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SEI GLOBAL MASTER FUND PLC

Unaudited Condensed Financial Statements for the half year ended 31 December 2018

SEI Global Master Fund plc


CONTENTS PAGE

Directory 4 General Information 5 Investment Adviser’s Reports

The SEI U.S. Small Companies Fund 7 The SEI U.S. Large Companies Fund 9 The SEI High Yield Fixed Income Fund 11 The SEI U.S. Fixed Income Fund 12 The SEI Emerging Markets Equity Fund 13 The SEI U.K. Equity Fund 15 The SEI European (Ex-U.K.) Equity Fund 16 The SEI Japan Equity Fund 17 The SEI Pacific Basin (Ex-Japan) Equity Fund 19 The SEI Global Equity Fund 20 The SEI Global Fixed Income Fund 22 The SEI Global Opportunistic Fixed Income Fund 23 The SEI Emerging Markets Debt Fund 24 The SEI Pan European Small Cap Fund 26 The SEI U.K. Core Fixed Interest Fund 27 The SEI U.S. Liquid Assets Fund 28 The SEI Global Managed Volatility Fund 29 The SEI Euro Credit Fund 30 The SEI Euro Government Bond Fund 31 The SEI Fundamental U.K. Equity Fund 32 The SEI Quantitative U.K. Equity Fund 33 The SEI U.K. Long Duration Gilts Fixed Interest Fund 34 The SEI U.K. Gilts Fixed Interest Fund 35 The SEI U.K. Credit Fixed Interest Fund 36 The SEI Dynamic Asset Allocation Fund 37 The SEI Global Short Duration Bond Fund 38 The SEI U.K. Long Duration Index-Linked Fixed Interest Fund 39 The SEI U.K. Index-Linked Fixed Interest Fund 40 The SEI Global Multi-Asset Income Fund 41 The SEI Factor Allocation U.S. Equity Fund 42 The SEI Global Short Term Bond Fund 43 The SEI Liquid Alternative Fund 44 The SEI Global Absolute Return Fixed Income Fund 45 The SEI U.K. Long Duration Credit Fund 46

Portfolio of Investments

The SEI U.S. Small Companies Fund 48 The SEI U.S. Large Companies Fund 59 The SEI High Yield Fixed Income Fund 67 The SEI U.S. Fixed Income Fund 90 The SEI Emerging Markets Equity Fund 127 The SEI U.K. Equity Fund 138 The SEI European (Ex-U.K.) Equity Fund 146 The SEI Japan Equity Fund 154 The SEI Pacific Basin (Ex-Japan) Equity Fund 161 The SEI Global Equity Fund 165 The SEI Global Fixed Income Fund 189 The SEI Global Opportunistic Fixed Income Fund 213 The SEI Emerging Markets Debt Fund 263 The SEI Pan European Small Cap Fund 288 The SEI U.K. Core Fixed Interest Fund 294 The SEI Global Managed Volatility Fund 316 The SEI Euro Credit Fund 332

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CONTENTS (continued) PAGE

Portfolio of Investments (continued)

The SEI Euro Government Bond Fund 349 The SEI Fundamental U.K. Equity Fund 352 The SEI Quantitative U.K. Equity Fund 354 The SEI U.K. Long Duration Gilts Fixed Interest Fund 362 The SEI U.K. Gilts Fixed Interest Fund 364 The SEI U.K. Credit Fixed Interest Fund 366 The SEI Dynamic Asset Allocation Fund 388 The SEI Global Short Duration Bond Fund 416 The SEI U.K. Long Duration Index-Linked Fixed Interest Fund 429 The SEI U.K. Index-Linked Fixed Interest Fund 433 The SEI Global Multi-Asset Income Fund 434 The SEI Factor Allocation U.S. Equity Fund 448 The SEI Global Short Term Bond Fund 459 The SEI Liquid Alternative Fund 462 The SEI Global Absolute Return Fixed Income Fund 464 The SEI U.K. Long Duration Credit Fund 468

Condensed Income Statement 471 Condensed Statement of Financial Position 484 Condensed Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders 509 Notes to the Condensed Financial Statements 538 Appendix I – Remuneration Disclosures 577 Appendix II – Statement of Changes in Composition of Portfolio 578 Appendix III – Securities Financing Transactions Regulation 626

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DIRECTORY Board of Directors at 31 December 2018 Michael Jackson (Chairman) (Irish)

Kevin Barr (American) Robert A. Nesher (American) Desmond Murray* (Irish) Jeffrey Klauder (American)

*Director, independent of the Investment Adviser

Manager SEI Investments Global, Limited 2nd Floor Styne House Upper Hatch Street Dublin 2 Ireland Investment Adviser SEI Investments Management Corporation 1 Freedom Valley Drive Oaks Pennsylvania 19456 U.S.A. Depositary Brown Brothers Harriman Trustee Services (Ireland) Limited 30 Herbert Street Dublin 2 Ireland Administrator SEI Investments – Global Fund Services Limited 2nd Floor Styne House Upper Hatch Street Dublin 2 Ireland Distributor SEI Investments (Europe) Limited 1st Floor Alphabeta 14-18 Finsbury Square London EC2A 1BR England Independent Auditors PricewaterhouseCoopers

One Spencer Dock North Wall Quay Dublin 1 Ireland

Legal Advisers as to Irish Law Matheson 70 Sir John Rogerson’s Quay Dublin 2 Ireland Company Secretary Matsack Trust Limited 70 Sir John Rogerson’s Quay Dublin 2 Ireland Registered Office 2nd Floor Styne House Upper Hatch Street Dublin 2 Ireland CRO Number 243230

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SEI Global Master Fund plc Unaudited Condensed Financial Statements for the half year ended 31 December 2018

GENERAL INFORMATION Structure The following information is derived from and should be read in conjunction with the full text and definitions section of the Prospectus. SEI Global Master Fund plc (the “Company”) was incorporated on 11 January 1996 and is an umbrella fund established as an open-ended investment company with variable capital under the laws of Ireland as a public limited company pursuant to the Companies Acts 2014. It operates pursuant to the European Communities (Undertaking for Collective Investment in Transferable Securities) Regulations, 2011 (the “UCITS Regulations”). Its share capital is divided into a number of classes, each representing interests in a fund, except for the Subscriber Shares that will not entitle the holders to participate in the assets of any fund. At 31 December 2018, the Company comprised of thirty three separate portfolios of investments (“Funds”), each of which is represented by a separate series of Redeemable Participating Shares. These Funds are: The SEI U.S. Small Companies Fund, The SEI U.S. Large Companies Fund, The SEI High Yield Fixed Income Fund, The SEI U.S. Fixed Income Fund, The SEI Emerging Markets Equity Fund, The SEI U.K. Equity Fund, The SEI European (Ex-U.K.) Equity Fund, The SEI Japan Equity Fund, The SEI Pacific Basin (Ex-Japan) Equity Fund, The SEI Global Equity Fund, The SEI Global Fixed Income Fund, The SEI Global Opportunistic Fixed Income Fund, The SEI Emerging Markets Debt Fund, The SEI Pan European Small Cap Fund, The SEI U.K. Core Fixed Interest Fund, The SEI Global Managed Volatility Fund, The SEI Euro Credit Fund, The SEI Euro Government Bond Fund, The SEI Fundamental U.K. Equity Fund, The SEI Quantitative U.K. Equity Fund, The SEI U.K. Long Duration Gilts Fixed Interest Fund, The SEI U.K. Gilts Fixed Interest Fund, The SEI U.K. Credit Fixed Interest Fund, The SEI Dynamic Asset Allocation Fund, The SEI Global Short Duration Bond Fund, The SEI U.K. Long Duration Index-Linked Fixed Interest Fund, The SEI U.K. Index-Linked Fixed Interest Fund, The SEI Global Multi-Asset Income Fund, The SEI Factor Allocation U.S. Equity Fund, The SEI Global Short Term Bond Fund, The SEI Liquid Alternative Fund, The SEI Global Absolute Return Fixed Income Fund and The SEI U.K. Long Duration Credit Fund. The SEI Global Absolute Return Fixed Income Fund launched on 06 November 2017. The SEI Dynamic Asset Allocation Fund changed its name from The SEI U.K. Dynamic Asset Allocation Fund on 15 March 2018. The Fund changed functional currency from British Pound Sterling (GBP) to US dollar (US$). The SEI Sterling Liquidity Fund closed on 16 March 2018 and as at 30 June 2018 only held cash. The SEI Euro Credit Fund changed its name from The SEI Euro Core Plus Fixed Income Fund on 08 June 2018. The SEI Euro Government Bond Fund changed its name from The SEI Euro Fixed Income Index Fund on 08 June 2018. The SEI U.S. Liquid Assets Fund closed on 29 September 2018 and as at 31 December 2018 only holds cash. The SEI U.K. Long Duration Credit Fund launched on 15 November 2018. As the Company is availing of the provisions of the Companies Act 2014, each Fund has segregated liability from the other Funds and the Company is not liable as a whole to third parties for the liability of each Fund. Current Prospectus applicable as of and for the half year ended 31 December 2018 was issued and noted by Central Bank on 07 June 2018. A post half year ended Prospectus was issued on 02 January 2019. A copy of the Prospectus, Addendum and Key Investor Information Documents (“KIID”) can be obtained by contacting the Administrator at its registered office. Distribution Policy The Articles of Association empower the Company in General Meetings to declare dividends in respect of any Shares provided that no dividend shall exceed the amount recommended by the Directors. The Articles of Association also empower the Directors to declare interim dividends. The Directors have determined to reinvest all net income and net realised capital gains of the Company attributable to the Accumulating Class Shares. Accordingly, no dividends will be paid in respect of such Shares and all net income and net realised capital gains of the Company attributable to such Shares will be reflected in the Net Asset Value per Share of those Shares. The Directors expect that all or substantially all of the net investment income of the relevant Funds attributable to the Distributing Class Shares will be calculated as of the last Dealing Day of each calendar quarter (the “Record Date”) and declared as a dividend to eligible Shareholders on the relevant Fund’s register of Shareholders on Record Date. Any such dividend will be distributed to the relevant Shareholders normally within ten Dealing Days from the last calendar Dealing Day of the relevant calendar quarter. The Articles of Association empower the Directors to declare dividends in respect of any Shares out of net income (including interest income) and the excess of realised and unrealised capital gains over realised and unrealised losses in respect of investments of the Company. Net realised and unrealised capital gains of the relevant Funds attributable to the Distributing Class Shares are expected to be retained by the relevant Fund which will result in an increase in the Net Asset Value per Share. The Directors, nevertheless, reserve the right to declare dividends in respect of such realised and unrealised capital gains less realised and unrealised capital losses at their sole discretion. The Directors may from time to time, and at their sole discretion, determine that the Company shall, on behalf of one or more Funds, apply an equalisation formula in respect to any Distributing Class Shares for any distribution period in which it is expected that significant or redemptions of Shares in the relevant Fund during that distribution period might have a significant impact on the net investment income of the relevant Fund which would otherwise be available for distribution on the last Dealing Day of the relevant quarter.

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GENERAL INFORMATION (Continued) Prices There is currently a single price for buying and selling Shares in the Company and/or switching Shares between Funds. This is represented by the Net Asset Value per Share. The Company reserves the right to impose, or to authorise the Manager to impose a redemption charge on the redemption of Shares to a maximum of 3% of the Net Asset Value of the Shares to be redeemed in circumstances where the value of the Shares being redeemed equals 5% or more of the Net Asset Value of the relevant Fund, or where the value of the Shares being redeemed on a Dealing Day, when aggregated with the value of any Shares redeemed by the Shareholder from the same Fund within the prior two month period from the relevant Dealing Day equals 5% or more of the Net Asset Value of the relevant Fund of the Company. The Company reserves the right to impose, or to authorise the Manager to impose a sales charge and a switching charge in such an amount as may be specified in the Prospectus. The Company may at its sole discretion impose duties and charges on subscriptions for Shares in The SEI Fundamental U.K. Equity Fund and/or The SEI Quantitative U.K. Equity Fund. During the financial half year ended 31 December 2018 (referred to herein as the “half year end”, “half year ended”, “period end” or “period ended”), charges of EURNil (30 June 2018: EUR415,871), GBP67,335 (30 June 2018: GBP152,597) and US$Nil (30 June 2018: US$Nil) have been imposed on the redemption of Shares in a number of the Funds. During the financial half year ended 31 December 2018, charges of US$Nil (30 June 2018: US$10) have been imposed on the subscription of Shares in The SEI Liquid Alternative Fund. No charges have been imposed on Shares acquired as a result of switching between remaining Funds. Minimum Initial Subscription The minimum initial subscription to the Company in respect of any Fund or Share Class will be specified in the Prospectus and may be varied or waived by the Directors at their absolute discretion. Dealing A Dealing Day is:

(i) in the case of The SEI U.S. Liquid Assets Fund, any Business Day on which the New York Stock Exchange (“NYSE”) and New York banks are open for business, excluding 24 December; (ii) in the case of The SEI Pacific Basin (Ex-Japan) Equity Fund, every Business Day excluding Chinese New Year’s Day and 24

December;

(iii) in the case of The SEI European (Ex-U.K.) Equity Fund, The SEI Pan European Small Cap Fund, The SEI Euro Government Bond Fund and The SEI Euro Credit Fund, every Business Day except 01 May and 24 December;

(iv) in the case of The SEI Japan Equity Fund, every Business Day on which the Tokyo Stock Exchange is open for business except 24

December;

(v) in the case of The SEI U.K. Equity Fund, The SEI Fundamental U.K. Equity Fund, The SEI Quantitative U.K. Equity Fund, The SEI Sterling Liquidity Fund, The SEI U.K. Core Fixed Interest Fund, The SEI U.K. Long Duration Gilts Fixed Interest Fund, The SEI U.K. Index-Linked Fixed Interest Fund, The SEI U.K. Gilts Fixed Interest Fund, The SEI U.K. Credit Fixed Interest Fund and The SEI U.K. Long Duration Index Linked Fixed Interest Fund, every Business Day on which the London Stock Exchange is open for business except 24 December;

(vi) in the case of The SEI High Yield Fixed Income Fund, The SEI U.S. Fixed Income Fund, The SEI Emerging Markets Debt Fund, The

SEI U.S. Large Companies Fund, The SEI U.S. Small Companies Fund, The SEI Emerging Markets Equity Fund, The SEI Global Managed Volatility Fund, The SEI Global Equity Fund, The SEI Global Multi-Asset Income Fund, The SEI Factor Allocation U.S. Equity Fund, The SEI Liquid Alternative Fund and The SEI Dynamic Asset Allocation Fund, every Business Day on which the NYSE is open for business except 24 December;

(vii) for all other Funds, every Business Day, except 24 December;

(viii) and/or such other days as the Directors may from time to time determine in relation to any particular Fund and notify in advance to the

relevant Shareholders;

provided always that there shall be at least one Dealing Day for each Fund per fortnight. A Business Day is defined as any day on which banks in Dublin or London are open for normal banking business, excluding Saturdays and Sundays and such other day or days as may be determined by the Directors. If the aggregate redemption requests on any Dealing Day equal or exceed 10% or more of the outstanding Shares of any Series in issue or deemed to be in issue, the Directors may elect to restrict the total number of Shares to be redeemed to 10% of the outstanding Shares in issue in that Series on that Dealing Day, in which case all redemption requests will be reduced pro rata to the size of the request. The balance of the Shares in respect of which redemption requests have been received shall be redeemed on the next succeeding Dealing Day, subject to the same 10% restriction, and in priority to redemption requests received in respect of the next Dealing Day.

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THE SEI U.S. SMALL COMPANIES FUND – INVESTMENT ADVISER’S REPORT The SEI U.S. Small Companies Fund is comprised of twenty three classes of Shares. The Fund was launched on 01 April 2000. The functional currency of The SEI U.S. Small Companies Fund is US Dollar (US$). Objective The investment objective of The SEI U.S. Small Companies Fund is long-term growth of capital and income through investment in a broadly diversified portfolio of U.S. equity securities of small companies. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: ArrowMark Partners Hillsdale Investment Management Inc. LSV Asset Management* Rice Hall James & Associates William Blair & Company *LSV Asset Management is a partially-owned indirect subsidiary of SEI Investments Company. For this service, LSV Asset Management is entitled to receive a fee from SIMC. LSV Asset Management’s mandate was changed during the period; LSV Asset Management US Large Cap Value was replaced by LSV Asset Management Global Managed Volatility (November 2018) The following managers were hired during the period: Hillsdale Investment Management Inc. (December 2018) The following managers were terminated during the period: Integrity Asset Management AQR Capital Management, LLC (December 2018) CastleArk Management LLC (December 2018) Fund Attribution Beta: Growth and momentum stocks continued to outperform in the third quarter of 2018 within a relatively calm market environment. Highly profitable stocks also did well, while value underperformed. However, the trend reversed sharply in the fourth quarter. Driven by rising bond yields, fears of a slowdown in global economic growth, political uncertainty in the US and abroad and a reduction in accommodative central bank policy, a severe selloff turned major equity indexes negative for the year before the end of the reporting period. The risk-off environment supported a flight to safety into bond-proxy defensive sectors of the market, notably utilities and real estate, despite rising short-term interest rates. Besides low-volatility securities, no factors fared particularly well in the fourth quarter, and momentum was harshly punished. Interestingly, valuations still did not seem to factor into the selloff; the most attractively valued stocks remained unrewarded while expensively valued stocks continued their year-long outperformance. Utilities ended up being a top-performing sector for the fiscal period after the rout, followed by information technology and healthcare due to the gains they had established earlier in the year. Cyclicals and more economically-sensitive areas of the market generally lagged. Energy was the worst-performing sector for both the fourth quarter and the reporting period as oil prices plunged in the face of fears of a glut in global supply. The materials, industrials and consumer discretionary sectors also underperformed. Larger-cap stocks held up better than smaller-cap stocks; while value was boosted by the defensive areas of the market and outperformed growth in the fourth quarter, growth still outperformed for the year. Alpha:

The Fund underperformed during the six months ended 31 December 2018, mostly due to weak security selection within industrials and healthcare. An overweight to the consumer discretionary sector and underweights to utilities and real estate also detracted. Favourable selection within the energy and consumer discretionary sectors positively contributed but not enough to offset the detractors.

Managers:

CastleArk, the Fund’s momentum manager, was the top contributor and capitalised on style tailwinds in the third quarter. They were boosted by strong security selection within healthcare. However, just prior to the end of the fiscal period, the manager was terminated from the Fund due to the belief that its investment philosophy did not adequately reflect a dedicated exposure to the momentum alpha source.

Conversely, despite style tailwinds, Rice Hall James underperformed due to poor security selection within healthcare.

Given style tailwinds and weak stock selection within more economically sensitive areas of the market, LSV underperformed.

During the period, AQR and CastleArk were removed from the Fund while Hillsdale was added.

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THE SEI U.S. SMALL COMPANIES FUND – INVESTMENT ADVISER’S REPORT (continued) Fund Attribution (continued) Derivatives: Derivatives are not used for speculative purposes within the Fund. January 2019

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THE SEI U.S. LARGE COMPANIES FUND – INVESTMENT ADVISER’S REPORT The SEI U.S. Large Companies Fund is comprised of twenty six classes of Shares. The Fund, formerly known as The SEI U.S. Equity Fund, was re-named and re-launched on 01 April 2000. The functional currency of The SEI U.S. Large Companies Fund is US Dollar (US$). Objective The investment objective of The SEI U.S. Large Companies Fund is long-term growth of capital and income through investment in a broadly diversified portfolio of U.S. equity securities of large companies. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: AJO Coho Partners Fred Alger Management, Inc. LSV Asset Management* Mar Vista Investment Partners Schafer Cullen Capital Management *LSV Asset Management is a partially-owned indirect subsidiary of SEI Investments Company. For this service, LSV Asset Management is entitled to receive a fee from SIMC. LSV Asset Management’s mandate was changed during the period; LSV Asset Management US Large Cap Value was replaced by LSV Asset Management Global Managed Volatility (November 2018) The following managers were hired during the period: Fred Alger Management, Inc. (December 2018) Mar Vista Investment Partners (July 2018) Schafer Cullen Capital Management (December 2018) The following managers were terminated during the period: AQR Capital Management (November 2018) Fiera Capital Corporation (November 2018) Jackson Square Partners (July 2018) Fund Attribution Beta: During the six-month period ending 31 December 2018, the US equity market experienced a significant decline as concerns about rising interest rates, trade issues and softening global economic growth weighted on investor sentiment. The utilities sector was the best-performing sector in the Russell 1000 Index. Other sectors with limited sensitivity to economic growth, such as healthcare and consumer staples, also outperformed. During the second half of the year, the information technology sector performed inline with the overall market, while the highly cyclical materials and energy sectors experienced significant declines. The financials sector was a modest underperformer. Despite the poor performance of cyclical value sectors, the Russell 1000 Value Index managed to outperform the Russell 1000 Growth Index by a small margin during the fiscal period as the utilities sector helped mitigate the damage of a falling market.

Alpha: Benchmark-relative performance was hurt by the Fund’s underweight to the utilities sector but benefitted from an overweight to healthcare. Security selection within the consumer staples sector detracted. An overweight to midcap stocks also detracted but was mitigated by the Fund’s lower beta tilt. Managers: In aggregate, the managers underperformed over the six-month period due to a general tilt toward cyclical value and midcap stocks. LSV’s overweight to and negative stock selection within financials detracted. AJO also underperformed due to an underweight to the utilities sector and an overweight to energy. In addition, negative security selection effects within the consumer staples sector detracted from AJO’s return. Coho outperformed due to its overweight to and favourable selection within healthcare. Mar Vista was in the Fund for the majority of the six-month period and had favourable stock selection effects within financials, but an underweight to healthcare detracted. Mar Vista beat the Russell 1000 Growth Index but performed inline with the Russell 1000 Index after being hired into the Fund in mid-July.

Fiera was in the Fund for the majority of the six months before it was terminated; prior to being removed near the end of the year, Fiera added value through favourable security selection among stocks within the materials and consumer discretionary sectors. AQR was in the Fund for the majority of the fiscal period; prior to being terminated near the end of the year, it underperformed due to its overweight to and negative security selection effects within the consumer discretionary sector.

Alger and Schafer Cullen were hired near the end of the year and did not have a material impact on Fund performance for the six months ended 31 December 2018.

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THE SEI U.S. LARGE COMPANIES FUND – INVESTMENT ADVISER’S REPORT (continued) Fund Attribution (continued) Derivatives: Derivatives are not used for speculative purposes within the Fund. January 2019

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THE SEI HIGH YIELD FIXED INCOME FUND – INVESTMENT ADVISER’S REPORT The SEI High Yield Fixed Income Fund is comprised of twenty four classes of Shares. The Fund was launched on 09 September 1996. The functional currency of The SEI High Yield Fixed Income Fund is US Dollar (US$). Objective The investment objective of The SEI High Yield Fixed Income Fund is to maximise total return from investing primarily in high-yield fixed-income securities. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: Ares Management Benefit Street Partners Brigade Capital Management J.P. Morgan Investment Management Inc. T. Rowe Price International Ltd The following managers were hired during the period: None. The following managers were terminated during the period: None. Fund Attribution Beta: The high-yield market, as measured by the ICE BofAML US High Yield Constrained Index, declined 2.34% during the six-month period ending 31 December 2018. While the high-yield market’s return was mostly flat for the first half of the year, the asset class was up nearly 2.5% in the third quarter as oil prices rose and broader markets felt some relief following weakness in emerging markets in August. Driven by slowing global growth indicators, sharp equity and oil price declines and heavy withdrawals, the high-yield market’s tone changed in the fourth quarter, falling by more than 4.5%. The energy sector handily underperformed the broader market and slid 7.65%. Lower-quality issues underperformed substantially, as CCC rated securities had the worst return, down 7.81%, followed by BB rated securities, down 2.71%, and B rated securities, down 0.80%. The market yield began the period at 6.53% and widened 142 basis points to finish at 7.95%, the highest month-end reading since 8.39% in March 2016. Credit-quality spreads began the period at 371 basis points and widened 163 basis points to finish at 534 basis points, the highest month-end reading since 569 basis points July 2016. Alpha: Fund returns were weakened by selection within the media, energy and basic industry sectors. Fund returns benefitted from an allocation to cash, an off-benchmark allocation to Puerto Rico and an overweight to and selection within the leisure sector.

Managers: Brigade underperformed due to selection within the media sector and selection within energy, notably oil field equipment and services. Benefit Street was a negative contributor due to its overweight to and selection within energy. Selection within media, primarily cable and satellite television, also hurt performance. T. Rowe Price detracted due to selection within energy, particularly exploration and production. Selection within broad-based healthcare also hindered performance. Ares detracted due to its overweight and selection within the basic industry sector. Selection within media also hindered performance. J.P. Morgan was the only manager within the Fund that enhanced returns; its underweight to and selection within the energy sector, primarily oil field equipment and services, and an overweight to and selection within telecommunication services all contributed.

Derivatives: The Fund used derivatives throughout the six-month period ending 31 December 2018 as a way to manage duration, yield-curve positioning and spread duration in an efficient manner. Credit-related derivatives were used for this purpose, and they had a modestly positive impact on overall Fund performance. January 2019

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THE SEI U.S. FIXED INCOME FUND – INVESTMENT ADVISER’S REPORT The SEI U.S. Fixed Income Fund is comprised of fifteen classes of Shares. The Fund was launched on 11 September 1996. The functional currency of The SEI U.S. Fixed Income Fund is US Dollar (US$). Objective The investment objective of The SEI U.S. Fixed Income Fund is current income consistent with the preservation of capital. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: Metropolitan West Asset Management Wells Capital Management, Inc. Western Asset Management Company The following managers were hired during the period: None. The following managers were terminated during the period: None. Fund Attribution Beta: Despite two 25 basis point federal-fund rate increases by the Federal Reserve, short-term US Treasury yields moved lower during the six-month period ended 31 December 2018; a risk selloff during the fourth quarter led to a flight to safety and drove short-term yields lower over the last month of the year. Long-term yields finished a few basis points higher over the same timeframe, as inflationary pressures remained just below peak levels achieved earlier. Third-quarter US economic growth exceeded 3%, but forward estimates were revised lower as the stimulative effects of lower taxes and increased fiscal spending abated. The European Central Bank announced it would end its asset purchase programme as of 31 December 2018 but also noted that it would continue to reinvest proceeds from maturing securities. The removal of global central bank monetary policy accommodation continued and interjected volatility in the capital markets; risk assets precipitously declined during the fourth quarter of 2018. Alpha: While absolute returns were positive during the six-month period, relative returns were negative, with spread sectors underperforming comparable Treasury bonds, while a slightly long duration posture outperformed. The Fund’s corporate overweight, reflected primarily through an overweight to banks, detracted due to concern over the impact of trade wars on future global growth. An overweight to agency mortgage-backed securities (MBS) detracted; volatility increased, causing MBS to lag comparable Treasurys. Improved wage growth and low unemployment helped to buoy both non-agency mortgages and asset-backed securities (ABS), enabling the sectors to outperform. An overweight to commercial mortgage-backed securities (CMBS) had little impact on relative performance as CMBS returns were in line with the index. The Fund’s allocation to the long end of the curve was a modest detractor as 30-year yields finished slightly higher. Managers: Metropolitan West outperformed due to its more defensive corporate positioning as spreads widened. An overweight to the outperforming non-agency mortgage sector was positive. A slightly longer duration posture added to returns as yields generally declined. Security selection within corporates, which included an overweight to banks, detracted. Western performed well during the period with an overweight to the outperforming non-agency mortgage sector, while an overweight to financial issuers detracted. An overweight to the 30-year part of the curve also detracted as 30-year yields moved higher over the period. Wells underperformed due to security selection within the corporate sector. Positions within the industrial and energy subsectors subtracted as risk assets sold off and oil prices declined. An overweight to ABS was modestly positive and was supported by resilient US consumer spending and improving wages. Derivatives: US Treasury futures and interest-rate swaps were utilised to facilitate the management of the Fund’s duration and yield-curve positioning. There was a small allocation to currency forwards to help manage currency exposures. January 2019

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THE SEI EMERGING MARKETS EQUITY FUND – INVESTMENT ADVISER’S REPORT The SEI Emerging Markets Equity Fund is comprised of twenty four classes of Shares. The Fund was launched on 31 December 1996. The functional currency of The SEI Emerging Markets Equity Fund is US Dollar (US$). Objective The investment objective of The SEI Emerging Markets Equity Fund is capital appreciation primarily through investment in securities of emerging market issuers. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: JO Hambro Capital Management Limited KBI Global Investors (North America) Ltd. Lazard Asset Management Macquarie Investment Management Neuberger Berman Qtron Investments RWC Asset Advisors (US) The following managers were hired during the period: Qtron Investments (December 2018) The following managers were terminated during the period: PanAgora Asset Management Inc. (December 2018) Fund Attribution Beta: Emerging-market (“EM”) stocks fell during the six-month period ending 31 December 2018. EM Asia and the Europe, Middle East and Africa (“EMEA”) region fell, while EM Latin America saw positive returns. Driven by a strengthening US dollar, worsening trade tensions between the US and China and deteriorating economic conditions in select countries, the reporting period saw continued EM underperformance relative to developed markets and the US. The third quarter of 2018 saw country-specific turmoil in economically-vulnerable countries such as Turkey. Turkish Prime Minister Erdogan publicly criticised the Turkish central bank’s interest-rate policy and threatened the institution’s independence, causing Turkish assets to sell off. Brazil also experienced volatility after a crippling strike by truckers protesting the government’s removal of oil subsidies. Without the governmental support, the pain of higher oil prices was felt by Brazilian consumers, as crude had risen steadily in the first half of 2018. The strike, combined with what markets perceived at the time as a lack of a market-friendly presidential candidate, drove a decline in Brazilian equities. Asian equities also experienced turmoil as US-implemented tariffs on Chinese exports, along with poor sentiment and slowing economic growth in China generated headwinds. In the fourth quarter, Brazilian assets rallied after Jair Bolsonaro, the far-right, market-friendly candidate, won Brazil’s presidential elections. Turkey’s central bank decided to raise rates, alleviating some of the market’s broader concerns. Turkish growth expectations for 2019 remain muted, however, as the country’s weak economic condition and tightening global monetary conditions should weigh on growth next year. Meanwhile, the lack of progress on trade talks between the USA and China continued to weigh on both EM assets broadly and Asian equities specifically. Weak sales announced by Apple at the end of the period dragged on Taiwanese equities, many of which are in the Apple supply chain. During the period, many EM central banks decided to raise rates to counter tightening monetary conditions in the US and stem capital outflows. China also announced a series of steps to slightly loosen monetary conditions to offset slowing growth. The best-performing sectors were energy and utilities while healthcare and consumer discretionary lagged. Driven by the rise in oil prices during the first half of the year, energy stocks outperformed during the reporting period; despite the fall in energy over the last six months, the initial rise in oil prices over the first half of 2018 sustained the outperformance of energy companies during the second half. Some companies also got a boost from geopolitical events that helped cyclical assets, while other ones benefitted from being more defensive than the average EM energy company, which helped as market volatility increased in the second half. Utilities also outperformed as investors sought safety from volatility throughout the year. Consumer discretionary stocks lagged as Chinese and Turkish companies weighed on performance due to slowing growth in both countries. Technology and telecommunication services also lagged as companies in the technology space continued to underperform in the risk-off environment. Alpha: On a regional level, security selection was adverse, driven by weak selection in EM Asia and the EMEA region. China and Taiwan were the biggest detractors due to weak selection in the technology space, partially due to poor global sentiment, especially in emerging markets. Rising rates in the US were one reason that technology stocks repriced negatively, as the present value of longer-term growth prospects declined given higher rates. Taiwanese technology companies also fell as the portfolio’s exposure to companies in the Apple supply chain suffered on the

13


THE SEI EMERGING MARKETS EQUITY FUND – INVESTMENT ADVISER’S REPORT (continued) Fund Attribution (continued) Alpha (continued): negative outlook for iPhones. Selection in Indonesia and Chinese industrials were also detractors. Korea and India were net contributors, with Korean telecommunication service companies adding to value. In the EMEA region, the overweight to Qatar and Turkey detracted given the turmoil in Turkey; selection in Greece detracted after cyclical assets were punished during the period. The underweight to telecommunication service stocks in South Africa contributed positively to performance. The Latin America region was a positive contributor, with strong selection and an overweight to Brazilian assets adding to performance. Brazil rallied after the presidential election, and the portfolio’s exposures in the online retail space were beneficiaries of that improving sentiment. Selection in ex-benchmark Panama detracted. From a sector point of view, the Fund benefitted from strong stock selection in the consumer discretionary space due to strong selection in retailing, offsetting weaker selection in auto stocks. The telecommunication services sector added slightly to performance due to an underweight to media and entertainment stocks, which encompass the high-flying internet growth companies that outperformed last year. Selection in technology stocks was the biggest detractor, however, due to the woes in Chinese and Taiwanese technology companies. Selection in materials also detracted, partially due to ex-benchmark metal and mining companies. Managers: RWC was the biggest detractor due to cyclical positioning that was punished as markets were in a risk-off mode. The underperformance manifested in poor security selection across Asian and EMEA stocks, as well as in financials, materials and technology stocks that were caught in the crosshairs of the trade dispute. JO Hambro detracted due to weak stock selection amidst a momentum headwind. Selection was poor in Asia and within the industrials sector. Lazard detracted from performance due to weak stock selection in EM Asia and ex-benchmark European stocks. Selection in the technology and industrials sectors was also weak. Neuberger Berman underperformed the benchmark due to a small-cap headwind and poor selection in technology stocks. Panagora detracted from performance due to its poor stock selection. Its momentum positioning was also punished during the period as momentum stocks underperformed. KBI was the best-performing manager due to strong security selection that was aided by a tailwind to its dividend and value philosophy of investing. The manager’s process led to underweights in internet and technology stocks and added to performance. Selection in consumer discretionary also benefitted performance. Selection was poor in material stocks but was not enough to offset the strong performance elsewhere. Macquarie also outperformed due to strong stock selection and a slight value tailwind. The manager had strong selection in Brazilian consumer discretionary stocks that saw strong growth and benefitted from positive sentiment after the presidential election. Selection was also strong in energy, helping to offset poor selection in technology and financial stocks. Derivatives: Futures, warrants, options, index tracking certificates or listed derivative instruments may be used for hedging of investing purposes. Some sub-advisers may use derivatives to gain exposure to specific stocks, sectors or markets. In general, cash will be equitised. Exchange-traded funds and futures will be used for cash equitisation. January 2019

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THE SEI U.K. EQUITY FUND – INVESTMENT ADVISER’S REPORT The SEI U.K. Equity Fund is comprised of twenty four classes of Shares. The Fund was launched on 23 March 2001. The functional currency of The SEI U.K. Equity Fund is British Pound Sterling (GBP). Objective The investment objective of The SEI U.K. Equity Fund is long-term growth of capital and income through investment in a broadly diversified portfolio of U.K. equity securities. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: Invesco Jupiter Asset Management Los Angeles Capital Management Lindsell Train The following managers were hired during the period: None. The following managers were terminated during the period: None. Fund Attribution Beta: The six-month period ending 31 December 2018 was difficult for the UK equity market. The FTSE UK Series All Share Index returned -10.98% over the fiscal period, falling sharply on the back of global geopolitical and macroeconomic concerns; domestic-focused sectors suffered from increasing investor anxiety over the potential of a “no-deal” scenario following Brexit-related developments. Particularly challenging was the last quarter; amid rich market valuations and slowing earnings growth, fears over the world economic outlook drove elevated volatility in global equity markets. Rising bond yields, along with monetary policy tightening and the ongoing US-China trade war tensions, also provided headwinds. Low-volatility names benefitted from strong tailwinds in the risk-off environment, and more defensive market areas significantly outperformed their cyclical peers. At the sector level, low-volatility sectors, namely healthcare, utilities and telecommunication services outperformed; the more volatile industrials and consumer discretionary sectors posted the most significant losses over the fiscal period. Notably, in the UK market, sector performance didn’t necessarily reflect the traditional cyclical/defensive breakdown; information technology performed in line with the market despite risk-off investor sentiment, while the consumer staples sector failed to provide downside protection as the market fell. The energy sector lagged on the back of weakness in oil prices. Alpha: The Fund underperformed its benchmark over the fiscal period due to its cyclical holdings in a risk-off environment. An overweight to the consumer discretionary sector, which struggled, along with an underweight to the healthcare sector, which outperformed, were both detrimental to Fund performance. While the U.K. Equity Fund is benchmarked against the FTSE U.K. Series All Share Index, the Fund is actively managed by multiple sub-advisers with varying mandates. Managers: Lindsell Train was the best-performing manager over the fiscal period. Benefitting from stylistic tailwinds, the sub-adviser delivered strong relative returns due to the more defensive profile of its portfolio holdings. Jupiter followed and performed in line with its benchmark. Successful overseas picks mitigated stylistic headwinds and offset the unfavourable cyclical bias seen in the Fund’s overweight to consumer discretionary stocks and underweight to the healthcare sector. Invesco, the Fund’s multi-factor quantitative sub-adviser, held up well until October but underperformed the broader market for the entire period due to momentum headwinds over the final three months. Poor security selection in the consumer discretionary, energy and information technology sectors presented additional challenges. LA Capital performed worst at the Fund level. The sub-adviser was weakened by its structural underweight to larger-cap names, which outperformed as the market fell, along with headwinds to momentum investing and poor security selection in the rallying healthcare sector. Derivatives: The Fund utilised a total return swap during the period. Equity index futures were used for cash equitisation purposes. January 2019

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THE SEI EUROPEAN (Ex-U.K.) EQUITY FUND – INVESTMENT ADVISER’S REPORT The SEI European (Ex-U.K.) Equity Fund is comprised of twenty nine classes of Shares. The Fund was launched on 23 March 2001. The functional currency of The SEI European (Ex-U.K.) Equity Fund is Euro (EUR). Objective The investment objective of The SEI European (Ex-U.K.) Equity Fund is long-term growth of capital and income through investment in a broadly diversified portfolio of European equity securities. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: Acadian Asset Management METROPOLE Gestion Wellington Management Company The following managers were hired during the period: None. The following managers were terminated during the period: None. Fund Attribution Beta: The six-month period ending 31 December 2018 was difficult for the European equity market. The MSCI Europe ex-UK Index returned -9.65% (EUR) over the fiscal period, falling sharply on the back of global geopolitical and macroeconomic concerns; European equities suffered from the unstable political situation in Italy and a deepening debt crisis in Turkey. Particularly challenging was the last quarter; amid rich market valuations and slowing earnings growth, fears over the world economic outlook drove elevated volatility in global equity markets. Rising bond yields, along with monetary policy tightening and the ongoing US-China trade war tensions, also provided headwinds. Low-volatility names benefitted from strong tailwinds in the risk-off environment, and more defensive market areas significantly outperformed their cyclical peers. At the sector level, low-volatility sectors, namely healthcare, utilities, consumer staples and telecommunication services, outperformed; the more volatile information technology and consumer discretionary sectors posted the most significant losses over the fiscal period. The energy and materials sectors both lagged on the back of weakness in oil prices. Alpha:

The Fund underperformed its benchmark over the fiscal period due to its cyclical holdings and stylistic headwinds to value, which was particularly pronounced in the European region. Structural overweights to the volatile industrials and informational technology sectors, along with the avoidance of rallying defensive names in consumer staples, utilities and telecommunication services, were each detrimental to Fund performance. Small-cap names presented additional challenges as investors sought comfort in larger-cap stocks.

Managers:

All three managers underperformed the broad market index.

Acadian was most resilient, as its momentum tilt somewhat mitigated unfavourable value bias; the tilt helped over the third quarter of 2018 as the market moved sideways prior to the October downturn.

Wellington posted weaker returns compared to Acadian. While its style bias toward high-quality, high-profitability stocks was not particularly detrimental, poor security selection in industrials, the sector with the largest active weight, determined the manager’s performance.

Metropole lagged the other two managers due to unfavourable positioning against market trends. The negative effect of a value bias was multiplied by poor security selection within European banks. Derivatives: Equity index futures were used for cash equitisation purposes. January 2019

16


THE SEI JAPAN EQUITY FUND – INVESTMENT ADVISER’S REPORT The SEI Japan Equity Fund is comprised of twenty seven classes of Shares. The Fund was launched on 01 September 2000. The functional currency of The SEI Japan Equity Fund is Japanese Yen (JPY). Objective The investment objective of The SEI Japan Equity Fund is long-term growth of capital and income through investment in a broadly diversified portfolio of Japanese equity securities. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: Acadian Asset Management Sompo Japan Nipponkoa Asset Management Company The following managers were hired during the period: Sompo Japan Nipponkoa Asset Management Company (September 2018) The following managers were terminated during the period: Capital International (September 2018) Fund Attribution Beta: Trade tensions between the US and China escalated during the six-month reporting period ending 31 December 2018, leading to uncertainties surrounding the Chinese economy and Japan's export industries, including automobiles. Companies with high exposures to Chinese tourism and consumers were also adversely affected. Consequently, market sentiment turned more cautious, leading to a risk-averse environment that was biased toward stocks with defensive characteristics. As a result, utilities was among the best-performing sectors, while information technology, particularly semiconductors and communications equipment, was weak. Consumer discretionary also fell on bearish sentiment, especially in internet retailing, distributors and auto components. Similarly, the energy and materials sectors struggled due to lower commodity prices. Generally, defensive sectors such as consumer staples and healthcare performed better than cyclical sectors. Within consumer staples, household products posted mild gains, while healthcare providers and services also delivered moderately positive returns. Alpha: Fund performance was hurt by an underweight to the consumer staples sector, especially in food products and beverages, as defensive sectors performed better in a flight-to-quality market environment. Poor security selection within consumer discretionary, particularly in hotels, restaurants and leisure, as well as household durables, also detracted due to concerns on potential weakness in retail consumption. An overweight to paper and forest products also added to the weak performance. However, an overweight to healthcare contributed, as investors were biased toward companies with more predictable earnings, particularly in healthcare providers, with its longer-term assumption of steady growth. Positive security selection in pharmaceuticals and electric utilities also benefitted performance, as did the Fund’s overweight to real-estate management and development. At the factor level, the performance of risk premium was flat, while momentum delivered negative results. Stability posted mild gains, primarily due to the positive performance of the low-beta factor which was preferred by the investors in a risk-averse environment. Managers: Acadian slightly underperformed, due primarily to its overweight to the consumer discretionary sector and underweight to consumer staples. Within consumer discretionary, an overweight to household durables hurt performance due to concerns over retail consumption. Poor security selection within hotels, restaurants and leisure, as well as auto components, also detracted. In the consumer staples sector, underweight positioning in food products and beverages worked poorly as the market was biased toward stocks with more predictable revenue streams. Conversely, an overweight position to healthcare, especially in pharmaceuticals and healthcare providers, added value. Sompo Japan Nipponkoa Asset Management was added to the Fund in September. Its overweight position to the financials sector, particularly banks, worked against it. Poor security selection within insurance and consumer finance also hurt performance. Also, underweight positioning in the utilities and consumer staples sectors moderately detracted since defensive sectors generally performed better than cyclical. On the other hand, positive stock selection in telecommunication services contributed, especially in wireless telecommunication services. An overweight to real estate also added value. Capital International outperformed during the period before its termination in September; it benefitted from overweight positions in capital markets and diversified financial services. The stock holdings of some major companies within the two industries outperformed smaller peers due to the broader exposures of business segments within the larger companies. Also, underweight positions within the automobiles and hotels, restaurants and leisure sectors also add value. However, a modest overweight to energy, particularly energy equipment and services, slightly detracted. An overweight to healthcare equipment and supplies also detracted from performance.

17


THE SEI JAPAN EQUITY FUND – INVESTMENT ADVISER’S REPORT (continued) Fund Attribution (continued) Derivatives: Derivatives are not used for speculative purposes within the Fund. January 2019

18


THE SEI PACIFIC BASIN (Ex-JAPAN) EQUITY FUND – INVESTMENT ADVISER’S REPORT The SEI Pacific Basin (Ex-Japan) Equity Fund is comprised of twenty two classes of Shares. The Fund was launched on 01 September 2000. The functional currency of The SEI Pacific Basin (Ex-Japan) Equity Fund is US Dollar (US$). Objective The investment objective of The SEI Pacific Basin (Ex-Japan) Equity Fund is long-term growth of capital and income through investment in a broadly diversified portfolio of Pacific Basin (Ex-Japan) equity securities. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: Maple-Brown Abbott Limited Principal Global Investors The following managers were hired during the period: None. The following managers were terminated during the period: None. Fund Attribution Beta: Asian equity markets traded lower during the six-month reporting period due to uncertainties surrounding continuing trade tensions between the US and China. The potential impact of a prolonged trade war could lead to structural changes in the global manufacturing supply chain and lower economic growth in many countries in the region. The damage was not limited to exporters, but consumer stocks as well, since retail consumption was expected to slow. Consequently, risk aversion dominated market sentiment, and defensive sectors were preferred over cyclicals. As a result, the utilities and real-estate sectors outperformed, while information technology, telecommunication services and consumer discretionary performed poorly. From a country perspective, China, which was at the crosshairs of the US trade dispute, struggled the most. Many Chinese stocks in the consumer staples, healthcare and information technology sectors fell sharply. South Korea, which exports significantly to China, also suffered, particularly in information technology and consumer staples. Conversely, India and Thailand outperformed. Australia was weighed down by its energy sector which was adversely affected by lower commodity prices. Alpha: The Fund’s overweight to the Australian energy sector detracted from performance as commodity prices fell. In China, one holding within the automobiles sector also hurt performance after the stock plunged on news of a corporate transaction that was perceived to hurt existing shareholders. In the consumer discretionary sector, an overweight to hotels, restaurants and leisure detracted as most stocks in the industry fell sharply due to the potential impact of the trade war on retail consumption. On the other hand, an underweight to healthcare added value, especially in biotechnology and pharmaceuticals. An underweight to electronic equipment and instruments within the information technology sector also contributed as most stocks within the industry experienced a pullback. At the factor level, risk premium performed poorly. Momentum also delivered weak results, while stability posted a modest gain, primarily due to positive performance of the low-beta factor which was preferred by the investors in a risk-averse environment. Managers: Principal posted negative results over the last six months. Overweight positions in banks and consumer discretionary detracted most. In banks, poor stock selection in Korea and an overweight to Hong Kong hurt performance, while the Fund’s overweight positions in India and Malaysia helped offset some of the loss. Within consumer discretionary, an overweight to hotels, restaurants and leisure detracted as most stocks in the industry fell sharply due to the potential impact of the trade war on retail consumption. An overweight to Korean multiline retail also detracted. Conversely, an underweight to healthcare and positive stock selection within the energy sector contributed moderately. Maple Brown Abbott was hurt by its overweight positions in both the energy and consumer discretionary sectors. As commodity prices trended lower, many stocks in the energy sector fell, particularly in China and Australia oil, gas and consumable fuels, where the Fund was overweight. In consumer discretionary, one holding in automobiles hurt performance after the stock plunged on news of a corporate transaction that was perceived to hurt existing shareholders. Also, an overweight to hotels, restaurants and leisure detracted due to the potential adverse impact of an extended trade war. However, overweight positions in India and Thailand banks contributed to performance, as did an overweight to the insurance sector. Derivatives: Derivatives are not used for speculative purposes within the Fund. January 2019

19


THE SEI GLOBAL EQUITY FUND – INVESTMENT ADVISER’S REPORT The SEI Global Equity Fund is comprised of twenty five classes of Shares. The Fund was launched on 06 September 2000. The functional currency of The SEI Global Equity Fund is US Dollar (US$). Objective The investment objective of The SEI Global Equity Fund is capital appreciation through investment primarily in equity securities of issuers located in Developed Countries. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: Fondsmaeglerselskabet Maj Invest A/S INTECH Investment Management Jupiter Asset Management Lazard Asset Management LSV Asset Management* Metropole Gestion Poplar Forest Capital Rhicon Currency Management Sompo Japan Nipponkoa Asset Management Company, Ltd Towle & Co. *LSV Asset Management is a partially-owned indirect subsidiary of SEI Investments Company. For this service, LSV Asset Management is entitled to receive a fee from SIMC. LSV Asset Management’s mandate was changed during the period; LSV Asset Management US Large Cap Value was replaced by LSV Asset Management Global Managed Volatility (November 2018) The following managers were hired during the period: Poplar Forest Capital (October 2018) The following managers were terminated during the period: None. Fund Attribution Beta: The six-month fiscal period ending 31 December 2018 was a period of changing market environments. In the third quarter of 2018, global equities trended higher, but regional markets performed differently than the US. Global growth was almost entirely supported by the concentrated outperformance of US large-cap names in information technology and healthcare, while non-US equities bitterly suffered from rising tensions associated with US-China trade wars, concerns about the political situation in Italy and a deepening economic crisis in Turkey. Given the political environment, emerging markets faced the greatest challenge, as the downturn was coupled with an emerging-market currency crisis. October marked a reversal with a dramatic selloff across global equity markets, including the US. Fear of an economic recession, slowing earnings growth and historically rich equity valuations, increasing bond yields and monetary policy tightening, along with the political uncertainty around Brexit and US-China trade tensions all contributed to investor anxiety. In the risk-off environment, low-volatility securities benefitted from strong tailwinds, and more defensive areas of the market significantly outperformed their cyclical peers. Alpha: The Fund underperformed the MSCI World Index (USD) benchmark over the fiscal period. An unfavourable market environment, along with poor security selection, drove weak performance for local value managers, whose portfolios tended to be more cyclical than the market and have a higher small-cap tilt. The introduction of LSV’s Global Managed Volatility strategy improved the Fund’s alpha source positioning and partially mitigated the negative impact of higher-volatility exposure.

From a sector perspective, the Fund’s focus on cheaper names in cyclical areas of the market, mainly the consumer discretionary, financials and industrials sectors, was detrimental to Fund performance. An underweight to defensive sectors, such as consumer staples, utilities and real-estate investment trusts, also detracted.

Managers:

Global managers underperformed mainly due to momentum headwinds. Both Intech and Lazard struggled, particularly in the last quarter, when the market was overwhelmed by risk-off sentiment and momentum gains were erased. Supported by alpha source tailwinds, LSV, was the only strategy to post strong relative returns, but the manager’s positive contribution was insufficiently large to make a tangible impact at the Fund level.

Value-oriented by Fund construction, all local managers detracted. Underperformance was attributed to high exposure to cyclical areas of the market and a lack of alpha source support. Towle was the worst-performing manager; its small-cap bias, high-volatility profile and poor security selection all detracted. Poplar faced similar headwinds due to its cyclical allocations in the US market; however, it fared slightly better than Towle

20


THE SEI GLOBAL EQUITY FUND – INVESTMENT ADVISER’S REPORT (continued) Fund Attribution (continued)

Managers (continued):

due to the avoidance of small-cap names. Metropole suffered from exposure to the struggling Italian financials sector and poor security selection in information technology. Weakened by unfavourable exchange rate movements, Rhicon, the Fund’s currency specialist, posted negative returns. Derivatives: The Fund used equity index and currency futures for cash equitisation and risk management purposes. Currency options, forwards and futures have been utilised for return-seeking objectives. January 2019

21


THE SEI GLOBAL FIXED INCOME FUND – INVESTMENT ADVISER’S REPORT The SEI Global Fixed Income Fund is comprised of thirty classes of Shares. The Fund was launched on 01 July 2002. The functional currency of The SEI Global Fixed Income Fund is US Dollar (US$). Objective The investment objective of The SEI Global Fixed Income Fund is to generate current income consistent with the preservation of capital by investing in global fixed income markets. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: AllianceBernstein Brandywine Global Investment Management Colchester Global Investors Limited Insight Investment Management (Global) Schroder Investment Management The following managers were hired during the period: Insight Investment Management (Global) (July 2018) The following managers were terminated during the period: None. Fund Attribution Beta: Government bond yields rose over the first half of the six-month fiscal period, before reversing course sharply as global growth weakened and the Federal Reserve adopted a surprisingly more dovish tone. Yields over the entire period were little changed, although yield curves continued to flatten, reflecting tighter monetary policy and the market’s expectations of lower long-term growth. The Fed, along with fourteen other central banks hiked interest rates during the second half of 2018. Global risk aversion towards the end of the year manifested itself in other market moves, with credit spreads widening and breakeven inflation rates falling. Against this backdrop, duration-sensitive government bonds outperformed duration-matched off-index credit sectors. The Bloomberg Barclays Global Treasury Index (USD) gained 0.36% during the period. Alpha: During the period, the Fund returned -0.23% and underperformed its benchmark by 59 basis points. The main detractors included an overweight to Mexican local-currency bonds, duration exposure in the UK, off-index exposure to credit and inflation-linked bonds and some currency positioning, particularly an overweight to the Norwegian krone and underweight to the Japanese yen. An underweight to the euro against an overweight to the Swedish krona, along with overweights to Australia and Brazilian local rates and a yield-curve-flattener bias each contributed. Managers: AllianceBernstein outperformed by 15 basis points due to overweights to Australia and Canada, an underweight to Italy and an overweight to the Mexican peso.

Insight was added to the Fund during the reporting period and underperformed by 42 basis points; it was weakened by its off-index exposure to inflation-linked bonds and an underweight to interest-rate risk.

Colchester underperformed by 105 basis points. Local-currency Mexican bonds, off-index inflation exposure and overweights to the Norwegian krone and British pound detracted.

Schroders underperformed by 121 basis points. Off-index credit exposure, an underweight to Canadian duration and an overweight to the Norwegian krone weakened Fund performance.

Brandywine underperformed by 176 basis points. The underperformance was attributable to off-index corporate credit and inflation exposure, local-currency Mexican bonds and overweights to the Colombian peso, Norwegian krone and British pound.

Derivatives:

The Fund used futures, swaps, options and currency forwards during the period.

January 2019

22


THE SEI GLOBAL OPPORTUNISTIC FIXED INCOME FUND – INVESTMENT ADVISER’S REPORT The SEI Global Opportunistic Fixed Income Fund is comprised of twenty nine classes of Shares. The Fund was launched on 01 July 2002. The functional currency of The SEI Global Opportunistic Fixed Income Fund is US Dollar (US$). Objective The investment objective of The SEI Global Opportunistic Fixed Income Fund is to generate current income and exhibit principal volatility similar to that of the global developed fixed income market as a whole. “Principal volatility” is a measure of the volatility of the capital value of the securities which comprise the relevant market (as opposed to the volatility of the dividend yield of the securities which comprise the relevant market). Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: AllianceBernstein J.P. Morgan Investment Management Inc. Schroder Investment Management Limited (two distinct mandates) Wellington Management Company The following managers were hired during the period: None. The following managers were terminated during the period: None. Fund Attribution Beta: Government bond yields rose over the first half of the six-month fiscal period, before reversing course sharply as global growth weakened and the Federal Reserve adopted a surprisingly more dovish tone. Yields over the entire period were little changed, although yield curves continued to flatten, reflecting tighter monetary policy and the market’s expectations of lower long-term growth. The Fed, along with fourteen other central banks hiked interest rates during the second half of 2018. Global risk aversion towards the end of the year manifested itself in other market moves, with credit spreads widening and breakeven inflation rates falling. Against this backdrop, duration-sensitive government bonds outperformed duration-matched off-index credit sectors. The Bloomberg Barclays Global Aggregate ex-Treasury Index (USD) gained 0.15% during the period. Alpha: During the period, the Fund was down 0.19% and underperformed its benchmark. The Fund’s down-in-quality bias, supported by the Fund’s marginally overweight credit beta, detracted; overweights to the energy sector and the Norwegian krone also hurt relative performance. An overweight to Australia and underweight to corporates, notwithstanding the lower-quality bias, enhanced Fund returns. Managers:

The government-related Schroders mandate underperformed its benchmark by 108 basis points. Detractors included the off-index corporate credit exposure, an underweight to Canada and overweights to the energy sector, Norwegian krone and Mexican peso.

The corporate Schroders mandate underperformed its benchmark by 70 basis points due primarily to its overweight to the energy sector.

JP Morgan underperformed its customised benchmark by 37 basis points. Underperformance was mainly from its exposure to financials and other idiosyncratic allocations.

Alliance Bernstein slightly underperformed its benchmark by 4 basis points, while Wellington slightly outperformed its benchmark by 3 basis points.

Derivatives:

The Fund used futures, swaps, options and currency forwards during the period.

January 2019

23


THE SEI EMERGING MARKETS DEBT FUND – INVESTMENT ADVISER’S REPORT The SEI Emerging Markets Debt Fund is comprised of twenty five classes of Shares. The Fund was launched on 01 July 2003. The functional currency of The SEI Emerging Markets Debt Fund is US Dollar (US$). Objective The investment objective of the Fund is to maximise total return from investing primarily in fixed-income securities that are issued by issuers located in Emerging Market countries. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: Colchester Global Investors Investec Asset Management Marathon Asset Management Neuberger Berman Investment Advisers Stone Harbor Investment Partners The following managers were hired during the period: Colchester Global Investors (October 2018) Marathon Asset Management (October 2018) The following managers were terminated during the period: None. Fund Attribution Beta: Hard- and local-currency debt markets returned 1.02% and 0.25%, respectively, in the six-month period ending 31 December 2018. Although both asset classes ended with positive overall returns, monthly performance throughout the period was volatile. Emerging markets (EM) were up against a generally negative backdrop of conditions–a continued economic slowdown in China, confrontational trade rhetoric from the Trump administration, subdued inflation across many EM countries, rising oil prices and an increase in market volatility. Despite widening spreads and rising yields, the hard-currency portion of the index managed to produce positive returns, while local-currency assets ended slightly positive in spite of a majority of EM currencies weakening to the US dollar. Dedicated EM bond funds saw net positive inflows for the year in both hard- and local-currency markets, estimated at $10 billion and $9.3 billion, respectively. Those figures are far from the more than $70 billion and $40 billion inflows that hard- and local-currency saw in 2017. The slowdown in flows was partly attributable to the increased volatility and flight to safety that occurred in 2018. Alpha: An overweight to the worse-performing local-currency debt sector detracted from performance, but selection to some EM currencies, like the off-benchmark Egyptian pound, mitigated losses. An underweight to better-performing local-currency debt also detracted from performance, although this was mitigated by off-benchmark exposure to hard-currency corporates, which outperformed sovereigns. In addition to sector selection within the Fund, an overweight to Turkey was the most significant detractor, driven by exposure to the Turkish lira. Snap elections were held in Turkey over the summer that saw President Erdogan win broad new power thanks to a previously-passed constitutional referendum. The vote set off investor worries regarding institutional independence in the country, particularly within the central bank and its decision on whether or not to hike interest rates, a move which Erdogan vocally opposed. In the face of persistently high inflation, the central bank belatedly increased rates, but not before its currency, the lira, had weakened significantly to the US dollar. The lira eventually recovered in the fall but not enough to retrace to where it was before the summer. An overweight to Argentina also detracted. Caught up in the selloff triggered by the crisis in Turkey, the Argentinian peso weakened significantly over the summer as investors began to worry about persistently high inflation and the country’s ability to pay off debt obligations that will come due over the next year. Unlike in Turkey, however, the central bank did not hesitate to respond with rate hikes to stabilise the currency, and President Macri secured additional loans from the International Monetary Fund (IMF) to assuage investors. The currency retraced some of its losses during the fourth quarter but not enough to cover the steep selloff it had already experienced. Off-benchmark positioning to Egyptian local-currency bonds was the most significant contributor to Fund performance during the six-month period. The country performed well under an IMF-backed program, and authorities are expected to stick to fiscal targets. The balance of payments within the country has been healthy and is expected to remain so thanks to improvements to tourism, Suez canal revenues, domestic industry (especially gas fields) and the overall trade balance. A short position in the Israeli new shekel also benefitted Fund performance. Israel’s economic growth registered a modest slide in momentum, while the trade balance deteriorated. On top of that, there is some uncertainty about the future direction of monetary policy as a leader at the central bank is near the end of her term. Managers: Stone Harbor detracted during the period. An overweight to Mexico and Colombian local-currency debt weakened performance, while overweights to Brazilian local-currency debt and Ukrainian hard-currency debt contributed.

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THE SEI EMERGING MARKETS DEBT FUND – INVESTMENT ADVISER’S REPORT (continued) Fund Attribution (continued) Managers (continued):

Neuberger Berman also detracted during the period. An underweight to Brazilian local-currency debt and South African security selection both created performance headwinds, although security selection within Turkey and an underweight to Hungary local-currency debt contributed.

Investec contributed to performance during the period. An overweight to Egyptian local-currency debt and an underweight to Romanian local-currency debt both outperformed, while an underweight to Brazilian local-currency debt and an overweight to Mexican local-currency debt detracted.

Both Colchester and Marathon were added to the Fund on 24 October 2018 and outperformed for the period they were included.

Derivatives: Currency forwards and interest-rate swaps were the primary derivatives used within the Fund to optimise active currency and duration exposures efficiently. Currency forwards had a material impact on the Fund over the six-month period, as 50% of the benchmark is directly affected by foreign currencies. Impacts differed on a country-to-country basis, depending on whether the forward increased or decreased currency exposure and whether the currency strengthened or weakened against the US dollar. January 2019

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THE SEI PAN EUROPEAN SMALL CAP FUND – INVESTMENT ADVISER’S REPORT The SEI Pan European Small Cap Fund is comprised of twenty six classes of Shares. The Fund was launched on 01 July 2003. The functional currency of The SEI Pan European Small Cap Fund is Euro (EUR). Objective The investment objective of The SEI Pan European Small Cap Fund is long-term growth of capital and income through investment in a broadly diversified portfolio of European equity securities of small companies. Investment Approach Statement The Fund uses a sub-adviser to manage the Fund under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-adviser as of 31 December 2018: Quoniam Asset Management The following managers were hired during the period: None. The following managers were terminated during the period: None. Fund Attribution Beta: The six-month period ending 31 December 2018 was difficult for the UK equity market. The MSCI Europe Small Cap Index returned -17.41% over the fiscal period, falling sharply on the back of global geopolitical and macroeconomic concerns; European equities suffered from increasing investor anxiety over an unstable political situation in Italy and a deepening debt crisis in Turkey. Particularly challenging was the last quarter; amid rich market valuations and slowing earnings growth, fears over the world economic outlook drove elevated volatility in global equity markets. Rising bond yields, along with monetary policy tightening, the ongoing US-China trade war tensions and investor anxiety over Brexit also provided headwinds. In the risk-off environment, small-cap stocks were hurt most as investors sought comfort in larger-cap securities; driven by strong alpha source tailwinds, more defensive market sectors significantly outperformed their cyclical peers. At the sector level, low-volatility sectors, namely utilities, real-estate investment trusts (REIT), healthcare and consumer staples outperformed; the more volatile information technology and consumer discretionary sectors posted the most significant losses over the fiscal period. The energy and materials sectors both lagged due to weakness in oil prices. Alpha: The Fund outperformed its benchmark over the fiscal period. The manager’s multifactor model led to higher-quality portfolio than the benchmark and allowed the Fund to better address the dynamic market environment. The Fund’s reduced volatility translated into high active exposure to REITs and consumer staples; coupled with positive stock selection in the materials sector, the exposures supported Fund outperformance in a challenging period. Derivatives: Equity index futures were used for cash equitisation purposes. January 2019

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THE SEI U.K. CORE FIXED INTEREST FUND – INVESTMENT ADVISER’S REPORT The SEI U.K. Core Fixed Interest Fund is comprised of eight classes of Shares. The Fund was launched on 01 March 2004. The functional currency of The SEI U.K. Core Fixed Interest Fund is British Pound Sterling (GBP). Objective The investment objective of The SEI U.K. Core Fixed Interest Fund is to generate current income and exhibit principal volatility similar to that of the U.K. Sterling denominated bond market as a whole. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as of 31 December 2018: PIMCO Europe Schroder Investment Management Wellington Management Company The following managers were hired during the period: None. The following managers were terminated during the period: None. Fund Attribution Beta: During the six-month period ending 31 December 2018, UK inflation hit 2.3% in November, the lowest in 20 months and down from 2.7% in August. Gilts ended the reporting period around 1.28%, marginally tighter over the six months with a similar move across the curve. Breakevens were higher over the same time but slid in December to end around 3.07% for the 10-year point. The Bank of England maintained a dovish tone, noting only incremental rate changes amid Brexit uncertainty; the key rate was increased to 0.75% in August. Gross domestic product (GDP) growth, while strong in the third quarter, looked to soften at the end of the year, with consumption also falling amid lower retail sales and weaker purchasing managers indexes. In mid-November, the UK and EU agreed to a Brexit deal to be voted on by UK parliament; this vote was cancelled in early December, and discussions in Parliament continue into 2019. A leadership challenge late in the year followed the cancellation of Parliament’s vote on the Brexit deal. Although about a third of her party voted against it, Theresa May eventually won a vote of confidence, although a stream of cabinet resignations followed. May’s victory, though small in the scale of the Prime Minister’s challenges, reduces one notable uncertainty that May would be the Prime Minister to last through 29 March; a labour challenge to call a general election looks unlikely, though it is still possible. Chancellor of the exchequer Phillip Hammond published a budget in October that would see borrowing rise to 1.4% of GDP in 2019, a declaration that Britain’s era of austerity was finally over. Risk assets generally struggled in the second half of the year. A reduction in central bank balance sheets was a contributing factor that hurt all risk assets. Compounded by domestic uncertainties and a slip in business confidence indicators, there was little to keep sterling spreads from widening. Alpha: The Fund underperformed its benchmark over the six-month period by 23 basis points. A tilt towards credit, particularly an overweight to banks, proved a headwind towards the end of the year. A lower-quality bias against the benchmark also detracted. Managers: PIMCO trailed its benchmark by 13 basis points. An overweight to banks detracted from performance. Schroders underperformed its benchmark by 130 basis points ov