-----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, FfzKOs2/NLU91x3h/2OEdeBc2IrPOq8ooyXFxAQ9y1riJYaO4LOAHi9YkaX5ZqwC PKM9CZ7iikXQdiDvLsgpug== 0001072613-04-000760.txt : 20040407 0001072613-04-000760.hdr.sgml : 20040407 20040407132947 ACCESSION NUMBER: 0001072613-04-000760 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040331 FILED AS OF DATE: 20040407 EFFECTIVENESS DATE: 20040407 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GMO TRUST CENTRAL INDEX KEY: 0000772129 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-03377 FILM NUMBER: 04721913 BUSINESS ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 6173307500 MAIL ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 FORMER COMPANY: FORMER CONFORMED NAME: GMO CORE TRUST DATE OF NAME CHANGE: 19900927 13F-HR 1 form13f_12568.txt GMO TRUST FORM 13F-HR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 2004 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 April 7, 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: 1500 Form 13F Information Table Value Total: 15316818 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 - ------------------------------------------------------------------------------------------------------------------------------------ 2.500% 04/11/04 CONVERT 032346AC2 0 500000 SH SOLE 500000 0 0 ACADIA RLTY TR COM COMMON 004239109 175 12400 SH SOLE 12400 0 0 ACE LTD COMMON G0070K103 636 14900 SH SOLE 14900 0 0 ALEXANDRIA REAL EST E COMMON 015271109 1499 23800 SH SOLE 23800 0 0 ALLSTATE COMMON 020002101 2559 56300 SH SOLE 42500 5200 8600 ALTRIA CROUP INC COM COMMON 02209S103 6382 117200 SH SOLE 104200 13000 0 AMB PPTY CORP COM COMMON 00163T109 2877 77400 SH SOLE 77400 0 0 AMBAC INC COM COMMON 023139108 1077 14600 SH SOLE 10600 1500 2500 AMERADA HESS CORP COMMON 023551104 1639 25100 SH SOLE 18200 2600 4300 AMERICAN ELECTRIC POW COMMON 025537101 3934 119500 SH SOLE 89800 11100 18600 AMERICAN EXPRESS COMMON 025816109 389 7500 SH SOLE 7500 0 0 AMERICAN GREETINGS CO COMMON 026375105 569 25000 SH SOLE 25000 0 0 AMERISOURCEBERGEN COR COMMON 03073E105 1225 22400 SH SOLE 16500 2300 3600 AMLI RESIDENTIAL PROP COMMON 001735109 449 15900 SH SOLE 15900 0 0 ANHEUSER BUSCH COS IN COMMON 035229103 1020 20000 SH SOLE 20000 0 0 APACHE CORP COMMON 037411105 2504 58000 SH SOLE 42400 5800 9800 APARTMENT INVT & MGMT COMMON 03748R101 1054 33900 SH SOLE 33900 0 0 ARCHER DANIELS MIDLAN COMMON 039483102 531 31500 SH SOLE 31500 0 0 ARCHSTONE-SMITH TRUST COMMON 039583109 8593 291200 SH SOLE 291200 0 0 ARDEN RLTY INC COM COMMON 039793104 1756 54300 SH SOLE 54300 0 0 ASSOCIATED ESTATES RL COMMON 045604105 263 28700 SH SOLE 28700 0 0 AVALONBAY CMNTYS INC COMMON 053484101 3906 72900 SH SOLE 72900 0 0 BANK OF AMERICA COMMON 060505104 3166 39100 SH SOLE 31100 3000 5000 BANK ONE CORP COMMON 06423A103 3856 70730 SH SOLE 53230 6500 11000 BAXTER INTL INC COMMON 071813109 2190 70900 SH SOLE 50800 7500 12600 BEDFORD PPTY INVS INC COMMON 076446301 783 25700 SH SOLE 25700 0 0 BELLSOUTH CORP COMMON 079860102 4466 161300 SH SOLE 128000 12400 20900 BLACK & DECKER CORP COMMON 091797100 285 5000 SH SOLE 5000 0 0 BLOCK H & R INC COMMON 093671105 1403 27500 SH SOLE 27500 0 0 BOEING CO COMMON 097023105 472 11500 SH SOLE 11500 0 0 BOSTON PROPERTIES COMMON 101121101 7001 128900 SH SOLE 128900 0 0 BOYKIN LODGING CO COM COMMON 103430104 111 12000 SH SOLE 12000 0 0 BRANDYWINE RLTY TR SH COMMON 105368203 1720 56300 SH SOLE 56300 0 0 BRE PPTYS INC CL A COMMON 05564E106 2217 64600 SH SOLE 64600 0 0 BRISTOL MYERS SQUIBB COMMON 110122108 264 10900 SH SOLE 10900 0 0 BURLINGTON NORTHN SAN COMMON 12189T104 1134 36000 SH SOLE 26000 3800 6200 CAMDEN PPTY TR SH BEN COMMON 133131102 1160 25800 SH SOLE 25800 0 0 CAPITAL AUTOMOTIVE RE COMMON 139733109 1578 44700 SH SOLE 44700 0 0 CARDINAL HEALTH INC C COMMON 14149Y108 1488 21600 SH SOLE 16800 1800 3000 CARRAMERICA RLTY CORP COMMON 144418100 1115 32900 SH SOLE 32900 0 0 CBL & ASSOC PPTYS INC COMMON 124830100 2527 41200 SH SOLE 41200 0 0 CENDANT CORPORATION COMMON 151313103 5244 215000 SH SOLE 159800 20600 34600 CENTERPOINT PPTYS TR COMMON 151895109 990 12000 SH SOLE 12000 0 0 CENTEX CORP COMMON 152312104 854 15800 SH SOLE 11400 1600 2800 CHELSEA PROPERTY GROU COMMON 163421100 3241 51500 SH SOLE 51500 0 0 CHEVRONTEXACO CORPORA COMMON 166764100 507 5775 SH SOLE 5775 0 0 CITIGROUP INC. COMMON 172967101 7739 149700 SH SOLE 120800 10800 18100 COLONIAL PPTYS TR COM COMMON 195872106 726 17800 SH SOLE 17800 0 0 COMMERCIAL NET LEASE COMMON 202218103 1396 70700 SH SOLE 70700 0 0 CONOCOPHILLIPS COM COMMON 20825C104 6597 94500 SH SOLE 75200 7200 12100 CONSTELLATION BRANDS COMMON 21036P108 2173 67700 SH SOLE 53400 5400 8900 CORNERSTONE RLTY INCO COMMON 21922V102 328 35100 SH SOLE 35100 0 0 CORPORATE OFFICE PPTY COMMON 22002T108 465 18600 SH SOLE 18600 0 0 CORRECTIONAL PPTYS TR COMMON 22025E104 459 14900 SH SOLE 14900 0 0 CORRECTIONS CORP AMER COMMON 22025Y407 908 25500 SH SOLE 25500 0 0 COUSINS PPTYS INC COMMON 222795106 1659 50600 SH SOLE 50600 0 0 CRESCENT R E EQUITIES COMMON 225756105 809 45000 SH SOLE 45000 0 0 CVS CORPORATION COMMON 126650100 1783 50500 SH SOLE 42100 3100 5300 D R HORTON INC COM COMMON 23331A109 967 27300 SH SOLE 19950 2700 4650 DEAN FOODS INC NEW CO COMMON 242370104 2074 62100 SH SOLE 45200 6300 10600 DELL INC COM COMMON 24702R101 1671 49700 SH SOLE 35600 5200 8900 DEVELOPERS DIVERSIFIE COMMON 251591103 4060 100500 SH SOLE 100500 0 0 DOLLAR GEN CORP COMMON 256669102 1513 78800 SH SOLE 56900 8200 13700 DU PONT E I DE NEMOUR COMMON 263534109 211 5000 SH SOLE 5000 0 0 DUKE PWR CO COMMON 264399106 226 10000 SH SOLE 10000 0 0 DUKE REALTY CORPORATI COMMON 264411505 4337 124900 SH SOLE 124900 0 0 EASTGROUP PPTYS INC C COMMON 277276101 419 11800 SH SOLE 11800 0 0 EL PASO CORPORATION COMMON 28336L109 689 96900 SH SOLE 59700 13900 23300 ENCANA CORP COM COMMON 292505104 369 8550 SH SOLE 8550 0 0 ENTERTAINMENT PPTYS T COMMON 29380T105 712 17400 SH SOLE 17400 0 0 EQUITY INNS INC COM COMMON 294703103 420 45700 SH SOLE 45700 0 0 EQUITY OFFICE PROPERT COMMON 294741103 15751 545200 SH SOLE 545200 0 0 EQUITY ONE INC COM COMMON 294752100 1985 103300 SH SOLE 103300 0 0 EQUITY RESIDENTIAL PP COMMON 29476L107 11164 374000 SH SOLE 374000 0 0 ESSEX PPTY TR COM COMMON 297178105 1454 22200 SH SOLE 22200 0 0 EXELON CORP COMMON 30161N101 301 4375 SH SOLE 4375 0 0 EXXON CORPORATION COMMON 30231G102 5259 126440 SH SOLE 96540 11200 18700 FACTSET RESH SYS INC COMMON 303075105 1243 29200 SH SOLE 21100 3000 5100 FED HOME LOAN MTG COR COMMON 313400301 4353 73700 SH SOLE 56000 6500 11200 FEDERAL NAT MORTGAGE COMMON 313586109 4617 62100 SH SOLE 45400 6200 10500 FEDERAL RLTY INVT TR COMMON 313747206 1446 31300 SH SOLE 31300 0 0 FEDERATED DEPARTMENT COMMON 31410H101 4173 77200 SH SOLE 59000 6800 11400 FELCOR LODGING TR INC COMMON 31430F101 277 26600 SH SOLE 26600 0 0 FIRST DATA CORP COM COMMON 319963104 3879 92000 SH SOLE 70900 7900 13200 FIRST INDL RLTY TR IN COMMON 32054K103 1161 29400 SH SOLE 29400 0 0 FIRSTENERGY CORP COM COMMON 337932107 1626 41600 SH SOLE 29500 4500 7600 FLAGSTAR BANCORP INC COMMON 337930101 1372 53500 SH SOLE 38600 5600 9300 FLEETBOSTON FINANCIAL COMMON 339030108 2443 54400 SH SOLE 43400 4100 6900 GABLES RESIDENTIAL TR COMMON 362418105 765 21100 SH SOLE 21100 0 0 GENERAL DYNAMICS CORP COMMON 369550108 447 5000 SH SOLE 5000 0 0 GENERAL ELECTRIC COMMON 369604103 443 14500 SH SOLE 14500 0 0 GENERAL GROWTH PPTYS COMMON 370021107 10236 291200 SH SOLE 291200 0 0 GETTY RLTY CORP NEW C COMMON 374297109 579 21800 SH SOLE 21800 0 0 GLENBOROUGH RLTY TR I COMMON 37803P105 299 13400 SH SOLE 13400 0 0 GLIMCHER RLTY TR SH B COMMON 379302102 615 22700 SH SOLE 22700 0 0 GMO REIT FD CL III MUTUAL 362007627 3251 210000 SH SOLE 210000 0 0 GRAINGER W W INC COMMON 384802104 2054 42800 SH SOLE 32700 3800 6300 GREAT LAKES REIT INC COMMON 390752103 276 17800 SH SOLE 17800 0 0 HANCOCK JOHN FINL SVC COMMON 41014S106 1280 29300 SH SOLE 21300 3000 5000 HARLEY DAVIDSON INC C COMMON 412822108 1744 32700 SH SOLE 23600 3400 5700 HARTFORD FINANCIAL SE COMMON 416515104 1924 30200 SH SOLE 21600 3200 5400 HEALTH CARE PPTY INVS COMMON 421915109 3651 129000 SH SOLE 129000 0 0 HEALTH CARE REIT INC COMMON 42217K106 2460 60600 SH SOLE 60600 0 0 HEALTHCARE RLTY TR CO COMMON 421946104 2421 56700 SH SOLE 56700 0 0 HERITAGE PROPERTY COMMON 42725M107 709 22800 SH SOLE 22800 0 0 HEWLETT PACKARD COMMON 428236103 2067 90512 SH SOLE 69812 7700 13000 HIGHWOODS PROPERTIES COMMON 431284108 587 22400 SH SOLE 22400 0 0 HOME DEPOT INC COMMON 437076102 7524 201400 SH SOLE 149600 19300 32500 HOME PPTYS NY INC COM COMMON 437306103 835 20500 SH SOLE 20500 0 0 HONEYWELL INTERNATION COMMON 438516106 5064 149600 SH SOLE 113100 13700 22800 HOSPITALITY PPTYS TR COMMON 44106M102 4134 89100 SH SOLE 89100 0 0 HOST MARRIOTT CORP NE COMMON 44107P104 2160 169000 SH SOLE 169000 0 0 HRPT PPTYS TR COM SH COMMON 40426W101 2645 234100 SH SOLE 234100 0 0 INNKEEPERS USA TR COM COMMON 4576J0104 213 23300 SH SOLE 23300 0 0 INTEL CORP COMMON 458140100 373 13700 SH SOLE 13700 0 0 INTERNATIONAL BUSINES COMMON 459200101 964 10500 SH SOLE 10500 0 0 INVESTORS REAL ESTATE COMMON 461730103 227 23300 SH SOLE 23300 0 0 IYR-ISHARES TR DJ US MUTUAL 464287739 7723 70560 SH SOLE 70560 0 0 J.P. MORGAN CHASE & C COMMON 46625H100 3843 91600 SH SOLE 76300 5700 9600 JOHNSON CONTROLS COMMON 478366107 1650 27900 SH SOLE 19600 3100 5200 JOHNSON & JOHNSON COMMON 478160104 2156 42500 SH SOLE 42500 0 0 JONES APPAREL GROUP I COMMON 480074103 2021 55900 SH SOLE 40400 5800 9700 KEYSTONE PPTY TR CORP COMMON 493596100 627 25800 SH SOLE 25800 0 0 KILROY RLTY CORP COM COMMON 49427F108 1551 43700 SH SOLE 43700 0 0 KIMBERLY CLARK COMMON 494368103 3168 50200 SH SOLE 40900 3500 5800 KIMCO RLTY CORP COM COMMON 49446R109 7912 155200 SH SOLE 155200 0 0 KOGER EQUITY INC COM COMMON 500228101 319 13600 SH SOLE 13600 0 0 KRAMONT RLTY TR COM S COMMON 50075Q107 215 11400 SH SOLE 11400 0 0 LASALLE HOTEL PPTYS C COMMON 517942108 278 11800 SH SOLE 11800 0 0 LEAR CORP COM COMMON 521865105 1115 18000 SH SOLE 13000 1900 3100 LENNAR CORP COMMON 526057104 1486 27500 SH SOLE 19800 2800 4900 LEXINGTON CORPORATE P COMMON 529043101 865 39700 SH SOLE 39700 0 0 LEXMARK INTL INC CL A COMMON 529771107 1849 20100 SH SOLE 14400 2100 3600 LIBERTY PPTY TR SH BE COMMON 531172104 5162 114700 SH SOLE 114700 0 0 LILLY ELI & CO COMMON 532457108 502 7500 SH SOLE 7500 0 0 M I SCHOTTENSTEIN HOM COMMON 55305B101 629 13300 SH SOLE 9600 1400 2300 MACERICH CO COM COMMON 554382101 3363 62400 SH SOLE 62400 0 0 MACK CALI RLTY CORP C COMMON 554489104 4244 94500 SH SOLE 94500 0 0 MANPOWER INC COM COMMON 56418H100 465 10000 SH SOLE 10000 0 0 MANUFACTURED HOME CMN COMMON 564682102 607 17200 SH SOLE 17200 0 0 MARSH MCLENNAN COMMON 571748102 1519 32800 SH SOLE 22900 3700 6200 MBNA CORP COM COMMON 55262L100 2241 81100 SH SOLE 58000 8600 14500 MCKESSON HBOC INC COM COMMON 58155Q103 1673 55600 SH SOLE 39500 6000 10100 MERCK & CO COMMON 589331107 8365 189300 SH SOLE 138300 19100 31900 MERISTAR HOSPITALITY COMMON 58984Y103 156 22400 SH SOLE 22400 0 0 MERRILL LYNCH & CO. I COMMON 590188108 4008 67300 SH SOLE 51600 5300 10400 METLIFE INC COM COMMON 59156R108 2191 61400 SH SOLE 44800 6200 10400 MICROSOFT CORP COMMON 594918104 6689 268300 SH SOLE 202700 24500 41100 MID-AMER APT CMNTYS I COMMON 59522J103 349 9400 SH SOLE 9400 0 0 MILLS CORP COM COMMON 601148109 3197 60000 SH SOLE 60000 0 0 MISSION WEST PPTYS IN COMMON 605203108 233 17600 SH SOLE 17600 0 0 MORGAN STANLEY DEAN W COMMON 617446448 4091 71400 SH SOLE 54600 6900 9900 MYLAN LABS INC COMMON 628530107 767 33750 SH SOLE 33750 0 0 NATIONAL CITY CORP COMMON 635405103 1082 30400 SH SOLE 21900 3200 5300 NATIONWIDE HLTH PPTYS COMMON 638620104 1842 82700 SH SOLE 82700 0 0 NESTLES ADR FOREIGN 641069406 956 15000 SH SOLE 15000 0 0 NEW PLAN EXCEL RLTY T COMMON 648053106 2831 103500 SH SOLE 103500 0 0 NISOURCE INC COMMON 65473P105 2518 118500 SH SOLE 89400 10900 18200 NORTHROP CORP COMMON 666807102 1299 13200 SH SOLE 10400 1000 1800 OCCIDENTAL PETE CORP COMMON 674599105 4734 102800 SH SOLE 86400 5700 10700 OLD REP INTL CORP COMMON 680223104 3591 146200 SH SOLE 106000 15100 25100 OMNICOM GROUP COMMON 681919106 1228 15300 SH SOLE 12100 1200 2000 PAN PAC RETAIL PPTYS COMMON 69806L104 2626 50400 SH SOLE 50400 0 0 PARKWAY PPTYS INC SHS COMMON 70159Q104 393 8400 SH SOLE 8400 0 0 PENNSYLVANIA REAL EST COMMON 709102107 764 20300 SH SOLE 20300 0 0 PEPSI BOTTLING GROUP COMMON 713409100 2190 73600 SH SOLE 65100 3200 5300 PFIZER INC COMMON 717081103 10701 305300 SH SOLE 232200 27400 45700 POST PPTYS INC COMMON COMMON 737464107 1947 67600 SH SOLE 67600 0 0 PRENTISS PPTYS TR SH COMMON 740706106 1395 37800 SH SOLE 37800 0 0 PROGRESS ENERGY COMMON 743263105 1620 34400 SH SOLE 24300 3800 6300 PROLOGIS TR SH BEN IN COMMON 743410102 7615 212300 SH SOLE 212300 0 0 PS BUSINESS PKS INC C COMMON 69360J107 718 15500 SH SOLE 15500 0 0 PUBLIC STORAGE INC CO COMMON 74460D109 5995 123200 SH SOLE 123200 0 0 QUESTAR CORP COMMON 748356102 273 7500 SH SOLE 7500 0 0 REALTY INCOME CORP CO COMMON 756109104 1929 43200 SH SOLE 43200 0 0 RECKSON ASSOCS RLTY C COMMON 75621K106 822 29200 SH SOLE 29200 0 0 REGENCY CTRS CORP COM COMMON 758849103 3603 77100 SH SOLE 77100 0 0 REGIONS FINL CORP COM COMMON 758940100 993 27200 SH SOLE 19700 2800 4700 ROUSE CO COMMON 779273101 6373 118900 SH SOLE 118900 0 0 RYLAND GROUP INC COMMON 783764103 728 8200 SH SOLE 6100 800 1300 SAFEWAY INC COM NEW COMMON 786514208 2083 101200 SH SOLE 73100 10500 17600 SARA LEE CORP COMMON 803111103 4689 214500 SH SOLE 170800 16300 27400 SAUL CTRS INC COM COMMON 804395101 403 13200 SH SOLE 13200 0 0 SBC COMMUNICATIONS, I COMMON 78387G103 7038 286800 SH SOLE 211500 28100 47200 SEMPRA ENERGY COM COMMON 816851109 3339 105000 SH SOLE 79200 9600 16200 SENIOR HSG PPTYS TR S COMMON 81721M109 1351 69300 SH SOLE 69300 0 0 SHERWIN WILLIAMS CO COMMON 824348106 1898 49400 SH SOLE 35700 5100 8600 SHURGARD STORAGE CTRS COMMON 82567D104 2067 51800 SH SOLE 51800 0 0 SIMON PPTY GROUP INC COMMON 828806109 9748 166800 SH SOLE 166800 0 0 SL GREEN RLTY CORP CO COMMON 78440X101 1455 30500 SH SOLE 30500 0 0 SOVRAN SELF STORAGE I COMMON 84610H108 718 17200 SH SOLE 17200 0 0 ST JOE CO COM COMMON 790148100 203 5000 SH SOLE 5000 0 0 STARWOOD HOTELS & RES COMMON 85590A203 1879 46400 SH SOLE 46400 0 0 SUMMIT PPTYS INC COM COMMON 866239106 651 27300 SH SOLE 27300 0 0 SUN CMNTYS INC COM COMMON 866674104 621 14500 SH SOLE 14500 0 0 TANGER FACTORY OUTLET COMMON 875465106 281 6200 SH SOLE 6200 0 0 TAUBMAN CTRS INC COM COMMON 876664103 418 16600 SH SOLE 16600 0 0 TIME WARNER INC COMMON 887317105 4122 244500 SH SOLE 197700 17800 29000 TOWN & CTRY TR SH BEN COMMON 892081100 479 17600 SH SOLE 17600 0 0 TRAVELERS PROPERTY CA COMMON 89420G109 5545 323300 SH SOLE 246900 28700 47700 TRIZEC PPTYS INC COM COMMON 89687P107 1456 84900 SH SOLE 84900 0 0 U S BANCORP COMMON 902973304 2077 75100 SH SOLE 57900 6400 10800 UNION PAC CORP COMMON 907818108 245 4100 SH SOLE 4100 0 0 UNITED DOMINION RLTY COMMON 910197102 1179 60100 SH SOLE 60100 0 0 UNITED TECHNOLOGIES C COMMON 913017109 1079 12500 SH SOLE 12500 0 0 UNIVERSAL HEALTH RLTY COMMON 91359E105 418 12400 SH SOLE 12400 0 0 UNUMPROVIDENT CORP COMMON 91529Y106 2383 162900 SH SOLE 117900 16900 28100 V F CORP COMMON 918204108 2597 55600 SH SOLE 40000 5800 9800 VENTAS INC COM COMMON 92276F100 2319 84400 SH SOLE 84400 0 0 VERIZON COMMUNICATION COMMON 92343V104 9234 252700 SH SOLE 195900 21200 35600 VIACOM INC COM NON VT COMMON 925524308 3972 101300 SH SOLE 76300 9300 15700 VORNADO RLTY TR COM COMMON 929042109 10022 165700 SH SOLE 165700 0 0 WACHOVIA GROUP COM COMMON 929903102 2895 61600 SH SOLE 42400 7300 11900 WAL MART STORES INC COMMON 931142103 746 12500 SH SOLE 12500 0 0 WASHINGTON MUT INC CO COMMON 939322103 5339 125000 SH SOLE 97700 10200 17100 WASHINGTON REAL ESTAT COMMON 939653101 1116 34400 SH SOLE 34400 0 0 WEINGARTEN RLTY INVS COMMON 948741103 2642 76350 SH SOLE 76350 0 0 WELLS FARGO NEW COMMON 949746101 1825 32200 SH SOLE 32200 0 0 WILLIS GROUP HOLDINGS COMMON G96655108 651 17500 SH SOLE 17500 0 0 WINSTON HOTELS INC CO COMMON 97563A102 229 21700 SH SOLE 21700 0 0 21ST CENTY INS GROUP COM 90130N103 384 26700 SH SOLE 26700 0 0 3M CO COM 88579Y101 8776 107200 SH SOLE 101900 0 5300 7-ELEVEN INC COM NEW 817826209 760 50100 SH SOLE 50100 0 0 99 CENTS ONLY STORES COM 65440K106 1604 65700 SH SOLE 1200 0 64500 AAIPHARMA INC COM 00252W104 1123 169400 SH SOLE 4300 0 165100 ABBOTT LABS COM 002824100 21282 517800 SH SOLE 491000 0 26800 ABERCROMBIE & FITCH CO CL A 002896207 28050 828900 SH SOLE 498700 0 330200 ABGENIX INC COM 00339B107 5448 409000 SH SOLE 17200 0 391800 ACADIA RLTY TR COM SH BEN INT 004239109 248 17579 SH SOLE 5579 0 12000 ACCREDITED HOME LENDRS HLDG COM 00437P107 4870 123600 SH SOLE 4300 0 119300 ACTIVISION INC NEW COM NEW 004930202 3284 207600 SH SOLE 71000 0 136600 ADAPTEC INC COM 00651F108 4703 536900 SH SOLE 117800 0 419100 ADMINISTRADORA FONDOS PENSIO SPONSORED ADR 00709P108 331 11600 SH SOLE 11600 0 0 ADOBE SYS INC COM 00724F101 11928 303500 SH SOLE 262800 0 40700 ADTRAN INC COM 00738A106 11793 392700 SH SOLE 102000 0 290700 ADVANCE AUTO PARTS INC COM 00751Y106 13145 323200 SH SOLE 135000 0 188200 ADVANCED DIGITAL INFORMATION COM 007525108 2707 237900 SH SOLE 6700 0 231200 ADVANCED MICRO DEVICES INC COM 007903107 9011 555200 SH SOLE 222400 0 332800 ADVANCED NEUROMODULATION SYS COM 00757T101 3934 109000 SH SOLE 5100 0 103900 ADVANTA CORP CL A 007942105 348 20700 SH SOLE 4400 0 16300 AEROPOSTALE COM 007865108 12419 342500 SH SOLE 11800 0 330700 AES CORP COM 00130H105 19891 2331900 SH SOLE 1825100 0 506800 AETNA INC NEW COM 00817Y108 14461 161184 SH SOLE 130100 0 31084 AFFILIATED MANAGERS GROUP COM 008252108 8315 152350 SH SOLE 5750 0 146600 AFLAC INC COM 001055102 2613 65100 SH SOLE 65100 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 52192 1650066 SH SOLE 1387766 0 262300 AIRTRAN HLDGS INC COM 00949P108 2813 236800 SH SOLE 3400 0 233400 AKAMAI TECHNOLOGIES INC COM 00971T101 14009 1066100 SH SOLE 38900 0 1027200 AKSYS LTD COM 010196103 105 16200 SH SOLE 0 0 16200 ALBERTO CULVER CO COM 013068101 8555 195000 SH SOLE 4000 0 191000 ALBERTSONS INC COM 013104104 37628 1698770 SH SOLE 1411118 0 287652 ALCOA INC COM 013817101 58820 1695580 SH SOLE 1387680 0 307900 ALEXANDRIA REAL ESTATE EQ IN COM 015271109 782 12418 SH SOLE 3918 0 8500 ALIGN TECHNOLOGY INC COM 016255101 2049 107800 SH SOLE 10800 0 97000 ALKERMES INC COM 01642T108 3067 191800 SH SOLE 4000 0 187800 ALLEGHENY ENERGY INC COM 017361106 4746 346200 SH SOLE 303700 0 42500 ALLEGHENY TECHNOLOGIES INC COM 01741R102 2956 244300 SH SOLE 202300 0 42000 ALLERGAN INC COM 018490102 6379 75800 SH SOLE 62800 0 13000 ALLIANCE CAP MGMT HLDG L P UNIT LTD PARTN 01855A101 611 16607 SH SOLE 13900 0 2707 ALLIANCE DATA SYSTEMS CORP COM 018581108 4502 134200 SH SOLE 10000 0 124200 ALLIANT ENERGY CORP COM 018802108 3200 122800 SH SOLE 112500 0 10300 ALLIED CAP CORP NEW COM 01903Q108 4650 153500 SH SOLE 153500 0 0 ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 2139 160708 SH SOLE 133000 0 27708 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KODAK CO COM 277461109 46979 1795135 SH SOLE 1439400 0 355735 EBAY INC COM 278642103 6367 91900 SH SOLE 80900 0 11000 ECHOSTAR COMMUNICATIONS NEW CL A 278762109 16490 503500 SH SOLE 416700 0 86800 ECLIPSYS CORP COM 278856109 5183 384500 SH SOLE 11800 0 372700 ECOLLEGE COM COM 27887E100 6310 302200 SH SOLE 9600 0 292600 EDISON INTL COM 281020107 30848 1270000 SH SOLE 1072900 0 197100 EDUCATION MGMT CORP COM 28139T101 8362 262700 SH SOLE 20800 0 241900 EDWARDS AG INC COM 281760108 2199 56200 SH SOLE 41500 0 14700 EGL INC COM 268484102 1244 69300 SH SOLE 1600 0 67700 EL PASO CORP COM 28336L109 34300 4824200 SH SOLE 4054200 0 770000 EL PASO ELEC CO COM NEW 283677854 313 22600 SH SOLE 22600 0 0 ELECTRONIC ARTS INC COM 285512109 4734 88100 SH SOLE 88100 0 0 ELECTRONIC DATA SYS NEW COM 285661104 56218 2905300 SH SOLE 2562300 0 343000 ELECTRONICS BOUTIQUE HLDGS C COM 286045109 4048 138000 SH SOLE 8500 0 129500 ELECTRONICS FOR IMAGING INC COM 286082102 4705 191500 SH SOLE 13100 0 178400 EMBRAER-EMPRESA BRASILEIRA D SP ADR PFD SHS 29081M102 2192 68300 SH SOLE 68300 0 0 EMCOR GROUP INC COM 29084Q100 484 13200 SH SOLE 13200 0 0 EMPRESA NACIONAL DE ELCTRCID SPONSORED ADR 29244T101 529 43200 SH SOLE 43200 0 0 ENCANA CORP COM 292505104 16529 503800 SH SOLE 503800 0 0 ENCYSIVE PHARMACEUTICALS INC COM 29256X107 185 18000 SH SOLE 18000 0 0 ENDO PHARMACEUTICALS HLDGS I COM 29264F205 5267 215700 SH SOLE 2800 0 212900 ENERGEN CORP COM 29265N108 6051 146700 SH SOLE 7700 0 139000 ENERGIZER HLDGS INC COM 29266R108 14829 317600 SH SOLE 18100 0 299500 ENERGY EAST CORP COM 29266M109 1200 47300 SH SOLE 18800 0 28500 ENERSIS S A SPONSORED ADR 29274F104 25148 3911071 SH SOLE 3895471 0 15600 ENGELHARD CORP COM 292845104 980 32800 SH SOLE 12100 0 20700 ENGINEERED SUPPORT SYS INC COM 292866100 8575 175675 SH SOLE 6150 0 169525 ENTERTAINMENT PPTYS TR COM SH BEN INT 29380T105 586 14313 SH SOLE 5413 0 8900 EON LABS INC COM 29412E100 5755 85800 SH SOLE 8900 0 76900 EQUITY INNS INC COM 294703103 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151000 SH SOLE 9800 0 141200 FIRST AMERN CORP CALIF COM 318522307 22325 733900 SH SOLE 432000 0 301900 FIRST CTZNS BANCSHARES INC N CL A 31946M103 504 4100 SH SOLE 4100 0 0 FIRST DATA CORP COM 319963104 44403 1053200 SH SOLE 872900 0 180300 FIRST HEALTH GROUP CORP COM 320960107 15816 723500 SH SOLE 495900 0 227600 FIRST HORIZON PHARMACEUTICAL COM 32051K106 377 23900 SH SOLE 12000 0 11900 FIRST INDUSTRIAL REALTY TRUS COM 32054K103 1005 25445 SH SOLE 8045 0 17400 FIRSTENERGY CORP COM 337932107 11149 285278 SH SOLE 239502 0 45776 FIRSTFED FINL CORP COM 337907109 4415 95700 SH SOLE 11400 0 84300 FIRSTMERIT CORP COM 337915102 2654 101900 SH SOLE 88300 0 13600 FISHER SCIENTIFIC INTL INC COM NEW 338032204 6770 123000 SH SOLE 4800 0 118200 FLAGSTAR BANCORP INC COM 337930101 15167 591300 SH SOLE 210600 0 380700 FLEETBOSTON FINL CORP COM 339030108 69173 1540605 SH SOLE 1291051 0 249554 FLEETWOOD ENTERPRISES INC COM 339099103 490 39900 SH SOLE 6100 0 33800 FLOWSERVE CORP COM 34354P105 555 26500 SH SOLE 26500 0 0 FLUOR CORP NEW COM 343412102 2592 67000 SH SOLE 12200 0 54800 FOOT LOCKER INC COM 344849104 14200 550400 SH SOLE 246400 0 304000 FORD MTR CO DEL COM PAR $0.01 345370860 85272 6283829 SH SOLE 5201828 0 1082001 FOREST LABS INC COM 345838106 2013 28100 SH SOLE 24500 0 3600 FORRESTER RESH INC COM 346563109 2030 107300 SH SOLE 0 0 107300 FORTUNE BRANDS INC COM 349631101 12330 160900 SH SOLE 143000 0 17900 FOSSIL INC COM 349882100 5947 178800 SH SOLE 33300 0 145500 FOUNDRY NETWORKS INC COM 35063R100 10915 635700 SH SOLE 40000 0 595700 FPL GROUP INC COM 302571104 13321 199260 SH SOLE 173600 0 25660 FRANKLIN RES INC COM 354613101 14789 265600 SH SOLE 231800 0 33800 FREDS INC CL A 356108100 3191 131750 SH SOLE 4200 0 127550 FREEPORT-MCMORAN COPPER & GO CL B 35671D857 25514 652700 SH SOLE 573400 0 79300 FREMONT GEN CORP COM 357288109 7555 246900 SH SOLE 58000 0 188900 FRIEDMAN BILLINGS RAMSEY GRO CL A 358434108 10804 400300 SH SOLE 139800 0 260500 FRONTIER AIRLINES INC NEW COM 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157748 3349214 SH SOLE 2713359 0 635855 GENESCO INC COM 371532102 2932 126500 SH SOLE 19900 0 106600 GENLYTE GROUP INC COM 372302109 713 12700 SH SOLE 12700 0 0 GENTEX CORP COM 371901109 3266 75300 SH SOLE 1200 0 74100 GENUINE PARTS CO COM 372460105 1247 38100 SH SOLE 38100 0 0 GENZYME CORP COM GENL DIV 372917104 220 4700 SH SOLE 800 0 3900 GEO GROUP INC COM 36159R103 235 10200 SH SOLE 0 0 10200 GEORGIA PAC CORP COM 373298108 19422 576500 SH SOLE 537300 0 39200 GERDAU S A SPONSORED ADR 373737105 1070 45904 SH SOLE 45904 0 0 GETTY IMAGES INC COM 374276103 5754 106600 SH SOLE 2300 0 104300 GETTY RLTY CORP NEW COM 374297109 424 15947 SH SOLE 5047 0 10900 GILLETTE CO COM 375766102 3769 96400 SH SOLE 96400 0 0 GLENBOROUGH RLTY TR INC COM 37803P105 401 17942 SH SOLE 5642 0 12300 GLIMCHER RLTY TR SH BEN INT 379302102 889 32815 SH SOLE 17415 0 15400 GLOBAL IMAGING SYSTEMS COM 37934A100 4348 130900 SH SOLE 10300 0 120600 GLOBAL PMTS INC COM 37940X102 2452 54400 SH SOLE 10800 0 43600 GLOBALSANTAFE CORP SHS G3930E101 3388 122000 SH SOLE 110200 0 11800 GOLDEN WEST FINL CORP DEL COM 381317106 5071 45300 SH SOLE 35600 0 9700 GOLDMAN SACHS GROUP INC COM 38141G104 7847 75200 SH SOLE 70800 0 4400 GOODRICH CORP COM 382388106 18178 647600 SH SOLE 371900 0 275700 GOODYEAR TIRE & RUBR CO COM 382550101 2002 234400 SH SOLE 173100 0 61300 GRAFTECH INTL LTD COM 384313102 703 47000 SH SOLE 4400 0 42600 GREAT ATLANTIC & PAC TEA INC COM 390064103 80 10400 SH SOLE 10400 0 0 GREAT LAKES REIT INC COM 390752103 168 10828 SH SOLE 3328 0 7500 GREAT PLAINS ENERGY INC COM 391164100 4443 131500 SH SOLE 116100 0 15400 GREATER BAY BANCORP COM 391648102 5613 191900 SH SOLE 139200 0 52700 GREENPOINT FINL CORP COM 395384100 15674 358600 SH SOLE 290400 0 68200 GREIF INC CL A 397624107 293 8400 SH SOLE 7200 0 1200 GRIFFON CORP COM 398433102 677 31330 SH SOLE 4130 0 27200 GROUP 1 AUTOMOTIVE INC COM 398905109 1209 33400 SH SOLE 18500 0 14900 GROUPE CGI INC CL A SUB VTG 39945C109 510 102700 SH SOLE 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FINL SVCS GROUP INC COM 416515104 66860 1049600 SH SOLE 908600 0 141000 HASBRO INC COM 418056107 10012 460300 SH SOLE 212700 0 247600 HAWAIIAN ELEC INDUSTRIES COM 419870100 353 6800 SH SOLE 4300 0 2500 HDFC BANK LTD ADR REPS 3 SHS 40415F101 2087 69379 SH SOLE 69379 0 0 HEALTH CARE PPTY INVS INC COM 421915109 2316 81840 SH SOLE 25840 0 56000 HEALTH CARE REIT INC COM 42217K106 1261 31071 SH SOLE 9771 0 21300 HEALTH MGMT ASSOC INC NEW CL A 421933102 10215 440100 SH SOLE 440100 0 0 HEALTH NET INC COM 42222G108 19944 800000 SH SOLE 657000 0 143000 HEALTHCARE RLTY TR COM 421946104 1181 27667 SH SOLE 8767 0 18900 HEINZ H J CO COM 423074103 3401 91200 SH SOLE 68600 0 22600 HELIX TECHNOLOGY CORP COM 423319102 3043 125500 SH SOLE 4400 0 121100 HERITAGE PPTY INVT TR INC COM 42725M107 868 27902 SH SOLE 9302 0 18600 HERLEY INDS INC DEL COM 427398102 1471 77900 SH SOLE 0 0 77900 HEWLETT PACKARD CO COM 428236103 54720 2395806 SH SOLE 2111506 0 284300 HIBERNIA CORP CL A 428656102 566 24100 SH SOLE 9300 0 14800 HIGHWOODS PPTYS INC COM 431284108 1754 66906 SH SOLE 43406 0 23500 HOME DEPOT INC COM 437076102 379413 10155600 SH SOLE 8787500 0 1368100 HOME PROPERTIES INC COM 437306103 764 18753 SH SOLE 5953 0 12800 HONEYWELL INTL INC COM 438516106 75262 2223397 SH SOLE 1808400 0 414997 HOOPER HOLMES INC COM 439104100 140 22400 SH SOLE 0 0 22400 HORACE MANN EDUCATORS CORP N COM 440327104 266 16900 SH SOLE 6100 0 10800 HOSPITALITY PPTYS TR COM SH BEN INT 44106M102 1877 40448 SH SOLE 12748 0 27700 HOST MARRIOTT CORP NEW COM 44107P104 3355 262533 SH SOLE 133233 0 129300 HOT TOPIC INC COM 441339108 4830 182600 SH SOLE 7300 0 175300 HOUSTON EXPL CO COM 442120101 2590 57900 SH SOLE 500 0 57400 HOVNANIAN ENTERPRISES INC CL A 442487203 7033 163000 SH SOLE 13000 0 150000 HRPT PPTYS TR COM SH BEN INT 40426W101 3870 342513 SH SOLE 175313 0 167200 HUANENG PWR INTL INC SPON ADR N 443304100 971 12400 SH SOLE 12400 0 0 HUDSON CITY BANCORP COM 443683107 2215 58812 SH SOLE 48000 0 10812 HUDSON UNITED BANCORP COM 444165104 2709 71200 SH SOLE 0 0 71200 HUGHES SUPPLY INC COM 444482103 414 7900 SH SOLE 6900 0 1000 HUMAN GENOME SCIENCES INC COM 444903108 1084 86500 SH SOLE 86500 0 0 HUMANA INC COM 444859102 17736 932500 SH SOLE 463000 0 469500 HUNT J B TRANS SVCS INC COM 445658107 6939 246400 SH SOLE 49000 0 197400 HUNTINGTON BANCSHARES INC COM 446150104 2540 115300 SH SOLE 84500 0 30800 ICICI BK LTD ADR 45104G104 7713 483589 SH SOLE 450332 0 33257 ICOS CORP COM 449295104 1307 35400 SH SOLE 27600 0 7800 IDACORP INC COM 451107106 1872 62600 SH SOLE 62600 0 0 IDEXX LABS INC COM 45168D104 478 8400 SH SOLE 1000 0 7400 IHOP CORP COM 449623107 369 10700 SH SOLE 10700 0 0 IKON OFFICE SOLUTIONS INC COM 451713101 5716 446600 SH SOLE 268400 0 178200 ILEX ONCOLOGY INC COM 451923106 1753 73300 SH SOLE 5100 0 68200 ILLINOIS TOOL WKS INC COM 452308109 4321 54532 SH SOLE 51432 0 3100 IMATION CORP COM 45245A107 2490 66200 SH SOLE 0 0 66200 IMCLONE SYS INC COM 45245W109 10109 199200 SH SOLE 35000 0 164200 IMPAC MTG HLDGS INC COM 45254P102 1673 61500 SH SOLE 55300 0 6200 IMPAX LABORATORIES INC COM 45256B101 6637 296700 SH SOLE 13900 0 282800 IMPERIAL OIL LTD COM NEW 453038408 2985 87500 SH SOLE 87500 0 0 INAMED CORP COM 453235103 9638 180900 SH SOLE 41600 0 139300 INDEPENDENCE CMNTY BK CORP COM 453414104 306 7500 SH SOLE 3200 0 4300 INDEPENDENT BANK CORP MASS COM 453836108 330 10900 SH SOLE 1000 0 9900 INDEPENDENT BANK CORP MICH COM 453838104 3100 111269 SH SOLE 4361 0 106908 INDYMAC BANCORP INC COM 456607100 4173 115000 SH SOLE 91100 0 23900 INFOSYS TECHNOLOGIES LTD SPONSORED ADR 456788108 5370 65700 SH SOLE 57400 0 8300 INFOUSA INC NEW COM 456818301 130 12400 SH SOLE 12400 0 0 INGERSOLL-RAND COMPANY LTD CL A G4776G101 1414 20900 SH SOLE 20900 0 0 INGLES MKTS INC CL A 457030104 178 16400 SH SOLE 16400 0 0 INGRAM MICRO INC CL A 457153104 3716 205300 SH SOLE 105600 0 99700 INNKEEPERS USA TR COM 4576J0104 225 24581 SH SOLE 7681 0 16900 INSIGHT ENTERPRISES INC COM 45765U103 4493 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14400 SH SOLE 14400 0 0 WRIGLEY WM JR CO COM 982526105 3192 54000 SH SOLE 54000 0 0 WSFS FINL CORP COM 929328102 978 19500 SH SOLE 7900 0 11600 WYETH COM 983024100 28872 768900 SH SOLE 661300 0 107600 XCEL ENERGY INC COM 98389B100 16502 926548 SH SOLE 752800 0 173748 XEROX CORP COM 984121103 21601 1482600 SH SOLE 1099000 0 383600 XICOR INC COM 984903104 397 26100 SH SOLE 3100 0 23000 XILINX INC COM 983919101 2556 67700 SH SOLE 67700 0 0 XM SATELLITE RADIO HLDGS INC CL A 983759101 28746 1029200 SH SOLE 361500 0 667700 XTO ENERGY INC COM 98385X106 1300 51493 SH SOLE 38411 0 13083 YAHOO INC COM 984332106 49003 1011000 SH SOLE 871800 0 139200 YANKEE CANDLE INC COM 984757104 317 11500 SH SOLE 11500 0 0 YORK INTL CORP NEW COM 986670107 4395 111800 SH SOLE 82800 0 29000 YUM BRANDS INC COM 988498101 4939 130000 SH SOLE 103100 0 26900 ZALE CORP NEW COM 988858106 2234 36300 SH SOLE 36300 0 0 ZIMMER HLDGS INC COM 98956P102 17840 241800 SH SOLE 199500 0 42300
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