The SEI Story

SEI Investment PhilosophySteven Lichtenstein ChFC and SEI“What makes us different ?”

Who We AreSEI is a leading global provider of wealth management solutions. We help professional wealth managers, institutional investors, and private investors create and manage wealth – and enable their long-term success – by providing solutions that are both comprehensive and innovative.

A Market Leader• Administers $253 billion in client assets1

• Manages $195 billion assets1

• Processes 1.5 million end-investor accounts2

• Leading global provider of Bank Trust technology• 9 of the 20 largest North American banks

are clients2

SEI Advisor Network• 20 years of experience in providing outsourced

solutions to advisors• Over 4,900 advisors using SEI’s solution • Over 170,000 end-client accounts• $33.1 billion in advisor’s AUM1

• One-stop accountability with SEI Private Trust Company

• 400+ dedicated professionals supporting the SEI Advisor solution

• SEI is the #1 U.S. Advisory Third-Party Managed Account Provider4

1As of September 30, 20122As of September 30, 2012

3As of December 31, 201143Q 2012 Summary – Cerulli Associates

2

A Successful Company• Founded in 1968, a public company since 1981

(NASDAQ: SEIC)• 2011 revenues: $930 million3

• 2011 net income: $205 million3

A Global Company• 2,400+ employees worldwide1

SEI › Financially StrongSEI does not:

• Rely on the market to provide daily liquidity to fund its operations

• Take principal risk, nor does it actively trade the assets on its balance sheet

• Use leverage within its balance sheet

• Underwrite the risks of leverage through lending or insurance underwriting activities

SEI has a financially strong balance sheet reflected through:

• Cash available

• Highly collectable receivables

• No direct issued debt

SEI Private Trust Company (SPTC)

• Assets are custodied in a trust institution

• Assets are custodied in the investors name and are segregated from SEI

• This means SPTC creditors have no claim to investor assets

• SPTC may not pledge, lend or margin assets that are held in custody

• SPTC is regularly audited by independent and internal auditors and subject to examination by the Office of the

Comptroller of the Currency

3

Private Banks Institutional InvestorsFinancial Advisors

A Leading Provider of:

• Custody Services• Account Administration• Statement Production• Performance Reporting

A Leading Provider to:

• Corporate Plans• Unions/Taft-Hartley Plans• Endowments• Foundations• Healthcare

A Leading Provider of:

• Investment Programs• Administration &

Technology• Practice Management

9 of the 20 largest North American banks are clients

Plans > $20 million5,000+ Advisors with $33.11 billion in advisors’

AUM

1As of 09/30/12

SEI › Key SEI Business Segments Relevant to Advisors

4

*Representative clients are selected by SEI to illustrate a sampling of SEI’s client base, but may not necessarily endorse all of the services provided by SEI. List as of January 2012.

Global Institutional Business › Benefits Advisors

5

Our Investment Management Process

6

SEI Goals-Based Investment Process

1Asset Allocation

3ManagerSelection

4PortfolioConstruction

6RiskManagement

5TaxManagement

Identification of Client Objectives

Identification of the Relevant Risks

Identification of the Appropriate Portfolios

Our process matches client objectives with the appropriate risk measure and personalized portfolio implementation.

Your AdvisorProvides:

SEI Providesan Active Management Process:

2PortfolioDesign

7

SEI Investment Management Unit (IMU)

Experienced• SEI’s investment team has over 20

years of manager selection and portfolio construction experience

Credible• Investment professionals have

extensive industry background and may have CFA or MBA qualifications

Accountable• Investment professionals tied to

client experience through performance -related compensation

Global• Organized into regional and asset

class specialists and globally located to improve research insights

Investment Strategy

Oversight Committee

(ISO)

Client Investment Strategy

Investment Communications

Portfolio

Strategy

Investment

Strategy

Equity

Fixed Income

AlternativeRisk

Management

Trading and Operations

Product Management

8

SEI’s Investment ApproachActive Asset Allocation

1Asset Allocation

Asset Allocation › Primary Determinant of Total Portfolio Risk

The asset classes you pick explain most of variability of portfolio risk

Using past returns as a guide for asset class performance is problematic

Source: Brinson, Singer, and Beebower (1991)

Asset AllocationSecurity SelectionMarket TimingOther

1Asset Allocation

1900s – 1960s

Va

lue

-Ad

d D

eliv

ere

d t

o C

lien

t

1960s-1980s

• Stocks evaluated independently

1980s-1990s Today

• Theory of portfolio selection (Markowitz)

• (Brinson, Beebower, Singer)

• Investors are not “rational” (Kahneman, Tversky)

Goals-BasedInvesting

Goals-BasedInvesting

Strategic AssetAllocation

Strategic AssetAllocation

Efficient PortfolioConstruction

Efficient PortfolioConstruction

ConcentratedStock

Portfolios

ConcentratedStock

Portfolios

Investment Approach › The Evolution of Portfolio Management Theory

11

1Asset Allocation

MODERN PORTFOLIO THEORY BEHAVIORAL FINANCE THEORY

Principles • Build efficient portfolios that maximize return for a given level of risk

• Diversification brings risk reduction

• Analysis of the ways investors think and behave

• Analysis of common investor biases

Implications for the Investor

• One unique rational investor with a single risk tolerance estimate

• Investors have multiple goals and different approaches to risk depending of their goals

Relevant Illustration

Investor preferences and biases

• Loss aversion

• Mental accounting

• Overconfidence

• Overreaction

• Belief perseverance

SEI’s Goals-Based Approach › Integrating Traditional and Behavioral Finance

The Efficient Frontier

12

Risk

Return

1Asset Allocation

Investment Offering for Private Clients › Allocation and Components Differ by Objective

Market Growth Money Market

Alternatives

Emerging Market Debt

High Yield Bond

Inv. Grade Fixed Income

Emerging Market Equity

International Equity

Small Cap Equity

Large Cap Equity

Inflation-Sensitive Assets

Conservative Low Volatility Equity

Alternatives

High Yield Bond

Multi-Asset Income

Inflation-Sensitive Assets

Inv.Grade Fixed Income

Money Market

Short Duration Bonds

• Stability via Money Market

• Income via short / medium duration bonds and multi-asset exposures

• Return and income via high yield/credit

• Alternatives/low volatility equity return/beta

• Global equity including emerging for growth

• Diverse exposures to manage through various environments via Multi-Asset Accumulation Fund

• Emerging debt/high yield debt offer diversification

• Alternatives for return and risk management

For illustrative purposes only.

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1Asset Allocation

Dynamic Asset Allocation Approach › Portfolio Design

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10

SEI Private Client Strategy - Defensive

Money Market Short Duration Bonds * Investment Grade Fixed Income

High Yield bonds Real Estate Inflation Linked Bonds

Managed Volatility Equity

• Allocations actively managed over time as market conditions and asset-class characteristics change

• Implemented using carefully selected components consistent with strategy objectives

• Benefits from ongoing research and development resulting in addition of new components

*For illustrative purposes only. Includes government and credit oriented funds

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Discovering Your Goals › Matching Strategies to Investor Goals

Client Goal A

Client Goal B

Client Goal C

Define and Prioritize Goals

Risk A

Risk B

Risk C

Establish Risk Measures to Each

Goal

Strategy A

Strategy B

Strategy C

Identify Best Strategy for Goal & Risk Management

Objective

SEI’s Investment ApproachActive Portfolio Design

2PortfolioDesign

SEI’s Investment Philosophy: Key Tenet › Past Performance Is Not a Guarantee of Future Results

• Ranking managers by their five-year returns provides little insight into future performance

• SEI believes that a full assessment of qualitative as well as quantitative factors is required to identify and monitor the best managers

The chart takes the top quartile of US Large Cap Equities managers based on 2002-2006 performance and tracks their subsequent quartile rankings over the following 5-year period (2007-2011). It also identifies where the top quartile managers over the current 5-year period (2007-2011) ranked in the previous 5-year period (2002-2006)

Source: SEI, Morningstar Direct, US Large Blend Universe

5 Years2002 - 2006

5 Years2007 - 2011

5 Years2007 - 2011

5 Years2002 - 2006

# 18% of top quartile managers from 2002 – 2006 are no longer managing within the Morningstar US Large Blend Category

* 46% of the top quartile managers from 2007-2011 did not have a full five year track record during the previous period

Top Quartile

Top Quartile

17%

11%

13%

13%

46%*

25%

16%

16%

26%

18%#

2PortfolioDesign

SEI Manager of Managers › The Concept

Manager 1 Manager 2

Manager 3 Manager 4

SEI Fund

• SEI selects specialist managers, monitors performance and risk and alters composition to adapt to market conditions

• Transparency into underlying manager accounts provides insight and risk management

• Separate-account framework allows efficient manager transition with opportunity to control transaction costs

18

2PortfolioDesign

Portfolio Construction › A Combined Building Block Approach

Looking beyond traditional approaches to investment managementin an effort to build more efficient portfolios.

Large Cap Growth

Small Cap Growth

Large Cap Value

Small Cap Value

SelectionBottom Up Stock/bond Picking

CarryRisk Premium Harvesting

TrendMomentum Driven

MacroTop Down Thematic Management

Style-based Perspective Alpha-based Perspective

The line between traditional and alternative asset management is blurring and many investment managers are increasingly using techniques currently available in seeking to add incremental

value.

SEI’s Investment ApproachActive Investment Manager Selection

3ManagerSelection

Experienced Analysis• 100 experienced

professionals worldwide• 20+ years assessing

investment firms• Site visits and conference

calls to evaluate personnel and investment process

• Assess sustainability of competitive advantages

Quantitative Analysis• Focus on risk adjusted

returns• Statistical process control

techniques identify skill• Separate quality of decisions

from outcomes • Analytical technology to

understand drivers of return• Risk management

assessment

Qualitative Analysis

• Examine and understand the investment philosophy

• Analyze the proprietary investment process

• Review the team’s background, tenure, compensation, and other factors to determine stability and commitment

Ongoing Monitoring

• Monitor firm and process changes

• Monitor competitive advantages

• Return and risk monitoring• Regular site visits and

manager calls• Approved list of backup

managers

SEI Manager Selection Process › Manager Discovery and Selection

Sources: Investment Company Institute 2011 Fact Book; Funds Library Products and Services; FundLibrary.com

Universe of Approximately

22,000+ Investment Products

1,000 ManagerVisits/Contacts

Year100

SpecialistManagers

21

3ManagerSelection

Access to all SEI specialist managers would require total client assets of nearly $1 billion!

Examples of Managers › Utilized in Funds and Managed Accounts

Manager/Headquarters Investment Mandate/BenchmarkAssets Under Management

Direct Access Minimum

Parametric Portfolio AssociatesSeattle, WA

US Large Cap Core/Tax TransitionRussell 1000

$53 Billion $$1 Million

LSV Asset ManagementChicago, IL

US Large Cap ValueRussell 1000 Value

$62 Billion $50 Million

Brown Investment AdvisoryBaltimore, MD

US Large Cap GrowthRussell 1000 Growth


Delaware Management CompanyPhiladelphia, PA

US Large Cap GrowthRussell 1000 Growth


Neuberger Berman Management, LLCNew York, NY

International EquityMSCI EAFE


Lee Munder InvestmentsBoston, Massachusetts

US Small Cap ValueRussell 2000 Value


Thornburg InternationalSanta Fe, NM

International EquitiesMSCI EAFE


McDonnell Investment ManagementOak Brook Terrace, IL

Active Municipal BondsLehman Intermediate Municipal Bonds Index


SEI - As of September 2012Managers do not set an account minimum, but rather evaluate each account on a case-by-case basis.

22

SEI’s Investment ApproachActive Portfolio Construction and Management


Fund Construction › Strategic Manager Allocation Example

Manager/Fund WeightTracking

Error Alpha SourceTarget Risk Contribution

Manager 1 30% 5.0% Risk Premium 25%

Manager 2 35% 4.0% Selection 25%

Manager 3 15% 8.5% Momentum 25%

Manager 4 20% 6.5% Macro 25%

Fund 100% 3.0% N/A 100%

30%

35%

15%

20%

SEI FundStrategic Manager Allocation

Manager 1Manager 2Manager 3Manager 4

• SEI establishes relative return and risk expectations for the Fund over the medium and long term in a Fund Investment Thesis

• It outlines which alpha processes will be included in the Fund and what the long-term strategic allocation should be

• The Fund Investment Thesis provides a framework for manager selection and manager allocation or sizing

• Through the allocation to differentiated managers, SEI seeks to construct a Fund with lower relative risk than the underlying managers individually


24

Portfolio Construction › Impact of the Economic and Market Cycle

•SEI conducts scenario analysis on each manager to measure performance behavior across multiple economic cycles

•Output of analysis will have an impact on the timing of manager decisions and the weight allocated to each manager in the Fund

•Manager allocations can be adjusted over time to take advantage of current economic environment

NOTE: The size of the quadrant denotes the relative time the economy spends within the quadrant.

0.00%10.00%20.00%30.00%40.00%50.00%60.00%70.00%80.00%90.00%

100.00%

Manager Allocation Over Time

Manager 1 Manager 2 Manager 3 Manager 4

Risk

Con

trib

ution

%

SEI Manager Allocation Over Time

Expansion

Distress

Stress

Recovery

25


SEI’s Investment ApproachActive Tax Management

5TaxManagement

Tax Management › It’s Not What You Make, It’s What You Keep

Source: Parametric Portfolio Associates: 60% Russell 3000; 40% Barclays Capital Aggregate; No Liquidation. Interest income and dividends are taxed annually at historical top marginal tax rates; capital gains are realized at 50% per year and are taxed at the historical long-term capital gains tax rate at the time. Past performance is no guarantee of future results.

A hypothetical tax-free $100,000 portfolio (invested 60% in stocks and 40% in bonds) held for 33 years would have grown to about $3.2million. If the portfolio was taxed like an average mutual fund, it would have lost 49% of its value, due to taxes paid and earnings lost on that money. Tax-managed investment strategies are designed to minimize capital gains distributions and maximize after-tax returns.

*As of 12/31/11. Since inception 12/2002. There is no guarantee that distributions will not be made in the future.

Taxes Reduce Performance Over Time – Growth of $100,000

Before-Tax Portfolio:$3,174,000

After-Tax Portfolio:$1,613,000

49% Lost to Taxes• Tax Lot Accounting

• Loss Harvesting

• Wider Rebalancing Ranges

• Tax-Aware Trading

• Gain/Loss Offset

• Transition of Low-cost-basis Stocks

SEI’s Solution to the Problem

Separate Account Results• 121 bps of annualized after-

tax (above the manager alpha) since inception.*

Mutual Fund Results

• 12th year in a row – ZERO capital gains distributions in our Tax Managed Large Cap Fund

1979

Q3-80

Q1-82

Q3-83

Q1-85

Q3-86

Q1-88

Q3-89

Q1-91

Q3-92

Q1-94

Q3-95

Q1-97

Q3-98

Q1-00

Q3-01

2003

Q3-04

Q1-06

Q3-07

Q1-09

Q3-10

$0.00

$500,000.00

$1,000,000.00

$1,500,000.00

$2,000,000.00

$2,500,000.00

$3,000,000.00

$3,500,000.00

27

5TaxManagement

Active Tax Management › Apply Our Process within a Tax-sensitive Framework

Tax-Managed Market Growth

Tax-Managed Large Cap

Tax - Managed Small Cap

International Equity

Emerging Equity

Intermediate Term Muni

Tax-Advantaged Income

Emerging Market Debt

Tax-Free Money Market

• Use tax-efficient asset classes such as Tax-Advantaged Income and Tax-Managed Large Cap equity

• Limit asset allocation changes and widen rebalancing bands in an effort to minimize capital gains

• Select managers, such as Parametric Portfolio Associates, who actively harvest losses in an effort to limit taxable events

5TaxManagement

28

For illustrative purposes only

SEI’s Investment ApproachActive Risk Management

6RiskManagement

SEI Active Risk Management › Governance and Oversight

Investment Strategy

Oversight Committee

(ISO)

Risk Manage

ment

Investment

Strategy

• Investment Strategy Oversight Committee (ISO) is the governance group overseeing active management process

• Risk Management carried out at manager level, portfolio level and at strategy level

• Investment Strategy vets active management decisions with ISO that will impact client portfolios

6RiskManagement

30

Continuous Manager Monitoring

Portfolio Monitoring › Continuous Manager Monitoring Enhances Portfolio Integrity

Source: SEI, Average percentages based on last five years of portfolio management activity. For illustrative purposes only

Manager Changes Over Time

Investment Team Execution Organizational Change

Opportunistic Change in Process Style

Daily•Access to underlying portfolio holding

Weekly•Performance & risk attribution analysis

Monthly•Buys & sells review•Portfolio characteristics & market trend overview

Quarterly•Conf call to evaluate manager decision & outlook

Annually•Onsite visit to access manager & dedicated investment team (performed annually or more often)

Ongoing• Peer analysis• Investment strategy oversight & review• Backup list• Watch list

31

6RiskManagement

Asset allocation that is customized to your situation

Access to top quality managers with some of the best ideas from around the globe

Personalized investment strategies driven by client goals

Diversification at multiple levels

Ongoing risk management and oversight

Advisor independence and process transparency

Investment Process › Summary

1Asset Allocation

3ManagerSelection


6RiskManagement

5TaxManagement

2PortfolioDesign

32

Implementation and Summary

Portfolio Construction › Moderate Growth Strategy Example

Private Client Moderate Strategy

7 Asset Classes

U.S. Stocks 13%Int'l Stocks

15%U.S. Bonds 29%

Int’l Bonds4%

Alternative 8% Multi-Asset 30% Cash 1%

14 Sub-Asset ClassesU.S.

Managed Volatility

Large CapGlobal

Managed Volatility

Short Duration Govt.

Enhanced Income

U.S. Fixed Income

High Yield Bond Real Return Emerging Markets Debt

Multi Strategy Alternative

Multi-Asset Capital Stability

Multi-Asset Inflation

Managed

Multi-Asset Accumulation

Prime Obligation Money Market

9% 4% 15% 5% 4% 8% 8% 4% 4% 8% 10% 10% 10% 1% 29 Countries 68 Countries 100%

36 Styles and Managers

Low Beta Earnings Growth

Low Beta Short Term Income

Bank Loans Long Duration Opportunistic TIPS Global Alternative Risk Management

Diversified Inflation

ManagementRisk Parity Prime Domestic

Analytic Investors,

Inc.

AQR Capital Management

Acadian Asset Management,

Inc.

Wellington Management

Ares Management,

LLC

Jennison Associates LLC

Ares Management,

LLC


Ashmore Investment

Management, Ltd.

SEI Investments Management

Corp.

Alliance Bernstein, L.P.

Alliance Bernstein, L.P.

AQR Capital Management

Bank of America Capital Management,

LLC

Managed Volatility

Broad Relative Value

Low Beta Enhanced Cash High Yield Relative Value

Opportunistic Opportunistic Alternative Risk Parity

Aronson+ Johnson+ Ortiz, L.P.

Aronson+ Johnson+ Ortiz,

L.P.

Analytic Investors, Inc.


JP Morgan Investment

Management, Inc.

Brigade Capital Management,

LLC

ING Investment Management

Turner Investments,

L.P.

PanAgora Asset Management

Contrarian Value

High Quality Growth

Extended Duration

Fundamental High Yield

Global

LSV Asset Manageme

nt, L.P.

Brown Investment Advisory,

Incorporated

Metropolitan West Asset

Management

Delaware Management

Company

Stone Harbor Investment

Partners, L.P.

Relative Growth Strategic Value Relative ValueDelaware

Management Company

0Wells Capital Management,

Inc.

Guggenheim Investment

Management, LLC

Contrarian Value

Sector Rotator High Yield Relative Value

LSV Asset Management,

L.P.

Western Asset Management

JP Morgan Investment

Management, Inc.

Broad Bias Exploitation

Waddell & Reed Investment

Mgmt.Sector Rotation

WestEnd Advisors LLC

0

5689 Securities (as of 8/31/12)

243 367 466 195 243 1691 897 13 719 279 56 318 49 153

Client Process › Monitoring with Goals-based Statements

35

Tracking progress to a goal – “Am I on

Track?”

In Summary › Our Philosophy and Investment Process Offer You:

Institutional approach

Access to top-quality managers

Automated rebalancing to help meet your goals

Flexibility to meet your needs

Personalized approach

Ongoing oversight

Advisor independence and process transparency

DisclosureThis material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events, or a guarantee of future results. This information should not be relied upon by the reader as research or investment advice regarding the Funds or any stock in particular, nor should it be construed as a recommendation to purchase or sell a security, including futures contracts. There is no assurance as of the date of this material that the securities mentioned remain in or out of SEI Funds.

For those SEI Funds which employ the ‘manager of managers’ structure, SEI Investments Management Corporation (SIMC) has ultimate responsibility for the investment performance of the Funds due to its responsibility to oversee the sub-advisers and recommend their hiring, termination and replacement. SIMC is the adviser to the SEI Funds, which are distributed by SEI Investments Distribution Co. (SIDCo). SIMC and SIDCo are wholly owned subsidiaries of SEI Investments Company.

To determine if the Funds are an appropriate investment for you, carefully consider the investment objectives, risk factors and charges and expenses before investing. This and other information can be found in the Funds’ prospectuses, which can be obtained by calling 1-800-DIAL-SEI. Read them carefully before investing.

There are risks involved with investing, including loss of principal. Current and future portfolio holdings are subject to risks as well. International investments may involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. Narrowly focused investments and smaller companies typically exhibit higher volatility. Bonds and bond funds will decrease in value as interest rates rise. High-yield bonds involve greater risks of default or downgrade and are more volatile than investment-grade securities, due to the speculative nature of their investments.

Diversification may not protect against market risk. There is no assurance the objectives discussed will be met. Past performance does not guarantee future results Index returns are for illustrative purposes only and do not represent actual portfolio performance. Index returns do not reflect any management fees, transaction costs or expenses. One cannot invest directly in an index.

Neither SEI nor its affiliates provide tax advice. Please note that (i) any discussion of U.S. tax matters contained in this communication cannot be used by you for the purpose of avoiding tax penalties; (ii) this communication was written to support the promotion or marketing of the matters addressed herein: and (iii) you should seek advice based on your particular circumstances from an independent tax advisor.

Custody services provided by SEI Private Trust Company (SPTC), a federally chartered limited purpose savings association and wholly owned subsidiary of SEI Investments Company.

Economy & Finance

The SEI Story