Issue link: https://info.seic.com/i/1445430
SEI Portfolio Update: First Quarter 2023 | SEI Institutional Managed Trust (SIMT) SIMT-13 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. Inflation Managed Performance Benchmark: 70% Bloomberg 1-5 Year US TIPS Index 20% Bloomberg Commodity Total Return Index 10% S&P 500 Index (Gross) Q. HOW DID THE FUND PERFORM AGAINST ITS INDEX FOR THE QUARTER, STEVE? A. The Fund returned -2.36% versus 1.23% for the Inflation Managed Performance Benchmark. Q. WHAT EFFECT DID YOUR POSITIONING AT THE END OF LAST QUARTER HAVE ON PERFORMANCE? A. Performance among the Fund's asset classes was mixed in the quarter. Treasury Inflation-Protected (TIPS) experienced positive performance as most fixed income sectors benefitted from lower rates in the quarter. The credit overlay benefited from spread tightening in the quarter. Both high-yield bonds and investment grade credit produced similar performance in the quarter in the low- to mid-single digits. Commodities detracted from the Fund's return as performance was mixed across sectors. The softs and precious metals sectors were the best performing sectors in the quarter returning 9.3% and 6.3%, respectively. The agriculture sector was flat while the energy sector was down -18.7%. The weakness in energy was primarily driven by natural gas which was down 50% in the quarter. The equity long/short strategy was challenged as sectors with low or negative inflation sensitivity (consumer discretionary and information technology) outperformed sectors with positive inflation sensitivity (energy, health care and utilities). Q. WHAT IS YOUR OUTLOOK GOING FORWARD AND HOW IS THIS REFLECTED IN THE FUND POSITIONING? A. The Fund moved from an underweight to TIPS to a slight overweight versus the Fund's strategic allocation during the quarter. The Fund's commodity allocation was held at a slight underweight versus the Fund's strategic allocation. We believe inflation-related assets have structural tailwinds in terms of supply constraints. We do believe, however, that near term concerns over a potential recession may weigh on performance of most risk assets. While such concerns may weigh on equities and commodities in terms of weaker earnings and reduced demand, we believe the supply side issues provide a longer term support of these asset classes. INVESTMENT STRATEGY: The Multi-Asset Inflation Managed Fund seeks to generate "real return" (i.e., total returns that exceed the rate of inflation over a full market cycle, regardless of market conditions) by selecting investments from among a broad range of asset classes, including fixed income and equity securities and commodity-linked instruments. The Fund uses a multi-asset-class portfolio construction process. Multi-Asset Inflation Managed 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 Objective-Based Performance Benchmarks SIMT Multi-Asset Accumulation Fund 40/60 -- Barclays Global Aggregate Index (Hedged) / MSCI World Index (Net) (Hedged) The performance data shown is past performance. Past performance is no guarantee of future results. The investment return and principal value of an investment 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. to the most recent month end, please call 1-800-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)