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<TABLE>
<C> <C>
<PAGE> PAGE 1
SECURITIES AND EXCHANGE COMMISSION
FORM 13F-E
Report for the Calendar Year or Quarter Ended: 12/31/95
Institutional Investment Manager:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
40 ROWES WHARF
BOSTON MA 02110
I REPRESENT THAT I AM AUTHORIZED TO SUBMIT THIS FORM AND THAT ALL INFORMATION IN
THIS FORM AND THE ATTACHMENTS TO IT IS TRUE, CORRECT AND COMPLETE AND I
UNDERSTAND THAT ALL REQUIRED ITEMS, STATEMENTS AND SCHEDULES ARE INTEGRAL PARTS
OF THIS FORM AND THAT THE SUBMISSION OF ANY AMENDMENT REPRESENTS THAT ALL
UNAMENDED ITEMS, STATEMENTS AND SCHEDULES REMAIN TRUE, CORRECT AND COMPLETE AS
PREVIOUSLY SUBMITTED.
I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES AND EXCHANGE ACT OF 1934.
Name, Title and Telephone Number of Person Submitting Report:
FORREST BERKLEY PARTNER (617) 346-7578
Signature, Place and Date of Signing:
/s/ FORREST BERKLEY BOSTON MA 11/28/95
Other Managers on Whose Behalf this Report is Filed:
01 STRATEGIC INVESTMENT MANAGEMENT 028-02437
02 STRATEGIC INVESTMENT MANAGEMENT INTERNATIONAL 028-02495
03 STRATEGIC INVESTMENT PARTNERS, INC. 028-02436
<PAGE> PAGE 2
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
ABM INDS INC COMMON 000957100 122 4400 SH SOLE 4400 0 0
ADAC LABS COMMON 005313200 444 36600 SH SOLE 36600 0 0
ADV SEMICONDCTR MATL COMMON 007914104 74060 1503757 SH SOLE 1503757 0 0
ADVO INC COMMON 007585102 684 26300 SH SOLE 26300 0 0
AES CORP COMMON 00130H105 7917 331600 SH SOLE 331600 0 0
AIR CANADA CLASS A 008911307 304 100000 SH SOLE 100000 0 0
ALBERTA ENERGY CO COMMON 012873105 3830 238803 SH SOLE 238803 0 0
ALBERTO-CULVER CO CLASS B 013068101 918 26700 SH SOLE 26700 0 0
ALICO INC COMMON 016230104 76 2900 SH SOLE 2900 0 0
ALLEGHANY CORP DEL COMMON 017175100 1043 5268 SH SOLE 5268 0 0
ALLEGHENY POWER SYS COMMON 017411109 14353 501400 SH SOLE 501400 0 0
ALLMERICA PPTY&CAS COMMON 01975T105 3788 140300 SH SOLE 140300 0 0
AMERICAN NATL INS CO COMMON 028591105 751 11300 SH SOLE 11300 0 0
AMERICAN WTR WKS INC COMMON 030411102 1812 46600 SH SOLE 46600 0 0
AMERN BANKERS INS CO COMMON 024456105 1408 36100 SH SOLE 36100 0 0
AMERN BILTRITE INC COMMON 024591109 11 500 SH SOLE 500 0 0
AMERN BUSINESS INFO COMMON 02476F107 475 24500 SH SOLE 24500 0 0
AMERN FILTRONA CORP COMMON 026042101 14 400 SH SOLE 400 0 0
AMERN HERITAGE LIFE COMMON 026522102 136 5949 SH SOLE 5949 0 0
AMERN MEDIA OPERATNS CLASS A 02744L100 171 38000 SH SOLE 38000 0 0
AQUARION CO COMMON 03838W101 196 7700 SH SOLE 7700 0 0
ARBOR DRUGS INC COMMON 038760104 1112 52950 SH SOLE 52950 0 0
ARGONAUT GROUP INC COMMON 040157109 774 23800 SH SOLE 23800 0 0
ARMOR ALL PRODS CORP COMMON 042256107 208 11500 SH SOLE 11500 0 0
ASHLAND COAL INC COMMON 043906106 158 7400 SH SOLE 7400 0 0
ATLANTA GAS LT CO COMMON 047753108 2785 141000 SH SOLE 141000 0 0
ATLANTIC ENERGY INC COMMON 048903108 1965 102100 SH SOLE 102100 0 0
ATLANTIC TELE NETWRK COMMON 049079106 146 13500 SH SOLE 13500 0 0
ATMOS ENERGY CORP COMMON 049560105 207 9000 SH SOLE 9000 0 0
ATWOOD OCEANICS INC COMMON 050095108 81 3200 SH SOLE 3200 0 0
AVEMCO CORP COMMON 053555108 88 5500 SH SOLE 5500 0 0
BALDWIN & LYONS INC CLASS B 057755209 13 800 SH SOLE 800 0 0
BANK OF MONTREAL COMMON 063671101 4040 177739 SH SOLE 177739 0 0
BANPOMCE CORP COMMON 066704107 620 16000 SH SOLE 16000 0 0
BANTA CORP COMMON 066821109 1148 26100 SH SOLE 26100 0 0
BARNES GROUP INC COMMON 067806109 169 4700 SH SOLE 4700 0 0
BAY ST GAS CO COMMON 072612609 283 10200 SH SOLE 10200 0 0
BCE INC COMMON 05534B109 6433 185678 SH SOLE 185678 0 0
BEAUTI CNTL COSMETIC COMMON 074655101 102 10700 SH SOLE 10700 0 0
BELO A H CORP CLASS A 080555105 1866 53700 SH SOLE 53700 0 0
BERLITZ INTL INC COMMON 08520F100 20 1200 SH SOLE 1200 0 0
BERRY PETE CO CLASS A 085789105 174 17200 SH SOLE 17200 0 0
BET HLDGS INC CLASS A 086585106 121 5300 SH SOLE 5300 0 0
BINDLEY WESTN INDS COMMON 090324104 377 22200 SH SOLE 22200 0 0
BIO RAD LABS INC CLASS A 090572207 442 10400 SH SOLE 10400 0 0
BLACK HILLS CORP COMMON 092113109 262 10600 SH SOLE 10600 0 0
BLAIR CORP COMMON 092828102 633 20000 SH SOLE 20000 0 0
BLESSINGS CORP COMMON 093532109 63 6100 SH SOLE 6100 0 0
BLOCK DRUG INC CLASS A 093644102 344 9909 SH SOLE 9909 0 0
BOISE CASCADE CORP DEP ACE 097383863 684 23900 SH SOLE 23900 0 0
<PAGE> PAGE 3
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
BORG WARNER SEC COMMON 099733107 46 3700 SH SOLE 3700 0 0
BOSTON EDISON CO COMMON 100599109 608 20600 SH SOLE 20600 0 0
BOWNE & CO INC COMMON 103043105 524 26200 SH SOLE 26200 0 0
BRADY WH CO CLASS A 104674106 292 10800 SH SOLE 10800 0 0
BRASCAN LTD CLASS A 105502405 2296 130500 SH SOLE 130500 0 0
BRIDGFORD FOODS CORP COMMON 108763103 12 1100 SH SOLE 1100 0 0
BRITISH PETE PLC ADR 110889409 154 1512 SH SOLE 1512 0 0
BROOKLYN UN GAS CO COMMON 114259104 4970 169900 SH SOLE 169900 0 0
BROWN FORMAN CORP CLASS B 115637209 3332 91300 SH SOLE 91300 0 0
BUCKLE INC COMMON 118440106 121 6800 SH SOLE 6800 0 0
BW/IP INC CLASS A 056044100 251 15200 SH SOLE 15200 0 0
CALIFORNIA WTR SVC COMMON 130789100 121 3700 SH SOLE 3700 0 0
CANADIAN MARCONI CO COMMON 136357100 553 54900 SH SOLE 54900 0 0
CAPITAL RE CORP COMMON 140432105 406 13200 SH SOLE 13200 0 0
CAPITOL AMERN FINL COMMON 14055J103 308 13600 SH SOLE 13600 0 0
CARLISLE COS INC COMMON 142339100 69 1700 SH SOLE 1700 0 0
CAROLINA PWR & LT CO COMMON 144141108 9833 285000 SH SOLE 285000 0 0
CASCADE NAT GAS CORP COMMON 147339105 88 5500 SH SOLE 5500 0 0
CASTLE A M & CO COMMON 148411101 38 1350 SH SOLE 1350 0 0
CCB FINANCIAL CORP COMMON 124875105 422 7600 SH SOLE 7600 0 0
CCH INC CLASS A 124883109 315 5700 SH SOLE 5700 0 0
CDN OCCIDENTAL PETE COMMON 136420106 9761 297500 SH SOLE 297500 0 0
CENT HUDSON GAS&ELEC COMMON 153609102 658 21300 SH SOLE 21300 0 0
CENTRAL LOUIS ELEC COMMON 153897608 500 18600 SH SOLE 18600 0 0
CENTRAL MAINE POWER COMMON 154051106 679 47200 SH SOLE 47200 0 0
CENTRAL NEWSPAPERS CLASS A 154647101 797 25400 SH SOLE 25400 0 0
CENTRAL VT PUB SVC COMMON 155771108 176 13150 SH SOLE 13150 0 0
CENTURA BKS INC COMMON 15640T100 327 9300 SH SOLE 9300 0 0
CHEMED CORP COMMON 163596109 455 11700 SH SOLE 11700 0 0
CHINA TIRE HLDGS COMMON G2107X108 210 26300 SH SOLE 26300 0 0
CHURCH & DWIGHT INC COMMON 171340102 241 13000 SH SOLE 13000 0 0
CILCORP INC COMMON 171794100 453 10700 SH SOLE 10700 0 0
CINERGY CORP COMMON 172474108 19637 641200 SH SOLE 641200 0 0
CIPSCO INC COMMON 125539106 3073 78800 SH SOLE 78800 0 0
CITIZENS CORP COMMON 174533109 188 10100 SH SOLE 10100 0 0
CMAC INVT CORP COMMON 125662106 242 5500 SH SOLE 5500 0 0
COLONIAL GAS CO COMMON 195674106 111 5500 SH SOLE 5500 0 0
COMINCO LTD COMMON 200435105 7335 357300 SH SOLE 357300 0 0
COMMONWEALTH ENERGY COMMON 202800108 479 10700 SH SOLE 10700 0 0
COMPANIA TELEF CHILE SPONSOR 204449201 2204 26600 SH SOLE 26600 0 0
COMPASS BANCSHARES COMMON 20449H109 462 14000 SH SOLE 14000 0 0
CONE MLS CORP NC COMMON 206814105 281 25000 SH SOLE 25000 0 0
CONNECTICUT ENERGY COMMON 207567108 160 7200 SH SOLE 7200 0 0
CONNECTICUT NAT GAS COMMON 207651100 164 7000 SH SOLE 7000 0 0
CONSUMERS WATER CO COMMON 210723102 102 5600 SH SOLE 5600 0 0
CPI CORP COMMON 125902106 411 25700 SH SOLE 25700 0 0
CRAIG JENNY INC COMMON 224206102 107 10800 SH SOLE 10800 0 0
CRAWFORD & CO CLASS B 224633107 96 5900 SH SOLE 5900 0 0
CROSS A T CO CLASS A 227478104 15 1000 SH SOLE 1000 0 0
CROWN AMERN RLTY SH BEN 228186102 354 45000 SH SOLE 45000 0 0
<PAGE> PAGE 4
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
CROWN BOOKS CORP COMMON 228210100 131 10700 SH SOLE 10700 0 0
CROWN CENT PETE CORP CLASS A 228219101 60 4100 SH SOLE 4100 0 0
CROWN VANTAGE INC COMMON 228622106 38 2660 SH SOLE 2660 0 0
CSS INDS INC COMMON 125906107 123 5600 SH SOLE 5600 0 0
CULBRO CORP COMMON 229890108 246 5000 SH SOLE 5000 0 0
CURATIVE TECHNOLOGS COMMON 231264102 154 10800 SH SOLE 10800 0 0
CURTISS WRIGHT CORP COMMON 231561101 118 2200 SH SOLE 2200 0 0
DAMES & MOORE INC COMMON 235713104 235 19400 SH SOLE 19400 0 0
DANIEL INDS INC COMMON 236235107 100 7000 SH SOLE 7000 0 0
DART GROUP CORP CLASS A 237415104 140 1500 SH SOLE 1500 0 0
DE BEERS CONS MINES ADR 240253302 3491 115400 SH SOLE 115400 0 0
DEB SHOPS INC COMMON 242728103 30 8700 SH SOLE 8700 0 0
DELCHAMPS INC COMMON 246615108 177 8700 SH SOLE 8700 0 0
DELMARVA PWR & LT CO COMMON 247109101 2214 97300 SH SOLE 97300 0 0
DELPHI FINL GRP CLASS A 247131105 170 8000 SH SOLE 8000 0 0
DEPOSIT GTY CORP COMMON 249555103 721 16200 SH SOLE 16200 0 0
DEVON GROUP INC NEW COMMON 251801106 610 21000 SH SOLE 21000 0 0
DEVRY INC DEL COMMON 251893103 65 2400 SH SOLE 2400 0 0
DIAGNOSTIC PRODUCTS COMMON 252450101 701 18500 SH SOLE 18500 0 0
DOMTAR INC COMMON 257561100 3831 491700 SH SOLE 491700 0 0
DOWNEY FINANCIAL COMMON 261018105 218 10040 SH SOLE 10040 0 0
DPL INC COMMON 233293109 12594 508850 SH SOLE 508850 0 0
DQE INC COMMON 23329J104 6408 208400 SH SOLE 208400 0 0
E TOWN COMMON 269242103 166 5500 SH SOLE 5500 0 0
EASTERN UTILS ASSOC COMMON 277173100 581 24600 SH SOLE 24600 0 0
EATON VANCE CORP COMMON 278265103 585 20700 SH SOLE 20700 0 0
EMPI INC COMMON 291586105 569 22300 SH SOLE 22300 0 0
EMPIRE DIST ELEC CO COMMON 291641108 191 10700 SH SOLE 10700 0 0
EMPRESA NAC DE ELCTR SPONSOR 29244T101 205 9000 SH SOLE 9000 0 0
EMPRESAS ICA SOCIED ADRS(RE 292448107 3762 367000 SH SOLE 367000 0 0
EMPRESAS TELEX CHILE SPONS A 29245D105 262 25300 SH SOLE 25300 0 0
ENERGEN CORP COMMON 29265N108 244 10100 SH SOLE 10100 0 0
ENERGY VENTURES INC COMMON 292740107 134 5300 SH SOLE 5300 0 0
ENHANCE FINL SVCS GR COMMON 293310108 631 23700 SH SOLE 23700 0 0
ENSERCH EXPLORATION COMMON 29356V100 320 27500 SH SOLE 27500 0 0
EQUITABLE RES INC COMMON 294549100 180 5750 SH SOLE 5750 0 0
EXCEL INDS INC COMMON 300657103 35 2500 SH SOLE 2500 0 0
FABRI-CENTERS OF AME CLASS A 302846209 101 7600 SH SOLE 7600 0 0
FARMER BROS CO COMMON 307675108 41 300 SH SOLE 300 0 0
FAY INCORPORATED COMMON 313035107 166 22100 SH SOLE 22100 0 0
FIGGIE INTL INC DEL CLASS A 316828508 59 5700 SH SOLE 5700 0 0
FINA INC CLASS A 31734L101 328 6500 SH SOLE 6500 0 0
FIRST BRANDS CORP COMMON 319356101 1076 22600 SH SOLE 22600 0 0
FIRST CITIZENS BANCS CLASS A 31946M103 187 3400 SH SOLE 3400 0 0
FIRST COLONY CORP COMMON 319741104 639 25200 SH SOLE 25200 0 0
FIRST COMM CORP COMMON 319779104 251 7850 SH SOLE 7850 0 0
FIRST EMPIRE ST CORP COMMON 320076102 480 2200 SH SOLE 2200 0 0
FIRST HAWAIIAN INC COMMON 320506108 177 5900 SH SOLE 5900 0 0
FIRST VA BANKS INC COMMON 337477103 50 1200 SH SOLE 1200 0 0
FLOR EAST COAST INDS COMMON 340632108 382 5600 SH SOLE 5600 0 0
<PAGE> PAGE 5
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
FLORIDA PROGRESS COMMON 341109106 8249 233200 SH SOLE 233200 0 0
FOREMOST CORP AMER COMMON 345469100 436 8600 SH SOLE 8600 0 0
FORUM GROUP INC COMMON 349841304 12 1400 SH SOLE 1400 0 0
FREE ST CONSOL GLD ADR 356142208 218 30000 SH SOLE 30000 0 0
FREMONT GENERAL CORP COMMON 357288109 1198 32610 SH SOLE 32610 0 0
FRONTIER INS GROUP COMMON 359081106 549 17163 SH SOLE 17163 0 0
GALLAGHER ARTHR J&CO COMMON 363576109 577 15500 SH SOLE 15500 0 0
GARAN INC COMMON 364802108 135 8000 SH SOLE 8000 0 0
GEICO CORP COMMON 361582109 2124 30400 SH SOLE 30400 0 0
GENERAL HOST CORP COMMON 370064107 162 40400 SH SOLE 40400 0 0
GENOVESE DRUG STORES CLASS A 372442202 70 6228 SH SOLE 6228 0 0
GETTY PETE CORP COMMON 374290104 127 9500 SH SOLE 9500 0 0
GIANT INDS INC COMMON 374508109 89 7300 SH SOLE 7300 0 0
GLATFELTER P H CO COMMON 377316104 1024 59800 SH SOLE 59800 0 0
GLEASON CORP COMMON 377339106 91 2800 SH SOLE 2800 0 0
GLOBAL IND TECHNLGY COMMON 379335102 459 24300 SH SOLE 24300 0 0
GOLDEN POULTRY INC COMMON 381151109 11 1300 SH SOLE 1300 0 0
GREEN MOUNTAIN PWR COMMON 393154109 75 2700 SH SOLE 2700 0 0
GREIF BROS CORP CLASS A 397624107 83 3100 SH SOLE 3100 0 0
GREY ADVERTISING INC COMMON 397838103 1520 7600 SH SOLE 7600 0 0
GRPO MEXICANO DE DES SPND AD 40048G104 77 34444 SH SOLE 34444 0 0
GRPO MEXICANO DE DES REP SER 40048G203 90 34444 SH SOLE 34444 0 0
GRUPO TRIBASA S A SPON AD 40049F105 1268 169000 SH SOLE 169000 0 0
GUARANTY NATL CORP COMMON 401192109 129 8400 SH SOLE 8400 0 0
GULF CDA RESOURCES ORDINAR 40218L305 2807 680500 SH SOLE 680500 0 0
HANCOCK FABRICS COMMON 409900107 340 37800 SH SOLE 37800 0 0
HANNAFORD BROS CO COMMON 410550107 1578 64100 SH SOLE 64100 0 0
HANSON PLC ADR SPO 411352305 1106 72500 SH SOLE 72500 0 0
HANSON PLC WTS SER 411352131 77 818766 SH SOLE 818766 0 0
HAWAIIAN ELEC INDS COMMON 419870100 1566 40400 SH SOLE 40400 0 0
HELENE CURTIS INDS COMMON 423236108 557 17600 SH SOLE 17600 0 0
HI SHEAR INDS INC COMMON 428399109 27 3700 SH SOLE 3700 0 0
HI-LO AUTOMOTIVE INC COMMON 42839D100 37 7300 SH SOLE 7300 0 0
HILB ROGAL&HAMILTON COMMON 431294107 169 12600 SH SOLE 12600 0 0
HOLLY CORP COMMON 435758305 330 14600 SH SOLE 14600 0 0
HOME BEN CORP CLASS B 437052202 146 6100 SH SOLE 6100 0 0
HORACE MANN EDUCATRS COMMON 440327104 1175 37600 SH SOLE 37600 0 0
HORSEHEAD RES DEV CO COMMON 440699106 21 4700 SH SOLE 4700 0 0
HOUSE OF FABRICS INC COMMON 441758109 7 18700 SH SOLE 18700 0 0
HOWELL CORP COMMON 443051107 32 2200 SH SOLE 2200 0 0
HUFFY CORP COMMON 444356109 131 12900 SH SOLE 12900 0 0
IDAHO POWER CO COMMON 451380109 3240 108000 SH SOLE 108000 0 0
IES INDUSTRIES INC COMMON 44949M103 1733 65400 SH SOLE 65400 0 0
ILLINOVA CORP COMMON 452317100 4131 137700 SH SOLE 137700 0 0
IMCO RECYCLING INC COMMON 449681105 208 8500 SH SOLE 8500 0 0
INDEPENDENT INS GRP COMMON 453858201 382 14000 SH SOLE 14000 0 0
INDIA FD INC COMMON 454089103 266 30000 SH SOLE 30000 0 0
INDIANA ENERGY INC COMMON 454707100 427 17900 SH SOLE 17900 0 0
INGLES MKTS INC CLASS A 457030104 87 7800 SH SOLE 7800 0 0
INTEGON CORP COMMON 45810F101 316 15300 SH SOLE 15300 0 0
<PAGE> PAGE 6
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
INTER CITY PROD CORP ORDINAR 45821E101 16 13900 SH SOLE 13900 0 0
INTER REGIONAL FINL COMMON 458351103 337 13350 SH SOLE 13350 0 0
INTERSTATE BAKERIES COMMON 46072H108 186 8300 SH SOLE 8300 0 0
INTERSTATE POWER CO COMMON 461074106 195 5900 SH SOLE 5900 0 0
INTERTAN INC COMMON 461120107 28 3900 SH SOLE 3900 0 0
INTL DAIRY QUEEN CLASS A 459373205 762 33500 SH SOLE 33500 0 0
INTL MULTIFOODS CORP COMMON 460043102 1034 51400 SH SOLE 51400 0 0
INTL SHIPHOLDING CO COMMON 460321201 137 6625 SH SOLE 6625 0 0
IPALCO ENTERPRISES COMMON 462613100 202 5300 SH SOLE 5300 0 0
IPL ENERGY INC COMMON 449911106 136 5800 SH SOLE 5800 0 0
IPSCO INC COMMON 462622101 439 20900 SH SOLE 20900 0 0
JAMES RIVER CORP VA PFD CV 470349887 2342 100200 SH SOLE 100200 0 0
JEFFERIES GROUP INC COMMON 472318104 425 9000 SH SOLE 9000 0 0
JOHNSON WORLDWIDE CLASS A 479254104 214 9500 SH SOLE 9500 0 0
JP REALTY INC COMMON 46624A106 164 7500 SH SOLE 7500 0 0
K N ENERGY INC COMMON 482620101 366 12550 SH SOLE 12550 0 0
K-SWISS INC CLASS A 482686102 182 16700 SH SOLE 16700 0 0
KAMAN CORP CLASS A 483548103 169 15200 SH SOLE 15200 0 0
KANS CITY LIFE INS COMMON 484836101 194 3700 SH SOLE 3700 0 0
KANSAS CITY PWR & LT COMMON 485134100 3061 116600 SH SOLE 116600 0 0
KATY INDS INC COMMON 486026107 63 6800 SH SOLE 6800 0 0
KELLWOOD CO COMMON 488044108 605 29700 SH SOLE 29700 0 0
KINETIC CONCEPTS INC COMMON 49460W109 574 47800 SH SOLE 47800 0 0
KLOOF GOLD MNG LTD SPONSOR 498746601 94 10000 SH SOLE 10000 0 0
KOREA FUND COMMON 500634100 1138 51741 SH SOLE 51741 0 0
KOREAN INVT FD INC COMMON 500637103 1620 160000 SH SOLE 160000 0 0
KU ENERGY CORP COMMON 482734100 1548 51600 SH SOLE 51600 0 0
KYSOR INDL CORP COMMON 501566103 19 800 SH SOLE 800 0 0
LACLEDE GAS CO COMMON 505588103 179 8400 SH SOLE 8400 0 0
LANCE INC COMMON 514606102 102 6200 SH SOLE 6200 0 0
LDI CORP COMMON 501825103 12 4900 SH SOLE 4900 0 0
LEARONAL INC COMMON 522016104 118 5100 SH SOLE 5100 0 0
LEE ENTERPRISES INC COMMON 523768109 2188 95100 SH SOLE 95100 0 0
LEGGS MASON INC COMMON 524901105 100 3625 SH SOLE 3625 0 0
LIBERTY CORP S C COMMON 530370105 641 19000 SH SOLE 19000 0 0
LIFE RE CORP COMMON 532160108 745 29800 SH SOLE 29800 0 0
LIFE TECHNOLOGIES COMMON 532177201 210 7700 SH SOLE 7700 0 0
LILLIAN VERNON CORP COMMON 532430105 218 16300 SH SOLE 16300 0 0
LINDSAY MFG CO COMMON 535555106 12 300 SH SOLE 300 0 0
LIQUI BOX CORP COMMON 536314107 148 5000 SH SOLE 5000 0 0
LOGICON INC COMMON 541409108 712 25900 SH SOLE 25900 0 0
LONGS DRUG STORES COMMON 543162101 2346 49000 SH SOLE 49000 0 0
LOUISVILLE GAS & ELE COMMON 501917108 2958 70000 SH SOLE 70000 0 0
LUNAR CORP COMMON 550362107 623 22650 SH SOLE 22650 0 0
MACDERMID INC COMMON 554273102 24 400 SH SOLE 400 0 0
MACMILLAN BLOEDEL COMMON 554783209 5684 459360 SH SOLE 459360 0 0
MACNEAL SCHWENDLER COMMON 554806109 32 2000 SH SOLE 2000 0 0
MADERAS Y SINTETICOS SPONSOR 556465102 1531 78500 SH SOLE 78500 0 0
MADISON GAS & ELEC COMMON 557497104 210 6000 SH SOLE 6000 0 0
MANITOWOC INC COMMON 563571108 34 1100 SH SOLE 1100 0 0
<PAGE> PAGE 7
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
MARCUS CORP COMMON 566330106 29 1050 SH SOLE 1050 0 0
MARKEL CORP COMMON 570535104 581 7700 SH SOLE 7700 0 0
MARQUETTE ELECTRS CLASS A 571474105 320 15800 SH SOLE 15800 0 0
MASCOTECH INC PFD $1. 574670303 299 23900 SH SOLE 23900 0 0
MCCLATCHY NEWSPAPERS CLASS A 579489105 336 14700 SH SOLE 14700 0 0
MCGRATH RENTCORP COMMON 580589109 323 17000 SH SOLE 17000 0 0
MCN CORP COMMON 55267J100 4580 197000 SH SOLE 197000 0 0
MDU RES GROUP INC COMMON 552690109 432 21750 SH SOLE 21750 0 0
MEXICO FUND INC COMMON 592835102 5044 395599 SH SOLE 395599 0 0
MIDAMERICAN ENERGY COMMON 595620105 3499 208882 SH SOLE 208882 0 0
MIDLAND CO COMMON 597486109 15 300 SH SOLE 300 0 0
MINE SAFETY APPLIANC COMMON 602720104 82 1700 SH SOLE 1700 0 0
MINNESOTA PWR & LT COMMON 604110106 667 23500 SH SOLE 23500 0 0
MONTANA POWER CO COMMON 612085100 514 22700 SH SOLE 22700 0 0
MORGAN KEEGAN INC COMMON 617410105 246 19450 SH SOLE 19450 0 0
MORNINGSTAR GRP INC COMMON 617698105 52 6500 SH SOLE 6500 0 0
MYERS INDS INC COMMON 628464109 164 10045 SH SOLE 10045 0 0
NASH FINCH CO COMMON 631158102 378 20700 SH SOLE 20700 0 0
NATIONAL FUEL GAS CO COMMON 636180101 1147 34100 SH SOLE 34100 0 0
NATIONAL PRESTO INDS COMMON 637215104 159 4000 SH SOLE 4000 0 0
NATIONAL RE CORP COMMON 637340209 1034 27200 SH SOLE 27200 0 0
NATURE SUNSHINE PROD COMMON 639027101 829 32840 SH SOLE 32840 0 0
NAVISTAR INTL CORP PFD SER 638901405 1297 23900 SH SOLE 23900 0 0
NCH CORP COMMON 628850109 445 7700 SH SOLE 7700 0 0
NEVADA POWER CO COMMON 641423108 3858 173400 SH SOLE 173400 0 0
NEW ENGLAND ELEC SYS COMMON 644001109 4783 120700 SH SOLE 120700 0 0
NEW JERSEY RES CORP COMMON 646025106 395 13100 SH SOLE 13100 0 0
NEW YORK ST ELEC&GAS COMMON 649840105 7664 296200 SH SOLE 296200 0 0
NIPSCO INDUSTRIES COMMON 629140104 6583 172100 SH SOLE 172100 0 0
NORTHEAST UTILS COMMON 664397106 1159 47800 SH SOLE 47800 0 0
NORTHERN STS PWR CO COMMON 665772109 12547 255400 SH SOLE 255400 0 0
NORTHWEST NAT GAS CO COMMON 667655104 350 10600 SH SOLE 10600 0 0
NORTHWESTERN PUB SVC COMMON 668231103 120 4300 SH SOLE 4300 0 0
NTH CAROLINA NAT GAS COMMON 658221106 111 4450 SH SOLE 4450 0 0
NUI CORP COMMON 629430109 123 7000 SH SOLE 7000 0 0
NUMAC ENERGY INC COMMON 67052A103 508 115500 SH SOLE 115500 0 0
NYMAGIC INC COMMON 629484106 15 900 SH SOLE 900 0 0
O SULLIVAN CORP COMMON 688605104 164 15800 SH SOLE 15800 0 0
OGLEBAY NORTON CO COMMON 677007106 56 1500 SH SOLE 1500 0 0
OIL DRI CORP AMER COMMON 677864100 59 3800 SH SOLE 3800 0 0
OKLAHOMA GAS & ELEC COMMON 678858101 3960 92100 SH SOLE 92100 0 0
ORANGE & ROCKLAND UT COMMON 684065105 354 9900 SH SOLE 9900 0 0
ORION CAP CORP COMMON 686268103 390 9000 SH SOLE 9000 0 0
OSHKOSH TRUCK CORP CLASS B 688239201 139 9100 SH SOLE 9100 0 0
OSHMANS SPORTING GDS COMMON 688260108 17 1500 SH SOLE 1500 0 0
OTTER TAIL PWR CO COMMON 689648103 257 7200 SH SOLE 7200 0 0
OVERSEAS SHIPHOLDING COMMON 690368105 243 12800 SH SOLE 12800 0 0
OXFORD INDS INC COMMON 691497309 131 7800 SH SOLE 7800 0 0
PAXAR CORP COMMON 704227107 13 1000 SH SOLE 1000 0 0
PEC ISRAEL ECONOMIC COMMON 705098101 63 2600 SH SOLE 2600 0 0
<PAGE> PAGE 8
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
PENNCORP FINL GRP COMMON 708094107 723 24500 SH SOLE 24500 0 0
PENNSYLVANIA ENTERPR COMMON 708720107 155 4100 SH SOLE 4100 0 0
PEOPLES ENERGY CORP COMMON 711030106 759 23900 SH SOLE 23900 0 0
PETRO-CANADA FIRST I 71644E300 58 10000 SH SOLE 10000 0 0
PETRO-CANADA COMMON 71644E102 2247 194600 SH SOLE 194600 0 0
PETROLITE CORP COMMON 716723101 125 4400 SH SOLE 4400 0 0
PHH CORPORATION COMMON 693320103 2852 61000 SH SOLE 61000 0 0
PHILADELPHIA SUBN COMMON 718009608 191 9200 SH SOLE 9200 0 0
PHILIPPINE LONG DIST SPONS A 718252604 22 400 SH SOLE 400 0 0
PIEDMONT NAT GAS INC COMMON 720186105 419 18000 SH SOLE 18000 0 0
PILGRIMS PRIDE CORP COMMON 721467108 100 14500 SH SOLE 14500 0 0
PITT DESMOINES COMMON 724508106 58 1500 SH SOLE 1500 0 0
PLENUM PUBG CORP COMMON 729093104 308 7900 SH SOLE 7900 0 0
PORTLAND GEN CORP COMMON 736506106 2857 98100 SH SOLE 98100 0 0
PP&L RESOURCES INC COMMON 693499105 7565 302600 SH SOLE 302600 0 0
PRESIDENTIAL LIFE COMMON 740884101 475 48100 SH SOLE 48100 0 0
PROTECTIVE LIFE CORP COMMOM 743674103 1559 49900 SH SOLE 49900 0 0
PUBLIC SVC CO COLO COMMON 744448101 12742 360200 SH SOLE 360200 0 0
PUBLIC SVC CO N C COMMON 744516105 256 14300 SH SOLE 14300 0 0
PUBLIC SVC CO N MEX COMMON 744499104 2011 114100 SH SOLE 114100 0 0
PUGET SOUND PWR & LT COMMON 745332106 2481 106700 SH SOLE 106700 0 0
PULITZER PUBG CO COMMON 745771105 1122 23500 SH SOLE 23500 0 0
QUAKER CHEM CORP COMMON 747316107 50 3700 SH SOLE 3700 0 0
QUALITY FOOD CTRS COMMMON 747565109 814 37000 SH SOLE 37000 0 0
R O C TAIWAN FD SH BEN 749651105 4380 417100 SH SOLE 417100 0 0
RANGER OIL LTD COMMON 752805101 479 76800 SH SOLE 76800 0 0
REINSURANCE GRP COMMON 759351109 626 17100 SH SOLE 17100 0 0
RELIANCE GROUP HLDGS COMMON 759464100 1725 200000 SH SOLE 200000 0 0
RICHFOOD HLDGS INC COMMON 763408101 984 36800 SH SOLE 36800 0 0
RIO ALGOM LTD COMMON 766889109 54 2900 SH SOLE 2900 0 0
RISER FOODS INC CLASS A 767612104 61 3800 SH SOLE 3800 0 0
RJR NABISCO HOLDINGS PFD C D 74960K884 3825 600000 SH SOLE 600000 0 0
RLI CORP COMMON 749607107 272 10875 SH SOLE 10875 0 0
ROBBINS & MYERS INC COMMON 770196103 57 1900 SH SOLE 1900 0 0
ROCHESTER GAS & ELEC COMMON 771367109 1419 62700 SH SOLE 62700 0 0
ROLLINS INC COMMON 775711104 2260 102150 SH SOLE 102150 0 0
ROTO ROOTER INC COMMON 778786103 85 2600 SH SOLE 2600 0 0
ROYAL BANK CDA COMMON 780087102 4354 190800 SH SOLE 190800 0 0
RUDDICK CORP COMMON 781258108 472 41000 SH SOLE 41000 0 0
RYKOFF SEXTON INC COMMON 783759103 175 10000 SH SOLE 10000 0 0
S L INDS INC COMMON 784413106 15 2000 SH SOLE 2000 0 0
SAN DIEGO GAS & ELEC COMMON 797440104 238 10000 SH SOLE 10000 0 0
SANDERSON FARMS COMMON 800013104 182 17300 SH SOLE 17300 0 0
SAVANNAH FOODS & IND COMMON 804795102 217 19100 SH SOLE 19100 0 0
SCEPTRE RESOURCES COMMON 806214706 360 59400 SH SOLE 59400 0 0
SCOPE INDUSTRIES COMMON 809163108 16 500 SH SOLE 500 0 0
SEABOARD CORP COMMON 811543107 81 300 SH SOLE 300 0 0
SEALRIGHT CO INC COMMON 812138105 39 3500 SH SOLE 3500 0 0
SELECTIVE INS GROUP COMMON 816300107 781 22000 SH SOLE 22000 0 0
SEMI-TECH CORP CLASS A 81662E108 4979 714800 SH SOLE 714800 0 0
<PAGE> PAGE 9
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
SEQUA CORPORATION CLASS A 817320104 320 10500 SH SOLE 10500 0 0
SEVENSON ENVMTL SVCS COMMON 818063109 61 3500 SH SOLE 3500 0 0
SIERRA PACIFIC RES COMMON 826425100 699 29900 SH SOLE 29900 0 0
SMART & FINAL INC COMMON 831683107 336 15800 SH SOLE 15800 0 0
SMITH A O CORP CLASS A 831865100 463 22700 SH SOLE 22700 0 0
SMITHKLINE BEECH PLC ADR (RE 832378400 416 7500 SH SOLE 7500 0 0
SMUCKER J M CO CLASS A 832696108 290 13200 SH SOLE 13200 0 0
SOCIEDAD QUIM Y MIN SPON AD 833635105 2218 47200 SH SOLE 47200 0 0
SONIC CORP COMMON 835451105 551 29000 SH SOLE 29000 0 0
SOUTH JERSEY INDS COMMON 838518108 113 4900 SH SOLE 4900 0 0
SOUTHEASTERN MICH GA COMMON 841825102 80 4429 SH SOLE 4429 0 0
SOUTHERN CALIF WATER COMMON 842502106 190 9400 SH SOLE 9400 0 0
SOUTHLAND CORP COMMON 844436402 438 132100 SH SOLE 132100 0 0
SOUTHWESTERN PUB SVC COMMON 845743103 3675 112200 SH SOLE 112200 0 0
SPARTON CORP COMMON 847235108 12 2700 SH SOLE 2700 0 0
SPRINGS INDS INC CLASS A 851783100 360 8700 SH SOLE 8700 0 0
SPS TRANSACTION SVCS COMMON 784627101 231 7800 SH SOLE 7800 0 0
ST JOSEPH LT & PWR COMMON 790654107 78 2200 SH SOLE 2200 0 0
STANDARD PRODS CO COMMON 853836104 409 23200 SH SOLE 23200 0 0
STANDEX INTL CORP COMMON 854231107 468 14300 SH SOLE 14300 0 0
STEPAN CO COMMON 858586100 38 2300 SH SOLE 2300 0 0
STHRN IND GAS & ELEC COMMON 843163106 414 11900 SH SOLE 11900 0 0
STILLWATER MNG CO COMMON 86074Q102 3038 157800 SH SOLE 157800 0 0
STRAWBRIDGE&CLOTHIER CLASS A 863200101 297 12360 SH SOLE 12360 0 0
STUDENT LN CORP COMMON 863902102 228 6700 SH SOLE 6700 0 0
SUMMIT PPTYS INC COMMON 866239106 1425 71700 SH SOLE 71700 0 0
SUNCOR INC COMMON 867229106 72 2300 SH SOLE 2300 0 0
SUPER FOOD SVCS INC COMMON 867884108 173 13300 SH SOLE 13300 0 0
SUPERIOR SURGICL MFG COMMON 868358102 139 14400 SH SOLE 14400 0 0
SYMS CORP COMMON 871551107 49 6500 SH SOLE 6500 0 0
SYNETIC INC COMMON 87160F109 606 20800 SH SOLE 20800 0 0
TASTY BAKING CO COMMON 876553306 75 6200 SH SOLE 6200 0 0
TECHNO SOLUTIONS CO COMMON 87872T108 148 7600 SH SOLE 7600 0 0
TECO ENERGY INC COMMON 872375100 8759 341800 SH SOLE 341800 0 0
TELECOM NEW ZEALAND SPONSOR 879278208 104 1500 SH SOLE 1500 0 0
TELEFONICA DE ESPANI SPONSOR 879382208 352 8400 SH SOLE 8400 0 0
TELEFONOS DE MEXICO SPNSD A 879403780 8874 278400 SH SOLE 278400 0 0
THORN APPLE VALLEY COMMON 885184101 129 7700 SH SOLE 7700 0 0
TNP ENTERPRISES INC COMMON 872594106 167 8900 SH SOLE 8900 0 0
TOOTSIE ROLL INDS COMMON 890516107 991 25006 SH SOLE 25006 0 0
TOTAL PETE NRTH AMER COMMON 891508103 271 27400 SH SOLE 27400 0 0
TOTAL SYS SVCS INC COMMON 891906109 302 9900 SH SOLE 9900 0 0
TRAK AUTO CORP COMMON 892887100 14 900 SH SOLE 900 0 0
TRANSATLANTIC HLDGS COMMON 893521104 2165 29500 SH SOLE 29500 0 0
TRANSPORT HLDGS INC CLASS A 893855106 4 110 SH SOLE 110 0 0
TREDEGAR INDS INC COMMON 894650100 377 11700 SH SOLE 11700 0 0
TRUE NORTH COMMUNCTN COMMON 897844106 372 20100 SH SOLE 20100 0 0
TRUSTMARK CORP COMMON 898402102 125 5500 SH SOLE 5500 0 0
TULTEX CORP COMMON 899900104 173 42000 SH SOLE 42000 0 0
TYLER CORP DEL COMMON 902184100 18 6600 SH SOLE 6600 0 0
<PAGE> PAGE 10
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
U S AIR GROUP INC PFD B C 911905305 1275 31000 SH SOLE 31000 0 0
UGI CORP COMMON 902681105 1253 60400 SH SOLE 60400 0 0
UNIFIRST CORP COMMON 904708104 187 10400 SH SOLE 10400 0 0
UNION ELEC CO COMMON 906548102 7949 190400 SH SOLE 190400 0 0
UNITED CITIES GAS CO COMMON 909823106 131 7000 SH SOLE 7000 0 0
UNITED FOODS INC CLASS B 910365105 15 7900 SH SOLE 7900 0 0
UNITED ILLUM CO COMMON 910637107 549 14700 SH SOLE 14700 0 0
UNITED INDL CORP COMMON 910671106 85 14700 SH SOLE 14700 0 0
UNITED TELEVISION COMMON 913066106 478 5300 SH SOLE 5300 0 0
UNITED WTR RES INC COMMON 913190104 253 21048 SH SOLE 21048 0 0
UNIVERSAL CORP COMMON 913456109 366 15000 SH SOLE 15000 0 0
UNO RESTAURANT COMMON 914900105 37 5325 SH SOLE 5325 0 0
UNOCAL CORP PFD 7% 915289201 1276 23900 SH SOLE 23900 0 0
USLIFE CORP COMMON 917318107 1946 65150 SH SOLE 65150 0 0
UTD CAROLINA BANCSHR COMMON 909796104 27 800 SH SOLE 800 0 0
UTD DOMINION INDS COMMON 909914103 2444 112984 SH SOLE 112984 0 0
UTILICORP UNITED INC COMMON 918005109 2033 69200 SH SOLE 69200 0 0
VALLEN CORP COMMON 919260109 82 4200 SH SOLE 4200 0 0
VALSPAR CORP COMMON 920355104 1798 40300 SH SOLE 40300 0 0
VALUE CITY DEPT STRS COMMON 920387107 165 24500 SH SOLE 24500 0 0
VALUE LINE INC COMMON 920437100 12 300 SH SOLE 300 0 0
VINA CONCHA Y TORO SPONS A 927191106 1278 71000 SH SOLE 71000 0 0
VINTAGE PETE INC COMMON 927460105 608 27000 SH SOLE 27000 0 0
VITAL SIGNS INC COMMON 928469105 810 30700 SH SOLE 30700 0 0
VITALINK PHARMACY COMMON 92846E104 153 6600 SH SOLE 6600 0 0
VITRO SOCIEDAD ANON SPONSOR 928502301 535 112600 SH SOLE 112600 0 0
VOLT INFO SCIENCE COMMON 928703107 221 8100 SH SOLE 8100 0 0
WACKENHUT CORP COM SER 929794105 97 5400 SH SOLE 5400 0 0
WALDEN RES PPTYS INC COMMON 931210108 1044 50000 SH SOLE 50000 0 0
WASHINGTON ENERGY CO COMMON 938815107 184 9900 SH SOLE 9900 0 0
WASHINGTON FED INC COMMON 938824109 397 15500 SH SOLE 15500 0 0
WASHINGTON GAS LT CO COMMON 938837101 1398 68200 SH SOLE 68200 0 0
WASHINGTON POST CO CLASS B 939640108 1354 4800 SH SOLE 4800 0 0
WASHINGTON WATER PWR COMMON 940688104 4365 249400 SH SOLE 249400 0 0
WD-40 CO COMMON 929236107 513 12500 SH SOLE 12500 0 0
WEIS MKTS INC COMMON 948849104 1834 64900 SH SOLE 64900 0 0
WEST CO INC COMMON 953348109 277 11800 SH SOLE 11800 0 0
WESTCOAST ENERGY INC COMMON 95751D102 1068 72883 SH SOLE 72883 0 0
WESTERN RES INC COMMON 959425109 4940 148000 SH SOLE 148000 0 0
WESTERN WASTE INDS COMMON 959880105 523 19100 SH SOLE 19100 0 0
WEYCO GROUP INC COMMON 962149100 55 1400 SH SOLE 1400 0 0
WHITE RIV CORP COMMON 964452106 12 300 SH SOLE 300 0 0
WHITTAKER CORP COMMON 966680407 2 100 SH SOLE 100 0 0
WICOR INC COMMON 929253102 348 10800 SH SOLE 10800 0 0
WILEY JOHN & SONS CLASS A 968223206 429 13100 SH SOLE 13100 0 0
WILLIS CORROON GPPLC SPONSOR 970624201 262 22500 SH SOLE 22500 0 0
WILMINGTON TRUST CRP COMMON 971807102 105 3400 SH SOLE 3400 0 0
WISCONSIN ENERGY COMMON 976657106 15187 495900 SH SOLE 495900 0 0
WLR FOODS INC COMMON 929286102 506 30650 SH SOLE 30650 0 0
WPL HOLDINGS INC COMMON 929305100 708 23100 SH SOLE 23100 0 0
<PAGE> PAGE 11
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
WPS RESOURCES CORP COMMON 92931B106 830 24400 SH SOLE 24400 0 0
WYNNS INTL INC COMMON 983195108 169 5700 SH SOLE 5700 0 0
YANKEE ENERGY SYS COMMON 984779108 146 5800 SH SOLE 5800 0 0
YOUNKERS INC COMMON 987767100 368 14500 SH SOLE 14500 0 0
YPF SOCIEDAD ANONIMA SPON AD 984245100 413 19103 SH SOLE 19103 0 0
ZENITH NATL INS CORP COMMON 989390109 207 9700 SH SOLE 9700 0 0
REPORT SUMMARY 456 DATA RECORDS 571024 3 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
</TABLE>
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