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Investment Performance Review Second Quarter 2001 July 11, 2001 SEI Advisor Network

Investment Performance Review Second Quarter 2001 July 11, 2001 SEI Advisor Network. Today’s Agenda. Market and SEI Performance Overview for 2nd Qtr Recent Enhancements to SEI ’s Implementation Strategy Presentation of Advisor Tool Kit Questions & Answers.

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Investment Performance Review Second Quarter 2001 July 11, 2001 SEI Advisor Network

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  1. Investment Performance ReviewSecond Quarter 2001July 11, 2001SEI Advisor Network

  2. Today’s Agenda • Market and SEIPerformance Overview for 2nd Qtr • Recent Enhancements to SEI’s Implementation Strategy • Presentation of Advisor Tool Kit • Questions & Answers For Intermediary Use Only. Not For Public Distribution

  3. Market and Performance OverviewFirst Quarter 2001 For Intermediary Use Only. Not For Public Distribution

  4. Mixed Signals From the US Economy Some Indicators are Recessionary. . . . . .While Others are Far From Trouble For Intermediary Use Only. Not For Public Distribution

  5. Reasons to Believe It’s tempting at times like these to expect the worst, BUT • The economic news remains mixed, which suggests areas of weakness and strength • Tax cuts and Fed rate cuts do work with a lag on consumer and business spending • Stock prices have rebounded, boosting consumer confidence For Intermediary Use Only. Not For Public Distribution

  6. Talking Points • Disciplined Investing Yields Results • 2nd Quarter Offered Further Confirmation that SEI’s Investment Process Works • Tracking Errors Have Reverted to the Norm For Intermediary Use Only. Not For Public Distribution

  7. The Rocky Road to Recovery Year-to-Date Returns as of 6/30/01 for the Dow, the Nasdaq and the Wilshire 5000 Note: All indexes set to 100 on January 2, 2001 For Intermediary Use Only. Not For Public Distribution

  8. 2nd Quarter Fund Performance Q2 Net Returns (%) Return Alpha* Small Cap Growth + 23.17% + 5.05% Emerging Market Equity + 5.71% + 1.81% Emerging Market Debt + 0.98% + 4.41% International Equity - 0.71% + 0.61% Tax-Managed Large Cap + 0.57% + 6.88% High Yield - 0.61% + 0.30% + 0.27% Large Cap Value + 5.15% Core Fixed Income + 0.45% - 0.11% Large Cap Growth - 0.11% + 8.31% Small Cap Value + 11.13% - 0.57% - 0.69% International Fixed Income - 2.67% * Return Relative to Benchmark For Intermediary Use Only. Not For Public Distribution

  9. SEI Portfolio Performance: Rolling Returns 2001 Q2 1 Year 2 Year 3 Year 5 Year TAX-MANAGED 3.74 Active Tax-Managed (ATM) 60 -9.20 -1.48 3.17 3.29 Index Blended Benchmark -8.25 0.13 3.90 5.76 -18.39 -6.24 1.82 Active Tax-Managed (ATM) 100 4.97 -16.99 -3.76 2.85 Index Blended Benchmark INSTITUTIONAL 3.65 Institutional Growth & Income (60 / 40) -8.83 0.93 3.57 7.75 3.36 Index Blended Benchmark -9.00 0.46 3.66 7.58 5.65 Institutional Equity (100) -18.89 -3.05 1.72 8.53 5.14 Index Blended Benchmark -18.93 -3.58 1.91 8.28 DOMESTIC Domestic Equity (100) 7.69 -15.36 -4.42 2.63 12.90 Index Blended Benchmark 7.39 -16.42 -4.50 2.63 12.29 GLOBAL Global Equity (100) -17.59 -4.52 2.13 11.02 5.95 Index Blended Benchmark -18.07 -4.70 1.83 10.39 5.58 Note: Index Blended Benchmarks are gross returns, while SEI specific portfolios are net returns. Outperformance in BOLD. For Intermediary Use Only. Not For Public Distribution

  10. SEIPortfolio Performance: Annual Returns 2001 YTD 2000 1999 1998 1997 TAX-MANAGED -3.38 Active Tax-Managed (ATM) 60 17.26 -6.65 -3.00 Index Blended Benchmark 16.41 -4.64 -7.17 -14.45 28.11 Active Tax-Managed (ATM) 100 -6.62 -11.16 26.12 Index Blended Benchmark INSTITUTIONAL -4.20 Institutional Growth & Income (60 / 40) 17.36 -4.40 11.88 14.05 -3.65 Index Blended Benchmark 15.74 -4.97 13.34 13.38 -8.75 Institutional Equity (100) 28.68 -12.43 14.11 20.85 -7.80 Index Blended Benchmark 25.60 -12.64 16.32 19.52 DOMESTIC Domestic Equity (100) -7.95 -7.48 20.47 20.51 33.19 Index Blended Benchmark -6.36 -9.82 19.95 21.52 30.91 GLOBAL Global Equity (100) -9.58 24.21 20.37 25.57 -9.29 Index Blended Benchmark -10.80 21.40 21.24 24.70 -8.13 Note: Index Blended Benchmarks are gross returns, while SEI specific portfolios are net returns. Outperformance in BOLD. For Intermediary Use Only. Not For Public Distribution

  11. Analysis of Large Cap Growth PerformanceYear-to-Date 2001 as of 6/30/01 Attribution (%) • SEI managers correctly judged industry performance. For example, overexposure to energy and underexposure to technology boosted first-half performance. • Stock holdings within the technology sector were at the root of the first quarter’s underperformance. In the tumultuous markets at the start of the year, investors sought shelter in some well-known technology names that our investment managers did not hold because the companies did not satisfy the managers’ investment criteria. • Notable deviations from the benchmark were IBM, Microsoft, Nokia and Solectron. Stock Selection Attribution, by Sector (%) For Intermediary Use Only. Not For Public Distribution

  12. Analysis of Small Cap Growth PerformanceYear-to-Date 2001 as of 6/30/01 Q1 Stock Selection by Sector (%) • Fund performance remains extraordinarily strong. • Quarter-to-quarter fluctuations occasionally happen because our managers select stocks based on their long-term funda-mentals, not short-term technical factors. • An example of this occurred this year. • The Fund fell short of the benchmark in the first quarter due largely to underperformance in three sectors. • The Fund handily outperformed the benchmark in the second quarter thanks to gains in those same three sectors. Q2 Stock Selection by Sector (%) For Intermediary Use Only. Not For Public Distribution

  13. US Tax-Managed Large Cap Fund • Recent Enhancements Paying Off • Changes were made to our tax-managed structure in an effort to maintain the tax sensitively of the Tax-Managed Large Cap Fund while delivering the opportunity for greater returns. • These changes are supporting positive results for the Fund: • Posted a +7% absolute return for the quarter • Outperformed its benchmark during the second quarter • Core-Tax Manager Parametric has capitalized on loss harvesting opportunities to enhance after-tax performance Parametric Core Tax-Managed Sanford Bernstein Deep Value Equinox Relative Value Peregrine Long-term Growth Alliance Core Growth Provident Hyper Growth Fund Performance ** Pre-tax returns for SEI Tax-Managed Large Cap Fund # Returns from Fund inception in March 1998 For Intermediary Use Only. Not For Public Distribution

  14. US Large Cap Value Fund • Building on Positive Performance • Fund gained over 5% during the second quarter • Led the benchmark once again in Q2 • The Fund has now led its benchmark in four consecutive quarters to generate near 5% outperformance over the last year • Each of our specialist value managers outperformed during the quarter • LSV: + 7% return in Q2 • Bernstein: + 7% return in Q2 • Iridian: + 5% return in Q2 • The recent addition of Deutsche as the new core manager in the Fund has already paid off: • Manager posted a 5% return during the quarter to exceed the benchmark. Deutsche Value Iridian Relative Value Sanford Bernstein Deep Value LSV Contrarian Value Fund Performance

  15. Emerging Market Equity Fund • Emerging Equity Fund Rallied in Q2 • Emerging markets continue to outperform US and International markets this year, and SEI’s Fund is outperforming its benchmark by a sizeable margin. • Stock selection in China, India, Korea and South Africa helped drive performance • Recent structural enhancements to Fund paying off • Dedication to value stocks through Boston Company has been beneficial, as value continues to outperform growth in these regions • Exposure to EMEA regions such as Israel, Russia and South Africa has also boosted returns Nicholas Applegate Global Growth Schroder Global Core The Boston Company Global Value Morgan Stanley Latin America Schroder EMEA SGY Asia Fund Performance For Intermediary Use Only. Not For Public Distribution

  16. Review of Recent Portfolio Enhancements For Intermediary Use Only. Not For Public Distribution

  17. High Yield Bond Fund Old Structure New Structure Nomura Concentrator Nomura Concentrator Credit Suisse Core Nicholas Applegate Core Shenkman Fundamental Value • The Fund has posted consistent long-term positive returns that are ahead of its benchmark • SEI is adding Shenkman to target the Fundamental Value segment of the High Yield market. This should improve the risk and reward profiles for the Fund. • Process and research capacity concerns necessitated the replacement of Credit Suisse • Nicholas Applegate will take the reins as the Fund’s new Core manager For Intermediary Use Only. Not For Public Distribution

  18. Talking Points • Disciplined Investing Yields Results • 2nd Quarter Offered Further Confirmation that SEI’s Investment Process Works • Tracking Errors Have Reverted to the Norm For Intermediary Use Only. Not For Public Distribution

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