Post on 04-Jan-2016
Investment Performance ReviewSecond Quarter 2001
July 11, 2001SEI Advisor Network
• Market and SEI Performance Overview for 2nd Qtr
• Recent Enhancements to SEI’s Implementation Strategy
• Presentation of Advisor Tool Kit
• Questions & Answers
Today’s Agenda
For Intermediary Use Only. Not For Public Distribution
Market and Performance OverviewFirst Quarter 2001
For Intermediary Use Only. Not For Public Distribution
Mixed Signals From the US Economy
NAPM Purchasing Managers' Index, (Index, SA)
20
30
40
50
60
70
80
70 73 76 79 82 85 88 91 94 97 00
Some Indicators Some Indicators are Recessionary. . .are Recessionary. . .
. . .While Others are . . .While Others are Far From TroubleFar From Trouble
Unemployment Rate Since 1970 (%)
3
4
5
6
7
8
9
10
11
70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00
Une
mpl
oym
ent
Rat
e (%
)
Consumer Spending
-4%
-2%
0%
2%
4%
6%
8%
10%
70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 00
% C
ha
ng
e (
y-o
-y)
Announced Layoffs
0
500
1,000
1,500
2,000
1989 1991 1993 1995 1997 1999 2001*
La
yoff
s (
Th
s.)
* Projected
For Intermediary Use Only. Not For Public Distribution
It’s tempting at times like these to expect the worst, It’s tempting at times like these to expect the worst, BUTBUT
The economic news remains mixed, which suggests areas of weakness and strength
Tax cuts and Fed rate cuts do work with a lag on consumer and business spending
Stock prices have rebounded, boosting consumer confidence
Reasons to Believe
For Intermediary Use Only. Not For Public Distribution
Disciplined Investing Yields Results
2nd Quarter Offered Further Confirmation that SEI’s Investment Process Works
Tracking Errors Have Reverted to the Norm
Talking Points
For Intermediary Use Only. Not For Public Distribution
The Rocky Road to Recovery
70%
80%
90%
100%
110%
120%
130%
Jan-01 Feb-01 Mar-01 Apr-01 May-01 Jun-01
Dow Nasdaq Wilshire 5000
Year-to-Date Returns as of 6/30/01 forYear-to-Date Returns as of 6/30/01 forthe Dow, the Nasdaq and the Wilshire 5000the Dow, the Nasdaq and the Wilshire 5000
Note: All indexes set to 100 on January 2, 2001 For Intermediary Use Only. Not For Public Distribution
2nd Quarter Fund Performance
ReturnReturn
Small Cap GrowthSmall Cap Growth
Alpha*Alpha*
Q2 Net Returns (%)
International EquityInternational Equity
Emerging Market EquityEmerging Market Equity
Emerging Market DebtEmerging Market Debt
+ 23.17% + 5.05%
+ 5.71%
+ 4.41% + 0.98%
For Intermediary Use Only. Not For Public Distribution* Return Relative to Benchmark
Tax-Managed Large CapTax-Managed Large Cap
Core Fixed IncomeCore Fixed Income
High YieldHigh Yield
Large Cap ValueLarge Cap Value
Large Cap GrowthLarge Cap Growth
Small Cap ValueSmall Cap Value
International Fixed IncomeInternational Fixed Income
+ 1.81%
- 0.71%
+ 6.88% + 0.57%
+ 0.61%
- 0.61%
+ 5.15% + 0.27%
+ 0.30%
+ 0.45%
+ 8.31% - 0.11%
- 0.11%
+ 11.13%
- 2.67% - 0.69%
- 0.57%
SEI Portfolio Performance: Rolling Returns2001 Q2 1 Year 3 Year 5 Year
Active Tax-Managed (ATM) 60
Active Tax-Managed (ATM) 100
Index Blended Benchmark
Index Blended Benchmark
TAX-MANAGED
-9.20
-8.25
-18.39
-16.99
3.17
3.90
1.82
2.85
Institutional Growth & Income (60 / 40)
Index Blended Benchmark
Institutional Equity (100)
Index Blended Benchmark
INSTITUTIONAL
-8.83
-9.00
-18.89
-18.93
3.57
3.66
1.72
1.91
7.75
7.58
8.53
8.28
-15.36
-16.42
-17.59
-18.07
2.63
2.63
2.13
1.83
12.90
12.29
11.02
10.39
DOMESTIC
2 Year
-1.48
0.13
-6.24
-3.76
0.93
0.46
-3.05
-3.58
-4.42
-4.50
-4.52
-4.70
Domestic Equity (100)
Index Blended Benchmark
Global Equity (100)
Index Blended Benchmark
GLOBAL
Note: Index Blended Benchmarks are gross returns, while SEI specific portfolios are net returns. Outperformance in BOLD.
For Intermediary Use Only. Not For Public Distribution
3.74
3.29
5.76
4.97
3.65
3.36
5.65
5.14
7.69
7.39
5.95
5.58
SEI Portfolio Performance: Annual Returns
2001 YTD 2000 1999 1997
Note: Index Blended Benchmarks are gross returns, while SEI specific portfolios are net returns. Outperformance in BOLD.
Active Tax-Managed (ATM) 60
Active Tax-Managed (ATM) 100
Index Blended Benchmark
Index Blended Benchmark
TAX-MANAGED
-3.38
-3.00
-14.45
-11.16
17.26
16.41
28.11
26.12
Institutional Growth & Income (60 / 40)
Index Blended Benchmark
Institutional Equity (100)
Index Blended Benchmark
INSTITUTIONAL
-4.40
-4.97
-12.43
-12.64
14.05
13.38
20.85
19.52
Domestic Equity (100)
Index Blended Benchmark
Global Equity (100)
Index Blended Benchmark
-7.48
-9.82
-9.58
-10.80
20.47
19.95
24.21
21.40
33.19
30.91
25.57
24.70
DOMESTIC
GLOBAL
1998
11.88
13.34
14.11
16.32
20.51
21.52
20.37
21.24
-6.65
-4.64
17.36
15.74
28.68
25.60
For Intermediary Use Only. Not For Public Distribution
-7.17
-6.62
-4.20
-3.65
-8.75
-7.80
-7.95
-6.36
-9.29
-8.13
Analysis of Large Cap Growth PerformanceYear-to-Date 2001 as of 6/30/01
-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
Stock Selection Industry Weight
Attribution (%) • SEI managers correctly judged industry performance. For example, overexposure to energy and underexposure to technology boosted first-half performance.
• Stock holdings within the technology sector were at the root of the first quarter’s underperformance. In the tumultuous markets at the start of the year, investors sought shelter in some well-known technology names that our investment managers did not hold because the companies did not satisfy the managers’ investment criteria.
• Notable deviations from the benchmark were IBM, Microsoft, Nokia and Solectron.
-6.0%
-4.0%
-2.0%
0.0%
2.0%
Cyclic
als
Staple
s
Energ
y
Financ
ials
Health
Car
e
Indu
stria
ls
Techn
olog
y
Mat
erial
s
Teleco
m
Utilitie
s
Stock Selection Attribution, by Sector (%)
Q2 YTD 1 Year 3 Year 5 Year
SEI Large Growth 8.31% -18.59% -37.30% 0.23% 13.31%
R1000 Growth 8.42% -14.24% -36.17% 0.69% 11.98%
Net contribution -0.11% -4.35% -1.13% -0.46% 1.33%For Intermediary Use Only. Not For Public Distribution
Analysis of Small Cap Growth PerformanceYear-to-Date 2001 as of 6/30/01
• Fund performance remains extraordinarily strong.
• Quarter-to-quarter fluctuations occasionally happen because our managers select stocks based on their long-term funda-mentals, not short-term technical factors.
• An example of this occurred this year.
• The Fund fell short of the benchmark in the first quarter due largely to underperformance in three sectors.
• The Fund handily outperformed the benchmark in the second quarter thanks to gains in those same three sectors.
-2.0%
0.0%
2.0%
4.0%
Q2 YTD 1 Year 3 Year 5 Year
SEI Small Growth 23.17% -0.74% -21.67% 14.04% 11.55%
R2000 Growth 18.12% 0.16% -23.25% 2.19% 4.79%
Net contribution 5.05% -0.90% 1.58% 11.85% 6.76%
Q1 Stock Selection by Sector (%)
-4.0%
-2.0%
0.0%
Cyclic
als
Staple
s
Energ
y
Financ
ials
Health
Car
e
Indu
stria
ls
Techn
olog
y
Mat
erial
s
Teleco
m
Utilitie
s
Q2 Stock Selection by Sector (%)
For Intermediary Use Only. Not For Public Distribution
US Tax-Managed Large Cap Fund
Fund Performance
AllianceCore
Growth
ProvidentHyper Growth
Recent Enhancements Paying OffRecent Enhancements Paying Off
• Changes were made to our tax-managed structure in an effort to maintain the tax sensitively of the Tax-Managed Large Cap Fund while delivering the opportunity for greater returns.
• These changes are supporting positive results for the Fund:
• Posted a +7% absolute return for the quarter
• Outperformed its benchmark during the second quarter
• Core-Tax Manager Parametric has capitalized on loss harvesting opportunities to enhance after-tax performance
ParametricCore Tax-Managed
EquinoxRelative
Value
Sanford Bernstein
Deep Value
PeregrineLong-term
Growth
** Pre-tax returns for SEI Tax-Managed Large Cap Fund
# Returns from Fund inception in March 1998
Q2 YTD 1 Year 3 Year Incept#
SEI TMLC** 6.88% -7.15% -16.33% 2.03% 4.43%
R1000 6.31% -7.05% -14.96% 4.24% 6.13%
Net contribution 0.57% -0.10% -1.37% -2.21% -1.70%For Intermediary Use Only. Not For Public Distribution
US Large Cap Value Fund
Building on Positive PerformanceBuilding on Positive Performance
• Fund gained over 5% during the second quarter
• Led the benchmark once again in Q2• The Fund has now led its benchmark in four
consecutive quarters to generate near 5% outperformance over the last year
Each of our specialist value managers outperformed during the quarter
• LSV: + 7% return in Q2• Bernstein: + 7% return in Q2• Iridian: + 5% return in Q2
The recent addition of Deutsche as the new core manager in the Fund has already paid off:
• Manager posted a 5% return during the quarter to exceed the benchmark.
DeutscheValue
LSVContrarian
Value
Sanford Bernstein
Deep Value
IridianRelative
Value
Fund Performance
Q2 YTD 1 Year 3 Year 5 Year
SEI Large Value 5.15% 0.45% 15.02% 3.92% 13.65%
R1000 Value 4.88% -1.27% 10.33% 5.35% 14.94%
Net contribution 0.27% 1.72% 4.69% -1.43% -1.29%
Emerging Market Equity Fund
Fund Performance
SchroderGlobal Core
Nicholas ApplegateGlobal Growth
SGYAsia
MorganStanley
LatinAmerica
SchroderEMEA
The Boston CompanyGlobal Value
Emerging Equity Fund Rallied in Q2Emerging Equity Fund Rallied in Q2
• Emerging markets continue to outperform US and International markets this year, and SEI’s Fund is outperforming its benchmark by a sizeable margin.
• Stock selection in China, India, Korea and South Africa helped drive performance
• Recent structural enhancements to Fund paying off
• Dedication to value stocks through Boston Company has been beneficial, as value continues to outperform growth in these regions
• Exposure to EMEA regions such as Israel, Russia and South Africa has also boosted returns
Q2 YTD 1 Year 3 Year 5 Year
SEI EM Equity 5.71% -1.02% -28.58% -2.87% -8.12%
MSCI EMF 3.90% -1.78% -25.92% 1.59% -6.01%
Net contribution 1.81% 0.76% -2.66% -4.46% -2.11%For Intermediary Use Only. Not For Public Distribution
Review of Recent Portfolio Enhancements
For Intermediary Use Only. Not For Public Distribution
High Yield Bond Fund
Credit SuisseCore
NomuraConcentrator
Nicholas ApplegateCore
NomuraConcentrator
ShenkmanFundamental Value
Old Structure New Structure
• The Fund has posted consistent long-term positive returns that are ahead of its benchmark
• SEI is adding Shenkman to target the Fundamental Value segment of the High Yield market. This should improve the risk and reward profiles for the Fund.
• Process and research capacity concerns necessitated the replacement of Credit Suisse
• Nicholas Applegate will take the reins as the Fund’s new Core manager
Q2 YTD 1 Year 3 Year 5 Year
SEI High Yield -0.61% 4.38% -1.11% -1.02% 4.72%
CSFB HY, DCO -0.91% 4.12% -0.76% -1.18% 4.19%
Net contribution 0.30% 0.26% -0.35% 0.16% 0.53%For Intermediary Use Only. Not For Public Distribution
Disciplined Investing Yields Results
2nd Quarter Offered Further Confirmation that SEI’s Investment Process Works
Tracking Errors Have Reverted to the Norm
Talking Points
For Intermediary Use Only. Not For Public Distribution