Issue link: https://info.seic.com/i/1445430
SEI Portfolio Update: First Quarter 2023 | SEI Institutional Managed Trust (SIMT) SIMT-3 Portfolio Manager: Steven Treftz 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 voluntary and may be discontinued at any time. Q. HOW DID THE FUND PERFORM AGAINST ITS INDEX FOR THE QUARTER, STEVE? A. The Fund returned 6.07% versus 7.50% for the S&P 500 Index. Q. WHAT EFFECT DID YOUR POSITIONING AT THE END OF LAST QUARTER HAVE ON PERFORMANCE? A. We recently added exposure to U.S. 10-Year inflation breakeven rates via CPI swaps. For the past few years we have felt the market has underappreciated the potential for higher and more persistent levels of inflation in the U.S. Currently, we believe market pricing of future inflation is overly optimistic. Market expectations reflect a significant reduction in inflation close to the Fed's target in a relatively short period of time and a high degree of confidence in the stability of the inflation rate going forward. We believe the market is giving little to no credit to fundamental and structural factors that may support more persistent inflation such as resilient financial conditions, a robust labor market, elevated geopolitical risks and the diversification of supply chains to improve resiliency at the expense of cost efficiency. In addition, we would expect a more accurate reflection of the uncertainty of future inflation to be priced in via the typical term premium across the breakeven curve. Q. WHAT IS YOUR OUTLOOK GOING FORWARD AND HOW IS THIS REFLECTED IN THE FUND POSITIONING? A. SEI maintained a diversified basket of exposures highly correlated to U.S. financial conditions based on our views that inflation will remain stubbornly high and that the Federal Reserve (Fed) will remain steadfast in the removal of monetary stimulus. Financial Condition Indices (FCIs) measure the financial health of an economy and include exposures to equity markets, credit spreads, interest rates and currency positions. Given our view that the Fed must seek tighter financial conditions to bring down inflation, we have maintained modest exposures that are highly correlated to tighter financial conditions including: short the S&P 500 Index; short investment-grade credit spreads (via CDXIG); short U.S. Treasury bonds; and long the U.S. dollar. INVESTMENT STRATEGY: The Dynamic Asset Allocation Fund employs a dynamic investment strategy seeking to achieve, over time, a total return in excess of the broad U.S. equity market by selecting investments from among a broad range of asset classes or market exposures based upon SIMC's expectations of risk and return. Asset classes or market exposures in which the Fund may invest include U.S. and foreign equities and bonds, currencies, and investment exposures to various market characteristics such as interest rates or volatility. The Fund's Sub-Advisor selects the Fund's securities under the general supervision of SIMC, the Fund's advisor. Assets of the Fund not allocated to the Sub-Advisor are managed directly by SIMC. Dynamic Asset Allocation 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) Equity Funds (continued) SIMT Mid-Cap Fund 2/16/93 -1.97 3.22 3.22 3.22 -6.45 19.71 5.72 9.29 9.52 -14.49 27.81 Russell Midcap Index (USD) -1.53 4.06 4.06 4.06 -8.78 19.20 8.05 10.05 10.54 -17.32 22.58 Expenses before waivers (%) = 0.98 Expenses after waivers (%) = 0.98 SIMT Real Estate Fund 11/13/03 -2.40 2.52 2.52 2.52 -21.15 11.00 6.10 6.07 7.71 -25.79 43.92 Wilshire US Real Estate Securities Index (RESI) (USD) -2.55 3.44 3.44 3.44 -21.20 11.12 5.68 6.08 8.16 -26.75 46.11 Expenses before waivers (%) = 1.23 Expenses after waivers (%) = 1.14 SIMT Dynamic Asset Allocation Fund 7/30/15 2.95 6.07 6.07 6.07 -9.14 19.73 10.47 10.00 -16.48 30.59 S&P 500 Index (Gross) (USD) 3.67 7.50 7.50 7.50 -7.73 18.60 11.18 11.19 -18.11 28.71 Expenses before waivers (%) = 1.18 Expenses after waivers (%) = 0.75 The performance data shownis past performance. Pastperformance is noguarantee offuture results. The investmentreturnandprincipalvalue ofaninvestment willfluctuatesothataninvestor'sshares,whenredeemed,may less thantheir original costandcurrentperformance may be lower or higher than the performance quoted. For performance data currentto the most recentmonth end,please call1-800-DIAL-SEI. 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)