13F-HR 1 form13f_12419.txt FORM 13F-HR (DECEMBER 31, 2003) UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: December 31, 2003 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 January 16, 2004 -------------------------------------------------- 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: 1520 Form 13F Information Table Value Total: 13571172 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 ------------------------------------------------------------------------------------------------------------------------------------ ACADIA RLTY TR COM COMMON 004239109 181 14500 SH SOLE 14500 0 0 ACE LTD COMMON G0070K103 721 17400 SH SOLE 17400 0 0 ALEXANDRIA REAL EST E COMMON 015271109 1204 20800 SH SOLE 20800 0 0 ALLSTATE COMMON 020002101 2366 55000 SH SOLE 41200 5200 8600 ALTRIA CROUP INC COM COMMON 02209S103 5899 108400 SH SOLE 96700 11700 0 AMB PPTY CORP COM COMMON 00163T109 2693 81900 SH SOLE 81900 0 0 AMERICAN ELECTRIC POW COMMON 025537101 2593 85000 SH SOLE 64500 7700 12800 AMERICAN EXPRESS COMMON 025816109 362 7500 SH SOLE 7500 0 0 AMERICAN GREETINGS CO COMMON 026375105 547 25000 SH SOLE 25000 0 0 AMLI RESIDENTIAL PROP COMMON 001735109 493 18400 SH SOLE 18400 0 0 ANHEUSER BUSCH COS IN COMMON 035229103 1185 22500 SH SOLE 22500 0 0 AON CORP COMMON 037389103 1118 46700 SH SOLE 33800 4800 8100 APACHE CORP COMMON 037411105 2263 27900 SH SOLE 20100 2900 4900 APARTMENT INVT & MGMT COMMON 03748R101 1590 46100 SH SOLE 46100 0 0 ARCHER DANIELS MIDLAN COMMON 039483102 479 31500 SH SOLE 31500 0 0 ARCHSTONE-SMITH TRUST COMMON 039583109 9435 337200 SH SOLE 337200 0 0 ARDEN RLTY INC COM COMMON 039793104 1754 57800 SH SOLE 57800 0 0 ASHLAND INC. COMMON 044204105 881 20000 SH SOLE 14400 2100 3500 ASSOCIATED ESTATES RL COMMON 045604105 205 28100 SH SOLE 28100 0 0 AT & T WIRELESS COM COMMON 00209A106 80 10000 SH SOLE 10000 0 0 AT&T CORP COM NEW COMMON 001957505 1127 55500 SH SOLE 40100 5800 9600 AVALONBAY CMNTYS INC COMMON 053484101 3580 74900 SH SOLE 74900 0 0 BANK OF AMERICA COMMON 060505104 4664 57992 SH SOLE 45271 4715 8006 BANK ONE CORP COMMON 06423A103 4259 93430 SH SOLE 69530 8900 15000 BAXTER INTL INC COMMON 071813109 2005 65700 SH SOLE 47600 6800 11300 BEAR STEARNS COS INC COMMON 073902108 440 5500 SH SOLE 3900 600 1000 BEDFORD PPTY INVS INC COMMON 076446301 816 28500 SH SOLE 28500 0 0 BELLSOUTH CORP COMMON 079860102 4457 157500 SH SOLE 127000 11400 19100 BLACK & DECKER CORP COMMON 091797100 247 5000 SH SOLE 5000 0 0 BLOCK H & R INC COMMON 093671105 1523 27500 SH SOLE 27500 0 0 BOEING CO COMMON 097023105 556 13200 SH SOLE 13200 0 0 BOSTON PROPERTIES COMMON 101121101 6506 135000 SH SOLE 135000 0 0 BOYKIN LODGING CO COM COMMON 103430104 110 12000 SH SOLE 12000 0 0 BRANDYWINE RLTY TR SH COMMON 105368203 1577 58900 SH SOLE 58900 0 0 BRE PPTYS INC CL A COMMON 05564E106 2291 68600 SH SOLE 68600 0 0 BRISTOL MYERS SQUIBB COMMON 110122108 383 13400 SH SOLE 13400 0 0 CABOT CORP COMMON 127055101 1165 36600 SH SOLE 26300 3800 6500 CABOT OIL & GAS CORP COMMON 127097103 205 7000 SH SOLE 7000 0 0 CAMDEN PPTY TR SH BEN COMMON 133131102 1214 27400 SH SOLE 27400 0 0 CAPITAL AUTOMOTIVE RE COMMON 139733109 1562 48800 SH SOLE 48800 0 0 CARDINAL HEALTH INC C COMMON 14149Y108 1254 20500 SH SOLE 16000 1700 2800 CARRAMERICA RLTY CORP COMMON 144418100 1444 48500 SH SOLE 48500 0 0 CBL & ASSOC PPTYS INC COMMON 124830100 2480 43900 SH SOLE 43900 0 0 CENDANT CORPORATION COMMON 151313103 4888 219500 SH SOLE 163300 21000 35200 CENTERPOINT PPTYS TR COMMON 151895109 1026 13700 SH SOLE 13700 0 0 CENTEX CORP COMMON 152312104 1658 15400 SH SOLE 11100 1600 2700 CHELSEA PROPERTY GROU COMMON 163421100 3004 54800 SH SOLE 54800 0 0 CHEVRONTEXACO CORPORA COMMON 166764100 499 5775 SH SOLE 5775 0 0 CITIGROUP INC. COMMON 172967101 10324 212700 SH SOLE 165700 17600 29400 CNA FINL CORP COMMON 126117100 2793 115900 SH SOLE 84000 12000 19900 COLONIAL PPTYS TR COM COMMON 195872106 804 20300 SH SOLE 20300 0 0 COMMERCIAL NET LEASE COMMON 202218103 1104 62000 SH SOLE 62000 0 0 CONOCOPHILLIPS COM COMMON 20825C104 6491 99000 SH SOLE 79200 7400 12400 CONSTELLATION BRANDS COMMON 21036P108 2262 68700 SH SOLE 54500 5300 8900 CORNERSTONE RLTY INCO COMMON 21922V102 344 39300 SH SOLE 39300 0 0 CORPORATE OFFICE PPTY COMMON 22002T108 445 21200 SH SOLE 21200 0 0 CORRECTIONAL PPTYS TR COMMON 22025E104 524 18200 SH SOLE 18200 0 0 CORRECTIONS CORP AMER COMMON 22025Y407 842 29200 SH SOLE 29200 0 0 COUSINS PPTYS INC COMMON 222795106 1698 55500 SH SOLE 55500 0 0 CRESCENT R E EQUITIES COMMON 225756105 1093 63800 SH SOLE 63800 0 0 CSX CORP COMMON 126408103 1682 46800 SH SOLE 33900 4800 8100 CVS CORPORATION COMMON 126650100 1900 52600 SH SOLE 44200 3100 5300 D R HORTON INC COM COMMON 23331A109 753 17400 SH SOLE 12500 1800 3100 DEVELOPERS DIVERSIFIE COMMON 251591103 3636 108300 SH SOLE 108300 0 0 DEVON ENERGY CORP NEW COMMON 25179M103 251 4387 SH SOLE 4387 0 0 DU PONT E I DE NEMOUR COMMON 263534109 229 5000 SH SOLE 5000 0 0 DUKE PWR CO COMMON 264399106 2485 121500 SH SOLE 90500 11600 19400 DUKE REALTY CORPORATI COMMON 264411505 4576 147600 SH SOLE 147600 0 0 EASTGROUP PPTYS INC C COMMON 277276101 437 13500 SH SOLE 13500 0 0 EL PASO CORPORATION COMMON 28336L109 827 101000 SH SOLE 72900 10500 17600 ENCANA CORP COM COMMON 292505104 378 9576 SH SOLE 9576 0 0 ENTERTAINMENT PPTYS T COMMON 29380T105 687 19800 SH SOLE 19800 0 0 EQUITY INNS INC COM COMMON 294703103 223 24600 SH SOLE 24600 0 0 EQUITY OFFICE PROPERT COMMON 294741103 16818 587000 SH SOLE 587000 0 0 EQUITY ONE INC COM COMMON 294752100 1529 90600 SH SOLE 90600 0 0 EQUITY RESIDENTIAL PP COMMON 29476L107 11102 376200 SH SOLE 376200 0 0 ESSEX PPTY TR COM COMMON 297178105 1567 24400 SH SOLE 24400 0 0 EXELON CORP COMMON 30161N101 423 6375 SH SOLE 6375 0 0 EXXON CORPORATION COMMON 30231G102 7197 175540 SH SOLE 129640 17100 28800 FED HOME LOAN MTG COR COMMON 313400301 5400 92600 SH SOLE 70600 8200 13800 FEDERAL NAT MORTGAGE COMMON 313586109 4414 58800 SH SOLE 42400 6100 10300 FEDERAL RLTY INVT TR COMMON 313747206 1367 35600 SH SOLE 35600 0 0 FEDERATED DEPARTMENT COMMON 31410H101 2602 55200 SH SOLE 43500 4400 7300 FELCOR LODGING TR INC COMMON 31430F101 328 29600 SH SOLE 29600 0 0 FIRST DATA CORP COM COMMON 319963104 3850 93700 SH SOLE 72400 8000 13300 FIRST INDL RLTY TR IN COMMON 32054K103 1127 33400 SH SOLE 33400 0 0 FLEETBOSTON FINANCIAL COMMON 339030108 3003 68800 SH SOLE 54800 5200 8800 GABLES RESIDENTIAL TR COMMON 362418105 844 24300 SH SOLE 24300 0 0 GENERAL DYNAMICS CORP COMMON 369550108 515 5700 SH SOLE 5700 0 0 GENERAL ELECTRIC COMMON 369604103 449 14500 SH SOLE 14500 0 0 GENERAL GROWTH PPTYS COMMON 370021107 8483 305700 SH SOLE 305700 0 0 GETTY RLTY CORP NEW C COMMON 374297109 646 24700 SH SOLE 24700 0 0 GLAXO PLC SPONSORED A COMMON 37733W105 233 5000 SH SOLE 5000 0 0 GLENBOROUGH RLTY TR I COMMON 37803P105 307 15400 SH SOLE 15400 0 0 GLIMCHER RLTY TR SH B COMMON 379302102 573 25600 SH SOLE 25600 0 0 GMO REIT FD CL III MUTUAL 362007627 2900 210000 SH SOLE 210000 0 0 GRAINGER W W INC COMMON 384802104 1469 31000 SH SOLE 24500 2400 4100 GREAT LAKES REIT INC COMMON 390752103 509 32400 SH SOLE 32400 0 0 HANCOCK JOHN FINL SVC COMMON 41014S106 1076 28700 SH SOLE 20700 3000 5000 HEALTH CARE PPTY INVS COMMON 421915109 3480 68500 SH SOLE 68500 0 0 HEALTH CARE REIT INC COMMON 42217K106 2218 61600 SH SOLE 61600 0 0 HEALTHCARE RLTY TR CO COMMON 421946104 2138 59800 SH SOLE 59800 0 0 HERITAGE PROPERTY COMMON 42725M107 743 26100 SH SOLE 26100 0 0 HEWLETT PACKARD COMMON 428236103 2595 112974 SH SOLE 87074 9700 16200 HIGHWOODS PROPERTIES COMMON 431284108 648 25500 SH SOLE 25500 0 0 HOME DEPOT INC COMMON 437076102 2200 62000 SH SOLE 49200 4800 8000 HOME PPTYS NY INC COM COMMON 437306103 945 23400 SH SOLE 23400 0 0 HONEYWELL INTERNATION COMMON 438516106 5162 154400 SH SOLE 117400 13700 23300 HOSPITALITY PPTYS TR COMMON 44106M102 4380 106100 SH SOLE 106100 0 0 HOST MARRIOTT CORP NE COMMON 44107P104 1640 133100 SH SOLE 133100 0 0 HRPT PPTYS TR COM SH COMMON 40426W101 2511 248900 SH SOLE 248900 0 0 IKON OFFICE SOLUTIONS COMMON 451713101 1413 119100 SH SOLE 86500 12300 20300 INDYMAC BANCORP INC C COMMON 456607100 629 21100 SH SOLE 11600 3600 5900 INNKEEPERS USA TR COM COMMON 4576J0104 225 26900 SH SOLE 26900 0 0 INTEL CORP COMMON 458140100 439 13700 SH SOLE 13700 0 0 INTERNATIONAL BUSINES COMMON 459200101 973 10500 SH SOLE 10500 0 0 INTERNATIONAL PAPER C COMMON 460146103 431 10000 SH SOLE 10000 0 0 INVESTORS REAL ESTATE COMMON 461730103 258 26100 SH SOLE 26100 0 0 J.P. MORGAN CHASE & C COMMON 46625H100 7162 195000 SH SOLE 151400 16300 27300 JOHNSON & JOHNSON COMMON 478160104 258 5000 SH SOLE 5000 0 0 JONES APPAREL GROUP I COMMON 480074103 1659 47100 SH SOLE 33900 4900 8300 KEYSTONE PPTY TR CORP COMMON 493596100 429 19400 SH SOLE 19400 0 0 KILROY RLTY CORP COM COMMON 49427F108 1051 32100 SH SOLE 32100 0 0 KIMBERLY CLARK COMMON 494368103 2594 43900 SH SOLE 36400 2800 4700 KIMCO RLTY CORP COM COMMON 49446R109 7366 164600 SH SOLE 164600 0 0 KOGER EQUITY INC COM COMMON 500228101 324 15500 SH SOLE 15500 0 0 KRAMONT RLTY TR COM S COMMON 50075Q107 235 13000 SH SOLE 13000 0 0 LASALLE HOTEL PPTYS C COMMON 517942108 254 13700 SH SOLE 13700 0 0 LENNAR CORP COMMON 526057104 749 7800 SH SOLE 5500 800 1500 LEXINGTON CORPORATE P COMMON 529043101 900 44600 SH SOLE 44600 0 0 LIBERTY PPTY TR SH BE COMMON 531172104 4750 122100 SH SOLE 122100 0 0 LILLY ELI & CO COMMON 532457108 527 7500 SH SOLE 7500 0 0 MACERICH CO COM COMMON 554382101 3502 78700 SH SOLE 78700 0 0 MACK CALI RLTY CORP C COMMON 554489104 4166 100100 SH SOLE 100100 0 0 MANPOWER INC COM COMMON 56418H100 471 10000 SH SOLE 10000 0 0 MANUFACTURED HOME CMN COMMON 564682102 738 19600 SH SOLE 19600 0 0 MCKESSON HBOC INC COM COMMON 58155Q103 1013 31500 SH SOLE 22700 3300 5500 MERCK & CO COMMON 589331107 6362 137700 SH SOLE 102200 13100 22400 MERISTAR HOSPITALITY COMMON 58984Y103 168 25800 SH SOLE 25800 0 0 MERRILL LYNCH & CO. I COMMON 590188108 3636 62000 SH SOLE 47800 5300 8900 METLIFE INC COM COMMON 59156R108 1088 32300 SH SOLE 23300 3400 5600 MICROSOFT CORP COMMON 594918104 6309 230500 SH SOLE 174500 21000 35000 MID-AMER APT CMNTYS I COMMON 59522J103 359 10700 SH SOLE 10700 0 0 MILLS CORP COM COMMON 601148109 2812 63900 SH SOLE 63900 0 0 MISSION WEST PPTYS IN COMMON 605203108 255 19700 SH SOLE 19700 0 0 MORGAN STANLEY DEAN W COMMON 617446448 6209 107300 SH SOLE 81400 9700 16200 MYLAN LABS INC COMMON 628530107 909 36000 SH SOLE 36000 0 0 NATIONAL CITY CORP COMMON 635405103 1015 29900 SH SOLE 21400 3200 5300 NATIONWIDE HLTH PPTYS COMMON 638620104 1499 76700 SH SOLE 76700 0 0 NESTLES ADR FOREIGN 641069406 940 15000 SH SOLE 15000 0 0 NEW PLAN EXCEL RLTY T COMMON 648053106 2706 109700 SH SOLE 109700 0 0 NISOURCE INC COMMON 65473P105 1957 89200 SH SOLE 68700 7700 12800 NORFOLK SOUTHN CORP COMMON 655844108 1237 52300 SH SOLE 37800 5400 9100 NORTHROP CORP COMMON 666807102 1300 13600 SH SOLE 10800 1000 1800 OCCIDENTAL PETE CORP COMMON 674599105 9162 216900 SH SOLE 169200 17800 29900 OM GROUP INC COM COMMON 670872100 1658 63300 SH SOLE 45800 6500 11000 OMNICOM GROUP COMMON 681919106 1371 15700 SH SOLE 12500 1200 2000 PAN PAC RETAIL PPTYS COMMON 69806L104 2554 53600 SH SOLE 53600 0 0 PARKWAY PPTYS INC SHS COMMON 70159Q104 391 9400 SH SOLE 9400 0 0 PENNSYLVANIA REAL EST COMMON 709102107 592 16300 SH SOLE 16300 0 0 PEPSI BOTTLING GROUP COMMON 713409100 3081 127400 SH SOLE 108100 7200 12100 PFIZER INC COMMON 717081103 9122 258200 SH SOLE 195400 23500 39300 POST PPTYS INC COMMON COMMON 737464107 1924 68900 SH SOLE 68900 0 0 PRENTISS PPTYS TR SH COMMON 740706106 1686 51100 SH SOLE 51100 0 0 PROLOGIS TR SH BEN IN COMMON 743410102 7650 238400 SH SOLE 238400 0 0 PS BUSINESS PKS INC C COMMON 69360J107 743 18000 SH SOLE 18000 0 0 PUBLIC STORAGE INC CO COMMON 74460D109 5176 119300 SH SOLE 119300 0 0 QUESTAR CORP COMMON 748356102 352 10000 SH SOLE 10000 0 0 RAMCO-GERSHENSON PPTY COMMON 751452202 209 7400 SH SOLE 7400 0 0 RAYTHEON CO NEW COM COMMON 755111507 2439 81200 SH SOLE 58800 8400 14000 REALTY INCOME CORP CO COMMON 756109104 1800 45000 SH SOLE 45000 0 0 RECKSON ASSOCS RLTY C COMMON 75621K106 824 33900 SH SOLE 33900 0 0 REGENCY CTRS CORP COM COMMON 758849103 2630 66000 SH SOLE 66000 0 0 REGIONS FINL CORP COM COMMON 758940100 1001 26900 SH SOLE 19400 2800 4700 ROUSE CO COMMON 779273101 5194 110500 SH SOLE 110500 0 0 RYLAND GROUP INC COMMON 783764103 674 7600 SH SOLE 5500 800 1300 SAFEWAY INC COM NEW COMMON 786514208 1170 53400 SH SOLE 38500 5600 9300 SARA LEE CORP COMMON 803111103 5649 260200 SH SOLE 205700 20400 34100 SAUL CTRS INC COM COMMON 804395101 433 15100 SH SOLE 15100 0 0 SBC COMMUNICATIONS, I COMMON 78387G103 5584 214200 SH SOLE 158800 20700 34700 SEMPRA ENERGY COM COMMON 816851109 2570 85500 SH SOLE 64400 7900 13200 SENIOR HSG PPTYS TR S COMMON 81721M109 1354 78600 SH SOLE 78600 0 0 SHURGARD STORAGE CTRS COMMON 82567D104 2063 54800 SH SOLE 54800 0 0 SIMON PPTY GROUP INC COMMON 828806109 7674 165600 SH SOLE 165600 0 0 SL GREEN RLTY CORP CO COMMON 78440X101 1351 32900 SH SOLE 32900 0 0 SOVRAN SELF STORAGE I COMMON 84610H108 736 19800 SH SOLE 19800 0 0 SPRINT CORP COM COMMON 852061100 933 56800 SH SOLE 41000 5900 9900 ST JOE CO COM COMMON 790148100 280 7500 SH SOLE 7500 0 0 STARWOOD HOTELS & RES COMMON 85590A203 1802 50100 SH SOLE 50100 0 0 SUMMIT PPTYS INC COM COMMON 866239106 747 31100 SH SOLE 31100 0 0 SUN CMNTYS INC COM COMMON 866674104 658 17000 SH SOLE 17000 0 0 TANGER FACTORY OUTLET COMMON 875465106 285 7000 SH SOLE 7000 0 0 TAUBMAN CTRS INC COM COMMON 876664103 389 18900 SH SOLE 18900 0 0 TIDEWATER INC COMMON 886423102 1509 50500 SH SOLE 36500 5200 8800 TIME WARNER INC COMMON 887317105 8274 459900 SH SOLE 351600 40500 67800 TOWN & CTRY TR SH BEN COMMON 892081100 515 20300 SH SOLE 20300 0 0 TRAVELERS PROPERTY CA COMMON 89420G109 6438 383700 SH SOLE 287100 36100 60500 TRIZEC PPTYS INC COM COMMON 89687P107 1389 90200 SH SOLE 90200 0 0 TYCO INTL LTD NEW COM COMMON 902124106 2303 86900 SH SOLE 62700 9000 15200 U S BANCORP COMMON 902973304 491 16500 SH SOLE 16500 0 0 UNION PAC CORP COMMON 907818108 1445 20800 SH SOLE 16300 1700 2800 UNITED DOMINION RLTY COMMON 910197102 1797 93600 SH SOLE 93600 0 0 UNITED TECHNOLOGIES C COMMON 913017109 1185 12500 SH SOLE 12500 0 0 UNIVERSAL HEALTH RLTY COMMON 91359E105 427 14200 SH SOLE 14200 0 0 UNUMPROVIDENT CORP COMMON 91529Y106 1954 123900 SH SOLE 89600 12800 21500 VALERO ENERGY COM COMMON 91913Y100 853 18400 SH SOLE 13300 1900 3200 VENTAS INC COM COMMON 92276F100 2468 112200 SH SOLE 112200 0 0 VERIZON COMMUNICATION COMMON 92343V104 7458 212600 SH SOLE 168300 16600 27700 VIACOM INC COM NON VT COMMON 925524308 2836 63900 SH SOLE 49500 5400 9000 VORNADO RLTY TR COM COMMON 929042109 9510 173700 SH SOLE 173700 0 0 WACHOVIA GROUP COM COMMON 929903102 3000 64400 SH SOLE 47500 6300 10600 WAL MART STORES INC COMMON 931142103 663 12500 SH SOLE 12500 0 0 WASHINGTON MUT INC CO COMMON 939322103 4152 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SH SOLE 117600 0 20500 ALLIED CAP CORP NEW COM 01903Q108 4280 153500 SH SOLE 153500 0 0 ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 3256 234608 SH SOLE 173700 0 60908 ALLMERICA FINL CORP COM 019754100 6785 220500 SH SOLE 188200 0 32300 ALLSTATE CORP COM 020002101 60396 1403900 SH SOLE 1129500 0 274400 ALLTEL CORP COM 020039103 8603 184700 SH SOLE 153100 0 31600 ALPHARMA INC CL A 020813101 432 21500 SH SOLE 21500 0 0 ALTERA CORP COM 021441100 5823 257100 SH SOLE 257100 0 0 ALTRIA GROUP INC COM 02209S103 250062 4595034 SH SOLE 3741044 0 853990 AMAZON COM INC COM 023135106 36050 685100 SH SOLE 584400 0 100700 AMB PROPERTY CORP COM 00163T109 1623 49362 SH SOLE 13762 0 35600 AMBAC FINL GROUP INC COM 023139108 11425 164650 SH SOLE 141350 0 23300 AMCOL INTL CORP COM 02341W103 386 19000 SH SOLE 0 0 19000 AMERADA HESS CORP COM 023551104 12891 242451 SH SOLE 195000 0 47451 AMEREN CORP COM 023608102 6293 136800 SH SOLE 120200 0 16600 AMERICA MOVIL S A DE C V SPON ADR L SHS 02364W105 31737 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COM 28139T101 5308 171000 SH SOLE 19000 0 152000 EDWARDS AG INC COM 281760108 2134 58900 SH SOLE 45900 0 13000 EGL INC COM 268484102 2248 127900 SH SOLE 2700 0 125200 EL PASO CORP COM 28336L109 19217 2346400 SH SOLE 1985700 0 360700 EL PASO ELEC CO COM NEW 283677854 621 46500 SH SOLE 33500 0 13000 ELECTRO SCIENTIFIC INDS COM 285229100 1102 46300 SH SOLE 0 0 46300 ELECTRONIC ARTS INC COM 285512109 2026 42500 SH SOLE 42500 0 0 ELECTRONIC DATA SYS NEW COM 285661104 47301 1927500 SH SOLE 1650900 0 276600 ELECTRONICS BOUTIQUE HLDGS C COM 286045109 217 9500 SH SOLE 9500 0 0 ELECTRONICS FOR IMAGING INC COM 286082102 3031 116500 SH SOLE 96000 0 20500 EMBOTELLADORA ANDINA S A SPON ADR A 29081P204 1451 138200 SH SOLE 138200 0 0 EMBRAER-EMPRESA BRASILEIRA D SP ADR PFD SHS 29081M102 2592 74000 SH SOLE 74000 0 0 EMCOR GROUP INC COM 29084Q100 676 15400 SH SOLE 15400 0 0 EMPRESA NACIONAL DE ELCTRCID SPONSORED ADR 29244T101 462 39500 SH SOLE 39500 0 0 ENCANA CORP COM 292505104 15669 513400 SH SOLE 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INC COM 303075105 9369 245200 SH SOLE 102800 0 142400 FAIR ISAAC CORP COM 303250104 8338 169600 SH SOLE 26400 0 143200 FAIRCHILD SEMICONDUCTOR INTL COM 303726103 612 24500 SH SOLE 13500 0 11000 FAIRFAX FINL HLDGS LTD SUB VTG 303901102 2377 17600 SH SOLE 17600 0 0 FBL FINL GROUP INC CL A 30239F106 204 7900 SH SOLE 7900 0 0 FEDERAL HOME LN MTG CORP COM 313400301 101062 1732887 SH SOLE 1454952 0 277935 FEDERAL NATL MTG ASSN COM 313586109 215898 2876342 SH SOLE 2381050 0 495292 FEDERAL REALTY INVT TR SH BEN INT NEW 313747206 1027 26762 SH SOLE 8262 0 18500 FEDERATED DEPT STORES INC DE COM 31410H101 35582 754970 SH SOLE 622800 0 132170 FELCOR LODGING TR INC COM 31430F101 376 33907 SH SOLE 9407 0 24500 FIDELITY NATL FINL INC COM 316326107 49021 1264075 SH SOLE 842443 0 421632 FINANCIAL FED CORP COM 317492106 1298 42500 SH SOLE 8800 0 33700 FINDWHAT COM COM 317794105 4521 241100 SH SOLE 12400 0 228700 FINISH LINE INC CL A 317923100 4765 159000 SH SOLE 21700 0 137300 FINLAY ENTERPRISES INC COM 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36000 SH SOLE 36000 0 0 FLUOR CORP NEW COM 343412102 1098 27700 SH SOLE 19700 0 8000 FOAMEX INTL INC COM 344123104 85 16900 SH SOLE 0 0 16900 FOOT LOCKER INC COM 344849104 1189 50700 SH SOLE 42700 0 8000 FOOTSTAR INC COM 344912100 70 18300 SH SOLE 10200 0 8100 FORD MTR CO DEL COM PAR $0.01 345370860 55469 3466829 SH SOLE 2750728 0 716101 FOREST LABS INC COM 345838106 13602 220100 SH SOLE 186500 0 33600 FORRESTER RESH INC COM 346563109 1869 105300 SH SOLE 0 0 105300 FOSSIL INC COM 349882100 4276 152000 SH SOLE 35400 0 116600 FOUNDRY NETWORKS INC COM 35063R100 12859 470500 SH SOLE 77900 0 392600 FOX ENTMT GROUP INC CL A 35138T107 18843 646400 SH SOLE 526200 0 120200 FPL GROUP INC COM 302571104 13291 203160 SH SOLE 177500 0 25660 FRANKLIN RES INC COM 354613101 10079 193600 SH SOLE 159800 0 33800 FREDS INC CL A 356108100 4032 130100 SH SOLE 7850 0 122250 FREEPORT-MCMORAN COPPER & GO CL B 35671D857 8270 196300 SH SOLE 162900 0 33400 FREMONT GEN CORP COM 357288109 6108 361200 SH SOLE 133500 0 227700 FRIEDMAN BILLINGS RAMSEY GRO CL A 358434108 3469 150300 SH SOLE 150300 0 0 FTI CONSULTING INC COM 302941109 5272 225600 SH SOLE 10800 0 214800 FURNITURE BRANDS INTL INC COM 360921100 1763 60100 SH SOLE 29800 0 30300 GABLES RESIDENTIAL TR SH BEN INT 362418105 515 14819 SH SOLE 4619 0 10200 GALLAGHER ARTHUR J & CO COM 363576109 4389 135100 SH SOLE 4700 0 130400 GAP INC DEL COM 364760108 3440 148200 SH SOLE 148200 0 0 GARTNER INC COM 366651107 523 46200 SH SOLE 0 0 46200 GATX CORP COM 361448103 4625 165300 SH SOLE 143400 0 21900 GENCORP INC COM 368682100 383 35600 SH SOLE 13700 0 21900 GENENTECH INC COM NEW 368710406 75530 807200 SH SOLE 686800 0 120400 GENERAL CABLE CORP DEL NEW COM 369300108 2377 291700 SH SOLE 52000 0 239700 GENERAL COMMUNICATION INC CL A 369385109 278 32000 SH SOLE 32000 0 0 GENERAL DYNAMICS CORP COM 369550108 12302 136100 SH SOLE 109000 0 27100 GENERAL ELEC CO COM 369604103 68240 2202700 SH SOLE 1866100 0 336600 GENERAL GROWTH PPTYS INC COM 370021107 4223 152179 SH SOLE 73579 0 78600 GENERAL MLS INC COM 370334104 10596 233900 SH SOLE 201700 0 32200 GENERAL MTRS CORP COM 370442105 147967 2770914 SH SOLE 2270759 0 500155 GENESCO INC COM 371532102 2493 164800 SH SOLE 35700 0 129100 GENLYTE GROUP INC COM 372302109 1092 18700 SH SOLE 18700 0 0 GENUINE PARTS CO COM 372460105 541 16300 SH SOLE 16300 0 0 GENZYME CORP COM GENL DIV 372917104 17380 352600 SH SOLE 302500 0 50100 GEORGIA PAC CORP COM 373298108 11348 370000 SH SOLE 337000 0 33000 GERDAU S A SPONSORED ADR 373737105 952 47100 SH SOLE 47100 0 0 GETTY RLTY CORP NEW COM 374297109 341 13047 SH SOLE 4147 0 8900 GILEAD SCIENCES INC COM 375558103 10887 186800 SH SOLE 161300 0 25500 GILLETTE CO COM 375766102 1697 46200 SH SOLE 46200 0 0 GLENBOROUGH RLTY TR INC COM 37803P105 320 16042 SH SOLE 4442 0 11600 GLIMCHER RLTY TR SH BEN INT 379302102 786 35115 SH SOLE 20715 0 14400 GLOBAL IMAGING SYSTEMS COM 37934A100 2480 78100 SH SOLE 3700 0 74400 GLOBAL PMTS INC COM 37940X102 448 9500 SH SOLE 9500 0 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400700 0 0 GRUPO FINANCIARO GALICIA S A SP ADR 10 SH B 399909100 43960 6531990 SH SOLE 6346390 0 185600 GSI COMMERCE INC COM 36238G102 1763 180800 SH SOLE 0 0 180800 GTECH HLDGS CORP COM 400518106 20910 422500 SH SOLE 232300 0 190200 GUIDANT CORP COM 401698105 65525 1088450 SH SOLE 926750 0 161700 GUITAR CTR MGMT INC COM 402040109 2595 79500 SH SOLE 3300 0 76200 HALLIBURTON CO COM 406216101 38563 1483200 SH SOLE 1198900 0 284300 HANCOCK JOHN FINL SVCS INC COM 41014S106 10283 274200 SH SOLE 206400 0 67800 HANDLEMAN CO DEL COM 410252100 429 20900 SH SOLE 20900 0 0 HANGER ORTHOPEDIC GROUP INC COM NEW 41043F208 1945 124900 SH SOLE 9600 0 115300 HARLEY DAVIDSON INC COM 412822108 17301 364000 SH SOLE 314500 0 49500 HARMAN INTL INDS INC COM 413086109 503 6800 SH SOLE 6800 0 0 HARSCO CORP COM 415864107 990 22600 SH SOLE 11500 0 11100 HARTFORD FINL SVCS GROUP INC COM 416515104 34887 591000 SH SOLE 507300 0 83700 HASBRO INC COM 418056107 4035 189600 SH SOLE 124500 0 65100 HAVERTY FURNITURE INC COM 419596101 216 10900 SH SOLE 3700 0 7200 HAWAIIAN ELEC INDUSTRIES COM 419870100 583 12300 SH SOLE 7300 0 5000 HDFC BANK LTD ADR REPS 3 SHS 40415F101 3084 100979 SH SOLE 100979 0 0 HEALTH CARE PPTY INVS INC COM 421915109 1784 35120 SH SOLE 10620 0 24500 HEALTH CARE REIT INC COM 42217K106 892 24771 SH SOLE 7971 0 16800 HEALTH MGMT ASSOC INC NEW CL A 421933102 893 37200 SH SOLE 37200 0 0 HEALTH NET INC COM 42222G108 23629 722600 SH SOLE 585500 0 137100 HEALTHCARE RLTY TR COM 421946104 889 24867 SH SOLE 7167 0 17700 HEINZ H J CO COM 423074103 3355 92100 SH SOLE 69500 0 22600 HELIX TECHNOLOGY CORP COM 423319102 1753 85200 SH SOLE 2600 0 82600 HERITAGE PPTY INVT TR INC COM 42725M107 694 24402 SH SOLE 7302 0 17100 HERLEY INDS INC DEL COM 427398102 1524 73600 SH SOLE 0 0 73600 HERSHEY FOODS CORP COM 427866108 231 3000 SH SOLE 3000 0 0 HEWLETT PACKARD CO COM 428236103 122377 5327706 SH SOLE 4475106 0 852600 HIBERNIA CORP CL A 428656102 1340 57000 SH SOLE 33400 0 23600 HIGHWOODS PPTYS INC COM 431284108 1971 77606 SH SOLE 55106 0 22500 HOLLYWOOD ENTMT CORP COM 436141105 392 28500 SH SOLE 12300 0 16200 HOME DEPOT INC COM 437076102 188051 5298700 SH SOLE 4572900 0 725800 HOME PROPERTIES INC COM 437306103 652 16153 SH SOLE 4953 0 11200 HONEYWELL INTL INC COM 438516106 71069 2125897 SH SOLE 1724900 0 400997 HOOPER HOLMES INC COM 439104100 138 22400 SH SOLE 0 0 22400 HORACE MANN EDUCATORS CORP N COM 440327104 225 16100 SH SOLE 6100 0 10000 HOSPITALITY PPTYS TR COM SH BEN INT 44106M102 1521 36848 SH SOLE 10548 0 26300 HOST MARRIOTT CORP NEW COM 44107P104 1983 160933 SH SOLE 49133 0 111800 HOUSTON EXPL CO COM 442120101 2001 54800 SH SOLE 1600 0 53200 HOVNANIAN ENTERPRISES INC CL A 442487203 8332 95700 SH SOLE 21300 0 74400 HRPT PPTYS TR COM SH BEN INT 40426W101 3669 363613 SH SOLE 217213 0 146400 HUANENG PWR INTL INC SPON ADR N 443304100 861 12400 SH SOLE 12400 0 0 HUDSON CITY BANCORP COM 443683107 905 23712 SH SOLE 12900 0 10812 HUDSON UNITED BANCORP COM 444165104 6204 167900 SH 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452526106 2092 102600 SH SOLE 6900 0 95700 IMPAC MTG HLDGS INC COM 45254P102 1242 68200 SH SOLE 68200 0 0 IMPERIAL OIL LTD COM NEW 453038408 3046 88600 SH SOLE 88600 0 0 INAMED CORP COM 453235103 8255 171800 SH SOLE 46700 0 125100 INDEPENDENT BANK CORP MASS COM 453836108 464 16400 SH SOLE 2700 0 13700 INDEPENDENT BANK CORP MICH COM 453838104 3005 105969 SH SOLE 5161 0 100808 INDEVUS PHARMACEUTICALS INC COM 454072109 77 13000 SH SOLE 13000 0 0 INDYMAC BANCORP INC COM 456607100 4725 158600 SH SOLE 137500 0 21100 INFOSPACE INC COM NEW 45678T201 846 36700 SH SOLE 24100 0 12600 INFOSYS TECHNOLOGIES LTD SPONSORED ADR 456788108 10542 110500 SH SOLE 102200 0 8300 INFOUSA INC NEW COM 456818301 110 14800 SH SOLE 14800 0 0 INGLES MKTS INC CL A 457030104 287 27900 SH SOLE 20700 0 7200 INGRAM MICRO INC CL A 457153104 2226 140000 SH SOLE 57700 0 82300 INNKEEPERS USA TR COM 4576J0104 192 22881 SH SOLE 5981 0 16900 INSIGHT ENTERPRISES INC COM 45765U103 3764 200200 SH SOLE 42600 0 157600 INTEGRATED 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0 165600 SILICON VY BANCSHARES COM 827064106 3939 109200 SH SOLE 81000 0 28200 SILICONIX INC COM NEW 827079203 809 17700 SH SOLE 9400 0 8300 SIMON PPTY GROUP INC NEW COM 828806109 5157 111276 SH SOLE 31774 0 79502 SIMPSON MANUFACTURING CO INC COM 829073105 478 9400 SH SOLE 1900 0 7500 SK TELECOM LTD SPONSORED ADR 78440P108 5482 293950 SH SOLE 293950 0 0 SKECHERS U S A INC CL A 830566105 1561 191500 SH SOLE 39700 0 151800 SKYWEST INC COM 830879102 1097 60700 SH SOLE 60700 0 0 SKYWORKS SOLUTIONS INC COM 83088M102 6373 732500 SH SOLE 67200 0 665300 SL GREEN RLTY CORP COM 78440X101 789 19229 SH SOLE 6429 0 12800 SLM CORP COM 78442P106 10268 272500 SH SOLE 205500 0 67000 SMITHFIELD FOODS INC COM 832248108 929 44900 SH SOLE 38000 0 6900 SMUCKER J M CO COM NEW 832696405 217 4800 SH SOLE 4800 0 0 SNAP ON INC COM 833034101 2321 72000 SH SOLE 55200 0 16800 SOCIEDAD QUIMICA MINERA DE C SPON ADR SER B 833635105 4207 101200 SH SOLE 100300 0 900 SOLA INTL INC COM 834092108 2895 154000 SH SOLE 25500 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