13F-HR 1 form13f_11007.txt GMO TRUST FORM 13F-HR FOR DECEMBER 31, 2001 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: December 31, 2001 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Grantham, Mayo, Van Otterloo & Co. Address: 40 Rowes Wharf Boston, MA 02110 13F File Number : 028-03377 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Forrest Berkley Title: Member Phone:(617) 346-7617 Signature, Place and Date of Signing: /s/ Forrest Berkley Boston, MA February 1, 2002 --------------------------------------------- Report Type (Check only one.): [X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. List of Other Managers Reporting for this Manager: Strategic Investment Management International I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES AND EXCHANGE ACT OF 1934. FORM 13F SUMMARY PAGE Report Summary: Number of Other Managers Included: 1 Form 13F Information Table Entry Total: 1531 Form 13F Information Table Value Total: 7608427 List of Other Included Managers: No. 13F File Number Name 01 28-2495 Strategic Investment Management International
FORM 13F INFORMATION TABLE 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 ABBOTT LABS COMMON 002824100 12683 227500 SH OTHER 179000 0 48500 ABITIBI-CONSOLIDATED COMMON 003924107 1724 235500 SH SOLE 175500 0 60000 ACE LTD COMMON G0070K103 12547 312500 SH OTHER 260000 7500 45000 AES CORP COM COMMON 00130H105 3213 196500 SH OTHER 141500 7500 47500 AETNA U S HEALTHCARE COMMON 00817Y108 4750 143968 SH OTHER 125668 0 18300 AGERE SYS INC CL A COMMON 00845V100 142 25000 SH SOLE 25000 0 0 AGILENT TECHNOLOGIES COMMON 00846U101 1639 57500 SH SOLE 32500 0 25000 AGRIUM INC COM COMMON 008916108 265 25000 SH OTHER 17500 7500 0 ALBERTSONS INC COMMON 013104104 630 20000 SH SOLE 20000 0 0 ALCAN ALUMINIUM LTD COMMON 013716105 1240 34500 SH SOLE 34500 0 0 ALLSTATE COMMON 020002101 3534 104860 SH OTHER 85360 1000 18500 AMB PPTY CORP COM COMMON 00163T109 2210 85000 SH SOLE 85000 0 0 AMERADA HESS CORP COMMON 023551104 3125 50000 SH SOLE 45000 0 5000 AMERICAN EXPRESS COMMON 025816109 996 27900 SH OTHER 26400 0 1500 AMERICAN GREETINGS CO COMMON 026375105 2067 150000 SH OTHER 125000 0 25000 AMERICAN HOME PRODS C COMMON 026609107 307 5000 SH SOLE 0 5000 0 AMERICAN INTL GROUP COMMON 026874107 3224 40600 SH SOLE 35600 0 5000 AMR CORP COMMON 001765106 2163 97000 SH OTHER 81200 0 15800 ANADARKO PETE CORP COMMON 032511107 9868 173578 SH OTHER 140713 0 32865 ANHEUSER BUSCH COS IN COMMON 035229103 3391 75000 SH OTHER 67400 0 7600 AOL TIME WARNER COMMON 00184A105 321 10000 SH SOLE 0 10000 0 AON CORP COMMON 037389103 24580 692000 SH OTHER 553000 16500 122500 APARTMENT INVT & MGMT COMMON 03748R101 6837 149500 SH SOLE 149500 0 0 ARCHER DANIELS MIDLAN COMMON 039483102 3064 213550 SH OTHER 172550 0 41000 ARCHSTONE-SMITH TRUST COMMON 039583109 4603 175000 SH SOLE 175000 0 0 ARDEN RLTY INC COM COMMON 039793104 2186 82500 SH SOLE 82500 0 0 AT & T CORP. COMMON 001957109 3114 171661 SH OTHER 150186 0 21475 AT & T WIRELESS COM COMMON 00209A106 6424 447028 SH OTHER 351727 12000 83301 AUTOMATIC DATA PROCES COMMON 053015103 295 5000 SH SOLE 5000 0 0 AVALONBAY CMNTYS INC COMMON 053484101 4026 85100 SH SOLE 85100 0 0 AVNET COMMON 053807103 11497 451400 SH OTHER 353900 2500 95000 BAKER HUGHES INC COMMON 057224107 912 25000 SH SOLE 25000 0 0 BANK OF AMERICA COMMON 060505104 2992 47534 SH OTHER 45034 0 2500 BANK ONE CORP COMMON 06423A103 4408 112874 SH OTHER 105374 2500 5000 BAXTER INTL INC COMMON 071813109 778 14500 SH SOLE 14500 0 0 BECTON DICKINSON & CO COMMON 075887109 8619 260000 SH OTHER 195000 7500 57500 BEDFORD PPTY INVS INC COMMON 076446301 2059 91500 SH SOLE 91500 0 0 BLACK & DECKER CORP COMMON 091797100 2406 63775 SH OTHER 55575 0 8200 BLOCK H & R INC COMMON 093671105 37974 849535 SH OTHER 709035 0 140500 BMC SOFTWARE INC COMMON 055921100 2333 142500 SH OTHER 129000 0 13500 BOEING CO COMMON 097023105 1038 26758 SH SOLE 26758 0 0 BOSTON PROPERTIES COMMON 101121101 4693 123500 SH OTHER 122500 0 1000 BP PLC ADS COMMON 055622104 465 10000 SH SOLE 10000 0 0 BRANDYWINE RLTY TR SH COMMON 105368203 17176 815200 SH OTHER 700200 7500 107500 BRE PPTYS INC CL A COMMON 05564E106 619 20000 SH SOLE 20000 0 0 BRISTOL MYERS SQUIBB COMMON 110122108 383 7500 SH SOLE 7500 0 0 BROOKFIELD PPTYS CORP COMMON 112900105 1866 108500 SH SOLE 108500 0 0 BURLINGTON RESOURCES COMMON 122014103 2628 70000 SH SOLE 51500 0 18500 CABOT OIL & GAS CORP COMMON 127097103 1861 77400 SH SOLE 64900 0 12500 CAMDEN PPTY TR SH BEN COMMON 133131102 2496 68000 SH SOLE 68000 0 0 CANADIAN PAC RY LTD C COMMON 13645T100 658 33750 SH OTHER 27750 0 6000 CARRAMERICA RLTY CORP COMMON 144418100 1505 50000 SH SOLE 50000 0 0 CATELLUS DEV CORP COM COMMON 149111106 1932 105000 SH SOLE 105000 0 0 CATERPILLAR INC COMMON 149123101 392 7500 SH SOLE 7500 0 0 CBL & ASSOC PPTYS INC COMMON 124830100 2583 82000 SH SOLE 82000 0 0 CHATEAU CMNTYS INC CO COMMON 161726104 3008 100600 SH SOLE 100600 0 0 CHELSEA PROPERTY GROU COMMON 163421100 1601 32600 SH SOLE 32600 0 0 CHEVRONTEXACO CORPORA COMMON 166764100 8131 90735 SH OTHER 79144 5000 6591 CHUBB CORP COMMON 171232101 690 10000 SH OTHER 7500 2500 0 CIGNA CORP COMMON 125509109 667 7200 SH OTHER 4700 2500 0 CINERGY CORP COMMON 172474108 4012 120000 SH OTHER 112500 2500 5000 CITIGROUP INC. COMMON 172967101 28324 561097 SH OTHER 453897 14000 93200 CNA FINL CORP COMMON 126117100 2159 74000 SH SOLE 66500 0 7500 COCA COLA COMMON 191216100 1415 30000 SH SOLE 30000 0 0 COCA COLA ENTERPRISES COMMON 191219104 2320 122500 SH SOLE 110000 0 12500 COLONIAL PPTYS TR COM COMMON 195872106 3022 97000 SH SOLE 97000 0 0 COMPAQ COMPUTER CORP COMMON 204493100 15670 1605500 SH OTHER 1283500 38500 283500 CONAGRA INC COMMON 205887102 3684 155000 SH OTHER 105000 10000 40000 CONOCO INC COM COMMON 208251504 13796 487500 SH OTHER 397500 7500 82500 CONVERIUM HOLDING ADR COMMON 21248N107 2723 111600 SH OTHER 75000 5100 31500 CORE LABORATORIES N V COMMON N22717107 3515 250700 SH OTHER 188200 0 62500 CORNERSTONE RLTY INCO COMMON 21922V102 980 86300 SH SOLE 86300 0 0 CORNING INC COMMON 219350105 13625 1527500 SH OTHER 1230500 32500 264500 COSTCO WHOLESALE CORP COMMON 22160K105 333 7500 SH OTHER 5000 2500 0 CP SHIPS LTD COM COMMON 22409V102 261 24000 SH OTHER 22500 0 1500 CRESCENT R E EQUITIES COMMON 225756105 11590 640000 SH OTHER 632500 7500 0 CRESCENT R E EQUITIES CONVERT 225756204 871 45000 SH SOLE 45000 0 0 CVS CORPORATION COMMON 126650100 4588 155000 SH OTHER 130500 7500 17000 DELTA AIRLINES INC COMMON 247361108 2487 85000 SH SOLE 67000 0 18000 DEVELOPERS DIVERSIFIE COMMON 251591103 4871 255000 SH SOLE 255000 0 0 DISNEY WALT PRODTNS COMMON 254687106 425 20500 SH SOLE 20500 0 0 DONNELLEY R R & SONS COMMON 257867101 7719 260000 SH OTHER 206500 0 53500 DOW CHEMICAL COMMON 260543103 782 23137 SH OTHER 20637 2500 0 DQE INC COMMON 23329J104 426 22500 SH SOLE 22500 0 0 DTE ENERGY CO COM COMMON 233331107 210 5000 SH OTHER 0 5000 0 DU PONT E I DE NEMOUR COMMON 263534109 1424 33500 SH OTHER 31000 0 2500 DUKE PWR CO COMMON 264399106 1404 35762 SH OTHER 34762 0 1000 DUKE REALTY CORPORATI COMMON 264411505 8734 359000 SH SOLE 359000 0 0 E M C CORP MASS COM COMMON 268648102 15154 1127500 SH OTHER 862500 35000 230000 EASTGROUP PPTYS INC C COMMON 277276101 1638 71000 SH SOLE 71000 0 0 EASTMAN KODAK COMMON 277461109 12249 416200 SH OTHER 338700 10000 67500 EDS INCOME PRIDE 7.25 COMMON 285661203 1547 27500 SH SOLE 27500 0 0 EL PASO CORPORATION COMMON 28336L109 290 6500 SH OTHER 4500 2000 0 ELECTRONIC DATA SYS C COMMON 285661104 4936 72000 SH OTHER 63600 0 8400 ENGELHARD CORP COMMON 292845104 1453 52500 SH SOLE 27500 0 25000 ENRON CORP COMMON 293561106 30 50000 SH SOLE 50000 0 0 ENTERGY CORP NEW COM COMMON 29364G103 489 12500 SH OTHER 5000 7500 0 EQUITY OFFICE PROPERT COMMON 294741103 37274 1239168 SH OTHER 1119168 10000 110000 EQUITY RESIDENTIAL PP COMMON 29476L107 30714 1069800 SH OTHER 935700 0 134100 EXELON CORP COMMON 30161N101 1233 25749 SH OTHER 17375 7500 874 EXXON CORPORATION COMMON 30231G102 2864 72872 SH OTHER 55372 17500 0 FEDERAL RLTY INVT TR COMMON 313747206 242 10500 SH SOLE 10500 0 0 FEDERATED DEPARTMENT COMMON 31410H101 12066 295000 SH OTHER 241000 2500 51500 FEDEX CORP COMMON 31428X106 1401 27000 SH SOLE 27000 0 0 FELCOR LODGING TR INC COMMON 31430F101 1755 105000 SH SOLE 105000 0 0 FIRST INDL RLTY TR IN COMMON 32054K103 3639 117000 SH SOLE 117000 0 0 FLEETBOSTON FINANCIAL COMMON 339030108 6169 169000 SH SOLE 156500 0 12500 FLORIDA EAST COAST IN COMMON 340632207 1002 47952 SH SOLE 41600 0 6352 FORD MTR CO DEL COM P COMMON 345370860 2717 172866 SH OTHER 147866 0 25000 FORDING INC COM COMMON 345426100 371 20745 SH OTHER 16014 0 4731 GABLES RESIDENTIAL TR COMMON 362418105 607 20500 SH SOLE 20500 0 0 GENERAL ELECTRIC COMMON 369604103 8353 208400 SH OTHER 179800 15500 13100 GENERAL GROWTH PPTYS COMMON 370021107 6014 155000 SH SOLE 155000 0 0 GENERAL MTRS CORP COMMON 370442105 3596 74000 SH OTHER 71000 0 3000 GENERAL MTRS CORP CL COMMON 370442832 2433 157500 SH SOLE 157500 0 0 GEORGIA PAC CORP COMMON 373298108 1126 40790 SH SOLE 40790 0 0 GILLETTE CO COMMON 375766102 438 13100 SH OTHER 3100 10000 0 GLAXO PLC SPONSORED A COMMON 37733W105 3014 60501 SH OTHER 60501 0 0 GLENBOROUGH RLTY TR I COMMON 37803P105 2134 110000 SH SOLE 110000 0 0 GLIMCHER RLTY TR SH B COMMON 379302102 734 39000 SH SOLE 39000 0 0 GLW 3 1/2% 11/01/08 CONVERT 219350AK1 3377 30000 SH OTHER 22000 1000 7000 GMO REIT FD CL III MUTUAL 362007627 2287 210000 SH SOLE 210000 0 0 HALLIBURTON CO COMMON 406216101 1146 87500 SH OTHER 70000 2500 15000 HCA-THE HEALTHCARE CO COMMON 404119109 19482 505500 SH OTHER 397500 20500 87500 HEALTH CARE REIT INC COMMON 42217K106 1218 50000 SH SOLE 50000 0 0 HEWLETT PACKARD COMMON 428236103 2208 107500 SH SOLE 77500 0 30000 HIGHWOODS PROPERTIES COMMON 431284108 7707 297000 SH SOLE 282000 0 15000 HILTON HOTEL CORP COMMON 432848109 437 40000 SH SOLE 40000 0 0 HONEYWELL INTERNATION COMMON 438516106 5090 150500 SH OTHER 135500 0 15000 HOSPITALITY PPTYS TR COMMON 44106M102 1298 44000 SH SOLE 44000 0 0 HOST MARRIOTT CORP NE COMMON 44107P104 3353 372500 SH SOLE 372500 0 0 INCO LTD COMMON 453258402 974 57500 SH SOLE 42500 0 15000 INGERSOLL RAND CO COMMON 456866102 941 22500 SH SOLE 22500 0 0 INTEL CORP COMMON 458140100 4541 144400 SH OTHER 121900 12500 10000 INTERNATIONAL BUSINES COMMON 459200101 17902 148000 SH OTHER 125200 2500 20300 INTERNATIONAL PAPER C COMMON 460146103 10273 254600 SH OTHER 204900 1900 47800 INTL RECTIFIER CORP COMMON 460254105 558 16000 SH SOLE 16000 0 0 ISTAR FINL INC COM COMMON 45031U101 624 25000 SH SOLE 25000 0 0 J.P. MORGAN CHASE & C COMMON 46625H100 18612 512030 SH OTHER 417580 0 94450 JDN RLTY CORP COM COMMON 465917102 743 60250 SH SOLE 60250 0 0 JOHNSON & JOHNSON COMMON 478160104 2630 44500 SH OTHER 37700 5000 1800 JP RLTY INC COM COMMON 46624A106 20700 870100 SH OTHER 709600 0 160500 KILROY RLTY CORP COM COMMON 49427F108 1576 60000 SH SOLE 60000 0 0 KIMBERLY CLARK COMMON 494368103 26922 450200 SH OTHER 371500 8700 70000 KOGER EQUITY INC COM COMMON 500228101 1229 75400 SH SOLE 75400 0 0 KRAFT FOODS INC-A COMMON 50075N104 2842 83500 SH OTHER 80000 3500 0 KROGER CO COMMON 501044101 15047 721000 SH OTHER 606000 10000 105000 LA QUINTA PROPERTIES COMMON 50419Q409 316 55000 SH SOLE 55000 0 0 LIBERTY MEDIA CORP SE COMMON 530718105 910 65000 SH OTHER 50000 10000 5000 LIBERTY PPTY TR SH BE COMMON 531172104 8433 282500 SH SOLE 282500 0 0 LILLY ELI & CO COMMON 532457108 1657 21100 SH OTHER 19600 0 1500 LOCKHEED MARTIN CORP COMMON 539830109 6534 140000 SH SOLE 105000 0 35000 LSI LOGIC CORP COMMON 502161102 718 45500 SH SOLE 38000 0 7500 MACERICH CO COM COMMON 554382101 1663 62500 SH SOLE 62500 0 0 MACK CALI RLTY CORP C COMMON 554489104 24518 790400 SH OTHER 701200 5500 83700 MANPOWER INC COM COMMON 56418H100 337 10000 SH OTHER 10000 0 0 MCDONALDS COMMON 580135101 728 27500 SH SOLE 27500 0 0 MERCK & CO COMMON 589331107 12754 216900 SH OTHER 176900 7000 33000 MICROSOFT CORP COMMON 594918104 331 5000 SH OTHER 0 5000 0 MID-AMER APT CMNTYS I COMMON 59522J103 526 20000 SH SOLE 20000 0 0 MILLS CORP COM COMMON 601148109 2992 113000 SH SOLE 113000 0 0 MITCHELL ENERGY & DEV COMMON 606592202 533 10000 SH OTHER 10000 0 0 MOTOROLA INC COMMON 620076109 8524 567500 SH OTHER 442500 12500 112500 MYLAN LABS INC COMMON 628530107 1313 35000 SH OTHER 34500 0 500 NESTLES ADR FOREIGN 641069406 4723 89600 SH OTHER 82100 0 7500 NEW PLAN EXCEL RLTY T COMMON 648053106 1353 71000 SH SOLE 71000 0 0 NEW YORK TIMES CO CLA COMMON 650111107 389 9000 SH SOLE 9000 0 0 NIAGARA MOHAWK HOLIDN COMMON 653520106 1684 95000 SH SOLE 70000 0 25000 NOBLE AFFILIATES COMMON 654894104 299 8475 SH SOLE 8475 0 0 NORTEL NETWORKS CORP COMMON 656568102 21794 2921500 SH OTHER 2396500 50000 475000 NORTHWEST AIRLINES CO COMMON 667280101 2865 182500 SH SOLE 140000 0 42500 OCCIDENTAL PETE CORP COMMON 674599105 18231 687200 SH OTHER 541700 2500 143000 OLIN CORP COMMON 680665205 6981 432500 SH OTHER 325000 5000 102500 PALL CORP COMMON 696429307 8048 334500 SH OTHER 268000 0 66500 PAN PAC RETAIL PPTYS COMMON 69806L104 574 20000 SH SOLE 20000 0 0 PANCANADIAN ENERGY CO COMMON 69831A107 1511 58133 SH OTHER 48899 0 9234 PARAMETRIC TECHNOLOGY COMMON 699173100 1913 245000 SH OTHER 222500 0 22500 PARKWAY PPTYS INC SHS COMMON 70159Q104 2988 90000 SH SOLE 90000 0 0 PEGASUS COMMUNICATION COMMON 705904100 989 95000 SH OTHER 82500 12500 0 PEPSI BOTTLING GROUP COMMON 713409100 3643 155000 SH OTHER 149400 0 5600 PETROLEO BRASILEIRO S COMMON 71654V408 8190 351500 SH SOLE 303000 0 48500 PFIZER INC COMMON 717081103 533 13375 SH OTHER 875 12500 0 PHARMACIA CORP COMMON 71713U102 427 10000 SH SOLE 5000 0 5000 PHILIP MORRIS COMMON 718154107 344 7500 SH OTHER 0 7500 0 PINNACLE HLDGS INC CO COMMON 72346N101 5 15000 SH SOLE 15000 0 0 PITNEY BOWES INC COMMON 724479100 5698 151500 SH SOLE 139000 0 12500 PLACER DOME INC COMMON 725906101 627 57500 SH OTHER 40000 5000 12500 PRENTISS PPTYS TR SH COMMON 740706106 4255 155000 SH SOLE 155000 0 0 PROLOGIS TR SH BEN IN COMMON 743410102 3549 165000 SH SOLE 165000 0 0 PRUDENTIAL FINANCIAL COMMON 744320102 415 12500 SH SOLE 12500 0 0 PS BUSINESS PKS INC C COMMON 69360J107 268 8500 SH SOLE 8500 0 0 PUBLIC STORAGE INC CO COMMON 74460D109 1426 42700 SH SOLE 42700 0 0 QUESTAR CORP COMMON 748356102 6200 247500 SH OTHER 178500 5000 64000 QWEST COMM INTL INC S COMMON 749121109 7652 541536 SH OTHER 442973 17500 81063 RAYTHEON 8.250% 05/15 CONVERT 755111606 5714 102500 SH SOLE 92500 0 10000 RAYTHEON CO NEW COM COMMON 755111507 1055 32500 SH SOLE 32500 0 0 RECKSON ASSOCS RLTY C COMMON 75621K304 1046 41000 SH SOLE 41000 0 0 RECKSON ASSOCS RLTY C COMMON 75621K106 7008 300000 SH SOLE 268500 0 31500 RECKSON PFD A COMMON 75621K205 1487 62500 SH SOLE 62500 0 0 RELIANT ENERGY INC COMMON 75952J108 1246 46969 SH OTHER 46969 0 0 REUTERS GROUP PLC-SPO COMMON 76132M102 264 4400 SH SOLE 4400 0 0 ROCKWELL COLLINS INC COMMON 774341101 2482 127300 SH SOLE 109800 0 17500 ROCKWELL INTL CORP NE COMMON 773903109 1404 78600 SH SOLE 78600 0 0 ROUSE CO COMMON 779273101 2343 80000 SH SOLE 80000 0 0 RYDER SYS INC COMMON 783549108 3314 149600 SH SOLE 124600 0 25000 SAFEWAY INC COM NEW COMMON 786514208 522 12500 SH OTHER 7500 5000 0 SAKS INC COMMON 79377W108 1705 182500 SH SOLE 152500 0 30000 SARA LEE CORP COMMON 803111103 811 36500 SH SOLE 36500 0 0 SBC COMMUNICATIONS, I COMMON 78387G103 2573 65700 SH OTHER 55200 2500 8000 SCHERING PLOUGH CORP COMMON 806605101 1730 48300 SH OTHER 35800 10000 2500 SCHLUMBERGER COMMON 806857108 1236 22500 SH SOLE 22500 0 0 SEMPRA ENERGY COM COMMON 816851109 662 26973 SH OTHER 25973 0 1000 SENIOR HSG PPTYS TR S COMMON 81721M109 417 30000 SH SOLE 30000 0 0 SHURGARD STORAGE CTRS COMMON 82567D104 400 12500 SH SOLE 12500 0 0 SIMON PPTY GROUP INC COMMON 828806109 6746 230000 SH SOLE 230000 0 0 SL GREEN RLTY CORP CO COMMON 78440X101 1228 40000 SH SOLE 40000 0 0 SOLECTRON 7.250% 11/1 CONVERT 834182206 757 28500 SH SOLE 28500 0 0 SOUTHERN CO COMMON 842587107 2885 113800 SH OTHER 103800 10000 0 SOUTHWEST AIRLS CO COMMON 844741108 465 25155 SH OTHER 25155 0 0 SPDR TR UNIT SER 1 COMMON 78462F103 4686 41000 SH SOLE 41000 0 0 SPRINT CORP 7.125% 08 CONVERT 852061605 1287 50000 SH SOLE 50000 0 0 SPRINT CORP COM COMMON 852061100 46359 2308700 SH OTHER 1873200 20000 415500 ST JOE CO COM COMMON 790148100 7035 253500 SH OTHER 207300 0 46200 ST PAUL COS INC COMMON 792860108 1660 37750 SH SOLE 35250 0 2500 STAPLES INC COMMON 855030102 9004 481500 SH OTHER 403000 10000 68500 STARWOOD HOTELS & RES COMMON 85590A203 6194 207500 SH SOLE 207500 0 0 STORAGE TECHNOLOGY CO COMMON 862111200 14056 680000 SH SOLE 547500 0 132500 SUMMIT PPTYS INC COM COMMON 866239106 12272 490500 SH OTHER 413300 0 77200 SUN MICROSYSTEM INC COMMON 866810104 461 37500 SH OTHER 25000 2500 10000 SUNTRUST BANKS INC COMMON 867914103 281 4480 SH SOLE 4480 0 0 TARGET CORP COMMON 87612E106 205 5000 SH OTHER 0 5000 0 TAUBMAN CTRS INC COM COMMON 876664103 290 19500 SH SOLE 19500 0 0 THOMAS & BETTS CORP COMMON 884315102 264 12500 SH SOLE 5000 0 7500 TOYS R US COMMON 892335100 15970 770000 SH OTHER 634100 0 135900 TRIZEC HAHN CORP SUB COMMON 896938107 9203 586200 SH OTHER 581000 2700 2500 TXU 8.75% 11/16/04 CONVERT 873168504 13582 262500 SH OTHER 213500 14000 35000 TXU CORP COMMON 873168108 36356 771065 SH OTHER 626565 10000 134500 TXU CORP INCOME PRIDE CONVERT 873168207 391 15000 SH SOLE 15000 0 0 TYCO INTL LTD NEW COM COMMON 902124106 736 12500 SH OTHER 0 12500 0 U S BANCORP COMMON 902973304 9052 432500 SH OTHER 337500 27500 67500 UAL CORP COM COMMON 902549500 270 20000 SH SOLE 15000 0 5000 UNION PAC CAP TR CV P CONVERT 907824403 5173 107500 SH SOLE 105000 0 2500 UNISYS CORP COMMON 909214108 1492 119000 SH SOLE 84000 0 35000 UNITED DOMINION RLTY COMMON 910197102 6840 475000 SH SOLE 447500 0 27500 UNITED TECHNOLOGIES C COMMON 913017109 4686 72500 SH OTHER 72500 0 0 UNOCAL CORP COMMON 915289102 40543 1124000 SH OTHER 980000 12500 131500 UNOCAL CORP 6.25% TRU CONVERT 91528T207 6296 124963 SH SOLE 100203 0 24760 USX MARATHON GROUP CO COMMON 902905827 9900 330000 SH OTHER 275800 0 54200 VERIZON COMMUNICATION COMMON 92343V104 26496 558279 SH OTHER 466479 10000 81800 VIACOM INC COM NON VT COMMON 925524308 361 8175 SH SOLE 8175 0 0 VINTAGE PETE INC COMMON 927460105 434 30000 SH SOLE 22500 0 7500 VISHAY INTERTECHNOLOG COMMON 928298108 1950 100000 SH OTHER 80000 2500 17500 VORNADO RLTY TR COM COMMON 929042109 11856 285000 SH SOLE 285000 0 0 WACHOVIA GROUP COM COMMON 929903102 10035 320000 SH OTHER 257000 6500 56500 WAL MART STORES INC COMMON 931142103 5180 90000 SH OTHER 73500 5000 11500 WASHINGTON MUT INC CO COMMON 939322103 14568 445500 SH OTHER 359000 10000 76500 WASTE MANAGEMENT INC COMMON 94106L109 19545 612500 SH OTHER 490000 12500 110000 WELLS FARGO NEW COMMON 949746101 12867 296000 SH OTHER 276000 7500 12500 WEYERHAEUSER CO COMMON 962166104 1128 20850 SH OTHER 20850 0 0 WILLIS GROUP HOLDINGS COMMON G96655108 1354 57500 SH SOLE 57500 0 0 WORLDCOM INC GA NEW C COMMON 98157D106 15220 1081000 SH OTHER 888500 20000 172500 WORLDCOM INC-MCI GROU COMMON 98157D304 431 33900 SH SOLE 30400 0 3500 WYNDHAM INTL INC CL A COMMON 983101106 176 315000 SH SOLE 315000 0 0 W-H ENERGY SVCS INC C COMMON 92925E108 349 18300 SH SOLE 18300 0 0 XCEL ENERGY INC COMMON 98389B100 4411 159000 SH SOLE 136500 0 22500 XEROX 7.500% 11/27/21 CONVERT 98411F202 831 12000 SH OTHER 9500 2500 0 XEROX CORP COMMON 984121103 169 16200 SH OTHER 16200 0 0 1 800 FLOWERS COM CL A 68243Q106 457 29300 SH SOLE 29300 0 0 1ST SOURCE CORP COM 336901103 473 22854 SH SOLE 22854 0 0 3COM CORP COM 885535104 1334 209100 SH SOLE 209100 0 0 4 KIDS ENTMT INC COM 350865101 1250 62400 SH SOLE 62400 0 0 99 CENTS ONLY STORES COM 65440K106 1253 32750 SH SOLE 32750 0 0 A D C TELECOMMUNICATIONS COM 000886101 155 33800 SH SOLE 33800 0 0 ABBOTT LABS COM 002824100 6768 121404 SH SOLE 121404 0 0 ABERCROMBIE & FITCH CO CL A 002896207 3987 150300 SH SOLE 150300 0 0 ABITIBI-CONSOLIDATED INC COM 003924107 1079 235300 SH SOLE 235300 0 0 ACCLAIM ENTMT INC COM PAR $0.02 004325205 1211 228400 SH SOLE 228400 0 0 ACCREDO HEALTH INC COM 00437V104 3664 92300 SH SOLE 92300 0 0 ACTION PERFORMANCE COS INC COM 004933107 2923 95500 SH SOLE 95500 0 0 ACTIVISION INC NEW COM NEW 004930202 3191 122700 SH SOLE 122700 0 0 ADAPTEC INC COM 00651F108 2923 201600 SH SOLE 201600 0 0 ADVANCED DIGITAL INFORMATION COM 007525108 2549 158900 SH SOLE 158900 0 0 ADVANCED FIBRE COMMUNICATIONS COM 00754A105 194 11000 SH SOLE 11000 0 0 ADVANCEPCS COM 00790K109 2395 81600 SH SOLE 81600 0 0 ADVANTA CORP CL A 007942105 305 30700 SH SOLE 30700 0 0 ADVENT SOFTWARE INC COM 007974108 1563 31300 SH SOLE 31300 0 0 AETNA INC NEW COM 00817Y108 20466 620358 SH SOLE 620358 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 8681 81800 SH SOLE 81800 0 0 AFFILIATED MANAGERS GROUP COM 008252108 2291 32500 SH SOLE 32500 0 0 AGCO CORP COM 001084102 1370 86800 SH SOLE 86800 0 0 AIR PRODS & CHEMS INC COM 009158106 3467 73900 SH SOLE 73900 0 0 AIRBORNE INC COM 009269101 2505 168900 SH SOLE 168900 0 0 AIRGAS INC COM 009363102 3886 257000 SH SOLE 257000 0 0 AIRGATE PCS INC COM 009367103 1407 30900 SH SOLE 30900 0 0 AIRTRAN HLDGS INC COM 00949P108 824 124800 SH SOLE 124800 0 0 AK STL HLDG CORP COM 001547108 2103 184800 SH SOLE 184800 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 1314 221200 SH SOLE 221200 0 0 ALASKA AIR GROUP INC COM 011659109 236 8100 SH SOLE 8100 0 0 ALBANY MOLECULAR RESH INC COM 012423109 2371 89500 SH SOLE 89500 0 0 ALBEMARLE CORP COM 012653101 821 34200 SH SOLE 34200 0 0 ALBERTSONS INC COM 013104104 27437 871283 SH SOLE 871283 0 0 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CO COM 260543103 30663 907740 SH SOLE 907740 0 0 DOWNEY FINL CORP COM 261018105 1361 33000 SH SOLE 33000 0 0 DQE INC COM 23329J104 1176 62100 SH SOLE 62100 0 0 DRESS BARN INC COM 261570105 590 23600 SH SOLE 23600 0 0 DTE ENERGY CO COM 233331107 9246 220450 SH SOLE 220450 0 0 DU PONT E I DE NEMOURS & CO COM 263534109 25307 595330 SH SOLE 595330 0 0 DUKE ENERGY CORP COM 264399106 676 17228 SH SOLE 17228 0 0 DUN & BRADSTREET CORP DEL NEW COM 26483E100 1477 41850 SH SOLE 41850 0 0 DURA AUTOMOTIVE SYSTEMS CORP CL A 265903104 1093 99400 SH SOLE 99400 0 0 DYNEGY INC NEW CL A 26816Q101 510 20000 SH SOLE 20000 0 0 E M C CORP MASS COM 268648102 316 23500 SH SOLE 23500 0 0 EARTHLINK INC COM 270321102 618 50800 SH SOLE 50800 0 0 EASTMAN KODAK CO COM 277461109 17337 589100 SH SOLE 589100 0 0 EATON CORP COM 278058102 5157 69306 SH SOLE 69306 0 0 EATON VANCE CORP COM NON VTG 278265103 1035 29100 SH SOLE 29100 0 0 EBAY INC COM 278642103 21602 322900 SH SOLE 322900 0 0 ECLIPSYS CORP COM 278856109 1568 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39500 SH SOLE 39500 0 0 FAMILY DLR STORES INC COM 307000109 9156 305400 SH SOLE 305400 0 0 FARMER BROS CO COM 307675108 928 3500 SH SOLE 3500 0 0 FASTENAL CO COM 311900104 4112 61900 SH SOLE 61900 0 0 FEDERAL HOME LN MTG CORP COM 313400301 49112 750952 SH SOLE 750952 0 0 FEDERAL NATL MTG ASSN COM 313586109 120128 1511050 SH SOLE 1511050 0 0 FEDERATED DEPT STORES INC DEL COM 31410H101 15035 367606 SH SOLE 367606 0 0 FEI CO COM 30241L109 1308 41500 SH SOLE 41500 0 0 FELCOR LODGING TR INC COM 31430F101 1665 99664 SH SOLE 99664 0 0 FERRO CORP COM 315405100 1216 47150 SH SOLE 47150 0 0 FIDELITY NATL FINL INC COM 316326107 1981 79889 SH SOLE 79889 0 0 FIRST BANCORP P R COM 318672102 536 18800 SH SOLE 18800 0 0 FIRST CTZNS BANCSHARES INC N C CL A 31946M103 987 10100 SH SOLE 10100 0 0 FIRST DATA CORP COM 319963104 6602 84154 SH SOLE 84154 0 0 FIRST HEALTH GROUP CORP COM 320960107 5141 207800 SH SOLE 207800 0 0 FIRST MIDWEST BANCORP DEL COM 320867104 1595 54650 SH SOLE 54650 0 0 FIRST TENN NATL 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SUREST SPON ADR SER B 40051E202 10517 682900 SH SOLE 682900 0 0 GTECH HLDGS CORP COM 400518106 6707 148100 SH SOLE 148100 0 0 GUITAR CTR MGMT INC COM 402040109 503 36900 SH SOLE 36900 0 0 GULF INDONESIA RES LTD COM 402284103 1232 136920 SH SOLE 136920 0 0 HANCOCK JOHN FINL SVCS INC COM 41014S106 289 7000 SH SOLE 7000 0 0 HANDLEMAN CO DEL COM 410252100 159 10700 SH SOLE 10700 0 0 HARLAND JOHN H CO COM 412693103 1028 46500 SH SOLE 46500 0 0 HARLEY DAVIDSON INC COM 412822108 1037 19100 SH SOLE 19100 0 0 HARMONIC INC COM 413160102 1852 154100 SH SOLE 154100 0 0 HARMONY GOLD MNG LTD WT EXP 062903 413216110 456 150000 SH SOLE 150000 0 0 HARMONY GOLD MNG LTD SPONSORED ADR 413216300 1855 284900 SH SOLE 284900 0 0 HARRIS CORP DEL COM 413875105 1101 36100 SH SOLE 36100 0 0 HARSCO CORP COM 415864107 1495 43600 SH SOLE 43600 0 0 HARTFORD FINL SVCS GROUP INC COM 416515104 5200 82770 SH SOLE 82770 0 0 HASBRO INC COM 418056107 2230 137400 SH SOLE 137400 0 0 HAWAIIAN ELEC INDUSTRIES COM 419870100 769 19100 SH SOLE 19100 0 0 HCA INC COM 404119109 467 12128 SH SOLE 12128 0 0 HEADWATERS INC COM 42210P102 1592 138900 SH SOLE 138900 0 0 HEALTH CARE REIT INC COM 42217K106 1157 47500 SH SOLE 47500 0 0 HEALTH NET INC COM 42222G108 3875 177910 SH SOLE 177910 0 0 HEALTHCARE RLTY TR COM 421946104 1039 37100 SH SOLE 37100 0 0 HEALTHSOUTH CORP COM 421924101 2844 191900 SH SOLE 191900 0 0 HEARTLAND EXPRESS INC COM 422347104 1572 56625 SH SOLE 56625 0 0 HEINZ H J CO COM 423074103 5411 131600 SH SOLE 131600 0 0 HELIX TECHNOLOGY CORP COM 423319102 1186 52600 SH SOLE 52600 0 0 HERCULES INC COM 427056106 910 91000 SH SOLE 91000 0 0 HEWLETT PACKARD CO COM 428236103 8380 408000 SH SOLE 408000 0 0 HI / FN INC COM 428358105 554 38300 SH SOLE 38300 0 0 HIBERNIA CORP CL A 428656102 975 54800 SH SOLE 54800 0 0 HIGHWOODS PPTYS INC COM 431284108 679 26162 SH SOLE 26162 0 0 HILB ROGAL & HAMILTON CO COM 431294107 1653 29500 SH SOLE 29500 0 0 HNC SOFTWARE INC COM 40425P107 229 11100 SH SOLE 11100 0 0 HOLLY CORP 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