Close

Form N-CSR Adviser Managed Trust For: Jul 31

October 7, 2022 10:21 AM EDT

News and research before you hear about it on CNBC and others. Claim your 1-week free trial to StreetInsider Premium here.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

 

FORM N-CSR

 

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

 

Investment Company Act file number 811-22480

 

Adviser Managed Trust

(Exact name of registrant as specified in charter)

 

 

 

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Address of principal executive offices) (Zip code)

 

 

 

Timothy D. Barto, Esq.

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: 1-610-676-1000

 

Date of fiscal year end: July 31, 2022

 

Date of reporting period: July 31, 2022

 

 

 

Item 1. Reports to Stockholders.

 

July 31, 2022

 

ANNUAL REPORT

Adviser Managed Trust

 

 

Diversified Equity Fund

 

 

 

TABLE OF CONTENTS

 

 

Letter to Shareholders 1

 
 

Management Discussion and Analysis of Fund Performance 6

 
 

Schedule of Investments 8

 
 

Statement of Assets and Liabilities 9

 
 

Statement of Operations 10

 
 

Statement of Changes in Net Assets 11

 
 

Financial Highlights 12

 
 

Notes to Financial Statements 13

 
 

Report of Independent Registered Public Accounting Firm 27

 
 

Trustees and Officers of the Trust 28

 
 

Disclosure of Fund Expenses 32

 
 

Liquidity Risk Management Program 33

 
 

Board of Trustees’ Considerations in Approving the Advisory and Sub-Advisory Agreements 34

 
 

Notice to Shareholders 36

 

The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT. The Trust’s Forms N-PORT are available on the Commission’s website at http://www.sec.gov.

 

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended July 31, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.

 

 

 

 

LETTER TO SHAREHOLDERS (Unaudited)

 

JULY 31, 2022

 

 

 

To Our Shareholders:

 

Asset class performance was negative during the reporting period ending July 31, 2022. While equity markets withstood high volatility and concerns over new COVID-19 variants in late 2021 and the Russian invasion of Ukraine in early 2022, concerns about a looming recession, higher interest rates, and surging inflation weakened the backdrop for risk assets during the final four months of the fiscal year. Stocks and bonds simultaneously faced steep price declines amid extreme volatility, while commodities recorded a broad and robust gain. The selloff that shaped the first half of 2022 came to a halt as equities and fixed-income asset classes rallied in July. Stocks and bonds climbed off a bottom in mid-June, and then recovered at an accelerating pace as the end of July approached.

 

Tightening supply-chain dynamics contributed to higher prices for both consumers and producers. Intermediate- and long-term interest rates increased from historically low levels due to evidence of rising global inflation.

 

The U.S. Treasury yield curve flattened, especially over the last few months of the fiscal year, as the Federal Reserve (Fed) hiked interest rates. U.S. Treasury yields on the shorter end of the curve rose in greater magnitude than the long end. The yield on 2-year Treasurys jumped by 273 basis points, while the yield on 10-year Treasurys rose 140 basis points and the yield on 30-year Treasurys increased by 106.

 

Geopolitical Events

 

COVID-19 was an unavoidable and significant theme across the period, claiming its six-millionth victim globally in February 2022 (including more than 900,000 in the U.S.). The final quarter of the period was defined predominantly by markets digesting the potential impact of the Omicron variant discovered in South Africa. Case numbers soared as the new variant proved to be highly transmissible, yet generally less severe.

 

The U.S. Congress voted to raise the debt ceiling (that is, the federal government’s borrowing limit) twice during the period—first with an October 2021 stopgap hike of $480 billion, and then with a December increase of $2.5 trillion—which is expected to cover spending through early 2023. President Joe Biden signed the Infrastructure Investment and Jobs Act—a multi-year infrastructure funding bill—into law during November. The initiative appropriated $1.2 trillion (including $550 billion above baseline spending), with nearly $300 billion of new spending to fund transportation projects over the next decade, another $65 billion apiece dedicated to broadband internet and power grid projects, and $55 billion reserved for water infrastructure.

 

In late February of 2022, Russia invaded Ukraine. Western nations responded with an array of sanctions, bans, and other coordinated actions—largely focused on disrupting the country’s financial, energy, technology and transportation activities, as well as state-owned enterprises and high-profile individuals in public and business positions. In addition to having mounted a fierce resistance to Russia’s invasion, Ukraine submitted a formal application for admission to the European Union.

 

The imposition of coordinated sanctions effectively blocked Russian entities from trade in major foreign currencies. The Russian Central Bank was forced to increase its benchmark rate by a considerable 10.5% to 20.0%; offer unlimited liquidity support to banks as they faced runs; raise capital controls on exporters and residents; and shutter its financial markets. By mid-March, the EU had instituted a broad ban on investments in Russia as well as exports to and imports from the country (although imports of Russian metals and energy are still permitted).

 

Energy took center stage as inflation drove prices higher. OPEC+ (the Organization of the Petroleum Exporting Countries—plus Russia) agreed at the beginning of June to boost the size of an oil production increase by roughly 50% in July and August, totaling 648,000 new barrels per day.

 

Russia began reducing natural gas pipeline supply to Europe in mid-June right before the end of the period, limiting the ability of European nations to stockpile gas for winter, and driving prices in the region much higher.

 

The North Atlantic Treaty Organization (NATO) announced a plan in the final days of the period to increase its high-readiness Response Force (NRF) from 40,000 to 300,000 after activating NRF troops for the first time in its history following Russia’s attack on Ukraine. Sweden and Finland’s paths to join NATO brightened at the end of June. Turkey unblocked their applications and signed a trilateral memorandum of support for their memberships in exchange for weapons sales, and prioritization by the Scandinavian countries of Turkish extradition requests for purported Kurdish militants.

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

1

 

 

 

 

LETTER TO SHAREHOLDERS (Unaudited) (Continued)

 

JULY 31, 2022

 

 

The U.S. followed NATO’s planned increases with its own European expansion announcement at the end of the quarter. The buildout will include a permanent Army base in Poland, rotations through Romania and the Baltics, more Navy ships in Spain, air defenses in Italy, and fighter jets in the U.K.

 

Economic Performance

 

Gross domestic product (GDP) continued to slow in July after accelerating sharply from the beginning of the year. GDP contracted by an annualized 1.6% during the first quarter of 2022 and retreated by an annualized 0.9% during the second quarter of 2022. The reading marks two consecutive quarters of negative GDP, which meets a widely cited—but unofficial—technical definition of a recession. Many economists view a recession as a significant and sustained decline in economic activity (accompanied by high unemployment) that lasts more than a few months. Meanwhile, the U.S. consumer-price index increased by 8.5% in the year through July— slowly moving lower from 9.1% in June, the worst inflation reading in more than four decades.

 

The U.S. labor market remained quite healthy during the second quarter. The U.S. unemployment rate held at 3.5% in July, just above a 50-year low. The U.S. labor market added 390,000 jobs in May, 372,000 jobs in June, and a robust 528,000 in July, while average hourly earnings increased by 0.5% for the month and 5.2% over the prior year. Services-sector growth jumped to notably high levels in April, May and July after recovering in February from a near-standstill at the start the year.

 

The Federal Open Market Committee (FOMC) increased the federal-funds rate by 0.50% (the first hike of its size since 2000) at its early-May 2022 meeting, and then by 0.75% (the first of its size since 1994) at its mid-June meeting, and then increased the federal-funds rate by 0.75% again toward the end of July—the second hike of its size in this tightening cycle—bringing the benchmark rate to a range between 2.25% and 2.50%. The central bank has also begun to reduce its balance sheet, allowing Treasurys and mortgages to run off (that is, mature without being replaced) at maximum respective paces of $30 billion and $17.5 billion per month in July and August (and rising in September to $60 billion and $35 billion per month, respectively). Economic fundamentals deteriorated in the FOMC’s latest quarterly Summary of Economic Projections (SEP), released in June. Real GDP projections declined for 2022, 2023, and 2024 compared to the March SEP, while projections for the unemployment rate increased across all three years, and inflation expectations increased for 2022. Projections for the federal funds rate were higher across the board as well.

 

Market Developments

 

The S&P 500 Index returned -4.64% during the fiscal year. Large-cap value stocks (as measured by the Russell 1000 Value Index) fell by 1.43% and outperformed large-cap growth stocks (as measured by the Russell 1000 Growth Index), which tumbled by 11.93%. At the sector level, energy, utilities, and consumer staples led, while telecommunication services, capital goods, and information technology lagged.

 

U.S. large-cap stocks (Russell 1000 Index) finished the reporting period down 6.87%, while small-cap stocks (Russell 2000 Index) finished the period down 14.29%. The decline in small caps came from growth names; the Russell 2000 Growth Index gave back 23.18% during the period, while the Russell 2000 Value Index fell by 4.77%.

 

Overall, U.S. equities outpaced major developed markets during the fiscal year. Developed markets, as measured by the MSCI World Index (Net) (USD), finished down 9.16% for the year, outperforming emerging markets. The MSCI Emerging Markets Index (Net) (USD) finished the reporting period down 20.09% in U.S. dollar terms, as a strong U.S. dollar and anticipation of tighter monetary conditions was a headwind. The best-performing region was Latin America, which was helped by surging commodity prices and a relatively calm political environment; emerging-Europe was the worst-performing region as small-cap stocks suffered and businesses with exposure to Russia plummeted due to the Russian invasion in Ukraine.

 

The MSCI Europe Index (USD) deteriorated by 15.10%. The MSCI ACWI Index (Net), a proxy for global equities in both developed and emerging markets, slumped by 10.48% in U.S. dollar terms. The FTSE UK Series All-Share Index recorded a 5.51% gain in U.S. dollar terms over the full reporting period.

 

U.S. investment-grade corporate debt finished lower. The Bloomberg US Corporate Investment Grade Index gave back 12.61% as the rise in interest rates had a negative impact on returns (bond prices move inversely to interest rates). U.S. asset-backed securities also declined during the fiscal year, as did mortgage-backed securities, which were challenged by elevated supply and fast prepayment speeds.

 

 

2

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

 

 

U.S. high-yield bonds, which have less interest-rate sensitivity than U.S. Treasurys, outperformed U.S. government bonds as investors searched for yield; the escalation of COVID-19 also did not lead to the high default rates predicted early in the crisis. The U.S. government bond market, as measured by the Bloomberg Long US Government Bond Index, finished lower during the reporting period, while U.S. high-yield bonds, as measured by the ICE BofA US High Yield Constrained Index, declined 7.73%. Within the high-yield market, energy remained the largest sector, and it easily outperformed the broader market.

 

Inflation-sensitive assets, such as commodities and Treasury inflation-protected securities (TIPS), were modestly negative during the period. The MSCI ACWI Commodity Producers Index (which represents the global commodity market) finished up 15.34 over the full one-year period; the Bloomberg 1-10 Year US TIPS Index (USD) moved 0.78% lower during the reporting period, fueled by rising inflation expectations.

 

Global fixed income, as measured by the Bloomberg Global Aggregate Index, was down 14.58%. Emerging-market debt (EMD) delivered negative performance due to the expectation that central bank rate hikes would slow emerging-market growth; inflation, which remained higher and more persistent than in the developed world, was also a challenge. The JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified, which tracks local-currency-denominated EM bonds, dropped 18.70% in U.S. dollar terms. The JP Morgan Emerging Markets Bond Index (EMBI) Global Diversified, which tracks EMD denominated in external currencies (such as the U.S. dollar), was down 19.28%.

 

The U.S. dollar gradually climbed during the fiscal year (relative to a trade-weighted basket of foreign currencies) and finished near its period high.

 

Our View

 

It’s been our mantra for the past year that U.S. inflation would be higher for longer than most economists and investors appeared to expect. We believe this remains the case, although the gap between our expectations and those priced in U.S. markets has narrowed considerably and the pace of inflation’s increase is almost certainly close to a peak. Investors and the Fed still seem to be betting that inflation pressures will ebb significantly starting in the second half of this year and fall to 3% by the end of 2023.

 

Fed Chairman Jerome Powell continued to express hope that the Fed can achieve a “softish” landing, where inflation gradually decelerates back to the central bank’s 2% target without a recession. Unfortunately, there has been only one successful instance since the end of World War II (1951-to-1952) when inflation was running above 5%.

 

Federal funds-rate futures indicate that investors are anticipating a series of increases between now and year-end that would bring the funds rate to 3.4%. Markets are presumably pricing in a recession by the second half of 2023, considering the funds rate is projected to decline at that point.

 

We believe this to be a reasonable forecast, but the actual outcome will depend on how quickly the economy actually weakens and inflation ebbs. The evidence as of today suggests that the U.S. economy may continue to show a resilience that surprises both the Fed and investors.

 

There are signs of economic trouble ahead. The surge in U.S. mortgage rates is delivering a big blow to the housing market. Beyond real estate, economists have begun citing the big increase in retail inventories as a harbinger of recession. We are doubtful that the inventory problems of department stores and general merchandisers are serious enough to throw the economy into recession in the near term.

 

There is no denying that rising interest rates will slow economic growth. But changes in monetary policy affect the economy with a long and variable lag. While the financial strength of U.S. businesses and households is likely to ebb, the starting point is a very high one. The labor market, for instance, remains exceptionally tight. Until a better balance between the demand and supply of labor is achieved, one should expect further large wage gains at the lower end of the wage-income spectrum, where the job market is tightest.

 

American job switchers have enjoyed a sharper-than-average wage gain over the past 12 months. It should not be surprising that the U.S. quit rate is significantly higher than in 2019 or at the previous economic peak in 2007.

 

Other major developed economies aren’t too far behind. The U.K. has an unemployment rate below 4%. Canada and Europe usually have unemployment rates that are considerably higher than the U.S. and the U.K. That remains the case, but both report jobless totals that are below previous cyclical lows.

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

3

 

 

 

 

 

 

LETTER TO SHAREHOLDERS (Unaudited) (Concluded)

 

JULY 31, 2022

 

 

 

All this suggests that workers are in a strong position to seek bigger wage gains in an effort to keep up with inflation. The possibility of a global wage-price spiral still cannot be dismissed out of hand. This could force central banks to raise interest rates more than they would prefer.

 

In Europe, the need to hike interest rates has once again raised the specter of another periphery debt crisis. The stress has not reached the crisis levels of the 2010-to-2012 period. Given all the other problems facing Europe, the ECB has vowed to support the weaker members of the eurozone with continued bond purchases.

 

As was the case last time, the economic priorities of the strongest countries are diverging from their weaker neighbors. The German-led bloc needs a more aggressive policy-tightening along the lines of what the Fed is expected to do. Meanwhile, the weaker countries—Italy and Greece especially—now bear an even heavier debt burden relative to the size of their economies than was the case a decade ago. The interest expense on that debt could get out of hand fairly quickly if the cost of capital continues its sharp upward trajectory.

 

China’s economy appears to be in recovery mode. COVID-19 lockdowns in Beijing, Shanghai, and other parts of the country have eased. The zero-COVID policy pursued by the Chinese government has hurt the economy to an extent seldom seen in the past three decades. Home sales have also plummeted, falling 34% over the 12 months ended May. Chinese authorities are now trying to revive the property market by lowering mortgage rates, cutting mortgage down payment requirements, and encouraging banks to start lending again.

 

Economy-wide lending has picked up, finally turning positive for the first time in a year. If that trend continues in the months ahead, other measures of current economic health should begin to recover too. Whether that will be enough to stave off a global recession is doubtful, however, in view of the rising interest-rate trend in the advanced economies. It might even prove counterproductive if a revival in Chinese demand for energy and other raw materials exacerbates the commodity-price boom at a time when global supplies are still constrained.

 

The poor performance of financial markets this year suggests that investors have already discounted a lot of bad news. The price decline in the S&P 500 Index recorded in the year to date contrasts sharply with the ongoing increases in forward-earnings estimates. The result has been one of the sharpest reductions in stock multiples outside of a recession in the past 25 years.

 

The froth certainly appears to have been taken out of the markets by this year’s pullback. That’s the good news. The bad news is that an economic recession and a corresponding decline in earnings might not yet be fully reflected in stock prices. Multiples tend to slide as projected earnings estimates fall. Even if price-to-earnings ratios remain at current levels, there could be a decline in projected earnings—and a comparable drop in stock prices—as analysts incorporate a recession’s impact into their models. While the consensus view is that stock prices face rough seas ahead, it is possible that earnings multiples do not need to contract much further than they have already—with the caveat that bond yields stabilize near current levels and do not climb significantly higher.

 

Sincerely,

 

 

James Smigiel

 

Chief Investment Officer

 

 

4

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

 

 

Index Definitions

 

Bloomberg Global Aggregate Index: is a broad-based benchmark that is considered representative of global investment-grade, fixed-income markets.

 

Bloomberg US Corporate Investment Grade Index: is a broad-based benchmark that measures the investment-grade, fixed-rate, taxable corporate bond market.

 

Bloomberg US Aggregate Bond Index: The Bloomberg Barclays U.S. Aggregate Bond Index is a benchmark index composed of U.S. securities in Treasury, government-related, corporate and securitized sectors. It includes securities that are of investment-grade quality or better, have at least one year to maturity and have an outstanding par value of at least $250 million.

 

Dow Jones Industrial Average: The Index measures the stock performance of 30 large companies listed on stock exchanges in the United States.

 

FTSE UK Series All-Share Index: is a capitalization-weighted index, comprising around 600 of more than 2,000 companies traded on the London Stock Exchange.

 

ICE BofA US High Yield Constrained Index: tracks the performance of below-investment-grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market; exposure to individual issuers is capped at 2%.

 

JP Morgan EMBI Global Diversified Index: tracks the performance of external debt instruments (including U.S.-dollar-denominated and other external-currency-denominated Brady bonds, loans, eurobonds and local-market instruments) in emerging markets.

 

JP Morgan GBI-EM Global Diversified Composite Index: tracks the performance of debt instruments issued in local currencies by emerging-market governments.

 

MSCI Europe Index: is a free float-adjusted market-capitalization-weighted index designed to measure the performance of large- and mid-capitalization stocks across developed-market countries in Europe.

 

MSCI Emerging Markets Index: is a free float-adjusted market-capitalization-weighted index designed to measure the performance of global emerging-market equities.

 

MSCI World Index: is a free float-adjusted market-capitalization-weighted index that is designed to measure the equity-market performance of developed markets. The Index consists of 24 developed-market country indexes.

 

Russell 1000® Index: includes 1,000 of the largest U.S. stocks based on market cap and current index membership; it is used to measure the activity of the U.S. large-cap equity market.

 

Russell 2000® Index: The Russell 2000 Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000® Index.

 

S&P 500 Index: is an unmanaged, market-weighted index that consists of 500 of the largest publicly-traded U.S. companies and is considered representative of the broad U.S. stock market.

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

5

 

 

 

 

 

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE (Unaudited)

JULY 31, 2022

Diversified Equity Fund

 

I. Objective

 

The investment objective of the Diversified Equity Fund (the “Fund”) is capital appreciation.

 

II. Adviser Managed Strategy Component

 

Only persons who are clients of the Financial Adviser (as defined below) and who participate in the Adviser Managed Strategy should invest in the Fund. The Fund may not be purchased by any other investor. The Fund is designed to be a component of a broader strategy employed by a third party investment manager (“Financial Adviser”) for the benefit of its clients. The Financial Adviser seeks to take advantage of broad market changes by tactically shifting its clients' assets among the Fund, the Core Fixed Income Fund, the Enhanced Fixed Income Fund, and a money market fund affiliated with the Fund, depending on the Financial Adviser's evaluation of current market conditions (“Adviser Managed Strategy or Strategy”). The Financial Adviser is not the adviser to the Fund and is not affiliated with SEI Investments Management Corporation (“SIMC”), the adviser to the Fund.

 

When the Financial Adviser determines to reallocate its clients' assets to one or more of the other funds that compose the Adviser Managed Strategy, the Financial Adviser may request the redemption of a substantial portion of, or all of, the shares for which the Financial Adviser exercises investment discretion. In such an instance, the Financial Adviser's notice of its intent to redeem or formal redemption request (collectively, “Redemption Request”) will cause the Fund to liquidate a substantial portion of, or substantially all of, its assets in order to fulfill the Redemption Request. If the Financial Adviser's Redemption Request includes all of the shares for which it exercises investment discretion, the Fund will no longer be an active component of the Adviser Managed Strategy. When the Fund is not an active component of the Adviser Managed Strategy, the Fund may invest up to 100% of its remaining assets in cash, money market instruments, repurchase agreements and other short-term obligations pending the Financial Adviser's formal redemption request; and exchange-traded funds (“ETFs”) that are designed to track the performance of the broad U.S. equity market. The Fund could be invested in these types of investments for extended periods of time. At such times, SIMC will manage the assets of the Fund. SIMC, the Financial Adviser or one or more of their affiliates will be the only investors in the Fund following the Financial Adviser's redemption of all of its clients' shares from the Fund. Due to this Strategy, the Fund may buy and sell securities and other instruments frequently.

 

III. Investment Approach

 

Under normal circumstances, and when the Fund is an active component of the Adviser Managed Strategy, the Fund will invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in equity securities of U.S. and non-U.S. issuers of various market capitalizations and industries.

 

It is expected that the Fund will invest: (i) at least 50% of its assets in a portfolio of securities designed to track, before fees and expenses, the performance of one or more indexes that represent broad exposure to the U.S. equity market (U.S. Equity Index); (ii) up to 40% of its assets in a portfolio of securities designed to track, before fees and expenses, the performance of one or more indexes that represent broad exposure to equity securities of issuers located in developed market countries outside of the U.S. (Developed Foreign Market Equity Index); and (iii) up to 20% of its assets in a portfolio of securities designed to track, before fees and expenses, the performance of one or more indexes that represent broad exposure to equity securities of issuers located in emerging market countries (Emerging Market Equity Index). Although SIMC will actively determine the percentage of the Fund that will be allocated to each of the U.S. Equity, Developed Foreign Market Equity and Emerging Market Equity Indexes (each, an Index, and collectively, the Indexes), the assets allocated to each Index will be managed using a passive approach. SIMC may adjust the Fund's allocation of assets among the Indexes over time on the basis of its long-term capital market assumptions.

 

The Fund's investment performance will depend on SIMC's allocation decisions with respect to the Indexes, the Fund's tracking of the Indexes and the performance of the Indexes. The Fund's ability to track the performance of each Index will be affected by the size and timing of cash flows into and out of the Fund, changes in SIMC's allocation of assets among the Indexes, and the Fund's fees and expenses.

 

The Fund generally will attempt to invest in securities composing an Index in approximately the same proportions as they are represented in the Index. It may not be possible or practicable to purchase all of the securities composing an Index or to hold them in the same weightings as they are represented in the Index. In those cases, the Fund's sub-adviser (the Sub-Adviser) may employ a representative sampling or index optimization technique to replicate the Index. In seeking to track the performance of each Index, the Fund may invest in the following securities, not all of which may be constituents of an Index: common stocks, preferred stocks, depositary receipts, rights, warrants, ETFs, real estate investment trusts (REITs), and futures contracts. The Fund may use ETFs or futures contracts in lieu of

 

 

 

6

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

investing directly in the securities making up the Index to obtain exposure to the equity markets, including during high volume periods of activity in the Fund, and may invest in certain fixed income instruments, such as Treasury bills, to serve as margin or collateral for such futures positions.

 

The Strategy is implemented by SSGA Funds Management, Inc., as sub-advisor under the general supervision of SIMC.

 

When the Fund is not an active component of the Adviser Managed Strategy, SIMC will act as the sole manager to the Fund, and a sub-adviser will not be used.

 

IV. Returns

 

From the Fund’s inception date on March 30, 2022 to the fiscal year ended July 31, 2022, the Fund returned -11.38%.

 

V. Performance Discussion

 

The Fund was an active part of the Adviser Managed Strategy for the period spanning March 30, 2022 to April 25, 2022. During this active period, the Fund returned -5.32% compared to -5.11% for the S&P 500 Index. While the benchmark of the Fund generally tracks large-cap U.S. equities, the Fund also seeks passive exposure to U.S. small caps, as well as stocks in developed- and emerging-market countries. During this period, the Fund’s allocation to U.S. small-cap stocks as well as non-U.S. stocks caused it to underperform the S&P 500 Index. As mentioned in the shareholder letter, concerns about a looming recession, higher interest rates, and surging inflation weakened the backdrop for risk assets during the final four months of the fiscal year.

 

U.S. large-cap stocks (as represented by the Russell 1000 Index) returned -5.22% during the active period, which was more or less in line with the S&P 500 Index return during the same period.

 

The Fund’s exposure to small-cap stocks had a slightly negative impact during the period. Small caps (as represented by the Russell 2000 Index) returned -5.56% during the active period. On the margins, investors preferred the perceived safety of larger, more established large and mega cap companies to small-cap companies.

 

The passive exposure to developed-market stocks outside the U.S. moderately detracted during the period, as the MSCI EAFE Index returned -6.28% during the active period. Developed-market international stocks underperformed U.S. stocks primarily due to their greater exposure to the ongoing Russia-Ukraine conflict.

 

The Fund’s exposure to emerging-market equities was a headwind to performance, with these stocks (as represented by the MSCI Emerging Markets Index)

 

returning -8.23% during the active period. The primary reason for this was the underperformance of Latin American countries within the Index, as these regions faced a number of challenges related to inflation, interest rate hikes, depreciating local currencies, and weakening growth. China was also a detractor due to ongoing lockdowns related to the country’s “Zero-Covid” policy.

 

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

 

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

7

 

 

 

 

 

SCHEDULE OF INVESTMENTS

July 31, 2022

Diversified Equity Fund

 

 

 

 

Percentages are based on total investments.

 

             

Description

 

Shares

   

Market Value
($ Thousands)

 

EXCHANGE TRADED FUND — 102.1%

United States — 102.1%

SPDR S&P 500 Trust

    359     $ 148  
                 
               

Total Exchange Traded Fund

               

(Cost $142) ($ Thousands)

            148  
                 
                 
                 

Total Investments — 102.1%

               

(Cost $142) ($ Thousands)

  $ 148  
                 

 

Percentages are based on a Net Assets of $145 ($ Thousands).

 

 

Cl — Class

S&P — Standard & Poor's

SPDR — Standard & Poor's Depository Receipt

 

As of July 31, 2022, all of the Fund's investments were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

 

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

 

 
 
 

 

The following is a summary of the transactions the Fund had with affiliates for the period ended July 31, 2022 ($ Thousands):

 

Security Description

 

Value
7/31/2021

   

Purchases at
Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

   

Change in Unrealized Appreciation (Depreciation)

   

Value 7/31/2022

   

Shares

   

Dividend Income

   

Capital Gains

 

SEI Daily Income Trust, Government Fund, Cl F

  $     $ 188,731     $ (188,731 )   $     $     $           $ 2     $  

 

Amounts designated as “—” are either $0 or have been rounded to $0.

 

The accompanying notes are an integral part of the financial statements.

 

 

8

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

 

STATEMENT OF ASSETS AND LIABILITIES ($ Thousands)

July 31, 2022

 

 

 

   

Diversified Equity
Fund
(1)

 

Assets:

       

Investments, at value

  $ 148  

Cash

    15  

Receivable from administrator

    24  

Total Assets

    187  

Liabilities:

       

Audit fees payable

    30  

Custody fees payable

    10  

Accrued expense payable

    2  

Total Liabilities

    42  

Net Assets

  $ 145  

Cost of investments

  $ 142  

Net Assets:

       

Paid-in capital — (unlimited authorization — no par value)

  $ 10,583  

Total accumulated losses

    (10,438 )

Net Assets

  $ 145  

Net Asset Value, Offering and Redemption Price Per Share

  $ 8.86  
    ($144,582 ÷ 16,317 shares )

 

(1)As of July 31, 2022, the Fund was not an active component of the Adviser Managed Strategy (see Note 1).

The accompanying notes are an integral part of the financial statements.

 

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

9

 

 

 

 

 

 

STATEMENT OF OPERATIONS ($ Thousands)

For the period ended July 31, 2022

 

 

 

   

Diversified Equity

Fund(1)(2)

 

Investment income:

       

Dividends

  $ 87  

Dividends from affiliated investments (3)

    2  

Interest income

    3  

Total investment income

    92  

Expenses:

       

Shareholder servicing fees

    33  

Administration fees

    26  

Investment advisory fees

    26  

Trustee fees

    1  

Professional fees

    32  

Custodian/wire agent fees

    11  

Printing fees

    2  

Other expenses

    6  

Total expenses

    137  

Less:

       

Waiver of investment advisory fees

    (21 )

Waiver of administration fees

    (26 )

Reimbursement from administrator

    (23 )

Net expenses

    67  

Net investment income

    25  

Net realized gain (loss) on:

       

Investments

    (9,319 )

Futures contracts

    (4,451 )

Net realized loss

    (13,770 )

Net change in unrealized appreciation (depreciation) on:

       

Investments

    6  

Net change in unrealized appreciation (depreciation)

    6  

Net realized and unrealized loss

    (13,764 )

Net decrease in net assets resulting from operations

  $ (13,739 )

 

(1)Commenced operations on March 30, 2022.
(2)For the period April 26, 2022 through July 31, 2022, the Fund was not an active component of the Adviser Managed Strategy (see Note 1).
(3)See Note 4 in the Notes to Financial Statements.

Amounts designated as "—" are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

 

 

 

10

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

STATEMENT OF CHANGES IN NET ASSETS ($ Thousands)

For the period ended July 31, 2022

 

 

 

   

Diversified Equity

Fund(1)(2)

 
      July 31, 2022  

Operations:

       

Net investment income

  $ 25  

Net realized loss

    (13,770 )

Net change in unrealized appreciation (depreciation)

    6  

Net decrease in net assets resulting from operations

    (13,739 )

Distributions:

    (30 )

Capital share transactions:(3)

       

Proceeds from shares issued

    175,581  

Cost of shares redeemed

    (161,667 )

Net increase in net assets derived from capital share transactions

    13,914  

Net increase in net assets

    145  

Net assets:

       

Beginning of period

     

End of period

  $ 145  

 

(1)Commenced operations on March 30, 2022.
(2)For the period April 26, 2022 through July 31, 2022, the Fund was not an active component of the Adviser Managed Strategy (see Note 1).
(3)See Note 5 in the Notes to Financial Statements for additional information.

Amount designated as "—" is $0.

The accompanying notes are an integral part of the financial statements.

 

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

11

 

 

 

 

 

FINANCIAL HIGHLIGHTS

For the period ended July 31, 2022

For a share outstanding throughout the period

 

 

 

   

Net asset value, beginning of period

   

Net
investment
income(1)

   

Net realized and unrealized gains (losses) on securities(1)

   

Total from
operations

   

Dividends from net investment income

   

Distributions from realized gains

   

Total dividends
and distributions

   

Net asset value,
end of period

   

Total Return

   

Net assets,
end of period
($ Thousands)

   

Ratio of
net expenses
to average
net assets

   

Ratio of expenses to average net assets (excluding waivers and reimbursements)

   

Ratio of net investment income to average net assets

   

Portfolio turnover

 

Diversified Equity Fund

2022*(2)

  $ 10.00     $ 0.01     $ (1.15 )   $ (1.14 )   $ ^   $     $ ^   $ 8.86       (11.38 )%   $ 145       0.50 %     1.04 %     0.19 %     6,822 %(3)

 

*

Commenced operations on March 30, 2022. All ratios for the period have been annualized.

Returns and portfolio turnover rate are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares.

^

Amount is less than $0.005 per share.

Includes return of capital of less than $0.005 per share.

(1)

Per share net investment income and net realized and unrealized gains (losses) calculated using average shares.

(2)

For the period April 26, 2022 through July 31, 2022, the Fund was not an active component of the Adviser Managed Strategy (see Note 1).

(3)

Portfolio turnover rate reflects the Financial Advisor’s strategy to exercise its investment discretion which lead to the Fund buying and selling securities and other instruments frequently. Please see Note 1 for further details.

 

 

The accompanying notes are an integral part of the financial statements.

 

 

12

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

 

 

 

NOTES TO FINANCIAL STATEMENTS

July 31, 2022

 

1. ORGANIZATION

 

Adviser Managed Trust (the “Trust”) was established as a Delaware statutory trust under an Agreement and Declaration of Trust dated September 22, 2010. The Trust commenced operations on February 25, 2011.

 

The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment management company with three registered funds: Diversified Equity Fund (the “Fund”), the Core Fixed Income Fund, and the Enhanced Fixed Income Fund, each of which is a diversified fund. The Fund commenced operations on March 30, 2022. The Trust’s prospectus provides a description of the Fund’s investment objective and strategies.

 

Only persons who are clients of the Financial Adviser (as defined below) and who participate in the Adviser Managed Strategy should invest in the Fund. The Fund may not be purchased by any other investor. The Fund is designed to be a component of a broader strategy employed by a third party investment manager (“Financial Adviser”) for the benefit of its clients. The Financial Adviser seeks to take advantage of broad market changes by tactically shifting its clients’ assets among the Fund, the Core Fixed Income Fund, the Enhanced Fixed Income Fund, and a money market fund affiliated with the Fund, depending on the Financial Adviser’s evaluation of current market conditions (“Adviser Managed Strategy or Strategy”). The Financial Adviser is not the adviser to the Fund, and is not affiliated with SEI Investments Management Corporation (“SIMC”), the adviser to the Fund.

 

When the Financial Adviser determines to reallocate its clients’ assets to one or more of the other funds that compose the Adviser Managed Strategy, the Financial Adviser may request the redemption of a substantial portion of or all of the shares for which the Financial Adviser exercises investment discretion. In such an instance, the Financial Adviser’s notice of its intent to redeem or formal redemption request (collectively, “Redemption Request”) will cause the Fund to liquidate a substantial portion of or substantially all of its assets in order to fulfill the Redemption Request. If the Financial Adviser’s Redemption Request includes all of the shares for which it exercises investment discretion, the Fund will no longer be an active component of the Adviser Managed Strategy.

 

When the Fund is not an active component of the Adviser Managed Strategy, the Fund may invest up to 100% of its remaining assets in cash, money market instruments, repurchase agreements and other short-term obligations pending the Financial Adviser’s formal redemption request; and exchange-traded funds (ETFs) that are designed to track the performance of the broad U.S. equity market. The Fund could be invested in these types of investments for

 

extended periods of time. At such times, SIMC will manage the assets of the Fund. SIMC, the Financial Adviser or one or more of their affiliates will be the only investors in the Fund following the Financial Adviser’s redemption of all of its clients’ shares from the Fund. Due to this strategy, the Fund may buy and sell securities and other instruments frequently.

 

During the period April 26, 2022 through July 31, 2022, the Fund was not an active component of the Adviser Managed Strategy.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The following are significant accounting policies, which are consistently followed in the preparation of its financial statements by the Fund. The Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).

 

Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (other than securities traded on National Association of Securities Dealers Automated Quotations (NASDAQ) or as otherwise noted below) at the last quoted sale price on an exchange or market (foreign or domestic) on which the securities are traded, or, if there is no such reported sale, at the most recent quoted bid price. The Fund values securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or collateralized debt obligations (including collateralized loan obligations), such as those held by the Fund, are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker supplied valuations or other methodologies designed to identify the market value for such securities. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable net asset value, with the exception of ETFs, which are priced as equity securities. The prices of foreign securities are reported in local currency and

 

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

13

 

 

 

 

 

 

NOTES TO FINANCIAL STATEMENTS (Continued)

July 31, 2022

 

converted to U.S. dollars using currency exchange rates. If a security’s price cannot be obtained, as noted above, the Fund will value the securities using a bid price from at least one independent broker. If such prices are not readily available or cannot be valued using the methodologies described above, the Fund will value the security using the Fund’s Fair Value Pricing Policies and Procedures (“Fair Value Procedures”), as described below.

 

On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Fund’s Fair Value Procedures until a price from an independent source can be secured. Securities held by the Fund with remaining maturities of 60 days or less may be valued by the amortized cost method, which involves valuing a security at its cost on the date of purchase and thereafter (absent unusual circumstances) assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuations in general market rates of interest on the value of the instrument. While this method provides certainty in valuation, it may result in periods during which value, as determined by this method, is higher or lower than the price the Fund would receive if it sold the instrument. Further, the value of securities in the Fund can be expected to vary inversely with changes in prevailing interest rates. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used.

 

Options and warrants are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price.

 

Futures and swaps cleared through a central clearing house (“centrally cleared swaps”) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the time the Fund calculates its NAV, the settlement price may not be available at the time at which the Fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value the Fund’s futures or centrally cleared swaps position.

 

Foreign currency forward contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the thirty, sixty, ninety and one-hundred eighty day forward rates provided by an independent source.

 

Prices for most securities held by the Fund are provided daily by third-party independent pricing agents. SIMC or a Sub-Adviser (“Sub Adviser”), as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable, will continuously monitor the reliability of prices obtained from any pricing service and shall promptly notify the Fund’s administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Fund’s administrator, in turn, will notify the Fair Value Pricing Committee (the “Committee”) if it receives such notification from SIMC or a Sub-Adviser, as applicable, or if the Fund’s administrator reasonably believes that a particular pricing service is no longer a reliable source for prices.

 

The Fund’s Fair Value Procedures provide that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board of Trustees (“Board”) or its designated sub-committee. However, when the change would not materially affect valuation of the Fund’s net assets or involve a material departure in pricing methodology from that of the Fund’s existing pricing agent or pricing methodology, approval may be obtained at the next regularly scheduled meeting of the Board.

 

Securities for which market prices are not readily available, for which market prices are determined to be unreliable, or which cannot be valued using the methodologies described above are valued in accordance with the Fair Value Procedures established by the Board. The Fund’s Fair Value Procedures are implemented through the Committee designated by the Board. The Committee is currently composed of two members of the Board, as well as representatives from SIMC and its affiliates. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: (i) the security’s trading has been halted or suspended, (ii) the security has been delisted from a national exchange, (iii) the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open, or (iv) the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. Examples of factors the Committee may consider include: (i) the facts giving rise to the need to fair value, (ii) the last trade price, (iii) the performance of the market or the issuer’s industry, (iv) the liquidity of the security, (v) the size of the holding in the Fund, or (vi) any other appropriate information.

 

The determination of a security’s fair value price often involves the consideration of a number of subjective

 

 

 

14

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

 

factors, and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.

 

For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which the Fund calculates its Net Asset Value (“NAV”). The closing prices of such securities may no longer reflect their market value at the time the Fund calculates NAV if an event that could materially affect the value of those securities (a “Significant Event”), including substantial fluctuations in domestic or foreign markets or occurrences not tied directly to the securities markets, such as natural disasters, armed conflicts or significant governmental actions, has occurred between the time of the security’s last close and the time that the Fund calculates NAV. The Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Fund does not price its shares. As a result, the NAV of the Fund’s shares may change on days when shareholders will not be able to purchase or redeem Fund shares.

 

A Significant Event may relate to a single issuer or to an entire market sector. If SIMC or the Sub-Adviser becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates NAV, it may request that a Committee meeting be called. In addition, the Fund uses several processes, with respect to certain securities to monitor the pricing data supplied by various sources, including price comparisons and price movements. Any identified discrepancies are researched and subject to the procedures described above.

 

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

 

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

 

Level 1 — quoted prices in active markets for identical investments

 

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)

 

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

 

Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the New York Stock Exchange. These are generally categorized as Level 2 in the hierarchy.

 

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. For certain collateralized debt obligations, corporate obligations, mortgage backed securities, auction rate preferred securities and loan participations where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

 

The valuation techniques used by the Fund to measure fair value during the period ended July 31, 2022, maximized the use of observable inputs and minimized the use of unobservable inputs.

 

For the period ended July 31, 2022, there have been no significant changes to the Trust’s fair valuation methodologies.

 

For details of the investment classification, reference the Schedule of Investments.

 

Security Transactions and Investment Income — Security transactions are recorded on the trade date. Cost used

 

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

15

 

 

 

 

 

 

NOTES TO FINANCIAL STATEMENTS (Continued)

July 31, 2022

 

in determining realized capital gains and losses on the sale of securities is determined on the basis of specific identification. Dividend income and expense recognized on the ex-dividend date, and interest income or expense recognized using the accrual basis of accounting.

 

Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.

 

Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.

 

Repurchase Agreements — Securities pledged as collateral for repurchase agreements are held by the Fund’s custodian bank until the repurchase date of the repurchase agreement. The Fund also may invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker’s custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited. There were no outstanding repurchase agreements as of July 31, 2022.

 

Reverse Repurchase Agreements — To the extent consistent with its investment objective and strategies, the Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in a segregated account with the custodian. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds under the reverse repurchase agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no

 

outstanding reverse repurchase agreements as of July 31, 2022.

 

Foreign Currency Translation — The books and records of the Fund’s investments in international securities are maintained in U.S. dollars on the following basis:

 

(i) market value of investment securities, assets and liabilities at the current rate of exchange; and

 

(ii) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.

 

The Fund does not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.

 

The Fund reports certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.

 

Forward Foreign Currency Contracts — To the extent consistent with its investment objective and strategies, the Fund may enter into forward foreign currency contracts for hedging or speculative purposes with respect to either specific transactions, fund positions or anticipated fund positions. All commitments are marked-to-market daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Fund realizes gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

 

Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. Refer to the Fund’s Schedule of Investments for details regarding open forward foreign currency contracts as of July 31, 2022, if applicable.

 

Futures Contracts — The Fund utilized futures contracts during the period ended July 31, 2022. During the period March 30, 2022 (commencement of operations) through July 31, 2022, the average monthly long notional balance and average monthly short notional balance were $8,465 ($ Thousands) and $(8,465) ($ Thousands), respectively. To the extent consistent with its investment objective and strategies, the Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked

 

 

 

16

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.

 

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.

 

Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. Refer to the Fund’s Schedule of Investments for details regarding open futures contracts as of July 31, 2022, if applicable.

 

Options/Swaptions Writing/Purchasing — To the extent consistent with its investment objective and strategies, the Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing portfolio securities, or securities that the Fund intends to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. The Fund may also invest in financial option/swaption contracts to enhance its returns. When the Fund writes or purchases an option/swaption, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option/swaption written or purchased. Premiums received or paid from writing or purchasing options/swaptions which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option/swaption is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss.

 

The risk in writing a call option/swaption is the Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is the Fund may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is the Fund may pay a premium whether or not the option/swaption is exercised. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable

 

price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.

 

Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statement of Assets and Liabilities. The Fund did not hold any option/swaption contracts as of July 31, 2022.

 

Swap Agreements — To the extent consistent with its investment objective and strategies, the Fund may invest in swap contracts for speculative or hedging purposes. Swaps may be used to synthetically obtain exposure to securities or baskets of securities. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Interest rate swaps involve the exchange by the Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by the Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by the Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage the Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. The Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to

 

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

17

 

 

 

 

 

 

NOTES TO FINANCIAL STATEMENTS (Continued)

July 31, 2022

 

perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements securities may be set aside as collateral by the Fund’s custodian.

 

Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Net payments of interest are recorded as realized gains or losses.

 

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.

 

These risks may be mitigated by having a master netting arrangement between the Fund and the counterparty and by having the counterparty post collateral to cover the Fund’s exposure to the counterparty. See Note 3 for further details. The Fund did not hold any swap contracts as of July 31, 2022.

 

Delayed Delivery Transactions — To the extent consistent with its investment objective and strategies, the Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.

 

Loan Participations and Brady Bonds — To the extent consistent with its investment objective and strategies, the Fund may invest in U.S. dollar-denominated fixed - and floating-rate loans (“Loans”) arranged through private negotiations between a foreign sovereign entity and one or more financial institutions (“Lenders”). The Fund invests in such Loans in the form of participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties. Participations typically result in this Fund having a contractual relationship only with the Lenders, not with the sovereign borrowers. This Fund has the right

 

to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation.

 

Certain debt obligations, customarily referred to as “Brady Bonds,” are created through the exchange of existing commercial bank loans to foreign entities for new obligations in connection with debt restructuring under a plan introduced by former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only been issued since 1989, and, accordingly, do not have a long payment history. They are issued by governments that may have previously defaulted on the loans being restructured by the Brady Bonds, so they are subject to the risk of default by the issuer. They may be fully or partially collateralized or uncollateralized and issued in various currencies. As of July 31, 2022, the Fund did not hold any loans.

 

Collateralized Debt Obligations — To the extent consistent with its investment objective and strategies, the Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed security. A CLO is a trust, typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.

 

For CDOs, the cash flows from the Trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.

 

 

 

18

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which the Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Fund as illiquid securities; however, an active dealer market may exist for CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline CDOs that are subordinate structure of the investment and investment results. The Fund did not hold any CDOs or CLOs as of July 31, 2022.

 

Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders annually. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Fund.

 

Investments in Real Estate Investment Trusts (“REITs”) — Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

 

3. DERIVATIVE TRANSACTIONS

 

The Fund is subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow the Fund to close out and net its total exposure to a specific counterparty entity in the event of a default with respect to all the transactions governed under a single agreement with a specific counterparty entity.

 

Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged

 

exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Securities and U.S. dollar cash are generally the preferred forms of collateral. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of investments at value (securities) or deposits due from counterparties (cash). Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as deposits due to counterparties. The market value of any securities received as collateral is not reflected as a component of net asset value. The Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.

 

Customer account agreements and related addendums govern exchange traded derivatives transactions such as futures, options on futures, and centrally cleared swaps. Exchange traded derivative transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the Commodities Futures Trading Commission (“CFTC”), or the applicable regulator. In the US, counterparty risk is significantly reduced as creditors of the futures broker do not have claim to Fund assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Fund. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared Over the Counter (“OTC”) derivatives.

 

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by the Fund and select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add additional counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third party custodian.

 

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

19

 

 

 

 

 

NOTES TO FINANCIAL STATEMENTS (Continued)

July 31, 2022

 

4. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENT SUB-ADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

 

Investment Advisory, Administration & Distribution Agreements — SIMC serves as investment adviser (the “Adviser”) to the Fund. In connection with serving as Adviser, SIMC is entitled to a fee that is calculated daily and paid monthly, based on the average daily net assets of the Fund.

 

The Trust and SEI Investments Global Funds Services (the “Administrator”) are parties to an Administration and Transfer Agency Agreement under which the Administrator provides administrative and transfer agency services for annual fees, based on the average daily net assets of the Fund.

 

SEI Investments Distribution Co. (the “Distributor”), serves as the Fund’s Distributor pursuant to a distribution agreement with the Trust. The Fund has adopted a shareholder services plan (the “Service Plan”) with respect to the Shares that allows such Shares to pay service providers a fee in connection with the ongoing servicing of shareholder accounts owning such Shares at an annual rate of average daily net assets of the Shares. The Fund’s Service Plan provides that shareholder servicing fees on the Shares will be paid to the Distributor, which may be used by the Distributor to compensate financial intermediaries for providing shareholder services with respect to the Shares.

 

The Fund’s administrator and/or its affiliates have contractually agreed to waive fees or reimburse expenses for the Fund until November 30, 2022, in order to keep total fund operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes and other extraordinary expenses not incurred in the ordinary course of the Fund’s business) from exceeding the levels specified in the table below. These contractual waivers and reimbursements will only apply if a Fund’s total operating costs exceed the applicable thresholds and will not affect the Fund’s total operating costs if they are less than the applicable thresholds. In other words, shareholders will pay the lower of the Fund’s actual total fund operating expenses or total fund operating expenses after contractual waivers and expense reimbursements. The contractual waiver and expense reimbursement are limited to the Fund’s direct operating expenses and, therefore, do not apply to indirect expenses incurred by the Fund, such as acquired fund fees and expenses (“AFFE”). The agreement may be amended or terminated only with the consent of the Board of Trustees.

 

The Fund’s adviser, the Fund’s administrator and/or the Fund’s distributor have voluntarily agreed to waive a portion of their fees in order to keep total direct operating expenses (exclusive of interest from borrowings, brokerage commissions, trustee fees, taxes and extraordinary expenses not incurred in the ordinary course of the Fund’s business) at the levels specified in the table below. The voluntary waivers of the Fund’s adviser, Fund’s administrator and Fund’s distributor are limited to the Fund’s direct operating expenses and therefore do not apply to indirect expenses incurred by the Fund, such as AFFE, if any. The Fund’s adviser, the Fund’s administrator and/or the Fund’s distributor may discontinue all or part of these waivers at any time.

 

The following is a summary of annual fees payable to the Adviser and Distributor and the expense limitations for the Fund:
                         
   

Advisory
Fee

   

Shareholder
Servicing
Fee

   

Contractual
Expense
Limitation

   

Voluntary
Expense
Limitation

 

Diversified Equity Fund

    0.20 %     0.25 %     0.75 %     0.50 %

 

The following is a summary of annual fees payable to the Administrator:

 

   

Contractual Fees

 
      First $2.5 Billion       Next $500 Million       Over $3 Billion                  

Diversified Equity Fund

    0.200 %     0.1650 %     0.120 %                

 

As of July 31, 2022, SIMC has entered into an investment sub-advisory agreement with the following party and pays the sub-adviser out of the fee that it receives from the Fund:

 

 

Investment Sub-Adviser

 

 

Diversified Equity Fund

SSgA Funds Management, Inc.

 

Other — The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on Fund transactions effected for the Trust in accordance with Securities and Exchange Commission (“SEC”) rules. Accordingly, it is expected that Fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions.

 

There were no such commissions for the period ended July 31, 2022.

 

Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers or directors of the Distributor or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings.

 

Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator.

 

A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred.

 

Fees Paid Indirectly — The Fund may direct certain fund trades to the Distributor who pays a portion of the Fund’s expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, can be found on the Statement of Operations and the effect on the Fund’s expense ratio, as a percentage of the Fund’s average daily net assets for the period ended July 31, 2022, can be found on the Financial Highlights, if applicable.

 

Investment in Affiliated Security — The Fund may invest in the SEI Daily Income Trust Government Fund, an affiliated money market fund to manage excess cash or to serve as margin or collateral for derivative positions. The Fund may also purchase securities of certain companies with which it is affiliated to the extent these companies are represented in an index that the Adviser or Sub-Adviser is

  

 

 

20

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

 

 
 

passively seeking to replicate in accordance with the Fund’s investment strategy.

 

Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“the Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula reviewed annually by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.

 

As of, and during the period ended July 31, 2022, the Trust had not participated in the Program.

 

5. CAPITAL SHARE TRANSACTIONS

 

Capital Share Transactions for the period ended July 31, 2022 for the Fund were as follows (Thousands):

 

  

Diversified Equity Fund

 
    2022 
Shares Issued   17,582 
Shares Redeemed   (17,566)
Increase in capital share transactions   16 

 

Commenced operations on March 30, 2022.

 

6. INVESTMENT TRANSACTIONS

 

The cost of security purchases and the proceeds from the sale and maturities of securities other than temporary cash investments during the period ended July 31, 2022, were as follows:

 

   

U.S. Gov't
($ Thousands)

   

Other
($ Thousands)

   

Total
($ Thousands)

 

Diversified Equity Fund

Purchases

  $     $ 137,444     $ 137,444  

Sales

          127,983       127,983  

 

7. FEDERAL TAX INFORMATION

 

It is the Fund’s intention to continue to qualify as a regulated investment company, under Sub chapter M of the Internal Revenue Code, and to distribute all of its taxable income and net capital gains. Accordingly, no provision for Federal income taxes is required.

 

Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under U.S. GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital and distributable earnings (loss), as appropriate, in the period that the differences arise.

 

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

21

 

 

 

 

 

 

NOTES TO FINANCIAL STATEMENTS (Continued)

July 31, 2022

 

The permanent differences primarily consist of reclassification of long term capital gain distribution on REITs, and investments in PFICs. The permanent differences that are credited or charged to paid-in capital and distributable earnings (accumulated losses) are related to capital losses lost and have been reclassified to/from the following accounts as of July 31, 2022:

 

   

Distributable Earnings
(Accumulated Loss)
($ Thousands)

   

Paid-in-
Capital
($ Thousands)

 

Diversified Equity Fund

  $ 3,331     $ (3,331 )

 

These reclassifications had no impact on net assets or net asset value per share.

 

 

 

The tax character of dividends and distributions paid during the fiscal year were as follows:

 

   Ordinary
Income
($ Thousands)
  Return of Capital
($ Thousands)
  Total
($ Thousands)

Diversified Equity Fund 2022

   $29   $1   $30 

 

As of July 31, 2022, the components of Accumulated Losses on a tax basis were as follows:

 

   Capital
Loss
Carryforwards
($ Thousands)
  Unrealized
Appreciation
(Depreciation)
($ Thousands)
  Total
Accumulated Losses
($ Thousands)

Diversified Equity Fund

   $(10,436)  $(2)  $(10,438)

 

For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:

 

   Short-Term
Loss
($ Thousands)
  Long-Term
Loss
($ Thousands)
  Total
($ Thousands)

Diversified Equity Fund

   $7,765   $2,671   $10,436 

 

The use of these losses may be limited or permanently unavailable once the Fund becomes an active component of the Adviser Managed Strategy.

 

For Federal income tax purposes, the cost of securities owned at July 31, 2022, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes. These differences are primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years.

 

The aggregate gross unrealized appreciation and depreciation on total investments (including foreign currency and derivatives, if applicable) held by the Fund at July 31, 2022, were as follows:

 

    Federal Tax Cost
($ Thousands)
   Appreciated
Securities
($ Thousands)
   Depreciated
Securities
($ Thousands)
   Net Unrealized
Appreciation
(Depreciation)
($ Thousands)
 
 

Diversified Equity Fund

   $150   $6   $(8)  $(2)

 

Management has analyzed the Fund’s tax positions taken on Federal income tax returns for all open tax years and has concluded that as of July 31, 2022, no provision for income tax would be required in the Fund’s financial statements. The Fund’s Federal and state income and Federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

 

8. CONCENTRATION/RISKS

 

In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, management believes that, based on experience, the risk of loss from such claims is considered remote.

 

 
 

 

22

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

The following is not intended to be a complete discussion of the risks associated with investing in the Fund. Please review the Fund’s prospectus for additional disclosures regarding the principal risks associated with investing in the Fund.

 

Adviser Managed Strategy Risk — The Fund is a component of a broader investment strategy employed by the Financial Adviser known as the Adviser Managed Strategy. Pursuant to the Adviser Managed Strategy, the Financial Adviser tactically shifts its clients’ assets among the Fund and a money market fund affiliated with the Fund. These asset shifts among the funds in the Adviser Managed Strategy (i.e., an exchange of shares of one fund for shares of another fund) will be a taxable event to an investor unless the investor is investing in the Fund through a tax-deferred arrangement. As part of the Adviser Managed Strategy, substantial portions or substantially all of the Fund’s shares may be periodically sold and repurchased at the direction of the Financial Adviser. These large redemptions and repurchases will have significant effects on the management of the Fund and are expected to result in increased portfolio turnover (and related transaction costs), disruption of portfolio management strategies and the realization of significant taxable gains. If notified by the Financial Adviser of an upcoming redemption request, the Fund may begin to liquidate substantial portions or substantially all of its assets prior to the submission of the redemption request in an effort to raise the necessary cash, and the Fund will not be invested pursuant to its investment strategy during such time. Further, it is possible that, subsequent to providing such notice of an expected redemption, the Financial Adviser may withdraw that notice due to the Adviser Managed Strategy, at which point the Fund may then repurchase securities to invest to strategy resulting in the same detrimental effects to the portfolio as large share redemptions and purchases. When the Fund is required to rapidly liquidate a substantial portion of its portfolio to satisfy a large redemption order placed as part of the Adviser Managed Strategy, the Fund may be forced to sell securities at below current market values or the Fund’s selling activity may drive down the market value of securities being sold. The Fund may also be required to sell portfolio holdings at a time when the portfolio managers would otherwise not recommend doing so. For example, if the Fund were to experience a large redemption at a time of high market volatility or during a substantial market decline, the Fund would be forced to liquidate securities even though the portfolio managers may not otherwise choose to do so. When the Fund receives a large purchase order as a result of the Adviser Managed Strategy, the Fund may be required to rapidly purchase portfolio securities. This may cause the Fund to incur higher than normal transaction costs or may require the Fund to purchase portfolio securities at above current market values. Further,

 

the Fund’s purchasing activity may drive up the market value of securities being purchased or the Fund may be required to purchase portfolio securities at a time when the portfolio managers would not otherwise recommend doing so. When the Fund is not an active component of the Adviser Managed Strategy, the Fund’s investments may not be consistent with the Fund’s investment goal, and the Fund may miss investment opportunities because the assets necessary to take advantage of such opportunities are tied up in other investments or have been allocated to another fund within the Adviser Managed Strategy.

 

Asset Allocation Risk — The risk that SIMC’s decisions regarding allocation of the Fund’s assets among Indexes and for direct management will not anticipate market trends successfully.

 

Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.

 

Currency Risk — As a result of the Fund’s investments in securities denominated in and/or receiving revenues in foreign currencies, the Fund will be subject to currency risk. This is the risk that those currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency hedged. In either event, the dollar value of an investment in the Fund would be adversely affected.

 

Derivatives Risk — The Fund’s use of futures contracts, forward contracts and swaps is subject to market risk, leverage risk, correlation risk and liquidity risk. Leverage risk and liquidity risk are described below. Many over-the-counter (OTC) derivative instruments will not have liquidity beyond the counterparty to the instrument. Market risk is the risk that the market value of an investment may move up and down, sometimes rapidly and unpredictably. Correlation risk is the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. The Fund’s use of forward contracts and swap agreements is also subject to valuation risk and credit risk. Valuation risk is the risk that the derivative may be difficult to value and/or valued incorrectly. Credit risk is described below. Each of these risks could cause the Fund to lose more than the principal amount invested in a derivative instrument. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment. The other parties to certain derivative contracts present the same types of credit risk as issuers of fixed income securities. The Fund’s use of derivatives may also increase the amount of taxes payable by shareholders. Both U.S. and non-U.S. regulators have adopted and are in the process of implementing regulations governing derivatives markets, the ultimate impact of which remains unclear.

 

Economic Risks of Global Health Events — Global health events and pandemics, such as COVID-19, have the

 

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

23

 

 

 

 

 

NOTES TO FINANCIAL STATEMENTS (Continued)

July 31, 2022

 

ability to affect—quickly, drastically and substantially the economies of many nations, states, individual companies and the markets in general and can cause disruptions that cannot necessarily be foreseen. The spread of COVID-19 around the world in 2020 resulted in a substantial number of nations implementing social distancing measures, quarantines, and the shutdown of non-essential businesses and governmental services. Further, it has caused significant volatility in U.S. and international markets. The impact of the outbreak may be short term or may last for an extended period of time.

 

Exchange Traded Funds (ETFs) Risk — The risks of owning shares of an ETF generally reflect the risks of owning the underlying securities the ETF is designed to track, although lack of liquidity in an ETF could result in its value being more volatile than the underlying portfolio securities. The Fund indirectly bears the proportionate share of any fees and expenses of the ETF in addition to the fees and expenses that the Fund and its shareholders directly bear in connection with the Fund’s operations.

 

Foreign Investment/Emerging Markets Risk — The risk that non-U.S. securities may be subject to additional risks due to, among other things, political, social and economic developments abroad, currency movements and different legal, regulatory, tax, accounting and audit environments. These additional risks may be heightened with respect to emerging market countries because political turmoil and rapid changes in economic conditions are more likely to occur in these countries. Investments in emerging markets are subject to the added risk that information in emerging market investments may be unreliable or outdated due to differences in regulatory, accounting or auditing and financial record keeping standards, or because less information about emerging market investments is publicly available. In addition, the rights and remedies associated with emerging market investments may be different than investments in developed markets. A lack of reliable information, rights and remedies increase the risks of investing in emerging markets in comparison to more developed markets. In addition, periodic U.S. Government restrictions on investments in issuers from certain foreign countries may require the Fund to sell such investments at inopportune times, which could result in losses to the Fund.

 

Investment Style Risk — The risk that the Fund’s investment approach may underperform other segments of the equity markets or the equity markets as a whole.

 

Leverage Risk — The use of leverage can amplify the effects of market volatility on the Fund’s share price and may also cause the Fund to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations.

 

Liquidity Risk — The risk that certain securities may be difficult or impossible to sell at the time and the price

 

that the Fund would like. The Fund may have to lower the price of the security, sell other securities instead or forego an investment opportunity, any of which could have a negative effect on Fund management or performance.

 

Market Risk — The risk that the market value of a security may move up and down, sometimes rapidly and unpredictably. Market risk may affect a single issuer, an industry, a sector or the equity or bond market as a whole. Equity markets may decline significantly in response to adverse issuer, political, regulatory, market, economic or other developments that may cause broad changes in market value, public perceptions concerning these developments, and adverse investor sentiment or publicity. Similarly, environmental and public health risks, such as natural disasters, epidemics, pandemics or widespread fear that such events may occur, may impact markets adversely and cause market volatility in both the short- and long-term.

 

Portfolio Turnover Risk — Due to its investment strategy, the Fund may buy and sell securities frequently. This may result in higher transaction costs and taxes subject to ordinary income tax rates as opposed to more favorable capital gains rates, which may affect the Fund’s performance.

 

Real Estate Investment Trust (REITs) Risk — REITs are trusts that invest primarily in commercial real estate or real estate-related loans. The Fund’s investments in REITs will be subject to the risks associated with the direct ownership of real estate. Risks commonly associated with the direct ownership of real estate include fluctuations in the value of underlying properties, defaults by borrowers or tenants, changes in interest rates and risks related to general or local economic conditions. Some REITs may have limited diversification and may be subject to risks inherent in financing a limited number of properties.

 

Small and Medium Capitalization Risk — The risk that small and medium capitalization companies in which the Fund may invest may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, small and medium capitalization companies may have limited product lines, markets and financial resources and may depend upon a relatively small management group. Therefore, small capitalization and medium capitalization stocks may be more volatile than those of larger companies. Small capitalization and medium capitalization stocks may be traded over-the counter (OTC). OTC stocks may trade less frequently and in smaller volume than exchange listed stocks and may have more price volatility than that of exchange-listed stocks.

 

Tracking Error Risk — The risk that the Fund’s performance may vary substantially from the performance of the Indexes it tracks as a result of cash flows, Fund expenses, imperfect

 

 

 

24

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

correlation between the Fund’s investments and the Indexes’ components and other factors.

 

9. CONCENTRATION OF SHAREHOLDERS

 

SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company (“SEI”). As of July 31, 2022, SPTC held of record the following percentage of outstanding shares:

 

Diversified Equity Fund    100.00%

 

SPTC is not a direct service provider to the Fund. However, SPTC performs a key role in the comprehensive investment solution that SEI provides to investors. SPTC holds the vast majority of shares in the Fund as custodian for shareholders that are clients of the Financial Adviser. SPTC maintains omnibus accounts at the Fund’s transfer agent.

 

10. REGULATORY MATTERS

 

LIBOR Replacement — On July 27, 2017, the U.K. Financial Conduct Authority announced that it intends to stop compelling or inducing banks to submit London Inter-Bank Offered Rate (LIBOR) rates after 2021. The publication of LIBOR on a representative basis ceased for the one-week and two-month U.S. dollar LIBOR settings immediately after December 31, 2021, and is expected to cease for the remaining U.S. dollar LIBOR settings immediately after June 30, 2023. The elimination of the LIBOR may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. Such investments may include bank loans, derivatives, floating rate securities, and other assets or liabilities tied to LIBOR. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Financing Rate (SOFR), which is intended to replace U.S. dollar LIBOR. Alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates. Questions around liquidity impacted by these rates, and how to appropriately adjust these rates at the time of transition, remain a concern for the Fund. The effect of any changes to, or discontinuation of, LIBOR on the Fund will vary depending on, among other things, (1) existing fallback or termination provisions in individual contracts and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new products and instruments. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on the Fund until new reference rates and fallbacks for both legacy and new

 

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

25

 

 

 

 

NOTES TO FINANCIAL STATEMENTS (Concluded)

July 31, 2022

 

 

 

products, instruments and contracts are commercially accepted.

 

11. SUBSEQUENT EVENTS

 

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements as of July 31, 2022.

 

 

26

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

 

 

To the Shareholders of the Fund and Board of Trustees

Adviser Managed Trust:

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities of Adviser Managed Trust, comprised of the Diversified Equity Fund (the Fund), including the schedule of investments, as of July 31, 2022, the related statement of operations and the statement of changes in net assets for the period from March 30, 2022 (commencement of operations) to July 31, 2022, and the related notes (collectively, the financial statements) and the financial highlights for the period from March 30, 2022 (commencement of operations) to July 31, 2022. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2022, the results of its operations and the changes in its net assets for the period from March 30, 2022 (commencement of operations) to July 31, 2022, and the financial highlights for the period from March 30, 2022 (commencement of operations) to July 31, 2022, in conformity with U.S. generally accepted accounting principles.

 

Basis for Opinion

 

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audit included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of July 31, 2022, by correspondence with the custodian. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audit provides a reasonable basis for our opinion.

 

/s/ KPMG LLP

 

We have served as the auditor of one or more SEI Funds investment companies since 2005.

 

Philadelphia, Pennsylvania

September 28, 2022

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

27

 

 

 

 

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)

 

 

 

 

 

The following chart lists Trustees and Officers as of July 31, 2022.

 

Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of positions in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5794.

 

Name,

Address,

and Age

Position(s)

Held with

Trusts

Term of

Office and

Length of

Time Served1

Principal Occupation(s)

During Past Five Years

Number of Portfolios in Fund Complex Overseen by Trustee2

Other Directorships

Held by Trustee

INTERESTED TRUSTEES

Robert A. Nesher

One Freedom

Valley Drive

Oaks, PA 19456

75 yrs. old

Chairman

of the

Board of

Trustees*

 

since 2010

Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.

 

95

President and Director of SEI Structured Credit Fund, LP. Director of SEI Global Master Fund plc, SEI Global Assets Fund plc, SEI Global Investments Fund plc, SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe) Ltd., SEI Multi-Strategy Funds PLC, SEI Global Nominee Ltd and SEI Investments—Unit Trust Management (UK) Limited. President, Director and Chief Executive Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1989 to 2016. Trustee of SEI Insurance Products Trust from 2013 to 2020. Vice Chairman of O'Connor EQUUS (closed-end investment company) from 2014 to 2016. Vice Chairman of Winton Series Trust from 2014 to 2017. Vice Chairman of The Advisors' Inner Circle Fund III and Winton Diversified Opportunities Fund (closed-end investment company) from 2014 to 2018. Vice Chairman of Gallery Trust, Schroder Series Trust and Schroder Global Series Trust from 2015 to 2018. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, and the KP Funds. President, Chief Executive Officer and Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, Adviser Managed Trust, The New Covenant Funds and SEI Catholic Values Trust.

William M. Doran

One Freedom

Valley Drive

Oaks, PA 19456

82 yrs. old

Trustee*

since 2010

Self-employed consultant since 2003.Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003. Counsel to the Trust, SEI, SIMC, the Administrator and the Distributor.

 

 

95

Director of SEI since 1974; Secretary of SEI since 1978. Director of SEI Investments Distribution Co. since 2003. Director of SEI Investments—Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia) Limited, SEI Global Nominee Ltd. and SEI Investments—Unit Trust Management (UK) Limited. Trustee of SEI Liquid Asset Trust from 1982 to 2016. Trustee of O'Connor EQUUS from 2014 to 2016. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of Winton Series Trust from 2014 to 2017. Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II and Bishop Street Funds from 1991 to 2018. Trustee of The KP Funds from 2013 to 2018. Trustee of Winton Diversified Opportunities Fund from 2014 to 2018. Trustee of SEI Insurance Products Trust from 2013 to 2020. Trustee of The Advisors’ Inner Circle Fund III, Gallery Trust, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, Adviser Managed Trust, New Covenant Funds, Schroder Series Trust, Schroder Global Series Trust and SEI Catholic Values Trust.

TRUSTEES

 

 

 

 

 

Nina Lesavoy

One Freedom

Valley Drive,

Oaks, PA 19456

65 yrs. old

Trustee

since 2010

Founder and Managing Director, Avec Capital (strategic fundraising firm) since 2008. Managing Director, Cue Capital (strategic fundraising firm) from March 2002-March 2008.

 

95

Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2003 to 2016. Trustee of SEI Insurance Products Trust from 2013 to 2020. Trustee/Director of SEI Structured Credit Fund, L.P., SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.

James M. Williams

One Freedom

Valley Drive,

Oaks, PA 19456

74 yrs. old

Trustee

since 2010

Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds,

2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999.

95

Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2004 to 2016. Trustee of SEI Insurance Products Trust from 2013 to 2020. Trustee/Director of Ariel Mutual Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.

 

*

Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor.

1

Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

2

The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, SEI Catholic Values Trust, New Covenant Funds and SEI Exchange Traded Funds.

 

 

28

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

 

 

Name

Address,

and Age

Position(s)

Held with

Trusts

Term of

Office and

Length of

Time Served1

Principal Occupation(s)

During Past Five Years

Number of

Portfolios in

Fund Complex

Overseen

by Trustee2

Other Directorships

Held by Trustee

TRUSTEES (continued)

Mitchell A. Johnson

One Freedom

Valley Drive,

Oaks, PA 19456

80 yrs. old

Trustee

since 2010

Retired Private Investor since 1994.

95

Director, Federal Agricultural Mortgage Corporation (Farmer Mac) since 1997. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2007 to 2016. Trustee of SEI Insurance Products Trust from 2013 to 2020. Trustee of The KP Funds from 2013 to 2020. Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Catholic Responsible Investments Funds, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.

Hubert L. Harris, Jr.

One Freedom

Valley Drive,

Oaks, PA 19456

79 yrs. old

Trustee

since 2010

Retired since December 2005. Owner of Harris Plantation, Inc. since 1995. Chief Executive Officer of Harris CAPM, a consulting asset and property management entity. Chief Executive Officer,

INVESCO North America, August 2003-December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., January 1998- August 2005.

95

Director of AMVESCAP PLC from 1993-2004. Served as a director of a bank holding company, 2003-2009. Director, Aaron’s Inc., 2012-present. Member of the Board of Councilors of the Carter Center (nonprofit corporation) and served on the board of other non-profit organizations. Director of SEI Alpha Strategy Portfolios, LP from 2008 to 2013. Trustee of SEI Liquid Asset Trust from 2008 to 2016. Trustee of SEI Insurance Products Trust from 2013 to 2020. Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.

Susan C. Cote

One Freedom

Valley Drive

Oaks, PA 19456

67 years old

Trustee

since 2015

Retired since July 2015. Treasurer and Chair of Finance, Investment and Audit Committee of the New York Women's Foundation from 2009 to 2017. Americas Director of Asset Management, Ernst & Young LLP from 2006-2013. Global Asset Management Assurance Leader, Ernst & Young LLP from 2006-2015. Partner, Ernst & Young LLP from 1997-2015. Prudential, 1983-1997. Member of the Ernst & Young LLP Retirement Investment Committee, 2009-2015.

95

Trustee of SEI Insurance Products Trust from 2015 to 2020. Trustee/Director of SEI Structured Credit Fund, LP, SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.

James B. Taylor

One Freedom

Valley Drive

Oaks, PA 19456

71 years old

 

Trustee

since 2018

Retired since December 2017. Chief Investment Officer at Georgia Tech Foundation from 2008 to 2017. Director at Delta Air Lines from 1983 to 1985. Assistant Vice President at Delta Air Lines from 1985 to 1995. Chief Investment Officer at Delta Air Lines from 1995 to 2007. Member of the Investment Committee at the Institute of Electrical and Electronic Engineers from 1999 to 2004. President, Vice President and Treasurer at Southern Benefits Conference from 1998 to 2000.

95

Trustee of SEI Insurance Products Trust from 2018 to 2020. Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.

 

Christine Reynolds

One Freedom

Valley Drive

Oaks, PA 19456

63 years old

Trustee

 

 

since 2019

Retired since December 2016. Executive Vice President, Fidelity Investments from 2014-2016. President, Fidelity Pricing and Cash Management Services and Chief Financial Officer of Fidelity Funds from 2008-2014. Chief Operating Officer, Fidelity Pricing and Cash Management Services from 2007-2008. President and Treasurer, Fidelity Funds from 2004-2007. Anti-Money Laundering Officer, Fidelity Funds in 2004. Executive Vice President, Fidelity Funds from 2002-2004. Audit Partner, PricewaterhouseCoopers from 1992-2002.

95

Trustee of SEI Insurance Products Trust from 2019 to 2020. Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, New Covenant Funds, Adviser Managed Trust, SEI Catholic Values Trust and SEI Exchange Traded Funds.

Thomas Melendez

One Freedom

Valley Drive

Oaks, PA 19456

62 years old

Trustee

 

 

since 2022

Retired since 2019. Investment Officer and Institutional Equity Portfolio Manager at MFS Investment Management from 2002 to 2019. Director of Emerging Markets Group, General Manager of Operations in Argentina and Portfolio Manager for Latin America at Schroders Investment Management from 1994 to 2002.

89

Trustee of Boston Children’s Hospital, The Partnership Inc. and Brae Burn Country Club (non-profit organizations). Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Asset Allocation Trust, Adviser Managed Trust and SEI Exchange Traded Funds. Independent Consultant of New Covenant Funds and SEI Catholic Values Trust.

 

1

Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

2

The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, Catholic Values Trust, New Covenant Funds and SEI Exchange Traded Funds.

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

29

 

 

 

 

 

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)

 

 

 

Name

Address,

and Age

Position(s)

Held with

Trusts

Term of

Office and

Length of

Time Served1

Principal Occupation(s)

During Past Five Years

Number of

Portfolios in

Fund Complex

Overseen

by Trustee2

Other Directorships

Held by Trustee

OFFICERS

Robert A. Nesher

One Freedom

Valley Drive,

Oaks, PA 19456

75 yrs. Old

President

and CEO

 

since 2010

Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.

N/A

N/A

Ankit Puri

One Freedom

Valley Drive

Oaks, PA 19456

38 yrs. old

Controller

and Chief

Financial

Officer

 

since 2022

Director, Fund Accounting, SEI Investments Global Funds Services since July 2021. Associate Director, Fund Accounting Policy, Vanguard from September 2020 to June 2021. Senior Manager, Ernst & Young LLP, October 2017 to August 2020.

N/A

N/A

Glenn R. Kurdziel

One Freedom

Valley Drive

Oaks, PA 19456

48 yrs. old

Assistant Controller

since 2017

Senior Manager, Funds Accounting, SEI Investments Global Funds Services since 2005.

N/A

  N/A

Russell Emery

One Freedom

Valley Drive

Oaks, PA 19456

59 yrs. old

Chief Compliance Officer

since 2010

Chief Compliance Officer of SEI Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Tax Exempt Trust, The Advisors' Inner Circle Fund, The Advisors' Inner Circle Fund II and Bishop Street Funds since March 2006. Chief Compliance Officer of SEI Liquid Asset Trust from 2006 to 2016. Chief Compliance Officer of SEI Structured Credit Fund, LP since June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010. Chief Compliance Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Chief Compliance Officer of New Covenant Funds since February 2012. Chief Compliance Officer of SEI Insurance Products Trust from 2013 to 2020. Chief Compliance Officer of The KP Funds from 2013 to 2020. Chief Compliance Officer of O'Connor EQUUS from 2014 to 2016. Chief Compliance Officer of The Advisors' Inner Circle Fund III since 2014. Chief Compliance Officer of Winton Series Trust from 2014 to 2017. Chief Compliance Officer of Winton Diversified Opportunities Fund from 2014 to 2018. Chief Compliance Officer of SEI Catholic Values Trust and Gallery Trust since 2015. Chief Compliance Officer of Frost Family of Funds since 2019. Chief Compliance Officer of Delaware Wilshire Private Markets Fund, Delaware Wilshire Private Markets Master Fund and Delaware Wilshire Private Markets Tender Fund since 2020. Chief Compliance Officer of the Catholic Responsible Investments Funds since 2021. Chief Compliance Officer of Schroder Global Series Trust and Schroder Series Trust from 2017 to 2021.

N/A

N/A

Timothy D Barto

One Freedom

Valley Drive

Oaks, PA 19456

54 yrs. old

Vice President and Secretary

since 2010

Vice President and Secretary of SEI Institutional Transfer Agent, Inc. since 2009. General Counsel and Secretary of SIMC and the Administrator since 2004. Vice President of SIMC and the Administrator since 1999. Vice President and Assistant Secretary of SEI since 2001.

N/A

N/A

David F. McCann

One Freedom

Valley Drive,

Oaks, PA 19456

46 yrs. old

Vice

President

and

Assistant

Secretary

since 2010

General Counsel and Secretary of SEI Institutional Transfer Agent, Inc. since 2020. Vice President and Assistant Secretary of SEI Institutional Transfer Agent, Inc. since 2009-2020. Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005 - October 2008.

N/A

N/A

Katherine Mason

One Freedom

Valley Drive,

Oaks, PA 19456

42 yrs. old

Vice

President

and

Assistant

Secretary

since 2022

Consulting Attorney, Hirtle, Callaghan & Co. from October 2021 – June 2022. Attorney, Stradley Ronon Stevens & Young from September 2007 – July 2012.

N/A

N/A

Stephen G. MacRae

One Freedom

Valley Drive,

Oaks, PA 19456

54 yrs. old

Vice

President

since 2012

Director of Global Investment Product

Management since January 2004.

N/A

N/A

Bryant Smith

One Freedom

Valley Drive

Oaks, PA 19456

41 yrs. old

Anti-Money

Laundering

Compliance

Officer and

Privacy

Officer

since 2022

Mutual Fund Compliance Officer for the SEI Funds and the Advisors’ Inner Circle Series Trust from 2015-2022.

N/A

N/A

 

 

 

30

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

 

 

1

Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

2

The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Tax Exempt Trust, SEI Catholic Values Trust, New Covenant Funds and SEI Exchange Traded Funds.

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

31

 

 

 

 

 

 

DISCLOSURE OF FUND EXPENSES (Unaudited)

July 31, 2022

 

 

 

All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

 

Operating expenses such as these are deducted from the fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund’s average net assets; this percentage is known as the fund’s expense ratio.

 

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (March 30, 2022 through July 31, 2022).

 

The table on this page illustrates your fund’s costs in two ways:

 

Actual fund return: This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

 

You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

 

Hypothetical 5% return: This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.

 

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown may not apply to your specific investment.

 

   

Beginning
Account
Value
3/30/22

   

Ending
Account
Value
7/31/22

   

Annualized
Expense
Ratios

   

Expenses
Paid
During
Period

 

Diversified Equity Fund

Actual Fund Return

Class A

  $ 1,000.00     $ 886.20       0.50 %   $ 1.59 *

Hypothetical 5% Return

Class A

  $ 1,000.00     $ 1,022.32       0.50 %   $ 2.51 **

 

 

The Fund commenced operations on March 30, 2022.

 

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 123/365 (to reflect the period shown).

 

** Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect a full one-half year period).

 

 

32

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

 

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

July 31, 2022

 

 

 

Pursuant to Rule 22e-4 under the 1940 Act, the Trust, on behalf of the Fund, has adopted a liquidity risk management program (the “Program”) to govern the Trust’s approach to managing liquidity risk. The Program is overseen by the SIMC Liquidity Risk Oversight Committee, and the Program’s principal objectives include assessing, managing and periodically reviewing the Fund’s liquidity risk, based on factors specific to the circumstances of the Fund.

 

At a meeting of the Board held on March 22, 2022, the Trustees received a report from the SIMC Liquidity Risk Oversight Committee addressing the operations of the Program and assessing its adequacy and effectiveness of implementation for the series that were operational during the review period. The SIMC Liquidity Risk Oversight Committee determined, and reported to the Board, that the Program remains reasonably designed to assess and manage liquidity risk and that the Program adequately and effectively managed liquidity risk during the 2021 calendar year. The SIMC Liquidity Risk Oversight Committee also reported that with respect to the Trust there were no reportable liquidity events during the period. The SIMC Liquidity Risk Oversight Committee noted that additional monitoring processes, including manual reviews of upcoming market closures, have been implemented.

 

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

33

 

 

 

 

 

 

 

BOARD OF TRUSTEES’ CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENT (Unaudited)

 

 

 

Adviser Managed Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”), pursuant to which SIMC provides investment advisory services to a series of the Trust (the “Fund”). Pursuant to a separate sub-advisory agreement with SIMC (the “Sub-Advisory Agreement” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (each member, a “Trustee” and, collectively, the “Trustees” or the “Board”), the sub-adviser (the “Sub-Adviser”) provides security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Fund. The Sub-Adviser is also responsible for managing its employees who provide services to the Fund. The Sub-Adviser is selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Adviser’s skills and investment results in managing assets for specific asset classes, investment styles and strategies.

 

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the initial approval of a Fund’s Investment Advisory Agreements be specifically approved by the vote of a majority of the outstanding shareholders of the Fund and the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”) cast in person (or otherwise, as consistent with applicable laws, regulations and related guidance and relief) at a meeting called for such purpose. In connection with their consideration of such initial approvals, the Fund’s Trustees must request and evaluate, and SIMC and the Sub-Adviser are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.

 

Consistent with these responsibilities, the Board calls and holds meetings each year to consider whether to approve new and/or renew existing Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Adviser with respect to the Fund. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Adviser, including information about SIMC’s and the Sub-Adviser’s affiliates, personnel and operations and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided in addition to the detailed information about the Fund that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from counsel regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Adviser.

 

Specifically, with respect to the Diversified Equity Fund, the Board requested and received written materials from SIMC and the Sub-Adviser regarding: (i) the quality of SIMC’s and the Sub-Adviser’s investment management and other services; (ii) SIMC’s and the Sub-Adviser’s investment management personnel; (iii) SIMC’s and the Sub-Adviser’s operations and financial condition; (iv) SIMC’s and the Sub-Adviser’s brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC would charge the Fund and the level of the sub-advisory fees that SIMC would pay the Sub-Adviser, compared with fees each charge to comparable accounts; (vi) the advisory fees to be charged by SIMC and the Fund’s overall fees and operating expenses compared with peer groups of mutual funds prepared by Broadridge, an independent provider of investment company data; (vii) the estimated level of SIMC’s and the Sub-Adviser’s profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Adviser’s compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMC’s potential economies of scale; (x) SIMC’s and the Sub-Adviser’s policies on and compliance procedures for personal securities transactions; and (xi) SIMC’s and the Sub-Adviser’s expertise and resources in domestic and/or international financial markets.

 

In connection with the Diversified Equity Fund, which commenced operations on March 30, 2022, an Advisory Agreement and a Sub-Advisory Agreement were initially approved at a meeting of the Board held on June 21-23, 2021. The Board’s approval was based on its consideration and evaluation of the factors described above, as discussed at the meeting. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of such Investment Advisory Agreements.

 

Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services to be provided by SIMC and the Sub-Adviser to the Fund and the resources of SIMC and the Sub-Adviser and their affiliates. In this regard, the Trustees evaluated, among other things, SIMC’s and the Sub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the

 

 

34

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

 

 

 

nature, extent and quality of services to be provided by SIMC and the Sub-Adviser to the Fund and the resources of SIMC and the Sub-Adviser and their affiliates dedicated to the Fund were sufficient to support the approval of the Investment Advisory Agreements.

 

Fees. With respect to the Fund’s expenses under the Investment Advisory Agreements, the Trustees considered the proposed rate of compensation called for by the Investment Advisory Agreements and the Fund’s projected net operating expense ratios in comparison to those of the Fund’s respective peer groups. In assessing Fund expenses, the Trustees considered the information in the Broadridge Report, which included various metrics related to fund expenses. The Trustees also considered the effects of SIMC’s and its affiliates’ contractual and voluntary waivers of management and other fees to prevent total Fund operating expenses from exceeding any applicable cap, and concluded that SIMC, through waivers, would maintain the Fund’s net operating expenses at competitive levels for its distribution channels. The Board also took into consideration compensation that would be earned from the Fund by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC or its affiliates would realize other benefits from their relationship with the Fund. When considering fees to be paid to the Sub-Adviser, the Board took into account the fact that the Sub-Adviser would be compensated by SIMC and not by the Fund directly, and that such compensation with respect to any unaffiliated Sub-Adviser would reflect an arms-length negotiation between the Sub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the estimated expenses of the Fund are reasonable and supported approval of the Investment Advisory Agreements.

 

Profitability. With regard to profitability, the Trustees considered the compensation proposed to flow to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the levels of proposed compensation and estimated profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Adviser, the Board took into account the fact that compensation with respect to the unaffiliated Sub-Adviser would reflect an arms-length negotiation between the Sub-Adviser and SIMC. In connection with the approval of the Sub-Advisory Agreement, the Board also took into consideration the impact that the fees to be paid to the Sub-Adviser would have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the estimated profitability of each of SIMC and the Sub-Adviser is reasonable and supported approval of the Investment Advisory Agreements.

 

Performance and Economies of Scale. Because the Fund was new and had not commenced operations, it did not yet have an investment performance record and it was not possible to determine the extent to which economies of scale would be realized by SIMC and its affiliates as the assets of the Fund grow. Accordingly, the Trustees did not make any conclusions regarding the Fund’s investment performance or the extent to which economies of scale would be realized by SIMC as the assets of the Fund grow, but will do so during future considerations of the Investment Advisory Agreements.

 

Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the approval of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.

 

Throughout the course of the year, the Board also evaluated information in connection with Investment Advisory Agreements for other series of the Trust, which are no longer operational. Because those series are no longer operational, a summary of the Board’s considerations with respect to the approval or renewal of the agreements applicable to those series has not been included herein.

 

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

35

 

 

 

 

 

 

NOTICE TO SHAREHOLDERS (Unaudited)

 

 

 

For shareholders that do not have a July 31, 2022 taxable year end, this notice is for informational purposes only. For shareholders with a July 31, 2022 year end, please consult your tax advisor as to the pertinence of this notice.

 

For the fiscal year ended July 31, 2022, the Fund is designating the following items with regard to distributions paid during the year:

 

Fund

(A)
Long Term
Capital Gains
Distributions
(Tax Basis)

(B)
Return of
Capital
(Tax Basis)

(C)
Ordinary
Income
Distributions
(Tax Basis)`

Total
Distributions
(Tax Basis)

(D)
Dividends
Qualifying
for Corporate
Dividends Rec.
Deduction(1)

Diversified Equity Fund

0.00%

2.02%

97.98%

100.00%

0.00%

 

Fund

(E)
Qualifying
Dividend Income
(15% Tax Rate for QDI)(2)

(F)
U.S. Government
Interest(3)

Interest
Related
Dividends(4)

Short-Term
Capital Gain
Dividends(5)

Qualifying Business Income

Deduction(6)

Diversified Equity Fund

1.83%

0.00%

2.62%

0.00%

0.00%

 

(1)Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.

 

(2)The percentage in this column represents the amount of “Qualifying Dividend Income” is reflected as a percentage of “Ordinary Income Distributions.” It is the intention of each of the aforementioned funds to designate the maximum amount permitted by the law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2022. Complete information will be computed and reported in conjunction with your 2022 Form 1099-DIV.

 

(3)The percentage of this column represents the amount of ordinary dividend income that qualified for 20% Business Income Deduction.

 

(4)“U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income.

 

(5)The percentage in this column represents the amount of “Interest Related Dividend” and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors.

 

(6)The percentage in this column represents the amount of “Short-Term Capital Gain” and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors.

 

Items (A), (B) and (C) are based on the percentage of the Fund’s total distribution.

 

Items (D) and (E) are based on the percentage of ordinary income distributions of the Fund. Item (F) is based on the percentage of gross income of the Fund.

 

Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.

 

 

36

 

Adviser Managed Trust / Annual Report / July 31, 2022

 

 

 

 

 

ADVISER MANAGED TRUST ANNUAL REPORT JULY 31, 2022

 

Trustees

 

Robert A. Nesher, Chairman

 

William M. Doran

 

Nina Lesavoy

 

James M. Williams

 

Mitchell A. Johnson

 

Hubert L. Harris, Jr.

 

Susan C. Cote

 

James B. Taylor

 

Christine Reynolds

 

Thomas Melendez

 

Officers

 

Robert A. Nesher

 

President and Chief Executive Officer

 

Ankit Puri

 

Controller and Chief Financial Officer

 

Glenn R. Kurdziel

 

Assistant Controller

 

Russell Emery

 

Chief Compliance Officer

 

Timothy D. Barto

 

Vice President, Secretary

 

David F. McCann

 

Vice President, Assistant Secretary

 

Katherine Mason

 

Vice President, Assistant Secretary

 

Stephen G. MacRae

 

Vice President

 

Bryant Smith

 

Anti-Money Laundering Compliance Officer

 

Privacy Officer

 

Investment Adviser

 

SEI Investments Management Corporation

 

Administrator

 

SEI Investments Global Funds Services

 

Distributor

 

SEI Investments Distribution Co.

 

Legal Counsel

 

Morgan, Lewis & Bockius LLP

 

Independent Registered Public Accounting Firm

 

KPMG LLP

 

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.

 

For more information call

 

1 800 DIAL SEI

 

(1 800 342 5734)

 

 

 

 

 

 

 

AMT (7/22)

 

 

 

Item 2. Code of Ethics.

 

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.

 

Item 3. Audit Committee Financial Expert.

 

(a)(1) The Registrant’s Board of Trustees has determined that the Registrant has two audit committee financial experts serving on the audit committee.

 

(a)(2) The audit committee financial experts are Susan C. Cote and Hubert L. Harris, Jr. Ms. Cote and Mr. Harris are independent as defined in Form N-CSR Item 3 (a) (2).

 

Item 4. Principal Accountant Fees and Services.

 

Fees billed by KPMG LLP (“KPMG”) related to the Registrant.

 

KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2022 and 2021 as follows:

 

  Fiscal Year 2022 Fiscal Year 2021
    All fees and services to the Registrant that were pre-approved All fees and services to service affiliates that were pre-approved All other fees and services to service affiliates that did not require pre-approval All fees and services to the Registrant that were pre-approved All fees and services to service affiliates that were pre-approved All other fees and services to service affiliates that did not require pre-approval
(a)

Audit Fees(1)

$30,000

$0

N/A $123,455

$0

N/A
(b)

Audit-Related Fees

$0

$0

$0

$0

$0

$0
(c)

Tax Fees

$0

$0

$0 $0

$0

$0
(d)

All Other Fees(2)

$0

$331,000

$0 $0

$331,000

$0

 

 

 

Notes:

(1)Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings.
(2)See Item 4 (g) for a description of the services comprising the fees disclosed in this category.

 

(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC’s rules on auditor independence and whether the provision of such services would compromise the auditor’s independence.

 

The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise.

 

Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.

 

Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval. The Audit Committee will annually review and pre-approve the services that may be provided by the independent auditor during the following twelve months without obtaining specific pre-approval from the Audit Committee.

 

The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor.

 

All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees (or the manner of their determination) to be paid to the independent auditor for those services. In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.

 

 

 

(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

 

  Fiscal Year 2022 Fiscal Year 2021

Audit-Related Fees

0% 0%
Tax Fees 0% 0%

All Other Fees

0% 0%

 

(f) Not Applicable.

 

(g) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2022 and 2021 were $331,000 and $331,000, respectively. Non-audit fees consist of SSAE No. 16 review of fund accounting and administration operations and an attestation report in accordance with Rule 17Ad-13.

 

(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.

 

(i) Not applicable.

 

(j) Not applicable.

 

Item 5. Audit Committee of Listed Registrants.

 

Not applicable.

 

Item 6. Investments

 

The Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this form.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies

 

Not applicable.

 

Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.

 

Not applicable.

 

 

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees (the “Board”). The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Board. Pursuant to the Committee’s Charter, adopted on June 18, 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

 

Item 11. Controls and Procedures.

 

(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”) are effective based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

 

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 13. Exhibits.

 

(a)(1) Code of Ethics attached hereto.

 

(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant, as required by Rule 30a-2(a) under the Investment Company Act of 1940, are filed herewith.

 

(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, also accompany this filing as exhibits.

 

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  Adviser Managed Trust  
     
By /s/ Robert A. Nesher  
  Robert A. Nesher  
  President & CEO  
     
Date: October 7, 2022    

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By /s/ Robert A. Nesher  
  Robert A. Nesher  
  President & CEO  

 

Date: October 7, 2022

 

By /s/ Ankit Puri  
  Ankit Puri  
  Controller & CFO  

 

Date: October 7, 2022

 

ATTACHMENTS / EXHIBITS

fp0080113-1_ex99code.htm

fp0080113-1_ex99cert.htm

fp0080113-1_ex99906cert.htm



Serious News for Serious Traders! Try StreetInsider.com Premium Free!

You May Also Be Interested In





Related Categories

SEC Filings