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SEI GLOBAL MASTER FUND PLC

Annual Report and Audited Financial Statements

for the financial year ended 30 June 2019

SEI Global Master Fund plc

Annual Report and Audited Financial Statements for the financial year ended 30 June 2019

CONTENTS PAGE

Directory 4 General Information 5 Directors’ Report 7 Report of the Depositary to the Shareholders 13 Independent Auditors’ Report 14 Investment Adviser’s Reports

Front End Market Commentary 16 The SEI U.S. Small Companies Fund 17 The SEI U.S. Large Companies Fund 19 The SEI High Yield Fixed Income Fund 22 The SEI U.S. Fixed Income Fund 25 The SEI Emerging Markets Equity Fund 27 The SEI U.K. Equity Fund 30 The SEI European (Ex-U.K.) Equity Fund 32 The SEI Japan Equity Fund 35 The SEI Asia Pacific (Ex-Japan) Equity Fund 38 The SEI Global Equity Fund 40 The SEI Global Fixed Income Fund 43 The SEI Global Opportunistic Fixed Income Fund 46 The SEI Emerging Markets Debt Fund 49 The SEI Pan European Small Cap Fund 52 The SEI U.K. Core Fixed Interest Fund 54 The SEI U.S. Liquid Assets Fund 56 The SEI Global Managed Volatility Fund 57 The SEI Euro Credit Fund 60 The SEI Euro Government Bond Fund 62 The SEI Fundamental U.K. Equity Fund 63 The SEI Quantitative U.K. Equity Fund 65 The SEI U.K. Long Duration Gilts Fixed Interest Fund 67 The SEI U.K. Gilts Fixed Interest Fund 68 The SEI U.K. Credit Fixed Interest Fund 69 The SEI Dynamic Asset Allocation Fund 71 The SEI Global Short Duration Bond Fund 73 The SEI U.K. Long Duration Index-Linked Fixed Interest Fund 75 The SEI U.K. Index-Linked Fixed Interest Fund 76 The SEI Global Multi-Asset Income Fund 77 The SEI Factor Allocation U.S. Equity Fund 79 The SEI Global Short Term Bond Fund 80 The SEI Liquid Alternative Fund 81 The SEI Global Absolute Return Fixed Income Fund 83 The SEI U.K. Long Duration Credit Fund 84

Financial Statements

Portfolio of Investments

The SEI U.S. Small Companies Fund 86 The SEI U.S. Large Companies Fund 95 The SEI High Yield Fixed Income Fund 103 The SEI U.S. Fixed Income Fund 126 The SEI Emerging Markets Equity Fund 163 The SEI U.K. Equity Fund 175 The SEI European (Ex-U.K.) Equity Fund 183

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CONTENTS (continued)

PAGE

Portfolio of Investments (continued)

The SEI Japan Equity Fund 189 The SEI Asia Pacific (Ex-Japan) Equity Fund 195 The SEI Global Equity Fund 199 The SEI Global Fixed Income Fund 225 The SEI Global Opportunistic Fixed Income Fund 249 The SEI Emerging Markets Debt Fund 296 The SEI Pan European Small Cap Fund 321 The SEI U.K. Core Fixed Interest Fund 327 The SEI Global Managed Volatility Fund 347 The SEI Euro Credit Fund 363 The SEI Fundamental U.K. Equity Fund 380 The SEI Quantitative U.K. Equity Fund 382 The SEI U.K. Long Duration Gilts Fixed Interest Fund 389 The SEI U.K. Gilts Fixed Interest Fund 391 The SEI U.K. Credit Fixed Interest Fund 393 The SEI Dynamic Asset Allocation Fund 415 The SEI Global Short Duration Bond Fund 444 The SEI U.K. Long Duration Index-Linked Fixed Interest Fund 456 The SEI U.K. Index-Linked Fixed Interest Fund 460 The SEI Global Multi-Asset Income Fund 461 The SEI Factor Allocation U.S. Equity Fund 483 The SEI Global Short Term Bond Fund 493 The SEI Liquid Alternative Fund 496 The SEI Global Absolute Return Fixed Income Fund 498 The SEI U.K. Long Duration Credit Fund 503

Income Statement

507

Statement of Financial Position 519 Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders 545 Notes to the Financial Statements 573 Appendix I – Global Exposure and Leverage (Unaudited) 638 Appendix II – Remuneration Disclosures (Unaudited) 640 Appendix III – Statement of Changes in Composition of Portfolio (Unaudited) 641 Appendix IV– Securities Financing Transactions Regulation (Unaudited) 691

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DIRECTORY Board of Directors at 30 June 2019 Michael Jackson (Chairman) (Irish)

Kevin Barr (American) Robert A. Nesher (American) Desmond Murray* (Irish) Jeffrey Klauder (American)

*Director, independent of the Investment Adviser

Manager SEI Investments Global, Limited 2nd Floor Styne House Upper Hatch Street Dublin 2 Ireland Investment Adviser SEI Investments Management Corporation 1 Freedom Valley Drive Oaks Pennsylvania 19456 U.S.A. Depositary Brown Brothers Harriman Trustee Services (Ireland) Limited 30 Herbert Street Dublin 2 Ireland Administrator SEI Investments – Global Fund Services Limited 2nd Floor Styne House Upper Hatch Street Dublin 2 Ireland Distributor SEI Investments (Europe) Limited 1st Floor Alphabeta 14-18 Finsbury Square London EC2A 1BR England Independent Auditors PricewaterhouseCoopers

One Spencer Dock North Wall Quay Dublin 1 Ireland

Legal Advisers as to Irish Law Matheson 70 Sir John Rogerson’s Quay Dublin 2 Ireland Company Secretary Matsack Trust Limited 70 Sir John Rogerson’s Quay Dublin 2 Ireland Registered Office 2nd Floor Styne House Upper Hatch Street Dublin 2 Ireland CRO Number 243230

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SEI Global Master Fund plc Annual Report and Audited Financial Statements for the financial year ended 30 June 2019

GENERAL INFORMATION Structure The following information is derived from and should be read in conjunction with the full text and definitions section of the Prospectus. SEI Global Master Fund plc (the “Company”) was incorporated on 11 January 1996 and is an umbrella fund established as an open-ended investment company with variable capital under the laws of Ireland as a public limited company pursuant to the Companies Acts 2014. It operates pursuant to the European Communities (Undertaking for Collective Investment in Transferable Securities) Regulations, 2011 (the “UCITS Regulations”). Its share capital is divided into a number of classes, each representing interests in a fund, except for the Subscriber Shares that will not entitle the holders to participate in the assets of any fund. At 30 June 2019, the Company comprised of thirty two separate portfolios of investments (“Funds”), each of which is represented by a separate series of Redeemable Participating Shares. These Funds are: The SEI U.S. Small Companies Fund, The SEI U.S. Large Companies Fund, The SEI High Yield Fixed Income Fund, The SEI U.S. Fixed Income Fund, The SEI Emerging Markets Equity Fund, The SEI U.K. Equity Fund, The SEI European (Ex-U.K.) Equity Fund, The SEI Japan Equity Fund, The SEI Asia Pacific (Ex-Japan) Equity Fund, The SEI Global Equity Fund, The SEI Global Fixed Income Fund, The SEI Global Opportunistic Fixed Income Fund, The SEI Emerging Markets Debt Fund, The SEI Pan European Small Cap Fund, The SEI U.K. Core Fixed Interest Fund, The SEI Global Managed Volatility Fund, The SEI Euro Credit Fund, The SEI Fundamental U.K. Equity Fund, The SEI Quantitative U.K. Equity Fund, The SEI U.K. Long Duration Gilts Fixed Interest Fund, The SEI U.K. Gilts Fixed Interest Fund, The SEI U.K. Credit Fixed Interest Fund, The SEI Dynamic Asset Allocation Fund, The SEI Global Short Duration Bond Fund, The SEI U.K. Long Duration Index-Linked Fixed Interest Fund, The SEI U.K. Index-Linked Fixed Interest Fund, The SEI Global Multi-Asset Income Fund, The SEI Factor Allocation U.S. Equity Fund, The SEI Global Short Term Bond Fund, The SEI Liquid Alternative Fund, The SEI Global Absolute Return Fixed Income Fund and The SEI U.K. Long Duration Credit Fund. The SEI Sterling Liquidity Fund closed on 16 March 2018 and its approval was withdrawn by the Central Bank on 31 December 2018. The SEI U.S. Liquid Assets Fund closed on 29 September 2018, its approval was withdrawn by the Central Bank on 25 June 2019 and as at 30 June 2019 only held cash. The SEI U.K. Long Duration Credit Fund launched on 15 November 2018. The SEI Euro Government Bond Fund closed on 20 May 2019 and as at 30 June 2019 only held cash. The SEI Asia Pacific (Ex-Japan) Equity Fund changed its name from The SEI Pacific Basin (Ex-Japan) Fund on 02 January 2019. As the Company is availing of the provisions of the Companies Act 2014, each Fund has segregated liability from the other Funds and the Company is not liable as a whole to third parties for the liability of each Fund. Current Prospectus applicable as of and for the year ended 30 June 2019 was issued and noted by Central Bank on 02 January 2019. A post year ended Prospectus was issued on 24 July 2019. A copy of the Prospectus, Addendum and Key Investor Information Documents (“KIID”) can be obtained by contacting the Administrator at its registered office. Distribution Policy The Articles of Association empower the Company in General Meetings to declare dividends in respect of any Shares provided that no dividend shall exceed the amount recommended by the Directors. The Articles of Association also empower the Directors to declare interim dividends. The Directors have determined to reinvest all net income and net realised capital gains of the Company attributable to the Accumulating Class Shares. Accordingly, no dividends will be paid in respect of such Shares and all net income and net realised capital gains of the Company attributable to such Shares will be reflected in the Net Asset Value per Share of those Shares. The Directors expect that all or substantially all of the net investment income of the relevant Funds attributable to the Distributing Class Shares will be calculated as of the last Dealing Day of each calendar quarter (the “Record Date”) and declared as a dividend to eligible Shareholders on the relevant Fund’s register of Shareholders on Record Date. Any such dividend will be distributed to the relevant Shareholders normally within ten Dealing Days from the last calendar Dealing Day of the relevant calendar quarter. The Articles of Association empower the Directors to declare dividends in respect of any Shares out of net income (including interest income) and the excess of realised and unrealised capital gains over realised and unrealised losses in respect of investments of the Company. Net realised and unrealised capital gains of the relevant Funds attributable to the Distributing Class Shares are expected to be retained by the relevant Fund which will result in an increase in the Net Asset Value per Share. The Directors, nevertheless, reserve the right to declare dividends in respect of such realised and unrealised capital gains less realised and unrealised capital losses at their sole discretion. The Directors may from time to time, and at their sole discretion, determine that the Company shall, on behalf of one or more Funds, apply an equalisation formula in respect to any Distributing Class Shares for any distribution period in which it is expected that significant or redemptions of Shares in the relevant Fund during that distribution period might have a significant impact on the net investment income of the relevant Fund which would otherwise be available for distribution on the last Dealing Day of the relevant quarter.

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GENERAL INFORMATION (Continued) Prices There is currently a single price for buying and selling Shares in the Company and/or switching Shares between Funds. This is represented by the Net Asset Value per Share. The Company reserves the right to impose, or to authorise the Manager to impose a redemption charge on the redemption of Shares to a maximum of 3% of the Net Asset Value of the Shares to be redeemed in circumstances where the value of the Shares being redeemed equals 5% or more of the Net Asset Value of the relevant Fund, or where the value of the Shares being redeemed on a Dealing Day, when aggregated with the value of any Shares redeemed by the Shareholder from the same Fund within the prior two month period from the relevant Dealing Day equals 5% or more of the Net Asset Value of the relevant Fund of the Company. The Company reserves the right to impose, or to authorise the Manager to impose a sales charge and a switching charge in such an amount as may be specified in the Prospectus. The Company may at its sole discretion impose duties and charges on subscriptions for Shares in The SEI Fundamental U.K. Equity Fund and/or The SEI Quantitative U.K. Equity Fund. During the financial year ended 30 June 2019 (referred to herein as the “year end” or “year ended”), charges of EUR2,707,304 (30 June 2018: EUR415,871), GBP70,774 (30 June 2018: GBP152,597) and US$Nil (30 June 2018: US$Nil) have been imposed on the redemption of Shares in a number of the Funds. During the financial year ended 30 June 2019, charges of US$Nil (30 June 2018: US$10) have been imposed on the subscription of Shares in The SEI Liquid Alternative Fund. No charges have been imposed on Shares acquired as a result of switching between remaining Funds. Minimum Initial Subscription The minimum initial subscription to the Company in respect of any Fund or Share Class will be specified in the Prospectus and may be varied or waived by the Directors at their absolute discretion. Dealing A Dealing Day is:

(i) in the case of The SEI U.S. Liquid Assets Fund, any Business Day on which the New York Stock Exchange (“NYSE”) and New York banks are open for business, excluding 24 December; (ii) in the case of The SEI Asia Pacific (Ex-Japan) Equity Fund, every Business Day on which the Hong Kong Stock Exchange is open for

business excluding 24 December;

(iii) in the case of The SEI European (Ex-U.K.) Equity Fund, The SEI Pan European Small Cap Fund, The SEI Euro Government Bond Fund and The SEI Euro Credit Fund, every Business Day except 01 May and 24 December;

(iv) in the case of The SEI Japan Equity Fund, every Business Day on which the Tokyo Stock Exchange is open for business except 24

December;

(v) in the case of The SEI U.K. Equity Fund, The SEI Fundamental U.K. Equity Fund, The SEI Quantitative U.K. Equity Fund, The SEI Sterling Liquidity Fund, The SEI U.K. Core Fixed Interest Fund, The SEI U.K. Long Duration Gilts Fixed Interest Fund, The SEI U.K. Index-Linked Fixed Interest Fund, The SEI U.K. Gilts Fixed Interest Fund, The SEI U.K. Credit Fixed Interest Fund and The SEI U.K. Long Duration Index Linked Fixed Interest Fund, The SEI U.K. Long Duration Credit Fund, every Business Day on which the London Stock Exchange is open for business except 24 December;

(vi) in the case of The SEI High Yield Fixed Income Fund, The SEI U.S. Fixed Income Fund, The SEI Emerging Markets Debt Fund, The

SEI U.S. Large Companies Fund, The SEI U.S. Small Companies Fund, The SEI Emerging Markets Equity Fund, The SEI Global Managed Volatility Fund, The SEI Global Equity Fund, The SEI Global Multi-Asset Income Fund, The SEI Factor Allocation U.S. Equity Fund, The SEI Liquid Alternative Fund and The SEI Dynamic Asset Allocation Fund, every Business Day on which the NYSE is open for business except 24 December;

(vii) for all other Funds, every Business Day, except 24 December;

(viii) and/or such other days as the Directors may from time to time determine in relation to any particular Fund and notify in advance to the

relevant Shareholders;

provided always that there shall be at least one Dealing Day for each Fund per fortnight. A Business Day is defined as any day on which banks in Dublin or London are open for normal banking business, excluding Saturdays and Sundays and such other day or days as may be determined by the Directors. If the aggregate redemption requests on any Dealing Day equal or exceed 10% or more of the outstanding Shares of any Series in issue or deemed to be in issue, the Directors may elect to restrict the total number of Shares to be redeemed to 10% of the outstanding Shares in issue in that Series on that Dealing Day, in which case all redemption requests will be reduced pro rata to the size of the request. The balance of the Shares in respect of which redemption requests have been received shall be redeemed on the next succeeding Dealing Day, subject to the same 10% restriction, and in priority to redemption requests received in respect of the next Dealing Day.

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DIRECTORS’ REPORT Statement of Directors’ Responsibilities

The Directors are responsible for preparing the annual report and the audited financial statements in accordance with applicable Irish law and generally accepted accounting practice in Ireland including the accounting standards issued by the Financial Reporting Council and published by the Institute of Chartered Accountants in Ireland. Under Irish law, the Directors shall not approve the financial statements unless they are satisfied that they give a true and fair view of the Company’s assets, liabilities and financial position as at the end of the financial year and the profit or loss of the Company for the financial year. In preparing the financial statements, the Directors are required to: select suitable accounting policies and then apply them consistently; make judgements and estimates that are reasonable and prudent; state whether the financial statements have been prepared in accordance with applicable accounting standards and identify the standards in

question, subject to any material departures from those standards being disclosed and explained in the Notes to the financial statements; and prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business; The Directors are responsible for keeping adequate accounting records that are sufficient to: correctly record and explain the transactions of the Company; enable, at any time, the assets, liabilities, financial position and profit or loss of the Company to be determined with reasonable accuracy; and enable the Directors to ensure that the financial statements comply with the Companies Act 2014 and enable those financial statements to be

audited. The Directors are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities. The Directors submit their annual report together with the audited financial statements for the year ended 30 June 2019 and comparatives for the year ended 30 June 2018. Directors’ Compliance Statement It is the policy of the Company to comply with its relevant obligations (as defined in the Companies Act 2014). As required by Section 225(2) of the Companies Act 2014, the Directors acknowledge that they are responsible for securing the Company’s compliance with the relevant obligations. The Directors have drawn up a compliance policy statement as defined in Section 225(3)(a) of the Companies Act 2014 which refers to the arrangements and structures that are in place and which are, in the Directors’ opinion, designed to secure material compliance with the Company’s relevant obligations. In discharging their responsibilities under Section 225, the Directors relied upon, among other things, the services provided, advice and/or representations from third parties whom the Directors believe have the requisite knowledge and experience in order to secure material compliance with the Company’s relevant obligations. In accordance with Section 225(3) (c) the Directors can confirm a review occurred during the financial year of the structures and arrangements that are in place to comply with the relevant obligations. Statement of Relevant Audit Information The Directors in office at the date of this report have each confirmed that: As far as they are aware, there is no relevant audit information of which the Company’s auditor is unaware; and They have taken all the steps that they ought to have taken as a Director in order to make themselves aware of any relevant audit

information and to establish that the Company’s auditor is aware of that information.

Audit Committee The Board of Directors decided it was not necessary to constitute an audit committee given the frequency of the meetings of the Board of Directors throughout the year and given the size of the Board of Directors. Accounting Records The measures taken by the Directors to secure compliance with the Company’s obligation to keep adequate accounting records are the use of appropriate systems and procedures and employment of competent persons. The accounting records are kept at 2nd Floor, Styne House, Upper Hatch Street, Dublin 2, Ireland. The financial statements are published on the www.seic.com website. The Directors, together with the Manager and the Investment Adviser are responsible for the maintenance and integrity of the financial information included on this website. Legislation governing the presentation and dissemination of the financial statements may differ from legislation in other jurisdictions.

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DIRECTORS’ REPORT (continued) Directors All Directors are Non-Executive Directors. The names of persons who served as Directors at any time during the year ended 30 June 2019 are set out below: Robert A. Nesher (American) Kevin Barr (American) Michael Jackson (Irish) Desmond Murray* (Irish) Jeffrey Klauder (American) *Director independent of the Investment Adviser. Information about Director’s Remuneration is presented in Note 10 in the Notes to the Financial Statements. Directors’ and Company Secretary’s Interests in Shares and Contracts None of the Directors or the Company Secretary, at the date of this report, holds or held, on the date of his appointment or at any time during the year ended 30 June 2019, any beneficial interest in the Shares of the Company.

Michael Jackson is the managing partner in the firm of Matheson who act as legal advisers to the Company. During the year ended 30 June 2019, Matheson were paid fees of US$118,795 (30 June 2018: US$213,427) for services to the Company. Transactions Involving Directors Apart from the matter above, the Board of Directors is not aware of any contracts or arrangements of any significance in relation to the business of the Company in which the Directors had any interest as defined in Section 309 of the Companies Act 2014 at any time during the year ended 30 June 2019. Results, Activities and Future Developments The results of operations are set out in the Income Statement. A detailed review of activities and further developments is contained in the Investment Adviser’s Reports. Risk Management Objectives and Policies The main risks arising from the Company’s financial instruments are market risk (including price risk, currency risk and interest rate risk), credit risk and liquidity risk as set out in Note 13 in the Notes to the Financial Statements. Dividends The dividends for the year are set out in Note 4 in the Notes to the Financial Statements. Efficient Portfolio Management The Company may employ techniques and instruments relating to transferable securities and/or other financial instruments under the conditions and within the limits laid down by the Central Bank, provided that such instruments are used for efficient portfolio management. Techniques and instruments including futures contracts, forward foreign currency contracts, options and swaps utilised for the purposes of efficient portfolio management may only be used in accordance with the investment objectives and policies of the relevant Fund. Any technique or instrument must be one which is reasonably believed by the managers to be economically appropriate to the efficient portfolio management of the relevant Fund. Futures contracts, forward foreign currency contracts, repurchase agreements, options, swaptions and swaps open at 30 June 2019 are disclosed as part of the Portfolio of Investments. The Directors of the Company have elected to co-manage assets of certain Funds within the Company. In such cases, assets of different Funds are managed in common. The assets which are co-managed shall be referred to as a “pool” notwithstanding that such pools are used solely for internal management purposes. The pools do not constitute separate legal entities and are not directly accessible to investors. Each of the co-managed Funds shall be allocated an appropriate portion of a pool’s specific assets. The entitlements of each participating Fund to the co-managed assets apply to each and every line of the investments of each pool. As at 30 June 2019, SEI Investments Management Corporation (the “Investment Adviser”) along with the Portfolio Managers co-managed the assets of the Funds (with the exception of The SEI Emerging Markets Equity Fund, The SEI Asia Pacific (Ex-Japan) Equity Fund, The SEI U.K. Long Duration Index-Linked Fixed Interest Fund, The SEI U.K. Index-Linked Fixed Interest Fund and The SEI Liquid Alternative Fund) utilising the overleaf table with pools:

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DIRECTORS’ REPORT (continued) Efficient Portfolio Management (continued) Fund Name Pool

The SEI U.S. Small Companies Fund The SEI LSV U.S. Small Companies Pool The SEI Copeland Capital Management Pool The SEI U.S. Large Companies Fund The SEI Fred Alger Pool The SEI AJO U.S. Large Companies Equity Pool The SEI LSV U.S. Large Companies Equity Pool The SEI Mar Vista Investment Partners Pool The SEI COHO Partners Equity Pool The SEI Schafer Cullen Pool The SEI High Yield Fixed Income Fund The SEI JP Morgan High Yield Fixed Income Pool The SEI Ares Management High Yield Fixed Income Pool The SEI BSP High Yield Fixed Income Pool The SEI Brigade High Yield Fixed Income Pool The SEI Rowe High Yield Fixed Income Pool The SEI U.S. Fixed Income Fund The SEI Western Asset Management U.S. Fixed Income Pool The SEI MetWest U.S. Fixed Income Pool The SEI Wells Cap U.S. Fixed Income Pool The SEI U.K. Equity Fund The SEI Jupiter Asset Management Pool The SEI Invesco U.K. Equity Pool The SEI LA Capital U.K. Equity Pool The SEI Lindsell Train U.K. Equity Pool The SEI European (Ex-U.K.) Equity Fund The SEI Wellington European Equity (Ex-U.K.) Pool The SEI Metropole International Equity Pool The SEI Acadian European Equity (Ex-U.K.) Pool The SEI Japan Equity Fund The SEI Acadian Japan Equity Pool The SEI SNAM Japan Equity Core Pool The SEI Global Equity Fund The SEI Intech Global Equity Pool The SEI Jupiter Asset Management Pool The SEI Metropole International Equity Pool The SEI Global Managed Volatility LSV Pool The SEI Rhicon Global Equity Pool The SEI Towle Equity Pool The SEI Maj Equity Pool The SEI SNAM Equity Pool The SEI Lazard Global Equity Pool The SEI Poplar Forest Pool The SEI Global Fixed Income Fund The SEI AllianceBernstein Global Fixed Income Pool The SEI Colchester Global Fixed Income Pool The SEI Brandywine Fixed Income Pool The SEI Insight Global Governement Bond Pool The SEI Wellington Global Fixed Pool

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DIRECTORS’ REPORT (continued) Efficient Portfolio Management (continued) Fund Name Pool

The SEI Global Opportunistic Fixed Income Fund The SEI Schroders Global Credit Fixed Income Pool The SEI Wellington Global Opportunistic Pool The SEI JP Morgan Global Opportunistic Fixed Income Pool The SEI Wellington Global Credit Fixed Income Pool The SEI AllianceBernstein Global Credit Fixed Income Pool The SEI Emerging Markets Debt Fund The SEI Investec Emerging Markets Debt Pool The SEI Stone Harbour Emerging Markets Debt Pool The SEI Neuberger Emerging Markets Debt Pool The SEI Colchester Emerging Markets Debt Pool The SEI Marathon Emerging Markets Debt Pool The SEI Pan European Small Cap Fund The SEI Quoniam Pan European Small Cap Pool The SEI U.K. Core Fixed Interest Fund The SEI Wellington U.K. Fixed Interest Pool The SEI PIMCO U.K. Fixed Interest Pool The SEI Global Managed Volatility Fund The SEI Global Managed Volatility Acadian Pool The SEI Global Managed Volatility Analytic Pool The SEI Global Managed Volatility LSV Pool The SEI Euro Credit Fund The SEI PIMCO Euro Core Plus Fixed Income Pool The SEI AllianceBernstein Euro Core Plus Fixed Income Pool The SEI Fundamental U.K. Equity Fund The SEI Jupiter Asset Management Pool The SEI Lindsell Train U.K. Equity Pool The SEI Quantitative U.K. Equity Fund The SEI Quonium U.K. Equity Pool The SEI LA Capital U.K. Equity Pool The SEI U.K. Long Duration Gilts Fixed Interest Fund The SEI Aberdeen Long Duration U.K. Gilts Fixed Interest Pool The SEI U.K. Gilts Fixed Interest Fund The SEI Aberdeen U.K. Gilts Fixed Interest Pool The SEI U.K. Credit Fixed Interest Fund The SEI Schroders U.K. Fixed Interest Pool The SEI PIMCO U.K. Fixed Interest Pool The SEI AllianceBernstein U.K. Fixed Interest Pool The SEI Dynamic Asset Allocation Fund The SEI SSGA Dynamic Asset Allocation Pool The SEI Global Short Duration Bond Fund The SEI AllianceBernstein Short Duration Pool The SEI Schroders Short Duration Pool The SEI Colchester Short Duration Pool The SEI Global Multi-Asset Income Fund The SEI Schroders Global Multi-Asset Pool The SEI NNIP Pool The SEI Factor Allocation U.S. Equity Fund The SEI Factor All US Equity Value Pool The SEI Factor All US Equity Momentum Pool The SEI Factor All US Equity Stability Pool

The SEI Global Short Term Bond Fund The SEI Investment Management Corporation Short Term Bond Pool The SEI Global Absolute Return Fixed Income Fund The SEI Fulcrum Global Asset Return Fixed Income Pool The SEI U.K. Long Duration Credit Fund1

The SEI AB UK Long Duration Credit Pool

1Fund commenced operations on 15 November 2018.

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SEI Global Master Fund plc Annual Report and Audited Financial Statements for the financial year ended 30 June 2019 DIRECTORS’ REPORT (continued)

Portfolio Managers

The following changes in Portfolio Managers occurred during the year ended 30 June 2019:

Date of Change Fund Name Portfolio Manager Event July 2018 The SEI Factor Allocation U.S. Equity Fund Parametric Portfolio Associates LLC Termination July 2018 The SEI Global Fixed Income Fund Insight Investment Management (Global)

Limited Commencement

July 2018 The SEI U.S. Large Companies Fund Mar Vista Investment Partners, LLC Commencement July 2018 The SEI U.S. Large Companies Fund Jackson Square Partners, LLC Termination September 2018 The SEI Japan Equity Fund Sompo Japan Nipponkoa Asset

Management Company, Ltd. Commencement

September 2018 The SEI Japan Equity Fund Capital International Limited Termination October 2018 The SEI Emerging Markets Debt Fund Colchester Global Investors Limited Commencement October 2018 The SEI Emerging Markets Debt Fund Marathon Asset Management, L.P. Commencement October 2018 The SEI Global Equity Fund Poplar Forest Capital, LLC Commencement November 2018 The SEI U.S. Large Companies Fund AQR Capital Management, LLC Termination November 2018 The SEI U.S. Large Companies Fund Fiera Capital Corporation Termination December 2018 The SEI U.S. Large Companies Fund Fred Alger Management, Inc Commencement December 2018 The SEI U.S. Large Companies Fund Schafer Cullen Capital Management, Inc. Commencement December 2018 The SEI U.S. Small Companies Fund Hillsdale Investment Management Inc. Commencement December 2018 The SEI U.S. Small Companies Fund AQR Capital Management, LLC Termination December 2018 The SEI U.S. Small Companies Fund CastleArk Management LLC Termination December 2018 The SEI Emerging Markets Equity Fund Qtron Investments, LLC Commencement December 2018 The SEI Emerging Markets Equity Fund PanAgora Asset Management Inc. Termination January 2019 The SEI Global Multi-Asset Income Fund NN Investment Partners Commencement May 2019 The SEI U.K. Core Fixed Interest Fund Schroder Investment Management Limited Termination May 2019 The SEI U.S. Small Companies Fund ArrowMark Partners Termination May 2019 The SEI U.S. Small Companies Fund Rice Hall James & Associates, LLC Termination May 2019 The SEI U.S. Small Companies Fund William Blair & Company, L.L.C Termination June 2019 The SEI U.S. Small Companies Fund Copeland Capital Management, LLC Commencement June 2019 The SEI Global Fixed Income Fund Wellington Management International

Limited Commencement

June 2019 The SEI Global Fixed Income Fund Schroder Investment Management Limited Termination June 2019 The SEI Global Opportunistic Fixed Income Fund Schroder Investment Management Limited

(Global Government-Related Bonds Mandate)

Termination

June 2019 The SEI Global Opportunistic Fixed Income Fund Wellington Management International Limited (Global Government-Related Bonds Mandate)

Commencement

Corporate Governance Statement

The Board of Directors (the “Board”) of the Company is responsible for the effective, prudent and ethical oversight of the Company and is ultimately responsible for ensuring that risk and compliance is properly managed in the Company. The Board of the Company shall strive to ensure that the Company is run in compliance with the Companies Act 2014, and the UCITS Regulations issued by the Central Bank and other rules which are of relevance to their position as Directors.

The Board has adopted the voluntary Irish Funds (IF) Corporate Governance Code for Irish domiciled Collective Investment Schemes and Management Companies, issued 14 December 2011 (the “Code”) with effect from 29 November 2012. The Board has reviewed and assessed the measures included in the Code and considers its corporate governance practices and procedures since the adoption of the Code as consistent with it.

The Board has assessed the measures included in the Code as being consistent with its corporate governance practices and procedures for the financial year. Each of the services providers engaged by the Company is subject to their own corporate governance requirements.

Connected Persons

In compliance with the UCITS Regulations, the Directors confirm that for the year ended 30 June 2019, all transactions carried out with connected persons were on an arms length basis and in the best interests of Shareholders.

Significant Events Affecting the Company During the Year

The SEI Sterling Liquidity Fund closed on 16 March 2018 and its approval was withdrawn by the Central Bank on 31 December 2018.

A new Prospectus was issued and noted by Central Bank on 02 January 2019.

The SEI U.S. Liquid Assets Fund closed on 29 September 2018, its approval was withdrawn by the Central Bank on 25 June 2019 and as at 30 June 2019 only held cash.

The SEI U.K. Long Duration Credit Fund launched on 15 November 2018.

11

SE! Global Master Fund plc Annual Report and Audited Financial Statements for the financial year ended 30 June 2019

INDEPENDENT AUDITORS' REPORT TO THE MEMBERS OF SE! GLOBAL MASTER FUND PLC

Report on the audit of the financial statements

()piniutit

In our opinion, SE! Global Master Fund plc's financial statements:

• give a true and fair view of the Company's and Funds' assets, liabilities and financial position as at 30 June 2019 and of their results for the year then ended,

• have been properly prepared in accordance with Generally Accepted Accounting Practice in Ireland (accounting standards issued by the Financial Reporting Council of the UK, including Financial Reporting Standard 102 "The Financial Reporting Standard applicable in the UK and Republic of Ireland" and Irish law); and

• have been properly prepared in accordance with the requirements of the Companies Act 2014 and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended).

We have audited the financial statements, included within the Annual Report and Audited Financial Statements, which comprise

• the Statement of Financial Position as at 30 June 2019;

• the Income Statement for the year then ended;

• the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholder for the year then ended;

• the Portfolio of Investments for each of the Funds as at 30 June 2019; and

• the notes to the Audited Financial Statements for the Company and for each of its Funds, which include a description of the significant accounting policies.

llik fur opinion

We conducted our audit in accordance with International Standards on Auditing (Ireland) ("ISAs (Ireland)") and applicable law.

Our responsibilities under ISAs (Ireland) are further described in the Auditors' responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

We remained independent of the Company its accordance with the ethical requirements that are relevant to our audit of the financial statements in Ireland, which includes IAASA's Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements-

( oncl t,,,iiiit ret t till Is -_,oing Concern

We have nothing to report in respect of the following matters in relation to which ISAs (Ireland) require us to report to you where:

• the directors' use of the going concern basis of accounting in the preparation of the financial statements is not appropriate; or

• the directors have not disclosed in the financial statements any identified material uncertainties that may cast significant doubt about the Company's and Funds' ability to continue to adopt the going concern basis of accounting for a period of at least twelve months from the date when the financial statements are authorised for issue.

However, because not all future events or conditions can be predicted, this statement is not a guarantee as to the Company's and Funds' ability to continue as going concerns.

ltelii,ititi in sitter in Iurniatuitu

The other information comprises all of the information in the Annual Report and Audited Financial Statements other than the financial statements and our auditors' report thereon. The directors are responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance thereon. In connection with our audit of the financial statements, our responsibility is to read the oilier information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is material misstatement of the financial statements or a material misstatement of the other information. If, based oil the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report based on these responsibilities.

With respect to the Directors' Report, we also considered whether the disclosures required by the Companies Act 2014 have been included

Based on the responsibilities described above and our work undertaken in the course of the audit, ISAs (Ireland) and the Companies Act 2014 require its to also report certain opinions and matters as described below:

• In our opinion, based on the work undertaken in the course of the audit, the information given in the Directors' Report for the year ended 30 June 2019 inconsistent with the financial statements and has been prepared in accordanceAidi applicable legal requirements.

• Based on our knowledge and understanding of the Company and its environment obtained in the course of the audit, we have not identified any material misstatements in the Directors' Report.

SE! Global Master Fund plc Annual Report and Audited Financial Statements for the financial year ended 30 June 2019

INDEPENDENT AUDITORS' REPORT TO THE MEMBERS OF SE! GLOBAL MASTER FUND PLC (continued)

Report on the audit of the financial statements (continued)

Responsibilities for the financial staienieiits and the audit

;/It i',r.ri, I.ri ll.lh III, Ili,

As explained more fully in the Statement of Directors' Responsibilities set out on page 7, the directors are responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view.

The directors are also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the directors are responsible for assessing the Company's and Funds' ability to continue as going concerns, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so.

nil '1 //ntrit lit

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors' report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (Ireland) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

A further description of our responsibilities for the audit of the financial statements is located on the IAASA website at:

https:f/www.iaasa ie/getmedia1b23890 13-I cf6-458b-968f-a98202dc9c3a/Description of auditors responsibilities for asidit.pdf.

This description forms part of our auditors' report.

it' (liii 17 ,01 /

This report, including the opinions, has been prepared for and only for the Company's members as a body in accordance with section 391 of the Companies Act 2014 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any oilier person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior Consent in writing.

Other required reporting

( (IllIp/imite 2514 opinion, (in oilier iiriiiei.

• We have obtained all the information and explanations which we consider necessary for the purposes of our audit.

• In our opinion the accounting records of the Company were sufficient to permit the financial statements lobe readily and properly audited.

• The financial statements are in agreement with the accounting records.

(sni1ianir ci 2111.1 s'siejiirn reporting

Under the Companies Act 2014 we are required to report to you if, in our opinion, tile disclosures of directors' remuneration and transactions specified by sections 305 to 312 of that Act have not been made. We have no exceptions to report arising from this responsibility.

Vincent MacMahon for and on behialfofPricewaterhouseCoopers Chartered Accountants and Statutory Audit Firm Dublin

24 October 2019

15


INVESTMENT ADVISER’S REPORT – FRONT END MARKET COMMENTARY After an extended period of historical calm and steady gains, volatility returned to financial markets during the fiscal year ending 30 June 2019, with a selloff toward the end of 2018 that sent most global indexes into or near bear market territory before an early-2019 rebound that saw the S&P 500 Index deliver its best first-quarter performance in twenty years. Trade war fears, ongoing Brexit discussions and the U.S. yield curve all weighed on investor expectations.

Meanwhile, the pace of interest-rate increases by the U.S. Federal Reserve (Fed) mostly followed the market’s projections. Long-term rates fell by a greater magnitude than short-term rates after the Fed raised rates twice during the reporting period; the U.S. yield curve flattened to a post-recession low and even inverted at multiple maturities.

The European Central Bank ended its bond-buying program at the end of 2018 but made assurances that it would reinvest maturing securities for some time to help keep rates low. Christine Lagarde (who resigned as president of the International Monetary Fund after the reporting period) was named to succeed Mario Draghi as European Central Bank (ECB) President at the end of October 2019. Lagarde is expected to maintain her predecessor’s dovish policies.

Oil prices rose during the first half of the reporting period to a four-year high, supported by geopolitical tensions and news that Saudi Arabia and Russia would extend an agreement to curb output. However, growing concerns over falling demand and increasing global supply, along with a broad selloff in risk assets, helped drive a correction during the last three months of 2018 that sent the commodity down as much as 40% from its earlier highs. Support at the start of 2019 saw a near-50% recovery from its lows, and oil closed the fiscal year down about 20%.

Brexit concerns continued to overshadow the outlook for business in the UK; the FTSE UK Series All-Share Index shed 3.05% in U.S. dollar terms but managed to gain 0.57% in sterling. The MSCI ACWI Index, a proxy for global equities in both developed and emerging markets, rose 5.74% in U.S. dollar terms; U.S. markets did better, as the S&P 500 Index returned 10.42%. Despite continued accommodative monetary policy from the ECB, European equities lagged, as fears over trade wars and policy uncertainty grew. The MSCI Europe Index finished up 1.88% in U.S. dollar terms and 4.25% higher in euros; the euro finished down 2.82% versus the U.S. dollar for the period. Emerging markets failed to keep pace over the full reporting period. The MSCI Emerging Markets Index finished the fiscal year 1.21% ahead in U.S. dollar terms, after a generous rally over the final six months.

Led by the dovish tone of global central banks and better-than-expected earnings toward the end of the reporting period, global high-yield bonds outperformed global government bonds. A continuing theme for U.S. fixed-income markets was the flattening yield curve. Notably, the 3-month and 10-year rates inverted at the end of the reporting period, a signal of impending recession to some market watchers. The Federal Open Market Committee increased the federal-funds rate twice during the period, while also softening projections for future rate increases. Subdued inflation and long-term economic growth expectations pressured the long end of the curve.

Global fixed income, as measured by the Bloomberg Barclays Global Aggregate Index, climbed 5.85% in U.S. dollar terms during the reporting period, while the high-yield market did slightly better, with the ICE BofAML U.S. High Yield Constrained Index up 7.58%. Emerging-market debt also delivered strong performance. The JP Morgan GBI Emerging Markets Global Diversified Index, which tracks local-currency-denominated emerging-market bonds, climbed 8.99% higher in U.S. dollar terms, with almost all of its gains coming over the last six months. The J.P. Morgan EMBI Global Diversified Index, which tracks emerging-market debt denominated in external currencies (such as the U.S. dollar), gained 12.45%, also with most of its gains coming during the second half of the fiscal year.

16


THE SEI U.S. SMALL COMPANIES FUND – INVESTMENT ADVISER’S REPORT The SEI U.S. Small Companies Fund is comprised of twenty three classes of Shares. The Fund was launched on 01 April 2000. The functional currency of The SEI U.S. Small Companies Fund is U.S. Dollar (US$). Objective The investment objective of The SEI U.S. Small Companies Fund is long-term growth of capital and income through investment in a broadly diversified portfolio of U.S. equity securities of small companies. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as at 30 June 2019: Copeland Capital Management, LLC Hillsdale Investment Management Inc. LSV Asset Management* *LSV Asset Management is a partially-owned indirect subsidiary of SEI Investments Company. For this service, LSV Asset Management is entitled to receive a fee from SIMC. The following managers were hired during the period: Copeland Capital Management, LLC (June 2019) Hillsdale Investment Management Inc. (December 2018) The following managers were terminated during the period: AQR Capital Management, LLC (December 2018) ArrowMark Partners (May 2019) CastleArk Management LLC (December 2018) Rice Hall James & Associates, LLC (May 2019) William Blair & Company, L.L.C (May 2019) Return vs. Benchmark For the one-year reporting period ending at 30 June 2019, the Fund’s USD Institutional shares returned -2.50%. The Fund’s primary benchmark—the Russell 2500 Index (Net 30%) (USD)—returned 1.30%. Fund Attribution The fiscal year ending 30 June 2019 was primarily defined by the extreme selloff at the end of 2018— notably in December—followed by a significant market rebound in the first quarter of 2019. Volatility was sparked by a confluence of concerns surrounding slowing global growth, tightening monetary policies, and geopolitical tensions, namely ongoing trade talks between the U.S. and China. Coming into the fourth quarter of 2018, most major indexes had been positive for the 2018 calendar year but ended the year with negative returns after double-digit declines. This move was a broad and deep risk-off trade that saw investors flee cyclical sectors to more defensive areas of the market like utilities and real estate. The worst-performing sectors at the end of 2018 outperformed in the first quarter of 2019 and vice versa. Non-earning, high-beta companies performed the best, and growth beat value, boosted by the information technology and health care sectors. Investor sentiment radically shifted at the start of the new year, as the U.S. Federal Reserve (Fed) adopted a more dovish stance, announcing there would be no more rate hikes in 2019; U.S. shares broadly had their best first-quarter performance in about ten years. While the market resumed its upward trend in April, volatility cropped up again in May after U.S.-China trade talks deteriorated, prompting concerns of slowing global growth. A short-lived threat of tariffs against Mexico at the end of May compounded these fears but did not ultimately materialise. Tensions between the U.S. and China seemed to ease in June, and the Fed held rates steady while leaving the door open to possible rate cuts. This led to a moderate surge in cyclical, economically-sensitive stocks and traditional growth-oriented sectors. Growth outperformed value again in the final quarter of the reporting period. From a factor perspective, low-volatility and quality/stability were the best-performing factors over the last twelve months. Given the rocky end of 2018 and moderately volatile May, strategies that were generally less sensitive to market movements had more success than other alpha sources. Momentum failed to gain traction as market leadership turned over more frequently, and value continued to struggle. The Fund underperformed its benchmark over the period mainly due to poor share selection within the health care and information technology sectors, as well as an overweight to consumer discretionary. LSV was the worst-performing manager, as its deep-value orientation faced style headwinds. An underweight to and weak selection within the information technology sector, as well as poor selection within consumer discretionary and materials, detracted. Before its termination from the Fund, Rice Hall James & Associates also detracted mostly due to idiosyncratic events related to two holdings in the health care and consumer discretionary sectors. CastleArk Management contributed to excess return before its termination from the Fund and benefitted from strong selection within the health care and consumer discretionary sectors. Derivatives were not used for speculative purposes within the Fund. July 2019

17


THE SEI U.S. SMALL COMPANIES FUND – INVESTMENT ADVISER’S REPORT (continued) Performance

Euro Hedged Hedged Euro Institutional Euro Sterling Sterling Institutional Distributing Institutional Institutional Institutional A Class A Class Class Class C Class EUR EUR EUR GBP GBP

Opening Net Asset Value per share 38.21 30.20 21.14 35.44 32.55 Distribution rate per share 0.00 0.29 0.00 0.00 0.00 Closing Net Asset Value per share 38.19 29.88 19.99 33.85 32.81 Closing Net Asset Value plus distribution rate per share 38.19 30.17 19.99 33.85 32.81 Class return for the year/period (0.05%) (0.10%) (5.44%) (4.49%) 0.80%

Sterling Sterling Sterling Institutional Sterling Institutional Sterling Institutional Distributing Institutional H Distributing Institutional+ Class Class H Class Class H Class GBP GBP GBP GBP GBP

Opening Net Asset Value per share 51.80 28.83 44.76 35.41 34.00 Distribution rate per share 0.00 0.32 0.00 0.34 0.00 Closing Net Asset Value per share 52.47 28.86 45.27 35.45 33.77 Closing Net Asset Value plus distribution rate per share 52.47 29.18 45.27 35.79 33.77 Class return for the year/period 1.29% 1.21% 1.14% 1.07% (0.68%)

Sterling Sterling U.S.$ Institutional+ Wealth A U.S.$ Institutional U.S.$ H Distributing Distributing Institutional Distributing Institutional+ Class Class Class Class H Class GBP GBP USD USD USD

Opening Net Asset Value per share 33.72 35.44 94.37 27.24 24.92 Distribution rate per share 0.00 0.08 0.00 0.26 0.00 Closing Net Asset Value per share 33.50 35.48 92.01 26.28 23.87 Closing Net Asset Value plus distribution rate per share 33.50 35.56 92.01 26.54 23.87 Class return for the year/period (0.65%) 0.34% (2.50%) (2.57%) (4.21%)

Hedged U.S.$ U.S.$ Hedged Singapore $ Institutional+ U.S.$ Wealth P Singapore $ Institutional H Distributing Wealth P Distributing Institutional Distributing Class Class Class Class Class USD USD USD SGD SGD

Opening Net Asset Value per share 23.12 14.43 14.37 16.17 15.93 Distribution rate per share 0.00 0.00 0.05 0.00 0.14 Closing Net Asset Value per share 22.14 13.98 13.87 15.61 15.23 Closing Net Asset Value plus distribution rate per share 22.14 13.98 13.92 15.61 15.37 Class return for the year/period (4.24%) (3.12%) (3.13%) (3.46%) (3.52%)

CHF Euro CHF Institutional Institutional Institutional Distributing Distributing Class Class Class CHF CHF EUR

Opening Net Asset Value per share 15.93 15.67 12.01 Distribution rate per share 0.00 0.15 0.13 Closing Net Asset Value per share 15.25 14.85 11.88 Closing Net Asset Value plus distribution rate per share 15.25 15.00 12.01 Class return for the year/period (4.27%) (4.28%) 0.00%

18


THE SEI U.S. LARGE COMPANIES FUND – INVESTMENT ADVISER’S REPORT The SEI U.S. Large Companies Fund is comprised of twenty six classes of Shares. The Fund, formerly known as The SEI U.S. Equity Fund, was re-named and re-launched on 01 April 2000. The functional currency of The SEI U.S. Large Companies Fund is U.S. Dollar (US$). Objective The investment objective of The SEI U.S. Large Companies Fund is long-term growth of capital and income through investment in a broadly diversified portfolio of U.S. equity securities of large companies. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as at 30 June 2019: AJO, L.P. Coho Partners, Ltd. Fred Alger Management, Inc. LSV Asset Management* Mar Vista Investment Partners, LLC Schafer Cullen Capital Management, Inc. * LSV Asset Management is a partially-owned indirect subsidiary of SEI Investments Company. For this service, LSV Asset Management is entitled to receive a fee from SIMC. The following managers were hired during the period: Fred Alger Management, Inc. (December 2018) Mar Vista Investment Partners, LLC (July 2018) Schafer Cullen Capital Management, Inc. (December 2018) The following managers were terminated during the period: AQR Capital Management, LLC (November 2018) Fiera Capital Corporation (November 2018) Jackson Square Partners, LLC (July 2018) Return vs. Benchmark For the one-year reporting period ending at 30 June 2019, the Fund’s USD Institutional shares returned 7.01%. The Fund’s primary benchmark—the Russell 1000 Index (Net 30%) (USD)—returned 9.37%. Fund Attribution The fiscal year produced positive returns for equity investors as the global economy expanded gradually and U.S. long-term interest rates declined. Heightened concerns about a potential trade war, as well as signs that the pace of global economic expansion may be decreasing, weighed on investors’ minds. Within the U.S. equity market, interest-rate sensitive “bond proxies”—particularly real-estate investment trusts and the utilities, consumer staples and health care sectors—outperformed. These sectors represented a significant portion of the low-volatility stock universe and, as a result, low-volatility equities generally outperformed. Economically-sensitive sectors, such as energy, materials and financials, underperformed. These comprised a meaningful portion of the value stock universe and caused value indexes to lag relative to growth. The information technology and health care sectors outperformed and helped propel growth indexes higher. Small- and mid-cap stocks lagged relative to the largest-capitalisation stocks. The Fund underperformed its benchmark partially as a result of its underweight to the largest-capitalisation stocks. Among low-volatility sectors, the Fund benefitted from an overweight to the health care sector, but an underweight to the utilities sector detracted. The Fund’s value tilt and associated overweight to the energy sector and underweight to the information technology sector also detracted. LSV underperformed during the fiscal year. LSV’s value orientation, small- and medium-capitalisation holdings, as well as its allocations to the energy and financials sectors detracted. Coho Partners also underperformed during the fiscal year. Coho’s underweight to the information technology sector and overweight to the energy sector detracted. AQR Capital Management lagged during the portion of the fiscal year that it was in the Fund. AQR’s holdings in the multiline retail industry, speciality retail industry and textiles apparel and luxury goods industry detracted from performance. Schafer Cullen Capital Management struggled during the portion of the fiscal year that it was in the Fund. Schafer Cullen’s value orientation and its holdings within the materials sector detracted. AJO outperformed during the fiscal year. AJO benefitted from its momentum orientation and its holdings within the information technology and health care sectors during the fiscal year. Fiera Capital Corporation also outperformed during the portion of the reporting period that it was in the Fund. Fiera benefitted from its underweight to the energy sector and an overweight to the health care sector. Mar Vista Investment Partners outperformed during the portion of the fiscal year that it was in the Fund and benefitted from favourable selection within the real estate, materials, and health care sectors. Fred Alger Management outpaced the benchmark during the portion of the fiscal year that it was in the Fund and benefitted from its growth orientation, larger-capitalisation profile, and a significant overweight to the information technology sector. Derivatives were not used for speculative purposes within the Fund. July 2019

19


THE SEI U.S. LARGE COMPANIES FUND – INVESTMENT ADVISER’S REPORT (continued) Performance Euro Hedged

Euro Euro Institutional Euro Euro Institutional Institutional Distributing Institutional+ Institutional A Class B Class A Class H Class Class EUR EUR EUR EUR EUR

Opening Net Asset Value per share 32.09 18.25 25.07 20.63 19.15 Distribution rate per share 0.00 0.00 0.32 0.00 0.00 Closing Net Asset Value per share 35.21 19.87 27.16 22.23 19.87 Closing Net Asset Value plus distribution rate per share 35.21 19.87 27.48 22.23 19.87 Class return for the year/period 9.72% 8.88% 9.61% 7.76% 3.76%

Hedged Sterling Sterling Sterling Sterling Institutional Sterling Institutional Institutional Institutional Distributing Institutional Class C Class Class Class H Class GBP GBP GBP GBP GBP


Sterling Sterling Sterling Institutional Sterling Institutional+ Wealth A U.S.$ H Distributing Institutional+ H Distributing Distributing Institutional Class H Class Class Class Class GBP GBP GBP GBP USD


U.S.$ U.S.$ Institutional U.S.$ Institutional+ U.S.$ U.S.$ Distributing Institutional+ H Distributing Investor Wealth P Class H Class Class Class Class USD USD USD USD USD


Hedged

U.S.$ Hedged Singapore $ CHF Wealth P Singapore $ Institutional CHF Institutional Distributing Institutional Distributing Institutional Distributing Class Class Class Class Class USD SGD SGD CHF CHF


20


THE SEI U.S. LARGE COMPANIES FUND – INVESTMENT ADVISER’S REPORT (continued) Performance (continued)

Euro Institutional Distributing Class EUR

Opening Net Asset Value per share 11.27 Distribution rate per share 0.16 Closing Net Asset Value per share 12.21 Closing Net Asset Value plus distribution rate per share

12.37

Class return for the year/period 9.76%

21


THE SEI HIGH YIELD FIXED INCOME FUND – INVESTMENT ADVISER’S REPORT The SEI High Yield Fixed Income Fund is comprised of twenty four classes of Shares. The Fund was launched on 09 September 1996. The functional currency of The SEI High Yield Fixed Income Fund is U.S. Dollar (US$). Objective The investment objective of The SEI High Yield Fixed Income Fund is to maximise total return from investing primarily in high-yield fixed income securities. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as at 30 June 2019: Ares Management LLC Benefit Street Partners LLC Brigade Capital Management, LLC J.P. Morgan Investment Management Inc. T. Rowe Price International Ltd The following managers were hired during the period: None. The following managers were removed during the period: None. Return vs. Benchmark For the one-year reporting period ending at 30 June 2019, the Fund’s USD Institutional shares returned 6.63%. The Fund’s benchmark—the ICE BofAML U.S. High Yield Constrained Index (USD)—returned 7.58%. Fund Attribution For the fiscal year ending 30 June 2019, the high-yield market, as measured by the ICE BofAML U.S. High Yield Constrained Index, returned 7.58%. The points of interest during the period were a dovish pivot by the Federal Reserve, strong equity market performance and renewed hope in regards to the U.S.-China trade conflict. The energy sector—a primary area of focus over the past few years— returned -0.70% over the reporting period, severely underperforming the broader market. During the period, higher-quality issues outperformed, as BB rated securities had the best return (+9.88%), followed by B rated securities (+6.85%) and CCC rated securities (+0.03%). The market spread began the period at 371 basis points, widened substantially to 544 basis points following the selloff toward the end of 2018, and tightened 137 basis points during the 2019 rally to end the period at 407 basis points. The market yield followed a very similar path, beginning the year at 6.53%, then gapping out materially to 8.11% during the late 2018 risk-off phase, and then tightening 205 basis points to end the year at 6.06%. An off-benchmark allocation to Puerto Rico, an overweight to leisure (primarily gaming), and an underweight and selection within real estate all contributed. Security selection within retail (mainly speciality retail), energy (notably oil field equipment and services, as well as exploration and production), and telecommunications (primarily wireline integrated and services) were the primary detractors. Brigade Capital Management, LLC underperformed due to weak security selection within the energy sector (primarily oil field equipment and services) and basic industry sector (particularly chemicals). Benefit Street Partners LLC underperformed due to poor selection within the telecommunications sector (primarily wireline integrated and services) and an overweight to and selection within the energy sector (particularly oil field equipment and services). J.P. Morgan Investment Management Inc. outperformed due to its underweight to and strong security selection within energy (primarily oil field equipment and services), as well as its overweight to and security selection within media (mainly cable and satellite TV). T. Rowe Price International Ltd outperformed due to underweights to and strong selection within both the transportation and real estate sectors. Ares Management LLC outperformed due to its underweight to the energy sector (particularly oil field equipment and services, as well as exploration and production) and an overweight to and beneficial selection within leisure (primarily gaming). The Fund used derivatives throughout the reporting period as a way to manage duration, yield-curve positioning and spread duration in an efficient manner. Credit-related derivatives had a modestly negative impact on overall Fund performance. July 2019

22


THE SEI HIGH YIELD FIXED INCOME FUND – INVESTMENT ADVISER’S REPORT (continued) Performance Hedged Hedged

Hedged Euro Hedged Sterling Hedged Euro Institutional Sterling Institutional Sterling Institutional Distributing Institutional Distributing Institutional A Class A Class Class Class H Class EUR EUR GBP GBP GBP


Hedged Hedged Hedged Sterling Hedged Sterling Sterling Institutional H Sterling Institutional+ Wealth A Sterling Distributing Institutional+ H Distributing Distributing Institutional Class H Class Class Class Class GBP GBP GBP GBP GBP


U.S.$ U.S.$ U.S.$ Institutional U.S.$ Institutional+ U.S.$ Institutional Distributing Institutional+ H Distributing Investor Class Class H Class Class Class USD USD USD USD USD


Hedged U.S.$ Hedged Singapore $ Hedged U.S.$ Wealth P Singapore $ Institutional CHF Wealth P Distributing Institutional Distributing Institutional Class Class Class Class Class USD USD SGD SGD CHF


23


THE SEI HIGH YIELD FIXED INCOME FUND – INVESTMENT ADVISER’S REPORT (continued) Performance (continued)

Hedged Hedged CHF Euro Hedged Institutional Euro Institutional Euro Distributing Institutional Distributing Wealth P Class Class Class Class CHF EUR EUR EUR

Opening Net Asset Value per share 11.89 9.91 9.74 9.96 Distribution rate per share 0.59 0.00 0.62 0.00 Closing Net Asset Value per share 11.66 10.85 9.44 10.26 Closing Net Asset Value plus distribution rate per share 12.25 10.85 10.06 10.26

Class return for the year/period 3.03% 9.49% 3.29% 3.01%

24


THE SEI U.S. FIXED INCOME FUND – INVESTMENT ADVISER’S REPORT The SEI U.S. Fixed Income Fund is comprised of fifteen classes of Shares. The Fund was launched on 11 September 1996. The functional currency of The SEI U.S. Fixed Income Fund is U.S. Dollar (US$). Objective The investment objective of The SEI U.S. Fixed Income Fund is current income consistent with the preservation of capital. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as at 30 June 2019: Metropolitan West Asset Management LLC Wells Capital Management, Inc. Western Asset Management Company The following managers were hired during the period: None. The following managers were terminated during the period: None. Return vs. Benchmark For the one-year reporting period ending at 30 June 2019, the Fund’s USD Institutional shares returned 8.22%. The Fund’s primary benchmark—the Bloomberg Barclays U.S. Aggregate Bond Index (USD)—returned 7.87%. Fund Attribution The Federal Reserve (Fed) increased the federal-funds rate two times in 25 basis point increments in the first half of the fiscal year but made a dovish pivot early in 2019 in response to concerns of downside risk and the impact of global trade developments on the U.S. economy. 30-year yields declined by a lesser magnitude than 2-year yields over the period, with 2-year yields down 77 basis points and 30-year yields 46 basis points lower; 3-month Treasury bill yields were 19 basis points higher during the twelve months after the Fed hiked rates in September and December of 2018, causing an inversion between 3-month bills and 10-year bonds. Within this environment, spread sectors generally managed to outperform, with the exception of agency mortgage-backed securities (MBS). For the fiscal year, the Fund’s allocation to spread sectors and underweight to Treasurys enhanced performance. Within the corporate exposure, an overweight to financial institutions added to returns as bank capital ratios continued to improve and revenue growth, while sluggish, improved. Allocations to asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) also added to outperformance as valuations improved for commercial properties in tandem with economic growth. Non-agency mortgage securities advanced in conjunction with improved wages and a favourable housing market. The Fund’s overweight to the long end of the yield curve added to performance as 30-year yields declined during the year. An overweight to agency MBS detracted as those securities underperformed, especially late in the year with the sharp rally. Western Asset Management outperformed primarily due to its credit overweight, especially exposure to the industrials and financials sectors; holdings in non-agency mortgages and an overweight to the 30-year part of the yield curve also enhanced returns. A longer-than-benchmark duration posture added as yields declined. Metropolitan West also performed well during the period; the manager’s slightly longer duration posture added to returns as yields declined during the period. An allocation to non-agency mortgages and selection within ABS were also beneficial. A more conservative position within the corporate bond sector detracted. Wells benefitted from its overweight to ABS and CMBS. Security selection within corporate bonds was additive as the portfolio added to financial bonds during the period and rotated between industrial and non-corporate bonds. Agency MBS underperformed, and the Fund’s overweight to the sector was a performance headwind. U.S. Treasury futures and interest rate swaps were utilised to facilitate the management of the Fund’s duration and yield-curve positioning. There was a small allocation to currency forwards to help manage currency exposures. July 2019

25


THE SEI U.S. FIXED INCOME FUND – INVESTMENT ADVISER’S REPORT (continued) Performance

Hedged Hedged Hedged Euro Hedged Sterling Hedged Euro Institutional Sterling Institutional H Sterling Institutional Distributing A Institutional Distributing Institutional+ A Class Class H Class Class H Class EUR EUR GBP GBP GBP


Hedged Sterling U.S.$ U.S.$ Institutional+ U.S.$ Institutional U.S.$ Institutional+ H Distributing Institutional Distributing Institutional+ H Distributing Class Class Class H Class Class GBP USD USD USD USD


Hedged Hedged Singapore $ U.S.$ U.S.$ Singapore $ Institutional U.S.$ Wealth P Investor Institutional Distributing Wealth P Distributing Class Class Class Class Class USD SGD SGD US$ US$


26


THE SEI EMERGING MARKETS EQUITY FUND – INVESTMENT ADVISER’S REPORT The SEI Emerging Markets Equity Fund is comprised of twenty four classes of Shares. The Fund was launched on 31 December 1996. The functional currency of The SEI Emerging Markets Equity Fund is U.S. Dollar (US$). Objective

The investment objective of The SEI Emerging Markets Equity Fund is capital appreciation primarily through investment in securities of emerging market issuers. Investment Approach Statement The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilised the following sub-advisers as at twelve months ended 30 June 2019: JO Hambro Capital Management Limited KBI Global Investors (North America) Ltd. Lazard Asset Management LLC Macquarie Investment Management Neuberger Berman LLC Qtron Investments, LLC RWC Asset Advisors (US) LLC The following managers were hired during the period: Qtron Investments, LLC (December 2018) The following managers were terminated during the period: PanAgora Asset Management Inc. (December 2018) Return vs. Benchmark For the one-year reporting period ending at 30 June 2019, the Fund’s USD Institutional shares returned -0.76%. The Fund’s benchmark—the MSCI Emerging Markets Index (Net) (USD)—returned 1.21%. Fund Attribution Asian emerging markets were caught in an escalating trade war during the fiscal year as the U.S. and China exchanged rounds of tariffs over the summer of 2018. Meanwhile, stronger U.S. economic and corporate activity paved the way for two rate hikes by the U.S. Federal Reserve (Fed) early in the reporting period, tightening monetary conditions around the globe and taking a toll on emerging-market countries with weak macroeconomic conditions, notably Turkey and South Africa. In Turkey, higher borrowing costs and political turmoil caused a liquidity squeeze on the market, while South Africa dealt with continued economic stagnation. Latin American equities were influenced by news around major presidential elections in Mexico and Brazil. The selloff hit emerging markets early in the period and spread to international developed markets and the U.S. at the end of 2018, as higher U.S. rates and fears around slowing global growth in 2019 drove investor concerns. Emerging markets also fell but outperformed in the fourth quarter of 2018 after enduring most of the earlier pain. Brazil was the best-performing emerging market during this time and saw positive returns after a victory by market-friendly candidate Jair Bolsonaro. At the beginning of 2019, emerging-market equities rebounded, driven by U.S.-China trade talk optimism and signs of a dovish pivot by the Fed. The latter was a response to fears of global growth slowing down after a raft of weak economic data in the fourth quarter of 2018. Markets rallied globally in the first quarter, with growth, technology, and Chinese equities leading the pack. Markets reversed sentiment in May when a sudden deterioration in trade talks between the U.S. and China sent risk-on assets lower. Sentiment grew worse at the end of May when President Trump threatened tariffs on Mexico over migrants at the U.S.-Mexican border, causing Mexican equities to sell off sharply. The deterioration in market sentiment, combined with the lacklustre pace of global growth and corporate earnings growth, caused market participants to price in Fed rate cuts, the first of which was partially confirmed in a June Fed meeting. The anticipation of rate cuts and a postponement of U.S. tariffs on Mexico over immigration caused a repricing of equities, reversing some of the losses in May. While most Asian equities traded in step with the risk-on, risk-off sentiment, Indian equities moved in line with the Indian elections; Prime Minister Modi was re-elected, and Indian equities rallied on the potential for the continuation of Modi’s policies. The Fed’s more accommodative posture gave room for Asian central banks to begin cutting rates to improve liquidity and market conditions. Both Malaysia and the Philippines lowered rates in May. Indonesian equities rallied during the first quarter of 2019 after strong earnings results. Latin American equities also rose during the period, although they trailed Asian emerging-market equities, as Brazilian assets were coming off a higher base from strong performance at the end of 2018 when most other share markets sold off. Outside of Mexico, where equities were affected by tariff threats, Brazilian equities depended on the passage of pension reforms. Europe, the Middle East and Africa (“EMEA”) were positive, driven by Russia and Greece. In Greece, an election victory by market-friendly parties lifted shares higher, while in Russia, the lack of bad geopolitical news, strong economic fundamentals and positive dividend surprises by resource companies helped performance in the final quarter of the period. From a regional perspective, emerging Asia was the biggest detractor due to weak selection in China and Taiwan. Selection in both countries suffered as internet and other information technology shares saw poor results amid trade war tensions between China and the U.S. Selection in the EMEA region was also negative, especially within Turkey. Emerging Latin America was the biggest contributor due to strong selection in internet retailing stocks. Portfolio holdings in Brazil were also beneficiaries of positive sentiment after Bolsonaro’s presidential victory. From a sector perspective, the consumer discretionary sector was the biggest contributor to positive performance, followed by consumer staples and health care. All other sectors detracted. Strong selection from the retailing industry, specifically the internet retailing industry was a significant contributor. Selection in

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THE SEI EMERGING MARKETS EQUITY FUND – INVESTMENT ADVISER’S REPORT (continued) Fund Attribution (continued) food and staples retailing also helped, adding to outperformance from the consumer staples sector. Materials was the biggest detractor due to weak selection results from the commodities complex. Communication services was the second biggest detractor due to negative results from both telecommunication companies and Chinese internet stocks. RWC was the biggest detractor due to poor selection results in metals and mining shares and the financials sector. RWC’s selection suffered collateral damage from the breakdown in U.S.-China trade relations as RWC’s cyclical positioning and bullish outlook were punished during the first half of the fiscal year. Results were better in the second half of the period but not enough to offset the first-half weakness. JO Hambro was the second biggest detractor due to poor selection results in the industrials and financials sectors, where capital goods companies and insurance companies struggled. A broad underlying theme to the manager’s poor performance was the headwind against momentum and small caps. Momentum shares struggled due to the continuous rotation in market leadership from the changing outlook on U.S.-China trade talks and Fed policy. Neuberger Berman also detracted during the period with weak selection compounded by a headwind against small caps, which lagged larger companies in the index. Selection was weak in the communication services sector, primarily in media and entertainment stocks. Selection was also weak in the information technology sector. Macquarie was slightly below the benchmark during the period primarily due to overexposure to and weak selection within Chinese internet stocks. Selection in semiconductor companies also detracted. Positive selection results in the energy sector were not enough to offset underperformance from other sectors. Qtron slightly underperformed after being added in the middle of the fiscal year. Its quantitative-driven selection results in the energy, materials, and communication services sectors outpaced slightly positive exposure to the utilities sector. PanAgora was a net detractor before its termination due to weak quantitatively-driven selection results within banks, real estate, and the consumer staples sector. Lazard was the most significant contributor during the period with strong results from security selection in banks, consumer discretionary, and healthcare. Lazard’s focus on finding attractively-priced growth companies was rewarded despite strong market tailwinds. KBI was t