Sei Institutional Investments Trust N-CSRCertified annual shareholder report (management investment company)

SEI Institutional Investments Trust / Annual Report / May 31, 2022

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SEI Institutional Investments Trust / Annual Report / May 31, 2022

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SEI Institutional Investments Trust / Annual Report / May 31, 2022

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I. Objective

The Large Cap Fund (the “Fund”) seeks long-term growth of capital and income.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Acadian Asset Management LLC (Acadian), Coho Partners, Ltd. (Coho), Fred Alger Management, Inc. (Alger), LSV Asset Management (LSV), Mar Vista Investment Partners, LLC (Mar Vista), and Cullen Capital Management, Inc. (Cullen). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -1.96%. The Fund’s primary benchmark, the Russell 1000 Index^®—which is used to measure the performance of the U.S. large-cap equity market—returned -2.71%.

IV. Fund Attribution

U.S. equities produced negative returns during the fiscal year as investors reacted to rising interest rates, the Ukraine war, and high inflation. Even though the pandemic’s impact on normal activities had diminished, the pandemic still wasn’t over and it continued to cause supply chain issues. The combination of concerns took a toll on investor sentiment; as noted in the shareholder letter, expensive stocks generally declined further than more moderately priced stocks.

The energy sector was the best performer during the fiscal year, fueled by commodity prices. The communication services sector was the worst performing sector as a result of the decline in some previous high flyers such as social media stocks. The consumer discretionary sector also underperformed with some notable declines in e-commerce stocks. Economic concerns caused the industrials sector to lag for the fiscal year. Traditionally less cyclical areas such as consumer staples, health care, and utilities outperformed.

In this environment, the Fund outperformed relative to its benchmark due to the Fund’s value tilt and overweights to the health care and consumer staples sectors. An underweight to the communication services sector was also beneficial. However, an overweight to the financials

SEI Institutional Investments Trust / Annual Report / May 31, 2022

I. Objective

The Large Cap Disciplined Equity Fund (the “Fund”) seeks capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Acadian Asset Management LLC (Acadian), Ceredex Value Advisors, LLC (Ceredex), Coho Partners, Ltd. (Coho), Copeland Capital Management LLC (Copeland), and Mackenzie Investments Corporation (Mackenzie). During the fiscal period, Quantitative Management Associates LLC (QMA) was removed from the lineup, while Copeland was added.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned 0.39%. The Fund’s primary benchmark, the S&P 500 Index^® — a capitalization-weighted index consisting of roughly 500 large U.S. companies that are considered representative of the broad U.S. stock market—returned -0.30%.

IV. Fund Attribution

U.S. equities produced negative returns during the fiscal year as investors reacted to rising interest rates, Russia’s invasion in Ukraine, and high inflation. Even though the pandemic’s impact on normal activities had diminished, the pandemic still wasn’t over and it continued to cause supply chain issues. The combination of concerns took a toll on investor sentiment; as noted in the shareholder letter, expensive stocks generally declined further than more moderately priced stocks.

The energy sector was the best performer during the fiscal year, fueled by commodity prices. The communication services sector was the worst performing sector as a result of the decline in some previous high flyers such as social media stocks. The consumer discretionary sector also underperformed with some notable declines in e-commerce stocks. Economic concerns caused the industrials sector to lag for the fiscal year. Traditionally less cyclical areas such as consumer staples, health care, and utilities outperformed.

In this environment, the Fund was able to produce a positive return as it benefited from its value tilt. Its overweights to the health care and consumer staples sectors and underweight to the communication services

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Comparison of Change in the Value of a $100,000 Investment in the Large Cap Disciplined Equity Fund, Class A, versus the S&P 500 Index

SEI Institutional Investments Trust / Annual Report / May 31, 2022

I. Objective

The Large Cap Index Fund (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of the securities in the Russell 1000^® Index.

II. Multi-Manager Approach Statement

The Fund uses a sub-advisor to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). The sole sub-advisor as of May 31, 2022 was SSGA Funds Management, Inc. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one-year period ending May 31, 2022, the Fund’s Class A shares returned -2.74%. The Fund’s benchmark, the Russell 1000^® Index—which is used to measure the performance of the U.S. large-cap equity market—returned -2.71%.

IV. Fund Attribution

U.S. equities produced negative returns during the fiscal year as investors reacted to rising interest rates, the Ukraine war, and high inflation. Even though the pandemic’s impact on normal activities had diminished, the pandemic still wasn’t over and it continued to cause supply chain issues. The combination of concerns took a toll on investor sentiment; as noted in the shareholder letter, expensive stocks generally declined further than more moderately priced stocks.

The energy sector was the best performer during the fiscal year, fueled by commodity prices. The communication services sector was the worst performing sector as a result of the decline in some previous high flyers such as social media stocks. The consumer discretionary sector also underperformed with some notable declines in e-commerce stocks. Economic concerns caused the industrials sector to lag for the fiscal year. Traditionally less cyclical areas such as consumer staples, health care, and utilities outperformed.

With passive management, the Fund generally captured the broad performance of the U.S. large-cap equity market.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

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I. Objective

The S&P 500 Index Fund (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index.

II. Multi-Manager Approach Statement

The Fund uses a sub-advisor to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). The sole sub-advisor as of May 31, 2022, was SSGA Funds Management, Inc. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -0.33%. The Fund’s primary benchmark, the S&P 500 Index—a capitalization-weighted index consisting of roughly 500 large U.S. companies that are considered representative of the broad U.S. stock market—returned -0.30%.

IV. Fund Attribution

U.S. equities produced negative returns during the fiscal year as investors reacted to rising interest rates, Russia’s invasion in Ukraine, and high inflation. Even though the pandemic’s impact on normal activities had diminished, the pandemic still wasn’t over and it continued to cause supply chain issues. The combination of concerns took a toll on investor sentiment; as noted in the shareholder letter, expensive stocks generally declined further than more moderately priced stocks.

The energy sector was the best performer during the fiscal year, fueled by commodity prices. The communication services sector was the worst performing sector as a result of the decline in some previous high flyers such as social media stocks. The consumer discretionary sector also underperformed with some notable declines in e-commerce stocks. Economic concerns caused the industrials sector to lag for the fiscal year. Traditionally less cyclical areas such as consumer staples, health care, and utilities outperformed.

With passive management, the Fund generally captured the broad performance of the U.S. large-cap equity market.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

SEI Institutional Investments Trust / Annual Report / May 31, 2022

I. Objective

The Extended Market Index Fund (the “Fund”) seeks investment results that approximate, as closely as practicable and before expenses, the performance of the Russell Small Cap Completeness Index.

II. Multi-Manager Approach Statement

The Fund uses a sub-advisor to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). The sole sub-advisor as of May 31, 2022 was SSGA Funds Management, Inc. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -18.88%. The Fund’s primary benchmark, the Russell Small Cap Completeness Index—which measures the performance of the Russell 3000 Index companies excluding S&P 500 Index constituents—returned -18.94%.

IV. Fund Attribution

For the trailing year ending May 31, 2022, the name of the game was inflation. From the Federal Reserve’s (Fed) now debunked assertion higher prices would be “transitory,” to record high accelerations in the consumer price index (CPI), supply chain woes, and finally the unprovoked invasion of Ukraine by Russia—which sent commodities prices skyrocketing—markets have largely traded in response to this central theme. This has led to elevated volatility and the broad selling off of equities for much of 2022 year to date.

In June 2021, the Fed indicated a willingness to potentially raise rates earlier than expected in order to combat inflation, but then quickly walked back these statements. This caused a reaction in markets that dramatically shifted investor preferences away from value and towards lower quality, more speculative growth stocks.

In the third quarter of 2021, the market took a bit of a breather in what can best be described as a risk off environment. Most major indices sold off in September, with large caps finishing just positive but small caps declining for the first quarter since the beginning of 2020. This was spurred on by the Chinese real estate giant Evergrande facing a debt default crisis that shook U.S. markets and the Fed assuming a marginally more hawkish stance, putting upward pressure on long term rates.

Inflation remained elevated as unrelenting demand butted heads with strained supply chains. Delta variant cases remained top of mind as well, though the consensus appeared to be the wave of new infections would not be

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have endured more valiantly, though they have also not been completely immune from the volatility.

For the period, small-mid cap stocks lagged larger cap peers. The Russell 2500 Index declined by 11.62% compared to the Russell 1000 Index decline of 2.71%. Value indexes fared better than their growth counterparts, with the Russell 2500 Value and Growth Indexes returning -3.81% and -22.80%, respectively. On a sector basis, energy was far and away the best performer as a result of surging oil prices, returning over 88% in a down market. Health care, consumer discretionary, and technology were laggards due to a combination of underlying business model maturity and concerns about profitability, inflation, and recession. During this period, the most growth-oriented and speculative areas of the market (biotechnology, specialty retail, and software) were among the weakest groups, while more cyclical and defensive areas (energy and utilities) were strongest.

The Fund was passively managed and generally performed in line with its benchmark index, the Russell Small Cap Completeness Index.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

SEI Institutional Investments Trust / Annual Report / May 31, 2022

I. Objective

The Small Cap Fund (the “Fund”) seeks capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Axiom Investors LLC (Axiom), EAM Investors, LLC (EAM), Los Angeles Capital Management LLC (LA Capital), LSV Asset Management (LSV) and Martingale Asset Management, L.P. (Martingale). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -9.62%. The Fund’s benchmark, the Russell 2000^® Index—which is used to measure the activity of the U.S. small-cap equity market—returned -16.92%.

IV. Fund Attribution

For the trailing year ending May 31, 2022, the name of the game was inflation. From the Federal Reserve’s (Fed) now debunked assertion higher prices would be “transitory,” to record high accelerations in the consumer price index (CPI), supply chain woes, and finally the unprovoked invasion of Ukraine by Russia—which sent commodities prices skyrocketing—markets have largely traded in response to this central theme. This has led to elevated volatility and the broad selling off of equities for much of 2022 year to date.

In June 2021, the Fed indicated a willingness to potentially raise rates earlier than expected in order to combat inflation, but then quickly walked back these statements. This caused a reaction in markets that dramatically shifted investor preferences away from value and towards lower quality, more speculative growth stocks.

In the third quarter of 2021, the market took a bit of a breather in what can best be described as a risk off environment. Most major indices sold off in September, with large caps finishing just positive but small caps declining for the first quarter since the beginning of 2020. This was spurred on by the Chinese real estate giant Evergrande facing a debt default crisis that shook U.S. markets and the Fed assuming a marginally more hawkish stance, putting upward pressure on long term rates.

Inflation remained elevated as unrelenting demand butted heads with strained supply chains. Delta variant cases remained top of mind as well, though the consensus appeared to be the wave of new infections would not be

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probability of the U.S. entering a recession has modestly ticked up. Much will depend upon the Fed’s ability to engineer a ‘soft landing’.

For the period, small cap stocks lagged larger cap peers. The Russell 2000^® Index declined by 16.92% compared to a 2.71% decline for the Russell 1000 Index. Value indexes fared better than their growth counterparts with the Russell 2000 Value and Growth Indexes returning -7.67% and -25.71%, respectively. On a sector basis, energy was far and away the best performer as a result of surging oil prices, returning over 88% in a down market. Health care, consumer discretionary, and technology were laggards due to a combination of underlying business model maturity and concerns about profitability, inflation, and recession.

The value style tailwind greatly aided the Fund, which significantly outperformed the Russell 2000 Index for the period. The Fund’s higher quality exposure was also a tailwind, as was its persistent underweight to lower quality constituents of the small cap universe. At the sector level, selection in health care, technology, and consumer discretionary were the top contributors to excess return. A modest underweight to energy detracted given the sector’s runaway performance, but this was outpaced by a positive contribution from an underweight in health care. Overall, sector allocation was moderately positive.

At the subadvisor level, four of the fund’s five managers outperformed the fund benchmark. LSV was the top contributor on strong value tailwinds. Martingale was next, benefitting from low volatility’s resurgence amidst the dramatic market selloff and low quality’s underperformance. LA Capital overcame small cap (microcap) headwinds to moderately contribute, thanks in part to a moderate quality bias. Axiom was able to overcome incredibly steep growth headwinds to make a modest contribution, partially because earnings revisions have continued to outperform in this environment. EAM slightly detracted from excess return, but was also able to negate growth headwinds by shifting its portfolio rapidly and dramatically into outperforming sectors like energy in the first quarter of 2022.

The Fund remains overweight Value and Quality, and will marginally continue to build a position in Quality as a buffer against volatility at this point in the cycle.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

SEI Institutional Investments Trust / Annual Report / May 31, 2022

I. Objective

The Small Cap II Fund (the ”Fund”) seeks capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: ArrowMark Colorado Holdings, LLC (ArrowMark), Copeland Capital Management, LLC (Copeland), EAM Investors, LLC (EAM), Easterly Investment Partners LLC, Leeward Investments, LLC (Leeward), and Los Angeles Capital Management, LLC (LA Capital). There were no sub-advisor changes during the fiscal period. During the period, the LMCG Investments, LLC’s Small Cap Value investment team completed a spin-out to an independent employee owned firm, Leeward Investments, LLC.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -11.14%. The Fund’s primary benchmark, the Russell 2000 Index^®—which is used to measure the activity of the U.S. small-cap equity market—returned -16.92%.

IV. Fund Attribution

For the trailing year ending May 31, 2022, the name of the game was inflation. From the Federal Reserve’s (Fed) now debunked assertion higher prices would be “transitory,” to record high accelerations in the consumer price index (CPI), supply chain woes, and finally the unprovoked invasion of Ukraine by Russia—which sent commodities prices skyrocketing—markets have largely traded in response to this central theme. This has led to elevated volatility and the broad selling off of equities for much of 2022 year to date.

In June 2021, the Fed indicated a willingness to potentially raise rates earlier than expected in order to combat inflation, but then quickly walked back these statements. This caused a reaction in markets that dramatically shifted investor preferences away from value and towards lower quality, more speculative growth stocks.

In the third quarter of 2021, the market took a bit of a breather in what can best be described as a risk off environment. Most major indices sold off in September, with large caps finishing just positive but small caps declining for the first quarter since the beginning of 2020. This was spurred on by the Chinese real estate giant

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sent them into a tailspin. Mega cap tech names, long duration assets, and lower quality companies in small cap have all taken the brunt of the selloff, declining most dramatically, and creating a tailwind for active management. Value stocks have endured more valiantly, though they have also not been completely immune from the volatility. As the market enters bear territory, the probability of the U.S. entering a recession has modestly ticked up. Much will depend upon the Fed’s ability to engineer a ‘soft landing’.

For the period, small cap stocks lagged larger cap peers. The Russell 2000 Index declined by 16.92% compared to a 2.71% decline for the Russell 1000 Index. Value indexes fared better than their growth counterparts with the Russell 2000 Value and Growth Indexes returning -7.67% and -25.71%, respectively. On a sector basis, energy was far and away the best performer as a result of surging oil prices, returning over 88% in a down market. Health care, consumer discretionary, and technology were laggards due to a combination of underlying business model maturity and concerns about profitability, inflation, and recession.

The value style tailwind greatly aided the Fund, which significantly outperformed the Russell 2000 Index for the period. The Fund’s higher quality exposure was also a tailwind, as was its persistent underweight to lower quality constituents of the small cap universe. At the sector level, an underweight to health care—namely biotechnology—was the largest contributor to excess return. Selection in technology also meaningfully contributed.

At the subadvisor level, four of the fund’s six managers outperformed the Fund benchmark. Leeward was the top contributor to excess return, benefitting both from stable value and quality/low volatility biases. Copeland was the next best manager, similarly benefitting from its pure implementation of the quality alpha source. Snow contributed on value tailwinds, though not as significantly, as cyclical value was not quite as strong as stable value over this period. Finally LA Capital overcame small cap headwinds (being a microcap strategy) and benefitted from quality exposure as well. EAM and ArrowMark moderately detracted from excess return, partially due to the significant growth headwinds over the trailing twelve months. EAM was able to navigate these marginally better, shifting its portfolio dramatically into outperforming sectors like Energy in the first quarter of 2022.

The Fund remained overweight value and quality, and will marginally continue to build a position in quality as a buffer against volatility at this point in the cycle.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

SEI Institutional Investments Trust / Annual Report / May 31, 2022

I. “Objective

The Small/Mid Cap Equity Fund (the “Fund”) seeks long-term capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: ArrowMark Colorado Holdings, LLC (ArrowMark), Axiom Investors, LLC (Axiom), Cardinal Capital Management, LLC (Cardinal), Copeland Capital Management, LLC (Copeland), Jackson Creek Investment Advisors (Jackson Creek) and LSV Asset Management (LSV). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -6.47%. The Fund’s primary benchmark, the Russell 2500^® Index—which measures the performance of the small- to mid-cap segment of the U.S. equity universe—returned -11.62%.

IV. Fund Attribution

For the trailing year ending May 31, 2022, the name of the game was inflation. From the Federal Reserve’s (Fed) now debunked assertion higher prices would be “transitory,” to record high accelerations in the consumer price index (CPI), supply chain woes, and finally the unprovoked invasion of Ukraine by Russia—which sent commodities prices skyrocketing—markets have largely traded in response to this central theme. This has led to elevated volatility and the broad selling off of equities for much of 2022 year to date.

In June 2021, the Fed indicated a willingness to potentially raise rates earlier than expected in order to combat inflation, but then quickly walked back these statements. This caused a reaction in markets that dramatically shifted investor preferences away from value and towards lower quality, more speculative growth stocks.

In the third quarter of 2021, the market took a bit of a breather in what can best be described as a risk off environment. Most major indices sold off in September, with large caps finishing just positive but small caps declining for the first quarter since the beginning of 2020. This was spurred on by the Chinese real estate giant Evergrande facing a debt default crisis that shook U.S. markets and the Fed assuming a marginally more hawkish stance, putting upward pressure on long term rates.

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small cap have all taken the brunt of the selloff, declining most dramatically, and creating a tailwind for active management. Value stocks have endured more valiantly, though they have also not been completely immune from the volatility.

For the period, small-mid cap stocks lagged larger cap peers. The Russell 2500^® Index declined by 11.62% compared to the Russell 1000 Index decline of 2.71%. Value indexes fared better than their growth counterparts, with the Russell 2500 Value and Growth Indexes returning -3.81% and -22.80%, respectively. On a sector basis, energy was far and away the best performer as a result of surging oil prices, returning over 88% in a down market. Health care, consumer discretionary, and technology were laggards due to a combination of underlying business model maturity and concerns about profitability, inflation, and recession. During this period, the most growth-oriented and speculative areas of the market (biotechnology, specialty retail, and software) were among the weakest groups, while more cyclical and defensive areas (energy and utilities) were strongest.

The Fund outperformed its benchmark during the 12 month period. The most growth-oriented and speculative areas of the market (biotechnology, specialty retail, and software) were among the weakest groups, while more cyclical and defensive areas (energy and utilities) were strongest. The Fund benefitted from its value posture and underweight to the lowest quality stocks. This was reflected in tailwinds to its underweights to biotechnology and software. An overweight to specialty retail and underweight to energy were headwinds, however.

ArrowMark and Axiom were the largest detractors, due in part to their inherent growth biases and the associated sector positioning (overweight to health care and underweight to energy). Weak stock selection in consumer discretionary also weighed on ArrowMark’s results, while weak selection in financials was a drag for Axiom.

LSV and Copeland were the greatest contributors. LSV benefitted from its inherent value bias, while the defensive nature of Copeland’s quality oriented approach shone through as uncertainty entered the markets. Jackson Creek and Cardinal also contributed to the Fund’s outperformance of its benchmark.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

SEI Institutional Investments Trust / Annual Report / May 31, 2022

I. Objective

The U.S. Equity Factor Allocation Fund (the “Fund”) seeks the long-term growth of capital and income.

II. Multi-Manager Approach Statement

The Fund is directly managed by SEI Investments Management Corporation (SIMC). There were no manager changes made during the fiscal period. SIMC will invest directly in equity securities utilizing a quantitative style of investing which uses a model-based approach to facilitate investment decisions. The quantitative method used by the Fund categorizes and selects securities based on specific characteristics (factors) determined by the Investment Advisor. Such factors may include security characteristics such as volatility, value, size or share price performance. The Investment Advisor uses its judgment and model-based systems to assess the factors used and to determine the weights allotted to those factors in portfolio construction. Based on market opportunities, and at its discretion, the Investment Advisor may tilt the Fund’s factor exposures by changing its allocation to the factors. The Investment Advisor may add, remove or modify certain factors in its model depending on investment research or market conditions.

III. Return vs. Benchmark

For the one-year period ending May 31, 2022, the Fund’s Class A shares returned 0.10%. The Fund’s primary benchmark, the Russell 3000 Index^®—which represents approximately 98% of the investable U.S. equity market and measures the equity performance of the 3000 largest U.S. companies—returned -3.68%.

IV. Fund Attribution

Rising interest rates, inflation and the Russian invasion of Ukraine dominated investors' attentions over the course of the last twelve months, as noted in the shareholder letter. After demonstrating its willingness to tolerate above-target inflation on a “transitory” basis, the Federal Reserve turned significantly more hawkish, resulting in a sharp rise in interest rates to combat persistently elevated inflation. Rising interest rates together with substantial increases in commodity and energy prices contributed to the outperformance of value. Momentum and Quality factor families were hurt by exposure to longer duration and rising input costs hurting profit margins. Low volatility provided strong downside protection as major equity indices sold off, and outperformed overall in spite of headwinds from under-weighting the volatile energy sector.

The Fund outperformed its benchmark during the fiscal year. Notably, value was defensive and outperformed

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I. Objective

The U.S. Managed Volatility Fund (the Fund) seeks capital appreciation with less volatility than the broad U.S. equity markets.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: LSV Asset Management (LSV) and Allspring Global Investments (Allspring). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one-year period ending May 31, 2022, the Fund’s Class A shares returned 4.71%. The Fund’s primary benchmark—the Russell 3000 Index—which represents approximately 98% of the investable U.S. equity market and measures the equity performance of the 3000 largest U.S. companies—returned -3.68%.

IV. Fund Attribution

The 12 months ending May 31, 2022 were favorable for low-volatility investing as the global economy turned volatile in the latter part of the 2021, which persisted into the New Year. Several factors came together to trigger a market selloff. The emergence of a new COVID-19 variant in the fourth quarter of 2021 dampened earlier optimism about the economic reopening. Risk aversion continued to increase as the December Federal Reserve meeting indicated a strong posture toward raising rates in 2022 in response to rising inflation, further fueling market action and leading to a sharp rotation out of leading growth stocks. Markets ultimately fell sharply in the first quarter of 2022 as geopolitical tensions between Russia and Ukraine deteriorated into war, as noted in the shareholder letter.

The Fund posted positive total returns in a difficult environment for global equities and delivered a meaningful risk reduction (as measured by the standard deviation of its daily returns) compared to its benchmark. Low-volatility strategies run a below-market beta of approximately .70, and by design can be expected to outperform capitalization-weighted benchmarks during market declines. Low-volatility stocks in general outperformed riskier stocks over the period. Defensive sectors such as consumer staples and utilities provided protection while volatile discretionary and technology sectors led the markets lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2022

Comparison of Change in the Value of a $100,000 Investment in the U.S. Managed Volatility Fund, Class A, versus the Russell 3000^® Index and the 75/25 Blended Benchmark of the MSCI USA Minimum Volatility Index and the Russell 3000^® Value Index ("Secondary Benchmark")

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I. Objective

The Global Managed Volatility Fund (the “Fund”) seeks capital appreciation with less volatility than the broad global equity markets.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Acadian Asset Management LLC (Acadian), LSV Asset Management (LSV) and Allspring Global Investments (Allspring), formerly Wells Capital Management, Inc. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned 4.25%. The Fund’s primary benchmark, the MSCI World Index (Net)—a capitalization-weighted index that is designed to measure the equity market performance of developed markets—returned -4.82%.

IV. Fund Attribution

The 12 months ending May 31, 2022 were favorable for low-volatility investing as the global economy turned volatile in the latter part of the 2021, which persisted into the New Year. Several factors came together to trigger a market selloff. The emergence of a new COVID-19 variant in the fourth quarter of 2021 dampened earlier optimism about the economic reopening. Risk aversion continued to increase as the December Federal Reserve meeting indicated a strong posture toward raising rates in 2022 in response to rising inflation, further fueling market action and leading to a sharp rotation out of leading growth stocks. Markets ultimately fell sharply in the first quarter of 2022 as geopolitical tensions between Russia and Ukraine deteriorated into war, as noted in the shareholder letter.

The Fund posted positive total returns in a difficult environment for global equities and delivered a meaningful risk reduction (as measured by the standard deviation of its daily returns) compared to its benchmark. Low-volatility strategies run a below-market beta of approximately .70, and by design can be expected to outperform capitalization-weighted benchmarks during market declines. Low-volatility stocks in general outperformed riskier stocks over the period. Defensive sectors such as consumer staples and utilities provided protection while volatile discretionary and technology sectors led the markets lower.

SEI Institutional Investments Trust / Annual Report / May 31, 2022

Comparison of Change in the Value of a $100,000 Investment in the Global Managed Volatility Fund, Class A, versus the MSCI World Index (Net) and MSCI World Minimum Volatility Index (Net)

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I. Objective

The objective of the World Equity Ex-US Fund (the “Fund”) is to provide capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Acadian Asset Management LLC (Acadian), AllianceBernstein L.P. (AllianceBernstein), Delaware Investments Fund Advisers, a series of Macquarie Investment Management Business Trust (Macquarie), JOHCM (USA) Inc. (JO Hambro), Lazard Asset Management LLC (Lazard), McKinley Capital Management, LLC (McKinley), and Allspring Global Investments (Allspring). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -12.53%. The Fund’s primary benchmark—the MSCI All Country World Ex-U.S. Net—returned -12.41%.

IV. Fund Attribution

Global equity markets posted negative returns over the last 12 months, with most of the decline coming this year. The global markets and economies generally continued strengthening in the second half of 2021 from the COVID-19 induced recession in 2020. However, markets became volatile in January 2022 and have been on a downward trend thereafter. There have been several major factors causing the market’s weakness: oil prices have been on a strong upward ascent, with WTI starting the year at $76 and reaching $114 on May 31—a 50% increase in five months. Inflationary pressures haven’t just been contained to energy. U.S. and global inflation has been broad-based, affecting other commodities, food prices, housing, and services. Interest rates have also sharply increased, with the 10-year U.S. government bond beginning the year at 1.79% and ending at 2.83%. The Federal Reserve, along with other central banks, has also become more hawkish and promised to raise short-term rates quickly to fight off inflation. The rise in rates has especially hurt long duration U.S. growth stocks, with the Russell 1000 Growth Index down -21.9% while the Russell 1000 Value Index is down just -4.5% this year. Finally, the Russia/Ukraine conflict that erupted in February added more fuel to the fire, as noted in the shareholder letter. This created a larger challenge for energy

SEI Institutional Investments Trust / Annual Report / May 31, 2022

margin in 2022. These two managers carry the highest weights in the Fund due to our preference for value, as dispersions are still wide (though off last year’s highs).

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

Comparison of Change in the Value of a $100,000 Investment in the World Equity Ex-US Fund, Class A, versus the MSCI All Country World Ex-US Net Index

26

I. Objective

The Screened World Equity Ex-US Fund (the “Fund”) seeks capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Acadian Asset Management LLC (Acadian), Lazard Asset Management LLC (Lazard), McKinley Capital Management, LLC (McKinley), and Allspring Global Investments (Allspring). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -10.99%. The Fund’s primary benchmark—the MSCI ACWI ex-USA (Net) returned -12.41%.

IV. Fund Attribution

Global equity markets posted negative returns over the last 12 months, with most of the decline coming this year. The global markets and economies generally continued strengthening in the second half of 2021 from the COVID-19 induced recession in 2020. However, markets became volatile in January 2022 and have been on a downward trend thereafter. There have been several major factors causing the market’s weakness: oil prices have been on a strong upward ascent, with WTI starting the year at $76 and reaching $114 on May 31—a 50% increase in five months. Inflationary pressures haven’t just been contained to energy. U.S. and global inflation has been broad-based, affecting other commodities, food prices, housing, and services. Interest rates have also sharply increased, with the 10-year U.S. government bond beginning the year at 1.79% and ending at 2.83%. The Federal Reserve, along with other central banks, has also become more hawkish and promised to raise short-term rates quickly to fight off inflation. The rise in rates has especially hurt long duration U.S. growth stocks, with the Russell 1000 Growth Index down -21.9% while the Russell 1000 Value Index is down just -4.5% this year. Finally, the Russia/Ukraine conflict that erupted in February added more fuel to the fire, as noted in the shareholder letter. This created a larger challenge for energy and food prices given Russia’s significant supply to global markets in terms of oil, gas, wheat, and other raw materials.

Because of the war, most European equity markets have been the worst performers globally over the last year, with double-digit declines in Germany, France, and Italy. China

SEI Institutional Investments Trust / Annual Report / May 31, 2022

Comparison of Change in the Value of a $100,000 Investment in the Screened World Ex-US Equity Fund, Class A, versus the MSCI All Country World Ex-US Net Index

28

I. Objective

The objective of the World Select Equity Fund (the “Fund”) is to provide capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: AS Trigon Asset Management, Fiera Capital Inc. (Fiera), Fondmaeglerselskabet Maj Invest A/S (Maj Invest), INTECH Investment Management LLC (INTECH), LSV Asset Management (LSV), Mackenzie Investments Corporation, Metropole Gestion SA, Poplar Forest Capital LLC (Poplar Forest), Rhicon Currency Management Pte Ltd (Rhicon), Sompo Japan Nipponkoa Asset Management Co., Ltd., and Towle & Co (Towle). SIMC also directly manages a portion of the Fund’s assets. No sub-advisor changes were made during the fiscal year.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -4.12%. The Fund’s primary benchmark, the MSCI All Country World Net Index—a capitalization-weighted index that measures the equity performance of large- and mid-cap securities in developed and emerging markets—returned -6.78%.

IV. Fund Attribution

High inflation, rising interest rates and sky-high energy prices were the key themes of the past year. The pandemic continued to influence global economic activity. The Omicron variant prompted governments to re-impose some COVID-19 restrictions and caused further supply chain disruptions, while market participants started to realize that inflation was proving to be “stickier” than anticipated. Russia’s invasion of Ukraine in late February aggravated the economic difficulties presented by the pandemic—as noted in the shareholder letter—with rapidly rising energy and commodity prices contributing to a further surge in inflation and mounting recessionary fears.

The Federal Reserve has responded to rapidly rising price levels with an accelerated pace of tapering efforts, raising the federal funds rate to a range of 1.5% to 1.75% in the most aggressive series of actions in more than twenty years. Global equities ended the 12-month period in correction territory, falling sharply since the start of the year. Emerging markets were further derailed by China weakness associated with regulatory crackdown on the largest

SEI Institutional Investments Trust / Annual Report / May 31, 2022

defensive-oriented portfolio providing diversification in a period of market stress. The manager’s secondary exposure to value and diversity objectives helped to navigate the rotation out of growth names and further fostered performance. Finally, the contribution of momentum managers was neutral in the shifting market environment. SIMC performed in line with expectations, ending the period ahead of the benchmark commensurate with underlying alpha sources globally.

Any frictional cash positions in the portfolio were equitized through index futures to be fully invested in the market at all times.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

Comparison of Change in the Value of a $100,000 Investment in the World Select Equity Fund, Class A, versus the MSCI All Country World Net Index

30

I. Objective

The Emerging Markets Equity Fund (the “Fund”) seeks to provide capital appreciation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Causeway Capital Management LLC (Causeway), JOHCM (USA) Inc. (JO Hambro), KBI Global Investors (North America) Ltd. (KBI), Robeco Asset Management (Robeco), RWC Asset Advisers (US) LLC (RWC) and WCM Investment Management (WCM). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the full year ending May 31, 2022, the Fund’s Class A shares returned -13.17%. The Fund’s primary benchmark—the MSCI Emerging + Frontier Markets Index (Net)—returned -19.73%.

IV. Fund Attribution

During the fiscal period, emerging markets fell as slowing growth in China and Russia’s invasion of Ukraine weighed on markets. In China, concerns over a slowing real estate market and fears of a wave of defaults added to existing fears of government regulation, causing the slide in Chinese equities from earlier in the year to continue. Brazilian equities were another area of weakness as COVID-19 concerns and political turmoil weighed on investors. Equity markets continued to fall in the fourth quarter, with only a few countries posting positive gains. Global supply chains already plagued with COVID-19 disruptions took another hit in the first quarter of 2022 when Russia began its invasion of Ukraine—as noted in the shareholder letter—sending shockwaves through markets. Western sanctions designed to punish Russia for its actions and Russia’s retaliatory measures heavily disrupted commodity exports out of both Russia and Ukraine, sending prices of commodities higher. Gulf Coast countries alongside Latin American exporters benefitted from rising commodity prices, while Eastern Europe saw disruptions from its proximity to the conflict. Asian countries also underperformed in 2022. Chinese equities continued their underperformance as the Omicron variant forced shutdowns in major Chinese cities, while Taiwanese technology stocks derated from rising interest rates brought on by the U.S. Federal Reserve. Indian equities underperformed less, but still saw losses as valuations peaked and markets pulled back. Frontier markets

SEI Institutional Investments Trust / Annual Report / May 31, 2022

losses as higher interest rates became headwinds towards the manager’s long duration holdings.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Equity Fund, Class A, versus the MSCI Emerging + Frontier Markets Index (Net)

32

I. Objective

The Opportunistic Income Fund (the “Fund”) seeks capital appreciation and income.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Ares Capital Management II LLC (Ares), Manulife Investment Management (US) LLC (Manulife), and Wellington Management Company, LLP (Wellington). During the period, Schroder Investment Management North America Inc. (Schroder) was removed from the lineup.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -0.97%. The Fund’s benchmark, the ICE BofA USD 3-Month Deposit Offered Rate Constant Maturity Index—which measures the return on U.S. dollar deposits with a three-month maturity—returned 0.06%.

IV. Fund Attribution

During the first half of the fiscal period risk assets were supported by accommodative monetary policy and the reopening of the U.S. economy. At the onset of the pandemic in March of 2020, the Federal Reserve (Fed) slashed the target range on the fed funds rate and kept the range near zero through 2021, supporting non-Treasury sectors. Risk assets were further supported by the re-opening of the U.S. economy as vaccination rates increased, which led to an increase in demand and consumer spending given the elevated household savings accumulated during the pandemic. While the economy reopened, global supply chain constraints persisted along with increasing demand, and record stimulus combined to spur the highest inflationary pressures since the 1970s. Initially viewed as transitory, inflation proved to be persistent and broad based. As a result, the Fed began by tapering asset purchases during the fourth quarter of 2021 and ultimately concluded its asset purchase program in March 2022, then announced the beginning of balance sheet reduction commencing in June 2022. Russia’s invasion of Ukraine exacerbated inflationary pressures, raising energy prices and food items such as wheat globally. At its meeting in March 2020, the Fed raised the target range of the fed funds rate by 25 basis points (bps). As inflation persisted and the conflict in Ukraine continued, concerns over the Fed’s ability to engineer a soft landing heightened

SEI Institutional Investments Trust / Annual Report / May 31, 2022

to non-agency MBS and CMBS detracted from performance relative to LIBOR.

The Fund used Treasury futures and to-be-announced (TBA) forward contracts to manage duration, yield-curve and market exposures. (TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBS—Fannie Mae, Freddie Mac and Ginnie Mae.) None of these had a meaningful impact on the Fund’s performance.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

34

I. Objective

The Core Fixed Income Fund (the “Fund”) seeks current income consistent with the preservation of capital.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Jennison Associates LLC (Jennison), MetLife Investment Management, LLC (MetLife), Metropolitan West Asset Management LLC (MetWest), Allspring Global Investments (Allspring), Western Asset Management Company (Western) and Western Asset Management Company Limited. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -8.52%. The Fund’s primary benchmark, the Bloomberg US Aggregate Bond Index—a capitalization-weighted index that measures the performance of intermediate-term investment-grade bonds in the U.S.—returned -8.22%.

IV. Fund Attribution

During the first half of the fiscal period risk assets were supported by accommodative monetary policy and the reopening of the U.S. economy. At the onset of the pandemic in March of 2020, the Federal Reserve (Fed) slashed the target range on the fed funds rate and kept the range near zero through 2021, supporting non-Treasury sectors. Risk assets were further supported by the re-opening of the U.S. economy as vaccination rates increased, which led to an increase in demand and consumer spending given the elevated household savings accumulated during the pandemic. While the economy reopened, global supply chain constraints persisted along with increasing demand, and record stimulus combined to spur the highest inflationary pressures since the 1970s. Initially viewed as transitory, inflation proved to be persistent and broad based. As a result, the Fed began by tapering asset purchases during the fourth quarter of 2021 and ultimately concluded its asset purchase program in March 2022, then announced the beginning of balance sheet reduction commencing in June 2022. Russia’s invasion of Ukraine exacerbated inflationary pressures, raising energy prices and food items such as wheat globally. At its meeting in March 2020, the Fed raised the target range of the fed funds rate by 25 basis points (bps). As inflation

SEI Institutional Investments Trust / Annual Report / May 31, 2022

was positive for the year as the Fund shifted from underweight to overweight while security selection within the sector benefitted as managers invested in specified pools relative to TBA.

MetLife, Allspring, and MetWest performed in line with the benchmark during the fiscal year while Jennison and Western underperformed. MetLife was the best-performing manager and benefited from security selection within agency MBS, CMBS as well as a slightly short duration posture. Its overweight credit position detracted and security selection within industrials and financials detracted from returns. Metwest benefitted from a slightly shorter duration posture and then shifted to a modestly long duration posture near the end of the period as rate hikes increasingly became priced in to yields. Selection within industrials and an overweight to financials detracted. Allspring benefitted from selection within ABS and financials while an overweight to the sector detracted. Selection within agency MBS also detracted. Jennison’s conservative selection within corporate subsectors and securitized ABS and CMBS benefitted while curve positioning detracted as Jennison was overweight five- and seven-year yields. Western’s underperformance was driven in large part by a long duration posture as yields rose across the curve and an overweight to corporate credit. Selection within agency MBS added.

The Fund utilized U.S. Treasury futures and interest-rate swaps to assist in managing the duration and yield positioning of the Fund. Currency forward contracts were used to manage currency exposures within the Fund. The Treasury futures and interest-rate swap positions had limited impact on performance since they were primarily used for risk management purposes. Selection within currency forward positions were a modest positive for the period.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

36

I. Objective

The High Yield Bond Fund (the “Fund”) seeks total return.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Ares Capital Management II, LLC (Ares), Benefit Street Partners, LLC (Benefit), Brigade Capital Management, LP (Brigade), JP Morgan Investment Management, Inc. (JP Morgan) and T. Rowe Price Associates, Inc. (T. Rowe). SIMC also directly manages a portion of the Fund. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the full year ended May 31, 2022, the Fund’s Class A shares returned -3.09%. The Fund’s benchmark, the ICE BofA US High Yield Constrained Index—which tracks the performance of below-investment grade, U.S. dollar-denominated corporate bonds publicly issued in the U.S. domestic market—returned -5.00%.

IV. Fund Attribution

The Fund outperformed its benchmark during the fiscal year.

The Fund’s longstanding overweight to structured credit, managed by SIMC, materially outperformed the broader high yield market over the 12-month period ending May 31, 2022. Collateralized loan obligations (CLO) benefitted from a strong fundamental environment for their underlying loans as evidenced by a trailing 12-month default rate that was near a historical low. Loan default rates reached a 10-year high of over 4% at the end of 2020, but have been on a downward trajectory ever since. Other metrics of financial health, such as debt/ebitda, interest coverage, and cash/debt were also at very healthy levels. The Fund’s structured credit exposure is heavily concentrated in CLO equity, which benefits most from these favorable conditions, though our positive fundamental economic outlook has moderated a bit recently given persistently high inflation and geopolitical conflict, as noted in the shareholder letter. We still believe that loans and CLOs, with their floating rate coupons, are among the most compelling asset classes in the fixed income universe, particularly as the Federal Reserve has begun to hike interest rates.

The Fund’s selection within basic industry also benefited performance. The chemicals subsector was a primary

SEI Institutional Investments Trust / Annual Report / May 31, 2022

Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A, versus the ICE BofA U.S. High Yield Constrained Index

38

I. Objective

The Long Duration Fund (the “Fund”) seeks return characteristics similar to those of high- quality bonds.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Income Research & Management (Income Research), Jennison Associates LLC (Jennison), Legal & General Investment Management America Inc. (Legal & General) and Metropolitan West Asset Management LLC (MetWest). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ended May 31, 2022, the Fund’s Class A shares returned -14.66%. The Fund’s primary benchmark, the Bloomberg U.S. Long Government/Credit Index—which measures the performance of medium and larger public issues of U.S. Treasury, agency, investment-grade corporate, and investment-grade international dollar-denominated bonds with maturities longer than 10 years—returned -14.77%.

IV. Fund Attribution

During the first half of the fiscal period risk assets were supported by accommodative monetary policy and the reopening of the U.S. economy. At the onset of the pandemic in March of 2020, the Federal Reserve (Fed) slashed the target range on the fed funds rate and kept the range near zero through 2021, supporting non-Treasury sectors. Risk assets were further supported by the re-opening of the U.S. economy as vaccination rates increased, which led to an increase in demand and consumer spending given the elevated household savings accumulated during the pandemic. While the economy reopened, global supply chain constraints persisted along with increasing demand, and record stimulus combined to spur the highest inflationary pressures since the 1970s. Initially viewed as transitory, inflation proved to be persistent and broad based. As a result, the Fed began by tapering asset purchases during the fourth quarter of 2021 and ultimately concluded its asset purchase program in March 2022, then announced the beginning of balance sheet reduction commencing in June 2022. Russia’s invasion of Ukraine exacerbated inflationary pressures, raising energy prices and food items such as wheat globally. At its meeting in March 2020, the Fed raised the target range

SEI Institutional Investments Trust / Annual Report / May 31, 2022

and was supported by its underweight to industrials as well as selection within utilities. An underweight to U.S. Treasurys detracted. Income Research’s underweight to non-corporates added while an underweight to Treasurys detracted. Legal & General’s selection within utilities and overweight to Treasurys detracted. Jennison underperformed for the period in large part due to its underweight to Treasurys and overweight to corporate subsectors.

The Fund used derivatives on a limited basis. Treasury futures were employed to help manage the risk associated with interest-rate and yield-curve positioning. These had no material impact on performance.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

40

I. Objective

The Long Duration Credit Fund (the “Fund”) seeks return characteristics similar to those of high-quality bonds.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Income Research & Management (Income Research), Jennison Associates LLC (Jennison), Legal & General Investment Management America Inc. (Legal & General), MetLife Investment Management, LLC, (MetLife), and Metropolitan West Asset Management LLC (MetWest). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the full year ended May 31, 2022, the Fund’s Class A shares returned -14.73%. The Fund’s benchmark, the Bloomberg Long A+ U.S. Credit Index—which measures the performance of long-term corporate bonds with a credit rating of A or better—returned -15.04%.

IV. Fund Attribution

During the first half of the fiscal period risk assets were supported by accommodative monetary policy and the reopening of the U.S. economy. At the onset of the pandemic in March of 2020, the Federal Reserve (Fed) slashed the target range on the fed funds rate and kept the range near zero through 2021, supporting non-Treasury sectors. Risk assets were further supported by the re-opening of the U.S. economy as vaccination rates increased, which led to an increase in demand and consumer spending given the elevated household savings accumulated during the pandemic. While the economy reopened, global supply chain constraints persisted along with increasing demand, and record stimulus combined to spur the highest inflationary pressures since the 1970s. Initially viewed as transitory, inflation proved to be persistent and broad based. As a result, the Fed began by tapering asset purchases during the fourth quarter of 2021 and ultimately concluded its asset purchase program in March 2022, then announced the beginning of balance sheet reduction commencing in June 2022. Russia’s invasion of Ukraine exacerbated inflationary pressures, raising energy prices and food items such as wheat globally. At its meeting in March 2020, the Fed raised the target range of the fed funds rate by 25 basis points (bps). As inflation persisted and the conflict in Ukraine continued, concerns

SEI Institutional Investments Trust / Annual Report / May 31, 2022

allocation to U.S. Treasurys while an allocation to BBB rated securities detracted. An underweight and selection within taxable munis added as well. MetWest’s allocation to Treasurys aided outperformance as did a slight underweight to utilities, while an allocation to BBBs and underweight within industrials detracted. Legal & General benefited from selection within taxable munis and an allocation to Treasurys while selection within industrials detracted. Jennison benefited from a defensive credit positioning and selection within utilities as spreads widened. An underweight to industrials detracted. Income Research’s allocation to Treasurys added while selection within industrials detracted.

Derivatives were used on a limited basis. Treasury futures were employed to help manage the risk associated with interest-rate and yield-curve positioning. These had a no material impact on performance.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

42

I. Objective

The Ultra Short Duration Bond Fund (the “Fund”) seeks to provide higher current income than that typically offered by a money market fund while maintaining a high degree of liquidity and a correspondingly higher risk of principal volatility.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: MetLife Investment Management, LLC, (MetLife), and Wellington Management Company, LLP (Wellington). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ended May 31, 2022, the Fund’s Class A shares returned -1.22%. The Fund’s primary benchmark, the Bloomberg Short US Treasury 9-12 Month Index—which tracks the performance of U.S. Treasury securities that have a remaining maturity between 9 and 12 months—returned -0.63%.

IV. Fund Attribution

During the first half of the fiscal period risk assets were supported by accommodative monetary policy and the reopening of the U.S. economy. At the onset of the pandemic in March of 2020, the Federal Reserve (Fed) slashed the target range on the fed funds rate and kept the range near zero through 2021, supporting non-Treasury sectors. Risk assets were further supported by the re-opening of the U.S. economy as vaccination rates increased, which led to an increase in demand and consumer spending given the elevated household savings accumulated during the pandemic. While the economy reopened, global supply chain constraints persisted along with increasing demand, and record stimulus combined to spur the highest inflationary pressures since the 1970s. Initially viewed as transitory, inflation proved to be persistent and broad based. As a result, the Fed began by tapering asset purchases during the fourth quarter of 2021 and ultimately concluded its asset purchase program in March 2022, then announced the beginning of balance sheet reduction commencing in June 2022. Russia’s invasion of Ukraine exacerbated inflationary pressures, raising energy prices and food items such as wheat globally. At its meeting in March 2020, the Fed raised the target range of the fed funds rate by 25 basis points (bps). As inflation

SEI Institutional Investments Trust / Annual Report / May 31, 2022

posture for much of the year added while an allocation to CMBS detracted.

Both sub-advisors contributed to the Fund’s relative underperformance. MetLife’s selection with ABS detracted from performance, as did allocations to corporate credit, while an overweight to AAA collateralized loan obligations was additive. A short duration posture added as well. Wellington’s allocations to non-agency MBS and corporates detracted.

The Fund used Treasury futures to manage duration, yield-curve and market exposures. None of these had a meaningful impact on the Fund’s performance.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

44

I. Objective

The Emerging Markets Debt Fund (the “Fund”) seeks to maximize total return.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Colchester Global Investors Limited (Colchester), Marathon Asset Management, L.P. (Marathon), Neuberger Berman Investment Advisers LLC (Neuberger), Ninety One UK Ltd. (Ninety One) and Stone Harbor Investment Partners LP (Stone Harbor). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the full year ended May 31, 2022, the Fund’s Class A shares returned -15.65%, while the J.P. Morgan EMBI Global Diversified Index (the “Index”)—which tracks the performance of external debt instruments (including U.S.-dollar-denominated and other external-currency-denominated Brady bonds, loans, Eurobonds and local market instruments) in the emerging markets—returned -15.38%.

IV. Fund Attribution

Hard and local currency markets struggled for much of the reporting period, down 15.38% and 16.36%, respectively. The majority of this was driven by yields being revised higher at both the front end, in anticipation of higher central bank policy rates, and back end, as term premia and inflation repriced the curve. Murmurs of inflation concern during 2021 would be propelled to the fore on February 24, 2022, when Russia up-scaled its invasion of Ukraine, as noted in the shareholder letter. Initially this induced a market sell-off centralized around Eastern Europe before adding to the inflation narrative that would further spread concerns more broadly. Throughout the period China remained committed to its zero-Covid policy, with a repeat of lockdowns in light of any rise in cases. The reduced activity in China added further to supply-driven inflation. China is now one of the few major economies in easing mode at its central bank, but these steps remain too mild to offset the liquidity drain elsewhere.

The Fund outperformed its blended benchmark. Top contributors at the Fund level included an overweight to Poland (where a number of rate hikes were becoming priced in), an underweight to the Thai baht (a low yield

SEI Institutional Investments Trust / Annual Report / May 31, 2022

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

Comparison of Change in the Value of a $100,000 Investment in the Emerging Market Debt Fund, Class A, versus a 50/50 Hybrid of the Following Indexes: the J.P. Morgan EMBI Global Diversified Index, and the J.P. Morgan GBI-EM Global Diversified Index

46

I. Objective

The Real Return Fund (the “Fund”) seeks a total return exceeding the rate of inflation.

II. Multi-Manager Approach Statement

The Fund is directly managed by SEI Investments Management Corporation (SIMC). There were no manager changes made during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned 2.06%. The Fund’s benchmark, the Bloomberg 1-5 Year U.S. TIPS Index—which measures the performance of inflation-protected public obligations of the U.S. Treasury that have a remaining maturity of one to five years—returned 2.15%.

IV. Fund Attribution

The Fund’s performance was within expectations as the Fund manager aims to replicate the performance of the Bloomberg 1-5 Year U.S. TIPS Index. As noted in the shareholder letter, the Federal Reserve increased the target range on the Fed funds range by 25 basis points (bps) in March and tightened an additional 50 basis points at its May meeting in response to persistent and broadening inflation. Inflationary pressures intensified in March following Russia’s invasion of Ukraine as global supply chains became further constrained and the price of oil rose substantially. On a relative basis, Treasury inflation-protected securities (TIPS) outperformed nominal Treasurys as real yields remained close to 0.00% and the five year breakeven widened more than 40 basis points for the period.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

SEI Institutional Investments Trust / Annual Report / May 31, 2022

I. Objective

The Limited Duration Bond Fund (the “Fund”) seeks preservation of capital and current income.

II. Multi-Manager 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 utilized the following sub-advisors as of May 31, 2022: MetLife Investment Management, LLC, (MetLife), and Metropolitan West Asset Management LLC (MetWest). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -2.81%. The Fund’s primary benchmark, the ICE BofA 1-3 year US Treasury Index—an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years—returned -2.88%.

IV. Fund Attribution

During the first half of the fiscal period risk assets were supported by accommodative monetary policy and the reopening of the U.S. economy. At the onset of the pandemic in March of 2020, the Federal Reserve (Fed) slashed the target range on the fed funds rate and kept the range near zero through 2021, supporting non-Treasury sectors. Risk assets were further supported by the re-opening of the U.S. economy as vaccination rates increased, which led to an increase in demand and consumer spending given the elevated household savings accumulated during the pandemic. While the economy reopened, global supply chain constraints persisted along with increasing demand, and record stimulus combined to spur the highest inflationary pressures since the 1970s. Initially viewed as transitory, inflation proved to be persistent and broad based. As a result, the Fed began by tapering asset purchases during the fourth quarter of 2021 and ultimately concluded its asset purchase program in March 2022, then announced the beginning of balance sheet reduction commencing in June 2022. Russia’s invasion of Ukraine exacerbated inflationary pressures, raising energy prices and food items such as wheat globally. At its meeting in March 2020, the Fed raised the target range of the fed funds rate by 25 basis points (bps). As inflation persisted and the conflict in Ukraine continued, concerns over the Fed’s ability to engineer a soft landing heightened as unease about stagflation increased. As noted in the

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duration posture as well as an allocation to AAA CLO, while an allocation to corporates detracted.

The Fund used Treasury futures to manage duration, yield-curve and market exposures. None of these had a meaningful impact on the Fund’s performance. The Fund used to-be-announced (TBA) forward contracts to manage market exposures (TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBS—Fannie Mae, Freddie Mac and Ginnie Mae). None of these had a meaningful impact on Fund performance.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

Comparison of Change in the Value of a $100,000 Investment in the Limited Duration Bond Fund, Class A, versus the ICE BofA 1-3 Year U.S. Treasury Index

SEI Institutional Investments Trust / Annual Report / May 31, 2022

I. Objective

The Intermediate Duration Credit Fund (the "Fund") seeks current income consistent with the preservation of capital.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: Income Research & Management (Income Research), Legal & General Investment Management America Inc. (Legal & General) and MetLife Investment Management, LLC, (MetLife). There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned -9.56%. The Fund’s primary benchmark, the Bloomberg A+ US Credit Index—which measures the performance of corporate bonds with a credit rating of A or better—returned -9.48%.

IV. Fund Attribution

During the first half of the fiscal period risk assets were supported by accommodative monetary policy and the reopening of the U.S. economy. At the onset of the pandemic in March of 2020, the Federal Reserve (Fed) slashed the target range on the fed funds rate and kept the range near zero through 2021, supporting non-Treasury sectors. Risk assets were further supported by the re-opening of the U.S. economy as vaccination rates increased, which led to an increase in demand and consumer spending given the elevated household savings accumulated during the pandemic. While the economy reopened, global supply chain constraints persisted along with increasing demand, and record stimulus combined to spur the highest inflationary pressures since the 1970s. Initially viewed as transitory, inflation proved to be persistent and broad based. As a result, the Fed began by tapering asset purchases during the fourth quarter of 2021 and ultimately concluded its asset purchase program in March 2022, then announced the beginning of balance sheet reduction commencing in June 2022. Russia’s invasion of Ukraine exacerbated inflationary pressures, raising energy prices and food items such as wheat globally. At its meeting in March 2020, the Fed raised the target range of the fed funds rate by 25 basis points (bps). As inflation persisted and the conflict in Ukraine continued, concerns over the Fed’s ability to engineer a soft landing heightened as unease about stagflation increased. As noted in the

50

industrials detracting. MetLife’s security selection and allocation to BBBs detracted while an allocation to U.S. Treasurys contributed.

Derivatives were used on a limited basis. Treasury futures were employed to help manage the risk associated with interest-rate and yield-curve positioning. These had a no material impact on performance.

Investing is subject to risk, including the possible loss of principal. Past performance is no indication of future results.

SEI Institutional Investments Trust / Annual Report / May 31, 2022

I. Objective

The Dynamic Asset Allocation Fund (the "Fund") seeks long-term total return.

II. Investment Approach

The Fund is managed by a sub-advisor under the general supervision of SEI Investments Management Corporation (SIMC). Assets of the Fund not allocated to the sub-advisor are managed directly by SIMC. The Fund utilized the following sub-advisor as of May 31, 2022: SSGA Funds Management, Inc. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the full year ended May 31, 2022, the Fund’s Class A shares returned 3.00%. The Fund’s primary benchmark, the S&P 500 Index—a capitalization-weighted index consisting of roughly 500 large U.S. companies that are considered representative of the broad U.S. stock market—returned -0.30%.

IV. Fund Attribution

A majority of the Fund’s volatility is typically driven by strategic exposure to the S&P 500 Index, which typically serves as the most significant driver of the Fund returns; however, during the one-year period ending May 31, 2022 the strategic exposure was essentially flat. The mixed performance by the S&P 500 Index—as noted in the shareholder letter—was primarily driven by meaningful positive performance in the energy sector, which was largely offset by weakness in most other sectors. The net result was a slightly negative return for the S&P 500 Index.

The largest contributor to relative performance was a long commodities position. This exposure was positively impacted by broad strength across most sectors, especially the energy sector. A number of factors caused the surge in commodity prices, including the Russian invasion of Ukraine, strong demand as economies reopened from the COVID-19 pandemic, and tight supply conditions. Two 30-year U.S. payer swaptions also contributed to relative performance. The positions benefited from higher long-end rates in the U.S. A position in a 5y5y overnight index swap (OIS), which is considered a proxy for the terminal federal funds rate, benefitted from an increase in market expectations for a more hawkish Federal Reserve. A position in 10 year CPI swaps benefitted from an increase in market expectations for inflation over the period. A position in a Bloomberg Commodity Index Gold total return swap detracted early in the measurement period after providing positive performance in the prior year. A position in a CMS cap spread detracted from performance. The CMS cap

52

SEI Institutional Investments Trust / Annual Report / May 31, 2022

I. Objective

The Multi-Asset Real Return Fund (the “Fund”) seeks a total return exceeding the rate of inflation.

II. Multi-Manager Approach Statement

The Fund uses a multi-manager approach, relying on a number of sub-advisors with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisors as of May 31, 2022: AllianceBernstein L.P. (AllianceBernstein), Columbia Management Investment Advisers (Columbia), Credit Suisse Asset Management, LLC (Credit Suisse), and Franklin Advisers, Inc. (fka QS Investors, LLC) (Franklin). Columbia manages a wholly owned subsidiary of the Fund and has delegated certain of its duties to Threadneedle International Ltd. as a sub-advisor. Credit Suisse manages a wholly-owned subsidiary of the Fund. There were no sub-advisor changes during the fiscal period.

III. Return vs. Benchmark

For the one year ending May 31, 2022, the Fund’s Class A shares returned 15.80%. The Fund’s primary benchmark, the Bloomberg 1-5 Year U.S. TIPS Index—which measures the performance of inflation-protected public obligations of the U.S. Treasury that have a remaining maturity of one to five years—returned 2.15%.

IV. Fund Attribution

As noted in the shareholder letter, inflation-sensitive assets, such as commodities and Treasury inflation-protected securities (TIPS), were higher during the fiscal year. U.S. TIPS returned 2.15% (as measured by the Bloomberg 1-5 Year U.S. TIPS Index), while commodities returned 41.85% (as measured by the Bloomberg Commodity Index).

The majority of Fund outperformance was from asset-class exposure to commodities. The Fund’s commodities managers, Columbia and Credit Suisse, benefited as geopolitical conflict and inflation drove a broad-based move higher in commodities prices during the reporting period. Franklin’s equity long/short strategy also contributed, as the strategy tended to favor inflation-sensitive sectors. At the sector level, long exposure to energy and short exposure to consumer discretionary contributed most.

AllianceBernstein, manager of the Fund’s TIPS allocation, contributed on an absolute basis but detracted relative to the Fund benchmark. TIPS were positive for the year, but the manager’s allocations to credit—primarily within

54

Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Real Return Fund, Class A, versus the Bloomberg 1-5 Year U.S. TIPS Index and Blended 70% Bloomberg 1-5 Year U.S. TIPS Total Return Index / 20% Bloomberg Commodity Index Total Return Index / 10% S&P 500 Index

SEI Institutional Investments Trust / Annual Report / May 31, 2022

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SEI Institutional Investments Trust / Annual Report / May 31, 2022