Issue link: https://info.seic.com/i/1445430
SEI Portfolio Update: First Quarter 2023 | SEI Institutional Managed Trust (SIMT) SIMT-2 Portfolio Manager: Rich Bamford The performance data shown is past performance. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI. Fee waivers are contractual and in effect until 12/31/2023. Q. HOW DID THE FUND PERFORM AGAINST ITS INDEX FOR THE QUARTER, RICH? A. The Fund returned 3.41% versus 2.96% for the Bloomberg U.S. Aggregate Bond Index. Q. WHAT EFFECT DID YOUR POSITIONING AT THE END OF LAST QUARTER HAVE ON PERFORMANCE? A. The Fund slightly longer duration posture enhanced relative performance against declining yields. Meanwhile, an overweight to 30 years subtracted modestly. An overweight to corporate bonds enhanced returns as corporate excess returns were positive. The Fund's overweight is concentrated in large money center banks versus super regional or regional banks. Neutral utilities overall and selection within gas companies benefitted returns. An overweight to agency MBS detracted as these securities underperformed. From a manager perspective, Western Asset Management outperformed due to its longer duration posture. Metropolitan West Asset Management outperformed due to its longer duration posture as yields declined. Metropolitan Life outperformed, driven by an overweight to corporates. Allspring outperformed as the negative impact of an overweight to agency MBS was offset by positive security selection. Jennison also performed well, as overweight to corporates added value. Q. WHAT IS YOUR OUTLOOK GOING FORWARD AND HOW IS THIS REFLECTED IN THE FUND POSITIONING? A. Allocations did not change materially outside of agency MBS. Managers are still cautious on overall market valuations and are concerned with bank. Duration remains slightly long with an overweight in the belly and the long-end of the yield curve. With the strong rally in two year treasury yields, the Fund is underweight the front end of the yield curve. The Fund is overweight ABS, maintained by a strong consumer, improving wages, and resilient housing sector. The agency MBS overweight increased, due in part to Western, which moved its allocation from neutral to overweight. All managers are now overweight. The Fund is overweight corporates and is more focused on financials. INVESTMENT STRATEGY: The Core Fixed Income Fund seeks current income consistent with the preservation of capital. The Fund will invest at least 80% of its net assets in fixed-income securities. The Fund will invest primarily in investment- and non-investment-grade fixed-income securities of U.S. and foreign corporate and government issuers, including emerging markets and mortgage- and asset-backed securities. Investment-grade securities are those with an equivalent rating of BBB- or higher from a nationally recognized credit rating agency. Core Fixed Income Fund (SIMT) Apr-23 ###### Jan-00 Jan-00 Feb-00 Jan-00 Jan-00 Feb-00 Feb-00 Feb-00 Jan-00 Fund Since Inception 1 Mo 3 Mo Ytd Qtr 1 Yr 3 Yr 5 Yr 10 Yr Incept 2022 2021 as of 03/31/2023 as of 03/31/2023 Performance Performance Cumulative Total Return Annualized Total Return Calendar Funds' Summary Performance Trend Report SEI Institutional Managed Trust - Class F (Formerly Class A) Bond Funds SIMT Core Fixed Income Fund 5/1/87 2.62 3.41 3.41 3.41 -5.81 -2.44 0.74 1.46 5.32 -15.11 -1.70 Bloomberg US Aggregate Bond Index (USD) 2.54 2.96 2.96 2.96 -4.78 -2.77 0.90 1.36 5.49 -13.01 -1.54 Expenses before waivers (%) = 0.73 Expenses after waivers (%) = 0.66 SIMT High Yield Bond Fund 1/11/95 -0.18 3.11 3.11 3.11 -5.84 7.64 3.16 3.92 6.46 -11.78 9.88 ICE BofA US High Yield Constrained Index (USD) 1.11 3.72 3.72 3.72 -3.58 5.81 3.03 4.02 6.82 -11.21 5.35 Expenses before waivers (%) = 0.98 Expenses after waivers (%) = 0.89 SIMT Real Return Fund 7/2/09 2.14 2.25 2.25 2.25 -1.79 2.83 2.43 1.02 1.81 -4.41 5.01 Bloomberg 1-5 Year US TIPS Index (USD) 2.17 2.26 2.26 2.26 -1.14 3.34 2.91 1.48 2.26 -3.96 5.53 Expenses before waivers (%) = 0.70 Expenses after waivers (%) = 0.45 Expenses before waivers (%) = Expenses after waivers (%) = SIMT Conservative Income 4/22/16 0.39 1.14 1.14 1.14 2.76 0.94 1.38 1.23 1.51 0.01 ICE BofA US 3-Month Treasury Bill Index (USD) 0.43 1.07 1.07 1.07 2.50 0.89 1.41 1.22 1.46 0.05 Apr-23 ###### Jan-00 Jan-00 Feb-00 Jan-00 Jan-00 Feb-00 Feb-00 Feb-00 Jan-00 Fund Since Inception 1 Mo 3 Mo Ytd Qtr 1 Yr 3 Yr 5 Yr 10 Yr Incept 2022 2021 Equity Funds SIMT Large Cap Fund 9/30/09 1.37 7.39 4.81 4.81 -6.87 17.12 8.09 9.94 10.78 -15.84 24.08 Russell 1000 Index (USD) 3.16 7.46 7.46 7.46 -8.39 18.55 10.86 12.01 12.69 -19.13 26.45 Expenses before waivers (%) = 0.95 Expenses after waivers (%) = 0.89 SIMT Large Cap Growth Fund 12/20/94 6.38 11.76 11.76 11.76 -11.75 16.10 11.39 12.11 8.98 -28.83 25.39 Russell 1000 Growth Index (USD) 6.84 14.37 14.37 14.37 -10.90 18.58 13.65 14.58 10.31 -29.14 27.60 Expenses before waivers (%) = 0.97 Expenses after waivers (%) = 0.89 SIMT Large Cap Value Fund 4/20/87 -1.58 0.58 0.58 0.58 -4.37 19.34 6.13 8.39 8.10 -4.99 27.67 Russell 1000 Value Index (USD) -0.46 1.01 1.01 1.01 -5.91 17.93 7.49 9.12 9.59 -7.54 25.16 Expenses before waivers (%) = 0.93 Expenses after waivers (%) = 0.89 SIMT Global Managed Volatility Fund 7/27/06 2.42 2.31 2.31 2.31 -3.19 10.35 4.55 6.79 5.09 -7.69 18.01 MSCI World Index (Net) (USD) 3.09 7.73 7.73 7.73 -7.02 16.40 8.00 8.85 6.61 -18.14 21.82 Expenses before waivers (%) = 1.23 Expenses after waivers (%) = 1.11 SIMT U.S. Managed Volatility Fund 10/28/04 0.52 -0.52 -0.52 -0.52 -3.13 14.50 7.24 9.08 8.45 -0.93 19.63 as of 03/31/2023 as of 03/31/2023 Performance Performance Cumulative Total Return Annualized Total Return Calendar Funds' Summary Performance Trend Report SEI Institutional Managed Trust - Class F (Formerly Class A) Apr-23 ###### Jan-00 Jan-00 Feb-00 Jan-00 Jan-00 Feb-00 Feb-00 Feb-00 Jan-00 Fund Since Inception 1 Mo 3 Mo Ytd Qtr 1 Yr 3 Yr 5 Yr 10 Yr Incept 2022 2021 Equity Funds SIMT Large Cap Fund 9/30/09 1.37 7.39 4.81 4.81 -6.87 17.12 8.09 9.94 10.78 -15.84 24.08 Russell 1000 Index (USD) 3.16 7.46 7.46 7.46 -8.39 18.55 10.86 12.01 12.69 -19.13 26.45 Expenses before waivers (%) = 0.95 Expenses after waivers (%) = 0.89 SIMT Large Cap Growth Fund 12/20/94 6.38 11.76 11.76 11.76 -11.75 16.10 11.39 12.11 8.98 -28.83 25.39 Russell 1000 Growth Index (USD) 6.84 14.37 14.37 14.37 -10.90 18.58 13.65 14.58 10.31 -29.14 27.60 Expenses before waivers (%) = 0.97 Expenses after waivers (%) = 0.89 SIMT Large Cap Value Fund 4/20/87 -1.58 0.58 0.58 0.58 -4.37 19.34 6.13 8.39 8.10 -4.99 27.67 Russell 1000 Value Index (USD) -0.46 1.01 1.01 1.01 -5.91 17.93 7.49 9.12 9.59 -7.54 25.16 Expenses before waivers (%) = 0.93 Expenses after waivers (%) = 0.89 SIMT Global Managed Volatility Fund 7/27/06 2.42 2.31 2.31 2.31 -3.19 10.35 4.55 6.79 5.09 -7.69 18.01 MSCI World Index (Net) (USD) 3.09 7.73 7.73 7.73 -7.02 16.40 8.00 8.85 6.61 -18.14 21.82 Expenses before waivers (%) = 1.23 Expenses after waivers (%) = 1.11 SIMT U.S. Managed Volatility Fund 10/28/04 0.52 -0.52 -0.52 -0.52 -3.13 14.50 7.24 9.08 8.45 -0.93 19.63 Russell 3000 Index (USD) 2.67 7.18 7.18 7.18 -8.58 18.48 10.44 11.73 9.36 -19.21 25.66 as of 03/31/2023 as of 03/31/2023 Performance Performance Cumulative Total Return Annualized Total Return Calendar Funds' Summary Performance Trend Report SEI Institutional Managed Trust - Class F (Formerly Class A)