SEI Stable Asset Fund As of 09 30 2010 The by icb16525


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									SEI Stable Asset Fund                                                                                                                                                            As of 09/30/2010

The Economy
                ▪                   Economists across the board cut their GDP forecasts for 2010 and 2011 during the third quarter. We too lowered our forecast when we were reminded of the
                                    old economics adage: one bad data point is an outlier, two are a coincidence and three are a trend. We now expect 2010 and 2011 GDP growth to be 2.8%
                                    and 2.2%, respectively, down from 3% and 2.5%.
                ▪                   Strong corporate cash flows, sufficient household income, low interest rates, improving credit access, stronger balance sheets, and plenty of pent-up demand
                                    augurs for above-potential GDP growth, but we expect GDP growth to be below potential in 2011 because the key leavening ingredient, confidence, is
                ▪                   Real consumption growth increased at a modest 2% annualized rate during the first half of 2010, and it appears to be on track to rise at a 2% or better rate
                                    during the second half of the year. To get consumers to loosen their purse strings, employment growth will have to improve. Indeed, employment growth is the
                                    elixir that will treat all economic ills.
                ▪                   Hiring is being stymied by economic uncertainty and tight credit. The Fed is seeking to address the credit problem, but Congress is exacerbating the
                                    confidence problem by failing to provide clarity about future regulatory and taxation policies. We believe Washington should extend the lion's share of the Bush
                                    tax cuts.
                ▪                   Job creation will remain a political hot button and could result in additional job-related stimulus despite newly discovered fiscal rectitude. It is imperative that
                                    Congress develop realistic plans about future deficit control, but it must be careful about how and when it implements austerity plans. Destroying the recovery
                                    by tightening prematurely will only exacerbate the problem.
                ▪                   The Fed appears to be on the verge of engaging in a new round of quantitative easing. Numerous FOMC officials have made their case for more easing from
                                    the dais, but it has yet to be fully debated (and voted) by the FOMC. The risk is that the program is less robust than market expectations.
                ▪                   The ultimate direction of bond yields will be driven by the inflation outlook. The recent recovery in market-implied future inflation rates suggests that investors
                                    believe the Fed will successfully generate higher inflation as a result of increased quantitative easing. Our inflation forecast anticipates very mild disinflation
                                    over the next twelve months and then a return to stronger inflation trends in the year after that.

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SEI Stable Asset Fund                                                                                                                                          As of 09/30/2010

In The Markets

A healthy dichotomy of declining Treasury yields and contracting credit spreads led to strong performance in the bond markets in the third quarter, with the Barclays Capital
Aggregate Index producing returns of nearly 2.5% for the period. Attractive valuations and sound credit fundamentals fuelled demand for corporate bonds even as rates declined in
response to sluggish economic growth, low inflation, and indications that the Fed was moving toward further policy accommodation via additional Treasury purchases.

After a tumultuous second quarter, during which consumer and investor confidence was shaken by the European debt crisis, the stock market's "flash crash," and a series of
unpopular decisions by government policymakers, risk appetite gradually began to recover. Economic data, however, showed that growth had slowed meaningfully from its pace
during the early part of the year.

These conditions, combined with uncomfortably low inflation and continued weakness in the housing markets, prompted Fed Chairman Ben Bernanke and several other key Fed
officials to consider implementing further monetary stimulus in an effort to boost economic growth.

With overnight rates already hovering near zero and an increasing likelihood of a new round of large-scale asset purchases by the Fed, investors reached out the curve and drove
Treasury yields to their lowest levels of the year. As a result, the Treasury component of the Barclays Capital Aggregate Index registered a strong gain of 2.73% for the quarter.

The credit markets weathered concerns of slowing growth quite well, as companies reported healthy second quarter profits and issued new debt at attractive spreads over
Treasuries. After the events of the second quarter pushed credit spreads out to their widest levels of the year, investors returned to the corporate bond market with a healthy
appetite, driving spreads tighter by almost 20 basis points in their search for yield, and absorbing significant new supply in the process.

Mortgages did not fare nearly as well as corporates, and proved to be the worst performer among the major sectors of the bond market during the third quarter. After the Fed
announced its plan to reinvest maturing proceeds in the Treasury market, investors viewed the passive reallocation as a negative for the mortgage market and pared back exposure
to the sector.

Attractive valuations and dwindling supply in commercial mortgage-backed securities helped that sector surge 6.41% during the period, outperforming comparable Treasuries by
over four percentage points as spreads tightened 65 basis points. Asset-backed securities outperformed Treasuries for similar reasons but posted much more modest excess
returns because already tight spreads had limited scope to tighten further.

Other sectors of the bond market posted similarly positive results. Like their investment grade counterparts, high yield corporates also benefitted from the improvement in risk
appetite, posting a very strong quarterly return of 6.71%.

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SEI Stable Asset Fund                                                                                                                                                             As of 09/30/2010

Portfolio Commentary
                ▪                   Broadly speaking, fixed income performance continued to be strongly positive during the third quarter. As a result, the underlying strategies employed by the
                                    SEI Stable Asset Fund ("the Fund") proved beneficial to the Fund.
                ▪                   During the third quarter, the Fund transitioned from the traditional collective fund structure (held units of the Target 2 and Target 5 Funds) to holding individual
                                    securities in a separate custody account via an in-kind transaction. The Fund continues to own a blend of high-quality securities diversified across fixed
                                    sectors and the yield curve. In conjunction with the asset transition, the investment guidelines of the Fund were revised to allow for investments in investment
                                    grade corporate securities within the synthetic contracts.
                ▪                   We believe that the new structure and increased direct ownership of securities will benefit the Fund in the following ways:
                                         ◦ Provide greater transparency regarding holdings and investment performance.
                                         ◦ Allow management to a customized benchmark well suited for a stable value portfolio.
                                         ◦ Generate principal and interest cash flows to better fit the asset/liability match for the Fund.
                                         ◦ Improve duration control.
                                         ◦ Allow for re-allocation into sectors aimed at improving yield.
                ▪                   We continue to pare the John Hancock Core separate account contract. We anticipate that this contract will be fully liquidated by year-end. Historically, this
                                    contract represented approximately 10% of Fund assets. The contract returned to par earlier this year and thus availed us the opportunity to provide liquidity
                                    with no impact to the Fund. In addition, this allowed us to reduce duration to better match the liability profile of the Fund as well as our anticipation of higher
                                    rates in the near future.
                ▪                   Treasury and agency exposure, representing over 31% of total assets, continue to be the Fund's largest fixed income sector concentration, followed by
                                    allocations to high-quality asset-backed, commercial mortgage-backed securities and investment-grade corporates which represent 10.7%, 12.2% and 15.0%,
                ▪                   The duration posture of the Fund remains conservative at just under 2.10 years as approximately 74% of bonds have durations of less than 3 years.
                                    Additionally, the Fund's average credit quality remained AAA throughout the quarter, as approximately 88% of the Fund's assets are rated AAA or better.
                ▪                   The Fund continues to preserve participant capital while providing an attractive return relative to money market alternatives. The Fund provided participants a
                                    gross return of 1.08% and 0.23% for the one-year and three-month time periods, outperforming the MFR Money Market Index by 104 and 22 basis points,
                                    respectively. Additionally, the Fund continues to outperform the index over the 3-, 5-, and 10-year periods.

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SEI Stable Asset Fund                                                                                                                                                                                                                                             As of 09/30/2010

KEY STATISTICS 1                                                                           INVESTMENT PERFORMANCE 2
                                                                                            Image description.
                                                                                                           6 groups with
                                                                                           Bar chart withScale label. 3 items per group.
                                                                                           X scale titled Rate of Return (%).
                                                                                           Y scale titled

                                                                                           Group 1, 1 Month. Asset Fund 0.08.
                                                                                           Item 1, SEI Stable Asset Fund (Net) 0.06.
                                                                                           Item 2, SEI Stable

 Fund Balance:                                                            $4.870 Billion
                                                                                           Item 3, MFR Money
                                                                                           Group SEI Stable Market Index 0.
                                                                                           Item 1,2, 3 Month. Asset Fund 0.23. 0.15.
                                                                                           Item 2, SEI Stable Asset Fund (Net)
                                                                                           Item 3, MFR Money Market Index 0.01.
                                                                                           Item 1,3, 1 Year. Asset Fund 1.08. 0.78.
                                                                                           Item 2, SEI Stable Asset Fund (Net)
                                                                                           Item 3, SEI Stable Market Index 0.04.
                                                                                                   MFR Money
                                                                                           Group 4, 3 Year Annualized. 2.49.
                                                                                           Item 1, SEI Stable Asset Fund (Net) 2.18.
                                                                                           Item 2, SEI Stable Asset Fund
                                                                                           Item 3, MFR Money Market Index 1.1.
                                                                                           Group 5, 5 Year Annualized. 3.32.
                                                                                           Item 1, SEI Stable Asset Fund (Net) 3.01.
                                                                                           Item 2, SEI Stable Asset Fund
                                                                                                   MFR Money Market Index 2.44.
                                                                                           Item 3,6, 10 Year Annualized.
                                                                                           Group SEI Stable Asset Fund 4.27.
                                                                                           Item 1, SEI Stable Asset Fund (Net) 3.96.
                                                                                           Item 2, MFR Money Market Index 2.19.
                                                                                           Item 3,
                                                                                            End of image description.

 Current Spot Yield:                                                            1.05%
 Duration:                                                                  2.08 Years
 Average Credit Quality:                                                      AAA/Aaa                                                                                                                                                                             4.27

                                                                                               Rate of Return (%)
 Share Price (NAV):                                                              $1.00
OBJECTIVE                                                                                                                                                                                           2.49                                                   2.44
                                                                                                                                                                                                                    2.18                                                        2.19
 Preservation of principal, stable market value
 Earn current income while tracking intermediate-
 term interest rates                                                                                                                                                       1.08                                                      1.10

STRATEGY                                                                                                                      0.08 0.06 0.00            0.23 0.15
                                                                                                                                                                    0.01                 0.04
 Invests in a diversified portfolio of high quality                                                                                    1 Month            3 Month             1 Year                   3 Year                                   5 Year             10 Year
 investments to reduce risk                                                                                                                                                                          Annualized                               Annualized          Annualized
 Utilizes wrapped fixed income investments to                                                                                                                                                   o
                                                                                                                                      SEI Stable Asset Fund                SEI Stable Asset Fund (Net)                                      MFR Money Market Index
 enhance credit quality and diversification

STABLE VALUE SECTORS                                                                       CREDIT QUALITY                                                                                           DURATION
 Image description.                                                                          Image description.                                                                                      Image description.
Pie chart with 4 items.
Item 1, Cash/Cash Equivalents 2% 1.5%.                                                      Pie chart with 5 items.
                                                                                            Item 1, Govt/Agency 38% 0.38%.                                                                          Pie chart with 5 items. 40.8%.
                                                                                                                                                                                                    Item 1, 0-1 Years 41% 33.4%.
Item 2, Separate Broad Market 92% 92.1%.
                   Account 6%
Item 3, Wrapped GIC 0% 0%. 6.4%.
Item 4, Wrapped
                                                                                            Item 2, AAA 50% 0.5%.
                                                                                            Item 3, AA 3% 0.02%.
                                                                                            Item 4, A 4%4% 0.04%.
                                                                                                                                                                                                    Item 2, 1-3 Years 33% 15.1%.
                                                                                                                                                                                                    Item 3, 3-5 Years 15%
 End of image description.                                                                  Item 5, BBB 0.04%.                                                                                      Item 4, 5-7Years 5% 5.4%.
                                                                                                                                                                                                    Item 5, 7+ Years 5% 5.2%.
                                                                                             End of image description.                                                                               End of image description.

                                                           Cash/Cash Equivalents    1.5%                                                            Govt/Agency                      38.1%                                                            0-1 Years                         40.8%

                                                           Separate Account         6.4%                                                            AAA                              50.1%                                                            1-3 Years                         33.4%

                                                           Wrapped Broad Market    92.1%                                                            AA                                   2.9%                                                         3-5 Years                         15.1%

                                                           Wrapped GIC              0.0%                                                            A                                    4.4%                                                         5-7 Years                          5.2%

                                                                                                                                                    BBB                                  4.5%                                                         7+ Years                           5.4%

1. Duration is calculated using actual, benchmark or target duration as applicable. Credit Quality Allocation is presented using S&P rating nomenclature. Depending on the fund in which the securities are held, these
ratings may be a calculated composite of the available ratings at the individual security level from S&P, Moody's and /or Fitch rating agencies.
2. Past performance is not a guarantee of future results. Returns are presented before fees (gross) unless otherwise indicated, are shown on an annualized basis for periods above 1 year, and include the
reinvestment of interest income. Fees, which will reduce actual client returns, may vary among clients. A fee schedule is available upon request. Net returns shown for the SEI Stable Asset Fund reflect the deduction
of trustee and investment advisory fees at an assumed annual rate of 30 bps. The MFR Money Market Index is the all-taxable money fund report average, a product of iMoneyNet, Inc. and is presented net of certain
fees and expenses.

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SEI Stable Asset Fund                                                                                                                                                                  As of 09/30/2010

STABLE VALUE SECTOR DETAIL                                                                                   FIXED INCOME SECTOR DETAIL1
 Image description.                                                                                           Image description.
Pie chart with1% 0.01%.
Item 1, Cash 6 items.0% 4.24%.
Item 3, SEI Stable Value Bond Portfolio 66% 0.65%.                                                           Item 1, Treasury items.
                                                                                                             Pie chart with 11 16% 15.8%.
Item 2, Wrapped GIC
Item 4, SEI Stable Value Bond Portfolio - AIG 13% 0.13%.                                                     Item 2, Agency 15% 15.2%.
                                                                                                             Item 3, MBS 6% 5.9%.
                                                                                                             Item 4, CMO11% 7.1%.
Item 5, SEI Stable Value Bond Portfolio - RABO 13% 0.13%.
Item 6, SEI-JHC 6% 0.06%.                                                                                    Item 5, ABS 7% 10.7%.
                                                                                                             Item 6, CMBS 12% 12.2%. 15% 15%.
 End of image description.                                                                                   Item 7, Invest. Grade Corp.
                                                                                                             Item 8, Non-Corp. 0%
                                                                                                             Item 9, Municipals Credit 3% 3%.
                                                                                                             Item 10, Wrapped GIC 0.1%.

                                                            Cash                                1.5%                                                     Treasury                             15.8%
                                                                                                                                    0% 0%.
                                                                                                             Item 11, Cash/Cash Equivalents 15% 14.9%.
                                                                                                              End of image description.

                                                            Wrapped GIC                         0.0%                                                     Agency                               15.2%

                                                            Wrapped Broad Market                                                                         MBS                                    5.9%

                                                            SEI Stable Value Bond Portfolio     65.7%                                                    CMO                                    7.1%
                                                            SEI Stable Value Bond Portfolio -                                                            ABS                                  10.7%
                                                            SEI Stable Value Bond Portfolio -                                                            CMBS                                 12.2%
                                                                                                                                                         Invest. Grade Corp.                  15.0%
                                                            Separate Account
                                                                                                                                                         Non-Corp. Credit                       3.0%
                                                            SEI-JHC                             6.4%
                                                                                                                                                         Municipals                             0.1%

                                                                                                                                                         Wrapped GIC                            0.0%

                                                                                                                                                         Cash/Cash Equivalents                14.9%

    Separate Account Issuers:                                                  Wrap Issuers:
    Issuer                                                    S&P/Moody's Issuer                                   S&P/Moody's
    John Hancock                                                   AA/Aa3 AIG FP                                          A-/A3
                                                                          Bank of America                                A+/Aa3
                                                                          Monumental - AEGON                             AA-/A1
                                                                          NATIXIS Financial Products - CDC               A+/Aa3
                                                                          Rabobank                                     AAA/Aaa
                                                                          Royal Bk of CA                                AA-/Aaa
                                                                          State Street Bank                             AA-/Aa2

1. Cash/cash equivalents represents cash and fixed income securities with a duration of one year or less. Allocations to Treasury and Cash/Cash Equivalents sectors presented reflect net Treasury positions. High
Yield Corp. represents Stable Value Separate Account holdings that were downgraded and held as of month end. Dwight intends to dispose of the securities in accordance with the applicable account guidelines. The
Fund invests a portion of its assets in certain Dwight commingled funds that may from time to time invest in derivatives. Additional information is available upon request.

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