September
30, 2022
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 |
9 |
Statements
of Operations |
10 |
Statements
of Changes in Net Assets |
11 |
Financial
Highlights |
13 |
Notes
to Financial Statements |
14 |
Disclosure
of Fund Expenses |
21 |
Board
of Trustees Considerations in Approving the Advisory Agreement |
22 |
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, 2022
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 — 9.1% |
|
|
|
|
Alphabet,
Cl A * |
|
|
4,039 |
|
|
$ |
386 |
|
Alphabet,
Cl C * |
|
|
93 |
|
|
|
9 |
|
Electronic
Arts |
|
|
644 |
|
|
|
74 |
|
Meta
Platforms, Cl A * |
|
|
1,400 |
|
|
|
190 |
|
World
Wrestling Entertainment, Cl A |
|
|
479 |
|
|
|
34 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
693 |
|
Consumer
Discretionary — 15.0% |
|
|
|
|
Amazon.com
* |
|
|
393 |
|
|
|
44 |
|
AutoZone
* |
|
|
10 |
|
|
|
21 |
|
Booking
Holdings * |
|
|
99 |
|
|
|
163 |
|
Domino's
Pizza |
|
|
389 |
|
|
|
121 |
|
Garmin
|
|
|
398 |
|
|
|
32 |
|
Grand
Canyon Education * |
|
|
414 |
|
|
|
34 |
|
H&R
Block |
|
|
1,117 |
|
|
|
48 |
|
McDonald's
|
|
|
141 |
|
|
|
33 |
|
NIKE,
Cl B |
|
|
894 |
|
|
|
74 |
|
NVR
* |
|
|
2 |
|
|
|
8 |
|
O'Reilly
Automotive * |
|
|
320 |
|
|
|
225 |
|
Ulta
Beauty * |
|
|
416 |
|
|
|
167 |
|
Yum!
Brands |
|
|
1,565 |
|
|
|
166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,136 |
|
Consumer
Staples — 11.6% |
|
|
|
|
Altria
Group |
|
|
4,124 |
|
|
|
166 |
|
Coca-Cola
|
|
|
3,304 |
|
|
|
185 |
|
Colgate-Palmolive
|
|
|
737 |
|
|
|
52 |
|
Monster
Beverage * |
|
|
2,157 |
|
|
|
188 |
|
Philip
Morris International |
|
|
2,517 |
|
|
|
209 |
|
Procter
& Gamble |
|
|
603 |
|
|
|
76 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
876 |
|
Financials
— 6.1% |
|
|
|
|
American
Express |
|
|
88 |
|
|
|
12 |
|
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† (continued) |
FactSet
Research Systems |
|
|
411 |
|
|
$ |
164 |
|
Moody's
|
|
|
505 |
|
|
|
123 |
|
MSCI,
Cl A |
|
|
380 |
|
|
|
160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
459 |
|
Health
Care — 20.8% |
|
|
|
|
Bristol-Myers
Squibb |
|
|
2,661 |
|
|
|
189 |
|
Edwards
Lifesciences * |
|
|
254 |
|
|
|
21 |
|
Hologic
* |
|
|
2,453 |
|
|
|
158 |
|
Incyte
* |
|
|
2,050 |
|
|
|
137 |
|
Johnson
& Johnson |
|
|
1,772 |
|
|
|
290 |
|
Merck
|
|
|
2,315 |
|
|
|
199 |
|
Pfizer
|
|
|
3,022 |
|
|
|
132 |
|
Regeneron
Pharmaceuticals * |
|
|
258 |
|
|
|
178 |
|
Vertex
Pharmaceuticals * |
|
|
944 |
|
|
|
273 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,577 |
|
Industrials
— 3.9% |
|
|
|
|
Expeditors
International of Washington |
|
|
1,778 |
|
|
|
157 |
|
Robert
Half International |
|
|
1,191 |
|
|
|
91 |
|
United
Parcel Service, Cl B |
|
|
318 |
|
|
|
52 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
300 |
|
Information
Technology — 32.4% |
|
|
|
|
Adobe
* |
|
|
282 |
|
|
|
78 |
|
Apple
|
|
|
4,405 |
|
|
|
609 |
|
Broadcom
|
|
|
257 |
|
|
|
114 |
|
Cadence
Design Systems * |
|
|
1,246 |
|
|
|
204 |
|
Cisco
Systems |
|
|
701 |
|
|
|
28 |
|
Dolby
Laboratories, Cl A |
|
|
712 |
|
|
|
46 |
|
Dropbox,
Cl A * |
|
|
3,242 |
|
|
|
67 |
|
Keysight
Technologies * |
|
|
1,158 |
|
|
|
182 |
|
Manhattan
Associates * |
|
|
695 |
|
|
|
92 |
|
Microsoft
|
|
|
2,320 |
|
|
|
540 |
|
QUALCOMM
|
|
|
936 |
|
|
|
106 |
|
Texas
Instruments |
|
|
1,260 |
|
|
|
195 |
|
VeriSign
* |
|
|
971 |
|
|
|
169 |
|
Visa,
Cl A |
|
|
149 |
|
|
|
27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,457 |
|
Materials
— 0.7% |
|
|
|
|
Louisiana-Pacific
|
|
|
1,110 |
|
|
|
57 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Common Stock |
|
|
|
|
|
|
|
|
(Cost
$8,150) ($ Thousands) |
|
|
|
|
|
|
7,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments in Securities — 99.6% |
|
|
|
|
|
|
|
|
(Cost
$8,150) ($ Thousands) |
|
$ |
7,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2022
SEI
Enhanced U.S. Large Cap Quality Factor ETF (Concluded)
|
Percentages
are based on Net Assets of $7,582 ($ Thousands). |
* |
Non-income
producing security. |
†† |
Narrow
industries are utilized for compliance purposes, whereas broad sectors are
utilized for reporting. |
Cl
– Class
As
of September 30, 2022, 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. |
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 / Semi-Annual Report / September 30, 2022
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2022
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†† — 99.7% |
|
|
|
|
|
|
|
|
|
Communication
Services — 2.7% |
|
|
|
|
Alphabet,
Cl C * |
|
|
2,392 |
|
|
$ |
230 |
|
Interpublic
Group of |
|
|
10,007 |
|
|
|
256 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
486 |
|
Consumer
Discretionary — 6.7% |
|
|
|
|
Amazon.com
* |
|
|
444 |
|
|
|
50 |
|
AutoNation
* |
|
|
291 |
|
|
|
30 |
|
AutoZone
* |
|
|
199 |
|
|
|
426 |
|
Dollar
Tree * |
|
|
31 |
|
|
|
4 |
|
Genuine
Parts |
|
|
503 |
|
|
|
75 |
|
H&R
Block |
|
|
4,276 |
|
|
|
182 |
|
Lowe's
|
|
|
664 |
|
|
|
125 |
|
Lululemon
Athletica * |
|
|
531 |
|
|
|
148 |
|
Penske
Automotive Group |
|
|
799 |
|
|
|
79 |
|
Ulta
Beauty * |
|
|
229 |
|
|
|
92 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,211 |
|
Consumer
Staples — 11.5% |
|
|
|
|
Archer-Daniels-Midland
|
|
|
4,716 |
|
|
|
379 |
|
BJ's
Wholesale Club Holdings * |
|
|
3,606 |
|
|
|
263 |
|
Costco
Wholesale |
|
|
423 |
|
|
|
200 |
|
General
Mills |
|
|
5,112 |
|
|
|
392 |
|
Grocery
Outlet Holding * |
|
|
615 |
|
|
|
20 |
|
Hershey
|
|
|
2,200 |
|
|
|
485 |
|
Kroger
|
|
|
7,712 |
|
|
|
337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,076 |
|
Energy
— 8.6% |
|
|
|
|
Chevron
|
|
|
2,014 |
|
|
|
289 |
|
ConocoPhillips
|
|
|
2,502 |
|
|
|
256 |
|
Devon
Energy |
|
|
8,560 |
|
|
|
515 |
|
Halliburton
|
|
|
1,517 |
|
|
|
38 |
|
Marathon
Oil |
|
|
10,618 |
|
|
|
240 |
|
Schlumberger
|
|
|
4,964 |
|
|
|
178 |
|
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† (continued) |
Valero
Energy |
|
|
378 |
|
|
$ |
40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,556 |
|
Financials
— 6.9% |
|
|
|
|
American
Financial Group |
|
|
1,259 |
|
|
|
155 |
|
Blackstone
|
|
|
3,537 |
|
|
|
296 |
|
Chubb
|
|
|
55 |
|
|
|
10 |
|
Credit
Acceptance * |
|
|
174 |
|
|
|
76 |
|
FactSet
Research Systems |
|
|
545 |
|
|
|
218 |
|
Raymond
James Financial |
|
|
1,390 |
|
|
|
138 |
|
W
R Berkley |
|
|
5,502 |
|
|
|
355 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,248 |
|
Health
Care — 10.4% |
|
|
|
|
AbbVie
|
|
|
1,359 |
|
|
|
182 |
|
Acadia
Healthcare * |
|
|
1,200 |
|
|
|
94 |
|
IQVIA
Holdings * |
|
|
1,776 |
|
|
|
321 |
|
McKesson
|
|
|
1,147 |
|
|
|
390 |
|
Merck
|
|
|
1,361 |
|
|
|
117 |
|
Pfizer
|
|
|
4,605 |
|
|
|
202 |
|
Thermo
Fisher Scientific |
|
|
656 |
|
|
|
333 |
|
West
Pharmaceutical Services |
|
|
1,029 |
|
|
|
253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,892 |
|
Industrials
— 8.6% |
|
|
|
|
Builders
FirstSource * |
|
|
5,201 |
|
|
|
307 |
|
Carlisle
|
|
|
1,365 |
|
|
|
383 |
|
Clean
Harbors * |
|
|
1,367 |
|
|
|
150 |
|
Republic
Services, Cl A |
|
|
2,883 |
|
|
|
392 |
|
Univar
Solutions * |
|
|
4,445 |
|
|
|
101 |
|
WillScot
Mobile Mini Holdings * |
|
|
5,831 |
|
|
|
235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,568 |
|
Information
Technology — 31.1% |
|
|
|
|
Allegro
MicroSystems * |
|
|
1,009 |
|
|
|
22 |
|
Apple
|
|
|
9,674 |
|
|
|
1,337 |
|
Arista
Networks * |
|
|
3,486 |
|
|
|
394 |
|
Automatic
Data Processing |
|
|
1,828 |
|
|
|
413 |
|
Datadog,
Cl A * |
|
|
972 |
|
|
|
86 |
|
Enphase
Energy * |
|
|
778 |
|
|
|
216 |
|
HP
|
|
|
3,468 |
|
|
|
87 |
|
Jabil
|
|
|
611 |
|
|
|
35 |
|
Juniper
Networks |
|
|
538 |
|
|
|
14 |
|
Keysight
Technologies * |
|
|
1,158 |
|
|
|
182 |
|
Manhattan
Associates * |
|
|
1,689 |
|
|
|
225 |
|
Microsoft
|
|
|
2,801 |
|
|
|
652 |
|
Monolithic
Power Systems |
|
|
484 |
|
|
|
176 |
|
NetApp
|
|
|
5,062 |
|
|
|
313 |
|
ON
Semiconductor * |
|
|
8,753 |
|
|
|
546 |
|
Palo
Alto Networks * |
|
|
1,079 |
|
|
|
177 |
|
Paychex
|
|
|
1,419 |
|
|
|
159 |
|
Paylocity
Holding * |
|
|
1,065 |
|
|
|
257 |
|
Pure
Storage, Cl A * |
|
|
7,250 |
|
|
|
198 |
|
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2022
SEI
Enhanced U.S. Large Cap Momentum Factor ETF (Concluded)
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK†† (continued) |
WEX
* |
|
|
1,166 |
|
|
$ |
148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,637 |
|
Materials
— 4.4% |
|
|
|
|
Albemarle
|
|
|
894 |
|
|
|
236 |
|
CF
Industries Holdings |
|
|
2,818 |
|
|
|
271 |
|
Chemours
|
|
|
2,865 |
|
|
|
71 |
|
Graphic
Packaging Holding |
|
|
7,500 |
|
|
|
148 |
|
Packaging
Corp of America |
|
|
495 |
|
|
|
56 |
|
Reliance
Steel & Aluminum |
|
|
45 |
|
|
|
8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
790 |
|
Real
Estate — 5.6% |
|
|
|
|
Equity
Residential ‡ |
|
|
2,012 |
|
|
|
135 |
|
Extra
Space Storage ‡ |
|
|
2,310 |
|
|
|
399 |
|
Host
Hotels & Resorts ‡ |
|
|
18,788 |
|
|
|
299 |
|
Jones
Lang LaSalle * |
|
|
346 |
|
|
|
52 |
|
Public
Storage ‡ |
|
|
441 |
|
|
|
129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,014 |
|
Utilities
— 3.2% |
|
|
|
|
National
Fuel Gas |
|
|
2,287 |
|
|
|
141 |
|
NextEra
Energy |
|
|
5,640 |
|
|
|
442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
583 |
|
Total
Common Stock |
|
|
|
|
|
|
|
|
(Cost
$18,982) ($ Thousands) |
|
|
|
|
|
|
18,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments in Securities — 99.7% |
|
|
|
|
|
|
|
|
(Cost
$18,982) ($ Thousands) |
|
$ |
18,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentages
are based on Net Assets of $18,114 ($ Thousands). |
* |
Non-income
producing security. |
†† |
Narrow
industries are utilized for compliance purposes, whereas broad sectors are
utilized for reporting. |
‡ |
Real
Estate Investment Trust. |
Cl
- Class
As
of September 30, 2022, 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. |
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 / Semi-Annual Report / September 30, 2022
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2022
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 — 10.2% |
|
|
|
|
Alphabet,
Cl C * |
|
|
3,023 |
|
|
$ |
291 |
|
Altice
USA, Cl A * |
|
|
4,540 |
|
|
|
26 |
|
AT&T
|
|
|
21,176 |
|
|
|
325 |
|
Comcast,
Cl A |
|
|
1,897 |
|
|
|
55 |
|
Lumen
Technologies |
|
|
22,914 |
|
|
|
167 |
|
Meta
Platforms, Cl A * |
|
|
1,427 |
|
|
|
194 |
|
Omnicom
Group |
|
|
995 |
|
|
|
63 |
|
Playtika
Holding * |
|
|
2,436 |
|
|
|
23 |
|
Verizon
Communications |
|
|
8,862 |
|
|
|
336 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,480 |
|
Consumer
Discretionary — 9.5% |
|
|
|
|
Amazon.com
* |
|
|
803 |
|
|
|
91 |
|
Bath
& Body Works |
|
|
2,897 |
|
|
|
94 |
|
eBay
|
|
|
2,575 |
|
|
|
95 |
|
Ford
Motor |
|
|
9,351 |
|
|
|
105 |
|
General
Motors |
|
|
2,214 |
|
|
|
71 |
|
H&R
Block |
|
|
3,790 |
|
|
|
161 |
|
Lennar,
Cl A |
|
|
4,634 |
|
|
|
346 |
|
Lennar,
Cl B |
|
|
319 |
|
|
|
19 |
|
Macy's
|
|
|
1,261 |
|
|
|
20 |
|
PulteGroup
|
|
|
5,452 |
|
|
|
204 |
|
PVH
|
|
|
1,586 |
|
|
|
71 |
|
Toll
Brothers |
|
|
2,402 |
|
|
|
101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,378 |
|
Consumer
Staples — 7.9% |
|
|
|
|
Albertsons,
Cl A |
|
|
3,696 |
|
|
|
92 |
|
Altria
Group |
|
|
5,612 |
|
|
|
227 |
|
Kraft
Heinz |
|
|
544 |
|
|
|
18 |
|
Kroger
|
|
|
9,273 |
|
|
|
405 |
|
Tyson
Foods, Cl A |
|
|
4,351 |
|
|
|
287 |
|
Walgreens
Boots Alliance |
|
|
1,753 |
|
|
|
55 |
|
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK (continued) |
Walmart
|
|
|
524 |
|
|
$ |
68 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,152 |
|
Energy
— 1.5% |
|
|
|
|
APA
|
|
|
6,427 |
|
|
|
220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials
— 14.7% |
|
|
|
|
Affiliated
Managers Group |
|
|
877 |
|
|
|
98 |
|
AGNC
Investment |
|
|
11,500 |
|
|
|
97 |
|
Ally
Financial |
|
|
7,491 |
|
|
|
208 |
|
American
International Group |
|
|
1,304 |
|
|
|
62 |
|
Brighthouse
Financial * |
|
|
1,284 |
|
|
|
56 |
|
Capital
One Financial |
|
|
3,412 |
|
|
|
314 |
|
Janus
Henderson Group |
|
|
1,661 |
|
|
|
34 |
|
New
York Community Bancorp |
|
|
10,852 |
|
|
|
92 |
|
OneMain
Holdings, Cl A |
|
|
2,429 |
|
|
|
72 |
|
Popular
|
|
|
1,656 |
|
|
|
119 |
|
Prudential
Financial |
|
|
1,899 |
|
|
|
163 |
|
Synchrony
Financial |
|
|
9,631 |
|
|
|
272 |
|
Wells
Fargo |
|
|
9,558 |
|
|
|
384 |
|
Zions
Bancorp |
|
|
3,198 |
|
|
|
163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,134 |
|
Health
Care — 22.0% |
|
|
|
|
AbbVie
|
|
|
860 |
|
|
|
115 |
|
Bristol-Myers
Squibb |
|
|
2,947 |
|
|
|
210 |
|
Cardinal
Health |
|
|
6,046 |
|
|
|
403 |
|
Cigna
|
|
|
511 |
|
|
|
142 |
|
CVS
Health |
|
|
4,809 |
|
|
|
459 |
|
DaVita
* |
|
|
863 |
|
|
|
71 |
|
Gilead
Sciences |
|
|
5,095 |
|
|
|
314 |
|
Hologic
* |
|
|
3,612 |
|
|
|
233 |
|
Laboratory
Corp of America Holdings |
|
|
1,343 |
|
|
|
275 |
|
McKesson
|
|
|
1,431 |
|
|
|
486 |
|
Organon
|
|
|
5,163 |
|
|
|
121 |
|
Pfizer
|
|
|
245 |
|
|
|
11 |
|
Quest
Diagnostics |
|
|
1,950 |
|
|
|
239 |
|
Regeneron
Pharmaceuticals * |
|
|
132 |
|
|
|
91 |
|
Syneos
Health, Cl A * |
|
|
261 |
|
|
|
12 |
|
Viatris,
Cl W * |
|
|
2,177 |
|
|
|
19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,201 |
|
Industrials
— 3.2% |
|
|
|
|
Allison
Transmission Holdings |
|
|
2,359 |
|
|
|
80 |
|
Avis
Budget Group * |
|
|
250 |
|
|
|
37 |
|
ManpowerGroup
|
|
|
250 |
|
|
|
16 |
|
Owens
Corning |
|
|
2,081 |
|
|
|
164 |
|
Ryder
System |
|
|
1,145 |
|
|
|
86 |
|
Schneider
National, Cl B |
|
|
1,177 |
|
|
|
24 |
|
Science
Applications International |
|
|
651 |
|
|
|
58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
465 |
|
Information
Technology — 22.7% |
|
|
|
|
Amdocs
|
|
|
114 |
|
|
|
9 |
|
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2022
SEI
Enhanced U.S. Large Cap Value Factor ETF (Concluded)
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK (continued) |
Apple
|
|
|
4,265 |
|
|
$ |
589 |
|
Arrow
Electronics * |
|
|
1,527 |
|
|
|
141 |
|
Avnet
|
|
|
436 |
|
|
|
16 |
|
Cognizant
Technology Solutions, Cl A |
|
|
766 |
|
|
|
44 |
|
Dell
Technologies, Cl C |
|
|
7,819 |
|
|
|
267 |
|
Dropbox,
Cl A * |
|
|
6,019 |
|
|
|
125 |
|
DXC
Technology * |
|
|
1,617 |
|
|
|
39 |
|
Hewlett
Packard Enterprise |
|
|
18,907 |
|
|
|
227 |
|
HP
|
|
|
12,943 |
|
|
|
323 |
|
Intel
|
|
|
5,013 |
|
|
|
129 |
|
Jabil
|
|
|
3,172 |
|
|
|
183 |
|
Micron
Technology |
|
|
4,475 |
|
|
|
224 |
|
Microsoft
|
|
|
2,258 |
|
|
|
526 |
|
NortonLifeLock
|
|
|
3,814 |
|
|
|
77 |
|
Oracle
|
|
|
2,986 |
|
|
|
182 |
|
Teradata
* |
|
|
2,456 |
|
|
|
76 |
|
Western
Union |
|
|
8,936 |
|
|
|
121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,298 |
|
Materials
— 4.9% |
|
|
|
|
Cleveland-Cliffs
* |
|
|
1,959 |
|
|
|
26 |
|
Crown
Holdings |
|
|
1,008 |
|
|
|
82 |
|
Dow
|
|
|
1,041 |
|
|
|
46 |
|
International
Paper |
|
|
5,531 |
|
|
|
175 |
|
Louisiana-Pacific
|
|
|
452 |
|
|
|
23 |
|
LyondellBasell
Industries, Cl A |
|
|
2,548 |
|
|
|
192 |
|
Nucor
|
|
|
322 |
|
|
|
35 |
|
Olin
|
|
|
582 |
|
|
|
25 |
|
United
States Steel |
|
|
5,925 |
|
|
|
107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
711 |
|
Utilities
— 2.5% |
|
|
|
|
NRG
Energy |
|
|
5,535 |
|
|
|
212 |
|
PG&E
* |
|
|
11,529 |
|
|
|
144 |
|
PPL
|
|
|
530 |
|
|
|
13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
369 |
|
Total
Common Stock |
|
|
|
|
|
|
|
|
(Cost
$16,648) ($ Thousands) |
|
|
|
|
|
|
14,408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments in Securities — 99.1% |
|
|
|
|
|
|
|
|
(Cost
$16,648) ($ Thousands) |
|
$ |
14,408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentages
are based on Net Assets of $14,541 ($ Thousands). |
* |
Non-income
producing security. |
Cl
- Class
As
of September 30, 2022, 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. |
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 / Semi-Annual Report / September 30, 2022
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2022
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 — 99.6% |
|
|
|
|
|
|
|
|
|
Communication
Services — 13.1% |
|
|
|
|
Alphabet,
Cl C * |
|
|
3,033 |
|
|
$ |
292 |
|
AT&T
|
|
|
13,914 |
|
|
|
213 |
|
Comcast,
Cl A |
|
|
4,774 |
|
|
|
140 |
|
Fox
|
|
|
209 |
|
|
|
6 |
|
Interpublic
Group of |
|
|
4,629 |
|
|
|
119 |
|
Omnicom
Group |
|
|
2,514 |
|
|
|
159 |
|
T-Mobile
US * |
|
|
174 |
|
|
|
23 |
|
Verizon
Communications |
|
|
5,775 |
|
|
|
219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,171 |
|
Consumer
Discretionary — 3.8% |
|
|
|
|
Amazon.com
* |
|
|
212 |
|
|
|
24 |
|
AutoZone
* |
|
|
20 |
|
|
|
43 |
|
Genuine
Parts |
|
|
290 |
|
|
|
43 |
|
Grand
Canyon Education * |
|
|
350 |
|
|
|
29 |
|
H&R
Block |
|
|
1,276 |
|
|
|
54 |
|
Mattel
* |
|
|
127 |
|
|
|
3 |
|
McDonald's
|
|
|
135 |
|
|
|
31 |
|
Service
International |
|
|
1,166 |
|
|
|
67 |
|
Terminix
Global Holdings * |
|
|
1,073 |
|
|
|
41 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
335 |
|
Consumer
Staples — 11.9% |
|
|
|
|
Archer-Daniels-Midland
|
|
|
544 |
|
|
|
44 |
|
Costco
Wholesale |
|
|
168 |
|
|
|
79 |
|
General
Mills |
|
|
879 |
|
|
|
67 |
|
Hershey
|
|
|
104 |
|
|
|
23 |
|
J
M Smucker |
|
|
1,235 |
|
|
|
170 |
|
Kroger
|
|
|
945 |
|
|
|
41 |
|
Philip
Morris International |
|
|
2,301 |
|
|
|
191 |
|
Procter
& Gamble |
|
|
1,784 |
|
|
|
225 |
|
Walmart
|
|
|
1,732 |
|
|
|
225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,065 |
|
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK (continued) |
Energy
— 3.3% |
|
|
|
|
Chevron
|
|
|
1,615 |
|
|
$ |
232 |
|
Kinder
Morgan |
|
|
4,040 |
|
|
|
67 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
299 |
|
Financials
— 6.3% |
|
|
|
|
AGNC
Investment |
|
|
595 |
|
|
|
5 |
|
Allstate
|
|
|
616 |
|
|
|
77 |
|
American
Financial Group |
|
|
160 |
|
|
|
20 |
|
Berkshire
Hathaway, Cl B * |
|
|
426 |
|
|
|
114 |
|
Chubb
|
|
|
694 |
|
|
|
126 |
|
Loews
|
|
|
355 |
|
|
|
17 |
|
Marsh
& McLennan |
|
|
132 |
|
|
|
20 |
|
W
R Berkley |
|
|
2,853 |
|
|
|
184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
563 |
|
Health
Care — 18.1% |
|
|
|
|
Bristol-Myers
Squibb |
|
|
2,750 |
|
|
|
195 |
|
CVS
Health |
|
|
2,537 |
|
|
|
242 |
|
Danaher
|
|
|
491 |
|
|
|
127 |
|
Gilead
Sciences |
|
|
565 |
|
|
|
35 |
|
Johnson
& Johnson |
|
|
1,908 |
|
|
|
312 |
|
McKesson
|
|
|
527 |
|
|
|
179 |
|
Merck
|
|
|
2,939 |
|
|
|
253 |
|
Pfizer
|
|
|
6,208 |
|
|
|
272 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,615 |
|
Industrials
— 10.1% |
|
|
|
|
3M
|
|
|
219 |
|
|
|
24 |
|
Expeditors
International of Washington |
|
|
1,557 |
|
|
|
137 |
|
Northrop
Grumman |
|
|
564 |
|
|
|
265 |
|
Republic
Services, Cl A |
|
|
1,555 |
|
|
|
212 |
|
Robert
Half International |
|
|
543 |
|
|
|
42 |
|
Snap-on
|
|
|
115 |
|
|
|
23 |
|
United
Parcel Service, Cl B |
|
|
168 |
|
|
|
27 |
|
Waste
Management |
|
|
1,047 |
|
|
|
168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
898 |
|
Information
Technology — 22.1% |
|
|
|
|
Accenture,
Cl A |
|
|
800 |
|
|
|
206 |
|
Amdocs
|
|
|
1,665 |
|
|
|
132 |
|
Apple
|
|
|
2,375 |
|
|
|
328 |
|
Arrow
Electronics * |
|
|
847 |
|
|
|
78 |
|
Avnet
|
|
|
1,145 |
|
|
|
41 |
|
Cisco
Systems |
|
|
4,615 |
|
|
|
185 |
|
Dolby
Laboratories, Cl A |
|
|
360 |
|
|
|
24 |
|
HP
|
|
|
3,483 |
|
|
|
87 |
|
Jabil
|
|
|
1,673 |
|
|
|
97 |
|
Jack
Henry & Associates |
|
|
57 |
|
|
|
10 |
|
Juniper
Networks |
|
|
2,916 |
|
|
|
76 |
|
Microsoft
|
|
|
1,337 |
|
|
|
311 |
|
Oracle
|
|
|
3,010 |
|
|
|
184 |
|
Roper
Technologies |
|
|
463 |
|
|
|
167 |
|
TD
SYNNEX |
|
|
455 |
|
|
|
37 |
|
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
SCHEDULE
OF INVESTMENTS (Unaudited)
September
30, 2022
SEI
Enhanced Low Volatility U.S. Large Cap ETF (Concluded)
|
|
|
|
|
|
|
Description |
|
Shares |
|
|
Market
Value ($ Thousands) |
|
COMMON
STOCK (continued) |
Texas
Instruments |
|
|
48 |
|
|
$ |
7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,970 |
|
Materials
— 3.0% |
|
|
|
|
Dow
|
|
|
896 |
|
|
|
40 |
|
International
Paper |
|
|
3,376 |
|
|
|
107 |
|
Reliance
Steel & Aluminum |
|
|
563 |
|
|
|
98 |
|
Silgan
Holdings |
|
|
503 |
|
|
|
21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
266 |
|
Utilities
— 7.9% |
|
|
|
|
Atmos
Energy |
|
|
115 |
|
|
|
12 |
|
CMS
Energy |
|
|
108 |
|
|
|
6 |
|
Consolidated
Edison |
|
|
2,446 |
|
|
|
210 |
|
Dominion
Energy |
|
|
717 |
|
|
|
50 |
|
DTE
Energy |
|
|
335 |
|
|
|
39 |
|
Duke
Energy |
|
|
2,069 |
|
|
|
192 |
|
Hawaiian
Electric Industries |
|
|
1,295 |
|
|
|
45 |
|
National
Fuel Gas |
|
|
1,127 |
|
|
|
69 |
|
UGI
|
|
|
2,514 |
|
|
|
81 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
704 |
|
Total
Common Stock |
|
|
|
|
|
|
|
|
(Cost
$9,939) ($ Thousands) |
|
|
|
|
|
|
8,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments in Securities — 99.6% |
|
|
|
|
|
|
|
|
(Cost
$9,939) ($ Thousands) |
|
$ |
8,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Percentages
are based on Net Assets of $8,920 ($ Thousands). |
* |
Non-income
producing security. |
Cl
- Class
As
of September 30, 2022, 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. |
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 / Semi-Annual Report / September 30, 2022
STATEMENTS
OF ASSETS AND LIABILITIES (Unaudited) ($ Thousands)
September
30, 2022 (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† |
|
$ |
7,555 |
|
|
$ |
18,061 |
|
|
$ |
14,408 |
|
|
$ |
8,886 |
|
Cash |
|
|
17 |
|
|
|
36 |
|
|
|
115 |
|
|
|
22 |
|
Dividends
receivable |
|
|
11 |
|
|
|
19 |
|
|
|
20 |
|
|
|
13 |
|
Total
Assets |
|
|
7,583 |
|
|
|
18,116 |
|
|
|
14,543 |
|
|
|
8,921 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment
advisory fees payable |
|
|
1 |
|
|
|
2 |
|
|
|
2 |
|
|
|
1 |
|
Total
Liabilities |
|
|
1 |
|
|
|
2 |
|
|
|
2 |
|
|
|
1 |
|
Net
Assets |
|
$ |
7,582 |
|
|
$ |
18,114 |
|
|
$ |
14,541 |
|
|
$ |
8,920 |
|
†
Cost of investments |
|
$ |
8,150 |
|
|
$ |
18,982 |
|
|
$ |
16,648 |
|
|
$ |
9,939 |
|
Net
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in
capital — (unlimited authorization — no par value) |
|
$ |
8,156 |
|
|
$ |
19,033 |
|
|
$ |
16,558 |
|
|
$ |
9,878 |
|
Total
accumulated losses |
|
|
(574 |
) |
|
|
(919 |
) |
|
|
(2,017 |
) |
|
|
(958 |
) |
Net
Assets |
|
$ |
7,582 |
|
|
$ |
18,114 |
|
|
$ |
14,541 |
|
|
$ |
8,920 |
|
Net
Asset Value, Offering and Redemption Price Per Share |
|
$ |
23.33 |
|
|
$ |
23.37 |
|
|
$ |
21.54 |
|
|
$ |
22.30 |
|
|
|
|
($7,581,822 ÷ 325,000 shares |
) |
|
|
($18,114,090 ÷ 775,000 shares |
) |
|
|
($14,540,616 ÷ 675,000 shares |
) |
|
|
($8,919,783 ÷ 400,000 shares |
) |
The
accompanying notes are an integral part of the financial statements.
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
STATEMENTS
OF OPERATIONS (Unaudited) ($ Thousands)
For
the period ended September 30, 2022†
|
|
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 |
|
$ |
47 |
|
|
$ |
126 |
|
|
$ |
148 |
|
|
$ |
83 |
|
Total
investment income |
|
|
47 |
|
|
|
126 |
|
|
|
148 |
|
|
|
83 |
|
Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment
advisory fees |
|
|
4 |
|
|
|
10 |
|
|
|
8 |
|
|
|
5 |
|
Total
expenses |
|
|
4 |
|
|
|
10 |
|
|
|
8 |
|
|
|
5 |
|
Net
investment income |
|
|
43 |
|
|
|
116 |
|
|
|
140 |
|
|
|
78 |
|
Net
realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments(1) |
|
|
(5 |
) |
|
|
(73 |
) |
|
|
129 |
|
|
|
41 |
|
Net
realized gain (loss) |
|
|
(5 |
) |
|
|
(73 |
) |
|
|
129 |
|
|
|
41 |
|
Net
change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
(595 |
) |
|
|
(921 |
) |
|
|
(2,240 |
) |
|
|
(1,053 |
) |
Net
change in unrealized appreciation (depreciation) |
|
|
(595 |
) |
|
|
(921 |
) |
|
|
(2,240 |
) |
|
|
(1,053 |
) |
Net
realized and unrealized loss |
|
|
(600 |
) |
|
|
(994 |
) |
|
|
(2,111 |
) |
|
|
(1,012 |
) |
Net
decrease in net assets resulting from operations |
|
$ |
(557 |
) |
|
$ |
(878 |
) |
|
$ |
(1,971 |
) |
|
$ |
(934 |
) |
|
† |
The Funds commenced operations on May 18,
2022. |
|
(1) |
Includes realized gains
(losses) as a result of in-kind redemptions (see Note 4 in Notes to
Financial Statements).
The accompanying notes are
an integral part of the financial statements. |
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
STATEMENTS
OF CHANGES IN NET ASSETS ($ Thousands)
For
the period ended September 30, 2022 (Unaudited)
|
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF(1) |
|
|
SEI
Enhanced U.S. Large Cap Momentum Factor
ETF(1) |
|
Operations: |
|
|
|
|
|
|
|
|
Net
investment income |
|
$ |
43 |
|
|
$ |
116 |
|
Net
realized loss |
|
|
(5 |
) |
|
|
(73 |
) |
Net
change in unrealized appreciation (depreciation) |
|
|
(595 |
) |
|
|
(921 |
) |
Net
decrease in net assets resulting from operations |
|
|
(557 |
) |
|
|
(878 |
) |
Distributions |
|
|
(17 |
) |
|
|
(41 |
) |
Capital
share transactions: |
|
|
|
|
|
|
|
|
Proceeds
from shares issued |
|
|
9,425 |
|
|
|
22,344 |
|
Cost
of shares redeemed |
|
|
(1,269 |
) |
|
|
(3,311 |
) |
Net
increase in net assets derived from capital share transactions |
|
|
8,156 |
|
|
|
19,033 |
|
Net
increase in net assets |
|
|
7,582 |
|
|
|
18,114 |
|
Net
assets: |
|
|
|
|
|
|
|
|
Beginning
of period |
|
|
— |
|
|
|
— |
|
End
of period |
|
$ |
7,582 |
|
|
$ |
18,114 |
|
|
(1) |
The Funds
commenced operations on May 18, 2022. |
|
|
Amounts designated as "—" are $0 or have been
rounded to $0.
The accompanying notes are an integral part of the
financial statements. |
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
STATEMENTS
OF CHANGES IN NET ASSETS ($ Thousands) (Concluded)
For
the period ended September 30, 2022 (Unaudited)
|
|
SEI
Enhanced U.S. Large Cap Value Factor ETF(1) |
|
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF(1) |
|
Operations: |
|
|
|
|
|
|
|
|
Net
investment income |
|
$ |
140 |
|
|
$ |
78 |
|
Net
realized gain |
|
|
129 |
|
|
|
41 |
|
Net
change in unrealized appreciation (depreciation) |
|
|
(2,240 |
) |
|
|
(1,053 |
) |
Net
decrease in net assets resulting from operations |
|
|
(1,971 |
) |
|
|
(934 |
) |
Distributions |
|
|
(46 |
) |
|
|
(24 |
) |
Capital
share transactions: |
|
|
|
|
|
|
|
|
Proceeds
from shares issued |
|
|
19,739 |
|
|
|
11,786 |
|
Cost
of shares redeemed |
|
|
(3,181 |
) |
|
|
(1,908 |
) |
Net
increase in net assets derived from capital share transactions |
|
|
16,558 |
|
|
|
9,878 |
|
Net
increase in net assets |
|
|
14,541 |
|
|
|
8,920 |
|
Net
assets: |
|
|
|
|
|
|
|
|
Beginning
of period |
|
|
— |
|
|
|
— |
|
End
of period |
|
$ |
14,541 |
|
|
$ |
8,920 |
|
|
(1) |
The Funds
commenced operations on May 18, 2022. |
|
|
Amounts designated as "—" are $0 or have been
rounded to $0.
The accompanying notes are an integral part of the
financial statements. |
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
FINANCIAL
HIGHLIGHTS
For
the period ended September 30, 2022 (Unaudited)
For
a Share Outstanding Throughout the Period
|
|
Net
asset value, beginning of period |
|
|
Net
investment income(1) |
|
|
Net
realized and unrealized gains (losses) on securities |
|
|
Total
from operations |
|
|
Distributions
from net investment income |
|
|
Distributions
from realized gains |
|
|
Total
dividends and distributions |
|
|
Net
asset value, end of period |
|
|
Total
Return† |
|
|
Net
assets, end of period ($ 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 |
2022(2) |
|
$ |
25.90 |
|
|
$ |
0.14 |
|
|
$ |
(2.65 |
) |
|
$ |
(2.51 |
) |
|
$ |
(0.06 |
) |
|
$ |
– |
|
|
$ |
(0.06 |
) |
|
$ |
23.33 |
|
|
|
(6.10 |
)% |
|
$ |
7,582 |
|
|
|
0.15 |
% |
|
|
0.15 |
% |
|
|
1.48 |
% |
|
|
20 |
% |
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
2022(2) |
|
$ |
26.35 |
|
|
$ |
0.17 |
|
|
$ |
(3.09 |
) |
|
$ |
(2.92 |
) |
|
$ |
(0.06 |
) |
|
$ |
– |
|
|
$ |
(0.06 |
) |
|
$ |
23.37 |
|
|
|
(6.59 |
)% |
|
$ |
18,114 |
|
|
|
0.15 |
% |
|
|
0.15 |
% |
|
|
1.79 |
% |
|
|
31 |
% |
SEI
Enhanced U.S. Large Cap Value Factor ETF |
2022(2) |
|
$ |
26.10 |
|
|
$ |
0.22 |
|
|
$ |
(4.71 |
) |
|
$ |
(4.49 |
) |
|
$ |
(0.07 |
) |
|
$ |
– |
|
|
$ |
(0.07 |
) |
|
$ |
21.54 |
|
|
|
(13.41 |
)% |
|
$ |
14,541 |
|
|
|
0.15 |
% |
|
|
0.15 |
% |
|
|
2.48 |
% |
|
|
18 |
% |
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
2022(2) |
|
$ |
25.80 |
|
|
$ |
0.20 |
|
|
$ |
(3.64 |
) |
|
$ |
(3.44 |
) |
|
$ |
(0.06 |
) |
|
$ |
– |
|
|
$ |
(0.06 |
) |
|
$ |
22.30 |
|
|
|
(9.83 |
)% |
|
$ |
8,920 |
|
|
|
0.15 |
% |
|
|
0.15 |
% |
|
|
2.15 |
% |
|
|
5 |
% |
(1) |
Per
share calculated using average shares. |
(2) |
Commenced
operations on May 18, 2022. 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. |
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 / Semi-Annual Report / September 30, 2022
NOTES
TO FINANCIAL STATEMENTS
September
30, 2022 (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.
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
Securities
for which market prices are not "readily available" are valued in accordance
with Rule 2a-5 and the Policy.
The
Valuation Designee 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 Fair Value Procedures, the Valuation Designee
will determine the value after taking into consideration relevant information
reasonably available to the Valuation Designee. Examples of factors the
Valuation Designee 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
Valuation Designee 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.
For
securities that principally trade on a foreign market or exchange, a significant
gap in time can exist between the time of a particular security’s last trade and
the time at which a Fund calculates its NAV. The closing prices of such
securities may no longer reflect their market value at the time a Fund
calculates NAV if an event that could materially affect the value of those
securities (a “Significant Event”), including substantial fluctuations in
domestic or foreign markets or occurrences not tied directly to the securities
markets, such as natural disasters, armed conflicts or significant governmental
actions, has occurred between the time of the security’s last close and the time
that a Fund calculates NAV. A Fund may invest in securities that are primarily
listed on foreign exchanges that trade on weekends or other days
when
the Fund does not price its shares. As a result, the NAV of the Fund’s shares
may change on days when shareholders will not be able to purchase or redeem Fund
shares.
A
Significant Event may relate to a single issuer or to an entire market sector.
If SIMC becomes aware of a Significant Event that has occurred with respect to a
security or group of securities after the closing of the exchange or market on
which the security or securities principally trade, but before the time at which
a Fund calculates NAV, it may request that a Committee meeting be called. In
addition, with respect to certain securities, the Funds’ administrator performs
price comparisons and price movement review (among other processes), to monitor
the pricing data supplied by various sources. Any identified discrepancies are
researched and subject to the procedures described above.
In
accordance with U.S. GAAP, fair value is defined as the price that the 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
the observable market data and minimize the use of unobservable inputs and to
establish classification of the 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 developed 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 developed 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
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
NOTES
TO FINANCIAL STATEMENTS (Continued)
September
30, 2022 (Unaudited)
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 period ended September 30, 2022
maximized the use of observable inputs and minimized the use of unobservable
inputs.
For the period ended September
30, 2022, 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 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, if any, at least quarterly 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 (25,000 for all four funds), 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.
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
The
following table discloses the Creation Unit breakdown:
|
|
Creation
Unit Shares
|
|
|
Creation
Transaction
Fee
|
|
|
Value
|
|
|
Redemption
Transaction
Fee
|
|
SEI Enhanced U.S. Large
Cap Quality Factor ETF |
|
|
25,000 |
|
|
$ |
250 |
|
|
$ |
583,217 |
|
|
$ |
250 |
|
SEI Enhanced U.S. Large
Cap Momentum Factor ETF |
|
|
25,000 |
|
|
|
250 |
|
|
|
584,325 |
|
|
|
250 |
|
SEI Enhanced U.S. Large
Cap Value Factor ETF |
|
|
25,000 |
|
|
|
250 |
|
|
|
538,541 |
|
|
|
250 |
|
SEI Enhanced Low
Volatility U.S. Large Cap ETF |
|
|
25,000 |
|
|
|
250 |
|
|
|
557,486 |
|
|
|
250 |
|
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 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 period ended September 30, 2022.
Fees Paid Indirectly —
The Funds may direct certain fund trades to the Distributor who pays a portion
of each Fund’s expenses. Accordingly, the expenses reduced, which were used to
pay third party expenses, and the effect on each Fund’s expense ratio, as a
percentage of each Fund’s average daily net assets for the period ended September 30, 2022
can be found on the
Statement of Operations and
Financial Highlights, if applicable.
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.
Interfund Lending — The
SEC has granted an exemption that permits the Trust to participate in an
interfund lending program (“The Program”) with existing or future investment
companies registered under the 1940 Act
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
NOTES
TO FINANCIAL STATEMENTS (Continued)
September
30, 2022 (Unaudited)
that are advised by SIMC (the
“SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money
from each other for temporary or emergency purposes. Participation in The
Program is voluntary for both borrowing and lending funds. Interfund loans may
be made only when the rate of interest to be charged is more favorable to the
lending fund than an investment in overnight repurchase agreements (“Repo
Rate”), and more favorable to the borrowing fund than the rate of
interest that would be
charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan
Rate will be determined using a formula reviewed annually by the SEI Funds’
Board of Trustees. The interest rate imposed on interfund loans is the average
of the Repo Rate and the Bank Loan Rate. As of and during the period ended
September 30, 2022, the Trust has not participated in the Program.
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 period ended
September 30, 2022*, 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 |
|
|
1,522 |
|
|
|
5,535 |
|
|
|
2,808 |
|
|
|
445 |
|
Sales |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
Government |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Other |
|
|
1,523 |
|
|
|
5,430 |
|
|
|
2,874 |
|
|
|
961 |
|
For
the period ended September 30, 2022*, in-kind transactions associated with
creations and redemptions were as follows:
|
|
Purchases
($ Thousands)
|
|
|
Sales
($ Thousands)
|
|
|
Realized
Gain
($ Thousands)
|
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
|
$ |
9,411 |
|
|
$ |
1,255 |
|
|
$ |
91 |
|
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
|
|
22,251 |
|
|
|
3,300 |
|
|
|
443 |
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
|
|
19,695 |
|
|
|
3,109 |
|
|
|
293 |
|
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
|
|
12,313 |
|
|
|
1,899 |
|
|
|
147 |
|
|
* |
Funds commenced
operations on May 18, 2022. |
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
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.
For Federal income tax
purposes, the cost of securities owned at September 30, 2022, and the net
realized gains or losses on securities sold for the period were not materially
different from amounts reported for financial reporting purposes. These
differences are primarily due 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, 2022, 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 |
|
$ |
8,150 |
|
|
$ |
155 |
|
|
$ |
(750 |
) |
|
$ |
(595 |
) |
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
|
|
18,982 |
|
|
|
262 |
|
|
|
(1,183 |
) |
|
|
(921 |
) |
SEI
Enhanced U.S. Large Cap Value Factor ETF |
|
|
16,648 |
|
|
|
136 |
|
|
|
(2,376 |
) |
|
|
(2,240 |
) |
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
|
|
9,939 |
|
|
|
62 |
|
|
|
(1,115 |
) |
|
|
(1,053 |
) |
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
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 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
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
NOTES TO FINANCIAL
STATEMENTS (Concluded)
September 30, 2022
(Unaudited)
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, 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.
Pandemic Risk — An
outbreak of illness across the globe can cause travel restrictions, disruption
of healthcare systems, prolonged quarantines, cancellations, supply chain
disruptions, lower consumer demand, layoffs, ratings downgrades, defaults and
other significant economic impacts. Certain markets can experience temporary
closures, extreme volatility, severe losses, reduced liquidity and increased
trading costs as a result of a pandemic. These events will have an impact on the
Funds and their investments and could impact the Funds’ ability to purchase or
sell securities or cause increased premiums or discounts to the Funds’ NAV.
7. SUBSEQUENT
EVENTS
Management has evaluated the
need for disclosures and/or adjustments resulting from subsequent events 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, 2022.
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
DISCLOSURE
OF FUND EXPENSES (Unaudited)
September
30, 2022
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 May 18, 2022 to September 30, 2022.
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 5/18/22† |
|
|
Ending Account Value 9/30/22 |
|
|
Annualized Expense Ratios |
|
|
Expenses Paid During Period |
|
SEI
Enhanced U.S. Large Cap Quality Factor ETF |
Actual
Fund Return |
|
|
$ |
1,000.00 |
|
|
$ |
939.00 |
|
|
|
0.15 |
% |
|
$ |
0.54 |
* |
Hypothetical
5% Return |
|
|
$ |
1,000.00 |
|
|
$ |
1,024.32 |
|
|
|
0.15 |
% |
|
$ |
0.76 |
** |
SEI
Enhanced U.S. Large Cap Momentum Factor ETF |
Actual
Fund Return |
|
|
$ |
1,000.00 |
|
|
$ |
934.10 |
|
|
|
0.15 |
% |
|
$ |
0.54 |
* |
Hypothetical
5% Return |
|
|
$ |
1,000.00 |
|
|
$ |
1,024.32 |
|
|
|
0.15 |
% |
|
$ |
0.76 |
** |
|
|
Beginning Account Value 5/18/22† |
|
|
Ending Account Value 9/30/22 |
|
|
Annualized Expense Ratios |
|
|
Expenses Paid During Period |
|
SEI
Enhanced U.S. Large Cap Value Factor ETF |
Actual
Fund Return |
|
|
$ |
1,000.00 |
|
|
$ |
865.90 |
|
|
|
0.15 |
% |
|
$ |
0.52 |
* |
Hypothetical
5% Return |
|
|
$ |
1,000.00 |
|
|
$ |
1,024.32 |
|
|
|
0.15 |
% |
|
$ |
0.76 |
** |
SEI
Enhanced Low Volatility U.S. Large Cap ETF |
Actual
Fund Return |
|
|
$ |
1,000.00 |
|
|
$ |
901.70 |
|
|
|
0.15 |
% |
|
$ |
0.53 |
* |
Hypothetical
5% Return |
|
|
$ |
1,000.00 |
|
|
$ |
1,024.32 |
|
|
|
0.15 |
% |
|
$ |
0.76 |
** |
|
† |
The Funds commenced operations on May 18,
2022. |
|
* |
Expenses are equal to the Fund’s
annualized expense ratio multiplied by the average account value over the
period, multiplied by 136/365 (to reflect the period
shown). |
|
** |
Expenses are equal to the Fund’s
annualized expense ratio multiplied by the average account value over the
period, multiplied by 183/365 (to reflect a full one-half year
period). |
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
BOARD
OF TRUSTEES’ CONSIDERATIONS IN APPROVING THE ADVISORY AGREEMENT (Unaudited)
SEI
Exchange Traded Funds (the “Trust”) and SEI Investments Management Corporation
(“SIMC”) have entered into an investment advisory agreement (the “Advisory
Agreement”), pursuant to which SIMC provides investment advisory services to the
series of the Trust (the “Funds”). The management and affairs of the Trust are
supervised by the Board of Trustees (each member, a “Trustee” and, collectively,
the “Trustees” or the “Board”).
The
Investment Company Act of 1940, as amended (the “1940 Act”), requires that the
initial approval of the Funds’ Advisory Agreement be specifically approved by
the vote of a majority of the outstanding shareholders of the Funds and the vote
of a majority of the Trustees who are not parties to the Advisory Agreement or
“interested persons” of any party (the “Independent Trustees”) cast in person
(or otherwise, as consistent with applicable laws, regulations and related
guidance and relief) at a meeting called for such purpose. In connection with
their consideration of such initial approval, the Funds’ Trustees must request
and evaluate, and SIMC is required to furnish, such information as may be
reasonably necessary to evaluate the terms of the Advisory Agreement. In
addition, the Securities and Exchange Commission takes the position that, as
part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund
boards are required to evaluate the material factors applicable to a decision to
approve the Advisory Agreement.
Consistent
with these responsibilities, the Board called and held a meeting to consider
whether to approve the Advisory Agreement between the Trust and SIMC with
respect to the Funds of the Trust. In preparation for this meeting, the Board
requested and reviewed a wide variety of materials provided by SIMC, including a
memorandum outlining the scope of the proposed unitary fee structure. SIMC also
provided information relating to its affiliates, personnel and operations and
the services proposed to be provided pursuant to the Advisory Agreement. The
Board also received data comparing each Fund’s proposed fees and expenses to a
peer group of exchange-traded funds. The Trustees received a memorandum from
counsel regarding the responsibilities of Trustees in connection with their
consideration of whether to approve the Trust’s Advisory Agreement. Finally, the
Independent Trustees received advice from independent counsel to the Independent
Trustees, met in executive sessions outside the presence of Fund management and
participated in question and answer sessions with representatives of SIMC.
Specifically,
the Board requested and received written materials from SIMC regarding: (i) the
quality of SIMC’s investment management and other services; (ii) SIMC’s
investment management personnel; (iii) SIMC’s operations and financial
condition; (iv) SIMC’s brokerage practices and investment strategies; (v) the
level of the proposed fees that SIMC would charge the Funds; (vi) the Funds’
overall estimated fees and operating expense compared with peer groups of funds
prepared by Broadridge, an independent provider of investment company data;
(vii) the estimated level of SIMC’s profitability from its Fund-related
operations; (viii) SIMC’s potential economies of scale; and (ix) SIMC’s
expertise and resources in domestic and/or international financial markets.
At
the Trust’s organizational meeting held on January 19, 2022, the Advisory
Agreement was approved for an initial two-year term. The Board’s approval was
based on its consideration and evaluation of the factors described above, as
discussed at the meeting and was subject to the approval of SIMC’s compliance
program, which occurred during a telephonic meeting of the Board held on May 11,
2022. The following discusses some, but not all, of the factors that were
considered by the Board in connection with its assessment of the Advisory
Agreement.
Nature,
Extent and Quality of Services. The Board considered the
nature, extent and quality of the services to be provided by SIMC and the
resources of SIMC and its affiliates. In this regard, the Trustees evaluated,
among other things, SIMC’s personnel, experience and track record. Following
evaluation, the Board concluded that, within the context of its full
deliberations, the nature, extent and quality of services to be provided by SIMC
to the Funds and the resources of SIMC and its affiliates dedicated to the Funds
were sufficient to support the approval of the Advisory Agreement.
Fees. With respect to the Funds’
estimated expenses under the Advisory Agreement, the Board reviewed the proposed
annual management fee of 0.15% for each Fund, noting that SIMC, in addition to
providing advisory services to the Funds, would pay all of the operating
expenses of the Funds, except the management fees, 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, litigation expenses and any extraordinary
expenses. Based on the materials considered and discussion at the meeting, the
Trustees determined that the proposed fees and the estimated expenses were below
the average for the respective
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
comparison
peer group. Following evaluation, the Board concluded that, within the context
of its full deliberations, the estimated expenses of the Funds are reasonable
and supported approval of the Advisory Agreement.
Profitability. With regard to profitability,
the Trustees considered the compensation that would flow to SIMC, directly or
indirectly. The Trustees considered whether the levels of proposed compensation
and estimated profitability were reasonable. Based on this evaluation, the Board
concluded that, within the context of its full deliberations, the estimated
profitability of SIMC is reasonable and supported approval of the Advisory
Agreement.
Performance
and Economies of Scale. Because the Funds were new and
had not commenced operations, they did not yet have an investment performance
record and it was not possible to determine the extent to which economies of
scale would be realized by SIMC and its affiliates as the assets of the Funds
grow. Accordingly, the Trustees did not make any conclusions regarding the
Funds’ investment performance or the extent to which economies of scale would be
realized by SIMC as the assets of the Funds grow, but will do so during future
considerations of the Advisory Agreement. The Board did, however, consider
SIMC’s performance in providing advisory services to various affiliated funds
overseen by the Board.
Based
on the Trustees’ deliberation and their evaluation of the information described
above, the Board, including all of the Independent Trustees, with the assistance
of Fund counsel and Independent Trustees’ counsel, unanimously approved the
Advisory Agreement and concluded that the proposed compensation under the
Advisory Agreement is fair and reasonable in light of such services and expenses
and such other matters as the Trustees considered to be relevant in the exercise
of their reasonable judgment. In the course of its deliberations, the Board did
not identify any particular factor (or conclusion with respect thereto) or
single piece of information that was all-important, controlling or determinative
of its decision, but considered all of the factors together, and each Trustee
may have attributed different weights to the various factors (and conclusions
with respect thereto) and information.
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
(This
page intentionally left blank)
SEI
Exchange Traded Funds / Semi-Annual Report / September 30, 2022
Trustees
Robert
A. Nesher, Chairman
William
M. Doran
Nina
Lesavoy
James
M. Williams
Mitchell
A. Johnson
Hubert
L. Harris, Jr.
Susan
C. Cote
James
B. Taylor
Christine
Reynolds
Thomas
Melendez
Officers
Robert
A. Nesher
President
and Chief Executive Officer
Ankit
Puri
Controller
and Chief Financial Officer
Glenn
R. Kurdziel
Assistant
Controller
Stephen
Panner
Chief
Compliance Officer
Timothy
D. Barto
Vice
President and Secretary
David
F. McCann
Vice
President and Assistant Secretary
Katherine
Mason
Vice
President and Assistant Secretary
Stephen
G. MacRae
Vice
President
Bridget
E. Sudall
Anti-Money
Laundering Compliance Officer
and
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
(9/22)