Group		73,930		2,867
Duke Energy		151,980		3,038
Dynamics Research*		3,975		35
Eli Lilly		79,593		2,943
ePlus*		1,500		37
Family Dollar Stores		34,194		1,739
First Republic Bank*		35,535		823
Flowers Foods		130,064		2,531
Forest Laboratories*		79,248		2,440
General Mills		71,059		2,734
Greatbatch*		22,640		453
Hershey		74,043		4,386
Hormel Foods		184,526		4,986

Description	Shares		Market Value ($ Thousands)
ICF International*		3,473	$	65
Intel		8,800		188
Interactive Brokers Group, Cl A		29,214		407
J&J Snack Foods		2,568		123
JM Smucker		3,068		223
John B Sanfilippo & Son*		7,000		56
Johnson & Johnson		37,334		2,379
Kellogg		12,202		649
Kensey Nash*		5,596		137
Kimberly-Clark		98,224		6,975
Kroger		180,647		3,967
Laclede Group		38,426		1,489
Lockheed Martin		29,400		2,136
Lorillard		24,517		2,714
Magellan Health Services*		49,770		2,404
McDonald’s		15,843		1,391
Mercury General		7,094		272
MGE Energy		2,536		103
National Beverage		14,128		214
Newmont Mining		42,054		2,645
Oil-Dri Corp of America		3,429		64
O’Reilly Automotive*		22,264		1,483
Papa John’s International*		23,811		724
Par Pharmaceutical*		43,241		1,151
Philip Morris International		40,281		2,513
Portland General Electric		92,698		2,196
Procter & Gamble		36,569		2,310
Providence Service*		1,194		13
Schiff Nutrition International*		15,935		177
Seneca Foods, Cl A*		22,029		436
Southern		66,762		2,829
Telephone & Data Systems		7,505		159
Territorial Bancorp		7,233		138
TJX		1,010		56
Tyson Foods, Cl A		143,932		2,499
Verizon Communications		79,248		2,916
Virginia Commerce Bancorp*		11,557		68
Wal-Mart Stores		86,409		4,485
Weis Markets		11,582		429
WGL Holdings		10,423		407
				131,355
Total Common Stock (Cost $428,513) ($ Thousands)				448,840
PREFERRED STOCK — 0.0%
Germany — 0.0%
Henkel & KGaA (A)		2,256		120
Total Preferred Stock (Cost $131) ($ Thousands)				120

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Global Managed Volatility Fund

September 30, 2011

Description	Number of Rights/Shares/ Face Amount ($ Thousands)		Market Value ($ Thousands)
RIGHTS — 0.0%
Goodman Fielder Expires 10/25/11		76,331	$	4
Total Rights (Cost $—) ($Thousands)				4
CASH EQUIVALENT — 5.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A
0.010%**††		28,800,069		28,800
Total Cash Equivalent (Cost $28,800) ($ Thousands)				28,800
U.S. TREASURY OBLIGATION (B)(C) — 0.4%
U.S. Treasury Bills
0.062%, 12/15/11	$	1,923		1,923
Total U.S. Treasury Obligation (Cost $1,923) ($ Thousands)				1,923
Total Investments — 91.8% (Cost $459,367) ($ Thousands)			$	479,687

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		137		Dec-2011	$	139
FTSE Index		62		Dec-2011		(1	)
Hang Seng Index		27		Nov-2011		(45	)
S&P 500 Index E-MINI		309		Dec-2011		(387	)
SPI 200 Index		26		Dec-2011		(22	)
					$	(316	)

For the year ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.

5 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Global Managed Volatility Fund

September 30, 2011

Maturity Date	Currency to Deliver (Thousands)			Currency to Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
10/28/11		AUD	51,015		USD	50,640	$	1,232
10/28/11		CAD	66,852		USD	65,661		1,533
10/28/11		EUR	73,609		USD	100,283		1,554
10/28/11		GBP	24,806		USD	38,922		293
10/28/11		JPY	6,502,326		USD	84,864		458
10/28/11		USD	598		AUD	605		(13	)
10/28/11		USD	292		CAD	299		(6	)
10/28/11		USD	995		EUR	729		(17	)
10/28/11		USD	388		GBP	247		(2	)
10/28/11		USD	242		JPY	18,581		(1	)
							$	5,031

A summary of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2011, is as follows:

Counterparty	Settlement Date		Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Brown Brothers Harriman		10/28/11		(337,815	)		342,846	$	5,031

Percentages are based on Net Assets of $522,667 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

(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, 2011 was $252,967 ($ Thousands) and represented 48.4% of net Assets.

(B) Security, or portion thereof has been pledged as collateral on open futures contracts.

(C) The rate reported is the effective yield at the time of purchase.

6 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Global Managed Volatility Fund

September 30, 2011

AUD — Australia Dollar

CAD — Canadian Dollar

Cl — Class

DJ — Dow Jones

EUR — Euro

FTSE — Financial Times and the London Stock Exchange

GBP — British Pound

JPY — Japanese Yen

S&P — Standard and Poor’s

SPI — Swiss Performance Index

USD — United States Dollar

Amounts designated as “—” are $0 or have been rounded to $0.

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	195,993	$	252,847	$	—	$	448,840
Preferred Stock		—		120		—		120
Right		4		—		—		4
Cash Equivalent		28,800		—		—		28,800
U.S. Treasury Obligation		—		1,923		—		1,923
Total Investments in Securities	$	224,797	$	254,890	$	—	$	479,687

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(316	)	$	—	$	—	$	(316	)
Forwards*		—			5,031		—		5,031
Total Other Financial Instruments	$	(316	)	$	5,031	$	—	$	4,715

* Futures contracts and Forwards are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended September 30, 2011, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Level 1 and Level 2 occurs when foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded (see Note 2).

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

7 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Managed Volatility Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 96.3%
Consumer Discretionary — 7.8%
Aaron’s		20,500	$	518
Advance Auto Parts		7,700		447
Amazon.com*		1,490		322
Apollo Group, Cl A*		5,500		218
Autoliv		8,100		393
Best Buy		20,300		473
Big Lots*		16,600		578
Choice Hotels International		12,300		366
Cinemark Holdings		10,600		200
DeVry		6,400		237
DIRECTV, Cl A*		25,800		1,090
Discovery Communications, Cl A*		13,400		504
DISH Network, Cl A*		19,100		479
DreamWorks Animation SKG, Cl A*		17,900		325
Family Dollar Stores		12,100		616
GameStop, Cl A*		47,000		1,086
Gap		35,400		575
Genuine Parts		3,800		193
Gildan Activewear		9,600		248
H&R Block		70,700		941
Hillenbrand		37,800		695
Hyatt Hotels, Cl A*		18,400		577
ITT Educational Services*		5,800		334
Kohl’s		27,600		1,355
McDonald’s		29,013		2,548
Panera Bread, Cl A*		4,900		509
priceline.com*		4,353		1,957
Scripps Networks Interactive, Cl A		10,500		390
Shaw Communications, Cl B		23,700		479
Target		28,200		1,383
TJX		22,400		1,242
Washington Post, Cl B		1,600		523
				21,801
Consumer Staples — 23.5%
Altria Group		88,748		2,379
Archer-Daniels-Midland		38,400		953
BJ’s Wholesale Club*		10,600		543
Brown-Forman, Cl B		28,552		2,003
Campbell Soup		9,108		295
Casey’s General Stores		17,900		781
Church & Dwight		67,116		2,967
Clorox		14,432		957
Coca-Cola		27,334		1,847
Coca-Cola Enterprises		49,400		1,229
Colgate-Palmolive		26,855		2,382
ConAgra Foods		36,600		886
CVS Caremark		46,000		1,545
Dean Foods*		15,400		137
Flowers Foods		27,000		525
Fresh Del Monte Produce		27,300		633
General Mills		64,531		2,483
Hansen Natural*		3,700		323
Hershey		19,454		1,152
HJ Heinz		19,711		995
Hormel Foods		142,462		3,849
JM Smucker		21,006		1,531

Description	Shares		Market Value ($ Thousands)
Kellogg		40,491	$	2,154
Kimberly-Clark		68,020		4,830
Kroger		83,964		1,844
Lorillard		38,659		4,280
McCormick		37,915		1,750
Metro, Cl A		21,100		928
Nash Finch		11,300		304
PepsiCo		13,701		848
Philip Morris International		34,312		2,140
Procter & Gamble		27,548		1,740
Ralcorp Holdings*		7,700		591
Reynolds American		105,415		3,951
Ruddick		12,100		472
Safeway		72,200		1,201
TreeHouse Foods*		9,300		575
Tyson Foods, Cl A		52,000		903
Walgreen		54,500		1,792
Wal-Mart Stores		93,499		4,853
				65,551
Energy — 3.7%
Berry Petroleum, Cl A		10,100		357
Chevron		29,600		2,739
Cobalt International Energy*		25,000		193
ConocoPhillips		21,900		1,387
Dresser-Rand Group*		13,300		539
Exxon Mobil		43,900		3,188
HollyFrontier		17,600		461
Lufkin Industries		6,500		346
Murphy Oil		12,200		539
Range Resources		9,100		532
				10,281
Financials — 10.1%
Alexander’s †		700		253
Alleghany*		1,400		404
Allied World Assurance Holdings		8,000		430
American Campus Communities †		14,400		536
Arch Capital Group*		38,032		1,243
Associated Banc-Corp		37,800		352
Brown & Brown		29,300		521
Capitol Federal Financial		112,183		1,185
Chubb		29,100		1,746
Commerce Bancshares		50,647		1,760
Corporate Office Properties Trust †		13,500		294
Cullen/Frost Bankers		32,348		1,483
Endurance Specialty Holdings		11,000		375
Equity Lifestyle Properties †		8,000		502
Erie Indemnity, Cl A		7,900		562
Everest Re Group		8,600		683
Federated Investors, Cl B		27,800		487
First Citizens BancShares, Cl A		2,500		359
First Niagara Financial Group		55,100		504
Fulton Financial		33,900		259
Genworth MI Canada		23,900		464
HCC Insurance Holdings		7,500		203
Health Care †		9,100		426
Home Properties †		8,400		477
Hudson City Bancorp		80,600		456
MFA Financial †		47,800		335
National Bank of Canada		9,300		624
PartnerRe		5,500		287

1 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Managed Volatility Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
People’s United Financial		154,577	$	1,762
Piedmont Office Realty Trust, Cl A †		26,200		424
Prosperity Bancshares		13,700		448
Public Storage †		4,700		523
Realty Income †		14,600		471
RenaissanceRe Holdings		8,000		510
Signature Bank NY*		9,500		453
Tanger Factory Outlet Centers †		19,200		499
TFS Financial*		126,330		1,027
Tower Group		16,700		382
Transatlantic Holdings		9,600		466
Travelers		30,800		1,501
Validus Holdings		37,000		922
Valley National Bancorp		23,000		244
Ventas †		8,180		404
WR Berkley		35,600		1,057
				28,303
Health Care — 16.7%
Abbott Laboratories		68,983		3,528
Aetna		36,100		1,312
Alexion Pharmaceuticals*		43,122		2,762
AmerisourceBergen		64,037		2,387
Amgen		27,900		1,533
Baxter International		28,000		1,572
Becton Dickinson		25,037		1,836
C.R. Bard		10,031		878
Cardinal Health		30,400		1,273
Coventry Health Care*		16,700		481
Edwards Lifesciences*		9,552		681
Eli Lilly		57,069		2,110
Endo Pharmaceuticals Holdings*		31,500		882
Gilead Sciences*		31,900		1,238
Health Net*		23,200		550
Henry Schein*		29,829		1,850
Humana		11,900		866
Johnson & Johnson		53,183		3,388
Laboratory Corp of America Holdings*		12,299		972
LifePoint Hospitals*		21,500		788
Lincare Holdings		26,900		605
Magellan Health Services*		13,600		657
McKesson		16,100		1,170
Medtronic		29,000		964
Merck		88,300		2,888
Myriad Genetics*		21,600		405
Owens & Minor		15,800		450
Par Pharmaceutical*		17,700		471
Patterson		16,900		484
PDL BioPharma		96,900		538
Pfizer		93,500		1,653
Techne		27,621		1,878
United Therapeutics*		11,100		416
UnitedHealth Group		32,600		1,504
WellPoint		19,200		1,253
Zimmer Holdings*		9,800		524
				46,747
Industrials — 5.4%
Alliant Techsystems		8,700		474
C.H. Robinson Worldwide		7,500		514
Clarcor		9,900		409

Description	Shares		Market Value ($ Thousands)
Clean Harbors*		5,500	$	282
CSX		28,600		534
General Dynamics		9,600		546
Huntington Ingalls Industries*		3,866		94
KAR Auction Services*		29,100		353
KBR		17,900		423
L-3 Communications Holdings		25,800		1,599
Landstar System		12,100		479
Lennox International		11,000		284
Lincoln Electric Holdings		15,400		447
Lockheed Martin		20,900		1,518
Northrop Grumman		23,200		1,210
Raytheon		44,700		1,827
Rollins		26,700		500
Stericycle*		28,597		2,308
Unifirst		7,600		344
Verisk Analytics, Cl A*		17,300		601
Woodward		9,800		268
				15,014
Information Technology — 10.7%
Activision Blizzard		47,000		559
Adtran		16,900		447
Amdocs*		23,600		640
Automatic Data Processing		34,714		1,637
Avago Technologies		15,200		498
CGI Group, Cl A*		12,200		230
Cisco Systems		32,200		499
Computer Sciences		16,400		440
Dell*		45,100		638
DST Systems		18,000		789
EchoStar, Cl A*		14,300		323
Flir Systems		15,700		393
Global Payments		10,000		404
Google, Cl A*		3,383		1,740
Harris		21,500		735
Hewlett-Packard		38,100		855
IAC*		74,514		2,947
Ingram Micro, Cl A*		26,600		429
Intel		83,400		1,779
International Business Machines		24,418		4,274
Jack Henry & Associates		17,200		499
Microchip Technology		20,833		648
Microsoft		82,700		2,058
SAIC*		124,000		1,464
TE Connectivity		19,200		541
Tech Data*		16,700		722
Texas Instruments		38,600		1,029
Total System Services		11,100		188
VeriSign		69,121		1,978
WebMD Health, Cl A*		1,829		55
Zebra Technologies, Cl A*		12,500		387
				29,825
Materials — 2.1%
Aptargroup		10,500		469
Ball		26,000		807
Compass Minerals International		5,800		387
Greif, Cl A		9,400		403
Intrepid Potash*		8,500		211
Newmont Mining		17,628		1,109
Royal Gold		11,907		763
Sealed Air		32,800		548

2 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Managed Volatility Fund

September 30, 2011

Description	Shares		Market Value ($ Thousands)
Silgan Holdings		13,800	$	507
Sonoco Products		14,500		409
Steel Dynamics		24,600		244
				5,857
Telecommunication Services — 3.1%
AT&T		87,700		2,501
BCE		38,500		1,448
CenturyTel		16,087		533
MetroPCS Communications*		53,700		468
NTT DoCoMo ADR		41,000		749
Rogers Communications, Cl B		37,500		1,291
SK Telecom ADR		36,000		506
Telephone & Data Systems		22,800		484
Verizon Communications		19,500		718
				8,698
Utilities — 13.2%
AGL Resources		12,800		521
Alliant Energy		26,800		1,037
Ameren		31,000		923
American Electric Power		30,900		1,175
American Water Works		20,600		622
Atmos Energy		53,600		1,739
Avista		22,800		544
Cia de Saneamento Basico do Estado de Sao Paulo ADR		12,900		598
Consolidated Edison		25,745		1,468
DPL		28,900		871
DTE Energy		26,100		1,279
Duke Energy		27,800		556
Edison International		14,500		554
El Paso Electric		27,700		889
Entergy		21,000		1,392
Great Plains Energy		51,400		992
Hawaiian Electric Industries		35,911		872
Idacorp		12,600		476
Nicor		32,810		1,805
NSTAR		63,534		2,847
OGE Energy		38,501		1,840
Pepco Holdings		27,100		513
PG&E		33,100		1,400
Piedmont Natural Gas		15,700		453
Portland General Electric		34,400		815
Public Service Enterprise Group		25,300		844
SCANA		33,879		1,370
Sempra Energy		11,500		592
Southern		54,515		2,310
TECO Energy		27,000		463
UGI		32,000		840
Vectren		48,093		1,302
WGL Holdings		12,200		477
Wisconsin Energy		82,950		2,596
				36,975
Total Common Stock (Cost $248,040) ($ Thousands)				269,052

Description	Shares/Face Amount ($ Thousands)		Market Value ($ Thousands)
CASH EQUIVALENT — 5.5%
SEI Daily Income Trust, Prime Obligation Fund, Cl A, 0.010%**††		15,465,311	$	15,465
Total Cash Equivalent (Cost $15,465) ($ Thousands)				15,465
U.S. TREASURY OBLIGATIONS (A)(B) — 0.2%
U.S. Treasury Bills
0.064%, 07/26/12	$	17		17
0.056%, 12/15/11		577		577
0.051%, 06/28/12		21		21
Total U.S. Treasury Obligations (Cost $615) ($ Thousands)				615
Total Investments — 102.0% (Cost $264,120) ($ Thousands)			$	285,132

A summary of the open futures contracts held by the Fund at September 30, 2011, is as follows:

Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		74		Dec-2011	$	(160	)

For the year ended September 30, 2011, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on Net Assets of $279,408 ($Thousands).

* Non-income producing security.

** Rate shown is the 7-day effective yield as of September 30, 2011.

† Real Estate Investment Trust.

†† Investment in Affiliated Security.

(A) Security, or portion thereof has been pledged as collateral on open futures contracts.

(B) The rate reported is the effective yield at the time of purchase.

ADR — American Depositary Receipt

Cl — Class

S&P — Standard and Poor’s

3 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Schedule of Investments

Tax-Managed Managed Volatility Fund

September 30, 2011

The following is a summary of the inputs used as of September 30, 2011, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	269,052	$	—	$	—	$	269,052
Cash Equivalent		15,465		—		—		15,465
U.S. Treasury Obligations		—		615		—		615
Total Investments in Securities	$	284,517	$	615	$	—	$	285,132

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(160	)	$	—	$	—	$	(160	)
Total Other Financial Instruments	$	(160	)	$	—	$	—	$	(160	)

* Futures contracts are valued at unrealized depreciation on the instrument.

During the year ended September 30, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities.

During the year ended September 30, 2011, there were no significant transfers between Level 2 and Level 3 assets and liabilities.

4 SEI Institutional Managed Trust / Annual Report / September 30, 2011

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders

SEI Institutional Managed Trust:

We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements of SEI Institutional Managed Trust, comprising the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap 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, U.S. Fixed Income Fund, High Yield Bond Fund, Real Return Fund, and Multi-Strategy Alternative Fund (collectively, the “Funds”) as of and for the year ended September 30, 2011, and have issued our report thereon dated November 29, 2011 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included an audit of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, and Tax-Managed Managed Volatility Fund’s schedules of investments in securities (the “Schedules”) as of September 30, 2011 appearing in Item 6 of this Form N-CSR. These Schedules are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these Schedules based on our audits.

In our opinion, the Schedules referred to above, when read in conjunction with the financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.

/s/ KPMG LLP

Philadelphia, Pennsylvania

November 29, 2011

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 Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report 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 1940 Act, as amended (17 CFR 270.30a-2(a)), are filed herewith.

(b) Officer certifications as required by Rule 30a-2(b) under the 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.

SEI Institutional Managed Trust
By	/S/    ROBERT A. NESHER
	Robert A. Nesher President & CEO

Date: December 5, 2011

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	/S/    ROBERT A. NESHER
	Robert A. Nesher President & CEO

Date: December 5, 2011

By	/S/    PETER A. RODRIGUEZ
	Peter A. Rodriguez Controller & CFO

Date: December 5, 2011

EX-99.CODE

SEI LIQUID ASSET TRUST

SEI TAX EXEMPT TRUST

SEI DAILY INCOME TRUST

SEI INSTITUTIONAL MANAGED TRUST

SEI INSTITUTIONAL INTERNATIONAL TRUST

SEI ASSET ALLOCATION TRUST

SEI INSTITUTIONAL INVESTMENTS TRUST

SEI ALPHA STRATEGY PORTFOLIOS, L.P.

ADVISER MANAGED TRUST

Financial Officer Code of Ethics

I. Introduction

The reputation and integrity of SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust, and SEI Alpha Strategy Portfolios, L.P. (each a “Trust” and, collectively, the “Trusts”) are valuable assets that are vital to the each Trust’s success. The Trusts’ senior financial officers (“SFOs”) are responsible for conducting the Trusts’ business in a manner that demonstrates a commitment to the highest standards of integrity. The Trusts’ SFOs include the principal executive officer, the principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function.

The Sarbanes-Oxley Act of 2002 (the “Act”) effected sweeping corporate disclosure and financial reporting reform on public companies, including mutual funds, to address corporate malfeasance and assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under the Act, all public companies (including the Trusts) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to foster corporate environments which encourage employees to question and report unethical and potentially illegal business practices. Each Trust has chosen to adopt this Financial Officer Code of Ethics (the “Code”) to encourage its SFOs to act in a manner consistent with the highest principles of ethical conduct.

II. Purposes of the Code

The purposes of this Code are:

• To promote honest and ethical conduct by each Trust’s SFOs, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

• To assist each Trust’s SFOs in recognizing and avoiding conflicts of interest, including disclosing to an appropriate person any material transaction or relationship that reasonably could be expected to give rise to such a conflict;

• To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Trusts file with, or submit to, the SEC and in other public communications made by the Trusts;

• To promote compliance with applicable laws, rules and regulations;

• To encourage the prompt internal reporting to an appropriate person of violations of this Code; and

• To establish accountability for adherence to this Code.

III. Questions about this Code

Each Trust’s compliance officer designated to oversee compliance with the Trust’s Code of Ethics adopted pursuant to Rule 17j-1 shall serve as Compliance Officer for the implementation and administration of this Code. You should direct your questions about this Code to the Compliance Officer.

IV. Conduct Guidelines

Each Trust has adopted the following guidelines under which the Trust’s SFOs must perform their official duties and conduct the business affairs of the Trust.

1. Ethical and honest conduct is of paramount importance. Each Trust’s SFOs must act with honesty and integrity and avoid violations of this Code, including the avoidance of actual or apparent conflicts of interest with the Trust in personal and professional relationships.

2. SFOs must disclose material transactions or relationships. Each Trust’s SFOs must disclose to the Compliance Officer any actual or apparent conflicts of interest the SFO may have with the Trust that reasonably could be expected to give rise to any violations of this Code. Such conflicts of interest may arise as a result of material transactions or business or personal relationships to which the SFO may be a party. If it is not possible to disclose the matter to the Compliance Officer, it should be disclosed to the Trust’s Chief Financial Officer, Chief Executive Officer or another appropriate person. In addition to disclosing any actual or apparent conflicts of interest in which an SFO is personally involved, the Trusts’ SFOs have an obligation to report any other actual or apparent conflicts which they discover or of which they otherwise become aware. If you are unsure whether a particular fact pattern gives rise to a conflict of interest, or whether a particular transaction or relationship is “material,” you should bring the matter to the attention of the Compliance Officer.

3. Standards for quality of information shared with service providers of the Trusts. Each Trust’s SFOs must at all times seek to provide information to the Trust’s service providers (adviser, administrator, outside auditor, outside counsel, custodian, etc.) that is accurate, complete,

objective, relevant, timely, and understandable.

4. Standards for quality of information included in periodic reports. Each Trust’s SFOs must at all times endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Trust’s periodic reports.

5. Compliance with laws. Each Trust’s SFOs must comply with the federal securities laws and other laws and rules applicable to the Trusts, such as the Internal Revenue Code.

6. Standard of care. Each Trust’s SFOs must at all times act in good faith and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated. Each Trust’s SFOs must conduct the affairs of the Trust in a responsible manner, consistent with this Code.

7. Confidentiality of information. Each Trust’s SFOs must respect and protect the confidentiality of information acquired in the course of their professional duties, except when authorized by the Trust to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage.

8. Sharing of information and educational standards. Each Trust’s SFOs should share information with relevant parties to keep them informed of the business affairs of the Trust, as appropriate, and maintain skills important and relevant to the Trust’s needs.

9. Promote ethical conduct. Each Trust’s SFOs should at all times proactively promote ethical behavior among peers in your work environment.

10. Standards for recordkeeping. Each Trust’s SFOs must at all times endeavor to ensure that the Trust’s financial books and records are thoroughly and accurately maintained to the best of their knowledge in a manner consistent with applicable laws and this Code.

V. Waivers of this Code

You may request a waiver of a provision of this Code by submitting your request in writing to the Compliance Officer for appropriate review. For example, if a family member works for a service provider that prepares a Trust’s financial statements, you may have a potential conflict of interest in reviewing those statements and should seek a waiver of this Code to review the work. An executive officer of each Trust, or another appropriate person (such as a designated Board or Audit Committee member), will decide whether to grant a waiver. All waivers of this code must be disclosed to the applicable Trust’s shareholders to the extent required by SEC rules.

VI. Affirmation of the Code

Upon adoption of the Code, each Trust’s SFOs must affirm in writing that they have received, read and understand the Code, and annually thereafter must affirm that they have complied with the requirements of the Code. To the extent necessary, each Trust’s Compliance Officer will provide guidance on the conduct required by this Code and the manner in which violations or suspected violations must be reported and waivers must be requested.

VII. Reporting Violations

In the event that an SFO discovers or, in good faith, suspects a violation of this Code, the SFO must immediately report the violation or suspected violation to the Compliance Officer. The Compliance Officer may, in his discretion, consult with another member of the Trust’s senior management or the Board in determining how to address the suspected violation. For example, a Code violation may occur when a periodic report or financial statement of a Trust omits a material fact, or is technically accurate but, in the view of the SFO, is written in a way that obscures its meaning.

SFOs who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated as confidential to the extent possible.

VIII. Violations of the Code

Dishonest or unethical conduct or conduct that is illegal will constitute a violation of this Code, regardless of whether this Code specifically refers to such particular conduct. A violation of this Code may result in disciplinary action, up to and including removal as an SFO of the Trust. A variety of laws apply to the Trusts and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Trust officers, and criminal laws. The Trusts will report any suspected criminal violations to the appropriate authorities, and will investigate, address and report, as appropriate, non-criminal violations.

EX-99.CERT

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 second fiscal quarter of the period covered by this 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: December 5, 2011

/s/ Robert A. Nesher

Robert A. Nesher

President & CEO

Certification

Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

I, Peter A. Rodriguez, 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 second fiscal quarter of the period covered by this 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: December 5, 2011

/s/ Peter A. Rodriguez

Peter A. Rodriguez

Controller & CFO

EX-99.906CE

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 fiscal year ended September 30, 2011 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: December 5, 2011

/s/ Robert A. Nesher

Robert A. Nesher

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 fiscal year ended September 30, 2011 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: December 5, 2011

/s/ Peter A. Rodriguez

Peter A. Rodriguez