-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Sq6bjHqKkKAgNTHzVrAY4ElG+G1XuSks7XmQ0jXHDDA/yW9mgLIg1WHeoz8QA/xJ nMaeVzmT877UCb6Bu2SF+Q== 0000903893-97-000083.txt : 19970124 0000903893-97-000083.hdr.sgml : 19970124 ACCESSION NUMBER: 0000903893-97-000083 CONFORMED SUBMISSION TYPE: 13F-E PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19961231 FILED AS OF DATE: 19970123 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: GMO TRUST CENTRAL INDEX KEY: 0000772129 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: MA FISCAL YEAR END: 0228 FILING VALUES: FORM TYPE: 13F-E SEC ACT: 1934 Act SEC FILE NUMBER: 028-03377 FILM NUMBER: 97509657 BUSINESS ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 6173307500 FORMER COMPANY: FORMER CONFORMED NAME: GMO CORE TRUST DATE OF NAME CHANGE: 19900927 13F-E 1 FORM 13F-E INTERNATIONAL ACTIVE & QUANTITATIVE PAGE 1 SECURITIES AND EXCHANGE COMMISSION FORM 13F-E Report for the Calendar Year or Quarter Ended: 12/31/96 Institutional Investment Manager: GRANTHAM, MAYO, VAN OTTERLOO & CO. 40 ROWES WHARF BOSTON MA 02110 I REPRESENT THAT I AM AUTHORIZED TO SUBMIT THIS FORM AND THAT ALL INFORMATION IN THIS FORM AND THE ATTACHMENTS TO IT IS TRUE, CORRECT AND COMPLETE AND I UNDERSTAND THAT ALL REQUIRED ITEMS, STATEMENTS AND SCHEDULES ARE INTEGRAL PARTS OF THIS FORM AND THAT THE SUBMISSION OF ANY AMENDMENT REPRESENTS THAT ALL UNAMENDED ITEMS, STATEMENTS AND SCHEDULES REMAIN TRUE, CORRECT AND COMPLETE AS PREVIOUSLY SUBMITTED. I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES AND EXCHANGE ACT OF 1934. Name, Title and Telephone Number of Person Submitting Report: FORREST BERKLEY PARTNER (617) 346-7578 Signature, Place and Date of Signing: /s/ FORREST BERKLEY BOSTON MA 11/28/95 Other Managers on Whose Behalf this Report is Filed: 01 STRATEGIC INVESTMENT MANAGEMENT 028-02437 02 STRATEGIC INVESTMENT MANAGEMENT INTERNATIONAL 028-02495 03 STRATEGIC INVESTMENT PARTNERS, INC. 028-02436 PAGE 2 VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE 20TH CENTY INDS CAL COM PAR $10 901272203 474 28100 SH SOLE 28100 0 0 3COM CORP COM 885535104 264 3600 SH SOLE 3600 0 0 A D C TELECOMMUNICATIONS COM 000886101 657 21100 SH SOLE 21100 0 0 AAR CORP COM 000361105 572 18900 SH SOLE 18900 0 0 ABBOTT LABS COM 002824100 88721 1748204 SH SOLE 1748204 0 0 ABITIBI PRICE INC COM 003680105 6374 553100 SH SOLE 553100 0 0 ACUSON CORP COM 005113105 268 11000 SH SOLE 11000 0 0 ACX TECHNOLOGIES INC COM 005123104 1020 51300 SH SOLE 51300 0 0 ACXIOM CORP COM 005125109 430 17900 SH SOLE 17900 0 0 ADAC LABS COM NEW 005313200 764 32000 SH SOLE 32000 0 0 ADVANCED MICRO DEVICES INC COM 007903107 7681 298300 SH SOLE 298300 0 0 ADVANCED TECHNOLOGIES LABS INC COM 00755N106 257 8300 SH SOLE 8300 0 0 ADVANTA CORP CL A 007942105 376 8800 SH SOLE 8800 0 0 AES CORP COM 00130H105 10997 236500 SH SOLE 236500 0 0 AETNA INC COM 008117103 9950 124373 SH SOLE 124373 0 0 AFLAC INC COM 001055102 4403 103000 SH SOLE 103000 0 0 AGCO CORP COM 001084102 1031 36000 SH SOLE 36000 0 0 AGL RES INC COM 001204106 784 37100 SH SOLE 37100 0 0 AGRIUM INC COM 008916108 641 63863 SH SOLE 63863 0 0 AHMANSON H F & CO COM 008677106 13072 402200 SH SOLE 402200 0 0 AIR CDA INC CL A NON VTG 008911307 284 100000 SH SOLE 100000 0 0 AIR CDA INC SUB DB CONV 8%05 008911AB5 354 700000 SH SOLE 700000 0 0 AIR EXPRESS INTL CORP COM 009104100 361 11200 SH SOLE 11200 0 0 AIRBORNE FGHT CORP COM 009266107 507 21700 SH SOLE 21700 0 0 AJL PEPS TR PEPS EXCH AJL 009710104 5076 310000 SH SOLE 310000 0 0 AK STL HLDG CORP COM 001547108 701 17700 SH SOLE 17700 0 0 ALASKA AIR GROUP INC COM 011659109 319 15200 SH SOLE 15200 0 0 ALBEMARLE CORP COM 012653101 518 28600 SH SOLE 28600 0 0 ALBERTA ENERGY LTD COM 012873105 4002 228553 SH SOLE 228553 0 0 ALBERTO CULVER CO CL B CONV 013068101 1152 24000 SH SOLE 24000 0 0 ALBERTSONS INC COM 013104104 26309 738500 SH SOLE 738500 0 0 ALCAN ALUMINIUM LTD NEW COM 013716105 1369 40700 SH SOLE 40700 0 0 ALEX BROWN INC COM 013902101 1523 21000 SH SOLE 21000 0 0 ALEXANDER & ALEXANDER SVCS INC COM 014476105 652 37500 SH SOLE 37500 0 0 ALEXANDER & BALDWIN INC COM 014482103 205 8200 SH SOLE 8200 0 0 ALLEGHANY CORP DEL COM 017175100 1033 4874 SH SOLE 4874 0 0 ALLEGHENY PWR SYS INC COM 017411109 8253 271700 SH SOLE 271700 0 0 ALLEGHENY TELEDYNE INC COM 017415100 6652 289200 SH SOLE 289200 0 0 ALLERGAN INC COM 018490102 652 18300 SH SOLE 18300 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 446 8100 SH SOLE 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BANCORP INC COM 682419106 316 8500 SH SOLE 8500 0 0 ONEOK INC COM 682678107 657 21900 SH SOLE 21900 0 0 ORACLE CORP COM 68389X105 18328 439000 SH SOLE 439000 0 0 ORANGE & ROCKLAND UTILS INC COM 684065105 341 9500 SH SOLE 9500 0 0 OREGON METALLURGICAL CORP COM 685899106 655 20300 SH SOLE 20300 0 0 OREGON STL MLS INC COM 686079104 543 32400 SH SOLE 32400 0 0 ORION CAP CORP COM 686268103 1815 29700 SH SOLE 29700 0 0 ORNDA HEALTHCORP COM 686857103 1460 49900 SH SOLE 49900 0 0 ORYX ENERGY COMPANY COM 68763F100 2772 112000 SH SOLE 112000 0 0 OUTBOARD MARINE CORP COM 690020102 1097 66500 SH SOLE 66500 0 0 OWENS CORNING COM 69073F103 3670 86100 SH SOLE 86100 0 0 OWENS ILL INC COM NEW 690768403 482 21200 SH SOLE 21200 0 0 OXFORD HEALTH PLANS INC COM 691471106 322 5500 SH SOLE 5500 0 0 P P & L RES INC COM 693499105 7903 343600 SH SOLE 343600 0 0 PACCAR INC COM 693718108 796 11700 SH SOLE 11700 0 0 PACIFIC GAS & ELEC CO COM 694308107 3408 162300 SH SOLE 162300 0 0 PACIFIC TELESIS GROUP COM 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77679 687428 SH SOLE 687428 0 0 PHILIPPINE LONG DISTANCE TEL SPONSORED ADR 718252604 377 7400 SH SOLE 7400 0 0 PHILIPS ELECTRS N V NEW YORK SHS 718337504 6972 174300 SH SOLE 174300 0 0 PHILLIPS PETE CO COM 718507106 26019 588000 SH SOLE 588000 0 0 PHILLIPS VAN HEUSEN CORP COM 718592108 532 37000 SH SOLE 37000 0 0 PHYSICIAN CORP AMER COM 71940P108 1266 126600 SH SOLE 126600 0 0 PIEDMONT NAT GAS INC COM 720186105 252 10800 SH SOLE 10800 0 0 PIER 1 IMPORTS INC COM 720279108 2878 163300 SH SOLE 163300 0 0 PILGRIMS PRIDE CORP COM 721467108 101 11700 SH SOLE 11700 0 0 PINNACLE WEST CAP CORP COM 723484101 772 24300 SH SOLE 24300 0 0 PIONEER STD ELECTRS INC COM 723877106 979 74600 SH SOLE 74600 0 0 PIPER JAFFRAY COS INC COM 724081104 563 36000 SH SOLE 36000 0 0 PITNEY BOWES INC COM 724479100 6877 125600 SH SOLE 125600 0 0 PITTSTON CO COM BRINKS GRP 725701106 467 17300 SH SOLE 17300 0 0 PITTWAY CORP DEL CL A 725790208 246 4600 SH SOLE 4600 0 0 PLAYBOY ENTERPRISES INC CL B 728117300 102 10500 SH SOLE 10500 0 0 PLENUM PUBG CORP COM 729093104 266 7600 SH SOLE 7600 0 0 PNC BK CORP COM 693475105 34468 916100 SH SOLE 916100 0 0 POGO PRODUCING CO COM 730448107 487 10300 SH SOLE 10300 0 0 POHANG IRON & STL LTD SPONSORED ADR 730450103 3746 185000 SH SOLE 185000 0 0 POLAROID CORP COM 731095105 1674 38473 SH SOLE 38473 0 0 POOL ENERGY SVCS CO COM 732788104 255 16600 SH SOLE 16600 0 0 POPE & TALBOT INC COM 732827100 378 23800 SH SOLE 23800 0 0 PORTLAND GEN CORP COM 736506106 8807 209700 SH SOLE 209700 0 0 POST PPTYS INC COM 737464107 2902 72100 SH SOLE 72100 0 0 POTASH CORP SASK INC COM 73755L107 484 7800 SH SOLE 7800 0 0 PAGE 21 VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE POTLATCH CORP COM 737628107 3096 72000 SH SOLE 72000 0 0 POTOMAC ELEC PWR CO COM 737679100 5127 199100 SH SOLE 199100 0 0 PPG INDS INC COM 693506107 668 11900 SH SOLE 11900 0 0 PRAXAIR INC COM 74005P104 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COM 74460D109 11923 384600 SH SOLE 384600 0 0 PUBLIC SVC CO N MEX COM 744499104 1823 92900 SH SOLE 92900 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 2055 75400 SH SOLE 75400 0 0 PUGET SOUND PWR & LT CO COM 745332106 646 26900 SH SOLE 26900 0 0 PULITZER PUBG CO COM 745771105 1088 23469 SH SOLE 23469 0 0 PULTE CORP COM 745867101 867 28200 SH SOLE 28200 0 0 QUAKER ST CORP COM 747410108 350 25000 SH SOLE 25000 0 0 QUALITY FOOD CTRS INC COM 747565109 1175 34800 SH SOLE 34800 0 0 QUANEX CORP COM 747620102 523 19100 SH SOLE 19100 0 0 QUANTUM CORP COM 747906105 2599 90800 SH SOLE 90800 0 0 QUESTAR CORP COM 748356102 621 16900 SH SOLE 16900 0 0 QUICK & REILLY GROUP DEL COM 748376100 1260 42170 SH SOLE 42170 0 0 R O C TAIWAN FD SH BEN INT 749651105 3796 370300 SH SOLE 370300 0 0 RANGER OIL LTD COM 752805101 1216 168800 SH SOLE 168800 0 0 RATIONAL SOFTWARE CORP COM NEW 75409P202 400 10100 SH SOLE 10100 0 0 RAYCHEM CORP DEL COM 754603108 5849 73000 SH SOLE 73000 0 0 RAYMOND JAMES FINANCIAL INC 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NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE REPUBLIC INDS INC COM 760516104 714 22900 SH SOLE 22900 0 0 REPUBLIC N Y CORP COM 760719104 931 11400 SH SOLE 11400 0 0 RESEARCH MEDICAL INC COM 761004100 515 22400 SH SOLE 22400 0 0 RESPIRONICS INC COM 761230101 186 10700 SH SOLE 10700 0 0 REVCO DS INC NEW COM 761339100 1121 30300 SH SOLE 30300 0 0 REYNOLDS & REYNOLDS CO CL A 761695105 1778 68400 SH SOLE 68400 0 0 REYNOLDS METALS CO COM 761763101 1252 22200 SH SOLE 22200 0 0 RFS HOTEL INVS INC COM 74955J108 1934 97900 SH SOLE 97900 0 0 RHONE POULENC RORER INC COM 76242T104 945 12100 SH SOLE 12100 0 0 RICHFOOD HLDGS INC COM 763408101 1238 51300 SH SOLE 51300 0 0 RIGGS NATL CORP WASH DC COM 766570105 473 27400 SH SOLE 27400 0 0 RIO ALGOM LTD COM 766889109 530 32300 SH SOLE 32300 0 0 RITE AID CORP COM 767754104 2238 56300 SH SOLE 56300 0 0 RJR NABISCO HOLDINGS CORP COM NEW 74960K876 3533 103900 SH SOLE 103900 0 0 RJR NABISCO HOLDINGS CORP PFD C DEP1/10S 74960K884 4050 600000 SH SOLE 600000 0 0 RLI CORP COM 749607107 336 10075 SH SOLE 10075 0 0 ROBBINS & MYERS INC COM 770196103 213 8500 SH SOLE 8500 0 0 ROBERT HALF INTL INC COM 770323103 468 13700 SH SOLE 13700 0 0 ROC COMMUNITIES INC COM 749650107 1368 49300 SH SOLE 49300 0 0 ROCHESTER GAS & ELEC CORP COM 771367109 989 51700 SH SOLE 51700 0 0 ROCK-TENN CO CL A 772739207 241 12200 SH SOLE 12200 0 0 ROCKWELL INTL CORP NEW COM 773903109 2003 32900 SH SOLE 32900 0 0 ROGERS CANTEL MOBILE COMMN INC CL B SUB VTG 775102106 557 39400 SH SOLE 39400 0 0 ROGERS COMMUNICATIONS INC CL B 775109200 174 33400 SH SOLE 33400 0 0 ROHR INC COM 775422108 498 22000 SH SOLE 22000 0 0 ROLLINS INC COM 775711104 3487 174350 SH SOLE 174350 0 0 ROLLINS TRUCK LEASING CORP COM 775741101 495 39200 SH SOLE 39200 0 0 ROSS STORES INC COM 778296103 3560 71200 SH SOLE 71200 0 0 ROUGE STL CO CL A 779099100 470 22400 SH SOLE 22400 0 0 ROWAN COS INC COM 779382100 1063 47000 SH SOLE 47000 0 0 ROYAL BK CDA 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441 22600 SH SOLE 22600 0 0 SHOWBIZ PIZZA TIME COM NEW 825388309 641 35350 SH SOLE 35350 0 0 SHOWBOAT INC COM 825390107 416 24100 SH SOLE 24100 0 0 SHURGARD STORAGE CTRS INC COM 82567D104 2980 100600 SH SOLE 100600 0 0 SIERRA HEALTH SVCS INC COM 826322109 360 14600 SH SOLE 14600 0 0 SIERRA PAC RES COM 826425100 799 27800 SH SOLE 27800 0 0 SIGCORP INC COM 826912107 367 10600 SH SOLE 10600 0 0 SIGNET BKG CORP COM 826681108 1436 46700 SH SOLE 46700 0 0 SILICON GRAPHICS INC COM 827056102 638 25000 SH SOLE 25000 0 0 SILICON VY GROUP INC COM 827066101 320 15900 SH SOLE 15900 0 0 SIMON DEBARTOLO GROUP INC COM 828781104 11014 355300 SH SOLE 355300 0 0 SIZZLER INTL INC COM 830139101 193 67200 SH SOLE 67200 0 0 SKYLINE CORP COM 830830105 255 10300 SH SOLE 10300 0 0 SMART & FINAL INC COM 831683107 318 14800 SH SOLE 14800 0 0 SMITH A O CL A 831865100 638 21800 SH SOLE 21800 0 0 SMITH CHARLES E RESDNTL RLTY COM 832197107 453 15500 SH SOLE 15500 0 0 SMITH INTL INC COM 832110100 1037 23100 SH SOLE 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0 0 SOUTHDOWN INC COM 841297104 713 22900 SH SOLE 22900 0 0 SOUTHERN CO COM 842587107 43426 1919400 SH SOLE 1919400 0 0 SOUTHERN NATIONAL CORP COM 843444100 4700 129660 SH SOLE 129660 0 0 SOUTHERN NEW ENGLAND TELECOM COM 843485103 435 11200 SH SOLE 11200 0 0 SOUTHLAND CORP COM NEW 844436402 618 208000 SH SOLE 208000 0 0 SOUTHTRUST CORP COM 844730101 269 7700 SH SOLE 7700 0 0 SOUTHWEST GAS CORP COM 844895102 558 29000 SH SOLE 29000 0 0 SOUTHWESTERN ENERGY CO COM 845467109 445 29400 SH SOLE 29400 0 0 SOUTHWESTERN PUB SVC CO COM 845743103 368 10400 SH SOLE 10400 0 0 SOVEREIGN BANCORP INC COM 845905108 425 32400 SH SOLE 32400 0 0 SPACELABS MED INC COM 846247104 672 32800 SH SOLE 32800 0 0 SPELLING ENTMT GROUP INC COM 847807104 296 40100 SH SOLE 40100 0 0 SPIEGEL INC CL A 848457107 475 67200 SH SOLE 67200 0 0 SPIEKER PPTYS INC COM 848497103 4511 125300 SH SOLE 125300 0 0 SPRINGS INDS INC CL A 851783100 1367 31800 SH SOLE 31800 0 0 SPRINT CORP COM 852061100 47471 1190500 SH SOLE 1190500 0 0 SPX CORP COM 784635104 938 24200 SH SOLE 24200 0 0 ST PAUL BANCORP INC COM 792848103 502 17100 SH SOLE 17100 0 0 ST PAUL COS INC COM 792860108 21533 367300 SH SOLE 367300 0 0 STANDARD FED BANCORPORATION COM 853386100 2599 45700 SH SOLE 45700 0 0 STANDARD PRODS CO COM 853836104 632 24800 SH SOLE 24800 0 0 STANDARD REGISTER CO COM 853887107 546 16800 SH SOLE 16800 0 0 STANDEX INTL CORP COM 854231107 652 21200 SH SOLE 21200 0 0 STANHOME INC COM VTG 854425105 1155 43600 SH SOLE 43600 0 0 STANLEY WKS COM 854616109 3715 137600 SH SOLE 137600 0 0 STAR BANC CORP COM 855083101 726 7900 SH SOLE 7900 0 0 STARBUCKS CORP COM 855244109 455 15900 SH SOLE 15900 0 0 STARRETT L S CO CL A 855668109 593 20900 SH SOLE 20900 0 0 STARTER CORP COM 855684106 168 29900 SH SOLE 29900 0 0 STARWOOD LODGING TR COMBND CTF NEW 855905204 5557 100800 SH SOLE 100800 0 0 STATE ST BOSTON CORP COM 857473102 834 12900 SH SOLE 12900 0 0 STEPAN CO COM 858586100 206 10100 SH SOLE 10100 0 0 STERIS CORP COM 859152100 922 21186 SH SOLE 21186 0 0 STERLING SOFTWARE INC COM 859547101 3972 125600 SH SOLE 125600 0 0 STEWART & STEVENSON SVCS INC COM 860342104 1497 51400 SH SOLE 51400 0 0 STONE & WEBSTER INC COM 861572105 246 7800 SH SOLE 7800 0 0 STONE CONTAINER CORP COM 861589109 1337 89900 SH SOLE 89900 0 0 STORAGE TECHNOLOGY CORP COM PAR $010 862111200 31966 667699 SH SOLE 667699 0 0 STORAGE TR RLTY SH BEN INT 861909109 1361 50400 SH SOLE 50400 0 0 STORAGE USA INC COM 861907103 3744 99500 SH SOLE 99500 0 0 STRATOSPHERE CORP COM 863106100 142 168200 SH SOLE 168200 0 0 STRATUS COMPUTER INC COM 863155107 657 24100 SH SOLE 24100 0 0 STRAWBRIDGE & CLOTHIER COM SER A 863200101 171 10760 SH SOLE 10760 0 0 STRIDE RITE CORP COM 863314100 569 56900 SH SOLE 56900 0 0 STRUCTURAL DYNAMICS RESH CORP COM 863555108 408 20400 SH SOLE 20400 0 0 PAGE 25 VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE STUDENT LN CORP COM 863902102 451 12100 SH SOLE 12100 0 0 STUDENT LOAN MARKETING ASSN COM NEW VTG 863871505 35052 376400 SH SOLE 376400 0 0 SUMMIT BANCORP COM 866005101 7293 166700 SH SOLE 166700 0 0 SUMMIT PPTYS INC COM 866239106 4051 183100 SH SOLE 183100 0 0 SUN COMMUNITIES INC COM 866674104 1580 45800 SH SOLE 45800 0 0 SUN HEALTHCARE GROUP INC COM 866933104 219 16200 SH SOLE 16200 0 0 SUN INC COM 866762107 305 12500 SH SOLE 12500 0 0 SUN MICROSYSTEMS INC COM 866810104 12831 499500 SH SOLE 499500 0 0 SUNAMERICA INC COM 866930100 3744 83900 SH SOLE 83900 0 0 SUNBEAM CORP COM 867071102 428 16800 SH SOLE 16800 0 0 SUNCOR INC COM 867229106 2198 72800 SH SOLE 72800 0 0 SUNGARD DATA SYS INC COM 867363103 288 7300 SH SOLE 7300 0 0 SUNRISE MED INC COM 867910101 741 46700 SH SOLE 46700 0 0 SUNTRUST BKS INC COM 867914103 1364 27700 SH SOLE 27700 0 0 SUPERIOR INDS INTL INC COM 868168105 546 23600 SH SOLE 23600 0 0 SUPERIOR SURGICAL MFG INC COM 868358102 177 13100 SH SOLE 13100 0 0 SUPERVALU INC COM 868536103 7684 270800 SH SOLE 270800 0 0 SWIFT TRANSN CO COM 870756103 221 9400 SH SOLE 9400 0 0 SYMBOL TECHNOLOGIES INC COM 871508107 274 6200 SH SOLE 6200 0 0 SYNETIC INC COM 87160F109 340 7000 SH SOLE 7000 0 0 SYNOVUS FINL CORP COM 87161C105 3187 99200 SH SOLE 99200 0 0 TANDEM COMPUTERS INC COM 875370108 7076 514600 SH SOLE 514600 0 0 TANDY CORP COM 875382103 440 10000 SH SOLE 10000 0 0 TANGER FACTORY OUTLET CTRS INC COM 875465106 245 9000 SH SOLE 9000 0 0 TARGET THERAPEUTICS INC COM 875919102 550 13100 SH SOLE 13100 0 0 TAUBMAN CTRS INC COM 876664103 1830 142100 SH SOLE 142100 0 0 TBC CORP COM 872180104 133 17750 SH SOLE 17750 0 0 TECH DATA CORP COM 878237106 2784 101700 SH SOLE 101700 0 0 TECHNITROL INC COM 878555101 242 6300 SH SOLE 6300 0 0 TECHNOLOGY SOLUTIONS CO COM 87872T108 625 15050 SH SOLE 15050 0 0 TECO ENERGY INC COM 872375100 4610 191100 SH SOLE 191100 0 0 TECUMSEH PRODS CO CL B 878895101 1502 26400 SH SOLE 26400 0 0 TEKTRONIX INC COM 879131100 502 9800 SH SOLE 9800 0 0 TELE COMMUNICATIONS INC NEW COM TCI GRP A 87924V101 1306 100000 SH SOLE 100000 0 0 TELECOMM ARGENTINA STET-FRANCE SPNS ADR REP B 879273209 2229 55200 SH SOLE 55200 0 0 TELEFLEX INC COM 879369106 407 7800 SH SOLE 7800 0 0 TELEFONICA DE ARGENTINA S A SPNSR ADR CL B 879378206 1609 62200 SH SOLE 62200 0 0 TELEFONICA DE ESPANA S A SPONSORED ADR 879382208 519 7500 SH SOLE 7500 0 0 TELEFONOS DE MEXICO S A SP ADR REP ORD 879403780 34267 1038400 SH SOLE 1038400 0 0 TELLABS INC COM 879664100 10836 288000 SH SOLE 288000 0 0 TEMPLE INLAND INC COM 879868107 10262 189600 SH SOLE 189600 0 0 TENCOR INSTRS COM 880323100 443 16800 SH SOLE 16800 0 0 TENET HEALTHCARE CORP COM 88033G100 22657 1035750 SH SOLE 1035750 0 0 TENNECO INC NEW COM 88037E101 1692 37500 SH SOLE 37500 0 0 TERADYNE INC COM 880770102 651 26700 SH SOLE 26700 0 0 TERRA INDS INC COM 880915103 1090 73900 SH SOLE 73900 0 0 TESORO PETE CORP COM 881609101 256 18300 SH SOLE 18300 0 0 TEXACO INC COM 881694103 51506 524900 SH SOLE 524900 0 0 TEXAS INDS INC COM 882491103 906 17900 SH SOLE 17900 0 0 TEXAS UTILS CO COM 882848104 27172 666800 SH SOLE 666800 0 0 PAGE 26 VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE TEXTRON INC COM 883203101 3959 42000 SH SOLE 42000 0 0 THERMO INSTR SYS INC COM 883559106 1434 43300 SH SOLE 43300 0 0 THIOKOL CORP DEL COM 884103102 3620 80900 SH SOLE 80900 0 0 THOMAS & BETTS CORP COM 884315102 327 7373 SH SOLE 7373 0 0 THOR INDS INC COM 885160101 351 13900 SH SOLE 13900 0 0 TIFFANY & CO NEW COM 886547108 1044 28500 SH SOLE 28500 0 0 TIG HLDGS INC COM 872469101 7232 213500 SH SOLE 213500 0 0 TIMKEN CO COM 887389104 1139 24900 SH SOLE 24900 0 0 TJ INTL INC COM 872534102 581 25000 SH SOLE 25000 0 0 TJX COS INC NEW COM 872540109 8878 187400 SH SOLE 187400 0 0 TNP ENTERPRISES INC COM 872594106 446 16300 SH SOLE 16300 0 0 TOLL BROTHERS INC COM 889478103 454 23300 SH SOLE 23300 0 0 TOOTSIE ROLL INDS INC COM 890516107 704 17763 SH SOLE 17763 0 0 TORCHMARK CORP COM 891027104 9244 183050 SH SOLE 183050 0 0 TORO CO COM 891092108 1449 39700 SH SOLE 39700 0 0 TORONTO DOMINION BK ONT COM NEW 891160509 3075 162953 SH SOLE 162953 0 0 TOSCO CORP COM NEW 891490302 10223 129200 SH SOLE 129200 0 0 TOTAL PETE NORTH AMER LTD COM 891508103 363 48000 SH SOLE 48000 0 0 TOTAL SYS SVCS INC COM 891906109 349 13000 SH SOLE 13000 0 0 TOYS R US INC COM 892335100 19879 665400 SH SOLE 665400 0 0 TRANSAMERICA CORP COM 893485102 14063 178009 SH SOLE 178009 0 0 TRANSATLANTIC HLDGS INC COM 893521104 2101 26100 SH SOLE 26100 0 0 TRANSCANADA PIPELINES LTD COM 893526103 5800 444978 SH SOLE 444978 0 0 TRANSITIONAL HOSPS CORP COM 893719104 193 20000 SH SOLE 20000 0 0 TRAVELERS GROUP INC COM 894190107 33087 729201 SH SOLE 729201 0 0 TREDEGAR INDS INC COM 894650100 1186 29550 SH SOLE 29550 0 0 TRINET CORP RLTY TR INC COM 896287109 3081 86800 SH SOLE 86800 0 0 TRINITY INDS INC COM 896522109 1950 52000 SH SOLE 52000 0 0 TRINOVA CORP COM 896678109 560 15400 SH SOLE 15400 0 0 TRIZEC HAHN CORP SUB VTG 896938107 1986 123702 SH SOLE 123702 0 0 TRUE NORTH COMMUNICATIONS INC COM 897844106 411 18800 SH SOLE 18800 0 0 TRUSTMARK CORP COM 898402102 530 20800 SH SOLE 20800 0 0 TRW INC COM 872649108 13588 274500 SH SOLE 274500 0 0 TUCSON ELEC PWR CO COM NEW 898813704 836 50640 SH SOLE 50640 0 0 TULTEX CORP COM 899900104 343 49000 SH SOLE 49000 0 0 TVX GOLD INC COM 87308K101 145 25600 SH SOLE 25600 0 0 TYCO INTERNATIONAL LTD COM 902120104 12204 230800 SH SOLE 230800 0 0 TYCO TOYS INC COM 902128107 558 47500 SH SOLE 47500 0 0 TYSON FOODS INC CL A 902494103 459 13400 SH SOLE 13400 0 0 U S BANCORP ORE COM 911596104 10353 230400 SH SOLE 230400 0 0 U S BIOSCIENCE INC COM PAR $001 911646206 420 33250 SH SOLE 33250 0 0 U S G CORP COM NEW 903293405 332 9800 SH SOLE 9800 0 0 U S INDS INC NEW COM 912080108 241 7000 SH SOLE 7000 0 0 U S ROBOTICS CORP COM 90338F100 281 3900 SH SOLE 3900 0 0 U S WEST INC COM-COMMUNCTNS 912889102 10410 322800 SH SOLE 322800 0 0 U S WEST INC COM-MEDIA GRP 912889201 1540 83800 SH SOLE 83800 0 0 ULTRAMAR DIAMOND SHAMROCK CORP COM 904000106 2408 76142 SH SOLE 76142 0 0 UNICOM CORP COM 904911104 3890 143400 SH SOLE 143400 0 0 UNIFI INC COM 904677101 1118 34800 SH SOLE 34800 0 0 UNIFIRST CORP MASS COM 904708104 202 9500 SH SOLE 9500 0 0 PAGE 27 VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE UNILEVER N V NEW YORK SHS 904784501 46319 264300 SH SOLE 264300 0 0 UNION CARBIDE CORP COM 905581104 12545 306900 SH SOLE 306900 0 0 UNION PAC RES GROUP INC COM 907834105 493 17000 SH SOLE 17000 0 0 UNION PLANTERS CORP COM 908068109 433 11100 SH SOLE 11100 0 0 UNION TEX PETE HLDGS INC COM 908640105 3654 163300 SH SOLE 163300 0 0 UNIONBANCAL CORP COM 908906100 424 8000 SH SOLE 8000 0 0 UNISYS CORP COM 909214108 758 112300 SH SOLE 112300 0 0 UNITED ASSET MGMT CORP COM 909420101 1086 40800 SH SOLE 40800 0 0 UNITED CAROLINA BANCSHARES CP COM 909796104 442 11200 SH SOLE 11200 0 0 UNITED COS FINL CORP COM 909870107 1784 67000 SH SOLE 67000 0 0 UNITED DOMINION INDS LTD COM 909914103 2479 144584 SH SOLE 144584 0 0 UNITED DOMINION REALTY TR INC COM 910197102 4177 269500 SH SOLE 269500 0 0 UNITED ILLUM CO COM 910637107 615 19600 SH SOLE 19600 0 0 UNITED INDL CORP COM 910671106 85 14400 SH SOLE 14400 0 0 UNITED STATES FILTER CORP NEW COM NEW 911843209 371 11700 SH SOLE 11700 0 0 UNITED STATES SURGICAL CORP COM 912707106 7469 189700 SH SOLE 189700 0 0 UNITED TECHNOLOGIES CORP COM 913017109 8500 128300 SH SOLE 128300 0 0 UNITED TELEVISION INC COM 913066106 405 4700 SH SOLE 4700 0 0 UNITED WIS SVCS INC COM 913236105 386 14700 SH SOLE 14700 0 0 UNITED WTR RES INC COM 913190104 326 21048 SH SOLE 21048 0 0 UNIVERSAL CORP VA COM 913456109 1218 37900 SH SOLE 37900 0 0 UNIVERSAL FOODS CORP COM 913538104 3339 94725 SH SOLE 94725 0 0 UNIVERSAL HLTH SVCS INC CL B 913903100 819 28600 SH SOLE 28600 0 0 UNOCAL CORP COM 915289102 29091 713900 SH SOLE 713900 0 0 URBAN SHOPPING CTRS INC COM 917060105 2729 94100 SH SOLE 94100 0 0 USA WASTE SVCS INC COM 902917103 1277 40050 SH SOLE 40050 0 0 USAIR GROUP INC COM 911905107 3962 169500 SH SOLE 169500 0 0 USAIR GROUP INC PFD B CV DEPSH 911905305 1760 27500 SH SOLE 27500 0 0 USF&G CORP COM 903290104 1134 54300 SH SOLE 54300 0 0 USFREIGHTWAYS CORP COM 916906100 645 23500 SH SOLE 23500 0 0 USLIFE CORP COM 917318107 3220 96850 SH SOLE 96850 0 0 USX MARATHON GROUP COM NEW 902905827 7088 296900 SH SOLE 296900 0 0 USX-U S STL COM 90337T101 5497 175200 SH SOLE 175200 0 0 UTAH MED PRODS INC COM 917488108 514 38400 SH SOLE 38400 0 0 UTILICORP UTD INC COM 918005109 851 31500 SH SOLE 31500 0 0 V F CORP COM 918204108 14054 208200 SH SOLE 208200 0 0 VALERO ENERGY CORP COM 919138107 1572 54900 SH SOLE 54900 0 0 VALSPAR CORP COM 920355104 1127 19900 SH SOLE 19900 0 0 VALUE CITY DEPT STORES INC COM 920387107 526 50100 SH SOLE 50100 0 0 VALUE HEALTH INC COM 920393105 507 26000 SH SOLE 26000 0 0 VANS INC COM 921930103 141 11300 SH SOLE 11300 0 0 VARCO INTL INC COM 922126107 317 13700 SH SOLE 13700 0 0 VARIAN ASSOC INC COM 922204102 534 10500 SH SOLE 10500 0 0 VENCOR INC COM 922602107 251 7948 SH SOLE 7948 0 0 VENTURE STORES INC COM 923275101 96 31900 SH SOLE 31900 0 0 VERIFONE INC COM 923429104 263 8900 SH SOLE 8900 0 0 VINA CONCHA Y TORO S A SPONSORED ADR 927191106 1553 66100 SH SOLE 66100 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 558 24000 SH SOLE 24000 0 0 VITAL SIGNS INC COM 928469105 764 29400 SH SOLE 29400 0 0 VITRO SOCIEDAD ANONIMA SPONSORED ADR 928502301 7919 1439900 SH SOLE 1439900 0 0 PAGE 28 VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE VIVRA INC COM 92855M104 528 19100 SH SOLE 19100 0 0 VLSI TECHNOLOGY INC COM 918270109 723 30300 SH SOLE 30300 0 0 VOLT INFORMATION SCIENCES INC COM 928703107 372 8500 SH SOLE 8500 0 0 VONS COS INC COM 928869106 3365 56200 SH SOLE 56200 0 0 VORNADO RLTY TR SH BEN INT 929042109 7471 142300 SH SOLE 142300 0 0 VULCAN MATLS CO COM 929160109 931 15300 SH SOLE 15300 0 0 WABAN INC COM 929394104 1557 59900 SH SOLE 59900 0 0 WABASH NATL CORP COM 929566107 1147 62400 SH SOLE 62400 0 0 WACHOVIA CORP COM 929771103 1170 20700 SH SOLE 20700 0 0 WACKENHUT CORP COM SER A 929794105 326 18900 SH SOLE 18900 0 0 WAL MART STORES INC COM 931142103 26001 1142900 SH SOLE 1142900 0 0 WALDEN RESIDENTIAL PPTYS INC COM 931210108 2366 95100 SH SOLE 95100 0 0 WALLACE COMPUTER SERVICES INC COM 932270101 4502 130500 SH SOLE 130500 0 0 WARNER LAMBERT CO COM 934488107 47663 635500 SH SOLE 635500 0 0 WASHINGTON FED INC COM 938824109 1183 44650 SH SOLE 44650 0 0 WASHINGTON GAS LT CO COM 938837101 561 24800 SH SOLE 24800 0 0 WASHINGTON MUT INC COM 939322103 645 14900 SH SOLE 14900 0 0 WASHINGTON NATL CORP COM 939339107 363 13200 SH SOLE 13200 0 0 WASHINGTON POST CO CL B 939640108 369 1100 SH SOLE 1100 0 0 WASHINGTON REAL ESTATE INVT TR SH BEN INT 939653101 1484 84800 SH SOLE 84800 0 0 WASHINGTON WTR PWR CO COM 940688104 544 29200 SH SOLE 29200 0 0 WASTE MGMT INTL PLC SPONSORED ADR 940906100 1181 150000 SH SOLE 150000 0 0 WATTS INDS INC CL A 942749102 1165 48800 SH SOLE 48800 0 0 WD-40 CO COM 929236107 485 9500 SH SOLE 9500 0 0 WEBB DEL CORP COM 947423109 309 18900 SH SOLE 18900 0 0 WEEKS CORP COM 94856P102 2603 78300 SH SOLE 78300 0 0 WEINGARTEN RLTY INVS SH BEN INT 948741103 5249 129200 SH SOLE 129200 0 0 WEIS MKTS INC COM 948849104 1709 53600 SH SOLE 53600 0 0 WELLMAN INC COM 949702104 1176 68700 SH SOLE 68700 0 0 WELLPOINT HEALTH NETWORK NEW CL A 94973H108 1939 56404 SH SOLE 56404 0 0 WELLS FARGO & CO DEL COM 949740104 845 3133 SH SOLE 3133 0 0 WELLSFORD RESIDENTIAL PPTY TR COM SH BEN INT 950241109 1651 68100 SH SOLE 68100 0 0 WERNER ENTERPRISES INC COM 950755108 629 34700 SH SOLE 34700 0 0 WEST INC COM 953348109 240 8500 SH SOLE 8500 0 0 WESTCOAST ENERGY INC COM 95751D102 3896 300300 SH SOLE 300300 0 0 WESTERN DIGITAL CORP COM 958102105 4749 83500 SH SOLE 83500 0 0 WESTERN GAS RES INC COM 958259103 988 51300 SH SOLE 51300 0 0 WESTERN INVT REAL ESTATE TR SH BEN INT 958468100 833 64100 SH SOLE 64100 0 0 WESTERN NATL CORP COM 958845109 239 12400 SH SOLE 12400 0 0 WESTERN RES INC COM 959425109 550 17800 SH SOLE 17800 0 0 WESTPOINT STEVENS INC COM 961238102 245 8200 SH SOLE 8200 0 0 WESTVACO CORP COM 961548104 7185 249900 SH SOLE 249900 0 0 WET SEAL INC CL A 961840105 515 24100 SH SOLE 24100 0 0 WEYERHAEUSER CO COM 962166104 786 16600 SH SOLE 16600 0 0 WHEELABRATOR TECH INC NEW COM PAR $001 962901302 8530 524900 SH SOLE 524900 0 0 WHITMAN CORP COM 96647K102 6591 288150 SH SOLE 288150 0 0 WHX CORP COM 929248102 236 26600 SH SOLE 26600 0 0 WICOR INC COM 929253102 251 7000 SH SOLE 7000 0 0 WILEY JOHN & SONS INC CL A 968223206 403 12500 SH SOLE 12500 0 0 WILLAMETTE INDS INC COM 969133107 279 4000 SH SOLE 4000 0 0 PAGE 29 VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE WILLIAMS COS INC DEL COM 969457100 675 18000 SH SOLE 18000 0 0 WILLIAMS SONOMA INC COM 969904101 356 9800 SH SOLE 9800 0 0 WILMINGTON TRUST CORP COM 971807102 909 23000 SH SOLE 23000 0 0 WINSTON HOTELS INC COM 97563A102 842 61800 SH SOLE 61800 0 0 WISCONSIN CENT TRANSN CORP COM 976592105 365 9200 SH SOLE 9200 0 0 WISCONSIN ENERGY CORP COM 976657106 8640 331400 SH SOLE 331400 0 0 WLR FOODS INC COM 929286102 352 28450 SH SOLE 28450 0 0 WMX TECHNOLOGIES INC COM 92929Q107 5444 167500 SH SOLE 167500 0 0 WOOLWORTH CORP COM 980883102 444 20200 SH SOLE 20200 0 0 WORLDCORP INC COM 981904105 253 54700 SH SOLE 54700 0 0 WPL HLDGS INC COM 929305100 366 13000 SH SOLE 13000 0 0 WPS RESOURCES CORP COM 92931B106 265 9300 SH SOLE 9300 0 0 WRIGLEY WM JR CO COM 982526105 1401 24900 SH SOLE 24900 0 0 WYLE ELECTRONICS INC COM 983051103 308 7800 SH SOLE 7800 0 0 WYMAN GORDON CO COM 983085101 449 20200 SH SOLE 20200 0 0 WYNNS INTL INC COM 983195108 245 7750 SH SOLE 7750 0 0 XEROX CORP COM 984121103 21797 414200 SH SOLE 414200 0 0 XIRCOM INC COM 983922105 470 21600 SH SOLE 21600 0 0 YELLOW CORP COM 985509108 697 48500 SH SOLE 48500 0 0 YPF SOCIEDAD ANONIMA SPON ADR CL D 984245100 19867 786803 SH SOLE 786803 0 0 ZALE CORP NEW COM 988858106 672 34900 SH SOLE 34900 0 0 ZEIGLER COAL HLDG CO COM 989286109 455 21300 SH SOLE 21300 0 0 ZENITH ELECTRS CORP COM 989349105 1398 130000 SH SOLE 130000 0 0 ZENITH NATL INS CORP COM 989390109 391 14300 SH SOLE 14300 0 0 ZILOG INC COM 989524103 614 23500 SH SOLE 23500 0 0 ZIONS BANCORPORATION COM 989701107 270 2600 SH SOLE 2600 0 0 ZURN INDS INC COM 989824107 883 33800 SH SOLE 33800 0 0 REPORT SUMMARY 1377 DATA RECORDS 5553963 3 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
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