Form N-CSR Adviser Managed Trust For: Jul 31
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E-mailUNITED 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.
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.
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.
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
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.
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE (Unaudited)
JULY 31, 2022
Diversified Equity Fund
SCHEDULE OF INVESTMENTS
July 31, 2022
Diversified Equity Fund
The following is a summary of the transactions the Fund had with affiliates for the period ended July 31, 2022 ($ Thousands):
Security Description |
Value |
Purchases at |
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 $0.
The accompanying notes are an integral part of the financial statements.
STATEMENT OF ASSETS AND LIABILITIES ($ Thousands)
July 31, 2022
Diversified Equity |
||||
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 | ||
| ($144,582 ÷ 16,317 shares | ) | |||
| (1) | As of July 31, 2022, the Fund was not an active component of the Adviser Managed Strategy (see Note 1). |
The accompanying notes are an integral part of the financial statements.
STATEMENT OF OPERATIONS ($ 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 $0.
The accompanying notes are an integral part of the financial statements.
STATEMENT OF CHANGES IN NET ASSETS ($ 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.
FINANCIAL HIGHLIGHTS
For the period ended July 31, 2022
For a share outstanding throughout the period
Net asset value, beginning of period |
Net |
Net realized and unrealized gains (losses) on securities(1) |
Total from |
Dividends from net investment income |
Distributions from realized gains |
Total dividends |
Net asset value, |
Total Return† |
Net assets, |
Ratio of |
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.
NOTES TO FINANCIAL STATEMENTS
July 31, 2022
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2022
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2022
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2022
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2022
| The following is a summary of annual fees payable to the Adviser and Distributor and the expense limitations for the Fund: | ||||||||||||||||
Advisory |
Shareholder |
Contractual |
Voluntary |
|||||||||||||
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 $3 Billion | ||||||||||||||||||
Diversified Equity Fund |
0.200 | % | 0.1650 | % | 0.120 | % | ||||||||||||||
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2022
The tax character of dividends and distributions paid during the fiscal year were as follows:
| Ordinary Income ($ 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.
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2022
NOTES TO FINANCIAL STATEMENTS (Concluded)
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
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 |
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Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 75 yrs. old |
Chairman of the Board of Trustees*
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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 |
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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. |
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* |
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. |
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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. |
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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. |
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) |
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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.
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Christine Reynolds One Freedom Valley Drive Oaks, PA 19456 63 years old |
Trustee
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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. |
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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. |
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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. |
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 |
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Robert A. Nesher One Freedom Valley Drive, Oaks, PA 19456 75 yrs. Old |
President and CEO
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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 |
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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. |
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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. |
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 |
Ending |
Annualized |
Expenses |
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Diversified Equity Fund |
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Actual Fund Return |
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Class A |
$ | 1,000.00 | $ | 886.20 | 0.50 | % | $ | 1.59 | * | |||||||
Hypothetical 5% Return |
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Class A |
$ | 1,000.00 | $ | 1,022.32 | 0.50 | % | $ | 2.51 | ** | |||||||
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† The Fund commenced operations on March 30, 2022. |
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* 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). |
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** 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). |
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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.
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
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.
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) |
(B) |
(C) |
Total |
(D) |
Diversified Equity Fund |
0.00% |
2.02% |
97.98% |
100.00% |
0.00% |
Fund |
(E) |
(F) |
Interest |
Short-Term |
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.
ADVISER MANAGED TRUST ANNUAL REPORT JULY 31, 2022
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.
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
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