13F-HR 1 form13f_11542.txt GRANTHAM, MAYO VAN OTTERLOO & CO. LLC 13F-HR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 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 October 17, 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: 1476 Form 13F Information Table Value Total: 6718655 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 ------------------------------------------------------------------------------------------------------------------------------------ 100 TR UNIT SER 1 COMMON 631100104 240 11600 SH SOLE 11600 0 0 ACE LTD COMMON G0070K103 8338 281600 SH SOLE 235700 0 45900 AETNA U S HEALTHCARE COMMON 00817Y108 242 6750 SH SOLE 6750 0 0 ALLSTATE COMMON 020002101 8097 227760 SH SOLE 187660 0 40100 AMB PPTY CORP COM COMMON 00163T109 2081 72000 SH SOLE 72000 0 0 AMERADA HESS CORP COMMON 023551104 5152 75900 SH SOLE 63400 0 12500 AMERICAN EXPRESS COMMON 025816109 733 23500 SH SOLE 23500 0 0 AMERICAN GREETINGS CO COMMON 026375105 443 27500 SH SOLE 27500 0 0 AMERICAN INTL GROUP COMMON 026874107 443 8100 SH SOLE 8100 0 0 ANADARKO PETE CORP COMMON 032511107 4622 103777 SH SOLE 90277 0 13500 ANHEUSER BUSCH COS IN COMMON 035229103 1422 28100 SH SOLE 28100 0 0 AON CORP COMMON 037389103 2248 109700 SH SOLE 94100 0 15600 APARTMENT INVT & MGMT COMMON 03748R101 10490 270000 SH SOLE 270000 0 0 ARCHER DANIELS MIDLAN COMMON 039483102 460 36750 SH SOLE 36750 0 0 ARCHSTONE-SMITH TRUST COMMON 039583109 3881 162500 SH SOLE 162500 0 0 ARDEN RLTY INC COM COMMON 039793104 2613 110500 SH SOLE 110500 0 0 AT & T CORP. COMMON 001957109 3949 328808 SH SOLE 269408 0 59400 AVALONBAY CMNTYS INC COMMON 053484101 7006 167600 SH SOLE 167600 0 0 AVNET COMMON 053807103 2604 241300 SH SOLE 200900 0 40400 BANK OF AMERICA COMMON 060505104 9532 149403 SH SOLE 123603 0 25800 BANK ONE CORP COMMON 06423A103 572 15286 SH SOLE 15286 0 0 BEAR STEARNS COS INC COMMON 073902108 2256 40000 SH SOLE 32900 0 7100 BEDFORD PPTY INVS INC COMMON 076446301 2600 105000 SH SOLE 105000 0 0 BELLSOUTH CORP COMMON 079860102 9971 543100 SH SOLE 453100 0 90000 BLACK & DECKER CORP COMMON 091797100 544 12975 SH SOLE 12975 0 0 BLOCK H & R INC COMMON 093671105 3991 95000 SH SOLE 95000 0 0 BMC SOFTWARE INC COMMON 055921100 667 51000 SH SOLE 51000 0 0 BOEING CO COMMON 097023105 226 6632 SH SOLE 6632 0 0 BOSTON PROPERTIES COMMON 101121101 3999 107500 SH SOLE 107500 0 0 BRANDYWINE RLTY TR SH COMMON 105368203 12310 545900 SH SOLE 509800 0 36100 BRE PPTYS INC CL A COMMON 05564E106 2383 77500 SH SOLE 77500 0 0 BRISTOL MYERS SQUIBB COMMON 110122108 8113 340900 SH SOLE 280500 0 60400 BROOKFIELD PPTYS CORP COMMON 112900105 1540 80000 SH SOLE 80000 0 0 CABOT CORP COMMON 127055101 6775 322600 SH SOLE 262600 0 60000 CAMDEN PPTY TR SH BEN COMMON 133131102 1989 60000 SH SOLE 60000 0 0 CANADIAN PAC RY LTD C COMMON 13645T100 208 11400 SH SOLE 11400 0 0 CARRAMERICA RLTY CORP COMMON 144418100 1259 50000 SH SOLE 50000 0 0 CATELLUS DEV CORP COM COMMON 149111106 2768 150000 SH SOLE 150000 0 0 CBL & ASSOC PPTYS INC COMMON 124830100 5658 146000 SH SOLE 146000 0 0 CHATEAU CMNTYS INC CO COMMON 161726104 4054 153500 SH SOLE 153500 0 0 CHELSEA PROPERTY GROU COMMON 163421100 2447 72500 SH SOLE 72500 0 0 CHEVRONTEXACO CORPORA COMMON 166764100 1087 15700 SH SOLE 15700 0 0 CITIGROUP INC. COMMON 172967101 6765 228166 SH SOLE 201666 0 26500 CLAYTON HOMES INC COM COMMON 184190106 3856 351200 SH SOLE 286200 0 65000 COLONIAL PPTYS TR COM COMMON 195872106 3618 100000 SH SOLE 100000 0 0 CONOCOPHILLIPS COM COMMON 20825C104 11225 242746 SH SOLE 202270 0 40476 CRESCENT R E EQUITIES COMMON 225756105 11945 760800 SH SOLE 760800 0 0 CVS CORPORATION COMMON 126650100 5341 210700 SH SOLE 175400 0 35300 D R HORTON INC COM COMMON 23331A109 1727 92750 SH SOLE 76400 0 16350 DEVELOPERS DIVERSIFIE COMMON 251591103 6273 285000 SH SOLE 285000 0 0 DEVON ENERGY CORP NEW COMMON 25179M103 212 4387 SH SOLE 4387 0 0 DIAMONDS TR UNIT SER COMMON 252787106 654 8600 SH SOLE 8600 0 0 DISNEY WALT PRODTNS COMMON 254687106 189 12500 SH SOLE 12500 0 0 DONNELLEY R R & SONS COMMON 257867101 811 34500 SH SOLE 34500 0 0 DU PONT E I DE NEMOUR COMMON 263534109 314 8700 SH SOLE 8700 0 0 DUKE PWR CO COMMON 264399106 543 27762 SH SOLE 27762 0 0 DUKE REALTY CORPORATI COMMON 264411505 8371 340000 SH SOLE 340000 0 0 EASTGROUP PPTYS INC C COMMON 277276101 2166 87500 SH SOLE 87500 0 0 ELECTRONIC DATA SYS C COMMON 285661104 1473 105400 SH SOLE 90000 0 15400 ENCANA CORP COM COMMON 292505104 500 16616 SH SOLE 16616 0 0 ENGELHARD CORP COMMON 292845104 2776 116500 SH SOLE 96000 0 20500 EQUITY OFFICE PROPERT COMMON 294741103 29949 1,159900 SH SOLE 1,090500 0 69400 EQUITY RESIDENTIAL PP COMMON 29476L107 12257 512000 SH SOLE 488600 0 23400 ESTEE LAUDER COMMON 518439104 1227 42700 SH SOLE 35200 0 7500 EXELON CORP COMMON 30161N101 594 12501 SH SOLE 12501 0 0 EXXON CORPORATION COMMON 30231G102 1095 34320 SH SOLE 34320 0 0 FED HOME LOAN MTG COR COMMON 313400301 8558 153100 SH SOLE 125000 0 28100 FEDERAL NAT MORTGAGE COMMON 313586109 16326 274200 SH SOLE 229300 0 44900 FEDERATED DEPARTMENT COMMON 31410H101 9244 314000 SH SOLE 266500 0 47500 FELCOR LODGING TR INC COMMON 31430F101 1989 155000 SH SOLE 155000 0 0 FIRST INDL RLTY TR IN COMMON 32054K103 3409 110000 SH SOLE 110000 0 0 FLEETBOSTON FINANCIAL COMMON 339030108 2773 136400 SH SOLE 111900 0 24500 FLORIDA EAST COAST IN COMMON 340632207 475 21630 SH SOLE 21630 0 0 FMC CORP NEW COMMON 302491303 1717 66500 SH SOLE 54300 0 12200 FOREST CITY ENTERPRIS COMMON 345550107 1950 60000 SH SOLE 60000 0 0 FOX ENTMT GROUP INC C COMMON 35138T107 7382 335100 SH SOLE 273800 0 61300 FREEPORT MCMORAN COPP COMMON 35671D857 3618 268800 SH SOLE 220400 0 48400 GABLES RESIDENTIAL TR COMMON 362418105 548 20500 SH SOLE 20500 0 0 GENERAL ELECTRIC COMMON 369604103 1198 48600 SH SOLE 48600 0 0 GENERAL GROWTH PPTYS COMMON 370021107 11897 231000 SH SOLE 231000 0 0 GENERAL MTRS CORP COMMON 370442105 4403 113200 SH SOLE 94100 0 19100 GLAXO PLC SPONSORED A COMMON 37733W105 365 9501 SH SOLE 9501 0 0 GLENBOROUGH RLTY TR I COMMON 37803P105 2487 122500 SH SOLE 122500 0 0 GMO REIT FD CL III MUTUAL 362007627 2285 210000 SH SOLE 210000 0 0 GREENPOINT FINL CORP COMMON 395384100 2584 61900 SH SOLE 50800 0 11100 HERCULES INC COMMON 427056106 2502 271700 SH SOLE 221500 0 50200 HEWITT ASSOCIATES INC COMMON 42822Q100 3376 114300 SH SOLE 93200 0 21100 HEWLETT PACKARD COMMON 428236103 3311 283693 SH SOLE 238293 0 45400 HIGHWOODS PROPERTIES COMMON 431284108 7722 330000 SH SOLE 330000 0 0 HILTON HOTEL CORP COMMON 432848109 1681 147700 SH SOLE 130000 0 17700 HONEYWELL INTERNATION COMMON 438516106 10161 469100 SH SOLE 385200 0 83900 HOSPITALITY PPTYS TR COMMON 44106M102 1656 50000 SH SOLE 50000 0 0 HOST MARRIOTT CORP NE COMMON 44107P104 4301 463500 SH SOLE 463500 0 0 INFORMATION RES INC COMMON 456905108 158 42600 SH SOLE 42600 0 0 INTEL CORP COMMON 458140100 403 29000 SH SOLE 29000 0 0 INTERNATIONAL BUSINES COMMON 459200101 1528 26200 SH SOLE 26200 0 0 INTERNATIONAL PAPER C COMMON 460146103 514 15400 SH SOLE 15400 0 0 INTL RECTIFIER CORP COMMON 460254105 156 10000 SH SOLE 10000 0 0 ISTAR FINL INC COM COMMON 45031U101 698 25000 SH SOLE 25000 0 0 J.P. MORGAN CHASE & C COMMON 46625H100 778 40960 SH SOLE 40960 0 0 JOHNSON & JOHNSON COMMON 478160104 752 13900 SH SOLE 13900 0 0 KIMBERLY CLARK COMMON 494368103 7794 137600 SH SOLE 121200 0 16400 KIMCO RLTY CORP COM COMMON 49446R109 1368 44000 SH SOLE 44000 0 0 KOGER EQUITY INC COM COMMON 500228101 1274 75400 SH SOLE 75400 0 0 KROGER CO COMMON 501044101 5765 408900 SH SOLE 342900 0 66000 LENNAR CORP COMMON 526057104 2465 44200 SH SOLE 36200 0 8000 LIBERTY PPTY TR SH BE COMMON 531172104 5425 175000 SH SOLE 175000 0 0 LILLY ELI & CO COMMON 532457108 736 13300 SH SOLE 13300 0 0 MACK CALI RLTY CORP C COMMON 554489104 19484 606400 SH SOLE 574400 0 32000 MANPOWER INC COM COMMON 56418H100 293 10000 SH SOLE 10000 0 0 MARATHON OIL CORP COM COMMON 565849106 934 41200 SH SOLE 41200 0 0 MERCK & CO COMMON 589331107 14316 313200 SH SOLE 262100 0 51100 MID-AMER APT CMNTYS I COMMON 59522J103 498 20000 SH SOLE 20000 0 0 MILLS CORP COM COMMON 601148109 4597 155000 SH SOLE 155000 0 0 MYLAN LABS INC COMMON 628530107 688 21000 SH SOLE 21000 0 0 NATIONWIDE FINANCIAL COMMON 638612101 1428 53500 SH SOLE 43700 0 9800 NESTLES ADR FOREIGN 641069406 1947 36400 SH SOLE 36400 0 0 NEW PLAN EXCEL RLTY T COMMON 648053106 1106 60000 SH SOLE 60000 0 0 NEW YORK TIMES CO CLA COMMON 650111107 409 9000 SH SOLE 9000 0 0 NOBLE ENERGY INC COM COMMON 655044105 237 6975 SH SOLE 6975 0 0 OCCIDENTAL PETE CORP COMMON 674599105 15249 537300 SH SOLE 451800 0 85500 OLIN CORP COMMON 680665205 3689 225200 SH SOLE 186400 0 38800 OMNICOM GROUP COMMON 681919106 1704 30600 SH SOLE 25000 0 5600 ORACLE SYS CORP COMMON 68389X105 8993 1,144200 SH SOLE 954200 0 190000 PAN PAC RETAIL PPTYS COMMON 69806L104 345 10000 SH SOLE 10000 0 0 PARKWAY PPTYS INC SHS COMMON 70159Q104 2876 85000 SH SOLE 85000 0 0 PEPSI BOTTLING GROUP COMMON 713409100 2244 95900 SH SOLE 95900 0 0 PFIZER INC COMMON 717081103 4309 148500 SH SOLE 121300 0 27200 PHILIP MORRIS COMMON 718154107 13405 345500 SH SOLE 304600 0 40900 PITNEY BOWES INC COMMON 724479100 2726 89400 SH SOLE 73400 0 16000 PLACER DOME INC COMMON 725906101 3483 381500 SH SOLE 313100 0 68400 PRENTISS PPTYS TR SH COMMON 740706106 3835 132500 SH SOLE 132500 0 0 PROLOGIS TR SH BEN IN COMMON 743410102 7598 305000 SH SOLE 305000 0 0 PUBLIC STORAGE INC CO COMMON 74460D109 1362 42700 SH SOLE 42700 0 0 QUESTAR CORP COMMON 748356102 4568 200000 SH SOLE 165200 0 34800 QWEST COMM INTL INC S COMMON 749121109 1757 770600 SH SOLE 628300 0 142300 RAYTHEON CO NEW COM COMMON 755111507 3522 120200 SH SOLE 98600 0 21600 RECKSON ASSOCS RLTY C COMMON 75621K304 974 41000 SH SOLE 41000 0 0 RECKSON ASSOCS RLTY C COMMON 75621K106 4235 186000 SH SOLE 186000 0 0 ROCKWELL AUTOMATION I COMMON 773903109 238 14600 SH SOLE 14600 0 0 ROCKWELL COLLINS INC COMMON 774341101 342 15600 SH SOLE 15600 0 0 ROUSE CO COMMON 779273101 4154 130000 SH SOLE 130000 0 0 SAFEWAY INC COM NEW COMMON 786514208 1909 85600 SH SOLE 69800 0 15800 SCHERING PLOUGH CORP COMMON 806605101 8624 404500 SH SOLE 331500 0 73000 SEALED AIR CORP NEW C COMMON 81211K100 3584 212200 SH SOLE 174800 0 37400 SEMPRA ENERGY COM COMMON 816851109 314 15973 SH SOLE 15973 0 0 SENIOR HSG PPTYS TR S COMMON 81721M109 898 80000 SH SOLE 80000 0 0 SIMON PPTY GROUP INC COMMON 828806109 16439 460100 SH SOLE 430400 0 29700 SL GREEN RLTY CORP CO COMMON 78440X101 692 22500 SH SOLE 22500 0 0 SMITHFIELD FOODS COMMON 832248108 7078 450800 SH SOLE 367800 0 83000 SOUTHWEST AIRLS CO COMMON 844741108 229 17562 SH SOLE 17562 0 0 SOVEREIGN BANCORP INC COMMON 845905108 4087 316800 SH SOLE 258700 0 58100 ST JOE CO COM COMMON 790148100 2156 78100 SH SOLE 78100 0 0 STAPLES INC COMMON 855030102 128 10000 SH SOLE 10000 0 0 STARRETT L S CO COMMON 855668109 159 10400 SH SOLE 10400 0 0 STARWOOD HOTELS & RES COMMON 85590A203 6634 297500 SH SOLE 297500 0 0 SUMMIT PPTYS INC COM COMMON 866239106 1934 99700 SH SOLE 99700 0 0 SUNTRUST BANKS INC COMMON 867914103 275 4480 SH SOLE 4480 0 0 TOLL BROS INC COM COMMON 889478103 911 41900 SH SOLE 34000 0 7900 TRAVELERS PPTY CAS CO COMMON 89420G406 394 29122 SH SOLE 25236 0 3886 TRAVELERS PROPERTY CA COMMON 89420G109 5073 384308 SH SOLE 326417 0 57891 TRIZEC CDA INC SUB VT COMMON 896874104 755 71981 SH SOLE 71981 0 0 TRIZEC PPTYS INC COM COMMON 89687P107 10621 935796 SH SOLE 905725 0 30071 TXU CORP COMMON 873168108 10669 255800 SH SOLE 215600 0 40200 U S BANCORP COMMON 902973304 3961 213200 SH SOLE 171700 0 41500 UNITED DOMINION RLTY COMMON 910197102 5521 347000 SH SOLE 347000 0 0 UNITED TECHNOLOGIES C COMMON 913017109 1706 30200 SH SOLE 30200 0 0 UNOCAL CORP COMMON 915289102 2169 69100 SH SOLE 69100 0 0 VALERO ENERGY COM COMMON 91913Y100 1824 68900 SH SOLE 56900 0 12000 VERIZON COMMUNICATION COMMON 92343V104 16818 612884 SH SOLE 517984 0 94900 VIACOM INC COM NON VT COMMON 925524308 287 7090 SH SOLE 7090 0 0 VISHAY INTERTECHNOLOG COMMON 928298108 2307 262200 SH SOLE 215300 0 46900 VORNADO RLTY TR COM COMMON 929042109 10257 260000 SH SOLE 260000 0 0 WACHOVIA GROUP COM COMMON 929903102 14514 444000 SH SOLE 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0 25500 GOODYEAR TIRE & RUBR CO COM 382550101 4403 495300 SH SOLE 409200 0 86100 GOODYS FAMILY CLOTHING INC COM 382588101 135 28600 SH SOLE 28600 0 0 GRAFTECH INTL LTD COM 384313102 526 72600 SH SOLE 35000 0 37600 GRAINGER W W INC COM 384802104 1442 33900 SH SOLE 14600 0 19300 GREAT ATLANTIC & PAC TEA INC COM 390064103 1291 154100 SH SOLE 7600 0 146500 GREAT LAKES REIT INC COM 390752103 262 15000 SH SOLE 0 0 15000 GREAT PLAINS ENERGY INC COM 391164100 350 18300 SH SOLE 18300 0 0 GREATER BAY BANCORP COM 391648102 2710 149000 SH SOLE 32000 0 117000 GREEN MTN COFFEE INC COM 393122106 348 27000 SH SOLE 0 0 27000 GREENPOINT FINL CORP COM 395384100 3949 94600 SH SOLE 65200 0 29400 GREIF BROS CORP CL A 397624107 613 25000 SH SOLE 17400 0 7600 GRIFFON CORP COM 398433102 559 52530 SH SOLE 15230 0 37300 GROUP 1 AUTOMOTIVE INC COM 398905109 2407 107700 SH SOLE 20200 0 87500 GROUPE CGI INC CL A SUB VTG 39945C109 616 253800 SH SOLE 253800 0 0 GSI COMMERCE INC COM 36238G102 835 165300 SH SOLE 5600 0 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