Issue link: https://info.seic.com/i/1445430
SEI Portfolio Update: First Quarter 2023 | SEI Institutional Managed Trust (SIMT) SIMT-14 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. Capital Stability Performance Benchmark: 95% Bloomberg 1-3 Year U.S. Government/Credit Index 5% S&P 500 Index (Gross) Q. HOW DID THE FUND PERFORM AGAINST ITS INDEX FOR THE QUARTER, STEVE? A. The Fund returned 1.75% versus 1.81% for the Capital Stability Performance Benchmark. Q. WHAT EFFECT DID YOUR POSITIONING AT THE END OF LAST QUARTER HAVE ON PERFORMANCE? A. The Fund experienced positive total return in the quarter and performed in line with its blended benchmark. From an absolute return perspective, Fund's exposure to risk assets (equity and credit) was beneficial as risk assets rallied against the backdrop of positive market sentiment in anticipation of a dovish Fed pivot. The Fund's lower-than-benchmark duration detracted modestly in the quarter as rates generally declined. Q. WHAT IS YOUR OUTLOOK GOING FORWARD AND HOW IS THIS REFLECTED IN THE FUND POSITIONING? A. The Fund increased its risk positioning throughout the quarter as both forecast and historical risk models indicated lower risk asset volatility. The allocation to risk assets increased. The Fund maintained an allocation to government bonds. It maintained a preference for cash versus Treasury's given the elevated level of yields on the short-end of the curve. We believe that 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 Capital Stability Fund attempts to manage the risk of loss while still seeking to generate some positive returns 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 diversify the expected sources of drawdown risk and lower total drawdown risk at the portfolio level. The Fund is expected to have exposure to U.S. debt obligations, foreign sovereign debt, investment-grade bonds and, to a lesser extent, riskier asset classes, such as equities and non-investment-grade fixed-income securities. Multi-Asset Capital Stability 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) SIMT Multi-Asset Income Fund 15/45/40 -- S&P 500 Index / Barclays US Aggregate Bond Index / ICE BofAML US High Yield Constrained SIMT Multi-Asset Inflation Managed Fund 70/20/10 -- Barclays 1-5 Year US TIPS Index (USD) / Bloomberg Commodity Total Return Index (USD) / Russell 1000 Low Volatility Index (TR) (USD) 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)