SEI Quarterly Investment Review: End of Q3 2009

SEI Quarterly Investment Review: End of Q3 2009

2For Professional Client Use only – Not for distribution to Retail Clients

Contents

• Third Quarter Market Environment • Impact on Equity

• Impact on Fixed Income

• Investor Behavior

• SEI’s Actions• Manager Changes

• Performance Update: Peer Analysis

• Outlook

• Fund Specific Commentary• Appendix 1 – Equity

• Appendix 2 – Fixed Income


Global Equity MarketsStrong rally enabled equity markets to recover half of the losses of the crisis

MSCI World IndexBased on daily return streams

From June 29, 2007 to September 30, 2009

-55.50%

-26.04%

66.20%

-80.0%

-60.0%

-40.0%

-20.0%

0.0%

20.0%

40.0%

60.0%

80.0%

Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09

Cu

mu

lati

ve R

etu

rn (

%)

Cumulative Return

Cumulative Return from trough

March 9th, 2009

in USD, Source: Factset, as of September 30, 2009; Rebased to start calculation at 0.0% on June 29, 2007.

Rebased to start calculation at 0.0% on June 29, 2007.


Global Equity MarketsMarket Rebound Dominated by Low Quality and High Beta

• Rally continued to favour high beta stocks, cheap stocks, companies with levered balance sheets and smaller-cap stocks

• Long- and medium-term momentum stocks were heavily punished

MSCI World Index

Factor Returns in Q3 2009 (%)

(difference between top quintile and bottom quintile)

in USD, Source: Factset, as of September 30, 2009

18.2

13.7

11.2

-5.8

-14.4

-20.0

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

Beta Book to Price Debt to Equity Market Cap 12 MonthMomentum

Fa

cto

r P

ay

off

s (

%)


Global Fixed Income MarketsStrong risk appetite continued in Q3

• Investors have returned to the bond markets in earnest: – Lower quality and riskier bonds outperformed higher quality bonds.

– Global corporate yield spreads back to pre-Lehman levels of September 2008.

– Global Financials yield spreads narrowed by almost 400 bps since their highest level earlier this year.

Performance (%)YTD (September 30, 2009)

4.617.73

18.29

27.77

49.1

0

10

20

30

40

50

60

GlobalTreasuries

GlobalSecuritized

GlobalCorporate

Bonds

EmergingMarket Debt (1)

US High Yield(2)

Ret

urn

(%)

Source: Barclays Capital, Merrill Lynch, JP Morgan, in USD

from December 31, 2008 to September 30, 2009

(1) JP Morgan EMBI Index

(2) Merrill Lynch Master II Constrained Index

Source: Barclays Capital, rebased 29/12/08=100

Barclays Capital Global Aggregate IndexOption Adjusted spreads (bps)

as of September 30, 2009

0

100

200

300

400

500

600

700

Op

tio

n A

dju

ste

d S

pre

ad

s (

bp

s) Global Aggregate - Corporates - OAS

Global Aggregate Corporate - Financial Institutions - OAS

Global Aggregate Securitized - Asset Backed - OAS


SEI Fixed Income FundsStrong performance since the beginning of the year

Source: SEI, in Local Currency, Fully gross of fees

Past performance is not a guarantee of future performance. Standardised performance is presented in the appendix.

YTD Returns of SEI Fixed Income FundsAs of September 30, 2009

-10.00%

0.00%

10.00%

20.00%

30.00%

40.00%

50.00%

60.00%

High YieldFixed Income

EmergingMarkets Debt

GlobalOpportunisitcFixed Income

US FixedIncome

Global FixedIncome

Euro CoreFixed Income

UK Core FixedInterest

Perf

orm

an

ce

(%

)

Active Management Impact (alpha)

Market Return (Beta)


Net New Cash Flows in UK(Millions of pounds)

£9,000

£7,000

£5,000

£3,000

£1,000

£1,000

£3,000

£5,000

£7,000

£9,000

Equity Funds Fixed Income Funds Money Market Funds

Ne

t Ne

w C

ash

Flo

ws

(M£

)

2008 YTD (August 09)

Investor Behaviour UK investors moved back into equities and fixed income funds

Source: Investment Management Association, as of August 31, 2009

• UK investors returned to the fixed income and equity markets.

• Net cash flows in money-market funds were flat year to date.


Manager Changes – 200910 manager additions

9 manager terminations

SEI’s Actions:Making targeted changes to manager line-up in the SGMF Funds in 2009

(T) = Terminated Managers

Global Fixed Income Strategy

Wellington GRV

(T) Record

UK Equity

(T) Alliance Bernstein

Japan Equity

JP Morgan

Global Developed Markets Equity

Wellington value


UK Core Fixed Interest

PIMCO

(T) Insight


Guggenheim

Brigade

(T) Normura

US Large Companies


Neuberger Berman

(T) Montag & Caldwell

US Small Companies

(T) Mazama

PanAgora

Janus

(T) Martingale

Acadian

UK LongDuration Fixed Interest

PIMCO

(T) Insight


Performance UpdateKey themes impacting SEI Funds and Strategies in Q3 2009

What worked? What did not work?• Strategic allocation to small cap, emerging-market equities and bonds and high yield bonds have benefited SEI Strategies as investors’ risk appetites returned.

• Overweight and security selection in credit in SEI Investment Grade Funds.

• Allocation to CMBS in US Fixed Income Fund and Global Fixed Income Funds.

• Deep value (Standard Life in UK Equity Fund) and contrarian managers (Legg Mason Core in US Large Companies Fund) contributed positively.

• Macro thematic manager TT, who turned more aggressive as the economy started to show signs of improvement, contributed positively in the European (Ex-UK) Equity Fund

• Quality growth exposure in US Large Companies and Global Developed Markets Equity Fund hurt relative performance as low quality stocks rallied the most.

• Underweight to financials in Global Developed Markets Equity Fund detracted from relative returns, as financials were the best performing sector since the beginning of the year.

• Poor stock selection within financials coming essentially from the growth-oriented managers hurt the Pacific Basin (Ex-Japan) Equity Fund’s relative performance.


SEI Fixed Income FundsPerformance Relative to Peers

Source: SEI, Lipper Hindsight, in local currency, Net of Management Fees

Past Performance is Not a Guarantee of Future Performance. Standardised performance is presented in the Appendix.

1st Quartile

2nd Quartile

3rd Quartile

4th Quartile

SEI Fixed Income Peer Group RankingFor the Period Ending September 2009

Global FixedIncome

GlobalOpportunisticFixed Income

US FixedIncome


EmergingMarket Debt

Euro CoreFixed Income

UK Core FixedInterest

Quarter

YTD


SEI Equity FundsPerformance Relative to Peers

Source: SEI, Lipper Hindsight, in local currency, Net of Management Fees

Past Performance is Not a Guarantee of Future Performance. Standardised performance is presented in the Appendix.

1st Quartile

2nd Quartile

3rd Quartile

4th Quartile

SEI Equity Peer Group RankingFor the Period Ending September 2009

GlobalDeveloped

Markets

US LargeCompanies

US SmallCompanies

Japan Equity Pacific BasinEx-Japan

EmergingMarkets

European Ex-UK

PanEuropeanSmall Cap

UK Equity

Quarter

YTDle

EquityEquity Equity Equity


SEI’s Outlook

● Strong near term economic growth to be replaced by sluggish growth in 2010

• Strong near-term bounce from very depressed levels

• Growth then likely to be subpar given continued need for consumer deleveraging

• Small possibility of double dip

● Equity and credit markets still attractive

● Low quality, high beta rally to subside

• Momentum strategies should gain traction

• High quality attractively valued

Appendix 1: Equity Funds


SEI Alpha Source Definitions

ValueValue is a term commonly used to describe a general investment approach. However, our use of it here relates mainly to the risk premium paid to managers who successfully identify and invest in out-of-favour securities whose intrinsic value is eventually recognised and are re-rated upward by the broader market. Managers who aim to unlock this “value premium” often look for areas of the market and/or sectors and securities that fall to the cheaper end of the valuation spectrum.

Forward InsightManagers trying to exploit the alpha source that we term Forward Insight aim to add value by anticipating future market, sector and/or security characteristics that they believe will have a direct impact on future prices. Examples include the anticipation of future earnings, cashflows, sales, yield curve shifts and credit rating changes. Managers within this category generally look to build and maintain an information advantage in order to identify areas of opportunity ahead of the broader market.

BehaviouralBehavioural finance, a growing segment of research in investment management, aims to identify common and repeated traits among investors that impact their investment decisions, such as over-confidence, loss-aversion and anchoring, among other behavioural biases. The resulting actions or inertia of investors can contribute to the mispricing of securities, which behavioural managers aim to exploit.

MomentumMomentum managers aim to add value by exploiting the “momentum premium”, or excess return paid to investors who identify companies with earnings growth and earnings revisions that are likely to attain or remain on a strong upward trajectory. This trend, if identified early, can often lead to significant security price gains that follow the underlying momentum.

Statistical

Statistical managers aim to generate excess returns by exploiting inefficiencies or movements in the pricing of securities by analysing key statistical characteristics such as volatility, correlations and return distributions. An example of this would be a manager who aims to capitalise on the random movement of stock or bond prices within the market, using mathematical models to gain greater insight and understanding of the volatility itself.


Source: Factset, SEI, gross of fees.Benchmark: MSCI World Index.*SmithBreeden was replaced by Declaration on the 7th of January 2009.**Acadian and Wellington replaced AllianceBernstein on 30th April 2009.

Relative Fund Return (30th September 2009)Manager Contribution to Excess Return in %

-8 -6 -4 -2 0 2 4 6 8

**Alliance Bernstein

*Smith Breeden

*Declaration

Janus

**Wellington

**Acadian

Principal

Intech

QMA

SGMF Global Developed MarketsEquity

Quarter Year

SEI Global Developed Markets Equity

Past performance is not a guarantee of future performance. Standardised performance is presented in the Appendix.***Declaration manages a Portable Alpha Mandate. Please see the Appendix for further information.

Manager Alpha Source Weight

QMA Behavioural 28.0%Janus Forward Insight 10.0%

Principal Global Investors Momentum 16.0%

INTECH Statistical 21.0%

Declration Value 4.0%Wellington Value 10.0%Acadian Value 11.0%

The Fund returned 16.3% for the quarter against a return for the MSCI World Index of 17.5%.

Asia Pacific (Japan) was the best performing region, while high beta

and small capitalization stocks in general led the index. In terms of sectors, IT, Industrials and Materials were the best performers, while the laggards were Health Care, Utilities and Consumer Staples. This showed a clear divide between cyclicals and defensives.

The main drag on the Fund’s performance was from stock selection.

Regional allocation had a marginal impact. Stock selection was poor in the Financials, IT and Consumer Staples sectors. This was slightly mitigated by good stock selection in the Materials sector.

In terms of the managers, the main underperformers were the quant

managers Intech, who have a structural defensive bias as a result of its volatility and correlation-led approach, and QMA. Principal also detracted from performance as a result of their bias towards momentum investing.



Analytic Investors Behavioural 12.0%

LSV Behavioural 13.0%

QMA Behavioural 13.0%Delaware Forward Insight 9.0%

Goldman Sachs Forward Insight 6.0%

Legg Mason - Core Forward Insight 7.0%

Legg Mason - Growth Forward Insight 4.0%Neuberger Berman Forward Insight 9.0%INTECH Statistical 12.0%AJO Value 15.0%

Source: Factset, SEI, gross of fees.Benchmark: Russell 1000 Index*AllianceBernstein was removed 30th April 2009**Neuberger Berman replaced Montag & Caldwell July 29th 2009.


-2.00 -1.00 0.00 1.00 2.00

*AllianceBernstein

**Nuberger Berman

Legg Mason - Growth

Goldman Sachs

Legg Mason - Core

**Montag & Caldwell

Delaware

INTECH

Analytic

QMA

LSV Asset Management

AJO

SGMF US Large Companies

Quarter Year

SEI US Large Companies

Past performance is not a guarantee of future performance. Standardised performance is presented in the Appendix.

The Fund returned 14.3% for the quarter, compared to a gain for the Russell 1000 Index of 15.9%.

Value outperformed growth once again and high beta stocks were

the best performers in the U.S. equity markets. This translated to cyclicals outperforming defensive sectors, such as Utilities and Healthcare. The best performing sectors were Financials, Materials and Industrials.

In the Fund, stock selection was poor in Financials, Industrials and

IT, although there was a positive impact from names in Healthcare and Utilities.

In terms of managers, those that detracted the most were the

quant manager Analytic, along with those managers that had a quality and growth bias, such as Delaware and Goldman Sachs. The best performers were Legg Mason and LSV.


Source: Factset, gross of fees.Benchmark: Russell 2500 Index.*David J Green acquired by Neuberger, manager name amended 1st January2009*Neubergers weight in the fund was reduced to 0% in July 2009.**Mazama was terminated on 4th March 2009.***Janus and PanAgora replaced Martingale on July 29th 2009.

Manager Alpha Source WeightLSV Behavioural 15.0%PanAgora Behavioural 15.0%Wells Capital Forward Insight 20.5%Wellington Forward Insight 20.5%Janus Forward Insight 13.0%Integrity Value 16.0%

SEI US Small Companies


-4.00 -2.00 0.00 2.00 4.00

**Mazama

***PanAgora

*Neuberger

LSV

***Janus

Integrity

***Martingale

Wellington

Wells

US Small Companies Fund

Quarter Year


The Fund outperformed during the quarter, returning 21.0% versus a return for the Russell 2500 Index of 19.9%.

Value continued to outperform growth for the U.S. small cap market as

a whole. The best performers were the Energy, Materials and Consumer Discretionary sectors. Defensive sectors, especially Utilities and Healthcare, underperformed as they have done since the turn in the market in early March. Stocks with low quality, high beta and low PEs did the best.

The key to the Fund’s success was stock selection. Most value was

added in Telecommunications and Consumer Discretionary, all of which came from stock selection. Stock selection was also strong in Financials, although the Fund was underweight this outperforming sector. Some value was lost through some names in Healthcare.

With the exception of the quant manager PanAgora, all the managers

in the Fund either added value or were broadly in line with the return of the index. Integrity, Wellington and particularly LSV added the most value.


Source: Factset, gross of fees.Benchmark: FTSE All Share Index*Invesco Quant and Mirabaud joined the Fund on 5th December 2008.**AlianceBernstein was terminated on 15th March 2009.

SEI UK Equity


-3.00 -2.00 -1.00 0.00 1.00 2.00 3.00

**AllianceBernstein

Framlington

Investec

LA Capital

*InvescoQuantitative

Standard Life

*Mirabaud

UK Equity Fund

Quarter Year


The Fund returned 19.3% over the third quarter, compared with a 18.9% return for the FTSE All Share Index.

The best performing sectors in the market were Financials, Materials

and IT. Conversely, the poorest performers were Utilities, Healthcare and Energy.

A main source of the Fund’s outperformance was stock selection in

Materials and Industrials. The underweight sector allocation to Consumer Staples and Utilities also added to performance.

Standard Life was the manager that added the most value in the

quarter, followed by LA Capital. Standard Life’s bias to value and high beta stocks in the Industrials, Materials and Consumer Discretionary sectors were the principal drivers of their outperformance. LA Capital did well with their stock selection in Consumer Staples, a sector in which they were underweight.

The Fund’s structure has a cyclical bias with the emphasis on

overweight positions in Industrials and Consumer Discretionary. The big underweight sectors are Consumer Staples and Utilities.

Manager Alpha Source WeightInvesco Quantitative Behavioural 20.0%LA Capital Behavioural 25.0%AXA Framlington Forward Insight 3.0%Mirabaud Forward Insight 20.0%Standard Life Forward Insight 20.0%Investec Momentum 12.0%


Relative Fund Return (30th September 2009) Manager Contribution to Excess Return in %

-4.00 -2.00 0.00 2.00 4.00

TT International

JP Morgan

BlackRock

Acadian

European Ex-UKEquity Fund

Quarter Year

SEI European (Ex-UK) Equity


The Fund returned 28.8% over the quarter, outperforming the 25.0% gain for the MSCI Europe ex-UK Index.

The best performing sectors in Europe were Financials and Industrials,

while the worst sectors were Energy, IT, Utilities and Consumer Staples.

For the Fund stock selection added the most value, although there was

also value added from the underweight positions in Utilities and Consumer Staples. In total, Consumer Discretionary, IT and Utilities had the biggest impact on performance.

Acadian was one of the best performing managers, achieving its

success with its overweight positions in Industrials and Consumer Discretionary names. The manager benefited from its bias to value and smaller companies. Similarly, TT also added value through its positions in Financials and Consumer Discretionary.


JP Morgan Behavioural 26.0%BlackRock Forward Insight 22.0%TT International Forward Insight 22.0%Acadian Value 30.0%

Source: Factset, SEI, gross of fees.Benchmark: MSCI Europe Ex-UK Index.


The Fund returned 6.8% for the quarter, compared to the Topix return of 6.3%.

Unlike many markets globally, the better performing sectors in Japan

were more defensive in nature, such as Healthcare and Telecommunications. Conversely, the worst performers were Financials and Energy.

However, the main engine for the Fund’s performance was stock

selection in Industrials and Consumer Discretionary. The overweight to IT also contributed to performance. Stock selection in Financials and an underweight to Consumer Staples slightly diluted performance.

From a manager perspective, the key to success was a portfolio

structure with an emphasis on quality, growth, and high ROE. The corollary was that a deep value approach did not pay off. Capital International, a growth manager, was the best performing manager while Analytic brought up the rear. Fundamental managers outperformed their quant cousins.


-3.00 -2.00 -1.00 0.00 1.00 2.00 3.00

*JP Morgan

Analytic

Acadian

Capital International

Japan Equity Fund

Quarter Year

SEI Japan Equity


Manager Alpha Source WeightCapital International Forward Insight 38.0%Acadian Value 27.0%Analytic Investors Value 20.0%JP Morgan Value 15.0%

Source: Factset, SEI, gross of fees.Benchmark: Topix*JPMorgan was added to the Fund on the 23 April 2009.



-4.00 -2.00 0.00 2.00 4.00

CapitalInternational

Maple Brown

AXA Rosenberg

Lloyd George

Pacific Basin Ex-Japan Equity Fund

Quarter Year

SEI Pacific Basin (Ex-Japan) Equity



Capital International Forward Insight 18.0%Lloyd George Forward Insight 35.0%AXA Rosenberg Value 26.5%Maple Brown Value 20.5%

The Fund returned 25.8% compared to 27.4% for the MSCI Pacific ex-Japan Index for the quarter.

Positive economic news in Australia (retail sales figures, approvals in private homes permit) boosted market sentiment in Australia, the biggest component in the index.

The Fund’s relative performance was hurt mainly by overweight bets on positive price momentum and other factors such as high earnings growth. The overweight in Chinese stocks also added to the underperformance.

AXA Rosenberg benefited from their overweight to Australia and Financials.

Maple Brown outperformed the index despite being underweight Australia and overweight in China/Hong Kong. Good stock selection more than mitigated the negative allocation effects.

Lloyd George significantly lagged the benchmark due to their overweight in

China.

Source: Factset, SEI, gross of fees.Benchmark: MSCI Pacific Ex-Japan Index.


The Fund returned 21.7% versus the MSCI Emerging Markets Index return of 20.9% for the quarter.

The best performing sectors in the emerging markets were cyclicals

such as Information Technology, Consumer Discretionary and Materials. Sectors that underperformed were defensives such Health Care, Utilities and Telecoms.

Stock selection in the Pacific Rim added the most value for the Fund,

particularly from China and Taiwan. In aggregate the Fund was underweight to China and this was also beneficial.

Overall stock selection was positive, with the top three sectors being

Information Technology, Industrials, and Telecoms. The best sector performance for the Fund came from its overweight position in Consumer Discretionary.


-2.00 -1.00 0.00 1.00 2.00

Panagora

Rexiter

*Artisan

AllianceBernstein

TBC

AXA Rosenberg

SGMF EmergingMarkets Equity

Quarter Year

SEI Emerging Markets Equity



Alliance Bernstein Forward Insight 15.0%

Artisan Partners Forward Insight 15.0%

Rexiter Capital Forward Insight 15.0%AXA Reosenberg Value 22.5%Panagora Asset Mgmt Value 15.0%The Boston Company Value 17.5%

Source: Factset, SEI, gross of fees.Benchmark: MSCI Emerging Markets Index*Artisan Partners added 7th October 2008.

Appendix 2: Fixed Income Funds


SEI Global Fixed Income


Relative Fund Return (30th September 2009)Manager Contribution to Excess Return (%)

-6 -4 -2 0 2 4 6

***Record Currency Mgmt (0%)

**Welington GRV (3.5%)

*UBS Currency Mgmt (8.5%)

Fidelity Pensions Mgmt (38%)

BlackRock Financial (50%)

SGMF Global Fixed Income Fund

Q3 2009 1 Year

SEI Global Fixed Income(30th September 2009)

Contribution to duration (years)

0 0.5 1 1.5 2 2.5 3 3.5

Treasury

Agency

Credit

Collateralised

Cash

Fund Benchmark*UBS added to the Fund on 2nd December 2008.

**Wellington GRV was added to the fund on the 4th March 2009.

***Record terminated on the 4th of March 2009

Source: SEI. Benchmark: Barclays Capital Global Aggregate Index, gross of fees.

In Q3, the Global Fixed Income Fund had an absolute performance of 8.5% compared to 6.2% for the Barclays Capital Global Aggregate Index. With the exception of Wellington GRV, all managers had a positive contribution to relative performance. The outperformance was driven mainly by

spread tightening across all sectors, but particularly in Financials and CMBS. Fidelity’s positive contribution was mainly driven by an overweight in Financials. Also the overweight in Industrials and Utilities was positive as was

the overweight in index-linked bonds. BlackRock’s positive contribution was driven by an overweight in Financials, CMBS and MBS, sectors that rallied most. A long duration stance in the

UK and Europe was also positive. Wellington GRV’s model slightly underperformed. During the quarter volatility was low due to a steady positive trend. The trend and valuation models

therefore performed well, but that was not enough to offset the underperformance from the model that aims to capture volatility. UBS Currency had a positive quarter as they profited from the weakening US dollar. The size of the overweight in NOK and AUD was increased,

which added value.


SEI Global Opportunistic Fixed Income


SEI Global Opportunistic Fixed Income Contribution to duration (years)

(30th September 2009)

0 0.5 1 1.5 2 2.5 3 3.5

Treasury

Agency

Credit

Collateralised

Cash

Fund Benchmark


-5.0 -4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0

***Record Currency Mgmt (0%)

**Wellington GRV (3.5%)

*UBS Currency (8.5%)

Fidelity Pensions Mgmt (35%)

AllianceBernstein (53%)

SGMF Global Opportunistic Fixed Income Fund

Q3 2009 1 Year

*UBS added to the Fund on 2nd December 2008.

**Wellington GRV was added to the fund on the 4th March 2009.

***Record terminated on the 4th of March 2009

Source: SEI. Benchmark: Barclays Capital Global Aggregate Index, gross of fees.

In Q3, the Global Opportunistic Fixed Income Fund returned 9.9% compared to 6.2% of the Barclays capital Global Aggregate Index. With the exception of Wellington GRV, all managers had a positive contribution to relative performance. The outperformance was driven mainly by spread

tightening across all sectors, but particularly in Financials and CMBS. Fidelity’s positive contribution was mainly driven by an overweight in Financials. Also an overweight in Industrials and Utilities was positive, as was the

overweight in index-linked bonds. AllianceBernstein outperformed the index by being overweight in credits, in particular the overweight in CMBS, MBS and US Financials. A short duration

position however had a negative impact. Wellington GRV’s model slightly underperformed. During the quarter volatility was low due to the steady positive trend. The trend and valuation models

therefore performed well, but that was not enough to offset the underperformance from the model that aims to capture volatility.

UBS Currency profited from the weakening US dollar. The size of the overweight in NOK and AUD was increased, which added value.


SEI UK Core Fixed Interest


In Q3, the UK Core Fixed Interest Fund had an absolute performance of 6.7% compared to 5.8% of the Merrill Lynch Sterling Broad Market Index.

Both Wellington and PIMCO outperformed the benchmark for the quarter.

Wellington’s credit position, especially an overweight to Financials, was a positive contributor. Wellington took some profits in their financial holdings when liquidity returned to the market. The manager’s quantitative and qualitative duration positions were mixed.

PIMCO held an overweight position in Financials, which was positive. They also sold some of their financials holdings when liquidity returned to the market. The manager’s long duration position was positive as yields fell.


-3 -2 -1 0 1 2 3

*Insight (0%)

Wellington (50%)

*PIMCO (50%)

SGMF UK Core Fixed Interest Fund

Q3 2009 1 Year

SEI UK Core Fixed Interest Contribution to duration (years)

(30th September 2009)

0 1 2 3 4 5 6

Government

Quasi & Foreign Government

Corporates

Collateralised

Cash

Fund Benchmark

Source: SEI, gross of fees. Benchmark: Merrill Lynch Sterling Broad Market Index.

*PIMCO replaced Insight on the 16th July 2009.


IMPORTANT INFORMATION This document and its contents are directed only at persons who have been classified by SEI Investments (Europe) Limited as Professional Clients or Eligible Counterparties, for the purposes of the FSA New Conduct of Business Sourcebook ("relevant persons"). This communication must not be relied upon relied upon by anyone who is not a relevant person.

This information is issued by SEI Investments (Europe) Limited, 4th Floor, Time & Life Building 1 Bruton Street , London W1J 6TL which is authorised and regulated by the Financial Services Authority. No offer of any security is made hereby. Recipients of this information who intend to apply for shares in any SEI Fund are reminded that any such application may be made solely on the basis of the information contained in the Prospectus.

This material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice regarding the funds or any stock in particular, nor should it be construed as a recommendation to purchase or sell a security, including futures contracts. The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested. If the investment is withdrawn in the early years, it may not return the full amount invested.

In addition to the normal risks associated with equity investing, international investments may involve risk of capital loss from unfavourable fluctuation in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. Narrowly focused investments and smaller companies typically exhibit higher volatility. Products of companies in which technology funds invest may be subject to severe competition and rapid obsolescence. Whilst considerable care has been taken to ensure the information contained within this document is accurate and up-to-date, no warranty is given as to the accuracy or completeness of any information and no liability is accepted for any errors or omissions in such information or any action taken on the basis of this information.

Past performance is not a guarantee of future performance. Investment in the range of SEI’s Funds is intended as a long-term investment.

SEI Investments (Europe) Ltd; SEI Investments Global, Ltd; and SEI Investments Management Corporation are all wholly owned subsidiaries of SEI Investments Co.

Documents

SEI Quarterly Investment Review: End of Q3 2009