13F-HR 1 f13q405.txt 13F FILING FOR 4TH QTR 2005 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: December 31, 2005 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: ICM Asset Management, Inc. Address: W. 601 Main Avenue, Suite 600 Spokane WA 99201-0613 Form 13F File Number: 28-03766 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 submission. Person Signing this Report on Behalf of Reporting Manager: Name: Robert J. Law Title: Sr. Vice President Phone: (509)455-3588 Signature, Place and Date of Signing: Robert J. Law Spokane, WA 2-09-06 [Signature] [City, State] [Date] Report Type (Check only one.): _X__ 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.) ___ 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) ___ 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) Form 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 170 Form 13F Information Table Value Total: 1,114,508 List of Other Included Managers: NONE ICM Asset Management, Inc. FORM 13F 13F BACKUP December 31, 2005 Voting Authority -------------------------- Value Shares/ Sh/ Put/ Invstmt Other Name of Issuer Title of class CUSIP (x$1000) Prn Amt Prn Call Dscretn Managers Sole Shared None ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3M Co. COM 88579Y101 2043 26355 SH Sole 23555 2800 Abaxis, Inc. COM 002567105 247 15000 SH Sole 15000 Abbott Laboratories COM 002824100 974 24700 SH Sole 24700 Aeroflex, Inc. COM 007768104 36866 3429415 SH Sole 1988805 1440610 Agco Corp. COM 001084102 26262 1584939 SH Sole 976324 608615 Air Products & Chemicals, Inc. COM 009158106 962 16260 SH Sole 13610 2650 American Financial Group, Inc. COM 025932104 5313 138673 SH Sole 131898 6775 American Greetings Corp. Class COM 026375105 21618 983997 SH Sole 566872 417125 American Int'l Group, Inc. COM 026874107 3118 45702 SH Sole 40964 4738 Applica, Inc. COM 03815A106 762 482200 SH Sole 482200 Applied Materials, Inc. COM 038222105 343 19120 SH Sole 19120 Aura Systems, Inc. COM 051526101 44 21986998 SH Sole 21613981 373017 Auto Data Processing, Inc. COM 053015103 1735 37800 SH Sole 33400 4400 Avista Corp. COM 05379B107 20220 1141730 SH Sole 730930 410800 Avnet, Inc. COM 053807103 206 8620 SH Sole 8620 BP PLC COM 055622104 608 9464 SH Sole 9300 164 BakBone Software, Inc. COM 057101107 1231 701400 SH Sole 701400 Ball Corp. COM 058498106 350 8800 SH Sole 8800 Bank Of America Corp. COM 060505104 2357 51067 SH Sole 45887 5180 Bellsouth Corp. COM 079860102 1230 45390 SH Sole 36390 9000 Beverly Enterprises, Inc. COM 087851309 21799 1867951 SH Sole 1065013 802938 Bisys Group, Inc. COM 055472104 7897 563690 SH Sole 468100 95590 Bristol Myers Squibb Co. COM 110122108 1939 84392 SH Sole 74032 10360 Brookline Bancorp, Inc. COM 11373M107 18911 1334559 SH Sole 814199 520360 CA Inc. 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COM 218725109 790 290550 SH Sole 290550 Corporate Office Properties Tr COM 22002T108 8653 243475 SH Sole 129375 114100 Cost Plus World Market COM 221485105 25182 1468366 SH Sole 845721 622645 Crown Castle International Cor COM 228227104 14307 531675 SH Sole 192075 339600 Cytec Industries, Inc. COM 232820100 21581 453090 SH Sole 231790 221300 Ditech Communications Corp. COM 25500M103 14578 1745925 SH Sole 785975 959950 Dot Hill Systems Corp. COM 25848t109 20001 2886175 SH Sole 1358675 1527500 Duke Energy Corp. COM 264399106 757 27560 SH Sole 20110 7450 EFJ, Inc. COM 26843B101 2938 289425 SH Sole 265825 23600 Electronic Data Systems Corp. COM 285661104 901 37460 SH Sole 30760 6700 Eli Lilly & Co. COM 532457108 273 4827 SH Sole 4827 Elizabeth Arden, Inc. COM 28660G106 11630 579750 SH Sole 276000 303750 ElkCorp COM 287456107 24286 721520 SH Sole 419765 301755 Emerson Electric Co. COM 291011104 1868 25012 SH Sole 21812 3200 Engelhard Corp. COM 292845104 6692 221957 SH Sole 189552 32405 Enpath Medical, Inc. COM 29355y105 689 81050 SH Sole 81050 Equity Lifestyle Properties, I COM 29472R108 5140 115500 SH Sole 33900 81600 Exxon Mobil Corp. COM 30231G102 1633 29081 SH Sole 25063 4018 Fannie Mae COM 313586109 1086 22250 SH Sole 18600 3650 Federated Department Stores, I COM 31410H101 419 6320 SH Sole 5820 500 Fiberstars, Inc. COM 315662106 157 18350 SH Sole 18350 Flow International, Inc. COM 343468104 17108 2031800 SH Sole 933875 1097925 Gannett Co. COM 364730101 1373 22660 SH Sole 19910 2750 General Electric Co. COM 369604103 547 15616 SH Sole 13786 1830 General Mills, Inc. COM 370334104 1418 28753 SH Sole 23983 4770 Gerber Scientific COM 373730100 4115 430020 SH Sole 205820 224200 Harsco Corp. COM 415864107 8078 119660 SH Sole 106215 13445 Health Management Associates, COM 421933102 5199 236727 SH Sole 211002 25725 Hearusa, Inc. COM 422360305 472 347050 SH Sole 347050 Hewlett-Packard Co. 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COM 482732104 32386 3203330 SH Sole 1854025 1349305 KeyCorp COM 493267108 291 8848 SH Sole 8848 Kintera, Inc. COM 49720P506 451 151800 SH Sole 151800 Kroger Co. COM 501044101 714 37816 SH Sole 32316 5500 Laclede Group, Inc. COM 505597104 10804 369875 SH Sole 179175 190700 Lancaster Colony Corp. COM 513847103 1764 47600 SH Sole 37700 9900 Landec Corp. COM 514766104 315 40700 SH Sole 40700 Lion, Inc. COM 53620L102 586 1775550 SH Sole 1775550 MSC Software Corp. COM 553531104 13276 780950 SH Sole 326775 454175 Magnetek, Inc. COM 559424106 6883 2117909 SH Sole 933899 1184010 Manor Care, Inc. COM 564055101 7963 200218 SH Sole 175238 24980 Mattel, Inc. COM 577081102 668 42241 SH Sole 34341 7900 McDonalds Corp. COM 580135101 1230 36490 SH Sole 33290 3200 McLeod USA, Inc. Escrow COM 582266995 0 111484 SH Sole 111484 Mediware Information Systems COM 584946107 657 54550 SH Sole 54550 Medtronic, Inc. COM 585055106 2085 36216 SH Sole 31066 5150 Merck & Co. COM 589331107 1462 45970 SH Sole 40220 5750 Mercury Interactive Corp. COM 589405109 18881 679405 SH Sole 352295 327110 Micromuse, Inc. COM 595094103 1642 166075 SH Sole 153599 12476 Microsoft Corp. COM 594918104 385 14723 SH Sole 14523 200 Microtek Medical Holdings, Inc COM 59515B109 240 69100 SH Sole 69100 Mikohn Gaming Corp. COM 59862K108 206 20857 SH Sole 20857 Monterey Gourmet Foods, Inc. COM 612570101 401 99450 SH Sole 99450 Motorola, Inc. COM 620076109 224 9900 SH Sole 9900 Movie Gallery, Inc. COM 624581104 10240 1825270 SH Sole 722920 1102350 Nationwide Financial Services COM 638612101 5390 122505 SH Sole 115460 7045 Nautilus, Inc. COM 63910b102 18101 970053 SH Sole 570333 399720 Navigant International, Inc. COM 63935R108 13037 1201525 SH Sole 547325 654200 Nestle SA ADR COM 641069406 488 6535 SH Sole 6535 Nicor, Inc. COM 654086107 275 6990 SH Sole 6990 Nisource, Inc. COM 65473P105 354 16960 SH Sole 16960 Nokia Corp. 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