Issue link: https://info.seic.com/i/1445430
SEI Portfolio Update: First Quarter 2023 | SEI Institutional Managed Trust (SIMT) SIMT-11 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. Accumulation Fund Performance Benchmark: 60% MSCI World Index (Net) 40% Bloomberg Global Aggregate Index, Hedged Q. HOW DID THE FUND PERFORM AGAINST ITS INDEX FOR THE QUARTER, STEVE? A. The Fund returned 4.33% versus 5.79% for the Accumulation Fund Performance Benchmark. Q. WHAT EFFECT DID YOUR POSITIONING AT THE END OF LAST QUARTER HAVE ON PERFORMANCE? A. The Fund saw positive absolute performance for the quarter thought it underperformed its blended benchmark. The greatest contributor to absolute performance was an allocation to global equities. Within equities, developed markets outperformed emerging markets. Most developed sovereign bond markets were positive as yields generally declined. U.S. Treasuries and Japanese government nominal bonds were two of the best performing markets. Both emerging market debt and emerging market currencies performed well, contributing to relative performance. The Fund's inflation sleeve was mixed as U.S. Treasury Inflation-Protected Securities (TIPS), global inflation-linked bonds, and emerging currencies were positive while commodities were negative. On a relative basis the Fund's lower exposure to global equities detracted as equities were the best performing asset class in the quarter. The fund's exposure to commodities also detracted as commodities were down, primarily driven by weakness in the energy sector. Q. WHAT IS YOUR OUTLOOK GOING FORWARD AND HOW IS THIS REFLECTED IN THE FUND POSITIONING? A. From a contribution-to-risk perspective, the Fund increased its overweight to global equities. An underweight to nominal bonds shifted to an overweight. A neutral position in inflation-related assets moved to an underweight. We believe elevated levels of inflation may prove persistent. Additionally we believe we have moved to a regime of higher rates across the yield curve. We also believe that risk assets may continue to experience bouts of volatility as central banks remain committed to reducing inflation at the potential expense of economic growth. There is an elevated risk of a recession in a number of markets; however, the severity of recession remains uncertain. INVESTMENT STRATEGY: The Multi-Asset Accumulation Fund seeks to generate total return over time by selecting investments from among a broad range of asset classes. The Fund may allocate all or a portion of its assets using a "risk parity" approach that seeks to balance risk across all capital market exposures, which may result in asset classes with lower-perceived risk having a greater notional allocation within the Fund's portfolio than asset classes with higher-perceived risk. The Fund may obtain its exposures to the asset classes by investing directly in securities and other investments or indirectly through the use of derivative instruments, principally futures, forwards, options and swaps. Multi-Asset Accumulation Fund (SIMT) Portfolio Manager: Steve Treftz 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) Alternative Investments SIMT Multi-Strategy Alternative Fund 3/31/10 -0.22 0.99 0.99 0.99 -3.81 5.10 2.09 2.04 1.64 -4.94 1.47 ICE BofA US 3-Month Treasury Bill Index (USD) 0.43 1.07 1.07 1.07 2.50 0.89 1.41 0.87 0.69 1.46 0.05 Expenses before waivers (%) = 2.83 Expenses after waivers (%) = 2.08 Objective-Based Funds SIMT Multi-Asset Accumulation Fund 4/9/12 3.10 4.33 4.33 4.33 -13.38 2.11 2.00 2.77 3.58 -20.81 8.66 Accumulation Fund (Performance BM) 2.43 5.79 5.79 5.79 -4.02 9.42 6.41 7.07 7.39 -13.50 13.52 Expenses before waivers (%) = 1.30 Expenses after waivers (%) = 1.17 SIMT Multi-Asset Income Fund 4/9/12 1.24 3.48 3.48 3.48 -4.79 4.74 2.16 3.43 4.37 -13.12 4.09 Income (Performance Benchmark) 2.14 3.94 3.94 3.94 -4.56 3.80 3.46 4.15 4.58 -12.90 5.42 Expenses before waivers (%) = 1.20 Expenses after waivers (%) = 0.80 SIMT Multi-Asset Inflation Managed Fund 4/9/12 0.90 -2.36 -2.36 -2.36 -2.17 8.82 3.53 0.39 0.33 8.53 10.82 Inflation Managed (Performance BM) 1.84 1.23 1.23 1.23 -3.92 8.42 4.49 2.10 1.89 -1.40 11.96 Expenses before waivers (%) = 1.48 Expenses after waivers (%) = 1.24 SIMT Multi-Asset Capital Stability Fund 4/9/12 1.02 1.75 1.75 1.75 -0.12 1.56 1.77 1.53 1.58 -3.74 1.71 Capital Stability (Performance Benchmark) 1.57 1.81 1.81 1.81 -0.05 0.58 1.82 1.60 1.61 -4.36 0.86 Expenses before waivers (%) = 0.98 Expenses after waivers (%) = 0.62 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)