Issue link: https://info.seic.com/i/1445430
SEI Portfolio Update: First Quarter 2023 | SEI Institutional Managed Trust (SIMT) SIMT-25 Portfolio Manager: Steve Dolce Q. HOW DID THE FUND PERFORM AGAINST ITS INDEX FOR THE QUARTER, STEVE? A. The Fund returned 1.43% versus 3.39% for the Russell 2500 Index. Q. WHAT EFFECT DID YOUR POSITIONING AT THE END OF LAST QUARTER HAVE ON PERFORMANCE? A. The Fund underperformed for the quarter due to value, lower beta and headwinds to smaller sized stocks. Stock selection and an overweight to financials proved costly, as the sector was hit with a banking liquidity concerns. From an allocation perspective, an overweight to financials, particularly banks and insurance, detracted. Stock selection in health care also proved costly, due in part to a lack of exposure to high beta, high growth health care providers. From a manager perspective, Rice Hall James benefitted from not owning banks and insurance, as well as good stock selection in communications services. Hillsdale benefitted from overweight positions and stock selection in information technology. Easterly Asset Management and Cardinal were notable detractors both from value style headwinds and owning banks and insurance names that were cheap prior to the banking crisis. Martingale detracted to a lesser extent, largely due to higher beta headwinds and an underweight to information technology. Q. WHAT IS YOUR OUTLOOK GOING FORWARD AND HOW IS THIS REFLECTED IN THE FUND POSITIONING? A. The Fund maintained its positive exposure to the quality, value and momentum alpha sources. In the current market conditions, momentum is reflected in quality and value. The Fund is considered more defensive and less volatile than the market. From a manager position, the Fund increased its allocation Hillsdale and Easterly Asset Management at the expense of Martingale and Rice Hall James. From a sector perspective, the Fund decreased its allocation to financials in favor of information technology and health care. INVESTMENT STRATEGY: The Tax-Managed Small/Mid Cap Fund seeks to provide long-term capital appreciation while reducing the current tax impact on shareholders. The Fund invests primarily in common stocks of U.S. companies with market capitalizations in the range of the Russell 2500 index. Generally, the Fund will look to manage the impact of taxes by selling stocks with the highest tax-cost first, opportunistically harvesting losses to offset gains and deferring recognition of taxable gains, where possible. Tax-Managed Small/Mid Cap Fund (SIMT) 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 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. 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 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 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 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)