Issue link: https://info.seic.com/i/1445430
SEI Portfolio Update: First Quarter 2023 | SEI Institutional Managed Trust (SIMT) SIMT-23 Portfolio Manager: Dante D'Orazio Pre-liquidation after-tax returns = after taxes on distributions of dividends and capital gains Post-liquidation after-tax returns = after taxes on distributions of dividends and capital gains and proceeds from the sale of fund shares After-tax returns are calculated using the historical top individual federal marginal income-tax rates and do not reflect the impact of state and local taxes. Your actual after-tax returns will depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant to investors who hold their Fund shares through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. 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, DANTE? A. The Fund returned 0.68% versus 7.18% for the Russell 3000 Index. Q. WHAT EFFECT DID YOUR POSITIONING AT THE END OF LAST QUARTER HAVE ON PERFORMANCE? A. The Fund underperformed the broader market. Exposure to low-volatility and value were key detractors as investors reallocated to speculative growth stocks. LSV's value strategy was hampered in this environment, as their holdings lean further into value within the low-volatility cohort of the market. LSV did hold certain large, U.S.-based tech stocks which helped offset some of the underperformance. Allspring (Analytic) was similarly challenged. Portfolio tilts increased toward value over the past year as their factor momentum-based model followed favorable trends further into value. At the same time continuing to focus on more pronounced defensive allocation, overweighting low volatility sectors (consumer staples) and underweighting high-beta information technology stocks. Q. WHAT IS YOUR OUTLOOK GOING FORWARD AND HOW IS THIS REFLECTED IN THE FUND POSITIONING? A. Turnover was low and positioning little changed much over the period. Consumer staples is the largest overweight followed by health care. The largest underweights are in information technology and consumer discretionary. The Fund is defensively positioned with an ex-ante beta estimate less than that of the benchmark. The Fund is broadly diversified and is no longer concentrated in the low volatility and value cohort. INVESTMENT STRATEGY: The Tax-Managed Managed Volatility Fund seeks capital appreciation with lower volatility than the broad U.S. equity market. The Fund will typically invest in securities of U.S. companies of all capitalization ranges that are expected to exhibit low relative volatility. Over the long-term, the Fund is expected to achieve a return similar to that of the Russell 3000 Index with a lower level of volatility. Because the Fund's primary objective is to manage absolute volatility, sector and market-cap exposures may differ substantially from the index, which can cause short-term performance to diverge significantly from the broader market. Tax-Managed Managed Volatility 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) Tax Managed Equity Funds SIMT Tax-Managed Small/Mid Cap Fund 10/31/00 -4.39 1.43 1.43 1.43 -9.68 18.34 4.12 7.35 6.45 -16.89 23.51 Pre-liquidation after-tax returns* -4.39 1.43 1.43 1.43 -9.86 17.38 3.08 6.59 5.90 -17.06 20.84 Post-liquidation after-tax returns** -2.60 0.85 0.85 0.85 -5.60 14.59 3.15 5.88 5.39 -9.88 15.72 Russell 2500 Index (USD) -3.75 3.39 3.39 3.39 -10.39 19.42 6.64 9.06 8.32 -18.37 18.18 Expenses before waivers (%) = 1.23 Expenses after waivers (%) = 1.11 SIMT Tax-Managed Large Cap Fund 3/5/98 1.83 3.72 3.72 3.72 -4.97 18.30 9.33 10.47 6.45 -13.24 28.42 Pre-liquidation after-tax returns* 1.83 3.72 3.72 3.72 -6.40 17.01 8.11 9.73 6.04 -14.54 26.95 Post-liquidation after-tax returns** 1.08 2.20 2.20 2.20 -1.99 14.43 7.27 8.57 5.44 -6.90 17.83 Russell 1000 Index (USD) 3.16 7.46 7.46 7.46 -8.39 18.55 10.86 12.01 7.68 -19.13 26.45 Expenses before waivers (%) = 0.89 Expenses after waivers (%) = 0.89 SIMT Tax-Managed Managed Volatility Fund 12/20/07 2.12 0.68 0.68 0.68 -2.26 15.48 8.47 9.88 8.76 -3.01 24.02 Pre-liquidation after-tax returns* 2.12 0.68 0.68 0.68 -3.70 14.27 7.38 8.62 7.79 -4.44 22.64 Post-liquidation after-tax returns** 1.25 0.40 0.40 0.40 -0.33 12.12 6.58 7.81 7.12 -0.77 15.15 Russell 3000 Index (USD) 2.67 7.18 7.18 7.18 -8.58 18.48 10.44 11.73 9.01 -19.21 25.66 Expenses before waivers (%) = 1.23 Expenses after waivers (%) = 1.00 SIMT Tax-Managed Int'l Managed Volatility 10/17/16 2.41 5.38 5.38 5.38 -3.59 7.39 0.13 2.74 -11.61 7.55 Pre-liquidation after-tax returns* 2.41 5.38 5.38 5.38 -3.99 6.97 -0.24 2.37 -11.97 6.78 Post-liquidation after-tax returns** 1.43 3.19 3.19 3.19 -1.48 5.95 0.33 2.33 -6.24 5.04 MSCI EAFE Index (Net) (USD) 2.48 8.47 8.47 8.47 -1.38 12.99 3.52 6.34 -14.45 11.26 Expenses before waivers (%) = 1.39 Expenses after waivers (%) = 1.11 After taxeson distributions of dividends and capitalgains** After taxeson distributions of dividends and capitalgains andproceeds from the sale offund shares** ** After-tax returnsare calculated using the historicaltop individualfederalmarginalincometax ratesanddonotreflect the impactof state andlocaltaxes. Your actualafter-tax returns willdependonyour those shown. After-tax returnsshown are notrelevanttoinvestorswho hold their Fund shares through tax-deferredarrangements, suchas 401(k)plans or individual retirementaccounts. 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 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 Expenses before waivers (%) = 1.23 Expenses after waivers (%) = 0.90 SIMT S&P 500 Index Fund 2/28/96 3.66 7.44 7.44 7.44 -7.98 18.32 10.92 11.87 8.69 -18.33 28.42 S&P 500 Index (Gross) (USD) 3.67 7.50 7.50 7.50 -7.73 18.60 11.18 12.23 9.12 -18.11 28.71 Expenses before waivers (%) = 0.54 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 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 Russell 1000 Index (USD) 3.16 7.46 7.46 7.46 -8.39 18.55 10.86 12.01 12.69 -19.13 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 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 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 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 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 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 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 Russell 3000 Index (USD) 2.67 7.18 7.18 7.18 -8.58 18.48 10.44 11.73 9.36 -19.21 Expenses before waivers (%) = 1.23 Expenses after waivers (%) = 0.90 SIMT S&P 500 Index Fund 2/28/96 3.66 7.44 7.44 7.44 -7.98 18.32 10.92 11.87 8.69 -18.33 S&P 500 Index (Gross) (USD) 3.67 7.50 7.50 7.50 -7.73 18.60 11.18 12.23 9.12 -18.11 Expenses before waivers (%) = 0.54 Expenses after waivers (%) = 0.25 as of 03/31/2023 as of 03/31/2023 Performance Performance Cumulative Total Return Annualized Total Return Funds' Summary Performance Trend Report SEI Institutional Managed Trust - Class F (Formerly Class A)