Issue link: https://info.seic.com/i/1445430
SEI Portfolio Update: First Quarter 2023 | SEI Institutional Managed Trust (SIMT) SIMT-15 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, RUDY? A. The Fund returned 0.99% versus 1.07% for the ICE BofA US 3-Month Treasury Bill Index. Q. WHAT EFFECT DID YOUR POSITIONING AT THE END OF LAST QUARTER HAVE ON PERFORMANCE? A. All three underlying strategies were positive for the quarter, with two of the three outpacing their respective benchmarks. Relative Value was the Fund's strongest performer, with the bulk of the gains originating in January. Event Driven, which comprises two merger-arb allocations, benefited from strong returns from Ramius during March. Equity Hedge was relatively less positive as it was challenged by losses sustained in March from our allocation to Mountaineer, a variable-net manager focused mostly on cyclical sectors like industrials and materials. There were no material detractors during the quarter. Q. WHAT IS YOUR OUTLOOK GOING FORWARD AND HOW IS THIS REFLECTED IN THE FUND POSITIONING? A. The overall equity hedge allocation is currently smaller than it was last year (averaged 35% in 2022 vs 29% today) due to the removal of our separate account with Putnam Bluescale which decided to shut down near the end of last year following a stretch of weak performance and declining AUM. We expect this weighting to remain the consistent over the near term. The overall relative value allocation is slightly higher than it has been in the past. This increased weighting is the result of rebalancing following the termination of the Bluescale separate account within the equity hedge strategy as well as from adding a bit more capital to Global Credit Advisers, LLC (Credit Opportunities). There were no material changes to the Event Driven strategy this quarter. INVESTMENT STRATEGY: The Multi-Strategy Alternative Fund seeks to generate absolute return with reduced correlation to conventional stock and bond markets. The Fund allocates its assets among a variety of investment strategies which are accessed by investing in other funds (both affiliated and unaffiliated) or through direct investments. The underlying funds or sub- advisors may apply any of a variety of investment strategies, including directional or tactical, event-driven and arbitrage. Multi-Strategy Alternative Fund (SIMT) Portfolio Manager: Radoslav Koitchev 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 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)