-----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, KSBKZx6pWBMVpTuWvSomjmwoW0SLwSqzNw2m0N0WbIxc2FMjvdWKgCSWN1FjN18/ DessdovowcIe9hsWXx0/aA== 0000903893-96-000895.txt : 19961031 0000903893-96-000895.hdr.sgml : 19961031 ACCESSION NUMBER: 0000903893-96-000895 CONFORMED SUBMISSION TYPE: 13F-E PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19960930 FILED AS OF DATE: 19961030 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: 96650102 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: 09/30/96 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 504 28600 SH SOLE 28600 0 0 3COM CORP COM 885535104 216 3600 SH SOLE 3600 0 0 AAR CORP COM 000361105 463 20000 SH SOLE 20000 0 0 ABBOTT LABS COM 002824100 64670 1313104 SH SOLE 1313104 0 0 ABITIBI PRICE INC COM 003680105 5359 565400 SH SOLE 565400 0 0 ADAC LABS COM NEW 005313200 706 35100 SH SOLE 35100 0 0 ADVANCED MICRO DEVICES INC COM 007903107 221 15000 SH SOLE 15000 0 0 ADVANCED SEMICONDUCTOR MATL IN COM 007914104 39715 4126271 SH SOLE 4126271 0 0 ADVO INC COM 007585102 341 28700 SH SOLE 28700 0 0 AETNA INC COM 008117103 900 12784 SH SOLE 12784 0 0 AFLAC INC COM 001055102 2297 64700 SH SOLE 64700 0 0 AGL RES INC COM 001204106 635 33200 SH SOLE 33200 0 0 AIR CDA INC CL A NON VTG 008911307 234 100000 SH SOLE 100000 0 0 AIR CDA INC SUB DB CON 8%05 008911AB5 356 700000 SH SOLE 700000 0 0 AJL PEPS TR PEPS EXCH AJL 009710104 6123 310000 SH SOLE 310000 0 0 ALBEMARLE CORP COM 012653101 428 25000 SH SOLE 25000 0 0 ALBERTA ENERGY LTD COM 012873105 4314 295703 SH SOLE 295703 0 0 ALBERTO CULVER CO CL B CONV 013068101 1089 25100 SH SOLE 25100 0 0 ALBERTSONS INC COM 013104104 25233 599000 SH SOLE 599000 0 0 ALCAN ALUMINIUM LTD NEW COM 013716105 1260 42000 SH SOLE 42000 0 0 ALEX BROWN INC COM 013902101 1875 32400 SH SOLE 32400 0 0 ALEXANDER & ALEXANDER SVCS INC COM 014476105 416 25000 SH SOLE 25000 0 0 ALLEGHANY CORP DEL COM 017175100 1020 4974 SH SOLE 4974 0 0 ALLEGHENY PWR SYS INC COM 017411109 6310 217600 SH SOLE 217600 0 0 ALLEGHENY TELEDYNE INC COM 017415100 2149 95000 SH SOLE 95000 0 0 ALLERGAN INC COM 018490102 446 11700 SH SOLE 11700 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 431 8300 SH SOLE 8300 0 0 ALLMERICA PPTY & CAS COS INC COM 01975T105 3874 133600 SH SOLE 133600 0 0 ALLSTATE CORP COM 020002101 41344 839482 SH SOLE 839482 0 0 ALLWASTE INC COM 020047106 71 16800 SH SOLE 16800 0 0 ALZA CORP DEL COM 022615108 973 36200 SH SOLE 36200 0 0 AMBAC INC COM 023139108 8569 153700 SH SOLE 153700 0 0 AMERADA HESS CORP COM 023551104 539 10200 SH SOLE 10200 0 0 AMERICA WEST AIRLS INC CL B 023650203 294 25000 SH SOLE 25000 0 0 AMERICAN BANKERS INS GROUP INC COM 024456105 1750 35000 SH SOLE 35000 0 0 AMERICAN BRANDS INC COM 024703100 2320 54900 SH SOLE 54900 0 0 AMERICAN BUSINESS INFORMATION COM 02476F107 265 14700 SH SOLE 14700 0 0 AMERICAN ELEC PWR INC COM 025537101 13223 325500 SH SOLE 325500 0 0 AMERICAN EXPRESS CO COM 025816109 2539 54900 SH SOLE 54900 0 0 AMERICAN FINL GROUP INC COM 02608W101 205 6500 SH SOLE 6500 0 0 AMERICAN GENERAL CORP COM 026351106 646 17100 SH SOLE 17100 0 0 AMERICAN GREETINGS CORP CL A 026375105 1288 45000 SH SOLE 45000 0 0 AMERICAN HOME PRODS CORP COM 026609107 94314 1479440 SH SOLE 1479440 0 0 AMERICAN MEDIA INC CL A 02744L100 194 35200 SH SOLE 35200 0 0 AMERICAN NATL INS CO COM 028591105 918 13500 SH SOLE 13500 0 0 AMERICAN STORES CO NEW COM 030096101 760 19000 SH SOLE 19000 0 0 AMERICAN WTR WKS INC COM 030411102 1907 88700 SH SOLE 88700 0 0 AMERITECH CORP NEW COM 030954101 874 16600 SH SOLE 16600 0 0 AMGEN INC COM 031162100 10258 162500 SH SOLE 162500 0 0 AMLI RESIDENTIAL PPTYS TR SH BEN INT 001735109 369 17700 SH SOLE 17700 0 0 PAGE 3 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 AMOCO CORP COM 031905102 6246 88600 SH SOLE 88600 0 0 AMR CORP COM 001765106 956 12000 SH SOLE 12000 0 0 ANHEUSER BUSCH COS INC COM 035229103 91827 2432500 SH SOLE 2432500 0 0 AON CORP COM 037389103 15122 278750 SH SOLE 278750 0 0 APARTMENT INVT & MGMT CO CL A 03748R101 533 25400 SH SOLE 25400 0 0 APPLE COMPUTER INC COM 037833100 377 17000 SH SOLE 17000 0 0 AQUARION CO COM 03838W101 225 8500 SH SOLE 8500 0 0 ARBOR DRUGS INC COM 038760104 1119 51450 SH SOLE 51450 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 49515 2572217 SH SOLE 2572217 0 0 ARCTIC CAT INC COM 039670104 174 18525 SH SOLE 18525 0 0 ARGONAUT GROUP INC COM 040157109 664 22500 SH SOLE 22500 0 0 ASARCO INC COM 043413103 398 15000 SH SOLE 15000 0 0 ASSOCIATED ESTATES RLTY CORP COM 045604105 441 21500 SH SOLE 21500 0 0 AT&T CORP COM 001957109 125771 2407100 SH SOLE 2407100 0 0 ATLANTIC ENERGY INC N J COM 048903108 1706 97500 SH SOLE 97500 0 0 ATLANTIC RICHFIELD CO COM 048825103 3812 29900 SH SOLE 29900 0 0 ATLANTIC TELE NETWORK INC COM 049079106 253 12500 SH SOLE 12500 0 0 AUTOZONE INC COM 053332102 8039 277200 SH SOLE 277200 0 0 AVALON PPTYS INC COM 053469102 226 9700 SH SOLE 9700 0 0 AVNET INC COM 053807103 243 5000 SH SOLE 5000 0 0 AVON PRODS INC COM 054303102 26812 540300 SH SOLE 540300 0 0 BAKER J INC COM 057232100 106 17400 SH SOLE 17400 0 0 BALL CORP COM 058498106 578 23600 SH SOLE 23600 0 0 BALLARD MED PRODS COM 058566100 710 36400 SH SOLE 36400 0 0 BALTIMORE GAS & ELEC CO COM 059165100 7002 268000 SH SOLE 268000 0 0 BANCO GANADERO S A SPONSRD ADR B 059594408 974 35900 SH SOLE 35900 0 0 BANCORP HAWAII INC COM 059685107 328 8400 SH SOLE 8400 0 0 BANDAG INC COM 059815100 5091 103100 SH SOLE 103100 0 0 BANK MONTREAL QUE COM 063671101 3529 178059 SH SOLE 178059 0 0 BANKAMERICA CORP COM 066050105 3466 42200 SH SOLE 42200 0 0 BANKERS LIFE HLDG CORP COM 066229105 606 24800 SH SOLE 24800 0 0 BANPONCE CORP NEW COM 066704107 740 27400 SH SOLE 27400 0 0 BANTA CORP COM 066821109 1130 49650 SH SOLE 49650 0 0 BARNES GROUP INC COM 067806109 219 4400 SH SOLE 4400 0 0 BAY APT CMNTYS INC COM 072012107 590 20700 SH SOLE 20700 0 0 BCE INC COM 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AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE BLACK HILLS CORP COM 092113109 254 9800 SH SOLE 9800 0 0 BLAIR CORP COM 092828102 331 15400 SH SOLE 15400 0 0 BLOCK DRUG INC CL A 093644102 409 9109 SH SOLE 9109 0 0 BLOCK H & R INC COM 093671105 2529 85000 SH SOLE 85000 0 0 BMC INDS INC MINN COM 055607105 1689 59000 SH SOLE 59000 0 0 BOB EVANS FARMS INC COM 096761101 1113 83200 SH SOLE 83200 0 0 BOEING CO COM 097023105 5353 56650 SH SOLE 56650 0 0 BOISE CASCADE CORP DEP ACES 1/10S 097383863 560 20000 SH SOLE 20000 0 0 BONE CARE INTL INC COM 098072101 65 10875 SH SOLE 10875 0 0 BORDEN CHEMS&PLASTIC LTD PARTN DEPOS COM UNIT 099541203 129 14300 SH SOLE 14300 0 0 BOSTON EDISON CO COM 100599109 383 17400 SH SOLE 17400 0 0 BOSTON SCIENTIFIC CORP COM 101137107 2956 51400 SH SOLE 51400 0 0 BOWNE & CO INC COM 103043105 556 24300 SH SOLE 24300 0 0 BRADLEY REAL ESTATE INC COM 104580105 452 27800 SH SOLE 27800 0 0 BRADY WH CO CL A 104674106 405 16100 SH SOLE 16100 0 0 BRASCAN LTD CL A 105502405 2720 200300 SH SOLE 200300 0 0 BRE PROPERTIES INC CL A 05564E106 352 17600 SH SOLE 17600 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 140698 1459900 SH SOLE 1459900 0 0 BROOKLYN UN GAS CO COM 114259104 1569 56300 SH SOLE 56300 0 0 BROWNING FERRIS INDS COM 115885105 875 35000 SH SOLE 35000 0 0 BUCKLE INC COM 118440106 200 6300 SH SOLE 6300 0 0 BUFFETS INC COM 119882108 478 45500 SH SOLE 45500 0 0 BURLINGTON COAT FACTORY COM 121579106 399 36300 SH SOLE 36300 0 0 BURLINGTON NORTHN SANTA FE CP COM 12189T104 57628 683000 SH SOLE 683000 0 0 BURNHAM PAC PPTYS INC COM 12232C108 290 24700 SH SOLE 24700 0 0 BW/IP INC CL A 056044100 236 15200 SH SOLE 15200 0 0 CABLETRON SYS INC COM 126920107 21367 312500 SH SOLE 312500 0 0 CADENCE DESIGN SYSTEM INC COM 127387108 16787 466300 SH SOLE 466300 0 0 CALDOR CORP COM 128787108 72 38200 SH SOLE 38200 0 0 CALENERGY INC COM 129466108 1479 46400 SH SOLE 46400 0 0 CALI REALTY CORP COM 129909107 540 19900 SH SOLE 19900 0 0 CALLAWAY GOLF CO COM 131193104 15547 455600 SH SOLE 455600 0 0 CAMDEN PPTY TR SH BEN INT 133131102 582 22700 SH SOLE 22700 0 0 CAMECO CORP COM 13321L108 680 18900 SH SOLE 18900 0 0 CANADIAN MARCONI CO COM 136357100 492 55800 SH SOLE 55800 0 0 CANADIAN OCCIDENTAL PETE LTD COM 136420106 2208 185144 SH SOLE 185144 0 0 CANADIAN PAC LTD NEW COM 135923100 3937 179400 SH SOLE 179400 0 0 CAPITAL RE CORP COM 140432105 502 13200 SH SOLE 13200 0 0 CAPITOL AMERN FINL CORP COM 14055J103 425 11900 SH SOLE 11900 0 0 CARDINAL HEALTH INC COM 14149Y108 6701 81100 SH SOLE 81100 0 0 CARNIVAL CORP CL A 143658102 217 7000 SH SOLE 7000 0 0 CAROLINA PWR & LT CO COM 144141108 3812 110500 SH SOLE 110500 0 0 CARRAMERICA REALTY CORP COM 14441K103 725 29000 SH SOLE 29000 0 0 CASEYS GEN STORES INC COM 147528103 1101 62900 SH SOLE 62900 0 0 CASINO AMER INC COM 147575104 216 31950 SH SOLE 31950 0 0 CATALINA MARKETING CORP COM 148867104 1006 18900 SH SOLE 18900 0 0 CBL & ASSOC PPTYS INC COM 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GCA RLTY INC COM 163262108 714 23300 SH SOLE 23300 0 0 CHEMED CORP COM 163596109 414 10900 SH SOLE 10900 0 0 CHEVRON CORPORATION COM 166751107 1090 17400 SH SOLE 17400 0 0 CHIRON CORP COM 170040109 1965 103400 SH SOLE 103400 0 0 CHRIS CRAFT INDS INC COM 170520100 3677 88078 SH SOLE 88078 0 0 CHRYSLER CORP COM 171196108 67240 2349000 SH SOLE 2349000 0 0 CHUBB CORP COM 171232101 5111 111100 SH SOLE 111100 0 0 CIGNA CORP COM 125509109 30784 256800 SH SOLE 256800 0 0 CILCORP INC COM 171794100 394 9900 SH SOLE 9900 0 0 CINCINNATI BELL INC COM 171870108 5327 100500 SH SOLE 100500 0 0 CINCINNATI MILACRON INC COM 172172108 1840 97500 SH SOLE 97500 0 0 CINERGY CORP COM 172474108 11016 356800 SH SOLE 356800 0 0 CIPSCO INC COM 125539106 926 26000 SH SOLE 26000 0 0 CIRCUIT CITY STORE INC COM 172737108 480 13300 SH SOLE 13300 0 0 CIRCUS CIRCUS ENTERPRISES INC COM 172909103 2062 58300 SH SOLE 58300 0 0 CISCO SYS INC COM 17275R102 143314 2309200 SH SOLE 2309200 0 0 CITICORP COM 173034109 82813 913799 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CORNING INC COM 219350105 4988 127900 SH SOLE 127900 0 0 COUSINS PPTYS INC COM 222795106 1463 66500 SH SOLE 66500 0 0 CPC INTL INC COM 126149103 29441 393200 SH SOLE 393200 0 0 CPI CORP COM 125902106 302 16100 SH SOLE 16100 0 0 CRAIG JENNY INC COM 224206102 100 10800 SH SOLE 10800 0 0 CREDICORP LTD COM G2519Y108 619 553834 SH SOLE 553834 0 0 CRESCENT REAL ESTATE EQUITIES COM 225756105 1135 27600 SH SOLE 27600 0 0 CROWN AMERN RLTY TR SH BEN INT 228186102 707 89800 SH SOLE 89800 0 0 CROWN BOOKS CORP COM 228210100 106 10700 SH SOLE 10700 0 0 CULBRO CORP COM 229890108 266 4800 SH SOLE 4800 0 0 CURATIVE HEALTH SVCS INC COM 231264102 212 11000 SH SOLE 11000 0 0 CYPRUS AMAX MINERALS CO COM 232809103 720 33500 SH SOLE 33500 0 0 DAMES & MOORE INC COM 235713104 246 18400 SH SOLE 18400 0 0 DARDEN RESTAURANTS INC COM 237194105 431 50000 SH SOLE 50000 0 0 DATA BROADCASTING CORP COM 237596101 420 46000 SH SOLE 46000 0 0 DE BEERS CONS MINES LTD ADR DEFD 240253302 1423 45900 SH SOLE 45900 0 0 DEAN 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DUN & BRADSTREET CORP COM 264830100 20433 342700 SH SOLE 342700 0 0 EASTERN ENTERPRISES COM 27637F100 1438 38100 SH SOLE 38100 0 0 EASTERN UTILS ASSOC COM 277173100 389 23200 SH SOLE 23200 0 0 EASTMAN KODAK CO COM 277461109 4632 59000 SH SOLE 59000 0 0 EATON VANCE CORP COM NON VTG 278265103 774 19900 SH SOLE 19900 0 0 EDISON INTL COM 281020107 8010 448100 SH SOLE 448100 0 0 EDWARDS AG INC COM 281760108 11243 386027 SH SOLE 386027 0 0 EGGHEAD INC COM 282330109 254 42300 SH SOLE 42300 0 0 EL PASO NAT GAS CO COM NEW 283695872 1448 32917 SH SOLE 32917 0 0 EMBOTELLADORA ANDINA S A SPONSORED ADR 29081P105 2561 73700 SH SOLE 73700 0 0 EMPI INC COM 291586105 349 24900 SH SOLE 24900 0 0 EMPRESAS ICA SOCIEDAD CONTRLAD SPONSORED ADR 292448107 10916 715800 SH SOLE 715800 0 0 EMPRESAS TELEX CHILE S A SPONSORED ADR 29245D105 469 78200 SH SOLE 78200 0 0 ENERGEN CORP COM 29265N108 230 9600 SH SOLE 9600 0 0 ENERGY VENTURES INC COM 292740107 429 10600 SH SOLE 10600 0 0 ENHANCE FINL SVCS GROUP INC COM 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PRIMARK CORP COM 741903108 630 23000 SH SOLE 23000 0 0 PRIME MED SVCS INC NEW COM 74156D108 155 11700 SH SOLE 11700 0 0 PRIME RETAIL INC COM 741570105 283 23600 SH SOLE 23600 0 0 PROGRESSIVE CORP OHIO COM 743315103 647 11300 SH SOLE 11300 0 0 PROTECTIVE LIFE CORP COM 743674103 1759 46600 SH SOLE 46600 0 0 PROVIDENT COS INC COM 743862104 5213 139000 SH SOLE 139000 0 0 PROVIDIAN CORP COM 744061102 10759 250200 SH SOLE 250200 0 0 PUBLIC SERVICE CO COLO COM 744448101 4590 129300 SH SOLE 129300 0 0 PUBLIC STORAGE INC COM 74460D109 3625 160200 SH SOLE 160200 0 0 PUBLIC SVC CO N MEX COM 744499104 2085 106900 SH SOLE 106900 0 0 PUBLIC SVC ENTERPRISE GROUP COM 744573106 2900 108400 SH SOLE 108400 0 0 PUGET SOUND PWR & LT CO COM 745332106 1649 73300 SH SOLE 73300 0 0 PULITZER PUBG CO COM 745771105 1302 22800 SH SOLE 22800 0 0 PULTE CORP COM 745867101 958 37400 SH SOLE 37400 0 0 QUAKER ST CORP COM 747410108 364 21100 SH SOLE 21100 0 0 QUALITY FOOD CTRS INC COM 747565109 1209 34800 SH SOLE 34800 0 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SOLE 214600 0 0 REPUBLIC INDS INC COM 760516104 783 27000 SH SOLE 27000 0 0 REPUBLIC N Y CORP COM 760719104 643 9300 SH SOLE 9300 0 0 RESEARCH MEDICAL INC COM 761004100 407 23400 SH SOLE 23400 0 0 RESPIRONICS INC COM 761230101 378 15600 SH SOLE 15600 0 0 REVCO DS INC NEW COM 761339100 411 14000 SH SOLE 14000 0 0 REYNOLDS METALS CO COM 761763101 1099 21500 SH SOLE 21500 0 0 RFS HOTEL INVS INC COM 74955J108 653 41800 SH SOLE 41800 0 0 RHONE POULENC RORER INC COM 76242T104 17817 242000 SH SOLE 242000 0 0 RICHFOOD HLDGS INC COM 763408101 1334 35800 SH SOLE 35800 0 0 RITE AID CORP COM 767754104 2382 65700 SH SOLE 65700 0 0 RJR NABISCO HOLDINGS CORP PFD C DEP1/10S 74960K884 3225 600000 SH SOLE 600000 0 0 RLI CORP COM 749607107 267 10275 SH SOLE 10275 0 0 ROBERT HALF INTL INC COM 770323103 8625 233900 SH SOLE 233900 0 0 ROC COMMUNITIES INC COM 749650107 614 25200 SH SOLE 25200 0 0 ROCHESTER GAS & ELEC CORP COM 771367109 1018 55800 SH SOLE 55800 0 0 ROCKWELL INTL CORP COM 774347108 1579 28000 SH SOLE 28000 0 0 ROLLINS INC COM 775711104 2022 100450 SH SOLE 100450 0 0 ROSS STORES INC COM 778296103 2704 75100 SH SOLE 75100 0 0 ROYAL BK CDA MONTREAL QUE COM 780087102 4201 200800 SH SOLE 200800 0 0 ROYAL DUTCH PETE CO NY REG GLDR 5 780257705 31678 202900 SH SOLE 202900 0 0 RUDDICK CORP COM 781258108 525 38200 SH SOLE 38200 0 0 RUSS BERRIE & CO COM 782233100 350 21700 SH SOLE 21700 0 0 RUSSELL CORP COM 782352108 938 29300 SH SOLE 29300 0 0 RYANS FAMILY STEAK HOUSE INC COM 783519101 635 83300 SH SOLE 83300 0 0 RYDER SYS INC COM 783549108 296 10000 SH SOLE 10000 0 0 RYKOFF-SEXTON INC COM 783759103 207 14400 SH SOLE 14400 0 0 SAFECO CORP COM 786429100 5712 163200 SH SOLE 163200 0 0 SAFEWAY INC COM NEW 786514208 25200 591200 SH SOLE 591200 0 0 SALOMON INC COM 79549B107 3089 67700 SH SOLE 67700 0 0 SANDERSON FARMS INC COM 800013104 185 16400 SH SOLE 16400 0 0 SARA LEE CORP COM 803111103 2091 58500 SH SOLE 58500 0 0 SAUL CTRS INC COM 804395101 224 16600 SH SOLE 16600 0 0 SBC COMMUNICATIONS INC COM 78387G103 2406 50000 SH SOLE 50000 0 0 SCANA CORP COM 805898103 4242 161600 SH SOLE 161600 0 0 SCHERING PLOUGH CORP COM 806605101 36383 592800 SH SOLE 592800 0 0 SCHLUMBERGER LTD COM 806857108 423 5000 SH SOLE 5000 0 0 SCRIPPS E W CO CL A 811039106 1641 35200 SH SOLE 35200 0 0 PAGE 15 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 SEAGATE TECHNOLOGY COM 811804103 13125 234900 SH SOLE 234900 0 0 SEAGRAM LTD COM 811850106 375 10000 SH SOLE 10000 0 0 SECURITY CAP PAC TR SH BEN INT 814141107 3095 146500 SH SOLE 146500 0 0 SELECTIVE INS GROUP INC COM 816300107 683 20400 SH SOLE 20400 0 0 SEMI-TECH CORP CL A SUB VTG 81662E108 7164 2439900 SH SOLE 2439900 0 0 SEQUA CORPORATION CL A 817320104 321 7200 SH SOLE 7200 0 0 SERVICE CORP INTL COM 817565104 31493 1041100 SH SOLE 1041100 0 0 SERVICE MERCHANDISE INC COM 817587108 447 94100 SH SOLE 94100 0 0 SHERWIN WILLIAMS CO COM 824348106 487 10500 SH SOLE 10500 0 0 SHONEYS INC COM 825039100 110 12100 SH SOLE 12100 0 0 SHOPKO STORES INC COM 824911101 364 22900 SH SOLE 22900 0 0 SHOWBIZ PIZZA TIME COM NEW 825388309 650 35850 SH SOLE 35850 0 0 SHOWBOAT INC COM 825390107 557 25300 SH SOLE 25300 0 0 SHURGARD STORAGE CTRS INC COM 82567D104 1219 47100 SH SOLE 47100 0 0 SIERRA PAC RES COM 826425100 743 28700 SH SOLE 28700 0 0 SIGCORP INC COM 826912107 365 10700 SH SOLE 10700 0 0 SILICON GRAPHICS INC COM 827056102 220 10000 SH SOLE 10000 0 0 SIMON DEBARTOLO GROUP INC COM 828781104 2729 107000 SH SOLE 107000 0 0 SMART & FINAL INC COM 831683107 353 14700 SH SOLE 14700 0 0 SMITH A O CL A 831865100 529 21800 SH SOLE 21800 0 0 SMITH CHARLES E RESDNTL RLTY COM 832197107 236 9800 SH SOLE 9800 0 0 SMITHKLINE BEECHAM PLC ADR REP ORD 832378301 761 12500 SH SOLE 12500 0 0 SMITHS FOOD & DRUG CTRS INC CL B 832388102 503 18965 SH SOLE 18965 0 0 SMUCKER J M CO CL A 832696108 213 12500 SH SOLE 12500 0 0 SNAP ON INC COM 833034101 9666 300900 SH SOLE 300900 0 0 SOCIEDAD QUIMICA MINERA DE CHI SPON ADR SER B 833635105 3882 69470 SH SOLE 69470 0 0 SOFAMOR/DANEK GROUP INC COM 834005100 2106 68200 SH SOLE 68200 0 0 SOLECTRON CORP COM 834182107 12593 257000 SH SOLE 257000 0 0 SONIC CORP COM 835451105 916 36100 SH SOLE 36100 0 0 SOUTH WEST PPTY TR INC COM 840649107 574 41400 SH SOLE 41400 0 0 SOUTHERN CALIF WTR CO COM 842502106 206 8900 SH SOLE 8900 0 0 SOUTHERN CO COM 842587107 20147 895400 SH SOLE 895400 0 0 SOUTHERN NATIONAL CORP COM 843444100 730 21960 SH SOLE 21960 0 0 SOUTHLAND CORP COM NEW 844436402 373 123000 SH SOLE 123000 0 0 SOUTHWEST AIRLS CO COM 844741108 334 14600 SH SOLE 14600 0 0 SOUTHWESTERN PUB SVC CO COM 845743103 686 21100 SH SOLE 21100 0 0 SPACELABS MED INC COM 846247104 333 15500 SH SOLE 15500 0 0 SPIEKER PPTYS INC COM 848497103 1199 40800 SH SOLE 40800 0 0 SPRINT CORP COM 852061100 53675 1380700 SH SOLE 1380700 0 0 SPX CORP COM 784635104 834 27900 SH SOLE 27900 0 0 ST PAUL COS INC COM 792860108 25713 463300 SH SOLE 463300 0 0 STANDARD PRODS CO COM 853836104 543 21500 SH SOLE 21500 0 0 STANDEX INTL CORP COM 854231107 396 13200 SH SOLE 13200 0 0 STANHOME INC COM VTG 854425105 2385 82600 SH SOLE 82600 0 0 STANLEY WKS COM 854616109 12713 452000 SH SOLE 452000 0 0 STAR BANC CORP COM 855083101 690 8100 SH SOLE 8100 0 0 STARTER CORP COM 855684106 191 30600 SH SOLE 30600 0 0 STARWOOD LODGING TR COMBND CTF NEW 855905204 570 13600 SH SOLE 13600 0 0 STATE ST BOSTON CORP COM 857473102 631 11000 SH SOLE 11000 0 0 STERIS CORP COM 859152100 843 24886 SH SOLE 24886 0 0 PAGE 16 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 STERLING SOFTWARE INC COM 859547101 13213 173000 SH SOLE 173000 0 0 STORAGE TECHNOLOGY CORP COM PAR $0.10 862111200 19278 503999 SH SOLE 503999 0 0 STORAGE TR RLTY SH BEN INT 861909109 381 17700 SH SOLE 17700 0 0 STORAGE USA INC COM 861907103 1310 39400 SH SOLE 39400 0 0 STRAWBRIDGE & CLOTHIER COM SER A 863200101 235 11660 SH SOLE 11660 0 0 STRIDE RITE CORP COM 863314100 505 56900 SH SOLE 56900 0 0 STUDENT LN CORP COM 863902102 224 6700 SH SOLE 6700 0 0 STUDENT LOAN MARKETING ASSN COM NEW VTG 863871505 29477 395000 SH SOLE 395000 0 0 SUMMIT PPTYS INC COM 866239106 2583 130800 SH SOLE 130800 0 0 SUN COMMUNITIES INC COM 866674104 359 12600 SH SOLE 12600 0 0 SUN MICROSYSTEMS INC COM 866810104 74140 1193400 SH SOLE 1193400 0 0 SUNAMERICA INC COM 866930100 2995 86500 SH SOLE 86500 0 0 SUNBEAM CORP COM 867071102 5000 217400 SH SOLE 217400 0 0 SUNCOR INC COM 867229106 552 20900 SH SOLE 20900 0 0 SUNTRUST BKS INC COM 867914103 935 22800 SH SOLE 22800 0 0 SUPER FOOD SVCS INC COM 867884108 140 12300 SH SOLE 12300 0 0 SUPERIOR SURGICAL MFG INC COM 868358102 158 13300 SH SOLE 13300 0 0 SUPERVALU INC COM 868536103 7829 284700 SH SOLE 284700 0 0 SYNETIC INC COM 87160F109 233 7400 SH SOLE 7400 0 0 TANDEM COMPUTERS INC COM 875370108 2475 225000 SH SOLE 225000 0 0 TARGET THERAPEUTICS INC COM 875919102 1009 23600 SH SOLE 23600 0 0 TAUBMAN CTRS INC COM 876664103 389 35000 SH SOLE 35000 0 0 TBC CORP COM 872180104 149 23450 SH SOLE 23450 0 0 TECHNOLOGY SOLUTIONS CO COM 87872T108 330 9450 SH SOLE 9450 0 0 TECO ENERGY INC COM 872375100 4403 185400 SH SOLE 185400 0 0 TELE COMMUNICATIONS INC NEW COM TCI GRP A 87924V101 1120 75000 SH SOLE 75000 0 0 TELECOMM ARGENTINA STET-FRANCE SPNS ADR REP B 879273209 501 12400 SH SOLE 12400 0 0 TELEFONICA DE ESPANA S A SPONSORED ADR 879382208 456 8200 SH SOLE 8200 0 0 TELEFONOS DE MEXICO S A SP ADR REP ORD 879403780 33359 1038400 SH SOLE 1038400 0 0 TENET HEALTHCARE CORP COM 88033G100 23359 1049850 SH SOLE 1049850 0 0 TENNECO INC NEW COM 880370101 1880 37500 SH SOLE 37500 0 0 TEXACO INC COM 881694103 12310 133800 SH SOLE 133800 0 0 TEXAS INDS INC COM 882491103 647 10800 SH SOLE 10800 0 0 TEXAS UTILS CO COM 882848104 7036 177000 SH SOLE 177000 0 0 THERMO INSTR SYS INC COM 883559106 5508 150400 SH SOLE 150400 0 0 THERMOTREX CORP COM 883666109 340 9200 SH SOLE 9200 0 0 THIOKOL CORP DEL COM 884103102 4320 92400 SH SOLE 92400 0 0 TIG HLDGS INC COM 872469101 675 22500 SH SOLE 22500 0 0 TJX COS INC NEW COM 872540109 13855 386200 SH SOLE 386200 0 0 TNP ENTERPRISES INC COM 872594106 205 8300 SH SOLE 8300 0 0 TOOTSIE ROLL INDS INC COM 890516107 869 24647 SH SOLE 24647 0 0 TORCHMARK CORP COM 891027104 14779 322150 SH SOLE 322150 0 0 TORONTO DOMINION BK ONT COM NEW 891160509 3519 235300 SH SOLE 235300 0 0 TOSCO CORP COM NEW 891490302 12435 226600 SH SOLE 226600 0 0 TOTAL PETE NORTH AMER LTD COM 891508103 360 48400 SH SOLE 48400 0 0 TOTAL SYS SVCS INC COM 891906109 1451 55800 SH SOLE 55800 0 0 TOYS R US INC COM 892335100 19773 678900 SH SOLE 678900 0 0 TRANSAMERICA CORP COM 893485102 4605 65909 SH SOLE 65909 0 0 TRANSATLANTIC HLDGS INC COM 893521104 2414 35500 SH SOLE 35500 0 0 TRANSCANADA PIPELINES LTD COM 893526103 2371 191278 SH SOLE 191278 0 0 PAGE 17 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 TRAVELERS GROUP INC COM 894190107 81331 1655600 SH SOLE 1655600 0 0 TREDEGAR INDS INC COM 894650100 434 12950 SH SOLE 12950 0 0 TRIBUNE CO NEW COM 896047107 4594 58900 SH SOLE 58900 0 0 TRINET CORP RLTY TR INC COM 896287109 889 28000 SH SOLE 28000 0 0 TRIZEC LTD NEW COM 896933108 3291 471900 SH SOLE 471900 0 0 TRUE NORTH COMMUNICATIONS INC COM 897844106 446 19300 SH SOLE 19300 0 0 TUCSON ELEC PWR CO COM NEW 898813704 169 10040 SH SOLE 10040 0 0 TULTEX CORP COM 899900104 209 38900 SH SOLE 38900 0 0 TURNER BROADCASTING SYS INC CL B 900262502 308 10900 SH SOLE 10900 0 0 TYCO INTERNATIONAL LTD COM 902120104 36669 850300 SH SOLE 850300 0 0 TYCO TOYS INC COM 902128107 321 55900 SH SOLE 55900 0 0 TYSON FOODS INC CL A 902494103 2148 80500 SH SOLE 80500 0 0 U S BIOSCIENCE INC COM PAR $0.01 911646206 375 28850 SH SOLE 28850 0 0 U S HOME CORP NEW COM 911920106 242 11900 SH SOLE 11900 0 0 U S WEST INC COM-COMMUNCTNS 912889102 4227 141500 SH SOLE 141500 0 0 U S WEST INC COM-MEDIA GRP 912889201 1291 76500 SH SOLE 76500 0 0 UNICOM CORP COM 904911104 6176 245800 SH SOLE 245800 0 0 UNIFI INC COM 904677101 1929 69500 SH SOLE 69500 0 0 UNILEVER N V NEW YORK SHS 904784501 79301 503100 SH SOLE 503100 0 0 UNION ELEC CO COM 906548102 3989 107800 SH SOLE 107800 0 0 UNION TEX PETE HLDGS INC COM 908640105 3136 145000 SH SOLE 145000 0 0 UNITED DOMINION INDS LTD COM 909914103 2155 146784 SH SOLE 146784 0 0 UNITED DOMINION REALTY TR INC COM 910197102 1358 97000 SH SOLE 97000 0 0 UNITED HEALTHCARE CORP COM 910581107 3222 77400 SH SOLE 77400 0 0 UNITED ILLUM CO COM 910637107 464 13500 SH SOLE 13500 0 0 UNITED INDL CORP COM 910671106 85 14700 SH SOLE 14700 0 0 UNITED STATES SURGICAL CORP COM 912707106 332 7900 SH SOLE 7900 0 0 UNITED TECHNOLOGIES CORP COM 913017109 2107 17500 SH SOLE 17500 0 0 UNITED TELEVISION INC COM 913066106 472 4900 SH SOLE 4900 0 0 UNITED WTR RES INC COM 913190104 318 19448 SH SOLE 19448 0 0 UNIVERSAL CORP VA COM 913456109 383 15000 SH SOLE 15000 0 0 UNIVERSAL FOODS CORP COM 913538104 5835 179525 SH SOLE 179525 0 0 UNOCAL CORP COM 915289102 3060 85000 SH SOLE 85000 0 0 URBAN SHOPPING CTRS INC COM 917060105 770 31600 SH SOLE 31600 0 0 USA WASTE SVCS INC COM 902917103 7798 247550 SH SOLE 247550 0 0 USAIR GROUP INC COM 911905107 3016 182800 SH SOLE 182800 0 0 USAIR GROUP INC PFD B CV DEPSH 911905305 1396 27500 SH SOLE 27500 0 0 USF&G CORP COM 903290104 1850 100000 SH SOLE 100000 0 0 USLIFE CORP COM 917318107 1928 64250 SH SOLE 64250 0 0 USX MARATHON GROUP COM NEW 902905827 5406 250000 SH SOLE 250000 0 0 USX-U S STL COM 90337T101 570 20000 SH SOLE 20000 0 0 UTAH MED PRODS INC COM 917488108 442 38400 SH SOLE 38400 0 0 V F CORP COM 918204108 22607 376000 SH SOLE 376000 0 0 VALERO ENERGY CORP COM 919138107 330 15000 SH SOLE 15000 0 0 VALSPAR CORP COM 920355104 1064 21600 SH SOLE 21600 0 0 VALUE CITY DEPT STORES INC COM 920387107 204 22700 SH SOLE 22700 0 0 VENCOR INC COM 922602107 256 7948 SH SOLE 7948 0 0 VENTURE STORES INC COM 923275101 136 31900 SH SOLE 31900 0 0 VINA CONCHA Y TORO S A SPONSORED ADR 927191106 1569 83100 SH SOLE 83100 0 0 VITAL SIGNS INC COM 928469105 603 29400 SH SOLE 29400 0 0 PAGE 18 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 VITRO SOCIEDAD ANONIMA SPONSORED ADR 928502301 7328 1172400 SH SOLE 1172400 0 0 VIVRA INC COM 92855M104 1285 39400 SH SOLE 39400 0 0 VOLT INFORMATION SCIENCES INC COM 928703107 315 7500 SH SOLE 7500 0 0 VONS COS INC COM 928869106 2693 62800 SH SOLE 62800 0 0 VORNADO RLTY TR SH BEN INT 929042109 2309 57000 SH SOLE 57000 0 0 WABAN INC COM 929394104 1720 75200 SH SOLE 75200 0 0 WACHOVIA CORP COM 929771103 703 14200 SH SOLE 14200 0 0 WAL MART STORES INC COM 931142103 3561 135000 SH SOLE 135000 0 0 WALDEN RESIDENTIAL PPTYS INC COM 931210108 1217 57600 SH SOLE 57600 0 0 WALLACE COMPUTER SERVICES INC COM 932270101 3545 124400 SH SOLE 124400 0 0 WARNER LAMBERT CO COM 934488107 26334 399000 SH SOLE 399000 0 0 WASHINGTON FED INC COM 938824109 386 16350 SH SOLE 16350 0 0 WASHINGTON GAS LT CO COM 938837101 728 33100 SH SOLE 33100 0 0 WASHINGTON POST CO CL B 939640108 3525 10100 SH SOLE 10100 0 0 WASHINGTON REAL ESTATE INVT TR SH BEN INT 939653101 597 37300 SH SOLE 37300 0 0 WASHINGTON WTR PWR CO COM 940688104 708 37500 SH SOLE 37500 0 0 WATERHOUSE INV SVCS INC COM 941547101 398 10500 SH SOLE 10500 0 0 WD-40 CO COM 929236107 461 9800 SH SOLE 9800 0 0 WEEKS CORP COM 94856P102 738 25900 SH SOLE 25900 0 0 WEINGARTEN RLTY INVS SH BEN INT 948741103 2023 52200 SH SOLE 52200 0 0 WEIS MKTS INC COM 948849104 2016 64000 SH SOLE 64000 0 0 WELLMAN INC COM 949702104 1208 69000 SH SOLE 69000 0 0 WELLPOINT HEALTH NETWORK NEW CL A 94973H108 1940 59680 SH SOLE 59680 0 0 WELLS FARGO & CO DEL COM 949740104 347 1333 SH SOLE 1333 0 0 WELLSFORD RESIDENTIAL PPTY TR COM SH BEN INT 950241109 554 25200 SH SOLE 25200 0 0 WEST INC COM 953348109 220 8500 SH SOLE 8500 0 0 WESTCOAST ENERGY INC COM 95751D102 2132 163400 SH SOLE 163400 0 0 WESTERN INVT REAL ESTATE TR SH BEN INT 958468100 309 24500 SH SOLE 24500 0 0 WESTERN RES INC COM 959425109 2604 89400 SH SOLE 89400 0 0 WEYERHAEUSER CO COM 962166104 461 10000 SH SOLE 10000 0 0 WHEELABRATOR TECH INC NEW COM PAR $0.01 962901302 8714 571400 SH SOLE 571400 0 0 WHITMAN CORP COM 96647K102 809 34800 SH SOLE 34800 0 0 WICOR INC COM 929253102 262 7200 SH SOLE 7200 0 0 WILEY JOHN & SONS INC CL A 968223206 361 12500 SH SOLE 12500 0 0 WILLIAMS COS INC DEL COM 969457100 9216 180700 SH SOLE 180700 0 0 WILLIS CORROON GROUP PLC SPONSORED ADR 970624201 173 17500 SH SOLE 17500 0 0 WINSTON HOTELS INC COM 97563A102 352 26800 SH SOLE 26800 0 0 WISCONSIN ENERGY CORP COM 976657106 6232 230800 SH SOLE 230800 0 0 WLR FOODS INC COM 929286102 330 28350 SH SOLE 28350 0 0 WMX TECHNOLOGIES INC COM 92929Q107 4931 150000 SH SOLE 150000 0 0 WPL HLDGS INC COM 929305100 393 13500 SH SOLE 13500 0 0 WPS RESOURCES CORP COM 92931B106 295 9700 SH SOLE 9700 0 0 WRIGLEY WM JR CO COM 982526105 1609 26700 SH SOLE 26700 0 0 WYNNS INTL INC COM 983195108 225 7950 SH SOLE 7950 0 0 YPF SOCIEDAD ANONIMA SPON ADR CL D 984245100 13155 575103 SH SOLE 575103 0 0 REPORT SUMMARY 845 DATA RECORDS 5229950 3 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
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