13F-HR 1 form13f_11369.txt GMO TRUST SCHEDULE 13F-HR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 30, 2002 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 July 22, 2002 --------------------------------------------- Report Type (Check only one.): [X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. List of Other Managers Reporting for this Manager: 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: 1584 Form 13F Information Table Value Total: 7661508 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 ------------------------------------------------------------------------------------------------------------------------------------ ACE LTD COMMON G0070K103 10352 327600 SH SOLE 262200 0 65400 AETNA U S HEALTHCARE COMMON 00817Y108 3308 68959 SH SOLE 62959 0 6000 ALLSTATE COMMON 020002101 11740 317460 SH SOLE 251160 0 66300 AMB PPTY CORP COM COMMON 00163T109 2263 73000 SH SOLE 73000 0 0 AMERADA HESS CORP COMMON 023551104 7260 88000 SH SOLE 70100 0 17900 AMERICAN EXPRESS COMMON 025816109 854 23500 SH SOLE 23500 0 0 AMERICAN GREETINGS CO COMMON 026375105 458 27500 SH SOLE 27500 0 0 AMERICAN INTL GROUP COMMON 026874107 553 8100 SH SOLE 8100 0 0 AMR CORP COMMON 001765106 3761 223100 SH SOLE 175900 0 47200 ANADARKO PETE CORP COMMON 032511107 5728 116177 SH SOLE 97177 0 19000 ANHEUSER BUSCH COS IN COMMON 035229103 1405 28100 SH SOLE 28100 0 0 AON CORP COMMON 037389103 3750 127200 SH SOLE 103600 0 23600 APARTMENT INVT & MGMT COMMON 03748R101 11808 240000 SH SOLE 240000 0 0 ARCHER DANIELS MIDLAN COMMON 039483102 470 36750 SH SOLE 36750 0 0 ARCHSTONE-SMITH TRUST COMMON 039583109 4339 162500 SH SOLE 162500 0 0 ARDEN RLTY INC COM COMMON 039793104 2703 95000 SH SOLE 95000 0 0 AUTOMATIC DATA PROCES COMMON 053015103 218 5000 SH SOLE 5000 0 0 AVALONBAY CMNTYS INC COMMON 053484101 5842 125100 SH SOLE 125100 0 0 AVNET COMMON 053807103 6144 279400 SH SOLE 221500 0 57900 BANK OF AMERICA COMMON 060505104 10920 155203 SH SOLE 121503 0 33700 BANK ONE CORP COMMON 06423A103 588 15286 SH SOLE 15286 0 0 BAXTER INTL INC COMMON 071813109 289 6500 SH SOLE 6500 0 0 BEAR STEARNS COS INC COMMON 073902108 2852 46600 SH SOLE 36500 0 10100 BEDFORD PPTY INVS INC COMMON 076446301 2710 100000 SH SOLE 100000 0 0 BELLSOUTH CORP COMMON 079860102 17145 544300 SH SOLE 435700 0 108600 BLACK & DECKER CORP COMMON 091797100 625 12975 SH SOLE 12975 0 0 BLOCK H & R INC COMMON 093671105 4384 95000 SH SOLE 95000 0 0 BMC SOFTWARE INC COMMON 055921100 2463 148400 SH SOLE 116900 0 31500 BOEING CO COMMON 097023105 298 6632 SH SOLE 6632 0 0 BOSTON PROPERTIES COMMON 101121101 3196 80000 SH SOLE 80000 0 0 BRANDYWINE RLTY TR SH COMMON 105368203 17058 658600 SH SOLE 573600 0 85000 BRE PPTYS INC CL A COMMON 05564E106 2178 70000 SH SOLE 70000 0 0 BRISTOL MYERS SQUIBB COMMON 110122108 6518 253600 SH SOLE 200900 0 52700 BROOKFIELD PPTYS CORP COMMON 112900105 1628 81000 SH SOLE 81000 0 0 CABOT CORP COMMON 127055101 13205 460900 SH SOLE 357800 0 103100 CALPINE CP COMMON 131347106 983 139800 SH SOLE 109400 0 30400 CAMDEN PPTY TR SH BEN COMMON 133131102 2222 60000 SH SOLE 60000 0 0 CANADIAN PAC RY LTD C COMMON 13645T100 280 11400 SH SOLE 11400 0 0 CAROLINA GROUP COMMON 540424207 2169 80200 SH SOLE 62900 0 17300 CARRAMERICA RLTY CORP COMMON 144418100 1543 50000 SH SOLE 50000 0 0 CATELLUS DEV CORP COM COMMON 149111106 2757 135000 SH SOLE 135000 0 0 CBL & ASSOC PPTYS INC COMMON 124830100 5306 131000 SH SOLE 131000 0 0 CHAMPION ENTERPRISES COMMON 158496109 747 133000 SH SOLE 104500 0 28500 CHATEAU CMNTYS INC CO COMMON 161726104 4162 136000 SH SOLE 136000 0 0 CHELSEA PROPERTY GROU COMMON 163421100 2425 72500 SH SOLE 72500 0 0 CHEVRONTEXACO CORPORA COMMON 166764100 1389 15700 SH SOLE 15700 0 0 CIGNA CORP COMMON 125509109 263 2700 SH SOLE 2700 0 0 CITIGROUP INC. COMMON 172967101 14340 370066 SH SOLE 307766 0 62300 CLAYTON HOMES INC COM COMMON 184190106 6522 412800 SH SOLE 321300 0 91500 COLONIAL PPTYS TR COM COMMON 195872106 3973 102000 SH SOLE 102000 0 0 CONOCO INC COM COMMON 208251504 10064 362000 SH SOLE 292000 0 70000 CORNING INC COMMON 219350105 2328 655800 SH SOLE 513300 0 142500 CRESCENT R E EQUITIES COMMON 225756105 12258 655500 SH SOLE 655500 0 0 CVS CORPORATION COMMON 126650100 7500 245100 SH SOLE 194300 0 50800 D R HORTON INC COM COMMON 23331A109 2827 108600 SH SOLE 85200 0 23400 DEVELOPERS DIVERSIFIE COMMON 251591103 6300 280000 SH SOLE 280000 0 0 DEVON ENERGY CORP NEW COMMON 25179M103 216 4387 SH SOLE 4387 0 0 DIAMONDS TR UNIT SER COMMON 252787106 426 4600 SH SOLE 4600 0 0 DISNEY WALT PRODTNS COMMON 254687106 198 10500 SH SOLE 10500 0 0 DONNELLEY R R & SONS COMMON 257867101 950 34500 SH SOLE 34500 0 0 DU PONT E I DE NEMOUR COMMON 263534109 386 8700 SH SOLE 8700 0 0 DUKE PWR CO COMMON 264399106 863 27762 SH SOLE 27762 0 0 DUKE REALTY CORPORATI COMMON 264411505 9698 335000 SH SOLE 335000 0 0 EASTGROUP PPTYS INC C COMMON 277276101 1920 75000 SH SOLE 75000 0 0 ELECTRONIC DATA SYS C COMMON 285661104 869 23400 SH SOLE 23400 0 0 ENCANA CORP COM COMMON 292505104 508 16616 SH SOLE 16616 0 0 ENGELHARD CORP COMMON 292845104 4891 172700 SH SOLE 136000 0 36700 EQUITY OFFICE PROPERT COMMON 294741103 35039 1164100 SH SOLE 1,065600 0 98500 EQUITY RESIDENTIAL PP COMMON 29476L107 15591 542300 SH SOLE 512100 0 30200 ESTEE LAUDER COMMON 518439104 1746 49600 SH SOLE 39000 0 10600 EXELON CORP COMMON 30161N101 654 12501 SH SOLE 12501 0 0 EXXON CORPORATION COMMON 30231G102 1404 34320 SH SOLE 34320 0 0 FED HOME LOAN MTG COR COMMON 313400301 9198 150300 SH SOLE 118700 0 31600 FEDERAL NAT MORTGAGE COMMON 313586109 20989 284600 SH SOLE 228300 0 56300 FEDERATED DEPARTMENT COMMON 31410H101 14820 373300 SH SOLE 305000 0 68300 FELCOR LODGING TR INC COMMON 31430F101 2386 130000 SH SOLE 130000 0 0 FIRST INDL RLTY TR IN COMMON 32054K103 3614 110000 SH SOLE 110000 0 0 FLEETBOSTON FINANCIAL COMMON 339030108 6062 187400 SH SOLE 146100 0 41300 FLORIDA EAST COAST IN COMMON 340632207 515 21630 SH SOLE 21630 0 0 FMC CORP NEW COMMON 302491303 3228 107000 SH SOLE 83500 0 23500 FORD MTR CO DEL COM P COMMON 345370860 3841 240066 SH SOLE 188566 0 51500 FOREST CITY ENTERPRIS COMMON 345550107 2085 60000 SH SOLE 60000 0 0 FOX ENTMT GROUP INC C COMMON 35138T107 6020 276800 SH SOLE 215300 0 61500 FREEPORT MCMORAN COPP COMMON 35671D857 5623 315000 SH SOLE 246000 0 69000 GABLES RESIDENTIAL TR COMMON 362418105 655 20500 SH SOLE 20500 0 0 GENERAL ELECTRIC COMMON 369604103 1412 48600 SH SOLE 48600 0 0 GENERAL GROWTH PPTYS COMMON 370021107 9231 181000 SH SOLE 181000 0 0 GENERAL MTRS CORP COMMON 370442105 5612 105000 SH SOLE 84100 0 20900 GLAXO PLC SPONSORED A COMMON 37733W105 410 9501 SH SOLE 9501 0 0 GLENBOROUGH RLTY TR I COMMON 37803P105 2666 112500 SH SOLE 112500 0 0 GMO REIT FD CL III MUTUAL 362007627 2598 210000 SH SOLE 210000 0 0 GREENPOINT FINL CORP COMMON 395384100 3545 72200 SH SOLE 56400 0 15800 HERCULES INC COMMON 427056106 4691 404400 SH SOLE 314900 0 89500 HEWITT ASSOCIATES INC COMMON 42822Q100 2220 95300 SH SOLE 74600 0 20700 HEWLETT PACKARD COMMON 428236103 8410 550363 SH SOLE 423548 0 126815 HIGHWOODS PROPERTIES COMMON 431284108 8190 315000 SH SOLE 315000 0 0 HILTON HOTEL CORP COMMON 432848109 2224 160000 SH SOLE 134500 0 25500 HONEYWELL INTERNATION COMMON 438516106 18232 517500 SH SOLE 406600 0 110900 HOSPITALITY PPTYS TR COMMON 44106M102 1825 50000 SH SOLE 50000 0 0 HOST MARRIOTT CORP NE COMMON 44107P104 4899 433500 SH SOLE 433500 0 0 INTEL CORP COMMON 458140100 530 29000 SH SOLE 29000 0 0 INTERNATIONAL BUSINES COMMON 459200101 1886 26200 SH SOLE 26200 0 0 INTERNATIONAL PAPER C COMMON 460146103 671 15400 SH SOLE 15400 0 0 INTL RECTIFIER CORP COMMON 460254105 292 10000 SH SOLE 10000 0 0 ISTAR FINL INC COM COMMON 45031U101 713 25000 SH SOLE 25000 0 0 J.P. MORGAN CHASE & C COMMON 46625H100 1389 40960 SH SOLE 40960 0 0 JOHNSON & JOHNSON COMMON 478160104 726 13900 SH SOLE 13900 0 0 KILROY RLTY CORP COM COMMON 49427F108 1338 50000 SH SOLE 50000 0 0 KIMBERLY CLARK COMMON 494368103 11929 192400 SH SOLE 160800 0 31600 KOGER EQUITY INC COM COMMON 500228101 1455 75400 SH SOLE 75400 0 0 KROGER CO COMMON 501044101 10048 504900 SH SOLE 404900 0 100000 LENNAR CORP COMMON 526057104 3189 52100 SH SOLE 40600 0 11500 LIBERTY PPTY TR SH BE COMMON 531172104 5950 170000 SH SOLE 170000 0 0 LILLY ELI & CO COMMON 532457108 750 13300 SH SOLE 13300 0 0 MACERICH CO COM COMMON 554382101 1550 50000 SH SOLE 50000 0 0 MACK CALI RLTY CORP C COMMON 554489104 22440 638400 SH SOLE 574900 0 63500 MANPOWER INC COM COMMON 56418H100 368 10000 SH SOLE 10000 0 0 MARATHON OIL CORP COM COMMON 565849106 1117 41200 SH SOLE 41200 0 0 MERCK & CO COMMON 589331107 19334 381800 SH SOLE 308600 0 73200 MID-AMER APT CMNTYS I COMMON 59522J103 535 20000 SH SOLE 20000 0 0 MILLS CORP COM COMMON 601148109 4805 155000 SH SOLE 155000 0 0 MYLAN LABS INC COMMON 628530107 658 21000 SH SOLE 21000 0 0 NATIONWIDE FINANCIAL COMMON 638612101 12537 317400 SH SOLE 249400 0 68000 NESTLES ADR FOREIGN 641069406 2038 36400 SH SOLE 36400 0 0 NEW PLAN EXCEL RLTY T COMMON 648053106 1250 60000 SH SOLE 60000 0 0 NEW YORK TIMES CO CLA COMMON 650111107 464 9000 SH SOLE 9000 0 0 NOBLE ENERGY INC COM COMMON 655044105 251 6975 SH SOLE 6975 0 0 OCCIDENTAL PETE CORP COMMON 674599105 19044 635000 SH SOLE 507000 0 128000 OLIN CORP COMMON 680665205 3019 136300 SH SOLE 99300 0 37000 ORACLE SYS CORP COMMON 68389X105 10024 1058500 SH SOLE 850800 0 207700 PALL CORP COMMON 696429307 425 20500 SH SOLE 20500 0 0 PAN PAC RETAIL PPTYS COMMON 69806L104 342 10000 SH SOLE 10000 0 0 PARKWAY PPTYS INC SHS COMMON 70159Q104 3092 85000 SH SOLE 85000 0 0 PEPSI BOTTLING GROUP COMMON 713409100 2954 95900 SH SOLE 95900 0 0 PETROLEO BRASILEIRO S COMMON 71654V408 228 12100 SH SOLE 12100 0 0 PHILIP MORRIS COMMON 718154107 7596 173900 SH SOLE 142900 0 31000 PHILLIPS PETE CO COMMON 718507106 8702 147800 SH SOLE 115000 0 32800 PITNEY BOWES INC COMMON 724479100 7563 190400 SH SOLE 150000 0 40400 PLACER DOME INC COMMON 725906101 3232 288300 SH SOLE 228100 0 60200 PRENTISS PPTYS TR SH COMMON 740706106 4207 132500 SH SOLE 132500 0 0 PROLOGIS TR SH BEN IN COMMON 743410102 7085 272500 SH SOLE 272500 0 0 PUBLIC STORAGE INC CO COMMON 74460D109 1584 42700 SH SOLE 42700 0 0 QUESTAR CORP COMMON 748356102 6867 278000 SH SOLE 220000 0 58000 QWEST COMM INTL INC S COMMON 749121109 5475 1955200 SH SOLE 1,587000 0 368200 RAYTHEON CO NEW COM COMMON 755111507 2950 72400 SH SOLE 56500 0 15900 RECKSON ASSOCS RLTY C COMMON 75621K304 1046 41000 SH SOLE 41000 0 0 RECKSON ASSOCS RLTY C COMMON 75621K106 4569 183500 SH SOLE 183500 0 0 ROCKWELL AUTOMATION I COMMON 773903109 292 14600 SH SOLE 14600 0 0 ROCKWELL COLLINS INC COMMON 774341101 428 15600 SH SOLE 15600 0 0 ROUSE CO COMMON 779273101 4125 125000 SH SOLE 125000 0 0 SAFEWAY INC COM NEW COMMON 786514208 5689 194900 SH SOLE 153100 0 41800 SCHERING PLOUGH CORP COMMON 806605101 10831 440300 SH SOLE 346200 0 94100 SEALED AIR CORP NEW C COMMON 81211K100 4993 124000 SH SOLE 97300 0 26700 SEMPRA ENERGY COM COMMON 816851109 353 15973 SH SOLE 15973 0 0 SENIOR HSG PPTYS TR S COMMON 81721M109 314 20000 SH SOLE 20000 0 0 SIMON PPTY GROUP INC COMMON 828806109 18052 490000 SH SOLE 446500 0 43500 SL GREEN RLTY CORP CO COMMON 78440X101 891 25000 SH SOLE 25000 0 0 SMITHFIELD FOODS COMMON 832248108 9010 485700 SH SOLE 379300 0 106400 SOUTHWEST AIRLS CO COMMON 844741108 284 17562 SH SOLE 17562 0 0 SPRINT CORP COM COMMON 852061100 2145 202200 SH SOLE 158900 0 43300 ST JOE CO COM COMMON 790148100 2405 80100 SH SOLE 80100 0 0 STAPLES INC COMMON 855030102 197 10000 SH SOLE 10000 0 0 STARWOOD HOTELS & RES COMMON 85590A203 7729 235000 SH SOLE 235000 0 0 STORAGE TECHNOLOGY CO COMMON 862111200 271 17000 SH SOLE 17000 0 0 SUMMIT PPTYS INC COM COMMON 866239106 2094 89700 SH SOLE 89700 0 0 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SH SOLE 31500 0 2102 WILSONS THE LEATHER EXPERTS COM 972463103 1312 93700 SH SOLE 0 0 93700 WINN DIXIE STORES INC COM 974280109 893 57300 SH SOLE 37700 0 19600 WINNEBAGO INDS INC COM 974637100 3146 71500 SH SOLE 2700 0 68800 WINSTON HOTELS INC COM 97563A102 152 15600 SH SOLE 0 0 15600 WINTRUST FINANCIAL CORP COM 97650W108 271 7850 SH SOLE 3750 0 4100 WISCONSIN ENERGY CORP COM 976657106 1274 50414 SH SOLE 28200 0 22214 WOLVERINE TUBE INC COM 978093102 200 26500 SH SOLE 14300 0 12200 WORLD ACCEP CORP DEL COM 981419104 106 12600 SH SOLE 0 0 12600 WORLDCOM INC GA NEW WRLDCOM GP COM 98157D106 4854 5848640 SH SOLE 4662128 0 1186512 WORTHINGTON INDS INC COM 981811102 1164 64300 SH SOLE 30700 0 33600 WSFS FINL CORP COM 929328102 1363 52700 SH SOLE 39600 0 13100 WYETH COM 983024100 210 4100 SH SOLE 4100 0 0 XEROX CORP COM 984121103 20299 2912300 SH SOLE 2238200 0 674100 XICOR INC COM 984903104 861 213000 SH SOLE 0 0 213000 XILINX INC COM 983919101 9802 437000 SH SOLE 391500 0 45500 XTO ENERGY CORP COM 98385X106 1840 89300 SH SOLE 3450 0 85850 YAHOO INC COM 984332106 15765 1068075 SH SOLE 959500 0 108575 YANKEE CANDLE INC COM 984757104 439 16200 SH SOLE 7600 0 8600 YELLOW CORP COM 985509108 467 14400 SH SOLE 3400 0 11000 YORK INTL CORP NEW COM 986670107 2446 72400 SH SOLE 16400 0 56000 YUM BRANDS INC WHEN ISSUED 988498101 407 13904 SH SOLE 9800 0 4104 ZALE CORP NEW COM 988858106 428 11800 SH SOLE 2500 0 9300 ZEBRA TECHNOLOGIES CORP CL A 989207105 3057 63400 SH SOLE 10500 0 52900 ZOMAX INC MINN COM 989929104 1181 302700 SH SOLE 67400 0 235300 ZORAN CORP COM 98975F101 4856 211950 SH SOLE 20250 0 191700