![](fp0085521-1.jpg)
September
30, 2023
SEMI-ANNUAL
REPORT
SEI
Exchange Traded Funds
❯ |
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
❯ |
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
❯ |
SEI
Enhanced U.S. Large Cap Value Factor ETF |
❯ |
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
Paper
copies of the Funds’ shareholder reports are no longer sent by mail, unless you
specifically request them from the Funds or from your financial intermediary,
such as a broker-dealer or bank. Shareholder reports are available online and
you will be notified by mail each time a report is posted on the Funds’ website
and provided with a link to access the report online.
You
may elect to receive all future reports in paper free of charge. If you invest
through a financial intermediary, you can contact your financial intermediary to
inform it that you wish to continue receiving paper copies of your shareholder
reports. If you invest directly with the Funds, you can inform the Funds that
you wish to continue receiving paper copies of your shareholder reports by
calling 1-800-DIAL-SEI. Your election to receive reports in paper will apply to
all funds held with the SEI Funds or your financial intermediary.
seic.com
TABLE
OF CONTENTS
Schedules
of Investments |
1 |
Statements
of Assets and Liabilities |
10 |
Statements
of Operations |
11 |
Statements
of Changes in Net Assets |
12 |
Financial
Highlights |
16 |
Notes
to Financial Statements |
17 |
Disclosure
of Fund Expenses |
25 |
Shares
are bought and sold at market price (not net asset value) and are not
individually redeemed from a Fund. Shares may only be redeemed directly from a
Fund by Authorized Participants, in very large creation/redemption units.
Brokerage commissions will reduce returns.
The
Trust files its complete schedule of portfolio holdings with the Securities and
Exchange Commission for the first and third quarters of each fiscal year as an
exhibit to its reports on Form N-PORT. The Trust’s Form N-PORT reports are
available on the Commission’s website at http://www.sec.gov.
A
description of the policies and procedures that the Trust uses to determine how
to vote proxies relating to portfolio securities, as well as information
relating to how a Fund voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30, is available (i) without charge, upon
request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at
http://www.sec.gov.
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2023
SEI
Enhanced U.S. Large Cap Quality Factor ETF
†Percentages
based on total investments. Total investments do not include derivatives such as
options, futures contracts, forward contracts, and swap contracts, if
applicable.
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† — 99.6% |
|
|
|
|
|
|
|
|
|
Communication
Services — 8.0% |
|
|
|
|
Alphabet,
Cl A * |
|
|
7,697 |
|
|
$ |
1,007 |
|
Alphabet,
Cl C * |
|
|
347 |
|
|
|
46 |
|
Electronic
Arts |
|
|
2,223 |
|
|
|
268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,321 |
|
Consumer
Discretionary — 15.2% |
|
|
|
|
Amazon.com
* |
|
|
379 |
|
|
|
48 |
|
AutoZone
* |
|
|
20 |
|
|
|
51 |
|
Booking
Holdings * |
|
|
142 |
|
|
|
438 |
|
Domino's
Pizza |
|
|
722 |
|
|
|
273 |
|
Grand
Canyon Education * |
|
|
339 |
|
|
|
40 |
|
H&R
Block |
|
|
1,281 |
|
|
|
55 |
|
McDonald's
|
|
|
261 |
|
|
|
69 |
|
NVR
* |
|
|
63 |
|
|
|
376 |
|
O'Reilly
Automotive * |
|
|
549 |
|
|
|
499 |
|
Ulta
Beauty * |
|
|
772 |
|
|
|
308 |
|
Yum!
Brands |
|
|
2,906 |
|
|
|
363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,520 |
|
Consumer
Staples — 10.2% |
|
|
|
|
Altria
Group |
|
|
8,548 |
|
|
|
359 |
|
Coca-Cola
|
|
|
5,995 |
|
|
|
336 |
|
Colgate-Palmolive
|
|
|
3,269 |
|
|
|
232 |
|
Monster
Beverage * |
|
|
4,051 |
|
|
|
215 |
|
Philip
Morris International |
|
|
4,569 |
|
|
|
423 |
|
Procter
& Gamble |
|
|
846 |
|
|
|
123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,688 |
|
Financials
— 11.9% |
|
|
|
|
American
Express |
|
|
164 |
|
|
|
24 |
|
FactSet
Research Systems |
|
|
764 |
|
|
|
334 |
|
Mastercard,
Cl A |
|
|
1,224 |
|
|
|
485 |
|
Moody's
|
|
|
917 |
|
|
|
290 |
|
MSCI,
Cl A |
|
|
692 |
|
|
|
355 |
|
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† (continued) |
Visa,
Cl A |
|
|
2,116 |
|
|
$ |
487 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,975 |
|
Health
Care — 15.2% |
|
|
|
|
Bristol-Myers
Squibb |
|
|
3,767 |
|
|
|
219 |
|
Edwards
Lifesciences * |
|
|
573 |
|
|
|
40 |
|
Eli
Lilly |
|
|
297 |
|
|
|
159 |
|
Hologic
* |
|
|
4,552 |
|
|
|
316 |
|
Johnson
& Johnson |
|
|
2,449 |
|
|
|
381 |
|
Merck
& Co |
|
|
4,299 |
|
|
|
443 |
|
Mettler-Toledo
International * |
|
|
219 |
|
|
|
243 |
|
Pfizer
|
|
|
8,561 |
|
|
|
284 |
|
Vertex
Pharmaceuticals * |
|
|
1,096 |
|
|
|
381 |
|
Waters
* |
|
|
219 |
|
|
|
60 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,526 |
|
Industrials
— 5.7% |
|
|
|
|
Fastenal
|
|
|
6,529 |
|
|
|
357 |
|
Paychex
|
|
|
2,920 |
|
|
|
337 |
|
Robert
Half |
|
|
2,162 |
|
|
|
158 |
|
United
Parcel Service, Cl B |
|
|
174 |
|
|
|
27 |
|
Verisk
Analytics, Cl A |
|
|
264 |
|
|
|
62 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
941 |
|
Information
Technology — 33.4% |
|
|
|
|
Adobe
* |
|
|
466 |
|
|
|
238 |
|
Apple
|
|
|
8,388 |
|
|
|
1,436 |
|
Autodesk
* |
|
|
519 |
|
|
|
107 |
|
Broadcom
|
|
|
491 |
|
|
|
408 |
|
Cadence
Design Systems * |
|
|
2,261 |
|
|
|
530 |
|
Cisco
Systems |
|
|
1,803 |
|
|
|
97 |
|
Dolby
Laboratories, Cl A |
|
|
1,294 |
|
|
|
103 |
|
Keysight
Technologies * |
|
|
2,036 |
|
|
|
269 |
|
Manhattan
Associates * |
|
|
1,260 |
|
|
|
249 |
|
Microsoft
|
|
|
4,302 |
|
|
|
1,358 |
|
QUALCOMM
|
|
|
207 |
|
|
|
23 |
|
Texas
Instruments |
|
|
2,286 |
|
|
|
363 |
|
VeriSign
* |
|
|
1,802 |
|
|
|
365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,546 |
|
Total
Common Stock |
|
|
|
|
|
|
|
|
(Cost
$15,551) ($ Thousands) |
|
|
|
|
|
|
16,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments in Securities — 99.6% |
|
|
|
|
|
|
|
|
(Cost
$15,551) ($ Thousands) |
|
$ |
16,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentages
are based on Net Assets of $16,581 ($ Thousands). |
* |
Non-income
producing security. |
†† |
Narrow
industries are utilized for compliance purposes, whereas broad sectors are
utilized for reporting. |
As
of September 30, 2023, all of the Fund's investments were considered Level
1, in accordance with the authoritative guidance on fair value
measurements and disclosure under U.S. GAAP. |
See
“Glossary” for abbreviations.
SEI
Exchange Traded Funds
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2023
SEI
Enhanced U.S. Large Cap Quality Factor ETF (Concluded)
For
more information on valuation inputs, see Note 2 – Significant Accounting
Policies in Notes to Financial Statements.
The
accompanying notes are an integral part of the financial statements.
SEI
Exchange Traded Funds
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2023
SEI
Enhanced U.S. Large Cap Momentum Factor ETF
†Percentages
based on total investments. Total investments do not include derivatives such as
options, futures contracts, forward contracts, and swap contracts, if
applicable.
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† — 99.0% |
|
|
|
|
|
|
|
|
|
Communication
Services — 5.3% |
|
|
|
|
Alphabet,
Cl C * |
|
|
60 |
|
|
$ |
8 |
|
Interpublic
Group of Cos |
|
|
10,846 |
|
|
|
311 |
|
Meta
Platforms, Cl A * |
|
|
3,259 |
|
|
|
978 |
|
TKO
Group Holdings |
|
|
1,501 |
|
|
|
126 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,423 |
|
Consumer
Discretionary — 12.6% |
|
|
|
|
Amazon.com
* |
|
|
445 |
|
|
|
57 |
|
AutoZone
* |
|
|
270 |
|
|
|
686 |
|
Chipotle
Mexican Grill, Cl A * |
|
|
107 |
|
|
|
196 |
|
Deckers
Outdoor * |
|
|
228 |
|
|
|
117 |
|
DR
Horton |
|
|
4,728 |
|
|
|
508 |
|
Genuine
Parts |
|
|
3,202 |
|
|
|
462 |
|
Lululemon
Athletica * |
|
|
719 |
|
|
|
277 |
|
O'Reilly
Automotive * |
|
|
690 |
|
|
|
627 |
|
PulteGroup
|
|
|
1,054 |
|
|
|
78 |
|
Toll
Brothers |
|
|
3,700 |
|
|
|
274 |
|
Ulta
Beauty * |
|
|
311 |
|
|
|
124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,406 |
|
Consumer
Staples — 7.3% |
|
|
|
|
Archer-Daniels-Midland
|
|
|
540 |
|
|
|
41 |
|
General
Mills |
|
|
6,943 |
|
|
|
444 |
|
Hershey
|
|
|
2,989 |
|
|
|
598 |
|
Lamb
Weston Holdings |
|
|
5,093 |
|
|
|
471 |
|
Mondelez
International, Cl A |
|
|
6,266 |
|
|
|
435 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,989 |
|
Energy
— 3.2% |
|
|
|
|
Halliburton
|
|
|
2,038 |
|
|
|
83 |
|
Schlumberger
|
|
|
11,530 |
|
|
|
672 |
|
TechnipFMC
|
|
|
5,813 |
|
|
|
118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
873 |
|
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† (continued) |
Financials
— 9.8% |
|
|
|
|
Aflac
|
|
|
1,854 |
|
|
$ |
142 |
|
Apollo
Global Management |
|
|
4,892 |
|
|
|
439 |
|
Arch
Capital Group * |
|
|
7,312 |
|
|
|
583 |
|
Blackstone
|
|
|
132 |
|
|
|
14 |
|
Chubb
|
|
|
78 |
|
|
|
16 |
|
Erie
Indemnity, Cl A |
|
|
890 |
|
|
|
262 |
|
FactSet
Research Systems |
|
|
728 |
|
|
|
318 |
|
Shift4
Payments, Cl A * |
|
|
1,804 |
|
|
|
100 |
|
Unum
Group |
|
|
2,987 |
|
|
|
147 |
|
W
R Berkley |
|
|
5,299 |
|
|
|
337 |
|
WEX
* |
|
|
1,584 |
|
|
|
298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,656 |
|
Health
Care — 10.6% |
|
|
|
|
AbbVie
|
|
|
790 |
|
|
|
118 |
|
Acadia
Healthcare * |
|
|
1,637 |
|
|
|
115 |
|
Cigna
|
|
|
183 |
|
|
|
52 |
|
Dexcom
* |
|
|
1,461 |
|
|
|
136 |
|
GE
HealthCare Technologies |
|
|
1,717 |
|
|
|
117 |
|
Gilead
Sciences |
|
|
7,460 |
|
|
|
559 |
|
Humana
|
|
|
1,098 |
|
|
|
534 |
|
McKesson
|
|
|
1,554 |
|
|
|
676 |
|
Merck
& Co |
|
|
1,859 |
|
|
|
192 |
|
Penumbra
* |
|
|
1,266 |
|
|
|
306 |
|
Stryker
|
|
|
256 |
|
|
|
70 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,875 |
|
Industrials
— 15.1% |
|
|
|
|
Axon
Enterprise * |
|
|
2,421 |
|
|
|
482 |
|
Booz
Allen Hamilton Holding, Cl A |
|
|
4,639 |
|
|
|
507 |
|
Builders
FirstSource * |
|
|
4,334 |
|
|
|
539 |
|
Clean
Harbors * |
|
|
1,862 |
|
|
|
312 |
|
General
Electric |
|
|
535 |
|
|
|
59 |
|
Hubbell,
Cl B |
|
|
1,015 |
|
|
|
318 |
|
nVent
Electric |
|
|
1,863 |
|
|
|
99 |
|
Parker-Hannifin
|
|
|
1,612 |
|
|
|
628 |
|
Paylocity
Holding * |
|
|
1,442 |
|
|
|
262 |
|
Republic
Services, Cl A |
|
|
3,916 |
|
|
|
558 |
|
Trane
Technologies |
|
|
1,599 |
|
|
|
324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,088 |
|
Information
Technology — 32.7% |
|
|
|
|
Allegro
MicroSystems * |
|
|
2,389 |
|
|
|
76 |
|
Apple
|
|
|
13,139 |
|
|
|
2,249 |
|
Arista
Networks * |
|
|
4,511 |
|
|
|
830 |
|
Cadence
Design Systems * |
|
|
2,926 |
|
|
|
686 |
|
Fair
Isaac * |
|
|
100 |
|
|
|
87 |
|
First
Solar * |
|
|
828 |
|
|
|
134 |
|
Jabil
|
|
|
4,644 |
|
|
|
589 |
|
Keysight
Technologies * |
|
|
1,584 |
|
|
|
210 |
|
Manhattan
Associates * |
|
|
2,288 |
|
|
|
452 |
|
Microsoft
|
|
|
3,252 |
|
|
|
1,027 |
|
SEI
Exchange Traded Funds
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2023
SEI
Enhanced U.S. Large Cap Momentum Factor ETF (Concluded)
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† (continued) |
NVIDIA
|
|
|
2,812 |
|
|
$ |
1,223 |
|
ON
Semiconductor * |
|
|
8,280 |
|
|
|
770 |
|
Palo
Alto Networks * |
|
|
2,214 |
|
|
|
519 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,852 |
|
Materials
— 0.2% |
|
|
|
|
Chemours
|
|
|
1,175 |
|
|
|
33 |
|
Reliance
Steel & Aluminum |
|
|
61 |
|
|
|
16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49 |
|
Utilities
— 2.2% |
|
|
|
|
National
Fuel Gas |
|
|
3,122 |
|
|
|
162 |
|
NextEra
Energy |
|
|
7,660 |
|
|
|
439 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
601 |
|
Total
Common Stock |
|
|
|
|
|
|
|
|
(Cost
$25,628) ($ Thousands) |
|
|
|
|
|
|
26,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments in Securities — 99.0% |
|
|
|
|
|
|
|
|
(Cost
$25,628) ($ Thousands) |
|
$ |
26,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentages
are based on Net Assets of $27,087 ($ Thousands). |
* |
Non-income
producing security. |
†† |
Narrow
industries are utilized for compliance purposes, whereas broad sectors are
utilized for reporting. |
As
of September 30, 2023, all of the Fund's investments were considered Level
1, in accordance with the authoritative guidance on fair value
measurements and disclosure under U.S. GAAP. |
See
“Glossary” for abbreviations.
For
more information on valuation inputs, see Note 2 – Significant Accounting
Policies in Notes to Financial Statements.
The
accompanying notes are an integral part of the financial statements.
SEI
Exchange Traded Funds
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2023
SEI
Enhanced U.S. Large Cap Value Factor ETF
†Percentages
based on total investments. Total investments do not include derivatives such as
options, futures contracts, forward contracts, and swap contracts, if
applicable.
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† — 99.1% |
|
|
|
|
|
|
|
|
|
Communication
Services — 9.4% |
|
|
|
|
Alphabet,
Cl C * |
|
|
3,084 |
|
|
$ |
407 |
|
AT&T
|
|
|
40,484 |
|
|
|
608 |
|
Comcast,
Cl A |
|
|
3,041 |
|
|
|
135 |
|
Meta
Platforms, Cl A * |
|
|
2,232 |
|
|
|
670 |
|
Omnicom
Group |
|
|
1,596 |
|
|
|
119 |
|
Playtika
Holding * |
|
|
691 |
|
|
|
7 |
|
TripAdvisor
* |
|
|
3,880 |
|
|
|
64 |
|
Verizon
Communications |
|
|
19,444 |
|
|
|
630 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,640 |
|
Consumer
Discretionary — 11.5% |
|
|
|
|
Amazon.com
* |
|
|
520 |
|
|
|
66 |
|
eBay
|
|
|
4,126 |
|
|
|
182 |
|
Ford
Motor |
|
|
14,988 |
|
|
|
186 |
|
General
Motors |
|
|
15,982 |
|
|
|
527 |
|
H&R
Block |
|
|
6,076 |
|
|
|
262 |
|
Lennar,
Cl A |
|
|
4,365 |
|
|
|
490 |
|
Lennar,
Cl B |
|
|
511 |
|
|
|
52 |
|
Macy's
|
|
|
9,307 |
|
|
|
108 |
|
Mohawk
Industries * |
|
|
175 |
|
|
|
15 |
|
Penn
Entertainment * |
|
|
5,328 |
|
|
|
122 |
|
PulteGroup
|
|
|
8,738 |
|
|
|
647 |
|
PVH
|
|
|
2,541 |
|
|
|
195 |
|
Thor
Industries |
|
|
686 |
|
|
|
65 |
|
Toll
Brothers |
|
|
3,851 |
|
|
|
285 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,202 |
|
Consumer
Staples — 7.3% |
|
|
|
|
Albertsons,
Cl A |
|
|
5,923 |
|
|
|
135 |
|
Altria
Group |
|
|
14,354 |
|
|
|
604 |
|
Ingredion
|
|
|
679 |
|
|
|
67 |
|
Kraft
Heinz |
|
|
14,091 |
|
|
|
474 |
|
Kroger
|
|
|
14,863 |
|
|
|
665 |
|
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† (continued) |
Seaboard
|
|
|
7 |
|
|
$ |
26 |
|
Walgreens
Boots Alliance |
|
|
2,811 |
|
|
|
62 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,033 |
|
Energy
— 2.8% |
|
|
|
|
Chesapeake
Energy |
|
|
2,459 |
|
|
|
212 |
|
Chevron
|
|
|
179 |
|
|
|
30 |
|
EQT
|
|
|
4,474 |
|
|
|
182 |
|
Marathon
Petroleum |
|
|
656 |
|
|
|
99 |
|
Occidental
Petroleum |
|
|
470 |
|
|
|
30 |
|
Southwestern
Energy * |
|
|
5,040 |
|
|
|
33 |
|
Valero
Energy |
|
|
1,313 |
|
|
|
186 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
772 |
|
Financials
— 12.1% |
|
|
|
|
Affiliated
Managers Group |
|
|
1,405 |
|
|
|
183 |
|
Ally
Financial |
|
|
10,621 |
|
|
|
283 |
|
American
International Group |
|
|
9,456 |
|
|
|
573 |
|
Brighthouse
Financial * |
|
|
2,525 |
|
|
|
124 |
|
Capital
One Financial |
|
|
5,883 |
|
|
|
571 |
|
Janus
Henderson Group |
|
|
4,677 |
|
|
|
121 |
|
Jefferies
Financial Group |
|
|
7,203 |
|
|
|
264 |
|
MGIC
Investment |
|
|
10,708 |
|
|
|
179 |
|
New
York Community Bancorp |
|
|
23,825 |
|
|
|
270 |
|
Popular
|
|
|
420 |
|
|
|
26 |
|
SLM
|
|
|
9,067 |
|
|
|
123 |
|
Synchrony
Financial |
|
|
15,339 |
|
|
|
469 |
|
Western
Union |
|
|
14,321 |
|
|
|
189 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,375 |
|
Health
Care — 17.9% |
|
|
|
|
AbbVie
|
|
|
859 |
|
|
|
128 |
|
Bristol-Myers
Squibb |
|
|
4,723 |
|
|
|
274 |
|
Cardinal
Health |
|
|
9,383 |
|
|
|
815 |
|
Cigna
|
|
|
819 |
|
|
|
234 |
|
CVS
Health |
|
|
7,706 |
|
|
|
538 |
|
DaVita
* |
|
|
183 |
|
|
|
17 |
|
Gilead
Sciences |
|
|
8,168 |
|
|
|
612 |
|
Henry
Schein * |
|
|
385 |
|
|
|
29 |
|
Laboratory
Corp of America Holdings |
|
|
2,154 |
|
|
|
433 |
|
McKesson
|
|
|
2,103 |
|
|
|
914 |
|
Organon
|
|
|
8,276 |
|
|
|
144 |
|
Pfizer
|
|
|
1,222 |
|
|
|
41 |
|
Quest
Diagnostics |
|
|
3,127 |
|
|
|
381 |
|
Tenet
Healthcare * |
|
|
461 |
|
|
|
30 |
|
Viatris,
Cl W |
|
|
41,263 |
|
|
|
407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,997 |
|
Industrials
— 4.8% |
|
|
|
|
Allison
Transmission Holdings |
|
|
3,780 |
|
|
|
223 |
|
American
Airlines Group * |
|
|
22,178 |
|
|
|
284 |
|
Avis
Budget Group * |
|
|
368 |
|
|
|
66 |
|
ManpowerGroup
|
|
|
402 |
|
|
|
30 |
|
Owens
Corning |
|
|
3,062 |
|
|
|
418 |
|
SEI
Exchange Traded Funds
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2023
SEI
Enhanced U.S. Large Cap Value Factor ETF (Concluded)
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† (continued) |
Ryder
System |
|
|
1,487 |
|
|
$ |
159 |
|
Schneider
National, Cl B |
|
|
1,887 |
|
|
|
52 |
|
Science
Applications International |
|
|
1,045 |
|
|
|
110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,342 |
|
Information
Technology — 25.4% |
|
|
|
|
Amdocs
|
|
|
187 |
|
|
|
16 |
|
Apple
|
|
|
6,836 |
|
|
|
1,170 |
|
Arrow
Electronics * |
|
|
2,456 |
|
|
|
308 |
|
Avnet
|
|
|
3,249 |
|
|
|
157 |
|
Cognizant
Technology Solutions, Cl A |
|
|
1,227 |
|
|
|
83 |
|
Dell
Technologies, Cl C |
|
|
2,254 |
|
|
|
155 |
|
Dropbox,
Cl A * |
|
|
8,969 |
|
|
|
244 |
|
DXC
Technology * |
|
|
8,148 |
|
|
|
170 |
|
Gen
Digital |
|
|
2,033 |
|
|
|
36 |
|
Hewlett
Packard Enterprise |
|
|
30,359 |
|
|
|
527 |
|
HP
|
|
|
20,745 |
|
|
|
533 |
|
Intel
|
|
|
8,035 |
|
|
|
286 |
|
International
Business Machines |
|
|
1,980 |
|
|
|
278 |
|
Jabil
|
|
|
5,084 |
|
|
|
645 |
|
Micron
Technology |
|
|
3,956 |
|
|
|
269 |
|
Microsoft
|
|
|
3,201 |
|
|
|
1,011 |
|
NCR
* |
|
|
1,344 |
|
|
|
36 |
|
Oracle
|
|
|
2,196 |
|
|
|
233 |
|
Skyworks
Solutions |
|
|
5,333 |
|
|
|
526 |
|
TD
SYNNEX |
|
|
1,472 |
|
|
|
147 |
|
Teradata
* |
|
|
3,624 |
|
|
|
163 |
|
Vontier
|
|
|
2,927 |
|
|
|
90 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,083 |
|
Materials
— 4.6% |
|
|
|
|
Berry
Global Group |
|
|
4,213 |
|
|
|
261 |
|
Dow
|
|
|
1,669 |
|
|
|
86 |
|
Huntsman
|
|
|
6,610 |
|
|
|
161 |
|
International
Paper |
|
|
5,954 |
|
|
|
211 |
|
LyondellBasell
Industries, Cl A |
|
|
4,082 |
|
|
|
387 |
|
Steel
Dynamics |
|
|
1,608 |
|
|
|
172 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,278 |
|
Utilities
— 3.3% |
|
|
|
|
Consolidated
Edison |
|
|
3,659 |
|
|
|
313 |
|
National
Fuel Gas |
|
|
3,023 |
|
|
|
157 |
|
PG&E
* |
|
|
6,728 |
|
|
|
109 |
|
PPL
|
|
|
849 |
|
|
|
20 |
|
Vistra
|
|
|
9,589 |
|
|
|
318 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
917 |
|
Total
Common Stock |
|
|
|
|
|
|
|
|
(Cost
$26,682) ($ Thousands) |
|
|
|
|
|
|
27,639 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments in Securities — 99.1% |
|
|
|
|
|
|
|
|
(Cost
$26,682) ($ Thousands) |
|
$ |
27,639 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentages
are based on Net Assets of $27,899 ($ Thousands). |
* |
Non-income
producing security. |
†† |
Narrow
industries are utilized for compliance purposes, whereas broad sectors are
utilized for reporting. |
As
of September 30, 2023, all of the Fund's investments were considered Level
1, in accordance with the authoritative guidance on fair value
measurements and disclosure under U.S. GAAP. |
See
“Glossary” for abbreviations.
For
more information on valuation inputs, see Note 2 – Significant Accounting
Policies in Notes to Financial Statements.
The
accompanying notes are an integral part of the financial statements.
SEI
Exchange Traded Funds
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2023
SEI
Enhanced Low Volatility U.S. Large Cap ETF
†Percentages
based on total investments. Total investments do not include derivatives such as
options, futures contracts, forward contracts, and swap contracts, if
applicable.
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† — 99.4% |
|
|
|
|
|
|
|
|
|
Communication
Services — 10.5% |
|
|
|
|
Alphabet,
Cl A * |
|
|
291 |
|
|
$ |
38 |
|
Alphabet,
Cl C * |
|
|
943 |
|
|
|
124 |
|
AT&T
|
|
|
11,847 |
|
|
|
178 |
|
Comcast,
Cl A |
|
|
4,065 |
|
|
|
180 |
|
Fox
|
|
|
176 |
|
|
|
5 |
|
Interpublic
Group of Cos |
|
|
56 |
|
|
|
2 |
|
Omnicom
Group |
|
|
2,142 |
|
|
|
159 |
|
T-Mobile
US |
|
|
311 |
|
|
|
44 |
|
Verizon
Communications |
|
|
5,267 |
|
|
|
171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
901 |
|
Consumer
Discretionary — 4.7% |
|
|
|
|
Amazon.com
* |
|
|
152 |
|
|
|
19 |
|
AutoZone
* |
|
|
17 |
|
|
|
43 |
|
Genuine
Parts |
|
|
243 |
|
|
|
35 |
|
Grand
Canyon Education * |
|
|
297 |
|
|
|
35 |
|
H&R
Block |
|
|
1,765 |
|
|
|
76 |
|
McDonald's
|
|
|
458 |
|
|
|
121 |
|
Service
Corp International |
|
|
1,008 |
|
|
|
58 |
|
Yum!
Brands |
|
|
155 |
|
|
|
19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
406 |
|
Consumer
Staples — 10.8% |
|
|
|
|
General
Mills |
|
|
2,167 |
|
|
|
139 |
|
Hershey
|
|
|
719 |
|
|
|
144 |
|
J
M Smucker |
|
|
1,051 |
|
|
|
129 |
|
Kellanova
|
|
|
392 |
|
|
|
23 |
|
Mondelez
International, Cl A |
|
|
285 |
|
|
|
20 |
|
Procter
& Gamble |
|
|
1,651 |
|
|
|
241 |
|
Walmart
|
|
|
1,410 |
|
|
|
225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
921 |
|
Energy
— 3.5% |
|
|
|
|
Chevron
|
|
|
1,375 |
|
|
|
232 |
|
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† (continued) |
Kinder
Morgan |
|
|
3,484 |
|
|
$ |
58 |
|
Marathon
Petroleum |
|
|
76 |
|
|
|
11 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
301 |
|
Financials
— 7.4% |
|
|
|
|
Allstate
|
|
|
534 |
|
|
|
60 |
|
American
Financial Group |
|
|
107 |
|
|
|
12 |
|
Berkshire
Hathaway, Cl B * |
|
|
364 |
|
|
|
128 |
|
Chubb
|
|
|
592 |
|
|
|
123 |
|
Jack
Henry & Associates |
|
|
47 |
|
|
|
7 |
|
Loews
|
|
|
298 |
|
|
|
19 |
|
Marsh
& McLennan |
|
|
112 |
|
|
|
21 |
|
Travelers
|
|
|
388 |
|
|
|
63 |
|
W
R Berkley |
|
|
2,429 |
|
|
|
154 |
|
White
Mountains Insurance Group |
|
|
29 |
|
|
|
44 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
631 |
|
Health
Care — 18.4% |
|
|
|
|
Bristol-Myers
Squibb |
|
|
2,341 |
|
|
|
136 |
|
Cardinal
Health |
|
|
1,952 |
|
|
|
170 |
|
Chemed
|
|
|
43 |
|
|
|
22 |
|
CVS
Health |
|
|
954 |
|
|
|
67 |
|
Gilead
Sciences |
|
|
2,405 |
|
|
|
180 |
|
Johnson
& Johnson |
|
|
1,698 |
|
|
|
264 |
|
McKesson
|
|
|
451 |
|
|
|
196 |
|
Merck
& Co |
|
|
2,505 |
|
|
|
258 |
|
Pfizer
|
|
|
5,285 |
|
|
|
175 |
|
Quest
Diagnostics |
|
|
878 |
|
|
|
107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,575 |
|
Industrials
— 10.3% |
|
|
|
|
3M
|
|
|
187 |
|
|
|
17 |
|
Expeditors
International of Washington |
|
|
1,448 |
|
|
|
166 |
|
Genpact
|
|
|
535 |
|
|
|
19 |
|
Landstar
System |
|
|
412 |
|
|
|
73 |
|
MSC
Industrial Direct, Cl A |
|
|
487 |
|
|
|
48 |
|
Republic
Services, Cl A |
|
|
1,326 |
|
|
|
189 |
|
Robert
Half |
|
|
466 |
|
|
|
34 |
|
Snap-on
|
|
|
97 |
|
|
|
25 |
|
Verisk
Analytics, Cl A |
|
|
736 |
|
|
|
174 |
|
Waste
Management |
|
|
893 |
|
|
|
136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
881 |
|
Information
Technology — 25.8% |
|
|
|
|
Accenture,
Cl A |
|
|
462 |
|
|
|
142 |
|
Amdocs
|
|
|
1,419 |
|
|
|
120 |
|
Amphenol,
Cl A |
|
|
343 |
|
|
|
29 |
|
Apple
|
|
|
2,025 |
|
|
|
347 |
|
Arrow
Electronics * |
|
|
728 |
|
|
|
91 |
|
Avnet
|
|
|
988 |
|
|
|
48 |
|
Cisco
Systems |
|
|
4,359 |
|
|
|
234 |
|
Dolby
Laboratories, Cl A |
|
|
703 |
|
|
|
56 |
|
Jabil
|
|
|
1,443 |
|
|
|
183 |
|
Juniper
Networks |
|
|
2,516 |
|
|
|
70 |
|
SEI
Exchange Traded Funds
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2023
SEI
Enhanced Low Volatility U.S. Large Cap ETF (Concluded)
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† (continued) |
Manhattan
Associates * |
|
|
316 |
|
|
$ |
62 |
|
Microsoft
|
|
|
1,046 |
|
|
|
330 |
|
Motorola
Solutions |
|
|
62 |
|
|
|
17 |
|
Oracle
|
|
|
2,560 |
|
|
|
271 |
|
Roper
Technologies |
|
|
424 |
|
|
|
205 |
|
Texas
Instruments |
|
|
41 |
|
|
|
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,212 |
|
Materials
— 1.9% |
|
|
|
|
Reliance
Steel & Aluminum |
|
|
443 |
|
|
|
116 |
|
Silgan
Holdings |
|
|
979 |
|
|
|
42 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
158 |
|
Utilities
— 6.1% |
|
|
|
|
Atmos
Energy |
|
|
394 |
|
|
|
42 |
|
CMS
Energy |
|
|
88 |
|
|
|
5 |
|
Consolidated
Edison |
|
|
2,083 |
|
|
|
178 |
|
DTE
Energy |
|
|
285 |
|
|
|
28 |
|
Duke
Energy |
|
|
1,762 |
|
|
|
156 |
|
Hawaiian
Electric Industries |
|
|
1,119 |
|
|
|
14 |
|
National
Fuel Gas |
|
|
972 |
|
|
|
50 |
|
UGI
|
|
|
2,169 |
|
|
|
50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
523 |
|
Total
Common Stock |
|
|
|
|
|
|
|
|
(Cost
$8,666) ($ Thousands) |
|
|
|
|
|
|
8,509 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments in Securities — 99.4% |
|
|
|
|
|
|
|
|
(Cost
$8,666) ($ Thousands) |
|
$ |
8,509 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentages
are based on Net Assets of $8,562 ($ Thousands). |
* |
Non-income
producing security. |
†† |
Narrow
industries are utilized for compliance purposes, whereas broad sectors are
utilized for reporting. |
As
of September 30, 2023, all of the Fund's investments were considered Level
1, in accordance with the authoritative guidance on fair value
measurements and disclosure under U.S. GAAP. |
See
“Glossary” for abbreviations.
For
more information on valuation inputs, see Note 2 – Significant Accounting
Policies in Notes to Financial Statements.
The
accompanying notes are an integral part of the financial statements.
SEI
Exchange Traded Funds
Glossary:
(abbreviations which may be used in the preceding Schedules of Investments)
Portfolio
Abbreviations |
Cl
— Class |
The
accompanying notes are an integral part of the financial statements.
SEI
Exchange Traded Funds
STATEMENTS
OF ASSETS AND LIABILITIES ($ Thousands)
September
30, 2023 (Unaudited)
|
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
|
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
|
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
|
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments,
at value† |
|
$ |
16,517 |
|
|
$ |
26,812 |
|
|
$ |
27,639 |
|
|
$ |
8,509 |
|
Cash |
|
|
45 |
|
|
|
259 |
|
|
|
229 |
|
|
|
44 |
|
Dividends
receivable |
|
|
21 |
|
|
|
19 |
|
|
|
34 |
|
|
|
10 |
|
Total
Assets |
|
|
16,583 |
|
|
|
27,090 |
|
|
|
27,902 |
|
|
|
8,563 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment
advisory fees payable |
|
|
2 |
|
|
|
3 |
|
|
|
3 |
|
|
|
1 |
|
Total
Liabilities |
|
|
2 |
|
|
|
3 |
|
|
|
3 |
|
|
|
1 |
|
Net
Assets |
|
$ |
16,581 |
|
|
$ |
27,087 |
|
|
$ |
27,899 |
|
|
$ |
8,562 |
|
†
Cost of investments |
|
$ |
15,551 |
|
|
$ |
25,628 |
|
|
$ |
26,682 |
|
|
$ |
8,666 |
|
Net
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in
capital — (unlimited authorization — no par value) |
|
$ |
15,598 |
|
|
$ |
27,223 |
|
|
$ |
27,489 |
|
|
$ |
8,501 |
|
Total
distributable earnings (accumulated losses) |
|
|
983 |
|
|
|
(136 |
) |
|
|
410 |
|
|
|
61 |
|
Net
Assets |
|
$ |
16,581 |
|
|
$ |
27,087 |
|
|
$ |
27,899 |
|
|
$ |
8,562 |
|
Net
Asset Value, Offering and Redemption Price Per Share |
|
$ |
27.63 |
|
|
$ |
25.20 |
|
|
$ |
25.36 |
|
|
$ |
24.46 |
|
|
|
|
($16,580,867 ÷ 600,000 shares |
) |
|
|
($27,086,803 ÷ 1,075,000
shares |
) |
|
|
($27,898,932 ÷ 1,100,000
shares |
) |
|
|
($8,562,384 ÷ 350,000 shares |
) |
The
accompanying notes are an integral part of the financial statements.
SEI
Exchange Traded Funds
STATEMENTS
OF OPERATIONS ($ Thousands)
For
the six months ended September 30, 2023 (Unaudited)
|
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
|
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
|
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
|
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
|
Investment
income: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends |
|
$ |
97 |
|
|
$ |
128 |
|
|
$ |
289 |
|
|
$ |
124 |
|
Total
investment income |
|
|
97 |
|
|
|
128 |
|
|
|
289 |
|
|
|
124 |
|
Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment
advisory fees |
|
|
11 |
|
|
|
17 |
|
|
|
18 |
|
|
|
8 |
|
Trustee
fees |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Total
expenses |
|
|
11 |
|
|
|
17 |
|
|
|
18 |
|
|
|
8 |
|
Net
investment income |
|
|
86 |
|
|
|
111 |
|
|
|
271 |
|
|
|
116 |
|
Net
realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments(1) |
|
|
220 |
|
|
|
(455 |
) |
|
|
(112 |
) |
|
|
377 |
|
Net
realized gain (loss) |
|
|
220 |
|
|
|
(455 |
) |
|
|
(112 |
) |
|
|
377 |
|
Net
change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
(65 |
) |
|
|
— |
|
|
|
1,123 |
|
|
|
(514 |
) |
Net
change in unrealized appreciation (depreciation) |
|
|
(65 |
) |
|
|
— |
|
|
|
1,123 |
|
|
|
(514 |
) |
Net
realized and unrealized gain (loss) |
|
|
155 |
|
|
|
(455 |
) |
|
|
1,011 |
|
|
|
(137 |
) |
Net
increase (decrease) in net assets resulting from operations |
|
$ |
241 |
|
|
$ |
(344 |
) |
|
$ |
1,282 |
|
|
$ |
(21 |
) |
(1)
Includes realized gains (losses) as a result of in-kind redemptions (see
Note 4 in Notes to Financial Statements).
Amounts
designated as "—" are $0 or have been rounded to $0.
|
The
accompanying notes are an integral part of the financial statements.
SEI
Exchange Traded Funds
STATEMENTS
OF CHANGES IN NET ASSETS ($ Thousands)
For
the six months ended September 30, 2023 (Unaudited) and the period ended March
31, 2023
|
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
|
|
|
|
4/1/2023 to
9/30/2023 |
|
|
|
5/18/2022(1)
to
3/31/2023 |
|
Operations: |
|
|
|
|
|
|
|
|
Net
investment income |
|
$ |
86 |
|
|
$ |
114 |
|
Net
realized gain (loss) |
|
|
220 |
|
|
|
(96 |
) |
Net
change in unrealized appreciation (depreciation) |
|
|
(65 |
) |
|
|
1,031 |
|
Net
increase in net assets resulting from operations |
|
|
241 |
|
|
|
1,049 |
|
Distributions |
|
|
(82 |
) |
|
|
(75 |
) |
Capital
share transactions: |
|
|
|
|
|
|
|
|
Proceeds
from shares issued |
|
|
4,271 |
|
|
|
14,549 |
|
Cost
of shares redeemed |
|
|
(1,442 |
) |
|
|
(1,930 |
) |
Net
increase in net assets derived from capital share transactions |
|
|
2,829 |
|
|
|
12,619 |
|
Net
increase in net assets |
|
|
2,988 |
|
|
|
13,593 |
|
Net
assets: |
|
|
|
|
|
|
|
|
Beginning
of period |
|
|
13,593 |
|
|
|
— |
|
End
of period |
|
$ |
16,581 |
|
|
$ |
13,593 |
|
Share
Transactions: |
|
|
|
|
|
|
|
|
Shares
issued |
|
|
150 |
|
|
|
575 |
|
Shares
issued in lieu of dividends and distributions |
|
|
— |
|
|
|
— |
|
Shares
redeemed |
|
|
(50 |
) |
|
|
(75 |
) |
Increase
(decrease) in net assets derived from share transactions |
|
|
100 |
|
|
|
500 |
|
(1)
The Fund commenced operations on May 18, 2022. |
Amounts
designated as "—" are $0 or have been rounded to $0. |
The
accompanying notes are an integral part of the financial
statements. |
SEI
Exchange Traded Funds
STATEMENTS
OF CHANGES IN NET ASSETS ($ Thousands)
For
the six months ended September 30, 2023 (Unaudited) and the period ended March
31, 2023
|
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
|
|
|
|
4/1/2023 to
9/30/2023 |
|
|
|
5/18/2022(1)
to
3/31/2023 |
|
Operations: |
|
|
|
|
|
|
|
|
Net
investment income |
|
$ |
111 |
|
|
$ |
254 |
|
Net
realized loss |
|
|
(455 |
) |
|
|
(430 |
) |
Net
change in unrealized appreciation (depreciation) |
|
|
— |
|
|
|
1,184 |
|
Net
increase (decrease) in net assets resulting from operations |
|
|
(344 |
) |
|
|
1,008 |
|
Distributions |
|
|
(125 |
) |
|
|
(192 |
) |
Capital
share transactions: |
|
|
|
|
|
|
|
|
Proceeds
from shares issued |
|
|
7,838 |
|
|
|
25,408 |
|
Cost
of shares redeemed |
|
|
(1,329 |
) |
|
|
(5,177 |
) |
Net
increase in net assets derived from capital share transactions |
|
|
6,509 |
|
|
|
20,231 |
|
Net
increase in net assets |
|
|
6,040 |
|
|
|
21,047 |
|
Net
assets: |
|
|
|
|
|
|
|
|
Beginning
of period |
|
|
21,047 |
|
|
|
— |
|
End
of period |
|
$ |
27,087 |
|
|
$ |
21,047 |
|
Share
Transactions: |
|
|
|
|
|
|
|
|
Shares
issued |
|
|
300 |
|
|
|
1,025 |
|
Shares
issued in lieu of dividends and distributions |
|
|
— |
|
|
|
— |
|
Shares
redeemed |
|
|
(50 |
) |
|
|
(200 |
) |
Increase
(decrease) in net assets derived from share transactions |
|
|
250 |
|
|
|
825 |
|
(1)
The Fund commenced operations on May 18, 2022. |
Amounts
designated as "—" are $0 or have been rounded to $0. |
The
accompanying notes are an integral part of the financial
statements. |
SEI
Exchange Traded Funds
STATEMENTS
OF CHANGES IN NET ASSETS ($ Thousands) (Concluded)
For
the six months ended September 30, 2023 (Unaudited) and the period ended March
31, 2023
|
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
|
|
|
|
4/1/2023 to
9/30/2023 |
|
|
|
5/18/2022(1)
to
3/31/2023 |
|
Operations: |
|
|
|
|
|
|
|
|
Net
investment income |
|
$ |
271 |
|
|
$ |
411 |
|
Net
realized loss |
|
|
(112 |
) |
|
|
(142 |
) |
Net
change in unrealized appreciation (depreciation) |
|
|
1,123 |
|
|
|
(166 |
) |
Net
increase in net assets resulting from operations |
|
|
1,282 |
|
|
|
103 |
|
Distributions |
|
|
(263 |
) |
|
|
(281 |
) |
Capital
share transactions: |
|
|
|
|
|
|
|
|
Proceeds
from shares issued |
|
|
8,293 |
|
|
|
25,113 |
|
Cost
of shares redeemed |
|
|
(1,957 |
) |
|
|
(4,391 |
) |
Net
increase in net assets derived from capital share transactions |
|
|
6,336 |
|
|
|
20,722 |
|
Net
increase in net assets |
|
|
7,355 |
|
|
|
20,544 |
|
Net
assets: |
|
|
|
|
|
|
|
|
Beginning
of period |
|
|
20,544 |
|
|
|
— |
|
End
of period |
|
$ |
27,899 |
|
|
$ |
20,544 |
|
Share
Transactions: |
|
|
|
|
|
|
|
|
Shares
issued |
|
|
325 |
|
|
|
1,025 |
|
Shares
issued in lieu of dividends and distributions |
|
|
— |
|
|
|
— |
|
Shares
redeemed |
|
|
(75 |
) |
|
|
(175 |
) |
Increase
(decrease) in net assets derived from share transactions |
|
|
250 |
|
|
|
850 |
|
(1)
The Fund commenced operations on May 18, 2022. |
Amounts
designated as "—" are $0 or have been rounded to $0. |
The
accompanying notes are an integral part of the financial
statements. |
SEI
Exchange Traded Funds
STATEMENTS
OF CHANGES IN NET ASSETS ($ Thousands)
For
the six months ended September 30, 2023 (Unaudited) and the period ended March
31, 2023
|
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
|
|
|
|
4/1/2023 to
9/30/2023 |
|
|
|
5/18/2022(1)
to
3/31/2023 |
|
Operations: |
|
|
|
|
|
|
|
|
Net
investment income |
|
$ |
116 |
|
|
$ |
205 |
|
Net
realized gain (loss) |
|
|
377 |
|
|
|
(112 |
) |
Net
change in unrealized appreciation (depreciation) |
|
|
(514 |
) |
|
|
357 |
|
Net
increase (decrease) in net assets resulting from operations |
|
|
(21 |
) |
|
|
450 |
|
Distributions |
|
|
(138 |
) |
|
|
(139 |
) |
Capital
share transactions: |
|
|
|
|
|
|
|
|
Proceeds
from shares issued |
|
|
634 |
|
|
|
13,574 |
|
Cost
of shares redeemed |
|
|
(3,890 |
) |
|
|
(1,908 |
) |
Net
increase/(decrease) in net assets derived from capital share
transactions |
|
|
(3,256 |
) |
|
|
11,666 |
|
Net
increase/(decrease) in net assets |
|
|
(3,415 |
) |
|
|
11,977 |
|
Net
assets: |
|
|
|
|
|
|
|
|
Beginning
of period |
|
|
11,977 |
|
|
|
— |
|
End
of period |
|
$ |
8,562 |
|
|
$ |
11,977 |
|
Share
Transactions: |
|
|
|
|
|
|
|
|
Shares
issued |
|
|
25 |
|
|
|
550 |
|
Shares
issued in lieu of dividends and distributions |
|
|
— |
|
|
|
— |
|
Shares
redeemed |
|
|
(150 |
) |
|
|
(75 |
) |
Increase
(decrease) in net assets derived from share transactions |
|
|
(125 |
) |
|
|
475 |
|
(1)
The Fund commenced operations on May 18, 2022. |
Amounts
designated as "—" are $0 or have been rounded to $0. |
The
accompanying notes are an integral part of the financial
statements. |
SEI
Exchange Traded Funds
FINANCIAL
HIGHLIGHTS
For
the period ended September 30,2023 (Unaudited) and the period ended March 31,
2023.
For
a Share Outstanding Throughout Each Period
|
|
Net
asset value, beginning of period |
|
|
Net
investment income(1) |
|
|
Net
realized and unrealized gains (losses) on securities |
|
|
Total
from operations |
|
|
Distributions
from net investment income |
|
|
Distributions
from realized gains |
|
|
Total
dividends and distributions |
|
|
Net
asset value, end of period |
|
|
Total
Return† |
|
|
Net
assets, end of period ($ Thousands) |
|
|
Ratio
of net expenses to average net assets |
|
|
Ratio
of expenses to average net assets (excluding waivers and
reimbursements) |
|
|
Ratio
of net investment income to average net assets |
|
|
Portfolio
turnover† |
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
2023@ |
|
$ |
27.19 |
|
|
$ |
0.16 |
|
|
$ |
0.44 |
|
|
$ |
0.60 |
|
|
$ |
(0.16 |
) |
|
$ |
– |
|
|
$ |
(0.16 |
) |
|
$ |
27.63 |
|
|
|
2.21 |
% |
|
$ |
16,581 |
|
|
|
0.15 |
% |
|
|
0.15 |
% |
|
|
1.16 |
% |
|
|
8 |
% |
2023(2) |
|
|
24.91 |
|
|
|
0.30 |
|
|
|
2.19 |
|
|
|
2.49 |
|
|
|
(0.21 |
) |
|
|
– |
|
|
|
(0.21 |
) |
|
|
27.19 |
|
|
|
10.08 |
|
|
|
13,593 |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
1.35 |
|
|
|
40 |
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
2023@ |
|
$ |
25.51 |
|
|
$ |
0.12 |
|
|
$ |
(0.28 |
) |
|
$ |
(0.16 |
) |
|
$ |
(0.15 |
) |
|
$ |
– |
|
|
$ |
(0.15 |
) |
|
$ |
25.20 |
|
|
|
(0.65 |
)% |
|
$ |
27,087 |
|
|
|
0.15 |
% |
|
|
0.15 |
% |
|
|
0.96 |
% |
|
|
25 |
% |
2023(2) |
|
|
25.08 |
|
|
|
0.33 |
|
|
|
0.35 |
|
|
|
0.68 |
|
|
|
(0.25 |
) |
|
|
– |
|
|
|
(0.25 |
) |
|
|
25.51 |
|
|
|
2.74 |
|
|
|
21,047 |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
1.52 |
|
|
|
63 |
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
2023@ |
|
$ |
24.17 |
|
|
$ |
0.29 |
|
|
$ |
1.20 |
|
|
$ |
1.49 |
|
|
$ |
(0.30 |
) |
|
$ |
– |
|
|
$ |
(0.30 |
) |
|
$ |
25.36 |
|
|
|
6.19 |
% |
|
$ |
27,899 |
|
|
|
0.15 |
% |
|
|
0.15 |
% |
|
|
2.29 |
% |
|
|
20 |
% |
2023(2) |
|
|
24.95 |
|
|
|
0.58 |
|
|
|
(0.97 |
) |
|
|
(0.39 |
) |
|
|
(0.39 |
) |
|
|
– |
|
|
|
(0.39 |
) |
|
|
24.17 |
|
|
|
(1.52 |
) |
|
|
20,544 |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
2.74 |
|
|
|
43 |
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
2023@ |
|
$ |
25.21 |
|
|
$ |
0.27 |
|
|
$ |
(0.68 |
) |
|
$ |
(0.41 |
) |
|
$ |
(0.34 |
) |
|
$ |
– |
|
|
$ |
(0.34 |
) |
|
$ |
24.46 |
|
|
|
(1.66 |
)% |
|
$ |
8,562 |
|
|
|
0.15 |
% |
|
|
0.15 |
% |
|
|
2.16 |
% |
|
|
7 |
% |
2023(2) |
|
|
24.79 |
|
|
|
0.48 |
|
|
|
0.25 |
|
|
|
0.73 |
|
|
|
(0.31 |
) |
|
|
– |
|
|
|
(0.31 |
) |
|
|
25.21 |
|
|
|
3.02 |
|
|
|
11,977 |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
2.24 |
|
|
|
24 |
|
@ |
For
the six-month period ended September 30, 2023. All ratios for the period
have been annualized. |
† |
Returns
and portfolio turnover rates are for the period indicated and have not
been annualized. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. |
(1) |
Per
share calculated using average shares. |
(2) |
Commenced
operations on May 18, 2022. All ratios for the period have been
annualized. |
Amounts
designated as “—” are either $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements.
SEI
Exchange Traded Funds
NOTES
TO FINANCIAL STATEMENTS
September
30, 2023 (Unaudited)
1.
ORGANIZATION
SEI
Exchange Traded Funds (the “Trust”) was organized as a Delaware statutory trust
under a Declaration of Trust dated October 7, 2021.
The
Trust is registered under the Investment Company Act of 1940, as amended, as an
open-end investment company with four funds: SEI Enhanced U.S. Large Cap Quality
Factor ETF, SEI Enhanced U.S. Large Cap Momentum Factor ETF, SEI Enhanced U.S.
Large Cap Value Factor ETF and SEI Enhanced Low Volatility U.S. Large Cap ETF
(each a “Fund” and together the “Funds”) each of which are diversified Funds.
Each Fund’s prospectus provides a description of its investment goal, principal
investment strategies and risks. The Funds commenced operations on May 18, 2022.
The assets of each Fund are segregated, and an Authorized Participant’s interest
is limited to the Fund in which shares are held.
2.
SIGNIFICANT ACCOUNTING POLICIES
The
following are significant accounting policies, which are consistently followed
in the preparation of its financial statements by the Funds. The Funds are
investment companies that apply the accounting and reporting guidance issued in
Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).
Use
of Estimates — The Funds are investment companies in conformity with
accounting principles generally accepted in the United States of America (“U.S.
GAAP”). Therefore, the Funds follow the accounting and reporting guidelines for
investment companies. The preparation of financial statements, in conformity
with U.S. GAAP requires management to make estimates and assumptions that affect
the reported amounts of assets and liabilities and disclosure of contingent
assets and liabilities as of the date of the financial statements and the
reported amounts of increases and decreases in net assets from operations during
the reporting period. Actual results could differ from those estimates.
Security
Valuation — Effective September 8, 2022, and pursuant to the requirements
of the 1940 Act and Rule 2a-5, the administrator, as delegated by the Board of
Trustees (the “Board”), has the responsibility for the valuation of Fund
investments with readily available market quotations in accordance with the
Funds’ Valuation and Pricing Policy. The Trust's Board of Trustees has
designated SIMC as the Valuation Designee for the Funds pursuant to Rule 2a-5
(the “Rule”) under the 1940 Act. The Valuation Designee has the responsibility
for the fair value determination with respect to all Fund investments that do
not have readily available market quotations or quotations that are no longer
reliable. SIMC has appointed a Valuation Committee (the “Committee”) and has
established a Valuation and Pricing Policy to implement the Rule and the Funds’
Valuation and
Pricing
Policy (together the “Policy”). Prior to September 8, 2022, fair-value
determinations were performed in accordance with the Trust’s Fair Value
Procedures established by the Funds’ Board of Trustees and were implemented
through a Fair Value Committee designated by the Board.
When
valuing portfolio securities, a Fund values securities listed on a securities
exchange, market or automated quotation system for which quotations are readily
available (other than securities traded on National Association of Securities
Dealers Automated Quotations (NASDAQ) or as otherwise noted below) at the last
quoted sale price on an exchange or market (foreign or domestic) on which the
securities are traded or, if there is no such reported sale, at the most recent
quoted bid price. A Fund values securities traded on NASDAQ at the NASDAQ
Official Closing Price. Redeemable securities issued by open-end investment
companies are valued at the investment company’s applicable Net Asset Value
(“NAV”) per share, with the exception of ETFs, which are priced as equity
securities. These open-end investment companies’ shares are offered in separate
prospectuses, each of which describes the process by which the applicable
investment company’s NAV is determined. The prices of foreign securities are
reported in local currency and converted to U.S. dollars using currency exchange
rates. If a security’s price cannot be obtained, as noted above, a Fund will
value the securities using a bid price from at least one independent broker.
Prices
for most securities held by a Fund are provided daily by third-party independent
pricing agents. SIMC reasonably believes that prices provided by independent
pricing agents are reliable. However, there can be no assurance that such
pricing service’s prices will be reliable. SIMC will continuously monitor the
reliability of prices obtained from any pricing service and shall promptly
notify the Funds’ administrator if it believes that a particular pricing service
is no longer a reliable source of prices. The Funds’ administrator, in turn,
will notify SIMC, as Valuation Designee, if the Funds’ administrator reasonably
believes that a particular pricing service is no longer a reliable source for
prices.
The
Policy provides that any change in a primary pricing agent or a pricing
methodology requires prior approval by the Board. However, when the change would
not materially affect the valuation of a Fund’s net assets or involve a material
departure in pricing methodology from that of a Fund’s existing pricing agent or
pricing methodology, ratification may be obtained at the next regularly
scheduled meeting of the Board.
Securities
for which market prices are not "readily available" are valued in accordance
with Rule 2a-5 and the Policy.
SEI
Exchange Traded Funds
NOTES
TO FINANCIAL STATEMENTS (Continued)
September
30, 2023 (Unaudited)
The
Committee must monitor for circumstances that may necessitate that a security be
valued using Fair Value Procedures which can include: (i) the security's trading
has been halted or suspended, (ii) the security has been de-listed from a
national exchange, (iii) the security's primary trading market is temporarily
closed at a time when under normal conditions it would be open, (iv) the
security has not been traded for an extended period of time, (v) the security's
primary pricing source is not able or willing to provide a price, (vi) trading
of the security is subject to local government-imposed restrictions; or (vii) a
significant event (as defined below). When a security is valued in accordance
with the Procedures, the Committee will determine the value after taking into
consideration relevant information reasonably available to the Committee.
Examples of factors the Committee may consider include: (i) the type of security
or asset, (ii) the last trade price, (iii) evaluation of the forces that
influence the market in which the security is purchased and sold, (iv) the
liquidity of the security, (v) the size of the holding in a Fund or (vi) any
other appropriate information.
The
Committee is responsible for selecting and applying, in a consistent manner, the
appropriate methodologies for determining and calculating the fair value of
holdings of the Funds, including specifying the key inputs and assumptions
specific to each asset class or holding.
The
determination of a security’s fair value price often involves the consideration
of a number of subjective factors, and is therefore subject to the unavoidable
risk that the value assigned to a security may be higher or lower than the
security’s value would be if a reliable market quotation for the security was
readily available. As of September 30, 2023, there were no fair valued
securities held by the Funds.
In
accordance with U.S. GAAP, fair value is defined as the price that a Fund would
receive upon selling an investment in an orderly transaction to an independent
buyer in the principal or most advantageous market of the investment. A three
tier hierarchy has been established to maximize the use of observable and
minimize the use of unobservable inputs and to establish classification of fair
value measurements for disclosure purposes. Inputs refer broadly to the
assumptions that market participants would use in pricing an asset. Inputs may
be observable or unobservable. Observable inputs are inputs that reflect the
assumptions market participants would use in pricing the asset or liability
based on market data obtained from sources independent of the reporting entity.
Unobservable inputs are inputs that reflect the reporting entity’s own
assumptions about the assumptions market participants would use in pricing the
asset or liability based on the best information available in the circumstances.
The
three-tier hierarchy of inputs is summarized in the three broad Levels listed
below:
Level
1 — quoted prices in active markets for identical investments
Level
2 — other significant observable inputs (including quoted prices for similar
investments, interest rates, prepayment speeds, credit risks, etc.)
Level
3 — significant unobservable inputs (including the Fund’s own assumptions in
determining the fair value of investments)
Investments
are classified within the level of the lowest significant input considered in
determining fair value. Investments classified within Level 3 whose fair value
measurement considers several inputs may include Level 1 or Level 2 inputs as
components of the overall fair value measurement.
The
valuation techniques used by the Funds to measure fair value during the six
months ended September 30, 2023 maximized the use of observable inputs and
minimized the use of unobservable inputs.
For
the six months ended September 30, 2023, there have been no significant changes
to the inputs or the Trust’s fair valuation methodologies.
Security
Transactions and Investment Income — Security transactions are recorded on
the trade date. Cost used in determining net realized capital gains and losses
on the sale of securities is determined on the basis of specific identification.
Dividend income and expense is recognized on the ex-dividend date, and interest
income or expense is recognized using the accrual basis of accounting.
Distributions
received on securities that represent a return of capital or capital gain are
recorded as a reduction of cost of investments and/ or as a realized gain. The
Trust estimates the components of distributions received that may be considered
nontaxable distributions or capital gain distributions.
Amortization
and accretion is calculated using the scientific interest method, which is not
materially different from the effective interest method. Amortization of
premiums and discounts is included in interest income.
Cash
and Cash Equivalents — Idle cash and currency balances may be swept into
various overnight sweep accounts and are classified as cash and cash equivalents
on the Statement of Assets and Liabilities. These amounts, at times, may exceed
United States federally insured limits. Amounts swept are available on the next
business day.
Expenses
— Expenses that are directly related to one of the Funds are charged
directly to that Fund. Other operating
SEI
Exchange Traded Funds
expenses
of the Trust are prorated to the Funds on the basis of relative daily net
assets.
Foreign
Currency Translation — The books and records of the Funds investing in
international securities are maintained in U.S. dollars on the following basis:
(i)
market value of investment securities, assets and liabilities at the current
rate of exchange; and
(ii)
purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The
Funds do not isolate that portion of gains and losses on investments in
investment securities that is due to changes in the foreign exchange rates from
that which is due to changes in market prices of investment securities.
The
Funds report certain foreign-currency-related transactions as components of
realized gains for financial reporting purposes, whereas such components are
treated as ordinary income for Federal income tax purposes.
Dividends
and Distributions to Shareholders — The Funds will distribute substantially
all of their net investment income and all net realized capital gains, if any,
at least annually. All dividends and distributions are recorded on ex-dividend
date.
Investments
in Real Estate Investment Trusts (“REITs”) — Dividend income is recorded
based on the income included in distributions received from the REIT investments
using published REIT reclassifications including management estimates when
actual amounts are not available. Distributions received in excess of this
estimated amount are recorded as a reduction of the cost of investments or
reclassified to capital gains. The actual amounts of income, return of capital,
and capital gains are only determined by each REIT after its fiscal year-end,
and may differ from the estimated amounts.
Creation
Units — The Funds issue and redeem their shares (“Shares”) on a continuous
basis at NAV and only in large blocks of Shares referred to as “Creation Units”.
Purchasers of Creation Units (“Authorized Participants”) at NAV must pay a
standard creation transaction fee per transaction. The fee is a single charge
and will be the same regardless of the number of Creation Units purchased by an
Authorized Participant on the same day.
3.
INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, AND OTHER
TRANSACTIONS WITH AFFILIATES
Investment
Advisory, Administration and Distribution Agreements — SIMC serves as
investment adviser (the “Adviser”) to each Fund. In connection with serving as
Adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly,
based on the average daily net assets of
each
fund. Pursuant to the Investment Advisory Agreement entered into with the Trust,
SIMC has agreed to pay all Fund expenses, except for the fees paid to SIMC for
advisory services, interest expenses, dividend and other expenses on securities
sold short, taxes, expenses incurred with respect to the acquisition and
disposition of portfolio securities and the execution of portfolio transactions
(including brokerage commissions), acquired fund fees and expenses, distribution
fees or expenses paid by the Trust under any distribution plan adopted pursuant
to Rule 12b-1 under the 1940 Act (if any), fees and expenses of the Board of
Trustees, litigation expenses and any extraordinary expenses.
SEI
Investments Global Funds Services (the “Administrator”) is the administrator for
the Funds.
SEI
Exchange Traded Funds
NOTES
TO FINANCIAL STATEMENTS (Continued)
September
30, 2023 (Unaudited)
SEI Investments Distribution Co. (the
“Distributor”) is the distributor of creation units. The Funds have
adopted a Distribution and Servicing Plan (the Plan). The Plan permits
each Fund to pay the Distributor, or its designee, a fee for the sale and
distribution and/or shareholder servicing of the shares at an annual rate
of |
up to 0.25% of average daily net assets of the
shares of the Fund ("12b-1 fee"). However, payment of a 12b-1 fee has not
been authorized at this time. |
The
following table reflects each Fund’s contractual Advisory Fee (expressed as an
annual rate). The rates shown are fixed rates based on each Fund’s daily net
assets
|
Advisory
Fee |
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
0.150% |
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
0.150% |
SEI
Enhanced U.S. Large Cap Value Factor ETF |
0.150% |
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
0.150% |
Brokerage
Commissions Paid to Affiliates — The Distributor may receive compensation on
fund transactions effected for the Trust in accordance with the rules of the
Securities and Exchange Commission (“SEC”). Accordingly, it is expected that
fund transactions may result in brokerage commissions being paid to the
Distributor. The SEC rules require that such commissions not exceed usual and
customary commissions.
There
were no such commissions for the six months ended September 30, 2023.
Payment
to Affiliates — Certain Officers and Trustees of the Trust are also Officers
and/or Directors of the Administrator, Adviser and/or the Distributor.
The
Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly,
interim, and committee meetings. The Administrator or the Distributor pays
compensation of Officers and affiliated Trustees.
A
portion of the services provided by the Chief Compliance Officer (“CCO”) and his
staff, whom are employees of the Administrator, are paid for by the Trust as
incurred. The services include regulatory oversight of the Trust’s Adviser,
sub-advisers and service providers.
4.
INVESTMENT TRANSACTIONS
The
cost of security purchases and the proceeds from the sale of securities,
excluding in-kind transactions and short-term securities during the six months
ended September 30, 2023, were as follows:
|
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF ($ Thousands) |
|
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF ($ Thousands) |
|
|
SEI
Enhanced U.S. Large Cap Value Factor ETF ($ Thousands) |
|
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF ($ Thousands) |
|
Purchases |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
Government |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Other |
|
|
1,254 |
|
|
|
5,797 |
|
|
|
4,631 |
|
|
|
741 |
|
Sales |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
Government |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Other |
|
|
1,240 |
|
|
|
5,871 |
|
|
|
4,731 |
|
|
|
727 |
|
For
the six months ended September 30, 2023, in-kind transactions associated with
creations and redemptions were as follows:
|
|
|
|
|
|
|
|
Realized
|
|
|
|
Purchases |
|
|
Sales |
|
|
Gain |
|
|
|
($ Thousands)
|
|
|
($ Thousands)
|
|
|
($ Thousands)
|
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
|
$ |
4,266 |
|
|
$ |
1,430 |
|
|
$ |
277 |
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
|
|
7,784 |
|
|
|
1,312 |
|
|
|
181 |
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
|
|
8,238 |
|
|
|
1,878 |
|
|
|
406 |
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
|
|
635 |
|
|
|
3,879 |
|
|
|
433 |
|
5.
FEDERAL TAX INFORMATION:
It
is each Fund's intention to qualify as a regulated investment company under
Subchapter M of the Internal Revenue Code and distribute all of its taxable
income
(including
net capital gains). Accordingly, no provision for Federal income taxes is
required.
The
Funds may be subject to taxes imposed by countries in which they invest with
respect to their
SEI
Exchange Traded Funds
investments
in issuers existing or operating in such countries. Such taxes are generally
based on income earned. The Funds accrue such taxes when the related income is
earned.
Dividends
from net investment income and distributions from net realized capital gains are
determined in accordance with U.S. Federal income tax regulations,
which
may differ from those amounts determined under U.S. GAAP. These book/tax
differences are either temporary or permanent in nature. To the extent these
differences are permanent, they are charged or credited to paid-in capital and
distributable earnings, as appropriate, in the period that the differences
arise.
The
tax character of dividends and distributions paid during the fiscal years or
periods ended March 31, 2023 were as follows:
|
|
Ordinary Income
($ Thousands) |
|
|
Long-Term
Capital Gain ($ Thousands) |
|
|
Total ($ Thousands) |
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
2023 |
|
$ |
75 |
|
|
$ |
— |
|
|
$ |
75 |
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
2023 |
|
|
192 |
|
|
|
— |
|
|
|
192 |
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
2023 |
|
|
281 |
|
|
|
— |
|
|
|
281 |
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
2023 |
|
|
139 |
|
|
|
— |
|
|
|
139 |
|
As
of March 31, 2023, the components of Distributable Earnings/(Accumulated Losses)
were as follows:
|
|
Undistributed Ordinary Income ($ Thousands) |
|
|
Undistributed Long-Term Capital
Gain ($ Thousands) |
|
|
Capital Loss Carryforwards ($ Thousands) |
|
|
Post October Losses ($ Thousands) |
|
|
Late
Year Ordinary Losses ($ Thousands) |
|
|
Unrealized Appreciation (Depreciation) ($ Thousands) |
|
|
Other Temporary Differences ($ Thousands) |
|
|
Total Distributable
Earnings (Accumulated Losses) ($ Thousands) |
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
|
$ |
40 |
|
|
$ |
— |
|
|
$ |
(185 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
970 |
|
|
$ |
(1 |
) |
|
$ |
824 |
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
|
|
63 |
|
|
|
— |
|
|
|
(858 |
) |
|
|
— |
|
|
|
— |
|
|
|
1,127 |
|
|
|
1 |
|
|
|
333 |
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
|
|
130 |
|
|
|
— |
|
|
|
(296 |
) |
|
|
— |
|
|
|
— |
|
|
|
(443 |
) |
|
|
— |
|
|
|
(609 |
) |
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
|
|
67 |
|
|
|
— |
|
|
|
(167 |
) |
|
|
— |
|
|
|
— |
|
|
|
321 |
|
|
|
(1 |
) |
|
|
220 |
|
For
Federal income tax purposes, capital loss carryforwards may be carried forward
and applied against future capital gains. Losses carried forward are as follows:
|
|
Short-Term |
|
|
Long-Term |
|
|
Total Capital
Loss Carryforwards ($ Thousands) |
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
|
$ |
185 |
|
|
$ |
— |
|
|
$ |
185 |
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
|
|
858 |
|
|
|
— |
|
|
|
858 |
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
|
|
296 |
|
|
|
— |
|
|
|
296 |
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
|
|
167 |
|
|
|
— |
|
|
|
167 |
|
For
Federal income tax purposes, the cost of securities owned at March 31, 2023, and
the net realized gains or losses on securities sold for the period were not
materially different from amounts reported for financial reporting purposes.
SEI
Exchange Traded Funds
NOTES
TO FINANCIAL STATEMENTS (Continued)
September
30, 2023 (Unaudited)
These
differences are primarily due to wash sales which cannot be used for Federal
income tax purposes in the current year and have been deferred for use in future
years. The aggregate gross unrealized appreciation and depreciation on total
investments held by the Funds at September 30, 2023, was as follows:
|
|
Federal Tax
Cost ($ Thousands) |
|
|
Appreciated Securities ($ Thousands) |
|
|
Depreciated Securities ($ Thousands) |
|
|
Net Unrealized Appreciation/ (Depreciation) ($ Thousands) |
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
|
$ |
15,551 |
|
|
$ |
1,507 |
|
|
$ |
(541 |
) |
|
$ |
966 |
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
|
|
25,628 |
|
|
|
2,261 |
|
|
|
(1,077 |
) |
|
|
1,184 |
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
|
|
26,682 |
|
|
|
2,412 |
|
|
|
(1,455 |
) |
|
|
957 |
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
|
|
8,666 |
|
|
|
617 |
|
|
|
(774 |
) |
|
|
(157 |
) |
6.
CONCENTRATION/RISKS
In
the normal course of business, the Trust enters into contracts that provide
general indemnifications by the Trust to the counterparty to the contract. The
Trust’s maximum exposure under these arrangements is dependent on future claims
that may be made against the Trust and, therefore, cannot be estimated; however,
management believes that, based on experience, the risk of loss from such claims
is considered remote.
To
the extent consistent with its Investment Strategy, a Fund may have one of more
of the following principal risks:
Equity
Securities Risk — Equity securities are subject to changes in value, and
their values may be more volatile than those of other asset classes.
Quality
Securities Risk— There is no guarantee that the past performance of stocks
that SIMC determines are quality will continue. Companies that issue these
stocks may experience lower than expected returns or may experience negative
growth, as well as increased leverage, resulting in lower than expected or
negative returns to Fund shareholders. Many factors can affect a stock’s quality
and performance, and the impact of these factors on a stock or its price can be
difficult to predict.
Momentum
Securities Risk— Stocks that previously exhibited high momentum
characteristics may not experience positive momentum or may experience more
volatility than the market as a whole.
Value
Securities Risk— Securities issued by companies that may be perceived as
undervalued may fail to appreciate for long periods of time and may never
realize their full potential value. SIMC may be unsuccessful in identifying
undervalued securities. Value securities have generally performed better than
non-value securities during periods of economic recovery (although there is no
assurance that they will continue to do so). Value securities may go in and out
of favor over time.
Volatility
Risk— Although SIMC seeks to construct a portfolio with lower volatility
than the broad U.S. large cap equity market, there is no guarantee that SIMC
will be successful. As a result, the Fund may not be any less volatile than the
market as a whole, and could be more volatile.
Quantitative
Investing Risk— Due to the significant role technology plays in quantitative
strategies, they carry the risk of unintended or unrecognized issues or flaws in
the design, coding, implementation or maintenance of the computer programs or
technology used in the development and implementation of the quantitative
strategy. Utility interruptions or other key systems outages
also
can impair the performance of quantitative investment strategies.
Large-Capitalization
Companies Risk— Large-capitalization companies may be less able than smaller
capitalization companies to adapt to changing market conditions, may be more
mature and may be subject to more limited growth potential compared with smaller
capitalization companies.
Market
Risk— The market value of a security may move up and down, sometimes rapidly
and unpredictably. Market risk may affect a single issuer, an industry, a sector
or the equity or bond market as a whole. The Funds’ market price may deviate
from the value of the Funds’ underlying portfolio holdings, particularly in
times of market stress, with the result that investors may pay significantly
more or receive significantly less than the underlying value of the Fund shares
bought or sold. This can be reflected as a spread between the bid and ask prices
for a Fund quoted during the day or a premium or discount in the closing price
from the Funds’ NAV.
Risk
of Investing in the U.S.— Certain changes in the U.S. economy, such as when
the U.S. economy weakens or when its financial markets decline, may have an
adverse effect on the securities to which the Funds have exposure.
Issuer
Risk— The performance of the Funds depends on the performance of individual
securities to which the Funds have exposure. Changes in the financial condition
or credit rating of an issuer of those securities may cause the value of the
Funds to decline.
Market
Trading Risk— The Funds face numerous market trading risks, including the
potential lack of an active market for Fund shares, losses from trading
SEI
Exchange Traded Funds
in
secondary markets, periods of high volatility and disruptions in the
creation/redemption process. Active trading markets for the Funds’ shares may
not be developed or maintained by market makers or Authorized Participants (as
defined below). Authorized Participants are not obligated to make a market in
the Funds’ shares or to submit purchase or redemption orders for Creation Units
(as defined below). In times of market stress, market makers or Authorized
Participants may step away from their respective roles, which could lead to
variances between the market price of the Funds’ shares and its underlying NAV.
Trading in shares on an exchange may be halted in certain circumstances. If a
trading halt occurs, a shareholder may temporarily be unable to purchase or sell
shares of the Funds. Any of these factors could lead the Funds’ shares to trade
at a premium or discount to NAV. Thus, you may pay more (or less) than NAV when
you buy shares of the Funds in the secondary market, and you may receive less
(or more) than NAV when you sell those shares in the secondary market,
particularly during times of market stress. SIMC cannot predict whether shares
will trade above (premium), below (discount) or at NAV or whether the spread
between bid and ask prices will widen. In addition, there can be no assurance
that the requirements of the listing exchange necessary to maintain the listing
of the Funds will continue to be met.
Convertible
and Preferred Securities Risk— Convertible and preferred securities have
many of the same characteristics as stocks, including many of the same risks. In
addition, convertible bonds may be more sensitive to changes in interest rates
than stocks. Convertible bonds may also have credit ratings below investment
grade, meaning that they carry a higher risk of failure by the issuer to pay
principal and/or interest when due.
Depositary
Receipts Risk— Depositary receipts, such as American Depositary Receipts,
are certificates evidencing ownership of shares of a foreign issuer that are
issued by depositary banks and generally trade on an established market.
Depositary receipts are subject to many of the risks associated with investing
directly in foreign securities, including, among other things, political, social
and economic developments abroad, currency movements and different legal,
regulatory, tax, accounting and audit environment.
Warrants
and Rights Risk— Warrants and rights may lack a liquid secondary market for
resale. The prices of warrants and rights may fluctuate as a result of
speculation or other factors. Warrants and rights can provide a greater
potential for profit or loss than an equivalent investment in the underlying
security. Prices of warrants and rights do not necessarily move in tandem with
the prices of their underlying securities and are highly volatile and
speculative investments. If a warrant or right expires without being exercised,
the Funds will lose any amount paid for the warrant or right.
Liquidity
Risk— In stressed market conditions, the market for a Funds’ shares may
become less liquid in response to deteriorating liquidity in the markets for the
Funds’ underlying portfolio holdings. This adverse effect on liquidity for the
Funds’ shares in turn could lead to differences between the market price of the
Funds’ shares and its underlying NAV and/or widening the spread between bid and
ask prices.
Management
Risk— SIMC may not successfully implement the Funds’ investment strategies
and, as a result, the Funds may not meet their investment objective and/or
underperform other investment vehicles with similar investment objectives and
strategies.
Operational
Risk— The Funds are exposed to operational risks arising from a number of
factors, including, but not limited to, human error, processing and
communication errors, errors of the Funds’ service providers, counterparties
or
other third-parties, failed or inadequate processes and technology or systems
failures.
New
Fund Risk— The Funds are new funds, with a limited operating history, which
may result in additional risks for investors in the Funds. There can be no
assurance that the Funds will grow to an economically viable size, in which case
the Funds may cease operations. In such an event, investors may be required to
liquidate or transfer their investments at an inopportune time.
Authorized
Participant Concentration Risk— Only broker-dealers (referred to as
“Authorized Participants” or “APs”) that have executed authorized participation
agreements with respect to the Trust may engage in creation or redemption
transactions directly with the Funds, and no AP is obligated to engage in
creation and/or redemption transactions. To the extent that APs exit the
business or are unable to proceed with orders, Fund shares may be more likely to
trade at a premium or discount to NAV, have wider spreads between bid and ask
prices or face trading halts or delisting.
Cybersecurity
Risk— Failures or breaches of the electronic systems of the Funds, SIMC, the
Fund’s distributor, and other service providers, market makers, APs or the
issuers of securities in which the Funds invest have the ability to cause
disruptions, negatively impact the Funds’ business operations and/or potentially
result in financial losses to the Funds and their shareholders.
7.
SUBSEQUENT EVENTS
Management
has evaluated the need for disclosures and/or adjustments resulting from
subsequent events
SEI
Exchange Traded Funds
NOTES
TO FINANCIAL STATEMENTS (CONCLUDED)
September
30, 2023 (Unaudited)
through
the date the financial statements were issued. Based on this evaluation, no
disclosure and/or adjustments were required to the financial statements as of
September 30, 2023.
SEI
Exchange Traded Funds
DISCLOSURE
OF FUND EXPENSES (Unaudited)
September
30, 2023
All
exchange traded funds (“ETFs”) have operating expenses. As a shareholder of an
ETF, your investment is affected by these ongoing costs, which include (among
others) costs for, ETF management, portfolio management, administrative
services, and shareholder reports like this one. It is important for you to
understand the impact of these costs on your investment returns. In addition, a
shareholder is responsible for brokerage fees as a result of their investment in
an ETF.
Operating
expenses such as these are deducted from the ETF’s gross income and directly
reduce your final investment return. These expenses are expressed as a
percentage of the ETF’s average net assets; this percentage is known as the
ETF’s expense ratio.
The
following examples use the expense ratio and are intended to help you understand
the ongoing costs (in dollars) of investing in your ETF and to compare these
costs with those of other mutual funds. The examples are based on an investment
of $1,000 made at the beginning of the period shown and held for the entire
period April 1, 2023 to September 30, 2023.
The
table on this page illustrates your ETF’s costs in two ways:
● Actual ETF return. This section
helps you to estimate the actual expenses after fee waivers that your ETF
incurred over the period. The “Expenses Paid During Period” column shows the
actual dollar expense cost incurred by a $1,000 investment in the ETF, and the
“Ending Account Value” number is derived from deducting that expense cost from
the ETF’s gross investment return.
You
can use this information, together with the actual amount you invested in the
ETF, to estimate the expenses you paid over that period. Simply divide your
actual account value by $1,000 to arrive at a ratio (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply that ratio by the number
shown for your ETF under “Expenses Paid During Period”.
● Hypothetical 5% return. This
section helps you compare your ETF’s costs with those of other mutual funds. It
assumes that the ETF had an annual 5% return before expenses during the period,
but that the expense ratio (Column 3) for the period is unchanged. This example
is useful in making comparisons because the Securities and Exchange Commission
requires all mutual funds to make this 5% calculation. You can assess your ETF’s
comparative cost by comparing the hypothetical result for your ETF in the
“Expense Paid During Period” column with those that appear in the same charts in
the shareholder reports for other funds.
NOTE: Because the return is set at 5%
for comparison purposes — NOT your ETF’s actual return — the account values
shown may not apply to your specific investment.
|
|
Beginning Account Value 4/1/23 |
|
|
Ending Account Value 9/30/23 |
|
|
Annualized Expense Ratios |
|
|
Expenses Paid During Period
* |
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
Actual
Fund Return |
|
|
$ |
1,000.00 |
|
|
$ |
1,022.10 |
|
|
|
0.15 |
% |
|
$ |
0.76 |
|
Hypothetical
5% Return |
|
|
$ |
1,000.00 |
|
|
$ |
1,024.25 |
|
|
|
0.15 |
% |
|
$ |
0.76 |
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
Actual
Fund Return |
|
|
$ |
1,000.00 |
|
|
$ |
993.50 |
|
|
|
0.15 |
% |
|
$ |
0.75 |
|
Hypothetical
5% Return |
|
|
$ |
1,000.00 |
|
|
$ |
1,024.25 |
|
|
|
0.15 |
% |
|
$ |
0.76 |
|
|
|
Beginning Account Value 4/1/23 |
|
|
Ending Account Value 9/30/23 |
|
|
Annualized Expense Ratios |
|
|
Expenses Paid During Period
* |
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
Actual
Fund Return |
|
|
$ |
1,000.00 |
|
|
$ |
1,061.90 |
|
|
|
0.15 |
% |
|
$ |
0.78 |
|
Hypothetical
5% Return |
|
|
$ |
1,000.00 |
|
|
$ |
1,024.25 |
|
|
|
0.15 |
% |
|
$ |
0.76 |
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
Actual
Fund Return |
|
|
$ |
1,000.00 |
|
|
$ |
983.40 |
|
|
|
0.15 |
% |
|
$ |
0.75 |
|
Hypothetical
5% Return |
|
|
$ |
1,000.00 |
|
|
$ |
1,024.25 |
|
|
|
0.15 |
% |
|
$ |
0.76 |
|
*
Expenses are equal to the Fund’s annualized expense ratio multiplied by the
average account value over the period, multiplied by 183/366 (to reflect a full
one-half year period).
SEI
Exchange Traded Funds
(This
page intentionally left blank)
(This
page intentionally left blank)
(This
page intentionally left blank)
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2023
Trustees
Robert
A. Nesher, Chairman
William
M. Doran
Nina
Lesavoy
James
M. Williams
Hubert
L. Harris, Jr.
Susan
C. Cote
James
B. Taylor
Christine
Reynolds
Thomas
Melendez
Officers
Robert
A. Nesher
President
and Chief Executive Officer
Glenn
R. Kurdziel
Controller
and Chief Financial Officer
Stephen
Panner
Chief
Compliance Officer
Timothy
D. Barto
Vice
President, Secretary
David
F. McCann
Vice
President, Assistant Secretary
Katherine
Mason
Vice
President, Assistant Secretary
Stephen
G. MacRae
Vice
President
Donald
Duncan
Anti-Money
Laundering Compliance Officer
Privacy
Officer
Investment
Adviser
SEI
Investments Management Corporation
Administrator
SEI
Investments Global Funds Services
Distributor
SEI
Investments Distribution Co.
Legal
Counsel
Morgan,
Lewis & Bockius LLP
Independent
Registered Public Accounting Firm
KPMG
LLP
This
report and the financial statements contained herein are submitted for the
general information of the shareholders of the Trust and must be preceded or
accompanied by a current prospectus. Shares of the Funds are not deposits or
obligations of, or guaranteed or endorsed by, any bank. The shares are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in the shares
involves risk, including the possible loss of principal.
For
more information call
1
800 DIAL SEI
(1
800 342 5734)
SEI-ETF
(9/23)